0001752724-21-179726.txt : 20210823 0001752724-21-179726.hdr.sgml : 20210823 20210823134041 ACCESSION NUMBER: 0001752724-21-179726 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20210630 FILED AS OF DATE: 20210823 PERIOD START: 20220331 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Insight Select Income Fund CENTRAL INDEX KEY: 0000030125 IRS NUMBER: 231745238 STATE OF INCORPORATION: DE FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-02201 FILM NUMBER: 211196318 BUSINESS ADDRESS: STREET 1: 200 PARK AVENUE STREET 2: 7TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10166 BUSINESS PHONE: 8663336685 MAIL ADDRESS: STREET 1: 200 PARK AVENUE STREET 2: 7TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10166 FORMER COMPANY: FORMER CONFORMED NAME: Insight Investment DATE OF NAME CHANGE: 20170110 FORMER COMPANY: FORMER CONFORMED NAME: Cutwater Select Income Fund DATE OF NAME CHANGE: 20111209 FORMER COMPANY: FORMER CONFORMED NAME: 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0.964147681820 Long DBT CORP US N 2 2052-02-01 Fixed 3.30000000 N N N N N N FORD HOLDINGS LLC N/A Ford Holdings LLC 345277AE7 1000000.00000000 PA USD 1352600.00000000 0.577039901061 Long DBT CORP US N 2 2030-03-01 Fixed 9.30000000 N N N N N N SEG HLD LLC/SEG FIN CORP N/A SEG Holding LLC / SEG Finance Corp 78397KAA0 80000.00000000 PA USD 83976.00000000 0.035825449306 Long DBT CORP US N 2 2028-10-15 Fixed 5.62500000 N N N N N N BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 CBOT 10 Year US Treasury Note 000000000 -76.00000000 NC USD -38938.55000000 -0.01661178252 N/A DIR CORP US N 1 BOARD OF TRADE OF THE CITY OF CHICAGO, INC. 549300EX04Q2QBFQTQ27 Short US TREASURY N/B United States Treasury Note/Bond 2021-09-21 -10031061.45000000 USD -38938.55000000 N N N SA GLOBAL SUKUK LTD 5493007DFAVKU7UOGR47 SA Global Sukuk Ltd 78397PAD3 462000.00000000 PA USD 467728.80000000 0.199540278334 Long DBT CORP KY N 2 2031-06-17 Fixed 2.69400000 N N N N N N JBS USA/FOOD/FINANCE N/A JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc 46590XAC0 54000.00000000 PA USD 55255.50000000 0.023572843599 Long DBT CORP N/A N 2 2031-12-01 Fixed 3.75000000 N N N N N N BIMBO BAKERIES USA INC 549300HOXXHHT7926W92 Bimbo Bakeries USA Inc 09031WAA1 363000.00000000 PA USD 390091.63000000 0.166419071107 Long DBT CORP US N 2 2051-05-17 Fixed 4.00000000 N N N N N N IPALCO ENTERPRISES INC 5493000YFVK2DZX0JV43 IPALCO Enterprises Inc 462613AP5 462000.00000000 PA USD 519363.75000000 0.221568539786 Long DBT CORP US N 2 2030-05-01 Fixed 4.25000000 N N N N N N BAUSCH HEALTH COS INC B3BS7ACMDUWISF18KY76 Bausch Health Cos Inc 071734AN7 80000.00000000 PA USD 81700.00000000 0.034854472805 Long DBT CORP CA N 2 2028-06-01 Fixed 4.87500000 N N N N N N SLAM 2021-1 LLC N/A Slam 2021-1 Ltd 78449AAA0 1345000.00000000 PA USD 1345159.52000000 0.573865678199 Long ABS-O CORP US N 2 2046-06-15 Fixed 2.43400000 N N N N N N INTERNATIONAL GAME TECH 549300UQ6KHRCZDRGZ76 International Game Technology PLC 460599AF0 236000.00000000 PA USD 245735.00000000 0.104834319153 Long DBT CORP GB N 2 2026-04-15 Fixed 4.12500000 N N N N N N METLIFE INC C4BXATY60WC6XEOZDX54 MetLife Inc 59156RBS6 1059000.00000000 PA USD 1606789.75000000 0.685481146211 Long DBT CORP US N 2 2038-04-08 Fixed 9.25000000 N N N N N N GRUPO TELEVISA SAB 549300O4AF0C816ILN62 Grupo Televisa SAB 40049JBA4 557000.00000000 PA USD 663812.14000000 0.283192437963 Long DBT CORP MX N 2 2045-05-13 Fixed 5.00000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 Broadcom Inc 11135FBG5 166000.00000000 PA USD 173424.67000000 0.073985623553 Long DBT CORP US N 2 2051-02-15 Fixed 3.75000000 N N N N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 Kinder Morgan Inc 49456BAH4 1755000.00000000 PA USD 2273488.16000000 0.969904911215 Long DBT CORP US N 2 2045-06-01 Fixed 5.55000000 N N N N N N ENDO LUX FIN CO I SARL N/A Endo Luxembourg Finance Co I Sarl / Endo US Inc 29280BAA3 278000.00000000 PA USD 272440.00000000 0.116227081653 Long DBT CORP LU N 2 2029-04-01 Fixed 6.12500000 N N N N N N KINDER MORGAN INC/DELAWA 549300WR7IX8XE0TBO16 Kinder Morgan Inc 28368EAA4 1000000.00000000 PA USD 1388886.74000000 0.592520380773 Long DBT CORP US N 2 2030-10-15 Fixed 8.05000000 N N N N N N LAMAR MEDIA CORP N/A Lamar Media Corp 513075BX8 211000.00000000 PA USD 206252.50000000 0.087990479220 Long DBT CORP US N 2 2031-01-15 Fixed 3.62500000 N N N N N N GENERAL ELECTRIC CO 3C7474T6CDKPR9K6YT90 General Electric Co 369604BW2 599000.00000000 PA USD 668604.91000000 0.285237107138 Long DBT CORP US N 2 2030-05-01 Fixed 3.62500000 N N N N N N SAUDI ARABIAN OIL CO 5586006WD91QHB7J4X50 Saudi Arabian Oil Co 80414L2K0 853000.00000000 PA USD 837108.61000000 0.357123369430 Long DBT CORP SA N 2 2030-11-24 Fixed 2.25000000 N N N N N N 2021-08-18 Insight Select Income Fund Thomas Stabile Thomas Stabile Treasurer and Vice President XXXX NPORT-EX 2 CS01InsightSelIncFd.htm HTML
SCHEDULE OF INVESTMENTS (Unaudited)    June 30, 2021

 

     Moody’s/                            
     Standard &                            
     Poor’s    Principal      Value  
     Rating(a)    Amount (000’s)      (Note 1)  

CORPORATE DEBT SECURITIES (84.52%)

               

ADVERTISING (0.09%)

               

Lamar Media Corp., Co. Gty., 3.625%, 01/15/31, 144A(b)

    B1/BB-       $ 211         $ 206,253  
              

 

 

  
              

AEROSPACE/DEFENSE (1.68%)

               

Boeing Co., Sr. Unsec. Notes, 4.875%, 05/01/25(b)

    Baa2/BBB-         1,657           1,857,234  

Boeing Co., Sr. Unsec. Notes, 5.805%, 05/01/50(b)

    Baa2/BBB-         463           623,922  

Northrop Grumman Space & Mission Systems Corp., Co. Gty., 7.750%, 06/01/29

    Baa1/BBB+         500           675,148  

Raytheon Technologies Corp., Sr. Unsec. Notes, 3.750%, 11/01/46(b)

    Baa1/A-         700           789,650  
              

 

 

  
                       3,945,954  
              

 

 

  

AGRICULTURE (0.41%)

               

Altria Group, Inc., Co. Gty., 4.800%, 02/14/29(b)

    A3/BBB         97           112,556  

Altria Group, Inc., Co. Gty., 5.950%, 02/14/49(b)

    A3/BBB         329           420,976  

BAT International Finance PLC, Co. Gty., 1.668%, 03/25/26(b)

    Baa2/BBB+         425           424,947  
              

 

 

  
                 958,479  
              

 

 

  

AIRLINES (3.51%)

               

Air Canada, Pass Through Certs., Series 2020-2, Class A, 5.250%, 04/01/29, 144A

    NA/A         261           282,632  

American Airlines, Inc., Sr. Sec. Notes, 5.500%, 04/20/26, 144A

    Ba2/NA         354           374,798  

American Airlines, Inc., Sr. Sec. Notes, 5.750%, 04/20/29, 144A

    Ba2/NA         162           174,894  

American Airlines, Pass Through Certs., Series 2017-1, Class AA, 3.650%, 02/15/29

    Baa1/NA         887           914,379  

American Airlines, Pass Through Certs., Series 2017-2, Class AA, 3.350%, 10/15/29

    Baa1/NA         1,329           1,352,127  

American Airlines, Pass Through Certs., Series 2019-1, Class AA, 3.150%, 02/15/32

    Baa1/A-         770           793,626  

British Airlines, Pass Through Certs., Sr. Sec. Notes, Series 2020-1, Class A, 4.250%, 11/15/32, 144A

    NA/A+         118           127,032  

Delta Air Lines, Inc., Sr. Sec. Notes, 4.500%, 10/20/25, 144A

    Baa1/NA         120           128,994  

Delta Air Lines, Inc., Sr. Sec. Notes, 4.750%, 10/20/28, 144A

    Baa1/NA         209           232,493  

JetBlue Airlines, Pass Through Certs., Sr. Sec. Notes, Series 2020-1, Class A, 4.000%, 11/15/32

    A2/NA         1,039           1,146,212  

United Airlines, Inc., Sr. Sec. Notes, 4.375%, 04/15/26, 144A(b)

    Ba1/BB-         65           67,275  

United Airlines, Inc., Sr. Sec. Notes, 4.625%, 04/15/29, 144A(b)

    Ba1/BB-         78           80,730  

United Airlines, Pass Through Certs., Series 2018-1, Class B, 4.600%, 03/01/26

    Baa2/NA         699           721,777  

United Airlines, Pass Through Certs., Series 2020-1, Class A, 5.875%, 10/15/27

    A3/A         303           335,876  

United Airlines, Pass Through Certs., Series 2019-1, Class AA, 4.150%, 08/25/31

    A1/NA         397           434,420  

United Airlines, Pass Through Certs., Series 2019-2, Class AA, 2.700%, 05/01/32

    A1/NA         1,050           1,053,779  
              

 

 

  
                 8,221,044  
              

 

 

  

AUTO MANUFACTURERS (2.71%)

               

Allison Transmission, Inc., Co. Gty., 3.750%, 01/30/31, 144A(b)

    Ba3/NA         220           216,231  

Ford Holdings LLC, Co. Gty., 9.300%, 03/01/30

    Ba2/BB+         1,000           1,352,600  

Ford Motor Co., Sr. Unsec. Notes, 8.500%, 04/21/23

    Ba2/BB+         904           1,008,819  

Ford Motor Co., Sr. Unsec. Notes, 8.900%, 01/15/32

    Ba2/BB+         500           676,250  

Ford Motor Credit Co. LLC, Sr. Unsec. Notes, 4.542%, 08/01/26(b)

    Ba2/BB+         1,356           1,474,650  

General Motors Co., Sr. Unsec. Notes, 6.800%, 10/01/27(b)

    Baa3/BBB         405           510,378  

General Motors Financial Co., Inc., Sr. Unsec. Notes, 3.600%, 06/21/30(b)

    Baa3/BBB         1,027           1,113,116  
              

 

 

  
                 6,352,044  
              

 

 

  

AUTO PARTS & EQUIPMENT (0.15%)

               

Goodyear Tire & Rubber Co., Co. Gty., 5.000%, 07/15/29, 144A(b)

    B2/BB-         333           348,651  
              

 

 

  
              

BANKS (9.24%)

               

AIB Group PLC, Sr. Unsec. Notes, (3M LIBOR + 1.874%), 4.263%, 04/10/25, 144A(b),(c)

    Baa2/BBB-         582           627,019  

Citigroup, Inc., Sub. Notes, 4.600%, 03/09/26

    Baa2/BBB         988           1,125,202  

Citigroup, Inc., Sr. Unsec. Notes, 8.125%, 07/15/39

    A3/BBB+         70           121,018  

Citigroup, Inc., Sub. Notes, 5.300%, 05/06/44

    Baa2/BBB         926           1,246,991  

Citigroup, Inc., Sr. Unsec. Notes, (3M LIBOR + 1.563%), 3.887%, 01/10/28(b),(c)

    A3/BBB+         1,100           1,224,830  

Citigroup, Inc., Jr. Sub. Notes, (H15T5Y + 3.597%), 4.000%, 12/10/25(b),(c),(d)

    Ba1/BB+         635           654,685  

Credit Agricole SA, Sub. Notes, (5Yr Swap +1.644%), 4.000%, 01/10/33, 144A(b),(c)

    Baa1/BBB+         1,025           1,113,763  

Credit Suisse Group AG, Sr. Unsec. Notes, (SOFRRATE + 1.56%), 2.593%, 09/11/25, 144A(b),(c)

    Baa1/BBB+         1,242           1,291,843  

Danske Bank AS, Sr. Unsec. Notes, (H15T1Y + 1.73%), 5.000%, 01/12/23, 144A(b),(c)

    Baa3/BBB+         739           755,150  

Goldman Sachs Group, Inc., Sr. Unsec. Notes, (3M LIBOR + 1.75%), 1.934%, 10/28/27(b),(e)

    A2/BBB+         550           582,320  

HSBC Capital Funding Dollar 1 LP, Co. Gty., (3M LIBOR + 4.98%), 10.176%, 06/30/30, 144A(b),(c),(d)

    Baa3/BB+         2,180           3,608,859  

HSBC Holdings PLC, Sr. Unsec. Notes, 4.950%, 03/31/30

    A3/A-         499           600,463  

Morgan Stanley, Sub. Notes, 4.350%, 09/08/26

    Baa1/BBB         1,500           1,699,314  

Morgan Stanley, Jr. Sub. Notes, (3M LIBOR + 3.61%), 3.794%, 10/15/21(b),(d),(e)

    Baa3/BB+         876           879,285  

PNC Financial Services Group, Inc., Jr. Sub. Notes, (3M LIBOR + 3.30%), 5.000%, 11/01/26(b),(c),(d)

    Baa2/BBB-         757           842,162  

Truist Financial Corp., Jr. Sub. Notes, (H15T5Y + 3.003%), 4.800%, 09/01/24(b),(c),(d)

    Baa2/BBB-         1,136           1,192,800  

UBS AG, Sub. Notes, 7.625%, 08/17/22

    NR/BBB+         2,000           2,151,432  

 

 

The accompanying notes are an integral part of these financial statements.

SCHEDULE OF INVESTMENTS (Unaudited) — continued

 

     Moody’s/                              
     Standard &                              
     Poor’s      Principal      Value  
     Rating(a)      Amount (000’s)      (Note 1)  

CORPORATE DEBT SECURITIES (Continued)

               

BANKS (Continued)

               

Wells Fargo & Co., Jr. Sub. Notes, (H15T5Y + 3.453%), 3.900%, 03/15/26(b),(c),(d)

      Baa2/BB+         $  1,162         $ 1,203,019  

Westpac Banking Corp., Sub. Notes, (H15T5Y + 1.75%), 2.668%, 11/15/35(b),(c)

      Baa1/BBB+           753           740,666  
              

 

 

  
                       21,660,821  
              

 

 

  

BEVERAGES (0.60%)

               

Anheuser-Busch Cos. LLC, Co. Gty., 4.700%, 02/01/36(b)

      Baa1/BBB+           645           792,784  

Anheuser-Busch Cos. LLC, Co. Gty., 4.900%, 02/01/46(b)

      Baa1/BBB+           446           562,863  

Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 8.200%, 01/15/39

      Baa1/BBB+           27           44,924  
              

 

 

  
                 1,400,571  
              

 

 

  

BIOTECHNOLOGY (0.39%)

               

Royalty Pharma PLC, Co. Gty., 2.200%, 09/02/30, 144A(b)

      Baa3/BBB-           930           912,849  
              

 

 

  

BUILDING MATERIALS (1.28%)

               

Cemex SAB de CV, Sr. Sec. Notes, 7.375%, 06/05/27, 144A(b)

      NA/BB           200           225,240  

Cemex SAB de CV, Sr. Sec. Notes, 5.200%, 09/17/30, 144A(b)

      NA/BB           907           997,337  

Cemex SAB de CV, Sr. Sec. Notes, 3.875%, 07/11/31, 144A(b)

      NA/BB           724           735,946  

Masco Corp., Sr. Unsec. Notes, 1.500%, 02/15/28(b)

      Baa2/BBB           647           632,249  

SRM Escrow Issuer LLC, Sr. Sec. Notes, 6.000%, 11/01/28, 144A(b)

      B1/B+           397           420,800  
              

 

 

  
                 3,011,572  
              

 

 

  

CHEMICALS (3.52%)

               

Alpek SAB de CV, Co. Gty., 3.250%, 02/25/31, 144A(b)

      Baa3/BB+           418           421,139  

Axalta Coating Systems LLC, Co. Gty., 4.750%, 06/15/27, 144A(b)

      B1/BB-           150           157,125  

Braskem Idesa SAPI, Sr. Sec. Notes, 7.450%, 11/15/29, 144A(b)

      NA/B           473           501,385  

Braskem Netherlands Finance BV, Co. Gty., 4.500%, 01/31/30, 144A

      NA/BB+           1,249           1,298,860  

Braskem Netherlands Finance BV, Co. Gty., 5.875%, 01/31/50, 144A

      NA/BB+           1,181           1,293,207  

International Flavors & Fragrances, Inc., Sr. Unsec. Notes, 1.832%, 10/15/27, 144A(b)

      Baa3/BBB           267           266,393  

Kraton Polymers LLC, Co. Gty., 4.250%, 12/15/25, 144A(b)

      B2/BB-           290           295,800  

Orbia Advance Corp. SAB de CV, Co. Gty., 2.875%, 05/11/31, 144A(b)

      Baa3/BBB-           574           577,587  

Trinseo Materials Operating SCA, Co. Gty., 5.125%, 04/01/29, 144A(b)

      B2/B-           105           107,362  

Union Carbide Corp., Sr. Unsec. Notes, 7.750%, 10/01/96

      Baa2/BBB           2,000           3,325,505  
              

 

 

  
                 8,244,363  
              

 

 

  

COMMERCIAL SERVICES (2.40%)

               

Ashtead Capital, Inc., Co. Gty., 4.000%, 05/01/28, 144A(b)

      Baa3/BBB-           555           586,996  

Ashtead Capital, Inc., Co. Gty., 4.250%, 11/01/29, 144A(b)

      Baa3/BBB-           200           216,000  

Atento Luxco 1 SA, Sr. Sec. Notes, 8.000%, 02/10/26, 144A(b)

      Ba3/NA           208           226,318  

Avis Budget Car Rental LLC, Co. Gty., 5.375%, 03/01/29, 144A(b)

      B3/B           595           619,544  

ERAC USA Finance LLC, Co. Gty., 7.000%, 10/15/37, 144A

      Baa1/A-           1,500           2,239,417  

Prime Security Services Borrower LLC, Sr. Sec. Notes, 3.375%, 08/31/27, 144A(b)

      Ba3/BB-           559           542,230  

StoneCo, Ltd., Co. Gty., 3.950%, 06/16/28, 144A(b)

      Ba2/BB-           481           479,624  

Triton Container International, Ltd., Sr. Sec. Notes, 3.150%, 06/15/31, 144A(b)

      NA/BBB-           705           709,937  
              

 

 

  
                 5,620,066  
              

 

 

  

COMPUTERS (0.85%)

               

Dell International LLC, Sr. Sec. Notes, 5.850%, 07/15/25(b)

      Baa3/BBB-           342           401,467  

Dell International LLC, Sr. Sec. Notes, 8.350%, 07/15/46(b)

      Baa3/BBB-           845           1,382,310  

Seagate HDD Cayman, Co. Gty., 3.125%, 07/15/29, 144A(b)

      Ba1/BB+           210           203,472  
              

 

 

  
                 1,987,249  
              

 

 

  

DIVERSIFIED FINANCIAL SERVICES (0.68%)

               

GE Capital International Funding, Co. Gty., 4.418%, 11/15/35

      Baa1/BBB+           588           705,755  

LSEGA Financing PLC, Co. Gty., 1.375%, 04/06/26, 144A(b)

      A3/A           612           613,272  

LSEGA Financing PLC, Co. Gty., 2.500%, 04/06/31, 144A(b)

      A3/A           264           270,830  
              

 

 

  
                 1,589,857  
              

 

 

  

ELECTRIC (6.90%)

               

AES Gener SA, Jr. Sub. Notes, (H15T5Y + 4.917%), 6.350%, 10/07/79, 144A(b),(c)

      Ba2/BB           878           936,387  

AES Panama Generation Holdings SRL, Sr. Sec. Notes, 4.375%, 05/31/30, 144A(b)

      Baa3/NA           549           573,790  

Black Hills Corp., Sr. Unsec. Notes, 3.875%, 10/15/49(b)

      Baa2/BBB+           1,175           1,270,141  

CMS Energy Corp., Jr. Sub. Notes, (H15T5Y + 2.90%), 3.750%, 12/01/50(b),(c)

      Baa3/BBB-           238           242,117  

Consolidated Edison Co. of New York, Inc., Sr. Unsec. Notes, 3.950%, 04/01/50(b)

      Baa1/A-           449           510,180  

Consorcio Transmantaro SA, Sr. Unsec. Notes, 4.700%, 04/16/34, 144A

      Baa3/NA           200           219,000  

Edison International, Sr. Unsec. Notes, 3.550%, 11/15/24(b)

      Baa3/BBB-           575           611,216  

Edison International, Jr. Sub. Notes, (H15T5Y + 4.698%), 5.375%, 03/15/26(b),(c),(d)

      Ba2/BB+           638           642,658  

Enel Finance International NV, Co. Gty., 4.625%, 09/14/25, 144A

      Baa1/BBB+           1,458           1,654,199  

 

The accompanying notes are an integral part of these financial statements.

SCHEDULE OF INVESTMENTS (Unaudited) — continued

 

     Moody’s/                              
     Standard &                              
     Poor’s      Principal      Value  
     Rating(a)      Amount (000’s)      (Note 1)  

CORPORATE DEBT SECURITIES (Continued)

               

ELECTRIC (Continued)

               

Evergy Metro, Inc., Sr. Sec. Notes, 4.200%, 06/15/47(b)

      A2/A+         $ 917         $ 1,099,994  

FirstEnergy Corp., Sr. Unsec. Notes, 5.350%, 07/15/47(b),(f)

      Ba1/BB           1,570           1,882,422  

Hydro-Quebec, 8.250%, 04/15/26

      Aa2/AA-           1,550           2,035,145  

IPALCO Enterprises, Inc., Sr. Sec. Notes, 4.250%, 05/01/30(b)

      Baa3/BBB-           462           519,364  

Jersey Central Power & Light Co., Sr. Unsec. Notes, 2.750%, 03/01/32, 144A(b)

      A3/BB+           323           327,446  

Light Servicos de Eletricidade SA, Co. Gty., 4.375%, 06/18/26, 144A(b)

      Ba3/NA           456           458,964  

MidAmerican Funding LLC, Sr. Sec. Notes, 6.927%, 03/01/29

      A2/A-           500           667,469  

Pacific Gas and Electric Co., 2.100%, 08/01/27(b)

      Baa3/BBB-           391           379,939  

Pacific Gas and Electric Co., 3.500%, 08/01/50(b)

      Baa3/BBB-           617           550,347  

Puget Energy, Inc., Sr. Sec. Notes, 2.379%, 06/15/28, 144A(b)

      Baa3/BBB-           247           249,744  

Transelec SA, Sr. Unsec. Notes, 4.250%, 01/14/25, 144A(b)

      Baa1/BBB           750           814,133  

Transelec SA, Sr. Unsec. Notes, 3.875%, 01/12/29, 144A(b)

      Baa1/BBB           490           531,003  
              

 

 

  
                       16,175,658  
              

 

 

  

ENERGY-ALTERNATE SOURCES (0.01%)

               

Renewable Energy Group, Inc., Sr. Sec. Notes, 5.875%, 06/01/28, 144A(b)

      B2/BB           31           32,451  
              

 

 

  

ENGINEERING & CONSTRUCTION (0.27%)

               

Heathrow Funding, Ltd., Sr. Sec. Notes, 4.875%, 07/15/21, 144A

      NA/BBB+           200           200,290  

Sydney Airport Finance Co. Property, Ltd., Sr. Sec. Notes, 3.375%, 04/30/25, 144A(b)

      Baa1/BBB+           400           428,056  
              

 

 

  
                 628,346  
              

 

 

  

ENTERTAINMENT (0.28%)

               

International Game Technology PLC, Sr. Sec. Notes, 4.125%, 04/15/26, 144A(b)

      Ba3/BB           236           245,735  

Lions Gate Capital Holdings LLC, Co. Gty., 5.500%, 04/15/29, 144A(b)

      B3/CCC+           386           405,783  
              

 

 

  
                 651,518  
              

 

 

  

ENVIRONMENTAL CONTROL (0.14%)

               

GFL Environmental, Inc., Sr. Sec. Notes, 3.500%, 09/01/28, 144A(b)

      Ba3/BB-           338           337,155  
              

 

 

  

FOOD (1.04%)

               

Albertsons Cos., Inc., Co. Gty., 3.500%, 03/15/29, 144A(b)

      Ba3/BB           698           690,147  

Bimbo Bakeries USA, Inc., Co. Gty., 4.000%, 05/17/51, 144A(b)

      Baa2/BBB           363           390,092  

JBS Finance Luxembourg Sarl, Co. Gty., 3.625%, 01/15/32, 144A(b)

      Ba1/NA           211           210,935  

JBS USA LUX SA, Co. Gty., 3.750%, 12/01/31, 144A(b)

      Ba1/BB+           54           55,255  

Kraft Heinz Foods Co., Co. Gty., 5.500%, 06/01/50(b)

      Baa3/BB+           346           449,338  

Kroger Co., Sr. Unsec. Notes, 5.400%, 01/15/49(b)

      Baa1/BBB           68           92,818  

MARB BondCo PLC, Co. Gty., 3.950%, 01/29/31, 144A(b)

      NA/BB-           478           460,888  

SEG Holding LLC, Sr. Sec. Notes, 5.625%, 10/15/28, 144A(b)

      B2/BB-           80           83,976  
              

 

 

  
                 2,433,449  
              

 

 

  

FOREST PRODUCTS & PAPER (0.69%)

               

Celulosa Arauco y Constitucion SA, Sr. Unsec. Notes, 4.200%, 01/29/30, 144A(b)

      Baa3/BBB-           579           629,605  

Inversiones CMPC SA, Co. Gty., 3.850%, 01/13/30, 144A(b)

      Baa3/BBB-           580           617,700  

Suzano Austria GmbH, Co. Gty., 3.750%, 01/15/31(b)

      NA/BBB-           351           368,111  
              

 

 

  
                 1,615,416  
              

 

 

  

GAS (2.27%)

               

NiSource, Inc., Jr. Sub. Notes, (H15T5Y + 2.843%), 5.650%, 06/15/23(b),(c),(d)

      NA/BBB-           696           742,110  

Piedmont Natural Gas Co., Inc., Sr. Unsec. Notes, 3.500%, 06/01/29(b)

      A3/BBB+           1,120           1,233,947  

Southern Co. Gas Capital Corp., Co. Gty., 5.875%, 03/15/41(b)

      Baa1/A-           992           1,369,082  

Southern Co. Gas Capital Corp., Co. Gty., 3.950%, 10/01/46(b)

      Baa1/A-           539           599,513  

Southern Co. Gas Capital Corp., Co. Gty., 4.400%, 05/30/47(b)

      Baa1/A-           1,164           1,370,860  
              

 

 

  
                 5,315,512  
              

 

 

  

HEALTHCARE-PRODUCTS (0.14%)

               

STERIS Irish FinCo UnLtd Co., Co. Gty., 2.700%, 03/15/31(b)

      Baa2/BBB-           329           335,463  
              

 

 

  
              

HEALTHCARE-SERVICES (0.70%)

               

CommonSpirit Health, Sr. Sec. Notes, 2.782%, 10/01/30(b)

      Baa1/BBB+           432           448,758  

DaVita, Inc., Co. Gty., 3.750%, 02/15/31, 144A(b)

      Ba3/B+           1,134           1,088,640  

Tenet Healthcare Corp., Sr. Sec. Notes, 4.625%, 06/15/28, 144A(b)

      B1/B+           99           101,891  
              

 

 

  
                 1,639,289  
              

 

 

  

 

The accompanying notes are an integral part of these financial statements.

SCHEDULE OF INVESTMENTS (Unaudited) — continued

 

     Moody’s/                            
     Standard &                            
     Poor’s    Principal      Value  
     Rating(a)    Amount (000’s)      (Note 1)  

CORPORATE DEBT SECURITIES (Continued)

               

HOME BUILDERS (0.28%)

               

KB Home, Co. Gty., 4.000%, 06/15/31(b)

    Ba2/BB       $ 652         $ 657,705  
              

 

 

  
              

INSURANCE (9.64%)

               

Allianz SE, Jr. Sub. Notes, (H15T5Y + 2.973%), 3.500%, 11/17/25, 144A(b),(c),(d)

    Baa1/A         800           827,000  

Allstate Corp., Jr. Sub. Notes, (3M LIBOR + 2.12%), 6.500%, 05/15/57(b),(c)

    Baa1/BBB         2,200           2,933,150  

American International Group, Inc., Jr. Sub. Notes, (3M LIBOR + 4.195%), 8.175%, 05/15/58(b),(c)

    Baa2/BBB-         2,500           3,616,932  

Farmers Exchange Capital, Sub. Notes, 7.200%, 07/15/48, 144A

    Baa2/BBB+         2,250           3,159,623  

Guardian Life Insurance Co. of America, Sub. Notes, 4.850%, 01/24/77, 144A

    A1/AA-         148           189,706  

Liberty Mutual Group, Inc., Co. Gty., 3.951%, 10/15/50, 144A(b)

    Baa2/BBB         250           277,185  

Liberty Mutual Group, Inc., Co. Gty., (3M LIBOR + 7.12%), 10.750%, 06/15/58, 144A(b),(c)

    Baa3/BB+         1,000           1,431,281  

Massachusetts Mutual Life Insurance Co., Sub. Notes, 3.729%, 10/15/70, 144A

    A2/AA-         243           258,002  

Massachusetts Mutual Life Insurance Co., Sub. Notes, 4.900%, 04/01/77, 144A

    A2/AA-         980           1,273,073  

MetLife, Inc., Jr. Sub. Notes, 6.400%, 12/15/36(b)

    Baa2/BBB         637           819,278  

MetLife, Inc., Jr. Sub. Notes, 10.750%, 08/01/39(b)

    Baa2/BBB         1,000           1,730,024  

MetLife, Inc., Jr. Sub. Notes, 9.250%, 04/08/38, 144A(b)

    Baa2/BBB         1,059           1,606,790  

Nationwide Mutual Insurance Co., Sub. Notes, 8.250%, 12/01/31, 144A

    A3/A-         500           708,753  

Nationwide Mutual Insurance Co., Sub. Notes, 9.375%, 08/15/39, 144A

    A3/A-         215           374,765  

New York Life Insurance Co., Sub. Notes, 6.750%, 11/15/39, 144A

    Aa2/AA-         103           156,333  

Principal Financial Group, Inc., Co. Gty., (3M LIBOR + 3.044%), 3.200%, 05/15/55(b),(e)

    Baa2/BBB         1,135           1,128,758  

Prudential Financial, Inc., Jr. Sub. Notes, (3M LIBOR + 2.665%), 5.700%, 09/15/48(b),(c)

    Baa1/BBB+         1,241           1,455,749  

Prudential Financial, Inc., Jr. Sub. Notes, (3M LIBOR + 3.920%), 5.625%, 06/15/43(b),(c)

    Baa1/BBB+         600           643,970  
              

 

 

  
                       22,590,372  
              

 

 

  

IRON/STEEL (0.14%)

               

Cleveland-Cliffs, Inc., Co. Gty., 4.625%, 03/01/29, 144A(b)

    Ba3/NA         323           339,883  
              

 

 

  
              

LODGING (0.24%)

               

Marriott International, Inc., Sr. Unsec. Notes, 5.750%, 05/01/25(b)

    Baa3/BBB-         489           564,638  
              

 

 

  
              

MEDIA (9.44%)

               

AMC Networks, Inc., Co. Gty., 4.250%, 02/15/29(b)

    Ba3/BB         1,198           1,208,483  

CCO Holdings LLC, Sr. Unsec. Notes, 4.500%, 05/01/32(b)

    B1/BB         1,017           1,053,866  

CCO Holdings LLC, Sr. Unsec. Notes, 4.250%, 02/01/31, 144A(b)

    B1/BB         75           76,406  

Charter Communications Operating LLC, Sr. Sec. Notes, 5.750%, 04/01/48(b)

    Ba1/BBB-         774           985,747  

Comcast Corp., Co. Gty., 7.050%, 03/15/33

    A3/A-         2,000           2,905,007  

Cox Communications, Inc., Sr. Unsec. Notes, 6.800%, 08/01/28

    Baa2/BBB         1,500           1,887,144  

Cox Enterprises, Inc., Sr. Unsec. Notes, 7.375%, 07/15/27, 144A

    Baa2/BBB         500           647,490  

CSC Holdings LLC, Co. Gty., 6.500%, 02/01/29, 144A(b)

    Ba3/BB         954           1,056,650  

CSC Holdings LLC, Co. Gty., 4.125%, 12/01/30, 144A(b)

    Ba3/BB         448           445,200  

CSC Holdings LLC, Sr. Unsec. Notes, 4.625%, 12/01/30, 144A(b)

    B3/B+         1,336           1,310,763  

CSC Holdings LLC, Co. Gty., 3.375%, 02/15/31, 144A(b)

    Ba3/BB         636           600,963  

Grupo Televisa SAB, Sr. Unsec. Notes, 6.625%, 01/15/40

    Baa2/BBB+         159           218,791  

Grupo Televisa SAB, Sr. Unsec. Notes, 5.000%, 05/13/45(b)

    Baa2/BBB+         557           663,812  

Radiate Holdco LLC, Sr. Sec. Notes, 4.500%, 09/15/26, 144A(b)

    B1/B         124           128,340  

RELX, Inc., Sr. Unsec. Notes, 8.875%, 06/01/22

    WR/BBB+         2,000           2,153,804  

Scripps Escrow II, Inc., Sr. Sec. Notes, 3.875%, 01/15/29, 144A(b)

    Ba3/BB-         42           41,665  

Sirius XM Radio, Inc., Co. Gty., 4.000%, 07/15/28, 144A(b)

    Ba3/BB         329           339,219  

Time Warner Entertainment Co. LP, Sr. Sec. Notes, 8.375%, 07/15/33

    Ba1/BBB-         1,360           2,063,090  

ViacomCBS, Inc., Sr. Unsec. Notes, 4.200%, 05/19/32(b)

    Baa2/BBB         641           740,650  

ViacomCBS, Inc., Sr. Unsec. Notes, 6.875%, 04/30/36

    Baa2/BBB         179           257,136  

Virgin Media Finance PLC, Co. Gty., 5.000%, 07/15/30, 144A(b)

    B2/B         200           201,000  

VTR Finance NV, Sr. Unsec. Notes, 6.375%, 07/15/28, 144A(b)

    B1/B         443           469,580  

Walt Disney Co., Co. Gty., 7.900%, 12/01/95

    A2/BBB+         1,400           2,673,675  
              

 

 

  
                 22,128,481  
              

 

 

  

MINING (0.85%)

               

Anglo American Capital PLC, Co. Gty., 2.625%, 09/10/30, 144A(b)

    Baa2/BBB         567           569,755  

AngloGold Ashanti Holdings PLC, Co. Gty., 3.750%, 10/01/30(b)

    Baa3/BB+         339           349,435  

IAMGOLD Corp., Co. Gty., 5.750%, 10/15/28, 144A(b)

    B2/B+         701           729,285  

Newcrest Finance Pty, Ltd., Co. Gty., 3.250%, 05/13/30, 144A(b)

    Baa2/BBB         319           343,156  
              

 

 

  
                 1,991,631  
              

 

 

  

MISCELLANEOUS MANUFACTURING (0.52%)

               

General Electric Co., Sr. Unsec. Notes, 3.625%, 05/01/30(b)

    Baa1/BBB+         599           668,605  

 

The accompanying notes are an integral part of these financial statements.

SCHEDULE OF INVESTMENTS (Unaudited) — continued

 

     Moody’s/                            
     Standard &                            
     Poor’s    Principal      Value  
     Rating(a)    Amount (000’s)      (Note 1)  

CORPORATE DEBT SECURITIES (Continued)

               

MISCELLANEOUS MANUFACTURING (Continued)

               

General Electric Co., Sr. Unsec. Notes, 6.875%, 01/10/39

    Baa1/BBB+       $ 38         $ 57,009  

Hillenbrand, Inc., Co. Gty., 3.750%, 03/01/31(b)

    Ba1/BB+         499           494,791  
              

 

 

  
                 1,220,405  
              

 

 

  

OIL & GAS (4.25%)

               

Exxon Mobil Corp., Sr. Unsec. Notes, 4.227%, 03/19/40(b)

    Aa2/AA-         1,402                 1,675,428  

Lundin Energy Finance BV, Co. Gty., 3.100%, 07/15/31, 144A(b)

    Baa3/BBB-         426           430,807  

Parkland Corp., Co. Gty., 4.500%, 10/01/29, 144A(b)

    Ba3/BB         667           677,799  

Petrobras Global Finance BV, Co. Gty., 5.600%, 01/03/31(b)

    Ba2/BB-         413           462,704  

Petroleos del Peru SA, Sr. Unsec. Notes, 5.625%, 06/19/47, 144A

    NA/BBB-         793           845,338  

Petroleos Mexicanos, Co. Gty., 5.950%, 01/28/31(b)

    Ba2/BBB         552           536,268  

Petroleos Mexicanos, Co. Gty., 6.350%, 02/12/48

    Ba2/BBB         702           598,244  

Petroleos Mexicanos, Co. Gty., 6.950%, 01/28/60(b)

    Ba2/BBB         195           172,555  

Qatar Petroleum, Sr. Unsec. Notes, 2.250%, 07/12/31, 144A(b)

    Aa3/AA-         441           436,312  

SA Global Sukuk, Ltd., Sr. Unsec. Notes, 1.602%, 06/17/26, 144A(b)

    A1/NA         435           434,695  

SA Global Sukuk, Ltd., Sr. Unsec. Notes, 2.694%, 06/17/31, 144A(b)

    A1/NA         462           467,729  

Saudi Arabian Oil Co., Sr. Unsec. Notes, 2.250%, 11/24/30, 144A(b)

    A1/NA         853           837,109  

Valero Energy Corp., Sr. Unsec. Notes, 8.750%, 06/15/30

    Baa2/BBB         1,000           1,499,886  

Valero Energy Corp., Sr. Unsec. Notes, 10.500%, 03/15/39

    Baa2/BBB         500           878,632  
              

 

 

  
                 9,953,506  
              

 

 

  
              

PACKAGING & CONTAINERS (0.08%)

               

Ardagh Metal Packaging Finance USA LLC, Sr. Unsec. Notes, 4.000%, 09/01/29, 144A(b)

    B3/B+         200           198,440  
              

 

 

  

PHARMACEUTICALS (1.78%)

               

AbbVie, Inc., Sr. Unsec. Notes, 4.050%, 11/21/39(b)

    Baa2/BBB+         615           713,050  

Astrazeneca Finance LLC, Co. Gty., 1.750%, 05/28/28(b)

    A3/BBB+         475           475,152  

Bausch Health Cos., Inc., Sr. Sec. Notes, 4.875%, 06/01/28, 144A(b)

    Ba2/BB         80           81,700  

Bausch Health Cos., Inc., Co. Gty., 5.000%, 02/15/29, 144A(b)

    B3/B         24           22,380  

Bausch Health Cos., Inc., Co. Gty., 6.250%, 02/15/29, 144A(b)

    B3/B         73           72,201  

Bausch Health Cos., Inc., Co. Gty., 5.250%, 01/30/30, 144A(b)

    B3/B         87           80,910  

Bausch Health Cos., Inc., Co. Gty., 5.250%, 02/15/31, 144A(b)

    B3/B         355           331,375  

Endo Luxembourg Finance Co I Sarl, Sr. Sec. Notes, 6.125%, 04/01/29, 144A(b)

    B2/B         278           272,440  

Organon & Co., Sr. Sec. Notes, 4.125%, 04/30/28, 144A(b)

    Ba2/BB         200           203,960  

Takeda Pharmaceutical Co., Ltd., Sr. Unsec. Notes, 5.000%, 11/26/28(b)

    Baa2/BBB+         500           602,549  

Takeda Pharmaceutical Co., Ltd., Sr. Unsec. Notes, 3.175%, 07/09/50(b)

    Baa2/BBB+         684           691,846  

Teva Pharmaceutical Finance Netherlands III BV, Co. Gty., 7.125%, 01/31/25(b)

    Ba2/BB-         577           636,142  
              

 

 

  
                 4,183,705  
              

 

 

  

PIPELINES (6.21%)

               

Enbridge, Inc., Sub. Notes, (3M LIBOR + 3.89%), 6.000%, 01/15/77(b),(c)

    Baa3/BBB-         750           831,710  

Energy Transfer LP, Sr. Unsec. Notes, 3.750%, 05/15/30(b)

    Baa3/BBB-         398           432,776  

Enterprise Products Operating LLC, Co. Gty., (3M LIBOR + 2.57%), 5.375%, 02/15/78(b),(c)

    Baa2/BBB-         342           352,962  

Florida Gas Transmission Co. LLC, Sr. Unsec. Notes, 9.190%, 11/01/24, 144A

    Baa2/BBB+         40           43,125  

Global Partners LP, Co. Gty., 7.000%, 08/01/27(b)

    B2/B+         1,076           1,140,560  

Kinder Morgan, Inc., Co. Gty., 8.050%, 10/15/30

    Baa2/BBB         1,000           1,388,887  

Kinder Morgan, Inc., Co. Gty., 5.550%, 06/01/45(b)

    Baa2/BBB         1,755           2,273,488  

MPLX LP, Sr. Unsec. Notes, 4.250%, 12/01/27(b)

    Baa2/BBB         901           1,021,644  

MPLX LP, Sr. Unsec. Notes, 5.500%, 02/15/49(b)

    Baa2/BBB         694           898,886  

MPLX LP, Sr. Unsec. Notes, 4.900%, 04/15/58(b)

    Baa2/BBB         561           671,749  

NGPL PipeCo LLC, Sr. Unsec. Notes, 7.768%, 12/15/37, 144A

    Baa3/BBB-         880           1,255,320  

Panhandle Eastern Pipe Line Co. LP, Sr. Unsec. Notes, 7.000%, 07/15/29

    Baa3/BBB-         1,000           1,267,127  

Targa Resources Partners LP, Co. Gty., 5.500%, 03/01/30(b)

    Ba2/BB         1,177           1,294,300  

Transcontinental Gas Pipe Line Co. LLC, Sr. Unsec. Notes, 3.950%, 05/15/50(b)

    Baa1/BBB         384           429,412  

Williams Cos., Inc., Sr. Unsec. Notes, 7.500%, 01/15/31

    Baa2/BBB         911           1,263,337  
              

 

 

  
                 14,565,283  
              

 

 

  

REITS (1.47%)

               

Iron Mountain, Inc., Co. Gty., 5.000%, 07/15/28, 144A(b)

    Ba3/BB-         59           61,065  

Iron Mountain, Inc., Co. Gty., 4.875%, 09/15/29, 144A(b)

    Ba3/BB-         398           410,816  

Iron Mountain, Inc., Co. Gty., 5.250%, 07/15/30, 144A(b)

    Ba3/BB-         578           611,859  

Ladder Capital Finance Holdings LLP, Co. Gty., 4.750%, 06/15/29, 144A(b)

    Ba2/BB-         192           192,240  

Scentre Group Trust 2, Co. Gty., (H15T5Y + 4.379%), 4.750%, 09/24/80, 144A(b),(c)

    Baa1/BBB+         2,007           2,142,473  

WEA Finance LLC, Co. Gty., 4.625%, 09/20/48, 144A(b)

    Baa2/BBB+         36           38,416  
              

 

 

  
                 3,456,869  
              

 

 

  

 

The accompanying notes are an integral part of these financial statements.

SCHEDULE OF INVESTMENTS (Unaudited) — continued

 

     Moody’s/                              
     Standard &                              
     Poor’s      Principal      Value  
     Rating(a)      Amount (000’s)      (Note 1)  

CORPORATE DEBT SECURITIES (Continued)

               

RETAIL (1.07%)

               

Macy’s Retail Holdings LLC, Co. Gty., 5.875%, 04/01/29, 144A(b)

      B1/B         $ 78         $ 83,884  

Murphy Oil USA, Inc., Co. Gty., 3.750%, 02/15/31, 144A(b)

      Ba2/BB+           119           117,661  

Starbucks Corp., Sr. Unsec. Notes, 4.450%, 08/15/49(b)

      Baa1/BBB+           1,781           2,210,744  

Superior Plus LP, Co. Gty., 4.500%, 03/15/29, 144A(b)

      Ba3/BB-           98           100,942  
              

 

 

  
                 2,513,231  
              

 

 

  

SEMICONDUCTORS (1.37%)

               

Broadcom, Inc., Co. Gty., 4.750%, 04/15/29(b)

      Baa3/BBB-           1,109           1,291,176  

Broadcom, Inc., Sr. Unsec. Notes, 3.469%, 04/15/34, 144A(b)

      Baa3/BBB-           1,655           1,742,135  

Broadcom, Inc., Co. Gty., 3.750%, 02/15/51, 144A(b)

      Baa3/BBB-           166           173,425  
              

 

 

  
                 3,206,736  
              

 

 

  

SOFTWARE (1.55%)

               

Oracle Corp., Sr. Unsec. Notes, 2.300%, 03/25/28(b)

      Baa2/BBB+           1,130           1,160,864  

Oracle Corp., Sr. Unsec. Notes, 3.600%, 04/01/40(b)

      Baa2/BBB+           2,331           2,460,807  
              

 

 

  
                 3,621,671  
              

 

 

  

TELECOMMUNICATIONS (4.99%)

               

AT&T, Inc., Sr. Unsec. Notes, 4.500%, 05/15/35(b)

      Baa2/BBB           515           605,361  

AT&T, Inc., Sr. Unsec. Notes, 4.750%, 05/15/46(b)

      Baa2/BBB           425           516,521  

AT&T, Inc., Sr. Unsec. Notes, 3.300%, 02/01/52(b)

      Baa2/BBB           2,321           2,259,993  

Deutsche Telekom International Finance BV, Co. Gty., 8.750%, 06/15/30(f)

      Baa1/BBB           2,000           2,999,114  

Frontier Communications Holdings LLC, Sr. Sec. Notes, 5.000%, 05/01/28, 144A(b)

      B3/B+           255           263,627  

Lumen Technologies, Inc., Sr. Unsec. Notes, 5.375%, 06/15/29, 144A(b)

      B2/BB-           152           154,485  

T-Mobile USA, Inc., Co. Gty., 3.375%, 04/15/29(b)

      Ba3/BB           1,108           1,143,449  

Verizon Communications, Inc., Sr. Unsec. Notes, 2.550%, 03/21/31(b)

      Baa1/BBB+           457           467,641  

Verizon Communications, Inc., Sr. Unsec. Notes, 4.812%, 03/15/39

      Baa1/BBB+           1,898           2,406,141  

Verizon Communications, Inc., Sr. Unsec. Notes, 3.550%, 03/22/51(b)

      Baa1/BBB+           674           720,663  

Windstream Escrow LLC, Sr. Sec. Notes, 7.750%, 08/15/28, 144A(b)

      B3/B           146           150,380  
              

 

 

  
                 11,687,375  
              

 

 

  

TRANSPORTATION (0.69%)

               

BNSF Funding Trust I, Co. Gty., (3M LIBOR + 2.35%), 6.613%, 12/15/55(b),(c)

      Baa2/A           250           286,210  

Hidrovias International Finance SARL, Sr. Unsec. Notes, 4.950%, 02/08/31, 144A(b)

      Ba3/NA           200           203,225  

Simpar Europe SA, Co. Gty., 5.200%, 01/26/31, 144A(b)

      NA/BB-           544           558,421  

Union Pacific Corp., Sr. Unsec. Notes, 3.839%, 03/20/60(b)

      Baa1/A-           503           573,194  
              

 

 

  
                 1,621,050  
              

 

 

  

TOTAL CORPORATE DEBT SECURITIES (Cost of $172,752,320)

                        198,125,011  
              

 

 

  
              

ASSET-BACKED SECURITIES (6.63%)

               

Antares CLO, Ltd., Series 2017-1A, Class CR, (3M LIBOR + 2.70%), 2.893%, 04/20/33, 144A(b),(e)

      NA/A           1,093           1,091,941  

BCC Funding XVII LLC, Series 2020-1, Class A2, 0.910%, 08/20/25, 144A(b)

      Aaa/NA           205           205,735  

Blackbird Capital Aircraft, Series 2021-1A, Class B, 3.446%, 07/15/46, 144A(b)

      Baa1/NA           371           373,790  

CF Hippolyta LLC, Series 2020-1, Class A1, 1.690%, 07/15/60, 144A(b)

      NA/AA-           649           659,684  

DB Master Finance LLC, Series 2017-1A, Class A2I, 3.629%, 11/20/47, 144A(b)

      NA/BBB           325           329,072  

Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 04/25/51, 144A(b)

      NA/BBB+           552           571,226  

DRB Prime Student Loan Trust, Series 2016-B, Class A2, 2.890%, 06/25/40, 144A(b)

      Aaa/NA           53           53,079  

DRB Prime Student Loan Trust, Series 2017-A, Class A2B, 2.850%, 05/27/42, 144A(b)

      Aaa/NA           414           419,917  

Fortress Credit Opportunities IX CLO, Ltd., Series 2017-9A, Class A1T, (3M LIBOR + 1.55%), 1.706%, 11/15/29, 144A(b),(e)

      Aaa/AAA           600           599,114  

Golub Capital Partners CLO 36m, Ltd., Series 2018-36A, Class C, (3M LIBOR + 2.10%), 2.276%, 02/05/31, 144A(b),(e)

      NA/A           2,250           2,215,476  

ITE Rail Fund Levered LP, Series 2021-1A, Class A, 2.250%, 02/28/51, 144A(b)

      NA/A           200           200,626  

IVY Hill Middle Market Credit Fund XII, Ltd., Series -12A, Class BR, (3M LIBOR + 2.90%), 3.042%, 07/20/33, 144A(b),(e)

      NA/A-           866           865,567  

LoanCore Issuer, Ltd., Series 2018-CRE1, Class A, (1M LIBOR + 1.13%), 1.203%,
05/15/28, 144A(b),(e)

      Aaa/NA           173           172,823  

Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 05/15/69, 144A(b)

      NA/AAA           196           195,993  

PMT Issuer Trust, Series 2021-FT1, Class A, (1M LIBOR + 3.00%), 3.092%, 03/25/26, 144A(b),(e)

      NA/NA           566           567,926  

Slam, Ltd., Series 2021-1A, Class A, 2.434%, 06/15/46, 144A(b)

      A1/NA           1,345           1,345,160  

SMB Private Education Loan Trust, Series 2017-B, Class A2B, (1M LIBOR + 0.75%), 0.851%, 10/15/35, 144A(b),(e)

      Aaa/AAA           505           506,385  

Sofi Consumer Loan Program Trust, Series 2018-1, Class B, 3.650%, 02/25/27, 144A(b)

      NA/AAA           538           545,238  

Sofi Professional Loan Program LLC, Series 2017-C, Class B, 3.560%, 07/25/40, 144A(b),(e)

      NA/AA+           1,099           1,136,645  

Textainer Marine Containers VII, Ltd., Series 2021-1A, Class A, 1.680%, 02/20/46, 144A(b)

      NA/A           1,003           992,177  

TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 02/20/46, 144A(b)

      NA/A           533           525,240  

United States Small Business Administration, Series 2010-20F, Class 1, 3.880%, 06/01/30

      Aaa/AA+           66           71,803  

 

The accompanying notes are an integral part of these financial statements.

SCHEDULE OF INVESTMENTS (Unaudited) — continued

 

     Moody’s/                              
     Standard &                              
     Poor’s      Principal      Value  
     Rating(a)      Amount (000’s)      (Note 1)  

ASSET-BACKED SECURITIES (Continued)

               

Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 09/15/43, 144A(b),(g)

      NA/NA         $ 1,229         $ 1,221,146  

Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 05/15/46, 144A(b)

      NA/NA           674           678,937  
              

 

 

  

TOTAL ASSET-BACKED SECURITIES (Cost of $15,501,351)

                  15,544,700  
              

 

 

  
              

COMMERCIAL MORTGAGE-BACKED SECURITIES (1.48%)

               

Angel Oak Mortgage Trust I LLC, Series 2019-2, Class A1, 3.628%, 03/25/49, 144A(b),(e)

      NA/NA           89           89,792  

CGMS Commercial Mortgage Trust, Series 2017-MDRB, Class A, (1M LIBOR + 1.10%), 1.173%, 07/15/30, 144A(e)

      NA/AAA           28           27,679  

Citigroup Commercial Mortgage Trust, Series 2016-P6, Class C, 4.420%, 12/10/49(b),(e)

      NR/NA           367           366,594  

Lanark Master Issuer PLC, Series 2019-1A, Class 1A1, (3M LIBOR + 0.77%), 0.920%, 12/22/69, 144A(b),(e)

      Aaa/AAA           276           276,169  

MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.425%, 10/15/30, 144A(b),(e)

      NA/BBB-           2,710           2,168,669  

New Residential Mortgage Loan Trust, Series 2021-NQ2R, Class A1, 0.941%, 09/25/58, 144A(b),(e)

      NA/NA           546           545,753  
              

 

 

  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost of $3,999,430)

                  3,474,656  
              

 

 

  
              

RESIDENTIAL MORTGAGE-BACKED SECURITIES (0.14%)

               

FHLMC Pool #A15675, 6.000%, 11/01/33

      Aaa/AA+           61           72,756  

FHLMC Pool #G00182, 9.000%, 09/01/22(h)

      Aaa/AA+           —           1  

FNMA Pool #754791, 6.500%, 12/01/33

      Aaa/AA+           127           145,260  

FNMA Pool #763852, 5.500%, 02/01/34

      Aaa/AA+           79           90,445  

GNSF Pool #417239, 7.000%, 02/15/26

      Aaa/AA+           2           2,382  

GNSF Pool #780374, 7.500%, 12/15/23

      Aaa/AA+           1           731  
              

 

 

  

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost of $255,705)

                  311,575  
              

 

 

  
              

MUNICIPAL BONDS (1.17%)

               

San Francisco City & County Public Utilities Commission, Water Revenue, Build America Bonds, 6.000%, 11/01/40

      Aa2/AA-           145           201,366  

State of California, Build America Bonds, GO, 7.625%, 03/01/40

      Aa2/AA-           1,500           2,526,815  
              

 

 

  

TOTAL MUNICIPAL BONDS (Cost of $1,677,541)

                  2,728,181  
              

 

 

  
              

U.S. TREASURY SECURITIES (1.50%)

               

United States Treasury Bond, 1.250%, 03/31/28

      Aaa/AA+           236           237,207  

United States Treasury Bond, 1.625%, 05/15/31

      Aaa/AA+           1,184           1,203,813  

United States Treasury Bond, 3.125%, 02/15/42

      Aaa/AA+           135           161,135  

United States Treasury Bond, 1.250%, 05/15/50

      Aaa/AA+           206           168,235  

United States Treasury Bond, 1.625%, 11/15/50

      Aaa/AA+           675           606,101  

United States Treasury Bond, 1.875%, 02/15/51

      Aaa/AA+           494           471,447  

United States Treasury Bond, 2.375%, 05/15/51

      Aaa/AA+           630           673,321  
              

 

 

  

TOTAL U.S. TREASURY SECURITIES (Cost of $3,443,802)

                  3,521,259  
              

 

 

  
              

GOVERNMENT BONDS (2.05%)

               

Colombia Government International Bond, Sr. Unsec. Notes, 3.250%, 04/22/32(b)

      Baa2/BB+           200           196,130  

Egypt Government International Bond, Sr. Unsec. Notes, 5.875%, 02/16/31, 144A

      B2/B           380           368,980  

Egypt Government International Bond, Sr. Unsec. Notes, 7.625%, 05/29/32, 144A

      B2/B           526           557,613  

Ghana Government International Bond, Sr. Unsec. Notes, 8.625%, 04/07/34, 144A

      B3/B-           339           349,692  

Mexico Government International Bond, Sr. Unsec. Notes, 5.000%, 04/27/51(b)

      Baa1/BBB           711           807,077  

Morocco Government International Bond, Sr. Unsec. Notes, 3.000%, 12/15/32, 144A

      Ba1/BB+           764           736,832  

Oman Government International Bond, Sr. Unsec. Notes, 7.000%, 01/25/51, 144A

      Ba3/NA           350           355,705  

Peruvian Government International Bond, Sr. Unsec. Notes, 2.783%, 01/23/31(b)

      A3/BBB+           548           557,848  

Philippine Government International Bond, Sr. Unsec. Notes, 3.200%, 07/06/46

      Baa2/BBB+           304           303,618  

Ukraine Government International Bond, Sr. Unsec. Notes, 7.253%, 03/15/33, 144A

      NA/B           551           573,702  
              

 

 

  

TOTAL GOVERNMENT BONDS (Cost of $4,629,669)

                  4,807,197  
              

 

 

  
           

    Shares    

         

PREFERRED STOCKS (0.89%)

               

CoBank ACB, Series F, (3M LIBOR + 4.557%), 6.250%(b),(c),(d)

      NA/BBB+           20,000           2,087,500  
              

 

 

  

TOTAL INVESTMENTS (98.38%)
(Cost of $204,344,818)

                  230,600,079  
              

 

 

  

OTHER ASSETS AND LIABILITIES (1.62%)

                  3,804,515  
              

 

 

  

NET ASSETS (100.00%)

                $ 234,404,594  
              

 

 

  

 

The accompanying notes are an integral part of these financial statements.

SCHEDULE OF INVESTMENTS (Unaudited) — continued

 

At June 30, 2021, the Fund had the following open futures contracts:

 

                       Unrealized
     Expiration    Number of    Notional       Appreciation
Long Futures Outstanding    Month    Contracts    Amount   Value   (Depreciation)

U.S. Treasury 2-Year Notes

        09/21        6      $ 1,323,852     $ 1,321,922     $ (1,930 )

U.S. Treasury 5-Year Notes

        09/21        27        3,339,292       3,332,602       (6,690 )

U.S. Treasury Long Bonds

        09/21        103        16,035,194       16,557,250       522,056

U.S. Treasury Ultra Bonds

        09/21        19        3,485,327       3,661,063       175,736
                      

 

 

  
                         689,172
                      

 

 

  
Short Futures Outstanding                            

U.S. Treasury 10-Year Notes

        09/21        56        (7,395,793 )       (7,420,000 )       (24,207 )

U.S. Treasury Ultra 10-Year Notes

        09/21        210        (30,333,176 )       (30,912,657 )       (579,481 )
                      

 

 

  
                         (603,688 )
                      

 

 

  

Net unrealized appreciation on open futures contracts

                        $ 85,484
                      

 

 

  

 

(a)

Ratings for debt securities are unaudited. All ratings are as of June 30, 2021 and may have changed subsequently.

(b)

This security is callable.

 

(c)

Fixed to floating rate security. Fixed rate indicated is rate effective at June 30, 2021. Security will convert at a future date to a floating rate of reference rate and spread in the description above.

(d)

Security is perpetual. Date shown is next call date.

 

(e)

Variable rate security. Rate indicated is rate effective at June 30, 2021.

 

(f)

Multi-Step Coupon. Rate disclosed is as of June 30, 2021.

 

(g)

Denotes a step-up bond. The rate indicated is the current coupon as of June 30, 2021.

 

(h)

Principal amount less than $1,000.

144A

Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. At June 30, 2021, these securities amounted to $89,080,595 or 38.00% of net assets.

Legend

Certs. – Certificates

CLO – Collateralized Loan Obligation

Co. Gty. – Company Guaranty

FHLMC – Federal Home Loan Mortgage Corporation

FNMA – Federal National Mortgage Association

GNSF – Government National Mortgage Association (Single Family)

GO – Government Obligation

H15T5Y – US Treasury Yield Curve Rate T Note Constant Maturity 5 Year

Jr. – Junior

LIBOR – London Interbank Offered Rate

LLC – Limited Liability Company

LP – Limited Partnership

Ltd. – Limited

PLC – Public Limited Company

REIT – Real Estate Investment Trust

Sec. – Secured

SOFRRATE – Secured Overnight Financing Rate

Sr. – Senior

Sub. – Subordinated

Unsec. – Unsecured

 

The accompanying notes are an integral part of these financial statements.

INSIGHT SELECT INCOME FUND

Notes to the Quarterly Schedule of Investments

June 30, 2021

(unaudited)

A. Security Valuation – In valuing the Insight Select Income Fund’s (the “Fund”) net assets, all securities for which representative market quotations are available will be valued at the last quoted sales price on the security’s principal exchange on the day of valuation. If there are no sales of the relevant security on such day, the security will be valued at the bid price at the time of computation. For securities traded in the over-the-counter market, including listed debt and preferred securities, whose primary market is believed to be over-the-counter, the Fund uses recognized industry pricing services – approved by the Board and unaffiliated with the Adviser - and uses broker quotes provided by market makers of securities not valued by these and other recognized pricing sources.

In the event that market quotations are not readily available, or when such quotations are deemed not to reflect current market value, the securities will be valued at their respective fair value as determined in good faith by the Adviser pursuant to certain procedures and reporting requirements established by the Board of Trustees. The Adviser considers all relevant facts that are reasonably available when determining the fair value of a security, including but not limited to the last sale price or initial purchase price (if a when issued security) and subsequently adjusting the value based on changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves are utilized. At June 30, 2021, there were no securities valued using fair value procedures.

Fair Value Measurements – The Fund has adopted authoritative fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion in changes in valuation techniques and related inputs during the period and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below:

 

  • Level 1 –

Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.

 

  • Level 2 –

Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

  • Level 3 –

Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

Following is a description of the valuation techniques applied to the Fund’s major categories of assets measured at fair value on a recurring basis as of June 30, 2021.

 

Assets:    Total Market
Value at
06/30/21		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  

CORPORATE DEBT SECURITIES

      $198,125,011      $ —        $198,125,011        $—  

ASSET-BACKED SECURITIES

      15,544,700        —        15,544,700        —  

COMMERCIAL MORTGAGE-BACKED SECURITIES

      3,474,656        —        3,474,656        —  

RESIDENTIAL MORTGAGE-BACKED SECURITIES

      311,575        —        311,575        —  

MUNICIPAL BONDS

      2,728,181        —        2,728,181        —  

U.S. TREASURY SECURITIES

      3,521,259        —        3,521,259        —  

GOVERNMENT BONDS

      4,807,197        —        4,807,197        —  

 

INSIGHT SELECT INCOME FUND

Notes to the Quarterly Schedule of Investments

June 30, 2021 (concluded)

(unaudited)

 

Assets:    Total Market
Value at
06/30/21		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  

PREFERRED STOCKS

      $ 2,087,500        $2,087,500      $ —        $—  

FUTURES CONTRACTS

      697,792        697,792        —        —  

TOTAL ASSETS

      $231,297,871        $2,785,292        $228,512,579        $—  

Liabilities:

                                    

FUTURES CONTRACTS

      $612,308        $612,308        $—        $—  

At the end of each calendar quarter, management evaluates the Level 1, 2 and 3 assets and liabilities for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates Level 1 and 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities. Pursuant to Fund policy, transfers between levels are considered to have occurred at the beginning of the reporting period. As of June 30, 2021, there were no transfers between Level 1, Level 2 and Level 3 for the Fund.

Level 3 investments are categorized as Level 3 with values derived utilizing prices from prior transactions or third party pricing information without adjustment (broker quotes, pricing services and net asset values). A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments. As of June 30, 2021, the Fund did not hold any Level 3 securities.

For more information with regards to significant accounting policies, see the most recent semi or annual report filed with the Securities and Exchange Commission.