NPORT-EX 2 IAMAI.htm IVY APOLLO MULTI-ASSET INCOME FUND SOI 1
   

 

SCHEDULE OF INVESTMENTS

   
     Ivy Apollo Multi-Asset Income Fund (in thousands)    JUNE 30, 2020 (UNAUDITED)
      

 

COMMON STOCKS    Shares      Value

Communication Services

Integrated Telecommunication Services – 1.2%

Verizon Communications, Inc.

      71      $3,936

Wireless Telecommunication Service – 0.2%

SBA Communications Corp.

      3      831

Total Communication Services - 1.4%

 

    4,767

Consumer Discretionary

Apparel Retail – 0.0%

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

      1      —

Apparel, Accessories & Luxury Goods – 0.4%

V.F. Corp.

      24      1,475

Automobile Manufacturers – 0.6%

Subaru Corp.(C)

      90      1,887

Casinos & Gaming – 0.7%

Sands China Ltd.(C)

      630      2,483

Education Services – 0.1%

Laureate Education, Inc., Class A(A)

      11      107

Hotels, Resorts & Cruise Lines – 0.2%

Studio City International Holdings Ltd. ADR(A)

      35      564

Total Consumer Discretionary - 2.0%

 

    6,516

Consumer Staples

Food Distributors – 0.4%

Sysco Corp.

      26      1,436

Household Products – 1.1%

Procter & Gamble Co. (The)

      32      3,865

Hypermarkets & Super Centers – 0.4%

Wal-Mart Stores, Inc.

      12      1,464

Packaged Foods & Meats – 1.8%

Mowi ASA(C)

      102      1,942

Nestle S.A., Registered
Shares(C)

      37      4,069
      6,011

Tobacco – 1.0%

Philip Morris International, Inc.

      45      3,187

Total Consumer Staples - 4.7%

 

    15,963

Energy

Coal & Consumable Fuels – 0.0%

Westmoreland Coal Co.(A)(C)

      7      69

Integrated Oil & Gas – 1.4%

PJSC LUKOIL ADR(C)

      23      1,730

Total S.A.(C)(D)

      80      3,096
      4,826

Oil & Gas Equipment & Services – 0.0%

McDermott International, Inc.(A)(B)

      4      —

Oil & Gas Exploration & Production – 0.5%

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

      76      —*

CNOOC Ltd.(C)

      1,642      1,842
      1,842

Total Energy - 1.9%

 

    6,737

Financials

Asset Management & Custody Banks – 0.5%

3i Group plc(C)

      175      1,798

Consumer Finance – 0.5%

ORIX Corp.(C)

      136      1,694

Diversified Banks – 3.6%

Bank of Montreal(C)

      37      1,993

BNP Paribas S.A.(C)

      73      2,922

DBS Group Holdings Ltd.(C)

      127      1,905

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

      250      1,745

KeyCorp

      148      1,807

PT Bank Mandiri (Persero) Tbk(C)

      5,442      1,890
      12,262

Investment Banking & Brokerage – 0.8%

Morgan Stanley

      58      2,794

Multi-Line Insurance – 1.5%

Axa S.A.(C)(D)

      148      3,106

Zurich Financial Services, Registered Shares(C)

      6      2,089
      5,195

Other Diversified Financial Services – 1.0%

Citigroup, Inc.

      69      3,531

Property & Casualty Insurance – 0.7%

Tokio Marine Holdings, Inc.(C)

      54      2,359

Reinsurance – 0.4%

Munchener Ruckversicherungs-Gesellschaft AG, Registered Shares(C)

      5      1,371

Total Financials - 9.0%

 

    31,004

Health Care

Biotechnology – 1.0%

Amgen, Inc.

      15      3,561

Health Care Equipment – 0.5%

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

      37      1,712

Health Care Services – 0.9%

CVS Caremark Corp.

      47      3,044

Pharmaceuticals – 4.4%

Advanz Pharma Corp.(A)(C)

      6      18

AstraZeneca plc(C)

      41      4,265

GlaxoSmithKline plc(C)

      151      3,051

Roche Holdings AG,
Genusscheine(C)

      12      4,065

Sanofi-Aventis(C)

      33      3,375
      14,774

Total Health Care - 6.8%

 

    23,091

Industrials

Aerospace & Defense – 1.2%

BAE Systems plc(C)

      284      1,696

Lockheed Martin Corp.

      6      2,262
      3,958

Construction & Engineering – 0.6%

Vinci(C)

      22      2,009

Electrical Components & Equipment – 1.7%

Eaton Corp.

      26      2,291

Schneider Electric S.A.(C)

      32      3,532
      5,823

Total Industrials - 3.5%

 

    11,790

Information Technology

Communications Equipment – 1.3%

Cisco Systems, Inc.

      97      4,531

Semiconductors – 2.3%

QUALCOMM, Inc.

      31      2,848

Taiwan Semiconductor Manufacturing Co. Ltd.(C)

      458      4,891
      7,739

Technology Hardware, Storage & Peripherals – 1.2%

Samsung Electronics Co. Ltd.(C)

      93      4,118

Total Information Technology - 4.8%

 

    16,388

Materials

Construction Materials – 0.6%

CRH plc(C)

      53      1,828

Diversified Chemicals – 0.6%

Eastman Chemical Co.

      30      2,108

Diversified Metals & Mining – 0.9%

Anglo American plc(C)

      133      3,072

Total Materials - 2.1%

 

    7,008

Real Estate

Diversified Real Estate Activities – 0.7%

CapitaLand Ltd.(C)

      94      198

Daibiru Corp.(C)

      10      90

Heiwa Real Estate Co. Ltd.(C)

      4      117

Henderson Land Development Co. Ltd.(C)

      8      32

Mitsubishi Estate Co. Ltd.(C)

      36      531

Mitsui Fudosan Co. Ltd.(C)

      22      386

New World Development Co.
Ltd.(C)

      85      401

Nomura Real Estate Holdings,
Inc.(C)

      11      201

Sun Hung Kai Properties Ltd.(C)

      45      578

Tokyu Fudosan Holdings
Corp.(C)

      20      96
      2,630

Diversified REITs – 0.7%

Dexus(C)

      31      202

Empire State Realty Trust, Inc., Class A

      28      199

Gecina(C)

      3      327

H&R Real Estate Investment
Trust(C)

      14      103
 

Land Securities Group plc(C)

      38     256

Merlin Properties Socimi S.A.(C)

      40     337

Mirvac Group(C)

      94     142

Nomura Real Estate Master Fund, Inc.(C)

      — *    299

Star Asia Investment Corp.(C)

      — *    24

Tricon Capital Group, Inc.(C)

      12     80

VEREIT, Inc.

      65     421
     2,390

Health Care REITs – 0.6%

Healthcare Trust of America, Inc., Class A

      17     464

Sabra Health Care REIT, Inc.

      6     82

Ventas, Inc.

      15     551

Welltower, Inc.

      15     801
     1,898

Hotel & Resort REITs – 0.2%

Invincible Investment Corp.(C)

      — *    69

Park Hotels & Resorts, Inc.

      14     141

Pebblebrook Hotel Trust

      12     160

Sunstone Hotel Investors, Inc.

      34     277
     647

Industrial REITs – 1.2%

Cambridge Industrial Trust(C)

      119     34

CRE Logistics REIT, Inc.(C)

      — *    59

Duke Realty Corp.

      21     756

First Industrial Realty Trust, Inc.

      14     543

ITOCHU Advance Logistics Investment Corp.(C)

      — *    206

Mapletree Investments Pte Ltd.(C)

      67     139

Mapletree Logistics Trust(C)

      61     86

Mitsubishi Estate Logistics REIT Investment Corp.(C)

      — *    99

Mitsui Fudosan Logistics Park,
Inc.(C)

      — *    246

ProLogis, Inc.

      13     1,214

Safestore Holdings plc(C)

      28     257

SEGRO plc(C)

      43     480
     4,119

Office REITs – 0.9%

Corporate Office Properties Trust

      9     225

Cousins Properties, Inc.(C)

      7     222

Derwent London plc(C)

      8     287

Douglas Emmett, Inc.

      15     454

Global One Corp.(C)

      — *    176

Hibernia REIT plc(C)

      90     114

Highwoods Properties, Inc.

      3     96

Ichigo Office REIT Investment
Corp.(C)

      — *    210

Invesco Office J-REIT, Inc.(C)

      1     99

Japan Excellent, Inc.(C)

      — *    182

Japan Real Estate Investment
Corp.(C)

      — *    221

Kilroy Realty Corp.

      6     354

ORIX JREIT, Inc.(C)

      — *    286

Sankei Real Estate, Inc.(C)

      — *    95
     3,021

Real Estate Development – 0.2%

Cheung Kong (Holdings) Ltd.(C)

      89     533

Wharf (Holdings) Ltd. (The)(C)

      35     169
     702

Real Estate Operating Companies – 0.9%

Deutsche Wohnen AG(C)

      11     472

Entra ASA(C)

      31     402

Grainger plc(C)

      74     263

Hang Lung Properties Ltd.(C)

      80     189

Keihanshin Building Co. Ltd.(C)

      9     118

Vonovia SE(C)

      25     1,541
     2,985

Residential REITs – 1.6%

American Campus Communities, Inc.

      11     368

AvalonBay Communities, Inc.

      8     1,244

Camden Property Trust

      2     213

Canadian Apartment Properties REIT(C)

      21     735

Daiwa Securities Living Investment Corp.(C)

      — *    89

Equity Lifestyle Properties, Inc.

      6     404

Equity Residential

      7     424

Essex Property Trust, Inc.

      2     541

Invitation Homes, Inc.

      47     1,288

Irish Residential Properties REIT plc(C)

      84     133

Starts Proceed Investment
Corp.(C)

      — *    52
     5,491

Retail REITs – 1.1%

Agree Realty Corp.

      2     134

First Capital REIT(C)

      36     365

Fortune(C)

      93     84

Frasers Centrepoint Trust(C)

      104     174

Kenedix Retail Corp.(C)

      — *    99

Link (The)(C)

      27     225

National Retail Properties, Inc.

      11     385

Realty Income Corp.

      9     543

Regency Centers Corp.

      7     342

Retail Properties of America, Inc.

      43     318

Simon Property Group, Inc.

      8     521

Urban Edge Properties

      5     54

Vicinity Centres(C)

      161     161

Weingarten Realty Investors

      12     233
     3,638

Specialized REITs – 1.1%

Big Yellow Group plc(C)

      18     229

CubeSmart

      17     470

Digital Realty Trust, Inc.

      7     984

Equinix, Inc.

      1     420

Public Storage, Inc.

      6     1,243

VICI Properties, Inc.

      18     355
     3,701

Total Real Estate - 9.2%

 

   31,222

Utilities

Electric Utilities – 2.6%

E.ON AG(C)

      178     2,014

ENEL S.p.A.(C)

      506     4,377

Exelon Corp.

      70     2,551
     8,942

Multi-Utilities – 0.6%

RWE Aktiengesellschaft(C)

      57     2,009

Water Utilities – 0.4%

Guangdong Investment Ltd.(C)

      876     1,511

Total Utilities - 3.6%

 

   12,462

TOTAL COMMON STOCKS – 49.0%

 

   $166,948

(Cost: $159,064)

INVESTMENT FUNDS

              

Registered Investment Companies – 0.3%

iShares iBoxx $ High Yield Corporate Bond ETF

      11      898

TOTAL INVESTMENT FUNDS – 0.3%

 

    $898

(Cost: $937)

PREFERRED STOCKS

Consumer Staples

Agricultural Products – 0.0%

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

      233      —*

Total Consumer Staples - 0.0%

 

    —*

Energy

Oil & Gas Exploration & Production – 0.4%

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

      1      1,317

Total Energy - 0.4%

 

    1,317

TOTAL PREFERRED STOCKS – 0.5%

 

    $1,317

(Cost: $1,733)

WARRANTS

              

Oil & Gas Exploration & Production – 0.0%

Ultra Resources, Inc., expires 7-14-25(B)(G)

      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), 4.719%, 7-15-26 (H)(I)

      $600      562

Antares CLO 2017-1A Ltd. (3-Month U.S. LIBOR plus 775 bps), 8.885%,
7-20-28 (I)

      650      514

Audax Senior Debt CLO II LLC, Series 2019-2A, Class C (3-Month U.S LIBOR plus 490 bps), 6.811%, 10-22-29 (H)(I)

      250      234

Fortress Credit BSL Ltd., Series 2018-1A, Class ER (3-Month U.S. LIBOR plus 645 bps), 7.548%,
7-23-31 (H)(I)

      750      507

GoldenTree Loan Management CLO Ltd., Series 2X, Class D (3-Month EURIBOR plus 285 bps), 2.850%, 1-20-32 (E)(I)

      EUR385      379
 

Golub Capital Partners CLO Ltd., Series 2013-17A, Class CR (3-Month U.S. LIBOR plus 350 bps), 4.491%, 10-25-30 (H)(I)

      $1,000      861

Northwoods Capital XI-B Ltd. and Northwoods Capital XI-B LLC, Series 2018-14BA, Class D (3-Month U.S. LIBOR plus 340 bps), 3.834%, 11-13-31 (H)(I)

      1,200      938

Rockford Tower CLO Ltd., Series 2019-2A, Class B (3-Month U.S. LIBOR plus 193 bps), 3.625%, 8-20-32 (H)(I)

      500      487

TIAA Churchill Middle Market CLO I Ltd., Series 2016-1A, Class DR (3-Month U.S. LIBOR plus 390 bps), 5.035%, 10-20-30 (H)(I)

      750      667

Trinitas CLO Ltd., Ser 2019-11A, Class D (3-Month U.S. LIBOR plus 422 bps), 5.439%, 7-15-32 (H)(I)

      1,000      990

Trinitas CLO Ltd., Series 2018-8A, Class E (3-Month U.S. LIBOR plus 590 bps), 7.035%, 7-20-31 (H)(I)

      750      558

Venture CDO Ltd., Series 17-26A, Class D (3-Month U.S. LIBOR plus 425 bps), 5.385%, 1-20-29 (H)(I)

      400      343

Venture CDO Ltd., Series 2020-39A, Class D (3-Month U.S. LIBOR plus 425 bps), 5.710%, 4-15-33 (H)(I)

      750      707

TOTAL ASSET-BACKED SECURITIES – 2.4%

 

    $7,747

(Cost: $8,890)

CORPORATE DEBT SECURITIES

              

Communication Services

Advertising – 0.0%

Lamar Media Corp., 4.000%, 2-15-30(H)

      101      97

Alternative Carriers – 0.0%

Front Range BidCo, Inc., 4.000%, 3-1-27(H)

      120      114

Broadcasting – 0.4%

Clear Channel Outdoor Holdings, Inc., 5.125%, 8-15-27(H)

      822      789

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

      609      565

Globo Comunicacoes e Participacoes S.A., 4.875%, 1-22-30(H)

      200      180

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

      53      53

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

      30      30
      1,617

Cable & Satellite – 2.4%

Altice Financing S.A., 5.000%, 1-15-28(H)

      220      219

Altice France Holding S.A.:

      

10.500%, 5-15-27(H)

      1,706      1,879

6.000%, 2-15-28(H)

      1,081      1,021

Altice France S.A.:

      

7.375%, 5-1-26(H)

      722      754

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

      EUR100      106

CCO Holdings LLC and CCO Holdings Capital Corp.:

      

4.500%, 8-15-30(H)

      $351      358

4.500%, 5-1-32(H)

      107      108

CSC Holdings LLC:

      

5.500%, 5-15-26(H)

      300      308

5.375%, 2-1-28(H)

      186      194

5.750%, 1-15-30(H)

      202      211

DISH DBS Corp.:

      

7.750%, 7-1-26

      498      528

7.375%, 7-1-28(H)

      96      95

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

      471      523

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

      228      239

VTR Comunicaciones S.p.A., 5.125%, 1-15-28(H)

      386      394

VTR Finance B.V.:

      

6.875%, 1-15-24(H)

      1,066      1,090

6.375%, 7-15-28(H)

      591      607

Ziggo B.V., 2.875%, 1-15-30(E)(H)

      EUR170      188
      8,822

Integrated Telecommunication Services – 1.8%

Frontier Communications Corp.:

      

7.125%, 1-15-23(J)

      $40      12

6.875%, 1-15-25(J)

      942      281

11.000%, 9-15-25(J)

      1,409      486

8.500%, 4-1-26(H)(J)

      1,762      1,666

8.000%, 4-1-27(H)(J)

      1,532      1,555

9.000%, 8-15-31(J)

      41      12

Northwest Fiber LLC, 10.750%, 6-1-28(H)

      128      133

Telecom Italia S.p.A.(E)

      EUR200      219

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

      $2,588      2,058
      6,422

Publishing – 0.1%

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

      478      445

Wireless Telecommunication Service – 0.9%

Digicel Group Ltd., 8.750%, 5-25-24(H)

      195      191

Digicel Group Ltd. (5.000% Cash and 3.000% PIK), 8.000%, 4-1-25(H)(K)

      114      28

Digicel Group Ltd. (7.000% Cash or 7.000% PIK), 7.000%, 10-1-68(H)(K)

      87      6

Digicel International Finance Ltd.:

      

8.750%, 5-25-24(H)

      1,676      1,638

8.000%, 12-31-26(H)

      78      47

Digicel International Finance Ltd. (6.000% Cash and 7.000% PIK), 13.000%, 12-31-25(H)(K)

      99      83

Digicel International Finance Ltd. (8.000% Cash and 2.000% PIK or 10.000% PIK), 10.000%, 4-1-24(K)

      710      490

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

      1,000      515
      2,998

Total Communication Services - 5.6%

 

    20,296

Consumer Discretionary

Apparel Retail – 0.2%

Abercrombie & Fitch Management Co. (GTD by Abercrombie & Fitch Co.), 8.750%, 7-15-25(H)

      339      334

L Brands, Inc.:

      

6.875%, 7-1-25(H)

      49      51

9.375%, 7-1-25(H)

      88      88

William Carter Co. (The), 5.500%, 5-15-25(H)

      305      315
      788

Auto Parts & Equipment – 0.0%

Adient U.S. LLC, 9.000%, 4-15-25(H)

      82      88

Automobile Manufacturers – 0.1%

Ford Motor Co.:

      

8.500%, 4-21-23

      205      217

9.000%, 4-22-25

      205      221

Tesla, Inc. (GTD by SolarCity Corp.), 5.300%, 8-15-25(H)

      44      44
      482

Automotive Retail – 0.6%

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

      136      136

Asbury Automotive Group, Inc.:

      

4.500%, 3-1-28(H)

      326      316

4.750%, 3-1-30(H)

      327      319

Carvana Co., 8.875%, 10-1-23(H)

      546      548

Lithia Motors, Inc.:

      

5.250%, 8-1-25(H)

      85      85

4.625%, 12-15-27(H)

      313      310

Sonic Automotive, Inc., 6.125%, 3-15-27

      185      183
      1,897

Casinos & Gaming – 1.2%

Boyd Gaming Corp.:

      

8.625%, 6-1-25(H)

      101      106

4.750%, 12-1-27(H)

      324      278

Churchill Downs, Inc., 5.500%, 4-1-27(H)

      102      99

Colt Merger Sub, Inc.:

      

6.250%, 7-1-25(H)

      387      384

8.125%, 7-1-27(H)

      644      626

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

      565      541

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

      426      349
 

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

      914      657

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

      

5.000%, 10-15-25(H)

      139      128

7.000%, 5-15-28(H)

      43      35

7.250%, 11-15-29(H)

      43      34

Wynn Macau Ltd.:

      

4.875%, 10-1-24(H)

      200      195

5.500%, 10-1-27(H)

      409      405
      3,837

Department Stores – 0.0%

Nordstrom, Inc., 8.750%, 5-15-25(H)

      41      44

Education Services – 0.2%

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

      730      757

Home Improvement Retail – 0.0%

Beacon Roofing Supply, Inc., 4.500%, 11-15-26(H)

      68      67

Homebuilding – 0.2%

K. Hovnanian Enterprises, Inc., 10.500%, 2-15-26(H)

      500      430

Lennar Corp., 4.125%, 1-15-22

      214      217
      647

Hotels, Resorts & Cruise Lines – 0.3%

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

      426      446

Marriott Ownership Resorts, Inc. (GTD by Marriott Vacations Worldwide Corp.), 6.125%, 9-15-25(H)

      250      256

NCL Corp. Ltd., 12.250%, 5-15-24(H)

      199      208
      910

Leisure Facilities – 0.4%

Cedar Fair Entertainment Co., Magnum Management Corp., Canada’s Wonderland Co. and Millennium Operations LLC, 5.500%, 5-1-25(H)

      680      683

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

      356      319

Live Nation Entertainment, Inc., 4.750%, 10-15-27(H)

      202      174

Six Flags Theme Parks, Inc., 7.000%, 7-1-25(H)

      41      42
      1,218

Specialized Consumer Services – 0.1%

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

      EUR200      233

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

      $341      367
      600

Specialty Stores – 0.8%

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

      299      64

Staples, Inc.:

      

7.500%, 4-15-26(H)

      2,584      2,031

10.750%, 4-15-27(H)

      1,117      681
      2,776

Total Consumer Discretionary - 4.1%

 

    14,111

Consumer Staples

Food Distributors – 0.0%

Performance Food Group, Inc., 6.875%, 5-1-25(H)

      51      53

Packaged Foods & Meats – 1.8%

JBS USA LLC and JBS USA Finance, Inc., 5.750%, 6-15-25(H)

      790      800

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

      907      958

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

      

6.500%, 4-15-29(H)

      380      403

5.500%, 1-15-30(H)

      427      438

Pilgrim’s Pride Corp.:

      

5.750%, 3-15-25(H)

      153      152

5.875%, 9-30-27(H)

      550      550

Post Holdings, Inc.:

      

5.000%, 8-15-26(H)

      220      221

5.750%, 3-1-27(H)

      973      1,007

Simmons Foods, Inc.:

      

7.750%, 1-15-24(H)

      274      286

5.750%, 11-1-24(H)

      1,182      1,123
      5,938

Total Consumer Staples - 1.8%

 

    5,991

Energy

Oil & Gas Drilling – 0.2%

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

      1,000      478

Offshore Drilling Holding S.A., 8.375%, 9-20-20(H)(L)

      1,400      324
      802

Oil & Gas Equipment & Services – 0.1%

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

      311      152

Oil & Gas Exploration & Production – 1.5%

Bellatrix Exploration Ltd., 8.500%, 9-11-23(J)

      177      —

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

      193      —

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

      1,161      1,040

Endeavor Energy Resources L.P.:

      

5.500%, 1-30-26(H)

      438      420

5.750%, 1-30-28(H)

      319      306

Endeavor Energy Resources L.P. and EER Finance, Inc., 6.625%, 7-15-25(H)

      237      239

EQT Corp., 6.125%, 2-1-25(D)

      206      205

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

      420      81

Laredo Petroleum, Inc.:

      

9.500%, 1-15-25

      660      456

10.125%, 1-15-28(D)

      440      304

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

      511      255

QEP Resources, Inc.:

      

5.250%, 5-1-23(D)

      210      139

5.625%, 3-1-26

      183      116

Sanchez Energy Corp., 7.250%, 2-15-23(H)(J)

      111      1

Seven Generations Energy Ltd.:

      

6.750%, 5-1-23(H)

      971      932

5.375%, 9-30-25(H)

      419      369
      4,863

Oil & Gas Refining & Marketing – 0.7%

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

      

6.125%, 10-1-24

      163      55

6.375%, 7-1-26

      218      72

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

      1,809      1,692

EG Global Finance plc:

      

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

      EUR169      174

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

      107      117

EP Energy LLC and Everest Acquisition Finance, Inc.:

      

9.375%, 5-1-24(H)(J)

      $207      —*

8.000%, 2-15-25(H)(J)

      221      —*

7.750%, 5-15-26(H)(J)

      323      65

PBF Holding Co. LLC:

      

9.250%, 5-15-25(H)

      135      144

6.000%, 2-15-28(H)

      220      183
      2,502

Total Energy - 2.5%

 

    8,319

Financials

Consumer Finance – 0.2%

Alliance Data Systems Corp., 4.750%, 12-15-24(H)

      465      419

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

      478      382
      801

Diversified Banks – 0.3%

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

      200      207

Banco de Credito del Peru, 3.125%, 7-1-30(H)

      100      99

Bancolombia S.A., 4.625%, 12-18-29

      300      283

Skandinaviska Enskilda Banken AB, 1.375%, 10-31-28(E)

      EUR100      113

TerraForm Power Operating LLC (GTD by TerraForm Power LLC):

      

5.000%, 1-31-28(H)

      $67      70

4.750%, 1-15-30(H)

      341      346
      1,118

Financial Exchanges & Data – 0.3%

Refinitiv U.S. Holdings, Inc., 8.250%, 11-15-26(H)

      972      1,053

Insurance Brokers – 1.0%

Ardonagh Midco 2 plc, 11.500%, 1-15-27(H)

      818      822

NFP Corp.:

      

7.000%, 5-15-25(H)

      203      213

6.875%, 7-15-25(H)

      1,946      1,867

8.000%, 7-15-25(H)

      422      413

Vienna Insurance Group AG, 5.500%, 10-9-43(E)

      EUR100      124
      3,439

Investment Banking & Brokerage – 0.1%

INTL FCStone, Inc., 8.625%, 6-15-25(H)

      $499      521

Life & Health Insurance – 0.5%

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

      EUR200      236

MetLife, Inc.:

      

9.250%, 4-8-38(H)

      $445      617
 

10.750%, 8-1-39

      452      697
      1,550

Multi-line Insurance – 0.0%

La Mondiale SAM, 6.750%, 4-25-44(E)

      EUR100      128

Multi-Line Insurance – 0.2%

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

      100      127

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

      300      361
      488

Other Diversified Financial Services – 0.4%

New Cotai LLC and New Cotai Capital Corp. (10.625% Cash or 10.625% PIK), 10.625%, 5-1-19(H)(J)(K)

      $2,703      1,217

Property & Casualty Insurance – 0.3%

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

      657      690

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

      229      229

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

      EUR100      122
      1,041

Specialized Finance – 0.8%

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

      $809      833

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

      1,143      1,162

Galaxy Bidco Ltd., 6.500%, 7-31-26(E)

      GBP100      125

NBK Tier 1 Financing (2) Ltd., 4.500%, 5-27-68(H)

      $300      284

Techem Verwaltungsgesellschaft 674 mbH, 2.000%, 7-15-25(E)

      EUR400      428
      2,832

Thrifts & Mortgage Finance – 0.2%

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

      $786      735

Total Financials - 4.3%

 

    14,923

Health Care

Health Care Equipment – 0.0%

Hologic, Inc., 4.625%, 2-1-28(H)

      132      137

Health Care Facilities – 0.5%

HCA, Inc. (GTD by HCA Holdings, Inc.), 3.500%, 9-1-30

      50      48

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

      540      551

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

      924      924
      1,523

Health Care Services – 0.3%

Heartland Dental LLC, 8.500%, 5-1-26(H)

      789      714

SYNLAB Bondco plc (3-Month EURIBOR plus 475 bps), 4.492%, 7-1-25(E)(H)(I)

      EUR200      224
      938

Health Care Supplies – 0.1%

Catalent Pharma Solutions, Inc., 2.375%, 3-1-28(E)(H)

      133      141

Health Care Technology – 0.4%

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

      $1,436      1,547

Pharmaceuticals – 0.5%

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

      72      66

Bausch Health Cos., Inc.:

      

9.000%, 12-15-25(H)

      153      165

9.250%, 4-1-26(H)

      441      478

8.500%, 1-31-27(H)

      832      883

Nidda Healthcare Holding AG, 3.500%, 9-30-24(E)(H)

      EUR100      110

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

      $454      466
      2,168

Total Health Care - 1.8%

 

    6,454

Industrials

Aerospace & Defense – 1.8%

Arconic Rolled Products Corp., 6.125%, 2-15-28(H)

      88      88

BBA U.S. Holdings, Inc., 4.000%, 3-1-28(H)

      308      278

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

      366      340

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

      

6.500%, 7-15-24

      1,047      1,008

6.500%, 5-15-25

      200      187

6.250%, 3-15-26(H)

      786      786

6.375%, 6-15-26

      202      184

7.500%, 3-15-27

      408      392

5.500%, 11-15-27

      1,051      917

Wolverine Escrow LLC:

      

8.500%, 11-15-24(H)

      1,167      764

9.000%, 11-15-26(H)

      1,703      1,116

13.125%, 11-15-27(H)

      128      83
      6,143

Airlines – 0.1%

Mileage Plus Holdings LLC, 6.500%, 6-20-27(H)

      465      466

Building Products – 0.0%

JELD-WEN, Inc., 6.250%, 5-15-25(H)

      119      123

Standard Industries, Inc., 2.250%, 11-21-26(E)(H)

      EUR100      106
      229

Diversified Support Services – 0.1%

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

      $665      319

United Rentals (North America), Inc. (GTD by United Rentals, Inc.), 3.875%, 11-15-27

      50      50
      369

Environmental & Facilities Services – 0.0%

GFL Environmental, Inc.:

      

4.250%, 6-1-25(H)

      11      11

5.125%, 12-15-26(H)

      21      22

8.500%, 5-1-27(H)

      86      93

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

      86      82
      208

Industrial Machinery – 0.1%

Energizer Holdings, Inc., 6.375%, 7-15-26(H)

      520      538

Railroads – 0.0%

Lima Metro Line 2 Finance Ltd., 5.875%, 7-5-34(H)

      108      127

Security & Alarm Services – 0.2%

Brink’s Co. (The), 4.625%, 10-15-27(H)

      77      74

Garda World Security Corp. (GTD by GW Intermediate Corp.), 4.625%, 2-15-27(H)

      228      224

Prime Security Services Borrower LLC and Prime Finance, Inc., 6.250%, 1-15-28(H)

      330      311
      609

Total Industrials - 2.3%

 

    8,689

Information Technology

Application Software – 1.0%

ACI Worldwide, Inc., 5.750%, 8-15-26(H)

      16      17

Boxer Parent Co., Inc., 6.500%, 10-2-25(E)(H)

      EUR100      116

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

      $1,663      1,592

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

      1,005      955

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

      905      550

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

      120      122
      3,352

Data Processing & Outsourced Services – 0.1%

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

      206      210

Electronic Equipment & Instruments – 0.4%

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

      567      565

NCR Corp.:

      

8.125%, 4-15-25(H)

      165      175

5.750%, 9-1-27(H)

      113      113

6.125%, 9-1-29(H)

      144      144

Verisure Holding AB (3-Month EURIBOR plus 500 bps), 5.000%, 4-15-25(E)(H)(I)

      EUR200      225
      1,222

IT Consulting & Other Services – 0.1%

Sabre GLBL, Inc. (GTD by Sabre Holdings Corp.), 9.250%, 4-15-25(H)

      $103      108

Science Applications International Corp., 4.875%, 4-1-28(H)

      371      370
      478

Semiconductors – 0.0%

Entegris, Inc., 4.375%, 4-15-28(H)

      51      52

Total Information Technology - 1.6%

 

    5,314

Materials

Aluminum – 0.5%

Constellium N.V.:

      

5.750%, 5-15-24(H)

      1,000      1,000

5.875%, 2-15-26(H)

      391      393

Constellium SE, 5.625%, 6-15-28(H)

      250      246
 

Novelis Corp. (GTD by Novelis, Inc.), 4.750%, 1-30-30(H)

      176      168
      1,807

Commodity Chemicals – 0.2%

NOVA Chemicals Corp.:

      

4.875%, 6-1-24(H)

      508      474

5.250%, 6-1-27(H)

      266      233
      707

Construction Materials – 0.3%

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

      886      818

Gold – 0.0%

AngloGold Ashanti Holdings plc, 6.500%, 4-15-40

      120      138

Metal & Glass Containers – 0.2%

ARD Finance S.A. (6.500% Cash or 7.250% PIK), 6.500%, 6-30-27(H)(K)

      320      317

Ardagh Packaging Finance plc and Ardagh Holdings USA, Inc., 4.125%, 8-15-26(H)

      27      27

Crown Americas LLC and Crown Americas Capital Corp. IV, 4.500%, 1-15-23

      24      24

Crown Americas LLC and Crown Americas Capital Corp. V, 4.250%, 9-30-26

      91      93

HudBay Minerals, Inc.:

      

7.250%, 1-15-23(H)

      65      64

7.625%, 1-15-25(H)

      98      94
      619

Paper Packaging – 0.2%

Graphic Packaging International LLC (GTD by Graphic Packaging International Partners LLC and Field Container Queretaro (USA) LLC), 3.500%, 3-15-28(H)

      304      301

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

      60      61

Sealed Air Corp., 4.000%, 12-1-27(H)

      211      211
      573

Paper Products – 0.2%

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

      774      658

Precious Metals & Minerals – 0.1%

Industrias Penoles S.A.B. de C.V., 5.650%, 9-12-49(H)

      200      174

Specialty Chemicals – 0.0%

Monitchem Holdco 3 S.A., 5.250%, 3-15-25(E)(H)

      EUR100      114

Total Materials - 1.7%

 

    5,608

Real Estate

Diversified Real Estate Activities – 0.1%

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

      $200      207

Real Estate Development – 0.1%

Country Garden Holdings Co. Ltd.:

      

7.250%, 4-4-21

      200      201

7.250%, 4-8-26

      200      217
      418

Total Real Estate - 0.2%

 

    625

Utilities

Electric Utilities – 0.1%

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

      200      224

Multi-Utilities – 0.0%

Grupo Energia Bogota S.A. E.S.P., 4.875%, 5-15-30(H)

      200      210

Renewable Electricity – 0.5%

HAT Holdings I LLC and HAT Holdings II LLC (GTD by Hannon Armstrong Sustainable Infrastructure Capital, Inc.), 6.000%, 4-15-25(H)

      1,188      1,244

NRG Yield Operating LLC, 5.000%, 9-15-26

      366      371
      1,615

Total Utilities - 0.6%

 

    2,049

TOTAL CORPORATE DEBT SECURITIES – 26.5%

 

    $92,598

(Cost: $103,427)

MORTGAGE-BACKED

SECURITIES

              

Other Mortgage-Backed Securities - 1.7%

ALM Loan Funding VII R-2 Ltd., Series 2013-7R2A, Class DR2 (3-Month U.S. LIBOR plus 600 bps), 7.219%, 10-15-27(H)(I)

      700      579

ALM Loan Funding XIX LLC, Series 2015-16A, Class D (3-Month U.S. LIBOR plus 510 bps), 6.319%, 7-15-27(H)(I)

      250      217

Ashford Hospitality Trust, Series 2018-ASHF, Class F (1-Month U.S. LIBOR plus 410 bps), 4.285%, 4-15-35(H)(I)

      600      422

Diameter Credit Funding II Ltd., Series 2019-2A, Class A, 3.940%, 1-25-38(H)

      1,000      997

Diameter Credit Funding II Ltd., Series 2019-2A, Class B, 4.540%, 1-25-38(H)

      500      499

Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class C (3-Month U.S. LIBOR plus 250 bps), 4.080%, 4-15-33(H)(I)

      250      243

Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class D (3-Month U.S. LIBOR plus 350 bps), 5.080%, 4-15-33(H)(I)

      250      232

Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E (3-Month U.S. LIBOR plus 645 bps), 8.030%, 4-15-33(H)(I)

      250      211

Highbridge Loan Management Ltd., Series 2014-4A, Class DR (3-Month U.S. LIBOR plus 555 bps), 6.437%, 1-28-30(H)(I)

      250      207

PNMAC GMSR Issuer Trust, Series 2018-GT1 (1-Month U.S. LIBOR plus 285 bps), 3.035%, 2-25-23(H)(I)

      2,100      2,058
      5,665

TOTAL MORTGAGE-BACKED SECURITIES – 1.7%

 

    $5,665

(Cost: $6,143)

OTHER GOVERNMENT

SECURITIES(M)

              

Uruguay - 0.0%

Republica Orient Uruguay, 4.975%, 4-20-55

      100      128

TOTAL OTHER GOVERNMENT SECURITIES – 0.0%

 

    $128

(Cost: $128)

LOANS(I)

              

Communication Services

Advertising – 0.5%

ABG Intermediate Holdings 2 LLC (ICE LIBOR plus 350 bps), 3.678%, 9-29-24

      198      184

Advantage Sales & Marketing, Inc., 0.000%, 7-25-21(N)

      559      510

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

      

3.558%, 7-25-21

      122      112

4.250%, 7-25-21

      419      381

Advantage Sales & Marketing, Inc. (ICE LIBOR plus 650 bps), 7.500%, 7-25-22

      438      360
      1,547

Alternative Carriers – 0.1%

Front Range BidCo, Inc. (ICE LIBOR plus 300 bps), 3.178%, 3-9-27

      249      236

Level 3 Parent LLC (ICE LIBOR plus 175 bps), 1.928%, 3-1-27

      189      178
      414

Broadcasting – 0.5%

Clear Channel Outdoor Holdings, Inc. (ICE LIBOR plus 350 bps), 4.260%, 8-1-26

      978      884

Nexstar Broadcasting, Inc. (3-Month ICE LIBOR plus 275 bps), 2.923%, 9-19-26

      240      228

Sinclair Television Group, Inc. (ICE LIBOR plus 250 bps), 2.690%, 9-30-26

      248      236
      1,348

Cable & Satellite – 1.0%

CSC Holdings LLC (ICE LIBOR plus 225 bps), 2.435%, 7-17-25

      276      261

Intelsat Jackson Holdings S.A., 0.000%, 7-13-21(N)

      224      226

Intelsat Jackson Holdings S.A. (ICE LIBOR plus 375 bps), 8.000%, 11-27-23(J)

      1,013      1,006

Intelsat Jackson Holdings S.A. (ICE LIBOR plus 550 bps), 6.500%, 7-13-21

      216      219
 

UPC Broadband Holding B.V. (3-Month EURIBOR plus 250 bps), 2.500%, 4-30-29(E)

      EUR500      544

Ziggo B.V. (3-Month EURIBOR plus 300 bps), 3.000%, 1-31-29(E)

      500     

542

      2,798

Integrated Telecommunication Services – 1.6%

CenturyLink, Inc. (3-Month ICE LIBOR plus 225 bps), 2.428%, 3-15-27

      $535      503

CenturyLink, Inc. (ICE LIBOR plus 200 bps), 2.178%, 1-31-25

      444      423

eircom Finco S.a.r.l. (3-Month EURIBOR plus 325 bps), 3.250%, 5-15-26(E)

      EUR153      167

Frontier Communications Corp., 0.000%, 3-15-24(N)

      $882      855

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

      

5.350%, 6-15-24(J)

      494      480

6.000%, 6-15-24(J)

      2      2

Northwest Fiber LLC (ICE LIBOR plus 550 bps):

      

5.673%, 5-1-27(B)

      798      791

5.674%, 5-1-27(B)

      154      152

Telenet Financing USD LLC (ICE LIBOR plus 200 bps), 2.185%, 4-30-28

      250      235

Telenet International Finance S.a.r.l. (6-Month EURIBOR plus 225 bps), 2.250%, 4-30-29(E)

      EUR250      273

West Corp. (3-Month ICE LIBOR plus 400 bps), 5.000%, 10-10-24

      $1,850      1,572
      5,453

Publishing – 0.1%

Recorded Books, Inc. (ICE LIBOR plus 425 bps), 4.444%, 8-31-25

      386      371

Wireless Telecommunication Service – 0.3%

Digicel International Finance Ltd. (ICE LIBOR plus 325 bps), 3.800%, 5-27-24

      431      360

Iridium Satellite LLC (ICE LIBOR plus 375 bps), 4.750%, 11-4-26

      249      244

T-Mobile USA, Inc. (ICE LIBOR plus 300 bps), 3.178%, 4-1-27

      250      250
      854

Total Communication Services - 4.1%

 

    12,785

Consumer Discretionary

Apparel Retail – 0.3%

Speedster Bidco GmbH (3-Month EURIBOR plus 325 bps), 3.250%, 2-14-27(E)

      EUR250      265

Talbots, Inc. (The) (ICE LIBOR plus 700 bps), 8.000%, 11-28-22

      $632      508

TRLG Intermediate Holdings LLC, 10.000%, 10-27-22(J)

      131      57
      830

Automotive Retail – 0.2%

Belron Finance U.S. LLC (ICE LIBOR plus 250 bps), 3.260%, 11-7-26

      249      239

EG Finco Ltd. (3-Month EURIBOR plus 400 bps), 4.000%, 2-5-25(E)

      EUR497      522
      761

Casinos & Gaming – 0.4%

Caesars Resort Collection LLC, 0.000%, 6-19-25(N)

      $250      235

Cosmopolitan of Las Vegas (The) (1-Month U.S. LIBOR plus 525 bps), 5.435%, 11-9-20

      800      794

GVC Holdings plc (ICE LIBOR plus 225 bps), 3.308%, 3-16-24

      244      236

Penn National Gaming, Inc. (ICE LIBOR plus 225 bps), 3.750%, 10-19-23

      88      84
      1,349

Hotels, Resorts & Cruise Lines – 0.3%

CIF Times Square Mezz 1 LLC and CPTS Hotel Lessee Mezz 1 LLC (1-Month U.S. LIBOR plus 600 bps), 7.006%, 7-9-20

      926      925

Hotel del Coronado (1-Month U.S. LIBOR plus 500 bps), 5.185%, 8-9-20

      150      150

International Cruise & Excursion Gallery, Inc. (ICE LIBOR plus 525 bps), 6.322%, 6-8-25

      196      182
      1,257

Housewares & Specialties – 0.2%

KIK Custom Products, Inc. (ICE LIBOR plus 400 bps), 5.000%, 5-15-23

      697      662

Leisure Facilities – 0.2%

Alterra Mountain Co. (ICE LIBOR plus 450 bps), 5.500%, 5-13-26(B)

      249      244

United PF Holdings LLC (ICE LIBOR plus 400 bps), 4.308%, 1-6-27

      547      482

United PF Holdings LLC (ICE LIBOR plus 850 bps), 9.500%, 12-30-26(B)

      136      136
      862

Restaurants – 0.0%

CEC Entertainment, Inc. (ICE LIBOR plus 650 bps), 9.572%, 8-30-26(J)

      298      167

NPC International, Inc. (ICE LIBOR plus 750 bps), 8.500%, 4-18-25

      572      11
      178

Specialized Consumer Services – 0.3%

Asurion LLC (ICE LIBOR plus 600 bps), 6.678%, 8-4-25

      666      661

frontdoor, Inc. (ICE LIBOR plus 250 bps), 2.688%, 8-16-25

      246      238
      899

Specialty Stores – 0.7%

Academy Sports + Outdoors (ICE LIBOR plus 400 bps), 5.000%, 7-2-22

      453      362

Academy Sports + Outdoors (ICE LIBOR plus 500 bps), 0.000%, 7-2-22(N)

      108      86

Jo-Ann Stores, Inc. (ICE LIBOR plus 500 bps), 6.000%, 10-16-23

      701      423

Jo-Ann Stores, Inc. (ICE LIBOR plus 925 bps), 10.250%, 5-21-24

      671      235

Party City Holdings, Inc. (ICE LIBOR plus 250 bps):

      

3.250%, 8-19-22

      9      4

4.100%, 8-19-22

      261      124

PETCO Animal Supplies, Inc. (ICE LIBOR plus 325 bps), 4.250%, 1-26-23

      478      388

Staples, Inc. (ICE LIBOR plus 500 bps), 5.687%, 4-12-26

      922      790
      2,412

Textiles – 0.2%

SIWF Holdings, Inc. (ICE LIBOR plus 425 bps), 5.322%, 6-15-25

      691      643

Tires & Rubber – 0.1%

Wheel Pros, Inc. (ICE LIBOR plus 475 bps), 5.822%, 4-4-25

      146      132

Winter Park Intermediate, Inc. (ICE LIBOR plus 475 bps), 4.928%, 4-4-25

      99      89
      221

Total Consumer Discretionary - 2.9%

 

    10,074

Consumer Staples

Packaged Foods & Meats – 0.2%

Froneri U.S., Inc. (ICE LIBOR plus 225 bps), 2.428%, 1-30-27

      500      469

Upfield B.V. (3-Month EURIBOR plus 350 bps), 3.500%, 7-2-25(E)

      EUR250      267
      736

Total Consumer Staples - 0.2%

 

    736

Energy

Coal & Consumable Fuels – 0.3%

Foresight Energy LLC (ICE LIBOR plus 725 bps), 7.363%, 3-28-22(J)

      $1,168      70

Foresight Energy LLC (ICE LIBOR plus 800 bps), 8.300%, 6-29-27

      263      263

Westmoreland Coal Co. (ICE LIBOR plus 650 bps), 9.250%, 3-15-22(B)

      118      106

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

      512      307
      746

Oil & Gas Drilling – 0.1%

KCA Deutag U.S. Finance LLC (ICE LIBOR plus 675 bps), 7.750%, 2-28-23

      490      231
 

Oil & Gas Equipment & Services – 0.1%

ChampionX Holding, Inc. (ICE LIBOR plus 500 bps), 6.000%, 6-1-27(B)

      386      379

Oil & Gas Exploration & Production – 0.0%

California Resources Corp. (ICE LIBOR plus 1,037.50 bps), 11.375%, 12-31-21

      435      20

California Resources Corp. (ICE LIBOR plus 475 bps), 5.750%, 12-31-22

      323      110
      130

Oil & Gas Refining & Marketing – 0.1%

EG America LLC (ICE LIBOR plus 400 bps), 5.072%, 2-5-25

      290      272

Oil & Gas Storage & Transportation – 0.2%

EPIC Crude Services L.P. (ICE LIBOR plus 500 bps), 5.370%, 3-1-26

      900      687

Oryx Midstream Holdings LLC (ICE LIBOR plus 400 bps), 4.178%, 5-22-26

      60      53
      740

Total Energy - 0.8%

 

    2,498

Financials

Asset Management & Custody Banks – 0.3%

Deerfield Dakota Holding LLC (ICE LIBOR plus 375 bps), 4.750%, 3-5-27

      250      243

Edelman Financial Holdings II, Inc. (ICE LIBOR plus 675 bps), 6.930%, 7-20-26

      689      626

HarbourVest Partners LLC (ICE LIBOR plus 225 bps), 2.565%, 3-1-25

      202      193
      1,062

Financial Exchanges & Data – 0.1%

Refinitiv U.S. Holdings, Inc. (3-Month EURIBOR plus 400 bps), 3.250%, 10-1-25(E)

      EUR138      151

Insurance Brokers – 0.1%

AssuredPartners, Inc. (ICE LIBOR plus 350 bps), 3.678%, 2-13-27

      $249      238

Investment Banking & Brokerage – 0.2%

ION Trading Finance Ltd. (3-Month EURIBOR plus 325 bps), 4.250%, 11-21-24(E)

      EUR249      268

ION Trading Finance Ltd. (ICE LIBOR plus 400 bps), 5.072%, 11-21-24

      $276      264
      532

Multi-Sector Holdings – 0.1%

THG Operations Holdings Ltd. (3-Month EURIBOR plus 450 bps), 4.500%, 12-10-26(E)

      EUR250      275

Other Diversified Financial Services – 0.2%

AqGen Ascensus, Inc. (ICE LIBOR plus 350 bps), 5.072%, 12-3-22

      $368      358

AqGen Ascensus, Inc. (ICE LIBOR plus 425 bps), 5.322%, 12-3-22(B)

      213      206

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

      

2.250%, 7-20-20

      12      12

3.500%, 7-20-20

      7      7
      583

Property & Casualty Insurance – 0.5%

Alera Group Intermediate Holdings, Inc. (3-Month ICE LIBOR plus 450 bps), 5.072%, 8-1-25(B)

      249      238

Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps), 4.678%, 2-28-25

      1,490      1,285
      1,523

Specialized Finance – 0.2%

Gulf Finance LLC (ICE LIBOR plus 525 bps), 6.250%, 8-25-23

      893      572

MA FinanceCo. LLC (ICE LIBOR plus 275 bps), 2.678%, 6-21-24

      43      40
      612

Total Financials - 1.7%

 

    4,976

Health Care

Biotechnology – 0.1%

Grifols S.A. (3-Month EURIBOR plus 225 bps), 2.250%, 11-15-27(E)

      EUR249      273

Health Care Equipment – 0.2%

Exactech, Inc. (ICE LIBOR plus 375 bps), 4.750%, 2-14-25

      $244      209

LifeScan Global Corp. (3-Month ICE LIBOR plus 950 bps), 10.675%, 10-1-25

      107      75

Patterson Medical Holdings, Inc. (ICE LIBOR plus 475 bps), 5.750%, 8-28-22

      243      217
      501

Health Care Facilities – 0.1%

BW NHHC Holdco, Inc. (ICE LIBOR plus 500 bps), 5.386%, 5-15-25

      138      107

Surgery Center Holdings, Inc. (ICE LIBOR plus 325 bps), 4.250%, 8-31-24

      154      135

Surgery Center Holdings, Inc. (ICE LIBOR plus 800 bps), 9.000%, 8-31-24

      49      49

Team Health Holdings, Inc. (ICE LIBOR plus 275 bps), 3.750%, 2-6-24

      185      141
      432

Health Care Services – 1.2%

Elysium Healthcare Holdings 3 Ltd. (ICE LIBOR plus 525 bps), 5.844%, 4-4-25(B)(E)

      GBP500      564

Hanger, Inc. (ICE LIBOR plus 350 bps), 3.678%, 3-6-25

      $244      232

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

      87      78

Heartland Dental LLC (ICE LIBOR plus 375 bps), 3.678%, 4-30-25

      1,009      895

LifePoint Health, Inc. (ICE LIBOR plus 375 bps), 3.928%, 11-16-25

      353      330

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

      

5.322%, 3-9-25(B)

      165      152

5.322%, 3-17-25(B)

      43      39

U.S. Renal Care, Inc. (3-Month ICE LIBOR plus 500 bps), 5.178%, 6-26-26

      1,566      1,503

Vivalto Sante Investissement S.A. (3-Month EURIBOR plus 325 bps), 3.000%, 7-9-26(E)

      EUR250      272
      4,065

Health Care Technology – 0.3%

BioClinica Holding I L.P. (ICE LIBOR plus 425 bps), 5.000%, 10-20-23

      $338      316

Verscend Holding Corp. (ICE LIBOR plus 450 bps), 4.678%, 8-27-25

      587      566
      882

Life Sciences Tools & Services – 0.0%

Syneos Health, Inc. (ICE LIBOR plus 200 bps), 1.928%, 8-1-24(B)

      124      119

Pharmaceuticals – 0.5%

Advanz Pharma Corp. Ltd., 0.000%, 9-6-24(N)

      39      36

Albany Molecular Research, Inc. (ICE LIBOR plus 325 bps), 4.250%, 8-31-24

      243      235

Amneal Pharmaceuticals LLC (ICE LIBOR plus 350 bps), 3.688%, 5-4-25

      492      449

Concordia International Corp. (ICE LIBOR plus 550 bps), 6.500%, 9-6-24

      193      178

Elanco Animal Health, Inc., 0.000%, 2-4-27(N)

      250      238

Endo Luxembourg Finance Co. I S.a.r.l. (ICE LIBOR plus 425 bps), 5.000%, 4-27-24

      103      97

Nidda Healthcare Holding GmbH (3-Month EURIBOR plus 350 bps), 3.500%, 8-21-26(E)

      EUR250      269
      1,502

Total Health Care - 2.4%

 

    7,774

Industrials

Aerospace & Defense – 0.2%

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

      

4.975%, 11-1-26

      $21      20

5.058%, 11-1-26

      135      130

TransDigm, Inc. (ICE LIBOR plus 225 bps), 2.428%, 12-31-25

      248      223

Tronair, Inc. (1-Month U.S. LIBOR plus 475 bps), 5.750%, 9-8-23(B)

      337      249
      622
 

Airlines – 0.3%

Delta Air Lines, Inc. (ICE LIBOR plus 475 bps), 5.510%, 4-27-23

      250      245

Loire Finco Luxembourg S.a.r.l. (ICE LIBOR plus 350 bps), 3.678%, 3-13-27

      500      479

Mileage Plus Holdings LLC, 0.000%, 6-25-27(N)

      250      248
      972

Building Products – 0.2%

C.H.I. Overhead Doors, Inc. (ICE LIBOR plus 375 bps), 4.250%, 7-31-22

      530      515

Construction & Engineering – 0.2%

McDermott Technology Americas, Inc., 0.000%, 10-21-20(N)

      69      69

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

      

0.000%, 5-10-25(J)(N)

      472      162

9.250%, 5-10-25(J)

      940      322

McDermott Technology Americas, Inc. (ICE LIBOR plus 900 bps), 10.000%, 10-21-20

      239      237
      790

Diversified Support Services – 0.1%

Creative Artists Agency LLC (ICE LIBOR plus 375 bps), 3.928%, 11-26-26

      62      59

United Rentals (North America), Inc. (ICE LIBOR plus 175 bps), 1.928%, 10-31-25

      246      237
      296

Electrical Components & Equipment – 0.2%

Gopher Sub, Inc. (ICE LIBOR plus 300 bps), 3.750%, 1-29-25

      249      236

Vertiv Group Corp. (ICE LIBOR plus 300 bps), 3.183%, 3-2-27

      249      235
      471

Environmental & Facilities Services – 0.1%

SMI Acquisition, Inc. (ICE LIBOR plus 375 bps), 4.750%, 11-1-24

      244      158

U.S. Ecology, Inc. (ICE LIBOR plus 250 bps), 2.678%, 11-1-26(B)

      17      17
      175

Human Resource & Employment Services – 0.1%

Fastball Mergersub LLC (ICE LIBOR plus 350 bps), 4.572%, 1-31-27

      221      205

Industrial Conglomerates – 0.3%

PAE Holding Corp. (ICE LIBOR plus 550 bps), 6.500%, 10-20-22(B)

      1,082      1,045

PAE Holding Corp. (ICE LIBOR plus 950 bps), 10.500%, 10-20-23(B)

      59      57
      1,102

Industrial Machinery – 0.4%

Form Technologies LLC (ICE LIBOR plus 325 bps), 4.700%, 1-28-22

      347      281

Form Technologies LLC (ICE LIBOR plus 850 bps), 9.500%, 1-30-23

      1,089      595

Ingersoll-Rand Services Co. (ICE LIBOR plus 175 bps), 1.928%, 2-28-27

      249      237
      1,113

Research & Consulting Services – 0.1%

APCO Holdings, Inc. (ICE LIBOR plus 550 bps), 5.680%, 6-8-25(B)

      178      148

Guidehouse LLP (1-Month ICE LIBOR plus 450 bps), 4.678%, 5-1-25

      248      239
      387

Security & Alarm Services – 0.0%

Garda World Security Corp. (ICE LIBOR plus 475 bps), 4.930%, 10-30-26

      164      161

Total Industrials - 2.2%

 

    6,809

Information Technology

Application Software – 1.2%

Applied Systems, Inc. (ICE LIBOR plus 700 bps), 8.000%, 9-19-25

      334      332

Cornerstone OnDemand, Inc. (ICE LIBOR plus 425 bps), 5.348%, 4-22-27

      250      246

ION Corporate Solutions Finance S.a.r.l. (1-Month EURIBOR plus 425 bps), 4.250%, 10-24-25(E)

      EUR348      375

Kronos Acquisition Holdings, Inc. (ICE LIBOR plus 700 bps), 8.000%, 5-15-23(B)

      $81      79

Mitchell International, Inc. (ICE LIBOR plus 725 bps), 7.428%, 11-30-25

      208      184

Riverbed Technology, Inc. (ICE LIBOR plus 325 bps), 4.250%, 4-24-22

      1,179      1,000

Seattle Spinco, Inc. (ICE LIBOR plus 275 bps), 2.678%, 6-21-24

      290      270

SS&C Technologies, Inc. (ICE LIBOR plus 175 bps), 1.928%, 4-16-25

      497      474

Ultimate Software Group, Inc. (The):

      

0.000%, 5-3-26(N)

      442      436

0.000%, 5-3-27(N)

      102      103

VF Holding Corp. (ICE LIBOR plus 325 bps), 3.428%, 7-2-25

      281      264

VS Buyer LLC (3-Month ICE LIBOR plus 325 bps), 3.428%, 3-2-27

      249      240
      4,003

Communications Equipment – 0.3%

MLN U.S. Holdco LLC (ICE LIBOR plus 450 bps), 4.678%, 11-30-25

      912      741

MLN U.S. Holdco LLC (ICE LIBOR plus 875 bps), 8.928%, 11-30-26

      470      241
      982

Data Processing & Outsourced Services – 0.6%

Cardtronics USA, Inc., 0.000%, 6-24-27(B)(N)

      347     340

CommerceHub, Inc. (ICE LIBOR plus 375 bps), 3.678%, 5-21-25(B)

      527     503

Cyxtera DC Holdings, Inc. (ICE LIBOR plus 300 bps), 8.250%, 5-1-25

      570     199

Cyxtera DC Holdings, Inc. (ICE LIBOR plus 325 bps), 3.630%, 5-1-24

      795     598

Navicure, Inc. (ICE LIBOR plus 400 bps), 4.178%, 10-22-26(B)

      285     272

Output Services Group, Inc. (ICE LIBOR plus 425 bps), 4.863%, 3-27-24

      244     171

Sedgwick Claims Management Services, Inc. (ICE LIBOR plus 400 bps), 4.178%, 9-4-26

      248     237
     2,320

Internet Services & Infrastructure – 0.2%

Informatica LLC, 7.125%, 2-14-25

      594     593

IT Consulting & Other Services – 0.0%

Science Applications International Corp. (ICE LIBOR plus 225 bps), 2.428%, 3-13-27

      — *    —

Systems Software – 0.4%

DCert Buyer, Inc. (ICE LIBOR plus 400 bps), 4.178%, 10-16-26

      499     481

Park Place Technologies LLC (ICE LIBOR plus 400 bps), 5.000%, 3-29-25

      245     234

Surf Holdings LLC (ICE LIBOR plus 350 bps), 3.827%, 3-5-27

      500     478
     1,193

Total Information Technology - 2.7%

 

   9,091

Materials

Construction Materials – 0.2%

Associated Asphalt Partners LLC (ICE LIBOR plus 525 bps), 6.250%, 4-5-24

      169     120

Hillman Group, Inc. (The), 0.000%, 5-31-25(N)

      103     96

Hillman Group, Inc. (The) (ICE LIBOR plus 350 bps), 5.072%, 5-31-25

      843     788
     1,004

Paper Packaging – 0.0%

Archroma Finance S.a.r.l. (ICE LIBOR plus 425 bps), 4.558%, 7-28-24

      1     1

Specialty Chemicals – 0.2%

Archroma Finance S.a.r.l. (3-Month ICE LIBOR plus 425 bps), 5.478%, 7-28-24

      344     311
 

Diamond BC B.V., 0.000%, 9-6-24(B)(N)

      250        244  
        555  

Total Materials - 0.4%

 

      1,560  

Real Estate

 

Retail REITs – 0.2%

 

Inland Retail Real Estate Trust, Inc. (1-Month U.S. LIBOR plus 650 bps), 7.000%, 1-1-22

      812        820  

Total Real Estate - 0.2%

 

      820  

Utilities

 

Multi-Utilities – 0.1%

 

Pacific Gas and Electric Co. (ICE LIBOR plus 225 bps), 5.500%, 5-25-21

      250        245  

Total Utilities - 0.1%

 

      245  

TOTAL LOANS – 17.7%

 

    $ 57,368  

(Cost: $66,433)

 

SHORT-TERM

SECURITIES

    Shares          

Money Market Funds (P) - 3.6%

 

Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 0.100%(O)

      6,966        6,966  

State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.120%

      5,287        5,287  
        12,253  

TOTAL SHORT-TERM SECURITIES – 3.6%

 

    $ 12,253  

(Cost: $12,253)

 

TOTAL INVESTMENT SECURITIES – 101.7%

 

    $ 344,922  

(Cost: $359,009)

 

LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.7)%

 

      (5,692 ) 

NET ASSETS – 100.0%

 

    $ 339,230  

                

                    

 

 

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)

Listed on an exchange outside the United States.

(D)

All or a portion of securities with an aggregate value of $6,389 are on loan.

(E)

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

(F)

Restricted securities. At June 30, 2020, 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        1,414        1,317  
         $ 1,520      $ 1,317  

The total value of these securities represented 0.4% of net assets at June 30, 2020.

 

(G)

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.

(H)

Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2020 the total value of these securities amounted to $89,871 or 26.0% of net assets.

(I)

Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2020. Description of the reference rate and spread, if applicable, are included in the security description.

(J)

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

(K)

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.

(L)

Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at June 30, 2020.

(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 June 30, 2020.

The following forward foreign currency contracts were outstanding at June 30, 2020:

 

      Currency to be
Delivered		            Currency to be
Received		      Settlement
Date		    Counterparty    Unrealized
Appreciation		      Unrealized
Depreciation		  
British Pound      680      U.S. Dollar      841      9-30-20    JPMorgan Securities LLC      $—        $2  
Euro      2,610      U.S. Dollar      2,928      9-30-20    JPMorgan Securities LLC      —        11  
Euro      5,072      U.S. Dollar      6,571      9-30-21    JPMorgan Securities LLC      811        —  
                            $811                $13  

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 June 30, 2020:

 

     Level 1      Level 2      Level 3  

Assets

        

Investments in Securities

        

Common Stocks

        

Communication Services

   $ 4,767      $ —      $   —  

Consumer Discretionary

     2,146        4,370        —  

Consumer Staples

     9,952        6,011        —  

Energy

     —        6,737        — * 

Financials

       10,125          20,879        —  

Health Care

     8,317        14,774        —  

Industrials

     4,553        7,237        —  

Information Technology

     7,379        9,009        —  

Materials

     2,108        4,900        —  

Real Estate

     19,261        11,961        —  

Utilities

     2,551        9,911        —  

Total Common Stocks

   $ 71,159      $ 95,789      $ — * 

Investment Funds

     898        —        —  

Preferred Stocks

     —        1,317        — * 

Warrants

     —        —        — * 

Asset-Backed Securities

     —        7,747        —  

Corporate Debt Securities

     —        92,598        —  

Mortgage-Backed Securities

     —        5,665        —  

Other Government Securities

     —        128        —  

Loans

     —        50,981        6,387  

Short-Term Securities

     12,253        —        —  

Total

   $   84,310      $   254,225      $   6,387  

Forward Foreign Currency Contracts

   $ —      $ 811      $ —  

Liabilities

        

Forward Foreign Currency Contracts

   $ —      $ 13      $ —  

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             Loans      

Beginning Balance 10-1-19

     $-       $9       $- *      $4,842  

Net realized gain (loss)

     -       -       -       (70 ) 

Net change in unrealized appreciation (depreciation)

     (23 )      (9 )      -       (222 ) 

Purchases

     -       -       -       2,850  

Sales

     -       -       -       (1,117 ) 

Amortization/Accretion of premium/discount

     -       -       -       (33 ) 

Transfers into Level 3 during the period

     23       -       -       3,196  

Transfers out of Level 3 during the period

     -       -       - *      (3,059 ) 

Ending Balance 6-30-20

     $- *      $- *      $- *      $6,387  

Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 6-30-20

     $(23 )      $(9 )      $-       $42  

Information about Level 3 fair value measurements:

 

     

Fair Value

at

6-30-20

   Valuation Technique(s)    Unobservable Input(s)   

Input

Value(s)

Assets

           

Common Stocks

    $-*  

Market approach

   

No market color

   

N/A

Preferred Stocks

    -*  

Transaction

   

Price

    $0

Warrants

    -*  

Third-party valuation service

   

Broker quote

   

N/A

Loans

    6,387  

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 June 30, 2020 and the related unrealized appreciation (depreciation) were as follows:

 

Cost

        $ 359,009  
  

 

 

  

Gross unrealized appreciation

      21,996  

Gross unrealized depreciation

      (36,083 ) 
  

 

 

  

Net unrealized depreciation

        $ (14,087 )