NPORT-EX 2 IAMAI.htm IVY APOLLO MULTI-ASSET INCOME FUND SOI 1
      SCHEDULE OF INVESTMENTS   
 
   Ivy Apollo Multi-Asset Income Fund (in  thousands)    DECEMBER 31, 2020 (UNAUDITED)
     
     

 

COMMON STOCKS    Shares    Value

Communication Services

Integrated Telecommunication Services – 1.7%

Deutsche Telekom AG, Registered Shares(A)

    111    $2,024

Verizon Communications, Inc.

    64    3,776
      5,800
Total Communication Services - 1.7%    5,800

Consumer Discretionary

Apparel Retail – 0.0%

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

    1    —

Apparel, Accessories & Luxury Goods – 0.5%

V.F. Corp.

    20    1,748

Automobile Manufacturers – 0.5%

Subaru Corp.(A)

    80    1,607

Casinos & Gaming – 1.5%

New Cotai Participation Corp., Class B(B)(C)(D)

    318    1,557

Sands China Ltd.(A)

    565    2,466

Studio City International Holdings Ltd. ADR(B)

    35    421

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

    15    174
      4,618

Education Services – 0.0%

Laureate Education, Inc., Class A(B)

    11    156
Total Consumer Discretionary - 2.5%    8,129

Consumer Staples

Agricultural Products – 0.0%

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

    1    —

Food Distributors – 0.6%

Sysco Corp.

    26    1,913

Household Products – 1.3%

Procter & Gamble Co. (The)

    32    4,419

Personal Products – 1.0%

Unilever plc(A)

    59    3,516

Tobacco – 1.0%

Philip Morris International, Inc.

    40    3,343
Total Consumer Staples - 3.9%    13,191

Energy

Coal & Consumable Fuels – 0.1%

Foresight Energy
L.P.(B)(C)(D)

    31    515

Integrated Oil & Gas – 0.9%

Total S.A.(A)(E)

    71    3,053

Oil & Gas Drilling – 0.1%

KCA Deutag UK Finance
plc(A)(B)

    8    312

Oil & Gas Equipment & Services – 0.0%

McDermott International,
Inc.(B)(C)(F)

    4    —

McDermott International, Inc.(B)

    68    55
      55

Oil & Gas Exploration & Production – 0.8%

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

    76    —*

California Resources Corp.(B)

    6    150

ConocoPhillips

    67    2,667

EP Energy Corp.(A)(B)(D)

    4    124
      2,941
Total Energy - 1.9%    6,876

Financials

Asset Management & Custody Banks – 0.6%

3i Group plc(A)

    115    1,818

Diversified Banks – 2.0%

Bank of Montreal(A)

    26    1,996

DBS Group Holdings Ltd.(A)(E)

    124    2,353

PT Bank Mandiri (Persero)
Tbk(A)

    5,413    2,442
      6,791

Investment Banking & Brokerage – 1.3%

Morgan Stanley

    64    4,417

Multi-Line Insurance – 1.6%

Axa S.A.(A)

    124    2,971

Zurich Financial Services, Registered Shares(A)

    5    2,171
      5,142

Other Diversified Financial Services – 2.0%

Citigroup, Inc.

    58    3,601

ORIX Corp.(A)

    189    2,909
      6,510

Property & Casualty Insurance – 0.6%

Tokio Marine Holdings, Inc.(A)

    41    2,102

Regional Banks – 0.5%

KeyCorp

    110    1,811

Reinsurance – 0.6%

Munchener Ruckversicherungs-Gesellschaft AG, Registered Shares(A)

    7    2,060
Total Financials - 9.2%    30,651

Health Care

Biotechnology – 0.9%

Amgen, Inc.

    13    3,080

Health Care Services – 0.9%

CVS Caremark Corp.

    45    3,102

Pharmaceuticals – 3.2%

Advanz Pharma Corp.(A)(B)

    6    26

AstraZeneca plc(A)

    32    3,145

GlaxoSmithKline plc(A)

    121    2,210

Roche Holdings AG, Genusscheine(A)

    9    2,996

Sanofi-Aventis(A)

    24    2,278
      10,655
Total Health Care - 5.0%    16,837

Industrials

Aerospace & Defense – 1.4%

Lockheed Martin Corp.

    6    2,192

Raytheon Technologies Corp.

    32    2,277
      4,469

Electrical Components & Equipment – 2.0%

Eaton Corp.

    24    2,833

Schneider Electric S.A.(A)

    26    3,761
      6,594

Industrial Conglomerates – 0.8%

Siemens AG(A)

    17    2,443

Trading Companies & Distributors – 0.6%

ITOCHU Corp.(A)

    73    2,091
Total Industrials - 4.8%    15,597

Information Technology

Communications Equipment – 0.9%

Cisco Systems, Inc.

    68    3,053

Semiconductors – 2.0%

Taiwan Semiconductor Manufacturing Co. Ltd.(A)

    354    6,697

Technology Hardware, Storage & Peripherals – 2.0%

Samsung Electronics Co.
Ltd.(A)

    92    6,877
Total Information Technology - 4.9%    16,627

Materials

Construction Materials – 0.5%

CRH plc(A)

    42    1,768

Diversified Chemicals – 0.5%

Eastman Chemical Co.

    17    1,710

Diversified Metals & Mining – 0.7%

Anglo American plc(A)

    65    2,131

Westmoreland Coal Co.(A)(B)

    7    26
      2,157
Total Materials - 1.7%    5,635

Real Estate

Diversified Real Estate Activities – 0.6%

CapitaLand Ltd.(A)

    34    84

Heiwa Real Estate Co. Ltd.(A)

    6    232

Mitsubishi Estate Co. Ltd.(A)

    36    577

Mitsui Fudosan Co. Ltd.(A)

    26    546

New World Development Co. Ltd.(A)

    83    386

Nomura Real Estate Holdings, Inc.(A)

    6    124

Tokyu Fudosan Holdings
Corp.(A)

    17    90
      2,039

Diversified REITs – 0.7%

Gecina(A)

    3    538

H&R Real Estate Investment Trust(A)

    10    105

Land Securities Group plc(A)

    26    244

Mapletree North Asia Commercial Trust(A)

    22    16

Merlin Properties Socimi S.A.(A)

    58    556

Mirvac Group(A)

    61    124
 

United Urban Investment
Corp.(A)

    —*    234

VEREIT, Inc.

    11    404

XYMAX REIT Investment
Corp.(A)

    —*    62
      2,283

Health Care REITs – 0.6%

Healthcare Trust of America, Inc., Class A

    24    648

Ventas, Inc.

    9    463

Welltower, Inc.

    14    884
      1,995

Hotel & Resort REITs – 0.2%

Invincible Investment Corp.(A)

    —*    83

Japan Hotel REIT Investment
Corp.(A)

    —*    83

Pebblebrook Hotel Trust

    9    172

Sunstone Hotel Investors, Inc.

    31    350
      688

Industrial REITs – 1.1%

ARA LOGOS Logistics Trust(A)

    172    78

Cambridge Industrial Trust(A)

    150    45

Duke Realty Corp.

    20    801

First Industrial Realty Trust, Inc.

    20    828

GLP J-REIT(A)

    —*    167

ITOCHU Advance Logistics Investment Corp.(A)

    —*    208

Mapletree Investments Pte

Ltd.(A)

    66    145

Mitsui Fudosan Logistics Park,
Inc.(A)

    —*    102

ProLogis, Inc.

    11    1,101

SEGRO plc(A)

    26    336

SOSiLA Logistics REIT, Inc.(A)

    —*    17
      3,828

Office REITs – 1.0%

Columbia Property Trust, Inc.

    8    117

Corporate Office Properties Trust

    8    217

Cousins Properties, Inc.

    9    314

Derwent London plc(A)

    5    221

Douglas Emmett, Inc.

    11    330

Fonciere des Regions S.A.(A)

    1    132

Highwoods Properties, Inc.

    8    306

Ichigo Office REIT Investment
Corp.(A)

    —*    246

Invesco Office J-REIT, Inc.(A)

    2    256

Japan Prime Realty Investment
Corp.(A)

    —*    119

Japan Real Estate Investment
Corp.(A)

    —*    168

NSI N.V.(A)

    10    382

ORIX JREIT, Inc.(A)

    —*    397
      3,205

Real Estate Development – 0.1%

Cheung Kong (Holdings) Ltd.(A)

    82    421

China Resources Land Ltd.(A)

    44    182

Kerry Properties Ltd.(A)

    45    114
      717

Real Estate Operating Companies – 1.3%

Adler Group S.A.(A)

    7    254

Ascendas India Trust(A)

    66    69

Deutsche Wohnen AG(A)

    14    746

Hang Lung Properties Ltd.(A)

    116    305

Keihanshin Building Co. Ltd.(A)

    3    61

Swire Properties Ltd.(A)

      29     85

TOC Ltd.(A)

      15     101

Tricon Capital Group, Inc.(A)

      62     561

Vonovia SE(A)

      22     1,627

Wharf (Holdings) Ltd. (The)(A)

      63     327
     4,136

Residential REITs – 1.5%

American Campus Communities, Inc.

      7     288

Apartment Investment and Management Co., Class A(B)

      17     663

AvalonBay Communities, Inc.

      6     932

Canadian Apartment Properties
REIT(A)

      14     565

Daiwa Securities Living Investment Corp.(A)

      — *    30

Equity Lifestyle Properties, Inc.

      10     613

Equity Residential

      6     356

Invitation Homes, Inc.

      42     1,261

Irish Residential Properties REIT
plc(A)

      77     141

Starts Proceed Investment Corp.(A)

      — *    53
     4,902

Retail REITs – 1.5%

Agree Realty Corp.

      7     467

CapitaLand Integrated Commercial Trust(A)

      188     308

CapitaLand Retail China Trust(A)

      83     87

First Capital REIT(A)

      52     552

Frasers Centrepoint Trust(A)

      33     61

Japan Retail Fund Investment
Corp.(A)

      — *    120

Klepierre(A)

      7     156

Link (The)(A)

      44     400

National Retail Properties, Inc.

      7     269

Realty Income Corp.

      6     382

Regency Centers Corp.

      12     557

Retail Properties of America, Inc.

      55     468

Simon Property Group, Inc.

      4     305

Urban Edge Properties

      29     378

Vicinity Centres(A)

      355     439

Weingarten Realty Investors

      13     292
     5,241

Specialized REITs – 1.2%

CubeSmart

      17     588

Digital Realty Trust, Inc.

      8     1,156

Equinix, Inc.

      — *    56

Life Storage, Inc.

      2     262

Public Storage, Inc.

      3     584

Safestore Holdings plc(A)

      28     295

SBA Communications Corp.

      2     643

VICI Properties, Inc.

      16     401
     3,985
Total Real Estate - 9.8%

 

   33,019

Utilities

Electric Utilities – 1.9%

ENEL S.p.A.(A)

      381     3,872

Exelon Corp.

      60     2,523
     6,395

Multi-Utilities – 1.8%

E.ON AG(A)

      166     1,841

Public Service Enterprise Group, Inc.

      32     1,855

RWE Aktiengesellschaft(A)

      58     2,472
     6,168

Water Utilities – 0.6%

 

Guangdong Investment Ltd.(A)

    1,016      1,831  
Total Utilities - 4.3%      14,394  

TOTAL COMMON STOCKS – 49.7%

      $166,756  

(Cost: $137,860)

 

PREFERRED STOCKS  

Consumer Discretionary

 

Automobile Manufacturers – 0.6%

 

Volkswagen AG,
2.260%(A)

    11      2,095  
Total Consumer Discretionary - 0.6%      2,095  

Energy

 

Oil & Gas Exploration & Production – 0.4%

 

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

    1      1,365  
Total Energy - 0.4%      1,365  

TOTAL PREFERRED STOCKS – 1.0%

      $3,460  

(Cost: $3,233)

 

RIGHTS              

Industrial REITs – 0.0%

 

ARA LOGOS Logistics Trust

    13      — * 

TOTAL RIGHTS – 0.0%

      $— * 

(Cost: $—)

 

WARRANTS              

Oil & Gas Exploration & Production – 0.0%

 

California Resources Corp., expires 12-31-40(G)

    1      5  

TOTAL WARRANTS – 0.0%

      $5  

(Cost: $102)

 

ASSET-BACKED

SECURITIES

    Principal        

Antares CLO 2017-1A Ltd. (3-Month U.S. LIBOR plus 775 bps),
7.968%, 7-20-28 (H)

    $650      608  

Audax Senior Debt CLO II LLC, Series 2019-2A, Class C (3-Month U.S LIBOR plus 490 bps),
5.158%, 10-22-29 (H)(I)

    250      246  

Fortress Credit BSL Ltd., Series 2018-1A, Class ER (3-Month U.S. LIBOR plus 645 bps),
6.659%, 7-23-31 (H)(I)

    750      706  

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

    EUR385      443  
 

Golub Capital Partners CLO Ltd., Series 2013-17A, Class CR (3-Month U.S. LIBOR plus 350 bps),
3.745%, 10-25-30 (H)(I)

    $1,000    917

Northwoods Capital XI-B Ltd. and Northwoods Capital XI-B LLC, Series 2018-14BA, Class D (3-Month U.S. LIBOR plus 340 bps),
3.621%, 11-13-31 (H)(I)

    1,200    1,166

TIAA Churchill Middle Market CLO I Ltd., Series 2016-1A, Class DR (3-Month U.S. LIBOR plus 390 bps),
4.118%, 10-20-30 (H)(I)

    750    680

Trinitas CLO Ltd., Series 2018-8A, Class E (3-Month U.S. LIBOR plus 590 bps),
6.118%, 7-20-31 (H)(I)

    750    713

Venture CDO Ltd., Series 17-26A, Class D (3-Month U.S. LIBOR plus 425 bps),
4.468%, 1-20-29 (H)(I)

    400    392

TOTAL ASSET-BACKED SECURITIES – 1.8%

    $5,871

(Cost: $6,084)

CORPORATE DEBT
SECURITIES		            
Communication Services

Advertising – 0.3%

Advantage Sales & Marketing, Inc.,
6.500%, 11-15-28(I)

    875    925

Alternative Carriers – 0.1%

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

    215    215

Broadcasting – 0.5%

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

    822    830

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

    609    617

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

    200    214
      1,661

Cable & Satellite – 1.6%

Altice France Holding S.A.,
6.000%, 2-15-28(I)

    1,081    1,095

Cable One, Inc.,
4.000%, 11-15-30(I)

    143    149

CCO Holdings LLC and CCO Holdings Capital Corp.:

      

4.500%, 8-15-30(I)

    451    479

4.250%, 2-1-31(I)

    100    105

4.500%, 5-1-32(I)

    282    301

CSC Holdings LLC:

      

5.500%, 5-15-26(I)

    300    312

5.375%, 2-1-28(I)

    186    199

5.750%, 1-15-30(I)

    202    221

4.125%, 12-1-30(I)

    100    105

3.375%, 2-15-31(I)

    100    98

DISH DBS Corp.:

      

7.750%, 7-1-26

    498    558

7.375%, 7-1-28

    96    102

Hughes Satellite Systems Corp.,
5.250%, 8-1-26

    80    88

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

    471    524

Ligado Networks LLC (15.500% Cash or 15.500% PIK),
15.500%, 11-1-23(I)(K)

    581    564

Ziggo B.V.,
2.875%, 1-15-30(I)(J)

    EUR170    211

Ziggo Secured Finance B.V.:

      

5.500%, 1-15-27(I)

    $60    63

4.875%, 1-15-30(I)

    100    105
      5,279

Integrated Telecommunication Services – 2.3%

Cablevision Lightpath LLC,
5.625%, 9-15-28(I)

    200    209

Colombia Telecomunicaciones S.A. E.S.P.,
4.950%, 7-17-30(I)

    200    222

Consolidated Communications, Inc.,
6.500%, 10-1-28(I)

    290    310

Frontier Communications Corp.:

      

10.500%, 9-15-22(F)

    342    178

7.125%, 1-15-23(F)

    292    142

7.625%, 4-15-24(F)

    84    42

6.875%, 1-15-25(F)

    1,085    526

11.000%, 9-15-25(F)

    1,537    807

7.875%, 1-15-27(F)

    14    7

5.875%, 10-15-27(I)

    849    918

5.000%, 5-1-28(I)

    312    325

6.750%, 5-1-29(I)

    174    186

9.000%, 8-15-31(F)

    41    20

7.450%, 7-1-35(F)

    20    9

Level 3 Financing, Inc.,
3.625%, 1-15-29(I)

    100    100

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

    128    146

PT Tower Bersama Infrastructure Tbk,
4.250%, 1-21-25

    200    208

Telecom Italia S.p.A.,
1.125%, 3-26-22(J)

    EUR100    122

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

    $2,588    2,503

Windstream Escrow LLC,
7.750%, 8-15-28(I)

    951    958
      7,938

Interactive Media & Services – 0.1%

Cars.com, Inc.,
6.375%, 11-1-28(I)

    182    193

Publishing – 0.2%

Lamar Media Corp.,
3.750%, 2-15-28

    215    221

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

    478    484
      705

Wireless Telecommunication Service – 1.0%

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

    195    205

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

    116    61

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

    89    24

Digicel International Finance Ltd.:

      

8.750%, 5-25-24(I)

    1,251    1,313

8.000%, 12-31-26(I)

    78    65

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

    103    105

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

    746    668

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

    1,000    774

Matterhorn Telecom S.A.,
3.125%, 9-15-26(J)

    EUR200    242
      3,457
Total Communication Services - 6.1%    20,373

Consumer Discretionary

Apparel Retail – 0.2%

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

    $339    377

L Brands, Inc.:

      

9.375%, 7-1-25(I)

    88    108

6.625%, 10-1-30(I)

    188    209
      694

Auto Parts & Equipment – 0.0%

Tenneco, Inc.,
7.875%, 1-15-29(I)

    18    20

Automotive Retail – 0.5%

Asbury Automotive Group, Inc.:

      

4.500%, 3-1-28

    345    359

4.750%, 3-1-30

    346    371

Group 1 Automotive, Inc.,
4.000%, 8-15-28(I)

    57    59

Ken Garff Automotive LLC,
4.875%, 9-15-28(I)

    94    98

Lithia Motors, Inc.:

      

5.250%, 8-1-25(I)

    85    88

4.625%, 12-15-27(I)

    196    207

4.375%, 1-15-31(I)

    398    427

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

    185    195
      1,804

Casinos & Gaming – 1.2%

Boyd Gaming Corp.,
4.750%, 12-1-27

    324    337

Churchill Downs, Inc.:

      

5.500%, 4-1-27(I)

    159    168

4.750%, 1-15-28(I)

    57    60

Colt Merger Sub, Inc.:

      

6.250%, 7-1-25(I)

    387    412

8.125%, 7-1-27(I)

    644    713

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

    400    415

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

    426    400

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

    1,117    1,109
 

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

      

7.000%, 5-15-28(I)

    43    46

7.250%, 11-15-29(I)

    43    47

Wynn Macau Ltd.:

      

4.875%, 10-1-24(I)

    200    203

5.500%, 10-1-27(I)

    409    424
      4,334

Department Stores – 0.1%

Nordstrom, Inc.:

      

4.375%, 4-1-30

    260    256

5.000%, 1-15-44

    244    228
      484

Home Improvement Retail – 0.1%

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

    163    171

Homebuilding – 0.2%

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

    500    525

Hotels, Resorts & Cruise Lines – 0.6%

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

    251    263

Carnival Corp.:

      

11.500%, 4-1-23(I)

    211    244

10.500%, 2-1-26(I)

    44    51

7.625%, 3-1-26(I)

    91    99

9.875%, 8-1-27(I)

    190    219

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

    326    347

NCL Corp. Ltd.:

      

12.250%, 5-15-24(I)

    349    419

10.250%, 2-1-26(I)

    232    271

5.875%, 3-15-26(I)

    90    95

POWDR Corp.,
6.000%, 8-1-25(I)

    96    101
      2,109

Internet & Direct Marketing Retail – 0.4%

Arches Buyer, Inc.:

      

4.250%, 6-1-28(I)

    543    550

6.125%, 12-1-28(I)

    481    497

B2W Digital Lux S.a.r.l.,
4.375%, 12-20-30(I)

    200    207

Prosus N.V.,
2.031%, 8-3-32(I)(J)

    EUR200    254
      1,508

Leisure Facilities – 0.3%

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

      

5.375%, 4-15-27

    $392    401

6.500%, 10-1-28(I)

    149    162

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

    342    351

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

    41    44
      958

Restaurants – 0.1%

1011778 B.C. Unlimited Liability Co. and New Red Finance, Inc.,
3.500%, 2-15-29(I)

    306    306

Specialized Consumer Services – 0.4%

IAA Spinco, Inc.,
5.500%, 6-15-27(I)

    57    60

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

    EUR200    270

Nielsen Finance LLC and Nielsen Finance Co.:

      

5.625%, 10-1-28(I)

    $283    307

5.875%, 10-1-30(I)

    236    267

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

    341    378
      1,282

Specialty Stores – 1.5%

Academy Ltd.,
6.000%, 11-15-27(I)

    457    479

Guitar Center Escrow Issuer II, Inc.,
8.500%, 1-15-26(E)(I)

    18    19

Michaels Stores, Inc.:

      

8.000%, 7-15-27(I)

    443    476

4.750%, 10-1-27(I)

    94    97

Party City Holdings, Inc. (5.000% Cash and 5.000% PIK),
10.000%, 8-15-26(I)(K)

    35    35

Party City Holdings, Inc. (6-Month U.S. LIBOR plus 500 bps),
5.750%, 7-15-25(H)(I)

    65    58

Staples, Inc.:

      

7.500%, 4-15-26(I)

    2,584    2,698

10.750%, 4-15-27(I)

    1,117    1,112
      4,974

Total Consumer Discretionary - 5.6%

    19,169

Consumer Staples

Agricultural Products – 0.1%

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

    200    218

Packaged Foods & Meats – 0.1%

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

    57    64

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

      

6.500%, 4-15-29(I)

    57    66

5.500%, 1-15-30(I)

    215    247
      377

Total Consumer Staples - 0.2%

    595

Energy

Coal & Consumable Fuels – 0.1%

Minejesa Capital B.V.,
5.625%, 8-10-37

    200    219

Integrated Oil & Gas – 0.1%

Gazprom PJSC,
3.897%, 1-26-69(I)(J)

    EUR220    277

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

      

5.093%, 1-15-30

    $92    103

6.750%, 6-3-50

    55    68
      448

Oil & Gas Drilling – 0.2%

KCA Deutag UK Finance plc,
9.875%, 12-1-25

    381    394

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

    1,400    168
      562

Oil & Gas Equipment & Services – 0.1%

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

    311    138

Oil & Gas Exploration & Production – 1.6%

Ascent Resources Utica Holdings LLC and ARU Finance Corp.,
8.250%, 12-31-28(I)

    18    18

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

    177    —

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

    193    —

Continental Resources, Inc.,
5.750%, 1-15-31(I)

    182    202

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

    1,161    1,184

Endeavor Energy Resources L.P.,
5.500%, 1-30-26(I)

    438    450

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

    237    254

Laredo Petroleum, Inc.:

      

9.500%, 1-15-25

    660    574

10.125%, 1-15-28(E)

    440    374

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

    511    388

PT Pertamina (Persero),
4.175%, 1-21-50

    200    216

Seven Generations Energy Ltd.:

      

6.750%, 5-1-23(I)

    971    982

5.375%, 9-30-25(I)

    419    426
      5,068

Oil & Gas Refining & Marketing – 0.8%

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

      

6.125%, 10-1-24

    163    94

6.375%, 7-1-26

    154    79

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

    1,293    1,387

CVR Energy, Inc.,
5.250%, 2-15-25(I)

    175    169

EG Global Finance plc:

      

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

    EUR169    203

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

    107    134

PBF Holding Co. LLC:

      

9.250%, 5-15-25(I)

    $372    365

6.000%, 2-15-28

    220    125
      2,556

Oil & Gas Storage & Transportation – 0.0%

Crestwood Midstream Partners L.P. and Crestwood Midstream Finance Corp.,
6.250%, 4-1-23

    191    192

Total Energy - 2.9%

    9,183

Financials

Consumer Finance – 0.2%

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

    573    579

Diversified Banks – 0.2%

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

    200    220

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

      

5.000%, 1-31-28(I)

    162    182

4.750%, 1-15-30(I)

    76    81
      483
 

Financial Exchanges & Data – 0.0%

MSCI, Inc.,
3.875%, 2-15-31(I)

    95    100

Insurance Brokers – 1.0%

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

    818    873

NFP Corp.,
6.875%, 8-15-28(I)

    2,196    2,345
      3,218

Investment Banking & Brokerage – 0.2%

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

    499    543

Life & Health Insurance – 0.1%

Alliant Holdings Intermediate LLC and Alliant Holdings Co-Issuer, Inc.,
4.250%, 10-15-27(I)

    288    294

Multi-Line Insurance – 0.1%

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

    EUR100    145

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

    300    409
      554

Property & Casualty Insurance – 0.3%

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

    $486    522

Highlands Holdings Bond Issuer Ltd. and Highlands Holdings Bond Co-Issuer, Inc. (7.625% Cash or 8.375% PIK),
7.625%, 10-15-25(I)(K)

    456    487
      1,009

Specialized Finance – 1.1%

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

    809    894

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

    916    962

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

    GBP100    142

JSM Global S.a.r.l.,
4.750%, 10-20-30(E)(I)

    $200    215

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

    300    306

PLT VII Finance S.a.r.l.,
4.625%, 1-5-26(I)(J)

    EUR100    127

Rede D’Or Finance S.a.r.l.,
4.500%, 1-22-30(I)

    $400    417

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

    EUR150    182

VMED O2 UK Financing I plc:

      

3.250%, 1-31-31(I)(J)

    200    251

4.250%, 1-31-31(I)

    $95    97
      3,593

Thrifts & Mortgage Finance – 0.2%

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

    786    806

Total Financials - 3.4%

    11,179

Health Care

Health Care Distributors – 0.0%

Prestige Brands, Inc. (GTD by Prestige Consumer Healthcare, Inc.),
5.125%, 1-15-28(I)

    76    81

Health Care Equipment – 0.1%

Hologic, Inc.,
3.250%, 2-15-29(I)

    289    294

Teleflex, Inc.,
4.250%, 6-1-28(I)

    95    101
      395

Health Care Facilities – 0.7%

Encompass Health Corp.:

      

4.750%, 2-1-30

    57    61

4.625%, 4-1-31

    95    102

Providence Service Corp. (The),
5.875%, 11-15-25(I)

    275    291

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

    689    760

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

    1,005    1,110
      2,324

Health Care Services – 0.3%

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

    789    815

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

    95    101
      916

Health Care Supplies – 0.1%

Catalent Pharma Solutions, Inc.,
2.375%, 3-1-28(I)(J)

    EUR133    163

Health Care Technology – 0.2%

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

    $660    715

Life Sciences Tools & Services – 0.0%

Charles River Laboratories International, Inc.,
4.250%, 5-1-28(I)

    95    100

Managed Health Care – 0.0%

Molina Healthcare, Inc.,
3.875%, 11-15-30(I)

    95    102

Pharmaceuticals – 0.7%

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

    72    72

Bausch Health Cos., Inc.,
8.500%, 1-31-27(I)

    832    925

Nidda Healthcare Holding AG:
3.500%, 9-30-24(I)(J)

    EUR300    364

P&L Development LLC and PLD Finance Corp.,
7.750%, 11-15-25(I)

    $457    491

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

    454    493

Syneos Health, Inc.,
3.625%, 1-15-29(I)

    106    106
      2,451

Total Health Care - 2.1%

    7,247

Industrials

Aerospace & Defense – 1.5%

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

    366    387

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

      

6.500%, 5-15-25

    200    205

6.375%, 6-15-26

    202    209

7.500%, 3-15-27

    408    436

5.500%, 11-15-27

    1,051    1,105

Wolverine Escrow LLC:

      

8.500%, 11-15-24(I)

    1,167    1,114

9.000%, 11-15-26(I)

    1,703    1,612

13.125%, 11-15-27(I)

    128    103
      5,171

Airlines – 0.1%

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

    227    244

Building Products – 0.2%

ABC Supply Co., Inc.,
4.000%, 1-15-28(I)

    95    98

CP Atlas Buyer, Inc.,
7.000%, 12-1-28(I)

    92    96

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

    119    129

Standard Industries, Inc.:

      

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

    EUR100    123

4.750%, 1-15-28(I)

    $11    11

4.375%, 7-15-30(I)

    67    72

3.375%, 1-15-31(I)

    166    167
      696

Diversified Support Services – 0.1%

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

    665    486

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

    50    52
      538

Electrical Components & Equipment – 0.0%

Sensata Technologies B.V.,
3.750%, 2-15-31(I)

    57    59

Sensata Technologies, Inc.,
4.375%, 2-15-30(I)

    57    62
      121

Environmental & Facilities Services – 0.2%

Clean Harbors, Inc.,
5.125%, 7-15-29(I)

    76    83

GFL Environmental, Inc.:

      

3.750%, 8-1-25(I)

    221    226

5.125%, 12-15-26(I)

    78    83

3.500%, 9-1-28(I)

    161    164
      556

Highways & Railtracks – 0.1%

ENA Master Trust,
4.000%, 5-19-48(E)(I)

    200    215

Marine Ports & Services – 0.2%

DP World plc,
4.700%, 9-30-49

    200    231

International Container Terminal Services, Inc.,
4.750%, 6-17-30

    200    217

Mersin Uluslararasi Liman Isletmeciligi A.S.,
5.375%, 11-15-24(I)

    200    212
      660

Railroads – 0.1%

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

    105    127

Rumo Luxembourg S.a.r.l.,
5.250%, 1-10-28(I)

    200    216
      343

Security & Alarm Services – 0.3%

APX Group, Inc. (GTD by APX Group Holdings, Inc.),
7.625%, 9-1-23

    272    282

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

    228    230

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

    330    355
      867

Total Industrials - 2.8%

    9,411
 

Information Technology

Application Software – 0.6%

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

    73    77

Boxer Parent Co., Inc.,
6.500%, 10-2-25(I)(J)

    EUR100    129

Gartner, Inc.:

      

4.500%, 7-1-28(I)

    $57    60

3.750%, 10-1-30(I)

    76    80

J2 Global, Inc.,
4.625%, 10-15-30(I)

    111    117

Kronos Acquisition Holdings, Inc. and KIK Custom Products, Inc.:

      

5.000%, 12-31-26(E)(I)

    270    282

7.000%, 12-31-27(I)

    669    700

Open Text Corp.,
3.875%, 2-15-28(I)

    57    59

Open Text Corp. and Open Text Holdings, Inc.,
4.125%, 2-15-30(I)

    76    81

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

    905    620

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

    120    128
      2,333

Data Processing & Outsourced Services – 0.0%

Shift4 Payments LLC and Shift4 Payments Finance Sub, Inc.,
4.625%, 11-1-26(I)

    76    79

Electronic Equipment & Instruments – 0.5%

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

    374    382

NCR Corp.:

      

5.750%, 9-1-27(I)

    113    120

5.000%, 10-1-28(I)

    318    336

6.125%, 9-1-29(I)

    144    159

5.250%, 10-1-30(I)

    106    114

Paymentsense Ltd.,
8.000%, 10-15-25(I)(J)

    GBP100    148

Verisure Holding AB (3-Month EURIBOR plus 500 bps):

      

5.000%, 4-15-25(H)(I)(J)

    EUR300    375
      1,634

IT Consulting & Other Services – 0.2%

Booz Allen Hamilton, Inc.,
3.875%, 9-1-28(I)

    $193    199

Sabre GLBL, Inc. (GTD by Sabre Holdings Corp.):

      

9.250%, 4-15-25(I)

    103    122

7.375%, 9-1-25(I)

    42    46

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

    473    501
      868

Semiconductors – 0.1%

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

    127    135

Qorvo, Inc.,
3.375%, 4-1-31(I)

    95    98
      233

Technology Hardware, Storage & Peripherals – 0.1%

Brightstar Escrow Corp.,
9.750%, 10-15-25(I)

    252    270

Total Information Technology - 1.5%

    5,417

Materials

Aluminum – 0.0%

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

    76    82

Commodity Chemicals – 0.2%

NOVA Chemicals Corp.:

      

4.875%, 6-1-24(I)

    508    529

5.250%, 6-1-27(I)

    266    283
      812

Construction Materials – 0.4%

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

    1,321    1,311

Diversified Metals & Mining – 0.0%

Arconic Corp.,
6.000%, 5-15-25(I)

    95    101

Gold – 0.1%

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

    120    150

Metal & Glass Containers – 0.3%

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

    320    342

Ardagh Packaging Finance plc and Ardagh Holdings USA, Inc.:

      

5.250%, 4-30-25(I)

    57    60

2.125%, 8-15-26(I)(J)

    EUR150    183

4.125%, 8-15-26(I)

    $84    88

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

    24    25

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

    119    131

HudBay Minerals, Inc.,
7.625%, 1-15-25(I)

    98    102

Silgan Holdings, Inc.,
4.125%, 2-1-28

    95    99
      1,030

Paper Packaging – 0.0%

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

    95    99

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

    2    2
      101

Precious Metals & Minerals – 0.1%

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

    200    260

Specialty Chemicals – 0.0%

Ingevity Corp.,
3.875%, 11-1-28(I)

    76    77

Valvoline, Inc.,
4.250%, 2-15-30(I)

    57    60
      137

Total Materials - 1.1%

    3,984

Real Estate

Hotel & Resort REITs – 0.1%

Hilton Domestic Operating Co., Inc.:

      

5.750%, 5-1-28(I)

    183    199

3.750%, 5-1-29(I)

    139    145
      344

Real Estate Development – 0.3%

Country Garden Holdings Co. Ltd.,
4.800%, 8-6-30

    200    216

Logan Group Co. Ltd.,
5.750%, 1-14-25

    200    212

Times China Holdings Ltd.,
6.200%, 3-22-26

    200    208
      636

Real Estate Operating Companies – 0.0%

Service Properties Trust,
5.500%, 12-15-27

    36    39

Specialized REITs – 0.0%

SBA Communications Corp.,
3.875%, 2-15-27(I)

    76    80

VICI Properties L.P. and VICI Note Co., Inc.,
4.125%, 8-15-30(I)

    95    100
      180

Total Real Estate - 0.4%

    1,199

Utilities

Electric Utilities – 0.1%

Adani Transmission Ltd.,
4.250%, 5-21-36

    193    204

NextEra Energy Operating Partners L.P. (GTD by NextEra Energy Partners L.P. and NextEra Energy U.S. Partners Holdings LLC),
4.500%, 9-15-27(I)

    57    64
      268

Independent Power Producers & Energy Traders – 0.0%

Pattern Energy Operations L.P. and Pattern Energy Operations, Inc. (GTD by Pattern U.S. Finance Co. LLC),
4.500%, 8-15-28(I)

    57    60

Renewable Electricity – 0.3%

Clearway Energy Operating LLC,
4.750%, 3-15-28(I)

    57    61

EnfraGen Energia Sur S.A.U.,
5.375%, 12-30-30(I)

    300    311

HAT Holdings I LLC and HAT Holdings II LLC (GTD by Hannon Armstrong Sustainable Infrastructure Capital, Inc.):

      

6.000%, 4-15-25(I)

    372    398

3.750%, 9-15-30(I)

    193    201
      971

Total Utilities - 0.4%

    1,299

TOTAL CORPORATE DEBT SECURITIES – 26.5%

    $89,056

(Cost: $88,660)

 

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),
6.237%, 10-15-27(H)(I)

    700    652

ALM Loan Funding XIX LLC, Series 2015-16A, Class D (3-Month U.S. LIBOR plus 510 bps),
5.337%, 7-15-27(H)(I)

    250    240

Ashford Hospitality Trust, Series 2018-ASHF, Class F (1-Month U.S. LIBOR plus 410 bps),
4.259%, 4-15-35(H)(I)

    600    474

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

    1,000    1,004

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

    500    501

Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class D (3-Month U.S. LIBOR plus 350 bps),
3.737%, 4-15-33(H)(I)

    250    251

Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E (3-Month U.S. LIBOR plus 645 bps),
8.220%, 4-15-33(H)(I)

    250    245

Highbridge Loan Management Ltd., Series 2014-4A, Class DR (3-Month U.S. LIBOR plus 555 bps),
5.772%, 1-28-30(H)(I)

    150    138

PNMAC GMSR Issuer Trust, Series 2018-GT1 (1-Month U.S. LIBOR plus 285 bps),
2.998%, 2-25-23(H)(I)

    2,100    2,064
      5,569

TOTAL MORTGAGE-BACKED SECURITIES – 1.7%

    $5,569

(Cost: $5,794)

OTHER GOVERNMENT

SECURITIES(N)

            

Dominican Republic - 0.1%

Dominican Republic Government Bond,
4.875%, 9-23-32 (I)

    200    221

TOTAL OTHER GOVERNMENT SECURITIES – 0.1%

    $221

(Cost: $214)

LOANS(H)            

Communication Services

Advertising – 0.2%

Advantage Sales & Marketing, Inc.,
0.000%, 10-28-27(O)

    755    752

Advantage Sales & Marketing, Inc. (ICE LIBOR plus 525 bps),
6.000%, 10-28-27

    58    58
      810

Broadcasting – 0.3%

Clear Channel Outdoor Holdings, Inc. (ICE LIBOR plus 350 bps),
3.714%, 8-21-26

    973    934

Cable & Satellite – 0.7%

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

    1,013    1,025

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

    444    452

Radiate Holdco LLC (1-Month ICE LIBOR plus 350 bps),
4.250%, 9-25-26

    250    250

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

    EUR500    607
      2,334

Integrated Telecommunication Services – 1.4%

Consolidated Communications, Inc. (ICE LIBOR plus 475 bps),
5.750%, 10-2-27

    $622    624

eircom Finco S.a.r.l. (3-Month EURIBOR plus 325 bps),
2.750%, 5-15-26(J)

    EUR153    186

Frontier Communications Corp.,
0.000%, 3-15-24(C)(F)(O)

    $14    14

Frontier Communications Corp. (ICE LIBOR plus 475 bps),
5.750%, 10-8-21

    250    251

Northwest Fiber LLC (ICE LIBOR plus 550 bps),
5.653%, 5-1-27

    948    949

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

    EUR250    305

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

    $1,689    1,633

Windstream Services LLC (ICE LIBOR plus 625 bps),
7.250%, 9-21-27

    378    369
      4,331

Publishing – 0.1%

Recorded Books, Inc. (ICE LIBOR plus 425 bps),
4.395%, 8-31-25

    364    362

Wireless Telecommunication Service – 0.2%

Digicel International Finance Ltd. (ICE LIBOR plus 325 bps),
3.510%, 5-27-24

    429    391

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

    248    249
      640

Total Communication Services - 2.9%

    9,411

Consumer Discretionary

Apparel Retail – 0.3%

Speedster Bidco GmbH (3-Month EURIBOR plus 325 bps),
3.250%, 3-31-27(J)

    EUR250    300

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

    $632    472

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

    131    57
      829

Automotive Retail – 0.2%

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

    EUR495    591

Midas Intermediate Holdco II LLC,
0.000%, 12-22-25(O)

    $72    73
      664

Casinos & Gaming – 0.4%

Caesars Resort Collection LLC (ICE LIBOR plus 450 bps),
4.647%, 7-20-25

    249    250

CCM Merger, Inc. (ICE LIBOR plus 375 bps),
4.500%, 11-4-25

    250    249

Cosmopolitan of Las Vegas (The) (1-Month U.S. LIBOR plus 525 bps),
5.391%, 11-9-21

    800    799

New Cotai LLC (14.000% Cash or 14.000% PIK),
14.000%, 9-10-25(K)

    86    87

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

    85    84
      1,469

Hotels, Resorts & Cruise Lines – 0.2%

CIF Times Square Mezz 1 LLC and CPTS Hotel Lessee Mezz 1 LLC (1-Month U.S. LIBOR plus 600 bps),
6.127%, 12-9-21(F)

    926    46

Hotel del Coronado (1-Month U.S. LIBOR plus 500 bps),
5.141%, 8-9-21

    150    151

International Cruise & Excursion Gallery, Inc. (ICE LIBOR plus 525 bps),
6.250%, 6-8-25

    195    195
      392

Internet & Direct Marketing Retail – 0.2%

CNT Holdings I Corp. (ICE LIBOR plus 375 bps),
7.500%, 11-8-27

    229    228

CNT Holdings I Corp. (ICE LIBOR plus 675 bps),
7.500%, 11-6-28(C)

    243    247
      475

Leisure Facilities – 0.2%

United PF Holdings LLC (ICE LIBOR plus 400 bps),
4.254%, 12-30-26

    635    592

United PF Holdings LLC (ICE LIBOR plus 850 bps),
9.500%, 11-12-26(C)

    136    135
      727
 

Leisure Products – 0.2%

GT Polaris, Inc. (ICE LIBOR plus 400 bps),
5.000%, 9-24-27

    249    250

Hayward Industries, Inc. (ICE LIBOR plus 375 bps),
4.500%, 8-4-26(C)

    250    249
      499

Restaurants – 0.0%

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

    572    34

Zaxby’s Operating Co. L.P. (1-Month ICE LIBOR plus 650 bps),
7.250%, 12-9-28(C)

    153    155
      189

Specialized Consumer Services – 0.2%

Asurion LLC (ICE LIBOR plus 600 bps),
6.647%, 8-4-25

    626    630

Specialty Stores – 1.1%

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

      

0.000%, 10-16-23(O)

    276    265

6.000%, 10-16-23

    705    677

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

    671    609

Party City Holdings, Inc.,
0.000%, 8-19-22(O)

    19    18

Party City Holdings, Inc. (ICE LIBOR plus 250 bps),
3.250%, 8-19-22

    703    649

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

    476    454

Staples, Inc. (ICE LIBOR plus 500 bps),
5.214%, 4-12-26

    917    886

Woof Holdings LLC (1-Month ICE LIBOR plus 725 bps),
8.000%, 12-16-28

    68    68

Woof Holdings LLC (ICE LIBOR plus 375 bps),
4.500%, 12-16-27

    111    111
      3,737

Textiles – 0.2%

SIWF Holdings, Inc. (ICE LIBOR plus 425 bps),
4.397%, 6-15-25

    688    681

Total Consumer Discretionary - 3.2%

    10,292

Consumer Staples

Packaged Foods & Meats – 0.1%

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

    EUR250    300

Soft Drinks – 0.2%

Refresco Holding B.V. (ICE LIBOR plus 400 bps),
4.048%, 3-28-25(J)

    GBP500    672

Total Consumer Staples - 0.3%

    972

Energy

Coal & Consumable Fuels – 0.2%

Foresight Energy LLC (ICE LIBOR plus 800 bps),
9.500%, 6-29-27

    $261    300

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

    84    76

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

    552    221
      597

Oil & Gas Equipment & Services – 0.1%

ChampionX Holding, Inc. (ICE LIBOR plus 500 bps),
6.000%, 6-3-27(C)

    220    224

McDermott Technology Americas, Inc. (ICE LIBOR plus 400 bps),
1.146%, 6-30-25

    155    100

McDermott Technology Americas, Inc. (ICE LIBOR plus 500 bps),
0.000%, 5-10-25(F)(O)

    472    78
      402

Oil & Gas Storage & Transportation – 0.2%

EPIC Crude Services L.P. (ICE LIBOR plus 500 bps),
5.260%, 3-1-26

    898    618

Total Energy - 0.5%

    1,617

Financials

Asset Management & Custody Banks – 0.2%

Edelman Financial Holdings II, Inc. (ICE LIBOR plus 675 bps),
6.897%, 7-20-26

    689    689

Investment Banking & Brokerage – 0.1%

ION Trading Finance Ltd. (ICE LIBOR plus 400 bps),
5.000%, 11-21-24

    274    273

Multi-Sector Holdings – 0.1%

THG Operations Holdings Ltd. (3-Month EURIBOR plus 450 bps),
4.500%, 12-11-26(J)

    EUR250    306

Other Diversified Financial Services – 0.2%

AqGen Ascensus, Inc. (ICE LIBOR plus 400 bps),
5.000%, 12-3-26

    $647    649

Property & Casualty Insurance – 0.3%

Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps),
4.647%, 2-28-25

    1,008    973

Specialized Finance – 0.2%

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

    889    668

Lealand Finance Co. B.V.,
0.000%, 6-30-24(C)(O)

    4    3

Lealand Finance Co. B.V. (ICE LIBOR plus 300 bps),
3.146%, 6-30-24(C)

    12    10
      681

Total Financials - 1.1%

    3,571

Health Care

Health Care Facilities – 0.1%

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

    153    150

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

    49    50
      200

Health Care Services – 1.1%

Elysium Healthcare Holdings 3 Ltd. (ICE LIBOR plus 525 bps),
5.295%, 4-4-25(J)

    GBP500    661

Heartland Dental LLC (ICE LIBOR plus 375 bps),
3.647%, 4-30-25

    $1,090    1,062

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

      

4.507%, 3-9-25(C)

    164    159

4.507%, 3-17-25(C)

    42    41

U.S. Renal Care, Inc. (3-Month ICE LIBOR plus 500 bps),
5.188%, 6-26-26

    1,247    1,239

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

    EUR250    300
      3,462

Health Care Technology – 0.1%

BioClinica Holding I L.P. (ICE LIBOR plus 425 bps),
5.250%, 10-20-23

    $336    334

Pharmaceuticals – 0.2%

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

    229    224

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

    EUR250    302
      526

Total Health Care - 1.5%

    4,522

Industrials

Aerospace & Defense – 0.1%

Bleriot U.S. Bidco, Inc. (ICE LIBOR plus 475 bps),
5.004%, 11-1-26

    $156    155

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

    335    273
      428

Airlines – 0.0%

Mileage Plus Holdings LLC (ICE LIBOR plus 525 bps),
6.250%, 6-20-27

    177    184

Building Products – 0.3%

CP Atlas Buyer, Inc. (1-Month ICE LIBOR plus 450 bps),
5.250%, 11-23-27

    565    566

LBM Acquisition LLC,
0.000%, 12-18-27(O)

    45    45

LBM Acquisition LLC (1-Month ICE LIBOR plus 375 bps),
4.500%, 12-8-27

    205    204
      815
 

Construction & Engineering – 0.1%

 

WaterBridge Midstream Operating LLC,
0.000%, 6-21-26(O)

      36        31  

WaterBridge Midstream Operating LLC (3-Month ICE LIBOR plus 575 bps),
6.750%, 6-21-26

      114        98  
        129  

Diversified Support Services – 0.1%

 

TruGreen L.P. (1-Month ICE LIBOR plus 400 bps),
4.147%, 11-2-27

      250        251  

Electrical Components & Equipment – 0.0%

 

Array Technologies, Inc. (ICE LIBOR plus 400 bps),
5.000%, 10-14-27

      65        64  

Environmental & Facilities Services – 0.0%

 

U.S. Ecology, Inc. (ICE LIBOR plus 250 bps),
2.647%, 11-1-26

      17        17  

Industrial Conglomerates – 0.6%

 

PAE Holding Corp. (ICE LIBOR plus 450 bps),
5.250%, 10-19-27

      2,078        2,081  

Industrial Machinery – 0.6%

 

Form Technologies LLC,
0.000%, 1-28-22(O)

      120        113  

Form Technologies LLC (ICE LIBOR plus 325 bps),
4.250%, 1-28-22

      421        398  

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

      1,914        1,603  
        2,114  

Research & Consulting Services – 0.1%

 

APCO Holdings, Inc. (ICE LIBOR plus 550 bps),
5.650%, 6-8-25

      157        148  

Guidehouse LLP (1-Month ICE LIBOR plus 450 bps),
4.647%, 5-1-25

      247        246  
        394  

Security & Alarm Services – 0.0%

 

Garda World Security Corp. (ICE LIBOR plus 475 bps),
4.900%, 10-30-26

      164        164  

Total Industrials - 1.9%

 

      6,641  

Information Technology

 

Application Software – 1.3%

 

Greeneden U.S. Holdings II LLC,
0.000%, 12-1-27(O)

      EUR500        610  

Kronos Acquisition Holdings, Inc.,
0.000%, 12-17-26(O)

    $ 737        736  

Mitchell International, Inc. (ICE LIBOR plus 725 bps),
7.397%, 11-30-25

      208        200  

Riverbed Technology, Inc.,
0.000%, 12-30-25(O)

      216        214  

Riverbed Technology, Inc. (6.500% Cash or 4.500% PIK),
0.000%, 12-30-26(K)(O)

      1,081        854  

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

      1,186        1,140  

Ultimate Software Group, Inc. (The) (ICE LIBOR plus 675 bps),
7.500%, 5-3-27

      102        105  
        3,859  

Communications Equipment – 0.3%

 

MLN U.S. Holdco LLC (ICE LIBOR plus 450 bps),
4.652%, 11-30-25

      971        876  

MLN U.S. Holdco LLC (ICE LIBOR plus 875 bps),
8.902%, 11-30-26

      470        235  
        1,111  

Data Processing & Outsourced Services – 0.8%

 

Cardtronics USA, Inc. (ICE LIBOR plus 400 bps),
5.000%, 6-29-27

      345        345  

CommerceHub, Inc. (1-Month ICE LIBOR plus 400 bps),
4.750%, 12-2-27

      368        367  

CommerceHub, Inc. (1-Month ICE LIBOR plus 700 bps),
7.750%, 12-2-28

      390        391  

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

      570        444  

Cyxtera DC Holdings, Inc. (ICE LIBOR plus 325 bps),
4.000%, 5-1-24

      793        741  

Output Services Group, Inc. (ICE LIBOR plus 425 bps),
5.500%, 3-27-24

      243        178  
        2,466  

Electronic Equipment & Instruments – 0.2%

 

Verisure Holding AB (3-Month EURIBOR plus 400 bps),
4.000%, 7-14-26(J)

      EUR500        612  

Internet Services & Infrastructure – 0.3%

 

E2open LLC,
0.000%, 10-29-27(O)

    $ 250        249  

Informatica LLC,
7.125%, 2-25-25

      642        652  
        901  

IT Consulting & Other Services – 0.3%

 

Milano Acquisition Corp. (ICE LIBOR plus 400 bps),
4.750%, 10-1-27

      919        918  

Systems Software – 0.1%

 

DCert Buyer, Inc. (ICE LIBOR plus 400 bps),
4.147%, 10-16-26

      496        495  

Technology Hardware, Storage & Peripherals – 0.1%

 

Delta Topco, Inc. (ICE LIBOR plus 375 bps),
4.500%, 12-1-27

      250        250  

Total Information Technology - 3.4%

 

      10,612  

Materials

 

Construction Materials – 0.4%

 

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

      168        143  

Hillman Group, Inc. (The) (ICE LIBOR plus 350 bps),
4.147%, 5-31-25

      941        935  

LSF11 Skyscraper Holdco S.a.r.l. (3-Month EURIBOR plus 450 bps),
4.500%, 9-30-27(J)

      EUR250        306  
        1,384  

Diversified Chemicals – 0.1%

 

Aruba Investments Holdings LLC (ICE LIBOR plus 400 bps),
4.750%, 11-24-27

    $ 250        250  

Forest Products – 0.1%

 

Asplundh Tree Expert LLC (3-Month U.S. LIBOR plus 250 bps),
2.500%, 9-4-27

      249        250  

Metal & Glass Containers – 0.1%

 

Pretium PKG Holdings, Inc. (1-Month ICE LIBOR plus 400 bps),
4.750%, 11-5-27

      250        250  

Paper Packaging – 0.0%

 

Archroma Finance S.a.r.l. (ICE LIBOR plus 425 bps),
4.504%, 7-28-24(C)

      3        2  

Specialty Chemicals – 0.2%

 

Archroma Finance S.a.r.l. (3-Month ICE LIBOR plus 425 bps),
4.403%, 7-28-24(C)

      340        308  

Diamond BC B.V. (ICE LIBOR plus 500 bps),
6.000%, 9-6-24(C)

      249        249  
        557  

Total Materials - 0.9%

 

      2,693  

Real Estate

 

Retail REITs – 0.3%

 

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

      812        824  

Total Real Estate - 0.3%

 

      824  

Utilities

 

Multi-Utilities – 0.1%

 

Pacific Gas and Electric Co. (ICE LIBOR plus 225 bps),
5.500%, 1-1-22

      249        251  

Total Utilities - 0.1%

 

      251  

TOTAL LOANS – 16.1%

 

    $ 51,406  

(Cost: $53,845)

 

 

SHORT-TERM

SECURITIES

    Shares      

Money Market Funds(Q) - 2.9%

Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares,
0.030%(P)

    1,678    1,678

State Street Institutional U.S. Government Money Market Fund - Premier Class,
0.030%

    7,881    7,881
      9,559

TOTAL SHORT-TERM SECURITIES – 2.9%

    $9,559

(Cost: $9,559)

TOTAL INVESTMENT SECURITIES – 99.8%

    $331,903

(Cost: $305,351)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2%

    831

NET ASSETS – 100.0%

    $332,734

    

    

 

Notes to Schedule of Investments

 

  *

Not shown due to rounding.

(A)

Listed on an exchange outside the United States.

(B)

No dividends were paid during the preceding 12 months.

(C)

Securities whose value was determined using significant unobservable inputs.

(D)

Restricted securities. At December 31, 2020, the Fund owned the following restricted securities:

 

Security    Acquisition Date(s)       Shares          Cost            Value      

 

  

EP Energy Corp.

      10-1-20        4      $ 68      $ 124  

Foresight Energy L.P.

      6-30-20-9-8-20        31        611        515  

New Cotai Participation Corp., Class B

      9-29-20        318        2,791        1,557  

Pinnacle Agriculture Enterprises LLC

      7-17-20        1        106        –  

Studio City International Holdings Ltd. ADR

      8-5-20        15        227        174  

Targa Resources Corp., 9.500%

      10-24-17        1        1,415        1,365  
        

 

 

  
         $               5,218      $             3,735  
        

 

 

  

The total value of these securities represented 1.1% of net assets at December 31, 2020.

 

(E)

All or a portion of securities with an aggregate value of $4,772 are on loan.

(F)

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

(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)

Variable rate security. Interest rate disclosed is that which is in effect at December 31, 2020. Description of the reference rate and spread, if applicable, are included in the security description.

(I)

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, 2020 the total value of these securities amounted to $82,258 or 24.7% of net assets.

(J)

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

(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 December 31, 2020.

(M)

Zero coupon bond.

(N)

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

(O)

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

(P)

Investment made with cash collateral received from securities on loan.

(Q)

Rate shown is the annualized 7-day yield at December 31, 2020.

The following forward foreign currency contracts were outstanding at December 31, 2020:

 

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

 

  

British Pound

     1,380        U.S. Dollar        1,804                1-29-21            JPMorgan Securities LLC        $—        $83  

Euro

     4,590        U.S. Dollar        5,387                1-29-21            JPMorgan Securities LLC        —        224  

U.S. Dollar

     292        British Pound        220                1-29-21            JPMorgan Securities LLC        9        —  

U.S. Dollar

     1,635        Euro        1,340                1-29-21            JPMorgan Securities LLC        3        —  

Euro

     5,072        U.S. Dollar        6,571                9-30-21            JPMorgan Securities LLC        338        —  
                

 

 

  
                                 $350                    $307  
                

 

 

  

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, 2020:

 

      Level 1        Level 2       Level 3  

Assets

       

Investments in Securities

       

Common Stocks

       

Communication Services

   $ 3,776      $ 2,024     $ —   

Consumer Discretionary

     2,499        4,073       1,557  

Consumer Staples

     9,675        3,516       —  

Energy

     2,872        3,177       827  

Financials

     11,825        18,826       —  

Health Care

     6,182        10,655       —  

Industrials

     7,302        8,295       —  

Information Technology

     3,053        13,574       —  

Materials

     1,710        3,925       —  

Real Estate

     20,034        12,985       —  

Utilities

     4,378        10,016       —  

Total Common Stocks

   $       73,306      $       91,066     $       2,384  

Preferred Stocks

     —        3,460       —  

Rights

     —        — *      —  

Warrants

     5        —       —  

Asset-Backed Securities

     —        5,871       —  

Corporate Debt Securities

     —        89,056       —  

Mortgage-Backed Securities

     —        5,569       —  

Other Government Securities

     —        221       —  

Loans

     —        47,527       3,879  

Short-Term Securities

     9,559        —       —  

Total

   $ 82,870      $ 242,770     $ 6,263  

Forward Foreign Currency Contracts

   $ —      $ 350     $ —  

Liabilities

       

Forward Foreign Currency Contracts

   $ —      $ 307     $ —  

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

 

      Common
Stocks		            Loans      

Beginning Balance 10-1-20

      $2,029        $3,247  

Net realized gain (loss)

      -        (1 ) 

Net change in unrealized appreciation (depreciation)

      43        443  

Purchases

      -        663  

Sales

      -        (726 ) 

Amortization/Accretion of premium/discount

      -        14  

Transfers into Level 3 during the period

      312        1,372  

Transfers out of Level 3 during the period

      -        (1,133 ) 

Ending Balance 12-31-20

                      $2,384        $3,879  

Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 12-31-20

      $43        $438  

Information about Level 3 fair value measurements:

 

     

Fair Value

at

12-31-20

    Valuation Technique(s)    Unobservable Input(s)   

Input

Value(s)        

  

Assets

            
Common Stocks    $1,557

515

312

    Market approach

Market approach

Market approach

    Illiquidity discount

Illiquidity discount

Broker quote

     

 10%

30%

N/A

  

 

 

Loans    3,879    Third-party valuation service            Broker quotes      N/A  

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

CLO = Collateralized Loan Obligation

EURIBOR = Euro Interbank Offered Rate

GTD = Guaranteed

ICE = Intercontinental Exchange

LIBOR = London Interbank Offered Rate

PIK = Payment in Kind

REIT= Real Estate Investment Trust

For Federal income tax purposes, cost of investments owned at December 31, 2020 and the related unrealized appreciation (depreciation) were as follows:

 

Cost

      $305,351  
  

 

 

  

Gross unrealized appreciation

      38,719  

Gross unrealized depreciation

      (12,167)  
  

 

 

  

Net unrealized appreciation

                      $26,552