NPORT-EX 1 IASIF.htm IVY APOLLO STRATEGIC INCOME FUND SOI HTML
     SCHEDULE OF INVESTMENTS   
     Ivy Apollo Strategic Income Fund (in thousands)   

JUNE 30, 2019 (UNAUDITED)

 

      

 

COMMON STOCKS

    Shares      Value  

Canada

 

Energy – 0.0%

 

Bellatrix Exploration Ltd.(A)

      98      $ 67  
     

 

 

  

Health Care – 0.0%

 

Advanz Pharma Corp.(A)

      7        117  
     

 

 

  

Total Canada - 0.0%

 

    $ 184  
  

 

 

  

Hong Kong

 

Consumer Discretionary – 0.2%

 

Studio City International Holdings Ltd.(A)(B)

      46        918  
     

 

 

  

Total Hong Kong - 0.2%

 

    $ 918  
  

 

 

  

Netherlands

 

Communication Services – 0.0%

 

Altice N.V., Class A(A)

      11        38  
     

 

 

  

Total Netherlands - 0.0%

 

    $ 38  
  

 

 

  

United States

 

Communication Services – 0.0%

 

Altice USA, Inc., Class A(A)

      2        56  
     

 

 

  

Consumer Discretionary – 0.1%

 

Laureate Education, Inc.,
Class A(A)

      20        310  

True Religion Apparel,
Inc.(A)(C)

      1        —   * 
     

 

 

  
        310  
     

 

 

  

Energy – 0.0%

 

Westmoreland Coal Co.(A)(C)

      7        105  
     

 

 

  

Total United States – 0.1%

 

    $ 471  
  

 

 

  

TOTAL COMMON STOCKS – 0.3%

 

    $ 1,611  
  

 

 

  

(Cost: $1,297)

 

INVESTMENT FUNDS

              

United States – 0.7%

 

iShares iBoxx $ High Yield Corporate Bond ETF

      39        3,360  
     

 

 

  

TOTAL INVESTMENT FUNDS – 0.7%

 

    $ 3,360  
  

 

 

  

(Cost: $3,282)

 

PREFERRED STOCKS

              

United States

 

Consumer Staples – 0.0%

 

Pinnacle Agriculture Enterprises LLC(A)(C)(D)

      389        31  
     

 

 

  

Energy – 0.3%

 

Targa Resources Corp.,
9.500%(A)(D)

      1        1,576  
     

 

 

  

Total United States – 0.3%

 

    $ 1,607  
  

 

 

  

TOTAL PREFERRED STOCKS – 0.3%

 

    $ 1,607  
  

 

 

  

(Cost: $1,801)

 

WARRANTS

              

United States – 0.0%

 

Ultra Resources, Inc., expires 7-14-25, Expires 7-14-25I

      4        —   * 
     

 

 

  

TOTAL WARRANTS – 0.0%

 

    $ —   * 

(Cost: $1)

 

ASSET-BACKED
SECURITIES

    Principal         

Cayman Islands – 1.3%

 

Dryden Senior Loan Fund, Series 2018-71A, Class D (3-Month U.S. LIBOR plus 390 bps)
6.593%, 1-15-29(F)(G)

    $ 500        499  

Eaton Vance CDO Ltd., Series 2013-1A, Class CR (3-Month U.S. LIBOR plus 425 bps)
6.847%, 1-15-28(F)(G)

      3,385        3,378  

Northwoods Capital XI-B Ltd. And Northwoods Capital XI-B LLC, Series 2018-14BA, Class D (3-Month U.S. LIBOR plus 340 bps)
5.935%, 11-13-31(F)(G)

      800        776  

OZLM Ltd., Series 2014-9A, Class DRR (3-Month U.S. LIBOR plus 612 bps)
8.712%, 10-20-31(F)(G)

      500        480  

Race Point CLO Ltd., Series 2013-8A, Class DR (3-Month U.S. LIBOR plus 380 bps)
6.320%, 2-20-30(F)(G)

      500        498  

TIAA Churchill Middle Market CLO I Ltd., Series 2016-1A, Class DR (3-Month U.S. LIBOR plus 390 bps)
6.492%, 10-20-30(F)(G)

      250        245  

Venture CDO Ltd., Series 17-26A, Class D (3-Month U.S. LIBOR plus 425 bps)
6.842%, 1-20-29(F)(G)

      500        499  
     

 

 

  
        6,375  
     

 

 

  

United States – 0.9%

 

Adams Mill CLO Ltd., Series 2014-1A, Class D1 (3-Month U.S. LIBOR plus 350 bps)
6.097%, 7-15-26(F)(G)

      400        399  

Anchorage Credit Funding Ltd., Series 2015-2A, Class D 7.300%, 1-25-31(F)

      400        400  

Antares CLO 2017-1A Ltd. (3-Month U.S. LIBOR plus 775 bps)
10.342%, 7-20-28(G)

      1,350        1,329  

Fortress Credit BSL Ltd., Series 2018-1A, Class ER (3-Month U.S. LIBOR plus 645 bps)
9.042%, 7-23-31(F)(G)

      750        705  

Golub Capital Partners CLO Ltd., Series 2013-17A, Class CR (3-Month U.S. LIBOR plus 350 bps)
6.080%, 10-25-30(F)(G)

      1,000        945  

Trinitas CLO Ltd., Series 2018-8A, Class E (3-Month U.S. LIBOR plus 590 bps)
8.492%, 7-20-31(F)(G)

      500        448  
     

 

 

  
        4,226  
     

 

 

  

TOTAL ASSET-BACKED SECURITIES – 2.2%

 

    $ 10,601  
  

 

 

  

(Cost: $10,738)

 

CORPORATE DEBT
SECURITIES

              

Argentina

 

Energy – 0.2%

 

Pampa Energia S.A.
7.500%, 1-24-27(B)(F)

      1,200        1,110  
     

 

 

  

Industrials – 0.1%

 

Aeropuertos Argentina 2000 S.A. 6.875%, 2-1-27(F)

      605        591  
     

 

 

  

Total Argentina – 0.3%

 

    $ 1,701  
  

 

 

  

Australia

 

Financials – 0.3%

 

Australia and New Zealand Banking Group Ltd.
4.500%, 3-19-24(F)

      1,500        1,587  
     

 

 

  

Utilities – 0.3%

 

Ausgrid Finance Pty Ltd.
3.850%, 5-1-23(F)

      1,400        1,452  
     

 

 

  

Total Australia – 0.6%

 

    $ 3,039  
  

 

 

  

Austria

 

Consumer Staples – 0.4%

 

JBS Investments II GmbH (GTD by JBS S.A.):

      

7.000%, 1-15-26(F)

      1,500        1,625  

7.000%, 1-15-26

      400        433  
     

 

 

  
        2,058  
     

 

 

  
 

Materials – 0.7%

 

Bahia Sul Holdings GmbH
5.750%, 7-14-26(F)

      2,000        2,185  

Klabin Austria GmbH
5.750%, 4-3-29(B)(F)

      1,200        1,280  
     

 

 

  
        3,465  
     

 

 

  

Total Austria – 1.1%

 

    $ 5,523  
  

 

 

  

Bermuda

 

Consumer Staples – 0.2%

 

Bacardi Ltd.
4.450%, 5-15-25(F)

      1,100        1,169  
     

 

 

  

Total Bermuda – 0.2%

 

    $ 1,169  
  

 

 

  

Brazil

 

Communication Services – 0.0%

 

Globo Comunicacoes
e Participacoes S.A.
4.843%, 6-8-25

      200        205  
     

 

 

  

Consumer Staples – 0.4%

 

Cosan Ltd.
5.950%, 9-20-24(F)

      1,725        1,801  
     

 

 

  

Materials – 0.7%

 

Fibria Overseas Finance Ltd.:

      

5.250%, 5-12-24

      800        850  

4.000%, 1-14-25

      850        856  

Nexa Resources S.A.
5.375%, 5-4-27

      200        210  

Suzano Austria GmbH
6.000%, 1-15-29(F)

      400        436  

Vale Overseas Ltd.
6.250%, 8-10-26

      1,025        1,164  
     

 

 

  
        3,516  
     

 

 

  

Utilities – 0.2%

 

Aegea Finance S.a.r.l.
5.750%, 10-10-24(F)

      1,000        1,032  
     

 

 

  

Total Brazil – 1.3%

 

    $ 6,554  
  

 

 

  

British Virgin Islands

 

Materials – 0.2%

 

Gerdau Trade, Inc. (GTD by Gerdau S.A., Gerdau Acominas S.A., Gerdau Acos Longos S.A. and Gerdau Acos Especiais S.A.)
4.875%, 10-24-27

      200        209  

Gold Fields Orogen Holding Ltd.
6.125%, 5-15-29(F)

      200        220  
     

 

 

  
        429  
     

 

 

  

Total British Virgin Islands – 0.2%

 

    $ 429  
  

 

 

  

Canada

 

Communication Services – 0.1%

 

Quebecor Media, Inc.
5.750%, 1-15-23

      255        273  
     

 

 

  

Consumer Discretionary – 0.2%

 

1011778 B.C. Unlimited Liability Co. and New Red Finance, Inc.
5.000%, 10-15-25(F)

      373        376  

Gateway Casinos & Entertainment Ltd.
8.250%, 3-1-24(F)

      562        592  

Panther BF Aggregator 2 L.P. 6.250%, 5-15-26(F)

      119        124  
     

 

 

  
        1,092  
     

 

 

  

Energy – 0.7%

 

Seven Generations Energy Ltd.:

      

6.750%, 5-1-23(F)

      1,257        1,279  

5.375%, 9-30-25(F)

      480        462  

TransCanada PipeLines Ltd.:

      

3.800%, 10-1-20

      1,000        1,016  

4.250%, 5-15-28

      900        972  
     

 

 

  
        3,729  
     

 

 

  

Financials – 0.4%

 

Royal Bank of Canada:

      

3.700%, 10-5-23

      750        790  

4.650%, 1-27-26

      550        600  

Tervita Escrow Corp.
7.625%, 12-1-21(F)

      244        248  
     

 

 

  
        1,638  
     

 

 

  

Health Care – 0.0%

 

Advanz Pharma Corp.
8.000%, 9-6-24

      81        79  
     

 

 

  

Industrials – 0.4%

 

GFL Environmental, Inc.:

      

5.625%, 5-1-22(F)

      155        156  

5.375%, 3-1-23(F)

      858        850  

7.000%, 6-1-26(F)

      730        747  

8.500%, 5-1-27(F)

      168        181  
     

 

 

  
        1,934  
     

 

 

  

Information Technology – 0.4%

 

Kronos Acquisition Holdings, Inc. 9.000%, 8-15-23(F)

      1,909        1,678  

Open Text Corp.
5.625%, 1-15-23(F)

      531        546  
     

 

 

  
        2,224  
     

 

 

  

Materials – 0.4%

 

First Quantum Minerals Ltd.:

      

7.250%, 5-15-22(B)(F)

      600        595  

6.500%, 3-1-24(F)

      650        608  

HudBay Minerals, Inc.:

      

7.250%, 1-15-23(F)

      68        70  

7.625%, 1-15-25(F)

      102        105  

NOVA Chemicals Corp.:

      

4.875%, 6-1-24(F)

      661        684  

5.250%, 6-1-27(F)

      265        282  
     

 

 

  
        2,344  
     

 

 

  

Total Canada – 2.6%

 

    $ 13,313  
  

 

 

  

Cayman Islands

 

Communication Services – 0.5%

 

CK Hutchison International (16) Ltd.
1.875%, 10-3-21(F)

      2,000        1,974  

Sable International Finance Ltd. 6.875%, 8-1-22(F)

      400        415  
     

 

 

  
        2,389  
     

 

 

  

Financials – 0.2%

 

Banco do Brasil S.A.
6.000%, 1-22-20(F)

      1,000        1,018  
     

 

 

  

Industrials – 0.6%

 

Guanay Finance Ltd.
6.000%, 12-15-20

      932        943  

LATAM Finance Ltd.
6.875%, 4-11-24(F)

      2,000        2,077  
     

 

 

  
        3,020  
     

 

 

  

Materials – 0.4%

 

Braskem Finance Ltd. (GTD by Braskem S.A.)
5.750%, 4-15-21(F)

      1,800        1,875  
     

 

 

  

Total Cayman Islands – 1.7%

 

    $ 8,302  
  

 

 

  

Chile

 

Financials – 0.2%

 

Banco Santander Chile
2.500%, 12-15-20(F)

      1,250        1,252  
     

 

 

  

Utilities – 0.2%

 

Enel Chile S.A.
4.875%, 6-12-28

      840        918  
     

 

 

  

Total Chile – 0.4%

 

    $ 2,170  
  

 

 

  

China

 

Communication Services – 0.4%

 

Tencent Holdings Ltd.
2.985%, 1-19-23(F)

      1,000        1,008  

Weibo Corp.
3.500%, 7-5-24

      900        904  
     

 

 

  
        1,912  
     

 

 

  

Consumer Discretionary – 0.5%

 

Alibaba Group Holding Ltd.:

      

2.800%, 6-6-23

      900        910  

3.400%, 12-6-27

      1,500        1,523  
     

 

 

  
        2,433  
     

 

 

  

Energy – 0.2%

 

Sinopec Group Overseas Development (2018) Ltd. 4.125%, 9-12-25(F)

      800        853  
     

 

 

  

Real Estate – 0.1%

 

Country Garden Holdings Co. Ltd. 7.125%, 1-27-22

      200        211  
     

 

 

  

Total China – 1.2%

 

    $ 5,409  
  

 

 

  

Columbia

 

Financials – 0.3%

 

Banco de Bogota S.A.
5.375%, 2-19-23(F)

      1,300        1,371  
     

 

 

  
 

Total Columbia – 0.3%

 

    $ 1,371  
  

 

 

  

Denmark

 

Financials – 0.3%

 

Danske Bank A.S.:

      

5.000%, 1-12-22(F)

      700        732  

2.700%, 3-2-22(F)

      800        802  
     

 

 

  
        1,534  
     

 

 

  

Total Denmark – 0.3%

 

    $ 1,534  
  

 

 

  

France

 

Communication Services – 0.8%

 

Altice France S.A.:

      

7.375%, 5-1-26(F)

      1,194        1,224  

8.125%, 2-1-27(F)

      1,300        1,365  

Orange S.A.
1.625%, 11-3-19

      1,500        1,495  
     

 

 

  
        4,084  
     

 

 

  

Consumer Discretionary – 0.1%

 

Klesia Prevoyance
5.375%, 12-8-26(H)

    EUR 300        360  
     

 

 

  

Consumer Staples – 0.5%

 

Danone S.A.
3.000%, 6-15-22(F)

    $ 900        916  

Pernod Ricard S.A.
4.450%, 1-15-22(F)

      1,500        1,569  
     

 

 

  
        2,485  
     

 

 

  

Financials – 0.5%

 

BNP Paribas S.A.
7.625%, 12-29-49(F)

      1,800        1,906  

Humanis Prevoyance
5.750%, 10-22-25(H)

    EUR 300        353  
     

 

 

  
        2,259  
     

 

 

  

Total France – 1.9%

 

    $ 9,188  
  

 

 

  

Hong Kong

 

Financials – 0.1%

 

Bangkok Bank Public Co. Ltd. 4.050%, 3-19-24(F)

    $ 600        632  
     

 

 

  

Real Estate – 0.0%

 

Shimao Property Holdings Ltd. 6.375%, 10-15-21

      200        210  
     

 

 

  

Total Hong Kong – 0.1%

 

    $ 842  
  

 

 

  

India

 

Industrials – 0.4%

 

Adani Ports and Special Economic Zone Ltd.
3.500%, 7-29-20(F)

      2,200        2,213  
     

 

 

  

Materials – 0.2%

 

Vedanta Resources plc
6.375%, 7-30-22(B)(F)

      900        886  
     

 

 

  

Utilities – 0.2%

 

Adani Green Energy (UP) Ltd., Parampujya Solar Energy Private Ltd. And Prayatna Developers Private Ltd.
6.250%, 12-10-24(F)

      900        919  
     

 

 

  

Total India – 0.8%

 

    $ 4,018  
  

 

 

  

Indonesia

 

Energy – 0.0%

 

PT Pertamina (Persero)
5.625%, 5-20-43

      200        220  
     

 

 

  

Utilities – 0.2%

 

Perusahaan Listrik Negara
5.450%, 5-21-28(F)

      700        775  
     

 

 

  

Total Indonesia – 0.2%

 

    $ 995  
  

 

 

  

Ireland

 

Real Estate – 0.2%

 

Avolon Holdings Funding Ltd. 5.250%, 5-15-24(F)

      273        291  

Park Aerospace Holdings Ltd. 4.500%, 3-15-23(F)

      430        445  
     

 

 

  
        736  
     

 

 

  

Total Ireland – 0.2%

 

    $ 736  
  

 

 

  

Isle Of Man

 

Consumer Discretionary – 0.3%

 

GOHL Capital Ltd.
4.250%, 1-24-27

      1,300        1,338  
     

 

 

  

Total Isle Of Man – 0.3%

 

    $ 1,338  
  

 

 

  

Israel

 

Utilities – 0.0%

 

Israel Electric Corp. Ltd.
5.000%, 11-12-24

      200        217  
     

 

 

  

Total Israel – 0.0%

 

    $ 217  
  

 

 

  

Jamaica

 

Communication Services – 0.1%

 

Digicel Group Ltd.:

      

8.250%, 9-30-22(F)

      195        42  

8.250%, 12-30-22(F)

      205        113  

Digicel Group Ltd. (7.125% Cash or 2.000% PIK)
9.125%, 4-1-24(F)(I)

      248        51  

Digicel Ltd.
6.750%, 3-1-23(F)

      400        224  
     

 

 

  
        430  
     

 

 

  

Total Jamaica – 0.1%

 

    $ 430  
  

 

 

  

Japan

 

Consumer Staples – 0.3%

 

Suntory Holdings Ltd.
2.550%, 9-29-19(F)

      1,325        1,324  
     

 

 

  

Financials – 0.6%

 

Mitsubishi UFJ Financial Group, Inc. 3.287%, 7-25-27

      600        619  

Mizuho Financial Group, Inc. 3.170%, 9-11-27

      600        614  

Sumitomo Mitsui Financial Group, Inc.:

      

3.748%, 7-19-23

      1,240        1,301  

3.936%, 10-16-23

      900        954  
     

 

 

  
        3,488  
     

 

 

  

Total Japan – 0.9%

 

    $ 4,812  
  

 

 

  

Luxembourg

 

Communication Services – 1.4%

 

Altice Financing S.A.:

      

6.625%, 2-15-23(F)

      263        270  

7.500%, 5-15-26(F)

      1,672        1,680  

Altice Luxembourg S.A. 10.500%, 5-15-27(F)

      1,997        2,052  

Altice S.A.:

      

7.750%, 5-15-22(F)

      556        565  

7.250%, 5-15-22(F)(H)

    EUR 54        63  

7.625%, 2-15-25(F)

    $ 1,231        1,158  

6.250%, 2-15-25(F)(H)

    EUR 250        282  

Intelsat Jackson Holdings S.A. 9.500%, 9-30-22(F)

    $ 814        950  

Millicom International Cellular S.A.
6.250%, 3-25-29(F)

      200        215  
     

 

 

  
        7,235  
     

 

 

  

Consumer Discretionary – 0.1%

 

Nielsen Co. (Luxembourg) S.a.r.l. (The)
5.500%, 10-1-21(F)

      500        502  
     

 

 

  

Consumer Staples – 0.2%

 

Minerva Luxembourg S.A. 5.875%, 1-19-28(F)

      1,200        1,200  
     

 

 

  

Energy – 0.1%

 

Gazprom OAO Via Gaz Capital S.A.
7.288%, 8-16-37

      200        252  

Offshore Drilling Holding S.A. 8.375%, 9-20-20(F)(J)

      1,600        552  
     

 

 

  
        804  
     

 

 

  

Financials – 0.0%

 

ALROSA Finance S.A.
4.650%, 4-9-24(F)

      200        207  

Cosan Luxembourg S.A. 7.000%, 1-20-27(F)

      200        218  

Rede D’Or Finance S.a.r.l. 4.950%, 1-17-28

      200        198  
     

 

 

  
        623  
     

 

 

  

Industrials – 0.7%

 

Ingersoll-Rand Luxembourg Finance S.A.
2.625%, 5-1-20

      1,500        1,501  

Rumo Luxembourg S.a.r.l. 7.375%, 2-9-24(F)

      1,750        1,889  
     

 

 

  
        3,390  
     

 

 

  

Information Technology – 0.3%

 

Atento Luxco 1 S.A.
6.125%, 8-10-22(F)

      1,525        1,534  
     

 

 

  

Materials – 0.1%

 

ARD Finance S.A. (7.125% Cash or 7.875% PIK) 7.125%, 9-15-23(I)

      200        204  

ARD Securities Finance S.a.r.l. (8.750% Cash or 8.750% PIK)
8.750%, 1-31-23(B)(F)(I)

      437        440  
     

 

 

  
        644  
     

 

 

  
 

Total Luxembourg – 2.9%

 

    $ 15,932  
  

 

 

  

Macau

 

Consumer Discretionary – 0.2%

 

Sands China Ltd.
5.125%, 8-8-25

      600        643  

Wynn Macau Ltd.:

      

4.875%, 10-1-24(F)

      200        196  

5.500%, 10-1-27(F)

      446        434  
     

 

 

  
        1,273  
     

 

 

  

Total Macau – 0.2%

 

    $ 1,273  
  

 

 

  

Mauritius

 

Communication Services – 0.0%

 

MTN (Mauritius) Investments Ltd.
4.755%, 11-11-24

      200        200  
     

 

 

  

Total Mauritius – 0.0%

 

    $ 200  
  

 

 

  

Mexico

 

Communication Services – 0.1%

 

Axtel S.A.B. de C.V.
6.375%, 11-14-24(F)

      650        662  
     

 

 

  

Consumer Discretionary – 0.0%

 

Nemak S.A.B. de C.V.
4.750%, 1-23-25

      200        203  
     

 

 

  

Consumer Staples – 0.5%

 

Grupo Bimbo S.A.B. de C.V.:

      

4.875%, 6-30-20(F)

      350        357  

4.500%, 1-25-22(F)

      1,250        1,293  

Kimberly-Clark de Mexico 3.800%, 4-8-24(F)

      1,000        1,001  
     

 

 

  
        2,651  
     

 

 

  

Energy – 0.4%

 

Petroleos Mexicanos
3.500%, 1-30-23

      1,900        1,803  
     

 

 

  

Financials – 0.7%

 

Banco Santander (Mexico) S.A. 5.950%, 10-1-28(F)

      350        370  

Banco Santander S.A.
4.125%, 11-9-22(F)

      2,350        2,411  

Nacional Financiera SNC
3.375%, 11-5-20(F)

      750        751  
     

 

 

  
        3,532  
     

 

 

  

Industrials – 0.3%

 

Alfa S.A.B. de C.V.
5.250%, 3-25-24(F)

      1,400        1,493  
     

 

 

  

Materials – 0.8%

 

CEMEX S.A.B. de C.V.:

      

5.700%, 1-11-25

      200        208  

7.750%, 4-16-26(F)

      550        605  

Elementia S.A.B. de C.V. 5.500%, 1-15-25(F)

      1,000        962  

Grupo Cementos de Chihuahua S.A.B. de C.V.
5.250%, 6-23-24(F)

      2,146        2,180  
     

 

 

  
        3,955  
     

 

 

  

Real Estate – 0.0%

 

Fibra Uno Administracion S.A. de C.V.
5.250%, 1-30-26

      200        209  
     

 

 

  

Total Mexico – 2.8%

 

    $ 14,508  
  

 

 

  

Netherlands

 

Communication Services – 0.5%

 

Clear Channel International B.V. 8.750%, 12-15-20(F)

      107        109  

Myriad International Holdings B.V.
6.000%, 7-18-20(F)

      350        360  

VTR Finance B.V.
6.875%, 1-15-24(F)

      1,973        2,042  
     

 

 

  
        2,511  
     

 

 

  

Consumer Staples – 0.2%

 

MARB BondCo plc (GTD by Marfrig Global Foods S.A., Marfrig Overseas Ltd. And Marfrig Holdings (Europe) B.V.)
7.000%, 3-15-24(F)

      650        678  

Marfrig Holdings (Europe) B.V. 8.000%, 6-8-23(F)

      650        677  
     

 

 

  
        1,355  
     

 

 

  

Energy – 0.1%

 

Minejesa Capital B.V.
4.625%, 8-10-30

      200        202  

Petrobras Global Finance B.V. (GTD by Petroleo Brasileiro S.A.)
5.999%, 1-27-28

      400        425  
     

 

 

  
        627  
     

 

 

  

Financials – 0.7%

 

Aegon N.V.
4.000%, 4-25-44(H)

    EUR 200        249  

ASR Nederland N.V.
5.125%, 9-29-45(H)

      100        133  

Cooperatieve Rabobank U.A. 3.875%, 2-8-22

    $ 625        650  

Enel Finance International N.V. 4.625%, 9-14-25(F)

      1,450        1,556  

Syngenta Finance N.V.
5.182%, 4-24-28(F)

      725        754  
     

 

 

  
        3,342  
     

 

 

  

Health Care – 0.3%

 

Teva Pharmaceutical Finance Netherlands III B.V. (GTD by Teva Pharmaceutical Industries Ltd.):

      

2.800%, 7-21-23

      600        520  

6.750%, 3-1-28

      600        554  

4.100%, 10-1-46

      800        544  
     

 

 

  
        1,618  
     

 

 

  

Materials – 0.5%

 

Constellium N.V.:

      

5.750%, 5-15-24(F)

      1,000        1,023  

6.625%, 3-1-25(F)

      1,081        1,122  

5.875%, 2-15-26(F)

      449        461  
     

 

 

  
        2,606  
     

 

 

  

Total Netherlands – 2.3%

 

    $ 12,059  
  

 

 

  

Nigeria

 

Financials – 0.2%

 

Africa Finance Corp.
4.375%, 4-17-26(F)

      900        929  
     

 

 

  

Total Nigeria – 0.2%

 

    $ 929  
  

 

 

  

Norway

 

Energy – 0.5%

 

Aker BP ASA:

      

6.000%, 7-1-22(F)

      1,500        1,545  

4.750%, 6-15-24(F)

      900        928  
     

 

 

  
        2,473  
     

 

 

  

Total Norway – 0.5%

 

    $ 2,473  
  

 

 

  

Panama

 

Financials – 0.3%

 

Banco de Credito del Peru 2.250%, 10-25-19(F)

      500        499  

Banco Latinoamericano de Comercio Exterior S.A. 3.250%, 5-7-20(F)

      1,000        1,003  
     

 

 

  
        1,502  
     

 

 

  

Total Panama – 0.3%

 

    $ 1,502  
  

 

 

  

Peru

 

Financials – 0.2%

 

Banco de Credito del Peru 4.250%, 4-1-23(B)(F)

      550        575  

Corporacion Financiera de Desarrolla S.A.
4.750%, 2-8-22(F)

      550        577  
     

 

 

  
        1,152  
     

 

 

  

Materials – 0.1%

 

Southern Copper Corp.
5.250%, 11-8-42

      200        219  
     

 

 

  

Utilities – 0.2%

 

Fenix Power Peru S.A.
4.317%, 9-20-27(B)

      761        764  
     

 

 

  

Total Peru – 0.5%

 

    $ 2,135  
  

 

 

  

Qatar

 

Energy – 0.1%

 

Ras Laffan Liquefied Natural Gas Co. Ltd. II
5.298%, 9-30-20(F)

      381        388  
     

 

 

  

Total Qatar – 0.1%

 

    $ 388  
  

 

 

  

Russia

 

Materials – 0.0%

 

EVRAZ plc
5.250%, 4-2-24(F)

      200        208  
     

 

 

  

Total Russia – 0.0%

 

    $ 208  
  

 

 

  

Saint Lucia

 

Communication Services – 0.3%

 

Digicel International Finance Ltd. 8.750%, 5-25-24(B)(F)

      1,447        1,367  
     

 

 

  

Total Saint Lucia – 0.3%

 

    $ 1,367  
  

 

 

  
 

South Africa

 

Utilities – 0.0%

 

Eskom Holdings SOC Ltd. (GTD by Government of the Republic of South Africa) 6.350%, 8-10-28

      200        216  
     

 

 

  

Total South Africa – 0.0%

 

    $ 216  
  

 

 

  

South Korea

 

Communication Services – 0.1%

 

SK Telecom Co. Ltd.
3.750%, 4-16-23(F)

      500        519  
     

 

 

  

Financials – 0.6%

 

Hyundai Capital Services, Inc. 3.750%, 3-5-23(F)

      1,200        1,235  

Kookmin Bank
2.125%, 10-21-20(F)

      750        747  

Woori Bank
2.625%, 7-20-21(F)

      750        751  
     

 

 

  
        2,733  
     

 

 

  

Total South Korea – 0.7%

 

    $ 3,252  
  

 

 

  

Spain

 

Consumer Discretionary – 0.0%

 

Tasty Bondco 1 S.A.
6.250%, 5-15-26(F)(H)

    EUR 180        216  
     

 

 

  

Financials – 0.4%

 

Banco Santander S.A.
2.706%, 6-27-24

    $ 2,000        2,004  

Mapfre S.A.
4.375%, 3-31-47(H)

    EUR 100        128  
     

 

 

  
        2,132  
     

 

 

  

Total Spain – 0.4%

 

    $ 2,348  
  

 

 

  

Switzerland

 

Financials – 0.1%

 

Credit Suisse Group AG 4.282%, 1-9-28(F)

    $ 700        738  
     

 

 

  

Total Switzerland – 0.1%

 

    $ 738  
  

 

 

  

Turkey

 

Consumer Discretionary – 0.1%

 

Turkiye 5is eve Cam Fabrikalari A.S.
6.950%, 3-14-26(F)

      200        201  
     

 

 

  

Energy – 0.0%

 

Turkiye Petrol Rafinerileri A.S. 4.500%, 10-18-24

      200        182  
     

 

 

  

Industrials – 0.3%

 

Koc Holding A.S.:

      

5.250%, 3-15-23

      200        196  

6.500%, 3-11-25(F)

      1,200        1,196  
     

 

 

  
        1,392  
     

 

 

  

Total Turkey – 0.4%

 

    $ 1,775  
  

 

 

  

United Arab Emirates

 

Energy – 0.3%

 

Abu Dhabi National Energy Co.
4.375%, 4-23-25(F)

      1,400        1,482  
     

 

 

  

Financials – 0.5%

 

DAE Funding LLC:

      

5.750%, 11-15-23(F)

      540        567  

5.000%, 8-1-24(F)

      947        986  

ICICI Bank Ltd.
4.000%, 3-18-26(F)

      1,200        1,222  
     

 

 

  
        2,775  
     

 

 

  

Industrials – 0.1%

 

DP World Ltd.
6.850%, 7-2-37

      200        251  
     

 

 

  

Total United Arab Emirates – 0.9%

 

    $ 4,508  
  

 

 

  

United Kingdom

 

Consumer Staples – 0.4%

 

Imperial Tobacco Finance plc 3.750%, 7-21-22(F)

      1,500        1,544  

MARB BondCo plc (GTD by Marfrig Global Foods S.A., Marfrig Overseas Ltd. And Marfrig Holdings (Europe) B.V.)
6.875%, 1-19-25

      200        209  
     

 

 

  
        1,753  
     

 

 

  

Energy – 0.2%

 

EG Global Finance plc
4.375%, 2-7-25(F)(H)

    EUR 186        211  

Ensco plc
7.750%, 2-1-26

    $ 480        358  

KCA Deutag UK Finance plc 7.250%, 5-15-21(F)

      1,000        752  
     

 

 

  
        1,321  
     

 

 

  

Financials – 1.1%

 

ANZ New Zealand International Ltd.
3.450%, 1-21-28(F)

      500        517  

Barclays plc
4.337%, 1-10-28

      700        717  

HSBC Holdings plc
4.583%, 6-19-29

      800        874  

RL Finance Bonds No. 2 plc 6.125%, 11-30-43(H)

    GBP 100        143  

Royal Bank of Scotland Group plc (The)
6.000%, 12-19-23

    $ 900        980  

Scottish Widows Ltd.
5.500%, 6-16-23(H)

    GBP 100        142  

State Bank of India
4.375%, 1-24-24(F)

    $ 2,500        2,612  
     

 

 

  
        5,985  
     

 

 

  

Materials – 0.1%

 

Vedanta Resources plc
8.000%, 4-23-23(F)

      800        811  
     

 

 

  

Total United Kingdom – 1.8%

 

    $ 9,870  
  

 

 

  

United States

 

Communication Services – 3.9%

 

Altice U.S. Finance I Corp.:

      

5.375%, 7-15-23(F)

      484        498  

5.500%, 5-15-26(F)

      600        629  

Block Communications, Inc. 6.875%, 2-15-25(F)

      31        32  

CCO Holdings LLC and CCO Holdings Capital Corp.:

      

5.500%, 5-1-26(F)

      1,700        1,779  

5.000%, 2-1-28(F)

      1,115        1,139  

5.375%, 6-1-29(B)(F)

      881        909  

Clear Channel Worldwide Holdings, Inc.
9.250%, 2-15-24(F)

      830        901  

Consolidated Communications Finance II Co. 6.500%, 10-1-22

      164        153  

CSC Holdings LLC
5.375%, 2-1-28(F)

      960        997  

DISH DBS Corp.:

      

5.875%, 7-15-22

      1,000        1,015  

5.875%, 11-15-24

      379        359  

7.750%, 7-1-26

      620        607  

E.W. Scripps Co.
5.125%, 5-15-25(F)

      66        63  

Frontier Communications Corp.:

      

6.875%, 1-15-25

      1,122        628  

11.000%, 9-15-25

      1,751        1,086  

8.500%, 4-1-26(F)

      1,542        1,496  

8.000%, 4-1-27(F)

      1,783        1,854  

GCI, Inc.
6.875%, 4-15-25

      1,075        1,121  

MDC Partners, Inc.
6.500%, 5-1-24(F)

      908        834  

Neptune Finco Corp.
6.625%, 10-15-25(F)

      225        241  

Nexstar Escrow Corp.
5.625%, 8-1-24(F)

      159        165  

Nexstar Escrow, Inc.
5.625%, 7-15-27(F)

      495        507  

Outfront Media Capital LLC and Outfront Media Capital Corp. 5.625%, 2-15-24

      400        412  

West Corp.
8.500%, 10-15-25(F)

      2,969        2,598  
     

 

 

  
        20,023  
     

 

 

  

Consumer Discretionary – 3.6%

 

Adient U.S. LLC
7.000%, 5-15-26(F)

      48        49  

Allison Transmission, Inc. 5.000%, 10-1-24(F)

      178        182  

Boyne USA, Inc.
7.250%, 5-1-25(F)

      476        515  

Cedar Fair L.P., Magnum Management Corp., Canada’s Wonderland Co. and Millennium Operations LLC 5.375%, 4-15-27

      405        420  

Cumberland Farms, Inc.
6.750%, 5-1-25(F)

      357        379  

Everi Payments, Inc.
7.500%, 12-15-25(F)

      851        889  
 

Golden Nugget, Inc.
6.750%, 10-15-24(F)

      1,042        1,073  

K Hovnanian Enterprises, Inc. 10.000%, 7-15-22(F)

      989        833  

Laureate Education, Inc.
8.250%, 5-1-25(F)

      2,838        3,100  

Lennar Corp.
4.125%, 1-15-22

      233        239  

Marriott Ownership Resorts, Inc. 6.500%, 9-15-26

      519        557  

Mattel, Inc.
6.750%, 12-31-25(F)

      831        855  

Nielsen Finance LLC and Nielsen Finance Co.
5.000%, 4-15-22(F)

      172        172  

Party City Holdings, Inc.
6.625%, 8-1-26(B)(F)

      368        357  

Penske Automotive Group, Inc. 5.500%, 5-15-26

      153        159  

Scientific Games International, Inc. (GTD by Scientific Games Corp.)
5.000%, 10-15-25(F)

      532        537  

Service Corp. International 5.125%, 6-1-29

      341        359  

Sonic Automotive, Inc.:

      

5.000%, 5-15-23

      815        822  

6.125%, 3-15-27

      213        209  

Staples, Inc.:

      

7.500%, 4-15-26(F)

      3,000        2,982  

10.750%, 4-15-27(F)

      1,800        1,791  

VOC Escrow Ltd.
5.000%, 2-15-28(F)

      89        90  

Volkswagen Group of America, Inc.
4.250%, 11-13-23(F)

      1,300        1,368  
     

 

 

  
        17,937  
     

 

 

  

Consumer Staples – 3.6%

 

Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB)
4.000%, 4-13-28

      1,150        1,238  

Bunge Ltd. Finance Corp.
3.500%, 11-24-20

      3,795        3,830  

First Quality Finance Co., Inc. 5.000%, 7-1-25(F)

      710        715  

JBS USA LLC and JBS USA Finance, Inc.:

      

5.875%, 7-15-24(F)

      1,014        1,043  

5.750%, 6-15-25(F)

      1,017        1,058  

JBS USA Lux S.A. and JBS USA Finance, Inc.
6.750%, 2-15-28(F)

      1,491        1,619  

JBS USA, JBS USA Food Co. and JBS USA Finance, Inc. (GTD by JBS S.A.)
6.500%, 4-15-29(F)

      360        391  

Keurig Dr Pepper, Inc.
4.597%, 5-25-28

      1,075        1,176  

NBM U.S. Holdings, Inc.
7.000%, 5-14-26(F)

      200        210  

Performance Food Group, Inc. 5.500%, 6-1-24(F)

      618        631  

Pilgrim’s Pride Corp.:

      

5.750%, 3-15-25(F)

      170        173  

5.875%, 9-30-27(F)

      636        659  

Post Holdings, Inc.:

      

5.500%, 3-1-25(F)

      146        151  

5.000%, 8-15-26(F)

      289        293  

5.750%, 3-1-27(F)

      1,185        1,223  

Reynolds American, Inc.
4.450%, 6-12-25

      1,000        1,060  

Simmons Foods, Inc.:

      

7.750%, 1-15-24(F)

      314        338  

5.750%, 11-1-24(F)

      2,098        1,909  

U.S. Foods, Inc.
5.875%, 6-15-24(F)

      694        713  
     

 

 

  
        18,430  
     

 

 

  

Energy – 2.2%

 

Bellatrix Exploration Ltd.
8.500%, 9-11-23

      228        231  

Bellatrix Exploration Ltd. (3.000% Cash or 9.500% PIK)
9.500%, 12-15-23(I)

      249        253  

Brand Energy & Infrastructure Services, Inc.
8.500%, 7-15-25(F)

      632        573  

Callon Petroleum Co. (GTD by Callon Petroleum Operating Co.):

      

6.125%, 10-1-24

      200        202  

6.375%, 7-1-26

      246        247  

Chesapeake Energy Corp.:

      

7.000%, 10-1-24(B)

      866        777  

8.000%, 1-15-25(B)

      74        69  

Comstock Escrow Corp.
9.750%, 8-15-26

      2,082        1,598  

Crownrock L.P.
5.625%, 10-15-25(F)

      1,441        1,441  

Endeavor Energy Resources L.P.:

      

5.500%, 1-30-26(F)

      513        532  

5.750%, 1-30-28(F)

      347        365  

EP Energy LLC and Everest Acquisition Finance, Inc.:

      

9.375%, 5-1-24(F)

      235        54  

8.000%, 2-15-25(F)

      248        54  

7.750%, 5-15-26(F)

      367        328  

Extraction Oil & Gas, Inc.
5.625%, 2-1-26(F)

      652        526  

Laredo Petroleum, Inc.
6.250%, 3-15-23(B)

      185        172  

McDermott Escrow 1, Inc. and McDermott Escrow 2, Inc. 10.625%, 5-1-24(F)

      790        738  

Moss Creek Resources Holdings, Inc.
7.500%, 1-15-26(F)

      981        836  

Nine Energy Service, Inc.
8.750%, 11-1-23(F)

      375        366  

QEP Resources, Inc.
5.625%, 3-1-26

      309        290  

Reliance Holding USA, Inc. 4.500%, 10-19-20(F)

      500        511  

Sanchez Energy Corp.
7.250%, 2-15-23(B)(F)

      122        92  

SESI LLC
7.125%, 12-15-21

      159        111  

Ultra Resources, Inc. (9.000% Cash or 2.000% PIK)
11.000%, 7-12-24(I)

      186        71  

WildHorse Resource Development Corp.
6.875%, 2-1-25

      119        112  
     

 

 

  
        10,549  
     

 

 

  

Financials – 6.9%

 

Amwins Group, Inc.
7.750%, 7-1-26(F)

      607        628  

Bank of America Corp.
3.593%, 7-21-28

      1,200        1,251  

BBVA Bancomer S.A.:

      

6.500%, 3-10-21(F)

      1,100        1,156  

5.350%, 11-12-29

      200        197  

BCPE Cycle Merger Sub II, Inc. 10.625%, 7-15-27(F)

      990        1,002  

Citigroup, Inc.
3.520%, 10-27-28

      1,250        1,289  

Compass Group Diversified Holdings LLC
8.000%, 5-1-26(F)

      488        509  

Cooperatieve Rabobank U.A. 3.125%, 4-26-21

      1,000        1,015  

CURO Group Holdings Corp. 8.250%, 9-1-25(F)

      614        511  

Ford Motor Credit Co. LLC 3.096%, 5-4-23

      1,300        1,280  

Goldman Sachs Group, Inc. (The) 3.814%, 4-23-29

      2,300        2,395  

Hadrian Merger Sub, Inc.
8.500%, 5-1-26(F)

      894        845  

HSBC USA, Inc.
2.750%, 8-7-20

      1,000        1,005  

Hub International Ltd.
7.000%, 5-1-26(F)

      1,217        1,234  
 

Industrial and Commercial Bank of China Ltd.
2.957%, 11-8-22

      750        756  

JPMorgan Chase & Co.
3.540%, 5-1-28

      1,750        1,821  

KeyBank N.A.
2.500%, 12-15-19

      1,000        1,000  

MetLife, Inc.
10.750%, 8-1-39

      530        840  

MSCI, Inc.
5.250%, 11-15-24(F)

      67        69  

National Australia Bank Ltd. 3.625%, 6-20-23(B)

      1,500        1,567  

New Cotai LLC and New Cotai Capital Corp. (10.625% Cash or 10.625% PIK)
10.625%, 12-1-19(F)(I)(K)

      3,519        1,830  

NFP Corp.
6.875%, 7-15-25(F)

      2,296        2,272  

Provident Funding Associates L.P. and PFG Finance Corp.
6.375%, 6-15-25(F)

      656        617  

Quicken Loans, Inc.
5.750%, 5-1-25(F)

      1,170        1,205  

Rabobank Nederland
2.500%, 1-19-21

      750        752  

Refinitiv U.S. Holdings, Inc.:

      

6.250%, 5-15-26(F)

      494        508  

8.250%, 11-15-26(F)

      1,629        1,675  

TerraForm Global Operating LLC (GTD by TerraForm Global LLC)
6.125%, 3-1-26(F)

      1,150        1,156  

TMX Finance LLC and TitleMax Finance Corp.
11.125%, 4-1-23(F)

      733        693  

Wells Fargo & Co.
4.300%, 7-22-27

      1,175        1,269  

Wells Fargo & Co. (3-Month U.S. LIBOR plus 377 bps)
6.180%, 3-29-49(G)

      1,350        1,357  
     

 

 

  
        33,704  
     

 

 

  

Health Care – 3.3%

 

AMN Healthcare, Inc.
5.125%, 10-1-24(F)

      436        445  

Avantor, Inc.
9.000%, 10-1-25(F)

      1,320        1,472  

Bausch Health Cos., Inc.:

      

6.125%, 4-15-25(F)

      419        428  

5.750%, 8-15-27(F)

      260        273  

Bayer U.S. Finance II LLC 2.850%, 4-15-25(F)

      1,000        942  

DaVita HealthCare Partners, Inc. 5.125%, 7-15-24

      100        100  

Eagle Holding Co. II LLC (7.750% Cash or 7.750% PIK)
7.750%, 5-15-22(F)(I)

      1,080        1,088  

Fresenius U.S. Finance II, Inc.:

      

4.250%, 2-1-21(F)

      600        614  

4.500%, 1-15-23(F)

      2,500        2,599  

Hologic, Inc.:

      

4.375%, 10-15-25(F)

      201        204  

4.625%, 2-1-28(F)

      154        156  

IQVIA, Inc.
5.000%, 5-15-27(F)

      250        258  

MPH Acquisition Holdings LLC 7.125%, 6-1-24(F)

      482        452  

Par Pharmaceutical, Inc.
7.500%, 4-1-27(F)

      642        631  

Polaris Intermediate Corp.
8.500%, 12-1-22(F)

      236        208  

RegionalCare Hospital Partners Holdings, Inc. and Legend Merger Sub, Inc.
9.750%, 12-1-26(F)

      2,036        2,133  

Surgery Center Holdings, Inc. 10.000%, 4-15-27(F)

      1,074        1,071  

Valeant Pharmaceuticals International, Inc.:

      

5.500%, 11-1-25(F)

      240        250  

9.000%, 12-15-25(F)

      167        187  

9.250%, 4-1-26(F)

      488        546  

8.500%, 1-31-27(F)

      604        664  

Verscend Holding Corp.
9.750%, 8-15-26(F)

      1,816        1,888  
     

 

 

  
        16,609  
     

 

 

  

Industrials – 2.2%

 

Ahern Rentals, Inc.
7.375%, 5-15-23(F)

      770        683  

Apex Tool Group LLC and BC Mountain Finance, Inc.
9.000%, 2-15-23(F)

      126        113  

BAE Systems Holdings, Inc. 3.800%, 10-7-24(F)

      1,100        1,151  

JELD-WEN, Inc.
4.875%, 12-15-27(F)

      132        128  

KAR Auction Services, Inc.
5.125%, 6-1-25(F)

      96        98  

Lockheed Martin Corp.
2.500%, 11-23-20

      1,695        1,701  

Prime Security Services Borrower LLC and Prime Finance, Inc. 9.250%, 5-15-23(F)

      1,050        1,103  

Standard Industries, Inc.
4.750%, 1-15-28(F)

      122        121  

TransDigm UK Holdings plc 6.875%, 5-15-26

      413        418  

TransDigm, Inc. (GTD by TransDigm Group, Inc.):

      

6.000%, 7-15-22

      1,150        1,161  

6.500%, 7-15-24

      1,372        1,389  

6.500%, 5-15-25

      215        217  

6.250%, 3-15-26(F)

      1,225        1,282  

6.375%, 6-15-26

      287        291  

7.500%, 3-15-27(F)

      474        495  

United Rentals (North America), Inc. (GTD by United Rentals, Inc.)
5.875%, 9-15-26

      151        161  

Waste Pro USA, Inc.
5.500%, 2-15-26(F)

      94        96  

XPO Logistics, Inc.
6.750%, 8-15-24(F)

      1,429        1,524  
     

 

 

  
        12,132  
     

 

 

  

Information Technology – 1.5%

 

Cardtronics, Inc. and Cardtronics USA, Inc.
5.500%, 5-1-25(F)

      158        157  

Italics Merger Sub, Inc.
7.125%, 7-15-23(F)

      1,731        1,762  

Itron, Inc.
5.000%, 1-15-26(F)

      100        102  

j2 Cloud Services LLC and j2 Global, Inc.
6.000%, 7-15-25(F)

      270        283  

NCR Escrow Corp.
6.375%, 12-15-23

      965        995  

Orbcomm, Inc.
8.000%, 4-1-24(B)(F)

      867        893  

Pioneer Holding Corp.
9.000%, 11-1-22(F)

      713        733  

Riverbed Technology, Inc. and Project Homestake Merger Corp.
8.875%, 3-1-23(B)(F)

      1,247        832  

SS&C Technologies Holdings, Inc.
5.500%, 9-30-27(F)

      479        497  

Vantiv LLC and Vantiv Issuer Corp.
4.375%, 11-15-25(F)

      448        465  
     

 

 

  
        6,719  
     

 

 

  

Materials – 0.9%

 

American Greetings Corp. 8.750%, 4-15-25(F)

      897        830  

Glencore Funding LLC
4.125%, 3-12-24(F)

      1,200        1,245  

Greif, Inc.
6.500%, 3-1-27(F)

      608        628  

Hillman Group, Inc. (The) 6.375%, 7-15-22(F)

      1,470        1,305  

Kraton Polymers LLC and Kraton Polymers Capital Corp.
7.000%, 4-15-25(F)

      210        213  
 

Novelis Corp. (GTD by Novelis, Inc.):

      

6.250%, 8-15-24(F)

      447        468  

5.875%, 9-30-26(F)

      137        139  

Pinnacle Operating Corp. 9.000%, 5-15-23(F)

      560        185  

Reynolds Group Issuer, Inc., Reynolds Group Issuer LLC and Reynolds Group Issuer (Luxembourg) S.A.
5.125%, 7-15-23(F)

      67        68  

Sasol Financing USA LLC (GTD by Sasol Ltd.)
6.500%, 9-27-28

      200        225  

Valvoline Finco Two LLC 5.500%, 7-15-24

      150        155  
     

 

 

  
        5,461  
     

 

 

  

Real Estate – 0.5%

 

Aircastle Ltd.
4.400%, 9-25-23

      1,100        1,142  

Crown Castle International Corp.
3.700%, 6-15-26

      1,500        1,557  
     

 

 

  
        2,699  
     

 

 

  

Utilities – 0.5%

 

Clearway Energy Operating LLC
5.750%, 10-15-25(F)

      371        377  

Great Plains Energy, Inc. 4.850%, 6-1-21

      1,500        1,553  

NRG Yield Operating LLC 5.000%, 9-15-26(B)

      384        373  

Pattern Energy Group, Inc., Convertible
4.000%, 7-15-20

      190        192  

Sempra Energy
2.850%, 11-15-20

      500        503  
     

 

 

  
        2,998  
     

 

 

  

Total United States – 29.1%

 

    $ 147,261  
  

 

 

  

Venezuela

 

Financials – 0.3%

 

Corporacion Andina de Fomento 3.250%, 2-11-22

      1,600        1,629  
     

 

 

  

Total Venezuela – 0.3%

 

    $ 1,629  
  

 

 

  

TOTAL CORPORATE DEBT SECURITIES – 58.5%

 

    $ 297,661  
  

 

 

  

(Cost: $296,793)

 

MORTGAGE-BACKED
SECURITIES

              

Cayman Islands – 0.2%

 

ALM Loan Funding VII R-2 Ltd., Series 2013-7R2A, Class DR2 (3-Month U.S. LIBOR plus 600 bps)
8.597%, 10-15-27(F)(G)

      1,000        972  

Highbridge Loan Management Ltd., Series 2014-4A, Class DR (3-Month U.S. LIBOR plus 555 bps)
8.132%, 1-28-30(F)(G)

      250        228  
     

 

 

  
        1,200  
     

 

 

  

United States – 1.0%

 

Ashford Hospitality Trust, Series 2018-ASHF, Class F (1-Month U.S. LIBOR plus 410 bps)
6.494%, 4-15-35(F)(G)

      600        605  

Atrium Hotel Portfolio Trust, Series 2017-ATRM, Class F (1-Month U.S. LIBOR plus 420 bps)
6.594%, 12-15-36(F)(G)

      400        403  

JPMorgan Chase Commercial Mortgage Securities Trust, Commerical Mortage Pass-Through Certificates, Series 2014-FRR1
4.286%, 11-27-49(F)

      2,089        2,086  

PNMAC GMSR Issuer Trust, Series 2018-GT1 (1-Month U.S. LIBOR plus 285 bps)
5.254%, 2-25-23(F)(G)

      2,000        2,003  
     

 

 

  
        5,097  
     

 

 

  

TOTAL MORTGAGE-BACKED SECURITIES – 1.2%

 

    $ 6,297  
  

 

 

  

(Cost: $6,307)

 

OTHER GOVERNMENT
SECURITIES(L)

              

Argentina – 0.8%

 

Republic of Argentina:

      

6.875%, 4-22-21

      3,100        2,720  

5.625%, 1-26-22

      1,700        1,433  
     

 

 

  
        4,153  
     

 

 

  

Brazil – 0.9%

 

Federative Republic of Brazil 4.875%, 1-22-21

      4,500        4,669  
     

 

 

  

Columbia – 0.7%

 

Republic of Colombia:

      

4.375%, 7-12-21

      1,300        1,344  

2.625%, 3-15-23

      1,100        1,094  

4.500%, 3-15-29

      800        874  
     

 

 

  
        3,312  
     

 

 

  

Indonesia – 1.9%

 

Republic of Indonesia:

      

3.750%, 4-25-22(F)

      6,000        6,155  

2.950%, 1-11-23

      3,300        3,319  
     

 

 

  
        9,474  
     

 

 

  

Mexico – 0.6%

 

United Mexican States
3.625%, 3-15-22(B)

      2,900       2,968  
    

 

 

  

Panama – 0.2%

 

Republic of Panama
3.750%, 4-17-26

      900       934  
    

 

 

  

Peru – 0.2%

 

Union Andina de Cementos S.A.
5.875%, 10-30-21(F)

      750       772  
    

 

 

  

Poland – 1.2%

 

Republic of Poland
5.125%, 4-21-21(B)

      6,000       6,307  
    

 

 

  

Qatar – 0.8%

 

Qatar Government Bond 2.375%, 6-2-21(F)

      4,000       3,995  
    

 

 

  

Russia – 0.0%

 

Russia Government Bond 5.100%, 3-28-35(F)

      200       217  
    

 

 

  

Saudi Arabia – 0.5%

 

Saudi Arabia Government Bond:

     

2.375%, 10-26-21(F)

      1,500       1,497  

2.875%, 3-4-23(F)

      1,000       1,011  
    

 

 

  
       2,508  
    

 

 

  

South Africa – 0.3%

 

Republic of South Africa 4.875%, 4-14-26

      1,600       1,655  
    

 

 

  

Turkey – 0.7%

 

Turkey Government Bond:

     

7.000%, 6-5-20

      200       205  

5.125%, 3-25-22

      3,200       3,152  

6.250%, 9-26-22

      300       302  
    

 

 

  
       3,659  
    

 

 

  

Uruguay – 0.1%

 

Republica Orient Uruguay 4.500%, 8-14-24

      600       640  
    

 

 

  

Venezuela – 0.3%

 

Corporacion Andina de Fomento
4.375%, 6-15-22

      1,500       1,578  
    

 

 

  

TOTAL OTHER GOVERNMENT SECURITIES – 9.2%

 

   $ 46,841  
 

 

 

  

(Cost: $46,968)

 

LOANS(G)

             

Canada

 

Consumer Discretionary – 0.1%

 

KIK Custom Products, Inc. (ICE LIBOR plus 400 bps)
6.402%, 5-15-23

      850       799  
    

 

 

  

Industrials – 0.1%

 

Garda World Security Corp. (ICE LIBOR plus 400 bps):

     

6.020%, 5-26-24

      188       187  

8.000%, 5-26-24

      —   *      —   * 
    

 

 

  
       187  
    

 

 

  
 

Information Technology – 0.0%

 

Kronos Acquisition Holdings, Inc. (ICE LIBOR plus 700 bps)
9.402%, 5-15-23I

      95        94  
     

 

 

  

Total Canada – 0.2%

 

    $ 1,080  
  

 

 

  
        1,080  
     

 

 

  

Cayman Islands

 

Industrials – 0.1%

 

Agro Merchants Intermediate Holdings L.P. (ICE LIBOR plus 375 bps)
6.080%, 12-6-24I

      246        244  
     

 

 

  

Total Cayman Islands – 0.1%

 

    $ 244  
  

 

 

  

France

 

Health Care – 0.2%

 

HomeVi SAS (3-Month EURIBOR plus 325 bps)
3.000%, 10-30-24(H)

    EUR   500        566  

Laboratoire BIOLAM LCD (3-Month EURIBOR plus 350 bps)
4.000%, 6-14-24(H)

      500        571  
     

 

 

  
        1,137  
     

 

 

  

Total France – 0.2%

 

    $ 1,137  
  

 

 

  
        1,137  
     

 

 

  

Germany

 

Consumer Staples – 0.1%

 

Douglas Holding AG (3-Month EURIBOR plus 325 bps)
3.250%, 8-13-22(H)

      313        293  
     

 

 

  

Financials – 0.1%

 

Jade Germany GmbH (3-Month EURIBOR plus 475 bps)
5.750%, 5-31-23(H)

      490        511  
     

 

 

  

Health Care – 0.1%

 

Nidda Healthcare Holding GmbH (3-Month EURIBOR plus 400 bps)
4.000%, 8-21-24(H)

      250        286  
     

 

 

  

Total Germany – 0.3%

 

    $ 1,090  
  

 

 

  
        1,090  
     

 

 

  

Ireland

 

Financials – 0.0%

 

ION Trading Finance Ltd. (ICE LIBOR plus 400 bps)
6.651%, 11-21-24

    $ 278        269  
     

 

 

  

Total Ireland – 0.0%

 

    $ 269  
  

 

 

  

Isle Of Man

 

Consumer Discretionary – 0.1%

 

GVC Holdings plc (ICE LIBOR plus 250 bps)
4.652%, 3-16-24

      247        246  
     

 

 

  

Total Isle Of Man – 0.1%

 

    $ 246  
  

 

 

  

Jersey

 

Financials – 0.1%

 

Capri Acquisitions Bidco Ltd.
0.000%, 11-30-24(H)(M)

    EUR 300        340  
     

 

 

  

Total Jersey – 0.1%

 

    $ 340  
  

 

 

  

Luxembourg

 

Financials – 0.1%

 

Auris Luxembourg III S.a.r.l. (3-Month EURIBOR plus 400 bps)
4.000%, 2-21-26(H)

      475        545  
     

 

 

  

Materials – 0.1%

 

Archroma Finance S.a.r.l. (ICE LIBOR plus 425 bps)
6.330%, 7-11-24

    $ 1        1  

SK Spice Holdings S.a.r.l. (3-Month ICE LIBOR plus 425 bps)
6.581%, 7-11-24

      347        345  
     

 

 

  
        346  
     

 

 

  

Total Luxembourg – 0.2%

 

    $ 891  
  

 

 

  
        891  
     

 

 

  

Netherlands

 

Financials – 0.2%

 

BCPE Max Dutch Bidco B.V. (3-Month EURIBOR plus 475 bps)
4.750%, 10-31-25(H)

    EUR   213        239  

Ziggo Secured Finance B.V. (3-Month EURIBOR plus 300 bps)
3.000%, 4-15-25(H)

      250        283  
     

 

 

  
        522  
     

 

 

  

Total Netherlands – 0.2%

 

    $ 522  
  

 

 

  
        522  
     

 

 

  

Saint Lucia

 

Communication Services – 0.0%

 

Digicel International Finance Ltd. (ICE LIBOR plus 325 bps)
5.780%, 5-27-24

    $ 163        141  
     

 

 

  

Total Saint Lucia – 0.0%

 

    $ 141  
  

 

 

  

Sweden

 

Health Care – 0.1%

 

Unilabs Diagnostics AB (3-Month EURIBOR plus 300 bps)
3.000%, 4-30-24(H)

    EUR 250        279  
     

 

 

  

Total Sweden – 0.1%

 

    $ 279  
  

 

 

  

United Kingdom

 

Health Care – 0.1%

 

Elysium Healthcare Holdings 3 Ltd. (ICE LIBOR plus 525 bps)
6.024%, 4-4-25(H)

    GBP   500        614  
     

 

 

  

Total United Kingdom – 0.1%

 

    $ 614  
  

 

 

  

United States

 

Communication Services – 1.3%

 

Advantage Sales & Marketing, Inc. (ICE LIBOR plus 325 bps)
5.580%, 7-25-21

    $ 401        365  

Advantage Sales & Marketing, Inc. (ICE LIBOR plus 650 bps)
8.830%, 7-25-22

      488        383  

CenturyLink, Inc. (ICE LIBOR plus 275 bps):

      

5.152%, 9-30-22

      959        956  

5.152%, 1-31-25

      647        631  

Charter Communications Operating LLC (ICE LIBOR plus 200 bps)
4.330%, 4-30-25

      246        246  

CSC Holdings LLC (ICE LIBOR plus 225 bps)
4.644%, 7-17-25

      211        207  

Level 3 Financing, Inc. (ICE LIBOR plus 225 bps)
4.652%, 2-22-24

      220        218  

Liberty Cablevision of Puerto Rico LLC (ICE LIBOR plus 350 bps)
5.894%, 1-7-22I

      18        18  

Nexstar Broadcasting, Inc.
0.000%, 6-20-26(M)

      250        249  

Recorded Books, Inc. (ICE LIBOR plus 450 bps)
6.830%, 8-31-25

      219        220  

Sprint Communications, Inc. (ICE LIBOR plus 250 bps)
4.938%, 2-3-24

      420        414  

Univision Communications, Inc. (ICE LIBOR plus 275 bps)
5.152%, 3-15-24

      300        285  

West Corp.
0.000%, 10-10-24(M)

      248        231  
 

West Corp. (3-Month ICE LIBOR plus 400 bps)
6.522%, 10-10-24

      1,555        1,449  
     

 

 

  
        5,872  
     

 

 

  

Consumer Discretionary – 2.3%

 

Asurion LLC (ICE LIBOR plus 600 bps)
8.902%, 8-4-25

      731        740  

BARBRI, Inc. (ICE LIBOR plus 425 bps)
6.690%, 12-1-23

      223        219  

Belk, Inc. (ICE LIBOR plus 475 bps)
7.285%, 12-10-22

      405        326  

CIF Times Square Mezz 1 LLC and CPTS Hotel Lessee Mezz 1 LLC (1-Month U.S. LIBOR plus 600 bps)
8.412%, 5-9-20

      160        160  

Cosmopolitan of Las Vegas (The) (1-Month U.S. LIBOR plus 525 bps)
7.645%, 11-9-19

      800        805  

frontdoor, Inc. (ICE LIBOR plus 250 bps)
4.938%, 8-16-25

      248        247  

Hotel del Coronado (1-Month U.S. LIBOR plus 500 bps)
7.395%, 8-9-19

      120        120  

Hudson Delano Senior Mezz LLC (1-Month U.S. LIBOR plus 650 bps)
8.895%, 2-9-20

      1,300        1,309  

International Cruise & Excursion Gallery, Inc. (ICE LIBOR plus 525 bps)
7.652%, 6-8-25

      198        193  

Jo-Ann Stores, Inc. (ICE LIBOR plus 500 bps)
7.592%, 10-16-23

      587        526  

Jo-Ann Stores, Inc. (ICE LIBOR plus 925 bps)
11.842%, 5-21-24

      784        686  

Neiman Marcus Group Ltd., Inc. (3-Month ICE LIBOR plus 325 bps)
8.421%, 10-25-20

      399        341  

Neiman Marcus Group Ltd., Inc. (ICE LIBOR plus 325 bps)
0.000%, 10-25-20(M)

      33        28  

NPC International, Inc. (ICE LIBOR plus 750 bps)
9.939%, 4-18-25

      616        365  

Penn National Gaming, Inc. (ICE LIBOR plus 225 bps):

      

4.402%, 10-19-23

      92        91  

4.652%, 10-15-25

      155        154  

PETCO Animal Supplies, Inc. (ICE LIBOR plus 325 bps)
5.833%, 1-26-23

      232        179  

PetSmart, Inc.
0.000%, 3-11-22(M)

      19        19  

PetSmart, Inc. (3-Month ICE LIBOR plus 300 bps)
6.670%, 3-11-22

      1,037        1,008  

Rough Country LLC (ICE LIBOR plus 375 bps)
6.152%, 5-25-23I

      236        231  

SIWF Holdings, Inc.
0.000%, 6-15-25I(M)

      74        73  

SIWF Holdings, Inc. (ICE LIBOR plus 425 bps)
6.654%, 6-15-25I

      725        718  

Staples, Inc. (ICE LIBOR plus 500 bps)
7.601%, 7-12-26

      1,080        1,035  

Talbots, Inc. (The) (ICE LIBOR plus 700 bps)
9.439%, 11-28-22I

      957        924  

Times Square JV LLC and CPTS Hotel Lessee LLC (1-Month U.S. LIBOR plus 600 bps)
8.412%, 5-9-20

      550        549  

Travel Leaders Group LLC (ICE LIBOR plus 400 bps)
6.383%, 1-25-24

      348        348  

TRLG Intermediate Holdings LLC 10.000%, 10-27-22I

      147        138  

United PF Holdings LLC
0.000%, 6-14-26(M)

      66        66  

United PF Holdings LLC (ICE LIBOR plus 450 bps)
6.901%, 6-10-26

      480        479  

Winter Park Intermediate, Inc. (ICE LIBOR plus 475 bps):

      

7.152%, 4-4-25

      102        100  

7.144%, 4-4-25

      146        144  
     

 

 

  
        12,321  
     

 

 

  

Consumer Staples – 0.1%

 

GOBP Holdings, Inc. (ICE LIBOR plus 375 bps)
6.135%, 10-22-25

      269        268  

Post Holdings, Inc. (ICE LIBOR plus 225 bps)
4.404%, 5-24-24

      138        137  

Prestige Brands, Inc. (ICE LIBOR plus 200 bps)
4.402%, 1-26-24

      117        116  
     

 

 

  
        521  
     

 

 

  

Energy – 1.2%

 

Bowie Resources Holdings LLC (ICE LIBOR plus 1,075 bps)
13.272%, 2-16-21

      266        250  

Bowie Resources Holdings LLC (ICE LIBOR plus 575 bps) 8.272%, 8-12-20

      959        940  

California Resources Corp. (ICE LIBOR plus 1,037.50 bps) 12.777%, 12-31-21

      510        517  

California Resources Corp. (ICE LIBOR plus 475 bps)
7.152%, 12-31-22

      376        359  

EG America LLC (ICE LIBOR plus 400 bps)
6.330%, 2-5-25

      293        288  

EPIC Crude Services L.P. (ICE LIBOR plus 500 bps)
7.410%, 3-1-26

      1,100        1,080  

Foresight Energy LLC (ICE LIBOR plus 725 bps)
8.272%, 3-28-22

      1,584        1,285  

Lower Cadence Holdings LLC (ICE LIBOR plus 400 bps)
6.404%, 5-8-26

      369        366  

Westmoreland Coal Co. (ICE LIBOR plus 650 bps)
10.660%, 3-15-22I

      185        185  

Westmoreland Mining Holdings LLC (15.000% Cash or 15.000% PIK)
15.000%, 3-15-29I(I)

      440        357  
     

 

 

  
        5,627  
     

 

 

  

Financials – 1.3%

 

Alliant Holdings Intermediate LLC (ICE LIBOR plus 300 bps) 5.404%, 5-10-25

      36        35  

Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps) 6.902%, 2-28-25

      1,840        1,783  

AqGen Ascensus, Inc.
0.000%, 12-3-22(M)

      61        61  
 

AqGen Ascensus, Inc. (ICE LIBOR plus 350 bps) 6.200%, 12-3-22

      494       494  

Edelman Financial Holdings II, Inc. (ICE LIBOR plus 675 bps)
9.144%, 7-20-26

      780       782  

Financial & Risk U.S. Holdings, Inc. (3-Month EURIBOR plus 400 bps)
4.000%, 10-1-25(H)

    EUR   249       282  

HarbourVest Partners LLC (ICE LIBOR plus 225 bps) 4.745%, 3-1-25

    $ 228       225  

Hudson River Trading LLC (3-Month U.S. LIBOR plus 350 bps)
5.830%, 4-3-25

      643       642  

Jane Street Group LLC (ICE LIBOR plus 300 bps) 5.402%, 8-25-22

      978       971  

MA FinanceCo. LLC (ICE LIBOR plus 275 bps) 4.902%, 6-21-24

      37       36  

Mayfield Agency Borrower, Inc. (ICE LIBOR plus 850 bps)
10.902%, 2-28-26

      545       534  

NFP Corp. (ICE LIBOR plus 300 bps)
5.402%, 1-8-24

      529       514  
    

 

 

  
       6,359  
    

 

 

  

Health Care – 2.1%

 

Amneal Pharmaceuticals LLC (ICE LIBOR plus 350 bps)
5.938%, 5-4-25

      247       245  

ATI Holdings Acquisition, Inc. (ICE LIBOR plus 350 bps) 5.904%, 5-10-23

      —   *      —   * 

BioClinica Holding I L.P. (ICE LIBOR plus 425 bps) 6.813%, 10-20-23

      146       138  

BW NHHC Holdco, Inc. (ICE LIBOR plus 500 bps) 7.404%, 5-15-25

      248       228  

Concordia International Corp. (ICE LIBOR plus 550 bps) 7.911%, 9-6-24

      223       213  

Covenant Surgical Partners, Inc. (ICE LIBOR plus 475 bps)
7.080%, 10-4-24

      246        245  

Envision Healthcare Corp. (ICE LIBOR plus 375 bps)
6.152%, 10-10-25

      249        219  

Exactech, Inc. (ICE LIBOR plus 375 bps)
6.152%, 2-14-25

      247        246  

Gentiva Health Services, Inc. (3-Month ICE LIBOR plus 375 bps)
6.188%, 7-2-25

      1,417        1,417  

Gentiva Health Services, Inc. (ICE LIBOR plus 700 bps)
11.500%, 7-2-26

      365        369  

Hanger, Inc. (ICE LIBOR plus 350 bps)
5.902%, 3-6-25

      247        247  

Heartland Dental LLC
0.000%, 4-30-25(M)

      17        16  

Heartland Dental LLC (ICE LIBOR plus 375 bps)
6.152%, 4-30-25

      770        729  

LifeScan Global Corp. (3-Month ICE LIBOR plus 950 bps)
12.160%, 10-1-25I

      122        111  

LSCS Holdings, Inc. (ICE LIBOR plus 425 bps):

      

6.580%, 3-9-25I

      166        165  

6.851%, 3-17-25I

      33        32  

6.745%, 3-17-25I

      10        10  

Patterson Medical Holdings, Inc. (ICE LIBOR plus 475 bps) 7.333%, 8-28-22

      246        234  

RegionalCare Hospital Partners Holdings, Inc. (ICE LIBOR plus 450 bps)
6.904%, 11-16-25

      1,155        1,147  

Syneos Health, Inc. (ICE LIBOR plus 200 bps)
4.402%, 8-1-24

      153        152  

Team Health Holdings, Inc. (ICE LIBOR plus 275 bps)
5.152%, 2-6-24

      147        130  

U.S. Renal Care, Inc.
0.000%, 6-14-26(M)

      1,986        1,947  

UIC Merger Sub, Inc. (ICE LIBOR plus 325 bps)
5.652%, 8-31-24

      246        241  

Verscend Holding Corp. (ICE LIBOR plus 450 bps)
6.902%, 8-27-25

      1,737        1,736  

WW Medical and Healthcare Holdings Corp. (ICE LIBOR plus 375 bps)
6.152%, 11-2-24

      247        246  
     

 

 

  
        10,463  
     

 

 

  

Industrials – 1.8%

 

APCO Holdings, Inc. (ICE LIBOR plus 550 bps)
7.910%, 6-8-25I

      185        186  

C.H.I. Overhead Doors, Inc. (ICE LIBOR plus 375 bps)
5.652%, 7-31-22

      437        434  

Diamond (BC) B.V. (ICE LIBOR plus 300 bps)
5.583%, 9-6-24

      246        216  

Dynacast International LLC (ICE LIBOR plus 850 bps)
10.830%, 1-30-23

      683        669  

MB Aerospace Holdings II Corp. (ICE LIBOR plus 350 bps) 5.902%, 1-22-25

      246        239  

McDermott Technology (Americas), Inc. (ICE LIBOR plus 500 bps)
7.402%, 5-10-25

      1,618        1,590  

Packers Holdings LLC (ICE LIBOR plus 325 bps)
5.318%, 12-4-24

      258        254  

PAE Holding Corp. (ICE LIBOR plus 550 bps)
7.902%, 10-20-22I

      1,409        1,425  

PAE Holding Corp. (ICE LIBOR plus 950 bps)
11.830%, 10-20-23

      134        131  

PT Holdings LLC (ICE LIBOR plus 400 bps)
6.330%, 12-7-24

      450        434  

Red Ventures LLC
0.000%, 11-8-24(M)

      47        46  

Red Ventures LLC (ICE LIBOR plus 400 bps)
5.402%, 11-8-24

      248        247  

SH 130 Concession Co. LLC (3-Month ICE LIBOR plus 287.5 bps)
5.277%, 6-5-20

      600        604  
 

SMI Acquisition, Inc. (ICE LIBOR plus 375 bps) 6.329%, 11-1-24I

      246        219  

Solera LLC and Solera Finance, Inc. (ICE LIBOR plus 475 bps)
5.152%, 3-3-23

      476        472  

Tronair, Inc. (1-Month U.S. LIBOR plus 475 bps) 7.566%, 9-8-23I

      146        131  

United Rentals (North America), Inc. (ICE LIBOR plus 175 bps)
4.152%, 10-31-25

      248        248  

USS Ultimate Holdings, Inc. (ICE LIBOR plus 775 bps) 10.189%, 8-25-25

      702        687  

William Morris Endeavor Entertainment LLC (ICE LIBOR plus 275 bps) 5.160%, 5-29-25

      177        171  

YRC Worldwide, Inc. (ICE LIBOR plus 850 bps) 10.902%, 7-26-22

      516        507  

Zebra Technologies Corp. (ICE LIBOR plus 175 bps) 4.181%, 10-27-21

      147        147  
     

 

 

  
        9,057  
     

 

 

  

Information Technology – 0.9%

 

Applied Systems, Inc. (ICE LIBOR plus 700 bps) 9.330%, 9-19-25

      384        387  

Colorado Buyer, Inc. (ICE LIBOR plus 300 bps) 9.670%, 5-1-25

      414        358  

DigiCert Holdings, Inc. (ICE LIBOR plus 475 bps) 6.402%, 10-31-24

      268        267  

First Data Corp. (ICE LIBOR plus 225 bps):

      

4.404%, 7-10-22

      51        51  

4.404%, 4-26-24

      131        131  

Great Dane Merger Sub, Inc. (ICE LIBOR plus 375 bps) 6.152%, 5-21-25I

      601        592  

Infor (U.S.), Inc. (3-Month EURIBOR plus 225 bps) 4.580%, 2-1-22(H)

    EUR   250        284  

Mitchell International, Inc. (ICE LIBOR plus 325 bps) 5.652%, 12-1-24

    $ 87        82  

Mitchell International, Inc. (ICE LIBOR plus 725 bps)
9.652%, 11-30-25

      237        229  

MLN U.S. Holdco LLC (ICE LIBOR plus 450 bps)
6.939%, 11-30-25

      365        348  

MLN U.S. Holdco LLC (ICE LIBOR plus 875 bps)
11.189%, 11-30-26

      346        303  

Navicure, Inc. (ICE LIBOR plus 375 bps)
6.152%, 11-1-24

      246        244  

Output Services Group, Inc. (ICE LIBOR plus 425 bps)
6.652%, 3-27-24I

      247        221  

Park Place Technologies LLC (ICE LIBOR plus 400 bps)
6.402%, 3-29-25

      248        245  

Peak 10 Holding Corp. (ICE LIBOR plus 350 bps)
5.830%, 8-1-24

      246        225  

Riverbed Technology, Inc.
0.000%, 4-24-22(M)

      288        248  

Riverbed Technology, Inc. (ICE LIBOR plus 325 bps)
5.660%, 4-24-22

      72        62  

Seattle Spinco, Inc. (ICE LIBOR plus 275 bps)
4.902%, 6-21-24

      247        242  

Triple Point Group Holdings, Inc. (ICE LIBOR plus 425 bps)
6.901%, 7-13-20

      201        192  

VF Holding Corp. (ICE LIBOR plus 325 bps)
5.652%, 7-2-25

      283        272  

Wall Street Systems Holdings, Inc. (ICE LIBOR plus 425 bps)
7.402%, 11-21-24I

      250        248  
     

 

 

  
        5,231  
     

 

 

  

Materials – 0.6%

 

Associated Asphalt Partners LLC (ICE LIBOR plus 525 bps)
7.652%, 4-5-24

      129        125  

Berry Global, Inc.
0.000%, 5-17-26(M)

    EUR   250        285  

Hillman Group, Inc. (The) (ICE LIBOR plus 350 bps)
6.402%, 5-31-25

    $ 833        800  

ILPEA Parent, Inc. (ICE LIBOR plus 550 bps) 7.160%, 3-2-23I

      382        379  

Starfruit U.S. Holdco LLC (ICE LIBOR plus 325 bps) 5.669%, 10-1-25

      250        246  

Styrolution Group GmbH (ICE LIBOR plus 375 bps) 4.330%, 9-30-21

      53        52  

Univar, Inc. (3-Month EURIBOR plus 275 bps) 2.750%, 7-1-24

    EUR 206        235  

Versum Materials, Inc. (ICE LIBOR plus 250 bps) 4.330%, 9-29-23

    $ 224        224  
     

 

 

  
        2,346  
     

 

 

  

Real Estate – 0.3%

 

Inland Retail Real Estate Trust, Inc. (1-Month U.S. LIBOR plus 650 bps) 8.190%, 1-1-22

      982        993  

Terra Millennium Corp. (ICE LIBOR plus 625 bps) 9.188%, 10-31-22I

      387        380  
     

 

 

  
        1,373  
     

 

 

  

Total United States – 11.9%

 

    $ 59,170  
  

 

 

  

TOTAL LOANS – 13.5%

 

    $ 66,023  
  

 

 

  

(Cost: $68,331)

 

UNITED STATES
GOVERNMENT
AGENCY
OBLIGATIONS

              

United States – 0.7%

 

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 2-year U.S. Treasury index):

      

3.454%, 5-25-45(F)(G)

      1,185        1,186  

3.576%, 8-25-45(F)(G)

      350        349  

Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates 2.500%, 6-15-39

      723        731  

Federal National Mortgage Association Agency REMIC/CMO:

      

2.000%, 4-25-40

      675        678  

3.000%, 2-25-44

      169        174  

Federal National Mortgage Association Fixed Rate Pass-Through Certificates 4.646%, 7-1-20

      153        155  
 

Government National Mortgage Association Fixed Rate Pass-Through Certificates
3.500%, 4-20-34

      96        98  
     

 

 

  
        3,371  
     

 

 

  

TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.7%

 

    $ 3,371  
  

 

 

  

(Cost: $3,413)

 

UNITED STATES
GOVERNMENT
OBLIGATIONS

              

United States – 5.9%

 

U.S. Treasury Bonds
2.250%, 11-15-25

      2,250        2,303  

U.S. Treasury Notes:

      

1.500%, 8-15-20

      4,000        3,981  

1.375%, 9-30-20

      3,050        3,030  

2.875%, 10-15-21

      6,000        6,151  

1.875%, 10-31-22

      6,400        6,429  

1.375%, 6-30-23

      2,050        2,021  

2.125%, 9-30-24

      1,600        1,626  

2.875%, 7-31-25

      2,735        2,897  

1.500%, 8-15-26

      1,410        1,373  
     

 

 

  
        29,811  
     

 

 

  

TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 5.9%

 

    $ 29,811  
  

 

 

  

(Cost: $29,076)

 

SHORT-TERM
SECURITIES

              

Commercial Paper(N) – 4.2%

 

J.M. Smucker Co. (The)
2.501%, 7-1-19

      3,213        3,212  

McCormick & Co., Inc.
2.502%, 7-3-19

      5,000        4,998  

Mondelez International, Inc.:

      

2.574%, 7-9-19

      4,000        3,997  

2.860%, 7-15-19

      6,000        5,993  

UnitedHealth Group, Inc. 2.481%, 7-3-19

      3,000        2,999  
     

 

 

  
        21,199  
     

 

 

  

Master Note – 2.2%

 

Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps) 2.620%, 7-5-19(O)

      11,260        11,260  
     

 

 

  
     Shares         

Money Market Funds – 0.9%

 

Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares 2.360%, (P)(Q)

      4,509        4,509  
     

 

 

  

TOTAL SHORT-TERM SECURITIES – 7.3%

 

    $ 36,968  
  

 

 

  

(Cost: $36,973)

 

TOTAL INVESTMENT SECURITIES – 99.8%

       $ 504,151  
     

 

 

  

(Cost: $504,980)

 

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2%

 

      958  
  

 

 

  

NET ASSETS – 100.0%

 

    $ 505,109  
  

 

 

  
 

 

Notes to Schedule of Investments

 

*

Not shown due to rounding.

(A)

No dividends were paid during the preceding 12 months.

(B)

All or a portion of securities with an aggregate value of $5,037 are on loan.

(C)

Securities whose value was determined using significant unobservable inputs.

(D)

Restricted securities. At June 30, 2019, the Fund owned the following restricted securities:

 

Security

    Acquisition Date(s)      Shares      Cost      Market Value  

Pinnacle Agriculture Enterprises LLC

      3-10-17        389      $ 177      $ 31  

Targa Resources Corp., 9.500%

      10-24-17        1        1,624        1,576  
        

 

 

     

 

 

  
         $ 1,801      $ 1,607  
        

 

 

     

 

 

  

The total value of these securities represented 0.3% of net assets at June 30, 2019.

 

(E)

Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

(F)

Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2019 the total value of these securities amounted to $240,445 or 47.6% of net assets.

(G)

Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2019. Description of the reference rate and spread, if applicable, are included in the security description.

(H)

Principal amounts are denominated in the indicated foreign currency, where applicable (EUR – Euro and GBP – British Pound).

(I)

Payment-in-kind bond which may pay interest in additional par and/or in cash. Rates shown are the current rate and possible payment rates.

(J)

Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at June 30, 2019.

(K)

Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy.

(L)

Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities.

(M)

All or a portion of this position has not settled. Full contract rates do not take effect until settlement date.

(N)

Rate shown is the yield to maturity at June 30, 2019.

(O)

Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2019. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description.

(P)

Rate shown is the annualized 7-day yield at June 30, 2019.

(Q)

Investment made with cash collateral received from securities on loan.

The following over the counter credit default swaps – buy protection(1) were outstanding at June 30, 2019:     

 

Referenced Obligation

   

Counterparty

    (Pay)
Fixed
Rate		     Maturity
Date		      Notional
Amount(2)		      Value      Upfront
Payments/
(Receipts)		      Unrealized
Appreciation
(Depreciation)		  

K Hovnanian Enterprises, Inc.

    Barclays Bank plc      (5.000%)       12-20-22        28      $ 8      $ 12      $ (4 ) 

K Hovnanian Enterprises, Inc.

    Barclays Bank plc      (5.000%)       12-20-19        17        1        1        —   * 

K Hovnanian Enterprises, Inc.

    Barclays Bank plc      (5.000%)       6-20-24        70        28        29        (1 ) 

K Hovnanian Enterprises, Inc.

    Barclays Bank plc      (5.000%)       12-20-22        142        43        51        (8 ) 
             

 

 

     

 

 

     

 

 

  
              $ 80      $ 93      $ (13 ) 
             

 

 

     

 

 

     

 

 

  

The following over the counter credit default swaps – sold protection(3) were outstanding at June 30, 2019:     

 

Referenced Obligation

   

Counterparty

    Receive
Fixed
Rate		     Maturity
Date		      Implied
Credit
Spread at
June 30,
2019(4)		     Notional
Amount(2)		      Value     Upfront
Payments/
(Receipts)		     Unrealized
Appreciation
(Depreciation)		  

K Hovnanian Enterprises, Inc.

    Barclays Bank plc      5.000%       12-20-20        23.574 %      5      $ (1 )    $ (1 )    $ —   * 

K Hovnanian Enterprises, Inc.

    Barclays Bank plc      5.000%       12-20-20        23.574       28        (4 )      (4 )      —   * 

K Hovnanian Enterprises, Inc.

    Barclays Bank plc      5.000%       12-20-20        23.574       16        (3 )      (2 )      (1 ) 

K Hovnanian Enterprises, Inc.

    Goldman Sachs International      5.000%       12-20-19        24.120       12        (1 )      (1 )      —   * 

K Hovnanian Enterprises, Inc.

    Goldman Sachs International      5.000%       12-20-19        24.120       5        —   *      —   *      —   * 
               

 

 

    

 

 

    

 

 

  
                $ (9 )    $ (8 )    $ (1 ) 
               

 

 

    

 

 

    

 

 

  

 

(1)

If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(2)

The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement.

(3)

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and/or deliver the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

(4)

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, sovereign issues, or an index as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The following forward foreign currency contracts were outstanding at June 30, 2019:

 

    

Currency to be
Delivered

        

Currency to be
Received

   

Settlement
Date

   

Counterparty

    Unrealized
Appreciation		      Unrealized
Depreciation		  

British Pound

    2,050   

U.S. Dollar

    2,621    9-30-19   

JPMorgan Securities LLC

    $ 8      $ —    

Euro

    400   

U.S. Dollar

    459    9-30-19   

JPMorgan Securities LLC

      1        —    

Euro

    5,556   

U.S. Dollar

    7,198    9-30-21   

JPMorgan Securities LLC

      527        —    

Euro

    334   

U.S. Dollar

    378    7-5-19   

Morgan Stanley International

      —          2  
                 

 

 

     

 

 

  
                  $ 536      $ 2  
                 

 

 

     

 

 

  

Each Fund’s investments are reported at fair value. Fair value is defined as the price that each Fund would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.

Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Fund.

An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:

 

•  

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

 

•  

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

 

•  

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of June 30, 2019:

 

     Level 1      Level 2      Level 3  

Assets

         

Investments in Securities

         

Common Stocks

         

Communication Services

    $ 56      $ 38      $ —    

Consumer Discretionary

      1,228        —          —    

Energy

      67        —          105  

Health Care

      117        —          —    
  

 

 

     

 

 

     

 

 

  

Total Common Stocks

    $ 1,468      $ 38      $ 105  

Investment Funds

      3,360        —          —    

Preferred Stocks

      —          1,576        31  

Warrants

      —          —   *       —    

Asset-Backed Securities

      —          10,601        —    

Corporate Debt Securities

      —          297,661        —    

Mortgage-Backed Securities

      —          6,297        —    

Other Government Securities

      —          46,841        —    

Loans

      —          58,942        7,081  

United States Government Agency Obligations

      —          3,371        —    

United States Government Obligations

      —          29,811        —    

Short-Term Securities

      4,509        32,459        —    
  

 

 

     

 

 

     

 

 

  

Total

    $ 9,337      $ 487,597      $ 7,217  
  

 

 

     

 

 

     

 

 

  

Over the Counter Credit Default Swaps

    $ 28      $ 52      $ —    

Forward Foreign Currency Contracts

    $ —        $ 536      $ —    
  

 

 

     

 

 

     

 

 

  

Liabilities

         

Over the Counter Credit Default Swaps

    $ —        $ 9      $ —    

Forward Foreign Currency Contracts

    $ —        $ 2      $ —    
  

 

 

     

 

 

     

 

 

  

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

     Common Stocks      Preferred Stocks      Loans  

Beginning Balance 10-1-18

    $ 68      $ 217      $ 12,113  

Net realized gain (loss)

      —          —          74  

Net change in unrealized appreciation (depreciation)

      37        (186 )       (829 ) 

Purchases

      —   *       —          2,879  

Sales

      —          —          (4,602 ) 

Amortization/Accretion of premium/discount

      —          —          (16 ) 

Transfers into Level 3 during the period

      —          —          2,924  

Transfers out of Level 3 during the period

      —          —          (5,462 ) 
  

 

 

     

 

 

     

 

 

  

Ending Balance 6-30-19

    $ 105      $ 31      $ 7,081  
  

 

 

     

 

 

     

 

 

  

Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 6-30-19

    $ 37      $ (186 )     $ (719 ) 
  

 

 

     

 

 

     

 

 

  

Information about Level 3 fair value measurements:

 

     Fair Value at
6-30-19		     

Valuation Technique(s)

   

Unobservable Input(s)

   

Input Value

Assets

            

Common Stocks

    $ —   *     Net asset approach    Adjusted book value multiple    0x
     105      Third-party valuation service    Broker quote    N/A

Preferred Stocks

      31      Market comparable approach    Adjusted EBITDA multiple    9.69x
         Illiquidity discount    10%
      Option pricing model    Volatility    9.88%

Loans

      7,081      Third-party valuation service    Broker quotes    N/A

Significant increases (decreases) in the adjusted EBITDA multiple inputs as of the reporting date would result in a higher (lower) fair value measurement. However, significant increases (decreases) in the illiquidity discount input as of the reporting date would result in a lower (higher) fair value measurement.

The following acronyms are used throughout this schedule:

CLO = Collateralized Loan Obligation

CMO = Collateralized Mortgage Obligation

EURIBOR = Euro Interbank Offered Rate

GTD = Guaranteed

ICE = Intercontinental Exchange

LIBOR = London Interbank Offered Rate

PIK = Payment in Kind

REMIC = Real Estate Mortgage Investment Conduit

 

For Federal income tax purposes, cost of investments owned at June 30, 2019 and the related unrealized appreciation (depreciation) were as follows:

 

Cost

    $ 504,980  
  

 

 

  

Gross unrealized appreciation

      10,437  

Gross unrealized depreciation

      (11,266 ) 
  

 

 

  

Net unrealized depreciation

    $ (829 )