AIG U.S. Government Securities Fund
PORTFOLIO OF INVESTMENTS – June 30, 2021 – (unaudited)
Security Description | Principal Amount | Value (Note 1) | ||||||
U.S. GOVERNMENT AGENCIES — 17.3% |
| |||||||
Federal Home Loan Mtg. Corp. — 3.5% |
| |||||||
3.50% due 08/01/2030 | $ | 1,215,233 | $ | 1,313,645 | ||||
3.50% due 12/01/2044 | 1,907,178 | 2,066,734 | ||||||
4.00% due 04/01/2034 | 650,035 | 698,926 | ||||||
|
| |||||||
| 4,079,305 | ||||||||
|
| |||||||
Federal National Mtg. Assoc. — 1.2% |
| |||||||
2.50% due 11/01/2027 | 1,322,101 | 1,385,046 | ||||||
|
| |||||||
Government National Mtg. Assoc. — 12.6% |
| |||||||
3.50% due 03/15/2042 | 137,964 | 148,355 | ||||||
3.50% due 06/15/2042 | 659,743 | 706,976 | ||||||
3.50% due 07/15/2042 | 110,325 | 117,692 | ||||||
3.50% due 02/20/2045 | 324,877 | 349,005 | ||||||
4.00% due 03/15/2039 | 77,419 | 85,167 | ||||||
4.00% due 06/15/2039 | 210,326 | 231,299 | ||||||
4.00% due 12/15/2039 | 112,656 | 123,607 | ||||||
4.00% due 08/15/2040 | 61,483 | 67,314 | ||||||
4.00% due 11/15/2040 | 139,702 | 153,150 | ||||||
4.00% due 09/15/2041 | 419,103 | 463,002 | ||||||
4.00% due 10/15/2041 | 22,582 | 24,221 | ||||||
4.00% due 11/15/2041 | 40,192 | 43,463 | ||||||
4.00% due 12/15/2041 | 178,500 | 192,922 | ||||||
4.00% due 01/15/2042 | 710,724 | 780,724 | ||||||
4.00% due 02/15/2042 | 186,751 | 206,947 | ||||||
4.00% due 03/15/2042 | 67,684 | 75,125 | ||||||
4.50% due 09/15/2033 | 114,129 | 127,966 | ||||||
4.50% due 04/15/2039 | 28,024 | 31,465 | ||||||
4.50% due 05/15/2039 | 47,296 | 53,382 | ||||||
4.50% due 06/15/2039 | 522,067 | 589,076 | ||||||
4.50% due 07/15/2039 | 139,436 | 156,664 | ||||||
4.50% due 09/15/2039 | 73,236 | 82,715 | ||||||
4.50% due 11/15/2039 | 60,309 | 67,898 | ||||||
4.50% due 12/15/2039 | 129,511 | 146,058 | ||||||
4.50% due 02/15/2040 | 326,961 | 368,277 | ||||||
4.50% due 03/15/2040 | 107,671 | 120,574 | ||||||
4.50% due 04/15/2040 | 65,120 | 73,548 | ||||||
4.50% due 07/15/2040 | 129,016 | 144,953 | ||||||
4.50% due 03/15/2041 | 546,385 | 616,711 | ||||||
4.50% due 04/15/2041 | 107,587 | 119,502 | ||||||
4.50% due 06/15/2041 | 110,116 | 122,315 | ||||||
4.50% due 08/15/2041 | 125,863 | 139,665 | ||||||
4.50% due 04/20/2044 | 293,193 | 324,238 | ||||||
5.00% due 08/15/2033 | 148,024 | 169,563 | ||||||
5.00% due 10/15/2033 | 244,372 | 280,011 | ||||||
5.00% due 05/15/2035 | 67,967 | 76,677 | ||||||
5.00% due 08/15/2035 | 158,870 | 182,525 | ||||||
5.00% due 05/15/2036 | 45,634 | 52,789 | ||||||
5.00% due 09/15/2036 | 62,681 | 72,509 | ||||||
5.00% due 01/15/2037 | 75,304 | 85,655 | ||||||
5.00% due 03/15/2037 | 24,763 | 28,289 | ||||||
5.00% due 04/15/2037 | 38,011 | 42,860 | ||||||
5.00% due 04/15/2038 | 110,858 | 126,364 | ||||||
5.00% due 05/15/2038 | 85,258 | 98,389 | ||||||
5.00% due 08/15/2038 | 250,416 | 288,357 | ||||||
5.00% due 02/15/2039 | 39,494 | 45,578 | ||||||
5.00% due 03/15/2039 | 30,084 | 33,932 | ||||||
5.00% due 04/15/2039 | 48,754 | 55,907 | ||||||
5.00% due 07/20/2039 | 414,163 | 461,305 | ||||||
5.00% due 08/15/2039 | 159,119 | 184,264 | ||||||
5.00% due 09/20/2039 | 1,296,194 | 1,468,567 | ||||||
5.00% due 10/15/2039 | 255,421 | 294,314 | ||||||
5.00% due 11/15/2039 | 209,873 | 242,823 | ||||||
5.00% due 12/15/2039 | 184,394 | 212,803 | ||||||
5.00% due 04/15/2040 | 181,026 | 207,246 | ||||||
5.00% due 05/15/2040 | 304,667 | 350,489 | ||||||
5.00% due 07/20/2045 | 161,680 | 183,193 | ||||||
5.50% due 06/15/2033 | 232,413 | 268,789 | ||||||
5.50% due 07/15/2033 | 47,610 | 55,491 | ||||||
5.50% due 10/15/2033 | 76,845 | 89,567 | ||||||
5.50% due 01/15/2034 | 245,962 | 280,040 | ||||||
5.50% due 02/15/2034 | 169,382 | 191,506 | ||||||
5.50% due 04/20/2035 | 222,077 | 254,205 | ||||||
5.50% due 09/15/2035 | 215,849 | 252,850 | ||||||
5.50% due 10/15/2035 | 91,652 | 107,617 | ||||||
5.50% due 02/15/2038 | 53,547 | 62,650 | ||||||
5.50% due 04/15/2038 | 32,974 | 38,780 | ||||||
5.50% due 09/15/2039 | 20,393 | 23,703 | ||||||
5.50% due 03/15/2040 | 137 | 161 | ||||||
6.00% due 04/15/2028 | 61,214 | 70,266 | ||||||
6.00% due 08/15/2033 | 116,461 | 138,543 | ||||||
6.00% due 12/15/2033 | 25,957 | 29,104 | ||||||
6.00% due 09/20/2038 | 451,395 | 515,171 | ||||||
6.50% due 10/15/2031 | 13,264 | 14,793 | ||||||
|
| |||||||
| 14,691,621 | ||||||||
|
| |||||||
Total U.S. Government Agencies |
| 20,155,972 | ||||||
|
| |||||||
U.S. GOVERNMENT TREASURIES — 80.5% |
| |||||||
United States Treasury Bonds — 23.6% |
| |||||||
2.00% due 02/15/2050 | 1,400,000 | 1,376,211 | ||||||
2.25% due 08/15/2049 | 700,000 | 725,566 | ||||||
2.50% due 02/15/2045 | 1,000,000 | 1,082,695 | ||||||
2.75% due 08/15/2042 | 1,100,000 | 1,240,293 | ||||||
2.75% due 11/15/2042 | 2,000,000 | 2,253,594 | ||||||
3.00% due 05/15/2042 | 2,000,000 | 2,342,656 | ||||||
3.00% due 02/15/2049 | 1,000,000 | 1,197,812 | ||||||
3.13% due 11/15/2041 | 1,500,000 | 1,789,219 | ||||||
3.13% due 02/15/2042 | 1,100,000 | 1,312,953 | ||||||
3.38% due 11/15/2048 | 1,000,000 | 1,277,383 | ||||||
3.50% due 02/15/2039 | 2,000,000 | 2,503,047 | ||||||
4.25% due 11/15/2040 | 3,300,000 | 4,554,516 | ||||||
4.50% due 02/15/2036 | 1,500,000 | 2,060,684 | ||||||
4.75% due 02/15/2041 | 2,500,000 | 3,667,969 | ||||||
|
| |||||||
| 27,384,598 | ||||||||
|
| |||||||
United States Treasury Notes — 56.9% |
| |||||||
0.13% due 05/31/2022 | 1,000,000 | 1,000,234 | ||||||
0.13% due 06/30/2022 | 1,000,000 | 1,000,234 | ||||||
0.13% due 05/15/2023 | 1,000,000 | 998,086 | ||||||
0.13% due 07/15/2023 | 650,000 | 648,273 | ||||||
0.13% due 08/15/2023 | 650,000 | 647,994 | ||||||
0.25% due 04/15/2023 | 1,000,000 | 1,000,508 | ||||||
0.25% due 06/15/2023 | 600,000 | 600,070 | ||||||
0.25% due 05/31/2025 | 300,000 | 295,055 | ||||||
0.25% due 06/30/2025 | 1,500,000 | 1,473,867 | ||||||
0.50% due 03/15/2023 | 1,000,000 | 1,005,039 | ||||||
0.50% due 03/31/2025 | 800,000 | 796,219 | ||||||
0.50% due 04/30/2027 | 400,000 | 388,188 | ||||||
0.50% due 05/31/2027 | 1,000,000 | 968,672 | ||||||
0.63% due 05/15/2030 | 1,000,000 | 935,508 | ||||||
0.63% due 08/15/2030 | 1,000,000 | 932,383 | ||||||
0.75% due 03/31/2026 | 1,500,000 | 1,493,965 | ||||||
1.25% due 07/31/2023 | 1,000,000 | 1,020,430 | ||||||
1.25% due 08/31/2024 | 500,000 | 511,836 | ||||||
1.38% due 02/15/2023 | 750,000 | 764,385 | ||||||
1.50% due 08/15/2022 | 1,000,000 | 1,015,586 | ||||||
1.50% due 09/15/2022 | 500,000 | 508,242 | ||||||
1.50% due 01/15/2023 | 800,000 | 816,188 | ||||||
1.50% due 02/28/2023 | 2,000,000 | 2,043,203 | ||||||
1.50% due 03/31/2023 | 750,000 | 766,729 | ||||||
1.50% due 09/30/2024 | 800,000 | 825,469 | ||||||
1.50% due 08/15/2026 | 2,000,000 | 2,060,312 | ||||||
1.50% due 02/15/2030 | 400,000 | 404,250 | ||||||
1.63% due 08/15/2022 | 1,000,000 | 1,017,031 | ||||||
1.63% due 11/15/2022 | 1,000,000 | 1,020,195 | ||||||
1.63% due 05/15/2026 | 1,000,000 | 1,036,914 | ||||||
1.63% due 08/15/2029 | 500,000 | 511,777 | ||||||
1.75% due 05/15/2022 | 1,875,000 | 1,902,100 | ||||||
1.75% due 05/15/2023 | 1,000,000 | 1,028,281 | ||||||
1.75% due 11/15/2029 | 1,000,000 | 1,032,930 | ||||||
1.88% due 03/31/2022 | 1,000,000 | 1,013,359 | ||||||
2.00% due 11/30/2022 | 1,000,000 | 1,025,937 | ||||||
2.00% due 02/15/2023 | 1,000,000 | 1,029,180 | ||||||
2.00% due 05/31/2024 | 1,000,000 | 1,045,117 | ||||||
2.00% due 02/15/2025 | 5,000,000 | 5,250,977 | ||||||
2.00% due 08/15/2025 | 3,000,000 | 3,157,734 | ||||||
2.00% due 11/15/2026 | 2,700,000 | 2,850,609 | ||||||
2.13% due 12/31/2022 | 1,000,000 | 1,029,141 | ||||||
2.13% due 03/31/2024 | 2,000,000 | 2,093,828 | ||||||
2.25% due 11/15/2024 | 1,000,000 | 1,057,227 | ||||||
2.25% due 11/15/2025 | 1,000,000 | 1,064,219 | ||||||
2.25% due 08/15/2027 | 900,000 | 963,035 | ||||||
2.25% due 11/15/2027 | 2,000,000 | 2,140,625 | ||||||
2.38% due 08/15/2024 | 1,000,000 | 1,058,828 | ||||||
2.50% due 08/15/2023 | 1,000,000 | 1,046,953 | ||||||
2.50% due 05/15/2024 | 1,000,000 | 1,059,336 | ||||||
2.63% due 02/28/2023 | 3,000,000 | 3,121,172 | ||||||
2.75% due 11/15/2023 | 2,500,000 | 2,643,359 | ||||||
2.75% due 02/15/2024 | 1,000,000 | 1,061,953 | ||||||
|
| |||||||
| 66,182,742 | ||||||||
|
| |||||||
Total U.S. Government Treasuries |
| 93,567,340 | ||||||
|
| |||||||
Total Long-Term Investment Securities |
| 113,723,312 | ||||||
|
| |||||||
REPURCHASE AGREEMENTS — 1.4% |
| |||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00% dated 06/30/2021, to be repurchased 07/01/2021 in the amount of $1,571,000 and collateralized by $1,042,000 of United States Treasury Bonds, bearing interest at 1.75% due 01/15/2028 and having an approximate value of $1,602,441 | 1,571,000 | 1,571,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS | 99.2 | % | 115,294,312 | |||||
Other assets less liabilities | 0.8 | 880,004 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 116,174,316 | ||||
|
|
|
| |||||
The following is a summary of the inputs used to value the Fund’s net assets as of June 30, 2021 (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 | $ | – | $ | 20,155,972 | $ | – | $ | 20,155,972 | ||||||||
U.S. Government Treasuries | – | 93,567,340 | – | 93,567,340 | ||||||||||||
Repurchase Agreements | – | 1,571,000 | – | 1,571,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | – | $ | 115,294,312 | $ | – | $ | 115,294,312 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| * | 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, 2021 – (unaudited)
Security Description | Shares/ Principal Amount | Value (Note 1) | ||||||||
ASSET BACKED SECURITIES – 1.0% |
| |||||||||
Diversified Financial Services – 1.0% |
| |||||||||
AmeriCredit Automobile Receivables Trust | $ | 83,635 | $ | 84,195 | ||||||
BA Credit Card Trust | 200,000 | 203,473 | ||||||||
BANK | 239,000 | 253,369 | ||||||||
Benchmark Mtg. Trust | 300,000 | 335,732 | ||||||||
BX Commercial Mtg. Trust FRS | 400,000 | 400,000 | ||||||||
Capital One Prime Auto Receivables Trust | 89,403 | 90,436 | ||||||||
CarMax Auto Owner Trust | 49,742 | 50,519 | ||||||||
CarMax Auto Owner Trust | 103,816 | 105,223 | ||||||||
Chase Mtg. Finance Trust VRS | 178,801 | 184,465 | ||||||||
COMM Mtg. Trust VRS | 132,000 | 142,961 | ||||||||
GM Financial Consumer Automobile Receivables Trust | 36,481 | 36,901 | ||||||||
Honda Auto Receivables Owner Trust | 160,000 | 159,585 | ||||||||
Honda Auto Receivables Owner Trust | 100,000 | 101,469 | ||||||||
Honda Auto Receivables Owner Trust | 37,644 | 38,095 | ||||||||
MTRO Commercial Mtg. Trust FRS | 350,000 | 349,561 | ||||||||
One Bryant Park Trust | 390,000 | 404,224 | ||||||||
Shellpoint Co-Originator Trust VRS | 32,242 | 32,727 | ||||||||
Toyota Auto Loan Extended Note Trust | 100,000 | 105,460 | ||||||||
Toyota Auto Receivables Owner Trust | 125,000 | 128,076 | ||||||||
|
| |||||||||
Total Asset Backed Securities |
| 3,206,471 | ||||||||
|
| |||||||||
U.S. CONVERTIBLE BONDS & NOTES – 0.1% |
| |||||||||
Oil Field Machinery & Equipment – 0.1% |
| |||||||||
Hi-Crush, Inc. | 273,433 | 273,433 | ||||||||
|
| |||||||||
U.S. CORPORATE BONDS & NOTES – 39.4% |
| |||||||||
Aerospace/Defense – 0.0% |
| |||||||||
Teledyne Technologies, Inc. | 67,000 | 68,897 | ||||||||
|
| |||||||||
Aerospace/Defense-Equipment – 0.4% |
| |||||||||
Moog, Inc. | 670,000 | 693,450 | ||||||||
Spirit AeroSystems, Inc. | 607,000 | 647,972 | ||||||||
|
| |||||||||
| 1,341,422 | ||||||||||
|
| |||||||||
Airlines – 0.7% |
| |||||||||
American Airlines, Inc. | 1,265,000 | 1,587,575 | ||||||||
United Airlines Holdings, Inc. | 141,000 | 146,287 | ||||||||
United Airlines, Inc. | 331,000 | 342,585 | ||||||||
United Airlines, Inc. | 112,000 | 115,920 | ||||||||
|
| |||||||||
| 2,192,367 | ||||||||||
|
| |||||||||
Applications Software – 0.1% |
| |||||||||
SS&C Technologies, Inc. | 450,000 | 476,865 | ||||||||
|
| |||||||||
Auction Houses/Art Dealers – 0.3% |
| |||||||||
Bidfair Holdings, Inc. | 415,000 | 421,225 | ||||||||
Sotheby’s | 630,000 | 679,612 | ||||||||
|
| |||||||||
| 1,100,837 | ||||||||||
|
| |||||||||
Auto-Cars/Light Trucks – 1.1% |
| |||||||||
BMW US Capital LLC | 98,000 | 108,098 | ||||||||
Ford Motor Co. | 1,344,000 | 1,428,000 | ||||||||
Ford Motor Co. | 865,000 | 1,031,513 | ||||||||
Ford Motor Co. | 526,000 | 691,690 | ||||||||
Ford Motor Credit Co. LLC | 200,000 | 209,500 | ||||||||
General Motors Financial Co., Inc. | 43,000 | 43,342 | ||||||||
General Motors Financial Co., Inc. | 83,000 | 87,421 | ||||||||
Hyundai Capital America | 56,000 | 59,703 | ||||||||
Toyota Motor Credit Corp. | 103,000 | 105,038 | ||||||||
|
| |||||||||
| 3,764,305 | ||||||||||
|
| |||||||||
Auto-Heavy Duty Trucks – 0.4% |
| |||||||||
Allison Transmission, Inc. | 650,000 | 638,865 | ||||||||
JB Poindexter & Co., Inc. | 495,000 | 523,463 | ||||||||
PACCAR Financial Corp. | 78,000 | 78,637 | ||||||||
|
| |||||||||
| 1,240,965 | ||||||||||
|
| |||||||||
Banks-Commercial – 0.6% |
| |||||||||
BankUnited, Inc. | 101,000 | 114,934 | ||||||||
BankUnited, Inc. | 268,000 | 312,673 | ||||||||
Citizens Financial Group, Inc. | 213,000 | 213,652 | ||||||||
First Horizon Bank | 250,000 | 308,533 | ||||||||
Regions Financial Corp. | 200,000 | 305,047 | ||||||||
Santander Holdings USA, Inc. | 43,000 | 45,879 | ||||||||
Signature Bank | 143,000 | 151,839 | ||||||||
SVB Financial Group | 66,000 | 66,999 | ||||||||
Texas Capital Bancshares, Inc. | 95,000 | 98,700 | ||||||||
Valley National Bancorp | 121,000 | 122,765 | ||||||||
Zions Bancorp NA | 250,000 | 262,261 | ||||||||
|
| |||||||||
| 2,003,282 | ||||||||||
|
| |||||||||
Banks-Super Regional – 0.1% |
| |||||||||
Wells Fargo & Co. | 27,000 | 28,016 | ||||||||
Wells Fargo & Co. | 40,000 | 40,942 | ||||||||
Wells Fargo & Co. | 42,000 | 47,913 | ||||||||
Wells Fargo & Co. | 180,000 | 221,671 | ||||||||
Wells Fargo & Co. | 37,000 | 50,543 | ||||||||
|
| |||||||||
| 389,085 | ||||||||||
|
| |||||||||
Batteries/Battery Systems – 0.3% |
| |||||||||
Energizer Holdings, Inc. | 644,000 | 644,663 | ||||||||
EnerSys | 378,000 | 393,381 | ||||||||
|
| |||||||||
| 1,038,044 | ||||||||||
|
| |||||||||
Brewery – 0.1% |
| |||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 116,000 | 146,395 | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 184,000 | 225,045 | ||||||||
|
| |||||||||
| 371,440 | ||||||||||
|
| |||||||||
Broadcast Services/Program – 0.3% |
| |||||||||
Discovery Communications LLC | 80,000 | 101,246 | ||||||||
Univision Communications, Inc. | 950,000 | 1,029,809 | ||||||||
|
| |||||||||
| 1,131,055 | ||||||||||
|
| |||||||||
Building & Construction Products-Misc. – 0.2% |
| |||||||||
Owens Corning | 31,000 | 36,074 | ||||||||
Standard Industries, Inc. | 415,000 | 397,242 | ||||||||
Standard Industries, Inc. | 135,000 | 139,810 | ||||||||
|
| |||||||||
| 573,126 | ||||||||||
|
| |||||||||
Building & Construction-Misc. – 0.2% |
| |||||||||
VM Consolidated, Inc. | 523,000 | 532,153 | ||||||||
|
| |||||||||
Building Products-Air & Heating – 0.0% |
| |||||||||
Carrier Global Corp. | 116,000 | 121,784 | ||||||||
|
| |||||||||
Building Products-Cement – 0.0% |
| |||||||||
Eagle Materials, Inc. | 54,000 | 53,632 | ||||||||
|
| |||||||||
Building Products-Doors & Windows – 0.2% |
| |||||||||
Griffon Corp. | 730,000 | 775,625 | ||||||||
|
| |||||||||
Building Products-Wood – 0.0% |
| |||||||||
Masco Corp. | 62,000 | 61,547 | ||||||||
|
| |||||||||
Cable/Satellite TV – 1.1% |
| |||||||||
Block Communications, Inc. | 697,000 | 710,940 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 557,000 | 580,673 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 203,000 | 212,996 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 565,000 | 617,602 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 30,000 | 30,037 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 122,000 | 119,848 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 58,000 | 66,663 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 15,000 | 18,456 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 42,000 | 56,215 | ||||||||
Comcast Corp. | 82,000 | 90,199 | ||||||||
Comcast Corp. | 34,000 | 39,155 | ||||||||
Comcast Corp. | 64,000 | 79,385 | ||||||||
CSC Holdings LLC | 200,000 | 211,516 | ||||||||
CSC Holdings LLC | 689,000 | 723,484 | ||||||||
Time Warner Cable LLC | 90,000 | 122,687 | ||||||||
|
| |||||||||
| 3,679,856 | ||||||||||
|
| |||||||||
Casino Services – 0.2% |
| |||||||||
Caesars Entertainment, Inc. | 630,000 | 668,090 | ||||||||
|
| |||||||||
Cellular Telecom – 0.1% |
| |||||||||
T-Mobile USA, Inc. | 144,000 | 142,225 | ||||||||
T-Mobile USA, Inc. | 54,000 | 54,977 | ||||||||
|
| |||||||||
| 197,202 | ||||||||||
|
| |||||||||
Chemicals-Diversified – 0.0% |
| |||||||||
LYB International Finance III LLC | 19,000 | 20,107 | ||||||||
|
| |||||||||
Chemicals-Specialty – 0.2% |
| |||||||||
Ecolab, Inc. | 93,000 | 94,939 | ||||||||
Minerals Technologies, Inc. | 495,000 | 514,651 | ||||||||
|
| |||||||||
| 609,590 | ||||||||||
|
| |||||||||
Circuit Boards – 0.1% |
| |||||||||
TTM Technologies, Inc. | 447,000 | 449,709 | ||||||||
|
| |||||||||
Coal – 0.4% |
| |||||||||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. | 745,000 | 773,719 | ||||||||
SunCoke Energy, Inc. | 689,000 | 688,139 | ||||||||
|
| |||||||||
| 1,461,858 | ||||||||||
|
| |||||||||
Commercial Services – 0.1% |
| |||||||||
Nielsen Finance LLC/Nielsen Finance Co. | 161,000 | 170,129 | ||||||||
Nielsen Finance LLC/Nielsen Finance Co. | 255,000 | 277,548 | ||||||||
|
| |||||||||
| 447,677 | ||||||||||
|
| |||||||||
Commercial Services-Finance – 0.5% |
| |||||||||
Block Financial LLC | 89,000 | 89,441 | ||||||||
MPH Acquisition Holdings LLC | 1,053,000 | 1,058,170 | ||||||||
Paysafe Finance PLC/Paysafe Holdings US Corp. | 690,000 | 681,375 | ||||||||
|
| |||||||||
| 1,828,986 | ||||||||||
|
| |||||||||
Computer Services – 0.4% |
| |||||||||
Ahead DB Holdings LLC | 596,000 | 616,586 | ||||||||
Banff Merger Sub, Inc. | 490,000 | 515,725 | ||||||||
Leidos, Inc. | 55,000 | 59,768 | ||||||||
|
| |||||||||
| 1,192,079 | ||||||||||
|
| |||||||||
Computer Software – 0.1% |
| |||||||||
Rackspace Technology Global, Inc. | 480,000 | 464,269 | ||||||||
|
| |||||||||
Computers – 0.2% |
| |||||||||
Apple, Inc. | 69,000 | 72,249 | ||||||||
Dell International LLC/EMC Corp. | 105,000 | 160,700 | ||||||||
Hewlett Packard Enterprise Co. | 202,000 | 204,336 | ||||||||
Hewlett Packard Enterprise Co. | 81,000 | 108,878 | ||||||||
|
| |||||||||
| 546,163 | ||||||||||
|
| |||||||||
Computers-Integrated Systems – 0.3% |
| |||||||||
Diebold Nixdorf, Inc. | 420,000 | 429,975 | ||||||||
NCR Corp. | 674,000 | 695,062 | ||||||||
|
| |||||||||
| 1,125,037 | ||||||||||
|
| |||||||||
Containers-Metal/Glass – 0.2% |
| |||||||||
Silgan Holdings, Inc. | 501,000 | 509,141 | ||||||||
|
| |||||||||
Containers-Paper/Plastic – 0.0% |
| |||||||||
Amcor Flexibles North America, Inc. | 58,000 | 59,223 | ||||||||
|
| |||||||||
Cosmetics & Toiletries – 0.5% |
| |||||||||
Coty, Inc. | 1,027,000 | 1,040,402 | ||||||||
Edgewell Personal Care Co. | 600,000 | 606,000 | ||||||||
|
| |||||||||
| 1,646,402 | ||||||||||
|
| |||||||||
Dialysis Centers – 0.3% |
| |||||||||
DaVita, Inc. | 1,050,000 | 1,077,783 | ||||||||
|
| |||||||||
Direct Marketing – 0.2% |
| |||||||||
Terrier Media Buyer, Inc. | 675,000 | 730,087 | ||||||||
|
| |||||||||
Distribution/Wholesale – 0.4% |
| |||||||||
H&E Equipment Services, Inc. | 680,000 | 669,120 | ||||||||
Performance Food Group, Inc. | 588,000 | 618,870 | ||||||||
|
| |||||||||
| 1,287,990 | ||||||||||
|
| |||||||||
Diversified Banking Institutions – 0.9% |
| |||||||||
Bank of America Corp. | 159,000 | 166,391 | ||||||||
Bank of America Corp. FRS | 70,000 | 74,342 | ||||||||
Bank of America Corp. | 41,000 | 44,888 | ||||||||
Bank of America Corp. | 90,000 | 105,621 | ||||||||
Bank of America Corp. | 489,000 | 548,131 | ||||||||
Citigroup, Inc. | 66,000 | 66,183 | ||||||||
Citigroup, Inc. | 41,000 | 45,242 | ||||||||
Citigroup, Inc. | 119,000 | 135,945 | ||||||||
Citigroup, Inc. | 123,000 | 161,580 | ||||||||
Citigroup, Inc. | 157,000 | 208,781 | ||||||||
Goldman Sachs Group, Inc. | 86,000 | 85,814 | ||||||||
Goldman Sachs Group, Inc. | 59,000 | 61,787 | ||||||||
Goldman Sachs Group, Inc. | 175,000 | 190,370 | ||||||||
Goldman Sachs Group, Inc. | 178,000 | 259,208 | ||||||||
JPMorgan Chase & Co. | 117,000 | 117,053 | ||||||||
JPMorgan Chase & Co. | 260,000 | 268,516 | ||||||||
JPMorgan Chase & Co. | 57,000 | 57,462 | ||||||||
JPMorgan Chase & Co. | 127,000 | 121,157 | ||||||||
Morgan Stanley | 27,000 | 26,893 | ||||||||
Morgan Stanley | 70,000 | 74,275 | ||||||||
Morgan Stanley | 207,000 | 229,542 | ||||||||
Morgan Stanley | 17,000 | 19,607 | ||||||||
|
| |||||||||
| 3,068,788 | ||||||||||
|
| |||||||||
Diversified Manufacturing Operations – 0.0% |
| |||||||||
General Electric Co. | 30,000 | 36,306 | ||||||||
Illinois Tool Works, Inc. | 63,000 | 67,467 | ||||||||
|
| |||||||||
| 103,773 | ||||||||||
|
| |||||||||
E-Commerce/Services – 0.2% |
| |||||||||
Expedia Group, Inc. | 108,000 | 109,637 | ||||||||
GrubHub Holdings, Inc. | 680,000 | 714,850 | ||||||||
|
| |||||||||
| 824,487 | ||||||||||
|
| |||||||||
Electric Products-Misc. – 0.0% |
| |||||||||
Emerson Electric Co. | 79,000 | 77,768 | ||||||||
|
| |||||||||
Electric-Distribution – 0.1% |
| |||||||||
NextEra Energy Operating Partners LP | 425,000 | 448,375 | ||||||||
|
| |||||||||
Electric-Generation – 0.4% |
| |||||||||
Emera US Finance LP | 80,000 | 94,845 | ||||||||
Leeward Renewable Energy Operations LLC | 91,000 | 92,365 | ||||||||
Liberty Utilities Finance GP | 51,000 | 49,228 | ||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc. | 500,000 | 517,600 | ||||||||
Vistra Operations Co. LLC | 539,000 | 552,475 | ||||||||
|
| |||||||||
| 1,306,513 | ||||||||||
|
| |||||||||
Electric-Integrated – 0.9% |
| |||||||||
AES Corp. | 131,000 | 129,761 | ||||||||
Avangrid, Inc. | 189,000 | 203,048 | ||||||||
Consolidated Edison Co. of New York, Inc. | 125,000 | 130,302 | ||||||||
Consolidated Edison Co. of New York, Inc. | 17,000 | 19,316 | ||||||||
Dominion Resources, Inc. | 145,000 | 182,306 | ||||||||
DTE Electric Co. | 141,000 | 170,577 | ||||||||
Entergy Mississippi LLC | 33,000 | 36,115 | ||||||||
Entergy Texas, Inc. | 144,000 | 171,101 | ||||||||
Exelon Corp. | 57,000 | 72,049 | ||||||||
Exelon Generation Co. LLC | 3,000 | 3,236 | ||||||||
FirstEnergy Corp. | 122,000 | 166,885 | ||||||||
Georgia Power Co. | 151,000 | 152,320 | ||||||||
Interstate Power & Light Co. | 83,000 | 89,581 | ||||||||
Jersey Central Power & Light Co. | 35,000 | 35,482 | ||||||||
Pacific Gas & Electric Co. | 75,000 | 72,017 | ||||||||
Public Service Co. of Colorado | 145,000 | 141,472 | ||||||||
Public Service Co. of Colorado | 118,000 | 133,178 | ||||||||
Public Service Co. of Colorado | 81,000 | 98,826 | ||||||||
South Carolina Electric & Gas Co. | 184,000 | 264,808 | ||||||||
Southern California Edison Co. | 187,000 | 188,313 | ||||||||
Talen Energy Supply LLC | 529,000 | 484,035 | ||||||||
|
| |||||||||
| 2,944,728 | ||||||||||
|
| |||||||||
Electronic Components-Semiconductors – 0.0% |
| |||||||||
Broadcom, Inc. | 51,000 | 52,338 | ||||||||
Broadcom, Inc. | 82,000 | 92,051 | ||||||||
|
| |||||||||
| 144,389 | ||||||||||
|
| |||||||||
Electronic Measurement Instruments – 0.1% |
| |||||||||
Trimble, Inc. | 7,000 | 7,777 | ||||||||
Vontier Corp. | 172,000 | 172,654 | ||||||||
|
| |||||||||
| 180,431 | ||||||||||
|
| |||||||||
Electronic Parts Distribution – 0.2% |
| |||||||||
Imola Merger Corp. | 617,000 | 634,739 | ||||||||
|
| |||||||||
Enterprise Software/Service – 0.5% |
| |||||||||
Clarivate Science Holdings Corp. | 135,000 | 135,683 | ||||||||
Clarivate Science Holdings Corp. | 411,000 | 421,789 | ||||||||
Donnelley Financial Solutions, Inc. | 604,000 | 626,650 | ||||||||
Oracle Corp. | 209,000 | 214,708 | ||||||||
Oracle Corp. | 141,000 | 154,677 | ||||||||
Oracle Corp. | 73,000 | 80,965 | ||||||||
|
| |||||||||
| 1,634,472 | ||||||||||
|
| |||||||||
Finance-Auto Loans – 0.3% |
| |||||||||
Credit Acceptance Corp. | 80,000 | 82,900 | ||||||||
Credit Acceptance Corp. | 757,000 | 796,742 | ||||||||
|
| |||||||||
| 879,642 | ||||||||||
|
| |||||||||
Finance-Commercial – 0.1% |
| |||||||||
Burford Capital Global Finance LLC | 462,000 | 485,225 | ||||||||
|
| |||||||||
Finance-Consumer Loans – 0.6% |
| |||||||||
Enova International, Inc. | 935,000 | 958,375 | ||||||||
Enova International, Inc. | 72,000 | 74,048 | ||||||||
OneMain Finance Corp. | 77,000 | 77,578 | ||||||||
Springleaf Finance Corp. | 425,000 | 479,655 | ||||||||
Synchrony Financial | 329,000 | 368,049 | ||||||||
|
| |||||||||
| 1,957,705 | ||||||||||
|
| |||||||||
Finance-Credit Card – 0.3% |
| |||||||||
Alliance Data Systems Corp. | 998,000 | 1,025,445 | ||||||||
American Express Co. | 38,000 | 40,660 | ||||||||
American Express Co. | 52,000 | 58,949 | ||||||||
Visa, Inc. | 32,000 | 31,035 | ||||||||
|
| |||||||||
| 1,156,089 | ||||||||||
|
| |||||||||
Finance-Investment Banker/Broker – 0.4% |
| |||||||||
Aretec Escrow Issuer, Inc. | 700,000 | 719,250 | ||||||||
LPL Holdings, Inc. | 433,000 | 435,165 | ||||||||
LPL Holdings, Inc. | 105,000 | 108,806 | ||||||||
|
| |||||||||
| 1,263,221 | ||||||||||
|
| |||||||||
Finance-Mortgage Loan/Banker – 0.5% |
| |||||||||
Genworth Mtg. Holdings, Inc. | 954,000 | 1,051,499 | ||||||||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. | 624,000 | 616,200 | ||||||||
Quicken Loans, Inc. | 143,000 | 150,150 | ||||||||
|
| |||||||||
| 1,817,849 | ||||||||||
|
| |||||||||
Financial Guarantee Insurance – 0.1% |
| |||||||||
Assured Guaranty US Holdings, Inc. | 48,000 | 49,857 | ||||||||
NMI Holdings, Inc. | 354,000 | 405,670 | ||||||||
|
| |||||||||
| 455,527 | ||||||||||
|
| |||||||||
Food-Meat Products – 0.1% |
| |||||||||
Hormel Foods Corp. | 78,000 | 78,172 | ||||||||
Smithfield Foods, Inc. | 54,000 | 59,054 | ||||||||
Smithfield Foods, Inc. | 74,000 | 86,216 | ||||||||
|
| |||||||||
| 223,442 | ||||||||||
|
| |||||||||
Food-Misc./Diversified – 0.6% |
| |||||||||
Conagra Brands, Inc. | 77,000 | 102,670 | ||||||||
Dole Food Co., Inc. | 665,000 | 678,300 | ||||||||
Kraft Heinz Foods Co. | 382,000 | 463,451 | ||||||||
Nestle Holdings, Inc. | 152,000 | 167,561 | ||||||||
Post Holdings, Inc. | 695,000 | 693,471 | ||||||||
|
| |||||||||
| 2,105,453 | ||||||||||
|
| |||||||||
Food-Retail – 0.3% |
| |||||||||||
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 308,000 | 331,921 | ||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 532,000 | 556,312 | ||||||||||
|
| |||||||||||
| 888,233 | ||||||||||||
|
| |||||||||||
Food-Wholesale/Distribution – 0.3% |
| |||||||||||
C&S Group Enterprises LLC | 680,000 | 674,050 | ||||||||||
Sysco Corp. | 132,000 | 157,886 | ||||||||||
Sysco Corp. | 79,000 | 93,808 | ||||||||||
Sysco Corp. | 18,000 | 23,108 | ||||||||||
Sysco Corp. | 28,000 | 43,577 | ||||||||||
|
| |||||||||||
| 992,429 | ||||||||||||
|
| |||||||||||
Gas-Distribution – 0.0% |
| |||||||||||
National Fuel Gas Co. | 51,000 | 51,353 | ||||||||||
|
| |||||||||||
Hotels/Motels – 0.7% |
| |||||||||||
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. | 895,000 | 915,138 | ||||||||||
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. | 405,000 | 424,238 | ||||||||||
Marriott International, Inc. | 103,000 | 104,713 | ||||||||||
Marriott International, Inc. | 159,000 | 183,301 | ||||||||||
Wyndham Worldwide Corp. | 596,000 | 656,583 | ||||||||||
|
| |||||||||||
| 2,283,973 | ||||||||||||
|
| |||||||||||
Human Resources – 0.5% |
| |||||||||||
Korn Ferry International | 460,000 | 477,825 | ||||||||||
Team Health Holdings, Inc. | 636,000 | 604,874 | ||||||||||
TriNet Group, Inc. | 700,000 | 690,200 | ||||||||||
|
| |||||||||||
| 1,772,899 | ||||||||||||
|
| |||||||||||
Independent Power Producers – 0.8% |
| |||||||||||
Calpine Corp. | 435,000 | 414,272 | ||||||||||
Calpine Corp. | 266,000 | 264,670 | ||||||||||
Clearway Energy Operating LLC | 585,000 | 613,519 | ||||||||||
NRG Energy, Inc. | 228,000 | 223,160 | ||||||||||
NRG Energy, Inc. | 655,000 | 643,668 | ||||||||||
NRG Yield Operating LLC | 375,000 | 385,313 | ||||||||||
|
| |||||||||||
| 2,544,602 | ||||||||||||
|
| |||||||||||
Instruments-Controls – 0.0% |
| |||||||||||
Honeywell International, Inc. | 58,000 | 58,018 | ||||||||||
|
| |||||||||||
Insurance Brokers – 0.0% |
| |||||||||||
Arthur J. Gallagher & Co. | 39,000 | 40,878 | ||||||||||
Willis North America, Inc. | 26,000 | 29,230 | ||||||||||
|
| |||||||||||
| 70,108 | ||||||||||||
|
| |||||||||||
Insurance-Life/Health – 0.3% |
| |||||||||||
Americo Life, Inc. | 52,000 | 52,978 | ||||||||||
Athene Global Funding | 112,000 | 112,337 | ||||||||||
Athene Global Funding | 91,000 | 92,278 | ||||||||||
Brighthouse Financial Global Funding | 82,000 | 81,966 | ||||||||||
Equitable Financial Life Global Funding | 141,000 | 141,184 | ||||||||
Ohio National Financial Services, Inc. | 200,000 | 228,136 | ||||||||
Penn Mutual Life Insurance Co. | 35,000 | 36,247 | ||||||||
Principal Life Global Funding II | 79,000 | 78,838 | ||||||||
Sammons Financial Group, Inc. | 38,000 | 39,154 | ||||||||
Security Benefit Global Funding | 48,000 | 48,083 | ||||||||
Western & Southern Life Insurance Co. | 37,000 | 39,321 | ||||||||
|
| |||||||||
| 950,522 | ||||||||||
|
| |||||||||
Insurance-Property/Casualty – 0.0% |
| |||||||||
Old Republic International Corp. | 61,000 | 64,830 | ||||||||
|
| |||||||||
Internet Telephone – 0.1% |
| |||||||||
Cablevision Lightpath LLC | 430,000 | 426,238 | ||||||||
|
| |||||||||
Investment Management/Advisor Services – 0.4% |
| |||||||||
AG Issuer LLC | 668,000 | 703,858 | ||||||||
Ameriprise Financial, Inc. | 76,000 | 77,504 | ||||||||
NFP Corp. | 572,000 | 581,232 | ||||||||
|
| |||||||||
| 1,362,594 | ||||||||||
|
| |||||||||
Machinery-Construction & Mining – 0.1% |
| |||||||||
Caterpillar Financial Services Corp. | 123,000 | 123,683 | ||||||||
Caterpillar Financial Services Corp. | 49,000 | 48,436 | ||||||||
|
| |||||||||
| 172,119 | ||||||||||
|
| |||||||||
Machinery-Farming – 0.1% |
| |||||||||
CNH Industrial Capital LLC | 137,000 | 148,255 | ||||||||
John Deere Capital Corp. | 91,000 | 90,530 | ||||||||
|
| |||||||||
| 238,785 | ||||||||||
|
| |||||||||
Medical Labs & Testing Services – 0.1% |
| |||||||||
Catalent Pharma Solutions, Inc. | 93,000 | 90,059 | ||||||||
Catalent Pharma Solutions, Inc. | 216,000 | 225,712 | ||||||||
|
| |||||||||
| 315,771 | ||||||||||
|
| |||||||||
Medical-Drugs – 0.3% |
| |||||||||
AbbVie, Inc. | 72,000 | 83,479 | ||||||||
AbbVie, Inc. | 85,000 | 102,167 | ||||||||
Bristol-Myers Squibb Co. | 106,000 | 105,070 | ||||||||
Bristol-Myers Squibb Co. | 6,000 | 7,832 | ||||||||
GlaxoSmithKline Capital, Inc. | 57,000 | 60,215 | ||||||||
Organon Finance 1 LLC | 411,000 | 419,138 | ||||||||
Organon Finance 1 LLC | 218,000 | 224,584 | ||||||||
|
| |||||||||
| 1,002,485 | ||||||||||
|
| |||||||||
Medical-Generic Drugs – 0.2% |
| |||||||||
Par Pharmaceutical, Inc. | 456,000 | 466,260 | ||||||||
Upjohn, Inc. | 58,000 | 61,736 | ||||||||
|
| |||||||||
| 527,996 | ||||||||||
|
| |||||||||
Medical-Hospitals – 1.4% |
| |||||||||
Acadia Healthcare Co., Inc. | 144,000 | 150,181 | ||||||||
Acadia Healthcare Co., Inc. | 548,000 | 584,990 | ||||||||
CHS/Community Health Systems, Inc. | 426,000 | 453,690 | ||||||||
HCA, Inc. | 1,285,000 | 1,369,000 | ||||||||
HCA, Inc. | 66,000 | 66,023 | ||||||||
LifePoint Health, Inc. | 550,000 | 554,813 | ||||||||
Tenet Healthcare Corp. | 700,000 | 710,290 | ||||||||
Tenet Healthcare Corp. | 849,000 | 905,713 | ||||||||
|
| |||||||||
| 4,794,700 | ||||||||||
|
| |||||||||
Medical-Wholesale Drug Distribution – 0.0% |
| |||||||||
Cardinal Health, Inc. | 127,000 | 146,864 | ||||||||
|
| |||||||||
Metal-Copper – 0.2% |
| |||||||||
Freeport-McMoRan, Inc. | 380,000 | 396,625 | ||||||||
Freeport-McMoRan, Inc. | 251,000 | 274,845 | ||||||||
|
|
| ||||||||
| 671,470 | ||||||||||
|
| |||||||||
Multimedia – 0.1% |
| |||||||||
Viacom, Inc. | 249,000 | 287,580 | ||||||||
Walt Disney Co. | 110,000 | 108,657 | ||||||||
|
| |||||||||
| 396,237 | ||||||||||
|
| |||||||||
Non-Hazardous Waste Disposal – 0.2% |
| |||||||||
Covanta Holding Corp. | 591,000 | 620,550 | ||||||||
|
| |||||||||
Non-Profit Charity – 0.0% |
| |||||||||
Ford Foundation | 70,000 | 70,315 | ||||||||
|
| |||||||||
Oil Companies-Exploration & Production – 2.4% |
| |||||||||
Antero Resources Corp. | 235,000 | 239,848 | ||||||||
Apache Corp. | 450,000 | 479,025 | ||||||||
Apache Corp. | 403,000 | 411,552 | ||||||||
Apache Corp. | 27,000 | 29,241 | ||||||||
California Resources Corp. | 850,000 | 894,472 | ||||||||
Continental Resources, Inc. | 371,000 | 444,384 | ||||||||
Diamondback Energy, Inc. | 60,000 | 64,295 | ||||||||
Diamondback Energy, Inc. | 67,000 | 75,605 | ||||||||
Endeavor Energy Resources LP/EER Finance, Inc. | 325,000 | 346,014 | ||||||||
Hess Corp. | 157,000 | 201,482 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. | 293,000 | 305,362 | ||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. | 600,000 | 635,460 | ||||||||
Independence Energy Finance LLC | 550,000 | 577,593 | ||||||||
Indigo Natural Resources LLC | 624,000 | 652,080 | ||||||||
Marathon Oil Corp. | 102,000 | 135,869 | ||||||||
Marathon Oil Corp. | 57,000 | 74,970 | ||||||||
Oasis Petroleum, Inc. | 548,000 | 571,416 | ||||||||
Occidental Petroleum Corp. | 382,000 | 424,975 | ||||||||
Occidental Petroleum Corp. | 324,000 | 380,295 | ||||||||
Occidental Petroleum Corp. | 589,000 | 687,657 | ||||||||
Occidental Petroleum Corp. | 32,000 | 40,320 | ||||||||
Range Resources Corp. | 378,000 | 426,195 | ||||||||
|
| |||||||||
| 8,098,110 | ||||||||||
|
| |||||||||
Oil Companies-Integrated – 0.4% |
| |||||||||
BP Capital Markets America, Inc. | 123,000 | 114,268 | ||||||||
BP Capital Markets America, Inc. | 89,000 | 89,558 | ||||||||
BP Capital Markets America, Inc. | 212,000 | 234,044 | ||||||
Chevron Corp. | 148,000 | 151,709 | ||||||
Chevron USA, Inc. | 54,000 | 52,590 | ||||||
Chevron USA, Inc. | 46,000 | 56,674 | ||||||
Chevron USA, Inc. | 83,000 | 112,860 | ||||||
Murphy Oil Corp. | 586,000 | 617,849 | ||||||
|
| |||||||
| 1,429,552 | ||||||||
|
| |||||||
Oil Refining & Marketing – 0.2% |
| |||||||
PBF Holding Co. LLC/PBF Finance Corp. | 728,000 | 498,680 | ||||||
Valero Energy Corp. | 57,000 | 57,934 | ||||||
|
| |||||||
| 556,614 | ||||||||
|
| |||||||
Oil-Field Services – 0.6% |
| |||||||
Archrock Partners LP/Archrock Partners Finance Corp. | 616,000 | 653,730 | ||||||
ChampionX Corp | 397,000 | 416,354 | ||||||
Halliburton Co. | 43,000 | 50,084 | ||||||
Halliburton Co. | 77,000 | 90,758 | ||||||
Schlumberger Holdings Corp. | 44,000 | 49,171 | ||||||
USA Compression Partners LP/USA Compression Finance Corp. | 592,000 | 620,120 | ||||||
|
| |||||||
| 1,880,217 | ||||||||
|
| |||||||
Paper & Related Products – 0.4% |
| |||||||
Clearwater Paper Corp. | 675,000 | 672,469 | ||||||
Domtar Corp. | 305,000 | 342,600 | ||||||
Georgia-Pacific LLC | 292,000 | 287,287 | ||||||
|
| |||||||
| 1,302,356 | ||||||||
|
| |||||||
Petrochemicals – 0.0% |
| |||||||
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP | 50,000 | 52,495 | ||||||
|
| |||||||
Pharmacy Services – 0.1% |
| |||||||
CVS Health Corp. | 32,000 | 31,066 | ||||||
CVS Health Corp. | 130,000 | 159,689 | ||||||
|
| |||||||
| 190,755 | ||||||||
|
| |||||||
Pipelines – 3.6% |
| |||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. | 950,000 | 999,656 | ||||||
Buckeye Partners LP | 248,000 | 256,990 | ||||||
Buckeye Partners LP | 563,000 | 577,250 | ||||||
Cheniere Energy Partners LP | 415,000 | 446,125 | ||||||
Cheniere Energy, Inc. | 457,000 | 482,135 | ||||||
Cheniere Energy, Inc. | 457,000 | 482,135 | ||||||
DCP Midstream Operating LP | 165,000 | 181,500 | ||||||
DCP Midstream Operating LP | 294,000 | 334,425 | ||||||
DCP Midstream Operating LP | 130,000 | 156,325 | ||||||
DT Midstream, Inc. | 188,000 | 190,882 | ||||||
DT Midstream, Inc. | 401,000 | 408,519 | ||||||
Enable Midstream Partners LP | 54,000 | 61,876 | ||||||
Energy Transfer LP | 101,000 | 128,782 | ||||||
Energy Transfer Operating LP | 114,000 | 131,816 | ||||||
EnLink Midstream Partners LP | 13,000 | 11,180 | ||||||
Enterprise Products Operating LLC | 81,000 | 86,935 | ||||||
Enterprise Products Operating LLC | 59,000 | 67,599 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 848,000 | 850,120 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 250,000 | 252,188 | ||||||
Genesis Energy LP/Genesis Energy Finance Corp. | 395,000 | 414,997 | ||||||
Gray Oak Pipeline LLC | 117,000 | 119,313 | ||||||
Gray Oak Pipeline LLC | 69,000 | 72,538 | ||||||
Harvest Midstream I LP | 823,000 | 893,778 | ||||||
Holly Energy Partners LP/Holly Energy Finance Corp. | 815,000 | 833,337 | ||||||
ITT Holdings LLC | 845,000 | 863,260 | ||||||
Kinder Morgan, Inc. | 30,000 | 36,440 | ||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. | 800,000 | 840,000 | ||||||
NuStar Logistics LP | 252,000 | 274,050 | ||||||
NuStar Logistics LP | 379,000 | 418,757 | ||||||
ONEOK Partners LP | 149,000 | 199,532 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 36,000 | 36,396 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 90,000 | 117,933 | ||||||
Sunoco Logistics Partners Operations LP | 12,000 | 13,890 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 499,000 | 540,168 | ||||||
Valero Energy Partners LP | 54,000 | 61,211 | ||||||
Williams Cos., Inc. | 161,000 | 211,227 | ||||||
|
| |||||||
| 12,053,265 | ||||||||
|
| |||||||
Poultry – 0.3% |
| |||||||
Pilgrim’s Pride Corp. | 406,000 | 432,390 | ||||||
Simmons Foods, Inc. | 457,000 | 460,971 | ||||||
|
| |||||||
| 893,361 | ||||||||
|
| |||||||
Printing-Commercial – 0.2% |
| |||||||
Deluxe Corp. | 690,000 | 748,650 | ||||||
|
| |||||||
Protection/Safety – 0.2% |
| |||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 480,000 | 465,600 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. | 230,000 | 254,074 | ||||||
|
| |||||||
| 719,674 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 1.8% |
| |||||||
Boston Properties LP | 73,000 | 73,544 | ||||||
Columbia Property Trust Operating Partnership LP | 82,000 | 88,320 | ||||||
CTR Partnership LP/CareTrust Capital Corp. | 333,000 | 340,033 | ||||||
Federal Realty Investment Trust | 101,000 | 100,308 | ||||||
HAT Holdings I LLC/HAT Holdings II LLC | 510,000 | 513,825 | ||||||
HAT Holdings I LLC/HAT Holdings II LLC | 296,000 | 312,017 | ||||||
Hospitality Properties Trust | 489,000 | 465,773 | ||||||
Host Hotels & Resorts LP | 159,000 | 167,023 | ||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. | 873,000 | 869,429 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. | 285,000 | 287,847 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. | 576,000 | 609,408 | ||||||
National Health Investors, Inc. | 67,000 | 64,876 | ||||||
Omega Healthcare Investors, Inc. | 134,000 | 133,891 | ||||||
Omega Healthcare Investors, Inc. | 65,000 | 66,845 | ||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer | 112,000 | 115,858 | ||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer | 340,000 | 362,059 | ||||||
Piedmont Operating Partnership LP | 28,000 | 28,450 | ||||||
Service Properties Trust | 125,000 | 123,281 | ||||||
Service Properties Trust | 80,000 | 78,900 | ||||||
Service Properties Trust | 127,000 | 127,953 | ||||||
Service Properties Trust | 59,000 | 62,998 | ||||||
Starwood Property Trust, Inc. | 790,000 | 821,600 | ||||||
Starwood Property Trust, Inc. | 129,000 | 135,128 | ||||||
Vornado Realty LP | 37,000 | 37,514 | ||||||
|
| |||||||
| 5,986,880 | ||||||||
|
| |||||||
Real Estate Management/Services – 0.2% |
| |||||||
Cushman & Wakefield US Borrower LLC | 511,000 | 551,093 | ||||||
|
| |||||||
Real Estate Operations & Development – 0.1% |
| |||||||
Kennedy-Wilson, Inc. | 483,000 | 497,490 | ||||||
|
| |||||||
Recycling – 0.2% |
| |||||||
Harsco Corp. | 638,000 | 670,697 | ||||||
|
| |||||||
Rental Auto/Equipment – 0.2% |
| |||||||
Ahern Rentals, Inc. | 725,000 | 654,313 | ||||||
|
| |||||||
Research & Development – 0.2% |
| |||||||
Jaguar Holding Co. II/PPD Development LP | 92,000 | 96,600 | ||||||
Jaguar Holding Co. II/PPD Development LP | 375,000 | 406,470 | ||||||
|
| |||||||
| 503,070 | ||||||||
|
| |||||||
Resort/Theme Parks – 0.1% |
| |||||||
SeaWorld Parks & Entertainment, Inc. | 415,000 | 449,611 | ||||||
|
| |||||||
Retail-Automobile – 0.2% |
| |||||||
Carvana Co. | 526,000 | 543,753 | ||||||
Ken Garff Automotive LLC | 53,000 | 54,060 | ||||||
|
| |||||||
| 597,813 | ||||||||
|
| |||||||
Retail-Building Products – 0.2% |
| |||||||
Park River Holdings, Inc. | 688,000 | 696,600 | ||||||
|
| |||||||
Retail-Major Department Stores – 0.0% |
| |||||||
Nordstrom, Inc. | 33,000 | 33,104 | ||||||
Nordstrom, Inc. | 63,000 | 63,054 | ||||||
|
| |||||||
| 96,158 | ||||||||
|
| |||||||
Retail-Pawn Shops – 0.2% |
| |||||||
FirstCash, Inc. | 627,000 | 655,434 | ||||||
|
| |||||||
Retail-Petroleum Products – 0.2% |
| |||||||
Murphy Oil USA, Inc. | 55,000 | 54,381 | ||||||
Murphy Oil USA, Inc. | 569,000 | 597,450 | ||||||
|
| |||||||
| 651,831 | ||||||||
|
| |||||||
Retail-Regional Department Stores – 0.1% |
| |||||||
Kohl’s Corp. | 49,000 | 50,712 | ||||||
Kohl’s Corp. | 141,000 | 168,769 | ||||||
|
| |||||||
| 219,481 | ||||||||
|
| |||||||
Retail-Restaurants – 0.8% |
| |||||||
Brinker International, Inc. | 344,000 | 362,060 | ||||||
Carrols Restaurant Group, Inc. | 930,000 | 920,700 | ||||||
CEC Entertainment LLC | 695,000 | 713,244 | ||||||
Dave & Buster’s, Inc. | 655,000 | 704,944 | ||||||
McDonald’s Corp. | 46,000 | 51,014 | ||||||
McDonald’s Corp. | 44,000 | 53,058 | ||||||
|
| |||||||
| 2,805,020 | ||||||||
|
| |||||||
Satellite Telecom – 0.3% |
| |||||||
Hughes Satellite Systems Corp. | 805,000 | 902,606 | ||||||
|
| |||||||
Savings & Loans/Thrifts – 0.0% |
| |||||||
New York Community Bancorp, Inc. | 101,000 | 109,710 | ||||||
|
| |||||||
Security Services – 0.3% |
| |||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. | 200,000 | 202,758 | ||||||
Brink’s Co. | 673,000 | 701,602 | ||||||
|
| |||||||
| 904,360 | ||||||||
|
| |||||||
Steel-Producers – 0.6% |
| |||||||
Cleveland-Cliffs, Inc. | 344,000 | 361,981 | ||||||
Cleveland-Cliffs, Inc. | 378,000 | 407,767 | ||||||
Cliffs Natural Resources, Inc. | 130,000 | 137,150 | ||||||
Commercial Metals Co. | 668,000 | 672,175 | ||||||
Periama Holdings LLC | 300,000 | 324,870 | ||||||
|
| |||||||
| 1,903,943 | ||||||||
|
| |||||||
Telecom Equipment-Fiber Optics – 0.1% |
| |||||||
Corning, Inc. | 132,000 | 184,986 | ||||||
|
| |||||||
Telecom Services – 0.2% |
| |||||||
Frontier Communications Corp. | 645,000 | 666,820 | ||||||
|
| |||||||
Telephone-Integrated – 1.0% |
| |||||||
AT&T, Inc. | 36,000 | 36,189 | ||||||
AT&T, Inc. | 420,000 | 493,693 | ||||||
AT&T, Inc. | 34,000 | 41,322 | ||||||
AT&T, Inc. | 38,000 | 46,256 | ||||||
AT&T, Inc. | 43,000 | 53,004 | ||||||
CenturyLink, Inc. | 484,000 | 502,755 | ||||||
Lumen Technologies, Inc. | 875,000 | 889,306 | ||||||
Verizon Communications, Inc. | 80,000 | 76,477 | ||||||
Verizon Communications, Inc. | 143,000 | 134,551 | ||||||
Verizon Communications, Inc. | 48,000 | 51,323 | ||||||
Verizon Communications, Inc. | 113,000 | 121,142 | ||||||
Verizon Communications, Inc. | 46,000 | 54,945 | ||||||
Verizon Communications, Inc. | 90,000 | 107,355 | ||||||
Zayo Group Holdings, Inc. | 646,000 | 659,728 | ||||||
|
| |||||||
| 3,268,046 | ||||||||
|
| |||||||
Television – 0.4% |
| |||||||
Belo Corp. | 373,000 | 432,680 | ||||||
Belo Corp. | 416,000 | 486,720 | ||||||
Gray Television, Inc. | 480,000 | 478,334 | ||||||
|
| |||||||
| 1,397,734 | ||||||||
|
| |||||||
Theaters – 0.2% |
| |||||||
Live Nation Entertainment, Inc. | 120,000 | 120,530 | ||||||
Live Nation Entertainment, Inc. | 522,000 | 541,575 | ||||||
|
| |||||||
| 662,105 | ||||||||
|
| |||||||
Transport-Air Freight – 0.3% |
| |||||||
Cargo Aircraft Management, Inc. | 1,073,000 | 1,094,278 | ||||||
|
| |||||||
Transport-Equipment & Leasing – 0.0% |
| |||||||
GATX Corp. | 100,000 | 108,783 | ||||||
|
| |||||||
Transport-Rail – 0.0% |
| |||||||
Kansas City Southern | 34,000 | 42,377 | ||||||
|
| |||||||
Transport-Services – 0.1% |
| |||||||
FedEx Corp. Pass Through Trust | 100,246 | 99,566 | ||||||
United Parcel Service, Inc. | 60,000 | 66,444 | ||||||
|
| |||||||
| 166,010 | ||||||||
|
| |||||||
Trucking/Leasing – 0.1% |
| |||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 132,000 | 142,893 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 56,000 | 62,979 | ||||||
|
| |||||||
| 205,872 | ||||||||
|
| |||||||
Vitamins & Nutrition Products – 0.2% |
| |||||||
HLF Financing Sarl LLC/Herbalife International, Inc. | 825,000 | 829,125 | ||||||
|
| |||||||
Water – 0.0% |
| |||||||
Essential Utilities, Inc. | 53,000 | 54,876 | ||||||
|
| |||||||
| Total U.S. Corporate Bonds & Notes (cost $125,820,762) |
| 132,835,558 | ||||||
|
| |||||||
FOREIGN CORPORATE BONDS & NOTES – 14.4% |
| |||||||
Agricultural Chemicals – 0.3% |
| |||||||
Consolidated Energy Finance SA | 520,000 | 529,709 | ||||||
OCI NV | 529,000 | 545,240 | ||||||
|
| |||||||
| 1,074,949 | ||||||||
|
| |||||||
Airlines – 0.2% |
| |||||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. | 193,499 | 204,867 | ||||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. | 155,000 | 167,336 | ||||||
Hawaiian Brand Intellectual Property, Ltd./HawaiianMiles Loyalty, Ltd. | 453,436 | 487,444 | ||||||
|
| |||||||
| 859,647 | ||||||||
|
| |||||||
Applications Software – 0.1% |
| |||||||
Elastic NV | 190,000 | 190,000 | ||||||
|
| |||||||
Auto-Cars/Light Trucks – 0.0% |
| |||||||
Kia Corp. | 66,000 | 66,342 | ||||||
|
| |||||||
Banks-Commercial – 0.8% |
| |||||||
Banco de Credito del Peru | 300,000 | 298,395 | ||||||
Banco de Credito e Inversiones SA | 490,000 | 525,530 | ||||||
Canadian Imperial Bank of Commerce | 73,000 | 72,790 | ||||||
Canadian Imperial Bank of Commerce | 54,000 | 53,666 | ||||||
Canadian Imperial Bank of Commerce | 142,000 | 148,594 | ||||||
Cooperatieve Rabobank UA | 261,000 | 257,688 | ||||||
Grupo Aval, Ltd. | 450,000 | 444,150 | ||||||
ING Groep NV | 249,000 | 249,703 | ||||||
Intesa Sanpaolo SpA | 215,000 | 222,823 | ||||||
National Bank of Canada | 250,000 | 249,086 | ||||||
Sumitomo Mitsui Trust Bank, Ltd. | 235,000 | 235,376 | ||||||
|
| |||||||
| 2,757,801 | ||||||||
|
| |||||||
Building-Residential/Commercial – 0.2% |
| |||||||
Mattamy Group Corp. | 242,000 | 247,203 | ||||||
Mattamy Group Corp. | 339,000 | 354,255 | ||||||
|
| |||||||
| 601,458 | ||||||||
|
| |||||||
Cable/Satellite TV – 0.6% |
| |||||||
Altice Financing SA | 1,265,000 | 1,239,915 | ||||||
UPC Broadband Finco BV | 667,000 | 668,534 | ||||||
|
| |||||||
| 1,908,449 | ||||||||
|
| |||||||
Casino Hotels – 0.3% |
| |||||||
Melco Resorts Finance, Ltd. | 422,000 | 445,210 | ||||||
Wynn Macau, Ltd. | 665,000 | 684,950 | ||||||
|
| |||||||
| 1,130,160 | ||||||||
|
| |||||||
Cellular Telecom – 0.4% |
| |||||||
Altice France SA | 485,000 | 487,377 | ||||||
Colombia Telecomunicaciones SA ESP | 210,000 | 217,875 | ||||||
Numericable-SFR SA | 352,000 | 366,055 | ||||||
Vodafone Group PLC | 45,000 | 56,796 | ||||||
Vodafone Group PLC | 65,000 | 85,708 | ||||||
|
| |||||||
| 1,213,811 | ||||||||
|
| |||||||
Chemicals-Diversified – 0.3% |
| |||||||
Braskem Netherlands Finance BV | 202,000 | 210,064 | ||||||
Braskem Netherlands Finance BV | 400,000 | 415,968 | ||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. | 429,000 | 438,652 | ||||||
|
| |||||||
| 1,064,684 | ||||||||
|
| |||||||
Chemicals-Specialty – 0.2% |
| |||||||
Methanex Corp. | 600,000 | 648,000 | ||||||
|
| |||||||
Containers-Metal/Glass – 0.2% |
| |||||||
Trivium Packaging Finance BV | 650,000 | 706,680 | ||||||
|
| |||||||
Containers-Paper/Plastic – 0.2% |
| |||||||
Cascades, Inc./Cascades USA, Inc. | 559,000 | 587,649 | ||||||
|
| |||||||
Cruise Lines – 1.2% |
| |||||||
Carnival Corp. | 825,000 | 864,188 | ||||||
Carnival Corp. | 133,000 | 144,471 | ||||||
NCL Corp., Ltd. | 920,000 | 887,897 | ||||||
NCL Corp., Ltd. | 236,000 | 247,210 | ||||||
Royal Caribbean Cruises, Ltd. | 723,000 | 722,096 | ||||||
Royal Caribbean Cruises, Ltd. | 151,000 | 158,142 | ||||||
Viking Ocean Cruises Ship VII, Ltd. | 113,000 | 114,130 | ||||||
VOC Escrow, Ltd. | 899,000 | 908,889 | ||||||
|
| |||||||
| 4,047,023 | ||||||||
|
| |||||||
Diversified Banking Institutions – 1.0% |
| |||||||
Banco Santander SA | 200,000 | 210,470 | ||||||
Barclays PLC | 200,000 | 208,368 | ||||||
BNP Paribas SA | 200,000 | 199,793 | ||||||
Deutsche Bank AG | 150,000 | 154,034 | ||||||
HSBC Holdings PLC | 200,000 | 200,476 | ||||||
HSBC Holdings PLC | 200,000 | 222,659 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 207,000 | 215,537 | ||||||
Mizuho Financial Group, Inc. | 474,000 | 496,291 | ||||||
Natwest Group PLC | 400,000 | 400,640 | ||||||
Royal Bank of Scotland Group PLC | 222,000 | 228,713 | ||||||
UniCredit SpA | 200,000 | 200,670 | ||||||
UniCredit SpA | 498,000 | 543,512 | ||||||
|
| |||||||
| 3,281,163 | ||||||||
|
| |||||||
Diversified Financial Services – 0.3% |
| |||||||
Fairstone Financial, Inc. | 582,000 | 606,735 | ||||||
GE Capital International Funding Co. ULC | 473,000 | 567,725 | ||||||
|
| |||||||
| 1,174,460 | ||||||||
|
| |||||||
Diversified Minerals – 0.3% |
| |||||||
FMG Resources August 2006 Pty., Ltd. | 636,000 | 691,650 | ||||||
Teck Resources, Ltd. | 146,000 | 190,941 | ||||||
|
| |||||||
| 882,591 | ||||||||
|
| |||||||
Electric-Distribution – 0.1% |
| |||||||
Infraestructura Energetica Nova SAB de CV | 250,000 | 253,125 | ||||||
OmGrid Funding, Ltd. | 200,000 | 206,400 | ||||||
|
| |||||||
| 459,525 | ||||||||
|
| |||||||
Electric-Generation – 0.4% |
| |||||||
LLPL Capital Pte, Ltd. | 364,800 | 424,901 | ||||||
Minejesa Capital BV | 300,000 | 324,750 | ||||||
Mong Duong Finance Holdings BV | 550,000 | 551,375 | ||||||
|
| |||||||
| 1,301,026 | ||||||||
|
| |||||||
Electric-Integrated – 0.2% |
| |||||||
Empresas Publicas de Medellin ESP | 400,000 | 398,518 | ||||||
Empresas Publicas de Medellin ESP | 320,000 | 315,814 | ||||||
|
| |||||||
| 714,332 | ||||||||
|
| |||||||
Energy-Alternate Sources – 0.2% |
| |||||||
Greenko Solar Mauritius, Ltd. | 400,000 | 430,662 | ||||||
ReNew Power Synthetic | 200,000 | 210,300 | ||||||
ReNew Power, Ltd. | 200,000 | 206,500 | ||||||
|
| |||||||
| 847,462 | ||||||||
|
| |||||||
Finance-Consumer Loans – 0.2% |
| |||||||
goeasy, Ltd. | 395,000 | 404,875 | ||||||
goeasy, Ltd. | 366,000 | 377,514 | ||||||
|
| |||||||
| 782,389 | ||||||||
|
| |||||||
Finance-Leasing Companies – 0.2% |
| |||||||
BOC Aviation, Ltd. | 580,000 | 573,293 | ||||||
|
| |||||||
Food-Meat Products – 0.2% |
| |||||||
BRF SA | 200,000 | 210,000 | ||||||
Minerva Luxembourg SA | 400,000 | 397,400 | ||||||
|
| |||||||
| 607,400 | ||||||||
|
| |||||||
Gold Mining – 0.1% |
| |||||||
AngloGold Ashanti Holdings PLC | 208,000 | 214,402 | ||||||
|
| |||||||
Industrial Gases – 0.1% |
| |||||||
Yingde Gases Investment, Ltd. | 300,000 | 307,580 | ||||||
|
| |||||||
Insurance-Life/Health – 0.0% |
| |||||||
Athene Holding, Ltd. | 25,000 | 26,768 | ||||||
|
| |||||||
Insurance-Property/Casualty – 0.1% |
| |||||||
Enstar Group, Ltd. | 149,000 | 171,240 | ||||||
|
| |||||||
Insurance-Reinsurance – 0.0% |
| |||||||
Fairfax Financial Holdings, Ltd. | 37,000 | 38,602 | ||||||
|
| |||||||
Internet Financial Services – 0.2% |
| |||||||
ION Trading Technologies SARL | 840,000 | 872,117 | ||||||
|
| |||||||
Investment Companies – 0.1% |
| |||||||
Huarong Finance II Co., Ltd. | 230,000 | 169,625 | ||||||
Huarong Finance II Co., Ltd. | 400,000 | 280,000 | ||||||
|
| |||||||
| 449,625 | ||||||||
|
| |||||||
Machinery-Construction & Mining – 0.1% |
| |||||||
Weir Group PLC | 200,000 | 200,904 | ||||||
|
| |||||||
Medical Products – 0.0% |
| |||||||
STERIS PLC | 105,000 | 111,555 | ||||||
|
| |||||||
Medical-Drugs – 0.2% |
| |||||||
Endo Luxembourg Finance Co. I SARL/Endo US, Inc. | 425,000 | 416,500 | ||||||
Shire Acquisitions Investments Ireland DAC | 156,000 | 169,419 | ||||||
|
| |||||||
| 585,919 | ||||||||
|
| |||||||
Metal-Aluminum – 0.1% |
| |||||||
Indonesia Asahan Aluminium Persero PT | 400,000 | 490,000 | ||||||
|
| |||||||
Metal-Copper – 0.2% |
| |||||||
First Quantum Minerals, Ltd. | 200,000 | 204,000 | ||||||
First Quantum Minerals, Ltd. | 401,000 | 420,048 | ||||||
|
| |||||||
| 624,048 | ||||||||
|
| |||||||
Metal-Iron – 0.2% |
| |||||||
Mineral Resources, Ltd. | 600,000 | 659,250 | ||||||
|
| |||||||
Motion Pictures & Services – 0.2% |
| |||||||
Banijay Entertainment SASU | 847,000 | 874,528 | ||||||
|
| |||||||
Multimedia – 0.1% |
| |||||||
Globo Comunicacao e Participacoes SA | 400,000 | 413,004 | ||||||
|
| |||||||
Oil Companies-Exploration & Production – 0.9% |
| |||||||
MEG Energy Corp. | 988,000 | 1,022,946 | ||||||
MEG Energy Corp. | 391,000 | 416,542 | ||||||
Oil India, Ltd. | 400,000 | 448,143 | ||||||
Saka Energi Indonesia PT | 425,000 | 402,687 | ||||||
Santos Finance, Ltd. | 79,000 | 80,948 | ||||||
Tengizchevroil Finance Co. International, Ltd. | 600,000 | 610,860 | ||||||
|
| |||||||
| 2,982,126 | ||||||||
|
| |||||||
Oil Companies-Integrated – 1.3% |
| |||||||
Ecopetrol SA | 270,000 | 289,373 | ||||||
Ecopetrol SA | 300,000 | 362,103 | ||||||
Petro-Canada | 34,000 | 44,790 | ||||||
Petrobras Global Finance BV | 400,000 | 448,140 | ||||||
Petroleos Mexicanos | 320,000 | 314,704 | ||||||
Petroleos Mexicanos | 350,000 | 301,000 | ||||||
Petroleos Mexicanos | 350,000 | 369,687 | ||||||
Petroleos Mexicanos | 220,000 | 231,975 | ||||||
Petroleos Mexicanos | 750,000 | 724,875 | ||||||
Petroleos Mexicanos | 560,000 | 495,600 | ||||||
Petroleos Mexicanos | 800,000 | 826,560 | ||||||
|
| |||||||
| 4,408,807 | ||||||||
|
| |||||||
Paper & Related Products – 0.3% |
| |||||||
Inversiones CMPC SA | 200,000 | 200,750 | ||||||
Suzano Austria GmbH | 84,000 | 83,089 | ||||||
Suzano Austria GmbH | 691,000 | 724,686 | ||||||
|
| |||||||
| 1,008,525 | ||||||||
|
| |||||||
Pipelines – 0.1% |
| |||||||
Enbridge, Inc. | 62,000 | 62,092 | ||||||
Galaxy Pipeline Assets Bidco, Ltd. | 300,000 | 294,276 | ||||||
|
| |||||||
| 356,368 | ||||||||
|
| |||||||
Rental Auto/Equipment – 0.1% |
| |||||||
Triton Container International, Ltd. | 157,000 | 157,567 | ||||||
Triton Container International, Ltd. | 87,000 | 87,609 | ||||||
|
| |||||||
| 245,176 | ||||||||
|
| |||||||
Retail-Petroleum Products – 0.2% |
| |||||||
eG Global Finance PLC | 633,000 | 654,500 | ||||||
|
| |||||||
Satellite Telecom – 0.6% |
| |||||||
Connect Finco SARL/Connect US Finco LLC | 939,000 | 993,913 | ||||||
Telesat Canada/Telesat LLC | 214,000 | 206,510 | ||||||
Telesat Canada/Telesat LLC | 767,000 | 730,567 | ||||||
|
| |||||||
| 1,930,990 | ||||||||
|
| |||||||
Security Services – 0.3% |
| |||||||
Atlas Luxco 4 SARL | 200,000 | 200,722 | ||||||
Atlas Luxco 4 SARL | 200,000 | 200,157 | ||||||
Garda World Security Corp. | 655,000 | 658,275 | ||||||
|
| |||||||
| 1,059,154 | ||||||||
|
| |||||||
SupraNational Banks – 0.2% |
| |||||||
European Bank for Reconstruction & Development | 151,000 | 155,357 | ||||||
International Bank for Reconstruction & Development | 150,000 | 146,148 | ||||||
International Bank for Reconstruction & Development | 80,000 | 88,032 | ||||||
International Finance Corp. | 170,000 | 170,707 | ||||||
|
| |||||||
| 560,244 | ||||||||
|
| |||||||
Telecom Services – 0.2% |
| |||||||
Altice France Holding SA | 630,000 | 625,104 | ||||||
|
| |||||||
Transport-Rail – 0.0% |
| |||||||
Canadian Pacific Railway Co. | 56,000 | 87,744 | ||||||
|
| |||||||
Transport-Services – 0.2% |
| |||||||
Rumo Luxembourg SARL | 290,000 | 310,416 | ||||||
Yunda Holding Investment, Ltd. | 440,000 | 433,268 | ||||||
|
| |||||||
| 743,684 | ||||||||
|
| |||||||
Vitamins & Nutrition Products – 0.1% |
| |||||||
Herbalife Nutrition, Ltd./HLF Financing, Inc. | 190,000 | 206,625 | ||||||
|
| |||||||
Warehousing & Harbor Transportation Services – 0.1% |
| |||||||
DP World PLC | 400,000 | 443,000 | ||||||
|
| |||||||
| Total Foreign Corporate Bonds & Notes (cost $47,630,237) |
| 48,831,883 | ||||||
|
| |||||||
FOREIGN GOVERNMENT OBLIGATIONS – 19.4% |
| |||||||
Banks-Special Purpose – 0.1% |
| |||||||
Industrial Bank of Korea | 312,000 | 311,595 | ||||||
|
| |||||||
Sovereign – 19.3% |
| |||||||
Arab Republic of Egypt | 550,000 | 585,365 | ||||||
Arab Republic of Egypt | 370,000 | 379,065 | ||||||
Arab Republic of Egypt | 1,000,000 | 1,097,700 | ||||||
Arab Republic of Egypt | 1,350,000 | 1,405,687 | ||||||
Dominican Republic | 1,250,000 | 1,290,662 | ||||||
Dominican Republic | 400,000 | 400,004 | ||||||
Emirate of Abu Dhabi | 460,000 | 488,728 | ||||||
Emirate of Abu Dhabi | 700,000 | 743,716 | ||||||
Emirate of Abu Dhabi | 1,070,000 | 1,174,988 | ||||||
Emirate of Abu Dhabi | 880,000 | 896,632 | ||||||
Emirate of Abu Dhabi | 200,000 | 230,250 | ||||||
Federal Republic of Ethiopia | 1,070,000 | 986,882 | ||||||
Federal Republic of Nigeria | 950,000 | 1,001,684 | ||||||||
Federal Republic of Nigeria | 500,000 | 569,520 | ||||||||
Federative Republic of Brazil | 750,000 | 771,090 | ||||||||
Federative Republic of Brazil | 600,000 | 605,658 | ||||||||
Federative Republic of Brazil | 580,000 | 561,486 | ||||||||
Federative Republic of Brazil | 500,000 | 543,295 | ||||||||
Government of Romania | 460,000 | 476,293 | ||||||||
Government of Romania | 500,000 | 524,730 | ||||||||
Government of Ukraine | 600,000 | 622,608 | ||||||||
Government of Ukraine | 200,000 | 208,240 | ||||||||
Government of Ukraine | 1,020,000 | 1,062,026 | ||||||||
Government of Ukraine | 400,000 | 420,000 | ||||||||
Government of Ukraine | 250,000 | 272,707 | ||||||||
Government of Ukraine | 800,000 | 952,973 | ||||||||
Islamic Republic of Pakistan | 655,000 | 679,787 | ||||||||
Islamic Republic of Pakistan | 810,000 | 882,997 | ||||||||
Kingdom of Bahrain | 590,000 | 590,000 | ||||||||
Kingdom of Bahrain | 540,000 | 525,258 | ||||||||
Kingdom of Bahrain | 200,000 | 189,600 | ||||||||
Kingdom of Bahrain | 340,000 | 383,724 | ||||||||
Kingdom of Bahrain | 1,070,000 | 1,207,602 | ||||||||
Kingdom of Saudi Arabia | 1,085,000 | 1,167,731 | ||||||||
Kingdom of Saudi Arabia | 1,350,000 | 1,452,937 | ||||||||
Kingdom of Saudi Arabia | 300,000 | 362,821 | ||||||||
Kingdom of Saudi Arabia | 800,000 | 954,064 | ||||||||
Kingdom of Saudi Arabia | 280,000 | 353,332 | ||||||||
Oriental Republic of Uruguay | 187,500 | 218,158 | ||||||||
People’s Republic of China | 670,000 | 631,499 | ||||||||
Republic of the Philippines | 530,000 | 781,826 | ||||||||
Republic of Argentina | 1,200,000 | 379,812 | ||||||||
Republic of Argentina | 900,000 | 340,200 | ||||||||
Republic of Chile | 745,000 | 746,110 | ||||||||
Republic of Colombia | 1,295,000 | 1,268,634 | ||||||||
Republic of Colombia | 500,000 | 546,060 | ||||||||
Republic of Colombia | 230,000 | 244,469 | ||||||||
Republic of Colombia | 400,000 | 525,772 | ||||||||
Republic of Colombia | 320,000 | 477,088 | ||||||||
Republic of Ecuador | 2,200,000 | 1,507,000 | ||||||||
Republic of El Salvador | 570,000 | 525,825 |
Republic of El Salvador | 560,000 | 505,400 | ||||||||
Republic of El Salvador | 85,000 | 82,875 | ||||||||
Republic of Ghana | 560,000 | 538,300 | ||||||||
Republic of Ghana | 253,000 | 242,880 | ||||||||
Republic of Ghana | 1,100,000 | 1,388,750 | ||||||||
Republic of Guatemala | 700,000 | 787,500 | ||||||||
Republic of Indonesia | 500,000 | 556,519 | ||||||||
Republic of Indonesia | 600,000 | 662,102 | ||||||||
Republic of Ivory Coast | 1,570,000 | 1,655,785 | ||||||||
Republic of Ivory Coast | 350,000 | 385,000 | ||||||||
Republic of Kazakhstan | 600,000 | 752,700 | ||||||||
Republic of Kazakhstan | 480,000 | 557,400 | ||||||||
Republic of Kazakhstan | 350,000 | 511,350 | ||||||||
Republic of Kenya | 570,000 | 626,384 | ||||||||
Republic of Kenya | 200,000 | 224,990 | ||||||||
Republic of Panama | 200,000 | 226,244 | ||||||||
Republic of Panama | 200,000 | 271,502 | ||||||||
Republic of Paraguay | 450,000 | 517,500 | ||||||||
Republic of Paraquay | 700,000 | 805,000 | ||||||||
Republic of Peru | 350,000 | 356,290 | ||||||||
Republic of South Africa | 580,000 | 598,850 | ||||||||
Republic of Sri Lanka | 820,000 | 610,900 | ||||||||
Republic of Sri Lanka | 400,000 | 248,000 | ||||||||
Republic of Sri Lanka | 300,000 | 199,500 | ||||||||
Republic of Sri Lanka | 1,050,000 | 661,500 | ||||||||
Republic of Sri Lanka | 800,000 | 504,000 | ||||||||
Republic of the Philippines | 405,000 | 390,755 | ||||||||
Republic of the Philippines | 200,000 | 226,551 | ||||||||
Republic of Turkey | 600,000 | 588,000 | ||||||||
Republic of Turkey | 1,800,000 | 1,747,440 | ||||||||
Republic of Turkey | 360,000 | 369,729 | ||||||||
Republic of Turkey | 450,000 | 384,165 | ||||||||
Republic of Turkey | 600,000 | 648,504 | ||||||||
Republic of Turkey | 460,000 | 503,562 | ||||||||
Russian Federation | 2,000,000 | 2,252,540 | ||||||||
Russian Federation | 400,000 | 502,427 | ||||||||
State of Qatar | 330,000 | 359,354 |
State of Qatar | 660,000 | 746,757 | ||||||||||
State of Qatar | 335,000 | 407,745 | ||||||||||
State of Qatar | 1,140,000 | 1,466,325 | ||||||||||
State of Qatar | 400,000 | 531,040 | ||||||||||
Sultanate of Oman | 600,000 | 630,900 | ||||||||||
Sultanate of Oman | 575,000 | 644,000 | ||||||||||
Sultanate of Oman | 550,000 | 616,000 | ||||||||||
United Mexican States | 600,000 | 586,734 | ||||||||||
United Mexican States | 219,000 | 229,974 | ||||||||||
United Mexican States | 320,000 | 340,282 | ||||||||||
United Mexican States | 146,000 | 161,218 | ||||||||||
United Mexican States | 1,150,000 | 1,305,399 | ||||||||||
|
| |||||||||||
| 65,330,917 | ||||||||||||
|
| |||||||||||
Total Foreign Government Obligations | 65,642,512 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT AGENCIES – 16.7% |
| |||||||||||
Federal Home Loan Bank – 0.3% |
| |||||||||||
3.25% due 11/16/2028 | 1,000,000 | 1,136,779 | ||||||||||
|
| |||||||||||
Federal Home Loan Mtg. Corp. – 4.0% |
| |||||||||||
2.00% due 03/01/2051 | 2,064,322 | 2,088,521 | ||||||||||
2.00% due 06/01/2051 | 498,467 | 504,310 | ||||||||||
2.50% due 01/01/2028 | 98,649 | 103,704 | ||||||||||
2.50% due 04/01/2028 | 32,697 | 34,373 | ||||||||||
2.50% due 03/01/2031 | 54,149 | 56,719 | ||||||||||
2.50% due 11/01/2032 | 452,272 | 477,813 | ||||||||||
3.00% due 07/01/2045 | 881,708 | 930,153 | ||||||||||
3.00% due 10/01/2045 | 298,244 | 314,309 | ||||||||||
3.50% due 03/01/2042 | 163,557 | 177,347 | ||||||||||
3.50% due 04/01/2042 | 158,075 | 170,935 | ||||||||||
3.50% due 09/01/2043 | 146,270 | 158,868 | ||||||||||
3.50% due 07/01/2045 | 1,394,032 | 1,500,297 | ||||||||||
3.50% due 03/01/2046 | 413,598 | 442,407 | ||||||||||
3.50% due 11/01/2047 | 586,867 | 621,459 | ||||||||||
3.50% due 01/01/2048 | 539,167 | 575,849 | ||||||||||
3.50% due 03/01/2048 | 1,944,456 | 2,096,366 | ||||||||||
3.50% due 04/01/2050 | 519,171 | 546,311 | ||||||||||
4.00% due 01/01/2046 | 161,582 | 177,069 | ||||||||||
4.00% due 07/01/2049 | 232,544 | 251,293 | ||||||||||
4.00% due 01/01/2050 | 244,659 | 260,334 | ||||||||||
4.50% due 03/01/2039 | 723,742 | 808,634 | ||||||||||
4.50% due 12/01/2039 | 4,566 | 5,065 | ||||||||||
4.50% due 07/01/2045 | 723,355 | 778,380 | ||||||||||
5.00% due 02/01/2034 | 10,854 | 12,408 | ||||||||||
5.00% due 05/01/2034 | 9,781 | 10,905 | ||||||||||
5.00% due 11/01/2043 | 114,221 | 130,941 | ||||||||||
5.50% due 05/01/2037 | 27,361 | 31,815 | ||||||||||
6.00% due 03/01/2040 | 21,577 | 25,596 | ||||||||||
6.50% due 02/01/2035 | 4,743 | 5,382 | ||||||||||
Federal Home Loan Mtg. Corp. FRS | 3,622 | 3,762 | ||||||||||
2.23% (12 ML+1.88%) | 41,805 | 44,451 | ||||||||||
Federal Home Loan Mtg. Corp. REMIC | 88,037 | 90,523 | ||||||||||
Federal Home Loan Mtg. Corp. REMIC FRS | 156,570 | 23,696 | ||||||||||
|
| |||||||||||
| 13,459,995 | ||||||||||||
|
| |||||||||||
Federal National Mtg. Assoc. – 7.6% |
| |||||||||||
1.50% due 06/01/2036 | 995,050 | 1,008,040 | ||||||||||
2.00% due 07/01/2035 | 616,618 | 636,724 | ||||||||||
2.00% due 11/01/2035 | 565,434 | 586,163 | ||||||||||
2.00% due 05/01/2036 | 197,552 | 203,994 | ||||||||||
2.00% due 05/01/2041 | 793,689 | 808,346 | ||||||||||
2.00% due 12/01/2050 | 960,162 | 971,408 | ||||||||||
2.00% due 04/01/2051 | 1,581,468 | 1,600,006 | ||||||||||
2.00% due 05/01/2051 | 396,250 | 401,109 | ||||||||||
2.50% due 12/01/2026 | 198,290 | 207,475 | ||||||||||
2.50% due 08/01/2031 | 934,778 | 977,815 | ||||||||||
2.50% due 02/01/2032 | 430,846 | 453,118 | ||||||||||
2.50% due 05/01/2050 | 341,858 | 356,166 | ||||||||||
2.50% due 06/01/2050 | 702,494 | 727,794 | ||||||||||
2.50% due 07/01/2050 | 682,731 | 714,783 | ||||||||||
2.50% due 10/01/2050 | 459,192 | 476,098 | ||||||||||
2.50% due 05/01/2051 | 149,167 | 154,526 | ||||||||||
3.00% due 10/01/2027 | 97,611 | 102,910 | ||||||||||
3.00% due 03/01/2030 | 650,311 | 689,931 | ||||||||||
3.00% due 10/01/2030 | 84,135 | 88,959 | ||||||||||
3.00% due 02/01/2033 | 747,802 | 789,613 | ||||||||||
3.00% due 07/01/2034 | 362,625 | 382,052 | ||||||||||
3.00% due 11/01/2039 | 290,150 | 302,807 | ||||||||||
3.00% due 12/01/2042 | 65,000 | 69,292 | ||||||||||
3.00% due 04/01/2047 | 1,038,123 | 1,094,229 | ||||||||||
3.00% due 09/01/2048 | 897,491 | 943,365 | ||||||||||
3.00% due 11/01/2048 | 727,451 | 763,679 | ||||||||||
3.00% due 06/01/2049 | 545,402 | 578,524 | ||||||||||
3.00% due 03/01/2050 | 665,332 | 700,830 | ||||||||||
3.50% due 08/01/2026 | 32,147 | 34,362 | ||||||||||
3.50% due 08/01/2027 | 24,223 | 25,868 | ||||||||||
3.50% due 10/01/2028 | 14,410 | 15,573 | ||||||||||
3.50% due 02/01/2043 | 76,390 | 83,962 | ||||||||||
3.50% due 10/01/2045 | 139,289 | 150,614 | ||||||||||
3.50% due 11/01/2045 | 63,298 | 67,510 | ||||||||||
3.50% due 03/01/2046 | 893,891 | 953,325 | ||||||||||
3.50% due 07/01/2046 | 69,793 | 75,392 | ||||||||||
3.50% due 04/01/2048 | 740,648 | 795,560 | ||||||||||
4.00% due 11/01/2025 | 37,412 | 39,755 | ||||||||||
4.00% due 03/01/2039 | 428,256 | 459,465 | ||||||||||
4.00% due 02/01/2045 | 784,011 | 860,184 | ||||||||||
4.00% due 05/01/2047 | 174,454 | 187,414 | ||||||||||
4.00% due 07/01/2047 | 766,170 | 820,604 | ||||||||||
4.00% due 06/01/2048 | 339,219 | 366,597 | ||||||||||
4.00% due 09/01/2048 | 345,562 | 368,969 | ||||||||||
4.00% due 01/01/2049 | 499,402 | 532,216 | ||||||||||
4.00% due 03/01/2050 | 443,468 | 472,055 | ||||||||||
4.50% due 11/01/2022 | 608 | 637 | ||||||||||
4.50% due 06/01/2023 | 2,495 | 2,615 | ||||||||||
4.50% due 08/01/2045 | 954,699 | 1,065,419 | ||||||||||
4.50% due 10/01/2048 | 25,624 | 27,629 | ||||||||||
4.50% due 11/01/2048 | 511,232 | 552,303 | ||||||||||
5.00% due 01/01/2023 | 1,073 | 1,117 | ||||||||||
5.00% due 03/01/2034 | 9,874 | 11,306 | ||||||||||
5.00% due 05/01/2035 | 5,355 | 6,140 | ||||||||||
5.00% due 05/01/2040 | 40,000 | 45,418 | ||||||||||
5.50% due 06/01/2038 | 13,259 | 15,441 | ||||||||||
6.00% due 02/01/2032 | 3,727 | 4,182 | ||||||||||
6.00% due 05/01/2034 | 920 | 1,092 | ||||||||||
6.00% due 10/01/2034 | 3,817 | 4,277 | ||||||||||
7.50% due 01/01/2030 | 690 | 697 | ||||||||||
8.00% due 11/01/2028 | 1,228 | 1,339 | ||||||||||
Federal National Mtg. Assoc. FRS | 33,116 | 34,414 | ||||||||||
2.06% (12 ML+1.67%) | 28,201 | 29,420 | ||||||||||
2.10% (12 ML+1.57%) | 6,553 | 6,894 | ||||||||||
2.20% (12 ML+1.77%) | 32,122 | 33,915 | ||||||||||
2.33% (12 ML+1.83%) | 13,349 | 14,115 | ||||||||||
2.33% (12 ML+1.82%) | 8,736 | 9,240 | ||||||||||
2.44% (12 ML+1.91%) | 25,730 | 27,248 | ||||||||||
2.46% (1 Yr USTYCR+2.27%) | 14,475 | 15,386 | ||||||||||
2.47% (1 Yr USTYCR+2.22%) | 23,304 | 24,507 | ||||||||||
Federal National Mtg. Assoc. REMIC |
| |||||||||||
Series 2018-27, Class EA | 236,524 | 248,897 | ||||||||||
Series 2018-35, Class CD | 217,015 | 227,133 | ||||||||||
|
| |||||||||||
| 25,509,962 | ||||||||||||
|
| |||||||||||
Government National Mtg. Assoc. – 1.9% |
| |||||||||||
2.00% due 11/20/2050 | 966,830 | 986,188 | ||||||||||
2.50% due 05/20/2050 | 398,483 | 412,462 | ||||||||||
2.50% due 12/20/2050 | 1,938,209 | 2,007,756 | ||||||||||
3.00% due 05/20/2046 | 872,337 | 922,098 | ||||||||||
3.00% due 05/20/2050 | 940,567 | 981,793 | ||||||||||
4.50% due 10/20/2045 | 682,774 | 751,305 | ||||||||||
4.50% due 04/20/2047 | 331,347 | 358,911 | ||||||||||
|
| |||||||||||
| 6,420,513 | ||||||||||||
|
| |||||||||||
Uniform Mtg. Backed Securities – 2.9% |
| |||||||||||
1.50% due July 30 TBA | 1,600,000 | 1,569,688 | ||||||||||
2.00% due July 30 TBA | 2,750,000 | 2,780,400 | ||||||||||
2.50% due July 30 TBA | 3,200,000 | 3,311,875 | ||||||||||
3.00% due July 30 TBA | 2,000,000 | 2,085,234 | ||||||||||
|
| |||||||||||
| 9,747,197 | ||||||||||||
|
| |||||||||||
Total U.S. Government Agencies |
| 56,274,446 | ||||||||||
|
| |||||||||||
U.S. GOVERNMENT TREASURIES – 0.8% |
| |||||||||||
United States Treasury Notes – 0.8% |
| |||||||||||
0.13% due 12/15/2023 | 200,000 | 198,953 | ||||||||||
1.50% due 02/15/2030 | 1,090,000 | 1,101,581 | ||||||||||
1.63% due 08/15/2029 | 1,000,000 | 1,023,555 | ||||||||||
2.50% due 01/31/2024 | 250,000 | 263,760 | ||||||||||
|
| |||||||||||
Total U.S. Government Treasuries |
| 2,587,849 | ||||||||||
|
| |||||||||||
LOANS – 0.0% |
| |||||||||||
Containers-Metal/Glass – 0.0% |
| |||||||||||
Mauser Packaging Solutions Holding, Co. FRS | 486 | 474 | ||||||||||
|
| |||||||||||
COMMON STOCKS – 0.0% |
| |||||||||||
Oil Field Machinery & Equipment – 0.0% |
| |||||||||||
Hi-Crush, Inc.(4)(5) | 14,240 | 2,421 | ||||||||||
|
| |||||||||||
Pharmacy Services – 0.0% |
| |||||||||||
Akorn Operating Co. LLC | 4,216 | 63,767 | ||||||||||
|
| |||||||||||
Total Common Stocks |
| 66,188 | ||||||||||
|
| |||||||||||
PREFERRED SECURITIES – 0.0% |
| |||||||||||
Sovereign Agency – 0.0% |
| |||||||||||
Federal Home Loan Mtg. Corp. | 5,350 | 10,860 | ||||||||||
|
| |||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES – 1.2% |
| |||||||||||
Banks-Money Center – 0.1% |
| |||||||||||
BBVA Bancomer SA | 201,000 | 209,442 | ||||||||||
|
| |||||||||||
Building & Construction-Misc. – 0.2% |
| |||||||||||
China Minmetals Corp. | 635,000 | 647,709 | ||||||||||
|
| |||||||||||
Cellular Telecom – 0.0% |
| |||||||||||
Vodafone Group PLC | 26,000 | 26,317 | ||||||||||
|
| |||||||||||
Diversified Banking Institutions – 0.0% |
| |||||||||||
JPMorgan Chase & Co. | 122,000 | 132,218 | ||||||||||
|
| |||||||||||
Electric-Distribution – 0.1% |
| |||||||||||
National Rural Utilities Cooperative Finance Corp. | 184,000 | 192,590 | ||||||||||
|
| |||||||||||
Electric-Integrated – 0.1% |
| |||||||||||
CMS Energy Corp. | 40,000 | 40,692 | ||||||||||
CMS Energy Corp. | 58,000 | 64,634 | ||||||||||
Dominion Resources, Inc. | 58,000 | 63,349 | ||||||||||
|
| |||||||||||
| 168,675 | ||||||||||||
|
| |||||||||||
Food-Dairy Products – 0.1% |
| |||||||||||
Land O’Lakes Capital Trust I | 414,000 | 476,278 | ||||||||||
|
| |||||||||||
Insurance-Life/Health – 0.1% |
| |||||||||||
Prudential Financial, Inc. | 112,000 | 131,381 | ||||||||||
Voya Financial, Inc. | 70,000 | 73,789 | ||||||||||
|
| |||||||||||
| 205,170 | ||||||||||||
|
| |||||||||||
Insurance-Mutual – 0.1% |
| |||||||||||
Liberty Mutual Group, Inc. | 261,000 | 238,131 | ||||||||||
|
| |||||||||||
Metal-Aluminum – 0.1% |
| |||||||||||
Chalco Hong Kong Investment Co., Ltd. | 400,000 | 401,798 | ||||||||||
|
| |||||||||||
Metal-Diversified – 0.1% |
| |||||||||||
Chinalco Capital Holdings, Ltd. | 200,000 | 207,520 | ||||||||||
|
| |||||||||||
Oil Companies-Integrated – 0.0% |
| |||||||||||
BP Capital Markets PLC | 102,000 | 111,747 | ||||||||||
|
| |||||||||||
Pipelines – 0.0% |
| |||||||||||
Enterprise Products Operating LLC | 41,000 | 43,018 | ||||||||||
EnLink Midstream Partners LP | 41,000 | 31,570 | ||||||||||
|
| |||||||||||
| 74,588 | ||||||||||||
|
| |||||||||||
Tools-Hand Held – 0.0% |
| |||||||||||
Stanley Black & Decker, Inc. | 122,000 | 129,808 | ||||||||||
|
| |||||||||||
Transport-Equipment & Leasing – 0.2% |
| |||||||||||
AerCap Global Aviation Trust | 715,000 | 766,930 | ||||||||||
|
| |||||||||||
Total Preferred Securities/Capital Securities |
| 3,988,921 | ||||||||||
|
| |||||||||||
ESCROWS AND LITIGATION TRUSTS – 0.0% |
| |||||||||||
ION Media Networks, Inc.†(4) | 655 | 7,877 | ||||||||||
Waterford Gaming LLC/Waterford Gaming Financial Corp. | 459,551 | 3,171 | ||||||||||
|
| |||||||||||
Total Escrows and Litigation Trusts |
| 11,048 | ||||||||||
|
| |||||||||||
Total Long-Term Investment Securities |
| 313,729,643 | ||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENT SECURITIES – 8.8% |
| |||||||||||
Registered Investment Companies – 8.8% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 29,865,465 | 29,865,465 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS | 101.8 | % | 343,595,108 | |||||||||
Liabilities in excess of other assets | (1.8 | ) | (5,973,821 | ) | ||||||||
|
|
|
| |||||||||
NET ASSETS | 100.0 | % | $ | 337,621,287 | ||||||||
|
|
|
| |||||||||
| * | 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, 2021, the aggregate value of these securities was $128,354,872 representing 38.0% 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) | Securities classified as Level 3 (see Note 1). |
| (5) | 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, 2021, the Fund held the following restricted securities: |
Description | Acquisition Date | Principal Amount/Shares | Acquisition Cost | Value | Value per Principal amount/Share | % of Net Assets | ||||||||||||||||||
Convertible Bonds | ||||||||||||||||||||||||
Hi-Crush, Inc. | 10/08/2020 | $ | 260,000 | $ | 236,602 | $ | 273,433 | $ | 100.00 | 0.08 | % | |||||||||||||
| 04/15/2021 | 13,433 | 13,433 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
| 273,433 | 250,035 | |||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Hi-Crush, Inc. | 01/29/2021 | 14,240 | 18,782 | 2,421 | 0.17 | 0.00 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
| $ | 275,854 | 0.08 | % | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
| (6) | 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 cash at the coupon rate listed. |
| (7) | “Step-up” security where the rate increases (“steps-up”) at a predetermined rate. The rate reflected is as of June 30, 2021. |
| (8) | Interest Only |
| (9) | 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, 2021. |
| (10) | Perpetual maturity – maturity date reflects the next call date. |
| (11) | The rate shown is the 7-day yield as of June 30, 2021. |
| (12) | 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. |
| (13) | 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. |
| (14) | All loans in the Fund were purchased through assignment agreements unless otherwise indicated. |
BTL – Bank Term Loan
REMIC – Real Estate Mortgage Investment Conduit
TBA – Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
FRS – Floating Rate Security
VRS – Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at June 30, 2021 and unless noted otherwise, the dates are the original maturity dates.
Index Legend
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
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||||||
JPMorgan Chase Bank N.A | EUR | 7,725,000 | USD | 9,408,417 | 07/15/2021 | $ | 245,987 | $ | – | |||||||||||||||||||
| GBP | 1,591,000 | USD | 2,249,332 | 07/15/2021 | 48,414 | – | ||||||||||||||||||||||
| USD | 2,213,808 | GBP | 1,591,000 | 06/30/2021 | – | – | ||||||||||||||||||||||
| USD | 13,581,493 | EUR | 11,370,000 | 07/15/2021 | – | (95,819 | ) | |||||||||||||||||||||
| USD | 2,213,808 | GBP | 1,591,000 | 07/15/2021 | – | (12,890 | ) | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
Unrealized Appreciation(Depreciation) |
| $ | 294,401 | $ | (108,709 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
The following is a summary of the inputs used to value the Fund’s net assets as of June 30, 2021 (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 | $ | – | $ | 3,206,471 | $ | – | $ | 3,206,471 | ||||||||
U.S. Convertible Bonds & Notes | – | – | 273,433 | 273,433 | ||||||||||||
U.S. Corporate Bonds & Notes | – | 132,560,713 | – | 132,560,713 | ||||||||||||
Foreign Corporate Bonds & Notes | – | 49,106,728 | – | 49,106,728 | ||||||||||||
Foreign Government Obligations | – | 65,642,512 | – | 65,642,512 | ||||||||||||
U.S. Government Agencies | – | 56,274,446 | – | 56,274,446 | ||||||||||||
U.S. Government Treasuries | – | 2,587,849 | – | 2,587,849 | ||||||||||||
Loans | – | 474 | – | 474 | ||||||||||||
Common Stocks: | ||||||||||||||||
Pharmacy Services | – | 63,767 | – | 63,767 | ||||||||||||
Other Industries | – | – | 2,421 | 2,421 | ||||||||||||
Preferred Securities | 10,860 | – | – | 10,860 | ||||||||||||
Preferred Securities/Capital Securities | – | 3,988,921 | – | 3,988,921 | ||||||||||||
Escrows and Litigation Trusts | – | – | 11,048 | 11,048 | ||||||||||||
Short-Term Investment Securities | 29,865,465 | – | – | 29,865,465 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 29,876,325 | $ | 313,431,881 | $ | 286,902 | $ | 343,595,108 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments:+ | ||||||||||||||||
Forward Foreign Currency Contracts | $ | – | $ | 294,401 | $ | – | $ | 294,401 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Other Financial Instruments:+ | ||||||||||||||||
Forward Foreign Currency Contracts | $ | – | $ | 108,709 | $ | – | $ | 108,709 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| * | 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, 2021 – (unaudited)
Security Description | Shares/ Principal Amount | Value (Note 1) | ||||||
U.S. CORPORATE BONDS & NOTES – 79.7% |
| |||||||
Advertising Sales – 0.0% |
| |||||||
Clear Channel Outdoor Holdings, Inc. | $ | 35,000 | $ | 36,663 | ||||
|
| |||||||
Aerospace/Defense – 0.5% |
| |||||||
Boeing Co. | 709,000 | 979,807 | ||||||
|
| |||||||
Aerospace/Defense-Equipment – 1.6% |
| |||||||
Spirit AeroSystems, Inc. | 1,380,000 | 1,466,250 | ||||||
TransDigm, Inc. | 1,800,000 | 1,876,500 | ||||||
|
| |||||||
| 3,342,750 | ||||||||
|
| |||||||
Agricultural Chemicals – 0.0% |
| |||||||
CVR Partners LP/CVR Nitrogen Finance Corp. | 30,000 | 30,750 | ||||||
|
| |||||||
Airlines – 2.6% |
| |||||||
American Airlines Group, Inc. | 440,000 | 440,005 | ||||||
American Airlines, Inc. | 2,730,000 | 3,426,150 | ||||||
Delta Air Lines, Inc. | 1,200,000 | 1,199,218 | ||||||
United Airlines, Inc. | 185,000 | 191,475 | ||||||
United Airlines, Inc. | 185,000 | 191,475 | ||||||
|
| |||||||
| 5,448,323 | ||||||||
|
| |||||||
Applications Software – 1.0% |
| |||||||
SS&C Technologies, Inc. | 1,915,000 | 2,029,325 | ||||||
|
| |||||||
Athletic Equipment – 0.6% |
| |||||||
Vista Outdoor, Inc. | 1,315,000 | 1,338,013 | ||||||
|
| |||||||
Auto Repair Centers – 0.4% |
| |||||||
Metis Merger Sub LLC | 945,000 | 935,800 | ||||||
|
| |||||||
Auto-Cars/Light Trucks – 0.9% |
| |||||||
Ford Motor Co. | 509,000 | 627,531 | ||||||
Ford Motor Co. | 331,000 | 474,985 | ||||||
Ford Motor Credit Co. LLC | 860,000 | 912,268 | ||||||
|
| |||||||
| 2,014,784 | ||||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original – 1.5% |
| |||||||
American Axle & Manufacturing, Inc. | 1,380,000 | 1,461,530 | ||||||
Tenneco, Inc. | 980,000 | 1,007,038 | ||||||
Tenneco, Inc. | 715,000 | 715,737 | ||||||
|
| |||||||
| 3,184,305 | ||||||||
|
| |||||||
Beverages-Non-alcoholic – 0.2% |
| |||||||
Triton Water Holdings, Inc. | 420,000 | 421,050 | ||||||
|
| |||||||
Broadcast Services/Program – 1.6% |
| |||||||
Clear Channel Worldwide Holdings, Inc. | 840,000 | 856,691 | ||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. | 1,375,000 | 673,750 | ||||||
iHeartCommunications, Inc. | 1,494,966 | 1,601,482 | ||||||
Univision Communications, Inc. | 215,000 | 237,038 | ||||||
|
| |||||||
| 3,368,961 | ||||||||
|
| |||||||
Building & Construction Products-Misc. – 1.3% |
| |||||||
CP Atlas Buyer, Inc. | 1,105,000 | 1,145,056 | ||||||
Louisiana-Pacific Corp. | 1,635,000 | 1,645,219 | ||||||
|
| |||||||
| 2,790,275 | ||||||||
|
| |||||||
Building & Construction-Misc. – 0.5% |
| |||||||
Weekley Homes LLC/Weekley Finance Corp. | 1,060,000 | 1,097,100 | ||||||
|
| |||||||
Building-Residential/Commercial – 0.6% |
| |||||||
M/I Homes, Inc. | 1,185,000 | 1,236,251 | ||||||
|
| |||||||
Cable/Satellite TV – 4.4% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 935,000 | 987,594 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 1,545,000 | 1,620,551 | ||||||
CSC Holdings LLC | 2,440,000 | 2,534,550 | ||||||
DISH DBS Corp. | 300,000 | 313,989 | ||||||
DISH DBS Corp. | 1,170,000 | 1,325,025 | ||||||
Radiate Holdco LLC/Radiate Finance, Inc. | 575,000 | 595,125 | ||||||
Radiate Holdco LLC/Radiate Finance, Inc. | 1,870,000 | 1,964,341 | ||||||
|
| |||||||
| 9,341,175 | ||||||||
|
| |||||||
Casino Hotels – 0.6% |
| |||||||
Station Casinos LLC | 1,195,000 | 1,215,369 | ||||||
|
| |||||||
Casino Services – 0.7% |
| |||||||
Caesars Entertainment, Inc. | 730,000 | 774,136 | ||||||
Caesars Entertainment, Inc. | 565,000 | 628,393 | ||||||
|
| |||||||
| 1,402,529 | ||||||||
|
| |||||||
Chemicals-Specialty – 0.6% |
| |||||||
Chemours Co. | 1,195,000 | 1,278,650 | ||||||
|
| |||||||
Coal – 0.9% |
| |||||||
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp. | 1,855,000 | 1,810,944 | ||||||
|
| |||||||
Commercial Services – 0.5% |
| |||||||
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. | 1,015,000 | 1,058,138 | ||||||
|
| |||||||
Computer Services – 1.4% |
| |||||||
Austin BidCo, Inc. | 125,000 | 128,086 | ||||||
Banff Merger Sub, Inc. | 605,000 | 636,763 | ||||||
Science Applications International Corp. | 2,060,000 | 2,160,425 | ||||||
|
| |||||||
| 2,925,274 | ||||||||
|
| |||||||
Computer Software – 0.6% |
| |||||||
J2 Global, Inc. | 1,225,000 | 1,268,243 | ||||||
|
| |||||||
Computers-Integrated Systems – 0.5% |
| |||||||
NCR Corp. | 1,085,000 | 1,118,906 | ||||||
|
| |||||||
Containers-Metal/Glass – 0.8% |
| |||||||
BWAY Holding Co. | 1,651,000 | 1,617,980 | ||||||
|
| |||||||
Containers-Paper/Plastic – 0.8% |
| |||||||
Trident TPI Holdings, Inc. | 1,125,000 | 1,153,125 | ||||||
Trident TPI Holdings, Inc. | 610,000 | 637,450 | ||||||
|
| |||||||
| 1,790,575 | ||||||||
|
| |||||||
Diagnostic Equipment – 0.5% |
| |||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA | 434,000 | 474,037 | ||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA | 472,000 | 506,810 | ||||||
|
| |||||||
| 980,847 | ||||||||
|
| |||||||
Dialysis Centers – 0.5% |
| |||||||
DaVita, Inc. | 1,050,000 | 1,077,783 | ||||||
|
| |||||||
E-Commerce/Services – 1.2% |
| |||||||
Cars.com, Inc. | 1,310,000 | 1,397,167 | ||||||
TripAdvisor, Inc | 1,015,000 | 1,092,140 | ||||||
|
| |||||||
| 2,489,307 | ||||||||
|
| |||||||
Electric-Integrated – 1.2% |
| |||||||
PG&E Corp. | 1,160,000 | 1,171,020 | ||||||
Talen Energy Supply LLC | 1,400,000 | 1,281,000 | ||||||
|
| |||||||
| 2,452,020 | ||||||||
|
| |||||||
Energy-Alternate Sources – 0.5% |
| |||||||
TerraForm Power Operating LLC | 1,100,000 | 1,164,625 | ||||||
|
| |||||||
Enterprise Software/Service – 1.0% |
| |||||||
MicroStrategy, Inc. | 715,000 | 714,106 | ||||||
Rocket Software, Inc. | 625,000 | 620,175 | ||||||
Veritas US, Inc./Veritas Bermuda, Ltd. | 845,000 | 879,856 | ||||||
|
| |||||||
| 2,214,137 | ||||||||
|
| |||||||
Finance-Commercial – 1.0% |
| |||||||
Midcap Financial Issuer Trust | 1,955,000 | 2,045,986 | ||||||
|
| |||||||
Finance-Consumer Loans – 0.7% |
| |||||||
Navient Corp. | 695,000 | 749,731 | ||||||
Springleaf Finance Corp. | 730,000 | 823,878 | ||||||
|
| |||||||
| 1,573,609 | ||||||||
|
| |||||||
Food-Dairy Products – 0.6% |
| |||||||
Chobani LLC/Chobani Finance Corp., Inc. | 1,250,000 | 1,300,513 | ||||||
|
| |||||||
Food-Misc./Diversified – 1.0% |
| |||||||
Dole Food Co., Inc. | 765,000 | 780,300 | ||||||
Post Holdings, Inc. | 1,370,000 | 1,366,986 | ||||||
|
| |||||||
| 2,147,286 | ||||||||
|
| |||||||
Food-Retail – 1.0% |
| |||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | 2,105,000 | 2,201,198 | ||||||
|
| |||||||
Food-Wholesale/Distribution – 0.7% |
| |||||||
Matterhorn Merger Sub LLC/Matterhorn Finance Sub, Inc. | 1,475,000 | 1,537,687 | ||||||
|
| |||||||
Funeral Services & Related Items – 0.7% |
| |||||||
Carriage Services, Inc. | 1,520,000 | 1,517,690 | ||||||
|
| |||||||
Gambling (Non-Hotel) – 1.6% |
| |||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma | 860,000 | 896,421 | ||||||
Mohegan Gaming & Entertainment | 1,085,000 | 1,133,716 | ||||||
Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance, Inc. | 270,000 | 289,980 | ||||||
Raptor Acquisition Corp./Raptor Co-Issuer LLC | 245,000 | 248,369 | ||||||
Scientific Games International, Inc. | 700,000 | 750,736 | ||||||
|
| |||||||
| 3,319,222 | ||||||||
|
| |||||||
Hotels/Motels – 1.2% |
| |||||||
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. | 1,230,000 | 1,257,675 | ||||||
Marriott Ownership Resorts, Inc. | 1,160,000 | 1,188,652 | ||||||
|
| |||||||
| 2,446,327 | ||||||||
|
| |||||||
Human Resources – 0.5% |
| |||||||
Team Health Holdings, Inc. | 1,080,000 | 1,027,145 | ||||||
|
| |||||||
Insurance Brokers – 0.8% |
| |||||||
BroadStreet Partners, Inc. | 1,655,000 | 1,688,100 | ||||||
|
| |||||||
Insurance-Multi-line – 1.3% |
| |||||||
Acrisure LLC/Acrisure Finance, Inc. | 1,335,000 | 1,318,312 | ||||||
Acrisure LLC/Acrisure Finance, Inc. | 1,335,000 | 1,361,700 | ||||||
|
| |||||||
| 2,680,012 | ||||||||
|
| |||||||
Internet Connectivity Services – 0.8% |
| |||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. | 1,480,000 | 1,665,000 | ||||||
|
| |||||||
Investment Companies – 1.3% |
| |||||||
Icahn Enterprises LP Icahn Enterprises Finance Corp. | 45,000 | 46,463 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 45,000 | 46,561 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 1,630,000 | 1,729,430 | ||||||
Prospect Capital Corp. | 825,000 | 847,871 | ||||||
|
| |||||||
| 2,670,325 | ||||||||
|
| |||||||
Machinery-Thermal Process – 0.6% |
| |||||||
Cleaver-Brooks, Inc. | 1,190,000 | 1,178,195 | ||||||
|
| |||||||
Medical-Drugs – 0.1% |
| |||||||
Lannett Co., Inc. | 265,000 | 263,786 | ||||||
|
| |||||||
Medical-Generic Drugs – 0.5% |
| |||||||
Par Pharmaceutical, Inc. | 1,143,000 | 1,168,718 | ||||||
|
| |||||||
Medical-Hospitals – 3.9% |
| |||||||
CHS/Community Health Systems, Inc. | 615,000 | 615,769 | ||||||
CHS/Community Health Systems, Inc. | 390,000 | 395,850 | ||||||
CHS/Community Health Systems, Inc. | 1,490,000 | 1,575,660 | ||||||
CHS/Community Health Systems, Inc. | 110,000 | 115,112 | ||||||
Legacy LifePoint Health LLC | 30,000 | 31,913 | ||||||
LifePoint Health, Inc. | 1,385,000 | 1,397,119 | ||||||
Prime Healthcare Services, Inc. | 255,000 | 274,763 | ||||||
Surgery Center Holdings, Inc. | 600,000 | 612,000 | ||||||
Surgery Center Holdings, Inc. | 665,000 | 729,837 | ||||||
Tenet Healthcare Corp. | 1,180,000 | 1,223,896 | ||||||
Tenet Healthcare Corp. | 502,000 | 526,472 | ||||||
Tenet Healthcare Corp. | 655,000 | 683,656 | ||||||
|
| |||||||
| 8,182,047 | ||||||||
|
| |||||||
Metal-Copper – 0.5% |
| |||||||
Freeport-McMoRan, Inc. | 865,000 | 1,057,307 | ||||||
|
| |||||||
Office Automation & Equipment – 0.7% |
| |||||||
Xerox Holdings Corp. | 1,400,000 | 1,454,586 | ||||||
|
| |||||||
Oil & Gas Drilling – 0.6% |
| |||||||
Patterson-UTI Energy, Inc. | 1,140,000 | 1,194,284 | ||||||
|
| |||||||
Oil Companies-Exploration & Production – 7.1% |
| |||||||
Antero Resources Corp. | 570,000 | 581,759 | ||||||
Antero Resources Corp. | 390,000 | 432,900 | ||||||
Antero Resources Corp. | 600,000 | 682,500 | ||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. | 1,425,000 | 1,567,500 | ||||||
Callon Petroleum Co. | 866,345 | 854,034 | ||||||
Chesapeake Energy Corp. | 1,105,000 | 1,165,775 | ||||||
Chesapeake Energy Corp. | 125,000 | 135,307 | ||||||
Colgate Energy Partners III LLC | 300,000 | 310,875 | ||||||
CrownRock LP/CrownRock Finance, Inc. | 480,000 | 504,120 | ||||||
CrownRock LP/CrownRock Finance, Inc. | 1,900,000 | 1,966,500 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co. | 780,000 | 826,098 | ||||||
Indigo Natural Resources LLC | 1,125,000 | 1,175,625 | ||||||
Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp. | 565,000 | 582,656 | ||||||
Oasis Petroleum, Inc. | 70,000 | 72,991 | ||||||
Occidental Petroleum Corp. | 1,000,000 | 1,000,000 | ||||||
Occidental Petroleum Corp. | 250,000 | 276,046 | ||||||
Occidental Petroleum Corp. | 475,000 | 528,438 | ||||||
Occidental Petroleum Corp. | 395,000 | 463,631 | ||||||
Occidental Petroleum Corp. | 1,540,000 | 1,861,183 | ||||||
|
| |||||||
| 14,987,938 | ||||||||
|
| |||||||
Oil-Field Services – 1.3% |
| |||||||
CSI Compressco LP/CSI Compressco Finance, Inc. | 1,145,000 | 1,130,687 | ||||||
CSI Compressco LP/CSI Compressco Finance, Inc. | 865,000 | 877,975 | ||||||
USA Compression Partners LP/USA Compression Finance Corp. | 620,000 | 649,450 | ||||||
|
| |||||||
| 2,658,112 | ||||||||
|
| |||||||
Physical Therapy/Rehabilitation Centers – 0.5% |
| |||||||
Encompass Health Corp. | 995,000 | 1,032,283 | ||||||
|
| |||||||
Pipelines – 2.4% |
| |||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. | 1,400,000 | 1,473,178 | ||||||
Cheniere Energy, Inc. | 675,000 | 712,125 | ||||||
Cheniere Energy, Inc. | 675,000 | 712,125 | ||||||
EQM Midstream Partners LP | 285,000 | 289,953 | ||||||
EQM Midstream Partners LP | 265,000 | 273,067 | ||||||
EQM Midstream Partners LP | 410,000 | 445,875 | ||||||
EQM Midstream Partners LP | 460,000 | 512,900 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | 585,000 | 633,262 | ||||||
|
| |||||||
| 5,052,485 | ||||||||
|
| |||||||
Precious Metals – 0.9% |
| |||||||
Hecla Mining Co. | 1,685,000 | 1,840,862 | ||||||
|
| |||||||
Printing-Commercial – 0.3% |
| |||||||
Deluxe Corp. | 585,000 | 634,725 | ||||||
|
| |||||||
Publishing-Books – 0.3% |
| |||||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance | 655,000 | 668,100 | ||||||
|
| |||||||
Real Estate Investment Trusts – 2.6% |
| |||||||
iStar, Inc. | 1,600,000 | 1,646,000 | ||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. | 520,000 | 517,873 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. | 890,000 | 898,891 | ||||||
Service Properties Trust | 380,000 | 405,752 | ||||||
Service Properties Trust | 575,000 | 651,231 | ||||||
Uniti Group, Inc./CSL Capital LLC | 1,240,000 | 1,281,850 | ||||||
|
| |||||||
| 5,401,597 | ||||||||
|
| |||||||
Retail-Arts & Crafts – 0.3% |
| |||||||
Magic Mergeco, Inc. | 145,000 | 148,760 | ||||||
Magic Mergeco, Inc. | 405,000 | 417,656 | ||||||
|
| |||||||
| 566,416 | ||||||||
|
| |||||||
Retail-Automobile – 0.7% |
| |||||||
Carvana Co. | 680,000 | 706,350 | ||||||
Carvana Co. | 645,000 | 678,669 | ||||||
LCM Investments Holdings II LLC | 115,000 | 117,875 | ||||||
|
| |||||||
| 1,502,894 | ||||||||
|
| |||||||
Retail-Building Products – 0.9% |
| |||||||
BCPE Ulysses Intermediate, Inc. | 1,180,000 | 1,209,500 | ||||||
LBM Acquisition LLC | 615,000 | 619,735 | ||||||
|
| |||||||
| 1,829,235 | ||||||||
|
| |||||||
Retail-Pet Food & Supplies – 0.5% |
| |||||||
PetSmart, Inc./PetSmart Finance Corp. | 350,000 | 363,563 | ||||||
PetSmart, Inc./PetSmart Finance Corp. | 600,000 | 659,862 | ||||||
|
| |||||||
| 1,023,425 | ||||||||
|
| |||||||
Retail-Propane Distribution – 0.4% |
| |||||||
Ferrellgas Escrow LLC/FG Operating Finance Escrow Corp. | 455,000 | 451,019 | ||||||
Ferrellgas Escrow LLC/FG Operating Finance Escrow Corp. | 495,000 | 488,812 | ||||||
|
| |||||||
| 939,831 | ||||||||
|
| |||||||
Retail-Regional Department Stores – 0.8% |
| |||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC | 1,570,000 | 1,672,050 | ||||||
|
| |||||||
Retail-Restaurants – 0.5% |
| |||||||
Golden Nugget, Inc. | 1,045,000 | 1,102,600 | ||||||
|
| |||||||
Rubber-Tires – 0.4% |
| |||||||
Goodyear Tire & Rubber Co. | 285,000 | 298,395 | ||||||
Goodyear Tire & Rubber Co. | 480,000 | 501,600 | ||||||
|
| |||||||
| 799,995 | ||||||||
|
| |||||||
Schools – 0.7% |
| |||||||
Adtalem Global Education, Inc. | 1,490,000 | 1,517,878 | ||||||
|
| |||||||
Security Services – 1.1% |
| |||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. | 200,000 | 202,758 | ||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp. | 2,080,000 | 2,205,278 | ||||||
|
| |||||||
| 2,408,036 | ||||||||
|
| |||||||
Steel-Producers – 1.4% |
| |||||||
Cleveland-Cliffs, Inc. | 765,000 | 825,244 | ||||||
Cleveland-Cliffs, Inc. | 730,000 | 768,325 | ||||||
United States Steel Corp. | 1,015,000 | 1,048,992 | ||||||
United States Steel Corp. | 375,000 | 401,250 | ||||||
|
| |||||||
| 3,043,811 | ||||||||
|
| |||||||
Telecom Services – 0.8% |
| |||||||
Frontier Communications Corp. | 1,665,000 | 1,770,345 | ||||||
|
| |||||||
Telecommunication Equipment – 0.2% |
| |||||||
Plantronics, Inc. | 385,000 | 382,201 | ||||||
|
| |||||||
Telephone-Integrated – 1.0% |
| |||||||
Cincinnati Bell, Inc. | 605,000 | 620,881 | ||||||
Level 3 Financing, Inc. | 1,665,000 | 1,606,725 | ||||||
|
| |||||||
| 2,227,606 | ||||||||
|
| |||||||
Theaters – 1.3% |
| |||||||
Cinemark USA, Inc. | 1,065,000 | 1,119,310 | ||||||
Live Nation Entertainment, Inc. | 590,000 | 612,125 | ||||||
Live Nation Entertainment, Inc. | 970,000 | 1,010,139 | ||||||
|
| |||||||
| 2,741,574 | ||||||||
|
| |||||||
Tobacco – 1.3% |
| |||||||
Turning Point Brands, Inc. | 1,115,000 | 1,148,450 | ||||||
Vector Group, Ltd. | 1,585,000 | 1,618,214 | ||||||
|
| |||||||
| 2,766,664 | ||||||||
|
| |||||||
Transport-Equipment & Leasing – 0.7% |
| |||||||
Fortress Transportation & Infrastructure Investors LLC | 1,135,000 | 1,178,981 | ||||||
Fortress Transportation & Infrastructure Investors LLC | 205,000 | 237,031 | ||||||
|
| |||||||
| 1,416,012 | ||||||||
|
| |||||||
Vitamins & Nutrition Products – 0.6% |
| |||||||
HLF Financing Sarl LLC/Herbalife International, Inc. | 1,285,000 | 1,291,425 | ||||||
|
| |||||||
Wireless Equipment – 0.6% |
| |||||||
ViaSat, Inc. | 1,180,000 | 1,202,420 | ||||||
|
| |||||||
Total U.S. Corporate Bonds & Notes |
| 168,260,202 | ||||||
|
| |||||||
FOREIGN CORPORATE BONDS & NOTES – 11.1% |
| |||||||
Airlines – 0.2% |
| |||||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. | 280,000 | 296,450 | ||||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. | 115,000 | 124,153 | ||||||
|
| |||||||
| 420,603 | ||||||||
|
| |||||||
Auto-Cars/Light Trucks – 0.2% |
| |||||||
Aston Martin Capital Holdings, Ltd. | 445,000 | 496,175 | ||||||
|
| |||||||
Auto/Truck Parts & Equipment-Original – 0.7% |
| |||||||
Clarios Global LP/Clarios US Finance Co. | 1,285,000 | 1,400,907 | ||||||
|
| |||||||
Casino Services – 0.7% |
| |||||||
Gateway Casinos & Entertainment, Ltd. | 1,515,000 | 1,515,000 | ||||||
|
| |||||||
Cellular Telecom – 0.2% |
| |||||||
Altice France SA | 400,000 | 401,960 | ||||||
|
| |||||||
Coal – 0.7% |
| |||||||
Coronado Finance Pty, Ltd. | 1,295,000 | 1,379,175 | ||||||
|
| |||||||
Cruise Lines – 1.6% |
| |||||||
Carnival Corp. | 175,000 | 190,094 | ||||||
NCL Corp., Ltd. | 735,000 | 769,912 | ||||||
NCL Finance, Ltd. | 330,000 | 345,823 | ||||||
Royal Caribbean Cruises, Ltd. | 535,000 | 534,331 | ||||||
Royal Caribbean Cruises, Ltd. | 55,000 | 57,602 | ||||||
Royal Caribbean Cruises, Ltd. | 1,260,000 | 1,382,850 | ||||||
|
| |||||||
| 3,280,612 | ||||||||
|
| |||||||
Diversified Minerals – 0.5% |
| |||||||
Teck Resources, Ltd. | 780,000 | 1,005,566 | ||||||
|
| |||||||
Gambling (Non-Hotel) – 0.1% |
| |||||||
International Game Technology PLC | 200,000 | 208,250 | ||||||
|
| |||||||
Internet Financial Services – 0.2% |
| |||||||
ION Trading Technologies SARL | 505,000 | 524,309 | ||||||
|
| |||||||
Machinery-Pumps – 0.4% |
| |||||||
Titan Acquisition, Ltd./Titan Co-Borrower LLC | 845,000 | 875,631 | ||||||
|
| |||||||
Medical-Drugs – 1.8% |
| |||||||
Bausch Health Cos., Inc. | 955,000 | 1,013,618 | ||||||
Cheplapharm Arzneimittel GmbH | 1,780,000 | 1,824,500 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc. | 125,000 | 127,500 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 460,000 | 437,575 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 380,000 | 418,950 | ||||||
|
| |||||||
| 3,822,143 | ||||||||
|
| |||||||
Metal-Copper – 0.7% |
| |||||||
Taseko Mines, Ltd. | 1,395,000 | 1,454,288 | ||||||
|
| |||||||
Miscellaneous Manufacturing – 0.3% |
| |||||||
Bombardier, Inc. | 675,000 | 705,375 | ||||||
|
| |||||||
MRI/Medical Diagnostic Imaging – 0.6% |
| |||||||
Akumin, Inc. | 1,325,000 | 1,375,602 | ||||||
|
| |||||||
Oil & Gas Drilling – 0.4% |
| |||||||
Transocean, Inc. | 753,000 | 804,727 | ||||||
|
| |||||||
Oil Companies-Exploration & Production – 0.3% |
| |||||||
Geopark, Ltd. | 291,000 | 300,097 | ||||||
Teine Energy, Ltd. | 245,000 | 251,431 | ||||||
|
| |||||||
| 551,528 | ||||||||
|
| |||||||
Pipelines – 0.2% |
| |||||||
Northriver Midstream Finance LP | 445,000 | 461,688 | ||||||
|
| |||||||
Satellite Telecom – 1.1% |
| |||||||
Telesat Canada/Telesat LLC | 95,000 | 95,237 | ||||||
Telesat Canada/Telesat LLC | 2,390,000 | 2,276,475 | ||||||
|
| |||||||
| 2,371,712 | ||||||||
|
| |||||||
Telecom Services – 0.2% |
| |||||||
Altice France Holding SA | 500,000 | 496,114 | ||||||
|
| |||||||
Total Foreign Corporate Bonds & Notes |
| 23,551,365 | ||||||
|
| |||||||
COMMON STOCKS – 0.2% |
| |||||||
Mining Services – 0.2% |
| |||||||
Covia Holdings Corp.†(2) | 39,560 | 356,040 | ||||||
|
| |||||||
PREFERRED SECURITIES/CAPITAL SECURITIES – 1.0% |
| |||||||
Finance-Auto Loans – 0.4% |
| |||||||
Ally Financial, Inc. | 731,000 | 754,904 | ||||||
|
| |||||||
Finance-Leasing Companies – 0.2% |
| |||||||
Capital Farm Credit ACA | 465,000 | 482,438 | ||||||
|
| |||||||
Pipelines – 0.4% |
| |||||||
Energy Transfer LP | 765,000 | 775,924 | ||||||
|
| |||||||
Total Preferred Securities/Capital Securities |
| 2,013,266 | ||||||
|
| |||||||
ESCROWS AND LITIGATION TRUSTS – 0.0% |
| |||||||
ION Media Networks, Inc.†(4) | 660 | 7,937 | ||||||
Mesquite Energy, Inc. | 405,000 | 8,100 | ||||||
Paragon Offshore Finance Co. FRS | 1,745 | 0 | ||||||
Vistra Energy Corp. CVR†(2) | 27,942 | 32,888 | ||||||
|
| |||||||
Total Escrows And Litigation Trusts |
| 48,925 | ||||||
|
| |||||||
Total Long-Term Investment Securities |
| 194,229,798 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT SECURITIES – 1.4% |
| |||||||
Registered Investment Companies – 1.4% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 2,959,473 | 2,959,473 | ||||||
|
| |||||||
TOTAL INVESTMENTS | 93.4 | % | 197,189,271 | |||||
| Other assets less liabilities | 6.6 | 13,998,072 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 211,187,343 | ||||
|
|
|
| |||||
| * | 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, 2021, the aggregate value of these securities was $152,737,777 representing 72.3% of net assets. |
| † | Non-income producing security |
| (1) | 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 cash at the coupon rate listed. |
| (2) | 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, 2021, the Fund held the following restricted securities: |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | ||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
Covia Holdings Corp. | 02/21/2018 | 39,560 | $ | 343,328 | $ | 356,040 | $ | 9.00 | 0.17 | % | ||||||||||||||
Escrows and Litigation Trusts | ||||||||||||||||||||||||
Vistra Energy Corp. CVR | 10/06/2016 | 27,942 | 0 | 32,888 | 1.18 | 0.02 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
| $ | 388,928 | 0.19 | % | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
| (3) | Perpetual maturity - maturity date reflects the next call date. |
| (4) | Securities classified as Level 3 (see Note 1). |
| (5) | The rate shown is the 7-day yield as of June 30, 2021. |
CVR – Contingent Value Rights
FRS – Floating Rate Security
The rates shown on FRS are the current interest rates at June 30, 2021 and unless noted otherwise, the dates shown are the original maturity dates.
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, 2021 (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 | $ | – | $ | 168,260,202 | $ | – | $ | 168,260,202 | ||||||||
Foreign Corporate Bonds & Notes | – | 23,551,365 | – | 23,551,365 | ||||||||||||
Common Stocks | – | 356,040 | – | 356,040 | ||||||||||||
Preferred Securities/Capital Securities | – | 2,013,266 | – | 2,013,266 | ||||||||||||
Escrows and Litigation Trusts | – | 40,988 | 7,937 | 48,925 | ||||||||||||
Short-Term Investment Securities | 2,959,473 | – | – | 2,959,473 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 2,959,473 | $ | 194,221,861 | $ | 7,937 | $ | 197,189,271 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| * | 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 Level 3 transfers during the reporting period.
See Notes to Portfolio of Investments
NOTES TO PORTFOLIO OF INVESTMENTS – June 30, 2021 – (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, 2021 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.
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.
