AIG U.S. Government Securities Fund
PORTFOLIO OF INVESTMENTS – June 30, 2020 – (unaudited)
Security Description | Principal Amount | Value (Note 1) | ||||||
U.S. GOVERNMENT AGENCIES — 22.2% | ||||||||
Federal Home Loan Mtg. Corp. — 5.2% | ||||||||
3.50% due 08/01/2030 | $ | 1,726,451 | $ | 1,827,264 | ||||
3.50% due 12/01/2044 | 3,149,067 | 3,388,478 | ||||||
4.00% due 04/01/2034 | 879,973 | 946,801 | ||||||
Federal Home Loan Mtg. Corp. REMIC | 1,010,728 | 1,092,935 | ||||||
|
| |||||||
7,255,478 | ||||||||
|
| |||||||
Federal National Mtg. Assoc. — 1.4% | ||||||||
2.50% due 11/01/2027 | 1,912,234 | 2,026,930 | ||||||
|
| |||||||
Government National Mtg. Assoc. — 15.6% | ||||||||
3.50% due 03/15/2042 | 208,111 | 222,259 | ||||||
3.50% due 06/15/2042 | 1,130,040 | 1,206,397 | ||||||
3.50% due 07/15/2042 | 275,555 | 294,117 | ||||||
3.50% due 02/20/2045 | 554,766 | 593,981 | ||||||
4.00% due 03/15/2039 | 114,594 | 123,634 | ||||||
4.00% due 06/15/2039 | 243,857 | 261,965 | ||||||
4.00% due 12/15/2039 | 171,926 | 185,262 | ||||||
4.00% due 08/15/2040 | 125,319 | 136,065 | ||||||
4.00% due 11/15/2040 | 254,412 | 276,508 | ||||||
4.00% due 09/15/2041 | 650,025 | 706,828 | ||||||
4.00% due 10/15/2041 | 67,415 | 71,865 | ||||||
4.00% due 11/15/2041 | 185,164 | 196,608 | ||||||
4.00% due 12/15/2041 | 284,132 | 303,130 | ||||||
4.00% due 01/15/2042 | 920,182 | 997,555 | ||||||
4.00% due 02/15/2042 | 254,500 | 276,853 | ||||||
4.00% due 03/15/2042 | 115,732 | 125,785 | ||||||
4.50% due 09/15/2033 | 193,502 | 214,151 | ||||||
4.50% due 04/15/2039 | 41,779 | 46,594 | ||||||
4.50% due 05/15/2039 | 77,196 | 86,077 | ||||||
4.50% due 06/15/2039 | 760,828 | 847,924 | ||||||
4.50% due 07/15/2039 | 226,566 | 251,941 | ||||||
4.50% due 09/15/2039 | 112,455 | 125,393 | ||||||
4.50% due 11/15/2039 | 86,377 | 96,359 | ||||||
4.50% due 12/15/2039 | 208,586 | 232,522 | ||||||
4.50% due 02/15/2040 | 531,265 | 591,537 | ||||||
4.50% due 03/15/2040 | 176,321 | 195,902 | ||||||
4.50% due 04/15/2040 | 99,199 | 110,613 | ||||||
4.50% due 07/15/2040 | 158,711 | 174,554 | ||||||
4.50% due 03/15/2041 | 765,215 | 853,406 | ||||||
4.50% due 04/15/2041 | 168,255 | 185,381 | ||||||
4.50% due 06/15/2041 | 113,295 | 124,123 | ||||||
4.50% due 08/15/2041 | 132,044 | 144,679 | ||||||
4.50% due 04/20/2044 | 428,795 | 470,079 | ||||||
5.00% due 08/15/2033 | 192,650 | 216,048 | ||||||
5.00% due 10/15/2033 | 386,573 | 437,802 | ||||||
5.00% due 05/15/2035 | 71,789 | 78,562 | ||||||
5.00% due 08/15/2035 | 206,702 | 234,444 | ||||||
5.00% due 05/15/2036 | 57,265 | 65,453 | ||||||
5.00% due 09/15/2036 | 83,749 | 95,722 | ||||||
5.00% due 01/15/2037 | 125,063 | 142,541 | ||||||
5.00% due 03/15/2037 | 29,581 | 32,862 | ||||||
5.00% due 04/15/2037 | 158,582 | 177,017 | ||||||
5.00% due 04/15/2038 | 193,702 | 219,453 | ||||||
5.00% due 05/15/2038 | 136,252 | 155,807 | ||||||
5.00% due 08/15/2038 | 355,933 | 407,125 | ||||||
5.00% due 02/15/2039 | 61,356 | 70,170 | ||||||
5.00% due 03/15/2039 | 54,455 | 59,663 | ||||||
5.00% due 04/15/2039 | 66,348 | 75,878 | ||||||
5.00% due 07/20/2039 | 584,009 | 659,206 | ||||||
5.00% due 08/15/2039 | 187,038 | 213,586 | ||||||
5.00% due 09/20/2039 | 1,909,084 | 2,155,066 | ||||||
5.00% due 10/15/2039 | 368,945 | 419,679 | ||||||
5.00% due 11/15/2039 | 300,041 | 342,727 | ||||||
5.00% due 12/15/2039 | 292,953 | 333,847 | ||||||
5.00% due 04/15/2040 | 265,900 | 303,411 | ||||||
5.00% due 05/15/2040 | 469,956 | 529,044 | ||||||
5.00% due 07/20/2045 | 230,804 | 259,282 | ||||||
5.50% due 06/15/2033 | 314,912 | 363,710 | ||||||
5.50% due 07/15/2033 | 62,120 | 71,660 | ||||||
5.50% due 10/15/2033 | 96,952 | 113,116 | ||||||
5.50% due 01/15/2034 | 321,612 | 370,957 | ||||||
5.50% due 02/15/2034 | 184,578 | 204,542 | ||||||
5.50% due 04/20/2035 | 295,285 | 340,127 | ||||||
5.50% due 09/15/2035 | 284,160 | 331,362 | ||||||
5.50% due 10/15/2035 | 124,001 | 144,777 | ||||||
5.50% due 02/15/2038 | 90,529 | 105,578 | ||||||
5.50% due 04/15/2038 | 46,525 | 53,686 | ||||||
5.50% due 09/15/2039 | 34,548 | 39,387 | ||||||
5.50% due 03/15/2040 | 184 | 215 | ||||||
6.00% due 04/15/2028 | 82,159 | 93,501 | ||||||
6.00% due 08/15/2033 | 154,262 | 183,831 | ||||||
6.00% due 12/15/2033 | 56,090 | 63,679 | ||||||
6.00% due 09/20/2038 | 619,364 | 711,500 | ||||||
6.50% due 10/15/2031 | 28,839 | 32,520 | ||||||
|
| |||||||
21,638,590 | ||||||||
|
| |||||||
Total U.S. Government Agencies |
| 30,920,998 | ||||||
|
| |||||||
U.S. GOVERNMENT TREASURIES — 76.8% | ||||||||
United States Treasury Bonds — 24.1% | ||||||||
2.00% due 02/15/2050 | 800,000 | 916,188 | ||||||
2.25% due 08/15/2049 | 300,000 | 360,785 | ||||||
2.50% due 02/15/2045 | 1,000,000 | 1,233,516 | ||||||
2.75% due 08/15/2042 | 1,100,000 | 1,410,234 | ||||||
2.75% due 11/15/2042 | 2,000,000 | 2,561,563 | ||||||
3.00% due 05/15/2042 | 2,000,000 | 2,662,734 | ||||||
3.00% due 02/15/2049 | 1,000,000 | 1,380,625 | ||||||
3.13% due 11/15/2041 | 1,500,000 | 2,031,211 | ||||||
3.13% due 02/15/2042 | 1,100,000 | 1,493,035 | ||||||
3.38% due 11/15/2048 | 1,000,000 | 1,469,453 | ||||||
3.50% due 02/15/2039 | 2,000,000 | 2,829,531 | ||||||
4.25% due 11/15/2040 | 3,300,000 | 5,155,863 | ||||||
4.50% due 02/15/2036 | 1,500,000 | 2,296,172 | ||||||
4.75% due 02/15/2041 | 4,000,000 | 6,636,719 | ||||||
|
| |||||||
32,437,629 | ||||||||
|
| |||||||
United States Treasury Notes — 52.7% | ||||||||
0.13% due 04/30/2022 | 1,000,000 | 999,219 | ||||||
0.13% due 05/15/2023 | 1,000,000 | 998,516 | ||||||
0.25% due 04/15/2023 | 1,000,000 | 1,002,109 | ||||||
0.38% due 03/31/2022 | 800,000 | 802,844 | ||||||
0.50% due 03/15/2023 | 1,000,000 | 1,008,711 | ||||||
0.50% due 03/31/2025 | 800,000 | 808,531 | ||||||
1.25% due 03/31/2021 | 1,000,000 | 1,008,047 | ||||||
1.25% due 10/31/2021 | 800,000 | 811,469 | ||||||
1.25% due 07/31/2023 | 1,000,000 | 1,032,930 | ||||||
1.25% due 08/31/2024 | 500,000 | 520,996 |
1.38% due 05/31/2021 | 2,000,000 | 2,021,875 | ||||||
1.50% due 08/31/2021 | 1,000,000 | 1,015,273 | ||||||
1.50% due 09/30/2021 | 1,100,000 | 1,118,133 | ||||||
1.50% due 10/31/2021 | 1,000,000 | 1,017,656 | ||||||
1.50% due 01/31/2022 | 1,175,000 | 1,199,464 | ||||||
1.50% due 08/15/2022 | 1,000,000 | 1,028,281 | ||||||
1.50% due 09/15/2022 | 500,000 | 514,727 | ||||||
1.50% due 01/15/2023 | 800,000 | 826,813 | ||||||
1.50% due 02/28/2023 | 2,000,000 | 2,070,469 | ||||||
1.50% due 09/30/2024 | 800,000 | 842,625 | ||||||
1.50% due 08/15/2026 | 2,000,000 | 2,131,016 | ||||||
1.50% due 02/15/2030 | 400,000 | 432,406 | ||||||
1.63% due 08/15/2022 | 1,000,000 | 1,030,859 | ||||||
1.63% due 11/15/2022 | 1,000,000 | 1,034,375 | ||||||
1.63% due 05/15/2026 | 1,000,000 | 1,071,680 | ||||||
1.63% due 08/15/2029 | 500,000 | 545,566 | ||||||
1.75% due 10/31/2020 | 200,000 | 201,033 | ||||||
1.75% due 05/15/2022 | 1,875,000 | 1,930,371 | ||||||
1.75% due 05/15/2023 | 1,000,000 | 1,045,000 | ||||||
1.75% due 11/15/2029 | 1,000,000 | 1,104,062 | ||||||
1.88% due 03/31/2022 | 2,500,000 | 2,574,121 | ||||||
2.00% due 08/31/2021 | 2,000,000 | 2,042,422 | ||||||
2.00% due 11/15/2021 | 1,000,000 | 1,025,000 | ||||||
2.00% due 02/15/2022 | 1,000,000 | 1,029,531 | ||||||
2.00% due 11/30/2022 | 1,000,000 | 1,044,023 | ||||||
2.00% due 02/15/2023 | 1,000,000 | 1,047,695 | ||||||
2.00% due 05/31/2024 | 1,000,000 | 1,069,375 | ||||||
2.00% due 02/15/2025 | 5,000,000 | 5,398,828 | ||||||
2.00% due 08/15/2025 | 3,000,000 | 3,256,641 | ||||||
2.00% due 11/15/2026 | 2,700,000 | 2,964,727 | ||||||
2.13% due 08/15/2021 | 1,000,000 | 1,021,719 | ||||||
2.13% due 12/31/2022 | 1,000,000 | 1,048,711 | ||||||
2.13% due 03/31/2024 | 2,000,000 | 2,142,812 | ||||||
2.25% due 04/30/2021 | 1,000,000 | 1,017,187 | ||||||
2.25% due 11/15/2024 | 1,000,000 | 1,087,148 | ||||||
2.25% due 11/15/2025 | 1,000,000 | 1,101,680 | ||||||
2.25% due 08/15/2027 | 900,000 | 1,010,848 | ||||||
2.25% due 11/15/2027 | 2,000,000 | 2,252,500 | ||||||
2.38% due 08/15/2024 | 1,000,000 | 1,087,969 | ||||||
2.50% due 08/15/2023 | 1,000,000 | 1,072,148 | ||||||
2.50% due 05/15/2024 | 1,000,000 | 1,088,008 | ||||||
2.63% due 11/15/2020 | 200,000 | 201,797 | ||||||
2.63% due 02/28/2023 | 3,000,000 | 3,195,352 | ||||||
2.75% due 11/15/2023 | 2,500,000 | 2,714,258 | ||||||
2.75% due 02/15/2024 | 1,000,000 | 1,091,836 | ||||||
2.88% due 10/31/2020 | 500,000 | 504,446 | ||||||
|
| |||||||
74,265,838 | ||||||||
|
| |||||||
Total U.S. Government Treasuries |
| 106,703,467 | ||||||
|
| |||||||
Total Long-Term Investment Securities |
| 137,624,465 | ||||||
|
| |||||||
REPURCHASE AGREEMENTS — 0.6% |
| |||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00%, dated 06/30/2020, to be repurchased 07/01/2020 in the amount of $836,000 and collateralized by $815,000 of United States Treasury Notes, bearing interest at 1.25%, due 08/31/2024 and having an approximate value of $852,728 | 836,000 | 836,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS | 99.6 | % | 138,460,465 | |||||
Other assets less liabilities | 0.4 | 588,813 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 139,049,278 | ||||
|
|
|
|
(1) | Collateraized Mortgage Obligation |
REMIC – Real Estate Mortgage Investment Conduit
The following is a summary of the inputs used to value the Fund’s net assets as of June 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
U.S. Government Agencies | $ | – | $ | 30,920,998 | $ | – | $ | 30,920,998 | ||||||||
U.S. Government Treasuries | – | 106,703,467 | – | 106,703,467 | ||||||||||||
Repurchase Agreements | – | 836,000 | – | 836,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | – | $ | 138,460,465 | $ | – | $ | 138,460,465 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Portfolio of Investments
AIG Strategic Bond Fund
PORTFOLIO OF INVESTMENTS – June 30, 2020 – (unaudited)
Security Description | Principal Amount/ Shares (14) | Value (Note 1) | ||||||||||
ASSET BACKED SECURITIES – 2.0% | ||||||||||||
Diversified Financial Services – 2.0% | ||||||||||||
AmeriCredit Automobile Receivables Trust | $ | 200,000 | $ | 204,174 | ||||||||
BA Credit Card Trust | 200,000 | 205,647 | ||||||||||
BA Credit Card Trust | 204,000 | 208,158 | ||||||||||
BANK | 239,000 | 257,386 | ||||||||||
Benchmark Mtg. Trust | 300,000 | 337,863 | ||||||||||
BX Commercial Mtg. Trust FRS | 400,000 | 384,140 | ||||||||||
Capital One Prime Auto Receivables Trust | 100,000 | 102,268 | ||||||||||
CarMax Auto Owner Trust | 65,000 | 67,021 | ||||||||||
CarMax Auto Owner Trust | 200,000 | 206,210 | ||||||||||
Chase Mtg. Finance Corp. VRS | 251,957 | 254,122 | ||||||||||
Citibank Credit Card Issuance Trust | 100,000 | 101,194 | ||||||||||
COMM Mtg. Trust VRS | 132,000 | 138,300 | ||||||||||
GM Financial Consumer Automobile Receivables Trust | 50,000 | 51,134 | ||||||||||
Honda Auto Receivables Owner Trust | 100,000 | 101,349 | ||||||||||
Honda Auto Receivables Owner Trust | 70,000 | 71,918 | ||||||||||
ILPT Trust | 590,000 | 663,521 | ||||||||||
Jackson Park Trust | 500,000 | 530,157 | ||||||||||
JP Morgan Mtg. Trust VRS | 424,810 | 429,742 | ||||||||||
JP Morgan Mtg. Trust VRS | 386,712 | 392,942 | ||||||||||
Mercedes-Benz Auto Lease Trust | 31,000 | 31,693 | ||||||||||
Mercedes-Benz Auto Lease Trust | 321,000 | 326,891 | ||||||||||
Morgan Stanley Capital Barclays Bank Trust | 185,000 | 184,271 | ||||||||||
MTRO Commercial Mtg. Trust FRS | 350,000 | 331,954 | ||||||||||
One Bryant Park Trust | 390,000 | 412,677 | ||||||||||
Shellpoint Co-Originator Trust VRS | 114,086 | 116,734 | ||||||||||
Toyota Auto Loan Extended Note Trust | 100,000 | 106,433 | ||||||||||
Toyota Auto Receivables Owner Trust | 125,000 | 131,409 | ||||||||||
World Financial Network Credit Card Master Trust | 100,000 | 99,262 | ||||||||||
|
| |||||||||||
Total Asset Backed Securities | 6,448,570 | |||||||||||
|
| |||||||||||
CONVERTIBLE BONDS & NOTES – 0.1% | ||||||||||||
Pipelines – 0.1% | ||||||||||||
Cheniere Energy, Inc. | 342,000 | 345,317 | ||||||||||
|
| |||||||||||
U.S. CORPORATE BONDS & NOTES – 35.7% | ||||||||||||
Advertising Agencies – 0.1% | ||||||||||||
Omnicom Group, Inc. | 116,000 | 118,357 | ||||||||||
Omnicom Group, Inc. | 27,000 | 31,438 | ||||||||||
|
| |||||||||||
149,795 | ||||||||||||
|
| |||||||||||
Advertising Sales – 0.2% | ||||||||||||
National CineMedia LLC | 803,000 | 660,467 | ||||||||||
|
| |||||||||||
Aerospace/Defense – 0.1% | ||||||||||||
BAE Systems Holdings, Inc. | 162,000 | 179,381 | ||||||||||
|
| |||||||||||
Aerospace/Defense-Equipment – 0.2% | ||||||||||||
Spirit AeroSystems, Inc. | 500,000 | 493,125 | ||||||||||
|
| |||||||||||
Agricultural Operations – 0.0% | ||||||||||||
Archer-Daniels-Midland Co. | 49,000 | 53,172 | ||||||||||
|
|
Airlines – 0.5% | ||||||||||||
American Airlines, Inc. | 590,000 | 558,842 | ||||||||||
Delta Air Lines, Inc. | 598,000 | 617,296 | ||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd. | 395,980 | 396,970 | ||||||||||
|
| |||||||||||
1,573,108 | ||||||||||||
|
| |||||||||||
Applications Software – 0.1% | ||||||||||||
SS&C Technologies, Inc. | 393,000 | 398,754 | ||||||||||
|
| |||||||||||
Auction Houses/Art Dealers – 0.2% | ||||||||||||
Sotheby’s | 671,000 | 634,095 | ||||||||||
|
| |||||||||||
Auto-Cars/Light Trucks – 1.0% | ||||||||||||
Daimler Finance North America LLC FRS | 320,000 | 316,571 | ||||||||||
Daimler Finance North America LLC | 228,000 | 229,746 | ||||||||||
Ford Motor Co. | 519,000 | 522,591 | ||||||||||
Ford Motor Co. | 96,000 | 101,040 | ||||||||||
Ford Motor Co. | 69,000 | 72,968 | ||||||||||
Ford Motor Credit Co. LLC | 200,000 | 200,080 | ||||||||||
General Motors Co. | 88,000 | 102,543 | ||||||||||
General Motors Financial Co., Inc. | EUR | 160,000 | 172,327 | |||||||||
General Motors Financial Co., Inc. | 116,000 | 114,574 | ||||||||||
Hyundai Capital America | 81,000 | 83,544 | ||||||||||
Nissan Motor Acceptance Corp. FRS | 315,000 | 302,762 | ||||||||||
Nissan Motor Acceptance Corp. | 142,000 | 139,805 | ||||||||||
Tesla, Inc. | 344,000 | 344,000 | ||||||||||
Volkswagen Group of America Finance LLC | 400,000 | 426,894 | ||||||||||
|
| |||||||||||
3,129,445 | ||||||||||||
|
| |||||||||||
Auto-Heavy Duty Trucks – 0.1% | ||||||||||||
Allison Transmission, Inc. | 361,000 | 360,098 | ||||||||||
PACCAR Financial Corp. | 75,000 | 75,287 | ||||||||||
|
| |||||||||||
435,385 | ||||||||||||
|
| |||||||||||
Auto/Truck Parts & Equipment-Original – 0.2% | ||||||||||||
BorgWarner, Inc. | 94,000 | 96,443 | ||||||||||
Dana, Inc. | 379,000 | 378,284 | ||||||||||
Lear Corp. | 75,000 | 76,272 | ||||||||||
|
| |||||||||||
550,999 | ||||||||||||
|
| |||||||||||
Banks-Commercial – 0.5% | ||||||||||||
BankUnited, Inc. | 405,000 | 442,426 | ||||||||||
BankUnited, Inc. | 217,000 | 220,710 | ||||||||||
Citizens Financial Group, Inc. | 31,000 | 31,430 | ||||||||||
Citizens Financial Group, Inc. | 45,000 | 48,634 | ||||||||||
Citizens Financial Group, Inc. | 76,000 | 85,038 | ||||||||||
First Horizon Bank | 250,000 | 263,300 | ||||||||||
Regions Financial Corp. | 190,000 | 270,568 | ||||||||||
Santander Holdings USA, Inc. | 56,000 | 58,334 | ||||||||||
Zions Bancorp NA | 250,000 | 246,469 | ||||||||||
|
| |||||||||||
1,666,909 | ||||||||||||
|
|
Banks-Super Regional – 0.4% |
| |||||||||||
Wells Fargo & Co. | EUR | 300,000 | 339,070 | |||||||||
Wells Fargo & Co. | 24,000 | 24,797 | ||||||||||
Wells Fargo & Co. | 195,000 | 203,402 | ||||||||||
Wells Fargo & Co. | 154,000 | 176,789 | ||||||||||
Wells Fargo & Co. | 173,000 | 213,925 | ||||||||||
Wells Fargo & Co. | 119,000 | 165,170 | ||||||||||
Wells Fargo & Co. | 78,000 | 107,584 | ||||||||||
|
| |||||||||||
1,230,737 | ||||||||||||
|
| |||||||||||
Batteries/Battery Systems – 0.4% |
| |||||||||||
Energizer Holdings, Inc. | 535,000 | 553,169 | ||||||||||
EnerSys | 605,000 | 620,125 | ||||||||||
|
| |||||||||||
1,173,294 | ||||||||||||
|
| |||||||||||
Beverages-Non-alcoholic – 0.2% |
| |||||||||||
Coca-Cola Co. | 101,000 | 102,072 | ||||||||||
Coca-Cola Co. | 116,000 | 127,661 | ||||||||||
Keurig Dr Pepper, Inc. | 78,000 | 88,136 | ||||||||||
PepsiCo, Inc. | 118,000 | 126,109 | ||||||||||
PepsiCo, Inc. | 105,000 | 113,687 | ||||||||||
|
| |||||||||||
557,665 | ||||||||||||
|
| |||||||||||
Brewery – 0.2% |
| |||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 170,000 | 208,026 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc. | 254,000 | 297,337 | ||||||||||
Constellation Brands, Inc. | 75,000 | 81,890 | ||||||||||
|
| |||||||||||
587,253 | ||||||||||||
|
| |||||||||||
Broadcast Services/Program – 0.2% |
| |||||||||||
Discovery Communications LLC | 110,000 | 131,654 | ||||||||||
Univision Communications, Inc. | 229,000 | 215,691 | ||||||||||
Univision Communications, Inc. | 265,000 | 253,075 | ||||||||||
Univision Communications, Inc. | 42,000 | 44,520 | ||||||||||
|
| |||||||||||
644,940 | ||||||||||||
|
| |||||||||||
Building & Construction Products-Misc. – 0.2% |
| |||||||||||
Owens Corning | 151,000 | 153,415 | ||||||||||
Standard Industries, Inc. | 390,000 | 401,415 | ||||||||||
|
| |||||||||||
554,830 | ||||||||||||
|
| |||||||||||
Building & Construction-Misc. – 0.2% |
| |||||||||||
Frontdoor, Inc. | 669,000 | 710,812 | ||||||||||
|
| |||||||||||
Building Products-Air & Heating – 0.1% |
| |||||||||||
Carrier Global Corp. | 160,000 | 156,225 | ||||||||||
Carrier Global Corp. | 68,000 | 66,933 | ||||||||||
|
| |||||||||||
223,158 | ||||||||||||
|
| |||||||||||
Building Products-Cement – 0.1% |
| |||||||||||
Martin Marietta Materials, Inc. | 117,000 | 128,848 | ||||||||||
Vulcan Materials Co. | 72,000 | 78,432 | ||||||||||
|
| |||||||||||
207,280 | ||||||||||||
|
|
Building Products-Doors & Windows – 0.2% |
| |||||||||||
Griffon Corp. | 555,000 | 548,062 | ||||||||||
|
| |||||||||||
Building-Heavy Construction – 0.1% |
| |||||||||||
Tutor Perini Corp. | 475,000 | 452,437 | ||||||||||
|
| |||||||||||
Building-Mobile Home/Manufactured Housing – 0.0% |
| |||||||||||
Winnebago Industries, Inc. | 64,000 | 64,000 | ||||||||||
|
| |||||||||||
Building-Residential/Commercial – 0.0% |
| |||||||||||
Toll Brothers Finance Corp. | 131,000 | 135,913 | ||||||||||
|
| |||||||||||
Cable/Satellite TV – 1.0% |
| |||||||||||
Block Communications, Inc. | 400,000 | 395,116 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 203,000 | 209,598 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 300,000 | 307,500 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 315,000 | 332,325 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 29,000 | 28,444 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 82,000 | 90,759 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 21,000 | 25,291 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 61,000 | 80,610 | ||||||||||
Comcast Corp. | 114,000 | 127,834 | ||||||||||
Comcast Corp. | 48,000 | 56,203 | ||||||||||
Comcast Corp. | 47,000 | 55,809 | ||||||||||
Comcast Corp. | 137,000 | 174,215 | ||||||||||
CSC Holdings LLC | 425,000 | 447,312 | ||||||||||
CSC Holdings LLC | 115,000 | 119,658 | ||||||||||
Sirius XM Radio, Inc. | 390,000 | 399,750 | ||||||||||
Time Warner Cable LLC | 125,000 | 164,442 | ||||||||||
|
| |||||||||||
3,014,866 | ||||||||||||
|
| |||||||||||
Casino Hotels – 0.2% |
| |||||||||||
Boyd Gaming Corp. | 271,000 | 233,060 | ||||||||||
Boyd Gaming Corp. | 355,000 | 337,250 | ||||||||||
|
| |||||||||||
570,310 | ||||||||||||
|
| |||||||||||
Casino Services – 0.2% |
| |||||||||||
Eldorado Resorts, Inc. | 510,000 | 550,963 | ||||||||||
|
| |||||||||||
Cellular Telecom – 0.7% |
| |||||||||||
Sprint Corp. | 1,414,000 | 1,592,518 | ||||||||||
T-Mobile USA, Inc. | 172,000 | 191,429 | ||||||||||
T-Mobile USA, Inc. | 53,000 | 61,306 | ||||||||||
T-Mobile USA, Inc. | 200,000 | 205,500 | ||||||||||
|
| |||||||||||
2,050,753 | ||||||||||||
|
| |||||||||||
Chemicals-Diversified – 0.3% |
| |||||||||||
Olin Corp. | 288,000 | 321,120 | ||||||||||
Westlake Chemical Corp. | EUR | 300,000 | 321,632 | |||||||||
Westlake Chemical Corp. | 185,000 | 188,806 | ||||||||||
|
| |||||||||||
831,558 | ||||||||||||
|
|
Chemicals-Specialty – 0.3% |
| |||||||||
Ecolab, Inc. | 129,000 | 133,905 | ||||||||
Huntsman International LLC | 137,000 | 144,135 | ||||||||
Lubrizol Corp. | 107,000 | 168,337 | ||||||||
Minerals Technologies, Inc. | 340,000 | 345,100 | ||||||||
|
| |||||||||
791,477 | ||||||||||
|
| |||||||||
Coal – 0.2% |
| |||||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. | 745,000 | 629,674 | ||||||||
|
| |||||||||
Commercial Services – 0.1% |
| |||||||||
Nielsen Finance LLC/Nielsen Finance Co. | 435,000 | 433,460 | ||||||||
|
| |||||||||
Commercial Services-Finance – 0.2% |
| |||||||||
MPH Acquisition Holdings LLC | 700,000 | 651,000 | ||||||||
|
| |||||||||
Computer Services – 0.5% |
| |||||||||
Banff Merger Sub, Inc. | 445,000 | 447,781 | ||||||||
IBM Credit LLC | 200,000 | 212,777 | ||||||||
Leidos, Inc. | 68,000 | 74,100 | ||||||||
Leidos, Inc. | 104,000 | 117,151 | ||||||||
Presidio Holdings, Inc. | 300,000 | 300,000 | ||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. | 109,000 | 111,725 | ||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. | 295,000 | 298,687 | ||||||||
|
| |||||||||
1,562,221 | ||||||||||
|
| |||||||||
Computer Software – 0.2% |
| |||||||||
Rackspace Hosting, Inc. | 570,000 | 572,850 | ||||||||
|
| |||||||||
Computers – 0.4% |
| |||||||||
Apple, Inc. | 96,000 | 102,571 | ||||||||
Dell International LLC/EMC Corp. | 420,000 | 481,520 | ||||||||
Dell International LLC/EMC Corp. | 52,000 | 60,972 | ||||||||
Dell International LLC/EMC Corp. | 133,000 | 175,392 | ||||||||
Hewlett Packard Enterprise Co. | 106,000 | 119,028 | ||||||||
Hewlett Packard Enterprise Co. | 119,000 | 145,348 | ||||||||
|
| |||||||||
1,084,831 | ||||||||||
|
| |||||||||
Computers-Integrated Systems – 0.2% |
| |||||||||
Diebold Nixdorf, Inc. | 869,000 | 688,682 | ||||||||
|
| |||||||||
Consumer Products-Misc. – 0.1% |
| |||||||||
Central Garden & Pet Co. | 275,000 | 284,386 | ||||||||
|
| |||||||||
Containers-Metal/Glass – 0.2% |
| |||||||||
Silgan Holdings, Inc. | 501,000 | 507,368 | ||||||||
|
| |||||||||
Containers-Paper/Plastic – 0.2% |
| |||||||||
Bemis Co., Inc. | 48,000 | 49,214 | ||||||||
Sealed Air Corp. | 388,000 | 414,190 | ||||||||
Sonoco Products Co | 152,000 | 158,665 | ||||||||
|
| |||||||||
622,069 | ||||||||||
|
| |||||||||
Cosmetics & Toiletries – 0.3% |
| |||||||||
Coty, Inc. | 956,000 | 812,600 | ||||||||
|
|
Data Processing/Management – 0.2% |
| |||||||||||
Fair Isaac Corp. | 433,000 | 434,082 | ||||||||||
Fiserv, Inc. | EUR | 175,000 | 202,698 | |||||||||
Fiserv, Inc. | 51,000 | 62,071 | ||||||||||
|
| |||||||||||
698,851 | ||||||||||||
|
| |||||||||||
Dental Supplies & Equipment – 0.0% |
| |||||||||||
DENTSPLY SIRONA, Inc. | 73,000 | 76,746 | ||||||||||
|
| |||||||||||
Diagnostic Equipment – 0.2% |
| |||||||||||
Danaher Corp. | EUR | 140,000 | 170,354 | |||||||||
Danaher Corp. | EUR | 100,000 | 128,685 | |||||||||
Ortho-Clinical Diagnostics, Inc. | 116,000 | 117,912 | ||||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA | 283,000 | 287,953 | ||||||||||
|
| |||||||||||
704,904 | ||||||||||||
|
| |||||||||||
Dialysis Centers – 0.2% |
| |||||||||||
DaVita HealthCare Partners, Inc. | 675,000 | 686,812 | ||||||||||
|
| |||||||||||
Direct Marketing – 0.1% |
| |||||||||||
Terrier Media Buyer, Inc. | 240,000 | 230,100 | ||||||||||
|
| |||||||||||
Distribution/Wholesale – 0.4% |
| |||||||||||
H&E Equipment Services, Inc. | 575,000 | 580,629 | ||||||||||
KAR Auction Services, Inc. | 341,000 | 335,885 | ||||||||||
Performance Food Group, Inc. | 410,000 | 395,650 | ||||||||||
|
| |||||||||||
1,312,164 | ||||||||||||
|
| |||||||||||
Diversified Banking Institutions – 1.4% |
| |||||||||||
Bank of America Corp. | EUR | 225,000 | 255,179 | |||||||||
Bank of America Corp. | 219,000 | 222,490 | ||||||||||
Bank of America Corp. | 219,000 | 230,072 | ||||||||||
Bank of America Corp. | 76,000 | 77,849 | ||||||||||
Bank of America Corp. | 55,000 | 68,918 | ||||||||||
Bank of America Corp. | 300,000 | 343,337 | ||||||||||
Citigroup, Inc. | GBP | 100,000 | 130,124 | |||||||||
Citigroup, Inc. | 56,000 | 62,436 | ||||||||||
Citigroup, Inc. | 164,000 | 187,233 | ||||||||||
Citigroup, Inc. | 90,000 | 114,481 | ||||||||||
Citigroup, Inc. | 131,000 | 169,333 | ||||||||||
Citigroup, Inc. | 137,000 | 180,754 | ||||||||||
Goldman Sachs Group, Inc. | 195,000 | 196,241 | ||||||||||
Goldman Sachs Group, Inc. | 243,000 | 267,241 | ||||||||||
Goldman Sachs Group, Inc. | 247,000 | 359,598 | ||||||||||
JPMorgan Chase & Co. | EUR | 275,000 | 308,186 | |||||||||
JPMorgan Chase & Co. | 359,000 | 371,546 | ||||||||||
JPMorgan Chase & Co. | 40,000 | 42,423 | ||||||||||
JPMorgan Chase & Co. | 47,000 | 50,607 | ||||||||||
JPMorgan Chase & Co. | 185,000 | 206,649 | ||||||||||
Morgan Stanley | 54,000 | 61,688 | ||||||||||
Morgan Stanley | 287,000 | 324,035 | ||||||||||
Morgan Stanley | 25,000 | 29,198 | ||||||||||
|
| |||||||||||
4,259,618 | ||||||||||||
|
|
Diversified Manufacturing Operations – 0.1% |
| |||||||||||
Carlisle Cos., Inc. | 77,000 | 79,254 | ||||||||||
General Electric Co. | EUR | 200,000 | 221,961 | |||||||||
General Electric Co. | 43,000 | 42,527 | ||||||||||
Illinois Tool Works, Inc. | 92,000 | 100,775 | ||||||||||
|
| |||||||||||
444,517 | ||||||||||||
|
| |||||||||||
Drug Delivery Systems – 0.0% |
| |||||||||||
Becton Dickinson and Co. | 79,000 | 83,591 | ||||||||||
|
| |||||||||||
E-Commerce/Products – 0.0% |
| |||||||||||
Amazon.com, Inc. | 62,000 | 84,922 | ||||||||||
|
| |||||||||||
E-Commerce/Services – 0.3% |
| |||||||||||
GrubHub Holdings, Inc. | 849,000 | 869,164 | ||||||||||
|
| |||||||||||
Electric Products-Misc. – 0.1% |
| |||||||||||
WESCO Distribution, Inc. | 209,000 | 220,104 | ||||||||||
WESCO Distribution, Inc. | 97,000 | 102,578 | ||||||||||
|
| |||||||||||
322,682 | ||||||||||||
|
| |||||||||||
Electric-Distribution – 0.2% |
| |||||||||||
National Rural Utilities Cooperative Finance Corp. | 112,000 | 122,993 | ||||||||||
NextEra Energy Operating Partners LP | 425,000 | 429,781 | ||||||||||
NSTAR Electric Co. | 102,000 | 123,175 | ||||||||||
|
| |||||||||||
675,949 | ||||||||||||
|
| |||||||||||
Electric-Generation – 0.2% |
| |||||||||||
Emera US Finance LP | 110,000 | 130,427 | ||||||||||
Vistra Operations Co. LLC | 425,000 | 429,781 | ||||||||||
|
| |||||||||||
560,208 | ||||||||||||
|
| |||||||||||
Electric-Integrated – 1.2% |
| |||||||||||
AEP Texas, Inc. |
| 43,000 | 50,820 | |||||||||
Appalachian Power Co. |
| 106,000 | 116,265 | |||||||||
Avangrid, Inc. |
| 261,000 | 285,438 | |||||||||
Berkshire Hathaway Energy Co. |
| 47,000 | 59,186 | |||||||||
Consolidated Edison Co. of New York, Inc. |
| 24,000 | 28,889 | |||||||||
Dominion Energy South Carolina, Inc. |
| 177,000 | 260,793 | |||||||||
Dominion Resources, Inc. |
| 200,000 | 241,487 | |||||||||
DTE Electric Co. |
| 195,000 | 237,262 | |||||||||
Entergy Texas, Inc. |
| 198,000 | 244,559 | |||||||||
Exelon Corp. |
| 78,000 | 99,242 | |||||||||
Exelon Generation Co. LLC |
| 84,000 | 90,695 | |||||||||
FirstEnergy Corp. |
| 236,000 | 344,669 | |||||||||
Interstate Power & Light Co. |
| 80,000 | 86,866 | |||||||||
Kentucky Utilities Co. |
| 44,000 | 46,857 | |||||||||
Pacific Gas and Electric Co. |
| 64,000 | 61,855 | |||||||||
Public Service Co. of Colorado |
| 200,000 | 204,757 |
Public Service Co. of Colorado | 162,000 | 188,136 | ||||||||||
Public Service Co. of Colorado | 106,000 | 133,197 | ||||||||||
Southern California Edison Co. | 56,000 | 61,457 | ||||||||||
Talen Energy Supply LLC | 289,000 | 282,859 | ||||||||||
Talen Energy Supply LLC | 425,000 | 422,875 | ||||||||||
Union Electric Co | 106,000 | 116,488 | ||||||||||
|
| |||||||||||
3,664,652 | ||||||||||||
|
| |||||||||||
Electric-Transmission – 0.0% |
| |||||||||||
ITC Holdings Corp. | 76,000 | 80,946 | ||||||||||
|
| |||||||||||
Electronic Components-Semiconductors – 0.1% |
| |||||||||||
Broadcom, Inc. | 83,000 | 90,195 | ||||||||||
Broadcom, Inc. | 52,000 | 59,767 | ||||||||||
|
| |||||||||||
149,962 | ||||||||||||
|
| |||||||||||
Electronic Measurement Instruments – 0.1% |
| |||||||||||
Trimble, Inc. | 10,000 | 10,879 | ||||||||||
Trimble, Inc. | 205,000 | 235,314 | ||||||||||
|
| |||||||||||
246,193 | ||||||||||||
|
| |||||||||||
Electronic Parts Distribution – 0.3% |
| |||||||||||
Arrow Electronics, Inc. | 65,000 | 70,270 | ||||||||||
Ingram Micro, Inc. | 775,000 | 781,219 | ||||||||||
|
| |||||||||||
851,489 | ||||||||||||
|
| |||||||||||
Energy-Alternate Sources – 0.3% |
| |||||||||||
Hanwha Energy USA Holdings Corp. | 204,000 | 209,284 | ||||||||||
Pattern Energy Group, Inc. | 655,000 | 658,275 | ||||||||||
|
| |||||||||||
867,559 | ||||||||||||
|
| |||||||||||
Enterprise Software/Service – 0.2% |
| |||||||||||
Donnelley Financial Solutions, Inc. | 379,000 | 373,349 | ||||||||||
Oracle Corp. | 218,000 | 236,298 | ||||||||||
|
| |||||||||||
609,647 | ||||||||||||
|
| |||||||||||
Finance-Auto Loans – 0.2% |
| |||||||||||
Credit Acceptance Corp. | 80,000 | 77,256 | ||||||||||
Credit Acceptance Corp. | 601,000 | 603,434 | ||||||||||
|
| |||||||||||
680,690 | ||||||||||||
|
| |||||||||||
Finance-Commercial – 0.1% |
| |||||||||||
GE Capital Funding LLC | 200,000 | 208,121 | ||||||||||
|
| |||||||||||
Finance-Consumer Loans – 0.7% |
| |||||||||||
Enova International, Inc. | 638,000 | 569,415 | ||||||||||
Navient Corp. | 250,000 | 210,000 | ||||||||||
SLM Corp. | 445,000 | 342,650 | ||||||||||
Springleaf Finance Corp. | 180,000 | 168,300 | ||||||||||
Springleaf Finance Corp. | 425,000 | 436,023 | ||||||||||
Synchrony Financial | 481,000 | 511,064 | ||||||||||
|
| |||||||||||
2,237,452 | ||||||||||||
|
| |||||||||||
Finance-Credit Card – 0.4% |
| |||||||||||
Alliance Data Systems Corp. | 533,000 | 479,700 | ||||||||||
American Express Co. | 52,000 | 56,559 | ||||||||||
American Express Co. | 71,000 | 82,512 | ||||||||||
Capital One Financial Corp. FRS | 435,000 | 434,405 | ||||||||||
Mastercard, Inc. | 150,000 | 159,135 | ||||||||||
|
| |||||||||||
1,212,311 | ||||||||||||
|
|
Finance-Investment Banker/Broker – 0.1% |
| |||||||||||
LPL Holdings, Inc. | 406,000 | 411,075 | ||||||||||
|
| |||||||||||
Finance-Mortgage Loan/Banker – 0.1% |
| |||||||||||
Quicken Loans, Inc. | 404,000 | 413,005 | ||||||||||
|
| |||||||||||
Financial Guarantee Insurance – 0.2% |
| |||||||||||
NMI Holdings, Inc. | 212,000 | 221,833 | ||||||||||
Radian Group, Inc. | 365,000 | 374,125 | ||||||||||
|
| |||||||||||
595,958 | ||||||||||||
|
| |||||||||||
Food-Meat Products – 0.1% |
| |||||||||||
Smithfield Foods, Inc. | 76,000 | 75,161 | ||||||||||
Smithfield Foods, Inc. | 79,000 | 80,669 | ||||||||||
Smithfield Foods, Inc. | 75,000 | 81,130 | ||||||||||
|
| |||||||||||
236,960 | ||||||||||||
|
| |||||||||||
Food-Misc./Diversified – 0.6% |
| |||||||||||
Campbell Soup Co. | 98,000 | 99,852 | ||||||||||
Conagra Brands, Inc. | 89,000 | 102,585 | ||||||||||
Conagra Brands, Inc. | 8,000 | 11,046 | ||||||||||
Conagra Brands, Inc. | 112,000 | 149,216 | ||||||||||
Dole Food Co., Inc. | 420,000 | 402,150 | ||||||||||
Kraft Heinz Foods Co. | 197,000 | 200,608 | ||||||||||
Lamb Weston Holdings, Inc. | 670,000 | 695,125 | ||||||||||
Nestle Holdings, Inc. | 152,000 | 172,493 | ||||||||||
|
| |||||||||||
1,833,075 | ||||||||||||
|
| |||||||||||
Food-Retail – 0.4% |
| |||||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 532,000 | 532,000 | ||||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 391,000 | 399,555 | ||||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 308,000 | 317,785 | ||||||||||
Kroger Co. | 45,000 | 51,569 | ||||||||||
|
| |||||||||||
1,300,909 | ||||||||||||
|
| |||||||||||
Food-Wholesale/Distribution – 0.2% |
| |||||||||||
Sysco Corp. | 109,000 | 107,747 | ||||||||||
Sysco Corp. | 79,000 | 99,232 | ||||||||||
Sysco Corp. | 105,000 | 141,595 | ||||||||||
Sysco Corp. | 44,000 | 60,938 | ||||||||||
US Foods, Inc. | 283,000 | 287,953 | ||||||||||
|
| |||||||||||
697,465 | ||||||||||||
|
| |||||||||||
Gambling (Non-Hotel) – 0.2% |
| |||||||||||
Colt Merger Sub, Inc. | 630,000 | 626,062 | ||||||||||
|
| |||||||||||
Gas-Distribution – 0.0% |
| |||||||||||
East Ohio Gas Co. | 45,000 | 44,801 | ||||||||||
NiSource, Inc. | 63,000 | 85,462 | ||||||||||
|
| |||||||||||
130,263 | ||||||||||||
|
| |||||||||||
Hazardous Waste Disposal – 0.0% |
| |||||||||||
Clean Harbors, Inc. | 137,000 | 140,768 | ||||||||||
|
|
Hotels/Motels – 0.2% |
| |||||||||||
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. | 138,000 | 138,690 | ||||||||||
Wyndham Worldwide Corp. | 596,000 | 573,650 | ||||||||||
|
| |||||||||||
712,340 | ||||||||||||
|
| |||||||||||
Human Resources – 0.2% |
| |||||||||||
Korn Ferry International | 727,000 | 705,190 | ||||||||||
|
| |||||||||||
Independent Power Producers – 0.1% |
| |||||||||||
NRG Yield Operating LLC | 375,000 | 379,687 | ||||||||||
|
| |||||||||||
Industrial Gases – 0.0% |
| |||||||||||
Air Products and Chemicals, Inc. | EUR | 100,000 | 112,941 | |||||||||
|
| |||||||||||
Insurance Brokers – 0.1% |
| |||||||||||
Willis North America, Inc. | 89,000 | 98,177 | ||||||||||
Willis North America, Inc. | 85,000 | 108,344 | ||||||||||
|
| |||||||||||
206,521 | ||||||||||||
|
| |||||||||||
Insurance-Life/Health – 0.2% |
| |||||||||||
Brighthouse Financial, Inc. | 90,000 | 81,807 | ||||||||||
Brighthouse Financial, Inc. | 127,000 | 140,970 | ||||||||||
Prudential Financial, Inc. | 259,000 | 264,110 | ||||||||||
Unum Group | 44,000 | 47,260 | ||||||||||
|
| |||||||||||
534,147 | ||||||||||||
|
| |||||||||||
Insurance-Mutual – 0.0% |
| |||||||||||
Liberty Mutual Group, Inc. | 32,000 | 33,659 | ||||||||||
|
| |||||||||||
Insurance-Property/Casualty – 0.1% |
| |||||||||||
AmWINS Group, Inc. | 393,000 | 412,650 | ||||||||||
Assurant, Inc. | 14,000 | 16,851 | ||||||||||
|
| |||||||||||
429,501 | ||||||||||||
|
| |||||||||||
Internet Connectivity Services – 0.1% |
| |||||||||||
Cogent Communications Group, Inc. | 407,000 | 418,701 | ||||||||||
|
| |||||||||||
Internet Content-Entertainment – 0.3% |
| |||||||||||
Netflix, Inc. | 1,025,000 | 1,032,687 | ||||||||||
|
| |||||||||||
Investment Companies – 0.1% |
| |||||||||||
FS Energy & Power Fund | 307,000 | 261,718 | ||||||||||
|
| |||||||||||
Investment Management/Advisor Services – 0.2% |
| |||||||||||
AG Issuer LLC | 668,000 | 621,240 | ||||||||||
Ameriprise Financial, Inc. | 105,000 | 109,263 | ||||||||||
|
| |||||||||||
730,503 | ||||||||||||
|
| |||||||||||
Machinery-Construction & Mining – 0.0% |
| |||||||||||
Caterpillar Financial Services Corp. | 115,000 | 118,193 | ||||||||||
|
| |||||||||||
Machinery-Electrical – 0.1% |
| |||||||||||
ABB Finance USA, Inc. | 134,000 | 141,985 | ||||||||||
|
| |||||||||||
Machinery-Farming – 0.2% |
| |||||||||||
CNH Industrial Capital LLC | 200,000 | 213,101 | ||||||||||
John Deere Capital Corp. | 149,000 | 155,499 | ||||||||||
John Deere Capital Corp. | 109,000 | 119,564 | ||||||||||
John Deere Capital Corp. | 68,000 | 74,766 | ||||||||||
|
| |||||||||||
562,930 | ||||||||||||
|
| |||||||||||
Machinery-Pumps – 0.1% |
| |||||||||||
Xylem, Inc. | 221,000 | 222,895 | ||||||||||
|
| |||||||||||
Medical Labs & Testing Services – 0.1% |
| |||||||||||
Catalent Pharma Solutions, Inc. | 216,000 | 224,236 | ||||||||||
|
|
Medical Products – 0.2% |
| |||||||||||
Baxter International, Inc. | 225,000 | 256,349 | ||||||||||
Stryker Corp. | EUR | 300,000 | 332,628 | |||||||||
|
| |||||||||||
588,977 | ||||||||||||
|
| |||||||||||
Medical-Biomedical/Gene – 0.2% |
| |||||||||||
Amgen, Inc. | 422,000 | 453,227 | ||||||||||
Amgen, Inc. | 85,000 | 94,783 | ||||||||||
Biogen, Inc. | 62,000 | 59,697 | ||||||||||
|
| |||||||||||
607,707 | ||||||||||||
|
| |||||||||||
Medical-Drugs – 0.4% |
| |||||||||||
AbbVie, Inc. FRS | 266,000 | 265,873 | ||||||||||
AbbVie, Inc. | 105,000 | 122,793 | ||||||||||
AbbVie, Inc. | 176,000 | 213,342 | ||||||||||
AbbVie, Inc. | 72,000 | 73,156 | ||||||||||
Bristol-Myers Squibb Co. | 115,000 | 126,646 | ||||||||||
Bristol-Myers Squibb Co. | 8,000 | 10,859 | ||||||||||
Bristol-Myers Squibb Co. | 66,000 | 87,781 | ||||||||||
GlaxoSmithKline Capital, Inc. | 79,000 | 85,180 | ||||||||||
Pfizer, Inc. | 46,000 | 47,591 | ||||||||||
Upjohn, Inc. | 73,000 | 77,642 | ||||||||||
|
| |||||||||||
1,110,863 | ||||||||||||
|
| |||||||||||
Medical-Generic Drugs – 0.2% |
| |||||||||||
Mylan, Inc. | 101,000 | 116,043 | ||||||||||
Par Pharmaceutical, Inc. | 456,000 | 467,947 | ||||||||||
|
| |||||||||||
583,990 | ||||||||||||
|
| |||||||||||
Medical-HMO – 0.3% |
| |||||||||||
Centene Corp. | 268,000 | 276,552 | ||||||||||
Centene Corp. | 63,000 | 66,465 | ||||||||||
Humana, Inc. | 168,000 | 207,444 | ||||||||||
UnitedHealth Group, Inc. | 133,000 | 135,450 | ||||||||||
UnitedHealth Group, Inc. | 65,000 | 69,582 | ||||||||||
UnitedHealth Group, Inc. | 115,000 | 131,022 | ||||||||||
|
| |||||||||||
886,515 | ||||||||||||
|
| |||||||||||
Medical-Hospitals – 0.8% |
| |||||||||||
Acadia Healthcare Co., Inc. | 338,000 | 338,845 | ||||||||||
HCA, Inc. | 81,000 | 93,581 | ||||||||||
HCA, Inc. | 687,000 | 735,949 | ||||||||||
LifePoint Health, Inc. | 604,000 | 570,780 | ||||||||||
Tenet Healthcare Corp. | 700,000 | 685,853 | ||||||||||
|
| |||||||||||
2,425,008 | ||||||||||||
|
| |||||||||||
Medical-Wholesale Drug Distribution – 0.0% |
| |||||||||||
Cardinal Health, Inc. | 122,000 | 134,095 | ||||||||||
|
| |||||||||||
Metal-Copper – 0.2% |
| |||||||||||
Freeport-McMoRan, Inc. | 380,000 | 368,600 | ||||||||||
Freeport-McMoRan, Inc. | 205,000 | 198,850 | ||||||||||
|
| |||||||||||
567,450 | ||||||||||||
|
| |||||||||||
Metal-Iron – 0.3% |
| |||||||||||
Cleveland-Cliffs, Inc. | 608,000 | 517,591 |
Cleveland-Cliffs, Inc. | 376,000 | 362,840 | ||||||||||
Cleveland-Cliffs, Inc. | 56,000 | 58,741 | ||||||||||
|
| |||||||||||
939,172 | ||||||||||||
|
| |||||||||||
Miscellaneous Manufacturing – 0.0% |
| |||||||||||
Hillenbrand, Inc. | 122,000 | 126,270 | ||||||||||
|
| |||||||||||
Multimedia – 0.3% |
| |||||||||||
E.W. Scripps Co. | 897,000 | 852,150 | ||||||||||
Walt Disney Co. | 135,000 | 147,444 | ||||||||||
|
| |||||||||||
999,594 | ||||||||||||
|
| |||||||||||
Non-Profit Charity – 0.0% |
| |||||||||||
Ford Foundation | 95,000 | 98,066 | ||||||||||
|
| |||||||||||
Office Supplies & Forms – 0.0% |
| |||||||||||
Avery Dennison Corp. | 53,000 | 54,322 | ||||||||||
|
| |||||||||||
Oil Companies-Exploration & Production – 0.7% |
| |||||||||||
Apache Corp. | 19,000 | 16,778 | ||||||||||
Apache Corp. | 198,000 | 162,667 | ||||||||||
Callon Petroleum Co. | 162,000 | 60,791 | ||||||||||
Callon Petroleum Co. | 560,000 | 184,800 | ||||||||||
Diamondback Energy, Inc. | 112,000 | 119,843 | ||||||||||
EOG Resources, Inc. | 64,000 | 76,355 | ||||||||||
EOG Resources, Inc. | 70,000 | 89,290 | ||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. | 1,188,000 | 1,021,680 | ||||||||||
Marathon Oil Corp. | 101,000 | 104,456 | ||||||||||
Marathon Oil Corp. | 82,000 | 86,638 | ||||||||||
Noble Energy, Inc. | 76,000 | 67,825 | ||||||||||
Noble Energy, Inc. | 116,000 | 108,042 | ||||||||||
Occidental Petroleum Corp. | 25,000 | 21,125 | ||||||||||
Occidental Petroleum Corp. | 45,000 | 41,837 | ||||||||||
|
| |||||||||||
2,162,127 | ||||||||||||
|
| |||||||||||
Oil Companies-Integrated – 0.2% |
| |||||||||||
BP Capital Markets America, Inc. | 97,000 | 95,318 | ||||||||||
BP Capital Markets America, Inc. | 293,000 | 324,471 | ||||||||||
BP Capital Markets America, Inc. | 62,000 | 70,353 | ||||||||||
Chevron Corp. | 205,000 | 210,811 | ||||||||||
|
| |||||||||||
700,953 | ||||||||||||
|
| |||||||||||
Oil Field Machinery & Equipment – 0.0% |
| |||||||||||
Hi-Crush Partners LP | 683,000 | 37,565 | ||||||||||
|
| |||||||||||
Oil Refining & Marketing – 0.2% |
| |||||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 505,000 | 419,150 | ||||||||||
PBF Holding Co. LLC/PBF Finance Corp. | 49,000 | 52,308 | ||||||||||
Phillips 66 | 105,000 | 101,924 | ||||||||||
|
| |||||||||||
573,382 | ||||||||||||
|
| |||||||||||
Oil-Field Services – 0.5% |
| |||||||||||
Archrock Partners LP/Archrock Partners Finance Corp. | 616,000 | 580,272 |
Baker Hughes a GE Co. LLC/Baker Hughes Co-Obligor, Inc. | 42,000 | 48,485 | ||||||||||
Halliburton Co. | 110,000 | 104,335 | ||||||||||
Nine Energy Service, Inc. | 684,000 | 333,450 | ||||||||||
Schlumberger Holdings Corp. | 108,000 | 118,683 | ||||||||||
USA Compression Partners LP/USA Compression Finance Corp. | 439,000 | 424,184 | ||||||||||
|
| |||||||||||
1,609,409 | ||||||||||||
|
| |||||||||||
Paper & Related Products – 0.2% |
| |||||||||||
Domtar Corp. | 251,000 | 276,045 | ||||||||||
Georgia-Pacific LLC | 114,000 | 118,756 | ||||||||||
Georgia-Pacific LLC | 115,000 | 124,262 | ||||||||||
Georgia-Pacific LLC | 135,000 | 137,150 | ||||||||||
|
| |||||||||||
656,213 | ||||||||||||
|
| |||||||||||
Petrochemicals – 0.0% |
| |||||||||||
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP | 68,000 | 71,041 | ||||||||||
|
| |||||||||||
Pharmacy Services – 0.1% |
| |||||||||||
Cigna Corp. | 57,000 | 75,133 | ||||||||||
CVS Health Corp | 52,000 | 62,137 | ||||||||||
CVS Health Corp. | 180,000 | 223,668 | ||||||||||
CVS Health Corp. | 56,000 | 73,354 | ||||||||||
|
| |||||||||||
434,292 | ||||||||||||
|
| |||||||||||
Pipelines – 1.6% |
| |||||||||||
Buckeye Partners LP | 248,000 | 237,899 | ||||||||||
Buckeye Partners LP | 563,000 | 526,405 | ||||||||||
Cheniere Corpus Christi Holdings LLC | 113,000 | 115,291 | ||||||||||
Cheniere Energy Partners LP | 308,000 | 306,984 | ||||||||||
Colonial Enterprises, Inc. | 47,000 | 51,216 | ||||||||||
DCP Midstream Operating LP | 294,000 | 295,838 | ||||||||||
Enable Midstream Partners LP | 80,000 | 74,103 | ||||||||||
Energy Transfer Operating LP | 166,000 | 166,822 | ||||||||||
Energy Transfer Operating LP | 2,000 | 2,229 | ||||||||||
Energy Transfer Operating LP | 76,000 | 78,327 | ||||||||||
EnLink Midstream Partners LP | 19,000 | 11,833 | ||||||||||
Enterprise Products Operating LLC | 83,000 | 91,540 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 658,000 | 572,460 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 200,000 | 180,000 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 250,000 | 213,750 | ||||||||||
Holly Energy Partners LP/Holly Energy Finance Corp. | 668,000 | 636,270 | ||||||||||
Kinder Morgan, Inc. | EUR | 275,000 | 311,541 | |||||||||
ONEOK Partners LP | 65,000 | 73,250 |
ONEOK, Inc. | 108,000 | 103,330 | ||||||||||
ONEOK, Inc. | 43,000 | 52,236 | ||||||||||
Sabine Pass Liquefaction LLC | 75,000 | 83,265 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC | 84,000 | 89,706 | ||||||||||
Williams Cos., Inc. | 222,000 | 256,755 | ||||||||||
|
| |||||||||||
4,531,050 | ||||||||||||
|
| |||||||||||
Platinum – 0.1% |
| |||||||||||
Stillwater Mining Co. | 200,000 | 209,843 | ||||||||||
|
| |||||||||||
Poultry – 0.1% |
| |||||||||||
Pilgrim’s Pride Corp. | 406,000 | 406,081 | ||||||||||
|
| |||||||||||
Protection/Safety – 0.4% |
| |||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 513,000 | 524,542 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 230,000 | 238,510 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 470,000 | 442,975 | ||||||||||
|
| |||||||||||
1,206,027 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trusts – 1.8% |
| |||||||||||
American Tower Corp. | 99,000 | 97,924 | ||||||||||
Brixmor Operating Partnership LP | 58,000 | 59,320 | ||||||||||
Columbia Property Trust Operating Partnership LP | 114,000 | 120,315 | ||||||||||
Crown Castle International Corp. | 90,000 | 90,821 | ||||||||||
Crown Castle International Corp. | 48,000 | 56,252 | ||||||||||
CTR Partnership LP/CareTrust Capital Corp. | 505,000 | 510,050 | ||||||||||
Digital Euro Finco LLC | EUR | 300,000 | 337,129 | |||||||||
ESH Hospitality, Inc. | 340,000 | 318,325 | ||||||||||
ESH Hospitality, Inc. | 305,000 | 292,800 | ||||||||||
GLP Capital LP/GLP Financing II, Inc. | 265,000 | 289,536 | ||||||||||
HAT Holdings I LLC/HAT Holdings II LLC | 522,000 | 532,440 | ||||||||||
HAT Holdings I LLC/HAT Holdings II LLC | 196,000 | 205,310 | ||||||||||
Ladder Capital Finance Holdings LLLP/ Ladder Capital Finance Corp. | 353,000 | 282,400 | ||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | 515,000 | 527,875 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp. | 306,000 | 314,415 | ||||||||||
Prologis LP | 100,000 | 105,720 | ||||||||||
Sabra Health Care LP | 797,000 | 808,050 | ||||||||||
Sabra Health Care LP/Sabra Capital Corp. | 67,000 | 67,147 | ||||||||||
Starwood Property Trust, Inc. | 390,000 | 354,900 | ||||||||||
VEREIT Operating Partnership LP | 49,000 | 49,378 | ||||||||||
VICI Properties LP/VICI Note Co., Inc. | 211,000 | 198,340 | ||||||||||
Welltower, Inc. | 83,000 | 82,904 | ||||||||||
|
| |||||||||||
5,701,351 | ||||||||||||
|
|
Real Estate Management/Services – 0.1% |
| |||||||||||
Cushman & Wakefield US Borrower LLC | 341,000 | 355,492 | ||||||||||
|
| |||||||||||
Real Estate Operations & Development – 0.2% |
| |||||||||||
Kennedy-Wilson, Inc. | 700,000 | 696,500 | ||||||||||
|
| |||||||||||
Recycling – 0.2% |
| |||||||||||
Harsco Corp. | 617,000 | 618,543 | ||||||||||
|
| |||||||||||
Rental Auto/Equipment – 0.1% |
| |||||||||||
Ahern Rentals, Inc. | 725,000 | 348,000 | ||||||||||
|
| |||||||||||
Research & Development – 0.1% |
| |||||||||||
Jaguar Holding Co. II/PPD Development LP | 92,000 | 93,628 | ||||||||||
Jaguar Holding Co. II/PPD Development LP | 56,000 | 57,330 | ||||||||||
|
| |||||||||||
150,958 | ||||||||||||
|
| |||||||||||
Resorts/Theme Parks – 0.3% |
| |||||||||||
SeaWorld Parks & Entertainment, Inc. | 415,000 | 419,150 | ||||||||||
Six Flags Entertainment Corp. | 470,000 | 420,062 | ||||||||||
Six Flags Theme Parks, Inc. | 48,000 | 49,620 | ||||||||||
|
| |||||||||||
888,832 | ||||||||||||
|
| |||||||||||
Retail-Apparel/Shoe – 0.0% |
| |||||||||||
Ross Stores, Inc. | 107,000 | 138,044 | ||||||||||
|
| |||||||||||
Retail-Appliances – 0.1% |
| |||||||||||
Conn’s, Inc. | 371,000 | 294,945 | ||||||||||
|
| |||||||||||
Retail-Auto Parts – 0.0% |
| |||||||||||
Advance Auto Parts, Inc. | 110,000 | 117,679 | ||||||||||
|
| |||||||||||
Retail-Automobile – 0.0% |
| |||||||||||
AutoNation, Inc. | 42,000 | 45,510 | ||||||||||
|
| |||||||||||
Retail-Building Products – 0.0% |
| |||||||||||
Home Depot, Inc. | 47,000 | 53,699 | ||||||||||
|
| |||||||||||
Retail-Drug Store – 0.1% |
| |||||||||||
Walgreens Boots Alliance, Inc. | 170,000 | 171,438 | ||||||||||
|
| |||||||||||
Retail-Major Department Stores – 0.0% |
| |||||||||||
TJX Cos, Inc. | 111,000 | 126,772 | ||||||||||
|
| |||||||||||
Retail-Petroleum Products – 0.2% |
| |||||||||||
Murphy Oil USA, Inc. | 569,000 | 581,802 | ||||||||||
|
| |||||||||||
Retail-Regional Department Stores – 0.1% |
| |||||||||||
Kohl’s Corp. | 128,000 | 114,289 | ||||||||||
Kohl’s Corp. | 51,000 | 58,246 | ||||||||||
|
| |||||||||||
172,535 | ||||||||||||
|
| |||||||||||
Retail-Restaurants – 0.4% |
| |||||||||||
Brinker International, Inc. | 695,000 | 648,088 | ||||||||||
Darden Restaurants, Inc. | 105,000 | 100,054 | ||||||||||
Golden Nugget, Inc. | 630,000 | 355,950 | ||||||||||
McDonald’s Corp. | 64,000 | 70,223 | ||||||||||
McDonald’s Corp. | 61,000 | 73,958 | ||||||||||
|
| |||||||||||
1,248,273 | ||||||||||||
|
| |||||||||||
Satellite Telecom – 0.3% |
| |||||||||||
Hughes Satellite Systems Corp. | 773,000 | 802,281 | ||||||||||
|
|
Savings & Loans/Thrifts – 0.2% |
| |||||||||||
First Niagara Financial Group, Inc. | 381,000 | 414,551 | ||||||||||
New York Community Bancorp, Inc. | 169,000 | 167,783 | ||||||||||
|
| |||||||||||
582,334 | ||||||||||||
|
| |||||||||||
Security Services – 0.2% |
| |||||||||||
Brink’s Co. | 711,000 | 682,560 | ||||||||||
Brink’s Co. | 56,000 |
| 57,038 |
| ||||||||
|
| |||||||||||
739,598 | ||||||||||||
|
| |||||||||||
Shipbuilding – 0.0% |
| |||||||||||
Huntington Ingalls Industries, Inc. | 89,000 | 99,171 | ||||||||||
|
| |||||||||||
Software Tools – 0.0% |
| |||||||||||
VMware, Inc. | 116,000 | 127,940 | ||||||||||
|
| |||||||||||
Steel-Producers – 0.2% |
| |||||||||||
Commercial Metals Co. | 455,000 | 466,375 | ||||||||||
Nucor Corp. | 39,000 | 40,945 | ||||||||||
Steel Dynamics, Inc. | 36,000 | 36,718 | ||||||||||
Steel Dynamics, Inc. | 116,000 | 121,263 | ||||||||||
|
| |||||||||||
665,301 | ||||||||||||
|
| |||||||||||
Telecom Equipment-Fiber Optics – 0.1% |
| |||||||||||
Corning, Inc. | 223,000 | 266,750 | ||||||||||
|
| |||||||||||
Telephone-Integrated – 1.1% |
| |||||||||||
AT&T, Inc. | EUR | 120,000 | 142,376 | |||||||||
AT&T, Inc. | EUR | 240,000 | 284,752 | |||||||||
AT&T, Inc. | 582,000 | 690,659 | ||||||||||
AT&T, Inc. | 54,000 | 64,737 | ||||||||||
AT&T, Inc. | 40,000 | 47,532 | ||||||||||
AT&T, Inc. | 66,000 | 79,319 | ||||||||||
CenturyLink, Inc. | 374,000 | 373,065 | ||||||||||
CenturyLink, Inc. | 525,000 | 576,881 | ||||||||||
Front Range BidCo., Inc. | 646,000 | 628,235 | ||||||||||
Verizon Communications, Inc. | GBP | 100,000 | 135,516 | |||||||||
Verizon Communications, Inc. | 59,000 | 66,182 | ||||||||||
Verizon Communications, Inc. | 25,000 | 31,976 | ||||||||||
Verizon Communications, Inc. | 64,000 | 79,148 | ||||||||||
Verizon Communications, Inc. | 124,000 | 154,395 | ||||||||||
Verizon Communications, Inc. | 106,000 | 141,909 | ||||||||||
|
| |||||||||||
3,496,682 | ||||||||||||
|
| |||||||||||
Television – 0.4% |
| |||||||||||
Belo Corp. | 373,000 | 397,245 | ||||||||||
Belo Corp. | 416,000 | 460,845 | ||||||||||
Viacom, Inc. | 345,000 | 360,768 | ||||||||||
ViacomCBS, Inc. | 46,000 | 54,320 | ||||||||||
ViacomCBS, Inc. | 105,000 | 116,952 | ||||||||||
|
| |||||||||||
1,390,130 | ||||||||||||
|
|
Tools-Hand Held – 0.0% |
| |||||||||||
Stanley Black & Decker, Inc. | 74,000 | 83,099 | ||||||||||
|
| |||||||||||
Transport-Air Freight – 0.3% |
| |||||||||||
Cargo Aircraft Management, Inc. | 833,000 | 825,711 | ||||||||||
|
| |||||||||||
Transport-Equipment & Leasing – 0.1% |
| |||||||||||
GATX Corp. | 76,000 | 81,353 | ||||||||||
GATX Corp. | 145,000 | 157,983 | ||||||||||
|
| |||||||||||
239,336 | ||||||||||||
|
| |||||||||||
Transport-Marine – 0.0% |
| |||||||||||
Kirby Corp. | 125,000 | 126,554 | ||||||||||
|
| |||||||||||
Transport-Rail – 0.1% |
| |||||||||||
Kansas City Southern | 87,000 | 91,828 | ||||||||||
Kansas City Southern | 54,000 | 68,115 | ||||||||||
|
| |||||||||||
159,943 | ||||||||||||
|
| |||||||||||
Transport-Services – 0.0% |
| |||||||||||
United Parcel Service, Inc. | 84,000 | 95,322 | ||||||||||
|
| |||||||||||
Transport-Truck – 0.0% |
| |||||||||||
JB Hunt Transport Services, Inc. | 71,000 | 81,023 | ||||||||||
|
| |||||||||||
Trucking/Leasing – 0.1% |
| |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 26,000 | 26,503 | ||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 256,000 | 270,043 | ||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 77,000 | 83,089 | ||||||||||
|
| |||||||||||
379,635 | ||||||||||||
|
| |||||||||||
Vitamins & Nutrition Products – 0.2% |
| |||||||||||
HLF Financing SARL LLC/Herbalife International, Inc. | 496,000 | 498,480 | ||||||||||
|
| |||||||||||
Water – 0.0% |
| |||||||||||
American Water Capital Corp. | 49,000 | 55,004 | ||||||||||
Essential Utilities, Inc. | 74,000 | 77,143 | ||||||||||
|
| |||||||||||
132,147 | ||||||||||||
|
| |||||||||||
Total U.S. Corporate Bonds & Notes |
| 111,928,530 | ||||||||||
|
| |||||||||||
FOREIGN CORPORATE BONDS & NOTES – 15.9% |
| |||||||||||
Aerospace/Defense – 0.1% |
| |||||||||||
BAE Systems PLC | 206,000 | 224,369 | ||||||||||
|
| |||||||||||
Agricultural Chemicals – 0.4% |
| |||||||||||
Consolidated Energy Finance SA | 515,000 | 437,750 | ||||||||||
Nutrien, Ltd. | 101,000 | 111,481 | ||||||||||
OCI NV | 668,000 | 641,280 | ||||||||||
Yara International ASA | 48,000 | 49,620 | ||||||||||
|
| |||||||||||
1,240,131 | ||||||||||||
|
| |||||||||||
Airport Development/Maintenance – 0.1% |
| |||||||||||
Mexico City Airport Trust | 460,000 | 433,550 | ||||||||||
|
| |||||||||||
Auto-Cars/Light Trucks – 0.1% |
| |||||||||||
RCI Banque SA | GBP | 80,000 | 97,773 | |||||||||
Volkswagen International Finance NV | EUR | 200,000 | 230,049 | |||||||||
|
| |||||||||||
327,822 | ||||||||||||
|
| |||||||||||
Auto/Truck Parts & Equipment-Original – 0.1% |
| |||||||||||
Delphi Jersey Holdings PLC | 152,000 | 163,210 | ||||||||||
|
| |||||||||||
Banks-Commercial – 1.4% |
| |||||||||||
Banco de Credito del Peru | 300,000 | 297,450 | ||||||||||
Banco de Credito e Inversiones SA | 490,000 | 515,185 | ||||||||||
Bank of Montreal | 110,000 | 113,581 |
Canadian Imperial Bank of Commerce | 196,000 | 204,507 | ||||||||||
Credit Suisse AG | EUR | 330,000 | 372,608 | |||||||||
Danske Bank A/S | EUR | 225,000 | 247,282 | |||||||||
Danske Bank A/S | EUR | 400,000 | 432,601 | |||||||||
Danske Bank A/S | GBP | 100,000 | 124,505 | |||||||||
Danske Bank A/S | 200,000 | 212,001 | ||||||||||
Grupo Aval, Ltd. | 900,000 | 856,125 | ||||||||||
ING Groep NV | 249,000 | 249,581 | ||||||||||
Philippine National Bank | 600,000 | 612,493 | ||||||||||
Skandinaviska Enskilda Banken AB | EUR | 200,000 | 226,576 | |||||||||
|
| |||||||||||
4,464,495 | ||||||||||||
|
| |||||||||||
Banks-Special Purpose – 0.1% |
| |||||||||||
Industrial Bank of Korea | 312,000 | 311,906 | ||||||||||
|
| |||||||||||
Brewery – 0.2% |
| |||||||||||
Anheuser-Busch InBev SA/NV | EUR | 340,000 | 462,590 | |||||||||
Heineken NV | EUR | 175,000 | 222,257 | |||||||||
|
| |||||||||||
684,847 | ||||||||||||
|
| |||||||||||
Building Societies – 0.0% |
| |||||||||||
Nationwide Building Society | EUR | 100,000 | 116,258 | |||||||||
|
| |||||||||||
Building-Residential/Commercial – 0.1% |
| |||||||||||
Mattamy Group Corp. | 339,000 | 337,305 | ||||||||||
|
| |||||||||||
Cable/Satellite TV – 0.4% |
| |||||||||||
Altice Financing SA | 661,000 | 656,611 | ||||||||||
Sky, Ltd. | EUR | 200,000 | 252,823 | |||||||||
Sky, Ltd. | EUR | 150,000 | 189,618 | |||||||||
|
| |||||||||||
1,099,052 | ||||||||||||
|
| |||||||||||
Cellular Telecom – 0.7% |
| |||||||||||
C&W Senior Financing Designated Activity Co. | 745,000 | 739,412 | ||||||||||
Millicom International Cellular SA | 200,000 | 212,940 | ||||||||||
Numericable-SFR SA | 800,000 | 834,240 | ||||||||||
Vodafone Group PLC | EUR | 120,000 | 156,050 | |||||||||
Vodafone Group PLC | 63,000 | 79,416 | ||||||||||
Vodafone Group PLC | 90,000 | 117,535 | ||||||||||
|
| |||||||||||
2,139,593 | ||||||||||||
|
| |||||||||||
Chemicals-Diversified – 0.3% |
| |||||||||||
Braskem Netherlands Finance BV | 202,000 | 184,830 | ||||||||||
Braskem Netherlands Finance BV | 200,000 | 183,000 | ||||||||||
CNAC HK Finbridge Co., Ltd. | 220,000 | 227,864 | ||||||||||
CNAC HK Finbridge Co., Ltd. | 200,000 | 217,086 | ||||||||||
Petkim Petrokimya Holding AS | 270,000 | 267,300 | ||||||||||
|
| |||||||||||
1,080,080 | ||||||||||||
|
| |||||||||||
Chemicals-Other – 0.1% |
| |||||||||||
MEGlobal Canada ULC | 200,000 | 215,086 | ||||||||||
MEGlobal Canada ULC | 200,000 | 225,734 | ||||||||||
|
| |||||||||||
440,820 | ||||||||||||
|
| |||||||||||
Chemicals-Specialty – 0.0% |
| |||||||||||
Albemarle Wodgina Pty, Ltd. | 60,000 | 58,097 | ||||||||||
|
|
Commercial Services – 0.1% |
| |||||||||||
Nielsen Co. Luxembourg SARL | 432,000 | 424,440 | ||||||||||
|
| |||||||||||
Computer Software – 0.1% |
| |||||||||||
Camelot Finance SA | 293,000 | 293,000 | ||||||||||
|
| |||||||||||
Computers-Memory Devices – 0.1% |
| |||||||||||
Seagate HDD Cayman | 290,000 | 310,982 | ||||||||||
|
| |||||||||||
Containers-Metal/Glass – 0.4% |
| |||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | 450,000 | 442,071 | ||||||||||
Trivium Packaging Finance BV | 650,000 | 694,687 | ||||||||||
|
| |||||||||||
1,136,758 | ||||||||||||
|
| |||||||||||
Containers-Paper/Plastic – 0.3% |
| |||||||||||
Cascades, Inc./Cascades USA, Inc. | 154,000 | 156,310 | ||||||||||
Intertape Polymer Group, Inc. | 434,000 | 446,022 | ||||||||||
Klabin Austria GmbH | 354,000 | 368,160 | ||||||||||
|
| |||||||||||
970,492 | ||||||||||||
|
| |||||||||||
Cruise Lines – 0.1% |
| |||||||||||
Viking Cruises, Ltd. | 396,000 | 235,767 | ||||||||||
Viking Cruises, Ltd. | 110,000 | 62,700 | ||||||||||
Viking Cruises, Ltd. | 64,000 | 67,520 | ||||||||||
|
| |||||||||||
365,987 | ||||||||||||
|
| |||||||||||
Diagnostic Equipment – 0.0% |
| |||||||||||
DH Europe Finance II SARL | 126,000 | 139,192 | ||||||||||
|
| |||||||||||
Diversified Banking Institutions – 1.8% |
| |||||||||||
Banco Santander SA | 200,000 | 210,213 | ||||||||||
Barclays PLC | EUR | 250,000 | 275,100 | |||||||||
Barclays PLC | GBP | 100,000 | 129,281 | |||||||||
BNP Paribas SA | EUR | 450,000 | 509,581 | |||||||||
BNP Paribas SA | 244,000 | 257,003 | ||||||||||
BNP Paribas SA | GBP | 100,000 | 135,131 | |||||||||
BNP Paribas SA | 200,000 | 221,361 | ||||||||||
Credit Suisse Group AG | EUR | 200,000 | 228,882 | |||||||||
HSBC Holdings PLC | 200,000 | 202,065 | ||||||||||
HSBC Holdings PLC | GBP | 120,000 | 157,385 | |||||||||
Lloyds Banking Group PLC | EUR | 250,000 | 278,965 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 207,000 | 213,946 | ||||||||||
Mizuho Financial Group, Inc. | 274,000 | 285,471 | ||||||||||
NatWest Markets PLC | 200,000 | 209,604 | ||||||||||
Royal Bank of Scotland Group PLC | EUR | 450,000 | 517,254 | |||||||||
Royal Bank of Scotland Group PLC | 222,000 | 227,915 | ||||||||||
Royal Bank of Scotland Group PLC | 200,000 | 207,052 | ||||||||||
UBS AG | 200,000 | 203,824 | ||||||||||
UBS AG | EUR | 250,000 | 285,701 | |||||||||
UniCredit SpA | EUR | 575,000 | 632,928 | |||||||||
UniCredit SpA | 298,000 | 309,367 | ||||||||||
|
| |||||||||||
5,698,029 | ||||||||||||
|
|
Diversified Financial Services – 0.3% |
| |||||||||||
Fairstone Financial, Inc. | 499,000 | 489,020 | ||||||||||
GE Capital International Funding Co. ULC | 284,000 | 288,758 | ||||||||||
|
| |||||||||||
777,778 | ||||||||||||
|
| |||||||||||
Diversified Manufacturing Operations – 0.1% |
| |||||||||||
Siemens Financieringsmaatschappij NV FRS | 320,000 | 321,226 | ||||||||||
|
| |||||||||||
Diversified Minerals – 0.2% |
| |||||||||||
Anglo American Capital PLC | 200,000 | 225,889 | ||||||||||
FMG Resources August 2006 Pty, Ltd. | 410,000 | 410,152 | ||||||||||
Teck Resources, Ltd. | 76,000 | 75,646 | ||||||||||
Teck Resources, Ltd. | 50,000 | 54,669 | ||||||||||
|
| |||||||||||
766,356 | ||||||||||||
|
| |||||||||||
Electric-Distribution – 0.3% |
| |||||||||||
Energuate Trust | 200,000 | 196,500 | ||||||||||
Energuate Trust | 400,000 | 393,000 | ||||||||||
OmGrid Funding, Ltd. | 200,000 | 188,000 | ||||||||||
|
| |||||||||||
777,500 | ||||||||||||
|
| |||||||||||
Electric-Generation – 0.4% |
| |||||||||||
Centrais Eletricas Brasileiras SA | 200,000 | 195,500 | ||||||||||
Electricite de France SA | GBP | 100,000 | 164,647 | |||||||||
LLPL Capital Pte, Ltd. | 384,520 | 424,414 | ||||||||||
Minejesa Capital BV | 220,000 | 223,300 | ||||||||||
SPIC Luxembourg Latin America Renewable Energy Investment Co. SARL | 200,000 | 213,987 | ||||||||||
|
| |||||||||||
1,221,848 | ||||||||||||
|
| |||||||||||
Electric-Integrated – 0.1% |
| |||||||||||
Perusahaan Listrik Negara PT | 200,000 | 210,500 | ||||||||||
|
| |||||||||||
Electronic Components-Semiconductors – 0.0% |
| |||||||||||
NXP BV/NXP Funding LLC | 42,000 | 45,190 | ||||||||||
|
| |||||||||||
Energy-Alternate Sources – 0.1% |
| |||||||||||
ReNew Power, Ltd. | 200,000 | 198,660 | ||||||||||
ReNew Power Synthetic | 200,000 | 201,503 | ||||||||||
|
| |||||||||||
400,163 | ||||||||||||
|
| |||||||||||
Finance-Consumer Loans – 0.2% |
| |||||||||||
goeasy, Ltd. | 533,000 | 517,010 | ||||||||||
|
| |||||||||||
Finance-Leasing Companies – 0.3% |
| |||||||||||
Avolon Holdings Funding, Ltd. | 982,000 | 908,210 | ||||||||||
|
| |||||||||||
Food-Meat Products – 0.2% |
| |||||||||||
BRF SA | 200,000 | 188,500 | ||||||||||
JBS USA LUX SA/JBS USA Finance, Inc. | 557,000 | 564,659 | ||||||||||
|
| |||||||||||
753,159 | ||||||||||||
|
| |||||||||||
Gas-Distribution – 0.1% |
| |||||||||||
Centrica PLC | GBP | 100,000 | 145,360 | |||||||||
|
| |||||||||||
Independent Power Producers – 0.1% |
| |||||||||||
Termocandelaria Power, Ltd. | 400,000 | 420,000 | ||||||||||
|
| |||||||||||
Industrial Gases – 0.1% |
| |||||||||||
Yingde Gases Investment, Ltd. | 300,000 | 307,395 | ||||||||||
|
|
Insurance-Life/Health – 0.1% |
| |||||||||||
Athene Holding, Ltd. | 76,000 | 87,479 | ||||||||||
Manulife Financial Corp. | 118,000 | 125,050 | ||||||||||
|
| |||||||||||
212,529 | ||||||||||||
|
| |||||||||||
Insurance-Multi-line – 0.0% |
| |||||||||||
Ageas | EUR | 100,000 | 115,945 | |||||||||
|
| |||||||||||
Insurance-Property/Casualty – 0.1% |
| |||||||||||
Enstar Group, Ltd. | 207,000 | 218,008 | ||||||||||
|
| |||||||||||
Investment Companies – 0.2% |
| |||||||||||
Huarong Finance 2019 Co., Ltd. | 230,000 | 236,112 | ||||||||||
Huarong Finance II Co., Ltd. | 400,000 | 428,874 | ||||||||||
|
| |||||||||||
664,986 | ||||||||||||
|
| |||||||||||
Machinery-Farming – 0.1% |
| |||||||||||
CNH Industrial Finance Europe SA | EUR | 250,000 | 274,404 | |||||||||
|
| |||||||||||
Medical-Drugs – 0.7% |
| |||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. | 400,000 | 387,084 | ||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. | 184,000 | 118,680 | ||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. | 120,000 | 126,924 | ||||||||||
Shire Acquisitions Investments Ireland DAC | 216,000 | 239,670 | ||||||||||
Takeda Pharmaceutical Co., Ltd. | EUR | 370,000 | 413,591 | |||||||||
Takeda Pharmaceutical Co., Ltd. | 204,000 | 203,338 | ||||||||||
Valeant Pharmaceuticals International, Inc. | 665,000 | 674,490 | ||||||||||
|
| |||||||||||
2,163,777 | ||||||||||||
|
| |||||||||||
Metal-Aluminum – 0.1% |
| |||||||||||
Indonesia Asahan Aluminium Persero PT | 200,000 | 236,006 | ||||||||||
|
| |||||||||||
Metal-Copper – 0.2% |
| |||||||||||
First Quantum Minerals, Ltd. | 200,000 | 188,750 | ||||||||||
First Quantum Minerals, Ltd. | 482,000 | 460,310 | ||||||||||
|
| |||||||||||
649,060 | ||||||||||||
|
| |||||||||||
Metal-Diversified – 0.1% |
| |||||||||||
Chinalco Capital Holdings, Ltd. | 250,000 | 251,825 | ||||||||||
Glencore Finance Europe, Ltd. | EUR | 150,000 | 164,962 | |||||||||
|
| |||||||||||
416,787 | ||||||||||||
|
| |||||||||||
Metal-Iron – 0.2% |
| |||||||||||
Mineral Resources, Ltd. | 600,000 | 637,500 | ||||||||||
|
| |||||||||||
Motion Pictures & Services – 0.2% |
| |||||||||||
Banijay Entertainment SASU | 600,000 | 586,500 | ||||||||||
|
| |||||||||||
Multimedia – 0.1% |
| |||||||||||
Globo Comunicacao e Participacoes SA | 200,000 | 180,500 | ||||||||||
|
| |||||||||||
Oil Companies-Exploration & Production – 0.6% |
| |||||||||||
Canadian Natural Resources, Ltd. | 81,000 | 80,756 | ||||||||||
MEG Energy Corp. | 663,000 | 618,658 | ||||||||||
MEG Energy Corp. | 400,000 | 332,500 | ||||||||||
Saka Energi Indonesia PT | 425,000 | 388,875 | ||||||||||
Tullow Oil PLC | 200,000 | 146,000 | ||||||||||
Wintershall Dea Finance B.V. | EUR | 300,000 | 314,672 | |||||||||
|
| |||||||||||
1,881,461 | ||||||||||||
|
|
Oil Companies-Integrated – 0.9% |
| |||||||||||
BP Capital Markets PLC | GBP | 100,000 | 132,048 | |||||||||
Ecopetrol SA | 135,000 | 141,885 | ||||||||||
Ecopetrol SA | 300,000 | 343,830 | ||||||||||
Equinor ASA | 61,000 | 62,482 | ||||||||||
Equinor ASA | 68,000 | 77,731 | ||||||||||
Pertamina Persero PT | 200,000 | 247,028 | ||||||||||
Petro-Canada | 49,000 | 58,099 | ||||||||||
Petrobras Global Finance BV | 200,000 | 222,756 | ||||||||||
Petroleos Mexicanos | 350,000 | 261,083 | ||||||||||
Petroleos Mexicanos | 350,000 | 319,512 | ||||||||||
Petroleos Mexicanos | 350,000 | 284,795 | ||||||||||
Petroleos Mexicanos | 200,000 | 162,740 | ||||||||||
Petroleos Mexicanos | 300,000 | 230,655 | ||||||||||
Shell International Finance BV | EUR | 140,000 | 169,511 | |||||||||
Total Capital International SA | 58,000 | 62,659 | ||||||||||
|
| |||||||||||
2,776,814 | ||||||||||||
|
| |||||||||||
Oil Refining & Marketing – 0.1% |
| |||||||||||
Empresa Nacional del Petroleo | 400,000 | 445,592 | ||||||||||
|
| |||||||||||
Paper & Related Products – 0.1% |
| |||||||||||
Cascades, Inc. | 384,000 | 386,880 | ||||||||||
|
| |||||||||||
Pastoral & Agricultural – 0.1% |
| |||||||||||
ESAL GmbH | 370,000 | 367,225 | ||||||||||
|
| |||||||||||
Petrochemicals – 0.1% |
| |||||||||||
Equate Petrochemical BV | 200,000 | 210,866 | ||||||||||
|
| |||||||||||
Real Estate Investment Trusts – 0.1% |
| |||||||||||
Trust Fibro Uno | 400,000 | 420,500 | ||||||||||
|
| |||||||||||
Real Estate Operations & Development – 0.2% |
| |||||||||||
Aroundtown SA | EUR | 200,000 | 223,972 | |||||||||
Aroundtown SA | GBP | 100,000 | 128,767 | |||||||||
Logicor Financing Sarl | EUR | 375,000 | 414,309 | |||||||||
|
| |||||||||||
767,048 | ||||||||||||
|
| |||||||||||
Retail-Petroleum Products – 0.3% |
| |||||||||||
eG Global Finance PLC | 833,000 | 813,216 | ||||||||||
|
| |||||||||||
Satellite Telecom – 0.5% |
| |||||||||||
Connect Finco SARL/Connect US Finco LLC | 470,000 | 445,325 | ||||||||||
Telesat Canada/Telesat LLC | 214,000 | 209,720 | ||||||||||
Telesat Canada/Telesat LLC | 823,000 | 806,803 | ||||||||||
|
| |||||||||||
1,461,848 | ||||||||||||
|
| |||||||||||
Security Services – 0.2% |
| |||||||||||
GW B-CR Security Corp. | 653,000 | 690,547 | ||||||||||
|
| |||||||||||
Steel-Producers – 0.1% |
| |||||||||||
Shandong Iron & Steel Xinheng International Co., Ltd. | 200,000 | 197,991 | ||||||||||
|
| |||||||||||
SupraNational Banks – 0.2% |
| |||||||||||
African Development Bank | 129,000 | 130,538 |
European Bank for Reconstruction & Development | 207,000 | 215,692 | ||||||||||
International Bank for Reconstruction & Development | 110,000 | 125,123 | ||||||||||
International Finance Corp. | 233,000 | 234,406 | ||||||||||
|
| |||||||||||
705,759 | ||||||||||||
|
| |||||||||||
Telecom Services – 0.3% |
| |||||||||||
Altice France Holding SA | 630,000 | 594,959 | ||||||||||
Optus Finance Pty, Ltd. | EUR | 300,000 | 341,151 | |||||||||
|
| |||||||||||
936,110 | ||||||||||||
|
| |||||||||||
Telephone-Integrated – 0.1% |
| |||||||||||
Deutsche Telekom AG | 184,000 | 202,484 | ||||||||||
Telecom Italia Capital SA | 71,000 | 89,335 | ||||||||||
Telefonica Emisiones SA | GBP | 100,000 | 162,235 | |||||||||
|
| |||||||||||
454,054 | ||||||||||||
|
| |||||||||||
Transport-Marine – 0.1% |
| |||||||||||
PT Pelabuhan Indonesia II | 300,000 | 315,750 | ||||||||||
|
| |||||||||||
Transport-Rail – 0.2% |
| |||||||||||
Canadian Pacific Railway Co. | 121,000 | 186,005 | ||||||||||
Rumo Luxembourg SARL | 290,000 | 290,000 | ||||||||||
|
| |||||||||||
476,005 | ||||||||||||
|
| |||||||||||
Vitamins & Nutrition Products – 0.1% |
| |||||||||||
Herbalife Nutrition, Ltd./HLF Financing, Inc. | 190,000 | 196,175 | ||||||||||
|
| |||||||||||
Total Foreign Corporate Bonds & Notes |
| 49,891,953 | ||||||||||
|
| |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS – 15.4% |
| |||||||||||
Sovereign – 15.4% |
| |||||||||||
Arab Republic of Egypt | 550,000 | 551,314 | ||||||||||
Arab Republic of Egypt | 270,000 | 240,300 | ||||||||||
Arab Republic of Egypt | 370,000 | 350,575 | ||||||||||
Arab Republic of Egypt | 1,000,000 | 1,017,500 | ||||||||||
Arab Republic of Egypt | 350,000 | 341,250 | ||||||||||
Arab Republic of Egypt | 550,000 | 542,663 | ||||||||||
Dominican Republic | 400,000 | 342,400 | ||||||||||
Dominican Republic | 550,000 | 553,300 | ||||||||||
Dominican Republic | 650,000 | 681,531 | ||||||||||
Dominican Republic | 1,500,000 | 1,434,000 | ||||||||||
Emirate of Abu Dhabi | 460,000 | 483,373 | ||||||||||
Emirate of Abu Dhabi | 750,000 | 819,375 | ||||||||||
Emirate of Abu Dhabi | 200,000 | 236,150 | ||||||||||
Government of France | EUR | 360,000 | 425,205 | |||||||||
Government of France | EUR | 535,000 | 658,810 | |||||||||
Government of France | EUR | 235,000 | 331,823 | |||||||||
Government of Jamaica | 420,000 | 471,874 | ||||||||||
Government of Jamaica | 400,000 | 488,600 | ||||||||||
Government of Ukraine | 150,000 | 156,039 |
Government of Ukraine | 550,000 | 575,759 | ||||||
Government of Ukraine | 250,000 | 260,377 | ||||||
Government of Ukraine | 800,000 | 911,101 | ||||||
Islamic Republic of Pakistan | 680,000 | 668,882 | ||||||
Islamic Republic of Pakistan | 500,000 | 520,335 | ||||||
Kingdom of Bahrain | 470,000 | 474,582 | ||||||
Kingdom of Bahrain | 200,000 | 197,392 | ||||||
Kingdom of Bahrain | 300,000 | 332,946 | ||||||
Kingdom of Bahrain | 750,000 | 835,229 | ||||||
Kingdom of Bahrain | 340,000 | 386,478 | ||||||
Kingdom of Bahrain | 600,000 | 668,621 | ||||||
Kingdom of Jordan | 550,000 | 569,382 | ||||||
Kingdom of Jordan | 725,000 | 725,000 | ||||||
Kingdom of Jordan | 470,000 | 482,925 | ||||||
Kingdom of Saudi Arabia | 1,085,000 | 1,163,142 | ||||||
Kingdom of Saudi Arabia | 300,000 | 344,925 | ||||||
Kingdom of Saudi Arabia | 280,000 | 346,058 | ||||||
Oriental Republic of Uruguay | 187,500 | 219,143 | ||||||
Oriental Republic of Uruguay | 300,000 | 384,303 | ||||||
Republic of the Philippines | 360,000 | 537,671 | ||||||
Republic of Angola | 970,000 | 795,400 | ||||||
Republic of Angola | 350,000 | 282,800 | ||||||
Republic of Angola | 350,000 | 313,667 | ||||||
Republic of Armenia | 210,000 | 202,577 | ||||||
Republic of Azerbaijan | 500,000 | 487,790 | ||||||
Republic of Belarus | 760,000 | 735,832 | ||||||
Republic of Cameroon | 745,000 | 745,447 | ||||||
Republic of Chile | 300,000 | 337,500 | ||||||
Republic of Colombia | 535,000 | 530,987 | ||||||
Republic of Colombia | 205,000 | 206,025 | ||||||
Republic of Colombia | 230,000 | 260,475 | ||||||
Republic of Colombia | 320,000 | 481,603 | ||||||
Republic of Croatia | 300,000 | 310,493 | ||||||
Republic of El Salvador | 360,000 | 308,704 | ||||||
Republic of El Salvador | 600,000 | 520,500 | ||||||
Republic of Georgia | 200,000 | 203,256 | ||||||
Republic of Ghana | 350,000 | 326,812 |
Republic of Ghana | 253,000 | 228,459 | ||||||
Republic of Guatemala | 200,000 | 213,600 | ||||||
Republic of Guatemala | 200,000 | 213,600 | ||||||
Republic of Guatemala | 450,000 | 497,025 | ||||||
Republic of Honduras | 760,000 | 809,020 | ||||||
Republic of Indonesia | 300,000 | 325,688 | ||||||
Republic of Indonesia | 500,000 | 753,488 | ||||||
Republic of Italy | 200,000 | 202,194 | ||||||
Republic of Ivory Coast | 929,600 | 912,451 | ||||||
Republic of Ivory Coast | 900,000 | 895,500 | ||||||
Republic of Ivory Coast | 350,000 | 357,000 | ||||||
Republic of Kenya | 1,100,000 | 1,115,829 | ||||||
Republic of Kenya | 670,000 | 659,950 | ||||||
Republic of Kenya | 250,000 | 245,935 | ||||||
Republic of Panama | 500,000 | 537,250 | ||||||
Republic of Panama | 300,000 | 340,500 | ||||||
Republic of Paraguay | 450,000 | 501,750 | ||||||
Republic of Paraguay | 300,000 | 347,250 | ||||||
Republic of Paraguay | 300,000 | 369,000 | ||||||
Republic of South Africa | 350,000 | 324,401 | ||||||
Republic of South Africa | 500,000 | 434,800 | ||||||
Republic of Sri Lanka | 420,000 | 294,000 | ||||||
Republic of Sri Lanka | 500,000 | 323,776 | ||||||
Republic of Sri Lanka | 220,000 | 188,098 | ||||||
Republic of Sri Lanka | 400,000 | 259,025 | ||||||
Republic of Sri Lanka | 500,000 | 323,788 | ||||||
Republic of Sri Lanka | 1,050,000 | 679,955 | ||||||
Republic of the Philippines | 405,000 | 420,101 | ||||||
Republic of the Philippines | 200,000 | 228,250 | ||||||
Republic of Turkey | 500,000 | 459,588 | ||||||
Republic of Turkey | 800,000 | 651,317 | ||||||
Republic of Turkey | 570,000 | 517,275 | ||||||
Republic of Turkey | 530,000 | 515,220 | ||||||
Republic of Turkey | 460,000 | 483,763 | ||||||
State of Qatar | 330,000 | 358,878 | ||||||
State of Qatar | 320,000 | 364,381 | ||||||
State of Qatar | 335,000 | 414,629 | ||||||
State of Qatar | 590,000 | 775,396 |
State of Qatar | 400,000 | 543,633 | ||||||||||
Sultanate of Oman | 400,000 | 369,456 | ||||||||||
Sultanate of Oman | 270,000 | 251,122 | ||||||||||
Sultanate of Oman | 720,000 | 621,000 | ||||||||||
United Kingdom Gilt Treasury | GBP | 75,000 | 101,687 | |||||||||
United Kingdom Gilt Treasury | GBP | 80,000 | 155,164 | |||||||||
United Mexican States | 320,000 | 330,080 | ||||||||||
United Mexican States | 202,000 | 214,120 | ||||||||||
United Mexican States | 450,000 | 484,875 | ||||||||||
|
| |||||||||||
Total Foreign Government Obligations |
| 48,393,468 | ||||||||||
|
| |||||||||||
U.S. GOVERNMENT AGENCIES – 17.8% |
| |||||||||||
Federal Home Loan Bank – 0.4% |
| |||||||||||
3.25% due 11/16/2028 | 1,000,000 | 1,191,726 | ||||||||||
|
| |||||||||||
Federal Home Loan Mtg. Corp. – 5.4% |
| |||||||||||
2.50% due 01/01/2028 | 142,667 | 151,715 | ||||||||||
2.50% due 04/01/2028 | 44,039 | 46,833 | ||||||||||
2.50% due 03/01/2031 | 82,303 | 86,390 | ||||||||||
2.50% due 11/01/2032 | 606,140 | 646,080 | ||||||||||
3.00% due 07/01/2045 | 1,616,992 | 1,718,536 | ||||||||||
3.00% due 10/01/2045 | 550,783 | 584,245 | ||||||||||
3.00% due 08/01/2049 | 1,326,653 | 1,398,191 | ||||||||||
3.00% due 10/01/2049 | 763,292 | 804,452 | ||||||||||
3.50% due 03/01/2042 | 219,499 | 237,671 | ||||||||||
3.50% due 04/01/2042 | 237,858 | 257,253 | ||||||||||
3.50% due 09/01/2043 | 206,571 | 225,966 | ||||||||||
3.50% due 07/01/2045 | 2,193,753 | 2,359,316 | ||||||||||
3.50% due 03/01/2046 | 815,911 | 871,207 | ||||||||||
3.50% due 11/01/2047 | 1,116,134 | 1,182,803 | ||||||||||
3.50% due 03/01/2048 | 3,018,597 | 3,290,204 | ||||||||||
4.00% due 01/01/2046 | 229,185 | 250,442 | ||||||||||
4.00% due 07/01/2049 | 425,806 | 461,737 | ||||||||||
4.00% due 01/01/2050 | 521,984 | 553,110 | ||||||||||
4.50% due 03/01/2039 | 994,553 | 1,113,038 | ||||||||||
4.50% due 12/01/2039 | 4,773 | 5,314 | ||||||||||
5.00% due 02/01/2034 | 14,100 | 16,171 | ||||||||||
5.00% due 05/01/2034 | 21,335 | 24,425 | ||||||||||
5.00% due 11/01/2043 | 149,119 | 171,101 | ||||||||||
5.50% due 05/01/2037 | 32,483 | 37,202 | ||||||||||
6.00% due 03/01/2040 | 27,156 | 31,686 | ||||||||||
6.50% due 02/01/2035 | 6,059 | 7,023 | ||||||||||
Federal Home Loan Mtg. Corp. FRS | 4,969 | 5,101 | ||||||||||
3.64% (12 ML+1.88%) | 52,905 | 56,070 | ||||||||||
Federal Home Loan Mtg. Corp. REMIC | 188,445 | 194,459 | ||||||||||
Federal Home Loan Mtg. Corp. REMIC FRS | 221,879 | 36,790 | ||||||||||
|
| |||||||||||
16,824,531 | ||||||||||||
|
| |||||||||||
Federal National Mtg. Assoc. – 9.5% |
| |||||||||||
2.50% due 12/01/2026 | 293,217 | 307,662 | ||||||||||
2.50% due 08/01/2031 | 1,390,292 | 1,458,993 | ||||||||||
2.50% due 02/01/2032 | 556,263 | 589,693 | ||||||||||
2.50% due 06/01/2050 | 1,991,680 | 2,075,744 | ||||||||||
3.00% due 10/01/2027 | 134,230 | 141,309 | ||||||||||
3.00% due 03/01/2030 | 812,711 | 865,908 | ||||||||||
3.00% due 10/01/2030 | 129,937 | 136,788 | ||||||||||
3.00% due 02/01/2033 | 1,278,963 | 1,345,341 | ||||||||||
3.00% due 07/01/2034 | 805,299 | 846,120 | ||||||||||
3.00% due 11/01/2039 | 658,374 | 693,876 | ||||||||||
3.00% due 12/01/2042 | 84,328 | 91,185 | ||||||||||
3.00% due 04/01/2047 | 1,636,371 | 1,732,752 | ||||||||||
3.00% due 09/01/2048 | 1,735,241 | 1,835,022 | ||||||||||
3.50% due 08/01/2026 | 47,775 | 50,240 | ||||||||||
3.50% due 08/01/2027 | 27,926 | 29,357 | ||||||||||
3.50% due 10/01/2028 | 20,767 | 22,190 | ||||||||||
3.50% due 02/01/2043 | 94,215 | 104,643 | ||||||||||
3.50% due 10/01/2045 | 199,399 | 217,960 | ||||||||||
3.50% due 11/01/2045 | 135,349 | 143,896 | ||||||||||
3.50% due 03/01/2046 | 1,764,399 | 1,880,260 | ||||||||||
3.50% due 07/01/2046 | 109,901 | 119,131 | ||||||||||
3.50% due 04/01/2048 | 1,159,015 | 1,244,804 | ||||||||||
3.50% due 05/01/2049 | 991,222 | 1,041,575 | ||||||||||
4.00% due 11/01/2025 | 67,385 | 71,314 | ||||||||||
4.00% due 03/01/2039 | 971,594 | 1,035,629 | ||||||||||
4.00% due 02/01/2045 | 1,117,432 | 1,235,778 | ||||||||||
4.00% due 05/01/2047 | 395,624 | 421,811 | ||||||||||
4.00% due 07/01/2047 | 1,678,153 | 1,788,416 | ||||||||||
4.00% due 06/01/2048 | 687,232 | 743,136 | ||||||||||
4.00% due 09/01/2048 | 666,129 | 708,195 | ||||||||||
4.00% due 01/01/2049 | 1,165,710 | 1,235,337 | ||||||||||
4.00% due 03/01/2050 | 1,879,891 | 1,996,894 | ||||||||||
4.50% due 11/01/2022 | 3,254 | 3,426 | ||||||||||
4.50% due 06/01/2023 | 5,325 | 5,609 | ||||||||||
4.50% due 08/01/2045 | 1,282,590 | 1,456,586 | ||||||||||
4.50% due 10/01/2048 | 51,930 | 55,779 | ||||||||||
4.50% due 11/01/2048 | 1,064,516 | 1,144,249 | ||||||||||
5.00% due 01/01/2023 | 2,673 | 2,808 | ||||||||||
5.00% due 03/01/2034 | 13,047 | 14,965 | ||||||||||
5.00% due 05/01/2035 | 7,583 | 8,699 | ||||||||||
5.00% due 05/01/2040 | 52,421 | 60,241 |
5.50% due 06/01/2038 | 16,823 | 19,283 | ||||||||||
6.00% due 02/01/2032 | 4,065 | 4,523 | ||||||||||
6.00% due 05/01/2034 | 1,139 | 1,327 | ||||||||||
6.00% due 10/01/2034 | 16,043 | 17,875 | ||||||||||
7.50% due 01/01/2030 | 838 | 851 | ||||||||||
8.00% due 11/01/2028 | 1,676 | 1,849 | ||||||||||
Federal National Mtg. Assoc. FRS | 40,186 | 41,306 | ||||||||||
3.62% (12 ML+1.67%) | 35,931 | 37,670 | ||||||||||
3.65% (12 ML+1.57%) | 10,826 | 11,318 | ||||||||||
3.70% (1 Yr USTYCR+2.26%) | 18,089 | 18,943 | ||||||||||
3.73% (12 ML+1.77%) | 45,320 | 47,390 | ||||||||||
3.75% (12 ML+1.83%) | 19,523 | 20,429 | ||||||||||
3.95% (12 ML+1.91%) | 33,613 | 35,483 | ||||||||||
4.07% (12 ML+1.82%) | 11,339 | 11,859 | ||||||||||
4.15% (1 Yr USTYCR+2.22%) | 30,455 | 31,776 | ||||||||||
Federal National Mtg. Assoc. REMIC | 312,314 | 329,172 | ||||||||||
Series 2018-35, Class CD | 316,637 | 332,226 | ||||||||||
|
| |||||||||||
29,926,601 | ||||||||||||
|
| |||||||||||
Government National Mtg. Assoc. – 2.5% |
| |||||||||||
2.50% due 05/20/2050 | 598,588 | 630,730 | ||||||||||
2.50% due 06/20/2050 | 2,000,000 | 2,107,392 | ||||||||||
3.00% due 05/20/2046 | 1,616,424 | 1,717,257 | ||||||||||
3.00% due 05/20/2050 | 1,496,866 | 1,588,242 | ||||||||||
4.50% due 10/20/2045 | 1,045,905 | 1,146,392 | ||||||||||
4.50% due 04/20/2047 | 574,948 | 628,125 | ||||||||||
|
| |||||||||||
7,818,138 | ||||||||||||
|
| |||||||||||
Total U.S. Government Agencies | 55,760,996 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT TREASURIES – 0.4% |
| |||||||||||
United States Treasury Notes – 0.4% |
| |||||||||||
1.63% due 08/15/2029 | 1,000,000 | 1,091,133 | ||||||||||
2.50% due 01/31/2024 | 250,000 | 270,449 | ||||||||||
|
| |||||||||||
Total U.S. Government Treasuries | 1,361,582 | |||||||||||
|
| |||||||||||
LOANS(6)(7)(8) – 5.1% |
| |||||||||||
Aerospace/Defense-Equipment – 0.0% |
| |||||||||||
WP CPP Holdings LLC FRS | 123,400 | 106,124 | ||||||||||
|
| |||||||||||
Airlines – 0.0% |
| |||||||||||
Delta Air Lines, Inc. FRS | 116,663 | 114,213 | ||||||||||
|
| |||||||||||
Applications Software – 0.1% |
| |||||||||||
Project Boost Purchaser LLC FRS | 166,435 | 157,836 | ||||||||||
VS Buyer LLC FRS | 15,284 | 14,749 | ||||||||||
|
| |||||||||||
172,585 | ||||||||||||
|
| |||||||||||
Athletic Equipment – 0.0% |
| |||||||||||
Varsity Brands Holding Co., Inc. FRS | 144,519 | 122,360 | ||||||||||
|
| |||||||||||
Auction Houses/Art Dealers – 0.0% |
| |||||||||||
Sotheby’s FRS | 90,236 | 84,070 | ||||||||||
|
| |||||||||||
Auto Repair Centers – 0.1% |
| |||||||||||
Mavis Tire Express Services Corp. FRS | 139,996 | 124,713 | ||||||||||
Wand NewCo. 3, Inc. FRS | 102,008 | 96,653 | ||||||||||
|
| |||||||||||
221,366 | ||||||||||||
|
| |||||||||||
Auto/Truck Parts & Equipment-Original – 0.1% |
| |||||||||||
TI Group Automotive Systems LLC FRS | 165,000 | 158,812 | ||||||||||
|
| |||||||||||
Broadcast Services/Program – 0.0% |
| |||||||||||
NEP Group, Inc. FRS | 137,900 | 111,871 | ||||||||||
|
|
Building & Construction-Misc. – 0.0% |
| |||||||||||
Verra Mobility Corp. FRS | 129,846 | 123,840 | ||||||||||
|
| |||||||||||
Building Products-Air & Heating – 0.0% |
| |||||||||||
API Heat Transfer ThermaSys Corp. FRS | 166,853 | 120,001 | ||||||||||
|
| |||||||||||
Building Products-Doors & Windows – 0.1% |
| |||||||||||
CHI Doors Holdings Corp. FRS | 136,745 | 132,813 | ||||||||||
|
| |||||||||||
Building-Heavy Construction – 0.0% |
| |||||||||||
Landry’s Finance Acquisition Co. FRS | 14,602 | 15,332 | ||||||||||
USIC Holdings, Inc. FRS | 105,939 | 100,774 | ||||||||||
|
| |||||||||||
116,106 | ||||||||||||
|
| |||||||||||
Cable/Satellite TV – 0.1% |
| |||||||||||
CSC Holdings LLC FRS | 205,199 | 194,016 | ||||||||||
CSC Holdings LLC FRS | 151,690 | 143,802 | ||||||||||
|
| |||||||||||
337,818 | ||||||||||||
|
| |||||||||||
Casino Hotels – 0.1% |
| |||||||||||
Caesars Resort Collection LLC FRS | 204,537 | 182,095 | ||||||||||
CityCenter Holdings LLC FRS | 138,853 | 125,893 | ||||||||||
|
| |||||||||||
307,988 | ||||||||||||
|
| |||||||||||
Casino Services – 0.0% |
| |||||||||||
Stars Group Holdings FRS | 86,869 | 86,272 | ||||||||||
|
| |||||||||||
Cellular Telecom – 0.1% |
| |||||||||||
Altice France SA FRS | 172,375 | 165,480 | ||||||||||
Numericable Group SA FRS | 37,710 | 36,037 | ||||||||||
T-Mobile USA, Inc. FRS | 72,033 | 71,925 | ||||||||||
|
| |||||||||||
273,442 | ||||||||||||
|
| |||||||||||
Chemicals-Diversified – 0.1% |
| |||||||||||
Hexion, Inc. FRS | 139,942 | 135,743 | ||||||||||
|
| |||||||||||
Chemicals-Specialty – 0.1% |
| |||||||||||
Diamond BC BV FRS | 138,542 | 126,997 | ||||||||||
PQ Corp. FRS | 66,799 | 65,296 | ||||||||||
Starfruit US HoldCo. LLC FRS | 184,923 | 173,135 | ||||||||||
|
| |||||||||||
365,428 | ||||||||||||
|
| |||||||||||
Commercial Services-Finance – 0.1% |
| |||||||||||
Cardtronics Usa Inc FRS | 18,871 | 18,494 | ||||||||||
Financial & Risk US Holdings, Inc. FRS | 135,597 | 132,512 | ||||||||||
MoneyGram International, Inc. FRS | 109,779 | 101,271 | ||||||||||
MPH Acquisition Holdings LLC FRS | 111,027 | 105,059 | ||||||||||
|
| |||||||||||
357,336 | ||||||||||||
|
| |||||||||||
Computer Data Security – 0.0% |
| |||||||||||
McAfee LLC FRS | 132,970 | 128,848 | ||||||||||
|
| |||||||||||
Computer Graphics – 0.1% |
| |||||||||||
Corel, Inc. FRS | 145,827 | 135,619 | ||||||||||
|
|
Computer Services – 0.0% |
| |||||||||||
Tempo Acquisition LLC FRS | 135,899 | 128,934 | ||||||||||
|
| |||||||||||
Computer Software – 0.2% |
| |||||||||||
Camelot Finance SA FRS | 101,638 | 98,208 | ||||||||||
Cornerstone Ondemand Inc FRS | 117,780 | 115,866 | ||||||||||
Rackspace Hosting, Inc. FRS | 389 | 368 | ||||||||||
Rackspace Hosting, Inc. FRS | 151,156 | 142,994 | ||||||||||
Vertafore, Inc. FRS | 68,950 | 64,764 | ||||||||||
Vertafore, Inc. FRS | 72,934 | 71,803 | ||||||||||
|
| |||||||||||
494,003 | ||||||||||||
|
| |||||||||||
Computers-Integrated Systems – 0.0% |
| |||||||||||
Everi Payments, Inc. FRS | 61,111 | 61,722 | ||||||||||
|
| |||||||||||
Consulting Services – 0.1% |
| |||||||||||
AlixPartners LLP FRS | 136,878 | 131,540 | ||||||||||
|
| |||||||||||
Containers-Metal/Glass – 0.1% |
| |||||||||||
Mauser Packaging Solutions Holding Co FRS | 188,596 | 168,511 | ||||||||||
|
| |||||||||||
Containers-Paper/Plastic – 0.1% |
| |||||||||||
Charter NEX US, Inc. FRS | 97,321 | 92,698 | ||||||||||
Patriot Container Corp. FRS | 108,525 | 105,133 | ||||||||||
|
| |||||||||||
197,831 | ||||||||||||
|
| |||||||||||
Cosmetics & Toiletries – 0.1% |
| |||||||||||
Sunshine Luxembourg VII SARL FRS | 140,568 | 134,117 | ||||||||||
|
| |||||||||||
Cruise Lines – 0.0% |
| |||||||||||
Carnival Corporation FRS | 46,196 | 44,579 | ||||||||||
|
| |||||||||||
Data Processing/Management – 0.1% |
| |||||||||||
CCC Information Services, Inc. FRS | 136,883 | 131,545 | ||||||||||
|
| |||||||||||
Diagnostic Equipment – 0.0% |
| |||||||||||
Immucor, Inc. FRS | 108,441 | 103,019 | ||||||||||
|
| |||||||||||
Direct Marketing – 0.1% |
| |||||||||||
Terrier Media Buyer, Inc. FRS | 215,993 | 205,554 | ||||||||||
|
| |||||||||||
Distribution/Wholesale – 0.1% |
| |||||||||||
Fastlane Parent Co., Inc. FRS | 105,927 | 98,777 | ||||||||||
Univar USA, Inc. FRS | 122,290 | 117,521 | ||||||||||
|
| |||||||||||
216,298 | ||||||||||||
|
| |||||||||||
Diversified Operations – 0.1% |
| |||||||||||
Travelport Finance Luxembourg SARL FRS | 200,411 | 130,184 | ||||||||||
|
| |||||||||||
E-Commerce/Services – 0.0% |
| |||||||||||
RentPath LLC FRS | 1,062,906 | 108,416 | ||||||||||
|
| |||||||||||
Electronic Components-Misc. – 0.0% |
| |||||||||||
AI Ladder Luxembourg Subco SARL FRS | 133,307 | 120,199 | ||||||||||
|
| |||||||||||
Electronic Components-Semiconductors – 0.0% |
| |||||||||||
Bright Bidco BV FRS | 178,362 | 75,091 | ||||||||||
|
|
Electronic Parts Distribution – 0.1% |
| |||||||||||
Tech Data Corp. FRS | 122,180 | 117,293 | ||||||||||
Tech Data Corp. FRS | 106,494 | 105,296 | ||||||||||
|
| |||||||||||
222,589 | ||||||||||||
|
| |||||||||||
Enterprise Software/Service – 0.4% |
| |||||||||||
Applied Systems, Inc. FRS | 132,987 | 129,562 | ||||||||||
Banff Merger Sub, Inc. FRS | 128,673 | 121,413 | ||||||||||
Dcert Buyer, Inc. FRS | 105,332 | 101,601 | ||||||||||
Epicor Software Corp. FRS | 133,300 | 130,110 | ||||||||||
Finastra USA, Inc. FRS | 40,058 | 34,951 | ||||||||||
Finastra USA, Inc. FRS | 102,625 | 89,540 | ||||||||||
Greeneden US Holdings II LLC FRS | 137,154 | 131,754 | ||||||||||
Kronos, Inc. FRS | 139,243 | 138,895 | ||||||||||
MYOB US Borrower LLC FRS | 103,062 | 97,265 | ||||||||||
Sophia LP FRS | 128,783 | 125,241 | ||||||||||
Ultimate Software Group, Inc. FRS | 20,863 | 20,591 | ||||||||||
Ultimate Software Group, Inc. FRS | 35,449 | 35,980 | ||||||||||
Ultimate Software Group, Inc. FRS | 102,736 | 99,232 | ||||||||||
|
| |||||||||||
1,256,135 | ||||||||||||
|
| |||||||||||
Finance-Credit Card – 0.1% |
| |||||||||||
Pi US Mergerco, Inc. FRS | 135,894 | 129,099 | ||||||||||
|
| |||||||||||
Finance-Investment Banker/Broker – 0.0% |
| |||||||||||
Deerfield Dakota Holding LLC FRS | 69,068 | 66,909 | ||||||||||
Motion Finco SARL FRS | 8,066 | 7,270 | ||||||||||
|
| |||||||||||
74,179 | ||||||||||||
|
| |||||||||||
Food-Misc./Diversified – 0.0% |
| |||||||||||
Froneri US, Inc. FRS | 121,592 | 114,195 | ||||||||||
|
| |||||||||||
Gambling (Non-Hotel) – 0.1% |
| |||||||||||
Mohegan Tribal Gaming Authority FRS | 150,669 | 122,936 | ||||||||||
Scientific Games International, Inc. FRS | 27,750 | 24,392 | ||||||||||
Scientific Games International, Inc. FRS | 362 | 318 | ||||||||||
Scientific Games International, Inc. FRS | 113,435 | 99,710 | ||||||||||
|
| |||||||||||
247,356 | ||||||||||||
|
| |||||||||||
Human Resources – 0.1% |
| |||||||||||
Creative Artists Agency LLC FRS | 105,685 | 99,938 | ||||||||||
Team Health Holdings, Inc. FRS | 71,482 | 54,720 | ||||||||||
|
| |||||||||||
154,658 | ||||||||||||
|
|
Insurance Brokers – 0.1% |
| |||||||||||
Alliant Holdings Intermediate LLC FRS | 137,889 | 129,961 | ||||||||||
HUB International, Ltd. FRS | 138,822 | 132,089 | ||||||||||
|
| |||||||||||
262,050 | ||||||||||||
|
| |||||||||||
Insurance-Property/Casualty – 0.1% |
| |||||||||||
Asurion LLC FRS | 139,435 | 134,642 | ||||||||||
Asurion LLC FRS | 7,101 | 7,041 | ||||||||||
Sedgwick Claims Management Services, Inc. FRS | 183,571 | 172,939 | ||||||||||
|
| |||||||||||
314,622 | ||||||||||||
|
| |||||||||||
Internet Financial Services – 0.1% |
| |||||||||||
ION Trading Finance, Ltd. FRS | 141,992 | 135,957 | ||||||||||
|
| |||||||||||
Investment Management/Advisor Services – 0.1% |
| |||||||||||
Advisor Group, Inc. FRS | 145,270 | 135,010 | ||||||||||
|
| |||||||||||
Machinery-Electrical – 0.0% |
| |||||||||||
Brookfield WEC Holdings, Inc. FRS | 101,455 | 97,756 | ||||||||||
|
| |||||||||||
Machinery-General Industrial – 0.1% |
| |||||||||||
Vertical US Newco, Inc. FRS | 139,352 | 136,565 | ||||||||||
|
| |||||||||||
Machinery-Pumps – 0.0% |
| |||||||||||
STS Operating, Inc. FRS | 136,714 | 125,835 | ||||||||||
|
| |||||||||||
Medical Labs & Testing Services – 0.1% |
| |||||||||||
Envision Healthcare Corp. FRS | 89,773 | 59,250 | ||||||||||
Envision Healthcare Corp. FRS | 172,126 | 113,604 | ||||||||||
Jaguar Holding Co. II FRS | 140,521 | 137,936 | ||||||||||
|
| |||||||||||
310,790 | ||||||||||||
|
| |||||||||||
Medical-Drugs – 0.1% |
| |||||||||||
Akorn, Inc. FRS | 114,458 | 108,163 | ||||||||||
Alphabet Holding Co., Inc. FRS | 144,884 | 135,756 | ||||||||||
Bausch Health Americas, Inc. FRS | 82,999 | 80,007 | ||||||||||
|
| |||||||||||
323,926 | ||||||||||||
|
| |||||||||||
Medical-Generic Drugs – 0.0% |
| |||||||||||
Amneal Pharmaceuticals LLC FRS | 120,690 | 109,978 | ||||||||||
|
| |||||||||||
Medical-Hospitals – 0.0% |
| |||||||||||
RegionalCare Hospital Partners Holdings, Inc. FRS | 110,231 | 102,722 | ||||||||||
|
| |||||||||||
Metal Processors & Fabrication – 0.1% |
| |||||||||||
Crosby US Acquisition Corp. FRS | 104,050 | 95,206 | ||||||||||
Form Technologies LLC FRS | 137,818 | 112,322 | ||||||||||
SEI Holdings I Corp. FRS | 140,136 | 128,924 | ||||||||||
|
| |||||||||||
336,452 | ||||||||||||
|
| |||||||||||
Miscellaneous Manufacturing – 0.0% |
| |||||||||||
Excelitas Technologies Corp. FRS | 105,000 | 98,831 | ||||||||||
|
|
Multimedia – 0.0% |
| |||||||||||
EW Scripps Co. FRS | 102,839 | 96,669 | ||||||||||
|
| |||||||||||
Non-Hazardous Waste Disposal – 0.0% |
| |||||||||||
GFL Environmental, Inc. FRS | 17,011 | 16,486 | ||||||||||
GFL Environmental, Inc. FRS | 95,068 | 92,138 | ||||||||||
|
| |||||||||||
108,624 | ||||||||||||
|
| |||||||||||
Oil Companies-Exploration & Production – 0.0% |
| |||||||||||
Osum Production Corp. FRS | 115,716 | 86,787 | ||||||||||
|
| |||||||||||
Oil-Field Services – 0.0% |
| |||||||||||
Apergy Corp. FRS | 77,000 | 74,112 | ||||||||||
Apergy Corp. FRS | 46,382 | 44,643 | ||||||||||
|
| |||||||||||
118,755 | ||||||||||||
|
| |||||||||||
Pharmacy Services – 0.1% |
| |||||||||||
Change Healthcare Holdings LLC FRS | 31,956 | 30,618 | ||||||||||
Change Healthcare Holdings LLC FRS | 69,200 | 66,302 | ||||||||||
HC Group Holdings II, Inc. FRS | 140,070 | 135,868 | ||||||||||
|
| |||||||||||
232,788 | ||||||||||||
|
| |||||||||||
Pipelines – 0.2% |
| |||||||||||
Blackstone CQP Holdco LP FRS | 193,244 | 184,910 | ||||||||||
Hercules Merger Sub LLC FRS | 189,240 | 181,387 | ||||||||||
Medallion Midland Acquisition LLC FRS | 146,279 | 130,005 | ||||||||||
|
| |||||||||||
496,302 | ||||||||||||
|
| |||||||||||
Protection/Safety – 0.0% |
| |||||||||||
Prime Security Services Borrower, LLC FRS | 42,257 | 40,532 | ||||||||||
Prime Security Services Borrower, LLC FRS | 19,443 | 18,649 | ||||||||||
Prime Security Services Borrower, LLC FRS | 58,330 | 55,948 | ||||||||||
|
| |||||||||||
115,129 | ||||||||||||
|
| |||||||||||
Publishing-Periodicals – 0.1% |
| |||||||||||
Meredith Corp. FRS | 114,161 | 105,504 | ||||||||||
Nielsen Finance LLC FRS | 140,551 | 135,210 | ||||||||||
|
| |||||||||||
240,714 | ||||||||||||
|
| |||||||||||
Quarrying – 0.0% |
| |||||||||||
US Silica Co. FRS | 150,033 | 106,023 | ||||||||||
|
| |||||||||||
Real Estate Management/Services – 0.0% |
| |||||||||||
Cushman & Wakefield FRS | 137,134 | 128,735 | ||||||||||
|
| |||||||||||
Research & Development – 0.0% |
| |||||||||||
PAREXEL International Corp. FRS | 128,744 | 121,851 | ||||||||||
|
| |||||||||||
Resorts/Theme Parks – 0.1% |
| |||||||||||
Merlin Entertainments PLC FRS | 61,373 | 55,313 | ||||||||||
SeaWorld Parks & Entertainment, Inc. FRS | 209,444 | 185,009 | ||||||||||
|
| |||||||||||
240,322 | ||||||||||||
|
|
Retail-Petroleum Products – 0.0% |
| |||||||||||
EG America LLC FRS | 136,172 | 127,831 | ||||||||||
|
| |||||||||||
Retail-Restaurants – 0.1% |
| |||||||||||
IRB Holding Corp. FRS | 137,884 | 127,198 | ||||||||||
Whatabrands LLC FRS | 125,684 | 119,479 | ||||||||||
Wok Holdings, Inc. FRS | 109,887 | 69,778 | ||||||||||
|
| |||||||||||
316,455 | ||||||||||||
|
| |||||||||||
Retail-Sporting Goods – 0.1% |
| |||||||||||
Bass Pro Group LLC FRS | 211,184 | 202,736 | ||||||||||
|
| |||||||||||
Rubber/Plastic Products – 0.0% |
| |||||||||||
Gates Global LLC FRS | 103,931 | 99,878 | ||||||||||
|
| |||||||||||
Satellite Telecom – 0.2% |
| |||||||||||
Connect Finco SARL FRS | 116,708 | 109,530 | ||||||||||
Intelsat Jackson Holdings SA FRS | 19,009 | 19,262 | ||||||||||
Intelsat Jackson Holdings SA FRS | 19,009 | 19,263 | ||||||||||
Intelsat Jackson Holdings SA FRS | 184,000 | 183,080 | ||||||||||
Iridium Satellite LLC FRS | 119,199 | 116,756 | ||||||||||
|
| |||||||||||
447,891 | ||||||||||||
|
| |||||||||||
Software Tools – 0.0% |
| |||||||||||
RP Crown Parent LLC FRS | 104,913 | 101,831 | ||||||||||
|
| |||||||||||
Telecom Services – 0.0% |
| |||||||||||
West Corp. FRS | 117,266 | 99,920 | ||||||||||
|
| |||||||||||
Telecommunication Equipment – 0.0% |
| |||||||||||
CommScope, Inc. FRS | 104,773 | 98,945 | ||||||||||
|
| |||||||||||
Telephone-Integrated – 0.1% |
| |||||||||||
CenturyLink, Inc. FRS | 114,719 | 107,800 | ||||||||||
Level 3 Financing, Inc. FRS | 91,079 | 85,842 | ||||||||||
Zayo Group Holdings, Inc. FRS | 175,406 | 165,813 | ||||||||||
|
| |||||||||||
359,455 | ||||||||||||
|
| |||||||||||
Television – 0.1% |
| |||||||||||
Ion Media Networks, Inc. FRS | 139,821 | 131,693 | ||||||||||
|
| |||||||||||
Theaters – 0.2% |
| |||||||||||
AMC Entertainment Holdings, Inc. FRS | 135,657 | 97,285 | ||||||||||
Cineworld, Ltd. FRS | 190,797 | 142,485 | ||||||||||
William Morris Endeavor Entertainment LLC FRS | 567,076 | 459,332 | ||||||||||
|
| |||||||||||
699,102 | ||||||||||||
|
| |||||||||||
Transactional Software – 0.0% |
| |||||||||||
Solera LLC FRS | 123,356 | 118,298 | ||||||||||
|
| |||||||||||
Transport-Truck – 0.1% |
| |||||||||||
Pods LLC FRS | 147,358 | 140,359 | ||||||||||
|
| |||||||||||
Total Loans |
| 15,889,996 | ||||||||||
|
|
COMMON STOCKS – 0.1% | ||||||||||||
Building Products-Air & Heating – 0.0% | ||||||||||||
API Heat Transfer, Inc.†(9)(10) | 171,230 | 13,356 | ||||||||||
|
| |||||||||||
Television – 0.1% | ||||||||||||
ION Media Networks, Inc.†(9)(10) | 655 | 345,063 | ||||||||||
|
| |||||||||||
Total Common Stocks | 358,419 | |||||||||||
|
| |||||||||||
PREFERRED SECURITIES – 0.1% | ||||||||||||
Building Products-Air & Heating – 0.0% | ||||||||||||
API Heat Transfer, Inc. | 36,495 | 2,682 | ||||||||||
|
| |||||||||||
Electric-Distribution – 0.1% | �� | |||||||||||
Entergy Louisiana LLC | 5,200 | 130,468 | ||||||||||
|
| |||||||||||
Sovereign Agency – 0.0% | ||||||||||||
Federal Home Loan Mtg. Corp. | 5,875 | 46,648 | ||||||||||
|
| |||||||||||
Total Preferred Securities | 179,798 | |||||||||||
|
| |||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES – 2.0% | ||||||||||||
Auto-Cars/Light Trucks – 0.2% | ||||||||||||
Volkswagen International Finance NV | EUR | 200,000 | 222,212 | |||||||||
Volkswagen International Finance NV | EUR | 300,000 | 338,735 | |||||||||
|
| |||||||||||
560,947 | ||||||||||||
|
| |||||||||||
Banks-Commercial – 0.0% | ||||||||||||
Barclays Bank PLC FRS | EUR | 100,000 | 91,965 | |||||||||
|
| |||||||||||
Banks-Money Center – 0.2% | ||||||||||||
BBVA Bancomer SA | $ | 201,000 | 187,069 | |||||||||
National Westminster Bank PLC FRS | EUR | 300,000 | 299,206 | |||||||||
|
| |||||||||||
486,275 | ||||||||||||
|
| |||||||||||
Banks-Super Regional – 0.0% | ||||||||||||
Wells Fargo & Co. | 115,000 | 138,395 | ||||||||||
|
| |||||||||||
Building & Construction-Misc. – 0.1% | ||||||||||||
China Minmetals Corp. | 335,000 | 337,496 | ||||||||||
|
| |||||||||||
Diversified Banking Institutions – 0.1% | ||||||||||||
JPMorgan Chase & Co. | 169,000 | 172,465 | ||||||||||
|
| |||||||||||
Electric-Distribution – 0.1% | ||||||||||||
National Rural Utilities Cooperative Finance Corp. | 268,000 | 268,334 | ||||||||||
|
| |||||||||||
Electric-Integrated – 0.2% | ||||||||||||
CMS Energy Corp. | 84,000 | 85,662 | ||||||||||
Dominion Resources, Inc. | 90,000 | 91,577 | ||||||||||
Enel SpA | EUR | 300,000 | 348,429 | |||||||||
|
| |||||||||||
525,668 | ||||||||||||
|
| |||||||||||
Food-Dairy Products – 0.1% | ||||||||||||
Land O’Lakes Capital Trust I | 367,000 | 401,865 | ||||||||||
|
| |||||||||||
Gas-Distribution – 0.1% | ||||||||||||
Centrica PLC | EUR | 150,000 | 165,443 | |||||||||
|
| |||||||||||
Insurance-Life/Health – 0.2% | ||||||||||||
Credit Agricole Assurances SA | EUR | 200,000 | 226,567 | |||||||||
Prudential Financial, Inc. | 249,000 | 279,068 | ||||||||||
Voya Financial, Inc. | 103,000 | 96,820 | ||||||||||
|
| |||||||||||
602,455 | ||||||||||||
|
| |||||||||||
Insurance-Multi-line – 0.1% | ||||||||||||
Allianz SE | EUR | 300,000 | 369,130 | |||||||||
|
| |||||||||||
Insurance-Mutual – 0.1% | ||||||||||||
Liberty Mutual Group, Inc. | EUR | 250,000 | 269,696 | |||||||||
|
| |||||||||||
Metal-Aluminum – 0.1% | ||||||||||||
Chalco Hong Kong Investment Co., Ltd. | 400,000 | 403,196 | ||||||||||
|
| |||||||||||
Metal-Diversified – 0.1% | ||||||||||||
Chinalco Capital Holdings, Ltd. | 200,000 | 200,970 | ||||||||||
|
| |||||||||||
Oil Companies-Integrated – 0.0% | ||||||||||||
BP Capital Markets PLC | 142,000 | 146,615 | ||||||||||
|
| |||||||||||
Pipelines – 0.0% | ||||||||||||
EnLink Midstream Partners LP | 65,000 | 23,400 | ||||||||||
Enterprise Products Operating LLC | 57,000 | 53,295 | ||||||||||
|
| |||||||||||
76,695 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trusts – 0.1% | ||||||||||||
Unibail-Rodamco-Westfield SE | EUR | 400,000 | 390,978 | |||||||||
|
| |||||||||||
Tools-Hand Held – 0.1% | ||||||||||||
Stanley Black & Decker, Inc. | 178,000 | 178,090 | ||||||||||
|
| |||||||||||
Transport-Rail – 0.1% | ||||||||||||
CRCC Chengan, Ltd. | 400,000 | 406,930 | ||||||||||
|
| |||||||||||
Total Preferred Securities/Capital Securities | 6,193,608 | |||||||||||
|
|
ESCROWS AND LITIGATION TRUSTS – 0.0% |
| |||||||||||
Hellas Telecommunications Luxembourg II SCA | 1,330,000 | 0 | ||||||||||
Lehman Brothers Holdings Capital Trust VII | 222,000 | 22 | ||||||||||
Lehman Brothers Holdings, Inc. | 280,000 | 28 | ||||||||||
Lehman Brothers Holdings, Inc. | 361,000 | 36 | ||||||||||
Venture Holdings Co. LLC | 100,000 | 0 | ||||||||||
Waterford Gaming LLC/Waterford Gaming Financial Corp. | 459,551 | 3,171 | ||||||||||
|
| |||||||||||
Total Escrows and Litigation Trusts | 3,257 | |||||||||||
|
| |||||||||||
Total Long-Term Investment Securities |
| 296,755,494 | ||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENT SECURITIES – 6.5% |
| |||||||||||
Registered Investment Companies – 6.5% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 20,364,934 | 20,364,934 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS | 101.1 | % | 317,120,428 | |||||||||
Liabilities in excess of other assets | (1.1 | ) | (3,592,560 | ) | ||||||||
|
|
|
| |||||||||
NET ASSETS | 100.0 | % | $ | 313,527,868 | ||||||||
|
|
|
|
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At June 30, 2020, the aggregate value of these securities was $92,658,258 representing 29.6% of net assets. |
† | Non-income producing security |
(1) | Commercial Mortgage Backed Security |
(2) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(3) | Collateralized Mortgage Obligation |
(4) | Interest Only |
(5) | Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at June 30, 2020. |
(6) | Senior loans in the Fund are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. |
(7) | The Fund invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (“LIBOR”) or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Fund is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan. |
(8) | All loans in the Fund were purchased through assignment agreements unless otherwise indicated. |
(9) | Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 1. Certain restricted securities held by the Fund may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Fund has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of June 30, 2020, the Fund held the following restricted securities: |
Description | Acquisition Date | Principal Amount/ Shares | Acquisition Cost | Value | Value per Principal amount/ Share | % of Net Assets | ||||||||||||||||||
Loans | ||||||||||||||||||||||||
API Heat Transfer, Inc. | 12/31/2018 | $ | 166,853 | $ | 166,853 | $ | 120,001 | $ | 71.92 | 0.04 | % | |||||||||||||
RentPath LLC | 06/21/2017 | 1,062,906 | 1,047,434 | 108,416 | 10.20 | 0.03 | % | |||||||||||||||||
Travelport Finance | 03/18/2019 | 200,411 | 186,508 | 130,184 | 64.96 | 0.04 | % | |||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
API Heat Transfer, Inc. | 12/31/2018 | 171,230 | 56,506 | 13,356 | 0.08 | 0.00 | % | |||||||||||||||||
ION Media Networks, Inc. | 12/16/2016 | 655 | 6 | 345,063 | 526.81 | 0.11 | % | |||||||||||||||||
Preferred Securities | ||||||||||||||||||||||||
API Heat Transfer, Inc. Class A | 12/31/2018 | 36,495 | 36,495 | 2,682 | 0.07 | 0.00 | % | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
$ | 719,702 | 0.22 | % | |||||||||||||||||||||
|
|
|
|
(10) | Securities classified as Level 3 (see Note 1). |
(11) | Perpetual maturity – maturity date reflects the next call date. |
(12) | Company has filed for bankruptcy protection. |
(13) | Security in default of interest. |
(14) | Denominated in United States dollars unless otherwise indicated. |
(15) | The rate shown is the 7-day yield as of June 30, 2020. |
(16) | Security in default of interest and principal at maturity. |
(17) | PIK (“Payment in Kind”) security – Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in the form of additional securities at the coupon rate listed. |
(18) | All or a portion of this holding is subject to unfunded loan commitments (See Note 3). |
(19) | PIK (“Payment in Kind”) security – Income may be paid in additional securities or cash at the discretion of the issuer. The security is current paying interest in cash at 14.75%. The security is also currently paying interest in the form of additional loans at 0.75%. |
BTL – Bank Term Loan
DIP – Debtor in Possession
REMIC – Real Estate Mortgage Investment Conduit
TBD – Senior loan purchased on a when issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to the settlement.
ULC – Unlimited Liability Corp.
FRS – Floating Rate Security
VRS – Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at June 30, 2020 and unless noted otherwise, the dates shown are the original maturity dates.
Currency Legend
EUR – Euro Currency
GBP – British Pound
Index Legend
3 ME – 3 Month Euribor
1 ML – 1 Month USD LIBOR
3 ML – 3 Month USD LIBOR
6 ML – 6 Month USD LIBOR
12 ML – 12 Month USD LIBOR
1 Yr USTYCR–1 Year US Treasury Yield Curve Rate
USFRBPLR – US Federal Reserve Bank Prime Loan Rate
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | EUR | 10,515,000 | USD | 11,455,949 | 07/23/2020 | $ | – | $ | (362,981 | ) | ||||||||||||||||||
EUR | 4,299,000 | USD | 4,891,269 | 09/24/2020 | 52,382 | – | ||||||||||||||||||||||
GBP | 1,538,850 | USD | 1,959,966 | 09/24/2020 | 52,247 | – | ||||||||||||||||||||||
USD | 108,388 | EUR | 100,000 | 07/23/2020 | 4,013 | – | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
Net Unrealized Appreciation/(Depreciation) |
| $ | 108,642 | $ | (362,981 | ) | ||||||||||||||||||||||
|
|
|
|
EUR – Euro Currency
GBP – British Pound
USD – United States Dollar
The following is a summary of the inputs used to value the Fund’s net assets as of June 30, 2020 (see Note 1):
Level 1 – Unadjusted Quoted Prices | Level 2 – Other Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Asset Backed Securities | $ | – | $ | 6,448,570 | $ | – | $ | 6,448,570 | ||||||||
Convertible Bonds & Notes | – | 345,317 | – | 345,317 | ||||||||||||
U.S. Corporate Bonds & Notes | – | 111,928,530 | – | 111,928,530 | ||||||||||||
Foreign Corporate Bonds & Notes | – | 49,891,953 | – | 49,891,953 | ||||||||||||
Foreign Government Obligations | – | 48,393,468 | – | 48,393,468 | ||||||||||||
U.S. Government Agencies | – | 55,760,996 | – | 55,760,996 | ||||||||||||
U.S. Government Treasuries | – | 1,361,582 | – | 1,361,582 | ||||||||||||
Loans: | ||||||||||||||||
Buiding Products-Air & Heating | – | – | 120,001 | 120,001 | ||||||||||||
E-Commerce/Services | – | – | 108,416 | 108,416 | ||||||||||||
Other Industries | – | 15,661,579 | – | 15,661,579 | ||||||||||||
Common Stocks | – | – | 358,419 | 358,419 | ||||||||||||
Preferred Securities: | ||||||||||||||||
Building Products-Air & Heating | – | – | 2,682 | 2,682 | ||||||||||||
Other Industries | 177,116 | – | – | 177,116 | ||||||||||||
Preferred Securities/Capital Securities | – | 6,193,608 | – | 6,193,608 | ||||||||||||
Escrows and Litigation Trusts | – | – | 3,257 | 3,257 | ||||||||||||
Short-Term Investment Securities | 20,364,934 | – | – | 20,364,934 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 20,542,050 | $ | 295,985,603 | $ | 592,775 | $ | 317,120,428 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments:+ | ||||||||||||||||
Forward Foreign Currency Contracts | $ | – | $ | 108,642 | $ | – | $ | 108,642 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Other Financial Instruments:+ | ||||||||||||||||
Forward Foreign Currency Contracts | $ | – | $ | 362,981 | $ | – | $ | 362,981 | ||||||||
|
|
|
|
|
|
|
| |||||||||
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
+ | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
At the beginning and end of the reporting period, Level 3 investments were not considered a material portion of the Fund. There were no Level 3 transfers during the reporting period.
See Notes to Portfolio of Investments
AIG Flexible Credit Fund
PORTFOLIO OF INVESTMENTS – June 30, 2020 – (unaudited)
Security Description | Shares/ Principal Amount | Value (Note 1) | ||||||
U.S. CORPORATE BONDS & NOTES – 48.2% |
| |||||||
Advertising Sales – 0.3% |
| |||||||
Outfront Media Capital LLC/Outfront Media Capital Corp. | $ | 810,000 | $ | 815,306 | ||||
|
| |||||||
Aerospace/Defense – 0.7% |
| |||||||
Boeing Co. | 709,000 | 837,319 | ||||||
Boeing Co. | 709,000 | 840,797 | ||||||
|
| |||||||
1,678,116 | ||||||||
|
| |||||||
Aerospace/Defense-Equipment – 1.6% |
| |||||||
Howmet Aerospace, Inc. | 485,000 | 526,157 | ||||||
Signature Aviation US Holdings, Inc. | 1,700,000 | 1,536,375 | ||||||
TransDigm, Inc. | 1,410,000 | 1,230,507 | ||||||
TransDigm, Inc. | 940,000 | 937,669 | ||||||
|
| |||||||
4,230,708 | ||||||||
|
| |||||||
Airlines – 0.4% |
| |||||||
American Airlines, Inc. | 835,000 | 790,904 | ||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd. | 250,000 | 250,625 | ||||||
|
| |||||||
1,041,529 | ||||||||
|
| |||||||
Apparel Manufacturers – 0.3% |
| |||||||
Hanesbrands, Inc. | 725,000 | 733,156 | ||||||
|
| |||||||
Applications Software – 0.4% |
| |||||||
SS&C Technologies, Inc. | 1,030,000 | 1,045,079 | ||||||
|
| |||||||
Athletic Equipment – 0.3% |
| |||||||
Vistra Outdoor, Inc. | 810,000 | 791,775 | ||||||
|
| |||||||
Auto-Cars/Light Trucks – 0.3% |
| |||||||
Ford Motor Co. | 274,000 | 296,523 | ||||||
Ford Motor Co. | 181,000 | 214,358 | ||||||
Ford Motor Credit Co. LLC | 235,000 | 235,094 | ||||||
|
| |||||||
745,975 | ||||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original – 1.1% |
| |||||||
American Axle & Manufacturing, Inc. | 1,700,000 | 1,650,054 | ||||||
Dana, Inc. | 943,000 | 941,218 | ||||||
Meritor, Inc. | 305,000 | 308,050 | ||||||
|
| |||||||
2,899,322 | ||||||||
|
| |||||||
Banks-Commercial – 0.3% |
| |||||||
Synovus Financial Corp. | 865,000 | 845,538 | ||||||
|
| |||||||
Broadcast Services/Program – 1.3% |
| |||||||
Clear Channel Worldwide Holdings, Inc. | 440,000 | 422,400 | ||||||
Clear Channel Worldwide Holdings, Inc. | 387,000 | 358,981 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. | 460,000 | 332,925 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. | 960,000 | 511,200 | ||||||
iHeartCommunications, Inc. | 809,966 | 742,228 | ||||||
Univision Communications, Inc. | 945,000 | 890,077 | ||||||
Univision Communications, Inc. | 165,000 | 174,900 | ||||||
|
| |||||||
3,432,711 | ||||||||
|
| |||||||
Building & Construction Products-Misc. – 0.6% |
| |||||||
Standard Industries, Inc. | 1,650,000 | 1,645,875 | ||||||
|
| |||||||
Building & Construction-Misc. – 0.4% |
| |||||||
Weekley Homes LLC/Weekley Finance Corp. | 1,045,000 | 1,052,838 | ||||||
|
| |||||||
Building-Mobile Home/Manufactured Housing – 0.1% |
| |||||||
Winnebago Industries, Inc. | 265,000 | 265,000 | ||||||
|
| |||||||
Building-Residential/Commercial – 1.6% |
| |||||||
M/I Homes, Inc. | 1,700,000 | 1,689,375 | ||||||
PulteGroup, Inc. | 645,000 | 824,181 | ||||||
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. | 1,475,000 | 1,514,840 | ||||||
|
| |||||||
4,028,396 | ||||||||
|
|
Cable/Satellite TV – 2.9% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 950,000 | 972,031 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 825,000 | 853,545 | ||||||
CSC Holdings LLC | 1,755,000 | 1,827,832 | ||||||
CSC Holdings LLC | 585,000 | 638,381 | ||||||
DISH DBS Corp. | 975,000 | 972,660 | ||||||
DISH DBS Corp. | 340,000 | 340,000 | ||||||
DISH DBS Corp. | 340,000 | 360,400 | ||||||
Radiate Holdco LLC/Radiate Finance, Inc. | 670,000 | 666,791 | ||||||
Sirius XM Radio, Inc. | 310,000 | 317,750 | ||||||
Sirius XM Radio, Inc. | 620,000 | 652,624 | ||||||
|
| |||||||
7,602,014 | ||||||||
|
| |||||||
Casino Hotels – 0.5% |
| |||||||
MGM Resorts International | 582,000 | 560,175 | ||||||
Station Casinos LLC | 980,000 | 829,325 | ||||||
|
| |||||||
1,389,500 | ||||||||
|
| |||||||
Casino Services – 0.3% |
| |||||||
Eldorado Resorts, Inc. | 755,000 | 815,642 | ||||||
|
| |||||||
Cellular Telecom – 1.0% |
| |||||||
Sprint Corp. | 2,260,000 | 2,545,325 | ||||||
|
| |||||||
Chemicals-Diversified – 0.5% |
| |||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc. | 255,000 | 265,838 | ||||||
Olin Corp. | 1,010,000 | 929,220 | ||||||
|
| |||||||
1,195,058 | ||||||||
|
| |||||||
Chemicals-Specialty – 0.6% |
| |||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp. | 801,000 | 805,005 | ||||||
Tronox, Inc. | 665,000 | 671,650 | ||||||
|
| |||||||
1,476,655 | ||||||||
|
| |||||||
Coal – 0.3% |
| |||||||
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp. | 985,000 | 662,413 | ||||||
|
| |||||||
Computer Services – 0.4% |
| |||||||
Banff Merger Sub, Inc. | 530,000 | 533,313 | ||||||
Exela Intermediate LLC/Exela Finance, Inc. | 490,000 | 118,825 | ||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. | 315,000 | 322,875 | ||||||
|
| |||||||
975,013 | ||||||||
|
| |||||||
Consulting Services – 0.1% |
| |||||||
Gartner, Inc. | 330,000 | 333,861 | ||||||
|
| |||||||
Consumer Products-Misc. – 0.3% |
| |||||||
Prestige Brands, Inc. | 775,000 | 794,375 | ||||||
|
| |||||||
Containers-Metal/Glass – 0.7% |
| |||||||
BWAY Holding Co. | 1,256,000 | 1,138,903 | ||||||
Greif, Inc. | 610,000 | 620,901 | ||||||
|
| |||||||
1,759,804 | ||||||||
|
| |||||||
Containers-Paper/Plastic – 0.5% |
| |||||||
Trident Merger Sub, Inc. | 790,000 | 750,500 | ||||||
Trident TPI Holdings, Inc. | 490,000 | 502,250 | ||||||
|
| |||||||
1,252,750 | ||||||||
|
| |||||||
Data Processing/Management – 0.3% |
| |||||||
Star Merger Sub, Inc. | 785,000 | 871,350 | ||||||
|
|
Decision Support Software – 0.3% |
| |||||||
MSCI, Inc. | 884,000 | 901,680 | ||||||
|
| |||||||
Diagnostic Equipment – 1.1% |
| |||||||
Avantor, Inc. | 1,155,000 | 1,206,975 | ||||||
Avantor, Inc. | 735,000 | 790,125 | ||||||
Ortho-Clinical Diagnostics, Inc. | 390,000 | 396,427 | ||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA | 420,000 | 427,350 | ||||||
|
| |||||||
2,820,877 | ||||||||
|
| |||||||
E-Commerce/Services – 0.6% |
| |||||||
Expedia Group, Inc. | 680,000 | 724,386 | ||||||
Expedia Group, Inc. | 70,000 | 72,761 | ||||||
Uber Technologies, Inc. | 730,000 | 735,475 | ||||||
|
| |||||||
1,532,622 | ||||||||
|
| |||||||
Electric Products-Misc. – 0.4% |
| |||||||
WESCO Distribution, Inc. | 165,000 | 173,766 | ||||||
Wesco Distribution, Inc. | 780,000 | 824,850 | ||||||
|
| |||||||
998,616 | ||||||||
|
| |||||||
Electric-Integrated – 1.1% |
| |||||||
DPL, Inc. | 1,735,000 | 1,757,346 | ||||||
PG&E Corp. | 420,000 | 422,394 | ||||||
Talen Energy Supply LLC | 750,000 | 734,063 | ||||||
|
| |||||||
2,913,803 | ||||||||
|
| |||||||
Electronic Components-Semiconductors – 0.3% |
| |||||||
Microchip Technology, Inc. | 820,000 | 825,218 | ||||||
|
| |||||||
Energy-Alternate Sources – 0.2% |
| |||||||
TerraForm Power Operating LLC | 590,000 | 615,075 | ||||||
|
| |||||||
Enterprise Software/Service – 0.3% |
| |||||||
Open Text Holdings, Inc. | 840,000 | 825,300 | ||||||
|
| |||||||
Finance-Consumer Loans – 0.8% |
| |||||||
Navient Corp. | 700,000 | 657,566 | ||||||
Springleaf Finance Corp. | 135,000 | 126,225 | ||||||
Springleaf Finance Corp. | 820,000 | 841,269 | ||||||
Springleaf Finance Corp. | 390,000 | 403,646 | ||||||
|
| |||||||
2,028,706 | ||||||||
|
| |||||||
Financial Guarantee Insurance – 0.1% |
| |||||||
NMI Holdings, Inc. | 340,000 | 355,769 | ||||||
|
| |||||||
Food-Catering – 0.3% |
| |||||||
Aramark Services, Inc. | 670,000 | 691,862 | ||||||
|
| |||||||
Food-Dairy Products – 0.4% |
| |||||||
Chobani LLC/Chobani Finance Corp., Inc. | 1,095,000 | 1,056,675 | ||||||
|
| |||||||
Food-Misc./Diversified – 0.5% |
| |||||||
Dole Food Co., Inc. | 1,250,000 | 1,196,875 | ||||||
|
| |||||||
Food-Retail – 0.7% |
| |||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 1,700,000 | 1,700,000 | ||||||
|
| |||||||
Food-Wholesale/Distribution – 0.4% |
| |||||||
Matterhorn Merger Sub LLC/Matterhorn Finance Sub, Inc. | 1,045,000 | 973,762 | ||||||
|
| |||||||
Gambling (Non-Hotel) – 0.8% |
| |||||||
Colt Merger Sub, Inc. | 390,000 | 387,562 | ||||||
Colt Merger Sub, Inc. | 305,000 | 294,706 | ||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma | 485,000 | 409,825 | ||||||
Scientific Games International, Inc. | 630,000 | 504,000 | ||||||
Scientific Games International, Inc. | 380,000 | 340,813 | ||||||
|
| |||||||
1,936,906 | ||||||||
|
| |||||||
Garden Products – 0.4% |
| |||||||
Scotts Miracle-Gro Co. | 1,055,000 | 1,085,331 | ||||||
|
|
Hotels/Motels – 0.2% |
| |||||||
Marriott Ownership Resorts, Inc. | 520,000 | 531,700 | ||||||
|
| |||||||
Human Resources – 0.3% |
| |||||||
ASGN, Inc. | 877,000 | 856,496 | ||||||
|
| |||||||
Insurance-Multi-line – 0.4% |
| |||||||
Acrisure LLC/Acrisure Finance, Inc. | 710,000 | 678,938 | ||||||
Acrisure LLC/Acrisure Finance, Inc. | 320,000 | 332,704 | ||||||
|
| |||||||
1,011,642 | ||||||||
|
| |||||||
Internet Connectivity Services – 0.3% |
| |||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. | 795,000 | 826,800 | ||||||
|
| |||||||
Investment Companies – 0.8% |
| |||||||
Compass Diversified Holdings/Compass Group Diversified Holdings LLC | 145,000 | 147,455 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 680,000 | 656,200 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 880,000 | 880,616 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 285,000 | 282,150 | ||||||
|
| |||||||
1,966,421 | ||||||||
|
| |||||||
Investment Management/Advisor Services – 0.7% |
| |||||||
Citadel LP | 1,735,000 | 1,790,814 | ||||||
|
| |||||||
Machinery-Electrical – 0.1% |
| |||||||
BWX Technologies, Inc. | 230,000 | 229,425 | ||||||
|
| |||||||
Machinery-General Industrial – 0.1% |
| |||||||
Vertical US Newco, Inc. | 200,000 | 200,000 | ||||||
|
| |||||||
Medical Information Systems – 0.3% |
| |||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. | 690,000 | 681,375 | ||||||
|
| |||||||
Medical Labs & Testing Services – 0.5% |
| |||||||
West Street Merger Sub, Inc. | 1,230,000 | 1,190,025 | ||||||
|
| |||||||
Medical-Generic Drugs – 0.2% |
| |||||||
Par Pharmaceutical, Inc. | 603,000 | 618,799 | ||||||
|
| |||||||
Medical-Hospitals – 3.1% |
| |||||||
CHS/Community Health Systems, Inc. | 805,000 | 756,700 | ||||||
HCA, Inc. | 1,315,000 | 1,408,694 | ||||||
HCA, Inc. | 465,000 | 519,056 | ||||||
LifePoint Health, Inc. | 835,000 | 789,075 | ||||||
LifePoint Health, Inc. | 10,000 | 10,325 | ||||||
Select Medical Corp. | 1,275,000 | 1,288,961 | ||||||
Surgery Center Holdings, Inc. | 420,000 | 379,050 | ||||||
Surgery Center Holdings, Inc. | 425,000 | 425,000 | ||||||
Tenet Healthcare Corp. | 865,000 | 842,294 | ||||||
Tenet Healthcare Corp. | 292,000 | 288,116 | ||||||
Tenet Healthcare Corp. | 345,000 | 342,413 | ||||||
Tenet Healthcare Corp. | 650,000 | 633,977 | ||||||
Tenet Healthcare Corp. | 365,000 | 383,250 | ||||||
|
| |||||||
8,066,911 | ||||||||
|
| |||||||
Metal-Aluminum – 0.4% |
| |||||||
Kaiser Aluminum Corp. | 240,000 | 248,100 | ||||||
Novelis Corp. | 860,000 | 821,300 | ||||||
|
| |||||||
1,069,400 | ||||||||
|
| |||||||
Metal-Iron – 0.3% |
| |||||||
Cleveland-Cliffs, Inc. | 310,000 | 299,150 | ||||||
Cleveland-Cliffs, Inc. | 585,000 | 438,750 | ||||||
|
| |||||||
737,900 | ||||||||
|
|
Miscellaneous Manufacturing – 0.5% |
| |||||||
Hillenbrand, Inc. | 1,215,000 | 1,219,933 | ||||||
|
| |||||||
Oil & Gas Drilling – 0.4% |
| |||||||
Nabors Industries, Inc. | 615,000 | 249,075 | ||||||
Patterson-UTI Energy, Inc. | 880,000 | 667,023 | ||||||
|
| |||||||
916,098 | ||||||||
|
| |||||||
Oil Companies-Exploration & Production – 1.2% |
| |||||||
Callon Petroleum Co. | 451,345 | 169,367 | ||||||
CrownRock LP/CrownRock Finance, Inc. | 1,015,000 | 909,694 | ||||||
Denbury Resources, Inc. | 768,000 | 307,200 | ||||||
Occidental Petroleum Corp. | 295,000 | 274,630 | ||||||
Occidental Petroleum Corp. | 525,000 | 384,090 | ||||||
Parsley Energy LLC/Parsley Finance Corp. | 905,000 | 819,025 | ||||||
Sanchez Energy Corp. | 405,000 | 4,050 | ||||||
Vine Oil & Gas LP/Vine Oil & Gas Finance Corp. | 575,000 | 345,000 | ||||||
|
| |||||||
3,213,056 | ||||||||
|
| |||||||
Oil-Field Services – 0.6% |
| |||||||
CSI Compressco LP/CSI Compressco Finance, Inc. | 1,145,000 | 595,400 | ||||||
USA Compression Partners LP/USA Compression Finance Corp. | 905,000 | 874,456 | ||||||
|
| |||||||
1,469,856 | ||||||||
|
| |||||||
Paper & Related Products – 0.4% |
| |||||||
Schweitzer-Mauduit International, Inc. | 1,020,000 | 1,042,950 | ||||||
|
| |||||||
Petrochemicals – 0.3% |
| |||||||
TPC Group, Inc. | 827,000 | 740,165 | ||||||
|
| |||||||
Physical Therapy/Rehabilitation Centers – 0.4% |
| |||||||
Encompass Health Corp. | 820,000 | 786,478 | ||||||
Encompass Health Corp. | 135,000 | 128,925 | ||||||
|
| |||||||
915,403 | ||||||||
|
| |||||||
Pipelines – 1.6% |
| |||||||
American Midstream Partners LP/American Midstream Finance Corp. | 525,000 | 477,750 | ||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. | 390,000 | 308,100 | ||||||
Cheniere Energy Partners LP | 665,000 | 661,675 | ||||||
Cheniere Energy, Inc. | 1,035,000 | 1,045,040 | ||||||
DCP Midstream Operating LP | 175,000 | 173,687 | ||||||
DCP Midstream Operating LP | 40,000 | 40,250 | ||||||
EQM Midstream Partners LP | 220,000 | 222,842 | ||||||
EQM Midstream Partners LP | 250,000 | 256,055 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 830,000 | 821,700 | ||||||
|
| |||||||
4,007,099 | ||||||||
|
| |||||||
Precious Metals – 0.4% |
| |||||||
Hecla Mining Co. | 910,000 | 923,650 | ||||||
|
| |||||||
Publishing-Books – 0.1% |
| |||||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance | 500,000 | 332,500 | ||||||
|
| |||||||
Real Estate Investment Trusts – 2.1% |
| |||||||
ESH Hospitality, Inc. | 2,140,000 | 2,003,575 | ||||||
iStar, Inc. | 855,000 | 773,775 | ||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | 580,000 | 551,000 | ||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | 330,000 | 341,556 |
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | 370,000 | 379,250 | ||||||
Service Properties Trust | 505,000 | 532,035 | ||||||
Uniti Group, Inc./CSL Capital LLC | 880,000 | 805,200 | ||||||
|
| |||||||
5,386,391 | ||||||||
|
| |||||||
Research & Development – 0.2% |
| |||||||
Jaguar Holding Co. II/PPD Development LP | 520,000 | 532,350 | ||||||
|
| |||||||
Retail-Arts & Crafts – 0.1% |
| |||||||
Michaels Stores, Inc. | 360,000 | 313,200 | ||||||
|
| |||||||
Retail-Automobile – 0.3% |
| |||||||
Lithia Motors, Inc. | 890,000 | 881,100 | ||||||
|
| |||||||
Retail-Building Products – 0.3% |
| |||||||
SRS Distribution, Inc. | 865,000 | 877,975 | ||||||
|
| |||||||
Retail-Mail Order – 0.3% |
| |||||||
QVC, Inc. | 920,000 | 889,640 | ||||||
|
| |||||||
Retail-Propane Distribution – 0.2% |
| |||||||
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. | 570,000 | 142,500 | ||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp. | 490,000 | 485,100 | ||||||
|
| |||||||
627,600 | ||||||||
|
| |||||||
Retail-Regional Department Stores – 0.0% |
| |||||||
Neiman Marcus Group, Ltd. LLC/Neiman Marcus Group LLC/Mariposa Borrower/NMG | 577,000 | 23,080 | ||||||
|
| |||||||
Retail-Restaurants – 0.3% |
| |||||||
Golden Nugget, Inc. | 895,000 | 643,281 | ||||||
Golden Nugget, Inc. | 455,000 | 257,075 | ||||||
|
| |||||||
900,356 | ||||||||
|
| |||||||
Security Services – 0.5% |
| |||||||
Allied Universal Holdco LLC | 1,120,000 | 1,176,000 | ||||||
|
| |||||||
Soap & Cleaning Preparation – 0.3% |
| |||||||
Kronos Acquisition Holdings, Inc. | 720,000 | 685,800 | ||||||
|
| |||||||
Steel-Producers – 0.5% |
| |||||||
United States Steel Corp. | 715,000 | 452,237 | ||||||
United States Steel Corp. | 790,000 | 809,750 | ||||||
|
| |||||||
1,261,987 | ||||||||
|
| |||||||
Telephone-Integrated – 1.2% |
| |||||||
Cincinnati Bell, Inc. | 1,075,000 | 1,096,500 | ||||||
Consolidated Communications, Inc. | 965,000 | 887,607 | ||||||
Frontier Communications Corp. | 295,000 | 278,775 | ||||||
Level 3 Financing, Inc. | 215,000 | 214,753 | ||||||
Level 3 Financing, Inc. | 670,000 | 675,025 | ||||||
|
| |||||||
3,152,660 | ||||||||
|
| |||||||
Theaters – 0.5% |
| |||||||
Live Nation Entertainment, Inc. | 310,000 | 266,665 | ||||||
Live Nation Entertainment, Inc. | 1,130,000 | 1,028,300 | ||||||
|
| |||||||
1,294,965 | ||||||||
|
| |||||||
Transport-Equipment & Leasing – 0.6% |
| |||||||
Fortress Transportation & Infrastructure Investors LLC | 980,000 | 882,206 | ||||||
Fortress Transportation & Infrastructure Investors LLC | 670,000 | 643,508 | ||||||
|
| |||||||
1,525,714 | ||||||||
|
| |||||||
Wireless Equipment – 0.4% |
| |||||||
ViaSat, Inc. | 1,075,000 | 1,029,313 | ||||||
|
| |||||||
Total U.S. Corporate Bonds & Notes |
| 124,500,710 | ||||||
|
| |||||||
FOREIGN CORPORATE BONDS & NOTES – 7.2% |
| |||||||
Aerospace/Defense – 0.4% |
| |||||||
Bombardier, Inc. | 675,000 | 442,125 | ||||||
Bombardier, Inc. | 365,000 | 239,075 | ||||||
Bombardier, Inc. | 340,000 | 276,250 | ||||||
|
| |||||||
957,450 | ||||||||
|
|
Airlines – 0.7% |
| |||||||
Norwegian Air Shuttle ASA Pass-Through Trust | 2,152,826 | 1,851,487 | ||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original – 0.3% |
| |||||||
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. | 695,000 | 698,440 | ||||||
|
| |||||||
Building-Residential/Commercial – 0.3% |
| |||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. | 680,000 | 697,000 | ||||||
|
| |||||||
Cable/Satellite TV – 0.1% |
| |||||||
Virgin Media Finance PLC | 275,000 | 268,870 | ||||||
|
| |||||||
Casino Hotels – 0.2% |
| |||||||
Sands China, Ltd. | 520,000 | 541,554 | ||||||
|
| |||||||
Casino Services – 0.2% |
| |||||||
Gateway Casinos & Entertainment, Ltd. | 800,000 | 656,000 | ||||||
|
| |||||||
Cellular Telecom – 0.5% |
| |||||||
Numericable-SFR SA | 1,200,000 | 1,251,360 | ||||||
|
| |||||||
Chemicals-Specialty – 0.4% |
| |||||||
Alpha 3 BV/Alpha US Bidco, Inc. | 950,000 | 940,500 | ||||||
|
| |||||||
Cruise Lines – 0.1% |
| |||||||
Carnival Corp. | 125,000 | 135,625 | ||||||
Royal Caribbean Cruises, Ltd. | 220,000 | 218,073 | ||||||
|
| |||||||
353,698 | ||||||||
|
| |||||||
Diversified Minerals – 0.3% |
| |||||||
Teck Resources, Ltd. | 780,000 | 885,298 | ||||||
|
| |||||||
Finance-Leasing Companies – 0.2% |
| |||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 575,000 | 602,890 | ||||||
|
| |||||||
Gambling (Non-Hotel) – 0.1% |
| |||||||
International Game Technology PLC | 200,000 | 195,340 | ||||||
|
| |||||||
Machinery-General Industrial – 0.1% |
| |||||||
Vertical Holdco GmbH | 200,000 | 200,000 | ||||||
|
| |||||||
Machinery-Pumps – 0.2% |
| |||||||
Titan Acquisition, Ltd./Titan Co-Borrower LLC | 455,000 | 430,544 | ||||||
|
| |||||||
Medical-Biomedical/Gene – 0.1% |
| |||||||
Concordia International Corp. | 142,000 | 130,640 | ||||||
|
| |||||||
Medical-Drugs – 1.1% |
| |||||||
Bausch Health Cos., Inc. | 585,000 | 620,100 | ||||||
Bausch Health Cos., Inc. | 745,000 | 767,350 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. | 70,000 | 74,039 | ||||||
Teva Phamaceutical Finance Netherlands III BV | 380,000 | 404,506 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 1,185,000 | 1,058,063 | ||||||
|
| |||||||
2,924,058 | ||||||||
|
| |||||||
Oil & Gas Drilling – 0.1% |
| |||||||
Transocean, Inc. | 870,000 | 250,073 | ||||||
Transocean, Inc. | 160,000 | 88,300 | ||||||
|
| |||||||
338,373 | ||||||||
|
| |||||||
Oil Companies-Exploration & Production – 0.6% |
| |||||||
Geopark, Ltd. | 995,000 | 914,803 | ||||||
MEG Energy Corp. | 890,000 | 739,813 | ||||||
|
| |||||||
1,654,616 | ||||||||
|
| |||||||
Satellite Telecom – 0.6% |
| |||||||
Telesat Canada/Telesat LLC | 400,000 | 392,000 | ||||||
Telesat Canada/Telesat LLC | 1,080,000 | 1,058,746 | ||||||
|
| |||||||
1,450,746 | ||||||||
|
| |||||||
Security Services – 0.2% |
| |||||||
Garda World Security Corp. | 540,000 | 531,900 | ||||||
|
|
Telecom Services – 0.4% |
| |||||||
Altice France Holding SA | 1,000,000 | 944,380 | ||||||
|
| |||||||
Total Foreign Corporate Bonds & Notes |
| 18,505,144 | ||||||
|
| |||||||
LOANS(6)(7)(8) – 42.2% |
| |||||||
Advertising Sales – 0.2% |
| |||||||
Clear Channel Outdoor Holdings, Inc. FRS | 595,500 | 538,928 | ||||||
|
| |||||||
Advertising Services – 0.1% |
| |||||||
Advantage Sales & Marketing, Inc. FRS | 352,833 | 320,858 | ||||||
|
| |||||||
Airlines – 0.6% |
| |||||||
Mileage Plus Holdings LLC FRS | 515,000 | 510,921 | ||||||
WestJet Airlines, Ltd. FRS | 1,147,850 | 917,324 | ||||||
|
| |||||||
1,428,245 | ||||||||
|
| |||||||
Auto-Heavy Duty Trucks – 0.4% |
| |||||||
Navistar, Inc. FRS | 1,162,038 | 1,096,673 | ||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original – 1.7% |
| |||||||
Accuride Corp. FRS | 1,154,626 | 718,755 | ||||||
Cooper-Standard Automotive, Inc. FRS | 820,596 | 663,315 | ||||||
DexKo Global, Inc. FRS | 958,023 | 894,554 | ||||||
Panther BF Aggregator 2 LP FRS | 903,175 | 858,768 | ||||||
Tenneco, Inc. FRS | 1,605,550 | 1,387,195 | ||||||
|
| |||||||
4,522,587 | ||||||||
|
| |||||||
Broadcast Services/Program – 1.2% |
| |||||||
Diamond Sports Group LLC FRS | 992,500 | 805,166 | ||||||
iHeartCommunications, Inc. FRS | 1,530,925 | 1,407,176 | ||||||
Univision Communications, Inc. FRS | 1,044,910 | 965,671 | ||||||
|
| |||||||
3,178,013 | ||||||||
|
| |||||||
Building & Construction Products-Misc. – 0.4% |
| |||||||
AZEK Co. LLC FRS | 985,267 | 972,951 | ||||||
|
| |||||||
Building Products-Cement – 0.9% |
| |||||||
Quikrete Holdings, Inc. FRS | 1,006,080 | 968,772 | ||||||
Summit Materials LLC FRS | 1,493,515 | 1,434,708 | ||||||
|
| |||||||
2,403,480 | ||||||||
|
| |||||||
Building-Heavy Construction – 0.0% |
| |||||||
Landry’s Finance Acquisition Co. FRS | 55,000 | 57,750 | ||||||
|
| |||||||
Casino Hotels – 0.9% |
| |||||||
Caesars Resort Collection LLC FRS | 820,000 | 768,750 | ||||||
CityCenter Holdings LLC FRS | 954,402 | 865,325 | ||||||
Golden Nugget, Inc. FRS | 339,687 | 277,864 | ||||||
Golden Nugget, Inc. FRS | 400,382 | 327,512 | ||||||
|
| |||||||
2,239,451 | ||||||||
|
| |||||||
Casino Services – 0.3% |
| |||||||
Aristocrat Leisure, Ltd. FRS | 270,000 | 267,637 | ||||||
Gateway Casinos & Entertainment, Ltd. FRS | 539,000 | 435,411 | ||||||
|
| |||||||
703,048 | ||||||||
|
| |||||||
Cellular Telecom – 0.7% |
| |||||||
Altice France SA FRS | 640,250 | 614,640 | ||||||
T-Mobile USA, Inc. FRS | 1,130,000 | 1,128,305 | ||||||
|
| |||||||
1,742,945 | ||||||||
|
|
Chemicals-Diversified – 0.9% |
| |||||||
Ascend Performance Materials Operations LLC FRS | 411,888 | 401,247 | ||||||
Hexion, Inc. FRS | 774,450 | 751,216 | ||||||
Illuminate Buyer LLC FRS | 415,000 | 408,516 | ||||||
Innophos Holdings, Inc. FRS | 832,913 | 814,172 | ||||||
|
| |||||||
2,375,151 | ||||||||
|
| |||||||
Chemicals-Specialty – 1.0% |
| |||||||
Diamond BC BV FRS | 1,679,912 | 1,539,920 | ||||||
Diamond BC BV FRS | 310,000 | 303,025 | ||||||
Zep, Inc. FRS | 743,963 | 617,754 | ||||||
|
| |||||||
2,460,699 | ||||||||
|
| |||||||
Commercial Services – 0.6% |
| |||||||
CPI Acquisition, Inc. FRS | 1,285,685 | 1,028,548 | ||||||
DynCorp International , Inc. FRS | 539,000 | 506,660 | ||||||
|
| |||||||
1,535,208 | ||||||||
|
| |||||||
Computer Services – 0.4% |
| |||||||
Tempo Acquisition LLC FRS | 1,023,921 | 971,445 | ||||||
|
| |||||||
Computer Software – 0.3% |
| |||||||
Vertafore, Inc. FRS | 926,087 | 869,860 | ||||||
|
| |||||||
Computers-Integrated Systems – 0.7% |
| |||||||
Everi Payments, Inc. FRS | 1,260,151 | 1,182,967 | ||||||
Everi Payments, Inc. FRS | 55,000 | 55,550 | ||||||
NCR Corp. FRS | 533,656 | 514,978 | ||||||
|
| |||||||
1,753,495 | ||||||||
|
| |||||||
Consulting Services – 0.4% |
| |||||||
AlixPartners LLP FRS | 1,126,561 | 1,082,625 | ||||||
|
| |||||||
Containers-Metal/Glass – 1.2% |
| |||||||
Anchor Glass Container Corp. FRS | 45,941 | 34,417 | ||||||
Anchor Glass Container Corp. FRS | 1,007,941 | 755,116 | ||||||
Anchor Glass Container Corp. FRS | 796,000 | 233,493 | ||||||
Berlin Packaging LLC FRS | 974,172 | 918,969 | ||||||
Berlin Packaging LLC FRS | 10,728 | 10,120 | ||||||
Mauser Packaging Solutions Holding Co. FRS | 1,231,900 | 1,100,703 | ||||||
|
| |||||||
3,052,818 | ||||||||
|
| |||||||
Containers-Paper/Plastic – 1.8% |
| |||||||
Fort Dearborn Holding Co., Inc. FRS | 1,112,300 | 1,040,000 | ||||||
Kloeckner Pentaplast of America, Inc. FRS | 1,317,363 | 1,217,738 | ||||||
Patriot Container Corp. FRS | 833,997 | 807,934 | ||||||
Reynolds Group Holdings, Inc. FRS | 1,086,749 | 1,034,585 | ||||||
Trident TPI Holdings, Inc. FRS | 610,047 | 580,307 | ||||||
|
| |||||||
4,680,564 | ||||||||
|
| |||||||
Cosmetics & Toiletries – 0.4% |
| |||||||
Parfums Holding Co., Inc. FRS | 1,184,688 | 1,095,836 | ||||||
|
|
Cruise Lines – 0.0% |
| |||||||
Carnival Corp. FRS | 105,000 | 101,325 | ||||||
|
| |||||||
Data Processing/Management – 0.4% |
| |||||||
Dun & Bradstreet Corp. FRS | 952,613 | 927,209 | ||||||
|
| |||||||
Diagnostic Kits – 0.3% |
| |||||||
Ortho-Clinical Diagnostics SA FRS | 732,494 | 681,677 | ||||||
|
| |||||||
Disposable Medical Products – 0.3% |
| |||||||
Sotera Health Holdings LLC FRS | 812,275 | 792,730 | ||||||
|
| |||||||
Diversified Minerals – 0.2% |
| |||||||
Covia Holdings Corp. FRS | 788,209 | 475,552 | ||||||
|
| |||||||
E-Commerce/Products – 0.2% |
| |||||||
Rodan & Fields LLC FRS | 1,127,000 | 557,865 | ||||||
|
| |||||||
E-Commerce/Services – 0.5% |
| |||||||
Hoya Midco LLC FRS | 1,459,739 | 1,204,284 | ||||||
|
| |||||||
Electric-Generation – 0.3% |
| |||||||
APLP Holdings LP FRS | 699,857 | 680,028 | ||||||
|
| |||||||
Electric-Integrated – 0.1% |
| |||||||
PG&E Corp. FRS | 270,000 | 266,175 | ||||||
|
| |||||||
Electronics-Military – 0.3% |
| |||||||
AI Convoy Luxembourg SARL FRS | 812,275 | 772,169 | ||||||
|
| |||||||
Engineering/R&D Services – 0.3% |
| |||||||
TRC Cos., Inc. FRS | 918,063 | 853,798 | ||||||
|
| |||||||
Enterprise Software/Service – 1.8% |
| |||||||
Applied Systems, Inc. FRS | 322,790 | 314,478 | ||||||
Aston US Finco LLC FRS | 463,838 | 438,326 | ||||||
Banff Merger Sub, Inc. FRS | 973,543 | 918,607 | ||||||
Kronos, Inc. FRS | 2,156,132 | 2,150,742 | ||||||
Ultimate Software Group, Inc. FRS | 845,000 | 833,985 | ||||||
Ultimate Software Group, Inc. | 105,000 | 106,575 | ||||||
|
| |||||||
4,762,713 | ||||||||
|
| |||||||
Finance-Credit Card – 0.7% |
| |||||||
Blackhawk Network Holdings, Inc. FRS | 874,416 | 801,548 | ||||||
Pi US Mergerco, Inc. FRS | 1,043,016 | 990,865 | ||||||
|
| |||||||
1,792,413 | ||||||||
|
| |||||||
Finance-Investment Banker/Broker – 0.3% |
| |||||||
Deerfield Dakota Holding LLC FRS | 810,000 | 784,688 | ||||||
Deerfield Dakota Holding LLC FRS | 75,000 | 72,656 | ||||||
|
| |||||||
857,344 | ||||||||
|
| |||||||
Finance-Mortgage Loan/Banker – 0.4% |
| |||||||
Ellie Mae, Inc. FRS | 1,187,609 | 1,146,785 | ||||||
|
| |||||||
Food-Baking – 0.5% |
| |||||||
Hostess Brands LLC FRS | 332,335 | 319,595 | ||||||
Hostess Brands LLC FRS | 895,473 | 861,147 | ||||||
|
| |||||||
1,180,742 | ||||||||
|
| |||||||
Food-Catering – 0.4% |
| |||||||
TKC Holdings, Inc. FRS | 986,329 | 921,478 | ||||||
|
| |||||||
Food-Confectionery – 0.7% |
| |||||||
Shearer’s Foods LLC FRS | 1,241,467 | 1,216,638 | ||||||
Shearer’s Foods LLC FRS | 500,000 | 487,500 | ||||||
|
| |||||||
1,704,138 | ||||||||
|
|
Food-Dairy Products – 0.6% |
| |||||||
Chobani LLC FRS | 710,061 | 681,658 | ||||||
Milk Specialties Co. FRS | 961,879 | 896,351 | ||||||
|
| |||||||
1,578,009 | ||||||||
|
| |||||||
Food-Flour & Grain – 0.2% |
| |||||||
CHG PPC Parent LLC FRS | 588,595 | 559,166 | ||||||
|
| |||||||
Food-Meat Products – 0.3% |
| |||||||
JBS USA LUX SA FRS | 833,932 | 794,320 | ||||||
|
| |||||||
Food-Misc./Diversified – 1.1% |
| |||||||
Froneri US, Inc. FRS | 845,000 | 793,596 | ||||||
H-Food Holdings LLC FRS | 960,400 | 910,939 | ||||||
Sigma Bidco BV FRS | 1,208,815 | 1,156,434 | ||||||
|
| |||||||
2,860,969 | ||||||||
|
| |||||||
Gambling (Non-Hotel) – 0.7% |
| |||||||
PCI Gaming Authority FRS | 1,005,618 | 961,443 | ||||||
Scientific Games International, Inc. FRS | 179,180 | 157,499 | ||||||
Scientific Games International, Inc. FRS | 2,338 | 2,055 | ||||||
Scientific Games International, Inc. FRS | 732,445 | 643,819 | ||||||
|
| |||||||
1,764,816 | ||||||||
|
| |||||||
Hotels/Motels – 0.1% |
| |||||||
Playa Resorts Holding BV FRS | 350,000 | 296,188 | ||||||
|
| |||||||
Housewares – 0.4% |
| |||||||
Carlisle FoodService Products, Inc. FRS | 1,047,213 | 960,818 | ||||||
Libbey Glass, Inc. FRS | 854,943 | 162,439 | ||||||
|
| |||||||
1,123,257 | ||||||||
|
| |||||||
Human Resources – 0.3% |
| |||||||
CHG Healthcare Services, Inc. FRS | 872,639 | 838,825 | ||||||
|
| |||||||
Insurance-Property/Casualty – 0.8% |
| |||||||
Sedgwick Claims Management Services, Inc. FRS | 2,129,253 | 2,005,933 | ||||||
|
| |||||||
Internet Connectivity Services – 0.1% |
| |||||||
Northwest Fiber LLC FRS | 210,000 | 207,900 | ||||||
|
| |||||||
Internet Content-Information/News – 0.3% |
| |||||||
Pug LLC FRS | 928,025 | 807,382 | ||||||
|
| |||||||
Machinery-Electrical – 0.9% |
| |||||||
Brookfield WEC Holdings, Inc. FRS | 1,602,283 | 1,543,867 | ||||||
Vertiv Group Corp. FRS | 856,475 | 804,373 | ||||||
|
| |||||||
2,348,240 | ||||||||
|
| |||||||
Machinery-General Industrial – 0.9% |
| |||||||
Gardner Denver, Inc. FRS | 1,422,128 | 1,347,466 | ||||||
Zodiac Pool Solutions LLC FRS | 984,489 | 943,879 | ||||||
|
| |||||||
2,291,345 | ||||||||
|
| |||||||
Machinery-Pumps – 1.6% |
| |||||||
CIRCOR International, Inc. FRS | 1,180,000 | 1,097,400 | ||||||
NN, Inc. FRS | 491,550 | 439,937 |
NN, Inc. FRS | 697,595 | 624,347 | ||||||
Star US Bidco LLC FRS | 930,000 | 845,138 | ||||||
Titan Acquisition, Ltd. FRS | 1,108,847 | 1,009,051 | ||||||
|
| |||||||
4,015,873 | ||||||||
|
| |||||||
Medical Information Systems – 0.6% |
| |||||||
Emerald TopCo, Inc. FRS | 526,025 | 506,299 | ||||||
Navicure, Inc. FRS | 598,500 | 576,056 | ||||||
Zelis Payments Buyer, Inc. FRS | 582,075 | 568,979 | ||||||
|
| |||||||
1,651,334 | ||||||||
|
| |||||||
Medical Labs & Testing Services – 0.6% |
| |||||||
Envision Healthcare Corp. FRS | 1,125,349 | 742,730 | ||||||
eResearchTechnology, Inc. FRS | 840,000 | 823,200 | ||||||
|
| |||||||
1,565,930 | ||||||||
|
| |||||||
Medical Products – 0.7% |
| |||||||
CPI Holdco LLC FRS | 423,938 | 406,980 | ||||||
Greatbatch, Ltd. FRS | 384,536 | 377,567 | ||||||
Viant Medical Holdings, Inc. FRS | 1,223,478 | 1,067,484 | ||||||
|
| |||||||
1,852,031 | ||||||||
|
| |||||||
Medical-HMO – 0.5% |
| |||||||
One Call Corp. FRS | 1,622,004 | 1,381,947 | ||||||
|
| |||||||
Medical-Hospitals – 1.2% |
| |||||||
Accelerated Health Systems LLC FRS | 871,725 | 823,780 | ||||||
AHP Health Partners, Inc. FRS | 971,392 | 932,537 | ||||||
RegionalCare Hospital Partners Holdings, Inc. FRS | 841,376 | 784,057 | ||||||
Surgery Center Holdings, Inc. FRS | 269,308 | 235,981 | ||||||
Surgery Center Holdings, Inc. FRS | 199,500 | 199,749 | ||||||
|
| |||||||
2,976,104 | ||||||||
|
| |||||||
Medical-Outpatient/Home Medical – 0.4% |
| |||||||
Gentiva Health Services, Inc. FRS | 526,012 | 508,258 | ||||||
National Mentor Holdings, Inc. FRS | 488,306 | 468,774 | ||||||
National Mentor Holdings, Inc. FRS | 22,233 | 21,344 | ||||||
|
| |||||||
998,376 | ||||||||
|
| |||||||
Non-Hazardous Waste Disposal – 0.6% |
| |||||||
GFL Environmental, Inc. FRS | 136,226 | 132,026 | ||||||
GFL Environmental, Inc. FRS | 761,313 | 737,839 | ||||||
Tunnel Hill Partners LP FRS | 750,500 | 679,202 | ||||||
|
| |||||||
1,549,067 | ||||||||
|
| |||||||
Oil Companies-Exploration & Production – 0.2% |
| |||||||
California Resources Corp. FRS | 650,000 | 224,250 | ||||||
Fieldwood Energy LLC FRS | 1,085,382 | 204,413 | ||||||
Gavilan Resources LLC FRS | 470,000 | 1,175 | ||||||
|
| |||||||
429,838 | ||||||||
|
|
Oil Refining & Marketing – 0.4% |
| |||||||
CITGO Holding, Inc. FRS | 263,013 | 248,547 | ||||||
CITGO Petroleum Corp. FRS | 945,232 | 902,696 | ||||||
|
| |||||||
1,151,243 | ||||||||
|
| |||||||
Pipelines – 0.5% |
| |||||||
Medallion Midland Acquisition LLC FRS | 958,033 | 851,452 | ||||||
Traverse Midstream Partners LLC FRS | 645,661 | 534,822 | ||||||
|
| |||||||
1,386,274 | ||||||||
|
| |||||||
Pollution Control – 0.3% |
| |||||||
Filtration Group Corp. FRS | 934,064 | 895,533 | ||||||
|
| |||||||
Professional Sports – 0.4% |
| |||||||
UFC Holdings LLC FRS | 1,053,840 | 1,000,270 | ||||||
|
| |||||||
Publishing-Books – 0.3% |
| |||||||
McGraw-Hill Global Education Holdings LLC FRS | 814,961 | 689,457 | ||||||
|
| |||||||
Publishing-Periodicals – 0.2% |
| |||||||
Meredith Corp. FRS | 526,651 | 486,714 | ||||||
|
| |||||||
Retail-Arts & Crafts – 0.3% |
| |||||||
Michaels Stores, Inc. FRS | 728,747 | 664,981 | ||||||
|
| |||||||
Retail-Bedding – 0.1% |
| |||||||
Serta Simmons Bedding LLC FRS | 948,150 | 214,011 | ||||||
|
| |||||||
Retail-Major Department Stores – 0.1% |
| |||||||
Neiman Marcus Group, Ltd. LLC FRS | 1,189,009 | 301,711 | ||||||
|
| |||||||
Retail-Misc./Diversified – 0.1% |
| |||||||
Leslie’s Poolmart, Inc. FRS | 380,000 | 362,425 | ||||||
|
| |||||||
Retail-Sporting Goods – 0.3% |
| |||||||
Bass Pro Group LLC FRS | 786,920 | 755,443 | ||||||
|
| |||||||
Retail-Vitamins & Nutrition Supplements – 0.1% |
| |||||||
Isagenix International LLC FRS | 858,266 | 300,393 | ||||||
|
| |||||||
Rubber/Plastic Products – 0.9% |
| |||||||
Gates Global LLC FRS | 1,220,562 | 1,172,959 | ||||||
U.S. Farathane LLC FRS | 1,417,668 | 1,056,163 | ||||||
|
| |||||||
2,229,122 | ||||||||
|
| |||||||
Satellite Telecom – 0.5% |
| |||||||
Intelsat Jackson Holdings SA FRS | 840,000 | 835,800 | ||||||
Intelsat Jackson Holdings SA FRS | 541,000 | 540,614 | ||||||
|
| |||||||
1,376,414 | ||||||||
|
| |||||||
Soap & Cleaning Preparation – 0.3% |
| |||||||
KIK Custom Products, Inc. FRS | 809,167 | 768,709 | ||||||
|
| |||||||
Telecom Services – 0.2% |
| |||||||
West Corp. FRS | 673,707 | 573,662 | ||||||
|
| |||||||
Telecommunication Equipment – 0.3% |
| |||||||
Plantronics, Inc. FRS | 725,000 | 658,844 | ||||||
|
| |||||||
Telephone-Integrated – 0.8% |
| |||||||
CenturyLink, Inc. FRS | 820,875 | 771,367 | ||||||
Consolidated Communications, Inc. FRS | 555,315 | 526,438 | ||||||
Zayo Group Holdings, Inc. FRS | 777,388 | 734,874 | ||||||
|
| |||||||
2,032,679 | ||||||||
|
| |||||||
Theaters – 0.2% |
| |||||||
CDS U.S. Intermediate Holdings, Inc. FRS | 1,211,688 | 545,260 | ||||||
|
| |||||||
Total Loans |
| 109,051,050 | ||||||
|
|
COMMON STOCKS – 0.2% |
| |||||||
Advertising Sales – 0.0% |
| |||||||
Clear Channel Outdoor Holdings, Inc.† | 56,198 | 58,446 | ||||||
|
| |||||||
Radio – 0.0% |
| |||||||
iHeartMedia, Inc., Class A† | 2,196 | 18,337 | ||||||
iHeartMedia, Inc., Class B†(1) | 29 | 242 | ||||||
|
| |||||||
18,579 | ||||||||
|
| |||||||
Television – 0.2% |
| |||||||
ION Media Networks, Inc.†(1)(9) | 660 | 347,697 | ||||||
|
| |||||||
Total Common Stocks |
| 424,722 | ||||||
|
| |||||||
PREFERRED SECURITIES/CAPITAL SECURITIES – 0.5% |
| |||||||
Insurance-Life/Health – 0.5% |
| |||||||
Voya Financial, Inc. | $ | 1,325,000 | 1,334,938 | |||||
|
| |||||||
WARRANTS – 0.1% |
| |||||||
Radio – 0.1% |
| |||||||
iHeartmedia, Inc. | 21,674 | 165,806 | ||||||
|
| |||||||
ESCROWS AND LITIGATION TRUSTS – 0.0% |
| |||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. | 1,667,835 | 2,502 | ||||||
Paragon Offshore Finance Co. | 1,745 | 0 | ||||||
Hellas Telecommunications Luxembourg II SCA 6.05% due 01/15/2015†(2)(4)(9) | 1,025,000 | 0 | ||||||
Venture Holdings Co. LLC | 550,000 | 0 | ||||||
Vistra Energy Corp. CVR†(1) | 27,942 | 23,052 | ||||||
|
| |||||||
Total Escrows And Litigation Trusts |
| 25,554 | ||||||
|
| |||||||
Total Long-Term Investment Securities |
| 254,007,924 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT SECURITIES – 0.2% |
| |||||||
Registered Investment Companies – 0.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 571,543 | 571,543 | ||||||
|
| |||||||
TOTAL INVESTMENTS | 98.6 | % | 254,579,467 | |||||
Other assets less liabilities | 1.4 | 3,681,860 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 258,261,327 | ||||
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|
|
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At June 30, 2020, the aggregate value of these securities was $95,168,403 representing 36.8% of net assets. |
† | Non-income producing security |
(1) | Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 1. Certain restricted securities held by the Fund may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Fund has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of June 30, 2020, the Fund held the following restricted securities: |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | ||||||||||||||||||
U.S. Corporate Bonds & Notes | ||||||||||||||||||||||||
Sanchez Energy Corp. 7.25% due 02/15/2023 | 2/14/2018 | 350,000 | $ | 349,125 | ||||||||||||||||||||
08/15/2018 | 55,000 | 53,985 | ||||||||||||||||||||||
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|
| |||||||||||||||||||||
405,000 | 403,110 | $ | 4,050 | $ | 0.01 | 0.00 | % | |||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
iHeartMedia, Inc., Class B | 05/07/2019 | 29 | 522 | 242 | 8.35 | 0.00 | ||||||||||||||||||
ION Media Networks, Inc. | 12/21/2016 | 660 | 7 | 347,697 | 526.82 | 0.13 | ||||||||||||||||||
Vistra Energy Corp. CVR | 10/06/2016 | 27,942 | 0 | 23,052 | 0.82 | 0.01 | ||||||||||||||||||
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|
| |||||||||||||||||||||
$ | 375,041 | 0.14 | % | |||||||||||||||||||||
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|
(2) | Company has filed for bankruptcy protection. |
(3) | Security in default of interest. |
(4) | Security in default of interest and principal at maturity. |
(5) | Company has entered into a forbearance agreement under which consenting lenders extended the date by which specified payments otherwise would be due and payable to a subsequent date, subject to certain conditions. |
(6) | Senior loans in the Fund are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. |
(7) | The Fund invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (“LIBOR”) or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Fund is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan. |
(8) | All loans in the Fund were purchased through assignment agreements unless otherwise indicated. |
(9) | Securities classified as Level 3 (see Note 1). |
(10) | The rate shown is the 7-day yield as of June 30, 2020. |
(11) | PIK (“Payment-in-Kind”) security – Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in the form of additional securities at the coupon rate listed.. |
BTL – Bank Term Loan |
CVR – Contingent Value Rights |
TBD – Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to the settlement. |
FRS – Floating Rate Security |
The rates shown on FRS are the current interest rates at June 30, 2020 and unless noted otherwise, the dates shown are the original maturity dates.
Index Legend
1 ML – 1 Month USD LIBOR 1 YR – 1 Year USD LIBOR |
2 ML – 2 Month USD LIBOR |
3 ML – 3 Month USD LIBOR |
6 ML – 6 Month USD LIBOR USFRBPLR - US Federal Reserve Bank Prime Loan Rate |
The following is a summary of the inputs used to value the Fund’s net assets as of June 30, 2020 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
U.S. Corporate Bonds & Notes | $ | – | $ | 124,500,710 | $ | – | $ | 124,500,710 | ||||||||
Foreign Corporate Bonds & Notes | – | 18,505,144 | – | 18,505,144 | ||||||||||||
Loans: | ||||||||||||||||
Oil Companies-Exploration & Production | – | 204,413 | 225,425 | 429,838 | ||||||||||||
Other Industries | – | 108,621,212 | – | 108,621,212 | ||||||||||||
Common Stocks: | ||||||||||||||||
Advertising Sales | 58,446 | – | �� | – | 58,446 | |||||||||||
Radio | 18,337 | 242 | – | 18,579 | ||||||||||||
Television | – | – | 347,697 | 347,697 | ||||||||||||
Preferred Securities/Capital Securities | – | 1,334,938 | – | 1,334,938 | ||||||||||||
Warrants | – | 165,806 | – | 165,806 | ||||||||||||
Escrows and Litigation Trusts | – | 25,554 | 0 | 25,554 | ||||||||||||
Short-Term Investment Securities | 571,543 | – | – | 571,543 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 648,326 | $ | 253,358,019 | $ | 573,122 | $ | 254,579,467 | ||||||||
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* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Fund. There were no material Level 3 transfers during the reporting period.
See Notes to Portfolio of Investments
NOTES TO PORTFOLIO OF INVESTMENTS – June 30, 2020 – (unaudited)
Note 1. Security Valuation
In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America (“GAAP”), the Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Funds would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:
Level 1–Unadjusted quoted prices in active markets for identical securities
Level 2–Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board of Trustees (“the Board”), etc.)
Level 3–Significant unobservable inputs (includes inputs that reflect the Funds’ own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The summary of each Fund’s asset and liabilities classified in the fair value hierarchy as of June 30, 2020 is reported on a schedule at the end of each Fund’s Portfolio of Investments.
Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (“NOCP”). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.
As of the close of regular trading on the New York Stock Exchange (“NYSE”), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security’s price is available from more than one exchange, the Funds use the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Fund’s shares, and a Fund may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Fund determines that closing prices do not reflect the fair value of the securities, the Fund will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Funds may also fair value securities in other situations, for example, when a particular foreign market is closed but a Fund is open. For foreign equity securities and foreign equity futures contracts, the Funds use an outside pricing service to provide it with closing market prices and information used for adjusting those prices and when so adjusted, such securities and futures are generally categorized as Level 2.
Bonds, debentures and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.
Senior floating rate loans (“Loans”) are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.
Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Investments in registered investment companies are generally categorized as Level 1.
Forward foreign currency contracts (“forward contracts”) are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.
Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or over-the-counter market and are generally categorized as Level 1 or Level 2.
The Board is responsible for the share valuation process and has adopted policies and procedures (the “PRC Procedures”) for valuing the securities and other assets held by the Funds, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the
Trust’s fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.
Note 2. Derivative Instruments
Forward Foreign Currency Contracts: During the period, the AIG Strategic Bond Fund used forward contracts to attempt to protect securities and related receivables and payables against changes in future foreign exchange rates.
A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by a Fund as unrealized appreciation or depreciation. On the settlement date, a Fund records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Risks to the Funds of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Fund’s loss will generally consist of the net amount of contractual payments that the Fund has not yet received though the Fund’s maximum exposure due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on the Statements of Assets and Liabilities. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.
Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Fund’s Portfolio of Investments.
Master Agreements: Certain Funds that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements (“Master Agreements”) with certain counterparties that govern certain instruments. Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by the Fund and applicable counterparty. Collateral requirements are generally determined based on a Fund’s net position with each counterparty. Master Agreements may also include certain provisions that require a Fund to post additional collateral upon the occurrence of certain events, such as when a Fund’s net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Fund may also occur upon a decline in the Fund’s net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty’s long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty’s credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Fund’s counterparties to elect early termination could cause a Fund to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Fund’s financial statements. The Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Asset and Liabilities.
Note 3. Unfunded Loan Commitments
At June 30, 2020, AIG Strategic Bond Fund had the following unfunded loan commitments which could be extended at the option of the Borrower:
Borrower | Type | Maturity Date | Principal Amount | Value | ||||||||
Intelsat Jackson Holdings S.A. | DIP | 07/13/2022 | $ | 19,009 | $ | 19,262 |
ADDITIONAL INFORMATION
Additional information is available in the SunAmerica Income Funds’ Annual and Semiannual reports which may be obtained without charge from the EDGAR database on the Security and Exchange Commission’s website at http://www.sec.gov.