SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2022 |
Moody’s/ | Principal Amount (000’s) | Value (Note1) | ||||||||
CORPORATE DEBT SECURITIES (75.93%) | ||||||||||
AEROSPACE/DEFENSE (2.03%) | ||||||||||
Boeing Co., Sr. Unsec. Notes, 4.875%, 05/01/25(b) | Baa2/BBB- | $ 1,657 | $ | 1,651,312 | ||||||
Boeing Co., Sr. Unsec. Notes, 5.805%, 05/01/50(b) | Baa2/BBB- | 463 | 428,446 | |||||||
Northrop Grumman Corp., Sr. Unsec. Notes, 3.250%, 01/15/28(b) | Baa1/BBB+ | 620 | 589,621 | |||||||
Northrop Grumman Corp., Sr. Unsec. Notes, 7.750%, 06/01/29 | Baa1/BBB+ | 500 | 594,700 | |||||||
Raytheon Technologies Corp., Sr. Unsec. Notes, 3.750%, 11/01/46(b) | Baa1/A- | 700 | 596,563 | |||||||
|
| |||||||||
3,860,642 | ||||||||||
|
| |||||||||
AGRICULTURE (0.40%) | ||||||||||
Altria Group, Inc., Co. Gty., 4.800%, 02/14/29(b) | A3/BBB | 97 | 92,347 | |||||||
Altria Group, Inc., Co. Gty., 5.950%, 02/14/49(b) | A3/BBB | 329 | 291,413 | |||||||
BAT International Finance PLC, Co. Gty., 1.668%, 03/25/26(b) | Baa2/BBB+ | 425 | 376,514 | |||||||
|
| |||||||||
760,274 | ||||||||||
|
| |||||||||
AIRLINES (3.66%) | ||||||||||
Air Canada, Sr. Sec. Notes, 3.875%, 08/15/26, 144A(b) | Ba2/BB- | 56 | 47,370 | |||||||
Air Canada Pass Through Certs., Series 2020-2, Class A, 5.250%, 04/01/29, 144A | N.A./A | 226 | 225,608 | |||||||
American Airlines Group, Inc. Pass Through Certs., Series 2017-1, Class AA, 3.650%, 02/15/29 | Baa1/NA | 835 | 779,120 | |||||||
American Airlines Group, Inc. Pass Through Certs., Series 2017-2, Class AA, 3.350%, 10/15/29 | Baa1/NA | 1,243 | 1,143,893 | |||||||
American Airlines Group, Inc. Pass Through Certs., Series 2019-1, Class AA, 3.150%, 02/15/32 | Baa1/A- | 726 | 642,589 | |||||||
American Airlines, Inc., Sr. Sec. Notes, 5.500%, 04/20/26, 144A | Ba2/NA | 354 | 325,250 | |||||||
American Airlines, Inc., Sr. Sec. Notes, 5.750%, 04/20/29, 144A | Ba2/NA | 162 | 138,666 | |||||||
British Airways PLC Pass Through Certs., Series 2020-1, Class A, 4.250%, 11/15/32, 144A | N.A./A | 111 | 106,477 | |||||||
Delta Air Lines, Inc., Sr. Sec. Notes, 4.500%, 10/20/25, 144A | Baa1/NA | 120 | 116,669 | |||||||
Delta Air Lines, Inc., Sr. Sec. Notes, 4.750%, 10/20/28, 144A | Baa1/NA | 209 | 197,698 | |||||||
JetBlue Airways Corp. Pass Through Certs., Series 2020-1, Class A, 4.000%, 11/15/32 | A2/NA | 968 | 901,482 | |||||||
United Airlines, Inc., Sr. Sec. Notes, 4.375%, 04/15/26, 144A(b) | Ba1/BB- | 65 | 58,013 | |||||||
United Airlines, Inc., Sr. Sec. Notes, 4.625%, 04/15/29, 144A(b) | Ba1/BB- | 318 | 267,716 | |||||||
United Airlines, Inc. Pass Through Certs., Series 2018-1, Class B, 4.600%, 03/01/26 | Baa3/NA | 613 | 562,232 | |||||||
United Airlines, Inc. Pass Through Certs., Series 2019-1, Class AA, 4.150%, 08/25/31 | A2/NA | 375 | 352,876 | |||||||
United Airlines, Inc. Pass Through Certs., Series 2019-2, Class AA, 2.700%, 05/01/32 | A2/NA | 995 | 849,629 | |||||||
United Airlines, Inc. Pass Through Certs., Series 2020-1, Class A, 5.875%, 10/15/27 | A3/A | 269 | 264,809 | |||||||
|
| |||||||||
6,980,097 | ||||||||||
|
| |||||||||
AUTO MANUFACTURERS (2.83%) | ||||||||||
Ford Holdings LLC, Co. Gty., 9.300%, 03/01/30 | Ba2/BB+ | 1,000 | 1,095,000 | |||||||
Ford Motor Credit Co. LLC, Sr. Unsec. Notes, 3.370%, 11/17/23 | Ba2/BB+ | 500 | 484,890 | |||||||
Ford Motor Credit Co. LLC, Sr. Unsec. Notes, 2.300%, 02/10/25(b) | Ba2/BB+ | 1,199 | 1,075,702 | |||||||
Ford Motor Credit Co. LLC, Sr. Unsec. Notes, 4.542%, 08/01/26(b) | Ba2/BB+ | 1,356 | 1,240,413 | |||||||
General Motors Co., Sr. Unsec. Notes, 6.800%, 10/01/27(b) | Baa3/BBB | 405 | 427,013 | |||||||
General Motors Financial Co., Inc., Sr. Unsec. Notes, 3.600%, 06/21/30(b) | Baa3/BBB | 1,027 | 889,132 | |||||||
Stellantis Finance US, Inc., Co. Gty., 2.691%, 09/15/31, 144A(b) | Baa3/BBB | 221 | 175,444 | |||||||
|
| |||||||||
5,387,594 | ||||||||||
|
| |||||||||
BANKS (11.69%) | ||||||||||
AIB Group PLC, Sr. Unsec. Notes, (3M LIBOR + 1.874%), 4.263%, 04/10/25, 144A(b),(c) | A3/BBB- | 582 | 571,178 | |||||||
Citigroup, Inc., Jr. Sub. Notes, (H15T5Y + 3.597%), 4.000%, 12/10/25(b),(c),(d) | Ba1/BB+ | 635 | 549,275 | |||||||
Citigroup, Inc., Sr. Unsec. Notes, 8.125%, 07/15/39 | A3/BBB+ | 70 | 91,414 | |||||||
Citigroup, Inc., Sr. Unsec. Notes, (3M LIBOR + 1.563%), 3.887%, 01/10/28(b),(c) | A3/BBB+ | 1,100 | 1,059,075 | |||||||
Citigroup, Inc., Sr. Unsec. Notes, (SOFRRATE + 1.887%), 4.658%, 05/24/28(b),(c) | A3/BBB+ | 1,302 | 1,295,449 | |||||||
Citigroup, Inc., Sub. Notes, 4.600%, 03/09/26 | Baa2/BBB | 988 | 990,409 | |||||||
Citigroup, Inc., Sub. Notes, 5.300%, 05/06/44 | Baa2/BBB | 926 | 890,948 | |||||||
Credit Agricole SA, Sub. Notes, (SW5+ 1.644%), 4.000%, 01/10/33, 144A(b),(c) | Baa1/BBB+ | 1,025 | 937,506 | |||||||
Credit Suisse AG, Sr. Unsec. Notes, (SOFRINDX + 1.260%), 2.261%, 02/21/25(e) | A1/A | 1,250 | 1,234,371 | |||||||
Credit Suisse Group AG, Sr. Unsec. Notes, (SOFRRATE + 1.560%), 2.593%, 09/11/25, 144A(b),(c) | Baa1/BBB | 1,242 | 1,169,589 | |||||||
Goldman Sachs Group, Inc., Sr. Unsec. Notes, (3M LIBOR + 1.750%), 2.988%, 10/28/27(b),(e) | A2/BBB+ | 550 | 543,491 | |||||||
HSBC Capital Funding Dollar 1 LP, Co. Gty., (3M LIBOR + 4.980%), 10.176%, 06/30/30, 144A(b),(c),(d) | Baa3/BB+ | 2,180 | 2,953,703 | |||||||
HSBC Holdings PLC, Sr. Unsec. Notes, 4.950%, 03/31/30 | A3/A- | 499 | 494,097 | |||||||
HSBC USA, Inc., Sr. Unsec. Notes, 3.750%, 05/24/24 | A1/A- | 1,955 | 1,945,892 | |||||||
ING Groep NV, Sr. Unsec. Notes, (SOFRRATE + 1.640%), 3.869%, 03/28/26(b),(c) | Baa1/A- | 782 | 766,426 | |||||||
Morgan Stanley, Sub. Notes, 4.350%, 09/08/26 | Baa1/BBB+ | 1,500 | 1,486,353 | |||||||
PNC Financial Services Group, Inc., Jr. Sub. Notes, (3M LIBOR + 3.300%), 5.000%, 11/01/26(b),(c),(d) | Baa2/BBB- | 757 | 678,018 | |||||||
Truist Financial Corp., Jr. Sub. Notes, (H15T5Y + 3.003%), 4.800%, 09/01/24(b),(c),(d) | Baa2/BBB- | 1,136 | 1,016,606 | |||||||
UBS AG, Sub. Notes, 7.625%, 08/17/22 | NA/BBB+ | 2,000 | 2,005,824 | |||||||
Wells Fargo & Co., Jr. Sub. Notes, (H15T5Y + 3.453%), 3.900%, 03/15/26(b),(c),(d) | Baa2/BB+ | 1,162 | 989,030 | |||||||
Westpac Banking Corp., Sub. Notes, (H15T5Y + 1.750%), 2.668%, 11/15/35(b),(c) | Baa1/BBB+ | 753 | 605,033 | |||||||
|
| |||||||||
22,273,687 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
Moody’s/ | Principal Amount (000’s) | Value (Note1) | ||||||||
CORPORATE DEBT SECURITIES (Continued) | ||||||||||
BEVERAGES (0.56%) | ||||||||||
Anheuser-Busch Cos. LLC, Co. Gty., 4.700%, 02/01/36(b) | Baa1/BBB+ | $ 645 | $ | 620,071 | ||||||
Anheuser-Busch Cos. LLC, Co. Gty., 4.900%, 02/01/46(b) | Baa1/BBB+ | 446 | 421,555 | |||||||
Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 8.200%, 01/15/39 | Baa1/BBB+ | 27 | 34,999 | |||||||
|
| |||||||||
1,076,625 | ||||||||||
|
| |||||||||
BIOTECHNOLOGY (0.53%) | ||||||||||
Royalty Pharma PLC, Co. Gty., 2.200%, 09/02/30(b) | Baa3/BBB- | 930 | 752,136 | |||||||
Royalty Pharma PLC, Co. Gty., 2.150%, 09/02/31(b) | Baa3/BBB- | 326 | 255,091 | |||||||
|
| |||||||||
1,007,227 | ||||||||||
|
| |||||||||
BUILDING MATERIALS (0.73%) | ||||||||||
Builders FirstSource, Inc., Co. Gty., 6.375%, 06/15/32, 144A(b) | Ba2/BB- | 64 | 57,120 | |||||||
Cemex SAB de CV, Co. Gty., 7.375%, 06/05/27, 144A(b) | NA/BB | 200 | 198,202 | |||||||
Masco Corp., Sr. Unsec. Notes, 1.500%, 02/15/28(b) | Baa2/BBB | 647 | 543,781 | |||||||
Masonite International Corp., Co. Gty., 3.500%, 02/15/30, 144A(b) | Ba1/BB+ | 53 | 42,186 | |||||||
PGT Innovations, Inc., Co. Gty., 4.375%, 10/01/29, 144A(b) | B1/B+ | 119 | 93,827 | |||||||
SRM Escrow Issuer LLC, Sr. Sec. Notes, 6.000%, 11/01/28, 144A(b) | Ba3/B+ | 548 | 460,406 | |||||||
|
| |||||||||
1,395,522 | ||||||||||
|
| |||||||||
CHEMICALS (2.75%) | ||||||||||
Alpek SAB de CV, Co. Gty., 3.250%, 02/25/31, 144A(b) | Baa3/BBB- | 418 | 335,136 | |||||||
Braskem Idesa SAPI, Sr. Sec. Notes, 7.450%, 11/15/29, 144A(b) | NA/B+ | 473 | 405,721 | |||||||
Braskem Idesa SAPI, Sr. Sec. Notes, 6.990%, 02/20/32, 144A(b) | NA/B+ | 528 | 407,584 | |||||||
Braskem Netherlands Finance BV, Co. Gty., 5.875%, 01/31/50, 144A | NA/BBB- | 1,181 | 932,884 | |||||||
International Flavors & Fragrances, Inc., Sr. Unsec. Notes, 1.832%, 10/15/27, 144A(b) | Baa3/BBB | 267 | 230,394 | |||||||
Orbia Advance Corp. SAB de CV, Co. Gty., 2.875%, 05/11/31, 144A(b) | Baa3/BBB- | 574 | 460,635 | |||||||
Trinseo Materials Operating SCA, Co. Gty., 5.125%, 04/01/29, 144A(b) | B2/B | 105 | 75,544 | |||||||
Union Carbide Corp., Sr. Unsec. Notes, 7.750%, 10/01/96(f) | Baa1/BBB | 2,000 | 2,395,557 | |||||||
|
| |||||||||
5,243,455 | ||||||||||
|
| |||||||||
COMMERCIAL SERVICES (1.91%) | ||||||||||
Ashtead Capital, Inc., Co. Gty., 4.000%, 05/01/28, 144A(b) | Baa3/BBB- | 555 | 501,753 | |||||||
Ashtead Capital, Inc., Co. Gty., 4.250%, 11/01/29, 144A(b) | Baa3/BBB- | 200 | 176,330 | |||||||
Atento Luxco 1 SA, Sr. Sec. Notes, 8.000%, 02/10/26, 144A(b) | Ba3/NA | 208 | 146,899 | |||||||
Avis Budget Car Rental LLC, Co. Gty., 5.375%, 03/01/29, 144A(b) | B2/BB- | 298 | 248,026 | |||||||
ERAC USA Finance LLC, Co. Gty., 7.000%, 10/15/37, 144A | Baa1/A- | 1,500 | 1,765,343 | |||||||
Prime Security Services Borrower LLC, Sr. Sec. Notes, 3.375%, 08/31/27, 144A(b) | Ba3/BB- | 559 | 460,476 | |||||||
Triton Container International, Ltd., Co. Gty., 3.150%, 06/15/31, 144A(b) | NA/BBB- | 420 | 340,367 | |||||||
|
| |||||||||
3,639,194 | ||||||||||
|
| |||||||||
COMPUTERS (0.64%) | ||||||||||
Dell International LLC, Co. Gty., 3.450%, 12/15/51, 144A(b) | Baa2/BBB | 529 | 358,449 | |||||||
Dell International LLC, Sr. Unsec. Notes, 5.850%, 07/15/25(b) | Baa2/BBB | 342 | 353,024 | |||||||
Dell International LLC, Sr. Unsec. Notes, 8.350%, 07/15/46(b) | Baa2/BBB | 209 | 261,520 | |||||||
Kyndryl Holdings, Inc., Sr. Unsec. Notes, 2.050%, 10/15/26, 144A(b) | Baa2/BBB- | 153 | 129,056 | |||||||
Western Digital Corp., Sr. Unsec. Notes, 2.850%, 02/01/29(b) | Baa3/BB+ | 146 | 118,872 | |||||||
|
| |||||||||
1,220,921 | ||||||||||
|
| |||||||||
DIVERSIFIED FINANCIAL SERVICES (1.31%) | ||||||||||
AerCap Ireland Capital DAC, Co. Gty., 3.300%, 01/30/32(b) | Baa3/BBB | 519 | 414,761 | |||||||
Intercontinental Exchange, Inc., Sr. Unsec. Notes, 4.350%, 06/15/29(b) | A3/A- | 358 | 354,422 | |||||||
LSEGA Financing PLC, Co. Gty., 1.375%, 04/06/26, 144A(b) | A3/A | 612 | 550,139 | |||||||
LSEGA Financing PLC, Co. Gty., 2.500%, 04/06/31, 144A(b) | A3/A | 264 | 226,946 | |||||||
PennyMac Financial Services, Inc., Co. Gty., 5.750%, 09/15/31, 144A(b) | Ba3/BB- | 522 | 389,294 | |||||||
Synchrony Financial, Sr. Unsec. Notes, 2.875%, 10/28/31(b) | NA/BBB- | 747 | 567,647 | |||||||
|
| |||||||||
2,503,209 | ||||||||||
|
| |||||||||
ELECTRIC (5.22%) | ||||||||||
AES Andes SA, Jr. Sub. Notes, (H15T5Y + 4.917%), 6.350%, 10/07/79, 144A(b),(c) | Ba2/BB | 878 | 775,928 | |||||||
AES Panama Generation Holdings Srl, Sr. Sec. Notes, 4.375%, 05/31/30, 144A(b) | Baa3/NA | 549 | 469,031 | |||||||
American Electric Power Co., Inc., Jr. Sub. Notes, 2.031%, 03/15/24 | Baa3/BBB+ | 347 | 335,915 | |||||||
Black Hills Corp., Sr. Unsec. Notes, 3.875%, 10/15/49(b) | Baa2/BBB+ | 1,175 | 943,337 | |||||||
CMS Energy Corp., Jr. Sub. Notes, (H15T5Y + 2.900%), 3.750%, 12/01/50(b),(c) | Baa3/BBB- | 238 | 181,934 | |||||||
Consorcio Transmantaro SA, Sr. Unsec. Notes, 4.700%, 04/16/34, 144A | Baa3/NA | 200 | 179,224 | |||||||
Edison International, Jr. Sub. Notes, (H15T5Y + 4.698%), 5.375%, 03/15/26(b),(c),(d) | Ba2/BB+ | 638 | 518,375 | |||||||
Edison International, Sr. Unsec. Notes, 3.550%, 11/15/24(b) | Baa3/BBB- | 575 | 561,518 | |||||||
Evergy Metro, Inc., Sr. Sec. Notes, 4.200%, 06/15/47(b) | A2/A+ | 917 | 827,956 |
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
Moody’s/ | Principal Amount (000’s) | Value (Note1) | ||||||||
CORPORATE DEBT SECURITIES (Continued) | ||||||||||
ELECTRIC (Continued) | ||||||||||
FirstEnergy Corp., Sr. Unsec. Notes, 5.350%, 07/15/47(b),(g) | Ba1/BB+ | $ 1,570 | $ | 1,325,692 | ||||||
IPALCO Enterprises, Inc., Sr. Sec. Notes, 4.250%, 05/01/30(b) | Baa3/BBB- | 462 | 429,243 | |||||||
Jersey Central Power & Light Co., Sr. Unsec. Notes, 2.750%, 03/01/32, 144A(b) | A3/BBB | 323 | 275,525 | |||||||
Light Servicos de Eletricidade SA, Co. Gty., 4.375%, 06/18/26, 144A(b) | Ba3/NA | 456 | 401,610 | |||||||
MidAmerican Funding LLC, Sr. Sec. Notes, 6.927%, 03/01/29 | A2/A- | 500 | 575,230 | |||||||
Pacific Gas and Electric Co., 2.100%, 08/01/27(b) | Baa3/BBB- | 391 | 328,279 | |||||||
Pacific Gas and Electric Co., 3.500%, 08/01/50(b) | Baa3/BBB- | 617 | 414,735 | |||||||
Puget Energy, Inc., Sr. Sec. Notes, 2.379%, 06/15/28(b) | Baa3/BBB- | 247 | 216,330 | |||||||
Transelec SA, Sr. Unsec. Notes, 4.250%, 01/14/25, 144A(b) | Baa1/BBB | 750 | 732,188 | |||||||
Transelec SA, Sr. Unsec. Notes, 3.875%, 01/12/29, 144A(b) | Baa1/BBB | 490 | 447,738 | |||||||
|
| |||||||||
9,939,788 | ||||||||||
|
| |||||||||
ENGINEERING & CONSTRUCTION (0.20%) | ||||||||||
Sydney Airport Finance Co. Property, Ltd., Sr. Sec. Notes, 3.375%, 04/30/25, 144A(b) | Baa1/BBB+ | 400 | 388,809 | |||||||
|
| |||||||||
ENTERTAINMENT (0.38%) | ||||||||||
Lions Gate Capital Holdings LLC, Co. Gty., 5.500%, 04/15/29, 144A(b) | B3/CCC+ | 386 | 299,853 | |||||||
Magallanes, Inc., Co. Gty., 3.638%, 03/15/25, 144A | Baa3/BBB- | 441 | 427,474 | |||||||
|
| |||||||||
727,327 | ||||||||||
|
| |||||||||
FOOD (0.57%) | ||||||||||
Bimbo Bakeries USA, Inc., Co. Gty., 4.000%, 05/17/51, 144A(b) | Baa2/BBB | 363 | 296,755 | |||||||
JBS Finance Luxembourg Sarl, Co. Gty., 3.625%, 01/15/32, 144A(b) | Baa3/NA | 211 | 170,382 | |||||||
JBS USA LUX SA, Co. Gty., 3.750%, 12/01/31, 144A(b) | Baa3/BBB- | 54 | 44,301 | |||||||
Kraft Heinz Foods Co., Co. Gty., 5.500%, 06/01/50(b) | Baa3/BBB- | 346 | 334,052 | |||||||
Kroger Co., Sr. Unsec. Notes, 5.400%, 01/15/49(b) | Baa1/BBB | 68 | 71,573 | |||||||
MARB BondCo PLC, Co. Gty., 3.950%, 01/29/31, 144A(b) | NA/BB+ | 213 | 163,535 | |||||||
|
| |||||||||
1,080,598 | ||||||||||
|
| |||||||||
FOREST PRODUCTS & PAPER (0.42%) | ||||||||||
Inversiones CMPC SA, Co. Gty., 3.850%, 01/13/30, 144A(b) | Baa3/BBB- | 580 | 508,950 | |||||||
Suzano Austria GmbH, Co. Gty., 3.750%, 01/15/31(b) | NA/BBB- | 351 | 283,503 | |||||||
|
| |||||||||
792,453 | ||||||||||
|
| |||||||||
GAS (2.20%) | ||||||||||
NiSource, Inc., Jr. Sub. Notes, (H15T5Y + 2.843%), 5.650%, 06/15/23(b),(c),(d) | NA/BBB- | 696 | 626,379 | |||||||
Piedmont Natural Gas Co., Inc., Sr. Unsec. Notes, 3.500%, 06/01/29(b) | A3/BBB+ | 1,120 | 1,044,117 | |||||||
Southern Co. Gas Capital Corp., Co. Gty., 5.875%, 03/15/41(b) | Baa1/BBB+ | 992 | 1,048,992 | |||||||
Southern Co. Gas Capital Corp., Co. Gty., 3.950%, 10/01/46(b) | Baa1/BBB+ | 539 | 443,491 | |||||||
Southern Co. Gas Capital Corp., Co. Gty., 4.400%, 05/30/47(b) | Baa1/BBB+ | 1,164 | 1,020,835 | |||||||
|
| |||||||||
4,183,814 | ||||||||||
|
| |||||||||
HEALTHCARE-PRODUCTS (0.15%) | ||||||||||
STERIS Irish FinCo UnLtd Co., Co. Gty., 2.700%, 03/15/31(b) | Baa2/BBB- | 329 | 277,346 | |||||||
|
| |||||||||
HEALTHCARE-SERVICES (0.35%) | ||||||||||
CommonSpirit Health, Sr. Sec. Notes, 2.782%, 10/01/30(b) | Baa1/A- | 432 | 374,287 | |||||||
HCA, Inc., Co. Gty., 3.125%, 03/15/27, 144A(b) | Baa3/BBB- | 119 | 108,268 | |||||||
Tenet Healthcare Corp., Sr. Sec. Notes, 4.875%, 01/01/26, 144A(b) | B1/BB- | 201 | 184,920 | |||||||
|
| |||||||||
667,475 | ||||||||||
|
| |||||||||
INSURANCE (8.30%) | ||||||||||
Allianz SE, Jr. Sub. Notes, (H15T5Y + 2.165%), 3.200%, 10/30/27, 144A(b),(c),(d) | Baa1/A | 200 | 146,000 | |||||||
Allianz SE, Jr. Sub. Notes, (H15T5Y + 2.973%), 3.500%, 11/17/25, 144A(b),(c),(d) | Baa1/A | 400 | 329,600 | |||||||
Allstate Corp., Jr. Sub. Notes, (3M LIBOR + 2.120%), 6.500%, 05/15/57(b),(c) | Baa1/BBB | 2,200 | 2,252,311 | |||||||
Farmers Exchange Capital, Sub. Notes, 7.200%, 07/15/48, 144A(f) | Baa2/BBB+ | 2,250 | 2,680,296 | |||||||
Guardian Life Insurance Co. of America, Sub. Notes, 4.850%, 01/24/77, 144A | A1/AA- | 148 | 133,506 | |||||||
Jackson National Life Global Funding, 1.750%, 01/12/25, 144A | A2/A | 656 | 619,152 | |||||||
Liberty Mutual Group, Inc., Co. Gty., 3.951%, 10/15/50, 144A(b) | Baa2/BBB | 250 | 190,191 | |||||||
Liberty Mutual Group, Inc., Co. Gty., (3M LIBOR + 7.120%), 10.750%, 06/15/58, 144A(b),(c) | Baa3/BB+ | 1,000 | 1,350,000 | |||||||
Massachusetts Mutual Life Insurance Co., Sub. Notes, 3.729%, 10/15/70, 144A | A2/AA- | 243 | 178,518 | |||||||
Massachusetts Mutual Life Insurance Co., Sub. Notes, 4.900%, 04/01/77, 144A | A2/AA- | 980 | 904,450 | |||||||
MetLife, Inc., Jr. Sub. Notes, 6.400%, 12/15/36(b) | Baa2/BBB | 637 | 635,787 | |||||||
MetLife, Inc., Jr. Sub. Notes, 10.750%, 08/01/39(b) | Baa2/BBB | 1,000 | 1,326,430 | |||||||
MetLife, Inc., Jr. Sub. Notes, 9.250%, 04/08/38, 144A(b) | Baa2/BBB | 1,059 | 1,244,228 | |||||||
Nationwide Mutual Insurance Co., Sub. Notes, 8.250%, 12/01/31, 144A | A3/A- | 500 | 595,768 |
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
Moody’s/ | Principal Amount (000’s) | Value (Note1) | ||||||||
CORPORATE DEBT SECURITIES (Continued) | ||||||||||
INSURANCE (Continued) | ||||||||||
Nationwide Mutual Insurance Co., Sub. Notes, 9.375%, 08/15/39, 144A | A3/A- | $ 215 | $ | 295,286 | ||||||
New York Life Insurance Co., Sub. Notes, 6.750%, 11/15/39, 144A | Aa2/AA- | 103 | 121,122 | |||||||
Principal Financial Group, Inc., Co. Gty., (3M LIBOR + 3.044%), 4.455%, 05/15/55(b),(e) | Baa2/BBB | 1,135 | 1,015,866 | |||||||
Prudential Financial, Inc., Jr. Sub. Notes, (3M LIBOR + 2.665%), 5.700%, 09/15/48(b),(c) | Baa1/BBB+ | 1,241 | 1,205,171 | |||||||
Prudential Financial, Inc., Jr. Sub. Notes, (3M LIBOR + 3.920%), 5.625%, 06/15/43(b),(c) | Baa1/BBB+ | 600 | 584,220 | |||||||
|
| |||||||||
15,807,902 | ||||||||||
|
| |||||||||
INTERNET (0.20%) | ||||||||||
Prosus NV, Sr. Unsec. Notes, 4.987%, 01/19/52, 144A(b) | Baa3/BBB | 540 | 387,739 | |||||||
|
| |||||||||
MEDIA (7.43%) | ||||||||||
AMC Networks, Inc., Co. Gty., 4.250%, 02/15/29(b) | Ba3/BB | 885 | 717,321 | |||||||
CCO Holdings LLC, Sr. Unsec. Notes, 4.500%, 05/01/32(b) | B1/BB- | 1,017 | 821,227 | |||||||
CCO Holdings LLC, Sr. Unsec. Notes, 4.250%, 02/01/31, 144A(b) | B1/BB- | 75 | 61,125 | |||||||
Charter Communications Operating LLC, Sr. Sec. Notes, 5.750%, 04/01/48(b) | Ba1/BBB- | 774 | 695,981 | |||||||
Comcast Corp., Co. Gty., 7.050%, 03/15/33(f) | A3/A- | 2,000 | 2,405,121 | |||||||
Cox Communications, Inc., Sr. Unsec. Notes, 6.800%, 08/01/28 | Baa2/BBB | 1,500 | 1,598,496 | |||||||
Cox Enterprises, Inc., Sr. Unsec. Notes, 7.375%, 07/15/27, 144A | Baa2/BBB | 500 | 551,739 | |||||||
CSC Holdings LLC, Co. Gty., 6.500%, 02/01/29, 144A(b) | Ba3/BB | 954 | 858,743 | |||||||
CSC Holdings LLC, Sr. Unsec. Notes, 4.625%, 12/01/30, 144A(b) | B3/B+ | 1,336 | 895,120 | |||||||
Grupo Televisa SAB, Sr. Unsec. Notes, 6.625%, 01/15/40 | Baa2/BBB+ | 159 | 174,066 | |||||||
Grupo Televisa SAB, Sr. Unsec. Notes, 5.000%, 05/13/45(b) | Baa2/BBB+ | 557 | 520,156 | |||||||
Paramount Global, Sr. Unsec. Notes, 4.200%, 05/19/32(b) | Baa2/BBB | �� | 641 | 566,927 | ||||||
Paramount Global, Sr. Unsec. Notes, 6.875%, 04/30/36 | Baa2/BBB | 179 | 189,024 | |||||||
Radiate Holdco LLC, Sr. Sec. Notes, 4.500%, 09/15/26, 144A(b) | B1/B | 124 | 106,923 | |||||||
Scripps Escrow II, Inc., Sr. Sec. Notes, 3.875%, 01/15/29, 144A(b) | Ba3/BB | 42 | 34,860 | |||||||
Time Warner Entertainment Co. LP, Sr. Sec. Notes, 8.375%, 07/15/33 | Ba1/BBB- | 1,360 | 1,576,981 | |||||||
Virgin Media Finance PLC, Co. Gty., 5.000%, 07/15/30, 144A(b) | B2/B | 200 | 158,500 | |||||||
VTR Finance NV, Sr. Unsec. Notes, 6.375%, 07/15/28, 144A(b) | B1 *+/B | 443 | 317,096 | |||||||
Walt Disney Co., Co. Gty., 7.900%, 12/01/95 | A2/BBB+ | 1,400 | 1,917,001 | |||||||
|
| |||||||||
14,166,407 | ||||||||||
|
| |||||||||
MINING (0.43%) | ||||||||||
AngloGold Ashanti Holdings PLC, Co. Gty., 3.750%, 10/01/30(b) | Baa3/BB+ | 339 | 279,088 | |||||||
Newcrest Finance Pty, Ltd., Co. Gty., 3.250%, 05/13/30, 144A(b) | Baa2/BBB | 319 | 282,497 | |||||||
Yamana Gold, Inc., Co. Gty., 2.630%, 08/15/31(b) | Baa3/BBB- | 331 | 266,246 | |||||||
|
| |||||||||
827,831 | ||||||||||
|
| |||||||||
MISCELLANEOUS MANUFACTURING (0.16%) | ||||||||||
GE Capital International Funding Co Unlimited Co., Co. Gty., 4.418%, 11/15/35 | Baa1/BBB+ *- | 318 | 298,278 | |||||||
|
| |||||||||
OIL & GAS (2.63%) | ||||||||||
CITGO Petroleum Corp., Sr. Sec. Notes, 7.000%, 06/15/25, 144A(b) | B3/B+ | 125 | 120,938 | |||||||
Exxon Mobil Corp., Sr. Unsec. Notes, 4.227%, 03/19/40(b) | Aa2/AA- | 1,402 | 1,330,860 | |||||||
Lundin Energy Finance BV, Co. Gty., 3.100%, 07/15/31, 144A(b) | Baa3 *+/BBB- | 426 | 353,364 | |||||||
Parkland Corp., Co. Gty., 4.500%, 10/01/29, 144A(b) | Ba3/BB- | 667 | 541,021 | |||||||
Petroleos Mexicanos, Co. Gty., 5.950%, 01/28/31(b) | Ba3/BBB | 552 | 403,722 | |||||||
Petroleos Mexicanos, Co. Gty., 6.950%, 01/28/60(b) | Ba3/BBB | 195 | 120,023 | |||||||
Saudi Arabian Oil Co., Sr. Unsec. Notes, 2.250%, 11/24/30, 144A(b) | A1/NA | 853 | 725,937 | |||||||
Valero Energy Corp., Sr. Unsec. Notes, 8.750%, 06/15/30 | Baa2/BBB | 1,000 | 1,245,483 | |||||||
Valero Energy Corp., Sr. Unsec. Notes, 4.000%, 06/01/52(b) | Baa2/BBB | 215 | 172,629 | |||||||
|
| |||||||||
5,013,977 | ||||||||||
|
| |||||||||
OIL & GAS SERVICES (0.16%) | ||||||||||
Baker Hughes Holdings LLC, Sr. Unsec. Notes, 2.061%, 12/15/26(b) | A3/A- | 326 | 299,451 | |||||||
|
| |||||||||
PACKAGING & CONTAINERS (0.50%) | ||||||||||
Ardagh Metal Packaging Finance USA LLC, Sr. Sec. Notes, 6.000%, 06/15/27, 144A(b) | Ba2/BB | 200 | 197,500 | |||||||
Ardagh Metal Packaging Finance USA LLC, Sr. Unsec. Notes, 4.000%, 09/01/29, 144A(b) | B3/B+ | 200 | 159,788 | |||||||
LABL, Inc., Sr. Sec. Notes, 5.875%, 11/01/28, 144A(b) | B2/B- | 173 | 139,684 | |||||||
Sealed Air Corp., Sr. Sec. Notes, 1.573%, 10/15/26, 144A(b) | Baa2/BBB- | 524 | 456,519 | |||||||
|
| |||||||||
953,491 | ||||||||||
|
| |||||||||
PHARMACEUTICALS (1.22%) | ||||||||||
AbbVie, Inc., Sr. Unsec. Notes, 4.050%, 11/21/39(b) | Baa2/BBB+ | 615 | 550,892 | |||||||
Astrazeneca Finance LLC, Co. Gty., 1.750%, 05/28/28(b) | A3/A- | 475 | 419,814 |
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
Moody’s/ | Principal Amount (000’s) | Value (Note1) | ||||||||
CORPORATE DEBT SECURITIES (Continued) | ||||||||||
PHARMACEUTICALS (Continued) | ||||||||||
Bausch Health Cos., Inc., Co. Gty., 5.000%, 02/15/29, 144A(b) | B3/B- | $ 24 | $ | 12,409 | ||||||
Bausch Health Cos., Inc., Co. Gty., 6.250%, 02/15/29, 144A(b) | B3/B- | 73 | 39,150 | |||||||
Bausch Health Cos., Inc., Co. Gty., 5.250%, 01/30/30, 144A(b) | B3/B- | 87 | 44,920 | |||||||
Bausch Health Cos., Inc., Sr. Sec. Notes, 4.875%, 06/01/28, 144A(b) | Ba3/BB- | 80 | 62,252 | |||||||
Organon & Co, Sr. Sec. Notes, 4.125%, 04/30/28, 144A(b) | Ba2/BB | 200 | 176,162 | |||||||
Takeda Pharmaceutical Co., Ltd., Sr. Unsec. Notes, 5.000%, 11/26/28(b) | Baa2/BBB+ | 500 | 510,191 | |||||||
Takeda Pharmaceutical Co., Ltd., Sr. Unsec. Notes, 3.175%, 07/09/50(b) | Baa2/BBB+ | 684 | 515,512 | |||||||
|
| |||||||||
2,331,302 | ||||||||||
|
| |||||||||
PIPELINES (6.72%) | ||||||||||
Cheniere Energy Partners LP, Co. Gty., 3.250%, 01/31/32, 144A(b) | Ba2/BB+ | 91 | 71,662 | |||||||
DT Midstream, Inc., Sr. Sec. Notes, 4.300%, 04/15/32, 144A(b) | Baa2/BBB- | 432 | 396,065 | |||||||
EIG Pearl Holdings Sarl, Sr. Sec. Notes, 4.387%, 11/30/46, 144A | A1/NA | 700 | 553,122 | |||||||
Enbridge, Inc., Sub. Notes, (3M LIBOR + 3.890%), 6.000%, 01/15/77(b),(c) | Baa3/BBB- | 750 | 694,901 | |||||||
Energy Transfer LP, Sr. Unsec. Notes, 3.750%, 05/15/30(b) | Baa3/BBB- | 398 | 358,988 | |||||||
Enterprise Products Operating LLC, Co. Gty., (3M LIBOR + 2.570%), 5.375%, 02/15/78(b),(c) | Baa2/BBB- | 342 | 270,473 | |||||||
Florida Gas Transmission Co. LLC, Sr. Unsec. Notes, 9.190%, 11/01/24, 144A | Baa2/BBB+ | 30 | 30,407 | |||||||
Global Partners LP, Co. Gty., 7.000%, 08/01/27(b) | B2/B+ | 1,076 | 968,400 | |||||||
Hess Midstream Operations LP, Co. Gty., 5.500%, 10/15/30, 144A(b) | Ba2/BB+ | 70 | 62,825 | |||||||
Howard Midstream Energy Partners LLC, Sr. Unsec. Notes, 6.750%, 01/15/27, 144A(b) | B3/B | 110 | 94,847 | |||||||
Kinder Morgan, Inc., Co. Gty., 8.050%, 10/15/30 | Baa2/BBB | 1,000 | 1,148,438 | |||||||
Kinder Morgan, Inc., Co. Gty., 5.550%, 06/01/45(b) | Baa2/BBB | 1,755 | 1,659,765 | |||||||
MPLX LP, Sr. Unsec. Notes, 4.250%, 12/01/27(b) | Baa2/BBB | 901 | 870,812 | |||||||
MPLX LP, Sr. Unsec. Notes, 5.500%, 02/15/49(b) | Baa2/BBB | 694 | 647,291 | |||||||
MPLX LP, Sr. Unsec. Notes, 4.900%, 04/15/58(b) | Baa2/BBB | 561 | 466,107 | |||||||
NGPL PipeCo LLC, Sr. Unsec. Notes, 7.768%, 12/15/37, 144A | Baa3/BBB- | 880 | 960,754 | |||||||
Panhandle Eastern Pipe Line Co. LP, Sr. Unsec. Notes, 7.000%, 07/15/29 | Baa3/BBB- | 1,000 | 1,064,978 | |||||||
Targa Resources Partners LP, Co. Gty., 5.500%, 03/01/30(b) | Baa3/BBB- | 1,177 | 1,120,975 | |||||||
Transcontinental Gas Pipe Line Co. LLC, Sr. Unsec. Notes, 3.950%, 05/15/50(b) | Baa1/BBB | 384 | 320,809 | |||||||
Williams Cos., Inc., Sr. Unsec. Notes, 7.500%, 01/15/31 | Baa2/BBB | 911 | 1,048,836 | |||||||
|
| |||||||||
12,810,455 | ||||||||||
|
| |||||||||
REITS (1.77%) | ||||||||||
EPR Properties, Sr. Unsec. Notes, 3.600%, 11/15/31(b) | Baa3/BBB- | 533 | 425,087 | |||||||
Extra Space Storage LP, Co. Gty., 3.900%, 04/01/29(b) | Baa2/BBB | 371 | 348,052 | |||||||
Extra Space Storage LP, Co. Gty., 2.350%, 03/15/32(b) | Baa2/BBB | 267 | 212,248 | |||||||
GLP Capital LP, Co. Gty., 3.250%, 01/15/32(b) | Ba1/BBB- | 154 | 123,543 | |||||||
Iron Mountain, Inc., Co. Gty., 5.000%, 07/15/28, 144A(b) | Ba3/BB- | 59 | 52,164 | |||||||
SBA Tower Trust, 2.593%, 10/15/31, 144A(b) | A2/NA | 454 | 394,180 | |||||||
Scentre Group Trust 2, Co. Gty., (H15T5Y + 4.379%), 4.750%, 09/24/80, 144A(b),(c) | Baa1/BBB+ | 2,007 | 1,788,117 | |||||||
WEA Finance LLC, Co. Gty., 4.625%, 09/20/48, 144A(b) | Baa2/BBB+ | 36 | 27,554 | |||||||
|
| |||||||||
3,370,945 | ||||||||||
|
| |||||||||
RETAIL (1.17%) | ||||||||||
Lowe’s Cos., Inc., Sr. Unsec. Notes, 2.800%, 09/15/41(b) | Baa1/BBB+ | 215 | 156,950 | |||||||
Macy’s Retail Holdings LLC, Co. Gty., 5.875%, 03/15/30, 144A(b) | Ba2/BB | 429 | 359,950 | |||||||
Murphy Oil USA, Inc., Co. Gty., 3.750%, 02/15/31, 144A(b) | Ba2/BB+ | 119 | 101,120 | |||||||
Starbucks Corp., Sr. Unsec. Notes, 4.450%, 08/15/49(b) | Baa1/BBB+ | 1,781 | 1,606,775 | |||||||
|
| |||||||||
2,224,795 | ||||||||||
|
| |||||||||
SEMICONDUCTORS (1.29%) | ||||||||||
Broadcom, Inc., Co. Gty., 3.750%, 02/15/51, 144A(b) | Baa3/BBB- *+ | 166 | 123,776 | |||||||
Broadcom, Inc., Sr. Unsec. Notes, 3.469%, 04/15/34, 144A(b) | Baa3/BBB- *+ | 1,655 | 1,351,476 | |||||||
Broadcom, Inc., Sr. Unsec. Notes, 3.187%, 11/15/36, 144A(b) | Baa3/BBB- *+ | 1,109 | 846,253 | |||||||
Micron Technology, Inc., Sr. Unsec. Notes, 2.703%, 04/15/32(b) | Baa3/BBB- | 164 | 131,145 | |||||||
|
| |||||||||
2,452,650 | ||||||||||
|
| |||||||||
SOFTWARE (1.61%) | ||||||||||
Oracle Corp., Sr. Unsec. Notes, 2.300%, 03/25/28(b) | Baa2*-/BBB *- | 1,130 | 973,924 | |||||||
Oracle Corp., Sr. Unsec. Notes, 3.650%, 03/25/41(b) | Baa2*-/BBB *- | 1,745 | 1,306,489 | |||||||
Take-Two Interactive Software, Inc., Sr. Unsec. Notes, 3.700%, 04/14/27(b) | Baa2/BBB | 165 | 160,336 | |||||||
VMware, Inc., Sr. Unsec. Notes, 2.200%, 08/15/31(b) | Baa3/BBB- *+ | 788 | 622,233 | |||||||
|
| |||||||||
3,062,982 | ||||||||||
|
| |||||||||
TELECOMMUNICATIONS (3.24%) | ||||||||||
AT&T, Inc., Sr. Unsec. Notes, 4.500%, 05/15/35(b) | Baa2/BBB | 515 | 489,882 | |||||||
AT&T, Inc., Sr. Unsec. Notes, 4.750%, 05/15/46(b) | Baa2/BBB | 425 | 395,618 |
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
Moody’s/ | Principal Amount (000’s) | Value (Note1) | ||||||||
CORPORATE DEBT SECURITIES (Continued) | ||||||||||
TELECOMMUNICATIONS (Continued) | ||||||||||
AT&T, Inc., Sr. Unsec. Notes, 3.550%, 09/15/55(b) | Baa2/BBB | $ 2,195 | $ | 1,655,512 | ||||||
Deutsche Telekom International Finance BV, Co. Gty., 8.750%, 06/15/30(g) | Baa1/BBB | 2,000 | 2,471,025 | |||||||
Frontier Communications Holdings LLC, Sr. Sec. Notes, 5.000%, 05/01/28, 144A(b) | B3/B | 255 | 217,387 | |||||||
Verizon Communications, Inc., Sr. Unsec. Notes, 2.550%, 03/21/31(b) | Baa1/BBB+ | 457 | 391,785 | |||||||
Verizon Communications, Inc., Sr. Unsec. Notes, 3.550%, 03/22/51(b) | Baa1/BBB+ | 674 | 543,911 | |||||||
|
| |||||||||
6,165,120 | ||||||||||
|
| |||||||||
TRANSPORTATION (0.57%) | ||||||||||
BNSF Funding Trust I, Co. Gty., (3M LIBOR + 2.350%), 6.613%, 12/15/55(b),(c) | Baa2/A | 250 | 244,201 | |||||||
Simpar Europe SA, Co. Gty., 5.200%, 01/26/31, 144A(b) | NA/BB- | 544 | 420,240 | |||||||
Union Pacific Corp., Sr. Unsec. Notes, 3.839%, 03/20/60(b) | Baa1/A- | 503 | 423,036 | |||||||
|
| |||||||||
1,087,477 | ||||||||||
|
| |||||||||
TOTAL CORPORATE DEBT SECURITIES (Cost of $155,693,702) | 144,666,859 | |||||||||
|
| |||||||||
ASSET-BACKED SECURITIES (11.61%) | ||||||||||
Aligned Data Centers Issuer LLC, Series 2021-1A, A2, Class A2, 1.937%, 08/15/46, 144A(b) | NA/A- | 904 | 799,668 | |||||||
Antares CLO, Ltd., Series 2017-1A, CR, Class CR, (3M LIBOR + 2.700%), 3.763%, 04/20/33, 144A(b),(e) | NA/A | 1,093 | 1,008,144 | |||||||
Apidos CLO XXXIX, Series 2022-39A, A1, Class A1, (TSFR3M + 1.300%), 2.039%, 04/21/35, 144A(b),(e) | Aaa/AA+ | 950 | 924,250 | |||||||
Blackbird Capital Aircraft, Series 2021-1A, B, Class B, 3.446%, 07/15/46, 144A(b) | Baa1/NA | 348 | 280,834 | |||||||
Cerberus Loan Funding XXXVII LP, Series 2022-1A, A1, Class A1, (TSFR3M + 1.780%), 2.647%, 04/15/34, | Aaa/NA | 1,500 | 1,455,867 | |||||||
CF Hippolyta Issuer LLC, Series 2020-1, A1, Class A1, 1.690%, 07/15/60, 144A(b) | NA/AA- | 626 | 567,737 | |||||||
DataBank Issuer, Series 2021-2A, A2, Class A2, 2.400%, 10/25/51, 144A(b) | NA/NA | 583 | 519,988 | |||||||
DB Master Finance LLC, Series 2021-1A, A2I, Class A2I, 2.045%, 11/20/51, 144A(b) | NA/BBB | 605 | 537,145 | |||||||
Domino’s Pizza Master Issuer LLC, Series 2021-1A, A2I, Class A2I, 2.662%, 04/25/51, 144A(b) | NA/BBB+ | 546 | 476,356 | |||||||
DRB Prime Student Loan Trust, Series 2017-A, A2B, Class A2B, 2.850%, 05/27/42, 144A(b) | NA/NA | 95 | 95,192 | |||||||
Eaton Vance CLO, Ltd., Series 2020-1A, AR, Class AR, (3M LIBOR + 1.170%), 2.214%, 10/15/34, 144A(b),(e) | NA/AAA | 1,500 | 1,447,206 | |||||||
Flexential Issuer, Series 2021-1A, A2, Class A2, 3.250%, 11/27/51, 144A(b) | NA/NA | 555 | 508,074 | |||||||
Fortress Credit Opportunities IX CLO, Ltd., Series 2017-9A, A1TR, Class A1TR, (3M LIBOR + 1.550%), 2.594%, 10/15/33, 144A(b),(e) | NA/AAA | 600 | 579,163 | |||||||
Golub Capital Partners CLO 36m, Ltd., Series 2018-36A, C, Class C, (3M LIBOR + 2.100%), 3.463%, 02/05/31, 144A(b),(e) | N.A./A | 2,250 | 2,089,879 | |||||||
ITE Rail Fund Levered LP, Series 2021-1A, Class A, 2.250%, 02/28/51, 144A(b) | NA/A | 190 | 167,740 | |||||||
IVY Hill Middle Market Credit Fund XII, Ltd., Series -12A, Class BR, (3M LIBOR + 2.900%), 3.963%, 07/20/33, 144A(b),(e) | NA/A- | 866 | 797,785 | |||||||
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A, (1M LIBOR + 1.130%), 2.454%, 05/15/28, 144A(b),(e) | Aaa/AA+ | 29 | 28,943 | |||||||
MCF CLO IX, Ltd., Series 2019-1A, Class A1R, (TSFR3M + 1.500%), 2.351%, 07/17/31, 144A(b),(e) | NA/AAA | 556 | 544,464 | |||||||
MF1, Ltd., Series 2021-FL7, Class AS, (1M LIBOR + 1.450%), 3.062%, 10/16/36, 144A(b),(e) | NA/NA | 923 | 872,981 | |||||||
MF1, Ltd., Series 2022-FL8, Class C, (SOFRRATE 30 Day Average + 2.200%), 2.992%, 02/19/37, 144A(b),(e) | NA/NA | 448 | 421,416 | |||||||
Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 05/15/69, 144A(b) | NA/AAA | 119 | 109,050 | |||||||
Neuberger Berman Loan Advisers CLO 47, Ltd., Series 2022-47A, Class A, (TSFR3M + 1.300%), 1.548%, 04/14/35, 144A(b),(e) | Aaa/NA | 937 | 907,027 | |||||||
New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1, 1.910%, 10/20/61, 144A(b) | NA/AA- | 1,063 | 928,308 | |||||||
PMT Issuer Trust - FMSR, Series 2021-FT1, Class A, (1M LIBOR + 3.000%), 4.624%, 03/25/26, 144A(b),(e) | NA/NA | 566 | 558,768 | |||||||
Purewest Funding LLC, Series 2021-1, Class A1, 4.091%, 12/22/36, 144A(b) | NA/NA | 253 | 244,528 | |||||||
Slam, Ltd., Series 2021-1A, Class A, 2.434%, 06/15/46, 144A(b) | A1/NA | 1,261 | 1,088,870 | |||||||
SMB Private Education Loan Trust, Series 2017-B, Class A2B, (1M LIBOR + 0.750%), 2.074%, 10/15/35, 144A(b),(e) | Aaa/AAA | 368 | 363,087 | |||||||
Sofi Professional Loan Program LLC, Series 2017-C, Class B, 3.560%, 07/25/40, 144A(b),(e) | NA/AA+ | 1,099 | 1,072,770 | |||||||
Textainer Marine Containers VII, Ltd., Series 2021-1A, Class A, 1.680%, 02/20/46, 144A(b) | NA/A | 920 | 803,568 | |||||||
TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 02/20/46, 144A(b) | NA/A | 491 | 422,491 | |||||||
United States Small Business Administration, Series 2010-20F, Class 1, 3.880%, 06/01/30 | AAA/AA+ | 43 | 43,975 | |||||||
Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 09/15/43, 144A(b),(h) | NA/A | 1,147 | 938,552 | |||||||
Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 05/15/46, 144A(b) | NA/NA | 648 | 519,623 | |||||||
|
| |||||||||
TOTAL ASSET-BACKED SECURITIES (Cost of $24,042,641) | 22,123,449 | |||||||||
|
| |||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (0.69%) | ||||||||||
Angel Oak Mortgage Trust I LLC, Series 2019-2, Class A1, 3.628%, 03/25/49, 144A(b),(e) | NA/NA | 11 | 10,472 | |||||||
BXHPP Trust, Series 2021-FILM, Class C, (1M LIBOR + 1.100%), 2.424%, 08/15/36, 144A(b),(e) | NA/NA | 167 | 155,241 | |||||||
CGMS Commercial Mortgage Trust, Series 2017-MDRB, Class A, (1M LIBOR + 1.100%), 2.424%, 07/15/30, 144A(e) | NA/AAA | 17 | 17,375 |
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
Moody’s/ | Principal Amount (000’s) | Value (Note1) | ||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued) | ||||||||||
New Residential Mortgage Loan Trust, Series 2022-NQM1, Class A1, 2.277%, 01/25/26, 144A(b),(e) | NA/NA | $ 979 | $ | 877,654 | ||||||
New Residential Mortgage Loan Trust, Series 2021-NQ2R, Class A1, 0.941%, 10/25/58, 144A(b),(e) | NA/NA | 261 | 251,773 | |||||||
|
| |||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost of $1,434,847) | 1,312,515 | |||||||||
|
| |||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (0.12%) | ||||||||||
FHLMC Pool #A15675, 6.000%, 11/01/33 | AAA/AA+ | 44 | 48,867 | |||||||
FNMA Pool #754791, 6.500%, 12/01/33 | AAA/AA+ | 120 | 127,664 | |||||||
FNMA Pool #763852, 5.500%, 02/01/34 | AAA/AA+ | 55 | 58,198 | |||||||
GNSF Pool #417239, 7.000%, 02/15/26 | AAA/AA+ | 2 | 1,761 | |||||||
GNSF Pool #780374, 7.500%, 12/15/23(i) | AAA/AA+ | 0 | 212 | |||||||
|
| |||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost of $210,684) | 236,702 | |||||||||
|
| |||||||||
MUNICIPAL BONDS (1.33%) | ||||||||||
City of San Francisco CA Public Utilities Commission Water Revenue, Build America Bonds, 6.000%, 11/01/40 | Aa2/AA- | 145 | 165,491 | |||||||
State of California, Build America Bonds, GO, 7.625%, 03/01/40 | Aa2/AA- | 1,500 | 2,027,507 | |||||||
University of Michigan, 3.599%, 04/01/47 | Aaa/AAA | 365 | 336,947 | |||||||
|
| |||||||||
TOTAL MUNICIPAL BONDS (Cost of $2,041,690) | 2,529,945 | |||||||||
|
| |||||||||
U.S. TREASURY OBLIGATIONS (4.96%) | ||||||||||
United States Treasury Bonds, 2.375%, 02/15/42 | Aaa/AA+ | 198 | 168,314 | |||||||
United States Treasury Bonds, 1.250%, 05/15/50 | Aaa/AA+ | 4,114 | 2,641,220 | |||||||
United States Treasury Bonds, 2.250%, 02/15/52 | Aaa/AA+ | 486 | 403,131 | |||||||
United States Treasury Notes, 2.500%, 03/31/27 | Aaa/AA+ | 674 | 658,767 | |||||||
United States Treasury Notes, 0.500%, 04/30/27 | Aaa/AA+ | 3,573 | 3,167,637 | |||||||
United States Treasury Notes, 2.375%, 03/31/29 | Aaa/AA+ | 170 | 163,233 | |||||||
United States Treasury Notes, 1.875%, 02/15/32 | Aaa/AA+ | 2,466 | 2,240,116 | |||||||
|
| |||||||||
TOTAL U.S. TREASURY OBLIGATIONS (Cost of $9,702,930) | 9,442,418 | |||||||||
|
| |||||||||
GOVERNMENT BONDS (1.89%) | ||||||||||
Egypt Government International Bond, Sr. Unsec. Notes, 7.625%, 05/29/32, 144A | B2u/B | 261 | 170,394 | |||||||
Hungary Government International Bond, Sr. Unsec. Notes, 5.500%, 06/16/34, 144A | Baa2/BBB | 410 | 397,208 | |||||||
Hydro-Quebec, 8.250%, 04/15/26 | Aa2/AA- | 1,550 | 1,807,386 | |||||||
Korea National Oil Corp., Sr. Unsec. Notes, 1.750%, 04/18/25, 144A | Aa2/AA | 208 | 196,199 | |||||||
Mexico Government International Bond, Sr. Unsec. Notes, 5.000%, 04/27/51(b) | Baa1/BBB | 711 | 585,040 | |||||||
Oman Government International Bond, Sr. Unsec. Notes, 7.000%, 01/25/51, 144A | Ba3/NA | 350 | 307,632 | |||||||
Ukraine Government International Bond, Sr. Unsec. Notes, 7.253%, 03/15/33, 144A | NA/CCC+ | 551 | 136,273 | |||||||
|
| |||||||||
TOTAL GOVERNMENT BONDS (Cost of $3,970,079) | 3,600,132 | |||||||||
|
| |||||||||
Shares | ||||||||||
PREFERRED STOCKS (1.05%) | ||||||||||
CoBank ACB, Series F, (3M LIBOR + 4.557%), 6.250%, 10/01/22(b),(c),(d) | NA/BBB+ | 20,000 | 2,003,000 | |||||||
Principal Amount (000’s) | ||||||||||
SHORT-TERM INVESTMENTS (0.52%) | ||||||||||
U.S. TREASURY OBLIGATIONS (0.52%) | ||||||||||
United States Treasury Bill, 0.652%, 07/28/22 | Aaa/AA+ | 1,000 | 999,276 | |||||||
|
| |||||||||
TOTAL INVESTMENTS (98.10%) | 186,914,296 | |||||||||
|
| |||||||||
OTHER ASSETS AND LIABILITIES (1.90%) | 3,620,369 | |||||||||
|
| |||||||||
NET ASSETS (100.00%) | $ | 190,534,665 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
At June 30, 2022, the Fund had the following open futures contracts:
Long Futures Outstanding | Expiration Month | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
| ||||||||||||||||||||
U.S. Treasury 10-Year Notes | 09/22 | 7 | $ 827,969 | $ | 829,719 | $ | 1,750 | |||||||||||||
U.S. Treasury 2-Year Notes | 09/22 | 3 | 633,563 | 630,047 | (3,516 | ) | ||||||||||||||
U.S. Treasury Long Bonds | 09/22 | 118 | 16,446,616 | 16,357,750 | (88,866 | ) | ||||||||||||||
U.S. Treasury Ultra Bonds | 09/22 | 28 | 4,366,959 | 4,321,625 | (45,334 | ) | ||||||||||||||
|
| |||||||||||||||||||
(135,966 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Short Futures Outstanding | ||||||||||||||||||||
| ||||||||||||||||||||
U.S. Treasury 5-Year Notes | 09/22 | 71 | (7,970,279 | ) | (7,969,750 | ) | 529 | |||||||||||||
U.S. Treasury Ultra 10-Year Notes | 09/22 | 108 | (13,876,724 | ) | (13,756,500 | ) | 120,224 | |||||||||||||
|
| |||||||||||||||||||
120,753 | ||||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized depreciation on open futures contracts | $ | (15,213 | ) | |||||||||||||||||
|
|
(a) | Ratings for debt securities are unaudited. All ratings are as of June 30, 2022 and may have changed subsequently. |
(b) | This security is callable. |
(c) | Fixed to floating rate security. Fixed rate indicated is rate effective at June 30, 2022. Security will convert at a future date to a floating rate of reference rate and spread in the description above. |
(d) | Security is perpetual. Date shown is next call date. |
(e) | Variable rate security. Rate indicated is rate effective at June 30, 2022. |
(f) | Security position is either entirely or partially held in a segregated account as collateral for line of credit. Refer to Note 6. |
(g) | Multi-Step Coupon. Rate disclosed is as of June 30, 2022. |
(h) | Denotes a step-up bond. The rate indicated is the current coupon as of June 30, 2022. |
(i) | Principal amount less than $1,000. |
144A | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. At June 30, 2022, these securities amounted to $70,081,792 or 36.78% of net assets. |
Legend
Certs. – Certificates
CLO – Collateralized Loan Obligation
Co. Gty. – Company Guaranty
FHLMC – Federal Home Loan Mortgage Corporation
FNMA – Federal National Mortgage Association
GNSF – Government National Mortgage Association (Single Family)
GO – Government Obligation
H15T5Y – US Treasury Yield Curve Rate T Note Constant Maturity 5 Year
Jr. – Junior
LIBOR – London Interbank Offered Rate
LLC – Limited Liability Company
LP – Limited Partnership
Ltd. – Limited
PLC – Public Limited Company
REIT – Real Estate Investment Trust
Sec. – Secured
SOFRRATE – Secured Overnight Financing Rate
Sr. – Senior
Sub. – Subordinated
SW5 – 5-year USD Swap Semiannual 30/360
TSFR3M – 3 Month Term Secured Overnight Financing Rate
Unsec. – Unsecured
The accompanying notes are an integral part of these financial statements.
INSIGHT SELECT INCOME FUND
Notes to the Quarterly Schedule of Investments
June 30, 2022
(unaudited)
A. Security Valuation – In valuing the Fund’s net assets, all securities for which representative market quotations are available will be valued at the last quoted sales price on the security’s principal exchange on the day of valuation. If there are no sales of the relevant security on such day, the security will be valued at the bid price at the time of computation. For securities traded in the over-the-counter market, including listed debt and preferred securities, whose primary market is believed to be over-the-counter, the Fund uses recognized industry pricing services – approved by the Board of Trustees (‘‘Board’’) and unaffiliated with Insight North America LLC (‘‘INA’’ or the ‘‘Adviser’’) - and uses broker quotes provided by market makers of securities not valued by these and other recognized pricing sources.
In the event that market quotations are not readily available, or when such quotations are deemed not to reflect current market value, the securities will be valued at their respective fair value as determined in good faith by the Adviser pursuant to certain procedures and reporting requirements established by the Board of Trustees. The Adviser considers all relevant facts that are reasonably available when determining the fair value of a security, including but not limited to the last sale price or initial purchase price (if a when-issued security) and subsequently adjusting the value based on changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves are utilized. At June 30, 2022, there were no securities valued using fair value procedures.
Fair Value Measurements – The Fund has adopted authoritative fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion in changes in valuation techniques and related inputs during the period and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below:
• Level 1 – | Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. | |||||||
• Level 2 – | Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. | |||||||
• Level 3 – | Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
Following is a description of the valuation techniques applied to the Fund’s major categories of assets measured at fair value on a recurring basis as of June 30, 2022.
Assets: | Total Market Value at 06/30/22 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||
| ||||||||||||||||
LONG-TERM INVESTMENTS | ||||||||||||||||
| ||||||||||||||||
CORPORATE DEBT SECURITIES | $144,666,859 | $ | — | $144,666,859 | $— | |||||||||||
| ||||||||||||||||
MUNICIPAL BONDS | 2,529,945 | — | 2,529,945 | — | ||||||||||||
| ||||||||||||||||
GOVERNMENT BONDS | 3,600,132 | — | 3,600,132 | — | ||||||||||||
| ||||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES | 1,312,515 | — | 1,312,515 | — | ||||||||||||
|
INSIGHT SELECT INCOME FUND
Notes to the Quarterly Schedule of Investments
June 30, 2022 (concluded)
(unaudited)
Assets: | Total Market Value at 06/30/22 | Level 1 Quoted Price | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||||||||||
| ||||||||||||||||
ASSET-BACKED SECURITIES | $ 22,123,449 | $ | — | $ | 22,123,449 | $— | ||||||||||
| ||||||||||||||||
U.S. TREASURY OBLIGATIONS | 9,442,418 | — | 9,442,418 | — | ||||||||||||
| ||||||||||||||||
PREFERRED STOCKS | 2,003,000 | 2,003,000 | — | — | ||||||||||||
| ||||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES | 236,702 | — | 236,702 | — | ||||||||||||
| ||||||||||||||||
Short-Term Investments | ||||||||||||||||
| ||||||||||||||||
U.S. TREASURY OBLIGATIONS | 999,276 | — | 999,276 | — | ||||||||||||
| ||||||||||||||||
DERIVATIVES | ||||||||||||||||
| ||||||||||||||||
SHORT FUTURES | 120,753 | 120,753 | — | — | ||||||||||||
| ||||||||||||||||
LONG FUTURES | 1,750 | 1,750 | — | — | ||||||||||||
| ||||||||||||||||
TOTAL ASSETS | $ | 187,036,799 | $ | 2,125,503 | $ | 184,911,296 | $— | |||||||||
| ||||||||||||||||
Liabilities: | ||||||||||||||||
| ||||||||||||||||
FUTURES CONTRACTS | $ | 137,716 | $ | 137,716 | $ | — | $— | |||||||||
|
At the end of each calendar quarter, management evaluates the Level 1, 2 and 3 assets and liabilities for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates Level 1 and 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities. Pursuant to Fund policy, transfers between levels are considered to have occurred at the beginning of the reporting period. As of June 30, 2022, there were no transfers between Level 1, Level 2 and Level 3 for the Fund.
Level 3 investments are categorized as Level 3 with values derived utilizing prices from prior transactions or third party pricing information without adjustment (broker quotes, pricing services and net asset values). A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments. As of June 30, 2022, the Fund did not hold any Level 3 securities.
For more information with regards to significant accounting policies, see the most recent semi or annual report filed with the Securities and Exchange Commission.