UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04642
Virtus Variable Insurance Trust
(Exact name of registrant as specified in charter)
One Financial Plaza
Hartford, CT 06103-4506
(Address of principal executive offices) (Zip code)
Jennifer S. Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-4506
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 367-5877
Date of fiscal year end: December 31
Date of reporting period: December 31, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. | Reports to Stockholders. |
(a) | The Report to Shareholders is attached herewith. |
(b) | Not applicable. |
Virtus Duff & Phelps Real Estate Securities Series* |
Virtus KAR Capital Growth Series |
Virtus KAR Equity Income Series (f/k/a: Virtus Rampart Enhanced Core Equity Series)* |
Virtus KAR Small-Cap Growth Series |
Virtus KAR Small-Cap Value Series |
Virtus Newfleet Multi-Sector Intermediate Bond Series |
Virtus SGA International Growth Series* |
Virtus Strategic Allocation Series |
1 | ||
2 | ||
4 | ||
Series | Series Summary | Schedule of Investments |
7 | 27 | |
9 | 29 | |
11 | 30 | |
13 | 32 | |
15 | 33 | |
17 | 34 | |
20 | 48 | |
23 | 50 | |
60 | ||
62 | ||
64 | ||
68 | ||
72 | ||
85 | ||
86 | ||
87 | ||
91 |
President, Virtus Variable Insurance Trust
Beginning Account Value July 1, 2020 | Ending Account Value December 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | $ 1,000.00 | $ 1,139.80 | 1.13 % | $ 6.08 | ||||
Class I | 1,000.00 | 1,140.50 | 0.88 | 4.73 | ||||
KAR Capital Growth Series | ||||||||
Class A | 1,000.00 | 1,291.70 | 1.03 | 5.93 | ||||
KAR Equity Income Series | ||||||||
Class A | 1,000.00 | 1,214.50 | 0.98 | 5.46 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 1,000.00 | 1,301.80 | 1.16 | 6.71 | ||||
Class I | 1,000.00 | 1,303.90 | 0.91 | 5.27 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 1,000.00 | 1,292.10 | 1.10 | 6.34 | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | 1,000.00 | 1,073.20 | 0.94 | 4.90 | ||||
Class I | 1,000.00 | 1,075.70 | 0.69 | 3.60 | ||||
SGA International Growth Series | ||||||||
Class A | 1,000.00 | 1,229.10 | 1.19 | 6.67 | ||||
Class I | 1,000.00 | 1,230.10 | 0.94 | 5.27 | ||||
Strategic Allocation Series | ||||||||
Class A | 1,000.00 | 1,227.40 | 0.98 | 5.49 |
* | Expenses are equal to the relevant Series’ annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (184) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
Beginning Account Value July 1, 2020 | Ending Account Value December 31, 2020 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | $ 1,000.00 | $ 1,019.46 | 1.13 % | $ 5.74 | ||||
Class I | 1,000.00 | 1,020.71 | 0.88 | 4.47 | ||||
KAR Capital Growth Series | ||||||||
Class A | 1,000.00 | 1,019.96 | 1.03 | 5.23 | ||||
KAR Equity Income Series | ||||||||
Class A | 1,000.00 | 1,020.21 | 0.98 | 4.98 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 1,000.00 | 1,019.30 | 1.16 | 5.89 | ||||
Class I | 1,000.00 | 1,020.56 | 0.91 | 4.62 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 1,000.00 | 1,019.61 | 1.10 | 5.58 | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | 1,000.00 | 1,020.41 | 0.94 | 4.77 | ||||
Class I | 1,000.00 | 1,021.67 | 0.69 | 3.51 | ||||
SGA International Growth Series | ||||||||
Class A | 1,000.00 | 1,019.15 | 1.19 | 6.04 | ||||
Class I | 1,000.00 | 1,020.41 | 0.94 | 4.77 | ||||
Strategic Allocation Series | ||||||||
Class A | 1,000.00 | 1,020.21 | 0.98 | 4.98 |
* | Expenses are equal to the relevant Series’ annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (184) expenses were accrued in the most recent fiscal half-year, then divided by 366 to reflect the one-half year period. |
December 31, 2020
December 31, 2020
Duff & Phelps Investment Management Co.
■ | The Series is diversified and has investment objectives of capital appreciation and income with approximately equal emphasis. There is no guarantee that the Series will meet its objectives. |
■ | For the fiscal year ended December 31, 2020, the Series’ Class A shares at NAV returned -1.55% and Class I shares at NAV returned -1.33%. For the same period, the FTSE Nareit Equity REITs Index, which serves as the Series’ broad-based and style-specific benchmark appropriate for comparison, returned -8.00%. |
Industrial/Office | 24% |
Residential | 22 |
Retail | 14 |
Data Centers | 12 |
Health Care | 10 |
Self Storage | 7 |
Lodging/Resorts | 4 |
Other (includes short-term investment) | 7 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | -1.55 % | 5.83 % | 8.78 % | — % | — | |||||||
Class I shares at NAV2 | -1.33 | 6.08 | — | 6.57 | 4/30/13 | |||||||
FTSE Nareit Equity REITs Index | -8.00 | 4.77 | 8.31 | 5.47 3 | — | |||||||
Series Expense Ratios4: Class A shares: Gross 1.20%, Net 1.10%; Class I shares: Gross 0.95%, Net 0.85%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The since inception index return is from the inception date of Class I shares. |
4 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2022. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Kayne Anderson Rudnick Investment Management, LLC
■ | The Series is diversified and has an investment objective of long-term growth of capital. There is no guarantee that the Series will meet its objective. |
■ | For the fiscal year ended December 31, 2020, the Series’ Class A shares at NAV returned 50.23%. For the same period, the Russell 1000® Growth Index, which serves as the Series’ broad- based and style-specific benchmark appropriate for comparison, returned 38.49%. |
Information Technology | 36% |
Consumer Discretionary | 24 |
Communication Services | 13 |
Industrials | 10 |
Financials | 5 |
Health Care | 5 |
Consumer Staples | 5 |
Other | 2 |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 50.23% | 21.33% | 16.25% | |||||
Russell 1000® Growth Index | 38.49 | 21.00 | 17.21 | |||||
Series Expense Ratios3: Class A shares: Gross 1.11%, Net 1.03%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. | |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Kayne Anderson Rudnick Investment Management, LLC
■ | The Series is diversified and has investment objectives of capital appreciation and current income. There is no guarantee that the Series will meet its objectives. |
■ | For the fiscal year ended December 31, 2020, the Series’ Class A shares at NAV returned 14.91%. For the same period, the MSCI USA High Dividend Yield Index (net), which serves as both the Series’ broad-based and style-specific index appropriate the comparison, returned 0.62%. |
Industrials | 15% |
Health Care | 14 |
Financials | 12 |
Information Technology | 12 |
Consumer Staples | 11 |
Communication Services | 10 |
Utilities | 10 |
Other (includes short-term investment) | 16 |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 14.91% | 11.63% | 9.92% | |||||
S&P 500® Index* | 18.40 | 15.22 | 13.88 | |||||
MSCI USA High Dividend Yield Index (net) | 0.62 | 9.99 | 11.19 | |||||
Series Expense Ratios3: Class A shares: Gross 1.14%, Net 0.99%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. | |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2022. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Kayne Anderson Rudnick Investment Management, LLC
■ | The Series is diversified and has an investment objective of long-term capital growth. There is no guarantee that the Series will meet its objective. |
■ | For the fiscal year ended December 31, 2020, the Series’ Class A shares at NAV returned 44.64% and Class I shares at NAV returned 45.02%. For the same period, the Russell 2000® Growth Index, which serves as the Series’ broad-based and style-specific benchmark appropriate for comparison, returned 34.63%. |
Information Technology | 34% |
Communication Services | 17 |
Financials | 16 |
Consumer Discretionary | 12 |
Industrials | 9 |
Health Care | 5 |
Consumer Staples | 4 |
Short-Term Investment | 3 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 44.64 % | 31.51 % | 22.55 % | — % | — | |||||||
Class I shares at NAV2 | 45.02 | 31.84 | — | 24.49 | 4/30/13 | |||||||
Russell 2000® Growth Index | 34.63 | 16.36 | 13.48 | 14.52 3 | — | |||||||
Series Expense Ratios4: Class A shares: Gross 1.28%, Net 1.16%; Class I shares: Gross 1.03%, Net 0.91%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The since inception index return is from the inception date of Class I shares. |
4 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Kayne Anderson Rudnick Investment Management, LLC
■ | The Series is diversified and has an investment objective of long-term capital appreciation. There is no guarantee that the Series will meet its objective. |
■ | For the fiscal year ended December 31, 2020, the Series’ Class A shares at NAV returned 29.65%. For the same period, the Russell 2000® Value Index, which serves as the Series’ broad-based and style-specific benchmark appropriate for comparison, returned 4.63%. |
Industrials | 37% |
Financials | 15 |
Consumer Discretionary | 14 |
Information Technology | 13 |
Consumer Staples | 8 |
Materials | 7 |
Real Estate | 4 |
Other | 2 |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 29.65% | 15.63% | 12.69% | |||||
Russell 2000® Value Index | 4.63 | 9.65 | 8.66 | |||||
Series Expense Ratios3: Class A shares: Gross 1.34%, Net 1.10%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. | |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Newfleet Asset Management, LLC
■ | The Series is diversified and has an investment objective of long-term total return. There is no guarantee that the Series will meet its objective. |
■ | For the fiscal year ended December 31, 2020, the Series’ Class A shares at NAV returned 6.53%† and Class I shares at NAV returned 6.78%. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, which serves as the broad-based and style-specific benchmark index appropriate for comparison, returned 7.51%. |
Corporate Bonds and Notes | 46% | |
Financials | 9% | |
Energy | 7 | |
Communication Services | 5 | |
Consumer Discretionary | 4 | |
Industrials | 4 | |
Materials | 4 | |
Information Technology | 3 | |
All other Corporate Bonds and Notes | 10 | |
Mortgage-Backed Securities | 16 | |
Asset-Backed Securities | 11 | |
Leveraged Loans | 10 | |
Foreign Government Securities | 8 | |
U.S. Government Securities | 3 | |
Exchange-Traded Funds | 3 | |
Other (includes securities lending collateral) | 3 | |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 6.53 % 3 | 5.97 % | 4.97 % | — % | — | |||||||
Class I shares at NAV2 | 6.78 | 6.24 | — | 4.05 | 4/30/13 | |||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | 4.44 | 3.84 | 3.33 4 | — | |||||||
Series Expense Ratios5: Class A shares: Gross 0.93%, Net 0.94%; Class I shares: Gross 0.68%, Net 0.69%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | Total Return for the report period presented in the table differs from the return in the Financial Highlights. The total return presented in the above table is calculated based on the NAV at which shareholder transactions were processed. The total return presented in the Financial Highlights section of the report is calculated in the same manner, but also takes into account certain adjustments that are necessary under generally accepted accounting principles required in the annual report and semiannual report. |
4 | The since inception index return is from the inception date of Class I shares. |
5 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2022. Gross Expense: Does not reflect the effect of the expense limitation. Gross Expenses were below the contractual expense limitation before recapture of expenses previously reimbursed and/or fees waived, which is why the net expense ratio is higher than the gross expense ratio. See Note 4D for additional information on Expense Recapture. Expense ratios include fees and expenses associated with any underlying funds. |
Sustainable Growth Advisers, LP
■ | The Series is diversified and has an investment objective of high total return consistent with reasonable risk. There is no guarantee that the Series will meet its objective. |
■ | For the fiscal year ended December 31, 2020, the Series’ Class A shares at NAV returned 23.64% and Class I shares at NAV returned 23.95%. For the same period, the MSCI All Country World ex USA Index (net), which serves as the Series’ broad-based and style-specific benchmark appropriate for comparison, returned 10.65%. |
Consumer Staples | 22% |
Health Care | 20 |
Financials | 16 |
Information Technology | 15 |
Consumer Discretionary | 13 |
Materials | 7 |
Communication Services | 3 |
Other (includes short-term investment and securities lending collateral) | 4 |
Total | 100% |
1 Year | 5 Years | 10 Years | Since inception | Inception date | ||||||||
Class A shares at NAV2 | 23.64 % | 6.86 % | 3.69 % | — % | — | |||||||
Class I shares at NAV2 | 23.95 | 7.12 | — | 2.77 | 4/30/13 | |||||||
MSCI All Country World ex USA Index (net) | 10.65 | 8.93 | 4.92 | 5.41 3 | — | |||||||
Series Expense Ratios4: Class A shares: Gross 1.18%, Net 1.14%; Class I shares: Gross 0.93%, Net 0.89%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The since inception index return is from the inception date of Class I shares. |
4 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2022. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
Kayne Anderson Rudnick Investment Management, LLC (Domestic and International Equity Portfolio) and Newfleet Asset Management, LLC (Fixed Income Portfolio)
■ | The Series is diversified and has an investment objective of high total return over an extended period of time consistent with prudent investment risk. There is no guarantee that the Series will meet its objective. |
■ | For the fiscal year ended December 31, 2020, the Series’ Class A shares at NAV returned 33.96%. For the same period, the Bloomberg Barclays U.S. Aggregate Bond Index, a broad-based fixed income index, returned 7.51%; the MSCI ACWI ex USA SMID Cap Index (net), a broad-based international index, returned 12.01%; and Russell 1000® Growth Index, a broad-based U.S. equity index, returned 38.49%. The Strategic Allocation Series Linked Benchmark, the Series’ style-specific benchmark, returned 22.33%. |
Common Stocks | 73% | |
Information Technology | 24% | |
Consumer Discretionary | 15 | |
Communication Services | 11 | |
All other Common Stocks | 23 | |
Corporate Bonds and Notes | 9 | |
Financials | 4 | |
Real Estate | 1 | |
Industrials | 1 | |
All other Corporate Bonds and Notes | 3 | |
Mortgage-Backed Securities | 7 | |
U.S. Government Securities | 4 | |
Asset-Backed Securities | 3 | |
Municipal Bonds | 2 | |
Leveraged Loans | 1 | |
Other (includes short-term investment) | 1 | |
Total | 100% |
1 Year | 5 Years | 10 Years | ||||||
Class A shares at NAV2 | 33.96% | 13.77% | 10.21% | |||||
Bloomberg Barclays U.S. Aggregate Bond Index | 7.51 | 4.44 | 3.84 | |||||
MSCI ACWI ex USA SMID Cap Index (net) | 12.01 | 8.94 | 5.61 | |||||
Russell 1000® Growth Index | 38.49 | 21.00 | 17.21 | |||||
Strategic Allocation Series Linked Benchmark | 22.33 | 13.01 | 10.96 | |||||
Series Expense Ratios3: Class A shares: Gross 1.01%, Net 0.98%. |
All returns represent past performance which is no guarantee of future results. Current performance may be higher or lower than the performance shown. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The above table and graph below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. Please visit Virtus.com for performance data current to the most recent month-end. | |
1 | Total returns are historical and include changes in share price and the reinvestment of both dividends and capital gain distributions. |
2 | “NAV” (Net Asset Value) total returns do not reflect any fees or expenses associated with the separate insurance products. |
3 | The expense ratios of the Series are set forth according to the prospectus for the Series effective April 30, 2020, as supplemented and revised, and may differ from the expense ratios disclosed in the Financial Highlights tables in this report. See the Financial Highlights for more current expense ratios. Net Expense: Expenses reduced by a contractual expense limitation in effect through April 30, 2021. Gross Expense: Does not reflect the effect of the expense limitation. Expense ratios include fees and expenses associated with any underlying funds. |
December 31, 2020
Shares | Value | ||
Common Stocks—98.2% | |||
Real Estate Investment Trusts—98.2% | |||
Data Centers—12.1% | |||
CyrusOne, Inc. | 35,887 | $ 2,625 | |
Equinix, Inc. | 9,167 | 6,547 | |
9,172 | |||
Diversified—2.9% | |||
VEREIT, Inc. | 58,720 | 2,219 | |
Health Care—10.2% | |||
Healthcare Trust of America, Inc. Class A | 79,650 | 2,194 | |
Healthpeak Properties, Inc. | 99,250 | 3,000 | |
Welltower, Inc. | 39,790 | 2,571 | |
7,765 | |||
Industrial/Office—23.9% | |||
Industrial—13.9% | |||
Duke Realty Corp. | 87,446 | 3,495 | |
Prologis, Inc. | 59,852 | 5,965 | |
Rexford Industrial Realty, Inc. | 21,725 | 1,067 | |
10,527 | |||
Office—10.0% | |||
Alexandria Real Estate Equities, Inc. | 9,693 | 1,728 | |
Boston Properties, Inc. | 22,290 | 2,107 | |
Cousins Properties, Inc. | 72,512 | 2,429 | |
Douglas Emmett, Inc. | 46,740 | 1,364 | |
7,628 | |||
Total Industrial/Office | 18,155 | ||
Lodging/Resorts—4.0% | |||
Host Hotels & Resorts, Inc. | 56,864 | 832 | |
RLJ Lodging Trust | 69,235 | 980 | |
Ryman Hospitality Properties, Inc. | 17,447 | 1,182 | |
2,994 | |||
Residential—21.9% | |||
Apartments—12.7% | |||
Apartment Income REIT Corp.(1) | 44,853 | 1,723 | |
AvalonBay Communities, Inc. | 18,979 | 3,045 | |
Equity Residential | 46,020 | 2,728 | |
Mid-America Apartment Communities, Inc. | 16,800 | 2,128 | |
9,624 | |||
Manufactured Homes—4.3% | |||
Sun Communities, Inc. | 21,751 | 3,305 | |
Single Family Homes—4.9% | |||
American Homes 4 Rent Class A | 80,900 | 2,427 | |
Invitation Homes, Inc. | 43,650 | 1,296 | |
3,723 | |||
Total Residential | 16,652 | ||
Shares | Value | ||
Retail—13.9% | |||
Free Standing—5.3% | |||
Spirit Realty Capital, Inc. | 54,104 | $ 2,174 | |
STORE Capital Corp. | 55,070 | 1,871 | |
4,045 | |||
Regional Malls—2.7% | |||
Simon Property Group, Inc. | 24,101 | 2,055 | |
Shopping Centers—5.9% | |||
Brixmor Property Group, Inc. | 113,092 | 1,872 | |
Regency Centers Corp. | 35,250 | 1,607 | |
Weingarten Realty Investors | 44,350 | 961 | |
4,440 | |||
Total Retail | 10,540 | ||
Self Storage—6.4% | |||
CubeSmart | 75,100 | 2,524 | |
Extra Space Storage, Inc. | 19,966 | 2,313 | |
4,837 | |||
Specialty—2.9% | |||
Crown Castle International Corp. | 1,625 | 259 | |
SBA Communications, Corp. | 3,400 | 959 | |
VICI Properties, Inc. | 38,237 | 975 | |
2,193 | |||
Total Common Stocks (Identified Cost $56,752) | 74,527 | ||
Total Long-Term Investments—98.2% (Identified Cost $56,752) | 74,527 | ||
Short-Term Investment—1.3% | |||
Money Market Mutual Fund—1.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(2) | 1,008,893 | 1,009 | |
Total Short-Term Investment (Identified Cost $1,009) | 1,009 | ||
TOTAL INVESTMENTS—99.5% (Identified Cost $57,761) | $75,536 | ||
Other assets and liabilities, net—0.5% | 357 | ||
NET ASSETS—100.0% | $75,893 |
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 December 31, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $74,527 | $74,527 | |
Money Market Mutual Fund | 1,009 | 1,009 | |
Total Investments | $75,536 | $75,536 |
December 31, 2020
Shares | Value | ||
Common Stocks—99.6% | |||
Communication Services—12.7% | |||
Activision Blizzard, Inc. | 43,860 | $ 4,072 | |
Facebook, Inc. Class A(1) | 58,992 | 16,114 | |
Netflix, Inc.(1) | 19,530 | 10,561 | |
Tencent Holdings Ltd. ADR | 125,900 | 9,051 | |
39,798 | |||
Consumer Discretionary—24.4% | |||
Airbnb, Inc. Class A(1) | 8,049 | 1,182 | |
Alibaba Group Holding Ltd. Sponsored ADR(1) | 57,118 | 13,293 | |
Amazon.com, Inc.(1) | 8,200 | 26,707 | |
Home Depot, Inc. (The) | 13,958 | 3,707 | |
Las Vegas Sands Corp. | 71,172 | 4,242 | |
Marriott International, Inc. Class A | 26,680 | 3,520 | |
MercadoLibre, Inc.(1) | 5,310 | 8,895 | |
NIKE, Inc. Class B | 60,375 | 8,541 | |
Ross Stores, Inc. | 39,047 | 4,795 | |
Trip.com Group Ltd. ADR(1) | 57,150 | 1,928 | |
76,810 | |||
Consumer Staples—4.9% | |||
Estee Lauder Cos., Inc. (The) Class A | 12,498 | 3,327 | |
McCormick & Co., Inc. | 31,140 | 2,977 | |
Monster Beverage Corp.(1) | 47,625 | 4,405 | |
Procter & Gamble Co. (The) | 32,480 | 4,519 | |
15,228 | |||
Financials—5.2% | |||
Bank of America Corp. | 192,810 | 5,844 | |
CME Group, Inc. Class A | 13,840 | 2,520 | |
MarketAxess Holdings, Inc. | 10,630 | 6,065 | |
Progressive Corp. (The) | 20,650 | 2,042 | |
16,471 | |||
Health Care—5.0% | |||
Danaher Corp. | 26,247 | 5,831 | |
HealthEquity, Inc.(1) | 29,900 | 2,084 | |
Zoetis, Inc. Class A | 47,964 | 7,938 | |
15,853 | |||
Industrials—9.6% | |||
CoStar Group, Inc.(1) | 7,540 | 6,969 | |
Equifax, Inc. | 14,030 | 2,706 | |
Fair Isaac Corp.(1) | 7,940 | 4,058 | |
Kansas City Southern | 22,890 | 4,672 |
Shares | Value | ||
Industrials—continued | |||
Roper Technologies, Inc. | 12,302 | $ 5,303 | |
Uber Technologies, Inc.(1) | 128,580 | 6,558 | |
30,266 | |||
Information Technology—36.1% | |||
Accenture plc Class A | 17,781 | 4,645 | |
Amphenol Corp. Class A | 54,994 | 7,191 | |
Avalara, Inc.(1) | 63,540 | 10,477 | |
Bill.com Holdings, Inc.(1) | 136,127 | 18,581 | |
Duck Creek Technologies, Inc.(1)(2) | 153,506 | 6,647 | |
NVIDIA Corp. | 26,183 | 13,673 | |
Paycom Software, Inc.(1) | 30,672 | 13,871 | |
Snowflake, Inc. Class A(1) | 9,976 | 2,807 | |
Trade Desk, Inc. (The) Class A(1) | 20,090 | 16,092 | |
Visa, Inc. Class A | 55,698 | 12,183 | |
Workday, Inc. Class A(1) | 31,550 | 7,560 | |
113,727 | |||
Materials—1.7% | |||
Ecolab, Inc. | 24,424 | 5,284 | |
Total Common Stocks (Identified Cost $93,584) | 313,437 | ||
Total Long-Term Investments—99.6% (Identified Cost $93,584) | 313,437 | ||
TOTAL INVESTMENTS—99.6% (Identified Cost $93,584) | $313,437 | ||
Other assets and liabilities, net—0.4% | 1,389 | ||
NET ASSETS—100.0% | $314,826 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | All or a portion of the security is restricted. |
Country Weightings (Unaudited)† | |
United States | 89% |
China | 8 |
Brazil | 3 |
Total | 100% |
† % of total investments as of December 31, 2020. |
Total Value at December 31, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $313,437 | $313,437 | |
Total Investments | $313,437 | $313,437 |
December 31, 2020
Shares | Value | ||
Common Stocks—98.4% | |||
Communication Services—10.2% | |||
AT&T, Inc. | 100,730 | $ 2,897 | |
Omnicom Group, Inc. | 54,916 | 3,425 | |
Verizon Communications, Inc. | 63,990 | 3,760 | |
10,082 | |||
Consumer Discretionary—6.2% | |||
Home Depot, Inc. (The) | 3,557 | 945 | |
Leggett & Platt, Inc. | 62,530 | 2,770 | |
McDonald’s Corp. | 11,460 | 2,459 | |
6,174 | |||
Consumer Staples—11.0% | |||
Clorox Co. (The) | 4,240 | 856 | |
Coca-Cola Co. (The) | 52,630 | 2,886 | |
Kimberly-Clark Corp. | 18,020 | 2,430 | |
PepsiCo, Inc. | 18,700 | 2,773 | |
Procter & Gamble Co. (The) | 13,590 | 1,891 | |
10,836 | |||
Financials—12.3% | |||
Bank of Hawaii Corp. | 51,891 | 3,976 | |
PNC Financial Services Group, Inc. (The) | 30,892 | 4,603 | |
Zurich Insurance Group AG ADR | 84,864 | 3,583 | |
12,162 | |||
Health Care—13.7% | |||
GlaxoSmithKline plc Sponsored ADR | 82,380 | 3,032 | |
Johnson & Johnson | 12,140 | 1,911 | |
Merck & Co., Inc. | 31,410 | 2,569 | |
Patterson Cos., Inc. | 141,000 | 4,178 | |
Pfizer, Inc. | 48,670 | 1,791 | |
13,481 | |||
Industrials—14.8% | |||
3M Co. | 22,550 | 3,941 | |
Fastenal Co. | 30,048 | 1,467 | |
MSC Industrial Direct Co., Inc. Class A | 28,510 | 2,406 | |
Snap-on, Inc. | 12,820 | 2,194 | |
Watsco, Inc. | 20,140 | 4,563 | |
14,571 | |||
Information Technology—11.9% | |||
Analog Devices, Inc. | 7,115 | 1,051 | |
Cisco Systems, Inc. | 77,300 | 3,459 | |
International Business Machines Corp. | 34,330 | 4,322 | |
Paychex, Inc. | 31,220 | 2,909 | |
11,741 | |||
Shares | Value | ||
Materials—7.2% | |||
Eastman Chemical Co. | 39,520 | $ 3,963 | |
Sonoco Products Co. | 52,810 | 3,129 | |
7,092 | |||
Real Estate—1.6% | |||
Crown Castle International Corp. | 10,020 | 1,595 | |
Utilities—9.5% | |||
Fortis, Inc. | 63,410 | 2,588 | |
NextEra Energy, Inc. | 25,820 | 1,992 | |
Southern Co. (The) | 53,580 | 3,291 | |
WEC Energy Group, Inc. | 16,870 | 1,553 | |
9,424 | |||
Total Common Stocks (Identified Cost $89,523) | 97,158 | ||
Total Long-Term Investments—98.4% (Identified Cost $89,523) | 97,158 | ||
Short-Term Investment—0.5% | |||
Money Market Mutual Fund—0.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(1) | 518,296 | 518 | |
Total Short-Term Investment (Identified Cost $518) | 518 | ||
TOTAL INVESTMENTS—98.9% (Identified Cost $90,041) | $97,676 | ||
Other assets and liabilities, net—1.1% | 1,060 | ||
NET ASSETS—100.0% | $98,736 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United States | 91% |
Switzerland | 3 |
United Kingdom | 3 |
Canada | 3 |
Total | 100% |
† % of total investments as of December 31, 2020. |
Total Value at December 31, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $97,158 | $97,158 | |
Money Market Mutual Fund | 518 | 518 | |
Total Investments | $97,676 | $97,676 |
December 31, 2020
Shares | Value | ||
Common Stocks—94.6% | |||
Communication Services—17.0% | |||
Auto Trader Group plc | 837,000 | $ 6,822 | |
Autohome, Inc. ADR | 71,670 | 7,140 | |
MediaAlpha, Inc. Class A(1) | 75,559 | 2,952 | |
Rightmove plc(1) | 710,930 | 6,327 | |
23,241 | |||
Consumer Discretionary—11.5% | |||
Fox Factory Holding Corp.(1) | 79,355 | 8,388 | |
Ollie’s Bargain Outlet Holdings, Inc.(1) | 90,139 | 7,371 | |
15,759 | |||
Consumer Staples—4.2% | |||
Chefs’ Warehouse, Inc. (The)(1) | 55,660 | 1,430 | |
Grocery Outlet Holding Corp.(1) | 66,365 | 2,605 | |
PriceSmart, Inc. | 18,500 | 1,685 | |
5,720 | |||
Financials—15.4% | |||
FactSet Research Systems, Inc. | 9,229 | 3,069 | |
Goosehead Insurance, Inc. Class A | 23,760 | 2,964 | |
Interactive Brokers Group, Inc. Class A | 77,630 | 4,729 | |
MarketAxess Holdings, Inc. | 7,613 | 4,344 | |
Morningstar, Inc. | 21,510 | 4,981 | |
Oportun Financial Corp.(1) | 53,880 | 1,044 | |
21,131 | |||
Health Care—5.1% | |||
Mesa Laboratories, Inc. | 5,435 | 1,558 | |
National Research Corp. | 50,660 | 2,165 | |
U.S. Physical Therapy, Inc. | 27,600 | 3,319 | |
7,042 | |||
Industrials—8.6% | |||
AAON, Inc. | 76,000 | 5,064 | |
HEICO Corp. Class A | 32,270 | 3,778 | |
Omega Flex, Inc. | 19,859 | 2,899 | |
11,741 | |||
Information Technology—32.8% | |||
Aspen Technology, Inc.(1) | 33,014 | 4,300 | |
Avalara, Inc.(1) | 31,840 | 5,250 | |
Bill.com Holdings, Inc.(1) | 63,735 | 8,700 |
Shares | Value | ||
Information Technology—continued | |||
Blackline, Inc.(1) | 54,190 | $ 7,228 | |
Duck Creek Technologies, Inc.(1)(2) | 164,864 | 7,139 | |
nCino, Inc.(1) | 51,956 | 3,762 | |
NVE Corp. | 8,850 | 497 | |
Paycom Software, Inc.(1) | 8,561 | 3,872 | |
SPS Commerce, Inc.(1) | 39,122 | 4,248 | |
44,996 | |||
Total Common Stocks (Identified Cost $51,551) | 129,630 | ||
Total Long-Term Investments—94.6% (Identified Cost $51,551) | 129,630 | ||
Short-Term Investment—3.4% | |||
Money Market Mutual Fund—3.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(3) | 4,593,037 | 4,593 | |
Total Short-Term Investment (Identified Cost $4,593) | 4,593 | ||
TOTAL INVESTMENTS—98.0% (Identified Cost $56,144) | $134,223 | ||
Other assets and liabilities, net—2.0% | 2,804 | ||
NET ASSETS—100.0% | $137,027 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | All or a portion of the security is restricted. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United States | 85% |
United Kingdom | 10 |
China | 5 |
Total | 100% |
† % of total investments as of December 31, 2020. |
Total Value at December 31, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $129,630 | $129,630 | |
Money Market Mutual Fund | 4,593 | 4,593 | |
Total Investments | $134,223 | $134,223 |
December 31, 2020
Shares | Value | ||
Common Stocks—97.5% | |||
Consumer Discretionary—13.3% | |||
Cheesecake Factory, Inc. (The) | 84,830 | $ 3,144 | |
Leslie’s, Inc.(1) | 72,126 | 2,001 | |
Terminix Global Holdings, Inc.(1) | 74,998 | 3,826 | |
Thor Industries, Inc. | 29,867 | 2,777 | |
11,748 | |||
Consumer Staples—7.9% | |||
National Beverage Corp. | 48,090 | 4,083 | |
WD-40 Co. | 10,750 | 2,856 | |
6,939 | |||
Financials—14.9% | |||
Bank of Hawaii Corp. | 28,970 | 2,220 | |
First Financial Bankshares, Inc. | 34,962 | 1,265 | |
Houlihan Lokey, Inc. | 54,790 | 3,683 | |
Primerica, Inc. | 16,940 | 2,269 | |
RLI Corp. | 25,150 | 2,619 | |
Stock Yards Bancorp, Inc. | 28,331 | 1,147 | |
13,203 | |||
Health Care—1.8% | |||
Anika Therapeutics, Inc.(1) | 34,150 | 1,546 | |
Industrials—36.4% | |||
Albany International Corp. Class A | 36,889 | 2,708 | |
Armstrong World Industries, Inc. | 33,447 | 2,488 | |
Construction Partners, Inc. Class A(1) | 59,000 | 1,717 | |
CoreLogic, Inc. | 43,288 | 3,347 | |
Graco, Inc. | 46,110 | 3,336 | |
John Bean Technologies Corp. | 17,923 | 2,041 | |
Landstar System, Inc. | 19,730 | 2,657 | |
RBC Bearings, Inc.(1) | 17,770 | 3,182 | |
SiteOne Landscape Supply, Inc.(1) | 33,727 | 5,350 |
Shares | Value | ||
Industrials—continued | |||
UniFirst Corp. | 9,303 | $ 1,969 | |
Watsco, Inc. | 15,050 | 3,410 | |
32,205 | |||
Information Technology—12.3% | |||
American Software, Inc. Class A | 69,000 | 1,185 | |
Badger Meter, Inc. | 14,502 | 1,364 | |
Brooks Automation, Inc. | 58,609 | 3,976 | |
EVERTEC, Inc. | 69,199 | 2,721 | |
Jack Henry & Associates, Inc. | 9,940 | 1,610 | |
10,856 | |||
Materials—6.9% | |||
Scotts Miracle-Gro Co. (The) | 30,807 | 6,135 | |
Real Estate—4.0% | |||
MGM Growth Properties LLC Class A | 114,240 | 3,576 | |
Total Common Stocks (Identified Cost $45,840) | 86,208 | ||
Total Long-Term Investments—97.5% (Identified Cost $45,840) | 86,208 | ||
TOTAL INVESTMENTS—97.5% (Identified Cost $45,840) | $86,208 | ||
Other assets and liabilities, net—2.5% | 2,237 | ||
NET ASSETS—100.0% | $88,445 |
Abbreviation: | |
LLC | Limited Liability Company |
Footnote Legend: | |
(1) | Non-income producing. |
Total Value at December 31, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $86,208 | $86,208 | |
Total Investments | $86,208 | $86,208 |
December 31, 2020
Par Value | Value | ||
U.S. Government Securities—3.2% | |||
U.S. Treasury Bond 2.875%, 5/15/49 | $ 200 | $ 258 | |
U.S. Treasury Notes | |||
0.250%, 5/31/25 | 855 | 853 | |
0.375%, 9/20/27 | 585 | 576 | |
1.500%, 2/15/30 | 2,025 | 2,141 | |
Total U.S. Government Securities (Identified Cost $3,833) | 3,828 | ||
Municipal Bonds—0.6% | |||
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 40 | 42 | |
Virginia—0.6% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 625 | 654 | |
Total Municipal Bonds (Identified Cost $662) | 696 | ||
Foreign Government Securities—7.5% | |||
Dominican Republic | |||
144A 6.875%, 1/29/26(1) | 130 | 157 | |
144A 5.950%, 1/25/27(1) | 100 | 117 | |
Emirate of Dubai RegS 5.250%, 1/30/43(2) | 400 | 469 | |
Federative Republic of Brazil 3.875%, 6/12/30 | 200 | 211 | |
Kingdom of Saudi Arabia | |||
144A 3.625%, 3/4/28(1) | 470 | 527 | |
144A 3.250%, 10/22/30(1) | 205 | 226 | |
144A 4.500%, 10/26/46(1) | 305 | 370 | |
Republic of Argentine 0.125%, 7/9/35(3) | 590 | 215 | |
Republic of Colombia 4.125%, 5/15/51 | 220 | 245 | |
Republic of Ecuador 144A 0.500%, 7/31/35(1)(3) | 170 | 92 | |
Republic of Egypt 144A 7.600%, 3/1/29(1) | 400 | 459 | |
Republic of Ghana 144A 8.125%, 3/26/32(1) | 200 | 211 | |
Republic of Indonesia | |||
2.850%, 2/14/30 | 200 | 216 | |
4.200%, 10/15/50 | 225 | 268 | |
144A 4.350%, 1/8/27(1) | 240 | 279 | |
Republic of Kenya 144A 8.000%, 5/22/32(1)(4) | 200 | 233 | |
Republic of Nigeria 144A 7.875%, 2/16/32(1) | 200 | 220 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Republic of Pakistan 144A 8.250%, 9/30/25(1) | $ 200 | $ 220 | |
Republic of Panama 4.300%, 4/29/53 | 355 | 450 | |
Republic of Philippines 3.700%, 3/1/41 | 200 | 231 | |
Republic of South Africa 5.650%, 9/27/47 | 390 | 389 | |
Republic of Turkey | |||
7.375%, 2/5/25 | 230 | 256 | |
4.875%, 10/9/26 | 200 | 202 | |
6.125%, 10/24/28 | 215 | 229 | |
Republic of Uruguay 5.100%, 6/18/50 | 165 | 231 | |
Republic of Venezuela | |||
9.375%, 1/13/34(5) | 295 | 27 | |
RegS 7.650%, 4/21/25(2)(5) | 825 | 76 | |
Russian Federation | |||
RegS 4.375%, 3/21/29(2) | 200 | 233 | |
RegS 5.250%, 6/23/47(2) | 200 | 277 | |
State of Israel 2.750%, 7/3/30 | 345 | 380 | |
State of Qatar 144A 4.400%, 4/16/50(1) | 200 | 261 | |
Ukraine Government 144A 7.253%, 3/15/33(1) | 200 | 218 | |
United Mexican States | |||
4.500%, 1/31/50 | 340 | 398 | |
Series M 6.500%, 6/9/22 | 5,098 MXN | 264 | |
Total Foreign Government Securities (Identified Cost $9,193) | 8,857 | ||
Mortgage-Backed Securities—16.1% | |||
Agency—0.5% | |||
Federal National Mortgage Association | |||
Pool #AT2016 3.000%, 4/1/43 | 246 | 263 | |
Pool #AS4992 3.500%, 5/1/45 | 138 | 149 | |
Pool #AS9393 4.000%, 4/1/47 | 59 | 63 | |
Pool #MA3121 4.000%, 9/1/47 | 130 | 140 | |
615 | |||
Non-Agency—15.6% | |||
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(1) | 435 | 471 | |
2015-SFR1, A 144A 3.467%, 4/17/52(1) | 305 | 327 | |
2015-SFR2, C 144A 4.691%, 10/17/52(1) | 340 | 375 | |
Angel Oak SB Commercial Mortgage Trust 2020-SBC1, A1 144A 1.932%, 5/25/50(1)(3) | 341 | 342 |
Par Value | Value | ||
Non-Agency—continued | |||
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(1)(3) | $ 63 | $ 64 | |
2019-1, A1 144A 3.805%, 1/25/49(1)(3) | 107 | 110 | |
2019-2, A1 144A 3.347%, 4/25/49(1)(3) | 137 | 141 | |
Banc of America Funding Trust 2005-1, 1A1 5.500%, 2/25/35 | 59 | 61 | |
Bayview Opportunity Master Fund IVa Trust 2016-SPL1, B1 144A 4.250%, 4/28/55(1) | 275 | 289 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(1)(3) | 130 | 137 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(1)(3) | 295 | 307 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(1) | 215 | 219 | |
CIT Home Equity Loan Trust 2003-1, A5 5.480%, 7/20/34(3) | 17 | 17 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2019-IMC1, A1 144A 2.720%, 7/25/49(1)(3) | 165 | 168 | |
2015-A, A1 144A 3.500%, 6/25/58(1)(3) | 36 | 36 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(1)(3) | 219 | 220 | |
CoreVest American Finance Trust 2020-4, A 144A 1.174%, 12/15/52(1) | 235 | 235 | |
Credit Suisse Mortgage Capital Trust | |||
2014-IVR2, A2 144A 3.783%, 4/25/44(1)(3) | 54 | 56 | |
2020-RPL4, A1 144A 2.000%, 1/25/60(1) | 375 | 385 | |
Deephaven Residential Mortgage Trust 2017-1A, A2 144A 2.928%, 12/26/46(1)(3) | 6 | 6 | |
Ellington Financial Mortgage Trust 2019-2, A3 144A 3.046%, 11/25/59(1)(3) | 87 | 89 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 9/17/25(1) | 200 | 202 | |
2020-SFR2, B 144A 1.567%, 10/19/37(1) | 335 | 333 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(1)(3) | 62 | 63 | |
2018-1, A23 144A 3.500%, 11/25/57(1)(3) | 115 | 119 | |
2018-2, A41 144A 4.500%, 10/25/58(1)(3) | 114 | 116 | |
2019-H1, A1 144A 2.657%, 10/25/59(1)(3) | 56 | 57 | |
2020-H1, A1 144A 2.310%, 1/25/60(1)(3) | 229 | 233 | |
Home Partners of America Trust 2020-2, A 144A 1.532%, 1/17/41(1) | 222 | 219 | |
Homeward Opportunities Fund I Trust 2019-1, A1 144A 3.454%, 1/25/59(1)(3) | 129 | 131 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(1)(3) | 72 | 73 |
Par Value | Value | ||
Non-Agency—continued | |||
2014-1, 2A12 144A 3.500%, 1/25/44(1)(3) | $ 94 | $ 96 | |
2016-SH1, M2 144A 3.750%, 4/25/45(1)(3) | 146 | 149 | |
2016-SH2, M2 144A 3.750%, 12/25/45(1)(3) | 174 | 181 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(1)(3) | 355 | 359 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 1.348%, 6/25/52(1)(3) | 175 | 175 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.480%, 4/25/55(1)(3) | 150 | 161 | |
2019-1A, A1A 144A 3.750%, 4/25/58(1)(3) | 238 | 256 | |
Mill City Mortgage Loan Trust | |||
2017-1, M2 144A 3.250%, 11/25/58(1)(3) | 100 | 109 | |
2019-1, M2 144A 3.500%, 10/25/69(1)(3) | 165 | 180 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 125 | 134 | |
New Residential Mortgage Loan Trust | |||
2014-1A, A 144A 3.750%, 1/25/54(1)(3) | 143 | 152 | |
2015-2A, A1 144A 3.750%, 8/25/55(1)(3) | 114 | 122 | |
2016-1A, A1 144A 3.750%, 3/25/56(1)(3) | 100 | 106 | |
2016-4A, B1A 144A 4.500%, 11/25/56(1)(3) | 262 | 292 | |
2017-2A, A3 144A 4.000%, 3/25/57(1)(3) | 97 | 105 | |
2018-1A, A1A 144A 4.000%, 12/25/57(1)(3) | 199 | 215 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(1)(3) | 126 | 132 | |
2018-EXP2, 1A1 144A 4.000%, 7/25/58(1)(3) | 178 | 181 | |
Preston Ridge Partners Mortgage LLC | |||
2020-1A, A1 144A 2.981%, 2/25/25(1)(3) | 319 | 320 | |
2020-2, A1 144A 3.671%, 8/25/25(1)(3) | 303 | 306 | |
2020-3, A1 144A 2.857%, 9/25/25(1)(3) | 412 | 415 | |
2020-6, A1 144A 2.363%, 11/25/25(1)(3) | 436 | 436 | |
Pretium Mortgage Credit Partners I LLC 2020-NPL3, A1 144A 3.105%, 6/27/60(1)(3) | 340 | 340 | |
Progress Residential Trust | |||
2018-SFR1, B 144A 3.484%, 3/17/35(1) | 270 | 270 | |
2018-SFR2, B 144A 3.841%, 8/17/35(1) | 545 | 552 | |
2019-SFR2, A 144A 3.147%, 5/17/36(1) | 248 | 256 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(1)(3) | 283 | 288 |
Par Value | Value | ||
Non-Agency—continued | |||
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(1)(3) | $378 | $389 | |
RCO V Mortgage LLC 2019-2, A1 144A 3.475%, 11/25/24(1)(3) | 194 | 194 | |
Residential Asset Mortgage Products Trust 2004-SL1, A8 6.500%, 11/25/31 | 15 | 14 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(1)(3) | 231 | 236 | |
Sequoia Mortgage Trust 2013-8, B1 3.512%, 6/25/43(3) | 118 | 121 | |
Starwood Mortgage Residential Trust | |||
2019-IMC1, A1 144A 3.468%, 2/25/49(1)(3) | 219 | 220 | |
2020-2, A1 144A 2.718%, 4/25/60(1)(3) | 211 | 215 | |
Sutherland Commercial Mortgage Loans 2017-SBC6, A 144A 3.192%, 5/25/37(1)(3) | 16 | 16 | |
Towd Point Mortgage Trust | |||
2016-1, M1 144A 3.500%, 2/25/55(1)(3) | 135 | 143 | |
2015-5, A2 144A 3.500%, 5/25/55(1)(3) | 315 | 326 | |
2017-1, M1 144A 3.750%, 10/25/56(1)(3) | 135 | 147 | |
2017-4, A2 144A 3.000%, 6/25/57(1)(3) | 300 | 323 | |
2017-6, A2 144A 3.000%, 10/25/57(1)(3) | 300 | 319 | |
2018-6, A2 144A 3.750%, 3/25/58(1)(3) | 710 | 793 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(1)(3) | 30 | 30 | |
2019-2, A2 144A 3.750%, 12/25/58(1)(3) | 290 | 320 | |
2015-2, 1M1 144A 3.250%, 11/25/60(1)(3) | 315 | 326 | |
Tricon American Homes Trust | |||
2019-SFR1, C 144A 3.149%, 3/17/38(1) | 235 | 244 | |
2020-SFR2, D 144A 2.281%, 11/17/39(1) | 225 | 222 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(1) | 240 | 242 | |
VCAT LLC | |||
2019-NPL2, A1 144A 3.573%, 11/25/49(1)(3) | 137 | 138 | |
2020-NPL1, A1 144A 3.671%, 8/25/50(1)(3) | 130 | 131 | |
Vericrest Opportunity Loan Trust | |||
2019-NPL2, A1 144A 3.967%, 2/25/49(1)(3) | 103 | 103 | |
2020-NPL2, A1A 144A 2.981%, 2/25/50(1)(3) | 79 | 79 | |
Vericrest Opportunity Loan Trust LXXXV LLC 2020-NPL1, A1A 144A 3.228%, 1/25/50(1)(3) | 198 | 199 | |
Verus Securitization Trust | |||
2018-2, B1 144A 4.426%, 6/1/58(1)(3) | 415 | 433 | |
2018-3, A1 144A 4.108%, 10/25/58(1)(3) | 103 | 105 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-INV1, A1 144A 3.402%, 12/25/59(1)(3) | $163 | $ 165 | |
Visio Trust 2020-1R, A2 144A 1.567%, 11/25/55(1) | 166 | 166 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 140 | 144 | |
Wells Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(1)(3) | 159 | 164 | |
18,556 | |||
Total Mortgage-Backed Securities (Identified Cost $18,738) | 19,171 | ||
Asset-Backed Securities—10.9% | |||
Automobiles—6.3% | |||
American Credit Acceptance Receivables Trust | |||
2018-4, C 144A 3.970%, 1/13/25(1) | 236 | 238 | |
2020-4, D 144A 1.770%, 12/14/26(1) | 285 | 287 | |
AmeriCredit Automobile Receivables Trust | |||
2018-1, D 3.820%, 3/18/24 | 295 | 310 | |
2020-3, C 1.060%, 8/18/26 | 230 | 231 | |
Avid Automobile Receivables Trust | |||
2019-1, C 144A 3.140%, 7/15/26(1) | 355 | 362 | |
2019-1, D 144A 4.030%, 7/15/26(1) | 285 | 287 | |
Avis Budget Rental Car Funding LLC (AESOP) 2020-2A, A 144A 2.020%, 2/20/27(1) | 285 | 290 | |
Capital Auto Receivables Asset Trust 2017-1, D 144A 3.150%, 2/20/25(1) | 340 | 345 | |
CPS Auto Receivables Trust 2018-C, D 144A 4.400%, 6/17/24(1) | 310 | 321 | |
Exeter Automobile Receivables Trust | |||
2018-4A, D 144A 4.350%, 9/16/24(1) | 365 | 382 | |
2019-1A, D 144A 4.130%, 12/16/24(1) | 355 | 370 | |
2019-3A, C 144A 2.790%, 5/15/24(1) | 295 | 301 | |
Flagship Credit Auto Trust | |||
2016-3, D 144A 3.890%, 11/15/22(1) | 386 | 391 | |
2020-3, C 144A 1.730%, 9/15/26(1) | 285 | 292 | |
Foursight Capital Automobile Receivables Trust | |||
2017-1, B 144A 3.050%, 12/15/22(1) | 139 | 139 | |
2019-1, E 144A 4.300%, 9/15/25(1) | 285 | 296 | |
GLS Auto Receivables Issuer Trust | |||
2019-4A, B 144A 2.780%, 9/16/24(1) | 425 | 437 | |
2020-3A, D 144A 2.270%, 5/15/26(1) | 285 | 292 |
Par Value | Value | ||
Automobiles—continued | |||
GLS Auto Receivables Trust | |||
2018-1A, B 144A 3.520%, 8/15/23(1) | $410 | $ 416 | |
2018-3A, C 144A 4.180%, 7/15/24(1) | 455 | 474 | |
Hertz Vehicle Financing II LP | |||
2016-4A, A 144A 2.650%, 7/25/22(1) | 84 | 85 | |
2018-1A, A 144A 3.290%, 2/25/24(1) | 36 | 37 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(1) | 295 | 305 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(1) | 5 | 5 | |
United Auto Credit Securitization Trust 2019-1, E 144A 4.290%, 8/12/24(1) | 295 | 302 | |
Veros Automobile Receivables Trust 2020-1, B 144A 2.190%, 6/16/25(1) | 290 | 292 | |
7,487 | |||
Consumer Loans—0.1% | |||
Marlette Funding Trust 2019-4A, A 144A 2.390%, 12/17/29(1) | 154 | 156 | |
Equipment—0.1% | |||
NMEF Funding LLC 2019-A, A 144A 2.730%, 8/17/26(1) | 124 | 125 | |
Other—4.3% | |||
Amur Equipment Finance Receivables V LLC 2018-1A, A2 144A 3.240%, 12/20/23(1) | 60 | 60 | |
Aqua Finance Trust 2019-A, C 144A 4.010%, 7/16/40(1) | 355 | 366 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(1) | 279 | 286 | |
Business Jet Securities LLC | |||
2019-1, A 144A 4.212%, 7/15/34(1) | 131 | 134 | |
2020-1A, A 144A 2.981%, 11/15/35(1) | 199 | 202 | |
BXG Receivables Note Trust 2020-A, B 144A 2.490%, 2/28/36(1) | 264 | 265 | |
Conn’s Receivables Funding LLC 2020-A, B 144A 4.270%, 6/16/25(1) | 225 | 226 | |
Diamond Resorts Owner Trust 2017-1A, A 144A 3.270%, 10/22/29(1) | 83 | 84 | |
Hardee’s Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(1) | 285 | 292 | |
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(1) | 306 | 316 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(1) | 295 | 315 | |
Lendmark Funding Trust 2018-2A, A 144A 4.230%, 4/20/27(1) | 360 | 370 | |
Mariner Finance Issuance Trust 2020-AA, A 144A 2.190%, 8/21/34(1) | 285 | 289 | |
NMEF Funding LLC 2019-A, C 144A 3.300%, 8/17/26(1) | 240 | 246 | |
Octane Receivables Trust 2020-1A, B 144A 1.980%, 6/20/25(1) | 335 | 337 | |
OneMain Financial Issuance Trust 2018-1A, A 144A 3.300%, 3/14/29(1) | 335 | 338 |
Par Value | Value | ||
Other—continued | |||
Oportun Funding VIII LLC 2018-A, A 144A 3.610%, 3/8/24(1) | $335 | $ 335 | |
Regional Management Issuance Trust 2018-2, A 144A 4.560%, 1/18/28(1) | 295 | 298 | |
Republic Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(1) | 225 | 229 | |
Small Business Lending Trust 2020-A, A 144A 2.620%, 12/15/26(1) | 84 | 84 | |
5,072 | |||
Student Loan—0.1% | |||
SoFi Professional Loan Program LLC 2016-A, A2 144A 2.760%, 12/26/36(1) | 46 | 46 | |
Total Asset-Backed Securities (Identified Cost $12,611) | 12,886 | ||
Corporate Bonds and Notes—45.3% | |||
Communication Services—5.0% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(1) | 250 | 253 | |
ANGI Group LLC 144A 3.875%, 8/15/28(1) | 115 | 117 | |
Baidu, Inc. 3.425%, 4/7/30 | 290 | 321 | |
Cable Onda S.A. 144A 4.500%, 1/30/30(1) | 240 | 265 | |
Cars.com, Inc. 144A 6.375%, 11/1/28(1) | 120 | 127 | |
CCO Holdings LLC | |||
144A 4.750%, 3/1/30(1) | 115 | 124 | |
144A 4.500%, 8/15/30(1) | 150 | 159 | |
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24(1) | 175 | 182 | |
Clear Channel Worldwide Holdings, Inc. | |||
9.250%, 2/15/24 | 62 | 63 | |
144A 5.125%, 8/15/27(1) | 80 | 81 | |
Consolidated Communications, Inc. 144A 6.500%, 10/1/28(1) | 80 | 86 | |
CSC Holdings LLC 144A 4.625%, 12/1/30(1) | 200 | 209 | |
Diamond Sports Group LLC | |||
144A 5.375%, 8/15/26(1) | 105 | 85 | |
144A 6.625%, 8/15/27(1)(4) | 180 | 109 | |
DISH DBS Corp. | |||
5.875%, 7/15/22 | 125 | 131 | |
7.750%, 7/1/26 | 110 | 123 | |
Frontier Communications Corp. 144A 6.750%, 5/1/29(1) | 110 | 118 | |
iHeartCommunications, Inc. 8.375%, 5/1/27 | 106 | 113 | |
Level 3 Financing, Inc. | |||
144A 4.250%, 7/1/28(1) | 145 | 149 | |
144A 3.625%, 1/15/29(1) | 55 | 55 | |
Live Nation Entertainment, Inc. | |||
144A 5.625%, 3/15/26(1) | 55 | 56 | |
144A 4.750%, 10/15/27(1) | 175 | 180 | |
McGraw-Hill Global Education Holdings LLC Senior Unsecured Notes 144A 7.875%, 5/15/24(1) | 170 | 155 |
Par Value | Value | ||
Communication Services—continued | |||
Meredith Corp. 6.875%, 2/1/26 | $145 | $ 141 | |
Nexstar Broadcasting, Inc. 144A 4.750%, 11/1/28(1) | 115 | 120 | |
Northwest Fiber LLC 144A 10.750%, 6/1/28(1) | 105 | 120 | |
Outfront Media Capital LLC 144A 6.250%, 6/15/25(1) | 160 | 169 | |
Radiate Holdco LLC | |||
144A 4.500%, 9/15/26(1) | 40 | 41 | |
144A 6.500%, 9/15/28(1) | 110 | 115 | |
Sprint Corp. 7.875%, 9/15/23 | 105 | 122 | |
Sprint Spectrum Co. LLC | |||
144A 3.360%, 9/20/21(1) | 37 | 38 | |
144A 5.152%, 3/20/28(1) | 200 | 231 | |
Telesat Canada 144A 6.500%, 10/15/27(1) | 300 | 313 | |
Tencent Holdings Ltd. 144A 3.975%, 4/11/29(1) | 400 | 456 | |
TripAdvisor, Inc. 144A 7.000%, 7/15/25(1) | 90 | 97 | |
Twitter, Inc. 144A 3.875%, 12/15/27(1) | 260 | 277 | |
Univision Communications, Inc. | |||
144A 5.125%, 2/15/25(1) | 175 | 176 | |
144A 6.625%, 6/1/27(1) | 45 | 48 | |
Virgin Media Finance plc 144A 5.000%, 7/15/30(1) | 220 | 228 | |
5,953 | |||
Consumer Discretionary—4.4% | |||
99 Escrow Issuer, Inc. 144A 7.500%, 1/15/26(1) | 10 | 10 | |
American Axle & Manufacturing, Inc. 6.500%, 4/1/27 | 110 | 116 | |
American Builders & Contractors Supply Co., Inc. 144A 4.000%, 1/15/28(1) | 165 | 171 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(1) | 165 | 176 | |
Block Financial LLC 3.875%, 8/15/30 | 320 | 346 | |
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(1) | 55 | 59 | |
144A 8.125%, 7/1/27(1) | 40 | 44 | |
Caesars Resort Collection LLC 144A 5.750%, 7/1/25(1) | 5 | 5 | |
Carnival Corp. | |||
144A 11.500%, 4/1/23(1) | 40 | 46 | |
144A 7.625%, 3/1/26(1) | 25 | 27 | |
Carvana Co. | |||
144A 5.625%, 10/1/25(1) | 90 | 92 | |
144A 5.875%, 10/1/28(1) | 90 | 94 | |
Clarios Global LP 144A 8.500%, 5/15/27(1) | 90 | 98 | |
Cooper-Standard Automotive, Inc. 144A 13.000%, 6/1/24(1) | 110 | 129 | |
Dana, Inc. 5.375%, 11/15/27 | 154 | 163 | |
Dave & Buster’s, Inc. 144A 7.625%, 11/1/25(1) | 20 | 21 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Downstream Development Authority of the Quapaw Tribe of Oklahoma 144A 10.500%, 2/15/23(1) | $185 | $ 188 | |
FirstCash, Inc. 144A 4.625%, 9/1/28(1) | 95 | 98 | |
Ford Motor Co. 9.000%, 4/22/25 | 162 | 199 | |
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24(1) | 285 | 268 | |
General Motors Co. 6.800%, 10/1/27 | 145 | 186 | |
Golden Nugget, Inc. 144A 8.750%, 10/1/25(1)(4) | 130 | 134 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(1) | 165 | 175 | |
Lear Corp. 3.800%, 9/15/27 | 290 | 325 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 160 | 169 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 125 | 127 | |
MGM Growth Properties Operating Partnership LP | |||
5.750%, 2/1/27 | 85 | 95 | |
144A 4.625%, 6/15/25(1) | 25 | 27 | |
NCL Corp., Ltd. 144A 5.875%, 3/15/26(1) | 45 | 47 | |
Nissan Motor Co. Ltd. 144A 4.810%, 9/17/30(1) | 200 | 225 | |
PulteGroup, Inc. 7.875%, 6/15/32 | 135 | 202 | |
Royal Caribbean Cruises Ltd. 144A 9.125%, 6/15/23(1) | 30 | 33 | |
Scientific Games International, Inc. | |||
144A 8.250%, 3/15/26(1) | 80 | 86 | |
144A 7.000%, 5/15/28(1) | 40 | 43 | |
Station Casinos LLC 144A 4.500%, 2/15/28(1) | 135 | 136 | |
Under Armour, Inc. 3.250%, 6/15/26 | 170 | 171 | |
Vista Outdoor, Inc. 5.875%, 10/1/23 | 125 | 126 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(1) | 210 | 220 | |
Wynn Macau Ltd. 144A 5.625%, 8/26/28(1) | 285 | 299 | |
5,176 | |||
Consumer Staples—1.5% | |||
Albertsons Cos., Inc. 144A 4.625%, 1/15/27(1) | 235 | 250 | |
Altria Group, Inc. 4.800%, 2/14/29 | 360 | 432 | |
Anheuser-Busch InBev Worldwide, Inc. 4.750%, 1/23/29 | 265 | 327 | |
BAT Capital Corp. 4.906%, 4/2/30 | 245 | 296 | |
Chobani LLC 144A 7.500%, 4/15/25(1) | 180 | 189 | |
Kraft Heinz Foods Co. 144A 3.875%, 5/15/27(1) | 105 | 113 | |
Kronos Acquisition Holdings, Inc. | |||
144A 9.000%, 8/15/23(1) | 100 | 102 |
Par Value | Value | ||
Consumer Staples—continued | |||
144A 5.000%, 12/31/26(1) | $ 5 | $ 5 | |
144A 7.000%, 12/31/27(1) | 25 | 26 | |
1,740 | |||
Energy—6.8% | |||
Aker BP ASA 144A 2.875%, 1/15/26(1) | 150 | 153 | |
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(1) | 225 | 191 | |
Antero Midstream Partners LP | |||
144A 7.875%, 5/15/26(1) | 80 | 83 | |
144A 5.750%, 1/15/28(1) | 105 | 101 | |
Apache Corp. 4.625%, 11/15/25 | 110 | 115 | |
Ascent Resources Utica Holdings LLC 144A 8.250%, 12/31/28(1) | 100 | 100 | |
Blue Racer Midstream LLC | |||
144A 7.625%, 12/15/25(1) | 5 | 5 | |
144A 6.625%, 7/15/26(1) | 135 | 136 | |
BP Capital Markets plc 4.875% (6) | 275 | 307 | |
Callon Petroleum Co. 6.125%, 10/1/24 | 101 | 58 | |
Cheniere Energy Partners LP 5.625%, 10/1/26 | 65 | 68 | |
Cheniere Energy, Inc. 144A 4.625%, 10/15/28(1) | 65 | 68 | |
Cimarex Energy Co. 4.375%, 3/15/29 | 265 | 302 | |
Citgo Holding, Inc. 144A 9.250%, 8/1/24(1) | 55 | 51 | |
Citgo Petroleum Corp. 144A 7.000%, 6/15/25(1) | 110 | 110 | |
Concho Resources, Inc. 2.400%, 2/15/31 | 350 | 366 | |
Continental Resources, Inc. 4.375%, 1/15/28 | 125 | 127 | |
CrownRock LP 144A 5.625%, 10/15/25(1) | 135 | 138 | |
Energy Transfer Partners LP 5.000%, 10/1/22 | 314 | 333 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(1) | 45 | 49 | |
144A 6.500%, 7/1/27(1) | 50 | 56 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 360 | 402 | |
KazMunayGas National Co., JSC 144A 4.750%, 4/19/27(1) | 395 | 458 | |
Kinder Morgan, Inc. 7.750%, 1/15/32 | 225 | 326 | |
Mesquite Energy, Inc. 144A 7.250%, 2/15/23(1) | 120 | 1 | |
Northriver Midstream Finance LP 144A 5.625%, 2/15/26(1) | 120 | 124 | |
NuStar Logistics LP 6.375%, 10/1/30 | 40 | 45 | |
Occidental Petroleum Corp. | |||
2.700%, 8/15/22 | 55 | 55 | |
5.875%, 9/1/25 | 80 | 85 | |
5.500%, 12/1/25 | 5 | 5 | |
3.500%, 8/15/29 | 55 | 50 | |
6.625%, 9/1/30 | 115 | 125 |
Par Value | Value | ||
Energy—continued | |||
6.125%, 1/1/31 | $ 80 | $ 86 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000% (1)(6) | 60 | — (7) | |
Parsley Energy LLC 144A 4.125%, 2/15/28(1) | 110 | 117 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 180 | 165 | |
Pertamina Persero PT 144A 6.450%, 5/30/44(1) | 320 | 434 | |
Petrobras Global Finance B.V. | |||
5.999%, 1/27/28 | 180 | 211 | |
5.600%, 1/3/31 | 105 | 121 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(1)(5) | 650 | 23 | |
Petroleos Mexicanos | |||
6.875%, 8/4/26 | 170 | 186 | |
5.950%, 1/28/31 | 305 | 304 | |
6.375%, 1/23/45 | 185 | 170 | |
6.350%, 2/12/48 | 300 | 272 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(1) | 220 | 252 | |
Plains All American Pipeline LP 3.800%, 9/15/30 | 270 | 290 | |
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | 175 | 201 | |
Sunoco LP 144A 4.500%, 5/15/29(1) | 175 | 182 | |
Targa Resources Partners LP | |||
5.875%, 4/15/26 | 125 | 132 | |
144A 4.875%, 2/1/31(1) | 45 | 49 | |
Transocean, Inc. 144A 11.500%, 1/30/27(1) | 59 | 42 | |
USA Compression Partners LP 6.875%, 4/1/26 | 55 | 57 | |
WPX Energy, Inc. 4.500%, 1/15/30 | 220 | 233 | |
8,120 | |||
Financials—9.1% | |||
Acrisure LLC | |||
144A 8.125%, 2/15/24(1) | 80 | 85 | |
144A 7.000%, 11/15/25(1) | 165 | 172 | |
AerCap Ireland Capital DAC 3.650%, 7/21/27 | 150 | 163 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53 | 280 | 300 | |
Ascot Group Ltd. 144A 4.250%, 12/15/30(1) | 134 | 137 | |
Athene Global Funding 144A 2.450%, 8/20/27(1) | 340 | 352 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(1) | 335 | 385 | |
Banco de Credito e Inversiones S.A. 144A 3.500%, 10/12/27(1) | 215 | 238 | |
Bank of America Corp. 4.200%, 8/26/24 | 223 | 250 | |
Bank of Montreal 3.803%, 12/15/32 | 326 | 369 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(1) | 275 | 296 | |
Brighthouse Financial, Inc. | |||
3.700%, 6/22/27 | 60 | 65 |
Par Value | Value | ||
Financials—continued | |||
5.625%, 5/15/30 | $210 | $ 259 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 270 | 290 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 350 | 397 | |
Charles Schwab Corp. (The) Series H 4.000% (6) | 285 | 300 | |
Citadel LP 144A 4.875%, 1/15/27(1) | 235 | 256 | |
Citigroup, Inc. 3.980%, 3/20/30 | 265 | 312 | |
Discover Bank 4.682%, 8/9/28 | 340 | 361 | |
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21(1) | 440 | 444 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 365 | 408 | |
Goldman Sachs Group, Inc. (The) 3.850%, 1/26/27 | 280 | 319 | |
ICAHN Enterprises LP 6.250%, 5/15/26 | 155 | 164 | |
Intercorp Peru Ltd. 144A 3.875%, 8/15/29(1) | 235 | 244 | |
Jefferies Financial Group, Inc. 5.500%, 10/18/23 | 100 | 110 | |
Jefferies Group LLC 4.850%, 1/15/27 | 60 | 70 | |
JPMorgan Chase & Co. | |||
2.950%, 10/1/26 | 475 | 527 | |
2.956%, 5/13/31 | 540 | 592 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(1) | 130 | 128 | |
Liberty Mutual Insurance Co. 144A 8.500%, 5/15/25(1) | 25 | 31 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 2.258%, 4/20/67(3) | 365 | 273 | |
MetLife, Inc. Series G 3.850% (6) | 245 | 259 | |
Navient Corp. 6.750%, 6/25/25 | 120 | 131 | |
NMI Holdings, Inc. 144A 7.375%, 6/1/25(1) | 70 | 78 | |
OneMain Finance Corp. 7.125%, 3/15/26 | 110 | 130 | |
Prudential Financial, Inc. 5.875%, 9/15/42 | 280 | 300 | |
Santander Holdings USA, Inc. 4.400%, 7/13/27 | 200 | 229 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 109 | 118 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 295 | 334 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 240 | 254 | |
Wells Fargo & Co. Series S 5.900% (6) | 300 | 318 | |
Zions Bancorp NA 3.250%, 10/29/29 | 350 | 369 | |
10,817 | |||
Par Value | Value | ||
Health Care—2.9% | |||
AdaptHealth LLC 144A 4.625%, 8/1/29(1) | $ 20 | $ 21 | |
Advanz Pharma Corp., Ltd. 8.000%, 9/6/24 | 41 | 41 | |
Akumin, Inc. 144A 7.000%, 11/1/25(1) | 125 | 131 | |
Avantor Funding, Inc. 144A 4.625%, 7/15/28(1) | 20 | 21 | |
Bausch Health Americas, Inc. 144A 9.250%, 4/1/26(1) | 90 | 100 | |
Bausch Health Cos., Inc. 144A 7.000%, 1/15/28(1) | 140 | 154 | |
Centene Corp. 4.625%, 12/15/29 | 100 | 111 | |
Change Healthcare Holdings LLC 144A 5.750%, 3/1/25(1) | 145 | 148 | |
Cheplapharm Arzneimittel GmbH 144A 5.500%, 1/15/28(1) | 200 | 209 | |
Community Health Systems, Inc. 144A 6.625%, 2/15/25(1) | 110 | 116 | |
DaVita, Inc. 144A 3.750%, 2/15/31(1) | 130 | 132 | |
Endo Dac 144A 6.000%, 7/15/23(1) | 100 | 85 | |
HCA, Inc. 5.625%, 9/1/28 | 90 | 106 | |
Herbalife Nutrition Ltd. 144A 7.875%, 9/1/25(1) | 215 | 235 | |
Jaguar Holding Co. II 144A 5.000%, 6/15/28(1) | 90 | 96 | |
Legacy LifePoint Health LLC | |||
144A 6.750%, 4/15/25(1) | 50 | 54 | |
144A 4.375%, 2/15/27(1) | 85 | 86 | |
LifePoint Health, Inc. 144A 5.375%, 1/15/29(1) | 45 | 45 | |
Ortho-Clinical Diagnostics, Inc. 144A 7.375%, 6/1/25(1) | 55 | 59 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(1) | 75 | 81 | |
Perrigo Finance Unlimited Co. 4.375%, 3/15/26 | 300 | 339 | |
Royalty Pharma plc 144A 2.200%, 9/2/30(1) | 213 | 219 | |
Select Medical Corp. 144A 6.250%, 8/15/26(1) | 105 | 113 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(1) | 35 | 36 | |
144A 10.000%, 4/15/27(1) | 100 | 110 | |
Syneos Health, Inc. 144A 3.625%, 1/15/29(1) | 30 | 30 | |
Tenet Healthcare Corp. | |||
4.625%, 7/15/24 | 70 | 72 | |
144A 5.125%, 11/1/27(1) | 80 | 85 | |
144A 7.500%, 4/1/25(1) | 15 | 16 | |
Teva Pharmaceutical Finance Netherlands III B.V. 3.150%, 10/1/26 | 215 | 207 | |
West Street Merger Sub, Inc. 144A 6.375%, 9/1/25(1) | 230 | 236 | |
3,494 | |||
Par Value | Value | ||
Industrials—3.9% | |||
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(1) | $195 | $ 208 | |
American Airlines, Inc. 144A 11.750%, 7/15/25(1) | 235 | 271 | |
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(1) | 360 | 380 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(1) | 355 | 355 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(1) | 188 | 203 | |
Boeing Co. (The) | |||
5.150%, 5/1/30 | 175 | 212 | |
3.750%, 2/1/50 | 85 | 89 | |
5.930%, 5/1/60 | 69 | 98 | |
Bombardier, Inc. 144A 8.750%, 12/1/21(1) | 125 | 130 | |
CoStar Group, Inc. 144A 2.800%, 7/15/30(1) | 285 | 296 | |
CP Atlas Buyer, Inc. 144A 7.000%, 12/1/28(1) | 135 | 140 | |
Fortress Transportation & Infrastructure Investors LLC | |||
144A 6.500%, 10/1/25(1) | 15 | 16 | |
144A 9.750%, 8/1/27(1) | 25 | 29 | |
GFL Environmental, Inc. | |||
144A 8.500%, 5/1/27(1) | 72 | 80 | |
144A 4.000%, 8/1/28(1) | 85 | 86 | |
Hillenbrand, Inc. 5.000%, 9/15/26 | 255 | 286 | |
Howmet Aerospace, Inc. 6.875%, 5/1/25 | 115 | 136 | |
LBM Acquisition LLC 144A 6.250%, 1/15/29(1) | 155 | 161 | |
Norwegian Air Shuttle ASA Pass-Through Trust 2016-1, A 144A 4.875%, 5/10/28(1) | 279 | 255 | |
Signature Aviation US Holdings, Inc. 144A 4.000%, 3/1/28(1) | 180 | 181 | |
Spirit AeroSystems, Inc. | |||
3.950%, 6/15/23 | 65 | 64 | |
144A 5.500%, 1/15/25(1) | 110 | 116 | |
Standard Industries, Inc. 144A 4.375%, 7/15/30(1) | 185 | 198 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60 | 267 | 284 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(1) | 120 | 124 | |
Uber Technologies, Inc. 144A 7.500%, 5/15/25(1) | 200 | 216 | |
4,614 | |||
Information Technology—3.3% | |||
Banff Merger Sub, Inc. 144A 9.750%, 9/1/26(1) | 80 | 86 | |
Black Knight InfoServ LLC 144A 3.625%, 9/1/28(1) | 125 | 128 | |
Broadcom, Inc. 4.150%, 11/15/30 | 280 | 324 | |
Citrix Systems, Inc. 3.300%, 3/1/30 | 420 | 464 | |
Dell International LLC 144A 8.100%, 7/15/36(1) | 140 | 207 |
Par Value | Value | ||
Information Technology—continued | |||
HP, Inc. 3.400%, 6/17/30 | $345 | $ 384 | |
J2 Global, Inc. 144A 4.625%, 10/15/30(1) | 110 | 116 | |
Leidos, Inc. 144A 2.300%, 2/15/31(1) | 310 | 316 | |
Microchip Technology, Inc. 144A 4.250%, 9/1/25(1) | 170 | 180 | |
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | 168 | 202 | |
4.600%, 5/23/29 | 120 | 144 | |
NCR Corp. 144A 5.250%, 10/1/30(1) | 20 | 22 | |
Open Text Holdings, Inc. 144A 4.125%, 2/15/30(1) | 145 | 154 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(1) | 220 | 233 | |
Seagate HDD Cayman 144A 3.375%, 7/15/31(1) | 120 | 121 | |
Veritas US, Inc. 144A 7.500%, 9/1/25(1) | 165 | 169 | |
ViaSat, Inc. 144A 5.625%, 9/15/25(1) | 175 | 179 | |
VMware, Inc. | |||
3.900%, 8/21/27 | 175 | 197 | |
4.700%, 5/15/30 | 125 | 150 | |
Xerox Holdings Corp. 144A 5.500%, 8/15/28(1) | 135 | 143 | |
3,919 | |||
Materials—3.6% | |||
ARD Finance S.A. PIK 144A 6.500%, 6/30/27(1)(8) | 235 | 251 | |
Avient Corp. 144A 5.750%, 5/15/25(1) | 215 | 228 | |
Chemours Co. (The) 144A 5.750%, 11/15/28(1) | 110 | 112 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(1) | 170 | 184 | |
Equate Petrochemical BV 144A 4.250%, 11/3/26(1) | 340 | 379 | |
Hecla Mining Co. 7.250%, 2/15/28 | 200 | 218 | |
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(1) | 350 | 392 | |
Kaiser Aluminum Corp. | |||
144A 6.500%, 5/1/25(1) | 20 | 21 | |
144A 4.625%, 3/1/28(1) | 120 | 125 | |
Kraton Polymers LLC | |||
144A 7.000%, 4/15/25(1) | 170 | 179 | |
144A 4.250%, 12/15/25(1) | 35 | 36 | |
Mauser Packaging Solutions Holding Co. 144A 7.250%, 4/15/25(1) | 185 | 187 | |
Novelis Corp. 144A 4.750%, 1/30/30(1) | 220 | 237 | |
Nutrition & Biosciences, Inc. 144A 2.300%, 11/1/30(1) | 230 | 237 | |
Olin Corp. 5.625%, 8/1/29 | 115 | 125 | |
Schweitzer-Mauduit International, Inc. 144A 6.875%, 10/1/26(1) | 175 | 185 |
Par Value | Value | ||
Materials—continued | |||
Syngenta Finance N.V. 144A 4.441%, 4/24/23(1) | $400 | $ 420 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 260 | 335 | |
TPC Group, Inc. 144A 10.500%, 8/1/24(1) | 55 | 45 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(1) | 115 | 122 | |
144A 6.625%, 11/1/25(1) | 130 | 132 | |
United States Steel Corp. 144A 12.000%, 6/1/25(1) | 160 | 185 | |
4,335 | |||
Real Estate—2.1% | |||
EPR Properties 4.750%, 12/15/26 | 130 | 131 | |
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(1) | 175 | 179 | |
GLP Capital LP | |||
5.250%, 6/1/25 | 185 | 208 | |
5.750%, 6/1/28 | 64 | 76 | |
5.300%, 1/15/29 | 95 | 111 | |
Iron Mountain, Inc. 144A 4.875%, 9/15/29(1) | 245 | 259 | |
iStar, Inc. 4.250%, 8/1/25 | 175 | 173 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 125 | 133 | |
4.625%, 8/1/29 | 45 | 48 | |
3.500%, 3/15/31 | 145 | 150 | |
Office Properties Income Trust 4.500%, 2/1/25 | 385 | 408 | |
Service Properties Trust 4.950%, 2/15/27 | 195 | 196 | |
Spirit Realty LP 3.200%, 2/15/31 | 295 | 313 | |
Uniti Group LP | |||
8.250%, 10/15/23 | 105 | 106 | |
144A 7.875%, 2/15/25(1) | 55 | 59 | |
2,550 | |||
Utilities—2.7% | |||
American Electric Power Co., Inc. 2.300%, 3/1/30 | 332 | 346 | |
CMS Energy Corp. 4.750%, 6/1/50 | 275 | 310 | |
Dominion Energy, Inc. 3.375%, 4/1/30 | 265 | 302 | |
DPL, Inc. 4.350%, 4/15/29 | 164 | 184 | |
Edison International 4.125%, 3/15/28 | 285 | 318 | |
Exelon Corp. 3.497%, 6/1/22 | 255 | 265 | |
Ferrellgas Partners LP 8.625%, 6/15/20(5) | 50 | 13 | |
National Fuel Gas Co. 5.500%, 1/15/26 | 230 | 265 | |
Perusahaan Listrik Negara PT 144A 4.125%, 5/15/27(1) | 390 | 431 | |
PG&E Corp. 5.250%, 7/1/30 | 90 | 99 |
Par Value | Value | ||
Utilities—continued | |||
Talen Energy Supply LLC | |||
144A 7.250%, 5/15/27(1) | $ 55 | $ 58 | |
144A 6.625%, 1/15/28(1) | 150 | 157 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(1) | 110 | 124 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(1)(9) | 465 | — | |
Vistra Operations Co. LLC 144A 3.700%, 1/30/27(1) | 265 | 292 | |
3,164 | |||
Total Corporate Bonds and Notes (Identified Cost $50,822) | 53,882 | ||
Leveraged Loans(3)—10.0% | |||
Aerospace—0.5% | |||
AI Convoy (Luxembourg) S.a.r.l. Tranche B (6 month LIBOR + 3.500%) 4.500%, 1/18/27 | 179 | 178 | |
Amentum Government Services Holdings LLC First Lien, Tranche 2 (3 month LIBOR + 4.750%) 5.500%, 1/29/27 | 95 | 96 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27 | 165 | 172 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 2.397%, 5/30/25 | 53 | 52 | |
Tranche F (1 month LIBOR + 2.250%) 2.397%, 12/9/25 | 45 | 44 | |
Tranche G (1 month LIBOR + 2.250%) 2.397%, 8/22/24 | 29 | 28 | |
570 | |||
Chemicals—0.2% | |||
Aruba Investments Holdings LLC First Lien (3 month LIBOR + 4.000%) 4.750%, 11/24/27 | 95 | 95 | |
Innophos Holdings, Inc. (1 month LIBOR + 3.500%) 3.647%, 2/5/27 | 109 | 109 | |
204 | |||
Consumer Non-Durables—0.6% | |||
American Greetings Corp. (1 month LIBOR + 4.500%) 5.500%, 4/6/24 | 78 | 78 | |
Diamond (BC) B.V. | |||
(3 month LIBOR + 3.000%) 3.214%, 9/6/24 | 233 | 229 | |
(3 month LIBOR + 5.000%) 6.000%, 9/6/24 | 60 | 60 | |
Parfums Holding Co., Inc. First Lien (3 month LIBOR + 4.000%) 4.000%, 6/30/24 | 108 | 107 | |
Rodan & Fields LLC (1 month LIBOR + 4.000%) 4.159%, 6/16/25 | 151 | 124 | |
ZEP, Inc. First Lien (3 month LIBOR + 4.000%) 5.000%, 8/12/24 | 134 | 131 | |
729 | |||
Par Value | Value | ||
Energy—0.3% | |||
CITGO Petroleum Corp. 2019, Tranche B (3 month LIBOR + 6.250%) 7.250%, 3/28/24 | $ 94 | $ 93 | |
Fieldwood Energy LLC First Lien (3 month PRIME + 4.250%) 7.500%, 4/11/22(10) | 270 | 61 | |
Hamilton Projects Acquiror LLC (3 month LIBOR + 4.750%) 5.750%, 6/17/27 | 114 | 114 | |
Paragon Offshore Finance Co. (3 month PRIME + 0.000%) 3.250%, 7/16/21(5)(9) | 1 | — | |
Traverse Midstream Partners LLC (1 month LIBOR + 5.500%) 6.500%, 9/27/24 | 134 | 131 | |
399 | |||
Financial—0.4% | |||
Asurion LLC Tranche B-2, Second Lien (1 month LIBOR + 6.500%) 6.647%, 8/4/25 | 103 | 104 | |
Avolon TLB Borrower 1 US LLC Tranche B-5 (1 month LIBOR + 2.500%) 3.250%, 12/1/27 | 95 | 95 | |
Deerfield Dakota Holding LLC First Lien (1 month LIBOR + 3.750%) 4.750%, 4/9/27 | 159 | 159 | |
iStar, Inc. Tranche B (1 month LIBOR + 2.750%) 2.903%, 6/28/23 | 167 | 166 | |
524 | |||
Food / Tobacco—0.5% | |||
Arterra Wines Canada, Inc. Tranche B-1 (3 month LIBOR + 3.500%) 4.250%, 11/24/27 | 10 | 10 | |
Chobani LLC (1 month LIBOR + 3.500%) 4.500%, 10/20/27 | 60 | 60 | |
Dole Food Co., Inc. Tranche B (3 month LIBOR + 2.750%) 3.750%, 4/6/24 | 116 | 116 | |
Froneri US, Inc. Tranche B-2 (1 month LIBOR + 2.250%) 2.397%, 1/29/27 | 60 | 59 | |
H-Food Holdings LLC (3 month LIBOR + 3.688%) 3.833%, 5/23/25 | 138 | 136 | |
Milk Specialties Co. (1 month LIBOR + 4.000%) 5.000%, 8/16/23 | 105 | 104 | |
Shearer’s Foods LLC First Lien (3 month LIBOR + 4.000%) 4.750%, 9/23/27 | 126 | 126 | |
611 | |||
Forest Prod / Containers—0.2% | |||
Klockner Pentaplast of America, Inc. (3 month LIBOR + 4.250%) 5.250%, 6/30/22 | 174 | 173 | |
Spectrum Holdings III Corp. First Lien (6 month LIBOR + 3.250%) 4.250%, 1/31/25 | 80 | 75 | |
248 | |||
Par Value | Value | ||
Gaming / Leisure—0.7% | |||
Carnival Corp. (1 month LIBOR + 7.500%) 8.500%, 6/30/25 | $ 40 | $ 41 | |
CCM Merger, Inc. Tranche B (1 month LIBOR + 3.750%) 4.500%, 11/4/25 | 70 | 70 | |
Everi Payments, Inc. | |||
(1 month LIBOR + 10.500%) 11.500%, 5/9/24 | 10 | 10 | |
Tranche B (1 month LIBOR + 2.750%) 3.750%, 5/9/24 | 60 | 59 | |
Landry’s Finance Acquisition Co. 2020 (3 month LIBOR + 12.000%) 13.000%, 10/6/23 | 10 | 11 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.750%, 4/29/24 | 184 | 169 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 3.647%, 2/12/27 | 188 | 179 | |
Scientific Games International, Inc. Tranche B-5 (1 month LIBOR + 2.750%) 2.897%, 8/14/24 | 62 | 60 | |
Stars Group Holdings B.V. (3 month LIBOR + 3.500%) 3.754%, 7/10/25 | 74 | 74 | |
UFC Holdings LLC Tranche B (6 month LIBOR + 3.250%) 4.250%, 4/29/26 | 116 | 116 | |
789 | |||
Healthcare—2.4% | |||
Accelerated Health Systems LLC (1 month LIBOR + 3.500%) 3.652%, 10/31/25 | 123 | 120 | |
AHP Health Partners, Inc. (1 month LIBOR + 4.500%) 5.500%, 6/30/25 | 184 | 184 | |
ASP Navigate Acquisition Corp. (3 month LIBOR + 4.500%) 5.500%, 10/6/27 | 70 | 70 | |
Azalea TopCo, Inc. (3 month LIBOR + 4.000%) 4.750%, 7/24/26 | 125 | 125 | |
Cano Health LLC | |||
(3 month LIBOR + 1.000%) 1.000%, 11/19/27(11) | 40 | 40 | |
(3 month LIBOR + 5.250%) 6.000%, 11/19/27 | 110 | 109 | |
CHG Healthcare Services, Inc. (3 month LIBOR + 3.000%) 4.000%, 6/7/23 | 54 | 53 | |
CT Technologies Intermediate Holdings, Inc. (1 month LIBOR + 5.000%) 6.000%, 12/16/25 | 110 | 109 | |
Envision Healthcare Corp. (1 month LIBOR + 3.750%) 3.897%, 10/10/25 | 104 | 87 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.897%, 11/17/25 | 170 | 170 | |
Milano Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 4.750%, 10/1/27 | 170 | 170 | |
National Mentor Holdings, Inc. | |||
Tranche B (3 month LIBOR + 4.250%) 0.000%, 3/9/26(12) | 58 | 58 | |
Tranche C (3 month LIBOR + 4.250%) 0.000%, 3/9/26(12) | 2 | 2 |
Par Value | Value | ||
Healthcare—continued | |||
Navicure, Inc. | |||
(1 month LIBOR + 4.000%) 4.147%, 10/22/26 | $ 84 | $ 84 | |
Tranche B (1 month LIBOR + 4.000%) 4.750%, 10/22/26 | 40 | 40 | |
One Call Corp. First Lien (3 month LIBOR + 5.250%) 6.250%, 11/27/22 | 252 | 243 | |
Ortho-Clinical Diagnostics, Inc. (1 month LIBOR + 3.250%) 3.398%, 6/30/25 | 68 | 66 | |
Packaging Coordinators Midco, Inc. Tranche B, First Lien (6 month LIBOR + 3.750%) 4.500%, 11/30/27 | 120 | 120 | |
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 2.897%, 2/14/25 | 180 | 176 | |
PetVet Care Centers LLC 2020, First Lien (1 month LIBOR + 4.250%) 5.250%, 2/14/25 | 25 | 25 | |
Phoenix Guarantor, Inc. | |||
Tranche B (1 month LIBOR + 3.750%) 4.250%, 3/5/26 | 65 | 65 | |
Tranche B-1 (1 month LIBOR + 3.250%) 3.402%, 3/5/26 | 188 | 187 | |
Pluto Acquisition I, Inc. 2020, First Lien (3 month LIBOR + 5.000%) 0.000%, 6/22/26(12) | 100 | 100 | |
Precision Medicine Group LLC | |||
(3 month LIBOR + 3.750%) 4.500%, 11/18/27 | 97 | 97 | |
(3 month LIBOR + 3.750%) 3.750%, 11/18/27(11) | 13 | 13 | |
Southern Veterinary Partners LLC | |||
(3 month LIBOR + 2.000%) 2.000%, 10/1/27(11) | 19 | 19 | |
First Lien (3 month LIBOR + 4.000%) 5.000%, 10/5/27 | 139 | 139 | |
Surgery Center Holdings, Inc. 2020 (1 month LIBOR + 8.000%) 9.000%, 9/30/24 | 25 | 25 | |
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 3.897%, 7/2/25 | 198 | 191 | |
2,887 | |||
Information Technology—1.2% | |||
Applied Systems, Inc. Second Lien (3 month LIBOR + 7.000%) 8.000%, 9/19/25 | 112 | 113 | |
Aston Finco S.a.r.l. First Lien (3 month LIBOR + 4.250%) 4.403%, 10/9/26 | 114 | 113 | |
Barracuda Networks, Inc. First Lien (3 month LIBOR + 3.750%) 4.500%, 2/12/25 | 120 | 119 | |
Boxer Parent Co., Inc. (1 month LIBOR + 4.250%) 4.397%, 10/2/25 | 183 | 182 | |
Epicor Software Corp. Tranche B (1 month LIBOR + 4.250%) 5.250%, 7/30/27 | 150 | 150 | |
Greeneden US Holdings II LLC Tranche B-4 (3 month LIBOR + 4.000%) 4.750%, 12/1/27 | 105 | 105 |
Par Value | Value | ||
Information Technology—continued | |||
Hyland Software, Inc. 2018 (1 month LIBOR + 3.500%) 4.250%, 7/1/24 | $159 | $ 160 | |
Masergy Holdings, Inc. 2017, First Lien (3 month LIBOR + 3.250%) 4.250%, 12/15/23 | 115 | 113 | |
Sophia LP (3 month LIBOR + 3.750%) 4.500%, 10/7/27 | 140 | 140 | |
Ultimate Software Group, Inc. (The) | |||
2020 (3 month LIBOR + 4.000%) 4.750%, 5/4/26 | 179 | 180 | |
Second Lien (3 month LIBOR + 6.750%) 7.500%, 5/3/27 | 5 | 5 | |
Vertiv Group Corp. (1 month LIBOR + 3.000%) 3.153%, 3/2/27 | 45 | 44 | |
Virtusa Corp. Tranche B (3 month LIBOR + 4.250%) 0.000%, 12/9/27(12) | 20 | 20 | |
1,444 | |||
Manufacturing—0.7% | |||
Alliance Laundry Systems LLC Tranche B (3 month LIBOR + 3.500%) 4.250%, 10/8/27 | 110 | 110 | |
Backyard Acquireco, Inc. (3 month LIBOR + 4.000%) 4.750%, 11/2/27 | 115 | 115 | |
CPI Acquisition, Inc. First Lien (3 month LIBOR + 4.500%) 5.500%, 8/17/22 | 128 | 117 | |
DXP Enterprises, Inc. (1 month LIBOR + 4.750%) 5.750%, 12/16/27(9) | 100 | 99 | |
Filtration Group Corp. | |||
(3 month LIBOR + 3.000%) 3.147%, 3/31/25 | 111 | 110 | |
Tranche A (1 month LIBOR + 3.750%) 4.500%, 3/29/25 | 75 | 75 | |
Star US Bidco LLC (1 month LIBOR + 4.250%) 5.250%, 3/17/27 | 144 | 141 | |
U.S. Farathane LLC Tranche B-4 (3 month LIBOR + 3.500%) 4.500%, 12/23/21 | 118 | 109 | |
876 | |||
Media / Telecom - Broadcasting—0.1% | |||
Diamond Sports Group LLC (1 month LIBOR + 3.250%) 3.400%, 8/24/26 | 89 | 78 | |
Media / Telecom - Cable/Wireless Video—0.1% | |||
Intelsat Jackson Holdings S.A. Tranche B-5 (6 month LIBOR + 8.625%) 8.625%, 1/2/24(10) | 79 | 80 | |
Radiate Holdco LLC Tranche B (1 month LIBOR + 3.500%) 4.250%, 9/25/26 | 22 | 22 | |
102 | |||
Media / Telecom - Diversified Media—0.2% | |||
Newco Financing Partnership Tranche AV1 (3 month LIBOR + 3.500%) 0.000%, 1/31/29(12) | 90 | 90 |
Par Value | Value | ||
Media / Telecom - Diversified Media—continued | |||
UPC Financing Partnership Tranche AV (3 month LIBOR + 3.500%) 3.677%, 1/31/29 | $ 90 | $ 90 | |
180 | |||
Media / Telecom - Telecommunications—0.1% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.397%, 3/15/27 | 79 | 78 | |
Consolidated Communications, Inc. (1 month LIBOR + 4.750%) 5.750%, 10/2/27 | 75 | 75 | |
153 | |||
Retail—0.3% | |||
CNT Holdings I Corp. First Lien (6 month LIBOR + 3.750%) 4.500%, 11/8/27 | 130 | 130 | |
Michaels Stores, Inc. 2020, Tranche B (1 month LIBOR + 3.500%) 4.250%, 10/1/27 | 50 | 49 | |
Petco Animal Supplies, Inc. (3 month LIBOR + 3.250%) 0.000%, 1/26/23(12) | 120 | 115 | |
294 | |||
Service—1.2% | |||
Cardtronics USA, Inc. (1 month LIBOR + 4.000%) 5.000%, 6/29/27 | 80 | 79 | |
Carlisle Food Service Products, Inc. First Lien (3 month LIBOR + 3.000%) 4.000%, 3/20/25 | 121 | 111 | |
CSC SW Holdco, Inc. Tranche B-1 (3 month LIBOR + 3.250%) 4.250%, 11/14/22 | 114 | 114 | |
Dun & Bradstreet Corp. (The) Tranche B (1 month LIBOR + 3.750%) 3.898%, 2/6/26 | 203 | 203 | |
Hoya Midco LLC First Lien (6 month LIBOR + 3.500%) 4.144%, 6/30/24 | 128 | 121 | |
NAB Holdings LLC 2018 (3 month LIBOR + 3.000%) 4.000%, 7/1/24 | 115 | 114 | |
Pi US Mergerco, Inc. Tranche B-1 (1 month LIBOR + 3.500%) 4.500%, 1/3/25 | 223 | 222 | |
Sedgwick Claims Management Services, Inc. 2019 (1 month LIBOR + 4.000%) 4.147%, 9/3/26 | 207 | 206 | |
TKC Holdings, Inc. First Lien (3 month LIBOR + 3.750%) 4.750%, 2/1/23 | 108 | 105 | |
Weld North Education LLC 2020 (3 month LIBOR + 4.000%) 0.000%, 12/15/27(12) | 100 | 100 | |
1,375 | |||
Transportation - Automotive—0.1% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 2.750%, 11/2/23 | 152 | 142 |
Par Value | Value | ||
Transportation - Automotive—continued | |||
PAI Holdco, Inc. Tranche B (6 month LIBOR + 4.000%) 5.000%, 10/28/27 | $ 30 | $ 30 | |
172 | |||
Utility—0.2% | |||
Brookfield WEC Holdings, Inc. (1 month LIBOR + 3.000%) 3.750%, 8/1/25 | 225 | 225 | |
PG&E Corp. (1 month LIBOR + 4.500%) 5.500%, 6/23/25 | 45 | 45 | |
270 | |||
Total Leveraged Loans (Identified Cost $12,078) | 11,905 | ||
Shares | ||
Preferred Stocks—2.1% | ||
Financials—1.8% | ||
Bank of New York Mellon Corp. (The) Series E, 3.659%(3) | 290 (13) | 290 |
Discover Financial Services Series D, 6.125% | 110 (13) | 124 |
Fifth Third Bancorp Series L, 4.500% | 236 (13) | 251 |
Huntington Bancshares, Inc. Series E, 5.700% | 96 (13) | 97 |
JPMorgan Chase & Co. Series HH, 4.600% | 103 (13) | 106 |
KeyCorp Series D, 5.000% | 300 (13) | 325 |
MetLife, Inc. Series D, 5.875% | 173 (13) | 198 |
PNC Financial Services Group, Inc. (The) Series S, 5.000% | 405 (13) | 442 |
Truist Financial Corp. Series Q, 5.100% | 270 (13) | 309 |
2,142 | ||
Industrials—0.3% | ||
General Electric Co. Series D, 5.000% | 332 (13) | 308 |
Total Preferred Stocks (Identified Cost $2,284) | 2,450 | |
Common Stocks—0.0% | ||
Communication Services—0.0% | ||
Clear Channel Outdoor Holdings, Inc.(14) | 1,381 | 2 |
Consumer Discretionary—0.0% | ||
Mark IV Industries(9) | 828 | 3 |
Energy—0.0% | ||
Frontera Energy Corp. | 2,618 | 7 |
Financials—0.0% | ||
Neiman Marcus Group, Inc.(14) | 271 | 18 |
Total Common Stocks (Identified Cost $74) | 30 | |
Exchange-Traded Funds—3.0% | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF(15) | 11,370 | 1,571 |
iShares iBoxx High Yield Corporate Bond ETF(15) | 13,613 | 1,189 |
iShares JP Morgan USD Emerging Markets Bond ETF(15) | 3,116 | 361 |
Shares | Value | ||
SPDR Bloomberg Barclays High Yield Bond Fund ETF(15) | 4,373 | $ 476 | |
Total Exchange-Traded Funds (Identified Cost $3,562) | 3,597 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(14) | 7,753 | 8 | |
Total Rights (Identified Cost $7) | 8 | ||
Warrant—0.0% | |||
Communication Services—0.0% | |||
iHeartMedia, Inc. | 587 | 7 | |
Total Warrant (Identified Cost $10) | 7 | ||
Total Long-Term Investments—98.7% (Identified Cost $113,874) | 117,317 | ||
Short-Term Investment—0.4% | |||
Securities Lending Collateral—0.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(15)(16) | 487,452 | 487 | |
Total Short-Term Investment (Identified Cost $487) | 487 | ||
TOTAL INVESTMENTS—99.1% (Identified Cost $114,361) | $117,804 | ||
Other assets and liabilities, net—0.9% | 1,111 | ||
NET ASSETS—100.0% | $118,915 |
Abbreviations: | |
BAM | Build America Municipal Insured |
ETF | Exchange-Traded Fund |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
PIK | Payment-in-Kind Security |
SPDR | S&P Depositary Receipt |
Foreign Currencies: | |
MXN | Mexican Peso |
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 December 31, 2020, these securities amounted to a value of $61,677 or 51.9% 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) | Variable rate security. Rate disclosed is as of December 31, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(4) | All or a portion of security is on loan. |
(5) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(6) | No contractual maturity date. |
(7) | Amount is less than $500. |
(8) | 100% of the income received was in PIK. |
(9) | 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. |
(10) | Security in default, interest payments are being received during the bankruptcy proceedings. |
(11) | Represents unfunded portion of security and commitment fee earned on this portion. |
(12) | This loan will settle after December 31, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(13) | Value shown as par value. |
(14) | Non-income producing. |
(15) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(16) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United States | 81% |
Canada | 3 |
Mexico | 2 |
Netherlands | 2 |
Indonesia | 1 |
Cayman Islands | 1 |
Saudi Arabia | 1 |
Other | 9 |
Total | 100% |
† % of total investments as of December 31, 2020. |
Total Value at December 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $ 12,886 | $ — | $ 12,886 | $ — | |||
Corporate Bonds and Notes | 53,882 | — | 53,882 | — (1) | |||
Foreign Government Securities | 8,857 | — | 8,857 | — | |||
Leveraged Loans | 11,905 | — | 11,806 | 99 (1) | |||
Mortgage-Backed Securities | 19,171 | — | 19,171 | — | |||
Municipal Bonds | 696 | — | 696 | — | |||
U.S. Government Securities | 3,828 | — | 3,828 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 2,450 | — | 2,450 | — | |||
Common Stocks | 30 | 9 | 18 | 3 | |||
Rights | 8 | — | 8 | — | |||
Warrant | 7 | — | 7 | — | |||
Securities Lending Collateral | 487 | 487 | — | — | |||
Exchange-Traded Funds | 3,597 | 3,597 | — | — | |||
Total Investments | $117,804 | $4,093 | $113,609 | $102 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
December 31, 2020
Shares | Value | ||
Common Stocks—98.6% | |||
Communication Services—3.4% | |||
Tencent Holdings Ltd. (China) | 76,720 | $ 5,582 | |
Consumer Discretionary—13.1% | |||
adidas AG (Germany)(1) | 15,822 | 5,758 | |
Alibaba Group Holding Ltd. Sponsored ADR (China)(1) | 31,342 | 7,294 | |
Fast Retailing Co. Ltd. (Japan) | 4,846 | 4,340 | |
New Oriental Education & Technology Group, Inc. Sponsored ADR (China)(1) | 22,668 | 4,212 | |
21,604 | |||
Consumer Staples—21.6% | |||
CP ALL PCL (Thailand)(1) | 1,525,209 | 2,965 | |
Diageo plc (United Kingdom) | 127,317 | 5,011 | |
Fomento Economico Mexicano SAB de C.V. Sponsored ADR (Mexico) | 63,436 | 4,806 | |
Heineken NV (Netherlands) | 57,455 | 6,403 | |
L’Oreal SA (France) | 15,899 | 6,037 | |
Nestle S.A. Registered Shares (Switzerland) | 45,346 | 5,340 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 1,792,743 | 5,036 | |
35,598 | |||
Financials—16.1% | |||
AIA Group Ltd. (Hong Kong) | 798,452 | 9,784 | |
Aon plc Class A (United Kingdom) | 39,408 | 8,326 | |
HDFC Bank Ltd. ADR (India)(1) | 115,066 | 8,315 | |
26,425 | |||
Health Care—20.1% | |||
Alcon, Inc. (Switzerland)(1) | 90,742 | 5,987 | |
Medtronic plc (Ireland) | 28,258 | 3,310 | |
Novo Nordisk A/S Sponsored ADR (Denmark) | 66,946 | 4,676 | |
Sartorius AG (Germany) | 7,704 | 3,234 | |
Shandong Weigao Group Medical Polymer Co. Ltd. Class H (China) | 2,605,701 | 5,889 | |
STERIS plc (United States) | 34,920 | 6,619 | |
Sysmex Corp. (Japan) | 28,275 | 3,395 | |
33,110 | |||
Industrials—3.1% | |||
IHS Markit Ltd. (United Kingdom) | 56,210 | 5,049 | |
Information Technology—14.7% | |||
Adyen NV (Netherlands)(1) | 2,051 | 4,773 | |
Dassault Systemes SE (France) | 27,813 | 5,645 | |
Infosys Ltd. Sponsored ADR (India) | 242,705 | 4,114 | |
SAP SE Sponsored ADR (Germany)(2) | 40,147 | 5,235 | |
Temenos AG Registered Shares (Switzerland) | 31,882 | 4,453 | |
24,220 | |||
Materials—6.5% | |||
Asian Paints Ltd. (India) | 92,404 | 3,496 | |
Linde plc (United Kingdom) | 27,378 | 7,215 | |
10,711 | |||
Total Common Stocks (Identified Cost $126,928) | 162,299 | ||
Shares | Value | ||
Total Long-Term Investments—98.6% (Identified Cost $126,928) | $ 162,299 | ||
Short-Term Investments—1.4% | |||
Money Market Mutual Fund—1.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(3) | 1,675,270 | 1,675 | |
Total Money Market Mutual Fund (Identified Cost $1,675) | 1,675 | ||
Securities Lending Collateral—0.4% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(3)(4) | 663,362 | 663 | |
Total Securities Lending Collateral (Identified Cost $663) | 663 | ||
Total Short-Term Investments (Identified Cost $2,338) | 2,338 | ||
TOTAL INVESTMENTS—100.0% (Identified Cost $129,266) | $164,637 | ||
Other assets and liabilities, net—(0.0)% | (46) | ||
NET ASSETS—100.0% | $164,591 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | All or a portion of security is on loan. |
(3) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(4) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings (Unaudited)† | |
United Kingdom | 16% |
China | 13 |
India | 10 |
Switzerland | 10 |
Germany | 8 |
France | 7 |
Netherlands | 7 |
Other | 29 |
Total | 100% |
† % of total investments as of December 31, 2020. |
Total Value at December 31, 2020 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $162,299 | $162,299 | |
Securities Lending Collateral | 663 | 663 | |
Money Market Mutual Fund | 1,675 | 1,675 | |
Total Investments | $164,637 | $164,637 |
December 31, 2020
Par Value | Value | ||
U.S. Government Securities—3.9% | |||
U.S. Treasury Bonds | |||
2.500%, 2/15/46 | $1,484 | $ 1,770 | |
3.000%, 8/15/48 | 560 | 735 | |
1.250%, 5/15/50 | 145 | 131 | |
1.375%, 8/15/50 | 595 | 556 | |
U.S. Treasury Notes | |||
2.250%, 3/31/21 | 90 | 90 | |
0.125%, 5/31/22 | 110 | 110 | |
2.875%, 8/15/28 | 210 | 244 | |
0.625%, 5/15/30 | 500 | 489 | |
Total U.S. Government Securities (Identified Cost $3,508) | 4,125 | ||
Municipal Bonds—1.5% | |||
California—0.9% | |||
San Diego County Regional Airport Authority Rental Car Center Project Series B - Taxable 5.594%, 7/1/43 | 275 | 291 | |
Santa Clara Valley Water District Series B, Taxable 2.967%, 6/1/50 | 65 | 66 | |
State of California, Build America Bonds Taxable 7.600%, 11/1/40 | 265 | 480 | |
University of California, Series B-A, Taxable 4.428%, 5/15/48 | 75 | 85 | |
922 | |||
Idaho—0.1% | |||
Idaho Health Facilities Authority Saint Luke’s Health System Revenue Taxable 5.020%, 3/1/48 | 90 | 116 | |
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 10 | 10 | |
Texas—0.2% | |||
City of San Antonio, General Obligation Taxable 1.963%, 2/1/33 | 70 | 72 | |
State of Texas, General Obligation Taxable 3.211%, 4/1/44 | 25 | 27 | |
Texas Public Finance Authority Revenue Taxable 2.140%, 2/1/35 | 55 | 56 | |
Texas Transportation Commission State Highway Fund Revenue Taxable 4.000%, 10/1/33 | 25 | 32 | |
187 | |||
Virginia—0.3% | |||
City of Bristol, General Obligation Taxable (State AID Withholding Insured) 4.210%, 1/1/42 | 135 | 146 | |
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 195 | 204 | |
350 | |||
Total Municipal Bonds (Identified Cost $1,435) | 1,585 | ||
Par Value | Value | ||
Foreign Government Securities—0.1% | |||
Republic of Venezuela 9.375%, 1/13/34(1) | $ 65 | $ 6 | |
United Mexican States | |||
4.750%, 3/8/44 | 54 | 64 | |
Series M 6.500%, 6/9/22 | 925 MXN | 48 | |
Total Foreign Government Securities (Identified Cost $160) | 118 | ||
Mortgage-Backed Securities—7.0% | |||
Agency—0.7% | |||
Federal National Mortgage Association | |||
Pool #254007 6.500%, 10/1/31 | 2 | 2 | |
Pool #656288 6.000%, 9/1/32 | 3 | 4 | |
Pool #835144 5.000%, 10/1/35 | 13 | 15 | |
Pool #882224 6.000%, 9/1/36 | 1 | 1 | |
Pool #914724 5.500%, 4/1/37 | 3 | 3 | |
Pool #940524 5.500%, 7/1/37 | 11 | 13 | |
Pool #949301 6.000%, 10/1/37 | 2 | 2 | |
Pool #975097 5.000%, 6/1/38 | 11 | 13 | |
Pool #929637 5.500%, 6/1/38 | 2 | 2 | |
Pool #986012 5.500%, 6/1/38 | 2 | 2 | |
Pool #994383 5.500%, 11/1/38 | 5 | 6 | |
Pool #991124 5.000%, 1/1/39 | 4 | 4 | |
Pool #994322 6.000%, 1/1/39 | 3 | 4 | |
Pool #AA4418 4.500%, 3/1/39 | 6 | 7 | |
Pool #AA4434 5.000%, 3/1/39 | 5 | 6 | |
Pool #AA4436 6.000%, 3/1/39 | 4 | 5 | |
Pool #CA4128 3.000%, 9/1/49 | 78 | 82 | |
Pool #MA3803 3.500%, 10/1/49 | 167 | 177 | |
Pool #CA4978 3.000%, 1/1/50 | 175 | 184 | |
Pool #MA3905 3.000%, 1/1/50 | 168 | 176 | |
Government National Mortgage Association | |||
Pool #368053 6.500%, 11/15/23 | 6 | 6 | |
Pool #351336 6.500%, 12/15/23 | — (2) | — (2) | |
Pool #385198 6.500%, 2/15/24 | 7 | 7 |
Par Value | Value | ||
Agency—continued | |||
Pool #563381 6.500%, 11/15/31 | $ 10 | $ 11 | |
732 | |||
Non-Agency—6.3% | |||
Ajax Mortgage Loan Trust 2019-D, A1 144A 2.956%, 9/25/65(3)(4) | 77 | 78 | |
American Homes 4 Rent Trust | |||
2015-SFR1, A 144A 3.467%, 4/17/52(3) | 99 | 106 | |
2015-SFR2, C 144A 4.691%, 10/17/52(3) | 110 | 121 | |
AMSR Trust 2020-SFR1, B 144A 2.120%, 4/17/37(3) | 100 | 102 | |
Arroyo Mortgage Trust | |||
2018-1, A1 144A 3.763%, 4/25/48(3)(4) | 46 | 47 | |
2019-1, A1 144A 3.805%, 1/25/49(3)(4) | 61 | 63 | |
2019-2, A1 144A 3.347%, 4/25/49(3)(4) | 65 | 67 | |
Bayview Opportunity Master Fund IVa Trust 2016-SPL1, B1 144A 4.250%, 4/28/55(3) | 100 | 105 | |
Bayview Opportunity Master Fund IVb Trust 2016-SPL2, B1 144A 4.250%, 6/28/53(3)(4) | 100 | 105 | |
BX Trust | |||
2018-GW, B (1 month LIBOR + 1.020%) 144A 1.179%, 5/15/35(3)(4) | 125 | 122 | |
2019-OC11, D 144A 4.075%, 12/9/41(3)(4) | 80 | 83 | |
CF Hippolyta LLC 2020-1, A1 144A 1.690%, 7/15/60(3) | 95 | 97 | |
CIT Home Equity Loan Trust 2003-1, A5 5.480%, 7/20/34(4) | 14 | 14 | |
Citigroup Commercial Mortgage Trust | |||
2019-SST2, A (1 month LIBOR + 0.920%) 144A 1.079%, 12/15/36(3)(4) | 100 | 100 | |
2015-GC27, A4 2.878%, 2/10/48 | 80 | 84 | |
Citigroup Mortgage Loan Trust, Inc. | |||
2004-NCM2, 2CB2 6.750%, 8/25/34 | 39 | 43 | |
2014-A, A 144A 4.000%, 1/25/35(3)(4) | 19 | 20 | |
2019-IMC1, A1 144A 2.720%, 7/25/49(3)(4) | 56 | 57 | |
2015-A, A1 144A 3.500%, 6/25/58(3)(4) | 12 | 13 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(3)(4) | 97 | 98 | |
COMM Mortgage Trust 2020-CBM, B 144A 3.099%, 2/10/37(3) | 70 | 69 | |
CoreVest American Finance Trust 2020-1, A1 144A 1.832%, 3/15/50(3) | 98 | 100 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%) 144A 1.139%, 5/15/36(3)(4) | 100 | 100 | |
Credit Suisse Mortgage Capital Trust | |||
2013-HYB1, A16 144A 2.919%, 4/25/43(3)(4) | 5 | 5 |
Par Value | Value | ||
Non-Agency—continued | |||
2020-RPL4, A1 144A 2.000%, 1/25/60(3) | $ 94 | $ 96 | |
Exantas Capital Corp. 2020-RSO8, A (1 month LIBOR + 1.150%) 144A 1.303%, 3/15/35(3)(4) | 67 | 66 | |
FirstKey Homes Trust 2020-SFR2, B 144A 1.567%, 10/19/37(3) | 115 | 114 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(3)(4) | 24 | 24 | |
2018-2, A41 144A 4.500%, 10/25/58(3)(4) | 25 | 25 | |
2020-H1, A1 144A 2.310%, 1/25/60(3)(4) | 70 | 71 | |
GCAT LLC 2019-NQM1, A1 144A 2.985%, 2/25/59(3)(4) | 59 | 61 | |
Goldman Sachs Mortgage Securities Trust 2012-ALOH, A 144A 3.551%, 4/10/34(3) | 100 | 101 | |
GS Mortgage Securities Trust 2020-GC45, AS 3.173%, 2/13/53(4) | 80 | 89 | |
Home Partners of America Trust 2020-2, A 144A 1.532%, 1/17/41(3) | 99 | 97 | |
Homeward Opportunities Fund I Trust 2019-1, A1 144A 3.454%, 1/25/59(3)(4) | 121 | 122 | |
IMC Home Equity Loan Trust 1997-5, A9 7.310%, 11/20/28 | 39 | 39 | |
JP Morgan Chase Mortgage Trust 2005-A5, 1A2 2.881%, 8/25/35(4) | 17 | 17 | |
JPMorgan Chase Commercial Mortgage Securities Trust 2011-C4, A4 144A 4.388%, 7/15/46(3) | 64 | 65 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(3)(4) | 47 | 48 | |
2016-SH1, M2 144A 3.750%, 4/25/45(3)(4) | 36 | 36 | |
2016-SH2, M2 144A 3.750%, 12/25/45(3)(4) | 37 | 39 | |
2017-5, A1 144A 3.128%, 10/26/48(3)(4) | 118 | 121 | |
JPMorgan Chase WaMu Mortgage Pass-Through Certificates Trust 2003-AR6, A1 3.102%, 6/25/33(4) | 21 | 21 | |
KNDL Mortgage Trust 2019-KNSQ, A (1 month LIBOR + 0.800%) 144A 0.959%, 5/15/36(3)(4) | 100 | 100 | |
LHOME Mortgage Trust 2019-RTL1, A1 144A 4.580%, 10/25/23(3)(4) | 100 | 101 | |
Mello Warehouse Securitization Trust 2019-1, C (1 month LIBOR + 1.200%) 144A 1.348%, 6/25/52(3)(4) | 50 | 50 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.480%, 4/25/55(3)(4) | 100 | 107 | |
2019-1A, A1A 144A 3.750%, 4/25/58(3)(4) | 67 | 72 | |
Mill City Mortgage Loan Trust 2019-1, M2 144A 3.500%, 10/25/69(3)(4) | 100 | 109 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2015-C22, AS 3.561%, 4/15/48 | 225 | 243 |
Par Value | Value | ||
Non-Agency—continued | |||
New Residential Mortgage Loan Trust | |||
2016-2A, A1 144A 3.750%, 11/26/35(3)(4) | $ 88 | $ 94 | |
2014-1A, A 144A 3.750%, 1/25/54(3)(4) | 38 | 40 | |
2015-2A, A1 144A 3.750%, 8/25/55(3)(4) | 68 | 73 | |
2016-1A, A1 144A 3.750%, 3/25/56(3)(4) | 30 | 32 | |
2016-3A, A1 144A 3.750%, 9/25/56(3)(4) | 38 | 41 | |
2016-4A, A1 144A 3.750%, 11/25/56(3)(4) | 105 | 112 | |
2016-4A, B1A 144A 4.500%, 11/25/56(3)(4) | 85 | 94 | |
2020-1A, A1B 144A 3.500%, 10/25/59(3)(4) | 81 | 86 | |
NovaStar Mortgage Funding Trust 2004-4, M5 (1 month LIBOR + 1.725%) 1.873%, 3/25/35(4) | 27 | 27 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(3)(4) | 43 | 45 | |
2018-EXP2, 1A1 144A 4.000%, 7/25/58(3)(4) | 70 | 71 | |
Preston Ridge Partners Mortgage LLC | |||
2020-1A, A1 144A 2.981%, 2/25/25(3)(4) | 84 | 84 | |
2020-3, A1 144A 2.857%, 9/25/25(3)(4) | 95 | 95 | |
2020-6, A1 144A 2.363%, 11/25/25(3)(4) | 94 | 94 | |
Progress Residential Trust 2018-SFR1, B 144A 3.484%, 3/17/35(3) | 110 | 110 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(3)(4) | 57 | 58 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(3)(4) | 79 | 81 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(3)(4) | 53 | 54 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(3)(4) | 48 | 49 | |
Starwood Mortgage Residential Trust 2019-IMC1, A1 144A 3.468%, 2/25/49(3)(4) | 48 | 48 | |
Towd Point Mortgage Trust | |||
2015-5, A2 144A 3.500%, 5/25/55(3)(4) | 100 | 103 | |
2016-3, M1 144A 3.500%, 4/25/56(3)(4) | 145 | 154 | |
2017-4, A2 144A 3.000%, 6/25/57(3)(4) | 100 | 108 | |
2018-6, A2 144A 3.750%, 3/25/58(3)(4) | 110 | 123 | |
2018-SJ1, A1 144A 4.000%, 10/25/58(3)(4) | 16 | 16 | |
Towd Point Trust 2019-HE1, A1 (1 month LIBOR + 0.900%) 144A 1.048%, 4/25/48(3)(4) | 104 | 104 | |
Tricon American Homes Trust | |||
2017-SFR1, A 144A 2.716%, 9/17/34(3) | 98 | 100 |
Par Value | Value | ||
Non-Agency—continued | |||
2019-SFR1, C 144A 3.149%, 3/17/38(3) | $ 100 | $ 104 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(3) | 100 | 101 | |
VCAT LLC 2019-NPL2, A1 144A 3.573%, 11/25/49(3)(4) | 43 | 43 | |
Vericrest Opportunity Loan Trust | |||
2019-NPL2, A1 144A 3.967%, 2/25/49(3)(4) | 40 | 40 | |
2020-NPL2, A1A 144A 2.981%, 2/25/50(3)(4) | 66 | 66 | |
Vericrest Opportunity Loan Trust LXXXV LLC 2020-NPL1, A1A 144A 3.228%, 1/25/50(3)(4) | 74 | 74 | |
Verus Securitization Trust | |||
2018-2, B1 144A 4.426%, 6/1/58(3)(4) | 100 | 104 | |
2018-3, A1 144A 4.108%, 10/25/58(3)(4) | 34 | 35 | |
2019-INV1, A1 144A 3.402%, 12/25/59(3)(4) | 55 | 56 | |
Visio Trust 2020-1R, A2 144A 1.567%, 11/25/55(3) | 97 | 98 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 40 | 41 | |
Wells Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(3)(4) | 86 | 89 | |
6,780 | |||
Total Mortgage-Backed Securities (Identified Cost $7,338) | 7,512 | ||
Asset-Backed Securities—2.6% | |||
Automobiles—1.5% | |||
ACC Trust 2019-1, A 144A 3.750%, 5/20/22(3) | 20 | 20 | |
American Credit Acceptance Receivables Trust | |||
2018-3, C 144A 3.750%, 10/15/24(3) | 34 | 35 | |
2018-4, C 144A 3.970%, 1/13/25(3) | 66 | 67 | |
2019-2, C 144A 3.170%, 6/12/25(3) | 85 | 86 | |
AmeriCredit Automobile Receivables Trust 2020-3, C 1.060%, 8/18/26 | 85 | 85 | |
Capital Auto Receivables Asset Trust 2017-1, C 144A 2.700%, 9/20/22(3) | 90 | 91 | |
Drive Auto Receivables Trust | |||
2018-4, D 4.090%, 1/15/26 | 105 | 109 | |
2019-4, C 2.510%, 11/17/25 | 85 | 87 | |
Exeter Automobile Receivables Trust | |||
2018-4A, D 144A 4.350%, 9/16/24(3) | 100 | 105 | |
2019-2A, C 144A 3.300%, 3/15/24(3) | 85 | 87 | |
2019-3A, C 144A 2.790%, 5/15/24(3) | 85 | 87 |
Par Value | Value | ||
Automobiles—continued | |||
Flagship Credit Auto Trust 2020-3, C 144A 1.730%, 9/15/26(3) | $ 75 | $ 77 | |
GLS Auto Receivables Issuer Trust | |||
2019-2A, B 144A 3.320%, 3/15/24(3) | 100 | 102 | |
2020-1A, B 144A 2.430%, 11/15/24(3) | 115 | 118 | |
GLS Auto Receivables Trust 2018-3A, C 144A 4.180%, 7/15/24(3) | 130 | 135 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(3) | 85 | 88 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(3) | 100 | 102 | |
Tesla Auto Lease Trust 2018-B, B 144A 4.120%, 10/20/21(3) | 85 | 86 | |
Tricolor Auto Securitization Trust 2018-2A, B 144A 4.760%, 2/15/22(3) | 2 | 2 | |
1,569 | |||
Credit Card—0.2% | |||
Fair Square Issuance Trust 2020-AA, A 144A 2.900%, 9/20/24(3) | 100 | 101 | |
Genesis Private Label Amortizing Trust 2020-1, B 144A 2.830%, 7/20/30(3) | 100 | 101 | |
202 | |||
Other—0.9% | |||
Amur Equipment Finance Receivables VI LLC 2018-2A, A2 144A 3.890%, 7/20/22(3) | 49 | 49 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(3) | 75 | 76 | |
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.560%, 9/17/31(3) | 83 | 83 | |
BXG Receivables Note Trust 2017-A, A 144A 2.950%, 10/4/32(3) | 66 | 68 | |
Dext ABS LLC 2020-1, A 144A 1.460%, 2/16/27(3) | 94 | 94 | |
Diamond Resorts Owner Trust 2017-1A, A 144A 3.270%, 10/22/29(3) | 24 | 25 | |
FREED ABS Trust 2020-3FP, A 144A 2.400%, 9/20/27(3) | 63 | 64 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(3) | 80 | 86 | |
Lendmark Funding Trust 2019-1A, A 144A 3.000%, 12/20/27(3) | 100 | 103 | |
Mariner Finance Issuance Trust 2019-AA, A 144A 2.960%, 7/20/32(3) | 100 | 102 | |
MVW LLC 2019-2A, A 144A 2.220%, 10/20/38(3) | 75 | 77 | |
Octane Receivables Trust 2020-1A, A 144A 1.710%, 2/20/25(3) | 92 | 92 | |
Orange Lake Timeshare Trust 2019-A, B 144A 3.360%, 4/9/38(3) | 60 | 62 | |
Prosper Marketplace Issuance Trust 2019-3A, A 144A 3.190%, 7/15/25(3) | 12 | 12 | |
993 | |||
Student Loan—0.0% | |||
Earnest Student Loan Program LLC 2017-A, A2 144A 2.650%, 1/25/41(3) | 18 | 18 |
Par Value | Value | ||
Student Loan—continued | |||
SoFi Professional Loan Program LLC 2016-A, A2 144A 2.760%, 12/26/36(3) | $ 17 | $ 17 | |
35 | |||
Total Asset-Backed Securities (Identified Cost $2,735) | 2,799 | ||
Corporate Bonds and Notes—9.0% | |||
Communication Services—0.4% | |||
Diamond Sports Group LLC 144A 5.375%, 8/15/26(3) | 40 | 32 | |
Level 3 Financing, Inc. 144A 4.250%, 7/1/28(3) | 65 | 67 | |
Meredith Corp. 6.875%, 2/1/26 | 40 | 39 | |
Sprint Spectrum Co. LLC 144A 4.738%, 3/20/25(3) | 200 | 217 | |
T-Mobile USA, Inc. 144A 3.875%, 4/15/30(3) | 90 | 104 | |
459 | |||
Consumer Discretionary—0.6% | |||
American Builders & Contractors Supply Co., Inc. 144A 4.000%, 1/15/28(3) | 60 | 62 | |
Aramark Services, Inc. 144A 6.375%, 5/1/25(3) | 30 | 32 | |
FirstCash, Inc. 144A 4.625%, 9/1/28(3) | 25 | 26 | |
Ford Motor Co. 9.000%, 4/22/25 | 57 | 70 | |
General Motors Financial Co., Inc. 4.200%, 3/1/21 | 45 | 45 | |
Hanesbrands, Inc. 144A 5.375%, 5/15/25(3) | 55 | 58 | |
International Game Technology plc 144A 5.250%, 1/15/29(3) | 5 | 5 | |
Lear Corp. 3.800%, 9/15/27 | 120 | 135 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 65 | 69 | |
Marriott Ownership Resorts, Inc. 4.750%, 1/15/28 | 45 | 46 | |
VF Corp. 2.400%, 4/23/25 | 42 | 45 | |
593 | |||
Consumer Staples—0.2% | |||
Albertsons Cos., Inc. 144A 3.500%, 3/15/29(3) | 5 | 5 | |
Anheuser-Busch InBev Worldwide, Inc. 4.000%, 4/13/28 | 85 | 100 | |
BAT Capital Corp. 4.906%, 4/2/30 | 55 | 66 | |
Conagra Brands, Inc. 4.300%, 5/1/24 | 65 | 73 | |
244 | |||
Energy—0.5% | |||
Boardwalk Pipelines LP 4.950%, 12/15/24 | 65 | 72 |
Par Value | Value | ||
Energy—continued | |||
Cheniere Energy, Inc. 144A 4.625%, 10/15/28(3) | $ 20 | $ 21 | |
EQM Midstream Partners LP | |||
144A 6.000%, 7/1/25(3) | 10 | 11 | |
144A 6.500%, 7/1/27(3) | 10 | 11 | |
HollyFrontier Corp. 5.875%, 4/1/26 | 100 | 112 | |
Kinder Morgan, Inc. | |||
4.300%, 6/1/25 | 45 | 51 | |
7.750%, 1/15/32 | 65 | 94 | |
Patterson-UTI Energy, Inc. 5.150%, 11/15/29 | 50 | 46 | |
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | 60 | 69 | |
Targa Resources Partners LP 5.875%, 4/15/26 | 60 | 64 | |
551 | |||
Financials—3.6% | |||
Allstate Corp. (The) Series B 5.750%, 8/15/53 | 145 | 155 | |
Ares Finance Co. LLC 144A 4.000%, 10/8/24(3) | 140 | 150 | |
Ascot Group Ltd. 144A 4.250%, 12/15/30(3) | 30 | 31 | |
Athene Global Funding 144A 2.450%, 8/20/27(3) | 70 | 73 | |
Bank of America Corp. | |||
3.004%, 12/20/23 | 90 | 95 | |
4.200%, 8/26/24 | 175 | 196 | |
Bank of Montreal 3.803%, 12/15/32 | 156 | 177 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (5) | 65 | 72 | |
Brighthouse Financial, Inc. | |||
3.700%, 6/22/27 | 22 | 24 | |
5.625%, 5/15/30 | 47 | 58 | |
Brightsphere Investment Group, Inc. 4.800%, 7/27/26 | 65 | 70 | |
Brookfield Finance, Inc. 4.250%, 6/2/26 | 100 | 116 | |
Capital One Financial Corp. 3.750%, 7/28/26 | 130 | 147 | |
Charles Schwab Corp. (The) Series H 4.000% (5) | 70 | 74 | |
Citadel LP 144A 4.875%, 1/15/27(3) | 65 | 71 | |
Citigroup, Inc. | |||
3.200%, 10/21/26 | 171 | 191 | |
(3 month LIBOR + 1.250%) 1.488%, 7/1/26(4) | 160 | 163 | |
Fairfax Financial Holdings Ltd. 4.850%, 4/17/28 | 105 | 117 | |
Goldman Sachs Group, Inc. (The) 4.250%, 10/21/25 | 195 | 224 | |
ICAHN Enterprises LP 6.250%, 5/15/26 | 85 | 90 | |
Jefferies Financial Group, Inc. 5.500%, 10/18/23 | 70 | 77 | |
JPMorgan Chase & Co. 2.956%, 5/13/31 | 145 | 159 |
Par Value | Value | ||
Financials—continued | |||
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(3) | $ 50 | $ 49 | |
Liberty Mutual Group, Inc. | |||
144A 4.250%, 6/15/23(3) | 34 | 37 | |
144A 4.569%, 2/1/29(3) | 116 | 142 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 2.258%, 4/20/67(4) | 55 | 41 | |
MetLife, Inc. Series G 3.850% (5) | 75 | 79 | |
Morgan Stanley | |||
3.125%, 7/27/26 | 125 | 140 | |
6.375%, 7/24/42 | 100 | 163 | |
OneMain Finance Corp. 7.125%, 3/15/26 | 40 | 47 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 100 | 107 | |
5.625%, 6/15/43 | 65 | 70 | |
Santander Holdings USA, Inc. 3.700%, 3/28/22 | 93 | 96 | |
Toronto-Dominion Bank (The) 3.625%, 9/15/31 | 95 | 108 | |
Voya Financial, Inc. 5.650%, 5/15/53 | 65 | 69 | |
Wells Fargo & Co. | |||
Series M 3.450%, 2/13/23 | 125 | 132 | |
Series S 5.900%(5) | 75 | 80 | |
3,890 | |||
Health Care—0.4% | |||
Anthem, Inc. 2.875%, 9/15/29 | 65 | 72 | |
Centene Corp. 4.625%, 12/15/29 | 25 | 28 | |
HCA, Inc. 5.250%, 6/15/49 | 50 | 66 | |
Royalty Pharma plc 144A 2.200%, 9/2/30(3) | 53 | 54 | |
Tenet Healthcare Corp. | |||
144A 5.125%, 11/1/27(3) | 25 | 27 | |
144A 7.500%, 4/1/25(3) | 5 | 5 | |
Universal Health Services, Inc. 144A 2.650%, 10/15/30(3) | 73 | 76 | |
Utah Acquisition Sub, Inc. 3.950%, 6/15/26 | 70 | 80 | |
408 | |||
Industrials—0.7% | |||
Aviation Capital Group LLC 144A 3.875%, 5/1/23(3) | 73 | 76 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(3) | 55 | 60 | |
Boeing Co. (The) | |||
5.150%, 5/1/30 | 40 | 48 | |
3.750%, 2/1/50 | 20 | 21 | |
5.930%, 5/1/60 | 18 | 26 | |
Flowserve Corp. 3.500%, 10/1/30 | 90 | 96 | |
GFL Environmental, Inc. 144A 3.750%, 8/1/25(3) | 45 | 46 |
Par Value | Value | ||
Industrials—continued | |||
Hillenbrand, Inc. 5.000%, 9/15/26 | $ 70 | $ 79 | |
Howmet Aerospace, Inc. 6.875%, 5/1/25 | 55 | 65 | |
Signature Aviation US Holdings, Inc. 144A 4.000%, 3/1/28(3) | 65 | 65 | |
Standard Industries, Inc. 144A 4.375%, 7/15/30(3) | 50 | 53 | |
Stanley Black & Decker, Inc. 4.000%, 3/15/60 | 54 | 57 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(3) | 35 | 37 | |
729 | |||
Information Technology—0.7% | |||
Citrix Systems, Inc. 3.300%, 3/1/30 | 110 | 122 | |
Flex Ltd. 3.750%, 2/1/26 | 56 | 63 | |
Hewlett Packard Enterprise Co. 4.900%, 10/15/25 | 65 | 76 | |
HP, Inc. 3.400%, 6/17/30 | 90 | 100 | |
Leidos, Inc. 144A 2.300%, 2/15/31(3) | 80 | 81 | |
Motorola Solutions, Inc. 4.600%, 5/23/29 | 100 | 120 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(3) | 55 | 58 | |
Seagate HDD Cayman 144A 3.375%, 7/15/31(3) | 25 | 25 | |
VMware, Inc. | |||
3.900%, 8/21/27 | 30 | 34 | |
4.700%, 5/15/30 | 35 | 42 | |
721 | |||
Materials—0.3% | |||
Celanese US Holdings LLC 3.500%, 5/8/24 | 70 | 76 | |
Glencore Funding LLC 144A 1.625%, 9/1/25(3) | 75 | 77 | |
Novelis Corp. 144A 4.750%, 1/30/30(3) | 30 | 32 | |
Nutrition & Biosciences, Inc. 144A 2.300%, 11/1/30(3) | 60 | 62 | |
Olin Corp. 5.625%, 8/1/29 | 80 | 87 | |
334 | |||
Real Estate—1.0% | |||
Corporate Office Properties LP 3.600%, 5/15/23 | 165 | 175 | |
EPR Properties 4.750%, 12/15/26 | 120 | 121 | |
ESH Hospitality, Inc. 144A 4.625%, 10/1/27(3) | 55 | 56 | |
GLP Capital LP 5.750%, 6/1/28 | 100 | 119 | |
iStar, Inc. 4.250%, 8/1/25 | 65 | 64 | |
MPT Operating Partnership LP | |||
5.000%, 10/15/27 | 35 | 37 |
Par Value | Value | ||
Real Estate—continued | |||
4.625%, 8/1/29 | $ 15 | $ 16 | |
3.500%, 3/15/31 | 45 | 47 | |
Office Properties Income Trust 4.500%, 2/1/25 | 135 | 143 | |
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24 | 105 | 110 | |
Service Properties Trust 4.500%, 3/15/25 | 105 | 103 | |
Spirit Realty LP 3.200%, 2/15/31 | 75 | 80 | |
1,071 | |||
Utilities—0.6% | |||
American Electric Power Co., Inc. | |||
2.300%, 3/1/30 | 78 | 81 | |
Series N 1.000%, 11/1/25 | 21 | 21 | |
DPL, Inc. 4.350%, 4/15/29 | 52 | 58 | |
Edison International 4.125%, 3/15/28 | 70 | 78 | |
Exelon Corp. 3.497%, 6/1/22 | 24 | 25 | |
PNM Resources, Inc. 3.250%, 3/9/21 | 85 | 85 | |
Southern Power Co. 4.150%, 12/1/25 | 65 | 75 | |
Talen Energy Supply LLC 144A 6.625%, 1/15/28(3) | 40 | 42 | |
TerraForm Power Operating LLC 144A 5.000%, 1/31/28(3) | 55 | 62 | |
Texas Competitive Electric Holdings Co. 144A 11.500%, 10/1/20(3)(6) | 65 | — | |
Vistra Operations Co. LLC 144A 4.300%, 7/15/29(3) | 85 | 97 | |
624 | |||
Total Corporate Bonds and Notes (Identified Cost $8,875) | 9,624 | ||
Leveraged Loans(4)—0.9% | |||
Aerospace—0.1% | |||
American Airlines, Inc. 2018 (1 month LIBOR + 1.750%) 1.898%, 6/27/25 | 64 | 53 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 6.250%, 6/21/27 | 60 | 63 | |
TransDigm, Inc. Tranche E (1 month LIBOR + 2.250%) 2.397%, 5/30/25 | 34 | 33 | |
149 | |||
Chemicals—0.1% | |||
Gemini HDPE LLC Tranche B (3 month LIBOR + 3.250%) 0.000%, 12/11/27(7) | 15 | 15 | |
Ineos U.S. Finance LLC 2024 (3 month LIBOR + 2.000%) 0.000%, 4/1/24(7) | 55 | 54 | |
69 | |||
Par Value | Value | ||
Energy—0.0% | |||
Paragon Offshore Finance Co. (3 month PRIME + 0.000%) 3.250%, 7/16/21(1)(6) | $ —(2) | $ — | |
Financial—0.1% | |||
Avolon TLB Borrower 1 US LLC Tranche B-5 (1 month LIBOR + 2.500%) 3.250%, 12/1/27 | 30 | 30 | |
Delos Finance S.a.r.l. 2018 (3 month LIBOR + 1.750%) 2.004%, 10/6/23 | 56 | 56 | |
86 | |||
Food / Tobacco—0.0% | |||
Aramark Services, Inc. Tranche B-4 (1 month LIBOR + 1.750%) 1.895%, 1/15/27 | 15 | 15 | |
Forest Prod / Containers—0.0% | |||
Berry Global, Inc. Tranche Y (1 month LIBOR + 2.000%) 2.149%, 7/1/26 | 35 | 34 | |
Gaming / Leisure—0.1% | |||
Aristocrat Technologies, Inc. (3 month LIBOR + 3.750%) 4.750%, 10/19/24 | 20 | 20 | |
Boyd Gaming Corp. Tranche B (weekly LIBOR + 2.250%) 0.000%, 9/15/23(7) | 55 | 54 | |
Seminole Tribe of Florida (1 month LIBOR + 1.750%) 1.897%, 7/8/24 | 55 | 55 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 2.500%, 2/8/27 | 20 | 20 | |
149 | |||
Healthcare—0.1% | |||
Bausch Health Cos., Inc. (1 month LIBOR + 3.000%) 3.148%, 6/2/25 | 4 | 4 | |
Elanco Animal Health, Inc. (3 month LIBOR + 1.750%) 1.905%, 8/1/27 | 35 | 34 | |
IQVIA, Inc. Tranche B-3 (3 month LIBOR + 1.750%) 2.004%, 6/11/25 | 68 | 68 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 3.897%, 11/17/25 | 44 | 44 | |
150 | |||
Housing—0.1% | |||
Summit Materials LLC Tranche B (1 month LIBOR + 2.000%) 2.145%, 11/21/24 | 69 | 68 | |
Manufacturing—0.1% | |||
Gardner Denver, Inc. Tranche A (1 month LIBOR + 2.750%) 2.897%, 3/1/27 | 5 | 5 | |
Ingersoll-Rand Services Co. 2020, Tranche B-1 (3 month LIBOR + 1.750%) 1.897%, 3/1/27 | 5 | 5 | |
NCR Corp. (1 month LIBOR + 2.500%) 2.650%, 8/28/26 | 45 | 44 | |
54 | |||
Par Value | Value | ||
Media / Telecom - Broadcasting—0.0% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (3 month LIBOR + 2.750%) 2.905%, 9/18/26 | $ 43 | $ 43 | |
Media / Telecom - Cable/Wireless Video—0.1% | |||
CSC Holdings LLC 2018 (1 month LIBOR + 2.250%) 2.409%, 1/15/26 | 64 | 63 | |
Virgin Media Bristol LLC Tranche B (3 month LIBOR + 3.250%) 0.000%, 1/31/29(7) | 10 | 10 | |
73 | |||
Media / Telecom - Telecommunications—0.0% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 2.397%, 3/15/27 | 20 | 19 | |
Media / Telecom - Wireless Communications—0.0% | |||
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 1.900%, 4/11/25 | 39 | 38 | |
Utility—0.1% | |||
Calpine Corp. 2020 (1 month LIBOR + 2.500%) 2.650%, 12/2/27 | 44 | 44 | |
Total Leveraged Loans (Identified Cost $1,002) | 991 | ||
Shares | ||
Preferred Stocks—0.4% | ||
Financials—0.3% | ||
Fifth Third Bancorp Series L, 4.500% | 60 (8) | 64 |
MetLife, Inc. Series D, 5.875% | 40 (8) | 46 |
PNC Financial Services Group, Inc. (The) Series S, 5.000% | 110 (8) | 120 |
Truist Financial Corp. Series Q, 5.100% | 70 (8) | 80 |
310 | ||
Industrials—0.1% | ||
General Electric Co. Series D, 5.000% | 90 (8) | 83 |
Total Preferred Stocks (Identified Cost $371) | 393 | |
Common Stocks—72.5% | ||
Communication Services—11.0% | ||
Activision Blizzard, Inc. | 8,352 | 776 |
Adevinta ASA(9) | 34,105 | 573 |
Ascential plc(9) | 87,277 | 458 |
Auto Trader Group plc | 62,053 | 506 |
CTS Eventim AG & Co. KGaA(9) | 5,806 | 386 |
Facebook, Inc. Class A(9) | 11,405 | 3,115 |
Karnov Group AB | 55,280 | 400 |
MarkLines Co., Ltd. | 9,800 | 249 |
Netflix, Inc.(9) | 3,775 | 2,041 |
New Work SE | 986 | 337 |
Rightmove plc(9) | 67,587 | 602 |
Tencent Holdings Ltd. ADR | 24,512 | 1,762 |
Tongdao Liepin Group(9) | 79,587 | 192 |
Shares | Value | ||
Communication Services—continued | |||
Yandex N.V. Class A(9) | 5,107 | $ 355 | |
11,752 | |||
Consumer Discretionary—15.3% | |||
Airbnb, Inc. Class A(9) | 1,559 | 229 | |
Alibaba Group Holding Ltd. Sponsored ADR(9) | 10,989 | 2,557 | |
Allegro.eu SA(9) | 8,078 | 183 | |
Amazon.com, Inc.(9) | 1,585 | 5,162 | |
Home Depot, Inc. (The) | 2,688 | 714 | |
Las Vegas Sands Corp. | 13,813 | 823 | |
Marriott International, Inc. Class A | 5,159 | 681 | |
Max Stock Ltd.(9) | 60,500 | 268 | |
MercadoLibre, Inc.(9) | 1,024 | 1,715 | |
Mercari, Inc.(9) | 7,800 | 346 | |
NIKE, Inc. Class B | 11,667 | 1,651 | |
Ross Stores, Inc. | 7,579 | 931 | |
Trip.com Group Ltd. ADR(9) | 11,097 | 374 | |
Union Auction PCL | 910,000 | 301 | |
Vasta Platform Ltd.(9) | 22,997 | 333 | |
16,268 | |||
Consumer Staples—2.9% | |||
Estee Lauder Cos., Inc. (The) Class A | 2,417 | 643 | |
Heineken Malaysia Bhd | 32,800 | 188 | |
McCormick & Co., Inc. | 6,098 | 583 | |
Monster Beverage Corp.(9) | 9,230 | 854 | |
Procter & Gamble Co. (The) | 6,255 | 870 | |
3,138 | |||
Energy—0.4% | |||
Frontera Energy Corp. | 1,088 | 3 | |
Pason Systems, Inc. | 60,134 | 372 | |
375 | |||
Financials—4.9% | |||
Bank of America Corp. | 37,241 | 1,129 | |
CME Group, Inc. Class A | 2,678 | 487 | |
Gruppo Mutuionline SpA | 14,297 | 609 | |
MarketAxess Holdings, Inc. | 2,089 | 1,192 | |
Mortgage Advice Bureau Holdings Ltd. | 27,493 | 325 | |
Nordnet AB publ(9) | 15,743 | 247 | |
Progressive Corp. (The) | 3,983 | 394 | |
Sabre Insurance Group plc | 68,772 | 260 | |
VNV Global AB(9) | 38,379 | 546 | |
5,189 | |||
Health Care—3.4% | |||
Danaher Corp. | 5,035 | 1,119 | |
Haw Par Corp., Ltd. | 43,900 | 355 | |
HealthEquity, Inc.(9) | 5,752 | 401 | |
Nakanishi, Inc. | 10,500 | 230 | |
Zoetis, Inc. Class A | 9,163 | 1,517 | |
3,622 | |||
Industrials—10.3% | |||
BTS Group AB Class B | 12,020 | 317 | |
CAE, Inc. | 19,319 | 535 | |
CoStar Group, Inc.(9) | 1,450 | 1,340 | |
CTT Systems AB | 10,553 | 195 | |
DSV PANALPINA A/S | 876 | 147 | |
Enento Group Oyj | 12,681 | 520 |
Shares | Value | ||
Industrials—continued | |||
Equifax, Inc. | 2,697 | $ 520 | |
Fair Isaac Corp.(9) | 1,526 | 780 | |
Haitian International Holdings Ltd. | 83,000 | 287 | |
HeadHunter Group plc ADR | 30,102 | 911 | |
Kansas City Southern | 4,388 | 896 | |
Knorr-Bremse AG | 1,192 | 163 | |
Marel HF | 59,545 | 365 | |
MTU Aero Engines AG | 935 | 244 | |
Roper Technologies, Inc. | 2,397 | 1,033 | |
Rotork plc | 47,455 | 206 | |
S-1 Corp. | 3,986 | 312 | |
Simplybiz Group plc (The) | 188,455 | 465 | |
Uber Technologies, Inc.(9) | 24,867 | 1,268 | |
Voltronic Power Technology Corp. | 13,330 | 531 | |
11,035 | |||
Information Technology—23.1% | |||
Accenture plc Class A | 3,450 | 901 | |
Admicom Oyj | 1,213 | 200 | |
Alten SA(9) | 3,752 | 425 | |
Amphenol Corp. Class A | 10,671 | 1,396 | |
Avalara, Inc.(9) | 12,324 | 2,032 | |
Bill.com Holdings, Inc.(9) | 26,325 | 3,593 | |
Bouvet ASA | 4,599 | 381 | |
Brockhaus Capital Management AG(9) | 5,734 | 216 | |
Duck Creek Technologies, Inc.(9)(10) | 29,135 | 1,262 | |
FDM Group Holdings plc | 19,097 | 294 | |
Fortnox AB | 4,018 | 226 | |
Mintra Holding AS(9) | 285,814 | 253 | |
NVIDIA Corp. | 5,062 | 2,643 | |
Paycom Software, Inc.(9) | 5,924 | 2,679 | |
SimCorp A/S | 2,226 | 331 | |
Snowflake, Inc. Class A(9) | 1,927 | 542 | |
Trade Desk, Inc. (The) Class A(9) | 3,875 | 3,104 | |
Visa, Inc. Class A | 10,718 | 2,344 | |
Webcash Corp. | 4,826 | 318 | |
Webstep AS | 34,073 | 88 | |
Workday, Inc. Class A(9) | 6,099 | 1,461 | |
24,689 | |||
Materials—1.2% | |||
Corp. Moctezuma SAB de C.V. | 68,907 | 201 | |
Ecolab, Inc. | 4,834 | 1,046 | |
1,247 | |||
Total Common Stocks (Identified Cost $34,744) | 77,315 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(9) | 1,084 | 1 | |
Total Rights (Identified Cost $1) | 1 | ||
Shares | Value | ||
Warrant—0.0% | |||
Financials—0.0% | |||
VNV Global AB(9) | 12,500 | $ 33 | |
Total Warrant (Identified Cost $—) | 33 | ||
Total Long-Term Investments—97.9% (Identified Cost $60,169) | 104,496 | ||
Short-Term Investment—0.7% | |||
Money Market Mutual Fund—0.7% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 0.030%)(11) | 727,613 | 728 | |
Total Short-Term Investment (Identified Cost $728) | 728 | ||
TOTAL INVESTMENTS—98.6% (Identified Cost $60,897) | $105,224 | ||
Other assets and liabilities, net—1.4% | 1,460 | ||
NET ASSETS—100.0% | $106,684 |
Abbreviations: | |
ABS | Asset-Backed Securities |
ADR | American Depositary Receipt |
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 |
WaMu | Washington Mutual |
Foreign Currencies: | |
MXN | Mexican Peso |
Footnote Legend: | |
(1) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(2) | Amount is less than $500. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2020, these securities amounted to a value of $10,975 or 10.3% of net assets. |
(4) | Variable rate security. Rate disclosed is as of December 31, 2020. For leveraged loans, the rate shown may represent a weighted average interest rate. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | No contractual maturity date. |
(6) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(7) | This loan will settle after December 31, 2020, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(8) | Value shown as par value. |
(9) | Non-income producing. |
(10) | All or a portion of the security is restricted. |
(11) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings (Unaudited)† | |
United States | 82% |
China | 4 |
United Kingdom | 3 |
Brazil | 2 |
Canada | 2 |
Sweden | 1 |
Other | 6 |
Total | 100% |
† % of total investments as of December 31, 2020. |
Total Value at December 31, 2020 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $ 2,799 | $ — | $ 2,799 | $— | |||
Corporate Bonds and Notes | 9,624 | — | 9,624 | — (1) | |||
Foreign Government Securities | 118 | — | 118 | — | |||
Leveraged Loans | 991 | — | 991 | — (1) | |||
Mortgage-Backed Securities | 7,512 | — | 7,512 | — | |||
Municipal Bonds | 1,585 | — | 1,585 | — | |||
U.S. Government Securities | 4,125 | — | 4,125 | — | |||
Equity Securities: | |||||||
Common Stocks | 77,315 | 77,315 | — | — | |||
Preferred Stocks | 393 | — | 393 | — | |||
Rights | 1 | — | 1 | — | |||
Warrant | 33 | 33 | — | — | |||
Money Market Mutual Fund | 728 | 728 | — | — | |||
Total Investments | $105,224 | $78,076 | $27,148 | $— |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
December 31, 2020
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | KAR Equity Income Series | KAR Small-Cap Growth Series | ||||
Assets | |||||||
Investment in securities at value(1)(2) | $ 75,536 | $ 313,437 | $ 97,676 | $ 134,223 | |||
Foreign currency at value(2) | — | — | — | — (a) | |||
Cash | 287 | 1,684 | — (a) | 2,991 | |||
Receivables | |||||||
Investment securities sold | — | — | 977 | — | |||
Series shares sold | 75 | 12 | 6 | 52 | |||
Dividends | 337 | 88 | 190 | 12 | |||
Securities lending income | — | — (a) | — | — (a) | |||
Other assets | 200 | 851 | 266 | 364 | |||
Total assets | 76,435 | 316,072 | 99,115 | 137,642 | |||
Liabilities | |||||||
Payables | |||||||
Series shares repurchased | 34 | 79 | 5 | 92 | |||
Investment securities purchased | 213 | — | — | — | |||
Investment advisory fees | 41 | 166 | 41 | 83 | |||
Distribution and service fees | 15 | 67 | 21 | 26 | |||
Administration and accounting fees | 7 | 28 | 9 | 13 | |||
Transfer agent fees and expenses | — (a) | — (a) | — (a) | — (a) | |||
Professional fees | 24 | 25 | 27 | 22 | |||
Trustee deferred compensation plan | 200 | 851 | 266 | 364 | |||
Interest expense and/or commitment fees | — (a) | — (a) | — (a) | — (a) | |||
Other accrued expenses | 8 | 30 | 10 | 15 | |||
Total liabilities | 542 | 1,246 | 379 | 615 | |||
Net Assets | $ 75,893 | $ 314,826 | $ 98,736 | $ 137,027 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $ 58,365 | $ 87,249 | $ 89,928 | $ 54,795 | |||
Accumulated earnings (loss) | 17,528 | 227,577 | 8,808 | 82,232 | |||
Net Assets | $ 75,893 | $ 314,826 | $ 98,736 | $ 137,027 | |||
Net Assets: | |||||||
Class A | $ 71,741 | $ 314,826 | $ 98,736 | $ 126,411 | |||
Class I | $ 4,152 | $ — | $ — | $ 10,616 | |||
Shares of Beneficial Interest Outstanding $1 par value, unlimited authorization: | |||||||
Class A | 4,051,280 | 6,435,851 | 8,558,738 | 3,149,075 | |||
Class I | 234,544 | — | — | 255,893 | |||
Net Asset Value Per Share:* | |||||||
Class A | $ 17.71 | $ 48.92 | $ 11.54 | $ 40.14 | |||
Class I | $ 17.70 | $ — | $ — | $ 41.49 | |||
(1) Investment in securities at cost | $ 57,761 | $ 93,584 | $ 90,041 | $ 56,144 | |||
(2) Foreign currency at cost | $ — | $ — | $ — | $ —(a) | |||
(a) | Amount is less than $500. |
* | Net Asset Value Price Per Share are calculated using unrounded net assets. |
KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | SGA International Growth Series | Strategic Allocation Series | ||||
Assets | |||||||
Investment in securities at value(1)(2) | $ 86,208 | $ 117,804 | $ 164,637 | $ 105,224 | |||
Cash | 2,295 | 2,167 | — | 1,421 | |||
Receivables | |||||||
Investment securities sold | — | 244 | 1,288 | 110 | |||
Series shares sold | — | 55 | 1 | 11 | |||
Dividends and interest | 371 | 978 | — (a) | 193 | |||
Tax reclaims | — | — | 139 | 5 | |||
Securities lending income | — | — (a) | 2 | — (a) | |||
Other assets | 237 | 318 | 433 | 285 | |||
Total assets | 89,111 | 121,566 | 166,500 | 107,249 | |||
Liabilities | |||||||
Due to custodian | — | — | 2 | — (a) | |||
Payables | |||||||
Series shares repurchased | 322 | — (a) | 409 | 23 | |||
Investment securities purchased | — | 1,721 | — | 142 | |||
Foreign capital gains tax | — | — | 213 | — | |||
Collateral on securities loaned | — | 487 | 663 | — | |||
Investment advisory fees | 50 | 49 | 94 | 45 | |||
Distribution and service fees | 19 | 25 | 34 | 22 | |||
Administration and accounting fees | 8 | 11 | 15 | 9 | |||
Transfer agent fees and expenses | — (a) | — (a) | — (a) | — (a) | |||
Professional fees | 22 | 27 | 31 | 29 | |||
Trustee deferred compensation plan | 237 | 318 | 433 | 285 | |||
Interest expense and/or commitment fees | — (a) | — (a) | — (a) | — (a) | |||
Other accrued expenses | 8 | 13 | 15 | 10 | |||
Total liabilities | 666 | 2,651 | 1,909 | 565 | |||
Net Assets | $ 88,445 | $ 118,915 | $ 164,591 | $ 106,684 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $ 45,975 | $ 119,403 | $ 127,445 | $ 60,226 | |||
Accumulated earnings (loss) | 42,470 | (488) | 37,146 | 46,458 | |||
Net Assets | $ 88,445 | $ 118,915 | $ 164,591 | $ 106,684 | |||
Net Assets: | |||||||
Class A | $ 88,445 | $ 118,363 | $ 164,468 | $ 106,684 | |||
Class I | $ — | $ 552 | $ 123 | $ — | |||
Shares of Beneficial Interest Outstanding $1 par value, unlimited authorization: | |||||||
Class A | 4,664,297 | 12,357,615 | 11,369,794 | 5,988,671 | |||
Class I | — | 57,638 | 8,522 | — | |||
Net Asset Value Per Share:* | |||||||
Class A | $ 18.96 | $ 9.58 | $ 14.47 | $ 17.81 | |||
Class I | $ — | $ 9.57 | $ 14.47 | $ — | |||
(1) Investment in securities at cost | $ 45,840 | $ 114,361 | $ 129,266 | $ 60,897 | |||
(2) Market value of securities on loan | $ — | $ 467 | $ 648 | $ — | |||
(a) | Amount is less than $500. |
* | Net Asset Value Price Per Share are calculated using unrounded net assets. |
YEAR ENDED December 31, 2020
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | KAR Equity Income Series | KAR Small-Cap Growth Series | ||||
Investment Income | |||||||
Dividends | $ 1,715 | $ 1,265 | $ 2,214 | $ 181 | |||
Securities lending, net of fees | — | — (1) | — (1) | 1 | |||
Foreign taxes withheld | — | — | (4) | — | |||
Total investment income | 1,715 | 1,265 | 2,210 | 182 | |||
Expenses | |||||||
Investment advisory fees | 523 | 1,812 | 630 | 944 | |||
Distribution and service fees, Class A | 166 | 651 | 225 | 258 | |||
Administration and accounting fees | 80 | 279 | 102 | 124 | |||
Transfer agent fees and expenses | — (1) | — (1) | — (1) | — (1) | |||
Custodian fees | 1 | 1 | 3 | — (1) | |||
Printing fees and expenses | 17 | 64 | 29 | 28 | |||
Professional fees | 27 | 34 | 31 | 27 | |||
Interest expense and/or commitment fees | — (1) | 1 | — (1) | 1 | |||
Trustees’ fees and expenses | 6 | 22 | 8 | 10 | |||
Miscellaneous expenses | 7 | 13 | 4 | 9 | |||
Total expenses | 827 | 2,877 | 1,032 | 1,401 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | (43) | (191) | (149) | (131) | |||
Net expenses | 784 | 2,686 | 883 | 1,270 | |||
Net investment income (loss) | 931 | (1,421) | 1,327 | (1,088) | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | 803 | 23,665 | 36,082 | 20,203 | |||
Foreign currency transactions | — | — (1) | — | (3) | |||
Written options | — | — | (5,536) | — | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | (3,454) | 87,283 | (19,121) | 24,256 | |||
Written options | — | — | (30) | — | |||
Net realized and unrealized gain (loss) on investments | (2,651) | 110,948 | 11,395 | 44,456 | |||
Net increase (decrease) in net assets resulting from operations | $(1,720) | $109,527 | $ 12,722 | $43,368 |
(1) | Amount is less than $500. |
(2) | See Note 4D in the Notes to Financial Statements. |
KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | SGA International Growth Series | Strategic Allocation Series | ||||
Investment Income | |||||||
Dividends | $ 1,584 | $ 34 | $ 1,658 | $ 432 | |||
Interest | — | 5,026 | — | 961 | |||
Securities lending, net of fees | — | 6 | 4 | — (1) | |||
Foreign taxes withheld | (1) | — (1) | (131) | (22) | |||
Total investment income | 1,583 | 5,066 | 1,531 | 1,371 | |||
Expenses | |||||||
Investment advisory fees | 667 | 565 | 1,084 | 506 | |||
Distribution and service fees, Class A | 185 | 281 | 361 | 230 | |||
Administration and accounting fees | 85 | 126 | 158 | 104 | |||
Transfer agent fees and expenses | — (1) | — (1) | — (1) | — (1) | |||
Custodian fees | — (1) | 2 | 13 | 4 | |||
Printing fees and expenses | 17 | 28 | 34 | 22 | |||
Professional fees | 25 | 32 | 64 | 38 | |||
Interest expense and/or commitment fees | — (1) | 1 | 1 | — | |||
Trustees’ fees and expenses | 7 | 10 | 13 | 8 | |||
Miscellaneous expenses | 4 | 7 | 15 | 9 | |||
Total expenses | 990 | 1,052 | 1,743 | 921 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | (174) | — | (42) | (18) | |||
Plus net expenses recaptured(2) | — | 9 | — | — | |||
Net expenses | 816 | 1,061 | 1,701 | 903 | |||
Net investment income (loss) | 767 | 4,005 | (170) | 468 | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | 6,840 | 1,117 | 8,075 | 5,155 | |||
Foreign currency transactions | — | (134) | (37) | — (1) | |||
Foreign capital gains tax | — | — | (89) | — | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | 12,969 | 1,879 | 24,573 | 22,133 | |||
Foreign currency transactions | — | — (1) | 13 | — (1) | |||
Foreign capital gains tax | — | — | (213) | — | |||
Net realized and unrealized gain (loss) on investments | 19,809 | 2,862 | 32,322 | 27,288 | |||
Net increase (decrease) in net assets resulting from operations | $20,576 | $6,867 | $32,152 | $27,756 |
(1) | Amount is less than $500. |
(2) | See Note 4D in the Notes to Financial Statements. |
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | ||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ 931 | $ 1,168 | $ (1,421) | $ (537) | |||
Net realized gain (loss) | 803 | 8,025 | 23,665 | 8,697 | |||
Net change in unrealized appreciation (depreciation) | (3,454) | 8,132 | 87,283 | 63,554 | |||
Increase (decrease) in net assets resulting from operations | (1,720) | 17,325 | 109,527 | 71,714 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (2,077) | (8,680) | (16,871) | (8,813) | |||
Class I | (124) | (224) | — | — | |||
Total Dividends and Distributions to Shareholders | (2,201) | (8,904) | (16,871) | (8,813) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (1,337) | 3,175 | (10,664) | (17,227) | |||
Class I | 1,934 | 2,049 | — | — | |||
Increase (decrease) in net assets from capital transactions | 597 | 5,224 | (10,664) | (17,227) | |||
Net increase (decrease) in net assets | (3,324) | 13,645 | 81,992 | 45,674 | |||
Net Assets | |||||||
Beginning of period | 79,217 | 65,572 | 232,834 | 187,160 | |||
End of Period | $ 75,893 | $ 79,217 | $ 314,826 | $ 232,834 |
KAR Equity Income Series | KAR Small-Cap Growth Series | ||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ 1,327 | $ 932 | $ (1,088) | $ (480) | |||
Net realized gain (loss) | 30,546 | 426 | 20,200 | 13,426 | |||
Net change in unrealized appreciation (depreciation) | (19,151) | 21,859 | 24,256 | 17,540 | |||
Increase (decrease) in net assets resulting from operations | 12,722 | 23,217 | 43,368 | 30,486 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (23,513) | (1,109) | (14,459) | (13,810) | |||
Class I | — | — | (1,158) | (892) | |||
Total Dividends and Distributions to Shareholders | (23,513) | (1,109) | (15,617) | (14,702) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | 12,342 | (10,768) | 3,730 | 1,572 | |||
Class I | — | — | 1,931 | 2,285 | |||
Increase (decrease) in net assets from capital transactions | 12,342 | (10,768) | 5,661 | 3,857 | |||
Net increase (decrease) in net assets | 1,551 | 11,340 | 33,412 | 19,641 | |||
Net Assets | |||||||
Beginning of period | 97,185 | 85,845 | 103,615 | 83,974 | |||
End of Period | $ 98,736 | $ 97,185 | $ 137,027 | $ 103,615 |
KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | ||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ 767 | $ 555 | $ 4,005 | $ 4,685 | |||
Net realized gain (loss) | 6,840 | 2,648 | 983 | (931) | |||
Net increase from payment by affiliate | — | — | — | 2 | |||
Net change in unrealized appreciation (depreciation) | 12,969 | 13,275 | 1,879 | 8,032 | |||
Increase (decrease) in net assets resulting from operations | 20,576 | 16,478 | 6,867 | 11,788 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (6,307) | (1,794) | (3,755) | (4,273) | |||
Class I | — | — | (18) | (37) | |||
Total Dividends and Distributions to Shareholders | (6,307) | (1,794) | (3,773) | (4,310) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (3,095) | (7,274) | (1,635) | (5,909) | |||
Class I | — | — | (399) | 201 | |||
Increase (decrease) in net assets from capital transactions | (3,095) | (7,274) | (2,034) | (5,708) | |||
Net increase (decrease) in net assets | 11,174 | 7,410 | 1,060 | 1,770 | |||
Net Assets | |||||||
Beginning of period | 77,271 | 69,861 | 117,855 | 116,085 | |||
End of Period | $ 88,445 | $ 77,271 | $ 118,915 | $ 117,855 |
SGA International Growth Series | Strategic Allocation Series | ||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ (170) | $ 1,578 | $ 468 | $ 1,052 | |||
Net realized gain (loss) | 7,949 | 7,025 | 5,155 | 1,758 | |||
Net change in unrealized appreciation (depreciation) | 24,373 | 16,044 | 22,133 | 16,841 | |||
Increase (decrease) in net assets resulting from operations | 32,152 | 24,647 | 27,756 | 19,651 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (2,098) | (1,216) | (3,637) | (2,202) | |||
Class I | (2) | (1) | — | — | |||
Total Dividends and Distributions to Shareholders | (2,100) | (1,217) | (3,637) | (2,202) | |||
Change in Net Assets from Capital Transactions (See Note 6): | |||||||
Class A | (13,563) | (12,977) | (5,337) | (9,083) | |||
Class I | 2 | 1 | — | — | |||
Increase (decrease) in net assets from capital transactions | (13,561) | (12,976) | (5,337) | (9,083) | |||
Net increase (decrease) in net assets | 16,491 | 10,454 | 18,782 | 8,366 | |||
Net Assets | |||||||
Beginning of period | 148,100 | 137,646 | 87,902 | 79,536 | |||
End of Period | $ 164,591 | $ 148,100 | $ 106,684 | $ 87,902 |
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | ||
Duff & Phelps Real Estate Securities Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/20 to 12/31/20 | $18.54 | 0.22 | (0.52) | (0.30) | (0.20) | — | (0.33) | (0.53) | (0.83) | $17.71 | (1.55) % | $ 71,741 | 1.14 % (4) | 1.20 % | 1.30 % | 26 % | |
1/1/19 to 12/31/19 | 16.40 | 0.30 | 4.20 | 4.50 | (0.34) | — | (2.02) | (2.36) | 2.14 | 18.54 | 27.42 | 77,044 | 1.16 (4) | 1.20 | 1.57 | 44 | |
1/1/18 to 12/31/18 | 19.23 | 0.28 | (1.41) | (1.13) | (0.30) | — | (1.40) | (1.70) | (2.83) | 16.40 | (6.53) | 65,357 | 1.16 | 1.19 | 1.54 | 20 | |
1/1/17 to 12/31/17 | 20.31 | 0.25 | 0.92 | 1.17 | (0.29) | — | (1.96) | (2.25) | (1.08) | 19.23 | 5.97 | 77,564 | 1.16 | 1.21 | 1.24 | 24 | |
1/1/16 to 12/31/16 | 22.85 | 0.34 | 1.17 | 1.51 | (0.43) | — | (3.62) | (4.05) | (2.54) | 20.31 | 6.82 (5) | 81,243 | 1.17 (5)(6) | 1.25 | 1.42 (5) | 35 | |
Class I | |||||||||||||||||
1/1/20 to 12/31/20 | $18.51 | 0.34 | (0.60) | (0.26) | (0.22) | — | (0.33) | (0.55) | (0.81) | $17.70 | (1.33) % | $ 4,152 | 0.89 % (4) | 0.95 % | 2.08 % | 26 % | |
1/1/19 to 12/31/19 | 16.35 | 0.40 | 4.14 | 4.54 | (0.36) | — | (2.02) | (2.38) | 2.16 | 18.51 | 27.78 | 2,173 | 0.91 (4) | 0.95 | 2.04 | 44 | |
1/1/18 to 12/31/18 | 19.19 | 0.34 | (1.43) | (1.09) | (0.35) | — | (1.40) | (1.75) | (2.84) | 16.35 | (6.36) | 215 | 0.91 | 0.94 | 1.85 | 20 | |
1/1/17 to 12/31/17 | 20.27 | 0.30 | 0.93 | 1.23 | (0.35) | — | (1.96) | (2.31) | (1.08) | 19.19 | 6.25 | 207 | 0.91 | 0.96 | 1.49 | 24 | |
1/1/16 to 12/31/16 | 22.81 | 0.35 | 1.22 | 1.57 | (0.49) | — | (3.62) | (4.11) | (2.54) | 20.27 | 7.10 (5) | 199 | 0.92 (5)(6) | 1.00 | 1.46 (5) | 35 | |
KAR Capital Growth Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/20 to 12/31/20 | $34.44 | (0.22) | 17.42 | 17.20 | — | — | (2.72) | (2.72) | 14.48 | $48.92 | 50.23 % | $314,826 | 1.03 % | 1.10 % | (0.55) % | 7 % | |
1/1/19 to 12/31/19 | 25.62 | (0.08) | 10.22 | 10.14 | — | — | (1.32) | (1.32) | 8.82 | 34.44 | 39.87 | 232,834 | 1.03 | 1.11 | (0.24) | 9 | |
1/1/18 to 12/31/18 | 31.40 | (0.09) | (1.92) | (2.01) | — | — | (3.77) | (3.77) | (5.78) | 25.62 | (7.25) | 187,160 | 1.03 | 1.11 | (0.28) | 15 | |
1/1/17 to 12/31/17 | 24.09 | (0.05) | 8.75 | 8.70 | — | — | (1.39) | (1.39) | 7.31 | 31.40 | 36.07 | 224,253 | 1.03 | 1.13 | (0.16) | 21 | |
1/1/16 to 12/31/16 | 24.91 | — (7) | (0.22) | (0.22) | (0.60) | — | — | (0.60) | (0.82) | 24.09 | (0.86) (5) | 185,519 | 1.04 (5)(6) | 1.18 | (0.10) (5) | 23 | |
KAR Equity Income Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/20 to 12/31/20 | $13.15 | 0.19 | 1.78 | 1.97 | (0.23) | — | (3.35) | (3.58) | (1.61) | $11.54 | 14.91 % | $ 98,736 | 0.98 % | 1.15 % | 1.47 % | 116 % (8) | |
1/1/19 to 12/31/19 | 10.34 | 0.12 | 2.84 | 2.96 | (0.15) | — | — | (0.15) | 2.81 | 13.15 | 28.67 | 97,185 | 0.98 | 1.13 | 1.00 | 27 | |
1/1/18 to 12/31/18 | 12.00 | 0.11 | (1.65) | (1.54) | (0.12) | — | — | (0.12) | (1.66) | 10.34 | (12.86) | 85,845 | 0.98 | 1.14 | 0.97 | 26 | |
1/1/17 to 12/31/17 | 11.97 | 0.12 | 2.58 | 2.70 | (0.21) | (0.07) | (2.39) | (2.67) | 0.03 | 12.00 | 22.96 | 111,386 | 0.98 | 1.16 | 0.96 | 241 | |
1/1/16 to 12/31/16 | 13.67 | 0.25 | 1.01 | 1.26 | (0.18) | — | (2.78) | (2.96) | (1.70) | 11.97 | 9.41 (5) | 104,587 | 0.99 (5)(6) | 1.20 | 1.41 (5) | 241 (8) |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | ||
KAR Small-Cap Growth Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/20 to 12/31/20 | $31.48 | (0.35) | 14.19 | 13.84 | — | (5.18) | (5.18) | — | 8.66 | $40.14 | 44.64 % | $126,411 | 1.16 % | 1.28 % | (1.00) % | 17 % | |
1/1/19 to 12/31/19 | 26.70 | (0.16) | 10.00 | 9.84 | — | (5.06) | (5.06) | — | 4.78 | 31.48 | 37.31 | 96,996 | 1.19 (4) | 1.28 | (0.49) | 11 | |
1/1/18 to 12/31/18 | 28.66 | (0.03) | 3.66 | 3.63 | — | (5.59) | (5.59) | — | (1.96) | 26.70 | 11.66 | 80,309 | 1.19 | 1.27 | (0.10) | 20 | |
1/1/17 to 12/31/17 | 21.61 | (0.12) | 8.93 | 8.81 | — | (1.76) | (1.76) | — | 7.05 | 28.66 | 40.85 | 79,597 | 1.19 | 1.30 | (0.49) | 18 | |
1/1/16 to 12/31/16 | 18.75 | (0.06) | 4.85 | 4.79 | — | (1.93) | (1.93) | — | 2.86 | 21.61 | 25.92 (5) | 63,008 | 1.20 (5)(6) | 1.37 | (0.37) (5) | 18 | |
Class I | |||||||||||||||||
1/1/20 to 12/31/20 | $32.33 | (0.27) | 14.61 | 14.34 | — | (5.18) | (5.18) | — | 9.16 | $41.49 | 45.02 % | $ 10,616 | 0.91 % | 1.03 % | (0.74) % | 17 % | |
1/1/19 to 12/31/19 | 27.25 | (0.08) | 10.22 | 10.14 | — | (5.06) | (5.06) | — | 5.08 | 32.33 | 37.66 | 6,619 | 0.94 (4) | 1.03 | (0.25) | 11 | |
1/1/18 to 12/31/18 | 29.08 | 0.04 | 3.72 | 3.76 | — | (5.59) | (5.59) | — | (1.83) | 27.25 | 11.95 | 3,665 | 0.94 | 1.03 | 0.12 | 20 | |
1/1/17 to 12/31/17 | 21.86 | (0.06) | 9.04 | 8.98 | — | (1.76) | (1.76) | — | 7.22 | 29.08 | 41.16 | 1,858 | 0.94 | 1.05 | (0.24) | 18 | |
1/1/16 to 12/31/16 | 18.90 | 0.01 | 4.88 | 4.89 | — | (1.93) | (1.93) | — | 2.96 | 21.86 | 26.25 (5) | 353 | 0.95 (5)(6) | 1.12 | (0.10) (5) | 18 | |
KAR Small-Cap Value Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/20 to 12/31/20 | $15.78 | 0.16 | 4.43 | 4.59 | (0.18) | (1.23) | (1.41) | — | 3.18 | $18.96 | 29.65 % | $ 88,445 | 1.10 % | 1.34 % | 1.04 % | 22 % | |
1/1/19 to 12/31/19 | 12.96 | 0.11 | 3.08 | 3.19 | (0.15) | (0.22) | (0.37) | — | 2.82 | 15.78 | 24.63 | 77,271 | 1.10 | 1.34 | 0.73 | 8 | |
1/1/18 to 12/31/18 | 17.36 | 0.12 | (2.72) | (2.60) | (0.15) | (1.65) | (1.80) | — | (4.40) | 12.96 | (15.88) | 69,861 | 1.19 (4) | 1.33 | 0.74 | 11 | |
1/1/17 to 12/31/17 | 16.69 | 0.05 | 3.23 | 3.28 | (0.12) | (2.49) | (2.61) | — | 0.67 | 17.36 | 20.16 | 94,638 | 1.20 | 1.34 | 0.26 | 20 | |
1/1/16 to 12/31/16 | 15.17 | 0.32 | 3.66 | 3.98 | (0.34) | (2.12) | (2.46) | — | 1.52 | 16.69 | 26.54 (5) | 94,966 | 1.21 (5)(6) | 1.40 | 1.85 (5) | 22 | |
Newfleet Multi-Sector Intermediate Bond Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/20 to 12/31/20 | $ 9.28 | 0.33 | 0.28 | 0.61 | (0.31) | — | (0.31) | — | 0.30 | $ 9.58 | 6.64 % | $118,363 | 0.94 % (9)(10) | 0.93 % | 3.54 % | 92 % | |
1/1/19 to 12/31/19 | 8.72 | 0.37 | 0.54 | 0.91 | (0.35) | — | (0.35) | — (7) | 0.56 | 9.28 | 10.47 (11) | 116,901 | 0.94 (9)(10) | 0.93 | 3.98 | 66 | |
1/1/18 to 12/31/18 | 9.34 | 0.39 | (0.64) | (0.25) | (0.37) | — | (0.37) | — | (0.62) | 8.72 | (2.66) | 115,379 | 0.93 | 0.93 | 4.23 | 64 | |
1/1/17 to 12/31/17 | 9.14 | 0.41 | 0.20 | 0.61 | (0.41) | — | (0.41) | — | 0.20 | 9.34 | 6.72 | 133,430 | 0.93 | 0.96 | 4.35 | 62 | |
1/1/16 to 12/31/16 | 8.75 | 0.44 | 0.37 | 0.81 | (0.42) | — | (0.42) | — | 0.39 | 9.14 | 9.29 (5) | 128,969 | 0.94 (5)(6) | 1.00 | 4.82 (5) | 68 | |
Class I | |||||||||||||||||
1/1/20 to 12/31/20 | $ 9.27 | 0.35 | 0.28 | 0.63 | (0.33) | — | (0.33) | — | 0.30 | $ 9.57 | 6.78 % | $ 552 | 0.69 % (9)(10) | 0.69 % | 3.84 % | 92 % | |
1/1/19 to 12/31/19 | 8.70 | 0.39 | 0.55 | 0.94 | (0.37) | — | (0.37) | — (7) | 0.57 | 9.27 | 10.89 (11) | 954 | 0.69 (9)(10) | 0.68 | 4.22 | 66 | |
1/1/18 to 12/31/18 | 9.32 | 0.41 | (0.63) | (0.22) | (0.40) | — | (0.40) | — | (0.62) | 8.70 | (2.41) | 706 | 0.68 | 0.68 | 4.46 | 64 | |
1/1/17 to 12/31/17 | 9.12 | 0.43 | 0.20 | 0.63 | (0.43) | — | (0.43) | — | 0.20 | 9.32 | 7.00 | 1,378 | 0.68 | 0.70 | 4.54 | 62 | |
1/1/16 to 12/31/16 | 8.74 | 0.47 | 0.35 | 0.82 | (0.44) | — | (0.44) | — | 0.38 | 9.12 | 9.46 (5) | 242 | 0.69 (5)(6) | 0.75 | 5.08 (5) | 68 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(3) | Ratio of Gross Expenses to Average Net Assets(3) | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | ||
SGA International Growth Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/20 to 12/31/20 | $11.86 | (0.01) | 2.81 | 2.80 | — | (0.19) | (0.19) | 2.61 | $14.47 | 23.64 % | $164,468 | 1.18 % (4)(6) | 1.21 % | (0.12) % | 34 % | |
1/1/19 to 12/31/19 | 10.09 | 0.12 | 1.75 | 1.87 | (0.10) | — | (0.10) | 1.77 | 11.86 | 18.54 | 148,000 | 1.20 (4)(6) | 1.21 | 1.08 | 140 (8) | |
1/1/18 to 12/31/18 | 12.50 | 0.24 | (2.29) | (2.05) | (0.36) | — | (0.36) | (2.41) | 10.09 | (16.67) | 137,562 | 1.18 (10) | 1.17 | 1.97 | 40 | |
1/1/17 to 12/31/17 | 10.95 | 0.15 | 1.59 | 1.74 | (0.19) | — | (0.19) | 1.55 | 12.50 | 15.95 | 183,403 | 1.18 | 1.21 | 1.24 | 81 | |
1/1/16 to 12/31/16 | 14.01 | 0.08 | (0.44) | (0.36) | (0.09) | (2.61) | (2.70) | (3.06) | 10.95 | (1.61) (5) | 177,868 | 1.18 (5)(6) | 1.26 | 0.62 (5) | 83 | |
Class I | ||||||||||||||||
1/1/20 to 12/31/20 | $11.83 | 0.02 | 2.81 | 2.83 | — | (0.19) | (0.19) | 2.64 | $14.47 | 23.95 % | $ 123 | 0.93 % (4)(6) | 0.97 % | 0.13 % | 34 % | |
1/1/19 to 12/31/19 | 10.07 | 0.15 | 1.74 | 1.89 | (0.13) | — | (0.13) | 1.76 | 11.83 | 18.77 | 100 | 0.95 (4)(6) | 0.96 | 1.30 | 140 (8) | |
1/1/18 to 12/31/18 | 12.48 | 0.27 | (2.29) | (2.02) | (0.39) | — | (0.39) | (2.41) | 10.07 | (16.44) | 84 | 0.93 (10) | 0.92 | 2.23 | 40 | |
1/1/17 to 12/31/17 | 10.94 | 0.17 | 1.59 | 1.76 | (0.22) | — | (0.22) | 1.54 | 12.48 | 16.17 | 100 | 0.93 | 0.96 | 1.48 | 81 | |
1/1/16 to 12/31/16 | 13.99 | 0.11 | (0.42) | (0.31) | (0.13) | (2.61) | (2.74) | (3.05) | 10.94 | (1.28) (5) | 86 | 0.93 (5)(6) | 1.01 | 0.88 (5) | 83 | |
Strategic Allocation Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/20 to 12/31/20 | $13.78 | 0.08 | 4.57 | 4.65 | (0.11) | (0.51) | (0.62) | 4.03 | $17.81 | 33.96 % | $106,684 | 0.98 % | 1.00 % | 0.51 % | 28 % | |
1/1/19 to 12/31/19 | 11.22 | 0.16 | 2.75 | 2.91 | (0.17) | (0.18) | (0.35) | 2.56 | 13.78 | 26.05 | 87,902 | 0.98 | 1.01 | 1.22 | 40 | |
1/1/18 to 12/31/18 | 12.62 | 0.17 | (0.89) | (0.72) | (0.18) | (0.50) | (0.68) | (1.40) | 11.22 | (5.89) | 79,536 | 0.98 | 1.02 | 1.32 | 33 | |
1/1/17 to 12/31/17 | 10.88 | 0.16 | 1.89 | 2.05 | (0.23) | (0.08) | (0.31) | 1.74 | 12.62 | 18.97 | 97,028 | 0.98 | 1.06 | 1.31 | 38 | |
1/1/16 to 12/31/16 | 12.34 | 0.24 | (0.14) | 0.10 | (0.21) | (1.35) | (1.56) | (1.46) | 10.88 | 0.82 (5) | 93,276 | 0.99 (5)(6) | 1.09 | 1.96 (5) | 114 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | The total return does not include the expenses associated with the annuity or life insurance policy through which you invest. |
(3) | The Series will also indirectly bear their prorated share of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(4) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(5) | State Street Bank & Trust, custodian for some of the Series through January 29, 2010, reimbursed the Series for out-of-pocket custody expenses overbilled for the period 1998 through January 29, 2010. Custody fees reimbursed were excluded from the Ratio of Net Expenses to Average Net Assets and Ratio of Net Investment Income (Loss) to Average Net Assets. If included, the impact would have been to lower the Ratio of Net Expenses to Average Net Assets and increase the Ratio of Net Investment Income (Loss) to Average Net Assets as follows: Duff & Phelps Real Estate Securities Series 0.02% (Class A) and 0.03% (Class I), KAR Capital Growth Series 0.10%, KAR Equity Income Series 0.46%, KAR Small-Cap Growth Series 0.09% (Class A) and 0.14% (Class I), KAR Small-Cap Value Series 0.08%, Newfleet Multi-Sector Intermediate Bond Series 0.04% (Class A) and 0.05% (Class I), SGA International Growth Series 0.04%, Strategic Allocation Series 0.03%. Custody fees reimbursed were included in Total Return. If excluded, the impact would have been to lower the Total Return as follows: Duff & Phelps Real Estate Securities Series 0.03%, KAR Capital Growth Series 0.10%, KAR Equity Income Series 0.44%, KAR Small-Cap Growth Series 0.08%, KAR Small-Cap Value Series 0.08%, Newfleet Multi-Sector Intermediate Bond Series 0.04%, SGA International Growth Series 0.04%, Strategic Allocation Series 0.03%. |
(6) | Net expense ratio includes extraordinary proxy expenses. |
(7) | Amount is less than $0.005 per share. |
(8) | The Series’ portfolio turnover rate increased substantially during the years due to a change in the Series’ subadviser and associated repositioning. |
(9) | The share class is currently below its expense cap. |
(10) | See Note 4D in the Notes to Financial Statements for information on recapture of expenses previously reimbursed. |
(11) | Payment from affiliate had no impact on total return. |
December 31, 2020
A. | Security Valuation |
Each Series utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Series’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. | |
• Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Series is notified. Interest income is recorded on the accrual basis. Each Series amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
Each Series is treated as a separate taxable entity. It is the intention of each Series to comply with the requirements of Subchapter M of the Internal Revenue Code and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
Certain Series may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Series will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Series has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. As of December 31, 2020, the tax years that remain subject to examination by the major tax jurisdictions under the statute of limitations are from the year 2017 forward (with limited exceptions). | |
D. | Distributions to Shareholders |
Distributions are recorded by each Series on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations that may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Series and other affiliated mutual funds are allocated in proportion to the net assets of each such Series or fund, except where allocation of direct expenses to each Series or an alternative allocation method can be more appropriately used. | |
In addition to the net annual operating expenses that a Series bears directly, the contract owners, as investors in the Series, indirectly bear the Series’ pro-rata expenses of any underlying mutual funds in which the Series invests. | |
F. | Foreign Currency Transactions |
Non-U.S. investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Series do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
Certain Series may engage in when-issued or forward commitment transactions. Securities purchased on a when-issued or forward commitment basis are also known as delayed delivery transactions. Delayed delivery transactions involve a commitment by a Series to purchase or sell a security at a future date (ordinarily up to 90 days later). When-issued or forward commitments enable the Series to lock in what is believed to be an attractive price or yield on a particular security for a period of time, regardless of future changes in interest rates. Each Series records when-issued and forward commitment securities on the trade date. Each Series maintains collateral for the securities purchased. Securities purchased on a when-issued or forward commitment basis begin earning interest on the settlement date. |
H. | Interest-Only and Principal-Only Securities |
Certain Series may invest in stripped mortgage-backed securities. Stripped mortgage-backed securities represent a participation in, or are secured by, or payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. Stripped mortgage-backed securities include interest-only securities (IOs) which receive all of the interest, and principal-only securities (POs) which receive all of the principal. The market value of these securities is highly sensitive to changes in interest rates and a rapid (slow) rate of principal payments may have an adverse (positive) effect on yield to maturity. Payments received for IOs are included in interest income. Because principal will not be received at the maturity of an IO, adjustments are made to the book value of the security on a daily basis until maturity and these adjustments are also included in interest income. Payments received for POs are treated as reductions to the cost and par value of the securities. Any paydown gains or losses associated with the payments received are included in interest income. If the underlying mortgage assets are greater than anticipated payments of principal, a Series may fail to recoup some or all of its initial investment in these securities. | |
I. | Leveraged Loans |
Certain Series may invest in direct debt instruments which are interests in amounts owed by a corporate, governmental, or other borrower to lenders or lending syndicates. Leveraged loans are generally non-investment grade and often involve borrowers that are highly leveraged. The Series may invest in obligations of borrowers who are in bankruptcy proceedings. Leveraged loans are typically senior in the corporate capital structure of the borrower. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the leveraged loan. A Series’ investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When investing in loan participations, a Series has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt by the lender of payments from the borrower. A Series generally has no right to enforce compliance with the terms of the leveraged loan with the borrower. As a result, a Series may be subject to the credit risk of both the borrower and the lender that is selling the leveraged loan. When a Series purchases assignments from lenders it acquires direct rights against the borrower on the loan. | |
A Series may invest in multiple series or tranches of a loan, which may have varying terms and carry different associated risks. Leveraged loans may involve foreign borrowers and investments may be denominated in foreign currencies. Direct indebtedness of emerging countries involves a risk that the government entities responsible for the repayment of the debt may be unable, or unwilling, to pay the principal and interest when due. | |
The leveraged loans have floating rate loan interests which generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally LIBOR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased a Series may pay an assignment fee. On an ongoing basis, a Series may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a leveraged loan. Prepayment penalty fees are received upon the prepayment of a leveraged loan by a borrower. Prepayment penalty, facility, commitment, consent and amendment fees are recorded to income as earned or paid. | |
As of December 31, 2020, the following Series had unfunded loan commitments: |
Unfunded Loan Commitment | ||
Borrower | Newfleet Multi-Sector Intermediate Bond Series | |
Cano Health LLC (3 month LIBOR + 1.000%) 1.000%, 11/19/27 | $40 | |
Precision Medicine Group LLC (3 month LIBOR + 3.750%) 3.750%, 11/18/27 | 13 | |
Southern Veterinary Partners LLC (3 month LIBOR + 2.000%) 2.000%, 10/1/27 | 19 |
J. | Securities Lending |
The Series may loan securities to qualified brokers through a securities lending agency agreement with The Bank of New York Mellon (“BNYM”). Under the securities lending policy, when lending securities a Series is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Series net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by each Series under a Master Securities Lending Agreement (“MSLA”) which permit the Series, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Series to the same counterparty against amounts to be received and create one single net payment due to or from the Series. | |
Effective March 13, 2020, the securities lending program was put on hold and all securities on loan were recalled. Effective October 1, 2020, the Series may resume loaning portfolio securities under the securities lending program. |
Series | Counterparty | Value of Securities on Loan | Cash Collateral Received(1) | Net Amount(2) | ||||
Newfleet Multi-Sector Intermediate Bond Series | BNYM | $467 | $467 | $— | ||||
SGA International Growth Series | BNYM | 648 | 648 | — |
in connection with securities lending transactions has been used for the purchase of securities as disclosed in the Series’ Schedule of
Investments.
Statement of Operations | |
KAR Equity Income Series | |
Net realized gain (loss) from purchased options | $ 3,589(1) |
Net realized gain (loss) from written options | (5,536) |
Net change in unrealized appreciation (depreciation) on purchased options | 16 (2) |
Net change in unrealized appreciation (depreciation) on written options | (30) |
Total net realized and unrealized gain (loss) on purchased and written options | $ (1,961) |
(1) | Amount included in Net realized gain (loss) from investments. |
(2) | Amount included in Net change in unrealized appreciation (depreciation) on investments. |
A. | Investment Adviser |
Virtus Investment Advisers, Inc. (the “Adviser”), an indirect, wholly-owned subsidiary of Virtus Investment Partners, Inc. (“Virtus”), is the investment adviser to the Series. The Adviser manages the Series’ investment programs and general operations of the Series, including oversight of the Series’ subadviser(s). | |
As compensation for its services to the Series, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets of each Series: |
Series | First $250 Million | Next $250 Million | Over $500 Million | |||
KAR Capital Growth Series | 0.70% | 0.65% | 0.60% | |||
KAR Equity Income Series | 0.70 | 0.65 | 0.60 | |||
Newfleet Multi-Sector Intermediate Bond Series | 0.50 | 0.45 | 0.40 | |||
SGA International Growth Series | 0.75 | 0.70 | 0.65 | |||
Strategic Allocation Series | 0.55 | 0.50 | 0.45 | |||
First $1 Billion | Next $1 Billion | Over $2 Billion | ||||
Duff & Phelps Real Estate Securities Series | 0.75% | 0.70% | 0.65% | |||
First $1 Billion | $1+ Billion | |||||
KAR Small-Cap Growth Series | 0.85% | 0.80% | ||||
First $400 Million | $400 Million to $1 Billion | Over $1 Billion | ||||
KAR Small-Cap Value Series | 0.90% | 0.85% | 0.80% | |||
B. | Subadvisers |
The subadvisers manage the investments of each Series for which they are paid a fee by the Adviser. A list of the subadvisers and the Series they serve as of the end of the period is as follows: |
Series | Subadviser | |
Duff & Phelps Real Estate Securities Series | DPIM (1) | |
KAR Capital Growth Series | KAR (2) | |
KAR Equity Income Series | KAR (3) | |
KAR Small-Cap Growth Series | KAR (2) | |
KAR Small-Cap Value Series | KAR (2) | |
Newfleet Multi-Sector Intermediate Bond Series | Newfleet (4) | |
Series | Subadviser | |
SGA International Growth Series | SGA (5) | |
Strategic Allocation Series | ||
(Equity Portfolio) | KAR (2) | |
(Fixed Income Portfolio) | Newfleet (4) | |
C. | Expense Limitations |
The Adviser has contractually agreed to limit each Series’ annual total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed on an annualized basis, the following respective percentages of average daily net assets through April 30, 2021 (except as noted). Following the contractual period, the Adviser may discontinue these expense reimbursement arrangements at any time. The waivers and reimbursements are accrued daily and received monthly. |
Series | Class A | Class I | ||
Duff & Phelps Real Estate Securities Series* | 1.10 % | 0.85 % | ||
KAR Capital Growth Series | 1.03 | N/A | ||
KAR Equity Income Series** | 0.98 | N/A | ||
KAR Small-Cap Growth Series | 1.16 | 0.91 | ||
KAR Small-Cap Value Series | 1.10 | N/A | ||
Newfleet Multi-Sector Intermediate Bond Series | 0.94 ‡ | 0.69 ‡ | ||
SGA International Growth Series*** | 1.14 | 0.89 | ||
Strategic Allocation Series | 0.98 | N/A |
* | Effective December 1, 2020 through April 30, 2022. For the period January 1, 2020 through November 30, 2020, the expense caps were as follows for Class A shares and Class I shares, respectively: 1.14% and 0.89%. |
** | Through April 30, 2022. |
*** | Effective December 1, 2020 through April 30, 2022. For the period January 1, 2020 through November 30, 2020, the expense caps were as follows for Class A shares and Class I shares, respectively: 1.16% and 0.91%. |
‡ | Each share class is currently below its expense cap. |
D. | Expense Recapture |
Under certain conditions, the Adviser may recapture operating expenses reimbursed or fees waived under these arrangements within three years after the date on which such amounts were incurred or waived. A Series must pay its ordinary operating expenses before the Adviser is entitled to any reimbursement and must remain in compliance with any applicable expense limitations or, if none, the expense limitation in effect at the time of the waiver or reimbursement. All or a portion of the following Adviser reimbursed expenses may be recaptured by the fiscal year ending: |
Expiration | ||||||||
Series | 2021 | 2022 | 2023 | Total | ||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | $ 24 | $ 29 | $ 41 | $ 94 | ||||
Class I | — | — (1) | 2 | 2 |
Expiration | ||||||||
Series | 2021 | 2022 | 2023 | Total | ||||
KAR Capital Growth Series | ||||||||
Class A | $172 | $183 | $191 | $546 | ||||
KAR Equity Income Series | ||||||||
Class A | 163 | 141 | 149 | 453 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 75 | 86 | 121 | 282 | ||||
Class I | 3 | 5 | 10 | 18 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 117 | 181 | 174 | 472 | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | — | — | 1 | 1 | ||||
Class I | — (1) | — | — (1) | — (1) | ||||
SGA International Growth Series | ||||||||
Class A | 1 | 22 | 42 | 65 | ||||
Class I | — (1) | — (1) | — (1) | — (1) | ||||
Strategic Allocation Series | ||||||||
Class A | 42 | 25 | 18 | 85 | ||||
(1) | Amount is less than $500. |
Series | Class A | Class I | Total | |||
Newfleet Multi-Sector Intermediate Bond Series | $ 11 | $ — (1) | $ 11 | |||
Strategic Allocation Series | — (1) | — | — (1) | |||
(1) | Amount is less than $500. |
E. | Administrator and Distributor |
Virtus Fund Services, LLC, an indirect, wholly-owned subsidiary of Virtus, serves as the administrator to the Series. | |
For the fiscal year (the “period”) December 31, 2020 the Series incurred administration fees totaling $911, which are included in the Statements of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Series’ shares. Each Series pays VP Distributors distribution and/or service fees under a Board-approved Rule 12b-1 plan, at the annual rate of 0.25% of the average daily net assets of such Series’ Class A shares. Class I shares are not subject to a Rule 12b-1 plan. For the period ended December 31, 2020, the Series incurred distribution fees totaling $2,357 which are included in the Statements of Operations within the line item “Distribution and service fees.” A portion of these fees was paid to certain insurance companies for marketing and/or shareholder services provided to contract owners. The fees are calculated daily and paid monthly. | |
F. | Payment from Affiliate |
The KAR Capital Growth Series and the Strategic Allocation Series were reimbursed by KAR for costs incurred due to an error in the processing of a corporate action of an investment during the period ended December 31, 2020. | |
G. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statements of Assets and Liabilities at December 31, 2020. |
Purchases | Sales | ||
Duff & Phelps Real Estate Securities Series | $ 21,317 | $ 17,739 | |
KAR Capital Growth Series | 17,235 | 45,835 |
Purchases | Sales | ||
KAR Equity Income Series | $103,147 | $115,299 | |
KAR Small-Cap Growth Series | 17,631 | 30,394 | |
KAR Small-Cap Value Series | 16,063 | 26,006 | |
Newfleet Multi-Sector Intermediate Bond Series | 89,960 | 92,882 | |
SGA International Growth Series | 47,981 | 63,373 | |
Strategic Allocation Series | 23,180 | 32,036 |
Purchases | Sales | ||
Newfleet Multi-Sector Intermediate Bond Series | $12,255 | $10,818 | |
Strategic Allocation Series | 2,340 | 2,971 | |
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | ||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 464 | $ 7,726 | 473 | $ 9,341 | 54 | $ 2,106 | 61 | $ 1,930 | |||||||
Reinvestment of distributions | 120 | 2,077 | 464 | 8,680 | 355 | 16,871 | 269 | 8,813 | |||||||
Shares repurchased | (689) | (11,140) | (767) | (14,846) | (734) | (29,641) | (875) | (27,970) | |||||||
Net Increase / (Decrease) | (105) | $ (1,337) | 170 | $ 3,175 | (325) | $ (10,664) | (545) | $ (17,227) | |||||||
Class I | |||||||||||||||
Shares sold | 256 | $ 4,078 | 128 | $ 2,538 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | 7 | 124 | 12 | 224 | — | — | — | — | |||||||
Shares repurchased | (146) | (2,268) | (35) | (713) | — | — | — | — | |||||||
Net Increase / (Decrease) | 117 | $ 1,934 | 105 | $ 2,049 | — | $ — | — | $ — |
KAR Equity Income Series | KAR Small-Cap Growth Series | ||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 60 | $ 751 | 76 | $ 903 | 72 | $ 2,469 | 61 | $ 1,905 | |||||||
Reinvestment of distributions | 2,032 | 23,513 | 87 | 1,109 | 375 | 14,459 | 443 | 13,810 | |||||||
Shares repurchased | (926) | (11,922) | (1,069) | (12,780) | (379) | (13,198) | (430) | (14,143) | |||||||
Net Increase / (Decrease) | 1,166 | $ 12,342 | (906) | $ (10,768) | 68 | $ 3,730 | 74 | $ 1,572 | |||||||
Class I | |||||||||||||||
Shares sold | — | $ — | — | $ — | 105 | $ 3,643 | 84 | $ 2,760 | |||||||
Reinvestment of distributions | — | — | — | — | 29 | 1,158 | 28 | 892 | |||||||
Shares repurchased | — | — | — | — | (83) | (2,870) | (42) | (1,367) | |||||||
Net Increase / (Decrease) | — | $ — | — | $ — | 51 | $ 1,931 | 70 | $ 2,285 |
KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | ||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 58 | $ 866 | 41 | $ 607 | 1,501 | $ 14,183 | 809 | $ 7,540 | |||||||
Reinvestment of distributions | 350 | 6,307 | 114 | 1,794 | 395 | 3,755 | 464 | 4,273 | |||||||
Shares repurchased | (640) | (10,268) | (648) | (9,675) | (2,131) | (19,573) | (1,917) | (17,722) | |||||||
Net Increase / (Decrease) | (232) | $ (3,095) | (493) | $ (7,274) | (235) | $ (1,635) | (644) | $ (5,909) | |||||||
Class I | |||||||||||||||
Shares sold | — | $ — | — | $ — | 11 | $ 109 | 24 | $ 221 | |||||||
Reinvestment of distributions | — | — | — | — | 2 | 18 | 4 | 37 | |||||||
Shares repurchased | — | — | — | — | (58) | (526) | (6) | (57) | |||||||
Net Increase / (Decrease) | — | $ — | — | $ — | (45) | $ (399) | 22 | $ 201 |
SGA International Growth Series | Strategic Allocation Series | ||||||||||||||
Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 183 | $ 2,188 | 233 | $ 2,616 | 58 | $ 879 | 28 | $ 355 | |||||||
Shares Issued-Merger | (1,446) | — | — | — | — | — | — | — | |||||||
Reinvestment of distributions | 151 | 2,098 | 105 | 1,216 | 213 | 3,637 | 164 | 2,202 | |||||||
Shares repurchased | — | (17,849) | (1,493) | (16,809) | (662) | (9,853) | (900) | (11,640) | |||||||
Net Increase / (Decrease) | (1,112) | $ (13,563) | (1,155) | $ (12,977) | (391) | $ (5,337) | (708) | $ (9,083) | |||||||
Class I | |||||||||||||||
Reinvestment of distributions | — (1) | $ 2 | — (1) | $ 1 | — | $ — | — | $ — | |||||||
Net Increase / (Decrease) | — (1) | $ 2 | — (1) | $ 1 | — | $ — | — | $ — |
(1) | Amount is less than 500 shares. |
% of Shares Outstanding | Number of Accounts* | ||
Duff & Phelps Real Estate Securities Series | 74% | 2 | |
KAR Capital Growth Series | 100 | 2 | |
KAR Equity Income Series | 99 | 2 | |
KAR Small-Cap Growth Series | 91 | 2 | |
KAR Small-Cap Value Series | 100 | 2 | |
Newfleet Multi-Sector Intermediate Bond Series | 98 | 4 | |
SGA International Growth Series | 98 | 2 | |
Strategic Allocation Series | 100 | 2 |
* | None of the accounts are affiliated. |
Series | Sector | Percentage of Total Investments | ||
KAR Capital Growth Series | Information Technology | 36 % | ||
KAR Small-Cap Growth Series | Information Technology | 34 | ||
KAR Small-Cap Value Series | Industrials | 37 |
Series | Investment | Date of Acquisition | Cost | Value | Percentage of Net Assets | |||||
KAR Capital Growth Series | Duck Creek Technologies, Inc. | 6/5/20 | $2,427 | $6,647 | 2.1% | |||||
KAR Small-Cap Growth Series | Duck Creek Technologies, Inc. | 6/5/20 | 2,629 | 7,139 | 5.2 | |||||
Strategic Allocation Series | Duck Creek Technologies, Inc. | 6/5/20 | 461 | 1,262 | 1.2 |
Series | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Duff & Phelps Real Estate Securities Series | $ 58,250 | $ 19,556 | $ (2,270) | $ 17,286 | ||||
KAR Capital Growth Series | 93,836 | 220,481 | (880) | 219,601 | ||||
KAR Equity Income Series | 90,189 | 8,897 | (1,410) | 7,487 | ||||
KAR Small-Cap Growth Series | 56,144 | 78,115 | (36) | 78,079 | ||||
KAR Small-Cap Value Series | 45,872 | 40,515 | (179) | 40,336 | ||||
Newfleet Multi-Sector Intermediate Bond Series | 114,416 | 5,698 | (2,310) | 3,388 | ||||
SGA International Growth Series | 129,267 | 37,548 | (2,178) | 35,370 | ||||
Strategic Allocation Series | 61,283 | 44,770 | (829) | 43,941 |
Short-Term | Long-Term | |||
Newfleet Multi-Sector Intermediate Bond Series | $— | $3,619 |
Series | |
KAR Equity Income Series | $ 6,272 |
Newfleet Multi-Sector Intermediate Bond Series | 1,108 |
SGA International Growth Series | 3,079 |
Series | Late Year Ordinary Losses Deferred | Late Year Ordinary Losses Recognized | Capital Loss Recognized | |||
Duff & Phelps Real Estate Securities Series | $ — | $ — | $ (34) | |||
KAR Capital Growth Series | — (1) | — | — | |||
SGA International Growth Series | — | (2) | — |
(1) | Amount is less than $500. |
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | ||
Duff & Phelps Real Estate Securities Series | $141 | $ 325 | |
KAR Capital Growth Series | — | 8,534 | |
KAR Equity Income Series | 78 | 1,577 | |
KAR Small-Cap Growth Series | — | 4,342 | |
KAR Small-Cap Value Series | 116 | 2,285 | |
Newfleet Multi-Sector Intermediate Bond Series | 148 | — | |
SGA International Growth Series | 814 | 1,809 | |
Strategic Allocation Series | 573 | 2,252 |
Ordinary Income | Long-Term Capital Gains | Total | |||
Duff & Phelps Real Estate Securities Series | |||||
12/31/20 | $ 828 | $ 1,373 | $ 2,201 | ||
12/31/19 | 1,576 | 7,328 | 8,904 | ||
KAR Capital Growth Series | |||||
12/31/20 | — | 16,871 | 16,871 | ||
12/31/19 | — | 8,813 | 8,813 | ||
KAR Equity Income Series | |||||
12/31/20 | 1,513 | 22,000 | 23,513 | ||
12/31/19 | 1,109 | — | 1,109 | ||
KAR Small-Cap Growth Series | |||||
12/31/20 | — | 15,617 | 15,617 | ||
12/31/19 | 407 | 14,295 | 14,702 | ||
KAR Small-Cap Value Series | |||||
12/31/20 | 900 | 5,407 | 6,307 | ||
12/31/19 | 716 | 1,078 | 1,794 | ||
Newfleet Multi-Sector Intermediate Bond Series | |||||
12/31/20 | 3,773 | — | 3,773 | ||
12/31/19 | 4,310 | — | 4,310 | ||
SGA International Growth Series | |||||
12/31/20 | — | 2,100 | 2,100 | ||
12/31/19 | 1,217 | — | 1,217 | ||
Strategic Allocation Series | |||||
12/31/20 | 1,252 | 2,385 | 3,637 | ||
12/31/19 | 1,065 | 1,137 | 2,202 |
Capital Paid in on Shares of Beneficial Interest | Total Distributable Earnings (Accumulated Losses) | ||
Duff & Phelps Real Estate Securities Series | $ — (1) | $ —(1) | |
KAR Capital Growth Series | (1,234) | 1,234 | |
KAR Equity Income Series | (208) | 208 | |
KAR Small-Cap Growth Series | (696) | 696 | |
KAR Small-Cap Value Series | — (1) | — (1) | |
Newfleet Multi-Sector Intermediate Bond Series | — (1) | — (1) | |
SGA International Growth Series | — (1) | — (1) |
(1) | Amount is less than $500. |
Philadelphia, Pennsylvania
DRD | LTCG | ||
Duff & Phelps Real Estate Securities Series | — % | $ 826 | |
KAR Capital Growth Series | — | 23,534 | |
KAR Equity Income Series | 100.00 | 23,577 | |
KAR Small-Cap Growth Series | — | 19,983 | |
KAR Small-Cap Value Series | 100.00 | 6,672 | |
SGA International Growth Series | — | 3,909 | |
Strategic Allocation Series | 16.34 | 4,252 |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
Burke, Donald C. YOB: 1960 Served Since: 2016 97 Portfolios | Retired. | Trustee (since 2021), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (12 portfolios); Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2014), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director, Avista Corp. (energy company) (since 2011); Trustee, Goldman Sachs Fund Complex (2010 to 2014); and Director, BlackRock Luxembourg and Cayman Funds (2006 to 2010). |
Harris, Sidney E. YOB: 1949 Served Since: 2017 93 Portfolios | Professor and Dean Emeritus (since April 2015), Professor (1997 to 2014), Dean (1997 to 2004), J. Mack Robinson College of Business, Georgia State University. | Trustee (since 2021), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (12 portfolios); Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2019), Mutual Fund Directors Forum; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Trustee (2013 to 2020) and Honorary Trustee (since 2020), KIPP Metro Atlanta; Director (1999 to 2019) Total System Services, Inc.; Trustee (2004 to 2017), RidgeWorth Funds; Trustee (since 2012), International University of the Grand Bassam Foundation; and Trustee (2011 to 2015), Genspring Family Offices, LLC. |
Mallin, John R. YOB: 1950 Served Since: 1999 93 Portfolios | Partner/Attorney (since 2003), McCarter & English LLP (law firm), Real Property Practice Group; Member (since 2014), Counselors of Real Estate. | Trustee (since 2021), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (12 portfolios); Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Mutual Fund Family (54 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2019), 1892 Club, Inc. (non-profit); Director (2013 to 2020), Horizons, Inc. (non-profit); and Trustee (since 1999), Virtus Variable Insurance Trust (8 portfolios). |
McDaniel, Connie D. YOB: 1958 Served Since: 2017 93 Portfolios | Retired (since 2013). Vice President, Chief of Internal Audit, Corporate Audit Department (2009 to 2013), Vice President Global Finance Transformation (2007 to 2009), Vice President and Controller (1999 to 2007), The Coca-Cola Company. | Trustee (since 2021), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (12 portfolios); Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Director (since 2019), Global Payments Inc.; Trustee (since 2017), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Alternative Solutions Trust (3 portfolios); Director (since 2021), North Florida Land Trust; Member (since 2011) and Chair (2014 to 2016), Georgia State University, Robinson College of Business Board of Advisors; Director (2014 to 2019), Total System Services, Inc.; and Trustee (2005 to 2017), RidgeWorth Funds. |
McLoughlin, Philip YOB: 1946 Served Since: 2003 103 Portfolios | Retired. | Trustee (since 2021), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (12 portfolios); Trustee (since 2021), Virtus AllianzGI AI & Tech Opportunities Fund, Virtus AllianzGI Convertible & Income Fund II, Virtus AllianzGI Diversified Income & Convertible, Virtus AllianzGI Equity & Convertible Income Fund and Virtus Dividend, Interest & Premium Strategy Fund; Advisory Board Member (since 2021), Virtus AllianzGI Convertible & Income 2024 Target Term Fund and Virtus AllianzGI Convertible & Income Fund; Director and Chairman (since 2016), Virtus Total Return Fund Inc.; Director and Chairman (2016 to 2019), the former Virtus Total Return Fund Inc.; Director and Chairman (since 2014) Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and Chairman (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee and Chairman (since 2011), Virtus Global Multi-Sector Income Fund; Chairman and Trustee (since 2003), Virtus Variable Insurance Trust (8 portfolios); Director (since 1995), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); Director (1991 to 2019) and Chairman ( 2010 to 2019), Lazard World Trust Fund (closed-end investment firm in Luxembourg); and Trustee (since 1989) and Chairman (since 2002), Virtus Mutual Fund Family (54 portfolios). |
Name, Year of Birth, Length of Time Served and Number of Portfolios in Fund Complex Overseen by Trustee | Principal Occupation(s) During Past 5 Years | Other Directorships Held by Trustee During Past 5 Years |
McNamara, Geraldine M. YOB: 1951 Served Since: 2015 97 Portfolios | Retired. | Trustee (since 2021), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (12 portfolios); Director (since 2020), Duff & Phelps Select MLP and Midstream Energy Fund Inc. and Virtus Total Return Fund Inc.; Trustee (since 2020), Virtus Global Multi-Sector Income Fund; Trustee (since 2016), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2015), Virtus Variable Insurance Trust (8 portfolios); Director (since 2003), closed-end funds managed by Duff & Phelps Investment Management Co. (4 funds); and Trustee (since 2001), Virtus Mutual Fund Family (54 portfolios). |
Oates, James M. YOB: 1946 Served Since: 2016 93 Portfolios | Managing Director (since 1994), Wydown Group (consulting firm). | Trustee (since 2021), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (12 portfolios); Director (since 2016), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2016), Virtus Variable Insurance Trust (8 portfolios); Director (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Trustee (since 2013), Virtus Global Multi-Sector Income Fund; Trustee (since 2005) and Chairman (2005 to 2017), John Hancock Fund Complex (227 portfolios); Director (2002 to 2014), New Hampshire Trust Company; Chairman (2000 to 2016), Emerson Investment Management, Inc.; Non-Executive Chairman (2000 to 2014), Hudson Castle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financial services); Chairman and Director (1999 to 2014), Connecticut River Bank; Director (since 1996), Stifel Financial; and Trustee (since 1987), Virtus Mutual Fund Family (54 portfolios). |
Walton, R. Keith YOB: 1964 Served Since: 2020 93 Portfolios | Managing Director (since 2020), Lafayette Square Holding Company LLC; Venture and Operating Partner (since 2020), Plexo Capital, LLC; Venture Partner (since 2019) and Senior Adviser (2018 to 2019), Plexo, LLC; Senior Adviser (2018 to 2019), Vatic Labs, LLC; Executive Vice President, Strategy (2017 to 2019), Zero Mass Water, LLC; Vice President, Strategy (2013 to 2017), Arizona State University; Partner (since 2006), Global Infrastructure Partners | Trustee (since 2021), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (12 portfolios); Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2017), certain funds advised by Bessemer Investment Management LLC; Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (2006 to 2019), Systematica Investments Limited Funds; Director (2006 to 2017), BlueCrest Capital Management Funds; Trustee (2014 to 2017), AZ Service; Director (since 2004), Virtus Total Return Fund Inc.; and Director (2004 to 2019), the former Virtus Total Return Fund Inc. |
Zino, Brian T. YOB: 1952 Served Since: 2020 93 Portfolios | Retired. Various roles (1982 to 2008), J. & W. Seligman & Co. Incorporated, including President (1994 to 2008). | Trustee (since 2021), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (12 portfolios); Advisory Board Member (since 2021), Virtus AllianzGI AI & Tech Opportunities Fund, Virtus AllianzGI Convertible & Income Fund, Virtus AllianzGI Convertible & Income Fund II, Virtus AllianzGI Convertible & Income 2024 Target Term Fund, Virtus AllianzGI Diversified Income & Convertible, Virtus AllianzGI Equity & Convertible Income Fund and Virtus Dividend, Interest & Premium Strategy Fund; Trustee (since 2020) Virtus Alternative Solutions Trust (3 portfolios), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Director (since 2016), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee (since 2016), Virtus Global Multi-Sector Income Fund; Director (since 2014), Virtus Total Return Fund Inc.; Director (2014 to 2019), the former Virtus Total Return Fund Inc.; Trustee (since 2011), Bentley University; Director (1986 to 2008) and President (1994 to 2008), J&W Seligman Co. Inc.; Director (1998 to 2009), Chairman (2002 to 2004) and Vice Chairman (2000 to 2002), ICI Mutual Insurance Company; Member, Board of Governors of ICI (1998 to 2008). |
Name, Year of Birth, Length of Time Served and Number of Funds Overseen | Principal Occupation(s) During Past 5 Years | Principal Occupation(s) During Past 5 Years and Other Directorships Held by Trustee |
Aylward, George R.* Trustee and President YOB: 1964 Served Since: 2012 102 Portfolios | Director, President and Chief Executive Officer (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries, and various senior officer positions with Virtus affiliates (since 2005). | Trustee and President (since 2021), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (12 portfolios); Trustee, President and Chief Executive Officer (since 2021), Virtus AllianzGI AI & Tech Opportunities Fund, Virtus AllianzGI Convertible & Income 2024 Target Term Fund, Virtus AllianzGI Convertible & Income Fund, Virtus AllianzGI Convertible & Income Fund II, Virtus AllianzGI Diversified Income & Convertible, Virtus AllianzGI Equity & Convertible Income Fund and Virtus Dividend, Interest & Premium Strategy Fund; Chairman and Trustee (since 2015), Virtus ETF Trust II (3 portfolios); Director, President and Chief Executive Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Trustee and President (since 2013), Virtus Alternative Solutions Trust (3 portfolios); Director (since 2013), Virtus Global Funds, PLC (5 portfolios); Trustee (since 2012) and President (since 2010), Virtus Variable Insurance Trust (8 portfolios); Trustee, President and Chief Executive Officer (since 2011), Virtus Global Multi-Sector Income Fund; Trustee and President (since 2006) and Executive Vice President (2004 to 2006), Virtus Mutual Fund Family (54 portfolios); Director, President and Chief Executive Officer (since 2006), Virtus Total Return Fund Inc.; and Director, President and Chief Executive Officer (2006 to 2019), the former Virtus Total Return Fund Inc. |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Directorships Held During Past 5 Years |
Cogan, Sarah E. YOB: 1956 Served Since: 2021 93 Portfolios | Retired Partner, Simpson Thacher & Bartlett LLP (“STB”) (law firm) (since 2018); Director, Girl Scouts of Greater New York (since 2016); Trustee, Natural Resources Defense Council, Inc. (since 2013); and formerly, Partner, STB (1989 to 2018). | Advisory Board Member (since 2021), Virtus Alternative Solutions Trust (3 portfolios), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2019), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (12 portfolios); Trustee (since 2019), PIMCO California Municipal Income Fund, PIMCO California Municipal Income Fund II, PIMCO California Municipal Income Fund III, PIMCO Municipal Income Fund, PIMCO Municipal Income Fund II, PIMCO Municipal Income Fund III, PIMCO New York Municipal Income Fund, PIMCO New York Municipal Income Fund II, PIMCO New York Municipal Income Fund III, PIMCO Energy and Tactical Credit Opportunities Fund, PCM Fund, Inc, PIMCO Corporate & Income Strategy Fund, PIMCO Corporate & Income Opportunity Fund, PIMCO Dynamic Credit and Mortgage Income Fund, PIMCO Dynamic Income Fund, PIMCO Global StocksPLUS® & Income Fund, PIMCO High Income Fund, PIMCO Income Opportunity Fund, PIMCO Income Strategy Fund, PIMCO Income Strategy Fund II, PIMCO Strategic Income Fund, Inc., PIMCO Flexible Credit Income Fund and PIMCO Flexible Municipal Income Fund; and Trustee (since 2019), PIMCO Managed Accounts Trust (5 portfolios). |
Name, Year of Birth, Length of Time Served, and Number of Portfolios in Fund Complex Overseen | Principal Occupation(s) During Past 5 Years | Other Directorships Held During Past 5 Years |
DeCotis, Deborah A. YOB: 1952 Served Since: 2021 93 Portfolios | Advisory Director, Morgan Stanley & Co., Inc. (since 1996); Member, Circle Financial Group (since 2009); Member, Council on Foreign Relations (since 2013); Trustee, Smith College (since 2017); and Director, Watford Re (since 2017). Formerly, Co-Chair Special Projects Committee, Memorial Sloan Kettering (2005 to 2015); Trustee, Stanford University (2010 to 2015); and Principal, LaLoop LLC, a retail accessories company (1999 to 2014). | Advisory Board Member (since 2021), Virtus Alternative Solutions Trust (3 portfolios), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2014), Virtus Investment Trust (13 portfolios); Trustee (since 2011), Virtus Strategy Trust (12 portfolios); Trustee (since 2011), PIMCO California Municipal Income Fund II, PIMCO California Municipal Income Fund III, PIMCO Municipal Income Fund, PIMCO Municipal Income Fund II, PIMCO Municipal Income Fund III, PIMCO New York Municipal Income Fund, PIMCO New York Municipal Income Fund II, PIMCO New York Municipal Income Fund III, PCM Fund, Inc., PIMCO Corporate & Income Strategy Fund, PIMCO Corporate & Income Opportunity Fund, PIMCO Global StocksPLUS® & Income Fund, PIMCO High Income Fund, PIMCO Income Opportunity Fund, PIMCO Income Strategy Fund, PIMCO Income Strategy Fund II, PIMCO Strategic Income Fund, Inc. and PIMCO Managed Accounts Trust (5 portfolios); Trustee (since 2019), PIMCO Energy and Tactical Credit Opportunities Fund; Trustee (since 2013), PIMCO Dynamic Credit and Mortgage Income Fund; Trustee (since 2012), PIMCO Dynamic Income Fund; Trustee (since 2020), PIMCO Dynamic Income Opportunities Fund; Trustee (since 2017), PIMCO Flexible Credit Income Fund; and Trustee (since 2018), PIMCO Flexible Municipal Income Fund. |
Drummond, F. Ford YOB: 1962 Served Since: 2021 93 Portfolios | Owner/Operator (since 1998), Drummond Ranch; formerly Board Member (2006 to 2020) and Chairman (2016 to 2018), Oklahoma Water Resources Board;, Director (1998 to 2008), The Cleveland Bank; and General Counsel (1998 to 2008), BMIHealth Plans (benefits administration). | Advisory Board Member (since 2021), Virtus Alternative Solutions Trust (3 portfolios), Virtus Mutual Fund Family (54 portfolios), Virtus Variable Insurance Trust (8 portfolios), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Trustee (since 2006), Virtus Investment Trust (13 portfolios); Trustee (since 2014), Virtus Strategy Trust (12 portfolios); and Director (since 2011), Bancfirst Corporation. |
Moyer, William R. YOB: 1944 Served Since: 2020 93 Portfolios | Private investor (since 2004); Financial and Operations Principal (2006 to 2017), Newcastle Distributors LLC (broker dealer). | Advisory Board Member (since 2021), Virtus Investment Trust (13 portfolios) and Virtus Strategy Trust (12 portfolios); Advisory Board Member (since 2020), Virtus Variable Insurance Trust (8 portfolios) and Virtus Mutual Fund Family (54 portfolios); Advisory Board Member (since 2020) and Director (2016 to 2019), Virtus Total Return Fund Inc.; Director (2016 to 2019), the former Virtus Total Return Fund Inc.; Advisory Board Member (since 2020) and Director (2014 to 2019), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Advisory Board Member (since 2020) and Trustee (2011 to 2019), Virtus Global Multi-Sector Income Fund; Advisory Board Member (since 2020) and Trustee (2013 to 2016), Virtus Alternative Solutions Trust (3 portfolios). |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Batchelar, Peter J. YOB: 1970 | Senior Vice President (since 2017), and Vice President (2008 to 2016). | Senior Vice President, Product Development (since 2017), Vice President, Product Development (2008 to 2016), and various officer positions (since 2008), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2021), Virtus Investment Trust and Virtus Strategy Trust; Senior Vice President (since 2021), AllianzGI Closed-End Funds; Senior Vice President (since 2017) and Vice President (2008 to 2016), Virtus Mutual Fund Family; Senior Vice President (since 2017) and Vice President (2010 to 2016), Virtus Variable Insurance Trust; Senior Vice President (since 2017) and Vice President (2013 to 2016), Virtus Alternative Solutions Trust; Senior Vice President (since 2017) and Vice President (2016 to 2017), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; and Senior Vice President (2017 to 2019) and Vice President (2016 to 2017), the former Virtus Total Return Fund Inc. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Bradley, W. Patrick YOB: 1972 | Executive Vice President (since 2016); Senior Vice President (2013 to 2016); Vice President (2011 to 2013); Chief Financial Officer and Treasurer (since 2004). | Executive Vice President, Fund Services (since 2016), Senior Vice President, Fund Services (2010 to 2016), and various officer positons (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Executive Vice President, Chief Financial Officer and Treasurer (since 2021), Virtus Investment Trust and Virtus Strategy Trust; Executive Vice President, Chief Financial Officer and Treasurer (since 2021), AllianzGI Closed-End Funds; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2004), Virtus Variable Insurance Trust; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2006), Virtus Mutual Fund Family; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2012 to 2013) and Chief Financial Officer and Treasurer (since 2010), Virtus Total Return Fund Inc.; Executive Vice President (2016 to 2019), Senior Vice President (2013 to 2016), Vice President (2012 to 2013), Chief Financial Officer and Treasurer (since 2010), the former Virtus Total Return Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), Vice President (2011 to 2013), Chief Financial Officer and Treasurer (since 2011), Virtus Global Multi-Sector Income Fund; Executive Vice President (since 2016), Senior Vice President (2014 to 2016), Chief Financial Officer and Treasurer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Executive Vice President (since 2016), Senior Vice President (2013 to 2016), and Chief Financial Officer and Treasurer (since 2013), Virtus Alternative Solutions Trust; Director (since 2013), Virtus Global Funds, PLC; and Vice President and Assistant Treasurer (since 2011), Duff & Phelps Utility and Infrastructure Fund Inc. |
Carr, Kevin J. YOB: 1954 | Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013). | Vice President and Senior Counsel (2017 to Present), Senior Vice President (2009 to 2017), Vice President, Counsel and Secretary (2008 to 2009), and various officer positions (since 2005), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President and Assistant Secretary (since 2021), Virtus Investment Trust and Virtus Strategy Trust; Assistant Secretary, (since 2021), AllianzGI Closed-End Funds; Senior Vice President (since 2013), Vice President (2005 to 2013), Chief Legal Officer, Counsel and Secretary (since 2005), Virtus Mutual Fund Family; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013), and Assistant Secretary (2013 to 2014 and since 2017), Virtus Total Return Fund Inc.; Senior Vice President (2013 to 2014), Vice President (2012 to 2013), Secretary and Chief Legal Officer (2005 to 2013) and Assistant Secretary (2013 to 2014 and 2017 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Assistant Secretary (since 2013), Vice President, Chief Legal Officer, Counsel and Secretary (2010 to 2013), Virtus Variable Insurance Trust; Senior Vice President (2013 to 2014), Vice President (2011 to 2013), and Assistant Secretary (since 2011), Virtus Global Multi-Sector Income Fund; Assistant Secretary (since 2015), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Senior Vice President (since 2017) and Assistant Secretary (since 2013), Virtus Alternative Solutions Trust; Secretary (since 2015), ETFis Series Trust I; and Secretary (since 2015), Virtus ETF Trust II. |
Name, Address and Year of Birth | Position(s) Held with Trust and Length of Time Served | Principal Occupation(s) During Past 5 Years |
Engberg, Nancy J. YOB: 1956 | Senior Vice President (since 2017); Vice President (2011 to 2017); and Chief Compliance Officer (since 2011). | Senior Vice President (since 2017), Vice President (2008 to 2017) and Chief Compliance Officer (2008 to 2011 and since 2016), and various officer positions (since 2003), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President and Chief Compliance Officer (since 2021), Virtus Investment Trust and Virtus Strategy Trust; Senior Vice President and Chief Compliance Officer, (since 2021), AllianzGI Closed-End Funds; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Mutual Fund Family; Senior Vice President (since 2017), Vice President (2010 to 2017) and Chief Compliance Officer (since 2011), Virtus Variable Insurance Trust; Senior Vice President (since 2017), Vice President (2011 to 2017) and Chief Compliance Officer (since 2011), Virtus Global Multi-Sector Income Fund; Senior Vice President (since 2017), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), Virtus Total Return Fund Inc.; Senior Vice President (2017 to 2019), Vice President (2012 to 2017) and Chief Compliance Officer (since 2012), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Vice President (2013 to 2016) and Chief Compliance Officer (since 2013), Virtus Alternative Solutions Trust; Senior Vice President (since 2017), Vice President (2014 to 2017) and Chief Compliance Officer (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Chief Compliance Officer (since 2015), ETFis Series Trust I; and Chief Compliance Officer (since 2015), Virtus ETF Trust II. |
Fromm, Jennifer YOB: 1973 | Vice President, Chief Legal Officer, Counsel and Secretary (since 2013). | Vice President (since 2016) and Senior Counsel (since 2007), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Vice President, Chief Legal Officer, Counsel and Secretary (since 2021), Virtus Investment Trust and Virtus Strategy Trust; Vice President and Assistant Secretary (since 2021), AllianzGI Closed-End Funds; Vice President and Secretary (since 2020), DNP Select Income Fund Inc., Duff & Phelps Utility and Infrastructure Fund Inc., and DTF Tax-Free Income Inc.; Assistant Secretary (since 2020), Duff & Phelps Utility and Corporate Bond Trust Inc.; Vice President, Chief Legal Officer and Secretary (since 2019), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Total Return Fund Inc. and Virtus Global Multi-Sector Income Fund; Vice President (since 2017) and Assistant Secretary (since 2008), Virtus Mutual Funds Family; Vice President, Chief Legal Officer, Counsel and Secretary (since 2013), Virtus Variable Insurance Trust; and Vice President, Chief Legal Officer, and Secretary (since 2013), Virtus Alternative Solutions Trust. |
Short, Julia R. YOB: 1972 | Senior Vice President (since 2017). | Senior Vice President, Product Development (since 2017), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Senior Vice President (since 2021), Virtus Investment Trust and Virtus Strategy Trust; Senior Vice President (since 2021), AllianzGI Closed-End Funds; Senior Vice President (since 2018), Duff & Phelps Select MLP and Midstream Energy Fund Inc., Virtus Global Multi-Sector Income Fund and Virtus Total Return Fund Inc.; Senior Vice President (2018 to 2019), the former Virtus Total Return Fund Inc.; Senior Vice President (since 2017), Virtus Mutual Fund Family; President and Chief Executive Officer, RidgeWorth Funds (2007 to 2017); and Managing Director, Product Manager, RidgeWorth Investments (2004 to 2017). |
Waltman, Francis G. YOB: 1962 | Executive Vice President (since 2013); Senior Vice President (2010 to 2013). | Executive Vice President, Product Management (since 2009), and various senior officer positions (since 2006), Virtus Investment Partners, Inc. and/or certain of its subsidiaries; Executive Vice President (since 2021), Virtus Investment Trust and Virtus Strategy Trust; Executive Vice President (since 2021), AllianzGI Closed-End Funds; Director (since 2019), Virtus Global Funds ICAV; Executive Vice President (since 2017), Virtus Total Return Fund Inc.; Executive Vice President (2017 to 2019), the former Virtus Total Return Fund Inc.; Executive Vice President (since 2014), Duff & Phelps Select MLP and Midstream Energy Fund Inc.; Executive Vice President (since 2013), Senior Vice President (2008 to 2013), Virtus Mutual Fund Family; Executive Vice President (since 2013), Senior Vice President (2010 to 2013), Virtus Variable Insurance Trust; Executive Vice President (since 2013), Senior Vice President (2011 to 2013), Virtus Global Multi-Sector Income Fund; Director (since 2013), Virtus Global Funds PLC; and Executive Vice President (since 2013), Virtus Alternative Solutions Trust. |
and Statutory Prospectus, each dated April 30, 2020
Annual Series Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) | Class A | Class I |
Management Fees | 0.75% | 0.75% |
Distribution and Shareholder Servicing (12b-1) Fees | 0.25% | None |
Other Expenses | 0.20% | 0.20% |
Total Annual Series Operating Expenses | 1.20% | 0.95% |
Less: Expense Reimbursement(a) | (0.10%) | (0.10%) |
Total Annual Series Operating Expenses After Expense Reimbursement(a) | 1.10% | 0.85% |
1 Year | 3 Years | 5 Years | 10 Years | |
Class A | $112 | $371 | $650 | $1,446 |
Class I | $87 | $293 | $516 | $1,157 |
a series of Virtus Variable Insurance Trust
(Unaudited)
and Statutory Prospectus, each dated April 30, 2020
Annual Series Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) | Class A | Class I |
Management Fees | 0.75% | 0.75% |
Distribution and Shareholder Servicing (12b-1) Fees | 0.25% | None |
Other Expenses | 0.18% | 0.18% |
Total Annual Series Operating Expenses | 1.18% | 0.93% |
Less: Expense Reimbursement(a) | (0.04%) | (0.04%) |
Total Annual Series Operating Expenses After Expense Reimbursement(a) | 1.14% | 0.89% |
1 Year | 3 Years | 5 Years | 10 Years | |
Class A | $116 | $371 | $645 | $1,428 |
Class I | $91 | $292 | $511 | $1,139 |
and the Statutory Prospectus, each dated August 31, 2020
The Series may invest in American Depositary Receipts (ADRs) sponsored by U.S. banks, European Depositary Receipts (EDRs), Global Depositary Receipts (GDRs), ADRs not sponsored by U.S. banks, other types of depositary receipts (including non-voting depositary receipts) and other similar instruments representing securities of foreign companies.
Prospectuses for future reference.
Accounting Firm
Mutual Fund Services | 1-800-367-5877 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-367-5877.
please contact us at 1-800-367-5877, or Virtus.com.
8510 | 02-21 |
Item 2. | Code of Ethics. |
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | Other than certain non-substantive changes, there have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics described in Item 2(b) of the instructions for completion of Form N-CSR. |
(d) | The registrant has not granted any waivers, during the period covered by this report, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of the instructions for completion of this Item. |
Item 3. | Audit Committee Financial Expert. |
(a)(1) | The Registrant’s Board of Trustees has determined that the Registrant has an “audit committee financial expert” serving on its Audit Committee. |
(a)(2) | As of the beginning of the period covered by the report, the Registrant’s Board of Trustees had determined that each of Thomas J. Brown, Donald C. Burke and Richard E. Segerson possessed the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert.” On January 14, 2020, the members of the audit committee changed and as a result the Registrant’s Board of Trustees reviewed the new membership to determine whether the members possess the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert” and determined that each of Thomas J. Brown, Donald C. Burke, Connie D. McDaniel and Brian T. Zino possesses such attributes. Each of Messrs. Brown, Burke, Segerson and Zino, and Ms. McDaniel, was an “independent” trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR as of the end of the period covered by the report. Messrs. Brown and Segerson have since retired from the Board, so as of the date of this filing Messrs. Burke and Zino, and Ms. McDaniel, are those members of the audit committee who have been determined to qualify as audit committee financial experts. |
(a)(3) | Not applicable. |
Item 4. | Principal Accountant Fees and Services. |
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $130,067 for 2020 and $138,632 for 2019. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $11,424 for 2020 and $10,717 for 2019. Such audit-related fees include out of pocket expenses and system conversion fees. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $46,385 for 2020 and $27,375 for 2019. |
“Tax Fees” are those primarily associated with review of the Trust’s tax provision and qualification as a regulated investment company (RIC) in connection with audits of the Trust’s financial statement, review of year-end distributions by the Fund to avoid excise tax for the Trust, periodic discussion with management on tax issues affecting the Trust, and reviewing and signing the Fund’s federal income tax returns.
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2020 and $0 for 2019. |
(e)(1) | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The Virtus Variable Insurance Trust (the “Fund”) Board has adopted policies and procedures with regard to the pre-approval of services provided by PwC. Audit, audit-related and tax compliance services provided to the Fund on an annual basis require specific pre-approval by the Audit Committee. The Audit Committee must also approve other non-audit services provided to the Fund and those non-audit services provided to the Fund’s Affiliated Service Providers that relate directly to the operations and financial reporting of the Fund. Certain of these non-audit services that the Audit Committee believes are a) consistent with the SEC’s auditor independence rules and b) routine and recurring services that will not impair the independence of the independent auditors may be approved by the Audit Committee without consideration on a specific case-by-case basis (“general pre-approval”).
The Audit Committee has determined that the Chair of the Audit Committee may provide pre-approval for such services that meet the above requirements in the event such approval is sought between regularly scheduled meetings. In any event, the Audit Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person Audit Committee meeting.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) 0%
(c) 0%
(d) N/A
(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was less than fifty percent. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $57,809 for 2020 and $38,092 for 2019. |
(h) | The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
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 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. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Virtus Variable Insurance Trust |
By (Signature and Title)* /s/ George R. Aylward |
George R. Aylward, President |
(principal executive officer) |
Date 3/9/2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ George R. Aylward |
George R. Aylward, President |
(principal executive officer) |
Date 3/9/2021 |
By (Signature and Title)* /s/ W. Patrick Bradley |
W. Patrick Bradley, Executive Vice President, |
Chief Financial Officer and Treasurer |
(principal financial officer) |
Date 3/9/2021 |
* | Print the name and title of each signing officer under his or her signature. |