Schedule of investments
Macquarie Institutional Portfolios — Macquarie High Yield Bond Portfolio
January 31, 2021 (Unaudited)
Principal amount° | Value (US $) | ||
Convertible Bond — 0.24% | |||
PDC Energy 1.125% exercise price $85.39, maturity date 9/15/21 | 145,000 | $142,873 | |
Total Convertible Bond (cost $139,381) | 142,873 | ||
Corporate Bonds — 84.50% | |||
Automotive — 3.94% | |||
Allison Transmission 144A 5.875% 6/1/29 # | 223,000 | 246,111 | |
Ford Motor | |||
8.50% 4/21/23 | 155,000 | 173,871 | |
9.00% 4/22/25 | 50,000 | 61,002 | |
Ford Motor Credit | |||
3.37% 11/17/23 | 285,000 | 290,364 | |
4.125% 8/17/27 | 270,000 | 284,512 | |
4.542% 8/1/26 | 275,000 | 294,594 | |
5.584% 3/18/24 | 295,000 | 319,155 | |
5.875% 8/2/21 | 230,000 | 234,600 | |
General Motors Financial 5.70% 9/30/30 μ, ψ | 80,000 | 90,100 | |
Jaguar Land Rover Automotive | |||
144A 4.50% 10/1/27 # | 200,000 | 194,627 | |
144A 5.875% 1/15/28 # | 200,000 | 204,040 | |
2,392,976 | |||
Banking — 2.40% | |||
Barclays 6.125% 12/15/25 μ, ψ | 305,000 | 330,934 | |
Deutsche Bank 6.00% 10/30/25 μ, ψ | 200,000 | 195,250 | |
Popular 6.125% 9/14/23 | 460,000 | 497,557 | |
SVB Financial Group 4.10% 2/15/31 μ, ψ | 425,000 | 432,947 | |
1,456,688 | |||
Basic Industry — 9.85% | |||
Allegheny Technologies 5.875% 12/1/27 | 295,000 | 310,337 | |
Avient 144A 5.75% 5/15/25 # | 297,000 | 315,562 | |
BCPE Ulysses Intermediate 144A PIK 7.75% 4/1/27 #, « | 160,000 | 159,600 | |
Blue Cube Spinco 10.00% 10/15/25 | 75,000 | 79,781 | |
Cemex 144A 7.375% 6/5/27 # | 280,000 | 316,400 | |
Chemours 144A 5.75% 11/15/28 # | 375,000 | 388,882 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
First Quantum Minerals | |||
144A 6.875% 10/15/27 # | 200,000 | $215,986 | |
144A 7.25% 4/1/23 # | 330,000 | 337,559 | |
144A 7.50% 4/1/25 # | 405,000 | 419,187 | |
Freeport-McMoRan 5.45% 3/15/43 | 652,000 | 816,213 | |
Hudbay Minerals | |||
144A 6.125% 4/1/29 # | 100,000 | 106,250 | |
144A 7.625% 1/15/25 # | 105,000 | 109,497 | |
Intertape Polymer Group 144A 7.00% 10/15/26 # | 165,000 | 174,692 | |
LBM Acquisition 144A 6.25% 1/15/29 # | 115,000 | 116,547 | |
M/I Homes 4.95% 2/1/28 | 267,000 | 281,718 | |
Mattamy Group | |||
144A 4.625% 3/1/30 # | 65,000 | 67,549 | |
144A 5.25% 12/15/27 # | 160,000 | 168,900 | |
New Gold | |||
144A 6.375% 5/15/25 # | 16,000 | 16,590 | |
144A 7.50% 7/15/27 # | 75,000 | 81,250 | |
Novelis | |||
144A 4.75% 1/30/30 # | 60,000 | 63,113 | |
144A 5.875% 9/30/26 # | 80,000 | 83,900 | |
Olin 5.00% 2/1/30 | 110,000 | 115,497 | |
PowerTeam Services 144A 9.033% 12/4/25 # | 450,000 | 499,500 | |
Tronox 144A 6.50% 4/15/26 # | 155,000 | 160,038 | |
WESCO Distribution 144A 7.25% 6/15/28 # | 140,000 | 157,468 | |
White Cap Buyer 144A 6.875% 10/15/28 # | 400,000 | 416,514 | |
5,978,530 | |||
Capital Goods — 4.90% | |||
ARD Finance 144A PIK 6.50% 6/30/27 #, > | 400,000 | 421,000 | |
ATS Automation Tooling Systems 144A 4.125% 12/15/28 # | 100,000 | 101,438 | |
Berry Global 144A 5.625% 7/15/27 # | 160,000 | 170,500 | |
Bombardier | |||
144A 7.50% 3/15/25 # | 235,000 | 220,312 | |
144A 7.875% 4/15/27 # | 110,000 | 101,717 | |
NQ-DPT-096 [1/21] 3/21 (1552031) 1
Schedule of investments
Macquarie Institutional Portfolios — Macquarie High Yield Bond Portfolio (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
Energizer Holdings 144A 4.375% 3/31/29 # | 140,000 | $143,360 | |
GrafTech Finance 144A 4.625% 12/15/28 # | 70,000 | 70,963 | |
Granite US Holdings 144A 11.00% 10/1/27 # | 230,000 | 259,325 | |
Reynolds Group Issuer 144A 4.00% 10/15/27 # | 250,000 | 251,800 | |
Spirit AeroSystems 144A 5.50% 1/15/25 # | 220,000 | 231,000 | |
Terex 144A 5.625% 2/1/25 # | 115,000 | 117,947 | |
Titan Acquisition 144A 7.75% 4/15/26 # | 75,000 | 76,464 | |
TransDigm | |||
144A 4.625% 1/15/29 # | 130,000 | 129,269 | |
144A 6.25% 3/15/26 # | 300,000 | 317,686 | |
Vertical Holdco 144A 7.625% 7/15/28 # | 200,000 | 216,125 | |
Welbilt 9.50% 2/15/24 | 143,000 | 147,528 | |
2,976,434 | |||
Communications — 9.09% | |||
Altice Financing 144A 5.00% 1/15/28 # | 355,000 | 364,342 | |
Altice France Holding 144A 6.00% 2/15/28 # | 550,000 | 555,145 | |
C&W Senior Financing 144A 6.875% 9/15/27 # | 253,000 | 269,824 | |
Cablevision Lightpath | |||
144A 3.875% 9/15/27 # | 200,000 | 201,270 | |
144A 5.625% 9/15/28 # | 200,000 | 205,375 | |
Cincinnati Bell 144A 7.00% 7/15/24 # | 315,000 | 327,600 | |
Clear Channel Worldwide Holdings 9.25% 2/15/24 | 289,000 | 301,163 | |
Connect Finco 144A 6.75% 10/1/26 # | 220,000 | 235,367 | |
Frontier Communications | |||
144A 5.875% 10/15/27 # | 130,000 | 139,955 | |
144A 6.75% 5/1/29 # | 220,000 | 231,484 | |
LCPR Senior Secured Financing 144A 6.75% 10/15/27 # | 265,000 | 285,267 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
Level 3 Financing 144A 4.25% 7/1/28 # | 250,000 | $256,428 | |
Lumen Technologies 144A 4.50% 1/15/29 # | 140,000 | 143,967 | |
Sprint | |||
7.125% 6/15/24 | 460,000 | 536,958 | |
7.625% 3/1/26 | 80,000 | 98,721 | |
7.875% 9/15/23 | 440,000 | 508,750 | |
Sprint Capital 8.75% 3/15/32 | 80,000 | 122,280 | |
T-Mobile USA | |||
6.00% 4/15/24 | 140,000 | 141,712 | |
6.50% 1/15/26 | 232,000 | 239,577 | |
Zayo Group Holdings 144A 6.125% 3/1/28 # | 340,000 | 354,242 | |
5,519,427 | |||
Consumer Cyclical — 6.26% | |||
Boyd Gaming 4.75% 12/1/27 | 320,000 | 328,544 | |
Caesars Entertainment | |||
144A 6.25% 7/1/25 # | 130,000 | 137,172 | |
144A 8.125% 7/1/27 # | 115,000 | 126,363 | |
Carnival | |||
144A 7.625% 3/1/26 # | 250,000 | 264,844 | |
144A 11.50% 4/1/23 # | 170,000 | 193,128 | |
L Brands | |||
6.875% 11/1/35 | 290,000 | 336,629 | |
6.95% 3/1/33 | 189,000 | 201,946 | |
144A 9.375% 7/1/25 # | 95,000 | 117,444 | |
MGM Resorts International 4.75% 10/15/28 | 315,000 | 328,765 | |
Murphy Oil USA 144A 3.75% 2/15/31 # | 270,000 | 270,675 | |
New Red Finance 144A 3.50% 2/15/29 # | 140,000 | 140,000 | |
PetSmart | |||
144A 4.75% 2/15/28 # | 250,000 | 250,000 | |
144A 7.75% 2/15/29 # | 250,000 | 250,000 | |
Scientific Games International | |||
144A 7.25% 11/15/29 # | 250,000 | 269,797 | |
144A 8.25% 3/15/26 # | 176,000 | 186,400 | |
Six Flags Entertainment 144A 4.875% 7/31/24 # | 145,000 | 144,149 | |
Station Casinos | |||
144A 4.50% 2/15/28 # | 145,000 | 142,372 | |
144A 5.00% 10/1/25 # | 115,000 | 115,958 | |
3,804,186 |
2 NQ-DPT-096 [1/21] 3/21 (1552031)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical — 2.55% | |||
Chobani 144A 4.625% 11/15/28 # | 142,000 | $145,195 | |
JBS USA LUX | |||
144A 5.50% 1/15/30 # | 105,000 | 119,421 | |
144A 6.50% 4/15/29 # | 140,000 | 159,383 | |
Kraft Heinz Foods | |||
5.00% 7/15/35 | 150,000 | 177,862 | |
5.20% 7/15/45 | 175,000 | 203,823 | |
Pilgrim's Pride 144A 5.75% 3/15/25 # | 200,000 | 204,770 | |
Post Holdings 144A 5.50% 12/15/29 # | 210,000 | 228,374 | |
United Natural Foods 144A 6.75% 10/15/28 # | 290,000 | 307,037 | |
1,545,865 | |||
Energy — 11.81% | |||
Apache | |||
4.75% 4/15/43 | 158,000 | 150,337 | |
4.875% 11/15/27 | 120,000 | 123,480 | |
CNX Resources | |||
144A 6.00% 1/15/29 # | 250,000 | 258,831 | |
144A 7.25% 3/14/27 # | 115,000 | 123,803 | |
Continental Resources 3.80% 6/1/24 | 250,000 | 256,719 | |
Crestwood Midstream Partners | |||
144A 5.625% 5/1/27 # | 235,000 | 226,686 | |
144A 6.00% 2/1/29 # | 145,000 | 139,955 | |
DCP Midstream Operating 5.125% 5/15/29 | 355,000 | 386,701 | |
EQM Midstream Partners | |||
144A 4.75% 1/15/31 # | 320,000 | 309,322 | |
144A 6.50% 7/1/27 # | 160,000 | 171,554 | |
Genesis Energy | |||
6.50% 10/1/25 | 295,000 | 273,517 | |
8.00% 1/15/27 | 216,000 | 205,670 | |
Murphy Oil | |||
5.875% 12/1/27 | 642,000 | 610,953 | |
6.875% 8/15/24 | 75,000 | 73,406 | |
NuStar Logistics | |||
6.00% 6/1/26 | 206,000 | 219,228 | |
6.375% 10/1/30 | 264,000 | 291,225 | |
Occidental Petroleum | |||
3.00% 2/15/27 | 125,000 | 115,859 | |
3.40% 4/15/26 | 150,000 | 145,077 | |
3.50% 8/15/29 | 235,000 | 218,343 | |
6.125% 1/1/31 | 260,000 | 283,322 | |
6.45% 9/15/36 | 135,000 | 148,348 | |
6.625% 9/1/30 | 165,000 | 185,873 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
PDC Energy | |||
5.75% 5/15/26 | 330,000 | $336,593 | |
6.125% 9/15/24 | 111,000 | 113,450 | |
Southwestern Energy 7.75% 10/1/27 | 235,000 | 248,366 | |
Sunoco 6.00% 4/15/27 | 105,000 | 111,300 | |
Targa Resources Partners | |||
144A 4.00% 1/15/32 # | 215,000 | 213,388 | |
144A 4.875% 2/1/31 # | 150,000 | 156,750 | |
TechnipFMC 144A 6.50% 2/1/26 # | 530,000 | 552,564 | |
Western Midstream Operating 4.75% 8/15/28 | 490,000 | 519,400 | |
7,170,020 | |||
Financial Services — 3.35% | |||
AerCap Holdings 5.875% 10/10/79 μ | 335,000 | 340,653 | |
Ally Financial 8.00% 11/1/31 | 150,000 | 217,966 | |
Credit Suisse Group 144A 4.50% 9/3/30 #, μ, ψ | 200,000 | 198,500 | |
DAE Funding | |||
144A 4.50% 8/1/22 # | 50,000 | 50,465 | |
144A 5.75% 11/15/23 # | 377,000 | 387,839 | |
DAE Sukuk DIFC 144A 3.75% 2/15/26 # | 200,000 | 212,609 | |
INEOS Quattro Finance 2 144A 3.375% 1/15/26 # | 400,000 | 402,250 | |
United Wholesale Mortgage 144A 5.50% 11/15/25 # | 210,000 | 221,287 | |
2,031,569 | |||
Healthcare — 6.79% | |||
Bausch Health 144A 6.25% 2/15/29 # | 315,000 | 338,316 | |
Cheplapharm Arzneimittel 144A 5.50% 1/15/28 # | 205,000 | 211,150 | |
CHS | |||
144A 4.75% 2/15/31 # | 80,000 | 80,100 | |
144A 6.875% 4/15/29 # | 175,000 | 177,297 | |
144A 8.00% 3/15/26 # | 230,000 | 247,480 | |
Encompass Health 4.75% 2/1/30 | 170,000 | 183,138 | |
Hadrian Merger Sub 144A 8.50% 5/1/26 # | 237,000 | 246,731 |
NQ-DPT-096 [1/21] 3/21 (1552031) 3
Schedule of investments
Macquarie Institutional Portfolios — Macquarie High Yield Bond Portfolio (Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Healthcare (continued) | |||
HCA | |||
5.375% 2/1/25 | 525,000 | $590,218 | |
7.58% 9/15/25 | 130,000 | 158,600 | |
Jaguar Holding II | |||
144A 4.625% 6/15/25 # | 110,000 | 115,542 | |
144A 5.00% 6/15/28 # | 195,000 | 206,987 | |
ModivCare 144A 5.875% 11/15/25 # | 205,000 | 217,684 | |
Ortho-Clinical Diagnostics | |||
144A 7.25% 2/1/28 # | 215,000 | 230,453 | |
144A 7.375% 6/1/25 # | 220,000 | 235,812 | |
Surgery Center Holdings 144A 10.00% 4/15/27 # | 120,000 | 132,825 | |
Tenet Healthcare | |||
144A 6.125% 10/1/28 # | 385,000 | 402,849 | |
6.75% 6/15/23 | 125,000 | 135,750 | |
6.875% 11/15/31 | 195,000 | 211,294 | |
4,122,226 | |||
Insurance — 1.31% | |||
AssuredPartners 144A 5.625% 1/15/29 # | 95,000 | 96,544 | |
GTCR AP Finance 144A 8.00% 5/15/27 # | 65,000 | 70,200 | |
HUB International 144A 7.00% 5/1/26 # | 275,000 | 285,589 | |
USI 144A 6.875% 5/1/25 # | 335,000 | 341,427 | |
793,760 | |||
Media — 6.73% | |||
AMC Networks 4.25% 2/15/29 | 225,000 | 224,271 | |
Beasley Mezzanine Holdings 144A 8.625% 2/1/26 # | 285,000 | 287,138 | |
CCO Holdings | |||
144A 4.50% 8/15/30 # | 565,000 | 595,722 | |
144A 4.50% 5/1/32 # | 320,000 | 333,270 | |
144A 5.375% 6/1/29 # | 150,000 | 162,893 | |
CSC Holdings | |||
144A 4.625% 12/1/30 # | 600,000 | 612,831 | |
144A 5.75% 1/15/30 # | 420,000 | 451,374 | |
Cumulus Media New Holdings 144A 6.75% 7/1/26 # | 357,000 | 362,967 | |
Gray Television 144A 7.00% 5/15/27 # | 215,000 | 235,253 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Media (continued) | |||
Netflix 144A 4.875% 6/15/30 # | 125,000 | $152,109 | |
Nexstar Broadcasting 144A 4.75% 11/1/28 # | 165,000 | 170,259 | |
Terrier Media Buyer 144A 8.875% 12/15/27 # | 460,000 | 498,238 | |
4,086,325 | |||
Real Estate — 1.65% | |||
Global Net Lease 144A 3.75% 12/15/27 # | 300,000 | 305,733 | |
HAT Holdings I 144A 3.75% 9/15/30 # | 170,000 | 171,912 | |
Iron Mountain 144A 5.25% 7/15/30 # | 255,000 | 270,619 | |
MGM Growth Properties Operating Partnership 144A 3.875% 2/15/29 # | 250,000 | 254,687 | |
1,002,951 | |||
Services — 4.64% | |||
Covanta Holding 5.00% 9/1/30 | 95,000 | 99,869 | |
Gartner 144A 4.50% 7/1/28 # | 180,000 | 190,071 | |
H&E Equipment Services 144A 3.875% 12/15/28 # | 140,000 | 139,496 | |
Legends Hospitality Holding 144A 5.00% 2/1/26 # | 180,000 | 183,263 | |
Prime Security Services Borrower | |||
144A 5.75% 4/15/26 # | 240,000 | 263,052 | |
144A 6.25% 1/15/28 # | 315,000 | 335,919 | |
Sabre GLBL | |||
144A 7.375% 9/1/25 # | 160,000 | 172,640 | |
144A 9.25% 4/15/25 # | 140,000 | 166,278 | |
Stericycle 144A 3.875% 1/15/29 # | 335,000 | 344,631 | |
Tms International Holding 144A 7.25% 8/15/25 # | 110,000 | 112,200 | |
United Rentals North America | |||
3.875% 2/15/31 | 235,000 | 245,428 | |
4.875% 1/15/28 | 530,000 | 563,920 | |
2,816,767 | |||
Technology & Electronics — 3.97% | |||
Austin BidCo 144A 7.125% 12/15/28 # | 95,000 | 98,622 |
4 NQ-DPT-096 [1/21] 3/21 (1552031)
(Unaudited)
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Technology & Electronics (continued) | |||
Banff Merger Sub 144A 9.75% 9/1/26 # | 215,000 | $227,797 | |
Black Knight InfoServ 144A 3.625% 9/1/28 # | 195,000 | 197,574 | |
BY Crown Parent | |||
144A 4.25% 1/31/26 # | 195,000 | 200,119 | |
144A 7.375% 10/15/24 # | 338,000 | 343,105 | |
Camelot Finance 144A 4.50% 11/1/26 # | 180,000 | 187,538 | |
CommScope Technologies 144A 5.00% 3/15/27 # | 225,000 | 223,453 | |
Microchip Technology 144A 4.25% 9/1/25 # | 325,000 | 340,513 | |
SS&C Technologies 144A 5.50% 9/30/27 # | 348,000 | 368,970 | |
Verscend Escrow 144A 9.75% 8/15/26 # | 205,000 | 221,518 | |
2,409,209 | |||
Transportation — 3.48% | |||
Delta Air Lines | |||
144A 7.00% 5/1/25 # | 205,000 | 237,849 | |
7.375% 1/15/26 | 330,000 | 379,349 | |
Hawaiian Brand Intellectual Property 144A 5.75% 1/20/26 # | 280,000 | 291,900 | |
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 140,000 | 153,300 | |
Spirit Loyalty Cayman 144A 8.00% 9/20/25 # | 100,000 | 113,600 | |
Stena International 144A 6.125% 2/1/25 # | 200,000 | 196,700 | |
United Airlines Holdings 4.875% 1/15/25 | 450,000 | 434,484 | |
VistaJet Malta Finance 144A 10.50% 6/1/24 # | 300,000 | 307,500 | |
2,114,682 | |||
Utilities — 1.78% | |||
Calpine | |||
144A 4.625% 2/1/29 # | 45,000 | 45,518 | |
144A 5.00% 2/1/31 # | 235,000 | 241,815 | |
PG&E 5.25% 7/1/30 | 334,000 | 367,818 | |
Vistra Operations | |||
144A 5.50% 9/1/26 # | 54,000 | 56,211 | |
144A 5.625% 2/15/27 # | 350,000 | 369,729 | |
1,081,091 | |||
Total Corporate Bonds (cost $49,144,193) | 51,302,706 | ||
Principal amount° | Value (US $) | ||
Loan Agreements — 8.66% | |||
Applied Systems 2nd Lien 8.00% (LIBOR03M + 7.00%) 9/19/25 • | 878,290 | $887,805 | |
Apro 5.00% (LIBOR03M + 4.00%) 11/14/26 • | 401,869 | 404,381 | |
Blue Ribbon 1st Lien 5.00% (LIBOR03M + 4.00%) 11/15/21 • | 111,356 | 107,626 | |
Boxer Parent 4.371% (LIBOR01M + 4.25%) 10/2/25 • | 99,722 | 99,701 | |
BW Gas & Convenience Holdings 6.38% (LIBOR01M + 6.25%) 11/18/24 • | 286,641 | 291,657 | |
BWay Holding 3.381% (LIBOR03M + 3.25%) 4/3/24 • | 547,195 | 538,075 | |
Carnival 8.50% (LIBOR01M + 7.50%) 6/30/25 • | 245,201 | 253,599 | |
Epicor Software 2nd Lien 8.75% (LIBOR01M + 7.75%) 7/31/28 • | 131,000 | 137,632 | |
Frontier Communications 5.75% (LIBOR01M + 4.75%) 10/8/21 • | 165,000 | 165,722 | |
Global Medical Response 5.75% (LIBOR03M + 4.75%) 10/2/25 • | 405,000 | 405,759 | |
Hamilton Projects Acquiror 5.75% (LIBOR03M + 4.75%) 6/17/27 • | 173,689 | 175,570 | |
Informatica 2nd Lien 7.125% 2/25/25 • | 175,000 | 179,594 | |
Solenis International 2nd Lien 8.733% (LIBOR03M + 8.50%) 6/26/26 • | 387,647 | 388,293 | |
Surgery Center Holdings 4.25% (LIBOR01M + 3.25%) 9/2/24 • | 255,465 | 254,370 | |
Ultimate Software Group 2nd Lien 7.50% (LIBOR03M + 6.75%) 5/3/27 • | 435,000 | 452,400 | |
Vantage Specialty Chemicals 1st lien TBD 10/28/24 X | 90,000 | 87,000 | |
Vantage Specialty Chemicals 2nd Lien 9.25% (LIBOR03M + 8.25%) 10/27/25 • | 217,000 | 202,353 |
NQ-DPT-096 [1/21] 3/21 (1552031) 5
Schedule of investments
Macquarie Institutional Portfolios — Macquarie High Yield Bond Portfolio (Unaudited)
Principal amount° | Value (US $) | ||
Loan Agreements (continued) | |||
Verscend Holding Tranche B 4.621% (LIBOR01M + 4.50%) 8/27/25 • | 226,800 | $227,367 | |
Total Loan Agreements (cost $5,193,616) | 5,258,904 |
Number of shares | |||
Common Stock — 0.00% | |||
Century Communications =, † | 60,000 | 0 | |
Total Common Stock (cost $1,816) | 0 | ||
Short-Term Investments — 10.23% | |||
Money Market Mutual Funds — 10.23% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.01%) | 1,553,221 | 1,553,221 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 1,553,220 | 1,553,220 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.02%) | 1,553,220 | 1,553,220 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 1,553,221 | 1,553,221 | |
Total Short-Term Investments (cost $6,212,882) | 6,212,882 | ||
Total Value of Securities—103.63% (cost $60,691,888) | 62,917,365 | ||
Liabilities Net of Receivables and Other Assets—(3.63%) | (2,202,677) | ||
Net Assets Applicable to 8,517,207 Shares Outstanding—100.00% | $60,714,688 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At January 31, 2021, the aggregate value of Rule 144A securities was $33,650,091, which represents 55.42% of the Portfolio's net assets. |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at January 31, 2021. Rate will reset at a future date. |
ψ | Perpetual security. Maturity date represents next call date. |
« | PIK. The first payment of cash and/or principal will be made on October 1, 2021. |
> | PIK. 100% of the income received was in the form of cash. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at January 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
X | This loan will settle after January 31, 2021, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security. |
† | Non-income producing security. |
Summary of abbreviations: |
DIFC – Dubai International Financial Centre |
GS – Goldman Sachs |
ICE – Intercontinental Exchange, Inc. |
LIBOR – London interbank offered rate |
LIBOR01M – ICE LIBOR USD 1 Month |
LIBOR03M – ICE LIBOR USD 3 Month |
LIBOR06M – ICE LIBOR USD 6 Month |
PIK – Payment-in-kind |
TBD – To be determined |
USD – US Dollar |
6 NQ-DPT-096 [1/21] 3/21 (1552031)