MainStay VP Balanced Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Principal Amount | Value | |
Long-Term Bonds 31.5% | ||
Asset-Backed Securities 4.0% | ||
Automobile Asset-Backed Security 0.1% | ||
Ford Credit Floorplan Master Owner Trust | ||
Series 2018-4, Class A | ||
4.06%, due 11/15/30 | $ 350,000 | $ 397,536 |
Other Asset-Backed Securities 3.9% | ||
AIG CLO LLC | ||
Series 2020-1A, Class AR | ||
1.279% (3 Month LIBOR + 1.16%), due 4/15/34 (a)(b) | 600,000 | 600,184 |
Apidos CLO XXV | ||
Series 2016-25A, Class A1R | ||
1.304% (3 Month LIBOR + 1.17%), due 10/20/31 (a)(b) | 400,000 | 400,008 |
Apidos CLO XXX | ||
Series XXXA, Class A2 | ||
1.734% (3 Month LIBOR + 1.60%), due 10/18/31 (a)(b) | 650,000 | 650,011 |
Apidos CLO XXXII | ||
Series 2019-32A, Class A1 | ||
1.454% (3 Month LIBOR + 1.32%), due 1/20/33 (a)(b) | 500,000 | 500,278 |
ARES L CLO Ltd. | ||
Series 2018-50A, Class AR | ||
1.176% (3 Month LIBOR + 1.05%), due 1/15/32 (a)(b) | 700,000 | 700,277 |
ARES XXXVIII CLO Ltd. | ||
Series 2015-38A, Class BR | ||
1.534% (3 Month LIBOR + 1.40%), due 4/20/30 (a)(b) | 400,000 | 396,493 |
Battalion CLO Ltd. | ||
Series 2021-21A, Class A | ||
1.312% (3 Month LIBOR + 1.18%), due 7/15/34 (a)(b) | 700,000 | 700,369 |
Benefit Street Partners CLO XVIII Ltd. | ||
Series 2019-18A, Class A | ||
1.466% (3 Month LIBOR + 1.34%), due 10/15/32 (a)(b) | 250,000 | 250,109 |
CAL Funding IV Ltd. | ||
Series 2020-1A, Class A | ||
2.22%, due 9/25/45 (a) | 686,250 | 692,206 |
Carlyle Global Market Strategies CLO Ltd. | ||
Series 2013-3A, Class A2R | ||
1.526% (3 Month LIBOR + 1.40%), due 10/15/30 (a)(b) | 800,000 | 799,614 |
Carlyle US CLO Ltd. | ||
Series 2021-5A, Class B | ||
1.735% (3 Month LIBOR + 1.60%), due 7/20/34 (a)(b) | 500,000 | 500,267 |
Cedar Funding XII CLO Ltd. | ||
Series 2020-12A, Class A | ||
1.395% (3 Month LIBOR + 1.27%), due 10/25/32 (a)(b) | 500,000 | 500,044 |
Dryden 76 CLO Ltd. | ||
Series 2019-76A, Class A1 | ||
1.464% (3 Month LIBOR + 1.33%), due 10/20/32 (a)(b) | 250,000 | 250,068 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities | ||
Global SC Finance SRL | ||
Series 2021-2A, Class A | ||
1.95%, due 8/17/41 (a) | $ 495,781 | $ 495,780 |
Magnetite XVIII Ltd. | ||
Series 2016-18A, Class AR | ||
1.205% (3 Month LIBOR + 1.08%), due 11/15/28 (a)(b) | 400,000 | 400,024 |
Magnetite XXIII Ltd. | ||
Series 2019-23A, Class A | ||
1.425% (3 Month LIBOR + 1.30%), due 10/25/32 (a)(b) | 250,000 | 250,079 |
Neuberger Berman Loan Advisers CLO 35 Ltd. | ||
Series 2019-35A, Class A1 | ||
1.474% (3 Month LIBOR + 1.34%), due 1/19/33 (a)(b) | 600,000 | 600,533 |
Neuberger Berman Loan Advisers CLO 37 Ltd. | ||
Series 2020-37A, Class BR | ||
1.584% (3 Month LIBOR + 1.45%), due 7/20/31 (a)(b) | 500,000 | 500,123 |
Octagon Investment Partners 29 Ltd. | ||
Series 2016-1A, Class AR | ||
1.305% (3 Month LIBOR + 1.18%), due 1/24/33 (a)(b) | 350,000 | 349,682 |
Palmer Square CLO Ltd. (a)(b) | ||
Series 2014-1A, Class A1R2 | ||
1.264% (3 Month LIBOR + 1.13%), due 1/17/31 | 250,000 | 250,074 |
Series 2015-2A, Class A2R2 | ||
1.684% (3 Month LIBOR + 1.55%), due 7/20/30 | 750,000 | 750,102 |
Palmer Square Loan Funding Ltd. | ||
Series 2021-3A, Class A2 | ||
1.571% (3 Month LIBOR + 1.40%), due 7/20/29 (a)(b) | 500,000 | 500,258 |
Progress Residential | ||
Series 2021-SFR3, Class A | ||
1.637%, due 5/17/26 (a) | 498,827 | 500,433 |
Regatta XIV Funding Ltd. | ||
Series 2018-3A, Class A | ||
1.315% (3 Month LIBOR + 1.19%), due 10/25/31 (a)(b) | 600,000 | 600,028 |
Regatta XV Funding Ltd. | ||
Series 2018-4A, Class A1 | ||
1.355% (3 Month LIBOR + 1.23%), due 10/25/31 (a)(b) | 250,000 | 250,102 |
STORE Master Funding LLC | ||
Series 2021-1A, Class A1 | ||
2.12%, due 6/20/51 (a) | 243,445 | 244,205 |
Textainer Marine Containers Ltd. | ||
Series 2021-3A, Class A | ||
1.94%, due 8/20/46 (a) | 496,667 | 491,929 |
THL Credit Wind River CLO Ltd. | ||
Series 2017-4A, Class A | ||
1.281% (3 Month LIBOR + 1.15%), due 11/20/30 (a)(b) | 250,000 | 250,018 |
Tiaa CLO III Ltd. | ||
Series 2017-2A, Class A | ||
1.276% (3 Month LIBOR + 1.15%), due 1/16/31 (a)(b) | 350,000 | 348,393 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities | ||
Trestles CLO IV Ltd. | ||
Series 2021-4A, Class A | ||
1.291% (3 Month LIBOR + 1.17%), due 7/21/34 (a)(b) | $ 300,000 | $ 299,822 |
Vantage Data Centers LLC | ||
Series 2020-1A, Class A2 | ||
1.645%, due 9/15/45 (a) | 725,000 | 722,797 |
Wellfleet CLO Ltd. | ||
Series 2021-2A, Class A1 | ||
1.328% (3 Month LIBOR + 1.20%), due 7/15/34 (a)(b) | 373,333 | 373,531 |
15,117,841 | ||
Total Asset-Backed Securities (Cost $15,516,829) | 15,515,377 | |
Corporate Bonds 13.9% | ||
Aerospace & Defense 0.3% | ||
Boeing Co. (The) | ||
3.10%, due 5/1/26 | 240,000 | 253,674 |
3.25%, due 2/1/28 | 325,000 | 343,293 |
3.625%, due 2/1/31 | 375,000 | 401,441 |
998,408 | ||
Apparel 0.0% ‡ | ||
Ralph Lauren Corp. | ||
1.70%, due 6/15/22 | 175,000 | 176,758 |
Auto Manufacturers 1.0% | ||
Daimler Finance North America LLC | ||
2.625%, due 3/10/30 (a) | 250,000 | 256,544 |
Ford Motor Credit Co. LLC | ||
3.087%, due 1/9/23 | 425,000 | 431,248 |
3.664%, due 9/8/24 | 725,000 | 748,562 |
General Motors Financial Co., Inc. | ||
1.05%, due 3/8/24 | 200,000 | 200,866 |
1.50%, due 6/10/26 | 1,275,000 | 1,267,273 |
Hyundai Capital America (a) | ||
1.80%, due 1/10/28 | 225,000 | 220,224 |
2.375%, due 10/15/27 | 375,000 | 380,073 |
Nissan Motor Co. Ltd. | ||
4.81%, due 9/17/30 (a) | 275,000 | 309,293 |
3,814,083 | ||
Banks 3.0% | ||
Banco Santander SA | ||
1.722% (1 Year Treasury Constant Maturity Rate + 0.90%), due 9/14/27 (b) | 600,000 | 597,212 |
Bank of America Corp. | ||
2.087%, due 6/14/29 (c) | 2,455,000 | 2,451,060 |
Principal Amount | Value | |
Corporate Bonds | ||
Banks | ||
BNP Paribas SA (a) | ||
2.159%, due 9/15/29 (c) | $ 200,000 | $ 198,107 |
2.588% (5 Year Treasury Constant Maturity Rate + 2.05%), due 8/12/35 (b) | 435,000 | 421,827 |
Citigroup, Inc. | ||
3.20%, due 10/21/26 | 930,000 | 1,002,703 |
Goldman Sachs Group, Inc. (The) | ||
1.542%, due 9/10/27 (c) | 500,000 | 497,999 |
JPMorgan Chase & Co. | ||
1.578%, due 4/22/27 (c) | 1,230,000 | 1,232,494 |
Lloyds Banking Group plc | ||
0.695% (1 Year Treasury Constant Maturity Rate + 0.55%), due 5/11/24 (b) | 430,000 | 431,111 |
Morgan Stanley | ||
2.484%, due 9/16/36 (c) | 300,000 | 293,618 |
3.625%, due 1/20/27 | 350,000 | 385,818 |
4.35%, due 9/8/26 | 820,000 | 925,542 |
NatWest Markets plc | ||
0.80%, due 8/12/24 (a) | 1,425,000 | 1,421,993 |
Societe Generale SA | ||
1.792% (1 Year Treasury Constant Maturity Rate + 1.00%), due 6/9/27 (a)(b) | 350,000 | 348,101 |
Standard Chartered plc | ||
0.991% (1 Year Treasury Constant Maturity Rate + 0.78%), due 1/12/25 (a)(b) | 200,000 | 199,304 |
Sumitomo Mitsui Trust Bank Ltd. | ||
1.35%, due 9/16/26 (a) | 625,000 | 623,885 |
Truist Financial Corp. | ||
1.267%, due 3/2/27 (c) | 375,000 | 373,667 |
UBS Group AG | ||
1.364% (1 Year Treasury Constant Maturity Rate + 1.08%), due 1/30/27 (a)(b) | 475,000 | 470,572 |
11,875,013 | ||
Beverages 0.3% | ||
Anheuser-Busch InBev Worldwide, Inc. | ||
4.75%, due 1/23/29 | 760,000 | 894,731 |
Diageo Capital plc | ||
2.125%, due 4/29/32 | 325,000 | 323,166 |
1,217,897 | ||
Building Materials 0.3% | ||
Martin Marietta Materials, Inc. | ||
3.45%, due 6/1/27 | 425,000 | 462,815 |
Owens Corning | ||
3.95%, due 8/15/29 | 700,000 | 781,007 |
1,243,822 | ||
Chemicals 0.2% | ||
International Flavors & Fragrances, Inc. | ||
1.832%, due 10/15/27 (a) | 275,000 | 275,404 |
LYB International Finance III LLC | ||
1.25%, due 10/1/25 | 175,000 | 174,850 |
Principal Amount | Value | |
Corporate Bonds | ||
Chemicals | ||
NewMarket Corp. | ||
4.10%, due 12/15/22 | $ 525,000 | $ 546,020 |
996,274 | ||
Commercial Services 0.1% | ||
Ashtead Capital, Inc. | ||
2.45%, due 8/12/31 (a) | 450,000 | 442,366 |
Diversified Financial Services 1.4% | ||
Air Lease Corp. | ||
0.70%, due 2/15/24 | 1,150,000 | 1,142,769 |
Aircastle Ltd. | ||
2.85%, due 1/26/28 (a) | 500,000 | 506,380 |
Antares Holdings LP | ||
3.95%, due 7/15/26 (a) | 250,000 | 263,448 |
Aviation Capital Group LLC (a) | ||
1.95%, due 1/30/26 | 250,000 | 249,097 |
1.95%, due 9/20/26 | 475,000 | 469,963 |
Blackstone Holdings Finance Co. LLC | ||
1.625%, due 8/5/28 (a) | 350,000 | 342,036 |
BOC Aviation USA Corp. | ||
1.625%, due 4/29/24 (a) | 400,000 | 403,074 |
GE Capital Funding LLC | ||
4.40%, due 5/15/30 | 1,440,000 | 1,668,556 |
LSEGA Financing plc | ||
2.00%, due 4/6/28 (a) | 400,000 | 401,595 |
Thirax 1 LLC | ||
0.968%, due 1/14/33 | 216,252 | 212,959 |
5,659,877 | ||
Electric 1.2% | ||
Commonwealth Edison Co. | ||
3.10%, due 11/1/24 | 250,000 | 265,036 |
DTE Electric Co. | ||
2.65%, due 6/15/22 | 500,000 | 505,431 |
DTE Energy Co. | ||
Series F | ||
1.05%, due 6/1/25 | 250,000 | 248,028 |
Entergy Arkansas LLC | ||
3.70%, due 6/1/24 | 500,000 | 535,792 |
Entergy Corp. | ||
4.00%, due 7/15/22 | 1,000,000 | 1,021,835 |
FirstEnergy Transmission LLC | ||
4.35%, due 1/15/25 (a) | 700,000 | 761,190 |
Pinnacle West Capital Corp. | ||
1.30%, due 6/15/25 | 625,000 | 625,874 |
Principal Amount | Value | |
Corporate Bonds | ||
Electric | ||
Southern California Edison Co. | ||
Series 20C | ||
1.20%, due 2/1/26 | $ 400,000 | $ 396,437 |
Tampa Electric Co. | ||
2.40%, due 3/15/31 | 225,000 | 228,103 |
4,587,726 | ||
Electrical Components & Equipment 0.1% | ||
Emerson Electric Co. | ||
1.80%, due 10/15/27 | 400,000 | 407,747 |
Electronics 0.1% | ||
Flex Ltd. | ||
3.75%, due 2/1/26 | 275,000 | 299,257 |
Food 0.1% | ||
Conagra Brands, Inc. | ||
4.85%, due 11/1/28 | 450,000 | 527,850 |
Forest Products & Paper 0.1% | ||
Georgia-Pacific LLC | ||
0.95%, due 5/15/26 (a) | 225,000 | 222,115 |
Healthcare-Services 0.3% | ||
Fresenius Medical Care U.S. Finance III, Inc. (a) | ||
1.875%, due 12/1/26 | 225,000 | 226,103 |
2.375%, due 2/16/31 | 1,025,000 | 994,568 |
1,220,671 | ||
Home Builders 0.1% | ||
MDC Holdings, Inc. | ||
2.50%, due 1/15/31 | 225,000 | 219,278 |
Insurance 0.3% | ||
Brighthouse Financial Global Funding | ||
1.00%, due 4/12/24 (a) | 975,000 | 979,855 |
Principal Life Global Funding II | ||
1.25%, due 8/16/26 (a) | 350,000 | 347,829 |
1,327,684 | ||
Investment Companies 0.2% | ||
Blackstone Secured Lending Fund | ||
2.125%, due 2/15/27 (a) | 175,000 | 173,042 |
2.75%, due 9/16/26 | 250,000 | 255,230 |
Prospect Capital Corp. | ||
3.437%, due 10/15/28 | 475,000 | 461,996 |
890,268 |
Principal Amount | Value | |
Corporate Bonds | ||
Iron & Steel 0.1% | ||
Nucor Corp. | ||
2.00%, due 6/1/25 | $ 275,000 | $ 283,091 |
Media 0.2% | ||
Charter Communications Operating LLC | ||
2.25%, due 1/15/29 (d) | 325,000 | 324,744 |
Thomson Reuters Corp. | ||
3.85%, due 9/29/24 | 300,000 | 322,579 |
647,323 | ||
Mining 0.3% | ||
Anglo American Capital plc (a) | ||
2.25%, due 3/17/28 | 525,000 | 521,842 |
5.625%, due 4/1/30 | 400,000 | 482,770 |
1,004,612 | ||
Oil & Gas 0.2% | ||
Valero Energy Corp. | ||
2.85%, due 4/15/25 | 675,000 | 710,885 |
Oil & Gas Services 0.2% | ||
Schlumberger Holdings Corp. | ||
3.75%, due 5/1/24 (a) | 925,000 | 988,222 |
Packaging & Containers 0.3% | ||
WRKCo, Inc. | ||
3.75%, due 3/15/25 | 925,000 | 1,001,026 |
Pharmaceuticals 0.5% | ||
AbbVie, Inc. | ||
2.95%, due 11/21/26 | 600,000 | 642,688 |
Bayer US Finance II LLC | ||
4.375%, due 12/15/28 (a) | 600,000 | 679,302 |
Cigna Corp. | ||
2.375%, due 3/15/31 | 250,000 | 252,272 |
CVS Health Corp. | ||
1.875%, due 2/28/31 | 490,000 | 473,379 |
2,047,641 | ||
Pipelines 0.4% | ||
Energy Transfer Partners LP | ||
5.875%, due 3/1/22 | 1,150,000 | 1,159,752 |
Texas Eastern Transmission LP | ||
2.80%, due 10/15/22 (a) | 225,000 | 228,920 |
1,388,672 |
Principal Amount | Value | |
Corporate Bonds | ||
Real Estate Investment Trusts 1.4% | ||
American Campus Communities Operating Partnership LP | ||
3.30%, due 7/15/26 | $ 900,000 | $ 963,490 |
Brixmor Operating Partnership LP | ||
2.50%, due 8/16/31 | 150,000 | 147,790 |
Crown Castle International Corp. | ||
1.05%, due 7/15/26 | 685,000 | 670,402 |
Highwoods Realty LP | ||
3.875%, due 3/1/27 | 1,350,000 | 1,492,776 |
Kimco Realty Corp. | ||
1.90%, due 3/1/28 | 225,000 | 224,977 |
2.80%, due 10/1/26 | 500,000 | 530,324 |
Simon Property Group LP | ||
1.75%, due 2/1/28 | 375,000 | 372,187 |
Spirit Realty LP | ||
2.70%, due 2/15/32 | 175,000 | 173,501 |
VEREIT Operating Partnership LP | ||
3.95%, due 8/15/27 | 890,000 | 997,631 |
5,573,078 | ||
Retail 0.2% | ||
Advance Auto Parts, Inc. | ||
1.75%, due 10/1/27 | 150,000 | 149,344 |
CK Hutchison International 21 Ltd. | ||
1.50%, due 4/15/26 (a) | 375,000 | 375,098 |
Walmart, Inc. | ||
1.50%, due 9/22/28 | 400,000 | 398,275 |
922,717 | ||
Semiconductors 0.1% | ||
Skyworks Solutions, Inc. | ||
1.80%, due 6/1/26 | 300,000 | 303,975 |
Software 0.1% | ||
VMware, Inc. | ||
2.20%, due 8/15/31 | 425,000 | 415,552 |
Telecommunications 0.8% | ||
AT&T, Inc. | ||
4.35%, due 3/1/29 | 775,000 | 888,630 |
T-Mobile US, Inc. | ||
2.55%, due 2/15/31 | 825,000 | 827,940 |
Verizon Communications, Inc. | ||
2.10%, due 3/22/28 | 350,000 | 355,282 |
Principal Amount | Value | |
Corporate Bonds | ||
Telecommunications | ||
Verizon Communications, Inc. | ||
3.376%, due 2/15/25 | $ 6,000 | $ 6,493 |
4.016%, due 12/3/29 | 912,000 | 1,033,396 |
3,111,741 | ||
Total Corporate Bonds (Cost $53,311,656) | 54,525,629 | |
Foreign Government Bonds 0.1% | ||
Philippines 0.1% | ||
Philippine Government Bond | ||
3.00%, due 2/1/28 | 200,000 | 213,341 |
Poland 0.0% ‡ | ||
Poland Government Bond | ||
5.00%, due 3/23/22 | 50,000 | 51,067 |
Total Foreign Government Bonds (Cost $244,930) | 264,408 | |
Mortgage-Backed Securities 0.5% | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) 0.5% | ||
BFLD Trust | ||
Series 2021-FPM, Class A | ||
1.684% (1 Month LIBOR + 1.60%), due 6/15/38 (a)(b) | 500,000 | 500,301 |
Citigroup Commercial Mortgage Trust | ||
Series 2020-420K, Class A | ||
2.456%, due 11/10/42 (a) | 500,000 | 501,187 |
Series 2020-GC46, Class A5 | ||
2.717%, due 2/15/53 | 500,000 | 524,555 |
CSMC WEST Trust | ||
Series 2020-WEST, Class A | ||
3.04%, due 2/15/35 (a) | 500,000 | 520,965 |
Total Mortgage-Backed Securities (Cost $2,033,589) | 2,047,008 | |
U.S. Government & Federal Agencies 13.0% | ||
Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) 3.9% | ||
FFCB | ||
1.14%, due 8/20/29 | 800,000 | 779,893 |
1.23%, due 9/10/29 | 1,000,000 | 980,850 |
1.25%, due 6/24/30 | 925,000 | 895,490 |
1.67%, due 3/3/31 | 650,000 | 645,213 |
1.70%, due 4/28/31 | 1,040,000 | 1,031,335 |
1.73%, due 9/2/31 | 350,000 | 341,785 |
1.73%, due 9/22/31 | 500,000 | 494,983 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) | ||
FFCB | ||
1.77%, due 2/4/31 | $ 350,000 | $ 348,825 |
1.84%, due 10/27/31 | 700,000 | 697,567 |
1.85%, due 8/18/31 | 600,000 | 596,293 |
1.91%, due 6/1/33 | 700,000 | 680,685 |
2.00%, due 9/27/33 | 400,000 | 398,108 |
2.03%, due 1/21/28 | 850,000 | 895,508 |
2.04%, due 4/14/31 | 475,000 | 474,891 |
2.13%, due 4/19/34 | 450,000 | 445,279 |
2.15%, due 3/7/36 | 560,000 | 557,313 |
2.15%, due 9/15/36 | 560,000 | 543,468 |
2.29%, due 6/28/34 | 550,000 | 548,557 |
2.49%, due 6/30/36 | 550,000 | 550,146 |
2.70%, due 6/21/41 | 350,000 | 351,210 |
FHLB | ||
1.50%, due 9/11/29 | 600,000 | 594,177 |
1.62%, due 4/5/30 | 375,000 | 373,444 |
2.00%, due 5/12/31 | 700,000 | 698,690 |
3.125%, due 9/12/25 | 800,000 | 874,343 |
FHLMC | ||
1.42%, due 12/30/30 | 725,000 | 708,029 |
15,506,082 | ||
United States Treasury Notes 9.1% | ||
U.S. Treasury Notes | ||
0.25%, due 9/30/23 | 1,400,000 | 1,398,906 |
0.375%, due 9/15/24 | 14,440,000 | 14,377,953 |
0.875%, due 9/30/26 | 13,010,000 | 12,939,868 |
1.25%, due 9/30/28 | 3,140,000 | 3,126,753 |
1.25%, due 8/15/31 | 3,727,600 | 3,637,322 |
35,480,802 | ||
Total U.S. Government & Federal Agencies (Cost $51,122,736) | 50,986,884 | |
Total Long-Term Bonds (Cost $122,229,740) | 123,339,306 | |
Shares | ||
Common Stocks 61.9% | ||
Aerospace & Defense 3.4% | ||
General Dynamics Corp. | 16,272 | 3,189,800 |
L3Harris Technologies, Inc. | 15,208 | 3,349,410 |
Lockheed Martin Corp. | 7,325 | 2,527,858 |
Raytheon Technologies Corp. | 47,299 | 4,065,822 |
13,132,890 |
Shares | Value | |
Common Stocks | ||
Auto Components 1.0% | ||
Gentex Corp. | 112,784 | $ 3,719,616 |
Banks 7.2% | ||
Bank of America Corp. | 155,713 | 6,610,017 |
JPMorgan Chase & Co. | 61,218 | 10,020,774 |
M&T Bank Corp. | 25,327 | 3,782,334 |
PNC Financial Services Group, Inc. (The) | 22,191 | 4,341,447 |
Truist Financial Corp. | 60,718 | 3,561,111 |
28,315,683 | ||
Beverages 0.9% | ||
Keurig Dr Pepper, Inc. | 98,648 | 3,369,816 |
Building Products 1.5% | ||
Fortune Brands Home & Security, Inc. | 28,037 | 2,507,069 |
Johnson Controls International plc | 50,278 | 3,422,926 |
5,929,995 | ||
Capital Markets 3.0% | ||
ARES Management Corp. | 40,019 | 2,954,603 |
LPL Financial Holdings, Inc. | 23,776 | 3,727,126 |
Morgan Stanley | 50,554 | 4,919,409 |
11,601,138 | ||
Chemicals 2.1% | ||
Axalta Coating Systems Ltd. (e) | 87,743 | 2,561,218 |
Celanese Corp. | 23,185 | 3,492,588 |
FMC Corp. | 24,035 | 2,200,645 |
8,254,451 | ||
Communications Equipment 2.7% | ||
Cisco Systems, Inc. | 125,277 | 6,818,827 |
F5 Networks, Inc. (e) | 18,256 | 3,628,928 |
10,447,755 | ||
Containers & Packaging 0.8% | ||
Sealed Air Corp. | 59,159 | 3,241,322 |
Electric Utilities 1.6% | ||
Entergy Corp. | 25,686 | 2,550,877 |
Exelon Corp. | 72,781 | 3,518,233 |
6,069,110 | ||
Electrical Equipment 0.7% | ||
Hubbell, Inc. | 15,832 | 2,860,367 |
Electronic Equipment, Instruments & Components 0.9% | ||
Corning, Inc. | 93,388 | 3,407,728 |
Shares | Value | |
Common Stocks | ||
Equity Real Estate Investment Trusts 1.8% | ||
Gaming and Leisure Properties, Inc. | 80,476 | $ 3,727,648 |
Host Hotels & Resorts, Inc. (e) | 191,736 | 3,131,049 |
6,858,697 | ||
Food Products 0.8% | ||
Mondelez International, Inc., Class A | 55,585 | 3,233,935 |
Health Care Equipment & Supplies 2.9% | ||
Becton Dickinson and Co. | 14,461 | 3,554,803 |
Boston Scientific Corp. (e) | 76,968 | 3,339,642 |
Medtronic plc | 37,058 | 4,645,220 |
11,539,665 | ||
Health Care Providers & Services 4.0% | ||
Anthem, Inc. | 13,773 | 5,134,574 |
Centene Corp. (e) | 52,132 | 3,248,345 |
UnitedHealth Group, Inc. | 18,946 | 7,402,960 |
15,785,879 | ||
Hotels, Restaurants & Leisure 0.6% | ||
Booking Holdings, Inc. (e) | 984 | 2,335,888 |
Household Durables 0.7% | ||
Lennar Corp., Class A | 31,202 | 2,923,003 |
Insurance 4.0% | ||
Assurant, Inc. | 20,514 | 3,236,083 |
Chubb Ltd. | 26,127 | 4,532,512 |
MetLife, Inc. | 80,238 | 4,953,092 |
Progressive Corp. (The) | 32,163 | 2,907,214 |
15,628,901 | ||
Interactive Media & Services 1.3% | ||
Alphabet, Inc., Class C (e) | 1,915 | 5,104,069 |
IT Services 2.3% | ||
Amdocs Ltd. | 39,168 | 2,965,409 |
Fidelity National Information Services, Inc. | 20,072 | 2,442,361 |
Global Payments, Inc. | 23,302 | 3,671,929 |
9,079,699 | ||
Machinery 0.7% | ||
Middleby Corp. (The) (e) | 16,725 | 2,851,780 |
Media 1.6% | ||
Comcast Corp., Class A | 114,892 | 6,425,910 |
Shares | Value | |
Common Stocks | ||
Multi-Utilities 1.6% | ||
Dominion Energy, Inc. | 43,881 | $ 3,204,191 |
Sempra Energy | 24,044 | 3,041,566 |
6,245,757 | ||
Oil, Gas & Consumable Fuels 1.5% | ||
Phillips 66 | 37,590 | 2,632,428 |
Pioneer Natural Resources Co. | 20,390 | 3,395,139 |
6,027,567 | ||
Pharmaceuticals 5.5% | ||
AstraZeneca plc, Sponsored ADR | 56,441 | 3,389,846 |
Eli Lilly and Co. | 17,856 | 4,125,629 |
Merck & Co., Inc. | 62,054 | 4,660,876 |
Pfizer, Inc. | 152,997 | 6,580,401 |
Roche Holding AG | 7,687 | 2,805,015 |
21,561,767 | ||
Real Estate Management & Development 0.8% | ||
CBRE Group, Inc., Class A (e) | 31,663 | 3,082,710 |
Road & Rail 0.9% | ||
Knight-Swift Transportation Holdings, Inc. | 69,297 | 3,544,542 |
Semiconductors & Semiconductor Equipment 3.1% | ||
Analog Devices, Inc. | 20,721 | 3,470,353 |
KLA Corp. | 6,996 | 2,340,232 |
Micron Technology, Inc. | 45,026 | 3,195,945 |
Qorvo, Inc. (e) | 18,893 | 3,158,721 |
12,165,251 | ||
Software 0.6% | ||
VMware, Inc., Class A (e)(f) | 15,304 | 2,275,705 |
Specialty Retail 1.4% | ||
Home Depot, Inc. (The) | 7,897 | 2,592,269 |
TJX Cos., Inc. (The) | 44,039 | 2,905,693 |
5,497,962 | ||
Total Common Stocks (Cost $231,860,821) | 242,518,558 | |
Exchange-Traded Funds 4.9% | ||
iShares Intermediate Government/Credit Bond ETF | 102,331 | 11,781,368 |
iShares Russell 1000 Value ETF | 47,818 | 7,483,995 |
Total Exchange-Traded Funds (Cost $18,506,015) | 19,265,363 |
Shares | Value | ||
Short-Term Investments 1.4% | |||
Affiliated Investment Company 0.8% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (g) | 3,103,849 | $ 3,103,849 | |
Unaffiliated Investment Company 0.6% | |||
Wells Fargo Government Money Market Fund, 0.025% (g)(h) | 2,349,794 | 2,349,794 | |
Total Short-Term Investments (Cost $5,453,643) | 5,453,643 | ||
Total Investments (Cost $378,050,219) | 99.7% | 390,576,870 | |
Other Assets, Less Liabilities | 0.3 | 1,026,634 | |
Net Assets | 100.0% | $ 391,603,504 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
(b) | Floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(c) | Fixed to floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(d) | Delayed delivery security. |
(e) | Non-income producing security. |
(f) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $2,275,556. The Portfolio received cash collateral with a value of $2,349,794. |
(g) | Current yield as of September 30, 2021. |
(h) | Represents a security purchased with cash collateral received for securities on loan. |
Futures Contracts
As of September 30, 2021, the Portfolio held the following futures contracts1:
Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 |
Long Contracts | |||||
U.S. Treasury 2 Year Notes | 69 | December 2021 | $ 15,195,265 | $ 15,183,773 | $ (11,492) |
U.S. Treasury 5 Year Notes | 18 | December 2021 | 2,215,218 | 2,209,359 | (5,859) |
U.S. Treasury 10 Year Notes | 18 | December 2021 | 2,394,378 | 2,368,969 | (25,409) |
Total Long Contracts | (42,760) | ||||
Short Contracts | |||||
U.S. Treasury 10 Year Ultra Bonds | (27) | December 2021 | (3,984,349) | (3,921,750) | 62,599 |
U.S. Treasury Long Bonds | (5) | December 2021 | (809,443) | (796,094) | 13,349 |
Total Short Contracts | 75,948 | ||||
Net Unrealized Appreciation | $ 33,188 |
1. | As of September 30, 2021, cash in the amount of $49,555 was on deposit with a broker or futures commission merchant for futures transactions. |
2. | Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2021. |
Abbreviation(s): |
ADR—American Depositary Receipt |
CLO—Collateralized Loan Obligation |
ETF—Exchange-Traded Fund |
FFCB—Federal Farm Credit Bank |
FHLB—Federal Home Loan Bank |
FHLMC—Federal Home Loan Mortgage Corp. |
LIBOR—London Interbank Offered Rate |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets and liabilities:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Long-Term Bonds | |||||||
Asset-Backed Securities | $ — | $ 15,515,377 | $ — | $ 15,515,377 | |||
Corporate Bonds | — | 54,525,629 | — | 54,525,629 | |||
Foreign Government Bonds | — | 264,408 | — | 264,408 | |||
Mortgage-Backed Securities | — | 2,047,008 | — | 2,047,008 | |||
U.S. Government & Federal Agencies | — | 50,986,884 | — | 50,986,884 | |||
Total Long-Term Bonds | — | 123,339,306 | — | 123,339,306 | |||
Common Stocks | |||||||
Pharmaceuticals | 18,756,752 | 2,805,015 | — | 21,561,767 | |||
All Other Industries | 220,956,791 | — | — | 220,956,791 | |||
Total Common Stocks | 239,713,543 | 2,805,015 | — | 242,518,558 | |||
Exchange-Traded Funds | 19,265,363 | — | — | 19,265,363 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 3,103,849 | — | — | 3,103,849 | |||
Unaffiliated Investment Company | 2,349,794 | — | — | 2,349,794 | |||
Total Short-Term Investments | 5,453,643 | — | — | 5,453,643 | |||
Total Investments in Securities | 264,432,549 | 126,144,321 | — | 390,576,870 | |||
Other Financial Instruments | |||||||
Futures Contracts (b) | 75,948 | — | — | 75,948 | |||
Total Investments in Securities and Other Financial Instruments | $ 264,508,497 | $ 126,144,321 | $ — | $ 390,652,818 | |||
Liability Valuation Inputs | |||||||
Other Financial Instruments | |||||||
Futures Contracts (b) | $ (42,760) | $ — | $ — | $ (42,760) |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
(b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP Bond Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Principal Amount | Value | |
Long-Term Bonds 99.2% | ||
Asset-Backed Securities 15.2% | ||
Automobile Asset-Backed Security 0.3% | ||
Ford Credit Floorplan Master Owner Trust | ||
Series 2018-4, Class A | ||
4.06%, due 11/15/30 | $ 2,245,000 | $ 2,549,912 |
Home Equity Asset-Backed Securities 0.1% | ||
Chase Funding Trust | ||
Series 2002-2, Class 1A5 | ||
6.333%, due 4/25/32 (a) | 40,636 | 41,236 |
JP Morgan Mortgage Acquisition Trust | ||
Series 2007-CH2, Class AF3 | ||
4.544%, due 10/25/30 (a) | 486,874 | 340,656 |
Morgan Stanley Mortgage Loan Trust | ||
Series 2006-17XS, Class A3A | ||
5.651%, due 10/25/46 (a) | 838,069 | 350,232 |
732,124 | ||
Other Asset-Backed Securities 14.8% | ||
522 Funding CLO Ltd. | ||
Series 2019-4A, Class BR | ||
1.734% (3 Month LIBOR + 1.60%), due 4/20/30 (b)(c) | 3,000,000 | 3,000,006 |
AIMCO CLO | ||
Series 2015-AA, Class BR | ||
1.426% (3 Month LIBOR + 1.30%), due 1/15/28 (b)(c) | 2,000,000 | 2,000,000 |
Aligned Data Centers Issuer LLC | ||
Series 2021-1A, Class A2 | ||
1.937%, due 8/15/46 (b) | 3,000,000 | 3,014,883 |
Apidos CLO XXV | ||
Series 2016-25A, Class A1R | ||
1.304% (3 Month LIBOR + 1.17%), due 10/20/31 (b)(c) | 1,300,000 | 1,300,026 |
Apidos CLO XXXII | ||
Series 2019-32A, Class A1 | ||
1.454% (3 Month LIBOR + 1.32%), due 1/20/33 (b)(c) | 2,200,000 | 2,201,223 |
ARES L CLO Ltd. | ||
Series 2018-50A, Class BR | ||
1.734% (3 Month LIBOR + 1.60%), due 1/15/32 (b)(c) | 2,000,000 | 2,000,946 |
ARES XXXIV CLO Ltd. | ||
Series 2015-2A, Class AR2 | ||
1.384% (3 Month LIBOR + 1.25%), due 4/17/33 (b)(c) | 2,000,000 | 2,001,100 |
ARES XXXVIII CLO Ltd. | ||
Series 2015-38A, Class BR | ||
1.534% (3 Month LIBOR + 1.40%), due 4/20/30 (b)(c) | 2,000,000 | 1,982,466 |
Battalion CLO 17 Ltd. | ||
Series 2021-17A, Class A1 | ||
1.394% (3 Month LIBOR + 1.26%), due 3/9/34 (b)(c) | 3,000,000 | 3,008,868 |
Battalion CLO Ltd. (b)(c) | ||
Series 2021-21A, Class A | ||
1.312% (3 Month LIBOR + 1.18%), due 7/15/34 | 2,000,000 | 2,001,054 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities | ||
Battalion CLO Ltd. (b)(c) | ||
Series 2021-21A, Class B | ||
1.882% (3 Month LIBOR + 1.75%), due 7/15/34 | $ 2,000,000 | $ 2,001,384 |
Benefit Street Partners CLO XIX Ltd. | ||
Series 2019-19A, Class A | ||
1.476% (3 Month LIBOR + 1.35%), due 1/15/33 (b)(c) | 1,500,000 | 1,501,002 |
Benefit Street Partners CLO XVIII Ltd. | ||
Series 2019-18A, Class A | ||
1.466% (3 Month LIBOR + 1.34%), due 10/15/32 (b)(c) | 1,000,000 | 1,000,436 |
CAL Funding IV Ltd. | ||
Series 2020-1A, Class A | ||
2.22%, due 9/25/45 (b) | 4,803,750 | 4,845,439 |
Carlyle US CLO Ltd. | ||
Series 2021-5A, Class B | ||
1.735% (3 Month LIBOR + 1.60%), due 7/20/34 (b)(c) | 3,000,000 | 3,001,602 |
CARS-DB5 LP | ||
Series 2021-1A, Class A3 | ||
1.92%, due 8/15/51 (b) | 2,500,000 | 2,499,378 |
Cedar Funding XII CLO Ltd. | ||
Series 2020-12A, Class A | ||
1.395% (3 Month LIBOR + 1.27%), due 10/25/32 (b)(c) | 2,600,000 | 2,600,226 |
College Avenue Student Loans LLC (b) | ||
Series 2021-A, Class A2 | ||
1.60%, due 7/25/51 | 2,827,459 | 2,813,985 |
Series 2021-B, Class B | ||
1.76%, due 6/25/52 | 3,081,480 | 3,075,409 |
Cook Park CLO Ltd. | ||
Series 2018-1A, Class B | ||
1.534% (3 Month LIBOR + 1.40%), due 4/17/30 (b)(c) | 3,000,000 | 3,000,021 |
Dryden 76 CLO Ltd. | ||
Series 2019-76A, Class A1 | ||
1.464% (3 Month LIBOR + 1.33%), due 10/20/32 (b)(c) | 1,875,000 | 1,875,506 |
Dryden 87 CLO Ltd. | ||
Series 2021-87A, Class B | ||
1.688% (3 Month LIBOR + 1.55%), due 5/20/34 (b)(c) | 3,000,000 | 2,995,530 |
Elmwood CLO VI Ltd. | ||
Series 2020-3A, Class AR | ||
1.284% (3 Month LIBOR + 1.16%), due 10/20/34 (b)(c)(d) | 2,500,000 | 2,500,000 |
Galaxy XXI CLO Ltd. | ||
Series 2015-21A, Class BR | ||
1.484% (3 Month LIBOR + 1.35%), due 4/20/31 (b)(c) | 1,500,000 | 1,498,460 |
Galaxy XXVI CLO Ltd. | ||
Series 2018-26A, Class A | ||
1.331% (3 Month LIBOR + 1.20%), due 11/22/31 (b)(c) | 1,500,000 | 1,500,039 |
Global SC Finance SRL | ||
Series 2021-2A, Class A | ||
1.95%, due 8/17/41 (b) | 3,371,307 | 3,371,307 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities | ||
Grippen Park CLO Ltd. | ||
Series 2017-1A, Class B | ||
1.784% (3 Month LIBOR + 1.65%), due 1/20/30 (b)(c) | $ 750,000 | $ 750,085 |
Kayne CLO 10 Ltd. | ||
Series 2021-10A, Class A | ||
1.36% (3 Month LIBOR + 1.17%), due 4/23/34 (b)(c) | 2,000,000 | 2,004,378 |
Magnetite CLO Ltd. | ||
Series 2021-31A, Class A1 | ||
1.228% (3 Month LIBOR + 1.10%), due 7/15/34 (b)(c) | 2,500,000 | 2,500,880 |
Magnetite XVIII Ltd. | ||
Series 2016-18A, Class AR | ||
1.205% (3 Month LIBOR + 1.08%), due 11/15/28 (b)(c) | 1,900,000 | 1,900,116 |
Magnetite XXIII Ltd. | ||
Series 2019-23A, Class A | ||
1.425% (3 Month LIBOR + 1.30%), due 10/25/32 (b)(c) | 1,000,000 | 1,000,317 |
Magnetite XXVIII Ltd. | ||
Series 2020-28A, Class B | ||
1.775% (3 Month LIBOR + 1.65%), due 10/25/31 (b)(c) | 2,500,000 | 2,500,843 |
Neuberger Berman CLO XIV Ltd. | ||
Series 2013-14A, Class BR2 | ||
1.632% (3 Month LIBOR + 1.50%), due 1/28/30 (b)(c) | 1,000,000 | 1,000,050 |
Neuberger Berman Loan Advisers CLO 24 Ltd. | ||
Series 2017-24A, Class BR | ||
1.634% (3 Month LIBOR + 1.50%), due 4/19/30 (b)(c) | 1,000,000 | 1,000,155 |
Neuberger Berman Loan Advisers CLO 33 Ltd. | ||
Series 2019-33A, Class BR | ||
1.722% (3 Month LIBOR + 1.60%), due 10/16/33 (b)(c)(d) | 3,000,000 | 3,000,315 |
Neuberger Berman Loan Advisers CLO 35 Ltd. | ||
Series 2019-35A, Class A1 | ||
1.474% (3 Month LIBOR + 1.34%), due 1/19/33 (b)(c) | 3,000,000 | 3,002,667 |
Oaktree CLO Ltd. (b)(c) | ||
Series 2015-1A, Class A2BR | ||
1.484% (3 Month LIBOR + 1.35%), due 10/20/27 | 1,000,000 | 1,000,064 |
Series 2020-1A, Class BR | ||
1.776% (3 Month LIBOR + 1.65%), due 7/15/34 | 2,000,000 | 2,001,064 |
Octagon Investment Partners 29 Ltd. | ||
Series 2016-1A, Class AR | ||
1.305% (3 Month LIBOR + 1.18%), due 1/24/33 (b)(c) | 1,200,000 | 1,198,909 |
Palmer Square CLO Ltd. (b)(c) | ||
Series 2014-1A, Class A1R2 | ||
1.264% (3 Month LIBOR + 1.13%), due 1/17/31 | 750,000 | 750,221 |
Series 2015-2A, Class A2R2 | ||
1.684% (3 Month LIBOR + 1.55%), due 7/20/30 | 2,000,000 | 2,000,272 |
Palmer Square Loan Funding Ltd. (b)(c) | ||
Series 2021-3A, Class A2 | ||
1.571% (3 Month LIBOR + 1.40%), due 7/20/29 | 2,500,000 | 2,501,293 |
Series 2019-3A, Class A2 | ||
1.731% (3 Month LIBOR + 1.60%), due 8/20/27 | 3,000,000 | 3,002,061 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities | ||
Park Avenue Institutional Advisers CLO Ltd. | ||
Series 2021-1A, Class A1A | ||
1.524% (3 Month LIBOR + 1.39%), due 1/20/34 (b)(c) | $ 2,000,000 | $ 2,005,238 |
Regatta XIV Funding Ltd. | ||
Series 2018-3A, Class A | ||
1.315% (3 Month LIBOR + 1.19%), due 10/25/31 (b)(c) | 2,000,000 | 2,000,092 |
Shackleton CLO Ltd. (b)(c) | ||
Series 2019-15A, Class AR | ||
1.326% (3 Month LIBOR + 1.20%), due 1/15/32 | 2,000,000 | 1,997,816 |
Series 2019-14A, Class A1R | ||
1.334% (3 Month LIBOR + 1.20%), due 7/20/34 | 1,000,000 | 1,000,538 |
Slam Ltd. | ||
Series 2021-1A, Class A | ||
2.434%, due 6/15/46 (b) | 4,216,185 | 4,220,465 |
Stack Infrastructure Issuer LLC | ||
Series 2021-1A, Class A2 | ||
1.877%, due 3/26/46 (b) | 2,500,000 | 2,495,387 |
STORE Master Funding LLC | ||
Series 2021-1A, Class A1 | ||
2.12%, due 6/20/51 (b) | 1,428,213 | 1,432,668 |
Textainer Marine Containers Ltd. | ||
Series 2021-3A, Class A | ||
1.94%, due 8/20/46 (b) | 3,178,667 | 3,148,345 |
THL Credit Wind River CLO Ltd. | ||
Series 2017-4A, Class A | ||
1.281% (3 Month LIBOR + 1.15%), due 11/20/30 (b)(c) | 2,243,000 | 2,243,157 |
Tiaa CLO III Ltd. | ||
Series 2017-2A, Class A | ||
1.276% (3 Month LIBOR + 1.15%), due 1/16/31 (b)(c) | 2,400,000 | 2,388,982 |
TICP CLO XV Ltd. | ||
Series 2020-15A, Class A | ||
1.414% (3 Month LIBOR + 1.28%), due 4/20/33 (b)(c) | 2,000,000 | 2,003,124 |
Trestles CLO IV Ltd. | ||
Series 2021-4A, Class A | ||
1.291% (3 Month LIBOR + 1.17%), due 7/21/34 (b)(c) | 2,300,000 | 2,298,638 |
TRP-TRIP Rail Master Funding LLC | ||
Series 2021-2, Class A | ||
2.15%, due 6/19/51 (b) | 2,973,876 | 2,994,198 |
Voya CLO Ltd. (b)(c) | ||
Series 2019-1A, Class BR | ||
1.676% (3 Month LIBOR + 1.55%), due 4/15/31 | 2,000,000 | 1,987,046 |
Series 2021-2A, Class B | ||
1.727% (3 Month LIBOR + 1.60%), due 10/20/34 (d) | 2,500,000 | 2,500,000 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities | ||
Wellfleet CLO Ltd. | ||
Series 2021-2A, Class A1 | ||
1.328% (3 Month LIBOR + 1.20%), due 7/15/34 (b)(c) | $ 2,520,000 | $ 2,521,336 |
130,941,016 | ||
Total Asset-Backed Securities (Cost $134,529,125) | 134,223,052 | |
Corporate Bonds 38.5% | ||
Aerospace & Defense 1.0% | ||
Boeing Co. (The) | ||
3.10%, due 5/1/26 | 1,925,000 | 2,034,674 |
3.25%, due 2/1/28 | 1,825,000 | 1,927,725 |
3.625%, due 2/1/31 | 2,500,000 | 2,676,271 |
5.15%, due 5/1/30 | 1,975,000 | 2,318,038 |
8,956,708 | ||
Auto Manufacturers 2.8% | ||
Daimler Finance North America LLC | ||
2.625%, due 3/10/30 (b) | 3,495,000 | 3,586,483 |
Ford Motor Credit Co. LLC | ||
3.087%, due 1/9/23 | 825,000 | 837,127 |
3.664%, due 9/8/24 | 1,800,000 | 1,858,500 |
General Motors Co. | ||
5.15%, due 4/1/38 | 1,500,000 | 1,789,591 |
General Motors Financial Co., Inc. | ||
1.05%, due 3/8/24 | 3,253,000 | 3,267,090 |
Hyundai Capital America (b) | ||
1.80%, due 1/10/28 | 875,000 | 856,425 |
2.375%, due 10/15/27 | 1,525,000 | 1,545,630 |
Nissan Motor Co. Ltd. | ||
4.81%, due 9/17/30 (b) | 5,885,000 | 6,618,867 |
Volkswagen Group of America Finance LLC | ||
3.35%, due 5/13/25 (b) | 4,225,000 | 4,516,989 |
24,876,702 | ||
Banks 6.6% | ||
Banco Santander SA | ||
1.722% (1 Year Treasury Constant Maturity Rate + 0.90%), due 9/14/27 (c) | 4,000,000 | 3,981,412 |
4.25%, due 4/11/27 | 1,800,000 | 2,022,741 |
Bank of America Corp. (e) | ||
2.087%, due 6/14/29 | 5,745,000 | 5,735,780 |
2.972%, due 7/21/52 | 2,515,000 | 2,462,018 |
BNP Paribas SA (b) | ||
1.323%, due 1/13/27 (e) | 1,650,000 | 1,622,296 |
2.159%, due 9/15/29 (e) | 1,075,000 | 1,064,823 |
2.824%, due 1/26/41 | 3,850,000 | 3,652,713 |
Principal Amount | Value | |
Corporate Bonds | ||
Banks | ||
Citigroup, Inc. | ||
3.20%, due 10/21/26 | $ 1,500,000 | $ 1,617,263 |
4.75%, due 5/18/46 | 1,975,000 | 2,480,011 |
Goldman Sachs Group, Inc. (The) | ||
2.383%, due 7/21/32 (e) | 2,325,000 | 2,302,027 |
5.15%, due 5/22/45 | 975,000 | 1,278,487 |
JPMorgan Chase & Co. | ||
1.578%, due 4/22/27 (e) | 6,600,000 | 6,613,385 |
Morgan Stanley | ||
1.512%, due 7/20/27 (e) | 2,300,000 | 2,289,065 |
2.239%, due 7/21/32 (e) | 2,825,000 | 2,776,374 |
2.484%, due 9/16/36 (e) | 1,925,000 | 1,884,049 |
4.35%, due 9/8/26 | 1,556,000 | 1,756,272 |
Societe Generale SA (b) | ||
1.792% (1 Year Treasury Constant Maturity Rate + 1.00%), due 6/9/27 (c) | 2,075,000 | 2,063,739 |
3.625%, due 3/1/41 | 2,000,000 | 2,036,866 |
Standard Chartered plc | ||
0.991% (1 Year Treasury Constant Maturity Rate + 0.78%), due 1/12/25 (b)(c) | 2,100,000 | 2,092,688 |
Sumitomo Mitsui Trust Bank Ltd. | ||
1.35%, due 9/16/26 (b) | 3,650,000 | 3,643,492 |
UBS Group AG (b)(c) | ||
1.364% (1 Year Treasury Constant Maturity Rate + 1.08%), due 1/30/27 | 2,825,000 | 2,798,664 |
2.095% (1 Year Treasury Constant Maturity Rate + 1.00%), due 2/11/32 | 1,800,000 | 1,751,306 |
57,925,471 | ||
Beverages 1.1% | ||
Anheuser-Busch InBev Worldwide, Inc. | ||
4.60%, due 4/15/48 | 2,000,000 | 2,387,649 |
4.75%, due 1/23/29 | 3,750,000 | 4,414,790 |
Diageo Capital plc | ||
2.125%, due 4/29/32 | 1,150,000 | 1,143,511 |
Keurig Dr Pepper, Inc. | ||
3.35%, due 3/15/51 | 2,000,000 | 2,076,111 |
10,022,061 | ||
Biotechnology 0.2% | ||
Amgen, Inc. | ||
3.375%, due 2/21/50 | 1,600,000 | 1,643,023 |
Building Materials 1.5% | ||
Carrier Global Corp. | ||
3.577%, due 4/5/50 | 3,575,000 | 3,798,239 |
Martin Marietta Materials, Inc. | ||
3.45%, due 6/1/27 | 1,825,000 | 1,987,383 |
Masco Corp. | ||
4.50%, due 5/15/47 | 3,000,000 | 3,600,086 |
Principal Amount | Value | |
Corporate Bonds | ||
Building Materials | ||
Owens Corning | ||
3.95%, due 8/15/29 | $ 3,378,000 | $ 3,768,915 |
13,154,623 | ||
Chemicals 1.0% | ||
International Flavors & Fragrances, Inc. | ||
1.832%, due 10/15/27 (b) | 1,600,000 | 1,602,351 |
LYB International Finance III LLC | ||
1.25%, due 10/1/25 | 925,000 | 924,208 |
NewMarket Corp. | ||
4.10%, due 12/15/22 | 5,536,000 | 5,757,648 |
Nutrien Ltd. | ||
3.625%, due 3/15/24 | 825,000 | 876,845 |
9,161,052 | ||
Commercial Services 0.3% | ||
Ashtead Capital, Inc. | ||
2.45%, due 8/12/31 (b) | 2,850,000 | 2,801,653 |
Computers 0.1% | ||
HP, Inc. | ||
2.65%, due 6/17/31 (b) | 875,000 | 866,333 |
Diversified Financial Services 3.6% | ||
Air Lease Corp. | ||
0.70%, due 2/15/24 | 1,575,000 | 1,565,097 |
0.80%, due 8/18/24 | 2,800,000 | 2,783,118 |
1.875%, due 8/17/26 | 2,125,000 | 2,117,580 |
Aircastle Ltd. | ||
2.85%, due 1/26/28 (b) | 4,325,000 | 4,380,187 |
Antares Holdings LP (b) | ||
2.75%, due 1/15/27 | 650,000 | 650,588 |
3.95%, due 7/15/26 | 1,600,000 | 1,686,069 |
Aviation Capital Group LLC (b) | ||
1.95%, due 1/30/26 | 1,525,000 | 1,519,491 |
1.95%, due 9/20/26 | 3,525,000 | 3,487,622 |
Blackstone Holdings Finance Co. LLC | ||
1.625%, due 8/5/28 (b) | 2,250,000 | 2,198,799 |
BOC Aviation USA Corp. | ||
1.625%, due 4/29/24 (b) | 2,325,000 | 2,342,866 |
GE Capital International Funding Co. Unlimited Co. | ||
4.418%, due 11/15/35 | 6,160,000 | 7,392,322 |
Thirax 1 LLC | ||
0.968%, due 1/14/33 | 1,730,016 | 1,703,674 |
31,827,413 |
Principal Amount | Value | |
Corporate Bonds | ||
Electric 3.2% | ||
Appalachian Power Co. | ||
6.375%, due 4/1/36 | $ 1,750,000 | $ 2,397,717 |
Arizona Public Service Co. | ||
5.50%, due 9/1/35 | 1,275,000 | 1,629,792 |
Dayton Power & Light Co. (The) | ||
3.95%, due 6/15/49 | 1,025,000 | 1,149,457 |
DTE Energy Co. | ||
Series F | ||
1.05%, due 6/1/25 | 1,300,000 | 1,289,746 |
Entergy Mississippi LLC | ||
3.85%, due 6/1/49 | 2,500,000 | 2,840,850 |
FirstEnergy Transmission LLC | ||
4.35%, due 1/15/25 (b) | 3,455,000 | 3,757,016 |
Niagara Mohawk Power Corp. | ||
3.025%, due 6/27/50 (b) | 1,850,000 | 1,771,583 |
Ohio Edison Co. | ||
6.875%, due 7/15/36 | 2,500,000 | 3,583,210 |
Pinnacle West Capital Corp. | ||
1.30%, due 6/15/25 | 3,100,000 | 3,104,336 |
Southern California Edison Co. | ||
1.10%, due 4/1/24 | 2,275,000 | 2,285,991 |
Series 20C | ||
1.20%, due 2/1/26 | 1,800,000 | 1,783,965 |
Tennessee Valley Authority | ||
5.25%, due 9/15/39 | 2,000,000 | 2,838,034 |
28,431,697 | ||
Electronics 0.4% | ||
Flex Ltd. | ||
3.75%, due 2/1/26 | 3,400,000 | 3,699,907 |
Food 0.6% | ||
Bimbo Bakeries USA, Inc. | ||
4.00%, due 5/17/51 (b) | 1,325,000 | 1,435,581 |
Conagra Brands, Inc. | ||
4.85%, due 11/1/28 | 2,300,000 | 2,697,900 |
Kroger Co. (The) | ||
Series B | ||
7.70%, due 6/1/29 | 1,000,000 | 1,369,931 |
5,503,412 | ||
Gas 0.2% | ||
NiSource, Inc. | ||
5.65%, due 2/1/45 | 1,125,000 | 1,543,235 |
Healthcare-Products 0.1% | ||
Stryker Corp. | ||
2.90%, due 6/15/50 | 850,000 | 848,270 |
Principal Amount | Value | |
Corporate Bonds | ||
Healthcare-Services 0.9% | ||
Fresenius Medical Care U.S. Finance III, Inc. (b) | ||
1.875%, due 12/1/26 | $ 1,400,000 | $ 1,406,864 |
2.375%, due 2/16/31 | 4,270,000 | 4,143,223 |
UnitedHealth Group, Inc. | ||
3.25%, due 5/15/51 | 2,550,000 | 2,696,510 |
8,246,597 | ||
Home Builders 0.2% | ||
MDC Holdings, Inc. | ||
2.50%, due 1/15/31 | 1,450,000 | 1,413,126 |
Insurance 0.9% | ||
Brighthouse Financial Global Funding | ||
1.00%, due 4/12/24 (b) | 3,975,000 | 3,994,795 |
Pacific LifeCorp | ||
3.35%, due 9/15/50 (b) | 1,700,000 | 1,797,573 |
Principal Life Global Funding II | ||
1.25%, due 8/16/26 (b) | 2,250,000 | 2,236,043 |
8,028,411 | ||
Investment Companies 0.7% | ||
Blackstone Secured Lending Fund | ||
2.125%, due 2/15/27 (b) | 1,275,000 | 1,260,733 |
2.75%, due 9/16/26 | 1,925,000 | 1,965,273 |
Prospect Capital Corp. | ||
3.437%, due 10/15/28 | 3,390,000 | 3,297,192 |
6,523,198 | ||
Iron & Steel 0.3% | ||
Nucor Corp. | ||
2.00%, due 6/1/25 | 1,575,000 | 1,621,340 |
Steel Dynamics, Inc. | ||
3.25%, due 10/15/50 | 725,000 | 716,181 |
2,337,521 | ||
Media 1.0% | ||
Charter Communications Operating LLC | ||
2.25%, due 1/15/29 (d) | 1,250,000 | 1,249,016 |
4.908%, due 7/23/25 | 1,700,000 | 1,911,862 |
Comcast Corp. | ||
4.60%, due 10/15/38 | 750,000 | 916,826 |
Discovery Communications LLC | ||
3.625%, due 5/15/30 | 800,000 | 867,612 |
Fox Corp. | ||
5.576%, due 1/25/49 | 1,250,000 | 1,683,284 |
Thomson Reuters Corp. | ||
3.85%, due 9/29/24 | 1,575,000 | 1,693,538 |
8,322,138 |
Principal Amount | Value | |
Corporate Bonds | ||
Mining 0.6% | ||
Anglo American Capital plc (b) | ||
2.25%, due 3/17/28 | $ 2,900,000 | $ 2,882,557 |
5.625%, due 4/1/30 | 1,875,000 | 2,262,983 |
5,145,540 | ||
Oil & Gas 0.5% | ||
Valero Energy Corp. | ||
2.85%, due 4/15/25 | 4,000,000 | 4,212,649 |
Oil & Gas Services 0.6% | ||
Schlumberger Holdings Corp. | ||
3.75%, due 5/1/24 (b) | 4,725,000 | 5,047,946 |
Packaging & Containers 0.4% | ||
Packaging Corp. of America | ||
4.05%, due 12/15/49 | 1,525,000 | 1,773,134 |
WRKCo, Inc. | ||
3.75%, due 3/15/25 | 1,825,000 | 1,974,998 |
3,748,132 | ||
Pharmaceuticals 1.0% | ||
AbbVie, Inc. | ||
2.95%, due 11/21/26 | 575,000 | 615,909 |
Bayer US Finance II LLC | ||
4.375%, due 12/15/28 (b) | 2,825,000 | 3,198,381 |
CVS Health Corp. | ||
1.875%, due 2/28/31 | 2,425,000 | 2,342,742 |
4.25%, due 4/1/50 | 2,325,000 | 2,737,778 |
8,894,810 | ||
Pipelines 1.7% | ||
Energy Transfer Operating LP | ||
6.05%, due 6/1/41 | 1,300,000 | 1,612,810 |
Energy Transfer Partners LP | ||
5.875%, due 3/1/22 | 4,800,000 | 4,840,703 |
Enterprise Products Operating LLC | ||
5.10%, due 2/15/45 | 2,600,000 | 3,235,071 |
Kinder Morgan Energy Partners LP | ||
6.375%, due 3/1/41 | 400,000 | 547,903 |
Tennessee Gas Pipeline Co. LLC | ||
2.90%, due 3/1/30 (b) | 2,275,000 | 2,352,629 |
Texas Eastern Transmission LP | ||
2.80%, due 10/15/22 (b) | 2,350,000 | 2,390,941 |
14,980,057 | ||
Real Estate Investment Trusts 2.7% | ||
American Campus Communities Operating Partnership LP | ||
3.30%, due 7/15/26 | 3,000,000 | 3,211,632 |
Principal Amount | Value | |
Corporate Bonds | ||
Real Estate Investment Trusts | ||
American Homes 4 Rent LP | ||
3.375%, due 7/15/51 | $ 3,225,000 | $ 3,269,935 |
Brixmor Operating Partnership LP | ||
2.50%, due 8/16/31 | 725,000 | 714,320 |
Highwoods Realty LP | ||
3.05%, due 2/15/30 | 1,410,000 | 1,472,611 |
3.875%, due 3/1/27 | 3,590,000 | 3,969,679 |
Kimco Realty Corp. | ||
2.80%, due 10/1/26 | 1,800,000 | 1,909,167 |
Simon Property Group LP | ||
1.75%, due 2/1/28 | 2,750,000 | 2,729,369 |
Spirit Realty LP | ||
2.70%, due 2/15/32 | 900,000 | 892,292 |
VEREIT Operating Partnership LP | ||
3.95%, due 8/15/27 | 4,870,000 | 5,458,947 |
23,627,952 | ||
Retail 1.0% | ||
Advance Auto Parts, Inc. | ||
1.75%, due 10/1/27 | 1,125,000 | 1,120,080 |
CK Hutchison International 21 Ltd. | ||
1.50%, due 4/15/26 (b) | 3,375,000 | 3,375,877 |
Lowe's Cos., Inc. | ||
3.00%, due 10/15/50 | 1,450,000 | 1,413,937 |
Walmart, Inc. | ||
1.50%, due 9/22/28 | 2,650,000 | 2,638,574 |
8,548,468 | ||
Semiconductors 0.2% | ||
Skyworks Solutions, Inc. | ||
1.80%, due 6/1/26 | 1,825,000 | 1,849,182 |
Software 0.6% | ||
Fiserv, Inc. | ||
2.25%, due 6/1/27 | 2,960,000 | 3,053,088 |
VMware, Inc. | ||
2.20%, due 8/15/31 | 2,675,000 | 2,615,531 |
5,668,619 | ||
Telecommunications 2.2% | ||
AT&T, Inc. | ||
1.65%, due 2/1/28 | 1,175,000 | 1,165,590 |
4.85%, due 3/1/39 | 2,000,000 | 2,396,889 |
NTT Finance Corp. | ||
1.162%, due 4/3/26 (b) | 1,300,000 | 1,292,552 |
Orange SA | ||
5.375%, due 1/13/42 | 895,000 | 1,194,934 |
Principal Amount | Value | |
Corporate Bonds | ||
Telecommunications | ||
Telefonica Emisiones SA | ||
5.213%, due 3/8/47 | $ 750,000 | $ 936,037 |
T-Mobile US, Inc. | ||
2.55%, due 2/15/31 | 6,540,000 | 6,563,306 |
Verizon Communications, Inc. | ||
2.10%, due 3/22/28 | 2,350,000 | 2,385,461 |
4.272%, due 1/15/36 | 3,250,000 | 3,817,816 |
19,752,585 | ||
Transportation 0.3% | ||
Norfolk Southern Corp. | ||
5.64%, due 5/17/29 | 1,400,000 | 1,717,515 |
Union Pacific Corp. | ||
3.25%, due 2/5/50 | 775,000 | 813,516 |
2,531,031 | ||
Total Corporate Bonds (Cost $323,467,674) | 340,139,522 | |
Foreign Government Bonds 0.7% | ||
Chile 0.2% | ||
Banco del Estado de Chile | ||
2.704%, due 1/9/25 (b) | 1,275,000 | 1,319,625 |
France 0.5% | ||
Electricite de France SA | ||
5.00%, due 9/21/48 (b) | 3,420,000 | 4,461,409 |
Poland 0.0% ‡ | ||
Poland Government Bond | ||
5.00%, due 3/23/22 | 350,000 | 357,471 |
Total Foreign Government Bonds (Cost $4,948,522) | 6,138,505 | |
Mortgage-Backed Securities 18.3% | ||
Agency (Collateralized Mortgage Obligations) 12.7% | ||
FHLMC | ||
REMIC, Series 4994, Class GV | ||
2.00%, due 6/25/46 | 2,000,000 | 2,002,502 |
REMIC, Series 4623, Class LZ | ||
2.50%, due 10/15/46 | 2,261,291 | 2,337,342 |
REMIC, Series 4199, Class BZ | ||
3.50%, due 5/15/43 | 3,211,412 | 3,543,702 |
REMIC, Series 4684, Class CZ | ||
4.00%, due 5/15/47 | 1,664,488 | 1,960,883 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Agency (Collateralized Mortgage Obligations) | ||
FHLMC | ||
REMIC, Series 4748, Class Z | ||
4.00%, due 11/15/47 | $ 1,858,471 | $ 2,051,457 |
REMIC, Series 4798, Class GZ | ||
4.00%, due 6/15/48 | 2,284,755 | 2,559,118 |
FNMA | ||
REMIC, Series 2016-7, Class GY | ||
3.50%, due 3/25/36 | 3,000,000 | 3,323,774 |
FNMA, STRIPS | ||
REMIC, Series 396, Class 1 | ||
(zero coupon), due 6/25/39 | 2,830,141 | 2,596,834 |
GNMA | ||
REMIC, Series 2013-149, Class LZ | ||
2.50%, due 10/20/43 | 3,290,247 | 3,410,229 |
REMIC, Series 2014-181, Class L | ||
3.00%, due 12/20/44 | 2,399,998 | 2,577,797 |
GNMA II, Single Family, 30 Year (f) | ||
2.00%, due 10/15/51 TBA | 4,000,000 | 4,057,656 |
2.50%, due 10/15/51 TBA | 7,400,000 | 7,639,055 |
3.00%, due 10/15/51 TBA | 8,750,000 | 9,141,699 |
UMBS, Single Family, 30 Year (f) | ||
2.00%, due 10/25/51 TBA | 38,100,000 | 38,202,692 |
2.50%, due 10/25/51 TBA | 26,050,000 | 26,858,975 |
112,263,715 | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) 4.7% | ||
Aventura Mall Trust | ||
Series 2018-AVM, Class A | ||
4.249%, due 7/5/40 (b)(g) | 3,250,000 | 3,669,138 |
BFLD Trust | ||
Series 2021-FPM, Class A | ||
1.684% (1 Month LIBOR + 1.60%), due 6/15/38 (b)(c) | 3,000,000 | 3,001,805 |
Citigroup Commercial Mortgage Trust | ||
Series 2020-420K, Class A | ||
2.456%, due 11/10/42 (b)(g) | 3,100,000 | 3,107,357 |
CSMC OA LLC | ||
Series 2014-USA, Class A1 | ||
3.304%, due 9/15/37 (b) | 2,143,467 | 2,248,610 |
CSMC Trust | ||
Series 2019-UVIL, Class A | ||
3.16%, due 12/15/41 (b) | 1,650,000 | 1,746,360 |
CSMC WEST Trust | ||
Series 2020-WEST, Class A | ||
3.04%, due 2/15/35 (b) | 2,900,000 | 3,021,596 |
FHLMC, Multifamily Structured Pass-Through Certificates (g) | ||
REMIC, Series K131, Class X1 | ||
0.729%, due 7/25/31 | 35,000,000 | 2,236,139 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) | ||
FHLMC, Multifamily Structured Pass-Through Certificates (g) | ||
REMIC, Series K123, Class X1 | ||
0.866%, due 12/25/30 | $ 72,691,733 | $ 4,477,425 |
REMIC, Series K122, Class X1 | ||
0.974%, due 11/25/30 | 31,968,531 | 2,205,180 |
REMIC, Series K119, Class X1 | ||
1.026%, due 9/25/30 | 54,894,546 | 3,948,180 |
REMIC, Series K130, Class X1 | ||
1.144%, due 6/25/31 | 29,471,288 | 2,599,038 |
REMIC, Series K108, Class X1 | ||
1.81%, due 3/25/30 | 19,196,727 | 2,412,491 |
Houston Galleria Mall Trust | ||
Series 2015-HGLR, Class A1A1 | ||
3.087%, due 3/5/37 (b) | 3,250,000 | 3,368,011 |
WFLD Mortgage Trust | ||
Series 2014-MONT, Class A | ||
3.88%, due 8/10/31 (b)(g) | 2,800,000 | 2,937,090 |
40,978,420 | ||
Other Asset-Backed Security 0.3% | ||
CMFT Net Lease Master Issuer LLC | ||
Series 2021-1, Class A1 | ||
2.09%, due 7/20/51 (b) | 2,816,215 | 2,794,816 |
Whole Loan (Collateralized Mortgage Obligations) 0.6% | ||
Seasoned Credit Risk Transfer Trust | ||
Series 2017-4, Class M45T | ||
4.50%, due 6/25/57 | 732,392 | 811,267 |
Sequoia Mortgage Trust | ||
Series 2021-3, Class A1 | ||
2.50%, due 5/25/51 (b)(h) | 4,362,379 | 4,406,320 |
5,217,587 | ||
Total Mortgage-Backed Securities (Cost $162,314,557) | 161,254,538 | |
Municipal Bonds 0.6% | ||
Texas 0.6% | ||
San Antonio Water System Revenue Bonds | ||
5.502%, due 5/15/29 | 2,000,000 | 2,407,345 |
Texas Transportation Commission State Highway Fund Revenue Bonds, First Tier | ||
5.178%, due 4/1/30 | 2,150,000 | 2,623,895 |
5,031,240 | ||
Total Municipal Bonds (Cost $4,584,781) | 5,031,240 |
Principal Amount | Value | |
U.S. Government & Federal Agencies 25.9% | ||
Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) 12.6% | ||
FFCB | ||
1.14%, due 8/20/29 | $ 5,000,000 | $ 4,874,334 |
1.23%, due 9/10/29 | 7,000,000 | 6,865,952 |
1.24%, due 12/23/30 | 1,025,000 | 989,998 |
1.25%, due 6/24/30 | 5,475,000 | 5,300,333 |
1.33%, due 7/1/30 | 5,000,000 | 4,877,231 |
1.67%, due 3/3/31 | 5,000,000 | 4,963,175 |
1.70%, due 4/28/31 | 6,625,000 | 6,569,803 |
1.73%, due 9/2/31 | 2,200,000 | 2,148,361 |
1.73%, due 9/22/31 | 3,350,000 | 3,316,387 |
1.84%, due 10/27/31 | 4,500,000 | 4,484,356 |
1.90%, due 9/27/33 | 1,750,000 | 1,719,377 |
1.91%, due 6/1/33 | 4,000,000 | 3,889,629 |
2.00%, due 4/14/33 | 3,075,000 | 3,043,720 |
2.02%, due 4/1/31 | 3,500,000 | 3,501,529 |
2.03%, due 1/21/28 | 3,800,000 | 4,003,450 |
2.04%, due 4/14/31 | 3,300,000 | 3,299,241 |
2.13%, due 4/19/34 | 2,950,000 | 2,919,048 |
2.15%, due 3/7/36 | 3,600,000 | 3,582,726 |
2.15%, due 9/15/36 | 3,550,000 | 3,445,196 |
2.29%, due 6/28/34 | 3,550,000 | 3,540,689 |
2.49%, due 6/30/36 | 3,600,000 | 3,600,956 |
2.70%, due 6/21/41 | 2,200,000 | 2,207,606 |
FHLB | ||
1.62%, due 4/5/30 | 2,675,000 | 2,663,898 |
2.00%, due 5/12/31 | 4,400,000 | 4,391,764 |
2.45%, due 6/16/36 | 1,700,000 | 1,699,804 |
FHLMC | ||
1.28%, due 4/30/30 | 3,000,000 | 2,911,250 |
1.42%, due 12/30/30 | 4,600,000 | 4,492,321 |
FHLMC Gold Pools, 15 Year | ||
4.50%, due 4/1/22 | 358 | 375 |
4.50%, due 4/1/23 | 1,233 | 1,291 |
5.00%, due 3/1/25 | 25,148 | 26,241 |
FHLMC Gold Pools, 30 Year | ||
6.50%, due 11/1/35 | 3,287 | 3,693 |
6.50%, due 8/1/37 | 17,461 | 19,972 |
FNMA | ||
6.25%, due 5/15/29 | 3,000,000 | 4,033,697 |
UMBS, 30 Year | ||
3.00%, due 5/1/50 | 1,987,936 | 2,151,812 |
3.00%, due 9/1/50 | 3,027,274 | 3,233,264 |
3.50%, due 3/1/50 | 1,941,707 | 2,132,526 |
110,905,005 | ||
Federal National Mortgage Association (Mortgage Pass-Through Securities) 5.8% | ||
FNMA, Other | ||
4.00%, due 8/1/59 | 1,192,098 | 1,357,652 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
Federal National Mortgage Association (Mortgage Pass-Through Securities) | ||
UMBS, 15 Year | ||
4.50%, due 5/1/24 | $ 91,099 | $ 95,584 |
5.00%, due 12/1/23 | 20,928 | 21,809 |
5.00%, due 12/1/23 | 8,555 | 8,922 |
5.50%, due 12/1/21 | 165 | 165 |
5.50%, due 1/1/22 | 590 | 591 |
5.50%, due 2/1/22 | 47 | 47 |
UMBS, 30 Year | ||
2.00%, due 3/1/51 | 3,422,818 | 3,452,781 |
2.00%, due 4/1/51 | 2,791,441 | 2,810,368 |
2.50%, due 5/1/43 | 318,882 | 329,700 |
3.00%, due 5/1/48 | 2,465,018 | 2,616,228 |
3.00%, due 10/1/49 | 1,686,148 | 1,787,956 |
3.00%, due 9/1/50 | 2,651,986 | 2,843,712 |
3.00%, due 10/1/50 | 2,333,666 | 2,482,486 |
3.00%, due 2/1/51 | 2,176,110 | 2,313,205 |
3.00%, due 4/1/51 | 1,519,415 | 1,619,792 |
3.00%, due 7/1/51 | 2,007,622 | 2,136,534 |
3.50%, due 8/1/49 | 3,652,725 | 4,004,042 |
3.50%, due 3/1/50 | 5,739,253 | 6,249,074 |
3.50%, due 9/1/50 | 6,038,260 | 6,618,187 |
3.50%, due 4/1/51 | 1,310,307 | 1,418,852 |
4.00%, due 6/1/46 | 1,193,669 | 1,318,949 |
4.00%, due 11/1/46 | 3,751,542 | 4,129,334 |
4.00%, due 4/1/47 | 3,367,835 | 3,725,297 |
6.50%, due 10/1/36 | 12,029 | 13,511 |
6.50%, due 10/1/36 | 11,933 | 13,403 |
6.50%, due 8/1/37 | 1,996 | 2,281 |
7.00%, due 9/1/37 | 33,684 | 39,481 |
7.00%, due 10/1/37 | 431 | 507 |
7.00%, due 11/1/37 | 5,176 | 6,085 |
7.50%, due 7/1/28 | 7,004 | 7,590 |
51,424,125 | ||
Government National Mortgage Association (Mortgage Pass-Through Securities) 0.1% | ||
GNMA I, 30 Year | ||
4.00%, due 3/15/44 | 24,653 | 27,389 |
4.00%, due 7/15/44 | 225,195 | 250,036 |
4.00%, due 7/15/45 | 106,006 | 117,326 |
4.50%, due 6/15/39 | 492,242 | 556,739 |
4.50%, due 6/15/40 | 169,241 | 191,420 |
1,142,910 | ||
United States Treasury Bonds 1.8% | ||
U.S. Treasury Bonds | ||
1.625%, due 11/15/50 | 13,600,000 | 12,218,219 |
1.875%, due 2/15/41 | 3,770,000 | 3,687,531 |
15,905,750 |
Principal Amount | Value | ||
U.S. Government & Federal Agencies | |||
United States Treasury Notes 5.6% | |||
U.S. Treasury Notes | |||
0.25%, due 9/30/23 | $ 19,500,000 | $ 19,484,766 | |
0.375%, due 9/15/24 | 11,450,000 | 11,400,801 | |
0.875%, due 9/30/26 | 14,335,000 | 14,257,725 | |
1.25%, due 8/15/31 | 3,925,000 | 3,829,941 | |
48,973,233 | |||
Total U.S. Government & Federal Agencies (Cost $228,419,230) | 228,351,023 | ||
Total Long-Term Bonds (Cost $858,263,889) | 875,137,880 | ||
Shares | |||
Short-Term Investment 8.5% | |||
Unaffiliated Investment Company 8.5% | |||
J.P. Morgan U.S. Government Money Market Fund, 0.026% (i) | 75,507,851 | 75,507,851 | |
Total Short-Term Investment (Cost $75,507,851) | 75,507,851 | ||
Total Investments (Cost $933,771,740) | 107.7% | 950,645,731 | |
Other Assets, Less Liabilities | (7.7) | (68,091,971) | |
Net Assets | 100.0% | $ 882,553,760 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | Step coupon—Rate shown was the rate in effect as of September 30, 2021. |
(b) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
(c) | Floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(d) | Delayed delivery security. |
(e) | Fixed to floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(f) | TBA—Security purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. As of September 30, 2021, the total net market value was $85,900,077, which represented 9.7% of the Portfolio’s net assets. All or a portion of this security is a part of a mortgage dollar roll agreement. |
(g) | Collateral strip rate—A bond whose interest was based on the weighted net interest rate of the collateral. The coupon rate adjusts periodically based on a predetermined schedule. Rate shown was the rate in effect as of September 30, 2021. |
(h) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. Rate shown was the rate in effect as of September 30, 2021. |
(i) | Current yield as of September 30, 2021. |
Futures Contracts
As of September 30, 2021, the Portfolio held the following futures contracts1:
Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 |
Long Contracts | |||||
U.S. Treasury 2 Year Notes | 115 | December 2021 | $ 25,329,874 | $ 25,306,289 | $ (23,585) |
U.S. Treasury 5 Year Notes | 394 | December 2021 | 48,512,032 | 48,360,422 | (151,610) |
U.S. Treasury Ultra Bonds | 282 | December 2021 | 55,252,667 | 53,879,625 | (1,373,042) |
Total Long Contracts | (1,548,237) | ||||
Short Contracts | |||||
U.S. Treasury 10 Year Notes | (108) | December 2021 | (14,340,791) | (14,213,813) | 126,978 |
U.S. Treasury 10 Year Ultra Bonds | (198) | December 2021 | (29,218,563) | (28,759,500) | 459,063 |
Total Short Contracts | 586,041 | ||||
Net Unrealized Depreciation | $ (962,196) |
1. | As of September 30, 2021, cash in the amount of $1,755,276 was on deposit with a broker or futures commission merchant for futures transactions. |
2. | Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2021. |
Abbreviation(s): |
CLO—Collateralized Loan Obligation |
FFCB—Federal Farm Credit Bank |
FHLB—Federal Home Loan Bank |
FHLMC—Federal Home Loan Mortgage Corp. |
FNMA—Federal National Mortgage Association |
GNMA—Government National Mortgage Association |
LIBOR—London Interbank Offered Rate |
REMIC—Real Estate Mortgage Investment Conduit |
TBA—To Be Announced |
UMBS—Uniform Mortgage Backed Securities |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets and liabilities:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Long-Term Bonds | |||||||
Asset-Backed Securities | $ — | $ 134,223,052 | $ — | $ 134,223,052 | |||
Corporate Bonds | — | 340,139,522 | — | 340,139,522 | |||
Foreign Government Bonds | — | 6,138,505 | — | 6,138,505 | |||
Mortgage-Backed Securities | — | 161,254,538 | — | 161,254,538 | |||
Municipal Bonds | — | 5,031,240 | — | 5,031,240 | |||
U.S. Government & Federal Agencies | — | 228,351,023 | — | 228,351,023 | |||
Total Long-Term Bonds | — | 875,137,880 | — | 875,137,880 | |||
Short-Term Investment | |||||||
Unaffiliated Investment Company | 75,507,851 | — | — | 75,507,851 | |||
Total Investments in Securities | 75,507,851 | 875,137,880 | — | 950,645,731 | |||
Other Financial Instruments | |||||||
Futures Contracts (b) | 586,041 | — | — | 586,041 | |||
Total Investments in Securities and Other Financial Instruments | $ 76,093,892 | $ 875,137,880 | $ — | $ 951,231,772 | |||
Liability Valuation Inputs | |||||||
Other Financial Instruments | |||||||
Futures Contracts (b) | $ (1,548,237) | $ — | $ — | $ (1,548,237) | |||
Total Investments in Securities and Other Financial Instruments | $ (1,548,237) | $ — | $ — | $ (1,548,237) |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
(b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP Conservative Allocation Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Affiliated Investment Companies 91.6% | ||
Equity Funds 35.2% | ||
IQ 50 Percent Hedged FTSE International ETF | 549,084 | $ 13,411,706 |
IQ 500 International ETF (a) | 371,950 | 12,110,171 |
IQ Candriam ESG International Equity ETF (a) | 398,310 | 11,653,913 |
IQ Candriam ESG U.S. Equity ETF | 582,184 | 21,634,365 |
IQ Chaikin U.S. Large Cap ETF | 408,930 | 13,564,740 |
IQ Chaikin U.S. Small Cap ETF | 166,199 | 5,788,711 |
MainStay Epoch Capital Growth Fund Class I | 155,529 | 2,519,514 |
MainStay Epoch International Choice Fund Class I | 170,433 | 6,952,929 |
MainStay VP Candriam Emerging Markets Equity Portfolio Initial Class | 844,931 | 9,747,967 |
MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class | 716,827 | 12,219,964 |
MainStay VP MacKay International Equity Portfolio Initial Class | 248,069 | 5,026,572 |
MainStay VP MacKay S&P 500 Index Portfolio Initial Class | 202,896 | 16,778,767 |
MainStay VP Small Cap Growth Portfolio Initial Class | 522,890 | 10,261,132 |
MainStay VP T. Rowe Price Equity Income Portfolio Initial Class | 831,159 | 11,254,888 |
MainStay VP Wellington Growth Portfolio Initial Class | 292,872 | 13,143,233 |
MainStay VP Wellington Mid Cap Portfolio Initial Class | 576,898 | 9,123,692 |
MainStay VP Wellington Small Cap Portfolio Initial Class | 458,808 | 6,012,357 |
MainStay VP Wellington U.S. Equity Portfolio Initial Class | 135,482 | 4,470,754 |
MainStay VP Winslow Large Cap Growth Portfolio Initial Class | 635,532 | 24,148,490 |
MainStay WMC Enduring Capital Fund Class R6 | 257,259 | 8,780,261 |
MainStay WMC International Research Equity Fund Class I | 823,039 | 6,547,853 |
MainStay WMC Value Fund Class R6 | 278,404 | 15,157,912 |
Total Equity Funds (Cost $189,561,284) | 240,309,891 | |
Fixed Income Funds 56.4% | ||
MainStay MacKay Short Duration High Yield Fund Class I | 3,569,846 | 35,273,647 |
MainStay Short Term Bond Fund Class I (a) | 357,047 | 3,511,982 |
MainStay VP Bond Portfolio Initial Class (a) | 2,546,189 | 38,685,020 |
MainStay VP Floating Rate Portfolio Initial Class (a) | 5,959,488 | 52,942,303 |
MainStay VP Indexed Bond Portfolio Initial Class (a) | 19,845,358 | 219,166,184 |
MainStay VP MacKay High Yield Corporate Bond Portfolio Initial Class | 2,702,067 | 28,125,280 |
MainStay VP PIMCO Real Return Portfolio Initial Class (a) | 714,544 | 6,980,739 |
Total Fixed Income Funds (Cost $368,124,323) | 384,685,155 | |
Total Affiliated Investment Companies (Cost $557,685,607) | 624,995,046 |
Shares | Value | ||
Short-Term Investment 8.5% | |||
Affiliated Investment Company 8.5% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (b) | 58,270,769 | $ 58,270,769 | |
Total Short-Term Investment (Cost $58,270,769) | 8.5% | 58,270,769 | |
Total Investments (Cost $615,956,376) | 100.1% | 683,265,815 | |
Other Assets, Less Liabilities | (0.1) | (847,736) | |
Net Assets | 100.0% | $ 682,418,079 |
† | Percentages indicated are based on Portfolio net assets. |
(a) | As of September 30, 2021, the Portfolio’s ownership exceeds 5% of the outstanding shares of the Underlying Portfolio's/Fund's share class. |
(b) | Current yield as of September 30, 2021. |
Swap Contracts
Open OTC total return equity swap contracts as of September 30, 2021 were as follows1:
Swap Counterparty | Reference Obligation | Floating Rate2 | Termination Date(s) | Payment Frequency Paid/ Received | Notional Amount Long/ (Short) (000)3 | Unrealized Appreciation/ (Depreciation)4 |
Citibank NA | Citi 2nd Wave Virus Basket | 1 month LIBOR BBA plus 0.35% | 12/2/21 | Monthly | 4,961 | $ — |
Citibank NA | Citi Stay at Home Basket | 1 month LIBOR BBA minus 0.30% | 12/2/21 | Monthly | (5,560) | — |
Citibank NA | iShares MSCI EAFE ETF | 1 month LIBOR BBA plus 0.40% | 12/2/21 | Monthly | 9,953 | — |
Citibank NA | iShares MSCI EAFE Small-Cap ETF | 1 month LIBOR BBA plus 0.55% | 12/2/21 | Monthly | 6,615 | — |
Citibank NA | iShares MSCI Emerging Markets ETF | 1 month LIBOR BBA | 12/2/21 | Monthly | (10,391) | — |
Citibank NA | Russell 1000 Growth Total Return Index | 1 month LIBOR BBA plus 0.03% | 12/3/21 | Monthly | (25,835) | — |
Citibank NA | Russell 1000 Value Total Return Index | 1 month LIBOR BBA plus 0.30% | 12/2/21 | Monthly | 563 | — |
Citibank NA | Russell 2000 Total Return Index | 1 month LIBOR BBA plus 0.20% | 12/2/21 | Monthly | 28,546 | — |
Citibank NA | Russell Midcap Total Return Index | 1 month LIBOR BBA plus 0.32% | 12/2/21 | Monthly | 10,942 | — |
Citibank NA | S&P 500 Total Return Index | 1 month LIBOR BBA plus 0.42% | 12/2/21 | Monthly | 20,552 | — |
Citibank NA | VanEck Vectors Gold Miners ETF | 1 month LIBOR BBA plus 0.50% | 12/2/21 | Monthly | 9,355 | — |
Citibank NA | Vanguard FTSE Europe ETF | 1 month LIBOR BBA plus 0.40% | 12/2/21 | Monthly | 13,327 | — |
$ — |
1. | As of September 30, 2021, cash in the amount $1,550,000 was pledged to brokers for OTC swap contracts. |
2. | Portfolio pays the floating rate and receives the total return of the reference entity. |
3. | Notional amounts reflected as a positive value indicate a long position held by the Portfolio or Index and a negative value indicates a short position. |
4. | Reflects the value at reset date as of September 30, 2021. |
Abbreviation(s): |
BBA—British Bankers’ Association |
EAFE—Europe, Australasia and Far East |
ETF—Exchange-Traded Fund |
FTSE—Financial Times Stock Exchange |
LIBOR—London Interbank Offered Rate |
MSCI—Morgan Stanley Capital International |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Affiliated Investment Companies | |||||||
Equity Funds | $ 240,309,891 | $ — | $ — | $ 240,309,891 | |||
Fixed Income Funds | 384,685,155 | — | — | 384,685,155 | |||
Total Affiliated Investment Companies | 624,995,046 | — | — | 624,995,046 | |||
Short-Term Investment | |||||||
Affiliated Investment Company | 58,270,769 | — | — | 58,270,769 | |||
Total Investments in Securities | $ 683,265,815 | $ — | $ — | $ 683,265,815 | |||
Total Investments in Securities | $ — | $ — | $ — | $ — |
(a) | For a complete listing of investments, see the Portfolio of Investments. |
MainStay VP CBRE Global Infrastructure Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Common Stocks 99.4% | ||
Australia 9.2% | ||
Atlas Arteria Ltd. (Transportation) | 164,479 | $ 762,225 |
Aurizon Holdings Ltd. (Transportation) | 72,523 | 197,524 |
Sydney Airport (Transportation) | 67,219 | 399,297 |
Transurban Group (Transportation) | 74,407 | 754,414 |
Transurban Group (Transportation) (a) | 8,267 | 83,819 |
2,197,279 | ||
Canada 6.6% | ||
Canadian National Railway Co. (Transportation) | 4,478 | 518,933 |
Pembina Pipeline Corp. (Midstream / Pipelines) | 15,334 | 486,073 |
TC Energy Corp. (Midstream / Pipelines) | 12,052 | 580,049 |
1,585,055 | ||
China 1.1% | ||
Guangdong Investment Ltd. (Utilities) | 207,508 | 270,447 |
France 9.1% | ||
Eiffage SA (Transportation) | 4,945 | 498,860 |
Engie SA (Utilities) | 58,973 | 773,991 |
Vinci SA (Transportation) | 8,722 | 903,459 |
2,176,310 | ||
Germany 1.1% | ||
Fraport AG Frankfurt Airport Services Worldwide (Transportation) (a) | 3,873 | 269,896 |
Italy 6.1% | ||
Atlantia SpA (Transportation) | 13,572 | 256,576 |
Enel SpA (Utilities) | 97,525 | 748,752 |
Infrastrutture Wireless Italiane SpA (Communications) | 23,156 | 258,228 |
Terna - Rete Elettrica Nazionale (Utilities) | 28,075 | 199,132 |
1,462,688 | ||
Japan 3.0% | ||
Central Japan Railway Co. (Transportation) | 1,147 | 183,326 |
Chubu Electric Power Co., Inc. (Utilities) | 14,190 | 168,323 |
West Japan Railway Co. (Transportation) | 7,358 | 366,409 |
718,058 | ||
Mexico 2.0% | ||
Grupo Aeroportuario del Sureste SAB de CV (Transportation) (b) | 14,105 | 263,609 |
Promotora y Operadora de Infraestructura SAB de CV (Transportation) | 30,979 | 214,736 |
478,345 | ||
New Zealand 1.2% | ||
Infratil Ltd. (Diversified) | 52,117 | 286,075 |
Portugal 2.9% | ||
EDP - Energias de Portugal SA (Utilities) | 134,133 | 703,621 |
Shares | Value | ||
Common Stocks | |||
Spain 4.9% | |||
Aena SME SA (Transportation) (a) | 1,306 | $ 225,273 | |
Cellnex Telecom SA (Communications) | 15,393 | 948,855 | |
1,174,128 | |||
United Kingdom 3.5% | |||
National Grid plc (Utilities) | 69,320 | 824,582 | |
United States 48.7% | |||
AES Corp. (The) (Utilities) | 27,481 | 627,391 | |
Alliant Energy Corp. (Utilities) | 4,162 | 232,989 | |
Ameren Corp. (Utilities) | 8,360 | 677,160 | |
American Electric Power Co., Inc. (Utilities) | 12,326 | 1,000,625 | |
American Tower Corp. (Communications) | 3,446 | 914,603 | |
Cheniere Energy, Inc. (Midstream / Pipelines) (a) | 8,817 | 861,156 | |
CMS Energy Corp. (Utilities) | 9,816 | 586,310 | |
Crown Castle International Corp. (Communications) | 4,472 | 775,087 | |
Dominion Energy, Inc. (Utilities) | 8,137 | 594,164 | |
Equinix, Inc. (Communications) | 307 | 242,570 | |
Exelon Corp. (Utilities) | 15,363 | 742,647 | |
FirstEnergy Corp. (Utilities) | 13,607 | 484,681 | |
Kansas City Southern (Transportation) | 855 | 231,397 | |
NextEra Energy, Inc. (Utilities) | 13,082 | 1,027,199 | |
NiSource, Inc. (Utilities) | 16,165 | 391,678 | |
Public Service Enterprise Group, Inc. (Utilities) | 10,403 | 633,543 | |
Union Pacific Corp. (Transportation) | 4,302 | 843,235 | |
WEC Energy Group, Inc. (Utilities) | 4,647 | 409,865 | |
Williams Cos., Inc. (The) (Midstream / Pipelines) | 16,116 | 418,049 | |
11,694,349 | |||
Total Common Stocks (Cost $22,169,115) | 23,840,833 | ||
Short-Term Investments 1.1% | |||
Affiliated Investment Company 1.1% | |||
United States 1.1% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (c) | 253,824 | 253,824 | |
Unaffiliated Investment Company 0.0% ‡ | |||
United States 0.0% ‡ | |||
Wells Fargo Government Money Market Fund, 0.025% (c)(d) | 12,397 | 12,397 | |
Total Short-Term Investments (Cost $266,221) | 266,221 | ||
Total Investments (Cost $22,435,336) | 100.5% | 24,107,054 | |
Other Assets, Less Liabilities | (0.5) | (108,724) | |
Net Assets | 100.0% | $ 23,998,330 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | Non-income producing security. |
(b) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $12,036. The Portfolio received cash collateral with a value of $12,397. |
(c) | Current yield as of September 30, 2021. |
(d) | Represents a security purchased with cash collateral received for securities on loan. |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Common Stocks | |||||||
Australia | $ — | $ 2,197,279 | $ — | $ 2,197,279 | |||
China | — | 270,447 | — | 270,447 | |||
France | — | 2,176,310 | — | 2,176,310 | |||
Germany | — | 269,896 | — | 269,896 | |||
Italy | — | 1,462,688 | — | 1,462,688 | |||
Japan | — | 718,058 | — | 718,058 | |||
New Zealand | — | 286,075 | — | 286,075 | |||
Portugal | — | 703,621 | — | 703,621 | |||
Spain | — | 1,174,128 | — | 1,174,128 | |||
United Kingdom | — | 824,582 | — | 824,582 | |||
All Other Countries | 13,757,749 | — | — | 13,757,749 | |||
Total Common Stocks | 13,757,749 | 10,083,084 | — | 23,840,833 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 253,824 | — | — | 253,824 | |||
Unaffiliated Investment Company | 12,397 | — | — | 12,397 | |||
Total Short-Term Investments | 266,221 | — | — | 266,221 | |||
Total Investments in Securities | $ 14,023,970 | $ 10,083,084 | $ — | $ 24,107,054 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP Candriam Emerging Markets Equity Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Common Stocks 95.8% | ||
Argentina 0.7% | ||
MercadoLibre, Inc. (Internet & Direct Marketing Retail) (a) | 1,400 | $ 2,351,160 |
Brazil 4.5% | ||
Banco BTG Pactual SA (Capital Markets) | 142,000 | 656,056 |
Banco Inter SA (Banks) | 136,000 | 1,165,018 |
Banco Santander Brasil SA (Banks) | 530,000 | 3,442,336 |
Cosan SA (Oil, Gas & Consumable Fuels) | 845,000 | 3,565,735 |
Meliuz SA (Interactive Media & Services) (b) | 453,000 | 499,937 |
Notre Dame Intermedica Participacoes SA (Health Care Providers & Services) | 49,000 | 671,329 |
Pagseguro Digital Ltd., Class A (IT Services) (a) | 21,700 | 1,122,324 |
Smartfit Escola de Ginastica e Danca SA (Hotels, Restaurants & Leisure) (a) | 120,000 | 564,110 |
VTEX, Class A (Interactive Media & Services) (a) | 30,000 | 617,100 |
WEG SA (Electrical Equipment) | 264,000 | 1,921,190 |
XP, Inc., Class A (Capital Markets) (a) | 7,000 | 281,190 |
14,506,325 | ||
China 34.0% | ||
Aier Eye Hospital Group Co. Ltd., Class A (Health Care Providers & Services) (c) | 160,057 | 1,317,525 |
Airtac International Group (Machinery) | 56,000 | 1,752,688 |
Alibaba Group Holding Ltd. (Internet & Direct Marketing Retail) (a) | 520,000 | 9,672,006 |
Asia Cement China Holdings Corp. (Construction Materials) | 15,500 | 12,137 |
Bank of Ningbo Co. Ltd., Class A (Banks) (c) | 370,857 | 2,018,207 |
Brilliance China Automotive Holdings Ltd. (Automobiles) (a)(c)(d)(e) | 1,142,000 | 456,800 |
BYD Co. Ltd., Class H (Automobiles) | 78,000 | 2,408,915 |
CanSino Biologics, Inc., Class H (Pharmaceuticals) (a)(b)(f) | 30,000 | 1,056,629 |
China Construction Bank Corp., Class H (Banks) | 4,700,000 | 3,333,938 |
China Feihe Ltd. (Food Products) (b) | 360,000 | 606,406 |
China Hongqiao Group Ltd. (Metals & Mining) | 440,000 | 553,890 |
China Meidong Auto Holdings Ltd. (Specialty Retail) | 220,000 | 1,101,246 |
China Mengniu Dairy Co. Ltd. (Food Products) | 240,000 | 1,543,940 |
China Merchants Bank Co. Ltd., Class H (Banks) | 530,000 | 4,206,615 |
China Molybdenum Co. Ltd., Class H (Metals & Mining) | 2,299,660 | 1,405,304 |
China Petroleum & Chemical Corp., Class H (Oil, Gas & Consumable Fuels) | 3,400,000 | 1,673,359 |
China Tourism Group Duty Free Corp. Ltd., Class A (Specialty Retail) (c) | 37,000 | 1,489,281 |
Chongqing Zhifei Biological Products Co. Ltd., Class A (Biotechnology) (c) | 43,992 | 1,082,800 |
Contemporary Amperex Technology Co. Ltd., Class A (Electrical Equipment) (c) | 35,506 | 2,889,580 |
Country Garden Services Holdings Co. Ltd. (Real Estate Management & Development) | 120,000 | 941,722 |
East Money Information Co. Ltd., Class A (Capital Markets) (c) | 350,178 | 1,854,975 |
Ecovacs Robotics Co. Ltd., Class A (Household Durables) (c) | 25,968 | 607,900 |
ENN Energy Holdings Ltd. (Gas Utilities) | 108,000 | 1,768,590 |
Ganfeng Lithium Co. Ltd., Class A (Metals & Mining) (c) | 83,994 | 2,100,968 |
Geely Automobile Holdings Ltd. (Automobiles) | 400,000 | 1,133,904 |
Jafron Biomedical Co. Ltd., Class A (Health Care Equipment & Supplies) (c) | 97,920 | 884,777 |
JD.com, Inc., Class A (Internet & Direct Marketing Retail) (a) | 94,000 | 3,415,990 |
Jiumaojiu International Holdings Ltd. (Hotels, Restaurants & Leisure) (b) | 260,000 | 784,841 |
Lenovo Group Ltd. (Technology Hardware, Storage & Peripherals) | 1,600,000 | 1,716,374 |
Li Ning Co. Ltd. (Textiles, Apparel & Luxury Goods) | 280,000 | 3,230,058 |
Longfor Group Holdings Ltd. (Real Estate Management & Development) | 230,000 | 1,056,983 |
Shares | Value | |
Common Stocks | ||
China | ||
LONGi Green Energy Technology Co. Ltd., Class A (Semiconductors & Semiconductor Equipment) (c) | 131,600 | $ 1,671,324 |
Meituan (Internet & Direct Marketing Retail) (a) | 154,000 | 4,808,911 |
MMG Ltd. (Metals & Mining) (a) | 1,340,000 | 553,386 |
Ping An Bank Co. Ltd., Class A (Banks) (c) | 320,997 | 891,097 |
Ping An Insurance Group Co. of China Ltd., Class H (Insurance) | 296,000 | 2,008,517 |
Sany Heavy Industry Co. Ltd., Class A (Machinery) (c) | 309,906 | 1,220,580 |
Shandong Linglong Tyre Co. Ltd., Class A (Auto Components) (c) | 150,000 | 815,512 |
Shandong Sinocera Functional Material Co. Ltd., Class A (Chemicals) (c) | 180,482 | 1,149,661 |
Shanghai Baosight Software Co. Ltd., Class A (Software) (c) | 111,874 | 1,133,291 |
Shenzhen Inovance Technology Co. Ltd., Class A (Machinery) (c) | 150,000 | 1,462,878 |
Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A (Health Care Equipment & Supplies) (c) | 18,964 | 1,128,749 |
Silergy Corp. (Semiconductors & Semiconductor Equipment) | 18,000 | 2,643,347 |
Sunny Optical Technology Group Co. Ltd. (Electronic Equipment, Instruments & Components) | 73,000 | 1,915,481 |
Tencent Holdings Ltd. (Interactive Media & Services) | 224,000 | 13,134,065 |
Will Semiconductor Co. Ltd. Shanghai, Class A (Semiconductors & Semiconductor Equipment) (c) | 43,006 | 1,606,264 |
Wuxi Biologics Cayman, Inc. (Life Sciences Tools & Services) (a)(b) | 230,000 | 3,717,551 |
Wuxi Lead Intelligent Equipment Co. Ltd., Class A (Electronic Equipment, Instruments & Components) (c) | 175,984 | 1,876,558 |
Xiaomi Corp., Class B (Technology Hardware, Storage & Peripherals) (a)(b) | 440,000 | 1,197,368 |
Xinyi Solar Holdings Ltd. (Semiconductors & Semiconductor Equipment) | 1,000,000 | 2,036,104 |
Yantai Jereh Oilfield Services Group Co. Ltd., Class A (Energy Equipment & Services) (c) | 269,899 | 2,003,911 |
Yonyou Network Technology Co. Ltd., Class A (Software) (c) | 220,988 | 1,133,235 |
Yunnan Energy New Material Co. Ltd. (Containers & Packaging) (c) | 65,916 | 2,858,088 |
109,044,226 | ||
Greece 0.0% ‡ | ||
FF Group (Textiles, Apparel & Luxury Goods) (a)(c)(d)(e) | 19,000 | 0 |
Hong Kong 1.5% | ||
AIA Group Ltd. (Insurance) | 99,000 | 1,139,900 |
China Lumena New Materials Corp. (Chemicals) (a)(c)(d)(e) | 6,500 | 0 |
Hong Kong Exchanges & Clearing Ltd. (Capital Markets) | 20,000 | 1,213,965 |
Nine Dragons Paper Holdings Ltd. (Paper & Forest Products) | 840,000 | 1,027,139 |
Xinyi Glass Holdings Ltd. (Building Products) | 480,000 | 1,425,832 |
4,806,836 | ||
Hungary 0.7% | ||
OTP Bank Nyrt. (Banks) | 37,000 | 2,169,090 |
India 14.8% | ||
Asian Paints Ltd. (Chemicals) | 55,000 | 2,386,409 |
Bajaj Finance Ltd. (Consumer Finance) | 35,700 | 3,664,897 |
Bharti Airtel Ltd. (Wireless Telecommunication Services) (a) | 214,000 | 1,961,917 |
Divi's Laboratories Ltd. (Life Sciences Tools & Services) | 34,000 | 2,188,388 |
GAIL India Ltd. (Gas Utilities) | 1,000,000 | 2,105,797 |
Graphite India Ltd. (Electrical Equipment) | 170,000 | 1,370,248 |
Grasim Industries Ltd. (Construction Materials) | 37,000 | 824,983 |
HDFC Bank Ltd. (Banks) | 124,000 | 2,658,371 |
ICICI Bank Ltd. (Banks) | 490,000 | 4,605,869 |
Shares | Value | |
Common Stocks | ||
India | ||
Info Edge India Ltd. (Interactive Media & Services) | 27,800 | $ 2,407,316 |
Infosys Ltd. (IT Services) | 228,000 | 5,075,705 |
JSW Steel Ltd. (Metals & Mining) | 410,000 | 3,637,482 |
Jubilant Foodworks Ltd. (Hotels, Restaurants & Leisure) | 31,922 | 1,732,184 |
Motherson Sumi Systems Ltd. (Auto Components) | 450,000 | 1,355,018 |
Piramal Enterprises Ltd. (Diversified Financial Services) | 14,000 | 484,521 |
Reliance Industries Ltd. (Oil, Gas & Consumable Fuels) | 144,000 | 4,869,705 |
State Bank of India (Banks) | 530,000 | 3,237,352 |
Tata Consumer Products Ltd. (Food Products) | 184,000 | 2,004,954 |
Zomato Ltd. (Internet & Direct Marketing Retail) (a) | 455,000 | 836,534 |
47,407,650 | ||
Indonesia 1.0% | ||
Bank Central Asia Tbk. PT (Banks) | 1,320,000 | 3,228,725 |
Mexico 2.2% | ||
Alsea SAB de CV (Hotels, Restaurants & Leisure) (a) | 780,000 | 1,572,357 |
Grupo Financiero Banorte SAB de CV, Class O (Banks) | 460,000 | 2,954,349 |
Ternium SA, Sponsored ADR (Metals & Mining) | 59,000 | 2,495,700 |
7,022,406 | ||
Peru 0.6% | ||
Southern Copper Corp. (Metals & Mining) | 32,000 | 1,796,480 |
Poland 1.4% | ||
Dino Polska SA (Food & Staples Retailing) (a)(b) | 26,900 | 2,245,305 |
Powszechny Zaklad Ubezpieczen SA (Insurance) | 236,000 | 2,156,156 |
4,401,461 | ||
Republic of Korea 13.0% | ||
Kakao Corp. (Interactive Media & Services) | 15,400 | 1,508,631 |
KakaoBank Corp. (Banks) (a) | 18,000 | 1,039,865 |
KB Financial Group, Inc. (Banks) | 124,000 | 5,765,764 |
Kia Corp. (Automobiles) | 56,000 | 3,783,674 |
NAVER Corp. (Interactive Media & Services) | 4,500 | 1,466,299 |
Samsung Biologics Co. Ltd. (Life Sciences Tools & Services) (a)(b) | 2,400 | 1,756,568 |
Samsung C&T Corp. (Industrial Conglomerates) | 11,000 | 1,130,878 |
Samsung Electro-Mechanics Co. Ltd. (Electronic Equipment, Instruments & Components) | 10,400 | 1,529,924 |
Samsung Electronics Co. Ltd. (Technology Hardware, Storage & Peripherals) | 220,000 | 13,692,537 |
Samsung Engineering Co. Ltd. (Construction & Engineering) (a) | 80,000 | 1,694,590 |
Samsung SDI Co. Ltd. (Electronic Equipment, Instruments & Components) | 4,600 | 2,767,180 |
SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | 31,000 | 2,673,145 |
S-Oil Corp. (Oil, Gas & Consumable Fuels) | 30,000 | 2,753,660 |
41,562,715 | ||
Russia 4.0% | ||
HeadHunter Group plc, ADR (Professional Services) | 20,000 | 976,000 |
Mobile TeleSystems PJSC, Sponsored ADR (Wireless Telecommunication Services) | 120,000 | 1,156,800 |
Shares | Value | |
Common Stocks | ||
Russia | ||
Polymetal International plc (Metals & Mining) | 74,000 | $ 1,253,222 |
Tatneft PJSC (Oil, Gas & Consumable Fuels) | 99,694 | 720,141 |
TCS Group Holding plc (Registered), GDR (Banks) | 58,000 | 5,280,783 |
Yandex NV, Class A (Interactive Media & Services) (a) | 43,000 | 3,426,670 |
12,813,616 | ||
South Africa 2.7% | ||
Capitec Bank Holdings Ltd. (Banks) | 21,000 | 2,537,565 |
FirstRand Ltd. (Diversified Financial Services) | 280,000 | 1,187,522 |
Impala Platinum Holdings Ltd. (Metals & Mining) | 53,000 | 592,977 |
Kumba Iron Ore Ltd. (Metals & Mining) | 24,000 | 790,268 |
Naspers Ltd., Class N (Internet & Direct Marketing Retail) | 22,500 | 3,707,729 |
8,816,061 | ||
Taiwan 12.7% | ||
Accton Technology Corp. (Communications Equipment) | 160,000 | 1,504,310 |
Alchip Technologies Ltd. (Semiconductors & Semiconductor Equipment) | 56,000 | 1,855,388 |
ASPEED Technology, Inc. (Semiconductors & Semiconductor Equipment) | 23,000 | 1,892,860 |
Chailease Holding Co. Ltd. (Diversified Financial Services) | 658,000 | 5,781,861 |
Delta Electronics, Inc. (Electronic Equipment, Instruments & Components) | 220,000 | 1,979,175 |
Globalwafers Co. Ltd. (Semiconductors & Semiconductor Equipment) | 62,000 | 1,751,382 |
MediaTek, Inc. (Semiconductors & Semiconductor Equipment) | 144,000 | 4,641,596 |
Realtek Semiconductor Corp. (Semiconductors & Semiconductor Equipment) | 122,000 | 2,149,999 |
Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | 745,000 | 15,362,678 |
United Microelectronics Corp. (Semiconductors & Semiconductor Equipment) | 1,060,000 | 2,418,762 |
Wiwynn Corp. (Technology Hardware, Storage & Peripherals) | 49,000 | 1,523,229 |
40,861,240 | ||
Thailand 1.2% | ||
Carabao Group PCL, NVDR (Beverages) | 200,000 | 703,661 |
Energy Absolute PCL, NVDR (Independent Power and Renewable Electricity Producers) | 960,000 | 1,734,688 |
Srisawad Corp. PCL, NVDR (Consumer Finance) (f) | 730,000 | 1,345,994 |
3,784,343 | ||
Turkey 0.3% | ||
Ford Otomotiv Sanayi A/S (Automobiles) | 46,000 | 863,669 |
United States 0.2% | ||
Globant SA (IT Services) (a) | 2,400 | 674,424 |
Uruguay 0.3% | ||
Dlocal Ltd. (IT Services) (a)(f) | 19,000 | 1,036,640 |
Total Common Stocks (Cost $271,638,363) | 307,147,067 |
Shares | Value | ||
Preferred Stocks 1.2% | |||
Brazil 0.6% | |||
Petroleo Brasileiro SA (Oil, Gas & Consumable Fuels) 2.69% | 360,000 | $ 1,800,083 | |
Chile 0.6% | |||
Sociedad Quimica y Minera de Chile SA, Sponsored ADR (Chemicals) 0.35% | 36,000 | 1,933,920 | |
Total Preferred Stocks (Cost $3,648,400) | 3,734,003 | ||
Number of Rights | |||
Rights 0.0% ‡ | |||
China 0.0% ‡ | |||
Airtac International Group (Machinery) | |||
Expires 10/8/21 (a) | 2,601 | 14,661 | |
India 0.0% ‡ | |||
Bharti Airtel Ltd. (Wireless Telecommunication Services) | |||
Expires 10/21/21 (a)(c)(d)(e) | 14,428 | 24,095 | |
Total Rights (Cost $0) | 38,756 | ||
Shares | |||
Short-Term Investment 0.0% ‡ | |||
Unaffiliated Investment Company 0.0% ‡ | |||
United States 0.0% ‡ | |||
Wells Fargo Government Money Market Fund, 0.025% (g)(h) | 109,915 | 109,915 | |
Total Short-Term Investment (Cost $109,915) | 109,915 | ||
Total Investments (Cost $275,396,678) | 97.0% | 311,029,741 | |
Other Assets, Less Liabilities | 3.0 | 9,491,418 | |
Net Assets | 100.0% | $ 320,521,159 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | Non-income producing security. |
(b) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
(c) | Illiquid security—As of September 30, 2021, the total market value deemed illiquid under procedures approved by the Board of Trustees was $33,678,056, which represented 10.5% of the Portfolio’s net assets. |
(d) | Fair valued security—Represents fair value as measured in good faith under procedures approved by the Board of Trustees. As of September 30, 2021, the total market value was $480,895, which represented 0.2% of the Portfolio’s net assets. |
(e) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(f) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $3,027,027; the total market value of collateral held by the Portfolio was $3,265,081. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $3,155,166. The Portfolio received cash collateral with a value of $109,915. |
(g) | Current yield as of September 30, 2021. |
(h) | Represents a security purchased with cash collateral received for securities on loan. |
Abbreviation(s): |
ADR—American Depositary Receipt |
GDR—Global Depositary Receipt |
NVDR—Non-Voting Depositary Receipt |
PCL—Provision for Credit Losses |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Common Stocks | |||||||
China | $ — | $ 108,587,426 | $ 456,800 | $ 109,044,226 | |||
Hong Kong | — | 4,806,836 | — | 4,806,836 | |||
Hungary | — | 2,169,090 | — | 2,169,090 | |||
India | — | 47,407,650 | — | 47,407,650 | |||
Indonesia | — | 3,228,725 | — | 3,228,725 | |||
Poland | — | 4,401,461 | — | 4,401,461 | |||
Republic of Korea | — | 41,562,715 | — | 41,562,715 | |||
Russia | 5,559,470 | 7,254,146 | — | 12,813,616 | |||
South Africa | — | 8,816,061 | — | 8,816,061 | |||
Taiwan | — | 40,861,240 | — | 40,861,240 | |||
Thailand | — | 3,784,343 | — | 3,784,343 | |||
Turkey | — | 863,669 | — | 863,669 | |||
All Other Countries | 27,387,435 | — | — | 27,387,435 | |||
Total Common Stocks | 32,946,905 | 273,743,362 | 456,800 | 307,147,067 | |||
Preferred Stocks | 3,734,003 | — | — | 3,734,003 | |||
Rights | — | 14,661 | 24,095 | 38,756 | |||
Short-Term Investment | |||||||
Unaffiliated Investment Company | 109,915 | — | — | 109,915 | |||
Total Investments in Securities | $ 36,790,823 | $ 273,758,023 | $ 480,895 | $ 311,029,741 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP Epoch U.S. Equity Yield Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Common Stocks 97.3% | ||
Aerospace & Defense 2.8% | ||
General Dynamics Corp. | 34,434 | $ 6,750,097 |
Lockheed Martin Corp. | 31,454 | 10,854,776 |
Raytheon Technologies Corp. | 126,146 | 10,843,510 |
28,448,383 | ||
Air Freight & Logistics 0.9% | ||
United Parcel Service, Inc., Class B | 49,002 | 8,923,264 |
Banks 7.3% | ||
Bank of America Corp. | 375,106 | 15,923,250 |
JPMorgan Chase & Co. | 121,092 | 19,821,549 |
PNC Financial Services Group, Inc. (The) | 50,326 | 9,845,779 |
Truist Financial Corp. | 275,908 | 16,182,004 |
U.S. Bancorp | 196,338 | 11,670,331 |
73,442,913 | ||
Beverages 2.8% | ||
Coca-Cola Co. (The) | 174,486 | 9,155,280 |
Coca-Cola Europacific Partners plc | 139,059 | 7,688,572 |
PepsiCo, Inc. | 77,145 | 11,603,380 |
28,447,232 | ||
Biotechnology 3.0% | ||
AbbVie, Inc. | 165,006 | 17,799,197 |
Amgen, Inc. | 58,603 | 12,461,928 |
30,261,125 | ||
Capital Markets 4.4% | ||
BlackRock, Inc. | 20,528 | 17,216,012 |
CME Group, Inc. | 37,745 | 7,299,128 |
Lazard Ltd., Class A | 289,195 | 13,245,131 |
T. Rowe Price Group, Inc. | 32,778 | 6,447,433 |
44,207,704 | ||
Chemicals 5.3% | ||
Dow, Inc. | 195,014 | 11,225,006 |
Linde plc | 25,494 | 7,479,429 |
LyondellBasell Industries NV, Class A | 93,368 | 8,762,587 |
Nutrien Ltd. | 309,572 | 20,069,553 |
PPG Industries, Inc. | 42,711 | 6,108,100 |
53,644,675 | ||
Commercial Services & Supplies 1.7% | ||
Republic Services, Inc. | 92,044 | 11,050,803 |
Waste Management, Inc. | 38,407 | 5,736,469 |
16,787,272 | ||
Communications Equipment 1.4% | ||
Cisco Systems, Inc. | 260,901 | 14,200,841 |
Shares | Value | |
Common Stocks | ||
Containers & Packaging 0.9% | ||
Amcor plc | 810,516 | $ 9,393,880 |
Diversified Telecommunication Services 1.9% | ||
AT&T, Inc. | 255,604 | 6,903,864 |
Verizon Communications, Inc. | 226,137 | 12,213,659 |
19,117,523 | ||
Electric Utilities 5.5% | ||
Alliant Energy Corp. | 104,294 | 5,838,378 |
American Electric Power Co., Inc. | 125,289 | 10,170,961 |
Duke Energy Corp. | 60,590 | 5,912,978 |
Entergy Corp. | 123,167 | 12,231,715 |
Evergy, Inc. | 134,755 | 8,381,761 |
Eversource Energy | 83,767 | 6,848,790 |
NextEra Energy, Inc. | 76,482 | 6,005,367 |
55,389,950 | ||
Electrical Equipment 3.3% | ||
Eaton Corp. plc | 101,977 | 15,226,186 |
Emerson Electric Co. | 196,669 | 18,526,220 |
33,752,406 | ||
Equity Real Estate Investment Trusts 3.8% | ||
American Tower Corp. | 28,805 | 7,645,135 |
Iron Mountain, Inc. | 353,938 | 15,378,606 |
Welltower, Inc. | 64,232 | 5,292,717 |
WP Carey, Inc. | 137,065 | 10,011,228 |
38,327,686 | ||
Food & Staples Retailing 1.4% | ||
Walmart, Inc. | 100,652 | 14,028,876 |
Health Care Equipment & Supplies 2.0% | ||
Medtronic plc | 163,891 | 20,543,737 |
Health Care Providers & Services 2.0% | ||
CVS Health Corp. | 118,200 | 10,030,452 |
UnitedHealth Group, Inc. | 25,494 | 9,961,526 |
19,991,978 | ||
Hotels, Restaurants & Leisure 1.6% | ||
McDonald's Corp. | 44,035 | 10,617,279 |
Vail Resorts, Inc. | 16,555 | 5,530,198 |
16,147,477 | ||
Household Durables 0.7% | ||
Leggett & Platt, Inc. | 147,668 | 6,621,433 |
Shares | Value | |
Common Stocks | ||
Household Products 2.9% | ||
Colgate-Palmolive Co. | 68,205 | $ 5,154,934 |
Kimberly-Clark Corp. | 75,489 | 9,997,763 |
Procter & Gamble Co. (The) | 104,956 | 14,672,849 |
29,825,546 | ||
Industrial Conglomerates 1.3% | ||
Honeywell International, Inc. | 62,908 | 13,354,110 |
Insurance 5.2% | ||
Arthur J. Gallagher & Co. | 110,254 | 16,389,257 |
Marsh & McLennan Cos., Inc. | 49,669 | 7,521,376 |
MetLife, Inc. | 323,478 | 19,968,297 |
Travelers Cos., Inc. (The) | 58,272 | 8,857,927 |
52,736,857 | ||
IT Services 2.2% | ||
Automatic Data Processing, Inc. | 28,143 | 5,626,348 |
International Business Machines Corp. | 78,441 | 10,897,808 |
Paychex, Inc. | 53,637 | 6,031,481 |
22,555,637 | ||
Leisure Products 0.9% | ||
Hasbro, Inc. | 107,605 | 9,600,518 |
Machinery 0.7% | ||
Cummins, Inc. | 33,109 | 7,434,957 |
Media 2.1% | ||
Comcast Corp., Class A | 280,105 | 15,666,273 |
Omnicom Group, Inc. | 77,476 | 5,613,911 |
21,280,184 | ||
Multiline Retail 1.3% | ||
Target Corp. | 56,617 | 12,952,271 |
Multi-Utilities 3.2% | ||
Ameren Corp. | 101,174 | 8,195,094 |
CMS Energy Corp. | 85,091 | 5,082,485 |
Dominion Energy, Inc. | 84,429 | 6,165,006 |
NiSource, Inc. | 218,521 | 5,294,764 |
WEC Energy Group, Inc. | 81,449 | 7,183,802 |
31,921,151 | ||
Oil, Gas & Consumable Fuels 3.7% | ||
Chevron Corp. | 125,484 | 12,730,352 |
Enterprise Products Partners LP | 471,808 | 10,209,925 |
Magellan Midstream Partners LP | 172,499 | 7,862,504 |
Shares | Value | |
Common Stocks | ||
Oil, Gas & Consumable Fuels | ||
Phillips 66 | 94,030 | $ 6,584,921 |
37,387,702 | ||
Pharmaceuticals 5.7% | ||
Eli Lilly and Co. | 41,056 | 9,485,989 |
Johnson & Johnson | 104,294 | 16,843,481 |
Merck & Co., Inc. | 225,749 | 16,956,007 |
Pfizer, Inc. | 327,120 | 14,069,431 |
57,354,908 | ||
Semiconductors & Semiconductor Equipment 6.7% | ||
Analog Devices, Inc. | 95,686 | 16,025,491 |
Broadcom, Inc. | 38,359 | 18,601,430 |
Intel Corp. | 183,094 | 9,755,248 |
KLA Corp. | 39,731 | 13,290,417 |
Texas Instruments, Inc. | 52,592 | 10,108,709 |
67,781,295 | ||
Software 1.7% | ||
Microsoft Corp. | 59,325 | 16,724,904 |
Specialty Retail 1.4% | ||
Home Depot, Inc. (The) | 44,035 | 14,454,929 |
Technology Hardware, Storage & Peripherals 1.0% | ||
Apple, Inc. | 73,172 | 10,353,838 |
Textiles, Apparel & Luxury Goods 0.6% | ||
Hanesbrands, Inc. | 323,809 | 5,556,562 |
Tobacco 2.7% | ||
Altria Group, Inc. | 204,284 | 9,299,008 |
British American Tobacco plc, Sponsored ADR | 183,094 | 6,459,556 |
Philip Morris International, Inc. | 122,504 | 11,612,154 |
27,370,718 | ||
Trading Companies & Distributors 1.3% | ||
MSC Industrial Direct Co., Inc., Class A | 102,920 | 8,253,155 |
Watsco, Inc. | 20,197 | 5,344,530 |
13,597,685 | ||
Total Common Stocks (Cost $774,283,022) | 983,922,127 |
Shares | Value | ||
Short-Term Investment 2.8% | |||
Affiliated Investment Company 2.8% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (a) | 28,824,280 | $ 28,824,280 | |
Total Short-Term Investment (Cost $28,824,280) | 28,824,280 | ||
Total Investments (Cost $803,107,302) | 100.1% | 1,012,746,407 | |
Other Assets, Less Liabilities | (0.1) | (1,052,629) | |
Net Assets | 100.0% | $ 1,011,693,778 |
† | Percentages indicated are based on Portfolio net assets. |
(a) | Current yield as of September 30, 2021. |
Abbreviation(s): |
ADR—American Depositary Receipt |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Common Stocks | $ 983,922,127 | $ — | $ — | $ 983,922,127 | |||
Short-Term Investment | |||||||
Affiliated Investment Company | 28,824,280 | — | — | 28,824,280 | |||
Total Investments in Securities | $ 1,012,746,407 | $ — | $ — | $ 1,012,746,407 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP Fidelity Institutional AM® Utilities Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | ||
Common Stocks 99.5% | |||
Electric Utilities 66.0% | |||
American Electric Power Co., Inc. | 596,048 | $ 48,387,177 | |
Duke Energy Corp. | 536,545 | 52,361,427 | |
Edison International | 899,037 | 49,869,582 | |
Entergy Corp. | 261,100 | 25,929,841 | |
Evergy, Inc. | 682,521 | 42,452,806 | |
Exelon Corp. | 2,151,398 | 103,998,579 | |
FirstEnergy Corp. | 1,446,541 | 51,525,790 | |
NextEra Energy, Inc. | 1,865,932 | 146,512,981 | |
NRG Energy, Inc. | 493,395 | 20,145,318 | |
OGE Energy Corp. | 434,400 | 14,317,824 | |
PG&E Corp. (a) | 4,778,999 | 45,878,390 | |
Pinnacle West Capital Corp. | 131,600 | 9,522,576 | |
Southern Co. (The) | 1,614,882 | 100,074,238 | |
710,976,529 | |||
Independent Power and Renewable Electricity Producers 8.4% | |||
AES Corp. (The) | 2,218,879 | 50,657,007 | |
NextEra Energy Partners LP (b) | 219,903 | 16,571,890 | |
Sunnova Energy International, Inc. (a) | 215,123 | 7,086,152 | |
Vistra Corp. | 915,530 | 15,655,563 | |
89,970,612 | |||
Multi-Utilities 25.1% | |||
CenterPoint Energy, Inc. | 1,737,098 | 42,732,611 | |
Dominion Energy, Inc. | 957,043 | 69,883,280 | |
NiSource, Inc. | 1,367,684 | 33,138,983 | |
Public Service Enterprise Group, Inc. | 865,131 | 52,686,478 | |
Sempra Energy | 569,143 | 71,996,589 | |
270,437,941 | |||
Total Common Stocks (Cost $995,058,928) | 1,071,385,082 | ||
Short-Term Investment 0.9% | |||
Affiliated Investment Company 0.9% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (c) | 9,665,616 | 9,665,616 | |
Total Short-Term Investment (Cost $9,665,616) | 9,665,616 | ||
Total Investments (Cost $1,004,724,544) | 100.4% | 1,081,050,698 | |
Other Assets, Less Liabilities | (0.4) | (4,736,144) | |
Net Assets | 100.0% | $ 1,076,314,554 |
† | Percentages indicated are based on Portfolio net assets. |
(a) | Non-income producing security. |
(b) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $7,235,314. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $7,415,011. |
(c) | Current yield as of September 30, 2021. |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Common Stocks | $ 1,071,385,082 | $ — | $ — | $ 1,071,385,082 | |||
Short-Term Investment | |||||||
Affiliated Investment Company | 9,665,616 | — | — | 9,665,616 | |||
Total Investments in Securities | $ 1,081,050,698 | $ — | $ — | $ 1,081,050,698 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP Floating Rate Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Principal Amount | Value | |
Long-Term Bonds 98.2% | ||
Corporate Bonds 3.8% | ||
Aerospace & Defense 0.1% | ||
Howmet Aerospace, Inc. | ||
6.875%, due 5/1/25 | $ 200,000 | $ 234,004 |
Spirit AeroSystems, Inc. | ||
7.50%, due 4/15/25 (a) | 900,000 | 952,875 |
1,186,879 | ||
Airlines 0.1% | ||
United Airlines, Inc. (a) | ||
4.375%, due 4/15/26 | 200,000 | 205,250 |
4.625%, due 4/15/29 | 600,000 | 620,070 |
825,320 | ||
Auto Manufacturers 0.1% | ||
Ford Motor Co. | ||
8.50%, due 4/21/23 | 300,000 | 329,982 |
9.00%, due 4/22/25 | 600,000 | 721,518 |
1,051,500 | ||
Building Materials 0.1% | ||
Koppers, Inc. | ||
6.00%, due 2/15/25 (a) | 500,000 | 511,250 |
Chemicals 0.1% | ||
Kraton Polymers LLC | ||
4.25%, due 12/15/25 (a) | 400,000 | 418,000 |
Unifrax Escrow Issuer Corp. | ||
5.25%, due 9/30/28 (a) | 330,000 | 334,125 |
WR Grace Holdings LLC | ||
5.625%, due 8/15/29 (a) | 300,000 | 309,003 |
1,061,128 | ||
Commercial Services 0.6% | ||
Herc Holdings, Inc. | ||
5.50%, due 7/15/27 (a) | 850,000 | 891,841 |
Jaguar Holding Co. II | ||
4.625%, due 6/15/25 (a) | 1,200,000 | 1,246,500 |
Prime Security Services Borrower LLC | ||
6.25%, due 1/15/28 (a) | 1,000,000 | 1,033,780 |
Sotheby's | ||
5.875%, due 6/1/29 (a) | 900,000 | 925,875 |
Team Health Holdings, Inc. | ||
6.375%, due 2/1/25 (a) | 500,000 | 483,190 |
4,581,186 | ||
Distribution & Wholesale 0.1% | ||
IAA, Inc. | ||
5.50%, due 6/15/27 (a) | 500,000 | 522,500 |
Principal Amount | Value | |
Corporate Bonds | ||
Distribution & Wholesale | ||
KAR Auction Services, Inc. | ||
5.125%, due 6/1/25 (a) | $ 350,000 | $ 353,938 |
876,438 | ||
Electric 0.2% | ||
Vistra Operations Co. LLC | ||
5.00%, due 7/31/27 (a) | 1,500,000 | 1,548,750 |
Entertainment 0.1% | ||
Scientific Games International, Inc. | ||
7.00%, due 5/15/28 (a) | 900,000 | 970,875 |
Environmental Control 0.3% | ||
GFL Environmental, Inc. (a) | ||
3.75%, due 8/1/25 | 1,000,000 | 1,028,750 |
4.25%, due 6/1/25 | 500,000 | 515,625 |
4.75%, due 6/15/29 | 1,000,000 | 1,027,500 |
2,571,875 | ||
Food 0.1% | ||
Post Holdings, Inc. | ||
5.50%, due 12/15/29 (a) | 240,000 | 254,400 |
U.S. Foods, Inc. | ||
6.25%, due 4/15/25 (a) | 500,000 | 524,475 |
778,875 | ||
Healthcare-Products 0.0% ‡ | ||
Mozart Debt Merger Sub, Inc. | ||
5.25%, due 10/1/29 (a) | 200,000 | 200,000 |
Healthcare-Services 0.0% ‡ | ||
Acadia Healthcare Co., Inc. | ||
5.00%, due 4/15/29 (a) | 120,000 | 124,950 |
Iron & Steel 0.0% ‡ | ||
Carpenter Technology Corp. | ||
6.375%, due 7/15/28 | 310,000 | 333,464 |
Lodging 0.2% | ||
Boyd Gaming Corp. | ||
4.75%, due 12/1/27 | 400,000 | 412,276 |
8.625%, due 6/1/25 (a) | 1,000,000 | 1,083,750 |
1,496,026 | ||
Machinery-Diversified 0.0% ‡ | ||
GrafTech Finance, Inc. | ||
4.625%, due 12/15/28 (a) | 220,000 | 225,775 |
Principal Amount | Value | |
Corporate Bonds | ||
Media 0.1% | ||
Radiate Holdco LLC | ||
4.50%, due 9/15/26 (a) | $ 370,000 | $ 382,025 |
Univision Communications, Inc. | ||
6.625%, due 6/1/27 (a) | 600,000 | 651,750 |
1,033,775 | ||
Oil & Gas Services 0.1% | ||
USA Compression Partners LP | ||
6.875%, due 4/1/26 | 360,000 | 374,833 |
Packaging & Containers 0.2% | ||
Ardagh Metal Packaging Finance USA LLC | ||
4.00%, due 9/1/29 (a) | 400,000 | 404,500 |
Ardagh Packaging Finance plc | ||
5.25%, due 4/30/25 (a) | 1,000,000 | 1,044,280 |
Plastipak Holdings, Inc. | ||
6.25%, due 10/15/25 (a) | 220,000 | 223,987 |
1,672,767 | ||
Pharmaceuticals 0.1% | ||
Bausch Health Cos., Inc. | ||
5.50%, due 11/1/25 (a) | 300,000 | 304,500 |
Organon & Co. | ||
5.125%, due 4/30/31 (a) | 600,000 | 630,210 |
934,710 | ||
Real Estate 0.2% | ||
Realogy Group LLC (a) | ||
5.75%, due 1/15/29 | 1,330,000 | 1,379,556 |
7.625%, due 6/15/25 | 240,000 | 256,308 |
1,635,864 | ||
Real Estate Investment Trusts 0.1% | ||
Iron Mountain, Inc. | ||
5.00%, due 7/15/28 (a) | 350,000 | 364,805 |
RHP Hotel Properties LP | ||
4.75%, due 10/15/27 | 300,000 | 310,491 |
675,296 | ||
Retail 0.5% | ||
1011778 BC ULC | ||
4.00%, due 10/15/30 (a) | 1,040,000 | 1,029,600 |
IRB Holding Corp. | ||
7.00%, due 6/15/25 (a) | 580,000 | 615,800 |
LBM Acquisition LLC | ||
6.25%, due 1/15/29 (a) | 1,000,000 | 999,500 |
Principal Amount | Value | |
Corporate Bonds | ||
Retail | ||
Michaels Cos., Inc. (The) (a) | ||
5.25%, due 5/1/28 | $ 450,000 | $ 464,175 |
7.875%, due 5/1/29 | 600,000 | 623,535 |
3,732,610 | ||
Software 0.1% | ||
Clarivate Science Holdings Corp. (a) | ||
3.875%, due 7/1/28 | 300,000 | 300,000 |
4.875%, due 7/1/29 | 300,000 | 300,585 |
600,585 | ||
Telecommunications 0.3% | ||
Frontier Communications Holdings LLC | ||
5.875%, due 10/15/27 (a) | 280,000 | 297,500 |
LogMeIn, Inc. | ||
5.50%, due 9/1/27 (a) | 1,100,000 | 1,119,250 |
Lumen Technologies, Inc. | ||
4.50%, due 1/15/29 (a) | 670,000 | 649,217 |
Telesat Canada | ||
4.875%, due 6/1/27 (a) | 600,000 | 552,000 |
2,617,967 | ||
Total Corporate Bonds (Cost $30,498,360) | 31,622,698 | |
Loan Assignments 94.4% | ||
Aerospace & Defense 2.9% | ||
AI Convoy (Luxembourg) SARL | ||
USD Facility Term Loan B | ||
4.50% (1 Month LIBOR + 3.50%, 6 Month LIBOR + 3.50%), due 1/18/27 (b) | 858,047 | 859,119 |
Arcline FM Holdings LLC | ||
First Lien Initial Term Loan | ||
5.50% (3 Month LIBOR + 4.75%), due 6/23/28 (b) | 2,500,000 | 2,500,000 |
Asplundh Tree Expert LLC | ||
Amendment No. 1 Term Loan | ||
1.834% (1 Month LIBOR + 1.75%), due 9/7/27 (b) | 2,644,541 | 2,632,421 |
Dynasty Acquisition Co., Inc. (b) | ||
2020 Term Loan B1 | ||
3.632% (3 Month LIBOR + 3.50%), due 4/6/26 | 1,524,937 | 1,490,414 |
2020 Term Loan B2 | ||
3.632% (3 Month LIBOR + 3.50%), due 4/6/26 | 819,858 | 801,298 |
Kestrel Bidco, Inc. | ||
Term Loan | ||
4.00% (3 Month LIBOR + 3.00%), due 12/11/26 (b) | 1,231,250 | 1,200,982 |
Russell Investments U.S. Institutional Holdco, Inc. | ||
2025 Term Loan | ||
4.50% (3 Month LIBOR + 3.50%), due 5/30/25 (b) | 4,367,733 | 4,372,284 |
Principal Amount | Value | |
Loan Assignments | ||
Aerospace & Defense | ||
Science Applications International Corp. | ||
Tranche Term Loan B | ||
1.959% (1 Month LIBOR + 1.88%), due 10/31/25 (b) | $ 875,250 | $ 876,344 |
SkyMiles IP Ltd. | ||
Initial Term Loan | ||
4.75% (3 Month LIBOR + 3.75%), due 10/20/27 (b) | 1,132,357 | 1,203,129 |
TransDigm, Inc. (b) | ||
Tranche Refinancing Term Loan E | ||
2.334% (1 Month LIBOR + 2.25%), due 5/30/25 | 965,306 | 952,737 |
Tranche Refinancing Term Loan F | ||
2.334% (1 Month LIBOR + 2.25%), due 12/9/25 | 4,080,908 | 4,027,771 |
United AirLines, Inc. | ||
Term Loan B | ||
4.50% (3 Month LIBOR + 3.75%), due 4/21/28 (b) | 2,786,000 | 2,803,034 |
23,719,533 | ||
Automobile 1.7% | ||
American Axle & Manufacturing, Inc. | ||
Tranche Term Loan B | ||
3.00% (1 Month LIBOR + 2.25%), due 4/6/24 (b) | 1,304,651 | 1,302,205 |
Autokiniton U.S. Holdings, Inc. | ||
Closing Date Term Loan B | ||
5.00% (3 Month LIBOR + 4.50%), due 4/6/28 (b) | 3,052,350 | 3,053,113 |
Belron Finance 2019 LLC | ||
Dollar Second Incremental Term Loan | ||
2.438% (3 Month LIBOR + 2.25%), due 10/30/26 (b) | 1,228,125 | 1,219,528 |
Belron Finance U.S. LLC | ||
First Incremental Term Loan | ||
2.375% (3 Month LIBOR + 2.25%), due 11/13/25 (b) | 972,500 | 966,422 |
Belron Group SA | ||
Dollar Third Incremental Term Loan | ||
3.25% (3 Month LIBOR + 2.75%), due 4/13/28 (b) | 962,662 | 957,849 |
Chassix, Inc. | ||
Initial Term Loan | ||
6.50% (3 Month LIBOR + 5.50%), due 11/15/23 (b) | 1,941,166 | 1,907,196 |
Clarios Global LP | ||
First Lien Amendment No. 1 Dollar Term Loan | ||
3.334% (1 Month LIBOR + 3.25%), due 4/30/26 (b) | 1,271,560 | 1,265,202 |
KAR Auction Services, Inc. | ||
Tranche Term Loan B6 | ||
2.375% (1 Month LIBOR + 2.25%), due 9/19/26 (b) | 732,544 | 717,893 |
Wand Newco 3, Inc. | ||
First Lien Tranche Term Loan B1 | ||
3.084% (1 Month LIBOR + 3.00%), due 2/5/26 (b) | 2,646,905 | 2,620,023 |
14,009,431 |
Principal Amount | Value | |
Loan Assignments | ||
Banking 1.5% | ||
Apollo Commercial Real Estate Finance, Inc. (b) | ||
Initial Term Loan | ||
2.834% (1 Month LIBOR + 2.75%), due 5/15/26 | $ 1,466,250 | $ 1,440,591 |
Term Loan B1 | ||
4.00% (1 Month LIBOR + 3.50%), due 3/11/28 | 746,250 | 740,653 |
Broadstreet Partners, Inc. | ||
2020 Initial Term Loan | ||
3.084% (1 Month LIBOR + 3.00%), due 1/27/27 (b) | 2,521,949 | 2,489,241 |
Brookfield Property REIT, Inc. | ||
Initial Term Loan B | ||
2.584% (1 Month LIBOR + 2.50%), due 8/27/25 (b) | 1,408,153 | 1,389,964 |
Edelman Financial Engines Center LLC (The) | ||
2021 First Lien Initial Term Loan | ||
4.25% (1 Month LIBOR + 3.50%), due 4/7/28 (b) | 1,657,596 | 1,653,748 |
Greenhill & Co., Inc. | ||
New Term Loan | ||
3.335% (1 Month LIBOR + 3.25%), due 4/12/24 (b)(c) | 597,877 | 595,635 |
Jane Street Group LLC | ||
Dollar Term Loan | ||
2.834% (1 Month LIBOR + 2.75%), due 1/26/28 (b) | 3,806,634 | 3,765,397 |
12,075,229 | ||
Beverage, Food & Tobacco 2.4% | ||
8th Avenue Food & Provisions, Inc. | ||
First Lien Term Loan | ||
3.836% (1 Month LIBOR + 3.75%), due 10/1/25 (b) | 2,554,898 | 2,508,590 |
American Seafoods Group LLC | ||
First Lien Tranche Term Loan B | ||
3.75% (1 Month LIBOR + 2.75%), due 8/21/23 (b) | 589,361 | 578,310 |
Arctic Glacier Group Holdings, Inc. | ||
Specified Refinancing Term Loan | ||
4.50% (3 Month LIBOR + 3.50%), due 3/20/24 (b)(c) | 619,218 | 587,948 |
CHG PPC Parent LLC | ||
First Lien Initial Term Loan | ||
2.834% (1 Month LIBOR + 2.75%), due 3/31/25 (b) | 1,693,125 | 1,682,543 |
City Brewing Co. LLC | ||
First Lien Closing Date Term Loan | ||
4.25% (3 Month LIBOR + 3.50%), due 4/5/28 (b) | 1,700,000 | 1,679,812 |
Froneri International Ltd. | ||
First Lien Facility Term Loan B2 | ||
2.334% (1 Month LIBOR + 2.25%), due 1/29/27 (b) | 1,466,437 | 1,447,878 |
H-Food Holdings LLC | ||
Initial Term Loan | ||
3.772% (1 Month LIBOR + 3.69%), due 5/23/25 (b) | 1,256,538 | 1,251,826 |
JBS USA Lux SA | ||
New Term Loan | ||
2.085% (1 Month LIBOR + 2.00%), due 5/1/26 (b) | 3,325,852 | 3,309,223 |
Principal Amount | Value | |
Loan Assignments | ||
Beverage, Food & Tobacco | ||
Sotheby's, Inc. | ||
2021 Second Refinancing Term Loan | ||
5.00% (2 Month LIBOR + 4.50%), due 1/15/27 (b) | $ 2,291,159 | $ 2,295,931 |
Sunshine Investments BV | ||
Facility Term Loan B3 | ||
2.874% (3 Month LIBOR + 2.75%), due 3/28/25 (b) | 2,960,000 | 2,934,100 |
United Natural Foods, Inc. | ||
Initial Term Loan | ||
3.584% (1 Month LIBOR + 3.50%), due 10/22/25 (b) | 1,335,425 | 1,333,628 |
19,609,789 | ||
Broadcasting & Entertainment 3.8% | ||
Altice France SA | ||
USD Incremental Term Loan B13 | ||
4.125% (3 Month LIBOR + 4.00%), due 8/14/26 (b) | 1,215,625 | 1,210,415 |
Charter Communications Operating LLC | ||
Term Loan B1 | ||
1.84% (1 Month LIBOR + 1.75%), due 4/30/25 (b) | 4,812,500 | 4,804,843 |
Clear Channel Outdoor Holdings, Inc. | ||
Term Loan B | ||
3.629% (3 Month LIBOR + 3.50%), due 8/21/26 (b) | 1,715,000 | 1,677,776 |
Diamond Sports Group LLC | ||
Term Loan | ||
3.34% (1 Month LIBOR + 3.25%), due 8/24/26 (b) | 2,935,075 | 1,825,860 |
Gray Television, Inc. | ||
Term Loan C | ||
2.586% (1 Month LIBOR + 2.50%), due 1/2/26 (b) | 2,506,446 | 2,496,265 |
Nexstar Broadcasting, Inc. | ||
Term Loan B4 | ||
2.586% (1 Month LIBOR + 2.50%), due 9/18/26 (b) | 2,911,767 | 2,907,606 |
Numericable U.S. LLC (b) | ||
USD Term Loan B11 | ||
2.879% (3 Month LIBOR + 2.75%), due 7/31/25 | 1,885,649 | 1,854,221 |
USD Term Loan B12 | ||
3.814% (3 Month LIBOR + 3.69%), due 1/31/26 | 962,476 | 953,453 |
Radiate HoldCo LLC | ||
Term Loan B | ||
4.25% (1 Month LIBOR + 3.50%), due 9/25/26 (b) | 4,110,001 | 4,105,258 |
Terrier Media Buyer, Inc. | ||
First Lien 2021 Term Loan B | ||
3.585% (1 Month LIBOR + 3.50%), due 12/17/26 (b) | 3,292,619 | 3,284,845 |
Univision Communications, Inc. | ||
Term Loan B | ||
TBD, due 5/5/28 | 2,080,000 | 2,073,500 |
First Lien 2017 Replacement Repriced Term Loan | ||
3.75% (1 Month LIBOR + 2.75%), due 3/15/24 (b) | 3,576,393 | 3,571,282 |
Principal Amount | Value | |
Loan Assignments | ||
Broadcasting & Entertainment | ||
WideOpenWest Finance LLC | ||
Eighth Amendment Term Loan B | ||
4.25% (1 Month LIBOR + 3.25%), due 8/18/23 (b) | $ 1,214,695 | $ 1,212,670 |
31,977,994 | ||
Buildings & Real Estate 2.5% | ||
Beacon Roofing Supply, Inc. | ||
2028 Term Loan | ||
2.334% (1 Month LIBOR + 2.25%), due 5/19/28 (b) | 1,496,250 | 1,486,096 |
Core & Main LP | ||
Tranche Term Loan B | ||
2.586% (1 Month LIBOR + 2.50%), due 7/27/28 (b) | 2,537,886 | 2,525,197 |
Cornerstone Building Brands, Inc. | ||
Tranche Term Loan B | ||
3.75% (1 Month LIBOR + 3.25%), due 4/12/28 (b) | 4,507,313 | 4,493,227 |
Cushman & Wakefield U.S. Borrower LLC | ||
Replacement Term Loan | ||
2.834% (1 Month LIBOR + 2.75%), due 8/21/25 (b) | 2,920,556 | 2,892,811 |
Hamilton Holdco LLC | ||
Term Loan | ||
2.14% (3 Month LIBOR + 2.00%), due 1/2/27 (b) | 303,660 | 302,141 |
SIWF Holdings, Inc. (b) | ||
First Lien Initial Term Loan | ||
4.334% (1 Month LIBOR + 4.25%), due 6/15/25 | 1,748,880 | 1,748,006 |
Second Lien Initial Term Loan | ||
8.584% (1 Month LIBOR + 8.50%), due 6/15/26 | 120,000 | 120,000 |
SRS Distribution, Inc. | ||
2021 Refinancing Term Loan | ||
4.25% (3 Month LIBOR + 3.75%), due 6/2/28 (b) | 2,080,000 | 2,078,700 |
VC GB Holdings I Corp. | ||
First Lien Initial Term Loan | ||
4.00% (3 Month LIBOR + 3.50%), due 7/21/28 (b) | 500,000 | 499,584 |
Wilsonart LLC | ||
Tranche Term Loan E | ||
4.50% (3 Month LIBOR + 3.50%), due 12/31/26 (b) | 2,931,442 | 2,931,442 |
Zebra Buyer LLC | ||
Term Loan | ||
TBD, due 4/21/28 | 1,800,000 | 1,805,400 |
20,882,604 | ||
Cargo Transport 0.3% | ||
Genesee & Wyoming, Inc. | ||
Initial Term Loan | ||
2.132% (3 Month LIBOR + 2.00%), due 12/30/26 (b) | 2,472,450 | 2,455,966 |
Principal Amount | Value | |
Loan Assignments | ||
Chemicals, Plastics & Rubber 4.2% | ||
Allnex (Luxembourg) & Cy S.C.A. (b)(c) | ||
Tranche Term Loan B2 | ||
4.00% (1 Month LIBOR + 3.25%), due 9/13/23 | $ 933,931 | $ 932,472 |
Tranche Term Loan B3 | ||
4.00% (1 Month LIBOR + 3.25%), due 9/13/23 | 703,649 | 702,550 |
Alpha 3 B.V. | ||
Initial Dollar Term Loan | ||
3.00% (3 Month LIBOR + 2.50%), due 3/18/28 (b) | 1,021,440 | 1,019,652 |
Aruba Investments Holdings LLC | ||
First Lien Initial Dollar Term Loan | ||
4.75% (3 Month LIBOR + 4.00%), due 11/24/27 (b) | 530,661 | 531,324 |
Cabot Microelectronics Corp. | ||
Term Loan B1 | ||
2.125% (1 Month LIBOR + 2.00%), due 11/17/25 (b) | 782,293 | 780,989 |
Diamond (BC) B.V. | ||
Term Loan B | ||
TBD, due 9/1/28 | 1,250,000 | 1,250,937 |
Flex Acquisition Co., Inc. | ||
2021 Specified Refinancing Term Loan | ||
4.00% (3 Month LIBOR + 3.50%), due 3/2/28 (b) | 830,780 | 828,703 |
Herens Holdco SARL | ||
USD Facility Term Loan B | ||
4.75% (6 Month LIBOR + 4.00%), due 7/3/28 (b) | 1,496,250 | 1,498,822 |
INEOS Styrolution Group GmbH | ||
2026 Tranche Dollar Term Loan B | ||
3.25% (1 Month LIBOR + 2.75%), due 1/29/26 (b) | 1,935,150 | 1,935,150 |
Ineos U.S. Finance LLC | ||
2024 New Dollar Term Loan | ||
2.084% (2 Month LIBOR + 2.00%), due 4/1/24 (b) | 1,441,392 | 1,431,708 |
Innophos Holdings, Inc. | ||
Initial Term Loan | ||
3.834% (1 Month LIBOR + 3.75%), due 2/5/27 (b) | 1,477,500 | 1,476,577 |
Jazz Pharmaceuticals plc | ||
Initial Dollar Term Loan | ||
4.00% (1 Month LIBOR + 3.50%), due 5/5/28 (b) | 2,992,500 | 2,996,241 |
LSF11 A5 HoldCo LLC | ||
Term Loan B | ||
TBD, due 1/1/28 | 333,333 | 331,667 |
Minerals Technologies, Inc. | ||
New Term Loan B1 | ||
3.00% (1 Month LIBOR + 2.25%), due 2/14/24 (b)(c) | 618,032 | 618,032 |
Nouryon Finance BV | ||
Initial Dollar Term Loan | ||
2.832% (1 Month LIBOR + 2.75%), due 10/1/25 (b) | 2,623,202 | 2,603,059 |
Oxea Holding Vier GmbH | ||
Tranche Term Loan B2 | ||
3.375% (1 Month LIBOR + 3.25%), due 10/14/24 (b) | 2,231,250 | 2,218,699 |
Principal Amount | Value | |
Loan Assignments | ||
Chemicals, Plastics & Rubber | ||
Parexel International Corp. | ||
Initial Term Loan | ||
2.834% (1 Month LIBOR + 2.75%), due 9/27/24 (b) | $ 1,215,632 | $ 1,213,647 |
PPD, Inc. | ||
Initial Term Loan | ||
2.50% (1 Month LIBOR + 2.00%), due 1/13/28 (b) | 2,675,036 | 2,669,351 |
SCIH Salt Holdings, Inc. | ||
First Lien Incremental Term Loan B1 | ||
4.75% (3 Month LIBOR + 4.00%), due 3/16/27 (b) | 2,739,688 | 2,741,400 |
Solenis International LP | ||
Term Loan B | ||
TBD, due 9/15/28 | 1,250,000 | 1,248,214 |
Sparta U.S. Holdco LLC | ||
First Lien Initial Term Loan | ||
4.25% (3 Month LIBOR + 3.50%), due 8/2/28 (b) | 900,000 | 901,125 |
Tricorbraun Holdings, Inc. (b) | ||
First Lien Closing Date Initial Term Loan | ||
3.75% (1 Month LIBOR + 3.25%), due 3/3/28 | 1,145,155 | 1,138,141 |
First Lien Delayed Draw Term Loan | ||
3.75% (1 Month LIBOR + 3.25%), due 3/3/28 (c) | 88,006 | 87,467 |
Tronox Finance LLC | ||
First Lien Refinancing Term Loan 2.334%-2.382% | ||
(1 Month LIBOR + 2.25%, 3 Month LIBOR + 2.25%), due 3/10/28 (b) | 1,186,391 | 1,181,077 |
Venator Finance SARL | ||
Initial Term Loan | ||
3.084% (1 Month LIBOR + 3.00%), due 8/8/24 (b) | 1,426,427 | 1,405,922 |
W. R. Grace Holdings LLC | ||
Initial Term Loan | ||
4.25% (3 Month LIBOR + 3.75%), due 9/22/28 (b) | 1,500,000 | 1,504,687 |
35,247,613 | ||
Commercial Services 0.9% | ||
ADMI Corp. | ||
Amendment No. 4 Refinancing Term Loan | ||
3.625% (1 Month LIBOR + 3.13%), due 12/23/27 (b) | 1,492,500 | 1,478,375 |
MHI Holdings LLC | ||
Initial Term Loan | ||
5.084% (1 Month LIBOR + 5.00%), due 9/21/26 (b) | 1,888,143 | 1,896,011 |
Prime Security Services Borrower LLC | ||
First Lien 2021 Refinancing Term Loan B1 | ||
3.50% (1 Month LIBOR + 2.75%, 3 Month LIBOR + 2.75%), due 9/23/26 (b) | 4,153,387 | 4,146,119 |
7,520,505 | ||
Consumer Durables 0.2% | ||
SWF Holdings I Corp. | ||
Cov-Lite Term Loan B | ||
TBD, due 9/17/28 | 2,100,000 | 2,081,625 |
Principal Amount | Value | |
Loan Assignments | ||
Containers, Packaging & Glass 3.8% | ||
Alliance Laundry Systems LLC | ||
Initial Term Loan B | ||
4.25% (3 Month LIBOR + 3.50%), due 10/8/27 (b) | $ 1,767,214 | $ 1,768,043 |
Altium Packaging LLC | ||
First Lien 2021 Term Loan | ||
3.25% (1 Month LIBOR + 2.75%), due 2/3/28 (b) | 3,090,851 | 3,069,601 |
Anchor Glass Container Corp. | ||
First Lien July 2017 Additional Term Loan | ||
3.75% (3 Month LIBOR + 2.75%), due 12/7/23 (b) | 2,088,768 | 1,925,583 |
Berlin Packaging LLC (b) | ||
Tranche Initial Term Loan B4 | ||
3.75% (2 Month LIBOR + 3.25%), due 3/11/28 | 1,990,013 | 1,966,381 |
Tranche Term Loan B5 | ||
4.25% (1 Month LIBOR + 3.75%, 3 Month LIBOR + 3.75%), due 3/11/28 | 1,080,000 | 1,077,107 |
Berry Global, Inc. | ||
Term Loan Z | ||
1.856% (2 Month LIBOR + 1.75%), due 7/1/26 (b) | 1,964,896 | 1,953,435 |
Charter Next Generation, Inc. | ||
2021 First Lien Initial Term Loan | ||
4.50% (1 Month LIBOR + 3.75%), due 12/1/27 (b) | 849,620 | 851,155 |
Clearwater Paper Corp. | ||
Initial Term Loan | ||
3.125% (1 Month LIBOR + 3.00%), due 7/26/26 (b) | 743,750 | 741,891 |
Fort Dearborn Holding Co., Inc. (b) | ||
First Lien Initial Term Loan | ||
5.00% (1 Month LIBOR + 4.00%, 3 Month LIBOR + 4.00%), due 10/19/23 | 1,401,817 | 1,400,649 |
Second Lien Initial Term Loan | ||
9.50% (3 Month LIBOR + 8.50%), due 10/21/24 (c) | 1,000,000 | 997,500 |
Graham Packaging Co., Inc. | ||
2021 Initial Term Loan | ||
3.75% (1 Month LIBOR + 3.00%), due 8/4/27 (b) | 3,281,561 | 3,277,971 |
Mauser Packaging Solutions Holding Co. | ||
Initial Term Loan | ||
3.334% (1 Month LIBOR + 3.25%), due 4/3/24 (b) | 2,850,460 | 2,789,443 |
PACTIV Evergreen Group Holdings, Inc. | ||
Term Loan B | ||
4.00%, due 9/25/28 | 500,000 | 498,906 |
Pretium PKG Holdings, Inc. | ||
Term Loan | ||
TBD, due 9/22/28 | 720,000 | 720,600 |
Second Lien Term Loan | ||
TBD, due 9/22/29 | 750,000 | 750,938 |
First Lien Initial Term Loan | ||
4.75% (1 Month LIBOR + 4.00%), due 11/5/27 (b) | 1,139,307 | 1,138,358 |
Reynolds Consumer Products LLC | ||
Initial Term Loan | ||
1.834% (1 Month LIBOR + 1.75%), due 2/4/27 (b) | 1,295,682 | 1,291,902 |
Principal Amount | Value | |
Loan Assignments | ||
Containers, Packaging & Glass | ||
RLG Holdings LLC (b) | ||
First Lien Delayed Draw Term Loan 2.125%-5.00% | ||
(3 Month LIBOR + 4.25%), due 7/7/28 (c) | $ 56,566 | $ 56,589 |
First Lien Closing Date Initial Term Loan | ||
5.00% (3 Month LIBOR + 4.25%), due 7/7/28 | 638,384 | 638,650 |
Tank Holding Corp. (b) | ||
First Lien 2020 Refinancing Term Loan 3.584%-5.75% | ||
(1 Month LIBOR + 3.50%, 3 Month LIBOR + 2.50%), due 3/26/26 | 2,207,456 | 2,195,730 |
First Lien 2020 Incremental Term Loan 5.75%-7.25% | ||
(1 Month LIBOR + 5.00%, 3 Month LIBOR + 4.00%, 3 Month LIBOR + 5.00%), due 3/26/26 (c) | 1,050,500 | 1,051,375 |
Trident TPI Holdings, Inc. (b) | ||
Tranche Term Loan B1 | ||
4.00% (3 Month LIBOR + 3.00%), due 10/17/24 | 718,667 | 717,409 |
Tranche Initial Term Loan B3 | ||
4.50% (3 Month LIBOR + 4.00%), due 9/15/28 | 450,399 | 450,560 |
31,329,776 | ||
Diversified/Conglomerate Manufacturing 3.6% | ||
Allied Universal Holdco LLC | ||
Initial U.S. Dollar Term Loan | ||
4.25% (3 Month LIBOR + 3.75%), due 5/12/28 (b) | 4,315,796 | 4,317,953 |
Bright Bidco BV | ||
2018 Refinancing Term Loan B | ||
4.50% (3 Month LIBOR + 3.50%), due 6/30/24 (b) | 1,915,094 | 1,529,681 |
EWT Holdings III Corp. | ||
Initial Term Loan | ||
2.625% (1 Month LIBOR + 2.50%), due 4/1/28 (b) | 1,745,625 | 1,734,170 |
Filtration Group Corp. | ||
Initial Dollar Term Loan | ||
3.085% (1 Month LIBOR + 3.00%), due 3/31/25 (b) | 1,762,815 | 1,751,523 |
Gardner Denver, Inc. | ||
2020 GDI Tranche Dollar Term Loan B2 | ||
1.834% (1 Month LIBOR + 1.75%), due 3/1/27 (b) | 1,983,541 | 1,956,267 |
GYP Holdings III Corp. | ||
First Lien 2021 Incremental Term Loan | ||
2.584% (1 Month LIBOR + 2.50%), due 6/1/25 (b) | 1,391,500 | 1,387,588 |
Ingersoll-Rand Services Co. | ||
2020 Spinco Tranche Dollar Term Loan B1 | ||
1.834% (1 Month LIBOR + 1.75%), due 3/1/27 (b) | 859,974 | 848,149 |
Iron Mountain Information Management LLC | ||
Incremental Term Loan B | ||
1.834% (1 Month LIBOR + 1.75%), due 1/2/26 (b) | 1,809,375 | 1,795,805 |
LTI Holdings, Inc. | ||
First Lien Initial Term Loan | ||
3.584% (1 Month LIBOR + 3.50%), due 9/6/25 (b) | 1,065,735 | 1,049,940 |
Pre-Paid Legal Services, Inc. | ||
First Lien Initial Term Loan | ||
3.334% (1 Month LIBOR + 3.25%), due 5/1/25 (b) | 2,962,838 | 2,952,652 |
Principal Amount | Value | |
Loan Assignments | ||
Diversified/Conglomerate Manufacturing | ||
QUIKRETE Holdings, Inc. | ||
First Lien Fourth Amendment Term Loan B1 | ||
TBD, due 2/21/28 | $ 1,500,000 | $ 1,493,958 |
First Lien Initial Term Loan | ||
2.585% (1 Month LIBOR + 2.50%), due 2/1/27 (b) | 2,295,899 | 2,275,810 |
Red Ventures LLC (b) | ||
First Lien Term Loan B2 | ||
2.584% (1 Month LIBOR + 2.50%), due 11/8/24 | 2,985,077 | 2,956,292 |
First Lien Term Loan B3 | ||
4.25% (1 Month LIBOR + 3.50%), due 11/8/24 | 1,985,000 | 1,980,037 |
TRC Cos., Inc. | ||
Initial Term Loan | ||
4.50% (1 Month LIBOR + 3.50%), due 6/21/24 (b)(c)(d) | 863,681 | 863,681 |
WP CPP Holdings LLC | ||
First Lien Initial Term Loan | ||
4.75% (1 Month LIBOR + 3.75%, 3 Month LIBOR + 3.75%), due 4/30/25 (b) | 992,666 | 962,060 |
29,855,566 | ||
Diversified/Conglomerate Service 2.3% | ||
Applied Systems, Inc. (b) | ||
First Lien Closing Date Term Loan | ||
3.75% (3 Month LIBOR + 3.25%), due 9/19/24 | 2,536,196 | 2,534,611 |
Second Lien 2021 Term Loan | ||
6.25% (3 Month LIBOR + 5.50%), due 9/19/25 | 445,140 | 450,240 |
Blackhawk Network Holdings, Inc. | ||
First Lien Term Loan | ||
3.084% (1 Month LIBOR + 3.00%), due 6/15/25 (b) | 1,962,359 | 1,945,889 |
Brightview Landscapes LLC | ||
First Lien 2018 Initial Term Loan | ||
2.625% (1 Month LIBOR + 2.50%), due 8/15/25 (b) | 1,089,078 | 1,083,178 |
Change Healthcare Holdings, Inc. | ||
Closing Date Term Loan | ||
3.50% (1 Month LIBOR + 2.50%, 3 Month LIBOR + 2.50%), due 3/1/24 (b) | 1,425,735 | 1,423,775 |
Greeneden U.S. Holdings I LLC | ||
2020 Initial Dollar Term Loan | ||
4.75% (1 Month LIBOR + 4.00%), due 12/1/27 (b) | 1,429,701 | 1,434,169 |
IRI Holdings, Inc. | ||
First Lien Initial Term Loan | ||
4.334% (1 Month LIBOR + 4.25%), due 12/1/25 (b) | 3,168,162 | 3,162,504 |
Mitchell International, Inc. | ||
First Lien Initial Term Loan 3.334%-3.335% | ||
(1 Month LIBOR + 3.25%), due 11/29/24 (b) | 956,406 | 954,527 |
MKS Instruments, Inc. | ||
Tranche Term Loan B6 | ||
1.835% (1 Month LIBOR + 1.75%), due 2/2/26 (b) | 691,038 | 687,829 |
Monitronics International, Inc. | ||
Term Loan | ||
7.75% (1 Month LIBOR + 6.50%), due 3/29/24 (b)(c) | 944,090 | 922,061 |
Principal Amount | Value | |
Loan Assignments | ||
Diversified/Conglomerate Service | ||
TruGreen LP | ||
First Lien Second Refinancing Term Loan | ||
4.75% (1 Month LIBOR + 4.00%), due 11/2/27 (b) | $ 2,712,829 | $ 2,711,473 |
Verint Systems, Inc. | ||
Refinancing Term Loan | ||
2.086% (1 Month LIBOR + 2.00%), due 6/28/24 (b) | 588,235 | 585,294 |
Verscend Holding Corp. | ||
Term Loan B1 | ||
4.084% (1 Month LIBOR + 4.00%), due 8/27/25 (b) | 1,054,995 | 1,055,787 |
18,951,337 | ||
Ecological 0.3% | ||
GFL Environmental, Inc. | ||
2020 Refinancing Term Loan | ||
3.50% (3 Month LIBOR + 3.00%), due 5/30/25 (b) | 2,036,770 | 2,040,271 |
Sophia LP | ||
Closing Date Term Loan | ||
4.50% (3 Month LIBOR + 3.75%), due 10/7/27 (b) | 681,663 | 683,935 |
2,724,206 | ||
Electronics 10.9% | ||
Avast Software BV | ||
Initial Dollar Term Loan | ||
2.132% (3 Month LIBOR + 2.00%), due 3/22/28 (b) | 195,000 | 194,452 |
Barracuda Networks, Inc. | ||
First Lien 2020 Term Loan | ||
4.50% (3 Month LIBOR + 3.75%), due 2/12/25 (b) | 1,939,106 | 1,943,469 |
Camelot U.S. Acquisition 1 Co. (b) | ||
Initial Term Loan | ||
3.084% (1 Month LIBOR + 3.00%), due 10/30/26 | 1,858,993 | 1,852,797 |
Amendment No. 2 Incremental Term Loan | ||
4.00% (1 Month LIBOR + 3.00%), due 10/30/26 | 1,240,625 | 1,243,727 |
Castle U.S. Holding Corp. (b) | ||
Initial Dollar Term Loan | ||
3.882% (3 Month LIBOR + 3.75%), due 1/29/27 | 1,425,993 | 1,412,178 |
Dollar Term Loan B2 | ||
4.75% (3 Month LIBOR + 4.00%), due 1/29/27 | 2,489,583 | 2,465,464 |
CommScope, Inc. | ||
Initial Term Loan | ||
3.334% (1 Month LIBOR + 3.25%), due 4/6/26 (b) | 4,225,022 | 4,199,934 |
CoreLogic, Inc. | ||
First Lien Initial Term Loan | ||
4.00% (1 Month LIBOR + 3.50%), due 6/2/28 (b) | 4,000,000 | 3,984,000 |
DCert Buyer, Inc. | ||
First Lien Initial Term Loan | ||
4.084% (1 Month LIBOR + 4.00%), due 10/16/26 (b) | 2,466,222 | 2,465,780 |
Principal Amount | Value | |
Loan Assignments | ||
Electronics | ||
Dell International LLC | ||
Refinancing Term Loan B2 | ||
2.00% (1 Month LIBOR + 1.75%), due 9/19/25 (b) | $ 2,147,559 | $ 2,147,080 |
Diebold Nixdorf, Inc. | ||
New Dollar Term Loan B | ||
2.875% (1 Month LIBOR + 2.75%), due 11/6/23 (b) | 638,986 | 634,726 |
ECI Macola/MAX Holding LLC | ||
First Lien Initial Term Loan | ||
4.50% (3 Month LIBOR + 3.75%), due 11/9/27 (b) | 1,985,000 | 1,983,511 |
Epicor Software Corp. | ||
Term Loan C | ||
4.00% (1 Month LIBOR + 3.25%), due 7/30/27 (b) | 3,071,179 | 3,069,112 |
Flexera Software LLC | ||
First Lien Term Loan B1 | ||
4.50% (3 Month LIBOR + 3.75%), due 3/3/28 (b) | 2,395,162 | 2,395,162 |
Gainwell Acquisition Corp. | ||
First Lien Term Loan B | ||
4.75% (3 Month LIBOR + 4.00%), due 10/1/27 (b) | 522,368 | 523,184 |
Generation Bridge Acquisition LLC | ||
Term Loan B | ||
TBD, due 8/6/28 | 1,469,388 | 1,473,061 |
Term Loan C | ||
TBD, due 8/6/28 (c)(d) | 30,612 | 30,689 |
Go Daddy Operating Co. LLC | ||
Tranche Term Loan B2 | ||
1.835% (1 Month LIBOR + 1.75%), due 2/15/24 (b) | 2,178,140 | 2,163,784 |
Helios Software Holdings, Inc. | ||
2021 Initial Dollar Term Loan | ||
3.917% (3 Month LIBOR + 3.75%), due 3/11/28 (b) | 497,143 | 496,107 |
Hyland Software, Inc. (b) | ||
First Lien 2018 Refinancing Term Loan | ||
4.25% (1 Month LIBOR + 3.50%), due 7/1/24 | 3,563,734 | 3,566,702 |
Second Lien 2021 Refinancing Term Loan | ||
7.00% (1 Month LIBOR + 6.25%), due 7/7/25 | 535,333 | 539,348 |
Informatica LLC | ||
2020 Dollar Term Loan | ||
3.334% (1 Month LIBOR + 3.25%), due 2/25/27 (b) | 2,974,899 | 2,962,999 |
ION Trading Finance Ltd. | ||
2021 Initial Dollar Term Loan | ||
4.917% (3 Month LIBOR + 4.75%), due 4/1/28 (b) | 997,500 | 998,747 |
MA FinanceCo. LLC (b) | ||
Tranche Term Loan B3 | ||
2.834% (1 Month LIBOR + 2.75%), due 6/21/24 | 344,067 | 340,196 |
Tranche Term Loan B4 | ||
5.25% (3 Month LIBOR + 4.25%), due 6/5/25 (c) | 496,815 | 499,920 |
McAfee LLC | ||
USD Term Loan B | ||
3.837% (1 Month LIBOR + 3.75%), due 9/30/24 (b) | 3,513,553 | 3,514,042 |
Principal Amount | Value | |
Loan Assignments | ||
Electronics | ||
MH Sub I LLC (b) | ||
First Lien Amendment No. 2 Initial Term Loan | ||
3.585% (1 Month LIBOR + 3.50%), due 9/13/24 | $ 3,016,588 | $ 3,007,631 |
First Lien 2020 June New Term Loan | ||
4.75% (1 Month LIBOR + 3.75%), due 9/13/24 | 586,455 | 587,712 |
Misys Ltd. (b) | ||
First Lien Dollar Term Loan | ||
4.50% (3 Month LIBOR + 3.50%), due 6/13/24 | 2,665,667 | 2,642,342 |
Second Lien Dollar Term Loan | ||
8.25% (3 Month LIBOR + 7.25%), due 6/13/25 | 900,000 | 904,250 |
Project Alpha Intermediate Holding, Inc. | ||
2021 Refinancing Term Loan | ||
4.09% (1 Month LIBOR + 4.00%), due 4/26/24 (b) | 2,010,932 | 2,009,257 |
Project Leopard Holdings, Inc. (b) | ||
2018 Repricing Term Loan | ||
5.75% (3 Month LIBOR + 4.75%), due 7/5/24 | 1,083,504 | 1,086,213 |
2019 Incremental Term Loan | ||
5.75% (3 Month LIBOR + 4.75%), due 7/5/24 (c) | 976,325 | 978,766 |
Proofpoint, Inc. | ||
First Lien Initial Term Loan | ||
3.75% (3 Month LIBOR + 3.25%), due 8/31/28 (b) | 2,500,000 | 2,484,723 |
Rocket Software, Inc. (b) | ||
First Lien Initial Term Loan | ||
4.334% (1 Month LIBOR + 4.25%), due 11/28/25 | 877,500 | 869,456 |
First Lien 2021 Dollar Term Loan | ||
4.75% (1 Month LIBOR + 4.25%), due 11/28/25 | 1,496,250 | 1,488,769 |
Seattle SpinCo, Inc. | ||
Initial Term Loan | ||
2.834% (1 Month LIBOR + 2.75%), due 6/21/24 (b) | 2,323,570 | 2,297,430 |
SS&C Technologies Holdings, Inc. (b) | ||
Term Loan B3 | ||
1.834% (1 Month LIBOR + 1.75%), due 4/16/25 | 1,853,317 | 1,833,519 |
Term Loan B4 | ||
1.834% (1 Month LIBOR + 1.75%), due 4/16/25 | 1,403,410 | 1,388,352 |
Term Loan B5 | ||
1.834% (1 Month LIBOR + 1.75%), due 4/16/25 | 1,938,225 | 1,918,403 |
Surf Holdings SARL | ||
First Lien Dollar Tranche Term Loan | ||
3.616% (3 Month LIBOR + 3.50%), due 3/5/27 (b) | 2,025,873 | 2,014,478 |
Tempo Acquisition LLC | ||
Extended Term Loan | ||
3.75% (1 Month LIBOR + 3.25%), due 11/2/26 (b) | 1,950,003 | 1,953,416 |
ThoughtWorks, Inc. | ||
Incremental Term Loan | ||
3.50% (1 Month LIBOR + 3.00%), due 3/24/28 (b) | 513,084 | 512,603 |
TIBCO Software, Inc. (b) | ||
Term Loan B3 | ||
3.84% (1 Month LIBOR + 3.75%), due 6/30/26 | 2,977,424 | 2,963,157 |
Principal Amount | Value | |
Loan Assignments | ||
Electronics | ||
TIBCO Software, Inc. (b) | ||
Second Lien Term Loan | ||
7.34% (1 Month LIBOR + 7.25%), due 3/3/28 | $ 400,000 | $ 403,750 |
Trader Corp. | ||
First Lien 2017 Refinancing Term Loan | ||
4.00% (1 Month LIBOR + 3.00%), due 9/28/23 (b) | 2,283,127 | 2,277,419 |
UKG, Inc. (b) | ||
First Lien Initial Term Loan | ||
3.834% (1 Month LIBOR + 3.75%), due 5/4/26 | 1,715,000 | 1,718,430 |
First Lien 2021 Incremental Term Loan | ||
4.00% (3 Month LIBOR + 3.25%), due 5/4/26 | 2,201,563 | 2,205,416 |
Vertiv Group Corp. | ||
Term Loan B | ||
2.833% (1 Month LIBOR + 2.75%), due 3/2/27 (b) | 1,970,113 | 1,956,875 |
Vision Solutions, Inc. | ||
First Lien Initial Term Loan | ||
5.00% (3 Month LIBOR + 4.25%), due 4/24/28 (b) | 1,666,667 | 1,661,458 |
VS Buyer LLC | ||
Initial Term Loan | ||
3.084% (1 Month LIBOR + 3.00%), due 2/28/27 (b) | 987,500 | 983,056 |
Western Digital Corp. | ||
U.S. Term Loan B4 | ||
1.838% (1 Month LIBOR + 1.75%), due 4/29/23 (b) | 691,810 | 691,465 |
WEX, Inc. | ||
Term Loan B | ||
2.334% (1 Month LIBOR + 2.25%), due 3/31/28 (b) | 995,000 | 990,025 |
90,928,542 | ||
Entertainment 1.2% | ||
Alterra Mountain Co. | ||
Term Loan B2 | ||
4.00% (1 Month LIBOR + 3.50%), due 8/17/28 (b) | 3,406,706 | 3,392,510 |
Formula One Management Ltd. | ||
USD Facility Term Loan B3 | ||
3.50% (1 Month LIBOR + 2.50%), due 2/1/24 (b) | 2,568,089 | 2,558,859 |
J&J Ventures Gaming LLC | ||
Initial Term Loan | ||
4.75% (1 Month LIBOR + 4.00%), due 4/26/28 (b) | 4,000,000 | 4,015,000 |
9,966,369 | ||
Finance 8.3% | ||
AAdvantage Loyality IP Ltd. | ||
Initial Term Loan | ||
5.50% (3 Month LIBOR + 4.75%), due 4/20/28 (b) | 1,400,000 | 1,446,150 |
Acuity Specialty Products, Inc. | ||
First Lien Initial Term Loan | ||
5.00% (3 Month LIBOR + 4.00%), due 8/12/24 (b)(c) | 1,095,271 | 1,058,762 |
Principal Amount | Value | |
Loan Assignments | ||
Finance | ||
Acuris Finance U.S., Inc. | ||
Initial Dollar Term Loan | ||
4.50% (3 Month LIBOR + 4.00%), due 2/16/28 (b) | $ 1,269,531 | $ 1,273,234 |
ADMI Corp. | ||
Amendment No. 5 Incremental Term Loan | ||
4.00% (1 Month LIBOR + 3.50%), due 12/23/27 (b) | 750,000 | 748,393 |
AlixPartners LLP | ||
Initial Dollar Term Loan | ||
3.25% (1 Month LIBOR + 2.75%), due 2/4/28 (b) | 1,492,500 | 1,487,276 |
Amentum Government Services Holdings LLC (b) | ||
First Lien Tranche Term Loan 1 | ||
3.584% (1 Month LIBOR + 3.50%), due 1/29/27 | 1,114,669 | 1,110,489 |
First Lien Tranche Term Loan 2 | ||
5.50% (3 Month LIBOR + 4.75%), due 1/29/27 | 995,000 | 1,000,908 |
Blue Tree Holdings, Inc. | ||
Term Loan | ||
2.64% (3 Month LIBOR + 2.50%), due 3/4/28 (b) | 497,500 | 493,769 |
Boxer Parent Co., Inc. | ||
2021 Replacement Dollar Term Loan | ||
3.882% (3 Month LIBOR + 3.75%), due 10/2/25 (b) | 2,272,669 | 2,258,465 |
Brand Energy & Infrastructure Services, Inc. | ||
Initial Term Loan | ||
5.25% (3 Month LIBOR + 4.25%), due 6/21/24 (b) | 1,652,870 | 1,637,892 |
Colouroz Investment 1 GmbH | ||
First Lien Initial Term Loan C | ||
6.00% (0.75% PIK) (2 Month LIBOR + 4.25%, 3 Month LIBOR + 4.25%), due 9/21/23 (b)(c)(e) | 287,822 | 287,822 |
Colouroz Investment 2 LLC GmbH | ||
First Lien Initial Term Loan B2 | ||
6.00% (0.75% PIK) (2 Month LIBOR + 4.25%, 3 Month LIBOR + 4.25%), due 9/21/23 (b)(c)(e) | 1,741,089 | 1,741,089 |
Covia Holdings LLC | ||
Initial Term Loan | ||
5.00% (3 Month LIBOR + 4.00%), due 7/31/26 (b) | 709,736 | 704,413 |
CPC Acquisition Corp. | ||
First Lien Initial Term Loan | ||
4.50% (3 Month LIBOR + 3.75%), due 12/29/27 (b) | 1,990,000 | 1,981,708 |
Deerfield Dakota Holding LLC | ||
First Lien Initial Dollar Term Loan | ||
4.75% (1 Month LIBOR + 3.75%), due 4/9/27 (b) | 987,500 | 989,792 |
Endurance International Group Holdings, Inc. | ||
Initial Term Loan | ||
4.25% (3 Month LIBOR + 3.50%), due 2/10/28 (b) | 3,894,794 | 3,866,280 |
Flexential Intermediate Corp. | ||
First Lien Initial Term Loan | ||
3.584% (1 Month LIBOR + 3.50%), due 8/1/24 (b) | 1,152,000 | 1,067,760 |
Greenrock Finance, Inc. | ||
First Lien Initial USD Term Loan B | ||
4.50% (3 Month LIBOR + 3.50%), due 6/28/24 (b)(c) | 964,954 | 960,129 |
Principal Amount | Value | |
Loan Assignments | ||
Finance | ||
ICON plc | ||
LUX Term Loan | ||
3.00% (3 Month LIBOR + 2.50%), due 7/1/28 (b) | $ 1,996,356 | $ 2,003,010 |
Indy U.S. Bidco LLC | ||
Tranche Term Loan B1 | ||
4.084% (1 Month LIBOR + 4.00%), due 3/6/28 (b) | 1,492,500 | 1,495,858 |
IPS Acquisition LLC | ||
First Lien Term Loan B2 | ||
5.50% (3 Month LIBOR + 2.25%), due 11/7/24 (b) | 450,833 | 450,270 |
iStar, Inc. | ||
Term Loan | ||
2.833% (1 Month LIBOR + 2.75%), due 6/28/23 (b) | 630,585 | 629,009 |
LBM Acquisition LLC | ||
First Lien Initial Term Loan | ||
4.50% (3 Month LIBOR + 3.75%), due 12/17/27 (b) | 853,806 | 845,801 |
LSF11 Skyscraper Holdco SARL | ||
USD Facility Term Loan B3 | ||
4.25% (3 Month LIBOR + 3.50%), due 9/29/27 (b) | 796,005 | 796,005 |
Minimax Viking GmbH | ||
Facility Term Loan B1C | ||
3.25% (1 Month LIBOR + 2.50%), due 7/31/25 (b) | 2,183,962 | 2,178,502 |
ON Semiconductor Corp. | ||
2019 New Replacement Term Loan B4 | ||
2.084% (1 Month LIBOR + 2.00%), due 9/19/26 (b) | 485,088 | 484,481 |
Onex TSG Intermediate Corp. | ||
Initial Term Loan | ||
5.50% (3 Month LIBOR + 4.75%), due 2/28/28 (b) | 997,500 | 1,004,670 |
Pactiv Evergreen, Inc. | ||
Tranche U.S. Term Loan B2 | ||
3.334% (1 Month LIBOR + 3.25%), due 2/5/26 (b) | 1,117,806 | 1,109,423 |
Park River Holdings, Inc. | ||
First Lien Initial Term Loan | ||
4.00% (3 Month LIBOR + 3.25%), due 12/28/27 (b) | 1,330,000 | 1,322,980 |
Peraton Corp. | ||
First Lien Term Loan B | ||
4.50% (1 Month LIBOR + 3.75%), due 2/1/28 (b) | 5,572,000 | 5,572,997 |
Pluto Acquisition I, Inc. | ||
First Lien 2021 Term Loan | ||
4.121% (3 Month LIBOR + 4.00%), due 6/22/26 (b) | 2,094,750 | 2,089,513 |
PODS LLC | ||
Initial Term Loan | ||
3.75% (1 Month LIBOR + 3.00%), due 3/31/28 (b) | 2,985,000 | 2,984,466 |
Potters Industries LLC | ||
Initial Term Loan | ||
4.013% (3 Month LIBOR + 4.00%), due 12/14/27 (b) | 796,000 | 795,503 |
RealPage, Inc. | ||
First Lien Initial Term Loan | ||
3.75% (1 Month LIBOR + 3.25%), due 4/24/28 (b) | 2,383,846 | 2,375,178 |
Principal Amount | Value | |
Loan Assignments | ||
Finance | ||
Spa Holdings 3 Oy | ||
USD Facility Term Loan B | ||
4.75% (3 Month LIBOR + 4.00%), due 2/4/28 (b) | $ 798,000 | $ 798,998 |
Transplace Holdings, Inc. | ||
First Lien Closing Date Term Loan | ||
4.75% (3 Month LIBOR + 3.75%), due 10/7/24 (b)(c) | 1,155,105 | 1,154,527 |
Triton Water Holdings, Inc. | ||
First Lien Initial Term Loan | ||
4.00% (3 Month LIBOR + 3.50%), due 3/31/28 (b) | 5,226,900 | 5,217,100 |
Truck Hero, Inc. | ||
Initial Term Loan | ||
4.00% (1 Month LIBOR + 3.25%), due 1/31/28 (b) | 1,074,600 | 1,071,645 |
USS Ultimate Holdings, Inc. | ||
First Lien Initial Term Loan | ||
4.75% (1 Month LIBOR + 3.75%), due 8/25/24 (b) | 2,024,550 | 2,030,696 |
WCG Purchaser Corp. | ||
First Lien Initial Term Loan | ||
5.00% (3 Month LIBOR + 4.00%), due 1/8/27 (b) | 2,266,761 | 2,273,845 |
WildBrain Ltd. | ||
Initial Term Loan | ||
5.00% (1 Month LIBOR + 4.25%), due 3/24/28 (b) | 3,626,775 | 3,631,308 |
WIN Waste Innovations Holdings, Inc. | ||
Initial Term Loan | ||
3.25% (3 Month LIBOR + 2.75%), due 3/24/28 (b) | 2,234,400 | 2,229,746 |
68,659,862 | ||
Healthcare 0.9% | ||
AHP Health Partners, Inc. | ||
Initial Term Loan | ||
4.00% (1 Month LIBOR + 3.50%), due 8/24/28 (b) | 857,143 | 856,607 |
CHG Healthcare Services, Inc. | ||
Term Loan | ||
TBD, due 9/22/28 | 1,300,000 | 1,296,750 |
Medline Industries, Inc. | ||
Term Loan B | ||
TBD, due 1/1/28 | 2,100,000 | 2,089,500 |
U.S. Anesthesia Partners, Inc. | ||
Term Loan | ||
TBD, due 9/22/28 | 3,500,000 | 3,503,402 |
7,746,259 | ||
Healthcare, Education & Childcare 8.5% | ||
Agiliti Health, Inc. | ||
Initial Term Loan | ||
2.875% (1 Month LIBOR + 2.75%), due 1/4/26 (b) | 877,500 | 872,016 |
Akorn Operating Co. LLC | ||
Term Loan | ||
8.50% (3 Month LIBOR + 7.50%), due 10/1/25 (b) | 75,632 | 76,578 |
Principal Amount | Value | |
Loan Assignments | ||
Healthcare, Education & Childcare | ||
Alvogen Pharma U.S., Inc. | ||
January 2020 Term Loan | ||
6.25% (3 Month LIBOR + 5.25%), due 12/31/23 (b) | $ 1,267,668 | $ 1,220,131 |
Amneal Pharmaceuticals LLC | ||
Initial Term Loan | ||
3.625% (1 Month LIBOR + 3.50%), due 5/4/25 (b) | 3,151,675 | 3,105,714 |
athenahealth, Inc. | ||
First Lien Term Loan B1 | ||
4.377% (3 Month LIBOR + 4.25%), due 2/11/26 (b) | 2,814,521 | 2,819,446 |
Auris Luxembourg III SARL | ||
Facility Term Loan B2 | ||
3.834% (1 Month LIBOR + 3.75%), due 2/27/26 (b) | 1,152,893 | 1,139,923 |
Avantor Funding, Inc. | ||
Initial Dollar Term Loan B4 | ||
2.50% (1 Month LIBOR + 2.00%), due 11/21/24 (b) | 392,324 | 391,833 |
Bausch Health Cos., Inc. | ||
Initial Term Loan | ||
3.085% (1 Month LIBOR + 3.00%), due 6/2/25 (b) | 3,990,130 | 3,984,144 |
Carestream Dental Equipment, Inc. | ||
First Lien Initial Term Loan | ||
4.25% (3 Month LIBOR + 3.25%), due 9/1/24 (b) | 960,000 | 958,400 |
Carestream Health, Inc. (b) | ||
Second Lien 2023 Extended Term Loan | ||
5.50% (3 Month LIBOR + 4.50%), due 8/8/23 | 1,543,306 | 1,504,724 |
First Lien 2023 Extended Term Loan | ||
7.75% (3 Month LIBOR + 6.75%), due 5/8/23 | 1,849,973 | 1,856,448 |
DaVita, Inc. | ||
Tranche Term Loan B1 | ||
1.834% (1 Month LIBOR + 1.75%), due 8/12/26 (b) | 1,705,196 | 1,695,522 |
Ecovyst Catalyst Technologies LLC | ||
Initial Term Loan | ||
3.25% (3 Month LIBOR + 2.75%), due 6/9/28 (b) | 1,795,500 | 1,796,060 |
Elanco Animal Health, Inc. | ||
Term Loan | ||
1.836% (1 Month LIBOR + 1.75%), due 8/1/27 (b) | 1,545,438 | 1,526,120 |
Endo Luxembourg Finance Co. I SARL | ||
2021 Term Loan | ||
5.75% (3 Month LIBOR + 5.00%), due 3/27/28 (b) | 1,490,505 | 1,458,459 |
Envision Healthcare Corp. | ||
Initial Term Loan | ||
3.834% (1 Month LIBOR + 3.75%), due 10/10/25 (b) | 1,823,437 | 1,618,301 |
eResearchTechnology, Inc. | ||
First Lien Initial Term Loan | ||
5.50% (1 Month LIBOR + 4.50%), due 2/4/27 (b) | 1,980,970 | 1,990,257 |
ExamWorks Group, Inc. | ||
Term Loan B1 | ||
4.25% (1 Month LIBOR + 3.25%), due 7/27/23 (b) | 2,869,083 | 2,868,486 |
Principal Amount | Value | |
Loan Assignments | ||
Healthcare, Education & Childcare | ||
FC Compassus LLC | ||
Term Loan B1 | ||
5.00% (3 Month LIBOR + 4.25%), due 12/31/26 (b)(c) | $ 2,056,336 | $ 2,057,364 |
Gentiva Health Services, Inc. | ||
First Lien Term Loan B1 | ||
2.875% (1 Month LIBOR + 2.75%), due 7/2/25 (b) | 1,737,337 | 1,736,612 |
Grifols Worldwide Operations Ltd. | ||
Dollar Tranche Term Loan B | ||
2.072% (1 Week LIBOR + 2.00%), due 11/15/27 (b) | 982,500 | 966,261 |
HCA, Inc. | ||
Tranche Term Loan B | ||
1.834% (1 Month LIBOR + 1.75%), due 6/30/28 (b) | 598,500 | 601,492 |
Horizon Therapeutics USA, Inc. | ||
Incremental Term Loan B2 | ||
2.50% (1 Month LIBOR + 2.00%), due 3/15/28 (b) | 663,333 | 661,952 |
Insulet Corp. | ||
Term Loan B | ||
3.75% (1 Month LIBOR + 3.25%), due 5/4/28 (b) | 1,396,500 | 1,398,681 |
Journey Personal Care Corp. | ||
Initial Term Loan | ||
5.00% (3 Month LIBOR + 4.25%), due 3/1/28 (b) | 997,500 | 999,163 |
LifePoint Health, Inc. | ||
First Lien Term Loan B | ||
3.834% (1 Month LIBOR + 3.75%), due 11/16/25 (b) | 3,376,733 | 3,370,402 |
Mallinckrodt International Finance SA | ||
2017 Term Loan B | ||
6.00% (3 Month LIBOR + 5.25%), due 9/24/24 (b)(f) | 967,182 | 912,174 |
National Mentor Holdings, Inc. (b) | ||
First Lien Initial Term Loan | ||
4.50% (1 Month LIBOR + 3.75%, 3 Month LIBOR + 3.75%), due 3/2/28 | 1,569,948 | 1,569,729 |
First Lien Initial Term Loan C | ||
4.50% (3 Month LIBOR + 3.75%), due 3/2/28 (c) | 49,563 | 49,556 |
Organon & Co. | ||
Dollar Term Loan | ||
3.50% (6 Month LIBOR + 3.00%), due 6/2/28 (b) | 4,738,125 | 4,745,526 |
Ortho-Clinical Diagnostics, Inc. | ||
Second Amendment New Term Loan | ||
3.083% (1 Month LIBOR + 3.00%), due 6/30/25 (b) | 2,610,690 | 2,607,100 |
Petco Health and Wellness Co., Inc. | ||
First Lien Initial Term Loan | ||
4.00% (3 Month LIBOR + 3.25%), due 3/3/28 (b) | 1,990,000 | 1,988,223 |
Raptor Acquisition Corp. | ||
First Lien Term Loan B | ||
4.75% (3 Month LIBOR + 4.00%), due 11/1/26 (b) | 1,250,000 | 1,252,604 |
Select Medical Corp. | ||
Tranche Term Loan B | ||
2.34% (1 Month LIBOR + 2.25%), due 3/6/25 (b) | 3,048,392 | 3,024,767 |
Principal Amount | Value | |
Loan Assignments | ||
Healthcare, Education & Childcare | ||
Sound Inpatient Physicians, Inc. | ||
First Lien Initial Term Loan | ||
2.835% (1 Month LIBOR + 2.75%), due 6/27/25 (b)(c) | $ 483,750 | $ 481,245 |
Sunshine Luxembourg VII SARL | ||
Facility Term Loan B3 | ||
4.50% (3 Month LIBOR + 3.75%), due 10/1/26 (b) | 6,479,114 | 6,492,312 |
Team Health Holdings, Inc. | ||
Initial Term Loan | ||
3.75% (1 Month LIBOR + 2.75%), due 2/6/24 (b) | 2,843,225 | 2,766,051 |
U.S. Anesthesia Partners, Inc. | ||
First Lien Initial Term Loan | ||
4.00% (3 Month LIBOR + 3.00%), due 6/23/24 (b) | 2,286,218 | 2,282,544 |
70,846,320 | ||
High Tech Industries 0.1% | ||
Tempo Acquisition LLC | ||
Third Incremental Term Loan | ||
3.50% (1 Month LIBOR + 3.00%), due 8/31/28 (b) | 600,000 | 599,700 |
Home and Office Furnishings, Housewares & Durable Consumer Products 0.2% | ||
Serta Simmons Bedding LLC | ||
First Lien Initial Term Loan | ||
4.50% (3 Month LIBOR + 3.50%), due 11/8/23 (b) | 2,500,029 | 1,697,520 |
Hotels, Motels, Inns & Gaming 4.2% | ||
Aimbridge Acquisition Co., Inc. | ||
First Lien 2019 Initial Term Loan | ||
3.834% (1 Month LIBOR + 3.75%), due 2/2/26 (b) | 2,701,203 | 2,650,555 |
AP Gaming I LLC | ||
First Lien Incremental Term Loan B | ||
4.50% (3 Month LIBOR + 3.50%), due 2/15/24 (b) | 1,820,681 | 1,805,660 |
Caesars Resort Collection LLC | ||
Term Loan B | ||
2.834% (1 Month LIBOR + 2.75%), due 12/23/24 (b) | 2,381,848 | 2,366,219 |
Churchill Downs, Inc. | ||
Facility Term Loan B | ||
2.09% (1 Month LIBOR + 2.00%), due 12/27/24 (b) | 1,932,273 | 1,927,443 |
Entain plc | ||
USD Facility Term Loan B | ||
3.00% (3 Month LIBOR + 2.50%), due 3/29/27 (b) | 1,282,500 | 1,279,560 |
Everi Holdings, Inc. | ||
Term Loan B | ||
3.00% (1 Month LIBOR + 2.50%), due 8/3/28 (b) | 1,474,047 | 1,470,362 |
Four Seasons Holdings, Inc. | ||
First Lien 2013 Term Loan | ||
2.087% (1 Month LIBOR + 2.00%), due 11/30/23 (b) | 1,435,747 | 1,431,260 |
Principal Amount | Value | |
Loan Assignments | ||
Hotels, Motels, Inns & Gaming | ||
Golden Entertainment, Inc. | ||
First Lien Facility Term Loan B | ||
3.75% (1 Month LIBOR + 3.00%), due 10/20/24 (b) | $ 1,398,964 | $ 1,393,718 |
Hilton Worldwide Finance LLC | ||
Refinanced Term Loan B2 | ||
1.836% (1 Month LIBOR + 1.75%), due 6/22/26 (b) | 235,804 | 233,682 |
PCI Gaming Authority | ||
Facility Term Loan B | ||
2.584% (1 Month LIBOR + 2.50%), due 5/29/26 (b) | 2,588,843 | 2,577,113 |
Penn National Gaming, Inc. | ||
Facility Term Loan B1 | ||
3.00% (1 Month LIBOR + 2.25%), due 10/15/25 (b) | 1,033,800 | 1,032,766 |
Scientific Games International, Inc. | ||
Initial Term Loan B5 | ||
2.834% (1 Month LIBOR + 2.75%), due 8/14/24 (b) | 4,266,057 | 4,243,126 |
Station Casinos LLC | ||
Facility Term Loan B1 | ||
2.50% (1 Month LIBOR + 2.25%), due 2/8/27 (b) | 1,635,698 | 1,616,667 |
Travel + Leisure Co. | ||
Term Loan B | ||
2.334% (1 Month LIBOR + 2.25%), due 5/30/25 (b) | 1,947,330 | 1,915,686 |
UFC Holdings LLC | ||
First Lien Term Loan B3 | ||
3.50% (3 Month LIBOR + 2.75%), due 4/29/26 (b) | 4,145,977 | 4,135,613 |
Whatabrands LLC | ||
Initial Term Loan B | ||
3.75% (1 Month LIBOR + 3.25%), due 8/3/28 (b) | 2,000,000 | 1,997,250 |
Wyndham Hotels & Resorts, Inc. | ||
Term Loan B | ||
1.834% (1 Month LIBOR + 1.75%), due 5/30/25 (b) | 2,432,330 | 2,413,423 |
34,490,103 | ||
Insurance 3.9% | ||
Acrisure LLC | ||
First Lien 2020 Term Loan | ||
3.632% (3 Month LIBOR + 3.50%), due 2/15/27 (b) | 3,014,515 | 2,979,345 |
AmWINS Group, Inc. | ||
Term Loan | ||
3.00% (1 Month LIBOR + 2.25%), due 2/19/28 (b) | 1,985,003 | 1,971,604 |
AssuredPartners, Inc. | ||
2020 February Refinancing Term Loan | ||
3.584% (1 Month LIBOR + 3.50%), due 2/12/27 (b) | 3,165,138 | 3,143,159 |
Asurion LLC (b) | ||
New Term Loan B7 | ||
3.084% (1 Month LIBOR + 3.00%), due 11/3/24 | 2,443,233 | 2,415,746 |
Replacement Term Loan B6 | ||
3.209% (1 Month LIBOR + 3.13%), due 11/3/23 | 939,995 | 934,456 |
Principal Amount | Value | |
Loan Assignments | ||
Insurance | ||
Asurion LLC (b) | ||
New Term Loan B8 | ||
3.334% (1 Month LIBOR + 3.25%), due 12/23/26 | $ 992,500 | $ 977,199 |
New Term Loan B9 | ||
3.334% (1 Month LIBOR + 3.25%), due 7/30/27 | 497,868 | 490,276 |
Second Lien New Term Loan B4 | ||
5.331% (1 Month LIBOR + 5.25%), due 1/20/29 | 7,500,000 | 7,468,747 |
Second Lien New Term Loan B3 | ||
5.334% (1 Month LIBOR + 5.25%), due 1/31/28 | 300,000 | 298,937 |
Hub International Ltd. (b) | ||
Initial Term Loan | ||
2.875% (3 Month LIBOR + 2.75%), due 4/25/25 | 1,408,061 | 1,394,273 |
Incremental Term Loan B3 | ||
4.00% (3 Month LIBOR + 3.25%), due 4/25/25 | 994,987 | 994,987 |
NFP Corp. | ||
Closing Date Term Loan | ||
3.334% (1 Month LIBOR + 3.25%), due 2/15/27 (b) | 1,934,198 | 1,912,840 |
Ryan Specialty Group LLC | ||
Initial Term Loan | ||
3.75% (1 Month LIBOR + 3.00%), due 9/1/27 (b) | 990,000 | 988,763 |
Sedgwick Claims Management Services, Inc. (b) | ||
Initial Term Loan | ||
3.334% (1 Month LIBOR + 3.25%), due 12/31/25 | 2,932,536 | 2,908,252 |
2019 Term Loan | ||
3.834% (1 Month LIBOR + 3.75%), due 9/3/26 | 977,500 | 974,690 |
USI, Inc. | ||
2017 New Term Loan | ||
3.132% (3 Month LIBOR + 3.00%), due 5/16/24 (b) | 2,880,000 | 2,859,428 |
32,712,702 | ||
Leisure, Amusement, Motion Pictures & Entertainment 1.5% | ||
Bombardier Recreational Products, Inc. | ||
2020 Replacement Term Loan | ||
2.084% (1 Month LIBOR + 2.00%), due 5/24/27 (b) | 3,290,362 | 3,261,571 |
Boyd Gaming Corp. | ||
Refinancing Term Loan B | ||
2.322% (1 Week LIBOR + 2.25%), due 9/15/23 (b) | 1,384,520 | 1,382,631 |
Creative Artists Agency LLC | ||
Closing Date Term Loan | ||
3.834% (1 Month LIBOR + 3.75%), due 11/27/26 (b) | 1,473,750 | 1,465,690 |
Fitness International LLC (b) | ||
Term Loan A | ||
4.25% (3 Month LIBOR + 3.25%), due 1/8/25 | 1,163,437 | 1,075,211 |
Term Loan B | ||
4.25% (3 Month LIBOR + 3.25%), due 4/18/25 | 270,764 | 250,505 |
Lions Gate Capital Holdings LLC | ||
Term Loan B | ||
2.334% (1 Month LIBOR + 2.25%), due 3/24/25 (b) | 1,015,437 | 1,006,806 |
Principal Amount | Value | |
Loan Assignments | ||
Leisure, Amusement, Motion Pictures & Entertainment | ||
Marriott Ownership Resorts, Inc. | ||
2019 Refinancing Term Loan | ||
1.834% (1 Month LIBOR + 1.75%), due 8/29/25 (b) | $ 1,313,765 | $ 1,289,953 |
William Morris Endeavor Entertainment LLC (IMG Worldwide Holdings LLC) | ||
First Lien Term Loan B1 | ||
2.84% (1 Month LIBOR + 2.75%), due 5/18/25 (b) | 2,625,024 | 2,569,242 |
12,301,609 | ||
Machinery (Non-Agriculture, Non-Construct & Non-Electronic) 1.2% | ||
Advanced Drainage Systems, Inc. | ||
Initial Term Loan | ||
2.375% (1 Month LIBOR + 2.25%), due 7/31/26 (b) | 469,018 | 469,164 |
Altra Industrial Motion Corp. | ||
Term Loan | ||
2.084% (1 Month LIBOR + 2.00%), due 10/1/25 (b) | 1,670,436 | 1,665,215 |
Brown Group Holdings LLC | ||
Initial Term Loan | ||
3.25% (3 Month LIBOR + 2.75%), due 6/7/28 (b) | 1,167,977 | 1,166,355 |
Columbus McKinnon Corp. | ||
Initial Term Loan | ||
3.25% (3 Month LIBOR + 2.75%), due 5/14/28 (b) | 1,479,583 | 1,474,035 |
CPM Holdings, Inc. (b) | ||
First Lien Initial Term Loan | ||
3.586% (1 Month LIBOR + 3.50%), due 11/17/25 | 1,458,747 | 1,449,265 |
Second Lien Initial Term Loan | ||
8.336% (1 Month LIBOR + 8.25%), due 11/16/26 (c) | 797,980 | 784,015 |
Titan Acquisition Ltd. | ||
Initial Term Loan | ||
3.167% (3 Month LIBOR + 3.00%), due 3/28/25 (b) | 1,809,370 | 1,777,706 |
Welbilt, Inc. | ||
2018 Term Loan B | ||
2.584% (1 Month LIBOR + 2.50%), due 10/23/25 (b) | 1,284,178 | 1,279,363 |
10,065,118 | ||
Manufacturing 1.6% | ||
CP Atlas Buyer, Inc. | ||
Term Loan B | ||
4.25% (3 Month LIBOR + 3.75%), due 11/23/27 (b) | 3,361,554 | 3,351,573 |
FCG Acquisitions, Inc. (b) | ||
First Lien Initial Delayed Draw Term Loan 3.75%-4.25% | ||
(3 Month LIBOR + 3.75%), due 3/31/28 (c) | 152,880 | 152,383 |
First Lien Initial Term Loan | ||
4.25% (3 Month LIBOR + 3.75%), due 3/31/28 | 837,900 | 835,177 |
Idemia Group SAS | ||
USD Facility Term Loan B3 | ||
5.25% (3 Month LIBOR + 4.50%), due 1/10/26 (b) | 1,075,754 | 1,072,169 |
Principal Amount | Value | |
Loan Assignments | ||
Manufacturing | ||
Madison IAQ LLC | ||
Term Loan | ||
3.75% (3 Month LIBOR + 3.25%), due 6/21/28 (b) | $ 2,360,000 | $ 2,356,314 |
Pro Mach Group, Inc. | ||
First Lien Closing Date Initial Term Loan | ||
5.00% (1 Month LIBOR + 4.00%), due 8/31/28 (b) | 2,419,693 | 2,427,632 |
Standard Industries, Inc. | ||
Initial Term Loan | ||
3.00% (3 Month LIBOR + 2.50%), due 9/22/28 (b) | 1,671,429 | 1,671,661 |
Weber-Stephen Products LLC | ||
Initial Term Loan B | ||
4.00% (1 Month LIBOR + 3.25%, 3 Month LIBOR + 3.25%), due 10/30/27 (b) | 293,911 | 294,462 |
Zurn Industries LLC | ||
Cov-Lite Term Loan B | ||
TBD, due 9/15/28 | 850,000 | 849,575 |
13,010,946 | ||
Media 0.9% | ||
Cogeco Communications Finance (USA) LP | ||
Amendment No. 5 Incremental Term Loan B | ||
3.00% (1 Month LIBOR + 2.50%), due 9/1/28 (b) | 1,250,000 | 1,243,229 |
DIRECTV Financing LLC | ||
Closing Date Term Loan | ||
5.75% (3 Month LIBOR + 5.00%), due 8/2/27 (b) | 4,200,000 | 4,202,188 |
KKR Apple Bidco LLC | ||
First Lien Initial Term Loan | ||
3.50% (1 Month LIBOR + 3.00%), due 9/22/28 (b) | 1,620,000 | 1,618,380 |
Mission Broadcasting, Inc. | ||
Term Loan B4 | ||
2.586% (1 Month LIBOR + 2.50%), due 6/2/28 (b) | 600,000 | 599,063 |
7,662,860 | ||
Mining, Steel, Iron & Non-Precious Metals 0.9% | ||
American Rock Salt Co. LLC | ||
First Lien Initial Term Loan | ||
4.75% (1 Month LIBOR + 4.00%), due 6/9/28 (b) | 1,254,000 | 1,259,747 |
Gates Global LLC | ||
Initial Dollar Term Loan B3 | ||
3.25% (1 Month LIBOR + 2.50%), due 3/31/27 (b) | 2,936,342 | 2,930,226 |
Graftech International Ltd. | ||
Initial Term Loan | ||
3.50% (1 Month LIBOR + 3.00%), due 2/12/25 (b) | 898,064 | 898,064 |
MRC Global (U.S.), Inc. | ||
2018 Refinancing Term Loan | ||
3.084% (1 Month LIBOR + 3.00%), due 9/20/24 (b) | 1,054,451 | 1,051,815 |
Principal Amount | Value | |
Loan Assignments | ||
Mining, Steel, Iron & Non-Precious Metals | ||
U.S. Silica Co. | ||
Term Loan | ||
5.00% (1 Month LIBOR + 4.00%), due 5/1/25 (b) | $ 1,447,231 | $ 1,412,408 |
7,552,260 | ||
Oil & Gas 1.7% | ||
Buckeye Partners LP | ||
2021 Tranche Term Loan B1 | ||
2.334% (1 Month LIBOR + 2.25%), due 11/1/26 (b) | 1,354,452 | 1,346,198 |
ChampionX Corp. | ||
Initial Term Loan | ||
2.625% (1 Month LIBOR + 2.50%), due 5/9/25 (b)(c) | 202,410 | 200,723 |
DT Midstream, Inc. | ||
Initial Term Loan | ||
2.50% (3 Month LIBOR + 2.00%), due 6/26/28 (b) | 798,000 | 797,127 |
Fleet Midco I Ltd. | ||
Facility Term Loan B | ||
3.084% (1 Month LIBOR + 3.00%), due 10/7/26 (b) | 1,225,000 | 1,215,813 |
GIP III Stetson I LP | ||
Initial Term Loan | ||
4.334% (1 Month LIBOR + 4.25%), due 7/18/25 (b)(c) | 1,502,564 | 1,440,959 |
Keane Group Holdings LLC | ||
Initial Term Loan | ||
5.50% (1 Month LIBOR + 4.50%), due 5/25/25 (b) | 967,500 | 942,103 |
Lucid Energy Group II Borrower LLC | ||
Initial Term Loan | ||
4.00% (1 Month LIBOR + 3.00%), due 2/17/25 (b) | 1,351,000 | 1,333,437 |
Medallion Midland Acquisition LLC | ||
Initial Term Loan | ||
4.25% (1 Month LIBOR + 3.25%), due 10/30/24 (b) | 577,500 | 573,602 |
Murphy Oil USA, Inc. | ||
Tranche Term Loan B | ||
2.25% (1 Month LIBOR + 1.75%), due 1/31/28 (b) | 448,875 | 449,436 |
NorthRiver Midstream Finance LP | ||
Initial Term Loan B | ||
3.395% (3 Month LIBOR + 3.25%), due 10/1/25 (b) | 1,164,000 | 1,160,120 |
Oryx Midstream Holdings LLC | ||
Term Loan B | ||
TBD, due 1/1/28 | 1,000,000 | 995,000 |
PES Holdings LLC | ||
Tranche Term Loan C | ||
TBD (3.00% PIK) (1 Month LIBOR + 4.50%), due 12/31/22 (b)(c)(e)(f)(g) | 1,122,679 | 16,840 |
Prairie ECI Acquiror LP | ||
Initial Term Loan | ||
4.834% (1 Month LIBOR + 4.75%), due 3/11/26 (b) | 1,185,525 | 1,144,588 |
Traverse Midstream Partners LLC | ||
Advance Term Loan | ||
6.50% (1 Month LIBOR + 5.50%), due 9/27/24 (b) | 1,221,054 | 1,221,054 |
Principal Amount | Value | |
Loan Assignments | ||
Oil & Gas | ||
Veritas U.S., Inc. | ||
Dollar 2021 Term Loan B | ||
6.00% (3 Month LIBOR + 5.00%), due 9/1/25 (b) | $ 1,196,985 | $ 1,202,970 |
14,039,970 | ||
Personal & Nondurable Consumer Products 1.2% | ||
Caesars Resort Collection LLC | ||
Term Loan B1 | ||
3.583% (1 Month LIBOR + 3.50%), due 7/21/25 (b) | 1,039,500 | 1,040,090 |
Foundation Building Materials, Inc. | ||
First Lien Initial Term Loan | ||
3.75% (3 Month LIBOR + 3.25%), due 1/31/28 (b) | 748,125 | 742,982 |
Great Outdoors Group LLC | ||
Term Loan B1 | ||
5.00% (3 Month LIBOR + 4.25%), due 3/6/28 (b) | 2,391,925 | 2,401,392 |
Leslie's Poolmart, Inc. | ||
Initial Term Loan | ||
3.25% (3 Month LIBOR + 2.75%), due 3/9/28 (b) | 1,990,000 | 1,981,157 |
Michaels Cos., Inc. (The) | ||
Term Loan B | ||
5.00% (3 Month LIBOR + 4.25%), due 4/15/28 (b) | 3,192,000 | 3,194,493 |
Prestige Brands, Inc. | ||
Term Loan B5 | ||
2.50% (1 Month LIBOR + 2.00%), due 7/3/28 (b) | 900,000 | 898,875 |
Spectrum Brands, Inc. | ||
2021 Term Loan | ||
2.50% (3 Month LIBOR + 2.00%), due 3/3/28 (b) | 99,500 | 99,251 |
10,358,240 | ||
Personal & Nondurable Consumer Products (Manufacturing Only) 0.8% | ||
American Builders & Contractors Supply Co., Inc. | ||
Restatement Effective Date Term Loan | ||
2.084% (1 Month LIBOR + 2.00%), due 1/15/27 (b) | 1,705,101 | 1,693,297 |
Hercules Achievement, Inc. (Varsity Brands Holding Co., Inc.) | ||
First Lien Initial Term Loan | ||
4.50% (1 Month LIBOR + 3.50%), due 12/16/24 (b) | 1,925,064 | 1,885,876 |
SRAM LLC | ||
Initial Term Loan | ||
3.25% (1 Month LIBOR + 2.75%, 3 Month LIBOR + 2.75%), due 5/18/28 (b) | 2,863,636 | 2,857,671 |
6,436,844 | ||
Personal Transportation 0.5% | ||
First Student Bidco, Inc. (b) | ||
Initial Term Loan B | ||
3.50% (3 Month LIBOR + 3.00%), due 7/21/28 | 788,824 | 784,113 |
Initial Term Loan C | ||
3.50% (3 Month LIBOR + 3.00%), due 7/21/28 | 291,177 | 289,437 |
Principal Amount | Value | |
Loan Assignments | ||
Personal Transportation | ||
Uber Technologies, Inc. (b) | ||
2021 Incremental Term Loan | ||
3.585% (1 Month LIBOR + 3.50%), due 4/4/25 | $ 1,732,097 | $ 1,730,414 |
2021 Refinancing Term Loan | ||
3.585% (1 Month LIBOR + 3.50%), due 2/25/27 | 994,764 | 993,343 |
3,797,307 | ||
Personal, Food & Miscellaneous Services 2.2% | ||
1011778 B.C. Unlimited Liability Co. | ||
Term Loan B4 | ||
1.837% (1 Month LIBOR + 1.75%), due 11/19/26 (b) | 2,148,453 | 2,118,527 |
Aramark Intermediate HoldCo Corp. (b) | ||
U.S. Term Loan B3 | ||
1.834% (1 Month LIBOR + 1.75%), due 3/11/25 | 2,182,663 | 2,132,188 |
U.S. Term Loan B5 | ||
2.584% (1 Month LIBOR + 2.50%), due 4/6/28 | 1,402,972 | 1,390,259 |
Hayward Industries, Inc. | ||
First Lien Refinancing Term Loan | ||
3.00% (1 Month LIBOR + 2.50%), due 5/30/28 (b) | 2,793,000 | 2,783,523 |
Hillman Group, Inc. (The) (b) | ||
Initial Delayed Draw Term Loan 1.375%-3.25% | ||
(1 Month LIBOR + 2.75%), due 7/14/28 (c) | 10,352 | 10,328 |
Initial Term Loan | ||
3.25% (1 Month LIBOR + 2.75%), due 7/14/28 | 540,225 | 538,987 |
IRB Holding Corp. (b) | ||
2020 Replacement Term Loan B | ||
3.75% (3 Month LIBOR + 2.75%), due 2/5/25 | 2,423,511 | 2,419,134 |
Fourth Amendment Incremental Term Loan | ||
4.25% (1 Month LIBOR + 3.25%, 3 Month LIBOR + 3.25%), due 12/15/27 | 2,152,904 | 2,156,364 |
KFC Holding Co. | ||
2021 Term Loan B | ||
1.836% (1 Month LIBOR + 1.75%), due 3/15/28 (b) | 1,467,680 | 1,467,681 |
WW International, Inc. | ||
Initial Term Loan | ||
4.00% (1 Month LIBOR + 3.50%), due 4/13/28 (b) | 3,591,000 | 3,582,665 |
18,599,656 | ||
Pharmaceutical 0.1% | ||
Padagis LLC | ||
Term Loan B | ||
5.25% (3 Month LIBOR + 4.75%), due 7/6/28 (b) | 1,200,000 | 1,197,000 |
Printing & Publishing 0.8% | ||
Getty Images, Inc. | ||
Initial Dollar Term Loan | ||
4.625% (1 Month LIBOR + 4.50%), due 2/19/26 (b) | 1,463,114 | 1,460,981 |
Principal Amount | Value | |
Loan Assignments | ||
Printing & Publishing | ||
Severin Acquisition LLC | ||
First Lien Initial Term Loan | ||
3.337% (1 Month LIBOR + 3.25%), due 8/1/25 (b) | $ 1,955,075 | $ 1,944,077 |
Springer Nature Deutschland GmbH | ||
Initial Term Loan B18 | ||
3.75% (1 Month LIBOR + 3.00%), due 8/14/26 (b) | 3,062,584 | 3,060,397 |
6,465,455 | ||
Radio and TV Broadcasting 0.1% | ||
Nielsen Finance LLC | ||
Term Loan B4 | ||
2.083% (1 Month LIBOR + 2.00%), due 10/4/23 (b) | 855,929 | 854,502 |
Retail Store 1.6% | ||
BJ's Wholesale Club, Inc. | ||
First Lien Tranche Term Loan B | ||
2.083% (1 Month LIBOR + 2.00%), due 2/3/24 (b) | 1,549,996 | 1,550,318 |
EG Group Ltd. (b) | ||
USD Facility Term Loan B | ||
4.132% (3 Month LIBOR + 4.00%), due 2/7/25 | 668,633 | 666,126 |
USD Additional Facility Term Loan | ||
4.132% (3 Month LIBOR + 4.00%), due 2/7/25 | 1,451,274 | 1,445,832 |
Harbor Freight Tools USA, Inc. | ||
2021 Initial Term Loan | ||
3.25% (1 Month LIBOR + 2.75%), due 10/19/27 (b) | 3,853,149 | 3,849,208 |
PetSmart LLC | ||
Initial Term Loan | ||
4.50% (3 Month LIBOR + 3.75%), due 2/11/28 (b) | 1,400,000 | 1,402,250 |
Rising Tide Holdings, Inc. | ||
First Lien Initial Term Loan | ||
5.50% (1 Month LIBOR + 4.75%), due 6/1/28 (b) | 2,440,000 | 2,451,182 |
White Cap Buyer LLC | ||
Initial Closing Date Term Loan | ||
4.50% (1 Month LIBOR + 4.00%), due 10/19/27 (b) | 1,987,494 | 1,991,634 |
13,356,550 | ||
Services: Business 3.1% | ||
ConnectWise LLC | ||
Term Loan B | ||
TBD, due 9/24/28 | 1,400,000 | 1,395,800 |
Dun & Bradstreet Corp. (The) | ||
Initial Borrowing Term Loan | ||
3.336% (1 Month LIBOR + 3.25%), due 2/6/26 (b) | 2,930,362 | 2,925,129 |
GIP II Blue Holding LP | ||
Initial Term Loan | ||
TBD, due 9/29/28 | 2,333,333 | 2,330,417 |
Principal Amount | Value | |
Loan Assignments | ||
Services: Business | ||
Hunter Holdco 3 Ltd. | ||
First Lien Initial Dollar Term Loan | ||
4.75% (3 Month LIBOR + 4.25%), due 8/19/28 (b) | $ 4,800,000 | $ 4,818,000 |
ICON plc | ||
U.S. Term Loan | ||
3.00% (3 Month LIBOR + 2.50%), due 7/3/28 (b) | 497,394 | 499,051 |
Intrado Corp. | ||
Initial Term Loan B | ||
5.00% (3 Month LIBOR + 4.00%), due 10/10/24 (b) | 1,517,146 | 1,493,305 |
Mercury Borrower, Inc. | ||
First Lien Initial Term Loan | ||
4.00% (2 Month LIBOR + 3.50%), due 8/2/28 (b) | 2,400,000 | 2,391,000 |
MPH Acquisition Holdings LLC | ||
Initial Term Loan | ||
4.75% (3 Month LIBOR + 4.25%), due 9/1/28 (b) | 2,500,000 | 2,471,875 |
Osmosis Buyer Ltd. | ||
Initial Term Loan B | ||
4.50% (1 Month LIBOR + 4.00%), due 7/31/28 (b) | 2,133,333 | 2,138,133 |
Parexel International Corp. | ||
Term Loan | ||
TBD, due 8/11/28 | 1,500,000 | 1,500,209 |
Polaris Newco LLC | ||
First Lien Dollar Term Loan | ||
4.50% (3 Month LIBOR + 4.00%), due 6/2/28 (b) | 3,000,000 | 3,006,000 |
Project Boost Purchaser LLC | ||
2021 Tranche Term Loan 2 | ||
4.00% (1 Month LIBOR + 3.50%), due 5/30/26 (b) | 748,125 | 747,190 |
25,716,109 | ||
Software 0.4% | ||
Cornerstone OnDemand, Inc. | ||
Term Loan | ||
TBD, due 9/21/28 | 1,875,000 | 1,871,095 |
Magenta Buyer LLC | ||
First Lien Initial Term Loan | ||
5.75% (3 Month LIBOR + 5.00%), due 7/27/28 (b) | 700,000 | 700,000 |
Sovos Compliance LLC | ||
First Lien Initial Term Loan | ||
5.00% (3 Month LIBOR + 4.50%), due 8/11/28 (b) | 426,370 | 428,768 |
2,999,863 | ||
Telecommunications 4.3% | ||
Avaya, Inc. | ||
Tranche Term Loan B2 | ||
4.084% (1 Month LIBOR + 4.00%), due 12/15/27 (b) | 1,168,269 | 1,169,304 |
Azalea TopCo, Inc. | ||
First Lien Initial Term Loan 3.585%-3.629% | ||
(1 Month LIBOR + 3.50%, 3 Month LIBOR + 3.50%), due 7/24/26 (b) | 2,450,000 | 2,433,463 |
Principal Amount | Value | |
Loan Assignments | ||
Telecommunications | ||
Cablevision Lightpath LLC | ||
Initial Term Loan | ||
3.75% (1 Month LIBOR + 3.25%), due 11/30/27 (b) | $ 1,496,231 | $ 1,496,979 |
Conduent, Inc. | ||
Term Loan B | ||
2.584% (1 Month LIBOR + 2.50%), due 12/7/23 (b) | 1,431,070 | 1,414,374 |
Connect Finco SARL | ||
Amendment No. 1 Refinancing Term Loan | ||
4.50% (1 Month LIBOR + 3.50%), due 12/11/26 (b) | 3,969,949 | 3,970,569 |
CSC Holdings LLC | ||
September 2019 Initial Term Loan | ||
2.584% (1 Month LIBOR + 2.50%), due 4/15/27 (b) | 3,645,116 | 3,598,250 |
Cyxtera DC Holdings, Inc. | ||
First Lien Initial Term Loan | ||
4.00% (3 Month LIBOR + 3.00%), due 5/1/24 (b)(c) | 957,500 | 948,324 |
Frontier Communications Holdings LLC | ||
Term Loan B | ||
4.50% (3 Month LIBOR + 3.75%), due 5/1/28 (b) | 2,144,625 | 2,139,933 |
Gogo, Inc. | ||
Term Loan B | ||
4.50% (3 Month LIBOR + 3.75%), due 4/30/28 (b) | 2,000,000 | 1,992,500 |
Intelsat Jackson Holdings SA | ||
Tranche Term Loan B3 | ||
8.00% (1 Month LIBOR + 4.75%), due 11/27/23 (b) | 1,639,180 | 1,654,206 |
Level 3 Financing, Inc. | ||
Tranche 2027 Term Loan B | ||
1.834% (1 Month LIBOR + 1.75%), due 3/1/27 (b) | 1,500,000 | 1,480,982 |
Lumen Technologies, Inc. | ||
Term Loan B | ||
2.334% (1 Month LIBOR + 2.25%), due 3/15/27 (b) | 2,694,451 | 2,662,640 |
Redstone HoldCo 2 LP | ||
First Lien Initial Term Loan | ||
5.50% (3 Month LIBOR + 4.75%), due 4/27/28 (b) | 3,500,000 | 3,438,750 |
SBA Senior Finance II LLC | ||
Initial Term Loan | ||
1.84% (1 Month LIBOR + 1.75%), due 4/11/25 (b) | 1,775,998 | 1,758,016 |
Telesat Canada | ||
Term Loan B5 | ||
2.84% (2 Month LIBOR + 2.75%), due 12/7/26 (b) | 1,220,447 | 1,101,160 |
Zayo Group Holdings, Inc. | ||
Initial Dollar Term Loan | ||
3.084% (1 Month LIBOR + 3.00%), due 3/9/27 (b) | 4,348,136 | 4,307,998 |
35,567,448 | ||
Utilities 2.9% | ||
Astoria Energy LLC | ||
2020 Advance Term Loan B | ||
4.50% (3 Month LIBOR + 3.50%), due 12/10/27 (b) | 667,494 | 668,607 |
Principal Amount | Value | |
Loan Assignments | ||
Utilities | ||
Brookfield WEC Holdings, Inc. | ||
First Lien 2021 Initial Term Loan | ||
3.25% (1 Month LIBOR + 2.75%), due 8/1/25 (b) | $ 2,920,394 | $ 2,898,491 |
Calpine Corp. | ||
2019 Term Loan | ||
2.09% (1 Month LIBOR + 2.00%), due 4/5/26 (b) | 3,079,125 | 3,042,881 |
Compass Power Generation LLC | ||
Tranche Term Loan B1 | ||
4.50% (1 Month LIBOR + 3.50%), due 12/20/24 (b) | 1,593,119 | 1,591,128 |
Edgewater Generation LLC | ||
Term Loan | ||
3.834% (1 Month LIBOR + 3.75%), due 12/13/25 (b) | 3,727,794 | 3,553,053 |
ExGen Renewables IV LLC | ||
Term Loan | ||
3.50% (3 Month LIBOR + 2.50%), due 12/15/27 (b) | 1,475,042 | 1,473,198 |
Granite Generation LLC | ||
Term Loan | ||
4.75% (1 Month LIBOR + 3.75%, 3 Month LIBOR + 3.75%), due 11/9/26 (b) | 3,209,249 | 3,150,414 |
Hamilton Projects Acquiror LLC | ||
Term Loan | ||
5.75% (3 Month LIBOR + 4.75%), due 6/17/27 (b) | 2,468,750 | 2,474,922 |
Helix Gen Funding LLC | ||
Term Loan | ||
4.75% (1 Month LIBOR + 3.75%), due 6/3/24 (b) | 258,614 | 250,176 |
PG&E Corp. | ||
Term Loan | ||
3.50% (3 Month LIBOR + 3.00%), due 6/19/25 (b) | 1,728,125 | 1,694,102 |
Vistra Operations Co. LLC | ||
2018 Incremental Term Loan | ||
1.834% (1 Month LIBOR + 1.75%), due 12/31/25 (b) | 3,125,783 | 3,101,739 |
23,898,711 | ||
Total Loan Assignments (Cost $789,298,570) | 783,968,999 | |
Total Long-Term Bonds (Cost $819,796,930) | 815,591,697 | |
Shares | ||
Affiliated Investment Company 0.3% | ||
Fixed Income Fund 0.3% | ||
MainStay MacKay High Yield Corporate Bond Fund Class I | 436,571 | 2,476,709 |
Total Affiliated Investment Company (Cost $2,479,721) | 2,476,709 |
Shares | Value | |
Common Stocks 0.0% ‡ | ||
Communications Equipment 0.0% ‡ | ||
Energy Future Holdings Corp. (c)(d)(h)(i) | 94,456 | $ — |
Millennium Corporate Trust (c)(d)(h)(i) | 1,243 | — |
Millennium Lender Trust (c)(d)(h)(i) | 1,324 | — |
— | ||
Metals & Mining 0.0% ‡ | ||
Ameriforge Group, Inc. (c)(d)(h)(i) | 45,694 | 144,850 |
Total Common Stocks (Cost $1,573,379) | 144,850 | |
Number of Rights | ||
Rights 0.0% ‡ | ||
Independent Power and Renewable Electricity Producers 0.0% ‡ | ||
Vistra Energy Corp. | ||
Expires 12/31/46 (c)(d)(h)(i) | 57,684 | 60,568 |
Total Rights (Cost $47,301) | 60,568 | |
Number of Warrants | ||
Warrants 0.0% ‡ | ||
Health Care Equipment & Supplies 0.0% ‡ | ||
Carestream Health, Inc. | ||
Expires 12/31/21 (c)(d)(h)(i) | 29 | — |
Health Care Providers & Services 0.0% ‡ | ||
THAIHOT Investment Co. Ltd. | ||
Expires 10/13/27 (c)(d)(h)(i) | 22 | — |
Total Warrants (Cost $0) | — | |
Principal Amount | ||
Short-Term Investments 7.2% | ||
U.S. Treasury Debt 7.2% | ||
U.S. Treasury Bills (j) | ||
0.03%, due 10/5/21 | $ 18,017,000 | 18,016,954 |
0.038%, due 10/12/21 | 2,037,000 | 2,036,982 |
0.04%, due 11/9/21 | 31,785,000 | 31,783,063 |
0.05%, due 10/15/21 | 930,000 | 929,984 |
0.05%, due 10/28/21 | 1,086,000 | 1,085,946 |
Principal Amount | Value | ||
Short-Term Investments | |||
U.S. Treasury Debt | |||
U.S. Treasury Bills (j) | |||
0.055%, due 11/2/21 | $ 3,482,000 | $ 3,481,819 | |
0.09%, due 11/12/21 | 2,300,000 | 2,299,866 | |
Total Short-Term Investments (Cost $59,635,190) | 59,634,614 | ||
Total Investments (Cost $883,532,521) | 105.7% | 877,908,438 | |
Other Assets, Less Liabilities | (5.7) | (47,216,962) | |
Net Assets | 100.0% | $ 830,691,476 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
(b) | Floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(c) | Illiquid security—As of September 30, 2021, the total market value deemed illiquid under procedures approved by the Board of Trustees was $20,474,169, which represented 2.5% of the Portfolio’s net assets. |
(d) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(e) | PIK ("Payment-in-Kind")—issuer may pay interest or dividends with additional securities and/or in cash. |
(f) | Issue in default. |
(g) | Issue in non-accrual status. |
(h) | Fair valued security—Represents fair value as measured in good faith under procedures approved by the Board of Trustees. As of September 30, 2021, the total market value was $205,418, which represented less than one-tenth of a percent of the Portfolio’s net assets. |
(i) | Non-income producing security. |
(j) | Interest rate shown represents yield to maturity. |
Abbreviation(s): |
LIBOR—London Interbank Offered Rate |
REIT—Real Estate Investment Trust |
TBD—To Be Determined |
USD—United States Dollar |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Long-Term Bonds | |||||||
Corporate Bonds | $ — | $ 31,622,698 | $ — | $ 31,622,698 | |||
Loan Assignments | — | 783,074,629 | 894,370 | 783,968,999 | |||
Total Long-Term Bonds | — | 814,697,327 | 894,370 | 815,591,697 | |||
Affiliated Investment Company | |||||||
Fixed Income Fund | 2,476,709 | — | — | 2,476,709 | |||
Common Stocks | — | — | 144,850 | 144,850 | |||
Rights | — | — | 60,568 | 60,568 | |||
Warrants | — | — | — | — | |||
Short-Term Investments | |||||||
U.S. Treasury Debt | — | 59,634,614 | — | 59,634,614 | |||
Total Investments in Securities | $ 2,476,709 | $ 874,331,941 | $ 1,099,788 | $ 877,908,438 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
Investments in Securities | Balance as of December 31, 2020 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers in to Level 3 | Transfers out of Level 3 | Balance as of September 30, 2021 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of September 30, 2021 | |||||||||
Long-Term Bonds | |||||||||||||||||||
Loan Assignments | $6,817,156 | $2,049 | $9,530 | $48,703 | $30,000 | $(4,131,364) | $862,274 | $(2,743,978) | $894,370 | $2,096 | |||||||||
Common Stocks | 1,336,649 | — | (662,769) | 317,823 | — | (846,853) | — | — | 144,850 | (1,428,529) | |||||||||
Rights | 62,876 | — | — | (2,308) | — | — | — | — | 60,568 | 13,267 | |||||||||
Warrants | 577 | — | (6,398) | 5,821 | — | — | — | — | — | — | |||||||||
Total | $8,217,258 | $2,049 | $(659,637) | $370,039 | $30,000 | $(4,978,217) | $862,274 | $(2,743,978) | $1,099,788 | $(1,413,166) |
As of September 30, 2021, a Loan Assignment with a market value of $862,274 transferred from Level 2 to Level 3 as the the fair value for this Loan Assignment utilized significant unobservable inputs. As of December 31, 2020, the fair value obtained for this Loan Assignment utilized significant other observable inputs.
As of September 30, 2021, Loan Assignments with a market value of $2,743,978 transferred from Level 3 to Level 2 as the fair value obtained by an independent pricing service, utilized significant other observable inputs. As of December 31, 2020, the fair value obtained for these Loan Assignments, as determined by an independent pricing service, utilized significant unobservable inputs.
MainStay VP Equity Allocation Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | ||
Affiliated Investment Companies 96.5% | |||
Equity Funds 96.5% | |||
IQ 50 Percent Hedged FTSE International ETF (a) | 1,000,204 | $ 24,430,583 | |
IQ 500 International ETF (a) | 1,510,569 | 49,182,012 | |
IQ Candriam ESG International Equity ETF (a) | 1,204,414 | 35,239,227 | |
IQ Candriam ESG U.S. Equity ETF (a) | 2,462,386 | 91,503,987 | |
IQ Chaikin U.S. Large Cap ETF (a) | 1,621,396 | 53,783,813 | |
IQ Chaikin U.S. Small Cap ETF (a) | 809,454 | 28,193,283 | |
MainStay Epoch Capital Growth Fund Class I (a) | 273,404 | 4,429,038 | |
MainStay Epoch International Choice Fund Class I (a) | 983,091 | 40,105,774 | |
MainStay VP Candriam Emerging Markets Equity Portfolio Initial Class (a) | 4,856,129 | 56,025,158 | |
MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class (a) | 3,923,903 | 66,891,944 | |
MainStay VP MacKay International Equity Portfolio Initial Class (a) | 1,782,410 | 36,116,626 | |
MainStay VP MacKay S&P 500 Index Portfolio Initial Class (a) | 1,407,656 | 116,408,098 | |
MainStay VP Small Cap Growth Portfolio Initial Class (a) | 2,234,660 | 43,852,747 | |
MainStay VP T. Rowe Price Equity Income Portfolio Initial Class (a) | 4,589,086 | 62,141,730 | |
MainStay VP Wellington Growth Portfolio Initial Class (a) | 1,256,172 | 56,373,349 | |
MainStay VP Wellington Mid Cap Portfolio Initial Class (a) | 2,850,013 | 45,073,239 | |
MainStay VP Wellington Small Cap Portfolio Initial Class (a) | 1,988,896 | 26,063,094 | |
MainStay VP Wellington U.S. Equity Portfolio Initial Class | 827,728 | 27,314,029 | |
MainStay VP Winslow Large Cap Growth Portfolio Initial Class (a) | 2,435,629 | 92,547,340 | |
MainStay WMC Enduring Capital Fund Class R6 (a) | 625,250 | 21,339,842 | |
MainStay WMC International Research Equity Fund Class I (a) | 4,971,653 | 39,552,979 | |
MainStay WMC Value Fund Class R6 (a) | 1,363,255 | 74,223,379 | |
Total Affiliated Investment Companies (Cost $890,351,855) | 1,090,791,271 | ||
Short-Term Investment 3.6% | |||
Affiliated Investment Company 3.6% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (b) | 40,407,591 | 40,407,591 | |
Total Short-Term Investment (Cost $40,407,591) | 3.6% | 40,407,591 | |
Total Investments (Cost $930,759,446) | 100.1% | 1,131,198,862 | |
Other Assets, Less Liabilities | (0.1) | (833,833) | |
Net Assets | 100.0% | $ 1,130,365,029 |
† | Percentages indicated are based on Portfolio net assets. |
(a) | As of September 30, 2021, the Portfolio’s ownership exceeds 5% of the outstanding shares of the Underlying Portfolio's/Fund's share class. |
(b) | Current yield as of September 30, 2021. |
Swap Contracts
Open OTC total return equity swap contracts as of September 30, 2021 were as follows1:
Swap Counterparty | Reference Obligation | Floating Rate2 | Termination Date(s) | Payment Frequency Paid/ Received | Notional Amount Long/ (Short) (000)3 | Unrealized Appreciation/ (Depreciation)4 |
Citibank NA | Citi 2nd Wave Virus Basket | 1 month LIBOR BBA plus 0.35% | 12/2/21 | Monthly | 8,054 | $ — |
Citibank NA | Citi Stay at Home Basket | 1 month LIBOR BBA minus 0.30% | 12/2/21 | Monthly | (9,027) | — |
Citibank NA | iShares MSCI EAFE ETF | 1 month LIBOR BBA plus 0.40% | 12/2/21 | Monthly | 16,944 | — |
Citibank NA | iShares MSCI EAFE Small-Cap ETF | 1 month LIBOR BBA plus 0.55% | 12/2/21 | Monthly | 11,259 | — |
Citibank NA | iShares MSCI Emerging Markets ETF | 1 month LIBOR BBA | 12/2/21 | Monthly | (23,108) | — |
Citibank NA | Russell 1000 Growth Total Return Index | 1 month LIBOR BBA plus 0.03% | 12/2/21 | Monthly | (44,917) | — |
Citibank NA | Russell 2000 Total Return Index | 1 month LIBOR BBA plus 0.14% | 12/2/21 | Monthly | 31,948 | — |
Citibank NA | Russell Midcap Total Return Index | 1 month LIBOR BBA plus 0.31% | 12/2/21 | Monthly | 20,638 | — |
Citibank NA | S&P 500 Total Return Index | 1 month LIBOR BBA | 12/2/21 | Monthly | 4,794 | — |
Citibank NA | VanEck Vectors Gold Miners ETF | 1 month LIBOR BBA plus 0.50% | 12/2/21 | Monthly | 5,310 | — |
Citibank NA | Vanguard FTSE Europe ETF | 1 month LIBOR BBA plus 0.40% | 12/2/21 | Monthly | 22,683 | — |
$ — |
1. | As of September 30, 2021, cash in the amount $1,200,000 was pledged to brokers for OTC swap contracts. |
2. | Portfolio pays the floating rate and receives the total return of the reference entity. |
3. | Notional amounts reflected as a positive value indicate a long position held by the Portfolio or Index and a negative value indicates a short position. |
4. | Reflects the value at reset date as of September 30, 2021. |
Abbreviation(s): |
BBA—British Bankers’ Association |
EAFE—Europe, Australasia and Far East |
ETF—Exchange-Traded Fund |
FTSE—Financial Times Stock Exchange |
LIBOR—London Interbank Offered Rate |
MSCI—Morgan Stanley Capital International |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Affiliated Investment Companies | |||||||
Equity Funds | $ 1,090,791,271 | $ — | $ — | $ 1,090,791,271 | |||
Short-Term Investment | |||||||
Affiliated Investment Company | 40,407,591 | — | — | 40,407,591 | |||
Total Investments in Securities | $ 1,131,198,862 | $ — | $ — | $ 1,131,198,862 | |||
Total Investments in Securities | $ — | $ — | $ — | $ — |
(a) | For a complete listing of investments, see the Portfolio of Investments. |
MainStay VP Income Builder Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Principal Amount | Value | |
Long-Term Bonds 51.0% | ||
Asset-Backed Securities 4.4% | ||
Automobile Asset-Backed Securities 1.5% | ||
American Credit Acceptance Receivables Trust | ||
Series 2021-3, Class D | ||
1.34%, due 11/15/27 (a) | $ 745,000 | $ 741,322 |
Avis Budget Rental Car Funding AESOP LLC (a) | ||
Series 2021-1A, Class A | ||
1.38%, due 8/20/27 | 1,000,000 | 997,813 |
Series 2020-2A, Class A | ||
2.02%, due 2/20/27 | 360,000 | 368,930 |
Series 2020-1A, Class A | ||
2.33%, due 8/20/26 | 415,000 | 431,368 |
Chase Auto Credit Linked Notes | ||
Series 2020-1, Class B | ||
0.991%, due 1/25/28 (a) | 425,638 | 426,783 |
Drive Auto Receivables Trust | ||
Series 2021-2, Class D | ||
1.39%, due 3/15/29 | 800,000 | 797,362 |
Ford Credit Auto Owner Trust (a) | ||
Series 2020-2, Class A | ||
1.06%, due 4/15/33 | 645,000 | 642,581 |
Series 2020-1, Class A | ||
2.04%, due 8/15/31 | 580,000 | 599,741 |
Ford Credit Floorplan Master Owner Trust | ||
Series 2019-4, Class A | ||
2.44%, due 9/15/26 | 850,000 | 889,560 |
Series 2017-3, Class A | ||
2.48%, due 9/15/24 | 895,000 | 913,849 |
Series 2018-4, Class A | ||
4.06%, due 11/15/30 | 530,000 | 601,984 |
GM Financial Revolving Receivables Trust | ||
Series 2021-1, Class A | ||
1.17%, due 6/12/34 (a) | 975,000 | 969,036 |
Hertz Vehicle Financing III LP (a) | ||
Series 2021-2A, Class A | ||
1.68%, due 12/27/27 | 805,000 | 805,847 |
Series 2021-2A, Class B | ||
2.12%, due 12/27/27 | 280,000 | 281,665 |
Hertz Vehicle Financing LLC | ||
Series 2021-1A, Class B | ||
1.56%, due 12/26/25 (a) | 520,000 | 522,134 |
Santander Revolving Auto Loan Trust | ||
Series 2019-A, Class A | ||
2.51%, due 1/26/32 (a) | 330,000 | 346,480 |
10,336,455 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Credit Card Asset-Backed Security 0.1% | ||
Capital One Multi-Asset Execution Trust | ||
Series 2019-A3, Class A3 | ||
2.06%, due 8/15/28 | $ 700,000 | $ 731,037 |
Home Equity Asset-Backed Securities 0.2% | ||
Carrington Mortgage Loan Trust | ||
Series 2007-HE1, Class A3 | ||
0.276% (1 Month LIBOR + 0.19%), due 6/25/37 (b) | 1,151,670 | 1,140,673 |
JP Morgan Mortgage Acquisition Trust | ||
Series 2007-HE1, Class AF1 | ||
0.186% (1 Month LIBOR + 0.10%), due 3/25/47 (b) | 138,586 | 94,387 |
Mastr Asset-Backed Securities Trust | ||
Series 2006-HE4, Class A1 | ||
0.186% (1 Month LIBOR + 0.10%), due 11/25/36 (b) | 203,019 | 87,978 |
1,323,038 | ||
Other Asset-Backed Securities 2.6% | ||
American Airlines Pass-Through Trust | ||
Series 2016-2, Class A | ||
3.65%, due 6/15/28 | 594,185 | 578,246 |
Series 2019-1, Class B | ||
3.85%, due 2/15/28 | 479,864 | 457,198 |
Series 2013-2, Class A | ||
4.95%, due 1/15/23 | 760,003 | 777,179 |
American Tower Trust #1 | ||
3.07%, due 3/15/23 (a) | 175,000 | 175,175 |
British Airways Pass-Through Trust | ||
Series 2021-1, Class A | ||
2.90%, due 3/15/35 (United Kingdom) (a) | 840,000 | 844,060 |
CF Hippolyta LLC (a) | ||
Series 2021-1A, Class A1 | ||
1.53%, due 3/15/61 | 546,778 | 550,366 |
Series 2020-1, Class A1 | ||
1.69%, due 7/15/60 | 464,906 | 471,205 |
Series 2020-1, Class A2 | ||
1.99%, due 7/15/60 | 515,755 | 515,914 |
Crown Castle Towers LLC | ||
4.241%, due 7/15/28 (a) | 990,000 | 1,105,652 |
CVS Pass-Through Trust | ||
5.789%, due 1/10/26 (a) | 21,780 | 23,794 |
FirstKey Homes 2020-SFR1 Trust | ||
Series 2021-SFR1, Class A | ||
1.538%, due 8/17/38 (a) | 1,165,000 | 1,163,355 |
MMAF Equipment Finance LLC | ||
Series 2020-BA, Class A4 | ||
0.66%, due 11/15/27 (a) | 1,500,000 | 1,489,160 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities | ||
Navient Private Education Refi Loan Trust (a) | ||
Series 2020-DA, Class A | ||
1.69%, due 5/15/69 | $ 250,189 | $ 252,700 |
Series 2020-EA, Class A | ||
1.69%, due 5/15/69 | 419,682 | 425,567 |
Series 2021-EA, Class B | ||
2.03%, due 12/16/69 | 1,165,000 | 1,140,467 |
PFS Financing Corp. (a) | ||
Series 2020-B, Class B | ||
1.71%, due 6/15/24 | 355,000 | 357,546 |
Series 2020-A, Class B | ||
1.77%, due 6/15/25 | 765,000 | 775,199 |
Progress Residential (a) | ||
Series 2021-SFR1, Class A | ||
1.052%, due 4/17/38 | 765,000 | 751,187 |
Series 2021-SFR3, Class A | ||
1.637%, due 5/17/26 | 389,085 | 390,338 |
Series 2021-SFR4, Class B | ||
1.808%, due 5/17/38 | 670,000 | 668,318 |
Progress Residential Trust (a) | ||
Series 2021-SFR2, Class A | ||
1.546%, due 4/19/38 | 350,000 | 349,185 |
Series 2021-SFR2, Class B | ||
1.796%, due 4/19/38 | 1,050,000 | 1,047,530 |
Sierra Timeshare Receivables Funding LLC | ||
Series 2020-2A, Class A | ||
1.33%, due 7/20/37 (a) | 342,598 | 343,391 |
Taco Bell Funding LLC | ||
Series 2021-1A, Class A23 | ||
2.542%, due 8/25/51 (a) | 980,000 | 979,086 |
U.S. Airways Pass-Through Trust | ||
Series 2012-1, Class A | ||
5.90%, due 10/1/24 | 525,476 | 552,829 |
Series 2010-1, Class A | ||
6.25%, due 4/22/23 | 265,806 | 274,297 |
United Airlines Pass-Through Trust | ||
Series 2014-2, Class B | ||
4.625%, due 9/3/22 | 222,339 | 226,775 |
Series 2020-1, Class A | ||
5.875%, due 10/15/27 | 788,354 | 882,201 |
Series 2007-1 | ||
6.636%, due 7/2/22 | 278,274 | 287,318 |
17,855,238 | ||
Total Asset-Backed Securities (Cost $29,712,238) | 30,245,768 |
Principal Amount | Value | |
Corporate Bonds 29.1% | ||
Aerospace & Defense 0.3% | ||
BAE Systems plc | ||
3.00%, due 9/15/50 (United Kingdom) (a) | $ 550,000 | $ 529,007 |
Howmet Aerospace, Inc. | ||
3.00%, due 1/15/29 | 830,000 | 837,138 |
L3Harris Technologies, Inc. | ||
4.40%, due 6/15/28 | 810,000 | 924,295 |
2,290,440 | ||
Agriculture 0.1% | ||
BAT Capital Corp. | ||
3.734%, due 9/25/40 (United Kingdom) | 905,000 | 873,127 |
Airlines 0.6% | ||
American Airlines, Inc. (a) | ||
5.50%, due 4/20/26 | 600,000 | 630,750 |
5.75%, due 4/20/29 | 360,000 | 387,900 |
Delta Air Lines, Inc. (a) | ||
4.50%, due 10/20/25 | 465,000 | 497,550 |
4.75%, due 10/20/28 | 325,000 | 362,375 |
7.00%, due 5/1/25 | 985,000 | 1,148,756 |
Mileage Plus Holdings LLC | ||
6.50%, due 6/20/27 (a) | 795,000 | 864,499 |
3,891,830 | ||
Auto Manufacturers 1.4% | ||
Ford Motor Co. | ||
8.50%, due 4/21/23 | 890,000 | 978,947 |
9.00%, due 4/22/25 | 890,000 | 1,070,252 |
Ford Motor Credit Co. LLC | ||
2.70%, due 8/10/26 | 595,000 | 596,190 |
4.063%, due 11/1/24 | 780,000 | 820,162 |
4.25%, due 9/20/22 | 305,000 | 311,939 |
General Motors Co. | ||
6.125%, due 10/1/25 | 285,000 | 333,932 |
General Motors Financial Co., Inc. | ||
2.35%, due 1/8/31 | 344,000 | 336,933 |
2.70%, due 6/10/31 | 850,000 | 847,399 |
3.15%, due 6/30/22 | 320,000 | 325,753 |
3.45%, due 4/10/22 | 1,500,000 | 1,515,673 |
Nissan Motor Acceptance Co. LLC (a) | ||
1.125%, due 9/16/24 | 810,000 | 808,477 |
1.85%, due 9/16/26 | 1,350,000 | 1,335,992 |
9,281,649 | ||
Banks 6.7% | ||
Bank of America Corp. | ||
2.087%, due 6/14/29 (c) | 715,000 | 713,852 |
2.496%, due 2/13/31 (c) | 650,000 | 657,793 |
Principal Amount | Value | |
Corporate Bonds | ||
Banks | ||
Bank of America Corp. | ||
3.004%, due 12/20/23 (c) | $ 734,000 | $ 756,438 |
3.458%, due 3/15/25 (c) | 1,425,000 | 1,516,075 |
3.705%, due 4/24/28 (c) | 555,000 | 609,927 |
4.078%, due 4/23/40 (c) | 785,000 | 903,738 |
4.20%, due 8/26/24 | 325,000 | 355,496 |
Series MM | ||
4.30%, due 1/28/25 (c)(d) | 1,136,000 | 1,155,880 |
Series DD | ||
6.30%, due 3/10/26 (c)(d) | 735,000 | 852,600 |
BNP Paribas SA (France) (a) | ||
3.052%, due 1/13/31 (c) | 1,415,000 | 1,482,377 |
4.625% (5 Year Treasury Constant Maturity Rate + 3.34%), due 2/25/31 (b)(d) | 885,000 | 903,806 |
Citigroup, Inc. | ||
2.976%, due 11/5/30 (c) | 845,000 | 888,422 |
3.352%, due 4/24/25 (c) | 780,000 | 828,477 |
3.668%, due 7/24/28 (c) | 430,000 | 472,658 |
3.70%, due 1/12/26 | 545,000 | 598,658 |
3.98%, due 3/20/30 (c) | 565,000 | 634,577 |
4.05%, due 7/30/22 | 105,000 | 108,183 |
5.30%, due 5/6/44 | 436,000 | 580,280 |
6.625%, due 6/15/32 | 190,000 | 255,207 |
Citizens Financial Group, Inc. | ||
2.638%, due 9/30/32 | 1,190,000 | 1,194,920 |
Credit Suisse Group AG (Switzerland) (a)(c) | ||
2.593%, due 9/11/25 | 1,265,000 | 1,311,357 |
3.091%, due 5/14/32 | 785,000 | 802,683 |
Deutsche Bank AG | ||
3.035%, due 5/28/32 (Germany) (c) | 255,000 | 258,725 |
First Horizon Bank | ||
5.75%, due 5/1/30 | 815,000 | 995,628 |
First Horizon Corp. | ||
4.00%, due 5/26/25 | 775,000 | 845,618 |
Freedom Mortgage Corp. | ||
7.625%, due 5/1/26 (a) | 685,000 | 697,885 |
Goldman Sachs Group, Inc. (The) | ||
1.295% (3 Month LIBOR + 1.17%), due 5/15/26 (b) | 815,000 | 835,412 |
1.431%, due 3/9/27 (c) | 535,000 | 533,529 |
1.992%, due 1/27/32 (c) | 590,000 | 568,955 |
2.615%, due 4/22/32 (c) | 425,000 | 430,138 |
2.905%, due 7/24/23 (c) | 310,000 | 315,969 |
2.908%, due 6/5/23 (c) | 285,000 | 289,650 |
2.908%, due 7/21/42 (c) | 215,000 | 211,980 |
3.625%, due 1/22/23 | 1,330,000 | 1,386,189 |
6.75%, due 10/1/37 | 159,000 | 227,734 |
HSBC Holdings plc | ||
3.973%, due 5/22/30 (United Kingdom) (c) | 970,000 | 1,070,628 |
Principal Amount | Value | |
Corporate Bonds | ||
Banks | ||
JPMorgan Chase & Co. (c) | ||
2.182%, due 6/1/28 | $ 835,000 | $ 852,488 |
2.956%, due 5/13/31 | 475,000 | 494,170 |
3.54%, due 5/1/28 | 850,000 | 928,401 |
Series HH | ||
4.60%, due 2/1/25 (d) | 1,124,000 | 1,149,290 |
Lloyds Banking Group plc (United Kingdom) | ||
4.582%, due 12/10/25 | 508,000 | 567,022 |
4.65%, due 3/24/26 | 1,075,000 | 1,208,183 |
Morgan Stanley | ||
2.484%, due 9/16/36 (c) | 715,000 | 699,790 |
3.125%, due 1/23/23 | 1,560,000 | 1,614,569 |
5.00%, due 11/24/25 | 1,150,000 | 1,314,610 |
6.25%, due 8/9/26 | 881,000 | 1,072,389 |
7.25%, due 4/1/32 | 100,000 | 145,142 |
NatWest Group plc | ||
3.073% (1 Year Treasury Constant Maturity Rate + 2.55%), due 5/22/28 (United Kingdom) (b) | 1,580,000 | 1,677,637 |
PNC Bank NA | ||
2.55%, due 12/9/21 | 815,000 | 816,919 |
PNC Financial Services Group, Inc. (The) | ||
2.55%, due 1/22/30 | 405,000 | 420,983 |
Societe Generale SA (France) (a)(b)(d) | ||
4.75% (5 Year Treasury Constant Maturity Rate + 3.931%), due 5/26/26 (e) | 395,000 | 403,643 |
5.375% (5 Year Treasury Constant Maturity Rate + 4.514%), due 11/18/30 | 1,195,000 | 1,279,403 |
Standard Chartered plc (United Kingdom) (a)(b) | ||
2.678% (1 Year Treasury Constant Maturity Rate + 1.20%), due 6/29/32 | 310,000 | 307,827 |
4.75% (5 Year Treasury Constant Maturity Rate + 3.805%), due 1/14/31 (d) | 525,000 | 529,594 |
SVB Financial Group | ||
Series C | ||
4.00% (5 Year Treasury Constant Maturity Rate + 3.202%), due 5/15/26 (b)(d) | 770,000 | 789,250 |
Truist Bank | ||
2.636% (5 Year Treasury Constant Maturity Rate + 1.15%), due 9/17/29 (b) | 760,000 | 794,481 |
UBS Group AG | ||
4.375% (5 Year Treasury Constant Maturity Rate + 3.313%), due 2/10/31 (Switzerland) (a)(b)(d) | 1,005,000 | 1,015,251 |
Wachovia Corp. | ||
5.50%, due 8/1/35 | 700,000 | 902,108 |
Wells Fargo & Co. | ||
2.406%, due 10/30/25 (c) | 525,000 | 546,776 |
45,781,370 | ||
Beverages 0.3% | ||
Anheuser-Busch Cos. LLC | ||
4.70%, due 2/1/36 (Belgium) | 475,000 | 574,010 |
Anheuser-Busch InBev Worldwide, Inc. | ||
4.75%, due 1/23/29 (Belgium) | 1,270,000 | 1,495,142 |
2,069,152 |
Principal Amount | Value | |
Corporate Bonds | ||
Biotechnology 0.2% | ||
Biogen, Inc. | ||
3.625%, due 9/15/22 | $ 1,240,000 | $ 1,278,818 |
Building Materials 0.4% | ||
Carrier Global Corp. | ||
2.722%, due 2/15/30 | 940,000 | 972,487 |
Cemex SAB de CV | ||
3.125%, due 3/19/26 (Mexico) (a) | EUR 1,515,000 | 1,792,139 |
2,764,626 | ||
Chemicals 0.5% | ||
Braskem Netherlands Finance BV | ||
4.50%, due 1/10/28 (Brazil) (a) | $ 745,000 | 791,488 |
Huntsman International LLC | ||
4.50%, due 5/1/29 | 731,000 | 828,402 |
International Flavors & Fragrances, Inc. | ||
1.832%, due 10/15/27 (a) | 990,000 | 991,455 |
Orbia Advance Corp. SAB de CV | ||
4.00%, due 10/4/27 (Mexico) (a) | 625,000 | 681,256 |
3,292,601 | ||
Commercial Services 0.6% | ||
Allied Universal Holdco LLC | ||
6.625%, due 7/15/26 (a) | 650,000 | 687,232 |
Ashtead Capital, Inc. | ||
4.00%, due 5/1/28 (United Kingdom) (a) | 380,000 | 403,861 |
California Institute of Technology | ||
3.65%, due 9/1/19 | 605,000 | 684,241 |
Cintas Corp. No. 2 | ||
3.70%, due 4/1/27 | 1,065,000 | 1,188,656 |
Sodexo, Inc. | ||
2.718%, due 4/16/31 (France) (a) | 1,010,000 | 1,031,910 |
3,995,900 | ||
Computers 0.7% | ||
Apple, Inc. | ||
2.75%, due 1/13/25 | 715,000 | 757,273 |
Dell International LLC | ||
4.90%, due 10/1/26 | 680,000 | 783,333 |
5.30%, due 10/1/29 | 318,000 | 384,404 |
8.10%, due 7/15/36 | 975,000 | 1,478,461 |
NCR Corp. | ||
5.00%, due 10/1/28 (a) | 991,000 | 1,012,613 |
4,416,084 | ||
Diversified Financial Services 2.0% | ||
AerCap Ireland Capital DAC (Ireland) | ||
3.30%, due 1/23/23 | 730,000 | 752,190 |
Principal Amount | Value | |
Corporate Bonds | ||
Diversified Financial Services | ||
AerCap Ireland Capital DAC (Ireland) | ||
4.45%, due 12/16/21 | $ 285,000 | $ 286,346 |
4.625%, due 7/1/22 | 415,000 | 427,366 |
Air Lease Corp. | ||
2.30%, due 2/1/25 | 1,215,000 | 1,247,988 |
2.75%, due 1/15/23 | 500,000 | 513,265 |
3.50%, due 1/15/22 | 340,000 | 342,934 |
4.25%, due 9/15/24 | 420,000 | 455,864 |
Aircastle Ltd. | ||
5.25% (5 Year Treasury Constant Maturity Rate + 4.41%), due 6/15/26 (a)(b)(d) | 745,000 | 762,358 |
Ally Financial, Inc. | ||
3.875%, due 5/21/24 | 310,000 | 333,473 |
8.00%, due 11/1/31 | 1,560,000 | 2,250,033 |
Aviation Capital Group LLC | ||
1.95%, due 1/30/26 (a) | 520,000 | 518,121 |
Avolon Holdings Funding Ltd. (Ireland) (a) | ||
2.125%, due 2/21/26 | 645,000 | 638,399 |
2.875%, due 2/15/25 | 1,040,000 | 1,070,070 |
Banco BTG Pactual SA (Brazil) (a) | ||
2.75%, due 1/11/26 | 1,130,000 | 1,097,512 |
4.50%, due 1/10/25 | 350,000 | 359,628 |
Capital One Financial Corp. | ||
4.20%, due 10/29/25 | 165,000 | 182,872 |
Intercontinental Exchange, Inc. | ||
3.00%, due 9/15/60 | 845,000 | 813,582 |
OneMain Finance Corp. | ||
3.50%, due 1/15/27 | 375,000 | 375,169 |
3.875%, due 9/15/28 | 455,000 | 452,152 |
PennyMac Financial Services, Inc. | ||
4.25%, due 2/15/29 (a) | 545,000 | 518,881 |
13,398,203 | ||
Electric 1.2% | ||
Arizona Public Service Co. | ||
2.20%, due 12/15/31 | 750,000 | 741,233 |
Connecticut Light and Power Co. (The) | ||
4.00%, due 4/1/48 | 450,000 | 537,167 |
Duke Energy Ohio, Inc. | ||
4.30%, due 2/1/49 | 565,000 | 692,830 |
Duquesne Light Holdings, Inc. | ||
3.616%, due 8/1/27 (a) | 865,000 | 927,826 |
Entergy Louisiana LLC | ||
4.00%, due 3/15/33 | 790,000 | 908,011 |
Evergy, Inc. | ||
5.292%, due 6/15/22 (f) | 500,000 | 510,994 |
Jersey Central Power & Light Co. | ||
2.75%, due 3/1/32 (a) | 700,000 | 717,081 |
Principal Amount | Value | |
Corporate Bonds | ||
Electric | ||
Ohio Power Co. | ||
Series R | ||
2.90%, due 10/1/51 | $ 420,000 | $ 405,832 |
Public Service Electric and Gas Co. | ||
3.00%, due 5/15/27 | 800,000 | 868,551 |
Puget Energy, Inc. | ||
5.625%, due 7/15/22 | 350,000 | 359,315 |
Southern California Edison Co. | ||
Series E | ||
3.70%, due 8/1/25 | 330,000 | 358,803 |
4.00%, due 4/1/47 | 520,000 | 557,620 |
WEC Energy Group, Inc. | ||
2.237% (3 Month LIBOR + 2.113%), due 5/15/67 (b) | 480,000 | 451,944 |
8,037,207 | ||
Environmental Control 0.3% | ||
Republic Services, Inc. | ||
4.75%, due 5/15/23 | 316,000 | 334,393 |
Stericycle, Inc. | ||
3.875%, due 1/15/29 (a) | 120,000 | 120,733 |
Waste Connections, Inc. | ||
2.20%, due 1/15/32 | 460,000 | 453,484 |
Waste Management, Inc. | ||
2.40%, due 5/15/23 | 810,000 | 833,565 |
1,742,175 | ||
Food 1.3% | ||
JBS USA Food Co. | ||
7.00%, due 1/15/26 (a) | 230,000 | 240,454 |
Kraft Heinz Foods Co. | ||
4.25%, due 3/1/31 | 1,267,000 | 1,432,370 |
5.00%, due 7/15/35 | 501,000 | 616,113 |
Nestle Holdings, Inc. | ||
1.00%, due 9/15/27 (a) | 1,750,000 | 1,703,404 |
Performance Food Group, Inc. (a) | ||
4.25%, due 8/1/29 | 350,000 | 350,875 |
5.50%, due 10/15/27 | 1,113,000 | 1,165,311 |
Smithfield Foods, Inc. (a) | ||
3.35%, due 2/1/22 | 565,000 | 568,212 |
4.25%, due 2/1/27 | 500,000 | 546,632 |
Sysco Corp. | ||
3.30%, due 2/15/50 | 465,000 | 475,828 |
5.95%, due 4/1/30 | 352,000 | 447,741 |
Tyson Foods, Inc. | ||
3.95%, due 8/15/24 | 965,000 | 1,043,238 |
8,590,178 |
Principal Amount | Value | |
Corporate Bonds | ||
Gas 0.2% | ||
National Fuel Gas Co. | ||
2.95%, due 3/1/31 | $ 450,000 | $ 455,651 |
Southern California Gas Co. | ||
Series VV | ||
4.30%, due 1/15/49 | 325,000 | 401,707 |
Southern Co. Gas Capital Corp. | ||
Series 21A | ||
3.15%, due 9/30/51 (e) | 830,000 | 831,349 |
1,688,707 | ||
Healthcare-Products 0.1% | ||
Abbott Laboratories | ||
3.40%, due 11/30/23 | 535,000 | 568,762 |
Healthcare-Services 0.3% | ||
Health Care Service Corp. A Mutual Legal Reserve Co. | ||
2.20%, due 6/1/30 (a) | 1,685,000 | 1,682,996 |
NYU Langone Hospitals | ||
Series 2020 | ||
3.38%, due 7/1/55 | 605,000 | 630,922 |
2,313,918 | ||
Insurance 1.5% | ||
Athene Global Funding | ||
2.50%, due 3/24/28 (a) | 1,030,000 | 1,054,204 |
Equitable Holdings, Inc. | ||
5.00%, due 4/20/48 | 830,000 | 1,057,366 |
Liberty Mutual Group, Inc. | ||
4.25%, due 6/15/23 (a) | 295,000 | 312,588 |
MassMutual Global Funding II (a) | ||
2.50%, due 10/17/22 | 1,270,000 | 1,300,034 |
2.95%, due 1/11/25 | 365,000 | 387,579 |
Peachtree Corners Funding Trust | ||
3.976%, due 2/15/25 (a) | 425,000 | 461,354 |
Principal Life Global Funding II | ||
2.375%, due 11/21/21 (a) | 1,470,000 | 1,474,154 |
Protective Life Corp. | ||
8.45%, due 10/15/39 | 725,000 | 1,166,822 |
Reliance Standard Life Global Funding II | ||
2.50%, due 10/30/24 (a) | 950,000 | 990,205 |
Voya Financial, Inc. | ||
3.65%, due 6/15/26 | 310,000 | 340,266 |
Willis North America, Inc. | ||
2.95%, due 9/15/29 | 1,395,000 | 1,458,718 |
3.875%, due 9/15/49 | 185,000 | 204,900 |
10,208,190 |
Principal Amount | Value | |
Corporate Bonds | ||
Internet 0.4% | ||
Cablevision Lightpath LLC | ||
3.875%, due 9/15/27 (a) | $ 875,000 | $ 858,681 |
Expedia Group, Inc. | ||
3.25%, due 2/15/30 | 1,305,000 | 1,349,637 |
3.60%, due 12/15/23 | 480,000 | 508,073 |
3.80%, due 2/15/28 | 157,000 | 170,396 |
5.00%, due 2/15/26 | 22,000 | 24,844 |
6.25%, due 5/1/25 (a) | 88,000 | 101,458 |
3,013,089 | ||
Iron & Steel 0.2% | ||
Vale Overseas Ltd. (Brazil) | ||
6.25%, due 8/10/26 | 1,070,000 | 1,264,387 |
6.875%, due 11/21/36 | 305,000 | 406,412 |
1,670,799 | ||
Lodging 0.7% | ||
Hilton Domestic Operating Co., Inc. | ||
4.875%, due 1/15/30 | 695,000 | 745,568 |
5.75%, due 5/1/28 (a) | 315,000 | 339,255 |
Las Vegas Sands Corp. | ||
3.20%, due 8/8/24 | 555,000 | 569,845 |
Marriott International, Inc. | ||
2.30%, due 1/15/22 | 890,000 | 893,485 |
3.60%, due 4/15/24 | 920,000 | 980,236 |
Series X | ||
4.00%, due 4/15/28 | 685,000 | 752,469 |
Sands China Ltd. | ||
5.125%, due 8/8/25 (Macao) | 460,000 | 495,310 |
4,776,168 | ||
Machinery-Diversified 0.1% | ||
CNH Industrial Capital LLC | ||
4.20%, due 1/15/24 | 545,000 | 584,915 |
Media 0.6% | ||
Comcast Corp. | ||
2.937%, due 11/1/56 (a) | 753,000 | 711,273 |
3.25%, due 11/1/39 | 675,000 | 712,664 |
Grupo Televisa SAB | ||
5.25%, due 5/24/49 (Mexico) | 480,000 | 606,960 |
Sirius XM Radio, Inc. | ||
4.125%, due 7/1/30 (a) | 955,000 | 959,429 |
Sky Ltd. | ||
3.75%, due 9/16/24 (United Kingdom) (a) | 340,000 | 369,506 |
Time Warner Entertainment Co. LP | ||
8.375%, due 3/15/23 | 355,000 | 394,348 |
3,754,180 |
Principal Amount | Value | |
Corporate Bonds | ||
Metal Fabricate & Hardware 0.2% | ||
Precision Castparts Corp. | ||
3.25%, due 6/15/25 | $ 1,455,000 | $ 1,565,174 |
Mining 0.2% | ||
Glencore Funding LLC | ||
1.625%, due 9/1/25 (Australia) (a) | 1,205,000 | 1,208,967 |
Miscellaneous—Manufacturing 0.3% | ||
Siemens Financieringsmaatschappij NV | ||
2.70%, due 3/16/22 (Germany) (a) | 760,000 | 768,779 |
Textron Financial Corp. | ||
1.86% (3 Month LIBOR + 1.735%), due 2/15/42 (a)(b) | 1,295,000 | 1,126,697 |
1,895,476 | ||
Oil & Gas 0.8% | ||
Gazprom PJSC Via Gaz Capital SA | ||
7.288%, due 8/16/37 (Russia) (a) | 640,000 | 883,277 |
Marathon Petroleum Corp. | ||
4.50%, due 5/1/23 | 620,000 | 655,238 |
4.70%, due 5/1/25 | 675,000 | 753,466 |
5.125%, due 12/15/26 | 450,000 | 523,271 |
Occidental Petroleum Corp. | ||
3.50%, due 8/15/29 | 440,000 | 447,533 |
4.30%, due 8/15/39 | 230,000 | 226,844 |
Petrobras Global Finance BV | ||
5.50%, due 6/10/51 (Brazil) | 555,000 | 516,705 |
Valero Energy Corp. | ||
3.65%, due 3/15/25 | 1,000,000 | 1,081,884 |
6.625%, due 6/15/37 | 415,000 | 560,416 |
5,648,634 | ||
Packaging & Containers 0.2% | ||
Berry Global, Inc. | ||
4.875%, due 7/15/26 (a) | 84,000 | 88,204 |
Owens-Brockway Glass Container, Inc. | ||
6.625%, due 5/13/27 (a) | 1,135,000 | 1,216,408 |
1,304,612 | ||
Pharmaceuticals 0.9% | ||
AbbVie, Inc. | ||
3.45%, due 3/15/22 | 1,005,000 | 1,013,977 |
4.05%, due 11/21/39 | 1,125,000 | 1,292,860 |
Becton Dickinson and Co. | ||
4.669%, due 6/6/47 | 635,000 | 792,803 |
CVS Health Corp. | ||
2.70%, due 8/21/40 | 1,255,000 | 1,197,572 |
4.78%, due 3/25/38 | 400,000 | 490,457 |
Principal Amount | Value | |
Corporate Bonds | ||
Pharmaceuticals | ||
Teva Pharmaceutical Finance Netherlands III BV | ||
3.15%, due 10/1/26 (Israel) | $ 1,285,000 | $ 1,230,387 |
6,018,056 | ||
Pipelines 1.0% | ||
Cheniere Corpus Christi Holdings LLC | ||
2.742%, due 12/31/39 (a) | 655,000 | 648,814 |
Energy Transfer LP | ||
5.35%, due 5/15/45 | 415,000 | 483,993 |
Energy Transfer Operating LP | ||
4.95%, due 6/15/28 | 415,000 | 476,154 |
Enterprise Products Operating LLC | ||
3.125%, due 7/31/29 | 630,000 | 676,611 |
3.95%, due 1/31/60 | 595,000 | 643,973 |
4.20%, due 1/31/50 | 160,000 | 180,247 |
Flex Intermediate Holdco LLC | ||
3.363%, due 6/30/31 (a) | 865,000 | 877,449 |
MPLX LP | ||
2.65%, due 8/15/30 | 730,000 | 732,506 |
Spectra Energy Partners LP | ||
4.75%, due 3/15/24 | 795,000 | 863,910 |
Transcontinental Gas Pipe Line Co. LLC | ||
4.60%, due 3/15/48 | 840,000 | 1,018,875 |
Western Midstream Operating LP | ||
6.50%, due 2/1/50 (f) | 350,000 | 411,873 |
7,014,405 | ||
Real Estate 0.1% | ||
Realogy Group LLC | ||
5.75%, due 1/15/29 (a) | 560,000 | 580,866 |
Real Estate Investment Trusts 1.2% | ||
Alexandria Real Estate Equities, Inc. | ||
3.375%, due 8/15/31 | 825,000 | 897,890 |
American Tower Corp. | ||
3.375%, due 10/15/26 | 705,000 | 762,883 |
3.60%, due 1/15/28 | 375,000 | 408,273 |
Digital Realty Trust LP | ||
3.70%, due 8/15/27 | 1,295,000 | 1,439,475 |
Equinix, Inc. | ||
1.25%, due 7/15/25 | 710,000 | 707,117 |
2.625%, due 11/18/24 | 740,000 | 774,955 |
GLP Capital LP | ||
3.35%, due 9/1/24 | 505,000 | 532,507 |
Invitation Homes Operating Partnership LP | ||
2.00%, due 8/15/31 | 680,000 | 653,054 |
Iron Mountain, Inc. | ||
5.25%, due 7/15/30 (a) | 720,000 | 764,086 |
Principal Amount | Value | |
Corporate Bonds | ||
Real Estate Investment Trusts | ||
Kilroy Realty LP | ||
3.45%, due 12/15/24 | $ 720,000 | $ 768,468 |
Office Properties Income Trust | ||
2.40%, due 2/1/27 | 565,000 | 558,323 |
8,267,031 | ||
Retail 1.3% | ||
7-Eleven, Inc. (a) | ||
2.50%, due 2/10/41 | 130,000 | 119,429 |
2.80%, due 2/10/51 | 430,000 | 397,423 |
AutoNation, Inc. | ||
4.75%, due 6/1/30 | 1,040,000 | 1,212,546 |
Macy's Retail Holdings LLC | ||
5.875%, due 4/1/29 (a)(e) | 645,000 | 701,744 |
McDonald's Corp. | ||
3.35%, due 4/1/23 | 1,085,000 | 1,130,105 |
Nordstrom, Inc. | ||
4.00%, due 3/15/27 | 640,000 | 661,295 |
4.25%, due 8/1/31 (e) | 530,000 | 536,762 |
O'Reilly Automotive, Inc. | ||
3.55%, due 3/15/26 | 1,000,000 | 1,095,679 |
QVC, Inc. | ||
4.375%, due 9/1/28 | 940,000 | 971,725 |
Starbucks Corp. | ||
3.35%, due 3/12/50 | 375,000 | 389,545 |
4.45%, due 8/15/49 | 475,000 | 580,783 |
Victoria's Secret & Co. | ||
4.625%, due 7/15/29 (a) | 775,000 | 789,899 |
8,586,935 | ||
Semiconductors 0.1% | ||
Broadcom, Inc. | ||
3.50%, due 2/15/41 (a) | 325,000 | 321,128 |
NXP BV | ||
3.40%, due 5/1/30 (China) (a) | 555,000 | 602,428 |
923,556 | ||
Software 0.3% | ||
Fiserv, Inc. | ||
3.20%, due 7/1/26 | 205,000 | 221,328 |
Oracle Corp. | ||
3.65%, due 3/25/41 | 245,000 | 253,389 |
salesforce.com, Inc. | ||
3.25%, due 4/11/23 | 510,000 | 531,792 |
3.70%, due 4/11/28 | 690,000 | 774,498 |
1,781,007 |
Principal Amount | Value | |
Corporate Bonds | ||
Telecommunications 1.8% | ||
Altice France SA | ||
5.125%, due 7/15/29 (France) (a) | $ 865,000 | $ 848,111 |
AT&T, Inc. | ||
3.50%, due 9/15/53 | 795,000 | 786,827 |
4.35%, due 3/1/29 | 320,000 | 366,918 |
CommScope Technologies LLC | ||
6.00%, due 6/15/25 (a) | 411,000 | 416,138 |
CommScope, Inc. | ||
7.125%, due 7/1/28 (a) | 745,000 | 760,250 |
Level 3 Financing, Inc. | ||
3.40%, due 3/1/27 (a) | 1,050,000 | 1,106,018 |
Sprint Spectrum Co. LLC | ||
4.738%, due 3/20/25 (a) | 1,448,438 | 1,546,931 |
T-Mobile US, Inc. | ||
2.625%, due 2/15/29 | 990,000 | 1,000,453 |
3.50%, due 4/15/31 (a) | 490,000 | 516,771 |
VEON Holdings BV | ||
4.95%, due 6/16/24 (Netherlands) (a) | 1,045,000 | 1,121,494 |
Verizon Communications, Inc. | ||
1.225% (3 Month LIBOR + 1.10%), due 5/15/25 (b) | 985,000 | 1,011,892 |
3.40%, due 3/22/41 | 330,000 | 344,633 |
3.55%, due 3/22/51 | 365,000 | 384,928 |
4.016%, due 12/3/29 | 710,000 | 804,508 |
Vodafone Group plc | ||
4.25%, due 9/17/50 (United Kingdom) | 1,180,000 | 1,359,840 |
12,375,712 | ||
Total Corporate Bonds (Cost $188,015,783) | 197,452,519 | |
Foreign Government Bonds 1.4% | ||
Brazil 0.4% | ||
Brazil Government Bond | ||
3.75%, due 9/12/31 | 965,000 | 915,302 |
Federative Republic of Brazil | ||
4.625%, due 1/13/28 | 1,526,000 | 1,604,131 |
2,519,433 | ||
Chile 0.5% | ||
Chile Government Bond | ||
2.55%, due 7/27/33 | 1,080,000 | 1,052,827 |
Corp. Nacional del Cobre de Chile | ||
3.00%, due 9/30/29 (a) | 1,170,000 | 1,195,621 |
Empresa Nacional del Petroleo | ||
3.45%, due 9/16/31 (a) | 980,000 | 962,360 |
3,210,808 |
Principal Amount | Value | |
Foreign Government Bonds | ||
Colombia 0.1% | ||
Colombia Government Bond | ||
3.25%, due 4/22/32 | $ 725,000 | $ 676,077 |
Mexico 0.4% | ||
Comision Federal de Electricidad | ||
3.875%, due 7/26/33 (a) | 600,000 | 589,500 |
Mexico Government Bond | ||
2.659%, due 5/24/31 | 1,612,000 | 1,555,145 |
3.75%, due 4/19/71 | 800,000 | 691,192 |
2,835,837 | ||
Total Foreign Government Bonds (Cost $9,571,986) | 9,242,155 | |
Loan Assignments 0.6% | ||
Containers, Packaging & Glass 0.2% | ||
Mauser Packaging Solutions Holding Co. | ||
Initial Term Loan | ||
3.334% (1 Month LIBOR + 3.25%), due 4/3/24 (b) | 1,253,811 | 1,226,972 |
Diversified/Conglomerate Service 0.1% | ||
TruGreen LP (b) | ||
First Lien Second Refinancing Term Loan | ||
4.75% (1 Month LIBOR + 4.00%), due 11/2/27 | 575,650 | 575,362 |
Second Lien Initial Term Loan | ||
9.25% (3 Month LIBOR + 8.50%), due 11/2/28 | 250,000 | 253,125 |
828,487 | ||
Finance 0.2% | ||
Alliant Holdings Intermediate LLC | ||
2018 Initial Term Loan | ||
3.334% (1 Month LIBOR + 3.25%), due 5/9/25 (b) | 1,249,177 | 1,239,666 |
Telecommunications 0.1% | ||
Level 3 Financing, Inc. | ||
Tranche 2027 Term Loan B | ||
1.834% (1 Month LIBOR + 1.75%), due 3/1/27 (b) | 718,508 | 709,398 |
Total Loan Assignments (Cost $4,006,243) | 4,004,523 | |
Mortgage-Backed Securities 8.2% | ||
Agency (Collateralized Mortgage Obligations) 2.7% | ||
FHLMC | ||
REMIC, Series 5073, Class DG | ||
1.50%, due 8/25/38 | 875,000 | 881,292 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Agency (Collateralized Mortgage Obligations) | ||
FHLMC | ||
REMIC, Series 4993, Class D | ||
2.00%, due 9/25/47 | $ 925,000 | $ 945,307 |
REMIC, Series 5049, Class UI | ||
3.00%, due 12/25/50 (g) | 2,188,114 | 399,220 |
REMIC, Series 4888, Class BA | ||
3.50%, due 9/15/48 | 243,976 | 251,465 |
REMIC, Series 4877, Class AT | ||
3.50%, due 11/15/48 | 426,021 | 449,081 |
REMIC, Series 4877, Class BE | ||
3.50%, due 11/15/48 | 536,870 | 559,749 |
FHLMC, STRIPS | ||
REMIC, Series 358, Class PO | ||
(zero coupon), due 10/15/47 | 1,974,440 | 1,865,934 |
FNMA | ||
REMIC, Series 2021-33, Class AI | ||
2.50%, due 5/25/47 (g) | 2,736,738 | 348,217 |
REMIC, Series 2021-34, Class MI | ||
2.50%, due 3/25/51 (g) | 1,796,046 | 252,457 |
REMIC, Series 2013-77, Class CY | ||
3.00%, due 7/25/43 | 730,981 | 748,064 |
REMIC, Series 2021-53, Class GI | ||
3.00%, due 7/25/48 | 2,402,484 | 348,549 |
REMIC, Series 2019-13, Class PE | ||
3.00%, due 3/25/49 | 474,413 | 501,356 |
REMIC, Series 2019-13, Class CA | ||
3.50%, due 4/25/49 | 796,047 | 863,585 |
REMIC, Series 2021-12, Class GC | ||
3.50%, due 7/25/50 | 984,400 | 1,055,273 |
REMIC, Series 2020-10, Class DA | ||
3.50%, due 3/25/60 | 896,473 | 967,619 |
GNMA | ||
REMIC, Series 2021-78, Class LA | ||
1.00%, due 5/20/51 | 853,066 | 850,608 |
REMIC, Series 2021-91, Class MF | ||
1.00%, due 5/20/51 | 852,588 | 848,036 |
REMIC, Series 2021-105, Class DB | ||
1.00%, due 6/20/51 | 924,721 | 886,964 |
REMIC, Series 2021-15, Class AI | ||
2.00%, due 1/20/51 (g) | 2,266,663 | 255,617 |
REMIC, Series 2020-188, Class DI | ||
2.50%, due 12/20/50 | 3,029,793 | 427,617 |
REMIC, Series 2021-25, Class LI | ||
2.50%, due 2/20/51 (g) | 2,779,149 | 326,286 |
REMIC, Series 2021-30, Class WI | ||
2.50%, due 2/20/51 | 3,146,370 | 437,541 |
REMIC, Series 2021-44, Class IQ | ||
3.00%, due 3/20/51 | 2,899,074 | 383,128 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Agency (Collateralized Mortgage Obligations) | ||
GNMA | ||
REMIC, Series 2021-74, Class HI | ||
3.00%, due 4/20/51 (g) | $ 2,827,784 | $ 393,800 |
REMIC, Series 2021-98, Class KI | ||
3.00%, due 6/20/51 | 1,895,347 | 270,859 |
REMIC, Series 2021-136, Class TI | ||
3.00%, due 8/20/51 | 2,535,727 | 354,350 |
REMIC, Series 2021-139, Class IA | ||
3.00%, due 8/20/51 | 2,429,553 | 330,806 |
REMIC, Series 2021-158, Class NI | ||
3.00%, due 9/20/51 | 2,925,000 | 378,068 |
REMIC, Series 2013-149, Class BA | ||
3.25%, due 8/16/41 | 1,695,492 | 1,778,530 |
18,359,378 | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) 3.0% | ||
Arbor Multifamily Mortgage Securities Trust (a) | ||
Series 2021-MF2, Class AS | ||
2.70%, due 6/15/54 (h) | 750,000 | 768,390 |
Series 2021-MF3, Class AS | ||
2.748%, due 10/15/54 (i) | 930,000 | 957,798 |
Bayview Commercial Asset Trust | ||
Series 2006-4A, Class A1 | ||
0.431% (1 Month LIBOR + 0.345%), due 12/25/36 (a)(b) | 32,477 | 31,519 |
Benchmark Mortgage Trust | ||
Series 2020-B19, Class A2 | ||
1.691%, due 9/15/53 | 935,000 | 946,769 |
BX Commercial Mortgage Trust (a) | ||
Series 2021-VOLT, Class C | ||
1.20% (1 Month LIBOR + 1.10%), due 9/15/36 (b) | 970,000 | 970,607 |
Series 2021-VOLT, Class E | ||
2.10% (1 Month LIBOR + 2.00%), due 9/15/36 (b) | 770,000 | 770,964 |
Series 2020-VIV2, Class C | ||
3.66%, due 3/9/44 (j) | 895,000 | 942,727 |
Series 2020-VIV3, Class B | ||
3.662%, due 3/9/44 (j) | 675,059 | 724,128 |
BX Trust (a) | ||
Series 2021-LBA, Class AV | ||
0.884% (1 Month LIBOR + 0.80%), due 2/15/36 (b) | 820,000 | 820,506 |
Series 2019-OC11, Class A | ||
3.202%, due 12/9/41 | 580,000 | 619,984 |
Series 2019-OC11, Class B | ||
3.605%, due 12/9/41 | 170,000 | 184,454 |
Series 2019-OC11, Class C | ||
3.856%, due 12/9/41 | 205,000 | 219,979 |
BXHPP Trust (a)(b) | ||
Series 2021-FILM, Class A | ||
0.734% (1 Month LIBOR + 0.65%), due 8/15/36 | 625,000 | 625,392 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) | ||
BXHPP Trust (a)(b) | ||
Series 2021-FILM, Class B | ||
0.984% (1 Month LIBOR + 0.90%), due 8/15/36 | $ 875,000 | $ 875,787 |
Citigroup Commercial Mortgage Trust | ||
Series 2015-P1, Class A5 | ||
3.717%, due 9/15/48 | 808,000 | 881,862 |
CSAIL Commercial Mortgage Trust | ||
Series 2015-C3, Class A4 | ||
3.718%, due 8/15/48 | 845,000 | 915,402 |
Extended Stay America Trust | ||
Series 2021-ESH, Class C | ||
1.784% (1 Month LIBOR + 1.70%), due 7/15/38 (a)(b) | 969,954 | 976,669 |
FREMF Mortgage Trust (a)(j) | ||
REMIC, Series 2019-K98, Class C | ||
3.861%, due 10/25/52 | 335,000 | 357,104 |
REMIC, Series 2018-K86, Class C | ||
4.436%, due 11/25/51 | 315,000 | 345,525 |
Hudson Yards Mortgage Trust | ||
Series 2019-30HY, Class A | ||
3.228%, due 7/10/39 (a) | 665,000 | 718,792 |
Manhattan West Mortgage Trust | ||
Series 2020-1MW, Class A | ||
2.13%, due 9/10/39 (a) | 1,120,000 | 1,141,718 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2015-C23, Class A3 | ||
3.451%, due 7/15/50 | 471,777 | 505,441 |
Series 2016-C28, Class A4 | ||
3.544%, due 1/15/49 | 200,000 | 216,714 |
Morgan Stanley Capital I Trust | ||
Series 2015-UBS8, Class A4 | ||
3.809%, due 12/15/48 | 780,000 | 848,914 |
One Bryant Park Trust | ||
Series 2019-OBP, Class A | ||
2.516%, due 9/15/54 (a) | 1,655,000 | 1,703,307 |
Wells Fargo Commercial Mortgage Trust (a)(j) | ||
Series 2018-1745, Class A | ||
3.874%, due 6/15/36 | 940,000 | 1,033,796 |
Series 2018-AUS, Class A | ||
4.194%, due 8/17/36 | 1,200,000 | 1,343,097 |
20,447,345 | ||
Whole Loan (Collateralized Mortgage Obligations) 2.5% | ||
FHLMC STACR REMIC Trust (a)(b) | ||
Series 2020-DNA6, Class M2 | ||
2.05% (SOFR 30A + 2.00%), due 12/25/50 | 1,220,000 | 1,229,766 |
Series 2021-DNA5, Class B1 | ||
3.10% (SOFR 30A + 3.05%), due 1/25/34 | 1,440,000 | 1,470,676 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Whole Loan (Collateralized Mortgage Obligations) | ||
FHLMC STACR Trust (a)(b) | ||
Series 2018-DNA2, Class M2 | ||
2.236% (1 Month LIBOR + 2.15%), due 12/25/30 | $ 920,000 | $ 929,065 |
Series 2018-DNA2, Class B1 | ||
3.786% (1 Month LIBOR + 3.70%), due 12/25/30 | 325,000 | 337,335 |
Series 2019-DNA2, Class B1 | ||
4.436% (1 Month LIBOR + 4.35%), due 3/25/49 | 700,000 | 727,699 |
FHLMC Structured Agency Credit Risk Debt Notes (b) | ||
Series 2015-DNA3, Class M3 | ||
4.786% (1 Month LIBOR + 4.70%), due 4/25/28 | 965,757 | 998,945 |
Series 2016-DNA1, Class M3 | ||
5.636% (1 Month LIBOR + 5.55%), due 7/25/28 | 526,608 | 552,310 |
Flagstar Mortgage Trust | ||
Series 2021-2, Class A2 | ||
2.50%, due 4/25/51 (a)(h) | 779,347 | 788,896 |
FNMA (b) | ||
Series 2017-C01, Class 1M2 | ||
3.636% (1 Month LIBOR + 3.55%), due 7/25/29 | 1,049,936 | 1,081,275 |
Series 2017-C02, Class 2M2 | ||
3.736% (1 Month LIBOR + 3.65%), due 9/25/29 | 474,764 | 491,030 |
GS Mortgage-Backed Securities Corp. Trust (a)(h) | ||
Series 2021-PJ5, Class A8 | ||
2.50%, due 10/25/51 | 558,789 | 570,663 |
Series 2021-PJ7, Class A2 | ||
2.50%, due 1/25/52 | 1,878,912 | 1,900,243 |
J.P. Morgan Mortgage Trust (a)(h) | ||
Series 2021-6, Class A4 | ||
2.50%, due 10/25/51 | 783,147 | 797,341 |
Series 2021-7, Class A3 | ||
2.50%, due 11/25/51 | 359,041 | 363,763 |
Series 2021-7, Class A4 | ||
2.50%, due 11/25/51 | 696,368 | 709,007 |
Mello Mortgage Capital Acceptance | ||
Series 2021-MTG2, Class A1 | ||
2.50%, due 6/25/51 (a)(h) | 962,519 | 972,025 |
New Residential Mortgage Loan Trust (a) | ||
Series 2019-5A, Class B7 | ||
4.454%, due 8/25/59 (j) | 1,312,464 | 975,072 |
Series 2019-2A, Class B6 | ||
4.955%, due 12/25/57 (h) | 467,144 | 368,251 |
NewRez Warehouse Securitization Trust | ||
Series 2021-1, Class A | ||
0.836% (1 Month LIBOR + 0.75%), due 5/25/55 (a)(b) | 1,075,000 | 1,076,144 |
OBX Trust | ||
Series 2021-J1, Class A1 | ||
2.50%, due 5/25/51 (a)(h) | 385,727 | 390,454 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Whole Loan (Collateralized Mortgage Obligations) | ||
Seasoned Loans Structured Transaction | ||
Series 2019-1, Class A1 | ||
3.50%, due 5/25/29 | $ 465,993 | $ 486,876 |
17,216,836 | ||
Total Mortgage-Backed Securities (Cost $55,588,865) | 56,023,559 | |
Municipal Bond 0.2% | ||
California 0.2% | ||
Regents of the University of California Medical Center, Pooled, Revenue Bonds | ||
Series N | ||
3.006%, due 5/15/50 | 1,115,000 | 1,142,396 |
Total Municipal Bond (Cost $1,115,000) | 1,142,396 | |
U.S. Government & Federal Agencies 7.1% | ||
Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) 0.5% | ||
FHLMC Gold Pools, 30 Year | ||
3.50%, due 1/1/48 | 773,514 | 830,658 |
UMBS, 30 Year | ||
2.00%, due 8/1/50 | 1,058,991 | 1,062,636 |
2.00%, due 8/1/50 | 809,238 | 812,024 |
2.00%, due 11/1/50 | 255,158 | 256,036 |
3.50%, due 7/1/50 | 562,092 | 594,770 |
3,556,124 | ||
Federal National Mortgage Association (Mortgage Pass-Through Securities) 1.1% | ||
FNMA, Other | ||
3.50%, due 2/1/42 | 969,202 | 1,045,159 |
6.00%, due 4/1/37 | 6,704 | 7,509 |
UMBS, 20 Year | ||
2.50%, due 5/1/41 | 486,642 | 504,098 |
UMBS, 30 Year | ||
2.00%, due 10/1/50 | 166,421 | 167,761 |
2.00%, due 12/1/50 | 261,811 | 262,712 |
2.50%, due 8/1/50 | 81,909 | 84,817 |
2.50%, due 10/1/50 | 596,530 | 615,748 |
2.50%, due 11/1/50 | 487,915 | 510,842 |
2.50%, due 1/1/51 | 278,822 | 289,884 |
2.50%, due 1/1/51 | 474,812 | 491,832 |
2.50%, due 8/1/51 | 738,700 | 765,157 |
3.00%, due 3/1/50 | 791,767 | 840,443 |
3.00%, due 6/1/51 | 417,071 | 438,887 |
4.00%, due 8/1/48 | 1,098,061 | 1,178,642 |
4.00%, due 2/1/49 | 183,302 | 198,063 |
7,401,554 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
United States Treasury Bonds 1.1% | ||
U.S. Treasury Bonds | ||
1.75%, due 8/15/41 | $ 395,000 | $ 377,595 |
2.00%, due 8/15/51 | 1,325,000 | 1,301,606 |
4.375%, due 11/15/39 | 2,382,000 | 3,300,931 |
4.375%, due 5/15/40 | 1,605,000 | 2,233,458 |
7,213,590 | ||
United States Treasury Inflation - Indexed Notes 1.1% | ||
U.S. Treasury Inflation Linked Notes (k) | ||
0.125%, due 1/15/30 | 2,705,805 | 2,972,474 |
0.125%, due 7/15/30 | 2,693,919 | 2,970,747 |
0.875%, due 1/15/29 | 1,551,508 | 1,792,537 |
7,735,758 | ||
United States Treasury Notes 3.3% | ||
U.S. Treasury Notes | ||
0.125%, due 7/31/23 | 10,700,000 | 10,677,012 |
0.375%, due 7/15/24 | 2,860,000 | 2,852,180 |
0.625%, due 7/31/26 | 8,865,000 | 8,723,021 |
22,252,213 | ||
Total U.S. Government & Federal Agencies (Cost $47,638,438) | 48,159,239 | |
Total Long-Term Bonds (Cost $335,648,553) | 346,270,159 | |
Shares | ||
Common Stocks 43.9% | ||
Aerospace & Defense 1.1% | ||
BAE Systems plc (United Kingdom) | 356,933 | 2,697,857 |
Lockheed Martin Corp. | 6,687 | 2,307,684 |
Raytheon Technologies Corp. | 30,210 | 2,596,852 |
7,602,393 | ||
Air Freight & Logistics 0.9% | ||
Deutsche Post AG (Registered) (Germany) | 53,245 | 3,355,846 |
United Parcel Service, Inc., Class B | 15,399 | 2,804,158 |
6,160,004 | ||
Automobiles 0.3% | ||
Toyota Motor Corp. (Japan) | 118,900 | 2,126,908 |
Banks 2.0% | ||
JPMorgan Chase & Co. | 25,646 | 4,197,994 |
PNC Financial Services Group, Inc. (The) | 11,889 | 2,325,964 |
Royal Bank of Canada (Canada) | 42,481 | 4,226,970 |
Shares | Value | |
Common Stocks | ||
Banks | ||
Truist Financial Corp. | 51,205 | $ 3,003,173 |
13,754,101 | ||
Beverages 1.1% | ||
Coca-Cola Co. (The) | 50,482 | 2,648,791 |
Coca-Cola Europacific Partners plc (United Kingdom) | 58,717 | 3,246,463 |
PepsiCo, Inc. | 12,520 | 1,883,133 |
7,778,387 | ||
Biotechnology 1.0% | ||
AbbVie, Inc. | 42,086 | 4,539,817 |
Amgen, Inc. | 9,006 | 1,915,126 |
6,454,943 | ||
Capital Markets 1.5% | ||
BlackRock, Inc. | 4,788 | 4,015,504 |
Lazard Ltd., Class A | 61,156 | 2,800,945 |
Singapore Exchange Ltd. (Singapore) | 175,500 | 1,284,208 |
T. Rowe Price Group, Inc. | 9,338 | 1,836,784 |
9,937,441 | ||
Chemicals 2.2% | ||
BASF SE (Germany) | 33,766 | 2,572,725 |
Dow, Inc. | 41,273 | 2,375,674 |
Linde plc (United Kingdom) | 9,417 | 2,762,759 |
LyondellBasell Industries NV, Class A | 23,995 | 2,251,931 |
Nutrien Ltd. (Canada) (e) | 77,944 | 5,053,109 |
15,016,198 | ||
Commercial Services & Supplies 0.0% ‡ | ||
Quad/Graphics, Inc. (l) | 6 | 26 |
Communications Equipment 0.7% | ||
Cisco Systems, Inc. | 85,974 | 4,679,565 |
Diversified Telecommunication Services 2.4% | ||
AT&T, Inc. | 60,118 | 1,623,787 |
BCE, Inc. (Canada) | 31,779 | 1,591,961 |
Deutsche Telekom AG (Registered) (Germany) | 234,915 | 4,736,394 |
Orange SA (France) | 165,794 | 1,796,102 |
Telenor ASA (Norway) | 89,853 | 1,509,210 |
TELUS Corp. (Canada) | 98,284 | 2,160,293 |
Verizon Communications, Inc. | 48,084 | 2,597,017 |
16,014,764 | ||
Electric Utilities 1.9% | ||
American Electric Power Co., Inc. | 29,209 | 2,371,187 |
Duke Energy Corp. | 15,195 | 1,482,880 |
Entergy Corp. | 17,190 | 1,707,139 |
Shares | Value | |
Common Stocks | ||
Electric Utilities | ||
Evergy, Inc. | 34,022 | $ 2,116,168 |
Fortis, Inc. (Canada) | 33,877 | 1,502,881 |
NextEra Energy, Inc. | 34,123 | 2,679,338 |
Terna - Rete Elettrica Nazionale (Italy) | 191,743 | 1,360,002 |
13,219,595 | ||
Electrical Equipment 1.3% | ||
Eaton Corp. plc | 21,572 | 3,220,915 |
Emerson Electric Co. | 62,579 | 5,894,942 |
9,115,857 | ||
Equity Real Estate Investment Trusts 1.1% | ||
American Tower Corp. | 6,435 | 1,707,913 |
Iron Mountain, Inc. | 54,593 | 2,372,066 |
Welltower, Inc. | 21,092 | 1,737,981 |
WP Carey, Inc. | 23,078 | 1,685,617 |
7,503,577 | ||
Food Products 0.7% | ||
Danone SA (France) | 21,721 | 1,482,566 |
Nestle SA (Registered) (Switzerland) | 16,159 | 1,944,233 |
Orkla ASA (Norway) | 167,646 | 1,536,361 |
4,963,160 | ||
Gas Utilities 0.3% | ||
Snam SpA (Italy) | 410,716 | 2,276,625 |
Health Care Equipment & Supplies 0.9% | ||
Medtronic plc | 47,283 | 5,926,924 |
Hotels, Restaurants & Leisure 1.5% | ||
McDonald's Corp. | 8,369 | 2,017,850 |
Restaurant Brands International, Inc. (Canada) | 86,747 | 5,308,049 |
Vail Resorts, Inc. | 7,630 | 2,548,801 |
9,874,700 | ||
Household Durables 0.3% | ||
Leggett & Platt, Inc. | 43,351 | 1,943,859 |
Household Products 0.5% | ||
Kimberly-Clark Corp. | 12,863 | 1,703,576 |
Procter & Gamble Co. (The) | 12,141 | 1,697,312 |
3,400,888 | ||
Industrial Conglomerates 0.4% | ||
Siemens AG (Registered) (Germany) | 14,698 | 2,416,012 |
Shares | Value | |
Common Stocks | ||
Insurance 2.8% | ||
Allianz SE (Registered) (Germany) | 12,485 | $ 2,815,913 |
Assicurazioni Generali SpA (Italy) | 100,322 | 2,134,336 |
AXA SA (France) | 109,075 | 3,034,465 |
Great-West Lifeco, Inc. (Canada) | 50,913 | 1,549,177 |
MetLife, Inc. | 74,875 | 4,622,034 |
Muenchener Rueckversicherungs-Gesellschaft AG (Registered) (Germany) | 10,216 | 2,800,155 |
Tokio Marine Holdings, Inc. (Japan) | 39,600 | 2,123,651 |
19,079,731 | ||
IT Services 0.7% | ||
International Business Machines Corp. | 35,799 | 4,973,555 |
Leisure Products 0.4% | ||
Hasbro, Inc. | 34,255 | 3,056,231 |
Machinery 0.5% | ||
Cummins, Inc. | 13,677 | 3,071,307 |
Media 0.2% | ||
Omnicom Group, Inc. | 22,103 | 1,601,583 |
Multiline Retail 0.5% | ||
Target Corp. | 13,397 | 3,064,832 |
Multi-Utilities 1.0% | ||
Ameren Corp. | 18,666 | 1,511,946 |
Dominion Energy, Inc. | 27,659 | 2,019,660 |
National Grid plc (United Kingdom) | 123,447 | 1,468,439 |
NiSource, Inc. | 25,617 | 620,700 |
WEC Energy Group, Inc. | 16,907 | 1,491,197 |
7,111,942 | ||
Oil, Gas & Consumable Fuels 2.0% | ||
Chevron Corp. | 25,569 | 2,593,975 |
Enterprise Products Partners LP | 144,273 | 3,122,068 |
Magellan Midstream Partners LP | 53,152 | 2,422,668 |
Phillips 66 | 20,008 | 1,401,160 |
TotalEnergies SE (France) | 83,800 | 4,015,619 |
13,555,490 | ||
Personal Products 0.3% | ||
Unilever plc (United Kingdom) | 38,555 | 2,084,207 |
Pharmaceuticals 3.5% | ||
AstraZeneca plc, Sponsored ADR (United Kingdom) | 83,767 | 5,031,046 |
Bayer AG (Registered) (Germany) | 23,015 | 1,255,282 |
Shares | Value | |
Common Stocks | ||
Pharmaceuticals | ||
GlaxoSmithKline plc (United Kingdom) | 80,079 | $ 1,511,532 |
Johnson & Johnson | 14,253 | 2,301,860 |
Merck & Co., Inc. | 39,035 | 2,931,919 |
Novartis AG (Registered) (Switzerland) | 24,099 | 1,977,087 |
Pfizer, Inc. | 41,629 | 1,790,463 |
Roche Holding AG (Switzerland) | 4,126 | 1,505,593 |
Sanofi (France) | 29,281 | 2,818,723 |
Takeda Pharmaceutical Co. Ltd. (Japan) | 81,600 | 2,704,859 |
23,828,364 | ||
Semiconductors & Semiconductor Equipment 4.0% | ||
Analog Devices, Inc. | 36,708 | 6,147,856 |
Broadcom, Inc. | 12,414 | 6,019,921 |
Intel Corp. | 77,933 | 4,152,270 |
KLA Corp. | 10,873 | 3,637,127 |
Taiwan Semiconductor Manufacturing Co. Ltd., Sponsored ADR (Taiwan) | 31,684 | 3,537,519 |
Texas Instruments, Inc. | 19,073 | 3,666,021 |
27,160,714 | ||
Software 1.1% | ||
Microsoft Corp. | 25,353 | 7,147,518 |
Specialty Retail 0.7% | ||
Home Depot, Inc. (The) | 10,056 | 3,300,983 |
Industria de Diseno Textil SA (Spain) | 42,297 | 1,538,871 |
4,839,854 | ||
Technology Hardware, Storage & Peripherals 1.5% | ||
Apple, Inc. | 46,371 | 6,561,497 |
Samsung Electronics Co. Ltd., GDR (Republic of Korea) | 2,263 | 3,541,313 |
10,102,810 | ||
Textiles, Apparel & Luxury Goods 0.3% | ||
Hanesbrands, Inc. | 101,798 | 1,746,854 |
Tobacco 1.4% | ||
Altria Group, Inc. | 54,853 | 2,496,909 |
British American Tobacco plc (United Kingdom) | 80,812 | 2,819,481 |
British American Tobacco plc, Sponsored ADR (United Kingdom) | 26,429 | 932,415 |
Philip Morris International, Inc. | 36,339 | 3,444,574 |
9,693,379 | ||
Trading Companies & Distributors 0.7% | ||
MSC Industrial Direct Co., Inc., Class A | 36,806 | 2,951,473 |
Watsco, Inc. | 5,974 | 1,580,840 |
4,532,313 |
Shares | Value | ||
Common Stocks | |||
Wireless Telecommunication Services 0.2% | |||
Rogers Communications, Inc., Class B (Canada) | 29,969 | $ 1,399,547 | |
Total Common Stocks (Cost $261,204,181) | 298,216,158 | ||
Short-Term Investments 4.8% | |||
Affiliated Investment Company 3.9% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (m) | 26,474,755 | 26,474,755 | |
Unaffiliated Investment Companies 0.9% | |||
BlackRock Liquidity FedFund, 0.025% (m)(n) | 300,000 | 300,000 | |
Wells Fargo Government Money Market Fund, 0.025% (m)(n) | 5,758,653 | 5,758,653 | |
Total Unaffiliated Investment Companies (Cost $6,058,653) | 6,058,653 | ||
Total Short-Term Investments (Cost $32,533,408) | 32,533,408 | ||
Total Investments (Cost $629,386,142) | 99.7% | 677,019,725 | |
Other Assets, Less Liabilities | 0.3 | 1,857,211 | |
Net Assets | 100.0% | $ 678,876,936 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
(b) | Floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(c) | Fixed to floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(d) | Security is perpetual and, thus, does not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(e) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $6,003,691; the total market value of collateral held by the Portfolio was $6,162,948. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $104,295. The Portfolio received cash collateral with a value of $6,058,653. |
(f) | Step coupon—Rate shown was the rate in effect as of September 30, 2021. |
(g) | Collateralized Mortgage Obligation Interest Only Strip—Pays a fixed or variable rate of interest based on mortgage loans or mortgage pass-through securities. The principal amount of the underlying pool represents the notional amount on which the current interest was calculated. The value of these stripped securities may be particularly sensitive to changes in prevailing interest rates and are typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities. |
(h) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. Rate shown was the rate in effect as of September 30, 2021. |
(i) | Delayed delivery security. |
(j) | Collateral strip rate—A bond whose interest was based on the weighted net interest rate of the collateral. The coupon rate adjusts periodically based on a predetermined schedule. Rate shown was the rate in effect as of September 30, 2021. |
(k) | Treasury Inflation Protected Security—Pays a fixed rate of interest on a principal amount that is continuously adjusted for inflation based on the Consumer Price Index-Urban Consumers. |
(l) | Non-income producing security. |
(m) | Current yield as of September 30, 2021. |
(n) | Represents a security purchased with cash collateral received for securities on loan. |
Foreign Currency Forward Contracts
As of September 30, 2021, the Portfolio held the following foreign currency forward contracts1:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
AUD | 9,875,000 | USD | 7,274,903 | JPMorgan Chase Bank N.A. | 11/1/21 | $ (134,888) |
EUR | 19,212,000 | USD | 22,775,941 | JPMorgan Chase Bank N.A. | 11/1/21 | (509,635) |
GBP | 13,801,000 | USD | 19,169,727 | JPMorgan Chase Bank N.A. | 11/1/21 | (573,571) |
JPY | 2,168,758,000 | USD | 19,803,531 | JPMorgan Chase Bank N.A. | 11/1/21 | (313,196) |
Total Unrealized Depreciation | $ (1,531,290) |
1. | Foreign Currency Forward Contracts are subject to limitations such that they cannot be “sold or repurchased,” although the Portfolio would be able to exit the transaction through other means, such as through the execution of an offsetting transaction. |
Futures Contracts
As of September 30, 2021, the Portfolio held the following futures contracts1:
Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 |
Long Contracts | |||||
Euro STOXX 50 Index | 472 | December 2021 | $ 22,856,747 | $ 22,132,084 | $ (724,663) |
FTSE 100 Index | 73 | December 2021 | 6,952,056 | 6,957,509 | 5,453 |
Russell 2000 E-Mini Index | 122 | December 2021 | 13,558,376 | 13,424,880 | (133,496) |
S&P 500 E-Mini Index | 149 | December 2021 | 32,976,481 | 32,018,237 | (958,244) |
U.S. Treasury 2 Year Notes | 329 | December 2021 | 72,410,136 | 72,397,992 | (12,144) |
U.S. Treasury 5 Year Notes | 158 | December 2021 | 19,424,351 | 19,393,266 | (31,085) |
U.S. Treasury Long Bonds | 47 | December 2021 | 7,641,297 | 7,483,281 | (158,016) |
U.S. Treasury Ultra Bonds | 174 | December 2021 | 34,221,256 | 33,244,875 | (976,381) |
XAF Financial Index | 177 | December 2021 | 20,371,045 | 20,432,438 | 61,393 |
XAI E-Mini Industrial Equity Index | 261 | December 2021 | 26,789,862 | 25,661,520 | (1,128,342) |
Yen Denominated Nikkei 225 Index | 192 | December 2021 | 25,352,122 | 25,277,685 | (74,437) |
Total Long Contracts | (4,129,962) | ||||
Short Contracts | |||||
U.S. Treasury 10 Year Notes | (78) | December 2021 | (10,251,948) | (10,265,531) | (13,583) |
U.S. Treasury 10 Year Ultra Bonds | (174) | December 2021 | (25,709,489) | (25,273,500) | 435,989 |
Total Short Contracts | 422,406 | ||||
Net Unrealized Depreciation | $ (3,707,556) |
1. | As of September 30, 2021, cash in the amount of $10,803,529 was on deposit with a broker or futures commission merchant for futures transactions. |
2. | Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2021. |
Abbreviation(s): |
ADR—American Depositary Receipt |
AUD—Australia Dollar |
EUR—Euro |
FHLMC—Federal Home Loan Mortgage Corp. |
FNMA—Federal National Mortgage Association |
FREMF—Freddie Mac Multifamily |
FTSE—Financial Times Stock Exchange |
GBP—British Pound Sterling |
GDR—Global Depositary Receipt |
GNMA—Government National Mortgage Association |
JPY—Japanese Yen |
LIBOR—London Interbank Offered Rate |
REMIC—Real Estate Mortgage Investment Conduit |
SOFR—Secured Overnight Financing Rate |
UMBS—Uniform Mortgage Backed Securities |
USD—United States Dollar |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets and liabilities:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Long-Term Bonds | |||||||
Asset-Backed Securities | $ — | $ 30,245,768 | $ — | $ 30,245,768 | |||
Corporate Bonds | — | 197,452,519 | — | 197,452,519 | |||
Foreign Government Bonds | — | 9,242,155 | — | 9,242,155 | |||
Loan Assignments | — | 4,004,523 | — | 4,004,523 | |||
Mortgage-Backed Securities | — | 56,023,559 | — | 56,023,559 | |||
Municipal Bond | — | 1,142,396 | — | 1,142,396 | |||
U.S. Government & Federal Agencies | — | 48,159,239 | — | 48,159,239 | |||
Total Long-Term Bonds | — | 346,270,159 | — | 346,270,159 | |||
Common Stocks | |||||||
Aerospace & Defense | 4,904,536 | 2,697,857 | — | 7,602,393 | |||
Air Freight & Logistics | 2,804,158 | 3,355,846 | — | 6,160,004 | |||
Automobiles | — | 2,126,908 | — | 2,126,908 | |||
Capital Markets | 8,653,233 | 1,284,208 | — | 9,937,441 | |||
Chemicals | 12,443,473 | 2,572,725 | — | 15,016,198 | |||
Diversified Telecommunication Services | 7,973,058 | 8,041,706 | — | 16,014,764 | |||
Electric Utilities | 11,859,593 | 1,360,002 | — | 13,219,595 | |||
Food Products | — | 4,963,160 | — | 4,963,160 | |||
Gas Utilities | — | 2,276,625 | — | 2,276,625 | |||
Industrial Conglomerates | — | 2,416,012 | — | 2,416,012 | |||
Insurance | 6,171,211 | 12,908,520 | — | 19,079,731 | |||
Multi-Utilities | 5,643,503 | 1,468,439 | — | 7,111,942 | |||
Oil, Gas & Consumable Fuels | 9,539,871 | 4,015,619 | — | 13,555,490 | |||
Personal Products | — | 2,084,207 | — | 2,084,207 | |||
Pharmaceuticals | 12,055,288 | 11,773,076 | — | 23,828,364 | |||
Specialty Retail | 3,300,983 | 1,538,871 | — | 4,839,854 | |||
Technology Hardware, Storage & Peripherals | 6,561,497 | 3,541,313 | — | 10,102,810 | |||
Tobacco | 6,873,898 | 2,819,481 | — | 9,693,379 | |||
All Other Industries | 128,187,281 | — | — | 128,187,281 | |||
Total Common Stocks | 226,971,583 | 71,244,575 | — | 298,216,158 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 26,474,755 | — | — | 26,474,755 | |||
Unaffiliated Investment Companies | 6,058,653 | — | — | 6,058,653 | |||
Total Short-Term Investments | 32,533,408 | — | — | 32,533,408 | |||
Total Investments in Securities | 259,504,991 | 417,514,734 | — | 677,019,725 | |||
Other Financial Instruments | |||||||
Futures Contracts (b) | 502,835 | — | — | 502,835 | |||
Total Investments in Securities and Other Financial Instruments | $ 260,007,826 | $ 417,514,734 | $ — | $ 677,522,560 | |||
Liability Valuation Inputs | |||||||
Other Financial Instruments | |||||||
Foreign Currency Forward Contracts (b) | $ — | $ (1,531,290) | $ — | $ (1,531,290) | |||
Futures Contracts (b) | (4,210,391) | — | — | (4,210,391) | |||
Total Other Financial Instruments | $ (4,210,391) | $ (1,531,290) | $ — | $ (5,741,681) |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
(b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP Indexed Bond Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Principal Amount | Value | |
Long-Term Bonds 98.8% | ||
Asset-Backed Securities 0.0% ‡ | ||
Automobile Asset-Backed Securities 0.0% ‡ | ||
Ally Auto Receivables Trust | ||
Series 2018-3, Class A3 | ||
3.00%, due 1/17/23 | $ 1,282 | $ 1,283 |
GM Financial Consumer Automobile Receivables Trust | ||
Series 2018-3, Class A3 | ||
3.02%, due 5/16/23 | 115,034 | 115,648 |
Honda Auto Receivables Owner Trust | ||
Series 2018-3, Class A3 | ||
2.95%, due 8/22/22 | 40,022 | 40,112 |
Total Asset-Backed Securities (Cost $156,327) | 157,043 | |
Corporate Bonds 29.6% | ||
Aerospace & Defense 0.7% | ||
Boeing Co. (The) | ||
3.25%, due 3/1/28 | 560,000 | 586,109 |
5.15%, due 5/1/30 | 650,000 | 762,898 |
Lockheed Martin Corp. | ||
4.07%, due 12/15/42 | 305,000 | 365,376 |
Northrop Grumman Systems Corp. | ||
7.75%, due 2/15/31 | 260,000 | 373,209 |
Raytheon Technologies Corp. | ||
3.125%, due 7/1/50 | 450,000 | 454,694 |
3.15%, due 12/15/24 | 305,000 | 323,799 |
3.50%, due 3/15/27 | 260,000 | 285,590 |
3.65%, due 8/16/23 | 2,000 | 2,113 |
3,153,788 | ||
Apparel 0.0% ‡ | ||
NIKE, Inc. | ||
3.625%, due 5/1/43 | 90,000 | 103,377 |
Auto Manufacturers 0.4% | ||
General Motors Financial Co., Inc. | ||
4.35%, due 1/17/27 | 1,425,000 | 1,597,554 |
Toyota Motor Credit Corp. | ||
2.25%, due 10/18/23 | 340,000 | 352,486 |
1,950,040 | ||
Banks 5.9% | ||
Bank of America Corp. | ||
0.523%, due 6/14/24 (a) | 900,000 | 899,620 |
2.972%, due 7/21/52 (a) | 695,000 | 680,359 |
3.248%, due 10/21/27 | 480,000 | 518,284 |
3.419%, due 12/20/28 (a) | 1,685,000 | 1,826,266 |
Principal Amount | Value | |
Corporate Bonds | ||
Banks | ||
Bank of New York Mellon Corp. (The) | ||
Series G | ||
3.00%, due 2/24/25 | $ 485,000 | $ 518,021 |
Barclays plc | ||
5.25%, due 8/17/45 | 270,000 | 361,031 |
BNP Paribas SA | ||
3.25%, due 3/3/23 | 495,000 | 515,624 |
Citigroup, Inc. | ||
0.981%, due 5/1/25 (a) | 1,750,000 | 1,755,668 |
2.561%, due 5/1/32 (a) | 250,000 | 252,459 |
4.45%, due 9/29/27 | 1,435,000 | 1,631,866 |
4.65%, due 7/30/45 | 170,000 | 216,281 |
Cooperatieve Rabobank UA | ||
5.25%, due 5/24/41 | 480,000 | 661,164 |
Credit Suisse Group AG | ||
3.80%, due 6/9/23 | 335,000 | 352,948 |
Goldman Sachs Group, Inc. (The) | ||
1.542%, due 9/10/27 (a) | 2,350,000 | 2,340,594 |
4.80%, due 7/8/44 | 400,000 | 511,627 |
HSBC Holdings plc | ||
3.90%, due 5/25/26 | 1,375,000 | 1,514,499 |
JPMorgan Chase & Co. | ||
4.25%, due 10/1/27 | 2,340,000 | 2,661,055 |
4.26%, due 2/22/48 (a) | 575,000 | 693,301 |
Lloyds Banking Group plc | ||
3.75%, due 1/11/27 | 1,265,000 | 1,391,044 |
Mitsubishi UFJ Financial Group, Inc. | ||
3.455%, due 3/2/23 | 560,000 | 584,181 |
Morgan Stanley | ||
0.79%, due 5/30/25 (a) | 630,000 | 628,066 |
2.239%, due 7/21/32 (a) | 675,000 | 663,381 |
3.625%, due 1/20/27 | 1,700,000 | 1,873,974 |
NatWest Group plc | ||
3.875%, due 9/12/23 | 270,000 | 286,265 |
Wells Fargo & Co. | ||
3.00%, due 4/22/26 | 2,425,000 | 2,601,760 |
3.50%, due 3/8/22 | 97,000 | 98,366 |
4.75%, due 12/7/46 | 575,000 | 720,136 |
26,757,840 | ||
Beverages 0.6% | ||
Anheuser-Busch InBev Worldwide, Inc. | ||
4.60%, due 4/15/48 | 740,000 | 883,430 |
Coca-Cola Co. (The) | ||
2.60%, due 6/1/50 | 450,000 | 430,028 |
Constellation Brands, Inc. | ||
3.60%, due 2/15/28 | 125,000 | 137,344 |
Principal Amount | Value | |
Corporate Bonds | ||
Beverages | ||
Diageo Capital plc | ||
5.875%, due 9/30/36 | $ 268,000 | $ 376,440 |
Keurig Dr Pepper, Inc. | ||
4.985%, due 5/25/38 | 90,000 | 112,675 |
Molson Coors Beverage Co. | ||
4.20%, due 7/15/46 | 90,000 | 99,605 |
PepsiCo, Inc. | ||
2.75%, due 3/1/23 | 380,000 | 393,435 |
2.85%, due 2/24/26 | 260,000 | 278,820 |
4.45%, due 4/14/46 | 25,000 | 31,600 |
2,743,377 | ||
Biotechnology 0.4% | ||
Amgen, Inc. | ||
3.125%, due 5/1/25 | 305,000 | 325,741 |
3.375%, due 2/21/50 | 405,000 | 415,890 |
Baxalta, Inc. | ||
3.60%, due 6/23/22 | 39,000 | 39,725 |
Gilead Sciences, Inc. | ||
3.65%, due 3/1/26 | 490,000 | 537,039 |
4.60%, due 9/1/35 | 205,000 | 248,575 |
1,566,970 | ||
Building Materials 0.0% ‡ | ||
Johnson Controls International plc | ||
6.00%, due 1/15/36 | 75,000 | 104,106 |
Chemicals 0.4% | ||
DuPont de Nemours, Inc. | ||
4.493%, due 11/15/25 | 450,000 | 505,987 |
Ecolab, Inc. | ||
2.70%, due 11/1/26 | 260,000 | 277,085 |
Mosaic Co. (The) | ||
4.05%, due 11/15/27 | 480,000 | 539,382 |
Nutrien Ltd. | ||
5.875%, due 12/1/36 | 260,000 | 350,808 |
Sherwin-Williams Co. (The) | ||
3.95%, due 1/15/26 | 305,000 | 337,674 |
2,010,936 | ||
Computers 1.1% | ||
Apple, Inc. | ||
2.90%, due 9/12/27 | 300,000 | 325,306 |
3.35%, due 2/9/27 | 16,000 | 17,643 |
4.25%, due 2/9/47 | 205,000 | 254,435 |
4.50%, due 2/23/36 | 845,000 | 1,058,951 |
Dell International LLC | ||
5.45%, due 6/15/23 | 545,000 | 584,529 |
Principal Amount | Value | |
Corporate Bonds | ||
Computers | ||
Dell International LLC | ||
6.02%, due 6/15/26 | $ 375,000 | $ 446,073 |
Hewlett Packard Enterprise Co. | ||
4.40%, due 10/15/22 (b) | 205,000 | 211,945 |
International Business Machines Corp. | ||
1.875%, due 8/1/22 | 300,000 | 303,999 |
3.45%, due 2/19/26 | 275,000 | 300,951 |
3.50%, due 5/15/29 | 1,215,000 | 1,342,714 |
4,846,546 | ||
Cosmetics & Personal Care 0.1% | ||
Procter & Gamble Co. (The) | ||
2.70%, due 2/2/26 | 260,000 | 277,759 |
Unilever Capital Corp. | ||
3.10%, due 7/30/25 | 100,000 | 107,822 |
385,581 | ||
Diversified Financial Services 0.9% | ||
American Express Co. | ||
2.50%, due 7/30/24 | 765,000 | 804,200 |
GE Capital Funding LLC | ||
4.40%, due 5/15/30 | 1,625,000 | 1,882,919 |
Mastercard, Inc. | ||
3.85%, due 3/26/50 | 450,000 | 535,111 |
Visa, Inc. | ||
2.80%, due 12/14/22 | 480,000 | 492,603 |
4.30%, due 12/14/45 | 200,000 | 251,064 |
3,965,897 | ||
Electric 2.0% | ||
CenterPoint Energy Houston Electric LLC | ||
Series AC | ||
4.25%, due 2/1/49 | 300,000 | 372,808 |
Commonwealth Edison Co. | ||
3.65%, due 6/15/46 | 465,000 | 514,414 |
Consolidated Edison Co. of New York, Inc. | ||
Series 06-A | ||
5.85%, due 3/15/36 | 640,000 | 848,987 |
DTE Electric Co. | ||
3.375%, due 3/1/25 | 205,000 | 220,097 |
Duke Energy Carolinas LLC | ||
3.875%, due 3/15/46 | 790,000 | 891,606 |
4.00%, due 9/30/42 | 260,000 | 297,200 |
Edison International | ||
2.95%, due 3/15/23 | 205,000 | 210,922 |
Entergy Louisiana LLC | ||
4.20%, due 4/1/50 | 350,000 | 423,244 |
Florida Power & Light Co. | ||
2.75%, due 6/1/23 | 120,000 | 123,377 |
Principal Amount | Value | |
Corporate Bonds | ||
Electric | ||
Florida Power & Light Co. | ||
3.80%, due 12/15/42 | $ 575,000 | $ 664,546 |
MidAmerican Energy Co. | ||
3.95%, due 8/1/47 | 380,000 | 444,124 |
National Rural Utilities Cooperative Finance Corp. | ||
2.70%, due 2/15/23 | 115,000 | 118,278 |
Ohio Power Co. | ||
Series G | ||
6.60%, due 2/15/33 | 190,000 | 257,207 |
PPL Electric Utilities Corp. | ||
3.95%, due 6/1/47 | 125,000 | 148,173 |
Public Service Electric and Gas Co. | ||
2.70%, due 5/1/50 | 450,000 | 433,316 |
San Diego Gas & Electric Co. | ||
4.15%, due 5/15/48 | 260,000 | 312,045 |
Sempra Energy | ||
3.80%, due 2/1/38 | 260,000 | 287,744 |
Southern California Edison Co. | ||
Series C | ||
4.125%, due 3/1/48 | 260,000 | 283,311 |
Southern Co. (The) | ||
2.95%, due 7/1/23 | 205,000 | 212,816 |
4.40%, due 7/1/46 | 525,000 | 617,269 |
Virginia Electric and Power Co. | ||
4.00%, due 1/15/43 | 390,000 | 447,106 |
Xcel Energy, Inc. | ||
3.30%, due 6/1/25 | 830,000 | 885,782 |
9,014,372 | ||
Environmental Control 0.1% | ||
Republic Services, Inc. | ||
3.20%, due 3/15/25 | 305,000 | 325,536 |
Waste Management, Inc. | ||
3.15%, due 11/15/27 | 305,000 | 331,530 |
657,066 | ||
Food 0.3% | ||
General Mills, Inc. | ||
3.15%, due 12/15/21 | 5,000 | 5,004 |
4.20%, due 4/17/28 | 90,000 | 102,553 |
Kroger Co. (The) | ||
2.20%, due 5/1/30 | 650,000 | 653,053 |
Sysco Corp. | ||
3.25%, due 7/15/27 | 305,000 | 330,174 |
Tyson Foods, Inc. | ||
5.10%, due 9/28/48 | 300,000 | 396,315 |
1,487,099 |
Principal Amount | Value | |
Corporate Bonds | ||
Forest Products & Paper 0.2% | ||
Fibria Overseas Finance Ltd. | ||
5.50%, due 1/17/27 | $ 480,000 | $ 547,205 |
International Paper Co. | ||
3.80%, due 1/15/26 | 235,000 | 258,639 |
805,844 | ||
Gas 0.1% | ||
NiSource, Inc. | ||
3.49%, due 5/15/27 | 260,000 | 284,918 |
Healthcare-Products 0.5% | ||
Abbott Laboratories | ||
3.75%, due 11/30/26 | 175,000 | 196,305 |
4.90%, due 11/30/46 | 275,000 | 372,344 |
Boston Scientific Corp. | ||
4.70%, due 3/1/49 | 225,000 | 287,462 |
Medtronic, Inc. | ||
4.625%, due 3/15/45 | 449,000 | 586,458 |
Stryker Corp. | ||
3.65%, due 3/7/28 | 260,000 | 288,536 |
Thermo Fisher Scientific, Inc. | ||
2.95%, due 9/19/26 | 340,000 | 365,533 |
2,096,638 | ||
Healthcare-Services 0.9% | ||
Aetna, Inc. | ||
6.625%, due 6/15/36 | 260,000 | 375,651 |
Anthem, Inc. | ||
4.375%, due 12/1/47 | 305,000 | 367,965 |
Laboratory Corp. of America Holdings | ||
3.60%, due 2/1/25 | 305,000 | 328,149 |
UnitedHealth Group, Inc. | ||
3.10%, due 3/15/26 | 575,000 | 623,512 |
3.75%, due 7/15/25 | 1,700,000 | 1,872,516 |
4.25%, due 4/15/47 | 300,000 | 370,007 |
3,937,800 | ||
Household Products & Wares 0.1% | ||
Clorox Co. (The) | ||
3.90%, due 5/15/28 | 260,000 | 293,095 |
Kimberly-Clark Corp. | ||
2.75%, due 2/15/26 | 260,000 | 279,140 |
572,235 | ||
Housewares 0.0% ‡ | ||
Newell Brands, Inc. | ||
4.35%, due 4/1/23 (b) | 175,000 | 182,229 |
Principal Amount | Value | |
Corporate Bonds | ||
Insurance 0.8% | ||
Allstate Corp. (The) | ||
5.35%, due 6/1/33 | $ 260,000 | $ 333,607 |
American International Group, Inc. | ||
6.25%, due 5/1/36 | 350,000 | 487,839 |
Berkshire Hathaway Finance Corp. | ||
4.30%, due 5/15/43 | 405,000 | 492,216 |
Chubb INA Holdings, Inc. | ||
3.35%, due 5/3/26 | 205,000 | 223,608 |
MetLife, Inc. | ||
3.60%, due 11/13/25 | 1,590,000 | 1,739,538 |
Prudential Financial, Inc. | ||
3.935%, due 12/7/49 | 150,000 | 176,750 |
3,453,558 | ||
Internet 0.3% | ||
Alphabet, Inc. | ||
3.375%, due 2/25/24 | 350,000 | 374,077 |
Amazon.com, Inc. | ||
3.875%, due 8/22/37 | 935,000 | 1,104,011 |
1,478,088 | ||
Machinery—Construction & Mining 0.1% | ||
Caterpillar, Inc. | ||
5.30%, due 9/15/35 | 310,000 | 412,321 |
Machinery-Diversified 0.0% ‡ | ||
Deere & Co. | ||
3.90%, due 6/9/42 | 170,000 | 202,034 |
Media 1.8% | ||
Charter Communications Operating LLC | ||
4.908%, due 7/23/25 | 850,000 | 955,931 |
5.75%, due 4/1/48 | 800,000 | 1,010,634 |
Comcast Corp. | ||
3.30%, due 4/1/27 | 725,000 | 793,870 |
3.40%, due 7/15/46 | 1,415,000 | 1,500,640 |
Discovery Communications LLC | ||
3.95%, due 3/20/28 | 400,000 | 442,994 |
TWDC Enterprises 18 Corp. | ||
2.35%, due 12/1/22 | 560,000 | 573,055 |
ViacomCBS, Inc. | ||
4.95%, due 1/15/31 | 650,000 | 776,524 |
Walt Disney Co. (The) | ||
3.00%, due 9/15/22 | 715,000 | 733,579 |
3.80%, due 3/22/30 | 650,000 | 738,755 |
6.40%, due 12/15/35 | 485,000 | 707,896 |
8,233,878 |
Principal Amount | Value | |
Corporate Bonds | ||
Mining 0.3% | ||
Barrick North America Finance LLC | ||
5.70%, due 5/30/41 | $ 125,000 | $ 168,801 |
BHP Billiton Finance USA Ltd. | ||
3.85%, due 9/30/23 | 480,000 | 513,049 |
Rio Tinto Finance USA Ltd. | ||
3.75%, due 6/15/25 | 480,000 | 524,640 |
1,206,490 | ||
Miscellaneous—Manufacturing 0.3% | ||
3M Co. | ||
4.00%, due 9/14/48 | 300,000 | 359,335 |
Eaton Corp. | ||
4.00%, due 11/2/32 | 260,000 | 302,053 |
General Electric Co. | ||
4.125%, due 10/9/42 | 94,000 | 107,665 |
Parker-Hannifin Corp. | ||
3.50%, due 9/15/22 | 290,000 | 298,584 |
4.20%, due 11/21/34 | 90,000 | 103,598 |
1,171,235 | ||
Multi-National 0.2% | ||
International Bank for Reconstruction & Development | ||
3.00%, due 9/27/23 | 900,000 | 947,448 |
Oil & Gas 1.0% | ||
BP Capital Markets America, Inc. | ||
1.749%, due 8/10/30 | 300,000 | 291,636 |
3.588%, due 4/14/27 | 300,000 | 331,242 |
Canadian Natural Resources Ltd. | ||
6.25%, due 3/15/38 | 125,000 | 166,235 |
Chevron Corp. | ||
3.191%, due 6/24/23 | 485,000 | 505,555 |
ConocoPhillips Co. | ||
5.95%, due 3/15/46 | 340,000 | 501,211 |
Devon Energy Corp. | ||
4.75%, due 5/15/42 | 260,000 | 296,729 |
EOG Resources, Inc. | ||
3.90%, due 4/1/35 | 205,000 | 232,151 |
Exxon Mobil Corp. | ||
4.114%, due 3/1/46 | 465,000 | 542,236 |
Hess Corp. | ||
7.125%, due 3/15/33 | 125,000 | 169,039 |
Shell International Finance BV | ||
2.375%, due 8/21/22 | 340,000 | 346,525 |
3.75%, due 9/12/46 | 310,000 | 352,791 |
TotalEnergies Capital International SA | ||
2.829%, due 1/10/30 | 875,000 | 933,078 |
4,668,428 |
Principal Amount | Value | |
Corporate Bonds | ||
Oil & Gas Services 0.0% ‡ | ||
Halliburton Co. | ||
3.80%, due 11/15/25 | $ 28,000 | $ 30,665 |
Pharmaceuticals 2.2% | ||
AbbVie, Inc. | ||
3.20%, due 11/6/22 | 490,000 | 502,765 |
3.75%, due 11/14/23 | 95,000 | 101,211 |
3.80%, due 3/15/25 | 175,000 | 190,024 |
4.70%, due 5/14/45 | 530,000 | 653,870 |
4.75%, due 3/15/45 | 100,000 | 124,876 |
Allergan Funding SCS | ||
3.80%, due 3/15/25 | 50,000 | 53,350 |
4.75%, due 3/15/45 | 25,000 | 28,286 |
AstraZeneca plc | ||
6.45%, due 9/15/37 | 490,000 | 726,032 |
Bristol-Myers Squibb Co. | ||
2.75%, due 2/15/23 | 25,000 | 25,784 |
3.40%, due 7/26/29 | 1,480,000 | 1,640,330 |
3.55%, due 8/15/22 | 180,000 | 185,119 |
3.625%, due 5/15/24 | 560,000 | 600,120 |
Cigna Corp. | ||
4.90%, due 12/15/48 | 175,000 | 223,751 |
CVS Health Corp. | ||
1.875%, due 2/28/31 | 10,000 | 9,661 |
2.75%, due 12/1/22 | 380,000 | 388,258 |
4.25%, due 4/1/50 | 325,000 | 382,700 |
Eli Lilly and Co. | ||
3.95%, due 3/15/49 | 300,000 | 363,290 |
GlaxoSmithKline Capital, Inc. | ||
3.875%, due 5/15/28 | 305,000 | 345,266 |
Johnson & Johnson | ||
3.55%, due 3/1/36 | 350,000 | 403,361 |
4.95%, due 5/15/33 | 300,000 | 389,214 |
Merck & Co., Inc. | ||
3.70%, due 2/10/45 | 260,000 | 298,869 |
Mylan, Inc. | ||
4.20%, due 11/29/23 | 75,000 | 79,921 |
5.20%, due 4/15/48 | 90,000 | 110,800 |
Novartis Capital Corp. | ||
4.00%, due 11/20/45 | 310,000 | 374,203 |
Pfizer, Inc. | ||
3.00%, due 6/15/23 | 180,000 | 188,016 |
3.20%, due 9/15/23 | 25,000 | 26,294 |
4.00%, due 12/15/36 | 1,165,000 | 1,383,622 |
9,798,993 |
Principal Amount | Value | |
Corporate Bonds | ||
Pipelines 1.8% | ||
Enbridge, Inc. | ||
4.50%, due 6/10/44 | $ 260,000 | $ 302,790 |
Energy Transfer Operating LP | ||
4.05%, due 3/15/25 | 2,655,000 | 2,864,033 |
Enterprise Products Operating LLC | ||
3.70%, due 2/15/26 | 475,000 | 521,374 |
4.80%, due 2/1/49 | 400,000 | 489,677 |
Kinder Morgan Energy Partners LP | ||
5.80%, due 3/15/35 | 305,000 | 391,818 |
Kinder Morgan, Inc. | ||
4.30%, due 6/1/25 | 565,000 | 623,982 |
MPLX LP | ||
4.125%, due 3/1/27 | 855,000 | 954,665 |
ONEOK, Inc. | ||
3.10%, due 3/15/30 | 650,000 | 678,477 |
Phillips 66 Partners LP | ||
4.68%, due 2/15/45 | 487,000 | 560,025 |
TransCanada PipeLines Ltd. | ||
4.875%, due 1/15/26 | 310,000 | 354,655 |
4.875%, due 5/15/48 | 325,000 | 410,009 |
8,151,505 | ||
Real Estate Investment Trusts 0.3% | ||
American Tower Corp. | ||
5.00%, due 2/15/24 | 170,000 | 186,777 |
AvalonBay Communities, Inc. | ||
2.90%, due 10/15/26 | 205,000 | 219,755 |
Crown Castle International Corp. | ||
1.05%, due 7/15/26 | 150,000 | 146,803 |
ERP Operating LP | ||
3.25%, due 8/1/27 | 260,000 | 283,005 |
Realty Income Corp. | ||
4.65%, due 3/15/47 | 150,000 | 193,324 |
Simon Property Group LP | ||
4.25%, due 11/30/46 | 443,000 | 516,921 |
1,546,585 | ||
Retail 1.2% | ||
Home Depot, Inc. (The) | ||
2.375%, due 3/15/51 | 850,000 | 767,379 |
Lowe's Cos., Inc. | ||
4.05%, due 5/3/47 | 385,000 | 442,007 |
McDonald's Corp. | ||
3.375%, due 5/26/25 | 1,485,000 | 1,597,939 |
Starbucks Corp. | ||
2.55%, due 11/15/30 | 875,000 | 898,798 |
Target Corp. | ||
2.35%, due 2/15/30 | 175,000 | 181,128 |
Principal Amount | Value | |
Corporate Bonds | ||
Retail | ||
Target Corp. | ||
3.50%, due 7/1/24 | $ 300,000 | $ 323,973 |
Walmart, Inc. | ||
2.85%, due 7/8/24 | 250,000 | 265,062 |
3.30%, due 4/22/24 | 90,000 | 95,919 |
4.30%, due 4/22/44 | 625,000 | 797,912 |
5,370,117 | ||
Semiconductors 0.7% | ||
Applied Materials, Inc. | ||
5.10%, due 10/1/35 | 260,000 | 340,043 |
Broadcom, Inc. | ||
4.15%, due 11/15/30 | 650,000 | 720,182 |
Intel Corp. | ||
3.70%, due 7/29/25 | 1,460,000 | 1,597,955 |
QUALCOMM, Inc. | ||
4.65%, due 5/20/35 | 260,000 | 323,792 |
Texas Instruments, Inc. | ||
2.625%, due 5/15/24 | 350,000 | 366,961 |
3,348,933 | ||
Software 1.0% | ||
Fiserv, Inc. | ||
4.20%, due 10/1/28 | 625,000 | 711,420 |
Microsoft Corp. | ||
2.40%, due 2/6/22 | 10,000 | 10,056 |
2.921%, due 3/17/52 | 455,000 | 470,378 |
3.30%, due 2/6/27 | 390,000 | 431,346 |
Oracle Corp. | ||
2.95%, due 5/15/25 | 1,955,000 | 2,074,361 |
4.00%, due 7/15/46 | 205,000 | 217,172 |
5.375%, due 7/15/40 | 350,000 | 440,988 |
4,355,721 | ||
Telecommunications 1.9% | ||
AT&T, Inc. | ||
2.55%, due 12/1/33 | 1,551,000 | 1,525,902 |
3.55%, due 9/15/55 | 1,131,000 | 1,115,329 |
3.60%, due 7/15/25 | 310,000 | 337,444 |
Cisco Systems, Inc. | ||
2.95%, due 2/28/26 | 485,000 | 524,580 |
Deutsche Telekom International Finance BV | ||
8.75%, due 6/15/30 (b) | 260,000 | 387,631 |
Telefonica Emisiones SA | ||
7.045%, due 6/20/36 | 350,000 | 505,116 |
T-Mobile US, Inc. | ||
3.875%, due 4/15/30 | 650,000 | 717,705 |
Verizon Communications, Inc. | ||
4.016%, due 12/3/29 | 565,000 | 640,207 |
Principal Amount | Value | |
Corporate Bonds | ||
Telecommunications | ||
Verizon Communications, Inc. | ||
5.50%, due 3/16/47 | $ 975,000 | $ 1,348,423 |
Vodafone Group plc | ||
4.375%, due 5/30/28 | 1,330,000 | 1,527,482 |
8,629,819 | ||
Transportation 1.0% | ||
Burlington Northern Santa Fe LLC | ||
3.25%, due 6/15/27 | 956,000 | 1,054,026 |
Canadian National Railway Co. | ||
6.25%, due 8/1/34 | 260,000 | 364,051 |
CSX Corp. | ||
3.35%, due 9/15/49 | 575,000 | 604,668 |
Norfolk Southern Corp. | ||
3.942%, due 11/1/47 | 341,000 | 388,590 |
Union Pacific Corp. | ||
2.75%, due 3/1/26 | 1,680,000 | 1,788,575 |
United Parcel Service, Inc. | ||
3.40%, due 11/15/46 | 480,000 | 528,749 |
4,728,659 | ||
Total Corporate Bonds (Cost $130,588,421) | 134,361,136 | |
Foreign Government Bonds 3.0% | ||
Canada 0.4% | ||
Province of Ontario Canada | ||
2.50%, due 4/27/26 | 1,120,000 | 1,191,308 |
Province of Quebec Canada | ||
2.50%, due 4/20/26 | 775,000 | 826,499 |
2,017,807 | ||
Japan 0.1% | ||
Japan Bank for International Cooperation | ||
2.875%, due 6/1/27 | 576,000 | 624,818 |
Luxembourg 0.4% | ||
European Investment Bank | ||
2.25%, due 8/15/22 | 1,375,000 | 1,399,990 |
2.375%, due 5/24/27 | 520,000 | 554,995 |
1,954,985 | ||
Mexico 0.9% | ||
Mexico Government Bond | ||
4.125%, due 1/21/26 | 3,830,000 | 4,278,493 |
Principal Amount | Value | |
Foreign Government Bonds | ||
Norway 0.1% | ||
Equinor ASA | ||
5.10%, due 8/17/40 | $ 385,000 | $ 509,939 |
Panama 0.2% | ||
Panama Government Bond | ||
3.75%, due 3/16/25 | 750,000 | 804,900 |
Peru 0.3% | ||
Peruvian Government Bond | ||
7.35%, due 7/21/25 | 1,045,000 | 1,262,694 |
Philippines 0.4% | ||
Asian Development Bank | ||
2.75%, due 3/17/23 | 900,000 | 932,995 |
Philippine Government Bond | ||
5.00%, due 1/13/37 | 600,000 | 739,543 |
1,672,538 | ||
Republic of Korea 0.2% | ||
Korea Development Bank (The) | ||
3.25%, due 2/19/24 | 650,000 | 691,450 |
Total Foreign Government Bonds (Cost $13,348,448) | 13,817,624 | |
Mortgage-Backed Securities 13.9% | ||
Agency (Collateralized Mortgage Obligations) 12.3% | ||
FHLMC, Multifamily Structured Pass-Through Certificates | ||
REMIC, Series K094, Class A2 | ||
2.903%, due 6/25/29 | 4,000,000 | 4,381,863 |
GNMA II, Single Family, 30 Year (c) | ||
2.00%, due 10/15/51 TBA | 5,450,000 | 5,528,557 |
2.50%, due 10/15/51 TBA | 5,300,000 | 5,471,215 |
UMBS, Single Family, 15 Year (c) | ||
1.50%, due 10/25/36 TBA | 3,500,000 | 3,534,590 |
2.00%, due 10/25/36 TBA | 2,950,000 | 3,038,154 |
UMBS, Single Family, 30 Year (c) | ||
2.00%, due 10/25/51 TBA | 21,550,000 | 21,608,084 |
2.50%, due 10/25/51 TBA | 11,750,000 | 12,114,892 |
55,677,355 | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) 1.6% | ||
BANK | ||
Series 2018-BN14, Class A3 | ||
3.966%, due 9/15/60 | 800,000 | 892,818 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) | ||
Benchmark Mortgage Trust | ||
Series 2018-B1, Class A2 | ||
3.571%, due 1/15/51 | $ 100,000 | $ 102,478 |
Series 2018-B1, Class A5 | ||
3.666%, due 1/15/51 (d) | 800,000 | 887,955 |
Series 2018-B6, Class A3 | ||
3.995%, due 10/10/51 | 900,000 | 1,012,425 |
CFCRE Commercial Mortgage Trust | ||
Series 2016-C6, Class A3 | ||
3.217%, due 11/10/49 (d) | 300,000 | 321,357 |
Series 2017-C8, Class A3 | ||
3.305%, due 6/15/50 | 200,000 | 211,043 |
Citigroup Commercial Mortgage Trust | ||
Series 2017-P8, Class A4 | ||
3.465%, due 9/15/50 | 300,000 | 328,323 |
Series 2015-GC35, Class A4 | ||
3.818%, due 11/10/48 | 300,000 | 328,760 |
CSAIL Commercial Mortgage Trust | ||
Series 2017-CX9, Class A5 | ||
3.446%, due 9/15/50 | 300,000 | 325,266 |
GS Mortgage Securities Trust | ||
Series 2016-GS3, Class A4 | ||
2.85%, due 10/10/49 | 300,000 | 318,221 |
Series 2014-GC22, Class A5 | ||
3.862%, due 6/10/47 | 300,000 | 321,845 |
Series 2018-GS9, Class A4 | ||
3.992%, due 3/10/51 (d) | 800,000 | 901,157 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2013-C7, Class A4 | ||
2.918%, due 2/15/46 | 300,000 | 306,704 |
Morgan Stanley Capital I Trust | ||
Series 2018-H3, Class A4 | ||
3.914%, due 7/15/51 | 500,000 | 553,129 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2015-SG1, Class A4 | ||
3.789%, due 9/15/48 | 296,023 | 317,324 |
WFRBS Commercial Mortgage Trust | ||
Series 2012-C8, Class A3 | ||
3.001%, due 8/15/45 | 200,000 | 202,301 |
7,331,106 | ||
Total Mortgage-Backed Securities (Cost $62,909,341) | 63,008,461 | |
U.S. Government & Federal Agencies 52.3% | ||
Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) 5.4% | ||
FFCB | ||
0.68%, due 1/13/27 | 1,125,000 | 1,106,044 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) | ||
FHLB | ||
3.25%, due 11/16/28 | $ 2,200,000 | $ 2,481,098 |
FHLMC | ||
2.375%, due 1/13/22 | 500,000 | 503,270 |
FHLMC Gold Pools, 15 Year | ||
2.50%, due 10/1/31 | 51,304 | 54,107 |
2.50%, due 2/1/32 | 207,188 | 216,900 |
2.50%, due 2/1/33 | 200,051 | 209,183 |
2.50%, due 4/1/33 | 278,118 | 290,382 |
2.50%, due 6/1/33 | 39,486 | 41,211 |
2.50%, due 7/1/33 | 94,802 | 99,213 |
3.00%, due 9/1/27 | 114,377 | 120,652 |
3.00%, due 4/1/32 | 127,717 | 135,025 |
3.00%, due 6/1/32 | 33,740 | 35,684 |
3.00%, due 9/1/32 | 16,368 | 17,304 |
3.00%, due 10/1/32 | 72,511 | 76,655 |
3.00%, due 5/1/33 | 93,854 | 99,131 |
3.00%, due 9/1/33 | 77,480 | 81,765 |
3.50%, due 12/1/25 | 22,550 | 24,070 |
3.50%, due 5/1/33 | 80,252 | 85,933 |
3.50%, due 9/1/33 | 23,114 | 24,714 |
FHLMC Gold Pools, 20 Year | ||
3.00%, due 9/1/36 | 105,338 | 112,848 |
3.00%, due 11/1/37 | 58,215 | 61,587 |
3.00%, due 12/1/37 | 101,539 | 107,168 |
3.50%, due 2/1/37 | 97,828 | 105,392 |
3.50%, due 1/1/38 | 103,162 | 109,920 |
4.50%, due 5/1/38 | 64,102 | 70,331 |
5.50%, due 1/1/29 | 30,520 | 34,053 |
FHLMC Gold Pools, 30 Year | ||
3.00%, due 9/1/46 | 471,550 | 498,282 |
3.00%, due 12/1/46 | 31,834 | 33,572 |
3.00%, due 2/1/47 | 39,853 | 42,465 |
3.00%, due 3/1/47 | 177,952 | 188,255 |
3.00%, due 4/1/47 | 52,945 | 55,833 |
3.00%, due 1/1/48 | 337,163 | 354,182 |
3.00%, due 2/1/48 | 200,080 | 209,911 |
3.00%, due 3/1/48 | 184,277 | 193,350 |
3.00%, due 4/1/48 | 492,201 | 526,208 |
3.00%, due 6/1/48 | 313,745 | 329,285 |
3.50%, due 6/1/43 | 132,662 | 144,517 |
3.50%, due 9/1/44 | 111,859 | 121,947 |
3.50%, due 8/1/45 | 177,349 | 190,660 |
3.50%, due 8/1/46 | 248,505 | 267,616 |
3.50%, due 8/1/47 | 23,176 | 24,642 |
3.50%, due 9/1/47 | 56,469 | 59,817 |
3.50%, due 11/1/47 | 121,845 | 129,640 |
3.50%, due 12/1/47 | 261,242 | 278,169 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) | ||
FHLMC Gold Pools, 30 Year | ||
3.50%, due 1/1/48 | $ 25,893 | $ 27,537 |
3.50%, due 3/1/48 | 351,253 | 373,533 |
3.50%, due 5/1/48 | 113,865 | 120,845 |
3.50%, due 6/1/48 | 203,613 | 215,863 |
3.50%, due 8/1/48 | 127,573 | 135,185 |
3.50%, due 9/1/48 | 155,937 | 165,300 |
3.50%, due 11/1/48 | 55,220 | 58,431 |
3.50%, due 12/1/48 | 146,992 | 155,876 |
4.00%, due 4/1/46 | 220,183 | 239,942 |
4.00%, due 5/1/46 | 69,612 | 75,705 |
4.00%, due 4/1/47 | 51,514 | 55,618 |
4.00%, due 6/1/47 | 130,423 | 140,934 |
4.00%, due 8/1/47 | 269,409 | 291,363 |
4.00%, due 10/1/47 | 61,927 | 66,460 |
4.00%, due 12/1/47 | 163,097 | 175,733 |
4.00%, due 1/1/48 | 51,972 | 56,077 |
4.00%, due 5/1/48 | 71,753 | 77,211 |
4.00%, due 9/1/48 | 271,086 | 290,205 |
4.00%, due 12/1/48 | 147,913 | 158,375 |
4.50%, due 9/1/46 | 14,228 | 15,559 |
4.50%, due 9/1/46 | 34,899 | 38,369 |
4.50%, due 10/1/46 | 112,259 | 122,842 |
4.50%, due 2/1/47 | 22,925 | 25,028 |
4.50%, due 11/1/47 | 28,739 | 31,320 |
4.50%, due 2/1/48 | 54,673 | 59,483 |
4.50%, due 4/1/48 | 67,708 | 73,572 |
4.50%, due 6/1/48 | 39,832 | 43,222 |
4.50%, due 7/1/48 | 147,905 | 160,265 |
4.50%, due 8/1/48 | 144,167 | 156,021 |
5.00%, due 9/1/38 | 45,471 | 51,979 |
5.00%, due 11/1/41 | 68,260 | 77,543 |
5.00%, due 3/1/47 | 135,872 | 151,252 |
5.00%, due 9/1/48 | 283,636 | 313,985 |
5.00%, due 1/1/49 | 91,437 | 100,844 |
5.50%, due 7/1/38 | 73,240 | 85,480 |
FNMA | ||
0.65%, due 12/10/25 | 2,000,000 | 1,984,105 |
1.375%, due 9/6/22 | 725,000 | 733,736 |
1.875%, due 4/5/22 | 300,000 | 302,758 |
UMBS, 15 Year | ||
2.50%, due 9/1/34 | 502,938 | 524,677 |
2.50%, due 10/1/34 | 516,753 | 539,133 |
2.50%, due 3/1/35 | 1,040,081 | 1,085,425 |
UMBS, 30 Year | ||
2.50%, due 5/1/50 | 2,552,328 | 2,650,813 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) | ||
UMBS, 30 Year | ||
3.50%, due 12/1/47 | $ 1,937,777 | $ 2,058,773 |
4.50%, due 1/1/49 | 193,043 | 208,533 |
24,426,901 | ||
Federal National Mortgage Association (Mortgage Pass-Through Securities) 7.2% | ||
UMBS, 10 Year | ||
3.00%, due 4/1/25 | 31,329 | 32,926 |
3.50%, due 3/1/22 | 3,931 | 4,191 |
UMBS, 15 Year | ||
2.50%, due 10/1/27 | 124,692 | 130,449 |
2.50%, due 4/1/30 | 107,321 | 112,226 |
2.50%, due 10/1/31 | 157,913 | 165,102 |
2.50%, due 2/1/32 | 165,265 | 172,970 |
2.50%, due 2/1/32 | 172,774 | 180,806 |
2.50%, due 8/1/32 | 399,212 | 420,794 |
2.50%, due 3/1/33 | 230,678 | 244,035 |
2.50%, due 6/1/33 | 146,532 | 153,152 |
3.00%, due 11/1/31 | 120,691 | 127,650 |
3.00%, due 1/1/32 | 128,961 | 136,197 |
3.00%, due 6/1/32 | 91,188 | 96,346 |
3.00%, due 1/1/33 | 126,403 | 133,500 |
3.00%, due 2/1/33 | 175,535 | 187,390 |
3.00%, due 4/1/33 | 172,830 | 182,587 |
3.00%, due 5/1/33 | 245,367 | 259,438 |
3.00%, due 9/1/33 | 29,566 | 31,187 |
3.00%, due 9/1/34 | 751,947 | 793,356 |
3.50%, due 5/1/26 | 26,090 | 27,855 |
3.50%, due 11/1/31 | 31,672 | 33,761 |
3.50%, due 5/1/33 | 75,797 | 81,143 |
3.50%, due 6/1/33 | 98,001 | 104,852 |
3.50%, due 7/1/33 | 48,061 | 51,412 |
3.50%, due 9/1/33 | 51,370 | 54,954 |
4.00%, due 5/1/24 | 35,849 | 37,965 |
4.00%, due 11/1/29 | 98,525 | 104,416 |
UMBS, 20 Year | ||
3.00%, due 2/1/37 | 149,191 | 159,567 |
3.00%, due 1/1/38 | 302,629 | 319,284 |
4.00%, due 2/1/37 | 29,321 | 32,086 |
4.00%, due 8/1/38 | 185,611 | 199,800 |
5.00%, due 8/1/31 | 85,912 | 94,640 |
5.50%, due 8/1/27 | 43,687 | 48,764 |
UMBS, 30 Year | ||
2.00%, due 8/1/50 | 1,924,892 | 1,931,518 |
2.00%, due 9/1/50 | 2,541,171 | 2,549,918 |
2.50%, due 4/1/46 | 29,935 | 31,005 |
2.50%, due 10/1/46 | 130,350 | 135,160 |
3.00%, due 9/1/42 | 620,619 | 659,980 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
Federal National Mortgage Association (Mortgage Pass-Through Securities) | ||
UMBS, 30 Year | ||
3.00%, due 3/1/43 | $ 1,787,772 | $ 1,902,416 |
3.00%, due 12/1/43 | 687,582 | 732,666 |
3.00%, due 10/1/44 | 463,665 | 494,396 |
3.00%, due 10/1/46 | 75,376 | 79,332 |
3.00%, due 12/1/46 | 785,922 | 833,789 |
3.00%, due 2/1/47 | 125,611 | 132,695 |
3.00%, due 8/1/47 | 635,988 | 683,751 |
3.00%, due 10/1/47 | 540,087 | 579,620 |
3.00%, due 11/1/47 | 86,632 | 91,111 |
3.00%, due 6/1/48 | 71,684 | 75,225 |
3.00%, due 9/1/49 | 819,276 | 857,237 |
3.00%, due 10/1/50 | 3,186,533 | 3,389,741 |
3.50%, due 5/1/45 | 549,665 | 601,290 |
3.50%, due 9/1/45 | 45,793 | 49,084 |
3.50%, due 12/1/45 | 123,368 | 132,587 |
3.50%, due 12/1/45 | 266,322 | 289,031 |
3.50%, due 1/1/46 | 192,011 | 210,040 |
3.50%, due 1/1/46 | 160,367 | 172,819 |
3.50%, due 4/1/46 | 73,874 | 79,549 |
3.50%, due 9/1/46 | 348,872 | 379,690 |
3.50%, due 10/1/46 | 152,669 | 163,069 |
3.50%, due 10/1/46 | 63,208 | 67,251 |
3.50%, due 1/1/47 | 126,060 | 134,992 |
3.50%, due 7/1/47 | 26,227 | 27,900 |
3.50%, due 7/1/47 | 147,049 | 159,573 |
3.50%, due 10/1/47 | 97,055 | 103,308 |
3.50%, due 11/1/47 | 301,997 | 321,429 |
3.50%, due 11/1/47 | 136,351 | 145,328 |
3.50%, due 11/1/47 | 366,677 | 390,314 |
3.50%, due 12/1/47 | 26,159 | 27,856 |
3.50%, due 8/1/48 | 177,203 | 187,567 |
3.50%, due 9/1/48 | 218,788 | 232,001 |
3.50%, due 2/1/49 | 422,101 | 446,324 |
3.50%, due 6/1/49 | 869,355 | 919,504 |
4.00%, due 8/1/44 | 164,022 | 181,309 |
4.00%, due 2/1/45 | 143,661 | 157,351 |
4.00%, due 9/1/45 | 25,339 | 27,681 |
4.00%, due 5/1/46 | 110,900 | 120,892 |
4.00%, due 9/1/46 | 48,253 | 52,669 |
4.00%, due 9/1/46 | 56,175 | 60,789 |
4.00%, due 2/1/47 | 23,458 | 25,513 |
4.00%, due 4/1/47 | 10,729 | 11,612 |
4.00%, due 5/1/47 | 79,162 | 85,691 |
4.00%, due 5/1/47 | 62,968 | 68,017 |
4.00%, due 6/1/47 | 242,815 | 261,616 |
4.00%, due 10/1/47 | 26,208 | 28,299 |
4.00%, due 11/1/47 | 26,689 | 28,788 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
Federal National Mortgage Association (Mortgage Pass-Through Securities) | ||
UMBS, 30 Year | ||
4.00%, due 12/1/47 | $ 69,869 | $ 75,017 |
4.00%, due 1/1/48 | 146,051 | 157,235 |
4.00%, due 1/1/48 | 28,249 | 30,551 |
4.00%, due 1/1/48 | 166,457 | 178,789 |
4.00%, due 2/1/48 | 80,369 | 86,384 |
4.00%, due 6/1/48 | 282,976 | 303,587 |
4.00%, due 7/1/48 | 191,647 | 205,495 |
4.00%, due 7/1/48 | 80,874 | 86,657 |
4.00%, due 7/1/48 | 303,842 | 325,703 |
4.00%, due 8/1/48 | 50,620 | 54,192 |
4.00%, due 9/1/48 | 196,554 | 210,728 |
4.00%, due 9/1/48 | 48,721 | 52,207 |
4.00%, due 10/1/48 | 34,884 | 37,374 |
4.00%, due 11/1/48 | 93,543 | 100,211 |
4.00%, due 1/1/49 | 70,520 | 75,558 |
4.00%, due 9/1/49 | 1,294,704 | 1,386,480 |
4.50%, due 7/1/46 | 28,136 | 30,790 |
4.50%, due 12/1/46 | 36,262 | 39,848 |
4.50%, due 4/1/47 | 314,757 | 345,095 |
4.50%, due 5/1/47 | 11,439 | 12,484 |
4.50%, due 7/1/47 | 166,174 | 179,757 |
4.50%, due 7/1/47 | 49,767 | 54,314 |
4.50%, due 8/1/47 | 6,366 | 6,928 |
4.50%, due 2/1/48 | 187,678 | 203,591 |
4.50%, due 4/1/48 | 36,304 | 39,434 |
4.50%, due 4/1/48 | 17,366 | 18,886 |
4.50%, due 4/1/48 | 43,126 | 46,879 |
4.50%, due 5/1/48 | 120,159 | 130,355 |
4.50%, due 6/1/48 | 66,548 | 71,899 |
4.50%, due 8/1/48 | 123,464 | 133,483 |
4.50%, due 10/1/48 | 44,027 | 47,698 |
4.50%, due 9/1/49 | 620,342 | 671,536 |
5.00%, due 6/1/39 | 107,738 | 122,980 |
5.00%, due 6/1/40 | 24,838 | 28,412 |
5.00%, due 7/1/47 | 64,493 | 71,251 |
5.00%, due 1/1/48 | 108,599 | 119,926 |
5.00%, due 4/1/48 | 27,967 | 30,850 |
5.00%, due 5/1/48 | 68,008 | 74,733 |
5.00%, due 9/1/48 | 78,100 | 86,496 |
5.50%, due 6/1/36 | 54,756 | 62,602 |
5.50%, due 5/1/44 | 72,578 | 84,052 |
5.50%, due 9/1/48 | 209,606 | 234,476 |
32,740,017 | ||
Government National Mortgage Association (Mortgage Pass-Through Securities) 3.3% | ||
GNMA I, 30 Year | ||
3.00%, due 6/15/45 | 21,197 | 22,356 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
Government National Mortgage Association (Mortgage Pass-Through Securities) | ||
GNMA I, 30 Year | ||
3.00%, due 10/15/45 | $ 9,179 | $ 9,587 |
3.00%, due 5/15/48 | 62,799 | 65,923 |
3.50%, due 3/15/45 | 11,867 | 12,692 |
3.50%, due 4/15/45 | 23,530 | 25,098 |
3.50%, due 5/15/48 | 37,078 | 39,034 |
4.00%, due 8/15/46 | 50,431 | 55,106 |
4.00%, due 11/15/47 | 57,189 | 61,717 |
4.00%, due 7/15/49 | 109,433 | 117,757 |
4.50%, due 8/15/46 | 51,108 | 57,169 |
4.50%, due 2/15/47 | 7,895 | 8,898 |
4.50%, due 4/15/47 | 42,537 | 47,364 |
4.50%, due 8/15/47 | 189,993 | 215,448 |
4.50%, due 8/15/47 | 182,897 | 203,650 |
5.00%, due 4/15/47 | 34,770 | 39,686 |
5.00%, due 12/15/47 | 33,428 | 37,811 |
GNMA II, 30 Year | ||
2.50%, due 4/20/47 | 47,306 | 49,016 |
3.00%, due 11/20/45 | 375,595 | 395,803 |
3.00%, due 8/20/46 | 131,810 | 138,830 |
3.00%, due 9/20/46 | 71,332 | 75,088 |
3.00%, due 10/20/46 | 446,417 | 469,921 |
3.00%, due 1/20/47 | 509,894 | 536,559 |
3.00%, due 5/20/47 | 87,771 | 92,266 |
3.00%, due 12/20/47 | 271,718 | 285,402 |
3.00%, due 2/20/48 | 301,655 | 316,051 |
3.00%, due 3/20/48 | 356,781 | 373,499 |
3.00%, due 2/20/50 | 2,615,565 | 2,735,980 |
3.50%, due 11/20/42 | 168,435 | 179,503 |
3.50%, due 9/20/44 | 211,969 | 227,330 |
3.50%, due 7/20/45 | 529,622 | 566,921 |
3.50%, due 11/20/45 | 241,347 | 257,835 |
3.50%, due 7/20/46 | 26,090 | 27,694 |
3.50%, due 10/20/46 | 27,721 | 29,499 |
3.50%, due 11/20/46 | 339,636 | 360,571 |
3.50%, due 1/20/47 | 380,290 | 404,003 |
3.50%, due 5/20/47 | 277,937 | 294,387 |
3.50%, due 9/20/47 | 287,962 | 305,283 |
3.50%, due 10/20/47 | 513,637 | 547,143 |
3.50%, due 12/20/47 | 256,005 | 271,425 |
3.50%, due 7/20/48 | 138,170 | 145,969 |
3.50%, due 9/20/48 | 146,593 | 154,907 |
3.50%, due 10/20/48 | 148,120 | 156,562 |
3.50%, due 4/20/49 | 784,951 | 826,050 |
3.50%, due 7/20/49 | 903,455 | 950,559 |
4.00%, due 12/20/46 | 23,450 | 25,121 |
4.00%, due 1/20/47 | 181,049 | 193,970 |
4.00%, due 2/20/47 | 44,033 | 47,178 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
Government National Mortgage Association (Mortgage Pass-Through Securities) | ||
GNMA II, 30 Year | ||
4.00%, due 3/20/47 | $ 32,489 | $ 34,808 |
4.00%, due 4/20/47 | 72,451 | 77,692 |
4.00%, due 5/20/47 | 59,364 | 63,599 |
4.00%, due 7/20/47 | 24,010 | 25,721 |
4.00%, due 11/20/47 | 295,995 | 317,078 |
4.00%, due 12/20/47 | 64,406 | 68,991 |
4.00%, due 4/20/48 | 229,958 | 246,335 |
4.00%, due 5/20/48 | 100,683 | 107,615 |
4.00%, due 6/20/48 | 41,483 | 44,184 |
4.00%, due 8/20/48 | 281,079 | 299,451 |
4.00%, due 9/20/48 | 148,150 | 158,059 |
4.00%, due 3/20/49 | 39,066 | 41,633 |
4.50%, due 8/20/46 | 78,686 | 87,381 |
4.50%, due 4/20/47 | 67,717 | 73,395 |
4.50%, due 11/20/47 | 62,880 | 67,911 |
4.50%, due 1/20/48 | 153,050 | 165,194 |
4.50%, due 3/20/48 | 62,556 | 67,275 |
4.50%, due 5/20/48 | 53,931 | 57,563 |
4.50%, due 6/20/48 | 89,642 | 96,243 |
4.50%, due 8/20/48 | 170,857 | 183,034 |
5.00%, due 8/20/45 | 90,654 | 102,143 |
5.00%, due 11/20/46 | 57,036 | 65,039 |
5.00%, due 11/20/47 | 60,197 | 65,891 |
5.00%, due 3/20/48 | 39,038 | 42,960 |
5.00%, due 6/20/48 | 82,415 | 89,015 |
15,107,831 | ||
United States Treasury Bonds 5.0% | ||
U.S. Treasury Bonds | ||
1.25%, due 5/15/50 | 175,000 | 143,165 |
1.375%, due 8/15/50 | 150,000 | 126,574 |
1.625%, due 11/15/50 | 5,690,000 | 5,111,887 |
2.25%, due 8/15/49 | 475,000 | 492,367 |
2.375%, due 11/15/49 | 185,000 | 196,902 |
2.75%, due 8/15/47 | 235,000 | 266,734 |
2.75%, due 11/15/47 | 300,000 | 340,852 |
2.875%, due 11/15/46 | 140,000 | 162,165 |
2.875%, due 5/15/49 | 800,000 | 935,875 |
3.00%, due 2/15/47 | 815,000 | 965,711 |
3.00%, due 5/15/47 | 575,000 | 682,116 |
3.00%, due 2/15/48 | 1,950,000 | 2,318,672 |
3.00%, due 8/15/48 | 1,290,000 | 1,537,015 |
3.00%, due 2/15/49 | 845,000 | 1,010,105 |
3.125%, due 5/15/48 | 2,900,000 | 3,528,485 |
3.375%, due 11/15/48 | 550,000 | 700,649 |
3.625%, due 2/15/44 | 150,000 | 193,084 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
United States Treasury Bonds | ||
U.S. Treasury Bonds | ||
4.50%, due 2/15/36 | $ 1,900,000 | $ 2,596,246 |
4.625%, due 2/15/40 | 750,000 | 1,072,002 |
22,380,606 | ||
United States Treasury Notes 31.4% | ||
U.S. Treasury Notes | ||
0.125%, due 2/28/23 | 1,000,000 | 999,258 |
0.125%, due 4/30/23 | 2,000,000 | 1,997,344 |
0.125%, due 5/15/23 | 9,500,000 | 9,486,270 |
0.125%, due 5/31/23 | 1,500,000 | 1,497,598 |
0.125%, due 6/30/23 | 800,000 | 798,625 |
0.125%, due 7/15/23 | 6,300,000 | 6,286,957 |
0.125%, due 7/31/23 | 700,000 | 698,496 |
0.125%, due 8/15/23 | 4,000,000 | 3,990,000 |
0.125%, due 8/31/23 | 3,500,000 | 3,490,703 |
0.125%, due 9/15/23 | 2,250,000 | 2,243,145 |
0.125%, due 10/15/23 | 3,000,000 | 2,989,219 |
0.125%, due 12/15/23 | 1,500,000 | 1,492,969 |
0.125%, due 1/15/24 | 700,000 | 696,254 |
0.125%, due 2/15/24 | 400,000 | 397,703 |
0.25%, due 4/15/23 | 850,000 | 850,631 |
0.25%, due 6/15/23 | 5,450,000 | 5,451,277 |
0.25%, due 9/30/23 | 5,000,000 | 4,996,094 |
0.25%, due 11/15/23 | 3,000,000 | 2,995,781 |
0.25%, due 3/15/24 | 1,400,000 | 1,395,133 |
0.25%, due 5/15/24 | 1,300,000 | 1,293,754 |
0.25%, due 6/15/24 | 300,000 | 298,336 |
0.25%, due 5/31/25 | 1,850,000 | 1,818,781 |
0.25%, due 6/30/25 | 700,000 | 687,531 |
0.25%, due 8/31/25 | 950,000 | 930,592 |
0.375%, due 4/15/24 | 1,000,000 | 998,867 |
0.375%, due 7/15/24 | 400,000 | 398,906 |
0.375%, due 8/15/24 | 3,500,000 | 3,487,422 |
0.375%, due 9/15/24 | 6,000,000 | 5,974,219 |
0.375%, due 4/30/25 | 2,025,000 | 2,002,535 |
0.375%, due 7/31/27 | 975,000 | 933,105 |
0.50%, due 4/30/27 | 500,000 | 483,789 |
0.50%, due 5/31/27 | 1,050,000 | 1,014,357 |
0.50%, due 6/30/27 | 1,150,000 | 1,110,109 |
0.50%, due 8/31/27 | 2,500,000 | 2,406,250 |
0.625%, due 7/31/26 | 1,500,000 | 1,475,977 |
0.625%, due 12/31/27 | 450,000 | 434,145 |
0.625%, due 5/15/30 | 175,000 | 163,338 |
0.625%, due 8/15/30 | 250,000 | 232,568 |
0.75%, due 8/31/26 | 1,000,000 | 989,297 |
0.875%, due 9/30/26 | 2,000,000 | 1,989,219 |
0.875%, due 11/15/30 | 200,000 | 189,797 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
United States Treasury Notes | ||
U.S. Treasury Notes | ||
1.00%, due 7/31/28 | $ 525,000 | $ 514,828 |
1.125%, due 2/29/28 | 400,000 | 397,484 |
1.125%, due 8/31/28 | 1,330,000 | 1,314,206 |
1.125%, due 2/15/31 | 250,000 | 242,148 |
1.25%, due 3/31/28 | 200,000 | 200,008 |
1.25%, due 4/30/28 | 475,000 | 474,666 |
1.25%, due 5/31/28 | 3,900,000 | 3,894,363 |
1.25%, due 6/30/28 | 1,200,000 | 1,197,469 |
1.25%, due 9/30/28 | 2,000,000 | 1,991,562 |
1.25%, due 8/15/31 | 2,500,000 | 2,439,453 |
1.50%, due 10/31/24 | 3,100,000 | 3,191,062 |
1.625%, due 8/15/29 | 1,050,000 | 1,069,441 |
1.625%, due 5/15/31 | 1,275,000 | 1,289,941 |
1.75%, due 6/30/24 | 2,875,000 | 2,976,299 |
1.75%, due 7/31/24 | 2,100,000 | 2,175,387 |
1.875%, due 8/31/24 | 650,000 | 675,873 |
2.00%, due 4/30/24 | 4,035,000 | 4,198,449 |
2.00%, due 5/31/24 | 1,400,000 | 1,457,531 |
2.125%, due 7/31/24 | 150,000 | 156,938 |
2.375%, due 5/15/29 | 825,000 | 885,586 |
2.50%, due 3/31/23 | 100,000 | 103,457 |
2.625%, due 6/30/23 | 1,900,000 | 1,979,117 |
2.625%, due 12/31/23 | 150,000 | 157,635 |
2.75%, due 4/30/23 | 5,425,000 | 5,642,848 |
2.75%, due 5/31/23 | 1,700,000 | 1,771,387 |
2.75%, due 7/31/23 | 4,675,000 | 4,888,114 |
2.75%, due 8/31/23 | 8,300,000 | 8,692,629 |
2.75%, due 6/30/25 | 275,000 | 295,539 |
2.875%, due 9/30/23 | 2,875,000 | 3,022,456 |
2.875%, due 10/31/23 | 2,300,000 | 2,422,367 |
2.875%, due 11/30/23 | 600,000 | 632,930 |
2.875%, due 5/31/25 | 300,000 | 323,520 |
142,741,044 | ||
Total U.S. Government & Federal Agencies (Cost $231,470,110) | 237,396,399 | |
Total Long-Term Bonds (Cost $438,472,647) | 448,740,663 | |
Shares | Value | ||
Short-Term Investment 8.5% | |||
Unaffiliated Investment Company 8.5% | |||
J.P. Morgan U.S. Government Money Market Fund, 0.026% (d)(e) | 38,644,241 | $ 38,644,241 | |
Total Short-Term Investment (Cost $38,644,241) | 38,644,241 | ||
Total Investments (Cost $477,116,888) | 107.3% | 487,384,904 | |
Other Assets, Less Liabilities | (7.3) | (33,010,946) | |
Net Assets | 100.0% | $ 454,373,958 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | Fixed to floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(b) | Step coupon—Rate shown was the rate in effect as of September 30, 2021. |
(c) | TBA—Security purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. As of September 30, 2021, the total net market value was $51,295,492, which represented 11.3% of the Portfolio’s net assets. All or a portion of this security is a part of a mortgage dollar roll agreement. |
(d) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. Rate shown was the rate in effect as of September 30, 2021. |
(e) | Current yield as of September 30, 2021. |
Futures Contracts
As of September 30, 2021, the Portfolio held the following futures contracts1:
Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 |
Long Contracts | |||||
U.S. Treasury 5 Year Notes | 52 | December 2021 | $ 6,411,994 | $ 6,382,594 | $ (29,400) |
U.S. Treasury 10 Year Notes | 44 | December 2021 | 5,836,384 | 5,790,813 | (45,572) |
U.S. Treasury 10 Year Ultra Bonds | 61 | December 2021 | 8,984,905 | 8,860,250 | (124,655) |
U.S. Treasury Long Bonds | 131 | December 2021 | 21,310,126 | 20,857,656 | (452,470) |
U.S. Treasury Ultra Bonds | 27 | December 2021 | 5,295,038 | 5,158,687 | (136,350) |
Total Long Contracts | (788,447) | ||||
Short Contracts | |||||
U.S. Treasury 2 Year Notes | (162) | December 2021 | (35,668,501) | (35,648,859) | 19,642 |
Net Unrealized Depreciation | $ (768,805) |
1. | As of September 30, 2021, cash in the amount of $835,910 was on deposit with a broker or futures commission merchant for futures transactions. |
2. | Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2021. |
Abbreviation(s): |
FFCB—Federal Farm Credit Bank |
FHLB—Federal Home Loan Bank |
FHLMC—Federal Home Loan Mortgage Corp. |
FNMA—Federal National Mortgage Association |
GNMA—Government National Mortgage Association |
REMIC—Real Estate Mortgage Investment Conduit |
TBA—To Be Announced |
UMBS—Uniform Mortgage Backed Securities |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets and liabilities:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Long-Term Bonds | |||||||
Asset-Backed Securities | $ — | $ 157,043 | $ — | $ 157,043 | |||
Corporate Bonds | — | 134,361,136 | — | 134,361,136 | |||
Foreign Government Bonds | — | 13,817,624 | — | 13,817,624 | |||
Mortgage-Backed Securities | — | 63,008,461 | — | 63,008,461 | |||
U.S. Government & Federal Agencies | — | 237,396,399 | — | 237,396,399 | |||
Total Long-Term Bonds | — | 448,740,663 | — | 448,740,663 | |||
Short-Term Investment | |||||||
Unaffiliated Investment Company | 38,644,241 | — | — | 38,644,241 | |||
Total Investments in Securities | 38,644,241 | 448,740,663 | — | 487,384,904 | |||
Other Financial Instruments | |||||||
Futures Contracts (b) | 19,642 | — | — | 19,642 | |||
Total Investments in Securities and Other Financial Instruments | $ 38,663,883 | $ 448,740,663 | $ — | $ 487,404,546 | |||
Liability Valuation Inputs | |||||||
Other Financial Instruments | |||||||
Futures Contracts (b) | $ (788,447) | $ — | $ — | $ (788,447) | |||
Total Investments in Securities and Other Financial Instruments | $ (788,447) | $ — | $ — | $ (788,447) |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
(b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP IQ Hedge Multi-Strategy Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Exchange-Traded Funds 91.3% | ||
Bonds 69.2% | ||
Affiliated Investment Company 14.0% | ||
IQ Ultra Short Duration ETF | 1,070,429 | $ 52,964,827 |
Bank Loan Funds 10.5% | ||
Invesco Senior Loan ETF (a) | 831,485 | 18,384,133 |
SPDR Blackstone Senior Loan ETF | 465,768 | 21,434,644 |
39,818,777 | ||
Convertible Bond Funds 9.4% | ||
iShares Convertible Bond ETF | 74,864 | 7,466,935 |
SPDR Bloomberg Barclays Convertible Securities ETF | 331,048 | 28,254,947 |
35,721,882 | ||
Emerging Bonds—Local Currency Funds 1.9% | ||
SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a) | 77,231 | 1,953,944 |
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF (a) | 176,329 | 5,284,580 |
7,238,524 | ||
Emerging Bonds—USD Funds 1.5% | ||
iShares J.P. Morgan USD Emerging Markets Bond ETF | 45,018 | 4,954,681 |
Vanguard Emerging Markets Government Bond ETF | 9,280 | 726,624 |
5,681,305 | ||
Floating Rate—Investment Grade Funds 2.1% | ||
iShares Floating Rate Bond ETF (a) | 113,575 | 5,774,153 |
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | 70,366 | 2,157,422 |
7,931,575 | ||
High Yield Corporate Bond Funds 1.5% | ||
iShares 0-5 Year High Yield Corporate Bond ETF (a) | 6,393 | 292,160 |
iShares iBoxx High Yield Corporate Bond ETF (a) | 33,607 | 2,940,276 |
SPDR Bloomberg Barclays High Yield Bond ETF (a) | 12,551 | 1,372,577 |
SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 9,594 | 262,780 |
Xtrackers USD High Yield Corporate Bond ETF (a) | 24,370 | 976,750 |
5,844,543 | ||
International Bond Fund 1.9% | ||
SPDR Bloomberg Barclays International Treasury Bond ETF (a) | 245,676 | 7,058,271 |
Investment Grade Corporate Bond Funds 19.6% | ||
iShares Broad USD Investment Grade Corporate Bond ETF | 2,294 | 137,869 |
iShares iBoxx $ Investment Grade Corporate Bond ETF | 7,404 | 984,954 |
SPDR Portfolio Short Term Corporate Bond ETF | 365,355 | 11,417,344 |
Vanguard Intermediate-Term Corporate Bond ETF (a) | 11,456 | 1,081,561 |
Vanguard Short-Term Corporate Bond ETF (a) | 737,776 | 60,800,120 |
74,421,848 | ||
Mortgage-Backed Security Funds 0.5% | ||
iShares MBS ETF (a) | 9,171 | 991,752 |
Shares | Value | |
Bonds | ||
Mortgage-Backed Security Funds | ||
SPDR Portfolio Mortgage Backed Bond ETF | 6,355 | $ 163,451 |
Vanguard Mortgage-Backed Securities ETF | 11,215 | 597,647 |
1,752,850 | ||
Municipal Bond Fund 0.1% | ||
VanEck Vectors High Yield Muni ETF (a) | 7,175 | 448,294 |
U.S. Medium Term Treasury Bond Funds 6.1% | ||
iShares 3-7 Year Treasury Bond ETF | 84,273 | 10,969,816 |
Schwab Intermediate-Term U.S. Treasury ETF | 71,573 | 4,058,905 |
Vanguard Intermediate-Term Treasury ETF | 118,919 | 8,032,979 |
23,061,700 | ||
U.S. Ultra Short Term Bond Fund 0.1% | ||
Invesco Treasury Collateral ETF | 3,215 | 339,697 |
Total Bonds (Cost $260,807,522) | 262,284,093 | |
Equities 22.1% | ||
BRIC Equity Funds 2.6% | ||
iShares MSCI China ETF (a) | 111,735 | 7,545,465 |
SPDR S&P China ETF | 19,925 | 2,200,716 |
9,746,181 | ||
Emerging Equity Funds 2.5% | ||
iShares Core MSCI Emerging Markets ETF | 75,893 | 4,687,152 |
Vanguard FTSE Emerging Markets ETF (a) | 94,464 | 4,724,144 |
9,411,296 | ||
Emerging Small Cap Equity Fund 1.9% | ||
SPDR S&P Emerging Markets SmallCap ETF | 122,769 | 7,200,402 |
Europe Equity Funds 5.2% | ||
iShares Core MSCI Europe ETF | 70,764 | 3,967,030 |
Vanguard FTSE Europe ETF | 239,418 | 15,708,215 |
19,675,245 | ||
International Equity Core Funds 0.5% | ||
iShares Core MSCI EAFE ETF | 11,983 | 889,738 |
Vanguard FTSE Developed Markets ETF | 18,286 | 923,260 |
1,812,998 | ||
International Large Cap Growth Fund 0.5% | ||
iShares MSCI EAFE Growth ETF (a) | 17,985 | 1,914,863 |
International Small Cap Equity Funds 2.0% | ||
Schwab International Small-Cap Equity ETF | 51,238 | 2,127,402 |
Shares | Value | |
Equities | ||
International Small Cap Equity Funds | ||
Vanguard FTSE All World ex-US Small-Cap ETF (a) | 41,542 | $ 5,553,750 |
7,681,152 | ||
Japan Equity Fund 0.1% | ||
iShares MSCI Japan ETF | 4,186 | 294,067 |
U.S. Large Cap Core Funds 1.5% | ||
Energy Select Sector SPDR Fund | 26,605 | 1,385,854 |
Financial Select Sector SPDR Fund | 66,541 | 2,497,284 |
Health Care Select Sector SPDR Fund | 1,177 | 149,832 |
Technology Select Sector SPDR Fund | 2,523 | 376,734 |
Vanguard Energy ETF (a) | 4,130 | 305,207 |
Vanguard Financials ETF | 6,835 | 633,263 |
Vanguard Health Care ETF (a) | 699 | 172,765 |
Vanguard Information Technology ETF (a) | 247 | 99,119 |
5,620,058 | ||
U.S. Large Cap Growth Funds 1.1% | ||
Schwab U.S. Large-Cap Growth ETF | 3,858 | 571,331 |
Vanguard Growth ETF | 10,250 | 2,974,242 |
Vanguard Mega Cap Growth ETF (a) | 1,866 | 438,137 |
Vanguard Russell 1000 Growth ETF (a) | 3,636 | 256,229 |
4,239,939 | ||
U.S. Preferred Funds 1.7% | ||
Invesco Preferred ETF (a) | 117,679 | 1,768,715 |
iShares Preferred & Income Securities ETF (a) | 122,473 | 4,753,177 |
6,521,892 | ||
U.S. Small Cap Growth Funds 2.5% | ||
iShares Russell 2000 Growth ETF (a) | 11,314 | 3,321,677 |
iShares S&P Small-Cap 600 Growth ETF | 13,539 | 1,760,611 |
Vanguard Small-Cap Growth ETF (a) | 16,204 | 4,539,713 |
9,622,001 | ||
Total Equities (Cost $83,423,525) | 83,740,094 | |
Total Exchange-Traded Funds (Cost $344,231,047) | 346,024,187 | |
Exchange-Traded Note 0.3% | ||
Volatility 0.3% | ||
Volatility 0.3% | ||
iPath Series B S&P 500 VIX Short-Term Futures ETN (a)(b) | 36,041 | 1,003,021 |
Total Volatility (Cost $1,137,591) | 1,003,021 | |
Total Exchange-Traded Note (Cost $1,137,591) | 1,003,021 |
Shares | Value | ||
Exchange-Traded Vehicles 7.7% | |||
Commodities 4.8% | |||
Broad Funds 0.2% | |||
FlexShares Global Upstream Natural Resources Index Fund (a) | 16,902 | $ 618,613 | |
SPDR S&P Global Natural Resources ETF | 4,998 | 256,648 | |
875,261 | |||
Gold Funds 2.7% | |||
Aberdeen Standard Physical Gold Shares ETF (a)(b) | 39,270 | 661,700 | |
Graniteshares Gold Trust (a)(b) | 16,893 | 294,614 | |
iShares Gold Trust (b) | 237,864 | 7,947,036 | |
SPDR Gold MiniShares Trust (b) | 71,805 | 1,253,715 | |
10,157,065 | |||
Silver Funds 1.9% | |||
Aberdeen Standard Physical Silver Shares ETF (b) | 23,287 | 497,643 | |
iShares Silver Trust (b) | 322,752 | 6,622,871 | |
7,120,514 | |||
Total Commodities (Cost $19,485,674) | 18,152,840 | ||
Currency 2.9% | |||
U.S. Dollar Fund 2.9% | |||
Invesco DB US Dollar Index Bullish Fund (a) | 437,703 | 11,078,263 | |
Total Currency (Cost $10,800,746) | 11,078,263 | ||
Total Exchange-Traded Vehicles (Cost $30,286,420) | 29,231,103 | ||
Short-Term Investments 14.8% | |||
Affiliated Investment Company 0.7% | |||
MainStay U.S. Government Liquidity Fund, 0.01%, (c) | 2,639,490 | 2,639,490 | |
Unaffiliated Investment Companies 14.1% | |||
BlackRock Liquidity FedFund, 0.03%, (c)(d) | 45,000,000 | 45,000,000 | |
Wells Fargo Government Money Market Fund, 0.03%, (c)(d) | 8,405,644 | 8,405,644 | |
Total Unaffiliated Investment Companies (Cost $53,405,644) | 53,405,644 | ||
Total Short-Term Investments (Cost $56,045,134) | 56,045,134 | ||
Total Investments (Cost $431,700,192) | 114.1% | 432,303,445 | |
Other Assets, Less Liabilities | (14.1) | (53,366,441) | |
Net Assets | 100.0% | $ 378,937,004 |
† | Percentages indicated are based on Portfolio net assets. |
(a) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $64,432,039; the total market value of collateral held by the Portfolio was $65,831,955. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $12,426,311. The Portfolio received cash collateral with a value of $53,405,644. |
(b) | Non-income producing security. |
(c) | Current yield as of September 30, 2021. |
(d) | Represents a security purchased with cash collateral received for securities on loan. |
Swap Contracts
Open OTC total return equity swap contracts as of September 30, 2021 were as follows1:
Swap Counterparty | Reference Obligation | Floating Rate2 | Termination Date(s) | Payment Frequency Paid/ Received | Notional Amount Long/ (Short) (000)3 | Unrealized Appreciation/ (Depreciation)4 |
Morgan Stanley & Co. | Aberdeen Standard Physical Gold Shares ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 17 | $ — |
Bank of America Merrill Lynch | Aberdeen Standard Physical Gold Shares ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 17 | — |
Morgan Stanley & Co. | Aberdeen Standard Physical Silver Shares ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 13 | — |
Bank of America Merrill Lynch | Aberdeen Standard Physical Silver Shares ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 13 | — |
Morgan Stanley & Co. | Consumer Discretionary Select Sector SPDR Fund | Federal Fund Rate minus 0.05% | 9/14/22 | Monthly | (386) | — |
Bank of America Merrill Lynch | Consumer Discretionary Select Sector SPDR Fund | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (386) | — |
Morgan Stanley & Co. | Energy Select Sector SPDR Fund | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 36 | — |
Bank of America Merrill Lynch | Energy Select Sector SPDR Fund | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 36 | — |
Morgan Stanley & Co. | Fidelity MSCI Real Estate Index ETF | Federal Fund Rate minus 30.58% | 9/14/22 | Monthly | (36) | — |
Bank of America Merrill Lynch | Fidelity MSCI Real Estate Index ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (36) | — |
Morgan Stanley & Co. | Financial Select Sector SPDR Fund | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 65 | — |
Bank of America Merrill Lynch | Financial Select Sector SPDR Fund | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 65 | — |
Morgan Stanley & Co. | FlexShares Global Upstream Natural Resources Index Fund | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 16 | — |
Bank of America Merrill Lynch | FlexShares Global Upstream Natural Resources Index Fund | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 16 | — |
Morgan Stanley & Co. | Graniteshares Gold Trust | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 8 | — |
Bank of America Merrill Lynch | Graniteshares Gold Trust | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 8 | — |
Morgan Stanley & Co. | Health Care Select Sector SPDR Fund | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 4 | — |
Bank of America Merrill Lynch | Health Care Select Sector SPDR Fund | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 4 | — |
Morgan Stanley & Co. | Invesco DB US Dollar Index Bullish Fund | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 289 | — |
Bank of America Merrill Lynch | Invesco DB US Dollar Index Bullish Fund | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 289 | — |
Morgan Stanley & Co. | Invesco KBW Bank ETF | Federal Fund Rate minus 3.28% | 9/14/22 | Monthly | (48) | — |
Bank of America Merrill Lynch | Invesco KBW Bank ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (48) | — |
Swap Counterparty | Reference Obligation | Floating Rate2 | Termination Date(s) | Payment Frequency Paid/ Received | Notional Amount Long/ (Short) (000)3 | Unrealized Appreciation/ (Depreciation)4 |
Morgan Stanley & Co. | Invesco Preferred ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 46 | $ — |
Bank of America Merrill Lynch | Invesco Preferred ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 46 | — |
Morgan Stanley & Co. | Invesco Senior Loan ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 480 | — |
Bank of America Merrill Lynch | Invesco Senior Loan ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 480 | — |
Morgan Stanley & Co. | Invesco Treasury Collateral ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 9 | — |
Bank of America Merrill Lynch | Invesco Treasury Collateral ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 9 | — |
Morgan Stanley & Co. | iPath Series B S&P 500 VIX Short-Term Futures ETN | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 26 | — |
Bank of America Merrill Lynch | iPath Series B S&P 500 VIX Short-Term Futures ETN | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 26 | — |
Morgan Stanley & Co. | IQ Ultra Short Duration ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 1,383 | — |
Bank of America Merrill Lynch | IQ Ultra Short Duration ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 1,383 | — |
Morgan Stanley & Co. | iShares 0-5 Year High Yield Corporate Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 8 | — |
Bank of America Merrill Lynch | iShares 0-5 Year High Yield Corporate Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 8 | — |
Morgan Stanley & Co. | iShares 20+ Year Treasury Bond ETF | Federal Fund Rate minus 0.83% | 9/14/22 | Monthly | (1,339) | — |
Bank of America Merrill Lynch | iShares 20+ Year Treasury Bond ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (1,339) | — |
Morgan Stanley & Co. | iShares 3-7 Year Treasury Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 287 | — |
Bank of America Merrill Lynch | iShares 3-7 Year Treasury Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 287 | — |
Morgan Stanley & Co. | iShares Broad USD Investment Grade Corporate Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 4 | — |
Bank of America Merrill Lynch | iShares Broad USD Investment Grade Corporate Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 4 | — |
Morgan Stanley & Co. | iShares Convertible Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 195 | — |
Bank of America Merrill Lynch | iShares Convertible Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 195 | — |
Morgan Stanley & Co. | iShares Core MSCI EAFE ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 23 | — |
Bank of America Merrill Lynch | iShares Core MSCI EAFE ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 23 | — |
Morgan Stanley & Co. | iShares Core MSCI Emerging Markets ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 122 | — |
Bank of America Merrill Lynch | iShares Core MSCI Emerging Markets ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 122 | — |
Morgan Stanley & Co. | iShares Core MSCI Europe ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 104 | — |
Bank of America Merrill Lynch | iShares Core MSCI Europe ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 104 | — |
Morgan Stanley & Co. | iShares Core S&P U.S. Value ETF | Federal Fund Rate minus 0.63% | 9/14/22 | Monthly | (125) | — |
Bank of America Merrill Lynch | iShares Core S&P U.S. Value ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (125) | — |
Morgan Stanley & Co. | iShares Core U.S. REIT ETF | Federal Fund Rate minus 3.13% | 9/14/22 | Monthly | (43) | — |
Bank of America Merrill Lynch | iShares Core U.S. REIT ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (43) | — |
Swap Counterparty | Reference Obligation | Floating Rate2 | Termination Date(s) | Payment Frequency Paid/ Received | Notional Amount Long/ (Short) (000)3 | Unrealized Appreciation/ (Depreciation)4 |
Morgan Stanley & Co. | iShares Floating Rate Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 151 | $ — |
Bank of America Merrill Lynch | iShares Floating Rate Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 151 | — |
Morgan Stanley & Co. | iShares Gold Trust | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 208 | — |
Bank of America Merrill Lynch | iShares Gold Trust | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 208 | — |
Morgan Stanley & Co. | iShares iBoxx $ Investment Grade Corporate Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 26 | — |
Bank of America Merrill Lynch | iShares iBoxx $ Investment Grade Corporate Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 26 | — |
Morgan Stanley & Co. | iShares iBoxx High Yield Corporate Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 77 | — |
Bank of America Merrill Lynch | iShares iBoxx High Yield Corporate Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 77 | — |
Morgan Stanley & Co. | iShares J.P. Morgan USD Emerging Markets Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 129 | — |
Bank of America Merrill Lynch | iShares J.P. Morgan USD Emerging Markets Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 129 | — |
Morgan Stanley & Co. | iShares MBS ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 26 | — |
Bank of America Merrill Lynch | iShares MBS ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 26 | — |
Morgan Stanley & Co. | iShares MSCI China ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 197 | — |
Bank of America Merrill Lynch | iShares MSCI China ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 197 | — |
Morgan Stanley & Co. | iShares MSCI EAFE Growth ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 50 | — |
Bank of America Merrill Lynch | iShares MSCI EAFE Growth ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 50 | — |
Morgan Stanley & Co. | iShares MSCI Emerging Markets Min Vol Factor ETF | Federal Fund Rate minus 0.35% | 9/14/22 | Monthly | (1,928) | — |
Bank of America Merrill Lynch | iShares MSCI Emerging Markets Min Vol Factor ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (1,928) | — |
Morgan Stanley & Co. | iShares MSCI Japan ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 8 | — |
Bank of America Merrill Lynch | iShares MSCI Japan ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 8 | — |
Morgan Stanley & Co. | iShares MSCI USA Momentum Factor ETF | Federal Fund Rate minus 0.35% | 9/14/22 | Monthly | (456) | — |
Bank of America Merrill Lynch | iShares MSCI USA Momentum Factor ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (456) | — |
Morgan Stanley & Co. | iShares Preferred & Income Securities ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 124 | — |
Bank of America Merrill Lynch | iShares Preferred & Income Securities ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 124 | — |
Morgan Stanley & Co. | iShares Russell 2000 Growth ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 87 | — |
Bank of America Merrill Lynch | iShares Russell 2000 Growth ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 87 | — |
Morgan Stanley & Co. | iShares Russell 2000 Value ETF | Federal Fund Rate minus 0.68% | 9/14/22 | Monthly | (101) | — |
Bank of America Merrill Lynch | iShares Russell 2000 Value ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (101) | — |
Morgan Stanley & Co. | iShares S&P Small-Cap 600 Growth ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 46 | — |
Bank of America Merrill Lynch | iShares S&P Small-Cap 600 Growth ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 46 | — |
Swap Counterparty | Reference Obligation | Floating Rate2 | Termination Date(s) | Payment Frequency Paid/ Received | Notional Amount Long/ (Short) (000)3 | Unrealized Appreciation/ (Depreciation)4 |
Morgan Stanley & Co. | iShares S&P Small-Cap 600 Value ETF | Federal Fund Rate minus 3.03% | 9/14/22 | Monthly | (57) | $ — |
Bank of America Merrill Lynch | iShares S&P Small-Cap 600 Value ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (57) | — |
Morgan Stanley & Co. | iShares Silver Trust | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 173 | — |
Bank of America Merrill Lynch | iShares Silver Trust | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 173 | — |
Morgan Stanley & Co. | iShares TIPS Bond ETF | Federal Fund Rate minus 0.35% | 9/14/22 | Monthly | (153) | — |
Bank of America Merrill Lynch | iShares TIPS Bond ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (153) | — |
Morgan Stanley & Co. | Schwab Intermediate-Term U.S. Treasury ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 106 | — |
Bank of America Merrill Lynch | Schwab Intermediate-Term U.S. Treasury ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 106 | — |
Morgan Stanley & Co. | Schwab International Small-Cap Equity ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 56 | — |
Bank of America Merrill Lynch | Schwab International Small-Cap Equity ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 56 | — |
Morgan Stanley & Co. | Schwab U.S. Large-Cap Growth ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 15 | — |
Bank of America Merrill Lynch | Schwab U.S. Large-Cap Growth ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 15 | — |
Morgan Stanley & Co. | Schwab U.S. Large-Cap Value ETF | Federal Fund Rate minus 0.35% | 9/14/22 | Monthly | (116) | — |
Bank of America Merrill Lynch | Schwab U.S. Large-Cap Value ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (116) | — |
Morgan Stanley & Co. | Schwab U.S. TIPS ETF | Federal Fund Rate minus 1.18% | 9/14/22 | Monthly | (90) | — |
Bank of America Merrill Lynch | Schwab U.S. TIPS ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (90) | — |
Morgan Stanley & Co. | SPDR Blackstone Senior Loan ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 560 | — |
Bank of America Merrill Lynch | SPDR Blackstone Senior Loan ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 560 | — |
Morgan Stanley & Co. | SPDR Bloomberg Barclays Convertible Securities ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 738 | — |
Bank of America Merrill Lynch | SPDR Bloomberg Barclays Convertible Securities ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 738 | — |
Morgan Stanley & Co. | SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 51 | — |
Bank of America Merrill Lynch | SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 51 | — |
Morgan Stanley & Co. | SPDR Bloomberg Barclays High Yield Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 36 | — |
Bank of America Merrill Lynch | SPDR Bloomberg Barclays High Yield Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 36 | — |
Morgan Stanley & Co. | SPDR Bloomberg Barclays International Treasury Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 184 | — |
Bank of America Merrill Lynch | SPDR Bloomberg Barclays International Treasury Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 184 | — |
Morgan Stanley & Co. | SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 56 | — |
Bank of America Merrill Lynch | SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 56 | — |
Morgan Stanley & Co. | SPDR Bloomberg Barclays Short Term High Yield Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 7 | — |
Bank of America Merrill Lynch | SPDR Bloomberg Barclays Short Term High Yield Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 7 | — |
Swap Counterparty | Reference Obligation | Floating Rate2 | Termination Date(s) | Payment Frequency Paid/ Received | Notional Amount Long/ (Short) (000)3 | Unrealized Appreciation/ (Depreciation)4 |
Morgan Stanley & Co. | SPDR Dow Jones International Real Estate ETF | Federal Fund Rate minus 0.73% | 9/14/22 | Monthly | (277) | $ — |
Bank of America Merrill Lynch | SPDR Dow Jones International Real Estate ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (277) | — |
Morgan Stanley & Co. | SPDR Gold MiniShares Trust | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 33 | — |
Bank of America Merrill Lynch | SPDR Gold MiniShares Trust | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 33 | — |
Morgan Stanley & Co. | SPDR Portfolio Long Term Treasury ETF | Federal Fund Rate minus 0.35% | 9/14/22 | Monthly | (329) | — |
Bank of America Merrill Lynch | SPDR Portfolio Long Term Treasury ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (329) | — |
Morgan Stanley & Co. | SPDR Portfolio Mortgage Backed Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 4 | — |
Bank of America Merrill Lynch | SPDR Portfolio Mortgage Backed Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 4 | — |
Morgan Stanley & Co. | SPDR Portfolio S&P 500 Value ETF | Federal Fund Rate minus 1.03% | 9/14/22 | Monthly | (148) | — |
Bank of America Merrill Lynch | SPDR Portfolio S&P 500 Value ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (148) | — |
Morgan Stanley & Co. | SPDR Portfolio Short Term Corporate Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 298 | — |
Bank of America Merrill Lynch | SPDR Portfolio Short Term Corporate Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 298 | — |
Morgan Stanley & Co. | SPDR S&P Bank ETF | Federal Fund Rate minus 0.35% | 9/14/22 | Monthly | (51) | — |
Bank of America Merrill Lynch | SPDR S&P Bank ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (51) | — |
Morgan Stanley & Co. | SPDR S&P China ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 57 | — |
Bank of America Merrill Lynch | SPDR S&P China ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 57 | — |
Morgan Stanley & Co. | SPDR S&P Emerging Markets SmallCap ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 188 | — |
Bank of America Merrill Lynch | SPDR S&P Emerging Markets SmallCap ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 188 | — |
Morgan Stanley & Co. | SPDR S&P Global Natural Resources ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 7 | — |
Bank of America Merrill Lynch | SPDR S&P Global Natural Resources ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 7 | — |
Morgan Stanley & Co. | Technology Select Sector SPDR Fund | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 10 | — |
Bank of America Merrill Lynch | Technology Select Sector SPDR Fund | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 10 | — |
Morgan Stanley & Co. | VanEck Vectors High Yield Muni ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 12 | — |
Bank of America Merrill Lynch | VanEck Vectors High Yield Muni ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 12 | — |
Morgan Stanley & Co. | VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 138 | — |
Bank of America Merrill Lynch | VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 138 | — |
Morgan Stanley & Co. | Vanguard Consumer Discretionary ETF | Federal Fund Rate minus 4.88% | 9/14/22 | Monthly | (128) | — |
Bank of America Merrill Lynch | Vanguard Consumer Discretionary ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (128) | — |
Morgan Stanley & Co. | Vanguard Emerging Markets Government Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 19 | — |
Bank of America Merrill Lynch | Vanguard Emerging Markets Government Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 19 | — |
Swap Counterparty | Reference Obligation | Floating Rate2 | Termination Date(s) | Payment Frequency Paid/ Received | Notional Amount Long/ (Short) (000)3 | Unrealized Appreciation/ (Depreciation)4 |
Morgan Stanley & Co. | Vanguard Energy ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 8 | $ — |
Bank of America Merrill Lynch | Vanguard Energy ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 8 | — |
Morgan Stanley & Co. | Vanguard Financials ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 16 | — |
Bank of America Merrill Lynch | Vanguard Financials ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 16 | — |
Morgan Stanley & Co. | Vanguard FTSE All World ex-US Small-Cap ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 145 | — |
Bank of America Merrill Lynch | Vanguard FTSE All World ex-US Small-Cap ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 145 | — |
Morgan Stanley & Co. | Vanguard FTSE Developed Markets ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 24 | — |
Bank of America Merrill Lynch | Vanguard FTSE Developed Markets ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 24 | — |
Morgan Stanley & Co. | Vanguard FTSE Emerging Markets ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 123 | — |
Bank of America Merrill Lynch | Vanguard FTSE Emerging Markets ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 123 | — |
Morgan Stanley & Co. | Vanguard FTSE Europe ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 410 | — |
Bank of America Merrill Lynch | Vanguard FTSE Europe ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 410 | — |
Morgan Stanley & Co. | Vanguard Global ex-U.S. Real Estate ETF | Federal Fund Rate minus 0.35% | 9/14/22 | Monthly | (1,558) | — |
Bank of America Merrill Lynch | Vanguard Global ex-U.S. Real Estate ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (1,558) | — |
Morgan Stanley & Co. | Vanguard Growth ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 78 | — |
Bank of America Merrill Lynch | Vanguard Growth ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 78 | — |
Morgan Stanley & Co. | Vanguard Health Care ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 4 | — |
Bank of America Merrill Lynch | Vanguard Health Care ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 4 | — |
Morgan Stanley & Co. | Vanguard Information Technology ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 2 | — |
Bank of America Merrill Lynch | Vanguard Information Technology ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 2 | — |
Morgan Stanley & Co. | Vanguard Intermediate-Term Corporate Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 28 | — |
Bank of America Merrill Lynch | Vanguard Intermediate-Term Corporate Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 28 | — |
Morgan Stanley & Co. | Vanguard Intermediate-Term Treasury ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 210 | — |
Bank of America Merrill Lynch | Vanguard Intermediate-Term Treasury ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 210 | — |
Morgan Stanley & Co. | Vanguard Long-Term Treasury ETF | Federal Fund Rate minus 1.98% | 9/14/22 | Monthly | (190) | — |
Bank of America Merrill Lynch | Vanguard Long-Term Treasury ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (190) | — |
Morgan Stanley & Co. | Vanguard Mega Cap Growth ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 12 | — |
Bank of America Merrill Lynch | Vanguard Mega Cap Growth ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 12 | — |
Morgan Stanley & Co. | Vanguard Mortgage-Backed Securities ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 16 | — |
Bank of America Merrill Lynch | Vanguard Mortgage-Backed Securities ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 16 | — |
Swap Counterparty | Reference Obligation | Floating Rate2 | Termination Date(s) | Payment Frequency Paid/ Received | Notional Amount Long/ (Short) (000)3 | Unrealized Appreciation/ (Depreciation)4 |
Morgan Stanley & Co. | Vanguard Real Estate ETF | Federal Fund Rate minus 0.15% | 9/14/22 | Monthly | (827) | $ — |
Bank of America Merrill Lynch | Vanguard Real Estate ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (827) | — |
Morgan Stanley & Co. | Vanguard Russell 1000 Growth ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 7 | — |
Bank of America Merrill Lynch | Vanguard Russell 1000 Growth ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 7 | — |
Morgan Stanley & Co. | Vanguard Russell 1000 Value ETF | Federal Fund Rate minus 0.93% | 9/14/22 | Monthly | (77) | — |
Bank of America Merrill Lynch | Vanguard Russell 1000 Value ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (77) | — |
Morgan Stanley & Co. | Vanguard Short-Term Corporate Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 1,588 | — |
Bank of America Merrill Lynch | Vanguard Short-Term Corporate Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 1,588 | — |
Morgan Stanley & Co. | Vanguard Small-Cap Growth ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 119 | — |
Bank of America Merrill Lynch | Vanguard Small-Cap Growth ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 119 | — |
Morgan Stanley & Co. | Vanguard Small-Cap Value ETF | Federal Fund Rate minus 0.35% | 9/14/22 | Monthly | (158) | — |
Bank of America Merrill Lynch | Vanguard Small-Cap Value ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (158) | — |
Morgan Stanley & Co. | Vanguard Value ETF | Federal Fund Rate minus 0.35% | 9/14/22 | Monthly | (1,001) | — |
Bank of America Merrill Lynch | Vanguard Value ETF | Federal Funds Composite Interest Rate | 3/2/23 | Overnight | (1,001) | — |
Morgan Stanley & Co. | Xtrackers USD High Yield Corporate Bond ETF | Federal Fund Rate plus 0.50% | 9/14/22 | Monthly | 25 | — |
Bank of America Merrill Lynch | Xtrackers USD High Yield Corporate Bond ETF | Federal Funds Composite Interest Rate plus 0.50% | 3/2/23 | Overnight | 25 | — |
$ — |
1. | As of September 30, 2021, cash in the amount $580,000 was pledged to brokers for OTC swap contracts. |
2. | Portfolio pays or receives the floating rate and receives or pays the total return of the referenced entity. |
3. | Notional amounts reflected as a positive value indicate a long position held by the Portfolio or Index and a negative value indicates a short position. |
4. | Reflects the value at reset date as of September 30, 2021. |
Abbreviation(s): |
BRIC—Brazil, Russia, India and China |
DB—Deutsche Bank |
EAFE—Europe, Australasia and Far East |
EM—Emerging Markets |
ETF—Exchange-Traded Fund |
ETN—Exchange-Traded Note |
FTSE—Financial Times Stock Exchange |
KBW—Keefe, Bruyette & Woods |
MBS—Mortgage-Backed Security |
MSCI—Morgan Stanley Capital International |
REIT—Real Estate Investment Trust |
SPDR—Standard & Poor’s Depositary Receipt |
TIPS—Treasury Inflation-Protected Security |
USD—United States Dollar |
VIX—CBOE Volatility Index |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Exchange-Traded Funds | $ 346,024,187 | $ — | $ — | $ 346,024,187 | |||
Exchange-Traded Note | 1,003,021 | — | — | 1,003,021 | |||
Exchange-Traded Vehicles | 29,231,103 | — | — | 29,231,103 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 2,639,490 | — | — | 2,639,490 | |||
Unaffiliated Investment Companies | 53,405,644 | — | — | 53,405,644 | |||
Total Short-Term Investments | 56,045,134 | — | — | 56,045,134 | |||
Total Investments in Securities | $ 432,303,445 | $ — | $ — | $ 432,303,445 | |||
Total Investments in Securities | $ — | $ — | $ — | $ — |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP Janus Henderson Balanced Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Principal Amount | Value | |
Long-Term Bonds 35.3% | ||
Asset-Backed Securities 2.5% | ||
Automobile Asset-Backed Securities 0.6% | ||
Chase Auto Credit Linked Notes (a) | ||
Series 2021-1, Class B | ||
0.875%, due 9/25/28 | $ 446,470 | $ 446,778 |
Series 2021-2, Class B | ||
0.889%, due 12/26/28 | 979,000 | 978,693 |
Drive Auto Receivables Trust | ||
Series 2017-3, Class D | ||
3.53%, due 12/15/23 (a) | 28,146 | 28,291 |
Series 2017-1, Class E | ||
5.17%, due 9/16/24 | 1,590,000 | 1,592,955 |
Series 2017-2, Class E | ||
5.27%, due 11/15/24 | 1,400,000 | 1,412,520 |
Exeter Automobile Receivables Trust | ||
Series 2021-1A, Class C | ||
0.74%, due 1/15/26 | 211,000 | 211,441 |
Series 2021-1A, Class D | ||
1.08%, due 11/16/26 | 674,000 | 672,867 |
Series 2019-1A, Class E | ||
5.20%, due 1/15/26 (a) | 485,000 | 514,063 |
OneMain Direct Auto Receivables Trust (a) | ||
Series 2018-1A, Class C | ||
3.85%, due 10/14/25 | 181,000 | 182,235 |
Series 2018-1A, Class D | ||
4.40%, due 1/14/28 | 180,000 | 180,977 |
Santander Drive Auto Receivables Trust | ||
Series 2020-3, Class D | ||
1.64%, due 11/16/26 | 1,630,000 | 1,652,631 |
Tesla Auto Lease Trust (a) | ||
Series 2021-B, Class A3 | ||
0.60%, due 9/22/25 | 503,000 | 502,056 |
Series 2021-B, Class B | ||
0.91%, due 9/22/25 | 258,000 | 257,236 |
Westlake Automobile Receivables Trust | ||
Series 2020-1A, Class D | ||
2.80%, due 6/16/25 (a) | 741,000 | 762,666 |
9,395,409 | ||
Credit Card Asset-Backed Securities 0.1% | ||
Mercury Financial Credit Card Master Trust | ||
Series 2021-1A, Class A | ||
1.54%, due 3/20/26 (a) | 842,000 | 844,359 |
Newday Funding Master Issuer plc (a)(b) | ||
Series 2021-2A, Class A2 | ||
1.00% (SOFR + 0.95%), due 7/15/29 | 449,000 | 449,718 |
Series 2021-1A, Class A2 | ||
1.15% (SOFR + 1.10%), due 3/15/29 | 792,000 | 800,958 |
2,095,035 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities 1.8% | ||
Affirm Asset Securitization Trust | ||
Series 2021-B, Class A | ||
1.03%, due 8/17/26 (a) | $ 721,000 | $ 721,838 |
Aqua Finance Trust | ||
Series 2021-A, Class A | ||
1.54%, due 7/17/46 (a) | 502,000 | 496,162 |
Arbys Funding LLC | ||
Series 2020-1A, Class A2 | ||
3.237%, due 7/30/50 (a) | 1,393,920 | 1,445,530 |
CF Hippolyta LLC (a) | ||
Series 2021-1A, Class A1 | ||
1.53%, due 3/15/61 | 1,004,083 | 1,010,671 |
Series 2021-1A, Class B1 | ||
1.98%, due 3/15/61 | 379,762 | 380,715 |
DB Master Finance LLC (a) | ||
Series 2019-1A, Class A2I | ||
3.787%, due 5/20/49 | 458,640 | 460,615 |
Series 2019-1A, Class A2II | ||
4.021%, due 5/20/49 | 252,840 | 264,290 |
Series 2019-1A, Class A23 | ||
4.352%, due 5/20/49 | 366,520 | 398,155 |
Diamond Infrastructure Funding LLC | ||
Series 2021-1A, Class A | ||
1.76%, due 4/15/49 (a) | 1,031,000 | 1,016,551 |
Domino's Pizza Master Issuer LLC (a) | ||
Series 2019-1A, Class A2 | ||
3.668%, due 10/25/49 | 1,624,265 | 1,745,318 |
Series 2018-1A, Class A2I | ||
4.116%, due 7/25/48 | 900,535 | 932,387 |
Series 2017-1A, Class A23 | ||
4.118%, due 7/25/47 | 207,475 | 222,703 |
Series 2018-1A, Class A2II | ||
4.328%, due 7/25/48 | 493,058 | 532,516 |
Jack in the Box Funding LLC (a) | ||
Series 2019-1A, Class A2I | ||
3.982%, due 8/25/49 | 983,567 | 1,003,678 |
Series 2019-1A, Class A2II | ||
4.476%, due 8/25/49 | 983,567 | 1,030,232 |
Series 2019-1A, Class A23 | ||
4.97%, due 8/25/49 | 983,567 | 1,074,507 |
Lakeview CDO LLC | ||
1.835%, due 11/10/32 (c)(d) | 257,144 | 257,144 |
Lakeview LLC | ||
Series 2020-CRT1 | ||
1.845%, due 7/10/32 (c)(d) | 15,708 | 15,728 |
NRZ Excess Spread-Collateralized Notes (a) | ||
Series 2021-FHT1, Class A | ||
3.104%, due 7/25/26 | 800,776 | 803,630 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities | ||
NRZ Excess Spread-Collateralized Notes (a) | ||
Series 2020-PLS1, Class A | ||
3.844%, due 12/25/25 | $ 362,141 | $ 365,980 |
Oak Street Investment Grade Net Lease Fund | ||
Series 2020-1A, Class A1 | ||
1.85%, due 11/20/50 (a) | 825,822 | 832,647 |
Planet Fitness Master Issuer LLC (a) | ||
Series 2019-1A, Class A2 | ||
3.858%, due 12/5/49 | 857,722 | 871,809 |
Series 2018-1A, Class A2I | ||
4.262%, due 9/5/48 | 613,040 | 613,438 |
PRPM LLC | ||
Series 2020-4, Class A1 | ||
2.951%, due 10/25/25 (a)(e) | 737,358 | 740,208 |
Taco Bell Funding LLC (a) | ||
Series 2021-1A, Class A2I | ||
1.946%, due 8/25/51 | 781,000 | 780,376 |
Series 2021-1A, Class A2II | ||
2.294%, due 8/25/51 | 950,000 | 946,101 |
Series 2018-1A, Class A2II | ||
4.94%, due 11/25/48 | 839,267 | 926,207 |
Series 2016-1A, Class A23 | ||
4.97%, due 5/25/46 | 488,325 | 522,974 |
Theorem Funding Trust | ||
Series 2021-1A, Class A | ||
1.21%, due 12/15/27 (a) | 839,747 | 840,304 |
Upstart Securitization Trust | ||
Series 2021-4, Class A | ||
0.84%, due 9/20/31 (a) | 857,000 | 857,040 |
Vantage Data Centers LLC (a) | ||
Series 2020-1A, Class A2 | ||
1.645%, due 9/15/45 | 1,615,000 | 1,610,093 |
Series 2020-2A, Class A2 | ||
1.992%, due 9/15/45 | 705,000 | 700,898 |
VCAT LLC | ||
Series 2021-NPL1, Class A1 | ||
2.289%, due 12/26/50 (a)(e) | 346,701 | 347,640 |
Wendy's Funding LLC (a) | ||
Series 2021-1A, Class A2I | ||
2.37%, due 6/15/51 | 432,915 | 436,536 |
Series 2021-1A, Class A2II | ||
2.775%, due 6/15/51 | 770,070 | 783,231 |
Series 2019-1A, Class A2I | ||
3.783%, due 6/15/49 | 483,968 | 511,468 |
Series 2018-1A, Class A2II | ||
3.884%, due 3/15/48 | 87,588 | 92,562 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities | ||
Wingstop Funding LLC | ||
Series 2020-1A, Class A2 | ||
2.841%, due 12/5/50 (a) | $ 811,920 | $ 835,132 |
Zaxby's Funding LLC | ||
Series 2021-1A, Class A2 | ||
3.238%, due 7/30/51 (a) | 811,000 | 824,223 |
28,251,237 | ||
Total Asset-Backed Securities (Cost $39,313,609) | 39,741,681 | |
Corporate Bonds 12.6% | ||
Aerospace & Defense 0.4% | ||
Boeing Co. (The) | ||
2.196%, due 2/4/26 | 442,000 | 445,258 |
3.25%, due 2/1/28 | 472,000 | 498,568 |
3.625%, due 2/1/31 | 991,000 | 1,060,874 |
3.95%, due 8/1/59 | 599,000 | 614,752 |
4.875%, due 5/1/25 | 460,000 | 511,939 |
General Dynamics Corp. | ||
3.50%, due 4/1/27 | 456,000 | 503,975 |
TransDigm, Inc. | ||
4.625%, due 1/15/29 (f) | 2,069,000 | 2,065,390 |
5,700,756 | ||
Banks 2.8% | ||
Bank of America Corp. (g) | ||
2.087%, due 6/14/29 | 1,528,000 | 1,525,548 |
2.592%, due 4/29/31 | 3,117,000 | 3,181,297 |
3.705%, due 4/24/28 | 1,598,000 | 1,756,152 |
3.97%, due 3/5/29 | 670,000 | 745,148 |
Series U | ||
5.20%, due 6/1/23 (f)(h) | 443,000 | 455,736 |
Series X | ||
6.25%, due 9/5/24 (h) | 1,172,000 | 1,289,200 |
Bank of New York Mellon Corp. (The) | ||
Series G | ||
4.70% (5 Year Treasury Constant Maturity Rate + 4.358%), due 9/20/25 (b)(h) | 2,024,000 | 2,221,340 |
BNP Paribas SA | ||
2.588% (5 Year Treasury Constant Maturity Rate + 2.05%), due 8/12/35 (a)(b) | 1,692,000 | 1,640,764 |
Citigroup, Inc. (g) | ||
3.887%, due 1/10/28 | 2,060,000 | 2,276,361 |
4.412%, due 3/31/31 | 1,635,000 | 1,887,865 |
Series D | ||
5.35%, due 5/15/23 (h) | 537,000 | 553,781 |
5.95%, due 1/30/23 (h) | 890,000 | 927,825 |
Series P | ||
5.95%, due 5/15/25 (h) | 584,000 | 637,290 |
Principal Amount | Value | |
Corporate Bonds | ||
Banks | ||
Citigroup, Inc. (g) | ||
Series M | ||
6.30%, due 5/15/24 (h) | $ 123,000 | $ 132,778 |
First Republic Bank | ||
4.625%, due 2/13/47 | 391,000 | 493,770 |
Goldman Sachs Group, Inc. (The) | ||
3.50%, due 4/1/25 | 2,399,000 | 2,579,173 |
Series R | ||
4.95% (5 Year Treasury Constant Maturity Rate + 3.224%), due 2/10/25 (b)(f)(h) | 368,000 | 390,080 |
JPMorgan Chase & Co. (g) | ||
1.578%, due 4/22/27 | 1,421,000 | 1,423,882 |
2.083%, due 4/22/26 | 570,000 | 586,280 |
2.956%, due 5/13/31 | 1,316,000 | 1,369,111 |
3.96%, due 1/29/27 | 1,446,000 | 1,595,795 |
Series HH | ||
4.60%, due 2/1/25 (h) | 466,000 | 476,485 |
Series FF | ||
5.00%, due 8/1/24 (h) | 441,000 | 460,294 |
Morgan Stanley | ||
1.593%, due 5/4/27 (g) | 685,000 | 687,038 |
1.794%, due 2/13/32 (g) | 1,226,000 | 1,167,630 |
2.188%, due 4/28/26 (g) | 1,521,000 | 1,570,438 |
2.239%, due 7/21/32 (g) | 1,900,000 | 1,867,296 |
2.484%, due 9/16/36 (g) | 2,223,000 | 2,175,709 |
3.95%, due 4/23/27 | 1,401,000 | 1,558,062 |
4.35%, due 9/8/26 | 898,000 | 1,013,581 |
National Australia Bank Ltd. | ||
2.99%, due 5/21/31 (a) | 1,708,000 | 1,728,428 |
NatWest Group plc | ||
3.032% (5 Year Treasury Constant Maturity Rate + 2.35%), due 11/28/35 (b) | 1,260,000 | 1,261,671 |
SVB Financial Group | ||
1.80%, due 2/2/31 | 625,000 | 599,741 |
4.10% (10 Year Treasury Constant Maturity Rate + 3.064%), due 2/15/31 (b)(h) | 1,382,000 | 1,420,420 |
Westpac Banking Corp. | ||
2.668% (5 Year Treasury Constant Maturity Rate + 1.75%), due 11/15/35 (b) | 1,218,000 | 1,192,623 |
44,848,592 | ||
Beverages 0.2% | ||
Anheuser-Busch Cos. LLC | ||
4.90%, due 2/1/46 | 919,000 | 1,129,648 |
Diageo Capital plc | ||
1.375%, due 9/29/25 | 757,000 | 765,561 |
2.00%, due 4/29/30 | 713,000 | 710,235 |
2.125%, due 4/29/32 | 572,000 | 568,773 |
3,174,217 |
Principal Amount | Value | |
Corporate Bonds | ||
Biotechnology 0.2% | ||
HCRX Investments Holdco LP | ||
4.50%, due 8/1/29 (a) | $ 1,654,000 | $ 1,662,270 |
Royalty Pharma plc | ||
2.15%, due 9/2/31 | 954,000 | 918,638 |
3.35%, due 9/2/51 | 474,000 | 449,090 |
3.55%, due 9/2/50 | 899,000 | 883,114 |
3,913,112 | ||
Chemicals 0.3% | ||
Axalta Coating Systems LLC | ||
3.375%, due 2/15/29 (a) | 1,696,000 | 1,649,360 |
CF Industries, Inc. | ||
4.95%, due 6/1/43 | 749,000 | 902,590 |
5.15%, due 3/15/34 | 77,000 | 94,193 |
5.375%, due 3/15/44 | 168,000 | 213,249 |
Element Solutions, Inc. | ||
3.875%, due 9/1/28 (a) | 1,338,000 | 1,351,380 |
4,210,772 | ||
Commercial Services 0.2% | ||
Experian Finance plc | ||
2.75%, due 3/8/30 (a) | 1,281,000 | 1,327,911 |
Global Payments, Inc. | ||
4.80%, due 4/1/26 | 629,000 | 712,516 |
IHS Markit Ltd. | ||
4.75%, due 2/15/25 (a) | 687,000 | 760,042 |
2,800,469 | ||
Computers 0.1% | ||
Seagate HDD Cayman | ||
3.125%, due 7/15/29 (a) | 206,000 | 199,222 |
4.091%, due 6/1/29 | 488,000 | 512,400 |
4.125%, due 1/15/31 | 1,118,000 | 1,165,515 |
4.875%, due 6/1/27 | 44,000 | 49,509 |
1,926,646 | ||
Diversified Financial Services 1.0% | ||
AerCap Ireland Capital DAC | ||
4.625%, due 10/15/27 | 1,147,000 | 1,278,897 |
Air Lease Corp. | ||
1.875%, due 8/17/26 | 1,020,000 | 1,016,438 |
3.00%, due 2/1/30 | 515,000 | 522,573 |
Ally Financial, Inc. | ||
Series B | ||
4.70% (5 Year Treasury Constant Maturity Rate + 3.868%), due 5/15/26 (b)(h) | 1,176,000 | 1,224,040 |
Charles Schwab Corp. (The) (b)(h) | ||
Series H | ||
4.00% (10 Year Treasury Constant Maturity Rate + 3.079%), due 12/1/30 | 809,000 | 834,484 |
Principal Amount | Value | |
Corporate Bonds | ||
Diversified Financial Services | ||
Charles Schwab Corp. (The) (b)(h) | ||
Series G | ||
5.375% (5 Year Treasury Constant Maturity Rate + 4.971%), due 6/1/25 | $ 3,408,000 | $ 3,787,140 |
GE Capital International Funding Co. Unlimited Co. | ||
4.418%, due 11/15/35 | 1,835,000 | 2,202,096 |
Rocket Mortgage LLC (a) | ||
2.875%, due 10/15/26 | 1,120,000 | 1,094,464 |
3.625%, due 3/1/29 | 1,013,000 | 1,024,396 |
3.875%, due 3/1/31 | 1,481,000 | 1,493,959 |
4.00%, due 10/15/33 | 1,145,000 | 1,136,412 |
15,614,899 | ||
Electric 0.3% | ||
Duquesne Light Holdings, Inc. | ||
2.775%, due 1/7/32 (a) | 1,005,000 | 1,004,084 |
NRG Energy, Inc. | ||
3.375%, due 2/15/29 (a) | 1,057,000 | 1,043,185 |
3.625%, due 2/15/31 (a) | 1,195,000 | 1,173,789 |
6.625%, due 1/15/27 | 778,000 | 805,969 |
Pacific Gas and Electric Co. | ||
3.00%, due 6/15/28 | 1,185,000 | 1,205,864 |
5,232,891 | ||
Electronics 0.1% | ||
Trimble, Inc. | ||
4.75%, due 12/1/24 | 1,238,000 | 1,369,578 |
4.90%, due 6/15/28 | 672,000 | 777,034 |
2,146,612 | ||
Engineering & Construction 0.1% | ||
Cellnex Finance Co. SA | ||
3.875%, due 7/7/41 (a) | 1,766,000 | 1,734,583 |
Food 0.7% | ||
JBS Finance Luxembourg SARL | ||
3.625%, due 1/15/32 (a) | 784,000 | 798,708 |
JBS USA LUX SA (a) | ||
3.75%, due 12/1/31 | 742,000 | 772,073 |
5.50%, due 1/15/30 | 1,208,000 | 1,343,562 |
6.50%, due 4/15/29 | 1,551,000 | 1,733,243 |
6.75%, due 2/15/28 | 612,000 | 663,261 |
Kraft Heinz Foods Co. | ||
3.875%, due 5/15/27 | 991,000 | 1,082,086 |
4.375%, due 6/1/46 | 182,000 | 207,083 |
4.875%, due 10/1/49 | 424,000 | 516,048 |
5.00%, due 6/4/42 | 630,000 | 772,594 |
Mondelez International, Inc. | ||
2.75%, due 4/13/30 | 173,000 | 181,015 |
Principal Amount | Value | |
Corporate Bonds | ||
Food | ||
Performance Food Group, Inc. | ||
4.25%, due 8/1/29 (a) | $ 1,875,000 | $ 1,879,687 |
Pilgrim's Pride Corp. | ||
3.50%, due 3/1/32 (a) | 1,271,000 | 1,292,448 |
11,241,808 | ||
Food Service 0.1% | ||
Aramark Services, Inc. | ||
6.375%, due 5/1/25 (a) | 1,470,000 | 1,545,338 |
Healthcare-Services 1.0% | ||
Centene Corp. | ||
2.45%, due 7/15/28 | 1,025,000 | 1,030,125 |
2.50%, due 3/1/31 | 337,000 | 332,366 |
2.625%, due 8/1/31 | 443,000 | 440,005 |
3.00%, due 10/15/30 | 1,079,000 | 1,105,975 |
4.25%, due 12/15/27 | 1,112,000 | 1,163,875 |
DaVita, Inc. (a) | ||
3.75%, due 2/15/31 | 1,295,000 | 1,261,006 |
4.625%, due 6/1/30 | 1,054,000 | 1,084,156 |
HCA, Inc. | ||
3.50%, due 9/1/30 | 2,329,000 | 2,467,319 |
3.50%, due 7/15/51 | 1,106,000 | 1,096,359 |
5.25%, due 6/15/49 | 339,000 | 432,682 |
5.375%, due 2/1/25 | 545,000 | 609,037 |
5.375%, due 9/1/26 | 220,000 | 251,713 |
5.50%, due 6/15/47 | 226,000 | 293,067 |
5.625%, due 9/1/28 | 310,000 | 368,807 |
5.875%, due 2/15/26 | 286,000 | 327,828 |
5.875%, due 2/1/29 | 459,000 | 551,575 |
Molina Healthcare, Inc. | ||
4.375%, due 6/15/28 (a) | 2,834,000 | 2,948,437 |
15,764,332 | ||
Insurance 0.4% | ||
Athene Global Funding (a) | ||
1.73%, due 10/2/26 | 1,988,000 | 1,986,912 |
2.646%, due 10/4/31 | 1,875,000 | 1,877,056 |
Brown & Brown, Inc. | ||
2.375%, due 3/15/31 | 216,000 | 215,333 |
4.50%, due 3/15/29 | 451,000 | 516,293 |
Prudential Financial, Inc. | ||
3.70% (5 Year Treasury Constant Maturity Rate + 3.035%), due 10/1/50 (b) | 1,777,000 | 1,851,977 |
6,447,571 | ||
Internet 0.1% | ||
Go Daddy Operating Co. LLC | ||
3.50%, due 3/1/29 (a) | 1,659,000 | 1,644,484 |
Principal Amount | Value | |
Corporate Bonds | ||
Iron & Steel 0.1% | ||
Allegheny Technologies, Inc. | ||
5.875%, due 12/1/27 | $ 1,047,000 | $ 1,107,202 |
Reliance Steel & Aluminum Co. | ||
4.50%, due 4/15/23 | 469,000 | 492,440 |
1,599,642 | ||
Leisure Time 0.1% | ||
Brunswick Corp. | ||
2.40%, due 8/18/31 | 1,022,000 | 988,151 |
Lodging 0.1% | ||
Choice Hotels International, Inc. | ||
3.70%, due 12/1/29 | 817,000 | 869,010 |
3.70%, due 1/15/31 | 294,000 | 317,023 |
MGM Resorts International | ||
7.75%, due 3/15/22 | 182,000 | 187,005 |
1,373,038 | ||
Machinery-Diversified 0.0% ‡ | ||
Westinghouse Air Brake Technologies Corp. | ||
4.95%, due 9/15/28 (e) | 659,000 | 758,443 |
Media 0.9% | ||
CCO Holdings LLC | ||
4.25%, due 2/1/31 (a) | 1,527,000 | 1,553,493 |
4.50%, due 5/1/32 | 2,216,000 | 2,282,480 |
Charter Communications Operating LLC | ||
2.80%, due 4/1/31 | 811,000 | 812,832 |
4.80%, due 3/1/50 | 562,000 | 630,679 |
5.375%, due 5/1/47 | 205,000 | 245,446 |
6.484%, due 10/23/45 | 256,000 | 348,053 |
Comcast Corp. | ||
3.75%, due 4/1/40 | 365,000 | 410,086 |
CSC Holdings LLC (a) | ||
3.375%, due 2/15/31 | 926,000 | 861,180 |
4.125%, due 12/1/30 | 1,351,000 | 1,325,669 |
4.625%, due 12/1/30 | 1,204,000 | 1,141,362 |
5.00%, due 11/15/31 (f) | 586,000 | 561,652 |
Fox Corp. | ||
4.03%, due 1/25/24 | 429,000 | 460,290 |
GCI LLC | ||
4.75%, due 10/15/28 (a) | 2,154,000 | 2,261,273 |
Sirius XM Radio, Inc. (a) | ||
3.125%, due 9/1/26 | 169,000 | 171,324 |
3.875%, due 9/1/31 | 469,000 | 458,154 |
4.125%, due 7/1/30 | 1,625,000 | 1,632,536 |
15,156,509 |
Principal Amount | Value | |
Corporate Bonds | ||
Miscellaneous—Manufacturing 0.1% | ||
General Electric Co. | ||
Series D | ||
3.446% (3 Month LIBOR + 3.33%), due 12/15/21 (b)(h) | $ 1,414,000 | $ 1,383,953 |
Oil & Gas 0.1% | ||
Continental Resources, Inc. | ||
5.75%, due 1/15/31 (a) | 1,214,000 | 1,467,423 |
Pharmaceuticals 0.2% | ||
CVS Health Corp. | ||
5.05%, due 3/25/48 | 617,000 | 794,204 |
Elanco Animal Health, Inc. | ||
5.272%, due 8/28/23 (e) | 1,242,000 | 1,323,636 |
Organon & Co. | ||
4.125%, due 4/30/28 (a) | 1,692,000 | 1,725,840 |
3,843,680 | ||
Pipelines 0.4% | ||
Cheniere Energy Partners LP (a) | ||
3.25%, due 1/31/32 | 956,000 | 959,155 |
4.00%, due 3/1/31 | 783,000 | 819,957 |
Cheniere Energy, Inc. | ||
4.625%, due 10/15/28 | 1,333,000 | 1,404,649 |
Energy Transfer Operating LP | ||
4.95%, due 6/15/28 | 116,000 | 133,094 |
Hess Midstream Operations LP (a) | ||
4.25%, due 2/15/30 | 347,000 | 350,904 |
5.125%, due 6/15/28 | 1,336,000 | 1,395,519 |
ONEOK, Inc. | ||
6.35%, due 1/15/31 | 808,000 | 1,034,393 |
7.15%, due 1/15/51 | 211,000 | 305,440 |
6,403,111 | ||
Real Estate Investment Trusts 0.6% | ||
Agree LP | ||
2.00%, due 6/15/28 | 684,000 | 678,172 |
2.60%, due 6/15/33 | 513,000 | 507,370 |
2.90%, due 10/1/30 | 473,000 | 488,635 |
Equinix, Inc. | ||
2.15%, due 7/15/30 | 623,000 | 610,968 |
GLP Capital LP | ||
4.00%, due 1/15/30 | 1,005,000 | 1,079,189 |
5.25%, due 6/1/25 | 361,000 | 402,544 |
5.30%, due 1/15/29 | 86,000 | 100,548 |
5.375%, due 4/15/26 | 381,000 | 433,178 |
Invitation Homes Operating Partnership LP | ||
2.00%, due 8/15/31 | 1,129,000 | 1,084,261 |
Principal Amount | Value | |
Corporate Bonds | ||
Real Estate Investment Trusts | ||
MPT Operating Partnership LP | ||
3.50%, due 3/15/31 | $ 1,099,000 | $ 1,120,980 |
Rexford Industrial Realty LP | ||
2.15%, due 9/1/31 | 1,345,000 | 1,296,187 |
Sun Communities Operating LP | ||
2.70%, due 7/15/31 (f) | 1,283,000 | 1,296,448 |
9,098,480 | ||
Retail 0.4% | ||
1011778 BC ULC | ||
4.00%, due 10/15/30 (a) | 2,348,000 | 2,324,520 |
Dollar General Corp. | ||
4.125%, due 4/3/50 | 762,000 | 891,641 |
Lithia Motors, Inc. | ||
3.875%, due 6/1/29 (a) | 1,847,000 | 1,917,112 |
Nordstrom, Inc. | ||
4.375%, due 4/1/30 (f) | 846,000 | 865,023 |
5,998,296 | ||
Semiconductors 0.8% | ||
Analog Devices, Inc. | ||
2.95%, due 4/1/25 | 676,000 | 721,100 |
Broadcom, Inc. | ||
3.419%, due 4/15/33 (a) | 1,071,000 | 1,108,669 |
3.469%, due 4/15/34 (a) | 1,686,000 | 1,736,137 |
4.15%, due 11/15/30 | 1,233,000 | 1,366,130 |
4.30%, due 11/15/32 | 986,000 | 1,104,944 |
Marvell Technology, Inc. (a) | ||
1.65%, due 4/15/26 | 793,000 | 794,211 |
4.875%, due 6/22/28 | 883,000 | 1,019,943 |
Microchip Technology, Inc. | ||
2.67%, due 9/1/23 | 1,514,000 | 1,569,705 |
SK Hynix, Inc. (a) | ||
1.50%, due 1/19/26 | 1,067,000 | 1,053,214 |
2.375%, due 1/19/31 | 773,000 | 750,290 |
Skyworks Solutions, Inc. | ||
3.00%, due 6/1/31 | 333,000 | 340,438 |
TSMC Global Ltd. | ||
1.75%, due 4/23/28 (a) | 1,360,000 | 1,342,871 |
12,907,652 | ||
Software 0.3% | ||
Broadridge Financial Solutions, Inc. | ||
2.60%, due 5/1/31 | 1,084,000 | 1,100,318 |
MSCI, Inc. (a) | ||
3.625%, due 9/1/30 | 1,643,000 | 1,698,451 |
Principal Amount | Value | |
Corporate Bonds | ||
Software | ||
MSCI, Inc. (a) | ||
3.875%, due 2/15/31 | $ 1,122,000 | $ 1,176,698 |
4.00%, due 11/15/29 | 104,000 | 110,105 |
4,085,572 | ||
Telecommunications 0.2% | ||
AT&T, Inc. | ||
3.65%, due 9/15/59 | 105,000 | 104,677 |
3.80%, due 12/1/57 | 642,000 | 655,836 |
Lumen Technologies, Inc. | ||
Series T | ||
5.80%, due 3/15/22 | 419,000 | 426,961 |
T-Mobile US, Inc. | ||
3.50%, due 4/15/25 | 718,000 | 773,507 |
3.75%, due 4/15/27 | 990,000 | 1,090,674 |
3,051,655 | ||
Toys, Games & Hobbies 0.2% | ||
Hasbro, Inc. | ||
3.90%, due 11/19/29 | 1,490,000 | 1,645,794 |
5.10%, due 5/15/44 | 449,000 | 542,396 |
6.35%, due 3/15/40 | 420,000 | 580,502 |
2,768,692 | ||
Transportation 0.1% | ||
GXO Logistics, Inc. (a) | ||
1.65%, due 7/15/26 | 885,000 | 878,230 |
2.65%, due 7/15/31 | 585,000 | 581,259 |
1,459,489 | ||
Total Corporate Bonds (Cost $194,427,740) | 200,290,868 | |
Loan Assignments 0.8% | ||
Chemicals, Plastics & Rubber 0.2% | ||
Alpha 3 B.V. | ||
Initial Dollar Term Loan | ||
3.00% (3 Month LIBOR + 2.50%), due 3/18/28 (b) | 938,648 | 937,005 |
Diamond (BC) B.V. | ||
Term Loan B | ||
TBD, due 9/1/28 | 1,610,000 | 1,611,207 |
2,548,212 | ||
Finance 0.1% | ||
ICON plc | ||
LUX Term Loan | ||
3.00% (3 Month LIBOR + 2.50%), due 7/1/28 (b) | 1,957,095 | 1,963,618 |
Principal Amount | Value | |
Loan Assignments | ||
Healthcare 0.2% | ||
Mozart Debt Merger Sub, Inc. | ||
Term Loan B | ||
TBD, due 9/30/28 | 2,221,969 | $ 2,219,192 |
Healthcare, Education & Childcare 0.1% | ||
Elanco Animal Health, Inc. | ||
Term Loan | ||
1.836% (1 Month LIBOR + 1.75%), due 8/1/27 (b) | $ 2,228,181 | 2,200,329 |
Manufacturing 0.2% | ||
Madison IAQ LLC | ||
Term Loan | ||
3.75% (3 Month LIBOR + 3.25%), due 6/21/28 (b) | 2,167,582 | 2,164,197 |
Standard Industries, Inc. | ||
Initial Term Loan | ||
3.00% (3 Month LIBOR + 2.50%), due 9/22/28 (b) | 1,173,312 | 1,173,475 |
3,337,672 | ||
Services Business 0.0% ‡ | ||
ICON plc | ||
U.S. Term Loan | ||
3.00% (3 Month LIBOR + 2.50%), due 7/3/28 (b) | 487,611 | 489,236 |
Total Loan Assignments (Cost $12,748,374) | 12,758,259 | |
Mortgage-Backed Securities 6.8% | ||
Agency (Collateralized Mortgage Obligations) 2.8% | ||
FNMA | ||
REMIC, Series 2018-27, Class EA | ||
3.00%, due 5/25/48 | 760,339 | 797,271 |
REMIC, Series 2019-71, Class P | ||
3.00%, due 11/25/49 | 1,128,795 | 1,176,333 |
GNMA II, Single Family, 30 Year (i) | ||
2.00%, due 10/15/51 TBA | 8,805,569 | 8,932,493 |
2.50%, due 10/15/51 TBA | 4,969,800 | 5,130,348 |
UMBS, Single Family, 15 Year (i) | ||
1.50%, due 10/25/36 TBA | 404,515 | 408,513 |
2.00%, due 10/25/36 TBA | 2,603,869 | 2,681,680 |
UMBS, Single Family, 30 Year (i) | ||
2.00%, due 10/25/51 TBA | 11,343,552 | 11,374,126 |
2.50%, due 10/25/51 TBA | 8,842,519 | 9,117,121 |
3.50%, due 10/25/51 TBA | 4,190,000 | 4,433,298 |
44,051,183 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) 2.4% | ||
280 Park Avenue Mortgage Trust | ||
Series 2017-280P, Class A | ||
0.964% (1 Month LIBOR + 0.88%), due 9/15/34 (a)(b) | $ 699,152 | $ 699,144 |
BANK | ||
Series 2019-BN23, Class A3 | ||
2.92%, due 12/15/52 | 888,598 | 946,958 |
Series 2019-BN24, Class A3 | ||
2.96%, due 11/15/62 | 218,800 | 233,684 |
Series 2019-BN20, Class A3 | ||
3.011%, due 9/15/62 | 493,957 | 529,435 |
Series 2019-BN18, Class A4 | ||
3.584%, due 5/15/62 | 1,026,801 | 1,140,368 |
Series 2019-BN17, Class A4 | ||
3.714%, due 4/15/52 | 603,641 | 673,854 |
Series 2018-BN12, Class A4 | ||
4.255%, due 5/15/61 (c) | 271,673 | 310,380 |
BBCMS Mortgage Trust | ||
Series 2017-DELC, Class A | ||
0.934% (1 Month LIBOR + 0.85%), due 8/15/36 (a)(b) | 495,000 | 494,990 |
BBCMS Trust | ||
Series 2015-SRCH, Class A2 | ||
4.197%, due 8/10/35 (a) | 875,000 | 984,249 |
Benchmark Mortgage Trust | ||
Series 2020-B16, Class A5 | ||
2.732%, due 2/15/53 | 550,000 | 577,630 |
BX Commercial Mortgage Trust (a)(b) | ||
Series 2021-VOLT, Class A | ||
0.80% (1 Month LIBOR + 0.70%), due 9/15/36 | 457,000 | 457,287 |
Series 2018-IND, Class A | ||
0.834% (1 Month LIBOR + 0.75%), due 11/15/35 | 331,794 | 331,995 |
Series 2019-XL, Class A | ||
1.004% (1 Month LIBOR + 0.92%), due 10/15/36 | 1,043,613 | 1,045,632 |
Series 2021-VOLT, Class B | ||
1.05% (1 Month LIBOR + 0.95%), due 9/15/36 | 937,000 | 937,453 |
Series 2020-FOX, Class A | ||
1.084% (1 Month LIBOR + 1.00%), due 11/15/32 | 1,491,049 | 1,493,842 |
Series 2019-XL, Class B | ||
1.164% (1 Month LIBOR + 1.08%), due 10/15/36 | 168,781 | 168,887 |
Series 2020-FOX, Class B | ||
1.434% (1 Month LIBOR + 1.35%), due 11/15/32 | 271,976 | 272,086 |
Series 2020-FOX, Class C | ||
1.634% (1 Month LIBOR + 1.55%), due 11/15/32 | 271,976 | 272,148 |
Series 2021-VOLT, Class D | ||
1.75% (1 Month LIBOR + 1.65%), due 9/15/36 | 984,000 | 984,617 |
BX Trust (a) | ||
Series 2021-LBA, Class AV | ||
0.884% (1 Month LIBOR + 0.80%), due 2/15/36 (b) | 1,122,000 | 1,122,693 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) | ||
BX Trust (a) | ||
Series 2021-LBA, Class AJV | ||
0.884% (1 Month LIBOR + 0.80%), due 2/15/36 (b) | $ 987,000 | $ 987,609 |
Series 2019-OC11, Class A | ||
3.202%, due 12/9/41 | 565,000 | 603,950 |
Series 2019-OC11, Class B | ||
3.605%, due 12/9/41 | 284,000 | 308,146 |
Series 2019-OC11, Class C | ||
3.856%, due 12/9/41 | 564,000 | 605,210 |
BXP Trust | ||
Series 2017-GM, Class A | ||
3.379%, due 6/13/39 (a) | 396,000 | 430,035 |
CHT Mortgage Trust | ||
Series 2017-CSMO, Class A | ||
1.014% (1 Month LIBOR + 0.93%), due 11/15/36 (a)(b) | 617,327 | 617,883 |
Cold Storage Trust (a)(b) | ||
Series 2020-ICE5, Class A | ||
0.984% (1 Month LIBOR + 0.90%), due 11/15/37 | 1,480,384 | 1,483,151 |
Series 2020-ICE5, Class B | ||
1.384% (1 Month LIBOR + 1.30%), due 11/15/37 | 657,621 | 658,150 |
Series 2020-ICE5, Class C | ||
1.734% (1 Month LIBOR + 1.65%), due 11/15/37 | 660,570 | 661,190 |
Credit Suisse Mortgage Capital Certificates (a)(b) | ||
Series 2019-ICE4, Class A | ||
1.064% (1 Month LIBOR + 0.98%), due 5/15/36 | 1,783,000 | 1,788,110 |
Series 2019-ICE4, Class C | ||
1.514% (1 Month LIBOR + 1.43%), due 5/15/36 | 333,000 | 333,236 |
Extended Stay America Trust (a)(b) | ||
Series 2021-ESH, Class A | ||
1.164% (1 Month LIBOR + 1.08%), due 7/15/38 | 1,270,391 | 1,273,977 |
Series 2021-ESH, Class B | ||
1.464% (1 Month LIBOR + 1.38%), due 7/15/38 | 346,199 | 347,727 |
Great Wolf Trust (a)(b) | ||
Series 2019-WOLF, Class A | ||
1.118% (1 Month LIBOR + 1.034%), due 12/15/36 | 270,000 | 269,917 |
Series 2019-WOLF, Class B | ||
1.418% (1 Month LIBOR + 1.334%), due 12/15/36 | 303,000 | 302,636 |
Series 2019-WOLF, Class C | ||
1.717% (1 Month LIBOR + 1.633%), due 12/15/36 | 337,000 | 335,953 |
GS Mortgage Securities Trust | ||
Series 2020-GC47, Class A5 | ||
2.377%, due 5/12/53 | 736,000 | 753,106 |
Series 2020-GC45, Class A5 | ||
2.911%, due 2/13/53 | 547,000 | 581,878 |
Series 2018-GS9, Class A4 | ||
3.992%, due 3/10/51 (c) | 645,957 | 727,636 |
Series 2018-GS10, Class A5 | ||
4.155%, due 7/10/51 (c) | 388,105 | 442,192 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) | ||
Life Mortgage Trust (a)(b) | ||
Series 2021-BMR, Class A | ||
0.784% (1 Month LIBOR + 0.70%), due 3/15/38 | $ 1,864,000 | $ 1,865,751 |
Series 2021-BMR, Class C | ||
1.184% (1 Month LIBOR + 1.10%), due 3/15/38 | 924,000 | 925,110 |
MHC Commercial Mortgage Trust (a)(b) | ||
Series 2021-MHC, Class A | ||
0.885% (1 Month LIBOR + 0.801%), due 4/15/38 | 1,947,744 | 1,949,502 |
Series 2021-MHC, Class C | ||
1.435% (1 Month LIBOR + 1.351%), due 4/15/38 | 938,912 | 940,040 |
Morgan Stanley Capital I Trust | ||
Series 2016-UB11, Class A4 | ||
2.782%, due 8/15/49 | 656,000 | 693,765 |
Series 2019-H6, Class A4 | ||
3.417%, due 6/15/52 | 343,549 | 375,731 |
Series 2015-UBS8, Class A4 | ||
3.809%, due 12/15/48 | 517,000 | 562,677 |
Series 2018-H3, Class A5 | ||
4.177%, due 7/15/51 | 561,262 | 635,692 |
Series 2018-H4, Class A4 | ||
4.31%, due 12/15/51 | 840,223 | 968,648 |
VASA Trust | ||
Series 2021-VASA, Class A | ||
0.984% (1 Month LIBOR + 0.90%), due 7/15/39 (a)(b) | 525,000 | 525,149 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2021-SAVE, Class A | ||
1.234% (1 Month LIBOR + 1.15%), due 2/15/40 (a)(b) | 497,235 | 500,013 |
37,131,102 | ||
Whole Loan (Collateralized Mortgage Obligations) 1.6% | ||
Angel Oak Mortgage Trust (a) | ||
Series 2020-3, Class A2 | ||
2.41%, due 4/25/65 (c) | 427,673 | 432,061 |
Series 2019-5, Class A1 | ||
2.593%, due 10/25/49 (j) | 283,605 | 283,627 |
Series 2019-6, Class A1 | ||
2.62%, due 11/25/59 (c) | 234,063 | 234,691 |
Bayview Financing Trust | ||
Series 2021-1F | ||
1.60%, due 7/10/33 (c) | 198,341 | 198,367 |
Series 2021-2F, Class M1 | ||
1.60% (SOFR 30A + 1.55%), due 12/31/49 (a)(b)(d) | 110,401 | 110,379 |
Chase Mortgage Finance Corp. | ||
Series 2021-CL1, Class M1 | ||
1.25% (SOFR 30A + 1.20%), due 2/25/50 (a)(b) | 1,378,432 | 1,379,170 |
CIM Trust | ||
Series 2021-NR1, Class A1 | ||
2.569%, due 7/25/55 (a)(e) | 833,926 | 833,628 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Whole Loan (Collateralized Mortgage Obligations) | ||
COLT Mortgage Loan Trust (a)(c) | ||
Series 2020-3, Class A1 | ||
1.506%, due 4/27/65 | $ 193,139 | $ 193,554 |
Series 2020-2, Class A1 | ||
1.853%, due 3/25/65 | 192,583 | 193,497 |
Connecticut Avenue Securities Trust (a)(b) | ||
Series 2019-R05, Class 1M2 | ||
2.086% (1 Month LIBOR + 2.00%), due 7/25/39 | 217,901 | 218,452 |
Series 2020-R02, Class 2M2 | ||
2.086% (1 Month LIBOR + 2.00%), due 1/25/40 | 735,397 | 738,726 |
Series 2019-R04, Class 2M2 | ||
2.186% (1 Month LIBOR + 2.10%), due 6/25/39 | 238,368 | 238,973 |
Series 2019-R07, Class 1M2 | ||
2.186% (1 Month LIBOR + 2.10%), due 10/25/39 | 332,005 | 333,648 |
Series 2019-R03, Class 1M2 | ||
2.236% (1 Month LIBOR + 2.15%), due 9/25/31 | 317,246 | 319,143 |
Series 2019-R02, Class 1M2 | ||
2.386% (1 Month LIBOR + 2.30%), due 8/25/31 | 134,067 | 134,979 |
Series 2018-R07, Class 1M2 | ||
2.486% (1 Month LIBOR + 2.40%), due 4/25/31 | 357,000 | 358,666 |
CSMC Trust | ||
3.795%, due 12/15/23 | 509,000 | 510,635 |
Series 2021-WEHO, Class A | ||
4.053% (1 Month LIBOR + 3.969%), due 4/15/23 (a)(b) | 854,323 | 854,336 |
FHLMC STACR REMIC Trust (a)(b) | ||
Series 2020-DNA6, Class M2 | ||
2.05% (SOFR 30A + 2.00%), due 12/25/50 | 1,021,000 | 1,029,173 |
Series 2021-HQA1, Class M2 | ||
2.30% (SOFR 30A + 2.25%), due 8/25/33 | 1,395,000 | 1,411,609 |
Series 2020-HQA2, Class M2 | ||
3.186% (1 Month LIBOR + 3.10%), due 3/25/50 | 546,006 | 553,948 |
Series 2020-HQA4, Class M2 | ||
3.236% (1 Month LIBOR + 3.15%), due 9/25/50 | 307,952 | 310,100 |
FHLMC STACR Trust | ||
Series 2019-DNA4, Class M2 | ||
2.036% (1 Month LIBOR + 1.95%), due 10/25/49 (a)(b) | 108,723 | 109,144 |
FHLMC Structured Agency Credit Risk Debt Notes (b) | ||
Series 2021-DNA2, Class M2 | ||
2.35% (SOFR 30A + 2.30%), due 8/25/33 (a) | 372,000 | 381,105 |
Series 2020-HQA5, Class M2 | ||
2.65% (SOFR 30A + 2.60%), due 11/25/50 (a) | 1,664,000 | 1,687,528 |
Series 2016-DNA1, Class M3 | ||
5.636% (1 Month LIBOR + 5.55%), due 7/25/28 | 341,277 | 357,933 |
FNMA (b) | ||
Series 2017-C06, Class 1M2 | ||
2.736% (1 Month LIBOR + 2.65%), due 2/25/30 | 353,431 | 359,395 |
Series 2017-C01, Class 1M2 | ||
3.636% (1 Month LIBOR + 3.55%), due 7/25/29 | 514,130 | 529,476 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Whole Loan (Collateralized Mortgage Obligations) | ||
FNMA (b) | ||
Series 2016-C04, Class 1M2 | ||
4.336% (1 Month LIBOR + 4.25%), due 1/25/29 | $ 372,631 | $ 386,272 |
Series 2016-C06, Class 1M2 | ||
4.336% (1 Month LIBOR + 4.25%), due 4/25/29 | 435,870 | 451,598 |
Series 2015-C01, Class 1M2 | ||
4.386% (1 Month LIBOR + 4.30%), due 2/25/25 | 495,112 | 505,282 |
Series 2014-C04, Class 1M2 | ||
4.986% (1 Month LIBOR + 4.90%), due 11/25/24 | 65,313 | 67,746 |
Series 2015-C03, Class 1M2 | ||
5.086% (1 Month LIBOR + 5.00%), due 7/25/25 | 359,221 | 369,345 |
Series 2015-C04, Class 1M2 | ||
5.786% (1 Month LIBOR + 5.70%), due 4/25/28 | 318,540 | 336,143 |
Series 2016-C03, Class 2M2 | ||
5.986% (1 Month LIBOR + 5.90%), due 10/25/28 | 150,139 | 157,704 |
J.P. Morgan Mortgage Trust (a)(b) | ||
Series 2021-11, Class A11 | ||
0.90% (SOFR 30A + 0.85%), due 1/25/52 | 766,060 | 766,290 |
Series 2021-12, Class A11 | ||
0.90% (SOFR 30A + 0.85%), due 2/25/52 | 477,000 | 477,000 |
Lakeview LLC | ||
Series 2021-CRT1 | ||
2.335%, due 1/10/33 (c)(d) | 661,679 | 665,481 |
Mello Mortgage Capital Acceptance (a)(b) | ||
Series 2021-INV2, Class A11 | ||
1.00% (SOFR 30A + 0.95%), due 8/25/51 | 738,551 | 746,456 |
Series 2021-INV3, Class A11 | ||
1.00% (SOFR 30A + 0.95%), due 10/25/51 | 905,000 | 905,000 |
MRA Issuance Trust | ||
Series 2021-NA1, Class A1X | ||
1.586% (1 Month LIBOR + 1.50%), due 3/8/22 (a)(b) | 1,505,000 | 1,506,405 |
New Residential Mortgage Loan Trust | ||
Series 2018-2A, Class A1 | ||
4.50%, due 2/25/58 (a)(c) | 217,934 | 231,369 |
PRPM LLC (a)(e) | ||
Series 2020-3, Class A1 | ||
2.857%, due 9/25/25 | 1,100,981 | 1,103,184 |
Series 2020-5, Class A1 | ||
3.104%, due 11/25/25 | 371,954 | 374,217 |
RCKT Mortgage Trust | ||
Series 2021-3, Class A21 | ||
0.85% (SOFR 30A + 0.80%), due 7/25/51 (a)(b) | 701,777 | 703,356 |
Sequoia Mortgage Trust (a) | ||
Series 2013-5, Class A1 | ||
2.50%, due 5/25/43 (j) | 240,902 | 242,172 |
Series 2020-2, Class A19 | ||
3.50%, due 3/25/50 (c) | 96,942 | 97,706 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Whole Loan (Collateralized Mortgage Obligations) | ||
Spruce Hill Mortgage Loan Trust (a)(c) | ||
Series 2020-SH1, Class A1 | ||
2.521%, due 1/28/50 | $ 54,099 | $ 54,423 |
Series 2020-SH1, Class A2 | ||
2.624%, due 1/28/50 | 241,357 | 242,535 |
Series 2020-SH2, Class A1 | ||
3.407%, due 6/25/55 | 331,681 | 333,780 |
UWM Mortgage Trust | ||
Series 2021-INV1, Class A9 | ||
0.95% (SOFR 30A + 0.90%), due 8/25/51 (a)(b) | 876,058 | 877,829 |
25,897,236 | ||
Total Mortgage-Backed Securities (Cost $106,576,657) | 107,079,521 | |
U.S. Government & Federal Agencies 12.6% | ||
Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) 0.9% | ||
FHLMC Gold Pools, Other | ||
3.00%, due 6/1/43 | 14,069 | 14,538 |
3.50%, due 7/1/42 | 28,855 | 31,187 |
3.50%, due 8/1/42 | 35,979 | 38,687 |
3.50%, due 8/1/42 | 32,023 | 34,611 |
3.50%, due 2/1/43 | 203,111 | 218,850 |
3.50%, due 2/1/44 | 243,827 | 263,533 |
3.50%, due 1/1/47 | 69,591 | 74,822 |
4.50%, due 5/1/44 | 484,737 | 536,942 |
UMBS, 15 Year | ||
2.50%, due 12/1/33 | 1,184,980 | 1,239,767 |
2.50%, due 11/1/34 | 229,627 | 242,988 |
2.50%, due 11/1/34 | 265,234 | 280,773 |
3.00%, due 5/1/31 | 1,001,540 | 1,055,448 |
3.00%, due 9/1/32 | 213,528 | 226,566 |
3.00%, due 10/1/32 | 80,221 | 84,836 |
3.00%, due 1/1/33 | 131,526 | 139,955 |
3.00%, due 10/1/34 | 113,296 | 120,740 |
3.00%, due 10/1/34 | 271,484 | 290,496 |
UMBS, 20 Year | ||
2.50%, due 8/1/41 | 1,410,365 | 1,460,829 |
UMBS, 30 Year | ||
2.50%, due 1/1/50 | 52,222 | 54,237 |
2.50%, due 8/1/51 | 211,720 | 218,563 |
3.00%, due 1/1/45 | 135,980 | 143,737 |
3.00%, due 8/1/46 | 9,730 | 10,245 |
3.00%, due 10/1/46 | 730,289 | 778,340 |
3.00%, due 4/1/47 | 16,915 | 17,826 |
3.00%, due 8/1/49 | 172,625 | 183,516 |
3.00%, due 8/1/49 | 69,473 | 75,035 |
3.00%, due 10/1/49 | 110,043 | 115,526 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) | ||
UMBS, 30 Year | ||
3.00%, due 11/1/49 | $ 112,403 | $ 117,754 |
3.00%, due 11/1/49 | 358,811 | 376,619 |
3.00%, due 12/1/49 | 103,653 | 108,698 |
3.00%, due 12/1/49 | 205,149 | 215,389 |
3.00%, due 12/1/49 | 193,902 | 203,527 |
3.00%, due 3/1/50 | 70,566 | 74,093 |
3.50%, due 12/1/44 | 480,382 | 521,292 |
3.50%, due 7/1/46 | 153,141 | 164,361 |
3.50%, due 9/1/47 | 294,957 | 313,854 |
3.50%, due 12/1/47 | 948,047 | 1,026,944 |
3.50%, due 2/1/48 | 239,683 | 258,452 |
3.50%, due 3/1/50 | 5,125 | 5,455 |
4.00%, due 3/1/47 | 37,585 | 41,080 |
4.00%, due 3/1/48 | 179,909 | 196,526 |
4.00%, due 4/1/48 | 3,549 | 3,806 |
4.00%, due 4/1/48 | 227,997 | 246,583 |
4.00%, due 5/1/48 | 520,831 | 559,440 |
4.50%, due 3/1/48 | 197,361 | 214,005 |
4.50%, due 12/1/48 | 243,315 | 270,574 |
5.00%, due 9/1/48 | 19,681 | 21,716 |
6.00%, due 4/1/40 | 491,698 | 580,107 |
13,472,868 | ||
Federal National Mortgage Association (Mortgage Pass-Through Securities) 1.4% | ||
FNMA, Other | ||
3.00%, due 2/1/43 | 18,554 | 19,780 |
3.00%, due 5/1/43 | 87,289 | 93,484 |
3.00%, due 2/1/57 | 1,019,647 | 1,102,391 |
3.00%, due 6/1/57 | 16,689 | 18,034 |
3.50%, due 8/1/56 | 1,266,330 | 1,379,370 |
4.50%, due 6/1/45 | 168,455 | 186,322 |
5.00%, due 7/1/44 | 301,933 | 338,572 |
UMBS, 15 Year | ||
2.50%, due 11/1/34 | 292,994 | 309,748 |
3.00%, due 10/1/34 | 128,545 | 136,746 |
3.00%, due 11/1/34 | 24,672 | 26,327 |
3.00%, due 12/1/34 | 28,680 | 30,626 |
UMBS, 30 Year | ||
2.50%, due 1/1/50 | 121,277 | 125,956 |
2.50%, due 10/1/50 | 124,679 | 129,533 |
2.50%, due 1/1/51 | 349,608 | 361,702 |
2.50%, due 8/1/51 | 22,576 | 23,307 |
3.00%, due 1/1/43 | 56,414 | 60,209 |
3.00%, due 5/1/43 | 538,086 | 573,603 |
3.00%, due 1/1/46 | 2,450 | 2,595 |
3.00%, due 9/1/46 | 912,308 | 973,106 |
3.00%, due 2/1/47 | 7,454,987 | 7,949,065 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
Federal National Mortgage Association (Mortgage Pass-Through Securities) | ||
UMBS, 30 Year | ||
3.00%, due 3/1/47 | $ 567,923 | $ 607,926 |
3.00%, due 11/1/48 | 79,730 | 84,755 |
3.00%, due 8/1/49 | 212,367 | 229,430 |
3.00%, due 9/1/49 | 45,151 | 47,979 |
3.50%, due 12/1/45 | 117,164 | 126,102 |
3.50%, due 7/1/46 | 333,534 | 364,038 |
3.50%, due 3/1/47 | 100,220 | 107,718 |
3.50%, due 7/1/47 | 87,185 | 93,729 |
3.50%, due 8/1/47 | 117,172 | 124,838 |
3.50%, due 8/1/47 | 94,753 | 103,952 |
3.50%, due 12/1/47 | 27,114 | 29,879 |
3.50%, due 12/1/47 | 48,775 | 54,118 |
3.50%, due 1/1/48 | 280,449 | 302,701 |
3.50%, due 3/1/48 | 37,773 | 41,632 |
3.50%, due 7/1/48 | 2,377,143 | 2,547,094 |
4.00%, due 1/1/48 | 584,770 | 641,191 |
4.00%, due 1/1/48 | 1,064,728 | 1,157,740 |
4.00%, due 3/1/48 | 209,244 | 229,243 |
4.00%, due 2/1/49 | 163,891 | 175,663 |
4.50%, due 11/1/42 | 75,049 | 84,078 |
4.50%, due 10/1/44 | 241,000 | 270,752 |
4.50%, due 3/1/45 | 353,813 | 397,491 |
4.50%, due 2/1/46 | 393,041 | 439,928 |
4.50%, due 3/1/48 | 229,395 | 249,716 |
4.50%, due 8/1/48 | 134,817 | 146,193 |
5.00%, due 5/1/48 | 182,408 | 201,566 |
6.00%, due 2/1/37 | 29,151 | 34,435 |
22,734,363 | ||
Government National Mortgage Association (Mortgage Pass-Through Securities) 0.2% | ||
GNMA I, 30 Year | ||
4.00%, due 1/15/45 | 548,371 | 607,342 |
4.00%, due 7/15/47 | 468,182 | 505,186 |
4.00%, due 8/15/47 | 77,384 | 85,017 |
4.00%, due 11/15/47 | 71,639 | 78,774 |
4.00%, due 12/15/47 | 95,180 | 103,434 |
4.50%, due 8/15/46 | 605,997 | 690,167 |
GNMA II, 30 Year | ||
4.00%, due 8/20/47 | 30,334 | 33,176 |
4.00%, due 8/20/47 | 69,531 | 74,842 |
4.00%, due 8/20/47 | 22,939 | 24,829 |
4.00%, due 6/20/48 | 320,400 | 341,266 |
4.50%, due 2/20/48 | 73,121 | 78,937 |
4.50%, due 5/20/48 | 44,294 | 47,979 |
4.50%, due 5/20/48 | 183,746 | 197,682 |
5.00%, due 8/20/48 | 434,872 | 468,416 |
3,337,047 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
United States Treasury Bonds 2.9% | ||
U.S. Treasury Bonds | ||
1.375%, due 11/15/40 | $ 2,707,000 | $ 2,431,647 |
1.375%, due 8/15/50 | 8,806,800 | 7,431,425 |
1.625%, due 11/15/50 | 14,468,900 | 12,998,837 |
1.75%, due 8/15/41 | 12,067,000 | 11,535,298 |
1.875%, due 2/15/51 | 4,236,100 | 4,039,518 |
2.375%, due 5/15/51 | 744,000 | 793,988 |
2.75%, due 8/15/42 | 6,590,900 | 7,417,080 |
46,647,793 | ||
United States Treasury Inflation - Indexed Notes 0.9% | ||
U.S. Treasury Inflation Linked Notes (k) | ||
0.125%, due 1/15/31 | 2,633,386 | 2,890,039 |
0.625%, due 4/15/23 | 11,233,697 | 11,754,425 |
14,644,464 | ||
United States Treasury Notes 6.3% | ||
U.S. Treasury Notes | ||
0.125%, due 4/30/23 | 12,385,000 | 12,368,551 |
0.125%, due 6/30/23 | 3,668,000 | 3,661,696 |
0.125%, due 8/31/23 | 1,608,000 | 1,603,729 |
0.25%, due 5/15/24 | 2,141,000 | 2,130,713 |
0.375%, due 9/15/24 | 1,573,000 | 1,566,241 |
0.375%, due 1/31/26 | 4,346,900 | 4,253,510 |
0.50%, due 2/28/26 | 18,186,000 | 17,879,111 |
0.625%, due 7/31/26 | 15,412,000 | 15,165,167 |
0.75%, due 4/30/26 | 10,272,000 | 10,192,954 |
0.75%, due 8/31/26 | 2,981,000 | 2,949,094 |
0.875%, due 6/30/26 | 14,227,000 | 14,176,983 |
0.875%, due 9/30/26 | 1,976,000 | 1,965,348 |
1.125%, due 8/31/28 | 340,000 | 335,963 |
1.25%, due 4/30/28 | 580,000 | 579,592 |
1.25%, due 6/30/28 | 1,122,000 | 1,119,633 |
1.25%, due 8/15/31 | 9,361,000 | 9,134,288 |
99,082,573 | ||
Total U.S. Government & Federal Agencies (Cost $199,673,940) | 199,919,108 | |
Total Long-Term Bonds (Cost $552,740,320) | 559,789,437 | |
Shares | ||
Common Stocks 63.9% | ||
Aerospace & Defense 1.1% | ||
General Dynamics Corp. | 53,454 | 10,478,588 |
L3Harris Technologies, Inc. | 31,233 | 6,878,756 |
17,357,344 |
Shares | Value | |
Common Stocks | ||
Air Freight & Logistics 1.1% | ||
United Parcel Service, Inc., Class B | 95,852 | $ 17,454,649 |
Airlines 0.4% | ||
Southwest Airlines Co. (l) | 134,094 | 6,896,454 |
Auto Components 0.4% | ||
Aptiv plc (l) | 39,430 | 5,873,887 |
Banks 1.5% | ||
Bank of America Corp. | 554,434 | 23,535,723 |
Beverages 0.9% | ||
Constellation Brands, Inc., Class A | 17,695 | 3,728,159 |
Monster Beverage Corp. (l) | 115,490 | 10,258,977 |
13,987,136 | ||
Biotechnology 0.7% | ||
AbbVie, Inc. | 109,300 | 11,790,191 |
Building Products 0.2% | ||
Trane Technologies plc | 18,906 | 3,264,121 |
Capital Markets 2.9% | ||
Charles Schwab Corp. (The) | 60,266 | 4,389,775 |
CME Group, Inc. | 64,715 | 12,514,587 |
Morgan Stanley | 243,970 | 23,740,721 |
S&P Global, Inc. | 10,729 | 4,558,645 |
45,203,728 | ||
Chemicals 0.5% | ||
Sherwin-Williams Co. (The) | 25,902 | 7,245,566 |
Communications Equipment 0.5% | ||
Motorola Solutions, Inc. | 34,326 | 7,974,616 |
Consumer Finance 1.1% | ||
American Express Co. | 107,080 | 17,939,112 |
Electrical Equipment 0.4% | ||
Rockwell Automation, Inc. | 21,864 | 6,428,891 |
Electronic Equipment, Instruments & Components 0.3% | ||
Corning, Inc. | 136,453 | 4,979,170 |
Shares | Value | |
Common Stocks | ||
Entertainment 1.7% | ||
Activision Blizzard, Inc. | 110,457 | $ 8,548,267 |
Netflix, Inc. (l) | 9,266 | 5,655,411 |
Walt Disney Co. (The) (l) | 73,255 | 12,392,548 |
26,596,226 | ||
Food & Staples Retailing 1.7% | ||
Costco Wholesale Corp. | 47,462 | 21,327,050 |
Sysco Corp. | 74,331 | 5,834,983 |
27,162,033 | ||
Food Products 0.5% | ||
Hershey Co. (The) | 43,803 | 7,413,658 |
Health Care Equipment & Supplies 2.9% | ||
Abbott Laboratories | 120,705 | 14,258,882 |
Align Technology, Inc. (l) | 5,354 | 3,562,712 |
Edwards Lifesciences Corp. (l) | 69,590 | 7,878,284 |
Intuitive Surgical, Inc. (l) | 6,232 | 6,195,543 |
Medtronic plc | 65,947 | 8,266,456 |
Stryker Corp. | 23,221 | 6,123,842 |
46,285,719 | ||
Health Care Providers & Services 2.0% | ||
UnitedHealth Group, Inc. | 81,575 | 31,874,616 |
Hotels, Restaurants & Leisure 3.3% | ||
Booking Holdings, Inc. (l) | 4,623 | 10,974,401 |
Hilton Worldwide Holdings, Inc. (l) | 79,064 | 10,445,145 |
McDonald's Corp. | 87,085 | 20,997,064 |
Starbucks Corp. | 91,455 | 10,088,401 |
52,505,011 | ||
Household Products 0.9% | ||
Procter & Gamble Co. (The) | 102,448 | 14,322,230 |
Industrial Conglomerates 1.0% | ||
Honeywell International, Inc. | 77,249 | 16,398,418 |
Insurance 1.0% | ||
Progressive Corp. (The) | 175,723 | 15,883,602 |
Interactive Media & Services 3.8% | ||
Alphabet, Inc., Class C (l) | 22,857 | 60,920,991 |
Internet & Direct Marketing Retail 2.9% | ||
Amazon.com, Inc. (l) | 13,781 | 45,271,136 |
Shares | Value | |
Common Stocks | ||
IT Services 3.3% | ||
Accenture plc, Class A | 36,006 | $ 11,519,039 |
Fidelity National Information Services, Inc. | 43,544 | 5,298,434 |
Mastercard, Inc., Class A | 99,817 | 34,704,375 |
51,521,848 | ||
Leisure Products 0.4% | ||
Hasbro, Inc. | 77,146 | 6,882,966 |
Life Sciences Tools & Services 1.2% | ||
Illumina, Inc. (l) | 12,478 | 5,061,202 |
Thermo Fisher Scientific, Inc. | 25,306 | 14,458,077 |
19,519,279 | ||
Machinery 1.2% | ||
Deere & Co. | 46,996 | 15,746,950 |
Parker-Hannifin Corp. | 11,601 | 3,243,871 |
18,990,821 | ||
Media 1.4% | ||
Comcast Corp., Class A | 388,924 | 21,752,519 |
Multiline Retail 0.9% | ||
Dollar General Corp. | 70,696 | 14,997,449 |
Personal Products 0.3% | ||
Estee Lauder Cos., Inc. (The), Class A | 13,146 | 3,942,880 |
Pharmaceuticals 2.4% | ||
AstraZeneca plc, Sponsored ADR | 92,861 | 5,577,232 |
Eli Lilly and Co. | 90,751 | 20,968,019 |
Merck & Co., Inc. | 161,522 | 12,131,917 |
38,677,168 | ||
Real Estate Management & Development 0.3% | ||
CBRE Group, Inc., Class A (l) | 55,483 | 5,401,825 |
Semiconductors & Semiconductor Equipment 4.5% | ||
Advanced Micro Devices, Inc. (l) | 77,695 | 7,994,816 |
Lam Research Corp. | 41,938 | 23,869,013 |
NVIDIA Corp. | 116,613 | 24,157,549 |
Texas Instruments, Inc. | 77,001 | 14,800,362 |
70,821,740 | ||
Software 8.5% | ||
Adobe, Inc. (l) | 54,853 | 31,579,969 |
Autodesk, Inc. (l) | 7,631 | 2,176,132 |
Cadence Design Systems, Inc. (l) | 43,667 | 6,612,931 |
Shares | Value | ||
Common Stocks | |||
Software | |||
Microsoft Corp. | 294,679 | $ 83,075,904 | |
salesforce.com, Inc. (l) | 41,260 | 11,190,537 | |
134,635,473 | |||
Specialty Retail 1.6% | |||
Home Depot, Inc. (The) | 76,486 | 25,107,294 | |
Technology Hardware, Storage & Peripherals 3.4% | |||
Apple, Inc. | 378,951 | 53,621,567 | |
Textiles, Apparel & Luxury Goods 0.8% | |||
NIKE, Inc., Class B | 91,564 | 13,297,840 | |
Total Common Stocks (Cost $591,401,389) | 1,013,734,897 | ||
Preferred Stock 0.0% ‡ | |||
Banks 0.0% ‡ | |||
First Republic Bank, 4.125% (h)(l) | 18,500 | 462,315 | |
Total Preferred Stock (Cost $462,500) | 462,315 | ||
Short-Term Investments 4.3% | |||
Affiliated Investment Company 4.1% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (m) | 65,070,101 | 65,070,101 | |
Unaffiliated Investment Company 0.2% | |||
Wells Fargo Government Money Market Fund, 0.025% (m)(n) | 2,338,391 | 2,338,391 | |
Total Short-Term Investments (Cost $67,408,492) | 67,408,492 | ||
Total Investments (Cost $1,212,012,701) | 103.5% | 1,641,395,141 | |
Other Assets, Less Liabilities | (3.5) | (56,246,572) | |
Net Assets | 100.0% | $ 1,585,148,569 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
(b) | Floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(c) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. Rate shown was the rate in effect as of September 30, 2021. |
(d) | Fair valued security—Represents fair value as measured in good faith under procedures approved by the Board of Trustees. As of September 30, 2021, the total market value was $1,048,732, which represented 0.1% of the Portfolio’s net assets. |
(e) | Step coupon—Rate shown was the rate in effect as of September 30, 2021. |
(f) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $2,821,424; the total market value of collateral held by the Portfolio was $2,925,988. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $587,597. The Portfolio received cash collateral with a value of $2,338,391. |
(g) | Fixed to floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(h) | Security is perpetual and, thus, does not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(i) | TBA—Security purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. As of September 30, 2021, the total net market value was $42,077,579, which represented 2.7% of the Portfolio’s net assets. All or a portion of this security is a part of a mortgage dollar roll agreement. |
(j) | Collateral strip rate—A bond whose interest was based on the weighted net interest rate of the collateral. The coupon rate adjusts periodically based on a predetermined schedule. Rate shown was the rate in effect as of September 30, 2021. |
(k) | Treasury Inflation Protected Security—Pays a fixed rate of interest on a principal amount that is continuously adjusted for inflation based on the Consumer Price Index-Urban Consumers. |
(l) | Non-income producing security. |
(m) | Current yield as of September 30, 2021. |
(n) | Represents a security purchased with cash collateral received for securities on loan. |
Abbreviation(s): |
ADR—American Depositary Receipt |
FHLMC—Federal Home Loan Mortgage Corp. |
FNMA—Federal National Mortgage Association |
GNMA—Government National Mortgage Association |
LIBOR—London Interbank Offered Rate |
REMIC—Real Estate Mortgage Investment Conduit |
SOFR—Secured Overnight Financing Rate |
TBA—To Be Announced |
TBD—To Be Determined |
UMBS—Uniform Mortgage Backed Securities |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Long-Term Bonds | |||||||
Asset-Backed Securities | $ — | $ 39,741,681 | $ — | $ 39,741,681 | |||
Corporate Bonds | — | 200,290,868 | — | 200,290,868 | |||
Loan Assignments | — | 12,758,259 | — | 12,758,259 | |||
Mortgage-Backed Securities | — | 107,079,521 | — | 107,079,521 | |||
U.S. Government & Federal Agencies | — | 199,919,108 | — | 199,919,108 | |||
Total Long-Term Bonds | — | 559,789,437 | — | 559,789,437 | |||
Common Stocks | 1,013,734,897 | — | — | 1,013,734,897 | |||
Preferred Stock | 462,315 | — | — | 462,315 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 65,070,101 | — | — | 65,070,101 | |||
Unaffiliated Investment Company | 2,338,391 | — | — | 2,338,391 | |||
Total Short-Term Investments | 67,408,492 | — | — | 67,408,492 | |||
Total Investments in Securities | $ 1,081,605,704 | $ 559,789,437 | $ — | $ 1,641,395,141 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP Wellington U.S. Equity Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Common Stocks 98.1% | ||
Aerospace & Defense 1.2% | ||
Raytheon Technologies Corp. | 127,547 | $ 10,963,940 |
Air Freight & Logistics 1.0% | ||
FedEx Corp. | 39,900 | 8,749,671 |
Automobiles 0.5% | ||
Tesla, Inc. (a) | 5,500 | 4,265,140 |
Banks 5.5% | ||
Bank of America Corp. | 467,775 | 19,857,049 |
JPMorgan Chase & Co. | 140,717 | 23,033,966 |
PNC Financial Services Group, Inc. (The) | 38,938 | 7,617,830 |
50,508,845 | ||
Beverages 2.3% | ||
Constellation Brands, Inc., Class A | 51,163 | 10,779,533 |
Monster Beverage Corp. (a) | 109,498 | 9,726,707 |
20,506,240 | ||
Biotechnology 2.3% | ||
Regeneron Pharmaceuticals, Inc. (a) | 14,750 | 8,926,405 |
Seagen, Inc. (a) | 37,926 | 6,439,835 |
Vertex Pharmaceuticals, Inc. (a) | 31,880 | 5,782,713 |
21,148,953 | ||
Building Products 0.9% | ||
Fortune Brands Home & Security, Inc. | 95,327 | 8,524,140 |
Capital Markets 3.9% | ||
BlackRock, Inc. | 12,901 | 10,819,553 |
Charles Schwab Corp. (The) | 120,832 | 8,801,403 |
Morgan Stanley | 159,105 | 15,482,507 |
35,103,463 | ||
Chemicals 2.0% | ||
PPG Industries, Inc. | 61,684 | 8,821,429 |
Sherwin-Williams Co. (The) | 34,424 | 9,629,425 |
18,450,854 | ||
Commercial Services & Supplies 0.6% | ||
Copart, Inc. (a) | 36,186 | 5,019,722 |
Consumer Finance 1.6% | ||
American Express Co. | 88,744 | 14,867,282 |
Diversified Telecommunication Services 1.2% | ||
Verizon Communications, Inc. | 201,652 | 10,891,225 |
Shares | Value | |
Common Stocks | ||
Electric Utilities 2.1% | ||
American Electric Power Co., Inc. | 59,175 | $ 4,803,827 |
Duke Energy Corp. | 87,671 | 8,555,813 |
Pinnacle West Capital Corp. | 79,964 | 5,786,195 |
19,145,835 | ||
Electrical Equipment 0.9% | ||
AMETEK, Inc. | 64,639 | 8,015,882 |
Electronic Equipment, Instruments & Components 1.6% | ||
CDW Corp. | 44,617 | 8,121,186 |
Corning, Inc. | 180,449 | 6,584,584 |
14,705,770 | ||
Entertainment 3.5% | ||
Netflix, Inc. (a) | 25,513 | 15,571,604 |
Walt Disney Co. (The) (a) | 97,240 | 16,450,091 |
32,021,695 | ||
Equity Real Estate Investment Trusts 1.7% | ||
American Tower Corp. | 33,904 | 8,998,461 |
Gaming and Leisure Properties, Inc. | 131,353 | 6,084,271 |
15,082,732 | ||
Health Care Equipment & Supplies 4.7% | ||
Abbott Laboratories | 65,241 | 7,706,920 |
Baxter International, Inc. | 108,991 | 8,766,146 |
Becton Dickinson and Co. | 31,000 | 7,620,420 |
Danaher Corp. | 38,903 | 11,843,629 |
Hologic, Inc. (a) | 91,651 | 6,764,760 |
42,701,875 | ||
Health Care Providers & Services 2.0% | ||
UnitedHealth Group, Inc. | 47,705 | 18,640,252 |
Hotels, Restaurants & Leisure 3.0% | ||
Airbnb, Inc., Class A (a) | 43,466 | 7,291,421 |
Booking Holdings, Inc. (a) | 4,111 | 9,758,980 |
McDonald's Corp. | 41,139 | 9,919,024 |
26,969,425 | ||
Household Products 2.9% | ||
Colgate-Palmolive Co. | 118,851 | 8,982,759 |
Procter & Gamble Co. (The) | 123,869 | 17,316,886 |
26,299,645 | ||
Insurance 0.9% | ||
Chubb Ltd. | 47,751 | 8,283,844 |
Shares | Value | |
Common Stocks | ||
Interactive Media & Services 8.7% | ||
Alphabet, Inc. (a) | ||
Class A | 15,680 | $ 41,920,794 |
Class C | 4,733 | 12,614,912 |
Facebook, Inc., Class A (a) | 71,920 | 24,408,929 |
78,944,635 | ||
Internet & Direct Marketing Retail 4.3% | ||
Amazon.com, Inc. (a) | 11,777 | 38,687,916 |
IT Services 3.8% | ||
Fidelity National Information Services, Inc. | 67,366 | 8,197,095 |
Global Payments, Inc. | 44,019 | 6,936,514 |
GoDaddy, Inc., Class A (a) | 79,437 | 5,536,759 |
Mastercard, Inc., Class A | 39,745 | 13,818,541 |
34,488,909 | ||
Life Sciences Tools & Services 1.4% | ||
Thermo Fisher Scientific, Inc. | 22,699 | 12,968,620 |
Machinery 2.6% | ||
Deere & Co. | 24,282 | 8,136,170 |
Illinois Tool Works, Inc. | 32,888 | 6,795,647 |
Nordson Corp. | 35,666 | 8,493,858 |
23,425,675 | ||
Oil, Gas & Consumable Fuels 1.4% | ||
EOG Resources, Inc. | 82,993 | 6,661,848 |
Pioneer Natural Resources Co. | 38,029 | 6,332,209 |
12,994,057 | ||
Pharmaceuticals 2.8% | ||
Eli Lilly and Co. | 52,807 | 12,201,057 |
Merck & Co., Inc. | 182,214 | 13,686,094 |
25,887,151 | ||
Professional Services 1.7% | ||
Equifax, Inc. | 32,216 | 8,164,179 |
Leidos Holdings, Inc. | 78,627 | 7,558,413 |
15,722,592 | ||
Semiconductors & Semiconductor Equipment 5.6% | ||
Advanced Micro Devices, Inc. (a) | 88,527 | 9,109,428 |
KLA Corp. | 29,265 | 9,789,435 |
Marvell Technology, Inc. | 146,361 | 8,827,032 |
QUALCOMM, Inc. | 73,523 | 9,482,997 |
Texas Instruments, Inc. | 73,861 | 14,196,823 |
51,405,715 |
Shares | Value | ||
Common Stocks | |||
Software 9.3% | |||
Microsoft Corp. | 200,041 | $ 56,395,559 | |
salesforce.com, Inc. (a) | 57,616 | 15,626,611 | |
SS&C Technologies Holdings, Inc. | 68,571 | 4,758,827 | |
Workday, Inc., Class A (a) | 33,084 | 8,267,361 | |
85,048,358 | |||
Specialty Retail 1.6% | |||
TJX Cos., Inc. (The) | 222,672 | 14,691,899 | |
Technology Hardware, Storage & Peripherals 5.7% | |||
Apple, Inc. | 300,824 | 42,566,596 | |
NetApp, Inc. | 105,563 | 9,475,335 | |
52,041,931 | |||
Textiles, Apparel & Luxury Goods 2.9% | |||
NIKE, Inc., Class B | 75,715 | 10,996,089 | |
PVH Corp. (a) | 59,998 | 6,167,194 | |
VF Corp. | 141,247 | 9,462,137 | |
26,625,420 | |||
Total Common Stocks (Cost $761,074,237) | 893,799,308 | ||
Short-Term Investment 1.9% | |||
Affiliated Investment Company 1.9% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (b) | 17,055,969 | 17,055,969 | |
Total Short-Term Investment (Cost $17,055,969) | 17,055,969 | ||
Total Investments (Cost $778,130,206) | 100.0% | 910,855,277 | |
Other Assets, Less Liabilities | 0.0‡ | 394,055 | |
Net Assets | 100.0% | $ 911,249,332 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | Non-income producing security. |
(b) | Current yield as of September 30, 2021. |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Common Stocks | $ 893,799,308 | $ — | $ — | $ 893,799,308 | |||
Short-Term Investment | |||||||
Affiliated Investment Company | 17,055,969 | — | — | 17,055,969 | |||
Total Investments in Securities | $ 910,855,277 | $ — | $ — | $ 910,855,277 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP MacKay Convertible Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Principal Amount | Value | |
Long-Term Bonds 1.9% | ||
Corporate Bonds 1.9% | ||
Biotechnology 0.5% | ||
Bridgebio Pharma, Inc. | ||
2.50%, due 3/15/27 | $ 6,895,000 | $ 9,530,388 |
Leisure Time 0.2% | ||
NCL Corp. Ltd. | ||
5.375%, due 8/1/25 | 2,860,000 | 4,882,020 |
Oil & Gas 0.0% ‡ | ||
Valaris Ltd. | ||
Series 1145 | ||
8.25% (8.25% Cash or 12.00% PIK), due 4/30/28 (a) | 801,000 | 831,038 |
Oil & Gas Services 0.1% | ||
Weatherford International Ltd. | ||
11.00%, due 12/1/24 (b) | 1,137,000 | 1,197,397 |
Semiconductors 0.8% | ||
Silicon Laboratories, Inc. | ||
0.625%, due 6/15/25 | 11,949,000 | 15,342,020 |
Software 0.3% | ||
Five9, Inc. | ||
0.50%, due 6/1/25 | 4,933,000 | 6,652,298 |
Total Corporate Bonds (Cost $45,640,724) | 38,435,161 | |
Total Long-Term Bonds (Cost $45,640,724) | 38,435,161 | |
Convertible Securities 89.3% | ||
Convertible Bonds 78.9% | ||
Airlines 3.0% | ||
American Airlines Group, Inc. | ||
6.50%, due 7/1/25 | 6,895,000 | 10,571,366 |
JetBlue Airways Corp. | ||
0.50%, due 4/1/26 (b) | 4,623,000 | 4,552,934 |
Southwest Airlines Co. | ||
1.25%, due 5/1/25 | 29,005,000 | 43,434,987 |
Spirit Airlines, Inc. | ||
1.00%, due 5/15/26 | 3,235,000 | 3,047,098 |
61,606,385 | ||
Auto Manufacturers 1.4% | ||
Ford Motor Co. | ||
(zero coupon), due 3/15/26 (b) | 25,312,000 | 27,416,060 |
Principal Amount | Value | |
Convertible Bonds | ||
Biotechnology 5.2% | ||
Apellis Pharmaceuticals, Inc. | ||
3.50%, due 9/15/26 | $ 4,715,000 | $ 5,852,494 |
BioMarin Pharmaceutical, Inc. | ||
0.599%, due 8/1/24 | 20,016,000 | 20,530,137 |
1.25%, due 5/15/27 | 17,392,000 | 17,493,281 |
Exact Sciences Corp. | ||
0.375%, due 3/1/28 | 21,770,000 | 23,480,251 |
Guardant Health, Inc. | ||
(zero coupon), due 11/15/27 (b) | 7,494,000 | 8,618,100 |
Halozyme Therapeutics, Inc. | ||
0.25%, due 3/1/27 (b) | 3,493,000 | 3,181,686 |
Illumina, Inc. | ||
(zero coupon), due 8/15/23 (c) | 15,498,000 | 18,082,358 |
Ionis Pharmaceuticals, Inc. | ||
(zero coupon), due 4/1/26 (b) | 9,307,000 | 8,504,153 |
105,742,460 | ||
Building Materials 0.9% | ||
Patrick Industries, Inc. | ||
1.00%, due 2/1/23 | 16,885,000 | 19,270,006 |
Commercial Services 3.3% | ||
Alarm.com Holdings, Inc. | ||
(zero coupon), due 1/15/26 (b) | 3,250,000 | 2,928,250 |
Chegg, Inc. | ||
(zero coupon), due 9/1/26 | 10,000,000 | 9,905,000 |
Euronet Worldwide, Inc. | ||
0.75%, due 3/15/49 | 11,685,000 | 12,960,640 |
Repay Holdings Corp. | ||
(zero coupon), due 2/1/26 (b) | 2,180,000 | 2,115,962 |
Sabre GLBL, Inc. | ||
4.00%, due 4/15/25 | 1,185,000 | 2,048,566 |
Shift4 Payments, Inc. (b) | ||
(zero coupon), due 12/15/25 | 2,300,000 | 2,774,155 |
0.50%, due 8/1/27 | 1,180,000 | 1,177,017 |
Square, Inc. (b)(c) | ||
(zero coupon), due 5/1/26 | 14,812,000 | 17,040,240 |
0.25%, due 11/1/27 | 13,105,000 | 15,517,230 |
66,467,060 | ||
Computers 3.2% | ||
Lumentum Holdings, Inc. | ||
0.25%, due 3/15/24 | 27,359,000 | 40,217,730 |
Parsons Corp. | ||
0.25%, due 8/15/25 | 2,878,000 | 2,900,296 |
Western Digital Corp. | ||
1.50%, due 2/1/24 (d) | 4,634,000 | 4,694,428 |
Principal Amount | Value | |
Convertible Bonds | ||
Computers | ||
Zscaler, Inc. | ||
0.125%, due 7/1/25 | $ 9,088,000 | $ 16,619,187 |
64,431,641 | ||
Cosmetics & Personal Care 0.1% | ||
Beauty Health Co. (The) | ||
1.25%, due 10/1/26 (b) | 1,922,000 | 2,133,420 |
Diversified Financial Services 0.5% | ||
LendingTree, Inc. | ||
0.625%, due 6/1/22 | 7,200,000 | 7,209,000 |
Upstart Holdings, Inc. | ||
0.25%, due 8/15/26 (b) | 2,380,000 | 3,275,475 |
10,484,475 | ||
Electric 1.7% | ||
NRG Energy, Inc. | ||
2.75%, due 6/1/48 | 29,752,000 | 35,047,856 |
Energy-Alternate Sources 2.0% | ||
Enphase Energy, Inc. | ||
(zero coupon), due 3/1/26 (b) | 9,315,000 | 8,732,813 |
NextEra Energy Partners LP | ||
(zero coupon), due 11/15/25 (b) | 10,860,000 | 11,565,900 |
SolarEdge Technologies, Inc. | ||
(zero coupon), due 9/15/25 | 16,283,000 | 20,239,769 |
40,538,482 | ||
Entertainment 2.5% | ||
Live Nation Entertainment, Inc. | ||
2.50%, due 3/15/23 | 9,704,000 | 14,048,057 |
Marriott Vacations Worldwide Corp. | ||
(zero coupon), due 1/15/26 (b) | 3,060,000 | 3,438,675 |
Vail Resorts, Inc. | ||
(zero coupon), due 1/1/26 (b) | 30,094,000 | 32,275,815 |
49,762,547 | ||
Food 0.6% | ||
Chefs' Warehouse, Inc. (The) | ||
1.875%, due 12/1/24 | 11,724,000 | 12,553,740 |
Healthcare-Products 2.6% | ||
CONMED Corp. | ||
2.625%, due 2/1/24 | 14,887,000 | 23,084,154 |
Haemonetics Corp. | ||
(zero coupon), due 3/1/26 (b) | 4,580,000 | 3,972,439 |
Integra LifeSciences Holdings Corp. | ||
0.50%, due 8/15/25 | 8,831,000 | 9,745,008 |
Principal Amount | Value | |
Convertible Bonds | ||
Healthcare-Products | ||
NuVasive, Inc. | ||
0.375%, due 3/15/25 | $ 12,958,000 | $ 12,544,964 |
Omnicell, Inc. | ||
0.25%, due 9/15/25 | 1,735,000 | 2,775,542 |
52,122,107 | ||
Healthcare-Services 3.4% | ||
Anthem, Inc. | ||
2.75%, due 10/15/42 | 7,764,000 | 41,017,989 |
Teladoc Health, Inc. | ||
1.25%, due 6/1/27 | 28,389,000 | 28,656,893 |
69,674,882 | ||
Internet 9.6% | ||
Booking Holdings, Inc. | ||
0.75%, due 5/1/25 | 11,000,000 | 16,208,500 |
Etsy, Inc. | ||
0.25%, due 6/15/28 (b) | 26,578,000 | 30,285,631 |
Expedia Group, Inc. | ||
(zero coupon), due 2/15/26 (b)(c) | 2,758,000 | 2,991,467 |
Match Group Financeco 2, Inc. | ||
0.875%, due 6/15/26 (b) | 13,160,000 | 24,740,800 |
Okta, Inc. | ||
0.125%, due 9/1/25 | 7,194,000 | 10,190,301 |
Palo Alto Networks, Inc. | ||
0.375%, due 6/1/25 | 11,770,000 | 19,491,986 |
0.75%, due 7/1/23 | 13,152,000 | 23,935,325 |
Q2 Holdings, Inc. | ||
0.75%, due 6/1/26 | 2,800,000 | 3,152,559 |
Shopify, Inc. | ||
0.125%, due 11/1/25 | 17,355,000 | 21,329,295 |
Snap, Inc. | ||
(zero coupon), due 5/1/27 (b) | 4,625,000 | 5,337,594 |
0.75%, due 8/1/26 | 1,000 | 3,266 |
Twitter, Inc. | ||
(zero coupon), due 3/15/26 (b) | 6,865,000 | 6,407,377 |
Uber Technologies, Inc. | ||
(zero coupon), due 12/15/25 (b) | 12,588,000 | 12,306,412 |
Wix.com Ltd. | ||
(zero coupon), due 7/1/23 | 4,873,000 | 7,248,588 |
Zendesk, Inc. | ||
0.625%, due 6/15/25 | 9,259,000 | 11,819,109 |
195,448,210 | ||
Leisure Time 0.4% | ||
NCL Corp. Ltd. | ||
6.00%, due 5/15/24 | 1,756,000 | 3,769,254 |
Principal Amount | Value | |
Convertible Bonds | ||
Leisure Time | ||
Royal Caribbean Cruises Ltd. | ||
4.25%, due 6/15/23 | $ 3,070,000 | $ 4,328,700 |
8,097,954 | ||
Machinery-Diversified 2.0% | ||
Chart Industries, Inc. | ||
1.00%, due 11/15/24 (b) | 12,471,000 | 40,772,376 |
Media 3.8% | ||
Cable One, Inc. | ||
1.125%, due 3/15/28 (b)(c) | 18,790,000 | 19,158,848 |
DISH Network Corp. | ||
(zero coupon), due 12/15/25 (b) | 22,607,000 | 27,128,400 |
Liberty Media Corp. | ||
1.375%, due 10/15/23 | 11,955,000 | 16,336,069 |
Liberty Media Corp-Liberty Formula One | ||
1.00%, due 1/30/23 | 9,954,000 | 14,166,328 |
76,789,645 | ||
Oil & Gas 5.0% | ||
Centennial Resource Production LLC | ||
3.25%, due 4/1/28 | 14,611,000 | 19,298,119 |
EQT Corp. | ||
1.75%, due 5/1/26 | 23,557,000 | 37,255,395 |
Pioneer Natural Resources Co. | ||
0.25%, due 5/15/25 | 27,292,000 | 44,185,748 |
100,739,262 | ||
Oil & Gas Services 2.2% | ||
Helix Energy Solutions Group, Inc. | ||
6.75%, due 2/15/26 | 18,071,000 | 18,887,706 |
Oil States International, Inc. | ||
1.50%, due 2/15/23 | 1,013,000 | 950,684 |
4.75%, due 4/1/26 (b) | 25,625,000 | 25,128,516 |
44,966,906 | ||
Pharmaceuticals 3.3% | ||
Dexcom, Inc. | ||
0.25%, due 11/15/25 (c) | 28,123,000 | 33,466,370 |
Neurocrine Biosciences, Inc. | ||
2.25%, due 5/15/24 (c) | 15,225,000 | 20,337,880 |
Pacira BioSciences, Inc. | ||
0.75%, due 8/1/25 (c) | 10,608,000 | 11,469,900 |
2.375%, due 4/1/22 | 1,094,000 | 1,135,709 |
66,409,859 | ||
Real Estate Investment Trusts 0.6% | ||
Pebblebrook Hotel Trust | ||
1.75%, due 12/15/26 | 5,863,000 | 6,575,354 |
Principal Amount | Value | |
Convertible Bonds | ||
Real Estate Investment Trusts | ||
Summit Hotel Properties, Inc. | ||
1.50%, due 2/15/26 | $ 6,165,000 | $ 6,505,807 |
13,081,161 | ||
Retail 2.4% | ||
American Eagle Outfitters, Inc. | ||
3.75%, due 4/15/25 | 2,758,000 | 8,472,300 |
Burlington Stores, Inc. | ||
2.25%, due 4/15/25 | 20,948,000 | 30,531,710 |
Cheesecake Factory, Inc. (The) | ||
0.375%, due 6/15/26 | 9,488,000 | 9,084,760 |
48,088,770 | ||
Semiconductors 2.7% | ||
Cree, Inc. | ||
1.75%, due 5/1/26 | 1,495,000 | 2,766,008 |
Microchip Technology, Inc. | ||
0.125%, due 11/15/24 | 26,912,000 | 30,557,093 |
ON Semiconductor Corp. | ||
1.625%, due 10/15/23 | 5,984,000 | 13,502,896 |
Rambus, Inc. | ||
1.375%, due 2/1/23 | 6,552,000 | 8,291,400 |
55,117,397 | ||
Software 11.3% | ||
Akamai Technologies, Inc. | ||
0.375%, due 9/1/27 | 18,297,000 | 20,068,112 |
Atlassian, Inc. | ||
0.625%, due 5/1/23 | 7,925,000 | 36,096,509 |
Avalara, Inc. | ||
0.25%, due 8/1/26 (b) | 2,365,000 | 2,439,663 |
Bentley Systems, Inc. | ||
0.125%, due 1/15/26 (b) | 3,445,000 | 3,980,741 |
Bill.com Holdings, Inc. | ||
(zero coupon), due 12/1/25 (b) | 5,190,000 | 9,233,816 |
Coupa Software, Inc. | ||
0.375%, due 6/15/26 | 8,365,000 | 9,070,797 |
Datadog, Inc. | ||
0.125%, due 6/15/25 | 10,168,000 | 16,837,191 |
Envestnet, Inc. | ||
1.75%, due 6/1/23 | 15,925,000 | 20,165,031 |
Everbridge, Inc. | ||
0.125%, due 12/15/24 | 10,466,000 | 15,405,451 |
J2 Global, Inc. | ||
1.75%, due 11/1/26 (b) | 3,285,000 | 4,127,676 |
MongoDB, Inc. | ||
0.25%, due 1/15/26 | 7,540,000 | 17,209,024 |
RingCentral, Inc. | ||
(zero coupon), due 3/1/25 | 28,729,000 | 28,459,666 |
Principal Amount | Value | |
Convertible Bonds | ||
Software | ||
Splunk, Inc. | ||
0.50%, due 9/15/23 | $ 17,072,000 | $ 20,038,260 |
Workday, Inc. | ||
0.25%, due 10/1/22 | 10,554,000 | 18,093,657 |
Zynga, Inc. | ||
(zero coupon), due 12/15/26 (b) | 8,495,000 | 8,245,459 |
229,471,053 | ||
Telecommunications 3.9% | ||
Infinera Corp. | ||
2.50%, due 3/1/27 | 4,490,000 | 5,960,475 |
InterDigital, Inc. | ||
2.00%, due 6/1/24 | 2,860,000 | 3,101,312 |
Nice Ltd. | ||
(zero coupon), due 9/15/25 (c) | 39,334,000 | 46,291,201 |
Viavi Solutions, Inc. | ||
1.00%, due 3/1/24 | 14,133,000 | 18,425,899 |
Vonage Holdings Corp. | ||
1.75%, due 6/1/24 | 5,148,000 | 6,016,932 |
79,795,819 | ||
Transportation 1.1% | ||
Atlas Air Worldwide Holdings, Inc. | ||
1.875%, due 6/1/24 | 15,022,000 | 21,866,399 |
Trucking & Leasing 0.2% | ||
Greenbrier Cos., Inc. (The) | ||
2.875%, due 4/15/28 (b) | 3,235,000 | 3,383,810 |
Total Convertible Bonds (Cost $1,431,123,710) | 1,601,279,742 | |
Shares | ||
Convertible Preferred Stocks 10.4% | ||
Banks 1.7% | ||
Bank of America Corp. | ||
Series L | ||
7.25% (e) | 11,636 | 16,783,999 |
Wells Fargo & Co. | ||
Series L | ||
7.50% (e) | 12,264 | 18,175,248 |
34,959,247 | ||
Capital Markets 1.1% | ||
KKR & Co., Inc. | ||
Series C | ||
6.00% (c) | 283,400 | 22,391,434 |
Shares | Value | |
Convertible Preferred Stocks | ||
Chemicals 0.2% | ||
Lyondellbasell Advanced Polymers, Inc. | ||
6.00% (e) | 4,110 | $ 4,165,485 |
Electric Utilities 0.7% | ||
PG&E Corp. | ||
5.50% | 154,100 | 14,731,960 |
Health Care Equipment & Supplies 4.1% | ||
Becton Dickinson and Co. | ||
Series B | ||
6.00% (c) | 106,750 | 5,762,365 |
Danaher Corp. (c) | ||
Series A | ||
4.75% | 34,270 | 69,499,903 |
Series B | ||
5.00% | 4,769 | 7,737,082 |
82,999,350 | ||
Independent Power and Renewable Electricity Producers 0.7% | ||
AES Corp. (The) | ||
6.875% | 150,600 | 14,517,840 |
Machinery 1.0% | ||
RBC Bearings, Inc. | ||
Series A | ||
5.00% | 17,043 | 1,899,783 |
Stanley Black & Decker, Inc. | ||
5.25% (c) | 164,200 | 17,280,408 |
19,180,191 | ||
Semiconductors & Semiconductor Equipment 0.9% | ||
Broadcom, Inc. | ||
Series A | ||
8.00% | 12,125 | 18,575,622 |
Total Convertible Preferred Stocks (Cost $185,323,052) | 211,521,129 | |
Total Convertible Securities (Cost $1,616,446,762) | 1,812,800,871 | |
Common Stocks 0.9% | ||
Banks 0.6% | ||
Bank of America Corp. | 267,678 | 11,362,931 |
Energy Equipment & Services 0.3% | ||
Valaris Ltd. (f) | 111,802 | 3,899,654 |
Shares | Value | ||
Common Stocks | |||
Energy Equipment & Services | |||
Weatherford International plc (f) | 157,538 | $ 3,098,772 | |
6,998,426 | |||
Total Common Stocks (Cost $10,218,126) | 18,361,357 | ||
Short-Term Investments 11.0% | |||
Affiliated Investment Company 7.7% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (g)(h) | 156,163,648 | 156,163,648 | |
Unaffiliated Investment Companies 3.3% | |||
BlackRock Liquidity FedFund, 0.025% (h)(i) | 43,515,635 | 43,515,635 | |
Wells Fargo Government Money Market Fund, 0.025% (h)(i) | 24,100,694 | 24,100,694 | |
67,616,329 | |||
Total Short-Term Investments (Cost $223,779,977) | 223,779,977 | ||
Total Investments (Cost $1,896,085,589) | 103.1% | 2,093,377,366 | |
Other Assets, Less Liabilities | (3.1) | (63,729,112) | |
Net Assets | 100.0% | $ 2,029,648,254 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | PIK ("Payment-in-Kind")—issuer may pay interest or dividends with additional securities and/or in cash. |
(b) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
(c) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $71,636,219; the total market value of collateral held by the Portfolio was $73,406,652. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $5,790,324. The Portfolio received cash collateral with a value of $67,616,328. |
(d) | Step coupon—Rate shown was the rate in effect as of September 30, 2021. |
(e) | Security is perpetual and, thus, does not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(f) | Non-income producing security. |
(g) | As of September 30, 2021, the Portfolio’s ownership exceeds 5% of the outstanding shares of the Underlying Portfolio's share class. |
(h) | Current yield as of September 30, 2021. |
(i) | Represents a security purchased with cash collateral received for securities on loan. |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Long-Term Bonds | |||||||
Corporate Bonds | $ — | $ 38,435,161 | $ — | $ 38,435,161 | |||
Total Corporate Bonds | — | 38,435,161 | — | 38,435,161 | |||
Convertible Securities | |||||||
Convertible Bonds | — | 1,601,279,742 | — | 1,601,279,742 | |||
Convertible Preferred Stocks | 211,521,129 | — | — | 211,521,129 | |||
Total Convertible Securities | 211,521,129 | 1,601,279,742 | — | 1,812,800,871 | |||
Common Stocks | 18,361,357 | — | — | 18,361,357 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 156,163,648 | — | — | 156,163,648 | |||
Unaffiliated Investment Companies | 67,616,329 | — | — | 67,616,329 | |||
Total Short-Term Investments | 223,779,977 | — | — | 223,779,977 | |||
Total Investments in Securities | $ 453,662,463 | $ 1,639,714,903 | $ — | $ 2,093,377,366 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP MacKay Government Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Principal Amount | Value | |
Long-Term Bonds 98.3% | ||
Asset-Backed Securities 2.3% | ||
Other Asset-Backed Securities 2.3% | ||
Atlantic City Electric Transition Funding LLC | ||
Series 2002-1, Class A4 | ||
5.55%, due 10/20/23 | $ 79,915 | $ 80,049 |
FirstEnergy Ohio PIRB Special Purpose Trust | ||
Series 2013-1, Class A3 | ||
3.45%, due 1/15/36 | 472,661 | 518,940 |
PSNH Funding LLC 3 | ||
Series 2018-1, Class A1 | ||
3.094%, due 2/1/26 | 205,911 | 212,868 |
United States Small Business Administration | ||
Series 2012-20L, Class 1 | ||
1.93%, due 12/1/32 | 353,197 | 362,826 |
Series 2014-20H, Class 1 | ||
2.88%, due 8/1/34 | 357,681 | 374,784 |
Series 2015-20G, Class 1 | ||
2.88%, due 7/1/35 | 982,453 | 1,037,388 |
Series 2014-20I, Class 1 | ||
2.92%, due 9/1/34 | 398,769 | 418,795 |
Series 2014-20C, Class 1 | ||
3.21%, due 3/1/34 | 657,115 | 697,766 |
Series 2018-20B, Class 1 | ||
3.22%, due 2/1/38 | 1,555,176 | 1,666,868 |
Series 2018-20D, Class 1 | ||
3.31%, due 4/1/38 | 1,961,898 | 2,141,775 |
Total Asset-Backed Securities (Cost $7,221,918) | 7,512,059 | |
Corporate Bonds 1.7% | ||
Electric 1.3% | ||
Duke Energy Florida Project Finance LLC | ||
Series 2026 | ||
2.538%, due 9/1/29 | 1,900,000 | 1,988,932 |
Monongahela Power Co. | ||
4.10%, due 4/15/24 (a) | 2,000,000 | 2,142,069 |
4,131,001 | ||
Real Estate Investment Trusts 0.4% | ||
Host Hotels & Resorts LP | ||
Series D | ||
3.75%, due 10/15/23 | 1,350,000 | 1,413,197 |
Total Corporate Bonds (Cost $5,330,958) | 5,544,198 |
Principal Amount | Value | |
Mortgage-Backed Securities 20.6% | ||
Agency (Collateralized Mortgage Obligations) 10.3% | ||
FHLMC | ||
REMIC, Series 5073, Class DG | ||
1.50%, due 8/25/38 | $ 365,000 | $ 367,625 |
REMIC, Series 5051, Class KI | ||
2.50%, due 12/25/50 | 2,553,832 | 418,964 |
REMIC, Series 4913, Class UA | ||
3.00%, due 3/15/49 | 394,301 | 410,713 |
REMIC, Series 4908, Class BD | ||
3.00%, due 4/25/49 | 1,352,453 | 1,397,271 |
REMIC, Series 4888, Class BA | ||
3.50%, due 9/15/48 | 258,718 | 266,660 |
REMIC, Series 4877, Class AT | ||
3.50%, due 11/15/48 | 285,685 | 301,149 |
REMIC, Series 4877, Class BE | ||
3.50%, due 11/15/48 | 360,966 | 376,348 |
FHLMC, Multifamily Structured Pass-Through Certificates | ||
REMIC, Series K042, Class A2 | ||
2.67%, due 12/25/24 | 1,500,000 | 1,584,273 |
REMIC, Series K729, Class A2 | ||
3.136%, due 10/25/24 | 2,745,000 | 2,915,147 |
FHLMC, STRIPS | ||
REMIC, Series 358, Class PO | ||
(zero coupon), due 10/15/47 | 2,246,235 | 2,122,792 |
FNMA | ||
REMIC, Series 2020-63, Class B | ||
1.25%, due 9/25/50 | 506,585 | 510,214 |
REMIC, Series 2012-124, Class PG | ||
2.00%, due 7/25/42 | 1,032,738 | 1,057,957 |
REMIC, Series 2021-2, Class AI | ||
2.00%, due 2/25/51 | 5,984,161 | 662,408 |
REMIC, Series 2021-53, Class GI | ||
3.00%, due 7/25/48 | 2,070,764 | 300,424 |
REMIC, Series 2019-13, Class PE | ||
3.00%, due 3/25/49 | 318,953 | 337,067 |
REMIC, Series 2019-58, Class LP | ||
3.00%, due 10/25/49 | 717,301 | 745,640 |
REMIC, Series 2021-13, Class BI | ||
3.00%, due 2/25/50 | 1,537,376 | 126,234 |
REMIC, Series 2020-10, Class LP | ||
3.50%, due 3/25/50 | 2,156,888 | 2,283,918 |
REMIC, Series 2021-6, Class ML | ||
3.50%, due 6/25/50 | 1,034,493 | 1,093,967 |
REMIC, Series 2021-6, Class MC | ||
3.50%, due 6/25/50 | 1,985,176 | 2,141,229 |
REMIC, Series 2021-12, Class GC | ||
3.50%, due 7/25/50 | 1,519,700 | 1,629,113 |
REMIC, Series 2020-10, Class DA | ||
3.50%, due 3/25/60 | 2,063,014 | 2,226,738 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Agency (Collateralized Mortgage Obligations) | ||
FNMA, STRIPS (b) | ||
REMIC, Series 360, Class 2 | ||
5.00%, due 8/25/35 | $ 53,357 | $ 9,049 |
REMIC, Series 361, Class 2 | ||
6.00%, due 10/25/35 | 12,293 | 2,548 |
GNMA | ||
REMIC, Series 2021-78, Class LA | ||
1.00%, due 5/20/51 | 947,851 | 945,120 |
REMIC, Series 2021-91, Class MF | ||
1.00%, due 5/20/51 | 473,660 | 471,131 |
REMIC, Series 2021-105, Class DB | ||
1.00%, due 6/20/51 | 983,746 | 943,579 |
REMIC, Series 2021-57, Class IN | ||
2.00%, due 2/20/51 | 493,995 | 61,173 |
REMIC, Series 2021-57, Class AI | ||
2.00%, due 2/20/51 | 2,532,826 | 299,370 |
REMIC, Series 2014-63, Class PG | ||
2.50%, due 7/20/43 | 851,959 | 874,652 |
REMIC, Series 2021-25, Class LI | ||
2.50%, due 2/20/51 (b) | 2,870,033 | 336,956 |
REMIC, Series 2021-30, Class WI | ||
2.50%, due 2/20/51 | 2,716,431 | 377,753 |
REMIC, Series 2019-3, Class A | ||
3.00%, due 4/20/48 | 420,288 | 431,309 |
REMIC, Series 2019-59, Class KA | ||
3.00%, due 12/20/48 | 584,138 | 608,378 |
REMIC, Series 2021-74, Class HI | ||
3.00%, due 4/20/51 (b) | 1,453,376 | 202,399 |
REMIC, Series 2021-136, Class TI | ||
3.00%, due 8/20/51 | 2,495,795 | 348,769 |
REMIC, Series 2021-139, Class IA | ||
3.00%, due 8/20/51 | 3,179,782 | 432,956 |
REMIC, Series 2021-158, Class NI | ||
3.00%, due 9/20/51 | 2,000,000 | 258,508 |
REMIC, Series 2013-149, Class BA | ||
3.25%, due 8/16/41 | 1,190,452 | 1,248,755 |
UMBS, Single Family, 30 Year (c) | ||
3.00%, due 10/25/51 TBA | 1,100,000 | 1,151,004 |
3.50%, due 10/25/51 TBA | 1,600,000 | 1,692,906 |
33,972,166 | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) 9.9% | ||
Arbor Multifamily Mortgage Securities Trust | ||
Series 2021-MF3, Class A5 | ||
2.575%, due 10/15/54 (a)(d) | 3,000,000 | 3,089,156 |
BX Trust | ||
Series 2019-OC11, Class A | ||
3.202%, due 12/9/41 (a) | 485,000 | 518,435 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) | ||
BXP Trust | ||
Series 2017-GM, Class A | ||
3.379%, due 6/13/39 (a) | $ 1,750,000 | $ 1,900,407 |
FREMF Mortgage Trust (a)(e) | ||
REMIC, Series 2019-K103, Class B | ||
3.572%, due 12/25/51 | 2,144,000 | 2,280,930 |
REMIC, Series 2013-K33, Class B | ||
3.612%, due 8/25/46 | 933,000 | 978,798 |
REMIC, Series 2013-K27, Class B | ||
3.616%, due 1/25/46 | 1,300,000 | 1,344,331 |
REMIC, Series 2013-K24, Class B | ||
3.627%, due 11/25/45 | 2,000,000 | 2,054,729 |
REMIC, Series 2020-K104, Class C | ||
3.66%, due 2/25/52 | 1,200,000 | 1,239,483 |
REMIC, Series 2015-K721, Class B | ||
3.678%, due 11/25/47 | 3,140,000 | 3,219,167 |
REMIC, Series 2012-K23, Class B | ||
3.782%, due 10/25/45 | 1,222,000 | 1,253,405 |
REMIC, Series 2012-K22, Class B | ||
3.811%, due 8/25/45 | 800,000 | 820,296 |
REMIC, Series 2016-K58, Class B | ||
3.866%, due 9/25/49 | 500,000 | 544,576 |
REMIC, Series 2014-K41, Class B | ||
3.964%, due 11/25/47 | 2,700,000 | 2,910,181 |
REMIC, Series 2013-K35, Class B | ||
4.068%, due 12/25/46 | 1,925,000 | 2,040,220 |
REMIC, Series 2016-K54, Class B | ||
4.19%, due 4/25/48 | 695,000 | 760,749 |
REMIC, Series 2014-K40, Class B | ||
4.209%, due 11/25/47 | 1,645,000 | 1,784,411 |
REMIC, Series 2014-K38, Class B | ||
4.376%, due 6/25/47 | 2,000,000 | 2,152,328 |
REMIC, Series 2019-K87, Class C | ||
4.47%, due 1/25/51 | 1,500,000 | 1,644,415 |
One Bryant Park Trust | ||
Series 2019-OBP, Class A | ||
2.516%, due 9/15/54 (a) | 1,265,000 | 1,301,923 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2018-1745, Class A | ||
3.874%, due 6/15/36 (a)(e) | 695,000 | 764,349 |
32,602,289 | ||
Whole Loan (Collateralized Mortgage Obligations) 0.4% | ||
Citigroup Mortgage Loan Trust | ||
Series 2006-AR6, Class 1A1 | ||
3.054%, due 8/25/36 (e) | 71,030 | 68,328 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Whole Loan (Collateralized Mortgage Obligations) | ||
Flagstar Mortgage Trust | ||
Series 2021-2, Class A2 | ||
2.50%, due 4/25/51 (a)(f) | $ 956,254 | $ 967,971 |
Seasoned Loans Structured Transaction | ||
Series 2019-1, Class A1 | ||
3.50%, due 5/25/29 | 322,814 | 337,281 |
1,373,580 | ||
Total Mortgage-Backed Securities (Cost $67,704,780) | 67,948,035 | |
Municipal Bonds 2.1% | ||
New Jersey 0.8% | ||
New Jersey Turnpike Authority Revenue Bonds | ||
1.483%, due 1/1/28 | 1,000,000 | 990,455 |
7.102%, due 1/1/41 | 1,000,000 | 1,591,238 |
2,581,693 | ||
New York 1.3% | ||
New York State Thruway Authority Revenue Bonds | ||
Series M | ||
2.90%, due 1/1/35 | 4,000,000 | 4,219,793 |
Total Municipal Bonds (Cost $6,841,641) | 6,801,486 | |
U.S. Government & Federal Agencies 71.6% | ||
Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) 14.0% | ||
FHLMC Gold Pools, 30 Year | ||
2.50%, due 8/1/46 | 747,449 | 774,680 |
3.00%, due 2/1/46 | 1,315,669 | 1,391,905 |
3.00%, due 4/1/47 | 1,428,676 | 1,509,137 |
3.50%, due 1/1/44 | 338,635 | 367,572 |
3.50%, due 1/1/48 | 1,357,043 | 1,457,295 |
4.00%, due 7/1/44 | 744,061 | 818,278 |
4.00%, due 12/1/46 | 544,080 | 593,490 |
4.00%, due 10/1/48 | 616,425 | 681,448 |
4.00%, due 3/1/49 | 277,776 | 297,719 |
4.50%, due 12/1/44 | 1,020,029 | 1,142,836 |
5.00%, due 11/1/41 | 777,296 | 887,337 |
6.50%, due 4/1/37 | 22,331 | 26,221 |
FHLMC Gold Pools, Other | ||
4.50%, due 3/1/41 | 160,530 | 176,508 |
Freddie Mac Pool, 30 Year | ||
2.50%, due 5/1/51 | 1,373,793 | 1,418,048 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) | ||
Tennessee Valley Authority | ||
4.65%, due 6/15/35 | $ 4,395,000 | $ 5,693,669 |
UMBS, 15 Year | ||
2.00%, due 6/1/35 | 890,048 | 919,464 |
2.50%, due 9/1/34 | 339,844 | 354,533 |
UMBS, 30 Year | ||
2.00%, due 7/1/50 | 3,352,817 | 3,364,358 |
2.00%, due 7/1/50 | 1,193,193 | 1,197,300 |
2.00%, due 8/1/50 | 1,469,879 | 1,474,939 |
2.00%, due 8/1/50 | 3,015,918 | 3,050,685 |
2.00%, due 8/1/50 | 2,172,629 | 2,180,107 |
2.00%, due 9/1/50 | 988,517 | 991,919 |
2.00%, due 11/1/50 | 1,987,546 | 1,994,387 |
2.50%, due 3/1/50 | 1,221,360 | 1,260,393 |
2.50%, due 7/1/50 | 1,990,974 | 2,054,602 |
2.50%, due 10/1/50 | 179,430 | 185,968 |
2.50%, due 11/1/50 | 1,857,129 | 1,916,480 |
2.50%, due 1/1/51 | 495,107 | 512,477 |
2.50%, due 2/1/51 | 2,571,950 | 2,660,177 |
3.00%, due 6/1/46 | 706,721 | 747,303 |
3.00%, due 8/1/49 | 1,341,309 | 1,405,618 |
3.00%, due 9/1/49 | 232,984 | 243,853 |
3.00%, due 11/1/49 | 802,556 | 846,818 |
3.50%, due 1/1/50 | 1,230,936 | 1,301,276 |
United States International Development Finance Corp. | ||
5.142%, due 12/15/23 | 103,659 | 109,669 |
46,008,469 | ||
Federal National Mortgage Association (Mortgage Pass-Through Securities) 33.4% | ||
FNMA, Other | ||
2.50%, due 1/1/57 | 706,426 | 740,794 |
2.68%, due 5/1/25 | 2,000,000 | 2,114,531 |
2.73%, due 4/1/25 | 1,025,000 | 1,085,233 |
3.00%, due 9/1/46 | 583,115 | 602,483 |
3.00%, due 10/1/46 | 592,332 | 612,435 |
3.00%, due 10/1/48 | 13,115 | 13,346 |
3.00%, due 2/1/57 | 584,776 | 632,231 |
3.00%, due 6/1/57 | 690,827 | 746,492 |
6.00%, due 4/1/37 | 7,475 | 8,372 |
6.50%, due 8/1/47 | 12,161 | 13,192 |
UMBS, 15 Year | ||
2.00%, due 6/1/35 | 1,630,706 | 1,680,802 |
UMBS, 20 Year | ||
2.00%, due 5/1/41 | 2,434,449 | 2,472,867 |
2.50%, due 6/1/41 | 2,055,731 | 2,128,871 |
2.50%, due 7/1/41 | 2,079,019 | 2,153,608 |
3.00%, due 10/1/32 | 406,544 | 433,883 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
Federal National Mortgage Association (Mortgage Pass-Through Securities) | ||
UMBS, 30 Year | ||
2.00%, due 6/1/50 | $ 1,707,687 | $ 1,713,565 |
2.00%, due 8/1/50 | 3,227,807 | 3,238,917 |
2.00%, due 10/1/50 | 2,773,690 | 2,796,024 |
2.00%, due 10/1/50 | 2,235,504 | 2,245,202 |
2.00%, due 12/1/50 | 1,942,162 | 1,948,847 |
2.00%, due 3/1/51 | 2,420,758 | 2,434,386 |
2.50%, due 1/1/47 | 1,910,714 | 1,982,065 |
2.50%, due 9/1/49 | 1,702,601 | 1,760,165 |
2.50%, due 3/1/50 | 631,099 | 656,479 |
2.50%, due 3/1/50 | 1,389,770 | 1,434,185 |
2.50%, due 3/1/50 | 1,459,480 | 1,506,123 |
2.50%, due 4/1/50 | 2,390,901 | 2,492,546 |
2.50%, due 5/1/50 | 3,643,800 | 3,760,250 |
2.50%, due 7/1/50 | 1,988,588 | 2,052,140 |
2.50%, due 8/1/50 | 2,363,068 | 2,446,985 |
2.50%, due 8/1/50 | 2,974,592 | 3,080,385 |
2.50%, due 9/1/50 | 2,752,429 | 2,866,846 |
2.50%, due 10/1/50 | 2,545,193 | 2,627,190 |
2.50%, due 11/1/50 | 2,761,786 | 2,891,558 |
2.50%, due 1/1/51 | 2,374,488 | 2,468,686 |
2.50%, due 1/1/51 | 2,212,801 | 2,292,122 |
2.50%, due 4/1/51 | 1,839,318 | 1,921,988 |
3.00%, due 10/1/44 | 1,184,159 | 1,267,867 |
3.00%, due 3/1/47 | 671,541 | 710,382 |
3.00%, due 12/1/47 | 867,971 | 916,469 |
3.00%, due 10/1/49 | 868,336 | 908,382 |
3.00%, due 3/1/50 | 1,262,593 | 1,346,555 |
3.00%, due 3/1/50 | 1,799,469 | 1,910,097 |
3.00%, due 3/1/50 | 1,540,230 | 1,617,039 |
3.00%, due 5/1/50 | 1,406,214 | 1,472,132 |
3.00%, due 7/1/50 | 2,158,707 | 2,273,810 |
3.50%, due 5/1/43 | 1,450,621 | 1,579,934 |
3.50%, due 11/1/44 | 527,746 | 574,285 |
3.50%, due 3/1/45 | 597,311 | 651,950 |
3.50%, due 11/1/45 | 1,528,820 | 1,648,555 |
3.50%, due 8/1/46 | 388,507 | 421,679 |
3.50%, due 10/1/47 | 279,923 | 297,609 |
3.50%, due 2/1/48 | 164,093 | 174,031 |
3.50%, due 8/1/49 | 871,850 | 920,553 |
3.50%, due 9/1/50 | 2,306,048 | 2,476,518 |
4.00%, due 1/1/46 | 521,217 | 573,666 |
4.00%, due 9/1/47 | 242,218 | 261,137 |
4.00%, due 7/1/48 | 621,642 | 665,506 |
4.00%, due 8/1/48 | 3,189,742 | 3,423,819 |
4.00%, due 9/1/48 | 569,201 | 609,449 |
4.00%, due 4/1/49 | 172,176 | 184,372 |
4.00%, due 3/1/50 | 1,548,533 | 1,674,499 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
Federal National Mortgage Association (Mortgage Pass-Through Securities) | ||
UMBS, 30 Year | ||
4.50%, due 2/1/41 | $ 1,782,578 | $ 2,001,940 |
4.50%, due 4/1/41 | 4,453,998 | 5,042,846 |
4.50%, due 8/1/42 | 717,194 | 803,295 |
4.50%, due 8/1/44 | 816,653 | 914,697 |
5.00%, due 9/1/41 | 1,526,163 | 1,743,425 |
5.00%, due 10/1/41 | 1,276,422 | 1,453,484 |
5.50%, due 7/1/41 | 2,344,945 | 2,710,841 |
6.00%, due 7/1/39 | 530,688 | 626,027 |
6.50%, due 10/1/39 | 99,340 | 113,904 |
110,026,548 | ||
Government National Mortgage Association (Mortgage Pass-Through Securities) 0.4% | ||
GNMA II, 30 Year | ||
4.00%, due 11/20/49 | 648,818 | 690,600 |
4.50%, due 7/20/49 | 546,962 | 583,849 |
1,274,449 | ||
United States Treasury Bonds 2.2% | ||
U.S. Treasury Bonds | ||
3.00%, due 5/15/45 | 2,790,000 | 3,282,609 |
3.00%, due 2/15/48 | 2,000,000 | 2,378,125 |
4.375%, due 11/15/39 | 1,200,000 | 1,662,938 |
7,323,672 | ||
United States Treasury Inflation - Indexed Notes 7.6% | ||
U.S. Treasury Inflation Linked Notes (g) | ||
0.125%, due 1/15/30 | 10,377,558 | 11,400,315 |
0.125%, due 7/15/30 | 7,985,925 | 8,806,562 |
0.875%, due 1/15/29 | 4,270,701 | 4,934,160 |
25,141,037 | ||
United States Treasury Notes 14.0% | ||
U.S. Treasury Notes | ||
0.375%, due 4/30/25 | 5,000,000 | 4,944,531 |
1.50%, due 2/15/30 | 2,615,000 | 2,631,650 |
2.25%, due 4/30/24 | 19,045,000 | 19,935,503 |
2.375%, due 8/15/24 | 1,695,000 | 1,786,040 |
2.625%, due 1/31/26 | 5,900,000 | 6,341,117 |
2.75%, due 7/31/23 | 345,000 | 360,727 |
2.75%, due 8/31/23 | 1,325,000 | 1,387,679 |
3.00%, due 10/31/25 | 7,805,000 | 8,492,816 |
45,880,063 | ||
Total U.S. Government & Federal Agencies (Cost $230,652,583) | 235,654,238 | |
Total Long-Term Bonds (Cost $317,751,880) | 323,460,016 | |
Shares | Value | ||
Short-Term Investment 3.2% | |||
Affiliated Investment Company 3.2% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (h) | 10,609,224 | $ 10,609,224 | |
Total Short-Term Investment (Cost $10,609,224) | 10,609,224 | ||
Total Investments (Cost $328,361,104) | 101.5% | 334,069,240 | |
Other Assets, Less Liabilities | (1.5) | (5,024,716) | |
Net Assets | 100.0% | $ 329,044,524 |
† | Percentages indicated are based on Portfolio net assets. |
(a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
(b) | Collateralized Mortgage Obligation Interest Only Strip—Pays a fixed or variable rate of interest based on mortgage loans or mortgage pass-through securities. The principal amount of the underlying pool represents the notional amount on which the current interest was calculated. The value of these stripped securities may be particularly sensitive to changes in prevailing interest rates and are typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities. |
(c) | TBA—Security purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. As of September 30, 2021, the total net market value was $2,843,910, which represented 0.9% of the Portfolio’s net assets. All or a portion of this security is a part of a mortgage dollar roll agreement. |
(d) | Delayed delivery security. |
(e) | Collateral strip rate—A bond whose interest was based on the weighted net interest rate of the collateral. The coupon rate adjusts periodically based on a predetermined schedule. Rate shown was the rate in effect as of September 30, 2021. |
(f) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. Rate shown was the rate in effect as of September 30, 2021. |
(g) | Treasury Inflation Protected Security—Pays a fixed rate of interest on a principal amount that is continuously adjusted for inflation based on the Consumer Price Index-Urban Consumers. |
(h) | Current yield as of September 30, 2021. |
Futures Contracts
As of September 30, 2021, the Portfolio held the following futures contracts1:
Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 |
Short Contracts | |||||
U.S. Treasury 10 Year Ultra Bonds | (12) | December 2021 | $ (1,771,253) | $ (1,743,000) | $ 28,253 |
U.S. Treasury Long Bonds | (9) | December 2021 | (1,462,760) | (1,432,969) | 29,791 |
U.S. Treasury Ultra Bonds | (11) | December 2021 | (2,170,067) | (2,101,687) | 68,380 |
Net Unrealized Appreciation | $ 126,424 |
1. | As of September 30, 2021, cash in the amount of $129,400 was on deposit with a broker or futures commission merchant for futures transactions. |
2. | Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2021. |
Abbreviation(s): |
FHLMC—Federal Home Loan Mortgage Corp. |
FNMA—Federal National Mortgage Association |
FREMF—Freddie Mac Multifamily |
GNMA—Government National Mortgage Association |
REMIC—Real Estate Mortgage Investment Conduit |
TBA—To Be Announced |
UMBS—Uniform Mortgage Backed Securities |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Long-Term Bonds | |||||||
Asset-Backed Securities | $ — | $ 7,512,059 | $ — | $ 7,512,059 | |||
Corporate Bonds | — | 5,544,198 | — | 5,544,198 | |||
Mortgage-Backed Securities | — | 67,948,035 | — | 67,948,035 | |||
Municipal Bonds | — | 6,801,486 | — | 6,801,486 | |||
U.S. Government & Federal Agencies | — | 235,654,238 | — | 235,654,238 | |||
Total Long-Term Bonds | — | 323,460,016 | — | 323,460,016 | |||
Short-Term Investment | |||||||
Affiliated Investment Company | 10,609,224 | — | — | 10,609,224 | |||
Total Investments in Securities | 10,609,224 | 323,460,016 | — | 334,069,240 | |||
Other Financial Instruments | |||||||
Futures Contracts (b) | 126,424 | — | — | 126,424 | |||
Total Investments in Securities and Other Financial Instruments | $ 10,735,648 | $ 323,460,016 | $ — | $ 334,195,664 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
(b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP Wellington Growth Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Common Stocks 99.1% | ||
Aerospace & Defense 1.4% | ||
Airbus SE, ADR | 110,703 | $ 3,696,373 |
Northrop Grumman Corp. | 16,653 | 5,997,578 |
9,693,951 | ||
Beverages 2.6% | ||
Constellation Brands, Inc., Class A | 53,095 | 11,186,586 |
Monster Beverage Corp. (a) | 80,716 | 7,170,002 |
18,356,588 | ||
Biotechnology 1.0% | ||
Seagen, Inc. (a) | 41,546 | 7,054,511 |
Capital Markets 3.4% | ||
Blackstone Group, Inc. (The) | 55,978 | 6,512,480 |
Coinbase Global, Inc., Class A (a) | 13,591 | 3,091,681 |
MarketAxess Holdings, Inc. | 16,382 | 6,891,744 |
S&P Global, Inc. | 18,879 | 8,021,498 |
24,517,403 | ||
Commercial Services & Supplies 1.3% | ||
Copart, Inc. (a) | 67,195 | 9,321,290 |
Consumer Finance 0.8% | ||
American Express Co. | 33,425 | 5,599,690 |
Electronic Equipment, Instruments & Components 0.4% | ||
CDW Corp. | 15,403 | 2,803,654 |
Entertainment 0.7% | ||
Walt Disney Co. (The) (a) | 31,018 | 5,247,315 |
Equity Real Estate Investment Trusts 0.4% | ||
Equinix, Inc. | 3,782 | 2,988,272 |
Health Care Equipment & Supplies 2.5% | ||
ABIOMED, Inc. (a) | 27,031 | 8,799,131 |
Boston Scientific Corp. (a) | 210,650 | 9,140,104 |
17,939,235 | ||
Health Care Providers & Services 1.5% | ||
UnitedHealth Group, Inc. | 27,562 | 10,769,576 |
Hotels, Restaurants & Leisure 4.2% | ||
Airbnb, Inc., Class A (a) | 63,716 | 10,688,359 |
Booking Holdings, Inc. (a) | 2,374 | 5,635,567 |
DraftKings, Inc., Class A (a) | 167,973 | 8,089,580 |
Shares | Value | |
Common Stocks | ||
Hotels, Restaurants & Leisure | ||
Hilton Worldwide Holdings, Inc. (a) | 40,827 | $ 5,393,655 |
29,807,161 | ||
Insurance 1.2% | ||
Markel Corp. (a) | 3,066 | 3,664,268 |
Marsh & McLennan Cos., Inc. | 34,253 | 5,186,932 |
8,851,200 | ||
Interactive Media & Services 14.1% | ||
Alphabet, Inc., Class C (a) | 19,075 | 50,840,788 |
Facebook, Inc., Class A (a) | 71,815 | 24,373,293 |
Match Group, Inc. (a) | 38,765 | 6,085,717 |
Snap, Inc., Class A (a) | 114,456 | 8,454,865 |
ZoomInfo Technologies, Inc., Class A (a) | 188,755 | 11,549,919 |
101,304,582 | ||
Internet & Direct Marketing Retail 4.5% | ||
Amazon.com, Inc. (a) | 9,935 | 32,636,872 |
IT Services 15.1% | ||
Affirm Holdings, Inc. (a) | 57,545 | 6,855,336 |
Fidelity National Information Services, Inc. | 93,023 | 11,319,039 |
FleetCor Technologies, Inc. (a) | 40,788 | 10,656,681 |
Global Payments, Inc. | 74,869 | 11,797,857 |
Mastercard, Inc., Class A | 60,295 | 20,963,365 |
PayPal Holdings, Inc. (a) | 71,719 | 18,662,001 |
Shopify, Inc., Class A (a) | 3,312 | 4,490,343 |
Snowflake, Inc., Class A (a) | 18,241 | 5,516,625 |
Square, Inc., Class A (a) | 39,196 | 9,400,769 |
Visa, Inc., Class A | 40,209 | 8,956,555 |
108,618,571 | ||
Life Sciences Tools & Services 1.7% | ||
Illumina, Inc. (a) | 21,925 | 8,892,999 |
Mettler-Toledo International, Inc. (a) | 2,311 | 3,183,079 |
12,076,078 | ||
Machinery 0.2% | ||
IDEX Corp. | 7,324 | 1,515,702 |
Media 0.0% ‡ | ||
Interpublic Group of Cos., Inc. (The) | 7,626 | 279,645 |
Pharmaceuticals 0.7% | ||
Zoetis, Inc. | 26,418 | 5,128,791 |
Professional Services 2.6% | ||
IHS Markit Ltd. | 45,123 | 5,262,244 |
Shares | Value | |
Common Stocks | ||
Professional Services | ||
Legalzoom.com, Inc. (a)(b) | 10,017 | $ 264,449 |
TransUnion | 113,739 | 12,774,027 |
18,300,720 | ||
Road & Rail 0.5% | ||
Uber Technologies, Inc. (a) | 86,149 | 3,859,475 |
Semiconductors & Semiconductor Equipment 5.9% | ||
Advanced Micro Devices, Inc. (a) | 146,426 | 15,067,235 |
Marvell Technology, Inc. | 100,486 | 6,060,311 |
Microchip Technology, Inc. | 64,651 | 9,923,282 |
Monolithic Power Systems, Inc. | 5,506 | 2,668,648 |
NVIDIA Corp. | 41,995 | 8,699,684 |
42,419,160 | ||
Software 21.9% | ||
Adobe, Inc. (a) | 25,952 | 14,941,086 |
Autodesk, Inc. (a) | 36,755 | 10,481,423 |
Avalara, Inc. (a) | 48,135 | 8,412,554 |
Ceridian HCM Holding, Inc. (a) | 14,100 | 1,587,942 |
DocuSign, Inc. (a) | 13,231 | 3,406,056 |
Intuit, Inc. | 15,876 | 8,565,261 |
Microsoft Corp. | 209,466 | 59,052,655 |
nCino, Inc. (a) | 83,060 | 5,899,752 |
RingCentral, Inc., Class A (a) | 17,383 | 3,780,803 |
salesforce.com, Inc. (a) | 59,951 | 16,259,910 |
ServiceNow, Inc. (a) | 17,923 | 11,152,945 |
UiPath, Inc., Class A (a)(b) | 80,312 | 4,225,214 |
Workday, Inc., Class A (a) | 37,419 | 9,350,634 |
157,116,235 | ||
Specialty Retail 1.8% | ||
Burlington Stores, Inc. (a) | 18,616 | 5,278,939 |
TJX Cos., Inc. (The) | 114,140 | 7,530,957 |
12,809,896 | ||
Technology Hardware, Storage & Peripherals 7.4% | ||
Apple, Inc. | 374,727 | 53,023,871 |
Textiles, Apparel & Luxury Goods 1.3% | ||
Lululemon Athletica, Inc. (a) | 22,489 | 9,101,298 |
Total Common Stocks (Cost $584,948,442) | 711,140,742 | |
Short-Term Investments 1.1% | ||
Affiliated Investment Company 1.0% | ||
MainStay U.S. Government Liquidity Fund, 0.01% (c) | 7,127,625 | 7,127,625 |
Shares | Value | ||
Short-Term Investments | |||
Unaffiliated Investment Company 0.1% | |||
Wells Fargo Government Money Market Fund, 0.025% (c)(d) | 1,003,816 | $ 1,003,816 | |
Total Short-Term Investments (Cost $8,131,441) | 8,131,441 | ||
Total Investments (Cost $593,079,883) | 100.2% | 719,272,183 | |
Other Assets, Less Liabilities | (0.2) | (1,575,469) | |
Net Assets | 100.0% | $ 717,696,714 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | Non-income producing security. |
(b) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $3,057,871; the total market value of collateral held by the Portfolio was $3,098,220. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $2,094,404. The Portfolio received cash collateral with a value of $1,003,816. |
(c) | Current yield as of September 30, 2021. |
(d) | Represents a security purchased with cash collateral received for securities on loan. |
Abbreviation(s): |
ADR—American Depositary Receipt |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Common Stocks | $ 711,140,742 | $ — | $ — | $ 711,140,742 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 7,127,625 | — | — | 7,127,625 | |||
Unaffiliated Investment Company | 1,003,816 | — | — | 1,003,816 | |||
Total Short-Term Investments | 8,131,441 | — | — | 8,131,441 | |||
Total Investments in Securities | $ 719,272,183 | $ — | $ — | $ 719,272,183 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP MacKay High Yield Corporate Bond Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Principal Amount | Value | |
Long-Term Bonds 92.7% | ||
Convertible Bonds 1.0% | ||
Investment Companies 0.1% | ||
ARES Capital Corp. | ||
4.625%, due 3/1/24 | $ 4,365,000 | $ 4,845,150 |
Media 0.4% | ||
DISH Network Corp. | ||
2.375%, due 3/15/24 | 5,695,000 | 5,570,422 |
3.375%, due 8/15/26 | 6,595,000 | 6,871,990 |
12,442,412 | ||
Oil & Gas 0.2% | ||
Gulfport Energy Operating Corp. | ||
10.00%, due 12/15/25 (a)(b) | 1,056,000 | 6,093,120 |
Oil & Gas Services 0.3% | ||
Forum Energy Technologies, Inc. | ||
9.00% (6.25% Cash and 2.75% PIK), due 8/4/25 (b) | 9,247,866 | 9,106,659 |
Total Convertible Bonds (Cost $25,838,603) | 32,487,341 | |
Corporate Bonds 88.3% | ||
Advertising 1.1% | ||
Lamar Media Corp. | ||
3.625%, due 1/15/31 | 10,265,000 | 10,265,000 |
3.75%, due 2/15/28 | 6,320,000 | 6,500,626 |
4.00%, due 2/15/30 | 6,400,000 | 6,588,800 |
4.875%, due 1/15/29 | 2,195,000 | 2,326,700 |
Outfront Media Capital LLC (c) | ||
4.25%, due 1/15/29 | 2,000,000 | 1,982,300 |
5.00%, due 8/15/27 | 7,910,000 | 8,112,891 |
35,776,317 | ||
Aerospace & Defense 1.8% | ||
F-Brasile SpA | ||
Series XR | ||
7.375%, due 8/15/26 (c) | 5,587,000 | 5,754,610 |
Rolls-Royce plc | ||
5.75%, due 10/15/27 (c) | 3,210,000 | 3,547,050 |
TransDigm UK Holdings plc | ||
6.875%, due 5/15/26 | 7,637,000 | 8,028,396 |
TransDigm, Inc. | ||
4.625%, due 1/15/29 | 7,485,000 | 7,471,939 |
4.875%, due 5/1/29 | 5,630,000 | 5,640,472 |
6.25%, due 3/15/26 (c) | 22,850,000 | 23,821,125 |
Principal Amount | Value | |
Corporate Bonds | ||
Aerospace & Defense | ||
TransDigm, Inc. | ||
7.50%, due 3/15/27 | $ 2,780,000 | $ 2,912,050 |
8.00%, due 12/15/25 (c) | 2,000,000 | 2,132,500 |
59,308,142 | ||
Airlines 0.9% | ||
American Airlines, Inc. (c) | ||
5.50%, due 4/20/26 | 4,560,000 | 4,793,700 |
5.75%, due 4/20/29 | 3,750,000 | 4,040,625 |
Delta Air Lines, Inc. | ||
4.50%, due 10/20/25 (c) | 4,095,000 | 4,381,650 |
4.75%, due 10/20/28 (c) | 5,450,000 | 6,076,750 |
7.00%, due 5/1/25 (c) | 713,000 | 831,536 |
7.375%, due 1/15/26 | 2,160,000 | 2,544,784 |
Mileage Plus Holdings LLC | ||
6.50%, due 6/20/27 (c) | 5,080,000 | 5,524,094 |
Spirit Loyalty Cayman Ltd. | ||
8.00%, due 9/20/25 (c) | 1,495,984 | 1,677,746 |
29,870,885 | ||
Auto Manufacturers 1.9% | ||
Ford Holdings LLC | ||
9.30%, due 3/1/30 | 8,454,000 | 11,518,575 |
Ford Motor Co. | ||
7.45%, due 7/16/31 | 5,200,000 | 6,785,220 |
9.625%, due 4/22/30 | 1,500,000 | 2,123,213 |
Ford Motor Credit Co. LLC | ||
2.90%, due 2/16/28 | 2,400,000 | 2,397,000 |
3.339%, due 3/28/22 | 2,561,000 | 2,575,418 |
3.375%, due 11/13/25 | 4,000,000 | 4,110,000 |
4.00%, due 11/13/30 | 5,000,000 | 5,200,000 |
4.125%, due 8/17/27 | 1,000,000 | 1,060,500 |
4.271%, due 1/9/27 | 1,647,000 | 1,752,704 |
4.389%, due 1/8/26 | 750,000 | 799,688 |
5.125%, due 6/16/25 | 3,500,000 | 3,801,875 |
General Motors Co. | ||
6.80%, due 10/1/27 | 3,000,000 | 3,746,765 |
JB Poindexter & Co., Inc. | ||
7.125%, due 4/15/26 (c) | 11,880,000 | 12,503,700 |
PM General Purchaser LLC | ||
9.50%, due 10/1/28 (c) | 3,775,000 | 3,984,966 |
Wabash National Corp. | ||
5.50%, due 10/1/25 (c) | 2,377,000 | 2,410,040 |
64,769,664 | ||
Auto Parts & Equipment 2.0% | ||
Adient Global Holdings Ltd. | ||
4.875%, due 8/15/26 (c) | 6,300,000 | 6,449,751 |
Principal Amount | Value | |
Corporate Bonds | ||
Auto Parts & Equipment | ||
Adient U.S. LLC | ||
9.00%, due 4/15/25 (c) | $ 1,320,000 | $ 1,425,600 |
Dealer Tire LLC | ||
8.00%, due 2/1/28 (c) | 4,415,000 | 4,622,140 |
Exide Global Holding Netherlands CV | ||
10.75%, due 10/26/24 (d)(e)(f) | 3,380,000 | 3,319,160 |
Goodyear Tire & Rubber Co. (The) (c) | ||
5.00%, due 7/15/29 | 4,070,000 | 4,319,288 |
5.25%, due 7/15/31 | 2,135,000 | 2,273,775 |
IHO Verwaltungs GmbH (b)(c) | ||
4.75% (4.75% Cash or 5.50% PIK), due 9/15/26 | 7,173,000 | 7,352,325 |
6.00% (6.00% Cash or 6.75% PIK), due 5/15/27 | 10,396,000 | 10,836,686 |
6.375% (6.375% Cash or 7.125% PIK), due 5/15/29 | 10,105,000 | 11,027,081 |
Meritor, Inc. | ||
6.25%, due 6/1/25 (c) | 1,250,000 | 1,314,000 |
Real Hero Merger Sub 2, Inc. | ||
6.25%, due 2/1/29 (c) | 10,705,000 | 11,106,437 |
Tenneco, Inc. | ||
7.875%, due 1/15/29 (c) | 2,770,000 | 3,092,013 |
67,138,256 | ||
Beverages 0.1% | ||
Primo Water Holdings, Inc. | ||
4.375%, due 4/30/29 (c) | 3,725,000 | 3,715,129 |
Biotechnology 0.3% | ||
Emergent BioSolutions, Inc. | ||
3.875%, due 8/15/28 (c) | 2,980,000 | 2,898,050 |
Grifols Escrow Issuer SA | ||
4.75%, due 10/15/28 (c) | 3,530,000 | 3,605,013 |
HCRX Investments Holdco LP | ||
4.50%, due 8/1/29 (c) | 2,500,000 | 2,512,500 |
9,015,563 | ||
Building Materials 1.2% | ||
James Hardie International Finance DAC | ||
5.00%, due 1/15/28 (c) | 8,011,000 | 8,411,550 |
Koppers, Inc. | ||
6.00%, due 2/15/25 (c) | 6,270,000 | 6,411,075 |
New Enterprise Stone & Lime Co., Inc. | ||
5.25%, due 7/15/28 (c) | 2,550,000 | 2,578,688 |
Patrick Industries, Inc. (c) | ||
4.75%, due 5/1/29 | 2,295,000 | 2,340,900 |
7.50%, due 10/15/27 | 5,615,000 | 6,050,162 |
PGT Innovations, Inc. | ||
4.375%, due 10/1/29 (c) | 3,995,000 | 4,024,963 |
Principal Amount | Value | |
Corporate Bonds | ||
Building Materials | ||
Summit Materials LLC (c) | ||
5.25%, due 1/15/29 | $ 3,930,000 | $ 4,126,500 |
6.50%, due 3/15/27 | 5,135,000 | 5,385,331 |
39,329,169 | ||
Chemicals 1.7% | ||
CVR Partners LP | ||
6.125%, due 6/15/28 (c) | 1,700,000 | 1,782,875 |
Diamond BC BV | ||
4.625%, due 10/1/29 (c) | 650,000 | 659,750 |
GPD Cos., Inc. | ||
10.125%, due 4/1/26 (c) | 6,675,000 | 7,225,687 |
Innophos Holdings, Inc. | ||
9.375%, due 2/15/28 (c) | 5,900,000 | 6,357,250 |
Iris Holdings, Inc. | ||
8.75% (8.75% Cash or 9.50% PIK), due 2/15/26 (b)(c) | 5,015,000 | 5,090,225 |
NOVA Chemicals Corp. (c) | ||
4.875%, due 6/1/24 | 2,635,000 | 2,753,575 |
5.25%, due 6/1/27 | 1,000,000 | 1,050,625 |
SCIH Salt Holdings, Inc. (c) | ||
4.875%, due 5/1/28 | 6,000,000 | 6,030,000 |
6.625%, due 5/1/29 | 7,650,000 | 7,344,000 |
SPCM SA (c) | ||
3.125%, due 3/15/27 | 2,000,000 | 2,002,400 |
3.375%, due 3/15/30 | 1,800,000 | 1,798,605 |
TPC Group, Inc. Escrow Claim Shares | ||
(zero coupon), due 12/31/49 (d)(e)(f)(g) | 53,500 | — |
10.50%, due 8/1/24 (c) | 3,083,000 | 2,851,775 |
10.875%, due 8/1/24 (c) | 5,350,000 | 5,697,750 |
Unifrax Escrow Issuer Corp. (c) | ||
5.25%, due 9/30/28 | 2,550,000 | 2,581,875 |
7.50%, due 9/30/29 | 1,900,000 | 1,947,063 |
WR Grace Holdings LLC | ||
5.625%, due 8/15/29 (c) | 3,200,000 | 3,296,032 |
58,469,487 | ||
Coal 0.2% | ||
Coronado Finance Pty. Ltd. | ||
10.75%, due 5/15/26 (c) | 2,600,000 | 2,834,000 |
Natural Resource Partners LP | ||
9.125%, due 6/30/25 (c) | 3,095,000 | 3,118,213 |
5,952,213 | ||
Commercial Services 3.8% | ||
Allied Universal Holdco LLC (c) | ||
6.625%, due 7/15/26 | 3,000,000 | 3,171,840 |
9.75%, due 7/15/27 | 4,115,000 | 4,477,017 |
AMN Healthcare, Inc. (c) | ||
4.00%, due 4/15/29 | 2,350,000 | 2,420,500 |
Principal Amount | Value | |
Corporate Bonds | ||
Commercial Services | ||
AMN Healthcare, Inc. (c) | ||
4.625%, due 10/1/27 | $ 2,430,000 | $ 2,521,125 |
Ashtead Capital, Inc. (c) | ||
4.00%, due 5/1/28 | 3,650,000 | 3,879,196 |
4.25%, due 11/1/29 | 3,545,000 | 3,893,409 |
4.375%, due 8/15/27 | 2,008,000 | 2,104,344 |
Carriage Services, Inc. | ||
4.25%, due 5/15/29 (c) | 2,500,000 | 2,502,750 |
Cimpress plc | ||
7.00%, due 6/15/26 (c) | 7,892,000 | 8,230,725 |
Gartner, Inc. | ||
3.75%, due 10/1/30 (c) | 4,635,000 | 4,770,342 |
Graham Holdings Co. | ||
5.75%, due 6/1/26 (c) | 11,107,000 | 11,599,040 |
HealthEquity, Inc. | ||
4.50%, due 10/1/29 (c) | 1,650,000 | 1,674,750 |
IHS Markit Ltd. (c) | ||
4.75%, due 2/15/25 | 3,950,000 | 4,369,964 |
5.00%, due 11/1/22 | 15,689,000 | 16,255,373 |
Jaguar Holding Co. II | ||
5.00%, due 6/15/28 (c) | 1,030,000 | 1,108,630 |
Korn Ferry | ||
4.625%, due 12/15/27 (c) | 4,000,000 | 4,150,000 |
MPH Acquisition Holdings LLC (c) | ||
5.50%, due 9/1/28 | 2,750,000 | 2,742,438 |
5.75%, due 11/1/28 | 4,880,000 | 4,596,862 |
NESCO Holdings II, Inc. | ||
5.50%, due 4/15/29 (c) | 3,200,000 | 3,319,040 |
Nielsen Finance LLC (c) | ||
4.50%, due 7/15/29 | 2,300,000 | 2,248,940 |
4.75%, due 7/15/31 | 2,500,000 | 2,431,900 |
Ritchie Bros Auctioneers, Inc. | ||
5.375%, due 1/15/25 (c) | 3,800,000 | 3,892,055 |
Service Corp. International | ||
3.375%, due 8/15/30 | 4,480,000 | 4,470,928 |
4.00%, due 5/15/31 | 7,000,000 | 7,236,250 |
Square, Inc. | ||
3.50%, due 6/1/31 (c) | 2,165,000 | 2,220,705 |
United Rentals North America, Inc. | ||
3.75%, due 1/15/32 | 2,900,000 | 2,932,625 |
3.875%, due 11/15/27 | 4,000,000 | 4,190,000 |
3.875%, due 2/15/31 | 3,500,000 | 3,587,500 |
4.875%, due 1/15/28 | 1,000,000 | 1,057,240 |
5.50%, due 5/15/27 | 1,000,000 | 1,049,630 |
WW International, Inc. | ||
4.50%, due 4/15/29 (c) | 6,785,000 | 6,642,939 |
129,748,057 |
Principal Amount | Value | |
Corporate Bonds | ||
Computers 0.2% | ||
Booz Allen Hamilton, Inc. | ||
4.00%, due 7/1/29 (c) | $ 1,750,000 | $ 1,793,750 |
Unisys Corp. | ||
6.875%, due 11/1/27 (c) | 5,865,000 | 6,407,513 |
8,201,263 | ||
Cosmetics & Personal Care 0.3% | ||
Edgewell Personal Care Co. (c) | ||
4.125%, due 4/1/29 | 6,780,000 | 6,769,491 |
5.50%, due 6/1/28 | 4,000,000 | 4,224,520 |
10,994,011 | ||
Distribution & Wholesale 0.6% | ||
Avient Corp. | ||
5.25%, due 3/15/23 | 8,636,000 | 9,175,750 |
5.75%, due 5/15/25 (c) | 2,000,000 | 2,107,500 |
G-III Apparel Group Ltd. | ||
7.875%, due 8/15/25 (c) | 5,000,000 | 5,418,750 |
H&E Equipment Services, Inc. | ||
3.875%, due 12/15/28 (c) | 4,450,000 | 4,432,645 |
21,134,645 | ||
Diversified Financial Services 1.7% | ||
Credit Acceptance Corp. | ||
5.125%, due 12/31/24 (c) | 3,055,000 | 3,146,650 |
6.625%, due 3/15/26 | 9,465,000 | 9,890,925 |
Enact Holdings, Inc. | ||
6.50%, due 8/15/25 (c) | 4,485,000 | 4,896,588 |
Jefferies Finance LLC | ||
5.00%, due 8/15/28 (c) | 7,250,000 | 7,349,687 |
LPL Holdings, Inc. (c) | ||
4.00%, due 3/15/29 | 7,570,000 | 7,775,525 |
4.375%, due 5/15/31 | 3,630,000 | 3,788,813 |
4.625%, due 11/15/27 | 1,985,000 | 2,059,438 |
Oxford Finance LLC | ||
6.375%, due 12/15/22 (c) | 5,480,000 | 5,500,550 |
PennyMac Financial Services, Inc. (c) | ||
4.25%, due 2/15/29 | 3,650,000 | 3,475,074 |
5.75%, due 9/15/31 | 3,050,000 | 3,045,395 |
PRA Group, Inc. | ||
7.375%, due 9/1/25 (c) | 3,700,000 | 3,959,000 |
StoneX Group, Inc. | ||
8.625%, due 6/15/25 (c) | 1,298,000 | 1,395,350 |
56,282,995 | ||
Electric 1.5% | ||
Clearway Energy Operating LLC | ||
4.75%, due 3/15/28 (c) | 4,050,000 | 4,287,330 |
Principal Amount | Value | |
Corporate Bonds | ||
Electric | ||
DPL, Inc. | ||
4.125%, due 7/1/25 | $ 5,815,000 | $ 6,222,050 |
Keystone Power Pass-Through Holders LLC | ||
13.00% (13.00% PIK), due 6/1/24 (b)(c)(e) | 3,416,654 | 2,494,157 |
Leeward Renewable Energy Operations LLC | ||
4.25%, due 7/1/29 (c) | 4,650,000 | 4,726,399 |
NextEra Energy Operating Partners LP | ||
3.875%, due 10/15/26 (c) | 4,500,000 | 4,784,625 |
NRG Energy, Inc. | ||
6.625%, due 1/15/27 | 5,963,000 | 6,177,370 |
Pattern Energy Operations LP | ||
4.50%, due 8/15/28 (c) | 4,205,000 | 4,383,713 |
PG&E Corp. | ||
5.00%, due 7/1/28 | 6,260,000 | 6,377,375 |
5.25%, due 7/1/30 | 3,840,000 | 3,931,200 |
Vistra Operations Co. LLC (c) | ||
4.375%, due 5/1/29 | 2,500,000 | 2,515,325 |
5.00%, due 7/31/27 | 3,300,000 | 3,407,250 |
49,306,794 | ||
Electrical Components & Equipment 0.2% | ||
WESCO Distribution, Inc. (c) | ||
7.125%, due 6/15/25 | 4,535,000 | 4,839,435 |
7.25%, due 6/15/28 | 2,500,000 | 2,768,750 |
7,608,185 | ||
Energy-Alternate Sources 0.1% | ||
Renewable Energy Group, Inc. | ||
5.875%, due 6/1/28 (c) | 4,575,000 | 4,729,406 |
Engineering & Construction 0.6% | ||
Arcosa, Inc. | ||
4.375%, due 4/15/29 (c) | 1,340,000 | 1,356,750 |
Artera Services LLC | ||
9.033%, due 12/4/25 (c) | 3,465,000 | 3,759,525 |
Great Lakes Dredge & Dock Corp. | ||
5.25%, due 6/1/29 (c) | 4,000,000 | 4,140,000 |
TopBuild Corp. | ||
4.125%, due 2/15/32 (c)(h) | 4,480,000 | 4,524,800 |
Weekley Homes LLC | ||
4.875%, due 9/15/28 (c) | 5,800,000 | 6,032,000 |
19,813,075 | ||
Entertainment 2.5% | ||
Affinity Gaming | ||
6.875%, due 12/15/27 (c) | 3,340,000 | 3,512,762 |
Allen Media LLC | ||
10.50%, due 2/15/28 (c) | 4,700,000 | 4,826,900 |
Principal Amount | Value | |
Corporate Bonds | ||
Entertainment | ||
Bally's Corp. | ||
6.75%, due 6/1/27 (c) | $ 3,950,000 | $ 4,300,562 |
Boyne USA, Inc. | ||
4.75%, due 5/15/29 (c) | 2,900,000 | 2,994,250 |
Caesars Entertainment, Inc. | ||
4.625%, due 10/15/29 (c) | 1,650,000 | 1,670,625 |
CCM Merger, Inc. | ||
6.375%, due 5/1/26 (c) | 2,170,000 | 2,283,925 |
Churchill Downs, Inc. (c) | ||
4.75%, due 1/15/28 | 12,177,000 | 12,740,186 |
5.50%, due 4/1/27 | 8,901,000 | 9,234,787 |
International Game Technology plc | ||
6.25%, due 1/15/27 (c) | 6,725,000 | 7,599,250 |
Jacobs Entertainment, Inc. | ||
7.875%, due 2/1/24 (c) | 2,193,000 | 2,264,273 |
Live Nation Entertainment, Inc. (c) | ||
3.75%, due 1/15/28 | 1,860,000 | 1,848,956 |
6.50%, due 5/15/27 | 6,435,000 | 7,078,500 |
Merlin Entertainments Ltd. | ||
5.75%, due 6/15/26 (c) | 10,940,000 | 11,295,550 |
Midwest Gaming Borrower LLC | ||
4.875%, due 5/1/29 (c) | 1,650,000 | 1,680,938 |
Motion Bondco DAC | ||
6.625%, due 11/15/27 (c) | 4,370,000 | 4,391,850 |
Powdr Corp. | ||
6.00%, due 8/1/25 (c) | 3,335,000 | 3,501,750 |
Vail Resorts, Inc. | ||
6.25%, due 5/15/25 (c) | 2,800,000 | 2,961,000 |
84,186,064 | ||
Environmental Control 0.1% | ||
Madison IAQ LLC (c) | ||
4.125%, due 6/30/28 | 2,300,000 | 2,300,000 |
5.875%, due 6/30/29 | 1,100,000 | 1,108,250 |
3,408,250 | ||
Food 2.0% | ||
B&G Foods, Inc. | ||
5.25%, due 4/1/25 | 4,142,000 | 4,240,787 |
Kraft Heinz Foods Co. | ||
3.875%, due 5/15/27 | 4,625,000 | 5,050,096 |
4.25%, due 3/1/31 | 2,165,000 | 2,447,578 |
6.50%, due 2/9/40 | 7,715,000 | 10,955,268 |
6.875%, due 1/26/39 | 7,588,000 | 11,202,419 |
Lamb Weston Holdings, Inc. | ||
4.875%, due 5/15/28 (c) | 3,300,000 | 3,627,525 |
Land O' Lakes, Inc. | ||
6.00%, due 11/15/22 (c) | 7,880,000 | 8,233,207 |
Principal Amount | Value | |
Corporate Bonds | ||
Food | ||
Land O'Lakes Capital Trust I | ||
7.45%, due 3/15/28 (c) | $ 5,130,000 | $ 5,912,325 |
Post Holdings, Inc. | ||
4.625%, due 4/15/30 (c) | 2,000,000 | 2,015,460 |
Simmons Foods, Inc. | ||
4.625%, due 3/1/29 (c) | 4,950,000 | 4,987,125 |
TreeHouse Foods, Inc. | ||
4.00%, due 9/1/28 | 3,000,000 | 2,936,010 |
United Natural Foods, Inc. | ||
6.75%, due 10/15/28 (c) | 5,000,000 | 5,412,500 |
67,020,300 | ||
Food Service 0.2% | ||
Aramark Services, Inc. | ||
6.375%, due 5/1/25 (c) | 6,500,000 | 6,833,125 |
Forest Products & Paper 1.0% | ||
Mercer International, Inc. | ||
5.125%, due 2/1/29 | 9,360,000 | 9,558,900 |
5.50%, due 1/15/26 | 1,000,000 | 1,021,250 |
Schweitzer-Mauduit International, Inc. | ||
6.875%, due 10/1/26 (c) | 3,000,000 | 3,120,232 |
Smurfit Kappa Treasury Funding DAC | ||
7.50%, due 11/20/25 | 15,843,000 | 19,626,309 |
33,326,691 | ||
Gas 0.6% | ||
AmeriGas Partners LP | ||
5.625%, due 5/20/24 | 4,425,000 | 4,790,063 |
5.75%, due 5/20/27 | 2,485,000 | 2,808,050 |
5.875%, due 8/20/26 | 6,885,000 | 7,780,050 |
Rockpoint Gas Storage Canada Ltd. | ||
7.00%, due 3/31/23 (c) | 5,100,000 | 5,176,500 |
20,554,663 | ||
Hand & Machine Tools 0.1% | ||
Werner FinCo. LP | ||
8.75%, due 7/15/25 (c) | 4,250,000 | 4,427,969 |
Healthcare-Products 1.1% | ||
Hologic, Inc. (c) | ||
3.25%, due 2/15/29 | 7,325,000 | 7,328,480 |
4.625%, due 2/1/28 | 3,000,000 | 3,157,500 |
Mozart Debt Merger Sub, Inc. (c) | ||
3.875%, due 4/1/29 | 4,440,000 | 4,440,000 |
5.25%, due 10/1/29 | 2,500,000 | 2,500,000 |
Teleflex, Inc. | ||
4.25%, due 6/1/28 (c) | 9,615,000 | 9,990,850 |
Principal Amount | Value | |
Corporate Bonds | ||
Healthcare-Products | ||
Teleflex, Inc. | ||
4.625%, due 11/15/27 | $ 3,500,000 | $ 3,648,750 |
Varex Imaging Corp. | ||
7.875%, due 10/15/27 (c) | 4,546,000 | 5,115,159 |
36,180,739 | ||
Healthcare-Services 4.8% | ||
Acadia Healthcare Co., Inc. (c) | ||
5.00%, due 4/15/29 | 1,750,000 | 1,822,188 |
5.50%, due 7/1/28 | 1,500,000 | 1,576,800 |
Catalent Pharma Solutions, Inc. (c) | ||
3.125%, due 2/15/29 | 6,995,000 | 6,868,740 |
3.50%, due 4/1/30 | 3,065,000 | 3,065,000 |
5.00%, due 7/15/27 | 5,180,000 | 5,380,725 |
Centene Corp. | ||
3.00%, due 10/15/30 | 4,000,000 | 4,100,000 |
4.625%, due 12/15/29 | 4,870,000 | 5,307,326 |
DaVita, Inc. (c) | ||
3.75%, due 2/15/31 | 2,900,000 | 2,823,875 |
4.625%, due 6/1/30 | 2,700,000 | 2,777,249 |
Encompass Health Corp. | ||
4.50%, due 2/1/28 | 5,000,000 | 5,162,500 |
4.625%, due 4/1/31 | 1,875,000 | 1,970,719 |
4.75%, due 2/1/30 | 7,650,000 | 8,045,887 |
HCA, Inc. | ||
3.50%, due 9/1/30 | 7,300,000 | 7,733,547 |
5.375%, due 2/1/25 | 7,255,000 | 8,107,462 |
5.625%, due 9/1/28 | 2,090,000 | 2,486,473 |
5.875%, due 5/1/23 | 4,800,000 | 5,160,096 |
5.875%, due 2/15/26 | 9,015,000 | 10,333,444 |
7.50%, due 11/6/33 | 12,100,000 | 17,303,000 |
7.58%, due 9/15/25 | 3,507,000 | 4,221,551 |
7.69%, due 6/15/25 | 9,195,000 | 11,053,493 |
8.36%, due 4/15/24 | 4,450,000 | 5,189,812 |
IQVIA, Inc. | ||
5.00%, due 10/15/26 (c) | 9,792,000 | 10,035,527 |
LifePoint Health, Inc. | ||
5.375%, due 1/15/29 (c) | 4,345,000 | 4,225,513 |
ModivCare Escrow Issuer, Inc. | ||
5.00%, due 10/1/29 (c) | 3,730,000 | 3,866,332 |
ModivCare, Inc. | ||
5.875%, due 11/15/25 (c) | 3,500,000 | 3,701,250 |
Molina Healthcare, Inc. (c) | ||
3.875%, due 11/15/30 | 4,480,000 | 4,681,600 |
4.375%, due 6/15/28 | 1,000,000 | 1,040,380 |
RegionalCare Hospital Partners Holdings, Inc. | ||
9.75%, due 12/1/26 (c) | 10,055,000 | 10,620,594 |
Principal Amount | Value | |
Corporate Bonds | ||
Healthcare-Services | ||
Select Medical Corp. | ||
6.25%, due 8/15/26 (c) | $ 2,000,000 | $ 2,103,200 |
160,764,283 | ||
Holding Companies-Diversified 0.3% | ||
Stena International SA | ||
6.125%, due 2/1/25 (c) | 9,525,000 | 9,854,089 |
Home Builders 2.2% | ||
Adams Homes, Inc. | ||
7.50%, due 2/15/25 (c) | 5,550,000 | 5,785,875 |
Ashton Woods USA LLC (c) | ||
6.625%, due 1/15/28 | 2,000,000 | 2,125,000 |
9.875%, due 4/1/27 | 3,230,000 | 3,617,600 |
Brookfield Residential Properties, Inc. | ||
6.25%, due 9/15/27 (c) | 4,855,000 | 5,103,916 |
Century Communities, Inc. | ||
3.875%, due 8/15/29 (c) | 4,385,000 | 4,428,850 |
6.75%, due 6/1/27 | 6,775,000 | 7,232,245 |
Installed Building Products, Inc. | ||
5.75%, due 2/1/28 (c) | 4,655,000 | 4,876,112 |
M/I Homes, Inc. | ||
3.95%, due 2/15/30 (c) | 2,100,000 | 2,105,250 |
4.95%, due 2/1/28 | 3,000,000 | 3,138,750 |
Meritage Homes Corp. | ||
3.875%, due 4/15/29 (c) | 5,940,000 | 6,237,000 |
Picasso Finance Sub, Inc. | ||
6.125%, due 6/15/25 (c) | 4,205,000 | 4,446,325 |
PulteGroup, Inc. | ||
7.875%, due 6/15/32 | 3,595,000 | 5,172,306 |
Shea Homes LP (c) | ||
4.75%, due 2/15/28 | 7,300,000 | 7,509,875 |
4.75%, due 4/1/29 | 2,748,000 | 2,823,570 |
STL Holding Co. LLC | ||
7.50%, due 2/15/26 (c) | 2,700,000 | 2,848,500 |
Williams Scotsman International, Inc. | ||
4.625%, due 8/15/28 (c) | 4,270,000 | 4,448,102 |
Winnebago Industries, Inc. | ||
6.25%, due 7/15/28 (c) | 3,300,000 | 3,547,500 |
75,446,776 | ||
Home Furnishings 0.1% | ||
Tempur Sealy International, Inc. | ||
3.875%, due 10/15/31 (c) | 1,600,000 | 1,602,000 |
Household Products & Wares 0.2% | ||
Central Garden & Pet Co. | ||
4.125%, due 10/15/30 | 2,020,000 | 2,065,450 |
Principal Amount | Value | |
Corporate Bonds | ||
Household Products & Wares | ||
Central Garden & Pet Co. | ||
4.125%, due 4/30/31 (c) | $ 2,300,000 | $ 2,335,710 |
Spectrum Brands, Inc. | ||
5.75%, due 7/15/25 | 3,840,000 | 3,936,000 |
8,337,160 | ||
Housewares 0.2% | ||
Scotts Miracle-Gro Co. (The) (c) | ||
4.00%, due 4/1/31 | 4,860,000 | 4,850,863 |
4.375%, due 2/1/32 | 2,805,000 | 2,827,791 |
7,678,654 | ||
Insurance 0.9% | ||
BroadStreet Partners, Inc. | ||
5.875%, due 4/15/29 (c) | 4,500,000 | 4,483,125 |
Fairfax Financial Holdings Ltd. | ||
8.30%, due 4/15/26 | 4,273,000 | 5,331,888 |
Fidelity & Guaranty Life Holdings, Inc. | ||
5.50%, due 5/1/25 (c) | 2,500,000 | 2,840,433 |
MGIC Investment Corp. | ||
5.25%, due 8/15/28 | 6,140,000 | 6,551,687 |
NMI Holdings, Inc. | ||
7.375%, due 6/1/25 (c) | 3,245,000 | 3,703,843 |
USI, Inc. | ||
6.875%, due 5/1/25 (c) | 5,890,000 | 5,994,371 |
28,905,347 | ||
Internet 2.3% | ||
Cars.com, Inc. | ||
6.375%, due 11/1/28 (c) | 4,150,000 | 4,378,250 |
Match Group Holdings II LLC | ||
3.625%, due 10/1/31 (c) | 3,945,000 | 3,898,173 |
Netflix, Inc. | ||
4.875%, due 4/15/28 | 1,692,000 | 1,950,030 |
4.875%, due 6/15/30 (c) | 3,000,000 | 3,532,500 |
5.375%, due 11/15/29 (c) | 2,500,000 | 3,028,125 |
5.50%, due 2/15/22 | 7,455,000 | 7,575,771 |
5.75%, due 3/1/24 | 10,899,000 | 12,040,016 |
5.875%, due 2/15/25 | 3,320,000 | 3,783,903 |
5.875%, due 11/15/28 | 8,800,000 | 10,783,520 |
Northwest Fiber LLC | ||
4.75%, due 4/30/27 (c) | 2,250,000 | 2,250,000 |
Uber Technologies, Inc. (c) | ||
7.50%, due 5/15/25 | 2,400,000 | 2,558,400 |
7.50%, due 9/15/27 | 6,065,000 | 6,622,222 |
Principal Amount | Value | |
Corporate Bonds | ||
Internet | ||
VeriSign, Inc. | ||
4.75%, due 7/15/27 | $ 6,000,000 | $ 6,311,400 |
5.25%, due 4/1/25 | 9,025,000 | 10,258,086 |
78,970,396 | ||
Investment Companies 1.3% | ||
Compass Group Diversified Holdings LLC | ||
5.25%, due 4/15/29 (c) | 9,375,000 | 9,808,594 |
FS Energy and Power Fund | ||
7.50%, due 8/15/23 (c) | 23,640,000 | 24,526,500 |
Icahn Enterprises LP | ||
5.25%, due 5/15/27 | 4,425,000 | 4,590,937 |
6.25%, due 5/15/26 | 4,000,000 | 4,180,000 |
43,106,031 | ||
Iron & Steel 0.9% | ||
Allegheny Ludlum LLC | ||
6.95%, due 12/15/25 | 7,400,000 | 8,103,000 |
Allegheny Technologies, Inc. | ||
7.875%, due 8/15/23 (i) | 1,423,000 | 1,600,875 |
Big River Steel LLC | ||
6.625%, due 1/31/29 (c) | 6,800,000 | 7,352,500 |
Mineral Resources Ltd. | ||
8.125%, due 5/1/27 (c) | 12,260,000 | 13,316,076 |
30,372,451 | ||
Leisure Time 2.4% | ||
Carlson Travel, Inc. (c) | ||
6.75%, due 12/15/25 (g)(j) | 14,283,000 | 12,711,870 |
10.50%, due 3/31/25 (i) | 12,029,150 | 12,630,607 |
11.50% (9.50% Cash and 2.00% PIK), due 12/15/26 (b)(g)(j)(k) | 8,460,000 | 2,791,800 |
Carnival Corp. (c) | ||
4.00%, due 8/1/28 | 10,000,000 | 10,100,000 |
5.75%, due 3/1/27 | 16,080,000 | 16,622,700 |
7.625%, due 3/1/26 | 2,785,000 | 2,972,988 |
9.875%, due 8/1/27 | 7,000,000 | 8,078,778 |
10.50%, due 2/1/26 | 7,040,000 | 8,167,808 |
11.50%, due 4/1/23 | 984,000 | 1,098,390 |
Royal Caribbean Cruises Ltd. | ||
5.50%, due 4/1/28 (c) | 6,550,000 | 6,699,399 |
81,874,340 | ||
Lodging 1.8% | ||
Boyd Gaming Corp. | ||
4.75%, due 12/1/27 | 8,630,000 | 8,894,855 |
4.75%, due 6/15/31 (c) | 10,945,000 | 11,287,031 |
8.625%, due 6/1/25 (c) | 610,000 | 661,087 |
Genting New York LLC | ||
3.30%, due 2/15/26 (c) | 6,185,000 | 6,132,838 |
Principal Amount | Value | |
Corporate Bonds | ||
Lodging | ||
Hilton Domestic Operating Co., Inc. | ||
3.625%, due 2/15/32 (c) | $ 1,070,000 | $ 1,053,950 |
4.00%, due 5/1/31 (c) | 8,775,000 | 8,906,625 |
4.875%, due 1/15/30 | 7,500,000 | 8,045,700 |
5.75%, due 5/1/28 (c) | 1,725,000 | 1,857,825 |
Hyatt Hotels Corp. | ||
5.75%, due 4/23/30 | 1,915,000 | 2,298,830 |
Marriott International, Inc. | ||
Series GG | ||
3.50%, due 10/15/32 | 4,000,000 | 4,249,777 |
Series FF | ||
4.625%, due 6/15/30 | 2,000,000 | 2,284,927 |
Series EE | ||
5.75%, due 5/1/25 | 743,000 | 849,680 |
Station Casinos LLC | ||
4.50%, due 2/15/28 (c) | 3,500,000 | 3,555,475 |
60,078,600 | ||
Machinery—Construction & Mining 0.1% | ||
Terex Corp. | ||
5.00%, due 5/15/29 (c) | 2,150,000 | 2,227,938 |
Machinery-Diversified 0.5% | ||
Briggs & Stratton Corp. Escrow Claim Shares | ||
6.875%, due 12/15/20 (g)(j)(l) | 5,030,000 | 377,250 |
Colfax Corp. | ||
6.375%, due 2/15/26 (c) | 3,053,000 | 3,210,840 |
Stevens Holding Co., Inc. | ||
6.125%, due 10/1/26 (c) | 5,394,000 | 5,818,777 |
TK Elevator Holdco GmbH | ||
7.625%, due 7/15/28 (c) | 1,373,000 | 1,467,394 |
TK Elevator US Newco, Inc. | ||
5.25%, due 7/15/27 (c) | 5,680,000 | 5,952,498 |
16,826,759 | ||
Media 7.0% | ||
Block Communications, Inc. | ||
4.875%, due 3/1/28 (c) | 4,175,000 | 4,268,938 |
Cable One, Inc. | ||
4.00%, due 11/15/30 (c) | 10,325,000 | 10,286,281 |
CCO Holdings LLC | ||
4.25%, due 2/1/31 (c) | 8,805,000 | 8,957,767 |
4.25%, due 1/15/34 (c) | 7,265,000 | 7,196,891 |
4.50%, due 8/15/30 (c) | 13,555,000 | 13,984,965 |
4.50%, due 5/1/32 | 11,250,000 | 11,587,500 |
4.50%, due 6/1/33 (c) | 4,300,000 | 4,376,196 |
4.75%, due 3/1/30 (c) | 7,715,000 | 8,065,840 |
5.00%, due 2/1/28 (c) | 8,550,000 | 8,925,345 |
Principal Amount | Value | |
Corporate Bonds | ||
Media | ||
CCO Holdings LLC | ||
5.125%, due 5/1/27 (c) | $ 12,000,000 | $ 12,495,720 |
5.375%, due 6/1/29 (c) | 4,780,000 | 5,162,400 |
CSC Holdings LLC (c) | ||
5.75%, due 1/15/30 | 6,705,000 | 6,817,141 |
6.50%, due 2/1/29 | 2,660,000 | 2,880,647 |
Diamond Sports Group LLC | ||
6.625%, due 8/15/27 (c) | 2,305,000 | 1,008,438 |
DIRECTV Holdings LLC | ||
5.875%, due 8/15/27 (c) | 3,100,000 | 3,235,625 |
DISH DBS Corp. | ||
5.125%, due 6/1/29 | 3,300,000 | 3,233,307 |
5.875%, due 7/15/22 | 6,655,000 | 6,858,809 |
7.75%, due 7/1/26 | 9,055,000 | 10,225,132 |
LCPR Senior Secured Financing DAC (c) | ||
5.125%, due 7/15/29 | 2,510,000 | 2,585,175 |
6.75%, due 10/15/27 | 15,106,000 | 16,012,360 |
Meredith Corp. | ||
6.875%, due 2/1/26 | 16,403,000 | 16,936,097 |
News Corp. | ||
3.875%, due 5/15/29 (c) | 10,470,000 | 10,757,925 |
Quebecor Media, Inc. | ||
5.75%, due 1/15/23 | 12,147,000 | 12,845,452 |
Scripps Escrow II, Inc. | ||
3.875%, due 1/15/29 (c) | 4,805,000 | 4,821,769 |
Sirius XM Radio, Inc. (c) | ||
3.125%, due 9/1/26 | 3,315,000 | 3,360,581 |
3.875%, due 9/1/31 | 5,480,000 | 5,353,275 |
4.00%, due 7/15/28 | 2,750,000 | 2,796,406 |
Sterling Entertainment Enterprises LLC | ||
10.25%, due 1/15/25 (d)(e)(f)(l) | 7,000,000 | 7,000,000 |
Townsquare Media, Inc. | ||
6.875%, due 2/1/26 (c) | 1,015,000 | 1,064,796 |
Videotron Ltd. (c) | ||
5.125%, due 4/15/27 | 5,890,000 | 6,096,150 |
5.375%, due 6/15/24 | 11,450,000 | 12,451,875 |
Virgin Media Finance plc | ||
5.00%, due 7/15/30 (c) | 3,490,000 | 3,578,908 |
235,227,711 | ||
Metal Fabricate & Hardware 1.0% | ||
Advanced Drainage Systems, Inc. | ||
5.00%, due 9/30/27 (c) | 3,895,000 | 4,066,380 |
Grinding Media, Inc. | ||
7.375%, due 12/15/23 (c) | 20,535,000 | 20,935,433 |
Park-Ohio Industries, Inc. | ||
6.625%, due 4/15/27 | 4,875,000 | 4,868,906 |
Principal Amount | Value | |
Corporate Bonds | ||
Metal Fabricate & Hardware | ||
Roller Bearing Co. of America, Inc. | ||
4.375%, due 10/15/29 (c) | $ 3,195,000 | $ 3,274,875 |
33,145,594 | ||
Mining 1.9% | ||
Arconic Corp. | ||
6.00%, due 5/15/25 (c) | 2,200,000 | 2,310,484 |
Century Aluminum Co. | ||
7.50%, due 4/1/28 (c) | 6,230,000 | 6,603,800 |
Compass Minerals International, Inc. (c) | ||
4.875%, due 7/15/24 | 2,250,000 | 2,342,813 |
6.75%, due 12/1/27 | 7,990,000 | 8,479,387 |
First Quantum Minerals Ltd. (c) | ||
6.875%, due 10/15/27 | 1,800,000 | 1,903,500 |
7.25%, due 4/1/23 | 7,480,000 | 7,610,900 |
Hudbay Minerals, Inc. | ||
4.50%, due 4/1/26 (c) | 2,750,000 | 2,722,500 |
IAMGOLD Corp. | ||
5.75%, due 10/15/28 (c) | 7,000,000 | 6,912,500 |
Joseph T Ryerson & Son, Inc. | ||
8.50%, due 8/1/28 (c) | 1,920,000 | 2,128,800 |
Novelis Corp. (c) | ||
3.25%, due 11/15/26 | 6,550,000 | 6,642,879 |
3.875%, due 8/15/31 | 8,550,000 | 8,456,378 |
4.75%, due 1/30/30 | 8,435,000 | 8,879,524 |
64,993,465 | ||
Miscellaneous—Manufacturing 0.9% | ||
Amsted Industries, Inc. (c) | ||
4.625%, due 5/15/30 | 2,615,000 | 2,686,912 |
5.625%, due 7/1/27 | 7,240,000 | 7,555,085 |
EnPro Industries, Inc. | ||
5.75%, due 10/15/26 | 4,240,000 | 4,425,500 |
FXI Holdings, Inc. (c) | ||
7.875%, due 11/1/24 | 1,720,000 | 1,754,400 |
12.25%, due 11/15/26 | 4,206,000 | 4,773,810 |
Hillenbrand, Inc. | ||
3.75%, due 3/1/31 | 2,240,000 | 2,223,648 |
5.75%, due 6/15/25 | 2,000,000 | 2,110,000 |
LSB Industries, Inc. | ||
6.25%, due 10/15/28 (c)(h) | 3,720,000 | 3,752,550 |
29,281,905 | ||
Office Furnishings 0.1% | ||
Interface, Inc. | ||
5.50%, due 12/1/28 (c) | 4,445,000 | 4,667,250 |
Principal Amount | Value | |
Corporate Bonds | ||
Oil & Gas 6.7% | ||
Apache Corp. | ||
4.625%, due 11/15/25 | $ 1,170,000 | $ 1,257,750 |
Ascent Resources Utica Holdings LLC (c) | ||
7.00%, due 11/1/26 | 3,400,000 | 3,514,682 |
9.00%, due 11/1/27 | 2,684,000 | 3,677,080 |
California Resources Corp. | ||
7.125%, due 2/1/26 (c) | 3,500,000 | 3,693,568 |
Callon Petroleum Co. | ||
6.125%, due 10/1/24 | 4,560,000 | 4,481,249 |
9.00%, due 4/1/25 (c) | 6,910,000 | 7,471,818 |
Centennial Resource Production LLC (c) | ||
5.375%, due 1/15/26 | 5,200,000 | 5,102,760 |
6.875%, due 4/1/27 | 5,158,000 | 5,254,635 |
Chevron USA, Inc. | ||
5.05%, due 11/15/44 | 2,366,000 | 3,148,322 |
5.25%, due 11/15/43 | 1,800,000 | 2,427,262 |
Colgate Energy Partners III LLC | ||
7.75%, due 2/15/26 (c) | 5,040,000 | 5,304,600 |
Comstock Resources, Inc. | ||
6.75%, due 3/1/29 (c) | 3,700,000 | 3,996,000 |
Continental Resources, Inc. | ||
4.50%, due 4/15/23 | 651,000 | 674,599 |
Encino Acquisition Partners Holdings LLC | ||
8.50%, due 5/1/28 (c) | 10,460,000 | 10,695,350 |
Endeavor Energy Resources LP | ||
6.625%, due 7/15/25 (c) | 1,805,000 | 1,902,019 |
EQT Corp. | ||
3.125%, due 5/15/26 (c) | 4,000,000 | 4,100,480 |
6.625%, due 2/1/25 (i) | 4,850,000 | 5,551,067 |
Gulfport Energy Operating Corp. | ||
8.00%, due 5/17/26 (c) | 8,284,024 | 9,050,296 |
Gulfport Energy Operating Corp. Escrow Claim Shares (g) | ||
6.00%, due 10/15/24 | 15,745,000 | 865,975 |
6.375%, due 5/15/25 | 8,000,000 | 440,000 |
6.375%, due 1/15/26 | 4,441,000 | 244,255 |
Hilcorp Energy I LP (c) | ||
5.75%, due 2/1/29 | 1,610,000 | 1,654,275 |
6.00%, due 2/1/31 | 1,075,000 | 1,104,563 |
Laredo Petroleum, Inc. | ||
7.75%, due 7/31/29 (c) | 3,410,000 | 3,418,525 |
Marathon Oil Corp. | ||
4.40%, due 7/15/27 | 4,000,000 | 4,493,120 |
6.80%, due 3/15/32 | 2,665,000 | 3,482,147 |
Matador Resources Co. | ||
5.875%, due 9/15/26 | 5,185,000 | 5,359,734 |
Moss Creek Resources Holdings, Inc. | ||
7.50%, due 1/15/26 (c) | 4,065,000 | 3,766,751 |
Principal Amount | Value | |
Corporate Bonds | ||
Oil & Gas | ||
Murphy Oil Corp. | ||
6.875%, due 8/15/24 | $ 2,397,000 | $ 2,447,337 |
Occidental Petroleum Corp. | ||
5.55%, due 3/15/26 | 9,840,000 | 10,922,400 |
5.875%, due 9/1/25 | 1,500,000 | 1,681,125 |
6.125%, due 1/1/31 | 2,500,000 | 3,001,188 |
6.375%, due 9/1/28 | 1,500,000 | 1,755,000 |
6.45%, due 9/15/36 | 3,100,000 | 3,900,187 |
6.625%, due 9/1/30 | 3,345,000 | 4,122,712 |
7.50%, due 5/1/31 | 1,200,000 | 1,560,300 |
8.00%, due 7/15/25 | 1,750,000 | 2,089,500 |
Parkland Corp. (c) | ||
4.50%, due 10/1/29 | 3,470,000 | 3,517,192 |
5.875%, due 7/15/27 | 3,130,000 | 3,317,800 |
PBF Holding Co. LLC | ||
6.00%, due 2/15/28 | 5,200,000 | 3,318,484 |
7.25%, due 6/15/25 | 3,920,000 | 2,638,199 |
9.25%, due 5/15/25 (c) | 6,300,000 | 5,969,250 |
PDC Energy, Inc. | ||
6.125%, due 9/15/24 | 5,783,000 | 5,869,745 |
Range Resources Corp. | ||
8.25%, due 1/15/29 (c) | 1,615,000 | 1,816,956 |
9.25%, due 2/1/26 | 9,038,000 | 9,851,872 |
Rockcliff Energy II LLC | ||
5.50%, due 10/15/29 (c) | 4,810,000 | 4,882,150 |
Southwestern Energy Co. | ||
5.375%, due 3/15/30 | 4,250,000 | 4,586,706 |
6.45%, due 1/23/25 (i) | 4,005,000 | 4,409,785 |
8.375%, due 9/15/28 | 1,600,000 | 1,812,368 |
Sunoco LP | ||
4.50%, due 5/15/29 | 1,690,000 | 1,714,115 |
6.00%, due 4/15/27 | 2,000,000 | 2,082,500 |
Talos Production, Inc. | ||
12.00%, due 1/15/26 | 19,985,000 | 21,391,344 |
Transocean Pontus Ltd. | ||
6.125%, due 8/1/25 (c) | 1,778,850 | 1,778,850 |
Transocean Poseidon Ltd. | ||
6.875%, due 2/1/27 (c) | 2,550,000 | 2,537,072 |
Transocean Sentry Ltd. | ||
5.375%, due 5/15/23 (c) | 3,308,299 | 3,242,134 |
Viper Energy Partners LP | ||
5.375%, due 11/1/27 (c) | 3,470,000 | 3,617,475 |
225,966,628 | ||
Oil & Gas Services 0.6% | ||
Bristow Group, Inc. | ||
6.875%, due 3/1/28 (c) | 6,100,000 | 6,347,172 |
Principal Amount | Value | |
Corporate Bonds | ||
Oil & Gas Services | ||
Nine Energy Service, Inc. | ||
8.75%, due 11/1/23 (c) | $ 7,172,000 | $ 3,442,560 |
TechnipFMC plc | ||
6.50%, due 2/1/26 (c) | 7,395,000 | 7,931,469 |
Weatherford International Ltd. | ||
6.50%, due 9/15/28 (c) | 3,870,000 | 3,986,100 |
21,707,301 | ||
Packaging & Containers 0.5% | ||
ARD Finance SA | ||
6.50% (6.50% Cash or 7.25% PIK), due 6/30/27 (b)(c) | 3,000,000 | 3,187,050 |
Ball Corp. | ||
3.125%, due 9/15/31 | 5,000,000 | 4,937,889 |
Cascades USA, Inc. (c) | ||
5.125%, due 1/15/26 | 2,810,000 | 2,987,213 |
5.375%, due 1/15/28 | 5,200,000 | 5,466,604 |
Graphic Packaging International LLC | ||
3.50%, due 3/1/29 (c) | 1,000,000 | 995,000 |
17,573,756 | ||
Pharmaceuticals 2.2% | ||
180 Medical, Inc. | ||
3.875%, due 10/15/29 (c) | 2,220,000 | 2,220,000 |
Bausch Health Americas, Inc. (c) | ||
8.50%, due 1/31/27 | 1,600,000 | 1,704,320 |
9.25%, due 4/1/26 | 1,435,000 | 1,532,544 |
Bausch Health Cos., Inc. (c) | ||
5.00%, due 1/30/28 | 3,430,000 | 3,254,110 |
5.25%, due 2/15/31 | 2,500,000 | 2,299,025 |
6.125%, due 4/15/25 | 2,854,000 | 2,912,935 |
6.25%, due 2/15/29 | 5,900,000 | 5,838,168 |
7.00%, due 1/15/28 | 1,750,000 | 1,793,225 |
Cheplapharm Arzneimittel GmbH | ||
5.50%, due 1/15/28 (c) | 2,550,000 | 2,641,978 |
Endo DAC | ||
9.50%, due 7/31/27 (c) | 2,000,000 | 2,004,440 |
Jazz Securities DAC | ||
4.375%, due 1/15/29 (c) | 6,190,000 | 6,414,697 |
Organon & Co. (c) | ||
4.125%, due 4/30/28 | 8,200,000 | 8,364,000 |
5.125%, due 4/30/31 | 6,500,000 | 6,827,275 |
Owens & Minor, Inc. | ||
4.50%, due 3/31/29 (c) | 3,725,000 | 3,762,250 |
Par Pharmaceutical, Inc. | ||
7.50%, due 4/1/27 (c) | 6,411,000 | 6,531,206 |
Prestige Brands, Inc. (c) | ||
3.75%, due 4/1/31 | 6,935,000 | 6,692,275 |
5.125%, due 1/15/28 | 4,245,000 | 4,427,429 |
Principal Amount | Value | |
Corporate Bonds | ||
Pharmaceuticals | ||
Vizient, Inc. | ||
6.25%, due 5/15/27 (c) | $ 3,615,000 | $ 3,777,675 |
72,997,552 | ||
Pipelines 5.1% | ||
ANR Pipeline Co. | ||
7.375%, due 2/15/24 | 395,000 | 447,189 |
9.625%, due 11/1/21 | 5,950,000 | 5,990,802 |
Antero Midstream Partners LP (c) | ||
5.375%, due 6/15/29 | 2,000,000 | 2,060,000 |
5.75%, due 1/15/28 | 1,565,000 | 1,621,731 |
Cheniere Energy Partners LP | ||
3.25%, due 1/31/32 (c) | 2,210,000 | 2,217,293 |
4.00%, due 3/1/31 (c) | 6,400,000 | 6,702,080 |
5.625%, due 10/1/26 | 1,800,000 | 1,849,500 |
CNX Midstream Partners LP (c) | ||
4.75%, due 4/15/30 | 1,460,000 | 1,482,594 |
6.50%, due 3/15/26 | 6,022,000 | 6,325,509 |
DT Midstream, Inc. (c) | ||
4.125%, due 6/15/29 | 1,355,000 | 1,374,051 |
4.375%, due 6/15/31 | 2,975,000 | 3,064,250 |
Enable Midstream Partners LP | ||
4.40%, due 3/15/27 | 5,702,000 | 6,316,889 |
4.95%, due 5/15/28 | 2,925,000 | 3,285,725 |
EQM Midstream Partners LP | ||
4.50%, due 1/15/29 (c) | 1,880,000 | 1,950,500 |
4.75%, due 1/15/31 (c) | 2,700,000 | 2,808,054 |
5.50%, due 7/15/28 | 720,000 | 791,006 |
6.00%, due 7/1/25 (c) | 2,975,000 | 3,261,195 |
6.50%, due 7/1/27 (c) | 1,405,000 | 1,580,274 |
Genesis Energy LP | ||
5.625%, due 6/15/24 | 1,000,000 | 997,500 |
6.25%, due 5/15/26 | 2,716,000 | 2,666,759 |
6.50%, due 10/1/25 | 1,600,000 | 1,592,000 |
7.75%, due 2/1/28 | 470,000 | 469,558 |
8.00%, due 1/15/27 | 5,705,000 | 5,776,312 |
Harvest Midstream I LP | ||
7.50%, due 9/1/28 (c) | 5,775,000 | 6,151,241 |
Hess Midstream Operations LP (c) | ||
4.25%, due 2/15/30 | 2,000,000 | 2,022,500 |
5.625%, due 2/15/26 | 3,300,000 | 3,423,750 |
Holly Energy Partners LP | ||
5.00%, due 2/1/28 (c) | 2,845,000 | 2,884,830 |
ITT Holdings LLC | ||
6.50%, due 8/1/29 (c) | 2,250,000 | 2,269,688 |
MPLX LP | ||
4.875%, due 12/1/24 | 3,240,000 | 3,588,780 |
4.875%, due 6/1/25 | 6,708,000 | 7,496,352 |
Principal Amount | Value | |
Corporate Bonds | ||
Pipelines | ||
New Fortress Energy, Inc. | ||
6.50%, due 9/30/26 (c) | $ 5,060,000 | $ 4,838,625 |
NGL Energy Operating LLC | ||
7.50%, due 2/1/26 (c) | 3,015,000 | 3,071,531 |
NGPL PipeCo LLC | ||
4.875%, due 8/15/27 (c) | 5,280,000 | 5,992,633 |
Northwest Pipeline LLC | ||
7.125%, due 12/1/25 | 2,195,000 | 2,666,739 |
Oasis Midstream Partners LP | ||
8.00%, due 4/1/29 (c) | 2,150,000 | 2,236,000 |
PBF Logistics LP | ||
6.875%, due 5/15/23 | 1,200,000 | 1,170,000 |
Plains All American Pipeline LP | ||
Series B | ||
6.125%, due 11/15/22 (a)(m) | 14,265,000 | 12,909,825 |
Rockies Express Pipeline LLC (c) | ||
3.60%, due 5/15/25 | 2,000,000 | 2,065,000 |
4.80%, due 5/15/30 | 5,000,000 | 5,205,450 |
Ruby Pipeline LLC | ||
8.00%, due 4/1/22 (c)(i) | 14,494,697 | 13,565,506 |
Tallgrass Energy Partners LP | ||
6.00%, due 3/1/27 (c) | 1,500,000 | 1,569,900 |
Targa Resources Partners LP | ||
5.875%, due 4/15/26 | 4,915,000 | 5,133,103 |
TransMontaigne Partners LP | ||
6.125%, due 2/15/26 | 8,055,000 | 8,195,962 |
Western Midstream Operating LP | ||
4.65%, due 7/1/26 | 2,000,000 | 2,163,220 |
5.50%, due 8/15/48 | 6,360,000 | 7,441,200 |
170,692,606 | ||
Real Estate 0.7% | ||
Howard Hughes Corp. (The) (c) | ||
4.125%, due 2/1/29 | 3,300,000 | 3,304,125 |
4.375%, due 2/1/31 | 2,500,000 | 2,514,775 |
Newmark Group, Inc. | ||
6.125%, due 11/15/23 | 9,839,000 | 10,645,798 |
Realogy Group LLC (c) | ||
5.75%, due 1/15/29 | 5,750,000 | 5,964,245 |
7.625%, due 6/15/25 | 1,000,000 | 1,067,950 |
9.375%, due 4/1/27 | 1,500,000 | 1,648,125 |
25,145,018 | ||
Real Estate Investment Trusts 2.7% | ||
CTR Partnership LP | ||
3.875%, due 6/30/28 (c) | 3,345,000 | 3,470,437 |
GLP Capital LP | ||
5.30%, due 1/15/29 | 5,700,000 | 6,664,218 |
Principal Amount | Value | |
Corporate Bonds | ||
Real Estate Investment Trusts | ||
GLP Capital LP | ||
5.375%, due 11/1/23 | $ 1,500,000 | $ 1,621,301 |
5.375%, due 4/15/26 | 1,506,000 | 1,712,247 |
Host Hotels & Resorts LP | ||
Series I | ||
3.50%, due 9/15/30 | 2,100,000 | 2,181,482 |
MGM Growth Properties Operating Partnership LP | ||
3.875%, due 2/15/29 (c) | 10,360,000 | 11,033,400 |
4.625%, due 6/15/25 (c) | 3,100,000 | 3,340,250 |
5.625%, due 5/1/24 | 19,120,000 | 20,793,000 |
5.75%, due 2/1/27 | 7,095,000 | 8,159,250 |
MPT Operating Partnership LP | ||
4.625%, due 8/1/29 | 2,000,000 | 2,146,000 |
5.00%, due 10/15/27 | 6,726,000 | 7,087,522 |
Park Intermediate Holdings LLC | ||
4.875%, due 5/15/29 (c) | 4,550,000 | 4,682,974 |
RHP Hotel Properties LP | ||
4.50%, due 2/15/29 (c) | 4,225,000 | 4,233,534 |
4.75%, due 10/15/27 | 6,175,000 | 6,390,940 |
SBA Communications Corp. | ||
3.125%, due 2/1/29 (c) | 5,000,000 | 4,831,250 |
3.875%, due 2/15/27 | 3,000,000 | 3,108,750 |
VICI Properties LP | ||
4.125%, due 8/15/30 (c) | 1,000,000 | 1,060,000 |
92,516,555 | ||
Retail 4.1% | ||
1011778 BC ULC (c) | ||
3.50%, due 2/15/29 | 4,355,000 | 4,311,450 |
3.875%, due 1/15/28 | 6,165,000 | 6,225,725 |
4.00%, due 10/15/30 | 12,505,000 | 12,379,950 |
Asbury Automotive Group, Inc. | ||
4.50%, due 3/1/28 | 4,631,000 | 4,752,564 |
4.75%, due 3/1/30 | 5,212,000 | 5,440,025 |
CEC Entertainment LLC | ||
6.75%, due 5/1/26 (c) | 3,435,000 | 3,443,587 |
Dave & Buster's, Inc. | ||
7.625%, due 11/1/25 (c) | 3,379,000 | 3,615,395 |
Group 1 Automotive, Inc. | ||
4.00%, due 8/15/28 (c) | 3,250,000 | 3,306,875 |
Ken Garff Automotive LLC | ||
4.875%, due 9/15/28 (c) | 5,885,000 | 6,046,837 |
KFC Holding Co. | ||
4.75%, due 6/1/27 (c) | 5,275,000 | 5,507,153 |
LCM Investments Holdings II LLC (c) | ||
4.875%, due 5/1/29 | 8,225,000 | 8,439,426 |
4.875%, due 5/1/29 | 2,340,000 | 2,401,004 |
Principal Amount | Value | |
Corporate Bonds | ||
Retail | ||
Lithia Motors, Inc. (c) | ||
3.875%, due 6/1/29 | $ 2,000,000 | $ 2,075,920 |
4.375%, due 1/15/31 | 2,000,000 | 2,135,000 |
4.625%, due 12/15/27 | 700,000 | 736,750 |
Murphy Oil USA, Inc. | ||
4.75%, due 9/15/29 | 3,000,000 | 3,176,250 |
5.625%, due 5/1/27 | 2,994,000 | 3,128,730 |
NMG Holding Co., Inc. | ||
7.125%, due 4/1/26 (c) | 17,855,000 | 18,948,619 |
Penske Automotive Group, Inc. | ||
3.50%, due 9/1/25 | 3,945,000 | 4,058,419 |
PetSmart, Inc. | ||
7.75%, due 2/15/29 (c) | 4,005,000 | 4,370,456 |
TPro Acquisition Corp. | ||
11.00%, due 10/15/24 (c) | 1,500,000 | 1,627,500 |
Ultra Resources, Inc. Escrow Claim Shares | ||
6.875%, due 4/15/22 (d)(e)(f)(g) | 9,675,000 | — |
Yum! Brands, Inc. | ||
3.625%, due 3/15/31 | 10,750,000 | 10,807,405 |
4.625%, due 1/31/32 | 9,750,000 | 10,408,125 |
4.75%, due 1/15/30 (c) | 10,432,000 | 11,306,410 |
138,649,575 | ||
Software 3.6% | ||
ACI Worldwide, Inc. | ||
5.75%, due 8/15/26 (c) | 4,405,000 | 4,603,225 |
Ascend Learning LLC | ||
6.875%, due 8/1/25 (c) | 7,485,000 | 7,606,631 |
Camelot Finance SA | ||
4.50%, due 11/1/26 (c) | 4,480,000 | 4,653,600 |
CDK Global, Inc. | ||
5.25%, due 5/15/29 (c) | 2,000,000 | 2,160,260 |
Change Healthcare Holdings LLC | ||
5.75%, due 3/1/25 (c) | 2,300,000 | 2,317,250 |
Clarivate Science Holdings Corp. (c) | ||
3.875%, due 7/1/28 | 5,935,000 | 5,935,000 |
4.875%, due 7/1/29 | 7,725,000 | 7,740,064 |
Fair Isaac Corp. | ||
5.25%, due 5/15/26 (c) | 3,590,000 | 4,076,355 |
MSCI, Inc. (c) | ||
3.25%, due 8/15/33 | 6,350,000 | 6,422,771 |
3.625%, due 9/1/30 | 7,315,000 | 7,561,881 |
3.625%, due 11/1/31 | 8,300,000 | 8,636,773 |
3.875%, due 2/15/31 | 10,620,000 | 11,137,725 |
4.00%, due 11/15/29 | 9,500,000 | 10,057,650 |
Open Text Corp. (c) | ||
3.875%, due 2/15/28 | 4,560,000 | 4,651,200 |
5.875%, due 6/1/26 | 5,675,000 | 5,873,625 |
Principal Amount | Value | |
Corporate Bonds | ||
Software | ||
Open Text Holdings, Inc. | ||
4.125%, due 2/15/30 (c) | $ 7,794,000 | $ 8,008,335 |
PTC, Inc. (c) | ||
3.625%, due 2/15/25 | 3,400,000 | 3,451,000 |
4.00%, due 2/15/28 | 8,816,000 | 9,047,420 |
SS&C Technologies, Inc. | ||
5.50%, due 9/30/27 (c) | 5,885,000 | 6,214,163 |
Veritas US, Inc. | ||
7.50%, due 9/1/25 (c) | 2,600,000 | 2,704,000 |
122,858,928 | ||
Telecommunications 4.7% | ||
Altice France SA | ||
7.375%, due 5/1/26 (c) | 3,108,000 | 3,224,861 |
CommScope Technologies LLC | ||
6.00%, due 6/15/25 (c) | 1,300,000 | 1,316,250 |
CommScope, Inc. | ||
8.25%, due 3/1/27 (c) | 8,924,000 | 9,340,974 |
Connect Finco SARL | ||
6.75%, due 10/1/26 (c) | 12,790,000 | 13,381,537 |
Hughes Satellite Systems Corp. | ||
5.25%, due 8/1/26 | 6,735,000 | 7,593,713 |
6.625%, due 8/1/26 | 6,460,000 | 7,345,196 |
Level 3 Financing, Inc. | ||
3.75%, due 7/15/29 (c) | 1,500,000 | 1,449,720 |
5.375%, due 5/1/25 | 6,300,000 | 6,435,844 |
Lumen Technologies, Inc. | ||
Series T | ||
5.80%, due 3/15/22 | 9,390,000 | 9,568,410 |
Sprint Capital Corp. | ||
6.875%, due 11/15/28 | 31,815,000 | 40,723,200 |
Sprint Corp. | ||
7.875%, due 9/15/23 | 14,030,000 | 15,676,420 |
T-Mobile US, Inc. | ||
2.625%, due 2/15/29 | 4,000,000 | 4,042,236 |
2.875%, due 2/15/31 | 8,160,000 | 8,229,359 |
3.375%, due 4/15/29 (c) | 3,630,000 | 3,786,998 |
3.50%, due 4/15/31 (c) | 2,500,000 | 2,636,587 |
4.75%, due 2/1/28 | 11,450,000 | 12,165,625 |
5.375%, due 4/15/27 | 8,875,000 | 9,323,187 |
Vmed O2 UK Financing I plc | ||
4.75%, due 7/15/31 (c) | 2,200,000 | 2,247,696 |
158,487,813 |
Principal Amount | Value | |
Corporate Bonds | ||
Toys, Games & Hobbies 0.2% | ||
Mattel, Inc. (c) | ||
3.375%, due 4/1/26 | $ 3,200,000 | $ 3,299,520 |
3.75%, due 4/1/29 | 3,000,000 | 3,127,500 |
6,427,020 | ||
Transportation 0.5% | ||
Seaspan Corp. | ||
5.50%, due 8/1/29 (c) | 2,750,000 | 2,805,605 |
Teekay Corp. | ||
9.25%, due 11/15/22 (c) | 1,500,000 | 1,537,500 |
Watco Cos. LLC | ||
6.50%, due 6/15/27 (c) | 11,540,000 | 12,347,800 |
16,690,905 | ||
Total Corporate Bonds (Cost $2,841,329,937) | 2,980,175,463 | |
Loan Assignments 3.4% | ||
Aerospace & Defense 0.1% | ||
TransDigm, Inc. | ||
Tranche Refinancing Term Loan F | ||
2.334% (1 Month LIBOR + 2.25%), due 12/9/25 (n) | 1,619,636 | 1,598,547 |
Automobile 0.2% | ||
Dealer Tire LLC | ||
Term Loan B1 | ||
4.334% (1 Month LIBOR + 4.25%), due 1/1/38 (n) | 5,895,000 | 5,896,839 |
Wheel Pros, Inc. | ||
First Lien Initial Term Loan | ||
5.25% (1 Month LIBOR + 4.50%), due 4/23/28 (n) | 2,000,000 | 1,997,728 |
7,894,567 | ||
Beverage, Food & Tobacco 0.2% | ||
United Natural Foods, Inc. | ||
Initial Term Loan | ||
3.584% (1 Month LIBOR + 3.50%), due 10/22/25 (n) | 5,293,231 | 5,286,106 |
Chemicals, Plastics & Rubber 0.2% | ||
Innophos Holdings, Inc. | ||
Initial Term Loan | ||
3.834% (1 Month LIBOR + 3.75%), due 2/5/27 (n) | 1,871,500 | 1,870,330 |
Jazz Pharmaceuticals plc | ||
Initial Dollar Term Loan | ||
4.00% (1 Month LIBOR + 3.50%), due 5/5/28 (n) | 6,284,250 | 6,292,106 |
8,162,436 |
Principal Amount | Value | |
Loan Assignments | ||
Diversified/Conglomerate Service 0.1% | ||
Change Healthcare Holdings, Inc. | ||
Closing Date Term Loan | ||
3.50% (1 Month LIBOR + 2.50%, 3 Month LIBOR + 2.50%), due 3/1/24 (n) | $ 3,934,001 | $ 3,928,592 |
Finance 0.5% | ||
AAdvantage Loyality IP Ltd. | ||
Initial Term Loan | ||
5.50% (3 Month LIBOR + 4.75%), due 4/20/28 (n) | 2,000,000 | 2,065,928 |
American Trailer World Corp. | ||
First Lien Initial Term Loan | ||
4.50% (1 Month LIBOR + 3.75%), due 3/3/28 (n) | 3,591,000 | 3,571,547 |
Schweitzer-Mauduit International, Inc. | ||
Term Loan B | ||
4.50% (1 Month LIBOR + 3.75%), due 2/9/28 (n) | 5,236,875 | 5,207,418 |
Superannuation and Investments U.S. LLC | ||
USD Term Loan | ||
TBD, due 9/24/28 | 2,700,000 | 2,693,250 |
Truck Hero, Inc. | ||
Initial Term Loan | ||
4.00% (1 Month LIBOR + 3.25%), due 1/31/28 (n) | 3,391,479 | 3,382,152 |
16,920,295 | ||
Healthcare 0.1% | ||
Mozart Debt Merger Sub, Inc. | ||
Term Loan B | ||
TBD, due 9/30/28 | 3,300,000 | 3,291,750 |
Healthcare, Education & Childcare 0.3% | ||
LifePoint Health, Inc. | ||
First Lien Term Loan B | ||
3.834% (1 Month LIBOR + 3.75%), due 11/16/25 (n) | 8,540,607 | 8,524,593 |
Manufacturing 0.1% | ||
Adient U.S. LLC | ||
Term Loan B1 | ||
3.584% (1 Month LIBOR + 3.50%), due 4/10/28 (n) | 3,790,500 | 3,789,147 |
Media 0.2% | ||
DIRECTV Financing LLC | ||
Closing Date Term Loan | ||
5.75% (3 Month LIBOR + 5.00%), due 8/2/27 (n) | 6,000,000 | 6,003,126 |
Oil & Gas 0.2% | ||
Ascent Resources Utica Holdings LLC | ||
Second Lien Term Loan | ||
10.00% (3 Month LIBOR + 9.00%), due 11/1/25 (n) | 2,842,000 | 3,114,832 |
Principal Amount | Value | |
Loan Assignments | ||
Oil & Gas | ||
PetroQuest Energy LLC (b)(d)(e)(f) | ||
Term Loan | ||
8.50% (8.50% PIK) (1 Month LIBOR + 7.50%), due 11/8/23 (n) | $ 5,585,009 | $ 4,468,007 |
2020 Term Loan | ||
8.50% (8.50% PIK), due 9/19/26 | 544,833 | 544,833 |
8,127,672 | ||
Personal & Nondurable Consumer Products 0.6% | ||
Great Outdoors Group LLC | ||
Term Loan B1 | ||
5.00% (3 Month LIBOR + 4.25%), due 3/6/28 (n) | 21,145,237 | 21,228,930 |
Pharmaceutical 0.1% | ||
Bausch Health Cos., Inc. | ||
First Incremental Term Loan | ||
2.835% (1 Month LIBOR + 2.75%), due 11/27/25 (n) | 3,361,667 | 3,350,207 |
Services Business 0.1% | ||
GIP II Blue Holding LP | ||
Initial Term Loan | ||
TBD, due 9/29/28 | 3,550,000 | 3,545,563 |
Utilities 0.4% | ||
PG&E Corp. | ||
Term Loan | ||
3.50% (3 Month LIBOR + 3.00%), due 6/19/25 (n) | 13,331,250 | 13,068,784 |
Total Loan Assignments (Cost $114,748,800) | 114,720,315 | |
Total Long-Term Bonds (Cost $2,981,917,340) | 3,127,383,119 | |
Shares | ||
Common Stocks 2.0% | ||
Commercial Services & Supplies 0.1% | ||
ATD New Holdings, Inc. (e)(o) | 44,740 | 3,142,985 |
Electric Utilities 0.0% ‡ | ||
Keycon Power Holdings LLC (d)(e)(f)(o) | 11,280 | 113 |
Electrical Equipment 0.3% | ||
Energy Technologies, Inc. (d)(e)(f)(o) | 4,822 | 9,041,250 |
Hotels, Restaurants & Leisure 0.0% ‡ | ||
Carlson Travel, Inc. (d)(f)(l)(o) | 6,281 | — |
Shares | Value | ||
Common Stocks | |||
Independent Power and Renewable Electricity Producers 0.3% | |||
GenOn Energy, Inc. (d)(l) | 115,826 | $ 12,161,730 | |
Metals & Mining 0.1% | |||
Neenah Enterprises, Inc. (d)(e)(f)(l)(o) | 230,859 | 2,428,637 | |
Oil, Gas & Consumable Fuels 1.2% | |||
California Resources Corp. (o) | 24,247 | 994,127 | |
Gulfport Energy Operating Corp. (o) | 311,067 | 25,572,818 | |
PetroQuest Energy, Inc. (d)(e)(f)(o) | 8,224,665 | — | |
Talos Energy, Inc. (o) | 637,880 | 8,783,607 | |
Titan Energy LLC (d)(e)(f)(o) | 25,911 | — | |
Whiting Petroleum Corp. (o) | 71,002 | 4,147,227 | |
39,497,779 | |||
Software 0.0% ‡ | |||
ASG warrant corp. (d)(e)(f)(o) | 3,368 | — | |
Total Common Stocks (Cost $84,252,762) | 66,272,494 | ||
Preferred Stocks 0.2% | |||
Electrical Equipment 0.2% | |||
Energy Technologies Ltd. (d)(e)(f)(o) | 10,741 | 8,028,898 | |
Oil, Gas & Consumable Fuels 0.0% ‡ | |||
Gulfport Energy Operating Corp. (b)(d)(e)(f)(l)(o) | 38 | 197,334 | |
Total Preferred Stocks (Cost $10,335,701) | 8,226,232 | ||
Number of Warrants | |||
Warrant 0.0% ‡ | |||
Oil, Gas & Consumable Fuels 0.0% ‡ | |||
California Resources Corp. | |||
Expires 10/27/24 (o) | 9,742 | 116,904 | |
Total Warrant (Cost $3,897) | 116,904 | ||
Total Investments (Cost $3,076,509,700) | 94.9% | 3,201,998,749 | |
Other Assets, Less Liabilities | 5.1 | 173,145,609 | |
Net Assets | 100.0% | $ 3,375,144,358 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | Security is perpetual and, thus, does not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(b) | PIK ("Payment-in-Kind")—issuer may pay interest or dividends with additional securities and/or in cash. |
(c) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
(d) | Fair valued security—Represents fair value as measured in good faith under procedures approved by the Board of Trustees. As of September 30, 2021, the total market value was $47,189,962, which represented 1.4% of the Portfolio’s net assets. |
(e) | Illiquid security—As of September 30, 2021, the total market value deemed illiquid under procedures approved by the Board of Trustees was $40,665,374, which represented 1.2% of the Portfolio’s net assets. |
(f) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
(g) | Issue in non-accrual status. |
(h) | Delayed delivery security. |
(i) | Step coupon—Rate shown was the rate in effect as of September 30, 2021. |
(j) | Issue in default. |
(k) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. Rate shown was the rate in effect as of September 30, 2021. |
(l) | Restricted security. |
(m) | Fixed to floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(n) | Floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(o) | Non-income producing security. |
Abbreviation(s): |
LIBOR—London Interbank Offered Rate |
TBD—To Be Determined |
USD—United States Dollar |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Long-Term Bonds | |||||||
Convertible Bonds | $ — | $ 32,487,341 | $ — | $ 32,487,341 | |||
Corporate Bonds | — | 2,969,856,303 | 10,319,160 | 2,980,175,463 | |||
Loan Assignments | — | 109,707,475 | 5,012,840 | 114,720,315 | |||
Total Long-Term Bonds | — | 3,112,051,119 | 15,332,000 | 3,127,383,119 | |||
Common Stocks | 39,497,779 | 15,304,715 | 11,470,000 | 66,272,494 | |||
Preferred Stocks | — | — | 8,226,232 | 8,226,232 | |||
Warrant | 116,904 | — | — | 116,904 | |||
Total Investments in Securities | $ 39,614,683 | $ 3,127,355,834 | $ 35,028,232 | $ 3,201,998,749 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
Investments in Securities | Balance as of December 31, 2020 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers in to Level 3 | Transfers out of Level 3 | Balance as of September 30, 2021 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of September 30, 2021 | |||||||||
Long-Term Bonds | |||||||||||||||||||
Corporate Bonds | $10,874,686 | $3,082,619 | $— | $9,923,517 | $— | $(13,561,662) | $— | $— | $10,319,160 | $(663,459) | |||||||||
Loan Assignments | 4,290,785 | — | — | (175,122) | 386,357 | — | 510,820 | — | 5,012,840 | (175,122) | |||||||||
Common Stocks | 10,866,455 | — | 667,348 | (12,992,431) | 13,594,162 | (667,348) | 1,814 | — | 11,470,000 | (12,418,231) | |||||||||
Preferred Stocks | 8,109,455 | — | — | 78,777 | 38,000 | — | — | — | 8,226,232 | 78,777 | |||||||||
Total | $34,141,381 | $3,082,619 | $667,348 | $(3,165,259) | $14,018,519 | $(14,229,010) | $512,634 | $— | $35,028,232 | $(13,178,035) |
As of September 30, 2021, a Loan Assignment with a market value of $510,820 transferred from Level 2 to Level 3 as the the fair value for this Loan Assignment utilized significant unobservable inputs. As of December 31, 2020, the fair value obtained for this Loan Assignment utilized significant other observable inputs.
As of September 30, 2021, Common Stocks with a market value of $1,814 transferred from Level 1 to Level 3 as the the fair value for these Common Stocks utilized significant unobservable inputs. As of December 31, 2020, the fair value obtained for these Common Stocks utilized significant other observable inputs.
MainStay VP MacKay International Equity Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Common Stocks 99.3% | ||
Brazil 1.9% | ||
Notre Dame Intermedica Participacoes SA (Health Care Providers & Services) | 783,791 | $ 10,738,401 |
Canada 0.9% | ||
Constellation Software, Inc. (Software) | 3,331 | 5,457,044 |
China 4.5% | ||
Tencent Holdings Ltd. (Interactive Media & Services) | 445,806 | 26,139,487 |
Denmark 1.9% | ||
Chr Hansen Holding A/S (Chemicals) | 130,500 | 10,657,070 |
Finland 0.1% | ||
Musti Group Oyj (Specialty Retail) | 23,048 | 822,516 |
France 10.0% | ||
BioMerieux (Health Care Equipment & Supplies) | 60,742 | 6,898,573 |
Dassault Systemes SE (Software) | 103,411 | 5,421,498 |
Edenred (IT Services) | 306,716 | 16,519,948 |
Sartorius Stedim Biotech (Life Sciences Tools & Services) | 19,899 | 11,107,278 |
Teleperformance (Professional Services) | 44,714 | 17,593,013 |
57,540,310 | ||
Germany 12.1% | ||
Carl Zeiss Meditec AG (Health Care Equipment & Supplies) | 23,824 | 4,579,631 |
Deutsche Boerse AG (Capital Markets) | 107,884 | 17,562,050 |
SAP SE (Software) | 115,440 | 15,639,078 |
Scout24 AG (Interactive Media & Services) (a) | 183,069 | 12,707,329 |
Symrise AG (Chemicals) | 50,512 | 6,663,665 |
Zalando SE (Internet & Direct Marketing Retail) (a)(b) | 136,356 | 12,530,250 |
69,682,003 | ||
India 5.2% | ||
HDFC Bank Ltd. (Banks) | 875,121 | 18,761,263 |
Housing Development Finance Corp. Ltd. (Thrifts & Mortgage Finance) | 307,633 | 11,257,756 |
30,019,019 | ||
Ireland 3.1% | ||
ICON plc (Life Sciences Tools & Services) (b) | 67,945 | 17,802,949 |
Israel 0.9% | ||
Nice Ltd., Sponsored ADR (Software) (b) | 18,827 | 5,347,621 |
Italy 0.9% | ||
Reply SpA (IT Services) | 28,377 | 5,227,617 |
Shares | Value | |
Common Stocks | ||
Japan 12.4% | ||
CyberAgent, Inc. (Media) | 1,098,900 | $ 21,282,474 |
JMDC, Inc. (Health Care Technology) (b) | 78,200 | 5,376,172 |
Menicon Co. Ltd. (Health Care Equipment & Supplies) | 198,000 | 7,713,416 |
Relo Group, Inc. (Real Estate Management & Development) | 615,300 | 12,764,070 |
SMS Co. Ltd. (Professional Services) | 320,400 | 11,591,063 |
TechnoPro Holdings, Inc. (Professional Services) | 417,900 | 12,414,405 |
71,141,600 | ||
Mexico 1.1% | ||
Regional SAB de CV (Banks) | 1,119,032 | 6,440,472 |
Netherlands 7.7% | ||
Adyen NV (IT Services) (a)(b) | 3,837 | 10,669,012 |
Koninklijke DSM NV (Chemicals) | 66,027 | 13,197,400 |
Koninklijke Philips NV (Health Care Equipment & Supplies) | 462,897 | 20,516,935 |
44,383,347 | ||
Spain 3.5% | ||
Industria de Diseno Textil SA (Specialty Retail) | 549,233 | 19,982,480 |
Sweden 2.1% | ||
Hexagon AB, Class B (Electronic Equipment, Instruments & Components) | 383,936 | 5,915,752 |
MIPS AB (Leisure Products) | 59,926 | 6,009,704 |
11,925,456 | ||
Switzerland 3.7% | ||
Belimo Holding AG (Registered) (Building Products) | 11,592 | 6,137,367 |
Lonza Group AG (Registered) (Life Sciences Tools & Services) | 20,026 | 15,003,297 |
21,140,664 | ||
Taiwan 3.5% | ||
Taiwan Semiconductor Manufacturing Co. Ltd., Sponsored ADR (Semiconductors & Semiconductor Equipment) | 181,694 | 20,286,135 |
United Kingdom 15.2% | ||
Diageo plc (Beverages) | 358,080 | 17,253,385 |
Experian plc (Professional Services) | 317,162 | 13,175,175 |
HomeServe plc (Commercial Services & Supplies) | 816,152 | 9,921,092 |
Linde plc (Chemicals) | 50,062 | 14,687,190 |
Prudential plc (Insurance) | 827,572 | 16,065,375 |
St James's Place plc (Capital Markets) | 800,938 | 16,226,139 |
87,328,356 | ||
United States 8.6% | ||
Accenture plc, Class A (IT Services) | 18,064 | 5,779,035 |
Aon plc, Class A (Insurance) | 62,546 | 17,873,770 |
Globant SA (IT Services) (b) | 16,598 | 4,664,204 |
STERIS plc (Health Care Equipment & Supplies) | 27,602 | 5,638,537 |
Shares | Value | ||
Common Stocks | |||
United States | |||
TE Connectivity Ltd. (Electronic Equipment, Instruments & Components) | 111,638 | $ 15,318,966 | |
49,274,512 | |||
Total Common Stocks (Cost $515,781,012) | 571,337,059 | ||
Short-Term Investment 0.0% ‡ | |||
Affiliated Investment Company 0.0% ‡ | |||
United States 0.0% ‡ | |||
MainStay U.S. Government Liquidity Fund, 0.01% (c) | 296,593 | 296,593 | |
Total Short-Term Investment (Cost $296,593) | 296,593 | ||
Total Investments (Cost $516,077,605) | 99.3% | 571,633,652 | |
Other Assets, Less Liabilities | 0.7 | 3,894,743 | |
Net Assets | 100.0% | $ 575,528,395 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
(b) | Non-income producing security. |
(c) | Current yield as of September 30, 2021. |
Foreign Currency Forward Contracts
As of September 30, 2021, the Portfolio held the following foreign currency forward contracts1:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
CAD | 477,783 | JPY | 42,003,846 | JPMorgan Chase Bank N.A. | 10/1/21 | $ (193) |
Total Unrealized Depreciation | $ (193) |
1. | Foreign Currency Forward Contracts are subject to limitations such that they cannot be “sold or repurchased,” although the Portfolio would be able to exit the transaction through other means, such as through the execution of an offsetting transaction. |
Abbreviation(s): |
ADR—American Depositary Receipt |
CAD—Canada Dollar |
JPY—Japanese Yen |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets and liabilities:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Common Stocks | |||||||
China | $ — | $ 26,139,487 | $ — | $ 26,139,487 | |||
Denmark | — | 10,657,070 | — | 10,657,070 | |||
Finland | — | 822,516 | — | 822,516 | |||
France | — | 57,540,310 | — | 57,540,310 | |||
Germany | — | 69,682,003 | — | 69,682,003 | |||
India | — | 30,019,019 | — | 30,019,019 | |||
Italy | — | 5,227,617 | — | 5,227,617 | |||
Japan | — | 71,141,600 | — | 71,141,600 | |||
Netherlands | — | 44,383,347 | — | 44,383,347 | |||
Spain | — | 19,982,480 | — | 19,982,480 | |||
Sweden | — | 11,925,456 | — | 11,925,456 | |||
Switzerland | — | 21,140,664 | — | 21,140,664 | |||
United Kingdom | 14,687,190 | 72,641,166 | — | 87,328,356 | |||
All Other Countries | 115,347,134 | — | — | 115,347,134 | |||
Total Common Stocks | 130,034,324 | 441,302,735 | — | 571,337,059 | |||
Short-Term Investment | |||||||
Affiliated Investment Company | 296,593 | — | — | 296,593 | |||
Total Investments in Securities | $ 130,330,917 | $ 441,302,735 | $ — | $ 571,633,652 | |||
Liability Valuation Inputs | |||||||
Other Financial Instruments | |||||||
Foreign Currency Forward Contracts (b) | $ — | $ (193) | $ — | $ (193) |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
(b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP MacKay Mid Cap Core Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | ||
Common Stocks 0.0% ‡ | |||
Automobiles 0.0% ‡ | |||
Arrival SA (a)(b) | — | $ — | |
Consumer Finance 0.0% ‡ | |||
Credit Acceptance Corp. (a)(b) | — | — | |
Food Products 0.0% ‡ | |||
Sovos Brands, Inc. (a)(b) | — | — | |
Real Estate Management & Development 0.0% ‡ | |||
Redfin Corp. (a)(b) | — | — | |
Total Common Stocks (Cost $0) | — | ||
Short-Term Investments 0.0% ‡ | |||
Unaffiliated Investment Companies 0.0% ‡ | |||
BlackRock Liquidity FedFund, 0.025% (c)(d) | 8,000,000 | 8,000,000 | |
Wells Fargo Government Money Market Fund, 0.025% (c)(d) | 2,081,814 | 2,081,814 | |
Total Short-Term Investments (Cost $10,081,814) | 10,081,814 | ||
Total Investments (Cost $10,081,814) | —% | 10,081,814 | |
Other Assets, Less Liabilities | — | (10,081,814) | |
Net Assets | —% | $ — |
† | Percentages indicated are based on Fund net assets. |
‡ | Less than one-tenth of a percent. |
(a) | Non-income producing security. |
(b) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $0. |
(c) | Current yield as of September 30, 2021. |
(d) | Represents a security purchased with cash collateral received for securities on loan. |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Fund’s:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities | |||||||
Common Stocks | $ — | $ — | $ — | $ — | |||
Short-Term Investments | |||||||
Unaffiliated Investment Companies | 10,081,814 | — | — | 10,081,814 | |||
Total Investments in Securities | $ 10,081,814 | $ — | $ — | $ 10,081,814 |
MainStay VP MacKay S&P 500 Index Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Common Stocks 99.4% | ||
Aerospace & Defense 1.5% | ||
Boeing Co. (The) (a) | 52,981 | $ 11,652,641 |
General Dynamics Corp. | 22,337 | 4,378,722 |
Howmet Aerospace, Inc. | 37,672 | 1,175,366 |
Huntington Ingalls Industries, Inc. | 3,874 | 747,915 |
L3Harris Technologies, Inc. | 19,346 | 4,260,763 |
Lockheed Martin Corp. | 23,727 | 8,188,188 |
Northrop Grumman Corp. | 14,427 | 5,195,884 |
Raytheon Technologies Corp. | 145,169 | 12,478,727 |
Textron, Inc. | 21,753 | 1,518,577 |
TransDigm Group, Inc. (a) | 5,041 | 3,148,457 |
52,745,240 | ||
Air Freight & Logistics 0.6% | ||
CH Robinson Worldwide, Inc. | 12,817 | 1,115,079 |
Expeditors International of Washington, Inc. | 16,297 | 1,941,462 |
FedEx Corp. | 23,679 | 5,192,568 |
United Parcel Service, Inc., Class B | 70,115 | 12,767,941 |
21,017,050 | ||
Airlines 0.2% | ||
Alaska Air Group, Inc. (a) | 11,952 | 700,387 |
American Airlines Group, Inc. (a) | 61,816 | 1,268,464 |
Delta Air Lines, Inc. (a) | 61,648 | 2,626,821 |
Southwest Airlines Co. (a) | 56,995 | 2,931,253 |
United Airlines Holdings, Inc. (a) | 31,185 | 1,483,471 |
9,010,396 | ||
Auto Components 0.1% | ||
Aptiv plc (a) | 26,066 | 3,883,052 |
BorgWarner, Inc. | 23,117 | 998,886 |
4,881,938 | ||
Automobiles 2.1% | ||
Ford Motor Co. (a) | 377,876 | 5,350,724 |
General Motors Co. (a) | 139,763 | 7,366,908 |
Tesla, Inc. (a) | 78,119 | 60,579,722 |
73,297,354 | ||
Banks 4.4% | ||
Bank of America Corp. | 712,916 | 30,263,284 |
Citigroup, Inc. | 195,126 | 13,693,943 |
Citizens Financial Group, Inc. | 41,050 | 1,928,529 |
Comerica, Inc. | 12,893 | 1,037,886 |
Fifth Third Bancorp | 66,498 | 2,822,175 |
First Republic Bank | 16,962 | 3,271,630 |
Huntington Bancshares, Inc. | 142,204 | 2,198,474 |
JPMorgan Chase & Co. | 287,680 | 47,090,339 |
KeyCorp | 93,538 | 2,022,292 |
M&T Bank Corp. | 12,399 | 1,851,667 |
Shares | Value | |
Common Stocks | ||
Banks | ||
People's United Financial, Inc. | 41,214 | $ 720,009 |
PNC Financial Services Group, Inc. (The) | 40,946 | 8,010,675 |
Regions Financial Corp. | 92,645 | 1,974,265 |
SVB Financial Group (a) | 5,629 | 3,641,287 |
Truist Financial Corp. | 128,509 | 7,537,053 |
U.S. Bancorp | 129,891 | 7,720,721 |
Wells Fargo & Co. | 395,338 | 18,347,637 |
Zions Bancorp NA | 15,801 | 977,924 |
155,109,790 | ||
Beverages 1.4% | ||
Brown-Forman Corp., Class B | 17,574 | 1,177,634 |
Coca-Cola Co. (The) | 373,993 | 19,623,412 |
Constellation Brands, Inc., Class A | 16,288 | 3,431,719 |
Molson Coors Beverage Co., Class B | 18,111 | 839,988 |
Monster Beverage Corp. (a) | 36,152 | 3,211,382 |
PepsiCo, Inc. | 133,158 | 20,028,295 |
48,312,430 | ||
Biotechnology 1.9% | ||
AbbVie, Inc. | 170,224 | 18,362,063 |
Amgen, Inc. | 54,669 | 11,625,363 |
Biogen, Inc. (a) | 14,348 | 4,060,340 |
Gilead Sciences, Inc. | 120,875 | 8,443,119 |
Incyte Corp. (a) | 17,979 | 1,236,595 |
Moderna, Inc. (a) | 33,809 | 13,011,732 |
Regeneron Pharmaceuticals, Inc. (a) | 10,090 | 6,106,266 |
Vertex Pharmaceuticals, Inc. (a) | 24,948 | 4,525,318 |
67,370,796 | ||
Building Products 0.5% | ||
Allegion plc | 8,671 | 1,146,133 |
AO Smith Corp. | 12,960 | 791,467 |
Carrier Global Corp. | 83,537 | 4,323,875 |
Fortune Brands Home & Security, Inc. | 13,343 | 1,193,131 |
Johnson Controls International plc | 68,568 | 4,668,110 |
Masco Corp. | 23,795 | 1,321,812 |
Trane Technologies plc | 23,049 | 3,979,410 |
17,423,938 | ||
Capital Markets 3.0% | ||
Ameriprise Financial, Inc. | 10,951 | 2,892,378 |
Bank of New York Mellon Corp. (The) | 76,453 | 3,963,323 |
BlackRock, Inc. | 13,773 | 11,550,864 |
Cboe Global Markets, Inc. | 10,282 | 1,273,528 |
Charles Schwab Corp. (The) | 144,552 | 10,529,168 |
CME Group, Inc. | 34,609 | 6,692,688 |
Franklin Resources, Inc. | 26,258 | 780,388 |
Goldman Sachs Group, Inc. (The) | 32,454 | 12,268,586 |
Shares | Value | |
Common Stocks | ||
Capital Markets | ||
Intercontinental Exchange, Inc. | 54,239 | $ 6,227,722 |
Invesco Ltd. | 32,871 | 792,520 |
MarketAxess Holdings, Inc. | 3,656 | 1,538,043 |
Moody's Corp. | 15,516 | 5,509,887 |
Morgan Stanley | 140,525 | 13,674,488 |
MSCI, Inc. | 7,946 | 4,833,870 |
Nasdaq, Inc. | 11,268 | 2,174,949 |
Northern Trust Corp. | 20,043 | 2,160,836 |
Raymond James Financial, Inc. | 17,688 | 1,632,249 |
S&P Global, Inc. | 23,217 | 9,864,671 |
State Street Corp. | 33,070 | 2,801,690 |
T. Rowe Price Group, Inc. | 21,864 | 4,300,649 |
105,462,497 | ||
Chemicals 1.7% | ||
Air Products and Chemicals, Inc. | 21,329 | 5,462,570 |
Albemarle Corp. | 11,249 | 2,463,194 |
Celanese Corp. | 10,856 | 1,635,348 |
CF Industries Holdings, Inc. | 20,674 | 1,154,023 |
Corteva, Inc. | 71,040 | 2,989,363 |
Dow, Inc. | 71,993 | 4,143,917 |
DuPont de Nemours, Inc. | 50,357 | 3,423,772 |
Eastman Chemical Co. | 13,156 | 1,325,335 |
Ecolab, Inc. | 23,975 | 5,001,665 |
FMC Corp. | 12,446 | 1,139,556 |
International Flavors & Fragrances, Inc. | 23,990 | 3,207,943 |
Linde plc | 49,717 | 14,585,973 |
LyondellBasell Industries NV, Class A | 25,442 | 2,387,732 |
Mosaic Co. (The) | 33,309 | 1,189,797 |
PPG Industries, Inc. | 22,850 | 3,267,779 |
Sherwin-Williams Co. (The) | 23,321 | 6,523,583 |
59,901,550 | ||
Commercial Services & Supplies 0.4% | ||
Cintas Corp. | 8,505 | 3,237,513 |
Copart, Inc. (a) | 20,499 | 2,843,621 |
Republic Services, Inc. | 20,294 | 2,436,498 |
Rollins, Inc. | 21,309 | 752,847 |
Waste Management, Inc. | 37,429 | 5,590,396 |
14,860,875 | ||
Communications Equipment 0.8% | ||
Arista Networks, Inc. (a) | 5,392 | 1,852,907 |
Cisco Systems, Inc. | 406,155 | 22,107,017 |
F5 Networks, Inc. (a) | 5,745 | 1,141,991 |
Juniper Networks, Inc. | 31,573 | 868,889 |
Motorola Solutions, Inc. | 16,352 | 3,798,896 |
29,769,700 |
Shares | Value | |
Common Stocks | ||
Construction & Engineering 0.0% ‡ | ||
Quanta Services, Inc. | 13,430 | $ 1,528,603 |
Construction Materials 0.1% | ||
Martin Marietta Materials, Inc. | 6,011 | 2,053,838 |
Vulcan Materials Co. | 12,786 | 2,162,880 |
4,216,718 | ||
Consumer Finance 0.7% | ||
American Express Co. | 61,951 | 10,378,651 |
Capital One Financial Corp. | 42,949 | 6,956,450 |
Discover Financial Services | 28,831 | 3,541,888 |
Synchrony Financial | 54,847 | 2,680,921 |
23,557,910 | ||
Containers & Packaging 0.3% | ||
Amcor plc | 148,593 | 1,722,193 |
Avery Dennison Corp. | 7,988 | 1,655,193 |
Ball Corp. | 31,636 | 2,846,291 |
International Paper Co. | 37,754 | 2,111,204 |
Packaging Corp. of America | 9,155 | 1,258,263 |
Sealed Air Corp. | 14,649 | 802,619 |
Westrock Co. | 25,648 | 1,278,040 |
11,673,803 | ||
Distributors 0.1% | ||
Genuine Parts Co. | 13,924 | 1,688,007 |
LKQ Corp. (a) | 26,029 | 1,309,779 |
Pool Corp. | 3,873 | 1,682,470 |
4,680,256 | ||
Diversified Financial Services 1.4% | ||
Berkshire Hathaway, Inc., Class B (a) | 178,459 | 48,708,599 |
Diversified Telecommunication Services 1.2% | ||
AT&T, Inc. | 688,134 | 18,586,499 |
Lumen Technologies, Inc. | 95,874 | 1,187,879 |
Verizon Communications, Inc. | 399,009 | 21,550,476 |
41,324,854 | ||
Electric Utilities 1.6% | ||
Alliant Energy Corp. | 24,108 | 1,349,566 |
American Electric Power Co., Inc. | 48,165 | 3,910,035 |
Duke Energy Corp. | 74,135 | 7,234,835 |
Edison International | 36,569 | 2,028,482 |
Entergy Corp. | 19,339 | 1,920,556 |
Evergy, Inc. | 22,096 | 1,374,371 |
Eversource Energy | 33,102 | 2,706,420 |
Exelon Corp. | 94,177 | 4,552,516 |
Shares | Value | |
Common Stocks | ||
Electric Utilities | ||
FirstEnergy Corp. | 52,420 | $ 1,867,200 |
NextEra Energy, Inc. | 189,039 | 14,843,342 |
NRG Energy, Inc. | 23,550 | 961,547 |
Pinnacle West Capital Corp. | 10,842 | 784,527 |
PPL Corp. | 74,156 | 2,067,469 |
Southern Co. (The) | 102,028 | 6,322,675 |
Xcel Energy, Inc. | 51,871 | 3,241,938 |
55,165,479 | ||
Electrical Equipment 0.6% | ||
AMETEK, Inc. | 22,255 | 2,759,842 |
Eaton Corp. plc | 38,407 | 5,734,549 |
Emerson Electric Co. | 57,798 | 5,444,572 |
Generac Holdings, Inc. (a) | 6,067 | 2,479,401 |
Rockwell Automation, Inc. | 11,175 | 3,285,897 |
19,704,261 | ||
Electronic Equipment, Instruments & Components 0.7% | ||
Amphenol Corp., Class A | 57,596 | 4,217,755 |
CDW Corp. | 13,237 | 2,409,399 |
Corning, Inc. | 74,667 | 2,724,599 |
IPG Photonics Corp. (a) | 3,451 | 546,638 |
Keysight Technologies, Inc. (a) | 17,755 | 2,916,969 |
TE Connectivity Ltd. | 31,577 | 4,332,996 |
Teledyne Technologies, Inc. (a) | 4,476 | 1,922,800 |
Trimble, Inc. (a) | 24,147 | 1,986,091 |
Zebra Technologies Corp., Class A (a) | 5,157 | 2,658,021 |
23,715,268 | ||
Energy Equipment & Services 0.2% | ||
Baker Hughes Co. | 79,761 | 1,972,490 |
Halliburton Co. | 85,749 | 1,853,893 |
Schlumberger NV | 134,767 | 3,994,494 |
7,820,877 | ||
Entertainment 1.9% | ||
Activision Blizzard, Inc. | 74,887 | 5,795,505 |
Electronic Arts, Inc. | 27,582 | 3,923,540 |
Live Nation Entertainment, Inc. (a) | 12,685 | 1,155,984 |
Netflix, Inc. (a) | 42,610 | 26,006,587 |
Take-Two Interactive Software, Inc. (a) | 11,146 | 1,717,264 |
Walt Disney Co. (The) (a) | 175,111 | 29,623,528 |
68,222,408 | ||
Equity Real Estate Investment Trusts 2.5% | ||
Alexandria Real Estate Equities, Inc. | 13,221 | 2,526,136 |
American Tower Corp. | 43,823 | 11,631,062 |
AvalonBay Communities, Inc. | 13,455 | 2,982,166 |
Boston Properties, Inc. | 13,688 | 1,483,095 |
Shares | Value | |
Common Stocks | ||
Equity Real Estate Investment Trusts | ||
Crown Castle International Corp. | 41,654 | $ 7,219,471 |
Digital Realty Trust, Inc. | 27,140 | 3,920,373 |
Duke Realty Corp. | 36,141 | 1,730,070 |
Equinix, Inc. | 8,633 | 6,821,192 |
Equity Residential | 33,162 | 2,683,469 |
Essex Property Trust, Inc. | 6,253 | 1,999,334 |
Extra Space Storage, Inc. | 12,888 | 2,165,055 |
Federal Realty Investment Trust | 6,819 | 804,574 |
Healthpeak Properties, Inc. | 51,941 | 1,738,985 |
Host Hotels & Resorts, Inc. (a) | 67,867 | 1,108,268 |
Iron Mountain, Inc. | 27,750 | 1,205,738 |
Kimco Realty Corp. | 57,891 | 1,201,238 |
Mid-America Apartment Communities, Inc. | 11,034 | 2,060,600 |
Prologis, Inc. | 71,297 | 8,942,783 |
Public Storage | 14,671 | 4,358,754 |
Realty Income Corp. | 37,488 | 2,431,472 |
Regency Centers Corp. | 15,195 | 1,023,079 |
SBA Communications Corp. | 10,539 | 3,483,877 |
Simon Property Group, Inc. | 31,663 | 4,115,240 |
UDR, Inc. | 26,864 | 1,423,255 |
Ventas, Inc. | 36,155 | 1,996,118 |
Vornado Realty Trust | 15,099 | 634,309 |
Welltower, Inc. | 40,682 | 3,352,197 |
Weyerhaeuser Co. | 72,207 | 2,568,403 |
87,610,313 | ||
Food & Staples Retailing 1.4% | ||
Costco Wholesale Corp. | 42,588 | 19,136,918 |
Kroger Co. (The) | 65,465 | 2,646,750 |
Sysco Corp. | 49,305 | 3,870,442 |
Walgreens Boots Alliance, Inc. | 69,146 | 3,253,319 |
Walmart, Inc. | 137,584 | 19,176,458 |
48,083,887 | ||
Food Products 0.9% | ||
Archer-Daniels-Midland Co. | 53,846 | 3,231,299 |
Campbell Soup Co. | 19,529 | 816,508 |
Conagra Brands, Inc. | 46,256 | 1,566,691 |
General Mills, Inc. | 58,829 | 3,519,151 |
Hershey Co. (The) | 14,101 | 2,386,594 |
Hormel Foods Corp. | 27,166 | 1,113,806 |
J M Smucker Co. (The) | 10,545 | 1,265,716 |
Kellogg Co. | 24,284 | 1,552,233 |
Kraft Heinz Co. (The) | 64,779 | 2,385,163 |
Lamb Weston Holdings, Inc. | 14,082 | 864,212 |
McCormick & Co., Inc. (Non-Voting) | 23,998 | 1,944,558 |
Mondelez International, Inc., Class A | 134,573 | 7,829,457 |
Shares | Value | |
Common Stocks | ||
Food Products | ||
Tyson Foods, Inc., Class A | 28,362 | $ 2,238,896 |
30,714,284 | ||
Gas Utilities 0.0% ‡ | ||
Atmos Energy Corp. | 12,594 | 1,110,791 |
Health Care Equipment & Supplies 3.8% | ||
Abbott Laboratories | 170,675 | 20,161,838 |
ABIOMED, Inc. (a) | 4,358 | 1,418,616 |
Align Technology, Inc. (a) | 7,074 | 4,707,252 |
Baxter International, Inc. | 48,464 | 3,897,959 |
Becton Dickinson and Co. | 27,649 | 6,796,677 |
Boston Scientific Corp. (a) | 136,943 | 5,941,957 |
Cooper Cos., Inc. (The) | 4,746 | 1,961,569 |
Danaher Corp. | 61,182 | 18,626,248 |
Dentsply Sirona, Inc. | 21,076 | 1,223,462 |
Dexcom, Inc. (a) | 9,320 | 5,096,735 |
Edwards Lifesciences Corp. (a) | 59,912 | 6,782,637 |
Hologic, Inc. (a) | 24,696 | 1,822,812 |
IDEXX Laboratories, Inc. (a) | 8,219 | 5,111,396 |
Intuitive Surgical, Inc. (a) | 11,412 | 11,345,240 |
Medtronic plc | 129,382 | 16,218,034 |
ResMed, Inc. | 14,025 | 3,696,289 |
STERIS plc | 9,604 | 1,961,905 |
Stryker Corp. | 32,311 | 8,521,057 |
Teleflex, Inc. | 4,505 | 1,696,358 |
West Pharmaceutical Services, Inc. | 7,115 | 3,020,602 |
Zimmer Biomet Holdings, Inc. | 20,093 | 2,940,811 |
132,949,454 | ||
Health Care Providers & Services 2.5% | ||
AmerisourceBergen Corp. | 14,254 | 1,702,640 |
Anthem, Inc. | 23,473 | 8,750,734 |
Cardinal Health, Inc. | 27,964 | 1,383,099 |
Centene Corp. (a) | 56,163 | 3,499,516 |
Cigna Corp. | 32,743 | 6,553,839 |
CVS Health Corp. | 126,888 | 10,767,716 |
DaVita, Inc. (a) | 6,756 | 785,453 |
HCA Healthcare, Inc. | 23,732 | 5,760,231 |
Henry Schein, Inc. (a) | 13,560 | 1,032,730 |
Humana, Inc. | 12,434 | 4,838,691 |
Laboratory Corp. of America Holdings (a) | 9,410 | 2,648,350 |
McKesson Corp. | 14,891 | 2,968,968 |
Quest Diagnostics, Inc. | 11,763 | 1,709,282 |
UnitedHealth Group, Inc. | 90,778 | 35,470,596 |
Universal Health Services, Inc., Class B | 7,495 | 1,037,083 |
88,908,928 |
Shares | Value | |
Common Stocks | ||
Health Care Technology 0.1% | ||
Cerner Corp. | 28,457 | $ 2,006,788 |
Hotels, Restaurants & Leisure 2.1% | ||
Booking Holdings, Inc. (a) | 3,957 | 9,393,404 |
Caesars Entertainment, Inc. (a) | 20,548 | 2,307,129 |
Carnival Corp. (a) | 76,939 | 1,924,244 |
Chipotle Mexican Grill, Inc. (a) | 2,712 | 4,929,114 |
Darden Restaurants, Inc. | 12,610 | 1,910,037 |
Domino's Pizza, Inc. | 3,548 | 1,692,254 |
Expedia Group, Inc. (a) | 13,988 | 2,292,633 |
Hilton Worldwide Holdings, Inc. (a) | 26,844 | 3,546,361 |
Las Vegas Sands Corp. (a) | 33,098 | 1,211,387 |
Marriott International, Inc., Class A (a) | 26,336 | 3,900,098 |
McDonald's Corp. | 71,914 | 17,339,185 |
MGM Resorts International | 39,240 | 1,693,206 |
Norwegian Cruise Line Holdings Ltd. (a) | 35,654 | 952,318 |
Penn National Gaming, Inc. (a) | 15,095 | 1,093,784 |
Royal Caribbean Cruises Ltd. (a) | 21,578 | 1,919,363 |
Starbucks Corp. | 113,562 | 12,527,024 |
Wynn Resorts Ltd. (a) | 10,122 | 857,840 |
Yum! Brands, Inc. | 28,711 | 3,511,642 |
73,001,023 | ||
Household Durables 0.4% | ||
DR Horton, Inc. | 31,615 | 2,654,712 |
Garmin Ltd. | 14,444 | 2,245,464 |
Leggett & Platt, Inc. | 12,796 | 573,773 |
Lennar Corp., Class A | 26,577 | 2,489,733 |
Mohawk Industries, Inc. (a) | 5,383 | 954,944 |
Newell Brands, Inc. | 36,359 | 804,988 |
NVR, Inc. (a) | 330 | 1,582,047 |
PulteGroup, Inc. | 25,489 | 1,170,455 |
Whirlpool Corp. | 6,040 | 1,231,314 |
13,707,430 | ||
Household Products 1.3% | ||
Church & Dwight Co., Inc. | 23,637 | 1,951,707 |
Clorox Co. (The) | 11,987 | 1,985,167 |
Colgate-Palmolive Co. | 81,533 | 6,162,264 |
Kimberly-Clark Corp. | 32,520 | 4,306,949 |
Procter & Gamble Co. (The) | 233,697 | 32,670,841 |
47,076,928 | ||
Independent Power and Renewable Electricity Producers 0.0% ‡ | ||
AES Corp. (The) | 64,282 | 1,467,558 |
Industrial Conglomerates 1.1% | ||
3M Co. | 55,867 | 9,800,189 |
Shares | Value | |
Common Stocks | ||
Industrial Conglomerates | ||
General Electric Co. | 105,757 | $ 10,896,144 |
Honeywell International, Inc. | 66,467 | 14,109,615 |
Roper Technologies, Inc. | 10,142 | 4,524,650 |
39,330,598 | ||
Insurance 1.9% | ||
Aflac, Inc. | 59,409 | 3,096,991 |
Allstate Corp. (The) | 28,466 | 3,624,007 |
American International Group, Inc. | 82,705 | 4,539,678 |
Aon plc, Class A | 21,743 | 6,213,497 |
Arthur J. Gallagher & Co. | 19,746 | 2,935,243 |
Assurant, Inc. | 5,837 | 920,787 |
Brown & Brown, Inc. | 22,502 | 1,247,736 |
Chubb Ltd. | 42,239 | 7,327,622 |
Cincinnati Financial Corp. | 14,429 | 1,648,080 |
Everest Re Group Ltd. | 3,854 | 966,506 |
Globe Life, Inc. | 9,143 | 814,001 |
Hartford Financial Services Group, Inc. (The) | 33,425 | 2,348,106 |
Lincoln National Corp. | 17,246 | 1,185,663 |
Loews Corp. | 19,567 | 1,055,248 |
Marsh & McLennan Cos., Inc. | 48,775 | 7,385,998 |
MetLife, Inc. | 70,122 | 4,328,631 |
Principal Financial Group, Inc. | 24,394 | 1,570,974 |
Progressive Corp. (The) | 56,358 | 5,094,200 |
Prudential Financial, Inc. | 37,239 | 3,917,543 |
Travelers Cos., Inc. (The) | 24,239 | 3,684,570 |
W R Berkley Corp. | 13,480 | 986,466 |
Willis Towers Watson plc | 12,431 | 2,889,710 |
67,781,257 | ||
Interactive Media & Services 6.7% | ||
Alphabet, Inc. (a) | ||
Class A | 28,985 | 77,491,977 |
Class C | 27,125 | 72,296,534 |
Facebook, Inc., Class A (a) | 229,498 | 77,889,326 |
Match Group, Inc. (a) | 26,650 | 4,183,783 |
Twitter, Inc. (a) | 76,922 | 4,645,320 |
236,506,940 | ||
Internet & Direct Marketing Retail 4.1% | ||
Amazon.com, Inc. (a) | 41,931 | 137,745,012 |
eBay, Inc. | 62,375 | 4,345,666 |
Etsy, Inc. (a) | 12,250 | 2,547,510 |
144,638,188 | ||
IT Services 4.9% | ||
Accenture plc, Class A | 61,051 | 19,531,436 |
Akamai Technologies, Inc. (a) | 15,704 | 1,642,481 |
Automatic Data Processing, Inc. | 40,731 | 8,142,941 |
Shares | Value | |
Common Stocks | ||
IT Services | ||
Broadridge Financial Solutions, Inc. | 11,192 | $ 1,865,035 |
Cognizant Technology Solutions Corp., Class A | 50,831 | 3,772,168 |
DXC Technology Co. (a) | 24,495 | 823,277 |
Fidelity National Information Services, Inc. | 59,467 | 7,235,945 |
Fiserv, Inc. (a) | 57,402 | 6,228,117 |
FleetCor Technologies, Inc. (a) | 8,027 | 2,097,214 |
Gartner, Inc. (a) | 8,053 | 2,447,146 |
Global Payments, Inc. | 28,452 | 4,483,466 |
International Business Machines Corp. | 86,116 | 11,964,096 |
Jack Henry & Associates, Inc. | 7,159 | 1,174,506 |
Mastercard, Inc., Class A | 83,869 | 29,159,574 |
Paychex, Inc. | 30,882 | 3,472,681 |
PayPal Holdings, Inc. (a) | 113,218 | 29,460,456 |
VeriSign, Inc. (a) | 9,370 | 1,920,944 |
Visa, Inc., Class A | 162,475 | 36,191,306 |
Western Union Co. (The) | 39,537 | 799,438 |
172,412,227 | ||
Leisure Products 0.0% ‡ | ||
Hasbro, Inc. | 12,330 | 1,100,083 |
Life Sciences Tools & Services 1.4% | ||
Agilent Technologies, Inc. | 29,245 | 4,606,965 |
Bio-Rad Laboratories, Inc., Class A (a) | 2,076 | 1,548,592 |
Bio-Techne Corp. | 3,747 | 1,815,684 |
Charles River Laboratories International, Inc. (a) | 4,843 | 1,998,561 |
Illumina, Inc. (a) | 14,071 | 5,707,338 |
IQVIA Holdings, Inc. (a) | 18,472 | 4,424,783 |
Mettler-Toledo International, Inc. (a) | 2,242 | 3,088,041 |
PerkinElmer, Inc. | 10,783 | 1,868,586 |
Thermo Fisher Scientific, Inc. | 37,879 | 21,641,409 |
Waters Corp. (a) | 5,946 | 2,124,506 |
48,824,465 | ||
Machinery 1.5% | ||
Caterpillar, Inc. | 52,795 | 10,135,056 |
Cummins, Inc. | 13,826 | 3,104,767 |
Deere & Co. | 27,329 | 9,157,128 |
Dover Corp. | 13,872 | 2,157,096 |
Fortive Corp. | 34,504 | 2,434,947 |
IDEX Corp. | 7,301 | 1,510,942 |
Illinois Tool Works, Inc. | 27,704 | 5,724,478 |
Ingersoll Rand, Inc. (a) | 39,007 | 1,966,343 |
Otis Worldwide Corp. | 41,087 | 3,380,638 |
PACCAR, Inc. | 33,458 | 2,640,505 |
Parker-Hannifin Corp. | 12,439 | 3,478,193 |
Pentair plc | 15,977 | 1,160,409 |
Snap-on, Inc. | 5,215 | 1,089,674 |
Shares | Value | |
Common Stocks | ||
Machinery | ||
Stanley Black & Decker, Inc. | 15,564 | $ 2,728,525 |
Westinghouse Air Brake Technologies Corp. | 18,199 | 1,568,936 |
Xylem, Inc. | 17,354 | 2,146,343 |
54,383,980 | ||
Media 1.2% | ||
Charter Communications, Inc., Class A (a) | 12,211 | 8,884,235 |
Comcast Corp., Class A | 440,961 | 24,662,949 |
Discovery, Inc. (a) | ||
Class A (b) | 16,254 | 412,527 |
Class C | 28,956 | 702,762 |
DISH Network Corp., Class A (a) | 23,947 | 1,040,737 |
Fox Corp. | ||
Class A | 31,509 | 1,263,826 |
Class B | 14,646 | 543,659 |
Interpublic Group of Cos., Inc. (The) | 37,911 | 1,390,196 |
News Corp. | ||
Class A | 37,630 | 885,434 |
Class B | 11,716 | 272,163 |
Omnicom Group, Inc. | 20,687 | 1,498,980 |
ViacomCBS, Inc. | 58,365 | 2,306,001 |
43,863,469 | ||
Metals & Mining 0.3% | ||
Freeport-McMoRan, Inc. | 141,244 | 4,594,667 |
Newmont Corp. | 77,213 | 4,192,666 |
Nucor Corp. | 28,275 | 2,784,805 |
11,572,138 | ||
Multiline Retail 0.5% | ||
Dollar General Corp. | 22,764 | 4,829,155 |
Dollar Tree, Inc. (a) | 22,355 | 2,139,821 |
Target Corp. | 47,680 | 10,907,753 |
17,876,729 | ||
Multi-Utilities 0.7% | ||
Ameren Corp. | 24,630 | 1,995,030 |
CenterPoint Energy, Inc. | 55,947 | 1,376,296 |
CMS Energy Corp. | 27,898 | 1,666,348 |
Consolidated Edison, Inc. | 34,021 | 2,469,584 |
Dominion Energy, Inc. | 77,730 | 5,675,845 |
DTE Energy Co. | 18,644 | 2,082,721 |
NiSource, Inc. | 37,703 | 913,544 |
Public Service Enterprise Group, Inc. | 48,679 | 2,964,551 |
Sempra Energy | 30,743 | 3,888,989 |
WEC Energy Group, Inc. | 30,401 | 2,681,368 |
25,714,276 |
Shares | Value | |
Common Stocks | ||
Oil, Gas & Consumable Fuels 2.5% | ||
APA Corp. | 36,356 | $ 779,109 |
Cabot Oil & Gas Corp. | 38,433 | 836,302 |
Chevron Corp. | 186,275 | 18,897,599 |
ConocoPhillips | 128,918 | 8,736,773 |
Devon Energy Corp. | 60,615 | 2,152,439 |
Diamondback Energy, Inc. | 16,385 | 1,551,168 |
EOG Resources, Inc. | 56,247 | 4,514,947 |
Exxon Mobil Corp. | 408,017 | 23,999,560 |
Hess Corp. | 26,456 | 2,066,478 |
Kinder Morgan, Inc. | 187,700 | 3,140,221 |
Marathon Oil Corp. | 75,950 | 1,038,236 |
Marathon Petroleum Corp. | 61,442 | 3,797,730 |
Occidental Petroleum Corp. | 85,399 | 2,526,102 |
ONEOK, Inc. | 42,939 | 2,490,033 |
Phillips 66 | 42,201 | 2,955,336 |
Pioneer Natural Resources Co. | 21,843 | 3,637,078 |
Valero Energy Corp. | 39,396 | 2,780,176 |
Williams Cos., Inc. (The) | 117,076 | 3,036,951 |
88,936,238 | ||
Personal Products 0.2% | ||
Estee Lauder Cos., Inc. (The), Class A | 22,350 | 6,703,435 |
Pharmaceuticals 3.6% | ||
Bristol-Myers Squibb Co. | 213,931 | 12,658,297 |
Catalent, Inc. (a) | 16,417 | 2,184,610 |
Eli Lilly and Co. | 76,438 | 17,661,000 |
Johnson & Johnson | 253,438 | 40,930,237 |
Merck & Co., Inc. | 244,033 | 18,329,318 |
Organon & Co. | 24,344 | 798,240 |
Pfizer, Inc. | 539,491 | 23,203,508 |
Viatris, Inc. | 116,487 | 1,578,399 |
Zoetis, Inc. | 45,757 | 8,883,264 |
126,226,873 | ||
Professional Services 0.4% | ||
Equifax, Inc. | 11,719 | 2,969,829 |
IHS Markit Ltd. | 38,376 | 4,475,409 |
Jacobs Engineering Group, Inc. | 12,550 | 1,663,251 |
Leidos Holdings, Inc. | 13,629 | 1,310,156 |
Nielsen Holdings plc | 34,425 | 660,616 |
Robert Half International, Inc. | 10,885 | 1,092,092 |
Verisk Analytics, Inc. | 15,622 | 3,128,618 |
15,299,971 | ||
Real Estate Management & Development 0.1% | ||
CBRE Group, Inc., Class A (a) | 32,350 | 3,149,596 |
Shares | Value | |
Common Stocks | ||
Road & Rail 0.9% | ||
CSX Corp. | 217,048 | $ 6,455,008 |
JB Hunt Transport Services, Inc. | 8,036 | 1,343,780 |
Kansas City Southern | 8,764 | 2,371,889 |
Norfolk Southern Corp. | 23,777 | 5,688,647 |
Old Dominion Freight Line, Inc. | 9,031 | 2,582,685 |
Union Pacific Corp. | 62,782 | 12,305,900 |
30,747,909 | ||
Semiconductors & Semiconductor Equipment 5.5% | ||
Advanced Micro Devices, Inc. (a) | 117,100 | 12,049,590 |
Analog Devices, Inc. | 51,840 | 8,682,163 |
Applied Materials, Inc. | 87,992 | 11,327,210 |
Broadcom, Inc. | 39,497 | 19,153,280 |
Enphase Energy, Inc. (a) | 13,078 | 1,961,308 |
Intel Corp. | 390,582 | 20,810,209 |
KLA Corp. | 14,773 | 4,941,716 |
Lam Research Corp. | 13,745 | 7,822,967 |
Microchip Technology, Inc. | 26,362 | 4,046,303 |
Micron Technology, Inc. | 108,079 | 7,671,447 |
Monolithic Power Systems, Inc. | 4,145 | 2,008,999 |
NVIDIA Corp. | 239,914 | 49,700,584 |
NXP Semiconductors NV | 25,525 | 4,999,582 |
Qorvo, Inc. (a) | 10,851 | 1,814,179 |
QUALCOMM, Inc. | 108,714 | 14,021,932 |
Skyworks Solutions, Inc. | 15,911 | 2,621,815 |
Teradyne, Inc. | 16,038 | 1,750,868 |
Texas Instruments, Inc. | 89,007 | 17,108,036 |
Xilinx, Inc. | 23,693 | 3,577,406 |
196,069,594 | ||
Software 9.2% | ||
Adobe, Inc. (a) | 45,865 | 26,405,398 |
ANSYS, Inc. (a) | 8,399 | 2,859,439 |
Autodesk, Inc. (a) | 21,205 | 6,047,030 |
Cadence Design Systems, Inc. (a) | 26,818 | 4,061,318 |
Ceridian HCM Holding, Inc. (a) | 12,985 | 1,462,371 |
Citrix Systems, Inc. | 11,967 | 1,284,897 |
Fortinet, Inc. (a) | 13,064 | 3,815,211 |
Intuit, Inc. | 26,336 | 14,208,535 |
Microsoft Corp. | 723,485 | 203,964,891 |
NortonLifeLock, Inc. | 55,988 | 1,416,496 |
Oracle Corp. | 158,589 | 13,817,860 |
Paycom Software, Inc. (a) | 4,628 | 2,294,331 |
PTC, Inc. (a) | 10,137 | 1,214,311 |
salesforce.com, Inc. (a) | 93,532 | 25,367,749 |
ServiceNow, Inc. (a) | 19,030 | 11,841,798 |
Synopsys, Inc. (a) | 14,703 | 4,402,225 |
Shares | Value | |
Common Stocks | ||
Software | ||
Tyler Technologies, Inc. (a) | 3,926 | $ 1,800,660 |
326,264,520 | ||
Specialty Retail 2.2% | ||
Advance Auto Parts, Inc. | 6,304 | 1,316,842 |
AutoZone, Inc. (a) | 2,083 | 3,536,913 |
Bath & Body Works, Inc. | 25,496 | 1,607,013 |
Best Buy Co., Inc. | 21,484 | 2,271,074 |
CarMax, Inc. (a) | 15,723 | 2,011,915 |
Gap, Inc. (The) | 20,017 | 454,386 |
Home Depot, Inc. (The) | 102,364 | 33,602,007 |
Lowe's Cos., Inc. | 68,128 | 13,820,446 |
O'Reilly Automotive, Inc. (a) | 6,638 | 4,056,216 |
Ross Stores, Inc. | 34,369 | 3,741,066 |
TJX Cos., Inc. (The) | 116,231 | 7,668,921 |
Tractor Supply Co. | 11,108 | 2,250,592 |
Ulta Beauty, Inc. (a) | 5,277 | 1,904,575 |
78,241,966 | ||
Technology Hardware, Storage & Peripherals 6.3% | ||
Apple, Inc. (c) | 1,511,812 | 213,921,398 |
Hewlett Packard Enterprise Co. | 125,862 | 1,793,533 |
HP, Inc. | 115,774 | 3,167,577 |
NetApp, Inc. | 21,418 | 1,922,480 |
Seagate Technology Holdings plc | 20,159 | 1,663,521 |
Western Digital Corp. (a) | 29,535 | 1,666,955 |
224,135,464 | ||
Textiles, Apparel & Luxury Goods 0.7% | ||
Hanesbrands, Inc. | 33,560 | 575,890 |
NIKE, Inc., Class B | 122,877 | 17,845,427 |
PVH Corp. (a) | 6,841 | 703,186 |
Ralph Lauren Corp. | 4,640 | 515,226 |
Tapestry, Inc. | 26,876 | 994,949 |
Under Armour, Inc. (a) | ||
Class A | 18,148 | 366,227 |
Class C | 18,749 | 328,482 |
VF Corp. | 30,991 | 2,076,087 |
23,405,474 | ||
Tobacco 0.6% | ||
Altria Group, Inc. | 177,536 | 8,081,439 |
Philip Morris International, Inc. | 150,208 | 14,238,216 |
22,319,655 | ||
Trading Companies & Distributors 0.2% | ||
Fastenal Co. | 55,353 | 2,856,768 |
United Rentals, Inc. (a) | 6,975 | 2,447,737 |
Shares | Value | ||
Common Stocks | |||
Trading Companies & Distributors | |||
WW Grainger, Inc. | 4,218 | $ 1,657,927 | |
6,962,432 | |||
Water Utilities 0.1% | |||
American Water Works Co., Inc. | 17,489 | 2,956,341 | |
Wireless Telecommunication Services 0.2% | |||
T-Mobile US, Inc. (a) | 56,479 | 7,215,757 | |
Total Common Stocks (d) (Cost $1,109,965,305) | 3,518,759,549 | ||
Short-Term Investments 0.6% | |||
Affiliated Investment Company 0.0% ‡ | |||
MainStay U.S. Government Liquidity Fund, 0.01% (e) | 48,352 | 48,352 | |
Unaffiliated Investment Companies 0.0% ‡ | |||
BlackRock Liquidity FedFund, 0.025% (e)(f) | 200,000 | 200,000 | |
Wells Fargo Government Money Market Fund, 0.025% (e)(f) | 221,765 | 221,765 | |
Total Unaffiliated Investment Companies (Cost $421,765) | 421,765 | ||
Principal Amount | |||
U.S. Treasury Debt 0.6% | |||
U.S. Treasury Bills | |||
0.03%, due 12/14/21 (c)(g) | $ 18,500,000 | 18,498,745 | |
Total Short-Term Investments (Cost $18,968,967) | 18,968,862 | ||
Total Investments (Cost $1,128,934,272) | 100.0% | 3,537,728,411 | |
Other Assets, Less Liabilities | 0.0‡ | 1,254,472 | |
Net Assets | 100.0% | $ 3,538,982,883 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | Non-income producing security. |
(b) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $412,501. The Portfolio received cash collateral with a value of $421,765. |
(c) | Represents a security, or portion thereof, which was maintained at the broker as collateral for futures contracts. |
(d) | The combined market value of common stocks and notional value of Standard & Poor’s 500 Index futures contracts represents 99.9% of the Portfolio’s net assets. |
(e) | Current yield as of September 30, 2021. |
(f) | Represents a security purchased with cash collateral received for securities on loan. |
(g) | Interest rate shown represents yield to maturity. |
Futures Contracts
As of September 30, 2021, the Portfolio held the following futures contracts:
Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)1 |
Long Contracts | |||||
S&P 500 E-Mini Index | 82 | December 2021 | $ 18,148,020 | $ 17,620,775 | $ (527,245) |
1. | Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2021. |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets and liabilities:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Common Stocks | $ 3,518,759,549 | $ — | $ — | $ 3,518,759,549 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 48,352 | — | — | 48,352 | |||
Unaffiliated Investment Companies | 421,765 | — | — | 421,765 | |||
U.S. Treasury Debt | — | 18,498,745 | — | 18,498,745 | |||
Total Short-Term Investments | 470,117 | 18,498,745 | — | 18,968,862 | |||
Total Investments in Securities | $ 3,519,229,666 | $ 18,498,745 | $ — | $ 3,537,728,411 | |||
Liability Valuation Inputs | |||||||
Other Financial Instruments | |||||||
Futures Contracts (b) | $ (527,245) | $ — | $ — | $ (527,245) |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
(b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP Wellington Small Cap Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Common Stocks 94.5% | ||
Air Freight & Logistics 0.5% | ||
Hub Group, Inc., Class A (a) | 39,172 | $ 2,693,075 |
Auto Components 1.1% | ||
Dana, Inc. | 108,586 | 2,414,953 |
Gentherm, Inc. (a) | 34,649 | 2,804,143 |
5,219,096 | ||
Banks 10.0% | ||
Allegiance Bancshares, Inc. | 42,023 | 1,603,177 |
Ameris Bancorp | 57,983 | 3,008,158 |
Bank OZK | 68,063 | 2,925,348 |
Berkshire Hills Bancorp, Inc. | 108,356 | 2,923,445 |
Cadence Bancorp | 136,101 | 2,988,778 |
First Hawaiian, Inc. | 78,519 | 2,304,533 |
First Interstate BancSystem, Inc., Class A | 61,045 | 2,457,672 |
First Midwest Bancorp, Inc. | 88,533 | 1,683,012 |
FNB Corp. | 188,514 | 2,190,533 |
Great Western Bancorp, Inc. | 81,120 | 2,655,869 |
Home BancShares, Inc. | 111,961 | 2,634,442 |
OFG Bancorp | 111,683 | 2,816,645 |
Pacific Premier Bancorp, Inc. | 66,725 | 2,765,084 |
Sandy Spring Bancorp, Inc. | 66,825 | 3,061,921 |
Sterling Bancorp | 99,832 | 2,491,807 |
Umpqua Holdings Corp. | 141,195 | 2,859,199 |
United Community Banks, Inc. | 63,834 | 2,095,032 |
Veritex Holdings, Inc. | 65,745 | 2,587,723 |
Western Alliance Bancorp | 27,281 | 2,968,718 |
49,021,096 | ||
Biotechnology 4.4% | ||
Allakos, Inc. (a) | 6,755 | 715,152 |
ALX Oncology Holdings, Inc. (a) | 7,849 | 579,727 |
Amicus Therapeutics, Inc. (a) | 176,581 | 1,686,349 |
Arena Pharmaceuticals, Inc. (a) | 43,087 | 2,565,831 |
Ascendis Pharma A/S, ADR (a) | 8,745 | 1,393,866 |
Celldex Therapeutics, Inc. (a) | 54,210 | 2,926,798 |
Intellia Therapeutics, Inc. (a) | 8,539 | 1,145,507 |
Kodiak Sciences, Inc. (a) | 14,990 | 1,438,740 |
Kymera Therapeutics, Inc. (a) | 22,379 | 1,314,542 |
Myovant Sciences Ltd. (a) | 129,701 | 2,910,490 |
REVOLUTION Medicines, Inc. (a) | 25,933 | 713,417 |
Rocket Pharmaceuticals, Inc. (a) | 13,000 | 388,570 |
Sage Therapeutics, Inc. (a) | 30,010 | 1,329,743 |
Turning Point Therapeutics, Inc. (a) | 6,060 | 402,566 |
Y-mAbs Therapeutics, Inc. (a) | 18,732 | 534,611 |
Zymeworks, Inc. (a) | 54,998 | 1,597,142 |
21,643,051 |
Shares | Value | |
Common Stocks | ||
Building Products 1.5% | ||
Apogee Enterprises, Inc. | 45,280 | $ 1,709,773 |
Gibraltar Industries, Inc. (a) | 30,187 | 2,102,524 |
Insteel Industries, Inc. | 53,956 | 2,053,026 |
PGT Innovations, Inc. (a) | 79,668 | 1,521,659 |
7,386,982 | ||
Capital Markets 1.5% | ||
Greenhill & Co., Inc. | 145,679 | 2,129,827 |
Hamilton Lane, Inc., Class A | 27,289 | 2,314,653 |
Moelis & Co., Class A | 50,172 | 3,104,142 |
7,548,622 | ||
Chemicals 1.2% | ||
Livent Corp. (a) | 155,052 | 3,583,252 |
Minerals Technologies, Inc. | 33,875 | 2,365,830 |
5,949,082 | ||
Commercial Services & Supplies 3.4% | ||
BrightView Holdings, Inc. (a) | 136,645 | 2,016,880 |
CoreCivic, Inc. (a) | 168,623 | 1,500,745 |
Deluxe Corp. | 76,746 | 2,754,414 |
Herman Miller, Inc. | 69,368 | 2,612,399 |
Interface, Inc. | 177,334 | 2,686,610 |
Loomis AB | 95,337 | 2,579,791 |
U.S. Ecology, Inc. (a) | 73,241 | 2,369,346 |
16,520,185 | ||
Communications Equipment 0.9% | ||
Calix, Inc. (a) | 35,800 | 1,769,594 |
Plantronics, Inc. (a) | 97,101 | 2,496,467 |
4,266,061 | ||
Construction & Engineering 0.8% | ||
Badger Infrastructure Solutions Ltd. | 90,950 | 2,430,647 |
Fluor Corp. (a) | 93,839 | 1,498,609 |
3,929,256 | ||
Consumer Finance 2.1% | ||
Enova International, Inc. (a) | 83,561 | 2,887,033 |
Navient Corp. | 127,850 | 2,522,480 |
PRA Group, Inc. (a) | 122,011 | 5,141,544 |
10,551,057 | ||
Diversified Consumer Services 1.9% | ||
2U, Inc. (a) | 52,326 | 1,756,584 |
Adtalem Global Education, Inc. (a) | 68,732 | 2,598,757 |
Chegg, Inc. (a) | 26,005 | 1,768,860 |
H&R Block, Inc. | 119,932 | 2,998,300 |
9,122,501 |
Shares | Value | |
Common Stocks | ||
Diversified Financial Services 0.6% | ||
ECN Capital Corp. | 363,228 | $ 2,993,921 |
Diversified Telecommunication Services 0.3% | ||
Bandwidth, Inc., Class A (a) | 14,881 | 1,343,457 |
Electric Utilities 0.5% | ||
Portland General Electric Co. | 54,153 | 2,544,649 |
Electrical Equipment 1.5% | ||
EnerSys | 61,276 | 4,561,386 |
nVent Electric plc | 82,710 | 2,674,014 |
7,235,400 | ||
Electronic Equipment, Instruments & Components 2.0% | ||
FARO Technologies, Inc. (a) | 34,642 | 2,279,790 |
II-VI, Inc. (a) | 38,380 | 2,278,237 |
Knowles Corp. (a) | 129,970 | 2,435,638 |
Novanta, Inc. (a) | 9,831 | 1,518,889 |
PAR Technology Corp. (a)(b) | 23,984 | 1,475,256 |
9,987,810 | ||
Energy Equipment & Services 0.6% | ||
Nabors Industries Ltd. (a) | 29,525 | 2,848,572 |
Entertainment 0.6% | ||
IMAX Corp. (a) | 143,206 | 2,718,050 |
Equity Real Estate Investment Trusts 4.3% | ||
Acadia Realty Trust | 149,111 | 3,043,356 |
Empire State Realty Trust, Inc., Class A | 220,348 | 2,210,090 |
Essential Properties Realty Trust, Inc. | 78,550 | 2,193,116 |
Pebblebrook Hotel Trust | 114,177 | 2,558,707 |
Piedmont Office Realty Trust, Inc., Class A | 286,452 | 4,992,858 |
Ryman Hospitality Properties, Inc. (a) | 19,851 | 1,661,529 |
Uniti Group, Inc. | 236,949 | 2,931,059 |
Xenia Hotels & Resorts, Inc. (a) | 78,631 | 1,394,914 |
20,985,629 | ||
Food & Staples Retailing 0.5% | ||
United Natural Foods, Inc. (a) | 47,685 | 2,308,908 |
Food Products 0.8% | ||
Calavo Growers, Inc. | 26,971 | 1,031,371 |
Hostess Brands, Inc. (a) | 180,626 | 3,137,474 |
4,168,845 |
Shares | Value | |
Common Stocks | ||
Gas Utilities 1.0% | ||
New Jersey Resources Corp. | 73,517 | $ 2,559,127 |
South Jersey Industries, Inc. | 113,767 | 2,418,686 |
4,977,813 | ||
Health Care Equipment & Supplies 3.4% | ||
Globus Medical, Inc., Class A (a) | 24,642 | 1,888,070 |
Hill-Rom Holdings, Inc. | 10,250 | 1,537,500 |
Integra LifeSciences Holdings Corp. (a) | 39,167 | 2,682,156 |
Lantheus Holdings, Inc. (a) | 122,249 | 3,139,354 |
NuVasive, Inc. (a) | 41,079 | 2,458,578 |
Orthofix Medical, Inc. (a) | 79,024 | 3,012,395 |
SI-BONE, Inc. (a) | 87,802 | 1,880,719 |
16,598,772 | ||
Health Care Providers & Services 2.6% | ||
Accolade, Inc. (a) | 48,987 | 2,065,782 |
AMN Healthcare Services, Inc. (a) | 24,650 | 2,828,587 |
Cross Country Healthcare, Inc. (a) | 116,033 | 2,464,541 |
LHC Group, Inc. (a) | 11,425 | 1,792,697 |
Oak Street Health, Inc. (a)(b) | 15,175 | 645,393 |
Premier, Inc., Class A | 75,056 | 2,909,170 |
12,706,170 | ||
Health Care Technology 2.0% | ||
Health Catalyst, Inc. (a) | 43,163 | 2,158,582 |
Inspire Medical Systems, Inc. (a) | 10,042 | 2,338,581 |
Multiplan Corp. (a)(b) | 198,100 | 1,115,303 |
NextGen Healthcare, Inc. (a) | 155,323 | 2,190,054 |
Omnicell, Inc. (a) | 12,935 | 1,919,942 |
9,722,462 | ||
Hotels, Restaurants & Leisure 1.5% | ||
Hilton Grand Vacations, Inc. (a) | 66,403 | 3,158,791 |
Planet Fitness, Inc., Class A (a) | 27,203 | 2,136,796 |
Wingstop, Inc. | 11,492 | 1,883,883 |
7,179,470 | ||
Household Durables 1.8% | ||
Cavco Industries, Inc. (a) | 9,108 | 2,156,228 |
Skyline Champion Corp. (a) | 107,201 | 6,438,492 |
8,594,720 | ||
Household Products 0.4% | ||
Energizer Holdings, Inc. | 54,044 | 2,110,418 |
Insurance 1.4% | ||
Lancashire Holdings Ltd. | 240,401 | 1,810,794 |
ProAssurance Corp. | 113,809 | 2,706,378 |
Shares | Value | |
Common Stocks | ||
Insurance | ||
SiriusPoint Ltd. (a) | 248,928 | $ 2,305,073 |
6,822,245 | ||
Internet & Direct Marketing Retail 1.2% | ||
Porch Group, Inc. (a)(b) | 96,166 | 1,700,215 |
Quotient Technology, Inc. (a) | 261,626 | 1,522,663 |
Revolve Group, Inc. (a) | 490 | 30,267 |
Shutterstock, Inc. | 24,980 | 2,830,734 |
6,083,879 | ||
IT Services 2.1% | ||
BM Technologies, Inc. (a) | 10,187 | 90,664 |
CSG Systems International, Inc. | 44,793 | 2,159,023 |
LiveRamp Holdings, Inc. (a) | 31,628 | 1,493,791 |
Perficient, Inc. (a) | 27,494 | 3,181,056 |
Repay Holdings Corp. (a) | 43,547 | 1,002,887 |
Verra Mobility Corp. (a) | 153,647 | 2,315,460 |
10,242,881 | ||
Leisure Products 0.7% | ||
Sturm Ruger & Co., Inc. | 29,577 | 2,182,191 |
YETI Holdings, Inc. (a) | 13,824 | 1,184,579 |
3,366,770 | ||
Life Sciences Tools & Services 1.2% | ||
Codexis, Inc. (a) | 135,492 | 3,151,544 |
Medpace Holdings, Inc. (a) | 4,600 | 870,688 |
NeoGenomics, Inc. (a) | 43,122 | 2,080,205 |
6,102,437 | ||
Machinery 4.0% | ||
Altra Industrial Motion Corp. | 65,259 | 3,612,086 |
Astec Industries, Inc. | 47,950 | 2,580,189 |
Colfax Corp. (a) | 68,190 | 3,129,921 |
Hydrofarm Holdings Group, Inc. (a) | 18,885 | 714,797 |
Kennametal, Inc. | 84,282 | 2,884,973 |
Kornit Digital Ltd. (a) | 6,300 | 911,862 |
Middleby Corp. (The) (a) | 17,505 | 2,984,777 |
REV Group, Inc. | 152,354 | 2,614,395 |
19,433,000 | ||
Marine 0.4% | ||
Kirby Corp. (a) | 44,990 | 2,157,720 |
Media 1.6% | ||
Cardlytics, Inc. (a) | 44,362 | 3,723,746 |
Criteo SA, Sponsored ADR (a) | 65,299 | 2,393,209 |
TEGNA, Inc. | 93,717 | 1,848,099 |
7,965,054 |
Shares | Value | |
Common Stocks | ||
Metals & Mining 1.5% | ||
Carpenter Technology Corp. | 60,368 | $ 1,976,448 |
Compass Minerals International, Inc. | 37,407 | 2,409,011 |
MP Materials Corp. (a)(b) | 88,351 | 2,847,553 |
7,233,012 | ||
Oil, Gas & Consumable Fuels 0.6% | ||
Chesapeake Energy Corp. | 44,864 | 2,763,174 |
Paper & Forest Products 0.5% | ||
Schweitzer-Mauduit International, Inc. | 71,551 | 2,479,958 |
Personal Products 1.0% | ||
Edgewell Personal Care Co. | 81,513 | 2,958,922 |
Medifast, Inc. | 10,740 | 2,068,953 |
5,027,875 | ||
Pharmaceuticals 0.4% | ||
Arvinas, Inc. (a) | 24,525 | 2,015,464 |
Professional Services 2.2% | ||
ICF International, Inc. | 31,270 | 2,792,098 |
Insperity, Inc. | 24,243 | 2,684,670 |
Kforce, Inc. | 46,081 | 2,748,271 |
Science Applications International Corp. | 29,602 | 2,532,747 |
10,757,786 | ||
Real Estate Management & Development 0.5% | ||
Marcus & Millichap, Inc. (a) | 62,915 | 2,555,607 |
Semiconductors & Semiconductor Equipment 4.8% | ||
Ichor Holdings Ltd. (a) | 40,284 | 1,655,270 |
MKS Instruments, Inc. | 15,323 | 2,312,394 |
Rambus, Inc. (a) | 149,710 | 3,323,562 |
Silicon Motion Technology Corp., ADR | 32,727 | 2,257,508 |
Synaptics, Inc. (a) | 23,768 | 4,271,823 |
Tower Semiconductor Ltd. (a) | 329,296 | 9,845,950 |
23,666,507 | ||
Software 8.4% | ||
8x8, Inc. (a) | 104,895 | 2,453,494 |
Agilysys, Inc. (a) | 61,215 | 3,205,217 |
Box, Inc., Class A (a) | 130,462 | 3,088,036 |
Digital Turbine, Inc. (a) | 48,081 | 3,305,569 |
InterDigital, Inc. | 34,479 | 2,338,366 |
J2 Global, Inc. (a) | 18,718 | 2,557,253 |
Jamf Holding Corp. (a) | 79,135 | 3,048,280 |
Manhattan Associates, Inc. (a) | 11,218 | 1,716,691 |
Shares | Value | |
Common Stocks | ||
Software | ||
Marathon Digital Holdings, Inc. (a)(b) | 75,500 | $ 2,384,290 |
Mimecast Ltd. (a) | 45,661 | 2,904,040 |
PROS Holdings, Inc. (a) | 35,904 | 1,273,874 |
Rapid7, Inc. (a) | 25,010 | 2,826,630 |
Varonis Systems, Inc. (a) | 59,018 | 3,591,245 |
Veritone, Inc. (a) | 160,603 | 3,836,806 |
Xperi Holding Corp. | 135,741 | 2,557,360 |
41,087,151 | ||
Specialty Retail 1.0% | ||
Five Below, Inc. (a) | 16,741 | 2,959,976 |
Floor & Decor Holdings, Inc., Class A (a) | 17,850 | 2,156,102 |
5,116,078 | ||
Textiles, Apparel & Luxury Goods 2.7% | ||
Carter's, Inc. | 27,536 | 2,677,601 |
Crocs, Inc. (a) | 17,252 | 2,475,317 |
Kontoor Brands, Inc. | 45,729 | 2,284,164 |
Movado Group, Inc. | 83,454 | 2,627,966 |
On Holding AG, Class A (a)(b) | 1,034 | 31,154 |
Steven Madden Ltd. | 73,132 | 2,936,981 |
13,033,183 | ||
Thrifts & Mortgage Finance 2.8% | ||
Federal Agricultural Mortgage Corp., Class C | 43,675 | 4,739,611 |
MGIC Investment Corp. | 187,972 | 2,812,061 |
NMI Holdings, Inc., Class A (a) | 74,038 | 1,673,999 |
Radian Group, Inc. | 112,839 | 2,563,702 |
WSFS Financial Corp. | 35,952 | 1,844,697 |
13,634,070 | ||
Trading Companies & Distributors 1.8% | ||
Applied Industrial Technologies, Inc. | 39,896 | 3,595,826 |
Boise Cascade Co. | 54,058 | 2,918,051 |
MRC Global, Inc. (a) | 286,571 | 2,103,431 |
8,617,308 | ||
Total Common Stocks (Cost $471,984,934) | 463,036,289 | |
Exchange-Traded Funds 3.4% | ||
iShares Russell 2000 ETF (b) | 31,356 | 6,859,125 |
iShares Russell 2000 Growth ETF (b) | 24,152 | 7,090,785 |
iShares Russell 2000 Value ETF | 14,521 | 2,326,700 |
Total Exchange-Traded Funds (Cost $16,771,817) | 16,276,610 | |
Number of Warrants | Value | ||
Warrant 0.0% ‡ | |||
Energy Equipment & Services 0.0% ‡ | |||
Nabors Industries Ltd. | |||
Expires 6/11/26 (a) | 11,300 | $ 65,992 | |
Total Warrant (Cost $0) | 65,992 | ||
Shares | |||
Short-Term Investments 4.0% | |||
Affiliated Investment Company 2.3% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (c) | 11,463,934 | 11,463,934 | |
Unaffiliated Investment Companies 1.7% | |||
BlackRock Liquidity FedFund, 0.025% (c)(d) | 3,000,000 | 3,000,000 | |
Wells Fargo Government Money Market Fund, 0.025% (c)(d) | 5,117,053 | 5,117,053 | |
Total Unaffiliated Investment Companies (Cost $8,117,053) | 8,117,053 | ||
Total Short-Term Investments (Cost $19,580,987) | 19,580,987 | ||
Total Investments (Cost $508,337,738) | 101.9% | 498,959,878 | |
Other Assets, Less Liabilities | (1.9) | (9,091,769) | |
Net Assets | 100.0% | $ 489,868,109 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | Non-income producing security. |
(b) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $17,490,879; the total market value of collateral held by the Portfolio was $17,880,142. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $9,763,089. The Portfolio received cash collateral with a value of $8,117,053. |
(c) | Current yield as of September 30, 2021. |
(d) | Represents a security purchased with cash collateral received for securities on loan. |
Abbreviation(s): |
ADR—American Depositary Receipt |
ETF—Exchange-Traded Fund |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Common Stocks | |||||||
Commercial Services & Supplies | $ 13,940,394 | $ 2,579,791 | $ — | $ 16,520,185 | |||
Insurance | 5,011,451 | 1,810,794 | — | 6,822,245 | |||
All Other Industries | 439,693,859 | — | — | 439,693,859 | |||
Total Common Stocks | 458,645,704 | 4,390,585 | — | 463,036,289 | |||
Exchange-Traded Funds | 16,276,610 | — | — | 16,276,610 | |||
Warrant | 65,992 | — | — | 65,992 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 11,463,934 | — | — | 11,463,934 | |||
Unaffiliated Investment Companies | 8,117,053 | — | — | 8,117,053 | |||
Total Short-Term Investments | 19,580,987 | — | — | 19,580,987 | |||
Total Investments in Securities | $ 494,569,293 | $ 4,390,585 | $ — | $ 498,959,878 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP MacKay Strategic Bond Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Principal Amount | Value | |
Long-Term Bonds 93.0% | ||
Asset-Backed Securities 9.3% | ||
Automobile Asset-Backed Securities 3.0% | ||
American Credit Acceptance Receivables Trust | ||
Series 2020-2, Class C | ||
3.88%, due 4/13/26 (a) | $ 3,615,000 | $ 3,769,607 |
Avis Budget Rental Car Funding AESOP LLC (a) | ||
Series 2021-1A, Class A | ||
1.38%, due 8/20/27 | 2,550,000 | 2,544,422 |
Series 2020-2A, Class A | ||
2.02%, due 2/20/27 | 1,880,000 | 1,926,636 |
Drive Auto Receivables Trust | ||
Series 2021-2, Class D | ||
1.39%, due 3/15/29 | 1,160,000 | 1,156,175 |
Series 2021-1, Class D | ||
1.45%, due 1/16/29 | 3,390,000 | 3,398,631 |
Flagship Credit Auto Trust | ||
Series 2019-2, Class E | ||
4.52%, due 12/15/26 (a) | 1,258,000 | 1,321,525 |
Ford Credit Floorplan Master Owner Trust | ||
Series 2019-4, Class A | ||
2.44%, due 9/15/26 | 1,770,000 | 1,852,379 |
Series 2018-4, Class A | ||
4.06%, due 11/15/30 | 2,295,000 | 2,606,703 |
GLS Auto Receivables Issuer Trust | ||
Series 2021-3A, Class D | ||
1.48%, due 7/15/27 (a) | 3,430,000 | 3,414,324 |
GLS Auto Receivables Trust | ||
Series 2021-2A, Class D | ||
1.42%, due 4/15/27 (a) | 1,350,000 | 1,345,913 |
Hertz Vehicle Financing III LP (a) | ||
Series 2021-2A, Class B | ||
2.12%, due 12/27/27 | 1,820,000 | 1,830,821 |
Series 2021-2A, Class C | ||
2.52%, due 12/27/27 | 3,367,000 | 3,404,862 |
Hertz Vehicle Financing LLC | ||
Series 2021-1A, Class C | ||
2.05%, due 12/26/25 (a) | 1,180,000 | 1,189,418 |
29,761,416 | ||
Home Equity Asset-Backed Securities 0.4% | ||
Bayview Financial Acquisition Trust | ||
Series 2006-D, Class 2A4 | ||
0.505% (1 Month LIBOR + 0.42%), due 12/28/36 (b) | 46,106 | 46,093 |
Carrington Mortgage Loan Trust | ||
Series 2007-HE1, Class A3 | ||
0.276% (1 Month LIBOR + 0.19%), due 6/25/37 (b) | 3,127,993 | 3,098,125 |
First NLC Trust | ||
Series 2007-1, Class A1 | ||
0.156% (1 Month LIBOR + 0.07%), due 8/25/37 (a)(b) | 61,301 | 39,751 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Home Equity Asset-Backed Securities | ||
JP Morgan Mortgage Acquisition Trust | ||
Series 2007-HE1, Class AF1 | ||
0.186% (1 Month LIBOR + 0.10%), due 3/25/47 (b) | $ 21,816 | $ 14,858 |
Mastr Asset-Backed Securities Trust | ||
Series 2006-HE4, Class A1 | ||
0.186% (1 Month LIBOR + 0.10%), due 11/25/36 (b) | 16,569 | 7,180 |
Morgan Stanley ABS Capital I, Inc. Trust (b) | ||
Series 2007-HE4, Class A2A | ||
0.196% (1 Month LIBOR + 0.11%), due 2/25/37 | 17,624 | 7,568 |
Series 2007-HE7, Class M1 | ||
2.086% (1 Month LIBOR + 2.00%), due 7/25/37 | 930,000 | 979,771 |
4,193,346 | ||
Other Asset-Backed Securities 5.9% | ||
American Airlines Pass-Through Trust | ||
Series 2016-2, Class A | ||
3.65%, due 6/15/28 | 1,576,361 | 1,534,074 |
Series 2019-1, Class B | ||
3.85%, due 2/15/28 | 1,412,122 | 1,345,421 |
Series 2015-2, Class A | ||
4.00%, due 9/22/27 | 369,741 | 359,788 |
Series 2013-2, Class A | ||
4.95%, due 1/15/23 | 1,955,596 | 1,999,791 |
CF Hippolyta LLC (a) | ||
Series 2020-1, Class A1 | ||
1.69%, due 7/15/60 | 1,171,753 | 1,187,630 |
Series 2021-1A, Class B1 | ||
1.98%, due 3/15/61 | 5,651,695 | 5,665,875 |
Series 2020-1, Class A2 | ||
1.99%, due 7/15/60 | 1,298,766 | 1,299,165 |
Continental Airlines Pass-Through Trust | ||
Series 2007-1, Class A | ||
5.983%, due 4/19/22 | 299,669 | 303,568 |
Crown Castle Towers LLC (a) | ||
3.72%, due 7/15/23 | 1,550,000 | 1,594,893 |
4.241%, due 7/15/28 | 3,755,000 | 4,193,660 |
DB Master Finance LLC | ||
Series 2019-1A, Class A23 | ||
4.352%, due 5/20/49 (a) | 1,911,000 | 2,075,942 |
Domino's Pizza Master Issuer LLC | ||
Series 2015-1A, Class A2II | ||
4.474%, due 10/25/45 (a) | 3,119,438 | 3,232,682 |
FirstKey Homes Trust (a) | ||
Series 2021-SFR2, Class B | ||
1.607%, due 9/17/38 | 1,860,000 | 1,836,697 |
Series 2021-SFR1, Class B | ||
1.788%, due 8/17/38 | 3,320,000 | 3,322,928 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities | ||
FirstKey Homes Trust (a) | ||
Series 2021-SFR1, Class C | ||
1.888%, due 8/17/38 | $ 3,800,000 | $ 3,778,750 |
Hilton Grand Vacations Trust | ||
Series 2019-AA, Class A | ||
2.34%, due 7/25/33 (a) | 1,385,857 | 1,422,223 |
Navient Private Education Refi Loan Trust (a) | ||
Series 2021-EA, Class B | ||
2.03%, due 12/16/69 | 2,950,000 | 2,887,877 |
Series 2020-GA, Class B | ||
2.50%, due 9/16/69 | 1,590,000 | 1,606,506 |
Series 2020-HA, Class B | ||
2.78%, due 1/15/69 | 840,000 | 863,189 |
PFS Financing Corp. (a) | ||
Series 2020-B, Class B | ||
1.71%, due 6/15/24 | 910,000 | 916,526 |
Series 2020-A, Class B | ||
1.77%, due 6/15/25 | 2,150,000 | 2,178,664 |
Progress Residential | ||
Series 2021-SFR4, Class B | ||
1.808%, due 5/17/38 (a) | 2,085,000 | 2,079,765 |
Progress Residential Trust | ||
Series 2021-SFR2, Class B | ||
1.796%, due 4/19/38 (a) | 3,000,000 | 2,992,944 |
Sierra Timeshare Receivables Funding LLC | ||
Series 2021-1A, Class C | ||
1.79%, due 11/20/37 (a) | 701,799 | 702,808 |
Taco Bell Funding LLC | ||
Series 2021-1A, Class A23 | ||
2.542%, due 8/25/51 (a) | 2,255,000 | 2,252,896 |
U.S. Airways Pass-Through Trust | ||
Series 2012-1, Class A | ||
5.90%, due 10/1/24 | 914,230 | 961,820 |
Series 2010-1, Class A | ||
6.25%, due 4/22/23 | 584,773 | 603,453 |
United Airlines Pass-Through Trust | ||
Series 2014-2, Class B | ||
4.625%, due 9/3/22 | 778,186 | 793,713 |
Series 2020-1, Class A | ||
5.875%, due 10/15/27 | 2,068,269 | 2,314,481 |
Series 2007-1 | ||
6.636%, due 7/2/22 | 1,113,098 | 1,149,274 |
57,457,003 | ||
Total Asset-Backed Securities (Cost $89,791,885) | 91,411,765 |
Principal Amount | Value | |
Corporate Bonds 51.4% | ||
Aerospace & Defense 0.7% | ||
BAE Systems plc | ||
3.00%, due 9/15/50 (a) | $ 775,000 | $ 745,418 |
Howmet Aerospace, Inc. | ||
3.00%, due 1/15/29 | 2,150,000 | 2,168,490 |
L3Harris Technologies, Inc. | ||
4.40%, due 6/15/28 | 3,270,000 | 3,731,416 |
6,645,324 | ||
Agriculture 0.2% | ||
BAT Capital Corp. | ||
3.734%, due 9/25/40 | 1,900,000 | 1,833,084 |
Airlines 1.1% | ||
American Airlines, Inc. (a) | ||
5.50%, due 4/20/26 | 1,640,000 | 1,724,050 |
5.75%, due 4/20/29 | 1,000,000 | 1,077,500 |
Delta Air Lines, Inc. (a) | ||
4.50%, due 10/20/25 | 1,185,000 | 1,267,950 |
4.75%, due 10/20/28 | 955,000 | 1,064,825 |
7.00%, due 5/1/25 | 2,555,000 | 2,979,769 |
Mileage Plus Holdings LLC | ||
6.50%, due 6/20/27 (a) | 2,050,000 | 2,229,211 |
10,343,305 | ||
Auto Manufacturers 2.4% | ||
Ford Motor Co. | ||
8.50%, due 4/21/23 | 2,335,000 | 2,568,360 |
9.00%, due 4/22/25 | 2,400,000 | 2,886,072 |
Ford Motor Credit Co. LLC | ||
1.36% (3 Month LIBOR + 1.235%), due 2/15/23 (b) | 1,230,000 | 1,225,111 |
4.063%, due 11/1/24 | 2,485,000 | 2,612,952 |
4.25%, due 9/20/22 | 900,000 | 920,475 |
General Motors Co. | ||
6.125%, due 10/1/25 | 745,000 | 872,910 |
General Motors Financial Co., Inc. | ||
2.35%, due 1/8/31 | 908,000 | 889,347 |
2.70%, due 6/10/31 | 2,255,000 | 2,248,099 |
3.45%, due 4/10/22 | 4,000,000 | 4,041,795 |
Nissan Motor Acceptance Co. LLC | ||
1.85%, due 9/16/26 (a) | 5,030,000 | 4,977,806 |
23,242,927 | ||
Banks 12.6% | ||
Bank of America Corp. | ||
2.087%, due 6/14/29 (c) | 1,895,000 | 1,891,959 |
3.004%, due 12/20/23 (c) | 6,566,000 | 6,766,723 |
3.705%, due 4/24/28 (c) | 1,695,000 | 1,862,752 |
Principal Amount | Value | |
Corporate Bonds | ||
Banks | ||
Bank of America Corp. | ||
Series MM | ||
4.30%, due 1/28/25 (c)(d) | $ 3,121,000 | $ 3,175,617 |
Series DD | ||
6.30%, due 3/10/26 (c)(d) | 1,810,000 | 2,099,600 |
8.57%, due 11/15/24 | 455,000 | 555,981 |
Barclays plc | ||
2.852%, due 5/7/26 (c) | 3,010,000 | 3,161,531 |
4.375% (5 Year Treasury Constant Maturity Rate + 3.41%), due 3/15/28 (b)(d) | 1,805,000 | 1,803,736 |
5.20%, due 5/12/26 | 1,725,000 | 1,972,296 |
BNP Paribas SA (a) | ||
3.052%, due 1/13/31 (c) | 2,900,000 | 3,038,088 |
4.625% (5 Year Treasury Constant Maturity Rate + 3.34%), due 2/25/31 (b)(d) | 2,250,000 | 2,297,812 |
Citigroup, Inc. | ||
5.50%, due 9/13/25 | 2,710,000 | 3,127,213 |
Series M | ||
6.30%, due 5/15/24 (c)(d) | 3,975,000 | 4,291,012 |
Citizens Financial Group, Inc. | ||
2.638%, due 9/30/32 | 2,550,000 | 2,560,543 |
Series G | ||
4.00% (5 Year Treasury Constant Maturity Rate + 3.215%), due 10/6/26 (b)(d) | 1,620,000 | 1,658,475 |
Credit Suisse Group AG | ||
3.091%, due 5/14/32 (a)(c) | 2,195,000 | 2,244,444 |
Deutsche Bank AG | ||
3.035%, due 5/28/32 (c) | 640,000 | 649,349 |
4.875% (USISDA05 + 2.553%), due 12/1/32 (b) | 2,500,000 | 2,749,434 |
Freedom Mortgage Corp. | ||
7.625%, due 5/1/26 (a) | 2,920,000 | 2,974,925 |
Goldman Sachs Group, Inc. (The) | ||
1.295% (3 Month LIBOR + 1.17%), due 5/15/26 (b) | 3,075,000 | 3,152,013 |
2.908%, due 7/21/42 (c) | 555,000 | 547,204 |
3.21%, due 4/22/42 (c) | 1,990,000 | 2,057,143 |
6.75%, due 10/1/37 | 1,828,000 | 2,618,219 |
Huntington National Bank (The) | ||
3.55%, due 10/6/23 | 1,445,000 | 1,530,586 |
Intesa Sanpaolo SpA | ||
4.198%, due 6/1/32 (a) | 3,460,000 | 3,547,030 |
JPMorgan Chase & Co. (c) | ||
2.956%, due 5/13/31 | 1,245,000 | 1,295,246 |
3.54%, due 5/1/28 (e) | 4,175,000 | 4,560,086 |
Series HH | ||
4.60%, due 2/1/25 (d) | 3,232,000 | 3,304,720 |
Lloyds Banking Group plc | ||
2.907%, due 11/7/23 (c) | 1,160,000 | 1,190,148 |
4.582%, due 12/10/25 | 2,500,000 | 2,790,464 |
Morgan Stanley | ||
2.484%, due 9/16/36 (c) | 1,830,000 | 1,791,070 |
Principal Amount | Value | |
Corporate Bonds | ||
Banks | ||
Morgan Stanley | ||
Series F | ||
3.875%, due 4/29/24 | $ 6,015,000 | $ 6,489,944 |
5.00%, due 11/24/25 | 3,840,000 | 4,389,654 |
NatWest Group plc (b) | ||
3.073% (1 Year Treasury Constant Maturity Rate + 2.55%), due 5/22/28 | 2,685,000 | 2,850,922 |
4.60% (5 Year Treasury Constant Maturity Rate + 3.10%), due 6/28/31 (d) | 2,740,000 | 2,753,152 |
Popular, Inc. | ||
6.125%, due 9/14/23 | 1,953,000 | 2,097,034 |
Santander Holdings USA, Inc. | ||
3.40%, due 1/18/23 | 5,055,000 | 5,227,581 |
Societe Generale SA (a)(b)(d) | ||
4.75% (5 Year Treasury Constant Maturity Rate + 3.931%), due 5/26/26 (e) | 1,070,000 | 1,093,412 |
5.375% (5 Year Treasury Constant Maturity Rate + 4.514%), due 11/18/30 | 3,255,000 | 3,484,901 |
Standard Chartered plc (a)(b) | ||
2.678% (1 Year Treasury Constant Maturity Rate + 1.20%), due 6/29/32 | 1,150,000 | 1,141,941 |
4.75% (5 Year Treasury Constant Maturity Rate + 3.805%), due 1/14/31 (d) | 1,390,000 | 1,402,162 |
SVB Financial Group | ||
Series C | ||
4.00% (5 Year Treasury Constant Maturity Rate + 3.202%), due 5/15/26 (b)(d) | 2,070,000 | 2,121,750 |
Texas Capital Bancshares, Inc. | ||
4.00% (5 Year Treasury Constant Maturity Rate + 3.15%), due 5/6/31 (b) | 1,615,000 | 1,679,742 |
Truist Bank | ||
2.636% (5 Year Treasury Constant Maturity Rate + 1.15%), due 9/17/29 (b) | 2,700,000 | 2,822,499 |
UBS Group AG | ||
4.375% (5 Year Treasury Constant Maturity Rate + 3.313%), due 2/10/31 (a)(b)(d) | 2,715,000 | 2,742,693 |
Wells Fargo & Co. | ||
3.00%, due 10/23/26 | 1,640,000 | 1,757,701 |
Series U | ||
5.875%, due 6/15/25 (c)(d) | 595,000 | 663,133 |
Series S | ||
5.90%, due 6/15/24 (c)(d) | 3,270,000 | 3,519,337 |
123,502,977 | ||
Beverages 0.5% | ||
Anheuser-Busch InBev Worldwide, Inc. | ||
4.75%, due 1/23/29 | 1,833,000 | 2,157,949 |
Constellation Brands, Inc. | ||
4.25%, due 5/1/23 (e) | 2,985,000 | 3,153,951 |
5,311,900 | ||
Biotechnology 0.5% | ||
Biogen, Inc. | ||
3.15%, due 5/1/50 | 1,125,000 | 1,072,277 |
3.625%, due 9/15/22 | 3,560,000 | 3,671,446 |
4,743,723 |
Principal Amount | Value | |
Corporate Bonds | ||
Chemicals 0.7% | ||
Alpek SAB de CV | ||
3.25%, due 2/25/31 (a) | $ 1,250,000 | $ 1,262,513 |
Braskem Netherlands Finance BV | ||
4.50%, due 1/10/28 (a) | 1,015,000 | 1,078,336 |
International Flavors & Fragrances, Inc. | ||
2.30%, due 11/1/30 (a) | 2,035,000 | 2,017,637 |
Orbia Advance Corp. SAB de CV | ||
4.00%, due 10/4/27 (a) | 2,200,000 | 2,398,022 |
6,756,508 | ||
Commercial Services 1.4% | ||
Allied Universal Holdco LLC | ||
6.625%, due 7/15/26 (a) | 1,320,000 | 1,395,610 |
Ashtead Capital, Inc. | ||
4.25%, due 11/1/29 (a) | 2,250,000 | 2,471,134 |
California Institute of Technology | ||
3.65%, due 9/1/19 | 1,614,000 | 1,825,396 |
IHS Markit Ltd. | ||
4.125%, due 8/1/23 | 2,175,000 | 2,305,935 |
4.75%, due 2/15/25 (a) | 3,105,000 | 3,435,124 |
Sodexo, Inc. | ||
2.718%, due 4/16/31 (a) | 2,705,000 | 2,763,679 |
14,196,878 | ||
Computers 1.2% | ||
Dell International LLC | ||
4.90%, due 10/1/26 | 3,695,000 | 4,256,492 |
6.02%, due 6/15/26 | 625,000 | 743,455 |
8.10%, due 7/15/36 | 1,240,000 | 1,880,299 |
NCR Corp. (a) | ||
5.00%, due 10/1/28 | 2,230,000 | 2,278,636 |
6.125%, due 9/1/29 | 893,000 | 968,905 |
Teledyne FLIR LLC | ||
2.50%, due 8/1/30 | 1,335,000 | 1,345,293 |
11,473,080 | ||
Diversified Financial Services 3.6% | ||
AerCap Ireland Capital DAC | ||
3.30%, due 1/23/23 | 1,400,000 | 1,442,555 |
4.45%, due 12/16/21 | 2,200,000 | 2,210,392 |
Air Lease Corp. | ||
2.30%, due 2/1/25 | 3,640,000 | 3,738,829 |
2.625%, due 7/1/22 | 2,155,000 | 2,185,333 |
2.75%, due 1/15/23 | 1,040,000 | 1,067,591 |
Aircastle Ltd. | ||
5.25% (5 Year Treasury Constant Maturity Rate + 4.41%), due 6/15/26 (a)(b)(d) | 1,910,000 | 1,954,503 |
Ally Financial, Inc. | ||
5.75%, due 11/20/25 | 3,570,000 | 4,082,110 |
8.00%, due 11/1/31 | 3,450,000 | 4,976,034 |
Principal Amount | Value | |
Corporate Bonds | ||
Diversified Financial Services | ||
Avolon Holdings Funding Ltd. | ||
3.25%, due 2/15/27 (a) | $ 2,340,000 | $ 2,413,206 |
Banco BTG Pactual SA | ||
2.75%, due 1/11/26 (a) | 3,885,000 | 3,773,306 |
Discover Financial Services | ||
3.85%, due 11/21/22 | 300,000 | 311,436 |
Intercontinental Exchange, Inc. | ||
3.00%, due 9/15/60 | 2,130,000 | 2,050,804 |
OneMain Finance Corp. | ||
3.50%, due 1/15/27 | 2,715,000 | 2,716,222 |
6.125%, due 3/15/24 | 880,000 | 940,280 |
X-Caliber Funding LLC | ||
Series A | ||
5.00%, due 9/24/24 (a) | 1,870,000 | 1,869,395 |
35,731,996 | ||
Electric 1.5% | ||
AEP Transmission Co. LLC | ||
3.10%, due 12/1/26 | 3,360,000 | 3,620,625 |
Appalachian Power Co. | ||
Series X | ||
3.30%, due 6/1/27 | 1,400,000 | 1,512,236 |
Duke Energy Corp. | ||
4.875% (5 Year Treasury Constant Maturity Rate + 3.388%), due 9/16/24 (b)(d) | 2,625,000 | 2,805,469 |
FirstEnergy Transmission LLC | ||
4.35%, due 1/15/25 (a) | 1,675,000 | 1,821,419 |
Ohio Power Co. | ||
Series R | ||
2.90%, due 10/1/51 | 1,345,000 | 1,299,630 |
Pacific Gas and Electric Co. | ||
3.50%, due 8/1/50 | 1,605,000 | 1,459,643 |
Puget Energy, Inc. | ||
5.625%, due 7/15/22 | 585,000 | 600,569 |
WEC Energy Group, Inc. | ||
2.237% (3 Month LIBOR + 2.113%), due 5/15/67 (b) | 1,860,340 | 1,751,603 |
14,871,194 | ||
Environmental Control 0.3% | ||
Republic Services, Inc. | ||
4.75%, due 5/15/23 | 1,999,000 | 2,115,349 |
Stericycle, Inc. | ||
3.875%, due 1/15/29 (a) | 310,000 | 311,894 |
Waste Management, Inc. | ||
2.40%, due 5/15/23 | 505,000 | 519,692 |
2,946,935 | ||
Food 1.5% | ||
JBS USA Food Co. | ||
7.00%, due 1/15/26 (a) | 885,000 | 925,223 |
Principal Amount | Value | |
Corporate Bonds | ||
Food | ||
Kraft Heinz Foods Co. | ||
4.25%, due 3/1/31 | $ 2,364,000 | $ 2,672,552 |
5.00%, due 7/15/35 | 997,000 | 1,226,076 |
Performance Food Group, Inc. (a) | ||
4.25%, due 8/1/29 | 775,000 | 776,937 |
5.50%, due 10/15/27 | 2,955,000 | 3,093,885 |
Smithfield Foods, Inc. (a) | ||
3.00%, due 10/15/30 | 2,005,000 | 2,018,124 |
3.35%, due 2/1/22 | 1,805,000 | 1,815,262 |
Sysco Corp. | ||
3.30%, due 7/15/26 | 1,735,000 | 1,874,171 |
14,402,230 | ||
Gas 0.3% | ||
National Fuel Gas Co. | ||
2.95%, due 3/1/31 | 1,195,000 | 1,210,007 |
Southern Co. Gas Capital Corp. | ||
Series 21A | ||
3.15%, due 9/30/51 (e) | 2,010,000 | 2,013,266 |
3,223,273 | ||
Healthcare-Products 0.7% | ||
Baxter International, Inc. | ||
2.60%, due 8/15/26 | 6,085,000 | 6,426,412 |
Healthcare-Services 0.4% | ||
Health Care Service Corp. A Mutual Legal Reserve Co. | ||
3.20%, due 6/1/50 (a) | 1,845,000 | 1,897,232 |
NYU Langone Hospitals | ||
Series 2020 | ||
3.38%, due 7/1/55 | 1,805,000 | 1,882,337 |
3,779,569 | ||
Home Builders 0.7% | ||
DR Horton, Inc. | ||
4.375%, due 9/15/22 | 3,350,000 | 3,439,469 |
Lennar Corp. | ||
4.75%, due 11/29/27 | 868,000 | 1,005,752 |
Toll Brothers Finance Corp. | ||
3.80%, due 11/1/29 | 1,251,000 | 1,343,574 |
4.35%, due 2/15/28 | 764,000 | 836,580 |
6,625,375 | ||
Household Products & Wares 0.2% | ||
Kronos Acquisition Holdings, Inc. | ||
5.00%, due 12/31/26 (a) | 2,465,000 | 2,461,352 |
Principal Amount | Value | |
Corporate Bonds | ||
Housewares 0.2% | ||
Scotts Miracle-Gro Co. (The) | ||
5.25%, due 12/15/26 | $ 1,960,000 | $ 2,026,052 |
Insurance 2.2% | ||
Athene Global Funding | ||
2.50%, due 3/24/28 (a) | 2,985,000 | 3,055,145 |
Empower Finance 2020 LP | ||
3.075%, due 9/17/51 (a) | 2,270,000 | 2,317,625 |
Lincoln National Corp. | ||
2.482% (3 Month LIBOR + 2.358%), due 5/17/66 (b) | 6,418,000 | 5,859,634 |
MassMutual Global Funding II | ||
2.95%, due 1/11/25 (a) | 2,995,000 | 3,180,270 |
NMI Holdings, Inc. | ||
7.375%, due 6/1/25 (a) | 870,000 | 993,018 |
Protective Life Corp. | ||
8.45%, due 10/15/39 | 1,564,000 | 2,517,117 |
Reliance Standard Life Global Funding II | ||
2.50%, due 10/30/24 (a) | 3,100,000 | 3,231,195 |
Willis North America, Inc. | ||
3.875%, due 9/15/49 | 840,000 | 930,357 |
22,084,361 | ||
Internet 1.3% | ||
Cablevision Lightpath LLC | ||
3.875%, due 9/15/27 (a) | 2,140,000 | 2,100,089 |
Expedia Group, Inc. | ||
3.25%, due 2/15/30 | 2,315,000 | 2,394,184 |
3.60%, due 12/15/23 | 1,215,000 | 1,286,059 |
3.80%, due 2/15/28 | 2,245,000 | 2,436,561 |
5.00%, due 2/15/26 | 315,000 | 355,716 |
6.25%, due 5/1/25 (a) | 231,000 | 266,327 |
Match Group Holdings II LLC (a) | ||
3.625%, due 10/1/31 | 1,975,000 | 1,951,557 |
4.125%, due 8/1/30 | 148,000 | 154,105 |
5.00%, due 12/15/27 | 1,775,000 | 1,857,937 |
12,802,535 | ||
Iron & Steel 0.3% | ||
Vale Overseas Ltd. | ||
6.25%, due 8/10/26 | 2,780,000 | 3,285,043 |
Lodging 1.5% | ||
Hilton Domestic Operating Co., Inc. | ||
4.875%, due 1/15/30 | 2,120,000 | 2,274,251 |
5.375%, due 5/1/25 (a) | 1,135,000 | 1,186,075 |
Hyatt Hotels Corp. | ||
1.80%, due 10/1/24 | 5,450,000 | 5,461,554 |
Principal Amount | Value | |
Corporate Bonds | ||
Lodging | ||
Marriott International, Inc. | ||
3.75%, due 10/1/25 (e) | $ 1,860,000 | $ 1,999,659 |
Series X | ||
4.00%, due 4/15/28 | 880,000 | 966,676 |
MGM Resorts International | ||
6.00%, due 3/15/23 | 2,300,000 | 2,432,112 |
14,320,327 | ||
Machinery-Diversified 0.2% | ||
Clark Equipment Co. | ||
5.875%, due 6/1/25 (a) | 1,535,000 | 1,605,994 |
Media 0.7% | ||
Charter Communications Operating LLC | ||
4.464%, due 7/23/22 | 2,770,000 | 2,840,379 |
Grupo Televisa SAB | ||
5.25%, due 5/24/49 | 1,735,000 | 2,193,907 |
Sky Ltd. | ||
3.75%, due 9/16/24 (a) | 1,105,000 | 1,200,896 |
Time Warner Entertainment Co. LP | ||
8.375%, due 3/15/23 | 740,000 | 822,022 |
7,057,204 | ||
Mining 0.6% | ||
Glencore Funding LLC | ||
1.625%, due 9/1/25 (a) | 3,165,000 | 3,175,419 |
Industrias Penoles SAB de CV | ||
4.75%, due 8/6/50 (a) | 2,672,000 | 2,955,900 |
6,131,319 | ||
Miscellaneous—Manufacturing 0.3% | ||
Textron Financial Corp. | ||
1.86% (3 Month LIBOR + 1.735%), due 2/15/42 (a)(b) | 3,720,000 | 3,236,534 |
Oil & Gas 1.9% | ||
Gazprom PJSC Via Gaz Capital SA | ||
7.288%, due 8/16/37 (a) | 2,500,000 | 3,450,300 |
Marathon Petroleum Corp. | ||
4.50%, due 5/1/23 | 1,615,000 | 1,706,790 |
4.70%, due 5/1/25 | 1,755,000 | 1,959,012 |
5.125%, due 12/15/26 | 5,755,000 | 6,692,048 |
Occidental Petroleum Corp. | ||
3.50%, due 8/15/29 | 1,135,000 | 1,154,431 |
4.30%, due 8/15/39 | 585,000 | 576,974 |
Petrobras Global Finance BV | ||
5.50%, due 6/10/51 | 1,215,000 | 1,131,165 |
Principal Amount | Value | |
Corporate Bonds | ||
Oil & Gas | ||
Valero Energy Corp. | ||
4.00%, due 4/1/29 | $ 2,250,000 | $ 2,473,619 |
19,144,339 | ||
Packaging & Containers 1.0% | ||
Ball Corp. | ||
5.00%, due 3/15/22 | 4,240,000 | 4,320,984 |
Berry Global, Inc. | ||
4.875%, due 7/15/26 (a) | 166,000 | 174,308 |
Owens-Brockway Glass Container, Inc. | ||
6.625%, due 5/13/27 (a) | 2,950,000 | 3,161,589 |
WestRock RKT LLC | ||
4.00%, due 3/1/23 | 2,230,000 | 2,317,550 |
9,974,431 | ||
Pharmaceuticals 1.2% | ||
AbbVie, Inc. | ||
3.45%, due 3/15/22 | 4,165,000 | 4,202,202 |
4.25%, due 11/21/49 | 3,065,000 | 3,630,348 |
Becton Dickinson and Co. | ||
3.363%, due 6/6/24 | 1,018,000 | 1,082,408 |
Teva Pharmaceutical Finance Netherlands III BV | ||
3.15%, due 10/1/26 | 2,575,000 | 2,465,563 |
11,380,521 | ||
Pipelines 2.6% | ||
Cheniere Corpus Christi Holdings LLC | ||
2.742%, due 12/31/39 (a) | 1,640,000 | 1,624,511 |
CNX Midstream Partners LP | ||
4.75%, due 4/15/30 (a) | 2,085,000 | 2,117,265 |
Energy Transfer LP | ||
Series H | ||
6.50% (5 Year Treasury Constant Maturity Rate + 5.694%), due 11/15/26 (b)(d) | 2,030,000 | 2,113,981 |
Enterprise Products Operating LLC | ||
3.95%, due 1/31/60 | 1,760,000 | 1,904,861 |
4.20%, due 1/31/50 | 545,000 | 613,965 |
Flex Intermediate Holdco LLC | ||
3.363%, due 6/30/31 (a) | 2,310,000 | 2,343,245 |
Hess Midstream Operations LP (a) | ||
4.25%, due 2/15/30 | 2,640,000 | 2,669,700 |
5.625%, due 2/15/26 | 389,000 | 403,588 |
MPLX LP | ||
4.00%, due 3/15/28 | 2,500,000 | 2,760,713 |
4.125%, due 3/1/27 | 1,780,000 | 1,987,489 |
Plains All American Pipeline LP | ||
3.80%, due 9/15/30 | 1,330,000 | 1,419,901 |
Sabine Pass Liquefaction LLC | ||
5.75%, due 5/15/24 | 2,710,000 | 3,018,151 |
Principal Amount | Value | |
Corporate Bonds | ||
Pipelines | ||
Western Midstream Operating LP | ||
6.50%, due 2/1/50 (f) | $ 1,975,000 | $ 2,324,140 |
25,301,510 | ||
Real Estate Investment Trusts 1.3% | ||
Boston Properties LP | ||
3.20%, due 1/15/25 | 4,800,000 | 5,096,370 |
CyrusOne LP | ||
3.45%, due 11/15/29 | 2,030,000 | 2,114,245 |
Host Hotels & Resorts LP | ||
Series D | ||
3.75%, due 10/15/23 | 329,000 | 344,401 |
Iron Mountain, Inc. | ||
4.875%, due 9/15/29 (a) | 2,599,000 | 2,722,453 |
Office Properties Income Trust | ||
2.65%, due 6/15/26 | 2,310,000 | 2,330,242 |
12,607,711 | ||
Retail 2.4% | ||
7-Eleven, Inc. (a) | ||
2.50%, due 2/10/41 | 395,000 | 362,879 |
2.80%, due 2/10/51 | 1,240,000 | 1,146,058 |
AutoNation, Inc. | ||
4.75%, due 6/1/30 | 2,880,000 | 3,357,821 |
Darden Restaurants, Inc. | ||
3.85%, due 5/1/27 | 2,025,000 | 2,246,309 |
Dollar General Corp. | ||
3.25%, due 4/15/23 | 2,794,000 | 2,896,926 |
Macy's Retail Holdings LLC | ||
5.875%, due 4/1/29 (a)(e) | 1,750,000 | 1,903,956 |
Nordstrom, Inc. | ||
4.00%, due 3/15/27 | 840,000 | 867,949 |
4.25%, due 8/1/31 (e) | 3,200,000 | 3,240,829 |
QVC, Inc. | ||
4.375%, due 9/1/28 | 2,430,000 | 2,512,012 |
Starbucks Corp. | ||
4.45%, due 8/15/49 | 2,065,000 | 2,524,878 |
Victoria's Secret & Co. | ||
4.625%, due 7/15/29 (a) | 2,445,000 | 2,492,005 |
23,551,622 | ||
Semiconductors 0.6% | ||
Broadcom, Inc. (a) | ||
3.469%, due 4/15/34 | 2,470,000 | 2,543,450 |
3.75%, due 2/15/51 | 910,000 | 908,089 |
Principal Amount | Value | |
Corporate Bonds | ||
Semiconductors | ||
NXP BV (a) | ||
3.40%, due 5/1/30 | $ 1,380,000 | $ 1,497,929 |
4.625%, due 6/1/23 | 1,065,000 | 1,132,476 |
6,081,944 | ||
Software 0.1% | ||
Oracle Corp. | ||
3.65%, due 3/25/41 | 685,000 | 708,454 |
Telecommunications 2.5% | ||
Altice France SA | ||
5.125%, due 7/15/29 (a) | 2,410,000 | 2,362,945 |
AT&T, Inc. | ||
3.65%, due 6/1/51 | 1,860,000 | 1,895,316 |
CommScope Technologies LLC | ||
5.00%, due 3/15/27 (a) | 1,629,000 | 1,549,440 |
CommScope, Inc. | ||
7.125%, due 7/1/28 (a) | 645,000 | 658,203 |
Sprint Spectrum Co. LLC | ||
4.738%, due 3/20/25 (a) | 4,453,125 | 4,755,937 |
T-Mobile US, Inc. | ||
2.625%, due 2/15/29 | 2,630,000 | 2,657,770 |
3.50%, due 4/15/31 (a) | 1,295,000 | 1,365,752 |
Verizon Communications, Inc. | ||
1.225% (3 Month LIBOR + 1.10%), due 5/15/25 (b) | 2,455,000 | 2,522,024 |
3.40%, due 3/22/41 | 900,000 | 939,908 |
3.55%, due 3/22/51 | 1,000,000 | 1,054,597 |
4.016%, due 12/3/29 | 1,825,000 | 2,067,926 |
Vodafone Group plc | ||
4.25%, due 9/17/50 | 2,020,000 | 2,327,862 |
24,157,680 | ||
Total Corporate Bonds (Cost $478,297,538) | 503,975,623 | |
Foreign Government Bonds 3.9% | ||
Brazil 1.1% | ||
Brazil Government Bond | ||
3.75%, due 9/12/31 | 2,565,000 | 2,432,902 |
Federative Republic of Brazil | ||
4.625%, due 1/13/28 | 7,789,000 | 8,187,797 |
10,620,699 | ||
Chile 0.9% | ||
Chile Government Bond | ||
2.55%, due 7/27/33 | 2,785,000 | 2,714,929 |
Corp. Nacional del Cobre de Chile (a) | ||
3.00%, due 9/30/29 | 2,055,000 | 2,100,001 |
Principal Amount | Value | |
Foreign Government Bonds | ||
Chile | ||
Corp. Nacional del Cobre de Chile (a) | ||
3.75%, due 1/15/31 | $ 1,635,000 | $ 1,758,846 |
Empresa Nacional del Petroleo | ||
3.45%, due 9/16/31 (a) | 2,480,000 | 2,435,360 |
9,009,136 | ||
Colombia 0.2% | ||
Colombia Government Bond | ||
3.25%, due 4/22/32 | 2,065,000 | 1,925,654 |
Mexico 1.7% | ||
Comision Federal de Electricidad (a) | ||
3.875%, due 7/26/33 | 770,000 | 756,525 |
4.677%, due 2/9/51 | 2,765,000 | 2,640,575 |
Mexico Government Bond | ||
2.659%, due 5/24/31 | 3,402,000 | 3,282,011 |
3.75%, due 4/19/71 | 2,230,000 | 1,926,698 |
Petroleos Mexicanos | ||
6.50%, due 3/13/27 | 3,570,000 | 3,770,313 |
6.75%, due 9/21/47 | 4,990,000 | 4,352,103 |
16,728,225 | ||
Total Foreign Government Bonds (Cost $39,816,550) | 38,283,714 | |
Loan Assignments 3.3% | ||
Containers, Packaging & Glass 0.5% | ||
Mauser Packaging Solutions Holding Co. | ||
Initial Term Loan | ||
3.334% (1 Month LIBOR + 3.25%), due 4/3/24 (b) | 5,005,448 | 4,898,301 |
Diversified/Conglomerate Service 0.7% | ||
Change Healthcare Holdings, Inc. | ||
Closing Date Term Loan | ||
3.50% (1 Month LIBOR + 2.50%, 3 Month LIBOR + 2.50%), due 3/1/24 (b) | 4,072,227 | 4,066,627 |
TruGreen LP (b) | ||
First Lien Second Refinancing Term Loan | ||
4.75% (1 Month LIBOR + 4.00%), due 11/2/27 | 1,483,787 | 1,483,046 |
Second Lien Initial Term Loan | ||
9.25% (3 Month LIBOR + 8.50%), due 11/2/28 | 645,000 | 653,063 |
6,202,736 | ||
Ecological 0.2% | ||
GFL Environmental, Inc. | ||
2020 Refinancing Term Loan | ||
3.50% (3 Month LIBOR + 3.00%), due 5/30/25 (b) | 1,965,484 | 1,968,862 |
Principal Amount | Value | |
Loan Assignments | ||
Finance 1.1% | ||
Alliant Holdings Intermediate LLC | ||
2018 Initial Term Loan | ||
3.334% (1 Month LIBOR + 3.25%), due 5/9/25 (b) | $ 3,958,177 | $ 3,928,040 |
Iqvia, Inc. | ||
Dollar Term Loan B3 | ||
1.882% (3 Month LIBOR + 1.75%), due 6/11/25 (b) | 3,487,247 | 3,477,284 |
Match Group, Inc. | ||
2020 Refinancing Term Loan | ||
1.874% (3 Month LIBOR + 1.75%), due 2/13/27 (b) | 1,859,000 | 1,848,156 |
ON Semiconductor Corp. | ||
2019 New Replacement Term Loan B4 | ||
2.084% (1 Month LIBOR + 2.00%), due 9/19/26 (b) | 1,848,425 | 1,846,114 |
11,099,594 | ||
Telecommunications 0.8% | ||
Level 3 Financing, Inc. | ||
Tranche 2027 Term Loan B | ||
1.834% (1 Month LIBOR + 1.75%), due 3/1/27 (b) | 3,963,602 | 3,913,347 |
SBA Senior Finance II LLC | ||
Initial Term Loan | ||
1.84% (1 Month LIBOR + 1.75%), due 4/11/25 (b) | 4,138,035 | 4,096,138 |
8,009,485 | ||
Total Loan Assignments (Cost $32,316,957) | 32,178,978 | |
Mortgage-Backed Securities 20.8% | ||
Agency (Collateralized Mortgage Obligations) 3.1% | ||
FHLMC | ||
REMIC, Series 5070, Class IG | ||
1.50%, due 1/25/44 | 9,697,099 | 564,239 |
REMIC, Series 5048, Class IC | ||
2.00%, due 12/25/50 | 10,272,997 | 981,532 |
REMIC, Series 5051, Class KI | ||
2.50%, due 12/25/50 | 6,420,174 | 1,053,249 |
REMIC, Series 5036, Class IO | ||
3.50%, due 11/25/50 | 5,685,525 | 910,296 |
REMIC, Series 4924, Class NS | ||
5.964% (1 Month LIBOR + 6.05%), due 10/25/49 (b) | 3,630,982 | 520,055 |
REMIC, Series 4957, Class SB | ||
5.964% (1 Month LIBOR + 6.05%), due 11/25/49 (b) | 2,417,186 | 469,525 |
FHLMC, STRIPS | ||
REMIC, Series 358, Class PO | ||
(zero coupon), due 10/15/47 | 5,298,868 | 5,007,667 |
FNMA | ||
REMIC, Series 2013-110, Class CO | ||
(zero coupon), due 12/25/39 | 2,257,678 | 2,128,272 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Agency (Collateralized Mortgage Obligations) | ||
FNMA | ||
REMIC, Series 2013-105, Class QO | ||
(zero coupon), due 5/25/40 | $ 902,724 | $ 843,577 |
REMIC, Series 2013-105, Class KO | ||
(zero coupon), due 10/25/43 | 666,861 | 634,634 |
REMIC, Series 2013-110, Class DO | ||
(zero coupon), due 11/25/43 | 981,417 | 912,588 |
REMIC, Series 2020-78, Class TI | ||
2.00%, due 11/25/50 | 6,085,095 | 698,683 |
REMIC, Series 2020-91, Class MI | ||
2.00%, due 12/25/50 | 7,357,220 | 803,017 |
REMIC, Series 2021-2, Class AI | ||
2.00%, due 2/25/51 | 15,042,926 | 1,665,154 |
REMIC, Series 2020-91, Class AI | ||
2.50%, due 12/25/50 | 6,112,256 | 954,173 |
REMIC, Series 2021-7, Class EI | ||
2.50%, due 2/25/51 | 4,456,820 | 562,127 |
REMIC, Series 2021-13, Class BI | ||
3.00%, due 2/25/50 | 3,831,613 | 314,614 |
REMIC, Series 2020-10, Class DA | ||
3.50%, due 3/25/60 | 2,100,523 | 2,267,224 |
REMIC, Series 2019-32, Class SB | ||
5.964% (1 Month LIBOR + 6.05%), due 6/25/49 (b) | 4,339,435 | 725,459 |
FREMF Mortgage Trust | ||
REMIC, Series 2017-K63, Class C | ||
4.004%, due 2/25/50 (a)(g) | 1,925,000 | 2,047,490 |
GNMA | ||
REMIC, Series 2021-78, Class LA | ||
1.00%, due 5/20/51 | 1,246,424 | 1,242,832 |
REMIC, Series 2021-91, Class MF | ||
1.00%, due 5/20/51 | 1,089,418 | 1,083,602 |
REMIC, Series 2021-15, Class AI | ||
2.00%, due 1/20/51 (h) | 6,095,228 | 687,374 |
REMIC, Series 2021-57, Class AI | ||
2.00%, due 2/20/51 | 7,608,107 | 899,247 |
REMIC, Series 2021-57, Class IB | ||
2.50%, due 2/20/51 | 4,913,793 | 650,650 |
REMIC, Series 2021-25, Class LI | ||
2.50%, due 2/20/51 (h) | 4,424,635 | 519,474 |
REMIC, Series 2021-44, Class IQ | ||
3.00%, due 3/20/51 | 7,353,984 | 971,869 |
REMIC, Series 2021-158, Class NI | ||
3.00%, due 9/20/51 | 5,211,358 | 673,589 |
30,792,212 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) 9.4% | ||
Bayview Commercial Asset Trust | ||
Series 2005-3A, Class A1 | ||
0.566% (1 Month LIBOR + 0.48%), due 11/25/35 (a)(b) | $ 1,113,841 | $ 1,064,914 |
BX Commercial Mortgage Trust (a) | ||
Series 2021-VOLT, Class D | ||
1.75% (1 Month LIBOR + 1.65%), due 9/15/36 (b) | 2,150,000 | 2,151,347 |
Series 2021-VOLT, Class E | ||
2.10% (1 Month LIBOR + 2.00%), due 9/15/36 (b) | 1,800,000 | 1,802,254 |
Series 2020-VIV2, Class C | ||
3.66%, due 3/9/44 (g) | 2,450,000 | 2,580,649 |
Series 2020-VIV3, Class B | ||
3.662%, due 3/9/44 (g) | 1,680,000 | 1,802,116 |
Series 2020-VIVA, Class D | ||
3.667%, due 3/11/44 (g) | 950,000 | 972,642 |
BX Trust (a) | ||
Series 2021-MFM1, Class C | ||
1.284% (1 Month LIBOR + 1.20%), due 1/15/34 (b) | 2,325,000 | 2,327,183 |
Series 2021-MFM1, Class D | ||
1.584% (1 Month LIBOR + 1.50%), due 1/15/34 (b) | 1,050,000 | 1,051,316 |
Series 2021-LBA, Class DV | ||
1.684% (1 Month LIBOR + 1.60%), due 2/15/36 (b) | 2,000,000 | 2,000,573 |
Series 2019-OC11, Class A | ||
3.202%, due 12/9/41 | 1,395,000 | 1,491,169 |
Series 2019-OC11, Class B | ||
3.605%, due 12/9/41 | 340,000 | 368,907 |
Series 2019-OC11, Class C | ||
3.856%, due 12/9/41 | 895,000 | 960,396 |
Series 2019-OC11, Class E | ||
4.075%, due 12/9/41 (g) | 4,555,000 | 4,702,182 |
BXHPP Trust (a)(b) | ||
Series 2021-FILM, Class B | ||
0.984% (1 Month LIBOR + 0.90%), due 8/15/36 | 2,210,000 | 2,211,988 |
Series 2021-FILM, Class C | ||
1.184% (1 Month LIBOR + 1.10%), due 8/15/36 | 1,500,000 | 1,501,350 |
COMM Mortgage Trust | ||
Series 2012-CR4, Class AM | ||
3.251%, due 10/15/45 | 1,855,000 | 1,867,697 |
Series 2013-CR9, Class B | ||
4.412%, due 7/10/45 (a)(g) | 1,500,000 | 1,511,097 |
CSAIL Commercial Mortgage Trust | ||
Series 2015-C3, Class A4 | ||
3.718%, due 8/15/48 | 2,715,503 | 2,941,748 |
CSMC WEST Trust | ||
Series 2020-WEST, Class A | ||
3.04%, due 2/15/35 (a) | 3,107,500 | 3,237,796 |
DROP Mortgage Trust | ||
Series 2021-FILE, Class A | ||
1.23% (1 Month LIBOR + 1.15%), due 4/15/26 (a)(b) | 1,535,000 | 1,539,759 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) | ||
Extended Stay America Trust | ||
Series 2021-ESH, Class D | ||
2.334% (1 Month LIBOR + 2.25%), due 7/15/38 (a)(b) | $ 2,387,579 | $ 2,417,174 |
FREMF Mortgage Trust (a)(g) | ||
REMIC, Series 2018-K154, Class B | ||
4.157%, due 11/25/32 | 2,450,000 | 2,616,281 |
REMIC, Series 2018-K155, Class B | ||
4.305%, due 4/25/33 | 2,453,000 | 2,656,936 |
REMIC, Series 2018-K81, Class C | ||
4.311%, due 9/25/51 | 2,020,000 | 2,179,021 |
REMIC, Series 2019-K87, Class C | ||
4.47%, due 1/25/51 | 1,385,000 | 1,518,343 |
REMIC, Series 2019-K88, Class C | ||
4.526%, due 2/25/52 | 2,140,000 | 2,371,822 |
GS Mortgage Securities Corp. Trust | ||
Series 2019-BOCA, Class A | ||
1.284% (1 Month LIBOR + 1.20%), due 6/15/38 (a)(b) | 4,480,000 | 4,484,137 |
GS Mortgage Securities Trust | ||
Series 2017-GS7, Class A4 | ||
3.43%, due 8/10/50 | 2,990,000 | 3,264,258 |
Hudson Yards Mortgage Trust | ||
Series 2019-30HY, Class A | ||
3.228%, due 7/10/39 (a) | 1,580,000 | 1,707,807 |
J.P. Morgan Chase Commercial Mortgage Securities Corp. | ||
Series 2018-AON, Class B | ||
4.379%, due 7/5/31 (a)(g) | 1,960,000 | 2,061,803 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2014-C26, Class A3 | ||
3.231%, due 1/15/48 | 2,044,974 | 2,155,525 |
Manhattan West Mortgage Trust | ||
Series 2020-1MW, Class A | ||
2.13%, due 9/10/39 (a) | 1,725,000 | 1,758,449 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2015-C23, Class A3 | ||
3.451%, due 7/15/50 | 1,391,013 | 1,490,271 |
One Bryant Park Trust | ||
Series 2019-OBP, Class A | ||
2.516%, due 9/15/54 (a) | 4,735,000 | 4,873,208 |
SLG Office Trust | ||
Series 2021-OVA, Class D | ||
2.851%, due 7/15/41 (a) | 1,600,000 | 1,597,656 |
UBS-Barclays Commercial Mortgage Trust | ||
Series 2013-C6, Class B | ||
3.875%, due 4/10/46 (a)(i) | 1,485,000 | 1,497,922 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2019-C53, Class A3 | ||
2.787%, due 10/15/52 | 1,005,000 | 1,045,979 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligations) | ||
Wells Fargo Commercial Mortgage Trust | ||
Series 2019-C53, Class A4 | ||
3.04%, due 10/15/52 | $ 3,566,000 | $ 3,819,779 |
Series 2018-1745, Class A | ||
3.874%, due 6/15/36 (a)(g) | 3,010,000 | 3,310,346 |
Series 2018-AUS, Class A | ||
4.194%, due 8/17/36 (a)(g) | 4,325,000 | 4,840,745 |
WFRBS Commercial Mortgage Trust | ||
Series 2012-C7, Class AS | ||
4.09%, due 6/15/45 (i) | 2,290,000 | 2,310,555 |
92,065,100 | ||
Whole Loan (Collateralized Mortgage Obligations) 8.3% | ||
Alternative Loan Trust | ||
Series 2005-31, Class 1A1 | ||
0.646% (1 Month LIBOR + 0.56%), due 8/25/35 (b) | 3,032,508 | 2,901,080 |
Connecticut Avenue Securities Trust | ||
Series 2020-R02, Class 2M2 | ||
2.086% (1 Month LIBOR + 2.00%), due 1/25/40 (a)(b) | 3,289,233 | 3,304,124 |
FHLMC STACR REMIC Trust (a)(b) | ||
Series 2020-DNA6, Class M2 | ||
2.05% (SOFR 30A + 2.00%), due 12/25/50 | 4,235,000 | 4,268,902 |
Series 2021-DNA5, Class B1 | ||
3.10% (SOFR 30A + 3.05%), due 1/25/34 | 2,580,000 | 2,634,962 |
FHLMC STACR Trust (a)(b) | ||
Series 2018-DNA2, Class M2 | ||
2.236% (1 Month LIBOR + 2.15%), due 12/25/30 | 2,500,000 | 2,524,634 |
Series 2018-HQA2, Class M2 | ||
2.386% (1 Month LIBOR + 2.30%), due 10/25/48 | 1,355,000 | 1,373,225 |
Series 2019-DNA3, Class B1 | ||
3.336% (1 Month LIBOR + 3.25%), due 7/25/49 | 2,240,000 | 2,270,044 |
Series 2018-DNA2, Class B1 | ||
3.786% (1 Month LIBOR + 3.70%), due 12/25/30 | 4,225,000 | 4,385,350 |
Series 2019-DNA2, Class B1 | ||
4.436% (1 Month LIBOR + 4.35%), due 3/25/49 | 1,900,000 | 1,975,184 |
FHLMC Structured Agency Credit Risk Debt Notes (b) | ||
Series 2017-DNA3, Class M2 | ||
2.586% (1 Month LIBOR + 2.50%), due 3/25/30 | 1,240,000 | 1,271,728 |
Series 2016-DNA4, Class M3 | ||
3.886% (1 Month LIBOR + 3.80%), due 3/25/29 | 1,995,309 | 2,064,378 |
FNMA (b) | ||
Series 2017-C05, Class 1M2 | ||
2.286% (1 Month LIBOR + 2.20%), due 1/25/30 | 1,308,855 | 1,337,517 |
Series 2018-C02, Class 2M2 | ||
2.286% (1 Month LIBOR + 2.20%), due 8/25/30 | 2,414,855 | 2,445,585 |
Series 2017-C07, Class 2M2 | ||
2.586% (1 Month LIBOR + 2.50%), due 5/25/30 | 1,869,222 | 1,897,700 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Whole Loan (Collateralized Mortgage Obligations) | ||
FNMA (b) | ||
Series 2018-C04, Class 2M2 | ||
2.636% (1 Month LIBOR + 2.55%), due 12/25/30 | $ 3,043,094 | $ 3,096,685 |
Series 2017-C03, Class 1M2 | ||
3.086% (1 Month LIBOR + 3.00%), due 10/25/29 | 1,274,899 | 1,310,261 |
Series 2017-C02, Class 2M2 | ||
3.736% (1 Month LIBOR + 3.65%), due 9/25/29 | 2,383,126 | 2,464,774 |
Series 2016-C06, Class 1M2 | ||
4.336% (1 Month LIBOR + 4.25%), due 4/25/29 | 2,932,355 | 3,038,166 |
Series 2016-C07, Class 2M2 | ||
4.436% (1 Month LIBOR + 4.35%), due 5/25/29 | 3,139,001 | 3,270,856 |
Galton Funding Mortgage Trust | ||
Series 2018-2, Class A51 | ||
4.50%, due 10/25/58 (a)(i) | 1,536,602 | 1,565,503 |
GreenPoint Mortgage Funding Trust | ||
Series 2007-AR3, Class A1 | ||
0.526% (1 Month LIBOR + 0.44%), due 6/25/37 (b) | 607,472 | 610,974 |
GS Mortgage-Backed Securities Corp. Trust | ||
Series 2021-PJ7, Class A2 | ||
2.50%, due 1/25/52 (a)(i) | 3,443,032 | 3,482,121 |
Mello Warehouse Securitization Trust | ||
Series 2021-1, Class B | ||
0.986% (1 Month LIBOR + 0.90%), due 2/25/55 (a)(b) | 1,600,000 | 1,597,119 |
New Residential Mortgage Loan Trust (a) | ||
Series 2019-5A, Class B7 | ||
4.454%, due 8/25/59 (g) | 3,580,971 | 2,660,419 |
Series 2019-4A, Class B6 | ||
4.753%, due 12/25/58 (i) | 3,061,040 | 2,336,540 |
Series 2019-2A, Class B6 | ||
4.955%, due 12/25/57 (i) | 1,271,170 | 1,002,068 |
NewRez Warehouse Securitization Trust | ||
Series 2021-1, Class B | ||
0.986% (1 Month LIBOR + 0.90%), due 5/25/55 (a)(b) | 4,615,000 | 4,619,899 |
OBX Trust | ||
Series 2021-J1, Class A1 | ||
2.50%, due 5/25/51 (a)(i) | 2,507,226 | 2,537,948 |
Sequoia Mortgage Trust (a)(i) | ||
Series 2017-1, Class A4 | ||
3.50%, due 2/25/47 | 14,704 | 14,694 |
Series 2018-7, Class B3 | ||
4.236%, due 9/25/48 | 1,595,018 | 1,625,223 |
STACR Trust (a)(b) | ||
Series 2018-DNA3, Class M2 | ||
2.186% (1 Month LIBOR + 2.10%), due 9/25/48 | 2,025,000 | 2,055,404 |
Series 2018-HRP2, Class M3 | ||
2.486% (1 Month LIBOR + 2.40%), due 2/25/47 | 6,045,000 | 6,155,185 |
Series 2018-HRP1, Class B1 | ||
3.836% (1 Month LIBOR + 3.75%), due 4/25/43 | 2,275,000 | 2,342,064 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Whole Loan (Collateralized Mortgage Obligations) | ||
WaMu Mortgage Pass-Through Certificates Trust | ||
Series 2006-AR9, Class 2A | ||
1.763% (11th District Cost of Funds Index + 1.50%), due 8/25/46 (b) | $ 908,889 | $ 897,502 |
81,337,818 | ||
Total Mortgage-Backed Securities (Cost $200,530,522) | 204,195,130 | |
Municipal Bonds 0.5% | ||
California 0.5% | ||
Golden State Tobacco Securitization Corp. Revenue Bonds | ||
Insured: State Appropriations | ||
3.293%, due 6/1/42 | 1,440,000 | 1,459,208 |
Regents of the University of California Medical Center, Pooled Revenue Bonds | ||
Series N | ||
3.006%, due 5/15/50 | 3,170,000 | 3,247,888 |
4,707,096 | ||
Total Municipal Bonds (Cost $4,610,000) | 4,707,096 | |
U.S. Government & Federal Agencies 3.8% | ||
United States Treasury Bond 0.0% ‡ | ||
U.S. Treasury Bonds | ||
2.00%, due 8/15/51 | 210,000 | 206,292 |
United States Treasury Inflation - Indexed Notes 3.8% | ||
U.S. Treasury Inflation Linked Notes (j) | ||
0.125%, due 1/15/30 | 5,363,861 | 5,892,494 |
0.75%, due 7/15/28 | 10,424,550 | 11,935,431 |
0.875%, due 1/15/29 | 16,498,959 | 19,062,099 |
36,890,024 | ||
Total U.S. Government & Federal Agencies (Cost $33,762,951) | 37,096,316 | |
Total Long-Term Bonds (Cost $879,126,403) | 911,848,622 | |
Shares | ||
Short-Term Investments 7.4% | ||
Affiliated Investment Company 6.9% | ||
MainStay U.S. Government Liquidity Fund, 0.01% (k) | 67,662,400 | 67,662,400 |
Shares | Value | ||
Short-Term Investments | |||
Unaffiliated Investment Company 0.5% | |||
Wells Fargo Government Money Market Fund, 0.025% (k)(l) | 4,458,451 | $ 4,458,451 | |
Total Short-Term Investments (Cost $72,120,851) | 72,120,851 | ||
Total Investments (Cost $951,247,254) | 100.4% | 983,969,473 | |
Other Assets, Less Liabilities | (0.4) | (3,725,445) | |
Net Assets | 100.0% | $ 980,244,028 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
(b) | Floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(c) | Fixed to floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(d) | Security is perpetual and, thus, does not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(e) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $7,422,537; the total market value of collateral held by the Portfolio was $7,695,757. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $3,237,306. The Portfolio received cash collateral with a value of $4,458,451. |
(f) | Step coupon—Rate shown was the rate in effect as of September 30, 2021. |
(g) | Collateral strip rate—A bond whose interest was based on the weighted net interest rate of the collateral. The coupon rate adjusts periodically based on a predetermined schedule. Rate shown was the rate in effect as of September 30, 2021. |
(h) | Collateralized Mortgage Obligation Interest Only Strip—Pays a fixed or variable rate of interest based on mortgage loans or mortgage pass-through securities. The principal amount of the underlying pool represents the notional amount on which the current interest was calculated. The value of these stripped securities may be particularly sensitive to changes in prevailing interest rates and are typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities. |
(i) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. Rate shown was the rate in effect as of September 30, 2021. |
(j) | Treasury Inflation Protected Security—Pays a fixed rate of interest on a principal amount that is continuously adjusted for inflation based on the Consumer Price Index-Urban Consumers. |
(k) | Current yield as of September 30, 2021. |
(l) | Represents a security purchased with cash collateral received for securities on loan. |
Futures Contracts
As of September 30, 2021, the Portfolio held the following futures contracts1:
Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 |
Long Contracts | |||||
U.S. Treasury Long Bonds | 37 | December 2021 | $ 6,024,495 | $ 5,891,094 | $ (133,401) |
Short Contracts | |||||
U.S. Treasury 5 Year Notes | (665) | December 2021 | (82,033,756) | (81,623,555) | 410,201 |
U.S. Treasury 10 Year Notes | (1,346) | December 2021 | (178,856,404) | (177,146,219) | 1,710,185 |
U.S. Treasury 10 Year Ultra Bonds | (296) | December 2021 | (43,748,704) | (42,994,000) | 754,704 |
Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 |
U.S. Treasury Ultra Bonds | (52) | December 2021 | $ (10,246,324) | $ (9,935,250) | $ 311,074 |
Total Short Contracts | 3,186,164 | ||||
Net Unrealized Appreciation | $ 3,052,763 |
1. | As of September 30, 2021, cash in the amount of $3,594,432 was on deposit with a broker or futures commission merchant for futures transactions. |
2. | Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2021. |
Swap Contracts
As of September 30, 2021, the Portfolio held the following centrally cleared interest swap agreements1:
Notional Amount | Currency | Expiration Date | Payments made by Portfolio | Payments Received by Portfolio | Payment Frequency Paid/Received | Upfront Premiums Paid/ (Received) | Value | Unrealized Appreciation/ (Depreciation) | ||
$ 50,000,000 | USD | 3/16/23 | Fixed 2.793% | 3 month USD LIBOR | Semi-Annually/Quarterly | $ — | $ (1,857,576) | $ (1,857,576) | ||
50,000,000 | USD | 3/29/23 | Fixed 2.762% | 3 month USD LIBOR | Semi-Annually/Quarterly | — | (1,873,477) | (1,873,477) | ||
$ — | $ (3,731,053) | $ (3,731,053) |
1. | As of September 30, 2021, cash in the amount of $719,813 was on deposit with a broker for centrally cleared swap agreements. |
Abbreviation(s): |
FHLMC—Federal Home Loan Mortgage Corp. |
FNMA—Federal National Mortgage Association |
FREMF—Freddie Mac Multifamily |
GNMA—Government National Mortgage Association |
LIBOR—London Interbank Offered Rate |
REMIC—Real Estate Mortgage Investment Conduit |
SOFR—Secured Overnight Financing Rate |
USD—United States Dollar |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets and liabilities:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Long-Term Bonds | |||||||
Asset-Backed Securities | $ — | $ 91,411,765 | $ — | $ 91,411,765 | |||
Corporate Bonds | — | 503,975,623 | — | 503,975,623 | |||
Foreign Government Bonds | — | 38,283,714 | — | 38,283,714 | |||
Loan Assignments | — | 32,178,978 | — | 32,178,978 | |||
Mortgage-Backed Securities | — | 204,195,130 | — | 204,195,130 | |||
Municipal Bonds | — | 4,707,096 | — | 4,707,096 | |||
U.S. Government & Federal Agencies | — | 37,096,316 | — | 37,096,316 | |||
Total Long-Term Bonds | — | 911,848,622 | — | 911,848,622 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 67,662,400 | — | — | 67,662,400 | |||
Unaffiliated Investment Company | 4,458,451 | — | — | 4,458,451 | |||
Total Short-Term Investments | 72,120,851 | — | — | 72,120,851 | |||
Total Investments in Securities | 72,120,851 | 911,848,622 | — | 983,969,473 | |||
Other Financial Instruments | |||||||
Futures Contracts (b) | 3,186,164 | — | — | 3,186,164 | |||
Total Other Financial Instruments | 3,186,164 | — | — | 3,186,164 | |||
Total Investments in Securities and Other Financial Instruments | $ 75,307,015 | $ 911,848,622 | $ — | $ 987,155,637 | |||
Liability Valuation Inputs | |||||||
Other Financial Instruments | |||||||
Futures Contracts (b) | $ (133,401) | $ — | $ — | $ (133,401) | |||
Interest Rate Swaps (b) | — | (3,731,053) | — | (3,731,053) | |||
Total Other Financial Instruments | (133,401) | (3,731,053) | — | (3,864,454) | |||
Total Investments in Securities and Other Financial Instruments | $ (133,401) | $ (3,731,053) | $ — | $ (3,864,454) |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
(b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP Natural Resources Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Common Stocks 96.7% | ||
Canada 6.3% | ||
Kinross Gold Corp. (Metals & Mining) | 692,352 | $ 3,711,566 |
Li-Cycle Holdings Corp. (Commercial Services & Supplies) (a)(b) | 93,395 | 1,092,722 |
Nutrien Ltd. (Chemicals) | 168,266 | 10,908,685 |
Tourmaline Oil Corp. (Oil, Gas & Consumable Fuels) | 44,435 | 1,552,383 |
17,265,356 | ||
Denmark 0.3% | ||
Orsted A/S (Electric Utilities) (c) | 6,565 | 866,190 |
Italy 0.5% | ||
Enel SpA (Electric Utilities) | 193,568 | 1,486,126 |
Norway 4.7% | ||
Equinor ASA (Oil, Gas & Consumable Fuels) | 390,805 | 9,959,032 |
Norsk Hydro ASA (Metals & Mining) | 386,960 | 2,887,614 |
12,846,646 | ||
South Africa 3.4% | ||
Anglo American plc (Metals & Mining) | 194,052 | 6,693,797 |
Sibanye Stillwater Ltd. (Metals & Mining) | 885,919 | 2,729,941 |
9,423,738 | ||
United States 79.9% | ||
Alcoa Corp. (Metals & Mining) (a) | 234,685 | 11,485,484 |
Bunge Ltd. (Food Products) | 122,241 | 9,940,638 |
CF Industries Holdings, Inc. (Chemicals) | 170,000 | 9,489,400 |
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 86,676 | 5,338,375 |
Clean Harbors, Inc. (Commercial Services & Supplies) (a) | 24,224 | 2,516,147 |
Coeur Mining, Inc. (Metals & Mining) (a) | 549,125 | 3,388,101 |
Comstock Resources, Inc. (Oil, Gas & Consumable Fuels) (a) | 422,912 | 4,377,139 |
Corteva, Inc. (Chemicals) | 127,230 | 5,353,838 |
Darling Ingredients, Inc. (Food Products) (a) | 56,760 | 4,081,044 |
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 393,007 | 13,955,679 |
Diamondback Energy, Inc. (Oil, Gas & Consumable Fuels) | 52,588 | 4,978,506 |
EQT Corp. (Oil, Gas & Consumable Fuels) (a) | 565,280 | 11,565,629 |
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 222,500 | 13,087,450 |
Fluor Corp. (Construction & Engineering) (a) | 287,813 | 4,596,374 |
Freeport-McMoRan, Inc. (Metals & Mining) | 288,736 | 9,392,582 |
Hess Corp. (Oil, Gas & Consumable Fuels) | 157,746 | 12,321,540 |
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 185,220 | 11,448,448 |
Mosaic Co. (The) (Chemicals) | 370,127 | 13,220,936 |
MP Materials Corp. (Metals & Mining) (a)(b) | 84,075 | 2,709,737 |
NextEra Energy Partners LP (Independent Power and Renewable Electricity Producers) (b) | 40,099 | 3,021,861 |
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 430,022 | 12,720,051 |
Phillips 66 (Oil, Gas & Consumable Fuels) | 113,961 | 7,980,689 |
Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 71,159 | 11,848,685 |
Range Resources Corp. (Oil, Gas & Consumable Fuels) (a) | 230,471 | 5,215,559 |
Schlumberger NV (Energy Equipment & Services) | 179,689 | 5,325,982 |
Shares | Value | ||
Common Stocks | |||
United States | |||
Stem, Inc. (Electrical Equipment) (a)(b) | 53,947 | $ 1,288,794 | |
Sunnova Energy International, Inc. (Independent Power and Renewable Electricity Producers) (a) | 99,167 | 3,266,561 | |
Tronox Holdings plc, Class A (Chemicals) | 251,279 | 6,194,027 | |
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 145,210 | 10,247,470 | |
220,356,726 | |||
Zambia 1.6% | |||
First Quantum Minerals Ltd. (Metals & Mining) | 242,487 | 4,489,436 | |
Total Common Stocks (Cost $214,743,181) | 266,734,218 | ||
Short-Term Investments 4.1% | |||
Affiliated Investment Company 2.5% | |||
United States 2.5% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (d) | 6,891,506 | 6,891,506 | |
Unaffiliated Investment Company 1.6% | |||
United States 1.6% | |||
Wells Fargo Government Money Market Fund, 0.025% (d)(e) | 4,440,301 | 4,440,301 | |
Total Short-Term Investments (Cost $11,331,807) | 11,331,807 | ||
Total Investments (Cost $226,074,988) | 100.8% | 278,066,025 | |
Other Assets, Less Liabilities | (0.8) | (2,297,143) | |
Net Assets | 100.0% | $ 275,768,882 |
† | Percentages indicated are based on Portfolio net assets. |
(a) | Non-income producing security. |
(b) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $5,216,201; the total market value of collateral held by the Portfolio was $5,406,524. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $966,223. The Portfolio received cash collateral with a value of $4,440,301. |
(c) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
(d) | Current yield as of September 30, 2021. |
(e) | Represents a security purchased with cash collateral received for securities on loan. |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Common Stocks | |||||||
Denmark | $ — | $ 866,190 | $ — | $ 866,190 | |||
Italy | — | 1,486,126 | — | 1,486,126 | |||
Norway | — | 12,846,646 | — | 12,846,646 | |||
South Africa | — | 9,423,738 | — | 9,423,738 | |||
All Other Countries | 242,111,518 | — | — | 242,111,518 | |||
Total Common Stocks | 242,111,518 | 24,622,700 | — | 266,734,218 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 6,891,506 | — | — | 6,891,506 | |||
Unaffiliated Investment Company | 4,440,301 | — | — | 4,440,301 | |||
Total Short-Term Investments | 11,331,807 | — | — | 11,331,807 | |||
Total Investments in Securities | $ 253,443,325 | $ 24,622,700 | $ — | $ 278,066,025 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP Moderate Allocation Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Affiliated Investment Companies 91.6% | ||
Equity Funds 55.4% | ||
IQ 50 Percent Hedged FTSE International ETF (a) | 864,518 | $ 21,116,371 |
IQ 500 International ETF (a) | 862,833 | 28,092,634 |
IQ Candriam ESG International Equity ETF (a) | 911,357 | 26,664,848 |
IQ Candriam ESG U.S. Equity ETF (a) | 1,388,855 | 51,610,824 |
IQ Chaikin U.S. Large Cap ETF (a) | 1,022,865 | 33,929,762 |
IQ Chaikin U.S. Small Cap ETF (a) | 530,210 | 18,467,214 |
MainStay Epoch Capital Growth Fund Class I (a) | 261,022 | 4,228,445 |
MainStay Epoch International Choice Fund Class I (a) | 481,382 | 19,638,284 |
MainStay VP Candriam Emerging Markets Equity Portfolio Initial Class (a) | 2,223,529 | 25,652,856 |
MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class (a) | 1,897,750 | 32,351,516 |
MainStay VP MacKay International Equity Portfolio Initial Class (a) | 740,293 | 15,000,413 |
MainStay VP MacKay S&P 500 Index Portfolio Initial Class | 458,119 | 37,884,804 |
MainStay VP Small Cap Growth Portfolio Initial Class (a) | 1,553,622 | 30,488,130 |
MainStay VP T. Rowe Price Equity Income Portfolio Initial Class (a) | 2,031,169 | 27,504,465 |
MainStay VP Wellington Growth Portfolio Initial Class | 491,402 | 22,052,683 |
MainStay VP Wellington Mid Cap Portfolio Initial Class (a) | 1,649,792 | 26,091,630 |
MainStay VP Wellington Small Cap Portfolio Initial Class (a) | 1,438,282 | 18,847,675 |
MainStay VP Wellington U.S. Equity Portfolio Initial Class | 125,861 | 4,153,267 |
MainStay VP Winslow Large Cap Growth Portfolio Initial Class (a) | 1,459,296 | 55,449,298 |
MainStay WMC Enduring Capital Fund Class R6 (a) | 938,424 | 32,028,520 |
MainStay WMC International Research Equity Fund Class I (a) | 2,343,190 | 18,641,718 |
MainStay WMC Value Fund Class R6 (a) | 674,699 | 36,734,462 |
Total Equity Funds (Cost $474,160,909) | 586,629,819 | |
Fixed Income Funds 36.2% | ||
MainStay MacKay Short Duration High Yield Fund Class I | 2,803,359 | 27,699,991 |
MainStay Short Term Bond Fund Class I (a) | 560,285 | 5,511,078 |
MainStay VP Bond Portfolio Initial Class (a) | 2,375,708 | 36,094,849 |
MainStay VP Floating Rate Portfolio Initial Class (a) | 6,234,493 | 55,385,362 |
MainStay VP Indexed Bond Portfolio Initial Class (a) | 18,504,701 | 204,360,368 |
MainStay VP MacKay High Yield Corporate Bond Portfolio Initial Class (a) | 4,240,128 | 44,134,644 |
MainStay VP PIMCO Real Return Portfolio Initial Class (a) | 1,121,278 | 10,954,327 |
Total Fixed Income Funds (Cost $378,860,188) | 384,140,619 | |
Total Affiliated Investment Companies (Cost $853,021,097) | 970,770,438 |
Shares | Value | ||
Short-Term Investment 8.6% | |||
Affiliated Investment Company 8.6% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (a)(b) | 90,722,887 | $ 90,722,887 | |
Total Short-Term Investment (Cost $90,722,887) | 8.6% | 90,722,887 | |
Total Investments (Cost $943,743,984) | 100.2% | 1,061,493,325 | |
Other Assets, Less Liabilities | (0.2) | (1,825,569) | |
Net Assets | 100.0% | $ 1,059,667,756 |
† | Percentages indicated are based on Portfolio net assets. |
(a) | As of September 30, 2021, the Portfolio’s ownership exceeds 5% of the outstanding shares of the Underlying Portfolio's/Fund's share class. |
(b) | Current yield as of September 30, 2021. |
Swap Contracts
Open OTC total return equity swap contracts as of September 30, 2021 were as follows1:
Swap Counterparty | Reference Obligation | Floating Rate2 | Termination Date(s) | Payment Frequency Paid/ Received | Notional Amount Long/ (Short) (000)3 | Unrealized Appreciation/ (Depreciation)4 |
Citibank NA | Citi 2nd Wave Virus Basket | 1 month LIBOR BBA plus 0.35% | 12/2/21 | Monthly | 7,629 | $ — |
Citibank NA | Citi Stay at Home Basket | 1 month LIBOR BBA minus 0.30% | 12/2/21 | Monthly | (8,551) | — |
Citibank NA | iShares MSCI EAFE ETF | 1 month LIBOR BBA plus 0.40% | 12/2/21 | Monthly | 15,620 | — |
Citibank NA | iShares MSCI EAFE Small-Cap ETF | 1 month LIBOR BBA plus 0.55% | 12/2/21 | Monthly | 10,380 | — |
Citibank NA | iShares MSCI Emerging Markets ETF | 1 month LIBOR BBA | 12/2/21 | Monthly | (21,548) | — |
Citibank NA | Russell 1000 Growth Total Return Index | 1 month LIBOR BBA plus 0.03% | 12/2/21 | Monthly | (40,541) | — |
Citibank NA | Russell 1000 Value Total Return Index | 1 month LIBOR BBA plus 0.30% | 12/2/21 | Monthly | 883 | — |
Citibank NA | Russell 2000 Total Return Index | 1 month LIBOR BBA plus 0.19% | 12/2/21 | Monthly | 41,437 | — |
Citibank NA | Russell Midcap Total Return Index | 1 month LIBOR BBA plus 0.31% | 12/2/21 | Monthly | 19,721 | — |
Citibank NA | S&P 500 Total Return Index | 1 month LIBOR BBA plus 0.42% | 12/2/21 | Monthly | 36,579 | — |
Citibank NA | VanEck Vectors Gold Miners ETF | 1 month LIBOR BBA plus 0.50% | 12/2/21 | Monthly | 14,681 | — |
Citibank NA | Vanguard FTSE Europe ETF | 1 month LIBOR BBA plus 0.40% | 12/2/21 | Monthly | 20,913 | — |
$ — |
1. | As of September 30, 2021, cash in the amount $3,150,000 was pledged to brokers for OTC swap contracts. |
2. | Portfolio pays the floating rate and receives the total return of the reference entity. |
3. | Notional amounts reflected as a positive value indicate a long position held by the Portfolio or Index and a negative value indicates a short position. |
4. | Reflects the value at reset date as of September 30, 2021. |
Abbreviation(s): |
BBA—British Bankers’ Association |
EAFE—Europe, Australasia and Far East |
ETF—Exchange-Traded Fund |
FTSE—Financial Times Stock Exchange |
LIBOR—London Interbank Offered Rate |
MSCI—Morgan Stanley Capital International |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Affiliated Investment Companies | |||||||
Equity Funds | $ 586,629,819 | $ — | $ — | $ 586,629,819 | |||
Fixed Income Funds | 384,140,619 | — | — | 384,140,619 | |||
Total Affiliated Investment Companies | 970,770,438 | — | — | 970,770,438 | |||
Short-Term Investment | |||||||
Affiliated Investment Company | 90,722,887 | — | — | 90,722,887 | |||
Total Investments in Securities | $ 1,061,493,325 | $ — | $ — | $ 1,061,493,325 | |||
Total Investments in Securities | $ — | $ — | $ — | $ — |
(a) | For a complete listing of investments, see the Portfolio of Investments. |
MainStay VP Growth Allocation Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Affiliated Investment Companies 91.8% | ||
Equity Funds 76.0% | ||
IQ 50 Percent Hedged FTSE International ETF (a) | 1,666,934 | $ 40,715,863 |
IQ 500 International ETF (a) | 2,033,829 | 66,218,625 |
IQ Candriam ESG International Equity ETF (a) | 1,275,302 | 37,313,296 |
IQ Candriam ESG U.S. Equity ETF (a) | 2,839,064 | 105,501,606 |
IQ Chaikin U.S. Large Cap ETF (a) | 2,425,306 | 80,450,553 |
IQ Chaikin U.S. Small Cap ETF (a) | 712,216 | 24,806,483 |
MainStay Epoch Capital Growth Fund Class I (a) | 438,312 | 7,100,487 |
MainStay Epoch International Choice Fund Class I (a) | 1,270,969 | 51,849,935 |
MainStay VP Candriam Emerging Markets Equity Portfolio Initial Class (a) | 5,561,307 | 64,160,796 |
MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class (a) | 4,665,428 | 79,532,953 |
MainStay VP MacKay International Equity Portfolio Initial Class (a) | 1,595,697 | 32,333,293 |
MainStay VP MacKay S&P 500 Index Portfolio Initial Class (a) | 1,172,959 | 96,999,455 |
MainStay VP Small Cap Growth Portfolio Initial Class (a) | 4,555,181 | 89,390,424 |
MainStay VP T. Rowe Price Equity Income Portfolio Initial Class (a) | 4,957,617 | 67,132,081 |
MainStay VP Wellington Growth Portfolio Initial Class (a) | 944,634 | 42,392,425 |
MainStay VP Wellington Mid Cap Portfolio Initial Class (a) | 3,813,148 | 60,305,323 |
MainStay VP Wellington Small Cap Portfolio Initial Class (a) | 4,097,857 | 53,699,543 |
MainStay VP Wellington U.S. Equity Portfolio Initial Class | 53,632 | 1,769,791 |
MainStay VP Winslow Large Cap Growth Portfolio Initial Class (a) | 3,083,949 | 117,181,717 |
MainStay WMC Enduring Capital Fund Class R6 (a) | 1,850,575 | 63,160,324 |
MainStay WMC International Research Equity Fund Class I (a) | 6,330,507 | 50,363,612 |
MainStay WMC Value Fund Class R6 (a) | 1,616,087 | 87,988,975 |
Total Equity Funds (Cost $1,070,638,155) | 1,320,367,560 | |
Fixed Income Funds 15.8% | ||
MainStay MacKay Short Duration High Yield Fund Class I | 4,650,868 | 45,955,231 |
MainStay Short Term Bond Fund Class I (a) | 929,543 | 9,143,173 |
MainStay VP Bond Portfolio Initial Class | 358,285 | 5,443,527 |
MainStay VP Floating Rate Portfolio Initial Class (a) | 10,343,266 | 91,886,472 |
MainStay VP Indexed Bond Portfolio Initial Class (a) | 2,792,660 | 30,841,296 |
MainStay VP MacKay High Yield Corporate Bond Portfolio Initial Class (a) | 7,034,530 | 73,221,011 |
MainStay VP PIMCO Real Return Portfolio Initial Class (a) | 1,860,217 | 18,173,387 |
Total Fixed Income Funds (Cost $271,868,723) | 274,664,097 | |
Total Affiliated Investment Companies (Cost $1,342,506,878) | 1,595,031,657 |
Shares | Value | ||
Short-Term Investment 8.4% | |||
Affiliated Investment Company 8.4% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (a)(b) | 145,407,975 | $ 145,407,975 | |
Total Short-Term Investment (Cost $145,407,975) | 8.4% | 145,407,975 | |
Total Investments (Cost $1,487,914,853) | 100.2% | 1,740,439,632 | |
Other Assets, Less Liabilities | (0.2) | (3,615,090) | |
Net Assets | 100.0% | $ 1,736,824,542 |
† | Percentages indicated are based on Portfolio net assets. |
(a) | As of September 30, 2021, the Portfolio’s ownership exceeds 5% of the outstanding shares of the Underlying Portfolio's/Fund's share class. |
(b) | Current yield as of September 30, 2021. |
Swap Contracts
Open OTC total return equity swap contracts as of September 30, 2021 were as follows1:
Swap Counterparty | Reference Obligation | Floating Rate2 | Termination Date(s) | Payment Frequency Paid/ Received | Notional Amount Long/ (Short) (000)3 | Unrealized Appreciation/ (Depreciation)4 |
Citibank NA | Citi 2nd Wave Virus Basket | 1 month LIBOR BBA plus 0.35% | 12/2/21 | Monthly | 12,823 | $ — |
Citibank NA | Citi Stay at Home Basket | 1 month LIBOR BBA minus 0.30% | 12/2/21 | Monthly | (14,373) | — |
Citibank NA | iShares MSCI EAFE ETF | 1 month LIBOR BBA plus 0.40% | 12/2/21 | Monthly | 25,915 | — |
Citibank NA | iShares MSCI EAFE Small-Cap ETF | 1 month LIBOR BBA plus 0.55% | 12/2/21 | Monthly | 17,221 | — |
Citibank NA | iShares MSCI Emerging Markets ETF | 1 month LIBOR BBA | 12/2/21 | Monthly | (35,435) | — |
Citibank NA | Russell 1000 Growth Total Return Index | 1 month LIBOR BBA plus 0.03% | 12/2/21 | Monthly | (68,694) | — |
Citibank NA | Russell 2000 Total Return Index | 1 month LIBOR BBA plus 0.19% | 12/2/21 | Monthly | 67,981 | — |
Citibank NA | Russell Midcap Total Return Index | 1 month LIBOR BBA plus 0.31% | 12/2/21 | Monthly | 34,965 | — |
Citibank NA | S&P 500 Total Return Index | 1 month LIBOR BBA plus 0.42% | 12/2/21 | Monthly | 53,111 | — |
Citibank NA | VanEck Vectors Gold Miners ETF | 1 month LIBOR BBA plus 0.50% | 12/2/21 | Monthly | 24,360 | — |
Citibank NA | Vanguard FTSE Europe ETF | 1 month LIBOR BBA plus 0.40% | 12/2/21 | Monthly | 34,696 | — |
$ — |
1. | As of September 30, 2021, cash in the amount $4,600,000 was pledged to brokers for OTC swap contracts. |
2. | Portfolio pays the floating rate and receives the total return of the reference entity. |
3. | Notional amounts reflected as a positive value indicate a long position held by the Portfolio or Index and a negative value indicates a short position. |
4. | Reflects the value at reset date as of September 30, 2021. |
Abbreviation(s): |
BBA—British Bankers’ Association |
EAFE—Europe, Australasia and Far East |
ETF—Exchange-Traded Fund |
FTSE—Financial Times Stock Exchange |
LIBOR—London Interbank Offered Rate |
MSCI—Morgan Stanley Capital International |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Affiliated Investment Companies | |||||||
Equity Funds | $ 1,320,367,560 | $ — | $ — | $ 1,320,367,560 | |||
Fixed Income Funds | 274,664,097 | — | — | 274,664,097 | |||
Total Affiliated Investment Companies | 1,595,031,657 | — | — | 1,595,031,657 | |||
Short-Term Investment | |||||||
Affiliated Investment Company | 145,407,975 | — | — | 145,407,975 | |||
Total Investments in Securities | $ 1,740,439,632 | $ — | $ — | $ 1,740,439,632 | |||
Total Investments in Securities | $ — | $ — | $ — | $ — |
(a) | For a complete listing of investments, see the Portfolio of Investments. |
MainStay VP PIMCO Real Return Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Principal Amount | Value | |
Long-Term Bonds 131.3% | ||
Asset-Backed Securities 8.0% | ||
Home Equity Asset-Backed Securities 1.8% | ||
Argent Securities Trust | ||
Series 2006-W4, Class A2C | ||
0.406% (1 Month LIBOR + 0.32%), due 5/25/36 (a) | $ 303,327 | $ 107,376 |
Countrywide Asset-Backed Certificates | ||
Series 2007-8, Class 1A1 | ||
0.276% (1 Month LIBOR + 0.19%), due 11/25/37 (a) | 1,691,517 | 1,635,855 |
Credit Suisse First Boston Mortgage Securities Corp. | ||
Series 2001-HE17, Class A1 | ||
0.706% (1 Month LIBOR + 0.62%), due 1/25/32 (a) | 749,793 | 737,230 |
Credit-Based Asset Servicing and Securitization LLC | ||
Series 2007-CB6, Class A3 | ||
0.306% (1 Month LIBOR + 0.22%), due 7/25/37 (a)(b) | 948,831 | 768,730 |
First Franklin Mortgage Loan Trust | ||
Series 2006-FF17, Class A2 | ||
0.206% (1 Month LIBOR + 0.12%), due 12/25/36 (a) | 506,061 | 457,792 |
GSAA Home Equity Trust | ||
Series 2006-17, Class A3A | ||
0.566% (1 Month LIBOR + 0.48%), due 11/25/36 (a) | 1,130,683 | 540,922 |
Home Equity Asset Trust (a) | ||
Series 2005-8, Class M2 | ||
0.761% (1 Month LIBOR + 0.675%), due 2/25/36 | 300,000 | 298,893 |
Series 2004-2, Class M1 | ||
0.881% (1 Month LIBOR + 0.795%), due 7/25/34 | 79,210 | 78,858 |
Long Beach Mortgage Loan Trust | ||
Series 2006-7, Class 2A2 | ||
0.206% (1 Month LIBOR + 0.12%), due 8/25/36 (a) | 245,028 | 129,883 |
Mastr Asset-Backed Securities Trust | ||
Series 2006-WMC4, Class A5 | ||
0.236% (1 Month LIBOR + 0.15%), due 10/25/36 (a) | 119,827 | 53,032 |
Morgan Stanley ABS Capital I, Inc. Trust | ||
Series 2005-WMC1, Class M3 | ||
0.866% (1 Month LIBOR + 0.78%), due 1/25/35 (a) | 173,494 | 173,171 |
New Century Home Equity Loan Trust | ||
Series 2004-4, Class M1 | ||
0.851% (1 Month LIBOR + 0.765%), due 2/25/35 (a) | 62,315 | 61,885 |
Option One Mortgage Loan Trust | ||
Series 2006-1, Class M1 | ||
0.626% (1 Month LIBOR + 0.54%), due 1/25/36 (a) | 1,200,000 | 1,185,858 |
Popular ABS Mortgage Pass-Through Trust | ||
Series 2006-A, Class M2 | ||
0.954% (1 Month LIBOR + 0.87%), due 2/25/36 (a) | 1,238,000 | 1,222,723 |
RASC Trust (a) | ||
Series 2006-KS6, Class A4 | ||
0.336% (1 Month LIBOR + 0.25%), due 8/25/36 | 130,660 | 130,352 |
Series 2006-EMX4, Class A4 | ||
0.546% (1 Month LIBOR + 0.23%), due 6/25/36 | 603,292 | 593,834 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Home Equity Asset-Backed Securities | ||
RASC Trust (a) | ||
Series 2005-KS8, Class M4 | ||
0.971% (1 Month LIBOR + 0.59%), due 8/25/35 | $ 378,481 | $ 378,646 |
Series 2005-EMX1, Class M2 | ||
1.181% (1 Month LIBOR + 1.095%), due 3/25/35 | 631,322 | 628,848 |
Saxon Asset Securities Trust | ||
Series 2007-3, Class 1A | ||
0.396% (1 Month LIBOR + 0.31%), due 9/25/37 (a) | 133,809 | 132,094 |
Securitized Asset-Backed Receivables LLC Trust (a) | ||
Series 2006-HE2, Class A2C | ||
0.386% (1 Month LIBOR + 0.30%), due 7/25/36 | 364,835 | 207,073 |
Series 2006-HE1, Class A2C | ||
0.406% (1 Month LIBOR + 0.32%), due 7/25/36 | 585,412 | 277,854 |
Soundview Home Loan Trust (a) | ||
Series 2007-OPT2, Class 2A3 | ||
0.266% (1 Month LIBOR + 0.18%), due 7/25/37 | 195,718 | 187,911 |
Series 2007-OPT1, Class 1A1 | ||
0.286% (1 Month LIBOR + 0.20%), due 6/25/37 | 307,600 | 265,119 |
10,253,939 | ||
Other Asset-Backed Securities 6.2% | ||
Anchorage Capital CLO 6 Ltd. | ||
Series 2015-6A, Class ARR | ||
1.176% (3 Month LIBOR + 1.05%), due 7/15/30 (a)(b) | 500,000 | 500,029 |
Anchorage Capital CLO 11 Ltd. | ||
Series 2019-11A, Class AR | ||
1.278% (3 Month LIBOR + 1.14%), due 7/22/32 (a)(b) | 300,000 | 300,146 |
Anchorage Capital CLO 16 Ltd. | ||
Series 2020-16A, Class A | ||
1.534% (3 Month LIBOR + 1.40%), due 10/20/31 (a)(b) | 1,100,000 | 1,100,187 |
Apidos CLO XXVI | ||
Series 2017-26A, Class A1AR | ||
1.09% (3 Month LIBOR + 0.90%), due 7/18/29 (a)(b) | 800,000 | 800,256 |
Apidos CLO XXVII | ||
Series 2017-27A, Class A1R | ||
1.064% (3 Month LIBOR + 0.93%), due 7/17/30 (a)(b) | 600,000 | 600,337 |
Arch Street CLO Ltd. | ||
Series 2016-2A, Class AR2 | ||
1.134% (3 Month LIBOR + 1.00%), due 10/20/28 (a)(b) | 568,770 | 568,787 |
ARES European CLO X DAC | ||
Series 10A, Class AR | ||
0.78% (3 Month EURIBOR + 0.78%), due 10/15/31 (a)(b) | EUR 1,100,000 | 1,275,310 |
Atlas Senior Loan Fund Ltd. | ||
Series 2017-8A, Class A | ||
1.276% (3 Month LIBOR + 1.15%), due 1/16/30 (a)(b) | $ 1,200,000 | 1,197,858 |
Atrium XII | ||
Series 12A, Class AR | ||
0.968% (3 Month LIBOR + 0.83%), due 4/22/27 (a)(b) | 270,161 | 270,216 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities | ||
Benefit Street Partners CLO XVI Ltd. | ||
Series 2018-16A, Class A1R | ||
1.164% (3 Month LIBOR + 1.03%), due 1/17/32 (a)(b) | $ 300,000 | $ 300,315 |
Black Diamond CLO Designated Activity Co. | ||
Series 2015-1A, Class A1R | ||
0.65% (3 Month EURIBOR + 0.65%), due 10/3/29 (a)(b) | EUR 107,974 | 125,144 |
Black Diamond CLO Ltd. | ||
Series 2017-2A, Class A1 | ||
0.86% (3 Month EURIBOR + 0.86%), due 1/20/32 (a)(b) | 1,000,000 | 1,158,353 |
BlueMountain Fuji Eur CLO V DAC | ||
Series 5A, Class A | ||
0.91% (3 Month EURIBOR + 0.91%), due 1/15/33 (a)(b) | 1,100,000 | 1,274,309 |
Carlyle Global Market Strategies CLO Ltd. | ||
Series 2013-1A, Class A1RR | ||
1.075% (3 Month LIBOR + 0.95%), due 8/14/30 (a)(b) | $ 600,000 | 600,089 |
Carlyle Global Market Strategies Euro CLO Ltd. | ||
Series 2014-2A, Class AR1 | ||
0.75% (3 Month EURIBOR + 0.75%), due 11/15/31 (a)(b) | EUR 1,000,000 | 1,153,910 |
Carlyle US CLO Ltd. | ||
Series 2017-1A, Class A1R | ||
1.134% (3 Month LIBOR + 1.00%), due 4/20/31 (a)(b) | $ 700,000 | 700,225 |
Catamaran CLO Ltd. | ||
Series 2013-1A, Class AR | ||
0.979% (3 Month LIBOR + 0.85%), due 1/27/28 (a)(b) | 415,707 | 415,725 |
CIFC Funding 2017-IV Ltd. | ||
Series 2017-4A, Class A1R | ||
1.075% (3 Month LIBOR + 0.95%), due 10/24/30 (a)(b) | 400,000 | 400,115 |
Crestline Denali CLO XV Ltd. | ||
Series 2017-1A, Class AR | ||
1.164% (3 Month LIBOR + 1.03%), due 4/20/30 (a)(b) | 300,000 | 300,066 |
Dryden 52 Euro CLO DAC | ||
Series 2017-52A, Class AR | ||
0.86% (3 Month EURIBOR + 0.86%), due 5/15/34 (a)(b) | EUR 500,000 | 576,766 |
Halcyon Loan Advisors Funding Ltd. | ||
Series 2015-1A, Class AR | ||
1.054% (3 Month LIBOR + 0.92%), due 4/20/27 (a)(b) | $ 9,904 | 9,904 |
ICG US CLO Ltd. | ||
Series 2020-1A, Class A1 | ||
1.538% (3 Month LIBOR + 1.40%), due 10/22/31 (a)(b) | 1,100,000 | 1,100,172 |
Jubilee CLO BV | ||
Series 2015-16A, Class A1R | ||
0.257% (3 Month EURIBOR + 0.80%), due 12/15/29 (a)(b) | EUR 1,625,237 | 1,874,350 |
KKR CLO 18 Ltd. | ||
Series 18, Class A | ||
1.404% (3 Month LIBOR + 1.27%), due 7/18/30 (a)(b) | $ 900,000 | 900,000 |
KVK CLO Ltd. | ||
Series 2013-1A, Class AR | ||
1.033% (3 Month LIBOR + 0.90%), due 1/14/28 (a)(b) | 448,964 | 448,981 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities | ||
LCM 30 Ltd. | ||
Series 30A, Class AR | ||
1.214% (3 Month LIBOR + 1.08%), due 4/20/31 (a)(b) | $ 1,350,000 | $ 1,350,374 |
LCM XV LP | ||
Series 15A, Class AR2 | ||
1.134% (3 Month LIBOR + 1.00%), due 7/20/30 (a)(b) | 400,000 | 400,019 |
Legacy Mortgage Asset Trust | ||
Series 2019-GS3, Class A1 | ||
3.75%, due 4/25/59 (b)(c) | 141,954 | 142,912 |
MacKay Shields Euro DAC | ||
Series 2A, Class A | ||
1.55% (3 Month EURIBOR + 1.55%), due 8/15/33 (a)(b) | EUR 250,000 | 289,885 |
Man GLG Euro CLO II DAC | ||
Series 2A, Class A1R | ||
0.87% (3 Month EURIBOR + 0.87%), due 1/15/30 (a)(b) | 231,266 | 267,919 |
Marathon CLO V Ltd. | ||
Series 2013-5A, Class A1R | ||
1.001% (3 Month LIBOR + 0.87%), due 11/21/27 (a)(b) | $ 474,153 | 474,263 |
Marlette Funding Trust | ||
Series 2019-3A, Class A | ||
2.69%, due 9/17/29 (b) | 2,118 | 2,119 |
MidOcean Credit CLO II | ||
Series 2013-2A, Class ARR | ||
1.16% (3 Month LIBOR + 1.03%), due 1/29/30 (a)(b) | 300,000 | 300,011 |
MP CLO VII Ltd. | ||
Series 2015-1A, Class AR3 | ||
1.024% (3 Month LIBOR + 0.89%), due 10/18/28 (a)(b) | 496,407 | 496,480 |
Nassau Ltd. | ||
Series 2020-1A, Class A1 | ||
2.284% (3 Month LIBOR + 2.15%), due 7/20/29 (a)(b) | 1,100,000 | 1,100,453 |
OCP CLO Ltd. (a)(b) | ||
Series 2015-9A, Class A1R | ||
0.926% (3 Month LIBOR + 0.80%), due 7/15/27 | 27,242 | 27,245 |
Series 2015-10A, Class A1R | ||
0.945% (3 Month LIBOR + 0.82%), due 10/26/27 | 426,053 | 426,083 |
OZLM XXIV Ltd. | ||
Series 2019-24A, Class A1AR | ||
1.276% (3 Month LIBOR + 1.16%), due 7/20/32 (a)(b) | 200,000 | 200,016 |
Palmer Square European Loan Funding DAC | ||
Series 2020-1A, Class A | ||
1.15% (3 Month EURIBOR + 1.15%), due 1/15/30 (a)(b) | EUR 654,663 | 758,515 |
Palmer Square Loan Funding Ltd. (a)(b) | ||
Series 2021-4A, Class A1 | ||
TBD, (3 Month LIBOR + 0.80%), due 10/15/29 (d) | $ 500,000 | 500,000 |
Series 2021-3A, Class A1 | ||
0.971% (3 Month LIBOR + 0.80%), due 7/20/29 | 1,400,000 | 1,400,503 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities | ||
Romark CLO Ltd. | ||
Series 2017-1A, Class A1R | ||
1.168% (3 Month LIBOR + 1.03%), due 10/23/30 (a)(b) | $ 400,000 | $ 400,068 |
Saranac CLO VI Ltd. | ||
Series 2018-6A, Class A1R | ||
1.254% (3 Month LIBOR + 1.14%), due 8/13/31 (a)(b) | 300,000 | 299,999 |
SLM Student Loan Trust | ||
Series 2004-3A, Class A6B | ||
0.675% (3 Month LIBOR + 0.55%), due 10/25/64 (a)(b) | 417,016 | 419,552 |
Sound Point CLO IX Ltd. | ||
Series 2015-2A, Class ARRR | ||
1.295% (3 Month LIBOR + 1.21%), due 7/20/32 (a)(b) | 500,000 | 500,042 |
Sound Point CLO XIV Ltd. | ||
Series 2016-3A, Class AR2 | ||
1.128% (3 Month LIBOR + 0.99%), due 1/23/29 (a)(b) | 1,101,328 | 1,101,178 |
Sound Point CLO XV Ltd. | ||
Series 2017-1A, Class ARR | ||
1.038% (3 Month LIBOR + 0.90%), due 1/23/29 (a)(b) | 1,100,000 | 1,100,067 |
SP-STATIC CLO 1 Ltd. | ||
Series 2020-1A, Class A | ||
1.538% (3 Month LIBOR + 1.40%), due 7/22/28 (a)(b) | 349,678 | 349,698 |
Stanwich Mortgage Loan Co. LLC | ||
Series 2019-NPB1, Class A1 | ||
3.375%, due 8/15/24 (b)(c) | 13,828 | 13,862 |
Symphony CLO XIV Ltd. | ||
Series 2014-14A, Class AR | ||
1.083% (3 Month LIBOR + 0.95%), due 7/14/26 (a)(b) | 139,447 | 139,453 |
THL Credit Wind River CLO Ltd. | ||
Series 2019-3A, Class AR | ||
1.164% (3 Month LIBOR + 1.08%), due 4/15/31 (a)(b) | 300,000 | 300,027 |
Venture 36 CLO Ltd. | ||
Series 2019-36A, Class A1AR | ||
1.264% (3 Month LIBOR + 1.13%), due 4/20/32 (a)(b) | 600,000 | 600,133 |
Venture XX CLO Ltd. | ||
Series 2015-20A, Class AR | ||
0.946% (3 Month LIBOR + 0.82%), due 4/15/27 (a)(b) | 201,931 | 201,939 |
Venture XXI CLO Ltd. | ||
Series 2015-21A, Class AR | ||
1.006% (3 Month LIBOR + 0.88%), due 7/15/27 (a)(b) | 579,713 | 579,736 |
Venture XXIV CLO Ltd. | ||
Series 2016-24A, Class ARR | ||
1.034% (3 Month LIBOR + 0.90%), due 10/20/28 (a)(b) | 383,966 | 383,965 |
Vibrant CLO VI Ltd. | ||
Series 2017-6A, Class AR | ||
1.072% (3 Month LIBOR + 0.95%), due 6/20/29 (a)(b) | 1,300,000 | 1,300,174 |
Vibrant CLO XI Ltd. | ||
Series 2019-11A, Class A1R1 | ||
1.198% (3 Month LIBOR + 1.12%), due 7/20/32 (a)(b) | 400,000 | 400,042 |
Principal Amount | Value | |
Asset-Backed Securities | ||
Other Asset-Backed Securities | ||
Voya CLO Ltd. | ||
Series 2017-1A, Class A1R | ||
1.084% (3 Month LIBOR + 0.95%), due 4/17/30 (a)(b) | $ 1,000,000 | $ 1,000,043 |
Z Capital Credit Partners CLO Ltd. | ||
Series 2015-1A, Class A1R | ||
1.076% (3 Month LIBOR + 0.95%), due 7/16/27 (a)(b) | 108,023 | 108,026 |
35,286,351 | ||
Total Asset-Backed Securities (Cost $45,502,823) | 45,540,290 | |
Corporate Bonds 4.9% | ||
Auto Manufacturers 0.1% | ||
Nissan Motor Acceptance Co. LLC | ||
2.65%, due 7/13/22 (b) | 200,000 | 203,039 |
Volkswagen Group of America Finance LLC | ||
4.00%, due 11/12/21 (b) | 600,000 | 602,358 |
805,397 | ||
Banks 2.2% | ||
Banco Bilbao Vizcaya Argentaria SA | ||
Series Reg S | ||
5.875% (EUR 5 Year Interest Swap Rate + 5.66%), due 9/24/23 (a)(e) | EUR 400,000 | 496,052 |
Bank of America Corp. | ||
Series FF | ||
5.875%, due 3/15/28 (e)(f) | $ 190,000 | 216,857 |
Credit Suisse Group Funding Guernsey Ltd. | ||
3.80%, due 9/15/22 | 300,000 | 309,812 |
Deutsche Bank AG | ||
4.25%, due 10/14/21 | 1,400,000 | 1,401,508 |
ING Bank NV | ||
2.625%, due 12/5/22 (b) | 400,000 | 410,900 |
Lloyds Banking Group plc | ||
Series Reg S | ||
4.947% (5 Month EURIBOR ICE Swap Rate + 5.29%), due 6/27/70 (a)(e) | EUR 200,000 | 253,551 |
NatWest Group plc | ||
1.682% (3 Month LIBOR + 1.55%), due 6/25/24 (a) | $ 300,000 | 306,187 |
4.519%, due 6/25/24 (f) | 200,000 | 212,875 |
Nykredit Realkredit A/S | ||
Series Reg S | ||
0.50%, due 10/1/43 | DKK 13,015,605 | 1,877,329 |
Series Reg S | ||
1.00%, due 10/1/50 | 26,504,036 | 3,879,002 |
Series Reg S | ||
1.50%, due 10/1/53 | 6,489,044 | 970,324 |
Series 01E | ||
2.50%, due 10/1/47 | 2,072 | 345 |
Principal Amount | Value | |
Corporate Bonds | ||
Banks | ||
UniCredit SpA | ||
7.83%, due 12/4/23 (b) | $ 1,800,000 | $ 2,049,771 |
12,384,513 | ||
Beverages 0.0% ‡ | ||
Keurig Dr Pepper, Inc. | ||
4.057%, due 5/25/23 | 52,000 | 54,956 |
Biotechnology 0.1% | ||
Amgen, Inc. | ||
3.625%, due 5/15/22 | 400,000 | 404,903 |
Commercial Services 0.0% ‡ | ||
RELX Capital, Inc. | ||
3.50%, due 3/16/23 | 100,000 | 104,196 |
Distribution & Wholesale 0.0% ‡ | ||
Toyota Tsusho Corp. | ||
3.625%, due 9/13/23 | 200,000 | 211,059 |
Diversified Financial Services 1.8% | ||
Ally Financial, Inc. | ||
4.125%, due 2/13/22 | 200,000 | 202,661 |
Avolon Holdings Funding Ltd. | ||
2.528%, due 11/18/27 (b) | 66,000 | 64,911 |
Jyske Realkredit A/S | ||
Series CCE | ||
0.50%, due 10/1/43 | DKK 2,548,973 | 368,053 |
Series Reg S | ||
1.00%, due 10/1/50 | 16,495,110 | 2,415,814 |
Series CCE. | ||
1.00%, due 10/1/53 | 6,675,628 | 950,913 |
Series 111E | ||
2.50%, due 10/1/47 | 5,565 | 926 |
Mitsubishi HC Capital, Inc. | ||
2.652%, due 9/19/22 (b) | $ 200,000 | 203,617 |
Nordea Kredit Realkreditaktieselskab | ||
0.50%, due 10/1/43 | DKK 978,987 | 141,511 |
Series Reg S | ||
1.00%, due 10/1/50 | 10,662,741 | 1,564,118 |
1.50%, due 10/1/53 | 9,500,000 | 1,416,861 |
2.50%, due 10/1/47 | 2,366 | 394 |
Realkredit Danmark A/S | ||
Series Reg S | ||
1.00%, due 10/1/53 | 18,223,572 | 2,594,446 |
Principal Amount | Value | |
Corporate Bonds | ||
Diversified Financial Services | ||
Realkredit Danmark A/S | ||
Series 23S | ||
2.50%, due 4/1/47 | 10,812 | $ 1,795 |
9,926,020 | ||
Electric 0.0% ‡ | ||
American Electric Power Co., Inc. | ||
Series I | ||
3.65%, due 12/1/21 | $ 100,000 | 100,542 |
Food 0.1% | ||
Conagra Brands, Inc. | ||
3.25%, due 9/15/22 | 200,000 | 205,323 |
Danone SA (b) | ||
2.077%, due 11/2/21 | 200,000 | 200,000 |
3.00%, due 6/15/22 (g) | 200,000 | 203,737 |
609,060 | ||
Home Builders 0.0% ‡ | ||
DR Horton, Inc. | ||
5.75%, due 8/15/23 | 100,000 | 108,435 |
Home Furnishings 0.2% | ||
Panasonic Corp. | ||
2.536%, due 7/19/22 (b) | 800,000 | 811,694 |
Media 0.1% | ||
Charter Communications Operating LLC | ||
4.464%, due 7/23/22 | 600,000 | 615,244 |
Oil & Gas 0.1% | ||
Petrobras Global Finance BV | ||
5.093%, due 1/15/30 | 543,000 | 574,103 |
Pharmaceuticals 0.0% ‡ | ||
Cigna Corp. | ||
3.75%, due 7/15/23 | 73,000 | 77,162 |
CVS Health Corp. | ||
3.70%, due 3/9/23 | 28,000 | 29,238 |
106,400 | ||
Semiconductors 0.1% | ||
NXP BV | ||
3.875%, due 9/1/22 (b) | 400,000 | 411,907 |
Principal Amount | Value | |
Corporate Bonds | ||
Telecommunications 0.1% | ||
Telstra Corp. Ltd. | ||
4.80%, due 10/12/21 (b) | $ 300,000 | $ 300,294 |
Total Corporate Bonds (Cost $28,283,263) | 27,528,723 | |
Foreign Government Bonds 10.2% | ||
Argentina 0.0% ‡ | ||
Argentine Republic Government Bond (i) | ||
34.119%, due 10/4/22 (h) | ARS 1,756 | 13 |
36.145% (BADLARPP + 2.00%), due 4/3/22 (a) | 2,854,000 | 29,917 |
29,930 | ||
Australia 0.4% | ||
Australia Government Bond (j) | ||
Series Reg S | ||
1.25%, due 2/21/22 | AUD 1,165,612 | 854,936 |
Series Reg S | ||
3.00%, due 9/20/25 | 1,857,450 | 1,580,405 |
2,435,341 | ||
Canada 0.2% | ||
Canadian Government Real Return Bond | ||
4.25%, due 12/1/26 (j) | CAD 972,150 | 977,891 |
France 1.0% | ||
France Government Bond (j) | ||
Series Reg S | ||
0.10%, due 3/1/26 (b) | EUR 3,159,861 | 4,047,945 |
Series Reg S | ||
0.25%, due 7/25/24 | 1,412,411 | 1,772,001 |
5,819,946 | ||
Italy 4.6% | ||
Italy Buoni Poliennali Del Tesoro (b)(j) | ||
Series Reg S | ||
0.40%, due 5/15/30 | 8,798,435 | 11,281,156 |
Series Reg S | ||
1.40%, due 5/26/25 | 11,512,171 | 14,611,135 |
25,892,291 | ||
Japan 1.8% | ||
Japan Government CPI Linked Bond (j) | ||
0.005%, due 3/10/31 | JPY 226,846,700 | 2,081,662 |
0.10%, due 3/10/28 | 364,034,640 | 3,358,886 |
0.10%, due 3/10/29 | 485,496,540 | 4,490,499 |
9,931,047 |
Principal Amount | Value | |
Foreign Government Bonds | ||
New Zealand 0.5% | ||
New Zealand Government Inflation Linked Bond (j) | ||
Series Reg S | ||
2.00%, due 9/20/25 | NZD 2,042,460 | $ 1,549,845 |
Series Reg S | ||
2.50%, due 9/20/35 | 886,080 | 784,852 |
Series Reg S | ||
3.00%, due 9/20/30 | 562,450 | 491,647 |
2,826,344 | ||
Peru 0.2% | ||
Peru Government Bond | ||
5.94%, due 2/12/29 | PEN 1,300,000 | 315,885 |
6.15%, due 8/12/32 | 2,600,000 | 609,465 |
925,350 | ||
Qatar 0.0% ‡ | ||
Qatar Government Bond | ||
Series Reg S | ||
3.875%, due 4/23/23 | $ 300,000 | 315,573 |
United Kingdom 1.5% | ||
United Kingdom Gilt Inflation Linked (j) | ||
Series Reg S | ||
0.125%, due 3/22/24 | GBP 3,276,546 | 4,868,750 |
Series Reg S | ||
1.875%, due 11/22/22 | 2,525,316 | 3,694,194 |
8,562,944 | ||
Total Foreign Government Bonds (Cost $56,477,318) | 57,716,657 | |
Mortgage-Backed Securities 4.8% | ||
Agency (Collateralized Mortgage Obligations) 3.5% | ||
FHLMC | ||
REMIC, Series 4779, Class WF | ||
0.446% (1 Month LIBOR + 0.35%), due 7/15/44 (a) | $ 230,060 | 228,771 |
FHLMC, STRIPS | ||
Series 278, Class F1 | ||
0.534% (1 Month LIBOR + 0.45%), due 9/15/42 (a) | 252,391 | 251,355 |
GNMA (a) | ||
REMIC, Series 2018-H15, Class FG | ||
0.382% (12 Month LIBOR + 0.15%), due 8/20/68 | 439,384 | 434,288 |
REMIC, Series 2017-H10, Class FB | ||
1.029% (12 Month LIBOR + 0.75%), due 4/20/67 | 272,876 | 276,048 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Agency (Collateralized Mortgage Obligations) | ||
UMBS, Single Family, 30 Year (k) | ||
3.50%, due 12/25/51 TBA | $ 11,800,000 | $ 12,494,161 |
4.00%, due 11/25/51 TBA | 5,480,000 | 5,877,407 |
19,562,030 | ||
Commercial Mortgage Loans (Collateralized Mortgage Obligation) 0.0% ‡ | ||
AREIT Trust | ||
Series 2020-CRE4, Class A | ||
2.784% (SOFR 30A + 2.734%), due 4/15/37 (a)(b) | 222,031 | 223,144 |
Whole Loan (Collateralized Mortgage Obligations) 1.3% | ||
Alternative Loan Trust | ||
Series 2005-29CB, Class A4 | ||
5.00%, due 7/25/35 | 32,069 | 24,434 |
Series 2007-1T1, Class 1A1 | ||
6.00%, due 3/25/37 | 576,860 | 325,039 |
CHL Mortgage Pass-Through Trust | ||
Series 2007-1, Class A1 | ||
6.00%, due 3/25/37 | 29,780 | 21,534 |
Citigroup Mortgage Loan Trust | ||
Series 2007-AR4, Class 1A1A | ||
3.156%, due 3/25/37 (l) | 240,446 | 241,901 |
Series 2019-B, Class A1 | ||
3.258%, due 4/25/66 (b)(h) | 229,795 | 231,514 |
Citigroup Mortgage Loan Trust, Inc. | ||
Series 2004-NCM2, Class 1CB1 | ||
5.50%, due 8/25/34 | 160,483 | 164,744 |
CSMC Trust | ||
Series 2019-RPL9, Class A1 | ||
2.961%, due 10/27/59 (b)(h) | 860,044 | 865,973 |
Eurosail-UK plc (a) | ||
Series Reg S, Class A3A | ||
1.017% (3 Month Sterling LIBOR + 0.95%), due 6/13/45 | GBP 131,250 | 176,711 |
Series Reg S, Class A3C | ||
1.017% (3 Month Sterling LIBOR + 0.95%), due 6/13/45 | 34,995 | 47,148 |
Series 2007-3A, Class A3C | ||
1.017% (3 Month Sterling LIBOR + 0.95%), due 6/13/45 (b) | 34,995 | 47,147 |
GreenPoint Mortgage Funding Trust | ||
Series 2006-AR4, Class A6A | ||
0.266% (1 Month LIBOR + 0.18%), due 9/25/46 (a) | $ 76,881 | 75,766 |
IndyMac INDX Mortgage Loan Trust (a) | ||
Series 2005-AR12, Class 2A1A | ||
0.566% (1 Month LIBOR + 0.48%), due 7/25/35 | 122,752 | 120,335 |
Series 2005-AR14, Class 1A1A | ||
0.646% (1 Month LIBOR + 0.56%), due 7/25/35 | 833,751 | 684,731 |
Lehman XS Trust | ||
Series 2007-20N, Class A1 | ||
1.236% (1 Month LIBOR + 1.15%), due 12/25/37 (a) | 36,635 | 38,653 |
Principal Amount | Value | |
Mortgage-Backed Securities | ||
Whole Loan (Collateralized Mortgage Obligations) | ||
Merrill Lynch Mortgage Investors Trust | ||
Series 2005-A4, Class 1A | ||
2.579%, due 7/25/35 (l) | $ 165,161 | $ 109,782 |
New Residential Mortgage Loan Trust (b)(h) | ||
Series 2019-RPL3, Class A1 | ||
2.75%, due 7/25/59 | 284,393 | 293,781 |
Series 2018-3A, Class A1 | ||
4.50%, due 5/25/58 | 159,419 | 172,183 |
OBX Trust | ||
Series 2018-1, Class A2 | ||
0.736% (1 Month LIBOR + 0.65%), due 6/25/57 (a)(b) | 39,435 | 39,443 |
Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates | ||
Series 2005-2, Class M7 | ||
1.886% (1 Month LIBOR + 1.80%), due 4/25/35 (a) | 100,000 | 101,492 |
RALI Trust | ||
Series 2006-QH1, Class A1 | ||
0.466% (1 Month LIBOR + 0.19%), due 12/25/36 (a) | 896,690 | 868,768 |
Residential Asset Securitization Trust | ||
Series 2006-A10, Class A5 | ||
6.50%, due 9/25/36 | 224,234 | 120,457 |
Residential Mortgage Securities 32 plc | ||
Series 32A, Class A | ||
1.30% (SONIA3M IR + 1.25%), due 6/20/70 (a)(b) | GBP 168,358 | 229,140 |
Thornburg Mortgage Securities Trust | ||
Series 2004-2, Class A1 | ||
0.706% (1 Month LIBOR + 0.62%), due 6/25/44 (a) | $ 649,582 | 637,635 |
Towd Point Mortgage Funding Granite 4 plc | ||
Series 2019-GR4A, Class A1 | ||
1.10% (3 Month Sterling LIBOR + 1.025%), due 10/20/51 (a)(b) | GBP 845,660 | 1,148,389 |
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | ||
Series 2007-HY1, Class A2A | ||
0.246% (1 Month LIBOR + 0.16%), due 2/25/37 (a) | $ 491,956 | 445,171 |
Series 2006-5, Class 2CB1 | ||
6.00%, due 7/25/36 | 38,452 | 33,304 |
7,265,175 | ||
Total Mortgage-Backed Securities (Cost $27,142,303) | 27,050,349 | |
U.S. Government & Federal Agencies 103.4% | ||
Federal National Mortgage Association (Mortgage Pass-Through Securities) 0.1% | ||
FNMA (a) | ||
1.292% (12 Month Monthly Treasury Average Index + 1.199%), due 6/1/43 | 174,204 | 177,441 |
2.422% (1 Year Treasury Constant Maturity Rate + 2.36%), due 11/1/34 | 199,304 | 211,903 |
4.031% (11th District Cost of Funds Index + 1.926%), due 12/1/36 | 124,982 | 133,383 |
522,727 |
Principal Amount | Value | |
U.S. Government & Federal Agencies | ||
United States Treasury Bond 0.3% | ||
U.S. Treasury Bonds | ||
1.625%, due 11/15/50 | $ 2,080,000 | $ 1,868,669 |
United States Treasury Inflation - Indexed Notes 102.9% | ||
U.S. Treasury Inflation Linked Bonds (j) | ||
0.125%, due 2/15/51 | 4,624,282 | 5,064,793 |
0.25%, due 2/15/50 | 2,739,650 | 3,084,318 |
0.625%, due 2/15/43 | 2,113,625 | 2,516,755 |
0.75%, due 2/15/42 | 6,318,834 | 7,692,275 |
0.75%, due 2/15/45 | 6,654,612 | 8,179,713 |
0.875%, due 2/15/47 | 12,941,461 | 16,574,169 |
1.00%, due 2/15/46 | 7,592,866 | 9,880,415 |
1.00%, due 2/15/48 | 2,776,557 | 3,681,541 |
1.00%, due 2/15/49 | 3,308,975 | 4,430,667 |
1.375%, due 2/15/44 | 17,441,997 | 23,936,643 |
1.75%, due 1/15/28 | 15,147,699 | 18,225,956 |
2.00%, due 1/15/26 | 6,379,523 | 7,439,454 |
2.125%, due 2/15/40 | 4,370,291 | 6,501,662 |
2.125%, due 2/15/41 | 6,893,919 | 10,375,259 |
2.375%, due 1/15/25 | 13,165,229 | 15,112,071 |
2.375%, due 1/15/27 | 27,075 | 32,937 |
2.50%, due 1/15/29 | 6,650,259 | 8,517,354 |
3.375%, due 4/15/32 | 502,942 | 735,854 |
U.S. Treasury Inflation Linked Notes (j) | ||
0.125%, due 1/15/22 | 2,327,947 | 2,344,921 |
0.125%, due 4/15/22 | 45,468,463 | 46,103,127 |
0.125%, due 7/15/22 (m) | 4,537,326 | 4,646,623 |
0.125%, due 1/15/23 | 13,877,088 | 14,346,344 |
0.125%, due 10/15/24 | 10,853,514 | 11,610,716 |
0.125%, due 4/15/25 | 8,243,976 | 8,843,918 |
0.125%, due 10/15/25 (m) | 841,728 | 910,765 |
0.125%, due 4/15/26 | 9,837,450 | 10,649,168 |
0.125%, due 7/15/26 | 9,806,187 | 10,697,044 |
0.125%, due 1/15/30 | 21,816,216 | 23,966,306 |
0.125%, due 7/15/30 | 13,331,171 | 14,701,087 |
0.125%, due 1/15/31 | 21,750,868 | 23,870,728 |
0.125%, due 7/15/31 | 22,918,275 | 25,235,468 |
0.25%, due 1/15/25 | 12,217,772 | 13,125,992 |
0.25%, due 7/15/29 | 21,708,475 | 24,149,831 |
0.375%, due 7/15/23 | 6,724,267 | 7,084,120 |
0.375%, due 1/15/27 | 15,799,777 | 17,442,912 |
0.375%, due 7/15/27 | 18,548,585 | 20,633,127 |
0.50%, due 4/15/24 | 27,624,124 | 29,500,622 |
0.50%, due 1/15/28 | 17,278,893 | 19,344,036 |
0.625%, due 4/15/23 | 23,454,367 | 24,541,575 |
0.625%, due 1/15/24 | 22,846,006 | 24,374,725 |
0.625%, due 1/15/26 | 9,915,438 | 10,943,778 |
Principal Amount | Value | ||
U.S. Government & Federal Agencies | |||
United States Treasury Inflation - Indexed Notes | |||
U.S. Treasury Inflation Linked Notes (j) | |||
0.75%, due 7/15/28 | $ 17,412,316 | $ 19,935,968 | |
0.875%, due 1/15/29 | 17,612,567 | 20,348,706 | |
581,333,443 | |||
United States Treasury Note 0.1% | |||
U.S. Treasury Notes | |||
1.75%, due 12/31/24 | 330,000 | 342,388 | |
Total U.S. Government & Federal Agencies (Cost $545,969,731) | 584,067,227 | ||
Total Long-Term Bonds (Cost $703,375,438) | 741,903,246 | ||
Shares | |||
Short-Term Investments 0.4% | |||
Affiliated Investment Company 0.4% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (n) | 2,133,487 | 2,133,487 | |
Unaffiliated Investment Company 0.0% ‡ | |||
Wells Fargo Government Money Market Fund, 0.025% (n)(o) | 94,500 | 94,500 | |
Total Short-Term Investments (Cost $2,227,987) | 2,227,987 | ||
Total Investments Excluding Purchased Options (Cost $705,603,425) | 131.7% | 744,131,233 | |
Total Purchased Options (Cost $104,080) | 0.1% | 202,048 | |
Total Investments (Cost $705,707,505) | 131.8% | 744,333,281 | |
Other Assets, Less Liabilities | (31.8) | (179,413,667) | |
Net Assets | 100.0% | $ 564,919,614 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | Floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(b) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
(c) | Step coupon—Rate shown was the rate in effect as of September 30, 2021. |
(d) | Delayed delivery security. |
(e) | Security is perpetual and, thus, does not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
(f) | Fixed to floating rate—Rate shown was the rate in effect as of September 30, 2021. |
(g) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $91,682. The Portfolio received cash collateral with a value of $94,500. |
(h) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. Rate shown was the rate in effect as of September 30, 2021. |
(i) | Illiquid security—As of September 30, 2021, the total market value deemed illiquid under procedures approved by the Board of Trustees was $29,930, which represented less than one-tenth of a percent of the Portfolio’s net assets. |
(j) | Treasury Inflation Protected Security—Pays a fixed rate of interest on a principal amount that is continuously adjusted for inflation based on the Consumer Price Index-Urban Consumers. |
(k) | TBA—Security purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. As of September 30, 2021, the total net market value was $18,371,568, which represented 3.3% of the Portfolio’s net assets. All or a portion of this security is a part of a mortgage dollar roll agreement. |
(l) | Collateral strip rate—A bond whose interest was based on the weighted net interest rate of the collateral. The coupon rate adjusts periodically based on a predetermined schedule. Rate shown was the rate in effect as of September 30, 2021. |
(m) | Security, or a portion thereof, was maintained in a segregated account at the Portfolio’s custodian as collateral for Future and swap contracts. |
(n) | Current yield as of September 30, 2021. |
(o) | Represents a security purchased with cash collateral received for securities on loan. |
Foreign Currency Forward Contracts
As of September 30, 2021, the Portfolio held the following foreign currency forward contracts1:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
CNY | 1,918,043 | USD | 296,065 | Bank of America N.A. | 10/22/21 | $ 363 |
CNY | 5,659,528 | USD | 874,160 | Bank of America N.A. | 10/22/21 | 504 |
DKK | 3,415,000 | USD | 533,543 | Morgan Stanley & Co. International | 4/1/22 | 390 |
IDR | 2,354,961,312 | USD | 163,812 | Morgan Stanley & Co., LLC | 11/15/21 | 18 |
JPY | 1,155,023,631 | USD | 10,372,445 | Morgan Stanley & Co. International | 10/4/21 | 5,592 |
NOK | 10,050,000 | USD | 1,137,302 | Morgan Stanley & Co. International | 11/17/21 | 11,943 |
USD | 1,364,385 | AUD | 1,859,000 | JPMorgan Chase Bank N.A. | 10/5/21 | 20,416 |
USD | 4,316,440 | DKK | 27,327,382 | Bank of America N.A. | 4/1/22 | 43,825 |
USD | 11,618,298 | DKK | 72,254,951 | JPMorgan Chase Bank N.A. | 10/1/21 | 363,632 |
USD | 5,715,820 | DKK | 35,528,909 | Morgan Stanley & Co. International | 10/1/21 | 181,722 |
USD | 192,777 | DKK | 1,205,000 | Morgan Stanley & Co. International | 10/1/21 | 5,082 |
USD | 6,200,613 | DKK | 39,238,223 | Morgan Stanley & Co. International | 4/1/22 | 65,747 |
USD | 6,681,248 | DKK | 42,378,956 | Morgan Stanley & Co. International | 4/1/22 | 55,330 |
USD | 39,036,843 | EUR | 33,058,000 | Bank of America N.A. | 10/4/21 | 744,109 |
USD | 42,331,976 | EUR | 36,514,000 | Bank of America N.A. | 11/2/21 | 12,212 |
USD | 4,047,214 | EUR | 3,456,000 | JPMorgan Chase Bank N.A. | 10/4/21 | 43,957 |
USD | 5,305,032 | GBP | 3,853,000 | Bank of America N.A. | 10/4/21 | 113,500 |
USD | 87,184 | GBP | 63,000 | Bank of America N.A. | 10/4/21 | 2,298 |
USD | 122,838 | GBP | 89,000 | Bank of America N.A. | 10/4/21 | 2,920 |
USD | 11,043,442 | GBP | 8,167,000 | Bank of America N.A. | 11/2/21 | 38,802 |
USD | 1,764,388 | GBP | 1,282,000 | Morgan Stanley & Co. International | 10/4/21 | 37,021 |
USD | 100,525 | GBP | 73,000 | Morgan Stanley & Co. International | 10/4/21 | 2,165 |
USD | 766,629 | GBP | 555,000 | Morgan Stanley & Co. International | 10/4/21 | 18,822 |
USD | 2,189,842 | GBP | 1,585,000 | Morgan Stanley & Co. International | 10/4/21 | 54,213 |
USD | 310,933 | GBP | 225,000 | Morgan Stanley & Co. International | 10/4/21 | 7,768 |
USD | 200,508 | GBP | 147,000 | Morgan Stanley & Co. International | 10/4/21 | 2,440 |
USD | 401,024 | GBP | 295,000 | Morgan Stanley & Co. International | 10/4/21 | 3,541 |
USD | 10,539,083 | JPY | 1,155,023,631 | Morgan Stanley & Co. International | 10/4/21 | 161,046 |
USD | 2,914,356 | NZD | 4,135,000 | JPMorgan Chase Bank N.A. | 10/4/21 | 59,759 |
USD | 2,868,619 | NZD | 4,135,000 | Morgan Stanley & Co. International | 11/2/21 | 14,497 |
USD | 1,069,233 | PEN | 4,228,387 | Bank of America N.A.* | 11/3/21 | 47,278 |
Total Unrealized Appreciation | 2,120,912 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
DKK | 27,430,976 | USD | 4,316,440 | Bank of America N.A. | 10/1/21 | $ (43,702) |
DKK | 2,095,000 | USD | 333,467 | Morgan Stanley & Co. International | 10/1/21 | (7,143) |
DKK | 39,387,038 | USD | 6,200,613 | Morgan Stanley & Co. International | 10/1/21 | (65,560) |
DKK | 42,539,306 | USD | 6,681,248 | Morgan Stanley & Co. International | 10/1/21 | (55,188) |
GBP | 8,167,000 | USD | 11,042,956 | Bank of America N.A. | 10/4/21 | (38,740) |
IDR | 2,397,694,538 | USD | 166,982 | JPMorgan Chase Bank N.A. | 11/15/21 | (179) |
IDR | 4,796,445,686 | USD | 333,689 | JPMorgan Chase Bank N.A. | 11/15/21 | (10) |
IDR | 8,245,484,390 | USD | 573,001 | JPMorgan Chase Bank N.A. | 12/15/21 | (1,094) |
NZD | 4,135,000 | USD | 2,869,090 | Morgan Stanley & Co. International | 10/4/21 | (14,493) |
SEK | 9,845,000 | USD | 1,137,753 | Morgan Stanley & Co. International | 11/17/21 | (12,819) |
USD | 1,149,500 | AUD | 1,594,000 | BNP Paribas S.A. | 10/5/21 | (2,887) |
USD | 10,374,448 | JPY | 1,155,023,631 | Morgan Stanley & Co. International | 11/2/21 | (5,664) |
Total Unrealized Depreciation | (247,479) | |||||
Net Unrealized Appreciation | $ 1,873,433 |
* | Non-deliverable forward. |
1. | Foreign Currency Forward Contracts are subject to limitations such that they cannot be “sold or repurchased,” although the Portfolio would be able to exit the transaction through other means, such as through the execution of an offsetting transaction. |
Futures Contracts
As of September 30, 2021, the Portfolio held the following futures contracts1:
Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 |
Long Contracts | |||||
Euro-Bund | 114 | December 2021 | $ 22,744,393 | $ 22,425,054 | $ (319,339) |
U.S. Treasury 5 Year Notes | 857 | December 2021 | 105,780,430 | 105,190,055 | (590,375) |
Total Long Contracts | (909,714) | ||||
Short Contracts | |||||
Australia 3 Year Bond | (13) | December 2021 | (1,095,730) | (1,094,326) | 1,404 |
Australia 10 Year Bonds | (7) | December 2021 | (728,211) | (715,943) | 12,268 |
Euro-Bobl | (154) | December 2021 | (24,201,717) | (24,069,609) | 132,108 |
Euro-BTP | (8) | December 2021 | (1,054,801) | (1,053,728) | 1,073 |
Euro-BTP | (60) | December 2021 | (10,672,542) | (10,560,677) | 111,865 |
Euro-Buxl | (67) | December 2021 | (16,200,187) | (15,781,106) | 419,081 |
Euro-Schatz | (816) | December 2021 | (106,153,728) | (106,057,692) | 96,036 |
Japan 10 Year Bonds | (8) | December 2021 | (10,912,975) | (10,880,633) | 32,342 |
Long Gilt | (48) | December 2021 | (8,244,787) | (8,094,101) | 150,686 |
U.S. Treasury 2 Year Notes | (61) | December 2021 | (13,430,438) | (13,423,336) | 7,102 |
U.S. Treasury 10 Year Notes | (149) | December 2021 | (19,886,228) | (19,609,797) | 276,431 |
U.S. Treasury 10 Year Ultra Bonds | (160) | December 2021 | (23,700,384) | (23,240,000) | 460,384 |
U.S. Treasury Long Bonds | (51) | December 2021 | (8,337,630) | (8,120,156) | 217,474 |
U.S. Treasury Ultra Bonds | (65) | December 2021 | (12,773,512) | (12,419,062) | 354,450 |
Total Short Contracts | 2,272,704 | ||||
Net Unrealized Appreciation | $ 1,362,990 |
1. | As of September 30, 2021, cash in the amount of $778,000 was on deposit with a broker or futures commission merchant for futures transactions. |
2. | Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2021. |
Purchased Options on Futures Contracts
Description | Counterparty | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Premiums Paid (Received) | Market Value | |
Call-Euro-Schatz | Barclays Capital, Inc. | $ 113.40 | 11/26/21 | 290 | EUR 29,000,000 | $ 1,972 | $ 1,680 |
Purchased Swaptions
Description | Counterparty | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Premiums Paid (Received) | Market Value | |
Call-30-Year Interest Rate Swap | Morgan Stanley Capital Services LLC | $ 0.19 | 11/2/22 | 1,400,000 | EUR 1,400,000 | $ 102,108 | $ 200,368 |
Written Inflation-Capped Options
Description | Counterparty | Initial Index | Floating Rate | Expiration Date | Number of Contracts | Notional Amount | Premiums Paid (Received) | Market Value | |
Call-Cap-OTC USA Non-Revised Consumer Price Index- Urban (CPI-U), American Style -Call | JPMorgan Chase Bank N.A. | $ 238.643 | Maximum of [0, Final Index/Initial Index - (1 + 4.00%10)] | 5/16/24 | (300,000) | $ (300,000) | $ (547) | $ (8,597) |
Written Options
Description | Counterparty | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Premiums Paid (Received) | Market Value | |
Put-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | $ 102.43 | 10/14/21 | (300,000) | $ (300,000) | $ (609) | $ (133) | |
Put-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 100.67 | 10/7/21 | (100,000) | (100,000) | (352) | (466) | |
Put-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 103.99 | 12/6/21 | (300,000) | (300,000) | (516) | (568) | |
$(1,477) | $(1,167) |
Description | Counterparty | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Premiums Paid (Received) | Market Value | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | $ 103.73 | 10/7/21 | (150,000) | $ (150,000) | $ (422) | $ (13) | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 103.77 | 10/7/21 | (150,000) | (150,000) | (428) | (10) | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 103.91 | 10/7/21 | (100,000) | (100,000) | (246) | (2) | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 104.32 | 10/7/21 | (200,000) | (200,000) | (359) | — | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 101.19 | 10/7/21 | (100,000) | (100,000) | (672) | (5) | |
Call-Federal National Mortgage Association | Bank of America N.A. | 101.58 | 11/3/21 | (200,000) | (200,000) | (828) | (73) | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 103.37 | 11/3/21 | (500,000) | (500,000) | (2,344) | (895) | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 101.34 | 11/3/21 | (100,000) | (100,000) | (375) | (66) | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 101.55 | 11/3/21 | (100,000) | (100,000) | (340) | (39) | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 101.47 | 11/3/21 | (100,000) | (100,000) | (312) | (47) | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 101.56 | 11/3/21 | (100,000) | (100,000) | (281) | (38) | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 101.53 | 11/3/21 | (100,000) | (100,000) | (289) | (41) | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 101.69 | 10/7/21 | (400,000) | (400,000) | (812) | — | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 101.73 | 10/7/21 | (200,000) | (200,000) | (281) | — | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 102.67 | 10/7/21 | (100,000) | (100,000) | (227) | — | |
Call-Federal National Mortgage Association | JPMorgan Chase Bank N.A. | 100.22 | 11/3/21 | (400,000) | (400,000) | (1,469) | (1,699) | |
$(9,685) | $(2,928) |
Written Swaptions
Description | Counterparty | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Premiums Paid (Received) | Market Value | |
Put-10-Year Interest Rate Swap | Morgan Stanley Capital Services LLC | $ 0.10 | 11/2/22 | (4,200,000) | EUR (4,200,000) | $ (101,882) | $ (190,693) | |
Put-Sold Protection on 5-Year Credit Default Swap | Bank of America N.A. | 0.80 | 11/17/21 | (800,000) | $ (800,000) | (712) | (217) | |
Put-Sold Protection on 5-Year Credit Default Swap | Bank of America N.A. | 102.00 | 11/17/21 | (200,000) | (200,000) | (950) | (266) | |
Put-Sold Protection on 5-Year Credit Default Swap | Morgan Stanley & Co., LLC | 0.75 | 11/17/21 | (4,500,000) | (4,500,000) | (4,500) | (1,465) | |
Put-Sold Protection on 5-Year Credit Default Swap | Bank of America N.A. | 0.70 | 11/17/21 | (1,200,000) | (1,200,000) | (1,392) | (492) | |
Put-Sold Protection on 5-Year Credit Default Swap | Morgan Stanley & Co., LLC | 0.75 | 12/15/21 | (3,000,000) | (3,000,000) | (3,130) | (1,962) | |
Put-Sold Protection on 5-Year Credit Default Swap | Bank of America N.A. | 70.00 | 12/15/21 | (400,000) | EUR (400,000) | (451) | (260) | |
Put-Sold Protection on 5-Year Credit Default Swap | Morgan Stanley & Co., LLC | 0.80 | 12/15/21 | (1,000,000) | $ (1,000,000) | (940) | (560) | |
$(113,957) | $(195,915) |
Swap Contracts
As of September 30, 2021, the Portfolio held the following centrally cleared interest swap agreements1:
Notional Amount | Currency | Expiration Date | Payments made by Portfolio | Payments Received by Portfolio | Payment Frequency Paid/Received | Upfront Premiums Paid/ (Received) | Value | Unrealized Appreciation/ (Depreciation) | ||
$ 14,000,000 | JPY | 9/21/27 | Fixed 0.30% | 6 month USD LIBOR | Semi-Annually/Semi-Annually | $ (2,416) | $ (1,968) | $ 448 | ||
1,600,000 | NZD | 3/21/28 | Fixed 3.25% | 3 month NZD BBR | Semi-Annually/Quarterly | (112,861) | (83,785) | 29,076 | ||
50,000,000 | JPY | 3/21/28 | Fixed 0.30% | 6 month USD LIBOR | Semi-Annually/Semi-Annually | (9,190) | (7,413) | 1,777 | ||
106,980,000 | JPY | 3/21/29 | Fixed 0.45% | 6 month USD LIBOR | Semi-Annually/Semi-Annually | (32,578) | (27,899) | 4,679 | ||
$ (157,045) | $ (121,065) | $ 35,980 |
As of September 30, 2021, the Portfolio held the following centrally cleared inflation swap agreements1:
Notional Amount | Currency | Expiration Date | Payments Made by Portfolio | Payments Received by Portfolio | Payment Frequency Paid/ Received | Upfront Premiums Paid/ (Received) | Value | Unrealized Appreciation/ (Depreciation) | ||
$ 6,800,000 | GBP | 1/15/25 | 1 Month UK RPI | Fixed 3.33% | At Maturity | $ 7,988 | $ (304,000) | $ (311,988) | ||
1,100,000 | EUR | 7/15/22 | Fixed 0.33% | 1-Month EUR-CPI | At Maturity | 28,986 | 53,407 | 24,421 | ||
770,000 | USD | 5/9/28 | 1 Month USD-CPI | Fixed 2.36% | At Maturity | (8,876) | (26,551) | (17,675) | ||
1,100,000 | USD | 4/27/23 | Fixed 2.263% | 1 Month USD-CPI | At Maturity | 14,249 | 28,210 | 13,961 | ||
2,800,000 | GBP | 1/15/30 | 1 Month UK RPI | Fixed 3.39% | At Maturity | (73,192) | (254,648) | (181,456) | ||
3,100,000 | GBP | 8/15/25 | 1 Month UK RPI | Fixed 3.473% | At Maturity | (52,513) | (200,655) | (148,142) | ||
200,000 | EUR | 3/15/33 | Fixed 1.71% | 1-Month EUR-CPI | At Maturity | (11,539) | (172) | 11,367 | ||
510,000 | USD | 5/9/23 | Fixed 2.263% | 1 Month USD-CPI | At Maturity | 6,913 | 13,303 | 6,390 | ||
1,800,000 | USD | 1/21/22 | 1 Month USD-CPI | Fixed 2.2% | At Maturity | (32,631) | (62,845) | (30,214) | ||
1,100,000 | USD | 1/19/22 | 1 Month USD-CPI | Fixed 2.155% | At Maturity | (20,098) | (38,834) | (18,736) | ||
3,460,000 | GBP | 6/15/30 | 1 Month UK RPI | Fixed 3.4% | At Maturity | 109,620 | (147,955) | (257,575) | ||
1,000,000 | EUR | 3/15/28 | 1-Month EUR-CPI | Fixed 1.535% | At Maturity | 24,871 | (14,357) | (39,228) | ||
800,000 | EUR | 6/15/27 | 1-Month EUR-CPI | Fixed 1.36% | At Maturity | 3,347 | (26,481) | (29,828) | ||
2,500,000 | EUR | 5/15/22 | Fixed 0.09% | 1-Month EUR-CPI | At Maturity | 59,989 | 122,457 | 62,468 | ||
1,100,000 | GBP | 3/15/22 | 1 Month UK RPI | Fixed 3.22% | At Maturity | (15,311) | (44,009) | (28,698) | ||
4,500,000 | EUR | 3/15/31 | 1-Month EUR-CPI | Fixed 1.38% | At Maturity | (144,994) | (360,989) | (215,995) | ||
2,800,000 | EUR | 3/15/24 | Fixed 1.03% | 1 month FRCPI | At Maturity | (16,089) | 34,064 | 50,153 | ||
510,000 | USD | 5/9/28 | 1 Month USD-CPI | Fixed 2.353% | At Maturity | (6,309) | (18,025) | (11,716) | ||
2,200,000 | USD | 5/13/26 | Fixed 2.768% | 1 Month USD-CPI | At Maturity | 11,169 | 48,163 | 36,994 | ||
2,700,000 | USD | 3/5/26 | Fixed 2.419% | 1 Month USD-CPI | At Maturity | 71,130 | 118,915 | 47,785 | ||
5,400,000 | USD | 2/26/26 | Fixed 2.314% | 1 Month USD-CPI | At Maturity | 172,536 | 269,299 | 96,763 | ||
900,000 | USD | 2/1/22 | 1 Month USD-CPI | Fixed 2.17% | At Maturity | (17,070) | (31,993) | (14,923) | ||
5,500,000 | USD | 2/4/22 | 1 Month USD-CPI | Fixed 2.155% | At Maturity | (105,215) | (196,041) | (90,826) | ||
4,100,000 | USD | 1/19/22 | 1 Month USD-CPI | Fixed 2.18% | At Maturity | (74,296) | (143,719) | (69,423) | ||
1,200,000 | USD | 2/5/22 | 1 Month USD-CPI | Fixed 2.2% | At Maturity | (22,641) | (42,211) | (19,570) | ||
2,200,000 | USD | 5/19/30 | 1 Month USD-CPI | Fixed 1.28% | At Maturity | (297,409) | (359,279) | (61,870) | ||
1,250,000 | USD | 5/25/26 | Fixed 2.703% | 1 Month USD-CPI | At Maturity | 9,195 | 30,548 | 21,353 | ||
2,090,000 | GBP | 4/15/31 | 1 Month UK RPI | Fixed 3.75% | At Maturity | (24,794) | (161,060) | (136,266) | ||
2,600,000 | USD | 11/4/29 | 1 Month USD-CPI | Fixed 1.76% | At Maturity | (217,092) | (287,422) | (70,330) | ||
500,000 | USD | 6/1/26 | Fixed 2.69% | 1 Month USD-CPI | At Maturity | 3,707 | 12,302 | 8,595 | ||
800,000 | GBP | 3/15/36 | 1 Month UK RPI | Fixed 3.58% | At Maturity | (23,671) | (91,764) | (68,093) | ||
780,000 | USD | 5/10/23 | Fixed 2.281% | 1 Month USD-CPI | At Maturity | 9,937 | 19,599 | 9,662 | ||
600,000 | GBP | 3/15/36 | 1 Month UK RPI | Fixed 3.566% | At Maturity | (20,268) | (71,224) | (50,956) | ||
1,000,000 | USD | 5/14/26 | Fixed 2.813% | 1 Month USD-CPI | At Maturity | 2,632 | 19,368 | 16,736 | ||
2,200,000 | GBP | 9/15/24 | 1 Month UK RPI | Fixed 3.85% | At Maturity | 106,973 | 11,775 | (95,198) | ||
300,000 | USD | 8/26/28 | Fixed 2.573% | 1 Month USD-CPI | At Maturity | — | 3,688 | 3,688 | ||
500,000 | USD | 9/10/28 | Fixed 2.645% | 1 Month USD-CPI | At Maturity | — | 2,044 | 2,044 | ||
700,000 | GBP | 9/15/31 | 1 Month UK RPI | Fixed 4.066% | At Maturity | — | 5,203 | 5,203 | ||
$ (540,766) | $ (2,091,889) | $ (1,551,123) |
As of September 30, 2021, the Portfolio held the following centrally cleared credit default swap contracts1:
Reference Entity | Termination Date | Buy/Sell Protection2 | Notional Amount (000)3 | (Pay)/ Receive Fixed Rate4 | Payment Frequency Paid/ Received | Upfront Premiums Paid/ (Received) | Value | Unrealized Appreciation/ (Depreciation)5 | ||
General Electric Co. | 12/20/2023 | Sell | $ 100 | 1.00% | Quarterly | $ 1,390 | $ 1,446 | $ 56 |
1. | As of September 30, 2021, cash in the amount of $125,000 was on deposit with a broker for centrally cleared swap agreements. |
2. | Sell—Portfolio receives premium and sells credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
3. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
4. | The annual fixed rate represents the interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) annually on the notional amount of the credit default swap contract. |
5. | Represents the difference between the value of the credit default swap contracts at the time they were opened and the value at September 30, 2021. |
Abbreviation(s): |
ARS—Argentina Peso |
AUD—Australia Dollar |
BADLARPP—Average rate on 30-day deposits of at least 1 million Argentinian Pesos |
BTP—Buoni del Tesoro Poliennali (Eurex Exchange index) |
CAD—Canada Dollar |
CNY—China Yuan Renminbi |
DKK—Denmark Krone |
EUR—Euro |
EURIBOR—Euro Interbank Offered Rate |
FHLMC—Federal Home Loan Mortgage Corp. |
FNMA—Federal National Mortgage Association |
GBP—British Pound Sterling |
GNMA—Government National Mortgage Association |
IDR—Indonesia Rupiah |
JPY—Japanese Yen |
LIBOR—London Interbank Offered Rate |
NOK—Norway Krone |
NZD—New Zealand Dollar |
PEN—Peru Nuevo Sol |
REMIC—Real Estate Mortgage Investment Conduit |
SEK—Sweden Krona |
SOFR—Secured Overnight Financing Rate |
TBA—To Be Announced |
TBD—To Be Determined |
UMBS—Uniform Mortgage Backed Securities |
USD—United States Dollar |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets and liabilities:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Long-Term Bonds | |||||||
Asset-Backed Securities | $ — | $ 45,540,290 | $ — | $ 45,540,290 | |||
Corporate Bonds | — | 27,528,723 | — | 27,528,723 | |||
Foreign Government Bonds | — | 57,716,657 | — | 57,716,657 | |||
Mortgage-Backed Securities | — | 27,050,349 | — | 27,050,349 | |||
U.S. Government & Federal Agencies | — | 584,067,227 | — | 584,067,227 | |||
Total Long-Term Bonds | — | 741,903,246 | — | 741,903,246 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 2,133,487 | — | — | 2,133,487 | |||
Unaffiliated Investment Company | 94,500 | — | — | 94,500 | |||
Total Short-Term Investments | 2,227,987 | — | — | 2,227,987 | |||
Total Investments in Securities | 2,227,987 | 741,903,246 | — | 744,131,233 | |||
Other Financial Instruments | |||||||
Foreign Currency Forward Contracts (b) | — | 2,120,912 | — | 2,120,912 | |||
Futures Contracts (b) | 2,272,704 | — | — | 2,272,704 | |||
Purchased Options | 1,680 | 200,368 | — | 202,048 | |||
Interest Rate Swaps (b) | — | 35,980 | — | 35,980 | |||
Credit Default Swaps (b) | — | 56 | — | 56 | |||
Inflation Swap Contracts (b) | — | 417,583 | — | 417,583 | |||
Total Other Financial Instruments | 2,272,412 | 2,672,791 | — | 4,945,203 | |||
Total Investments in Securities and Other Financial Instruments | $ 4,500,691 | $ 744,477,777 | $ — | $ 748,978,468 | |||
Liability Valuation Inputs | |||||||
Written Options | $ — | $ (208,607) | $ — | $ (208,607) | |||
Other Financial Instruments (b) | |||||||
Foreign Currency Forward Contracts | — | (247,479) | — | (247,479) | |||
Futures Contracts | (909,714) | — | — | (909,714) | |||
Inflation Swap Contracts | — | (1,968,706) | — | (1,968,706) | |||
Total Other Financial Instruments | (909,714) | (2,216,185) | — | (3,125,899) | |||
Total Investments in Securities and Other Financial Instruments | $ (909,714) | $ (2,424,792) | $ — | $ (3,334,506) |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
(b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
Sale-Buyback Transactions:
Counterparty | Borrowing Rate (a) | Borrowing Date | Maturity Date | Amount Borrowed (a) | Payable for Sale-Buyback Transcations (b) | |
Credit Suisse AG | 0.05% | 9/28/2021 | 10/1/2021 | $ 2,187,583 | $ 2,187,583 | |
Credit Suisse AG | 0.05 | 9/28/2021 | 10/1/2021 | 1,570,916 | 1,570,916 | |
Morgan Stanley & Co. LLC. | 0.07 | 9/30/2021 | 10/1/2021 | 23,636,711 | 23,636,711 | |
Nomura Securities International, Inc. | 0.08 | 9/30/2021 | 10/1/2021 | 114,674 | 114,674 | |
BNP Paribas S.A. | 0.09 | 9/24/2021 | 10/4/2021 | 24,397,121 | 24,402,619 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 15,194,058 | 15,199,143 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 18,323,503 | 18,328,560 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 10,512,627 | 10,515,128 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 16,862,753 | 16,866,185 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 20,679,181 | 20,683,252 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 19,397,816 | 19,401,813 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 12,853,108 | 12,856,097 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 20,431,158 | 20,435,853 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 24,203,067 | 24,207,601 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 13,140,678 | 13,143,267 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 10,963,580 | 10,965,990 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 10,706,745 | 10,708,745 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 14,362,234 | 14,365,085 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 17,476,380 | 17,479,950 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 20,003,021 | 20,007,464 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 11,619,612 | 11,621,779 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 24,024,251 | 24,028,612 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 14,742,918 | 14,745,574 | |
BNP Paribas S.A. | 0.09 | 9/27/2021 | 10/4/2021 | 10,892,821 | 10,894,823 | |
BofA Securities, Inc. | 0.08 | 9/13/2021 | 10/5/2021 | 24,814,480 | 24,826,814 | |
BofA Securities, Inc. | 0.08 | 9/13/2021 | 10/5/2021 | 1,955,359 | 1,955,709 | |
BofA Securities, Inc. | 0.08 | 9/13/2021 | 10/5/2021 | 11,784,277 | 11,791,353 | |
BofA Securities, Inc. | 0.08 | 9/13/2021 | 10/5/2021 | 29,677,493 | 29,694,547 | |
BofA Securities, Inc. | 0.08 | 9/13/2021 | 10/5/2021 | 46,141,487 | 46,167,709 | |
Barclays Capital, Inc. | (0.03) | 9/22/2021 | 10/6/2021 | 10,682,018 | 10,688,444 | |
Barclays Capital, Inc. | 0.03 | 9/16/2021 | 10/7/2021 | 13,203,208 | 13,212,846 | |
$ 496,554,838 | $ 496,704,846 |
(a) During the period ended September 30, 2021, the Portfolio’s average amount of borrowing was $156,716,938 at a weighted average interest rate of 0.09%.
(b) Payable for sale-buyback transactions includes $150,008 of deferred price drop.
MainStay VP Small Cap Growth Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Common Stocks 95.8% | ||
Aerospace & Defense 2.0% | ||
AeroVironment, Inc. (a) | 21,376 | $ 1,845,176 |
Hexcel Corp. (a) | 61,835 | 3,672,381 |
Kratos Defense & Security Solutions, Inc. (a) | 184,068 | 4,106,557 |
Mercury Systems, Inc. (a) | 33,088 | 1,569,033 |
11,193,147 | ||
Auto Components 0.7% | ||
Fox Factory Holding Corp. (a) | 28,759 | 4,156,826 |
Banks 1.4% | ||
Eagle Bancorp, Inc. | 46,929 | 2,698,417 |
Prosperity Bancshares, Inc. | 77,090 | 5,483,412 |
8,181,829 | ||
Biotechnology 5.7% | ||
Abcam plc, Sponsored ADR (a) | 67,290 | 1,363,968 |
Acceleron Pharma, Inc. (a) | 16,135 | 2,776,834 |
Amicus Therapeutics, Inc. (a) | 116,382 | 1,111,448 |
Ascendis Pharma A/S, ADR (a) | 12,236 | 1,950,296 |
Biohaven Pharmaceutical Holding Co. Ltd. (a) | 33,748 | 4,687,935 |
Blueprint Medicines Corp. (a) | 52,796 | 5,427,957 |
Fate Therapeutics, Inc. (a) | 58,131 | 3,445,424 |
Natera, Inc. (a) | 49,780 | 5,547,483 |
Neurocrine Biosciences, Inc. (a) | 26,622 | 2,553,316 |
Turning Point Therapeutics, Inc. (a) | 30,877 | 2,051,159 |
Xencor, Inc. (a) | 54,465 | 1,778,827 |
32,694,647 | ||
Building Products 2.2% | ||
AZEK Co., Inc. (The) (a) | 184,170 | 6,727,730 |
Trex Co., Inc. (a) | 55,693 | 5,676,788 |
12,404,518 | ||
Capital Markets 2.3% | ||
Evercore, Inc., Class A | 17,201 | 2,299,258 |
Focus Financial Partners, Inc., Class A (a) | 50,453 | 2,642,224 |
Hamilton Lane, Inc., Class A | 33,088 | 2,806,524 |
Houlihan Lokey, Inc. | 31,451 | 2,896,637 |
StepStone Group, Inc., Class A | 60,066 | 2,561,214 |
13,205,857 | ||
Chemicals 3.5% | ||
Avient Corp. | 62,491 | 2,896,458 |
HB Fuller Co. | 53,734 | 3,469,067 |
Ingevity Corp. (a) | 41,196 | 2,940,158 |
Innospec, Inc. | 19,657 | 1,655,513 |
Livent Corp. (a) | 243,389 | 5,624,720 |
Quaker Chemical Corp. | 15,821 | 3,760,968 |
20,346,884 |
Shares | Value | |
Common Stocks | ||
Commercial Services & Supplies 4.8% | ||
IAA, Inc. (a) | 121,988 | $ 6,656,885 |
Montrose Environmental Group, Inc. (a) | 32,453 | 2,003,648 |
MSA Safety, Inc. | 17,656 | 2,572,479 |
Ritchie Bros Auctioneers, Inc. | 54,131 | 3,337,718 |
Tetra Tech, Inc. | 36,804 | 5,496,310 |
Waste Connections, Inc. | 58,596 | 7,378,994 |
27,446,034 | ||
Communications Equipment 0.5% | ||
Infinera Corp. (a) | 315,133 | 2,621,907 |
Construction & Engineering 0.9% | ||
Ameresco, Inc., Class A (a) | 63,081 | 3,685,823 |
Valmont Industries, Inc. | 6,268 | 1,473,732 |
5,159,555 | ||
Consumer Finance 0.2% | ||
LendingTree, Inc. (a) | 9,094 | 1,271,614 |
Diversified Consumer Services 3.0% | ||
Bright Horizons Family Solutions, Inc. (a) | 84,093 | 11,724,246 |
Chegg, Inc. (a) | 31,398 | 2,135,692 |
Terminix Global Holdings, Inc. (a) | 74,488 | 3,103,915 |
16,963,853 | ||
Diversified Telecommunication Services 1.5% | ||
Cogent Communications Holdings, Inc. | 120,458 | 8,533,245 |
Electrical Equipment 0.4% | ||
TPI Composites, Inc. (a) | 69,872 | 2,358,180 |
Electronic Equipment, Instruments & Components 1.4% | ||
908 Devices, Inc. (a)(b) | 45,134 | 1,467,758 |
Littelfuse, Inc. | 11,604 | 3,171,025 |
Novanta, Inc. (a) | 22,115 | 3,416,767 |
8,055,550 | ||
Energy Equipment & Services 0.3% | ||
Cactus, Inc., Class A | 45,868 | 1,730,141 |
Entertainment 1.1% | ||
Zynga, Inc., Class A (a) | 817,641 | 6,156,837 |
Equity Real Estate Investment Trusts 2.0% | ||
Americold Realty Trust | 57,168 | 1,660,730 |
DigitalBridge Group, Inc. (a)(b) | 240,329 | 1,449,184 |
EastGroup Properties, Inc. | 27,329 | 4,553,831 |
Shares | Value | |
Common Stocks | ||
Equity Real Estate Investment Trusts | ||
Terreno Realty Corp. | 55,739 | $ 3,524,377 |
11,188,122 | ||
Food & Staples Retailing 0.8% | ||
Casey's General Stores, Inc. | 25,064 | 4,723,311 |
Food Products 0.7% | ||
Simply Good Foods Co. (The) (a) | 124,869 | 4,306,732 |
Health Care Equipment & Supplies 5.6% | ||
Cardiovascular Systems, Inc. (a) | 58,560 | 1,922,525 |
CONMED Corp. | 39,055 | 5,109,566 |
Establishment Labs Holdings, Inc. (a) | 56,792 | 4,065,171 |
Globus Medical, Inc., Class A (a) | 69,942 | 5,358,956 |
Inari Medical, Inc. (a) | 36,290 | 2,943,119 |
Integra LifeSciences Holdings Corp. (a) | 35,465 | 2,428,643 |
LivaNova plc (a) | 24,080 | 1,906,895 |
Nevro Corp. (a) | 12,748 | 1,483,612 |
OrthoPediatrics Corp. (a) | 36,280 | 2,376,703 |
SI-BONE, Inc. (a) | 79,248 | 1,697,492 |
Silk Road Medical, Inc. (a) | 55,858 | 3,073,866 |
32,366,548 | ||
Health Care Providers & Services 5.2% | ||
Accolade, Inc. (a) | 44,273 | 1,866,992 |
Addus HomeCare Corp. (a) | 36,446 | 2,906,569 |
agilon health, Inc. (a) | 123,830 | 3,245,584 |
Alignment Healthcare, Inc. (a)(b) | 57,816 | 923,900 |
Amedisys, Inc. (a) | 23,587 | 3,516,822 |
Castle Biosciences, Inc. (a) | 41,355 | 2,750,108 |
Encompass Health Corp. | 38,538 | 2,891,892 |
HealthEquity, Inc. (a) | 51,311 | 3,322,900 |
LifeStance Health Group, Inc. (a)(b) | 65,870 | 955,115 |
Oak Street Health, Inc. (a)(b) | 33,163 | 1,410,422 |
Option Care Health, Inc. (a) | 145,932 | 3,540,310 |
Progyny, Inc. (a) | 48,344 | 2,707,264 |
30,037,878 | ||
Health Care Technology 3.2% | ||
Inspire Medical Systems, Inc. (a) | 26,289 | 6,122,182 |
Omnicell, Inc. (a) | 37,593 | 5,579,929 |
Phreesia, Inc. (a) | 46,377 | 2,861,461 |
Vocera Communications, Inc. (a) | 79,032 | 3,616,504 |
18,180,076 | ||
Hotels, Restaurants & Leisure 3.9% | ||
Choice Hotels International, Inc. | 21,692 | 2,741,218 |
Churchill Downs, Inc. | 45,485 | 10,920,039 |
Shares | Value | |
Common Stocks | ||
Hotels, Restaurants & Leisure | ||
MakeMyTrip Ltd. (a) | 90,005 | $ 2,447,236 |
Shake Shack, Inc., Class A (a) | 36,913 | 2,896,194 |
Wingstop, Inc. | 21,875 | 3,585,968 |
22,590,655 | ||
Household Durables 0.6% | ||
TopBuild Corp. (a) | 17,562 | 3,596,873 |
Insurance 3.5% | ||
Goosehead Insurance, Inc., Class A | 64,324 | 9,795,902 |
Palomar Holdings, Inc. (a) | 41,597 | 3,362,285 |
Selectquote, Inc. (a) | 207,106 | 2,677,881 |
Trupanion, Inc. (a) | 51,498 | 3,999,850 |
19,835,918 | ||
Interactive Media & Services 1.3% | ||
Angi, Inc. (a) | 310,135 | 3,827,066 |
Eventbrite, Inc., Class A (a) | 157,310 | 2,974,732 |
Vimeo, Inc. (a) | 30,592 | 898,487 |
7,700,285 | ||
Internet & Direct Marketing Retail 0.4% | ||
Revolve Group, Inc. (a) | 36,708 | 2,267,453 |
IT Services 6.4% | ||
Endava plc, Sponsored ADR (a) | 67,351 | 9,149,633 |
Evo Payments, Inc., Class A (a) | 178,880 | 4,235,878 |
Genpact Ltd. | 182,502 | 8,670,670 |
Globant SA (a) | 14,874 | 4,179,743 |
Maximus, Inc. | 45,291 | 3,768,211 |
Shift4 Payments, Inc., Class A (a) | 54,358 | 4,213,832 |
WEX, Inc. (a) | 13,433 | 2,366,089 |
36,584,056 | ||
Leisure Products 1.3% | ||
Callaway Golf Co. (a) | 172,434 | 4,764,351 |
Clarus Corp. | 95,327 | 2,443,231 |
7,207,582 | ||
Life Sciences Tools & Services 4.0% | ||
Adaptive Biotechnologies Corp. (a) | 59,377 | 2,018,224 |
Bruker Corp. | 48,872 | 3,816,903 |
Charles River Laboratories International, Inc. (a) | 23,335 | 9,629,655 |
NanoString Technologies, Inc. (a) | 38,908 | 1,867,973 |
NeoGenomics, Inc. (a) | 115,737 | 5,583,153 |
22,915,908 | ||
Machinery 1.6% | ||
IDEX Corp. | 6,091 | 1,260,532 |
Shares | Value | |
Common Stocks | ||
Machinery | ||
John Bean Technologies Corp. | 41,174 | $ 5,787,006 |
Proto Labs, Inc. (a) | 10,131 | 674,725 |
Rexnord Corp. | 246 | 15,815 |
Woodward, Inc. | 14,690 | 1,662,908 |
9,400,986 | ||
Media 0.4% | ||
New York Times Co. (The), Class A | 44,718 | 2,203,256 |
Multiline Retail 0.3% | ||
Ollie's Bargain Outlet Holdings, Inc. (a) | 31,154 | 1,877,963 |
Pharmaceuticals 1.3% | ||
Catalent, Inc. (a) | 44,290 | 5,893,670 |
Pacira BioSciences, Inc. (a) | 33,088 | 1,852,928 |
7,746,598 | ||
Professional Services 3.2% | ||
ASGN, Inc. (a) | 30,059 | 3,400,875 |
FTI Consulting, Inc. (a) | 28,579 | 3,849,592 |
Huron Consulting Group, Inc. (a) | 49,386 | 2,568,072 |
ManTech International Corp., Class A | 37,673 | 2,860,134 |
Upwork, Inc. (a) | 125,970 | 5,672,429 |
18,351,102 | ||
Road & Rail 1.1% | ||
Knight-Swift Transportation Holdings, Inc. | 37,024 | 1,893,778 |
Saia, Inc. (a) | 17,937 | 4,269,544 |
6,163,322 | ||
Semiconductors & Semiconductor Equipment 5.5% | ||
CMC Materials, Inc. | 28,407 | 3,500,595 |
Entegris, Inc. | 36,499 | 4,595,224 |
Lattice Semiconductor Corp. (a) | 71,579 | 4,627,582 |
Onto Innovation, Inc. (a) | 63,884 | 4,615,619 |
Power Integrations, Inc. | 37,676 | 3,729,547 |
Silicon Laboratories, Inc. (a) | 47,065 | 6,596,630 |
SiTime Corp. (a) | 18,033 | 3,681,798 |
31,346,995 | ||
Software 9.6% | ||
Anaplan, Inc. (a) | 75,647 | 4,606,146 |
Blackline, Inc. (a) | 28,582 | 3,374,391 |
Couchbase, Inc. (a) | 14,325 | 445,651 |
Dynatrace, Inc. (a) | 56,667 | 4,021,657 |
Envestnet, Inc. (a) | 91,589 | 7,349,101 |
Everbridge, Inc. (a) | 26,304 | 3,972,956 |
Mimecast Ltd. (a) | 39,870 | 2,535,732 |
Shares | Value | ||
Common Stocks | |||
Software | |||
nCino, Inc. (a) | 60,808 | $ 4,319,192 | |
Nuance Communications, Inc. (a) | 56,948 | 3,134,418 | |
PROS Holdings, Inc. (a) | 52,044 | 1,846,521 | |
Sprout Social, Inc., Class A (a) | 49,866 | 6,081,159 | |
Sumo Logic, Inc. (a) | 46,310 | 746,517 | |
Workiva, Inc. (a) | 66,538 | 9,379,197 | |
Zuora, Inc., Class A (a) | 182,406 | 3,024,291 | |
54,836,929 | |||
Specialty Retail 1.3% | |||
Leslie's, Inc. (a) | 166,335 | 3,416,521 | |
National Vision Holdings, Inc. (a) | 71,296 | 4,047,474 | |
7,463,995 | |||
Trading Companies & Distributors 0.7% | |||
SiteOne Landscape Supply, Inc. (a) | 21,331 | 4,254,895 | |
Total Common Stocks (Cost $382,999,895) | 549,628,062 | ||
Short-Term Investments 4.8% | |||
Affiliated Investment Company 4.3% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (c) | 24,324,435 | 24,324,435 | |
Unaffiliated Investment Company 0.5% | |||
Wells Fargo Government Money Market Fund, 0.025% (c)(d) | 3,071,560 | 3,071,560 | |
Total Short-Term Investments (Cost $27,395,995) | 27,395,995 | ||
Total Investments (Cost $410,395,890) | 100.6% | 577,024,057 | |
Other Assets, Less Liabilities | (0.6) | (3,679,538) | |
Net Assets | 100.0% | $ 573,344,519 |
† | Percentages indicated are based on Portfolio net assets. |
(a) | Non-income producing security. |
(b) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $4,163,357; the total market value of collateral held by the Portfolio was $4,357,670. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $1,286,110. The Portfolio received cash collateral with a value of $3,071,560. |
(c) | Current yield as of September 30, 2021. |
(d) | Represents a security purchased with cash collateral received for securities on loan. |
Abbreviation(s): |
ADR—American Depositary Receipt |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Common Stocks | $ 549,628,062 | $ — | $ — | $ 549,628,062 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 24,324,435 | — | — | 24,324,435 | |||
Unaffiliated Investment Company | 3,071,560 | — | — | 3,071,560 | |||
Total Short-Term Investments | 27,395,995 | — | — | 27,395,995 | |||
Total Investments in Securities | $ 577,024,057 | $ — | $ — | $ 577,024,057 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP T. Rowe Price Equity Income Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Common Stocks 95.9% | ||
Aerospace & Defense 2.5% | ||
Boeing Co. (The) (a) | 24,089 | $ 5,298,135 |
L3Harris Technologies, Inc. | 36,093 | 7,949,122 |
13,247,257 | ||
Air Freight & Logistics 2.3% | ||
United Parcel Service, Inc., Class B | 66,254 | 12,064,853 |
Airlines 0.3% | ||
Southwest Airlines Co. (a) | 31,934 | 1,642,366 |
Banks 8.8% | ||
Bank of America Corp. | 68,642 | 2,913,853 |
Citizens Financial Group, Inc. | 46,600 | 2,189,268 |
Fifth Third Bancorp | 219,794 | 9,328,057 |
Huntington Bancshares, Inc. | 325,100 | 5,026,046 |
JPMorgan Chase & Co. | 23,628 | 3,867,667 |
PNC Financial Services Group, Inc. (The) | 12,226 | 2,391,895 |
Wells Fargo & Co. | 448,665 | 20,822,543 |
46,539,329 | ||
Beverages 0.5% | ||
Coca-Cola Co. (The) | 51,172 | 2,684,995 |
Biotechnology 2.2% | ||
AbbVie, Inc. | 77,676 | 8,378,910 |
Biogen, Inc. (a) | 5,300 | 1,499,847 |
Gilead Sciences, Inc. | 23,945 | 1,672,558 |
11,551,315 | ||
Capital Markets 5.0% | ||
Bank of New York Mellon Corp. (The) | 37,237 | 1,930,366 |
Charles Schwab Corp. (The) | 39,115 | 2,849,137 |
Franklin Resources, Inc. | 30,960 | 920,131 |
Goldman Sachs Group, Inc. (The) | 17,016 | 6,432,558 |
Morgan Stanley | 65,183 | 6,342,958 |
Raymond James Financial, Inc. | 30,742 | 2,836,872 |
State Street Corp. | 58,183 | 4,929,264 |
26,241,286 | ||
Chemicals 3.8% | ||
Akzo Nobel NV | 16,540 | 1,801,055 |
CF Industries Holdings, Inc. | 180,938 | 10,099,959 |
DuPont de Nemours, Inc. | 31,682 | 2,154,059 |
International Flavors & Fragrances, Inc. | 38,731 | 5,179,109 |
PPG Industries, Inc. | 5,122 | 732,497 |
19,966,679 |
Shares | Value | |
Common Stocks | ||
Commercial Services & Supplies 0.8% | ||
Stericycle, Inc. (a) | 64,264 | $ 4,368,024 |
Communications Equipment 0.7% | ||
Cisco Systems, Inc. | 63,047 | 3,431,648 |
Containers & Packaging 1.8% | ||
International Paper Co. | 166,597 | 9,316,104 |
Diversified Financial Services 1.1% | ||
Equitable Holdings, Inc. | 198,243 | 5,875,922 |
Diversified Telecommunication Services 0.5% | ||
AT&T, Inc. | 66,437 | 1,794,463 |
Verizon Communications, Inc. | 14,953 | 807,612 |
2,602,075 | ||
Electric Utilities 3.4% | ||
Edison International | 15,936 | 883,970 |
Entergy Corp. | 15,074 | 1,496,999 |
NextEra Energy, Inc. | 35,758 | 2,807,718 |
Southern Co. (The) | 202,738 | 12,563,674 |
17,752,361 | ||
Electronic Equipment, Instruments & Components 0.3% | ||
TE Connectivity Ltd. | 11,800 | 1,619,196 |
Energy Equipment & Services 0.3% | ||
Halliburton Co. | 73,732 | 1,594,086 |
Entertainment 0.9% | ||
Walt Disney Co. (The) (a) | 26,592 | 4,498,569 |
Equity Real Estate Investment Trusts 4.2% | ||
Equity Residential | 95,389 | 7,718,878 |
Rayonier, Inc. | 112,129 | 4,000,763 |
Vornado Realty Trust | 14,100 | 592,341 |
Welltower, Inc. | 19,675 | 1,621,220 |
Weyerhaeuser Co. | 235,341 | 8,371,079 |
22,304,281 | ||
Food & Staples Retailing 0.4% | ||
Walmart, Inc. | 13,532 | 1,886,090 |
Food Products 3.1% | ||
Bunge Ltd. | 11,570 | 940,873 |
Conagra Brands, Inc. | 174,151 | 5,898,494 |
Shares | Value | |
Common Stocks | ||
Food Products | ||
Mondelez International, Inc., Class A | 4,163 | $ 242,203 |
Tyson Foods, Inc., Class A | 120,247 | 9,492,298 |
16,573,868 | ||
Health Care Equipment & Supplies 3.8% | ||
Becton Dickinson and Co. | 33,831 | 8,316,336 |
Medtronic plc | 64,308 | 8,061,008 |
Zimmer Biomet Holdings, Inc. | 25,139 | 3,679,344 |
20,056,688 | ||
Health Care Providers & Services 5.3% | ||
Anthem, Inc. | 27,709 | 10,329,915 |
Cardinal Health, Inc. | 39,800 | 1,968,508 |
Centene Corp. (a) | 37,200 | 2,317,932 |
Cigna Corp. | 23,715 | 4,746,795 |
CVS Health Corp. | 74,942 | 6,359,578 |
UnitedHealth Group, Inc. | 5,500 | 2,149,070 |
27,871,798 | ||
Hotels, Restaurants & Leisure 0.7% | ||
Las Vegas Sands Corp. (a) | 95,391 | 3,491,311 |
Household Products 1.3% | ||
Kimberly-Clark Corp. | 51,607 | 6,834,831 |
Industrial Conglomerates 3.7% | ||
3M Co. | 5,900 | 1,034,978 |
General Electric Co. | 145,956 | 15,037,847 |
Siemens AG, Sponsored ADR | 41,180 | 3,382,525 |
19,455,350 | ||
Insurance 8.6% | ||
American International Group, Inc. | 236,144 | 12,961,944 |
Chubb Ltd. | 56,341 | 9,774,037 |
Hartford Financial Services Group, Inc. (The) | 36,000 | 2,529,000 |
Loews Corp. | 153,494 | 8,277,931 |
Marsh & McLennan Cos., Inc. | 8,612 | 1,304,115 |
MetLife, Inc. | 165,318 | 10,205,080 |
45,052,107 | ||
IT Services 0.3% | ||
Fiserv, Inc. (a) | 14,650 | 1,589,525 |
Leisure Products 0.6% | ||
Mattel, Inc. (a) | 169,365 | 3,143,414 |
Machinery 1.0% | ||
Flowserve Corp. | 14,635 | 507,395 |
Shares | Value | |
Common Stocks | ||
Machinery | ||
PACCAR, Inc. | 28,289 | $ 2,232,568 |
Snap-on, Inc. | 12,189 | 2,546,892 |
5,286,855 | ||
Media 3.5% | ||
Comcast Corp., Class A | 153,756 | 8,599,573 |
Fox Corp., Class B | 103,191 | 3,830,450 |
News Corp., Class A | 263,076 | 6,190,178 |
18,620,201 | ||
Multiline Retail 0.6% | ||
Kohl's Corp. | 68,321 | 3,217,236 |
Multi-Utilities 4.0% | ||
Ameren Corp. | 38,975 | 3,156,975 |
Dominion Energy, Inc. | 52,900 | 3,862,758 |
NiSource, Inc. | 234,883 | 5,691,215 |
Sempra Energy | 67,276 | 8,510,414 |
21,221,362 | ||
Oil, Gas & Consumable Fuels 5.5% | ||
Chevron Corp. | 8,649 | 877,441 |
EOG Resources, Inc. | 72,934 | 5,854,412 |
Exxon Mobil Corp. | 73,595 | 4,328,858 |
Hess Corp. | 5,080 | 396,799 |
Occidental Petroleum Corp. | 36,463 | 1,078,576 |
Targa Resources Corp. | 16,711 | 822,348 |
TC Energy Corp. (b) | 65,457 | 3,147,827 |
TotalEnergies SE | 202,899 | 9,722,734 |
TotalEnergies SE, Sponsored ADR | 54,900 | 2,631,357 |
28,860,352 | ||
Pharmaceuticals 4.2% | ||
AstraZeneca plc, Sponsored ADR | 31,900 | 1,915,914 |
GlaxoSmithKline plc | 31,136 | 587,708 |
Johnson & Johnson | 38,694 | 6,249,081 |
Merck & Co., Inc. | 53,311 | 4,004,189 |
Organon & Co. | 2,381 | 78,073 |
Pfizer, Inc. | 119,899 | 5,156,856 |
Sanofi | 30,819 | 2,966,779 |
Sanofi, ADR | 23,863 | 1,150,435 |
22,109,035 | ||
Professional Services 0.6% | ||
Nielsen Holdings plc | 163,561 | 3,138,736 |
Semiconductors & Semiconductor Equipment 4.8% | ||
Applied Materials, Inc. | 41,515 | 5,344,226 |
Shares | Value | |
Common Stocks | ||
Semiconductors & Semiconductor Equipment | ||
NXP Semiconductors NV | 11,002 | $ 2,154,962 |
QUALCOMM, Inc. | 92,263 | 11,900,082 |
Texas Instruments, Inc. | 31,346 | 6,025,014 |
25,424,284 | ||
Software 2.4% | ||
Citrix Systems, Inc. | 43,602 | 4,681,547 |
Microsoft Corp. | 27,661 | 7,798,189 |
12,479,736 | ||
Specialty Retail 0.6% | ||
TJX Cos., Inc. (The) | 49,459 | 3,263,305 |
Tobacco 1.5% | ||
Altria Group, Inc. | 39,916 | 1,816,977 |
Philip Morris International, Inc. | 62,551 | 5,929,209 |
7,746,186 | ||
Total Common Stocks (Cost $374,730,443) | 504,622,616 | |
Convertible Preferred Stocks 1.0% | ||
Electric Utilities 0.7% | ||
NextEra Energy, Inc., 5.28% | 33,097 | 1,686,623 |
Southern Co. (The), 6.75% | 41,886 | 2,136,605 |
3,823,228 | ||
Multi-Utilities 0.3% | ||
NiSource, Inc., 7.75% | 15,018 | 1,553,612 |
Total Convertible Preferred Stocks (Cost $5,214,076) | 5,376,840 | |
Preferred Stocks 1.5% | ||
Automobiles 1.1% | ||
Volkswagen AG, ADR | 258,038 | 5,831,659 |
Health Care Equipment & Supplies 0.4% | ||
Becton Dickinson and Co., 6.00% (b) | 37,419 | 2,019,877 |
Total Preferred Stocks (Cost $6,115,867) | 7,851,536 | |
Short-Term Investments 1.8% | ||
Affiliated Investment Company 1.6% | ||
MainStay U.S. Government Liquidity Fund, 0.01% (c) | 8,408,467 | 8,408,467 |
Shares | Value | ||
Short-Term Investments | |||
Unaffiliated Investment Company 0.2% | |||
Wells Fargo Government Money Market Fund, 0.025% (c)(d) | 1,126,013 | $ 1,126,013 | |
Total Short-Term Investments (Cost $9,534,480) | 9,534,480 | ||
Total Investments (Cost $395,594,866) | 100.2% | 527,385,472 | |
Other Assets, Less Liabilities | (0.2) | (1,209,217) | |
Net Assets | 100.0% | $ 526,176,255 |
† | Percentages indicated are based on Portfolio net assets. |
(a) | Non-income producing security. |
(b) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $3,645,639; the total market value of collateral held by the Portfolio was $3,775,523. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $2,649,510. The Portfolio received cash collateral with a value of $1,126,013. |
(c) | Current yield as of September 30, 2021. |
(d) | Represents a security purchased with cash collateral received for securities on loan. |
Abbreviation(s): |
ADR—American Depositary Receipt |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Common Stocks | |||||||
Chemicals | $ 18,165,624 | $ 1,801,055 | $ — | $ 19,966,679 | |||
Oil, Gas & Consumable Fuels | 19,137,618 | 9,722,734 | — | 28,860,352 | |||
Pharmaceuticals | 18,554,548 | 3,554,487 | — | 22,109,035 | |||
All Other Industries | 433,686,550 | — | — | 433,686,550 | |||
Total Common Stocks | 489,544,340 | 15,078,276 | — | 504,622,616 | |||
Convertible Preferred Stocks | 5,376,840 | — | — | 5,376,840 | |||
Preferred Stocks | 7,851,536 | — | — | 7,851,536 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 8,408,467 | — | — | 8,408,467 | |||
Unaffiliated Investment Company | 1,126,013 | — | — | 1,126,013 | |||
Total Short-Term Investments | 9,534,480 | — | — | 9,534,480 | |||
Total Investments in Securities | $ 512,307,196 | $ 15,078,276 | $ — | $ 527,385,472 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP Wellington Mid Cap Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Common Stocks 99.8% | ||
Aerospace & Defense 0.5% | ||
Axon Enterprise, Inc. (a) | 26,620 | $ 4,659,032 |
Automobiles 0.1% | ||
Arrival SA (a)(b) | 87,152 | 1,146,049 |
Banks 6.4% | ||
Cullen | 52,029 | 6,171,680 |
First Citizens BancShares, Inc., Class A | 9,701 | 8,179,592 |
First Republic Bank | 41,590 | 8,021,879 |
M&T Bank Corp. | 48,720 | 7,275,845 |
Prosperity Bancshares, Inc. | 78,441 | 5,579,508 |
Western Alliance Bancorp | 102,101 | 11,110,631 |
Zions Bancorp NA | 170,557 | 10,555,773 |
56,894,908 | ||
Biotechnology 5.8% | ||
Allakos, Inc. (a) | 62,749 | 6,643,237 |
Apellis Pharmaceuticals, Inc. (a) | 148,858 | 4,906,360 |
Arena Pharmaceuticals, Inc. (a) | 84,722 | 5,045,195 |
Iovance Biotherapeutics, Inc. (a) | 251,556 | 6,203,371 |
Kodiak Sciences, Inc. (a) | 63,148 | 6,060,945 |
Mirati Therapeutics, Inc. (a) | 34,160 | 6,043,246 |
PTC Therapeutics, Inc. (a) | 145,411 | 5,410,743 |
Sage Therapeutics, Inc. (a) | 126,659 | 5,612,260 |
Ultragenyx Pharmaceutical, Inc. (a) | 62,557 | 5,642,016 |
51,567,373 | ||
Building Products 1.7% | ||
Builders FirstSource, Inc. (a) | 27,561 | 1,426,006 |
JELD-WEN Holding, Inc. (a) | 195,851 | 4,902,150 |
Lennox International, Inc. | 30,498 | 8,971,597 |
15,299,753 | ||
Capital Markets 0.3% | ||
Hamilton Lane, Inc., Class A | 35,848 | 3,040,627 |
Chemicals 2.1% | ||
Celanese Corp. | 45,236 | 6,814,351 |
Element Solutions, Inc. | 362,689 | 7,863,097 |
FMC Corp. | 44,864 | 4,107,748 |
18,785,196 | ||
Commercial Services & Supplies 2.4% | ||
Clean Harbors, Inc. (a) | 66,602 | 6,917,950 |
GFL Environmental, Inc. | 224,604 | 8,344,039 |
IAA, Inc. (a) | 103,588 | 5,652,797 |
KAR Auction Services, Inc. (a) | 58,775 | 963,322 |
21,878,108 |
Shares | Value | |
Common Stocks | ||
Communications Equipment 5.3% | ||
CommScope Holding Co., Inc. (a) | 492,638 | $ 6,694,950 |
F5 Networks, Inc. (a) | 111,622 | 22,188,221 |
Lumentum Holdings, Inc. (a) | 219,840 | 18,365,434 |
47,248,605 | ||
Consumer Finance 1.4% | ||
Credit Acceptance Corp. (a)(b) | 21,692 | 12,696,328 |
Containers & Packaging 0.5% | ||
Silgan Holdings, Inc. | 124,283 | 4,767,496 |
Diversified Financial Services 0.9% | ||
Voya Financial, Inc. | 123,599 | 7,587,743 |
Electric Utilities 0.5% | ||
Pinnacle West Capital Corp. | 56,787 | 4,109,107 |
Electronic Equipment, Instruments & Components 4.4% | ||
CDW Corp. | 41,435 | 7,541,999 |
Flex Ltd. (a) | 573,083 | 10,132,107 |
II-VI, Inc. (a) | 212,021 | 12,585,567 |
National Instruments Corp. | 102,328 | 4,014,327 |
Rogers Corp. (a) | 28,989 | 5,405,869 |
39,679,869 | ||
Entertainment 0.6% | ||
Zynga, Inc., Class A (a) | 689,783 | 5,194,066 |
Equity Real Estate Investment Trusts 5.1% | ||
Douglas Emmett, Inc. | 50,418 | 1,593,713 |
Gaming and Leisure Properties, Inc. | 157,810 | 7,309,759 |
Life Storage, Inc. | 86,908 | 9,971,824 |
PS Business Parks, Inc. | 16,559 | 2,595,458 |
Rexford Industrial Realty, Inc. | 137,588 | 7,808,119 |
Ryman Hospitality Properties, Inc. (a) | 99,092 | 8,294,000 |
STORE Capital Corp. | 262,553 | 8,409,573 |
45,982,446 | ||
Food & Staples Retailing 1.2% | ||
Performance Food Group Co. (a) | 99,853 | 4,639,170 |
U.S. Foods Holding Corp. (a) | 178,937 | 6,201,957 |
10,841,127 | ||
Food Products 0.9% | ||
Lamb Weston Holdings, Inc. | 108,568 | 6,662,818 |
Sovos Brands, Inc. (a)(b) | 85,650 | 1,194,818 |
7,857,636 |
Shares | Value | |
Common Stocks | ||
Gas Utilities 1.1% | ||
UGI Corp. | 238,522 | $ 10,165,808 |
Health Care Equipment & Supplies 3.9% | ||
Hill-Rom Holdings, Inc. | 26,934 | 4,040,100 |
Integra LifeSciences Holdings Corp. (a) | 234,343 | 16,047,809 |
NuVasive, Inc. (a) | 112,196 | 6,714,931 |
Teleflex, Inc. | 21,955 | 8,267,155 |
35,069,995 | ||
Health Care Providers & Services 4.3% | ||
Acadia Healthcare Co., Inc. (a) | 74,574 | 4,756,330 |
Encompass Health Corp. | 186,221 | 13,974,024 |
LHC Group, Inc. (a) | 32,393 | 5,082,785 |
Molina Healthcare, Inc. (a) | 52,309 | 14,191,955 |
38,005,094 | ||
Hotels, Restaurants & Leisure 3.1% | ||
Choice Hotels International, Inc. | 78,746 | 9,951,132 |
Denny's Corp. (a) | 271,231 | 4,431,915 |
Hyatt Hotels Corp., Class A (a) | 41,121 | 3,170,429 |
Six Flags Entertainment Corp. (a) | 127,379 | 5,413,607 |
Wyndham Hotels & Resorts, Inc. | 62,764 | 4,844,753 |
27,811,836 | ||
Household Durables 1.3% | ||
NVR, Inc. (a) | 2,346 | 11,246,912 |
Vizio Holding Corp., Class A (a) | 6,522 | 138,527 |
11,385,439 | ||
Insurance 6.2% | ||
Alleghany Corp. (a) | 9,892 | 6,176,664 |
Assurant, Inc. | 43,639 | 6,884,052 |
CNO Financial Group, Inc. | 190,597 | 4,486,653 |
Erie Indemnity Co., Class A | 14,098 | 2,515,365 |
Fidelity National Financial, Inc. | 109,543 | 4,966,680 |
Globe Life, Inc. | 49,682 | 4,423,188 |
Hanover Insurance Group, Inc. (The) | 38,177 | 4,948,503 |
Kemper Corp. | 57,794 | 3,860,061 |
Markel Corp. (a) | 7,200 | 8,604,936 |
W R Berkley Corp. | 49,160 | 3,597,529 |
White Mountains Insurance Group Ltd. | 4,400 | 4,706,284 |
55,169,915 | ||
Interactive Media & Services 0.6% | ||
Cargurus, Inc. (a) | 162,536 | 5,105,256 |
Internet & Direct Marketing Retail 1.4% | ||
Etsy, Inc. (a) | 60,642 | 12,611,110 |
Shares | Value | |
Common Stocks | ||
IT Services 4.1% | ||
Genpact Ltd. | 312,126 | $ 14,829,106 |
LiveRamp Holdings, Inc. (a) | 82,992 | 3,919,712 |
Shift4 Payments, Inc., Class A (a) | 72,960 | 5,655,859 |
WEX, Inc. (a) | 71,763 | 12,640,335 |
37,045,012 | ||
Leisure Products 1.2% | ||
YETI Holdings, Inc. (a) | 121,039 | 10,371,832 |
Life Sciences Tools & Services 1.7% | ||
ICON plc (a) | 33,002 | 8,647,184 |
Syneos Health, Inc. (a) | 69,660 | 6,093,857 |
14,741,041 | ||
Machinery 8.2% | ||
Colfax Corp. (a) | 160,233 | 7,354,695 |
Graco, Inc. | 48,801 | 3,414,606 |
IDEX Corp. | 49,260 | 10,194,357 |
Ingersoll Rand, Inc. (a) | 408,980 | 20,616,682 |
Kennametal, Inc. | 125,250 | 4,287,307 |
Lincoln Electric Holdings, Inc. | 54,576 | 7,028,843 |
Middleby Corp. (The) (a) | 57,527 | 9,808,929 |
SPX FLOW, Inc. | 70,423 | 5,147,921 |
Westinghouse Air Brake Technologies Corp. | 64,544 | 5,564,338 |
73,417,678 | ||
Media 1.1% | ||
Cable One, Inc. | 5,475 | 9,926,887 |
Metals & Mining 0.6% | ||
Steel Dynamics, Inc. | 90,469 | 5,290,627 |
Multi-Utilities 0.7% | ||
Black Hills Corp. | 64,103 | 4,023,104 |
NiSource, Inc. | 104,641 | 2,535,452 |
6,558,556 | ||
Oil, Gas & Consumable Fuels 0.9% | ||
Cabot Oil & Gas Corp. | 37,463 | 815,195 |
Diamondback Energy, Inc. | 71,755 | 6,793,046 |
7,608,241 | ||
Pharmaceuticals 1.5% | ||
Jazz Pharmaceuticals plc (a) | 61,425 | 7,998,149 |
Reata Pharmaceuticals, Inc., Class A (a) | 55,350 | 5,568,764 |
13,566,913 |
Shares | Value | |
Common Stocks | ||
Professional Services 1.8% | ||
Dun & Bradstreet Holdings, Inc. (a) | 236,172 | $ 3,970,051 |
Leidos Holdings, Inc. | 64,025 | 6,154,723 |
Science Applications International Corp. | 70,899 | 6,066,119 |
16,190,893 | ||
Real Estate Management & Development 0.5% | ||
Redfin Corp. (a)(b) | 92,149 | 4,616,665 |
Road & Rail 2.1% | ||
AMERCO | 11,628 | 7,512,037 |
Knight-Swift Transportation Holdings, Inc. | 225,417 | 11,530,079 |
19,042,116 | ||
Semiconductors & Semiconductor Equipment 4.7% | ||
First Solar, Inc. (a) | 143,572 | 13,705,383 |
MKS Instruments, Inc. | 104,982 | 15,842,834 |
Silicon Laboratories, Inc. (a) | 34,707 | 4,864,533 |
Synaptics, Inc. (a) | 26,032 | 4,678,731 |
Tower Semiconductor Ltd. (a) | 107,600 | 3,217,240 |
42,308,721 | ||
Software 4.0% | ||
Aspen Technology, Inc. (a) | 36,660 | 4,501,848 |
Black Knight, Inc. (a) | 34,346 | 2,472,912 |
Digital Turbine, Inc. (a) | 84,943 | 5,839,831 |
Guidewire Software, Inc. (a) | 61,413 | 7,300,163 |
Q2 Holdings, Inc. (a) | 66,362 | 5,318,251 |
Teradata Corp. (a) | 173,908 | 9,973,624 |
35,406,629 | ||
Specialty Retail 0.7% | ||
CarMax, Inc. (a) | 46,442 | 5,942,718 |
Textiles, Apparel & Luxury Goods 2.7% | ||
Carter's, Inc. | 69,885 | 6,795,617 |
PVH Corp. (a) | 70,835 | 7,281,130 |
Steven Madden Ltd. | 127,659 | 5,126,785 |
Under Armour, Inc., Class C (a) | 304,134 | 5,328,428 |
24,531,960 | ||
Trading Companies & Distributors 1.3% | ||
AerCap Holdings NV (a) | 122,128 | 7,060,219 |
Watsco, Inc. | 17,414 | 4,608,093 |
11,668,312 | ||
Total Common Stocks (Cost $901,254,080) | 892,794,723 |
Shares | Value | ||
Short-Term Investments 1.4% | |||
Affiliated Investment Company 0.3% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (c) | 2,770,635 | $ 2,770,635 | |
Unaffiliated Investment Companies 1.1% | |||
BlackRock Liquidity FedFund, 0.025% (c)(d) | 8,000,000 | 8,000,000 | |
Wells Fargo Government Money Market Fund, 0.025% (c)(d) | 2,081,814 | 2,081,814 | |
Total Unaffiliated Investment Companies (Cost $10,081,814) | 10,081,814 | ||
Total Short-Term Investments (Cost $12,852,449) | 12,852,449 | ||
Total Investments (Cost $914,106,529) | 101.2% | 905,647,172 | |
Other Assets, Less Liabilities | (1.2) | (11,118,832) | |
Net Assets | 100.0% | $ 894,528,340 |
† | Percentages indicated are based on Portfolio net assets. |
(a) | Non-income producing security. |
(b) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $15,957,790; the total market value of collateral held by the Portfolio was $16,392,383. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $6,310,569. The Portfolio received cash collateral with a value of $10,081,814. |
(c) | Current yield as of September 30, 2021. |
(d) | Represents a security purchased with cash collateral received for securities on loan. |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Common Stocks | $ 892,794,723 | $ — | $ — | $ 892,794,723 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 2,770,635 | — | — | 2,770,635 | |||
Unaffiliated Investment Companies | 10,081,814 | — | — | 10,081,814 | |||
Total Short-Term Investments | 12,852,449 | — | — | 12,852,449 | |||
Total Investments in Securities | $ 905,647,172 | $ — | $ — | $ 905,647,172 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP Winslow Large Cap Growth Portfolio
Portfolio of Investments September 30, 2021† (Unaudited)
Shares | Value | |
Common Stocks 98.5% | ||
Automobiles 2.6% | ||
Lucid Group, Inc. (a) | 698,934 | $ 17,738,945 |
Tesla, Inc. (a) | 39,930 | 30,964,916 |
48,703,861 | ||
Capital Markets 1.7% | ||
Moody's Corp. | 50,240 | 17,840,726 |
MSCI, Inc. | 22,700 | 13,809,318 |
31,650,044 | ||
Chemicals 1.6% | ||
Linde plc | 100,150 | 29,382,007 |
Containers & Packaging 1.3% | ||
Ball Corp. | 268,400 | 24,147,948 |
Electronic Equipment, Instruments & Components 1.1% | ||
TE Connectivity Ltd. | 149,450 | 20,507,529 |
Entertainment 1.8% | ||
Netflix, Inc. (a) | 54,600 | 33,324,564 |
Health Care Equipment & Supplies 2.6% | ||
Align Technology, Inc. (a) | 45,410 | 30,217,176 |
Edwards Lifesciences Corp. (a) | 164,300 | 18,600,403 |
48,817,579 | ||
Health Care Providers & Services 1.2% | ||
UnitedHealth Group, Inc. | 58,230 | 22,752,790 |
Health Care Technology 1.1% | ||
Veeva Systems, Inc., Class A (a) | 67,000 | 19,307,390 |
Hotels, Restaurants & Leisure 4.2% | ||
Airbnb, Inc., Class A (a) | 150,100 | 25,179,275 |
Chipotle Mexican Grill, Inc. (a) | 16,750 | 30,443,460 |
Hilton Worldwide Holdings, Inc. (a) | 167,900 | 22,181,269 |
77,804,004 | ||
Interactive Media & Services 14.8% | ||
Alphabet, Inc. (a) | ||
Class A | 24,780 | 66,249,826 |
Class C | 25,214 | 67,203,126 |
Bumble, Inc., Class A (a) | 282,300 | 14,109,354 |
Facebook, Inc., Class A (a) | 232,010 | 78,741,874 |
Match Group, Inc. (a) | 147,250 | 23,116,777 |
Shares | Value | |
Common Stocks | ||
Interactive Media & Services | ||
Snap, Inc., Class A (a) | 308,900 | $ 22,818,443 |
272,239,400 | ||
Internet & Direct Marketing Retail 7.7% | ||
Amazon.com, Inc. (a) | 38,010 | 124,864,370 |
MercadoLibre, Inc. (a) | 10,000 | 16,794,000 |
141,658,370 | ||
IT Services 9.2% | ||
Mastercard, Inc., Class A | 75,950 | 26,406,296 |
Payoneer Global, Inc. (a) | 148,000 | 1,265,400 |
PayPal Holdings, Inc. (a) | 190,850 | 49,661,079 |
Snowflake, Inc., Class A (a) | 40,300 | 12,187,929 |
Square, Inc., Class A (a) | 121,300 | 29,092,592 |
Visa, Inc., Class A | 232,000 | 51,678,000 |
170,291,296 | ||
Life Sciences Tools & Services 3.2% | ||
Agilent Technologies, Inc. | 179,290 | 28,243,554 |
Bio-Techne Corp. | 21,800 | 10,563,626 |
IQVIA Holdings, Inc. (a) | 85,950 | 20,588,463 |
59,395,643 | ||
Machinery 1.0% | ||
Parker-Hannifin Corp. | 64,200 | 17,951,604 |
Personal Products 1.0% | ||
Estee Lauder Cos., Inc. (The), Class A | 60,400 | 18,115,772 |
Pharmaceuticals 1.6% | ||
Zoetis, Inc. | 147,150 | 28,567,701 |
Professional Services 1.6% | ||
CoStar Group, Inc. (a) | 351,050 | 30,211,363 |
Real Estate Management & Development 0.0% ‡ | ||
Compass, Inc., Class A (a)(b) | 53,300 | 706,758 |
Semiconductors & Semiconductor Equipment 7.0% | ||
Advanced Micro Devices, Inc. (a) | 277,500 | 28,554,750 |
Analog Devices, Inc. | 170,900 | 28,622,332 |
ASML Holding NV (Registered) | 38,610 | 28,768,697 |
NVIDIA Corp. | 204,840 | 42,434,655 |
128,380,434 | ||
Software 22.1% | ||
Adobe, Inc. (a) | 107,250 | 61,745,970 |
Shares | Value | ||
Common Stocks | |||
Software | |||
Atlassian Corp. plc, Class A (a) | 78,350 | $ 30,667,757 | |
Intuit, Inc. | 59,950 | 32,343,625 | |
Microsoft Corp. | 585,800 | 165,148,736 | |
salesforce.com, Inc. (a) | 179,780 | 48,759,932 | |
ServiceNow, Inc. (a) | 61,550 | 38,300,718 | |
Workday, Inc., Class A (a) | 123,400 | 30,836,426 | |
407,803,164 | |||
Specialty Retail 1.7% | |||
Lowe's Cos., Inc. | 153,300 | 31,098,438 | |
Technology Hardware, Storage & Peripherals 3.8% | |||
Apple, Inc. | 488,800 | 69,165,200 | |
Textiles, Apparel & Luxury Goods 4.6% | |||
Lululemon Athletica, Inc. (a) | 73,900 | 29,907,330 | |
NIKE, Inc., Class B | 364,350 | 52,914,551 | |
On Holding AG, Class A (a) | 60,600 | 1,825,878 | |
84,647,759 | |||
Total Common Stocks (Cost $1,113,271,182) | 1,816,630,618 | ||
Short-Term Investments 1.5% | |||
Affiliated Investment Company 1.5% | |||
MainStay U.S. Government Liquidity Fund, 0.01% (c) | 26,999,407 | 26,999,407 | |
Unaffiliated Investment Company 0.0% ‡ | |||
Wells Fargo Government Money Market Fund, 0.025% (c)(d) | 214,582 | 214,582 | |
Total Short-Term Investments (Cost $27,213,989) | 27,213,989 | ||
Total Investments (Cost $1,140,485,171) | 100.0% | 1,843,844,607 | |
Other Assets, Less Liabilities | 0.0‡ | 684,226 | |
Net Assets | 100.0% | $ 1,844,528,833 |
† | Percentages indicated are based on Portfolio net assets. |
‡ | Less than one-tenth of a percent. |
(a) | Non-income producing security. |
(b) | All or a portion of this security was held on loan. As of September 30, 2021, the aggregate market value of securities on loan was $706,745; the total market value of collateral held by the Portfolio was $709,241. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $494,659. The Portfolio received cash collateral with a value of $214,582. |
(c) | Current yield as of September 30, 2021. |
(d) | Represents a security purchased with cash collateral received for securities on loan. |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021, for valuing the Portfolio’s assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||
Asset Valuation Inputs | |||||||
Investments in Securities (a) | |||||||
Common Stocks | $ 1,816,630,618 | $ — | $ — | $ 1,816,630,618 | |||
Short-Term Investments | |||||||
Affiliated Investment Company | 26,999,407 | — | — | 26,999,407 | |||
Unaffiliated Investment Company | 214,582 | — | — | 214,582 | |||
Total Short-Term Investments | 27,213,989 | — | — | 27,213,989 | |||
Total Investments in Securities | $ 1,843,844,607 | $ — | $ — | $ 1,843,844,607 |
(a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP Funds Trust
Notes to Portfolios of Investments September 30, 2021 (Unaudited)
Securities Valuation.
Investments are usually valued as of the close of regular trading on the New York Stock Exchange (the "Exchange") (usually 4:00 p.m. Eastern time) on each day the Portfolios are open for business ("valuation date").
The Board of Trustees of the MainStay VP Funds Trust (the "Board") adopted procedures establishing methodologies for the valuation of each Portfolio's securities and other assets and delegated the responsibility for valuation determinations under those procedures to the Valuation Committee of the Fund (the “Valuation Committee”). The procedures state that, subject to the oversight of the Board and unless otherwise noted, the responsibility for the day-to-day valuation of portfolio assets (including fair value measurements for each Portfolio's assets and liabilities) rests with New York Life Investment Management LLC (“New York Life Investments” or the "Manager"), aided to whatever extent necessary by the Subadvisor(s) to each Portfolio. To assess the appropriateness of security valuations, the Manager, the Subadvisor(s) or the Portfolio's third-party service provider, who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities and the sale prices to the prior and current day prices and challenges prices with changes exceeding certain tolerance levels with third-party pricing services or broker sources.
The Board authorized the Valuation Committee to appoint a Valuation Subcommittee (the “Subcommittee”) to establish the prices of securities for which market quotations are not readily available or the prices of which are not otherwise readily determinable under the procedures. The Subcommittee meets (in person, via electronic mail or via teleconference) on an as-needed basis. The Valuation Committee meets to ensure that actions taken by the Subcommittee were appropriate.
For those securities valued through either a standardized fair valuation methodology or a fair valuation measurement, the Subcommittee deals with such valuation and the Valuation Committee reviews and affirms, if appropriate, the reasonableness of the valuation based on such methodologies and measurements on a regular basis after considering information that is reasonably available and deemed relevant by the Valuation Committee. Any action taken by the Subcommittee with respect to the valuation of a portfolio security or other asset is submitted for review and ratification (if appropriate) to the Valuation Committee and the Board at the next regularly scheduled meeting.
"Fair value" is defined as the price a Portfolio would reasonably expect to receive upon selling an asset or liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the asset or liability. Fair value measurements are determined within a framework that establishes a three-tier hierarchy that maximizes the use of observable market data and minimizes the use of unobservable inputs to establish a 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, such as the risk inherent in a particular valuation technique used to measure fair value using a pricing model and/or the risk inherent in the inputs for the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of each Portfolio. Unobservable inputs reflect each Portfolio’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the information available. The inputs or methodology used for valuing assets or liabilities may not be an indication of the risks associated with investing in those assets or liabilities. The three-tier hierarchy of inputs is summarized below.
• | Level 1—quoted prices in active markets for an identical asset or liability |
• | Level 2—other significant observable inputs (including quoted prices for a similar asset or liability in active markets, interest rates and yield curves, prepayment speeds, credit risk, etc.) |
• | Level 3—significant unobservable inputs (including each Portfolio's own assumptions about the assumptions that market participants would use in measuring fair value of an asset or liability) |
The level of an asset or liability within the fair value hierarchy is based on the lowest level of an input, both individually and in the aggregate, that is significant to the fair value measurement. The aggregate value by input level of each Portfolio’s assets and liabilities as of September 30, 2021, is included at the end of the Portfolio of Investments.
The Portfolios may use third-party vendor evaluations, whose prices may be derived from one or more of the following standard inputs, among others:
• Benchmark yields | • Reported trades |
• Broker/dealer quotes | • Issuer spreads |
• Two-sided markets | • Benchmark securities |
• Bids/offers | • Reference data (corporate actions or material event notices) |
• Industry and economic events | • Comparable bonds |
• Equity and credit default swap curves | • Monthly payment information |
An asset or liability for which market values cannot be measured using the methodologies described above is valued by methods deemed reasonable in good faith by the Valuation Committee, following the procedures established by the Board, to represent fair value. Under these procedures, the Portfolios generally use a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information. The Portfolios may also use an income-based valuation approach in which the anticipated future cash flows of the asset or liability are discounted to calculate fair value. Discounts may also be applied due to the nature and/or duration of any restrictions on the disposition of the asset or liability. Fair value represents a good faith approximation of the value of a security. Fair value determinations involve the consideration of a number of subjective factors, an analysis of applicable facts and circumstances and the exercise of judgment. As a result, it is possible that the fair value for a security determined in good faith in accordance with the Portfolio's valuation procedures may differ from valuations for the same security determined by other funds using their own valuation procedures. Although the Portfolio's valuation procedures are designed to value a security at the price a Portfolio may reasonably expect to receive upon the security's sale in an orderly transaction, there can be no assurance that any fair value determination thereunder would, in fact, approximate the amount that a Portfolio would actually realize upon the sale of the security or the price at which the security would trade if a reliable market price were readily available. During the period ended September 30, 2021, there were no material changes to the fair value methodologies.
Securities which may be valued in this manner include, but are not limited to: (i) a security for which trading has been halted or suspended; (ii) a debt security that has recently gone into default and for which there is not a current market quotation; (iii) a security of an issuer that has entered into a restructuring; (iv) a security that has been delisted from a national exchange; (v) a security for which the market price is not readily available from a third-party pricing source or, if so provided, does not, in the opinion of the Manager or the Subadvisor(s), reflect the security's market value; (vi) a security subject to trading collars for which no or limited trading takes place; and (vii) a security whose principal market has been temporarily closed at a time when, under normal conditions, it would be open. Securities valued in this manner are generally categorized as Level 3 in the hierarchy. Securities that were fair valued in such a manner as of September 30, 2021, are shown in the Portfolio of Investments.
Certain securities held by certain Portfolios may principally trade in foreign markets. Events may occur between the time the foreign markets close and the time at which each of the Portfolio's net asset values ("NAVs") are calculated. These events may include, but are not limited to, situations relating to a single issuer in a market sector, significant fluctuations in U.S. or foreign markets, natural disasters, armed conflicts, governmental actions or other developments not tied directly to the securities markets. Should the Manager or the Subadvisor(s) conclude that such events may have affected the accuracy of the last price of such securities reported on the local foreign market, the Subcommittee may, pursuant to procedures adopted by the Board, adjust the value of the local price to reflect the estimated impact on the price of such securities as a result of such events. In this instance, securities are generally categorized as Level 3 in the hierarchy. Additionally, certain foreign equity securities are also fair valued whenever the movement of a particular index exceeds certain thresholds. In such cases, the securities are fair valued by applying factors provided by a third-party vendor in accordance with valuation procedures adopted by the Board and are generally categorized as Level 2 in the hierarchy. Securities that were fair valued in such a manner as of September 30, 2021, are shown in the Portfolio of Investments.
Equity securities, rights, warrants and shares of Exchange-Traded Funds ("ETFs") are valued at the last quoted sales prices as of the close of regular trading on the relevant exchange on each valuation date. Securities that are not traded on the valuation date are valued at the mean of the last quoted bid and ask prices. Prices are normally taken from the principal market in which each security trades. These securities are generally categorized as Level 1 in the hierarchy.
Investments in Underlying Portfolios/Funds are valued at their respective NAVs at the close of business each day. Securities held by the Underlying Portfolios/Funds are valued using policies consistent with those used by the Underlying Portfolios/Funds, as described in the paragraphs within. These securities are generally categorized as Level 1 in the hierarchy.
Investments in mutual funds, including money market funds, are valued at their respective NAVs at the close of business each day on the valuation date. These securities are generally categorized as Level 1 in the hierarchy.
Futures contracts are valued at the last posted settlement price on the market where such futures are primarily traded. These securities are generally categorized as Level 1 in the hierarchy.
Options contracts are valued at the last posted settlement price on the market where such options are primarily traded.
Swaps are marked to market daily based upon quotations from pricing agents, brokers or market makers. These securities are generally categorized as Level 2 in the hierarchy.
Total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, are based on a notional principal amount. To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Portfolio will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked to market daily based upon quotations from market makers and these securities are generally categorized as Level 2 in the hierarchy.
Debt securities (other than convertible and municipal bonds) are valued at the evaluated bid prices (evaluated mean prices in the case of convertible and municipal bonds) supplied by a pricing agent or broker selected by the Manager, in consultation with the Subadvisor(s). The evaluations are market-based measurements processed through a pricing application and represents the pricing agent’s good faith determination as to what a holder may receive in an orderly transaction under market conditions. The rules-based logic utilizes valuation techniques that reflect participants’ assumptions and vary by asset class and per methodology, maximizing the use of relevant observable data including quoted prices for similar assets, benchmark yield curves and market corroborated inputs. The evaluated bid or mean prices are deemed by the Manager, in consultation with the Subadvisor(s), to be representative of market values at the regular close of trading of the Exchange on each valuation date. Debt securities purchased on a delayed delivery basis are marked to market daily until settlement at the forward settlement date. Debt securities, including corporate bonds, U.S. government and federal agency bonds, municipal bonds, foreign bonds, convertible bonds, asset-backed securities and mortgage-backed securities are generally categorized as Level 2 in the hierarchy.
Foreign currency forward contracts are valued at their fair market values measured on the basis of the mean between the last current bid and ask prices based on dealer or exchange quotations and are generally categorized as Level 2 in the hierarchy.
Loan assignments, participations and commitments are valued at the average of bid quotations obtained from the engaged independent pricing service and are generally categorized as Level 2 in the hierarchy. Certain loan assignments, participations and commitments may be valued by utilizing significant unobservable inputs obtained from the pricing service and are generally categorized as Level 3 in the hierarchy. As of September 30, 2021, securities that were fair valued in such a manner are shown in the Portfolio of Investments.
Unfunded commitments represent the remaining obligation of the Portfolio to the borrower. At any point in time, up to the maturity date of the issue, the borrower may demand the unfunded portion. Unfunded amounts, if any, are marked to market.
Temporary cash investments acquired in excess of 60 days to maturity at the time of purchase are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities and ratings), both as furnished by independent pricing services. Temporary cash investments that mature in 60 days or less at the time of purchase ("Short-Term Investments") are valued using the amortized cost method of valuation, unless the use of such method would be inappropriate. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between such cost and the value on maturity date. Amortized cost approximates the current fair value of a security. Securities valued using the amortized cost method are not valued using quoted prices in an active market and are generally categorized as Level 2 in the hierarchy.
The information above is not intended to reflect an exhaustive list of the methodologies that may be used to value portfolio investments. The valuation procedures permit the use of a variety of valuation methodologies in connection with valuing portfolio investments. The methodology used for a specific type of investment may vary based on the market data available or other considerations. The methodologies summarized above may not represent the specific means by which portfolio investments are valued on any particular business day.
The valuation techniques and significant amounts of unobservable inputs used in the fair valuation of each Portfolio's Level 3 securities are outlined in the table below. A significant increase or decrease in any of those inputs in isolation would result in a significantly higher or lower fair value measurement.
MainStay VP MacKay High Yield Corporate Bond Portfolio
Asset Class | Fair Value at 9/30/21* | Valuation Technique | Unobservable Inputs | Inputs/Range |
Corporate Bonds | $3,319,160 | Income Approach | Spread Adjustment | 0.72% |
Loan Assignments | 5,012,840 | Market Approach | Implied natural gas price | $2.70 |
Discount Rate | 10.00% | |||
Common Stocks | 113 | Market Approach | Ownership % of equity interest | 16.56%-39.70% |
9,041,250 | Income Approach | Rate of Return | 13.00% | |
Market Approach | EBITDA Multiple | 6.50x-9.00x | ||
2,428,637 | Market Approach | EBITDA Multiple | 5.75x | |
0 | Market Approach | Implied natural gas price | $2.70 | |
Discount Rate | 10.00% | |||
Preferred Stock | 8,028,898 | Income Approach | Spread Adjustment | 4.21% |
197,334 | Market Approach | Liquidity discount | 10.00% | |
$28,028,232 | ||||
* The table above does not include a level 3 investment that was valued by a broker. As of September 30, 2021, the value of this investment was $7,000,000. The inputs for this investment were not readily available or cannot be reasonably estimated. |
A portfolio investment may be classified as an illiquid investment under a Portfolio's written liquidity risk management program and related procedures (“Liquidity Program”). Illiquidity of an investment might prevent the sale of such investment at a time when the Manager or the Subadvisor(s) might wish to sell, and these investments could have the effect of decreasing the overall level of a Portfolio's liquidity. Further, the lack of an established secondary market may make it more difficult to value illiquid investments, requiring the Portfolio to rely on judgments that may be somewhat subjective in measuring value, which could vary materially from the amount that a Portfolio could realize upon disposition. Difficulty in selling illiquid investments may result in a loss or may be costly to the Portfolio. An illiquid investment is any investment that the Manager or Subadvisor(s) reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The liquidity classification of each investment will be made using information obtained after reasonable inquiry and taking into account, among other things, relevant market, trading and investment-specific considerations in accordance with the Liquidity Program. Illiquid investments are often valued in accordance with methods deemed by the Board in good faith to be reasonable and appropriate to accurately reflect their fair value. The liquidity of each Portfolio's investments was determined as of September 30, 2021, and can change at any time. Illiquid investments as of September 30, 2021, are shown in the Portfolio of Investments.
MainStay VP Balanced Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ — | $ 36,027 | $ (32,923) | $ — | $ — | $ 3,104 | $ —(a) | $ — | 3,104 |
(a) | Less than $500. |
MainStay VP Conservative Allocation Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
IQ 50 Percent Hedged FTSE International ETF | $ 14,322 | $ 36 | $ (2,031) | $ 227 | $ 858 | $ 13,412 | $ 309 | $ — | 549 |
IQ 500 International ETF | 11,409 | 474 | (1,070) | 123 | 1,174 | 12,110 | 231 | — | 372 |
IQ Candriam ESG International Equity ETF | 12,059 | — | (1,248) | 364 | 479 | 11,654 | 237 | — | 398 |
IQ Candriam ESG U.S. Equity ETF | 19,112 | 1,752 | (1,942) | 393 | 2,319 | 21,634 | 178 | — | 582 |
IQ Chaikin U.S. Large Cap ETF | 13,446 | 7 | (1,630) | 379 | 1,363 | 13,565 | 109 | — | 409 |
IQ Chaikin U.S. Small Cap ETF | 6,251 | 70 | (1,655) | 468 | 655 | 5,789 | 46 | — | 166 |
IQ S&P High Yield Low Volatility Bond ETF | 7,049 | 151 | (7,100) | 76 | (176) | — | 105 | — | — |
MainStay Epoch Capital Growth Fund Class I | 2,548 | 43 | (440) | 53 | 315 | 2,519 | — | — | 156 |
MainStay Epoch International Choice Fund Class I | 7,627 | 75 | (1,022) | 108 | 165 | 6,953 | — | — | 170 |
MainStay MacKay Short Duration High Yield Fund Class I | 53,201 | 5,037 | (23,727) | 120 | 643 | 35,274 | 1,593 | — | 3,570 |
MainStay Short Term Bond Fund Class I | — | 3,596 | (61) | — | (23) | 3,512 | 26 | — | 357 |
MainStay U.S. Government Liquidity Fund | 22,830 | 175,572 | (140,131) | — | — | 58,271 | 4 | — | 58,271 |
MainStay VP Bond Portfolio Initial Class | 49,624 | 810 | (11,202) | 1,119 | (1,666) | 38,685 | — | — | 2,546 |
MainStay VP Candriam Emerging Markets Equity Portfolio Initial Class (a) | 11,057 | 521 | (1,991) | 530 | (369) | 9,748 | — | — | 845 |
MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class | 11,941 | 141 | (1,307) | 165 | 1,280 | 12,220 | — | — | 717 |
MainStay VP Floating Rate Portfolio Initial Class | 21,199 | 32,305 | (772) | (22) | 232 | 52,942 | 861 | — | 5,959 |
MainStay VP Indexed Bond Portfolio Initial Class | 280,683 | 4,779 | (61,268) | 6,604 | (11,632) | 219,166 | — | — | 19,845 |
MainStay VP MacKay High Yield Corporate Bond Portfolio Initial Class | — | 28,007 | (146) | 2 | 262 | 28,125 | — | — | 2,702 |
MainStay VP Conservative Allocation Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay VP MacKay International Equity Portfolio Initial Class | $ 8,073 | $ — | $ (3,676) | $ 765 | $ (135) | $ 5,027 | $ — | $ — | 248 |
MainStay VP MacKay S&P 500 Index Portfolio Initial Class | 37,381 | — | (26,071) | 10,070 | (4,601) | 16,779 | — | — | 203 |
MainStay VP PIMCO Real Return Portfolio Initial Class | 7,078 | 94 | (414) | 40 | 183 | 6,981 | — | — | 715 |
MainStay VP Small Cap Growth Portfolio Initial Class | 16,155 | 922 | (7,897) | 2,696 | (1,615) | 10,261 | — | — | 523 |
MainStay VP T. Rowe Price Equity Income Portfolio Initial Class | 10,147 | 1,138 | (1,651) | 127 | 1,494 | 11,255 | — | — | 831 |
MainStay VP Wellington Growth Portfolio Initial Class (b) | 5,992 | 6,623 | (758) | 221 | 1,065 | 13,143 | — | — | 293 |
MainStay VP Wellington Mid Cap Portfolio Initial Class (c) | 9,783 | — | (1,907) | 56 | 1,192 | 9,124 | — | — | 577 |
MainStay VP Wellington Small Cap Portfolio Initial Class (d) | 6,717 | 33 | (1,569) | 400 | 431 | 6,012 | — | — | 459 |
MainStay VP Wellington U.S. Equity Portfolio Initial Class (e) | — | 4,370 | — | — | 101 | 4,471 | — | — | 135 |
MainStay VP Winslow Large Cap Growth Portfolio Initial Class | 22,519 | 793 | (2,612) | 735 | 2,713 | 24,148 | — | — | 636 |
MainStay WMC Enduring Capital Fund Class R6 (f)(g) | 12,942 | 5,648 | (6,985) | (789) | (2,036) | 8,780 | 5 | 5,642 | 257 |
MainStay WMC International Research Equity Fund Class I (h) | 6,116 | 1,129 | (1,208) | (163) | 674 | 6,548 | — | — | 823 |
MainStay WMC Value Fund Class R6 (i)(j) | 14,991 | 7 | (2,108) | 476 | 1,792 | 15,158 | — | — | 278 |
$ 702,252 | $ 274,133 | $ (315,599) | $ 25,343 | $ (2,863) | $ 683,266 | $ 3,704 | $ 5,642 |
(a) | Prior to May 1, 2021, known as MainStay VP Emerging Markets Equity Portfolio Initial Class. |
(b) | Prior to May 1, 2021, known as MainStay VP MacKay Growth Portfolio Initial Class. |
(c) | Prior to May 1, 2021, known as MainStay VP MacKay Mid Cap Core Portfolio Initial Class. |
(d) | Prior to May 1, 2021, known as MainStay VP MacKay Small Cap Core Portfolio Initial Class. |
(e) | Prior to May 1, 2021, known as MainStay VP MacKay Common Stock Portfolio Initial Class. |
(f) | As of April 26, 2021, the Fund exchanged in a nontaxable transfer all shares of the MainStay Epoch U.S. All Cap Fund Class R6 into the newly launched MainStay WMC Enduring Capital Fund Class R6. |
(g) | As of April 27, 2021, the Fund exchanged in a nontaxable transfer all shares of the MainStay WMC Enduring Capital Fund Class I into the newly launched MainStay WMC Enduring Capital Fund Class R6. |
(h) | Prior to March 5, 2021, known as MainStay MacKay International Opportunities Fund Class I. |
(i) | Prior to April 26, 2021, known as MainStay MAP Equity Fund Class I. |
(j) | As of April 27, 2021, the Fund exchanged in a nontaxable transfer all shares of the MainStay WMC Value Fund Class I into the newly launched MainStay WMC Value Fund Class R6. |
MainStay VP CBRE Global Infrastructure Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 303 | $ 4,935 | $ (4,984) | $ — | $ — | $ 254 | $ —(a) | $ — | 254 |
(a) | Less than $500. |
MainStay VP Candriam Emerging Markets Equity Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 2,098 | $ 39,589 | $ (41,687) | $ — | $ — | $ — | $ —(a) | $ — | — |
(a) | Less than $500. |
MainStay VP Epoch U.S. Equity Yield Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 21,984 | $ 130,657 | $ (123,817) | $ — | $ — | $ 28,824 | $ 1 | $ — | 28,824 |
MainStay VP Fidelity Institutional AM® Utilities Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 19,834 | $ 193,276 | $ (203,444) | $ — | $ — | $ 9,666 | $ 1 | $ — | 9,666 |
MainStay VP Floating Rate Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay MacKay High Yield Corporate Bond Fund Class I | $ 2,454 | $ — | $ — | $ — | $ 23 | $ 2,477 | $ 97 | $ — | 437 |
MainStay VP Equity Allocation Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
IQ 50 Percent Hedged FTSE International ETF | $ 23,239 | $ — | $ (600) | $ 86 | $ 1,706 | $ 24,431 | $ 554 | $ — | 1,000 |
IQ 500 International ETF | 50,814 | — | (7,415) | 1,267 | 4,516 | 49,182 | 965 | — | 1,511 |
IQ Candriam ESG International Equity ETF | 17,844 | 16,259 | (142) | 47 | 1,231 | 35,239 | 624 | — | 1,204 |
IQ Candriam ESG U.S. Equity ETF | 69,281 | 11,741 | (919) | 290 | 11,111 | 91,504 | 767 | — | 2,462 |
IQ Chaikin U.S. Large Cap ETF | 46,551 | 986 | (222) | 45 | 6,424 | 53,784 | 421 | — | 1,621 |
IQ Chaikin U.S. Small Cap ETF | 8,540 | 34,663 | (16,711) | 2,660 | (959) | 28,193 | 141 | — | 809 |
MainStay Epoch Capital Growth Fund Class I | 4,052 | — | (233) | 41 | 569 | 4,429 | — | — | 273 |
MainStay Epoch International Choice Fund Class I | 46,636 | — | (8,289) | 2,511 | (752) | 40,106 | — | — | 983 |
MainStay U.S. Government Liquidity Fund | 28,141 | 199,980 | (187,713) | — | — | 40,408 | 2 | — | 40,408 |
MainStay VP Candriam Emerging Markets Equity Portfolio Initial Class (a) | 66,393 | 104 | (11,666) | 3,691 | (2,497) | 56,025 | — | — | 4,856 |
MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class | 67,585 | 77 | (8,871) | 269 | 7,832 | 66,892 | — | — | 3,924 |
MainStay VP MacKay International Equity Portfolio Initial Class | 38,142 | — | (5,626) | 1,755 | 1,846 | 36,117 | — | — | 1,782 |
MainStay VP MacKay S&P 500 Index Portfolio Initial Class | 146,224 | 301 | (52,938) | 18,017 | 4,804 | 116,408 | — | — | 1,408 |
MainStay VP Small Cap Growth Portfolio Initial Class | 69,758 | — | (31,211) | 8,851 | (3,545) | 43,853 | — | — | 2,235 |
MainStay VP T. Rowe Price Equity Income Portfolio Initial Class | 60,492 | 3,831 | (11,886) | (620) | 10,325 | 62,142 | — | — | 4,589 |
MainStay VP Wellington Growth Portfolio Initial Class (b) | 35,564 | 21,825 | (6,211) | 1,431 | 3,764 | 56,373 | — | — | 1,256 |
MainStay VP Wellington Mid Cap Portfolio Initial Class (c) | 50,281 | 313 | (11,892) | 1,889 | 4,482 | 45,073 | — | — | 2,850 |
MainStay VP Wellington Small Cap Portfolio Initial Class (d) | 32,259 | 300 | (10,689) | 758 | 3,435 | 26,063 | — | — | 1,989 |
MainStay VP Wellington U.S. Equity Portfolio Initial Class (e) | — | 26,680 | — | — | 634 | 27,314 | — | — | 828 |
MainStay VP Winslow Large Cap Growth Portfolio Initial Class | 102,494 | — | (24,457) | 8,212 | 6,298 | 92,547 | — | — | 2,436 |
MainStay WMC Enduring Capital Fund Class R6 (f)(g) | 44,574 | 22,650 | (34,071) | (8,415) | (3,398) | 21,340 | 19 | 22,604 | 625 |
MainStay WMC International Research Equity Fund Class I (h) | 41,274 | — | (5,022) | (685) | 3,986 | 39,553 | — | — | 4,972 |
MainStay WMC Value Fund Class R6 (i)(j) | 81,922 | — | (20,233) | 5,198 | 7,336 | 74,223 | — | — | 1,363 |
$ 1,132,060 | $ 339,710 | $ (457,017) | $ 47,298 | $ 69,148 | $ 1,131,199 | $ 3,493 | $ 22,604 |
(a) | Prior to May 1, 2021, known as MainStay VP Emerging Markets Equity Portfolio Initial Class. |
(b) | Prior to May 1, 2021, known as MainStay VP MacKay Growth Portfolio Initial Class. |
(c) | Prior to May 1, 2021, known as MainStay VP MacKay Mid Cap Core Portfolio Initial Class. |
(d) | Prior to May 1, 2021, known as MainStay VP MacKay Small Cap Core Portfolio Initial Class. |
(e) | Prior to May 1, 2021, known as MainStay VP MacKay Common Stock Portfolio Initial Class. |
(f) | As of April 26, 2021, the Fund exchanged in a nontaxable transfer all shares of the MainStay Epoch U.S. All Cap Fund Class R6 into the newly launched MainStay WMC Enduring Capital Fund Class R6. |
(g) | As of April 27, 2021, the Fund exchanged in a nontaxable transfer all shares of the MainStay WMC Enduring Capital Fund Class I into the newly launched MainStay WMC Enduring Capital Fund Class R6. |
(h) | Prior to March 5, 2021, known as MainStay MacKay International Opportunities Fund Class I. |
(i) | Prior to April 26, 2021, known as MainStay MAP Equity Fund Class I. |
(j) | As of April 27, 2021, the Fund exchanged in a nontaxable transfer all shares of the MainStay WMC Value Fund Class I into the newly launched MainStay WMC Value Fund Class R6. |
MainStay VP Income Builder Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 25,926 | $ 160,534 | $ (159,985) | $ — | $ — | $ 26,475 | $ 2 | $ — | 26,475 |
MainStay VP IQ Hedge Multi-Strategy Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
IQ Ultra Short Duration ETF | $ 57,488 | $ 21,789 | $ (26,165) | $ 537 | $ (684) | $ 52,965 | $ 698 | $ — | 1,070 |
MainStay U.S. Government Liquidity Fund | 4,176 | 20,947 | (22,484) | — | — | 2,639 | —(a) | — | 2,639 |
$ 61,664 | $ 42,736 | $ (48,649) | $ 537 | $ (684) | $ 55,604 | $ 698 | $ — |
(a) | Less than $500. |
MainStay VP Janus Henderson Balanced Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 33,485 | $ 248,204 | $ (216,619) | $ — | $ — | $ 65,070 | $ 3 | $ — | 65,070 |
MainStay VP Wellington U.S. Equity Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 2,314 | $ 113,639 | $ (98,897) | $ — | $ — | $ 17,056 | $ 1 | $ — | 17,056 |
MainStay VP MacKay Convertible Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 163,347 | $ 754,788 | $ (761,971) | $ — | $ — | $ 156,164 | $ 13 | $ — | 156,164 |
MainStay VP MacKay Government Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 12,052 | $ 197,831 | $ (199,274) | $ — | $ — | $ 10,609 | $ 1 | $ — | 10,609 |
MainStay VP Wellington Growth Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 32 | $ 108,609 | $ (101,513) | $ — | $ — | $ 7,128 | $ —(a) | $ — | 7,128 |
(a) | Less than $500. |
MainStay VP MacKay International Equity Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 622 | $ 44,284 | $ (44,609) | $ — | $ — | $ 297 | $ —(a) | $ — | 297 |
(a) | Less than $500. |
MainStay VP MacKay S&P 500 Index Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 1,897 | $ 47,010 | $ (48,859) | $ — | $ — | $ 48 | $ —(a) | $ — | 48 |
(a) | Less than $500. |
MainStay VP Wellington Small Cap Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ — | $ 133,626 | $ (122,162) | $ — | $ — | $ 11,464 | $ —(a) | $ — | 11,464 |
(a) | Less than $500. |
MainStay VP MacKay Strategic Bond Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 63,644 | $ 299,719 | $ (295,701) | $ — | $ — | $ 67,662 | $ 5 | $ — | 67,662 |
MainStay VP Natural Resources Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 1,065 | $ 65,235 | $ (59,408) | $ — | $ — | $ 6,892 | $ —(a) | $ — | 6,892 |
(a) | Less than $500. |
MainStay VP Moderate Allocation Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
IQ 50 Percent Hedged FTSE International ETF | $ 24,322 | $ — | $ (5,088) | $ 663 | $ 1,219 | $ 21,116 | $ 499 | $ — | 865 |
IQ 500 International ETF | 30,000 | 233 | (5,505) | 709 | 2,656 | 28,093 | 543 | — | 863 |
IQ Candriam ESG International Equity ETF | 19,430 | 6,383 | (445) | 141 | 1,156 | 26,665 | 495 | — | 911 |
IQ Candriam ESG U.S. Equity ETF | 36,733 | 8,845 | — | — | 6,033 | 51,611 | 418 | — | 1,389 |
IQ Chaikin U.S. Large Cap ETF | 35,922 | 16 | (6,506) | 1,493 | 3,005 | 33,930 | 273 | — | 1,023 |
IQ Chaikin U.S. Small Cap ETF | 10,445 | 7,926 | (2,040) | 466 | 1,670 | 18,467 | 147 | — | 530 |
IQ S&P High Yield Low Volatility Bond ETF | 10,834 | 374 | (11,052) | 114 | (270) | — | 162 | — | — |
MainStay Epoch Capital Growth Fund Class I | 3,917 | — | (270) | 44 | 537 | 4,228 | — | — | 261 |
MainStay Epoch International Choice Fund Class I | 25,145 | — | (6,448) | 965 | (24) | 19,638 | — | — | 481 |
MainStay MacKay Short Duration High Yield Fund Class I | 54,503 | 6,931 | (34,544) | 155 | 655 | 27,700 | 1,613 | — | 2,803 |
MainStay Short Term Bond Fund Class I | — | 5,685 | (138) | (1) | (35) | 5,511 | 40 | — | 560 |
MainStay U.S. Government Liquidity Fund | 35,517 | 277,272 | (222,066) | — | — | 90,723 | 6 | — | 90,723 |
MainStay VP Bond Portfolio Initial Class | 51,927 | 1,116 | (16,374) | 970 | (1,544) | 36,095 | — | — | 2,376 |
MainStay VP Candriam Emerging Markets Equity Portfolio Initial Class (a) | 32,779 | 97 | (7,928) | 1,653 | (948) | 25,653 | — | — | 2,224 |
MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class | 36,333 | 33 | (8,079) | 107 | 3,958 | 32,352 | — | — | 1,898 |
MainStay VP Floating Rate Portfolio Initial Class | 5,429 | 50,132 | (280) | (3) | 107 | 55,385 | 684 | — | 6,234 |
MainStay VP Indexed Bond Portfolio Initial Class | 293,707 | 6,127 | (90,171) | 9,838 | (15,141) | 204,360 | — | — | 18,505 |
MainStay VP MacKay High Yield Corporate Bond Portfolio Initial Class | — | 43,771 | (49) | 1 | 412 | 44,135 | — | — | 4,240 |
MainStay VP MacKay International Equity Portfolio Initial Class | 10,397 | 3,950 | (707) | 273 | 1,087 | 15,000 | — | — | 740 |
MainStay VP MacKay S&P 500 Index Portfolio Initial Class | 71,458 | — | (44,494) | 18,208 | (7,287) | 37,885 | — | — | 458 |
MainStay VP PIMCO Real Return Portfolio Initial Class | 10,893 | 203 | (488) | 48 | 298 | 10,954 | — | — | 1,121 |
MainStay VP Small Cap Growth Portfolio Initial Class | 33,784 | 5,762 | (11,601) | 4,730 | (2,187) | 30,488 | — | — | 1,554 |
MainStay VP T. Rowe Price Equity Income Portfolio Initial Class | 31,943 | 45 | (9,313) | (466) | 5,295 | 27,504 | — | — | 2,031 |
MainStay VP Wellington Growth Portfolio Initial Class (b) | 18,846 | 6,537 | (6,084) | 1,451 | 1,303 | 22,053 | — | — | 491 |
MainStay VP Wellington Mid Cap Portfolio Initial Class (c) | 31,932 | 10 | (9,802) | 2,082 | 1,870 | 26,092 | — | — | 1,650 |
MainStay VP Wellington Small Cap Portfolio Initial Class (d) | 15,554 | 1,842 | (294) | (36) | 1,782 | 18,848 | — | — | 1,438 |
MainStay VP Wellington U.S. Equity Portfolio Initial Class (e) | — | 4,092 | — | — | 61 | 4,153 | — | — | 126 |
MainStay VP Winslow Large Cap Growth Portfolio Initial Class | 55,366 | 7 | (7,911) | 2,684 | 5,303 | 55,449 | — | — | 1,459 |
MainStay WMC Enduring Capital Fund Class R6 (f)(g) | 35,599 | 13,594 | (10,430) | 2,604 | (9,338) | 32,029 | 12 | 13,582 | 938 |
MainStay WMC International Research Equity Fund Class I (h) | 21,815 | — | (4,923) | (974) | 2,724 | 18,642 | — | — | 2,343 |
MainStay VP Moderate Allocation Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay WMC Value Fund Class R6 (i)(j) | $ 40,635 | $ 22 | $ (9,693) | $ 1,770 | $ 4,000 | $ 36,734 | $ — | $ — | 675 |
$ 1,085,165 | $ 451,005 | $ (532,723) | $ 49,689 | $ 8,357 | $ 1,061,493 | $ 4,892 | $ 13,582 |
(a) | Prior to May 1, 2021, known as MainStay VP Emerging Markets Equity Portfolio Initial Class. |
(b) | Prior to May 1, 2021, known as MainStay VP MacKay Growth Portfolio Initial Class. |
(c) | Prior to May 1, 2021, known as MainStay VP MacKay Mid Cap Core Portfolio Initial Class. |
(d) | Prior to May 1, 2021, known as MainStay VP MacKay Small Cap Core Portfolio Initial Class. |
(e) | Prior to May 1, 2021, known as MainStay VP MacKay Common Stock Portfolio Initial Class. |
(f) | As of April 26, 2021, the Fund exchanged in a nontaxable transfer all shares of the MainStay Epoch U.S. All Cap Fund Class R6 into the newly launched MainStay WMC Enduring Capital Fund Class R6. |
(g) | As of April 27, 2021, the Fund exchanged in a nontaxable transfer all shares of the MainStay WMC Enduring Capital Fund Class I into the newly launched MainStay WMC Enduring Capital Fund Class R6. |
(h) | Prior to March 5, 2021, known as MainStay MacKay International Opportunities Fund Class I. |
(i) | Prior to April 26, 2021, known as MainStay MAP Equity Fund Class I. |
(j) | As of April 27, 2021, the Fund exchanged in a nontaxable transfer all shares of the MainStay WMC Value Fund Class I into the newly launched MainStay WMC Value Fund Class R6. |
MainStay VP Growth Allocation Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
IQ 50 Percent Hedged FTSE International ETF | $ 41,263 | $ — | $ (3,788) | $ 458 | $ 2,783 | $ 40,716 | $ 945 | $ — | 1,667 |
IQ 500 International ETF | 70,393 | — | (12,246) | 2,460 | 5,612 | 66,219 | 1,306 | — | 2,034 |
IQ Candriam ESG International Equity ETF | 24,894 | 10,910 | (256) | 84 | 1,681 | 37,313 | 707 | — | 1,275 |
IQ Candriam ESG U.S. Equity ETF | 71,473 | 22,533 | (1,421) | 432 | 12,485 | 105,502 | 886 | — | 2,839 |
IQ Chaikin U.S. Large Cap ETF | 74,711 | 20 | (4,366) | 1,053 | 9,033 | 80,451 | 642 | — | 2,425 |
IQ Chaikin U.S. Small Cap ETF | 17,245 | 4,348 | (126) | 27 | 3,312 | 24,806 | 188 | — | 712 |
IQ S&P High Yield Low Volatility Bond ETF | 18,024 | 766 | (18,527) | 181 | (444) | — | 273 | — | — |
MainStay Epoch Capital Growth Fund Class I | 6,518 | — | (388) | 75 | 896 | 7,101 | — | — | 438 |
MainStay Epoch International Choice Fund Class I | 63,234 | — | (13,826) | 4,102 | (1,660) | 51,850 | — | — | 1,271 |
MainStay MacKay Short Duration High Yield Fund Class I | 90,674 | 12,965 | (59,030) | 268 | 1,078 | 45,955 | 2,695 | — | 4,651 |
MainStay Short Term Bond Fund Class I | — | 9,553 | (351) | (1) | (58) | 9,143 | 67 | — | 930 |
MainStay U.S. Government Liquidity Fund | 49,196 | 489,616 | (393,404) | — | — | 145,408 | 9 | — | 145,408 |
MainStay VP Bond Portfolio Initial Class | 32,398 | 446 | (27,060) | 1,709 | (2,049) | 5,444 | — | — | 358 |
MainStay VP Candriam Emerging Markets Equity Portfolio Initial Class (a) | 79,737 | — | (17,180) | 3,625 | (2,021) | 64,161 | — | — | 5,561 |
MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class | 82,128 | 36 | (12,300) | 241 | 9,428 | 79,533 | — | — | 4,665 |
MainStay VP Floating Rate Portfolio Initial Class | 9,032 | 83,168 | (483) | (2) | 172 | 91,887 | 1,143 | — | 10,343 |
MainStay VP Indexed Bond Portfolio Initial Class | 183,242 | 1,900 | (151,037) | (2,668) | (596) | 30,841 | — | — | 2,793 |
MainStay VP Growth Allocation Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay VP MacKay High Yield Corporate Bond Portfolio Initial Class | $ — | $ 73,074 | $ (538) | $ 7 | $ 678 | $ 73,221 | $ — | $ — | 7,035 |
MainStay VP MacKay International Equity Portfolio Initial Class | 29,531 | 60 | (178) | 49 | 2,871 | 32,333 | — | — | 1,596 |
MainStay VP MacKay S&P 500 Index Portfolio Initial Class | 148,274 | — | (74,212) | 30,385 | (7,448) | 96,999 | — | — | 1,173 |
MainStay VP PIMCO Real Return Portfolio Initial Class | 18,122 | 578 | (1,108) | 117 | 464 | 18,173 | — | — | 1,860 |
MainStay VP Small Cap Growth Portfolio Initial Class | 121,943 | — | (41,788) | 15,446 | (6,211) | 89,390 | — | — | 4,555 |
MainStay VP T. Rowe Price Equity Income Portfolio Initial Class | 71,125 | 50 | (15,273) | 459 | 10,771 | 67,132 | — | — | 4,958 |
MainStay VP Wellington Growth Portfolio Initial Class (b) | 38,429 | 6,893 | (8,267) | 1,871 | 3,466 | 42,392 | — | — | 945 |
MainStay VP Wellington Mid Cap Portfolio Initial Class (c) | 67,461 | 250 | (15,862) | 1,806 | 6,650 | 60,305 | — | — | 3,813 |
MainStay VP Wellington Small Cap Portfolio Initial Class (d) | 60,390 | 239 | (14,623) | 876 | 6,818 | 53,700 | — | — | 4,098 |
MainStay VP Wellington U.S. Equity Portfolio Initial Class (e) | — | 1,806 | — | — | (36) | 1,770 | — | — | 54 |
MainStay VP Winslow Large Cap Growth Portfolio Initial Class | 122,219 | — | (23,582) | 8,278 | 10,267 | 117,182 | — | — | 3,084 |
MainStay WMC Enduring Capital Fund Class R6 (f)(g) | 71,349 | 31,626 | (23,591) | (2,180) | (14,044) | 63,160 | 27 | 31,598 | 1,851 |
MainStay WMC International Research Equity Fund Class I (h) | 55,766 | — | (9,930) | (1,551) | 6,079 | 50,364 | — | — | 6,331 |
MainStay WMC Value Fund Class R6 (i)(j) | 90,137 | 20 | (15,513) | 4,575 | 8,770 | 87,989 | — | — | 1,616 |
$ 1,808,908 | $ 750,857 | $ (960,254) | $ 72,182 | $ 68,747 | $ 1,740,440 | $ 8,888 | $ 31,598 |
(a) | Prior to May 1, 2021, known as MainStay VP Emerging Markets Equity Portfolio Initial Class. |
(b) | Prior to May 1, 2021, known as MainStay VP MacKay Growth Portfolio Initial Class. |
(c) | Prior to May 1, 2021, known as MainStay VP MacKay Mid Cap Core Portfolio Initial Class. |
(d) | Prior to May 1, 2021, known as MainStay VP MacKay Small Cap Core Portfolio Initial Class. |
(e) | Prior to May 1, 2021, known as MainStay VP MacKay Common Stock Portfolio Initial Class. |
(f) | As of April 26, 2021, the Fund exchanged in a nontaxable transfer all shares of the MainStay Epoch U.S. All Cap Fund Class R6 into the newly launched MainStay WMC Enduring Capital Fund Class R6. |
(g) | As of April 27, 2021, the Fund exchanged in a nontaxable transfer all shares of the MainStay WMC Enduring Capital Fund Class I into the newly launched MainStay WMC Enduring Capital Fund Class R6. |
(h) | Prior to March 5, 2021, known as MainStay MacKay International Opportunities Fund Class I. |
(i) | Prior to April 26, 2021, known as MainStay MAP Equity Fund Class I. |
(j) | As of April 27, 2021, the Fund exchanged in a nontaxable transfer all shares of the MainStay WMC Value Fund Class I into the newly launched MainStay WMC Value Fund Class R6. |
MainStay VP PIMCO Real Return Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 1,440 | $ 154,469 | $ (153,776) | $ — | $ — | $ 2,133 | $ —(a) | $ — | 2,133 |
(a) | Less than $500. |
MainStay VP Small Cap Growth Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 9,588 | $ 182,660 | $ (167,924) | $ — | $ — | $ 24,324 | $ 1 | $ — | 24,324 |
MainStay VP T. Rowe Price Equity Income Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 4,433 | $ 86,846 | $ (82,871) | $ — | $ — | $ 8,408 | $ —(a) | $ — | 8,408 |
(a) | Less than $500. |
MainStay VP Wellington Mid Cap Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ — | $ 73,232 | $ (70,461) | $ — | $ — | $ 2,771 | $ —(a) | $ — | 2,771 |
(a) | Less than $500. |
MainStay VP Winslow Large Cap Growth Portfolio | |||||||||
Affiliated Investment Companies | Value, Beginning of Period | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Value, End of Period | Dividend Income | Other Distributions | Shares End of Period |
MainStay U.S. Government Liquidity Fund | $ 14,908 | $ 272,986 | $ (260,895) | $ — | $ — | $ 26,999 | $ 1 | $ — | 26,999 |