NPORT-EX 2 MW50MWHighYieldBondFund.htm DOS

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

BONDS – 94.04%

 

   

BANK LOANS — 10.24%*

 

   

Communications — 3.35%

 

   

CenturyLink, Inc.,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 2.25%)

 

   

2.43%

      03/15/27 1    $ 925,350      $ 875,677  

Colorado Buyer, Inc.,

 

   

Term Loan, 1st Lien

 

   

(LIBOR plus 3.00%)

 

   

4.00%

      05/01/24 1,2,3      902,100        693,395  

Colorado Buyer, Inc.,

 

   

Term Loan, 2nd Lien

 

   

(LIBOR plus 7.25%)

 

   

8.25%

      05/01/25 1,2,3      480,000        180,814  

CommScope, Inc.,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 3.25%)

 

   

3.43%

      04/04/26 1      992,500        943,704  

CSC Holdings LLC,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 2.25%)

 

   

2.43%

      07/17/25 1      4,581,342        4,350,122  

Frontier Communications Corp.,

 

   

Term Loan B, 1st Lien

 

   

(PRIME plus 2.75%)

 

   

6.00%

      06/17/24 1      8,579        8,390  

(LIBOR plus 3.75%)

 

   

5.35%

      06/17/24 1      2,567,035        2,510,650  

GTT Communications, Inc.,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 2.75%)

 

   

2.93%

      05/31/25 1      1,438,987        1,071,002  

Intelsat Jackson Holdings SA,

 

   

Term Loan B5, 1st Lien (Luxembourg)

 

   

8.63%

      01/02/24 1,4      1,329,300        1,333,042  

Intelsat Jackson Holdings,

 

   

Delayed-Draw Term Loan, 1st Lien

 

   

(Luxembourg)

 

   

(LIBOR plus 5.50%)

 

   

6.50%

      07/13/21 1,4,5      143,269        145,821  

MacDonald Dettwiler & Associates Ltd.,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 2.75%)

 

   

2.93%

      10/05/24 1      990,818        931,681  

NEP/NCP Holdco, Inc.,

 

   

Term Loan, 2nd Lien

 

   

(LIBOR plus 7.00%)

 

   

7.18%

      10/19/26 1      875,000        659,168  

Securus Technologies Holdings, Inc.,

 

   

Term Loan, 1st Lien

 

   

(LIBOR plus 4.50%)

 

   

5.50%

      11/01/24 1      1,544,122        1,290,948  
Issues    Maturity
Date		     Principal
Amount		      Value  

BANK LOANS (continued)

 

   

Communications (continued)

 

   

Sinclair Television Group, Inc.,

 

   

Term Loan B2B, 1st Lien

 

   

(LIBOR plus 2.50%)

 

   

2.69%

      09/30/26 1    $ 1,240,625      $ 1,187,898  

T-Mobile USA, Inc.,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 3.00%)

 

   

3.18%

      04/01/27 1      2,350,000        2,348,931  

Zayo Group Holdings, Inc.,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 3.00%)

 

   

3.18%

      03/09/27 1      2,319,188        2,208,910  
  

 

 

  
     20,740,153  
  

 

 

  

Consumer Discretionary — 0.36%

 

   

CityCenter Holdings LLC,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 2.25%)

 

   

3.00%

      04/18/24 1      1,572,107        1,434,351  

Landry’s

 

   

Term Loan, 1st Lien

 

   

(LIBOR plus 12.00%)

 

   

13.00%

      10/06/23 1      750,000        825,000  
  

 

 

  
     2,259,351  
  

 

 

  

Entertainment — 0.40%

 

   

CineWorld Finance US, Inc.,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 2.25%)

 

   

3.32%

      02/28/25 1      3,236,975        2,459,243  
  

 

 

  

Finance — 0.07%

 

   

Auris Lux III SA,

 

   

Term Loan B, 1st Lien (Luxembourg)

 

   

(LIBOR plus 3.75%)

 

   

3.93%

      02/27/26 1,4      518,438        456,226  
  

 

 

  

Food — 0.38%

 

   

Houston Foods, Inc.,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 3.75%)

 

   

3.93%

      07/20/25 1      539,000        501,944  

JBS USA LUX SA,

 

   

Term Loan B, 1st Lien (Canada)

 

   

(LIBOR plus 2.00%)

 

   

3.07%

      05/01/26 1,4      1,902,298        1,826,739  
  

 

 

  
     2,328,683  
  

 

 

  

Gaming — 0.57%

 

   

Churchill Downs, Inc.,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 2.00%)

 

   

2.18%

      12/27/24 1      2,212,310        2,149,746  
 

 

June 2020 / 1

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

BANK LOANS (continued)

 

   

Gaming (continued)

 

   

Golden Nugget

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 2.50%)

 

   

3.25%

      10/04/23 1    $ 1,701,739      $ 1,365,645  
  

 

 

  
     3,515,391  
  

 

 

  

Health Care — 1.84%

 

   

Acadia Healthcare Co., Inc.,

 

   

Term Loan B4, 1st Lien

 

   

(LIBOR plus 2.50%)

 

   

2.68%

      02/16/23 1      1,191,708        1,170,853  

Alphabet Holding Co., Inc.,

 

   

Term Loan, 1st Lien

 

   

(LIBOR plus 3.50%)

 

   

3.68%

      09/26/24 1      990,865        935,436  

BCPE Eagle Buyer LLC,

 

   

Term Loan, 1st Lien

 

   

(LIBOR plus 4.25%)

 

   

5.25%

      03/13/24 1      769,113        685,795  

BCPE Eagle Buyer LLC,

 

   

Term Loan, 2nd Lien

 

   

(LIBOR plus 8.00%)

 

   

9.00%

      03/13/25 1,2,3      465,000        390,600  

Change Healthcare Holdings LLC,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 2.50%)

 

   

3.50%

      03/01/24 1      1,846,122        1,779,579  

Elanco Animal Health, Inc.,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 1.75%)

 

   

1.75%

      02/04/27 1      3,855,000        3,686,344  

Endo Luxembourg Finance I Co. SARL,

 

   

Term Loan B, 1st Lien (Luxembourg)

 

   

(LIBOR plus 4.25%)

 

   

5.00%

      04/29/24 1,4      932,692        885,036  

Gentiva Health Services, Inc.,

 

   

Term Loan, 1st Lien

 

   

(LIBOR plus 3.25%)

 

   

3.44%

      07/02/25 1      1,083,088        1,053,303  

Wink Holdco, Inc.,

 

   

Term Loan, 2nd Lien

 

   

(LIBOR plus 6.75%)

 

   

7.75%

      12/01/25 1      850,000        820,250  
  

 

 

  
     11,407,196  
  

 

 

  

Industrials — 1.19%

 

   

Berry Plastics Group, Inc.,

 

   

Term Loan Y, 1st Lien

 

   

(LIBOR plus 2.00%)

 

   

2.18%

      07/01/26 1      2,673,000        2,562,913  
Issues    Maturity
Date		     Principal
Amount		      Value  

BANK LOANS (continued)

 

   

Industrials (continued)

 

   

Liqui-Box Corp.,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 4.50%)

 

   

5.50%

      02/26/27 1    $ 1,500,000      $ 1,271,250  

Mauser Packaging Solutions Holdings,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 3.25%)

 

   

4.56%

      04/03/24 1      2,059,692        1,864,021  

Titan Acquisition, Ltd.,

 

   

Term Loan, 1st Lien

 

   

(LIBOR plus 3.00%)

 

   

3.36%

      03/28/25 1      926,800        851,502  

TransDigm, Inc.,

 

   

Term Loan E, 1st Lien

 

   

(LIBOR plus 2.25%)

 

   

2.43%

      05/30/25 1      935,300        844,913  
  

 

 

  
     7,394,599  
  

 

 

  

Information Technology — 1.44%

 

   

IQVIA, Inc.,

 

   

Term Loan B3, 1st Lien

 

   

(LIBOR plus 1.75%)

 

   

2.06%

      06/11/25 1      4,480,499        4,361,967  

SS&C Technologies, Inc.,

 

   

Term Loan B3, 1st Lien

 

   

(LIBOR plus 1.75%)

 

   

1.93%

      04/16/25 1      2,057,413        1,977,369  

SS&C Technologies, Inc.,

 

   

Term Loan B4, 1st Lien

 

   

(LIBOR plus 1.75%)

 

   

1.93%

      04/16/25 1      1,445,475        1,389,239  

TierPoint LLC,

 

   

Term Loan, 1st Lien

 

   

(LIBOR plus 3.75%)

 

   

4.75%

      05/06/24 1      1,252,110        1,198,338  
  

 

 

  
     8,926,913  
  

 

 

  

Real Estate Investment Trust (REIT) — 0.42%

 

   

SBA Senior Finance II LLC,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 1.75%)

 

   

1.93%

      04/11/25 1      925,279        893,570  

VICI Properties 1 LLC,

 

   

Term Loan B, 1st Lien

 

   

(LIBOR plus 1.75%)

 

   

1.94%

      12/20/24 1      1,820,000        1,701,136  
  

 

 

  
     2,594,706  
  

 

 

  
 

 

2 / June 2020

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

BANK LOANS (continued)

 

   

Services — 0.22%

 

   

PowerTeam Services LLC,

 

   

Term Loan, 2nd Lien

 

   

(LIBOR plus 7.25%)

 

   

8.25%

      03/06/26 1,2,3    $ 1,565,000      $ 1,345,900  
  

 

 

  

Total Bank Loans

 

   

(Cost $65,818,594)

 

      63,428,361  
  

 

 

  

CORPORATES — 79.70%*

 

   

Banking — 0.38%

 

   

Bank of America Corp. (MTN)

 

   

4.08%

      03/20/51 6      1,100,000        1,365,723  

Wells Fargo & Co. (MTN)

 

   

5.01%

      04/04/51 6      715,000        996,795  
  

 

 

  
     2,362,518  
  

 

 

  

Communications — 20.13%

 

   

AT&T, Inc.

 

   

4.50%

      05/15/35       2,900,000        3,427,197  

Block Communications, Inc.

 

   

4.88%

      03/01/28 7      1,792,000        1,787,484  

CCO Holdings LLC/CCO Holdings

 

   

Capital Corp.

 

   

4.50%

      08/15/30 7      720,000        741,600  

4.50%

      05/01/32 7      11,040,000        11,209,167  

5.38%

      06/01/29 7      700,000        739,298  

CenturyLink, Inc.

 

   

4.00%

      02/15/27 7      4,956,000        4,820,475  

CSC Holdings LLC

 

   

5.38%

      02/01/28 7      1,000,000        1,047,905  

6.50%

      02/01/29 7      4,613,000        5,054,118  

6.63%

      10/15/25 7      7,296,000        7,590,005  

Diamond Sports Group LLC/Diamond

 

   

Sports Finance Co.

 

   

5.38%

      08/15/26 7      990,000        717,373  

DISH DBS Corp.

 

   

5.88%

      11/15/24       371,000        372,855  

7.38%

      07/01/28 7      1,300,000        1,302,912  

7.75%

      07/01/26       373,000        398,177  

DISH Network Corp.

 

   

3.38%

      08/15/26       3,421,000        3,151,133  

EW Scripps Co. (The)

 

   

5.13%

      05/15/25 7      1,042,000        1,009,437  

Frontier Communications Corp.8

 

   

7.13%

      01/15/23 9      3,761,000        1,156,507  

8.00%

      04/01/27 7      718,000        734,155  

Intelsat Jackson Holdings SA (Luxembourg)

 

   

5.50%

      08/01/23 4      4,750,000        2,719,494  

8.50%

      10/15/24 4,7,9      1,353,000        827,021  

9.75%

      07/15/25 4,7,9      1,446,000        890,659  
Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Communications (continued)

 

   

Intelsat Luxembourg SA (Luxembourg)8

 

   

8.13%

      06/01/23 4,9    $ 2,545,000      $ 159,063  

Lamar Media Corp.

 

   

3.75%

      02/15/28 7      1,745,000        1,656,516  

Level 3 Financing, Inc.

 

   

3.88%

      11/15/29 7      8,630,000        9,118,760  

Midcontinent Communications/Midcontinent

 

   

Finance Corp.

 

   

5.38%

      08/15/27 7      795,000        810,057  

National CineMedia LLC

 

   

5.88%

      04/15/28 7      1,385,000        1,163,215  

Nexstar Broadcasting, Inc.

 

   

5.63%

      07/15/27 7      2,296,000        2,301,740  

Outfront Media Capital LLC/Outfront Media

 

   

Capital Corp.

 

   

4.63%

      03/15/30 7      445,000        407,878  

Qwest Corp.

 

   

6.75%

      12/01/21       6,582,000        6,945,810  

7.25%

      09/15/25       1,500,000        1,706,250  

Scripps Escrow, Inc.

 

   

5.88%

      07/15/27 7      3,368,000        3,208,020  

SES GLOBAL Americas Holdings GP

 

   

5.30%

      03/25/44 7      2,150,000        2,144,309  

Sirius XM Radio, Inc.

 

   

3.88%

      08/01/22 7      6,299,000        6,362,683  

5.50%

      07/01/29 7      2,325,000        2,452,843  

Sprint Corp.

 

   

7.88%

      09/15/23       7,913,000        8,921,868  

Sprint Spectrum Co. LLC/Sprint Spectrum

 

   

Co. II LLC/Sprint Spectrum Co. III LLC

 

   

5.15%

      03/20/28 7      4,154,000        4,791,888  

T-Mobile USA, Inc.

 

   

2.55%

      02/15/31 7      1,395,000        1,403,398  

3.88%

      04/15/30 7      9,330,000        10,401,411  

4.50%

      04/15/50 7      2,125,000        2,534,551  

Virgin Media Secured Finance PLC

 

   

(United Kingdom)

 

   

4.50%

      08/15/30 4,7      3,300,000        3,308,252  

5.50%

      05/15/29 4,7      4,915,000        5,145,047  

Windstream Services LLC/Windstream

 

   

Finance Corp.8

 

   

9.00%

      06/30/25 7,9      726,000        43,560  
  

 

 

  
     124,684,091  
  

 

 

  

Consumer Discretionary — 5.60%

 

   

Anheuser-Busch InBev Worldwide, Inc.

 

   

4.60%

      06/01/60       1,040,000        1,246,559  
 

 

June 2020 / 3

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Consumer Discretionary (continued)

 

   

Bacardi Ltd. (Bermuda)

 

   

4.45%

      05/15/25 4,7    $ 675,000      $ 738,983  

4.50%

      01/15/21 4,7      899,000        905,973  

5.30%

      05/15/48 4,7      1,188,000        1,471,900  

BAT Capital Corp.

 

   

5.28%

      04/02/50       2,010,000        2,442,825  

Colt Merger Sub, Inc.

 

   

6.25%

      07/01/25 7      5,350,000        5,338,506  

Edgewell Personal Care Co.

 

   

5.50%

      06/01/28 7      2,685,000        2,755,753  

Hilton Domestic Operating Co., Inc.

 

   

5.75%

      05/01/28 7      900,000        913,563  

Live Nation Entertainment, Inc.

 

   

6.50%

      05/15/27 7      900,000        928,687  

Reynolds Group Issuer, Inc./Reynolds Group

 

   

Issuer LLC/Reynolds Group Issuer

 

   

Luxembourg SA

 

   

(LIBOR USD 3-Month plus 3.50%)

 

   

4.72%

      07/15/21 1,7      16,508,000        16,430,660  

WMG Acquisition Corp.

 

   

3.88%

      07/15/30 7      1,500,000        1,517,077  
  

 

 

  
     34,690,486  
  

 

 

  

Consumer Products — 1.28%

 

   

Newell Brands, Inc.

 

   

4.35%

      04/01/23       1,325,000        1,371,110  

4.88%

      06/01/25       1,800,000        1,891,872  

Spectrum Brands, Inc.

 

   

5.00%

      10/01/29 7      4,637,000        4,625,407  
  

 

 

  
     7,888,389  
  

 

 

  

Electric — 0.38%

 

   

Consolidated Edison Co. of New York, Inc.,

 

   

Series 20B

 

   

3.95%

      04/01/50       1,900,000        2,301,186  

Indiantown Cogeneration LP, Series A-10

 

   

9.77%

      12/15/20 2,3      43,170        44,505  
  

 

 

  
     2,345,691  
  

 

 

  

Energy — 8.64%

 

   

Antero Resources Corp.

 

   

5.00%

      03/01/25       1,000,000        593,125  

5.63%

      06/01/23       3,164,000        2,024,960  

Archrock Partners LP/Archrock Partners

 

   

Finance Corp.

 

   

6.25%

      04/01/28 7      3,398,000        3,143,150  

Cheniere Energy Partners LP

 

   

4.50%

      10/01/29 7      1,349,000        1,314,364  

DCP Midstream Operating LP

 

   

5.60%

      04/01/44       754,000        611,101  
Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Energy (continued)

 

   

Devon Energy Corp.

 

   

5.00%

      06/15/45     $ 1,037,000      $ 928,250  

Endeavor Energy Resources LP/EER

 

   

Finance, Inc.

 

   

5.75%

      01/30/28 7      2,480,000        2,386,541  

Energy Transfer Operating LP

 

   

6.25%

      04/15/49       800,000        849,245  

Energy Transfer Operating LP, Series B

 

   

6.63%

      02/15/69 6      2,015,000        1,545,384  

EQT Corp.

 

   

3.90%

      10/01/27       1,908,000        1,557,892  

Hess Corp.

 

   

5.60%

      02/15/41       840,000        882,606  

Matador Resources Co.

 

   

5.88%

      09/15/26       1,611,000        1,195,958  

Noble Energy, Inc.

 

   

4.20%

      10/15/49       760,000        640,165  

Occidental Petroleum Corp.

 

   

2.90%

      08/15/24       4,420,000        3,823,300  

3.50%

      08/15/29       2,965,000        2,175,225  

4.40%

      08/15/49       4,900,000        3,395,298  

Petroleos Mexicanos (Mexico)

 

   

6.75%

      09/21/47 4      524,000        403,810  

7.69%

      01/23/50 4,7      425,000        356,150  

Rockies Express Pipeline LLC

 

   

6.88%

      04/15/40 7      2,578,000        2,513,550  

SM Energy Co.

 

   

5.63%

      06/01/25       739,000        393,947  

6.63%

      01/15/27       910,000        455,000  

6.75%

      09/15/26       1,115,000        564,681  

Sunoco Logistics Partners Operations LP

 

   

5.35%

      05/15/45       820,000        802,501  

5.40%

      10/01/47       500,000        492,338  

Sunoco LP/Sunoco Finance Corp.

 

   

5.88%

      03/15/28       2,205,000        2,215,540  

Targa Resources Partners LP/Targa

 

   

Resources Partners Finance Corp.

 

   

6.88%

      01/15/29       2,250,000        2,361,207  

TransMontaigne Partners LP/

 

   

TLP Finance Corp.

 

   

6.13%

      02/15/26       3,072,000        2,976,000  

Transocean Phoenix 2 Ltd.

 

   

(Cayman Islands)

 

   

7.75%

      10/15/24 4,7      4,193,150        3,973,010  

Transocean Pontus Ltd. (Cayman Islands)

 

   

6.13%

      08/01/25 4,7      1,341,845        1,180,824  

Transocean Proteus Ltd. (Cayman Islands)

 

   

6.25%

      12/01/24 4,7      2,211,950        2,046,054  
 

 

4 / June 2020

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Energy (continued)

 

   

USA Compression Partners LP/USA

 

   

Compression Finance Corp.

 

   

6.88%

      04/01/26     $ 2,823,000      $ 2,734,330  

6.88%

      09/01/27       2,887,000        2,759,828  

Valaris PLC (United Kingdom)

 

   

7.75%

      02/01/26 4      2,958,000        231,182  
  

 

 

  
     53,526,516  
  

 

 

  

Entertainment — 0.57%

 

   

Banijay Entertainment SASU (France)

 

   

5.38%

      03/01/25 4,7      1,730,000        1,696,838  

Cinemark USA, Inc.

 

   

8.75%

      05/01/25 7      494,000        518,391  

Live Nation Entertainment, Inc.

 

   

4.75%

      10/15/27 7      1,477,000        1,274,068  
  

 

 

  
     3,489,297  
  

 

 

  

Finance — 3.04%

 

   

AerCap Ireland Capital DAC/AerCap Global

 

   

Aviation Trust (Ireland)

 

   

3.50%

      01/15/25 4      450,000        422,927  

Avolon Holdings Funding Ltd.

 

   

(Cayman Islands)

 

   

5.13%

      10/01/23 4,7      5,445,000        5,043,184  

Ford Motor Credit Co. LLC

 

   

2.98%

      08/03/22       1,805,000        1,736,771  

3.10%

      05/04/23       2,500,000        2,378,625  

3.34%

      03/18/21       1,257,000        1,246,997  

3.34%

      03/28/22       950,000        925,463  

4.27%

      01/09/27       5,789,000        5,416,434  

GE Capital International Funding Co.

 

   

(Ireland)

 

   

4.42%

      11/15/35 4      466,000        469,048  

Raymond James Financial, Inc.

 

   

4.65%

      04/01/30       1,000,000        1,194,244  
  

 

 

  
     18,833,693  
  

 

 

  

Food — 5.59%

 

   

JBS USA LUX SA/JBS USA

 

   

Food Co./JBS USA Finance, Inc. (Canada)

 

   

5.50%

      01/15/30 4,7      5,475,000        5,621,128  

6.50%

      04/15/29 4,7      865,000        919,979  

Kraft Heinz Foods Co.

 

   

4.63%

      01/30/29       4,750,000        5,153,994  

4.63%

      10/01/39 7      2,991,000        3,002,021  

5.00%

      06/04/42       945,000        997,001  

6.88%

      01/26/39       975,000        1,214,876  

Lamb Weston Holdings, Inc.

 

   

4.88%

      05/15/28 7      670,000        711,128  
Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Food (continued)

 

   

Nathan’s Famous, Inc.

 

   

6.63%

      11/01/25 7    $ 696,000      $ 704,700  

Pilgrim’s Pride Corp.

 

   

5.75%

      03/15/25 7      400,000        399,249  

5.88%

      09/30/27 7      6,550,000        6,564,284  

Post Holdings, Inc.

 

   

4.63%

      04/15/30 7      2,750,000        2,696,787  

5.00%

      08/15/26 7      1,500,000        1,508,513  

5.50%

      12/15/29 7      910,000        942,587  

5.63%

      01/15/28 7      1,250,000        1,300,000  

5.75%

      03/01/27 7      750,000        783,750  

Smithfield Foods, Inc.

 

   

5.20%

      04/01/29 7      1,950,000        2,111,489  
  

 

 

  
     34,631,486  
  

 

 

  

Gaming — 0.63%

 

   

Churchill Downs, Inc.

 

   

5.50%

      04/01/27 7      2,620,000        2,565,815  

Wynn Resorts Finance LLC/Wynn Resorts

 

   

Capital Corp.

 

   

7.75%

      04/15/25 7      1,335,000        1,351,287  
  

 

 

  
     3,917,102  
  

 

 

  

Health Care — 10.65%

 

   

AbbVie, Inc.

 

   

4.25%

      11/21/49 7      383,000        464,728  

Bayer U.S. Finance II LLC

 

   

4.38%

      12/15/28 7      1,125,000        1,315,667  

5.50%

      08/15/25 7      600,000        718,527  

Becton Dickinson and Co.

 

   

3.25%

      11/12/20       2,000        2,017  

Catalent Pharma Solutions, Inc.

 

   

5.00%

      07/15/27 7      3,971,000        4,129,125  

Centene Corp.

 

   

3.38%

      02/15/30       4,873,000        4,926,349  

4.25%

      12/15/27       1,600,000        1,654,760  

4.63%

      12/15/29       3,050,000        3,225,375  

Elanco Animal Health, Inc.

 

   

5.02%

      08/28/23       4,153,000        4,378,819  

Encompass Health Corp.

 

   

4.50%

      02/01/28       1,000,000        967,500  

4.75%

      02/01/30       7,455,000        7,132,124  

Endo DAC/Endo Finance LLC/Endo Finco,

 

   

Inc. (Ireland)

 

   

6.00%

      06/30/28 4,7      741,000        480,357  

9.50%

      07/31/27 4,7      542,000        575,044  

HCA, Inc.

 

   

3.50%

      09/01/30       10,376,000        9,962,369  

5.25%

      06/15/49       1,450,000        1,741,347  
 

 

June 2020 / 5

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Health Care (continued)

 

   

Hill-Rom Holdings, Inc.

 

   

4.38%

      09/15/27 7    $ 1,160,000      $ 1,190,955  

Molina Healthcare, Inc.

 

   

4.38%

      06/15/28 7      4,250,000        4,260,863  

5.38%

      11/15/22       1,820,000        1,860,449  

Par Pharmaceutical, Inc.

 

   

7.50%

      04/01/27 7      244,000        251,930  

Teleflex, Inc.

 

   

4.25%

      06/01/28 7      5,500,000        5,647,813  

Tenet Healthcare Corp.

 

   

4.63%

      09/01/24 7      5,300,000        5,242,117  

4.88%

      01/01/26 7      1,150,000        1,121,561  

5.13%

      11/01/27 7      4,725,000        4,675,860  
  

 

 

  
     65,925,656  
  

 

 

  

Industrials — 10.58%

 

   

Ardagh Packaging Finance PLC/Ardagh

 

   

Holdings USA, Inc. (Ireland)

 

   

4.13%

      08/15/26 4,7      7,662,000        7,576,569  

5.25%

      04/30/25 4,7      3,000,000        3,086,220  

Ball Corp.

 

   

4.00%

      11/15/23       960,000        1,004,400  

4.88%

      03/15/26       5,178,000        5,671,463  

5.25%

      07/01/25       2,285,000        2,507,169  

Bombardier, Inc. (Canada)

 

   

5.75%

      03/15/22 4,7      1,263,000        935,080  

6.00%

      10/15/22 4,7      410,000        291,100  

6.13%

      01/15/23 4,7      2,296,000        1,581,485  

7.88%

      04/15/27 4,7      1,340,000        876,177  

BWX Technologies, Inc.

 

   

4.13%

      06/30/28 7      1,500,000        1,498,740  

Clean Harbors, Inc.

 

   

4.88%

      07/15/27 7      2,152,000        2,214,817  

5.13%

      07/15/29 7      4,538,000        4,752,012  

General Electric Co. (MTN)

 

   

(LIBOR USD 3-Month plus 0.48%)

 

   

0.87%

      08/15/36 1      1,300,000        841,415  

Graphic Packaging International LLC

 

   

3.50%

      03/15/28 7      4,318,000        4,292,150  

4.75%

      07/15/27 7      2,571,000        2,738,115  

4.88%

      11/15/22       3,531,000        3,658,169  

Hillenbrand, Inc.

 

   

5.75%

      06/15/25       800,000        829,000  

Mauser Packaging Solutions Holding Co.

 

   

5.50%

      04/15/24 7      600,000        590,618  

PowerTeam Services LLC

 

   

9.03%

      12/04/25 7      3,159,000        3,223,749  
Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Industrials (continued)

 

   

Sealed Air Corp.

 

   

4.00%

      12/01/27 7    $ 815,000      $ 819,075  

4.88%

      12/01/22 7      1,245,000        1,290,471  

5.50%

      09/15/25 7      4,898,000        5,320,204  

Silgan Holdings, Inc.

 

   

4.13%

      02/01/28 7      1,745,000        1,734,094  

Titan Acquisition Ltd./Titan Co-Borrower LLC

 

   

(Canada)

 

   

7.75%

      04/15/26 4,7      2,195,000        2,087,950  

TransDigm, Inc.

 

   

8.00%

      12/15/25 7      1,120,000        1,182,009  

Trident TPI Holdings, Inc.

 

   

6.63%

      11/01/25 7      2,073,000        1,976,906  

9.25%

      08/01/24 7      875,000        905,031  

Trivium Packaging Finance BV (Netherlands)

 

   

5.50%

      08/15/26 4,7      2,000,000        2,036,739  
  

 

 

  
     65,520,927  
  

 

 

  

Information Technology — 2.60%

 

   

Intel Corp.

 

   

4.75%

      03/25/50       1,000,000        1,416,115  

MSCI, Inc.

 

   

3.63%

      09/01/30 7      870,000        867,146  

NCR Corp.

 

   

8.13%

      04/15/25 7      2,834,000        3,010,704  

NVIDIA Corp.

 

   

3.50%

      04/01/50       1,900,000        2,183,291  

Science Applications International Corp.

 

   

4.88%

      04/01/28 7      1,760,000        1,753,068  

SS&C Technologies, Inc.

 

   

5.50%

      09/30/27 7      6,730,000        6,859,182  
  

 

 

  
     16,089,506  
  

 

 

  

Insurance — 0.38%

 

   

New York Life Insurance Co.

 

   

3.75%

      05/15/50 7      2,045,000        2,315,898  
  

 

 

  

Real Estate Investment Trust (REIT) — 3.13%

 

   

CyrusOne LP/CyrusOne Finance Corp.

 

   

3.45%

      11/15/29       4,339,000        4,518,707  

GLP Capital LP/GLP Financing II, Inc.

 

   

5.38%

      11/01/23       4,885,000        5,223,187  

5.75%

      06/01/28       3,405,000        3,761,180  

Iron Mountain, Inc.

 

   

5.25%

      07/15/30 7      2,255,000        2,228,222  

MGM Growth Properties Operating

 

   

Partnership LP/MGP Finance Co.-Issuer, Inc.

 

   

4.50%

      01/15/28       1,410,000        1,344,520  

4.63%

      06/15/25 7      2,369,000        2,327,729  
  

 

 

  
     19,403,545  
  

 

 

  
 

 

6 / June 2020

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		     Principal
Amount		      Value  

CORPORATES (continued)

 

   

Retail — 0.49%

 

   

Rite Aid Corp.

 

   

7.50%

      07/01/25 7    $ 3,000,000      $ 3,018,750  
  

 

 

  

Services — 3.38%

 

   

Gartner, Inc.

 

   

4.50%

      07/01/28 7      3,000,000        3,042,600  

GFL Environmental, Inc. (Canada)

 

   

4.25%

      06/01/25 4,7      3,650,000        3,688,781  

IHS Markit Ltd. (Bermuda)

 

   

4.75%

      02/15/25 4,7      1,420,000        1,594,816  

5.00%

      11/01/22 4,7      3,071,000        3,297,701  

Jaguar Holding Co. II/PPD Development LP

 

   

5.00%

      06/15/28 7      1,790,000        1,836,109  

Service Corp. International/U.S.

 

   

4.63%

      12/15/27       946,000        988,953  

University of Southern California

 

   

2.81%

      10/01/50       925,000        995,681  

Waste Pro USA, Inc.

 

   

5.50%

      02/15/26 7      5,753,000        5,507,893  
  

 

 

  
     20,952,534  
  

 

 

  

Transportation — 2.25%

 

   

American Airlines Pass-Through Trust,

 

   

Series 2013-1, Class B

 

   

5.63%

      01/15/21 7      2,345,217        2,043,243  

Continental Airlines Pass-Through Trust,

 

   

Series 2007-1, Class B

 

   

6.90%

      04/19/22       488,877        422,249  

Delta Air Lines Pass-Through Trust,

 

   

Series 2002-1, Class G1

 

   

6.72%

      01/02/23       5,931,683        5,724,939  

Mileage Plus Holdings LLC/Mileage Plus

 

   

Intellectual Property Assets Ltd.

 

   

6.50%

      06/20/27 7      3,255,000        3,265,237  

U.S. Airways Pass-Through Trust,

 

   

Series 2010-1, Class A

 

   

6.25%

      04/22/23       1,047,419        881,275  

U.S. Airways Pass-Through Trust,

 

   

Series 2012-1, Class A

 

   

5.90%

      10/01/24       1,764,245        1,617,797  
  

 

 

  
     13,954,740  
  

 

 

  

Total Corporates

 

   

(Cost $490,021,826)

 

      493,550,825  
  

 

 

  

MORTGAGE-BACKED — 3.53%**

 

   

Non-Agency Commercial

 

   

Mortgage-Backed — 0.34%

 

   

Morgan Stanley ABS Capital I Trust,

 

   

Series 2006-HE8, Class A2C

 

   

(LIBOR USD 1-Month plus 0.14%)

 

   

0.32%

      10/25/36 1      3,365,788        2,069,522  
  

 

 

  
Issues    Maturity
Date		     Principal
Amount		      Value  

MORTGAGE-BACKED (continued)

 

   

Non-Agency Mortgage-Backed — 3.19%

 

   

ACE Securities Corp. Home Equity Loan

 

   

Trust, Series 2006-ASP6, Class A2C

 

   

(LIBOR USD 1-Month plus 0.16%)

 

   

0.34%

      12/25/36 1    $ 4,186,619      $ 2,039,044  

Ajax Mortgage Loan Trust,

 

   

Series 2019-D, Class A1

 

   

(STEP-reset date 07/25/20)

 

   

2.96%

      09/25/65 7      1,938,981        2,013,295  

Alternative Loan Trust,

 

   

Series 2004-J9, Class M1

 

   

(LIBOR USD 1-Month plus 0.98%)

 

   

1.16%

      10/25/34 1      389,365        389,658  

GSAMP Trust, Series 2005-HE4, Class M3

 

   

(LIBOR USD 1-Month plus 0.78%)

 

   

0.96%

      07/25/45 1      2,350,000        2,151,605  

GSAMP Trust, Series 2005-HE5, Class M3

 

   

(LIBOR USD 1-Month plus 0.46%)

 

   

0.64%

      11/25/35 1      2,500,889        2,401,774  

HSI Asset Securitization Corp. Trust,

 

   

Series 2006-HE1, Class 1A1

 

   

(LIBOR USD 1-Month plus 0.14%)

 

   

0.32%

      10/25/36 1      2,615,822        1,171,851  

Lehman XS Trust, Series 2005-7N,

 

   

Class 1A1A

 

   

(LIBOR USD 1-Month plus 0.54%)

 

   

0.72%

      12/25/35 1      1,003,520        936,197  

Long Beach Mortgage Loan Trust,

 

   

Series 2006-10, Class 1A

 

   

(LIBOR USD 1-Month plus 0.15%)

 

   

0.33%

      11/25/36 1      2,844,262        2,076,399  

MASTR Asset-Backed Securities Trust,

 

   

Series 2006-HE2, Class A3

 

   

(LIBOR USD 1-Month plus 0.15%)

 

   

0.33%

      06/25/36 1      3,569,003        1,931,316  

Morgan Stanley ABS Capital I Trust,

 

   

Series 2007-HE1, Class A2D

 

   

(LIBOR USD 1-Month plus 0.23%)

 

   

0.41%

      11/25/36 1      1,829,774        1,259,222  

Morgan Stanley Resecuritization Trust,

 

   

Series 2014-R3, Class 2A

 

   

3.00%

      07/26/48 6,7      1,285,875        1,298,145  

WaMu Asset-Backed Certificates,

 

   

Series 2007-HE2, Class 2A2

 

   

(LIBOR USD 1-Month plus 0.22%)

 

   

0.40%

      02/25/37 1      4,806,135        2,097,074  
  

 

 

  

Total Mortgage-Backed

 

   

(Cost $22,838,099)

 

      21,835,102  
  

 

 

  
 

 

June 2020 / 7

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Issues    Maturity
Date		    Principal
Amount		    Value

MUNICIPAL BONDS — 0.57%*

 

     

California — 0.16%

 

     

Regents of the University of California

 

     

Medical Center Pooled Revenue, Taxable

 

     

Bonds, Health, Hospital and Nursing Home

 

     

Improvements, Series N

 

     

3.26%

        05/15/60      $ 960,000      $ 1,002,038
    

 

 

  

Missouri — 0.18%

 

     

Health & Educational Facilities Authority of

the State of Missouri, Taxable Revenue

 

 

     

Bonds, Washington University, University

and College Improvements

 

 

     

3.65%

        08/15/57        885,000        1,098,763
    

 

 

  

New York — 0.23%

 

     

Metropolitan Transportation Authority, Green

 

     

Taxable Bonds, Transit Improvements,

 

     

Series C2

 

     

5.18%

        11/15/49        1,250,000        1,462,775
    

 

 

  

Total Municipal Bonds

 

     

(Cost $3,227,212)

 

        3,563,576
    

 

 

  

Total Bonds – 94.04%

 

     

(Cost $581,905,731)

 

        582,377,864
    

 

 

  
              
Issues    Shares    Value

COMMON STOCK — 0.01%

 

     

Automotive — 0.00%

 

     

Motors Liquidation Co. GUC

 

     

Trust8

 

        346        522
    

 

 

  

Electric — 0.01%

 

     

Homer City Holdings

 

     

LLC2,3,8,10

 

        502,908        27,660
    

 

 

  

Total Common Stock

 

     

(Cost $27,171,821)

 

        28,182
    

 

 

  
              
Issues    Maturity
Date		    Principal
Amount/Shares		    Value

SHORT-TERM INVESTMENTS — 5.89%

 

     

Money Market Funds — 0.80%

 

     

Dreyfus Government Cash Management

 

     

Fund

 

     

8.42%11

 

        4,810,000        4,810,000

Fidelity Investments Money Market Funds -

 

     

Government Portfolio

 

     

5.23%11

 

        124,477        124,477
    

 

 

  
       4,934,477
    

 

 

  
Issues    Maturity
Date		      Principal
Amount/Shares		      Value  

SHORT-TERM INVESTMENTS (continued)

 

   

U.S. Treasury Bills — 5.09%

 

   

U.S. Treasury Bills

 

      

0.16%12

      11/27/20      $ 10,000,000      $ 9,993,378  

0.16%12

      12/03/20        20,000,000        19,987,514  

0.18%12,13

      09/10/20        1,575,000        1,574,612  
        

 

 

  
           31,555,504  
        

 

 

  

Total Short-Term Investments

 

   

(Cost $36,488,259)

 

         36,489,981  
        

 

 

  

Total Investments – 99.94%

 

      

(Cost $645,565,811)

 

         618,896,027  
        

 

 

  
Net unrealized appreciation on unfunded commitments 0.00%

 

      3,595  

Cash and Other Assets, Less

 

   

Liabilities – 0.06%

 

      399,642  
        

 

 

  

Net Assets – 100.00%

 

    $ 619,295,669  
        

 

 

  

 

1 

Floating rate security. The rate disclosed was in effect at June 30, 2020.

2 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

3 

Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $2,682,874, which is 0.43% of total net assets.

4 

U.S. dollar-denominated security issued by foreign-domiciled entity.

5 

Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $145,821, at an interest rate of 3.60% and a maturity of July 13, 2021.The investment is not accruing an unused commitment fee.

6 

Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

7 

Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

8 

Non-income producing security.

9 

Security is currently in default with regard to scheduled interest or principal payments.

10 

Affiliated investment.

11 

Represents the current yield as of June 30, 2020.

12 

Represents annualized yield at date of purchase.

13 

Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $1,574,612.

 

*

Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity.

**

Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date.

Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.

 

 

8 / June 2020

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

(LIBOR): London InterBank Offer Rate

(MTN): Medium-term note

(STEP): Step coupon bond

(USD): U.S. dollar

 

Description    Number
of Contracts		    Expiration Date    Notional Amount   Value   Unrealized  
Appreciation/  
(Depreciation)  

FUTURES CONTRACTS: LONG POSITIONS

                       

U.S. Treasury Five Year Note

        313        09/30/20      $ 39,357,305     $ 97,392     $ 97,392

FUTURES CONTRACTS: SHORT POSITIONS

                       

U.S. Treasury Ten Year Ultra Bond

        332        09/21/20        (52,284,813 )       (472,027 )       (472,027 )

U.S. Treasury Ultra Bond

        109        09/21/20        (23,779,031 )       (55,005 )       (55,005 )
              

 

 

      

 

 

      

 

 

  
                 (76,063,844 )       (527,032 )       (527,032 )
              

 

 

      

 

 

      

 

 

  

TOTAL FUTURES CONTRACTS

                $ (36,706,539 )     $ (429,640 )     $ (429,640 )
              

 

 

      

 

 

      

 

 

  

SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Fund:

Net Asset Value:

The Net Asset Value (“NAV”) of each class of the Fund is determined by dividing the net assets attributable to each class of shares of the Fund by the number of issued and outstanding shares of the class of the Fund on each business day as of 4 p.m. ET.

Security Valuation:

Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors or broker quotes. The Fund receives pricing information from independent pricing vendors approved by the Board of Trustees (the “Board” or the “Board of Trustees”). Securities with a demand feature exercisable within one to seven days are valued at par. The Fund also uses a benchmark pricing system to the extent vendors’ prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy composed of a relevant security (i.e., U.S. Treasury Note) or benchmark (e.g., LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Equity options are valued at the average of the bid and asked prices. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board.

Investments in registered open-ended investment companies, including those classified as money market funds, are valued based upon the reported NAV of such investments.

Fair value methods approved by the Board of Trustees include, but are not limited to, obtaining market quotations from secondary pricing services, broker-dealers, or widely used quotation systems. General factors considered in determining the fair value of securities include fundamental analytical data, the nature and duration of any restrictions on disposition of the securities, and an evaluation of the forces that influenced the market in which the investments are purchased and sold. These securities are either categorized as Level 2 or 3 depending on the relevant inputs used. In the event that the security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or asset will be determined in good faith by the Pricing Committee of the Board, generally based upon recommendation provided by the Adviser. When the Fund uses these fair valuation methods applied by the Adviser that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at their direction believe accurately reflect fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Fund’s policy is intended to result in a calculation of its NAV that fairly

 

June 2020 / 9

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

reflects security values as of the time of pricing, the Fund cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.

Fair Value Measurements:

Various inputs are used in determining the fair value of investments, which are as follows:

* Level 1 - unadjusted quoted prices in active markets for identical securities

* Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

* Level 3 - significant unobservable inputs that are not corroborated by observable market data

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The summary of inputs used to value the Fund’s investments and other financial instruments carried at fair value as of June 30, 2020 is as follows:

 

    HIGH YIELD BOND FUND            LEVEL 1                   LEVEL 2                    LEVEL 3                    TOTAL        

Investments in Securities

                   

Assets

                   

Short-Term Investments:

                   

Money Market Funds

      $ 4,934,477     $ —        $ —        $ 4,934,477

U.S. Treasury Bills

        31,555,504       —          —          31,555,504

Long-Term Investments:

                   

Bank Loans

        —         60,817,652        2,610,709        63,428,361

Common Stock

        522       —          27,660        28,182

Corporates

        —         493,506,320        44,505        493,550,825

Mortgage-Backed

        —         21,835,102        —          21,835,102

Municipal Bonds

        —         3,563,576        —          3,563,576

Other Financial Instruments *

                   

Assets:

                   

Interest rate contracts

        97,392       —          —          97,392

Liabilities:

                   

Interest rate contracts

        (527,032 )       —          —          (527,032 )
    

 

 

      

 

 

       

 

 

       

 

 

  

Total

      $ 36,060,863     $ 579,722,650      $ 2,682,874      $ 618,466,387
    

 

 

      

 

 

       

 

 

       

 

 

  

*Other financial instruments include futures. Interest rate contracts include futures.

 

10 / June 2020

High Yield Bond Fund

Schedule of Portfolio Investments

June 30, 2020 (Unaudited)

 

Certain of the Fund’s investments are categorized as Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.

For the period ended June 30, 2020, a reconciliation of Level 3 investments is presented when the Fund had a significant amount of 1evel 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

  HIGH YIELD

  BOND FUND

    BANK
LOANS		   COMMON
STOCK		    CORPORATES   WARRANT    

  Balance as of

                      

  April 1, 2020

      $ 2,812,025     $ 27,660      $ 89,537     $ 4,810                           

  Accrued discounts/premiums

        17,020       —          (359 )       —      

  Realized gain/(loss)

        987       —          (142 )       4,810    

  Change in unrealized appreciation/(depreciation)*

        284,901       —          (1,368 )       (4,810 )    

  Purchases

        —         —          —         —      

  Sales

        (6,284 )       —          (43,163 )       (4,810 )    

  Transfers into Level 3**

        793,008       —          —         —      

  Transfers out of Level 3**

        (1,290,948 )       —          —         —      
    

 

 

      

 

 

       

 

 

      

 

 

      

  Balance as of

                      

  June 30, 2020

      $ 2,610,709     $ 27,660      $ 44,505     $ —      
    

 

 

      

 

 

       

 

 

      

 

 

      

* The change in unrealized appreciation/(depreciation) on securities still held at June 30, 2020 was $153,289 and is included in the related net realized gains/(losses) and net change in appreciation/(depreciation) in the Statements of Operations.

** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2020, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2020, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $793,008 transferred from level 2 to level 3, and $1,290,948 transferred from level 3 to level 2 in the disclosure hierarchy.

Significant unobservable valuations inputs for Level 3 investments as of June 30, 2020, are as follows:

 

  HIGH YIELD BOND FUND    FAIR VALUE
AT 6/30/20		    VALUATION
TECHNIQUE*		    UNOBSERVABLE
INPUT		    RANGE    WEIGHTED  
AVERAGE  

  Bank Loans

    $2,610,709    Third-party Vendor    Vendor Prices    $37.67 - $86.00    $79.93

  Common Stock

    $27,660    Broker Quote    Offered Quote    0.06    0.06

  Corporate Securities

    $44,505    Third-party Vendor    Vendor Prices    0.00 - 103.09    103.09

* The valuation technique employed on the Level 3 securities involves the use of vendor prices, broker quotes and benchmark pricing. The Adviser monitors the third-party brokers and vendors using the valuation process.

Investment transactions in the shares of affiliated issuers for the period ended June 30, 2020, were as follows:

 

     VALUE AT
BEGINNING
OF PERIOD		    PURCHASES    SALES    DIVIDEND/
INTEREST		    VALUE AT
END
OF PERIOD		    REALIZED GAIN/
LOSS		    CHANGE IN  
UNREALIZED  
APPRECIATION/  
(DEPRECIATION)  

Homer City Holdings LLC

    $27,660    $—    $—    $—    $27,660    $—    $—  

COMMITMENTS AND CONTINGENCIES

The High Yield Bond Fund had the following unfunded commitments and unrealized gain/(loss) by investment as of June 30, 2020

 

    UNFUNDED COMMITMENTS    MATURITY    AMOUNT    UNREALIZED GAIN  

    Intelsat Jackson Holdings, Delayed-Draw Term Loan, 1st Lien (Luxembourg)

    July 2021    $145,821    $3,595

 

June 2020 / 11