NPORT-EX 2 IAMA.htm IVY APOLLO MULTI-ASSET INCOME SOI HTML
   SCHEDULE OF INVESTMENTS   
 

 

    

    Ivy Apollo Multi-Asset Income Fund (in  thousands)    DECEMBER 31, 2019 (UNAUDITED)
     
     

 

COMMON STOCKS   Shares   Value  

Communication Services

Integrated Telecommunication Services – 1.6%

Orange S.A.(A)

   130   $1,908

Verizon Communications, Inc.

   88   5,391
    7,299

Wireless Telecommunication Service – 0.2%

SBA Communications Corp.

   4   965
Total Communication Services - 1.8%   8,264

Consumer Discretionary

Apparel Retail – 0.0%

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

   1   —

Casinos & Gaming – 0.5%

Sands China Ltd.(A)

   393   2,102

Education Services – 0.0%

Laureate Education, Inc., Class A(B)

   11   188

Home Improvement Retail – 0.3%

Home Depot, Inc. (The)

   7   1,583

Hotels, Resorts & Cruise Lines – 0.2%

Studio City International Holdings Ltd. ADR(B)(D)

   35   710
Total Consumer Discretionary - 1.0%   4,583

Consumer Staples

Household Products – 0.9%

Procter & Gamble Co. (The)

   35   4,325

Hypermarkets & Super Centers – 0.7%

Wal-Mart Stores, Inc.

   25   3,024

Packaged Foods & Meats – 2.1%

Danone S.A.(A)

   42   3,472

Mowi ASA(A)

   78   2,024

Nestle S.A., Registered Shares(A)

   39   4,257
    9,753

Tobacco – 1.3%

Philip Morris International, Inc.

   71   6,017
Total Consumer Staples - 5.0%   23,119

Energy

Coal & Consumable Fuels – 0.0%

Westmoreland Coal Co.(B)

   7   87

Integrated Oil & Gas – 4.1%

Chevron Corp.

   30   3,591

PJSC LUKOIL ADR(A)

   28   2,767

Royal Dutch Shell plc,
Class A(A)

   169   4,991

Suncor Energy, Inc.

   92   3,006

Total S.A.(A)

   81   4,457
    18,812

Oil & Gas Equipment & Services – 0.0%

McDermott International,
Inc.(B)

   4   2

Oil & Gas Exploration & Production – 0.7%

Bellatrix Exploration
Ltd.(A)(B)(C)(L)

   76   —*

CNOOC Ltd.(A)

   2,096   3,485
    3,485
Total Energy - 4.8%   22,386

Financials

Asset Management & Custody Banks – 0.6%

3i Group plc(A)

   179   2,601

Consumer Finance – 0.4%

ORIX Corp.(A)

   123   2,035

Diversified Banks – 3.2%

Banco Santander S.A.(A)

   587   2,455

Bank of Montreal(A)

   46   3,591

BNP Paribas S.A.(A)

   46   2,714

DBS Group Holdings Ltd.(A)

   109   2,081

ING Groep N.V., Certicaaten Van Aandelen(A)

   187   2,244

PT Bank Mandiri (Persero)
Tbk(A)

   3,436   1,898
    14,983

Multi-Line Insurance – 0.8%

Axa S.A.(A)

   136   3,844

Other Diversified Financial Services – 1.6%

Citigroup, Inc.

   62   4,992

JPMorgan Chase & Co.

   18   2,516
    7,508

Property & Casualty Insurance – 1.0%

Tokio Marine Holdings, Inc.(A)

   85   4,762

Regional Banks – 0.5%

KeyCorp

   119   2,403
Total Financials - 8.1%   38,136

Health Care

Pharmaceuticals – 4.5%

Advanz Pharma Corp.(A)(B)

   6   16

AstraZeneca plc(A)

   61   6,144

GlaxoSmithKline plc(A)

   115   2,701

Pfizer, Inc.

   123   4,826

Roche Holdings AG, Genusscheine(A)

   12   3,943

Sanofi-Aventis(A)

   30   3,003
    20,633
Total Health Care - 4.5%   20,633

Industrials

Aerospace & Defense – 1.2%

BAE Systems plc(A)

   329   2,461

Lockheed Martin Corp.

   8   3,145
    5,606

Construction & Engineering – 0.8%

Vinci(A)

   33   3,701

Construction Machinery & Heavy Trucks – 0.4%

Caterpillar, Inc.

   14   2,079

Electrical Components & Equipment – 0.5%

Eaton Corp.

   25   2,354

Industrial Conglomerates – 0.7%

Koninklijke Philips Electronics N.V., Ordinary Shares(A)

   69   3,358
Total Industrials - 3.6%   17,098

Information Technology

Semiconductors – 3.0%

Intel Corp.

   37   2,192

QUALCOMM, Inc.

   50   4,387

Taiwan Semiconductor Manufacturing Co. Ltd.(A)

   639   7,056
    13,635

Technology Hardware, Storage & Peripherals
– 1.3%

Samsung Electronics Co. Ltd.(A)

   121   5,773
Total Information Technology - 4.3%   19,408

Materials

Construction Materials – 0.5%

CRH plc(A)

   60   2,404

Diversified Chemicals – 0.4%

Eastman Chemical Co.

   26   2,026

Diversified Metals & Mining – 0.8%

Anglo American plc(A)

   123   3,533
Total Materials - 1.7%   7,963

Real Estate

Diversified Real Estate Activities – 1.0%

CapitaLand Ltd.(A)

   147   407

Daibiru Corp.(A)

   21   249

Heiwa Real Estate Co. Ltd.(A)

   6   170

Henderson Land Development Co. Ltd.(A)

   100   489

Mitsubishi Estate Co. Ltd.(A)

   67   1,269

Mitsui Fudosan Co. Ltd.(A)

   57   1,380

Nomura Real Estate Holdings, Inc.(A)

   8   191

Sun Hung Kai Properties Ltd.(A)

   42   648
    4,803

Diversified REITs – 0.7%

Cominar Real Estate Investment Trust(A)

   16   177

Dexus(A)

   40   329

Gecina(A)

   5   944

GPT Group(A)

   63   246

H&R Real Estate Investment Trust(A)

   9   139

Kenedix Office Investment
Corp.(A)

   —*   355

Land Securities Group plc(A)

   42   550

Lar Espana Real Estate Socimi S.A.(A)

   8   63

Merlin Properties Socimi S.A.(A)

   37   529

NSI N.V.(A)

   3   140

RDI REIT plc(A)

   18   31
Star Asia Investment Corp.(A)   —*   138
    3,641

Health Care REITs – 0.6%

Aedifica S.A.(A)

   1   83

Healthcare Trust of America, Inc., Class A

   27   805
 

National Health Investors, Inc.

   3   214

Nippon Healthcare Investment Corp.(A)

   —*   80

Ventas, Inc.

   7   387

Welltower, Inc.

   16   1,300
    2,869

Hotel & Resort REITs – 0.3%

Ichigo Hotel Investment Corp.(A)

   —*   118

Park Hotels & Resorts, Inc.

   13   339

Pebblebrook Hotel Trust

   16   427

Sunstone Hotel Investors, Inc.

   29   405
    1,289

Industrial REITs – 0.7%

Duke Realty Corp.

   25   884

First Industrial Realty Trust, Inc.

   16   666

ITOCHU Advance Logistics Investment Corp.(A)

   —*   153

ProLogis, Inc.

   11   957

SEGRO plc(A)

   49   584
    3,244

Office REITs – 1.3%

Alexandria Real Estate Equities, Inc.

   5   776

Boston Properties, Inc.

   7   1,030

Derwent London plc(A)

   8   428

Global One Corp.(A)

   —*   164

Great Portland Estates plc(A)

   31   356

Hibernia REIT plc(A)

   219   346

Highwoods Properties, Inc.

   12   597

Japan Excellent, Inc.(A)

   —*   316

Japan Real Estate Investment Corp.(A)

   —*   345

Sankei Real Estate, Inc.(A)

   —*   215

SL Green Realty Corp.

   5   435

Vornado Realty Trust

   12   813
    5,821

Real Estate Development – 0.1%

New World Development Co.
Ltd.(A)

   499   683

Real Estate Operating Companies – 1.2%

Deutsche Wohnen AG(A)

   15   610

Entra ASA(A)

   38   629

Grainger plc(A)

   92   383

Hang Lung Properties Ltd.(A)

   198   434

Keihanshin Building Co. Ltd.(A)

   14   177

Shurgard Self Storage Europe S.a.r.l.(A)

   7   281

Swire Properties Ltd.(A)

   473   1,570

Vonovia SE(A)

   30   1,603
    5,687

Residential REITs – 1.3%

American Campus Communities, Inc.

   17   798

AvalonBay Communities, Inc.

   9   1,816

Boardwalk(A)

   6   205

Canadian Apartment Properties REIT(A)

   6   240

Equity Residential

   16   1,276

Invitation Homes, Inc.

   44   1,332

Irish Residential Properties REIT plc(A)

   94   168

Starts Proceed Investment
Corp.(A)

   —*   84
    5,919

Retail REITs – 1.1%

Agree Realty Corp.

   4   312

Federal Realty Investment Trust

   3   379

First Capital REIT(A)

   17   268

Link (The)(A)

   39   418

National Retail Properties, Inc.

   9   473

Realty Income Corp.

   4   272

Regency Centers Corp.

   13   816

Scentre Group(A)

   90   242

Simon Property Group, Inc.

   9   1,267

Taubman Centers, Inc.

   4   117

Unibail-Rodamco-Westfield(A)

   2   378
    4,942

Specialized REITs – 0.9%

Big Yellow Group plc(A)

   19   300

Chartwell Retirement
Residences(A)

   13   142

CubeSmart

   27   856

Digital Realty Trust, Inc.

   6   743

Public Storage, Inc.

   6   1,251
VICI Properties, Inc.   35   893
    4,185
Total Real Estate - 9.2%   43,083

Utilities

Electric Utilities – 1.9%

E.ON AG(A)

   199   2,116

ENEL S.p.A.(A)

   576   4,566

Exelon Corp.

   45   2,060
    8,742

Multi-Utilities – 0.4%

RWE Aktiengesellschaft(A)

   60   1,820

Water Utilities – 0.6%

Guangdong Investment Ltd.(A)

   1,224   2,560
Total Utilities - 2.9%   13,122

TOTAL COMMON STOCKS – 46.9%

   $217,795

(Cost: $181,625)

INVESTMENT FUNDS

        

Registered Investment Companies – 0.4%

iShares iBoxx $ High Yield Corporate Bond ETF

   21   1,847

TOTAL INVESTMENT FUNDS – 0.4%

   $1,847

(Cost: $1,788)

PREFERRED STOCKS

        

Consumer Staples

Agricultural Products – 0.0%

Pinnacle Agriculture Enterprises LLC(B)(C)(E)

   233   —*

Total Consumer Staples - 0.0%

   —*

Energy

Oil & Gas Exploration & Production – 0.3%

Targa Resources Corp., 9.500%(B)(E)

   1   1,380
Total Energy - 0.3%   1,380

TOTAL PREFERRED STOCKS – 0.3%

   $1,380

(Cost: $1,520)

WARRANTS

        

Oil & Gas Exploration & Production – 0.0%

Ultra Resources, Inc., expires 7-14-25(C)(F)

   3   —*

TOTAL WARRANTS – 0.0%

   $—*

(Cost: $1)

ASSET-BACKED SECURITIES   Principal    

Adams Mill CLO Ltd., Series 2014-1A, Class D1 (3-Month U.S. LIBOR plus 350 bps),

    

5.501%, 7-15-26 (G)(H)

   $600   599

Anchorage Credit Funding Ltd., Series 2015-2A, Class D,

    

7.300%, 1-25-31 (G)

   600   600

Antares CLO 2017-1A Ltd. (3-Month U.S. LIBOR plus 775 bps),

    

9.716%, 7-20-28 (H)

   650   626

Crown Point CLO Ltd., Series 2018-5A, Class E (3-Month U.S. LIBOR plus 565 bps),

    

7.652%, 7-17-28 (G)(H)

   250   233

Fortress Credit BSL Ltd., Series 2018-1A, Class ER (3-Month U.S. LIBOR plus 645 bps),

    

8.384%, 7-23-31 (G)(H)

   750   717

Golub Capital Partners CLO Ltd., Series 2013-17A, Class CR (3-Month U.S. LIBOR plus 350 bps),

    

5.440%, 10-25-30 (G)(H)

   1,000   934

Northwoods Capital XI-B Ltd. and Northwoods Capital XI-B LLC, Series 2018-14BA, Class D (3-Month U.S. LIBOR plus 340 bps),

    

5.305%, 11-13-31 (G)(H)

   1,200   1,102

Octagon Investment Partners 40 Ltd., Series 2019-1A, Class E (3-Month U.S. LIBOR plus 646 bps),

    

8.426%, 4-20-31 (G)(H)

   1,000   976

OZLM Ltd., Series 2014-9A, Class DRR (3-Month U.S. LIBOR plus 612 bps),

    

8.086%, 10-20-31 (G)(H)

   500   465

Race Point CLO Ltd., Series 2013-8A, Class DR (3-Month U.S. LIBOR plus 380 bps),

    

5.699%, 2-20-30 (G)(H)

   500   489
 

TIAA Churchill Middle Market CLO I Ltd., Series 2016-1A, Class DR (3-Month U.S. LIBOR plus 390 bps),

    

5.866%, 10-20-30 (G)(H)

   750   720

Trestles CLO Ltd., Series 2017-1A, Class D (3-Month U.S. LIBOR plus 668 bps),

    

8.620%, 7-25-29 (G)(H)

   750   745

Trinitas CLO Ltd., Series 2018-8A, Class E (3-Month U.S. LIBOR plus 590 bps),

    

7.866%, 7-20-31 (G)(H)

   750   697

Trinitas CLO Ltd., Series 2019-11A, Class D (3-Month U.S. LIBOR plus 422 bps),

    

6.221%, 7-15-32 (G)(H)

   1,000   1,001

Venture CDO Ltd., Series 17-26A, Class D (3-Month U.S. LIBOR plus 425 bps),

    

6.216%, 1-20-29 (G)(H)

   400   391

TOTAL ASSET-BACKED SECURITIES – 2.2%

   $10,295

(Cost: $10,510)

CORPORATE DEBT SECURITIES        

Communication Services

Alternative Carriers – 0.0%

Consolidated Communications Finance II Co.,

    

6.500%, 10-1-22(D)

   142   129

Broadcasting – 0.3%

Clear Channel Outdoor Holdings, Inc.,

    

5.125%, 8-15-27(G)

   822   856

Clear Channel Worldwide Holdings, Inc.,

    

9.250%, 2-15-24(G)

   609   675

Globo Comunicacoes e Participacoes S.A.,

    

4.843%, 6-8-25

   200   206

Nexstar Escrow Corp.,

    

5.625%, 8-1-24(G)

   53   55
    1,792

Cable & Satellite – 3.4%

Altice Financing S.A.:

    

6.625%, 2-15-23(G)

   287   292

7.500%, 5-15-26(G)

   1,600   1,720

Altice France S.A.:

    

7.375%, 5-1-26(G)

   1,122   1,205

8.125%, 2-1-27(G)

   1,200   1,351

3.375%, 1-15-28(G)(I)

   EUR100   116

Altice Luxembourg S.A.,

    

10.500%, 5-15-27(G)

   $1,706   1,945

Altice S.A.,

    

7.625%, 2-15-25(G)

   1,006   1,046

Altice U.S. Finance I Corp.,

    

5.500%, 5-15-26(G)

   600   635

Cable One, Inc.,

    

4.500%, 1-30-30(G)

   200   210

CCO Holdings LLC and CCO Holdings Capital Corp.,

    

5.000%, 2-1-28(G)

   726   762

CSC Holdings LLC:

    

5.375%, 2-1-28(G)

   880   938

5.750%, 1-15-30(G)

   202   216

DISH DBS Corp.:

    

5.875%, 7-15-22

   1,000   1,060

5.875%, 11-15-24

   335   342

7.750%, 7-1-26

   498   528

Intelsat Jackson Holdings S.A.,

    

9.500%, 9-30-22(G)

   1,719   1,946

Millicom International Cellular S.A.,

    

6.250%, 3-25-29(G)

   200   220

Neptune Finco Corp.,

    

6.625%, 10-15-25(G)

   225   239

Quebecor Media, Inc.,

    

5.750%, 1-15-23

   228   248

VTR Finance B.V.,

    

6.875%, 1-15-24(G)

   1,066   1,090

Ziggo B.V.,

    

2.875%, 1-15-30(G)(I)

   EUR170   198
    16,307

Integrated Telecommunication Services – 1.5%

Frontier Communications Corp.:

    

7.125%, 1-15-23

   $76   37

7.625%, 4-15-24

   55   27

6.875%, 1-15-25

   942   457

11.000%, 9-15-25

   1,409   683

8.500%, 4-1-26(G)

   1,762   1,784

8.000%, 4-1-27(G)

   1,532   1,601

9.000%, 8-15-31

   53   26

West Corp.,

    

8.500%, 10-15-25(G)

   2,588   2,071
    6,686

Publishing – 0.1%

MDC Partners, Inc.,

    

6.500%, 5-1-24(G)

   688   623

Wireless Telecommunication Service – 0.4%

Digicel Group Ltd.:

    

6.000%, 4-15-21(G)

   403   315

8.250%, 9-30-22(G)

   195   47

8.250%, 12-30-22(G)

   535   298

Digicel Group Ltd. (7.125% Cash and 2.000% PIK),

    

9.125%, 4-1-24(G)(J)

   510   78

Digicel International Finance Ltd.,

    

8.750%, 5-25-24(G)

   1,276   1,244

Digicel Ltd.,

    

6.750%, 3-1-23(G)

   400   232
    2,214
Total Communication Services - 5.7%   27,751

Consumer Discretionary

Automobile Manufacturers – 0.1%

Tesla, Inc. (GTD by SolarCity Corp.),

    

5.300%, 8-15-25(D)(G)

   577   560

Automotive Retail – 0.2%

Allison Transmission, Inc.,

    

5.000%, 10-1-24(G)

   136   139

Carvana Co.,

    

8.875%, 10-1-23(G)

   753   794

Lithia Motors, Inc.,

    

4.625%, 12-15-27(G)

   174   179

Sonic Automotive, Inc.,

    

6.125%, 3-15-27

   185   193
    1,305

Casinos & Gaming – 0.7%

Boyd Gaming Corp.,

    

4.750%, 12-1-27(G)

   324   336

Everi Payments, Inc.,

    

7.500%, 12-15-25(G)

   731   784

Gateway Casinos & Entertainment Ltd.,

    

8.250%, 3-1-24(G)

   426   436

Golden Nugget, Inc.,

    

6.750%, 10-15-24(G)

   914   946

Scientific Games International, Inc. (GTD by Scientific Games Corp.):

    

7.000%, 5-15-28(G)

   43   46

7.250%, 11-15-29(G)

   43   47

Wynn Macau Ltd.:

    

4.875%, 10-1-24(G)

   200   205

5.500%, 10-1-27(G)

   409   425

5.125%, 12-15-29(G)

   65   66
    3,291

Education Services – 0.5%

Laureate Education, Inc.,

    

8.250%, 5-1-25(G)

   1,931   2,078

Homebuilding – 0.0%

Lennar Corp.,

    

4.125%, 1-15-22

   214   219

Hotels, Resorts & Cruise Lines – 0.1%

Boyne USA, Inc.,

    

7.250%, 5-1-25(G)

   426   463

Leisure Facilities – 0.1%

Cedar Fair L.P., Magnum Management Corp., Canada’s Wonderland Co. and Millennium Operations LLC,

    

5.375%, 4-15-27

   356   383

Restaurants – 0.1%

Tasty Bondco 1 S.A.,

    

6.250%, 5-15-26(G)(I)

   EUR162   190

Specialized Consumer Services – 0.3%

Klesia Prevoyance,

    

5.375%, 12-8-26(I)

   200   240

Nielsen Co. (Luxembourg) S.a.r.l. (The),

    

5.500%, 10-1-21(G)

   $400   401

Nielsen Finance LLC and Nielsen Finance Co.,

    

5.000%, 4-15-22(G)

   148   149

Service Corp. International,

    

5.125%, 6-1-29

   341   362
    1,152

Specialty Stores – 0.8%

Party City Holdings, Inc.,

    

6.625%, 8-1-26(D)(G)

   299   211

Staples, Inc.:

    

7.500%, 4-15-26(G)

   2,584   2,681

10.750%, 4-15-27(G)

   1,117   1,134
    4,026
Total Consumer Discretionary - 2.9%   13,667

Consumer Staples

Agricultural Products – 0.0%

NBM U.S. Holdings, Inc.,

    

7.000%, 5-14-26(G)

   200   217

Food Distributors – 0.2%

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   212
 

Performance Food Group, Inc.:

    

5.500%, 6-1-24(G)

   472   484

5.500%, 10-15-27(G)

   73   78
    774

Household Products – 0.1%

First Quality Finance Co., Inc.,

    

5.000%, 7-1-25(G)

   302   314

Packaged Foods & Meats – 1.7%

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

    

7.000%, 1-15-26

   400   435

JBS USA LLC and JBS USA Finance, Inc.:

    

5.875%, 7-15-24(G)

   782   805

5.750%, 6-15-25(G)

   790   817

JBS USA Lux S.A. and JBS USA Finance, Inc.,

    

6.750%, 2-15-28(G)

   907   1,002

JBS USA, JBS USA Food Co. and JBS USA Finance, Inc. (GTD by JBS S.A.):

    

6.500%, 4-15-29(G)

   250   278

5.500%, 1-15-30(G)

   307   330

Pilgrim’s Pride Corp.:

    

5.750%, 3-15-25(G)

   153   158

5.875%, 9-30-27(G)

   550   595

Post Holdings, Inc.:

    

5.500%, 3-1-25(G)

   143   150

5.000%, 8-15-26(G)

   220   232

5.750%, 3-1-27(G)

   973   1,044

Simmons Foods, Inc.:

    

7.750%, 1-15-24(G)

   274   296

5.750%, 11-1-24(G)

   1,638   1,646
    7,788
Total Consumer Staples - 2.0%   9,093

Energy

Coal & Consumable Fuels – 0.1%

Minejesa Capital B.V.,

    

4.625%, 8-10-30

   200   207

Integrated Oil & Gas – 0.1%

Petrobras Global Finance B.V. (GTD by Petroleo Brasileiro S.A.),

    

5.999%, 1-27-28(D)

   400   456

Oil & Gas Drilling – 0.3%

KCA Deutag UK Finance plc,

    

7.250%, 5-15-21(G)

   1,000   680

Offshore Drilling Holding S.A.,

    

8.375%, 9-20-20(G)(K)

   1,400   406

Valaris plc,

    

7.750%, 2-1-26

   443   250
    1,336

Oil & Gas Equipment & Services – 0.1%

Nine Energy Service, Inc.,

    

8.750%, 11-1-23(G)

   311   252

SESI LLC,

    

7.125%, 12-15-21(D)

   155   132
    384

Oil & Gas Exploration & Production – 1.4%

Bellatrix Exploration Ltd.,

    

8.500%, 9-11-23(L)

   177   182

Bellatrix Exploration Ltd. (3.000% Cash and 9.500% PIK),

    

9.500%, 12-15-23(J)(L)

   193   197

Chesapeake Energy Corp.,

    

11.500%, 1-1-25

   506   478

Crownrock L.P.,

    

5.625%, 10-15-25(G)

   1,255   1,280

Endeavor Energy Resources L.P.:

    

5.500%, 1-30-26(G)

   438   452

5.750%, 1-30-28(G)

   319   336

Extraction Oil & Gas, Inc.,

    

5.625%, 2-1-26(G)

   642   385

Gazprom OAO Via Gaz Capital S.A.,

    

7.288%, 8-16-37

   400   560

Laredo Petroleum, Inc.,

    

6.250%, 3-15-23(D)

   142   133

Moss Creek Resources Holdings, Inc.,

    

7.500%, 1-15-26(G)

   1,005   764

PT Pertamina (Persero),

    

5.625%, 5-20-43

   400   466

Sanchez Energy Corp.,

    

7.250%, 2-15-23(D)(G)(L)

   111   72

Seven Generations Energy Ltd.:

    

6.750%, 5-1-23(G)

   971   995

5.375%, 9-30-25(G)

   419   421

Ultra Resources, Inc. (9.000% Cash and 2.000% PIK),

    

11.000%, 7-12-24(J)

   174   28
    6,749

Oil & Gas Refining & Marketing – 0.6%

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

    

6.125%, 10-1-24

   163   166

6.375%, 7-1-26

   218   221

Comstock Escrow Corp.,

    

9.750%, 8-15-26

   1,809   1,642

EG Global Finance plc:

    

4.375%, 2-7-25(G)(I)

   EUR169   190

6.250%, 10-30-25(G)(I)

   107   127

EP Energy LLC and Everest Acquisition Finance, Inc.:

    

9.375%, 5-1-24(G)(L)

   $207   4

8.000%, 2-15-25(G)(L)

   221   5

7.750%, 5-15-26(G)(L)

   323   231

QEP Resources, Inc.,

    

5.625%, 3-1-26(D)

   269   262
    2,848
Total Energy - 2.6%   11,980

Financials

Consumer Finance – 0.1%

CURO Group Holdings Corp.,

    

8.250%, 9-1-25(G)

   478   421

Diversified Banks – 0.2%

Bancolombia S.A.,

    

4.625%, 12-18-29

   500   507

BBVA Bancomer S.A.:

    

5.350%, 11-12-29

   200   202

5.875%, 9-13-34(G)

   200   209
    918

Financial Exchanges & Data – 0.3%

MSCI, Inc.,

    

5.250%, 11-15-24(G)

   24   25

Refinitiv U.S. Holdings, Inc.,

    

8.250%, 11-15-26(G)

   972   1,095
    1,120

Insurance Brokers – 0.5%

NFP Corp.:

    

6.875%, 7-15-25(G)

   1,997   2,002

8.000%, 7-15-25(G)

   422   430

Vienna Insurance Group AG,

    

5.500%, 10-9-43(I)

   EUR100   133
    2,565

Life & Health Insurance – 0.4%

Aegon N.V.,

    

4.000%, 4-25-44(I)

   200   250

MetLife, Inc.:

    

9.250%, 4-8-38(G)

   $445   655

10.750%, 8-1-39

   452   755
    1,660

Multi-line Insurance – 0.0%

La Mondiale SAM,

    

6.750%, 4-25-44(I)

   EUR100   137

Multi-Line Insurance – 0.1%

ASR Nederland N.V.,

    

5.125%, 9-29-45(I)

   100   134

Humanis Prevoyance,

    

5.750%, 10-22-25(I)

   300   370
    504

Other Diversified Financial Services – 0.3%

New Cotai LLC and New Cotai Capital Corp. (10.625% Cash or 10.625% PIK),

    

10.625%, 5-1-19(G)(J)(L)

   $2,703   1,189

Property & Casualty Insurance – 0.7%

Amwins Group, Inc.,

    

7.750%, 7-1-26(G)

   962   1,063

GTCR AP Finance, Inc.,

    

8.000%, 5-15-27(G)

   1,036   1,077

Hub International Ltd.,

    

7.000%, 5-1-26(G)

   821   868

Mapfre S.A.,

    

4.375%, 3-31-47(I)

   EUR100   132
    3,140

Specialized Finance – 0.8%

ALROSA Finance S.A.,

    

4.650%, 4-9-24(G)

   $200   213

BCPE Cycle Merger Sub II, Inc.,

    

10.625%, 7-15-27(G)

   809   829

Compass Group Diversified Holdings LLC,

    

8.000%, 5-1-26(G)

   434   470

Cosan Luxembourg S.A.,

    

7.000%, 1-20-27(G)

   200   218

DAE Funding LLC:

    

5.750%, 11-15-23(G)

   505   529

5.000%, 8-1-24(G)

   199   209

NBK Tier 1 Financing (2) Ltd.,

    

4.500%, 5-27-68(G)

   300   299

Rede D’Or Finance S.a.r.l.,

    

4.950%, 1-17-28(D)

   200   207

Tervita Escrow Corp.,

    

7.625%, 12-1-21(G)

   215   216

TMX Finance LLC and TitleMax Finance Corp.,

    

11.125%, 4-1-23(G)

   561   508

Trust F/1401,

    

6.390%, 1-15-50(G)

   200   215
    3,913

Thrifts & Mortgage Finance – 0.1%

Provident Funding Associates L.P. and PFG Finance Corp.,

    

6.375%, 6-15-25(G)

   510   500
Total Financials - 3.5%   16,067

Health Care

Health Care Equipment – 0.0%

Hologic, Inc.,

    

4.625%, 2-1-28(G)

   132   140

Health Care Facilities – 0.5%

RegionalCare Hospital Partners Holdings, Inc. and Legend Merger Sub, Inc.,

    

9.750%, 12-1-26(G)

   1,276   1,442
 

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

   924   1,014
    2,456

Health Care Services – 0.2%

Envision Healthcare Corp.,

    

8.750%, 10-15-26(G)

   272   169

Heartland Dental LLC,

    

8.500%, 5-1-26(G)

   789   808
    977

Health Care Technology – 0.4%

Verscend Holding Corp.,

    

9.750%, 8-15-26(G)

   1,581   1,729

Life Sciences Tools & Services – 0.3%

Avantor, Inc.,

    

9.000%, 10-1-25(G)

   1,151   1,286

Pharmaceuticals – 0.6%

Advanz Pharma Corp.,

    

8.000%, 9-6-24(D)

   72   68

Bausch Health Cos., Inc.:

    

6.125%, 4-15-25(G)

   291   301

9.000%, 12-15-25(G)

   153   174

9.250%, 4-1-26(G)

   441   506

8.500%, 1-31-27(G)

   527   600

Eagle Holding Co. II LLC (7.500% Cash or 8.500% PIK),

    

7.750%, 5-15-22(G)(J)

   907   921

Par Pharmaceutical, Inc.,

    

7.500%, 4-1-27(G)

   557   554
    3,124
Total Health Care - 2.0%   9,712

Industrials

Aerospace & Defense – 1.6%

TransDigm UK Holdings plc,

    

6.875%, 5-15-26

   366   390

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

    

6.500%, 7-15-24

   1,047   1,080

6.500%, 5-15-25

   200   208

6.250%, 3-15-26(G)

   571   618

6.375%, 6-15-26

   202   214

7.500%, 3-15-27

   408   446

5.500%, 11-15-27(G)

   1,051   1,063

Wolverine Escrow LLC:

    

8.500%, 11-15-24(G)

   1,167   1,208

9.000%, 11-15-26(G)

   1,703   1,784

13.125%, 11-15-27(D)(G)

   342   351
    7,362

Airlines – 0.0%

Swissport Financing S.a.r.l.,

    

5.250%, 8-15-24(G)(I)

   EUR150   179

Building Products – 0.1%

JELD-WEN, Inc.,

    

4.875%, 12-15-27(G)

   $113   115

Standard Industries, Inc.:

    

2.250%, 11-21-26(G)(I)

   EUR100   115

4.750%, 1-15-28(G)

   $62   64
    294

Diversified Support Services – 0.1%

Ahern Rentals, Inc.,

    

7.375%, 5-15-23(G)

   665   527

United Rentals (North America), Inc. (GTD by United Rentals, Inc.),

    

5.875%, 9-15-26

   133   143
    670

Electrical Components & Equipment – 0.0%

Vertiv Group Corp.,

    

9.250%, 10-15-24(G)

   128   138

Vertiv Intermediate Holding Corp. (12.000% Cash or 13.000% PIK),

    

12.000%, 2-15-22(G)(J)

   60   62
    200

Environmental & Facilities Services – 0.3%

GFL Environmental, Inc.:

    

5.375%, 3-1-23(G)

   450   464

7.000%, 6-1-26(G)

   646   682

8.500%, 5-1-27(G)

   144   158

Waste Pro USA, Inc.,

    

5.500%, 2-15-26(G)

   86   90
    1,394

Marine Ports & Services – 0.1%

DP World Ltd.,

    

6.850%, 7-2-37

   200   263

DP World plc,

    

6.850%, 7-2-37(G)

   200   263
    526

Railroads – 0.1%

Lima Metro Line 2 Finance Ltd.:

    

5.875%, 7-5-34(G)

   220   255

4.350%, 4-5-36(G)

   200   212
    467

Research & Consulting Services – 0.1%

Alliance Data Systems Corp.,

    

4.750%, 12-15-24(G)

   465   464

Security & Alarm Services – 0.3%

Prime Security Services Borrower LLC and Prime Finance, Inc.,

    

9.250%, 5-15-23(G)

   1,147   1,203
Total Industrials - 2.7%   12,759

Information Technology

Application Software – 0.7%

Kronos Acquisition Holdings, Inc.,

    

9.000%, 8-15-23(G)

   1,663   1,588

Open Text Corp.,

    

5.625%, 1-15-23(G)

   472   480

Orbcomm, Inc.,

    

8.000%, 4-1-24(G)

   1,015   974

Riverbed Technology, Inc. and Project Homestake Merger Corp.,

    

8.875%, 3-1-23(D)(G)

   939   540
    3,582

Communications Equipment – 0.0%

SSL Robotics LLC,

    

9.750%, 12-31-23(G)

   46   50

Data Processing & Outsourced Services – 0.2%

Italics Merger Sub, Inc.,

    

7.125%, 7-15-23(G)

   1,043   1,059

j2 Cloud Services LLC and j2 Global, Inc.,

    

6.000%, 7-15-25(G)

   206   218
    1,277

Electronic Equipment & Instruments – 0.1%

Itron, Inc.,

    

5.000%, 1-15-26(G)

   52   54

NCR Corp.:

    

5.750%, 9-1-27(G)

   144   153

6.125%, 9-1-29(G)

   144   156
    363

IT Consulting & Other Services – 0.3%

Cardtronics, Inc. and Cardtronics USA, Inc.,

    

5.500%, 5-1-25(G)

   121   126

NCR Escrow Corp.,

    

6.375%, 12-15-23

   739   757

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

   641   670
    1,553
Total Information Technology - 1.3%   6,825

Materials

Aluminum – 0.4%

Constellium N.V.:

    

5.750%, 5-15-24(G)

   1,000   1,028

5.875%, 2-15-26(G)

   391   413

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

    

6.250%, 8-15-24(G)

   335   351

5.875%, 9-30-26(G)

   118   126
    1,918

Commodity Chemicals – 0.2%

NOVA Chemicals Corp.:

    

4.875%, 6-1-24(G)

   508   524

5.250%, 6-1-27(G)

   203   209
    733

Construction Materials – 0.3%

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

    

5.700%, 1-11-25

   200   206

5.450%, 11-19-29(G)

   200   209

Hillman Group, Inc. (The),

    

6.375%, 7-15-22(G)

   886   824
    1,239

Diversified Chemicals – 0.1%

Sasol Financing USA LLC (GTD by Sasol Ltd.),

    

6.500%, 9-27-28

   200   222

Diversified Metals & Mining – 0.0%

Nexa Resources S.A.,

    

5.375%, 5-4-27(D)

   200   214

Fertilizers & Agricultural Chemicals – 0.0%

Pinnacle Operating Corp.,

    

9.000%, 5-15-23(C)(G)

   336   134

Gold – 0.1%

AngloGold Ashanti Holdings plc,

    

6.500%, 4-15-40

   120   136

Gold Fields Orogen Holding Ltd.,

    

6.125%, 5-15-29(G)

   200   222
    358

Metal & Glass Containers – 0.1%

ARD Finance S.A. (6.500% Cash or 7.250% PIK),

    

6.500%, 6-30-27(G)(J)

   320   331

HudBay Minerals, Inc.:

    

7.250%, 1-15-23(G)

   65   67

7.625%, 1-15-25(G)

   98   104
    502

Paper Packaging – 0.0%

Reynolds Group Issuer, Inc., Reynolds Group Issuer LLC and Reynolds Group Issuer (Luxembourg) S.A.,

    

5.125%, 7-15-23(G)

   60   61

Paper Products – 0.2%

American Greetings Corp.,

    

8.750%, 4-15-25(G)

   970   883

Suzano Austria GmbH,

    

6.000%, 1-15-29

   200   225
    1,108

Precious Metals & Minerals – 0.0%

Industrias Penoles S.A.B. de C.V.,

    

5.650%, 9-12-49(G)

   200   213

Specialty Chemicals – 0.1%

Monitchem Holdco 3 S.A.,

    

5.250%, 3-15-25(G)(I)

   EUR100   117
 

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

   $350   363
   

 

    480
   

 

Total Materials - 1.5%

   7,182

Real Estate

Diversified Real Estate Activities – 0.1%

Shimao Property Holdings Ltd.,

    

6.375%, 10-15-21

   400   419
   

 

Diversified REITs – 0.1%

Fibra Uno Administracion S.A. de C.V.,

    

5.250%, 1-30-26

   200   215
   

 

Industrial REITs – 0.1%

Avolon Holdings Funding Ltd.,

    

5.250%, 5-15-24(G)

   249   272
   

 

Real Estate Development – 0.1%

Country Garden Holdings Co. Ltd.,

    

7.125%, 1-27-22

   400   424
   

 

Total Real Estate - 0.4%

   1,330

Utilities

Electric Utilities – 0.0%

Israel Electric Corp. Ltd.,

    

5.000%, 11-12-24

   200   220
   

 

Independent Power Producers & Energy Traders – 0.1%

Pattern Energy Group, Inc., Convertible,

    

4.000%, 7-15-20

   452   454
   

 

Multi-Utilities – 0.3%

Pacific Gas and Electric Co.:

    

3.750%, 2-15-24(L)

   772   784

5.800%, 3-1-37(L)

   724   755

5.400%, 1-15-40

   8   8
   

 

    1,547
   

 

Renewable Electricity – 0.2%

Clearway Energy Operating LLC,

    

5.750%, 10-15-25

   369   388

NRG Yield Operating LLC,

    

5.000%, 9-15-26

   366   378
   

 

    766
   

 

Total Utilities - 0.6%

   2,987

TOTAL CORPORATE DEBT SECURITIES – 25.2%

   $119,353

(Cost: $120,920)

MORTGAGE-BACKED SECURITIES        

Other Mortgage-Backed Securities - 1.2%

ALM Loan Funding VII R-2 Ltd., Series 2013-7R2A, Class DR2 (3-Month U.S. LIBOR plus 600 bps),

    

7.986%, 10-15-27(G)(H)

   700   670

ALM Loan Funding XIX LLC, Series 2015-16A, Class D (3-Month U.S. LIBOR plus 510 bps),

    

7.101%, 7-15-27(G)(H)

   250   238

Ashford Hospitality Trust, Series 2018-ASHF, Class F (1-Month U.S. LIBOR plus 410 bps),

    

5.840%, 4-15-35(G)(H)

   600   604

Diameter Credit Funding II Ltd., Series 2019-2A, Class A,

    

3.940%, 1-25-38(G)

   1,000   999

Diameter Credit Funding II Ltd., Series 2019-2A, Class B,

    

4.540%, 1-25-38(G)

   500   500

Highbridge Loan Management Ltd., Series 2014-4A, Class DR (3-Month U.S. LIBOR plus 555 bps),

    

7.486%, 1-28-30(G)(H)

   250   232

PNMAC GMSR Issuer Trust, Series 2018-GT1 (1-Month U.S. LIBOR plus 285 bps),

    

4.642%, 2-25-23(G)(H)

   2,100   2,112
   

 

    5,355
   

 

TOTAL MORTGAGE-BACKED SECURITIES – 1.2%

   $5,355

(Cost: $5,398)

OTHER GOVERNMENT SECURITIES(M)        

Bulgaria - 0.0%

Bulgaria Government Bond,

    

3.125%, 3-26-35 (I)

   EUR100   146
   

 

Russia - 0.1%

Russia Government Bond,

    

5.100%, 3-28-35 (G)

   $200   239
   

 

Serbia - 0.0%

Republic of Serbia,

    

1.500%, 6-26-29 (G)(I)

   EUR200   228
   

 

TOTAL OTHER GOVERNMENT SECURITIES – 0.1%

   $613

LOANS (H)

Communication Services

Advertising – 0.2%

Advantage Sales & Marketing, Inc.,

    

0.000%, 7-25-21(N)

   $9   9

Advantage Sales & Marketing, Inc. (ICE LIBOR plus 325 bps),

    

5.049%, 7-25-21

   533   514

Advantage Sales & Marketing, Inc. (ICE LIBOR plus 650 bps),

    

8.299%, 7-25-22

   438   387
   

 

    910
   

 

Alternative Carriers – 0.1%

Level 3 Parent LLC (ICE LIBOR plus 175 bps),

    

3.549%, 3-1-27

   189   189
   

 

Broadcasting – 0.5%

Clear Channel Outdoor Holdings, Inc. (ICE LIBOR plus 350 bps),

    

5.299%, 8-1-26

   983   987

Nexstar Broadcasting, Inc. (3-Month ICE LIBOR plus 275 bps),

    

4.452%, 9-19-26

   250   251

Sinclair Television Group, Inc. (ICE LIBOR plus 250 bps),

    

4.240%, 9-30-26

   249   250

 

Univision Communications, Inc. (ICE LIBOR plus 275 bps),

    

4.549%, 3-15-24

   349   345
   

 

    1,833
   

 

Cable & Satellite – 0.2%

CSC Holdings LLC (ICE LIBOR plus 225 bps),

    

3.990%, 7-17-25

   278   278

Ziggo B.V. (3-Month EURIBOR plus 300 bps),

    

3.000%, 1-31-29

   EUR250   280
   

 

    558
   

 

Integrated Telecommunication Services – 0.7%

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

    

4.549%, 11-1-22

   $456   456

4.549%, 1-31-25

   538   540

eircom Finco S.a.r.l. (3-Month EURIBOR plus 325 bps),

    

3.250%, 5-15-26

   EUR153   172

Frontier Communications Corp.,

    

0.000%, 6-15-24(N)

   $49   49

Frontier Communications Corp. (ICE LIBOR plus 375 bps),

    

5.550%, 6-15-24

   448   449

Telenet Financing USD LLC (ICE LIBOR plus 225 bps),

    

3.990%, 8-15-26

   250   251

West Corp. (3-Month ICE LIBOR plus 400 bps),

    

5.927%, 10-10-24

   1,756   1,484
   

 

    3,401
   

 

Publishing – 0.1%

Recorded Books, Inc. (ICE LIBOR plus 450 bps),

    

6.299%, 8-31-25(C)

   190   190
   

 

Wireless Telecommunication Service – 0.3%

Digicel International Finance Ltd.,

    

0.000%, 5-27-24(N)

   67   60

Digicel International Finance Ltd. (ICE LIBOR plus 325 bps),

    

5.340%, 5-27-24

   798   710

Iridium Satellite LLC (ICE LIBOR plus 375 bps),

    

5.549%, 11-4-26

   250   253
   

 

    1,023
   

 

Total Communication Services - 2.1%   8,104

Consumer Discretionary

Apparel Retail – 0.2%

Neiman Marcus Group Ltd. LLC,

    

0.000%, 10-25-23(J)(N)

   5   4

Neiman Marcus Group Ltd., Inc. (3-Month ICE LIBOR plus 325 bps),

    

7.713%, 10-25-20

   279   230

Neiman Marcus Group Ltd., Inc. (ICE LIBOR plus 325 bps),

    

0.000%, 10-25-20(N)

   38   31

Talbots, Inc. (The) (ICE LIBOR plus 700 bps),

    

8.799%, 11-28-22(C)

   748   729

TRLG Intermediate Holdings LLC,

    

10.000%, 10-27-22

   131   124
   

 

    1,118
   

 

 

Auto Parts & Equipment – 0.0%

Rough Country LLC (ICE LIBOR plus 375 bps),

    

5.299%, 5-25-23(C)

   224   222
   

 

Automotive Retail – 0.1%

Belron Finance U.S. LLC (ICE LIBOR plus 250 bps),

    

4.436%, 11-7-26

   250   251
   

 

Casinos & Gaming – 0.2%

Cosmopolitan of Las Vegas (The) (1-Month U.S. LIBOR plus 525 bps),

    

6.990%, 11-9-20

   800   804

GVC Holdings plc (ICE LIBOR plus 250 bps),

    

4.446%, 3-16-24

   246   247

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

    

3.799%, 10-19-23

   90   89
   

 

    1,140
   

 

Department Stores – 0.1%

Belk, Inc. (ICE LIBOR plus 675 bps),

    

8.803%, 7-31-25

   335   232
   

 

Hotels, Resorts & Cruise Lines – 0.6%

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

    

7.711%, 5-9-20

   251   252

Hotel del Coronado (1-Month U.S. LIBOR plus 500 bps),

    

6.740%, 8-9-20

   150   152

Hudson Delano Senior Mezz LLC (1-Month U.S. LIBOR plus 650 bps),

    

8.240%, 2-9-20

   1,700   1,703

International Cruise & Excursion Gallery, Inc. (ICE LIBOR plus 525 bps),

    

7.049%, 6-8-25

   197   195

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

    

7.711%, 5-9-20

   642   643
   

 

    2,945
   

 

Housewares & Specialties – 0.1%

KIK Custom Products, Inc. (ICE LIBOR plus 400 bps),

    

5.792%, 5-15-23

   697   683
   

 

Restaurants – 0.1%

CEC Entertainment, Inc. (ICE LIBOR plus 650 bps),

    

8.299%, 8-30-26

   514   492

NPC International, Inc. (ICE LIBOR plus 750 bps),

    

9.427%, 4-18-25

   572   59
   

 

    551
   

 

Specialized Consumer Services – 0.2%

Asurion LLC (ICE LIBOR plus 600 bps),

    

8.299%, 8-4-25

   666   674

frontdoor, Inc. (ICE LIBOR plus 250 bps),

    

4.313%, 8-16-25

   247   249
   

 

    923
   

 

Specialty Stores – 0.9%

Jo-Ann Stores, Inc. (ICE LIBOR plus 500 bps),

    

6.934%, 10-16-23

   552   382

Jo-Ann Stores, Inc. (ICE LIBOR plus 925 bps),

    

11.042%, 5-21-24

   671   230

PETCO Animal Supplies, Inc. (ICE LIBOR plus 325 bps),

    

5.177%, 1-26-23

   580   492

PetSmart, Inc.,

    

0.000%, 3-11-22(N)

   33   33

PetSmart, Inc. (3-Month ICE LIBOR plus 300 bps),

    

5.740%, 3-11-22

   1,797   1,776

Staples, Inc. (ICE LIBOR plus 500 bps),

    

6.691%, 4-12-26

   926   909
   

 

    3,822
   

 

Textiles – 0.2%

SIWF Holdings, Inc. (ICE LIBOR plus 425 bps),

    

6.049%, 6-15-25

   695   691
   

 

Tires & Rubber – 0.1%

Wheel Pros, Inc. (ICE LIBOR plus 475 bps),

    

6.549%, 4-4-25

   246   242
   

 

Total Consumer Discretionary - 2.8%   12,820

Consumer Staples

Packaged Foods & Meats – 0.1%

Bellring Brands LLC (ICE LIBOR plus 500 bps),

    

6.799%, 10-21-24

   417   421
   

 

Total Consumer Staples - 0.1%

   421

Energy

Coal & Consumable Fuels – 0.2%

Foresight Energy LLC (ICE LIBOR plus 725 bps),

    

7.659%, 3-28-22

   1,168   498

Westmoreland Coal Co. (ICE LIBOR plus 650 bps),

    

10.150%, 3-15-22(C)

   151   150

Westmoreland Mining Holdings LLC (15.000% Cash or 15.000% PIK),

    

15.000%, 3-15-29(J)

   475   366
   

 

    1,014
   

 

Oil & Gas Drilling – 0.1%

KCA Deutag U.S. Finance LLC (ICE LIBOR plus 675 bps),

    

8.549%, 2-28-23

   491   331
   

 

Oil & Gas Exploration & Production – 0.2%

California Resources Corp. (ICE LIBOR plus 1,037.50 bps),

    

12.180%, 12-31-21

   435   323

California Resources Corp. (ICE LIBOR plus 475 bps),

    

6.555%, 12-31-22

   323   288
   

 

    611
   

 

Oil & Gas Refining & Marketing – 0.1%

EG America LLC (ICE LIBOR plus 400 bps),

    

5.961%, 2-5-25

   292   290
   

 

Oil & Gas Storage & Transportation – 0.4%

Bowie Resources Holdings LLC (ICE LIBOR plus 1,075 bps),

    

12.659%, 2-16-21

   200   187

Bowie Resources Holdings LLC (ICE LIBOR plus 575 bps),

    

7.659%, 8-12-20

   653   635

EPIC Crude Services L.P. (ICE LIBOR plus 500 bps),

    

7.040%, 3-1-26

   900   862

Lower Cadence Holdings LLC (ICE LIBOR plus 400 bps),

    

5.799%, 5-22-26

   346   341
   

 

    2,025
   

 

Total Energy - 1.0%

   4,271

Financials

Asset Management & Custody Banks – 0.3%

Edelman Financial Holdings II, Inc. (ICE LIBOR plus 675 bps),

    

8.535%, 7-20-26

   689   685

HarbourVest Partners LLC (ICE LIBOR plus 225 bps),

    

3.990%, 3-1-25

   214   214

Jade Germany GmbH (3-Month EURIBOR plus 475 bps),

    

5.750%, 5-31-23

   EUR488   497
   

 

    1,396
   

 

Financial Exchanges & Data – 0.1%

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

    

5.299%, 4-3-25(C)

   $555   557
   

 

Insurance Brokers – 0.1%

NFP Corp. (ICE LIBOR plus 300 bps),

    

4.799%, 1-8-24

   418   416
   

 

Investment Banking & Brokerage – 0.2%

ION Trading Finance Ltd. (ICE LIBOR plus 400 bps),

    

6.064%, 11-21-24(C)

   277   265

Jane Street Group LLC (ICE LIBOR plus 300 bps),

    

4.799%, 8-25-22

   828   826
   

 

    1,091
   

 

Multi-Sector Holdings – 0.1%

THG Operations Holdings Ltd.,

    

0.000%, 12-10-26(N)

   EUR250   277
   

 

Other Diversified Financial Services – 0.1%

AqGen Ascensus, Inc. (ICE LIBOR plus 350 bps),

    

5.945%, 12-3-22

   $370   370

AqGen Ascensus, Inc. (ICE LIBOR plus 425 bps),

    

6.049%, 12-3-22(C)

   214   215

New Cotai LLC,

    

0.000%, 7-20-20(N)

   5   5

New Cotai LLC (1-Month U.S. LIBOR plus 25 bps):

    

2.965%, 7-20-20

   7   8

5.000%, 7-20-20

   7   7
   

 

    605
   

 

 

Property & Casualty Insurance – 0.5%

Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps),

    

6.299%, 2-28-25(C)

   1,687   1,569

Amynta Agency Borrower, Inc. (ICE LIBOR plus 850 bps),

    

10.299%, 2-28-26

   502   505
    2,074

Specialized Finance – 0.3%

BCPE Max Dutch Bidco B.V. (3-Month EURIBOR plus 475 bps),

    

4.750%, 10-31-25

   EUR213   240

Gulf Finance LLC (ICE LIBOR plus 525 bps):

    

6.950%, 8-25-23

   $563   440

7.200%, 8-25-23

   336   262

MA FinanceCo. LLC (ICE LIBOR plus 275 bps),

    

4.299%, 6-21-24

   47   47
    989
Total Financials - 1.7%   7,405

Health Care

Biotechnology – 0.1%

Grifols S.A. (3-Month EURIBOR plus 225 bps),

    

2.250%, 11-8-27

   EUR250   283

Health Care Equipment – 0.1%

Exactech, Inc. (ICE LIBOR plus 375 bps),

    

5.549%, 2-14-25

   $246   246

LifeScan Global Corp. (3-Month ICE LIBOR plus 950 bps),

    

11.556%, 10-1-25

   107   92

Patterson Medical Holdings, Inc. (ICE LIBOR plus 475 bps),

    

6.677%, 8-28-22

   245   230
    568

Health Care Facilities – 0.6%

BW NHHC Holdco, Inc. (ICE LIBOR plus 500 bps),

    

6.909%, 5-15-25(C)

   139   111

Gentiva Health Services, Inc. (3-Month ICE LIBOR plus 375 bps),

    

5.563%, 7-2-25

   1,245   1,250

RegionalCare Hospital Partners Holdings, Inc. (ICE LIBOR plus 450 bps),

    

6.202%, 11-16-25

   1,031   1,039

Team Health Holdings, Inc. (ICE LIBOR plus 275 bps),

    

4.549%, 2-6-24

   186   150
    2,550

Health Care Services – 0.9%

Bio Lam LCD SELAS (3-Month EURIBOR plus 375 bps),

    

3.750%, 4-25-26

   EUR500   562

Elysium Healthcare Holdings 3 Ltd. (ICE LIBOR plus 525 bps),

    

6.037%, 4-4-25

   GBP500   620

Hanger, Inc. (ICE LIBOR plus 350 bps),

    

5.299%, 3-6-25

   $246   246

Heartland Dental LLC,

    

0.000%, 4-30-25(N)

   15   15

Heartland Dental LLC (ICE LIBOR plus 375 bps),

    

5.549%, 4-30-25

   676   672

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

    

6.314%, 3-9-25(C)

   166   163

6.314%, 3-17-25(C)

   43   42

U.S. Renal Care, Inc. (3-Month ICE LIBOR plus 500 bps),

    

6.813%, 6-26-26

   1,613   1,597

Vivalto Sante Investissement S.A. (3-Month EURIBOR plus 325 bps),

    

3.250%, 7-9-26

   EUR250   281
    4,198

Health Care Technology – 0.4%

BioClinica Holding I L.P. (ICE LIBOR plus 425 bps),

    

6.063%, 10-20-23

   $340   330

Verscend Holding Corp. (ICE LIBOR plus 450 bps),

    

6.299%, 8-27-25

   1,501   1,510
    1,840

Life Sciences Tools & Services – 0.0%

Syneos Health, Inc. (ICE LIBOR plus 200 bps),

    

3.799%, 8-1-24

   124   125

Pharmaceuticals – 0.3%

Albany Molecular Research, Inc. (ICE LIBOR plus 325 bps),

    

5.049%, 8-31-24

   244   243

Amneal Pharmaceuticals LLC (ICE LIBOR plus 350 bps),

    

5.313%, 5-4-25

   495   443

Concordia International Corp. (ICE LIBOR plus 550 bps),

    

7.447%, 9-6-24

   195   182

Nidda Healthcare Holding GmbH (3-Month EURIBOR plus 400 bps),

    

4.000%, 8-21-24

   EUR250   282
    1,150
Total Health Care - 2.4%   10,714

Industrials

Aerospace & Defense – 0.2%

Bleriot U.S. Bidco, Inc.,

    

0.000%, 11-1-26(N)

   $34   34

Bleriot U.S. Bidco, Inc. (ICE LIBOR plus 475 bps),

    

6.695%, 11-1-26

   216   218

TransDigm, Inc. (ICE LIBOR plus 250 bps),

    

4.299%, 6-9-23

   249   250

Tronair, Inc. (1-Month U.S. LIBOR plus 475 bps),

    

6.659%, 9-8-23(C)

   340   306
    808

Airlines – 0.1%

Kestrel Bidco, Inc. (ICE LIBOR plus 300 bps),

    

4.718%, 10-8-26

   250   252

Building Products – 0.1%

C.H.I. Overhead Doors, Inc. (ICE LIBOR plus 375 bps),

    

5.049%, 7-31-22

   532   534

Construction & Engineering – 0.2%

McDermott Technology (Americas), Inc. (ICE LIBOR plus 500 bps),

    

6.945%, 5-10-25

   940   547

McDermott Technology Americas, Inc.,

    

0.000%, 10-21-21(N)

   242   247

McDermott Technology Americas, Inc. (ICE LIBOR plus 1,000 bps):

    

11.900%, 10-21-21

   69   71

12.002%, 10-21-21

   152   155
    1,020

Diversified Support Services – 0.3%

Creative Artists Agency LLC (ICE LIBOR plus 375 bps),

    

5.549%, 11-26-26

   163   164

United Rentals (North America), Inc. (ICE LIBOR plus 175 bps),

    

3.549%, 10-31-25

   247   248

USS Ultimate Holdings, Inc. (ICE LIBOR plus 775 bps),

    

9.671%, 8-25-25

   570   552
    964

Environmental & Facilities Services – 0.0%

SMI Acquisition, Inc. (ICE LIBOR plus 375 bps),

    

5.677%, 11-1-24

   245   196

U.S. Ecology, Inc. (ICE LIBOR plus 250 bps),

    

4.299%, 11-1-26(C)

   17   17
    213

Industrial Conglomerates – 0.3%

PAE Holding Corp. (ICE LIBOR plus 550 bps),

    

7.349%, 10-20-22

   1,115   1,115

PAE Holding Corp. (ICE LIBOR plus 950 bps),

    

11.349%, 10-20-23

   122   119
    1,234

Industrial Machinery – 0.3%

Dynacast International LLC (ICE LIBOR plus 850 bps),

    

10.445%, 1-30-23

   1,089   1,027

Form Technologies LLC (ICE LIBOR plus 325 bps),

    

5.195%, 1-28-22(C)

   251   243
    1,270

Railroads – 0.1%

Genesee & Wyoming, Inc.,

    

0.000%, 11-5-26(N)

   250   252

Research & Consulting Services – 0.2%

APCO Holdings, Inc. (ICE LIBOR plus 550 bps),

    

7.300%, 6-8-25(C)

   180   177

Guidehouse LLP (1-Month ICE LIBOR plus 450 bps),

    

6.299%, 5-1-25

   249   247

Red Ventures LLC (ICE LIBOR plus 400 bps),

    

4.799%, 11-8-24

   293   295
    719

Security & Alarm Services – 0.0%

Garda World Security Corp. (ICE LIBOR plus 475 bps),

    

6.660%, 10-30-26

   239   240

Total Industrials - 1.8%

   7,506

Information Technology

Application Software – 0.6%

Applied Systems, Inc. (ICE LIBOR plus 700 bps),

    

8.945%, 9-19-25

   334   340
 

ION Corporate Solutions Finance S.a.r.l. (1-Month EURIBOR plus 425 bps),

    

4.250%, 10-24-25

   EUR374   417

Kronos Acquisition Holdings, Inc. (ICE LIBOR plus 700 bps),

    

8.799%, 5-15-23(C)

   $81   80

Mitchell International, Inc. (ICE LIBOR plus 725 bps),

    

9.049%, 11-30-25(C)

   208   199

Riverbed Technology, Inc.,

    

0.000%, 4-24-22(N)

   480   418

Riverbed Technology, Inc. (ICE LIBOR plus 325 bps),

    

5.050%, 4-24-22

   670   582

Seattle Spinco, Inc. (ICE LIBOR plus 275 bps),

    

4.299%, 6-21-24

   315   315

VF Holding Corp. (ICE LIBOR plus 325 bps),

    

5.049%, 7-2-25

   282   278
    2,629

Communications Equipment – 0.3%

MLN U.S. Holdco LLC (ICE LIBOR plus 450 bps),

    

6.191%, 11-30-25

   1,100   1,036

MLN U.S. Holdco LLC (ICE LIBOR plus 875 bps),

    

10.441%, 11-30-26

   470   348
    1,384

Data Processing & Outsourced Services – 0.5%

CommerceHub, Inc. (ICE LIBOR plus 375 bps),

    

5.299%, 5-21-25

   530   518

Cyxtera DC Holdings, Inc.,

    

0.000%, 5-1-25(N)

   109   66

Cyxtera DC Holdings, Inc. (ICE LIBOR plus 300 bps),

    

8.990%, 5-1-25

   461   278

Cyxtera DC Holdings, Inc. (ICE LIBOR plus 325 bps),

    

4.740%, 5-1-24

   508   447

Navicure, Inc. (ICE LIBOR plus 400 bps),

    

5.799%, 10-22-26

   285   286

Output Services Group, Inc. (ICE LIBOR plus 425 bps),

    

6.299%, 3-27-24

   246   203

Sedgwick Claims Management Services, Inc. (ICE LIBOR plus 400 bps),

    

5.799%, 9-4-26

   249   251
    2,049

Electronic Equipment & Instruments – 0.0%

Electronics For Imaging, Inc. (ICE LIBOR plus 500 bps),

    

6.945%, 7-23-26

   250   232

Systems Software – 0.2%

DCert Buyer, Inc. (ICE LIBOR plus 400 bps),

    

5.799%, 10-16-26

   500   501

Park Place Technologies LLC (ICE LIBOR plus 400 bps),

    

5.799%, 3-29-25

   246   244
    745
Total Information Technology - 1.6%   7,039

Materials

Commodity Chemicals – 0.1%

ILPEA Parent, Inc. (ICE LIBOR plus 550 bps),

    

6.550%, 3-2-23

   500   495

Construction Materials – 0.2%

Associated Asphalt Partners LLC (ICE LIBOR plus 525 bps),

    

7.049%, 4-5-24

   170   150

Hillman Group, Inc. (The) (ICE LIBOR plus 350 bps),

    

5.799%, 5-31-25

   710   697
    847

Metal & Glass Containers – 0.1%

Berry Global, Inc. (3-Month EURIBOR plus 250 bps),

    

2.500%, 7-1-26

   EUR201   225

Paper Packaging – 0.0%

Archroma Finance S.a.r.l. (ICE LIBOR plus 425 bps),

    

5.945%, 7-28-24

   $3   3

Specialty Chemicals – 0.2%

Archroma Finance S.a.r.l. (3-Month ICE LIBOR plus 425 bps),

    

5.984%, 7-28-24

   344   341

Hercules Merger Sub LLC (ICE LIBOR plus 275 bps),

    

4.441%, 11-1-26

   250   252

Styrolution Group GmbH (ICE LIBOR plus 375 bps),

    

3.799%, 9-30-21

   210   210
    803
Total Materials - 0.6%   2,373

Real Estate

Industrial REITs – 0.1%

Terra Millennium Corp. (ICE LIBOR plus 625 bps),

    

8.563%, 10-31-22

   480   472

Retail REITs – 0.2%

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

    

7.459%, 1-1-22

   833   845

Total Real Estate - 0.3%

   1,317

TOTAL LOANS – 14.4%

   $61,970

(Cost: $65,842)

SHORT-TERM

SECURITIES

   Shares    

Money Market Funds (P) - 8.4%

Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares,

    

1.550% (O)

   1,001   1,001
State Street Institutional U.S. Government Money Market Fund - Premier Class,    

1.550%

   37,702   37,702
    38,703

TOTAL SHORT-TERM SECURITIES – 8.4%

   $38,703

(Cost: $38,703)

TOTAL INVESTMENT SECURITIES – 99.1%

   $457,311

(Cost: $426,873)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.9%

   4,232

NET ASSETS – 100.0%

   $461,543
 

Notes to Schedule of Investments

 

*

Not shown due to rounding.

(A)

Listed on an exchange outside the United States.

(B)

No dividends were paid during the preceding 12 months.

(C)

Securities whose value was determined using significant unobservable inputs.

(D)

All or a portion of securities with an aggregate value of $1,249 are on loan.

(E)

Restricted securities. At December 31, 2019, the Fund owned the following restricted securities:

 

Security    Acquisition Date(s)       Shares          Cost          Value        

 

  

Pinnacle Agriculture Enterprises LLC

      3-10-17        233      $ 106      $ –*  

Targa Resources Corp., 9.500%

      10-24-17        1        1,415        1,380  
        

 

 

  
         $         1,521      $ 1,380  
        

 

 

  

 

The total value of these securities represented 0.3% of net assets at December 31, 2019.

 

(F)

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.

(G)

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 December 31, 2019 the total value of these securities amounted to $111,872 or 24.2% of net assets.

(H)

Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2019. Description of the reference rate and spread, if applicable, are included in the security description.

(I)

Principal amounts are denominated in the indicated foreign currency, where applicable (EUR - Euro).

(J)

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.

(K)

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 December 31, 2019.

(L)

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

(M)

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

(N)

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

(O)

Investment made with cash collateral received from securities on loan.

(P)

Rate shown is the annualized 7-day yield at December 31, 2019.

The following forward foreign currency contracts were outstanding at December 31, 2019:

 

        Currency to be
Delivered		               Currency to be    
Received		   Settlement
     Date		                          Counterparty             Unrealized
Appreciation		      Unrealized
Depreciation

British Pound

      480    U.S. Dollar           602           1-31-20    JPMorgan Securities LLC             $—    $34

Euro

      1,590    U.S. Dollar      1,770           1-31-20    JPMorgan Securities LLC        —    17

Euro

      5,382    U.S. Dollar      6,973           9-30-21    JPMorgan Securities LLC        699    —
                         $699    $51

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 inputs 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 December 31, 2019:

 

     Level 1      Level 2     Level 3      

 

  

Assets

        

Investments in Securities

        

Common Stocks

        

Communication Services

     $ 8,264      $ —     $ —    

Consumer Discretionary

      4,583        —       —    

Consumer Staples

      16,838        6,281       —    

Energy

      22,299        87       —*   

Financials

      27,360        10,776       —    

Health Care

      16,690        3,943       —    

Industrials

      17,098        —       —    

Information Technology

      13,635        5,773       —    

Materials

      7,963        —       —    

Real Estate

      35,227        7,856       —    

Utilities

      4,620        8,502       —    
  

 

 

  

Total Common Stocks

     $   174,577      $ 43,218     $ —*   

Investment Funds

      1,847        —       —    

Preferred Stocks

      —        1,380       —*   

Warrants

      —        — *      —    

Asset-Backed Securities

      —        10,295       —    

Corporate Debt Securities

      —        119,220       134    

Mortgage-Backed Securities

      —        5,355       —    

Other Government Securities

      —        614       —    

Loans

      —        56,787       5,218    

Short-Term Securities

      38,703        —       —    
  

 

 

  

Total

     $ 215,127      $   236,869     $ 5,352    
  

 

 

  

Forward Foreign Currency Contracts

     $ —      $ 699     $ —    
  

 

 

  

Liabilities

        

Forward Foreign Currency Contracts

     $ —      $ 51     $ —    
  

 

 

  

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    		      Warrants         Corporate
Debt
Securities  		      Loans      

 

  
Beginning Balance 10-1-19      $-        $9        $-*        $-        $4,842  
Net realized gain (loss)      -        -        -         -        (28)  
Net change in unrealized appreciation (depreciation)      (23)        (9)        -         17        (39)  
Purchases      -        -        -         -        212  
Sales      -        -        -         -        (730)  
Amortization/Accretion of premium/discount      -        -        -         -        3  
Transfers into Level 3 during the period      23        -        -         117        3,264  
Transfers out of Level 3 during the period      -        -        -*        -        (2,306)  
  

 

 

  
Ending Balance 12-31-19      $-*        $-*        $-        $134        $5,218  
  

 

 

  
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 12-31-19      $(23)        $(9)        $-        $17        $42  
  

 

 

  

Information about Level 3 fair value measurements:

 

     

Fair Value
at

12-31-19

     Valuation Technique(s)              Unobservable Input(s)     

Input

Value(s)        

Assets

                

Common Stocks

      $-*     Market approach         No market color      N/A

Preferred Stocks

      -*     Transaction         Price      $0

Corporate Debt Securities

      134     Transaction         Price      $40

Loans

      5,218     Third-party valuation service       Broker quotes      N/A
                               

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

CLO = Collateralized Loan Obligation

EURIBOR = Euro Interbank Offered Rate

GTD = Guaranteed

ICE = Intercontinental Exchange

LIBOR = London Interbank Offered Rate

PIK = Payment in Kind

REIT= Real Estate Investment Trust

For Federal income tax purposes, cost of investments owned at December 31, 2019 and the related unrealized appreciation (depreciation) were as follows:

 

Cost

              $426,873  
  

 

 

  

Gross unrealized appreciation

      44,759  

Gross unrealized depreciation

      (14,321)  
  

 

 

  

Net unrealized appreciation

      $30,438