NPORT-EX 2 IASI.htm IVY APOLLO STRATEGIC INCOME SOI HTML
   SCHEDULE OF INVESTMENTS   
 
        Ivy Apollo Strategic Income Fund (in thousands)    DECEMBER 31, 2019 (UNAUDITED)
 
     

 

COMMON STOCKS   Shares   Value  
Canada
Energy – 0.0%

Bellatrix Exploration
Ltd.(A)(B)

   98   $ —*

Health Care – 0.0%

Advanz Pharma Corp.(A)

   7   20

Total Canada - 0.0%

   $20

Hong Kong

Consumer Discretionary – 0.2%

Studio City International Holdings Ltd. ADR(A)

   46   926

Total Hong Kong - 0.2%

   $926

United States

Consumer Discretionary – 0.1%

Laureate Education, Inc., Class A(A)

   20   347

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

   1   —
    347

Energy – 0.0%

McDermott International,
Inc.(A)

   4   3

Westmoreland Coal Co.(A)

   7   87
    90

Total United States - 0.1%

   $437

TOTAL COMMON STOCKS – 0.3%

   $1,383

(Cost: $1,209)

INVESTMENT FUNDS

        

United States – 0.7%

iShares iBoxx $ High Yield Corporate Bond ETF

   39   3,390

TOTAL INVESTMENT FUNDS – 0.7%

   $3,390

(Cost: $3,282)

PREFERRED STOCKS

        

United States

Consumer Staples – 0.0%

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

   389   —*

Energy – 0.3%

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

   1   1,585

Total United States - 0.3%

   $1,585

TOTAL PREFERRED STOCKS – 0.3%

   $1,585

(Cost: $1,801)

WARRANTS

        

United States – 0.0%

Ultra Resources, Inc., expires 7-14-25, Expires 7-14-25(D)

   4   $ —*

TOTAL WARRANTS – 0.0%

   $ —*

(Cost: $1)

ASSET-BACKED
SECURITIES		   Principal     

Cayman Islands – 1.2%

Dewolf Park CLO Ltd., Series 2017-1A, Class E (3-Month U.S. LIBOR plus 620 bps)

    

8.201%, 10-15-30(E)(F)

   $500   490

Dryden Senior Loan Fund, Series 2018-71A, Class D(3-Month U.S. LIBOR plus 390 bps)

    

5.901%, 1-15-29(E)(F)

   500   499

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(E)(F)

   800   735

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

    

8.426%, 4-20-31(E)(F)

   1,000   976

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

    

8.086%, 10-20-31(E)(F)

   500   465

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

    

5.699%, 2-20-30(E)(F)

   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(E)(F)

   250   240

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

    

8.620%, 7-25-29(E)(F)

   1,000   993

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

    

6.216%, 1-20-29(E)(F)

   500   489
    5,376

United States – 1.2%

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

    

5.501%, 7-15-26(E)(F)

   400   399

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

    

7.300%, 1-25-31(E)

   400   400

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

    

9.716%, 7-20-28(F)

   1,350   1,301

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

    

8.384%, 7-23-31(E)(F)

   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(E)(F)

   1,000   934

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

    

7.866%, 7-20-31(E)(F)

   750   697

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

    

6.221%, 7-15-32(E)(F)

   1,000   1,001
    5,449

TOTAL ASSET-BACKED SECURITIES – 2.4%

   $10,825

(Cost: $10,977)

CORPORATE DEBT
SECURITIES		          

Argentina

Energy – 0.2%

Pampa Energia S.A.

    

7.500%, 1-24-27(E)(G)

   1,200   1,023
 

Industrials – 0.1%

Aeropuertos Argentina 2000 S.A.

    

6.875%, 2-1-27(E)

   566   544

Total Argentina - 0.3%

   $1,567

Australia

Financials – 0.3%

Australia and New Zealand Banking Group Ltd.

    

4.500%, 3-19-24(E)

   1,500   1,596

Utilities – 0.3%

Ausgrid Finance Pty Ltd.

    

3.850%, 5-1-23(E)

   1,400   1,457

Total Australia - 0.6%

   $3,053

Austria

Consumer Staples – 0.4%

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

    

7.000%, 1-15-26(E)

   1,500   1,632

7.000%, 1-15-26

   400   435
    2,067

Financials – 0.0%

Vienna Insurance Group AG

    

5.500%, 10-9-43(H)

   EUR100   133

Materials – 0.4%

Bahia Sul Holdings GmbH

    

5.750%, 7-14-26(E)

   $2,000   2,235

Total Austria - 0.8%

   $4,435

Bermuda

Consumer Staples – 0.3%

Bacardi Ltd.

    

4.450%, 5-15-25(E)

   1,100   1,185

Total Bermuda - 0.3%

   $1,185

Brazil

Communication Services – 0.0%

Globo Comunicacoes e Participacoes S.A.

    

4.843%, 6-8-25

   200   206

Industrials – 0.4%

Cosan Ltd.

    

5.500%, 9-20-29(E)

   1,750   1,824

Materials – 0.6%

Fibria Overseas Finance Ltd.

    

4.000%, 1-14-25

   850   878

Nexa Resources S.A.

    

5.375%, 5-4-27

   200   214

Suzano Austria GmbH

    

6.000%, 1-15-29

   200   226

Unigel Luxembourg S.A.

    

8.750%, 10-1-26(E)

   650   662

Vale Overseas Ltd.

    

6.250%, 8-10-26

   1,025   1,203
    3,183

Utilities – 0.2%

Aegea Finance S.a.r.l.

    

5.750%, 10-10-24(E)

   1,000   1,053

Total Brazil - 1.2%

   $6,266

British Virgin Islands

Materials – 0.1%

Gold Fields Orogen Holding Ltd.

    

6.125%, 5-15-29(E)

   200   222

Total British Virgin Islands - 0.1%

   $222

Canada

Communication Services – 0.1%

Quebecor Media, Inc.

    

5.750%, 1-15-23

   255   277

Consumer Discretionary – 0.1%

Gateway Casinos & Entertainment Ltd.

    

8.250%, 3-1-24(E)

   562   575

Energy – 0.8%

Seven Generations Energy Ltd.:

    

6.750%, 5-1-23(E)

   1,257   1,289

5.375%, 9-30-25(E)

   480   482

TransCanada PipeLines Ltd.:

    

3.800%, 10-1-20

   1,000   1,013

4.250%, 5-15-28

   900   999
    3,783

Financials – 0.4%

Royal Bank of Canada:

    

3.700%, 10-5-23

   750   792

4.650%, 1-27-26

   550   610

Tervita Escrow Corp.

    

7.625%, 12-1-21(E)

   244   245
    1,647

Health Care – 0.0%

Advanz Pharma Corp.

    

8.000%, 9-6-24(G)

   81   76

Industrials – 0.3%

GFL Environmental, Inc.:

    

5.375%, 3-1-23(E)

   539   555

7.000%, 6-1-26(E)

   730   771

8.500%, 5-1-27(E)

   168   185
    1,511

Information Technology – 0.5%

Kronos Acquisition Holdings, Inc.

    

9.000%, 8-15-23(E)

   1,909   1,823

Open Text Corp.

    

5.625%, 1-15-23(E)

   531   540
    2,363

Materials – 0.5%

First Quantum Minerals Ltd.:

    

7.250%, 5-15-22(E)

   600   603

6.500%, 3-1-24(E)

   650   651

HudBay Minerals, Inc.:

    

7.250%, 1-15-23(E)

   68   70

7.625%, 1-15-25(E)

   102   108

NOVA Chemicals Corp.:

    

4.875%, 6-1-24(E)

   661   683

5.250%, 6-1-27(E)

   265   272
    2,387

Total Canada - 2.7%

   $12,619

Cayman Islands

Communication Services – 0.4%

CK Hutchison International (16) Ltd.

    

1.875%, 10-3-21(E)

   2,000   1,984

Financials – 0.2%

Banco do Brasil S.A.

    

6.000%, 1-22-20(E)

   1,000   1,003

Industrials – 0.9%

Guanay Finance Ltd.

    

6.000%, 12-15-20

   629   636

LATAM Finance Ltd.:

    

6.875%, 4-11-24(E)

   1,000   1,056

7.000%, 3-1-26(E)

   1,900   2,057

Lima Metro Line 2 Finance Ltd.:

    

5.875%, 7-5-34(E)

   220   255

4.350%, 4-5-36(E)

   200   211
    4,215

Total Cayman Islands - 1.5%

   $7,202

Chile

Consumer Discretionary – 0.2%

Saci Falabella

    

3.750%, 10-30-27(E)

   1,000   1,019

Financials – 0.3%

Banco Santander Chile

    

2.500%, 12-15-20(E)

   1,250   1,248

Utilities – 0.3%

AES Gener S.A.

    

6.350%, 10-7-79(E)

   650   666

Enel Chile S.A.

    

4.875%, 6-12-28

   840   928
    1,594

Total Chile - 0.8%

   $3,861

China

Communication Services – 0.4%

Tencent Holdings Ltd.

    

2.985%, 1-19-23(E)

   1,000   1,015

Weibo Corp.

    

3.500%, 7-5-24

   900   914
    1,929

Consumer Discretionary – 0.5%

Alibaba Group Holding Ltd.:

    

2.800%, 6-6-23

   900   912

3.400%, 12-6-27

   1,500   1,561
    2,473

Energy – 0.4%

Sinopec Group Overseas Development (2018) Ltd.:

    

2.500%, 11-12-24(E)

   1,000   1,002

4.125%, 9-12-25(E)

   800   864
    1,866

Real Estate – 0.1%

Country Garden Holdings Co. Ltd.

    
 

7.125%, 1-27-22

   400   424

Total China - 1.4%

   $6,692

Columbia

Financials – 0.4%

Banco de Bogota S.A.

    

5.375%, 2-19-23(E)(G)

   1,300   1,375

Bancolombia S.A.

    

4.625%, 12-18-29

   500   507
    1,882

Utilities – 0.4%

Empresas Publicas de Medellin E.S.P.

    

4.250%, 7-18-29(E)

   1,900   1,974

Total Columbia - 0.8%

   $3,856

Denmark

Financials – 0.3%

Danske Bank A.S.:

    

5.000%, 1-12-22(E)

   700   735

2.700%, 3-2-22(E)

   800   805
    1,540

Total Denmark - 0.3%

   $1,540

France

Communication Services – 0.6%

Altice France S.A.:

    

7.375%, 5-1-26(E)

   1,194   1,282

8.125%, 2-1-27(E)

   1,300   1,464

3.375%, 1-15-28(E)(H)

   EUR100   115
    2,861

Consumer Discretionary – 0.1%

Klesia Prevoyance

    

5.375%, 12-8-26(H)

   300   361

Consumer Staples – 0.5%

Danone S.A.

    

3.000%, 6-15-22(E)

   $900   920

Pernod Ricard S.A.

    

4.450%, 1-15-22(E)

   1,500   1,569
    2,489

Financials – 0.5%

BNP Paribas S.A.

    

7.625%, 12-29-49(E)

   1,800   1,899

Humanis Prevoyance

    

5.750%, 10-22-25(H)

   EUR300   370

La Mondiale SAM

    

6.750%, 4-25-44(H)

   100   137
    2,406

Total France - 1.7%

   $8,117

Hong Kong

Financials – 0.1%

Bangkok Bank Public Co. Ltd.

    

4.050%, 3-19-24(E)

   $600   634

Real Estate – 0.1%

Shimao Property Holdings Ltd.

    

6.375%, 10-15-21

   400   419

Total Hong Kong - 0.2%

   $1,053

India

Utilities – 0.3%

Adani Green Energy (UP) Ltd., Parampujya Solar Energy Private Ltd. and Prayatna Developers Private Ltd.

    

6.250%, 12-10-24(E)

   900   967

Greenko Mauritius Ltd.

    

6.250%, 2-21-23(E)

   650   668
    1,635

Total India - 0.3%

   $1,635

Indonesia

Energy – 0.1%

PT Pertamina (Persero)

    

5.625%, 5-20-43

   400   466

Utilities – 0.2%

Perusahaan Listrik Negara

    

5.450%, 5-21-28(E)

   700   805

Total Indonesia - 0.3%

   $1,271

Ireland

Real Estate – 0.1%

Avolon Holdings Funding Ltd.

    

5.250%, 5-15-24(E)

   273   298

Total Ireland - 0.1%

   $298

Isle of Man

Consumer Discretionary – 0.4%

GOHL Capital Ltd.

    

4.250%, 1-24-27

   2,000   2,095

Total Isle of Man - 0.4%

   $2,095

Israel

Utilities – 0.0%

Israel Electric Corp. Ltd.

    

5.000%, 11-12-24

   200   220

Total Israel - 0.0%

   $220

Jamaica

Communication Services – 0.2%

Digicel Group Ltd.:

    

6.000%, 4-15-21(E)

   447   348

8.250%, 9-30-22(E)

   195   47

8.250%, 12-30-22(E)

   606   338

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

    

9.125%, 4-1-24(E)(I)

   603   92

Digicel Ltd.

    

6.750%, 3-1-23(E)

   400   232
    1,057

Total Jamaica - 0.2%

   $1,057

Japan

Financials – 0.7%

Mitsubishi UFJ Financial Group, Inc.

    

3.287%, 7-25-27

   600   625

Mizuho Financial Group, Inc.

    

3.170%, 9-11-27

   600   617

Sumitomo Mitsui Financial Group, Inc.:

    

3.748%, 7-19-23

   1,240   1,300

3.936%, 10-16-23

   900   954
    3,496

Total Japan - 0.7%

   $3,496

Luxembourg

Communication Services – 1.3%

Altice Financing S.A.:

    

6.625%, 2-15-23(E)

   263   268

7.500%, 5-15-26(E)

   1,672   1,797

Altice Luxembourg S.A.

    

10.500%, 5-15-27(E)

   1,997   2,277

Intelsat Jackson Holdings S.A.

    

9.500%, 9-30-22(E)

   1,511   1,710

Millicom International Cellular S.A.

    

6.250%, 3-25-29(E)

   200   221
    6,273

Consumer Discretionary – 0.1%

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

    

5.500%, 10-1-21(E)

   500   502

Consumer Staples – 0.3%

Minerva Luxembourg S.A.

    

5.875%, 1-19-28(E)

   1,200   1,260

Energy – 0.2%

Gazprom OAO Via Gaz Capital S.A.

    

7.288%, 8-16-37

   400   560

Offshore Drilling Holding S.A.

    

8.375%, 9-20-20(E)(J)

   1,600   464
    1,024

Financials – 0.0%

ALROSA Finance S.A.

    

4.650%, 4-9-24(E)

   200   213

Cosan Luxembourg S.A.

    

7.000%, 1-20-27(E)

   200   218

Rede D’Or Finance S.a.r.l.

    

4.950%, 1-17-28(G)

   200   207
    638

Industrials – 0.7%

Ingersoll-Rand Luxembourg Finance S.A.

    

2.625%, 5-1-20

   1,500   1,502

Rumo Luxembourg S.a.r.l.

    

7.375%, 2-9-24(E)

   1,750   1,886

Swissport Financing S.a.r.l.

    

5.250%, 8-15-24(E)(H)

   EUR150   179
    3,567

Information Technology – 0.3%

Atento Luxco 1 S.A.

    
 

6.125%, 8-10-22(E)

   $1,525   1,502

Materials – 0.1%

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

    

6.500%, 6-30-27(E)(I)

   353   365

Monitchem Holdco 3 S.A.

    

5.250%, 3-15-25(E)(H)

   EUR100   117
    482

Total Luxembourg - 3.0%

   $15,248

Macau

Consumer Discretionary – 0.3%

Sands China Ltd.

    

5.125%, 8-8-25

   $600   658

Wynn Macau Ltd.:

    

4.875%, 10-1-24(E)

   200   205

5.500%, 10-1-27(E)

   446   464

5.125%, 12-15-29(E)

   71   72
    1,399

Total Macau - 0.3%

   $1,399

Mauritius

Industrials – 0.1%

HTA Group Ltd.

    

9.125%, 3-8-22(E)

   600   618

Total Mauritius - 0.1%

   $618

Mexico

Communication Services – 0.1%

Axtel S.A.B. de C.V.

    

6.375%, 11-14-24(E)

   650   684

Consumer Discretionary – 0.0%

Nemak S.A.B. de C.V.

    

4.750%, 1-23-25

   200   207

Consumer Staples – 0.5%

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

    

4.875%, 6-30-20(E)

   100   101

4.500%, 1-25-22(E)

   1,250   1,299

Kimberly-Clark de Mexico

    

3.800%, 4-8-24(E)

   1,000   1,020
    2,420

Energy – 0.3%

Petroleos Mexicanos

    

6.490%, 1-23-27(E)

   1,300   1,382

Financials – 0.7%

Banco Santander (Mexico) S.A.

    

5.950%, 10-1-28(E)

   350   375

Banco Santander S.A.

    

4.125%, 11-9-22(E)

   2,350   2,441

Nacional Financiera SNC

    

3.375%, 11-5-20(E)

   750   754

Trust F/1401

    

6.390%, 1-15-50(E)

   200   215
    3,785

Industrials – 0.3%

Alfa S.A.B. de C.V.

    

5.250%, 3-25-24(E)

   1,400   1,512

Materials – 1.1%

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

    

5.700%, 1-11-25

   200   206

7.750%, 4-16-26(E)

   550   598

5.450%, 11-19-29(E)

   200   209

Elementia S.A.B. de C.V.

    

5.500%, 1-15-25(E)

   1,000   1,014

Grupo Cementos de Chihuahua S.A.B. de C.V.

    

5.250%, 6-23-24(E)

   2,146   2,224

Industrias Penoles S.A.B. de C.V.

    

5.650%, 9-12-49(E)

   200   213

Orbia Advance Corp. S.A.B. de C.V.

    

4.000%, 10-4-27(E)

   1,200   1,224
    5,688

Real Estate – 0.0%

Fibra Uno Administracion S.A. de C.V.

    

5.250%, 1-30-26

   200   215

Total Mexico - 3.0%

   $15,893

Netherlands

Communication Services – 0.5%

Myriad International Holdings B.V.

    

6.000%, 7-18-20(E)

   350   356

VTR Finance B.V.

    

6.875%, 1-15-24(E)

   1,973   2,017

Ziggo B.V.

    

2.875%, 1-15-30(E)(H)

   EUR173   202
    2,575

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(E)

   $650   678

Marfrig Holdings (Europe) B.V.

    

8.000%, 6-8-23(E)

   650   676
    1,354

Energy – 0.2%

Minejesa Capital B.V.

    

4.625%, 8-10-30

   200   207

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

    

5.999%, 1-27-28

   400   456
    663

Financials – 0.6%

Aegon N.V.

    

4.000%, 4-25-44(H)

   EUR200   250

ASR Nederland N.V.

    

5.125%, 9-29-45(H)

   100   134

Cooperatieve Rabobank U.A.

    

3.875%, 2-8-22

   $625   651

Enel Finance International N.V.

    

4.625%, 9-14-25(E)

   1,450   1,581

Syngenta Finance N.V.

    

5.182%, 4-24-28(E)

   725   780
    3,396

Health Care – 0.2%

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

    

2.800%, 7-21-23

   600   557

6.750%, 3-1-28(G)

   600   609
    1,166

Materials – 0.2%

Braskem Netherlands B.V.:

    

4.500%, 1-10-28(E)

   500   498

4.500%, 1-31-30(E)

   600   597
    1,095

Total Netherlands - 1.9%

   $10,249

Nigeria

Financials – 0.2%

Africa Finance Corp.

    

4.375%, 4-17-26(E)

   900   954

Total Nigeria - 0.2%

   $954

Norway

Energy – 0.5%

Aker BP ASA:

    

6.000%, 7-1-22(E)

   1,500   1,541

4.750%, 6-15-24(E)

   900   934
    2,475

Total Norway - 0.5%

   $2,475

Panama

Communication Services – 0.0%

Cable One, Inc.

    

4.500%, 1-30-30(E)

   200   211

Financials – 0.2%

Banco Latinoamericano de Comercio Exterior S.A.

    

3.250%, 5-7-20(E)

   1,000   1,003

Total Panama - 0.2%

   $1,214

Peru

Consumer Discretionary – 0.2%

InRetail Shopping Malls

    

5.750%, 4-3-28(E)

   1,000   1,069

Financials – 0.5%

Banco de Credito del Peru

    

4.250%, 4-1-23(E)

   550   580

Banco Internacional del Peru S.A.

    

3.250%, 10-4-26(E)

   1,500   1,500

Corporacion Financiera de Desarrolla S.A.

    

4.750%, 2-8-22(E)

   550   574
    2,654

Utilities – 0.4%

Fenix Power Peru S.A.

    

4.317%, 9-20-27

   747   748

Kallpa Generacion S.A.

    
 

4.875%, 5-24-26(E)

   1,000   1,059
    1,807

Total Peru - 1.1%

   $5,530

Qatar

Energy – 0.1%

Ras Laffan Liquefied Natural Gas Co. Ltd. II

    

5.298%, 9-30-20(E)

   256   259

Total Qatar - 0.1%

   $259

Saint Lucia

Communication Services – 0.3%

Digicel International Finance Ltd.

    

8.750%, 5-25-24(E)

   1,447   1,411

Total Saint Lucia - 0.3%

   $1,411

South Korea

Communication Services – 0.1%

SK Telecom Co. Ltd.

    

3.750%, 4-16-23(E)

   500   518

Financials – 0.5%

Hyundai Capital Services, Inc.

    

3.750%, 3-5-23(E)

   1,200   1,237

Kookmin Bank

    

2.125%, 10-21-20(E)

   750   749

Woori Bank

    

2.625%, 7-20-21(E)

   750   754
    2,740

Total South Korea - 0.6%

   $3,258

Spain

Consumer Discretionary – 0.1%

Tasty Bondco 1 S.A.

    

6.250%, 5-15-26(E)(H)

   EUR180   211

Financials – 0.4%

Banco Santander S.A.

    

2.706%, 6-27-24

   $2,000   2,027

Mapfre S.A.

    

4.375%, 3-31-47(H)

   EUR100   132
    2,159

Total Spain - 0.5%

   $2,370

Switzerland

Financials – 0.1%

Credit Suisse Group AG

    

4.282%, 1-9-28(E)

   $700   761

Total Switzerland - 0.1%

   $761

Turkey

Industrials – 0.3%

Koc Holding A.S.

    

6.500%, 3-11-25(E)

   1,200   1,263

Total Turkey - 0.3%

   $1,263

United Arab Emirates

Energy – 0.3%

Abu Dhabi National Energy Co.

    

4.375%, 4-23-25(E)

   1,400   1,508

Financials – 0.6%

DAE Funding LLC:

    

5.750%, 11-15-23(E)

   540   566

5.000%, 8-1-24(E)

   250   263

ICICI Bank Ltd.

    

4.000%, 3-18-26(E)

   1,200   1,247

NBK Tier 1 Financing (2) Ltd.

    

4.500%, 5-27-68(E)

   300   299
    2,375

Industrials – 0.1%

DP World Ltd.

    

6.850%, 7-2-37

   200   263

DP World plc

    

6.850%, 7-2-37(E)

   200   263
    526

Total United Arab Emirates - 1.0%

   $4,409

United Kingdom

Consumer Staples – 0.4%

Imperial Tobacco Finance plc

    

3.750%, 7-21-22(E)

   1,500   1,543

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
    1,755

Energy – 0.3%

EG Global Finance plc:

    

4.375%, 2-7-25(E)(H)

   EUR186   209

6.250%, 10-30-25(E)(H)

   109   129

KCA Deutag UK Finance plc

    

7.250%, 5-15-21(E)

   $1,000   680

Valaris plc

    

7.750%, 2-1-26

   480   271
    1,289

Financials – 1.2%

ANZ New Zealand International Ltd.

    

3.450%, 1-21-28(E)

   500   527

Barclays plc

    

4.337%, 1-10-28

   700   750

HSBC Holdings plc

    

4.583%, 6-19-29

   800   893

Royal Bank of Scotland Group plc (The)

    

6.000%, 12-19-23

   900   1,000

State Bank of India

    

4.375%, 1-24-24(E)

   2,500   2,633
    5,803

Materials – 0.0%

AngloGold Ashanti Holdings plc

    

6.500%, 4-15-40

   120   136

Total United Kingdom - 1.9%

   $8,983

United States

Communication Services – 3.4%

Altice U.S. Finance I Corp.

    

5.500%, 5-15-26(E)

   600   635

CCO Holdings LLC and CCO Holdings Capital Corp.

    

5.000%, 2-1-28(E)

   909   954

Clear Channel Outdoor Holdings, Inc.

    

5.125%, 8-15-27(E)

   996   1,037

Clear Channel Worldwide Holdings, Inc.

    

9.250%, 2-15-24(E)

   706   782

Consolidated Communications Finance II Co.

    

6.500%, 10-1-22(G)

   164   148

CSC Holdings LLC:

    

5.375%, 2-1-28(E)

   960   1,023

5.750%, 1-15-30(E)

   248   265

DISH DBS Corp.:

    

5.875%, 7-15-22

   1,000   1,060

5.875%, 11-15-24

   379   387

7.750%, 7-1-26

   620   657

Frontier Communications Corp.:

    

7.125%, 1-15-23

   81   40

7.625%, 4-15-24

   59   29

6.875%, 1-15-25

   1,122   544

11.000%, 9-15-25

   1,751   849

8.500%, 4-1-26(E)

   2,097   2,123

8.000%, 4-1-27(E)

   1,928   2,015

9.000%, 8-15-31

   56   27

MDC Partners, Inc.

    

6.500%, 5-1-24(E)

   908   822

Neptune Finco Corp.

    

6.625%, 10-15-25(E)

   225   239

Nexstar Escrow Corp.

    

5.625%, 8-1-24(E)

   159   166

West Corp.

    

8.500%, 10-15-25(E)

   2,969   2,375
    16,177

Consumer Discretionary – 2.8%

Allison Transmission, Inc.

    

5.000%, 10-1-24(E)

   178   182

Boyd Gaming Corp.

    

4.750%, 12-1-27(E)

   357   371

Boyne USA, Inc.

    

7.250%, 5-1-25(E)

   476   518

Carvana Co.

    

8.875%, 10-1-23(E)

   687   725

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

    

5.375%, 4-15-27

   405   436

Everi Payments, Inc.

    

7.500%, 12-15-25(E)

   851   913

Golden Nugget, Inc.

    

6.750%, 10-15-24(E)

   1,042   1,078

Laureate Education, Inc.

    

8.250%, 5-1-25(E)

   1,838   1,978

Lennar Corp.

    

4.125%, 1-15-22

   233   239

Lithia Motors, Inc.

    

4.625%, 12-15-27(E)

   187   192
 

Nielsen Finance LLC and Nielsen Finance Co.

    

5.000%, 4-15-22(E)

   172   173

Party City Holdings, Inc.

    

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

   343   242

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

    

7.000%, 5-15-28(E)

   47   50

7.250%, 11-15-29(E)

   47   51

Service Corp. International

    

5.125%, 6-1-29

   341   362

Sonic Automotive, Inc.

    

6.125%, 3-15-27

   213   222

Staples, Inc.:

    

7.500%, 4-15-26(E)

   3,000   3,112

10.750%, 4-15-27(E)

   1,335   1,355

Tesla, Inc. (GTD by SolarCity Corp.)

    

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

   725   703

Volkswagen Group of America, Inc.

    

4.250%, 11-13-23(E)

   1,300   1,385
    14,287

Consumer Staples – 3.5%

Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB)

    

4.000%, 4-13-28

   1,150   1,264

Bunge Ltd. Finance Corp.

    

3.500%, 11-24-20

   3,795   3,842

First Quality Finance Co., Inc.

    

5.000%, 7-1-25(E)

   322   335

JBS USA LLC and JBS USA Finance, Inc.:

    

5.875%, 7-15-24(E)

   1,014   1,043

5.750%, 6-15-25(E)

   1,017   1,053

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

    

6.750%, 2-15-28(E)

   1,014   1,120

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

    

6.500%, 4-15-29(E)

   270   300

5.500%, 1-15-30(E)

   373   401

Keurig Dr Pepper, Inc.

    

4.597%, 5-25-28

   1,075   1,206

NBM U.S. Holdings, Inc.

    

7.000%, 5-14-26(E)

   200   217

Performance Food Group, Inc.:

    

5.500%, 6-1-24(E)

   618   633

5.500%, 10-15-27(E)

   87   93

Pilgrim’s Pride Corp.:

    

5.750%, 3-15-25(E)

   170   176

5.875%, 9-30-27(E)

   636   687

Post Holdings, Inc.:

    

5.500%, 3-1-25(E)

   146   153

5.000%, 8-15-26(E)

   289   305

5.750%, 3-1-27(E)

   1,185   1,271

Reynolds American, Inc.

    

4.450%, 6-12-25

   1,000   1,076

Simmons Foods, Inc.:

    

7.750%, 1-15-24(E)

   314   338

5.750%, 11-1-24(E)

   1,885   1,895
    17,408

Energy – 1.7%

Bellatrix Exploration Ltd.

    

8.500%, 9-11-23(K)

   228   234

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

    

9.500%, 12-15-23(I)(K)

   249   254

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

    

6.125%, 10-1-24

   200   204

6.375%, 7-1-26

   246   249

Chesapeake Energy Corp.

    

11.500%, 1-1-25

   587   555

Comstock Escrow Corp.

    

9.750%, 8-15-26

   2,082   1,890

Crownrock L.P.

    

5.625%, 10-15-25(E)

   1,441   1,470

Endeavor Energy Resources L.P.:

    

5.500%, 1-30-26(E)

   513   529

5.750%, 1-30-28(E)

   347   365

EP Energy LLC and Everest Acquisition Finance, Inc.:

    

9.375%, 5-1-24(E)(K)

   235   5

8.000%, 2-15-25(E)(K)

   248   5

7.750%, 5-15-26(E)(K)

   367   262

Extraction Oil & Gas, Inc.

    

5.625%, 2-1-26(E)

   702   421

Laredo Petroleum, Inc.

    

6.250%, 3-15-23(G)

   185   173

Moss Creek Resources Holdings, Inc.

    

7.500%, 1-15-26(E)

   981   746

Nine Energy Service, Inc.

    

8.750%, 11-1-23(E)

   375   304

QEP Resources, Inc.

    

5.625%, 3-1-26(G)

   309   301

Reliance Holding USA, Inc.

    

4.500%, 10-19-20(E)

   500   508

Sanchez Energy Corp.

    

7.250%, 2-15-23(E)(G)(K)

   122   79

SESI LLC

    

7.125%, 12-15-21(G)

   159   135

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

    

11.000%, 7-12-24(I)

   188   30
    8,719

Financials – 6.7%

Amwins Group, Inc.

    

7.750%, 7-1-26(E)

   1,077   1,190

Bank of America Corp.

    

3.593%, 7-21-28

   1,200   1,271

BBVA Bancomer S.A.:

    

6.500%, 3-10-21(E)

   265   276

5.350%, 11-12-29

   200   202

5.875%, 9-13-34(E)

   1,500   1,571

BCPE Cycle Merger Sub II, Inc.

    

10.625%, 7-15-27(E)

   990   1,015

Citigroup, Inc.

    

3.520%, 10-27-28

   1,250   1,315

Compass Group Diversified Holdings LLC

    

8.000%, 5-1-26(E)

   488   528

Cooperatieve Rabobank U.A.

    

3.125%, 4-26-21

   1,000   1,015

CURO Group Holdings Corp.

    

8.250%, 9-1-25(E)

   549   483

Ford Motor Credit Co. LLC

    

3.096%, 5-4-23

   1,300   1,298

Goldman Sachs Group, Inc. (The)

    

3.814%, 4-23-29

   2,300   2,464

GTCR AP Finance, Inc.

    

8.000%, 5-15-27(E)

   1,119   1,164

HSBC USA, Inc.

    

2.750%, 8-7-20

   1,000   1,004

Hub International Ltd.

    

7.000%, 5-1-26(E)

   918   971

Industrial and Commercial Bank of China Ltd.

    

2.957%, 11-8-22

   750   761

JPMorgan Chase & Co.

    

3.540%, 5-1-28

   1,750   1,857

MetLife, Inc.

    

10.750%, 8-1-39

   530   885

MSCI, Inc.

    

5.250%, 11-15-24(E)

   25   26

National Australia Bank Ltd.

    

3.625%, 6-20-23

   1,500   1,574

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

    

10.625%, 5-1-19(E)(I)(K)

   3,519   1,548

NFP Corp.:

    

6.875%, 7-15-25(E)

   2,595   2,601

8.000%, 7-15-25(E)

   502   512

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

    

6.375%, 6-15-25(E)

   656   643

Rabobank Nederland

    

2.500%, 1-19-21

   750   754
 

Refinitiv U.S. Holdings, Inc.

    

8.250%, 11-15-26(E)

   1,135   1,278

TerraForm Global Operating LLC (GTD by TerraForm Global LLC)

    

6.125%, 3-1-26(E)

   1,150   1,196

TMX Finance LLC and TitleMax Finance Corp.

    

11.125%, 4-1-23(E)

   633   573

Wells Fargo & Co.

    

4.300%, 7-22-27

   1,175   1,286

Wells Fargo & Co. (3-Month U.S. LIBOR plus 377 bps)

    

5.664%, 3-29-49(F)

   726   735
    31,996

Health Care – 3.0%

Avantor, Inc.

    

9.000%, 10-1-25(E)

   1,320   1,475

Bausch Health Cos., Inc.:

    

6.125%, 4-15-25(E)

   419   433

9.000%, 12-15-25(E)

   167   190

9.250%, 4-1-26(E)

   488   560

8.500%, 1-31-27(E)

   604   688

Bayer U.S. Finance II LLC

    

2.850%, 4-15-25(E)

   1,000   976

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

    

7.750%, 5-15-22(E)(I)

   1,080   1,097

Envision Healthcare Corp.

    

8.750%, 10-15-26(E)

   272   169

Fresenius U.S. Finance II, Inc.:

    

4.250%, 2-1-21(E)

   600   612

4.500%, 1-15-23(E)

   2,500   2,633

Heartland Dental LLC

    

8.500%, 5-1-26(E)

   894   915

Hologic, Inc.

    

4.625%, 2-1-28(E)

   154   163

Par Pharmaceutical, Inc.

    

7.500%, 4-1-27(E)

   642   639

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

    

9.750%, 12-1-26(E)

   790   893

Surgery Center Holdings, Inc.

    

10.000%, 4-15-27(E)

   1,074   1,179

Verscend Holding Corp.

    

9.750%, 8-15-26(E)

   1,816   1,986
    14,608

Industrials – 2.5%

Ahern Rentals, Inc.

    

7.375%, 5-15-23(E)

   770   610

Alliance Data Systems Corp.

    

4.750%, 12-15-24(E)

   500   499

BAE Systems Holdings, Inc.

    

3.800%, 10-7-24(E)

   1,100   1,162

JELD-WEN, Inc.

    

4.875%, 12-15-27(E)

   132   135

Prime Security Services Borrower LLC and Prime Finance, Inc.

    

9.250%, 5-15-23(E)

   1,050   1,101

Standard Industries, Inc.:

    

2.250%, 11-21-26(E)(H)

   EUR100   115

4.750%, 1-15-28(E)

   $68   70

TransDigm UK Holdings plc

    

6.875%, 5-15-26

   413   440

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

    

6.500%, 7-15-24

   1,372   1,415

6.500%, 5-15-25

   215   224

6.250%, 3-15-26(E)

   664   719

6.375%, 6-15-26

   287   304

7.500%, 3-15-27

   474   519

5.500%, 11-15-27(E)

   1,248   1,262

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

    

5.875%, 9-15-26

   151   162

Vertiv Group Corp.

    

9.250%, 10-15-24(E)

   142   152

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

    

12.000%, 2-15-22(E)(I)

   71   74

Waste Pro USA, Inc.

    

5.500%, 2-15-26(E)

   94   98

Wolverine Escrow LLC:

    

8.500%, 11-15-24(E)

   1,291   1,336

9.000%, 11-15-26(E)

   1,883   1,973

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

   379   389
    12,759

Information Technology – 1.2%

Cardtronics, Inc. and Cardtronics USA, Inc.

    

5.500%, 5-1-25(E)

   158   164

Italics Merger Sub, Inc.

    

7.125%, 7-15-23(E)

   1,607   1,631

Itron, Inc.

    

5.000%, 1-15-26(E)

   56   58

j2 Cloud Services LLC and j2 Global, Inc.

    

6.000%, 7-15-25(E)

   270   286

NCR Corp.:

    

5.750%, 9-1-27(E)

   174   185

6.125%, 9-1-29(E)

   174   189

NCR Escrow Corp.

    

6.375%, 12-15-23

   965   989

Orbcomm, Inc.

    

8.000%, 4-1-24(E)

   867   832

Pioneer Holding Corp.

    

9.000%, 11-1-22(E)

   713   745

Riverbed Technology, Inc. and Project Homestake Merger Corp.

    

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

   822   473

SSL Robotics LLC

    

9.750%, 12-31-23(E)

   48   52
    5,604

Materials – 1.1%

American Greetings Corp.

    

8.750%, 4-15-25(E)

   897   816

Glencore Funding LLC

    

4.125%, 3-12-24(E)

   1,200   1,256

GUSAP III L.P.

    

4.250%, 1-21-30(E)

   1,100   1,118

Hillman Group, Inc. (The)

    

6.375%, 7-15-22(E)

   1,061   987

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

    

6.250%, 8-15-24(E)

   447   469

5.875%, 9-30-26(E)

   137   146

Pinnacle Operating Corp.

    

9.000%, 5-15-23(B)(E)

   560   224

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

    

5.125%, 7-15-23(E)

   67   68

Sasol Financing USA LLC (GTD by Sasol Ltd.)

    

6.500%, 9-27-28

   200   222

Valvoline Finco Two LLC

    

5.500%, 7-15-24

   150   156
    5,462

Real Estate – 0.5%

Aircastle Ltd.

    

4.400%, 9-25-23

   1,100   1,162

Crown Castle International Corp.

    

3.700%, 6-15-26

   1,500   1,584
    2,746

Utilities – 0.9%

Clearway Energy Operating LLC

    

5.750%, 10-15-25

   371   390

Great Plains Energy, Inc.

    

4.850%, 6-1-21

   1,500   1,547

NRG Yield Operating LLC

    

5.000%, 9-15-26

   384   397

Pacific Gas and Electric Co.:

    

3.750%, 2-15-24(K)

   828   841

5.800%, 3-1-37(K)

   776   809

5.400%, 1-15-40

   8   8

Pattern Energy Group, Inc., Convertible

    

4.000%, 7-15-20

   190   191
    4,183

Total United States - 27.3%

   $133,949
 

Venezuela

Financials – 0.7%

Corporacion Andina de Fomento:

    

3.250%, 2-11-22

   1,600   1,627

4.375%, 6-15-22

   1,500   1,573
    3,200

Total Venezuela - 0.7%

   $3,200

Vietnam

Energy – 0.1%

Mong Duong Finance Holdings B.V.

    

5.125%, 5-7-29(E)

   650   665

Total Vietnam - 0.1%

   $665

TOTAL CORPORATE DEBT SECURITIES – 57.9%

   $285,848

(Cost: $282,149)

MORTGAGE-BACKED SECURITIES        

Cayman Islands – 0.6%

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(E)(F)

   1,000   956

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

    

3.940%, 1-25-38(E)

   1,000   999

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

    

4.540%, 1-25-38(E)

   500   500

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

    

7.486%, 1-28-30(E)(F)

   250   232
    2,687

United States – 1.0%

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

    

5.840%, 4-15-35(E)(F)

   600   604

Atrium Hotel Portfolio Trust, Series 2017-ATRM, Class F (1-Month U.S. LIBOR plus 420 bps)

    

5.940%, 12-15-36(E)(F)

   400   403

JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-FRR1, Class A-K10

    

4.286%, 11-27-49(E)

   2,089   2,083

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

    

4.642%, 2-25-23(E)(F)

   2,000   2,012
    5,102

TOTAL MORTGAGE-BACKED SECURITIES – 1.6%

   $7,789

(Cost: $7,808)

OTHER GOVERNMENT SECURITIES(L)        

Argentina – 0.5%

Republic of Argentina:

    

6.875%, 4-22-21

   3,100   1,674

5.625%, 1-26-22

   1,700   880
    2,554

Brazil – 0.5%

Federative Republic of Brazil

    

4.875%, 1-22-21

   2,500   2,578

Bulgaria – 0.0%

Bulgaria Government Bond

    

3.125%, 3-26-35(H)

   EUR100   146

Columbia – 0.7%

Republic of Colombia:

    

4.375%, 7-12-21

   $1,300   1,341

2.625%, 3-15-23

   1,100   1,101

4.500%, 3-15-29

   800   887
    3,329

Indonesia – 2.0%

Republic of Indonesia:

    

3.750%, 4-25-22(E)

   6,000   6,195

2.950%, 1-11-23

   3,300   3,356
    9,551

Mexico – 0.5%

United Mexican States:

    

3.625%, 3-15-22

   1,550   1,596

4.150%, 3-28-27

   1,000   1,072
    2,668

Panama – 0.2%

Republic of Panama

    

3.750%, 4-17-26

   900   945

Poland – 1.3%

Republic of Poland

    

5.125%, 4-21-21

   6,000   6,249

Qatar – 0.6%

Qatar Government Bond:

    

2.375%, 6-2-21(E)

   2,000   2,005

3.250%, 6-2-26(E)

   1,000   1,053
    3,058

Russia – 0.1%

Russia Government Bond

    

5.100%, 3-28-35(E)

   200   239

Saudi Arabia – 0.5%

Saudi Arabia Government Bond:

    

2.375%, 10-26-21(E)

   1,500   1,505

2.875%, 3-4-23(E)

   1,000   1,017
    2,522

Serbia – 0.0%

Republic of Serbia

    

1.500%, 6-26-29(E)(H)

   EUR200   228

South Africa – 0.1%

Republic of South Africa

    

4.875%, 4-14-26

   $600   624

Turkey – 0.3%

Turkey Government Bond

    

6.350%, 8-10-24

   1,250   1,305

Uruguay – 0.1%

Republica Orient Uruguay

    

4.500%, 8-14-24

   600   649

TOTAL OTHER GOVERNMENT SECURITIES – 7.4%

   $36,645

(Cost: $38,186)

LOANS(F)

        

Canada

Consumer Discretionary – 0.2%

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

    

5.792%, 5-15-23

   850   833

Industrials – 0.1%

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

    

4.718%, 10-8-26

   250   252

Information Technology – 0.0%

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

    

8.799%, 5-15-23(B)

   94   93

Total Canada - 0.3%

   $1,178

France

Health Care – 0.2%

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

    

3.750%, 4-25-26(H)

   EUR500   562

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

    

3.250%, 7-9-26(H)

   250   281
    843

Total France - 0.2%

   $843

Germany

Financials – 0.1%

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

    

5.750%, 5-31-23(H)

   488   497
 

Health Care – 0.1%

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

    

4.000%, 8-21-24(H)

   250   282

Total Germany - 0.2%

   $779

Ireland

Financials – 0.1%

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

    

6.064%, 11-21-24(B)

   $277   265

Total Ireland - 0.1%

   $265

Isle Of Man

Consumer Discretionary – 0.1%

GVC Holdings plc (ICE LIBOR plus 250 bps)

    

4.446%, 3-16-24

   246   247

Total Isle Of Man - 0.1%

   $247

Luxembourg

Communication Services – 0.0%

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

    

3.250%, 5-15-26(H)

   EUR153   172

Information Technology – 0.1%

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

    

4.250%, 10-24-25(H)

   374   417

Materials – 0.1%

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

    

5.984%, 7-28-24

   $344   341

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

    

5.945%, 7-28-24

   3   3
    344

Total Luxembourg - 0.2%

   $933

Netherlands

Communication Services – 0.1%

Telenet Financing USD LLC (ICE LIBOR plus 225 bps)

    

3.990%, 8-15-26

   250   251

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

    

3.000%, 1-31-29(H)

   EUR250   280
    531

Financials – 0.1%

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

    

4.750%, 10-31-25(H)

   213   240

Total Netherlands - 0.2%

   $771

Saint Lucia

Communication Services – 0.2%

Digicel International Finance Ltd.

    

0.000%, 5-27-24(M)

   $85   76

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

    

5.340%, 5-27-24

   981   872
    948

Total Saint Lucia - 0.2%

   $948

Spain

Health Care – 0.1%

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

    

2.250%, 11-8-27(H)

   EUR250   283

Total Spain - 0.1%

   $283

United Kingdom

Financials – 0.1%

THG Operations Holdings Ltd.

    

0.000%, 12-10-26(H)(M)

   250   277

Health Care – 0.1%

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

    

6.037%, 4-4-25(H)

   GBP500   620

Total United Kingdom - 0.2%

   $897

United States

Communication Services – 1.6%

Advantage Sales & Marketing, Inc.

    

0.000%, 7-25-21(M)

   $10   9

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

    

5.049%, 7-25-21

   557   538

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

    

8.299%, 7-25-22

   530   468

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

    

4.549%, 11-1-22

   933   935

4.549%, 1-31-25

   644   646

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

    

5.299%, 8-1-26

   1,192   1,198

CSC Holdings LLC (ICE LIBOR plus 225 bps)

    

3.990%, 7-17-25

   210   210

Frontier Communications Corp.

    

0.000%, 6-15-24(M)

   62   62

Frontier Communications Corp. (ICE LIBOR plus 375 bps)

    

5.550%, 6-15-24

   564   566

Iridium Satellite LLC (ICE LIBOR plus 375 bps)

    

5.549%, 11-4-26

   250   253

Level 3 Parent LLC (ICE LIBOR plus 175 bps)

    

3.549%, 3-1-27

   148   149

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

    

4.452%, 9-19-26

   250   251

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

    

6.299%, 8-31-25(B)

   218   219

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

   277   274

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

    

5.927%, 10-10-24

   2,041   1,725
    7,753

Consumer Discretionary – 2.5%

Asurion LLC (ICE LIBOR plus 600 bps)

    

8.299%, 8-4-25

   731   739

Belk, Inc. (ICE LIBOR plus 675 bps)

    

8.803%, 7-31-25

   392   271

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

    

4.436%, 11-7-26

   250   251

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

    

8.299%, 8-30-26

   618   592

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

   215   216

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

    

6.990%, 11-9-20

   800   804

frontdoor, Inc. (ICE LIBOR plus 250 bps)

    

4.313%, 8-16-25

   247   249

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

    

6.740%, 8-9-20

   120   122

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

    

8.240%, 2-9-20

   1,300   1,302

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

    

7.049%, 6-8-25

   197   195

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

    

6.934%, 10-16-23

   708   491

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

    

11.042%, 5-21-24

   784   269

Neiman Marcus Group Ltd. LLC

    

0.000%, 10-25-23(I)(M)

   6   5

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

    

7.713%, 10-25-20

   327   269

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

    

0.000%, 10-25-20(M)

   44   37

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

    

9.427%, 4-18-25

   616   63

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

    

3.799%, 10-19-23

   90   89

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

    

5.177%, 1-26-23

   672   569

PetSmart, Inc.

    

0.000%, 3-11-22(M)

   36   35

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

    

5.740%, 3-11-22

   1,581   1,562

Rough Country LLC (ICE LIBOR plus 375 bps)

    

5.299%, 5-25-23(B)

   224   221

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

    

6.049%, 6-15-25

   794   790

Staples, Inc. (ICE LIBOR plus 500 bps)

    

6.691%, 4-12-26

   1,075   1,055

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

    

8.799%, 11-28-22(B)

   816   795

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

    

7.711%, 5-9-20

   550   551

TRLG Intermediate Holdings LLC

    

10.000%, 10-27-22

   146   138

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

    

6.549%, 4-4-25

   246   242
    11,922

Consumer Staples – 0.1%

Bellring Brands LLC (ICE LIBOR plus 500 bps)

    

6.799%, 10-21-24

   499   504

Energy – 0.9%

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

    

12.659%, 2-16-21

   266   249

Bowie Resources Holdings LLC (ICE LIBOR plus 575 bps)

    

7.659%, 8-12-20

   868   844

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

    

12.180%, 12-31-21

   510   378

California Resources Corp. (ICE LIBOR plus 475 bps)

    

6.555%, 12-31-22

   376   335

EG America LLC (ICE LIBOR plus 400 bps)

    

5.961%, 2-5-25

   292   290

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

    

7.040%, 3-1-26

   1,100   1,053

Foresight Energy LLC (ICE LIBOR plus 725 bps)

    

7.659%, 3-28-22

   1,584   676

Lower Cadence Holdings LLC (ICE LIBOR plus 400 bps)

    

5.799%, 5-22-26

   367   362

Westmoreland Coal Co. (ICE LIBOR plus 650 bps)

    

10.150%, 3-15-22(B)

   151   150

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

    

15.000%, 3-15-29(I)

   475   366
    4,703

Financials – 1.4%

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

    

6.299%, 2-28-25(B)

   1,815   1,688

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

    

10.299%, 2-28-26

   545   547

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

    

5.945%, 12-3-22

   552   552

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

    

8.535%, 7-20-26

   780   776

Gulf Finance LLC (ICE LIBOR plus 525 bps):

    

7.200%, 8-25-23

   406   317

6.950%, 8-25-23

   680   530

HarbourVest Partners LLC (ICE LIBOR plus 225 bps)

    

3.990%, 3-1-25

   214   214

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

    

5.299%, 4-3-25(B)

   639   643

Jane Street Group LLC (ICE LIBOR plus 300 bps)

    

4.799%, 8-25-22

   973   970

MA FinanceCo. LLC (ICE LIBOR plus 275 bps)

    

4.299%, 6-21-24

   37   37

New Cotai LLC

    

0.000%, 7-20-20(M)

   6   6

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

    

2.965%, 7-20-20

   10   9

5.000%, 7-20-20

   10   10

NFP Corp. (ICE LIBOR plus 300 bps)

    

4.799%, 1-8-24

   526   524
    6,823

Health Care – 1.9%

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

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

    

6.063%, 10-20-23

   146   142

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

    

6.909%, 5-15-25(B)

   139   111

Concordia International Corp. (ICE LIBOR plus 550 bps)

    

7.447%, 9-6-24

   220   205

Exactech, Inc. (ICE LIBOR plus 375 bps)

    

5.549%, 2-14-25

   246   246

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

    

5.563%, 7-2-25

   1,410   1,416

Hanger, Inc. (ICE LIBOR plus 350 bps)

    

5.299%, 3-6-25

   246   246

Heartland Dental LLC

    

0.000%, 4-30-25(M)

   17   17

Heartland Dental LLC (ICE LIBOR plus 375 bps)

    

5.549%, 4-30-25

   766   762

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

    

11.556%, 10-1-25

   122   105

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

    

6.314%, 3-9-25(B)

   166   163

6.314%, 3-17-25(B)

   43   42

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

    

6.677%, 8-28-22

   245   230

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

    

6.202%, 11-16-25

   1,152   1,160

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

    

3.799%, 8-1-24

   124   125

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

    

4.549%, 2-6-24

   146   118

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

    

6.813%, 6-26-26

   1,981   1,961

Verscend Holding Corp. (ICE LIBOR plus 450 bps)

    

6.299%, 8-27-25

   1,728   1,738
    9,473

Industrials – 1.7%

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

    

7.300%, 6-8-25(B)

   180   177

Bleriot U.S. Bidco, Inc.

    

0.000%, 11-1-26(M)

   34   34

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

    

6.695%, 11-1-26

   216   218

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

    

5.049%, 7-31-22

   435   437

Creative Artists Agency LLC (ICE LIBOR plus 375 bps)

    

5.549%, 11-26-26

   174   175

Dynacast International LLC (ICE LIBOR plus 850 bps)

    

10.445%, 1-30-23

   1,313   1,238

Form Technologies LLC (ICE LIBOR plus 325 bps)

    

5.195%, 1-28-22(B)

   301   292

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

    

6.660%, 10-30-26

   239   240

Genesee & Wyoming, Inc.

    

0.000%, 11-5-26(M)

   250   252

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

    

6.299%, 5-1-25

   249   247

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

    

6.945%, 5-10-25

   1,058   616

McDermott Technology Americas, Inc.

    

0.000%, 10-21-21(M)

   268   273

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

    

12.002%, 10-21-21

   171   175

11.900%, 10-21-21

   78   79

PAE Holding Corp. (ICE LIBOR plus 550 bps)

    

7.349%, 10-20-22

   1,389   1,389

PAE Holding Corp. (ICE LIBOR plus 950 bps)

    

11.349%, 10-20-23

   134   131

Red Ventures LLC (ICE LIBOR plus 400 bps)

    

4.799%, 11-8-24

   293   295

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

    

5.677%, 11-1-24

   245   196

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(B)

   146   131

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

    

4.299%, 11-1-26

   17   17

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

   702   680

William Morris Endeavor Entertainment LLC (ICE LIBOR plus 275 bps):

    

4.680%, 5-18-25

   76   75

4.550%, 5-18-25

   101   100
    7,965

Information Technology – 1.3%

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

    

8.945%, 9-19-25

   384   391

CommerceHub, Inc. (ICE LIBOR plus 375 bps)

    

5.299%, 5-21-25

   598   585

Cyxtera DC Holdings, Inc.

    

0.000%, 5-1-25(M)

   118   71

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

    

8.990%, 5-1-25

   507   305

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

    

4.740%, 5-1-24

   606   533

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

    

5.799%, 10-16-26

   500   501

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

    

6.945%, 7-23-26

   250   232

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

    
 

9.049%, 11-30-25(B)

   237   227

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

    

6.191%, 11-30-25

   1,228   1,158

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

    

10.441%, 11-30-26

   534   395

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

Park Place Technologies LLC (ICE LIBOR plus 400 bps)

    

5.799%, 3-29-25

   246   244

Riverbed Technology, Inc.

    

0.000%, 4-24-22(M)

   426   371

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

    

5.050%, 4-24-22

   599   521

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

    

4.299%, 6-21-24

   247   247

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

    

5.799%, 9-4-26

   249   251

VF Holding Corp. (ICE LIBOR plus 325 bps)

    

5.049%, 7-2-25

   282   278
    6,799

Materials – 0.5%

Associated Asphalt Partners LLC (ICE LIBOR plus 525 bps)

    

7.049%, 4-5-24

   128   113

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

    

2.500%, 7-1-26

   EUR201   226

Hercules Merger Sub LLC (ICE LIBOR plus 275 bps)

    

4.441%, 11-1-26

   $250   252

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

    

5.799%, 5-31-25

   828   813

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

    

6.550%, 3-2-23

   377   373

Styrolution Group GmbH (ICE LIBOR plus 375 bps)

    

3.799%, 9-30-21

   52   52
    1,829

Real Estate – 0.3%

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

    

7.459%, 1-1-22

   952   966

Terra Millennium Corp. (ICE LIBOR plus 625 bps)

    

8.563%, 10-31-22

   377   371
    1,337

Total United States - 12.2%

   $59,108

TOTAL LOANS – 14.0%

   $66,252

(Cost: $70,536)

UNITED STATES

GOVERNMENT AGENCY

OBLIGATIONS

        

United States – 0.3%

Federal Home Loan Mortgage Corp. Agency REMIC/CMO

    

2.500%, 6-15-39

   603   607

Federal National Mortgage Association Agency REMIC/CMO:

    

2.000%, 4-25-40

   516   516

3.000%, 2-25-44

   151   154

Federal National Mortgage Association Fixed Rate Pass-Through Certificates

    

4.646%, 7-1-20

   102   102

Government National Mortgage Association Fixed Rate Pass-Through Certificates

    

3.500%, 4-20-34

   82   84
    1,463

TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.3%

   $1,463

(Cost: $1,474)

UNITED STATES

GOVERNMENT

OBLIGATIONS

        

United States – 8.5%

U.S. Treasury Bonds

    

2.250%, 11-15-25

   2,250   2,309

U.S. Treasury Notes:

    

1.500%, 8-15-20

   1,500   1,499

2.875%, 10-15-21

   1,900   1,942

1.375%, 6-30-23

   2,050   2,031

2.125%, 9-30-24

   1,600   1,630

1.500%, 10-31-24

   5,000   4,954

1.500%, 11-30-24(G)

   500   495

2.875%, 7-31-25

   2,735   2,897

1.875%, 7-31-26

   1,500   1,505

1.500%, 8-15-26

   1,410   1,381

1.375%, 8-31-26

   6,000   5,830

1.625%, 9-30-26

   800   789

1.625%, 10-31-26

   3,400   3,354

1.625%, 8-15-29(G)

   10,500   10,221

1.750%, 11-15-29

   500   492
    41,329

TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 8.5%

   $41,329

(Cost: $41,238)

SHORT-TERM

SECURITIES

   Shares    

Money Market Funds (N) – 5.5%

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

    

1.550%

   24,830   24,830

Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares

    

1.550% (O)

   1,916   1,916
    26,746

TOTAL SHORT-TERM SECURITIES – 5.5%

   $26,746

(Cost: $26,746)

TOTAL INVESTMENT SECURITIES – 98.9%

     $483,255

(Cost: $485,407)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.1%

   5,366

NET ASSETS – 100.0%

   $488,621
 

Notes to Schedule of Investments

 

*

Not shown due to rounding.

(A)

No dividends were paid during the preceding 12 months.

(B)

Securities whose value was determined using significant unobservable inputs.

(C)

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                       389     $ 177      $ –*   

Targa Resources Corp., 9.500%

      10-24-17       1       1,624        1,585   
      

 

 

  
       $           1,801      $           1,585   
      

 

 

  

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

 

(D)

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.

(E)

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 $234,650 or 48.0% of net assets.

(F)

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.

(G)

All or a portion of securities with an aggregate value of $2,214 are on loan.

(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 December 31, 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 annualized 7-day yield at December 31, 2019.

(O)

Investment made with cash collateral received from securities on loan.

 

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       603             1-31-20     JPMorgan Securities LLC       $—     $34

Euro

     1,590       U.S. Dollar       1,774             1-31-20     JPMorgan Securities LLC                —     12

Euro

     5,556       U.S. Dollar       7,198             9-30-21     JPMorgan Securities LLC       721     —
                $721     $46

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

         

Consumer Discretionary

     $ 1,273      $ —      $ —    

Energy

      3        87        —*   

Health Care

      20        —        —    
  

 

 

  

Total Common Stocks

     $ 1,296      $ 87      $ —*   

Investment Funds

      3,390        —        —    

Preferred Stocks

      —        1,585        —*   

Warrants

      —        —*        —    

Asset-Backed Securities

      —        10,825        —    

Corporate Debt Securities

      —          285,624        224    

Mortgage-Backed Securities

      —        7,789        —    

Other Government Securities

      —        36,645        —    

Loans

      —        61,035        5,217    

United States Government Agency Obligations

      —        1,463        —    

United States Government Obligations

      —        41,329        —    

Short-Term Securities

      26,746        —        —    
  

 

 

  

Total

     $ 31,432      $ 446,382      $ 5,441    
  

 

 

  

Forward Foreign Currency Contracts

     $ —      $ 721      $ —    
  

 

 

  

Liabilities

         

Forward Foreign Currency Contracts

     $ —      $ 46      $ —    
  

 

 

  

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      $-        $16        $-*        $-        $5,022  
Net realized gain (loss)      -        -        -        -        (28)  
Net change in unrealized appreciation (depreciation)      (29)        (16)        -        28        (46)  
Purchases      -        -        -        -        -  
Sales      -        -        -        -        (748)  
Amortization/Accretion of premium/discount      -        -        -        -        3  
Transfers into Level 3 during the period      29        -        -        196        3,551  
Transfers out of Level 3 during the period      -        -        -*        -        (2,537)  
Ending Balance 12-31-19      $-*        $-*        $-        $224        $5,217  
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 12-31-19      $(29)        $(16)        $-        $28        $(48)  

Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information.

Information about Level 3 fair value measurements:

 

    

Fair Value at

12-31-19

     Valuation Technique(s)             Unobservable Input(s)       Input Value  

Assets

        

Common Stocks

     $-*     Market approach   No market color     N/A  

Preferred Stocks

     -*     Transaction   Price     $0  

Corporate Debt Securities

     224     Transaction   Price     $40  

Loans

     5,217     Third-party valuation service   Broker quotes     N/A  

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
December 31, 2019 and the related unrealized appreciation
(depreciation) were as follows:

 

  

Cost

      $485,407  
  

 

 

  

Gross unrealized appreciation

      13,856  

Gross unrealized depreciation

      (16,008)  
  

 

 

  

Net unrealized depreciation

                          $(2,152)