UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07455
Virtus Opportunities Trust
(Exact name of registrant as specified in charter)
101 Munson Street
Greenfield, MA 01301-9668
(Address of principal executive offices) (Zip code)
Kevin J. Carr, Esq.
Senior Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-2608
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 243-1574
Date of fiscal year end: September 30
Date of reporting period: March 31, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
(b) | Not applicable. |
Virtus Newfleet Core Plus Bond Fund |
Virtus Newfleet High Yield Fund |
Virtus Newfleet Low Duration Core Plus Bond Fund |
Virtus Newfleet Multi-Sector Intermediate Bond Fund |
Virtus Newfleet Multi-Sector Short Term Bond Fund |
Virtus Newfleet Senior Floating Rate Fund |
Virtus Newfleet Tax-Exempt Bond Fund* |
1 | ||
2 | ||
5 | ||
7 | ||
Fund | Schedule of Investments | |
9 | ||
19 | ||
24 | ||
Virtus Newfleet Multi-Sector Intermediate Bond Fund (“Newfleet Multi-Sector Intermediate Bond Fund”) | 37 | |
49 | ||
68 | ||
76 | ||
80 | ||
84 | ||
86 | ||
90 | ||
97 | ||
110 |
President, Virtus Opportunities Trust
Beginning Account Value October 1, 2021 | Ending Account Value March 31, 2022 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Newfleet Core Plus Bond Fund | ||||||||
Class A | $ 1,000.00 | $ 952.80 | 0.80 % | $ 3.89 | ||||
Class C | 1,000.00 | 948.80 | 1.55 | 7.53 | ||||
Class I | 1,000.00 | 954.10 | 0.55 | 2.68 | ||||
Class R6 | 1,000.00 | 953.80 | 0.43 | 2.09 | ||||
Newfleet High Yield Fund | ||||||||
Class A | 1,000.00 | 966.70 | 1.00 | 4.90 | ||||
Class C | 1,000.00 | 962.10 | 1.75 | 8.56 | ||||
Class I | 1,000.00 | 968.00 | 0.75 | 3.68 | ||||
Class R6 | 1,000.00 | 966.40 | 0.59 | 2.89 | ||||
Newfleet Low Duration Core Plus Bond Fund | ||||||||
Class A | 1,000.00 | 967.60 | 0.75 | 3.68 | ||||
Class C | 1,000.00 | 964.00 | 1.50 | 7.34 | ||||
Class I | 1,000.00 | 967.90 | 0.50 | 2.45 | ||||
Class R6 | 1,000.00 | 969.20 | 0.43 | 2.11 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||
Class A | 1,000.00 | 961.20 | 0.99 | 4.84 | ||||
Class C | 1,000.00 | 958.00 | 1.74 | 8.49 | ||||
Class I | 1,000.00 | 961.70 | 0.74 | 3.62 | ||||
Class R6 | 1,000.00 | 962.90 | 0.60 | 2.94 | ||||
Newfleet Multi-Sector Short Term Bond Fund | ||||||||
Class A | 1,000.00 | 967.10 | 0.92 | 4.51 | ||||
Class C | 1,000.00 | 964.20 | 1.18 | 5.78 | ||||
Class C1 | 1,000.00 | 961.80 | 1.68 | 8.22 | ||||
Class I | 1,000.00 | 968.40 | 0.67 | 3.29 | ||||
Class R6 | 1,000.00 | 968.80 | 0.53 | 2.60 | ||||
Newfleet Senior Floating Rate Fund | ||||||||
Class A | 1,000.00 | 1,000.10 | 1.04 | 5.19 | ||||
Class C | 1,000.00 | 996.40 | 1.80 | 8.96 | ||||
Class I | 1,000.00 | 1,001.30 | 0.79 | 3.94 | ||||
Class R6 | 1,000.00 | 1,002.00 | 0.65 | 3.24 |
Beginning Account Value October 1, 2021 | Ending Account Value March 31, 2022 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Newfleet Tax-Exempt Bond Fund | ||||||||
Class A | $1,000.00 | $ 948.40 | 0.84% | $4.08 | ||||
Class C | 1,000.00 | 944.90 | 1.59 | 7.71 | ||||
Class I | 1,000.00 | 949.60 | 0.59 | 2.87 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value October 1, 2021 | Ending Account Value March 31, 2022 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Newfleet Core Plus Bond Fund | ||||||||
Class A | $ 1,000.00 | $ 1,020.94 | 0.80 % | $ 4.03 | ||||
Class C | 1,000.00 | 1,017.20 | 1.55 | 7.80 | ||||
Class I | 1,000.00 | 1,022.19 | 0.55 | 2.77 | ||||
Class R6 | 1,000.00 | 1,022.79 | 0.43 | 2.17 | ||||
Newfleet High Yield Fund | ||||||||
Class A | 1,000.00 | 1,019.95 | 1.00 | 5.04 | ||||
Class C | 1,000.00 | 1,016.21 | 1.75 | 8.80 | ||||
Class I | 1,000.00 | 1,021.19 | 0.75 | 3.78 | ||||
Class R6 | 1,000.00 | 1,021.99 | 0.59 | 2.97 | ||||
Newfleet Low Duration Core Plus Bond Fund | ||||||||
Class A | 1,000.00 | 1,021.19 | 0.75 | 3.78 | ||||
Class C | 1,000.00 | 1,017.45 | 1.50 | 7.54 | ||||
Class I | 1,000.00 | 1,022.44 | 0.50 | 2.52 | ||||
Class R6 | 1,000.00 | 1,022.79 | 0.43 | 2.17 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||
Class A | 1,000.00 | 1,020.00 | 0.99 | 4.99 | ||||
Class C | 1,000.00 | 1,016.26 | 1.74 | 8.75 | ||||
Class I | 1,000.00 | 1,021.24 | 0.74 | 3.73 | ||||
Class R6 | 1,000.00 | 1,021.94 | 0.60 | 3.02 | ||||
Newfleet Multi-Sector Short Term Bond Fund | ||||||||
Class A | 1,000.00 | 1,020.34 | 0.92 | 4.63 | ||||
Class C | 1,000.00 | 1,019.05 | 1.18 | 5.94 | ||||
Class C1 | 1,000.00 | 1,016.55 | 1.68 | 8.45 | ||||
Class I | 1,000.00 | 1,021.59 | 0.67 | 3.38 | ||||
Class R6 | 1,000.00 | 1,022.29 | 0.53 | 2.67 | ||||
Newfleet Senior Floating Rate Fund | ||||||||
Class A | 1,000.00 | 1,019.75 | 1.04 | 5.24 | ||||
Class C | 1,000.00 | 1,015.96 | 1.80 | 9.05 | ||||
Class I | 1,000.00 | 1,020.99 | 0.79 | 3.98 | ||||
Class R6 | 1,000.00 | 1,021.69 | 0.65 | 3.28 |
Beginning Account Value October 1, 2021 | Ending Account Value March 31, 2022 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Newfleet Tax-Exempt Bond Fund | ||||||||
Class A | $1,000.00 | $1,020.74 | 0.84% | $4.23 | ||||
Class C | 1,000.00 | 1,017.00 | 1.59 | 8.00 | ||||
Class I | 1,000.00 | 1,021.99 | 0.59 | 2.97 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
March 31, 2022
Corporate Bonds and Notes | 30% | |
Financials | 10% | |
Energy | 4 | |
Information Technology | 3 | |
All other Corporate Bonds and Notes | 13 | |
Mortgage-Backed Securities | 25 | |
U.S. Government Securities | 15 | |
Asset-Backed Securities | 12 | |
Leveraged Loans | 10 | |
Short-Term Investment | 4 | |
Foreign Government Securities | 2 | |
Other | 2 | |
Total | 100% |
Corporate Bonds and Notes | 81% | |
Energy | 17% | |
Consumer Discretionary | 16 | |
Communication Services | 10 | |
All other Corporate Bonds and Notes | 38 | |
Leveraged Loans | 8 | |
Short-Term Investment | 6 | |
Securities Lending Collateral | 4 | |
Other | 1 | |
Total | 100% |
Asset-Backed Securities | 37% | |
Mortgage-Backed Securities | 29 | |
Corporate Bonds and Notes | 19 | |
Financials | 7% | |
Information Technology | 2 | |
Energy | 2 | |
All other Corporate Bonds and Notes | 8 | |
Leveraged Loans | 9 | |
U.S. Government Securities | 5 | |
Short-Term Investment | 1 | |
Total | 100% |
Corporate Bonds and Notes | 41% | |
Energy | 9% | |
Financials | 9 | |
Consumer Discretionary | 5 | |
All other Corporate Bonds and Notes | 18 | |
Leveraged Loans | 22 | |
Mortgage-Backed Securities | 14 | |
Asset-Backed Securities | 11 | |
Foreign Government Securities | 7 | |
Preferred Stocks | 2 | |
Securities Lending Collateral | 1 | |
Other (includes short-term investment) | 2 | |
Total | 100% |
Mortgage-Backed Securities | 26% | |
Asset-Backed Securities | 26 | |
Corporate Bonds and Notes | 25 | |
Financials | 8% | |
Energy | 4 | |
Health Care | 2 | |
All other Corporate Bonds and Notes | 11 | |
Leveraged Loans | 14 | |
Foreign Government Securities | 3 | |
U.S. Government Securities | 3 | |
Short-Term Investment | 3 | |
Total | 100% |
Leveraged Loans | 88% | |
Health Care | 12% | |
Information Technology | 11 | |
Service | 10 | |
Manufacturing | 7 | |
Gaming / Leisure | 6 | |
Aerospace | 4 | |
Forest Prod / Containers | 4 | |
All other Leveraged Loans | 34 | |
Corporate Bonds and Notes | 3 | |
Common Stocks | 1 | |
Other (includes short-term investment) | 8 | |
Total | 100% |
Texas | 15% |
Florida | 14 |
Illinois | 13 |
Colorado | 6 |
Arizona | 5 |
District of Columbia | 5 |
Pennsylvania | 4 |
Other | 38 |
Total | 100% |
Par Value | Value | ||
U.S. Government Securities—14.5% | |||
U.S. Treasury Bonds | |||
2.375%, 2/15/42 | $ 635 | $ 613 | |
2.500%, 2/15/46 | 530 | 519 | |
3.000%, 8/15/48 | 3,760 | 4,105 | |
2.000%, 2/15/50 | 975 | 878 | |
1.375%, 8/15/50 | 1,595 | 1,228 | |
1.625%, 11/15/50 | 455 | 373 | |
1.875%, 2/15/51 | 1,615 | 1,411 | |
2.000%, 8/15/51 | 165 | 149 | |
1.875%, 11/15/51 | 1,135 | 996 | |
2.250%, 2/15/52 | 1,920 | 1,841 | |
U.S. Treasury Notes | |||
1.500%, 2/15/30 | 1,515 | 1,420 | |
0.875%, 11/15/30 | 820 | 726 | |
1.625%, 5/15/31 | 2,235 | 2,104 | |
1.375%, 11/15/31 | 1,060 | 973 | |
1.875%, 2/15/32 | 1,280 | 1,229 | |
Total U.S. Government Securities (Identified Cost $19,287) | 18,565 | ||
Municipal Bonds—1.9% | |||
California—0.2% | |||
Santa Clara Valley Water District Series B, Taxable 2.967%, 6/1/50 | 250 | 218 | |
Florida—0.9% | |||
Broward County, Water & Sewer Utility Revenue Series A 4.000%, 10/1/47 | 1,065 | 1,150 | |
Idaho—0.2% | |||
Idaho Health Facilities Authority St. Luke’s Health System Revenue Taxable 5.020%, 3/1/48 | 170 | 193 | |
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 30 | 28 | |
Texas—0.4% | |||
City of San Antonio, General Obligation Taxable 1.963%, 2/1/33 | 255 | 229 | |
State of Texas, General Obligation Taxable 3.211%, 4/1/44 | 80 | 78 |
Par Value | Value | ||
Texas—continued | |||
Texas Public Finance Authority Revenue Taxable 2.140%, 2/1/35 | $ ��� 205 | $ 181 | |
Texas Transportation Commission State Highway Fund Revenue Taxable 4.000%, 10/1/33 | 80 | 85 | |
573 | |||
Virginia—0.2% | |||
City of Bristol, General Obligation Taxable (State AID Withholding Insured) 4.210%, 1/1/42 | 285 | 296 | |
Total Municipal Bonds (Identified Cost $2,543) | 2,458 | ||
Foreign Government Securities—2.0% | |||
Dominican Republic 144A 6.000%, 2/22/33(1) | 415 | 405 | |
Emirate of Dubai Government International Bonds RegS 5.250%, 1/30/43(2) | 200 | 206 | |
Kingdom of Saudi Arabia 144A 3.250%, 10/22/30(1) | 200 | 202 | |
Oman Government International Bond 144A 7.375%, 10/28/32(1) | 405 | 463 | |
Republic of Panama 3.298%, 1/19/33 | 200 | 191 | |
Republic of Turkey 8.600%, 9/24/27 | 255 | 261 | |
State of Qatar 144A 4.400%, 4/16/50(1) | 400 | 450 | |
United Mexican States 2.659%, 5/24/31 | 425 | 387 | |
Total Foreign Government Securities (Identified Cost $2,667) | 2,565 | ||
Mortgage-Backed Securities—24.5% | |||
Agency—0.4% | |||
Federal National Mortgage Association | |||
Pool #323702 6.000%, 5/1/29 | 8 | 8 | |
Pool #535371 6.500%, 5/1/30 | 1 | — (3) |
Par Value | Value | ||
Agency—continued | |||
Pool #590108 7.000%, 7/1/31 | $ 3 | $ 4 | |
Pool #880117 5.500%, 4/1/36 | 22 | 24 | |
Pool #938574 5.500%, 9/1/36 | 50 | 55 | |
Pool #909092 6.000%, 9/1/37 | 10 | 11 | |
Pool #909220 6.000%, 8/1/38 | 110 | 122 | |
Pool #986067 6.000%, 8/1/38 | 2 | 2 | |
Pool #AA7001 5.000%, 6/1/39 | 220 | 238 | |
Government National Mortgage Association I Pool #443000 6.500%, 9/15/28 | 9 | 10 | |
474 | |||
Non-Agency—24.1% | |||
Ajax Mortgage Loan Trust | |||
2021-A, A1 144A 1.065%, 9/25/65(1)(4) | 223 | 209 | |
2019-D, A1 144A 2.956%, 9/25/65(1)(4) | 181 | 182 | |
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(1) | 530 | 533 | |
2015-SFR1, A 144A 3.467%, 4/17/52(1) | 196 | 195 | |
2015-SFR2, C 144A 4.691%, 10/17/52(1) | 125 | 127 | |
AMSR Trust | |||
2020-SFR1, A 144A 1.819%, 4/17/37(1) | 110 | 104 | |
2020-SFR1, B 144A 2.120%, 4/17/37(1) | 255 | 241 | |
2020-SFR2, C 144A 2.533%, 7/17/37(1) | 100 | 95 | |
2020-SFR2, D 144A 3.282%, 7/17/37(1) | 250 | 240 | |
2021-SFR2, C 144A 1.877%, 8/17/38(1) | 100 | 90 | |
2022-SFR1, C 144A 3.740%, 3/1/39(1) | 515 | 502 | |
Angel Oak Mortgage Trust I LLC 2019-2, A1 144A 3.628%, 3/25/49(1)(4) | 23 | 23 | |
Angel Oak SB Commercial Mortgage Trust 2020-SBC1, A1 144A 2.068%, 5/25/50(1)(4) | 246 | 241 |
Par Value | Value | ||
Non-Agency—continued | |||
Arroyo Mortgage Trust | |||
2021-1R, A1 144A 1.175%, 10/25/48(1)(4) | $ 118 | $ 111 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(4) | 57 | 56 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(4) | 46 | 45 | |
2022-1, A1B 144A 3.269%, 12/25/56(1)(4) | 270 | 259 | |
Banc of America Funding Trust | |||
2004-B, 2A1 2.505%, 11/20/34(4) | 14 | 15 | |
2005-1, 1A1 5.500%, 2/25/35 | 28 | 28 | |
Bayview Opportunity Master Fund IVa Trust 2017-SPL5, B1 144A 4.000%, 6/28/57(1)(4) | 100 | 97 | |
BBCMS Mortgage Trust 2018-TALL, A (1 month LIBOR + 0.722%, Cap N/A, Floor 0.722%) 144A 1.119%, 3/15/37(1)(4) | 225 | 219 | |
BPR Trust 2021-KEN, A (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.647%, 2/15/29(1)(4) | 360 | 358 | |
BX Commercial Mortgage Trust | |||
2019-XL, C (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.647%, 10/15/36(1)(4) | 144 | 143 | |
2022-LP2, D (TSFR1M + 1.961%, Cap N/A, Floor 1.961%) 144A 2.266%, 2/15/39(1)(4) | 325 | 318 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(1)(4) | 715 | 663 | |
Cascade MH Asset Trust 2021-MH1, A1 144A 1.753%, 2/25/46(1) | 484 | 449 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(1) | 189 | 178 | |
CHL Mortgage Pass-Through Trust 2004-6, 1A2 2.072%, 5/25/34(4) | 60 | 59 | |
CIM Trust 2021-NR4, A1 144A 2.816%, 10/25/61(1)(4) | 124 | 119 |
Par Value | Value | ||
Non-Agency—continued | |||
Citigroup Commercial Mortgage Trust 2015-GC27, A4 2.878%, 2/10/48 | $ 225 | $ 222 | |
Citigroup Mortgage Loan Trust, Inc. 2019-IMC1, A1 144A 2.720%, 7/25/49(1)(4) | 39 | 38 | |
COLT Mortgage Loan Trust 2022-1, A1 144A 2.284%, 12/27/66(1)(4) | 108 | 104 | |
COLT Mortgage Pass-Through Certificates 2021-1R, A1 144A 0.857%, 5/25/65(1)(4) | 56 | 56 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(1)(4) | 163 | 153 | |
COMM Mortgage Trust 2020-CBM, B 144A 3.099%, 2/10/37(1) | 210 | 202 | |
CoreVest American Finance Issuer LLC 2021-RTL1, A1 144A 2.239%, 3/28/29(1)(4) | 165 | 156 | |
Corevest American Finance Trust 2020-1, A1 144A 1.832%, 3/15/50(1) | 596 | 570 | |
CoreVest American Finance Trust | |||
2019-3, C 144A 3.265%, 10/15/52(1) | 220 | 204 | |
2018-2, A 144A 4.026%, 11/15/52(1) | 64 | 65 | |
2020-4, A 144A 1.174%, 12/15/52(1) | 293 | 272 | |
2020-3, A 144A 1.358%, 8/15/53(1) | 246 | 228 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%, Cap N/A, Floor 0.980%) 144A 1.377%, 5/15/36(1)(4) | 370 | 368 | |
Credit Suisse Mortgage Capital Trust | |||
2020-RPL4, A1 144A 2.000%, 1/25/60(1)(4) | 238 | 229 | |
2021-NQM1, A1 144A 0.809%, 5/25/65(1)(4) | 105 | 102 | |
2020-NQM1, A1 144A 1.208%, 5/25/65(1)(4) | 54 | 53 | |
Deephaven Residential Mortgage Trust 2022-1, A1 144A 2.205%, 1/25/67(1)(4) | 108 | 104 |
Par Value | Value | ||
Non-Agency—continued | |||
Ellington Financial Mortgage Trust | |||
2019-2, A3 144A 3.046%, 11/25/59(1)(4) | $ 29 | $ 29 | |
2021-2, A3 144A 1.291%, 6/25/66(1)(4) | 966 | 900 | |
2022-1, A1 144A 2.206%, 1/25/67(1)(4) | 848 | 803 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 8/17/37(1) | 100 | 94 | |
2020-SFR2, B 144A 1.567%, 10/19/37(1) | 425 | 394 | |
2021-SFR1, D 144A 2.189%, 8/17/38(1) | 335 | 304 | |
Flagstar Mortgage Trust 2017-1, 1A3 144A 3.500%, 3/25/47(1)(4) | 51 | 50 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(4) | 10 | 10 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(4) | 9 | 9 | |
GCAT Trust 2020-NQM1, A1 144A 2.247%, 1/25/60(1)(4) | 16 | 15 | |
GCT Commercial Mortgage Trust 2021-GCT, A (1 month LIBOR + 0.800%, Cap N/A, Floor 0.800%) 144A 1.197%, 2/15/38(1)(4) | 395 | 388 | |
GS Mortgage Securities Trust 2020-GC45, AS 3.173%, 2/13/53(4) | 245 | 241 | |
GS Mortgage-Backed Securities Trust 2020-NQM1, A3 144A 2.352%, 9/27/60(1)(4) | 143 | 140 | |
Home Partners of America Trust 2020-2, A 144A 1.532%, 1/17/41(1) | 179 | 164 | |
JPMorgan Chase (WaMu) Mortgage Pass-Through Certificates 2003-S11, 3A5 5.950%, 11/25/33 | 36 | 36 | |
JPMorgan Chase Mortgage Trust | |||
2016-SH1, M2 144A 3.750%, 4/25/45(1)(4) | 106 | 103 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(4) | 212 | 208 | |
2017-1, A2 144A 3.460%, 1/25/47(1)(4) | 61 | 59 |
Par Value | Value | ||
Non-Agency—continued | |||
2017-3, 2A2 144A 2.500%, 8/25/47(1)(4) | $ 34 | $ 33 | |
2017-5, A1 144A 3.050%, 10/26/48(1)(4) | 54 | 54 | |
KKR Industrial Portfolio Trust 2021-KDIP, C (1 month LIBOR + 1.000%, Cap N/A, Floor 1.000%) 144A 1.397%, 12/15/37(1)(4) | 142 | 139 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%, Cap N/A, Floor 0.800%) 144A 1.197%, 5/15/36(1)(4) | 215 | 213 | |
LHOME Mortgage Trust | |||
2021-RTL2, A1 144A 2.090%, 6/25/26(1)(4) | 110 | 106 | |
2021-RTL1, A1 144A 2.090%, 9/25/26(1)(4) | 270 | 260 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.450%, 4/25/55(1)(4) | 305 | 296 | |
2019-1A, A1A 144A 3.750%, 4/25/58(1)(4) | 150 | 151 | |
Mill City Mortgage Loan Trust | |||
2017-1, M2 144A 3.250%, 11/25/58(1)(4) | 175 | 175 | |
2017-3, B1 144A 3.250%, 1/25/61(1)(4) | 578 | 557 | |
2017-3, M2 144A 3.250%, 1/25/61(1)(4) | 262 | 258 | |
2019-1, M2 144A 3.500%, 10/25/69(1)(4) | 155 | 152 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 360 | 363 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22, AS 3.561%, 4/15/48 | 310 | 304 | |
New Residential Mortgage Loan Trust | |||
2022-RTL1, A1F 144A 4.336%, 12/25/26(1)(5) | 255 | 255 | |
2014-1A, A 144A 3.750%, 1/25/54(1)(4) | 68 | 68 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(4) | 48 | 48 | |
2016-1A, A1 144A 3.750%, 3/25/56(1)(4) | 39 | 39 | |
2016-3A, B1 144A 4.000%, 9/25/56(1)(4) | 209 | 210 | |
2016-4A, B1A 144A 4.500%, 11/25/56(1)(4) | 227 | 231 | |
2017-2A, A3 144A 4.000%, 3/25/57(1)(4) | 374 | 375 | |
2018-2A, A1 144A 4.500%, 2/25/58(1)(4) | 142 | 143 |
Par Value | Value | ||
Non-Agency—continued | |||
2021-NQ2R, A1 144A 0.941%, 10/25/58(1)(4) | $ 582 | $ 567 | |
2019-RPL2, M2 144A 3.750%, 2/25/59(1)(4) | 650 | 637 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(1)(4) | 57 | 56 | |
2020-1A, A1B 144A 3.500%, 10/25/59(1)(4) | 264 | 262 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(4) | 125 | 126 | |
NLT Trust 2021-INV2, A1 144A 1.162%, 8/25/56(1)(4) | 186 | 174 | |
NMLT Trust 2021-INV1, A1 144A 1.185%, 5/25/56(1)(4) | 226 | 212 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(1)(4) | 26 | 26 | |
2021-NQM3, A2 144A 1.260%, 7/25/61(1)(4) | 234 | 220 | |
Preston Ridge Partners Mortgage LLC | |||
2020-6, A1 144A 2.363%, 11/25/25(1)(4) | 283 | 276 | |
2021-2, A1 144A 2.115%, 3/25/26(1)(4) | 406 | 393 | |
2021-3, A1 144A 1.867%, 4/25/26(1)(4) | 684 | 653 | |
2021-9, A1 144A 2.363%, 10/25/26(1)(4) | 145 | 139 | |
2021-RPL1, A1 144A 1.319%, 7/25/51(1)(4) | 82 | 77 | |
PRET LLC 2021-RN3, A1 144A 1.843%, 9/25/51(1)(4) | 378 | 360 | |
Pretium Mortgage Credit Partners I LLC 2021-NPL1, A1 144A 2.240%, 9/27/60(1)(4) | 193 | 186 | |
Progress Residential Trust | |||
2019-SFR2, A 144A 3.147%, 5/17/36(1) | 331 | 328 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 235 | 228 | |
2021-SFR2, D 144A 2.197%, 4/19/38(1) | 380 | 342 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(1)(4) | 105 | 104 | |
Provident Funding Mortgage Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.150%, Cap N/A, Floor 1.150%) 144A 1.337%, 2/25/55(1)(4) | 103 | 101 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(1)(4) | 143 | 141 |
Par Value | Value | ||
Non-Agency—continued | |||
RCO VI Mortgage LLC 2022-1, A1 144A 3.000%, 1/25/27(1)(4) | $ 270 | $ 262 | |
RCO VII Mortgage LLC 2021-2, A1 144A 2.116%, 9/25/26(1)(4) | 222 | 214 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(1)(4) | 40 | 40 | |
Roc Mortgage Trust 2021-RTL1, A1 144A 2.487%, 8/25/26(1)(4) | 275 | 264 | |
Sequoia Mortgage Trust 2013-8, B1 3.493%, 6/25/43(4) | 30 | 31 | |
SG Residential Mortgage Trust | |||
2019-3, A1 144A 2.703%, 9/25/59(1)(4) | 78 | 77 | |
2021-1, A3 144A 1.560%, 7/25/61(1)(4) | 218 | 207 | |
Starwood Mortgage Residential Trust 2021-3, A3 144A 1.518%, 6/25/56(1)(4) | 77 | 73 | |
Towd Point Mortgage Trust | |||
2016-3, M1 144A 3.500%, 4/25/56(1)(4) | 525 | 527 | |
2016-4, B1 144A 3.800%, 7/25/56(1)(4) | 310 | 308 | |
2017-1, M1 144A 3.750%, 10/25/56(1)(4) | 340 | 336 | |
2017-4, A2 144A 3.000%, 6/25/57(1)(4) | 335 | 327 | |
2019-1, A1 144A 3.658%, 3/25/58(1)(4) | 157 | 157 | |
2018-6, A2 144A 3.750%, 3/25/58(1)(4) | 600 | 594 | |
2018-3, A1 144A 3.750%, 5/25/58(1)(4) | 320 | 320 | |
2019-2, A2 144A 3.750%, 12/25/58(1)(4) | 190 | 188 | |
2019-4, A2 144A 3.250%, 10/25/59(1)(4) | 240 | 231 | |
2020-MH1, A2 144A 2.500%, 2/25/60(1)(4) | 405 | 380 | |
2015-2, 1M1 144A 3.250%, 11/25/60(1)(4) | 88 | 88 | |
2021-1, A2 144A 2.750%, 11/25/61(1)(4) | 215 | 197 | |
Tricon American Homes Trust | |||
2019-SFR1, C 144A 3.149%, 3/17/38(1) | 190 | 184 | |
2020-SFR2, D 144A 2.281%, 11/17/39(1) | 310 | 273 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(1) | 157 | 157 |
Par Value | Value | ||
Non-Agency—continued | |||
VCAT LLC | |||
2021-NPL1, A2 144A 4.826%, 12/26/50(1)(4) | $ 220 | $ 211 | |
2021-NPL2, A1 144A 2.115%, 3/27/51(1)(4) | 159 | 154 | |
2021-NPL3, A1 144A 1.743%, 5/25/51(1)(4) | 256 | 244 | |
2021-NPL4, A1 144A 1.868%, 8/25/51(1)(4) | 274 | 264 | |
2021-NPL5, A1 144A 1.868%, 8/25/51(1)(4) | 103 | 99 | |
Vericrest Opportunity Loan Trust C LLC 2021-NPL9, A1 144A 1.992%, 5/25/51(1)(4) | 66 | 64 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(1)(4) | 222 | 216 | |
Verus Securitization Trust | |||
2019-INV2, A1 144A 2.913%, 7/25/59(1)(4) | 90 | 90 | |
2019-4, M1 144A 3.207%, 11/25/59(1)(4) | 100 | 100 | |
2021-R3, A1 144A 1.020%, 4/25/64(1)(4) | 199 | 194 | |
2021-7, A1 144A 1.829%, 10/25/66(1)(4) | 249 | 235 | |
Visio Trust 2020-1R, A2 144A 1.567%, 11/25/55(1) | 116 | 113 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 200 | 200 | |
Wells Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(1)(4) | 87 | 84 | |
ZH Trust 2021-1, A 144A 2.253%, 2/18/27(1) | 100 | 98 | |
30,811 | |||
Total Mortgage-Backed Securities (Identified Cost $32,462) | 31,285 | ||
Asset-Backed Securities—11.5% | |||
Automobiles—5.3% | |||
American Credit Acceptance Receivables Trust | |||
2021-2, C 144A 0.970%, 7/13/27(1) | 330 | 322 | |
2022-1, D 144A 2.460%, 3/13/28(1) | 270 | 255 |
Par Value | Value | ||
Automobiles—continued | |||
AmeriCredit Automobile Receivables Trust 2020-3, C 1.060%, 8/18/26 | $ 215 | $ 206 | |
Avis Budget Rental Car Funding LLC (AESOP) 2019-3A, A 144A 2.360%, 3/20/26(1) | 270 | 262 | |
Carvana Auto Receivables Trust | |||
2019-2A, D 144A 3.280%, 1/15/25(1) | 325 | 327 | |
2019-3A, D 144A 3.040%, 4/15/25(1) | 240 | 240 | |
2021-N3, D 1.580%, 6/12/28 | 220 | 209 | |
CPS Auto Receivables Trust 2019-D, E 144A 3.860%, 10/15/25(1) | 265 | 264 | |
Credit Acceptance Auto Loan Trust 2020-3A, B 144A 1.770%, 12/17/29(1) | 265 | 264 | |
Drive Auto Receivables Trust 2019-4, C 2.510%, 11/17/25 | 122 | 122 | |
Exeter Automobile Receivables Trust | |||
2019-2A, C 144A 3.300%, 3/15/24(1) | 18 | 18 | |
2019-4A, C 144A 2.440%, 9/16/24(1) | 133 | 133 | |
First Investors Auto Owner Trust | |||
2021-1A, C 144A 1.170%, 3/15/27(1) | 300 | 286 | |
2022-1A, C 144A 3.130%, 5/15/28(1) | 270 | 263 | |
Flagship Credit Auto Trust | |||
2019-2, C 144A 3.090%, 5/15/25(1) | 260 | 261 | |
2020-3, C 144A 1.730%, 9/15/26(1) | 260 | 253 | |
2021-1, C 144A 0.910%, 3/15/27(1) | 340 | 323 | |
Foursight Capital Automobile Receivables Trust 2022-1, B 144A 2.150%, 5/17/27(1) | 215 | 207 | |
GLS Auto Receivables Issuer Trust | |||
2019-2A, B 144A 3.320%, 3/15/24(1) | 56 | 56 | |
2019-4A, C 144A 3.060%, 8/15/25(1) | 260 | 260 | |
GLS Auto Receivables Trust 2018-3A, C 144A 4.180%, 7/15/24(1) | 168 | 170 |
Par Value | Value | ||
Automobiles—continued | |||
Hertz Vehicle Financing III LP 2021-2A, A 144A 1.680%, 12/27/27(1) | $ 395 | $ 360 | |
LAD Auto Receivables Trust 2021-1A, D 144A 3.990%, 11/15/29(1) | 270 | 257 | |
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(1) | 145 | 145 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(1) | 166 | 167 | |
United Auto Credit Securitization Trust 2021-1, C 144A 0.840%, 6/10/26(1) | 335 | 330 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(1) | 214 | 214 | |
Westlake Automobile Receivables Trust | |||
2021-3A, D 144A 2.120%, 1/15/27(1) | 265 | 253 | |
2022-1A, B 144A 2.750%, 3/15/27(1) | 390 | 386 | |
6,813 | |||
Credit Card—0.4% | |||
Avant Credit Card Master Trust 2021-1A, A 144A 1.370%, 4/15/27(1) | 280 | 266 | |
Genesis Sales Finance Master Trust 2021-AA, A 144A 1.200%, 12/21/26(1) | 280 | 268 | |
534 | |||
Equipment—0.3% | |||
NMEF Funding LLC 2021-A, B 144A 1.850%, 12/15/27(1) | 385 | 369 | |
Other—5.4% | |||
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | 39 | 39 | |
2019-A, A 144A 3.140%, 7/16/40(1) | 130 | 128 | |
2019-A, C 144A 4.010%, 7/16/40(1) | 265 | 260 | |
2020-AA, B 144A 2.790%, 7/17/46(1) | 270 | 259 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(1) | 399 | 381 |
Par Value | Value | ||
Other—continued | |||
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.560%, 9/17/31(1) | $ 120 | $ 120 | |
BHG Securitization Trust 2021-A, A 144A 1.420%, 11/17/33(1) | 322 | 306 | |
Cajun Global LLC 2021-1, A2 144A 3.931%, 11/20/51(1) | 164 | 155 | |
CCG Receivables Trust 2021-1, C 144A 0.840%, 6/14/27(1) | 285 | 270 | |
Diamond Resorts Owner Trust 2021-1A, A 144A 1.510%, 11/21/33(1) | 137 | 132 | |
Foundation Finance Trust | |||
2019-1A, A 144A 3.860%, 11/15/34(1) | 63 | 63 | |
2021-1A, A 144A 1.270%, 5/15/41(1) | 192 | 182 | |
Jack in the Box Funding LLC 2022-1A, A2I 144A 3.445%, 2/26/52(1) | 325 | 306 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 194 | 192 | |
Lendmark Funding Trust 2019-1A, A 144A 3.000%, 12/20/27(1) | 270 | 271 | |
MAPS Trust 2021-1A, A 144A 2.521%, 6/15/46(1) | 264 | 244 | |
MVW LLC 2020-1A, A 144A 1.740%, 10/20/37(1) | 323 | 312 | |
MVW Owner Trust 2019-1A, A 144A 2.890%, 11/20/36(1) | 88 | 87 | |
Navient Private Education Refi Loan Trust 2021-EA, A 144A 0.970%, 12/16/69(1) | 241 | 227 | |
NBC Funding LLC 2021-1, A2 144A 2.989%, 7/30/51(1) | 224 | 209 | |
NMEF Funding LLC | |||
2019-A, C 144A 3.300%, 8/17/26(1) | 200 | 199 | |
2022-A, B 144A 3.350%, 10/16/28(1) | 260 | 254 | |
Octane Receivables Trust | |||
2019-1A, A 144A 3.160%, 9/20/23(1) | 6 | 6 | |
2020-1A, A 144A 1.710%, 2/20/25(1) | 111 | 110 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(1) | 23 | 23 |
Par Value | Value | ||
Other—continued | |||
Oportun Issuance Trust 2021-C, A 144A 2.180%, 10/8/31(1) | $ 270 | $ 254 | |
Orange Lake Timeshare Trust 2019-A, B 144A 3.360%, 4/9/38(1) | 374 | 366 | |
Purchasing Power Funding LLC 2021-A, A 144A 1.570%, 10/15/25(1) | 335 | 324 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(1) | 162 | 159 | |
Upstart Securitization Trust 2021-1, A 144A 0.870%, 3/20/31(1) | 104 | 103 | |
VFI ABS LLC | |||
2022-1A, A 144A 2.230%, 3/24/28(1) | 203 | 201 | |
2022-1A, B 144A 3.040%, 7/24/28(1) | 425 | 415 | |
ZAXBY’S Funding LLC 2021-1A, A2 144A 3.238%, 7/30/51(1) | 393 | 362 | |
6,919 | |||
Student Loan—0.1% | |||
Commonbond Student Loan Trust 2019-AGS, A1 144A 2.540%, 1/25/47(1) | 101 | 100 | |
Total Asset-Backed Securities (Identified Cost $15,197) | 14,735 | ||
Corporate Bonds and Notes—30.0% | |||
Communication Services—1.2% | |||
Cable Onda S.A. 144A 4.500%, 1/30/30(1) | 200 | 195 | |
CCO Holdings LLC 144A 4.750%, 3/1/30(1) | 140 | 135 | |
Level 3 Financing, Inc. 144A 4.250%, 7/1/28(1) | 280 | 257 | |
Sprint Spectrum Co. LLC 144A 4.738%, 3/20/25(1) | 150 | 153 | |
T-Mobile USA, Inc. 3.875%, 4/15/30 | 365 | 366 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 160 | 165 | |
Twitter, Inc. 144A 3.875%, 12/15/27(1) | 105 | 102 | |
Verizon Communications, Inc. 2.550%, 3/21/31 | 191 | 178 | |
1,551 | |||
Par Value | Value | ||
Consumer Discretionary—2.0% | |||
American Builders & Contractors Supply Co., Inc. 144A 4.000%, 1/15/28(1) | $ 250 | $ 240 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(1) | 100 | 103 | |
Carriage Services, Inc. 144A 4.250%, 5/15/29(1) | 95 | 89 | |
Dick’s Sporting Goods, Inc. 3.150%, 1/15/32 | 361 | 331 | |
Ford Motor Co. | |||
3.250%, 2/12/32 | 221 | 197 | |
4.750%, 1/15/43 | 125 | 114 | |
Hilton Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(1) | 125 | 119 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 235 | 222 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 205 | 197 | |
PulteGroup, Inc. 6.375%, 5/15/33 | 355 | 413 | |
Scientific Games International, Inc. | |||
144A 5.000%, 10/15/25(1) | 165 | 169 | |
144A 8.250%, 3/15/26(1) | 70 | 73 | |
144A 7.000%, 5/15/28(1) | 35 | 36 | |
Tenneco, Inc. 144A 5.125%, 4/15/29(1) | 255 | 253 | |
2,556 | |||
Consumer Staples—0.7% | |||
Albertsons Cos., Inc. 144A 3.500%, 3/15/29(1) | 20 | 18 | |
Bacardi Ltd. 144A 4.700%, 5/15/28(1) | 170 | 177 | |
BAT Capital Corp. 4.906%, 4/2/30 | 290 | 299 | |
Central American Bottling Corp. 144A 5.250%, 4/27/29(1) | 90 | 89 | |
Vector Group Ltd. 144A 5.750%, 2/1/29(1) | 280 | 255 | |
838 | |||
Energy—4.1% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(1) | 225 | 224 | |
Boardwalk Pipelines LP 4.950%, 12/15/24 | 225 | 232 | |
Chesapeake Energy Corp. 144A 5.500%, 2/1/26(1) | 210 | 215 |
Par Value | Value | ||
Energy—continued | |||
CrownRock LP | |||
144A 5.625%, 10/15/25(1) | $ 145 | $ 148 | |
144A 5.000%, 5/1/29(1) | 150 | 150 | |
DT Midstream, Inc. 144A 4.125%, 6/15/29(1) | 200 | 192 | |
Energy Transfer LP Series H 6.500% (6) | 275 | 270 | |
Flex Intermediate Holdco LLC 144A 3.363%, 6/30/31(1) | 355 | 330 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 255 | 266 | |
Kinder Morgan Energy Partners LP 7.500%, 11/15/40 | 215 | 279 | |
Lundin Energy Finance B.V. 144A 2.000%, 7/15/26(1) | 285 | 265 | |
Occidental Petroleum Corp. | |||
5.500%, 12/1/25 | 5 | 5 | |
6.125%, 1/1/31 | 135 | 152 | |
Parsley Energy LLC 144A 4.125%, 2/15/28(1) | 100 | 99 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 185 | 181 | |
Pertamina Persero PT 144A 6.450%, 5/30/44(1) | 500 | 585 | |
Petroleos Mexicanos 7.690%, 1/23/50 | 275 | 240 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(1) | 200 | 204 | |
Reliance Industries Ltd. 144A 2.875%, 1/12/32(1) | 250 | 229 | |
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | 100 | 103 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 230 | 237 | |
Transcanada Trust 5.600%, 3/7/82 | 335 | 339 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(1) | 36 | 35 | |
Venture Global Calcasieu Pass LLC | |||
144A 3.875%, 8/15/29(1) | 150 | 146 | |
144A 3.875%, 11/1/33(1) | 135 | 129 | |
5,255 | |||
Financials—10.3% | |||
Allstate Corp. (The) Series B 5.750%, 8/15/53 | 245 | 244 | |
Ally Financial, Inc. Series B 4.700% (6) | 309 | 291 | |
Ares Finance Co. LLC 144A 4.000%, 10/8/24(1) | 270 | 271 |
Par Value | Value | ||
Financials—continued | |||
Ascot Group Ltd. 144A 4.250%, 12/15/30(1) | $ 270 | $ 264 | |
Banco Mercantil del Norte S.A. 144A 6.625% (1)(6) | 235 | 217 | |
Bank of America Corp. | |||
2.687%, 4/22/32 | 975 | 897 | |
2.482%, 9/21/36 | 550 | 473 | |
(3 month LIBOR + 0.770%) 1.085%, 2/5/26(4) | 275 | 274 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (6) | 430 | 440 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(1) | 200 | 189 | |
Blackstone Private Credit Fund 144A 2.625%, 12/15/26(1) | 144 | 130 | |
Blue Owl Finance LLC 144A 3.125%, 6/10/31(1) | 175 | 149 | |
Brighthouse Financial, Inc. 5.625%, 5/15/30 | 338 | 371 | |
Brookfield Finance, Inc. 2.724%, 4/15/31 | 545 | 503 | |
Capital One Financial Corp. 2.359%, 7/29/32 | 272 | 234 | |
Charles Schwab Corp. (The) Series H 4.000% (6) | 335 | 301 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 230 | 227 | |
Citigroup, Inc. | |||
3.980%, 3/20/30 | 135 | 137 | |
(3 month LIBOR + 1.250%) 2.217%, 7/1/26(4) | 395 | 399 | |
(SOFR + 1.280%) 1.484%, 2/24/28(4) | 168 | 168 | |
Coinbase Global, Inc. 144A 3.625%, 10/1/31(1) | 280 | 239 | |
Doric Nimrod Air Alpha Pass-Through Trust 2013-1, A 144A 5.250%, 5/30/23(1) | 266 | 264 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(1) | 280 | 271 | |
Goldman Sachs Group, Inc. (The) 1.992%, 1/27/32 | 145 | 126 | |
Icahn Enterprises LP 6.250%, 5/15/26 | 280 | 286 | |
Jefferies Group LLC 2.625%, 10/15/31 | 425 | 383 | |
JPMorgan Chase & Co. | |||
(SOFR + 1.180%) 1.394%, 2/24/28(4) | 265 | 265 | |
1.953%, 2/4/32 | 605 | 530 |
Par Value | Value | ||
Financials—continued | |||
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | $ 185 | $ 177 | |
Liberty Mutual Group, Inc. 144A 4.125%, 12/15/51(1) | 280 | 264 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 2.294%, 4/20/67(4) | 255 | 202 | |
MetLife, Inc. Series G 3.850% (6) | 340 | 335 | |
Morgan Stanley | |||
3.125%, 7/27/26 | 305 | 302 | |
6.375%, 7/24/42 | 260 | 348 | |
OneMain Finance Corp. | |||
6.875%, 3/15/25 | 140 | 147 | |
7.125%, 3/15/26 | 50 | 53 | |
OWL Rock Core Income Corp. 144A 4.700%, 2/8/27(1) | 260 | 250 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 105 | 106 | |
5.625%, 6/15/43 | 330 | 332 | |
5.125%, 3/1/52 | 88 | 89 | |
Santander Holdings USA, Inc. 4.400%, 7/13/27 | 300 | 305 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 90 | 92 | |
Texas Capital Bancshares, Inc. 4.000%, 5/6/31 | 330 | 322 | |
Wells Fargo & Co. | |||
2.393%, 6/2/28 | 660 | 624 | |
Series BB 3.900%(6) | 510 | 489 | |
Zions Bancorp NA 3.250%, 10/29/29 | 250 | 239 | |
13,219 | |||
Health Care—2.2% | |||
Amgen, Inc. 3.350%, 2/22/32 | 385 | 381 | |
Bausch Health Cos., Inc. 144A 5.750%, 8/15/27(1) | 90 | 89 | |
Baxter International, Inc. 144A 2.539%, 2/1/32(1) | 380 | 347 | |
Bio-Rad Laboratories, Inc. | |||
3.300%, 3/15/27 | 185 | 182 | |
3.700%, 3/15/32 | 59 | 58 | |
HCA, Inc. 5.250%, 6/15/49 | 170 | 186 | |
Illumina, Inc. 2.550%, 3/23/31 | 373 | 339 | |
Molina Healthcare, Inc. 144A 3.875%, 5/15/32(1) | 260 | 247 |
Par Value | Value | ||
Health Care—continued | |||
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | $ 80 | $ 75 | |
Prime Healthcare Services, Inc. 144A 7.250%, 11/1/25(1) | 15 | 15 | |
Teva Pharmaceutical Finance Netherlands III B.V. 3.150%, 10/1/26 | 210 | 190 | |
Universal Health Services, Inc. 144A 2.650%, 1/15/32(1) | 315 | 283 | |
Utah Acquisition Sub, Inc. 3.950%, 6/15/26 | 242 | 240 | |
Viatris, Inc. | |||
2.300%, 6/22/27 | 226 | 206 | |
144A 2.300%, 6/22/27(1) | 2 | 2 | |
2,840 | |||
Industrials—2.3% | |||
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(1) | 280 | 283 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(1) | 245 | 232 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(1) | 260 | 256 | |
BlueLinx Holdings, Inc. 144A 6.000%, 11/15/29(1) | 270 | 251 | |
Boeing Co. (The) 5.930%, 5/1/60 | 219 | 253 | |
British Airways Pass-Through Trust 2021-1, A 144A 2.900%, 3/15/35(1) | 285 | 262 | |
GFL Environmental, Inc. 144A 4.000%, 8/1/28(1) | 205 | 189 | |
Huntington Ingalls Industries, Inc. 144A 2.043%, 8/16/28(1) | 354 | 320 | |
Kazakhstan Temir Zholy Finance B.V. 144A 6.950%, 7/10/42(1) | 215 | 224 | |
Sempra Infrastructure Partners LP 144A 3.250%, 1/15/32(1) | 339 | 313 | |
Spirit AeroSystems, Inc. 144A 5.500%, 1/15/25(1) | 125 | 125 | |
Suzano Austria GmbH 2.500%, 9/15/28 | 110 | 99 | |
TransDigm, Inc. 5.500%, 11/15/27 | 120 | 119 | |
2,926 | |||
Par Value | Value | ||
Information Technology—2.5% | |||
Broadcom, Inc. | |||
4.150%, 11/15/30 | $ 297 | $ 301 | |
144A 3.187%, 11/15/36(1) | 18 | 16 | |
CDW LLC 3.569%, 12/1/31 | 352 | 326 | |
Citrix Systems, Inc. 3.300%, 3/1/30 | 445 | 440 | |
Consensus Cloud Solutions, Inc. | |||
144A 6.000%, 10/15/26(1) | 20 | 20 | |
144A 6.500%, 10/15/28(1) | 35 | 35 | |
Dell International LLC 8.100%, 7/15/36 | 197 | 259 | |
Kyndryl Holdings, Inc. 144A 2.700%, 10/15/28(1) | 198 | 171 | |
Leidos, Inc. 2.300%, 2/15/31 | 360 | 312 | |
Motorola Solutions, Inc. 4.600%, 5/23/29 | 105 | 109 | |
Oracle Corp. | |||
2.875%, 3/25/31 | 130 | 119 | |
3.850%, 4/1/60 | 60 | 49 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(1) | 255 | 251 | |
SK Hynix, Inc. 144A 1.500%, 1/19/26(1) | 400 | 370 | |
TD SYNNEX Corp. 144A 2.375%, 8/9/28(1) | 425 | 383 | |
3,161 | |||
Materials—1.7% | |||
Ardagh Packaging Finance plc 144A 4.125%, 8/15/26(1) | 200 | 193 | |
Chemours Co. (The) 144A 5.750%, 11/15/28(1) | 200 | 194 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(1) | 165 | 173 | |
Freeport-McMoRan, Inc. 5.450%, 3/15/43 | 220 | 246 | |
Glatfelter Corp. 144A 4.750%, 11/15/29(1) | 195 | 165 | |
Glencore Funding LLC 144A 2.850%, 4/27/31(1) | 405 | 370 | |
International Flavors & Fragrances, Inc. 144A 2.300%, 11/1/30(1) | 340 | 304 | |
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(1) | 290 | 282 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 265 | 313 | |
2,240 | |||
Real Estate—2.0% | |||
EPR Properties 4.750%, 12/15/26 | 335 | 335 |
Par Value | Value | ||
Real Estate—continued | |||
GLP Capital LP | |||
5.750%, 6/1/28 | $ 281 | $ 302 | |
3.250%, 1/15/32 | 33 | 30 | |
Kite Realty Group Trust 4.750%, 9/15/30 | 350 | 362 | |
MPT Operating Partnership LP | �� | ||
5.000%, 10/15/27 | 80 | 81 | |
4.625%, 8/1/29 | 55 | 54 | |
3.500%, 3/15/31 | 230 | 214 | |
Office Properties Income Trust 4.500%, 2/1/25 | 260 | 260 | |
Ontario Teachers’ Cadillac Fairview Properties Trust 144A 2.500%, 10/15/31(1) | 330 | 302 | |
Phillips Edison Grocery Center Operating Partnership I LP 2.625%, 11/15/31 | 355 | 314 | |
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24 | 190 | 191 | |
Service Properties Trust 4.950%, 2/15/27 | 165 | 152 | |
2,597 | |||
Utilities—1.0% | |||
Alliant Energy Finance LLC 144A 3.600%, 3/1/32(1) | 385 | 374 | |
Puget Energy, Inc. | |||
2.379%, 6/15/28 | 204 | 187 | |
4.224%, 3/15/32 | 158 | 158 | |
Southern Co. (The) Series 21-A 3.750%, 9/15/51 | 359 | 331 | |
Vistra Corp. 144A 8.000% (1)(6) | 205 | 207 | |
1,257 | |||
Total Corporate Bonds and Notes (Identified Cost $39,886) | 38,440 | ||
Leveraged Loans—9.6% | |||
Aerospace—0.9% | |||
Air Canada (3 month LIBOR + 3.500%) 4.250%, 8/11/28(4) | 30 | 30 | |
Brown Group Holding LLC (3 month LIBOR + 2.500%) 3.506%, 6/7/28(4) | 214 | 211 | |
Delta Air Lines, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/20/27(4) | 210 | 216 |
Par Value | Value | ||
Aerospace—continued | |||
KKR Apple Bidco LLC (1 month LIBOR + 3.000%) 3.500%, 9/22/28(4) | $ 225 | $ 221 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27(4) | 210 | 218 | |
TransDigm, Inc. Tranche E (1 month LIBOR + 2.250%) 2.707%, 5/30/25(4) | 227 | 223 | |
1,119 | |||
Chemicals—0.3% | |||
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 2.209%, 4/1/24(4) | 281 | 275 | |
Trinseo Materials Operating SCA 2021 (1 month LIBOR + 2.500%) 2.709%, 5/3/28(4) | 154 | 151 | |
426 | |||
Consumer Durables—0.2% | |||
Resideo Funding, Inc. Tranche B (1 month LIBOR + 2.250%) 2.75% - 2.79%, 2/11/28(4) | 193 | 190 | |
Restoration Hardware, Inc. (1 month LIBOR + 2.500%) 3.000%, 10/20/28(4) | 110 | 107 | |
297 | |||
Energy—0.4% | |||
Citgo Petroleum Corp. 2019, Tranche B (1 month LIBOR + 6.250%) 7.250%, 3/28/24(4) | 75 | 75 | |
Freeport LNG Investments LLLP Tranche B (3 month LIBOR + 3.500%) 4.000%, 12/21/28(4) | 170 | 169 | |
Oryx Midstream Services Permian Basin LLC Tranche B (3 month LIBOR + 3.250%) 3.750%, 10/5/28(4) | 220 | 217 | |
461 | |||
Financial—0.6% | |||
Asurion LLC Tranche B-9 (1 month LIBOR + 3.250%) 3.707%, 7/31/27(4) | 299 | 292 |
Par Value | Value | ||
Financial—continued | |||
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.457%, 6/15/25(4) | $ 219 | $ 215 | |
Citadel Securities LP 2021 (1 month Term SOFR + 2.500%) 2.927%, 2/2/28(4) | 242 | 241 | |
748 | |||
Food / Tobacco—0.6% | |||
Aramark Services, Inc. Tranche B-4 (1 month LIBOR + 1.750%) 2.207%, 1/15/27(4) | 197 | 193 | |
CHG PPC Parent LLC (1 month LIBOR + 3.250%) 3.500%, 12/8/28(4) | 195 | 190 | |
Hostess Brands LLC 2019, Tranche B (1 month LIBOR + 2.250%) 3.000%, 8/3/25(4) | 222 | 219 | |
JBS USA Lux S.A. (6 month LIBOR + 2.000%) 2.804%, 5/1/26(4) | 222 | 220 | |
822 | |||
Forest Prod / Containers—0.2% | |||
Berry Global, Inc. Tranche Z (1 month LIBOR + 1.750%) 2.071%, 7/1/26(4) | 199 | 196 | |
Gaming / Leisure—1.0% | |||
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 3.207%, 12/23/24(4) | 223 | 221 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 2.207%, 6/22/26(4) | 225 | 222 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 3.957%, 2/12/27(4) | 172 | 169 | |
Scientific Games Holdings LP Tranche B-2 (3 month LIBOR + 3.500%) 0.000%, 4/4/29(4)(7) | 40 | 40 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 3.207%, 8/14/24(4) | 109 | 109 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.710%, 2/8/27(4) | $ 158 | $ 156 | |
UFC Holdings LLC Tranche B-3 (6 month LIBOR + 2.750%) 3.500%, 4/29/26(4) | 340 | 336 | |
1,253 | |||
Health Care—0.3% | |||
Agiliti Health, Inc. (1 month LIBOR + 2.750%) 3.000%, 1/4/26(4) | 65 | 64 | |
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 3.207%, 11/27/25(4) | 23 | 23 | |
(1 month LIBOR + 3.000%) 3.457%, 6/2/25(4) | 11 | 11 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.197%, 11/16/25(4) | 154 | 153 | |
Medline Borrower LP (1 month LIBOR + 3.250%) 3.750%, 10/23/28(4) | 65 | 64 | |
Phoenix Newco, Inc. First Lien (1 month LIBOR + 3.500%) 4.000%, 11/15/28(4) | 35 | 35 | |
350 | |||
Housing—0.7% | |||
Chariot Buyer LLC (3 month LIBOR + 3.500%) 4.506%, 11/3/28(4) | 175 | 172 | |
CPG International LLC (3 month LIBOR + 2.500%) 3.250%, 5/6/24(4) | 240 | 238 | |
Quikrete Holdings, Inc. Tranche B-1 (3 month LIBOR + 3.000%) 0.000%, 6/9/28(4)(7) | 300 | 294 | |
Standard Industries, Inc. (6 month LIBOR + 2.500%) 3.788%, 9/22/28(4) | 175 | 175 | |
879 | |||
Information Technology—1.2% | |||
Applied Systems, Inc. First Lien (3 month LIBOR + 3.000%) 3.500%, 9/19/24(4) | 322 | 320 |
Par Value | Value | ||
Information Technology—continued | |||
BMC Software 2021 (3 month LIBOR + 3.750%) 4.756%, 10/2/25(4) | $ 187 | $ 185 | |
CCC Intelligent Solutions, Inc. (3 month LIBOR + 2.250%) 3.256%, 9/21/28(4) | 165 | 163 | |
Sophia LP | |||
Tranche B (3 month LIBOR + 3.250%) 4.256%, 10/7/27(4) | 183 | 181 | |
Tranche B (3 month LIBOR + 4.250%) 0.000%, 10/7/27(4)(7) | 55 | 54 | |
Tenable, Inc. (3 month LIBOR + 2.750%) 3.269%, 7/7/28(4) | 224 | 222 | |
UKG, Inc. 2021-2, First Lien (3 month LIBOR + 3.250%) 3.750%, 5/4/26(4) | 378 | 375 | |
1,500 | |||
Manufacturing—0.5% | |||
Alliance Laundry Systems LLC Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/8/27(4) | 326 | 322 | |
Gates Global LLC Tranche B-3 (1 month LIBOR + 2.500%) 3.250%, 3/31/27(4) | 222 | 219 | |
NCR Corp. (3 month LIBOR + 2.500%) 2.800%, 8/28/26(4) | 110 | 108 | |
649 | |||
Media / Telecom - Broadcasting—0.1% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.731%, 9/18/26(4) | 180 | 179 | |
Media / Telecom - Cable/Wireless Video—0.3% | |||
DIRECTV Financing LLC (1 month LIBOR + 5.000%) 0.000%, 8/2/27(4)(7) | 107 | 107 | |
Virgin Media Bristol LLC Tranche Q (3 month LIBOR + 3.250%) 3.647%, 1/31/29(4) | 300 | 298 | |
405 | |||
Par Value | Value | ||
Media / Telecom - Diversified Media—0.1% | |||
Dotdash Meredith, Inc. Tranche B (1 month Term SOFR + 4.000%) 4.500%, 12/1/28(4) | $ 160 | $ 159 | |
Media / Telecom - Telecommunications—0.0% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.707%, 3/15/27(4) | 63 | 62 | |
Media / Telecom - Wireless Communications—0.2% | |||
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 2.210%, 4/11/25(4) | 223 | 220 | |
Retail—0.1% | |||
PetsMart LLC (3 month LIBOR + 3.750%) 4.500%, 2/11/28(4) | 124 | 124 | |
Service—1.5% | |||
Dun & Bradstreet Corp. (The) | |||
, Tranche B (1 month LIBOR + 3.250%) 3.697%, 2/6/26(4) | 275 | 272 | |
2022, Tranche B-2 (1 month Term SOFR + 3.250%) 3.560%, 1/18/29(4) | 15 | 15 | |
NAB Holdings LLC (3 month Term SOFR + 3.000%) 3.801%, 11/23/28(4) | 194 | 192 | |
Peraton Corp. Tranche B, First Lien (1 month LIBOR + 3.750%) 0.000%, 2/1/28(4) | 322 | 319 | |
PODS LLC (3 month LIBOR + 3.000%) 3.750%, 3/31/28(4) | 308 | 305 | |
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 3.459%, 12/31/25(4) | 313 | 310 | |
Trans Union LLC 2021, Tranche B-6 (1 month LIBOR + 2.250%) 2.750%, 12/1/28(4) | 312 | 309 |
Par Value | Value | ||
Service—continued | |||
WEX, Inc. Tranche B (1 month LIBOR + 2.250%) 2.707%, 3/31/28(4) | $ 233 | $ 229 | |
1,951 | |||
Transportation - Automotive—0.1% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23(4) | 171 | 157 | |
Utility—0.3% | |||
Astoria Energy LLC Tranche B (3 month LIBOR + 3.500%) 0.000%, 12/10/27(4) | 150 | 148 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 2.750%) 3.250%, 8/1/25(4) | 209 | 205 | |
353 | |||
Total Leveraged Loans (Identified Cost $12,417) | 12,310 | ||
Shares | ||
Preferred Stocks—0.6% | ||
Financials—0.3% | ||
JPMorgan Chase & Co. Series HH, 4.600% | 106 (8) | 102 |
MetLife, Inc. Series D, 5.875% | 108 (8) | 108 |
Truist Financial Corp. Series Q, 5.100% | 250 (8) | 254 |
464 | ||
Industrials—0.3% | ||
General Electric Co. Series D, (3 month LIBOR + 3.330%), 4.156%(4) | 351 (8) | 336 |
Total Preferred Stocks (Identified Cost $790) | 800 | |
Total Long-Term Investments—94.6% (Identified Cost $125,249) | 121,158 | |
Shares | Value | ||
Short-Term Investment—4.0% | |||
Money Market Mutual Fund—4.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(9) | 5,068,107 | $ 5,068 | |
Total Short-Term Investment (Identified Cost $5,068) | 5,068 | ||
TOTAL INVESTMENTS—98.6% (Identified Cost $130,317) | $126,226 | ||
Other assets and liabilities, net—1.4% | 1,836 | ||
NET ASSETS—100.0% | $128,062 |
Abbreviations: | |
ABS | Asset-Backed Securities |
BAM | Build America Municipal Insured |
GS | Goldman Sachs & Co. |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
NA | National Association |
SOFR | Secured Overnight Financing Rate |
WaMu | Washington Mutual |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities amounted to a value of $60,844 or 47.5% of net assets. |
(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) | Amount is less than $500. |
(4) | Variable rate security. Rate disclosed is as of March 31, 2022. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(6) | No contractual maturity date. |
(7) | This loan will settle after March 31, 2022, at which time the interest rate will be reflected. |
(8) | Value shown as par value. |
(9) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 93% |
Canada | 2 |
Mexico | 1 |
Netherlands | 1 |
Indonesia | 1 |
Oman | 1 |
Qatar | 1 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $ 14,735 | $ — | $ 14,735 | $ — | |||
Corporate Bonds and Notes | 38,440 | — | 38,440 | — | |||
Foreign Government Securities | 2,565 | — | 2,565 | — | |||
Leveraged Loans | 12,310 | — | 12,310 | — | |||
Mortgage-Backed Securities | 31,285 | — | 31,030 | 255 | |||
Municipal Bonds | 2,458 | — | 2,458 | — | |||
U.S. Government Securities | 18,565 | — | 18,565 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 800 | — | 800 | — | |||
Money Market Mutual Fund | 5,068 | 5,068 | — | — | |||
Total Investments | $126,226 | $5,068 | $120,903 | $255 |
Par Value | Value | ||
Corporate Bonds and Notes—82.9% | |||
Communication Services—9.9% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(1) | $ 200 | $ 173 | |
Altice France S.A. 144A 5.125%, 7/15/29(1) | 200 | 179 | |
CCO Holdings LLC | |||
144A 5.125%, 5/1/27(1) | 350 | 351 | |
144A 4.750%, 3/1/30(1) | 325 | 312 | |
CommScope, Inc. 144A 4.750%, 9/1/29(1) | 100 | 92 | |
Consolidated Communications, Inc. 144A 6.500%, 10/1/28(1) | 280 | 258 | |
CSC Holdings LLC 144A 5.750%, 1/15/30(1) | 600 | 534 | |
Directv Financing LLC 144A 5.875%, 8/15/27(1) | 170 | 167 | |
DISH DBS Corp. 7.750%, 7/1/26 | 270 | 268 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 272 | 281 | |
Level 3 Financing, Inc. 144A 3.625%, 1/15/29(1) | 465 | 407 | |
McGraw-Hill Education, Inc. | |||
144A 5.750%, 8/1/28(1) | 310 | 296 | |
144A 8.000%, 8/1/29(1) | 340 | 321 | |
Millennium Escrow Corp. 144A 6.625%, 8/1/26(1) | 275 | 261 | |
Northwest Fiber LLC | |||
144A 4.750%, 4/30/27(1) | 60 | 57 | |
144A 10.750%, 6/1/28(1) | 265 | 276 | |
Telesat Canada 144A 6.500%, 10/15/27(1) | 175 | 86 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 280 | 289 | |
Twitter, Inc. 144A 3.875%, 12/15/27(1) | 405 | 394 | |
VZ Secured Financing B.V. 144A 5.000%, 1/15/32(1) | 290 | 271 | |
5,273 | |||
Consumer Discretionary—16.6% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27(2) | 325 | 321 | |
Aston Martin Capital Holdings Ltd. 144A 10.500%, 11/30/25(1) | 320 | 336 | |
At Home Group, Inc. | |||
144A 4.875%, 7/15/28(1) | 75 | 67 | |
144A 7.125%, 7/15/29(1) | 315 | 272 | |
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(1) | 135 | 139 | |
144A 8.125%, 7/1/27(1) | 105 | 113 | |
Carnival Corp. 144A 7.625%, 3/1/26(1) | 545 | 549 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Carriage Services, Inc. 144A 4.250%, 5/15/29(1) | $ 275 | $ 256 | |
Carvana Co. 144A 5.625%, 10/1/25(1) | 235 | 222 | |
Clarios Global LP 144A 8.500%, 5/15/27(1) | 255 | 265 | |
Dornoch Debt Merger Sub, Inc. 144A 6.625%, 10/15/29(1) | 190 | 165 | |
Ford Motor Co. | |||
3.250%, 2/12/32 | 76 | 68 | |
4.750%, 1/15/43 | 225 | 204 | |
Ford Motor Credit Co. LLC 4.125%, 8/17/27 | 200 | 195 | |
Gap, Inc. (The) 144A 3.875%, 10/1/31(1) | 325 | 283 | |
Hilton Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(1) | 300 | 286 | |
Jacobs Entertainment, Inc. 144A 6.750%, 2/15/29(1) | 280 | 281 | |
Legends Hospitality Holding Co. LLC 144A 5.000%, 2/1/26(1) | 310 | 298 | |
Lindblad Expeditions LLC 144A 6.750%, 2/15/27(1) | 275 | 276 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 280 | 264 | |
Mclaren Finance plc 144A 7.500%, 8/1/26(1) | 365 | 358 | |
Metis Merger Sub LLC 144A 6.500%, 5/15/29(1) | 200 | 188 | |
Mohegan Gaming & Entertainment 144A 8.000%, 2/1/26(1) | 295 | 293 | |
NMG Holding Co., Inc. 144A 7.125%, 4/1/26(1) | 405 | 416 | |
PetSmart, Inc. 144A 7.750%, 2/15/29(1) | 250 | 258 | |
Premier Entertainment Sub LLC 144A 5.625%, 9/1/29(1) | 365 | 314 | |
Royal Caribbean Cruises Ltd. | |||
144A 4.250%, 7/1/26(1) | 170 | 158 | |
144A 5.375%, 7/15/27(1) | 5 | 5 | |
144A 5.500%, 4/1/28(1) | 30 | 29 | |
Scientific Games Holdings LP 144A 6.625%, 3/1/30(1) | 45 | 44 | |
Scientific Games International, Inc. | |||
144A 8.250%, 3/15/26(1) | 120 | 125 | |
144A 7.000%, 5/15/28(1) | 160 | 166 | |
SeaWorld Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1) | 285 | 272 | |
Station Casinos LLC 144A 4.500%, 2/15/28(1) | 335 | 318 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Tenneco, Inc. | |||
5.375%, 12/15/24 | $ 150 | $ 148 | |
144A 5.125%, 4/15/29(1) | 265 | 263 | |
Vista Outdoor, Inc. 144A 4.500%, 3/15/29(1) | 365 | 336 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(1) | 310 | 286 | |
8,837 | |||
Consumer Staples—3.5% | |||
Albertsons Cos., Inc. 144A 4.625%, 1/15/27(1) | 305 | 295 | |
Chobani LLC 144A 7.500%, 4/15/25(1) | 315 | 305 | |
Energizer Holdings, Inc. 144A 6.500%, 12/31/27(1) | 105 | 104 | |
H-Food Holdings LLC 144A 8.500%, 6/1/26(1) | 270 | 258 | |
HLF Financing S.a.r.l. LLC 144A 4.875%, 6/1/29(1) | 270 | 237 | |
Turning Point Brands, Inc. 144A 5.625%, 2/15/26(1) | 425 | 412 | |
Vector Group Ltd. 144A 5.750%, 2/1/29(1) | 290 | ��264 | |
1,875 | |||
Energy—16.8% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(1) | 410 | 409 | |
Antero Midstream Partners LP 144A 5.750%, 1/15/28(1) | 340 | 347 | |
Antero Resources Corp. | |||
144A 8.375%, 7/15/26(1) | 78 | 86 | |
144A 7.625%, 2/1/29(1) | 87 | 94 | |
144A 5.375%, 3/1/30(1) | 100 | 102 | |
Ascent Resources Utica Holdings LLC 144A 8.250%, 12/31/28(1) | 310 | 326 | |
BP Capital Markets plc 4.875% (3) | 285 | 286 | |
Callon Petroleum Co. | |||
6.125%, 10/1/24 | 142 | 141 | |
144A 8.000%, 8/1/28(1)(2) | 70 | 74 | |
Calumet Specialty Products Partners LP 144A 8.125%, 1/15/27(1) | 280 | 260 | |
Cheniere Energy, Inc. 4.625%, 10/15/28 | 175 | 176 | |
Chesapeake Energy Corp. | |||
144A 5.500%, 2/1/26(1) | 320 | 328 | |
144A 5.875%, 2/1/29(1) | 115 | 119 | |
Citgo Petroleum Corp. 144A 7.000%, 6/15/25(1) | 80 | 80 | |
Coronado Finance Pty Ltd. 144A 10.750%, 5/15/26(1) | 278 | 298 |
Par Value | Value | ||
Energy—continued | |||
CrownRock LP | |||
144A 5.625%, 10/15/25(1) | $ 260 | $ 265 | |
144A 5.000%, 5/1/29(1) | 230 | 230 | |
CSI Compressco LP 144A 7.500%, 4/1/25(1) | 195 | 192 | |
DCP Midstream Operating LP 3.250%, 2/15/32 | 300 | 270 | |
DT Midstream, Inc. 144A 4.125%, 6/15/29(1) | 290 | 278 | |
Energy Transfer LP Series H 6.500% (3) | 295 | 290 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | 75 | 76 | |
144A 6.500%, 7/1/27(1) | 90 | 94 | |
Hilcorp Energy I LP | |||
144A 5.750%, 2/1/29(1) | 280 | 280 | |
144A 6.000%, 2/1/31(1) | 195 | 195 | |
International Petroleum Corp. RegS, 144A 7.250%, 2/1/27(1)(4) | 300 | 295 | |
Magnolia Oil & Gas Operating LLC 144A 6.000%, 8/1/26(1) | 235 | 239 | |
Mesquite Energy, Inc. 144A 7.250%, 2/15/23(1) | 115 | 1 | |
Nabors Industries Ltd. 144A 7.250%, 1/15/26(1) | 200 | 200 | |
Nabors Industries, Inc. 144A 7.375%, 5/15/27(1) | 110 | 114 | |
Northriver Midstream Finance LP 144A 5.625%, 2/15/26(1) | 210 | 209 | |
Occidental Petroleum Corp. | |||
5.875%, 9/1/25 | 130 | 138 | |
5.500%, 12/1/25 | 70 | 74 | |
6.625%, 9/1/30 | 265 | 304 | |
6.125%, 1/1/31 | 250 | 281 | |
Parsley Energy LLC 144A 4.125%, 2/15/28(1) | 175 | 174 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 300 | 293 | |
Rockcliff Energy II LLC 144A 5.500%, 10/15/29(1) | 10 | 10 | |
Southwestern Energy Co. 5.375%, 2/1/29 | 300 | 304 | |
Targa Resources Partners LP 4.875%, 2/1/31 | 120 | 121 | |
Teine Energy Ltd. 144A 6.875%, 4/15/29(1) | 305 | 310 | |
Transocean, Inc. 144A 11.500%, 1/30/27(1) | 143 | 148 | |
USA Compression Partners LP 6.875%, 4/1/26 | 170 | 172 | |
Venture Global Calcasieu Pass LLC | |||
144A 3.875%, 8/15/29(1) | 30 | 29 |
Par Value | Value | ||
Energy—continued | |||
144A 4.125%, 8/15/31(1) | $ 250 | $ 245 | |
8,957 | |||
Financials—8.0% | |||
Acrisure LLC | |||
144A 7.000%, 11/15/25(1) | 240 | 240 | |
144A 4.250%, 2/15/29(1) | 280 | 254 | |
Ally Financial, Inc. Series B 4.700% (3) | 255 | 240 | |
BroadStreet Partners, Inc. 144A 5.875%, 4/15/29(1) | 375 | 350 | |
Burford Capital Global Finance LLC 144A 6.250%, 4/15/28(1) | 295 | 300 | |
Cobra Acquisition Co. LLC 144A 6.375%, 11/1/29(1) | 280 | 240 | |
Coinbase Global, Inc. 144A 3.625%, 10/1/31(1) | 300 | 256 | |
Icahn Enterprises LP | |||
6.250%, 5/15/26 | 220 | 224 | |
5.250%, 5/15/27 | 280 | 275 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 350 | 335 | |
Midcap Financial Issuer Trust 144A 6.500%, 5/1/28(1) | 400 | 376 | |
Navient Corp. 5.875%, 10/25/24 | 185 | 189 | |
OneMain Finance Corp. | |||
6.875%, 3/15/25 | 185 | 195 | |
7.125%, 3/15/26 | 75 | 80 | |
OWL Rock Core Income Corp. 144A 4.700%, 2/8/27(1) | 276 | 265 | |
Prospect Capital Corp. 3.706%, 1/22/26 | 455 | 429 | |
4,248 | |||
Health Care—8.1% | |||
Akumin, Inc. 144A 7.000%, 11/1/25(1) | 320 | 266 | |
Bausch Health Americas, Inc. | |||
144A 9.250%, 4/1/26(1) | 135 | 138 | |
144A 8.500%, 1/31/27(1) | 270 | 269 | |
Bausch Health Cos., Inc. 144A 6.125%, 2/1/27(1) | 45 | 45 | |
Cheplapharm Arzneimittel GmbH 144A 5.500%, 1/15/28(1) | 585 | 566 | |
Community Health Systems, Inc. | |||
144A 6.875%, 4/15/29(1) | 25 | 25 | |
144A 6.125%, 4/1/30(1) | 235 | 219 | |
144A 5.250%, 5/15/30(1) | 285 | 274 | |
144A 4.750%, 2/15/31(1) | 160 | 151 |
Par Value | Value | ||
Health Care—continued | |||
Encompass Health Corp. 4.500%, 2/1/28 | $ 285 | $ 279 | |
Endo Dac 144A 9.500%, 7/31/27(1) | 50 | 44 | |
Lannett Co., Inc. 144A 7.750%, 4/15/26(1) | 105 | 57 | |
Legacy LifePoint Health LLC | |||
144A 6.750%, 4/15/25(1) | 5 | 5 | |
144A 4.375%, 2/15/27(1) | 150 | 145 | |
Ortho-Clinical Diagnostics, Inc. | |||
144A 7.375%, 6/1/25(1) | 84 | 87 | |
144A 7.250%, 2/1/28(1) | 81 | 83 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | 256 | 239 | |
Prime Healthcare Services, Inc. 144A 7.250%, 11/1/25(1) | 45 | 46 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(1) | 180 | 179 | |
144A 10.000%, 4/15/27(1) | 130 | 137 | |
Team Health Holdings, Inc. 144A 6.375%, 2/1/25(1)(2) | 310 | 278 | |
Tenet Healthcare Corp. | |||
144A 4.875%, 1/1/26(1) | 180 | 182 | |
144A 6.250%, 2/1/27(1) | 130 | 133 | |
144A 5.125%, 11/1/27(1) | 60 | 60 | |
Teva Pharmaceutical Finance Netherlands III B.V. | |||
3.150%, 10/1/26 | 245 | 222 | |
5.125%, 5/9/29 | 200 | 192 | |
4,321 | |||
Industrials—7.1% | |||
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(1) | 380 | 385 | |
American Airlines Group, Inc. 144A 5.000%, 6/1/22(1)(2) | 190 | 190 | |
American Airlines, Inc. 144A 11.750%, 7/15/25(1) | 330 | 385 | |
BCPE Ulysses Intermediate, Inc. PIK 144A 7.750%, 4/1/27(1)(5) | 305 | 277 | |
BlueLinx Holdings, Inc. 144A 6.000%, 11/15/29(1) | 180 | 167 | |
Boeing Co. (The) 5.930%, 5/1/60 | 231 | 267 | |
Bombardier, Inc. | |||
144A 7.500%, 12/1/24(1) | 125 | 129 | |
144A 6.000%, 2/15/28(1) | 135 | 127 | |
Cleaver-Brooks, Inc. 144A 7.875%, 3/1/23(1)(2) | 300 | 286 | |
CP Atlas Buyer, Inc. 144A 7.000%, 12/1/28(1)(2) | 290 | 247 |
Par Value | Value | ||
Industrials—continued | |||
Deluxe Corp. 144A 8.000%, 6/1/29(1) | $ 150 | $ 152 | |
Fortress Transportation & Infrastructure Investors LLC 144A 9.750%, 8/1/27(1) | 40 | 42 | |
Fortress Transportation and Infrastructure Investors LLC 144A 6.500%, 10/1/25(1) | 235 | 233 | |
LBM Acquisition LLC 144A 6.250%, 1/15/29(1) | 160 | 150 | |
OT Merger Corp. 144A 7.875%, 10/15/29(1) | 140 | 121 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(1) | 295 | 293 | |
TransDigm, Inc. | |||
144A 6.250%, 3/15/26(1) | 115 | 118 | |
5.500%, 11/15/27 | 205 | 203 | |
3,772 | |||
Information Technology—3.2% | |||
Consensus Cloud Solutions, Inc. | |||
144A 6.000%, 10/15/26(1) | 60 | 59 | |
144A 6.500%, 10/15/28(1) | 90 | 89 | |
ION Trading Technologies S.a.r.l. 144A 5.750%, 5/15/28(1) | 200 | 193 | |
MicroStrategy, Inc. 144A 6.125%, 6/15/28(1)(2) | 290 | 282 | |
Minerva Merger Sub, Inc. 144A 6.500%, 2/15/30(1) | 75 | 73 | |
Plantronics, Inc. 144A 4.750%, 3/1/29(1) | 305 | 314 | |
Rocket Software, Inc. 144A 6.500%, 2/15/29(1)(2) | 295 | 268 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(1) | 435 | 429 | |
1,707 | |||
Materials—6.6% | |||
ARD Finance S.A. PIK 144A 6.500%, 6/30/27(1)(5) | 395 | 361 | |
Chemours Co. (The) 144A 5.750%, 11/15/28(1) | 280 | 272 | |
Cleveland-Cliffs, Inc. | |||
7.000%, 3/15/27 | 170 | 175 | |
144A 6.750%, 3/15/26(1) | 115 | 121 | |
Eldorado Gold Corp. 144A 6.250%, 9/1/29(1) | 325 | 327 |
Par Value | Value | ||
Materials—continued | |||
Freeport-McMoRan, Inc. 5.450%, 3/15/43 | $ 235 | $ 263 | |
Glatfelter Corp. 144A 4.750%, 11/15/29(1) | 165 | 140 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(1) | 455 | 451 | |
New Enterprise Stone & Lime Co., Inc. 144A 9.750%, 7/15/28(1) | 390 | 393 | |
Taseko Mines Ltd. 144A 7.000%, 2/15/26(1) | 460 | 473 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(1) | 150 | 151 | |
144A 6.625%, 11/1/25(1) | 265 | 260 | |
WR Grace Holdings LLC 144A 5.625%, 8/15/29(1) | 125 | 117 | |
3,504 | |||
Real Estate—1.7% | |||
GLP Capital LP 3.250%, 1/15/32 | 57 | 52 | |
iStar, Inc. 4.250%, 8/1/25 | 290 | 285 | |
MPT Operating Partnership LP 3.500%, 3/15/31 | 315 | 293 | |
Service Properties Trust 7.500%, 9/15/25 | 270 | 283 | |
913 | |||
Utilities—1.4% | |||
Ferrellgas LP | |||
144A 5.375%, 4/1/26(1) | 150 | 141 | |
144A 5.875%, 4/1/29(1) | 90 | 83 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(1) | 240 | 239 | |
Vistra Corp. 144A 8.000% (1)(3) | 280 | 283 | |
746 | |||
Total Corporate Bonds and Notes (Identified Cost $45,758) | 44,153 | ||
Leveraged Loans—8.0% | |||
Aerospace—0.7% | |||
American Airlines, Inc. (3 month LIBOR + 4.750%) 5.500%, 4/20/28(6) | 50 | 50 |
Par Value | Value | ||
Aerospace—continued | |||
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27(6) | $ 295 | $ 306 | |
356 | |||
Consumer Non-Durables—0.3% | |||
Parfums Holding Co., Inc. First Lien (1 month LIBOR + 4.000%) 4.457%, 6/30/24(6) | 168 | 166 | |
Energy—0.6% | |||
Citgo Petroleum Corp. 2019, Tranche B (1 month LIBOR + 6.250%) 7.250%, 3/28/24(6) | 84 | 83 | |
Traverse Midstream Partners LLC (3 month Term SOFR + 4.250%) 5.250%, 9/27/24(6) | 219 | 218 | |
301 | |||
Financial—0.3% | |||
Asurion LLC Tranche B-3, Second Lien (1 month LIBOR + 5.250%) 5.707%, 1/31/28(6) | 175 | 171 | |
Forest Prod / Containers—0.4% | |||
Klockner Pentaplast of America, Inc. Tranche B (6 month LIBOR + 4.750%) 5.554%, 2/12/26(6) | 213 | 193 | |
Gaming / Leisure—0.7% | |||
ECL Entertainment LLC Tranche B (3 month LIBOR + 7.500%) 8.250%, 5/1/28(6) | 114 | 115 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24(6) | 239 | 233 | |
348 | |||
Health Care—1.1% | |||
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 4.207%, 10/10/25(6) | 132 | 87 | |
LSCS Holdings, Inc. (1 month LIBOR + 4.500%) 5.000%, 12/16/28(6) | 254 | 251 |
Par Value | Value | ||
Health Care—continued | |||
One Call Corp. Tranche B, First Lien (3 month LIBOR + 5.500%) 6.250%, 4/22/27(6) | $ 258 | $ 239 | |
577 | |||
Information Technology—0.5% | |||
BMC Software Second Lien (1 month LIBOR + 5.500%) 6.000%, 2/27/26(6) | 120 | 119 | |
Infinite Bidco LLC Second Lien (3 month LIBOR + 7.000%) 7.508%, 3/2/29(6) | 175 | 172 | |
291 | |||
Manufacturing—0.6% | |||
Arcline FM Holdings LLC | |||
First Lien (6 month LIBOR + 4.750%) 5.500%, 6/23/28(6) | 149 | 147 | |
Second Lien (6 month LIBOR + 8.250%) 9.000%, 6/25/29(6) | 190 | 187 | |
334 | |||
Media / Telecom - Telecommunications—0.4% | |||
Securus Technologies Holdings, Inc. First Lien (3 month LIBOR + 4.500%) 5.506%, 11/1/24(6) | 202 | 192 | |
Service—1.5% | |||
Carlisle Foodservice Products, Inc. First Lien (6 month LIBOR + 3.000%) 4.000%, 3/20/25(6) | 78 | 75 | |
Dun & Bradstreet Corp. (The) , Tranche B (1 month LIBOR + 3.250%) 3.697%, 2/6/26(6) | 147 | 145 | |
Grab Holdings, Inc. (6 month LIBOR + 4.500%) 5.500%, 1/29/26(6) | 381 | 372 | |
Sweetwater Borrower LLC (1 month LIBOR + 4.750%) 5.500%, 8/7/28(6) | 200 | 197 | |
789 | |||
Par Value | Value | ||
Transportation - Automotive—0.4% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23(6) | $ 252 | $ 233 | |
Utility—0.5% | |||
Lightstone HoldCo LLC | |||
2018, Tranche B (3 month LIBOR + 3.750%) 4.750%, 1/30/24(6) | 293 | 264 | |
2018, Tranche C (3 month LIBOR + 3.750%) 4.750%, 1/30/24(6) | 17 | 15 | |
279 | |||
Total Leveraged Loans (Identified Cost $4,279) | 4,230 | ||
Shares | ||
Preferred Stocks—0.8% | ||
Financials—0.8% | ||
Capital Farm Credit ACA Series 1 144A, 5.000%(1) | 250 (7) | 245 |
Citigroup, Inc. Series T, 6.250%(6) | 190 (7) | 199 |
444 | ||
Total Preferred Stocks (Identified Cost $442) | 444 | |
Common Stocks—0.4% | ||
Consumer Discretionary—0.1% | ||
MYT Holding LLC Class B(8)(9) | 33,144 | 43 |
NMG Parent LLC(9) | 116 | 20 |
63 | ||
Energy—0.3% | ||
Frontera Energy Corp.(9) | 1,088 | 12 |
QuarterNorth Energy Holding, Inc.(9) | 1,072 | 145 |
157 | ||
Total Common Stocks (Identified Cost $348) | 220 | |
Shares | Value | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(8)(9) | 8,563 | $ 11 | |
Total Rights (Identified Cost $7) | 11 | ||
Total Long-Term Investments—92.1% (Identified Cost $50,834) | 49,058 | ||
Short-Term Investment—5.8% | |||
Money Market Mutual Fund—5.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(10) | 3,110,601 | 3,111 | |
Total Short-Term Investment (Identified Cost $3,111) | 3,111 | ||
Securities Lending Collateral—3.7% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(10)(11) | 1,945,441 | 1,945 | |
Total Securities Lending Collateral (Identified Cost $1,945) | 1,945 | ||
TOTAL INVESTMENTS—101.6% (Identified Cost $55,890) | $54,114 | ||
Other assets and liabilities, net—(1.6)% | (857) | ||
NET ASSETS—100.0% | $53,257 |
Abbreviations: | |
ACA | American Capital Access Financial Guarantee Corp. |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
SOFR | Secured Overnight Financing Rate |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities amounted to a value of $35,653 or 66.9% of net assets. |
(2) | All or a portion of security is on loan. |
(3) | No contractual maturity date. |
(4) | 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. |
(5) | 100% of the income received was in cash. |
(6) | Variable rate security. Rate disclosed is as of March 31, 2022. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(7) | Value shown as par value. |
(8) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(9) | Non-income producing. |
(10) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(11) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 86% |
Canada | 5 |
Netherlands | 2 |
Luxembourg | 1 |
United Kingdom | 1 |
Germany | 1 |
Panama | 1 |
Other | 3 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $44,153 | $ — | $44,153 | $— | |||
Leveraged Loans | 4,230 | — | 4,230 | — | |||
Equity Securities: | |||||||
Common Stocks | 220 | 12 | 165 | 43 | |||
Preferred Stocks | 444 | — | 444 | — | |||
Rights | 11 | — | — | 11 | |||
Securities Lending Collateral | 1,945 | 1,945 | — | — | |||
Money Market Mutual Fund | 3,111 | 3,111 | — | — | |||
Total Investments | $54,114 | $5,068 | $48,992 | $54 |
Par Value | Value | ||
U.S. Government Securities—5.0% | |||
U.S. Treasury Notes | |||
1.750%, 6/15/22 | $ 11,260 | $ 11,288 | |
0.125%, 3/31/23 | 8,090 | 7,964 | |
0.125%, 4/30/23 | 5,595 | 5,496 | |
1.000%, 12/15/24 | 8,275 | 7,953 | |
0.375%, 12/31/25 | 2,790 | 2,576 | |
Total U.S. Government Securities (Identified Cost $36,003) | 35,277 | ||
Foreign Government Securities—0.4% | |||
Dominican Republic 144A 5.500%, 2/22/29(1) | 1,090 | 1,076 | |
Kingdom of Saudi Arabia 144A 4.000%, 4/17/25(1) | 425 | 441 | |
Republic of Indonesia 144A 4.125%, 1/15/25(1) | 435 | 447 | |
Republic of Kazakhstan 144A 5.125%, 7/21/25(1) | 570 | 591 | |
Republic of South Africa 5.875%, 9/16/25 | 265 | 280 | |
State of Qatar Government International Bond 144A 3.400%, 4/16/25(1) | 300 | 306 | |
Total Foreign Government Securities (Identified Cost $3,201) | 3,141 | ||
Mortgage-Backed Securities—28.6% | |||
Agency—0.2% | |||
Federal National Mortgage Association | |||
Pool #AD6058 4.000%, 8/1/25 | 11 | 12 | |
Pool #AO5149 3.000%, 6/1/27 | 47 | 48 | |
Pool #AL7532 3.000%, 11/1/27 | 199 | 201 | |
Pool #AS5730 3.000%, 9/1/30 | 418 | 422 | |
Pool #MA0908 4.000%, 11/1/31 | 120 | 124 | |
Pool #AC3654 5.000%, 10/1/39 | 91 | 98 | |
Pool #AD3841 4.500%, 4/1/40 | 26 | 28 | |
Pool #MA3663 3.500%, 5/1/49 | 225 | 226 | |
Government National Mortgage Association | |||
Pool #345039 7.000%, 9/15/23 | — (2) | — (2) | |
Pool #780023 7.000%, 9/15/24 | 1 | 1 | |
1,160 | |||
Par Value | Value | ||
Non-Agency—28.4% | |||
Ajax Mortgage Loan Trust | |||
2021-A, A1 144A 1.065%, 9/25/65(1)(3) | $ 1,721 | $ 1,612 | |
2019-D, A1 144A 2.956%, 9/25/65(1)(3) | 551 | 552 | |
Aligned Data Centers Issuer LLC 2021-1A, A2 144A 1.937%, 8/15/46(1) | 1,840 | 1,695 | |
American Homes 4 Rent Trust | |||
2014-SFR3, A 144A 3.678%, 12/17/36(1) | 2,607 | 2,597 | |
2015-SFR1, A 144A 3.467%, 4/17/52(1) | 174 | 173 | |
AMSR Trust | |||
2020-SFR1, A 144A 1.819%, 4/17/37(1) | 939 | 891 | |
2020-SFR1, B 144A 2.120%, 4/17/37(1) | 940 | 889 | |
2020-SFR3, B 144A 1.806%, 9/17/37(1) | 2,400 | 2,242 | |
2021-SFR2, C 144A 1.877%, 8/17/38(1) | 1,010 | 913 | |
Angel Oak Mortgage Trust | |||
2021-7, A1 144A 1.978%, 10/25/66(1)(3) | 1,112 | 1,062 | |
2021-8, A1 144A 1.820%, 11/25/66(1)(3) | 2,943 | 2,756 | |
Angel Oak Mortgage Trust I LLC 2018-3, A1 144A 3.649%, 9/25/48(1)(3) | 237 | 236 | |
Angel Oak Mortgage Trust LLC | |||
2020-R1, A2 144A 1.247%, 4/25/53(1)(3) | 1,154 | 1,135 | |
2020-6, A1 144A 1.261%, 5/25/65(1)(3) | 283 | 277 | |
2020-4, A1 144A 1.469%, 6/25/65(1)(3) | 1,421 | 1,399 | |
2021-2, A1 144A 0.985%, 4/25/66(1)(3) | 2,451 | 2,338 | |
Angel Oak SB Commercial Mortgage Trust 2020-SBC1, A1 144A 2.068%, 5/25/50(1)(3) | 691 | 674 | |
Arroyo Mortgage Trust | |||
2021-1R, A1 144A 1.175%, 10/25/48(1)(3) | 1,253 | 1,186 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(3) | 870 | 857 | |
2020-1, A1B 144A 2.100%, 3/25/55(1) | 1,264 | 1,246 | |
Banc of America Funding Trust | |||
2004-B, 2A1 2.505%, 11/20/34(3) | 10 | 10 | |
2005-1, 1A1 5.500%, 2/25/35 | 48 | 47 | |
Bayview Koitere Fund Trust 2017-RT4, A 144A 3.500%, 7/28/57(1)(3) | 102 | 102 |
Par Value | Value | ||
Non-Agency—continued | |||
Bayview Opportunity Master Fund IVa Trust 2017-RT1, A1 144A 3.000%, 3/28/57(1)(3) | $ 192 | $ 190 | |
BPR Trust 2021-KEN, A (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.647%, 2/15/29(1)(3) | 755 | 750 | |
BRAVO Residential Funding Trust | |||
2021-A, A1 144A 1.991%, 1/25/24(1)(3) | 865 | 831 | |
2021-NQM3, A1 144A 1.699%, 4/25/60(1)(3) | 2,846 | 2,778 | |
Bunker Hill Loan Depositary Trust 2019-2, A1 144A 2.879%, 7/25/49(1)(3) | 583 | 579 | |
BX Commercial Mortgage Trust 2019-XL, C (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.647%, 10/15/36(1)(3) | 880 | 872 | |
BX Trust 2018-GW, B (1 month LIBOR + 1.020%, Cap N/A, Floor 1.020%) 144A 1.417%, 5/15/35(1)(3) | 1,265 | 1,247 | |
Cascade MH Asset Trust 2021-MH1, A1 144A 1.753%, 2/25/46(1) | 2,615 | 2,424 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(1) | 870 | 822 | |
CHC Commercial Mortgage Trust 2019-CHC, A (1 month LIBOR + 1.120%, Cap N/A, Floor 1.120%) 144A 1.517%, 6/15/34(1)(3) | 367 | 364 | |
Citigroup Commercial Mortgage Trust 2015-GC27, A4 2.878%, 2/10/48 | 1,103 | 1,087 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2014-A, A 144A 4.000%, 1/25/35(1)(3) | 106 | 105 | |
2015-PS1, A1 144A 3.750%, 9/25/42(1)(3) | 47 | 46 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(3) | 382 | 378 | |
2019-RP1, A1 144A 3.500%, 1/25/66(1)(3) | 1,453 | 1,443 | |
COLT Funding LLC 2021-3R, A1 144A 1.051%, 12/25/64(1)(3) | 1,449 | 1,417 | |
COLT Mortgage Loan Trust | |||
2022-3, A1 144A 3.901%, (1)(3)(4) | 2,170 | 2,166 |
Par Value | Value | ||
Non-Agency—continued | |||
2022-1, A1 144A 2.284%, 12/27/66(1)(3) | $ 2,340 | $ 2,270 | |
COLT Mortgage Loan Trust Funding LLC 2021-2R, A1 144A 0.798%, 7/27/54(1) | 537 | 534 | |
COLT Mortgage Pass-Through Certificates | |||
2021-1R, A1 144A 0.857%, 5/25/65(1)(3) | 555 | 549 | |
2021-1R, A3 144A 1.421%, 5/25/65(1)(3) | 1,162 | 1,147 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(1)(3) | 964 | 908 | |
COMM Mortgage Trust 2020-CBM, B 144A 3.099%, 2/10/37(1) | 1,035 | 996 | |
CoreVest American Finance Issuer LLC 2021-RTL1, A1 144A 2.239%, 3/28/29(1)(3) | 950 | 899 | |
Corevest American Finance Trust 2020-1, A1 144A 1.832%, 3/15/50(1) | 3,374 | 3,228 | |
CoreVest American Finance Trust | |||
2018-2, A 144A 4.026%, 11/15/52(1) | 656 | 660 | |
2020-4, A 144A 1.174%, 12/15/52(1) | 1,436 | 1,332 | |
2020-3, A 144A 1.358%, 8/15/53(1) | 2,055 | 1,901 | |
Credit Suisse First Boston Mortgage Securities Corp. 2003-AR30, 5A1 2.433%, 1/25/34(3) | 53 | 53 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%, Cap N/A, Floor 0.980%) 144A 1.377%, 5/15/36(1)(3) | 1,455 | 1,447 | |
Credit Suisse Mortgage Capital Trust | |||
2014-IVR2, A2 144A 3.820%, 4/25/44(1)(3) | 156 | 150 | |
2017-RPL1, A1 144A 2.750%, 7/25/57(1)(3) | 616 | 611 | |
2020-RPL4, A1 144A 2.000%, 1/25/60(1)(3) | 2,064 | 1,988 | |
2021-NQM1, A1 144A 0.809%, 5/25/65(1)(3) | 1,356 | 1,320 | |
2020-NQM1, A1 144A 1.208%, 5/25/65(1)(3) | 937 | 922 | |
2021-NQM2, A1 144A 1.179%, 2/25/66(1)(3) | 945 | 911 | |
2021-AFC1, A1 144A 0.830%, 3/25/56(1)(3) | 1,103 | 1,060 |
Par Value | Value | ||
Non-Agency—continued | |||
Deephaven Residential Mortgage Trust | |||
2020-2, A1 144A 1.692%, 5/25/65(1) | $ 288 | $ 288 | |
2022-1, A1 144A 2.205%, 1/25/67(1)(3) | 768 | 736 | |
Ellington Financial Mortgage Trust | |||
2019-2, A3 144A 3.046%, 11/25/59(1)(3) | 343 | 338 | |
2020-1, A1 144A 2.006%, 5/25/65(1)(3) | 295 | 293 | |
2020-2, A1 144A 1.178%, 10/25/65(1)(3) | 2,301 | 2,274 | |
2021-1, A2 144A 1.003%, 2/25/66(1)(3) | 692 | 664 | |
2021-2, A1 144A 0.931%, 6/25/66(1)(3) | 1,548 | 1,447 | |
2022-1, A1 144A 2.206%, 1/25/67(1)(3) | 785 | 743 | |
Extended Stay America Trust 2021-ESH, C (1 month LIBOR + 1.700%, Cap N/A, Floor 1.700%) 144A 2.097%, 7/15/38(1)(3) | 1,073 | 1,058 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 8/17/37(1) | 800 | 748 | |
2020-SFR2, A 144A 1.266%, 10/19/37(1) | 1,201 | 1,116 | |
2020-SFR2, B 144A 1.567%, 10/19/37(1) | 2,045 | ��1,895 | |
2021-SFR1, D 144A 2.189%, 8/17/38(1) | 1,810 | 1,643 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(3) | 127 | 127 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(3) | 69 | 69 | |
2019-2, A52 144A 3.500%, 6/25/59(1)(3) | 611 | 612 | |
GCAT Trust 2020-NQM1, A1 144A 2.247%, 1/25/60(1)(3) | 140 | 138 | |
GCT Commercial Mortgage Trust 2021-GCT, A (1 month LIBOR + 0.800%, Cap N/A, Floor 0.800%) 144A 1.197%, 2/15/38(1)(3) | 2,085 | 2,049 | |
GS Mortgage Securities Trust | |||
2020-TWN3, A (1 month LIBOR + 2.000%, Cap N/A, Floor 2.000%) 144A 2.397%, 11/15/37(1)(3) | 1,540 | 1,539 | |
2020-GC45, AS 3.173%, 2/13/53(3) | 1,426 | 1,400 |
Par Value | Value | ||
Non-Agency—continued | |||
GS Mortgage-Backed Securities Trust 2020-NQM1, A3 144A 2.352%, 9/27/60(1)(3) | $ 272 | $ 268 | |
GSR Mortgage Loan Trust 2003-3F, 1A6 6.000%, 4/25/33 | 91 | 92 | |
Hilton USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(1) | 1,070 | 1,054 | |
JPMBB Commercial Mortgage Securities Trust | |||
2014-C18, AS 4.439%, 2/15/47(3) | 1,395 | 1,410 | |
2015-C32, AS 3.984%, 11/15/48 | 2,200 | 2,177 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, AM 144A 3.367%, 6/25/29(1)(3) | 366 | 357 | |
2014-2, 2A2 144A 3.500%, 6/25/29(1)(3) | 268 | 263 | |
2006-A2, 4A1 2.223%, 8/25/34(3) | 27 | 28 | |
2014-1, 2A12 144A 3.500%, 1/25/44(1)(3) | 137 | 134 | |
2015-1, AM1 144A 2.099%, 12/25/44(1)(3) | 89 | 90 | |
2016-SH1, M2 144A 3.750%, 4/25/45(1)(3) | 266 | 261 | |
2015-5, A2 144A 2.266%, 5/25/45(1)(3) | 488 | 492 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(3) | 471 | 462 | |
2017-3, 2A2 144A 2.500%, 8/25/47(1)(3) | 271 | 259 | |
2017-5, A1 144A 3.050%, 10/26/48(1)(3) | 664 | 663 | |
JPMorgan Chase WaMu Mortgage Pass-Through Certificates Trust 2003-AR6, A1 2.568%, 6/25/33(3) | 72 | 71 | |
KKR Industrial Portfolio Trust 2021-KDIP, C (1 month LIBOR + 1.000%, Cap N/A, Floor 1.000%) 144A 1.397%, 12/15/37(1)(3) | 1,459 | 1,426 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%, Cap N/A, Floor 0.800%) 144A 1.197%, 5/15/36(1)(3) | 1,040 | 1,031 | |
LHOME Mortgage Trust 2021-RTL1, A1 144A 2.090%, 9/25/26(1)(3) | 1,000 | 961 |
Par Value | Value | ||
Non-Agency—continued | |||
Mello Warehouse Securitization Trust | |||
2021-1, C (1 month LIBOR + 1.100%, Cap N/A, Floor 1.100%) 144A 1.557%, 2/25/55(1)(3) | $ 775 | $ 768 | |
2021-2, C (1 month LIBOR + 1.100%, Cap N/A, Floor 1.100%) 144A 1.557%, 4/25/55(1)(3) | 1,035 | 1,030 | |
MetLife Securitization Trust | |||
2018-1A, A 144A 3.750%, 3/25/57(1)(3) | 1,694 | 1,699 | |
2019-1A, A1A 144A 3.750%, 4/25/58(1)(3) | 2,762 | 2,781 | |
MFA Trust | |||
2021-NQM1, A1 144A 1.153%, 4/25/65(1)(3) | 939 | 923 | |
2020-NQM3, A1 144A 1.014%, 1/26/65(1)(3) | 1,058 | 1,034 | |
2021-INV1, A1 144A 0.852%, 1/25/56(1)(3) | 218 | 211 | |
Mill City Mortgage Loan Trust | |||
2021-NMR1, A1 144A 1.125%, 11/25/60(1)(3) | 875 | 839 | |
2017-3, M2 144A 3.250%, 1/25/61(1)(3) | 1,018 | 1,002 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust | |||
2013-C10, A4 4.075%, 7/15/46(3) | 2,065 | 2,075 | |
2013-C13, AS 4.266%, 11/15/46 | 1,515 | 1,529 | |
Morgan Stanley Capital I Trust 2017-CLS, A (1 month LIBOR + 0.700%, Cap N/A, Floor 0.700%) 144A 1.097%, 11/15/34(1)(3) | 1,380 | 1,373 | |
Morgan Stanley Residential Mortgage Loan Trust 2014-1A, B2 144A 2.340%, 6/25/44(1)(3) | 323 | 330 | |
Motel Trust 2021-MTL6, B (1 month LIBOR + 1.200%, Cap N/A, Floor 1.200%) 144A 1.597%, 9/15/38(1)(3) | 2,645 | 2,600 | |
New Residential Mortgage Loan Trust | |||
2014-1A, A 144A 3.750%, 1/25/54(1)(3) | 591 | 591 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(3) | 634 | 632 | |
2016-1A, A1 144A 3.750%, 3/25/56(1)(3) | 368 | 367 |
Par Value | Value | ||
Non-Agency—continued | |||
2016-3A, A1 144A 3.750%, 9/25/56(1)(3) | $ 371 | $ 373 | |
2016-4A, A1 144A 3.750%, 11/25/56(1)(3) | 1,604 | 1,617 | |
2017-2A, A3 144A 4.000%, 3/25/57(1)(3) | 1,057 | 1,059 | |
2021-NQ2R, A1 144A 0.941%, 10/25/58(1)(3) | 761 | 742 | |
2019-NQM4, A1 144A 2.492%, 9/25/59(1)(3) | 305 | 304 | |
2020-1A, A1B 144A 3.500%, 10/25/59(1)(3) | 1,423 | 1,414 | |
2014-2A, A3 144A 3.750%, 5/25/54(1)(3) | 52 | 52 | |
2014-3A, AFX3 144A 3.750%, 11/25/54(1)(3) | 1,414 | 1,411 | |
2016-2A, A1 144A 3.750%, 11/26/35(1)(3) | 870 | 870 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(3) | 1,304 | 1,314 | |
NewRez Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.050%, Cap N/A, Floor 1.050%) 144A 1.507%, 5/25/55(1)(3) | 2,535 | 2,503 | |
NMLT Trust 2021-INV1, A1 144A 1.185%, 5/25/56(1)(3) | 1,516 | 1,423 | |
NYMT Loan Trust 2022-CP1, A1 144A 2.042%, 7/25/61(1) | 2,869 | 2,770 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(1)(3) | 76 | 76 | |
2021-NQM2, A1 144A 1.101%, 5/25/61(1)(3) | 1,106 | 1,041 | |
2018-1, A2 (1 month LIBOR + 0.650%) 144A 1.107%, 6/25/57(1)(3) | 137 | 135 | |
Preston Ridge Partners Mortgage LLC | |||
2020-6, A1 144A 2.363%, 11/25/25(1)(3) | 840 | 817 | |
2021-3, A1 144A 1.867%, 4/25/26(1)(3) | 575 | 550 | |
2021-RPL2, A1 144A 1.455%, 10/25/51(1)(3) | 684 | 647 | |
PRET LLC 2021-RN3, A1 144A 1.843%, 9/25/51(1)(3) | 1,416 | 1,351 | |
Pretium Mortgage Credit Partners I LLC 2021-NPL1, A1 144A 2.240%, 9/27/60(1)(3) | 557 | 536 | |
Progress Residential Trust | |||
2021-SFR3, C 144A 2.088%, 5/17/26(1) | 500 | 456 | |
2021-SFR3, D 144A 2.288%, 5/17/26(1) | 1,010 | 916 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-SFR2, A 144A 3.147%, 5/17/36(1) | $ 1,207 | $ 1,193 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 685 | 666 | |
2021-SFR6, C 144A 1.855%, 7/17/38(1) | 725 | 659 | |
2020-SFR2, A 144A 2.078%, 6/17/37(1) | 2,131 | 2,039 | |
2020-SFR3, A 144A 1.294%, 10/17/27(1) | 344 | 321 | |
2021-SFR1, C 144A 1.555%, 4/17/38(1) | 1,050 | 938 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(1)(3) | 118 | 116 | |
Provident Funding Mortgage Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.150%, Cap N/A, Floor 1.150%) 144A 1.337%, 2/25/55(1)(3) | 644 | 636 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(1)(3) | 354 | 349 | |
RCO VI Mortgage LLC 2022-1, A1 144A 3.000%, 1/25/27(1)(3) | 965 | 935 | |
RCO VII Mortgage LLC 2021-2, A1 144A 2.116%, 9/25/26(1)(3) | 1,065 | 1,025 | |
Residential Mortgage Loan Trust | |||
2019-2, A1 144A 2.913%, 5/25/59(1)(3) | 75 | 75 | |
2020-1, A1 144A 2.376%, 1/26/60(1)(3) | 1,074 | 1,045 | |
Roc Mortgage Trust 2021-RTL1, A1 144A 2.487%, 8/25/26(1)(3) | 780 | 748 | |
SBA Tower Trust 144A 1.631%, 11/15/26(1) | 1,900 | 1,785 | |
SG Residential Mortgage Trust | |||
2019-3, A1 144A 2.703%, 9/25/59(1)(3) | 515 | 509 | |
2021-1, A1 144A 1.160%, 7/25/61(1)(3) | 1,251 | 1,181 | |
2021-1, A3 144A 1.560%, 7/25/61(1)(3) | 487 | 461 | |
STAR Trust 2021-1, A1 144A 1.219%, 5/25/65(1)(3) | 1,420 | 1,391 | |
Starwood Mortgage Residential Trust | |||
2020-1, A1 144A 2.275%, 2/25/50(1)(3) | 282 | 279 | |
2021-3, A2 144A 1.395%, 6/25/56(1)(3) | 759 | 722 |
Par Value | Value | ||
Non-Agency—continued | |||
2021-3, A3 144A 1.518%, 6/25/56(1)(3) | $ 381 | $ 363 | |
2020-2, A1 144A 2.718%, 4/25/60(1)(3) | 348 | 348 | |
2020-3, A1 144A 1.486%, 4/25/65(1)(3) | 358 | 352 | |
Structured Adjustable Rate Mortgage Loan Trust 2004-14, 7A 2.576%, 10/25/34(3) | 69 | 70 | |
Towd Point Mortgage Trust | |||
2016-1, M1 144A 3.500%, 2/25/55(1)(3) | 1,375 | 1,382 | |
2016-2, M2 144A 3.000%, 8/25/55(1)(3) | 3,370 | 3,293 | |
2017-1, A2 144A 3.500%, 10/25/56(1)(3) | 810 | 808 | |
2017-2, A2 144A 3.250%, 4/25/57(1)(3) | 1,945 | 1,940 | |
2018-2, A2 144A 3.500%, 3/25/58(1)(3) | 1,565 | 1,546 | |
2019-1, A1 144A 3.658%, 3/25/58(1)(3) | 370 | 369 | |
2018-6, A1A 144A 3.750%, 3/25/58(1)(3) | 1,442 | 1,451 | |
2018-3, A1 144A 3.750%, 5/25/58(1)(3) | 947 | 946 | |
2020-MH1, A2 144A 2.500%, 2/25/60(1)(3) | 830 | 778 | |
2015-4, M1 144A 3.750%, 4/25/55(1)(3) | 363 | 363 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(3) | 15 | 15 | |
2018-4, A1 144A 3.000%, 6/25/58(1)(3) | 1,123 | 1,101 | |
Towd Point Trust 2021-HE1, M1 144A 1.500%, 2/25/63(1)(3) | 776 | 765 | |
VCAT Asset Securitization LLC 2021-NPL6, A1 144A 1.917%, 9/25/51(1)(3) | 1,397 | 1,333 | |
VCAT LLC | |||
2021-NPL2, A1 144A 2.115%, 3/27/51(1)(3) | 910 | 882 | |
2021-NPL5, A1 144A 1.868%, 8/25/51(1)(3) | 700 | 672 | |
Velocity Commercial Capital Loan Trust 2020-1, AFX 144A 2.610%, 2/25/50(1)(3) | 703 | 697 | |
Vericrest Opportunity Loan Trust C LLC 2021-NPL9, A1 144A 1.992%, 5/25/51(1)(3) | 411 | 396 |
Par Value | Value | ||
Non-Agency—continued | |||
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(1)(3) | $ 1,140 | $ 1,104 | |
Vericrest Opportunity Loan Trust XCIV LLC 2021-NPL3, A1 144A 2.240%, 2/27/51(1)(3) | 352 | 338 | |
Vericrest Opportunity Loan Trust XCV LLC 2021-NPL4, A1 144A 2.240%, 3/27/51(1)(3) | 368 | 355 | |
Verus Securitization Trust | |||
2019-INV2, A1 144A 2.913%, 7/25/59(1)(3) | 1,238 | 1,239 | |
2021-R3, A1 144A 1.020%, 4/25/64(1)(3) | 2,459 | 2,407 | |
2021-2, A1 144A 1.031%, 2/25/66(1)(3) | 1,997 | 1,923 | |
2021-3, A1 144A 1.046%, 6/25/66(1)(3) | 2,065 | 1,960 | |
2021-7, A1 144A 1.829%, 10/25/66(1)(3) | 6,243 | 5,898 | |
2020-1, A1 144A 2.417%, 1/25/60(1)(3) | 799 | 795 | |
2021-1, A1 144A 0.815%, 1/25/66(1)(3) | 743 | 719 | |
2021-R1, A1 144A 0.820%, 10/25/63(1)(3) | 1,652 | 1,612 | |
2021-R2, A1 144A 0.918%, 2/25/64(1)(3) | 375 | 367 | |
Visio Trust | |||
2019-2, A1 144A 2.722%, 11/25/54(1)(3) | 1,420 | 1,382 | |
2021-1R, A1 144A 1.280%, 5/25/56(1) | 2,274 | 2,174 | |
Wells Fargo Commercial Mortgage Trust | |||
2014-C24, AS 3.931%, 11/15/47 | 1,690 | 1,686 | |
2015-P2, A3 3.541%, 12/15/48 | 1,726 | 1,709 | |
Wells Fargo Mortgage Backed Securities Trust | |||
2004-K, 1A2 2.615%, 7/25/34(3) | 46 | 47 | |
2004-U, A1 2.767%, 10/25/34(3) | 17 | 17 | |
2020-4, A1 144A 3.000%, 7/25/50(1)(3) | 298 | 288 | |
201,074 | |||
Total Mortgage-Backed Securities (Identified Cost $209,788) | 202,234 | ||
Par Value | Value | ||
Asset-Backed Securities—36.6% | |||
Automobiles—18.9% | |||
ACC Auto Trust 2021-A, B 144A 1.790%, 4/15/27(1) | $ 1,835 | $ 1,773 | |
ACC Trust | |||
2020-A, A 144A 6.000%, 3/20/23(1) | 284 | 284 | |
2021-1, C 144A 2.080%, 12/20/24(1) | 1,785 | 1,743 | |
American Credit Acceptance Receivables Trust | |||
2020-4, D 144A 1.770%, 12/14/26(1) | 1,280 | 1,245 | |
2021-1, C 144A 0.830%, 3/15/27(1) | 1,710 | 1,681 | |
2021-2, C 144A 0.970%, 7/13/27(1) | 2,065 | 2,015 | |
2021-3, C 144A 0.980%, 11/15/27(1) | 1,840 | 1,771 | |
2022-1, D 144A 2.460%, 3/13/28(1) | 2,370 | 2,241 | |
AmeriCredit Automobile Receivables Trust | |||
2018-1, D 3.820%, 3/18/24 | 975 | 984 | |
2019-1, C 3.360%, 2/18/25 | 1,200 | 1,209 | |
Arivo Acceptance Auto Loan Receivables Trust 2021-1A, A 144A 1.190%, 1/15/27(1) | 789 | 775 | |
Avid Automobile Receivables Trust 2021-1, D 144A 1.990%, 4/17/28(1) | 400 | 381 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2017-1A, A 144A 3.070%, 9/20/23(1) | 1,110 | 1,113 | |
(AESOP) 2019-3A, A 144A 2.360%, 3/20/26(1) | 1,270 | 1,235 | |
(AESOP) 2020-1A, A 144A 2.330%, 8/20/26(1) | 1,475 | 1,431 | |
(AESOP) 2020-2A, A 144A 2.020%, 2/20/27(1) | 400 | 379 | |
(AESOP) 2021-1A, A 144A 1.380%, 8/20/27(1) | 1,750 | 1,622 | |
CarMax Auto Owner Trust 2019-1, C 3.740%, 1/15/25 | 915 | 922 |
Par Value | Value | ||
Automobiles—continued | |||
Carnow Auto Receivables Trust 2019-1A, D 144A 4.620%, 12/16/24(1) | $ 1,865 | $ 1,880 | |
CarNow Auto Receivables Trust | |||
2020-1A, B 144A 2.710%, 7/17/23(1) | 692 | 693 | |
2020-1A, C 144A 3.840%, 9/16/24(1) | 730 | 732 | |
2021-1A, B 144A 1.380%, 2/17/26(1) | 2,750 | 2,722 | |
2021-2A, B 144A 1.300%, 1/15/26(1) | 1,970 | 1,928 | |
Carvana Auto Receivables Trust | |||
2019-2A, D 144A 3.280%, 1/15/25(1) | 470 | 472 | |
2019-3A, C 144A 2.710%, 10/15/24(1) | 1,580 | 1,582 | |
2019-3A, D 144A 3.040%, 4/15/25(1) | 1,445 | 1,447 | |
2019-3A, E 144A 4.600%, 7/15/26(1) | 1,445 | 1,462 | |
2020-N1A, D 144A 3.430%, 1/15/26(1) | 1,270 | 1,274 | |
2020-P1, B 0.920%, 11/9/26 | 1,340 | 1,259 | |
2021-N1, C 1.300%, 1/10/28 | 1,610 | 1,584 | |
2021-N2, C 1.070%, 3/10/28 | 1,745 | 1,700 | |
2021-N3, D 1.580%, 6/12/28 | 1,490 | 1,414 | |
2022-N1, C 144A 3.320%, 12/11/28(1) | 1,825 | 1,809 | |
CIG Auto Receivables Trust 2021-1A, D 144A 2.110%, 4/12/27(1) | 1,985 | 1,893 | |
CPS Auto Receivables Trust | |||
2018-C, D 144A 4.400%, 6/17/24(1) | 487 | 490 | |
2018-D, D 144A 4.340%, 9/16/24(1) | 871 | 875 | |
2019-D, E 144A 3.860%, 10/15/25(1) | 1,900 | 1,892 | |
2020-A, C 144A 2.540%, 12/15/25(1) | 831 | 833 | |
2020-C, C 144A 1.710%, 8/17/26(1) | 1,265 | 1,262 | |
2021-A, B 144A 0.610%, 2/18/25(1) | 1,382 | 1,378 | |
Credit Acceptance Auto Loan Trust | |||
2019-3A, B 144A 2.860%, 1/16/29(1) | 1,180 | 1,179 | |
2021-2A, A 144A 0.960%, 2/15/30(1) | 1,605 | 1,552 |
Par Value | Value | ||
Automobiles—continued | |||
Drive Auto Receivables Trust | |||
2018-4, D 4.090%, 1/15/26 | $ 119 | $ 120 | |
2019-3, C 2.900%, 8/15/25 | 677 | 679 | |
2019-4, C 2.510%, 11/17/25 | 569 | 570 | |
DT Auto Owner Trust | |||
2019-2A, C 144A 3.180%, 2/18/25(1) | 276 | 277 | |
2019-4A, C 144A 2.730%, 7/15/25(1) | 1,039 | 1,041 | |
2020-2A, C 144A 3.280%, 3/16/26(1) | 1,335 | 1,337 | |
2021-2A, C 144A 1.100%, 2/16/27(1) | 2,015 | 1,940 | |
Exeter Automobile Receivables Trust | |||
2017-3A, D 144A 5.280%, 10/15/24(1) | 1,580 | 1,587 | |
2019-2A, E 144A 4.680%, 5/15/26(1) | 1,605 | 1,613 | |
2019-3A, C 144A 2.790%, 5/15/24(1) | 298 | 298 | |
2020-1A, D 144A 2.730%, 12/15/25(1) | 1,225 | 1,220 | |
2020-3A, E 144A 3.440%, 8/17/26(1) | 1,985 | 1,959 | |
2019-4A, C 144A 2.440%, 9/16/24(1) | 638 | 639 | |
2018-4A, D 144A 4.350%, 9/16/24(1) | 915 | 924 | |
FHF Trust 2020-1A, A 144A 2.590%, 12/15/23(1) | 339 | 339 | |
First Investors Auto Owner Trust | |||
2018-1A, D 144A 4.110%, 6/17/24(1) | 565 | 568 | |
2019-1A, C 144A 3.260%, 3/17/25(1) | 904 | 908 | |
2021-1A, B 144A 0.890%, 3/15/27(1) | 2,150 | 2,083 | |
2021-1A, C 144A 1.170%, 3/15/27(1) | 1,895 | 1,806 | |
2021-2A, C 144A 1.470%, 11/15/27(1) | 1,845 | 1,743 | |
Flagship Credit Auto Trust | |||
2019-2, C 144A 3.090%, 5/15/25(1) | 1,250 | 1,254 | |
2020-1, C 144A 2.240%, 1/15/26(1) | 1,490 | 1,478 | |
2020-3, C 144A 1.730%, 9/15/26(1) | 1,205 | 1,172 | |
2021-1, C 144A 0.910%, 3/15/27(1) | 1,790 | 1,701 | |
Foursight Capital Automobile Receivables Trust | |||
2019-1, E 144A 4.300%, 9/15/25(1) | 1,290 | 1,301 |
Par Value | Value | ||
Automobiles—continued | |||
2021-2, C 144A 1.570%, 7/15/27(1) | $ 2,200 | $ 2,069 | |
2022-1, B 144A 2.150%, 5/17/27(1) | 1,610 | 1,548 | |
GLS Auto Receivables Issuer Trust | |||
2019-2A, B 144A 3.320%, 3/15/24(1) | 267 | 267 | |
2019-3A, B 144A 2.720%, 6/17/24(1) | 580 | 581 | |
2019-4A, B 144A 2.780%, 9/16/24(1) | 1,022 | 1,024 | |
2019-4A, D 144A 4.090%, 8/17/26(1) | 2,070 | 2,048 | |
2020-1A, B 144A 2.430%, 11/15/24(1) | 1,524 | 1,529 | |
2020-2A, B 144A 3.160%, 6/16/25(1) | 1,385 | 1,388 | |
2020-4A, C 144A 1.140%, 11/17/25(1) | 1,615 | 1,588 | |
2021-3A, C 144A 1.110%, 9/15/26(1) | 1,055 | 1,005 | |
Hertz Vehicle Financing III LLC 2022-1A, C 144A 2.630%, 6/25/26(1) | 2,415 | 2,291 | |
Hertz Vehicle Financing LLC 2021-1A, A 144A 1.210%, 12/26/25(1) | 2,865 | 2,713 | |
LAD Auto Receivables Trust 2021-1A, D 144A 3.990%, 11/15/29(1) | 2,000 | 1,904 | |
OneMain Direct Auto Receivables Trust | |||
2018-1A, C 144A 3.850%, 10/14/25(1) | 1,130 | 1,130 | |
2021-1A, B 144A 1.260%, 7/14/28(1) | 2,110 | 1,980 | |
Oscar US Funding XII LLC 2021-1A, A4 144A 1.000%, 4/10/28(1) | 1,140 | 1,081 | |
Santander Consumer Auto Receivables Trust 2021-AA, C 144A 1.030%, 11/16/26(1) | 590 | 554 | |
Santander Drive Auto Receivables Trust 2021-3, C 0.950%, 9/15/27 | 2,200 | 2,135 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(1) | 1,404 | 1,410 | |
Tesla Auto Lease Trust 2020-A, C 144A 1.680%, 2/20/24(1) | 1,205 | 1,196 | |
Tidewater Auto Receivables Trust 2020-AA, C 144A 1.910%, 9/15/26(1) | 1,530 | 1,521 |
Par Value | Value | ||
Automobiles—continued | |||
U.S. Auto Funding 2021-1A, B 144A 1.490%, 3/17/25(1) | $ 2,210 | $ 2,141 | |
United Auto Credit Securitization Trust | |||
2020-1, C 144A 2.150%, 2/10/25(1) | 462 | 463 | |
2021-1, C 144A 0.840%, 6/10/26(1) | 2,005 | 1,976 | |
2021-1, D 144A 1.140%, 6/10/26(1) | 1,840 | 1,787 | |
USASF Receivables LLC 2020-1A, B 144A 3.220%, 5/15/24(1) | 1,855 | 1,855 | |
Veros Auto Receivables Trust 2021-1, B 144A 1.490%, 10/15/26(1) | 2,345 | 2,255 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(1) | 1,008 | 1,008 | |
Westlake Automobile Receivables Trust | |||
2018-3A, D 144A 4.000%, 10/16/23(1) | 361 | 362 | |
2020-2A, C 144A 2.010%, 7/15/25(1) | 1,645 | 1,641 | |
2020-3A, C 144A 1.240%, 11/17/25(1) | 1,275 | 1,251 | |
2021-3A, D 144A 2.120%, 1/15/27(1) | 2,015 | 1,923 | |
2022-1A, B 144A 2.750%, 3/15/27(1) | ���1,825 | 1,807 | |
134,104 | |||
Consumer Loans—2.0% | |||
Affirm Asset Securitization Trust 2021-A, A 144A 0.880%, 8/15/25(1) | 2,280 | 2,268 | |
CFMT Issuer Trust 2021-GRN1, A 144A 1.100%, 3/20/41(1) | 1,072 | 1,033 | |
Lendingpoint Asset Securitization Trust 2021-B, A 144A 1.110%, 2/15/29(1) | 1,765 | 1,740 | |
LL ABS Trust 2020-1A, A 144A 2.330%, 1/17/28(1) | 99 | 99 | |
Marlette Funding Trust 2021-1A, B 144A 1.000%, 6/16/31(1) | 2,065 | 2,023 | |
Oportun Funding XIV LLC 2021-A, A 144A 1.210%, 3/8/28(1) | 1,955 | 1,898 |
Par Value | Value | ||
Consumer Loans—continued | |||
Regional Management Issuance Trust 2021-1, A 144A 1.680%, 3/17/31(1) | $ 1,815 | $ 1,716 | |
Republic Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(1) | 1,020 | 996 | |
Upstart Securitization Trust | |||
2020-3, A 144A 1.702%, 11/20/30(1) | 306 | 305 | |
2021-3, B 144A 1.660%, 7/20/31(1) | 2,430 | 2,294 | |
14,372 | |||
Credit Card—1.1% | |||
Avant Credit Card Master Trust 2021-1A, A 144A 1.370%, 4/15/27(1) | 1,875 | 1,782 | |
Genesis Sales Finance Master Trust | |||
2020-AA, A 144A 1.650%, 9/22/25(1) | 1,325 | 1,311 | |
2021-AA, A 144A 1.200%, 12/21/26(1) | 700 | 670 | |
Mercury Financial Credit Card Master Trust 2021-1A, A 144A 1.540%, 3/20/26(1) | 1,620 | 1,572 | |
Mission Lane Credit Card Master Trust 2021-A, A 144A 1.590%, 9/15/26(1) | 2,310 | 2,252 | |
7,587 | |||
Equipment—1.3% | |||
CLI Funding VI LLC 2020-1A, A 144A 2.080%, 9/18/45(1) | 1,975 | 1,851 | |
NMEF Funding LLC | |||
2019-A, B 144A 3.060%, 8/17/26(1) | 981 | 982 | |
2021-A, B 144A 1.850%, 12/15/27(1) | 3,160 | 3,031 | |
Pawnee Equipment Receivables Series LLC | |||
2019-1, B 144A 2.520%, 10/15/24(1) | 1,365 | 1,356 | |
2020-1, A 144A 1.370%, 11/17/25(1) | 390 | 388 | |
Pawneee Equipment Receivables Series LLC 2021-1, C 144A 2.300%, 7/15/27(1) | 1,965 | 1,843 | |
9,451 | |||
Par Value | Value | ||
Other—13.0% | |||
Accelerated LLC 2021-1H, A 144A 1.350%, 10/20/40(1) | $ 1,591 | $ 1,527 | |
Amur Equipment Finance Receivables IX LLC 2021-1A, B 144A 1.380%, 2/22/27(1) | 2,035 | 1,943 | |
Amur Equipment Finance Receivables VI LLC 2018-2A, A2 144A 3.890%, 7/20/22(1) | 23 | 22 | |
Amur Equipment Finance Receivables VIII LLC 2020-1A, B 144A 2.500%, 3/20/26(1) | 1,633 | 1,622 | |
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | 162 | 163 | |
2019-A, A 144A 3.140%, 7/16/40(1) | 771 | 763 | |
2019-A, C 144A 4.010%, 7/16/40(1) | 2,165 | 2,121 | |
2020-AA, B 144A 2.790%, 7/17/46(1) | 1,355 | 1,302 | |
2021-A, A 144A 1.540%, 7/17/46(1) | 2,220 | 2,115 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(1) | 1,814 | 1,731 | |
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.560%, 9/17/31(1) | 551 | 549 | |
BHG Securitization Trust | |||
2021-A, A 144A 1.420%, 11/17/33(1) | 1,493 | 1,421 | |
2021-B, B 144A 1.670%, 10/17/34(1) | 1,495 | 1,392 | |
BRE Grand Islander Timeshare Issuer LLC 2017-1A, A 144A 2.940%, 5/25/29(1) | 203 | 201 | |
BXG Receivables Note Trust | |||
2013-A, A 144A 3.010%, 12/4/28(1) | 150 | 150 | |
2015-A, A 144A 2.880%, 5/2/30(1) | 64 | 64 | |
2020-A, B 144A 2.490%, 2/28/36(1) | 826 | 795 | |
CCG Receivables Trust | |||
2019-2, B 144A 2.550%, 3/15/27(1) | 1,720 | 1,718 | |
2021-1, C 144A 0.840%, 6/14/27(1) | 1,510 | 1,432 |
Par Value | Value | ||
Other—continued | |||
Commercial Equipment Finance LLC 2021-A, A 144A 2.050%, 2/16/27(1) | $ 1,030 | $ 1,011 | |
Conn’s Receivables Funding LLC | |||
2020-A, B 144A 4.270%, 6/16/25(1) | 912 | 911 | |
2021-A, B 144A 2.870%, 5/15/26(1) | 2,000 | 1,942 | |
Consumer Loan Underlying Bond CLUB Credit Trust 2020-P1, B 144A 2.920%, 3/15/28(1) | 297 | 297 | |
Crossroads Asset Trust | |||
2021-A, A2 144A 0.820%, 3/20/24(1) | 1,215 | 1,207 | |
2021-A, B 144A 1.120%, 6/20/25(1) | 1,350 | 1,318 | |
Dext ABS LLC | |||
2020-1, A 144A 1.460%, 2/16/27(1) | 1,507 | 1,499 | |
2020-1, B 144A 1.920%, 11/15/27(1) | 2,385 | 2,333 | |
Diamond Resorts Owner Trust | |||
2019-1A, B 144A 3.530%, 2/20/32(1) | 744 | 737 | |
2021-1A, A 144A 1.510%, 11/21/33(1) | 1,256 | 1,208 | |
Foundation Finance Trust | |||
2017-1A, A 144A 3.300%, 7/15/33(1) | 313 | 315 | |
2019-1A, A 144A 3.860%, 11/15/34(1) | 821 | 829 | |
2021-1A, A 144A 1.270%, 5/15/41(1) | 2,048 | 1,935 | |
FREED ABS Trust 2022-1FP, C 144A 2.510%, 3/19/29(1) | 1,205 | 1,160 | |
GCI Funding I LLC 2021-1, A 144A 2.380%, 6/18/46(1) | 1,308 | 1,217 | |
Gold Key Resorts LLC 2014-A, A 144A 3.220%, 3/17/31(1) | 25 | 25 | |
GoldentTree Loan Management US CLO 1 Ltd. 2021-9A, A (3 month LIBOR + 1.070%, Cap N/A, Floor 1.070%) 144A 1.324%, 1/20/33(1)(3) | 1,435 | 1,421 | |
Hardee’s Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(1) | 1,936 | 1,872 |
Par Value | Value | ||
Other—continued | |||
Hilton Grand Vacations Trust | |||
2017-AA, A 144A 2.660%, 12/26/28(1) | $ 162 | $ 162 | |
2018-AA, A 144A 3.540%, 2/25/32(1) | 407 | 407 | |
2020-AA, A 144A 2.740%, 2/25/39(1) | 601 | 586 | |
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(1) | 1,469 | 1,432 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 2,204 | 2,174 | |
Lendingpoint Asset Securitization Trust | |||
2021-A, A 144A 1.000%, 12/15/28(1) | 791 | 786 | |
2022-A, B 144A 2.410%, 6/15/29(1) | 2,010 | 1,958 | |
LL ABS Trust 2021-1A, A 144A 1.070%, 5/15/29(1) | 1,304 | 1,269 | |
Mariner Finance Issuance Trust | |||
2019-AA, A 144A 2.960%, 7/20/32(1) | 1,045 | 1,040 | |
2020-AA, A 144A 2.190%, 8/21/34(1) | 1,090 | 1,048 | |
MVW LLC | |||
2020-1A, A 144A 1.740%, 10/20/37(1) | 1,966 | 1,898 | |
2021-1WA, B 144A 1.440%, 1/22/41(1) | 1,089 | 1,027 | |
MVW Owner Trust | |||
2016-1A, A 144A 2.250%, 12/20/33(1) | 221 | 221 | |
2019-1A, A 144A 2.890%, 11/20/36(1) | 425 | 420 | |
Navient Private Education Refi Loan Trust 2021-EA, A 144A 0.970%, 12/16/69(1) | 1,558 | 1,467 | |
NBC Funding LLC 2021-1, A2 144A 2.989%, 7/30/51(1) | 1,930 | 1,798 | |
NMEF Funding LLC 2022-A, B 144A 3.350%, 10/16/28(1) | 1,480 | 1,446 | |
Oasis Securitization Funding LLC | |||
2021-1A, A 144A 2.579%, 2/15/33(1) | 851 | 849 | |
2021-2A, A 144A 2.143%, 10/15/33(1) | 1,683 | 1,665 | |
Octane Receivables Trust | |||
2019-1A, A 144A 3.160%, 9/20/23(1) | 30 | 30 | |
2019-1A, C 144A 4.740%, 6/20/25(1) | 1,715 | 1,728 |
Par Value | Value | ||
Other—continued | |||
2021-1A, A 144A 0.930%, 3/22/27(1) | $ 1,263 | $ 1,233 | |
2021-2A, A 144A 1.210%, 9/20/28(1) | 1,657 | 1,615 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(1) | 237 | 237 | |
Oportun Issuance Trust 2021-C, A 144A 2.180%, 10/8/31(1) | 1,970 | 1,855 | |
Orange Lake Timeshare Trust | |||
2015-AA, A 144A 2.880%, 9/8/27(1) | 38 | 38 | |
2018-A, A 144A 3.100%, 11/8/30(1) | 959 | 961 | |
2019-A, B 144A 3.360%, 4/9/38(1) | 482 | 471 | |
Palmer Square Loan Funding Ltd. 2021-1A, A1 (3 month LIBOR + 0.900%, Cap N/A, Floor 0.900%) 144A 1.154%, 4/20/29(1)(3) | 964 | 958 | |
Planet Fitness Master Issuer LLC 2018-1A, A2II 144A 4.666%, 9/5/48(1) | 1,867 | 1,857 | |
Purchasing Power Funding LLC 2021-A, A 144A 1.570%, 10/15/25(1) | 2,015 | 1,950 | |
Sierra Timeshare Receivables Funding LLC | |||
2018-2A, A 144A 3.500%, 6/20/35(1) | 165 | 165 | |
2019-1A, B 144A 3.420%, 1/20/36(1) | 287 | 285 | |
2019-2A, B 144A 2.820%, 5/20/36(1) | 290 | 284 | |
2020-2A, B 144A 2.320%, 7/20/37(1) | 1,030 | 1,001 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(1) | 1,113 | 1,095 | |
TRP LLC 2021-1, A 144A 2.070%, 6/19/51(1) | 1,936 | 1,785 | |
Upstart Securitization Trust | |||
2021-1, A 144A 0.870%, 3/20/31(1) | 553 | 548 | |
2021-2, B 144A 1.750%, 6/20/31(1) | 1,730 | 1,644 | |
VFI ABS LLC 2022-1A, B 144A 3.040%, 7/24/28(1) | 2,443 | 2,387 | |
VSE VOI Mortgage LLC 2016-A, A 144A 2.540%, 7/20/33(1) | 1,291 | 1,277 |
Par Value | Value | ||
Other—continued | |||
Westgate Resorts LLC | |||
2020-1A, A 144A 2.713%, 3/20/34(1) | $ 757 | $ 754 | |
2022-1A, B 144A 2.288%, 8/20/36(1) | 1,552 | 1,507 | |
ZAXBY’S Funding LLC 2021-1A, A2 144A 3.238%, 7/30/51(1) | 2,383 | 2,198 | |
91,784 | |||
Student Loan—0.3% | |||
Commonbond Student Loan Trust | |||
2017-AGS, A1 144A 2.550%, 5/25/41(1) | 136 | 135 | |
2019-AGS, A1 144A 2.540%, 1/25/47(1) | 491 | 485 | |
2020-1, A 144A 1.690%, 10/25/51(1) | 370 | 340 | |
Navient Private Education Loan Trust 2017-A, A2A 144A 2.880%, 12/16/58(1) | 281 | 282 | |
Navient Private Education Refi Loan Trust 2021-A, A 144A 0.840%, 5/15/69(1) | 960 | 917 | |
2,159 | |||
Total Asset-Backed Securities (Identified Cost $267,119) | 259,457 | ||
Corporate Bonds and Notes—18.8% | |||
Communication Services—1.1% | |||
AT&T, Inc. (3 month LIBOR + 0.890%) 1.285%, 2/15/23(3) | 475 | 477 | |
CommScope, Inc. 144A 4.750%, 9/1/29(1) | 1,265 | 1,165 | |
Level 3 Financing, Inc. 144A 4.625%, 9/15/27(1) | 490 | 461 | |
Sprint Spectrum Co. LLC 144A 4.738%, 3/20/25(1) | 180 | 184 | |
T-Mobile USA, Inc. | |||
3.500%, 4/15/25 | 1,005 | 1,012 | |
3.750%, 4/15/27 | 370 | 372 | |
2.050%, 2/15/28 | 1,100 | 1,005 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 740 | 764 | |
Verizon Communications, Inc. | |||
2.100%, 3/22/28 | 820 | 764 |
Par Value | Value | ||
Communication Services—continued | |||
(3 month LIBOR + 1.100%) 1.606%, 5/15/25(3) | $ 1,226 | $ 1,242 | |
7,446 | |||
Consumer Discretionary—0.1% | |||
General Motors Financial Co., Inc. 1.250%, 1/8/26 | 840 | 769 | |
MGM Growth Properties Operating Partnership LP 144A 4.625%, 6/15/25(1) | 170 | 171 | |
940 | |||
Consumer Staples—0.8% | |||
Anheuser-Busch InBev Worldwide, Inc. 4.000%, 4/13/28 | 1,120 | 1,161 | |
Bacardi Ltd. 144A 4.700%, 5/15/28(1) | 1,170 | 1,217 | |
BAT Capital Corp. 2.259%, 3/25/28 | 1,565 | 1,404 | |
Central American Bottling Corp. 144A 5.250%, 4/27/29(1) | 495 | 493 | |
Vector Group Ltd. 144A 5.750%, 2/1/29(1) | 1,465 | 1,334 | |
5,609 | |||
Energy—1.6% | |||
Aker BP ASA 144A 2.875%, 1/15/26(1) | 755 | 734 | |
Boardwalk Pipelines LP 4.950%, 12/15/24 | 955 | 986 | |
BP Capital Markets plc 4.875% (4) | 1,115 | 1,118 | |
Chesapeake Energy Corp. 144A 5.500%, 2/1/26(1) | 925 | 947 | |
DT Midstream, Inc. 144A 4.125%, 6/15/29(1) | 1,070 | 1,026 | |
Energy Transfer LP 4.200%, 4/15/27 | 690 | 703 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | 905 | 923 | |
144A 6.500%, 7/1/27(1) | 140 | 146 | |
Kinder Morgan, Inc. 3.150%, 1/15/23 | 1,005 | 1,010 | |
Lundin Energy Finance B.V. 144A 2.000%, 7/15/26(1) | 1,075 | 1,001 | |
Midwest Connector Capital Co. LLC 144A 3.625%, 4/1/22(1) | 700 | 700 | |
NGPL PipeCo LLC 144A 4.875%, 8/15/27(1) | 954 | 991 |
Par Value | Value | ||
Energy—continued | |||
Occidental Petroleum Corp. 5.500%, 12/1/25 | $ 25 | $ 26 | |
Petroleos Mexicanos | |||
4.625%, 9/21/23 | 855 | 865 | |
6.500%, 3/13/27 | 285 | 289 | |
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(1) | 164 | 157 | |
11,622 | |||
Financials—6.9% | |||
AerCap Ireland Capital DAC | |||
2.450%, 10/29/26 | 760 | 703 | |
3.000%, 10/29/28 | 150 | 138 | |
Athene Global Funding 144A 2.450%, 8/20/27(1) | 1,540 | 1,439 | |
Banco BBVA Peru S.A. RegS 5.000%, 8/26/22(5)(6) | 360 | 363 | |
Banco Santander Chile 144A 2.700%, 1/10/25(1) | 950 | 929 | |
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 144A 5.375%, 4/17/25(1) | 490 | 511 | |
Bank of America Corp. | |||
1.734%, 7/22/27 | 4,075 | 3,784 | |
2.551%, 2/4/28 | 719 | 687 | |
(3 month LIBOR + 0.770%) 1.085%, 2/5/26(3) | 1,755 | 1,746 | |
Blackstone Private Credit Fund | |||
144A 2.625%, 12/15/26(1) | 744 | 670 | |
144A 4.000%, 1/15/29(1) | 415 | 384 | |
Brookfield Finance, Inc. 3.900%, 1/25/28 | 1,580 | 1,587 | |
Charles Schwab Corp. (The) | |||
Series G 5.375%(4) | 275 | 283 | |
Series H 4.000%(4) | 945 | 849 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 1,140 | 1,125 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 1,885 | 1,870 | |
(3 month LIBOR + 1.250%) 2.217%, 7/1/26(3) | 1,080 | 1,091 | |
(SOFR + 1.280%) 1.484%, 2/24/28(3) | 962 | 965 |
Par Value | Value | ||
Financials—continued | |||
Coinbase Global, Inc. 144A 3.375%, 10/1/28(1) | $ 755 | $ 667 | |
Danske Bank A/S | |||
144A 3.773%, 3/28/25(1) | 500 | 501 | |
144A 1.621%, 9/11/26(1) | 673 | 623 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(1) | 1,430 | 1,384 | |
F&G Global Funding 144A 1.750%, 6/30/26(1) | 1,465 | 1,362 | |
Goldman Sachs Group, Inc. (The) | |||
3.850%, 1/26/27 | 1,000 | 1,009 | |
(3 month LIBOR + 1.170%) 1.676%, 5/15/26(3) | 475 | 477 | |
(3 month LIBOR + 1.750%) 2.028%, 10/28/27(3) | 2,880 | 2,983 | |
Icahn Enterprises LP 6.250%, 5/15/26 | 1,060 | 1,081 | |
JPMorgan Chase & Co. | |||
1.578%, 4/22/27 | 1,680 | 1,565 | |
(SOFR + 1.180%) 1.394%, 2/24/28(3) | 1,500 | 1,499 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 990 | 949 | |
Liberty Mutual Group, Inc. 144A 4.125%, 12/15/51(1) | 1,140 | 1,074 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 2.294%, 4/20/67(3) | 1,715 | 1,361 | |
Morgan Stanley | |||
4.100%, 5/22/23 | 730 | 743 | |
3.875%, 4/29/24 | 655 | 668 | |
2.475%, 1/21/28 | 1,016 | 969 | |
Navient Corp. 5.875%, 10/25/24 | 930 | 949 | |
OWL Rock Core Income Corp. 144A 5.500%, 3/21/25(1) | 500 | 499 | |
Prudential Financial, Inc. 5.625%, 6/15/43 | 1,948 | 1,960 | |
Santander Holdings USA, Inc. 3.244%, 10/5/26 | 1,260 | 1,228 | |
Spirit Realty LP 4.450%, 9/15/26 | 619 | 638 | |
Texas Capital Bancshares, Inc. 4.000%, 5/6/31 | 1,020 | 995 | |
Turkiye Is Bankasi AS 144A 5.500%, 4/21/22(1) | 800 | 800 | |
Wells Fargo & Co. | |||
1.654%, 6/2/24 | 925 | 914 |
Par Value | Value | ||
Financials—continued | |||
4.100%, 6/3/26 | $ 1,810 | $ 1,856 | |
(3 month LIBOR + 1.230%) 1.529%, 10/31/23(3) | 1,175 | 1,180 | |
49,058 | |||
Health Care—1.6% | |||
AbbVie, Inc. 2.850%, 5/14/23 | 495 | 498 | |
Amgen, Inc. 3.000%, 2/22/29 | 1,230 | 1,207 | |
Baxter International, Inc. | |||
144A 1.915%, 2/1/27(1) | 1,192 | 1,114 | |
144A 2.272%, 12/1/28(1) | 1,198 | 1,110 | |
Bio-Rad Laboratories, Inc. 3.300%, 3/15/27 | 1,054 | 1,037 | |
HCA, Inc. 5.375%, 2/1/25 | 570 | 593 | |
Royalty Pharma plc | |||
1.200%, 9/2/25 | 190 | 175 | |
1.750%, 9/2/27 | 2,135 | 1,938 | |
Tenet Healthcare Corp. 4.625%, 7/15/24 | 226 | 227 | |
Universal Health Services, Inc. 144A 1.650%, 9/1/26(1) | 1,825 | 1,674 | |
Utah Acquisition Sub, Inc. 3.950%, 6/15/26 | 273 | 271 | |
Viatris, Inc. | |||
2.300%, 6/22/27 | 1,441 | 1,311 | |
144A 2.300%, 6/22/27(1) | — (2) | — (2) | |
11,155 | |||
Industrials—1.3% | |||
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(1) | 1,600 | 1,620 | |
Boeing Co. (The) | |||
4.875%, 5/1/25 | 335 | 346 | |
5.040%, 5/1/27 | 507 | 534 | |
British Airways Pass-Through Trust 2021-1, A 144A 2.900%, 3/15/35(1) | 1,529 | 1,405 | |
CNH Industrial N.V. 4.500%, 8/15/23 | 899 | 917 | |
GFL Environmental, Inc. | |||
144A 3.750%, 8/1/25(1) | 1,360 | 1,335 | |
144A 4.000%, 8/1/28(1) | 360 | 331 | |
Huntington Ingalls Industries, Inc. 144A 2.043%, 8/16/28(1) | 1,948 | 1,761 | |
Spirit AeroSystems, Inc. 144A 5.500%, 1/15/25(1) | 720 | 722 | |
8,971 | |||
Par Value | Value | ||
Information Technology—2.1% | |||
Block, Inc. 144A 2.750%, 6/1/26(1) | $ 765 | $ 723 | |
CDW LLC | |||
2.670%, 12/1/26 | 793 | 747 | |
3.276%, 12/1/28 | 792 | 746 | |
Citrix Systems, Inc. 1.250%, 3/1/26 | 1,145 | 1,113 | |
Dell International LLC 4.900%, 10/1/26 | 1,040 | 1,091 | |
Flex Ltd. 3.750%, 2/1/26 | 1,417 | 1,417 | |
Hewlett Packard Enterprise Co. 4.900%, 10/15/25 | 385 | 403 | |
Kyndryl Holdings, Inc. | |||
144A 2.050%, 10/15/26(1) | 802 | 716 | |
144A 2.700%, 10/15/28(1) | 782 | 677 | |
Leidos, Inc. 3.625%, 5/15/25 | 832 | 832 | |
Microchip Technology, Inc. 2.670%, 9/1/23 | 1,165 | 1,161 | |
Open Text Corp. 144A 3.875%, 2/15/28(1) | 1,205 | 1,155 | |
Oracle Corp. 2.300%, 3/25/28 | 795 | 726 | |
SK Hynix, Inc. 144A 1.500%, 1/19/26(1) | 1,940 | 1,795 | |
TD SYNNEX Corp. | |||
144A 1.750%, 8/9/26(1) | 1,132 | 1,037 | |
144A 2.375%, 8/9/28(1) | 755 | 679 | |
15,018 | |||
Materials—1.2% | |||
Anglo American Capital plc 144A 2.250%, 3/17/28(1) | 1,380 | 1,260 | |
Ardagh Packaging Finance plc 144A 4.125%, 8/15/26(1) | 925 | 891 | |
Glatfelter Corp. 144A 4.750%, 11/15/29(1) | 555 | 471 | |
Glencore Funding LLC 144A 1.625%, 9/1/25(1) | 1,875 | 1,753 | |
International Flavors & Fragrances, Inc. | |||
144A 1.230%, 10/1/25(1) | 1,043 | 966 | |
144A 1.832%, 10/15/27(1) | 1,393 | 1,266 | |
Silgan Holdings, Inc. 144A 1.400%, 4/1/26(1) | 1,813 | 1,654 | |
Suzano Austria GmbH 2.500%, 9/15/28 | 560 | 505 | |
8,766 | |||
Par Value | Value | ||
Real Estate—1.0% | |||
EPR Properties 4.950%, 4/15/28 | $ 1,105 | $ 1,106 | |
GLP Capital LP 5.250%, 6/1/25 | 1,615 | 1,662 | |
Office Properties Income Trust | |||
4.500%, 2/1/25 | 930 | 928 | |
2.650%, 6/15/26 | 373 | 341 | |
Retail Opportunity Investments Partnership LP 5.000%, 12/15/23 | 1,645 | 1,677 | |
Service Properties Trust | |||
4.500%, 6/15/23 | 420 | 415 | |
4.650%, 3/15/24 | 430 | 414 | |
4.350%, 10/1/24 | 455 | 438 | |
6,981 | |||
Utilities—1.1% | |||
Dominion Energy, Inc. Series A 1.450%, 4/15/26 | 1,620 | 1,506 | |
DPL, Inc. 4.125%, 7/1/25 | 122 | 121 | |
Exelon Corp. 3.497%, 6/1/22 | 864 | 865 | |
FirstEnergy Transmission LLC 144A 2.866%, 9/15/28(1) | 837 | 776 | |
NRG Energy, Inc. 144A 3.750%, 6/15/24(1) | 1,161 | 1,157 | |
Puget Energy, Inc. 2.379%, 6/15/28 | 1,068 | 976 | |
Southern Co. (The) Series 21-A 3.750%, 9/15/51 | 1,800 | 1,660 | |
TerraForm Power Operating LLC 144A 4.250%, 1/31/23(1) | 735 | 733 | |
7,794 | |||
Total Corporate Bonds and Notes (Identified Cost $140,208) | 133,360 | ||
Leveraged Loans—8.9% | |||
Aerospace—0.8% | |||
Air Canada (3 month LIBOR + 3.500%) 4.250%, 8/11/28(3) | 194 | 192 | |
American Airlines, Inc. (3 month LIBOR + 4.750%) 5.500%, 4/20/28(3) | 1,000 | 1,012 |
Par Value | Value | ||
Aerospace—continued | |||
Brown Group Holding LLC (3 month LIBOR + 2.500%) 3.506%, 6/7/28(3) | $ 1,022 | $ 1,007 | |
Delta Air Lines, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/20/27(3) | 1,030 | 1,062 | |
KKR Apple Bidco LLC (1 month LIBOR + 3.000%) 3.500%, 9/22/28(3) | 653 | 644 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27(3) | 890 | 922 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.707%, 5/30/25(3) | 224 | 219 | |
Tranche F (1 month LIBOR + 2.250%) 2.707%, 12/9/25(3) | 706 | 694 | |
United AirLines, Inc. Tranche B (3 month LIBOR + 3.750%) 4.500%, 4/21/28(3) | 208 | 205 | |
5,957 | |||
Chemicals—0.5% | |||
Diamond BC B.V. Tranche B (1 month LIBOR + 2.750%) 3.250%, 9/29/28(3) | 1,097 | 1,074 | |
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 2.209%, 4/1/24(3) | 1,973 | 1,935 | |
Ineos U.S. Petrochem LLC 2026, Tranche B (1 month LIBOR + 2.750%) 3.250%, 1/29/26(3) | — | — (2) | |
Starfruit Finco B.V. (3 month LIBOR + 3.000%) 4.006%, 10/1/25(3) | 633 | 622 | |
3,631 | |||
Consumer Durables—0.5% | |||
Resideo Funding, Inc. Tranche B (1 month LIBOR + 2.250%) 2.750% - 2.79%, 2/11/28(3) | 1,210 | 1,190 | |
Restoration Hardware, Inc. (1 month LIBOR + 2.500%) 3.000%, 10/20/28(3) | 786 | 770 |
Par Value | Value | ||
Consumer Durables—continued | |||
Zodiac Pool Solutions LLC Tranche B (1 month Term SOFR + 2.000%) 2.500%, 1/29/29(3) | $ 1,571 | $ 1,557 | |
3,517 | |||
Energy—0.3% | |||
Freeport LNG Investments LLLP Tranche B (3 month LIBOR + 3.500%) 4.000%, 12/21/28(3) | 890 | 883 | |
Oryx Midstream Services Permian Basin LLC Tranche B (3 month LIBOR + 3.250%) 3.750%, 10/5/28(3) | 1,172 | 1,161 | |
Paragon Offshore Finance Co. (3 month PRIME + 3.250%) 3.250%, 7/16/21(3)(7)(8) | 1 | — | |
2,044 | |||
Financial—0.5% | |||
Asurion LLC Tranche B-9 (1 month LIBOR + 3.250%) 3.707%, 7/31/27(3) | 471 | 461 | |
Avolon TLB Borrower 1 U.S. LLC Tranche B-5 (1 month LIBOR + 2.250%) 2.750%, 12/1/27(3) | 1,188 | 1,173 | |
Citadel Securities LP 2021 (1 month Term SOFR + 2.500%) 2.927%, 2/2/28(3) | 1,699 | 1,688 | |
3,322 | |||
Food / Tobacco—0.4% | |||
Aramark Services, Inc. | |||
Tranche B-3 (1 month LIBOR + 1.750%) 2.207%, 3/11/25(3) | 345 | 338 | |
Tranche B-4 (1 month LIBOR + 1.750%) 2.207%, 1/15/27(3) | 201 | 196 | |
Tranche B-5 (1 month LIBOR + 2.500%) 2.957%, 4/6/28(3) | 583 | 574 | |
Froneri U.S., Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.707%, 1/29/27(3) | 708 | 694 |
Par Value | Value | ||
Food / Tobacco—continued | |||
Hostess Brands LLC 2019, Tranche B (1 month LIBOR + 2.250%) 3.000%, 8/3/25(3) | $ 1,230 | $ 1,213 | |
3,015 | |||
Forest Prod / Containers—0.2% | |||
Berry Global, Inc. Tranche Z (1 month LIBOR + 1.750%) 2.071%, 7/1/26(3) | 1,067 | 1,051 | |
Gaming / Leisure—1.1% | |||
Aristocrat Technologies, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 2.004%, 10/19/24(3) | 965 | 955 | |
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 3.207%, 12/23/24(3) | 1,119 | 1,112 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 2.207%, 6/22/26(3) | 1,413 | 1,397 | |
Pug LLC Tranche B-2 (1 month LIBOR + 4.250%) 4.750%, 2/12/27(3) | 209 | 207 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 3.207%, 8/14/24(3) | 1,613 | 1,606 | |
Stars Group Holdings B.V. 2021 (3 month LIBOR + 2.250%) 3.256%, 7/21/26(3) | 895 | 887 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.710%, 2/8/27(3) | 1,286 | 1,267 | |
UFC Holdings LLC Tranche B-3 (6 month LIBOR + 2.750%) 3.500%, 4/29/26(3) | 522 | 516 | |
7,947 | |||
Health Care—0.6% | |||
Agiliti Health, Inc. (1 month LIBOR + 2.750%) 3.000%, 1/4/26(3) | 428 | 425 |
Par Value | Value | ||
Health Care—continued | |||
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 3.207%, 11/27/25(3) | $ 136 | $ 134 | |
(1 month LIBOR + 3.000%) 3.457%, 6/2/25(3) | 277 | 275 | |
Elanco Animal Health, Inc. (1 month LIBOR + 1.750%) 1.981%, 8/1/27(3) | 938 | 922 | |
Horizon Therapeutics USA, Inc. Tranche B-2 (1 month LIBOR + 1.750%) 2.250%, 3/15/28(3) | 1,336 | 1,321 | |
Medline Borrower LP (1 month LIBOR + 3.250%) 3.750%, 10/23/28(3) | 455 | 450 | |
Phoenix Newco, Inc. First Lien (1 month LIBOR + 3.500%) 4.000%, 11/15/28(3) | 165 | 164 | |
Select Medical Corp. Tranche B (1 month LIBOR + 2.250%) 2.460%, 3/6/25(3) | 645 | 636 | |
4,327 | |||
Housing—0.8% | |||
American Builders & Contractors Supply Co., Inc. (1 month LIBOR + 2.000%) 2.209%, 1/15/27(3) | 1,038 | 1,024 | |
CPG International LLC (3 month LIBOR + 2.500%) 0.000%, 5/6/24(3) | 1,035 | 1,025 | |
Quikrete Holdings, Inc. Tranche B-1 (3 month LIBOR + 3.000%) 0.000%, 6/9/28(3)(9) | 1,030 | 1,010 | |
Standard Industries, Inc. (6 month LIBOR + 2.500%) 3.788%, 9/22/28(3) | 1,132 | 1,129 | |
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.457%, 11/21/24(3) | 1,272 | 1,266 | |
5,454 | |||
Information Technology—0.6% | |||
CCC Intelligent Solutions, Inc. (3 month LIBOR + 2.250%) 3.256%, 9/21/28(3) | 858 | 849 |
Par Value | Value | ||
Information Technology—continued | |||
Go Daddy Operating Co. LLC Tranche B-2 (1 month LIBOR + 1.750%) 2.199%, 2/15/24(3) | $ 1,292 | $ 1,282 | |
Tenable, Inc. (3 month LIBOR + 2.750%) 3.269%, 7/7/28(3) | 1,107 | 1,093 | |
UKG, Inc. 2021-2, First Lien (3 month LIBOR + 3.250%) 3.750%, 5/4/26(3) | 1,332 | 1,320 | |
4,544 | |||
Manufacturing—0.3% | |||
Gates Global LLC Tranche B-3 (1 month LIBOR + 2.500%) 3.250%, 3/31/27(3) | 1,171 | 1,153 | |
NCR Corp. (3 month LIBOR + 2.500%) 2.800%, 8/28/26(3) | 1,207 | 1,190 | |
2,343 | |||
Media / Telecom - Broadcasting—0.1% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.731%, 9/18/26(3) | 903 | 899 | |
Media / Telecom - Cable/Wireless Video—0.3% | |||
Charter Communications Operating LLC Tranche B-2 (1 month LIBOR + 1.750%) 2.210%, 2/1/27(3) | 802 | 794 | |
DIRECTV Financing LLC (1 month LIBOR + 5.000%) 0.000%, 8/2/27(3)(9) | 704 | 702 | |
Virgin Media Bristol LLC Tranche Q (3 month LIBOR + 3.250%) 3.647%, 1/31/29(3) | 925 | 919 | |
2,415 | |||
Media / Telecom - Telecommunications—0.2% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.707%, 3/15/27(3) | 826 | 802 |
Par Value | Value | ||
Media / Telecom - Telecommunications—continued | |||
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 2.207%, 3/1/27(3) | $ 440 | $ 432 | |
1,234 | |||
Media / Telecom - Wireless Communications—0.2% | |||
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 2.210%, 4/11/25(3) | 1,061 | 1,047 | |
Service—1.2% | |||
AlixPartners LLP (1 month LIBOR + 2.750%) 3.250%, 2/4/28(3) | 1,030 | 1,012 | |
Asplundh Tree Expert, LLC 2021 (1 month LIBOR + 1.750%) 1.959%, 9/7/27(3) | 1,039 | 1,027 | |
Dun & Bradstreet Corp. (The) | |||
, Tranche B (1 month LIBOR + 3.250%) 3.697%, 2/6/26(3) | 1,074 | 1,063 | |
2022, Tranche B-2 (1 month Term SOFR + 3.250%) 3.560%, 1/18/29(3) | 180 | 178 | |
NAB Holdings LLC (3 month Term SOFR + 3.000%) 3.801%, 11/23/28(3) | 798 | 787 | |
Pike Corp. 2028 (1 month LIBOR + 3.000%) 3.460%, 1/21/28(3) | 1,127 | 1,116 | |
PODS LLC (3 month LIBOR + 3.000%) 0.000%, 3/31/28(3) | 896 | 886 | |
Trans Union LLC Tranche B-5 (1 month LIBOR + 1.750%) 2.207%, 11/16/26(3) | 1,029 | 1,013 | |
WEX, Inc. Tranche B (1 month LIBOR + 2.250%) 2.707%, 3/31/28(3) | 1,307 | 1,289 | |
8,371 | |||
Utility—0.3% | |||
Vistra Operations Co. LLC 2018 (1 month LIBOR + 1.750%) 2.191% - 2.207%, 12/31/25(3) | 1,920 | 1,898 | |
Total Leveraged Loans (Identified Cost $63,551) | 63,016 | ||
Shares | Value | ||
Preferred Stocks—0.5% | |||
Financials—0.3% | |||
Citigroup, Inc. Series T, 6.250%(3)(4) | 1,020 (10) | $ 1,065 | |
JPMorgan Chase & Co. Series HH, 4.600%(4) | 1,106 (10) | 1,066 | |
2,131 | |||
Industrials—0.2% | |||
General Electric Co. Series D, (3 month LIBOR + 3.330%), 4.156%(3)(4) | 1,215 (10) | 1,165 | |
Total Preferred Stocks (Identified Cost $3,329) | 3,296 | ||
Total Long-Term Investments—98.8% (Identified Cost $723,199) | 699,781 | ||
Short-Term Investments—1.5% | |||
Money Market Mutual Fund—1.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(11) | 10,006,757 | 10,007 | |
Total Money Market Mutual Fund (Identified Cost $10,007) | 10,007 | ||
Securities Lending Collateral—0.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(11)(12) | 363,018 | 363 | |
Total Securities Lending Collateral (Identified Cost $363) | 363 | ||
Total Short-Term Investments (Identified Cost $10,370) | 10,370 | ||
TOTAL INVESTMENTS—100.3% (Identified Cost $733,569) | $710,151 | ||
Other assets and liabilities, net—(0.3)% | (1,892) | ||
NET ASSETS—100.0% | $708,259 |
Abbreviations: | |
ABS | Asset-Backed Securities |
CLO | Collateralized Loan Obligation |
GS | Goldman Sachs & Co. |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LLP | Limited Liability Partnership |
LP | Limited Partnership |
SBA | Small Business Administration |
SOFR | Secured Overnight Financing Rate |
WaMu | Washington Mutual |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities amounted to a value of $491,420 or 69.4% of net assets. |
(2) | Amount is less than $500. |
(3) | Variable rate security. Rate disclosed is as of March 31, 2022. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(4) | No contractual maturity date. |
(5) | 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. |
(6) | All or a portion of security is on loan. |
(7) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(8) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(9) | This loan will settle after March 31, 2022, at which time the interest rate will be reflected. |
(10) | Value shown as par value. |
(11) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(12) | Represents security purchased with cash collateral received for securities on loan. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $259,457 | $ — | $259,457 | $— | |||
Corporate Bonds and Notes | 133,360 | — | 133,360 | — | |||
Foreign Government Securities | 3,141 | — | 3,141 | — | |||
Leveraged Loans | 63,016 | — | 63,016 | — (1) | |||
Mortgage-Backed Securities | 202,234 | — | 202,234 | — | |||
U.S. Government Securities | 35,277 | — | 35,277 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 3,296 | — | 3,296 | — | |||
Securities Lending Collateral | 363 | 363 | — | — | |||
Money Market Mutual Fund | 10,007 | 10,007 | — | — | |||
Total Investments | $710,151 | $10,370 | $699,781 | $— |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Par Value | Value | ||
U.S. Government Security—1.0% | |||
U.S. Treasury Bonds 1.875%, 11/15/51 | $ 3,165 | $ 2,776 | |
Total U.S. Government Security (Identified Cost $3,282) | 2,776 | ||
Municipal Bonds—0.3% | |||
Florida—0.2% | |||
Broward County, Water & Sewer Utility Revenue Series A 4.000%, 10/1/47 | 470 | 508 | |
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 100 | 92 | |
Virginia—0.1% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 300 | 304 | |
Total Municipal Bonds (Identified Cost $915) | 904 | ||
Foreign Government Securities—7.1% | |||
Abu Dhabi Government International Bond 144A 3.125%, 4/16/30(1) | 200 | 204 | |
Bolivarian Republic of Venezuela | |||
9.375%, 1/13/34(2) | 920 | 75 | |
RegS 7.650%, 4/21/25(2)(3) | 1,500 | 123 | |
Dominican Republic | |||
144A 5.950%, 1/25/27(1) | 420 | 432 | |
144A 4.500%, 1/30/30(1) | 385 | 353 | |
144A 6.000%, 2/22/33(1) | 605 | 590 | |
144A 5.875%, 1/30/60(1) | 395 | 338 | |
Emirate of Dubai Government International Bonds RegS 5.250%, 1/30/43(3) | 1,175 | 1,210 | |
Federative Republic of Brazil 3.875%, 6/12/30 | 200 | 184 | |
Kingdom of Morocco 144A 5.500%, 12/11/42(1) | 410 | 402 | |
Kingdom of Saudi Arabia | |||
144A 3.625%, 3/4/28(1) | 755 | 780 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
144A 4.500%, 10/26/46(1) | $ 770 | $ 810 | |
Mongolia 144A 4.450%, 7/7/31(1) | 200 | 180 | |
Oman Government International Bond 144A 7.375%, 10/28/32(1) | 825 | 944 | |
Republic of Angola 144A 8.250%, 5/9/28(1) | 665 | 677 | |
Republic of Argentina 2.500%, 7/9/41(4) | 2,300 | 811 | |
Republic of Cote d’Ivoire 144A 6.375%, 3/3/28(1) | 245 | 250 | |
Republic of Ecuador | |||
144A 5.000%, 7/31/30(1)(4) | 200 | 167 | |
144A 1.000%, 7/31/35(1)(4) | 1,125 | 734 | |
Republic of Egypt | |||
144A 7.600%, 3/1/29(1) | 800 | 759 | |
144A 7.300%, 9/30/33(1) | 245 | 214 | |
144A 8.500%, 1/31/47(1) | 345 | 294 | |
Republic of Guatemala 144A 3.700%, 10/7/33(1) | 625 | 578 | |
Republic of Indonesia | |||
2.850%, 2/14/30 | 790 | 776 | |
144A 4.350%, 1/8/27(1) | 570 | 605 | |
Republic of Ivory Coast 144A 6.125%, 6/15/33(1) | 235 | 227 | |
Republic of Kenya 144A 8.000%, 5/22/32(1) | 210 | 204 | |
Republic of Nigeria | |||
144A 6.500%, 11/28/27(1) | 260 | 247 | |
144A 8.375%, 3/24/29(1)(5) | 375 | 379 | |
144A 7.875%, 2/16/32(1) | 225 | 213 | |
144A 7.375%, 9/28/33(1) | 320 | 291 | |
Republic of Pakistan | |||
144A 8.250%, 9/30/25(1) | 385 | 318 | |
144A 6.875%, 12/5/27(1) | 200 | 157 | |
Republic of Panama | |||
3.160%, 1/23/30 | 280 | 274 | |
3.298%, 1/19/33 | 650 | 621 | |
Republic of Philippines 3.700%, 3/1/41 | 765 | 740 | |
Republic of South Africa 4.300%, 10/12/28 | 520 | 502 | |
Republic of Turkey 8.600%, 9/24/27 | 680 | 696 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
State of Qatar | |||
144A 3.750%, 4/16/30(1) | $ 620 | $ 654 | |
144A 4.400%, 4/16/50(1) | 230 | 258 | |
United Mexican States 4.500%, 1/31/50 | 890 | 837 | |
Total Foreign Government Securities (Identified Cost $22,030) | 19,108 | ||
Mortgage-Backed Securities—13.9% | |||
Non-Agency—13.9% | |||
Aligned Data Centers Issuer LLC 2021-1A, A2 144A 1.937%, 8/15/46(1) | 835 | 769 | |
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(1) | 1,320 | 1,327 | |
2015-SFR2, C 144A 4.691%, 10/17/52(1) | 1,011 | 1,027 | |
AMSR Trust | |||
2020-SFR2, D 144A 3.282%, 7/17/37(1) | 660 | 634 | |
2020-SFR3, B 144A 1.806%, 9/17/37(1) | 2,000 | 1,868 | |
2021-SFR3, D 144A 2.177%, 10/17/38(1) | 335 | 305 | |
Arroyo Mortgage Trust | |||
2021-1R, A1 144A 1.175%, 10/25/48(1)(4) | 581 | 551 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(4) | 186 | 183 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(4) | 144 | 140 | |
Banc of America Funding Trust 2005-1, 1A1 5.500%, 2/25/35 | 129 | 128 | |
Bayview Opportunity Master Fund IVa Trust 2017-SPL5, B1 144A 4.000%, 6/28/57(1)(4) | 1,000 | 967 | |
Bunker Hill Loan Depositary Trust 2019-2, A1 144A 2.879%, 7/25/49(1)(4) | 114 | 113 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(1)(4) | 972 | 902 | |
CIM Trust 2021-NR4, A1 144A 2.816%, 10/25/61(1)(4) | 299 | 286 | |
Citigroup Mortgage Loan Trust, Inc. 2019-IMC1, A1 144A 2.720%, 7/25/49(1)(4) | 125 | 124 |
Par Value | Value | ||
Non-Agency—continued | |||
CoreVest American Finance Trust 2019-3, C 144A 3.265%, 10/15/52(1) | $ 250 | $ 231 | |
Credit Suisse Mortgage Capital Trust | |||
2014-IVR2, A2 144A 3.820%, 4/25/44(1)(4) | 62 | 60 | |
2020-RPL4, A1 144A 2.000%, 1/25/60(1)(4) | 657 | 633 | |
Dominion Mortgage Trust 2021-RTL1, A1 144A 2.487%, 7/25/27(1)(4) | 1,000 | 998 | |
Ellington Financial Mortgage Trust | |||
2019-2, A3 144A 3.046%, 11/25/59(1)(4) | 54 | 53 | |
2021-2, A3 144A 1.291%, 6/25/66(1)(4) | 600 | 559 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 8/17/37(1) | 770 | 720 | |
2020-SFR2, B 144A 1.567%, 10/19/37(1) | 1,245 | 1,154 | |
2021-SFR1, D 144A 2.189%, 8/17/38(1) | 1,010 | 917 | |
Galton Funding Mortgage Trust 2018-1, A23 144A 3.500%, 11/25/57(1)(4) | 60 | 60 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(1)(4) | 59 | 58 | |
2014-5, B2 144A 2.858%, 10/25/29(1)(4) | 238 | 224 | |
2016-SH1, M2 144A 3.750%, 4/25/45(1)(4) | 261 | 255 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(4) | 531 | 522 | |
LHOME Mortgage Trust 2021-RTL1, A1 144A 2.090%, 9/25/26(1)(4) | 450 | 433 | |
Mello Warehouse Securitization Trust 2021-2, C (1 month LIBOR + 1.100%, Cap N/A, Floor 1.100%) 144A 1.557%, 4/25/55(1)(4) | 235 | 234 | |
MetLife Securitization Trust 2017-1A, M1 144A 3.450%, 4/25/55(1)(4) | 425 | 412 | |
Mill City Mortgage Loan Trust | |||
2017-1, M2 144A 3.250%, 11/25/58(1)(4) | 375 | 375 | |
2019-1, M2 144A 3.500%, 10/25/69(1)(4) | 779 | 763 | |
New Residential Mortgage Loan Trust | |||
2016-3A, B1 144A 4.000%, 9/25/56(1)(4) | 561 | 564 |
Par Value | Value | ||
Non-Agency—continued | |||
2016-4A, B1A 144A 4.500%, 11/25/56(1)(4) | $ 434 | $ 443 | |
2018-2A, A1 144A 4.500%, 2/25/58(1)(4) | 43 | 44 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(1)(4) | 101 | 101 | |
2021-NQM3, A2 144A 1.260%, 7/25/61(1)(4) | 566 | 532 | |
Palisades Mortgage Loan Trust 2021-RTL1, A1 144A 2.857%, 6/25/26(1)(4) | 385 | 372 | |
Preston Ridge Partners Mortgage LLC | |||
2020-6, A1 144A 2.363%, 11/25/25(1)(4) | 1,071 | 1,042 | |
2021-RPL1, A1 144A 1.319%, 7/25/51(1)(4) | 216 | 204 | |
Progress Residential Trust | |||
2019-SFR2, D 144A 3.794%, 5/17/36(1) | 410 | 402 | |
2019-SFR3, B 144A 2.571%, 9/17/36(1) | 1,000 | 972 | |
2021-SFR6, C 144A 1.855%, 7/17/38(1) | 505 | 459 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(1)(4) | 124 | 124 | |
Roc Mortgage Trust 2021-RTL1, A1 144A 2.487%, 8/25/26(1)(4) | 640 | 614 | |
Sequoia Mortgage Trust 2013-8, B1 3.493%, 6/25/43(4) | 205 | 206 | |
Starwood Mortgage Residential Trust 2021-3, A3 144A 1.518%, 6/25/56(1)(4) | 234 | 223 | |
Towd Point Mortgage Trust | |||
2016-1, M1 144A 3.500%, 2/25/55(1)(4) | 380 | 382 | |
2016-4, B1 144A 3.800%, 7/25/56(1)(4) | 485 | 482 | |
2017-1, M1 144A 3.750%, 10/25/56(1)(4) | 450 | 445 | |
2017-4, A2 144A 3.000%, 6/25/57(1)(4) | 570 | 556 | |
2018-6, A2 144A 3.750%, 3/25/58(1)(4) | 1,925 | 1,906 | |
2019-2, A2 144A 3.750%, 12/25/58(1)(4) | 1,198 | 1,188 | |
2020-1, M1 144A 3.500%, 1/25/60(1)(4) | 305 | 291 | |
Tricon American Homes Trust | |||
2019-SFR1, C 144A 3.149%, 3/17/38(1) | 610 | 589 | |
2020-SFR2, D 144A 2.281%, 11/17/39(1) | 840 | 741 |
Par Value | Value | ||
Non-Agency—continued | |||
TVC Mortgage Trust 2020-RTL1, M 144A 5.193%, 9/25/24(1)(4) | $ 1,405 | $ 1,355 | |
UBS Commercial Mortgage Trust 2012-C1, D 144A 5.840%, 5/10/45(1)(4) | 1,259 | 1,176 | |
VCAT LLC | |||
2021-NPL1, A2 144A 4.826%, 12/26/50(1)(4) | 415 | 398 | |
2021-NPL3, A1 144A 1.743%, 5/25/51(1)(4) | 576 | 548 | |
2021-NPL4, A1 144A 1.868%, 8/25/51(1)(4) | 822 | 793 | |
Vericrest Opportunity Loan Trust C LLC 2021-NPL9, A1 144A 1.992%, 5/25/51(1)(4) | 203 | 195 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(1)(4) | 806 | 781 | |
Verus Securitization Trust 2019-4, M1 144A 3.207%, 11/25/59(1)(4) | 310 | 308 | |
Visio Trust 2020-1R, A2 144A 1.567%, 11/25/55(1) | 196 | 191 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 665 | 663 | |
ZH Trust 2021-1, A 144A 2.253%, 2/18/27(1) | 270 | 266 | |
Total Mortgage-Backed Securities (Identified Cost $39,408) | 37,541 | ||
Asset-Backed Securities—11.1% | |||
Automobiles—4.4% | |||
ACC Trust 2021-1, C 144A 2.080%, 12/20/24(1) | 825 | 806 | |
Avid Automobile Receivables Trust 2019-1, C 144A 3.140%, 7/15/26(1) | 930 | 931 | |
Avis Budget Rental Car Funding LLC (AESOP) 2019-2A, D 144A 3.040%, 9/22/25(1) | 825 | 783 | |
Carvana Auto Receivables Trust | |||
2019-3A, E 144A 4.600%, 7/15/26(1) | 690 | 698 | |
2022-N1, D 144A 4.130%, 12/11/28(1) | 685 | 678 | |
CIG Auto Receivables Trust 2020-1A, E 144A 4.430%, 2/12/27(1) | 1,040 | 1,040 |
Par Value | Value | ||
Automobiles—continued | |||
GLS Auto Receivables Issuer Trust | |||
2019-4A, D 144A 4.090%, 8/17/26(1) | $ 750 | $ 742 | |
2020-3A, E 144A 4.310%, 7/15/27(1) | 940 | 940 | |
OneMain Direct Auto Receivables Trust 2018-1A, C 144A 3.850%, 10/14/25(1) | 660 | 660 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(1) | 710 | 707 | |
USASF Receivables LLC | |||
2020-1A, B 144A 3.220%, 5/15/24(1) | 615 | 615 | |
2020-1A, C 144A 5.940%, 8/15/24(1) | 1,435 | 1,451 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(1) | 968 | 968 | |
Westlake Automobile Receivables Trust 2022-1A, B 144A 2.750%, 3/15/27(1) | 830 | 822 | |
11,841 | |||
Consumer Loans—0.3% | |||
Republic Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(1) | 835 | 816 | |
Credit Card—0.4% | |||
Mercury Financial Credit Card Master Trust | |||
2021-1A, A 144A 1.540%, 3/20/26(1) | 335 | 325 | |
2022-1A, A 144A 2.500%, 9/21/26(1) | 735 | 709 | |
1,034 | |||
Other—6.0% | |||
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(1) | 207 | 209 | |
2019-A, C 144A 4.010%, 7/16/40(1) | 915 | 896 | |
2020-AA, D 144A 7.150%, 7/17/46(1) | 815 | 793 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(1) | 926 | 883 |
Par Value | Value | ||
Other—continued | |||
Business Jet Securities LLC | |||
2019-1, A 144A 4.212%, 7/15/34(1) | $ 217 | $ 206 | |
2020-1A, A 144A 2.981%, 11/15/35(1) | 585 | 563 | |
Conn’s Receivables Funding LLC 2020-A, B 144A 4.270%, 6/16/25(1) | 138 | 138 | |
Dext ABS LLC 2020-1, D 144A 7.210%, 2/15/28(1) | 840 | 808 | |
FAT Brands Royalty LLC 2021-1A, A2 144A 4.750%, 4/25/51(1) | 830 | 809 | |
Hardee’s Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(1) | 1,047 | 1,012 | |
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(1) | 770 | 750 | |
Hotwire Funding LLC 2021-1, C 144A 4.459%, 11/20/51(1) | 960 | 890 | |
Jack in the Box Funding LLC 2022-1A, A2I 144A 3.445%, 2/26/52(1) | 705 | 664 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 616 | 608 | |
Mariner Finance Issuance Trust 2020-AA, A 144A 2.190%, 8/21/34(1) | 1,010 | 971 | |
NBC Funding LLC 2021-1, A2 144A 2.989%, 7/30/51(1) | 667 | 621 | |
Oasis Securitization Funding LLC 2021-1A, A 144A 2.579%, 2/15/33(1) | 350 | 350 | |
Octane Receivables Trust 2020-1A, B 144A 1.980%, 6/20/25(1) | 1,290 | 1,272 | |
Planet Fitness Master Issuer LLC 2018-1A, A2II 144A 4.666%, 9/5/48(1) | 984 | 979 | |
Purchasing Power Funding LLC 2021-A, B 144A 1.920%, 10/15/25(1) | 1,000 | 959 | |
Taco Bell Funding LLC 2016-1A, A23 144A 4.970%, 5/25/46(1) | 462 | 470 |
Par Value | Value | ||
Other—continued | |||
Upstart Pass-Through Trust Series | |||
2021-ST2, A 144A 2.500%, 4/20/27(1) | $ 643 | $ 627 | |
2021-ST8, A 144A 1.750%, 10/20/29(1) | 720 | 694 | |
16,172 | |||
Total Asset-Backed Securities (Identified Cost $30,574) | 29,863 | ||
Corporate Bonds and Notes—41.2% | |||
Communication Services—2.5% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(1) | 705 | 608 | |
Cable Onda S.A. 144A 4.500%, 1/30/30(1) | 790 | 771 | |
CCO Holdings LLC 144A 4.750%, 3/1/30(1) | 920 | 883 | |
CSC Holdings LLC 144A 5.750%, 1/15/30(1) | 970 | 863 | |
CT Trust 144A 5.125%, 2/3/32(1) | 610 | 609 | |
DISH DBS Corp. 7.750%, 7/1/26 | 415 | 412 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 411 | 425 | |
McGraw-Hill Education, Inc. 144A 8.000%, 8/1/29(1) | 530 | 501 | |
Millennium Escrow Corp. 144A 6.625%, 8/1/26(1) | 445 | 423 | |
Northwest Fiber LLC | |||
144A 4.750%, 4/30/27(1) | 110 | 104 | |
144A 6.000%, 2/15/28(1)(5) | 75 | 66 | |
144A 10.750%, 6/1/28(1) | 325 | 339 | |
Telesat Canada 144A 6.500%, 10/15/27(1) | 310 | 152 | |
Twitter, Inc. 144A 3.875%, 12/15/27(1) | 290 | 282 | |
VZ Secured Financing B.V. 144A 5.000%, 1/15/32(1) | 485 | 453 | |
6,891 | |||
Consumer Discretionary—4.7% | |||
Aston Martin Capital Holdings Ltd. 144A 10.500%, 11/30/25(1) | 480 | 505 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
At Home Group, Inc. | |||
144A 4.875%, 7/15/28(1) | $ 110 | $ 98 | |
144A 7.125%, 7/15/29(1) | 535 | 463 | |
Carnival Corp. 144A 7.625%, 3/1/26(1) | 710 | 715 | |
Carriage Services, Inc. 144A 4.250%, 5/15/29(1) | 450 | 419 | |
Carvana Co. 144A 5.625%, 10/1/25(1) | 465 | 438 | |
Clarios Global LP 144A 8.500%, 5/15/27(1) | 425 | 441 | |
Cooper-Standard Automotive, Inc. 144A 13.000%, 6/1/24(1) | 525 | 536 | |
Dick’s Sporting Goods, Inc. 3.150%, 1/15/32 | 543 | 498 | |
Dornoch Debt Merger Sub, Inc. 144A 6.625%, 10/15/29(1) | 310 | 270 | |
Ford Motor Co. 4.750%, 1/15/43 | 445 | 404 | |
Ford Motor Credit Co. LLC 4.125%, 8/17/27 | 485 | 474 | |
Jacobs Entertainment, Inc. 144A 6.750%, 2/15/29(1) | 420 | 422 | |
Lindblad Expeditions LLC 144A 6.750%, 2/15/27(1) | 420 | 421 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 770 | 726 | |
Mclaren Finance plc 144A 7.500%, 8/1/26(1) | 380 | 373 | |
Metis Merger Sub LLC 144A 6.500%, 5/15/29(1) | 320 | 301 | |
Mohegan Gaming & Entertainment 144A 8.000%, 2/1/26(1) | 595 | 591 | |
NMG Holding Co., Inc. 144A 7.125%, 4/1/26(1) | 700 | 719 | |
PetSmart, Inc. 144A 7.750%, 2/15/29(1) | 300 | 310 | |
Premier Entertainment Sub LLC 144A 5.625%, 9/1/29(1) | 675 | 580 | |
PulteGroup, Inc. | |||
7.875%, 6/15/32 | 525 | 678 | |
6.375%, 5/15/33 | 230 | 267 | |
Royal Caribbean Cruises Ltd. 144A 4.250%, 7/1/26(1) | 20 | 19 | |
Scientific Games Holdings LP 144A 6.625%, 3/1/30(1) | 45 | 44 | |
Scientific Games International, Inc. | |||
144A 8.250%, 3/15/26(1) | 570 | 593 | |
144A 7.000%, 5/15/28(1) | 165 | 171 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
SeaWorld Parks & Entertainment, Inc. 144A 5.250%, 8/15/29(1) | $ 445 | $ 424 | |
Tenneco, Inc. 144A 5.125%, 4/15/29(1) | 715 | 711 | |
12,611 | |||
Consumer Staples—1.0% | |||
BAT Capital Corp. 4.906%, 4/2/30 | 630 | 649 | |
Central American Bottling Corp. 144A 5.250%, 4/27/29(1) | 315 | 313 | |
Energizer Holdings, Inc. 144A 6.500%, 12/31/27(1) | 150 | 148 | |
HLF Financing S.a.r.l. LLC 144A 4.875%, 6/1/29(1) | 435 | 382 | |
Turning Point Brands, Inc. 144A 5.625%, 2/15/26(1) | 745 | 723 | |
Vector Group Ltd. 144A 5.750%, 2/1/29(1) | 495 | 451 | |
2,666 | |||
Energy—9.5% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(1) | 800 | 798 | |
Antero Midstream Partners LP 144A 5.750%, 1/15/28(1) | 365 | 373 | |
Antero Resources Corp. | |||
144A 8.375%, 7/15/26(1) | 212 | 234 | |
144A 7.625%, 2/1/29(1) | 169 | 183 | |
Ascent Resources Utica Holdings LLC 144A 8.250%, 12/31/28(1) | 550 | 578 | |
BP Capital Markets plc 4.875% (6) | 865 | 867 | |
Callon Petroleum Co. | |||
6.125%, 10/1/24 | 275 | 274 | |
144A 8.000%, 8/1/28(1)(5) | 20 | 21 | |
Calumet Specialty Products Partners LP 144A 8.125%, 1/15/27(1) | 425 | 395 | |
Coronado Finance Pty Ltd. 144A 10.750%, 5/15/26(1) | 448 | 480 | |
CrownRock LP | |||
144A 5.625%, 10/15/25(1) | 645 | 657 | |
144A 5.000%, 5/1/29(1) | 150 | 150 | |
CSI Compressco LP 144A 7.500%, 4/1/25(1) | 710 | 699 | |
DCP Midstream Operating LP 3.250%, 2/15/32 | 400 | 360 |
Par Value | Value | ||
Energy—continued | |||
Ecopetrol S.A. 4.625%, 11/2/31 | $ 825 | $ 747 | |
Energy Transfer LP Series H 6.500% (6) | 625 | 614 | |
Hilcorp Energy I LP | |||
144A 5.750%, 2/1/29(1) | 460 | 460 | |
144A 6.000%, 2/1/31(1) | 460 | 461 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 675 | 703 | |
International Petroleum Corp. RegS, 144A 7.250%, 2/1/27(1)(3) | 200 | 196 | |
KazMunayGas National Co. JSC 144A 6.375%, 10/24/48(1) | 470 | 443 | |
Kinder Morgan, Inc. 7.750%, 1/15/32 | 640 | 825 | |
Magnolia Oil & Gas Operating LLC 144A 6.000%, 8/1/26(1) | 625 | 637 | |
Mesquite Energy, Inc. 144A 7.250%, 2/15/23(1) | 375 | 4 | |
Nabors Industries Ltd. 144A 7.250%, 1/15/26(1) | 355 | 355 | |
Nabors Industries, Inc. 144A 7.375%, 5/15/27(1) | 110 | 114 | |
Northriver Midstream Finance LP 144A 5.625%, 2/15/26(1) | 560 | 558 | |
Occidental Petroleum Corp. | |||
5.500%, 12/1/25 | 15 | 16 | |
6.625%, 9/1/30 | 195 | 224 | |
6.125%, 1/1/31 | 800 | 900 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000% (1)(6) | 124 | 1 | |
Parsley Energy LLC 144A 4.125%, 2/15/28(1) | 600 | 597 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 610 | 595 | |
Pertamina Persero PT 144A 2.300%, 2/9/31(1) | 1,465 | 1,289 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(2) | 1,580 | 105 | |
Petroleos Mexicanos | |||
6.500%, 3/13/27 | 1,365 | 1,386 | |
5.950%, 1/28/31 | 1,100 | 1,015 | |
7.690%, 1/23/50 | 735 | 642 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(1) | 765 | 778 | |
Plains All American Pipeline LP 3.800%, 9/15/30 | 870 | 853 | |
Reliance Industries Ltd. 144A 2.875%, 1/12/32(1) | 780 | 716 | |
Rockcliff Energy II LLC 144A 5.500%, 10/15/29(1) | 10 | 10 |
Par Value | Value | ||
Energy—continued | |||
Saudi Arabian Oil Co. 144A 2.250%, 11/24/30(1) | $ 1,090 | $ 999 | |
Southwestern Energy Co. 5.375%, 2/1/29 | 580 | 587 | |
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(3) | 685 | 755 | |
Teine Energy Ltd. 144A 6.875%, 4/15/29(1) | 390 | 396 | |
Transcanada Trust 5.600%, 3/7/82 | 730 | 738 | |
Transocean, Inc. 144A 11.500%, 1/30/27(1) | 26 | 27 | |
USA Compression Partners LP 6.875%, 4/1/26 | 385 | 388 | |
Venture Global Calcasieu Pass LLC | |||
144A 3.875%, 8/15/29(1) | 45 | 44 | |
144A 4.125%, 8/15/31(1) | 460 | 451 | |
25,698 | |||
Financials—9.3% | |||
Acrisure LLC 144A 7.000%, 11/15/25(1) | 750 | 750 | |
Ally Financial, Inc. Series B 4.700% (6) | 989 | 931 | |
Ascot Group Ltd. 144A 4.250%, 12/15/30(1) | 735 | 719 | |
Banco de Bogota S.A. 144A 6.250%, 5/12/26(1) | 330 | 337 | |
Banco Mercantil del Norte S.A. 144A 6.625% (1)(6) | 855 | 789 | |
Banco Santander Chile 144A 3.177%, 10/26/31(1) | 785 | 750 | |
Bank of America Corp. 2.482%, 9/21/36 | 840 | 722 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (6) | 795 | 814 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(1) | 890 | 840 | |
Blackstone Private Credit Fund 144A 2.625%, 12/15/26(1) | 430 | 387 | |
Blue Owl Finance LLC 144A 3.125%, 6/10/31(1) | 535 | 455 | |
Brighthouse Financial, Inc. 5.625%, 5/15/30 | 663 | 727 | |
BroadStreet Partners, Inc. 144A 5.875%, 4/15/29(1) | 630 | 588 | |
Charles Schwab Corp. (The) Series H 4.000% (6) | 1,035 | 930 |
Par Value | Value | ||
Financials—continued | |||
Citadel LP 144A 4.875%, 1/15/27(1) | $ 605 | $ 597 | |
Cobra Acquisition Co. LLC 144A 6.375%, 11/1/29(1) | 440 | 377 | |
Coinbase Global, Inc. 144A 3.625%, 10/1/31(1) | 470 | 401 | |
Doric Nimrod Air Alpha Pass-Through Trust 2013-1, A 144A 5.250%, 5/30/23(1) | 242 | 241 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(1) | 970 | 939 | |
Icahn Enterprises LP | |||
6.250%, 5/15/26 | 735 | 750 | |
5.250%, 5/15/27 | 50 | 49 | |
Intercorp Peru Ltd. 144A 3.875%, 8/15/29(1) | 740 | 670 | |
Itau Unibanco Holding S.A. 144A 3.875%, 4/15/31(1) | 775 | 734 | |
JPMorgan Chase & Co. 1.953%, 2/4/32 | 795 | 696 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 405 | 388 | |
Liberty Mutual Group, Inc. 144A 4.125%, 12/15/51(1) | 655 | 617 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 2.294%, 4/20/67(4) | 870 | 691 | |
MetLife, Inc. Series G 3.850% (6) | 875 | 863 | |
Midcap Financial Issuer Trust 144A 6.500%, 5/1/28(1) | 695 | 654 | |
OneMain Finance Corp. 7.125%, 3/15/26 | 645 | 689 | |
OWL Rock Core Income Corp. 144A 4.700%, 2/8/27(1) | 594 | 571 | |
Prospect Capital Corp. 3.706%, 1/22/26 | 975 | 919 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 485 | 489 | |
5.625%, 6/15/43 | 450 | 453 | |
5.125%, 3/1/52 | 192 | 194 | |
Santander Holdings USA, Inc. 4.400%, 7/13/27 | 700 | 712 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 417 | 427 | |
Texas Capital Bancshares, Inc. 4.000%, 5/6/31 | 945 | 922 |
Par Value | Value | ||
Financials—continued | |||
Wells Fargo & Co. Series BB 3.900% (6) | $ 1,295 | $ 1,241 | |
25,023 | |||
Health Care—2.9% | |||
Akumin, Inc. 144A 7.000%, 11/1/25(1) | 625 | 519 | |
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(1)(5) | 300 | 299 | |
Bausch Health Cos., Inc. | |||
144A 6.125%, 2/1/27(1) | 45 | 45 | |
144A 7.000%, 1/15/28(1) | 435 | 389 | |
Bio-Rad Laboratories, Inc. 3.700%, 3/15/32 | 191 | 189 | |
Cheplapharm Arzneimittel GmbH 144A 5.500%, 1/15/28(1) | 700 | 677 | |
Community Health Systems, Inc. | |||
144A 6.875%, 4/15/29(1) | 60 | 59 | |
144A 6.125%, 4/1/30(1) | 645 | 600 | |
144A 5.250%, 5/15/30(1) | 440 | 422 | |
144A 4.750%, 2/15/31(1) | 615 | 581 | |
Encompass Health Corp. 4.500%, 2/1/28 | 455 | 446 | |
Endo Luxembourg Finance Co. I S.a.r.l. 144A 6.125%, 4/1/29(1) | 305 | 278 | |
Lannett Co., Inc. 144A 7.750%, 4/15/26(1) | 175 | 95 | |
Legacy LifePoint Health LLC 144A 6.750%, 4/15/25(1) | 305 | 315 | |
Ortho-Clinical Diagnostics, Inc. | |||
144A 7.375%, 6/1/25(1) | 212 | 218 | |
144A 7.250%, 2/1/28(1) | 61 | 63 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | 320 | 299 | |
Prime Healthcare Services, Inc. 144A 7.250%, 11/1/25(1) | 70 | 72 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(1) | 645 | 643 | |
144A 10.000%, 4/15/27(1) | 280 | 294 | |
Team Health Holdings, Inc. 144A 6.375%, 2/1/25(1)(5) | 480 | 431 | |
Teva Pharmaceutical Finance Netherlands III B.V. 3.150%, 10/1/26 | 505 | 457 |
Par Value | Value | ||
Health Care—continued | |||
Universal Health Services, Inc. 144A 2.650%, 1/15/32(1) | $ 555 | $ 499 | |
7,890 | |||
Industrials—3.5% | |||
Allied Universal Holdco LLC 144A 6.000%, 6/1/29(1) | 200 | 176 | |
American Airlines Group, Inc. 144A 5.000%, 6/1/22(1)(5) | 445 | 445 | |
American Airlines, Inc. 144A 11.750%, 7/15/25(1) | 440 | 514 | |
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(1) | 870 | 881 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(1) | 705 | 667 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(1) | 597 | 589 | |
BCPE Ulysses Intermediate, Inc. PIK 144A 7.750%, 4/1/27(1) | 620 | 563 | |
BlueLinx Holdings, Inc. 144A 6.000%, 11/15/29(1) | 310 | 288 | |
Boeing Co. (The) | |||
5.150%, 5/1/30 | 295 | 315 | |
3.750%, 2/1/50 | 450 | 401 | |
5.930%, 5/1/60 | 220 | 254 | |
Bombardier, Inc. 144A 6.000%, 2/15/28(1) | 215 | 201 | |
Cleaver-Brooks, Inc. 144A 7.875%, 3/1/23(1)(5) | 630 | 600 | |
CoStar Group, Inc. 144A 2.800%, 7/15/30(1) | 780 | 713 | |
CP Atlas Buyer, Inc. 144A 7.000%, 12/1/28(1)(5) | 750 | 639 | |
Deluxe Corp. 144A 8.000%, 6/1/29(1) | 235 | 239 | |
OT Merger Corp. 144A 7.875%, 10/15/29(1) | 220 | 190 | |
Promontoria Holding 264 B.V. 144A 7.875%, 3/1/27(1) | 225 | 219 | |
Sempra Infrastructure Partners LP 144A 3.250%, 1/15/32(1) | 814 | 752 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(1) | 613 | 609 |
Par Value | Value | ||
Industrials—continued | |||
TransDigm, Inc. 5.500%, 11/15/27 | $ 290 | $ 288 | |
9,543 | |||
Information Technology—2.0% | |||
CDW LLC 3.569%, 12/1/31 | 682 | 632 | |
Consensus Cloud Solutions, Inc. | |||
144A 6.000%, 10/15/26(1) | 100 | 99 | |
144A 6.500%, 10/15/28(1) | 145 | 144 | |
Dell International LLC 8.100%, 7/15/36 | 160 | 210 | |
Kyndryl Holdings, Inc. 144A 3.150%, 10/15/31(1) | 795 | 670 | |
MicroStrategy, Inc. 144A 6.125%, 6/15/28(1)(5) | 475 | 462 | |
Minerva Merger Sub, Inc. 144A 6.500%, 2/15/30(1) | 100 | 97 | |
Oracle Corp. 2.875%, 3/25/31 | 310 | 283 | |
Plantronics, Inc. 144A 4.750%, 3/1/29(1) | 580 | 597 | |
Rocket Software, Inc. 144A 6.500%, 2/15/29(1)(5) | 565 | 513 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(1) | 955 | 941 | |
TD SYNNEX Corp. 144A 2.375%, 8/9/28(1) | 785 | 707 | |
5,355 | |||
Materials—2.9% | |||
ARD Finance S.A. PIK 144A 6.500%, 6/30/27(1) | 825 | 754 | |
Chemours Co. (The) 144A 5.750%, 11/15/28(1) | 570 | 554 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(1) | 710 | 746 | |
Eldorado Gold Corp. 144A 6.250%, 9/1/29(1) | 540 | 543 | |
Freeport-McMoRan, Inc. 5.450%, 3/15/43 | 625 | 700 | |
Glatfelter Corp. 144A 4.750%, 11/15/29(1) | 255 | 216 | |
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(1) | 700 | 680 | |
New Enterprise Stone & Lime Co., Inc. 144A 9.750%, 7/15/28(1) | 556 | 561 |
Par Value | Value | ||
Materials—continued | |||
Suzano Austria GmbH 2.500%, 9/15/28 | $ 335 | $ 302 | |
Taseko Mines Ltd. 144A 7.000%, 2/15/26(1) | 840 | 865 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 510 | 602 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(1) | 700 | 704 | |
144A 6.625%, 11/1/25(1) | 426 | 417 | |
WR Grace Holdings LLC 144A 5.625%, 8/15/29(1) | 215 | 201 | |
7,845 | |||
Real Estate—1.5% | |||
EPR Properties 3.600%, 11/15/31 | 475 | 431 | |
GLP Capital LP | |||
5.750%, 6/1/28 | 229 | 246 | |
5.300%, 1/15/29 | 336 | 353 | |
3.250%, 1/15/32 | 81 | 74 | |
Kite Realty Group Trust 4.750%, 9/15/30 | 840 | 868 | |
Office Properties Income Trust 4.500%, 2/1/25 | 900 | 898 | |
Phillips Edison Grocery Center Operating Partnership I LP 2.625%, 11/15/31 | 845 | 746 | |
Service Properties Trust 4.950%, 2/15/27 | 425 | 393 | |
4,009 | |||
Utilities—1.4% | |||
Alliant Energy Finance LLC 144A 3.600%, 3/1/32(1) | 404 | 393 | |
CMS Energy Corp. 4.750%, 6/1/50 | 860 | 851 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(1) | 975 | 940 | |
Ferrellgas LP | |||
144A 5.375%, 4/1/26(1) | 140 | 132 | |
144A 5.875%, 4/1/29(1) | 160 | 148 | |
Southern Co. (The) Series 21-A 3.750%, 9/15/51 | 877 | 809 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/49(1)(7) | 375 | — |
Par Value | Value | ||
Utilities—continued | |||
Vistra Corp. 144A 8.000% (1)(6) | $ 435 | $ 439 | |
3,712 | |||
Total Corporate Bonds and Notes (Identified Cost $116,846) | 111,243 | ||
Leveraged Loans—21.4% | |||
Aerospace—1.1% | |||
Air Canada (3 month LIBOR + 3.500%) 4.250%, 8/11/28(4) | 118 | 117 | |
Amentum Government Services Holdings LLC Tranche B (3 month Term SOFR + 4.000%) 4.500% - 4.777%, 2/15/29(4) | 220 | 217 | |
Brown Group Holding LLC (3 month LIBOR + 2.500%) 3.506%, 6/7/28(4) | 580 | 571 | |
KKR Apple Bidco LLC | |||
(1 month LIBOR + 3.000%) 3.500%, 9/22/28(4) | 384 | 379 | |
Second Lien (1 month LIBOR + 5.750%) 6.250%, 9/21/29(4) | 35 | 35 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27(4) | 695 | 720 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.707%, 5/30/25(4) | 454 | 445 | |
Tranche F (1 month LIBOR + 2.250%) 2.707%, 12/9/25(4) | 222 | 218 | |
United AirLines, Inc. Tranche B (3 month LIBOR + 3.750%) 4.500%, 4/21/28(4) | 257 | 254 | |
2,956 | |||
Chemicals—0.9% | |||
Aruba Investments Holdings LLC First Lien (6 month LIBOR + 3.750%) 4.500%, 11/24/27(4) | 306 | 302 | |
CPC Acquisition Corp. First Lien (3 month LIBOR + 3.750%) 4.756%, 12/29/27(4) | 495 | 480 |
Par Value | Value | ||
Chemicals—continued | |||
Herens Holdco S.a.r.l. Tranche B (3 month LIBOR + 4.000%) 4.750%, 7/3/28(4) | $ 651 | $ 633 | |
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 2.209%, 4/1/24(4) | 708 | 695 | |
Innophos Holdings, Inc. (1 month LIBOR + 3.750%) 4.207%, 2/5/27(4) | 392 | 390 | |
2,500 | |||
Consumer Non-Durables—0.5% | |||
DS Parent, Inc. Tranche B (3 month LIBOR + 5.750%) 6.756%, 12/8/28(4) | 315 | 305 | |
Parfums Holding Co., Inc. First Lien (1 month LIBOR + 4.000%) 4.457%, 6/30/24(4) | 591 | 584 | |
ZEP, Inc. First Lien (12 month LIBOR + 4.000%) 5.000%, 8/12/24(4) | 439 | 417 | |
1,306 | |||
Energy—1.0% | |||
Citgo Petroleum Corp. 2019, Tranche B (1 month LIBOR + 6.250%) 7.250%, 3/28/24(4) | 318 | 317 | |
Hamilton Projects Acquiror LLC (3 month LIBOR + 4.500%) 0.000%, 6/17/27(4) | 478 | 468 | |
Lucid Energy Group II Borrower LLC First Lien (3 month LIBOR + 4.250%) 0.000%, 11/24/28(4)(8) | 269 | 267 | |
Medallion Midland Acquisition LP (1 month LIBOR + 3.750%) 4.500%, 10/18/28(4) | 496 | 490 | |
Oryx Midstream Services Permian Basin LLC Tranche B (3 month LIBOR + 3.250%) 3.750%, 10/5/28(4) | 484 | 479 | |
Traverse Midstream Partners LLC (3 month Term SOFR + 4.250%) 5.250%, 9/27/24(4) | 793 | 789 | |
2,810 | |||
Par Value | Value | ||
Financial—0.5% | |||
Asurion LLC | |||
Tranche B-3, Second Lien (1 month LIBOR + 5.250%) 5.707%, 1/31/28(4) | $ 360 | $ 352 | |
Tranche B-4 (1 month LIBOR + 5.250%) 5.707%, 1/20/29(4) | 150 | 146 | |
Tranche B-9 (1 month LIBOR + 3.250%) 3.707%, 7/31/27(4) | 674 | 660 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.457%, 6/15/25(4) | 318 | 312 | |
1,470 | |||
Food / Tobacco—0.5% | |||
H-Food Holdings LLC (1 month LIBOR + 3.688%) 4.145%, 5/23/25(4) | 340 | 327 | |
Shearer’s Foods LLC First Lien (1 month LIBOR + 3.500%) 4.250%, 9/23/27(4) | 666 | 645 | |
Triton Water Holdings, Inc. First Lien (3 month LIBOR + 3.500%) 4.506%, 3/31/28(4) | 496 | 483 | |
1,455 | |||
Forest Prod / Containers—0.9% | |||
Anchor Glass Container Corp. 2017 (3 month LIBOR + 2.750%) 3.750% - 3.756%, 12/7/23(4) | 277 | 234 | |
BWay Holding Co. (3 month LIBOR + 3.250%) 3.481%, 4/3/24(4) | 312 | 307 | |
Clydesdale Acquisition Holdings, Inc. (3 month LIBOR + 4.250%) 0.000%, 3/30/29(4)(8) | 235 | 231 | |
Klockner Pentaplast of America, Inc. Tranche B (6 month LIBOR + 4.750%) 5.554%, 2/12/26(4) | 658 | 598 | |
Spectrum Holdings III Corp. First Lien (6 month LIBOR + 3.250%) 4.250%, 1/31/25(4) | 474 | 455 |
Par Value | Value | ||
Forest Prod / Containers—continued | |||
TricorBraun, Inc. (1 month LIBOR + 3.250%) 3.750%, 3/3/28(4) | $ 523 | $ 509 | |
2,334 | |||
Gaming / Leisure—1.6% | |||
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 3.207%, 12/23/24(4) | 328 | 325 | |
Carnival Corp. | |||
2021, Tranche B (3 month LIBOR + 3.250%) 4.000%, 10/18/28(4) | 296 | 289 | |
Tranche B (3 month LIBOR + 3.000%) 0.000%, 6/30/25(4) | 143 | 139 | |
ECL Entertainment LLC Tranche B (3 month LIBOR + 7.500%) 8.250%, 5/1/28(4) | 99 | 100 | |
Fertitta Entertainment LLC Tranche B (1 month Term SOFR + 4.000%) 4.500%, 1/26/29(4) | 260 | 258 | |
J&J Ventures Gaming LLC (1 month LIBOR + 4.000%) 4.750%, 4/26/28(4) | 463 | 457 | |
Landry’s Finance Acquisition Co. 2020 (1 month LIBOR + 12.000%) 13.000%, 10/4/23(4) | 45 | 48 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24(4) | 995 | 971 | |
Pug LLC | |||
Tranche B (1 month LIBOR + 3.500%) 3.957%, 2/12/27(4) | 635 | 622 | |
Tranche B-2 (1 month LIBOR + 4.250%) 4.750%, 2/12/27(4) | 95 | 95 | |
Raptor Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 4.934%, 11/1/26(4) | 130 | 129 | |
Scientific Games Holdings LP Tranche B-2 (3 month LIBOR + 3.500%) 0.000%, 4/4/29(4)(8) | 100 | 99 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
UFC Holdings LLC Tranche B-3 (6 month LIBOR + 2.750%) 3.500%, 4/29/26(4) | $ 781 | $ 772 | |
4,304 | |||
Health Care—3.5% | |||
ASP Navigate Acquisition Corp. (3 month LIBOR + 4.500%) 5.500%, 10/6/27(4) | 351 | 344 | |
AthenaHealth Group, Inc. (1 month Term SOFR +3.500%) 4.000%, 2/15/29(4) | 225 | 222 | |
Azalea TopCo, Inc. 2021 (3 month LIBOR + 3.750%) 4.500%, 7/24/26(4) | 370 | 366 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 4.207%, 10/10/25(4) | 281 | 186 | |
Gainwell Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 5.006%, 10/1/27(4) | 628 | 626 | |
Heartland Dental LLC 2021 (1 month LIBOR + 4.000%) 4.447%, 4/30/25(4) | 308 | 304 | |
Hunter Holdco 3 Ltd. First Lien (3 month LIBOR + 4.250%) 4.750%, 8/19/28(4) | 265 | 264 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.197%, 11/16/25(4) | 563 | 559 | |
Medline Borrower LP (1 month LIBOR + 3.250%) 3.750%, 10/23/28(4) | 140 | 139 | |
One Call Corp. Tranche B, First Lien (3 month LIBOR + 5.500%) 6.250%, 4/22/27(4) | 854 | 790 | |
Packaging Coordinators Midco, Inc. Tranche B, First Lien (3 month LIBOR + 3.750%) 4.756%, 11/30/27(4) | 575 | 571 | |
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 3.207%, 2/14/25(4) | 591 | 583 | |
Phoenix Guarantor, Inc. | |||
Tranche B-1 (1 month LIBOR + 3.250%) 3.459%, 3/5/26(4) | 316 | 312 | |
Tranche B-3 (1 month LIBOR + 3.500%) 3.947%, 3/5/26(4) | 306 | 303 |
Par Value | Value | ||
Health Care—continued | |||
Phoenix Newco, Inc. First Lien (1 month LIBOR + 3.500%) 4.000%, 11/15/28(4) | $ 185 | $ 183 | |
Pluto Acquisition I, Inc. 2021, First Lien (3 month LIBOR + 4.000%) 4.209%, 6/22/26(4) | 367 | 362 | |
Precision Medicine Group LLC (3 month LIBOR + 3.000%) 4.006%, 11/18/27(4) | 348 | 341 | |
Southern Veterinary Partners LLC First Lien (6 month LIBOR + 4.000%) 5.000%, 10/5/27(4) | 580 | 575 | |
Sunshine Luxembourg VII S.a.r.l. Tranche B-3 (3 month LIBOR + 3.750%) 4.756%, 10/1/26(4) | 282 | 280 | |
Surgery Center Holdings, Inc. 2021 (1 month LIBOR + 3.750%) 4.500%, 8/31/26(4) | 317 | 314 | |
Upstream Newco, Inc. 2021 (1 month Term SOFR + 4.250%) 4.677%, 11/20/26(4) | 352 | 350 | |
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 4.207%, 7/2/25(4) | 863 | 810 | |
Waystar Technologies, Inc. 2021 (1 month LIBOR + 4.000%) 4.457%, 10/22/26(4) | 551 | 549 | |
9,333 | |||
Housing—0.6% | |||
Chariot Buyer LLC (3 month LIBOR + 3.500%) 4.506%, 11/3/28(4) | 444 | 438 | |
Icebox Holdco III, Inc. (3 month LIBOR + 3.750%) 4.756%, 12/22/28(4) | 278 | 274 | |
Quikrete Holdings, Inc. Tranche B-1 (3 month LIBOR + 3.000%) 0.000%, 6/9/28(4)(8) | 605 | 593 | |
SRS Distribution, Inc. | |||
2021 (3 month LIBOR + 3.500%) 4.000% - 4.019%, 6/2/28(4) | 174 | 172 | |
2022 (3 month Term SOFR + 3.500%) 4.000%, 6/2/28(4) | 50 | 49 | |
1,526 | |||
Par Value | Value | ||
Information Technology—2.8% | |||
Applied Systems, Inc. Second Lien (3 month LIBOR + 5.500%) 6.506%, 9/19/25(4) | $ 366 | $ 363 | |
BMC Software | |||
2021 (3 month LIBOR + 3.750%) 4.756%, 10/2/25(4) | 593 | 589 | |
Second Lien (1 month LIBOR + 5.500%) 6.000%, 2/27/26(4) | 130 | 128 | |
ConnectWise LLC (1 month LIBOR + 3.500%) 4.000%, 9/29/28(4) | 414 | 411 | |
Epicor Software Corp. Tranche C (1 month LIBOR + 3.250%) 4.000%, 7/30/27(4) | 509 | 504 | |
Greeneden U.S. Holdings II LLC Tranche B-4 (1 month LIBOR + 4.000%) 4.750% -4.983%, 12/1/27(4) | 336 | 335 | |
Hyland Software, Inc. 2018 (1 month LIBOR + 3.500%) 4.250%, 7/1/24(4) | 803 | 798 | |
Infinite Bidco LLC | |||
First Lien (3 month LIBOR + 3.750%) 4.250%, 3/2/28(4) | 591 | 580 | |
Second Lien (3 month LIBOR + 7.000%) 7.508%, 3/2/29(4) | 225 | 221 | |
Magenta Buyer LLC First Lien (3 month LIBOR + 5.000%) 5.750%, 7/27/28(4) | 334 | 331 | |
Project Ruby Ultimate Parent Corp. First Lien (1 month LIBOR + 3.250%) 4.000%, 3/10/28(4) | 530 | 524 | |
Proofpoint, Inc. (3 month LIBOR + 3.250%) 3.758%, 8/31/28(4) | 409 | 404 | |
Quest Software U.S. Holdings, Inc. First Lien (3 month Term SOFR + 4.250%) 4.750%, 2/1/29(4) | 345 | 339 | |
RealPage, Inc. First Lien (1 month LIBOR + 3.250%) 3.750%, 4/24/28(4) | 562 | 555 |
Par Value | Value | ||
Information Technology—continued | |||
Sophia LP | |||
Tranche B (3 month LIBOR + 3.250%) 4.256%, 10/7/27(4) | $ 482 | $ 477 | |
Tranche B (3 month LIBOR + 4.250%) 0.000%, 10/7/27(4)(8) | 90 | 89 | |
UKG, Inc. | |||
2021, Second Lien (3 month LIBOR + 5.250%) 5.750%, 5/3/27(4) | 25 | 25 | |
2021-2, First Lien (3 month LIBOR + 3.250%) 3.750%, 5/4/26(4) | 854 | 847 | |
7,520 | |||
Manufacturing—1.3% | |||
Alliance Laundry Systems LLC Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/8/27(4) | 655 | 648 | |
Apex Group Treasury LLC (3 month LIBOR + 3.750%) 4.756%, 7/27/28(4) | 507 | 503 | |
Arcline FM Holdings LLC | |||
First Lien (6 month LIBOR + 4.750%) 5.500%, 6/23/28(4) | 473 | 466 | |
Second Lien (6 month LIBOR + 8.250%) 9.000%, 6/25/29(4) | 140 | 138 | |
Backyard Acquireco, Inc. (3 month LIBOR + 3.750%) 4.756%, 11/2/27(4) | 432 | 429 | |
Filtration Group Corp. | |||
(1 month LIBOR + 3.000%) 3.209%, 3/31/25(4) | 648 | 638 | |
2021 (1 month LIBOR + 3.500%) 4.000%, 10/21/28(4) | 134 | 133 | |
Safe Fleet Holdings LLC 2022 (3 month Term SOFR + 3.750%) 4.271%, 2/23/29(4) | 90 | 88 | |
Star U.S. Bidco LLC (3 month LIBOR + 4.250%) 5.250%, 3/17/27(4) | 302 | 298 | |
Truck Hero, Inc. (1 month LIBOR + 3.250%) 4.000%, 1/31/28(4) | 243 | 235 | |
3,576 | |||
Par Value | Value | ||
Media / Telecom - Cable/Wireless Video—0.1% | |||
DIRECTV Financing LLC (1 month LIBOR + 5.000%) 5.750%, 8/2/27(4) | $ 400 | $ 399 | |
Media / Telecom - Diversified Media—0.6% | |||
Cinemark USA, Inc. (3 month LIBOR + 1.750%) 0.000%, 3/31/25(4)(8) | 316 | 307 | |
Dotdash Meredith, Inc. Tranche B (1 month Term SOFR + 4.000%) 4.500%, 12/1/28(4) | 464 | 463 | |
McGraw-Hill Education, Inc. (3 month LIBOR + 4.750%) 5.250%, 7/28/28(4) | 422 | 417 | |
William Morris Endeavor Entertainment LLC Tranche B-1 (1 month LIBOR + 2.750%) 2.960% - 3.210%, 5/18/25(4) | 494 | 485 | |
1,672 | |||
Media / Telecom - Telecommunications—0.2% | |||
Consolidated Communications, Inc. Tranche B-1 (1 month LIBOR + 3.500%) 4.250%, 10/2/27(4) | 268 | 250 | |
Securus Technologies Holdings, Inc. First Lien (3 month LIBOR + 4.500%) 5.506%, 11/1/24(4) | 246 | 234 | |
484 | |||
Metals / Minerals—0.2% | |||
Covia Holdings LLC (3 month LIBOR + 4.000%) 5.000%, 7/31/26(4) | 465 | 456 | |
Retail—0.9% | |||
CNT Holdings I Corp. First Lien (3 month LIBOR + 3.500%) 4.250%, 11/8/27(4) | 490 | 487 | |
Great Outdoors Group LLC Tranche B-2 (1 month LIBOR + 3.750%) 4.500%, 3/6/28(4) | 494 | 491 |
Par Value | Value | ||
Retail—continued | |||
Harbor Freight Tools USA, Inc. 2021 (1 month LIBOR + 2.750%) 3.250%, 10/19/27(4) | $ 503 | $ 492 | |
Michaels Cos., Inc. (The) Tranche B (3 month LIBOR + 4.250%) 5.256%, 4/15/28(4) | 327 | 307 | |
PetsMart LLC (3 month LIBOR + 3.750%) 4.500%, 2/11/28(4) | 438 | 436 | |
Rising Tide Holdings, Inc. First Lien (1 month LIBOR + 4.750%) 5.500%, 6/1/28(4) | 258 | 249 | |
2,462 | |||
Service—2.9% | |||
AIT Worldwide Logistics, Inc. First Lien (3 month LIBOR + 4.750%) 5.500%, 4/6/28(4) | 443 | 439 | |
Allied Universal Holdco LLC (1 month LIBOR + 3.750%) 4.250%, 5/12/28(4) | 89 | 88 | |
Carlisle Foodservice Products, Inc. First Lien (6 month LIBOR + 3.000%) 4.000%, 3/20/25(4) | 480 | 461 | |
DG Investment Intermediate Holdings 2, Inc. First Lien (1 month LIBOR + 3.500%) 4.250%, 3/31/28(4) | 362 | 358 | |
Dun & Bradstreet Corp. (The) | |||
, Tranche B (1 month LIBOR + 3.250%) 3.697%, 2/6/26(4) | 762 | 754 | |
2022, Tranche B-2 (1 month Term SOFR + 3.250%) 3.560%, 1/18/29(4) | 70 | 69 | |
DXP Enterprises, Inc. (1 month LIBOR + 4.750%) 5.750%, 12/23/27(4) | 341 | 337 | |
Garda World Security Corp. Tranche B-2 (1 month LIBOR + 4.250%) 4.710%, 10/30/26(4) | 115 | 113 | |
Grab Holdings, Inc. (6 month LIBOR + 4.500%) 5.500%, 1/29/26(4) | 832 | 811 | |
Hertz Corp. (The) | |||
Tranche B (1 month LIBOR + 3.250%) 3.750%, 6/30/28(4) | 300 | 297 | |
Tranche C (1 month LIBOR + 3.250%) 3.750%, 6/30/28(4) | 57 | 56 |
Par Value | Value | ||
Service—continued | |||
Hoya Midco LLC 2022, First Lien (6 month Term SOFR + 3.250%) 3.750%, 2/2/29(4) | $ 281 | $ 277 | |
NAB Holdings LLC (3 month Term SOFR + 3.000%) 3.801%, 11/23/28(4) | 254 | 251 | |
Peraton Corp. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.500%, 2/1/28(4) | 652 | 647 | |
PODS LLC (3 month LIBOR + 3.000%) 3.750%, 3/31/28(4) | 723 | 714 | |
Sedgwick Claims Management Services, Inc. 2019 (1 month LIBOR + 3.750%) 4.207%, 9/3/26(4) | 761 | 755 | |
St. George’s University Scholastic Services LLC (1 month LIBOR + 3.250%) 3.750%, 2/10/29(4) | 415 | 410 | |
Sweetwater Borrower LLC (1 month LIBOR + 4.750%) 5.500%, 8/7/28(4) | 347 | 343 | |
Weld North Education LLC 2021 (1 month LIBOR + 3.750%) 4.250%, 12/21/27(4) | 740 | 732 | |
7,912 | |||
Transportation - Automotive—0.6% | |||
Clarios Global LP First Lien (1 month LIBOR + 3.250%) 3.707%, 4/30/26(4) | 292 | 288 | |
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23(4) | 858 | 791 | |
DexKo Global, Inc. | |||
(3 month LIBOR + 3.750%) 4.756%, 10/4/28(4) | 25 | 24 | |
First Lien (3 month LIBOR + 3.750%) 4.717%, 10/4/28(4) | 130 | 127 | |
Mavis Tire Express Services Topco Corp. First Lien (1 month LIBOR + 4.000%) 4.750%, 5/4/28(4) | 248 | 246 | |
PAI Holdco, Inc. Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/28/27(4) | 188 | 186 | |
1,662 | |||
Par Value | Value | ||
Transportation - Land Transportation—0.1% | |||
LaserShip, Inc. First Lien (6 month LIBOR + 4.500%) 5.250%, 5/8/28(4) | $ 164 | $ 163 | |
Utility—0.6% | |||
Brookfield WEC Holdings, Inc. (1 month LIBOR + 2.750%) 3.250%, 8/1/25(4) | 683 | 670 | |
Generation Bridge II LLC | |||
Tranche B (3 month LIBOR + 5.000%) 6.006%, 2/23/29(4) | 158 | 158 | |
Tranche C (3 month LIBOR + 5.000%) 0.000%, 2/23/29(4) | 20 | 19 | |
Lightstone HoldCo LLC | |||
2018, Tranche B (3 month LIBOR + 3.750%) 4.750%, 1/30/24(4) | 814 | 733 | |
2018, Tranche C (3 month LIBOR + 3.750%) 4.750%, 1/30/24(4) | 46 | 41 | |
1,621 | |||
Total Leveraged Loans (Identified Cost $58,434) | 57,921 | ||
Shares | ||
Preferred Stocks—1.5% | ||
Financials—1.1% | ||
Capital Farm Credit ACA Series 1 144A, 5.000%(1) | 525 (9) | 515 |
MetLife, Inc. Series D, 5.875% | 478 (9) | 479 |
Truist Financial Corp. Series Q, 5.100% | 880 (9) | 892 |
Zions Bancorp NA, 6.950% | 38,525 | 1,019 |
2,905 | ||
Industrials—0.4% | ||
General Electric Co. Series D, (3 month LIBOR + 3.330%), 4.156%(4) | 1,055 (9) | 1,011 |
Total Preferred Stocks (Identified Cost $3,816) | 3,916 | |
Common Stocks—0.3% | ||
Consumer Discretionary—0.1% | ||
Mark IV Industries(7)(10) | 446 | 1 |
MYT Holding LLC Class B(7)(10) | 42,729 | 55 |
NMG Parent LLC(10) | 836 | 140 |
196 | ||
Shares | Value | ||
Energy—0.2% | |||
Frontera Energy Corp.(10) | �� 6,656 | $ 77 | |
QuarterNorth Energy Holding, Inc.(10) | 3,851 | 520 | |
597 | |||
Total Common Stocks (Identified Cost $870) | 793 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(7)(10) | 6,252 | 8 | |
Total Rights (Identified Cost $5) | 8 | ||
Total Long-Term Investments—97.8% (Identified Cost $276,180) | 264,073 | ||
Short-Term Investment—0.6% | |||
Money Market Mutual Fund—0.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(11) | 1,723,609 | 1,724 | |
Total Short-Term Investment (Identified Cost $1,724) | 1,724 | ||
Shares | Value | ||
Securities Lending Collateral—1.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(11)(12) | 3,671,057 | $ 3,671 | |
Total Securities Lending Collateral (Identified Cost $3,671) | 3,671 | ||
TOTAL INVESTMENTS—99.8% (Identified Cost $281,575) | $269,468 | ||
Other assets and liabilities, net—0.2% | 571 | ||
NET ASSETS—100.0% | $270,039 |
Abbreviations: | |
ABS | Asset-Backed Securities |
ACA | American Capital Access Financial Guarantee Corp. |
BAM | Build America Municipal Insured |
JSC | Joint Stock Company |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
NA | National Association |
PIK | Payment-in-Kind Security |
SOFR | Secured Overnight Financing Rate |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities amounted to a value of $149,435 or 55.3% of net assets. |
(2) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(3) | 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. |
(4) | Variable rate security. Rate disclosed is as of March 31, 2022. 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) | All or a portion of security is on loan. |
(6) | No contractual maturity date. |
(7) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(8) | This loan will settle after March 31, 2022, at which time the interest rate 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 | 79% |
Mexico | 4 |
Saudi Arabia | 3 |
Indonesia | 2 |
Panama | 2 |
Canada | 1 |
Netherlands | 1 |
Other | 8 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Borrower | Par Value | Commitment | Value | Unrealized Appreciation (Depreciation) | ||||
AthenaHealth Group, Inc. 0.000%, 2/15/29(1) | $ 38 | $ 38 | $ 38 | $— (2) | ||||
Icebox Holdco III, Inc., (3 month LIBOR + 0.500%) 0.500%, 12/22/28 | 57 | 57 | 56 | (1) | ||||
Precision Medicine Group LLC, (3 month LIBOR + 3.750%) 0.000%, 11/18/27(1) | 38 | 38 | 37 | (1) | ||||
Total | $133 | $133 | $131 | $ (2) |
(1) | This loan will settle after March 31, 2022, at which time the interest rate will be reflected. |
(2) | Amount is less than $500. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $ 29,863 | $ — | $ 29,863 | $— | |||
Corporate Bonds and Notes | 111,243 | — | 111,243 | — (1) | |||
Foreign Government Securities | 19,108 | — | 19,108 | — | |||
Leveraged Loans | 57,921 | — | 57,921 | — | |||
Mortgage-Backed Securities | 37,541 | — | 37,541 | — | |||
Municipal Bonds | 904 | — | 904 | — | |||
U.S. Government Security | 2,776 | — | 2,776 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 3,916 | 1,019 | 2,897 | — | |||
Common Stocks | 793 | 77 | 660 | 56 | |||
Rights | 8 | — | — | 8 | |||
Securities Lending Collateral | 3,671 | 3,671 | — | — | |||
Money Market Mutual Fund | 1,724 | 1,724 | — | — | |||
Total Investments | $269,468 | $6,491 | $262,913 | $64 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Par Value | Value | ||
U.S. Government Securities—3.0% | |||
U.S. Treasury Notes | |||
1.750%, 6/15/22 | $ 16,160 | $ 16,200 | |
0.125%, 4/30/23 | 123,785 | 121,600 | |
1.000%, 12/15/24 | 32,410 | 31,147 | |
0.625%, 12/31/27 | 15,150 | 13,659 | |
Total U.S. Government Securities (Identified Cost $187,430) | 182,606 | ||
Municipal Bond—0.1% | |||
Virginia—0.1% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 4,345 | 4,406 | |
Total Municipal Bond (Identified Cost $4,076) | 4,406 | ||
Foreign Government Securities—3.2% | |||
Bolivarian Republic of Venezuela | |||
RegS 7.000%, 12/1/18(1)(2) | 20,999 | 1,722 | |
RegS 7.750%, 10/13/19(1)(2) | 9,851 | 808 | |
Dominican Republic | |||
144A 6.875%, 1/29/26(3) | 5,405 | 5,743 | |
144A 5.950%, 1/25/27(3) | 9,005 | 9,253 | |
144A 5.500%, 2/22/29(3) | 6,410 | 6,330 | |
Kingdom of Saudi Arabia 144A 4.000%, 4/17/25(3) | 18,270 | 18,955 | |
Mongolia 144A 3.500%, 7/7/27(3) | 1,800 | 1,620 | |
Republic of Angola 144A 9.500%, 11/12/25(3) | 7,400 | 8,091 | |
Republic of Argentina 2.500%, 7/9/41(4) | 23,940 | 8,437 | |
Republic of Colombia | |||
4.000%, 2/26/24 | 5,800 | 5,801 | |
4.500%, 1/28/26 | 3,300 | 3,293 | |
Republic of Cote d’Ivoire 144A 6.375%, 3/3/28(3) | 9,990 | 10,190 | |
Republic of Ecuador 144A 5.000%, 7/31/30(3)(4) | 7,755 | 6,475 | |
Republic of Egypt | |||
144A 7.500%, 1/31/27(3) | 11,875 | 11,680 | |
144A 7.600%, 3/1/29(3) | 3,000 | 2,845 | |
Republic of Indonesia | |||
144A 3.375%, 4/15/23(3) | 2,844 | 2,880 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
144A 4.125%, 1/15/25(3) | $ 11,290 | $ 11,598 | |
144A 4.750%, 1/8/26(3) | 13,053 | 13,861 | |
Republic of Kazakhstan 144A 5.125%, 7/21/25(3) | 1,830 | 1,897 | |
Republic of Kenya 144A 7.000%, 5/22/27(3) | 8,095 | 7,788 | |
Republic of Nigeria 144A 6.500%, 11/28/27(3) | 6,690 | 6,355 | |
Republic of Pakistan | |||
144A 8.250%, 9/30/25(3) | 3,165 | 2,617 | |
144A 6.875%, 12/5/27(3) | 4,675 | 3,677 | |
Republic of Panama 3.875%, 3/17/28 | 10,000 | 10,211 | |
Republic of Qatar 144A 3.250%, 6/2/26(3) | 5,500 | 5,602 | |
Republic of South Africa 4.850%, 9/27/27 | 6,155 | 6,186 | |
Republic of Turkey 8.600%, 9/24/27 | 7,405 | 7,581 | |
Sultanate of Oman 144A 5.625%, 1/17/28(3) | 9,580 | 9,877 | |
United Mexican States 4.150%, 3/28/27 | 5,200 | 5,465 | |
Total Foreign Government Securities (Identified Cost $227,700) | 196,838 | ||
Mortgage-Backed Securities—26.3% | |||
Agency—0.4% | |||
Federal National Mortgage Association | |||
Pool #AD6058 4.000%, 8/1/25 | 1,049 | 1,079 | |
Pool #AO5149 3.000%, 6/1/27 | 155 | 156 | |
Pool #890710 3.000%, 2/1/31 | 3,486 | 3,522 | |
Pool #254549 6.000%, 12/1/32 | 11 | 12 | |
Pool #695237 5.500%, 2/1/33 | 13 | 14 | |
Pool #773385 5.500%, 5/1/34 | 61 | 67 | |
Pool #725762 6.000%, 8/1/34 | 64 | 70 | |
Pool #806318 5.500%, 11/1/34 | 117 | 125 | |
Pool #806328 5.500%, 11/1/34 | 104 | 110 | |
Pool #800267 5.500%, 12/1/34 | 21 | 23 |
Par Value | Value | ||
Agency—continued | |||
Pool #808018 5.500%, 1/1/35 | $ 81 | $ 88 | |
Pool #941322 6.000%, 7/1/37 | 6 | 6 | |
Pool #889578 6.000%, 4/1/38 | 40 | 45 | |
Pool #AC6992 5.000%, 12/1/39 | 1,024 | 1,108 | |
Pool #AD3841 4.500%, 4/1/40 | 1,394 | 1,480 | |
Pool #AD4224 5.000%, 8/1/40 | 1,231 | 1,324 | |
Pool #AE4799 4.000%, 10/1/40 | 11 | 12 | |
Pool #AH4009 4.000%, 3/1/41 | 1,684 | 1,761 | |
Pool #AI2472 4.500%, 5/1/41 | 994 | 1,057 | |
Pool #AS6515 4.000%, 1/1/46 | 2,312 | 2,407 | |
Government National Mortgage Association Pool #563381 6.500%, 11/15/31 | 9 | 9 | |
VM Master Issuer LLC 2022-1, A1 144A 5.163%, 5/24/25(3)(4)(5) | 9,785 | 9,785 | |
24,260 | |||
Non-Agency—25.9% | |||
Ajax Mortgage Loan Trust | |||
2021-A, A1 144A 1.065%, 9/25/65(3)(4) | 10,618 | 9,947 | |
2019-D, A1 144A 2.956%, 9/25/65(3)(4) | 4,081 | 4,088 | |
Aligned Data Centers Issuer LLC 2021-1A, A2 144A 1.937%, 8/15/46(3) | 16,110 | 14,837 | |
American Homes 4 Rent Trust | |||
2014-SFR3, A 144A 3.678%, 12/17/36(3) | 19,572 | 19,494 | |
2015-SFR1, A 144A 3.467%, 4/17/52(3) | 10,627 | 10,548 | |
AMSR Trust | |||
2020-SFR1, A 144A 1.819%, 4/17/37(3) | 8,627 | 8,181 | |
2020-SFR1, B 144A 2.120%, 4/17/37(3) | 6,739 | 6,376 | |
2020-SFR2, D 144A 3.282%, 7/17/37(3) | 1,680 | 1,615 | |
2020-SFR3, B 144A 1.806%, 9/17/37(3) | 4,362 | 4,074 | |
2021-SFR2, C 144A 1.877%, 8/17/38(3) | 4,535 | 4,099 | |
2021-SFR3, D 144A 2.177%, 10/17/38(3) | 6,675 | 6,078 |
Par Value | Value | ||
Non-Agency—continued | |||
2021-SFR4, B 144A 2.417%, 12/17/38(3) | $ 4,106 | $ 3,842 | |
2022-SFR1, C 144A 3.740%, 3/1/39(3) | 1,985 | 1,934 | |
Angel Oak Mortgage Trust | |||
2021-3, A2 144A 1.305%, 5/25/66(3)(4) | 2,597 | 2,452 | |
2021-5, A1 144A 0.951%, 7/25/66(3)(4) | 9,404 | 8,876 | |
2021-7, A1 144A 1.978%, 10/25/66(3)(4) | 10,904 | 10,412 | |
2021-8, A1 144A 1.820%, 11/25/66(3)(4) | 13,184 | 12,345 | |
Angel Oak Mortgage Trust I LLC | |||
2018-3, A1 144A 3.649%, 9/25/48(3)(4) | 513 | 512 | |
2019-2, A1 144A 3.628%, 3/25/49(3)(4) | 661 | 661 | |
Angel Oak Mortgage Trust LLC | |||
2020-6, A1 144A 1.261%, 5/25/65(3)(4) | 2,672 | 2,618 | |
2020-4, A1 144A 1.469%, 6/25/65(3)(4) | 5,948 | 5,858 | |
2021-2, A1 144A 0.985%, 4/25/66(3)(4) | 2,064 | 1,969 | |
Arroyo Mortgage Trust | |||
2021-1R, A1 144A 1.175%, 10/25/48(3)(4) | 15,574 | 14,749 | |
2019-1, A1 144A 3.805%, 1/25/49(3)(4) | 5,549 | 5,462 | |
2019-2, A1 144A 3.347%, 4/25/49(3)(4) | 4,570 | 4,459 | |
2022-1, A1B 144A 3.269%, 12/25/56(3)(4) | 4,252 | 4,082 | |
Banc of America Funding Trust | |||
2004-B, 2A1 2.505%, 11/20/34(4) | 127 | 136 | |
2004-D, 5A1 2.662%, 1/25/35(4) | 1,183 | 1,220 | |
2005-1, 1A1 5.500%, 2/25/35 | 144 | 143 | |
Bayview Koitere Fund Trust 2017-RT4, A 144A 3.500%, 7/28/57(3)(4) | 2,894 | 2,876 | |
Bayview Opportunity Master Fund IVa Trust | |||
2017-RT1, A1 144A 3.000%, 3/28/57(3)(4) | 1,019 | 1,006 | |
2017-SPL5, B1 144A 4.000%, 6/28/57(3)(4) | 5,910 | 5,712 |
Par Value | Value | ||
Non-Agency—continued | |||
BBCMS Mortgage Trust 2018-TALL, A (1 month LIBOR + 0.722%, Cap N/A, Floor 0.722%) 144A 1.119%, 3/15/37(3)(4) | $ 5,490 | $ 5,355 | |
BPR Trust 2021-KEN, A (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.647%, 2/15/29(3)(4) | 1,975 | 1,961 | |
BRAVO Residential Funding Trust | |||
2021-A, A1 144A 1.991%, 1/25/24(3)(4) | 7,993 | 7,677 | |
2021-NQM3, A1 144A 1.699%, 4/25/60(3)(4) | 2,457 | 2,399 | |
Bunker Hill Loan Depositary Trust 2019-2, A1 144A 2.879%, 7/25/49(3)(4) | 2,508 | 2,490 | |
BX Commercial Mortgage Trust | |||
2019-XL, C (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.647%, 10/15/36(3)(4) | 6,626 | 6,565 | |
2022-LP2, D (TSFR1M + 1.961%, Cap N/A, Floor 1.961%) 144A 2.266%, 2/15/39(3)(4) | 11,410 | 11,153 | |
BX Trust | |||
2018-GW, B (1 month LIBOR + 1.020%, Cap N/A, Floor 1.020%) 144A 1.417%, 5/15/35(3)(4) | 19,910 | 19,622 | |
2019-OC11, B 144A 3.605%, 12/9/41(3) | 5,000 | 4,813 | |
2019-OC11, D 144A 4.075%, 12/9/41(3)(4) | 6,249 | 5,799 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(3) | 9,651 | 9,120 | |
CHC Commercial Mortgage Trust 2019-CHC, A (1 month LIBOR + 1.120%, Cap N/A, Floor 1.120%) 144A 1.517%, 6/15/34(3)(4) | 17,512 | 17,336 | |
CHL Mortgage Pass-Through Trust 2004-6, 1A2 2.072%, 5/25/34(4) | 316 | 313 | |
CIM Trust 2021-NR4, A1 144A 2.816%, 10/25/61(3)(4) | 11,270 | 10,766 |
Par Value | Value | ||
Non-Agency—continued | |||
Citigroup Commercial Mortgage Trust 2015-GC27, A4 2.878%, 2/10/48 | $ 8,120 | $ 8,003 | |
Citigroup Mortgage Loan Trust | |||
2013-A, A 144A 3.000%, 5/25/42(3)(4) | 2,804 | 2,804 | |
2020-EXP1, A1B 144A 1.804%, 5/25/60(3)(4) | 2,267 | 2,259 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2014-A, A 144A 4.000%, 1/25/35(3)(4) | 1,883 | 1,858 | |
2015-PS1, A1 144A 3.750%, 9/25/42(3)(4) | 954 | 944 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(3)(4) | 593 | 587 | |
2018-RP1, A1 144A 3.000%, 9/25/64(3)(4) | 5,898 | 5,875 | |
2019-RP1, A1 144A 3.500%, 1/25/66(3)(4) | 7,899 | 7,840 | |
COLT Funding LLC | |||
2021-3R, A1 144A 1.051%, 12/25/64(3)(4) | 4,513 | 4,413 | |
2021-3R, A2 144A 1.257%, 12/25/64(3)(4) | 1,050 | 1,028 | |
COLT Mortgage Loan Trust | |||
2022-3, A1 144A 3.901%, (3)(4)(6) | 17,350 | 17,319 | |
2021-2, A2 144A 1.130%, 8/25/66(3)(4) | 6,121 | 5,658 | |
2022-1, A1 144A 2.284%, 12/27/66(3)(4) | 11,950 | 11,592 | |
COLT Mortgage Loan Trust Funding LLC 2021-2R, A1 144A 0.798%, 7/27/54(3) | 3,074 | 3,058 | |
COLT Mortgage Pass-Through Certificates 2021-1R, A1 144A 0.857%, 5/25/65(3)(4) | 7,401 | 7,328 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(3)(4) | 10,265 | 9,666 | |
CoreVest American Finance Issuer LLC 2021-RTL1, A1 144A 2.239%, 3/28/29(3)(4) | 9,555 | 9,040 | |
Corevest American Finance Trust 2020-1, A1 144A 1.832%, 3/15/50(3) | 18,491 | 17,688 | |
CoreVest American Finance Trust | |||
2018-2, A 144A 4.026%, 11/15/52(3) | 3,834 | 3,855 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-4, A 144A 1.174%, 12/15/52(3) | $ 14,995 | $ 13,912 | |
2020-3, A 144A 1.358%, 8/15/53(3) | 5,829 | 5,394 | |
Credit Suisse First Boston Mortgage Securities Corp. 2003-AR30, 5A1 2.433%, 1/25/34(4) | 935 | 943 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%, Cap N/A, Floor 0.980%) 144A 1.377%, 5/15/36(3)(4) | 22,785 | 22,662 | |
Credit Suisse Mortgage Capital Trust | |||
2014-IVR2, A2 144A 3.820%, 4/25/44(3)(4) | 2,141 | 2,063 | |
2017-RPL1, A1 144A 2.750%, 7/25/57(3)(4) | 4,896 | 4,853 | |
2020-RPL4, A1 144A 2.000%, 1/25/60(3)(4) | 14,324 | 13,800 | |
2021-RPL3, A1 144A 2.000%, 1/25/60(3) | 3,679 | 3,570 | |
2021-NQM1, A1 144A 0.809%, 5/25/65(3)(4) | 9,120 | 8,877 | |
2020-NQM1, A1 144A 1.208%, 5/25/65(3)(4) | 4,211 | 4,142 | |
2021-NQM2, A1 144A 1.179%, 2/25/66(3)(4) | 6,849 | 6,606 | |
2021-AFC1, A1 144A 0.830%, 3/25/56(3)(4) | 3,050 | 2,931 | |
Deephaven Residential Mortgage Trust 2022-1, A1 144A 2.205%, 1/25/67(3)(4) | 6,018 | 5,763 | |
Dominion Mortgage Trust 2021-RTL1, A1 144A 2.487%, 7/25/27(3)(4) | 10,050 | 10,032 | |
Ellington Financial Mortgage Trust | |||
2019-2, A3 144A 3.046%, 11/25/59(3)(4) | 2,080 | 2,044 | |
2020-1, A1 144A 2.006%, 5/25/65(3)(4) | 2,758 | 2,742 | |
2020-2, A1 144A 1.178%, 10/25/65(3)(4) | 8,411 | 8,311 | |
2021-1, A2 144A 1.003%, 2/25/66(3)(4) | 1,460 | 1,402 | |
2021-2, A1 144A 0.931%, 6/25/66(3)(4) | 7,379 | 6,901 |
Par Value | Value | ||
Non-Agency—continued | |||
2022-1, A1 144A 2.206%, 1/25/67(3)(4) | $ 7,714 | $ 7,300 | |
Extended Stay America Trust 2021-ESH, C (1 month LIBOR + 1.700%, Cap N/A, Floor 1.700%) 144A 2.097%, 7/15/38(3)(4) | 3,101 | 3,056 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 8/17/37(3) | 7,020 | 6,566 | |
2020-SFR2, A 144A 1.266%, 10/19/37(3) | 6,672 | 6,198 | |
2020-SFR2, B 144A 1.567%, 10/19/37(3) | 21,440 | 19,865 | |
2021-SFR1, D 144A 2.189%, 8/17/38(3) | 18,405 | 16,710 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(3)(4) | 1,683 | 1,680 | |
2018-1, A23 144A 3.500%, 11/25/57(3)(4) | 1,149 | 1,144 | |
2019-2, A52 144A 3.500%, 6/25/59(3)(4) | 6,243 | 6,251 | |
GCAT Trust 2020-NQM1, A1 144A 2.247%, 1/25/60(3)(4) | 1,658 | 1,638 | |
GCT Commercial Mortgage Trust 2021-GCT, A (1 month LIBOR + 0.800%, Cap N/A, Floor 0.800%) 144A 1.197%, 2/15/38(3)(4) | 5,700 | 5,603 | |
GS Mortgage Securities Corp. Trust 2012-ALOH, A 144A 3.551%, 4/10/34(3) | 12,721 | 12,715 | |
GS Mortgage Securities Trust | |||
2020-TWN3, A (1 month LIBOR + 2.000%, Cap N/A, Floor 2.000%) 144A 2.397%, 11/15/37(3)(4) | 8,285 | 8,278 | |
2020-GC45, AS 3.173%, 2/13/53(4) | 4,075 | 4,002 | |
Hilton USA Trust 2016-SFP, B 144A 3.323%, 11/5/35(3) | 16,760 | 16,512 | |
Home Partners of America Trust 2020-2, A 144A 1.532%, 1/17/41(3) | 5,940 | 5,434 |
Par Value | Value | ||
Non-Agency—continued | |||
JP Morgan Mortgage Trust | |||
2014-5, B1 144A 2.858%, 10/25/29(3)(4) | $ 1,882 | $ 1,781 | |
2005-A2, 4A1 2.254%, 4/25/35(4) | 161 | 161 | |
2006-A6, 3A3L 2.560%, 10/25/36(4) | 343 | 275 | |
JPMBB Commercial Mortgage Securities Trust 2015-C32, AS 3.984%, 11/15/48 | 2,495 | 2,469 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, AM 144A 3.367%, 6/25/29(3)(4) | 1,224 | 1,193 | |
2014-2, 2A2 144A 3.500%, 6/25/29(3)(4) | 2,051 | 2,015 | |
2014-5, B2 144A 2.858%, 10/25/29(3)(4) | 886 | 835 | |
2006-A2, 4A1 2.223%, 8/25/34(4) | 261 | 271 | |
2014-1, 2A12 144A 3.500%, 1/25/44(3)(4) | 834 | 815 | |
2015-1, AM1 144A 2.099%, 12/25/44(3)(4) | 1,825 | 1,845 | |
2016-SH1, M2 144A 3.750%, 4/25/45(3)(4) | 5,467 | 5,349 | |
2015-5, A2 144A 2.266%, 5/25/45(3)(4) | 2,291 | 2,309 | |
2016-SH2, M2 144A 3.750%, 12/25/45(3)(4) | 7,961 | 7,820 | |
2017-3, 2A2 144A 2.500%, 8/25/47(3)(4) | 2,564 | 2,453 | |
2017-5, A1 144A 3.050%, 10/26/48(3)(4) | 6,861 | 6,851 | |
JPMorgan Chase WaMu Mortgage Pass-Through Certificates Trust 2003-AR6, A1 2.568%, 6/25/33(4) | 182 | 181 | |
KKR Industrial Portfolio Trust | |||
2021-KDIP, C (1 month LIBOR + 1.000%, Cap N/A, Floor 1.000%) 144A 1.397%, 12/15/37(3)(4) | 1,676 | 1,638 | |
2021-KDIP, D (1 month LIBOR + 1.250%, Cap N/A, Floor 1.250%) 144A 1.647%, 12/15/37(3)(4) | 3,750 | 3,656 |
Par Value | Value | ||
Non-Agency—continued | |||
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%, Cap N/A, Floor 0.800%) 144A 1.197%, 5/15/36(3)(4) | $ 5,740 | $ 5,691 | |
LHOME Mortgage Trust | |||
2021-RTL2, A1 144A 2.090%, 6/25/26(3)(4) | 8,940 | 8,602 | |
2021-RTL1, A1 144A 2.090%, 9/25/26(3)(4) | 11,065 | 10,635 | |
Mello Warehouse Securitization Trust | |||
2021-1, C (1 month LIBOR + 1.100%, Cap N/A, Floor 1.100%) 144A 1.557%, 2/25/55(3)(4) | 7,335 | 7,273 | |
2021-2, C (1 month LIBOR + 1.100%, Cap N/A, Floor 1.100%) 144A 1.557%, 4/25/55(3)(4) | 10,595 | 10,541 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.450%, 4/25/55(3)(4) | 7,930 | 7,691 | |
2018-1A, A 144A 3.750%, 3/25/57(3)(4) | 7,631 | 7,654 | |
2019-1A, A1A 144A 3.750%, 4/25/58(3)(4) | 8,188 | 8,245 | |
MFA Trust | |||
2021-NQM1, A1 144A 1.153%, 4/25/65(3)(4) | 3,134 | 3,080 | |
2020-NQM3, A1 144A 1.014%, 1/26/65(3)(4) | 3,277 | 3,202 | |
2021-INV1, A1 144A 0.852%, 1/25/56(3)(4) | 2,266 | 2,192 | |
Mill City Mortgage Loan Trust | |||
2017-1, M2 144A 3.250%, 11/25/58(3)(4) | 1,983 | 1,981 | |
2021-NMR1, A1 144A 1.125%, 11/25/60(3)(4) | 6,014 | 5,765 | |
2017-3, M2 144A 3.250%, 1/25/61(3)(4) | 9,056 | 8,918 | |
2019-1, M2 144A 3.500%, 10/25/69(3)(4) | 12,131 | 11,894 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust | |||
2013-C10, A4 4.075%, 7/15/46(4) | 2,075 | 2,085 | |
2013-C13, AS 4.266%, 11/15/46 | 1,735 | 1,751 |
Par Value | Value | ||
Non-Agency—continued | |||
Morgan Stanley Capital I Trust 2017-CLS, A (1 month LIBOR + 0.700%, Cap N/A, Floor 0.700%) 144A 1.097%, 11/15/34(3)(4) | $ 11,154 | $ 11,101 | |
Morgan Stanley Mortgage Loan Trust 2004-2AR, 3A 1.934%, 2/25/34(4) | 391 | 407 | |
Morgan Stanley Residential Mortgage Loan Trust 2014-1A, B2 144A 2.340%, 6/25/44(3)(4) | 3,781 | 3,872 | |
Motel Trust 2021-MTL6, B (1 month LIBOR + 1.200%, Cap N/A, Floor 1.200%) 144A 1.597%, 9/15/38(3)(4) | 6,522 | 6,411 | |
New Residential Mortgage Loan Trust | |||
2022-RTL1, A1F 144A 4.336%, 12/25/26(3)(5) | 8,710 | 8,710 | |
2018-4A, B1 (1 month LIBOR + 1.050%, Cap N/A, Floor 1.050%) 144A 1.507%, 1/25/48(3)(4) | 5,260 | 5,248 | |
2014-1A, A 144A 3.750%, 1/25/54(3)(4) | 4,480 | 4,481 | |
2015-2A, A1 144A 3.750%, 8/25/55(3)(4) | 3,885 | 3,872 | |
2016-1A, A1 144A 3.750%, 3/25/56(3)(4) | 2,180 | 2,179 | |
2016-3A, A1 144A 3.750%, 9/25/56(3)(4) | 2,494 | 2,513 | |
2016-4A, A1 144A 3.750%, 11/25/56(3)(4) | 3,213 | 3,239 | |
2017-2A, A3 144A 4.000%, 3/25/57(3)(4) | 13,150 | 13,181 | |
2018-2A, A1 144A 4.500%, 2/25/58(3)(4) | 7,635 | 7,726 | |
2021-NQ2R, A1 144A 0.941%, 10/25/58(3)(4) | ��� 6,252 | 6,095 | |
2019-RPL2, M2 144A 3.750%, 2/25/59(3)(4) | 595 | 584 | |
2020-1A, A1B 144A 3.500%, 10/25/59(3)(4) | 6,334 | 6,293 | |
2014-2A, A3 144A 3.750%, 5/25/54(3)(4) | 390 | 387 | |
2014-3A, AFX3 144A 3.750%, 11/25/54(3)(4) | 3,717 | 3,709 |
Par Value | Value | ||
Non-Agency—continued | |||
2016-2A, A1 144A 3.750%, 11/26/35(3)(4) | $ 5,037 | $ 5,035 | |
2018-1A, A1A 144A 4.000%, 12/25/57(3)(4) | 9,318 | 9,395 | |
NewRez Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.050%, Cap N/A, Floor 1.050%) 144A 1.507%, 5/25/55(3)(4) | 13,845 | 13,668 | |
NLT Trust 2021-INV2, A1 144A 1.162%, 8/25/56(3)(4) | 12,292 | 11,515 | |
NMLT Trust 2021-INV1, A1 144A 1.185%, 5/25/56(3)(4) | 7,172 | 6,734 | |
NYMT Loan Trust 2022-CP1, A1 144A 2.042%, 7/25/61(3) | 5,837 | 5,637 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(3)(4) | 1,323 | 1,328 | |
2021-NQM2, A1 144A 1.101%, 5/25/61(3)(4) | 6,829 | 6,430 | |
2021-NQM3, A1 144A 1.054%, 7/25/61(3)(4) | 8,221 | 7,712 | |
2021-NQM3, A2 144A 1.260%, 7/25/61(3)(4) | 2,834 | 2,664 | |
2018-1, A2 (1 month LIBOR + 0.650%) 144A 1.107%, 6/25/57(3)(4) | 1,762 | 1,741 | |
Onslow Bay Mortgage Loan Trust 2021-NQM4, A1 144A 1.957%, 10/25/61(3)(4) | 5,737 | 5,394 | |
Palisades Mortgage Loan Trust 2021-RTL1, A1 144A 2.857%, 6/25/26(3)(4) | 7,890 | 7,626 | |
Preston Ridge Partners Mortgage LLC | |||
2020-6, A1 144A 2.363%, 11/25/25(3)(4) | 13,055 | 12,702 | |
2021-2, A1 144A 2.115%, 3/25/26(3)(4) | 3,128 | 3,030 | |
2021-3, A1 144A 1.867%, 4/25/26(3)(4) | 7,660 | 7,319 | |
2021-7, A1 144A 1.867%, 8/25/26(3) | 8,327 | 7,878 | |
2021-9, A1 144A 2.363%, 10/25/26(3)(4) | 8,850 | 8,459 |
Par Value | Value | ||
Non-Agency—continued | |||
2021-RPL1, A1 144A 1.319%, 7/25/51(3)(4) | $ 5,430 | $ 5,126 | |
2021-RPL2, A1 144A 1.455%, 10/25/51(3)(4) | 5,364 | 5,074 | |
PRET LLC 2021-RN3, A1 144A 1.843%, 9/25/51(3)(4) | 12,429 | 11,857 | |
Pretium Mortgage Credit Partners I LLC 2021-NPL1, A1 144A 2.240%, 9/27/60(3)(4) | 11,665 | 11,225 | |
Progress Residential Trust | |||
2021-SFR3, D 144A 2.288%, 5/17/26(3) | 11,130 | 10,094 | |
2019-SFR2, A 144A 3.147%, 5/17/36(3) | 16,344 | 16,166 | |
2019-SFR3, B 144A 2.571%, 9/17/36(3) | 10,340 | 10,048 | |
2020-SFR2, E 144A 5.115%, 6/17/37(3) | 6,890 | 6,877 | |
2021-SFR2, D 144A 2.197%, 4/19/38(3) | 16,205 | 14,590 | |
2021-SFR6, C 144A 1.855%, 7/17/38(3) | 3,770 | 3,428 | |
2021-SFR5, D 144A 2.109%, 7/17/38(3) | 2,500 | 2,259 | |
2020-SFR3, A 144A 1.294%, 10/17/27(3) | 3,645 | 3,397 | |
2021-SFR1, C 144A 1.555%, 4/17/38(3) | 1,430 | 1,277 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(3)(4) | 2,350 | 2,316 | |
Provident Funding Mortgage Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.150%, Cap N/A, Floor 1.150%) 144A 1.337%, 2/25/55(3)(4) | 6,306 | 6,224 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(3)(4) | 4,562 | 4,501 | |
RCO VI Mortgage LLC 2022-1, A1 144A 3.000%, 1/25/27(3)(4) | 11,960 | 11,591 | |
RCO VII Mortgage LLC 2021-2, A1 144A 2.116%, 9/25/26(3)(4) | 11,151 | 10,733 | |
Residential Asset Mortgage Products Trust 2004-SL1, A8 6.500%, 11/25/31 | 652 | 621 |
Par Value | Value | ||
Non-Agency—continued | |||
Residential Mortgage Loan Trust | |||
2019-2, A1 144A 2.913%, 5/25/59(3)(4) | $ 1,572 | $ 1,568 | |
2020-1, A1 144A 2.376%, 1/26/60(3)(4) | 3,393 | 3,301 | |
Roc Mortgage Trust 2021-RTL1, A1 144A 2.487%, 8/25/26(3)(4) | 19,655 | 18,860 | |
SBA Tower Trust 144A 1.631%, 11/15/26(3) | 9,540 | 8,965 | |
Sequoia Mortgage Trust 2013-8, B1 3.493%, 6/25/43(4) | 1,856 | 1,864 | |
SG Residential Mortgage Trust | |||
2019-3, A1 144A 2.703%, 9/25/59(3)(4) | 2,007 | 1,982 | |
2021-1, A1 144A 1.160%, 7/25/61(3)(4) | 8,518 | 8,042 | |
2021-1, A3 144A 1.560%, 7/25/61(3)(4) | 4,943 | 4,685 | |
STAR Trust 2021-1, A1 144A 1.219%, 5/25/65(3)(4) | 8,333 | 8,162 | |
Starwood Mortgage Residential Trust | |||
2020-1, A1 144A 2.275%, 2/25/50(3)(4) | 1,932 | 1,918 | |
2021-3, A2 144A 1.395%, 6/25/56(3)(4) | 3,337 | 3,173 | |
2021-3, A3 144A 1.518%, 6/25/56(3)(4) | 2,774 | 2,638 | |
2020-2, A1 144A 2.718%, 4/25/60(3)(4) | 973 | 972 | |
2020-3, A1 144A 1.486%, 4/25/65(3)(4) | 3,532 | 3,480 | |
Structured Adjustable Rate Mortgage Loan Trust 2004-14, 7A 2.576%, 10/25/34(4) | 2,306 | 2,342 | |
Sutherland Commercial Mortgage Loans 2017-SBC6, A 144A 3.192%, 5/25/37(3)(4) | 553 | 551 | |
Towd Point Mortgage Trust | |||
2015-6, M1 144A 3.750%, 4/25/55(3)(4) | 5,255 | 5,243 | |
2016-4, B1 144A 3.800%, 7/25/56(3)(4) | 8,095 | 8,037 | |
2017-1, M1 144A 3.750%, 10/25/56(3)(4) | 3,665 | 3,625 | |
2017-2, A2 144A 3.250%, 4/25/57(3)(4) | 3,990 | 3,979 | |
2018-2, A2 144A 3.500%, 3/25/58(3)(4) | 9,400 | 9,284 | |
2018-6, A1A 144A 3.750%, 3/25/58(3)(4) | 5,302 | 5,335 |
Par Value | Value | ||
Non-Agency—continued | |||
2018-6, A1B 144A 3.750%, 3/25/58(3)(4) | $ 1,705 | $ 1,702 | |
2019-2, A2 144A 3.750%, 12/25/58(3)(4) | 925 | 917 | |
2020-1, M1 144A 3.500%, 1/25/60(3)(4) | 4,820 | 4,594 | |
2020-MH1, A2 144A 2.500%, 2/25/60(3)(4) | 14,281 | 13,384 | |
2015-2, 1M1 144A 3.250%, 11/25/60(3)(4) | 4,519 | 4,521 | |
2021-1, A2 144A 2.750%, 11/25/61(3)(4) | 12,970 | 11,901 | |
2015-5, A2 144A 3.500%, 5/25/55(3)(4) | 207 | 207 | |
Towd Point Trust 2021-HE1, M1 144A 1.500%, 2/25/63(3)(4) | 2,758 | 2,717 | |
Tricon American Homes Trust 2020-SFR2, D 144A 2.281%, 11/17/39(3) | 5,243 | 4,623 | |
Tricon Residential Trust 2021-SFR1, B 144A 2.244%, 7/17/38(3) | 6,490 | 6,064 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(3) | 6,256 | 6,251 | |
UBS Commercial Mortgage Trust 2012-C1, D 144A 5.840%, 5/10/45(3)(4) | 7,206 | 6,734 | |
UBS-Barclays Commercial Mortgage Trust 2013-C6, B 144A 3.875%, 4/10/46(3)(4) | 4,525 | 4,468 | |
VCAT Asset Securitization LLC 2021-NPL6, A1 144A 1.917%, 9/25/51(3)(4) | 10,539 | 10,059 | |
VCAT LLC | |||
2021-NPL1, A1 144A 2.289%, 12/26/50(3)(4) | 7,959 | 7,745 | |
2021-NPL1, A2 144A 4.826%, 12/26/50(3)(4) | 1,600 | 1,536 | |
2021-NPL2, A1 144A 2.115%, 3/27/51(3)(4) | 8,986 | 8,706 | |
2021-NPL3, A1 144A 1.743%, 5/25/51(3)(4) | 13,686 | 13,028 | |
2021-NPL4, A1 144A 1.868%, 8/25/51(3)(4) | 21,212 | 20,454 | |
2021-NPL5, A1 144A 1.868%, 8/25/51(3)(4) | 18,142 | 17,418 | |
Velocity Commercial Capital Loan Trust 2020-1, AFX 144A 2.610%, 2/25/50(3)(4) | 8,172 | 8,096 |
Par Value | Value | ||
Non-Agency—continued | |||
Vericrest Opportunity Loan Trust C LLC 2021-NPL9, A1 144A 1.992%, 5/25/51(3)(4) | $ 4,393 | $ 4,234 | |
Vericrest Opportunity Loan Trust CVI LLC 2021-NP12, A1 144A 2.734%, 12/26/51(3)(4) | 12,820 | 12,458 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(3)(4) | 12,698 | 12,303 | |
Vericrest Opportunity Loan Trust XCIV LLC 2021-NPL3, A1 144A 2.240%, 2/27/51(3)(4) | 5,917 | 5,684 | |
Vericrest Opportunity Loan Trust XCV LLC 2021-NPL4, A1 144A 2.240%, 3/27/51(3)(4) | 11,650 | 11,242 | |
Verus Securitization Trust | |||
2019-INV2, A1 144A 2.913%, 7/25/59(3)(4) | 5,412 | 5,417 | |
2019-4, M1 144A 3.207%, 11/25/59(3)(4) | 6,070 | 6,039 | |
2021-R3, A1 144A 1.020%, 4/25/64(3)(4) | 7,585 | 7,424 | |
2021-2, A1 144A 1.031%, 2/25/66(3)(4) | 10,519 | 10,126 | |
2021-3, A1 144A 1.046%, 6/25/66(3)(4) | 11,471 | 10,884 | |
2021-7, A1 144A 1.829%, 10/25/66(3)(4) | 23,039 | 21,765 | |
2020-1, A1 144A 2.417%, 1/25/60(3)(4) | 2,471 | 2,461 | |
2020-4, A1 144A 1.502%, 5/25/65(3)(4) | 10,175 | 9,936 | |
2021-1, A1 144A 0.815%, 1/25/66(3)(4) | 1,911 | 1,851 | |
2021-R1, A1 144A 0.820%, 10/25/63(3)(4) | 7,062 | 6,890 | |
2021-R2, A1 144A 0.918%, 2/25/64(3)(4) | 5,069 | 4,964 | |
Visio Trust | |||
2019-2, A1 144A 2.722%, 11/25/54(3)(4) | 5,165 | 5,025 | |
2019-2, A2 144A 2.924%, 11/25/54(3)(4) | 3,044 | 2,962 | |
2021-1R, A1 144A 1.280%, 5/25/56(3) | 10,877 | 10,400 | |
WaMu Mortgage Pass-Through Certificates Series Trust 2004-CB1, 2A 5.000%, 6/25/34 | 303 | 299 |
Par Value | Value | ||
Non-Agency—continued | |||
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | $ 6,689 | $ 6,672 | |
Wells Fargo Mortgage Backed Securities Trust | |||
2004-U, A1 2.767%, 10/25/34(4) | 184 | 181 | |
2020-4, A1 144A 3.000%, 7/25/50(3)(4) | 2,689 | 2,599 | |
ZH Trust 2021-1, A 144A 2.253%, 2/18/27(3) | 6,295 | 6,197 | |
1,588,685 | |||
Total Mortgage-Backed Securities (Identified Cost $1,673,539) | 1,612,945 | ||
Asset-Backed Securities—25.5% | |||
Automobiles—13.5% | |||
ACC Auto Trust | |||
2021-A, B 144A 1.790%, 4/15/27(3) | 7,835 | 7,572 | |
2021-A, C 144A 3.790%, 4/15/27(3) | 6,948 | 6,672 | |
ACC Trust | |||
2019-2, B 144A 3.630%, 8/21/23(3) | 4,582 | 4,588 | |
2020-A, A 144A 6.000%, 3/20/23(3) | 1,924 | 1,928 | |
2021-1, C 144A 2.080%, 12/20/24(3) | 3,025 | 2,954 | |
2022-1, C 144A 3.240%, 10/20/25(3) | 6,580 | 6,384 | |
American Credit Acceptance Receivables Trust | |||
2020-4, D 144A 1.770%, 12/14/26(3) | 13,640 | 13,268 | |
2021-1, C 144A 0.830%, 3/15/27(3) | 11,335 | 11,146 | |
2021-2, C 144A 0.970%, 7/13/27(3) | 9,705 | 9,470 | |
2021-3, C 144A 0.980%, 11/15/27(3) | 2,385 | 2,296 | |
2022-1, E 144A 3.640%, 3/13/28(3) | 11,425 | 10,698 | |
AmeriCredit Automobile Receivables Trust | |||
2018-1, D 3.820%, 3/18/24 | 8,090 | 8,166 | |
2019-1, C 3.360%, 2/18/25 | 8,800 | 8,868 |
Par Value | Value | ||
Automobiles—continued | |||
Arivo Acceptance Auto Loan Receivables Trust 2021-1A, A 144A 1.190%, 1/15/27(3) | $ 8,446 | $ 8,297 | |
Avid Automobile Receivables Trust | |||
2019-1, C 144A 3.140%, 7/15/26(3) | 3,180 | 3,185 | |
2019-1, D 144A 4.030%, 7/15/26(3) | 1,615 | 1,623 | |
2021-1, D 144A 1.990%, 4/17/28(3) | 3,200 | 3,046 | |
2021-1, E 144A 3.390%, 4/17/28(3) | 1,590 | 1,509 | |
Avis Budget Rental Car Funding LLC | |||
(AESOP) 2017-1A, A 144A 3.070%, 9/20/23(3) | 2,260 | 2,267 | |
(AESOP) 2019-2A, D 144A 3.040%, 9/22/25(3) | 7,205 | 6,838 | |
(AESOP) 2019-3A, A 144A 2.360%, 3/20/26(3) | 8,205 | 7,978 | |
(AESOP) 2020-1A, A 144A 2.330%, 8/20/26(3) | 8,025 | 7,786 | |
(AESOP) 2020-2A, A 144A 2.020%, 2/20/27(3) | 9,205 | 8,722 | |
(AESOP) 2021-1A, A 144A 1.380%, 8/20/27(3) | 1,870 | 1,733 | |
(AESOP) 2021-1A, D 144A 3.710%, 8/20/27(3) | 11,500 | 10,669 | |
Carnow Auto Receivables Trust 2019-1A, D 144A 4.620%, 12/16/24(3) | 8,015 | 8,079 | |
CarNow Auto Receivables Trust | |||
2020-1A, B 144A 2.710%, 7/17/23(3) | 1,619 | 1,619 | |
2021-1A, C 144A 2.160%, 2/17/26(3) | 3,100 | 3,033 | |
2021-2A, B 144A 1.300%, 1/15/26(3) | 3,030 | 2,966 | |
Carvana Auto Receivables Trust | |||
2019-2A, D 144A 3.280%, 1/15/25(3) | 9,882 | 9,929 | |
2019-3A, C 144A 2.710%, 10/15/24(3) | 6,990 | 6,999 | |
2019-3A, D 144A 3.040%, 4/15/25(3) | 4,340 | 4,346 |
Par Value | Value | ||
Automobiles—continued | |||
2019-3A, E 144A 4.600%, 7/15/26(3) | $ 4,399 | $ 4,450 | |
2020-N1A, D 144A 3.430%, 1/15/26(3) | 11,730 | 11,767 | |
2020-P1, C 1.320%, 11/9/26 | 2,250 | 2,109 | |
2021-N1, C 1.300%, 1/10/28 | 8,420 | 8,287 | |
2021-N2, C 1.070%, 3/10/28 | 6,055 | 5,897 | |
2021-N3, D 1.580%, 6/12/28 | 12,685 | 12,038 | |
2021-P3, B 1.420%, 8/10/27 | 4,590 | 4,268 | |
2022-N1, C 144A 3.320%, 12/11/28(3) | 4,435 | 4,395 | |
2022-N1, D 144A 4.130%, 12/11/28(3) | 6,815 | 6,748 | |
CIG Auto Receivables Trust | |||
2020-1A, D 144A 2.350%, 1/12/26(3) | 7,910 | 7,786 | |
2020-1A, E 144A 4.430%, 2/12/27(3) | 9,485 | 9,486 | |
2021-1A, D 144A 2.110%, 4/12/27(3) | 4,015 | 3,829 | |
CPS Auto Receivables Trust | |||
2018-C, D 144A 4.400%, 6/17/24(3) | 774 | 779 | |
2020-A, C 144A 2.540%, 12/15/25(3) | 2,850 | 2,855 | |
2020-C, C 144A 1.710%, 8/17/26(3) | 3,995 | 3,985 | |
2021-A, B 144A 0.610%, 2/18/25(3) | 4,920 | 4,906 | |
2021-A, C 144A 0.830%, 9/15/26(3) | 6,500 | 6,372 | |
Credit Acceptance Auto Loan Trust | |||
2019-3A, B 144A 2.860%, 1/16/29(3) | 10,550 | 10,542 | |
2020-1A, B 144A 2.390%, 4/16/29(3) | 4,650 | 4,596 | |
2020-3A, B 144A 1.770%, 12/17/29(3) | 11,195 | 11,141 | |
2021-2A, A 144A 0.960%, 2/15/30(3) | 7,715 | 7,460 | |
Credito Real USA Auto Receivables Trust 2021-1A, A 144A 1.350%, 2/16/27(3) | 3,105 | 3,049 | |
Drive Auto Receivables Trust | |||
2018-4, D 4.090%, 1/15/26 | 7,287 | 7,352 | |
2019-3, C 2.900%, 8/15/25 | 4,403 | 4,417 |
Par Value | Value | ||
Automobiles—continued | |||
2019-4, C 2.510%, 11/17/25 | $ 3,256 | $ 3,261 | |
DT Auto Owner Trust | |||
2019-2A, C 144A 3.180%, 2/18/25(3) | 783 | 785 | |
2019-4A, C 144A 2.730%, 7/15/25(3) | 9,861 | 9,877 | |
2021-1A, D 144A 1.160%, 11/16/26(3) | 3,930 | 3,736 | |
2021-1A, E 144A 2.380%, 1/18/28(3) | 2,000 | 1,895 | |
2021-2A, C 144A 1.100%, 2/16/27(3) | 5,985 | 5,763 | |
2021-2A, D 144A 1.500%, 2/16/27(3) | 4,350 | 4,118 | |
Exeter Automobile Receivables Trust | |||
2017-3A, D 144A 5.280%, 10/15/24(3) | 2,430 | 2,441 | |
2019-2A, E 144A 4.680%, 5/15/26(3) | 16,905 | 16,992 | |
2019-3A, C 144A 2.790%, 5/15/24(3) | 1,288 | 1,289 | |
2020-1A, D 144A 2.730%, 12/15/25(3) | 8,775 | 8,740 | |
2020-3A, E 144A 3.440%, 8/17/26(3) | 3,015 | 2,975 | |
2021-1A, C 0.740%, 1/15/26 | 9,100 | 8,925 | |
2019-2A, C 144A 3.300%, 3/15/24(3) | 540 | 541 | |
2019-4A, C 144A 2.440%, 9/16/24(3) | 2,336 | 2,340 | |
2018-4A, D 144A 4.350%, 9/16/24(3) | 9,015 | 9,103 | |
2019-1A, D 144A 4.130%, 12/16/24(3) | 11,390 | 11,500 | |
FHF Trust 2020-1A, A 144A 2.590%, 12/15/23(3) | 2,674 | 2,677 | |
First Investors Auto Owner Trust | |||
2019-1A, C 144A 3.260%, 3/17/25(3) | 4,156 | 4,173 | |
2021-1A, C 144A 1.170%, 3/15/27(3) | 2,915 | 2,778 | |
2021-2A, C 144A 1.470%, 11/15/27(3) | 6,395 | 6,040 | |
2022-1A, C 144A 3.130%, 5/15/28(3) | 5,745 | 5,601 | |
Flagship Credit Auto Trust | |||
2019-2, C 144A 3.090%, 5/15/25(3) | 2,360 | 2,369 | |
2020-1, C 144A 2.240%, 1/15/26(3) | 13,785 | 13,671 | |
2020-3, C 144A 1.730%, 9/15/26(3) | 3,490 | 3,394 |
Par Value | Value | ||
Automobiles—continued | |||
2020-4, C 144A 1.280%, 2/16/27(3) | $ 5,284 | $ 5,112 | |
2021-1, C 144A 0.910%, 3/15/27(3) | 2,930 | 2,784 | |
Foursight Capital Automobile Receivables Trust | |||
2018-2, D 144A 4.330%, 7/15/24(3) | 4,650 | 4,675 | |
2021-2, C 144A 1.570%, 7/15/27(3) | 2,110 | 1,984 | |
2022-1, B 144A 2.150%, 5/17/27(3) | 2,140 | 2,057 | |
GLS Auto Receivables Issuer Trust | |||
2019-2A, B 144A 3.320%, 3/15/24(3) | 2,541 | 2,545 | |
2019-3A, B 144A 2.720%, 6/17/24(3) | 1,578 | 1,582 | |
2019-3A, D 144A 3.840%, 5/15/26(3) | 3,000 | 2,989 | |
2019-4A, B 144A 2.780%, 9/16/24(3) | 7,178 | 7,191 | |
2019-4A, C 144A 3.060%, 8/15/25(3) | 13,960 | 13,934 | |
2019-4A, D 144A 4.090%, 8/17/26(3) | 3,500 | 3,462 | |
2020-2A, B 144A 3.160%, 6/16/25(3) | 2,560 | 2,565 | |
2020-3A, D 144A 2.270%, 5/15/26(3) | 11,735 | 11,574 | |
2020-3A, E 144A 4.310%, 7/15/27(3) | 18,060 | 18,053 | |
2020-4A, C 144A 1.140%, 11/17/25(3) | 6,955 | 6,840 | |
2021-3A, C 144A 1.110%, 9/15/26(3) | 4,590 | 4,374 | |
GLS Auto Receivables Trust 2022-1A, C 144A 3.190%, 2/16/27(3) | 6,000 | 5,895 | |
Hertz Vehicle Financing III LLC 2022-1A, C 144A 2.630%, 6/25/26(3) | 3,790 | 3,596 | |
Hertz Vehicle Financing III LP 2021-2A, A 144A 1.680%, 12/27/27(3) | 28,055 | 25,580 | |
Hertz Vehicle Financing LLC 2021-1A, A 144A 1.210%, 12/26/25(3) | 3,955 | 3,745 | |
LAD Auto Receivables Trust 2021-1A, D 144A 3.990%, 11/15/29(3) | 2,705 | 2,575 |
Par Value | Value | ||
Automobiles—continued | |||
OneMain Direct Auto Receivables Trust | |||
2018-1A, C 144A 3.850%, 10/14/25(3) | $ 11,840 | $ 11,840 | |
2021-1A, B 144A 1.260%, 7/14/28(3) | 17,610 | 16,524 | |
Oscar U.S. Funding XIII LLC 2021-2A, A4 144A 1.270%, 9/11/28(3) | 6,000 | 5,717 | |
Prestige Auto Receivables Trust | |||
2018-1A, D 144A 4.140%, 10/15/24(3) | 3,785 | 3,819 | |
2019-1A, D 144A 3.010%, 8/15/25(3) | 7,060 | 7,029 | |
2020-1A, C 144A 1.310%, 11/16/26(3) | 10,295 | 10,197 | |
Santander Drive Auto Receivables Trust | |||
2020-4, C 1.010%, 1/15/26 | 6,845 | 6,767 | |
2021-3, C 0.950%, 9/15/27 | 13,700 | 13,293 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(3) | 7,003 | 7,033 | |
Tesla Auto Lease Trust 2020-A, C 144A 1.680%, 2/20/24(3) | 3,045 | 3,022 | |
Tidewater Auto Receivables Trust 2020-AA, C 144A 1.910%, 9/15/26(3) | 10,470 | 10,412 | |
U.S. Auto Funding 2021-1A, B 144A 1.490%, 3/17/25(3) | 5,725 | 5,545 | |
United Auto Credit Securitization Trust | |||
2020-1, C 144A 2.150%, 2/10/25(3) | 1,308 | 1,309 | |
2021-1, C 144A 0.840%, 6/10/26(3) | 6,200 | 6,109 | |
2021-1, D 144A 1.140%, 6/10/26(3) | 10,160 | 9,870 | |
USASF Receivables LLC | |||
2020-1A, B 144A 3.220%, 5/15/24(3) | 16,200 | 16,199 | |
2020-1A, C 144A 5.940%, 8/15/24(3) | 7,338 | 7,423 | |
Veros Auto Receivables Trust | |||
2021-1, B 144A 1.490%, 10/15/26(3) | 4,235 | 4,073 | |
2022-1, B 144A 4.390%, 8/16/27(3) | 16,900 | 16,922 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(3) | 14,084 | 14,081 |
Par Value | Value | ||
Automobiles—continued | |||
Westlake Automobile Receivables Trust | |||
2018-3A, D 144A 4.000%, 10/16/23(3) | $ 2,741 | $ 2,751 | |
2020-2A, C 144A 2.010%, 7/15/25(3) | 10,355 | 10,328 | |
2020-3A, C 144A 1.240%, 11/17/25(3) | 11,365 | 11,155 | |
2021-3A, D 144A 2.120%, 1/15/27(3) | 10,475 | 9,996 | |
2022-1A, B 144A 2.750%, 3/15/27(3) | 6,090 | 6,030 | |
828,688 | |||
Consumer Loans—0.6% | |||
CFMT Issuer Trust 2021-GRN1, A 144A 1.100%, 3/20/41(3) | 2,066 | 1,991 | |
Lendingpoint Asset Securitization Trust 2021-B, A 144A 1.110%, 2/15/29(3) | 4,082 | 4,022 | |
Lendmark Funding Trust 2019-2A, A 144A 2.780%, 4/20/28(3) | 8,000 | 7,916 | |
LL ABS Trust 2020-1A, A 144A 2.330%, 1/17/28(3) | 363 | 363 | |
Marlette Funding Trust 2021-1A, B 144A 1.000%, 6/16/31(3) | 1,460 | 1,430 | |
Oportun Funding XIV LLC 2021-A, A 144A 1.210%, 3/8/28(3) | 9,015 | 8,753 | |
Regional Management Issuance Trust 2021-1, A 144A 1.680%, 3/17/31(3) | 2,610 | 2,467 | |
Republic Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(3) | 6,835 | 6,677 | |
Upstart Securitization Trust 2020-3, A 144A 1.702%, 11/20/30(3) | 1,827 | 1,823 | |
35,442 | |||
Credit Card—0.7% | |||
Avant Credit Card Master Trust 2021-1A, A 144A 1.370%, 4/15/27(3) | 4,270 | 4,058 | |
Genesis Sales Finance Master Trust | |||
2020-AA, A 144A 1.650%, 9/22/25(3) | 10,425 | 10,312 | |
2021-AA, A 144A 1.200%, 12/21/26(3) | 9,020 | 8,631 |
Par Value | Value | ||
Credit Card—continued | |||
Mercury Financial Credit Card Master Trust | |||
2021-1A, A 144A 1.540%, 3/20/26(3) | $ 6,985 | $ 6,778 | |
2022-1A, A 144A 2.500%, 9/21/26(3) | 14,120 | 13,624 | |
43,403 | |||
Equipment—0.6% | |||
Amur Equipment Finance Receivables VIII LLC 2020-1A, C 144A 3.060%, 4/20/26(3) | 2,123 | 2,107 | |
CLI Funding VI LLC 2020-1A, A 144A 2.080%, 9/18/45(3) | 16,441 | 15,405 | |
NMEF Funding LLC 2019-A, B 144A 3.060%, 8/17/26(3) | 4,576 | 4,582 | |
Pawnee Equipment Receivables Series LLC | |||
2019-1, B 144A 2.520%, 10/15/24(3) | 3,635 | 3,610 | |
2020-1, A 144A 1.370%, 11/17/25(3) | 5,353 | 5,326 | |
Pawneee Equipment Receivables Series LLC 2021-1, C 144A 2.300%, 7/15/27(3) | 5,635 | 5,285 | |
36,315 | |||
Other—9.9% | |||
Accelerated LLC 2021-1H, A 144A 1.350%, 10/20/40(3) | 3,279 | 3,149 | |
Amur Equipment Finance Receivables IX LLC | |||
2021-1A, B 144A 1.380%, 2/22/27(3) | 1,830 | 1,747 | |
2021-1A, C 144A 1.750%, 6/21/27(3) | 4,945 | 4,721 | |
Aqua Finance Trust | |||
2017-A, A 144A 3.720%, 11/15/35(3) | 2,671 | 2,685 | |
2019-A, A 144A 3.140%, 7/16/40(3) | 4,754 | 4,702 | |
2019-A, C 144A 4.010%, 7/16/40(3) | 22,210 | 21,755 | |
2020-AA, B 144A 2.790%, 7/17/46(3) | 2,160 | 2,076 | |
2020-AA, D 144A 7.150%, 7/17/46(3) | 7,435 | 7,238 | |
2021-A, A 144A 1.540%, 7/17/46(3) | 19,045 | 18,147 |
Par Value | Value | ||
Other—continued | |||
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(3) | $ 16,238 | $ 15,489 | |
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.560%, 9/17/31(3) | 2,325 | 2,315 | |
BHG Securitization Trust | |||
2021-A, A 144A 1.420%, 11/17/33(3) | 8,533 | 8,124 | |
2021-B, B 144A 1.670%, 10/17/34(3) | 8,195 | 7,630 | |
BRE Grand Islander Timeshare Issuer LLC 2017-1A, A 144A 2.940%, 5/25/29(3) | 2,534 | 2,518 | |
Business Jet Securities LLC | |||
2019-1, A 144A 4.212%, 7/15/34(3) | 5,629 | 5,333 | |
2020-1A, A 144A 2.981%, 11/15/35(3) | 3,647 | 3,513 | |
2021-1A, A 144A 2.162%, 4/15/36(3) | 3,830 | 3,561 | |
BXG Receivables Note Trust | |||
2013-A, A 144A 3.010%, 12/4/28(3) | 596 | 596 | |
2015-A, A 144A 2.880%, 5/2/30(3) | 876 | 871 | |
2017-A, A 144A 2.950%, 10/4/32(3) | 4,391 | 4,333 | |
2020-A, B 144A 2.490%, 2/28/36(3) | 4,594 | 4,419 | |
Cajun Global LLC 2021-1, A2 144A 3.931%, 11/20/51(3) | 13,519 | 12,750 | |
CCG Receivables Trust | |||
2019-2, B 144A 2.550%, 3/15/27(3) | 8,620 | 8,610 | |
2021-1, C 144A 0.840%, 6/14/27(3) | 1,415 | 1,342 | |
Commercial Equipment Finance LLC 2021-A, A 144A 2.050%, 2/16/27(3) | 3,261 | 3,202 | |
Conn’s Receivables Funding LLC | |||
2020-A, B 144A 4.270%, 6/16/25(3) | 1,450 | 1,449 | |
2021-A, B 144A 2.870%, 5/15/26(3) | 5,250 | 5,097 | |
Consumer Loan Underlying Bond CLUB Credit Trust 2020-P1, B 144A 2.920%, 3/15/28(3) | 1,010 | 1,011 | |
Dext ABS LLC | |||
2020-1, A 144A 1.460%, 2/16/27(3) | 5,437 | 5,406 |
Par Value | Value | ||
Other—continued | |||
2020-1, D 144A 7.210%, 2/15/28(3) | $ 6,258 | $ 6,024 | |
Diamond Resorts Owner Trust | |||
2018-1, B 144A 4.190%, 1/21/31(3) | 1,528 | 1,537 | |
2019-1A, B 144A 3.530%, 2/20/32(3) | 2,611 | 2,585 | |
2021-1A, A 144A 1.510%, 11/21/33(3) | 2,275 | 2,189 | |
2021-1A, B 144A 2.050%, 11/21/33(3) | 1,020 | 978 | |
FAT Brands Royalty LLC 2021-1A, A2 144A 4.750%, 4/25/51(3) | 11,870 | 11,569 | |
Foundation Finance Trust | |||
2017-1A, A 144A 3.300%, 7/15/33(3) | 820 | 823 | |
2019-1A, A 144A 3.860%, 11/15/34(3) | 2,124 | 2,145 | |
2021-1A, A 144A 1.270%, 5/15/41(3) | 14,483 | 13,682 | |
FREED ABS Trust 2022-1FP, C 144A 2.510%, 3/19/29(3) | 4,650 | 4,478 | |
GCI Funding I LLC 2021-1, A 144A 2.380%, 6/18/46(3) | 5,000 | 4,653 | |
Global SC Finance VII Srl 2020-1A, A 144A 2.170%, 10/17/40(3) | 12,255 | 11,634 | |
Gold Key Resorts LLC 2014-A, A 144A 3.220%, 3/17/31(3) | 487 | 486 | |
GoldentTree Loan Management US CLO 1 Ltd. 2021-9A, A (3 month LIBOR + 1.070%, Cap N/A, Floor 1.070%) 144A 1.324%, 1/20/33(3)(4) | 18,315 | 18,134 | |
Hardee’s Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(3) | 19,577 | 18,932 | |
Hilton Grand Vacations Trust | |||
2017-AA, A 144A 2.660%, 12/26/28(3) | 1,327 | 1,326 | |
2018-AA, A 144A 3.540%, 2/25/32(3) | 2,612 | 2,614 | |
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(3) | 2,464 | 2,402 | |
Hotwire Funding LLC 2021-1, C 144A 4.459%, 11/20/51(3) | 6,405 | 5,935 | |
Jack in the Box Funding LLC 2022-1A, A2I 144A 3.445%, 2/26/52(3) | 8,045 | 7,572 |
Par Value | Value | ||
Other—continued | |||
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(3) | $ 19,113 | $ 18,848 | |
Lendingpoint Asset Securitization Trust | |||
2021-A, A 144A 1.000%, 12/15/28(3) | 5,148 | 5,116 | |
2022-A, B 144A 2.410%, 6/15/29(3) | 7,745 | 7,545 | |
Lendmark Funding Trust | |||
2019-1A, A 144A 3.000%, 12/20/27(3) | 8,835 | 8,864 | |
2021-1A, A 144A 1.900%, 11/20/31(3) | 7,815 | 7,066 | |
LL ABS Trust 2021-1A, A 144A 1.070%, 5/15/29(3) | 4,264 | 4,150 | |
MAPS Trust 2021-1A, A 144A 2.521%, 6/15/46(3) | 16,179 | 14,963 | |
Mariner Finance Issuance Trust | |||
2019-AA, A 144A 2.960%, 7/20/32(3) | 7,255 | 7,219 | |
2020-AA, A 144A 2.190%, 8/21/34(3) | 1,954 | 1,879 | |
MVW LLC 2021-1WA, B 144A 1.440%, 1/22/41(3) | 2,978 | 2,809 | |
MVW Owner Trust | |||
2016-1A, A 144A 2.250%, 12/20/33(3) | 786 | 788 | |
2019-1A, A 144A 2.890%, 11/20/36(3) | 2,770 | 2,734 | |
Navient Private Education Refi Loan Trust 2021-EA, A 144A 0.970%, 12/16/69(3) | 5,149 | 4,847 | |
NBC Funding LLC 2021-1, A2 144A 2.989%, 7/30/51(3) | 8,249 | 7,683 | |
NMEF Funding LLC | |||
2019-A, C 144A 3.300%, 8/17/26(3) | 9,145 | 9,097 | |
2022-A, B 144A 3.350%, 10/16/28(3) | 5,495 | 5,369 | |
OASIS LLC 2020-2A, A 144A 4.262%, 5/15/32(3) | 699 | 699 | |
Oasis Securitization Funding LLC | |||
2021-1A, A 144A 2.579%, 2/15/33(3) | 2,173 | 2,167 | |
2021-2A, A 144A 2.143%, 10/15/33(3) | 5,522 | 5,463 | |
Octane Receivables Trust | |||
2019-1A, A 144A 3.160%, 9/20/23(3) | 396 | 396 |
Par Value | Value | ||
Other—continued | |||
2019-1A, B 144A 3.770%, 7/22/24(3) | $ 5,000 | $ 5,035 | |
2019-1A, C 144A 4.740%, 6/20/25(3) | 17,822 | 17,962 | |
2020-1A, A 144A 1.710%, 2/20/25(3) | 6,394 | 6,356 | |
2021-1A, A 144A 0.930%, 3/22/27(3) | 6,981 | 6,816 | |
2021-1A, B 144A 1.530%, 4/20/27(3) | 3,700 | 3,466 | |
2021-2A, A 144A 1.210%, 9/20/28(3) | 1,442 | 1,406 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(3) | 2,778 | 2,779 | |
Oportun Funding LLC 2022-1, A 144A 3.250%, 6/15/29(3) | 8,585 | 8,566 | |
Oportun Funding XIV LLC 2021-A, B 144A 1.760%, 3/8/28(3) | 7,620 | 7,484 | |
Oportun Issuance Trust 2021-C, A 144A 2.180%, 10/8/31(3) | 6,210 | 5,848 | |
Orange Lake Timeshare Trust | |||
2015-AA, A 144A 2.880%, 9/8/27(3) | 647 | 647 | |
2018-A, A 144A 3.100%, 11/8/30(3) | 1,430 | 1,432 | |
2019-A, B 144A 3.360%, 4/9/38(3) | 6,909 | 6,764 | |
Palmer Square Loan Funding Ltd. 2021-1A, A1 (3 month LIBOR + 0.900%, Cap N/A, Floor 0.900%) 144A 1.154%, 4/20/29(3)(4) | 2,331 | 2,315 | |
Planet Fitness Master Issuer LLC 2018-1A, A2II 144A 4.666%, 9/5/48(3) | 13,804 | 13,728 | |
Purchasing Power Funding LLC | |||
2021-A, A 144A 1.570%, 10/15/25(3) | 12,425 | 12,028 | |
2021-A, B 144A 1.920%, 10/15/25(3) | 5,465 | 5,240 | |
Regional Management Issuance Trust 2022-1, A 144A 3.070%, 3/15/32(3) | 6,500 | 6,320 |
Par Value | Value | ||
Other—continued | |||
Sierra Timeshare Receivables Funding LLC | |||
2018-2A, A 144A 3.500%, 6/20/35(3) | $ 1,357 | $ 1,356 | |
2019-1A, B 144A 3.420%, 1/20/36(3) | 1,263 | 1,254 | |
2019-2A, B 144A 2.820%, 5/20/36(3) | 4,358 | 4,271 | |
2020-2A, B 144A 2.320%, 7/20/37(3) | 3,351 | 3,259 | |
Trinity Rail Leasing LLC 2019-1A, A 144A 3.820%, 4/17/49(3) | 15,406 | 15,146 | |
TRP LLC 2021-1, A 144A 2.070%, 6/19/51(3) | 9,205 | 8,489 | |
Upstart Pass-Through Trust Series | |||
2021-ST2, A 144A 2.500%, 4/20/27(3) | 4,569 | 4,457 | |
2021-ST8, A 144A 1.750%, 10/20/29(3) | 5,662 | 5,462 | |
Upstart Securitization Trust | |||
2019-2, B 144A 3.734%, 9/20/29(3) | 891 | 892 | |
2021-1, A 144A 0.870%, 3/20/31(3) | 556 | 550 | |
2021-2, B 144A 1.750%, 6/20/31(3) | 7,140 | 6,786 | |
VFI ABS LLC | |||
2022-1A, A 144A 2.230%, 3/24/28(3) | 10,872 | 10,761 | |
2022-1A, D 144A 6.680%, 11/26/29(3)(5) | 2,794 | 2,735 | |
Welk Resorts LLC 2019-AA, B 144A 2.990%, 6/15/38(3) | 5,488 | 5,457 | |
Westgate Resorts LLC | |||
2020-1A, A 144A 2.713%, 3/20/34(3) | 2,206 | 2,198 | |
2022-1A, B 144A 2.288%, 8/20/36(3) | 4,989 | 4,844 | |
ZAXBY’S Funding LLC 2021-1A, A2 144A 3.238%, 7/30/51(3) | 20,452 | 18,862 | |
612,160 | |||
Student Loan—0.2% | |||
Commonbond Student Loan Trust | |||
2019-AGS, A1 144A 2.540%, 1/25/47(3) | 4,575 | 4,520 |
Par Value | Value | ||
Student Loan—continued | |||
2020-1, A 144A 1.690%, 10/25/51(3) | $ 2,850 | $ 2,622 | |
Navient Private Education Loan Trust 2017-A, A2A 144A 2.880%, 12/16/58(3) | 962 | 964 | |
Navient Private Education Refi Loan Trust 2021-A, A 144A 0.840%, 5/15/69(3) | 3,217 | 3,072 | |
11,178 | |||
Total Asset-Backed Securities (Identified Cost $1,610,280) | 1,567,186 | ||
Corporate Bonds and Notes—24.7% | |||
Communication Services—1.7% | |||
Altice France S.A. | |||
144A 5.125%, 7/15/29(3) | 5,660 | 5,073 | |
144A 5.500%, 10/15/29(3) | 4,600 | 4,127 | |
AT&T, Inc. (3 month LIBOR + 0.890%) 1.285%, 2/15/23(4) | 8,918 | 8,955 | |
CommScope, Inc. 144A 4.750%, 9/1/29(3) | 7,815 | 7,198 | |
Consolidated Communications, Inc. 144A 6.500%, 10/1/28(3) | 4,400 | 4,054 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 213 | 220 | |
Level 3 Financing, Inc. 144A 4.625%, 9/15/27(3) | 5,835 | 5,493 | |
Northwest Fiber LLC 144A 4.750%, 4/30/27(3) | 6,335 | 6,015 | |
Sprint Spectrum Co. LLC 144A 4.738%, 3/20/25(3) | 4,958 | 5,062 | |
Telesat Canada 144A 6.500%, 10/15/27(3) | 2,480 | 1,214 | |
T-Mobile USA, Inc. | |||
3.750%, 4/15/27 | 6,265 | 6,302 | |
2.050%, 2/15/28 | 5,892 | 5,381 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(3) | 5,505 | 5,686 | |
Twitter, Inc. 144A 3.875%, 12/15/27(3) | 11,240 | 10,917 |
Par Value | Value | ||
Communication Services—continued | |||
Verizon Communications, Inc. | |||
2.100%, 3/22/28 | $ 8,062 | $ 7,514 | |
(3 month LIBOR + 1.100%) 1.606%, 5/15/25(4) | 16,061 | 16,265 | |
VTR Comunicaciones SpA 144A 5.125%, 1/15/28(3)(7) | 2,903 | 2,767 | |
102,243 | |||
Consumer Discretionary—1.3% | |||
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 2,965 | 2,932 | |
Caesars Entertainment, Inc. 144A 6.250%, 7/1/25(3) | 3,465 | 3,577 | |
Carnival Corp. 144A 7.625%, 3/1/26(3) | 9,910 | 9,975 | |
Carriage Services, Inc. 144A 4.250%, 5/15/29(3) | 2,870 | 2,673 | |
Gap, Inc. (The) 144A 3.625%, 10/1/29(3) | 5,035 | 4,486 | |
Hilton Grand Vacations Borrower Escrow LLC 144A 5.000%, 6/1/29(3) | 4,780 | 4,562 | |
International Game Technology plc 144A 5.250%, 1/15/29(3) | 840 | 838 | |
Legends Hospitality Holding Co. LLC 144A 5.000%, 2/1/26(3) | 6,195 | 5,947 | |
Lindblad Expeditions LLC 144A 6.750%, 2/15/27(3) | 4,615 | 4,627 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 5,890 | 5,551 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 6,230 | 5,996 | |
MGM Growth Properties Operating Partnership LP | |||
5.750%, 2/1/27 | 6,370 | 6,728 | |
144A 4.625%, 6/15/25(3) | 1,305 | 1,315 | |
Royal Caribbean Cruises Ltd. | |||
144A 9.125%, 6/15/23(3) | 3,385 | 3,525 | |
144A 4.250%, 7/1/26(3) | 340 | 316 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
144A 5.375%, 7/15/27(3) | $ 70 | $ 67 | |
144A 5.500%, 4/1/28(3) | 295 | 281 | |
Scientific Games International, Inc. | |||
144A 5.000%, 10/15/25(3) | 7,150 | 7,329 | |
144A 8.250%, 3/15/26(3) | 5,935 | 6,180 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(3) | 2,885 | 2,659 | |
79,564 | |||
Consumer Staples—0.9% | |||
Albertsons Cos., Inc. 144A 3.250%, 3/15/26(3) | 15,065 | 14,237 | |
BAT Capital Corp. | |||
4.700%, 4/2/27 | 11,000 | 11,282 | |
2.259%, 3/25/28 | 5,870 | 5,267 | |
Central American Bottling Corp. 144A 5.250%, 4/27/29(3) | 6,625 | 6,592 | |
Energizer Holdings, Inc. 144A 6.500%, 12/31/27(3) | 1,190 | 1,178 | |
HLF Financing S.a.r.l. LLC 144A 4.875%, 6/1/29(3) | 2,980 | 2,614 | |
Turning Point Brands, Inc. 144A 5.625%, 2/15/26(3) | 6,360 | 6,169 | |
Vector Group Ltd. 144A 5.750%, 2/1/29(3) | 6,175 | 5,624 | |
52,963 | |||
Energy—3.9% | |||
Aker BP ASA 144A 2.875%, 1/15/26(3) | 9,060 | 8,808 | |
Antero Midstream Partners LP 144A 5.750%, 1/15/28(3) | 5,910 | 6,036 | |
Ascent Resources Utica Holdings LLC 144A 8.250%, 12/31/28(3) | 5,720 | 6,009 | |
Boardwalk Pipelines LP 4.950%, 12/15/24 | 12,645 | 13,059 | |
BP Capital Markets plc 4.875% (6) | 8,705 | 8,727 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 4,327 | 4,306 | |
Chesapeake Energy Corp. 144A 5.500%, 2/1/26(3) | 9,555 | 9,785 | |
Citgo Petroleum Corp. 144A 7.000%, 6/15/25(3) | 12,370 | 12,447 |
Par Value | Value | ||
Energy—continued | |||
CrownRock LP | |||
144A 5.625%, 10/15/25(3) | $ 5,855 | $ 5,968 | |
144A 5.000%, 5/1/29(3) | 6,640 | 6,640 | |
Energy Transfer LP 4.200%, 4/15/27 | 16,025 | 16,317 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(3) | 5,385 | 5,493 | |
144A 6.500%, 7/1/27(3) | 2,620 | 2,737 | |
KazMunayGas National Co. JSC 144A 4.750%, 4/24/25(3) | 4,285 | 4,163 | |
KazMunayGas National Co., JSC 144A 4.750%, 4/19/27(3) | 3,400 | 3,256 | |
Kinder Morgan, Inc. 144A 5.625%, 11/15/23(3) | 9,880 | 10,199 | |
Lundin Energy Finance B.V. 144A 2.000%, 7/15/26(3) | 9,925 | 9,242 | |
Midwest Connector Capital Co. LLC 144A 3.625%, 4/1/22(3) | 6,145 | 6,145 | |
NGPL PipeCo LLC 144A 4.875%, 8/15/27(3) | 7,945 | 8,246 | |
Occidental Petroleum Corp. | |||
5.875%, 9/1/25 | 6,480 | 6,883 | |
5.500%, 12/1/25 | 3,620 | 3,809 | |
Pertamina Persero PT 144A 4.300%, 5/20/23(3) | 6,940 | 7,027 | |
Petrobras Global Finance B.V. 7.375%, 1/17/27 | 1,645 | 1,825 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(3) | 9,545 | 632 | |
Petroleos Mexicanos | |||
4.625%, 9/21/23(7) | 15,765 | 15,942 | |
6.500%, 3/13/27 | 15,165 | 15,400 | |
Rockcliff Energy II LLC 144A 5.500%, 10/15/29(3) | 175 | 175 | |
Saudi Arabian Oil Co. 90349GAN5 144A 2.875%, 4/16/24(3) | 12,700 | 12,654 | |
Southwestern Energy Co. 5.375%, 2/1/29 | 4,740 | 4,799 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 5,555 | 5,729 |
Par Value | Value | ||
�� | |||
Energy—continued | |||
Transocean Guardian Ltd. 144A 5.875%, 1/15/24(3) | $ 2,398 | $ 2,296 | |
Transocean, Inc. 144A 11.500%, 1/30/27(3) | 655 | 676 | |
USA Compression Partners LP 6.875%, 4/1/26 | 6,910 | 6,972 | |
Venture Global Calcasieu Pass LLC 144A 3.875%, 8/15/29(3) | 7,160 | 6,960 | |
239,362 | |||
Financials—7.7% | |||
AerCap Ireland Capital DAC | |||
2.450%, 10/29/26 | 6,290 | 5,818 | |
3.000%, 10/29/28 | 695 | 641 | |
Athene Global Funding 144A 2.450%, 8/20/27(3) | 14,530 | 13,579 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(3) | 14,195 | 14,459 | |
Banco BBVA Peru S.A. RegS 5.000%, 8/26/22(2)(7) | 6,162 | 6,217 | |
Banco do Brasil S.A. 144A 3.250%, 9/30/26(3) | 3,800 | 3,658 | |
Banco Mercantil del Norte S.A. 144A 5.875% (3)(6) | 15,795 | 14,610 | |
Banco Santander Chile 144A 2.700%, 1/10/25(3) | 5,550 | 5,428 | |
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 144A 5.375%, 4/17/25(3) | 9,510 | 9,924 | |
Bank of America Corp. | |||
1.734%, 7/22/27 | 19,345 | 17,965 | |
2.551%, 2/4/28 | 6,080 | 5,809 | |
(3 month LIBOR + 0.770%) 1.085%, 2/5/26(4) | 11,312 | 11,255 | |
Blackstone Private Credit Fund | |||
144A 2.625%, 12/15/26(3) | 6,735 | 6,061 | |
144A 4.000%, 1/15/29(3) | 3,345 | 3,097 | |
Brookfield Finance, Inc. 3.900%, 1/25/28 | 9,490 | 9,530 |
Par Value | Value | ||
Financials—continued | |||
Burford Capital Global Finance LLC 144A 6.250%, 4/15/28(3) | $ 755 | $ 766 | |
Charles Schwab Corp. (The) | |||
Series G 5.375%(6) | 4,332 | 4,462 | |
Series H 4.000%(6) | 8,541 | 7,671 | |
Citadel LP 144A 4.875%, 1/15/27(3)(7) | 6,370 | 6,285 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 24,642 | 24,448 | |
(SOFR + 1.280%) 1.484%, 2/24/28(4) | 8,147 | 8,171 | |
Coinbase Global, Inc. 144A 3.375%, 10/1/28(3) | 7,450 | 6,582 | |
Danske Bank A/S | |||
144A 3.773%, 3/28/25(3) | 6,075 | 6,089 | |
144A 1.621%, 9/11/26(3) | 1,935 | 1,789 | |
Doric Nimrod Air Alpha Pass-Through Trust 2013-1, A 144A 5.250%, 5/30/23(3) | 17,515 | 17,396 | |
Doric Nimrod Air Finance Alpha Pass-Through Trust 2012-1, A 144A 5.125%, 11/30/22(3) | 2,338 | 2,311 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(3) | 15,930 | 15,418 | |
F&G Global Funding 144A 1.750%, 6/30/26(3) | 13,125 | 12,199 | |
Fund of National Welfare Samruk-Kazyna JSC 144A 2.000%, 10/28/26(3) | 5,575 | 4,835 | |
Goldman Sachs Group, Inc. (The) | |||
4.250%, 10/21/25 | 24,315 | 24,904 | |
3.850%, 1/26/27 | 21,430 | 21,622 | |
Icahn Enterprises LP | |||
4.750%, 9/15/24 | 12,395 | 12,451 | |
6.250%, 5/15/26 | 10,030 | 10,231 | |
JPMorgan Chase & Co. | |||
1.578%, 4/22/27 | 19,090 | 17,780 | |
(SOFR + 1.180%) 1.394%, 2/24/28(4) | 13,015 | 13,007 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(3) | 13,000 | 12,459 | |
Liberty Mutual Group, Inc. 144A 4.125%, 12/15/51(3) | 9,755 | 9,194 |
Par Value | Value | ||
Financials—continued | |||
Lincoln National Corp. (3 month LIBOR + 2.040%) 2.294%, 4/20/67(4) | $ 12,860 | $ 10,208 | |
Mizuho Financial Group, Inc. 3.922%, 9/11/24 | 5,000 | 5,058 | |
Morgan Stanley 2.475%, 1/21/28 | 10,911 | 10,402 | |
Navient Corp. 5.875%, 10/25/24 | 8,642 | 8,816 | |
OneMain Finance Corp. | |||
6.875%, 3/15/25 | 8,580 | 9,022 | |
7.125%, 3/15/26 | 2,695 | 2,881 | |
OWL Rock Core Income Corp. 144A 5.500%, 3/21/25(3) | 4,304 | 4,293 | |
Prudential Financial, Inc. 5.625%, 6/15/43 | 13,774 | 13,860 | |
Santander Holdings USA, Inc. 3.244%, 10/5/26 | 13,830 | 13,481 | |
Spirit Realty LP 4.450%, 9/15/26 | 6,686 | 6,888 | |
Texas Capital Bancshares, Inc. 4.000%, 5/6/31 | 6,360 | 6,207 | |
Wells Fargo & Co. 4.100%, 6/3/26 | 14,875 | 15,249 | |
474,486 | |||
Health Care—1.9% | |||
180 Medical, Inc. 144A 3.875%, 10/15/29(3) | 200 | 189 | |
Amgen, Inc. 3.000%, 2/22/29 | 10,424 | 10,233 | |
Bausch Health Americas, Inc. 144A 8.500%, 1/31/27(3)(7) | 3,735 | 3,725 | |
Baxter International, Inc. | |||
144A 1.915%, 2/1/27(3) | 9,742 | 9,104 | |
144A 2.272%, 12/1/28(3) | 9,739 | 9,022 | |
Bio-Rad Laboratories, Inc. 3.300%, 3/15/27 | 8,928 | 8,784 | |
Cheplapharm Arzneimittel GmbH 144A 5.500%, 1/15/28(3) | 8,250 | 7,982 | |
Community Health Systems, Inc. | |||
144A 6.125%, 4/1/30(3) | 6,295 | 5,857 | |
144A 5.250%, 5/15/30(3) | 3,055 | 2,932 |
Par Value | Value | ||
Health Care—continued | |||
Legacy LifePoint Health LLC 144A 6.750%, 4/15/25(3) | $ 5,270 | $ 5,445 | |
Prime Healthcare Services, Inc. 144A 7.250%, 11/1/25(3) | 975 | 999 | |
Royalty Pharma plc | |||
1.200%, 9/2/25 | 2,749 | 2,529 | |
1.750%, 9/2/27 | 11,909 | 10,808 | |
Tenet Healthcare Corp. | |||
4.625%, 7/15/24 | 1,792 | 1,800 | |
144A 4.875%, 1/1/26(3) | 4,380 | 4,418 | |
144A 5.125%, 11/1/27(3) | 2,750 | 2,763 | |
Teva Pharmaceutical Finance Netherlands III B.V. | |||
6.000%, 4/15/24 | 800 | 820 | |
3.150%, 10/1/26 | 6,295 | 5,700 | |
4.750%, 5/9/27 | 1,270 | 1,219 | |
Universal Health Services, Inc. 144A 1.650%, 9/1/26(3) | 16,145 | 14,810 | |
Utah Acquisition Sub, Inc. 3.950%, 6/15/26 | 1,804 | 1,790 | |
Viatris, Inc. | |||
2.300%, 6/22/27 | 9,355 | 8,515 | |
144A 2.300%, 6/22/27(3) | — (8) | — (8) | |
119,444 | |||
Industrials—1.0% | |||
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(3) | 7,985 | 8,079 | |
American Airlines, Inc. | |||
144A 5.500%, 4/20/26(3) | 1,205 | 1,214 | |
144A 5.750%, 4/20/29(3) | 590 | 588 | |
Ashtead Capital, Inc. 144A 4.000%, 5/1/28(3) | 6,800 | 6,702 | |
BlueLinx Holdings, Inc. 144A 6.000%, 11/15/29(3) | 7,056 | 6,562 | |
Boeing Co. (The) 4.875%, 5/1/25 | 4,191 | 4,324 | |
British Airways Pass-Through Trust 2021-1, A 144A 2.900%, 3/15/35(3) | 3,997 | 3,673 | |
GFL Environmental, Inc. 144A 4.000%, 8/1/28(3) | 7,235 | 6,656 |
Par Value | Value | ||
Industrials—continued | |||
Huntington Ingalls Industries, Inc. 144A 2.043%, 8/16/28(3) | $ 16,510 | $ 14,925 | |
Spirit AeroSystems, Inc. 144A 5.500%, 1/15/25(3) | 6,090 | 6,105 | |
58,828 | |||
Information Technology—1.7% | |||
Block, Inc. 144A 2.750%, 6/1/26(3) | 8,735 | 8,257 | |
CDW LLC | |||
2.670%, 12/1/26 | 6,466 | 6,094 | |
3.276%, 12/1/28 | 6,466 | 6,090 | |
Consensus Cloud Solutions, Inc. | |||
144A 6.000%, 10/15/26(3) | 1,435 | 1,424 | |
144A 6.500%, 10/15/28(3) | 2,155 | 2,141 | |
Dell International LLC 4.900%, 10/1/26 | 6,420 | 6,734 | |
Flex Ltd. 3.750%, 2/1/26 | 11,130 | 11,129 | |
ION Trading Technologies S.a.r.l. 144A 5.750%, 5/15/28(3) | 1,120 | 1,079 | |
Kyndryl Holdings, Inc. | |||
144A 2.050%, 10/15/26(3) | 6,681 | 5,965 | |
144A 2.700%, 10/15/28(3) | 6,580 | 5,693 | |
Leidos, Inc. 3.625%, 5/15/25 | 10,350 | 10,348 | |
Open Text Corp. 144A 3.875%, 2/15/28(3) | 10,905 | 10,455 | |
Oracle Corp. 2.300%, 3/25/28 | 6,450 | 5,891 | |
SK Hynix, Inc. 144A 1.500%, 1/19/26(3) | 12,305 | 11,383 | |
TD SYNNEX Corp. | |||
144A 1.750%, 8/9/26(3) | 6,514 | 5,966 | |
144A 2.375%, 8/9/28(3) | 6,510 | 5,860 | |
104,509 | |||
Materials—1.9% | |||
Anglo American Capital plc 144A 2.250%, 3/17/28(3) | 12,820 | 11,708 | |
Ardagh Packaging Finance plc 144A 5.250%, 8/15/27(3) | 12,065 | 11,153 | |
Avient Corp. 144A 5.750%, 5/15/25(3) | 11,748 | 12,061 |
Par Value | Value | ||
Materials—continued | |||
Celanese US Holdings LLC 3.500%, 5/8/24 | $ 9,870 | $ 9,895 | |
Chemours Co. (The) 144A 5.750%, 11/15/28(3)(7) | 7,105 | 6,903 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(3) | 2,585 | 2,714 | |
Glatfelter Corp. 144A 4.750%, 11/15/29(3) | 2,795 | 2,369 | |
Glencore Funding LLC 144A 1.625%, 9/1/25(3) | 14,745 | 13,787 | |
International Flavors & Fragrances, Inc. | |||
144A 1.230%, 10/1/25(3) | 7,666 | 7,097 | |
144A 1.832%, 10/15/27(3) | 8,106 | 7,368 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(3) | 3,110 | 3,082 | |
NOVA Chemicals Corp. 144A 5.000%, 5/1/25(3) | 7,820 | 7,843 | |
OCP S.A. | |||
144A 5.625%, 4/25/24(3) | 3,985 | 4,088 | |
RegS 5.625%, 4/25/24(2) | 2,800 | 2,873 | |
Silgan Holdings, Inc. 144A 1.400%, 4/1/26(3) | 11,513 | 10,500 | |
Suzano Austria GmbH 2.500%, 9/15/28 | 6,420 | 5,793 | |
119,234 | |||
Real Estate—1.3% | |||
EPR Properties 4.950%, 4/15/28 | 9,545 | 9,549 | |
GLP Capital LP | |||
5.250%, 6/1/25 | 13,175 | 13,561 | |
5.750%, 6/1/28 | 1,863 | 2,005 | |
5.300%, 1/15/29 | 2,731 | 2,869 | |
Office Properties Income Trust | |||
4.000%, 7/15/22 | 7,345 | 7,360 | |
2.650%, 6/15/26 | 5,087 | 4,652 | |
Retail Opportunity Investments Partnership LP 5.000%, 12/15/23 | 10,874 | 11,082 | |
Service Properties Trust | |||
4.500%, 6/15/23 | 10,780 | 10,657 |
Par Value | Value | ||
Real Estate—continued | |||
4.350%, 10/1/24 | $ 9,585 | $ 9,226 | |
Uniti Group LP 144A 7.875%, 2/15/25(3) | 5,455 | 5,668 | |
76,629 | |||
Utilities—1.4% | |||
Dominion Energy, Inc. Series A 1.450%, 4/15/26 | 15,850 | 14,737 | |
DPL, Inc. 4.125%, 7/1/25 | 1,591 | 1,580 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(3) | 11,970 | 11,536 | |
Ferrellgas LP 144A 5.375%, 4/1/26(3) | 6,570 | 6,204 | |
NRG Energy, Inc. 144A 3.750%, 6/15/24(3) | 14,667 | 14,610 | |
Puget Energy, Inc. 2.379%, 6/15/28 | 9,794 | 8,954 | |
Southern Co. (The) Series 21-A 3.750%, 9/15/51 | 13,578 | 12,520 | |
TerraForm Power Operating LLC 144A 4.250%, 1/31/23(3) | 18,640 | 18,593 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/49(3)(5) | 5,925 | — | |
88,734 | |||
Total Corporate Bonds and Notes (Identified Cost $1,577,306) | 1,515,996 | ||
Leveraged Loans—14.3% | |||
Aerospace—1.2% | |||
Air Canada (3 month LIBOR + 3.500%) 4.250%, 8/11/28(4) | 1,721 | 1,703 | |
Amentum Government Services Holdings LLC Tranche B (3 month Term SOFR + 4.000%) 4.500% - 4.777%, 2/15/29(4) | 2,660 | 2,630 | |
American Airlines, Inc. (3 month LIBOR + 4.750%) 5.500%, 4/20/28(4) | 7,345 | 7,430 | |
Brown Group Holding LLC (3 month LIBOR + 2.500%) 3.506%, 6/7/28(4) | 11,159 | 10,991 |
Par Value | Value | ||
Aerospace—continued | |||
Delta Air Lines, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/20/27(4) | $ 12,290 | $ 12,672 | |
KKR Apple Bidco LLC (1 month LIBOR + 3.000%) 3.500%, 9/22/28(4) | 7,781 | 7,670 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27(4) | 8,790 | 9,109 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.707%, 5/30/25(4) | 10,943 | 10,735 | |
Tranche F (1 month LIBOR + 2.250%) 2.707%, 12/9/25(4) | 6,464 | 6,351 | |
United AirLines, Inc. Tranche B (3 month LIBOR + 3.750%) 4.500%, 4/21/28(4) | 1,950 | 1,924 | |
71,215 | |||
Chemicals—0.5% | |||
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 2.209%, 4/1/24(4) | 13,379 | 13,127 | |
Starfruit Finco B.V. (3 month LIBOR + 3.000%) 3.105%, 10/1/25(4) | 11,622 | 11,433 | |
Trinseo Materials Operating SCA 2021 (1 month LIBOR + 2.500%) 2.709%, 5/3/28(4) | 7,001 | 6,870 | |
WR Grace Holdings LLC (3 month LIBOR + 3.750%) 4.813%, 9/22/28(4) | 2,269 | 2,247 | |
33,677 | |||
Consumer Durables—0.3% | |||
Resideo Funding, Inc. Tranche B (1 month LIBOR + 2.250%) 2.756%, 2/11/28(4) | 10,560 | 10,388 | |
Restoration Hardware, Inc. (1 month LIBOR + 2.500%) 3.000%, 10/20/28(4) | 7,134 | 6,993 | |
17,381 | |||
Par Value | Value | ||
Consumer Non-Durables—0.1% | |||
Kronos Acquisition Holdings, Inc. Tranche B-1 (3 month LIBOR + 3.750%) 4.250%, 12/22/26(4) | $ 7,870 | $ 7,313 | |
Energy—0.3% | |||
Freeport LNG Investments LLLP Tranche B (3 month LIBOR + 3.500%) 4.000%, 12/21/28(4) | 9,475 | 9,397 | |
Oryx Midstream Services Permian Basin LLC Tranche B (3 month LIBOR + 3.250%) 3.750%, 10/5/28(4) | 8,464 | 8,387 | |
Paragon Offshore Finance Co. (3 month PRIME + 3.250%) 3.250%, 7/16/21(1)(4)(5) | 65 | — | |
17,784 | |||
Financial—0.7% | |||
Asurion LLC | |||
Tranche B-6 (1 month LIBOR + 3.125%) 3.582%, 11/3/23(4) | 3,700 | 3,675 | |
Tranche B-8 (1 month LIBOR + 3.500%) 3.707%, 12/23/26(4) | 5,928 | 5,792 | |
Tranche B-9 (1 month LIBOR + 3.250%) 3.707%, 7/31/27(4) | 3,876 | 3,792 | |
Avolon TLB Borrower 1 U.S. LLC Tranche B-5 (1 month LIBOR + 2.250%) 2.750%, 12/1/27(4) | 8,206 | 8,103 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.457%, 6/15/25(4) | 7,413 | 7,265 | |
Citadel Securities LP 2021 (1 month Term SOFR + 2.500%) 2.927%, 2/2/28(4) | 16,155 | 16,048 | |
44,675 | |||
Par Value | Value | ||
Food / Tobacco—1.0% | |||
Aramark Services, Inc. | |||
Tranche B-3 (1 month LIBOR + 1.750%) 2.207%, 3/11/25(4) | $ 1,909 | $ 1,869 | |
Tranche B-4 (1 month LIBOR + 1.750%) 2.207%, 1/15/27(4) | 3,254 | 3,183 | |
Tranche B-5 (1 month LIBOR + 2.500%) 2.957%, 4/6/28(4) | 4,656 | 4,586 | |
Arterra Wines Canada, Inc. Tranche B-1 (3 month LIBOR + 3.500%) 4.506%, 11/24/27(4) | 6,661 | 6,582 | |
CHG PPC Parent LLC (1 month LIBOR + 3.250%) 3.500%, 12/8/28(4) | 7,100 | 6,923 | |
Froneri U.S., Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.707%, 1/29/27(4) | 12,011 | 11,777 | |
Hostess Brands LLC 2019, Tranche B (1 month LIBOR + 2.250%) 3.000%, 8/3/25(4) | 11,196 | 11,038 | |
Shearer’s Foods LLC First Lien (1 month LIBOR + 3.500%) 4.250%, 9/23/27(4) | 6,390 | 6,191 | |
Triton Water Holdings, Inc. First Lien (3 month LIBOR + 3.500%) 4.506%, 3/31/28(4) | 9,424 | 9,176 | |
61,325 | |||
Forest Prod / Containers—0.4% | |||
Berry Global, Inc. Tranche Z (1 month LIBOR + 1.750%) 2.071%, 7/1/26(4) | 8,651 | 8,518 | |
BWay Holding Co. (3 month LIBOR + 3.250%) 3.481%, 4/3/24(4) | 8,247 | 8,120 |
Par Value | Value | ||
Forest Prod / Containers—continued | |||
Spectrum Holdings III Corp. First Lien (6 month LIBOR + 3.250%) 4.250%, 1/31/25(4) | $ 2,595 | $ 2,489 | |
TricorBraun, Inc. (1 month LIBOR + 3.250%) 3.750%, 3/3/28(4) | 8,305 | 8,085 | |
27,212 | |||
Gaming / Leisure—1.7% | |||
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 3.207%, 12/23/24(4) | 16,873 | 16,768 | |
Carnival Corp. | |||
2021, Tranche B (3 month LIBOR + 3.250%) 4.000%, 10/18/28(4) | 5,998 | 5,856 | |
Tranche B (3 month LIBOR + 3.000%) 3.750%, 6/30/25(4) | 1,572 | 1,526 | |
Fertitta Entertainment LLC Tranche B (1 month Term SOFR + 4.000%) 4.500%, 1/26/29(4) | 6,482 | 6,441 | |
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 2.207%, 6/22/26(4) | 12,796 | 12,651 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24(4) | 9,452 | 9,222 | |
Playtika Holding Corp. Tranche B-1 (1 month LIBOR + 2.750%) 3.207%, 3/13/28(4) | 7,405 | 7,286 | |
Pug LLC | |||
Tranche B (1 month LIBOR + 3.500%) 3.957%, 2/12/27(4) | 6,469 | 6,331 | |
Tranche B-2 (1 month LIBOR + 4.250%) 4.750%, 2/12/27(4) | 2,779 | 2,758 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
Raptor Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 4.934%, 11/1/26(4) | $ 2,544 | $ 2,527 | |
Scientific Games Holdings LP Tranche B-2 (3 month LIBOR + 3.500%) 0.000%, 4/4/29(4)(9) | 2,180 | 2,157 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 3.207%, 8/14/24(4) | 4,145 | 4,127 | |
Stars Group Holdings B.V. 2021 (3 month LIBOR + 2.250%) 3.256%, 7/21/26(4) | 13,588 | 13,466 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.710%, 2/8/27(4) | 3,126 | 3,080 | |
UFC Holdings LLC Tranche B-3 (6 month LIBOR + 2.750%) 3.500%, 4/29/26(4) | 11,260 | 11,133 | |
105,329 | |||
Health Care—1.0% | |||
Agiliti Health, Inc. | |||
(1 month LIBOR + 2.750%) 3.000%, 1/4/26(4) | 4,999 | 4,961 | |
(1 month LIBOR + 2.750%) 3.500%, 1/4/26(4) | 1,520 | 1,509 | |
AthenaHealth Group, Inc. (1 month Term SOFR +3.500%) 4.000%, 2/15/29(4) | 3,200 | 3,161 | |
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 3.207%, 11/27/25(4) | 1,396 | 1,382 | |
(1 month LIBOR + 3.000%) 3.457%, 6/2/25(4) | 3,987 | 3,951 |
Par Value | Value | ||
Health Care—continued | |||
Change Healthcare Holdings LLC (1 month LIBOR + 2.500%) 3.500%, 3/1/24(4) | $ 7,650 | $ 7,599 | |
Elanco Animal Health, Inc. (1 month LIBOR + 1.750%) 1.981%, 8/1/27(4) | 8,314 | 8,171 | |
Horizon Therapeutics USA, Inc. Tranche B-2 (1 month LIBOR + 1.750%) 2.250%, 3/15/28(4) | 9,375 | 9,270 | |
Medline Borrower LP (1 month LIBOR + 3.250%) 3.750%, 10/23/28(4) | 4,820 | 4,769 | |
Phoenix Guarantor, Inc. Tranche B-3 (1 month LIBOR + 3.500%) 3.947%, 3/5/26(4) | 7,170 | 7,084 | |
Phoenix Newco, Inc. First Lien (1 month LIBOR + 3.500%) 4.000%, 11/15/28(4) | 2,150 | 2,132 | |
Select Medical Corp. Tranche B (1 month LIBOR + 2.250%) 2.460%, 3/6/25(4) | 6,265 | 6,183 | |
60,172 | |||
Housing—0.8% | |||
84 Lumber Co. Tranche B-1 (1 month LIBOR + 3.000%) 3.750%, 11/13/26(4) | 9,384 | 9,297 | |
Chariot Buyer LLC (3 month LIBOR + 3.500%) 4.506%, 11/3/28(4) | 6,199 | 6,117 | |
CPG International LLC (3 month LIBOR + 2.500%) 3.250%, 5/6/24(4) | 9,938 | 9,844 | |
Quikrete Holdings, Inc. Tranche B-1 (3 month LIBOR + 3.000%) 0.000%, 6/9/28(4)(9) | 11,885 | 11,654 | |
SRS Distribution, Inc. | |||
2021 (3 month LIBOR + 3.500%) 4.019%, 6/2/28(4) | 3,373 | 3,328 | |
2022 (3 month Term SOFR + 3.500%) 4.000%, 6/2/28(4) | 750 | 739 |
Par Value | Value | ||
Housing—continued | |||
Standard Industries, Inc. (6 month LIBOR + 2.500%) 3.788%, 9/22/28(4) | $ 9,863 | $ 9,833 | |
50,812 | |||
Information Technology—0.9% | |||
Applied Systems, Inc. First Lien (3 month LIBOR + 3.000%) 3.500%, 9/19/24(4) | 14,515 | 14,402 | |
BMC Software 2021 (3 month LIBOR + 3.750%) 4.756%, 10/2/25(4) | 6,303 | 6,259 | |
CCC Intelligent Solutions, Inc. (3 month LIBOR + 2.250%) 3.256%, 9/21/28(4) | 11,108 | 10,986 | |
RealPage, Inc. First Lien (1 month LIBOR + 3.250%) 3.750%, 4/24/28(4) | 8,915 | 8,803 | |
UKG, Inc. | |||
2021, Second Lien (3 month LIBOR + 5.250%) 5.750%, 5/3/27(4) | 355 | 352 | |
2021-2, First Lien (3 month LIBOR + 3.250%) 3.750%, 5/4/26(4) | 13,964 | 13,837 | |
54,639 | |||
Manufacturing—1.0% | |||
Alliance Laundry Systems LLC Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/8/27(4) | 9,426 | 9,326 | |
Backyard Acquireco, Inc. (3 month LIBOR + 3.750%) 4.756%, 11/2/27(4) | 7,747 | 7,694 | |
Filtration Group Corp. 2021 (1 month LIBOR + 3.500%) 4.000%, 10/21/28(4) | 9,701 | 9,580 | |
Gates Global LLC Tranche B-3 (1 month LIBOR + 2.500%) 3.250%, 3/31/27(4) | 12,344 | 12,152 | |
NCR Corp. (3 month LIBOR + 2.500%) 2.800%, 8/28/26(4) | 7,877 | 7,763 |
Par Value | Value | ||
Manufacturing—continued | |||
Ozark Holdings LLC 2020 (1 month LIBOR + 3.750%) 4.250%, 12/16/27(4) | $ 4,266 | $ 4,213 | |
Safe Fleet Holdings LLC 2022 (3 month Term SOFR + 3.750%) 4.271%, 2/23/29(4) | 1,415 | 1,391 | |
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 3.457%, 10/1/25(4) | 5,921 | 5,839 | |
Titan Acquisition Ltd. (3 month LIBOR + 3.000%) 3.354%, 3/28/25(4) | 6,249 | 6,105 | |
64,063 | |||
Media / Telecom - Broadcasting—0.2% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.731%, 9/18/26(4) | 10,956 | 10,904 | |
Media / Telecom - Cable/Wireless Video—0.5% | |||
Charter Communications Operating LLC Tranche B-2 (1 month LIBOR + 1.750%) 2.210%, 2/1/27(4) | 9,237 | 9,149 | |
CSC Holdings LLC | |||
2017 (1 month LIBOR + 2.250%) 2.647%, 7/17/25(4) | 4,321 | 4,243 | |
2018 (1 month LIBOR + 2.250%) 2.647%, 1/15/26(4) | 3,890 | 3,832 | |
DIRECTV Financing LLC (3 month LIBOR + 5.000%) 0.000%, 8/2/27(4)(9) | 4,275 | 4,265 | |
Virgin Media Bristol LLC Tranche Q (3 month LIBOR + 3.250%) 3.647%, 1/31/29(4) | 9,320 | 9,256 | |
30,745 | |||
Par Value | Value | ||
Media / Telecom - Diversified Media—0.3% | |||
Clear Channel Outdoor Holdings, Inc. Tranche B (3 month LIBOR + 3.500%) 3.799%, 8/21/26(4) | $ 6,308 | $ 6,195 | |
Dotdash Meredith, Inc. Tranche B (1 month Term SOFR + 4.000%) 4.500%, 12/1/28(4) | 9,651 | 9,626 | |
15,821 | |||
Media / Telecom - Telecommunications—0.4% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.707%, 3/15/27(4) | 9,326 | 9,067 | |
Consolidated Communications, Inc. Tranche B-1 (1 month LIBOR + 3.500%) 4.250%, 10/2/27(4) | 3,784 | 3,533 | |
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 2.207%, 3/1/27(4) | 9,084 | 8,904 | |
21,504 | |||
Retail—0.3% | |||
Harbor Freight Tools USA, Inc. 2021 (1 month LIBOR + 2.750%) 3.250%, 10/19/27(4) | 6,332 | 6,189 | |
Michaels Cos., Inc. (The) Tranche B (3 month LIBOR + 4.250%) 5.256%, 4/15/28(4) | 6,729 | 6,298 | |
PetsMart LLC (3 month LIBOR + 3.750%) 4.500%, 2/11/28(4) | 6,010 | 5,985 | |
18,472 | |||
Par Value | Value | ||
Service—2.0% | |||
Allied Universal Holdco LLC (1 month LIBOR + 3.750%) 4.250%, 5/12/28(4) | $ 2,622 | $ 2,578 | |
Asplundh Tree Expert, LLC 2021 (1 month LIBOR + 1.750%) 1.959%, 9/7/27(4) | 9,702 | 9,582 | |
Dun & Bradstreet Corp. (The) | |||
, Tranche B (1 month LIBOR + 3.250%) 3.697%, 2/6/26(4) | 11,189 | 11,071 | |
2022, Tranche B-2 (1 month Term SOFR + 3.250%) 3.560%, 1/18/29(4) | 1,385 | 1,371 | |
GFL Environmental, Inc. 2020 (3 month LIBOR + 3.000%) 3.500%, 5/30/25(4) | 8,261 | 8,220 | |
Hertz Corp. (The) | |||
Tranche B (1 month LIBOR + 3.250%) 3.750%, 6/30/28(4) | 5,301 | 5,253 | |
Tranche C (1 month LIBOR + 3.250%) 3.750%, 6/30/28(4) | 1,007 | 998 | |
Hoya Midco LLC 2022, First Lien (6 month Term SOFR + 3.250%) 3.750%, 2/2/29(4) | 3,654 | 3,606 | |
NAB Holdings LLC (3 month Term SOFR + 3.000%) 3.801%, 11/23/28(4) | 12,713 | 12,542 | |
Peraton Corp. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.500%, 2/1/28(4) | 7,834 | 7,768 | |
Pike Corp. 2028 (1 month LIBOR + 3.000%) 3.460%, 1/21/28(4) | 12,286 | 12,168 | |
PODS LLC (3 month LIBOR + 3.000%) 3.750%, 3/31/28(4) | 14,174 | 14,006 |
Par Value | Value | ||
Service—continued | |||
Sedgwick Claims Management Services, Inc. 2019 (1 month LIBOR + 3.750%) 4.207%, 9/3/26(4) | $ 12,808 | $ 12,708 | |
St. George’s University Scholastic Services LLC (1 month LIBOR + 3.250%) 3.750%, 2/10/29(4) | 5,330 | 5,257 | |
Trans Union LLC | |||
2021, Tranche B-6 (1 month LIBOR + 2.250%) 2.750%, 12/1/28(4) | 2,084 | 2,066 | |
Tranche B-5 (1 month LIBOR + 1.750%) 2.207%, 11/16/26(4) | 7,742 | 7,620 | |
WEX, Inc. Tranche B (1 month LIBOR + 2.250%) 2.707%, 3/31/28(4) | 4,985 | 4,918 | |
121,732 | |||
Transportation - Automotive—0.1% | |||
Clarios Global LP First Lien (1 month LIBOR + 3.250%) 3.707%, 4/30/26(4) | 5,874 | 5,794 | |
PAI Holdco, Inc. Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/28/27(4) | 1,799 | 1,778 | |
7,572 | |||
Utility—0.6% | |||
Astoria Energy LLC Tranche B (3 month LIBOR + 3.250%) 4.500%, 12/10/27(4) | 4,049 | 3,985 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 2.750%) 3.250%, 8/1/25(4) | 13,836 | 13,572 |
Par Value | Value | ||
Utility—continued | |||
Vistra Operations Co. LLC 2018 (1 month LIBOR + 1.750%) 2.191% - 2.207%, 12/31/25(4) | $ 16,646 | $ 16,461 | |
34,018 | |||
Total Leveraged Loans (Identified Cost $884,880) | 876,365 | ||
Shares | ||
Preferred Stocks—0.2% | ||
Financials—0.1% | ||
JPMorgan Chase & Co. Series HH, 4.600% | 4,159 (10) | 4,008 |
Industrials—0.1% | ||
General Electric Co. Series D, (3 month LIBOR + 3.330%), 4.156%(4) | 9,580 (10) | 9,185 |
Total Preferred Stocks (Identified Cost $13,394) | 13,193 | |
Common Stocks—0.0% | ||
Energy—0.0% | ||
Frontera Energy Corp.(11) | 148,014 | 1,710 |
Total Common Stocks (Identified Cost $2,594) | 1,710 | |
Rights—0.0% | ||
Utilities—0.0% | ||
Vistra Energy Corp.(5)(11) | 98,789 | 127 |
Total Rights (Identified Cost $84) | 127 | |
Total Long-Term Investments—97.3% (Identified Cost $6,181,283) | 5,971,372 | |
Shares | Value | ||
Short-Term Investment—2.4% | |||
Money Market Mutual Fund—2.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(12) | 148,485,030 | $ 148,485 | |
Total Short-Term Investment (Identified Cost $148,485) | 148,485 | ||
Securities Lending Collateral—0.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(12)(13) | 6,572,028 | 6,572 | |
Total Securities Lending Collateral (Identified Cost $6,572) | 6,572 | ||
TOTAL INVESTMENTS—99.8% (Identified Cost $6,336,340) | $6,126,429 | ||
Other assets and liabilities, net—0.2% | 12,847 | ||
NET ASSETS—100.0% | $6,139,276 |
Abbreviations: | |
ABS | Asset-Backed Securities |
CLO | Collateralized Loan Obligation |
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 |
SBA | Small Business Administration |
SOFR | Secured Overnight Financing Rate |
WaMu | Washington Mutual |
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 March 31, 2022, these securities amounted to a value of $3,980,663 or 64.8% of net assets. |
(4) | Variable rate security. Rate disclosed is as of March 31, 2022. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(6) | No contractual maturity date. |
(7) | All or a portion of security is on loan. |
(8) | Amount is less than $500. |
(9) | This loan will settle after March 31, 2022, at which time the interest rate will be reflected. |
(10) | Value shown as par value. |
(11) | Non-income producing. |
(12) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(13) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 90% |
Canada | 1 |
Mexico | 1 |
Netherlands | 1 |
United Kingdom | 1 |
Indonesia | 1 |
Saudi Arabia | 1 |
Other | 4 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Borrower | Par Value | Commitment | Value | Unrealized Appreciation (Depreciation) | ||||
AthenaHealth Group, Inc. 0.000%, 2/15/29(1) | $542 | $542 | $536 | $(6) |
(1) | This loan will settle after March 31, 2022, at which time the interest rate will be reflected. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $1,567,186 | $ — | $1,564,451 | $ 2,735 | |||
Corporate Bonds and Notes | 1,515,996 | — | 1,515,996 | — (1) | |||
Foreign Government Securities | 196,838 | — | 196,838 | — | |||
Leveraged Loans | 876,365 | — | 876,365 | — (1) | |||
Mortgage-Backed Securities | 1,612,945 | — | 1,594,450 | 18,495 | |||
Municipal Bond | 4,406 | — | 4,406 | — | |||
U.S. Government Securities | 182,606 | — | 182,606 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 13,193 | — | 13,193 | — | |||
Common Stocks | 1,710 | 1,710 | — | — | |||
Rights | 127 | — | — | 127 | |||
Securities Lending Collateral | 6,572 | 6,572 | — | — | |||
Money Market Mutual Fund | 148,485 | 148,485 | — | — | |||
Total Investments | $6,126,429 | $156,767 | $5,948,305 | $21,357 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Par Value | Value | ||
Corporate Bonds and Notes—3.1% | |||
Communication Services—0.7% | |||
iHeartCommunications, Inc. | |||
6.375%, 5/1/26 | $ 258 | $ 265 | |
8.375%, 5/1/27 | 467 | 483 | |
Level 3 Financing, Inc. 144A 4.250%, 7/1/28(1) | 55 | 50 | |
McGraw-Hill Education, Inc. 144A 5.750%, 8/1/28(1) | 565 | 539 | |
1,337 | |||
Consumer Discretionary—0.2% | |||
Caesars Entertainment, Inc. 144A 6.250%, 7/1/25(1) | 95 | 98 | |
MGM Growth Properties Operating Partnership LP 144A 4.625%, 6/15/25(1) | 70 | 71 | |
PetSmart, Inc. 144A 4.750%, 2/15/28(1) | 300 | 290 | |
459 | |||
Consumer Staples—0.0% | |||
Kronos Acquisition Holdings, Inc. 144A 5.000%, 12/31/26(1) | 5 | 5 | |
Financials—0.5% | |||
Acrisure LLC 144A 4.250%, 2/15/29(1) | 240 | 218 | |
Icahn Enterprises LP 4.750%, 9/15/24 | 550 | 552 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 225 | 216 | |
986 | |||
Health Care—0.2% | |||
Community Health Systems, Inc. 144A 6.125%, 4/1/30(1) | 85 | 79 | |
Legacy LifePoint Health LLC | |||
144A 6.750%, 4/15/25(1) | 10 | 10 | |
144A 4.375%, 2/15/27(1) | 260 | 251 | |
Mozart Debt Merger Sub, Inc. 144A 3.875%, 4/1/29(1) | 150 | 139 | |
479 | |||
Industrials—0.6% | |||
American Airlines, Inc. 144A 5.500%, 4/20/26(1) | 135 | 136 | |
SRS Distribution, Inc. 144A 4.625%, 7/1/28(1) | 275 | 263 |
Par Value | Value | ||
Industrials—continued | |||
TransDigm, Inc. 144A 8.000%, 12/15/25(1) | $ 435 | $ 455 | |
Vertiv Group Corp. 144A 4.125%, 11/15/28(1) | 295 | 269 | |
1,123 | |||
Information Technology—0.1% | |||
ION Trading Technologies S.a.r.l. 144A 5.750%, 5/15/28(1) | 215 | 207 | |
Materials—0.4% | |||
Ardagh Packaging Finance plc | |||
144A 4.125%, 8/15/26(1) | 590 | 568 | |
144A 5.250%, 8/15/27(1) | 200 | 185 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(1) | 95 | 100 | |
853 | |||
Real Estate—0.4% | |||
iStar, Inc. 4.250%, 8/1/25 | 875 | 861 | |
Utilities—0.0% | |||
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/49(1)(2) | 9,165 | — | |
Total Corporate Bonds and Notes (Identified Cost $6,472) | 6,310 | ||
Leveraged Loans—91.6% | |||
Aerospace—4.3% | |||
Air Canada (3 month LIBOR + 3.500%) 4.250%, 8/11/28(3) | 268 | 265 | |
Amentum Government Services Holdings LLC Tranche B (3 month Term SOFR + 4.000%) 4.500% - 4.777%, 2/15/29(3) | 460 | 455 | |
American Airlines, Inc. | |||
(3 month LIBOR + 4.750%) 5.500%, 4/20/28(3) | 390 | 395 | |
2017, Tranche B (6 month LIBOR + 2.000%) 2.840%, 12/15/23(3) | 792 | 781 | |
Brown Group Holding LLC (3 month LIBOR + 2.500%) 2.750%, 6/7/28(3) | 1,311 | 1,292 | |
Kestrel Bidco, Inc. (6 month LIBOR + 3.000%) 4.000%, 12/11/26(3) | 824 | 792 |
Par Value | Value | ||
Aerospace—continued | |||
KKR Apple Bidco LLC | |||
(1 month LIBOR + 3.000%) 3.500%, 9/22/28(3) | $ 808 | $ 796 | |
Second Lien (1 month LIBOR + 5.750%) 6.250%, 9/21/29(3) | 70 | 69 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27(3) | 1,075 | 1,114 | |
TransDigm, Inc. Tranche F (1 month LIBOR + 2.250%) 2.707%, 12/9/25(3) | 2,205 | 2,167 | |
United AirLines, Inc. Tranche B (3 month LIBOR + 3.750%) 4.500%, 4/21/28(3) | 822 | 811 | |
8,937 | |||
Chemicals—4.2% | |||
Aruba Investments Holdings LLC First Lien (6 month LIBOR + 3.750%) 4.500%, 11/24/27(3) | 540 | 532 | |
CPC Acquisition Corp. First Lien (3 month LIBOR + 3.750%) 4.756%, 12/29/27(3) | 777 | 754 | |
Diamond BC B.V. Tranche B (1 month LIBOR + 2.750%) 3.250%, 9/29/28(3) | 1,132 | 1,108 | |
Herens Holdco S.a.r.l. Tranche B (3 month LIBOR + 4.000%) 4.750%, 7/3/28(3) | 750 | 730 | |
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 2.209%, 4/1/24(3) | 2,560 | 2,512 | |
Innophos Holdings, Inc. (1 month LIBOR + 3.750%) 4.207%, 2/5/27(3) | 853 | 847 | |
Starfruit Finco B.V. (3 month LIBOR + 3.000%) 3.209% - 4.000%, 10/1/25(3) | 1,802 | 1,773 | |
WR Grace Holdings LLC (3 month LIBOR + 3.750%) 4.813%, 9/22/28(3) | 369 | 365 | |
8,621 | |||
Par Value | Value | ||
Consumer Durables—1.4% | |||
Plantronics, Inc. Tranche B (3 month LIBOR + 2.500%) 2.957%, 7/2/25(3) | $ 918 | $ 909 | |
Restoration Hardware, Inc. (1 month LIBOR + 2.500%) 3.000%, 10/20/28(3) | 373 | 366 | |
Serta Simmons Bedding LLC First Lien (3 month LIBOR + 3.500%) 4.500%, 11/8/23(3) | 668 | 400 | |
Zodiac Pool Solutions LLC Tranche B (1 month Term SOFR + 2.000%) 2.500%, 1/29/29(3) | 1,227 | 1,216 | |
2,891 | |||
Consumer Non-Durables—1.7% | |||
DS Parent, Inc. Tranche B (3 month LIBOR + 5.750%) 6.756%, 12/8/28(3) | 740 | 718 | |
Kronos Acquisition Holdings, Inc. Tranche B-1 (3 month LIBOR + 3.750%) 4.250%, 12/22/26(3) | 1,140 | 1,059 | |
Parfums Holding Co., Inc. First Lien (1 month LIBOR + 4.000%) 0.000%, 6/30/24(3)(4) | 1,055 | 1,042 | |
ZEP, Inc. First Lien (12 month LIBOR + 4.000%) 5.000%, 8/12/24(3) | 659 | 626 | |
3,445 | |||
Energy—2.9% | |||
Citgo Holding, Inc. (1 month LIBOR + 7.000%) 8.000%, 8/1/23(3) | 307 | 303 | |
Citgo Petroleum Corp. 2019, Tranche B (1 month LIBOR + 6.250%) 7.250%, 3/28/24(3) | 667 | 663 | |
Freeport LNG Investments LLLP Tranche B (3 month LIBOR + 3.500%) 4.000%, 12/21/28(3) | 1,080 | 1,071 | |
Hamilton Projects Acquiror LLC (3 month LIBOR + 4.500%) 5.506%, 6/17/27(3) | 826 | 809 |
Par Value | Value | ||
Energy—continued | |||
Lucid Energy Group II Borrower LLC First Lien (3 month LIBOR + 4.250%) 0.000%, 11/24/28(3)(4) | $ 848 | $ 840 | |
Medallion Midland Acquisition LP (1 month LIBOR + 3.750%) 4.500%, 10/18/28(3) | 848 | 838 | |
Oryx Midstream Services Permian Basin LLC Tranche B (3 month LIBOR + 3.250%) 3.750%, 10/5/28(3) | 728 | 722 | |
Paragon Offshore Finance Co. (3 month PRIME + 3.250%) 3.250%, 7/16/21(2)(3)(5) | 11 | — | |
Traverse Midstream Partners LLC (3 month Term SOFR + 4.250%) 5.250%, 9/27/24(3) | 834 | 829 | |
6,075 | |||
Financial—3.7% | |||
Acrisure LLC 2020, Tranche B (1 month LIBOR + 3.500%) 3.957%, 2/15/27(3) | 1,243 | 1,223 | |
Asurion LLC | |||
Tranche B-3, Second Lien (1 month LIBOR + 5.250%) 5.707%, 1/31/28(3) | 425 | 416 | |
Tranche B-4 (1 month LIBOR + 5.250%) 5.707%, 1/20/29(3) | 420 | 410 | |
Tranche B-8 (1 month LIBOR + 3.500%) 3.707%, 12/23/26(3) | 932 | 910 | |
Tranche B-9 (1 month LIBOR + 3.250%) 3.707%, 7/31/27(3) | 757 | 741 | |
Blackhawk Network Holdings, Inc. First Lien (1 month LIBOR + 3.000%) 3.457%, 6/15/25(3) | 1,154 | 1,131 | |
Citadel Securities LP 2021 (1 month Term SOFR + 2.500%) 2.927%, 2/2/28(3) | 1,524 | 1,514 | |
Deerfield Dakota Holding LLC First Lien (1 month LIBOR + 3.750%) 4.750%, 4/9/27(3) | 1,184 | 1,177 | |
7,522 | |||
Par Value | Value | ||
Food / Tobacco—3.5% | |||
Aramark Services, Inc. Tranche B-5 (1 month LIBOR + 2.500%) 2.957%, 4/6/28(3) | $ 960 | $ 946 | |
Arterra Wines Canada, Inc. Tranche B-1 (3 month LIBOR + 3.500%) 4.506%, 11/24/27(3) | 612 | 605 | |
Froneri U.S., Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.707%, 1/29/27(3) | 929 | 910 | |
H-Food Holdings LLC (1 month LIBOR + 3.688%) 4.145%, 5/23/25(3) | 1,572 | 1,511 | |
Shearer’s Foods LLC First Lien (1 month LIBOR + 3.500%) 4.250%, 9/23/27(3) | 1,366 | 1,324 | |
Sigma Bidco B.V. Tranche B-2 (6 month LIBOR + 3.000%) 3.345%, 7/2/25(3) | 1,346 | 1,219 | |
Triton Water Holdings, Inc. First Lien (3 month LIBOR + 3.500%) 4.506%, 3/31/28(3) | 680 | 662 | |
7,177 | |||
Forest Prod / Containers—4.2% | |||
Anchor Glass Container Corp. | |||
2017 (3 month LIBOR + 2.750%) 3.750%, 12/7/23(3) | 717 | 607 | |
2020 (3 month LIBOR + 5.000%) 6.006%, 12/7/23(3) | 383 | 321 | |
Berlin Packaging LLC Tranche B-5 (1 month LIBOR + 3.750%) 4.250%, 3/13/28(3) | 1,047 | 1,036 | |
BWay Holding Co. (3 month LIBOR + 3.250%) 3.481%, 4/3/24(3) | 1,562 | 1,538 | |
Clydesdale Acquisition Holdings, Inc. (3 month LIBOR + 4.250%) 0.000%, 3/30/29(3)(4) | 590 | 580 | |
Klockner Pentaplast of America, Inc. Tranche B (6 month LIBOR + 4.750%) 5.554%, 2/12/26(3) | 1,203 | 1,092 | |
Spectrum Holdings III Corp. First Lien (6 month LIBOR + 3.250%) 4.250%, 1/31/25(3) | 1,127 | 1,081 |
Par Value | Value | ||
Forest Prod / Containers—continued | |||
TricorBraun, Inc. (1 month LIBOR + 3.250%) 3.750%, 3/3/28(3) | $ 1,034 | $ 1,007 | |
Trident TPI Holdings, Inc. | |||
Tranche B-1 (3 month LIBOR + 3.250%) 4.256%, 10/17/24(3) | 1,034 | 1,021 | |
Tranche B-3 (1 month LIBOR + 4.000%) 4.500%, 9/15/28(3) | 353 | 348 | |
Tranche B-3 (3 month LIBOR + 4.000%) 4.500%, 9/15/28(3) | 32 | 31 | |
8,662 | |||
Gaming / Leisure—6.4% | |||
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 3.207%, 12/23/24(3) | 1,979 | 1,966 | |
Carnival Corp. | |||
2021, Tranche B (3 month LIBOR + 3.250%) 4.000%, 10/18/28(3) | 785 | 766 | |
Tranche B (3 month LIBOR + 3.000%) 3.750%, 6/30/25(3) | 611 | 594 | |
ECL Entertainment LLC Tranche B (3 month LIBOR + 7.500%) 8.250%, 5/1/28(3) | 174 | 174 | |
Fertitta Entertainment LLC Tranche B (1 month Term SOFR + 4.000%) 4.500%, 1/26/29(3) | 1,117 | 1,110 | |
J&J Ventures Gaming LLC (1 month LIBOR + 4.000%) 4.750%, 4/26/28(3) | 886 | 876 | |
Landry’s Finance Acquisition Co. 2020 (1 month LIBOR + 12.000%) 13.000%, 10/4/23(3) | 30 | 32 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24(3) | 2,231 | 2,176 | |
Pug LLC | |||
Tranche B (1 month LIBOR + 3.500%) 3.957%, 2/12/27(3) | 1,089 | 1,066 | |
Tranche B-2 (1 month LIBOR + 4.250%) 4.750%, 2/12/27(3) | 308 | 306 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
Raptor Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 4.934%, 11/1/26(3) | $ 264 | $ 263 | |
Scientific Games Holdings LP Tranche B-2 (3 month LIBOR + 3.500%) 0.000%, 4/4/29(3)(4) | 280 | 277 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 3.207%, 8/14/24(3) | 1,969 | 1,960 | |
UFC Holdings LLC Tranche B-3 (6 month LIBOR + 2.750%) 3.500%, 4/29/26(3) | 1,641 | 1,623 | |
13,189 | |||
Health Care—12.4% | |||
Agiliti Health, Inc. | |||
(1 month LIBOR + 2.750%) 3.000%, 1/4/26(3) | 164 | 163 | |
(1 month LIBOR + 2.750%) 3.500%, 1/4/26(3) | 268 | 267 | |
ASP Navigate Acquisition Corp. (3 month LIBOR + 4.500%) 5.500%, 10/6/27(3) | 434 | 426 | |
AthenaHealth Group, Inc. (1 month Term SOFR +3.500%) 4.000%, 2/15/29(3) | 522 | 516 | |
Azalea Topco, Inc. First Lien (3 month LIBOR + 3.500%) 3.799%, 7/24/26(3) | 600 | 591 | |
Azalea TopCo, Inc. 2021 (3 month LIBOR + 3.750%) 4.500%, 7/24/26(3) | 387 | 383 | |
Bausch Health Cos., Inc. | |||
(1 month LIBOR + 2.750%) 3.207%, 11/27/25(3) | 387 | 383 | |
(1 month LIBOR + 3.000%) 3.457%, 6/2/25(3) | 1,026 | 1,016 | |
Change Healthcare Holdings LLC (1 month LIBOR + 2.500%) 0.000%, 3/1/24(3)(4) | 1,050 | 1,043 | |
Endo Luxembourg Finance Co. I S.a.r.l 2021 (1 month LIBOR + 5.000%) 5.750%, 3/27/28(3) | 531 | 496 |
Par Value | Value | ||
Health Care—continued | |||
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 4.207%, 10/10/25(3) | $ 1,174 | $ 777 | |
eResearchTechnology, Inc. First Lien (3 month LIBOR + 4.500%) 5.500%, 2/4/27(3) | 929 | 924 | |
Gainwell Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 5.006%, 10/1/27(3) | 1,077 | 1,074 | |
Heartland Dental LLC | |||
(1 month LIBOR + 3.500%) 3.957%, 4/30/25(3) | 761 | 751 | |
2021 (1 month LIBOR + 4.000%) 4.447%, 4/30/25(3) | 293 | 290 | |
Hunter Holdco 3 Ltd. First Lien (3 month LIBOR + 4.250%) 4.750%, 8/19/28(3) | 512 | 509 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.197%, 11/16/25(3) | 1,337 | 1,328 | |
LSCS Holdings, Inc. (1 month LIBOR + 4.500%) 5.000%, 12/16/28(3) | 963 | 950 | |
Medline Borrower LP (1 month LIBOR + 3.250%) 3.750%, 10/23/28(3) | 835 | 826 | |
One Call Corp. Tranche B, First Lien (3 month LIBOR + 5.500%) 6.250%, 4/22/27(3) | 1,424 | 1,317 | |
Packaging Coordinators Midco, Inc. Tranche B, First Lien (3 month LIBOR + 3.750%) 4.756%, 11/30/27(3) | 1,121 | 1,114 | |
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 3.207%, 2/14/25(3) | 1,519 | 1,498 | |
Phoenix Guarantor, Inc. | |||
Tranche B-1 (1 month LIBOR + 3.250%) 3.459%, 3/5/26(3) | 301 | 298 | |
Tranche B-3 (1 month LIBOR + 3.500%) 3.947%, 3/5/26(3) | 1,009 | 997 | |
Phoenix Newco, Inc. First Lien (1 month LIBOR + 3.500%) 4.000%, 11/15/28(3) | 480 | 476 |
Par Value | Value | ||
Health Care—continued | |||
Pluto Acquisition I, Inc. 2021, First Lien (3 month LIBOR + 4.000%) 4.209%, 6/22/26(3) | $ 645 | $ 635 | |
Precision Medicine Group LLC (3 month LIBOR + 3.000%) 4.006%, 11/18/27(3) | 705 | 690 | |
Select Medical Corp. Tranche B (1 month LIBOR + 2.250%) 2.460%, 3/6/25(3) | 633 | 624 | |
Southern Veterinary Partners LLC First Lien (6 month LIBOR + 4.000%) 5.000%, 10/5/27(3) | 1,242 | 1,231 | |
Sunshine Luxembourg VII S.a.r.l. Tranche B-3 (3 month LIBOR + 3.750%) 4.756%, 10/1/26(3) | 530 | 526 | |
Surgery Center Holdings, Inc. 2021 (1 month LIBOR + 3.750%) 4.500%, 8/31/26(3) | 1,471 | 1,458 | |
Team Health Holdings, Inc. (1 month Term SOFR + 5.250%) 6.250%, 3/2/27(3) | 401 | 381 | |
Upstream Newco, Inc. 2021 (1 month Term SOFR + 4.250%) 4.677%, 11/20/26(3) | 264 | 262 | |
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 4.207%, 7/2/25(3) | 1,408 | 1,322 | |
25,542 | |||
Housing—3.1% | |||
American Builders & Contractors Supply Co., Inc. (1 month LIBOR + 2.000%) 2.209%, 1/15/27(3) | 1,280 | 1,262 | |
Chariot Buyer LLC (3 month LIBOR + 3.500%) 4.506%, 11/3/28(3) | 918 | 905 | |
CPG International LLC (3 month LIBOR + 2.500%) 0.000%, 5/6/24(3)(4) | 1,000 | 991 | |
Icebox Holdco III, Inc. (3 month LIBOR + 3.750%) 4.756%, 12/22/28(3) | 183 | 180 | |
LBM Acquisition LLC First Lien (1 month LIBOR + 3.750%) 4.500%, 12/17/27(3) | 1,077 | 1,049 |
Par Value | Value | ||
Housing—continued | |||
Quikrete Holdings, Inc. Tranche B-1 (3 month LIBOR + 3.000%) 0.000%, 6/9/28(3)(4) | $ 1,430 | $ 1,402 | |
SRS Distribution, Inc. | |||
2021 (3 month LIBOR + 3.500%) 4.019%, 6/2/28(3) | 552 | 545 | |
2022 (3 month Term SOFR + 3.500%) 4.000%, 6/2/28(3) | 75 | 74 | |
6,408 | |||
Information Technology—11.3% | |||
Applied Systems, Inc. | |||
First Lien (3 month LIBOR + 3.000%) 0.000%, 9/19/24(3)(4) | 1,507 | 1,496 | |
Second Lien (3 month LIBOR + 5.500%) 6.506%, 9/19/25(3) | 747 | 742 | |
Barracuda Networks, Inc. First Lien (3 month LIBOR + 3.750%) 4.733%, 2/12/25(3) | 629 | 626 | |
BMC Software | |||
2021 (3 month LIBOR + 3.750%) 4.756%, 10/2/25(3) | 1,818 | 1,806 | |
Second Lien (1 month LIBOR + 5.500%) 6.000%, 2/27/26(3) | 365 | 361 | |
CCC Intelligent Solutions, Inc. (3 month LIBOR + 2.250%) 3.256%, 9/21/28(3) | 1,117 | 1,105 | |
ConnectWise LLC (1 month LIBOR + 3.500%) 4.000%, 9/29/28(3) | 843 | 836 | |
Epicor Software Corp. Tranche C (1 month LIBOR + 3.250%) 4.000%, 7/30/27(3) | 975 | 966 | |
Greeneden U.S. Holdings II LLC Tranche B-4 (1 month LIBOR + 4.000%) 4.750% - 4.983%, 12/1/27(3) | 703 | 701 | |
Hyland Software, Inc. 2018 (1 month LIBOR + 3.500%) 4.250%, 7/1/24(3) | 1,190 | 1,182 | |
Infinite Bidco LLC | |||
First Lien (3 month LIBOR + 3.750%) 4.250%, 3/2/28(3) | 834 | 819 | |
Second Lien (3 month LIBOR + 7.000%) 7.508%, 3/2/29(3) | 290 | 285 |
Par Value | Value | ||
Information Technology—continued | |||
Ion Trading Finance Ltd. (1 month LIBOR + 4.750%) 5.207%, 4/1/28(3) | $ 213 | $ 211 | |
Magenta Buyer LLC First Lien (3 month LIBOR + 5.000%) 5.750%, 7/27/28(3) | 524 | 519 | |
Project Ruby Ultimate Parent Corp. First Lien (1 month LIBOR + 3.250%) 4.000%, 3/10/28(3) | 599 | 592 | |
Proofpoint, Inc. (3 month LIBOR + 3.250%) 3.758%, 8/31/28(3) | 1,172 | 1,158 | |
Quest Software U.S. Holdings, Inc. First Lien (3 month Term SOFR + 4.250%) 4.750%, 2/1/29(3) | 705 | 693 | |
RealPage, Inc. First Lien (1 month LIBOR + 3.250%) 3.750%, 4/24/28(3) | 1,428 | 1,410 | |
Rocket Software, Inc. 2021 (1 month LIBOR + 4.250%) 4.750%, 11/28/25(3) | 1,142 | 1,125 | |
Sophia LP | |||
Tranche B (3 month LIBOR + 3.250%) 3.474%, 10/7/27(3) | 973 | 962 | |
Tranche B (3 month LIBOR + 4.250%) 0.000%, 10/7/27(3)(4) | 360 | 356 | |
Tenable, Inc. (3 month LIBOR + 2.750%) 3.269%, 7/7/28(3) | 733 | 724 | |
Uber Technologies, Inc. 2021 (1 month LIBOR + 3.500%) 3.957%, 2/25/27(3) | 1,542 | 1,534 | |
UKG, Inc. | |||
2021, Second Lien (3 month LIBOR + 5.250%) 5.750%, 5/3/27(3) | 55 | 55 | |
2021-2, First Lien (3 month LIBOR + 3.250%) 3.750%, 5/4/26(3) | 2,068 | 2,049 | |
Veritas U.S., Inc. 2021, Tranche B (3 month LIBOR + 5.000%) 6.000%, 9/1/25(3) | — (6) | — (6) | |
Vertiv Group Corp. Tranche B (1 month LIBOR + 2.750%) 2.991%, 3/2/27(3) | 1,039 | 1,012 | |
23,325 | |||
Par Value | Value | ||
Manufacturing—7.0% | |||
Alliance Laundry Systems LLC Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/8/27(3) | $ 977 | $ 966 | |
Apex Group Treasury LLC (3 month LIBOR + 3.750%) 4.756%, 7/27/28(3) | 620 | 615 | |
Arcline FM Holdings LLC | |||
First Lien (6 month LIBOR + 4.750%) 5.500%, 6/23/28(3) | 955 | 941 | |
Second Lien (6 month LIBOR + 8.250%) 9.000%, 6/25/29(3) | 400 | 394 | |
Backyard Acquireco, Inc. (3 month LIBOR + 3.750%) 4.756%, 11/2/27(3) | 889 | 883 | |
Circor International, Inc. (1 month LIBOR + 4.500%) 5.000%, 12/20/28(3) | 1,060 | 1,030 | |
Filtration Group Corp. | |||
(1 month LIBOR + 3.000%) 3.209%, 3/31/25(3) | 1,478 | 1,455 | |
2021 (1 month LIBOR + 3.500%) 4.000%, 10/21/28(3) | 358 | 354 | |
Gates Global LLC Tranche B-3 (1 month LIBOR + 2.500%) 3.250%, 3/31/27(3) | 1,553 | 1,529 | |
NCR Corp. (3 month LIBOR + 2.500%) 2.800%, 8/28/26(3) | 1,390 | 1,370 | |
Ozark Holdings LLC 2020 (1 month LIBOR + 3.750%) 4.250%, 12/16/27(3) | 152 | 150 | |
Safe Fleet Holdings LLC 2022 (3 month Term SOFR + 3.750%) 4.271%, 2/23/29(3) | 730 | 718 | |
Star U.S. Bidco LLC (3 month LIBOR + 4.250%) 5.250%, 3/17/27(3) | 943 | 931 | |
Tenneco, Inc. Tranche B (1 month LIBOR + 3.000%) 3.457%, 10/1/25(3) | 1,256 | 1,238 | |
Titan Acquisition Ltd. (3 month LIBOR + 3.000%) 3.354%, 3/28/25(3) | 1,072 | 1,047 | |
Truck Hero, Inc. (1 month LIBOR + 3.250%) 4.000%, 1/31/28(3) | 770 | 745 | |
14,366 | |||
Par Value | Value | ||
Media / Telecom - Broadcasting—1.1% | |||
iHeartCommunications, Inc. (1 month LIBOR + 3.000%) 3.457%, 5/1/26(3) | $ 1,264 | $ 1,255 | |
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 2.731%, 9/18/26(3) | 1,119 | 1,113 | |
2,368 | |||
Media / Telecom - Cable/Wireless Video—1.4% | |||
CSC Holdings LLC 2017 (1 month LIBOR + 2.250%) 2.647%, 7/17/25(3) | 1,576 | 1,548 | |
DIRECTV Financing LLC (1 month LIBOR + 5.000%) 5.750%, 8/2/27(3) | 743 | 741 | |
Virgin Media Bristol LLC Tranche N (3 month LIBOR + 2.500%) 2.897%, 1/31/28(3) | 620 | 611 | |
2,900 | |||
Media / Telecom - Diversified Media—2.5% | |||
Cinemark USA, Inc. (3 month LIBOR + 1.750%) 0.000%, 3/31/25(3)(4) | 1,044 | 1,013 | |
Clear Channel Outdoor Holdings, Inc. Tranche B (3 month LIBOR + 3.500%) 3.799%, 8/21/26(3) | 852 | 837 | |
Dotdash Meredith, Inc. Tranche B (1 month Term SOFR + 4.000%) 4.500%, 12/1/28(3) | 963 | 960 | |
McGraw-Hill Education, Inc. (3 month LIBOR + 4.750%) 5.250%, 7/28/28(3) | 1,298 | 1,283 | |
William Morris Endeavor Entertainment LLC Tranche B-1 (1 month LIBOR + 2.750%) 2.960% - 3.210%, 5/18/25(3) | 1,144 | 1,123 | |
5,216 | |||
Media / Telecom - Telecommunications—2.9% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.707%, 3/15/27(3) | 884 | 859 | |
Consolidated Communications, Inc. Tranche B-1 (1 month LIBOR + 3.500%) 4.250%, 10/2/27(3) | 646 | 603 |
Par Value | Value | ||
Media / Telecom - Telecommunications—continued | |||
Level 3 Financing, Inc. 2027, Tranche B (1 month LIBOR + 1.750%) 2.207%, 3/1/27(3) | $ 1,324 | $ 1,298 | |
Numericable U.S. LLC | |||
Tranche B-11 (3 month LIBOR + 2.750%) 3.049%, 7/31/25(3) | 968 | 944 | |
Tranche B-12 (3 month LIBOR + 3.688%) 3.927%, 1/31/26(3) | 529 | 516 | |
Tranche B-13 (3 month LIBOR + 4.000%) 4.506%, 8/14/26(3) | 629 | 617 | |
Securus Technologies Holdings, Inc. First Lien (3 month LIBOR + 4.500%) 5.506%, 11/1/24(3) | 389 | 370 | |
West Corp. | |||
Tranche B (3 month LIBOR + 3.500%) 4.500% - 5.000%, 10/10/24(3) | 435 | 396 | |
Tranche B-1 (3 month LIBOR + 3.500%) 4.500%, 10/10/24(3) | 395 | 356 | |
5,959 | |||
Metals / Minerals—0.2% | |||
Covia Holdings LLC (3 month LIBOR + 4.000%) 5.000%, 7/31/26(3) | 491 | 481 | |
Retail—2.7% | |||
CNT Holdings I Corp. First Lien (3 month LIBOR + 3.500%) 4.250%, 11/8/27(3) | 1,027 | 1,020 | |
Great Outdoors Group LLC Tranche B-2 (1 month LIBOR + 3.750%) 4.500%, 3/6/28(3) | 1,501 | 1,494 | |
Harbor Freight Tools USA, Inc. 2021 (1 month LIBOR + 2.750%) 3.250%, 10/19/27(3) | 1,158 | 1,132 | |
Isagenix International LLC (3 month LIBOR + 5.750%) 6.750%, 6/14/25(3) | 514 | 323 | |
Michaels Cos., Inc. (The) Tranche B (3 month LIBOR + 4.250%) 5.256%, 4/15/28(3) | 789 | 739 | |
PetsMart LLC (3 month LIBOR + 3.750%) 4.500%, 2/11/28(3) | 389 | 387 |
Par Value | Value | ||
Retail—continued | |||
Rising Tide Holdings, Inc. First Lien (1 month LIBOR + 4.750%) 5.500%, 6/1/28(3) | $ 576 | $ 556 | |
5,651 | |||
Service—10.1% | |||
AIT Worldwide Logistics, Inc. First Lien (3 month LIBOR + 4.750%) 5.500%, 4/6/28(3) | 746 | 739 | |
AlixPartners LLP (1 month LIBOR + 2.750%) 3.250%, 2/4/28(3) | 1,137 | 1,118 | |
Allied Universal Holdco LLC (1 month LIBOR + 3.750%) 4.250%, 5/12/28(3) | 567 | 558 | |
Carlisle Foodservice Products, Inc. First Lien (6 month LIBOR + 3.000%) 4.000%, 3/20/25(3) | 1,041 | 999 | |
DG Investment Intermediate Holdings 2, Inc. First Lien (1 month LIBOR + 3.500%) 4.250%, 3/31/28(3) | 670 | 662 | |
Dun & Bradstreet Corp. (The) | |||
, Tranche B (1 month LIBOR + 3.250%) 3.697%, 2/6/26(3) | 1,409 | 1,394 | |
2022, Tranche B-2 (1 month Term SOFR + 3.250%) 3.560%, 1/18/29(3) | 135 | 134 | |
DXP Enterprises, Inc. (1 month LIBOR + 4.750%) 5.750%, 12/23/27(3) | 336 | 332 | |
Garda World Security Corp. Tranche B-2 (1 month LIBOR + 4.250%) 4.710%, 10/30/26(3) | 740 | 730 | |
Grab Holdings, Inc. (6 month LIBOR + 4.500%) 5.500%, 1/29/26(3) | 1,262 | 1,231 | |
Hertz Corp. (The) | |||
Tranche B (1 month LIBOR + 3.250%) 3.750%, 6/30/28(3) | 468 | 464 | |
Tranche C (1 month LIBOR + 3.250%) 3.750%, 6/30/28(3) | 89 | 88 | |
NAB Holdings LLC (3 month Term SOFR + 3.000%) 3.801%, 11/23/28(3) | 1,541 | 1,520 | |
Peraton Corp. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.500%, 2/1/28(3) | 1,225 | 1,215 |
Par Value | Value | ||
Service—continued | |||
Pike Corp. 2028 (1 month LIBOR + 3.000%) 3.460%, 1/21/28(3) | $ 941 | $ 932 | |
PODS LLC (3 month LIBOR + 3.000%) 3.750%, 3/31/28(3) | 1,477 | 1,459 | |
Sedgwick Claims Management Services, Inc. (1 month LIBOR + 3.250%) 3.459%, 12/31/25(3) | 2,069 | 2,046 | |
St. George’s University Scholastic Services LLC (1 month LIBOR + 3.250%) 3.750%, 2/10/29(3) | 2,115 | 2,086 | |
Sweetwater Borrower LLC (1 month LIBOR + 4.750%) 5.500%, 8/7/28(3) | 732 | 723 | |
TTF Holdings LLC (1 month LIBOR + 4.250%) 5.250%, 3/31/28(3) | 490 | 488 | |
Weld North Education LLC 2021 (1 month LIBOR + 3.750%) 4.250%, 12/21/27(3) | 1,029 | 1,019 | |
WEX, Inc. Tranche B (1 month LIBOR + 2.250%) 2.707%, 3/31/28(3) | 797 | 786 | |
20,723 | |||
Transportation - Automotive—2.0% | |||
Clarios Global LP First Lien (1 month LIBOR + 3.250%) 3.707%, 4/30/26(3) | 812 | 801 | |
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23(3) | 944 | 871 | |
DexKo Global, Inc. | |||
(3 month LIBOR + 3.750%) 4.756%, 10/4/28(3) | 105 | 103 | |
First Lien (3 month LIBOR + 3.750%) 4.717%, 10/4/28(3) | 545 | 533 | |
Mavis Tire Express Services Topco Corp. First Lien (1 month LIBOR + 4.000%) 4.750%, 5/4/28(3) | 968 | 960 | |
PAI Holdco, Inc. Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/28/27(3) | 791 | 782 | |
4,050 | |||
Par Value | Value | ||
Transportation - Land Transportation—0.2% | |||
LaserShip, Inc. First Lien (6 month LIBOR + 4.500%) 5.250%, 5/8/28(3) | $ 373 | $ 371 | |
Utility—2.4% | |||
Astoria Energy LLC Tranche B (3 month LIBOR + 3.500%) 4.500%, 12/10/27(3) | 501 | 494 | |
Brookfield WEC Holdings, Inc. (1 month LIBOR + 2.750%) 3.250%, 8/1/25(3) | 1,898 | 1,861 | |
Calpine Construction Finance Co. LP Tranche B (1 month LIBOR + 2.000%) 2.457%, 1/15/25(3) | 642 | 630 | |
Calpine Corp. Tranche B-10 (1 month LIBOR + 2.000%) 2.457%, 8/12/26(3) | 441 | 434 | |
Generation Bridge II LLC | |||
Tranche B (3 month LIBOR + 5.000%) 6.006%, 2/23/29(3) | 289 | 288 | |
Tranche C (3 month LIBOR + 5.000%) 6.006%, 2/23/29(3) | 36 | 35 | |
Lightstone HoldCo LLC | |||
2018, Tranche B (3 month LIBOR + 3.750%) 4.750%, 1/30/24(3) | 1,298 | 1,169 | |
2018, Tranche C (3 month LIBOR + 3.750%) 4.750%, 1/30/24(3) | 73 | 66 | |
4,977 | |||
Total Leveraged Loans (Identified Cost $191,886) | 188,856 | ||
Shares | ||
Common Stocks—1.1% | ||
Communication Services—0.1% | ||
iHeartMedia, Inc. Class A(7) | 11,099 | 210 |
Consumer Discretionary—0.5% | ||
Libbey Glass, Inc. | 40,573 | 480 |
NMG Parent LLC(7) | 3,033 | 507 |
987 | ||
Energy—0.2% | ||
QuarterNorth Energy Holding, Inc.(7) | 3,207 | 433 |
Shares | Value | ||
Materials—0.3% | |||
Covia Holdings LLC | 48,743 | $ 597 | |
Total Common Stocks (Identified Cost $1,035) | 2,227 | ||
Rights—0.1% | |||
Utilities—0.1% | |||
Vistra Energy Corp.(2)(7) | 152,810 | 197 | |
Total Rights (Identified Cost $130) | 197 | ||
Total Long-Term Investments—95.9% (Identified Cost $199,523) | 197,590 | ||
Short-Term Investment—8.0% | |||
Money Market Mutual Fund—8.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(8) | 16,570,831 | 16,571 | |
Total Short-Term Investment (Identified Cost $16,571) | 16,571 | ||
TOTAL INVESTMENTS—103.9% (Identified Cost $216,094) | $214,161 | ||
Other assets and liabilities, net—(3.9)% | (8,087) | ||
NET ASSETS—100.0% | $206,074 |
Abbreviations: | |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LLP | Limited Liability Partnership |
LP | Limited Partnership |
SOFR | Secured Overnight Financing Rate |
Footnote Legend: | |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities amounted to a value of $4,149 or 2.0% of net assets. |
(2) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(3) | Variable rate security. Rate disclosed is as of March 31, 2022. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(4) | This loan will settle after March 31, 2022, at which time the interest rate will be reflected. |
(5) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(6) | Amount is less than $500. |
(7) | Non-income producing. |
(8) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 93% |
Canada | 2 |
Netherlands | 1 |
France | 1 |
Panama | 1 |
Singapore | 1 |
Luxembourg | 1 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Borrower | Par Value | Commitment | Value | Unrealized Appreciation (Depreciation) | ||||
AthenaHealth Group, Inc. 0.000%, 2/15/29(1) | $ 88 | $ 88 | $ 87 | $ (1) | ||||
Icebox Holdco III, Inc., (3 month LIBOR + 0.500%) 0.500%, 12/22/28 | 38 | 38 | 37 | (1) | ||||
Precision Medicine Group LLC, (3 month LIBOR + 3.750%) 3.750%, 11/18/27 | 76 | 76 | 74 | (2) | ||||
Trident TPI Holdings, Inc., (3 month LIBOR + 4.000%) 4.500%, 9/15/28 | 19 | 19 | 19 | — (2) | ||||
Total | $221 | $221 | $217 | $ (4) |
(1) | This loan will settle after March 31, 2022, at which time the interest rate will be reflected. |
(2) | Amount is less than $500. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Corporate Bonds and Notes | $ 6,310 | $ — | $ 6,310 | $ —(1) | |||
Leveraged Loans | 188,856 | — | 188,856 | — (1) | |||
Equity Securities: | |||||||
Rights | 197 | — | — | 197 | |||
Common Stocks | 2,227 | 210 | 2,017 | — | |||
Money Market Mutual Fund | 16,571 | 16,571 | — | — | |||
Total Investments | $214,161 | $16,781 | $197,183 | $197 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Par Value | Value | ||
Municipal Bonds(1)—98.6% | |||
Alabama—1.0% | |||
Black Belt Energy Gas District, Natural Gas Purchase Revenue, Mandatory Put 12/1/23, 4.000%, 12/1/48(2) | $ 910 | $ 933 | |
Arizona—5.4% | |||
Arizona Board of Regents, Arizona State University System Revenue, | |||
5.000%, 7/1/36 | 1,000 | 1,111 | |
5.000%, 7/1/37 | 360 | 400 | |
Arizona Department of Transportation, State Highway Fund Revenue, 5.000%, 7/1/36 | 500 | 554 | |
Arizona State Health Facilities Authority, Scottsdale Lincoln Hospital Revenue, 5.000%, 12/1/24 | 565 | 609 | |
Northern Arizona University, Stimular Plan for Economic and Educational Development Revenue, | |||
5.000%, 8/1/24 | 1,115 | 1,155 | |
5.000%, 8/1/25 | 1,000 | 1,035 | |
4,864 | |||
Arkansas—0.6% | |||
University of Arkansas, Facility Revenue, 5.000%, 11/1/33 | 505 | 565 | |
California—2.8% | |||
California Municipal Finance Authority, Bowles Hall Foundation Revenue, | |||
4.500%, 6/1/23 | 225 | 232 | |
4.500%, 6/1/24 | 150 | 158 | |
California State Health Facilities Financing Authority, Providence St. Joseph Health, 4.000%, 10/1/36 | 275 | 292 | |
California State Municipal Finance Authority, Community Medical Centers, (Pre-Refunded 2/1/25 @ 100) 5.000%, 2/1/27 | 400 | 433 |
Par Value | Value | ||
California—continued | |||
Golden State Tobacco Securitization Corp., Tobacco Settlement Revenue, (Pre-Refunded 6/1/22 @ 100) 5.000%, 6/1/47 | $ 145 | $ 146 | |
Inglewood Redevelopment Agency Successor Agency, Subordinate Lien Merged Redevelopment Project, Tax Allocation Revenue, (BAM Insured) 5.000%, 5/1/32 | 545 | 616 | |
Santa Clarita Community College District, General Obligation, 3.000%, 8/1/44 | 500 | 470 | |
Temecula Valley Unified School District Financing Authority, Special Tax Revenue, (BAM Insured) 5.000%, 9/1/25 | 175 | 189 | |
2,536 | |||
Colorado—6.0% | |||
Denver Convention Center Hotel Authority Revenue, Senior Lien, 5.000%, 12/1/27 | 400 | 440 | |
Public Authority For Colorado Energy, Natural Gas Purchase Revenue, | |||
6.125%, 11/15/23 | 970 | 1,014 | |
6.250%, 11/15/28 | 2,250 | 2,607 | |
Regional Transportation District, Sales Tax Revenue, Fastracks Project, 5.000%, 11/1/32 | 1,195 | 1,340 | |
5,401 | |||
Connecticut—3.1% | |||
Connecticut Housing Finance Authority, Mortgage Revenue, (GNMA / FNMA / FHLMC Insured) 3.200%, 11/15/33 | 390 | 388 | |
Connecticut State Health & Educational Facilities Authority Revenue, 4.000%, 7/1/40 | 725 | 760 | |
Connecticut State Higher Education Supplement Loan Authority, Chesla Loan Program Revenue, 3.000%, 11/15/35 | 200 | 188 |
Par Value | Value | ||
Connecticut—continued | |||
Connecticut, State of, | |||
General Obligation, 5.000%, 9/15/34 | $ 750 | $ 857 | |
Special Tax Revenue, 3.125%, 5/1/40 | 610 | 584 | |
2,777 | |||
District of Columbia—5.3% | |||
Metropolitan Washington Airports Authority, Dulles Toll Road Revenue, Second Lien, (AGC Insured) (Pre-Refunded 10/1/26 @ 100) 6.500%, 10/1/41 | 4,030 | 4,808 | |
Florida—13.9% | |||
Brevard County School Board, Certificates of Participation, 5.000%, 7/1/32 | 1,000 | 1,129 | |
Broward County School Board, Certificates of Participation, 5.000%, 7/1/32 | 300 | 331 | |
Central Florida Expressway Authority, Senior Lien Toll Revenue, 4.000%, 7/1/30 | 230 | 246 | |
Florida, State of, General Obligation, 5.000%, 7/1/31 | 4,000 | 4,671 | |
Miami Beach Redevelopment Agency, | |||
Tax Increment Revenue, 5.000%, 2/1/32 | 320 | 336 | |
Tax Increment Revenue, (AGM Insured) 5.000%, 2/1/31 | 40 | 42 | |
Miami-Dade County Educational Facilities Authority, University of Miami Revenue, 5.000%, 4/1/30 | 200 | 215 | |
Miami-Dade County School Board, Certificates of Participation, 5.000%, 2/1/34 | 1,700 | 1,854 | |
Seminole County School Board, Certificates of Participation, 5.000%, 7/1/29 | 1,935 | 2,149 | |
South Florida Water Management District, Certificates of Participation, 5.000%, 10/1/35 | 750 | 825 |
Par Value | Value | ||
Florida—continued | |||
Tallahassee, City of, Health Facilities Revenue, Tallahassee Memorial Healthcare, 5.000%, 12/1/36 | $ 500 | $ 545 | |
Wildwood Utility Dependent District, South Sumter Utility Project Revenue, (BAM Insured) 5.000%, 10/1/37 | 250 | 296 | |
12,639 | |||
Georgia—0.7% | |||
Atlanta Water & Wastewater Revenue, 5.000%, 11/1/31 | 550 | 598 | |
Idaho—0.3% | |||
Idaho Health Facilities Authority, St. Luke’s Health System Revenue, 5.000%, 3/1/37 | 235 | 267 | |
Illinois—12.7% | |||
Chicago, City of, | |||
Waterworks Revenue, Second Lien, 5.000%, 11/1/22 | 500 | 510 | |
Waterworks Revenue, Second Lien, 5.000%, 11/1/30 | 500 | 553 | |
Waterworks Revenue, Second Lien, (AGM Insured) 5.000%, 11/1/31 | 500 | 568 | |
Waterworks Revenue, Second Lien, (AGM Insured) 5.250%, 11/1/32 | 350 | 402 | |
Cook County School District No. 78 Rosemont, General Obligation, (AGM Insured) 5.000%, 12/1/38 | 1,000 | 1,182 | |
Illinois Housing Development Authority, (GNMA/FNMA/FHLMC COLL Insured) 2.375%, 10/1/42 | 500 | 430 | |
Illinois State Toll Highway Authority, Toll Highway Revenue, Senior Lien, 5.000%, 1/1/32 | 1,000 | 1,106 | |
Illinois, State of, General Obligation, | |||
5.000%, 4/1/22 | 815 | 815 | |
5.000%, 2/1/26 | 1,490 | 1,571 | |
5.000%, 2/1/27 | 1,250 | 1,370 |
Par Value | Value | ||
Illinois—continued | |||
Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project Revenue, (AGM Insured) 0.000%, 6/15/26 | $1,000 | $ 878 | |
Railsplitter Tobacco Settlement Authority, Tobacco Settlement Revenue, 5.000%, 6/1/27 | 450 | 491 | |
Sales Tax Securitization Corp., Chicago Sales Tax Revenue, Sales Tax Revenue, 5.000%, 1/1/30 | 1,500 | 1,681 | |
11,557 | |||
Indiana—3.1% | |||
Indiana Finance Authority, | |||
Indiana University Health Center Revenue, 5.000%, 12/1/22 | 800 | 818 | |
Parkview Health System, 5.000%, 11/1/43 | 1,700 | 1,954 | |
2,772 | |||
Maine—2.7% | |||
Portland, City of, General Airport Revenue, | |||
5.000%, 7/1/26 | 1,000 | 1,036 | |
5.000%, 7/1/29 | 580 | 600 | |
5.000%, 7/1/30 | 770 | 796 | |
2,432 | |||
Maryland—2.3% | |||
Maryland Community Development Administration, Revenue, | |||
1.250%, 3/1/30 | 200 | 179 | |
1.950%, 9/1/41 | 500 | 407 | |
Maryland Health & Higher Educational Facilities Authority, Medstar Health System Revenue, | |||
5.000%, 8/15/26 | 800 | 865 | |
5.000%, 5/15/42 | 600 | 677 | |
2,128 | |||
Massachusetts—1.1% | |||
Massachusetts Housing Finance Agency, 2.300%, 12/1/40 | 500 | 427 | |
Massachusetts Port Authority, Transportation Revenue, 5.000%, 7/1/31 | 500 | 555 | |
982 | |||
Par Value | Value | ||
Michigan—2.6% | |||
Michigan Finance Authority, Beaumont Health Credit Group Revenue, 5.000%, 8/1/27 | $1,250 | $ 1,328 | |
Michigan State Building Authority, Facilities Program Lease Revenue, | |||
5.000%, 4/15/25 | 500 | 545 | |
4.000%, 10/15/36 | 500 | 529 | |
2,402 | |||
Mississippi—1.2% | |||
Mississippi, State of, General Obligation, 4.000%, 10/1/39 | 1,000 | 1,084 | |
New Jersey—1.8% | |||
New Jersey Turnpike Authority, Toll Revenue, 4.000%, 1/1/35 | 240 | 258 | |
New Jersey, State of, Sales Tax Revenue 4.000%, 6/1/31 | 245 | 267 | |
Tobacco Settlement Financing Corp., Tobacco Settlement Revenue, | |||
5.000%, 6/1/31 | 250 | 278 | |
5.000%, 6/1/32 | 250 | 278 | |
5.000%, 6/1/33 | 250 | 277 | |
5.000%, 6/1/34 | 250 | 277 | |
1,635 | |||
New York—3.3% | |||
Buffalo & Erie County Industrial Land Development Corp., Catholic Health System Revenue, 5.000%, 7/1/23 | 550 | 565 | |
Dutchess County Local Development Corp., The Culinary Institute of America Revenue, 5.000%, 7/1/33 | 180 | 198 | |
New York City Housing Development Corp., Sustainable Development Bonds Revenue, (FHA 542(C) Insured) 2.400%, 11/1/46 | 750 | 585 | |
New York City Industrial Development Agency, Queens Baseball Stadium Project Revenue, | |||
(AGM Insured) 3.000%, 1/1/36 | 250 | 236 |
Par Value | Value | ||
New York—continued | |||
(AGM Insured) 3.000%, 1/1/37 | $ 100 | $ 93 | |
(AGM Insured) 3.000%, 1/1/46 | 750 | 659 | |
New York State Dormitory Authority, | |||
New York University Hospitals Center Revenue, 5.000%, 7/1/33 | 150 | 165 | |
Orange Regional Medical Center Revenue, 144A 5.000%, 12/1/23(3) | 300 | 313 | |
TSASC, Inc., Tobacco Settlement Revenue, 5.000%, 6/1/34 | 190 | 208 | |
3,022 | |||
Ohio—2.5% | |||
Buckeye Tobacco Settlement Financing Authority, Tobacco Settlement Revenue, 4.000%, 6/1/48 | 500 | 502 | |
New Albany Community Authority, Community Facilities Revenue, 5.000%, 10/1/24 | 1,250 | 1,272 | |
Northeast Ohio Regional Sewer District Revenue, 3.000%, 11/15/40 | 500 | 491 | |
2,265 | |||
Oregon—2.7% | |||
Oregon State Housing & Community, Mortgage Revenue, Residential Finance Program Revenue, 4.500%, 1/1/49 | 300 | 311 | |
Oregon, State of, General Obligation, 5.000%, 5/1/33 | 1,095 | 1,212 | |
Washington & Multnomah Counties, Beaverton School District No. 48J, General Obligation, (SCH BD GTY Insured) 5.000%, 6/15/36 | 800 | 902 | |
2,425 | |||
Pennsylvania—3.7% | |||
Butler County Hospital Authority, Butler Health System Revenue, 5.000%, 7/1/30 | 250 | 270 |
Par Value | Value | ||
Pennsylvania—continued | |||
Delaware River Joint Toll Bridge Commission, Bridge System Revenue, 5.000%, 7/1/34 | $ 250 | $ 282 | |
Pennsylvania Turnpike Commission, Turnpike Revenue Subordinate Lien, Toll Highway Revenue, 6.375%, 12/1/38 | 2,000 | 2,421 | |
Philadelphia, City of, Water & Wastewater Revenue, 5.000%, 10/1/42 | 300 | 339 | |
3,312 | |||
South Carolina—0.3% | |||
South Carolina Association of Governmental Organizations Educational Facilities Corp., for Pickens School District Lease Revenue, 5.000%, 12/1/24 | 290 | 312 | |
Tennessee—2.4% | |||
Chattanooga-Hamilton County Hospital Authority, Erlanger Health System Revenue, 5.000%, 10/1/26 | 1,000 | 1,069 | |
Tennessee State School Bond Authority, Higher Education Program Revenue, (ST HGR ED INTERCEPT PROG Insured) 5.000%, 11/1/34 | 1,000 | 1,145 | |
2,214 | |||
Texas—14.7% | |||
Central Texas Regional Mobility Authority, Senior Lien Toll Revenue, 4.000%, 1/1/38 | 750 | 796 | |
Hidalgo County Drain District No. 1, General Obligation, 5.000%, 9/1/28 | 1,000 | 1,094 | |
Lamar Consolidated Independent School District, General Obligation, (PSF-GTD Insured) 5.000%, 2/15/34 | 1,000 | 1,122 | |
North Texas Tollway Authority, Special Project System Revenue, (Pre-Refunded 9/1/31 @ 100) 0.000%, 9/1/43 | 2,835 | 3,626 |
Par Value | Value | ||
Texas—continued | |||
Southmost Regional Water Authority, Desalination Plant Project Revenue, | |||
(AGM Insured) 5.000%, 9/1/23 | $ 460 | $ 466 | |
(AGM Insured) 5.000%, 9/1/25 | 1,015 | 1,031 | |
Texas Municipal Gas Acquisition and Supply Corp. I, Gas Supply Revenue, Senior Lien, 6.250%, 12/15/26 | 1,075 | 1,179 | |
Texas Municipal Gas Acquisition and Supply Corp. II, Gas Supply Revenue, 1.235%, 9/15/27(2) | 2,160 | 2,146 | |
Texas Water Development Board Revenue, 5.000%, 8/1/29 | 1,020 | 1,202 | |
Wharton Independent School District, General Obligation, (PSF-GTD Insured) 3.000%, 2/15/32 | 645 | 667 | |
13,329 | |||
Vermont—0.4% | |||
Vermont Educational & Health Buildings Financing Agency, University of Vermont Health Network Revenue, 5.000%, 12/1/35 | 300 | 330 | |
Virginia—0.2% | |||
Virginia College Building Authority, Marymount University Revenue, 144A 5.000%, 7/1/22(3) | 195 | 196 | |
West Virginia—0.3% | |||
Monongalia County Building Commission, Monongalia Health System Revenue, 5.000%, 7/1/23 | 300 | 311 | |
Wisconsin—1.5% | |||
Public Finance Authority, | |||
Renown Regional Medical Center Revenue, 5.000%, 6/1/33 | 1,000 | 1,102 |
Par Value | Value | ||
Wisconsin—continued | |||
Waste Management, Inc. Revenue, 2.875%, 5/1/27 | $ 250 | $ 251 | |
1,353 | |||
Total Municipal Bonds (Identified Cost $87,056) | 89,449 | ||
Shares | ||
Exchange-Traded Fund—0.6% | ||
VanEck High Yield Muni ETF(4) | 9,000 | 516 |
Total Exchange-Traded Fund (Identified Cost $557) | 516 | |
Total Long-Term Investments—99.2% (Identified Cost $87,613) | 89,965 | |
TOTAL INVESTMENTS—99.2% (Identified Cost $87,613) | $89,965 | |
Other assets and liabilities, net—0.8% | 752 | |
NET ASSETS—100.0% | $90,717 |
Abbreviations: | |
AGC | Assured Guaranty Corp. |
AGM | Assured Guaranty Municipal Corp. |
BAM | Build America Municipal Insured |
ETF | Exchange-Traded Fund |
FHA | Federal Housing Authority |
FHLMC | Federal Home Loan Mortgage Corporation (“Freddie Mac”) |
FNMA | Federal National Mortgage Association (“Fannie Mae”) |
GNMA | Government National Mortgage Association (“Ginnie Mae”) |
PSF-GTD | Permanent School Fund Guarantee Program |
SCH BD GTY | School Bond Guaranty |
Footnote Legend: | |
(1) | At March 31, 2022, 18.6% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies. None of the insurers concentration exceeds 10% of the Fund’s net assets. |
(2) | Variable or step coupon security; interest rate shown reflects the rate in effect at March 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities amounted to a value of $509 or 0.6% of net assets. |
(4) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
Municipal Bonds | $89,449 | $ — | $89,449 | ||
Exchange-Traded Fund | 516 | 516 | — | ||
Total Investments | $89,965 | $516 | $89,449 |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||
Assets | |||||||
Investment in securities at value(1)(2) | $ 126,226 | $ 54,114 | $ 710,151 | $ 269,468 | |||
Cash | 618 | 106 | 144 | 210 | |||
Receivables | |||||||
Investment securities sold | 1,455 | 351 | 2,192 | 5,682 | |||
Fund shares sold | 1,124 | 11 | 493 | 327 | |||
Dividends and interest | 661 | 797 | 1,966 | 2,267 | |||
Securities lending income | — (a) | 2 | — (a) | 3 | |||
Prepaid Trustees’ retainer | 1 | 1 | 10 | 3 | |||
Prepaid expenses | 22 | 21 | 48 | 29 | |||
Other assets | 13 | 5 | 73 | 28 | |||
Total assets | 130,120 | 55,408 | 715,077 | 278,017 | |||
Liabilities | |||||||
Payables | |||||||
Fund shares repurchased | 153 | 75 | 2,896 | 568 | |||
Investment securities purchased | 1,790 | 25 | 2,993 | 3,266 | |||
Collateral on securities loaned | — | 1,945 | 363 | 3,671 | |||
Dividend distributions | 7 | 23 | 105 | 193 | |||
Investment advisory fees | 26 | 13 | 162 | 106 | |||
Distribution and service fees | 8 | 10 | 35 | 30 | |||
Administration and accounting fees | 11 | 5 | 61 | 23 | |||
Transfer agent and sub-transfer agent fees and expenses | 18 | 14 | 84 | 48 | |||
Professional fees | 20 | 21 | 20 | 25 | |||
Trustee deferred compensation plan | 13 | 5 | 73 | 27 | |||
Interest expense and/or commitment fees | — (a) | — (a) | — | — (a) | |||
Other accrued expenses | 12 | 15 | 26 | 19 | |||
Unrealized depreciation on unfunded loan commitments(b) | — | — | — | 2 | |||
Total liabilities | 2,058 | 2,151 | 6,818 | 7,978 | |||
Net Assets | $ 128,062 | $ 53,257 | $ 708,259 | $ 270,039 | |||
Net Assets Consist of: | |||||||
Common stock $0.001 par value | $ — | $ — | $ 67 | $ — | |||
Capital paid in on shares of beneficial interest | 132,224 | 58,571 | 733,990 | 294,709 | |||
Accumulated earnings (loss) | (4,162) | (5,314) | (25,798) | (24,670) | |||
Net Assets | $ 128,062 | $ 53,257 | $ 708,259 | $ 270,039 | |||
Net Assets: | |||||||
Class A | $ 30,446 | $ 42,676 | $ 92,482 | $ 71,191 | |||
Class C | $ 2,042 | $ 1,266 | $ 16,421 | $ 17,097 | |||
Class I | $ 93,990 | $ 7,051 | $ 568,024 | $ 176,014 | |||
Class R6 | $ 1,584 | $ 2,264 | $ 31,332 | $ 5,737 | |||
Shares Outstanding (unlimited number of shares authorized, no par value):(3) | |||||||
Class A | 2,776,243 | 10,559,401 | 8,776,970 | 7,290,328 | |||
Class C | 190,723 | 318,801 | 1,558,368 | 1,731,045 | |||
Class I | 8,431,325 | 1,741,842 | 53,917,932 | 18,065,862 | |||
Class R6 | 142,042 | 559,747 | 2,971,304 | 585,354 | |||
Net Asset Value and Redemption Price Per Share:* | |||||||
Class A | $ 10.97 | $ 4.04 | $ 10.54 | $ 9.77 | |||
Class C | $ 10.71 | $ 3.97 | $ 10.54 | $ 9.88 | |||
Class I | $ 11.15 | $ 4.05 | $ 10.53 | $ 9.74 | |||
Class R6 | $ 11.15 | $ 4.04 | $ 10.54 | $ 9.80 |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||
Maximum Offering Price Per Share (NAV/(1-Maximum Sales Charge)): | |||||||
Class A | $ 11.40 | $ 4.20 | $ 10.78 | $ 10.15 | |||
Maximum Sales Charge - Class A | 3.75% | 3.75% | 2.25% | 3.75% | |||
(1) Investment in securities at cost | $ 130,317 | $ 55,890 | $ 733,569 | $ 281,575 | |||
(2) Market value of securities on loan | $ — | $ 1,863 | $ 355 | $ 3,533 | |||
(3) Newfleet Core Plus Bond Fund and Newfleet Low Duration Core Plus Bond Fund have a par value of $1.00, and all other funds on this page have no par value. |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
(a) | Amount is less than $500. |
(b) | See Schedule of Investments for schedule of unfunded loan commitments. |
Newfleet Multi-Sector Short Term Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||
Assets | |||||
Investment in securities at value(1)(2) | $ 6,126,429 | $ 214,161 | $ 89,965 | ||
Cash | 5,740 | 314 | 29 | ||
Receivables | |||||
Investment securities sold | 59,778 | 5,665 | — | ||
Fund shares sold | 8,165 | 692 | 31 | ||
Dividends and interest | 25,706 | 551 | 1,156 | ||
Securities lending income | 3 | — | — | ||
Prepaid Trustees’ retainer | 77 | 2 | 1 | ||
Prepaid expenses | 59 | 39 | 15 | ||
Other assets | 622 | 20 | 9 | ||
Total assets | 6,226,579 | 221,444 | 91,206 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 9,664 | 260 | 377 | ||
Investment securities purchased | 64,902 | 14,772 | — | ||
Collateral on securities loaned | 6,572 | — | — | ||
Dividend distributions | 1,327 | 129 | 20 | ||
Investment advisory fees | 2,223 | 66 | 22 | ||
Distribution and service fees | 337 | 20 | 10 | ||
Administration and accounting fees | 512 | 17 | 8 | ||
Transfer agent and sub-transfer agent fees and expenses | 954 | 31 | 16 | ||
Professional fees | 50 | — | 18 | ||
Trustee deferred compensation plan | 622 | 20 | 9 | ||
Interest expense and/or commitment fees | 3 | 43 | — (a) | ||
Other accrued expenses | 131 | 8 | 9 | ||
Unrealized depreciation on unfunded loan commitments(b) | 6 | 4 | — | ||
Total liabilities | 87,303 | 15,370 | 489 | ||
Net Assets | $ 6,139,276 | $ 206,074 | $ 90,717 | ||
Net Assets Consist of: | |||||
Common stock $0.001 par value | $ — | $ — | $ 9 | ||
Capital paid in on shares of beneficial interest | 6,515,616 | 276,761 | 88,449 | ||
Accumulated earnings (loss) | (376,340) | (70,687) | 2,259 | ||
Net Assets | $ 6,139,276 | $ 206,074 | $ 90,717 | ||
Net Assets: | |||||
Class A | $ 871,093 | $ 60,374 | $ 34,031 | ||
Class C | $ 226,060 | $ 8,262 | $ 2,944 | ||
Class C1 | $ 59,955 | $ — | $ — | ||
Class I | $ 4,953,309 | $ 136,059 | $ 53,742 | ||
Class R6 | $ 28,859 | $ 1,379 | $ — | ||
Shares Outstanding (unlimited number of shares authorized, no par value):(3) | |||||
Class A | 191,110,833 | 6,805,263 | 3,201,526 | ||
Class C | 48,885,049 | 930,476 | 277,022 | ||
Class C1 | 12,997,135 | — | — | ||
Class I | 1,084,959,650 | 15,359,597 | 5,056,217 | ||
Class R6 | 6,306,430 | 155,800 | — |
Newfleet Multi-Sector Short Term Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||
Net Asset Value and Redemption Price Per Share:* | |||||
Class A | $ 4.56 | $ 8.87 | $ 10.63 | ||
Class C | $ 4.62 | $ 8.88 | $ 10.63 | ||
Class C1 | $ 4.61 | $ — | $ — | ||
Class I | $ 4.57 | $ 8.86 | $ 10.63 | ||
Class R6 | $ 4.58 | $ 8.86 | $ — | ||
Maximum Offering Price Per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $ 4.66 | $ 9.12 | $ 10.93 | ||
Maximum Sales Charge - Class A | 2.25% | 2.75% | 2.75% | ||
(1) Investment in securities at cost | $ 6,336,340 | $ 216,094 | $ 87,613 | ||
(2) Market value of securities on loan | $ 6,348 | $ — | $ — | ||
(3) Newfleet Tax-Exempt Bond Fund has a par value of $0.001, and all other funds on this page have no par value. |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
(a) | Amount is less than $500. |
(b) | See Schedule of Investments for schedule of unfunded loan commitments. |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||
Investment Income | |||||||
Dividends | $ 5 | $ —(1) | $ 16 | $ 58 | |||
Interest | 1,619 | 1,621 | 7,616 | 6,934 | |||
Securities lending, net of fees | 3 | 10 | 10 | 34 | |||
Total investment income | 1,627 | 1,631 | 7,642 | 7,026 | |||
Expenses | |||||||
Investment advisory fees | 253 | 155 | 1,544 | 831 | |||
Distribution and service fees, Class A | 41 | 56 | 124 | 95 | |||
Distribution and service fees, Class C | 12 | 7 | 86 | 92 | |||
Administration and accounting fees | 59 | 31 | 381 | 152 | |||
Transfer agent fees and expenses | 26 | 17 | 159 | 64 | |||
Sub-transfer agent fees and expenses, Class A | 9 | 9 | 21 | 24 | |||
Sub-transfer agent fees and expenses, Class C | 1 | 1 | 7 | 7 | |||
Sub-transfer agent fees and expenses, Class I | 25 | 5 | 178 | 76 | |||
Custodian fees | 1 | — (1) | 2 | 2 | |||
Printing fees and expenses | 4 | 3 | 17 | 9 | |||
Professional fees | 16 | 16 | 18 | 21 | |||
Interest expense and/or commitment fees | — (1) | — (1) | 3 | 2 | |||
Registration fees | 23 | 23 | 44 | 36 | |||
Trustees’ fees and expenses | 3 | 1 | 17 | 8 | |||
Miscellaneous expenses | 15 | 19 | 29 | 20 | |||
Total expenses | 488 | 343 | 2,630 | 1,439 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | (126) | (71) | (498) | (136) | |||
Less low balance account fees | — | — | — (1) | — | |||
Net expenses | 362 | 272 | 2,132 | 1,303 | |||
Net investment income (loss) | 1,265 | 1,359 | 5,510 | 5,723 | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | 193 | 182 | (1,060) | (1,276) | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | (7,039) | (3,440) | (28,595) | (16,018) | |||
Net realized and unrealized gain (loss) on investments | (6,846) | (3,258) | (29,655) | (17,294) | |||
Net increase (decrease) in net assets resulting from operations | $(5,581) | $(1,899) | $(24,145) | $(11,571) |
(1) | Amount is less than $500. |
(2) | See Note 3D in Notes to Financial Statements. |
Newfleet Multi-Sector Short Term Bond Fund | Newfleet Senior Floating Rate Fund | Newfleet Tax-Exempt Bond Fund | |||
Investment Income | |||||
Dividends | $ 234 | $ 2 | $ 21 | ||
Interest | 88,071 | 4,215 | 1,385 | ||
Securities lending, net of fees | 164 | — | — | ||
Total investment income | 88,469 | 4,217 | 1,406 | ||
Expenses | |||||
Investment advisory fees | 15,145 | 453 | 222 | ||
Distribution and service fees, Class A | 1,159 | 87 | 45 | ||
Distribution and service fees, Class C | 618 | 43 | 17 | ||
Distribution and service fees, Class C1 | 329 | — | — | ||
Administration and accounting fees | 3,133 | 102 | 52 | ||
Transfer agent fees and expenses | 1,316 | 42 | 21 | ||
Sub-transfer agent fees and expenses, Class A | 311 | 19 | 10 | ||
Sub-transfer agent fees and expenses, Class C | 98 | 3 | 1 | ||
Sub-transfer agent fees and expenses, Class C1 | 23 | — | — | ||
Sub-transfer agent fees and expenses, Class I | 1,696 | 37 | 23 | ||
Custodian fees | 8 | 1 | — (1) | ||
Printing fees and expenses | 152 | 6 | 4 | ||
Professional fees | 53 | 19 | 14 | ||
Interest expense and/or commitment fees | 19 | 105 | — (1) | ||
Registration fees | 83 | 33 | 19 | ||
Trustees’ fees and expenses | 148 | 5 | 2 | ||
Miscellaneous expenses | 179 | 18 | 8 | ||
Total expenses | 24,470 | 973 | 438 | ||
Less net expenses reimbursed and/or waived by investment adviser(2) | (1,024) | (44) | (86) | ||
Net expenses | 23,446 | 929 | 352 | ||
Net investment income (loss) | 65,023 | 3,288 | 1,054 | ||
Net Realized and Unrealized Gain (Loss) on Investments | |||||
Net realized gain (loss) from: | |||||
Investments | (12,531) | (1,005) | 21 | ||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments | (261,155) | (2,014) | (6,094) | ||
Net realized and unrealized gain (loss) on investments | (273,686) | (3,019) | (6,073) | ||
Net increase (decrease) in net assets resulting from operations | $(208,663) | $ 269 | $(5,019) |
(1) | Amount is less than $500. |
(2) | See Note 3D in Notes to Financial Statements. |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 1,265 | $ 2,493 | $ 1,359 | $ 2,871 | |||
Net realized gain (loss) | 193 | 1,697 | 182 | 1,213 | |||
Net change in unrealized appreciation (depreciation) | (7,039) | (2,115) | (3,440) | 2,872 | |||
Increase (decrease) in net assets resulting from operations | (5,581) | 2,075 | (1,899) | 6,956 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (843) | (766) | (1,069) | (2,257) | |||
Class C | (55) | (48) | (28) | (77) | |||
Class I | (1,878) | (1,647) | (196) | (428) | |||
Class R6 | (35) | (27) | (57) | (89) | |||
Total dividends and distributions to shareholders | (2,811) | (2,488) | (1,350) | (2,851) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (1,691) | (2,848) | (1,884) | (1,306) | |||
Class C | (402) | (2,051) | (115) | (1,249) | |||
Class I | 29,073 | 7,692 | (805) | (1,652) | |||
Class R6 | 471 | 96 | 463 | 697 | |||
Increase (decrease) in net assets from capital transactions | 27,451 | 2,889 | (2,341) | (3,510) | |||
Net increase (decrease) in net assets | 19,059 | 2,476 | (5,590) | 595 | |||
Net Assets | |||||||
Beginning of period | 109,003 | 106,527 | 58,847 | 58,252 | |||
End of Period | $ 128,062 | $ 109,003 | $ 53,257 | $ 58,847 |
Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 5,510 | $ 10,172 | $ 5,723 | $ 13,582 | |||
Net realized gain (loss) | (1,060) | 2,312 | (1,276) | 8,732 | |||
Net change in unrealized appreciation (depreciation) | (28,595) | (3,172) | (16,018) | 2,431 | |||
Increase (decrease) in net assets resulting from operations | (24,145) | 9,312 | (11,571) | 24,745 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (612) | (1,338) | (1,383) | (2,827) | |||
Class C | (41) | (126) | (260) | (652) | |||
Class I | (4,612) | (8,684) | (3,972) | (9,489) | |||
Class R6 | (233) | (12) | (117) | (229) | |||
Total dividends and distributions to shareholders | (5,498) | (10,160) | (5,732) | (13,197) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (4,930) | 13,606 | (7,165) | 1,991 | |||
Class C | (311) | (2,716) | (1,853) | (11,727) | |||
Class I | (42,430) | 233,395 | (25,051) | (95,339) | |||
Class R6 | 5,323 | 26,847 | (268) | 104 | |||
Increase (decrease) in net assets from capital transactions | (42,348) | 271,132 | (34,337) | (104,971) | |||
Net increase (decrease) in net assets | (71,991) | 270,284 | (51,640) | (93,423) | |||
Net Assets | |||||||
Beginning of period | 780,250 | 509,966 | 321,679 | 415,102 | |||
End of Period | $ 708,259 | $ 780,250 | $ 270,039 | $ 321,679 |
Newfleet Multi-Sector Short Term Bond Fund | Newfleet Senior Floating Rate Fund | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 65,023 | $ 138,581 | $ 3,288 | $ 6,883 | |||
Net realized gain (loss) | (12,531) | 39,968 | (1,005) | (4,612) | |||
Net change in unrealized appreciation (depreciation) | (261,155) | 4,213 | (2,014) | 14,570 | |||
Increase (decrease) in net assets resulting from operations | (208,663) | 182,762 | 269 | 16,841 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (8,817) | (19,363) | (1,096) | (2,075) | |||
Class C | (1,983) | (6,385) | (104) | (448) | |||
Class C1 | (369) | (1,217) | — | — | |||
Class I | (55,055) | (115,367) | (2,063) | (4,277) | |||
Class R6 | (329) | (649) | (25) | (77) | |||
Total dividends and distributions to shareholders | (66,553) | (142,981) | (3,288) | (6,877) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (45,522) | 93,563 | (10,931) | 11,564 | |||
Class C | (31,402) | (168,856) | (1,191) | (18,861) | |||
Class C1 | (7,361) | (45,480) | — | — | |||
Class I | (46,926) | 651,747 | 1,203 | 20,879 | |||
Class R6 | 21 | 18,649 | (215) | (1,251) | |||
Increase (decrease) in net assets from capital transactions | (131,190) | 549,623 | (11,134) | 12,331 | |||
Net increase (decrease) in net assets | (406,406) | 589,404 | (14,153) | 22,295 | |||
Net Assets | |||||||
Beginning of period | 6,545,682 | 5,956,278 | 220,227 | 197,932 | |||
End of Period | $ 6,139,276 | $ 6,545,682 | $ 206,074 | $ 220,227 |
Newfleet Tax-Exempt Bond Fund | |||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ 1,054 | $ 2,353 | |
Net realized gain (loss) | 21 | 390 | |
Net change in unrealized appreciation (depreciation) | (6,094) | (303) | |
Increase (decrease) in net assets resulting from operations | (5,019) | 2,440 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (487) | (1,058) | |
Class C | (33) | (135) | |
Class I | (872) | (2,016) | |
Total dividends and distributions to shareholders | (1,392) | (3,209) | |
Change in Net Assets from Capital Transactions (See Note 5): | |||
Class A | (1,537) | 1,126 | |
Class C | (401) | (4,550) | |
Class I | (4,835) | (5,053) | |
Increase (decrease) in net assets from capital transactions | (6,773) | (8,477) | |
Net increase (decrease) in net assets | (13,184) | (9,246) | |
Net Assets | |||
Beginning of period | 103,901 | 113,147 | |
End of Period | $ 90,717 | $ 103,901 |
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliates(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet Core Plus Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $11.81 | 0.12 | (0.66) | (0.54) | (0.14) | — | (0.16) | (0.30) | — | (0.84) | $10.97 | (4.72) % | $ 30,446 | 0.80 % | 1.03 % | 2.10 % | 24 % | |
10/1/20 to 9/30/21 | 11.85 | 0.25 | (0.04) | 0.21 | (0.25) | — | — | (0.25) | — | (0.04) | 11.81 | 1.79 | 34,538 | 0.80 | 1.05 | 2.12 | 59 | |
10/1/19 to 9/30/20 | 11.51 | 0.30 | 0.34 | 0.64 | (0.30) | — | — | (0.30) | — | 0.34 | 11.85 | 5.66 | 37,507 | 0.81 (7) | 1.07 | 2.61 | 65 | |
10/1/18 to 9/30/19 | 10.84 | 0.35 | 0.67 | 1.02 | (0.35) | — | — | (0.35) | — | 0.67 | 11.51 | 9.64 | 36,248 | 0.85 | 1.11 | 3.21 | 59 | |
10/1/17 to 9/30/18 | 11.31 | 0.36 | (0.46) | (0.10) | (0.37) | — | — | (0.37) | — | (0.47) | 10.84 | (0.92) | 33,998 | 0.84 | 1.12 | 3.24 | 49 | |
10/1/16 to 9/30/17 | 11.38 | 0.37 | (0.08) | 0.29 | (0.36) | — | — | (0.36) | — | (0.07) | 11.31 | 2.60 (8) | 39,536 | 0.84 (8) | 1.17 | 3.26 (8) | 56 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $11.54 | 0.08 | (0.66) | (0.58) | (0.09) | — | (0.16) | (0.25) | — | (0.83) | $10.71 | (5.12) % | $ 2,042 | 1.55 % | 1.81 % | 1.34 % | 24 % | |
10/1/20 to 9/30/21 | 11.57 | 0.16 | (0.03) | 0.13 | (0.16) | — | — | (0.16) | — | (0.03) | 11.54 | 1.11 | 2,621 | 1.55 | 1.81 | 1.39 | 59 | |
10/1/19 to 9/30/20 | 11.24 | 0.21 | 0.33 | 0.54 | (0.21) | — | — | (0.21) | — | 0.33 | 11.57 | 4.85 | 4,676 | 1.56 (7) | 1.82 | 1.84 | 65 | |
10/1/18 to 9/30/19 | 10.59 | 0.27 | 0.65 | 0.92 | (0.27) | — | — | (0.27) | — | 0.65 | 11.24 | 8.78 | 3,725 | 1.59 | 1.85 | 2.49 | 59 | |
10/1/17 to 9/30/18 | 11.04 | 0.27 | (0.44) | (0.17) | (0.28) | — | — | (0.28) | — | (0.45) | 10.59 | (1.58) | 5,165 | 1.59 | 1.87 | 2.49 | 49 | |
10/1/16 to 9/30/17 | 11.12 | 0.27 | (0.08) | 0.19 | (0.27) | — | — | (0.27) | — | (0.08) | 11.04 | 1.79 (8) | 6,671 | 1.59 (8) | 1.92 | 2.51 (8) | 56 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $12.00 | 0.14 | (0.68) | (0.54) | (0.15) | — | (0.16) | (0.31) | — | (0.85) | $11.15 | (4.59) % | $ 93,990 | 0.55 % | 0.77 % | 2.33 % | 24 % | |
10/1/20 to 9/30/21 | 12.04 | 0.28 | (0.04) | 0.24 | (0.28) | — | — | (0.28) | — | (0.04) | 12.00 | 2.04 | 70,630 | 0.55 | 0.79 | 2.36 | 59 | |
10/1/19 to 9/30/20 | 11.70 | 0.33 | 0.34 | 0.67 | (0.33) | — | — | (0.33) | — | 0.34 | 12.04 | 5.87 | 63,222 | 0.56 (7) | 0.80 | 2.85 | 65 | |
10/1/18 to 9/30/19 | 11.02 | 0.38 | 0.69 | 1.07 | (0.39) | — | — | (0.39) | — | 0.68 | 11.70 | 9.90 | 54,038 | 0.60 | 0.82 | 3.39 | 59 | |
10/1/17 to 9/30/18 | 11.49 | 0.39 | (0.46) | (0.07) | (0.40) | — | — | (0.40) | — | (0.47) | 11.02 | (0.60) | 27,360 | 0.59 | 0.84 | 3.50 | 49 | |
10/1/16 to 9/30/17 | 11.56 | 0.40 | (0.08) | 0.32 | (0.39) | — | — | (0.39) | — | (0.07) | 11.49 | 2.81 (8) | 26,597 | 0.59 (8) | 0.92 | 3.52 (8) | 56 | |
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $12.01 | 0.14 | (0.68) | (0.54) | (0.16) | — | (0.16) | (0.32) | — | (0.86) | $11.15 | (4.62) % | $ 1,584 | 0.43 % | 0.71 % | 2.47 % | 24 % | |
10/1/20 to 9/30/21 | 12.05 | 0.30 | (0.04) | 0.26 | (0.30) | — | — | (0.30) | — | (0.04) | 12.01 | 2.17 | 1,214 | 0.43 | 0.72 | 2.48 | 59 | |
10/1/19 to 9/30/20 | 11.71 | 0.35 | 0.34 | 0.69 | (0.35) | — | — | (0.35) | — | 0.34 | 12.05 | 6.00 | 1,122 | 0.44 (7) | 0.74 | 2.99 | 65 | |
10/1/18 to 9/30/19 | 11.02 | 0.40 | 0.69 | 1.09 | (0.40) | — | — | (0.40) | — | 0.69 | 11.71 | 10.13 | 1,031 | 0.48 | 0.77 | 3.52 | 59 | |
10/1/17 to 9/30/18 | 11.50 | 0.40 | (0.47) | (0.07) | (0.41) | — | — | (0.41) | — | (0.48) | 11.02 | (0.60) | 414 | 0.50 (7) | 0.79 | 3.59 | 49 | |
11/3/16 (11) to 9/30/17 | 11.45 | 0.38 | 0.03 | 0.41 | (0.36) | — | — | (0.36) | — | 0.05 | 11.50 | 3.66 (8) | 463 | 0.53 (8) | 0.88 | 3.33 (8) | 56 (12) | |
Newfleet High Yield Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 4.28 | 0.10 | (0.24) | (0.14) | (0.10) | — | — | (0.10) | — | (0.24) | $ 4.04 | (3.33) % | $ 42,676 | 1.00 % | 1.24 % | 4.80 % | 18 % | |
10/1/20 to 9/30/21 | 4.00 | 0.20 | 0.28 | 0.48 | (0.20) | — | — | (0.20) | — | 0.28 | 4.28 | 12.18 | 47,153 | 1.00 | 1.25 | 4.77 | 74 | |
10/1/19 to 9/30/20 | 4.10 | 0.21 | (0.10) | 0.11 | (0.21) | — | — | (0.21) | — | (0.10) | 4.00 | 2.88 | 45,234 | 1.00 | 1.37 | 5.31 | 88 | |
10/1/18 to 9/30/19 | 4.13 | 0.23 | (0.03) | 0.20 | (0.23) | — | — | (0.23) | — | (0.03) | 4.10 | 4.99 | 49,890 | 0.99 | 1.36 | 5.61 | 59 | |
10/1/17 to 9/30/18 | 4.25 | 0.23 | (0.12) | 0.11 | (0.23) | — | — | (0.23) | — | (0.12) | 4.13 | 2.77 | 51,859 | 0.99 | 1.34 | 5.48 | 66 | |
10/1/16 to 9/30/17 | 4.18 | 0.23 | 0.06 | 0.29 | (0.22) | — | — | (0.22) | — | 0.07 | 4.25 | 7.05 (8) | 56,694 | 1.00 (7)(8) | 1.41 | 5.36 (8) | 71 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliates(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet High Yield Fund (Continued) | ||||||||||||||||||
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 4.21 | 0.08 | (0.24) | (0.16) | (0.08) | — | — | (0.08) | — | (0.24) | $ 3.97 | (3.79) % | $ 1,266 | 1.75 % | 2.03 % | 4.04 % | 18 % | |
10/1/20 to 9/30/21 | 3.93 | 0.17 | 0.28 | 0.45 | (0.17) | — | — | (0.17) | — | 0.28 | 4.21 | 11.47 | 1,460 | 1.75 | 2.03 | 4.05 | 74 | |
10/1/19 to 9/30/20 | 4.02 | 0.18 | (0.09) | 0.09 | (0.18) | — | — | (0.18) | — | (0.09) | 3.93 | 2.33 | 2,542 | 1.75 | 2.11 | 4.55 | 88 | |
10/1/18 to 9/30/19 | 4.06 | 0.19 | (0.04) | 0.15 | (0.19) | — | — | (0.19) | — | (0.04) | 4.02 | 3.94 | 2,207 | 1.75 | 2.11 | 4.85 | 59 | |
10/1/17 to 9/30/18 | 4.17 | 0.19 | (0.10) | 0.09 | (0.20) | — | — | (0.20) | — | (0.11) | 4.06 | 2.20 | 3,254 | 1.74 | 2.08 | 4.73 | 66 | |
10/1/16 to 9/30/17 | 4.11 | 0.19 | 0.06 | 0.25 | (0.19) | — | — | (0.19) | — | 0.06 | 4.17 | 6.11 (8) | 3,593 | 1.75 (7)(8) | 2.17 | 4.61 (8) | 71 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 4.29 | 0.11 | (0.25) | (0.14) | (0.10) | — | — | (0.10) | — | (0.24) | $ 4.05 | (3.20) % | $ 7,051 | 0.75 % | 1.05 % | 5.04 % | 18 % | |
10/1/20 to 9/30/21 | 4.01 | 0.21 | 0.28 | 0.49 | (0.21) | — | — | (0.21) | — | 0.28 | 4.29 | 12.43 | 8,297 | 0.75 | 1.05 | 5.01 | 74 | |
10/1/19 to 9/30/20 | 4.10 | 0.22 | (0.09) | 0.13 | (0.22) | — | — | (0.22) | — | (0.09) | 4.01 | 3.40 | 9,319 | 0.75 | 1.17 | 5.54 | 88 | |
10/1/18 to 9/30/19 | 4.13 | 0.24 | (0.03) | 0.21 | (0.24) | — | — | (0.24) | — | (0.03) | 4.10 | 5.25 | 7,805 | 0.75 | 1.15 | 5.82 | 59 | |
10/1/17 to 9/30/18 | 4.25 | 0.24 | (0.12) | 0.12 | (0.24) | — | — | (0.24) | — | (0.12) | 4.13 | 3.03 | 8,557 | 0.74 | 1.14 | 5.72 | 66 | |
10/1/16 to 9/30/17 | 4.18 | 0.24 | 0.06 | 0.30 | (0.23) | — | — | (0.23) | — | 0.07 | 4.25 | 7.31 (8) | 6,577 | 0.75 (7)(8) | 1.17 | 5.62 (8) | 71 | |
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 4.29 | 0.11 | (0.25) | (0.14) | (0.11) | — | — | (0.11) | — | (0.25) | $ 4.04 | (3.36) % | $ 2,264 | 0.59 % | 0.93 % | 5.21 % | 18 % | |
10/1/20 to 9/30/21 | 4.00 | 0.22 | 0.29 | 0.51 | (0.22) | — | — | (0.22) | — | 0.29 | 4.29 | 12.87 | 1,937 | 0.60 (7) | 0.93 | 5.12 | 74 | |
10/1/19 to 9/30/20 | 4.10 | 0.22 | (0.10) | 0.12 | (0.22) | — | — | (0.22) | — | (0.10) | 4.00 | 3.20 | 1,157 | 0.69 | 1.05 | 5.58 | 88 | |
10/1/18 to 9/30/19 | 4.13 | 0.23 | (0.02) | 0.21 | (0.24) | — | — | (0.24) | — | (0.03) | 4.10 | 5.30 | 829 | 0.69 | 1.04 | 5.77 | 59 | |
10/1/17 to 9/30/18 | 4.25 | 0.24 | (0.11) | 0.13 | (0.25) | — | — | (0.25) | — | (0.12) | 4.13 | 3.09 | 4,400 | 0.69 | 1.00 | 5.79 | 66 | |
11/3/16 (11) to 9/30/17 | 4.14 | 0.22 | 0.10 | 0.32 | (0.21) | — | — | (0.21) | — | 0.11 | 4.25 | 7.93 (8) | 5,253 | 0.69 (7)(8) | 1.15 | 5.66 (8) | 71 | |
Newfleet Low Duration Core Plus Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $10.96 | 0.07 | (0.42) | (0.35) | (0.07) | — | — | (0.07) | — | (0.42) | $10.54 | (3.24) % | $ 92,482 | 0.75 % | 0.87 % | 1.23 % | 24 % | |
10/1/20 to 9/30/21 | 10.96 | 0.16 | — (9) | 0.16 | (0.16) | — | — | (0.16) | — | — (9) | 10.96 | 1.44 | 101,271 | 0.75 | 0.89 | 1.42 | 55 | |
10/1/19 to 9/30/20 | 10.86 | 0.24 | 0.10 | 0.34 | (0.24) | — | — | (0.24) | — | 0.10 | 10.96 | 3.21 | 87,690 | 0.75 | 0.91 | 2.24 | 57 | |
10/1/18 to 9/30/19 | 10.64 | 0.29 | 0.22 | 0.51 | (0.29) | — | — | (0.29) | — | 0.22 | 10.86 | 4.82 | 81,384 | 0.75 | 0.95 | 2.67 | 45 | |
10/1/17 to 9/30/18 | 10.83 | 0.25 | (0.19) | 0.06 | (0.25) | — | — | (0.25) | — | (0.19) | 10.64 | 0.55 | 74,707 | 0.75 | 1.09 | 2.32 | 54 | |
10/1/16 to 9/30/17 | 10.90 | 0.21 | (0.07) | 0.14 | (0.21) | — | — | (0.21) | — | (0.07) | 10.83 | 1.31 | 81,542 | 0.75 | 1.12 | 1.95 | 55 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $10.96 | 0.03 | (0.42) | (0.39) | (0.03) | — | — | (0.03) | — | (0.42) | $10.54 | (3.60) % | $ 16,421 | 1.50 % | 1.66 % | 0.48 % | 24 % | |
10/1/20 to 9/30/21 | 10.96 | 0.08 | (0.01) | 0.07 | (0.07) | — | — | (0.07) | — | — (9) | 10.96 | 0.68 | 17,403 | 1.50 | 1.66 | 0.69 | 55 | |
10/1/19 to 9/30/20 | 10.86 | 0.16 | 0.10 | 0.26 | (0.16) | — | — | (0.16) | — | 0.10 | 10.96 | 2.44 | 20,105 | 1.50 | 1.67 | 1.50 | 57 | |
10/1/18 to 9/30/19 | 10.64 | 0.21 | 0.22 | 0.43 | (0.21) | — | — | (0.21) | — | 0.22 | 10.86 | 4.04 | 20,746 | 1.50 | 1.70 | 1.92 | 45 | |
10/1/17 to 9/30/18 | 10.83 | 0.17 | (0.19) | (0.02) | (0.17) | — | — | (0.17) | — | (0.19) | 10.64 | (0.20) | 22,809 | 1.50 | 1.82 | 1.55 | 54 | |
10/1/16 to 9/30/17 | 10.90 | 0.13 | (0.07) | 0.06 | (0.13) | — | — | (0.13) | — | (0.07) | 10.83 | 0.56 | 32,400 | 1.50 | 1.87 | 1.20 | 55 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliates(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet Low Duration Core Plus Bond Fund (Continued) | ||||||||||||||||||
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $10.96 | 0.08 | (0.43) | (0.35) | (0.08) | — | — | (0.08) | — | (0.43) | $10.53 | (3.21) % | $ 568,024 | 0.50 % | 0.63 % | 1.48 % | 24 % | |
10/1/20 to 9/30/21 | 10.95 | 0.18 | 0.01 | 0.19 | (0.18) | — | — | (0.18) | — | 0.01 | 10.96 | 1.78 | 634,354 | 0.50 | 0.65 | 1.64 | 55 | |
10/1/19 to 9/30/20 | 10.85 | 0.27 | 0.10 | 0.37 | (0.27) | — | — | (0.27) | — | 0.10 | 10.95 | 3.46 | 401,784 | 0.50 | 0.67 | 2.49 | 57 | |
10/1/18 to 9/30/19 | 10.63 | 0.31 | 0.22 | 0.53 | (0.31) | — | — | (0.31) | — | 0.22 | 10.85 | 5.09 | 352,583 | 0.50 | 0.70 | 2.91 | 45 | |
10/1/17 to 9/30/18 | 10.83 | 0.28 | (0.20) | 0.08 | (0.28) | — | — | (0.28) | — | (0.20) | 10.63 | 0.71 | 265,252 | 0.50 | 0.83 | 2.57 | 54 | |
10/1/16 to 9/30/17 | 10.90 | 0.24 | (0.07) | 0.17 | (0.24) | — | — | (0.24) | — | (0.07) | 10.83 | 1.56 | 250,777 | 0.50 | 0.88 | 2.21 | 55 | |
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $10.96 | 0.08 | (0.42) | (0.34) | (0.08) | — | — | (0.08) | — | (0.42) | $10.54 | (3.08) % | $ 31,332 | 0.43 % | 0.57 % | 1.56 % | 24 % | |
10/1/20 to 9/30/21 | 10.96 | 0.16 | 0.03 | 0.19 | (0.19) | — | — | (0.19) | — | — (9) | 10.96 | 1.76 | 27,222 | 0.43 | 0.57 | 1.46 | 55 | |
10/1/19 to 9/30/20 | 10.86 | 0.28 | 0.10 | 0.38 | (0.28) | — | — | (0.28) | — | 0.10 | 10.96 | 3.54 | 387 | 0.43 | 0.61 | 2.56 | 57 | |
12/19/18 (11) to 9/30/19 | 10.58 | 0.25 | 0.28 | 0.53 | (0.25) | — | — | (0.25) | — | 0.28 | 10.86 | 5.08 | 282 | 0.43 | 0.62 | 3.02 | 45 (12) | |
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $10.35 | 0.19 | (0.59) | (0.40) | (0.18) | — | — | (0.18) | — | (0.58) | $ 9.77 | (3.88) % | $ 71,191 | 0.99 % | 1.07 % | 3.67 % | 20 % | |
10/1/20 to 9/30/21 | 10.06 | 0.37 | 0.27 | 0.64 | (0.35) | — | — | (0.35) | — (9) | 0.29 | 10.35 | 6.45 (10) | 82,697 | 0.99 | 1.07 | 3.56 | 77 | |
10/1/19 to 9/30/20 | 10.16 | 0.39 | (0.11) | 0.28 | (0.38) | — | — | (0.38) | — | (0.10) | 10.06 | 2.86 | 78,378 | 0.99 | 1.09 | 3.87 | 95 | |
10/1/18 to 9/30/19 | 9.97 | 0.43 | 0.19 | 0.62 | (0.38) | (0.05) | — | (0.43) | — (9) | 0.19 | 10.16 | 6.43 (10) | 86,034 | 0.98 | 1.10 | 4.34 | 81 | |
10/1/17 to 9/30/18 | 10.42 | 0.45 | (0.46) | (0.01) | (0.42) | (0.02) | — | (0.44) | — | (0.45) | 9.97 | (0.14) | 73,217 | 0.98 | 1.10 | 4.43 | 70 | |
10/1/16 to 9/30/17 | 10.30 | 0.47 | 0.10 | 0.57 | (0.45) | — | — | (0.45) | — | 0.12 | 10.42 | 5.64 (8) | 87,144 | 1.01 (7)(8) | 1.13 | 4.55 (8) | 64 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $10.46 | 0.15 | (0.59) | (0.44) | (0.14) | — | — | (0.14) | — | (0.58) | $ 9.88 | (4.20) % | $ 17,097 | 1.74 % | 1.83 % | 2.91 % | 20 % | |
10/1/20 to 9/30/21 | 10.17 | 0.29 | 0.27 | 0.56 | (0.27) | — | — | (0.27) | — (9) | 0.29 | 10.46 | 5.58 (10) | 20,004 | 1.74 | 1.82 | 2.81 | 77 | |
10/1/19 to 9/30/20 | 10.26 | 0.31 | (0.10) | 0.21 | (0.30) | — | — | (0.30) | — | (0.09) | 10.17 | 2.16 | 30,872 | 1.74 | 1.83 | 3.12 | 95 | |
10/1/18 to 9/30/19 | 10.07 | 0.36 | 0.19 | 0.55 | (0.31) | (0.05) | — | (0.36) | — (9) | 0.19 | 10.26 | 5.57 (10) | 39,778 | 1.73 | 1.85 | 3.63 | 81 | |
10/1/17 to 9/30/18 | 10.53 | 0.38 | (0.48) | (0.10) | (0.34) | (0.02) | — | (0.36) | — | (0.46) | 10.07 | (0.96) | 53,809 | 1.73 | 1.83 | 3.68 | 70 | |
10/1/16 to 9/30/17 | 10.40 | 0.39 | 0.11 | 0.50 | (0.37) | — | — | (0.37) | — | 0.13 | 10.53 | 4.90 (8) | 63,919 | 1.77 (7)(8) | 1.88 | 3.80 (8) | 64 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $10.33 | 0.20 | (0.59) | (0.39) | (0.20) | — | — | (0.20) | — | (0.59) | $ 9.74 | (3.83) % | $ 176,014 | 0.74 % | 0.83 % | 3.91 % | 20 % | |
10/1/20 to 9/30/21 | 10.05 | 0.39 | 0.28 | 0.67 | (0.39) | — | — | (0.39) | — (9) | 0.28 | 10.33 | 6.70 (10) | 212,633 | 0.74 | 0.82 | 3.80 | 77 | |
10/1/19 to 9/30/20 | 10.15 | 0.41 | (0.10) | 0.31 | (0.41) | — | — | (0.41) | — | (0.10) | 10.05 | 3.19 | 299,784 | 0.74 | 0.83 | 4.09 | 95 | |
10/1/18 to 9/30/19 | 9.98 | 0.46 | 0.18 | 0.64 | (0.42) | (0.05) | — | (0.47) | — (9) | 0.17 | 10.15 | 6.57 (10) | 177,574 | 0.73 | 0.85 | 4.57 | 81 | |
10/1/17 to 9/30/18 | 10.43 | 0.48 | (0.47) | 0.01 | (0.44) | (0.02) | — | (0.46) | — | (0.45) | 9.98 | 0.14 | 162,322 | 0.73 | 0.83 | 4.66 | 70 | |
10/1/16 to 9/30/17 | 10.31 | 0.50 | 0.09 | 0.59 | (0.47) | — | — | (0.47) | — | 0.12 | 10.43 | 5.90 (8) | 205,821 | 0.75 (7)(8) | 0.88 | 4.83 (8) | 64 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliates(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet Multi-Sector Intermediate Bond Fund (Continued) | ||||||||||||||||||
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $10.38 | 0.21 | (0.59) | (0.38) | (0.20) | — | — | (0.20) | — | (0.58) | $ 9.80 | (3.71) % | $ 5,737 | 0.60 % | 0.76 % | 4.05 % | 20 % | |
10/1/20 to 9/30/21 | 10.08 | 0.41 | 0.28 | 0.69 | (0.39) | — | — | (0.39) | — (9) | 0.30 | 10.38 | 6.87 (10) | 6,345 | 0.60 | 0.75 | 3.94 | 77 | |
10/1/19 to 9/30/20 | 10.17 | 0.42 | (0.10) | 0.32 | (0.41) | — | — | (0.41) | — | (0.09) | 10.08 | 3.28 | 6,068 | 0.60 | 0.76 | 4.25 | 95 | |
10/1/18 to 9/30/19 | 9.98 | 0.46 | 0.20 | 0.66 | (0.42) | (0.05) | — | (0.47) | — (9) | 0.19 | 10.17 | 6.77 (10) | 4,903 | 0.59 | 0.78 | 4.65 | 81 | |
10/1/17 to 9/30/18 | 10.43 | 0.49 | (0.47) | 0.02 | (0.45) | (0.02) | — | (0.47) | — | (0.45) | 9.98 | 0.19 | 15,750 | 0.62 | 0.76 | 4.78 | 70 | |
10/1/16 to 9/30/17 | 10.31 | 0.50 | 0.10 | 0.60 | (0.48) | — | — | (0.48) | — | 0.12 | 10.43 | 5.98 (8) | 19,410 | 0.67 (7)(8) | 0.82 | 4.79 (8) | 64 | |
Newfleet Multi-Sector Short Term Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 4.76 | 0.04 | (0.20) | (0.16) | (0.04) | — | — | (0.04) | — | (0.20) | $ 4.56 | (3.29) % | $ 871,093 | 0.92 % (7) | 0.95 % | 1.85 % | 20 % | |
10/1/20 to 9/30/21 | 4.73 | 0.10 | 0.03 | 0.13 | (0.10) | — | — | (0.10) | — | 0.03 | 4.76 | 2.78 | 956,384 | 0.96 (13) | 0.96 | 2.02 | 64 | |
10/1/19 to 9/30/20 | 4.72 | 0.12 | 0.02 | 0.14 | (0.12) | (0.01) | — | (0.13) | — | 0.01 | 4.73 | 3.10 | 857,107 | 0.98 (13) | 0.98 | 2.58 | 70 | |
10/1/18 to 9/30/19 | 4.65 | 0.14 | 0.07 | 0.21 | (0.12) | (0.02) | — | (0.14) | — | 0.07 | 4.72 | 4.62 | 898,392 | 0.97 (13) | 0.98 | 3.01 | 58 | |
10/1/17 to 9/30/18 | 4.78 | 0.14 | (0.14) | — | (0.12) | (0.01) | — | (0.13) | — | (0.13) | 4.65 | 0.05 | 711,425 | 0.97 (13) | 0.98 | 2.88 | 55 | |
10/1/16 to 9/30/17 | 4.78 | 0.14 | — | 0.14 | (0.14) | — | — | (0.14) | — | — | 4.78 | 3.07 (8) | 925,677 | 1.00 (8)(13) | 1.01 | 3.04 (8) | 69 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 4.83 | 0.04 | (0.21) | (0.17) | (0.04) | — | — | (0.04) | — | (0.21) | $ 4.62 | (3.58) % | $ 226,060 | 1.18 % (7) | 1.21 % | 1.59 % | 20 % | |
10/1/20 to 9/30/21 | 4.79 | 0.09 | 0.04 | 0.13 | (0.09) | — | — | (0.09) | — | 0.04 | 4.83 | 2.69 | 267,919 | 1.21 (13) | 1.21 | 1.82 | 64 | |
10/1/19 to 9/30/20 | 4.78 | 0.11 | 0.02 | 0.13 | (0.11) | (0.01) | — | (0.12) | — | 0.01 | 4.79 | 2.81 | 433,279 | 1.21 (13) | 1.21 | 2.35 | 70 | |
10/1/18 to 9/30/19 | 4.71 | 0.13 | 0.07 | 0.20 | (0.11) | (0.02) | — | (0.13) | — | 0.07 | 4.78 | 4.31 | 575,524 | 1.21 (13) | 1.21 | 2.78 | 58 | |
10/1/17 to 9/30/18 | 4.84 | 0.13 | (0.14) | (0.01) | (0.11) | (0.01) | — | (0.12) | — | (0.13) | 4.71 | (0.18) | 1,039,109 | 1.20 (13) | 1.21 | 2.66 | 55 | |
10/1/16 to 9/30/17 | 4.84 | 0.13 | — | 0.13 | (0.13) | — | — | (0.13) | — | — | 4.84 | 2.78 (8) | 1,266,378 | 1.25 (8)(13) | 1.25 | 2.80 (8) | 69 | |
Class C1 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 4.82 | 0.03 | (0.21) | (0.18) | (0.03) | — | — | (0.03) | — | (0.21) | $ 4.61 | (3.82) % | $ 59,955 | 1.68 % (7) | 1.70 % | 1.09 % | 20 % | |
10/1/20 to 9/30/21 | 4.78 | 0.06 | 0.04 | 0.10 | (0.06) | — | — | (0.06) | — | 0.04 | 4.82 | 2.19 | 70,114 | 1.71 (13) | 1.71 | 1.32 | 64 | |
10/1/19 to 9/30/20 | 4.77 | 0.09 | 0.02 | 0.11 | (0.09) | (0.01) | — | (0.10) | — | 0.01 | 4.78 | 2.31 | 114,699 | 1.71 (13) | 1.71 | 1.85 | 70 | |
10/1/18 to 9/30/19 | 4.70 | 0.11 | 0.07 | 0.18 | (0.09) | (0.02) | — | (0.11) | — | 0.07 | 4.77 | 3.80 | 195,185 | 1.71 (13) | 1.72 | 2.28 | 58 | |
10/1/17 to 9/30/18 | 4.83 | 0.10 | (0.13) | (0.03) | (0.09) | (0.01) | — | (0.10) | — | (0.13) | 4.70 | (0.68) | 304,444 | 1.70 (13) | 1.71 | 2.16 | 55 | |
10/1/16 to 9/30/17 | 4.83 | 0.11 | — | 0.11 | (0.11) | — | — | (0.11) | — | — | 4.83 | 2.28 (8) | 377,835 | 1.75 (8)(13) | 1.75 | 2.30 (8) | 69 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 4.77 | 0.05 | (0.20) | (0.15) | (0.05) | — | — | (0.05) | — | (0.20) | $ 4.57 | (3.16) % | $4,953,309 | 0.67 % (7) | 0.70 % | 2.10 % | 20 % | |
10/1/20 to 9/30/21 | 4.73 | 0.11 | 0.04 | 0.15 | (0.11) | — | — | (0.11) | — | 0.04 | 4.77 | 3.25 | 5,221,147 | 0.71 (13) | 0.71 | 2.28 | 64 | |
10/1/19 to 9/30/20 | 4.72 | 0.13 | 0.02 | 0.15 | (0.13) | (0.01) | — | (0.14) | — | 0.01 | 4.73 | 3.36 | 4,539,835 | 0.72 (13) | 0.72 | 2.83 | 70 | |
10/1/18 to 9/30/19 | 4.66 | 0.15 | 0.06 | 0.21 | (0.13) | (0.02) | — | (0.15) | — | 0.06 | 4.72 | 4.66 | 4,695,968 | 0.72 (13) | 0.72 | 3.26 | 58 | |
10/1/17 to 9/30/18 | 4.79 | 0.15 | (0.14) | 0.01 | (0.13) | (0.01) | — | (0.14) | — | (0.13) | 4.66 | 0.32 | 4,981,559 | 0.71 (13) | 0.71 | 3.16 | 55 | |
10/1/16 to 9/30/17 | 4.78 | 0.16 | 0.01 | 0.17 | (0.16) | — | — | (0.16) | — | 0.01 | 4.79 | 3.54 (8) | 4,811,684 | 0.75 (8)(13) | 0.76 | 3.30 (8) | 69 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliates(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet Multi-Sector Short Term Bond Fund (Continued) | ||||||||||||||||||
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 4.78 | 0.05 | (0.20) | (0.15) | (0.05) | — | — | (0.05) | — | (0.20) | $ 4.58 | (3.12) % | $ 28,859 | 0.53 % (7) | 0.67 % | 2.24 % | 20 % | |
10/1/20 to 9/30/21 | 4.74 | 0.12 | 0.04 | 0.16 | (0.12) | — | — | (0.12) | — | 0.04 | 4.78 | 3.31 | 30,118 | 0.55 | 0.67 | 2.42 | 64 | |
10/1/19 to 9/30/20 | 4.72 | 0.14 | 0.03 | 0.17 | (0.14) | (0.01) | — | (0.15) | — | 0.02 | 4.74 | 3.65 | 11,358 | 0.55 | 0.65 | 2.99 | 70 | |
10/1/18 to 9/30/19 | 4.65 | 0.16 | 0.07 | 0.23 | (0.14) | (0.02) | — | (0.16) | — | 0.07 | 4.72 | 4.96 | 6,408 | 0.55 | 0.65 | 3.42 | 58 | |
10/1/17 to 9/30/18 | 4.78 | 0.15 | (0.13) | 0.02 | (0.14) | (0.01) | — | (0.15) | — | (0.13) | 4.65 | 0.38 | 3,161 | 0.59 (7) | 0.65 | 3.29 | 55 | |
11/3/16 (11) to 9/30/17 | 4.76 | 0.15 | 0.02 | 0.17 | (0.15) | — | — | (0.15) | — | 0.02 | 4.78 | 3.54 (8) | 2,533 | 0.70 (8) | 0.71 | 3.05 (8) | 69 (12) | |
Newfleet Senior Floating Rate Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 9.01 | 0.14 | (0.14) | — | (0.14) | — | — | (0.14) | — | (0.14) | $ 8.87 | 0.01 % | $ 60,374 | 1.04 % (14) | 1.08 % | 3.15 % | 19 % | |
10/1/20 to 9/30/21 | 8.58 | 0.28 | 0.43 | 0.71 | (0.28) | — | — | (0.28) | — | 0.43 | 9.01 | 8.40 | 72,274 | 1.04 (14) | 1.08 | 3.18 | 65 | |
10/1/19 to 9/30/20 | 9.11 | 0.38 | (0.54) | (0.16) | (0.37) | — | — | (0.37) | — | (0.53) | 8.58 | (1.66) | 57,743 | 1.12 (14) | 1.13 | 4.31 | 40 | |
10/1/18 to 9/30/19 | 9.41 | 0.46 | (0.30) | 0.16 | (0.46) | — | — | (0.46) | — | (0.30) | 9.11 | 1.80 | 167,595 | 1.10 (14) | 1.11 | 4.96 | 24 | |
10/1/17 to 9/30/18 | 9.42 | 0.41 | (0.01) | 0.40 | (0.41) | — | — | (0.41) | — | (0.01) | 9.41 | 4.33 | 196,025 | 1.09 | 1.12 | 4.31 | 37 | |
10/1/16 to 9/30/17 | 9.42 | 0.37 | 0.02 | 0.39 | (0.39) | — | — | (0.39) | — | — | 9.42 | 4.28 | 223,055 | 1.10 (7) | 1.16 | 3.95 | 95 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 9.02 | 0.11 | (0.14) | (0.03) | (0.11) | — | — | (0.11) | — | (0.14) | $ 8.88 | (0.36) % | $ 8,262 | 1.80 % (14) | 1.87 % | 2.40 % | 19 % | |
10/1/20 to 9/30/21 | 8.59 | 0.22 | 0.43 | 0.65 | (0.22) | — | — | (0.22) | — | 0.43 | 9.02 | 7.59 | 9,595 | 1.78 (14) | 1.85 | 2.49 | 65 | |
10/1/19 to 9/30/20 | 9.12 | 0.30 | (0.52) | (0.22) | (0.31) | — | — | (0.31) | — | (0.53) | 8.59 | (2.36) | 27,287 | 1.86 (14) | 1.92 | 3.47 | 40 | |
10/1/18 to 9/30/19 | 9.42 | 0.39 | (0.30) | 0.09 | (0.39) | — | — | (0.39) | — | (0.30) | 9.12 | 1.05 | 47,050 | 1.86 (14) | 1.92 | 4.23 | 24 | |
10/1/17 to 9/30/18 | 9.44 | 0.33 | (0.01) | 0.32 | (0.34) | — | — | (0.34) | — | (0.02) | 9.42 | 3.45 | 78,558 | 1.84 | 1.91 | 3.55 | 37 | |
10/1/16 to 9/30/17 | 9.43 | 0.30 | 0.03 | 0.33 | (0.32) | — | — | (0.32) | — | 0.01 | 9.44 | 3.50 | 97,800 | 1.85 (7) | 1.92 | 3.20 | 95 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 9.00 | 0.15 | (0.14) | 0.01 | (0.15) | — | — | (0.15) | — | (0.14) | $ 8.86 | 0.13 % | $ 136,059 | 0.79 % (14) | 0.84 % | 3.39 % | 19 % | |
10/1/20 to 9/30/21 | 8.57 | 0.30 | 0.44 | 0.74 | (0.31) | — | — | (0.31) | — | 0.43 | 9.00 | 8.68 | 136,742 | 0.79 (14) | 0.83 | 3.42 | 65 | |
10/1/19 to 9/30/20 | 9.10 | 0.39 | (0.52) | (0.13) | (0.40) | — | — | (0.40) | — | (0.53) | 8.57 | (1.39) | 110,156 | 0.86 (14) | 0.91 | 4.45 | 40 | |
10/1/18 to 9/30/19 | 9.40 | 0.48 | (0.30) | 0.18 | (0.48) | — | — | (0.48) | — | (0.30) | 9.10 | 2.05 | 158,703 | 0.86 (14) | 0.91 | 5.20 | 24 | |
10/1/17 to 9/30/18 | 9.42 | 0.43 | (0.02) | 0.41 | (0.43) | — | — | (0.43) | — | (0.02) | 9.40 | 4.48 | 228,058 | 0.84 | 0.90 | 4.56 | 37 | |
10/1/16 to 9/30/17 | 9.41 | 0.40 | 0.02 | 0.42 | (0.41) | — | — | (0.41) | — | 0.01 | 9.42 | 4.54 | 250,770 | 0.84 (7) | 0.92 | 4.21 | 95 | |
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 9.00 | 0.16 | (0.14) | 0.02 | (0.16) | — | — | (0.16) | — | (0.14) | $ 8.86 | 0.20 % | $ 1,379 | 0.65 % (14) | 0.78 % | 3.54 % | 19 % | |
10/1/20 to 9/30/21 | 8.57 | 0.32 | 0.43 | 0.75 | (0.32) | — | — | (0.32) | — | 0.43 | 9.00 | 8.83 | 1,616 | 0.65 (14) | 0.77 | 3.61 | 65 | |
10/1/19 to 9/30/20 | 9.11 | 0.37 | (0.50) | (0.13) | (0.41) | — | — | (0.41) | — | (0.54) | 8.57 | (1.33) | 2,746 | 0.70 (14) | 0.82 | 4.51 | 40 | |
10/1/18 to 9/30/19 | 9.40 | 0.49 | (0.28) | 0.21 | (0.50) | — | — | (0.50) | — | (0.29) | 9.11 | 2.31 | 219 | 0.71 (14) | 0.84 | 5.35 | 24 | |
10/1/17 to 9/30/18 | 9.42 | 0.44 | (0.02) | 0.42 | (0.44) | — | — | (0.44) | — | (0.02) | 9.40 | 4.60 | 105 | 0.75 (7) | 0.86 | 4.70 | 37 | |
11/3/16 (11) to 9/30/17 | 9.43 | 0.36 | 0.01 | 0.37 | (0.38) | — | — | (0.38) | — | (0.01) | 9.42 | 4.32 | 104 | 0.77 (7) | 0.86 | 3.76 | 95 (12) |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliates(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(3) | ||
Newfleet Tax-Exempt Bond Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $11.36 | 0.11 | (0.69) | (0.58) | (0.11) | — | (0.04) | (0.15) | — | (0.73) | $10.63 | (5.16) % | $ 34,031 | 0.84 % (7) | 1.00 % | 2.01 % | 1 % | |
10/1/20 to 9/30/21 | 11.45 | 0.23 | — (9) | 0.23 | (0.23) | — | (0.09) | (0.32) | — | (0.09) | 11.36 | 2.04 | 37,928 | 0.85 | 1.01 | 2.05 | 6 | |
10/1/19 to 9/30/20 | 11.34 | 0.25 | 0.11 | 0.36 | (0.25) | — | — | (0.25) | — | 0.11 | 11.45 | 3.17 | 37,078 | 0.85 | 1.01 | 2.21 | 6 | |
10/1/18 to 9/30/19 | 10.88 | 0.27 | 0.53 | 0.80 | (0.27) | — | (0.07) | (0.34) | — | 0.46 | 11.34 | 7.50 | 38,374 | 0.85 | 0.99 | 2.47 | 4 | |
10/1/17 to 9/30/18 | 11.28 | 0.31 | (0.35) | (0.04) | (0.31) | — | (0.05) | (0.36) | — | (0.40) | 10.88 | (0.35) | 36,238 | 0.85 | 0.99 | 2.78 | 15 | |
10/1/16 to 9/30/17 | 11.55 | 0.31 | (0.26) | 0.05 | (0.30) | — | (0.02) | (0.32) | — | (0.27) | 11.28 | 0.48 (8) | 46,657 | 0.85 (8) | 1.03 | 2.78 (8) | 9 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $11.36 | 0.07 | (0.69) | (0.62) | (0.07) | — | (0.04) | (0.11) | — | (0.73) | $10.63 | (5.51) % | $ 2,944 | 1.59 % (7) | 1.75 % | 1.26 % | 1 % | |
10/1/20 to 9/30/21 | 11.45 | 0.15 | — (9) | 0.15 | (0.15) | — | (0.09) | (0.24) | — | (0.09) | 11.36 | 1.28 | 3,561 | 1.60 | 1.75 | 1.31 | 6 | |
10/1/19 to 9/30/20 | 11.34 | 0.17 | 0.10 | 0.27 | (0.16) | — | — | (0.16) | — | 0.11 | 11.45 | 2.40 | 8,145 | 1.60 | 1.74 | 1.47 | 6 | |
10/1/18 to 9/30/19 | 10.89 | 0.19 | 0.52 | 0.71 | (0.19) | — | (0.07) | (0.26) | — | 0.45 | 11.34 | 6.60 | 11,194 | 1.60 | 1.73 | 1.73 | 4 | |
10/1/17 to 9/30/18 | 11.29 | 0.22 | (0.34) | (0.12) | (0.23) | — | (0.05) | (0.28) | — | (0.40) | 10.89 | (1.09) | 15,238 | 1.60 | 1.73 | 2.03 | 15 | |
10/1/16 to 9/30/17 | 11.55 | 0.23 | (0.25) | (0.02) | (0.22) | — | (0.02) | (0.24) | — | (0.26) | 11.29 | (0.18) (8) | 20,832 | 1.60 (8) | 1.78 | 2.03 (8) | 9 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $11.36 | 0.13 | (0.70) | (0.57) | (0.12) | — | (0.04) | (0.16) | — | (0.73) | $10.63 | (5.04) % | $ 53,742 | 0.59 % (7) | 0.77 % | 2.26 % | 1 % | |
10/1/20 to 9/30/21 | 11.45 | 0.26 | — (9) | 0.26 | (0.26) | — | (0.09) | (0.35) | — | (0.09) | 11.36 | 2.29 | 62,412 | 0.60 | 0.77 | 2.30 | 6 | |
10/1/19 to 9/30/20 | 11.34 | 0.28 | 0.10 | 0.38 | (0.27) | — | — | (0.27) | — | 0.11 | 11.45 | 3.43 | 67,924 | 0.60 | 0.78 | 2.46 | 6 | |
10/1/18 to 9/30/19 | 10.88 | 0.30 | 0.53 | 0.83 | (0.30) | — | (0.07) | (0.37) | — | 0.46 | 11.34 | 7.76 | 84,588 | 0.60 | 0.78 | 2.72 | 4 | |
10/1/17 to 9/30/18 | 11.28 | 0.33 | (0.34) | (0.01) | (0.34) | — | (0.05) | (0.39) | — | (0.40) | 10.88 | (0.10) | 102,516 | 0.60 | 0.74 | 3.03 | 15 | |
10/1/16 to 9/30/17 | 11.55 | 0.34 | (0.26) | 0.08 | (0.33) | — | (0.02) | (0.35) | — | (0.27) | 11.28 | 0.73 (8) | 100,062 | 0.60 (8) | 0.79 | 3.04 (8) | 9 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Sales charges, where applicable, are not reflected in the total return calculation. |
(3) | Not annualized for periods less than one year. |
(4) | Annualized for periods less than one year. |
(5) | The Funds will also indirectly bear their prorated share of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(8) | State Street Bank & Trust, custodian for some of the Funds through January 29, 2010, reimbursed the Funds for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses and increase the Ratio of Net Investment Income (Loss) as follows: Newfleet Core Plus Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet High Yield Fund 0.08% (Class A), 0.08% (Class C), 0.08% (Class I), 0.00% (Class R6) Newfleet Multi-Sector Intermediate Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet Multi-Sector Short Term Bond Fund 0.01% (Class A), 0.01% (Class C), 0.01% (Class C1), 0.01% (Class I), 0.01% (Class R6) Newfleet Tax-Exempt Bond Fund 0.01% (Class A), 0.01% (Class C), 0.01% (Class I) Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return as follows: Newfleet Core Plus Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet High Yield Fund 0.08% (Class A), 0.08% (Class C), 0.08% (Class I), 0.00% (Class R6) Newfleet Multi-Sector Intermediate Bond Fund 0.02% (Class A), 0.02% (Class C), 0.02% (Class I), 0.00% (Class R6) Newfleet Multi-Sector Short Term Bond Fund 0.01% (Class A), 0.01% (Class C), 0.01% (Class C1), 0.01% (Class I), 0.01% (Class R6) Newfleet Tax-Exempt Bond Fund 0.01% (Class A), 0.01% (Class C), 0.01% (Class I) |
(9) | Amount is less than $0.005 per share. |
(10) | Payment from affiliate had no impact on total return. |
(11) | Inception date. |
(12) | Portfolio turnover is representative of the Fund for the entire period. |
(13) | The share class is currently under its expense limitation. |
(14) | Ratios of total expenses excluding borrowing expenses for period ended March 31, 2022, and year ended September 30, 2021, 2020 and 2019, were 0.94% (Class A), 1.69% (Class C), 0.69% (Class I) and 0.55% (Class R6). |
Fund | Investment objective(s) | |
Newfleet Core Plus Bond Fund | High total return from both current income and capital appreciation. | |
Newfleet High Yield Fund | High current income and a secondary objective of capital growth. | |
Newfleet Low Duration Core Plus Bond Fund | To provide a high level of total return, including a competitive level of current income, while limiting fluctuations in net asset value due to changes in interest rates. | |
Newfleet Multi-Sector Intermediate Bond Fund | Maximizing current income while preserving capital. | |
Newfleet Multi-Sector Short Term Bond Fund | To provide a high current income, while attempting to limit changes in the Fund’s net asset value per share caused by interest rate changes. | |
Newfleet Senior Floating Rate Fund | High total return from both current income and capital appreciation. | |
Newfleet Tax-Exempt Bond Fund | Providing a high level of current income that is exempt from federal income tax. |
A. | Security Valuation |
Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. | |
• Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Fund is notified. Interest income is recorded on the accrual basis. Each Fund amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
Each Fund is treated as a separate taxable entity. It is the intention of each Fund to comply with the requirements of Subchapter M of the Internal Revenue Code 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 Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Each Fund’s 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 Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each Fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | Payment-In-Kind Securities |
Certain Funds may invest in payment-in-kind securities, which are debt or preferred stock securities that require or permit payment of interest in the form of additional securities. Payment-in-kind securities allow the issuer to avoid or delay the need to generate cash to meet current interest payments and, as a result, may involve greater risk than securities that pay interest currently or in cash. | |
H. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
Certain Funds may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Fund to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Funds to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. Each Fund records when-issued and forward commitment securities on the trade date. Each Fund maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date. |
I. | Interest-Only and Principal-Only Securities |
Certain Funds may invest in stripped mortgage-backed securities. Stripped mortgage-backed securities represent a participation in, or are secured by, or payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. Stripped mortgage-backed securities include interest-only securities (IOs) which receive all of the interest, and principal-only securities (POs) which receive all of the principal. The market value of these securities is highly sensitive to changes in interest rates and a rapid (slow) rate of principal payments may have an adverse (positive) effect on yield to maturity. Payments received for IOs are included in interest income. Because principal will not be received at the maturity of an IO, adjustments are made to the book value of the security on a daily basis until maturity and these adjustments are also included in interest income. Payments received for POs are treated as reductions to the cost and par value of the securities. Any paydown gains or losses associated with the payments received are included in interest income. If the underlying mortgage assets are greater than anticipated payments of principal, a Fund may fail to recoup some or all of its initial investment in these securities. | |
J. | Leveraged Loans |
Certain Funds may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the leveraged loan. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. A Fund generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When a Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan. | |
A Fund may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due. | |
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, SOFR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased a Fund may pay an assignment fee. On an ongoing basis, a Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. | |
A Fund may invest in both secured loans and “covenant lite” loans which have few or no financial maintenance covenants that would require a borrower to maintain certain financial metrics. The lack of financial maintenance covenants in covenant lite loans increases the risk that the applicable Fund will experience difficulty or delays in enforcing its rights on its holdings of such loans, which may result in losses, especially during a downturn in the credit cycle. | |
K. | Securities Lending |
The Funds may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities a Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by each Fund under a Master Securities Lending Agreement (“MSLA”) which permits the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
At March 31, 2022, the securities loaned were subject to a MSLA on a net payment basis as follows: |
Fund | Value of Securities on Loan | Cash Collateral Received(1) | Net Amount(2) | |||
Newfleet High Yield Fund | $ 1,863 | $ 1,863 | $ — | |||
Newfleet Low Duration Core Plus Bond Fund | 355 | 355 | — | |||
Newfleet Multi-Sector Intermediate Bond Fund | 3,533 | 3,533 | — | |||
Newfleet Multi-Sector Short Term Bond Fund | 6,348 | 6,348 | — |
(1) | Collateral received in excess of the market value of securities on loan is not presented in this table. The cash collateral received in connection with securities lending transactions has been used for the purchase of securities as disclosed in the Fund’s Schedule of Investments. |
(2) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
Fund | Investment of Cash Collateral | Overnight and Continuous | ||
Newfleet High Yield Fund | Money Market Mutual Fund | $1,945 | ||
Newfleet Low Duration Core Plus Bond Fund | Money Market Mutual Fund | 363 | ||
Newfleet Multi-Sector Intermediate Bond Fund | Money Market Mutual Fund | 3,671 | ||
Newfleet Multi-Sector Short Term Bond Fund | Money Market Mutual Fund | 6,572 |
A. | Investment Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Funds. The Adviser manages the Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadviser. | |
As compensation for its services to the Funds, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets of each Fund: |
First $1 Billion | $1+ Billion | ||
Newfleet Core Plus Bond Fund | 0.45 % | 0.40 % | |
Newfleet Tax-Exempt Bond Fund | 0.45 | 0.40 |
First $2 Billion | $2+ Billion | ||
Newfleet Low Duration Core Plus Bond Fund | 0.40 % | 0.375 % |
First $1 Billion | $1+ Billion through $2 Billion | $2+ Billion | |||
Newfleet High Yield Fund | 0.55 % | 0.50 % | 0.45 % | ||
Newfleet Multi-Sector Intermediate Bond Fund | 0.55 | 0.50 | 0.45 |
First $1 Billion | $1+ Billion through $2 Billion | $2+ Billion through $10 Billion | Over $10 Billion | ||||
Newfleet Multi-Sector Short Term Bond Fund | 0.55 % | 0.50 % | 0.45 % | 0.425% |
First $2 Billion | $2+ Billion through $4 Billion | $4+ Billion | |||
Newfleet Senior Floating Rate Fund | 0.45 % | 0.40 % | 0.38 % |
B. | Subadviser |
Newfleet Asset Management, LLC (the “Subadviser”), an indirect, wholly-owned subsidiary of Virtus, is the subadviser to the Funds. The Subadviser manages the investments of each Fund, for which it is paid a fee by the Adviser. | |
C. | Expense Limitations |
The Adviser has contractually agreed to limit each Fund’s annual total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through January 31, 2023. Following the contractual period, the Adviser may discontinue these expense limitation arrangements at any time. The waivers and reimbursements are accrued daily and received monthly. |
Fund | Class A | Class C | Class C1 | Class I | Class R6 | |||||
Newfleet Core Plus Bond Fund | 0.80 % | 1.55 % | N/A % | 0.55 % | 0.43 % | |||||
Newfleet High Yield Fund | 1.00 | 1.75 | N/A | 0.75 | 0.59 | |||||
Newfleet Low Duration Core Plus Bond Fund | 0.75 | 1.50 | N/A | 0.50 | 0.43 | |||||
Newfleet Multi-Sector Intermediate Bond Fund | 0.99 | 1.74 | N/A | 0.74 | 0.60 | |||||
Newfleet Multi-Sector Short Term Bond Fund(1) | 0.90 | 1.16 | 1.66 | 0.65 | 0.52 | |||||
Newfleet Senior Floating Rate Fund | 0.94 | 1.69 | N/A | 0.69 | 0.55 | |||||
Newfleet Tax-Exempt Bond Fund(2) | 0.83 | 1.58 | N/A | 0.58 | N/A |
(1) | Effective December 1, 2021. For the period February 1, 2021 through November 30, 2021, the expense caps were as follows for Class A shares, Class C shares, Class C1 shares, Class I shares and Class R6 shares, respectively: 1.10%, 1.35%, 1.85%, 0.85% and 0.55%. |
(2) | Effective December 1, 2021. For the period February 1, 2021 through November 30, 2021, the expense caps were as follows for Class A shares, Class C shares and Class I shares, respectively: 0.85%, 1.60% and 0.60%. |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the period ending March 31: |
Expiration | ||||||||||
Fund | 2022 | 2023 | 2024 | 2025 | Total | |||||
Newfleet Core Plus Bond Fund | ||||||||||
Class A | $ 43 | $ 94 | $ 90 | $ 38 | $ 265 | |||||
Class C | 4 | 11 | 9 | 3 | 27 | |||||
Class I | 49 | 147 | 165 | 83 | 444 | |||||
Class R6 | 1 | 3 | 3 | 2 | 9 | |||||
Newfleet High Yield Fund | ||||||||||
Class A | 94 | 169 | 118 | 54 | 435 | |||||
Class C | 4 | 8 | 5 | 2 | 19 | |||||
Class I | 15 | 36 | 26 | 11 | 88 | |||||
Class R6 | 1 | 3 | 6 | 4 | 14 | |||||
Newfleet Low Duration Core Plus Bond Fund | ||||||||||
Class A | 67 | 133 | 129 | 59 | 388 | |||||
Class C | 20 | 35 | 30 | 13 | 98 | |||||
Class I | 298 | 646 | 770 | 404 | 2,118 | |||||
Class R6 | — (1) | 1 | 1 | 22 | 24 | |||||
Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||
Class A | 42 | 76 | 69 | 32 | 219 | |||||
Class C | 23 | 33 | 20 | 8 | 84 | |||||
Class I | 84 | 203 | 206 | 91 | 584 | |||||
Class R6 | 4 | 8 | 9 | 5 | 26 | |||||
Newfleet Multi-Sector Short Term Bond Fund | ||||||||||
Class A | — | — | — | 148 | 148 | |||||
Class C | — | — | — | 42 | 42 | |||||
Class C1 | — | — | — | 9 | 9 | |||||
Class I | — | — | — | 805 | 805 | |||||
Class R6 | 3 | 11 | 32 | 20 | 66 | |||||
Newfleet Senior Floating Rate Fund | ||||||||||
Class A | 15 | 18 | 29 | 14 | 76 | |||||
Class C | 19 | 21 | 13 | 3 | 56 | |||||
Class I | 57 | 68 | 55 | 26 | 206 | |||||
Class R6 | — (1) | 3 | 3 | 1 | 7 |
Expiration | ||||||||||
Fund | 2022 | 2023 | 2024 | 2025 | Total | |||||
Newfleet Tax-Exempt Bond Fund | ||||||||||
Class A | $ 27 | $ 57 | $ 61 | $ 30 | $ 175 | |||||
Class C | 9 | 14 | 8 | 3 | 34 | |||||
Class I | 84 | 138 | 111 | 53 | 386 |
(1) | Amount is less than $500. |
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Fund’s shares. VP Distributors has advised the Funds that for the six months (the “period”) ended March 31, 2022, it retained net commissions of $15 for Class A shares and CDSC of $31, $4 and $6 for Class A shares, Class C shares and Class C1 shares, respectively. | |
In addition, each Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the annual rates of 0.25% for Class A shares and 1.00% for Class C shares (0.50% for Newfleet Multi-Sector Short Term Bond Fund), and 1.00% for Class C1 shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. | |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds. | |
For the period ended March 31, 2022, the Funds incurred administration fees totaling $3,625 which are included in the Statements of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the period ended March 31, 2022, the Funds incurred transfer agent fees totaling $1,616 which are included in the Statements of Operations within the line item “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | Investments with Affiliates |
The Funds are permitted to purchase assets from or sell assets to certain related affiliates under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. | |
Cross trades for the period ended March 31, 2022, were executed by certain Funds pursuant to procedures adopted by the Board designed to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds, or between a fund and another entity, that are or could be considered affiliates by virtue of having a common investment adviser (or affiliated investment advisers), common directors/ trustees and/or common officers. At its regularly scheduled meetings, the Funds’ CCO provides to the Board written representation that certain transactions effected pursuant to 17a-7 complied with procedures adopted by the Board. Pursuant to these procedures, for the period ended March 31, 2022, the Newfleet Core Plus Bond Fund engaged in Rule 17a-7 securities purchases of $6. | |
H. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statements of Assets and Liabilities at March 31, 2022. |
Purchases | Sales | ||
Newfleet Core Plus Bond Fund | $ 40,451 | $ 23,744 | |
Newfleet High Yield Fund | 9,489 | 15,444 | |
Newfleet Low Duration Core Plus Bond Fund | 148,890 | 173,318 | |
Newfleet Multi-Sector Intermediate Bond Fund | 52,265 | 98,675 | |
Newfleet Multi-Sector Short Term Bond Fund | 1,206,445 | 1,387,660 | |
Newfleet Senior Floating Rate Fund | 38,696 | 61,638 |
Purchases | Sales | ||
Newfleet Tax-Exempt Bond Fund | $ 1,219 | $ 6,423 |
Purchases | Sales | ||
Newfleet Core Plus Bond Fund | $ 6,410 | $ 2,242 | |
Newfleet Low Duration Core Plus Bond Fund | 30,091 | 30,378 | |
Newfleet Multi-Sector Intermediate Bond Fund | 6,432 | 6,436 | |
Newfleet Multi-Sector Short Term Bond Fund | 32,430 | 91,006 |
Newfleet Core Plus Bond Fund | Newfleet High Yield Fund | ||||||||||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 92 | $ 1,067 | 433 | $ 5,138 | 171 | $ 718 | 643 | $ 2,719 | |||||||
Reinvestment of distributions | 66 | 759 | 57 | 679 | 225 | 938 | 468 | 1,982 | |||||||
Shares repurchased and cross class conversions | (306) | (3,517) | (731) | (8,665) | (845) | (3,540) | (1,415) | (6,007) | |||||||
Net Increase / (Decrease) | (148) | $ (1,691) | (241) | $ (2,848) | (449) | $ (1,884) | (304) | $ (1,306) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 20 | $ 224 | 83 | $ 958 | 26 | $ 107 | 66 | $ 275 | |||||||
Reinvestment of distributions | 5 | 54 | 4 | 47 | 7 | 27 | 19 | 77 | |||||||
Shares repurchased and cross class conversions | (61) | (680) | (264) | (3,056) | (61) | (249) | (385) | (1,601) | |||||||
Net Increase / (Decrease) | (36) | $ (402) | (177) | $ (2,051) | (28) | $ (115) | (300) | $ (1,249) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 3,784 | $ 43,443 | 2,228 | $ 26,885 | 162 | $ 678 | 1,016 | $ 4,312 | |||||||
Reinvestment of distributions | 161 | 1,877 | 137 | 1,646 | 47 | 196 | 101 | 429 | |||||||
Shares repurchased and cross class conversions | (1,397) | (16,247) | (1,732) | (20,839) | (401) | (1,679) | (1,509) | (6,393) | |||||||
Net Increase / (Decrease) | 2,548 | $ 29,073 | 633 | $ 7,692 | (192) | $ (805) | (392) | $ (1,652) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 51 | $ 589 | 40 | $ 487 | 174 | $ 729 | 308 | $ 1,310 | |||||||
Reinvestment of distributions | 3 | 32 | 2 | 25 | 13 | 54 | 19 | 82 | |||||||
Shares repurchased and cross class conversions | (13) | (150) | (34) | (416) | (79) | (320) | (164) | (695) | |||||||
Net Increase / (Decrease) | 41 | $ 471 | 8 | $ 96 | 108 | $ 463 | 163 | $ 697 |
Newfleet Low Duration Core Plus Bond Fund | Newfleet Multi-Sector Intermediate Bond Fund | ||||||||||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 1,225 | $ 13,228 | 3,365 | $ 36,987 | 394 | $ 3,941 | 1,750 | $ 18,067 | |||||||
Reinvestment of distributions | 43 | 460 | 95 | 1,048 | 114 | 1,151 | 227 | 2,349 | |||||||
Shares repurchased and cross class conversions | (1,734) | (18,618) | (2,222) | (24,429) | (1,210) | (12,257) | (1,779) | (18,425) | |||||||
Net Increase / (Decrease) | (466) | $ (4,930) | 1,238 | $ 13,606 | (702) | $ (7,165) | 198 | $ 1,991 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 340 | $ 3,685 | 721 | $ 7,915 | 75 | $ 776 | 273 | $ 2,855 | |||||||
Reinvestment of distributions | 3 | 38 | 11 | 117 | 23 | 232 | 56 | 587 | |||||||
Shares repurchased and cross class conversions | (373) | (4,034) | (978) | (10,748) | (279) | (2,861) | (1,454) | (15,169) | |||||||
Net Increase / (Decrease) | (30) | $ (311) | (246) | $ (2,716) | (181) | $ (1,853) | (1,125) | $ (11,727) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 10,597 | $ 114,878 | 34,575 | $ 380,072 | 2,259 | $ 22,957 | 6,787 | $ 70,111 | |||||||
Reinvestment of distributions | 391 | 4,210 | 714 | 7,839 | 301 | 3,021 | 573 | 5,912 | |||||||
Shares repurchased and cross class conversions | (14,975) | (161,518) | (14,066) | (154,516) | (5,082) | (51,029) | (16,613) | (171,362) | |||||||
Net Increase / (Decrease) | (3,987) | $ (42,430) | 21,223 | $ 233,395 | (2,522) | $ (25,051) | (9,253) | $ (95,339) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 742 | $ 8,060 | 2,468 | $ 27,070 | 38 | $ 382 | 143 | $ 1,491 | |||||||
Reinvestment of distributions | 19 | 204 | 1 | 10 | 9 | 85 | 16 | 169 | |||||||
Shares repurchased and cross class conversions | (272) | (2,941) | (21) | (233) | (73) | (735) | (150) | (1,556) | |||||||
Net Increase / (Decrease) | 489 | $ 5,323 | 2,448 | $ 26,847 | (26) | $ (268) | 9 | $ 104 |
Newfleet Multi-Sector Short Term Bond Fund | Newfleet Senior Floating Rate Fund | ||||||||||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 16,758 | $ 78,804 | 64,678 | $ 308,633 | 1,293 | $ 11,595 | 2,450 | $ 21,880 | |||||||
Reinvestment of distributions | 1,657 | 7,738 | 3,506 | 16,718 | 102 | 913 | 201 | 1,792 | |||||||
Shares repurchased and cross class conversions | (28,238) | (132,064) | (48,581) | (231,788) | (2,611) | (23,439) | (1,360) | (12,108) | |||||||
Net Increase / (Decrease) | (9,823) | $ (45,522) | 19,603 | $ 93,563 | (1,216) | $ (10,931) | 1,291 | $ 11,564 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 3 | $ 15 | 27 | $ 129 | 176 | $ 1,573 | 87 | $ 779 | |||||||
Reinvestment of distributions | 417 | 1,975 | 1,313 | 6,350 | 11 | 97 | 48 | 427 | |||||||
Shares repurchased and cross class conversions | (7,027) | (33,392) | (36,232) | (175,335) | (320) | (2,861) | (2,249) | (20,067) | |||||||
Net Increase / (Decrease) | (6,607) | $ (31,402) | (34,892) | $ (168,856) | (133) | $ (1,191) | (2,114) | $ (18,861) |
Newfleet Multi-Sector Short Term Bond Fund | Newfleet Senior Floating Rate Fund | ||||||||||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class C1 | |||||||||||||||
Shares sold and cross class conversions | 1,028 | $ 4,883 | 4,162 | $ 20,098 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | 64 | 302 | 215 | 1,038 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (2,652) | (12,546) | (13,810) | (66,616) | — | — | — | — | |||||||
Net Increase / (Decrease) | (1,560) | $ (7,361) | (9,433) | $ (45,480) | — | $ — | — | $ — | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 149,891 | $ 703,182 | 357,498 | $ 1,709,159 | 5,455 | $ 48,517 | 7,595 | $ 67,477 | |||||||
Reinvestment of distributions | 10,338 | 48,332 | 20,996 | 100,297 | 161 | 1,436 | 249 | 2,216 | |||||||
Shares repurchased and cross class conversions | (170,460) | (798,440) | (242,228) | (1,157,709) | (5,453) | (48,750) | (5,504) | (48,814) | |||||||
Net Increase / (Decrease) | (10,231) | $ (46,926) | 136,266 | $ 651,747 | 163 | $ 1,203 | 2,340 | $ 20,879 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 933 | $ 4,379 | 5,181 | $ 24,747 | 1 | $ 7 | 7 | $ 61 | |||||||
Reinvestment of distributions | 58 | 272 | 111 | 533 | 2 | 23 | 8 | 74 | |||||||
Shares repurchased and cross class conversions | (990) | (4,630) | (1,384) | (6,631) | (27) | (245) | (156) | (1,386) | |||||||
Net Increase / (Decrease) | 1 | $ 21 | 3,908 | $ 18,649 | (24) | $ (215) | (141) | $ (1,251) |
Newfleet Tax-Exempt Bond Fund | |||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold and cross class conversions | 79 | $ 875 | 479 | $ 5,477 | |||
Reinvestment of distributions | 38 | 426 | 79 | 912 | |||
Shares repurchased and cross class conversions | (253) | (2,838) | (459) | (5,263) | |||
Net Increase / (Decrease) | (136) | $ (1,537) | 99 | $ 1,126 | |||
Class C | |||||||
Shares sold and cross class conversions | 7 | $ 77 | 27 | $ 316 | |||
Reinvestment of distributions | 3 | 33 | 12 | 134 | |||
Shares repurchased and cross class conversions | (46) | (511) | (437) | (5,000) | |||
Net Increase / (Decrease) | (36) | $ (401) | (398) | $ (4,550) |
Newfleet Tax-Exempt Bond Fund | |||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class I | |||||||
Shares sold and cross class conversions | 241 | $ 2,683 | 782 | $ 8,979 | |||
Reinvestment of distributions | 70 | 787 | 157 | 1,799 | |||
Shares repurchased and cross class conversions | (748) | (8,305) | (1,380) | (15,831) | |||
Net Increase / (Decrease) | (437) | $ (4,835) | (441) | $ (5,053) |
% of Shares Outstanding | Number of Accounts* | ||
Newfleet Core Plus Bond Fund | 38% | 1 | |
Newfleet Low Duration Core Plus Bond Fund | 49 | 3 | |
Newfleet Multi-Sector Intermediate Bond Fund | 25 | 2 | |
Newfleet Multi-Sector Short Term Bond Fund | 36 | 2 | |
Newfleet Senior Floating Rate Fund | 42 | 3 | |
Newfleet Tax-Exempt Bond Fund | 10 | 1 |
* | None of the accounts are affiliated. |
Fund | Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | ||||
Newfleet Low Duration Core Plus Bond Fund | $1 | $8,550 | 1.36% | 4 | ||||
Newfleet Multi-Sector Intermediate Bond Fund | 1 | 1,776 | 1.32 | 17 | ||||
Newfleet Multi-Sector Short Term Bond Fund | 1 | 1,893 | 1.36 | 14 |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Newfleet Core Plus Bond Fund | $ 130,398 | $ 776 | $ (4,948) | $ (4,172) | ||||
Newfleet High Yield Fund | 55,864 | 622 | (2,372) | (1,750) | ||||
Newfleet Low Duration Core Plus Bond Fund | 733,633 | 415 | (23,897) | (23,482) | ||||
Newfleet Multi-Sector Intermediate Bond Fund | 281,654 | 1,913 | (14,099) | (12,186) | ||||
Newfleet Multi-Sector Short Term Bond Fund | 6,337,500 | 10,121 | (221,192) | (211,071) | ||||
Newfleet Senior Floating Rate Fund | 216,195 | 1,435 | (3,469) | (2,034) | ||||
Newfleet Tax-Exempt Bond Fund | 87,902 | 3,225 | (1,162) | 2,063 |
Fund | Short-Term | Long-Term | ||
Newfleet High Yield Fund | $ — | $ 4,098 | ||
Newfleet Low Duration Core Plus Bond Fund | 1,611 | — | ||
Newfleet Multi-Sector Intermediate Bond Fund | — | 11,366 | ||
Newfleet Multi-Sector Short Term Bond Fund | 54,921 | 95,443 | ||
Newfleet Senior Floating Rate Fund | 7,246 | 56,560 |
Prospectus and the Statement of Additional Information (“SAI”),
each dated January 28, 2022, as supplemented
Prospectuses and SAI for future reference.
Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
please contact us at 1-800-243-1574, or visit Virtus.com.
8640 | 05-22 |
Virtus Duff & Phelps Global Infrastructure Fund |
Virtus Duff & Phelps Global Real Estate Securities Fund |
Virtus Duff & Phelps International Real Estate Securities Fund |
Virtus Duff & Phelps Real Asset Fund* |
Virtus Duff & Phelps Real Estate Securities Fund |
Virtus FORT Trend Fund |
Virtus KAR Developing Markets Fund |
Virtus KAR Emerging Markets Small-Cap Fund |
Virtus KAR International Small-Mid Cap Fund |
Virtus Vontobel Emerging Markets Opportunities Fund |
Virtus Vontobel Foreign Opportunities Fund |
Virtus Vontobel Global Opportunities Fund |
Virtus Vontobel Greater European Opportunities Fund |
1 | ||
2 | ||
6 | ||
8 | ||
Fund | Schedule of Investments | |
10 | ||
12 | ||
14 | ||
16 | ||
17 | ||
18 | ||
22 | ||
24 | ||
26 | ||
Virtus Vontobel Emerging Markets Opportunities Fund (“Vontobel Emerging Markets Opportunities Fund”) | 28 | |
30 | ||
32 | ||
Virtus Vontobel Greater European Opportunities Fund (“Vontobel Greater European Opportunities Fund”) | 34 | |
36 | ||
44 | ||
47 | ||
54 | ||
65 | ||
85 |
President, Virtus Opportunities Trust
Beginning Account Value October 1, 2021 | Ending Account Value March 31, 2022 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Global Infrastructure Fund | ||||||||
Class A | $ 1,000.00 | $ 1,123.50 | 1.25 % | $ 6.62 | ||||
Class C | 1,000.00 | 1,119.40 | 2.01 | 10.62 | ||||
Class I | 1,000.00 | 1,124.80 | 0.99 | 5.24 | ||||
Class R6 | 1,000.00 | 1,126.10 | 0.85 | 4.51 | ||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,065.30 | 1.40 | 7.21 | ||||
Class C | 1,000.00 | 1,060.90 | 2.15 | 11.05 | ||||
Class I | 1,000.00 | 1,066.60 | 1.15 | 5.93 | ||||
Class R6 | 1,000.00 | 1,067.70 | 0.89 | 4.59 | ||||
Duff & Phelps International Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 984.10 | 1.50 | 7.42 | ||||
Class C | 1,000.00 | 979.90 | 2.25 | 11.11 | ||||
Class I | 1,000.00 | 985.30 | 1.25 | 6.19 | ||||
Duff & Phelps Real Asset Fund | ||||||||
Class A | 1,000.00 | 1,145.90 | 0.79 | 4.23 | ||||
Class C | 1,000.00 | 1,141.80 | 1.59 | 8.49 | ||||
Class I | 1,000.00 | 1,146.90 | 0.53 | 2.84 | ||||
Class R6** | 1,000.00 | 1,077.90 | 0.20 | 0.34 | ||||
Duff & Phelps Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,109.50 | 1.32 | 6.94 | ||||
Class C | 1,000.00 | 1,105.30 | 2.05 | 10.76 | ||||
Class I | 1,000.00 | 1,111.10 | 1.06 | 5.58 | ||||
Class R6 | 1,000.00 | 1,112.60 | 0.79 | 4.16 | ||||
FORT Trend Fund | ||||||||
Class A | 1,000.00 | 1,017.20 | 1.60 | 8.05 | ||||
Class C | 1,000.00 | 1,013.30 | 2.35 | 11.80 | ||||
Class I | 1,000.00 | 1,018.30 | 1.35 | 6.79 | ||||
Class R6 | 1,000.00 | 1,018.80 | 1.26 | 6.34 | ||||
KAR Developing Markets Fund | ||||||||
Class A | 1,000.00 | 874.50 | 1.55 | 7.24 | ||||
Class C | 1,000.00 | 871.20 | 2.30 | 10.73 | ||||
Class I | 1,000.00 | 875.20 | 1.30 | 6.08 | ||||
Class R6 | 1,000.00 | 876.40 | 1.22 | 5.71 |
Beginning Account Value October 1, 2021 | Ending Account Value March 31, 2022 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
KAR Emerging Markets Small-Cap Fund | ||||||||
Class A | $1,000.00 | $ 847.90 | 1.81% | $ 8.34 | ||||
Class C | 1,000.00 | 844.70 | 2.53 | 11.64 | ||||
Class I | 1,000.00 | 849.40 | 1.49 | 6.87 | ||||
Class R6 | 1,000.00 | 849.60 | 1.40 | 6.46 | ||||
KAR International Small-Mid Cap Fund | ||||||||
Class A | 1,000.00 | 789.60 | 1.44 | 6.42 | ||||
Class C | 1,000.00 | 786.60 | 2.16 | 9.62 | ||||
Class I | 1,000.00 | 790.70 | 1.15 | 5.13 | ||||
Class R6 | 1,000.00 | 791.30 | 1.07 | 4.78 | ||||
Vontobel Emerging Markets Opportunities Fund | ||||||||
Class A | 1,000.00 | 907.40 | 1.56 | 7.42 | ||||
Class C | 1,000.00 | 904.50 | 2.25 | 10.68 | ||||
Class I | 1,000.00 | 910.00 | 1.24 | 5.90 | ||||
Class R6 | 1,000.00 | 911.10 | 0.98 | 4.67 | ||||
Vontobel Foreign Opportunities Fund | ||||||||
Class A | 1,000.00 | 920.60 | 1.39 | 6.66 | ||||
Class C | 1,000.00 | 917.40 | 2.05 | 9.80 | ||||
Class I | 1,000.00 | 921.90 | 1.07 | 5.13 | ||||
Class R6 | 1,000.00 | 922.60 | 0.95 | 4.55 | ||||
Vontobel Global Opportunities Fund | ||||||||
Class A | 1,000.00 | 969.30 | 1.36 | 6.68 | ||||
Class C | 1,000.00 | 965.50 | 2.11 | 10.34 | ||||
Class I | 1,000.00 | 970.50 | 1.09 | 5.35 | ||||
Class R6 | 1,000.00 | 972.00 | 0.90 | 4.42 | ||||
Vontobel Greater European Opportunities Fund | ||||||||
Class A | 1,000.00 | 915.70 | 1.40 | 6.69 | ||||
Class C | 1,000.00 | 912.60 | 2.15 | 10.25 | ||||
Class I | 1,000.00 | 917.70 | 1.15 | 5.50 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
** | February 1, 2022, is the date the Class started accruing expenses. Expenses are equal to the Class’ 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 (59) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value October 1, 2021 | Ending Account Value March 31, 2022 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Global Infrastructure Fund | ||||||||
Class A | $ 1,000.00 | $ 1,018.70 | 1.25 % | $ 6.29 | ||||
Class C | 1,000.00 | 1,014.91 | 2.01 | 10.10 | ||||
Class I | 1,000.00 | 1,020.00 | 0.99 | 4.99 | ||||
Class R6 | 1,000.00 | 1,020.69 | 0.85 | 4.28 | ||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,017.95 | 1.40 | 7.04 | ||||
Class C | 1,000.00 | 1,014.21 | 2.15 | 10.80 | ||||
Class I | 1,000.00 | 1,019.20 | 1.15 | 5.79 | ||||
Class R6 | 1,000.00 | 1,020.49 | 0.89 | 4.48 | ||||
Duff & Phelps International Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,017.45 | 1.50 | 7.54 | ||||
Class C | 1,000.00 | 1,013.71 | 2.25 | 11.30 | ||||
Class I | 1,000.00 | 1,018.70 | 1.25 | 6.29 | ||||
Duff & Phelps Real Asset Fund | ||||||||
Class A | 1,000.00 | 1,020.99 | 0.79 | 3.98 | ||||
Class C | 1,000.00 | 1,017.00 | 1.59 | 8.00 | ||||
Class I | 1,000.00 | 1,022.29 | 0.53 | 2.67 | ||||
Class R6** | 1,000.00 | 1,007.76 | 0.20 | 0.32 | ||||
Duff & Phelps Real Estate Securities Fund | ||||||||
Class A | 1,000.00 | 1,018.35 | 1.32 | 6.64 | ||||
Class C | 1,000.00 | 1,014.71 | 2.05 | 10.30 | ||||
Class I | 1,000.00 | 1,019.65 | 1.06 | 5.34 | ||||
Class R6 | 1,000.00 | 1,020.99 | 0.79 | 3.98 | ||||
FORT Trend Fund | ||||||||
Class A | 1,000.00 | 1,016.95 | 1.60 | 8.05 | ||||
Class C | 1,000.00 | 1,013.21 | 2.35 | 11.80 | ||||
Class I | 1,000.00 | 1,018.20 | 1.35 | 6.79 | ||||
Class R6 | 1,000.00 | 1,018.65 | 1.26 | 6.34 | ||||
KAR Developing Markets Fund | ||||||||
Class A | 1,000.00 | 1,017.20 | 1.55 | 7.80 | ||||
Class C | 1,000.00 | 1,013.46 | 2.30 | 11.55 | ||||
Class I | 1,000.00 | 1,018.45 | 1.30 | 6.54 | ||||
Class R6 | 1,000.00 | 1,018.85 | 1.22 | 6.14 | ||||
KAR Emerging Markets Small-Cap Fund | ||||||||
Class A | 1,000.00 | 1,015.91 | 1.81 | 9.10 | ||||
Class C | 1,000.00 | 1,012.32 | 2.53 | 12.69 | ||||
Class I | 1,000.00 | 1,017.50 | 1.49 | 7.49 | ||||
Class R6 | 1,000.00 | 1,017.95 | 1.40 | 7.04 | ||||
KAR International Small-Mid Cap Fund | ||||||||
Class A | 1,000.00 | 1,017.75 | 1.44 | 7.24 | ||||
Class C | 1,000.00 | 1,014.16 | 2.16 | 10.85 | ||||
Class I | 1,000.00 | 1,019.20 | 1.15 | 5.79 | ||||
Class R6 | 1,000.00 | 1,019.60 | 1.07 | 5.39 | ||||
Vontobel Emerging Markets Opportunities Fund | ||||||||
Class A | 1,000.00 | 1,017.15 | 1.56 | 7.85 | ||||
Class C | 1,000.00 | 1,013.71 | 2.25 | 11.30 | ||||
Class I | 1,000.00 | 1,018.75 | 1.24 | 6.24 | ||||
Class R6 | 1,000.00 | 1,020.04 | 0.98 | 4.94 | ||||
Vontobel Foreign Opportunities Fund | ||||||||
Class A | 1,000.00 | 1,018.00 | 1.39 | 6.99 | ||||
Class C | 1,000.00 | 1,014.71 | 2.05 | 10.30 | ||||
Class I | 1,000.00 | 1,019.60 | 1.07 | 5.39 | ||||
Class R6 | 1,000.00 | 1,020.19 | 0.95 | 4.78 |
Beginning Account Value October 1, 2021 | Ending Account Value March 31, 2022 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Vontobel Global Opportunities Fund | ||||||||
Class A | $1,000.00 | $1,018.15 | 1.36% | $ 6.84 | ||||
Class C | 1,000.00 | 1,014.41 | 2.11 | 10.60 | ||||
Class I | 1,000.00 | 1,019.50 | 1.09 | 5.49 | ||||
Class R6 | 1,000.00 | 1,020.44 | 0.90 | 4.53 | ||||
Vontobel Greater European Opportunities Fund | ||||||||
Class A | 1,000.00 | 1,017.95 | 1.40 | 7.04 | ||||
Class C | 1,000.00 | 1,014.21 | 2.15 | 10.80 | ||||
Class I | 1,000.00 | 1,019.20 | 1.15 | 5.79 |
* | Expenses are equal to the relevant Fund’s annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (182) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
** | February 1, 2022, is the date the Class started accruing expenses. Expenses are equal to the Class’ 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 (59) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Utilities | 42% |
Industrials | 28 |
Energy | 16 |
Real Estate | 9 |
Communication Services | 3 |
Short-Term Investment | 2 |
Total | 100% |
Industrial/Office REITs | 21% |
Residential REITs | 21 |
Retail REITs | 11 |
Equity Real Estate Investment REITs | 8 |
Real Estate Management & Development REITs | 6 |
Real Estate Operating Companies | 6 |
Health Care REITs | 6 |
Other (includes short-term investment) | 21 |
Total | 100% |
Real Estate Operating Companies | 25% |
Industrial/Office REITs | 14 |
Retail REITs | 11 |
Office REITs | 11 |
Residential REITs | 11 |
Diversified REITs | 7 |
Real Estate Management & Development REITs | 7 |
Other (includes short-term investment) | 14 |
Total | 100% |
Affiliated Mutual Funds | 61% | |
Exchange-Traded Funds | 37 | |
Short-Term Investment | 2 | |
Total | 100% |
Residential | 26% |
Industrial/Office | 26 |
Retail | 14 |
Health Care | 9 |
Self Storage | 8 |
Data Centers | 6 |
Lodging/Resorts | 5 |
Other (includes short-term investment) | 6 |
Total | 100% |
Short-Term Investments | 100% | |
Money Market Mutual Fund | 7% | |
U.S. Government Securities | 93 | |
Total | 100% |
Industrials | 28% |
Consumer Discretionary | 19 |
Consumer Staples | 18 |
Communication Services | 14 |
Financials | 9 |
Information Technology | 6 |
Health Care | 2 |
Other (includes short-term investment) | 4 |
Total | 100% |
Industrials | 36% |
Communication Services | 15 |
Information Technology | 14 |
Consumer Staples | 13 |
Consumer Discretionary | 8 |
Financials | 5 |
Materials | 4 |
Other (includes short-term investment) | 5 |
Total | 100% |
Industrials | 29% |
Communication Services | 23 |
Financials | 14 |
Information Technology | 10 |
Consumer Discretionary | 7 |
Consumer Staples | 6 |
Health Care | 5 |
Other (includes short-term investment) | 6 |
Total | 100% |
Information Technology | 26% |
Consumer Staples | 19 |
Financials | 15 |
Consumer Discretionary | 15 |
Communication Services | 8 |
Industrials | 7 |
Utilities | 4 |
Other (includes short-term investment) | 6 |
Total | 100% |
Industrials | 30% |
Information Technology | 24 |
Health Care | 14 |
Consumer Staples | 13 |
Consumer Discretionary | 8 |
Financials | 3 |
Materials | 3 |
Other (includes short-term investment) | 5 |
Total | 100% |
Information Technology | 24% |
Consumer Discretionary | 16 |
Health Care | 15 |
Consumer Staples | 14 |
Financials | 11 |
Industrials | 10 |
Communication Services | 5 |
Other (includes short-term investment) | 5 |
Total | 100% |
Industrials | 24% |
Consumer Staples | 17 |
Information Technology | 14 |
Consumer Discretionary | 13 |
Health Care | 12 |
Financials | 7 |
Materials | 6 |
Other (includes short-term investment) | 7 |
Total | 100% |
Shares | Value | ||
Common Stocks—98.5% | |||
Communication Services—2.7% | |||
Cellnex Telecom S.A. (Spain) | 54,225 | $ 2,609 | |
Energy—16.4% | |||
Cheniere Energy, Inc. (United States) | 22,748 | 3,154 | |
Enbridge, Inc. (Canada) | 67,736 | 3,122 | |
ONEOK, Inc. (United States) | 31,746 | 2,242 | |
Pembina Pipeline Corp. (Canada) | 48,414 | 1,819 | |
Targa Resources Corp. (United States) | 31,716 | 2,394 | |
TC Energy Corp. (Canada) | 25,018 | 1,411 | |
Williams Cos., Inc. (The) (United States) | 43,545 | 1,455 | |
15,597 | |||
Industrials—28.4% | |||
Aena SME S.A. (Spain)(1) | 23,989 | 3,999 | |
Aeroports de Paris (France)(1) | 6,260 | 936 | |
Atlantia SpA (Italy) | 78,282 | 1,628 | |
Auckland International Airport Ltd. (New Zealand)(1) | 297,170 | 1,608 | |
Canadian National Railway Co. (Canada) | 11,912 | 1,598 | |
Canadian Pacific Railway Ltd. (Canada) | 18,930 | 1,562 | |
CSX Corp. (United States) | 68,592 | 2,569 | |
Ferrovial S.A. (Spain) | 68,545 | 1,823 | |
Flughafen Zurich AG Registered Shares (Switzerland)(1) | 9,233 | 1,657 | |
Norfolk Southern Corp. (United States) | 9,525 | 2,717 | |
Transurban Group (Australia) | 401,009 | 4,052 | |
Union Pacific Corp. (United States) | 4,665 | 1,274 | |
Vinci S.A. (France) | 15,854 | 1,620 | |
27,043 | |||
Real Estate—8.9% | |||
American Tower Corp. (United States) | 19,079 | 4,793 |
Shares | Value | ||
Real Estate—continued | |||
Crown Castle International Corp. (United States) | 20,113 | $ 3,713 | |
8,506 | |||
Utilities—42.1% | |||
Ameren Corp. (United States) | 16,129 | 1,512 | |
American Water Works Co., Inc. (United States) | 6,133 | 1,015 | |
Atmos Energy Corp. (United States) | 14,220 | 1,699 | |
CenterPoint Energy, Inc. (United States) | 90,626 | 2,777 | |
CMS Energy Corp. (United States) | 22,197 | 1,552 | |
Dominion Energy, Inc. (United States) | 49,824 | 4,234 | |
EDP - Energias de Portugal S.A. (Portugal) | 315,267 | 1,552 | |
Enel SpA (Italy) | 217,880 | 1,455 | |
Evergy, Inc. (United States) | 23,990 | 1,639 | |
Eversource Energy (United States) | 22,928 | 2,022 | |
Iberdrola S.A. (Spain) | 137,692 | 1,505 | |
National Grid plc (United Kingdom) | 199,796 | 3,071 | |
NextEra Energy, Inc. (United States) | 51,817 | 4,389 | |
Orsted AS (Denmark) | 10,916 | 1,366 | |
Public Service Enterprise Group, Inc. (United States) | 44,783 | 3,135 | |
Sempra Energy (United States) | 22,799 | 3,833 | |
Southern Co. (The) (United States) | 20,594 | 1,493 | |
Xcel Energy, Inc. (United States) | 25,355 | 1,830 | |
40,079 | |||
Total Common Stocks (Identified Cost $74,100) | 93,834 | ||
Total Long-Term Investments—98.5% (Identified Cost $74,100) | 93,834 | ||
Shares | Value | ||
Short-Term Investment—1.8% | |||
Money Market Mutual Fund—1.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(2) | 1,678,553 | $ 1,679 | |
Total Short-Term Investment (Identified Cost $1,679) | 1,679 | ||
TOTAL INVESTMENTS—100.3% (Identified Cost $75,779) | $95,513 | ||
Other assets and liabilities, net—(0.3)% | (245) | ||
NET ASSETS—100.0% | $95,268 |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 60% |
Spain | 10 |
Canada | 10 |
Australia | 4 |
Italy | 3 |
United Kingdom | 3 |
France | 3 |
Other | 7 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $93,834 | $64,953 | $28,881 | ||
Money Market Mutual Fund | 1,679 | 1,679 | — | ||
Total Investments | $95,513 | $66,632 | $28,881 |
Shares | Value | ||
Common Stocks—98.3% | |||
Australia—3.9% | |||
GPT Group (The) - In Specie(1)(2) | 13,566 | $ — | |
National Storage REIT | 3,618,933 | 7,281 | |
NEXTDC Ltd.(2) | 488,476 | 4,208 | |
Scentre Group | 4,128,300 | 9,387 | |
20,876 | |||
Belgium—1.2% | |||
Warehouses De Pauw CVA | 145,737 | 6,288 | |
Canada—4.2% | |||
Allied Properties Real Estate Investment Trust | 149,450 | 5,575 | |
Boardwalk Real Estate Investment Trust | 166,550 | 7,832 | |
Granite Real Estate Investment Trust | 116,779 | 9,003 | |
22,410 | |||
France—2.4% | |||
Gecina S.A. | 34,600 | 4,361 | |
Klepierre S.A.(2) | 321,780 | 8,567 | |
12,928 | |||
Germany—3.6% | |||
Aroundtown S.A. | 1,063,180 | 6,075 | |
Vonovia SE | 281,751 | 13,133 | |
19,208 | |||
Hong Kong—2.2% | |||
Hang Lung Properties Ltd. | 1,720,000 | 3,467 | |
Link REIT | 149,504 | 1,273 | |
Swire Properties Ltd. | 2,863,000 | 7,075 | |
11,815 | |||
India—0.8% | |||
Ascendas India Trust | 5,056,700 | 4,423 | |
Ireland—0.6% | |||
Irish Residential Properties REIT plc | 2,023,900 | 3,253 | |
Japan—7.4% | |||
Kenedix Office Investment Corp. Class A | 773 | 4,628 | |
Kenedix Residential Next Investment Corp. | 2,610 | 4,563 | |
Mitsubishi Estate Co., Ltd. | 989,200 | 14,730 | |
Mitsui Fudosan Logistics Park, Inc. | 1,957 | 9,228 | |
Nippon Prologis REIT, Inc. | 2,174 | 6,348 | |
39,497 | |||
Singapore—0.8% | |||
CapitaLand Integrated Commercial Trust | 2,441,000 | 4,038 |
Shares | Value | ||
Spain—2.2% | |||
Inmobiliaria Colonial Socimi S.A. | 395,500 | $ 3,605 | |
Merlin Properties Socimi S.A. | 684,100 | 7,998 | |
11,603 | |||
Sweden—3.1% | |||
Castellum AB | 344,211 | 8,498 | |
Catena AB | 134,791 | 8,121 | |
16,619 | |||
United Kingdom—5.8% | |||
Derwent London plc | 114,510 | 4,807 | |
Safestore Holdings plc | 356,757 | 6,264 | |
Segro plc | 222,528 | 3,912 | |
UNITE Group plc (The) | 731,500 | 11,080 | |
Workspace Group plc | 589,757 | 5,268 | |
31,331 | |||
United States—60.1% | |||
Alexandria Real Estate Equities, Inc. | 39,229 | 7,895 | |
American Homes 4 Rent Class A | 227,550 | 9,109 | |
Apartment Income REIT Corp. | 146,378 | 7,825 | |
AvalonBay Communities, Inc. | 63,665 | 15,812 | |
Boston Properties, Inc. | 31,285 | 4,029 | |
Brixmor Property Group, Inc. | 415,333 | 10,720 | |
Cousins Properties, Inc. | 229,700 | 9,255 | |
CubeSmart | 260,475 | 13,552 | |
Douglas Emmett, Inc. | 237,705 | 7,944 | |
Duke Realty Corp. | 245,466 | 14,252 | |
Equinix, Inc. | 19,025 | 14,109 | |
Equity Residential | 128,765 | 11,579 | |
Extra Space Storage, Inc. | 73,565 | 15,125 | |
Healthcare Trust of America, Inc. Class A | 186,690 | 5,851 | |
Healthpeak Properties, Inc. | 225,000 | 7,724 | |
Host Hotels & Resorts, Inc. | 447,816 | 8,701 | |
Invitation Homes, Inc. | 259,810 | 10,439 | |
Kimco Realty Corp. | 265,045 | 6,547 | |
Mid-America Apartment Communities, Inc. | 75,100 | 15,730 | |
Prologis, Inc. | 210,834 | 34,045 | |
Regency Centers Corp. | 114,350 | 8,158 | |
Rexford Industrial Realty, Inc. | 79,200 | 5,907 | |
RLJ Lodging Trust | 234,907 | 3,307 | |
Ryman Hospitality Properties, Inc.(2) | 60,435 | 5,607 | |
SBA Communications, Corp. Class A | 16,250 | 5,592 | |
Simon Property Group, Inc. | 121,046 | 15,925 | |
Spirit Realty Capital, Inc. | 198,426 | 9,132 |
Shares | Value | ||
United States—continued | |||
Sun Communities, Inc. | 97,579 | $ 17,105 | |
VICI Properties, Inc. | 136,250 | 3,878 | |
Welltower, Inc. | 175,800 | 16,901 | |
321,755 | |||
Total Common Stocks (Identified Cost $425,808) | 526,044 | ||
Total Long-Term Investments—98.3% (Identified Cost $425,808) | 526,044 | ||
Short-Term Investment—1.1% | |||
Money Market Mutual Fund—1.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(3) | 6,043,096 | 6,043 | |
Total Short-Term Investment (Identified Cost $6,043) | 6,043 | ||
TOTAL INVESTMENTS—99.4% (Identified Cost $431,851) | $532,087 | ||
Other assets and liabilities, net—0.6% | 3,193 | ||
NET ASSETS—100.0% | $535,280 |
Abbreviation: | |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(2) | Non-income producing. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 62% |
Japan | 7 |
United Kingdom | 6 |
Canada | 4 |
Australia | 4 |
Germany | 4 |
Sweden | 3 |
Other | 10 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Equity Securities: | |||||||
Common Stocks | $526,044 | $344,165 | $181,879 | $— (1) | |||
Money Market Mutual Fund | 6,043 | 6,043 | — | — | |||
Total Investments | $532,087 | $350,208 | $181,879 | $— |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Shares | Value | ||
Common Stocks—99.0% | |||
Australia—11.6% | |||
Dexus | 100,218 | $ 818 | |
GPT Group (The) - In Specie(1)(2) | 588,920 | — | |
National Storage REIT | 491,304 | 988 | |
NEXTDC Ltd.(2) | 57,799 | 498 | |
Scentre Group | 703,100 | 1,599 | |
3,903 | |||
Belgium—2.1% | |||
Warehouses De Pauw CVA | 16,566 | 715 | |
Canada—7.5% | |||
Allied Properties Real Estate Investment Trust | 22,000 | 821 | |
Boardwalk Real Estate Investment Trust | 17,385 | 817 | |
Granite Real Estate Investment Trust | 11,426 | 881 | |
2,519 | |||
China—2.0% | |||
GDS Holdings Ltd. ADR(2) | 17,100 | 671 | |
France—3.5% | |||
Klepierre S.A.(2) | 44,431 | 1,183 | |
Germany—8.9% | |||
Aroundtown S.A. | 146,590 | 838 | |
Vonovia SE | 46,010 | 2,144 | |
2,982 | |||
Hong Kong—10.4% | |||
Hang Lung Properties Ltd. | 521,000 | 1,050 | |
Link REIT | 122,441 | 1,043 | |
Swire Properties Ltd. | 569,000 | 1,406 | |
3,499 | |||
India—1.6% | |||
Ascendas India Trust | 600,100 | 525 | |
Ireland—2.4% | |||
Irish Residential Properties REIT plc | 499,133 | 802 | |
Japan—22.2% | |||
Hulic Co., Ltd. | 83,000 | 744 |
Shares | Value | ||
Japan—continued | |||
Japan Hotel REIT Investment Corp. Class A | 1,300 | $ 663 | |
Kenedix Office Investment Corp. Class A | 144 | 862 | |
Kenedix Residential Next Investment Corp. | 482 | 843 | |
Mitsubishi Estate Co., Ltd. | 147,000 | 2,189 | |
Mitsui Fudosan Logistics Park, Inc. | 218 | 1,028 | |
Nippon Prologis REIT, Inc. | 377 | 1,101 | |
7,430 | |||
Singapore—3.2% | |||
CapitaLand Integrated Commercial Trust | 435,000 | 720 | |
Mapletree Industrial Trust | 181,600 | 359 | |
1,079 | |||
Spain—5.5% | |||
Inmobiliaria Colonial Socimi S.A. | 55,000 | 501 | |
Merlin Properties Socimi S.A. | 113,800 | 1,331 | |
1,832 | |||
Sweden—5.2% | |||
Castellum AB | 42,943 | 1,060 | |
Catena AB | 11,597 | 699 | |
1,759 | |||
United Kingdom—12.9% | |||
Derwent London plc | 17,031 | 715 | |
Safestore Holdings plc | 55,826 | 980 | |
Segro plc | 37,168 | 653 | |
UNITE Group plc (The) | 72,200 | 1,094 | |
Workspace Group plc | 99,900 | 892 | |
4,334 | |||
Total Common Stocks (Identified Cost $28,189) | 33,233 | ||
Total Long-Term Investments—99.0% (Identified Cost $28,189) | 33,233 | ||
Shares | Value | ||
Short-Term Investment—0.3% | |||
Money Market Mutual Fund—0.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(3) | 101,588 | $ 102 | |
Total Short-Term Investment (Identified Cost $102) | 102 | ||
TOTAL INVESTMENTS—99.3% (Identified Cost $28,291) | $33,335 | ||
Other assets and liabilities, net—0.7% | 219 | ||
NET ASSETS—100.0% | $33,554 |
Abbreviations: | |
ADR | American Depositary Receipt |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(2) | Non-income producing. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
Japan | 22% |
United Kingdom | 13 |
Australia | 12 |
Hong Kong | 11 |
Germany | 9 |
Canada | 8 |
Spain | 5 |
Other | 20 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Equity Securities: | |||||||
Common Stocks | $33,233 | $3,190 | $30,043 | $— (1) | |||
Money Market Mutual Fund | 102 | 102 | — | — | |||
Total Investments | $33,335 | $3,292 | $30,043 | $— |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Shares | Value | ||
Affiliated Mutual Funds(1)—60.7% | |||
Equity Funds—56.3% | |||
Virtus Duff & Phelps Global Infrastructure Fund Class R6(2) | 338,374 | $ 5,833 | |
Virtus Duff & Phelps Global Real Estate Securities Fund Class R6(2) | 135,393 | 5,345 | |
Virtus Duff & Phelps Select MLP and Energy Fund Class I(2) | 331,416 | 3,646 | |
14,824 | |||
Fixed Income Fund—4.4% | |||
Virtus Newfleet Senior Floating Rate Fund Class R6(2) | 129,290 | 1,146 | |
Total Affiliated Mutual Funds (Identified Cost $9,618) | 15,970 | ||
Exchange-Traded Funds(1)—37.6% | |||
Invesco DB Agriculture Fund(3) | 54,500 | 1,192 | |
Invesco DB Commodity Index Tracking Fund(3) | 122,324 | 3,188 | |
Invesco DB Gold Fund(3) | 24,700 | 1,366 | |
Schwab U.S. TIPS ETF | 11,200 | 680 |
Shares | Value | ||
SPDR S&P Global Natural Resources ETF | 55,050 | $ 3,456 | |
Total Exchange-Traded Funds (Identified Cost $7,145) | 9,882 | ||
Total Long-Term Investments—98.3% (Identified Cost $16,763) | 25,852 | ||
Short-Term Investment—1.7% | |||
Money Market Mutual Fund(1)—1.7% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%) | 456,047 | 456 | |
Total Short-Term Investment (Identified Cost $456) | 456 | ||
TOTAL INVESTMENTS—100.0% (Identified Cost $17,219) | $26,308 | ||
Other assets and liabilities, net—0.0% | 8 | ||
NET ASSETS—100.0% | $26,316 |
Abbreviations: | |
DB | Deutsche Bank AG |
ETF | Exchange-Traded Fund |
MLP | Master Limited Partnership |
S&P | Standard & Poor’s |
SPDR | S&P Depositary Receipt |
TIPS | Treasury-Inflation Protected Securities |
Footnote Legend: | |
(1) | Shares of these funds are publicly offered, and the prospectus and annual report of each are publicly available. |
(2) | Affiliated investment. See Note 4H in Notes to Financial Statements. |
(3) | Non-income producing. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | ||
Assets: | |||
Affiliated Mutual Funds | $15,970 | $15,970 | |
Exchange-Traded Funds | 9,882 | 9,882 | |
Money Market Mutual Fund | 456 | 456 | |
Total Investments | $26,308 | $26,308 |
Shares | Value | ||
Common Stocks—94.8% | |||
Real Estate Investment Trusts—94.8% | |||
Data Centers—6.4% | |||
Equinix, Inc. | 49,381 | $ 36,622 | |
Health Care—8.7% | |||
Healthcare Trust of America, Inc. Class A | 242,270 | 7,593 | |
Healthpeak Properties, Inc. | 396,200 | 13,602 | |
Welltower, Inc. | 299,680 | 28,811 | |
50,006 | |||
Industrial/Office—25.6% | |||
Industrial—17.3% | |||
Duke Realty Corp. | 463,893 | 26,933 | |
Prologis, Inc. | 351,844 | 56,816 | |
Rexford Industrial Realty, Inc. | 204,225 | 15,233 | |
98,982 | |||
Office—8.3% | |||
Alexandria Real Estate Equities, Inc. | 69,434 | 13,974 | |
Boston Properties, Inc. | 55,100 | 7,097 | |
Cousins Properties, Inc. | 396,103 | 15,959 | |
Douglas Emmett, Inc. | 315,868 | 10,556 | |
47,586 | |||
Total Industrial/Office | 146,568 | ||
Lodging/Resorts—4.5% | |||
Host Hotels & Resorts, Inc. | 673,994 | 13,095 | |
RLJ Lodging Trust | 375,905 | 5,293 | |
Ryman Hospitality Properties, Inc.(1) | 82,460 | 7,650 | |
26,038 | |||
Shares | Value | ||
Residential—25.7% | |||
Apartments—15.8% | |||
Apartment Income REIT Corp. | 351,495 | $ 18,791 | |
AvalonBay Communities, Inc. | 107,715 | 26,753 | |
Equity Residential | 216,054 | 19,428 | |
Mid-America Apartment Communities, Inc. | 122,380 | 25,632 | |
90,604 | |||
Manufactured Homes—4.5% | |||
Sun Communities, Inc. | 144,912 | 25,402 | |
Single Family Homes—5.4% | |||
American Homes 4 Rent Class A | 476,900 | 19,090 | |
Invitation Homes, Inc. | 297,360 | 11,948 | |
31,038 | |||
Total Residential | 147,044 | ||
Retail—13.7% | |||
Free Standing—3.0% | |||
Spirit Realty Capital, Inc. | 274,893 | 12,650 | |
STORE Capital Corp. | 160,750 | 4,699 | |
17,349 | |||
Regional Malls—4.0% | |||
Simon Property Group, Inc. | 173,996 | 22,891 | |
Shopping Centers—6.7% | |||
Brixmor Property Group, Inc. | 513,056 | 13,242 | |
Kimco Realty Corp. | 479,520 | 11,844 | |
Regency Centers Corp. | 181,800 | 12,970 | |
38,056 | |||
Total Retail | 78,296 | ||
Self Storage—8.2% | |||
CubeSmart | 456,850 | 23,770 |
Shares | Value | ||
Self Storage—continued | |||
Extra Space Storage, Inc. | 114,129 | $ 23,465 | |
47,235 | |||
Specialty—2.0% | |||
SBA Communications, Corp. Class A | 18,500 | 6,366 | |
VICI Properties, Inc. | 182,500 | 5,194 | |
11,560 | |||
Total Common Stocks (Identified Cost $274,808) | 543,369 | ||
Total Long-Term Investments—94.8% (Identified Cost $274,808) | 543,369 | ||
Short-Term Investment—3.5% | |||
Money Market Mutual Fund—3.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(2) | 20,272,180 | 20,272 | |
Total Short-Term Investment (Identified Cost $20,272) | 20,272 | ||
TOTAL INVESTMENTS—98.3% (Identified Cost $295,080) | $563,641 | ||
Other assets and liabilities, net—1.7% | 9,530 | ||
NET ASSETS—100.0% | $573,171 |
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 March 31, 2022 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $543,369 | $543,369 | |
Money Market Mutual Fund | 20,272 | 20,272 | |
Total Investments | $563,641 | $563,641 |
Shares | Value | ||
Short-Term Investments—94.4% | |||
Money Market Mutual Fund—6.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(1) | 9,141,612 | $ 9,142 | |
Total Money Market Mutual Fund (Identified Cost $9,142) | 9,142 | ||
Par Value | ||
U.S. Government Securities—88.1% | ||
U.S. Treasury Bills | ||
0.000%, 4/21/22 | $ 8,600 | 8,599 |
0.000%, 5/19/22 | 22,000 | 21,993 |
0.000%, 6/23/22 | 17,100 | 17,082 |
0.000%, 7/7/22 | 25,100 | 25,061 |
0.000%, 7/21/22 | 27,300 | 27,244 |
0.000%, 8/25/22 | 20,400 | 20,326 |
Par Value | Value | ||
0.000%, 9/22/22 | $ 7,200 | $ 7,167 | |
Total U.S. Government Securities (Identified Cost $127,556) | 127,472 | ||
Total Short-Term Investments (Identified Cost $136,698) | 136,614 | ||
TOTAL INVESTMENTS—94.4% (Identified Cost $136,698) | $136,614 | ||
Other assets and liabilities, net—5.6% | 8,037 | ||
NET ASSETS—100.0% | $144,651 |
Abbreviations: | |
BTP | Italian Buonie |
CAC | Cotation Assistée en Continu |
DAX | Deutsche Boerse AG German Stock Index |
EAFE | Europe, Australasia and Far East |
EURIBOR | Euro Interbank Offered Rate |
FTSE | Financial Times Stock Exchange |
KC HRW | Kansas City Hard Red Winter |
MSCI | Morgan Stanley Capital International |
OAT | Obligations Assimilables du Trésor |
RBOB | Reformulated Blendstock for Oxygenate Blending |
SONIA | Sterling Overnight Index Average |
TOPIX | Tokyo Stock Price Index |
ULSD | Ultra Low Sulfur Diesel |
Footnote Legend: | |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Exchange-Traded Futures contracts as of March 31, 2022 were as follows: | ||||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Value / Unrealized Appreciation | Value / Unrealized (Depreciation) | |
Long Contracts: | ||||||
CAC 40® Index Future | April 2022 | 3 | $ 221 | $ — | $ (1) | |
Coffee C Future | May 2022 | 2 | 170 | 9 | — | |
Copper Future | May 2022 | 12 | 1,425 | 46 | — | |
Corn Future | May 2022 | 17 | 636 | 51 | — | |
Cotton No. 2 Future | May 2022 | 7 | 475 | 30 | — | |
Crude Oil Future | May 2022 | 2 | 201 | — | (18) | |
Gasoline RBOB Future | May 2022 | 2 | 265 | — | (20) | |
Low Sulphur Gas Oil Future | May 2022 | 38 | 3,830 | — | (290) | |
NY Harbor ULSD Future | May 2022 | 21 | 2,964 | — | (286) | |
Silver Future | May 2022 | 6 | 754 | — | (6) | |
Soybean Future | May 2022 | 14 | 1,133 | — | (30) | |
Soybean Meal Future | May 2022 | 17 | 795 | 33 | — | |
Soybean Oil Future | May 2022 | 23 | 965 | 35 | — | |
Sugar #11 World Future | May 2022 | 4 | 87 | 1 | — | |
10 Year Australian Bond Future | June 2022 | 14 | 1,328 | — | (45) | |
10 Year Euro-Bund Future | June 2022 | 15 | 2,633 | — | (83) | |
10 Year Japanese Bond Future | June 2022 | 2 | 2,459 | — | (8) | |
10 Year U.K. Gilt Future | June 2022 | 20 | 3,185 | — | (56) | |
30 Year Euro Bond Future | June 2022 | 18 | 3,708 | — | (16) | |
30 Year U.S. Treasury Bond Future | June 2022 | 6 | 900 | — | (21) | |
Australian Dollar Future | June 2022 | 36 | 2,699 | 40 | — | |
Brent Crude Future | June 2022 | 2 | 209 | — | (6) | |
Canadian Dollar Future | June 2022 | 16 | 1,281 | 1 | — | |
DAX Index Future | June 2022 | 2 | 798 | — | (7) | |
Dollar Index Future | June 2022 | 8 | 787 | 2 | — | |
Dow Jones Index E-Mini Future | June 2022 | 26 | 4,500 | 79 | — | |
Euro Stoxx 50® Future | June 2022 | 35 | 1,480 | — | (15) | |
Euro-Bobl Future | June 2022 | 24 | 3,421 | — | (101) | |
Euro-BTP Future | June 2022 | 2 | 306 | — | — (1) | |
Euro-OAT Future | June 2022 | 14 | 2,347 | — | (91) | |
FTSE 100 Index Future | June 2022 | 3 | 295 | 3 | — | |
Gold Future | June 2022 | 10 | 1,954 | 41 | — | |
Mexican Peso Future | June 2022 | 11 | 274 | 1 | — | |
MSCI EAFE® Index Future | June 2022 | 1 | 107 | — | (2) | |
Nasdaq 100® E-Mini Future | June 2022 | 77 | 22,898 | 1,455 | — | |
New Zealand Dollar Future | June 2022 | 2 | 139 | — | (1) | |
Nikkei 225 Stock Average Future | June 2022 | 9 | 2,057 | 121 | — | |
Russell 2000® E-Mini Future | June 2022 | 30 | 3,100 | 42 | — | |
S&P 500® E-Mini Future | June 2022 | 117 | 26,505 | — | (23) | |
SPI 200 Future | June 2022 | 1 | 140 | — | — (1) | |
TOPIX Index Future | June 2022 | 5 | 799 | 50 | — | |
3-Month SONIA Index Future | September 2022 | 2 | 644 | — | — (1) | |
3-Month SONIA Index Future | December 2022 | 2 | 643 | — | (4) | |
90-Day Bank Bill Future | December 2022 | 1 | 745 | — | (1) | |
3-Month EURIBOR Future | March 2023 | 4 | 1,098 | — | (4) | |
3-Month SONIA Index Future | March 2023 | 4 | 1,283 | — | (5) | |
3-Month EURIBOR Future | June 2023 | 2 | 547 | — | (3) | |
3-Month SONIA Index Future | June 2023 | 4 | 1,281 | — | (1) | |
3-Month EURIBOR Future | September 2023 | 2 | 546 | — | (3) | |
3-Month EURIBOR Future | December 2023 | 2 | 546 | — | (2) | |
3-Month EURIBOR Future | June 2024 | 1 | 273 | — | (1) | |
3-Month SONIA Index Future | June 2024 | 2 | 643 | — | — (1) | |
3-Month SONIA Index Future | September 2024 | 2 | 644 | — | (1) | |
3-Month SONIA Index Future | March 2025 | 1 | 322 | — | — (1) | |
$2,040 | $(1,151) |
Exchange-Traded Futures contracts as of March 31, 2022 were as follows: | ||||||
Issue | Expiration | Contracts Purchased/(Sold) | Notional Value | Value / Unrealized Appreciation | Value / Unrealized (Depreciation) | |
Short Contracts: | ||||||
FTSE China A50 Index Future | April 2022 | (8) | $ (110) | $ — | $ (3) | |
Hang Seng Index Future | April 2022 | (2) | (281) | — | (6) | |
Cattle Feeder Future | May 2022 | (1) | (83) | 1 | — | |
KC HRW Wheat Future | May 2022 | (2) | (103) | 2 | — | |
Natural Gas Future | May 2022 | (23) | (1,298) | — | (90) | |
Wheat Future | May 2022 | (7) | (352) | 4 | — | |
10 Year Canadian Bond Future | June 2022 | (12) | (1,253) | 30 | — | |
10 Year U.S. Treasury Note Future | June 2022 | (244) | (29,981) | 549 | — | |
10 Year Ultra Bond Future | June 2022 | (84) | (11,379) | 141 | — | |
2 Year U.S. Treasury Note Future | June 2022 | (70) | (14,834) | 205 | — | |
5 Year U.S. Treasury Note Future | June 2022 | (114) | (13,074) | 196 | — | |
British Pound Future | June 2022 | (33) | (2,708) | 2 | — | |
Euro Currency Future | June 2022 | (67) | (9,295) | — | (14) | |
Japanese Yen Future | June 2022 | (20) | (2,059) | 29 | — | |
Live Cattle Future | June 2022 | (4) | (219) | — | (5) | |
MSCI Emerging Market Index Future | June 2022 | (2) | (113) | — | (6) | |
Swiss Franc Future | June 2022 | (1) | (136) | — | (2) | |
U.S. Ultra Bond Future | June 2022 | (48) | (8,502) | 50 | — | |
Platinum Future | July 2022 | (2) | (100) | — | (2) | |
3-Month Bank Acceptance Future | September 2022 | (2) | (390) | — (1) | — | |
3-Month EURIBOR Future | September 2022 | (2) | (554) | — (1) | — | |
90-Day Bank Bill Future | September 2022 | (1) | (746) | — (1) | — | |
90-Day Euro Dollar Future | September 2022 | (71) | (17,363) | 182 | — | |
3-Month Bank Acceptance Future | December 2022 | (4) | (777) | 3 | — | |
3-Month EURIBOR Future | December 2022 | (13) | (3,585) | 6 | — | |
90-Day Euro Dollar Future | December 2022 | (90) | (21,901) | 264 | — | |
3-Month Bank Acceptance Future | March 2023 | (4) | (775) | 3 | — | |
90-Day Euro Dollar Future | March 2023 | (75) | (18,195) | 264 | — | |
90-Day Euro Dollar Future | June 2023 | (81) | (19,616) | 208 | — | |
90-Day Euro Dollar Future | September 2023 | (48) | (11,626) | 95 | — | |
90-Day Euro Dollar Future | December 2023 | (28) | (6,788) | 52 | — | |
90-Day Euro Dollar Future | March 2024 | (22) | (5,339) | 39 | — | |
90-Day Euro Dollar Future | June 2024 | (51) | (12,389) | 80 | — | |
90-Day Euro Dollar Future | September 2024 | (35) | (8,508) | 54 | — | |
90-Day Euro Dollar Future | December 2024 | (27) | (6,567) | 24 | — | |
90-Day Euro Dollar Future | March 2025 | (6) | (1,461) | — | (1) | |
90-Day Euro Dollar Future | June 2025 | (8) | (1,950) | 2 | — | |
2,485 | (129) | |||||
Total | $4,525 | $(1,280) | ||||
Footnote Legend: | ||||||
(1)Amount is less than $500. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Debt Securities: | |||||
U.S. Government Securities | $127,472 | $ — | $127,472 | ||
Money Market Mutual Fund | 9,142 | 9,142 | — | ||
Other Financial Instruments: | |||||
Futures Contracts | 4,525 | 4,525 | — | ||
Total Assets | 141,139 | 13,667 | 127,472 | ||
Liabilities: | |||||
Other Financial Instruments: | |||||
Futures Contracts | (1,280) | (1,280) | — | ||
Total Liabilities | (1,280) | (1,280) | — | ||
Total Investments | $139,859 | $ 12,387 | $127,472 |
Shares | Value | ||
Common Stocks—95.4% | |||
Communication Services—14.2% | |||
Addcn Technology Co., Ltd. (Taiwan) | 5,732 | $ 45 | |
Autohome, Inc. ADR (China) | 1,457 | 44 | |
Baltic Classifieds Group plc (United Kingdom)(1) | 41,786 | 75 | |
NAVER Corp. (South Korea) | 157 | 44 | |
Sarana Menara Nusantara Tbk PT (Indonesia) | 981,000 | 73 | |
Tencent Holdings Ltd. (China) | 1,300 | 60 | |
Tongdao Liepin Group (China)(1) | 13,000 | 30 | |
Wirtualna Polska Holding S.A. (Poland) | 1,864 | 51 | |
422 | |||
Consumer Discretionary—18.5% | |||
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 786 | 86 | |
Allegro.eu S.A. (Poland)(1) | 5,645 | 47 | |
JD.com, Inc. ADR (China)(1) | 1,233 | 71 | |
JD.com, Inc. Class A (China)(1) | 1,447 | 41 | |
Prosus N.V. (Netherlands)(1) | 824 | 45 | |
Union Auction PCL (Thailand) | 159,200 | 46 | |
Vasta Platform Ltd. Class A (Brazil)(1) | 37,828 | 216 | |
552 | |||
Consumer Staples—17.4% | |||
Anhui Gujing Distillery Co., Ltd. Class B (China) | 4,400 | 56 | |
BIM Birlesik Magazalar AS (Turkey) | 6,369 | 37 | |
Carlsberg Brewery Malaysia Bhd (Malaysia) | 11,200 | 58 | |
Fraser and Neave Ltd. (Singapore) | 58,700 | 59 | |
Heineken Malaysia Bhd (Malaysia) | 10,800 | 58 | |
Pernod Ricard S.A. (France) | 285 | 62 | |
Taisun International Holding Corp. (Taiwan) | 8,000 | 19 | |
Thai Beverage PCL (Thailand) | 142,500 | 75 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 23,115 | 95 | |
519 | |||
Financials—8.4% | |||
Bank Central Asia Tbk PT (Indonesia) | 160,000 | 89 | |
HDFC Bank Ltd. ADR (India) | 974 | 60 | |
Kaspi.KZ JSC GDR, 144A (Kazakhstan)(2) | 571 | 28 | |
United Overseas Bank Ltd. (Singapore) | 3,100 | 72 | |
249 | |||
Shares | Value | ||
Health Care—2.4% | |||
Prodia Widyahusada Tbk PT (Indonesia) | 126,000 | $ 70 | |
Industrials—27.6% | |||
Boa Vista Servicos S.A. (Brazil) | 60,185 | 110 | |
Credit Bureau Asia Ltd. (Singapore) | 136,900 | 106 | |
GFC Ltd. (Taiwan) | 19,000 | 45 | |
Grupa Pracuj S.A. (Poland)(1) | 7,369 | 110 | |
HeadHunter Group plc ADR (Russia)(3) | 270 | — (4) | |
NICE Information Service Co., Ltd. (South Korea) | 4,472 | 72 | |
S-1 Corp. (South Korea) | 1,579 | 93 | |
SaraminHR Co., Ltd. (South Korea) | 1,814 | 61 | |
Tegma Gestao Logistica S.A. (Brazil) | 49,744 | 175 | |
Voltronic Power Technology Corp. (Taiwan) | 1,000 | 51 | |
823 | |||
Information Technology—5.8% | |||
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 1,375 | 143 | |
Webcash Corp. (South Korea) | 1,458 | 31 | |
174 | |||
Real Estate—1.1% | |||
American Tower Corp. (United States) | 126 | 32 | |
Total Common Stocks (Identified Cost $3,134) | 2,841 | ||
Total Long-Term Investments—95.4% (Identified Cost $3,134) | 2,841 | ||
Short-Term Investment—3.3% | |||
Money Market Mutual Fund—3.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(5) | 97,937 | 98 | |
Total Short-Term Investment (Identified Cost $98) | 98 | ||
TOTAL INVESTMENTS—98.7% (Identified Cost $3,232) | $2,939 | ||
Other assets and liabilities, net—1.3% | 39 | ||
NET ASSETS—100.0% | $2,978 |
Abbreviations: | |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
JSC | Joint Stock Company |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities amounted to a value of $28 or 0.9% of net assets. |
(3) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(4) | Amount is less than $500. |
(5) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
Brazil | 17% |
China | 13 |
Taiwan | 10 |
South Korea | 10 |
Singapore | 8 |
Indonesia | 8 |
Poland | 7 |
Other | 27 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Equity Securities: | |||||||
Common Stocks | $2,841 | $1,106 | $1,735 | $— (1) | |||
Money Market Mutual Fund | 98 | 98 | — | — | |||
Total Investments | $2,939 | $1,204 | $1,735 | $— (1) |
(1) | Amount is less than $500. |
Shares | Value | ||
Common Stocks—97.1% | |||
Communication Services—15.0% | |||
Addcn Technology Co., Ltd. (Taiwan) | 1,105,009 | $ 8,691 | |
Autohome, Inc. ADR (China) | 153,462 | 4,667 | |
Baltic Classifieds Group plc (United Kingdom)(1) | 4,735,936 | 8,536 | |
Sarana Menara Nusantara Tbk PT (Indonesia) | 117,568,800 | 8,749 | |
Tongdao Liepin Group (China)(1) | 3,003,800 | 6,777 | |
Wirtualna Polska Holding S.A. (Poland) | 358,347 | 9,809 | |
47,229 | |||
Consumer Discretionary—8.4% | |||
Union Auction PCL (Thailand)(2) | 38,012,000 | 11,004 | |
Vasta Platform Ltd. Class A (Brazil)(1)(2) | 1,913,275 | 10,944 | |
Vivo Energy plc (United Kingdom) | 2,552,062 | 4,557 | |
26,505 | |||
Consumer Staples—12.4% | |||
Anhui Gujing Distillery Co., Ltd. Class B (China) | 868,865 | 11,192 | |
Carlsberg Brewery Malaysia Bhd (Malaysia) | 1,651,700 | 8,525 | |
Clicks Group Ltd. (South Africa) | 337,423 | 7,143 | |
Heineken Malaysia Bhd (Malaysia) | 1,742,500 | 9,307 | |
Taisun International Holding Corp. (Taiwan) | 1,230,074 | 2,988 | |
39,155 | |||
Financials—4.9% | |||
Kaspi.KZ JSC GDR, 144A (Kazakhstan)(3) | 117,991 | 5,853 | |
Multi Commodity Exchange of India Ltd. (India) | 491,441 | 9,132 | |
VNV Global AB (Sweden)(1) | 67,387 | 358 | |
15,343 | |||
Health Care—2.6% | |||
Haw Par Corp., Ltd. (Singapore) | 979,174 | 8,364 | |
Industrials—35.6% | |||
Boa Vista Servicos S.A. (Brazil) | 7,695,532 | 14,046 |
Shares | Value | ||
Industrials—continued | |||
Grupa Pracuj S.A. (Poland)(1) | 852,241 | $ 12,761 | |
HeadHunter Group plc ADR (Russia)(4) | 37,879 | — (5) | |
IndiaMart InterMesh Ltd. (India) | 74,500 | 4,219 | |
Kerry TJ Logistics Co., Ltd. (Taiwan) | 2,864,000 | 4,372 | |
Marel HF (Iceland) | 1,175,070 | 6,851 | |
NICE Information Service Co., Ltd. (South Korea) | 633,897 | 10,272 | |
S-1 Corp. (South Korea) | 191,325 | 11,223 | |
SaraminHR Co., Ltd. (South Korea) | 349,485 | 11,772 | |
Sporton International, Inc. (Taiwan) | 1,431,256 | 9,383 | |
Taiwan Secom Co. Ltd. (Taiwan) | 1,137,874 | 4,319 | |
Tegma Gestao Logistica S.A. (Brazil)(2) | 5,350,944 | 18,769 | |
Voltronic Power Technology Corp. (Taiwan) | 90,178 | 4,551 | |
112,538 | |||
Information Technology—14.3% | |||
Computer Age Management Services Ltd. (India) | 307,663 | 9,337 | |
Humanica PCL (Thailand) | 13,196,200 | 4,976 | |
Oracle Financial Services Software Ltd. (India) | 271,577 | 12,795 | |
TOTVS S.A. (Brazil) | 1,052,052 | 8,079 | |
Webcash Corp. (South Korea) | 309,042 | 6,477 | |
Younglimwon Soft Lab Co. Ltd. (South Korea)(2) | 407,309 | 3,478 | |
45,142 | |||
Materials—3.9% | |||
Avia Avian Tbk PT (Indonesia)(1) | 116,536,552 | 6,326 | |
Corp. Moctezuma SAB de C.V. (Mexico) | 1,875,583 | 5,988 | |
12,314 | |||
Total Common Stocks (Identified Cost $304,574) | 306,590 | ||
Total Long-Term Investments—97.1% (Identified Cost $304,574) | 306,590 | ||
Shares | Value | ||
Short-Term Investment—2.1% | |||
Money Market Mutual Fund—2.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(6) | 6,636,930 | $ 6,637 | |
Total Short-Term Investment (Identified Cost $6,637) | 6,637 | ||
TOTAL INVESTMENTS—99.2% (Identified Cost $311,211) | $313,227 | ||
Other assets and liabilities, net—0.8% | 2,603 | ||
NET ASSETS—100.0% | $315,830 |
Abbreviations: | |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
JSC | Joint Stock Company |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Affiliated investment. See Note 4H in Notes to Financial Statements. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities amounted to a value of $5,853 or 1.9% of net assets. |
(4) | 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. |
(5) | Amount is less than $500. |
(6) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
Brazil | 17% |
South Korea | 14 |
India | 11 |
Taiwan | 11 |
China | 7 |
Poland | 7 |
Malaysia | 6 |
Other | 27 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Equity Securities: | |||||||
Common Stocks | $306,590 | $84,326 | $222,264 | $— (1) | |||
Money Market Mutual Fund | 6,637 | 6,637 | — | — | |||
Total Investments | $313,227 | $90,963 | $222,264 | $— (1) |
(1) | Amount is less than $500. |
Shares | Value | ||
Common Stocks—99.3% | |||
Communication Services—23.1% | |||
Adevinta ASA Class B (Norway)(1) | 3,000,019 | $ 27,388 | |
Ascential plc (United Kingdom)(1) | 14,543,345 | 65,895 | |
Auto Trader Group plc (United Kingdom) | 10,177,976 | 84,022 | |
Baltic Classifieds Group plc (United Kingdom)(1)(2) | 30,179,315 | 54,394 | |
Dayamitra Telekomunikasi PT (Indonesia)(1) | 851,766,000 | 45,692 | |
Infrastrutture Wireless Italiane SpA (Italy) | 5,423,736 | 60,715 | |
Moneysupermarket.com Group plc (United Kingdom) | 13,367,102 | 33,246 | |
New Work SE (Germany) | 241,565 | 49,185 | |
Rightmove plc (United Kingdom) | 11,176,260 | 92,368 | |
512,905 | |||
Consumer Discretionary—6.9% | |||
Allegro.eu S.A. (Poland)(1) | 6,454,616 | 54,064 | |
Goldlion Holdings Ltd. (Hong Kong) | 21,095,882 | 4,273 | |
Max Stock Ltd. (Israel)(2) | 8,799,684 | 23,405 | |
Mercari, Inc. (Japan)(1) | 2,559,600 | 66,073 | |
Victorian Plumbing Group plc (United Kingdom)(1) | 10,881,777 | 6,933 | |
154,748 | |||
Consumer Staples—6.1% | |||
Anhui Gujing Distillery Co., Ltd. Class B (China) | 3,615,401 | 46,568 | |
BIM Birlesik Magazalar AS (Turkey) | 6,264,809 | 36,124 | |
Heineken Malaysia Bhd (Malaysia) | 9,795,500 | 52,321 | |
135,013 | |||
Energy—2.9% | |||
Pason Systems, Inc. (Canada)(2) | 5,249,294 | 64,286 | |
Financials—14.0% | |||
Euroz Hartleys Group Ltd. (Australia) | 3,951,411 | 4,873 | |
Gruppo MutuiOnline SpA (Italy) | 1,196,954 | 42,655 |
Shares | Value | ||
Financials—continued | |||
Hargreaves Lansdown plc (United Kingdom) | 3,249,962 | $ 42,837 | |
Kaspi.KZ JSC GDR, 144A (Kazakhstan)(3) | 456,796 | 22,658 | |
Mortgage Advice Bureau Holdings Ltd. (United Kingdom)(2) | 4,072,919 | 61,218 | |
Nordnet AB publ (Sweden) | 3,170,421 | 56,756 | |
Numis Corp. plc (United Kingdom) | 2,288,901 | 7,664 | |
Sabre Insurance Group plc (United Kingdom)(2) | 17,895,415 | 54,349 | |
VNV Global AB (Sweden)(1) | 3,313,564 | 17,617 | |
310,627 | |||
Health Care—5.4% | |||
Haw Par Corp., Ltd. (Singapore) | 10,346,812 | 88,383 | |
Nakanishi, Inc. (Japan) | 1,747,700 | 32,227 | |
120,610 | |||
Industrials—28.9% | |||
Boa Vista Servicos S.A. (Brazil) | 18,130,203 | 33,092 | |
BTS Group AB Class B (Sweden) | 19,142 | 685 | |
CAE, Inc. (Canada)(1) | 2,895,775 | 75,374 | |
Enento Group Oyj (Finland)(1) | 1,039,346 | 30,856 | |
Haitian International Holdings Ltd. (Hong Kong) | 32,310,301 | 83,316 | |
HeadHunter Group plc ADR (Russia)(4) | 2,282,731 | 2 | |
Howden Joinery Group plc (United Kingdom) | 2,615,560 | 26,221 | |
Knorr-Bremse AG (Germany) | 852,523 | 65,352 | |
Lumax International Corp., Ltd. (Taiwan)(2) | 6,839,259 | 17,795 | |
Marel HF (Iceland) | 12,711,855 | 74,117 | |
Meitec Corp. (Japan) | 867,000 | 46,967 | |
MTU Aero Engines AG (Germany) | 366,757 | 84,823 | |
Rotork plc (United Kingdom) | 7,315,741 | 31,151 | |
S-1 Corp. (South Korea) | 1,246,637 | 73,129 | |
642,880 | |||
Information Technology—10.3% | |||
Alten S.A. (France) | 564,604 | 85,214 | |
Bouvet ASA (Norway)(2) | 7,801,702 | 61,815 |
Shares | Value | ||
Information Technology—continued | |||
Brockhaus Technologies AG (Germany)(1)(2) | 774,496 | $ 16,756 | |
FDM Group Holdings plc (United Kingdom) | 2,635,366 | 36,380 | |
Fineos Corp., Ltd. CDI (Australia)(1)(2) | 16,400,880 | 29,617 | |
229,782 | |||
Materials—1.7% | |||
Corp. Moctezuma SAB de C.V. (Mexico) | 11,570,944 | 36,941 | |
Total Common Stocks (Identified Cost $2,231,790) | 2,207,792 | ||
Warrant—0.0% | |||
Financials—0.0% | |||
VNV Global AB (Sweden)(1) | 1,748,895 | 742 | |
Total Warrant (Identified Cost $0) | 742 | ||
Total Long-Term Investments—99.3% (Identified Cost $2,231,790) | 2,208,534 | ||
Short-Term Investment—1.1% | |||
Money Market Mutual Fund—1.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(5) | 24,687,239 | 24,687 | |
Total Short-Term Investment (Identified Cost $24,687) | 24,687 | ||
TOTAL INVESTMENTS—100.4% (Identified Cost $2,256,477) | $2,233,221 | ||
Other assets and liabilities, net—(0.4)% | (8,841) | ||
NET ASSETS—100.0% | $2,224,380 |
Abbreviations: | |
ADR | American Depositary Receipt |
CDI | CREST Depositary Interest |
GDR | Global Depositary Receipt |
JSC | Joint Stock Company |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Affiliated investment. See Note 4H in Notes to Financial Statements. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, these securities amounted to a value of $22,658 or 1.0% of net assets. |
(4) | 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. |
(5) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United Kingdom | 26% |
Germany | 10 |
Canada | 6 |
Japan | 6 |
Italy | 5 |
Hong Kong | 4 |
Singapore | 4 |
Other | 39 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Equity Securities: | |||||||
Common Stocks | $2,207,792 | $232,351 | $1,975,439 | $ 2 | |||
Warrant | 742 | 742 | — | — | |||
Money Market Mutual Fund | 24,687 | 24,687 | — | — | |||
Total Investments | $2,233,221 | $257,780 | $1,975,439 | $ 2 |
Shares | Value | ||
Common Stocks—98.9% | |||
Communication Services—7.8% | |||
NAVER Corp. (South Korea) | 362,814 | $ 100,837 | |
NetEase, Inc. (China) | 1,182,500 | 21,336 | |
NetEase, Inc. ADR (China) | 197,861 | 17,746 | |
Telkom Indonesia Persero Tbk PT (Indonesia) | 161,883,785 | 51,503 | |
Tencent Holdings Ltd. (China) | 1,030,547 | 47,502 | |
238,924 | |||
Consumer Discretionary—14.9% | |||
Alibaba Group Holding Ltd. (China)(1) | 3,269,398 | 44,616 | |
Baozun, Inc. Sponsored ADR (China)(1) | 858,381 | 7,365 | |
China Tourism Group Duty Free Corp., Ltd. Class A (China) | 1,172,546 | 30,161 | |
Eicher Motors Ltd. (India) | 1,828,295 | 58,959 | |
JD.com, Inc. ADR (China)(1) | 582,617 | 33,716 | |
JD.com, Inc. Class A (China)(1) | 3,605,398 | 102,447 | |
Magazine Luiza S.A. (Brazil) | 5,596,454 | 8,052 | |
MercadoLibre, Inc. (Brazil)(1) | 14,064 | 16,729 | |
Midea Group Co., Ltd. Class A (China) | 4,927,282 | 43,948 | |
Shenzhou International Group Holdings Ltd. (China) | 4,029,765 | 53,201 | |
Yum China Holdings, Inc. (China) | 1,248,522 | 54,460 | |
453,654 | |||
Consumer Staples—19.0% | |||
Budweiser Brewing Co. APAC Ltd. (Hong Kong) | 13,644,772 | 36,031 | |
Chacha Food Co., Ltd. Class A (China) | 6,356,575 | 53,632 | |
Foshan Haitian Flavouring & Food Co., Ltd. Class A (China) | 2,865,953 | 39,361 | |
Hindustan Unilever Ltd. (India) | 3,763,647 | 101,258 | |
LG Household & Health Care Ltd. (South Korea) | 49,973 | 35,251 | |
President Chain Store Corp. (Taiwan) | 7,472,438 | 68,538 | |
Raia Drogasil S.A. (Brazil) | 7,766,802 | 39,054 |
Shares | Value | ||
Consumer Staples—continued | |||
Toly Bread Co., Ltd. Class A (China) | 9,826,072 | $ 31,061 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 35,689,952 | 146,259 | |
Wuliangye Yibin Co., Ltd. Class A (China) | 1,146,341 | 27,831 | |
578,276 | |||
Energy—1.5% | |||
Reliance Industries Ltd. (India) | 1,302,152 | 45,038 | |
Financials—14.9% | |||
Bancolombia S.A. Sponsored ADR (Colombia) | 240,521 | 10,261 | |
Bank Central Asia Tbk PT (Indonesia) | 89,444,887 | 49,718 | |
Bank Rakyat Persero Tbk PT (Indonesia) | 273,644,845 | 88,383 | |
Hong Kong Exchanges & Clearing Ltd. (Hong Kong) | 628,495 | 29,460 | |
Housing Development Finance Corp., Ltd. (India) | 1,973,339 | 61,702 | |
Kotak Mahindra Bank Ltd. (India) | 2,912,473 | 66,890 | |
Oversea-Chinese Banking Corp. Ltd. (Singapore) | 6,645,674 | 60,288 | |
Siam Commercial Bank PCL (The) (Thailand) | 7,983,500 | 27,224 | |
United Overseas Bank Ltd. (Singapore) | 2,660,725 | 62,256 | |
456,182 | |||
Health Care—2.0% | |||
Hapvida Participacoes e Investimentos S.A. (Brazil) | 12,684,917 | 31,759 | |
Wuxi Biologics Cayman, Inc. (China)(1) | 3,885,737 | 30,855 | |
62,614 | |||
Industrials—7.5% | |||
Shanghai M&G Stationery, Inc. Class A (China) | 6,296,852 | 48,394 | |
Shenzhen Inovance Technology Co., Ltd. Class A (China) | 1,744,397 | 15,575 | |
Techtronic Industries Co., Ltd. (Hong Kong) | 3,279,352 | 52,540 | |
Voltas Ltd. (India) | 2,184,813 | 35,695 | |
WEG S.A. (Brazil) | 4,059,018 | 29,754 |
Shares | Value | ||
Industrials—continued | |||
Wuxi Lead Intelligent Equipment Co. Ltd. Class A (China) | 5,050,768 | $ 46,133 | |
228,091 | |||
Information Technology—26.2% | |||
Accton Technology Corp. (Taiwan) | 5,488,136 | 42,198 | |
HCL Technologies Ltd. (India) | 6,454,902 | 98,649 | |
Infosys Ltd. (India) | 2,718,310 | 68,074 | |
Realtek Semiconductor Corp. (Taiwan) | 1,027,502 | 15,263 | |
Samsung Electronics Co., Ltd. (South Korea) | 817,857 | 46,800 | |
SK Hynix, Inc. (South Korea) | 1,508,953 | 145,160 | |
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 12,020,432 | 246,582 | |
Tata Consultancy Services Ltd. (India) | 1,132,469 | 55,656 | |
TOTVS S.A. (Brazil) | 4,877,485 | 37,454 | |
Win Semiconductors Corp. (Taiwan) | 4,605,069 | 42,379 | |
798,215 | |||
Materials—1.1% | |||
Avia Avian Tbk PT (Indonesia)(1) | 597,476,919 | 32,432 | |
Utilities—4.0% | |||
ENN Energy Holdings Ltd. (China) | 2,998,413 | 44,784 | |
Power Grid Corp. of India Ltd. (India) | 26,921,650 | 76,752 | |
121,536 | |||
Total Common Stocks (Identified Cost $2,830,984) | 3,014,962 | ||
Total Long-Term Investments—98.9% (Identified Cost $2,830,984) | 3,014,962 | ||
Shares | Value | ||
Short-Term Investment—1.3% | |||
Money Market Mutual Fund—1.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(2) | 41,017,191 | $ 41,017 | |
Total Short-Term Investment (Identified Cost $41,017) | 41,017 | ||
TOTAL INVESTMENTS—100.2% (Identified Cost $2,872,001) | $3,055,979 | ||
Other assets and liabilities, net—(0.2)% | (7,301) | ||
NET ASSETS—100.0% | $3,048,678 |
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† | |
China | 26% |
India | 22 |
Taiwan | 14 |
South Korea | 11 |
Indonesia | 7 |
Brazil | 5 |
Mexico | 5 |
Other | 10 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $3,014,962 | $405,373 | $2,609,589 | ||
Money Market Mutual Fund | 41,017 | 41,017 | — | ||
Total Investments | $3,055,979 | $446,390 | $2,609,589 |
Shares | Value | ||
Common Stocks—96.1% | |||
Communication Services—0.5% | |||
NAVER Corp. (South Korea) | 17,014 | $ 4,729 | |
Consumer Discretionary—8.3% | |||
EssilorLuxottica S.A. (France) | 86,074 | 15,742 | |
Ferrari N.V. (Italy) | 66,291 | 14,442 | |
Flutter Entertainment plc (Ireland)(1) | 128,879 | 14,853 | |
LVMH Moet Hennessy Louis Vuitton SE (France) | 26,075 | 18,612 | |
Yum China Holdings, Inc. (China) | 246,904 | 10,770 | |
74,419 | |||
Consumer Staples—12.5% | |||
Diageo plc (United Kingdom) | 714,257 | 36,230 | |
Kobe Bussan Co., Ltd. (Japan) | 348,160 | 10,715 | |
Mondelez International, Inc. Class A (United States) | 205,065 | 12,874 | |
Nestle S.A. Registered Shares (Switzerland) | 282,140 | 36,683 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 3,876,670 | 15,887 | |
112,389 | |||
Financials—3.4% | |||
London Stock Exchange Group plc (United Kingdom) | 291,231 | 30,370 | |
Health Care—13.9% | |||
Alcon, Inc. (Switzerland) | 465,973 | 36,917 | |
Eurofins Scientific SE (Luxembourg) | 187,549 | 18,553 | |
Hoya Corp. (Japan) | 188,408 | 21,471 | |
Lonza Group AG Registered Shares (Switzerland)(1) | 35,286 | 25,568 | |
Sartorius Stedim Biotech (France) | 56,908 | 23,299 | |
125,808 | |||
Shares | Value | ||
Industrials—30.3% | |||
Ashtead Group plc (United Kingdom) | 286,835 | $ 18,060 | |
Boyd Group Services, Inc. (Canada) | 119,238 | 15,792 | |
CAE, Inc. (Canada)(1) | 707,247 | 18,409 | |
Canadian National Railway Co. (Canada) | 296,066 | 39,715 | |
Epiroc AB Class A (Sweden) | 1,011,328 | 21,631 | |
Experian plc (Ireland) | 450,366 | 17,351 | |
IMCD N.V. (Netherlands) | 115,405 | 19,687 | |
RELX plc (United Kingdom) | 1,252,614 | 38,979 | |
Rentokil Initial plc (United Kingdom) | 4,214,746 | 29,033 | |
Teleperformance (France) | 58,450 | 22,263 | |
Wolters Kluwer N.V. (Netherlands) | 306,761 | 32,703 | |
273,623 | |||
Information Technology—24.1% | |||
Adyen N.V. (Netherlands)(1) | 6,149 | 12,179 | |
Constellation Software, Inc. (Canada) | 29,709 | 50,784 | |
Halma plc (United Kingdom) | 767,865 | 25,122 | |
Keyence Corp. (Japan) | 28,875 | 13,389 | |
Mastercard, Inc. Class A (United States) | 113,671 | 40,624 | |
Obic Co., Ltd. (Japan) | 167,166 | 25,038 | |
Samsung Electronics Co., Ltd. (South Korea) | 304,322 | 17,414 | |
Tata Consultancy Services Ltd. (India) | 670,167 | 32,936 | |
217,486 | |||
Materials—3.1% | |||
Air Liquide S.A. (France) | 158,684 | 27,761 | |
Total Common Stocks (Identified Cost $661,257) | 866,585 | ||
Total Long-Term Investments—96.1% (Identified Cost $661,257) | 866,585 | ||
Shares | Value | ||
Short-Term Investment—3.8% | |||
Money Market Mutual Fund—3.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(2) | 34,117,917 | $ 34,118 | |
Total Short-Term Investment (Identified Cost $34,118) | 34,118 | ||
TOTAL INVESTMENTS—99.9% (Identified Cost $695,375) | $900,703 | ||
Other assets and liabilities, net—0.1% | 975 | ||
NET ASSETS—100.0% | $901,678 |
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 | 20% |
Canada | 14 |
France | 12 |
Switzerland | 11 |
United States | 10 |
Japan | 8 |
Netherlands | 7 |
Other | 18 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $866,585 | $194,085 | $672,500 | ||
Money Market Mutual Fund | 34,118 | 34,118 | — | ||
Total Investments | $900,703 | $228,203 | $672,500 |
Shares | Value | ||
Common Stocks—98.3% | |||
Communication Services—4.8% | |||
Alphabet, Inc. Class C (United States)(1) | 4,250 | $ 11,870 | |
NAVER Corp. (South Korea) | 15,187 | 4,221 | |
16,091 | |||
Consumer Discretionary—15.7% | |||
Alibaba Group Holding Ltd. (China)(1) | 292,463 | 3,991 | |
Amazon.com, Inc. (United States)(1) | 4,938 | 16,098 | |
Booking Holdings, Inc. (Netherlands)(1) | 2,733 | 6,418 | |
EssilorLuxottica S.A. (France) | 35,938 | 6,573 | |
Flutter Entertainment plc (Ireland)(1) | 64,650 | 7,451 | |
JD.com, Inc. Class A (China)(1) | 64,925 | 1,845 | |
LVMH Moet Hennessy Louis Vuitton SE (France) | 6,512 | 4,648 | |
NIKE, Inc. Class B (United States) | 45,677 | 6,146 | |
53,170 | |||
Consumer Staples—14.1% | |||
Coca-Cola Co. (The) (United States) | 219,606 | 13,616 | |
Heineken N.V. (Netherlands) | 94,350 | 9,023 | |
Kobe Bussan Co., Ltd. (Japan) | 116,441 | 3,583 | |
Nestle S.A. Registered Shares (Switzerland) | 124,308 | 16,162 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 1,314,066 | 5,385 | |
47,769 | |||
Financials—10.5% | |||
CME Group, Inc. Class A (United States) | 64,063 | 15,238 | |
Housing Development Finance Corp., Ltd. (India) | 331,706 | 10,372 | |
London Stock Exchange Group plc (United Kingdom) | 93,019 | 9,700 | |
35,310 | |||
Health Care—15.3% | |||
Abbott Laboratories (United States) | 26,907 | 3,185 | |
Alcon, Inc. (Switzerland) | 67,370 | 5,337 |
Shares | Value | ||
Health Care—continued | |||
Becton Dickinson and Co. (United States) | 27,766 | $ 7,386 | |
Boston Scientific Corp. (United States)(1) | 217,587 | 9,637 | |
Eurofins Scientific SE (Luxembourg) | 55,267 | 5,467 | |
Hoya Corp. (Japan) | 58,858 | 6,707 | |
Intuitive Surgical, Inc. (United States)(1) | 2,947 | 889 | |
UnitedHealth Group, Inc. (United States) | 25,391 | 12,949 | |
51,557 | |||
Industrials—9.3% | |||
Ashtead Group plc (United Kingdom) | 72,122 | 4,541 | |
Otis Worldwide Corp. (United States) | 44,239 | 3,404 | |
RELX plc (United Kingdom) | 231,458 | 7,202 | |
Rentokil Initial plc (United Kingdom) | 928,297 | 6,395 | |
Techtronic Industries Co., Ltd. (Hong Kong) | 300,919 | 4,821 | |
Teleperformance (France) | 13,669 | 5,207 | |
31,570 | |||
Information Technology—24.2% | |||
Adobe, Inc. (United States)(1) | 15,735 | 7,169 | |
Constellation Software, Inc. (Canada) | 3,378 | 5,774 | |
Mastercard, Inc. Class A (United States) | 41,358 | 14,781 | |
Microsoft Corp. (United States) | 56,374 | 17,381 | |
PayPal Holdings, Inc. (United States)(1) | 58,953 | 6,818 | |
Samsung Electronics Co., Ltd. (South Korea) | 53,602 | 3,067 | |
ServiceNow, Inc. (United States)(1) | 8,859 | 4,934 | |
Synopsys, Inc. (United States)(1) | 5,810 | 1,936 | |
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan) | 77,003 | 8,028 | |
Tata Consultancy Services Ltd. (India) | 77,627 | 3,815 | |
Visa, Inc. Class A (United States) | 36,010 | 7,986 | |
81,689 | |||
Shares | Value | ||
Materials—4.4% | |||
Air Liquide S.A. (France) | 30,457 | $ 5,328 | |
Sherwin-Williams Co. (The) (United States) | 13,394 | 3,344 | |
Vulcan Materials Co. (United States) | 33,091 | 6,079 | |
14,751 | |||
Total Common Stocks (Identified Cost $222,347) | 331,907 | ||
Total Long-Term Investments—98.3% (Identified Cost $222,347) | 331,907 | ||
Short-Term Investment—1.3% | |||
Money Market Mutual Fund—1.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(2) | 4,330,326 | 4,330 | |
Total Short-Term Investment (Identified Cost $4,330) | 4,330 | ||
TOTAL INVESTMENTS—99.6% (Identified Cost $226,677) | $336,237 | ||
Other assets and liabilities, net—0.4% | 1,256 | ||
NET ASSETS—100.0% | $337,493 |
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 | 52% |
United Kingdom | 8 |
France | 7 |
Switzerland | 6 |
Netherlands | 5 |
India | 4 |
Japan | 3 |
Other | 15 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $331,907 | $196,451 | $135,456 | ||
Money Market Mutual Fund | 4,330 | 4,330 | — | ||
Total Investments | $336,237 | $200,781 | $135,456 |
Shares | Value | ||
Common Stocks—96.6% | |||
Communication Services—2.2% | |||
Infrastrutture Wireless Italiane SpA (Italy) | 16,449 | $ 184 | |
Consumer Discretionary—12.9% | |||
adidas AG (Germany) | 590 | 137 | |
Booking Holdings, Inc. (Netherlands)(1) | 109 | 256 | |
EssilorLuxottica S.A. (France) | 1,335 | 244 | |
Ferrari N.V. (Italy) | 596 | 130 | |
Flutter Entertainment plc (Ireland)(1) | 1,377 | 159 | |
LVMH Moet Hennessy Louis Vuitton SE (France) | 227 | 162 | |
1,088 | |||
Consumer Staples—16.9% | |||
Diageo plc (United Kingdom) | 5,947 | 302 | |
Heineken N.V. (Netherlands) | 2,294 | 219 | |
L’Oreal S.A. (France) | 234 | 93 | |
Nestle S.A. Registered Shares (Switzerland) | 3,342 | 435 | |
Pernod Ricard S.A. (France) | 778 | 171 | |
Royal Unibrew A/S (Denmark) | 1,381 | 129 | |
Unilever plc (United Kingdom) | 1,702 | 77 | |
1,426 | |||
Financials—7.4% | |||
EXOR N.V. (Netherlands) | 1,313 | 100 | |
Groupe Bruxelles Lambert S.A. (Belgium) | 1,569 | 162 | |
KBC Group N.V. (Belgium) | 1,208 | 87 | |
London Stock Exchange Group plc (United Kingdom) | 2,669 | 278 | |
627 | |||
Health Care—12.1% | |||
Alcon, Inc. (Switzerland) | 4,207 | 333 | |
Eurofins Scientific SE (Luxembourg) | 2,120 | 210 | |
Lonza Group AG Registered Shares (Switzerland)(1) | 324 | 235 | |
Medtronic plc (United States) | 1,068 | 118 | |
Sartorius Stedim Biotech (France) | 302 | 124 | |
1,020 | |||
Shares | Value | ||
Industrials—23.6% | |||
Ashtead Group plc (United Kingdom) | 3,793 | $ 239 | |
Epiroc AB Class A (Sweden) | 6,802 | 146 | |
Experian plc (Ireland) | 3,544 | 137 | |
IMCD N.V. (Netherlands) | 1,033 | 176 | |
RELX plc (United Kingdom) | 4,795 | 149 | |
Rentokil Initial plc (United Kingdom) | 39,102 | 269 | |
Teleperformance (France) | 791 | 301 | |
Vinci S.A. (France) | 2,492 | 255 | |
Wolters Kluwer N.V. (Netherlands) | 2,983 | 318 | |
1,990 | |||
Information Technology—14.2% | |||
Accenture plc Class A (United States) | 1,037 | 350 | |
Adyen N.V. (Netherlands)(1) | 84 | 167 | |
ASML Holding N.V. (Netherlands) | 370 | 247 | |
Edenred (France) | 2,934 | 145 | |
Halma plc (United Kingdom) | 5,536 | 181 | |
Netcompany Group A/S (Denmark) | 1,658 | 109 | |
1,199 | |||
Materials—5.8% | |||
Air Liquide S.A. (France) | 1,418 | 248 | |
Sika AG Registered Shares (Switzerland) | 726 | 240 | |
488 | |||
Utilities—1.5% | |||
EDP - Energias de Portugal S.A. (Portugal) | 26,469 | 130 | |
Total Common Stocks (Identified Cost $6,291) | 8,152 | ||
Total Long-Term Investments—96.6% (Identified Cost $6,291) | 8,152 | ||
Shares | Value | ||
Short-Term Investment—2.8% | |||
Money Market Mutual Fund—2.8% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.194%)(2) | 239,755 | $ 240 | |
Total Short-Term Investment (Identified Cost $240) | 240 | ||
TOTAL INVESTMENTS—99.4% (Identified Cost $6,531) | $8,392 | ||
Other assets and liabilities, net—0.6% | 50 | ||
NET ASSETS—100.0% | $8,442 |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
France | 21% |
United Kingdom | 18 |
Netherlands | 18 |
Switzerland | 15 |
United States | 8 |
Italy | 4 |
Ireland | 3 |
Other | 13 |
Total | 100% |
† % of total investments as of March 31, 2022. |
Total Value at March 31, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | |||
Assets: | |||||
Equity Securities: | |||||
Common Stocks | $8,152 | $724 | $7,428 | ||
Money Market Mutual Fund | 240 | 240 | — | ||
Total Investments | $8,392 | $964 | $7,428 |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | Duff & Phelps International Real Estate Securities Fund | Duff & Phelps Real Asset Fund | ||||
Assets | |||||||
Investment in securities at value(1) | $ 95,513 | $ 532,087 | $ 33,335 | $ 10,338 | |||
Investment in affiliates at value(2) | — | — | — | 15,970 | |||
Foreign currency at value(3) | — | — (a) | — | — | |||
Cash | 106 | 100 | 100 | — | |||
Receivables | |||||||
Investment securities sold | 477 | — | — | — | |||
Fund shares sold | 61 | 2,252 | 1 | 6 | |||
Receivable from adviser | — | — | — | — (a) | |||
Dividends | 99 | 1,530 | 118 | 4 | |||
Tax reclaims | 52 | 178 | 43 | — | |||
Prepaid Trustees’ retainer | 1 | 7 | — (a) | — (a) | |||
Prepaid expenses | 26 | 42 | 16 | 34 | |||
Other assets | 9 | 52 | 3 | 3 | |||
Total assets | 96,344 | 536,248 | 33,616 | 26,355 | |||
Liabilities | |||||||
Due to custodian | 6 | — | — | — | |||
Payables | |||||||
Fund shares repurchased | — (a) | 403 | 1 | 1 | |||
Investment securities purchased | 954 | — | — | 4 | |||
Investment advisory fees | 50 | 343 | 23 | — | |||
Distribution and service fees | 12 | 12 | 1 | 3 | |||
Administration and accounting fees | 8 | 44 | 3 | 3 | |||
Transfer agent and sub-transfer agent fees and expenses | 14 | 86 | 3 | 6 | |||
Professional fees | 16 | 18 | 18 | 12 | |||
Trustee deferred compensation plan | 9 | 52 | 3 | 3 | |||
Interest expense and/or commitment fees | — (a) | — | — (a) | — (a) | |||
Other accrued expenses | 7 | 10 | 10 | 7 | |||
Total liabilities | 1,076 | 968 | 62 | 39 | |||
Net Assets | $ 95,268 | $ 535,280 | $ 33,554 | $ 26,316 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $ 72,448 | $ 433,423 | $ 33,583 | $ 42,520 | |||
Accumulated earnings (loss) | 22,820 | 101,857 | (29) | (16,204) | |||
Net Assets | $ 95,268 | $ 535,280 | $ 33,554 | $ 26,316 | |||
Net Assets: | |||||||
Class A | $ 35,296 | $ 29,968 | $ 3,078 | $ 13,626 | |||
Class C | $ 5,382 | $ 7,591 | $ 233 | $ 970 | |||
Class I | $ 42,778 | $ 394,970 | $ 30,243 | $ 11,612 | |||
Class R6 | $ 11,812 | $ 102,751 | $ — | $ 108 | |||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||||
Class A | 2,051,455 | 738,398 | 391,619 | 955,073 | |||
Class C | 313,447 | 198,639 | 29,770 | 67,588 | |||
Class I | 2,485,592 | 10,053,703 | 3,846,334 | 815,457 | |||
Class R6 | 685,290 | 2,602,410 | — | 7,564 | |||
Net Asset Value and Redemption Price Per Share:* | |||||||
Class A | $ 17.21 | $ 40.59 | $ 7.86 | $ 14.27 | |||
Class C | $ 17.17 | $ 38.21 | $ 7.82 | $ 14.35 | |||
Class I | $ 17.21 | $ 39.29 | $ 7.86 | $ 14.24 | |||
Class R6 | $ 17.24 | $ 39.48 | $ — | $ 14.25 |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | Duff & Phelps International Real Estate Securities Fund | Duff & Phelps Real Asset Fund | ||||
Maximum Offering Price Per Share (NAV/(1-Maximum Sales Charge)): | |||||||
Class A | $ 18.21 | $ 42.95 | $ 8.32 | $ 15.10 | |||
Maximum Sales Charge - Class A | 5.50% | 5.50% | 5.50% | 5.50% | |||
(1) Investment in securities at cost | $ 75,779 | $ 431,851 | $ 28,291 | $ 7,601 | |||
(2) Investment in affiliates at cost | $ — | $ — | $ — | $ 9,618 | |||
(3) Foreign currency at cost | $ —(a) | $ —(a) | $ — | $ — |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
(a) | Amount is less than $500. |
Duff & Phelps Real Estate Securities Fund | FORT Trend Fund‡ | KAR Developing Markets Fund | KAR Emerging Markets Small-Cap Fund | ||||
Assets | |||||||
Investment in securities at value(1) | $ 563,641 | $ 136,614 | $ 2,939 | $ 269,032 | |||
Investment in affiliated funds at value(2) | — | — | — | 44,195 | |||
Foreign currency at value(3) | — | — | — | 51 | |||
Cash | 100 | 1,000 | 50 | 100 | |||
Cash pledged as collateral for futures contracts | — | 7,268 | — | — | |||
Due from broker | — | 2,401 | — | — | |||
Receivables | |||||||
Investment securities sold | 7,614 | — | 2 | 1,646 | |||
Fund shares sold | 3,479 | 9 | — | 949 | |||
Receivable from adviser | — | — | 5 | — | |||
Dividends and interest | 1,379 | 1 | 6 | 859 | |||
Tax reclaims | — | — | — | 9 | |||
Prepaid Trustees’ retainer | 7 | 2 | — (a) | 4 | |||
Prepaid expenses | 46 | 19 | — (a) | 53 | |||
Other assets | 56 | 15 | — (a) | 31 | |||
Total assets | 576,322 | 147,329 | 3,002 | 316,929 | |||
Liabilities | |||||||
Due to custodian | — | 167 | — | — | |||
Variation margin payable on futures contracts | — | 1,822 | — | — | |||
Payables | |||||||
Fund shares repurchased | 2,531 | 420 | — | 331 | |||
Foreign capital gains tax | — | — | — | 290 | |||
Investment advisory fees | 338 | 135 | — | 309 | |||
Distribution and service fees | 36 | 32 | — (a) | 10 | |||
Administration and accounting fees | 47 | 13 | 1 | 26 | |||
Transfer agent and sub-transfer agent fees and expenses | 95 | 38 | — (a) | 59 | |||
Professional fees | 21 | 21 | 21 | 26 | |||
Trustee deferred compensation plan | 56 | 15 | — (a) | 31 | |||
Interest expense and/or commitment fees | — (a) | — (a) | — (a) | — | |||
Other accrued expenses | 27 | 15 | 2 | 17 | |||
Total liabilities | 3,151 | 2,678 | 24 | 1,099 | |||
Net Assets | $ 573,171 | $ 144,651 | $ 2,978 | $ 315,830 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $ 291,060 | $ 548,505 | $ 3,447 | $ 325,920 | |||
Accumulated earnings (loss) | 282,111 | (403,854) | (469) | (10,090) | |||
Net Assets | $ 573,171 | $ 144,651 | $ 2,978 | $ 315,830 | |||
Net Assets: | |||||||
Class A | $ 146,644 | $ 106,870 | $ 86 | $ 40,370 | |||
Class C | $ 6,621 | $ 9,941 | $ 83 | $ 2,154 | |||
Class I | $ 257,488 | $ 27,143 | $ 95 | $ 271,956 | |||
Class R6 | $ 162,418 | $ 697 | $ 2,714 | $ 1,350 | |||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||||
Class A | 5,495,101 | 7,247,934 | 10,221 | 2,934,085 | |||
Class C | 248,629 | 722,913 | 10,000 | 158,073 | |||
Class I | 9,685,247 | 1,804,671 | 11,326 | 19,680,571 | |||
Class R6 | 6,078,426 | 45,963 | 323,141 | 97,838 |
Duff & Phelps Real Estate Securities Fund | FORT Trend Fund‡ | KAR Developing Markets Fund | KAR Emerging Markets Small-Cap Fund | ||||
Net Asset Value and Redemption Price Per Share:* | |||||||
Class A | $ 26.69 | $ 14.74 | $ 8.38 | $ 13.76 | |||
Class C | $ 26.63 | $ 13.75 | $ 8.34 | $ 13.63 | |||
Class I | $ 26.59 | $ 15.04 | $ 8.39 | $ 13.82 | |||
Class R6 | $ 26.72 | $ 15.17 | $ 8.40 | $ 13.80 | |||
Maximum Offering Price Per Share (NAV/(1-Maximum Sales Charge)): | |||||||
Class A | $ 28.24 | $ 15.60 | $ 8.87 | $ 14.56 | |||
Maximum Sales Charge - Class A | 5.50% | 5.50% | 5.50% | 5.50% | |||
(1) Investment in securities at cost | $ 295,080 | $ 136,698 | $ 3,232 | $ 255,382 | |||
(2) Investment in affiliates at cost | $ — | $ — | $ — | $ 55,829 | |||
(3) Foreign currency at cost | $ — | $ — | $ — | $ 52 |
‡ | Consolidated Statement of Assets and Liabilities |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
(a) | Amount is less than $500. |
KAR International Small-Mid Cap Fund | Vontobel Emerging Markets Opportunities Fund | Vontobel Foreign Opportunities Fund | |||
Assets | |||||
Investment in securities at value(1) | $ 1,849,586 | $ 3,055,979 | $ 900,703 | ||
Investment in affiliates at value(2) | 383,635 | — | — | ||
Foreign currency at value(3) | 1,095 | 2,211 | 6,879 | ||
Cash | 1,000 | 2,000 | 1,000 | ||
Receivables | |||||
Investment securities sold | 324 | 158 | — | ||
Fund shares sold | 4,563 | 3,252 | 545 | ||
Dividends | 6,090 | 8,607 | 1,252 | ||
Tax reclaims | 1,036 | 1,718 | 1,946 | ||
Prepaid Trustees’ retainer | 31 | 30 | 11 | ||
Prepaid expenses | 84 | 19 | 42 | ||
Other assets | 228 | 314 | 90 | ||
Total assets | 2,247,672 | 3,074,288 | 912,468 | ||
Liabilities | |||||
Payables | |||||
Fund shares repurchased | 20,662 | 8,608 | 1,891 | ||
Investment securities purchased | — | 10,933 | 6,726 | ||
Foreign capital gains tax | — | 1,393 | 1,079 | ||
Investment advisory fees | 1,735 | 2,543 | 614 | ||
Distribution and service fees | 42 | 103 | 48 | ||
Administration and accounting fees | 187 | 250 | 74 | ||
Transfer agent and sub-transfer agent fees and expenses | 270 | 1,013 | 161 | ||
Professional fees | 86 | 79 | 24 | ||
Trustee deferred compensation plan | 228 | 314 | 90 | ||
Interest expense and/or commitment fees | — (a) | 8 | 1 | ||
Other accrued expenses | 82 | 366 | 82 | ||
Total liabilities | 23,292 | 25,610 | 10,790 | ||
Net Assets | $ 2,224,380 | $ 3,048,678 | $ 901,678 | ||
Net Assets Consist of: | |||||
Common stock $0.001 par value | $ — | $ 337 | $ 35 | ||
Capital paid in on shares of beneficial interest | 2,330,551 | 3,036,575 | 698,486 | ||
Accumulated earnings (loss) | (106,171) | 11,766 | 203,157 | ||
Net Assets | $ 2,224,380 | $ 3,048,678 | $ 901,678 | ||
Net Assets: | |||||
Class A | $ 71,904 | $ 269,689 | $ 182,840 | ||
Class C | $ 31,641 | $ 51,537 | $ 11,858 | ||
Class I | $ 1,912,609 | $ 2,596,378 | $ 644,437 | ||
Class R6 | $ 208,226 | $ 131,074 | $ 62,543 | ||
Shares Outstanding (unlimited number of shares authorized, no par value): | |||||
Class A | 3,985,411 | 31,060,216 | 7,054,794 | ||
Class C | 1,785,434 | 6,238,574 | 486,090 | ||
Class I | 105,653,032 | 285,437,573 | 24,790,452 | ||
Class R6 | 11,494,380 | 14,329,030 | 2,401,616 | ||
Net Asset Value and Redemption Price Per Share:* | |||||
Class A | $ 18.04 | $ 8.68 | $ 25.92 | ||
Class C | $ 17.72 | $ 8.26 | $ 24.39 | ||
Class I | $ 18.10 | $ 9.10 | $ 26.00 | ||
Class R6 | $ 18.12 | $ 9.15 | $ 26.04 |
KAR International Small-Mid Cap Fund | Vontobel Emerging Markets Opportunities Fund | Vontobel Foreign Opportunities Fund | |||
Maximum Offering Price Per Share (NAV/(1-Maximum Sales Charge)): | |||||
Class A | $ 19.09 | $ 9.19 | $ 27.43 | ||
Maximum Sales Charge - Class A | 5.50% | 5.50% | 5.50% | ||
(1) Investment in securities at cost | $ 1,928,274 | $ 2,872,001 | $ 695,375 | ||
(2) Investment in affiliates at cost | $ 328,203 | $ — | $ — | ||
(3) Foreign currency at cost | $ 1,093 | $ 2,209 | $ 6,832 |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
(a) | Amount is less than $500. |
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||
Assets | |||
Investment in securities at value(1) | $ 336,237 | $ 8,392 | |
Cash | 1,000 | 50 | |
Receivables | |||
Investment securities sold | 265 | — | |
Fund shares sold | 148 | — (a) | |
Dividends | 187 | 3 | |
Tax reclaims | 233 | 22 | |
Prepaid Trustees’ retainer | 4 | — (a) | |
Prepaid expenses | 31 | 15 | |
Other assets | 34 | 1 | |
Total assets | 338,139 | 8,483 | |
Liabilities | |||
Due to custodian | — (a) | — (a) | |
Payables | |||
Fund shares repurchased | 145 | 10 | |
Foreign capital gains tax | 41 | — | |
Investment advisory fees | 223 | 1 | |
Distribution and service fees | 37 | 1 | |
Administration and accounting fees | 28 | 1 | |
Transfer agent and sub-transfer agent fees and expenses | 58 | 1 | |
Professional fees | 19 | 18 | |
Trustee deferred compensation plan | 34 | 1 | |
Interest expense and/or commitment fees | — (a) | — | |
Other accrued expenses | 61 | 8 | |
Total liabilities | 646 | 41 | |
Net Assets | $ 337,493 | $ 8,442 | |
Net Assets Consist of: | |||
Capital paid in on shares of beneficial interest | $ 213,527 | $ 6,697 | |
Accumulated earnings (loss) | 123,966 | 1,745 | |
Net Assets | $ 337,493 | $ 8,442 | |
Net Assets: | |||
Class A | $ 116,912 | $ 2,471 | |
Class C | $ 14,432 | $ 303 | |
Class I | $ 133,838 | $ 5,668 | |
Class R6 | $ 72,311 | $ — | |
Shares Outstanding (unlimited number of shares authorized, no par value): | |||
Class A | 6,763,908 | 215,557 | |
Class C | 1,083,976 | 27,739 | |
Class I | 7,694,326 | 493,488 | |
Class R6 | 4,133,190 | — | |
Net Asset Value and Redemption Price Per Share:* | |||
Class A | $ 17.28 | $ 11.46 | |
Class C | $ 13.31 | $ 10.92 | |
Class I | $ 17.39 | $ 11.49 | |
Class R6 | $ 17.50 | $ — |
Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||
Maximum Offering Price Per Share (NAV/(1-Maximum Sales Charge)): | |||
Class A | $ 18.29 | $ 12.13 | |
Maximum Sales Charge - Class A | 5.50% | 5.50% | |
(1) Investment in securities at cost | $ 226,677 | $ 6,531 |
* | Net Asset Value and Redemption Price Per Share are calculated using unrounded net assets. |
(a) | Amount is less than $500. |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | Duff & Phelps International Real Estate Securities Fund | Duff & Phelps Real Asset Fund | Duff & Phelps Real Estate Securities Fund | |||||
Investment Income | |||||||||
Dividends | $ 953 | $ 5,726 | $ 415 | $ 100 | $ 6,124 | ||||
Dividends from affiliates | — | — | — | 157 | — | ||||
Foreign taxes withheld | (52) | (199) | (35) | — | — | ||||
Total investment income | 901 | 5,527 | 380 | 257 | 6,124 | ||||
Expenses | |||||||||
Investment advisory fees | 292 | 2,172 | 172 | — (1) | 2,144 | ||||
Distribution and service fees, Class A | 41 | 36 | 4 | 16 | 186 | ||||
Distribution and service fees, Class C | 27 | 30 | 1 | 3 | 33 | ||||
Administration and accounting fees | 48 | 254 | 21 | 15 | 283 | ||||
Transfer agent fees and expenses | 19 | 105 | 7 | 5 | 119 | ||||
Sub-transfer agent fees and expenses, Class A | 15 | 167 | 1 | 7 | 105 | ||||
Sub-transfer agent fees and expenses, Class C | 3 | 3 | — (2) | — (2) | 4 | ||||
Sub-transfer agent fees and expenses, Class I | 17 | 164 | 14 | 5 | 160 | ||||
Custodian fees | 1 | 2 | 1 | — (2) | — (2) | ||||
Printing fees and expenses | 4 | 13 | 2 | 2 | 19 | ||||
Professional fees | 14 | 15 | 14 | 8 | 16 | ||||
Interest expense and/or commitment fees | — (2) | 1 | — (2) | — (2) | 2 | ||||
Registration fees | 23 | 28 | 15 | 16 | 35 | ||||
Trustees’ fees and expenses | 2 | 11 | 1 | 1 | 13 | ||||
Miscellaneous expenses | 6 | 12 | 3 | 3 | 24 | ||||
Total expenses | 512 | 3,013 | 256 | 81 | 3,143 | ||||
Less net expenses reimbursed and/or waived by investment adviser(3) | (3) | (137) | (36) | — (2) | (115) | ||||
Net expenses | 509 | 2,876 | 220 | 81 | 3,028 | ||||
Net investment income (loss) | 392 | 2,651 | 160 | 176 | 3,096 | ||||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||||
Net realized gain (loss) from: | |||||||||
Investments | 4,497 | 6,867 | 864 | 392 | 21,673 | ||||
Investment in affiliates | — | — | — | 71 | — | ||||
Foreign currency transactions | (8) | (27) | (6) | — | — | ||||
Capital gain received from investments in underlying funds | — | — | — | 44 | — | ||||
Net change in unrealized appreciation (depreciation) on: | |||||||||
Investments | 5,796 | 21,734 | (1,522) | 1,400 | 33,915 | ||||
Investment in affiliates | — | — | — | 1,183 | — | ||||
Foreign currency transactions | (1) | (18) | (2) | — | — | ||||
Net realized and unrealized gain (loss) on investments | 10,284 | 28,556 | (666) | 3,090 | 55,588 | ||||
Net increase (decrease) in net assets resulting from operations | $10,676 | $31,207 | $ (506) | $3,266 | $58,684 |
(1) | The Adviser does not charge an advisory fee. |
(2) | Amount is less than $500. |
(3) | See Note 4D in Notes to Financial Statements. |
FORT Trend Fund(1) | KAR Developing Markets Fund | KAR Emerging Markets Small-Cap Fund | KAR International Small-Mid Cap Fund | ||||
Investment Income | |||||||
Dividends | $ —(2) | $ 22 | $ 2,215 | $ 16,106 | |||
Dividends from affiliates | — | — | 267 | 1,449 | |||
Interest | 84 | — | — | — | |||
Foreign taxes withheld | — | (3) | (318) | (2,153) | |||
Total investment income | 84 | 19 | 2,164 | 15,402 | |||
Expenses | |||||||
Investment advisory fees | 764 (3) | 14 | 2,305 | 13,025 | |||
Distribution and service fees, Class A | 137 | — (2) | 63 | 113 | |||
Distribution and service fees, Class C | 68 | — (2) | 12 | 195 | |||
Administration and accounting fees | 80 | 5 | 192 | 1,420 | |||
Transfer agent fees and expenses | 34 | 1 | 79 | 593 | |||
Sub-transfer agent fees and expenses, Class A | 51 | — (2) | �� | 35 | 53 | ||
Sub-transfer agent fees and expenses, Class C | 10 | — (2) | 1 | 17 | |||
Sub-transfer agent fees and expenses, Class I | 14 | — (2) | 152 | 993 | |||
Custodian fees | — (2) | — (2) | 9 | 27 | |||
Printing fees and expenses | 7 | 1 | 14 | 84 | |||
Professional fees | 17 | 12 | 22 | 159 | |||
Interest expense and/or commitment fees | — (2) | — (2) | 1 | 8 | |||
Registration fees | 22 | 27 | 50 | 74 | |||
Trustees’ fees and expenses | 4 | — (2) | 10 | 73 | |||
Miscellaneous expenses | 15 | 3 | 10 | 63 | |||
Total expenses | 1,223 | 63 | 2,955 | 16,897 | |||
Less net expenses reimbursed and/or waived by investment adviser(4) | — | (46) | — | — | |||
Plus net expenses recaptured(4) | 14 | — | — (2) | — (2) | |||
Net expenses | 1,237 | 17 | 2,955 | 16,897 | |||
Net investment income (loss) | (1,153) | 2 | (791) | (1,495) | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | 62 | (162) | (868) | 72,445 | |||
Investment in affiliates | — | — | — | (58,680) | |||
Foreign currency transactions | 101 | (1) | (75) | (534) | |||
Foreign capital gains tax | — | — | (51) | — | |||
Futures | (1,707) | — | — | — | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | (87) | (184) | (71,373) | (566,942) | |||
Investment in affiliates | — | — | 6,301 | (101,601) | |||
Foreign currency transactions | (1) | — (2) | 3 | (372) | |||
Foreign capital gains tax | — | — | 2,334 | — | |||
Futures | 5,660 | — | — | — | |||
Net realized and unrealized gain (loss) on investments | 4,028 | (347) | (63,729) | (655,684) | |||
Net increase (decrease) in net assets resulting from operations | $ 2,875 | $(345) | $(64,520) | $(657,179) |
(1) | Consolidated Statement of Operations |
(2) | Amount is less than $500. |
(3) | See Note 4A in Notes to Financial Statements. |
(4) | See Note 4D in Notes to Financial Statements. |
Vontobel Emerging Markets Opportunities Fund | Vontobel Foreign Opportunities Fund | Vontobel Global Opportunities Fund | Vontobel Greater European Opportunities Fund | ||||
Investment Income | |||||||
Dividends | $ 30,760 | $ 3,159 | $ 1,391 | $ 22 | |||
Securities lending, net of fees | 7 | 1 | 3 | — (1) | |||
Foreign taxes withheld | (4,660) | (352) | (58) | (2) | |||
Total investment income | 26,107 | 2,808 | 1,336 | 20 | |||
Expenses | |||||||
Investment advisory fees | 18,672 | 4,349 | 1,649 | 40 | |||
Distribution and service fees, Class A | 407 | 246 | 159 | 3 | |||
Distribution and service fees, Class C | 318 | 76 | 87 | 2 | |||
Administration and accounting fees | 1,895 | 504 | 193 | 8 | |||
Transfer agent fees and expenses | 804 | 218 | 85 | 2 | |||
Sub-transfer agent fees and expenses, Class A | 274 | 100 | 48 | 2 | |||
Sub-transfer agent fees and expenses, Class C | 35 | 8 | 7 | — (1) | |||
Sub-transfer agent fees and expenses, Class I | 1,562 | 310 | 67 | 3 | |||
Custodian fees | 124 | 11 | 3 | 2 | |||
Printing fees and expenses | 149 | 30 | 12 | 1 | |||
Professional fees | 59 | 24 | 17 | 13 | |||
Interest expense and/or commitment fees | 47 | 6 | 1 | — (1) | |||
Registration fees | 74 | 38 | 33 | 16 | |||
Trustees’ fees and expenses | 117 | 26 | 10 | — (1) | |||
Miscellaneous expenses | 198 | 59 | 30 | 2 | |||
Total expenses | 24,735 | 6,005 | 2,401 | 94 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | (128) | (173) | (110) | (35) | |||
Net expenses | 24,607 | 5,832 | 2,291 | 59 | |||
Net investment income (loss) | 1,500 | (3,024) | (955) | (39) | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | 75,891 | 34,442 | 28,536 | 61 | |||
Foreign currency transactions | (978) | (414) | (84) | — (1) | |||
Foreign capital gains tax | (24,616) | (566) | (247) | — | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | (417,150) | (112,808) | (38,014) | (830) | |||
Foreign currency transactions | 16 | 8 | — (1) | (1) | |||
Foreign capital gains tax | 41,838 | 1,755 | 658 | — | |||
Net realized and unrealized gain (loss) on investments | (324,999) | (77,583) | (9,151) | (770) | |||
Net increase (decrease) in net assets resulting from operations | $(323,499) | $ (80,607) | $(10,106) | $(809) |
(1) | Amount is less than $500. |
(2) | See Note 4D in Notes to Financial Statements. |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 392 | $ 849 | $ 2,651 | $ 4,658 | |||
Net realized gain (loss) | 4,489 | 4,483 | 6,840 | 12,877 | |||
Net change in unrealized appreciation (depreciation) | 5,795 | 5,783 | 21,716 | 66,949 | |||
Increase (decrease) in net assets resulting from operations | 10,676 | 11,115 | 31,207 | 84,484 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (1,785) | (717) | (814) | — | |||
Class C | (272) | (133) | (132) | — | |||
Class I | (2,272) | (908) | (12,094) | (974) | |||
Class R6 | (609) | (255) | (3,450) | (407) | |||
Total dividends and distributions to shareholders | (4,938) | (2,013) | (16,490) | (1,381) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | 1,316 | (1,915) | 1,895 | 2,118 | |||
Class C | (480) | (5,287) | 1,832 | (2,430) | |||
Class I | 238 | 3,057 | 40,340 | 117,646 | |||
Class R6 | 1,011 | 543 | 8,994 | 18,626 | |||
Increase (decrease) in net assets from capital transactions | 2,085 | (3,602) | 53,061 | 135,960 | |||
Net increase (decrease) in net assets | 7,823 | 5,500 | 67,778 | 219,063 | |||
Net Assets | |||||||
Beginning of period | 87,445 | 81,945 | 467,502 | 248,439 | |||
End of Period | $ 95,268 | $ 87,445 | $ 535,280 | $ 467,502 |
Duff & Phelps International Real Estate Securities Fund | Duff & Phelps Real Asset Fund | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 160 | $ 583 | $ 176 | $ 66 | |||
Net realized gain (loss) | 858 | 938 | 507 | 1,049 | |||
Net change in unrealized appreciation (depreciation) | (1,524) | 3,481 | 2,583 | 3,861 | |||
Increase (decrease) in net assets resulting from operations | (506) | 5,002 | 3,266 | 4,976 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (54) | — | (95) | (84) | |||
Class C | — | — | (3) | — | |||
Class I | (516) | — | (84) | (81) | |||
Total dividends and distributions to shareholders | (570) | — | (182) | (165) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (421) | 1,489 | (691) | (2,018) | |||
Class C | (36) | (341) | 452 | (286) | |||
Class I | 581 | 457 | 652 | (1,115) | |||
Class R6 | — | — | 100 | — | |||
Increase (decrease) in net assets from capital transactions | 124 | 1,605 | 513 | (3,419) | |||
Net increase (decrease) in net assets | (952) | 6,607 | 3,597 | 1,392 | |||
Net Assets | |||||||
Beginning of period | 34,506 | 27,899 | 22,719 | 21,327 | |||
End of Period | $ 33,554 | $ 34,506 | $ 26,316 | $ 22,719 |
Duff & Phelps Real Estate Securities Fund | FORT Trend Fund | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022(1) (Unaudited) | Year Ended September 30, 2021(1) | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 3,096 | $ 4,712 | $ (1,153) | $ (2,946) | |||
Net realized gain (loss) | 21,673 | 23,945 | (1,544) | 4,437 | |||
Net change in unrealized appreciation (depreciation) | 33,915 | 142,614 | 5,572 | (2,091) | |||
Increase (decrease) in net assets resulting from operations | 58,684 | 171,271 | 2,875 | (600) | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (5,495) | (7,694) | — | — | |||
Class C | (223) | (351) | — | — | |||
Class I | (9,647) | (12,799) | — | — | |||
Class R6 | (6,545) | (7,731) | — | — | |||
Total dividends and distributions to shareholders | (21,910) | (28,575) | — | — | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (6,938) | (108,143) | (3,745) | 5,088 | |||
Class C | (43) | (2,944) | (7,510) | (44,433) | |||
Class I | 7,016 | (99,443) | (3,256) | (10,302) | |||
Class R6 | 454 | 71,200 | 5 | (40) | |||
Increase (decrease) in net assets from capital transactions | 489 | (139,330) | (14,506) | (49,687) | |||
Net increase (decrease) in net assets | 37,263 | 3,366 | (11,631) | (50,287) | |||
Net Assets | |||||||
Beginning of period | 535,908 | 532,542 | 156,282 | 206,569 | |||
End of Period | $ 573,171 | $ 535,908 | $ 144,651 | $ 156,282 |
(1) | Consolidated Statement of Changes in Net Assets. |
KAR Developing Markets Fund | KAR Emerging Markets Small-Cap Fund | ||||||
Six Months Ended March 31, 2022 (Unaudited) | From Inception June 22, 2021 to September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ 2 | $ 3 | $ (791) | $ 697 | |||
Net realized gain (loss) | (163) | (2) | (994) | 25,184 | |||
Net change in unrealized appreciation (depreciation) | (184) | (109) | (62,735) | 20,777 | |||
Increase (decrease) in net assets resulting from operations | (345) | (108) | (64,520) | 46,658 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (1) | — | (4,301) | (503) | |||
Class C | (—) (1) | — | (175) | (10) | |||
Class I | (1) | — | (27,545) | (2,695) | |||
Class R6 | (14) | — | (99) | (2) | |||
Total dividends and distributions to shareholders | (16) | — | (32,120) | (3,210) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | 2 | 100 | (4,587) | 9,717 | |||
Class C | — | 100 | 191 | 1,089 | |||
Class I | 12 | 100 | (5,459) | 144,668 | |||
Class R6 | 433 | 2,700 | 385 | 1,057 | |||
Increase (decrease) in net assets from capital transactions | 447 | 3,000 | (9,470) | 156,531 | |||
Net increase (decrease) in net assets | 86 | 2,892 | (106,110) | 199,979 | |||
Net Assets | |||||||
Beginning of period | 2,892 | — | 421,940 | 221,961 | |||
End of Period | $ 2,978 | $ 2,892 | $ 315,830 | $ 421,940 |
(1) | Amount is less than $500. |
KAR International Small-Mid Cap Fund | Vontobel Emerging Markets Opportunities Fund | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ (1,495) | $ 12,876 | $ 1,500 | $ (3,341) | |||
Net realized gain (loss) | 13,231 | 154,363 | 50,297 | 941,257 | |||
Net increase from payment by affiliate | — | 81 | — | — | |||
Net change in unrealized appreciation (depreciation) | (668,915) | 453,864 | (375,296) | (347,650) | |||
Increase (decrease) in net assets resulting from operations | (657,179) | 621,184 | (323,499) | 590,266 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (7,342) | (842) | (66,729) | (1,489) | |||
Class C | (2,873) | (123) | (13,137) | — | |||
Class I | (211,939) | (24,779) | (656,363) | (35,907) | |||
Class R6 | (22,516) | (2,466) | (30,881) | (1,604) | |||
Total dividends and distributions to shareholders | (244,670) | (28,210) | (767,110) | (39,000) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (1,077) | (422) | 2,105 | (36,686) | |||
Class C | 967 | (805) | (2,429) | (37,190) | |||
Class I | 7,848 | 460,825 | (594,828) | (1,547,829) | |||
Class R6 | 12,475 | 161,171 | (29,521) | (12,971) | |||
Increase (decrease) in net assets from capital transactions | 20,213 | 620,769 | (624,673) | (1,634,676) | |||
Net increase (decrease) in net assets | (881,636) | 1,213,743 | (1,715,282) | (1,083,410) | |||
Net Assets | |||||||
Beginning of period | 3,106,016 | 1,892,273 | 4,763,960 | 5,847,370 | |||
End of Period | $ 2,224,380 | $ 3,106,016 | $ 3,048,678 | $ 4,763,960 |
Vontobel Foreign Opportunities Fund | Vontobel Global Opportunities Fund | ||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||
Increase (Decrease) in Net Assets Resulting from Operations | |||||||
Net investment income (loss) | $ (3,024) | $ (2,146) | $ (955) | $ (1,103) | |||
Net realized gain (loss) | 33,462 | 211,266 | 28,205 | 59,713 | |||
Net change in unrealized appreciation (depreciation) | (111,045) | (23,283) | (37,356) | 8,656 | |||
Increase (decrease) in net assets resulting from operations | (80,607) | 185,837 | (10,106) | 67,266 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (40,624) | (12,411) | (22,330) | (2,494) | |||
Class C | (3,280) | (2,092) | (3,698) | (678) | |||
Class I | (156,090) | (55,581) | (26,621) | (3,522) | |||
Class R6 | (12,796) | (5,866) | (15,811) | (1,766) | |||
Total dividends and distributions to shareholders | (212,790) | (75,950) | (68,460) | (8,460) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | 34,642 | 9,257 | 11,894 | 2,357 | |||
Class C | (1,677) | (14,341) | (1,186) | (9,061) | |||
Class I | 56,113 | (62,500) | (14,824) | (718) | |||
Class R6 | 13,409 | (25,630) | 2,304 | (14,285) | |||
Increase (decrease) in net assets from capital transactions | 102,487 | (93,214) | (1,812) | (21,707) | |||
Net increase (decrease) in net assets | (190,910) | 16,673 | (80,378) | 37,099 | |||
Net Assets | |||||||
Beginning of period | 1,092,588 | 1,075,915 | 417,871 | 380,772 | |||
End of Period | $ 901,678 | $ 1,092,588 | $ 337,493 | $ 417,871 |
Vontobel Greater European Opportunities Fund | |||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||
Increase (Decrease) in Net Assets Resulting from Operations | |||
Net investment income (loss) | $ (39) | $ — | |
Net realized gain (loss) | 61 | 323 | |
Net change in unrealized appreciation (depreciation) | (831) | 1,169 | |
Increase (decrease) in net assets resulting from operations | (809) | 1,492 | |
Dividends and Distributions to Shareholders | |||
Net Investment Income and Net Realized Gains: | |||
Class A | (114) | (67) | |
Class C | (15) | (25) | |
Class I | (283) | (229) | |
Total dividends and distributions to shareholders | (412) | (321) | |
Change in Net Assets from Capital Transactions (See Note 6): | |||
Class A | (31) | 1,060 | |
Class C | (35) | (109) | |
Class I | (71) | 3,200 | |
Increase (decrease) in net assets from capital transactions | (137) | 4,151 | |
Net increase (decrease) in net assets | (1,358) | 5,322 | |
Net Assets | |||
Beginning of period | 9,800 | 4,478 | |
End of Period | $ 8,442 | $ 9,800 |
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Duff & Phelps Global Infrastructure Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $16.17 | 0.06 | — | 1.89 | 1.95 | (0.07) | (0.84) | (0.91) | — | 1.04 | $17.21 | 12.35 % | $ 35,296 | 1.25 % | 1.25 % | 0.75 % | 16 % | |
10/1/20 to 9/30/21 | 14.54 | 0.14 | — | 1.84 | 1.98 | (0.17) | (0.18) | (0.35) | — | 1.63 | 16.17 | 13.75 | 31,857 | 1.28 | 1.28 | 0.86 | 28 | |
10/1/19 to 9/30/20 | 16.26 | 0.20 | — | (1.17) | (0.97) | (0.23) | (0.52) | (0.75) | — | (1.72) | 14.54 | (6.11) | 30,172 | 1.27 | 1.27 | 1.35 | 31 | |
10/1/18 to 9/30/19 | 14.45 | 0.25 | — | 2.38 | 2.63 | (0.27) | (0.55) | (0.82) | — | 1.81 | 16.26 | 19.13 | 37,533 | 1.26 | 1.26 | 1.69 | 30 | |
10/1/17 to 9/30/18 | 15.00 | 0.28 | — | (0.39) | (0.11) | (0.29) | (0.15) | (0.44) | — | (0.55) | 14.45 | (0.75) | 32,466 | 1.25 | 1.25 | 1.91 | 36 | |
10/1/16 to 9/30/17 | 14.22 | 0.29 | — | 1.15 | 1.44 | (0.28) | (0.38) | (0.66) | — | 0.78 | 15.00 | 10.70 (7) | 37,401 | 1.29 (7) | 1.30 | 2.04 (7) | 56 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $16.14 | — (8) | — | 1.88 | 1.88 | (0.01) | (0.84) | (0.85) | — | 1.03 | $17.17 | 11.94 % | $ 5,382 | 2.01 % | 2.01 % | (0.01) % | 16 % | |
10/1/20 to 9/30/21 | 14.50 | 0.02 | — | 1.84 | 1.86 | (0.04) | (0.18) | (0.22) | — | 1.64 | 16.14 | 12.92 | 5,525 | 2.02 | 2.02 | 0.11 | 28 | |
10/1/19 to 9/30/20 | 16.20 | 0.09 | — | (1.16) | (1.07) | (0.11) | (0.52) | (0.63) | — | (1.70) | 14.50 | (6.83) | 9,833 | 2.03 | 2.03 | 0.59 | 31 | |
10/1/18 to 9/30/19 | 14.39 | 0.14 | — | 2.37 | 2.51 | (0.15) | (0.55) | (0.70) | — | 1.81 | 16.20 | 18.32 | 15,046 | 2.01 | 2.01 | 0.97 | 30 | |
10/1/17 to 9/30/18 | 14.94 | 0.17 | — | (0.39) | (0.22) | (0.18) | (0.15) | (0.33) | — | (0.55) | 14.39 | (1.54) | 17,972 | 2.00 | 2.00 | 1.16 | 36 | |
10/1/16 to 9/30/17 | 14.17 | 0.18 | — | 1.14 | 1.32 | (0.17) | (0.38) | (0.55) | — | 0.77 | 14.94 | 9.84 (7) | 25,144 | 2.04 (7) | 2.05 | 1.30 (7) | 56 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $16.17 | 0.08 | — | 1.89 | 1.97 | (0.09) | (0.84) | (0.93) | — | 1.04 | $17.21 | 12.48 % | $ 42,778 | 0.99 % | 0.99 % | 1.01 % | 16 % | |
10/1/20 to 9/30/21 | 14.54 | 0.18 | — | 1.85 | 2.03 | (0.22) | (0.18) | (0.40) | — | 1.63 | 16.17 | 14.07 | 39,955 | 1.01 | 1.01 | 1.15 | 28 | |
10/1/19 to 9/30/20 | 16.27 | 0.24 | — | (1.19) | (0.95) | (0.26) | (0.52) | (0.78) | — | (1.73) | 14.54 | (5.94) | 33,326 | 1.04 | 1.04 | 1.61 | 31 | |
10/1/18 to 9/30/19 | 14.45 | 0.29 | — | 2.39 | 2.68 | (0.31) | (0.55) | (0.86) | — | 1.82 | 16.27 | 19.50 | 50,089 | 1.02 | 1.02 | 1.94 | 30 | |
10/1/17 to 9/30/18 | 15.00 | 0.31 | — | (0.38) | (0.07) | (0.33) | (0.15) | (0.48) | — | (0.55) | 14.45 | (0.52) | 30,488 | 1.01 | 1.01 | 2.12 | 36 | |
10/1/16 to 9/30/17 | 14.23 | 0.33 | — | 1.14 | 1.47 | (0.32) | (0.38) | (0.70) | — | 0.77 | 15.00 | 10.92 (7) | 56,361 | 1.04 (7) | 1.04 | 2.29 (7) | 56 | |
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $16.20 | 0.10 | — | 1.89 | 1.99 | (0.11) | (0.84) | (0.95) | — | 1.04 | $17.24 | 12.61 % | $ 11,812 | 0.85 % | 0.91 % | 1.15 % | 16 % | |
10/1/20 to 9/30/21 | 14.55 | 0.21 | — | 1.85 | 2.06 | (0.23) | (0.18) | (0.41) | — | 1.65 | 16.20 | 14.30 | 10,108 | 0.85 | 0.92 | 1.31 | 28 | |
10/1/19 to 9/30/20 | 16.27 | 0.26 | — | (1.18) | (0.92) | (0.28) | (0.52) | (0.80) | — | (1.72) | 14.55 | (5.75) | 8,614 | 0.85 | 0.94 | 1.74 | 31 | |
10/1/18 to 9/30/19 | 14.45 | 0.30 | — | 2.39 | 2.69 | (0.32) | (0.55) | (0.87) | — | 1.82 | 16.27 | 19.60 | 9,436 | 0.91 (9) | 0.93 | 2.02 | 30 | |
1/30/18 (10) to 9/30/18 | 15.06 | 0.23 | — | (0.60) | (0.37) | (0.24) | — | (0.24) | — | (0.61) | 14.45 | (2.44) | 11,561 | 0.93 | 0.93 | 2.41 | 36 (11) | |
Duff & Phelps Global Real Estate Securities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $39.17 | 0.15 | — | 2.43 | 2.58 | (0.46) | (0.70) | (1.16) | — | 1.42 | $40.59 | 6.53 % | $ 29,968 | 1.40 % | 2.42 % | 0.76 % | 6 % | |
10/1/20 to 9/30/21 | 29.50 | 0.41 | — | 9.26 | 9.67 | — | — | — | — | 9.67 | 39.17 | 32.78 | 27,127 | 1.40 | 2.65 | 1.14 | 17 | |
10/1/19 to 9/30/20 | 34.82 | 0.41 | — | (3.66) | (3.25) | (1.29) | (0.78) | (2.07) | — | (5.32) | 29.50 | (10.01) | 18,740 | 1.40 | 2.59 | 1.34 | 32 | |
10/1/18 to 9/30/19 | 30.30 | 0.51 | — | 4.46 | 4.97 | (0.44) | (0.01) | (0.45) | — | 4.52 | 34.82 | 16.72 | 21,612 | 1.40 | 2.61 | 1.63 | 31 | |
10/1/17 to 9/30/18 | 28.64 | 0.74 | — | 1.38 | 2.12 | (0.40) | (0.06) | (0.46) | — | 1.66 | 30.30 | 7.48 | 19,470 | 1.40 | 2.51 | 2.53 | 41 | |
10/1/16 to 9/30/17 | 28.97 | 0.39 | — | 0.07 | 0.46 | (0.72) | (0.07) | (0.79) | — | (0.33) | 28.64 | 1.82 | 23,626 | 1.40 | 1.68 | 1.41 | 36 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Duff & Phelps Global Real Estate Securities Fund (Continued) | ||||||||||||||||||
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $36.81 | 0.02 | — | 2.25 | 2.27 | (0.17) | (0.70) | (0.87) | — | 1.40 | $38.21 | 6.09 % | $ 7,591 | 2.15 % (12)(13) | 2.12 % | 0.09 % | 6 % | |
10/1/20 to 9/30/21 | 27.93 | 0.23 | — | 8.65 | 8.88 | — | — | — | — | 8.88 | 36.81 | 31.79 | 5,531 | 2.15 | 2.16 | 0.70 | 17 | |
10/1/19 to 9/30/20 | 33.42 | 0.16 | — | (3.47) | (3.31) | (1.40) | (0.78) | (2.18) | — | (5.49) | 27.93 | (10.67) | 6,297 | 2.15 | 2.19 | 0.53 | 32 | |
10/1/18 to 9/30/19 | 29.50 | 0.25 | — | 4.29 | 4.54 | (0.61) | (0.01) | (0.62) | — | 3.92 | 33.42 | 15.84 | 9,399 | 2.15 | 2.20 | 0.84 | 31 | |
10/1/17 to 9/30/18 | 28.12 | 0.50 | — | 1.36 | 1.86 | (0.42) | (0.06) | (0.48) | — | 1.38 | 29.50 | 6.68 | 9,580 | 2.15 | 2.21 | 1.73 | 41 | |
10/1/16 to 9/30/17 | 28.41 | 0.23 | — | 0.02 | 0.25 | (0.47) | (0.07) | (0.54) | — | (0.29) | 28.12 | 1.06 | 10,771 | 2.15 | 2.31 | 0.86 | 36 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $38.04 | 0.20 | — | 2.36 | 2.56 | (0.61) | (0.70) | (1.31) | — | 1.25 | $39.29 | 6.66 % | $ 394,970 | 1.15 % (12)(13) | 1.11 % | 1.01 % | 6 % | |
10/1/20 to 9/30/21 | 28.73 | 0.46 | — | 9.02 | 9.48 | (0.17) | — | (0.17) | — | 9.31 | 38.04 | 33.13 | 344,063 | 1.15 (12)(13) | 1.14 | 1.29 | 17 | |
10/1/19 to 9/30/20 | 34.33 | 0.47 | — | (3.54) | (3.07) | (1.75) | (0.78) | (2.53) | — | (5.60) | 28.73 | (9.79) | 168,410 | 1.15 | 1.20 | 1.55 | 32 | |
10/1/18 to 9/30/19 | 30.33 | 0.59 | — | 4.35 | 4.94 | (0.93) | (0.01) | (0.94) | — | 4.00 | 34.33 | 17.01 | 206,723 | 1.15 | 1.19 | 1.90 | 31 | |
10/1/17 to 9/30/18 | 28.77 | 0.80 | — | 1.39 | 2.19 | (0.57) | (0.06) | (0.63) | — | 1.56 | 30.33 | 7.70 | 145,648 | 1.15 | 1.19 | 2.72 | 41 | |
10/1/16 to 9/30/17 | 29.19 | 0.54 | — | (0.02) | 0.52 | (0.87) | (0.07) | (0.94) | — | (0.42) | 28.77 | 2.02 | 154,704 | 1.15 | 1.31 | 1.93 | 36 | |
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $38.26 | 0.25 | — | 2.37 | 2.62 | (0.70) | (0.70) | (1.40) | — | 1.22 | $39.48 | 6.77 % | $ 102,751 | 0.89 % | 1.02 % | 1.26 % | 6 % | |
10/1/20 to 9/30/21 | 28.86 | 0.61 | — | 9.00 | 9.61 | (0.21) | — | (0.21) | — | 9.40 | 38.26 | 33.46 | 90,781 | 0.89 | 1.04 | 1.73 | 17 | |
10/1/19 to 9/30/20 | 34.41 | 0.65 | — | (3.64) | (2.99) | (1.78) | (0.78) | (2.56) | — | (5.55) | 28.86 | (9.52) | 54,992 | 0.89 | 1.09 | 2.29 | 32 | |
10/1/18 to 9/30/19 | 30.37 | 0.54 | — | 4.47 | 5.01 | (0.96) | (0.01) | (0.97) | — | 4.04 | 34.41 | 17.23 | 2,893 | 0.94 (9) | 1.08 | 1.75 | 31 | |
10/1/17 to 9/30/18 | 28.79 | 0.86 | — | 1.38 | 2.24 | (0.60) | (0.06) | (0.66) | — | 1.58 | 30.37 | 7.90 | 6,611 | 1.00 (9) | 1.09 | 2.92 | 41 | |
11/3/16 (10) to 9/30/17 | 26.78 | 0.50 | — | 2.47 | 2.97 | (0.89) | (0.07) | (0.96) | — | 2.01 | 28.79 | 11.39 | 7,791 | 1.04 | 1.12 | 1.92 | 36 (11) | |
Duff & Phelps International Real Estate Securities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 8.11 | 0.03 | — | (0.16) | (0.13) | (0.12) | — | (0.12) | — | (0.25) | $ 7.86 | (1.59) % | $ 3,078 | 1.50 % | 1.70 % | 0.67 % | 16 % | |
10/1/20 to 9/30/21 | 6.79 | 0.14 | — | 1.18 | 1.32 | — | — | — | — | 1.32 | 8.11 | 19.44 | 3,612 | 1.50 | 1.75 | 1.69 | 71 | |
10/1/19 to 9/30/20 | 7.96 | 0.09 | — | (0.63) | (0.54) | (0.63) | — | (0.63) | — | (1.17) | 6.79 | (7.72) | 1,843 | 1.50 | 1.75 | 1.32 | 34 | |
10/1/18 to 9/30/19 | 7.41 | 0.14 | — | 0.68 | 0.82 | (0.27) | — | (0.27) | — | 0.55 | 7.96 | 11.65 | 2,318 | 1.50 | 1.71 | 1.87 | 34 | |
10/1/17 to 9/30/18 | 6.93 | 0.30 | — | 0.30 | 0.60 | (0.12) | — | (0.12) | — | 0.48 | 7.41 | 8.72 | 2,145 | 1.50 | 1.85 | 4.07 | 38 | |
10/1/16 to 9/30/17 | 7.25 | 0.13 | — | (0.01) | 0.12 | (0.44) | — | (0.44) | — | (0.32) | 6.93 | 2.53 | 2,506 | 1.50 | 1.99 | 1.94 | 24 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 7.98 | — (8) | — | (0.16) | (0.16) | — | — | — | — | (0.16) | $ 7.82 | (2.01) % | $ 233 | 2.25 % | 2.54 % | (0.07) % | 16 % | |
10/1/20 to 9/30/21 | 6.73 | 0.06 | — | 1.19 | 1.25 | — | — | — | — | 1.25 | 7.98 | 18.57 | 273 | 2.25 | 2.57 | 0.74 | 71 | |
10/1/19 to 9/30/20 | 7.92 | 0.04 | — | (0.63) | (0.59) | (0.60) | — | (0.60) | — | (1.19) | 6.73 | (8.37) | 526 | 2.25 | 2.50 | 0.61 | 34 | |
10/1/18 to 9/30/19 | 7.38 | 0.08 | — | 0.68 | 0.76 | (0.22) | — | (0.22) | — | 0.54 | 7.92 | 10.84 | 736 | 2.25 | 2.44 | 1.06 | 34 | |
10/1/17 to 9/30/18 | 6.89 | 0.25 | — | 0.30 | 0.55 | (0.06) | — | (0.06) | — | 0.49 | 7.38 | 7.97 | 945 | 2.25 | 2.59 | 3.35 | 38 | |
10/1/16 to 9/30/17 | 7.21 | 0.09 | — | (0.02) | 0.07 | (0.39) | — | (0.39) | — | (0.32) | 6.89 | 1.72 | 957 | 2.25 | 2.73 | 1.32 | 24 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Duff & Phelps International Real Estate Securities Fund (Continued) | ||||||||||||||||||
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 8.11 | 0.04 | — | (0.16) | (0.12) | (0.13) | — | (0.13) | — | (0.25) | $ 7.86 | (1.47) % | $ 30,243 | 1.25 % | 1.46 % | 0.97 % | 16 % | |
10/1/20 to 9/30/21 | 6.78 | 0.15 | — | 1.18 | 1.33 | — | — | — | — | 1.33 | 8.11 | 19.62 | 30,621 | 1.25 | 1.51 | 1.89 | 71 | |
10/1/19 to 9/30/20 | 7.93 | 0.11 | — | (0.62) | (0.51) | (0.64) | — | (0.64) | — | (1.15) | 6.78 | (7.37) | 25,530 | 1.25 | 1.49 | 1.50 | 34 | |
10/1/18 to 9/30/19 | 7.40 | 0.16 | — | 0.67 | 0.83 | (0.30) | — | (0.30) | — | 0.53 | 7.93 | 11.84 | 51,060 | 1.25 | 1.44 | 2.10 | 34 | |
10/1/17 to 9/30/18 | 6.94 | 0.28 | — | 0.34 | 0.62 | (0.16) | — | (0.16) | — | 0.46 | 7.40 | 9.03 | 39,992 | 1.25 | 1.53 | 3.74 | 38 | |
10/1/16 to 9/30/17 | 7.26 | 0.16 | — | (0.03) | 0.13 | (0.45) | — | (0.45) | — | (0.32) | 6.94 | 2.79 | 21,573 | 1.25 | 1.72 | 2.45 | 24 | |
Duff & Phelps Real Asset Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $12.55 | 0.10 | — | 1.72 | 1.82 | (0.10) | — | (0.10) | — | 1.72 | $14.27 | 14.59 % | $ 13,626 | 0.79 % | 0.79 % | 1.54 % | 7 % | |
10/1/20 to 9/30/21 | 10.10 | 0.02 | 0.03 | 2.47 | 2.52 | (0.07) | — | (0.07) | — | 2.45 | 12.55 | 25.10 | 12,674 | 0.85 (14) | 0.85 | 0.19 | 14 | |
10/1/19 to 9/30/20 | 11.38 | 0.27 | 0.26 | (1.46) | (0.93) | (0.35) | — | (0.35) | — | (1.28) | 10.10 | (8.50) | 11,964 | 1.05 (14) | 1.05 | 2.57 | 75 | |
10/1/18 to 9/30/19 | 11.63 | 0.14 | 0.16 | (0.31) | (0.01) | (0.24) | — | (0.24) | — | (0.25) | 11.38 | 0.18 | 15,897 | 0.76 | 0.76 | 1.25 | 13 | |
10/1/17 to 9/30/18 | 11.05 | 0.12 | 0.13 | 0.44 | 0.69 | (0.11) | — | (0.11) | — | 0.58 | 11.63 | 6.25 | 10,348 | 0.71 | 0.71 | 1.06 | 17 | |
10/1/16 to 9/30/17 | 10.89 | 0.18 | 0.22 | (0.04) | 0.36 | (0.20) | — | (0.20) | — | 0.16 | 11.05 | 3.34 | 11,118 | 0.74 | 0.74 | 1.65 | 4 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $12.64 | (0.11) | — | 1.89 | 1.78 | (0.07) | — | (0.07) | — | 1.71 | $14.35 | 14.18 % | $ 970 | 1.59 % | 1.59 % | (1.67) % | 7 % | |
10/1/20 to 9/30/21 | 10.19 | (0.04) | 0.03 | 2.46 | 2.45 | — | — | — | — | 2.45 | 12.64 | 24.04 | 435 | 1.68 (14) | 1.68 | (0.33) | 14 | |
10/1/19 to 9/30/20 | 11.32 | 0.31 | 0.26 | (1.60) | (1.03) | (0.10) | — | (0.10) | — | (1.13) | 10.19 | (9.17) | 604 | 1.74 (14) | 1.74 | 2.85 | 75 | |
10/1/18 to 9/30/19 | 11.50 | 0.27 | 0.16 | (0.52) | (0.09) | (0.09) | — | (0.09) | — | (0.18) | 11.32 | (0.65) | 2,126 | 1.50 | 1.50 | 2.44 | 13 | |
10/1/17 to 9/30/18 | 10.97 | 0.04 | 0.14 | 0.41 | 0.59 | (0.06) | — | (0.06) | — | 0.53 | 11.50 | 5.40 | 9,948 | 1.46 | 1.46 | 0.39 | 17 | |
10/1/16 to 9/30/17 | 10.73 | 0.09 | 0.19 | — | 0.28 | (0.04) | — | (0.04) | — | 0.24 | 10.97 | 2.65 | 13,354 | 1.50 | 1.50 | 0.80 | 4 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $12.52 | 0.11 | — | 1.72 | 1.83 | (0.11) | — | (0.11) | — | 1.72 | $14.24 | 14.69 % | $ 11,612 | 0.53 % | 0.53 % | 1.62 % | 7 % | |
10/1/20 to 9/30/21 | 10.07 | 0.05 | 0.03 | 2.47 | 2.55 | (0.10) | — | (0.10) | — | 2.45 | 12.52 | 25.47 | 9,610 | 0.60 (14) | 0.60 | 0.46 | 14 | |
10/1/19 to 9/30/20 | 11.35 | 0.48 | 0.26 | (1.64) | (0.90) | (0.38) | — | (0.38) | — | (1.28) | 10.07 | (8.32) | 8,759 | 0.72 (14) | 0.72 | 4.52 | 75 | |
10/1/18 to 9/30/19 | 11.62 | 0.25 | 0.16 | (0.39) | 0.02 | (0.29) | — | (0.29) | — | (0.27) | 11.35 | 0.44 | 21,018 | 0.51 | 0.51 | 2.26 | 13 | |
10/1/17 to 9/30/18 | 11.03 | 0.16 | 0.13 | 0.42 | 0.71 | (0.12) | — | (0.12) | — | 0.59 | 11.62 | 6.49 | 20,225 | 0.45 | 0.45 | 1.43 | 17 | |
10/1/16 to 9/30/17 | 10.89 | 0.19 | 0.16 | 0.04 | 0.39 | (0.25) | — | (0.25) | — | 0.14 | 11.03 | 3.69 | 19,910 | 0.49 | 0.49 | 1.73 | 4 | |
Class R6 | ||||||||||||||||||
1/31/22 (10) to 3/31/22(6) | $13.22 | (0.21) | — | 1.24 | 1.03 | — | — | — | — | 1.03 | $14.25 | 7.79 % | $ 108 | 0.20 % | 0.41 % | (9.64) % | 7 % (11) |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Duff & Phelps Real Estate Securities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $24.94 | 0.11 | — | 2.64 | 2.75 | (0.11) | (0.89) | (1.00) | — | 1.75 | $26.69 | 10.95 % | $ 146,644 | 1.32 % | 1.32 % | 0.83 % | 5 % | |
10/1/20 to 9/30/21 | 18.82 | 0.22 | — | 7.10 | 7.32 | (0.46) | (0.74) | (1.20) | — | 6.12 | 24.94 | 40.33 | 143,841 | 1.36 | 1.36 | 0.98 | 14 | |
10/1/19 to 9/30/20 | 26.33 | 0.26 | — | (3.23) | (2.97) | (0.33) | (4.21) | (4.54) | — | (7.51) | 18.82 | (12.99) | 209,309 | 1.35 | 1.35 | 1.25 | 40 | |
10/1/18 to 9/30/19 | 26.76 | 0.37 | — | 3.34 | 3.71 | (0.42) | (3.72) | (4.14) | — | (0.43) | 26.33 | 17.33 | 175,112 | 1.38 | 1.38 | 1.50 | 30 | |
10/1/17 to 9/30/18 | 30.43 | 0.31 | — | 0.75 | 1.06 | (0.30) | (4.43) | (4.73) | — | (3.67) | 26.76 | 4.03 | 216,062 | 1.38 | 1.38 | 1.16 | 12 | |
10/1/16 to 9/30/17 | 36.87 | 0.38 | — | (0.48) | (0.10) | (0.40) | (5.94) | (6.34) | — | (6.44) | 30.43 | 0.63 (7) | 331,957 | 1.39 (7) | 1.39 | 1.21 (7) | 20 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $24.90 | 0.01 | — | 2.64 | 2.65 | (0.03) | (0.89) | (0.92) | — | 1.73 | $26.63 | 10.53 % | $ 6,621 | 2.05 % | 2.05 % | 0.10 % | 5 % | |
10/1/20 to 9/30/21 | 18.79 | 0.10 | — | 7.04 | 7.14 | (0.29) | (0.74) | (1.03) | — | 6.11 | 24.90 | 39.32 | 6,244 | 2.08 | 2.08 | 0.43 | 14 | |
10/1/19 to 9/30/20 | 26.26 | 0.08 | — | (3.18) | (3.10) | (0.16) | (4.21) | (4.37) | — | (7.47) | 18.79 | (13.65) | 7,280 | 2.11 | 2.11 | 0.38 | 40 | |
10/1/18 to 9/30/19 | 26.69 | 0.19 | — | 3.32 | 3.51 | (0.22) | (3.72) | (3.94) | — | (0.43) | 26.26 | 16.49 | 12,325 | 2.09 | 2.09 | 0.78 | 30 | |
10/1/17 to 9/30/18 | 30.35 | 0.12 | — | 0.76 | 0.88 | (0.11) | (4.43) | (4.54) | — | (3.66) | 26.69 | 3.28 | 26,643 | 2.07 | 2.07 | 0.45 | 12 | |
10/1/16 to 9/30/17 | 36.77 | 0.15 | — | (0.47) | (0.32) | (0.16) | (5.94) | (6.10) | — | (6.42) | 30.35 | (0.09) (7) | 43,219 | 2.13 (7) | 2.13 | 0.48 (7) | 20 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $24.85 | 0.15 | — | 2.63 | 2.78 | (0.15) | (0.89) | (1.04) | — | 1.74 | $26.59 | 11.11 % | $ 257,488 | 1.06 % | 1.06 % | 1.10 % | 5 % | |
10/1/20 to 9/30/21 | 18.76 | 0.20 | — | 7.16 | 7.36 | (0.53) | (0.74) | (1.27) | — | 6.09 | 24.85 | 40.73 | 234,084 | 1.09 | 1.09 | 0.92 | 14 | |
10/1/19 to 9/30/20 | 26.28 | 0.30 | — | (3.23) | (2.93) | (0.38) | (4.21) | (4.59) | — | (7.52) | 18.76 | (12.80) | 272,248 | 1.10 | 1.10 | 1.43 | 40 | |
10/1/18 to 9/30/19 | 26.71 | 0.44 | — | 3.34 | 3.78 | (0.49) | (3.72) | (4.21) | — | (0.43) | 26.28 | 17.73 | 373,801 | 1.09 | 1.09 | 1.81 | 30 | |
10/1/17 to 9/30/18 | 30.39 | 0.40 | — | 0.73 | 1.13 | (0.38) | (4.43) | (4.81) | — | (3.68) | 26.71 | 4.31 | 437,179 | 1.08 | 1.08 | 1.49 | 12 | |
10/1/16 to 9/30/17 | 36.83 | 0.46 | — | (0.48) | (0.02) | (0.48) | (5.94) | (6.42) | — | (6.44) | 30.39 | 0.90 (7) | 539,098 | 1.13 (7) | 1.13 | 1.49 (7) | 20 | |
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $24.96 | 0.18 | — | 2.65 | 2.83 | (0.18) | (0.89) | (1.07) | — | 1.76 | $26.72 | 11.26 % | $ 162,418 | 0.79 % | 0.93 % | 1.33 % | 5 % | |
10/1/20 to 9/30/21 | 18.81 | 0.20 | — | 7.26 | 7.46 | (0.57) | (0.74) | (1.31) | — | 6.15 | 24.96 | 41.15 | 151,739 | 0.79 | 0.94 | 0.89 | 14 | |
10/1/19 to 9/30/20 | 26.30 | 0.37 | — | (3.24) | (2.87) | (0.41) | (4.21) | (4.62) | — | (7.49) | 18.81 | (12.52) | 43,705 | 0.79 | 0.96 | 1.80 | 40 | |
10/1/18 to 9/30/19 | 26.72 | 0.51 | — | 3.32 | 3.83 | (0.53) | (3.72) | (4.25) | — | (0.42) | 26.30 | 17.94 | 38,915 | 0.87 (9) | 0.95 | 2.11 | 30 | |
10/1/17 to 9/30/18 | 30.39 | 0.47 | — | 0.71 | 1.18 | (0.42) | (4.43) | (4.85) | — | (3.67) | 26.72 | 4.50 | 26,210 | 0.93 (9) | 0.95 | 1.75 | 12 | |
10/1/16 to 9/30/17 | 36.84 | 0.50 | — | (0.48) | 0.02 | (0.53) | (5.94) | (6.47) | — | (6.45) | 30.39 | 1.06 (7) | 19,880 | 0.98 (7) | 0.98 | 1.62 (7) | 20 | |
FORT Trend Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6)(15) | $14.50 | (0.11) | — | 0.35 | 0.24 | — | — | — | — | 0.24 | $14.74 | 1.72 % | $ 106,870 | 1.60 % (12)(13) | 1.58 % | (1.49) % | 0 % | |
10/1/20 to 9/30/21(15) | 14.55 | (0.22) | — | 0.17 | (0.05) | — | — | — | — | (0.05) | 14.50 | (0.34) | 108,701 | 1.60 | 1.77 | (1.53) | 0 | |
10/1/19 to 9/30/20(15) | 15.16 | (0.04) | — | (0.57) | (0.61) | — | — | — | — | (0.61) | 14.55 | (4.02) | 104,017 | 1.59 (12) | 1.59 | (0.25) | 198 | |
10/1/18 to 9/30/19 | 15.79 | 0.03 | — | (0.66) | (0.63) | — | — | — | — | (0.63) | 15.16 | (3.99) | 108,998 | 1.56 (12) | 1.56 | 0.19 | 228 | |
10/1/17 to 9/30/18 | 13.60 | 0.01 | — | 2.18 | 2.19 | — | — | — | — | 2.19 | 15.79 | 16.10 | 109,943 | 1.56 (12) | 1.56 | 0.08 | 57 | |
10/1/16 to 9/30/17 | 12.23 | 0.03 | — | 1.34 | 1.37 | — | — | — | — | 1.37 | 13.60 | 11.20 | 134,267 | 1.51 (9) | 1.60 | 0.23 | 92 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
FORT Trend Fund (Continued) | ||||||||||||||||||
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6)(15) | $13.57 | (0.16) | — | 0.34 | 0.18 | — | — | — | — | 0.18 | $13.75 | 1.33 % | $ 9,941 | 2.35 % | 2.39 % | (2.25) % | 0 % | |
10/1/20 to 9/30/21(15) | 13.73 | (0.31) | — | 0.15 | (0.16) | — | — | — | — | (0.16) | 13.57 | (1.17) | 17,109 | 2.35 | 2.53 | (2.27) | 0 | |
10/1/19 to 9/30/20(15) | 14.41 | (0.13) | — | (0.55) | (0.68) | — | — | — | — | (0.68) | 13.73 | (4.72) | 61,735 | 2.34 (12) | 2.34 | (0.96) | 198 | |
10/1/18 to 9/30/19 | 15.12 | (0.08) | — | (0.63) | (0.71) | — | — | — | — | (0.71) | 14.41 | (4.70) | 128,143 | 2.30 (12) | 2.30 | (0.57) | 228 | |
10/1/17 to 9/30/18 | 13.11 | (0.09) | — | 2.10 | 2.01 | — | — | — | — | 2.01 | 15.12 | 15.33 | 218,543 | 2.29 (12) | 2.29 | (0.65) | 57 | |
10/1/16 to 9/30/17 | 11.88 | (0.06) | — | 1.29 | 1.23 | — | — | — | — | 1.23 | 13.11 | 10.35 | 257,078 | 2.21 (9) | 2.35 | (0.47) | 92 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6)(15) | $14.77 | (0.09) | — | 0.36 | 0.27 | — | — | — | — | 0.27 | $15.04 | 1.83 % | $ 27,143 | 1.35 % (12)(13) | 1.33 % | (1.24) % | 0 % | |
10/1/20 to 9/30/21(15) | 14.79 | (0.19) | — | 0.17 | (0.02) | — | — | — | — | (0.02) | 14.77 | (0.14) | 29,793 | 1.35 | 1.52 | (1.28) | 0 | |
10/1/19 to 9/30/20(15) | 15.37 | 0.01 | — | (0.59) | (0.58) | — | — | — | — | (0.58) | 14.79 | (3.77) | 40,098 | 1.33 (12) | 1.33 | 0.05 | 198 | |
10/1/18 to 9/30/19 | 15.97 | 0.06 | — | (0.66) | (0.60) | — | — | — | — | (0.60) | 15.37 | (3.76) | 73,639 | 1.31 (12) | 1.31 | 0.42 | 228 | |
10/1/17 to 9/30/18 | 13.71 | 0.05 | — | 2.21 | 2.26 | — | — | — | — | 2.26 | 15.97 | 16.48 | 110,950 | 1.30 (12) | 1.30 | 0.34 | 57 | |
10/1/16 to 9/30/17 | 12.31 | 0.06 | — | 1.34 | 1.40 | — | — | — | — | 1.40 | 13.71 | 11.37 | 148,047 | 1.29 (9) | 1.35 | 0.45 | 92 | |
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6)(15) | $14.89 | (0.09) | — | 0.37 | 0.28 | — | — | — | — | 0.28 | $15.17 | 1.88 % | $ 697 | 1.26 % (12)(13) | 1.23 % | (1.15) % | 0 % | |
10/1/20 to 9/30/21(15) | 14.90 | (0.18) | — | 0.17 | (0.01) | — | — | — | — | (0.01) | 14.89 | (0.07) | 679 | 1.26 | 1.43 | (1.19) | 0 | |
10/1/19 to 9/30/20(15) | 15.47 | 0.01 | — | (0.58) | (0.57) | — | — | — | — | (0.57) | 14.90 | (3.68) | 719 | 1.24 (12) | 1.24 | 0.09 | 198 | |
10/1/18 to 9/30/19 | 16.05 | 0.08 | — | (0.66) | (0.58) | — | — | — | — | (0.58) | 15.47 | (3.61) | 602 | 1.21 (12) | 1.21 | 0.53 | 228 | |
10/1/17 to 9/30/18 | 13.77 | 0.08 | — | 2.20 | 2.28 | — | — | — | — | 2.28 | 16.05 | 16.56 | 625 | 1.20 (12) | 1.20 | 0.50 | 57 | |
10/1/16 to 9/30/17 | 12.34 | 0.08 | — | 1.35 | 1.43 | — | — | — | — | 1.43 | 13.77 | 11.59 | 203 | 1.16 (9) | 1.23 | 0.58 | 92 | |
KAR Developing Markets Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 9.63 | (0.01) | — | (1.19) | (1.20) | (0.01) | (0.04) | (0.05) | — | (1.25) | $ 8.38 | (12.55) % | $ 86 | 1.55 % | 4.85 % | (0.16) % | 6 % | |
6/22/21 (10) to 9/30/21 | 10.00 | — (8) | — | (0.37) | (0.37) | — | — | — | — | (0.37) | 9.63 | (3.70) | 96 | 1.55 | 12.33 | 0.01 | 5 (11) | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 9.61 | (0.04) | — | (1.19) | (1.23) | — | (0.04) | (0.04) | — | (1.27) | $ 8.34 | (12.88) % | $ 83 | 2.30 % | 5.60 % | (0.91) % | 6 % | |
6/22/21 (10) to 9/30/21 | 10.00 | (0.02) | — | (0.37) | (0.39) | — | — | — | — | (0.39) | 9.61 | (3.90) | 96 | 2.30 | 13.08 | (0.74) | 5 (11) | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 9.64 | — (8) | — | (1.19) | (1.19) | (0.02) | (0.04) | (0.06) | — | (1.25) | $ 8.39 | (12.48) % | $ 95 | 1.30 % | 4.60 % | 0.08 % | 6 % | |
6/22/21 (10) to 9/30/21 | 10.00 | 0.01 | — | (0.37) | (0.36) | — | — | — | — | (0.36) | 9.64 | (3.60) | 97 | 1.30 | 12.08 | 0.26 | 5 (11) | |
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $ 9.64 | 0.01 | — | (1.19) | (1.18) | (0.02) | (0.04) | (0.06) | — | (1.24) | $ 8.40 | (12.36) % | $ 2,714 | 1.22 % | 4.51 % | 0.17 % | 6 % | |
6/22/21 (10) to 9/30/21 | 10.00 | 0.01 | — | (0.37) | (0.36) | — | — | — | — | (0.36) | 9.64 | (3.60) | 2,603 | 1.22 | 12.06 | 0.34 | 5 (11) |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
KAR Emerging Markets Small-Cap Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $17.61 | (0.05) | — | (2.48) | (2.53) | (0.33) | (0.99) | (1.32) | — | (3.85) | $13.76 | (15.21) % | $ 40,370 | 1.81 % (9)(12)(13) | 1.79 % | (0.66) % | 11 % | |
10/1/20 to 9/30/21 | 14.93 | (0.02) | — | 2.87 | 2.85 | (0.17) | — | (0.17) | — | 2.68 | 17.61 | 19.15 | 57,403 | 1.85 (12)(13) | 1.81 | (0.11) | 19 | |
10/1/19 to 9/30/20 | 12.10 | (0.02) | — | 3.08 | 3.06 | (0.23) | — | (0.23) | — | 2.83 | 14.93 | 25.70 | 39,799 | 1.85 | 1.90 | (0.17) | 47 | |
10/1/18 to 9/30/19 | 11.66 | 0.32 | — | 0.15 | 0.47 | (0.03) | — | (0.03) | — | 0.44 | 12.10 | 4.10 | 27,479 | 1.86 | 1.90 | 2.70 | 44 | |
10/1/17 to 9/30/18 | 10.95 | 0.10 | — | 0.68 | 0.78 | (0.07) | — | (0.07) | — | 0.71 | 11.66 | 7.10 | 4,658 | 1.85 | 2.23 | 0.83 | 24 | |
10/1/16 to 9/30/17 | 9.29 | 0.15 | — | 1.68 | 1.83 | (0.17) | — | (0.17) | — | 1.66 | 10.95 | 20.12 | 1,647 | 1.84 | 2.97 | 1.47 | 28 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $17.41 | (0.11) | — | (2.46) | (2.57) | (0.22) | (0.99) | (1.21) | — | (3.78) | $13.63 | (15.53) % | $ 2,154 | 2.53 % (9)(12)(13) | 2.50 % | (1.40) % | 11 % | |
10/1/20 to 9/30/21 | 14.80 | (0.14) | — | 2.85 | 2.71 | (0.10) | — | (0.10) | — | 2.61 | 17.41 | 18.33 | 2,540 | 2.60 (12)(13) | 2.54 | (0.79) | 19 | |
10/1/19 to 9/30/20 | 12.03 | (0.11) | — | 3.05 | 2.94 | (0.17) | — | (0.17) | — | 2.77 | 14.80 | 24.75 | 1,208 | 2.60 | 2.61 | (0.87) | 47 | |
10/1/18 to 9/30/19 | 11.65 | 0.17 | — | 0.21 | 0.38 | — | — | — | — | 0.38 | 12.03 | 3.26 | 736 | 2.61 | 2.62 | 1.47 | 44 | |
10/1/17 to 9/30/18 | 10.96 | 0.01 | — | 0.68 | 0.69 | — | — | — | — | 0.69 | 11.65 | 6.30 | 358 | 2.60 | 2.90 | 0.08 | 24 | |
10/1/16 to 9/30/17 | 9.31 | 0.08 | — | 1.69 | 1.77 | (0.12) | — | (0.12) | — | 1.65 | 10.96 | 19.31 | 317 | 2.59 | 3.73 | 0.78 | 28 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $17.72 | (0.03) | — | (2.49) | (2.52) | (0.39) | (0.99) | (1.38) | — | (3.90) | $13.82 | (15.06) % | $ 271,956 | 1.49 % (9) | 1.49 % | (0.37) % | 11 % | |
10/1/20 to 9/30/21 | 15.01 | 0.05 | — | 2.86 | 2.91 | (0.20) | — | (0.20) | — | 2.71 | 17.72 | 19.49 | 360,774 | 1.55 (12)(13) | 1.51 | 0.26 | 19 | |
10/1/19 to 9/30/20 | 12.16 | 0.01 | — | 3.10 | 3.11 | (0.26) | — | (0.26) | — | 2.85 | 15.01 | 26.01 | 180,829 | 1.60 | 1.62 | 0.11 | 47 | |
10/1/18 to 9/30/19 | 11.70 | 0.34 | — | 0.16 | 0.50 | (0.04) | — | (0.04) | — | 0.46 | 12.16 | 4.33 | 85,699 | 1.61 | 1.67 | 2.85 | 44 | |
10/1/17 to 9/30/18 | 10.99 | 0.14 | — | 0.67 | 0.81 | (0.10) | — | (0.10) | — | 0.71 | 11.70 | 7.36 | 28,630 | 1.60 | 1.93 | 1.16 | 24 | |
10/1/16 to 9/30/17 | 9.31 | 0.16 | — | 1.70 | 1.86 | (0.18) | — | (0.18) | — | 1.68 | 10.99 | 20.42 | 8,673 | 1.59 | 2.75 | 1.60 | 28 | |
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $17.74 | (0.02) | — | (2.49) | (2.51) | (0.44) | (0.99) | (1.43) | — | (3.94) | $13.80 | (15.04) % | $ 1,350 | 1.40 % (9) | 1.40 % | (0.30) % | 11 % | |
10/1/20 to 9/30/21 | 15.01 | 0.13 | — | 2.82 | 2.95 | (0.22) | — | (0.22) | — | 2.73 | 17.74 | 19.71 | 1,223 | 1.41 (12)(13) | 1.41 | 0.72 | 19 | |
10/1/19 to 9/30/20 | 12.16 | 0.02 | — | 3.10 | 3.12 | (0.27) | — | (0.27) | — | 2.85 | 15.01 | 26.13 | 125 | 1.50 | 1.51 | 0.17 | 47 | |
8/1/19 (10) to 9/30/19 | 12.36 | 0.03 | — | (0.23) | (0.20) | — | — | — | — | (0.20) | 12.16 | (1.62) | 98 | 1.51 (14) | 1.62 | 1.44 | 44 (11) | |
KAR International Small-Mid Cap Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $24.72 | (0.04) | — | (4.81) | (4.85) | (0.44) | (1.39) | (1.83) | — | (6.68) | $18.04 | (21.04) % | $ 71,904 | 1.44 % (12) | 1.44 % | (0.37) % | 14 % | |
10/1/20 to 9/30/21 | 19.15 | 0.04 | — | 5.74 | 5.78 | (0.16) | (0.05) | (0.21) | — (8) | 5.57 | 24.72 | 30.29 (16) | 100,353 | 1.53 (9)(12) | 1.53 | 0.18 | 23 | |
10/1/19 to 9/30/20 | 16.95 | 0.02 | — | 2.51 | 2.53 | (0.33) | — | (0.33) | — | 2.20 | 19.15 | 14.98 | 78,101 | 1.56 (12) | 1.56 | 0.13 | 48 | |
10/1/18 to 9/30/19 | 17.15 | 0.44 | — | (0.47) | (0.03) | (0.06) | (0.11) | (0.17) | — (8) | (0.20) | 16.95 | (0.05) (16) | 70,958 | 1.55 (12) | 1.55 | 2.66 | 30 | |
10/1/17 to 9/30/18 | 16.22 | 0.16 | — | 1.01 | 1.17 | (0.08) | (0.16) | (0.24) | — | 0.93 | 17.15 | 7.31 | 47,909 | 1.60 | 1.56 | 0.92 | 21 | |
10/1/16 to 9/30/17 | 13.01 | 0.16 | — | 3.34 | 3.50 | (0.29) | — | (0.29) | — | 3.21 | 16.22 | 27.42 | 18,479 | 1.60 | 1.66 | 1.07 | 27 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
KAR International Small-Mid Cap Fund (Continued) | ||||||||||||||||||
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $24.23 | (0.12) | — | (4.73) | (4.85) | (0.27) | (1.39) | (1.66) | — | (6.51) | $17.72 | (21.34) % | $ 31,641 | 2.16 % (12)(13) | 2.16 % | (1.09) % | 14 % | |
10/1/20 to 9/30/21 | 18.78 | (0.13) | — | 5.65 | 5.52 | (0.02) | (0.05) | (0.07) | — (8) | 5.45 | 24.23 | 29.43 (16) | 42,388 | 2.25 (9) | 2.25 | (0.55) | 23 | |
10/1/19 to 9/30/20 | 16.64 | (0.11) | — | 2.45 | 2.34 | (0.20) | — | (0.20) | — | 2.14 | 18.78 | 14.07 | 33,524 | 2.27 (12) | 2.27 | (0.65) | 48 | |
10/1/18 to 9/30/19 | 16.89 | 0.32 | — | (0.46) | (0.14) | — | (0.11) | (0.11) | — (8) | (0.25) | 16.64 | (0.78) (16) | 37,210 | 2.29 (12) | 2.29 | 1.93 | 30 | |
10/1/17 to 9/30/18 | 16.04 | 0.03 | — | 1.02 | 1.05 | (0.04) | (0.16) | (0.20) | — | 0.85 | 16.89 | 6.60 | 35,966 | 2.31 (12) | 2.27 | 0.18 | 21 | |
10/1/16 to 9/30/17 | 12.92 | 0.06 | — | 3.29 | 3.35 | (0.23) | — | (0.23) | — | 3.12 | 16.04 | 26.41 | 13,442 | 2.35 | 2.41 | 0.38 | 27 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $24.86 | (0.01) | — | (4.83) | (4.84) | (0.53) | (1.39) | (1.92) | — | (6.76) | $18.10 | (20.93) % | $1,912,609 | 1.15 % (12) | 1.15 % | (0.09) % | 14 % | |
10/1/20 to 9/30/21 | 19.25 | 0.12 | — | 5.76 | 5.88 | (0.22) | (0.05) | (0.27) | — (8) | 5.61 | 24.86 | 30.69 (16) | 2,685,996 | 1.24 (9)(12) | 1.24 | 0.49 | 23 | |
10/1/19 to 9/30/20 | 17.03 | 0.06 | — | 2.53 | 2.59 | (0.37) | — | (0.37) | — | 2.22 | 19.25 | 15.28 | 1,705,562 | 1.28 (12) | 1.28 | 0.35 | 48 | |
10/1/18 to 9/30/19 | 17.24 | 0.50 | — | (0.49) | 0.01 | (0.11) | (0.11) | (0.22) | — (8) | (0.21) | 17.03 | 0.18 (16) | 1,372,552 | 1.30 (12) | 1.30 | 2.96 | 30 | |
10/1/17 to 9/30/18 | 16.28 | 0.21 | — | 1.01 | 1.22 | (0.10) | (0.16) | (0.26) | — | 0.96 | 17.24 | 7.58 | 773,571 | 1.35 | 1.29 | 1.20 | 21 | |
10/1/16 to 9/30/17 | 13.04 | 0.20 | — | 3.35 | 3.55 | (0.31) | — | (0.31) | — | 3.24 | 16.28 | 27.73 | 176,216 | 1.35 | 1.42 | 1.33 | 27 | |
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $24.89 | — (8) | — | (4.83) | (4.83) | (0.55) | (1.39) | (1.94) | — | (6.77) | $18.12 | (20.87) % | $ 208,226 | 1.07 % (12) | 1.07 % | — % (17) | 14 % | |
10/1/20 to 9/30/21 | 19.27 | 0.16 | — | 5.75 | 5.91 | (0.24) | (0.05) | (0.29) | — (8) | 5.62 | 24.89 | 30.82 (16) | 277,279 | 1.15 (9)(12) | 1.15 | 0.65 | 23 | |
10/1/19 to 9/30/20 | 17.05 | 0.11 | — | 2.50 | 2.61 | (0.39) | — | (0.39) | — | 2.22 | 19.27 | 15.35 | 75,086 | 1.18 (12) | 1.18 | 0.65 | 48 | |
10/1/18 to 9/30/19 | 17.26 | 0.43 | — | (0.41) | 0.02 | (0.12) | (0.11) | (0.23) | — (8) | (0.21) | 17.05 | 0.24 (16) | 40,866 | 1.19 (12) | 1.19 | 2.60 | 30 | |
10/1/17 to 9/30/18 | 16.28 | 0.18 | — | 1.07 | 1.25 | (0.11) | (0.16) | (0.27) | — | 0.98 | 17.26 | 7.74 | 72,151 | 1.21 (12) | 1.20 | 1.06 | 21 | |
10/1/16 to 9/30/17 | 13.03 | 0.26 | — | 3.30 | 3.56 | (0.31) | — | (0.31) | — | 3.25 | 16.28 | 27.82 | 36,941 | 1.24 | 1.28 | 1.66 | 27 | |
Vontobel Emerging Markets Opportunities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $11.91 | (0.01) | — | (0.89) | (0.90) | (0.10) | (2.23) | (2.33) | — | (3.23) | $ 8.68 | (9.26) % | $ 269,689 | 1.56 % | 1.56 % | (0.20) % | 27 % | |
10/1/20 to 9/30/21 | 11.01 | (0.04) | — | 0.99 | 0.95 | (0.05) | — | (0.05) | — | 0.90 | 11.91 | 8.58 | 362,477 | 1.54 | 1.54 | (0.33) | 67 | |
10/1/19 to 9/30/20 | 10.65 | 0.01 | — | 0.55 | 0.56 | (0.16) | (0.04) | (0.20) | — | 0.36 | 11.01 | 5.22 | 369,053 | 1.57 | 1.57 | 0.07 | 55 | |
10/1/18 to 9/30/19 | 10.44 | 0.12 | — | 0.42 | 0.54 | (0.06) | (0.27) | (0.33) | — | 0.21 | 10.65 | 5.64 | 479,456 | 1.57 | 1.57 | 1.20 | 30 | |
10/1/17 to 9/30/18 | 11.11 | 0.06 | — | (0.71) | (0.65) | (0.02) | — | (0.02) | — | (0.67) | 10.44 | (5.83) | 550,117 | 1.58 | 1.58 | 0.54 | 38 | |
10/1/16 to 9/30/17 | 9.90 | 0.05 | — | 1.21 | 1.26 | (0.05) | — | (0.05) | — | 1.21 | 11.11 | 12.81 | 706,974 | 1.60 | 1.61 | 0.46 | 27 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $11.46 | (0.04) | — | (0.85) | (0.89) | (0.08) | (2.23) | (2.31) | — | (3.20) | $ 8.26 | (9.55) % | $ 51,537 | 2.25 % | 2.25 % | (0.90) % | 27 % | |
10/1/20 to 9/30/21 | 10.62 | (0.13) | — | 0.97 | 0.84 | — | — | — | — | 0.84 | 11.46 | 7.91 | 72,832 | 2.22 | 2.22 | (1.06) | 67 | |
10/1/19 to 9/30/20 | 10.27 | (0.06) | — | 0.52 | 0.46 | (0.07) | (0.04) | (0.11) | — | 0.35 | 10.62 | 4.49 | 99,139 | 2.25 | 2.25 | (0.61) | 55 | |
10/1/18 to 9/30/19 | 10.08 | 0.04 | — | 0.42 | 0.46 | — | (0.27) | (0.27) | — | 0.19 | 10.27 | 4.93 | 135,668 | 2.25 | 2.25 | 0.41 | 30 | |
10/1/17 to 9/30/18 | 10.77 | (0.01) | — | (0.68) | (0.69) | — | — | — | — | (0.69) | 10.08 | (6.41) | 182,813 | 2.25 | 2.25 | (0.12) | 38 | |
10/1/16 to 9/30/17 | 9.63 | (0.03) | — | 1.17 | 1.14 | — | — | — | — | 1.14 | 10.77 | 11.84 | 214,738 | 2.34 | 2.35 | (0.30) | 27 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Vontobel Emerging Markets Opportunities Fund (Continued) | ||||||||||||||||||
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $12.35 | 0.01 | — | (0.92) | (0.91) | (0.11) | (2.23) | (2.34) | — | (3.25) | $ 9.10 | (9.00) % | $2,596,378 | 1.24 % | 1.24 % | 0.11 % | 27 % | |
10/1/20 to 9/30/21 | 11.41 | — (8) | — | 1.02 | 1.02 | (0.08) | — | (0.08) | — | 0.94 | 12.35 | 8.93 | 4,124,645 | 1.23 | 1.23 | (0.03) | 67 | |
10/1/19 to 9/30/20 | 11.03 | 0.04 | — | 0.58 | 0.62 | (0.20) | (0.04) | (0.24) | — | 0.38 | 11.41 | 5.57 | 5,178,655 | 1.26 | 1.26 | 0.38 | 55 | |
10/1/18 to 9/30/19 | 10.82 | 0.17 | — | 0.42 | 0.59 | (0.11) | (0.27) | (0.38) | — | 0.21 | 11.03 | 5.91 | 6,228,010 | 1.25 | 1.25 | 1.56 | 30 | |
10/1/17 to 9/30/18 | 11.49 | 0.11 | — | (0.73) | (0.62) | (0.05) | — | (0.05) | — | (0.67) | 10.82 | (5.46) | 6,434,732 | 1.23 | 1.23 | 0.91 | 38 | |
10/1/16 to 9/30/17 | 10.24 | 0.07 | — | 1.26 | 1.33 | (0.08) | — | (0.08) | — | 1.25 | 11.49 | 13.10 | 7,198,678 | 1.33 | 1.34 | 0.72 | 27 | |
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $12.40 | 0.02 | — | (0.92) | (0.90) | (0.12) | (2.23) | (2.35) | — | (3.25) | $ 9.15 | (8.89) % | $ 131,074 | 0.98 % | 1.14 % | 0.37 % | 27 % | |
10/1/20 to 9/30/21 | 11.44 | 0.03 | — | 1.03 | 1.06 | (0.10) | — | (0.10) | — | 0.96 | 12.40 | 9.21 | 204,006 | 0.98 | 1.13 | 0.23 | 67 | |
10/1/19 to 9/30/20 | 11.04 | 0.06 | — | 0.59 | 0.65 | (0.21) | (0.04) | (0.25) | — | 0.40 | 11.44 | 5.86 | 200,523 | 0.98 | 1.15 | 0.59 | 55 | |
10/1/18 to 9/30/19 | 10.82 | 0.19 | — | 0.42 | 0.61 | (0.12) | (0.27) | (0.39) | — | 0.22 | 11.04 | 6.11 | 119,946 | 1.03 (9) | 1.13 | 1.80 | 30 | |
10/1/17 to 9/30/18 | 11.48 | 0.12 | — | (0.73) | (0.61) | (0.05) | — | (0.05) | — | (0.66) | 10.82 | (5.34) | 125,809 | 1.15 | 1.15 | 1.01 | 38 | |
10/1/16 to 9/30/17 | 10.25 | 0.10 | — | 1.23 | 1.33 | (0.10) | — | (0.10) | — | 1.23 | 11.48 | 13.15 | 126,422 | 1.20 | 1.21 | 0.92 | 27 | |
Vontobel Foreign Opportunities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $34.97 | (0.13) | — | (1.98) | (2.11) | — | (6.94) | (6.94) | — | (9.05) | $25.92 | (7.94) % | $ 182,840 | 1.39 % (12)(13) | 1.38 % | (0.84) % | 29 % | |
10/1/20 to 9/30/21 | 31.75 | (0.15) | — | 5.63 | 5.48 | — | (2.26) | (2.26) | — | 3.22 | 34.97 | 17.95 | 204,395 | 1.39 | 1.40 | (0.43) | 81 | |
10/1/19 to 9/30/20 | 30.44 | (0.10) | — | 3.64 | 3.54 | (0.09) | (2.14) | (2.23) | — | 1.31 | 31.75 | 12.02 | 176,146 | 1.39 | 1.43 | (0.35) | 63 | |
10/1/18 to 9/30/19 | 34.62 | 0.11 | — | 1.25 | 1.36 | (0.15) | (5.39) | (5.54) | — | (4.18) | 30.44 | 7.08 | 186,206 | 1.40 (9) | 1.44 | 0.38 | 64 | |
10/1/17 to 9/30/18 | 33.95 | 0.10 | — | 0.64 | 0.74 | (0.07) | — | (0.07) | — | 0.67 | 34.62 | 2.17 | 211,755 | 1.43 | 1.43 | 0.27 | 39 | |
10/1/16 to 9/30/17 | 29.62 | 0.09 | — | 4.42 | 4.51 | (0.18) | — | (0.18) | — | 4.33 | 33.95 | 15.41 (7) | 278,667 | 1.45 (7) | 1.46 | 0.28 (7) | 31 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $33.41 | (0.22) | — | (1.86) | (2.08) | — | (6.94) | (6.94) | — | (9.02) | $24.39 | (8.26) % | $ 11,858 | 2.05 % | 2.13 % | (1.51) % | 29 % | |
10/1/20 to 9/30/21 | 30.62 | (0.37) | — | 5.42 | 5.05 | — | (2.26) | (2.26) | — | 2.79 | 33.41 | 17.16 | 18,014 | 2.05 | 2.12 | (1.17) | 81 | |
10/1/19 to 9/30/20 | 29.54 | (0.29) | — | 3.51 | 3.22 | — | (2.14) | (2.14) | — | 1.08 | 30.62 | 11.26 | 30,294 | 2.05 | 2.12 | (1.01) | 63 | |
10/1/18 to 9/30/19 | 33.83 | (0.10) | — | 1.23 | 1.13 | (0.03) | (5.39) | (5.42) | — | (4.29) | 29.54 | 6.40 | 41,638 | 2.07 (9) | 2.13 | (0.34) | 64 | |
10/1/17 to 9/30/18 | 33.34 | (0.14) | — | 0.63 | 0.49 | — | — | — | — | 0.49 | 33.83 | 1.47 | 75,379 | 2.10 | 2.10 | (0.41) | 39 | |
10/1/16 to 9/30/17 | 29.23 | (0.11) | — | 4.33 | 4.22 | (0.11) | — | (0.11) | — | 4.11 | 33.34 | 14.55 (7) | 93,166 | 2.19 (7) | 2.20 | (0.39) (7) | 31 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $35.00 | (0.08) | — | (1.98) | (2.06) | — | (6.94) | (6.94) | — | (9.00) | $26.00 | (7.81) % | $ 644,437 | 1.07 % | 1.11 % | (0.52) % | 29 % | |
10/1/20 to 9/30/21 | 31.74 | (0.04) | — | 5.62 | 5.58 | (0.06) | (2.26) | (2.32) | — | 3.26 | 35.00 | 18.32 | 803,474 | 1.07 | 1.11 | (0.12) | 81 | |
10/1/19 to 9/30/20 | 30.43 | — (8) | — | 3.63 | 3.63 | (0.18) | (2.14) | (2.32) | — | 1.31 | 31.74 | 12.37 | 784,711 | 1.07 | 1.13 | (0.02) | 63 | |
10/1/18 to 9/30/19 | 34.70 | 0.20 | — | 1.24 | 1.44 | (0.32) | (5.39) | (5.71) | — | (4.27) | 30.43 | 7.43 | 761,809 | 1.08 (9) | 1.13 | 0.68 | 64 | |
10/1/17 to 9/30/18 | 34.03 | 0.20 | — | 0.65 | 0.85 | (0.18) | — | (0.18) | — | 0.67 | 34.70 | 2.48 | 984,802 | 1.12 | 1.12 | 0.57 | 39 | |
10/1/16 to 9/30/17 | 29.63 | 0.20 | — | 4.40 | 4.60 | (0.20) | — | (0.20) | — | 4.40 | 34.03 | 15.69 (7) | 1,062,609 | 1.19 (7) | 1.20 | 0.64 (7) | 31 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Vontobel Foreign Opportunities Fund (Continued) | ||||||||||||||||||
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $35.03 | (0.06) | — | (1.99) | (2.05) | — | (6.94) | (6.94) | — | (8.99) | $26.04 | (7.74) % | $ 62,543 | 0.95 % | 1.04 % | (0.39) % | 29 % | |
10/1/20 to 9/30/21 | 31.76 | (0.01) | — | 5.63 | 5.62 | (0.09) | (2.26) | (2.35) | — | 3.27 | 35.03 | 18.44 | 66,705 | 0.95 | 1.03 | (0.03) | 81 | |
10/1/19 to 9/30/20 | 30.44 | 0.03 | — | 3.64 | 3.67 | (0.21) | (2.14) | (2.35) | — | 1.32 | 31.76 | 12.49 | 84,764 | 0.95 | 1.04 | 0.11 | 63 | |
10/1/18 to 9/30/19 | 34.72 | 0.29 | — | 1.18 | 1.47 | (0.36) | (5.39) | (5.75) | — | (4.28) | 30.44 | 7.57 | 69,198 | 0.96 (9) | 1.04 | 0.97 | 64 | |
10/1/17 to 9/30/18 | 34.06 | 0.23 | — | 0.64 | 0.87 | (0.21) | — | (0.21) | — | 0.66 | 34.72 | 2.55 | 33,573 | 1.03 | 1.03 | 0.66 | 39 | |
10/1/16 to 9/30/17 | 29.63 | 0.24 | — | 4.39 | 4.63 | (0.20) | — | (0.20) | — | 4.43 | 34.06 | 15.82 (7) | 19,370 | 1.08 (7) | 1.09 | 0.75 (7) | 31 | |
Vontobel Global Opportunities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $21.43 | (0.06) | — | (0.31) | (0.37) | (0.28) | (3.50) | (3.78) | — | (4.15) | $17.28 | (3.07) % | $ 116,912 | 1.36 % | 1.38 % | (0.66) % | 20 % | |
10/1/20 to 9/30/21 | 18.63 | (0.09) | — | 3.31 | 3.22 | — | (0.42) | (0.42) | — | 2.80 | 21.43 | 17.47 | 130,814 | 1.36 | 1.39 | (0.43) | 49 | |
10/1/19 to 9/30/20 | 16.37 | (0.05) | — | 2.65 | 2.60 | — | (0.34) | (0.34) | — | 2.26 | 18.63 | 16.03 | 111,264 | 1.36 | 1.41 | (0.28) | 48 | |
10/1/18 to 9/30/19 | 17.02 | 0.02 | — | 0.97 | 0.99 | — (8) | (1.64) | (1.64) | — | (0.65) | 16.37 | 7.62 | 99,951 | 1.37 (9) | 1.40 | 0.11 | 35 | |
10/1/17 to 9/30/18 | 16.22 | 0.02 | — | 1.68 | 1.70 | — (8) | (0.90) | (0.90) | — | 0.80 | 17.02 | 10.80 | 104,081 | 1.40 (12) | 1.40 | 0.12 | 38 | |
10/1/16 to 9/30/17 | 13.69 | 0.02 | — | 2.64 | 2.66 | (0.05) | (0.08) | (0.13) | — | 2.53 | 16.22 | 19.54 (7) | 113,151 | 1.45 (7) | 1.46 | 0.05 (7) | 37 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $17.37 | (0.11) | — | (0.20) | (0.31) | (0.25) | (3.50) | (3.75) | — | (4.06) | $13.31 | (3.45) % | $ 14,432 | 2.11 % | 2.12 % | (1.42) % | 20 % | |
10/1/20 to 9/30/21 | 15.28 | (0.20) | — | 2.71 | 2.51 | — | (0.42) | (0.42) | — | 2.09 | 17.37 | 16.64 | 19,745 | 2.11 | 2.13 | (1.21) | 49 | |
10/1/19 to 9/30/20 | 13.58 | (0.14) | — | 2.18 | 2.04 | — | (0.34) | (0.34) | — | 1.70 | 15.28 | 15.19 | 25,626 | 2.11 | 2.13 | (1.03) | 48 | |
10/1/18 to 9/30/19 | 14.51 | (0.08) | — | 0.79 | 0.71 | — | (1.64) | (1.64) | — | (0.93) | 13.58 | 6.89 | 28,147 | 2.12 (9) | 2.16 | (0.64) | 35 | |
10/1/17 to 9/30/18 | 14.06 | (0.09) | — | 1.44 | 1.35 | — | (0.90) | (0.90) | — | 0.45 | 14.51 | 9.92 | 32,003 | 2.16 (12) | 2.16 | (0.61) | 38 | |
10/1/16 to 9/30/17 | 11.93 | (0.08) | — | 2.29 | 2.21 | — | (0.08) | (0.08) | — | 2.13 | 14.06 | 18.61 (7) | 30,065 | 2.21 (7) | 2.22 | (0.68) (7) | 37 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $21.53 | (0.04) | — | (0.31) | (0.35) | (0.29) | (3.50) | (3.79) | — | (4.14) | $17.39 | (2.95) % | $ 133,838 | 1.09 % | 1.13 % | (0.41) % | 20 % | |
10/1/20 to 9/30/21 | 18.67 | (0.03) | — | 3.31 | 3.28 | — | (0.42) | (0.42) | — | 2.86 | 21.53 | 17.76 | 178,017 | 1.09 | 1.13 | (0.16) | 49 | |
10/1/19 to 9/30/20 | 16.39 | — (8) | — | 2.66 | 2.66 | (0.04) | (0.34) | (0.38) | — | 2.28 | 18.67 | 16.41 | 153,902 | 1.09 | 1.17 | (0.02) | 48 | |
10/1/18 to 9/30/19 | 17.02 | 0.06 | — | 0.99 | 1.05 | (0.04) | (1.64) | (1.68) | — | (0.63) | 16.39 | 7.98 | 124,340 | 1.10 (9) | 1.17 | 0.41 | 35 | |
10/1/17 to 9/30/18 | 16.23 | 0.07 | — | 1.67 | 1.74 | (0.05) | (0.90) | (0.95) | — | 0.79 | 17.02 | 11.07 | 81,090 | 1.16 (12) | 1.16 | 0.43 | 38 | |
10/1/16 to 9/30/17 | 13.69 | 0.06 | — | 2.63 | 2.69 | (0.07) | (0.08) | (0.15) | — | 2.54 | 16.23 | 19.83 (7) | 76,222 | 1.20 (7) | 1.21 | 0.38 (7) | 37 | |
Class R6 | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $21.63 | (0.02) | — | (0.30) | (0.32) | (0.31) | (3.50) | (3.81) | — | (4.13) | $17.50 | (2.80) % | $ 72,311 | 0.90 % | 1.05 % | (0.21) % | 20 % | |
10/1/20 to 9/30/21 | 18.72 | — (8) | — | 3.33 | 3.33 | — | (0.42) | (0.42) | — | 2.91 | 21.63 | 17.98 | 89,295 | 0.90 | 1.05 | 0.02 | 49 | |
10/1/19 to 9/30/20 | 16.42 | 0.03 | — | 2.66 | 2.69 | (0.05) | (0.34) | (0.39) | — | 2.30 | 18.72 | 16.59 | 89,980 | 0.90 | 1.08 | 0.18 | 48 | |
10/1/18 to 9/30/19 | 17.03 | 0.13 | — | 0.94 | 1.07 | (0.04) | (1.64) | (1.68) | — | (0.61) | 16.42 | 8.19 | 65,704 | 0.90 (9) | 1.08 | 0.80 | 35 | |
1/30/18 (10) to 9/30/18 | 17.27 | 0.06 | — | (0.30) | (0.24) | — | — | — | — | (0.24) | 17.03 | 1.39 | 425 | 1.11 (12) | 1.11 | 0.56 | 38 (11) |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Capital Gains Distributions Received from Underlying Funds(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate(1) | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Vontobel Greater European Opportunities Fund | ||||||||||||||||||
Class A | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $13.04 | (0.06) | — | (0.98) | (1.04) | (0.02) | (0.52) | (0.54) | — | (1.58) | $11.46 | (8.43) % | $ 2,471 | 1.40 % (14) | 2.17 % | (0.98) % | 12 % | |
10/1/20 to 9/30/21 | 11.24 | (0.01) | — | 2.36 | 2.35 | — | (0.55) | (0.55) | — | 1.80 | 13.04 | 21.44 | 2,853 | 1.41 (9) | 2.34 | (0.11) | 33 | |
10/1/19 to 9/30/20 | 11.55 | (0.02) | — | 1.09 | 1.07 | (0.06) | (1.32) | (1.38) | — | (0.31) | 11.24 | 9.82 | 1,486 | 1.45 | 3.58 | (0.19) | 51 | |
10/1/18 to 9/30/19 | 15.62 | 0.07 | — | (0.38) | (0.31) | (0.14) | (3.62) | (3.76) | — | (4.07) | 11.55 | 2.14 | 1,378 | 1.45 | 2.99 | 0.62 | 16 | |
10/1/17 to 9/30/18 | 17.62 | 0.13 | — | (0.16) | (0.03) | (0.24) | (1.73) | (1.97) | — | (2.00) | 15.62 | (0.49) | 3,283 | 1.45 | 2.20 | 0.77 | 22 | |
10/1/16 to 9/30/17 | 15.86 | 0.04 | — | 1.96 | 2.00 | (0.24) | — | (0.24) | — | 1.76 | 17.62 | 12.89 | 4,224 | 1.44 | 1.90 | 0.26 | 42 | |
Class C | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $12.47 | (0.10) | — | (0.93) | (1.03) | — | (0.52) | (0.52) | — | (1.55) | $10.92 | (8.74) % | $ 303 | 2.15 % (14) | 2.90 % | (1.73) % | 12 % | |
10/1/20 to 9/30/21 | 10.85 | (0.11) | — | 2.28 | 2.17 | — | (0.55) | (0.55) | — | 1.62 | 12.47 | 20.52 | 386 | 2.16 (9) | 3.06 | (0.95) | 33 | |
10/1/19 to 9/30/20 | 11.21 | (0.09) | — | 1.05 | 0.96 | — | (1.32) | (1.32) | — | (0.36) | 10.85 | 9.01 | 430 | 2.20 | 4.31 | (0.91) | 51 | |
10/1/18 to 9/30/19 | 15.22 | (0.04) | — | (0.35) | (0.39) | — | (3.62) | (3.62) | — | (4.01) | 11.21 | 1.34 | 579 | 2.20 | 3.73 | (0.32) | 16 | |
10/1/17 to 9/30/18 | 17.22 | 0.01 | — | (0.15) | (0.14) | (0.13) | (1.73) | (1.86) | — | (2.00) | 15.22 | (1.17) | 1,827 | 2.20 | 2.92 | 0.07 | 22 | |
10/1/16 to 9/30/17 | 15.58 | (0.02) | — | 1.86 | 1.84 | (0.20) | — | (0.20) | — | 1.64 | 17.22 | 12.06 | 2,208 | 2.19 | 2.66 | (0.10) | 42 | |
Class I | ||||||||||||||||||
10/1/21 to 3/31/22(6) | $13.06 | (0.05) | — | (0.96) | (1.01) | (0.04) | (0.52) | (0.56) | — | (1.57) | $11.49 | (8.23) % | $ 5,668 | 1.15 % (14) | 1.89 % | (0.73) % | 12 % | |
10/1/20 to 9/30/21 | 11.23 | 0.01 | — | 2.37 | 2.38 | — | (0.55) | (0.55) | — | 1.83 | 13.06 | 21.74 | 6,561 | 1.16 (9) | 2.05 | 0.12 | 33 | |
10/1/19 to 9/30/20 | 11.55 | 0.01 | — | 1.09 | 1.10 | (0.10) | (1.32) | (1.42) | — | (0.32) | 11.23 | 10.06 | 2,562 | 1.20 | 3.31 | 0.12 | 51 | |
10/1/18 to 9/30/19 | 15.65 | 0.12 | — | (0.41) | (0.29) | (0.19) | (3.62) | (3.81) | — | (4.10) | 11.55 | 2.36 | 2,280 | 1.20 | 2.72 | 1.00 | 16 | |
10/1/17 to 9/30/18 | 17.65 | 0.12 | — | (0.10) | 0.02 | (0.29) | (1.73) | (2.02) | — | (2.00) | 15.65 | (0.19) | 2,626 | 1.20 | 1.89 | 0.75 | 22 | |
10/1/16 to 9/30/17 | 15.91 | 0.17 | — | 1.87 | 2.04 | (0.30) | — | (0.30) | — | 1.74 | 17.65 | 13.21 | 9,822 | 1.19 | 1.67 | 1.02 | 42 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | Sales charges, where applicable, are not reflected in the total return calculation. |
(4) | Annualized for periods less than one year. |
(5) | The Funds will also indirectly bear their prorated share of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses and increase the Ratio of Net Investment Income (Loss) as follows: Duff & Phelps Global Infrastructure Fund No Impact (Class A, Class C, Class I) Duff & Phelps Real Estate Securities Fund Less than 1% (Class A, Class C, Class I, Class R6) Vontobel Foreign Opportunities Fund Less than 1% (Class A, Class C, Class I, Class R6) Vontobel Global Opportunities Fund 0.06% (Class A), 0.05% (Class C), 0.05% (Class I) Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return as follows: Duff & Phelps Global Infrastructure Fund No Impact (Class A, Class C, Class I) Duff & Phelps Real Estate Securities Fund Less than 1% (Class A, Class C, Class I, Class R6) Vontobel Foreign Opportunities Fund Less than 1% (Class A, Class C, Class I, Class R6) Vontobel Global Opportunities Fund 0.06% (Class A), 0.05% (Class C), 0.05% (Class I) |
(8) | Amount is less than $0.005 per share. |
(9) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(10) | Inception date. |
(11) | Portfolio turnover is representative of the Fund for the entire period. |
(12) | The share class is currently under its expense limitation. |
(13) | See Note 4D in Notes to Financial statements for information on recapture of expenses previously reimbursed and/or waived. |
(14) | Net expense ratio includes extraordinary proxy expenses. |
(15) | Consolidated Financial Highlights. |
(16) | Payment from affiliates had no impact on total return. |
(17) | Amount is less than 0.005%. |
Fund | Investment objective(s) | |
Duff & Phelps Global Infrastructure Fund | Capital appreciation and current income. | |
Duff & Phelps Global Real Estate Securities Fund | Long-term capital appreciation, with a secondary investment objective of income. | |
Duff & Phelps International Real Estate Securities Fund | Long-term capital appreciation, with a secondary investment objective of income. | |
Duff & Phelps Real Asset Fund | Long-term capital appreciation. | |
Duff & Phelps Real Estate Securities Fund | Capital appreciation and income with approximately equal emphasis. | |
FORT Trend Fund | Long-term capital appreciation. | |
KAR Developing Markets Fund | Capital appreciation. | |
KAR Emerging Markets Small-Cap Fund | Capital appreciation. | |
KAR International Small-Mid Cap Fund | Capital appreciation. | |
Vontobel Emerging Markets Opportunities Fund | Capital appreciation. | |
Vontobel Foreign Opportunities Fund | Long-term capital appreciation. | |
Vontobel Global Opportunities Fund | Capital appreciation. | |
Vontobel Greater European Opportunities Fund | Long-term capital appreciation. |
A. | Basis of Consolidation |
The accompanying consolidated financial statements of FORT Trend Fund include the account of VATS Offshore Fund, Ltd. (the “Subsidiary”), which is a wholly-owned subsidiary of FORT Trend Fund and is organized as a company under the laws of the Cayman Islands and primarily invests in commodity-related instruments. The Subsidiary is not registered under the 1940 Act. The Subsidiary enables FORT Trend Fund to hold these commodity-related instruments and satisfy regulated investment company tax requirements. FORT Trend Fund may invest up to 25% of its total assets in the Subsidiary. The net assets of the Subsidiary at March 31, 2022 were $20,748 and 14% of FORT Trend Fund’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Subsidiary is subject to the same investment policies and restrictions that apply to FORT Trend Fund, except that the Subsidiary may invest without limitation in commodity-related instruments. | |
B. | Security Valuation |
Each Fund utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. | |
• Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
C. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Fund is notified. Interest income is recorded on the accrual basis. Each Fund amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
D. | Income Taxes |
Each Fund is treated as a separate taxable entity. It is the intention of each Fund to comply with the requirements of Subchapter M of the Internal Revenue Code 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. The Subsidiary is classified as a controlled foreign corporation under Subchapter M of the Internal Revenue Code. Therefore, the FORT Trend Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net investment losses of the Subsidiary cannot be deducted by the FORT Trend Fund in the current period nor carried forward to offset taxable income in future periods. | |
Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Fund will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Each Fund’s 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. | |
E. | Distributions to Shareholders |
Distributions are recorded by each Fund on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. | |
F. | Expenses |
Expenses incurred together by a Fund and other affiliated mutual funds are allocated in proportion to the net assets of each such fund, except where allocation of direct expenses to each Fund or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that a Fund bears directly, the shareholders of a Fund indirectly bear the pro-rata expenses of any underlying mutual funds in which the Fund invests. | |
G. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
H. | Securities Lending |
The Funds may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities a Fund is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Fund net of fees and rebates charged/paid by |
BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by each Fund under a Master Securities Lending Agreement (“MSLA”) which permits the Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Fund to the same counterparty against amounts to be received and create one single net payment due to or from the Fund. | |
At March 31, 2022, the Funds did not have any securities on loan, |
A. | Futures Contracts |
A futures contract is an agreement between two parties to purchase (long) or sell (short) a security at a set price for delivery on a future date. Upon entering into a futures contract, a Fund is required to pledge to the broker an amount of cash and/or securities equal to the “initial margin” requirements of the futures exchange on which the contract is traded. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by a Fund for financial statement purposes on a daily basis as unrealized appreciation or depreciation. When the contract expires or is closed, gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed is realized. This is presented in the Statement of Operations as net realized gain (loss) from future contracts. | |
During the period ended March 31, 2022, FORT Trend Fund utilized futures to optimize performance by gaining exposure to broad markets or to hedge the risk of securities within the portfolios. The potential risks of doing so are that 1) the use of futures may result in larger losses or smaller gains than the use of more traditional investments, 2) the prices of futures and the price movements of the securities that the future is intended to simulate may not correlate well, 3) the Fund’s success in using futures will be dependent upon the subadviser’s ability to correctly predict such price movements, 4) liquidity of futures can be adversely affected by market factors, and the prices of such securities may move in unexpected ways, and 5) if the Fund cannot close out a futures position, it may be compelled to continue to make daily cash payments to the broker to meet margin requirements, thus increasing transaction costs. Futures contracts outstanding at period end are listed after the Fund’s Consolidated Schedule of Investments. Cash deposited as margin is recorded on the Consolidated Statements of Assets and Liabilities as “Cash pledged as collateral for futures contracts.” | |
The following is a summary of derivative instruments categorized by primary risk exposure, presented in the Statements of Assets and Liabilities at March 31, 2022: |
Primary Risk | FORT Trend Fund | ||
Asset Derivatives | |||
Commodity contracts | Variation margin payable on futures contracts(1) | $ 253 | |
Equity contracts | Variation margin payable on futures contracts(1) | 1,750 | |
Foreign currency exchange contracts | Variation margin payable on futures contracts(1) | 75 | |
Interest rate contracts | Variation margin payable on futures contracts(1) | 2,447 | |
Total | $ 4,525 | ||
Liability Derivatives | |||
Commodity contracts | Variation margin payable on futures contracts(1) | $ (753) | |
Equity contracts | Variation margin payable on futures contracts(1) | (63) | |
Foreign currency exchange contracts | Variation margin payable on futures contracts(1) | (17) | |
Interest rate contracts | Variation margin payable on futures contracts(1) | (447) | |
Total | $(1,280) |
(1) | Includes cumulative appreciation (depreciation) on futures contracts as reported in the Consolidated Schedule of Investments. Current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
Primary Risk | FORT Trend Fund | |
Net Realized Gain (Loss) From | ||
Commodity contracts | Futures (1) | $ 10,294 |
Equity contracts | Futures (1) | (5,629) |
Foreign currency contracts | Futures (1) | 472 |
Interest rate contracts | Futures (1) | (6,844) |
Total | $ (1,707) | |
Net Change in Unrealized Appreciation/Depreciation on | ||
Commodity contracts | Futures (2) | $ (1,389) |
Equity contracts | Futures (2) | 3,803 |
Foreign currency contracts | Futures (2) | (143) |
Interest rate contracts | Futures (2) | 3,389 |
Total | $ 5,660 |
(1)Included in net realized gain (loss) from futures within the Consolidated Statement of Operations. |
(2)Included in net change in unrealized appreciation (depreciation) from futures within the Consolidated Statement of Operations. |
FORT Trend Fund | |
Futures Contracts - Long Positions(1) | $(1,108) |
Futures Contracts - Short Positions(1) | 833 |
(1) Average unrealized for the period. |
B. | Derivative Risks |
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract. | |
A Fund’s risk of loss from counterparty credit risk on derivatives bought or sold OTC rather than traded on a securities exchange, is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund. For OTC purchased options, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by a Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty to perform. | |
With exchange traded futures, generally speaking, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund. | |
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, each Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty. |
C. | Collateral Requirements and Master Netting Agreements (“MNA”) |
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. | |
Cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. | |
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. | |
The following tables present the FORT Trend Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral received/pledged by the Funds as of March 31, 2022: |
At March 31, 2022, the Fund’s derivative assets and liabilities (by type) are as follows: | |||||
FORT Trend Fund | |||||
Assets | Liabilities | ||||
Derivative Financial Instruments: | |||||
Futures contracts | $— | $ 1,822 | |||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | $— | $ 1,822 | |||
Derivatives not subject to a MNA or similar agreement | — | (1,822) | |||
Total assets and liabilities subject to a MNA | $— | $ — |
A. | Investment Adviser |
Virtus Investment Advisers, Inc. is the investment adviser to the Funds, with the exception of the FORT Trend Fund, which is advised by Virtus Alternative Investment Advisers, Inc. (each an “Adviser” and collectively, the “Advisers”). Each Adviser is an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”). Each Adviser manages the applicable Funds’ investment programs and general operations of the Funds, including oversight of the Funds’ subadvisers. | |
As compensation for its services to the Funds, the applicable Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets (except as otherwise noted) of each Fund: |
First $1 Billion | $1+ Billion | ||
FORT Trend Fund | 1.00 % | 0.95 % | |
KAR Developing Markets Fund | 1.00 | 0.95 | |
KAR Emerging Markets Small-Cap Fund | 1.20 | 1.15 | |
Vontobel Emerging Markets Opportunities Fund | 1.00 | 0.95 | |
Vontobel Greater European Opportunities Fund | 0.85 | 0.80 |
First $1 Billion | $1+ Billion through $2 Billion | $2+ Billion | |||
Duff & Phelps Global Infrastructure Fund | 0.65 % | 0.60 % | 0.55 % | ||
Duff & Phelps Global Real Estate Securities Fund | 0.85 | 0.80 | 0.75 | ||
Duff & Phelps International Real Estate Securities Fund | 1.00 | 0.95 | 0.90 | ||
Duff & Phelps Real Estate Securities Fund | 0.75 | 0.70 | 0.65 | ||
Vontobel Global Opportunities Fund | 0.85 | 0.80 | 0.75 |
First $2 Billion | $2+ Billion through $4 Billion | $4+ Billion | |||
Vontobel Foreign Opportunities Fund | 0.85 % | 0.80 % | 0.75 % |
First $3 billion | $3+ Billion | ||
KAR International Small-Mid Cap Fund | 0.90 % | 0.85 % |
B. | Subadvisers |
The subadvisers manage the investments of each Fund for which they are paid a fee by the applicable Adviser. A list of the subadvisers and the Funds they serve as of the end of the period is as follows: |
Fund | Subadviser | |
Duff & Phelps Global Infrastructure Fund | DPIM(1) | |
Duff & Phelps Global Real Estate Securities Fund | DPIM(1) | |
Duff & Phelps International Real Estate Securities Fund | DPIM(1) | |
Duff & Phelps Real Asset Fund | DPIM(1) | |
Duff & Phelps Real Estate Securities Fund | DPIM(1) | |
FORT Trend Fund | FORT(2) | |
KAR Developing Markets Fund | KAR(3) | |
KAR Emerging Markets Small-Cap Fund | KAR(3) | |
KAR International Small-Mid Cap Fund | KAR(3) | |
Vontobel Emerging Markets Opportunities Fund | Vontobel(4) | |
Vontobel Foreign Opportunities Fund | Vontobel(4) | |
Vontobel Global Opportunities Fund | Vontobel(4) | |
Vontobel Greater European Opportunities Fund | Vontobel(4) |
(1) | Duff & Phelps Investment Management Co. (“DPIM”), an indirect, wholly-owned subsidiary of Virtus. |
(2) | FORT, LP (“FORT”). |
(3) | Kayne Anderson Rudnick Investment Management, LLC (“KAR”), an indirect, wholly-owned subsidiary of Virtus. |
(4) | Vontobel Asset Management, Inc. (“Vontobel”). |
C. | Expense Limitations |
Each Adviser has contractually agreed to limit certain Funds’ annual total operating expenses subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through January 31, 2023. Following the contractual period, the Adviser may discontinue these expense limitation arrangements at any time. The waivers and reimbursements are accrued daily and received monthly. |
Fund | Class A | Class C | Class I | Class R6 | ||||
Duff & Phelps Global Infrastructure Fund | N/A % | N/A % | N/A % | 0.85 % | ||||
Duff & Phelps Global Real Estate Securities Fund | 1.40 | 2.15 (1) | 1.15 (1) | 0.89 | ||||
Duff & Phelps International Real Estate Securities Fund | 1.50 | 2.25 | 1.25 | N/A | ||||
Duff & Phelps Real Asset Fund | N/A | N/A | N/A | 0.20 (2) | ||||
Duff & Phelps Real Estate Securities Fund | N/A | N/A | N/A | 0.79 | ||||
FORT Trend Fund | 1.60 (1) | 2.35 | 1.35 (1) | 1.26 (1) | ||||
KAR Developing Markets Fund | 1.55 | 2.30 | 1.30 | 1.22 | ||||
KAR Emerging Markets Small-Cap Fund(3) | 1.79 (1) | 2.53 (1) | 1.50 | 1.40 | ||||
KAR International Small-Mid Cap Fund | 1.45 (1) | 2.20 (1) | 1.20 (1) | 1.10 (1) | ||||
Vontobel Emerging Markets Opportunities Fund | N/A | N/A | N/A | 0.98 | ||||
Vontobel Foreign Opportunities Fund | 1.39 (1) | 2.05 | 1.07 | 0.95 | ||||
Vontobel Global Opportunities Fund | 1.36 | 2.11 | 1.09 | 0.90 | ||||
Vontobel Greater European Opportunities Fund | 1.40 | 2.15 | 1.15 | N/A |
(1) | The share class is currently below its expense cap. |
(2) | Effective February 1, 2022. |
(3) | Effective December 1, 2021. For the period October 1, 2021 through November 30, 2021, the expense caps were as follows for Class A shares, Class C shares, Class I shares and Class R6 shares, respectively: 1.85%, 2.60%, 1.60% and 1.50%. |
D. | Expense Recapture |
Under certain conditions, each Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Fund must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the period ending March 31: |
Expiration | ||||||||||
Fund | 2022 | 2023 | 2024 | 2025 | Total | |||||
Duff & Phelps Global Infrastructure Fund | ||||||||||
Class R6 | $ 2 | $ 9 | $ 6 | $ 3 | $ 20 | |||||
Duff & Phelps Global Real Estate Securities Fund | ||||||||||
Class A | 124 | 251 | 296 | 149 | 820 | |||||
Class C | 2 | 3 | 2 | — | 7 | |||||
Class I | 5 | 16 | 34 | — | 55 | |||||
Class R6 | 2 | 46 | 100 | 66 | 214 | |||||
Duff & Phelps International Real Estate Securities Fund | ||||||||||
Class A | 2 | 5 | 7 | 4 | 18 | |||||
Class C | 1 | 2 | 1 | — | 4 | |||||
Class I | 44 | 100 | 72 | 32 | 248 | |||||
Duff & Phelps Real Asset Fund | ||||||||||
Class R6 | — | — | — | — (1) | — | |||||
Duff & Phelps Real Estate Securities Fund | ||||||||||
Class R6 | 18 | 64 | 193 | 115 | 390 | |||||
FORT Trend Fund | ||||||||||
Class A | — | — | 17 | — (1) | 17 | |||||
Class C | — | — | 18 | 3 | 21 | |||||
Class I | — | — | 8 | — | 8 | |||||
Class R6 | — | — | — (1) | — (1) | — | |||||
KAR Developing Markets Fund | ||||||||||
Class A | — | — | 3 | 1 | 4 | |||||
Class C | — | — | 3 | 2 | 5 | |||||
Class I | — | — | 3 | 2 | 5 | |||||
Class R6 | — | — | 80 | 41 | 121 | |||||
KAR Emerging Markets Small-Cap Fund | ||||||||||
Class A | — | — | 1 | 1 | 2 | |||||
Class I | — | — | — | 6 | 6 | |||||
KAR International Small-Mid Cap Fund | ||||||||||
Class C | — | — | — (1) | — | — | |||||
Vontobel Emerging Markets Opportunities Fund | ||||||||||
Class R6 | 86 | 241 | 343 | 128 | 798 | |||||
Vontobel Foreign Opportunities Fund | ||||||||||
Class A | 36 | 77 | 25 | — (1) | 138 | |||||
Class C | 15 | 25 | 18 | 6 | 64 | |||||
Class I | 203 | 415 | 343 | 147 | 1,108 | |||||
Class R6 | 27 | 68 | 62 | 28 | 185 | |||||
Vontobel Global Opportunities Fund | ||||||||||
Class A | 20 | 52 | 38 | 11 | 121 | |||||
Class C | 6 | 4 | 6 | 1 | 17 | |||||
Class I | 42 | 109 | 78 | 33 | 262 | |||||
Class R6 | 53 | 134 | 136 | 65 | 388 |
Expiration | ||||||||||
Fund | 2022 | 2023 | 2024 | 2025 | Total | |||||
Vontobel Greater European Opportunities Fund | ||||||||||
Class A | $ 17 | $ 29 | $ 20 | $ 11 | $ 77 | |||||
Class C | 6 | 10 | 5 | 1 | 22 | |||||
Class I | 20 | 47 | 50 | 23 | 140 |
(1) | Amount is less than $500. |
Fund | Class A | Class C | Class I | Class R6 | Total | |||||
Duff & Phelps Global Real Estate Securities Fund | $ — | $ 1 | $78 | $— | $ 79 | |||||
FORT Trend Fund | 13 | 3 | — | — (1) | 16 | |||||
KAR Emerging Markets Small-Cap Fund | 7 | — (1) | — | — | 7 | |||||
KAR International Small-Mid Cap Fund | — (1) | — (1) | — (1) | — (1) | — | |||||
Vontobel Foreign Opportunities Fund | 8 | — | — | — | 8 |
(1) | Amount is less than $500. |
E. | Distributor |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Fund’s shares. VP Distributors has advised the Funds that for the six months (the “period”) ended March 31, 2022, it retained net commissions of $27 for Class A shares and CDSC of $5 and $13 for Class A shares and Class C shares, respectively. | |
In addition, each Fund pays VP Distributors 12b-1 fees under a 12b-1 Plan as a percentage of the average daily net assets of each respective class at the annual rates of 0.25%(1) for Class A shares and 1.00%(1)(2) for Class C shares. Class I shares and Class R6 shares are not subject to a 12b-1 Plan. | |
Under certain circumstances, shares of certain Virtus Mutual Funds may be exchanged for shares of the same class of certain other Virtus Mutual Funds on the basis of the relative NAV per share at the time of the exchange. On exchanges with share classes that carry a CDSC, the CDSC schedule of the original shares purchased continues to apply. |
F. | Administrator and Transfer Agent |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator and transfer agent to the Funds. | |
For the period ended March 31, 2022, the Funds incurred administration fees totaling $4,550 which are included in the Statements of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
For the period ended March 31, 2022, the Funds incurred transfer agent fees totaling $2,028 which are included in the Statements of Operations within the line item “Transfer agent fees and expenses.” The fees are calculated daily and paid monthly. | |
G. | Affiliated Shareholders |
At March 31, 2022, Virtus and its affiliates held shares of the following Fund, which may be redeemed at any time, that aggregated to the following: |
Shares | Aggregate Net Asset Value | ||
KAR Developing Markets Fund | |||
Class A | 10,000 | $ 83,800 | |
Class C | 10,000 | 83,400 | |
Class I | 10,000 | 83,900 | |
Class R6 | 323,141 | 2,714,384 |
H. | Investments with Affiliates |
The Funds are permitted to purchase assets from or sell assets to certain related affiliates under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common |
Trustees and/or common officers comply with Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. During the period ended March 31, 2022, the Funds did not engage in any transactions pursuant to Rule 17a-7 under the 1940 Act. | |
A summary of the Duff & Phelps Real Asset Fund’s total long-term and short-term purchases and sales of the respective shares of the affiliated underlying funds(1) during the period ended March 31, 2022, is as follows: |
Value, beginning of period | Purchases (2) | Sales proceeds | Net realized gain (loss) on affiliated fund | Net change in unrealized appreciation (depreciation) on affiliated fund | Value, end of period | Shares | Dividend income | Distributions of realized gains | |||||||||
Duff & Phelps Real Asset Fund | |||||||||||||||||
Affiliated Mutual Funds—60.7% | |||||||||||||||||
Equity Funds—56.3% | |||||||||||||||||
Virtus Duff & Phelps Global Infrastructure Fund Class R6 | $ 5,141 | $ 531 | $ 192 | $ 2 | $ 351 | $ 5,833 | 338,374 | $ 35 | $— | ||||||||
Virtus Duff & Phelps Global Real Estate Securities Fund Class R6 | 5,108 | 310 | 235 | 16 | 146 | 5,345 | 135,393 | 93 | — | ||||||||
Virtus Duff & Phelps Select MLP and Energy Fund Class I | 3,134 | 155 | 400 | 34 | 723 | 3,646 | 331,416 | 29 (3) | — | ||||||||
Fixed Income Fund—4.4% | |||||||||||||||||
Virtus Newfleet Senior Floating Rate Fund Class R6 | 1,388 | 21 | 245 | 19 | (37) | 1,146 | 129,290 | — | — | ||||||||
Total | $14,771 | $1,017 | $1,072 | $71 | $1,183 | $15,970 | $ 157 | $— |
Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) on affiliated securities | Net change in unrealized appreciation (depreciation) on affiliated securities | Value, end of period | Shares | Dividend income | Distributions of realized gains | |||||||||
KAR Emerging Markets Small-Cap Fund | |||||||||||||||||
Common Stocks—14.0% | |||||||||||||||||
Tegma Gestao Logistica S.A. | $14,637 | $1,327 | $— | $— | $2,805 | $18,769 | 5,350,944 | $229 | $— | ||||||||
Union Auction PCL | 10,393 | — | — | — | 611 | 11,004 | 38,012,000 | — | — | ||||||||
Vasta Platform Ltd.(4) | 5,755 | 2,299 | — | — | 2,890 | 10,944 | 1,913,275 | — | — | ||||||||
Younglimwon Soft Lab Co. Ltd. | 3,483 | — | — | — | (5) | 3,478 | 407,309 | 38 | — | ||||||||
Total | $34,268 | $3,626 | $— | $— | $6,301 | $44,195 | $267 | $— |
Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) on affiliated securities | Net change in unrealized appreciation (depreciation) on affiliated securities(5) | Value, end of period | Shares | Dividend income | Distributions of realized gains | |||||||||
KAR International Small-Mid Cap Fund | |||||||||||||||||
Common Stocks—17.2% | |||||||||||||||||
Baltic Classifieds Group plc(4) | $ 87,824 | $ — | $ 11,027 | $ 2,208 | $(24,611) | $ 54,394 | 30,179,315 | $ — | $— | ||||||||
Bouvet ASA | 56,573 | 476 | 5,539 | 516 | 9,789 | 61,815 | 7,801,702 | 488 | — | ||||||||
Brockhaus Technologies AG(4) | 19,504 | 438 | — | — | (3,186) | 16,756 | 774,496 | — | — | ||||||||
Computer Modelling Group Ltd.(6) | 21,030 | — | 19,595 | (11,367) | 9,932 | — | — | 166 | — | ||||||||
Fineos Corp., Ltd.(4) | 50,851 | 134 | — | — | (21,368) | 29,617 | 16,400,880 | — | — | ||||||||
HeadHunter Group plc(7) | 158,659 | — | — | — | — | — | — | — | — | ||||||||
Lumax International Corp., Ltd. | 19,331 | — | 2,549 | 435 | 578 | 17,795 | 6,839,259 | — | — | ||||||||
MarkLines Co., Ltd.(6) | 30,398 | 251 | 27,364 | 9,613 | (12,898) | — | — | 109 | — | ||||||||
Max Stock Ltd. | 30,894 | 518 | — | — | (8,007) | 23,405 | 8,799,684 | — | — | ||||||||
Mortgage Advice Bureau Holdings Ltd. | 80,310 | 302 | 21,150 | 12,113 | (10,357) | 61,218 | 4,072,919 | — | — | ||||||||
Pason Systems, Inc. | 61,070 | 749 | 38,131 | (12,281) | 52,879 | 64,286 | 5,249,294 | 686 | — | ||||||||
Redbubble Ltd.(6) | 72,019 | 867 | 28,990 | (58,619) | 14,723 | — | — | — | — | ||||||||
Sabre Insurance Group plc | 57,188 | 482 | 4,783 | (1,298) | 2,760 | 54,349 | 17,895,415 | — | — | ||||||||
Total | $745,651 | $4,217 | $159,128 | $(58,680) | $ 10,234 | $383,635 | $1,449 | $— |
(1) | The Duff & Phelps Real Asset Fund does not invest in the underlying funds for the purpose of exercising management or control; however, investments made by the Fund within each of its principal investment strategies may represent a significant portion of an underlying fund’s net assets. At March 31, 2022, the Fund was the owner of record of 12% of the Virtus Duff & Phelps Select MLP and Energy Fund Class I and the owner of record of less than 10% of all other affiliated underlying funds. |
(2) | Includes reinvested dividends from income and capital gain distributions. |
(3) | Includes return of capital dividend reclassification in the amount of $80, relating to a prior year dividend which exceeded the aggregate of dividend income earned during the current year. |
(4) | Non-income producing. |
(5) | Does not tie to Net change in unrealized appreciation (depreciation) on Investment in affiliates on the Statements of Operations as a result of previously affiliated securities moving to unaffiliated. |
(6) | Security was not an investment of the Fund at December 31, 2021. |
(7) | Issuer is not an affiliated investment of the Fund at March 31,2022. |
I. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statements of Assets and Liabilities at March 31, 2022. |
Purchases | Sales | ||
Duff & Phelps Global Infrastructure Fund | $ 14,781 | $ 17,757 | |
Duff & Phelps Global Real Estate Securities Fund | 65,392 | 28,408 | |
Duff & Phelps International Real Estate Securities Fund | 5,669 | 5,300 |
Purchases | Sales | ||
Duff & Phelps Real Asset Fund | $ 2,165 | $ 1,729 | |
Duff & Phelps Real Estate Securities Fund | 27,547 | 70,701 | |
KAR Developing Markets Fund | 748 | 163 | |
KAR Emerging Markets Small-Cap Fund | 38,945 | 64,352 | |
KAR International Small-Mid Cap Fund | 387,133 | 654,102 | |
Vontobel Emerging Markets Opportunities Fund | 1,029,525 | 2,430,101 | |
Vontobel Foreign Opportunities Fund | 289,161 | 406,313 | |
Vontobel Global Opportunities Fund | 77,910 | 147,790 | |
Vontobel Greater European Opportunities Fund | 1,071 | 1,641 |
Duff & Phelps Global Infrastructure Fund | Duff & Phelps Global Real Estate Securities Fund | ||||||||||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 121 | $ 2,004 | 418 | $ 6,664 | 127 | $ 5,222 | 225 | $ 8,105 | |||||||
Reinvestment of distributions | 104 | 1,685 | 43 | 672 | 16 | 653 | — | — | |||||||
Shares repurchased and cross class conversions | (144) | (2,373) | (566) | (9,251) | (97) | (3,980) | (168) | (5,987) | |||||||
Net Increase / (Decrease) | 81 | $ 1,316 | (105) | $ (1,915) | 46 | $ 1,895 | 57 | $ 2,118 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 19 | $ 308 | 45 | $ 717 | 64 | $ 2,414 | 18 | $ 631 | |||||||
Reinvestment of distributions | 17 | 268 | 9 | 132 | 3 | 132 | — | — | |||||||
Shares repurchased and cross class conversions | (65) | (1,056) | (389) | (6,136) | (19) | (714) | (93) | (3,061) | |||||||
Net Increase / (Decrease) | (29) | $ (480) | (335) | $ (5,287) | 48 | $ 1,832 | (75) | $ (2,430) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 219 | $ 3,605 | 588 | $ 9,594 | 1,799 | $ 71,194 | 4,949 | $ 176,493 | |||||||
Reinvestment of distributions | 138 | 2,250 | 57 | 898 | 298 | 11,968 | 30 | 952 | |||||||
Shares repurchased and cross class conversions | (342) | (5,617) | (466) | (7,435) | (1,087) | (42,822) | (1,797) | (59,799) | |||||||
Net Increase / (Decrease) | 15 | $ 238 | 179 | $ 3,057 | 1,010 | $ 40,340 | 3,182 | $ 117,646 | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 66 | $ 1,102 | 103 | $ 1,639 | 252 | $ 9,823 | 554 | $ 21,628 | |||||||
Reinvestment of distributions | 37 | 603 | 16 | 252 | 85 | 3,414 | 13 | 402 | |||||||
Shares repurchased and cross class conversions | (42) | (694) | (87) | (1,348) | (107) | (4,243) | (100) | (3,404) | |||||||
Net Increase / (Decrease) | 61 | $ 1,011 | 32 | $ 543 | 230 | $ 8,994 | 467 | $ 18,626 |
Duff & Phelps International Real Estate Securities Fund | Duff & Phelps Real Asset Fund | ||||||||||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 13 | $ 107 | 257 | $ 2,153 | 49 | $ 674 | 42 | $ 494 | |||||||
Reinvestment of distributions | 6 | 51 | — | — | 6 | 84 | 7 | 75 | |||||||
Shares repurchased and cross class conversions | (73) | (579) | (83) | (664) | (110) | (1,449) | (224) | (2,587) | |||||||
Net Increase / (Decrease) | (54) | $ (421) | 174 | $ 1,489 | (55) | $ (691) | (175) | $ (2,018) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | — (1) | $ 4 | — | $ 2 | 41 | $ 559 | 8 | $ 96 | |||||||
Reinvestment of distributions | — | — | — | — | — (1) | 3 | — | — | |||||||
Shares repurchased and cross class conversions | (5) | (40) | (44) | (343) | (8) | (110) | (33) | (382) | |||||||
Net Increase / (Decrease) | (5) | $ (36) | (44) | $ (341) | 33 | $ 452 | (25) | $ (286) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 338 | $ 2,720 | 2,641 | $ 22,626 | 170 | $ 2,262 | 90 | $ 1,068 | |||||||
Reinvestment of distributions | 64 | 516 | — | 1 | 6 | 83 | 7 | 79 | |||||||
Shares repurchased and cross class conversions | (330) | (2,655) | (2,635) | (22,170) | (129) | (1,693) | (199) | (2,262) | |||||||
Net Increase / (Decrease) | 72 | $ 581 | 6 | $ 457 | 47 | $ 652 | (102) | $ (1,115) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | — | $ — | — | $ — | 8 | $ 100 | — | $ — | |||||||
Net Increase / (Decrease) | — | $ — | — | $ — | 8 | $ 100 | — | $ — |
Duff & Phelps Real Estate Securities Fund | FORT Trend Fund | ||||||||||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 527 | $ 14,180 | 922 | $ 20,837 | 421 | $ 6,293 | 2,365 | $ 34,548 | |||||||
Reinvestment of distributions | 195 | 5,335 | 363 | 7,462 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (996) | (26,453) | (6,641) | (136,442) | (672) | (10,038) | (2,013) | (29,460) | |||||||
Net Increase / (Decrease) | (274) | $ (6,938) | (5,356) | $ (108,143) | (251) | $ (3,745) | 352 | $ 5,088 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 30 | $ 798 | 44 | $ 1,016 | 6 | $ 78 | 13 | $ 183 | |||||||
Reinvestment of distributions | 8 | 222 | 17 | 350 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (40) | (1,063) | (198) | (4,310) | (544) | (7,588) | (3,249) | (44,616) | |||||||
Net Increase / (Decrease) | (2) | $ (43) | (137) | $ (2,944) | (538) | $ (7,510) | (3,236) | $ (44,433) |
Duff & Phelps Real Estate Securities Fund | FORT Trend Fund | ||||||||||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 1,596 | $ 42,058 | 2,089 | $ 47,868 | 120 | $ 1,827 | 213 | $ 3,186 | |||||||
Reinvestment of distributions | 349 | 9,503 | 614 | 12,625 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (1,680) | (44,545) | (7,797) | (159,936) | (333) | (5,083) | (907) | (13,488) | |||||||
Net Increase / (Decrease) | 265 | $ 7,016 | (5,094) | $ (99,443) | (213) | $ (3,256) | (694) | $ (10,302) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 1,037 | $ 27,766 | 4,715 | $ 93,514 | — (1) | $ 6 | 1 | $ 18 | |||||||
Reinvestment of distributions | 239 | 6,529 | 372 | 7,726 | — | — | — | — | |||||||
Shares repurchased and cross class conversions | (1,276) | (33,841) | (1,332) | (30,040) | (—) (1) | (1) | (4) | (58) | |||||||
Net Increase / (Decrease) | — | $ 454 | 3,755 | $ 71,200 | — (1) | $ 5 | (3) | $ (40) |
KAR Developing Markets Fund | KAR Emerging Markets Small-Cap Fund | ||||||||||||||
Six Months Ended March 31, 2022 (Unaudited) | From Inception June 22, 2021 to September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | — (1) | $ 2 | 10 | $ 100 | 537 | $ 8,200 | 1,477 | $ 24,995 | |||||||
Reinvestment of distributions | — | — | — | — | 277 | 4,301 | 30 | 503 | |||||||
Shares repurchased and cross class conversions | — | — | (—) (1) | (—) (2) | (1,139) | (17,088) | (914) | (15,781) | |||||||
Net Increase / (Decrease) | — (1) | $ 2 | 10 | $ 100 | (325) | $ (4,587) | 593 | $ 9,717 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | — | $ — | 10 | $ 100 | 20 | $ 301 | 85 | $ 1,459 | |||||||
Reinvestment of distributions | — | — | — | — | 11 | 175 | 1 | 10 | |||||||
Shares repurchased and cross class conversions | — | — | (—) (1) | (—) (2) | (19) | (285) | (22) | (380) | |||||||
Net Increase / (Decrease) | — | $ — | 10 | $ 100 | 12 | $ 191 | 64 | $ 1,089 | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 2 | $ 12 | 10 | $ 100 | 4,971 | $ 76,965 | 12,097 | $ 210,349 | |||||||
Reinvestment of distributions | — (1) | — (2) | — | — | 1,765 | 27,465 | 161 | 2,693 | |||||||
Shares repurchased and cross class conversions | — | — | (—) (1) | (—) (2) | (7,413) | (109,889) | (3,950) | (68,374) | |||||||
Net Increase / (Decrease) | 2 | $ 12 | 10 | $ 100 | (677) | $ (5,459) | 8,308 | $ 144,668 |
KAR Developing Markets Fund | KAR Emerging Markets Small-Cap Fund | ||||||||||||||
Six Months Ended March 31, 2022 (Unaudited) | From Inception June 22, 2021 to September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 53 | $ 433 | 270 | $ 2,700 | 28 | $ 372 | 61 | $ 1,061 | |||||||
Reinvestment of distributions | — | — | — | — | 6 | 87 | — (1) | — (2) | |||||||
Shares repurchased and cross class conversions | — | — | (—) (1) | (—) (2) | (5) | (74) | (—) (1) | (4) | |||||||
Net Increase / (Decrease) | 53 | $ 433 | 270 | $ 2,700 | 29 | $ 385 | 61 | $ 1,057 |
KAR International Small-Mid Cap Fund | Vontobel Emerging Markets Opportunities Fund | ||||||||||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 449 | $ 9,548 | 1,193 | $ 27,780 | 4,321 | $ 44,762 | 8,916 | $ 115,145 | |||||||
Shares issued-merger (See Note 13) | 24 | 607 | — | — | — | — | — | — | |||||||
Reinvestment of distributions | 324 | 7,192 | 37 | 830 | 5,927 | 56,364 | 96 | 1,203 | |||||||
Shares repurchased and cross class conversions | (870) | (18,424) | (1,249) | (29,032) | (9,627) | (99,021) | (12,105) | (153,034) | |||||||
Net Increase / (Decrease) | (73) | $ (1,077) | (19) | $ (422) | 621 | $ 2,105 | (3,093) | $ (36,686) | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 43 | $ 911 | 250 | $ 5,697 | 110 | $ 1,037 | 661 | $ 8,474 | |||||||
Shares issued-merger (See Note 13) | 12 | 311 | — | — | — | — | — | — | |||||||
Reinvestment of distributions | 128 | 2,793 | 6 | 122 | 1,419 | 12,857 | — | — | |||||||
Shares repurchased and cross class conversions | (147) | (3,048) | (290) | (6,624) | (1,646) | (16,323) | (3,639) | (45,664) | |||||||
Net Increase / (Decrease) | 36 | $ 967 | (34) | $ (805) | (117) | $ (2,429) | (2,978) | $ (37,190) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 19,049 | $ 413,451 | 36,403 | $ 861,402 | 46,133 | $ 474,062 | 63,024 | $ 846,730 | |||||||
Shares issued-merger (See Note 13) | 1,501 | 38,692 | — | — | — | — | — | — | |||||||
Reinvestment of distributions | 8,896 | 198,464 | 1,018 | 23,007 | 58,424 | 581,318 | 2,445 | 31,633 | |||||||
Shares repurchased and cross class conversions | (31,840) | (642,759) | (17,969) | (423,584) | (153,008) | (1,650,208) | (185,409) | (2,426,192) | |||||||
Net Increase / (Decrease) | (2,394) | $ 7,848 | 19,452 | $ 460,825 | (48,451) | $ (594,828) | (119,940) | $ (1,547,829) |
KAR International Small-Mid Cap Fund | Vontobel Emerging Markets Opportunities Fund | ||||||||||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 1,396 | $ 30,687 | 8,311 | $ 187,350 | 2,314 | $ 23,999 | 4,736 | $ 63,725 | |||||||
Shares issued-merger (See Note 13) | 171 | 4,417 | — | — | — | — | — | — | |||||||
Reinvestment of distributions | 832 | 18,561 | 88 | 1,989 | 2,328 | 23,279 | 98 | 1,270 | |||||||
Shares repurchased and cross class conversions | (2,045) | (41,190) | (1,155) | (28,168) | (6,759) | (76,799) | (5,912) | (77,966) | |||||||
Net Increase / (Decrease) | 354 | $ 12,475 | 7,244 | $ 161,171 | (2,117) | $ (29,521) | (1,078) | $ (12,971) |
Vontobel Foreign Opportunities Fund | Vontobel Global Opportunities Fund | ||||||||||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold and cross class conversions | 607 | $ 18,138 | 945 | $ 31,405 | 206 | $ 4,053 | 746 | $ 15,288 | |||||||
Reinvestment of distributions | 1,291 | 36,977 | 349 | 11,130 | 1,077 | 20,114 | 112 | 2,200 | |||||||
Shares repurchased and cross class conversions | (688) | (20,473) | (996) | (33,278) | (623) | (12,273) | (726) | (15,131) | |||||||
Net Increase / (Decrease) | 1,210 | $ 34,642 | 298 | $ 9,257 | 660 | $ 11,894 | 132 | $ 2,357 | |||||||
Class C | |||||||||||||||
Shares sold and cross class conversions | 10 | $ 278 | 33 | $ 1,060 | 29 | $ 445 | 143 | $ 2,378 | |||||||
Reinvestment of distributions | 117 | 3,149 | 67 | 2,045 | 246 | 3,551 | 41 | 658 | |||||||
Shares repurchased and cross class conversions | (180) | (5,104) | (550) | (17,446) | (328) | (5,182) | (724) | (12,097) | |||||||
Net Increase / (Decrease) | (53) | $ (1,677) | (450) | $ (14,341) | (53) | $ (1,186) | (540) | $ (9,061) | |||||||
Class I | |||||||||||||||
Shares sold and cross class conversions | 3,129 | $ 91,312 | 3,691 | $ 124,022 | 636 | $ 12,321 | 1,947 | $ 40,142 | |||||||
Reinvestment of distributions | 5,212 | 149,580 | 1,683 | 53,587 | 1,363 | 25,593 | 172 | 3,388 | |||||||
Shares repurchased and cross class conversions | (6,506) | (184,779) | (7,139) | (240,109) | (2,573) | (52,738) | (2,096) | (44,248) | |||||||
Net Increase / (Decrease) | 1,835 | $ 56,113 | (1,765) | $ (62,500) | (574) | $ (14,824) | 23 | $ (718) | |||||||
Class R6 | |||||||||||||||
Shares sold and cross class conversions | 343 | $ 9,839 | 612 | $ 20,010 | 271 | $ 5,078 | 621 | $ 12,866 | |||||||
Reinvestment of distributions | 399 | 11,478 | 171 | 5,460 | 824 | 15,552 | 86 | 1,700 | |||||||
Shares repurchased and cross class conversions | (245) | (7,908) | (1,548) | (51,100) | (1,090) | (18,326) | (1,386) | (28,851) | |||||||
Net Increase / (Decrease) | 497 | $ 13,409 | (765) | $ (25,630) | 5 | $ 2,304 | (679) | $ (14,285) |
Vontobel Greater European Opportunities Fund | |||||||
Six Months Ended March 31, 2022 (Unaudited) | Year Ended September 30, 2021 | ||||||
SHARES | AMOUNT | SHARES | AMOUNT | ||||
Class A | |||||||
Shares sold and cross class conversions | 34 | $ 432 | 118 | $ 1,451 | |||
Reinvestment of distributions | 9 | 114 | 6 | 66 | |||
Shares repurchased and cross class conversions | (46) | (577) | (37) | (457) | |||
Net Increase / (Decrease) | (3) | $ (31) | 87 | $ 1,060 | |||
Class C | |||||||
Shares sold and cross class conversions | — (1) | $ 1 | 13 | $ 148 | |||
Reinvestment of distributions | 1 | 15 | 2 | 25 | |||
Shares repurchased and cross class conversions | (4) | (51) | (24) | (282) | |||
Net Increase / (Decrease) | (3) | $ (35) | (9) | $ (109) | |||
Class I | |||||||
Shares sold and cross class conversions | 27 | $ 330 | 295 | $ 3,463 | |||
Reinvestment of distributions | 21 | 275 | 19 | 220 | |||
Shares repurchased and cross class conversions | (57) | (676) | (40) | (483) | |||
Net Increase / (Decrease) | (9) | $ (71) | 274 | $ 3,200 |
(1) | Amount is less than 500 shares. |
(2) | Amount is less than $500. |
% of Shares Outstanding | Number of Accounts | ||
Duff & Phelps Global Infrastructure Fund | 22% | 2 | |
Duff & Phelps Global Real Estate Securities Fund | 49 | 2 | |
Duff & Phelps International Real Estate Securities Fund | 74 | 2 | |
Duff & Phelps Real Asset Fund | 26 | 2 | |
Duff & Phelps Real Estate Securities Fund | 26 | 2 | |
FORT Trend Fund | 26 | 2 | |
KAR Developing Markets Fund | 91 | 2 * | |
KAR Emerging Markets Small-Cap Fund | 45 | 2 | |
KAR International Small-Mid Cap Fund | 53 | 4 | |
Vontobel Emerging Markets Opportunities Fund | 35 | 1 | |
Vontobel Foreign Opportunities Fund | 29 | 1 | |
Vontobel Global Opportunities Fund | 15 | 1 | |
Vontobel Greater European Opportunities Fund | 49 | 2 |
* | Includes affiliated shareholder account(s). |
Sector | Percentage of Total Investments | ||
Duff & Phelps Global Infrastructure Fund | Utilities | 42% | |
Duff & Phelps Global Infrastructure Fund | Industrials | 28 | |
Duff & Phelps International Real Estate Securities Fund | Real Estate Operating Companies | 25 | |
Duff & Phelps Real Estate Securities Fund | Residential | 26 | |
Duff & Phelps Real Estate Securities Fund | Industrial/Office | 26 | |
KAR Developing Markets Fund | Industrials | 28 | |
KAR Emerging Markets Small-Cap Fund | Industrials | 36 | |
KAR International Small-Mid Cap Fund | Industrials | 29 | |
Vontobel Emerging Markets Opportunities Fund | Information Technology | 26 | |
Vontobel Foreign Opportunities Fund | Industrials | 30 |
Fund | Interest Incurred on Borrowing | Average Dollar Amount of Borrowing | Weighted Average Interest Rate on Borrowing | Days Loan was Open | ||||
Vontobel Emerging Markets Opportunities Fund | $31 | $81,760 | 1.35% | 10 | ||||
Vontobel Foreign Opportunities Fund | 3 | 14,100 | 1.35 | 5 |
Fund | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Duff & Phelps Global Infrastructure Fund | $ 76,282 | $ 19,955 | $ (724) | $ 19,231 | ||||
Duff & Phelps Global Real Estate Securities Fund | 437,583 | 109,630 | (15,126) | 94,504 | ||||
Duff & Phelps International Real Estate Securities Fund | 31,278 | 4,466 | (2,409) | 2,057 | ||||
Duff & Phelps Real Asset Fund | 26,764 | 9,085 | (9,541) | (456) | ||||
Duff & Phelps Real Estate Securities Fund | 300,820 | 262,821 | — | 262,821 | ||||
FORT Trend Fund | 145,868 | 1,893 | (79) | 1,814 | ||||
KAR Developing Markets Fund | 3,232 | 180 | (473) | (293) | ||||
KAR Emerging Markets Small-Cap Fund | 316,516 | 41,408 | (44,697) | (3,289) | ||||
KAR International Small-Mid Cap Fund | 2,290,655 | 318,822 | (376,256) | (57,434) | ||||
Vontobel Emerging Markets Opportunities Fund | 2,930,584 | 478,442 | (353,047) | 125,395 | ||||
Vontobel Foreign Opportunities Fund | 699,957 | 236,677 | (35,931) | 200,746 | ||||
Vontobel Global Opportunities Fund | 229,097 | 115,746 | (8,606) | 107,140 | ||||
Vontobel Greater European Opportunities Fund | 6,588 | 2,188 | (384) | 1,804 |
Fund | Short-Term | Long-Term | ||
Duff & Phelps International Real Estate Securities Fund | $ 1,527 | $ 1,306 | ||
Duff & Phelps Real Asset Fund | 13,078 | 3,169 | ||
FORT Trend Fund | 406,182 | 262 | ||
Vontobel Emerging Markets Opportunities Fund | 70,059 | 70,342 |
Merged Fund | Shares Outstanding | Shares Converted | Merged Fund Net Asset Value of Converted Shares | |||
Class A Shares | 40,674 | 23,696 | $ 607 | |||
Class C Shares | 20,936 | 12,399 | 311 | |||
Class I Shares | 2,583,429 | 1,501,375 | 38,692 | |||
Class R6 Shares | 294,773 | 171,167 | 4,417 |
Merged Fund Net Assets | Merged Fund Unrealized Appreciation (Depreciation) | Acquiring Fund Net Assets | ||||
$44,027 | $9,371 | $3,237,294 |
Net investment income (loss) | $(1,541)(a) |
Net realized and unrealized gain (loss) on investments | (654,092) (b) |
Net increase (decrease) in net assets resulting from operations | $ (655,633) |
1 Year | 5 Year | 10 Years | |
Class I | |||
Return Before Taxes | 21.17% | 6.35% | 4.47% |
Return After Taxes on Distributions | 20.93% | 5.73% | 4.00% |
Return After Taxes on Distributions and Sale of Fund | 12.70% | 4.78% | 3.44% |
Class A | |||
Return Before Taxes | 14.17% | 4.89% | 3.62% |
Class C | |||
Return Before Taxes | 19.86% | 5.26% | 3.41% |
MSCI All-Country World Index (net) (reflects no deduction for fees, expenses or taxes) | 18.54% | 14.40% | 11.85% |
Prospectuses for future reference.
Mutual Fund Services | 1-800-243-1574 |
Adviser Consulting Group | 1-800-243-4361 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-243-1574.
please contact us at 1-800-243-1574, or visit Virtus.com.
8638 | 05-22 |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) |
(a)(2)(1) | Not applicable. |
(a)(2)(2) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Virtus Opportunities Trust |
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) |
Date 6/2/2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) |
Date 6/2/2022
By (Signature and Title)* | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer | ||
(principal financial officer) |
Date 6/2/2022
* | Print the name and title of each signing officer under his or her signature. |