UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-04642
Virtus Variable Insurance Trust
(Exact name of registrant as specified in charter)
One Financial Plaza
Hartford, CT 06103-2608
(Address of principal executive offices) (Zip code)
Jennifer S. Fromm, Esq.
Vice President, Chief Legal Officer, Counsel and Secretary for Registrant
One Financial Plaza
Hartford, CT 06103-2608
(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 367-5877
Date of fiscal year end: December 31
Date of reporting period: June 30, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
(b) | Not applicable. |
Virtus Duff & Phelps Real Estate Securities Series |
Virtus KAR Capital Growth Series |
Virtus KAR Equity Income Series |
Virtus KAR Small-Cap Growth Series |
Virtus KAR Small-Cap Value Series |
Virtus Newfleet Multi-Sector Intermediate Bond Series* |
Virtus SGA International Growth Series* |
Virtus Strategic Allocation Series* |
1 | ||
2 | ||
4 | ||
6 | ||
Series | Schedule of Investments | |
7 | ||
9 | ||
11 | ||
13 | ||
15 | ||
16 | ||
29 | ||
31 | ||
40 | ||
42 | ||
44 | ||
48 | ||
51 | ||
62 | ||
63 |
President, Virtus Variable Insurance Trust
August 2022
Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | $ 1,000.00 | $ 778.90 | 1.10 % | $ 4.85 | ||||
Class I | 1,000.00 | 779.60 | 0.85 | 3.75 | ||||
KAR Capital Growth Series | ||||||||
Class A | 1,000.00 | 615.70 | 1.03 | 4.13 | ||||
KAR Equity Income Series | ||||||||
Class A | 1,000.00 | 957.90 | 0.98 | 4.76 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 1,000.00 | 731.60 | 1.14 | 4.89 | ||||
Class I | 1,000.00 | 732.50 | 0.89 | 3.82 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 1,000.00 | 750.40 | 1.10 | 4.77 | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | 1,000.00 | 902.90 | 0.92 | 4.34 | ||||
Class I | 1,000.00 | 902.80 | 0.68 | 3.21 | ||||
SGA International Growth Series | ||||||||
Class A | 1,000.00 | 778.20 | 1.14 | 5.03 | ||||
Class I | 1,000.00 | 779.00 | 0.89 | 3.93 | ||||
Strategic Allocation Series | ||||||||
Class A | 1,000.00 | 684.40 | 0.98 | 4.09 |
* | Expenses are equal to the relevant Series’ annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (181) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
Beginning Account Value January 1, 2022 | Ending Account Value June 30, 2022 | Annualized Expense Ratio | Expenses Paid During Period* | |||||
Duff & Phelps Real Estate Securities Series | ||||||||
Class A | $ 1,000.00 | $ 1,019.34 | 1.10 % | $ 5.51 | ||||
Class I | 1,000.00 | 1,020.58 | 0.85 | 4.26 | ||||
KAR Capital Growth Series | ||||||||
Class A | 1,000.00 | 1,019.69 | 1.03 | 5.16 | ||||
KAR Equity Income Series | ||||||||
Class A | 1,000.00 | 1,019.93 | 0.98 | 4.91 | ||||
KAR Small-Cap Growth Series | ||||||||
Class A | 1,000.00 | 1,019.14 | 1.14 | 5.71 | ||||
Class I | 1,000.00 | 1,020.38 | 0.89 | 4.46 | ||||
KAR Small-Cap Value Series | ||||||||
Class A | 1,000.00 | 1,019.34 | 1.10 | 5.51 | ||||
Newfleet Multi-Sector Intermediate Bond Series | ||||||||
Class A | 1,000.00 | 1,020.23 | 0.92 | 4.61 | ||||
Class I | 1,000.00 | 1,021.42 | 0.68 | 3.41 | ||||
SGA International Growth Series | ||||||||
Class A | 1,000.00 | 1,019.14 | 1.14 | 5.71 | ||||
Class I | 1,000.00 | 1,020.38 | 0.89 | 4.46 | ||||
Strategic Allocation Series | ||||||||
Class A | 1,000.00 | 1,019.93 | 0.98 | 4.91 |
* | Expenses are equal to the relevant Series’ annualized expense ratio, which is net of waived fees and reimbursed expenses, if applicable, multiplied by the average account value over the period, multiplied by the number of days (181) expenses were accrued in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. |
June 30, 2022
Residential | 28% |
Industrial/Office | 26 |
Retail | 13 |
Self Storage | 11 |
Data Centers | 8 |
Health Care | 7 |
Lodging/Resorts | 5 |
Other (includes short-term investment) | 2 |
Total | 100% |
Information Technology | 38% |
Consumer Discretionary | 21 |
Health Care | 9 |
Consumer Staples | 9 |
Financials | 8 |
Industrials | 7 |
Energy | 3 |
Other (includes short-term investment) | 5 |
Total | 100% |
Financials | 16% |
Consumer Staples | 16 |
Health Care | 13 |
Utilities | 11 |
Industrials | 10 |
Communication Services | 9 |
Materials | 9 |
Other (includes short-term investment and securities lending collateral) | 16 |
Total | 100% |
Financials | 27% |
Information Technology | 20 |
Communication Services | 15 |
Consumer Discretionary | 14 |
Industrials | 9 |
Consumer Staples | 6 |
Health Care | 5 |
Short-Term Investment | 4 |
Total | 100% |
Industrials | 33% |
Financials | 21 |
Consumer Discretionary | 18 |
Information Technology | 10 |
Consumer Staples | 7 |
Health Care | 5 |
Materials | 3 |
Short-Term Investment | 3 |
Total | 100% |
Corporate Bonds and Notes | 39% | |
Financials | 11% | |
Energy | 7 | |
Information Technology | 3 | |
All other Corporate Bonds and Notes | 18 | |
Mortgage-Backed Securities | 16 | |
Asset-Backed Securities | 14 | |
Leveraged Loans | 12 | |
U.S. Government Securities | 12 | |
Foreign Government Securities | 3 | |
Other (includes short-term investment and securities lending collateral) | 4 | |
Total | 100% |
Health Care | 24% |
Consumer Staples | 21 |
Financials | 17 |
Information Technology | 13 |
Consumer Discretionary | 10 |
Materials | 6 |
Industrials | 3 |
Other (includes short-term investment and securities lending collateral) | 6 |
Total | 100% |
Common Stocks | 70% | |
Information Technology | 22% | |
Consumer Discretionary | 13 | |
Industrials | 8 | |
All other Common Stocks | 27 | |
Corporate Bonds and Notes | 9 | |
Financials | 3 | |
Real Estate | 1 | |
Information Technology | 1 | |
All other Corporate Bonds and Notes | 4 | |
Mortgage-Backed Securities | 7 | |
U.S. Government Securities | 5 | |
Asset-Backed Securities | 3 | |
Short-Term Investment | 3 | |
Municipal Bonds | 2 | |
Other | 1 | |
Total | 100% |
Shares | Value | ||
Common Stocks—99.4% | |||
Real Estate Investment Trusts—99.4% | |||
Data Centers—7.6% | |||
Equinix, Inc. | 10,617 | $ 6,976 | |
Health Care—6.6% | |||
Healthpeak Properties, Inc. | 58,790 | 1,523 | |
Welltower, Inc. | 54,790 | 4,512 | |
6,035 | |||
Industrial/Office—25.7% | |||
Industrial—18.1% | |||
Duke Realty Corp. | 96,920 | 5,326 | |
Prologis, Inc. | 74,752 | 8,795 | |
Rexford Industrial Realty, Inc. | 43,125 | 2,483 | |
16,604 | |||
Office—7.6% | |||
Alexandria Real Estate Equities, Inc. | 14,443 | 2,095 | |
Boston Properties, Inc. | 11,740 | 1,044 | |
Cousins Properties, Inc. | 81,762 | 2,390 | |
Douglas Emmett, Inc. | 65,740 | 1,471 | |
7,000 | |||
Total Industrial/Office | 23,604 | ||
Lodging/Resorts—4.9% | |||
Host Hotels & Resorts, Inc. | 157,644 | 2,472 | |
RLJ Lodging Trust | 69,685 | 769 | |
Ryman Hospitality Properties, Inc.(1) | 17,152 | 1,304 | |
4,545 | |||
Residential—27.6% | |||
Apartments—16.8% | |||
Apartment Income REIT Corp. | 75,253 | 3,130 | |
AvalonBay Communities, Inc. | 22,279 | 4,328 | |
Equity Residential | 49,520 | 3,576 | |
Mid-America Apartment Communities, Inc. | 25,400 | 4,437 | |
15,471 | |||
Manufactured Homes—4.8% | |||
Sun Communities, Inc. | 27,841 | 4,437 | |
Single Family Homes—6.0% | |||
American Homes 4 Rent Class A | 95,500 | 3,384 | |
Invitation Homes, Inc. | 60,250 | 2,144 | |
5,528 | |||
Total Residential | 25,436 | ||
Retail—13.1% | |||
Free Standing—2.5% | |||
Spirit Realty Capital, Inc. | 59,404 | 2,245 |
Shares | Value | ||
Retail—continued | |||
Regional Malls—3.5% | |||
Simon Property Group, Inc. | 34,241 | $ 3,250 | |
Shopping Centers—7.1% | |||
Brixmor Property Group, Inc. | 114,392 | 2,312 | |
Kimco Realty Corp. | 105,070 | 2,077 | |
Regency Centers Corp. | 36,300 | 2,153 | |
6,542 | |||
Total Retail | 12,037 | ||
Self Storage—11.3% | |||
CubeSmart | 98,600 | 4,212 | |
Extra Space Storage, Inc. | 24,816 | 4,222 | |
Public Storage | 6,350 | 1,985 | |
10,419 | |||
Specialty—2.6% | |||
SBA Communications, Corp. Class A | 3,950 | 1,264 | |
VICI Properties, Inc. | 36,737 | 1,095 | |
2,359 | |||
Total Common Stocks (Identified Cost $69,751) | 91,411 | ||
Total Long-Term Investments—99.4% (Identified Cost $69,751) | 91,411 | ||
Short-Term Investment—0.3% | |||
Money Market Mutual Fund—0.3% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.351%)(2) | 310,421 | 310 | |
Total Short-Term Investment (Identified Cost $310) | 310 | ||
TOTAL INVESTMENTS—99.7% (Identified Cost $70,061) | $91,721 | ||
Other assets and liabilities, net—0.3% | 234 | ||
NET ASSETS—100.0% | $91,955 |
Abbreviation: | |
REIT | Real Estate Investment Trust |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at June 30, 2022 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $91,411 | $91,411 | |
Money Market Mutual Fund | 310 | 310 | |
Total Investments | $91,721 | $91,721 |
Shares | Value | ||
Common Stocks—98.9% | |||
Communication Services—2.3% | |||
Meta Platforms, Inc. Class A(1) | 15,091 | $ 2,434 | |
ZoomInfo Technologies, Inc. Class A(1) | 54,069 | 1,797 | |
4,231 | |||
Consumer Discretionary—21.2% | |||
Airbnb, Inc. Class A(1) | 34,147 | 3,042 | |
Amazon.com, Inc.(1) | 151,380 | 16,078 | |
AutoZone, Inc.(1) | 1,058 | 2,274 | |
Home Depot, Inc. (The) | 12,857 | 3,526 | |
Marriott International, Inc. Class A | 32,382 | 4,404 | |
MercadoLibre, Inc.(1) | 3,030 | 1,930 | |
NIKE, Inc. Class B | 55,701 | 5,692 | |
Ross Stores, Inc. | 36,034 | 2,531 | |
39,477 | |||
Consumer Staples—8.6% | |||
Estee Lauder Cos., Inc. (The) Class A | 16,593 | 4,226 | |
McCormick & Co., Inc. Non-voting Shares | 41,101 | 3,421 | |
Monster Beverage Corp.(1) | 43,935 | 4,073 | |
Procter & Gamble Co. (The) | 29,976 | 4,310 | |
16,030 | |||
Energy—2.6% | |||
Devon Energy Corp. | 26,608 | 1,467 | |
Hess Corp. | 16,567 | 1,755 | |
Pioneer Natural Resources Co. | 7,119 | 1,588 | |
4,810 | |||
Financials—7.7% | |||
Bank of America Corp. | 148,305 | 4,617 | |
CME Group, Inc. Class A | 17,909 | 3,666 | |
MarketAxess Holdings, Inc. | 9,805 | 2,510 | |
Progressive Corp. (The) | 29,491 | 3,429 | |
14,222 | |||
Health Care—9.3% | |||
Danaher Corp. | 24,218 | 6,140 | |
HealthEquity, Inc.(1) | 27,591 | 1,694 | |
Mettler-Toledo International, Inc.(1) | 1,639 | 1,883 | |
Zoetis, Inc. Class A | 44,259 | 7,607 | |
17,324 | |||
Industrials—6.9% | |||
CoStar Group, Inc.(1) | 69,580 | 4,203 | |
Equifax, Inc. | 17,706 | 3,236 | |
Fair Isaac Corp.(1) | 7,323 | 2,936 | |
Uber Technologies, Inc.(1) | 118,646 | 2,428 | |
12,803 | |||
Shares | Value | ||
Information Technology—37.5% | |||
Accenture plc Class A | 16,408 | $ 4,556 | |
Amphenol Corp. Class A | 101,477 | 6,533 | |
Avalara, Inc.(1) | 58,622 | 4,139 | |
Bill.com Holdings, Inc.(1) | 42,090 | 4,627 | |
Block, Inc. Class A(1) | 20,611 | 1,267 | |
DocuSign, Inc.(1) | 21,960 | 1,260 | |
Duck Creek Technologies, Inc.(1) | 151,270 | 2,246 | |
MongoDB, Inc. Class A(1) | 9,757 | 2,532 | |
NVIDIA Corp. | 56,223 | 8,523 | |
Paycom Software, Inc.(1) | 28,294 | 7,926 | |
Roper Technologies, Inc. | 11,345 | 4,477 | |
Snowflake, Inc. Class A(1) | 14,777 | 2,055 | |
Trade Desk, Inc. (The) Class A(1) | 93,980 | 3,937 | |
Visa, Inc. Class A | 59,221 | 11,660 | |
Workday, Inc. Class A(1) | 29,099 | 4,061 | |
69,799 | |||
Materials—1.4% | |||
Ecolab, Inc. | 16,795 | 2,582 | |
Real Estate—1.4% | |||
Prologis, Inc. | 22,661 | 2,666 | |
Total Common Stocks (Identified Cost $102,871) | 183,944 | ||
Total Long-Term Investments—98.9% (Identified Cost $102,871) | 183,944 | ||
Short-Term Investment—1.1% | |||
Money Market Mutual Fund—1.1% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.351%)(2) | 2,110,872 | 2,111 | |
Total Short-Term Investment (Identified Cost $2,111) | 2,111 | ||
TOTAL INVESTMENTS—100.0% (Identified Cost $104,982) | $186,055 | ||
Other assets and liabilities, net—(0.0)% | (30) | ||
NET ASSETS—100.0% | $186,025 |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at June 30, 2022 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $183,944 | $183,944 | |
Money Market Mutual Fund | 2,111 | 2,111 | |
Total Investments | $186,055 | $186,055 |
Shares | Value | ||
Common Stocks—98.5% | |||
Communication Services—9.3% | |||
Omnicom Group, Inc. | 67,287 | $ 4,280 | |
Verizon Communications, Inc. | 85,529 | 4,341 | |
8,621 | |||
Consumer Discretionary—5.5% | |||
Leggett & Platt, Inc. | 71,342 | 2,467 | |
McDonald’s Corp. | 1,930 | 477 | |
VF Corp. | 48,639 | 2,148 | |
5,092 | |||
Consumer Staples—15.7% | |||
Coca-Cola Co. (The) | 45,863 | 2,885 | |
Flowers Foods, Inc. | 52,360 | 1,378 | |
Kellogg Co. | 50,783 | 3,623 | |
Kimberly-Clark Corp. | 21,958 | 2,967 | |
PepsiCo, Inc. | 16,229 | 2,705 | |
Procter & Gamble Co. (The) | 7,031 | 1,011 | |
14,569 | |||
Energy—0.9% | |||
Chevron Corp. | 5,951 | 862 | |
Financials—15.8% | |||
Bank of Hawaii Corp. | 45,630 | 3,395 | |
PNC Financial Services Group, Inc. (The) | 17,453 | 2,754 | |
Safety Insurance Group, Inc. | 27,388 | 2,659 | |
U.S. Bancorp | 41,810 | 1,924 | |
Zurich Insurance Group AG ADR | 91,940 | 4,004 | |
14,736 | |||
Health Care—12.7% | |||
AbbVie, Inc. | 16,866 | 2,583 | |
Johnson & Johnson | 5,593 | 993 | |
Merck & Co., Inc. | 27,395 | 2,498 | |
Patterson Cos., Inc. | 77,811 | 2,358 | |
Pfizer, Inc. | 63,692 | 3,339 | |
11,771 | |||
Industrials—10.4% | |||
BAE Systems plc Sponsored ADR(1) | 85,234 | 3,460 | |
MSC Industrial Direct Co., Inc. Class A | 46,796 | 3,515 | |
Snap-on, Inc. | 4,264 | 840 | |
Watsco, Inc. | 7,934 | 1,895 | |
9,710 | |||
Information Technology—6.9% | |||
Cisco Systems, Inc. | 51,641 | 2,202 | |
International Business Machines Corp. | 29,652 | 4,186 | |
6,388 | |||
Materials—8.5% | |||
Amcor plc | 319,129 | 3,967 | |
Eastman Chemical Co. | 26,293 | 2,360 | |
Sonoco Products Co. | 28,172 | 1,607 | |
7,934 | |||
Shares | Value | ||
Real Estate—1.5% | |||
Crown Castle International Corp. | 8,444 | $ 1,422 | |
Utilities—11.3% | |||
Fortis, Inc. | 53,733 | 2,540 | |
NextEra Energy, Inc. | 17,553 | 1,360 | |
Pinnacle West Capital Corp. | 25,666 | 1,877 | |
Southern Co. (The) | 45,383 | 3,236 | |
WEC Energy Group, Inc. | 14,490 | 1,458 | |
10,471 | |||
Total Common Stocks (Identified Cost $82,476) | 91,576 | ||
Total Long-Term Investments—98.5% (Identified Cost $82,476) | 91,576 | ||
Short-Term Investment—0.0% | |||
Money Market Mutual Fund—0.0% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.351%)(2) | 45,769 | 46 | |
Total Short-Term Investment (Identified Cost $46) | 46 | ||
Securities Lending Collateral—0.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.351%)(2)(3) | 560,250 | 560 | |
Total Securities Lending Collateral (Identified Cost $560) | 560 | ||
TOTAL INVESTMENTS—99.1% (Identified Cost $83,082) | $92,182 | ||
Other assets and liabilities, net—0.9% | 809 | ||
NET ASSETS—100.0% | $92,991 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | All or a portion of security is on loan. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(3) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 84% |
Switzerland | 9 |
United Kingdom | 4 |
Canada | 3 |
Total | 100% |
† % of total investments as of June 30, 2022. |
Total Value at June 30, 2022 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $91,576 | $91,576 | |
Securities Lending Collateral | 560 | 560 | |
Money Market Mutual Fund | 46 | 46 | |
Total Investments | $92,182 | $92,182 |
Shares | Value | ||
Common Stocks—96.9% | |||
Communication Services—14.9% | |||
Auto Trader Group plc | 688,000 | $ 4,648 | |
Autohome, Inc. ADR | 86,050 | 3,384 | |
MediaAlpha, Inc. Class A(1) | 83,679 | 824 | |
Rightmove plc | 631,930 | 4,373 | |
13,229 | |||
Consumer Discretionary—14.3% | |||
Dream Finders Homes, Inc. Class A(1) | 83,494 | 888 | |
Fox Factory Holding Corp.(1) | 67,055 | 5,401 | |
Holley, Inc.(1) | 126,624 | 1,330 | |
Ollie’s Bargain Outlet Holdings, Inc.(1) | 74,339 | 4,367 | |
Olo, Inc. Class A(1) | 36,954 | 365 | |
Revolve Group, Inc. Class A(1) | 13,558 | 351 | |
12,702 | |||
Consumer Staples—5.6% | |||
Chefs’ Warehouse, Inc. (The)(1) | 44,644 | 1,736 | |
Grocery Outlet Holding Corp.(1) | 52,418 | 2,235 | |
PriceSmart, Inc. | 13,500 | 967 | |
4,938 | |||
Financials—27.2% | |||
FactSet Research Systems, Inc. | 6,579 | 2,530 | |
Goosehead Insurance, Inc. Class A | 20,671 | 944 | |
Interactive Brokers Group, Inc. Class A | 57,373 | 3,156 | |
MarketAxess Holdings, Inc. | 6,463 | 1,655 | |
Morningstar, Inc. | 17,060 | 4,126 | |
Oportun Financial Corp.(1) | 45,880 | 379 | |
Ryan Specialty Holdings, Inc. Class A(1) | 179,984 | 7,053 | |
ServisFirst Bancshares, Inc. | 54,332 | 4,288 | |
24,131 | |||
Health Care—5.2% | |||
Mesa Laboratories, Inc. | 4,235 | 864 | |
National Research Corp. | 37,152 | 1,422 | |
U.S. Physical Therapy, Inc. | 21,000 | 2,293 | |
4,579 | |||
Industrials—9.1% | |||
AAON, Inc. | 63,000 | 3,450 | |
HEICO Corp. Class A | 24,570 | 2,589 | |
Omega Flex, Inc. | 18,734 | 2,016 | |
8,055 | |||
Shares | Value | ||
Information Technology—20.6% | |||
Aspen Technology, Inc.(1) | 11,597 | $ 2,130 | |
Avalara, Inc.(1) | 24,540 | 1,733 | |
Bill.com Holdings, Inc.(1) | 38,235 | 4,204 | |
Blackline, Inc.(1) | 43,190 | 2,876 | |
Duck Creek Technologies, Inc.(1) | 226,602 | 3,365 | |
nCino, Inc.(1) | 45,956 | 1,421 | |
NVE Corp. | 8,850 | 413 | |
SPS Commerce, Inc.(1) | 18,922 | 2,139 | |
18,281 | |||
Total Common Stocks (Identified Cost $55,164) | 85,915 | ||
Total Long-Term Investments—96.9% (Identified Cost $55,164) | 85,915 | ||
Short-Term Investment—3.9% | |||
Money Market Mutual Fund—3.9% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.351%)(2) | 3,465,892 | 3,466 | |
Total Short-Term Investment (Identified Cost $3,466) | 3,466 | ||
TOTAL INVESTMENTS—100.8% (Identified Cost $58,630) | $89,381 | ||
Other assets and liabilities, net—(0.8)% | (708) | ||
NET ASSETS—100.0% | $88,673 |
Abbreviation: | |
ADR | American Depositary Receipt |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 86% |
United Kingdom | 10 |
China | 4 |
Total | 100% |
† % of total investments as of June 30, 2022. |
Total Value at June 30, 2022 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $85,915 | $85,915 | |
Money Market Mutual Fund | 3,466 | 3,466 | |
Total Investments | $89,381 | $89,381 |
Shares | Value | ||
Common Stocks—97.2% | |||
Consumer Discretionary—18.0% | |||
Cheesecake Factory, Inc. (The) | 70,730 | $ 1,868 | |
Latham Group, Inc.(1) | 110,508 | 766 | |
Leslie’s, Inc.(1) | 150,053 | 2,278 | |
SiteOne Landscape Supply, Inc.(1) | 17,681 | 2,102 | |
Terminix Global Holdings, Inc.(1) | 63,498 | 2,581 | |
Thor Industries, Inc. | 32,783 | 2,450 | |
12,045 | |||
Consumer Staples—6.5% | |||
National Beverage Corp. | 51,988 | 2,545 | |
WD-40 Co. | 8,950 | 1,802 | |
4,347 | |||
Financials—21.2% | |||
Bank of Hawaii Corp. | 34,242 | 2,548 | |
First Financial Bankshares, Inc. | 29,112 | 1,143 | |
Houlihan Lokey, Inc. Class A | 35,093 | 2,770 | |
Lakeland Financial Corp. | 18,791 | 1,248 | |
Primerica, Inc. | 14,520 | 1,738 | |
RLI Corp. | 21,160 | 2,467 | |
Stock Yards Bancorp, Inc. | 37,486 | 2,242 | |
14,156 | |||
Health Care—5.4% | |||
Azenta, Inc. | 50,209 | 3,620 | |
Industrials—33.3% | |||
Albany International Corp. Class A | 31,889 | 2,513 | |
Armstrong World Industries, Inc. | 27,747 | 2,080 | |
Construction Partners, Inc. Class A(1) | 78,677 | 1,647 | |
Graco, Inc. | 38,790 | 2,305 | |
Hillman Solutions Corp.(1) | 148,759 | 1,285 | |
John Bean Technologies Corp. | 15,473 | 1,709 | |
Landstar System, Inc. | 15,990 | 2,325 | |
RBC Bearings, Inc.(1) | 15,320 | 2,833 | |
UniFirst Corp. | 13,815 | 2,379 | |
Watsco, Inc. | 13,200 | 3,152 | |
22,228 | |||
Shares | Value | ||
Information Technology—9.7% | |||
American Software, Inc. Class A | 62,000 | $ 1,002 | |
Badger Meter, Inc. | 12,052 | 975 | |
EVERTEC, Inc. | 81,043 | 2,989 | |
Jack Henry & Associates, Inc. | 8,240 | 1,483 | |
6,449 | |||
Materials—3.1% | |||
Scotts Miracle-Gro Co. (The) | 26,207 | 2,070 | |
Total Common Stocks (Identified Cost $43,465) | 64,915 | ||
Total Long-Term Investments—97.2% (Identified Cost $43,465) | 64,915 | ||
Short-Term Investment—2.7% | |||
Money Market Mutual Fund—2.7% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.351%)(2) | 1,824,719 | 1,825 | |
Total Short-Term Investment (Identified Cost $1,825) | 1,825 | ||
TOTAL INVESTMENTS—99.9% (Identified Cost $45,290) | $66,740 | ||
Other assets and liabilities, net—0.1% | 41 | ||
NET ASSETS—100.0% | $66,781 |
Footnote Legend: | |
(1) | Non-income producing. |
(2) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Total Value at June 30, 2022 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $64,915 | $64,915 | |
Money Market Mutual Fund | 1,825 | 1,825 | |
Total Investments | $66,740 | $66,740 |
Par Value | Value | ||
U.S. Government Securities—11.4% | |||
U.S. Treasury Bonds | |||
2.875%, 5/15/49 | $ 200 | $ 187 | |
1.875%, 11/15/51 | 575 | 431 | |
U.S. Treasury Notes | |||
0.125%, 3/31/23 | 490 | 481 | |
0.125%, 4/30/23 | 725 | 709 | |
0.125%, 8/31/23 | 1,015 | 982 | |
2.500%, 4/30/24 | 1,215 | 1,204 | |
0.250%, 5/31/25 | 1,460 | 1,347 | |
0.875%, 6/30/26 | 1,435 | 1,317 | |
0.375%, 7/31/27 | 2,485 | 2,172 | |
0.375%, 9/30/27 | 875 | 761 | |
1.375%, 11/15/31 | 490 | 425 | |
1.875%, 2/15/32 | 1,260 | 1,142 | |
Total U.S. Government Securities (Identified Cost $11,662) | 11,158 | ||
Municipal Bonds—1.1% | |||
Florida—0.2% | |||
Broward County, Water & Sewer Utility Revenue Series A 4.000%, 10/1/47 | 185 | 181 | |
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 40 | 34 | |
New York—0.3% | |||
Metropolitan Transportation Authority Revenue Taxable Series A 5.000%, 11/15/45 | 260 | 282 | |
Virginia—0.6% | |||
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 595 | 553 | |
Total Municipal Bonds (Identified Cost $1,140) | 1,050 | ||
Foreign Government Securities—3.5% | |||
Bolivarian Republic of Venezuela | |||
9.375%, 1/13/34(1) | 295 | 25 | |
RegS 7.650%, 4/21/25(1)(2) | 825 | 68 | |
Dominican Republic | |||
144A 4.500%, 1/30/30(3) | 165 | 132 | |
144A 6.000%, 2/22/33(3) | 165 | 137 | |
Emirate of Dubai Government International Bonds RegS 5.250%, 1/30/43(2) | 400 | 363 | |
Kingdom of Saudi Arabia 144A 4.500%, 10/26/46(3) | 305 | 278 | |
Oman Government International Bond 144A 7.375%, 10/28/32(3) | 410 | 422 | |
Republic of Angola 144A 8.250%, 5/9/28(3) | 200 | 166 | |
Republic of Argentina 2.500%, 7/9/41(4) | 440 | 113 |
Par Value | Value | ||
Foreign Government Securities—continued | |||
Republic of Cote d’Ivoire 144A 6.375%, 3/3/28(3) | $ 200 | $ 177 | |
Republic of Ecuador 144A 5.000%, 7/31/30(3)(4) | 65 | 43 | |
Republic of Egypt 144A 7.600%, 3/1/29(3) | 200 | 145 | |
Republic of Indonesia | |||
2.850%, 2/14/30 | 210 | 187 | |
144A 4.350%, 1/8/27(3) | 240 | 240 | |
Republic of Nigeria 144A 8.375%, 3/24/29(3) | 250 | 189 | |
Republic of Panama 4.300%, 4/29/53 | 355 | 281 | |
Republic of Philippines 3.700%, 3/1/41 | 200 | 165 | |
United Mexican States 4.500%, 1/31/50 | 340 | 264 | |
Total Foreign Government Securities (Identified Cost $5,061) | 3,395 | ||
Mortgage-Backed Securities—16.1% | |||
Non-Agency—16.1% | |||
Aligned Data Centers Issuer LLC 2021-1A, A2 144A 1.937%, 8/15/46(3) | 285 | 252 | |
American Homes 4 Rent Trust | |||
2014-SFR2, C 144A 4.705%, 10/17/36(3) | 435 | 438 | |
2015-SFR1, A 144A 3.467%, 4/17/52(3) | 295 | 289 | |
2015-SFR2, C 144A 4.691%, 10/17/52(3) | 340 | 337 | |
Angel Oak SB Commercial Mortgage Trust 2020-SBC1, A1 144A 2.068%, 5/25/50(3)(4) | 200 | 193 | |
Arroyo Mortgage Trust | |||
2019-1, A1 144A 3.805%, 1/25/49(3)(4) | 243 | 234 | |
2019-2, A1 144A 3.347%, 4/25/49(3)(4) | 55 | 53 | |
Banc of America Funding Trust 2005-1, 1A1 5.500%, 2/25/35 | 32 | 29 | |
BRAVO Residential Funding Trust 2021-A, A1 144A 1.991%, 10/25/59(3)(4) | 107 | 103 | |
BX Trust 2019-OC11, D 144A 4.075%, 12/9/41(3)(4) | 295 | 257 | |
Cascade MH Asset Trust 2021-MH1, A1 144A 1.753%, 2/25/46(3) | 285 | 255 | |
CF Hippolyta Issuer LLC 2020-1, A1 144A 1.690%, 7/15/60(3) | 207 | 188 | |
CIM Trust | |||
2021-NR4, A1 144A 2.816%, 10/25/61(3)(4) | 184 | 172 | |
2022-R2, A1 144A 3.750%, 12/25/61(3)(4) | 103 | 100 | |
Citigroup Mortgage Loan Trust, Inc. 2018-RP1, A1 144A 3.000%, 9/25/64(3)(4) | 183 | 179 | |
COLT Mortgage Loan Trust 2022-5, A1 144A 4.550%, 4/25/67(3)(4) | 253 | 250 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(3)(4) | 162 | 147 |
Par Value | Value | ||
Non-Agency—continued | |||
CoreVest American Finance Issuer LLC 2021-RTL1, A1 144A 2.239%, 3/28/29(3)(4) | $ 115 | $ 108 | |
CoreVest American Finance Trust 2020-4, A 144A 1.174%, 12/15/52(3) | 206 | 187 | |
Credit Suisse Mortgage Capital Trust | |||
2014-IVR2, A2 144A 3.808%, 4/25/44(3)(4) | 24 | 22 | |
2020-RPL4, A1 144A 2.000%, 1/25/60(3)(4) | 237 | 222 | |
Dominion Mortgage Trust 2021-RTL1, A1 144A 2.487%, 7/25/27(3)(4) | 345 | 324 | |
Ellington Financial Mortgage Trust | |||
2019-2, A3 144A 3.046%, 11/25/59(3)(4) | 28 | 27 | |
2021-2, A3 144A 1.291%, 6/25/66(3)(4) | 223 | 200 | |
FirstKey Homes Trust | |||
2020-SFR1, B 144A 1.740%, 8/17/37(3) | 200 | 186 | |
2020-SFR2, B 144A 1.567%, 10/19/37(3) | 335 | 305 | |
Galton Funding Mortgage Trust | |||
2017-1, A21 144A 3.500%, 7/25/56(3)(4) | 12 | 12 | |
2018-1, A23 144A 3.500%, 11/25/57(3)(4) | 28 | 26 | |
Home Partners of America Trust 2020-2, A 144A 1.532%, 1/17/41(3) | 182 | 158 | |
Imperial Fund Mortgage Trust 2021-NQM4, A1 144A 2.091%, 1/25/57(3)(4) | 509 | 435 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(3)(4) | 36 | 35 | |
2014-1, 2A12 144A 3.500%, 1/25/44(3)(4) | 33 | 32 | |
2016-SH1, M2 144A 3.750%, 4/25/45(3)(4) | 111 | 102 | |
2016-SH2, M2 144A 3.750%, 12/25/45(3)(4) | 153 | 143 | |
Mello Warehouse Securitization Trust 2021-2, C (1 month LIBOR + 1.100%, Cap N/A, Floor 1.100%) 144A 2.724%, 4/25/55(3)(4) | 160 | 158 | |
MetLife Securitization Trust | |||
2017-1A, M1 144A 3.432%, 4/25/55(3)(4) | 150 | 140 | |
2019-1A, A1A 144A 3.750%, 4/25/58(3)(4) | 111 | 110 | |
Mill City Mortgage Loan Trust | |||
2017-1, M2 144A 3.250%, 11/25/58(3)(4) | 100 | 97 | |
2017-3, B1 144A 3.250%, 1/25/61(3)(4) | 207 | 190 | |
2019-1, M2 144A 3.500%, 10/25/69(3)(4) | 165 | 148 | |
Morgan Stanley - Bank of America (Merrill Lynch) Trust 2013-C13, AS 4.266%, 11/15/46 | 125 | 124 | |
New Residential Mortgage Loan Trust | |||
2022-RTL1, A1F 144A 4.336%, 12/25/26(3) | 215 | 209 | |
2014-1A, A 144A 3.750%, 1/25/54(3)(4) | 97 | 94 |
Par Value | Value | ||
Non-Agency—continued | |||
2015-2A, A1 144A 3.750%, 8/25/55(3)(4) | $ 73 | $ 70 | |
2016-1A, A1 144A 3.750%, 3/25/56(3)(4) | 62 | 60 | |
2016-3A, B1 144A 4.000%, 9/25/56(3)(4) | 262 | 251 | |
2016-4A, B1A 144A 4.500%, 11/25/56(3)(4) | 241 | 237 | |
2017-2A, A3 144A 4.000%, 3/25/57(3)(4) | 60 | 59 | |
2021-NQ2R, A1 144A 0.941%, 10/25/58(3)(4) | 77 | 74 | |
2019-RPL2, M2 144A 3.750%, 2/25/59(3)(4) | 220 | 203 | |
2018-1A, A1A 144A 4.000%, 12/25/57(3)(4) | 130 | 127 | |
NewRez Warehouse Securitization Trust 2021-1, C (1 month LIBOR + 1.050%, Cap N/A, Floor 1.050%) 144A 2.674%, 5/25/55(3)(4) | 160 | 157 | |
NLT Trust 2021-INV2, A1 144A 1.162%, 8/25/56(3)(4) | 184 | 167 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(3)(4) | 32 | 31 | |
2021-NQM3, A1 144A 1.054%, 7/25/61(3)(4) | 182 | 157 | |
Palisades Mortgage Loan Trust 2021-RTL1, A1 144A 2.857%, 6/25/26(3)(4) | 140 | 133 | |
Preston Ridge Partners Mortgage LLC | |||
2020-6, A1 144A 2.363%, 11/25/25(3)(4) | 282 | 270 | |
2021-2, A1 144A 2.115%, 3/25/26(3)(4) | 83 | 79 | |
2021-3, A1 144A 1.867%, 4/25/26(3)(4) | 181 | 171 | |
2021-9, A1 144A 2.363%, 10/25/26(3)(4) | 145 | 136 | |
2021-RPL1, A1 144A 1.319%, 7/25/51(3)(4) | 76 | 70 | |
Progress Residential Trust | |||
2021-SFR3, D 144A 2.288%, 5/17/26(3) | 115 | 101 | |
2021-SFR6, C 144A 1.855%, 7/17/38(3) | 175 | 154 | |
2022-SFR3, A 144A 3.200%, 4/17/39(3) | 150 | 142 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(3)(4) | 102 | 92 | |
RCO VI Mortgage LLC 2022-1, A1 144A 3.000%, 1/25/27(3)(4) | 185 | 176 | |
RCO VII Mortgage LLC 2021-2, A1 144A 2.116%, 9/25/26(3)(4) | 117 | 112 | |
Residential Asset Mortgage Products Trust 2004-SL1, A8 6.500%, 11/25/31 | 8 | 7 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(3)(4) | 40 | 40 | |
Roc Mortgage Trust 2021-RTL1, A1 144A 2.487%, 8/25/26(3)(4) | 345 | 326 | |
Sequoia Mortgage Trust 2013-8, B1 3.486%, 6/25/43(4) | 51 | 50 | |
SG Residential Mortgage Trust 2019-3, A1 144A 2.703%, 9/25/59(3)(4) | 42 | 41 |
Par Value | Value | ||
Non-Agency—continued | |||
Starwood Mortgage Residential Trust 2021-3, A3 144A 1.518%, 6/25/56(3)(4) | $ 62 | $ 55 | |
Sutherland Commercial Mortgage Loans 2017-SBC6, A 144A 3.192%, 5/25/37(3)(4) | 4 | 4 | |
Towd Point Mortgage Trust | |||
2016-1, M1 144A 3.500%, 2/25/55(3)(4) | 135 | 134 | |
2016-4, B1 144A 3.791%, 7/25/56(3)(4) | 300 | 287 | |
2017-1, M1 144A 3.750%, 10/25/56(3)(4) | 135 | 131 | |
2017-4, A2 144A 3.000%, 6/25/57(3)(4) | 300 | 281 | |
2018-6, A2 144A 3.750%, 3/25/58(3)(4) | 710 | 676 | |
2019-2, A2 144A 3.750%, 12/25/58(3)(4) | 290 | 273 | |
2019-4, A2 144A 3.250%, 10/25/59(3)(4) | 215 | 196 | |
2020-1, M1 144A 3.500%, 1/25/60(3)(4) | 110 | 97 | |
2015-2, 1M1 144A 3.250%, 11/25/60(3)(4) | 54 | 54 | |
2021-1, A2 144A 2.750%, 11/25/61(3)(4) | 230 | 197 | |
Tricon American Homes Trust | |||
2019-SFR1, C 144A 3.149%, 3/17/38(3) | 235 | 224 | |
2020-SFR2, D 144A 2.281%, 11/17/39(3) | 225 | 191 | |
Tricon Residential Trust 2021-SFR1, B 144A 2.244%, 7/17/38(3) | 160 | 145 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(3) | 134 | 134 | |
VCAT LLC | |||
2021-NPL3, A1 144A 1.743%, 5/25/51(3)(4) | 163 | 152 | |
2021-NPL4, A1 144A 1.868%, 8/25/51(3)(4) | 266 | 249 | |
Vericrest Opportunity Loan Trust C LLC 2021-NPL9, A1 144A 1.992%, 5/25/51(3)(4) | 93 | 88 | |
Vericrest Opportunity Loan Trust CVI LLC 2021-NP12, A1 144A 2.734%, 12/26/51(3)(4) | 123 | 115 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(3)(4) | 230 | 218 | |
Verus Securitization Trust | |||
2019-4, M1 144A 3.207%, 11/25/59(3)(4) | 110 | 109 | |
2022-5, A1 144A 3.800%, 4/25/67(3)(4) | 351 | 339 | |
2022-4, A1 144A 4.474%, 4/25/67(3)(4) | 220 | 217 | |
Visio Trust 2020-1R, A2 144A 1.567%, 11/25/55(3) | 60 | 58 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 140 | 137 |
Par Value | Value | ||
Non-Agency—continued | |||
Wells Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(3)(4) | $ 57 | $ 51 | |
Total Mortgage-Backed Securities (Identified Cost $16,898) | 15,775 | ||
Asset-Backed Securities—13.4% | |||
Automobiles—7.2% | |||
ACC Auto Trust 2021-A, C 144A 3.790%, 4/15/27(3) | 365 | 346 | |
ACC Trust 2021-1, C 144A 2.080%, 12/20/24(3) | 290 | 282 | |
American Credit Acceptance Receivables Trust 2020-4, D 144A 1.770%, 12/14/26(3) | 285 | 273 | |
AmeriCredit Automobile Receivables Trust | |||
2018-1, D 3.820%, 3/18/24 | 295 | 296 | |
2020-3, C 1.060%, 8/18/26 | 230 | 219 | |
Avid Automobile Receivables Trust | |||
2019-1, C 144A 3.140%, 7/15/26(3) | 355 | 352 | |
2019-1, D 144A 4.030%, 7/15/26(3) | 520 | 516 | |
2021-1, E 144A 3.390%, 4/17/28(3) | 115 | 103 | |
Avis Budget Rental Car Funding LLC (AESOP) 2020-2A, A 144A 2.020%, 2/20/27(3) | 285 | 262 | |
Carvana Auto Receivables Trust | |||
2019-2A, D 144A 3.280%, 1/15/25(3) | 275 | 274 | |
2019-3A, E 144A 4.600%, 7/15/26(3) | 265 | 263 | |
2022-N1, C 144A 3.320%, 12/11/28(3) | 270 | 263 | |
CPS Auto Receivables Trust 2018-C, D 144A 4.400%, 6/17/24(3) | 95 | 95 | |
Exeter Automobile Receivables Trust | |||
2019-2A, E 144A 4.680%, 5/15/26(3) | 325 | 326 | |
2019-3A, C 144A 2.790%, 5/15/24(3) | 10 | 10 | |
2018-4A, D 144A 4.350%, 9/16/24(3) | 187 | 187 | |
2019-1A, D 144A 4.130%, 12/16/24(3) | 210 | 211 | |
Flagship Credit Auto Trust 2020-3, C 144A 1.730%, 9/15/26(3) | 285 | 273 | |
Foursight Capital Automobile Receivables Trust | |||
2019-1, E 144A 4.300%, 9/15/25(3) | 285 | 284 | |
2021-2, C 144A 1.570%, 7/15/27(3) | 230 | 212 | |
GLS Auto Receivables Issuer Trust | |||
2019-4A, B 144A 2.780%, 9/16/24(3) | 185 | 185 | |
2019-4A, D 144A 4.090%, 8/17/26(3) | 265 | 259 |
Par Value | Value | ||
Automobiles—continued | |||
2020-3A, D 144A 2.270%, 5/15/26(3) | $ 285 | $ 275 | |
GLS Auto Receivables Trust 2018-3A, C 144A 4.180%, 7/15/24(3) | 209 | 210 | |
Hertz Vehicle Financing LLC 2021-1A, A 144A 1.210%, 12/26/25(3) | 290 | 271 | |
LAD Auto Receivables Trust 2021-1A, D 144A 3.990%, 11/15/29(3) | 290 | 269 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(3) | 295 | 292 | |
USASF Receivables LLC 2020-1A, B 144A 3.220%, 5/15/24(3) | 253 | 251 | |
7,059 | |||
Consumer Loans—0.2% | |||
Republic Finance Issuance Trust 2020-A, A 144A 2.470%, 11/20/30(3) | 225 | 216 | |
Credit Card—0.9% | |||
Avant Credit Card Master Trust 2021-1A, A 144A 1.370%, 4/15/27(3) | 290 | 265 | |
Mercury Financial Credit Card Master Trust 2021-1A, A 144A 1.540%, 3/20/26(3) | 285 | 271 | |
Mission Lane Credit Card Master Trust 2021-A, A 144A 1.590%, 9/15/26(3) | 360 | 347 | |
883 | |||
Other—5.1% | |||
Amur Equipment Finance Receivables IX LLC 2021-1A, C 144A 1.750%, 6/21/27(3) | 345 | 323 | |
Aqua Finance Trust 2019-A, C 144A 4.010%, 7/16/40(3) | 355 | 340 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(3) | 329 | 296 | |
Business Jet Securities LLC 2020-1A, A 144A 2.981%, 11/15/35(3) | 120 | 110 | |
BXG Receivables Note Trust 2020-A, B 144A 2.490%, 2/28/36(3) | 169 | 158 | |
Cajun Global LLC 2021-1, A2 144A 3.931%, 11/20/51(3) | 348 | 315 | |
Diamond Resorts Owner Trust 2021-1A, B 144A 2.050%, 11/21/33(3) | 122 | 115 | |
FAT Brands Royalty LLC 2021-1A, A2 144A 4.750%, 4/25/51(3) | 290 | 280 | |
Foundation Finance Trust 2021-1A, A 144A 1.270%, 5/15/41(3) | 174 | 161 | |
Hardee’s Funding LLC 2020-1A, A2 144A 3.981%, 12/20/50(3) | 281 | 255 | |
HIN Timeshare Trust 2020-A, C 144A 3.420%, 10/9/39(3) | 180 | 169 | |
Jack in the Box Funding LLC 2022-1A, A2I 144A 3.445%, 2/26/52(3) | 269 | 245 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(3) | 214 | 203 | |
Lendmark Funding Trust 2021-1A, A 144A 1.900%, 11/20/31(3) | 290 | 251 | |
Mariner Finance Issuance Trust 2020-AA, A 144A 2.190%, 8/21/34(3) | 285 | 274 | |
NMEF Funding LLC 2019-A, C 144A 3.300%, 8/17/26(3) | 240 | 237 | |
Octane Receivables Trust 2020-1A, B 144A 1.980%, 6/20/25(3) | 335 | 323 |
Par Value | Value | ||
Other—continued | |||
Oportun Issuance Trust 2021-C, A 144A 2.180%, 10/8/31(3) | $ 290 | $ 268 | |
Purchasing Power Funding LLC 2021-A, B 144A 1.920%, 10/15/25(3) | 345 | 327 | |
VFI ABS LLC 2022-1A, B 144A 3.040%, 7/24/28(3) | 360 | 344 | |
4,994 | |||
Total Asset-Backed Securities (Identified Cost $13,784) | 13,152 | ||
Corporate Bonds and Notes—38.5% | |||
Communication Services—2.3% | |||
Altice France Holding S.A. 144A 6.000%, 2/15/28(3) | 250 | 177 | |
Cable Onda S.A. 144A 4.500%, 1/30/30(3) | 240 | 198 | |
CCO Holdings LLC 144A 4.750%, 3/1/30(3) | 175 | 150 | |
CT Trust 144A 5.125%, 2/3/32(3) | 200 | 160 | |
DISH DBS Corp. 7.750%, 7/1/26 | 110 | 86 | |
Frontier Communications Holdings LLC 144A 8.750%, 5/15/30(3) | 20 | 20 | |
Level 3 Financing, Inc. | |||
144A 4.250%, 7/1/28(3) | 145 | 116 | |
144A 3.625%, 1/15/29(3) | 55 | 42 | |
McGraw-Hill Education, Inc. 144A 8.000%, 8/1/29(3) | 125 | 101 | |
Millennium Escrow Corp. 144A 6.625%, 8/1/26(3) | 105 | 85 | |
Nexstar Media, Inc. 144A 4.750%, 11/1/28(3) | 115 | 99 | |
Northwest Fiber LLC | |||
144A 4.750%, 4/30/27(3) | 25 | 21 | |
144A 10.750%, 6/1/28(3) | 105 | 93 | |
Sprint Spectrum Co. LLC 144A 5.152%, 3/20/28(3) | 200 | 201 | |
Telesat Canada 144A 6.500%, 10/15/27(3) | 75 | 32 | |
T-Mobile USA, Inc. 3.875%, 4/15/30 | 285 | 266 | |
Twitter, Inc. 144A 3.875%, 12/15/27(3)(5) | 195 | 184 | |
VZ Secured Financing B.V. 144A 5.000%, 1/15/32(3) | 200 | 166 | |
2,197 | |||
Consumer Discretionary—3.1% | |||
Ashtead Capital, Inc. 144A 4.375%, 8/15/27(3) | 360 | 335 | |
At Home Group, Inc. | |||
144A 4.875%, 7/15/28(3) | 30 | 22 | |
144A 7.125%, 7/15/29(3) | 185 | 105 | |
Brunswick Corp. 2.400%, 8/18/31 | 265 | 196 | |
Caesars Entertainment, Inc. | |||
144A 6.250%, 7/1/25(3) | 55 | 53 | |
144A 8.125%, 7/1/27(3) | 40 | 39 |
Par Value | Value | ||
Consumer Discretionary—continued | |||
Carriage Services, Inc. 144A 4.250%, 5/15/29(3) | $ 110 | $ 89 | |
Clarios Global LP 144A 8.500%, 5/15/27(3) | 90 | 87 | |
Cooper-Standard Automotive, Inc. 144A 13.000%, 6/1/24(3) | 60 | 60 | |
Dick’s Sporting Goods, Inc. 3.150%, 1/15/32 | 308 | 243 | |
Dornoch Debt Merger Sub, Inc. 144A 6.625%, 10/15/29(3) | 95 | 70 | |
Ford Motor Co. | |||
3.250%, 2/12/32 | 63 | 47 | |
4.750%, 1/15/43 | 55 | 39 | |
Jacobs Entertainment, Inc. 144A 6.750%, 2/15/29(3) | 120 | 101 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 160 | 136 | |
Mclaren Finance plc 144A 7.500%, 8/1/26(3) | 200 | 148 | |
Metis Merger Sub LLC 144A 6.500%, 5/15/29(3) | 75 | 60 | |
Mohegan Gaming & Entertainment 144A 8.000%, 2/1/26(3) | 115 | 98 | |
NMG Holding Co., Inc. 144A 7.125%, 4/1/26(3) | 160 | 147 | |
Premier Entertainment Sub LLC 144A 5.625%, 9/1/29(3) | 185 | 132 | |
PulteGroup, Inc. | |||
7.875%, 6/15/32 | 135 | 152 | |
6.375%, 5/15/33 | 140 | 144 | |
Scientific Games International, Inc. 144A 7.000%, 5/15/28(3) | 40 | 38 | |
Station Casinos LLC 144A 4.500%, 2/15/28(3) | 135 | 114 | |
Tenneco, Inc. 144A 5.125%, 4/15/29(3) | 150 | 141 | |
Under Armour, Inc. 3.250%, 6/15/26 | 170 | 146 | |
Weekley Homes LLC 144A 4.875%, 9/15/28(3) | 105 | 83 | |
3,025 | |||
Consumer Staples—0.9% | |||
Anheuser-Busch InBev Worldwide, Inc. 4.750%, 1/23/29 | 265 | 269 | |
BAT Capital Corp. 4.906%, 4/2/30 | 300 | 279 | |
Central American Bottling Corp. 144A 5.250%, 4/27/29(3) | 90 | 79 | |
Turning Point Brands, Inc. 144A 5.625%, 2/15/26(3) | 225 | 200 | |
827 | |||
Energy—6.7% | |||
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25(3) | 225 | 222 | |
Antero Midstream Partners LP 144A 5.750%, 1/15/28(3) | 105 | 96 | |
Antero Resources Corp. | |||
144A 7.625%, 2/1/29(3) | 34 | 35 | |
144A 5.375%, 3/1/30(3) | 35 | 32 |
Par Value | Value | ||
Energy—continued | |||
Ascent Resources Utica Holdings LLC 144A 8.250%, 12/31/28(3) | $ 155 | $ 148 | |
BP Capital Markets plc 4.875% (6) | 275 | 239 | |
Callon Petroleum Co. | |||
6.125%, 10/1/24 | 101 | 102 | |
144A 7.500%, 6/15/30(3) | 105 | 97 | |
Calumet Specialty Products Partners LP 144A 8.125%, 1/15/27(3) | 110 | 93 | |
CITGO Petroleum Corp. 144A 7.000%, 6/15/25(3) | 110 | 106 | |
Coronado Finance Pty Ltd. 144A 10.750%, 5/15/26(3) | 193 | 200 | |
CrownRock LP 144A 5.625%, 10/15/25(3) | 100 | 94 | |
DCP Midstream Operating LP 3.250%, 2/15/32 | 100 | 78 | |
Earthstone Energy Holdings LLC 144A 8.000%, 4/15/27(3) | 105 | 99 | |
Ecopetrol S.A. 4.625%, 11/2/31 | 305 | 230 | |
Energy Transfer LP | |||
4.200%, 4/15/27 | 345 | 331 | |
Series H 6.500%(6) | 115 | 102 | |
Flex Intermediate Holdco LLC 144A 3.363%, 6/30/31(3) | 205 | 167 | |
HF Sinclair Corp. 144A 5.875%, 4/1/26(3) | 245 | 247 | |
Hilcorp Energy I LP | |||
144A 5.750%, 2/1/29(3) | 165 | 145 | |
144A 6.000%, 2/1/31(3) | 100 | 86 | |
Kinder Morgan, Inc. 7.750%, 1/15/32 | 225 | 263 | |
Lundin Energy Finance B.V. 144A 2.000%, 7/15/26(3) | 235 | 210 | |
Magnolia Oil & Gas Operating LLC 144A 6.000%, 8/1/26(3) | 115 | 108 | |
Mesquite Energy, Inc. 144A 7.250%, 2/15/23(4)(7) | 120 | 1 | |
Nabors Industries Ltd. 144A 7.250%, 1/15/26(3) | 65 | 58 | |
Northriver Midstream Finance LP 144A 5.625%, 2/15/26(3) | 120 | 109 | |
Occidental Petroleum Corp. 6.125%, 1/1/31 | 220 | 223 | |
Odebrecht Oil & Gas Finance Ltd. 144A 0.000% (3)(6)(7) | 60 | —(8) | |
Parsley Energy LLC 144A 4.125%, 2/15/28(3) | 110 | 100 | |
Pertamina Persero PT 144A 2.300%, 2/9/31(3) | 245 | 198 | |
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24(3)(9) | 650 | 36 | |
Petroleos Mexicanos | |||
6.500%, 3/13/27 | 605 | 523 | |
7.690%, 1/23/50 | 215 | 144 | |
Petronas Capital Ltd. 144A 3.500%, 4/21/30(3) | 220 | 208 | |
Reliance Industries Ltd. 144A 2.875%, 1/12/32(3) | 295 | 245 | |
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | 175 | 168 |
Par Value | Value | ||
Energy—continued | |||
Saudi Arabian Oil Co. 144A 2.250%, 11/24/30(3) | $ 235 | $ 200 | |
State Oil Co. of the Azerbaijan Republic RegS 6.950%, 3/18/30(2) | 200 | 189 | |
Targa Resources Partners LP 4.875%, 2/1/31 | 45 | 41 | |
Teine Energy Ltd. 144A 6.875%, 4/15/29(3) | 105 | 98 | |
Transcanada Trust 5.600%, 3/7/82 | 335 | 304 | |
Transocean, Inc. 144A 11.500%, 1/30/27(3) | 59 | 55 | |
USA Compression Partners LP 6.875%, 4/1/26 | 55 | 50 | |
Venture Global Calcasieu Pass LLC | |||
144A 3.875%, 8/15/29(3) | 10 | 9 | |
144A 4.125%, 8/15/31(3) | 90 | 77 | |
6,566 | |||
Financials—10.7% | |||
Acrisure LLC 144A 7.000%, 11/15/25(3) | 165 | 149 | |
AerCap Ireland Capital DAC 2.450%, 10/29/26 | 150 | 131 | |
Allstate Corp. (The) Series B 5.750%, 8/15/53 | 280 | 245 | |
Ally Financial, Inc. Series B 4.700% (6) | 251 | 199 | |
Ascot Group Ltd. 144A 4.250%, 12/15/30(3) | 285 | 257 | |
Athene Global Funding 144A 2.450%, 8/20/27(3) | 335 | 293 | |
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26(3) | 335 | 330 | |
Banco de Credito e Inversiones S.A. 144A 3.500%, 10/12/27(3) | 215 | 201 | |
Banco Mercantil del Norte S.A. 144A 6.625% (3)(6) | 255 | 208 | |
Banco Santander Chile 144A 3.177%, 10/26/31(3) | 285 | 242 | |
Bank of America Corp. | |||
1.734%, 7/22/27 | 290 | 258 | |
2.482%, 9/21/36 | 295 | 229 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (6) | 165 | 161 | |
BBVA Bancomer S.A. 144A 5.125%, 1/18/33(3) | 275 | 233 | |
Blackstone Private Credit Fund 144A 2.625%, 12/15/26(3) | 155 | 130 | |
Blue Owl Finance LLC 144A 3.125%, 6/10/31(3) | 245 | 189 | |
Brighthouse Financial, Inc. 5.625%, 5/15/30 | 270 | 262 | |
BroadStreet Partners, Inc. 144A 5.875%, 4/15/29(3) | 110 | 86 | |
Charles Schwab Corp. (The) Series H 4.000% (6) | 285 | 219 | |
Citadel LP 144A 4.875%, 1/15/27(3) | 235 | 227 | |
Citigroup, Inc. 3.980%, 3/20/30 | 495 | 463 |
Par Value | Value | ||
Financials—continued | |||
Cobra Acquisition Co. LLC 144A 6.375%, 11/1/29(3) | $ 110 | $ 83 | |
Doric Nimrod Air Alpha Pass-Through Trust 2013-1, A 144A 5.250%, 5/30/23(3) | 152 | 150 | |
Drawbridge Special Opportunities Fund LP 144A 3.875%, 2/15/26(3) | 345 | 316 | |
Goldman Sachs Group, Inc. (The) | |||
3.850%, 1/26/27 | 280 | 271 | |
1.992%, 1/27/32 | 115 | 91 | |
Icahn Enterprises LP | |||
6.250%, 5/15/26 | 70 | 66 | |
5.250%, 5/15/27 | 20 | 18 | |
Intercorp Peru Ltd. 144A 3.875%, 8/15/29(3)(5) | 235 | 195 | |
Itau Unibanco Holding S.A. 144A 3.875%, 4/15/31(3) | 200 | 176 | |
Jefferies Group LLC 2.625%, 10/15/31 | 310 | 239 | |
JPMorgan Chase & Co. | |||
2.956%, 5/13/31 | 485 | 419 | |
1.953%, 2/4/32 | 570 | 456 | |
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(3) | 130 | 105 | |
Liberty Mutual Group, Inc. 144A 4.125%, 12/15/51(3) | 235 | 187 | |
Liberty Mutual Insurance Co. 144A 8.500%, 5/15/25(3) | 25 | 27 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 3.103%, 4/20/67(4) | 365 | 247 | |
MetLife, Inc. Series G 3.850% (6) | 245 | 218 | |
Midcap Financial Issuer Trust 144A 6.500%, 5/1/28(3) | 200 | 172 | |
Morgan Stanley 3.950%, 4/23/27 | 345 | 334 | |
Navient Corp. 6.750%, 6/25/25 | 120 | 108 | |
OWL Rock Core Income Corp. 144A 4.700%, 2/8/27(3) | 159 | 145 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 280 | 275 | |
5.625%, 6/15/43 | 115 | 112 | |
5.125%, 3/1/52 | 73 | 67 | |
Santander Holdings USA, Inc. 4.400%, 7/13/27 | 200 | 192 | |
Synovus Financial Corp. 5.900%, 2/7/29 | 109 | 105 | |
Texas Capital Bancshares, Inc. 4.000%, 5/6/31 | 345 | 318 | |
Wells Fargo & Co. Series BB 3.900% (6) | 440 | 379 | |
Zions Bancorp NA 3.250%, 10/29/29 | 350 | 305 | |
10,488 | |||
Health Care—2.2% | |||
Akumin, Inc. 144A 7.000%, 11/1/25(3) | 125 | 97 | |
Bausch Health Americas, Inc. 144A 9.250%, 4/1/26(3) | 90 | 64 | |
Bausch Health Cos., Inc. | |||
144A 6.125%, 2/1/27(3) | 20 | 17 |
Par Value | Value | ||
Health Care—continued | |||
144A 7.000%, 1/15/28(3) | $ 140 | $ 80 | |
Bio-Rad Laboratories, Inc. 3.700%, 3/15/32 | 73 | 65 | |
Cheplapharm Arzneimittel GmbH 144A 5.500%, 1/15/28(3) | 200 | 167 | |
Community Health Systems, Inc. | |||
144A 6.875%, 4/15/29(3) | 15 | 10 | |
144A 6.125%, 4/1/30(3) | 135 | 82 | |
144A 4.750%, 2/15/31(3) | 115 | 84 | |
DENTSPLY SIRONA, Inc. 3.250%, 6/1/30 | 260 | 219 | |
Endo Dac 144A 6.000%, 7/15/23(3)(7) | 100 | 6 | |
HCA, Inc. 5.625%, 9/1/28 | 90 | 89 | |
Illumina, Inc. 2.550%, 3/23/31 | 245 | 199 | |
Lannett Co., Inc. 144A 7.750%, 4/15/26(3) | 50 | 21 | |
Legacy LifePoint Health LLC 144A 6.750%, 4/15/25(3) | 50 | 48 | |
Par Pharmaceutical, Inc. 144A 7.500%, 4/1/27(3) | 75 | 57 | |
Surgery Center Holdings, Inc. | |||
144A 6.750%, 7/1/25(3) | 35 | 32 | |
144A 10.000%, 4/15/27(3) | 100 | 97 | |
Team Health Holdings, Inc. 144A 6.375%, 2/1/25(3) | 140 | 98 | |
Teva Pharmaceutical Finance Netherlands III B.V. 3.150%, 10/1/26 | 155 | 127 | |
Universal Health Services, Inc. 144A 2.650%, 1/15/32(3) | 300 | 234 | |
Viatris, Inc. 2.700%, 6/22/30 | 285 | 229 | |
2,122 | |||
Industrials—2.8% | |||
Alaska Airlines Pass-Through Trust 2020-1, A 144A 4.800%, 8/15/27(3) | 194 | 192 | |
Allied Universal Holdco LLC 144A 6.625%, 7/15/26(3) | 195 | 179 | |
American Airlines, Inc. 144A 11.750%, 7/15/25(3) | 125 | 129 | |
Aviation Capital Group LLC 144A 3.500%, 11/1/27(3) | 355 | 313 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(3) | 188 | 174 | |
BlueLinx Holdings, Inc. 144A 6.000%, 11/15/29(3) | 115 | 90 | |
Boeing Co. (The) | |||
5.150%, 5/1/30 | 175 | 168 | |
3.750%, 2/1/50 | 85 | 60 | |
5.930%, 5/1/60 | 69 | 63 | |
Cleaver-Brooks, Inc. 144A 7.875%, 3/1/23(3)(5) | 115 | 107 | |
CoStar Group, Inc. 144A 2.800%, 7/15/30(3) | 285 | 237 | |
Deluxe Corp. 144A 8.000%, 6/1/29(3) | 60 | 49 | |
Global Infrastructure Solutions, Inc. 144A 7.500%, 4/15/32(3) | 160 | 123 |
Par Value | Value | ||
Industrials—continued | |||
Oscar AcquisitionCo. LLC 144A 9.500%, 4/15/30(3) | $ 105 | $ 83 | |
OT Merger Corp. 144A 7.875%, 10/15/29(3) | 55 | 32 | |
Pentair Finance S.a.r.l. 5.900%, 7/15/32 | 240 | 240 | |
Pike Corp. 144A 5.500%, 9/1/28(3) | 100 | 81 | |
Sempra Global 144A 3.250%, 1/15/32(3) | 297 | 249 | |
SRS Distribution, Inc. 144A 6.125%, 7/1/29(3) | 110 | 87 | |
Titan Acquisition Ltd. 144A 7.750%, 4/15/26(3) | 120 | 110 | |
2,766 | |||
Information Technology—3.4% | |||
Broadcom, Inc. | |||
4.150%, 11/15/30 | 266 | 244 | |
144A 2.450%, 2/15/31(3) | 220 | 177 | |
144A 3.187%, 11/15/36(3) | 14 | 11 | |
CDW LLC 3.569%, 12/1/31 | 349 | 288 | |
Citrix Systems, Inc. 3.300%, 3/1/30 | 420 | 410 | |
Consensus Cloud Solutions, Inc. | |||
144A 6.000%, 10/15/26(3) | 25 | 21 | |
144A 6.500%, 10/15/28(3) | 35 | 29 | |
Dell International LLC 8.100%, 7/15/36 | 228 | 266 | |
Entegris Escrow Corp. 144A 4.750%, 4/15/29(3) | 243 | 226 | |
HP, Inc. 5.500%, 1/15/33 | 300 | 293 | |
Kyndryl Holdings, Inc. 144A 3.150%, 10/15/31(3) | 285 | 211 | |
Leidos, Inc. 2.300%, 2/15/31 | 205 | 163 | |
MicroStrategy, Inc. 144A 6.125%, 6/15/28(3)(5) | 70 | 56 | |
Motorola Solutions, Inc. | |||
4.600%, 2/23/28 | 165 | 159 | |
4.600%, 5/23/29 | 120 | 115 | |
Oracle Corp. 2.875%, 3/25/31 | 170 | 140 | |
Rackspace Technology Global, Inc. 144A 5.375%, 12/1/28(3) | 180 | 118 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(3) | 110 | 103 | |
TD SYNNEX Corp. 144A 2.375%, 8/9/28(3) | 355 | 299 | |
3,329 | |||
Materials—3.0% | |||
Albemarle Corp. 5.050%, 6/1/32 | 270 | 264 | |
ARD Finance S.A. PIK 144A 6.500%, 6/30/27(3)(10) | 235 | 174 | |
Bayport Polymers LLC 144A 5.140%, 4/14/32(3) | 330 | 319 | |
Cleveland-Cliffs, Inc. 144A 6.750%, 3/15/26(3) | 170 | 169 |
Par Value | Value | ||
Materials—continued | |||
Eldorado Gold Corp. 144A 6.250%, 9/1/29(3) | $ 140 | $ 113 | |
Freeport-McMoRan, Inc. 5.450%, 3/15/43 | 225 | 208 | |
INEOS Quattro Finance 2 plc 144A 3.375%, 1/15/26(3) | 230 | 193 | |
International Flavors & Fragrances, Inc. 144A 2.300%, 11/1/30(3) | 290 | 238 | |
Inversiones CMPC S.A. 144A 3.850%, 1/13/30(3) | 350 | 307 | |
New Enterprise Stone & Lime Co., Inc. 144A 9.750%, 7/15/28(3) | 165 | 141 | |
Suzano Austria GmbH 2.500%, 9/15/28 | 115 | 93 | |
Taseko Mines Ltd. 144A 7.000%, 2/15/26(3) | 230 | 196 | |
Teck Resources Ltd. 6.125%, 10/1/35 | 260 | 276 | |
Trident TPI Holdings, Inc. | |||
144A 9.250%, 8/1/24(3) | 115 | 105 | |
144A 6.625%, 11/1/25(3) | 130 | 119 | |
WR Grace Holdings LLC 144A 5.625%, 8/15/29(3) | 55 | 40 | |
2,955 | |||
Real Estate—1.9% | |||
EPR Properties | |||
4.750%, 12/15/26 | 130 | 122 | |
3.600%, 11/15/31 | 150 | 119 | |
GLP Capital LP | |||
5.250%, 6/1/25 | 185 | 181 | |
5.750%, 6/1/28 | 64 | 62 | |
3.250%, 1/15/32 | 24 | 19 | |
Kite Realty Group Trust 4.750%, 9/15/30 | 295 | 275 | |
MPT Operating Partnership LP 4.625%, 8/1/29 | 45 | 39 | |
Office Properties Income Trust 4.500%, 2/1/25 | 385 | 369 | |
Ontario Teachers’ Cadillac Fairview Properties Trust 144A 2.500%, 10/15/31(3) | 200 | 170 | |
Phillips Edison Grocery Center Operating Partnership I LP 2.625%, 11/15/31 | 300 | 232 | |
Service Properties Trust 4.950%, 2/15/27 | 115 | 85 | |
VICI Properties LP | |||
4.950%, 2/15/30 | 65 | 62 | |
5.125%, 5/15/32 | 65 | 61 | |
144A 4.625%, 6/15/25(3) | 25 | 24 | |
144A 5.750%, 2/1/27(3) | 85 | 81 | |
1,901 | |||
Utilities—1.5% | |||
Alliant Energy Finance LLC 144A 3.600%, 3/1/32(3) | 154 | 139 | |
CMS Energy Corp. 4.750%, 6/1/50 | 445 | 390 | |
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25(3) | 220 | 185 | |
Ferrellgas LP | |||
144A 5.375%, 4/1/26(3) | 40 | 35 | |
144A 5.875%, 4/1/29(3) | 40 | 32 |
Par Value | Value | ||
Utilities—continued | |||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 144A 4.125%, 5/15/27(3) | $ 390 | $ 375 | |
Southern Co. (The) Series 21-A 3.750%, 9/15/51 | 307 | 261 | |
Vistra Corp. 144A 8.000% (3)(6) | 80 | 77 | |
1,494 | |||
Total Corporate Bonds and Notes (Identified Cost $43,988) | 37,670 | ||
Leveraged Loans—12.1% | |||
Aerospace—0.7% | |||
Air Canada (3 month LIBOR + 3.500%) 4.250%, 8/11/28(4) | 31 | 28 | |
Amentum Government Services Holdings LLC Tranche B-3 (3 month Term SOFR + 4.000%) 4.777%- 5.597%, 2/15/29(4) | 65 | 62 | |
Brown Group Holding LLC (1 month LIBOR + 2.500%) 3.506%, 6/7/28(4) | 203 | 192 | |
KKR Apple Bidco LLC | |||
(1 month LIBOR + 3.00%) 3.810%, 9/22/28(4) | 134 | 127 | |
Second Lien (1 month LIBOR + 5.750%) 6.810%, 9/21/29(4) | 10 | 10 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 7.313%, 6/21/27(4) | 120 | 118 | |
TransDigm, Inc. | |||
Tranche E (1 month LIBOR + 2.250%) 3.310%, 5/30/25(4) | 72 | 68 | |
Tranche F (1 month LIBOR + 2.250%) 3.310%, 12/9/25(4) | 59 | 56 | |
Tranche G (1 month LIBOR + 2.250%) 3.310%, 8/22/24(4) | 29 | 27 | |
688 | |||
Chemicals—0.4% | |||
Aruba Investments Holdings LLC First Lien (1 month LIBOR + 4.000%) 5.633%, 11/24/27(4) | 94 | 86 | |
Herens Holdco S.a.r.l. Tranche B (3 month LIBOR + 4.000%) 5.006%, 7/3/28(4) | 88 | 79 | |
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 3.060%, 4/1/24(4) | 267 | 258 | |
423 | |||
Consumer Non-Durables—0.4% | |||
DS Parent, Inc. Tranche B (3 month LIBOR + 5.750%) 6.756%, 12/8/28(4) | 112 | 107 | |
Parfums Holding Co., Inc. First Lien (1 month LIBOR + 4.000%) 5.060%, 6/30/24(4) | 222 | 208 | |
ZEP, Inc. First Lien (3 month LIBOR + 4.000%) 5.000%, 8/12/24(4) | 102 | 89 | |
404 | |||
Par Value | Value | ||
Energy—0.8% | |||
Citgo Petroleum Corp. 2019, Tranche B (1 month LIBOR + 6.250%) 7.310%, 3/28/24(4) | $ 92 | $ 91 | |
Hamilton Projects Acquiror LLC (3 month LIBOR + 4.500%) 5.506%, 6/17/27(4) | 111 | 106 | |
Lucid Energy Group II Borrower LLC First Lien (1 month LIBOR + 4.250%) 5.874%, 11/24/28(4) | 105 | 103 | |
Medallion Midland Acquisition LP (1 month LIBOR + 3.750%) 4.810%, 10/18/28(4) | 114 | 109 | |
Oryx Midstream Services Permian Basin LLC Tranche B (3 month LIBOR + 3.250%) 4.705%, 10/5/28(4) | 115 | 109 | |
Paragon Offshore Finance Co. (1 month PRIME + 0.000%) 4.000%, 7/16/21(4)(7)(9) | 1 | —(8) | |
Traverse Midstream Partners LLC (3 month Term SOFR + 4.250%) 5.384% - 5.950%, 9/27/24(4) | 232 | 221 | |
739 | |||
Financials—0.2% | |||
Asurion LLC Tranche B-9 (1 month LIBOR + 3.250%) 4.310%, 7/31/27(4) | 98 | 89 | |
Blackhawk Network Holdings, Inc. First Lien (3 month Term SOFR + 3.000%) 4.060%, 6/15/25(4) | 84 | 79 | |
168 | |||
Food / Tobacco—0.4% | |||
H-Food Holdings LLC (1 month LIBOR + 3.688%) 4.747%, 5/23/25(4) | 136 | 122 | |
Pegasus Bidco B.V. Tranche B-2 (3 month LIBOR + 4.000%) 0.000%, 7/12/29(4)(11) | 75 | 71 | |
Shearer’s Foods LLC First Lien (1 month LIBOR + 3.500%) 4.560%, 9/23/27(4) | 99 | 90 | |
Triton Water Holdings, Inc. First Lien (3 month LIBOR + 3.500%) 4.506%, 3/31/28(4) | 69 | 60 | |
343 | |||
Forest Prod / Containers—0.5% | |||
Anchor Glass Container Corp. 2017 (3 month LIBOR + 2.750%) 3.750% - 3.756%, 12/7/23(4) | 49 | 40 | |
BWay Holding Co. (1 month LIBOR + 3.250%) 4.312%, 4/3/24(4) | 258 | 242 | |
Klockner Pentaplast of America, Inc. Tranche B (3 month LIBOR + 4.750%) 5.554%, 2/12/26(4) | 88 | 74 | |
Spectrum Holdings III Corp. First Lien (1 month LIBOR + 3.250%) 4.250%, 1/31/25(4) | 79 | 72 | |
TricorBraun, Inc. (1 month LIBOR + 3.250%) 4.310%, 3/3/28(4) | 85 | 79 | |
507 | |||
Gaming / Leisure—1.1% | |||
Caesars Resort Collection LLC Tranche B (1 month LIBOR + 2.750%) 3.810%, 12/23/24(4) | 227 | 218 |
Par Value | Value | ||
Gaming / Leisure—continued | |||
Carnival Corp. Tranche B (3 month LIBOR + 3.000%) 3.750%, 6/30/25(4) | $ 39 | $ 36 | |
ECL Entertainment LLC Tranche B (3 month LIBOR + 7.500%) 8.560%, 5/1/28(4) | 85 | 83 | |
J&J Ventures Gaming LLC (1 month LIBOR + 4.000%) 5.060%, 4/26/28(4) | 79 | 75 | |
Playa Resorts Holding B.V. (1 month LIBOR + 2.750%) 3.810%, 4/29/24(4) | 271 | 255 | |
Pug LLC Tranche B (1 month LIBOR + 3.500%) 4.560%, 2/12/27(4) | 185 | 167 | |
Raptor Acquisition Corp. Tranche B (1 month LIBOR + 4.000%) 6.096%, 11/1/26(4) | 35 | 33 | |
Scientific Games Holdings LP Tranche B-2 (1 month Term SOFR + 3.500%) 4.175%, 4/4/29(4) | 25 | 23 | |
UFC Holdings LLC Tranche B-3 (3 month LIBOR + 2.750%) 3.500%, 4/29/26(4) | 155 | 144 | |
1,034 | |||
Health Care—1.7% | |||
ASP Navigate Acquisition Corp. (3 month LIBOR + 4.500%) 5.902%, 10/6/27(4) | 69 | 65 | |
AthenaHealth Group, Inc. (1 month Term SOFR + 3.500%) 5.009%, 2/15/29(4) | 71 | 64 | |
CHG Healthcare Services, Inc. First Lien (3 month LIBOR + 3.250%) 4.256%- 4.750%, 9/29/28(4) | 105 | 99 | |
Gainwell Acquisition Corp. Tranche B (3 month LIBOR + 4.000%) 5.006%, 10/1/27(4) | 103 | 97 | |
Heartland Dental LLC 2021 (1 month LIBOR + 4.000%) 5.642%, 4/30/25(4) | 158 | 148 | |
Hunter Holdco 3 Ltd. First Lien (3 month LIBOR + 4.250%) 5.256%, 8/19/28(4) | 66 | 63 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.810%, 11/16/25(4) | 170 | 158 | |
One Call Corp. Tranche B, First Lien (3 month LIBOR + 5.500%) 6.688%, 4/22/27(4) | 93 | 74 | |
Packaging Coordinators Midco, Inc. Tranche B, First Lien (3 month LIBOR + 3.750%) 4.756%, 11/30/27(4) | 119 | 112 | |
Pearl Intermediate Parent LLC First Lien (1 month LIBOR + 2.750%) 3.810%, 2/14/25(4) | 123 | 114 | |
Phoenix Guarantor, Inc. Tranche B-1 (1 month LIBOR + 3.250%) 4.310%, 3/5/26(4) | 185 | 173 | |
Phoenix Newco, Inc. First Lien (1 month LIBOR + 3.250%) 4.310%, 11/15/28(4) | 50 | 47 | |
Precision Medicine Group LLC (3 month LIBOR + 3.000%) 4.006% - 4.200%, 11/18/27(4) | 164 | 151 | |
Sunshine Luxembourg VII S.a.r.l. Tranche B-3 (3 month LIBOR + 3.750%) 4.756%, 10/1/26(4) | 59 | 55 | |
Surgery Center Holdings, Inc. 2021 (1 month LIBOR + 3.750%) 4.950%, 8/31/26(4) | 109 | 101 | |
Upstream Newco, Inc. 2021 (1 month Term SOFR + 4.250%) 5.399%, 11/20/26(4) | 58 | 53 |
Par Value | Value | ||
Health Care—continued | |||
Viant Medical Holdings, Inc. First Lien (1 month LIBOR + 3.750%) 4.810%, 7/2/25(4) | $ 120 | $ 110 | |
1,684 | |||
Housing—0.2% | |||
Chariot Buyer LLC (1 month LIBOR + 3.500%) 4.506%, 11/3/28(4) | 104 | 94 | |
Quikrete Holdings, Inc. Tranche B-1 (1 month LIBOR + 3.000%) 4.060%, 6/9/28(4) | 125 | 117 | |
SRS Distribution, Inc. 2022 (3 month Term SOFR + 3.600%) 4.000%, 6/2/28(4) | 15 | 14 | |
225 | |||
Information Technology—1.9% | |||
Applied Systems, Inc. Second Lien (3 month LIBOR + 5.500%) 6.506%, 9/19/25(4) | 129 | 123 | |
BMC Software 2021 (1 month LIBOR + 3.750%) 4.810%, 10/2/25(4) | 105 | 98 | |
BMC Software, Inc. Second Lien (1 month LIBOR + 5.500%) 6.560%, 2/27/26(4) | 25 | 23 | |
CDK Global, Inc. (3 month LIBOR + 4.000%) 0.000%, 7/6/29(4)(11) | 45 | 42 | |
ConnectWise LLC (3 month LIBOR + 3.500%) 4.560%, 9/29/28(4) | 194 | 177 | |
Epicor Software Corp. Tranche C (1 month LIBOR + 3.250%) 4.310%, 7/30/27(4) | 226 | 213 | |
Greeneden U.S. Holdings II LLC Tranche B-4 (1 month LIBOR + 4.000%) 5.060%, 12/1/27(4) | 104 | 99 | |
Hyland Software, Inc. 2018 (1 month LIBOR + 3.500%) 4.560%, 7/1/24(4) | 226 | 218 | |
Infinite Bidco LLC First Lien (3 month LIBOR + 3.250%) 4.310%, 3/2/28(4) | 84 | 78 | |
Magenta Buyer LLC First Lien (3 month LIBOR + 5.000%) 5.980%, 7/27/28(4) | 75 | 67 | |
Project Ruby Ultimate Parent Corp. First Lien (1 month LIBOR + 3.250%) 4.310%, 3/10/28(4) | 148 | 139 | |
Proofpoint, Inc. (3 month LIBOR + 3.250%) 4.825%, 8/31/28(4) | 119 | 111 | |
Quest Software U.S. Holdings, Inc. First Lien (3 month Term SOFR + 4.400%) 5.474%, 2/1/29(4) | 75 | 66 | |
RealPage, Inc. First Lien (1 month LIBOR + 3.000%) 4.060%, 4/24/28(4) | 104 | 96 | |
Sophia LP | |||
2022, Tranche B (1 month Term SOFR + 4.250%) 5.284%, 10/7/27(4) | 35 | 34 | |
Tranche B (3 month LIBOR + 3.250%) 4.256%, 10/7/27(4) | 103 | 96 | |
UKG, Inc. | |||
2021, Second Lien (3 month LIBOR + 5.250%) 6.212%, 5/3/27(4) | 5 | 5 | |
2021-2, First Lien (3 month LIBOR + 3.250%) 4.212%, 5/4/26(4) | 154 | 144 | |
1,829 | |||
Par Value | Value | ||
Manufacturing—0.6% | |||
Alliance Laundry Systems LLC Tranche B (1 month LIBOR + 3.500%) 4.521% - 4.755%, 10/8/27(4) | $ 86 | $ 81 | |
Arcline FM Holdings LLC | |||
First Lien (1 month LIBOR + 4.750%) 5.500%, 6/23/28(4) | 94 | 88 | |
Second Lien (1 month LIBOR + 8.250%) 9.000%, 6/25/29(4) | 45 | 42 | |
Backyard Acquireco, Inc. (1 month LIBOR + 3.750%) 4.756%, 11/2/27(4) | 113 | 111 | |
Filtration Group Corp. (1 month LIBOR + 3.000%) 4.060%, 3/31/25(4) | 104 | 99 | |
Safe Fleet Holdings LLC 2022 (3 month Term SOFR + 3.750%) 4.773%, 2/23/29(4) | 35 | 32 | |
Star U.S. Bidco LLC (1 month LIBOR + 4.250%) 5.310%, 3/17/27(4) | 142 | 135 | |
588 | |||
Media / Telecom - Cable/Wireless Video—0.1% | |||
DIRECTV Financing LLC (1 month LIBOR + 5.000%) 6.060%, 8/2/27(4) | 101 | 93 | |
Media / Telecom - Diversified Media—0.3% | |||
Cinemark USA, Inc. (1 month LIBOR + 1.750%) 2.810%- 2.990%, 3/31/25(4) | 119 | 111 | |
Dotdash Meredith, Inc. Tranche B (1 month Term SOFR + 4.000%) 5.145%, 12/1/28(4) | — (8) | —(8) | |
McGraw-Hill Education, Inc. (3 month LIBOR + 4.750%) 5.554%- 5.810%, 7/28/28(4) | 91 | 83 | |
William Morris Endeavor Entertainment LLC Tranche B-1 (1 month LIBOR + 2.750%) 3.810%, 5/18/25(4) | 114 | 107 | |
301 | |||
Media / Telecom - Telecommunications—0.0% | |||
Consolidated Communications, Inc. Tranche B-1 (1 month LIBOR + 3.500%) 4.563%, 10/2/27(4) | 53 | 47 | |
Metals / Minerals—0.2% | |||
Covia Holdings Corp. (3 month LIBOR + 4.000%) 5.000%, 7/31/26(4) | 115 | 108 | |
Peabody Energy Corp. Tranche B (1 month LIBOR + 2.750%) 3.773%, 3/31/25(4) | 110 | 101 | |
209 | |||
Retail—0.5% | |||
CNT Holdings I Corp. First Lien (1 month LIBOR + 3.500%) 4.690%, 11/8/27(4) | 84 | 79 | |
Great Outdoors Group LLC Tranche B-2 (1 month LIBOR + 3.750%) 4.810%, 3/6/28(4) | 83 | 76 | |
Harbor Freight Tools USA, Inc. 2021 (1 month LIBOR + 2.750%) 3.810%, 10/19/27(4) | 108 | 95 | |
Michaels Cos., Inc. (The) Tranche B (3 month LIBOR + 4.250%) 5.256%, 4/15/28(4) | 114 | 93 | |
PetsMart LLC (3 month LIBOR + 3.750%) 4.500%, 2/11/28(4) | 84 | 79 |
Par Value | Value | ||
Retail—continued | |||
Rising Tide Holdings, Inc. First Lien (1 month LIBOR + 4.750%) 5.810%, 6/1/28(4) | $ 59 | $ 52 | |
474 | |||
Service—1.4% | |||
Apex Group Treasury Ltd. First Lien (3 month LIBOR + 3.750%) 4.756%, 7/27/28(4) | 79 | 75 | |
Carlisle Foodservice Products, Inc. First Lien (1 month LIBOR + 3.000%) 4.060%, 3/20/25(4) | 178 | 154 | |
DG Investment Intermediate Holdings 2, Inc. First Lien (1 month LIBOR + 3.750%) 4.810%, 3/31/28(4) | 84 | 78 | |
Dun & Bradstreet Corp. (The) | |||
2022, Tranche B-2 (1 month Term SOFR + 3.250%) 4.747%, 1/18/29(4) | 10 | 9 | |
Tranche B (1 month LIBOR + 3.250%) 4.874%, 2/6/26(4) | 105 | 99 | |
DXP Enterprises, Inc. (1 month LIBOR + 4.750%) 5.810%, 12/23/27(4) | 98 | 95 | |
Garda World Security Corp. Tranche B-2 (1 month LIBOR + 4.250%) 5.900%, 10/30/26(4) | 40 | 37 | |
Grab Holdings, Inc. (3 month LIBOR + 4.500%) 5.500%, 1/29/26(4) | 98 | 89 | |
Hertz Corp. (The) | |||
Tranche B (1 month LIBOR + 3.250%) 4.310%, 6/30/28(4) | 107 | 100 | |
Tranche C (1 month LIBOR + 3.250%) 4.310%, 6/30/28(4) | 20 | 19 | |
NAB Holdings LLC First Lien (3 month Term SOFR + 3.150%) 3.801%, 11/23/28(4) | 75 | 70 | |
Peraton Corp. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.810%, 2/1/28(4) | 182 | 170 | |
PODS LLC (1 month LIBOR + 3.000%) 4.060%, 3/31/28(4) | 83 | 77 | |
Sedgwick Claims Management Services, Inc. 2019 (1 month LIBOR + 3.750%) 4.810%, 9/3/26(4) | 89 | 85 | |
St. George’s University Scholastic Services LLC (1 month LIBOR + 3.250%) 4.310%, 2/10/29(4) | 104 | 97 | |
Weld North Education LLC 2021 (1 month LIBOR + 3.750%) 4.810%, 12/21/27(4) | 102 | 97 | |
1,351 | |||
Transportation - Automotive—0.4% | |||
Cooper-Standard Automotive, Inc. Tranche B-1 (1 month LIBOR + 2.000%) 3.060%, 11/2/23(4) | 224 | 195 | |
DexKo Global, Inc. | |||
(3 month LIBOR + 3.750%) 4.756%, 10/4/28(4) | 5 | 5 | |
First Lien (3 month LIBOR + 3.750%) 4.756%, 10/4/28(4) | 25 | 23 | |
Mavis Tire Express Services Topco Corp. First Lien (1 month Term SOFR + 4.000%) 5.625%, 5/4/28(4) | 112 | 103 |
Par Value | Value | ||
Transportation - Automotive—continued | |||
PAI Holdco, Inc. Tranche B (3 month LIBOR + 3.750%) 4.739%, 10/28/27(4) | $ 49 | $ 46 | |
372 | |||
Utilities—0.3% | |||
Brookfield WEC Holdings, Inc. (1 month LIBOR + 2.750%) 3.810%, 8/1/25(4) | 102 | 97 | |
Generation Bridge II LLC | |||
Tranche B (3 month LIBOR + 5.000%) 6.006%, 2/23/29(4) | 40 | 39 | |
Tranche C (3 month LIBOR + 5.000%) 6.006%, 2/23/29(4) | 5 | 5 | |
Lightstone Holdco LLC | |||
Tranche B (3 month Term SOFR + 5.750%) 7.024%, 2/1/27(4) | 196 | 175 | |
Tranche C (3 month Term SOFR + 5.750%) 4.989%, 2/1/27(4) | 11 | 10 | |
326 | |||
Total Leveraged Loans (Identified Cost $12,541) | 11,805 | ||
Shares | ||
Preferred Stocks—1.1% | ||
Financials—0.7% | ||
Capital Farm Credit ACA Series 1 144A, 5.000%(3) | 250 (12) | 224 |
JPMorgan Chase & Co. Series HH, 4.600% | 103 (12) | 87 |
MetLife, Inc. Series D, 5.875% | 173 (12) | 161 |
Truist Financial Corp. Series Q, 5.100% | 270 (12) | 244 |
716 | ||
Industrials—0.4% | ||
General Electric Co. Series D, (3 month LIBOR + 3.330%), 5.159%(4) | 397 (12) | 348 |
Total Preferred Stocks (Identified Cost $1,159) | 1,064 | |
Common Stocks—0.2% | ||
Consumer Discretionary—0.0% | ||
Mark IV Industries(7)(13) | 828 | 3 |
NMG Parent LLC(13) | 271 | 47 |
50 | ||
Energy—0.2% | ||
Frontera Energy Corp.(13) | 2,618 | 21 |
QuarterNorth Energy Holding, Inc.(13) | 1,181 | 140 |
161 | ||
Total Common Stocks (Identified Cost $203) | 211 | |
Shares | Value | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(7)(13) | 7,753 | $ 10 | |
Total Rights (Identified Cost $7) | 10 | ||
Total Long-Term Investments—97.4% (Identified Cost $106,443) | 95,290 | ||
Short-Term Investment—0.6% | |||
Money Market Mutual Fund—0.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.351%)(14) | 528,107 | 528 | |
Total Short-Term Investment (Identified Cost $528) | 528 | ||
Securities Lending Collateral—0.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.351%)(14)(15) | 515,470 | 515 | |
Total Securities Lending Collateral (Identified Cost $515) | 515 | ||
TOTAL INVESTMENTS—98.5% (Identified Cost $107,486) | $96,333 | ||
Other assets and liabilities, net—1.5% | 1,498 | ||
NET ASSETS—100.0% | $97,831 |
Abbreviations: | |
ABS | Asset-Backed Securities |
ACA | American Capital Access Financial Guarantee Corp. |
BAM | Build America Municipal Insured |
LIBOR | London Interbank Offered Rate |
LLC | Limited Liability Company |
LLLP | Limited Liability Limited Partnership |
LP | Limited Partnership |
NA | National Association |
PIK | Payment-in-Kind Security |
SOFR | Secured Overnight Financing Rate |
Footnote Legend: | |
(1) | Security in default; no interest payments are being received. |
(2) | Regulation S security. Security is offered and sold outside of the United States; therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933. |
(3) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, these securities amounted to a value of $49,855 or 51.0% of net assets. |
(4) | Variable rate security. Rate disclosed is as of June 30, 2022. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | All or a portion of security is on loan. |
(6) | No contractual maturity date. |
(7) | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the Fair Value Hierarchy table located after the Schedule of Investments. |
(8) | Amount is less than $500. |
(9) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(10) | 100% of the income received was in cash. |
(11) | This loan will settle after June 30, 2022, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
(12) | Value shown as par value. |
(13) | Non-income producing. |
(14) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
(15) | Represents security purchased with cash collateral received for securities on loan. |
Country Weightings† | |
United States | 86% |
Canada | 2 |
Mexico | 2 |
Indonesia | 1 |
Netherlands | 1 |
Chile | 1 |
Luxembourg | 1 |
Other | 6 |
Total | 100% |
† % of total investments as of June 30, 2022. |
Borrower | Par Value | Commitment | Value | Unrealized Appreciation (Depreciation) | ||||
AthenaHealth Group, Inc., (3 month LIBOR + 3.500%) 4.977%, 2/15/29 | $12 | $12 | $11 | $ (1) | ||||
Precision Medicine Group LLC, (3 month LIBOR + 3.000%) 4.595%, 11/18/27 | 8 | 8 | 8 | — (1) | ||||
Total | $20 | $20 | $19 | $ (1) |
(1) | Amount is less than $500. |
Total Value at June 30, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $13,152 | $ — | $13,152 | $— | |||
Corporate Bonds and Notes | 37,670 | — | 37,663 | 7 | |||
Foreign Government Securities | 3,395 | — | 3,395 | — | |||
Leveraged Loans | 11,805 | — | 11,805 | — (1) | |||
Mortgage-Backed Securities | 15,775 | — | 15,775 | — | |||
Municipal Bonds | 1,050 | — | 1,050 | — | |||
U.S. Government Securities | 11,158 | — | 11,158 | — | |||
Equity Securities: | |||||||
Preferred Stocks | 1,064 | — | 1,064 | — | |||
Common Stocks | 211 | 21 | 187 | 3 | |||
Rights | 10 | — | — | 10 | |||
Securities Lending Collateral | 515 | 515 | — | — | |||
Money Market Mutual Fund | 528 | 528 | — | — | |||
Total Investments | $96,333 | $1,064 | $95,249 | $20 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
Total | Corporate Bonds And Notes | Leveraged Loans | Common Stocks | Mortgaged-Backed Securities | Rights | ||||||
Investments in Securities | |||||||||||
Balance as of December 31, 2021: | $ 600 | $ — (a)(b) | $ —(a)(b) | $ 3 | $ 587 | $ 10 | |||||
Accrued discount/(premium) | — (b) | — (b) | — (b) | — | — (b) | — | |||||
Net realized gain (loss) | — (b) | — (b) | — | — | — (b) | — | |||||
Net change in unrealized appreciation (depreciation)(c) | (25) | — (b) | — (b) | — (b) | (25) | — (b) | |||||
Sales (d) | (142) | — (b) | — | — | (142) | — | |||||
Transfers into Level 3(e) | 7 | 7 | — | — | — | — | |||||
Transfers from Level 3(e) | (420) | — | — | — | (420) | — | |||||
Balance as of June 30, 2022 | $ 20 | $ 7 | $ — (a) | $ 3 | $ — | $ 10 |
Shares | Value | ||
Preferred Stock—1.9% | |||
Health Care—1.9% | |||
Sartorius AG, 0.340% (Germany) | 6,869 | $ 2,400 | |
Total Preferred Stock (Identified Cost $2,907) | 2,400 | ||
Common Stocks—95.3% | |||
Consumer Discretionary—10.4% | |||
adidas AG (Germany) | 23,176 | 4,099 | |
MercadoLibre, Inc. (Argentina)(1) | 4,865 | 3,098 | |
Yum China Holdings, Inc. (China) | 116,141 | 5,666 | |
12,863 | |||
Consumer Staples—21.8% | |||
CP ALL PCL (Thailand) | 1,797,447 | 3,050 | |
Diageo plc (United Kingdom) | 100,237 | 4,308 | |
Fomento Economico Mexicano SAB de C.V. Sponsored ADR (Mexico) | 51,901 | 3,503 | |
Heineken N.V. (Netherlands) | 45,057 | 4,108 | |
L’Oreal S.A. (France) | 12,934 | 4,463 | |
Nestle S.A. Registered Shares (Switzerland) | 32,942 | 3,846 | |
Wal-Mart de Mexico SAB de C.V. (Mexico) | 1,116,859 | 3,843 | |
27,121 | |||
Financials—17.2% | |||
AIA Group Ltd. (Hong Kong) | 633,271 | 6,864 | |
Aon plc Class A (United Kingdom) | 23,370 | 6,302 | |
HDFC Bank Ltd. ADR (India) | 101,339 | 5,570 | |
XP, Inc. Class A (Brazil)(1) | 145,518 | 2,613 | |
21,349 | |||
Health Care—23.2% | |||
Alcon, Inc. (Switzerland)(2) | 63,000 | 4,403 | |
ICON plc ADR (Ireland)(1) | 20,026 | 4,340 | |
Novo Nordisk A.S. Sponsored ADR (Denmark) | 51,396 | 5,727 | |
Shandong Weigao Group Medical Polymer Co., Ltd. Class H (China) | 5,435,511 | 6,317 | |
STERIS plc (United States) | 26,377 | 5,438 | |
Sysmex Corp. (Japan) | 42,196 | 2,539 | |
28,764 | |||
Industrials—3.0% | |||
Recruit Holdings Co., Ltd. (Japan) | 125,626 | 3,699 | |
Information Technology—13.9% | |||
Adyen N.V. (Netherlands)(1) | 2,478 | 3,604 | |
Dassault Systemes SE (France) | 97,198 | 3,577 | |
Infosys Ltd. Sponsored ADR (India) | 192,465 | 3,563 | |
SAP SE Sponsored ADR (Germany) | 26,078 | 2,366 | |
Temenos AG Registered Shares (Switzerland) | 48,400 | 4,138 | |
17,248 | |||
Materials—5.8% | |||
Linde plc (United Kingdom) | 16,513 | 4,748 |
Shares | Value | ||
Materials—continued | |||
Sika AG Registered Shares (Switzerland) | 10,526 | $ 2,426 | |
7,174 | |||
Total Common Stocks (Identified Cost $119,406) | 118,218 | ||
Total Long-Term Investments—97.2% (Identified Cost $122,313) | 120,618 | ||
Short-Term Investment—2.6% | |||
Money Market Mutual Fund—2.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.351%)(3) | 3,191,151 | 3,191 | |
Total Short-Term Investment (Identified Cost $3,191) | 3,191 | ||
Securities Lending Collateral—3.5% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.351%)(3)(4) | 4,368,105 | 4,368 | |
Total Securities Lending Collateral (Identified Cost $4,368) | 4,368 | ||
TOTAL INVESTMENTS—103.3% (Identified Cost $129,872) | $128,177 | ||
Other assets and liabilities, net—(3.3)% | (4,077) | ||
NET ASSETS—100.0% | $124,100 |
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† | |
United Kingdom | 12% |
Switzerland | 12 |
United States | 10 |
China | 9 |
India | 7 |
Germany | 7 |
France | 6 |
Other | 37 |
Total | 100% |
† % of total investments as of June 30, 2022. |
Total Value at June 30, 2022 | Level 1 Quoted Prices | ||
Assets: | |||
Equity Securities: | |||
Common Stocks | $118,218 | $118,218 | |
Preferred Stock | 2,400 | 2,400 | |
Securities Lending Collateral | 4,368 | 4,368 | |
Money Market Mutual Fund | 3,191 | 3,191 | |
Total Investments | $128,177 | $128,177 |
Par Value | Value | ||
U.S. Government Securities—4.8% | |||
U.S. Treasury Bonds | |||
2.375%, 2/15/42 | $ 305 | $ 259 | |
2.500%, 2/15/46 | 1,374 | 1,165 | |
3.000%, 8/15/48 | 485 | 458 | |
1.250%, 5/15/50 | 145 | 92 | |
1.375%, 8/15/50 | 595 | 392 | |
1.875%, 2/15/51 | 715 | 536 | |
2.000%, 8/15/51 | 50 | 39 | |
2.250%, 2/15/52 | 50 | 41 | |
U.S. Treasury Notes | |||
2.500%, 4/30/24 | 100 | 99 | |
0.375%, 7/31/27 | 100 | 88 | |
1.250%, 8/15/31 | 50 | 43 | |
Total U.S. Government Securities (Identified Cost $3,670) | 3,212 | ||
Municipal Bonds—2.3% | |||
California—0.6% | |||
San Diego County Regional Airport Authority Rental Car Center Project Series B - Taxable 5.594%, 7/1/43 | 275 | 286 | |
Santa Clara Valley Water District Series B, Taxable 2.967%, 6/1/50 | 65 | 47 | |
University of California, Series B-A, Taxable 4.428%, 5/15/48 | 75 | 72 | |
405 | |||
Florida—0.3% | |||
Broward County, Water & Sewer Utility Revenue Series A 4.000%, 10/1/47 | 175 | 172 | |
Idaho—0.1% | |||
Idaho Health Facilities Authority St. Luke’s Health System Revenue Taxable 5.020%, 3/1/48 | 90 | 88 | |
Illinois—0.0% | |||
Sales Tax Securitization Corp. Series B, Second Lien, Taxable (BAM Insured) 3.411%, 1/1/43 | 10 | 9 | |
New York—0.6% | |||
Metropolitan Transportation Authority Revenue Taxable Series A 5.000%, 11/15/45 | 210 | 228 | |
New York State Environmental Facilities Corp. Revenue Taxable 5.000%, 6/15/51 | 175 | 196 | |
424 | |||
Texas—0.2% | |||
City of San Antonio, General Obligation Taxable 1.963%, 2/1/33 | 70 | 58 | |
State of Texas, General Obligation Taxable 3.211%, 4/1/44 | 25 | 21 | |
Texas Public Finance Authority Revenue Taxable 2.140%, 2/1/35 | 55 | 43 |
Par Value | Value | ||
Texas—continued | |||
Texas Transportation Commission State Highway Fund Revenue Taxable 4.000%, 10/1/33 | $ 25 | $ 25 | |
147 | |||
Virginia—0.5% | |||
City of Bristol, General Obligation Taxable (State AID Withholding Insured) 4.210%, 1/1/42 | 135 | 128 | |
Tobacco Settlement Financing Corp. Revenue Taxable Series A-1, Taxable 6.706%, 6/1/46 | 180 | 167 | |
295 | |||
Total Municipal Bonds (Identified Cost $1,648) | 1,540 | ||
Foreign Government Securities—0.1% | |||
Bolivarian Republic of Venezuela 9.375%, 1/13/34(1) | 65 | 5 | |
United Mexican States 4.750%, 3/8/44 | 54 | 45 | |
Total Foreign Government Securities (Identified Cost $106) | 50 | ||
Mortgage-Backed Securities—7.1% | |||
Agency—0.1% | |||
Federal National Mortgage Association | |||
Pool #254007 6.500%, 10/1/31 | 1 | 1 | |
Pool #835144 5.000%, 10/1/35 | 9 | 10 | |
Pool #882224 6.000%, 9/1/36 | 1 | 1 | |
Pool #914724 5.500%, 4/1/37 | 2 | 2 | |
Pool #940524 5.500%, 7/1/37 | 6 | 6 | |
Pool #949301 6.000%, 10/1/37 | 2 | 2 | |
Pool #975097 5.000%, 6/1/38 | 6 | 6 | |
Pool #929637 5.500%, 6/1/38 | 1 | 1 | |
Pool #986012 5.500%, 6/1/38 | 2 | 2 | |
Pool #994383 5.500%, 11/1/38 | 5 | 5 | |
Pool #991124 5.000%, 1/1/39 | 2 | 2 | |
Pool #994322 6.000%, 1/1/39 | 2 | 2 | |
Pool #AA4418 4.500%, 3/1/39 | 3 | 4 | |
Pool #AA4434 5.000%, 3/1/39 | 3 | 3 | |
Pool #AA4436 6.000%, 3/1/39 | 4 | 4 |
Par Value | Value | ||
Agency—continued | |||
Government National Mortgage Association | |||
Pool #351336 6.500%, 12/15/23 | $ — (2) | $ — (2) | |
Pool #385198 6.500%, 2/15/24 | 3 | 3 | |
Pool #563381 6.500%, 11/15/31 | 8 | 9 | |
63 | |||
Non-Agency—7.0% | |||
Ajax Mortgage Loan Trust 2019-D, A1 144A 2.956%, 9/25/65(3)(4) | 46 | 43 | |
American Homes 4 Rent Trust | |||
2015-SFR1, A 144A 3.467%, 4/17/52(3) | 95 | 93 | |
2015-SFR2, C 144A 4.691%, 10/17/52(3) | 110 | 109 | |
AMSR Trust | |||
2020-SFR1, B 144A 2.120%, 4/17/37(3) | 100 | 95 | |
2020-SFR2, D 144A 3.282%, 7/17/37(3) | 100 | 94 | |
Angel Oak Mortgage Trust 2021-8, A1 144A 1.820%, 11/25/66(3)(4) | 90 | 81 | |
Arroyo Mortgage Trust | |||
2019-1, A1 144A 3.805%, 1/25/49(3)(4) | 30 | 29 | |
2019-2, A1 144A 3.347%, 4/25/49(3)(4) | 26 | 25 | |
BX Trust | |||
2018-GW, B (1 month LIBOR + 1.020%, Cap N/A, Floor 1.020%) 144A 2.344%, 5/15/35(3)(4) | 125 | 121 | |
2019-OC11, D 144A 4.075%, 12/9/41(3)(4) | 80 | 70 | |
CF Hippolyta Issuer LLC 2020-1, A1 144A 1.690%, 7/15/60(3) | 92 | 83 | |
Citigroup Commercial Mortgage Trust 2015-GC27, A4 2.878%, 2/10/48 | 66 | 64 | |
COLT Trust 2020-RPL1, A1 144A 1.390%, 1/25/65(3)(4) | 72 | 65 | |
COMM Mortgage Trust 2020-CBM, B 144A 3.099%, 2/10/37(3) | 70 | 66 | |
CoreVest American Finance Trust 2020-1, A1 144A 1.832%, 3/15/50(3) | 51 | 48 | |
Credit Suisse Mortgage Capital Certificates 2019-ICE4, A (1 month LIBOR + 0.980%, Cap N/A, Floor 0.980%) 144A 2.304%, 5/15/36(3)(4) | 100 | 98 | |
Credit Suisse Mortgage Capital Trust | |||
2020-RPL4, A1 144A 2.000%, 1/25/60(3)(4) | 59 | 56 | |
2021-NQM1, A1 144A 0.809%, 5/25/65(3)(4) | 46 | 45 | |
Dominion Mortgage Trust 2021-RTL1, A1 144A 2.487%, 7/25/27(3)(4) | 100 | 94 | |
FirstKey Homes Trust | |||
2020-SFR2, B 144A 1.567%, 10/19/37(3) | 115 | 105 | |
2021-SFR1, D 144A 2.189%, 8/17/38(3) | 75 | 66 | |
Galton Funding Mortgage Trust 2017-1, A21 144A 3.500%, 7/25/56(3)(4) | 5 | 4 |
Par Value | Value | ||
Non-Agency—continued | |||
GCAT Trust 2020-NQM1, A1 144A 2.247%, 1/25/60(3)(4) | $ 13 | $ 12 | |
GS Mortgage Securities Trust 2020-GC45, AS 3.173%, 2/13/53(4) | 80 | 72 | |
GS Mortgage-Backed Securities Trust 2020-NQM1, A3 144A 2.352%, 9/27/60(3)(4) | 28 | 27 | |
Home Partners of America Trust 2020-2, A 144A 1.532%, 1/17/41(3) | 81 | 70 | |
JPMorgan Chase Mortgage Trust | |||
2014-2, 2A2 144A 3.500%, 6/25/29(3)(4) | 24 | 23 | |
2016-SH1, M2 144A 3.750%, 4/25/45(3)(4) | 27 | 25 | |
2016-SH2, M2 144A 3.750%, 12/25/45(3)(4) | 33 | 31 | |
2017-5, A1 144A 3.053%, 10/26/48(3)(4) | 35 | 35 | |
Mello Warehouse Securitization Trust 2021-2, C (1 month LIBOR + 1.100%, Cap N/A, Floor 1.100%) 144A 2.724%, 4/25/55(3)(4) | 25 | 25 | |
MetLife Securitization Trust 2017-1A, M1 144A 3.432%, 4/25/55(3)(4) | 100 | 93 | |
Mill City Mortgage Loan Trust 2019-1, M2 144A 3.500%, 10/25/69(3)(4) | 100 | 90 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22, AS 3.561%, 4/15/48 | 225 | 217 | |
New Residential Mortgage Loan Trust | |||
2014-1A, A 144A 3.750%, 1/25/54(3)(4) | 25 | 25 | |
2015-2A, A1 144A 3.750%, 8/25/55(3)(4) | 44 | 42 | |
2016-1A, A1 144A 3.750%, 3/25/56(3)(4) | 18 | 18 | |
2016-3A, A1 144A 3.750%, 9/25/56(3)(4) | 23 | 23 | |
2016-3A, B1 144A 4.000%, 9/25/56(3)(4) | 85 | 81 | |
2016-4A, A1 144A 3.750%, 11/25/56(3)(4) | 67 | 65 | |
2016-4A, B1A 144A 4.500%, 11/25/56(3)(4) | 78 | 76 | |
2021-NQ2R, A1 144A 0.941%, 10/25/58(3)(4) | 44 | 43 | |
2020-1A, A1B 144A 3.500%, 10/25/59(3)(4) | 52 | 50 | |
2016-2A, A1 144A 3.750%, 11/26/35(3)(4) | 53 | 51 | |
NLT Trust 2021-INV2, A1 144A 1.162%, 8/25/56(3)(4) | 88 | 79 | |
OBX Trust | |||
2019-INV1, A3 144A 4.500%, 11/25/48(3)(4) | 11 | 11 | |
2021-NQM3, A1 144A 1.054%, 7/25/61(3)(4) | 39 | 34 | |
Preston Ridge Partners Mortgage LLC | |||
2020-6, A1 144A 2.363%, 11/25/25(3)(4) | 61 | 58 | |
2021-2, A1 144A 2.115%, 3/25/26(3)(4) | 72 | 68 | |
2021-3, A1 144A 1.867%, 4/25/26(3)(4) | 79 | 74 |
Par Value | Value | ||
Non-Agency—continued | |||
Progress Residential Trust 2021-SFR3, D 144A 2.288%, 5/17/26(3) | $ 100 | $ 88 | |
Provident Funding Mortgage Trust 2019-1, A2 144A 3.000%, 12/25/49(3)(4) | 21 | 19 | |
RCKT Mortgage Trust 2020-1, A1 144A 3.000%, 2/25/50(3)(4) | 24 | 22 | |
Residential Mortgage Loan Trust 2019-2, A1 144A 2.913%, 5/25/59(3)(4) | 9 | 9 | |
Roc Mortgage Trust 2021-RTL1, A1 144A 2.487%, 8/25/26(3)(4) | 100 | 94 | |
SG Residential Mortgage Trust | |||
2019-3, A1 144A 2.703%, 9/25/59(3)(4) | 13 | 13 | |
2021-1, A3 144A 1.560%, 7/25/61(3)(4) | 36 | 32 | |
Towd Point Mortgage Trust | |||
2016-3, M1 144A 3.500%, 4/25/56(3)(4) | 145 | 143 | |
2017-4, A2 144A 3.000%, 6/25/57(3)(4) | 100 | 94 | |
2018-6, A1A 144A 3.750%, 3/25/58(3)(4) | 82 | 81 | |
2018-6, A2 144A 3.750%, 3/25/58(3)(4) | 110 | 105 | |
2019-4, A2 144A 3.250%, 10/25/59(3)(4) | 100 | 91 | |
2020-MH1, A2 144A 2.500%, 2/25/60(3)(4) | 100 | 90 | |
2021-1, A2 144A 2.750%, 11/25/61(3)(4) | 100 | 86 | |
Tricon American Homes Trust 2019-SFR1, C 144A 3.149%, 3/17/38(3) | 100 | 95 | |
Tricon Residential Trust 2021-SFR1, B 144A 2.244%, 7/17/38(3) | 100 | 90 | |
TVC Mortgage Trust 2020-RTL1, A1 144A 3.474%, 9/25/24(3) | 56 | 56 | |
VCAT LLC | |||
2021-NPL2, A1 144A 2.115%, 3/27/51(3)(4) | 64 | 61 | |
2021-NPL3, A1 144A 1.743%, 5/25/51(3)(4) | 71 | 66 | |
Vericrest Opportunity Loan Trust XCII LLC 2021-NPL1, A1 144A 1.893%, 2/27/51(3)(4) | 79 | 75 | |
Visio Trust | |||
2019-2, A1 144A 2.722%, 11/25/54(3)(4) | 90 | 86 | |
2020-1R, A2 144A 1.567%, 11/25/55(3) | 35 | 34 | |
Wells Fargo Commercial Mortgage Trust 2014-C24, AS 3.931%, 11/15/47 | 40 | 39 | |
Wells Fargo Mortgage Backed Securities Trust 2020-4, A1 144A 3.000%, 7/25/50(3)(4) | 31 | 28 | |
4,669 | |||
Total Mortgage-Backed Securities (Identified Cost $5,076) | 4,732 | ||
Par Value | Value | ||
Asset-Backed Securities—3.0% | |||
Automobiles—1.7% | |||
ACC Auto Trust 2021-A, B 144A 1.790%, 4/15/27(3) | $ 65 | $ 62 | |
American Credit Acceptance Receivables Trust | |||
2021-3, C 144A 0.980%, 11/15/27(3) | 65 | 62 | |
2022-1, D 144A 2.460%, 3/13/28(3) | 55 | 51 | |
AmeriCredit Automobile Receivables Trust 2020-3, C 1.060%, 8/18/26 | 85 | 81 | |
Carvana Auto Receivables Trust | |||
2019-2A, D 144A 3.280%, 1/15/25(3) | 55 | 55 | |
2021-N2, C 1.070%, 3/10/28 | 65 | 63 | |
CPS Auto Receivables Trust 2019-D, E 144A 3.860%, 10/15/25(3) | 60 | 59 | |
Drive Auto Receivables Trust | |||
2018-4, D 4.090%, 1/15/26 | 44 | 44 | |
2019-4, C 2.510%, 11/17/25 | 22 | 22 | |
Exeter Automobile Receivables Trust | |||
2019-3A, C 144A 2.790%, 5/15/24(3) | 3 | 3 | |
2018-4A, D 144A 4.350%, 9/16/24(3) | 51 | 51 | |
First Investors Auto Owner Trust 2022-1A, C 144A 3.130%, 5/15/28(3) | 55 | 52 | |
Flagship Credit Auto Trust | |||
2020-3, C 144A 1.730%, 9/15/26(3) | 75 | 72 | |
2021-1, C 144A 0.910%, 3/15/27(3) | 85 | 80 | |
Foursight Capital Automobile Receivables Trust 2022-1, B 144A 2.150%, 5/17/27(3) | 45 | 42 | |
GLS Auto Receivables Trust 2018-3A, C 144A 4.180%, 7/15/24(3) | 60 | 60 | |
Hertz Vehicle Financing III LP 2021-2A, A 144A 1.680%, 12/27/27(3) | 100 | 88 | |
Prestige Auto Receivables Trust 2019-1A, D 144A 3.010%, 8/15/25(3) | 85 | 84 | |
Skopos Auto Receivables Trust 2019-1A, C 144A 3.630%, 9/16/24(3) | 43 | 43 | |
United Auto Credit Securitization Trust 2021-1, C 144A 0.840%, 6/10/26(3) | 80 | 78 | |
1,152 | |||
Consumer Loans—0.1% | |||
Affirm Asset Securitization Trust 2021-A, A 144A 0.880%, 8/15/25(3) | 100 | 99 | |
Credit Card—0.1% | |||
Avant Credit Card Master Trust 2021-1A, A 144A 1.370%, 4/15/27(3) | 60 | 55 | |
Other—1.1% | |||
Aqua Finance Trust 2019-A, C 144A 4.010%, 7/16/40(3) | 100 | 96 | |
Arby’s Funding LLC 2020-1A, A2 144A 3.237%, 7/30/50(3) | 74 | 66 |
Par Value | Value | ||
Other—continued | |||
Bankers Healthcare Group Securitization Trust 2020-A, A 144A 2.560%, 9/17/31(3) | $ 39 | $ 38 | |
BXG Receivables Note Trust 2017-A, A 144A 2.950%, 10/4/32(3) | 41 | 40 | |
Cajun Global LLC 2021-1, A2 144A 3.931%, 11/20/51(3) | 50 | 45 | |
Dext ABS LLC | |||
2020-1, A 144A 1.460%, 2/16/27(3) | 31 | 31 | |
2020-1, B 144A 1.920%, 11/15/27(3) | 65 | 63 | |
Jersey Mike’s Funding 2019-1A, A2 144A 4.433%, 2/15/50(3) | 80 | 76 | |
Mariner Finance Issuance Trust 2019-AA, A 144A 2.960%, 7/20/32(3) | 100 | 99 | |
MVW LLC 2020-1A, A 144A 1.740%, 10/20/37(3) | 58 | 54 | |
NMEF Funding LLC 2022-A, B 144A 3.350%, 10/16/28(3) | 45 | 43 | |
Octane Receivables Trust 2020-1A, A 144A 1.710%, 2/20/25(3) | 26 | 26 | |
Orange Lake Timeshare Trust 2019-A, B 144A 3.360%, 4/9/38(3) | 34 | 33 | |
710 | |||
Total Asset-Backed Securities (Identified Cost $2,102) | 2,016 | ||
Corporate Bonds and Notes—8.8% | |||
Communication Services—0.5% | |||
Level 3 Financing, Inc. 144A 4.250%, 7/1/28(3) | 45 | 36 | |
Sprint Spectrum Co. LLC 144A 5.152%, 3/20/28(3) | 200 | 201 | |
T-Mobile USA, Inc. 3.875%, 4/15/30 | 90 | 84 | |
Verizon Communications, Inc. 2.550%, 3/21/31 | 36 | 31 | |
352 | |||
Consumer Discretionary—0.4% | |||
Aramark Services, Inc. 144A 6.375%, 5/1/25(3) | 20 | 20 | |
Brunswick Corp. 2.400%, 8/18/31 | 46 | 34 | |
Dick’s Sporting Goods, Inc. 3.150%, 1/15/32 | 57 | 45 | |
Ford Motor Co. | |||
3.250%, 2/12/32 | 26 | 19 | |
4.750%, 1/15/43 | 15 | 11 | |
General Motors Financial Co., Inc. 1.250%, 1/8/26 | 70 | 62 | |
M/I Homes, Inc. 4.950%, 2/1/28 | 45 | 38 | |
229 | |||
Consumer Staples—0.3% | |||
Anheuser-Busch InBev Worldwide, Inc. 4.000%, 4/13/28 | 85 | 84 |
Par Value | Value | ||
Consumer Staples—continued | |||
BAT Capital Corp. 4.906%, 4/2/30 | $ 55 | $ 51 | |
Church & Dwight Co., Inc. 5.000%, 6/15/52 | 50 | 51 | |
186 | |||
Energy—0.5% | |||
DCP Midstream Operating LP 3.250%, 2/15/32 | 15 | 12 | |
DT Midstream, Inc. 144A 4.125%, 6/15/29(3) | 25 | 21 | |
EQM Midstream Partners LP 144A 7.500%, 6/1/30(3) | 35 | 34 | |
Flex Intermediate Holdco LLC 144A 3.363%, 6/30/31(3) | 65 | 53 | |
HF Sinclair Corp. 144A 5.875%, 4/1/26(3) | 45 | 45 | |
Kinder Morgan, Inc. | |||
4.300%, 6/1/25 | 45 | 45 | |
7.750%, 1/15/32 | 25 | 29 | |
Sabine Pass Liquefaction LLC 4.200%, 3/15/28 | 60 | 58 | |
Transcanada Trust 5.600%, 3/7/82 | 55 | 50 | |
347 | |||
Financials—3.3% | |||
Allstate Corp. (The) Series B 5.750%, 8/15/53 | 145 | 127 | |
Ally Financial, Inc. Series B 4.700% (5) | 32 | 25 | |
Ares Finance Co. LLC 144A 4.000%, 10/8/24(3) | 80 | 78 | |
Ascot Group Ltd. 144A 4.250%, 12/15/30(3) | 65 | 59 | |
Athene Global Funding 144A 2.450%, 8/20/27(3) | 70 | 61 | |
Bank of America Corp. | |||
2.687%, 4/22/32 | 200 | 168 | |
2.482%, 9/21/36 | 100 | 78 | |
Bank of New York Mellon Corp. (The) Series G 4.700% (5) | 65 | 64 | |
Blackstone Private Credit Fund 144A 2.625%, 12/15/26(3) | 29 | 24 | |
Blue Owl Finance LLC 144A 3.125%, 6/10/31(3) | 35 | 27 | |
Brighthouse Financial, Inc. 5.625%, 5/15/30 | 47 | 46 | |
Brookfield Finance, Inc. 3.900%, 1/25/28 | 115 | 110 | |
Capital One Financial Corp. 2.359%, 7/29/32 | 48 | 37 | |
Charles Schwab Corp. (The) Series H 4.000% (5) | 70 | 54 | |
Citadel LP 144A 4.875%, 1/15/27(3) | 65 | 63 | |
Citigroup, Inc. 3.980%, 3/20/30 | 165 | 154 | |
Goldman Sachs Group, Inc. (The) 4.250%, 10/21/25 | 195 | 193 | |
JPMorgan Chase & Co. 1.953%, 2/4/32 | 150 | 120 |
Par Value | Value | ||
Financials—continued | |||
Ladder Capital Finance Holdings LLLP 144A 4.250%, 2/1/27(3) | $ 25 | $ 20 | |
Liberty Mutual Group, Inc. 144A 4.125%, 12/15/51(3) | 30 | 24 | |
Lincoln National Corp. (3 month LIBOR + 2.040%) 3.103%, 4/20/67(4) | 85 | 57 | |
MetLife, Inc. Series G 3.850% (5) | 75 | 67 | |
Morgan Stanley 6.375%, 7/24/42 | 100 | 115 | |
OWL Rock Core Income Corp. 144A 4.700%, 2/8/27(3) | 32 | 29 | |
Prudential Financial, Inc. | |||
5.875%, 9/15/42 | 100 | 98 | |
5.625%, 6/15/43 | 65 | 63 | |
Santander Holdings USA, Inc. 4.400%, 7/13/27 | 100 | 96 | |
Texas Capital Bancshares, Inc. 4.000%, 5/6/31 | 55 | 51 | |
Wells Fargo & Co. Series BB 3.900% (5) | 105 | 90 | |
2,198 | |||
Health Care—0.4% | |||
Baxter International, Inc. 2.539%, 2/1/32 | 70 | 59 | |
Bio-Rad Laboratories, Inc. | |||
3.300%, 3/15/27 | 32 | 30 | |
3.700%, 3/15/32 | 10 | 9 | |
DENTSPLY SIRONA, Inc. 3.250%, 6/1/30 | 50 | 42 | |
HCA, Inc. 5.250%, 6/15/49 | 50 | 43 | |
Illumina, Inc. 2.550%, 3/23/31 | 57 | 46 | |
Universal Health Services, Inc. 144A 2.650%, 1/15/32(3) | 60 | 47 | |
276 | |||
Industrials—0.6% | |||
Alaska Airlines Pass-Through Trust 2020-1, A 144A 4.800%, 8/15/27(3) | 35 | 35 | |
Avolon Holdings Funding Ltd. 144A 4.375%, 5/1/26(3) | 55 | 51 | |
Boeing Co. (The) 5.930%, 5/1/60 | 18 | 16 | |
British Airways Pass-Through Trust 2021-1, A 144A 2.900%, 3/15/35(3) | 55 | 48 | |
Huntington Ingalls Industries, Inc. 2.043%, 8/16/28 | 66 | 56 | |
Masco Corp. | |||
2.000%, 2/15/31 | 30 | 24 | |
3.125%, 2/15/51 | 30 | 21 | |
Pentair Finance S.a.r.l. 5.900%, 7/15/32 | 45 | 45 | |
Sempra Global 144A 3.250%, 1/15/32(3) | 58 | 49 | |
TransDigm, Inc. 144A 6.250%, 3/15/26(3) | 25 | 24 |
Par Value | Value | ||
Industrials—continued | |||
Waste Management, Inc. 4.150%, 4/15/32 | $ 22 | $ 21 | |
390 | |||
Information Technology—0.9% | |||
CDW LLC 3.569%, 12/1/31 | 61 | 50 | |
Citrix Systems, Inc. 3.300%, 3/1/30 | 110 | 107 | |
Consensus Cloud Solutions, Inc. | |||
144A 6.000%, 10/15/26(3) | 5 | 4 | |
144A 6.500%, 10/15/28(3) | 5 | 4 | |
Dell International LLC 8.100%, 7/15/36 | 35 | 41 | |
Entegris Escrow Corp. 144A 4.750%, 4/15/29(3) | 60 | 56 | |
HP, Inc. 5.500%, 1/15/33 | 55 | 54 | |
Kyndryl Holdings, Inc. 144A 2.700%, 10/15/28(3) | 37 | 29 | |
Leidos, Inc. 2.300%, 2/15/31 | 80 | 64 | |
Motorola Solutions, Inc. 4.600%, 5/23/29 | 100 | 96 | |
Oracle Corp. | |||
2.875%, 3/25/31 | 25 | 21 | |
3.850%, 4/1/60 | 10 | 7 | |
Science Applications International Corp. 144A 4.875%, 4/1/28(3) | 25 | 23 | |
TD SYNNEX Corp. 144A 2.375%, 8/9/28(3) | 60 | 51 | |
607 | |||
Materials—0.5% | �� | ||
Albemarle Corp. 5.050%, 6/1/32 | 50 | 49 | |
Bayport Polymers LLC 144A 5.140%, 4/14/32(3) | 65 | 63 | |
Celanese US Holdings LLC 3.500%, 5/8/24 | 70 | 69 | |
FMG Resources August 2006 Pty Ltd. 144A 5.875%, 4/15/30(3) | 30 | 27 | |
Freeport-McMoRan, Inc. 5.450%, 3/15/43 | 45 | 42 | |
Glencore Funding LLC 144A 2.850%, 4/27/31(3) | 75 | 62 | |
International Flavors & Fragrances, Inc. 144A 2.300%, 11/1/30(3) | 60 | 49 | |
361 | |||
Real Estate—1.1% | |||
EPR Properties 4.750%, 12/15/26 | 120 | 113 | |
GLP Capital LP | |||
5.750%, 6/1/28 | 100 | 98 | |
3.250%, 1/15/32 | 6 | 5 | |
Kite Realty Group Trust 4.750%, 9/15/30 | 70 | 65 | |
MPT Operating Partnership LP | |||
4.625%, 8/1/29 | 10 | 9 | |
3.500%, 3/15/31 | 30 | 24 |
Par Value | Value | ||
Real Estate—continued | |||
Office Properties Income Trust 4.500%, 2/1/25 | $ 135 | $ 129 | |
Phillips Edison Grocery Center Operating Partnership I LP 2.625%, 11/15/31 | 65 | 50 | |
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24 | 105 | 102 | |
Service Properties Trust 4.500%, 3/15/25 | 70 | 55 | |
VICI Properties LP | |||
4.950%, 2/15/30 | 30 | 28 | |
5.125%, 5/15/32 | 30 | 28 | |
706 | |||
Utilities—0.3% | |||
Alliant Energy Finance LLC 144A 3.600%, 3/1/32(3) | 65 | 59 | |
Puget Energy, Inc. | |||
2.379%, 6/15/28 | 39 | 34 | |
4.224%, 3/15/32 | 27 | 25 | |
Southern Co. (The) Series 21-A 3.750%, 9/15/51 | 69 | 59 | |
Vistra Corp. 144A 8.000% (3)(5) | 20 | 19 | |
196 | |||
Total Corporate Bonds and Notes (Identified Cost $6,593) | 5,848 | ||
Leveraged Loans—0.8% | |||
Aerospace—0.2% | |||
Brown Group Holding LLC (1 month LIBOR + 2.500%) 3.506%, 6/7/28(4) | 37 | 35 | |
KKR Apple Bidco LLC (1 month LIBOR + 2.750%) 3.810%, 9/22/28(4) | 30 | 28 | |
Mileage Plus Holdings, LLC (3 month LIBOR + 5.250%) 7.313%, 6/21/27(4) | 20 | 20 | |
TransDigm, Inc. Tranche E (1 month LIBOR + 2.250%) 3.310%, 5/30/25(4) | 18 | 17 | |
100 | |||
Chemicals—0.1% | |||
Ineos U.S. Finance LLC 2024 (1 month LIBOR + 2.000%) 3.060%, 4/1/24(4) | 69 | 66 | |
Consumer Durables—0.0% | |||
Resideo Funding, Inc. Tranche B (3 month LIBOR + 2.250%) 3.360% - 3.650%, 2/11/28(4) | 15 | 14 | |
Energy—0.0% | |||
Oryx Midstream Services Permian Basin LLC Tranche B (3 month LIBOR + 3.250%) 4.705%, 10/5/28(4) | 20 | 19 | |
Paragon Offshore Finance Co. (1 month PRIME + 0.000%) 4.000%, 7/16/21(4)(6)(7) | — (2) | — | |
19 | |||
Food / Tobacco—0.1% | |||
Hostess Brands LLC 2019, Tranche B (3 month LIBOR + 2.250%) 3.310% - 3.489%, 8/3/25(4) | 24 | 23 |
Par Value | Value | ||
Forest Prod / Containers—0.0% | |||
Berry Global, Inc. Tranche Z (1 month LIBOR + 1.750%) 3.005%, 7/1/26(4) | $ 19 | $ 18 | |
Gaming / Leisure—0.1% | |||
Hilton Worldwide Finance LLC Tranche B-2 (1 month LIBOR + 1.750%) 3.374%, 6/22/26(4) | 20 | 19 | |
Station Casinos LLC Tranche B-1 (1 month LIBOR + 2.250%) 3.310%, 2/8/27(4) | 19 | 18 | |
UFC Holdings LLC Tranche B-3 (3 month LIBOR + 2.750%) 3.500%, 4/29/26(4) | 20 | 19 | |
56 | |||
Health Care—0.1% | |||
Agiliti Health, Inc. (1 month LIBOR + 2.750%) 3.813%, 1/4/26(4) | 15 | 14 | |
Elanco Animal Health, Inc. (1 month LIBOR + 1.750%) 2.812%, 8/1/27(4) | 18 | 17 | |
LifePoint Health, Inc. Tranche B, First Lien (1 month LIBOR + 3.750%) 4.810%, 11/16/25(4) | 45 | 42 | |
73 | |||
Housing—0.0% | |||
Standard Industries, Inc. (3 month LIBOR + 2.500%) 3.788%, 9/22/28(4) | 21 | 21 | |
Information Technology—0.1% | |||
CCC Intelligent Solutions, Inc. Tranche B (3 month LIBOR + 2.250%) 3.256%, 9/21/28(4) | 20 | 19 | |
Tenable, Inc. (3 month LIBOR + 2.750%) 3.269%, 7/7/28(4) | 20 | 19 | |
38 | |||
Manufacturing—0.0% | |||
NCR Corp. (3 month LIBOR + 2.500%) 3.740%, 8/28/26(4) | 19 | 18 | |
Media / Telecom - Broadcasting—0.0% | |||
Nexstar Broadcasting, Inc. Tranche B-4 (1 month LIBOR + 2.500%) 3.562%, 9/18/26(4) | 12 | 12 | |
Media / Telecom - Telecommunications—0.0% | |||
CenturyLink, Inc. Tranche B (1 month LIBOR + 2.250%) 3.310%, 3/15/27(4) | 15 | 13 | |
Media / Telecom - Wireless Communications—0.1% | |||
SBA Senior Finance II LLC Tranche B (1 month LIBOR + 1.750%) 2.810%, 4/11/25(4) | 38 | 37 | |
Service—0.0% | |||
Dun & Bradstreet Corp. (The) 2022, Tranche B-2 (1 month Term SOFR + 3.250%) 4.747%, 1/18/29(4) | 5 | 5 | |
Total Leveraged Loans (Identified Cost $536) | 513 | ||
Shares | Value | ||
Preferred Stocks—0.3% | |||
Financials—0.2% | |||
MetLife, Inc. Series D, 5.875% | 40 (8) | $ 37 | |
Truist Financial Corp. Series Q, 5.100% | 70 (8) | 63 | |
100 | |||
Industrials—0.1% | |||
General Electric Co. Series D, (3 month LIBOR + 3.330%), 5.159%(4) | 90 (8) | 79 | |
Total Preferred Stocks (Identified Cost $200) | 179 | ||
Common Stocks—69.7% | |||
Communication Services—4.9% | |||
Adevinta ASA Class B(9) | 21,125 | 153 | |
Ascential plc(9) | 56,470 | 179 | |
Auto Trader Group plc | 62,066 | 419 | |
Baltic Classifieds Group plc(9) | 210,853 | 335 | |
Dayamitra Telekomunikasi PT | 5,006,000 | 235 | |
Infrastrutture Wireless Italiane SpA | 21,981 | 223 | |
Meta Platforms, Inc. Class A(9) | 3,035 | 489 | |
Moneysupermarket.com Group plc | 88,940 | 189 | |
New Work SE | 1,644 | 233 | |
Rightmove plc | 66,250 | 458 | |
ZoomInfo Technologies, Inc. Class A(9) | 10,837 | 360 | |
3,273 | |||
Consumer Discretionary—13.0% | |||
Airbnb, Inc. Class A(9) | 6,886 | 613 | |
Allegro.eu S.A.(9) | 42,507 | 226 | |
Amazon.com, Inc.(9) | 30,300 | 3,218 | |
AutoZone, Inc.(9) | 213 | 458 | |
Home Depot, Inc. (The) | 2,568 | 704 | |
Marriott International, Inc. Class A | 6,530 | 888 | |
Max Stock Ltd. | 61,367 | 121 | |
MercadoLibre, Inc.(9) | 608 | 387 | |
Mercari, Inc.(9) | 17,300 | 249 | |
NIKE, Inc. Class B | 11,145 | 1,139 | |
Ross Stores, Inc. | 7,240 | 509 | |
Victorian Plumbing Group plc(9) | 148,790 | 102 | |
8,614 | |||
Consumer Staples—5.8% | |||
Anhui Gujing Distillery Co., Ltd. Class B | 21,500 | 335 | |
Estee Lauder Cos., Inc. (The) Class A | 3,325 | 847 | |
Heineken Malaysia Bhd | 53,800 | 281 | |
McCormick & Co., Inc. Non-voting Shares | 8,288 | 690 | |
Monster Beverage Corp.(9) | 8,816 | 817 | |
Procter & Gamble Co. (The) | 5,975 | 859 | |
3,829 | |||
Energy—1.8% | |||
Devon Energy Corp. | 5,345 | 294 | |
Frontera Energy Corp.(9) | 1,088 | 9 | |
Hess Corp. | 3,329 | 353 | |
Pason Systems, Inc. | 18,404 | 209 | |
Pioneer Natural Resources Co. | 1,431 | 319 | |
1,184 | |||
Shares | Value | ||
Financials—6.1% | |||
Bank of America Corp. | 29,636 | $ 923 | |
CME Group, Inc. Class A | 3,611 | 739 | |
FinecoBank Banca Fineco SpA | 12,722 | 152 | |
Gruppo MutuiOnline SpA | 8,008 | 202 | |
Hargreaves Lansdown plc | 21,395 | 205 | |
MarketAxess Holdings, Inc. | 1,996 | 511 | |
Mortgage Advice Bureau Holdings Ltd. | 26,368 | 289 | |
Nordnet AB publ | 7,041 | 92 | |
Progressive Corp. (The) | 5,947 | 692 | |
Sabre Insurance Group plc | 85,231 | 213 | |
VNV Global AB(9) | 17,779 | 42 | |
4,060 | |||
Health Care—6.1% | |||
Danaher Corp. | 4,810 | 1,219 | |
Haw Par Corp., Ltd. | 58,000 | 459 | |
HealthEquity, Inc.(9) | 5,494 | 337 | |
Mettler-Toledo International, Inc.(9) | 329 | 378 | |
Nakanishi, Inc. | 8,500 | 150 | |
Zoetis, Inc. Class A | 8,753 | 1,505 | |
4,048 | |||
Industrials—7.8% | |||
Boa Vista Servicos S.A. | 140,768 | 144 | |
CAE, Inc.(9) | 12,403 | 306 | |
CoStar Group, Inc.(9) | 13,863 | 837 | |
Enento Group Oyj(9) | 6,955 | 151 | |
Equifax, Inc. | 3,570 | 652 | |
Fair Isaac Corp.(9) | 1,457 | 584 | |
Haitian International Holdings Ltd. | 162,530 | 415 | |
HeadHunter Group plc ADR(6) | 12,236 | —(2) | |
Howden Joinery Group plc | 13,574 | 100 | |
Knorr-Bremse AG | 4,667 | 266 | |
Marel HF | 58,722 | 263 | |
Meitec Corp. | 15,000 | 242 | |
MTU Aero Engines AG | 2,108 | 384 | |
Rotork plc | 3,366 | 10 | |
S-1 Corp. | 7,680 | 380 | |
Uber Technologies, Inc.(9) | 23,755 | 486 | |
5,220 | |||
Information Technology—22.3% | |||
Accenture plc Class A | 3,295 | 915 | |
Alten S.A. | 2,855 | 311 | |
Amphenol Corp. Class A | 20,387 | 1,313 | |
Avalara, Inc.(9) | 11,773 | 831 | |
Bill.com Holdings, Inc.(9) | 8,454 | 929 | |
Block, Inc. Class A(9) | 4,132 | 254 | |
Bouvet ASA | 44,912 | 269 | |
Brockhaus Technologies AG(9) | 5,054 | 90 | |
DocuSign, Inc.(9) | 4,417 | 253 | |
Duck Creek Technologies, Inc.(9) | 29,135 | 433 | |
FDM Group Holdings plc | 16,567 | 171 | |
MongoDB, Inc. Class A(9) | 1,963 | 509 | |
NVIDIA Corp. | 11,293 | 1,712 | |
Paycom Software, Inc.(9) | 5,659 | 1,585 | |
Roper Technologies, Inc. | 2,290 | 904 | |
Snowflake, Inc. Class A(9) | 2,959 | 411 | |
Trade Desk, Inc. (The) Class A(9) | 18,800 | 788 | |
Visa, Inc. Class A | 11,835 | 2,330 |
Shares | Value | ||
Information Technology—continued | |||
Workday, Inc. Class A(9) | 5,827 | $ 813 | |
14,821 | |||
Materials—1.1% | |||
Corp. Moctezuma SAB de C.V. | 76,431 | 243 | |
Ecolab, Inc. | 3,359 | 517 | |
760 | |||
Real Estate—0.8% | |||
Prologis, Inc. | 4,559 | 536 | |
Total Common Stocks (Identified Cost $36,120) | 46,345 | ||
Rights—0.0% | |||
Utilities—0.0% | |||
Vistra Energy Corp.(6)(9) | 1,084 | 2 | |
Total Rights (Identified Cost $1) | 2 | ||
Warrant—0.0% | |||
Financials—0.0% | |||
VNV Global AB(9) | 12,500 | — (2) | |
Total Warrant (Identified Cost $—) | — (2) | ||
Total Long-Term Investments—96.9% (Identified Cost $56,052) | 64,437 | ||
Short-Term Investment—2.6% | |||
Money Market Mutual Fund—2.6% | |||
Dreyfus Government Cash Management Fund - Institutional Shares (seven-day effective yield 1.351%)(10) | 1,741,862 | 1,742 | |
Total Short-Term Investment (Identified Cost $1,742) | 1,742 | ||
TOTAL INVESTMENTS—99.5% (Identified Cost $57,794) | $66,179 | ||
Other assets and liabilities, net—0.5% | 342 | ||
NET ASSETS—100.0% | $66,521 |
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 |
SOFR | Secured Overnight Financing Rate |
Footnote Legend: | |
(1) | Security in default; no interest payments are being received. |
(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 June 30, 2022, these securities amounted to a value of $7,578 or 11.4% of net assets. |
(4) | Variable rate security. Rate disclosed is as of June 30, 2022. Information in parenthesis represents benchmark and reference rate for each security. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
(5) | 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) | Security in default; no interest payments are being received during the bankruptcy proceedings. |
(8) | Value shown as par value. |
(9) | Non-income producing. |
(10) | Shares of this fund are publicly offered, and its prospectus and annual report are publicly available. |
Country Weightings† | |
United States | 85% |
United Kingdom | 4 |
Germany | 2 |
China | 1 |
Canada | 1 |
Japan | 1 |
Italy | 1 |
Other | 5 |
Total | 100% |
† % of total investments as of June 30, 2022. |
Total Value at June 30, 2022 | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | ||||
Assets: | |||||||
Debt Securities: | |||||||
Asset-Backed Securities | $ 2,016 | $ — | $ 2,016 | $— | |||
Corporate Bonds and Notes | 5,848 | — | 5,848 | — | |||
Foreign Government Securities | 50 | — | 50 | — | |||
Leveraged Loans | 513 | — | 513 | — (1) | |||
Mortgage-Backed Securities | 4,732 | — | 4,732 | — | |||
Municipal Bonds | 1,540 | — | 1,540 | — | |||
U.S. Government Securities | 3,212 | — | 3,212 | — | |||
Equity Securities: | |||||||
Common Stocks | 46,345 | 46,345 | — | — (2) | |||
Preferred Stocks | 179 | — | 179 | — | |||
Rights | 2 | — | — | 2 | |||
Warrant | — (2) | — (2) | — | — | |||
Money Market Mutual Fund | 1,742 | 1,742 | — | — | |||
Total Investments | $66,179 | $48,087 | $18,090 | $ 2 |
(1) | Includes internally fair valued securities currently priced at zero ($0). |
(2) | Amount is less than $500. |
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) | $ 91,721 | $ 186,055 | $ 92,182 | $ 89,381 | |||
Foreign currency at value(3) | — | — | — | — (a) | |||
Cash | 50 | 100 | 100 | 100 | |||
Receivables | |||||||
Investment securities sold | — | — | 1,266 | 156 | |||
Series shares sold | 50 | 67 | — | — | |||
Dividends | 278 | 57 | 186 | 51 | |||
Tax reclaims | — | — | 88 | — | |||
Prepaid Trustees’ retainer | 2 | 2 | 1 | 1 | |||
Prepaid expenses | — (a) | — (a) | — | — (a) | |||
Other assets | 221 | 465 | 221 | 212 | |||
Total assets | 92,322 | 186,746 | 94,044 | 89,901 | |||
Liabilities | |||||||
Payables | |||||||
Series shares repurchased | 26 | 20 | 169 | 213 | |||
Investment securities purchased | — | — | — | 682 | |||
Collateral on securities loaned | — | — | 560 | — | |||
Investment advisory fees | 53 | 102 | 39 | 53 | |||
Distribution and service fees | 18 | 41 | 19 | 17 | |||
Administration and accounting fees | 8 | 16 | 8 | 8 | |||
Transfer agent fees and expenses | — (a) | — (a) | — (a) | — (a) | |||
Professional fees | 18 | 19 | 17 | 17 | |||
Trustee deferred compensation plan | 221 | 465 | 221 | 212 | |||
Interest expense and/or commitment fees | — (a) | 1 | — (a) | — (a) | |||
Other accrued expenses | 23 | 57 | 20 | 26 | |||
Total liabilities | 367 | 721 | 1,053 | 1,228 | |||
Net Assets | $ 91,955 | $ 186,025 | $ 92,991 | $ 88,673 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $ 69,604 | $ 78,368 | $ 78,954 | $ 53,265 | |||
Accumulated earnings (loss) | 22,351 | 107,657 | 14,037 | 35,408 | |||
Net Assets | $ 91,955 | $ 186,025 | $ 92,991 | $ 88,673 | |||
Net Assets: | |||||||
Class A | $ 82,646 | $ 186,025 | $ 92,991 | $ 81,717 | |||
Class I | $ 9,309 | $ — | $ — | $ 6,956 | |||
Shares of Beneficial Interest Outstanding $1 par value, unlimited authorization: | |||||||
Class A | 4,267,475 | 6,301,887 | 7,682,621 | 3,142,215 | |||
Class I | 480,379 | — | — | 256,213 | |||
Net Asset Value Per Share:(b) | |||||||
Class A | $ 19.37 | $ 29.52 | $ 12.10 | $ 26.01 | |||
Class I | $ 19.38 | $ — | $ — | $ 27.15 | |||
(1) Investment in securities at cost | $ 70,061 | $ 104,982 | $ 83,082 | $ 58,630 | |||
(2) Market value of securities on loan | $ — | $ — | $ 548 | $ — | |||
(3) Foreign currency at cost | $ — | $ — | $ — | $ —(a) | |||
(a) | Amount is less than $500. |
(b) | Net Asset Value Per Share is calculated using unrounded net assets. |
KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | SGA International Growth Series | Strategic Allocation Series | ||||
Assets | |||||||
Investment in securities at value(1)(2) | $ 66,740 | $ 96,333 | $ 128,177 | $ 66,179 | |||
Cash | 100 | 616 | 50 | 150 | |||
Receivables | |||||||
Investment securities sold | — | 2,051 | — | 188 | |||
Series shares sold | 28 | 1 | 81 | 1 | |||
Dividends and interest | 24 | 759 | 141 | 155 | |||
Tax reclaims | — | — | 209 | 14 | |||
Securities lending income | — | — (a) | 1 | — (a) | |||
Prepaid Trustees’ retainer | 1 | 1 | 2 | 1 | |||
Other assets | 161 | 234 | 295 | 163 | |||
Total assets | 67,054 | 99,995 | 128,956 | 66,851 | |||
Liabilities | |||||||
Due to custodian | — | — | — | — (a) | |||
Payables | |||||||
Series shares repurchased | 21 | 146 | 28 | 28 | |||
Investment securities purchased | — | 1,158 | — | 50 | |||
Collateral on securities loaned | — | 515 | 4,368 | — | |||
Investment advisory fees | 37 | 41 | 74 | 30 | |||
Distribution and service fees | 14 | 20 | 26 | 14 | |||
Administration and accounting fees | 6 | 9 | 11 | 6 | |||
Transfer agent fees and expenses | — (a) | — (a) | — (a) | — (a) | |||
Professional fees | 17 | 16 | 21 | 19 | |||
Trustee deferred compensation plan | 161 | 234 | 295 | 163 | |||
Interest expense and/or commitment fees | — (a) | — (a) | — (a) | — (a) | |||
Other accrued expenses | 17 | 24 | 33 | 20 | |||
Unrealized depreciation on unfunded loan commitments | — | 1 | — | — | |||
Total liabilities | 273 | 2,164 | 4,856 | 330 | |||
Net Assets | $ 66,781 | $ 97,831 | $ 124,100 | $ 66,521 | |||
Net Assets Consist of: | |||||||
Capital paid in on shares of beneficial interest | $ 44,808 | $ 111,488 | $ 126,352 | $ 54,341 | |||
Accumulated earnings (loss) | 21,973 | (13,657) | (2,252) | 12,180 | |||
Net Assets | $ 66,781 | $ 97,831 | $ 124,100 | $ 66,521 | |||
Net Assets: | |||||||
Class A | $ 66,781 | $ 95,988 | $ 123,996 | $ 66,521 | |||
Class I | $ — | $ 1,843 | $ 104 | $ — | |||
Shares of Beneficial Interest Outstanding $1 par value, unlimited authorization: | |||||||
Class A | 4,666,116 | 11,338,637 | 11,368,915 | 5,641,369 | |||
Class I | — | 217,762 | 9,525 | — | |||
Net Asset Value Per Share:(b) | |||||||
Class A | $ 14.31 | $ 8.47 | $ 10.91 | $ 11.79 | |||
Class I | $ — | $ 8.46 | $ 10.96 | $ — | |||
(1) Investment in securities at cost | $ 45,290 | $ 107,486 | $ 129,872 | $ 57,794 | |||
(2) Market value of securities on loan | $ — | $ 494 | $ 4,315 | $ — | |||
(a) | Amount is less than $500. |
(b) | Net Asset Value Per Share is calculated using unrounded net assets. |
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | KAR Equity Income Series | KAR Small-Cap Growth Series | ||||
Investment Income | |||||||
Dividends | $ 1,501 | $ 688 | $ 1,874 | $ 287 | |||
Securities lending, net of fees | — | — (1) | 1 | 1 | |||
Foreign taxes withheld | — | — | (79) | — | |||
Total investment income | 1,501 | 688 | 1,796 | 288 | |||
Expenses | |||||||
Investment advisory fees | 406 | 844 | 342 | 428 | |||
Distribution and service fees, Class A | 123 | 303 | 122 | 117 | |||
Administration and accounting fees | 57 | 123 | 52 | 54 | |||
Transfer agent fees and expenses | — (1) | — (1) | — (1) | — (1) | |||
Custodian fees | — (1) | 1 | — (1) | — (1) | |||
Printing fees and expenses | 13 | 28 | 11 | 12 | |||
Professional fees | 14 | 16 | 13 | 13 | |||
Interest expense and/or commitment fees | — (1) | 1 | — (1) | — (1) | |||
Trustees’ fees and expenses | 3 | 7 | 2 | 3 | |||
Miscellaneous expenses | 4 | 6 | 7 | 5 | |||
Total expenses | 620 | 1,329 | 549 | 632 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | (35) | (79) | (69) | (66) | |||
Net expenses | 585 | 1,250 | 480 | 566 | |||
Net investment income (loss) | 916 | (562) | 1,316 | (278) | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | 567 | 28,058 | 3,958 | 5,270 | |||
Foreign currency transactions | — | — | — (1) | (2) | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | (28,408) | (146,645) | (9,459) | (38,703) | |||
Net realized and unrealized gain (loss) on investments | (27,841) | (118,587) | (5,501) | (33,435) | |||
Net increase (decrease) in net assets resulting from operations | $(26,925) | $(119,149) | $(4,185) | $(33,713) |
(1) | Amount is less than $500. |
(2) | See Note 3D in Notes to Financial Statements. |
KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | SGA International Growth Series | Strategic Allocation Series | ||||
Investment Income | |||||||
Dividends | $ 430 | $ 6 | $ 1,056 | $ 318 | |||
Interest | — | 2,133 | — | 325 | |||
Securities lending, net of fees | — | 5 | 5 | 1 | |||
Foreign taxes withheld | — | — | (119) | (19) | |||
Total investment income | 430 | 2,144 | 942 | 625 | |||
Expenses | |||||||
Investment advisory fees | 342 | 263 | 521 | 225 | |||
Distribution and service fees, Class A | 95 | 129 | 174 | 102 | |||
Administration and accounting fees | 41 | 56 | 73 | 45 | |||
Transfer agent fees and expenses | — (1) | — (1) | — (1) | — (1) | |||
Custodian fees | — (1) | 2 | 1 | 3 | |||
Printing fees and expenses | 9 | 12 | 15 | 10 | |||
Professional fees | 13 | 16 | 17 | 16 | |||
Interest expense and/or commitment fees | — (1) | — (1) | 1 | — (1) | |||
Trustees’ fees and expenses | 2 | 3 | 4 | 2 | |||
Miscellaneous expenses | 2 | 3 | 5 | 3 | |||
Total expenses | 504 | 484 | 811 | 406 | |||
Less net expenses reimbursed and/or waived by investment adviser(2) | (85) | — | (16) | (4) | |||
Net expenses | 419 | 484 | 795 | 402 | |||
Net investment income (loss) | 11 | 1,660 | 147 | 223 | |||
Net Realized and Unrealized Gain (Loss) on Investments | |||||||
Net realized gain (loss) from: | |||||||
Investments | 813 | (1,625) | 43 | 4,032 | |||
Foreign currency transactions | — | — | (14) | (4) | |||
Foreign capital gains tax | — | — | (216) | — | |||
Net change in unrealized appreciation (depreciation) on: | |||||||
Investments | (23,388) | (10,939) | (35,950) | (35,920) | |||
Foreign currency transactions | — | — | (11) | (1) | |||
Foreign capital gains tax | — | — | 112 | — | |||
Net realized and unrealized gain (loss) on investments | (22,575) | (12,564) | (36,036) | (31,893) | |||
Net increase (decrease) in net assets resulting from operations | $(22,564) | $(10,904) | $(35,889) | $(31,670) |
(1) | Amount is less than $500. |
(2) | See Note 3D in Notes to Financial Statements. |
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ 916 | $ 750 | $ (562) | $ (2,086) | |||
Net realized gain (loss) | 567 | 3,147 | 28,058 | 30,623 | |||
Net change in unrealized appreciation (depreciation) | (28,408) | 32,293 | (146,645) | 7,865 | |||
Increase (decrease) in net assets resulting from operations | (26,925) | 36,190 | (119,149) | 36,402 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (1,612) | (2,451) | (5,280) | (33,537) | |||
Class I | (190) | (189) | — | — | |||
Total dividends and distributions to shareholders | (1,802) | (2,640) | (5,280) | (33,537) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (2,413) | 7,813 | (5,878) | (1,359) | |||
Class I | 3,612 | 2,227 | — | — | |||
Increase (decrease) in net assets from capital transactions | 1,199 | 10,040 | (5,878) | (1,359) | |||
Net increase (decrease) in net assets | (27,528) | 43,590 | (130,307) | 1,506 | |||
Net Assets | |||||||
Beginning of period | 119,483 | 75,893 | 316,332 | 314,826 | |||
End of Period | $ 91,955 | $ 119,483 | $ 186,025 | $ 316,332 |
KAR Equity Income Series | KAR Small-Cap Growth Series | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ 1,316 | $ 2,368 | $ (278) | $ (1,055) | |||
Net realized gain (loss) | 3,958 | 3,010 | 5,268 | 16,404 | |||
Net change in unrealized appreciation (depreciation) | (9,459) | 10,924 | (38,703) | (8,625) | |||
Increase (decrease) in net assets resulting from operations | (4,185) | 16,302 | (33,713) | 6,724 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (530) | (6,358) | (1,489) | (17,413) | |||
Class I | — | — | (121) | (1,433) | |||
Total dividends and distributions to shareholders | (530) | (6,358) | (1,610) | (18,846) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | (4,885) | (6,089) | (4,307) | 3,568 | |||
Class I | — | — | (154) | (16) | |||
Increase (decrease) in net assets from capital transactions | (4,885) | (6,089) | (4,461) | 3,552 | |||
Net increase (decrease) in net assets | (9,600) | 3,855 | (39,784) | (8,570) | |||
Net Assets | |||||||
Beginning of period | 102,591 | 98,736 | 128,457 | 137,027 | |||
End of Period | $ 92,991 | $ 102,591 | $ 88,673 | $ 128,457 |
KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ 11 | $ 121 | $ 1,660 | $ 3,465 | |||
Net realized gain (loss) | 813 | 12,170 | (1,625) | 1,398 | |||
Net change in unrealized appreciation (depreciation) | (23,388) | 4,470 | (10,939) | (3,674) | |||
Increase (decrease) in net assets resulting from operations | (22,564) | 16,761 | (10,904) | 1,189 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (2,980) | (11,714) | (198) | (3,205) | |||
Class I | — | — | (4) | (47) | |||
Total dividends and distributions to shareholders | (2,980) | (11,714) | (202) | (3,252) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 627 | (1,794) | (4,849) | (4,568) | |||
Class I | — | — | 527 | 975 | |||
Increase (decrease) in net assets from capital transactions | 627 | (1,794) | (4,322) | (3,593) | |||
Net increase (decrease) in net assets | (24,917) | 3,253 | (15,428) | (5,656) | |||
Net Assets | |||||||
Beginning of period | 91,698 | 88,445 | 113,259 | 118,915 | |||
End of Period | $ 66,781 | $ 91,698 | $ 97,831 | $ 113,259 |
SGA International Growth Series | Strategic Allocation Series | ||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||
Increase (Decrease) in Net Assets From Operations | |||||||
Net investment income (loss) | $ 147 | $ (308) | $ 223 | $ 180 | |||
Net realized gain (loss) | (187) | 14,648 | 4,028 | 7,508 | |||
Net change in unrealized appreciation (depreciation) | (35,849) | (1,020) | (35,921) | (22) | |||
Increase (decrease) in net assets resulting from operations | (35,889) | 13,320 | (31,670) | 7,666 | |||
Dividends and Distributions to Shareholders | |||||||
Net Investment Income and Net Realized Gains: | |||||||
Class A | (3,499) | (13,316) | (1,145) | (9,129) | |||
Class I | (3) | (11) | — | — | |||
Total dividends and distributions to shareholders | (3,502) | (13,327) | (1,145) | (9,129) | |||
Change in Net Assets from Capital Transactions (See Note 5): | |||||||
Class A | 208 | (1,315) | (3,821) | (2,064) | |||
Class I | 3 | 11 | — | — | |||
Increase (decrease) in net assets from capital transactions | 211 | (1,304) | (3,821) | (2,064) | |||
Net increase (decrease) in net assets | (39,180) | (1,311) | (36,636) | (3,527) | |||
Net Assets | |||||||
Beginning of period | 163,280 | 164,591 | 103,157 | 106,684 | |||
End of Period | $ 124,100 | $ 163,280 | $ 66,521 | $ 103,157 |
THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Return of Capital | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
Duff & Phelps Real Estate Securities Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/22 to 6/30/22(6) | $25.32 | 0.19 | (5.75) | (5.56) | (0.05) | — | (0.34) | (0.39) | (5.95) | $19.37 | (22.11) % | $ 82,646 | 1.10 % | 1.17 % | 1.66 % | 8 % | |
1/1/21 to 12/31/21 | 17.71 | 0.17 | 8.01 | 8.18 | (0.16) | — | (0.41) | (0.57) | 7.61 | 25.32 | 46.41 | 111,162 | 1.10 | 1.17 | 0.77 | 16 | |
1/1/20 to 12/31/20 | 18.54 | 0.22 | (0.52) | (0.30) | (0.20) | — | (0.33) | (0.53) | (0.83) | 17.71 | (1.55) | 71,741 | 1.14 (7) | 1.20 | 1.30 | 26 | |
1/1/19 to 12/31/19 | 16.40 | 0.30 | 4.20 | 4.50 | (0.34) | — | (2.02) | (2.36) | 2.14 | 18.54 | 27.42 | 77,044 | 1.16 (7) | 1.20 | 1.57 | 44 | |
1/1/18 to 12/31/18 | 19.23 | 0.28 | (1.41) | (1.13) | (0.30) | — | (1.40) | (1.70) | (2.83) | 16.40 | (6.53) | 65,357 | 1.16 | 1.19 | 1.54 | 20 | |
1/1/17 to 12/31/17 | 20.31 | 0.25 | 0.92 | 1.17 | (0.29) | — | (1.96) | (2.25) | (1.08) | 19.23 | 5.97 | 77,564 | 1.16 | 1.21 | 1.24 | 24 | |
Class I | |||||||||||||||||
1/1/22 to 6/30/22(6) | $25.31 | 0.23 | (5.77) | (5.54) | (0.05) | — | (0.34) | (0.39) | (5.93) | $19.38 | (22.04) % | $ 9,309 | 0.85 % | 0.92 % | 2.05 % | 8 % | |
1/1/21 to 12/31/21 | 17.70 | 0.23 | 8.02 | 8.25 | (0.23) | — | (0.41) | (0.64) | 7.61 | 25.31 | 46.87 | 8,321 | 0.85 | 0.92 | 1.04 | 16 | |
1/1/20 to 12/31/20 | 18.51 | 0.34 | (0.60) | (0.26) | (0.22) | — | (0.33) | (0.55) | (0.81) | 17.70 | (1.33) | 4,152 | 0.89 (7) | 0.95 | 2.08 | 26 | |
1/1/19 to 12/31/19 | 16.35 | 0.40 | 4.14 | 4.54 | (0.36) | — | (2.02) | (2.38) | 2.16 | 18.51 | 27.78 | 2,173 | 0.91 (7) | 0.95 | 2.04 | 44 | |
1/1/18 to 12/31/18 | 19.19 | 0.34 | (1.43) | (1.09) | (0.35) | — | (1.40) | (1.75) | (2.84) | 16.35 | (6.36) | 215 | 0.91 | 0.94 | 1.85 | 20 | |
1/1/17 to 12/31/17 | 20.27 | 0.30 | 0.93 | 1.23 | (0.35) | — | (1.96) | (2.31) | (1.08) | 19.19 | 6.25 | 207 | 0.91 | 0.96 | 1.49 | 24 | |
KAR Capital Growth Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/22 to 6/30/22(6) | $49.16 | (0.09) | (18.70) | (18.79) | — | — | (0.85) | (0.85) | (19.64) | $29.52 | (38.43) % | $186,025 | 1.03 % | 1.10 % | (0.46) % | 11 % | |
1/1/21 to 12/31/21 | 48.92 | (0.33) | 6.12 | 5.79 | — | — | (5.55) | (5.55) | 0.24 | 49.16 | 12.14 | 316,332 | 1.03 | 1.08 | (0.66) | 5 | |
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 | |
KAR Equity Income Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/22 to 6/30/22(6) | $12.71 | 0.17 | (0.72) | (0.55) | (0.01) | — | (0.05) | (0.06) | (0.61) | $12.10 | (4.21) % | $ 92,991 | 0.98 % | 1.12 % | 2.69 % | 12 % | |
1/1/21 to 12/31/21 | 11.54 | 0.29 | 1.69 | 1.98 | (0.29) | — | (0.52) | (0.81) | 1.17 | 12.71 | 17.39 | 102,591 | 0.98 | 1.12 | 2.32 | 23 | |
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 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Payment from Affiliate | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
KAR Small-Cap Growth Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/22 to 6/30/22(6) | $36.17 | (0.08) | (9.60) | (9.68) | — | (0.48) | (0.48) | — | (10.16) | $26.01 | (26.84) % | $ 81,717 | 1.14 % | 1.27 % | (0.57) % | 6 % | |
1/1/21 to 12/31/21 | 40.14 | (0.32) | 2.26 | 1.94 | — | (5.91) | (5.91) | — | (3.97) | 36.17 | 4.98 | 118,751 | 1.16 (7) | 1.26 | (0.80) | 9 | |
1/1/20 to 12/31/20 | 31.48 | (0.35) | 14.19 | 13.84 | — | (5.18) | (5.18) | — | 8.66 | 40.14 | 44.64 | 126,411 | 1.16 | 1.28 | (1.00) | 17 | |
1/1/19 to 12/31/19 | 26.70 | (0.16) | 10.00 | 9.84 | — | (5.06) | (5.06) | — | 4.78 | 31.48 | 37.31 | 96,996 | 1.19 (7) | 1.28 | (0.49) | 11 | |
1/1/18 to 12/31/18 | 28.66 | (0.03) | 3.66 | 3.63 | — | (5.59) | (5.59) | — | (1.96) | 26.70 | 11.66 | 80,309 | 1.19 | 1.27 | (0.10) | 20 | |
1/1/17 to 12/31/17 | 21.61 | (0.12) | 8.93 | 8.81 | — | (1.76) | (1.76) | — | 7.05 | 28.66 | 40.85 | 79,597 | 1.19 | 1.30 | (0.49) | 18 | |
Class I | |||||||||||||||||
1/1/22 to 6/30/22(6) | $37.68 | (0.05) | (10.00) | (10.05) | — | (0.48) | (0.48) | — | (10.53) | $27.15 | (26.75) % | $ 6,956 | 0.89 % | 1.02 % | (0.32) % | 6 % | |
1/1/21 to 12/31/21 | 41.49 | (0.23) | 2.33 | 2.10 | — | (5.91) | (5.91) | — | (3.81) | 37.68 | 5.21 | 9,706 | 0.91 (7) | 1.01 | (0.55) | 9 | |
1/1/20 to 12/31/20 | 32.33 | (0.27) | 14.61 | 14.34 | — | (5.18) | (5.18) | — | 9.16 | 41.49 | 45.02 | 10,616 | 0.91 | 1.03 | (0.74) | 17 | |
1/1/19 to 12/31/19 | 27.25 | (0.08) | 10.22 | 10.14 | — | (5.06) | (5.06) | — | 5.08 | 32.33 | 37.66 | 6,619 | 0.94 (7) | 1.03 | (0.25) | 11 | |
1/1/18 to 12/31/18 | 29.08 | 0.04 | 3.72 | 3.76 | — | (5.59) | (5.59) | — | (1.83) | 27.25 | 11.95 | 3,665 | 0.94 | 1.03 | 0.12 | 20 | |
1/1/17 to 12/31/17 | 21.86 | (0.06) | 9.04 | 8.98 | — | (1.76) | (1.76) | — | 7.22 | 29.08 | 41.16 | 1,858 | 0.94 | 1.05 | (0.24) | 18 | |
KAR Small-Cap Value Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/22 to 6/30/22(6) | $19.88 | — (9) | (4.90) | (4.90) | (0.01) | (0.66) | (0.67) | — | (5.57) | $14.31 | (24.96) % | $ 66,781 | 1.10 % | 1.33 % | 0.03 % | 4 % | |
1/1/21 to 12/31/21 | 18.96 | 0.03 | 3.68 | 3.71 | (0.03) | (2.76) | (2.79) | — | 0.92 | 19.88 | 19.72 | 91,698 | 1.10 | 1.31 | 0.13 | 11 | |
1/1/20 to 12/31/20 | 15.78 | 0.16 | 4.43 | 4.59 | (0.18) | (1.23) | (1.41) | — | 3.18 | 18.96 | 29.65 | 88,445 | 1.10 | 1.34 | 1.04 | 22 | |
1/1/19 to 12/31/19 | 12.96 | 0.11 | 3.08 | 3.19 | (0.15) | (0.22) | (0.37) | — | 2.82 | 15.78 | 24.63 | 77,271 | 1.10 | 1.34 | 0.73 | 8 | |
1/1/18 to 12/31/18 | 17.36 | 0.12 | (2.72) | (2.60) | (0.15) | (1.65) | (1.80) | — | (4.40) | 12.96 | (15.88) | 69,861 | 1.19 (7) | 1.33 | 0.74 | 11 | |
1/1/17 to 12/31/17 | 16.69 | 0.05 | 3.23 | 3.28 | (0.12) | (2.49) | (2.61) | — | 0.67 | 17.36 | 20.16 | 94,638 | 1.20 | 1.34 | 0.26 | 20 | |
Newfleet Multi-Sector Intermediate Bond Series | |||||||||||||||||
Class A | |||||||||||||||||
1/1/22 to 6/30/22(6) | $ 9.40 | 0.14 | (1.05) | (0.91) | (0.02) | — | (0.02) | — | (0.93) | $ 8.47 | (9.71) % | $ 95,988 | 0.92 % (10) | 0.92 % | 3.15 % | 25 % | |
1/1/21 to 12/31/21 | 9.58 | 0.29 | (0.20) | 0.09 | (0.27) | — | (0.27) | — | (0.18) | 9.40 | 0.97 | 111,758 | 0.92 (10)(11) | 0.91 | 3.00 | 64 | |
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 (10)(11) | 0.93 | 3.54 | 92 | |
1/1/19 to 12/31/19 | 8.72 | 0.37 | 0.54 | 0.91 | (0.35) | — | (0.35) (9) | — (9) | 0.56 | 9.28 | 10.47 (12) | 116,901 | 0.94 (10)(11) | 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 | |
Class I | |||||||||||||||||
1/1/22 to 6/30/22(6) | $ 9.39 | 0.15 | (1.06) | (0.91) | (0.02) | — | (0.02) | — | (0.93) | $ 8.46 | (9.72) % | $ 1,843 | 0.68 % (10) | 0.68 % | 3.43 % | 25 % | |
1/1/21 to 12/31/21 | 9.57 | 0.31 | (0.19) | 0.12 | (0.30) | — | (0.30) | — | (0.18) | 9.39 | 1.29 | 1,501 | 0.67 (10)(11) | 0.67 | 3.21 | 64 | |
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 (10)(11) | 0.69 | 3.84 | 92 | |
1/1/19 to 12/31/19 | 8.70 | 0.39 | 0.55 | 0.94 | (0.37) | — | (0.37) (9) | — (9) | 0.57 | 9.27 | 10.89 (12) | 954 | 0.69 (10)(11) | 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 |
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) | Total from Investment Operations | Dividends from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | Change in Net Asset Value | Net Asset Value, End of Period | Total Return(2)(3) | Net Assets, End of Period (in thousands) | Ratio of Net Expenses to Average Net Assets(4)(5) | Ratio of Gross Expenses to Average Net Assets(4)(5) | Ratio of Net Investment Income (Loss) to Average Net Assets(4) | Portfolio Turnover Rate(2) | ||
SGA International Growth Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/22 to 6/30/22(6) | $14.40 | 0.01 | (3.19) | (3.18) | — | (0.31) | (0.31) | (3.49) | $10.91 | (22.18) % | $123,996 | 1.14 % | 1.17 % | 0.21 % | 14 % | |
1/1/21 to 12/31/21 | 14.47 | (0.03) | 1.21 | 1.18 | — | (1.25) | (1.25) | (0.07) | 14.40 | 8.32 | 163,146 | 1.14 | 1.16 | (0.19) | 28 | |
1/1/20 to 12/31/20 | 11.86 | (0.01) | 2.81 | 2.80 | — | (0.19) | (0.19) | 2.61 | 14.47 | 23.64 | 164,468 | 1.18 (7)(13) | 1.21 | (0.12) | 34 | |
1/1/19 to 12/31/19 | 10.09 | 0.12 | 1.75 | 1.87 | (0.10) | — | (0.10) | 1.77 | 11.86 | 18.54 | 148,000 | 1.20 (7)(13) | 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 (11) | 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 | |
Class I | ||||||||||||||||
1/1/22 to 6/30/22(6) | $14.44 | 0.03 | (3.20) | (3.17) | — | (0.31) | (0.31) | (3.48) | $10.96 | (22.10) % | $ 104 | 0.89 % | 0.92 % | 0.47 % | 14 % | |
1/1/21 to 12/31/21 | 14.47 | 0.01 | 1.21 | 1.22 | — | (1.25) | (1.25) | (0.03) | 14.44 | 8.60 | 134 | 0.89 | 0.92 | 0.06 | 28 | |
1/1/20 to 12/31/20 | 11.83 | 0.02 | 2.81 | 2.83 | — | (0.19) | (0.19) | 2.64 | 14.47 | 23.95 | 123 | 0.93 (7)(13) | 0.97 | 0.13 | 34 | |
1/1/19 to 12/31/19 | 10.07 | 0.15 | 1.74 | 1.89 | (0.13) | — | (0.13) | 1.76 | 11.83 | 18.77 | 100 | 0.95 (7)(13) | 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 (11) | 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 | |
Strategic Allocation Series | ||||||||||||||||
Class A | ||||||||||||||||
1/1/22 to 6/30/22(6) | $17.50 | 0.04 | (5.55) | (5.51) | — | (0.20) | (0.20) | (5.71) | $11.79 | (31.56) % | $ 66,521 | 0.98 % | 0.99 % | 0.54 % | 15 % | |
1/1/21 to 12/31/21 | 17.81 | 0.03 | 1.28 | 1.31 | (0.07) | (1.55) | (1.62) | (0.31) | 17.50 | 7.57 | 103,157 | 0.98 (10)(11) | 0.98 | 0.17 | 21 | |
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 |
Footnote Legend: | |
(1) | Calculated using average shares outstanding. |
(2) | Not annualized for periods less than one year. |
(3) | The total return does not include the expenses associated with the annuity or life insurance policy through which you invest. |
(4) | Annualized for periods less than one year. |
(5) | The Series will also indirectly bear their prorated share of expenses of any underlying funds in which they invest. Such expenses are not included in the calculation of this ratio. |
(6) | Unaudited. |
(7) | Due to a change in expense cap, the ratio shown is a blended expense ratio. |
(8) | The Series’ portfolio turnover rate increased substantially during the years due to a change in the Series’ subadviser and associated repositioning. |
(9) | Amount is less than $0.005 per share. |
(10) | The share class is currently below its expense cap. |
(11) | See Note 3D in Notes to Financial Statements for information on recapture of expenses previously reimbursed. |
(12) | Payment from affiliate had no impact on total return. |
(13) | Net expense ratio includes extraordinary proxy expenses. |
NOTES TO FINANCIAL STATEMENTS (Unaudited)
Series | Investment objective(s) | |
Duff & Phelps Real Estate Securities Series | Capital appreciation and income with approximately equal emphasis. | |
KAR Capital Growth Series | Long-term growth of capital. | |
KAR Equity Income Series | Capital appreciation and current income. | |
KAR Small-Cap Growth Series | Long-term capital growth. | |
KAR Small-Cap Value Series | Long-term capital appreciation. | |
Newfleet Multi-Sector Intermediate Bond Series | Long-term total return. | |
SGA International Growth Series | High total return consistent with reasonable risk. | |
Strategic Allocation Series | High total return over an extended period of time consistent with prudent investment risk. |
A. | Security Valuation |
Each Series utilizes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Series’ policy is to recognize transfers into or out of Level 3 at the end of the reporting period. | |
• Level 1 – quoted prices in active markets for identical securities (security types generally include listed equities). |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
B. | Security Transactions and Investment Income |
Security transactions are recorded on the trade date. Realized gains and losses from the sale of securities are determined on the identified cost basis. Dividend income is recognized on the ex-dividend date or, in the case of certain foreign securities, as soon as a Series is notified. Interest income is recorded on the accrual basis. Each Series amortizes premiums and accretes discounts using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Any distributions from underlying funds are recorded in accordance with the character of the distributions as designated by the underlying funds. | |
Dividend income from REITs is recorded using management’s estimate of the percentage of income included in distributions received from such investments based on historical information and other industry sources. The return of capital portion of the estimate is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed their cost basis, the distributions are treated as realized gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts. | |
C. | Income Taxes |
Each Series is treated as a separate taxable entity. It is the intention of each Series to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”) and to distribute substantially all of its taxable income to its shareholders. Therefore, no provision for federal income taxes or excise taxes has been made. | |
Certain Series may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. Each Series will accrue such taxes and recoveries as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. | |
Management of the Series has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Each Series’ U.S. federal income tax return is generally subject to examination by the Internal Revenue Service for a period of three years after it is filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction. | |
D. | Distributions to Shareholders |
Distributions are recorded by each Series on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. | |
E. | Expenses |
Expenses incurred together by a Series and other affiliated mutual funds are allocated in proportion to the net assets of each such Series or fund, except where allocation of direct expenses to each Series or fund, 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. For fixed income securities, the Series bifurcate 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 and such fluctuations are included with the net realized and unrealized gain or loss on foreign currency |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
transactions. For equity securities, 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 and such fluctuations are included with the net realized and unrealized gain or loss on investments. | |
G. | Payment-In-Kind Securities |
Certain Series may invest in payment-in-kind securities, which are debt or preferred stock securities that require or permit payment of interest in the form of additional securities. Payment-in-kind securities allow the issuer to avoid or delay the need to generate cash to meet current interest payments and, as a result, may involve greater risk than securities that pay interest currently or in cash. | |
H. | When-issued Purchases and Forward Commitments (Delayed Delivery) |
Certain 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. | |
I. | 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. | |
J. | 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, SOFR, the prime rate offered by one or more U.S. banks or the certificate of deposit rate. When a leveraged loan is purchased a 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. | |
K. | Warrants |
The Series may receive warrants. Warrants are securities that are usually issued together with a debt security or preferred stock and that give the holder the right to buy a proportionate amount of common stock at a specified price. Warrants may be freely transferable and are often traded on major exchanges. Warrants normally have a life that is measured in years and entitle the holder to buy common stock of a company at a price that is usually higher than the market price at the time the warrant is issued. Warrants may entail greater risks than certain other types of investments. Generally, warrants do not carry the right to receive dividends or exercise voting rights with respect to the underlying securities, and they do not represent any rights in the assets of the issuer. In addition, their value does not necessarily change with the value of the underlying securities, and they cease to have value if they are not exercised on or before their expiration date. If the market price of the underlying stock does not exceed the exercise price during the life of the warrant, the warrant will expire worthless. Warrants may increase the potential profit or loss to be realized from the investment as compared with investing the same amount in the underlying securities. Similarly, the percentage increase or decrease in the value of an equity security warrant may be greater than the percentage increase or decrease in the value of the underlying common stock. Warrants may relate to the purchase of equity or debt securities. Debt obligations with warrants attached to purchase equity securities have many characteristics of convertible securities and their prices may, to some degree, reflect the performance of the underlying stock. Debt obligations also may be issued |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
with warrants attached to purchase additional debt securities at the same coupon rate. A decline in interest rates would permit a Series to sell such warrants at a profit. If interest rates rise, these warrants would generally expire with no value. | |
L. | 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 bringing the collateral market value in line with the required percent. Due to timing of collateral adjustments, the market value of collateral held with respect to a loaned security, may be more or less than the value of the security on loan. | |
Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by the Series net of fees and rebates charged/paid by BNYM for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral. | |
Securities lending transactions are entered into by each Series under a Master Securities Lending Agreement (“MSLA”) which permits the Series, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset amounts payable by the Series to the same counterparty against amounts to be received and create one single net payment due to or from the Series. | |
At June 30, 2022, the securities loaned were subject to a MSLA on a net payment basis as follows: |
Series | Value of Securities on Loan | Cash Collateral Received(1) | Net Amount(2) | |||
KAR Equity Income Series | $ 548 | $ 548 | $ — | |||
Newfleet Multi-Sector Intermediate Bond Series | 494 | 494 | — | |||
SGA International Growth Series | 4,315 | 4,315 | — |
(1) | Collateral received in excess of the market value of securities on loan is not presented in this table. The cash collateral received in connection with securities lending transactions has been used for the purchase of securities as disclosed in the Series’ Schedule of Investments. |
(2) | Net amount represents the net amount receivable due from the counterparty in the event of default. |
Series | Investment of Cash Collateral | Overnight and Continuous | ||
KAR Equity Income Series | Money Market Mutual Fund | $ 560 | ||
Newfleet Multi-Sector Intermediate Bond Series | Money Market Mutual Fund | 515 | ||
SGA International Growth Series | Money Market Mutual Fund | 4,368 |
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’ subadvisers. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
As compensation for its services to the Series, the Adviser is entitled to a fee, which is calculated daily and paid monthly based upon the following annual rates as a percentage of the average daily net assets of each Series: |
Series | First $250 Million | Next $250 Million | Over $500 Million | |||
KAR Capital Growth Series | 0.70% | 0.65% | 0.60% | |||
KAR Equity Income Series | 0.70 | 0.65 | 0.60 | |||
Newfleet Multi-Sector Intermediate Bond Series | 0.50 | 0.45 | 0.40 | |||
SGA International Growth Series | 0.75 | 0.70 | 0.65 | |||
Strategic Allocation Series | 0.55 | 0.50 | 0.45 | |||
First $1 Billion | Next $1 Billion | Over $2 Billion | ||||
Duff & Phelps Real Estate Securities Series | 0.75% | 0.70% | 0.65% | |||
First $1 Billion | $1+ Billion | |||||
KAR Small-Cap Growth Series | 0.85% | 0.80% | ||||
First $400 Million | $400+ Million to $1 Billion | Over $1 Billion | ||||
KAR Small-Cap Value Series | 0.90% | 0.85% | 0.80% |
B. | Subadvisers |
The subadvisers manage the investments of each Series for which they are paid a fee by the Adviser. A list of the subadvisers and the Series they serve as of the end of the period is as follows: |
Series | Subadviser | |
Duff & Phelps Real Estate Securities Series | DPIM (1) | |
KAR Capital Growth Series | KAR (2) | |
KAR Equity Income Series | KAR (2) | |
KAR Small-Cap Growth Series | KAR (2) | |
KAR Small-Cap Value Series | KAR (2) |
Series | Subadviser | |
Newfleet Multi-Sector Intermediate Bond Series | Newfleet (3) | |
SGA International Growth Series | SGA (4) | |
Strategic Allocation Series | ||
(Equity Portfolio) | KAR (2) | |
(Fixed Income Portfolio) | Newfleet (3) |
C. | Expense Limitations |
The Adviser has contractually agreed to limit each Series’ annual total operating expenses, subject to the exceptions listed below, so that such expenses do not exceed, on an annualized basis, the following respective percentages of average daily net assets through April 30, 2023. Following the contractual period, the Adviser may discontinue these expense limitation arrangements at any time. The waivers and reimbursements are accrued daily and received monthly. |
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 | 1.14 | 0.89 | ||
KAR Small-Cap Value Series | 1.10 | N/A | ||
Newfleet Multi-Sector Intermediate Bond Series | 0.94 (1) | 0.69 (1) | ||
SGA International Growth Series | 1.14 | 0.89 | ||
Strategic Allocation Series | 0.98 | N/A |
(1) | Each share class is currently below its expense cap. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
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 period ending: |
Expiration | ||||||||||
Series | 2022 | 2023 | 2024 | 2025 | Total | |||||
Duff & Phelps Real Estate Securities Series | ||||||||||
Class A | $ 18 | $ 41 | $ 63 | $ 32 | $ 154 | |||||
Class I | — (1) | 2 | 4 | 3 | 9 | |||||
KAR Capital Growth Series | ||||||||||
Class A | 97 | 191 | 160 | 79 | 527 | |||||
KAR Equity Income Series | ||||||||||
Class A | 73 | 149 | 138 | 69 | 429 | |||||
KAR Small-Cap Growth Series | ||||||||||
Class A | 47 | 121 | 122 | 61 | 351 | |||||
Class I | 3 | 10 | 11 | 5 | 29 | |||||
KAR Small-Cap Value Series | ||||||||||
Class A | 94 | 174 | 199 | 85 | 552 | |||||
SGA International Growth Series | ||||||||||
Class A | 10 | 42 | 34 | 16 | 102 | |||||
Class I | — (1) | — (1) | — (1) | — (1) | — (1) | |||||
Strategic Allocation Series | ||||||||||
Class A | 11 | 18 | 2 | 4 | 35 | |||||
(1) | Amount is less than $500. |
Series | Class A | Class I | Total | |||
Newfleet Multi-Sector Intermediate Bond Series | $— (1) | $— (1) | $ — (1) | |||
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 six months (the “period”) June 30, 2022, the Series incurred administration fees totaling $438, which are included in the Statements of Operations within the line item “Administration and accounting fees.” The fees are calculated daily and paid monthly. | |
VP Distributors, LLC (“VP Distributors”), an indirect, wholly-owned subsidiary of Virtus, serves as the distributor of each Series’ shares. Each Series pays VP Distributors distribution and/or service fees under a Board-approved Rule 12b-1 plan, at the annual rate of 0.25% of the average daily net assets of such Series’ Class A shares. Class I shares are not subject to a Rule 12b-1 plan. For the period ended June 30, 2022, the Series incurred distribution fees totaling $1,165 which are included in the Statements of Operations within the line item “Distribution and service fees.” A portion of these fees was paid to certain insurance companies for marketing and/or shareholder services provided to contract owners. The fees are calculated daily and paid monthly. | |
F. | Investments with Affiliates |
The Series are permitted to purchase assets from or sell assets to certain affiliates under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of assets by the Series from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers comply with Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. | |
During the period ended June 30, 2022, the Series did not engage in any transactions pursuant to Rule 17a-7 under the 1940 Act. | |
G. | Trustee Compensation |
The Trust provides a deferred compensation plan for its Trustees who receive compensation from the Trust. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred are retained by the Trust, and then, to the extent permitted by the 1940 Act, in turn, may be invested in the shares of affiliated or unaffiliated mutual funds selected by the participating Trustees. Investments in such instruments are included in “Other assets” in the Statements of Assets and Liabilities at June 30, 2022. |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
Purchases | Sales | ||
Duff & Phelps Real Estate Securities Series | $11,929 | $ 9,073 | |
KAR Capital Growth Series | 27,656 | 37,625 | |
KAR Equity Income Series | 11,834 | 16,411 | |
KAR Small-Cap Growth Series | 5,947 | 10,097 | |
KAR Small-Cap Value Series | 2,999 | 5,766 | |
Newfleet Multi-Sector Intermediate Bond Series | 17,316 | 28,473 | |
SGA International Growth Series | 19,824 | 23,697 | |
Strategic Allocation Series | 11,558 | 15,246 |
Purchases | Sales | ||
Newfleet Multi-Sector Intermediate Bond Series | $8,140 | $785 | |
Strategic Allocation Series | 509 | 472 | |
Duff & Phelps Real Estate Securities Series | KAR Capital Growth Series | ||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 838 | $ 19,822 | 1,174 | $ 26,023 | 34 | $ 1,233 | 42 | $ 2,138 | |||||||
Reinvestment of distributions | 77 | 1,612 | 103 | 2,451 | 157 | 5,280 | 686 | 33,537 | |||||||
Shares repurchased | (1,038) | (23,847) | (938) | (20,661) | (324) | (12,391) | (729) | (37,034) | |||||||
Net Increase / (Decrease) | (123) | $ (2,413) | 339 | $ 7,813 | (133) | $ (5,878) | (1) | $ (1,359) | |||||||
Class I | |||||||||||||||
Shares sold | 281 | $ 6,490 | 163 | $ 3,597 | — | $ — | — | $ — | |||||||
Reinvestment of distributions | 9 | 190 | 8 | 189 | — | — | — | — | |||||||
Shares repurchased | (138) | (3,068) | (77) | (1,559) | — | — | — | — | |||||||
Net Increase / (Decrease) | 152 | $ 3,612 | 94 | $ 2,227 | — | $ — | — | $ — |
KAR Equity Income Series | KAR Small-Cap Growth Series | ||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 58 | $ 729 | 180 | $ 2,228 | 12 | $ 370 | 86 | $ 3,319 | |||||||
Reinvestment of distributions | 42 | 530 | 512 | 6,358 | 54 | 1,489 | 473 | 17,413 | |||||||
Shares repurchased | (492) | (6,144) | (1,176) | (14,675) | (208) | (6,166) | (425) | (17,164) | |||||||
Net Increase / (Decrease) | (392) | $ (4,885) | (484) | $ (6,089) | (142) | $ (4,307) | 134 | $ 3,568 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
KAR Equity Income Series | KAR Small-Cap Growth Series | ||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class I | |||||||||||||||
Shares sold | — | $ — | — | $ — | 64 | $ 1,967 | 89 | $ 3,704 | |||||||
Reinvestment of distributions | — | — | — | — | 4 | 121 | 38 | 1,433 | |||||||
Shares repurchased | — | — | — | — | (70) | (2,242) | (125) | (5,153) | |||||||
Net Increase / (Decrease) | — | $ — | — | $ — | (2) | $ (154) | 2 | $ (16) |
KAR Small-Cap Value Series | Newfleet Multi-Sector Intermediate Bond Series | ||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 72 | $ 1,194 | 78 | $ 1,562 | 596 | $ 5,331 | 1,130 | $ 10,858 | |||||||
Reinvestment of distributions | 191 | 2,980 | 583 | 11,714 | 23 | 198 | 341 | 3,205 | |||||||
Shares repurchased | (208) | (3,547) | (714) | (15,070) | (1,164) | (10,378) | (1,945) | (18,631) | |||||||
Net Increase / (Decrease) | 55 | $ 627 | (53) | $ (1,794) | (545) | $ (4,849) | (474) | $ (4,568) | |||||||
Class I | |||||||||||||||
Shares sold | — | $ — | — | $ — | 60 | $ 549 | 268 | $ 2,578 | |||||||
Reinvestment of distributions | — | — | — | — | — (1) | 4 | 5 | 47 | |||||||
Shares repurchased | — | — | — | — | (3) | (26) | (171) | (1,650) | |||||||
Net Increase / (Decrease) | — | $ — | — | $ — | 57 | $ 527 | 102 | $ 975 |
SGA International Growth Series | Strategic Allocation Series | ||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | ||||||||||||
SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | SHARES | AMOUNT | ||||||||
Class A | |||||||||||||||
Shares sold | 177 | $ 2,177 | 186 | $ 2,814 | 34 | $ 476 | 31 | $ 569 | |||||||
Reinvestment of distributions | 301 | 3,499 | 929 | 13,316 | 89 | 1,145 | 522 | 9,129 | |||||||
Shares repurchased | (439) | (5,468) | (1,155) | (17,445) | (377) | (5,442) | (647) | (11,762) | |||||||
Net Increase / (Decrease) | 39 | $ 208 | (40) | $ (1,315) | (254) | $ (3,821) | (94) | $ (2,064) | |||||||
Class I | |||||||||||||||
Reinvestment of distributions | — (1) | $ 3 | 1 | $ 11 | — | $ — | — | $ — | |||||||
Net Increase / (Decrease) | — (1) | $ 3 | 1 | $ 11 | — | $ — | — | $ — |
(1) | Amount is less than 500 shares. |
% of Shares Outstanding | Number of Accounts* | ||
Duff & Phelps Real Estate Securities Series | 71 % | 3 | |
KAR Capital Growth Series | 100 | 2 | |
KAR Equity Income Series | 100 | 2 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
% of Shares Outstanding | Number of Accounts* | ||
KAR Small-Cap Growth Series | 91% | 2 | |
KAR Small-Cap Value Series | 100 | 2 | |
Newfleet Multi-Sector Intermediate Bond Series | 97 | 4 | |
SGA International Growth Series | 98 | 2 | |
Strategic Allocation Series | 100 | 2 |
* | None of the accounts are affiliated. |
Series | Sector | Percentage of Total Investments | ||
Duff & Phelps Real Estate Securities Series | Residential | 28% | ||
Duff & Phelps Real Estate Securities Series | Industrial/Office | 26 | ||
KAR Capital Growth Series | Information Technology | 38 | ||
KAR Small-Cap Growth Series | Financials | 27 | ||
KAR Small-Cap Value Series | Industrials | 33 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
Series | Federal Tax Cost | Unrealized Appreciation | Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||
Duff & Phelps Real Estate Securities Series | $ 70,547 | $ 22,748 | $ (1,574) | $ 21,174 | ||||
KAR Capital Growth Series | 105,100 | 97,087 | (16,132) | 80,955 | ||||
KAR Equity Income Series | 83,158 | 11,234 | (2,210) | 9,024 | ||||
KAR Small-Cap Growth Series | 58,630 | 36,437 | (5,686) | 30,751 | ||||
KAR Small-Cap Value Series | 45,327 | 25,224 | (3,811) | 21,413 | ||||
Newfleet Multi-Sector Intermediate Bond Series | 107,559 | 36 | (11,262) | (11,226) | ||||
SGA International Growth Series | 130,257 | 15,596 | (17,676) | (2,080) | ||||
Strategic Allocation Series | 57,974 | 16,105 | (7,900) | 8,205 |
Series | Short-Term | Long-Term | |||
Newfleet Multi-Sector Intermediate Bond Series | $— | $2,118 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
Trustee Nominee | Votes For | Votes Withheld | ||
Sarah E. Cogan | $766,987,454.12 | $52,787,626.61 | ||
Deborah A. DeCotis | $767,135,936.52 | $52,639,144.21 | ||
F. Ford Drummond | $765,241,853.01 | $54,533,227.72 | ||
Sidney E. Harris | $766,361,727.98 | $53,413,352.75 | ||
Connie D. McDaniel | $767,919,443.29 | $51,855,637.44 | ||
R. Keith Walton | $766,053,346.41 | $53,721,734.32 | ||
Brian T. Zino | $765,955,323.42 | $53,819,757.31 |
Series | Votes For | Votes Against | Abstain | |||
Virtus Duff & Phelps Real Estate Securities Series | $81,225,699.27 or 81.477% of outstanding | $4,552,388.37 or 4.566% of outstanding | $2,905,353.13 or 2.914% of outstanding | |||
Virtus KAR Capital Growth Series | $182,319,023.13 or 90.513% of outstanding | $10,408,210.14 or 5.167% of outstanding | $8,451,423.91 or 4.195% of outstanding | |||
Virtus KAR Equity Income Series | $80,920,541.11 or 82.335% of outstanding | $6,671,654.42 or 6.821% of outstanding | $9,510,837.53 or 9.724% of outstanding | |||
Virtus KAR Small-Cap Growth Series | $73,042,328.13 or 82.922% of outstanding | $3,139,252.83 or 3.563% of outstanding | $4,968,990.68 or 5.641% of outstanding | |||
Virtus KAR Small-Cap Value Series | $56,989,021.75 or 81.245% of outstanding | $4,169,416.70 or 5.944% of outstanding | $8,712,022.20 or 12.420% of outstanding | |||
Virtus Newfleet Multi-Sector Intermediate Bond Series | $68,856,938.39 or 67.986% of outstanding | $5,261,875.54 or 5.195% of outstanding | $9,606,588.57 or 9.484% of outstanding | |||
Virtus SGA International Growth Series | $115,133,223.34 or 89.905% of outstanding | 6,449,328.70 or 5.036% of outstanding | $5,750,075.66 or 4.490% of outstanding | |||
Virtus Strategic Allocation Series | $62,763,592.55 or 88.455% of outstanding | $4,571,206.97 or 6.442% of outstanding | $3,396,087.67 or 4.786% of outstanding |
(the “Series”)
Statutory Prospectus, each dated April 29, 2022, as supplemented
> Alexandra Lee, Portfolio Manager and Principal of SGA. Ms. Lee has served as a Portfolio Manager of the Series since June 2019.
> Kishore Rao, Analyst, Portfolio Manager, Principal and a member of the Investment Committee at SGA.
Mutual Fund Services | 1-800-367-5877 |
Website | Virtus.com |
The Securities and Exchange Commission has modified mailing regulations for semiannual and annual shareholder fund reports to allow mutual fund companies to send a single copy of these reports to shareholders who share the same mailing address. If you would like additional copies, please call Mutual Fund Services at 1-800-367-5877.
please contact us at 1-800-367-5877, or visit Virtus.com.
8508 | 08-22 |
Item 2. Code of Ethics.
Response not required for semi-annual report.
Item 3. Audit Committee Financial Expert.
Response not required for semi-annual report.
Item 4. Principal Accountant Fees and Services.
Response not required for semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Response not required for semi-annual report.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Disclosure not required for open-end management investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Disclosure not required for open-end management investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Disclosure not required for open-end management investment companies.
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.
Disclosure not required for open-end management investment companies.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) |
(a)(2)(1) | Not applicable. |
(a)(2)(2) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Virtus Variable Insurance Trust | |
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) | ||
Date 9/1/22 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ George R. Aylward | |
George R. Aylward, President | ||
(principal executive officer) | ||
Date 9/1/22 | ||
By (Signature and Title)* | /s/ W. Patrick Bradley | |
W. Patrick Bradley, Executive Vice President, Chief Financial Officer and Treasurer (principal financial officer) | ||
Date 9/1/22 |
* | Print the name and title of each signing officer under his or her signature. |