NPORT-EX 2 AMAI.htm DELAWARE IVY APOLLO MULTI-ASSET INCOME FUND SOI HTML
      SCHEDULE OF INVESTMENTS   
 
   Delaware Ivy Apollo Multi-Asset Income Fund (in thousands)    JUNE 30, 2021 (UNAUDITED)
     
     

 

COMMON STOCKS   Shares   Value

Communication Services

Integrated Telecommunication Services – 1.4%

Deutsche Telekom AG, Registered Shares(A)

   158   $3,337

Frontier Communications Corp.(B)

   52   1,385

Vantage Towers AG(A)(B)

   5   156
    4,878
Total Communication Services - 1.4%   4,878

Consumer Discretionary

Apparel Retail – 0.0%

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

   — *   26

Apparel, Accessories & Luxury Goods – 0.5%

V.F. Corp.

   21   1,682

Casinos & Gaming – 1.0%

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

   318   1,009

Sands China Ltd.(A)

   405   1,706

Studio City International Holdings Ltd. ADR(B)

   35   409

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

   15   168
    3,292

Education Services – 0.1%

  

Laureate Education, Inc., Class A(B)

   11   155
Total Consumer Discretionary - 1.6%   5,155

Consumer Staples

Agricultural Products – 0.0%

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

   1   —

Food Distributors – 0.5%

Sysco Corp.

   23   1,781

Household Products – 1.0%

Procter & Gamble Co. (The)

   25   3,320

Personal Products – 1.0%

Unilever plc(A)

   57   3,314

Tobacco – 1.2%

Philip Morris International, Inc.

   38   3,767
Total Consumer Staples - 3.7%   12,182

Energy

Coal & Consumable Fuels – 0.2%

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

   31   524

Westmoreland Coal Co.(A)(B)

   7   22
    546

Integrated Oil & Gas – 0.9%

TotalEnergies SE(A)(E)

   67   3,009

Oil & Gas Drilling – 0.2%

KCA Deutag UK Finance plc(A)(B)(C)

   8   622

Oil & Gas Equipment & Services – 0.0%

McDermott International, Inc.(B)

   102   50

Oil & Gas Exploration & Production – 1.7%

ConocoPhillips

   52   3,157

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

   4   349

Lundin Energy AB(A)(E)

   49   1,749
    5,255
Total Energy - 3.0%   9,482

Financials

Asset Management & Custody Banks – 0.5%

3i Group plc(A)

   100   1,620

Diversified Banks – 3.9%

    

Bank of America Corp.

   115   4,748

Bank of Montreal(A)

   29   2,947

DBS Group Holdings Ltd.(A)

   117   2,593

PT Bank Mandiri (Persero) Tbk(A)

   5,771   2,348
    12,636

Investment Banking & Brokerage – 0.9%

Morgan Stanley

   33   3,008

Multi-Line Insurance – 1.7%

Axa S.A.(A)

   135   3,435

Zurich Financial Services, Registered Shares(A)

   5   1,946
    5,381

Other Diversified Financial Services – 1.7%

Citigroup, Inc.

   34   2,378

ORIX Corp.(A)

   178   3,005
    5,383

Property & Casualty Insurance – 0.5%

Tokio Marine Holdings, Inc.(A)

   38   1,765

Reinsurance – 0.6%

Munchener Ruckversicherungs-Gesellschaft AG, Registered Shares(A)

   7   1,788

Specialized Finance – 0.1%

Landcadia Holdings III, Inc., Class A(B)(E)

   14   168
Total Financials - 9.9%   31,749

Health Care

Biotechnology – 0.8%

Amgen, Inc.

   10   2,482

Health Care Services – 1.1%

CVS Caremark Corp.

   43   3,567

Pharmaceuticals – 3.3%

AstraZeneca plc(A)

   43   5,164

Roche Holdings AG, Genusscheine(A)

   8   3,137

Sanofi-Aventis(A)

   22   2,318
    10,619
Total Health Care - 5.2%   16,668

Industrials

Aerospace & Defense – 1.1%

Raytheon Technologies Corp.

   41   3,522

Electrical Components & Equipment – 2.3%

Eaton Corp.

   22   3,289

Schneider Electric S.A.(A)

   26   4,079
    7,368

Industrial Conglomerates – 1.0%

Siemens AG(A)

   21   3,309

Trading Companies & Distributors – 0.6%

ITOCHU Corp.(A)

   68   1,970
Total Industrials - 5.0%   16,169

Information Technology

Communications Equipment – 1.0%

Cisco Systems, Inc.

   64   3,404

Semiconductors – 2.0%

Taiwan Semiconductor Manufacturing Co. Ltd.(A)

   295   6,300

Technology Hardware, Storage & Peripherals – 1.7%

Samsung Electronics Co. Ltd.(A)

   76   5,469
Total Information Technology - 4.7%   15,173

Materials

Construction Materials – 0.6%

CRH plc(A)

   36   1,808

Diversified Chemicals – 0.5%

Eastman Chemical Co.

   14   1,619

Diversified Metals & Mining – 0.6%

Anglo American plc(A)

   44   1,732
Total Materials - 1.7%   5,159

Real Estate

Diversified Real Estate Activities – 0.6%

Heiwa Real Estate Co. Ltd.(A)

   5   188

Mitsubishi Estate Co. Ltd.(A)

   37   605

Mitsui Fudosan Co. Ltd.(A)

   27   621

New World Development Co. Ltd.(A)

   63   329

Nomura Real Estate Holdings, Inc.(A)

   4   112

Tokyu Fudosan Holdings Corp.(A)

   25   153
    2,008

Diversified REITs – 0.5%

  

Cominar Real Estate Investment Trust(A)

   5   45

Gecina(A)

   4   568

H&R Real Estate Investment Trust(A)

   6   77

Merlin Properties Socimi S.A.(A)

   45   466

Star Asia Investment Corp.(A)

   — *   129

VEREIT, Inc.

   8   354

XYMAX REIT Investment Corp.(A)

   — *   63
   

 

    1,702
   

 

 

Health Care REITs – 0.6%

Aedifica S.A.(A)

    2    205

Assura plc(A)

    164    168

Healthcare Trust of America, Inc., Class A

    15    408

National Health Investors, Inc.

    3    169

Sabra Health Care REIT, Inc.

    16    286

Ventas, Inc.

    7    425

Welltower, Inc.

    3    284
      1,945

Hotel & Resort REITs – 0.5%

Host Hotels & Resorts, Inc.(B)

    51    866

Japan Hotel REIT Investment Corp.(A)

    —*    215

MGM Growth Properties LLC, Class A

    15    545
      1,626

Industrial REITs – 1.1%

ARA LOGOS Logistics Trust(A)

    140    87

Duke Realty Corp.

    9    423

First Industrial Realty Trust, Inc.

    13    704

GLP J-REIT(A)

    —*    169

ITOCHU Advance Logistics Investment Corp.(A)

    —*    192

Mapletree Investments Pte Ltd.(A)

    54    113

Mitsui Fudosan Logistics Park, Inc.(A)

    —*    43

ProLogis, Inc.

    9    1,038

Rexford Industrial Realty, Inc.

    4    237

SEGRO plc(A)

    34    508
      3,514

Office REITs – 0.8%

alstria office AG(A)

    4    77

Columbia Property Trust, Inc.

    11    185

Corporate Office Properties Trust

    14    386

Cousins Properties, Inc.(A)

    9    314

Derwent London plc(A)

    6    280

Fonciere des Regions S.A.(A)

    1    78

Global One Corp.(A)

    —*    69

Hibernia REIT plc(A)

    48    70

Ichigo Office REIT Investment Corp.(A)

    —*    262

Japan Real Estate Investment Corp.(A)

    —*    154

NSI N.V.(A)

    9    360

ORIX JREIT, Inc.(A)

    —*    308
      2,543

Real Estate Development – 0.2%

China Resources Land Ltd.(A)

    56    228

Kerry Properties Ltd.(A)

    107    353
      581

Real Estate Operating Companies – 1.0%

Adler Group S.A.(A)

    7    175

Ascendas India Trust(A)

    109    113

Grainger plc(A)

    82    321

Keihanshin Building Co. Ltd.(A)

    3    42

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

    2    98

Swire Properties Ltd.(A)

    92    274

TOC Ltd.(A)

    9    56

Tricon Capital Group, Inc.(A)

    40    457

Vonovia SE(A)

    21    1,338

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

    96    561
      3,435

Residential REITs – 1.5%

American Campus Communities, Inc.

    6    295

Apartment Investment and Management Co., Class A

    9    449

AvalonBay Communities, Inc.

    5    941

Boardwalk(A)

    4    127

Camden Property Trust

    5    680

Equity Lifestyle Properties, Inc.

    9    697

Invitation Homes, Inc.

    29    1,077

Irish Residential Properties REIT plc(A)

    96    173

Starts Proceed Investment Corp.(A)

    —*    87

Unite Group plc (The)(A)

    14    210
      4,736

Retail REITs – 1.4%

Agree Realty Corp.

    7    504

CapitaLand China Trust(A)

    135    137

CapitaLand Integrated Commercial Trust(A)

    307    477

First Capital REIT(A)

    21    302

Frasers Centrepoint Trust(A)

    33    59

Japan Metropolitan Fund Investment Corp.(A)

    —*    173

Link (The)(A)

    30    295

National Retail Properties, Inc.

    6    259

Realty Income Corp.

    5    327

Retail Opportunity Investments Corp.

    20    345

Retail Properties of America, Inc.

    36    407

Simon Property Group, Inc.

    3    379

Urban Edge Properties

    17    318

Vicinity Centres(A)

    548    635
      4,617

Specialized REITs – 1.4%

CBS Outdoor Americas, Inc.(B)

    19    459

CubeSmart

    7    312

Digital Realty Trust, Inc.

    6    834

Equinix, Inc.

    1    696

National Storage REIT(A)

    113    167

Public Storage, Inc.

    3    830

Safestore Holdings plc(A)

    10    132

SBA Communications Corp.

    2    594

VICI Properties, Inc.

    15    453
      4,477
Total Real Estate - 9.6%    31,184

Utilities

Electric Utilities – 1.7%

ENEL S.p.A.(A)

    371    3,441

Exelon Corp.

    43    1,925
      5,366

Multi-Utilities – 1.9%

E.ON AG(A)

    147    1,699

Public Service Enterprise Group, Inc.

    30    1,788

RWE Aktiengesellschaft(A)

    71    2,558
      6,045
Total Utilities - 3.6%    11,411
TOTAL COMMON STOCKS - 49.4%    $159,210

(Cost: $121,360)

      
PREFERRED STOCKS     

Consumer Discretionary

Apparel Retail – 0.0%

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

    —*    10

Automobile Manufacturers – 1.0%

Volkswagen AG, 2.260%(A)

   13   3,186
Total Consumer Discretionary - 1.0%   3,196

Energy

    

Oil & Gas Exploration & Production – 0.4%

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

   1   1,367
Total Energy - 0.4%   1,367
TOTAL PREFERRED STOCKS – 1.4%   $4,563

(Cost: $3,587)

    

Specialized REITs – 0.0%

National Storage REIT

   18   —*
TOTAL RIGHTS – 0.0%   $ —*

(Cost: $1)

    
WARRANTS    

Oil & Gas Exploration & Production – 0.0%

California Resources Corp., expires 10-27-24(F)

   1   9
TOTAL WARRANTS – 0.0%   $9

(Cost: $102)

    
ASSET-BACKED SECURITIES   Principal    

Anchorage Capital CLO Ltd., Series 2014-4RA, Class D (3-Month U.S. LIBOR plus 260 bps),
2.819%, 1-28-31 (G)(H)

   $500   489

Anchorage Capital CLO Ltd., Series 2020-15A, Class D (3-Month U.S. LIBOR plus 460 bps),
4.824%, 7-20-31 (G)(H)

   500   499

Audax Senior Debt CLO II LLC, Series 2019-2A, Class C (3-Month U.S LIBOR plus 490 bps),
5.084%, 10-22-29 (G)(H)

   250   249

Fortress Credit BSL Ltd., Series 2018-1A, Class ER (3-Month U.S. LIBOR plus 645 bps),
6.623%, 7-23-31 (G)(H)

   750   713

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

   EUR385   440
 

Golub Capital Partners CLO Ltd., Series 2013-17A, Class CR (3-Month U.S. LIBOR plus 350 bps),
3.676%, 10-25-30 (G)(H)

    $1,000    986

Northwoods Capital XI-B Ltd. and Northwoods Capital XI-B LLC, Series 2018-14BA, Class D (3-Month U.S. LIBOR plus 340 bps),
3.594%, 11-13-31 (G)(H)

    1,200    1,163

Rockford Tower CLO Ltd., Series 2019-1A, Class DR (3-Month U.S. LIBOR plus 310 bps),
3.282%, 4-20-34 (G)(H)

    500    499

TIAA Churchill Middle Market CLO I Ltd., Series 2016-1A, Class DR (3-Month U.S. LIBOR plus 390 bps),
4.088%, 10-20-30 (G)(H)

    750    710

Venture CDO Ltd., Series 17-26A, Class D (3-Month U.S. LIBOR plus 425 bps),
4.438%, 1-20-29 (G)(H)

    400    402

TOTAL ASSET-BACKED SECURITIES - 1.9%

    $6,150

(Cost: $6,222)

        
CORPORATE DEBT
SECURITIES		            
Communication Services          

Advertising – 0.3%

      

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

    782    826

Alternative Carriers – 0.1%

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

    181    180

Zayo Group Holdings, Inc.,
6.125%, 3-1-28(G)

    39    40
      220

Broadcasting – 0.4%

Clear Channel Outdoor Holdings, Inc.:

      

5.125%, 8-15-27(G)

    822    845

7.750%, 4-15-28(G)

    225    236

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

    200    207

Univision Communications, Inc.,
4.500%, 5-1-29(G)

    138    140
      1,428

Cable & Satellite – 2.0%

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

    1,081    1,078

Altice France S.A.,
5.125%, 7-15-29(G)

    254    256

CCO Holdings LLC and CCO Holdings Capital Corp.:

      

5.375%, 6-1-29(G)

    19    21

4.500%, 8-15-30(G)

    451    470

4.250%, 2-1-31(G)

    62    63

4.500%, 5-1-32

    80    83

CSC Holdings LLC:

      

5.375%, 2-1-28(G)

    399    423

5.750%, 1-15-30(G)

    202    210

4.125%, 12-1-30(G)

    100    100

5.000%, 11-15-31(G)

    254    255

DISH DBS Corp.:

      

7.750%, 7-1-26

    498    565

7.375%, 7-1-28

    96    103

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

    184    216

LCPR Senior Secured Financing Designated Activity Co.,
5.125%, 7-15-29(G)

    200    207

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

    872    839

Ligado Networks LLC (17.500% Cash or 17.500% PIK),
17.500%, 5-1-24(G)(K)

    62    46

Telesat Canada and Telesat LLC,
5.625%, 12-6-26(G)

    678    681

Videotron Ltd.,
3.625%, 6-15-29(G)

    95    97

VTR Comunicaciones S.p.A.,
4.375%, 4-15-29(G)

    346    346

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

    EUR170    202

Ziggo Secured Finance B.V.,
4.875%, 1-15-30(G)

    $17    18
      6,279

Integrated Telecommunication Services – 1.9%

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

    200    204

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

    200    208

Consolidated Communications, Inc.:

      

5.000%, 10-1-28(G)

    122    124

6.500%, 10-1-28(G)

    290    312

Frontier Communications Corp.:

      

5.875%, 10-15-27(G)

    793    851

5.000%, 5-1-28(G)

    312    323

6.750%, 5-1-29(G)

    174    185

5.875%, 11-1-29

    234    239

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

    100    97

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

    168    190

Northwest Fiber LLC and Nortwest Fiber Finance Sub, Inc.,
6.000%, 2-15-28(G)

    187    188

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

    2,163    2,117

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

    1,009    1,041
      6,079

Interactive Home Entertainment – 0.0%

Playtika Holding Corp.,
4.250%, 3-15-29(G)

    64    64

Interactive Media & Services – 0.1%

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

    270    288

Publishing – 0.2%

MDC Partners, Inc.,
7.500%, 5-1-24(G)(L)

    478    485

News Corp.,
3.875%, 5-15-29(G)

    109    110
      595

Wireless Telecommunication Service – 1.4%

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

    195    204

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

    198    167

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

    92    72

Digicel International Finance Ltd.:

      

8.750%, 5-25-24(G)

    1,251    1,307

8.000%, 12-31-26(G)

    182    179

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

    107    108

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

    1,007    973

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

    1,200    1,148

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

    EUR69    82

Millicom International Cellular S.A.,
4.500%, 4-27-31(G)

    $200    207
      4,447
Total Communication Services - 6.4%    20,226
Consumer Discretionary          

Automotive Retail – 0.6%

Asbury Automotive Group, Inc.:

      

4.500%, 3-1-28

    345    355

4.750%, 3-1-30

    346    362

Carvana Co.,
5.500%, 4-15-27(G)

    130    135

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

    94    96

Lithia Motors, Inc.:

      

3.875%, 6-1-29(G)

    219    227

4.375%, 1-15-31(G)

    346    371

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

    185    194

Turkiye Sise ve Cam Fabrikalari A.S.,
6.950%, 3-14-26(G)

    200    223
      1,963

Casinos & Gaming – 0.1%

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

    108    112

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

    126    132

Everi Holdings, Inc.,
5.000%, 7-15-29(G)

    172    172

Midwest Gaming Borrower LLC,
4.875%, 5-1-29(G)

    51    51
      467

Department Stores – 0.2%

Nordstrom, Inc.:

      
 

4.375%, 4-1-30(E)

    260    271

5.000%, 1-15-44

    506    505
      776

Education Services – 0.3%

Adtalem Global Education, Inc.,
5.500%, 3-1-28(G)

    1,051    1,070

Home Furnishings – 0.1%

Tempur Sealy International, Inc.,
4.000%, 4-15-29(G)

    220    223

Home Improvement Retail – 0.0%

GYP Holdings III Corp.,
4.625%, 5-1-29(G)

    101    102

Homebuilding – 0.2%

Forestar Group, Inc.,
3.850%, 5-15-26(G)

    58    59

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

    500    542
      601

Homefurnishing Retail – 0.0%

Ambience Merger Sub, Inc.:

      

4.875%, 7-15-28(G)

    51    51

7.125%, 7-15-29(G)

    89    90
      141

Hotels, Resorts & Cruise Lines – 0.6%

Boyne USA, Inc.,
4.750%, 5-15-29(G)

    85    88

Carnival Corp.:

      

10.500%, 2-1-26(G)

    44    51

7.625%, 3-1-26(G)

    91    99

9.875%, 8-1-27(G)

    190    222

Marriott Ownership Resorts, Inc. (GTD by Marriott Vacations Worldwide Corp.):

      

6.125%, 9-15-25(G)

    326    348

4.500%, 6-15-29(G)

    73    74

NCL Corp. Ltd.:

      

12.250%, 5-15-24(G)

    349    422

10.250%, 2-1-26(G)

    232    270

5.875%, 3-15-26(G)

    90    95

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

    96    101

Royal Caribbean Cruises Ltd.,
5.500%, 4-1-28(G)

    339    355
      2,125

Internet & Direct Marketing Retail – 0.5%

Arches Buyer, Inc.:

      

4.250%, 6-1-28(G)

    543    538

6.125%, 12-1-28(G)

    409    422

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

    400    401

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

    EUR200    244
      1,605

Leisure Facilities – 0.2%

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

    $281    290

Legends Hospitality Holding Co. LLC,
5.000%, 2-1-26(G)

    53    55

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

    342    355
      700

Leisure Products – 0.2%

MajorDrive Holdings IV LLC,
6.375%, 6-1-29(G)

    705    704

Specialized Consumer Services – 0.5%

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

    EUR200    265

Nielsen Finance LLC and Nielsen Finance Co.:

      

5.625%, 10-1-28(G)

    $283    299

5.875%, 10-1-30(G)

    236    258

Service Corp. International:

      

5.125%, 6-1-29

    341    370

4.000%, 5-15-31

    143    146

StoneMor, Inc.,
8.500%, 5-15-29(G)

    538    545
      1,883

Specialty Stores – 2.1%

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

    457    490

Bed Bath & Beyond, Inc.,
5.165%, 8-1-44

    176    164

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

    22    24

Magic MergerCo, Inc.:

      

5.250%, 5-1-28(G)

    298    306

7.875%, 5-1-29(G)

    722    745

Party City Holdings, Inc.,
8.750%, 2-15-26(G)

    646    690

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

    36    36

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

    65    62

PetSmart, Inc. and PetSmart Finance Corp.:

      

4.750%, 2-15-28(G)

    441    459

7.750%, 2-15-29(G)

    185    204

Staples, Inc.:

      

7.500%, 4-15-26(G)

    2,184    2,265

10.750%, 4-15-27(G)

    1,117    1,139
      6,584

Total Consumer Discretionary - 5.6%

    18,944
Consumer Staples          

Food Distributors – 0.1%

      

MARB BondCo plc (GTD by Marfrig Global Foods S.A., Marfrig Overseas Ltd. and Marfrig Holdings (Europe) B.V.),
3.950%, 1-29-31(G)

    200    193

Packaged Foods & Meats – 0.4%

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

    80    88

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

      

6.500%, 4-15-29(G)

    57    64

5.500%, 1-15-30(G)

    95    106

Pilgrim’s Pride Corp.,
4.250%, 4-15-31(G)

    508    527

Post Holdings, Inc.,
4.500%, 9-15-31(G)

    177    177

Simmons Foods, Inc.,
4.625%, 3-1-29(G)

    176    178
      1,140

Personal Products – 0.1%

Douglas GmbH,
6.000%, 4-8-26(G)(I)

    EUR243    288

Total Consumer Staples - 0.6%

    1,621

Energy

Coal & Consumable Fuels – 0.1%

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

    $200    217

Integrated Oil & Gas – 0.0%

Ecopetrol S.A.,
6.875%, 4-29-30

    41    49

Oil & Gas Drilling – 0.2%

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

    415    458

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

    1,400    140
      598

Oil & Gas Equipment & Services – 0.1%

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

    311    159

Oil & Gas Exploration & Production – 0.8%

Ascent Resources Utica Holdings LLC and ARU Finance Corp.:

      

7.000%, 11-1-26(G)

    214    225

8.250%, 12-31-28(G)

    18    20

5.875%, 6-30-29(G)

    84    84

California Resources Corp.,
7.125%, 2-1-26(G)

    51    54

Chesapeake Escrow Issuer LLC:

      

5.500%, 2-1-26(G)

    176    186

5.875%, 2-1-29(G)

    132    143

Colgate Energy Partners III LLC,
5.875%, 7-1-29(G)

    67    70

CrownRock L.P. and CrownRock Finance, Inc.,
5.000%, 5-1-29(G)

    85    89

Laredo Petroleum, Inc.:

      

9.500%, 1-15-25

    660    696

10.125%, 1-15-28(E)

    440    485

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

    442    412

Murphy Oil Corp.,
6.375%, 7-15-28

    70    74

Range Resources Corp.,
8.250%, 1-15-29(G)

    18    20

Vine Energy Holdings LLC,
6.750%, 4-15-29

    341    359
      2,917

Oil & Gas Refining & Marketing – 0.6%

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

      

6.125%, 10-1-24(E)

    163    161

9.000%, 4-1-25(G)

    35    38

Comstock Resources, Inc.:

      

6.750%, 3-1-29(G)

    346    369

5.875%, 1-15-30(G)

    202    206

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

    175    175

EG Global Finance plc:

      

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

    EUR169    198

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

    107    131

Ferrellgas Escrow LLC and FG Operating Finance Escrow Corp.:

      

5.375%, 4-1-26(G)

    $122    121

5.875%, 4-1-29(G)

    36    36
 

PBF Holding Co. LLC,
9.250%, 5-15-25(G)

    614    619
      2,054

Oil & Gas Storage & Transportation – 0.1%

Crestwood Midstream Partners L.P.:

      

5.750%, 4-1-25

    88    90

6.000%, 2-1-29(G)

    36    38

Energy Transfer Operating L.P.,
6.500%, 11-15-69

    216    221
      349

Total Energy - 1.9%

    6,343

Financials

Diversified Banks – 0.4%

Banco do Brasil S.A., Grand Cayman Branch,
5.250%, 5-7-69(G)

    200    210

BBVA Bancomer S.A.:
5.875%, 9-13-34(G)

    400    438

BBVA Peru,
5.250%, 9-22-29

    112    117

First Abu Dhabi Bank PJSC,
4.500%, 4-5-69

    200    214

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

      

5.000%, 1-31-28(G)

    134    142

4.750%, 1-15-30(G)

    54    56
      1,177

Financial Exchanges & Data – 0.0%

MSCI, Inc.,
4.000%, 11-15-29(G)

    90    95

Insurance Brokers – 0.9%

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

    870    957

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

    1,896    2,002
      2,959

Investment Banking & Brokerage – 0.2%

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

    499    535

LPL Holdings, Inc.,
4.000%, 3-15-29(G)

    109    110
      645

Life & Health Insurance – 0.0%

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

    170    173

Multi-Line Insurance – 0.1%

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

    EUR300    406

Property & Casualty Insurance – 0.2%

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

    $456    484

Specialized Finance – 1.1%

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

    986    1,038

Bellis Acquisition Co. plc,
3.250%, 2-16-26(G)(I)

    GBP100    139

Compass Group Diversified Holdings LLC,
5.250%, 4-15-29(G)

    $700    729

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

    GBP100    146

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

    $200    208

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

    300    314

NBK Tier 1 Financing Ltd.,
3.625%, 8-24-69(G)

    200    201

Real Hero Merger Sub 2, Inc.,
6.250%, 2-1-29(G)

    122    127

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

    400    411

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

    EUR150    177

VMED O2 UK Financing I plc:

      

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

    200    239

4.250%, 1-31-31(G)

    $42    41
      3,770

Thrifts & Mortgage Finance – 0.2%

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

    786    799

Total Financials - 3.1%

    10,508

Health Care

Health Care Equipment – 0.0%

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

    62    65

Health Care Facilities – 0.2%

Encompass Health Corp.:

      

4.750%, 2-1-30

    57    61

4.625%, 4-1-31

    173    185

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

    275    295
      541

Health Care Services – 0.1%

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

    347    363

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

    55    58
      421

Life Sciences Tools & Services – 0.0%

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

    69    71

Pharmaceuticals – 0.4%

Jazz Securities DAC,
4.375%, 1-15-29(G)

    90    94

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

    EUR300    354

Organon Finance 1 LLC,
4.125%, 4-30-28(G)

    $91    93

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

    417    439

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

    454    465

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

    15    15
      1,460

Total Health Care - 0.7%

    2,558

Industrials

Aerospace & Defense – 1.1%

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

      

5.500%, 11-15-27

    1,051    1,097

4.625%, 1-15-29(G)

    177    178

Triumph Group, Inc.,
8.875%, 6-1-24(G)

    22    24

Wolverine Escrow LLC:
8.500%, 11-15-24(G)

    956    929

9.000%, 11-15-26(G)

    1,438    1,407

13.125%, 11-15-27(G)

    128    109
      3,744

Airlines – 0.0%

Hawaiian Brand Intellectual Property Ltd. and HawaiianMiles Loyalty Ltd.,
5.750%, 1-20-26(G)

    88    95

Building Products – 0.3%

ABC Supply Co., Inc.:

      

4.000%, 1-15-28(G)

    76    78

3.875%, 11-15-29(G)

    62    62

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

    130    135

LBM Acquisition LLC,
6.250%, 1-15-29(G)

    241    243

Park River Holdings, Inc.,
5.625%, 2-1-29(G)

    189    184

Standard Industries, Inc.:

      

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

    EUR100    118

4.750%, 1-15-28(G)

    $38    40

4.375%, 7-15-30(G)

    40    42

3.375%, 1-15-31(G)

    73    70
      972

Construction & Engineering – 0.0%

Arcosa, Inc.,
4.375%, 4-15-29(G)

    90    92

Diversified Support Services – 0.3%

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

    665    603

Nesco Holdings II, Inc.,
5.500%, 4-15-29(G)

    519    542
      1,145

Electrical Components & Equipment – 0.0%

Sensata Technologies UK Financing Co. plc,
4.000%, 4-15-29(G)

    41    42

Environmental & Facilities Services – 0.1%

GFL Environmental, Inc.:

      

3.750%, 8-1-25(G)

    126    130

5.125%, 12-15-26(G)

    78    83

3.500%, 9-1-28(G)

    104    104

Madison IAQ LLC,
4.125%, 6-30-28(G)

    110    111
      428

Heavy Electrical Equipment – 0.0%

BWX Technologies, Inc.,
4.125%, 4-15-29(G)

    75    77

Highways & Railtracks – 0.1%

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

    200    202

Industrial Machinery – 0.0%

Mueller Water Products, Inc.,
4.000%, 6-15-29(G)

    90    93

Marine Ports & Services – 0.2%

Adani International Container Terminal Ltd.,
3.000%, 2-16-31(G)

    200    193

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

    200    223

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

    200    212
      628

Railroads – 0.1%

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

    103    120
 

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

    200    214
      334

Security & Alarm Services – 0.3%

Allied Universal Holdco LLC,
6.000%, 6-1-29(G)

    281    285

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

    278    280

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

    330    352
      917

Trading Companies & Distributors – 0.0%

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

    118    124

Total Industrials - 2.5%

    8,893

Information Technology

Application Software – 0.4%

Gartner, Inc.:

      

4.500%, 7-1-28(G)

    25    26

3.625%, 6-15-29(G)

    73    74

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

    111    115

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

      

5.000%, 12-31-26(G)

    270    275

7.000%, 12-31-27(G)

    669    671

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

    33    34

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

    57    60

StoneCo. Ltd.,
3.950%, 6-16-28(G)

    200    200
      1,455

Electronic Equipment & Instruments – 0.1%

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

    GBP100    151

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

    EUR300    364
      515

IT Consulting & Other Services – 0.2%

Booz Allen Hamilton, Inc.:

      

3.875%, 9-1-28(G)

    $101    103

4.000%, 7-1-29(G)

    61    63

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

      

9.250%, 4-15-25(G)

    103    123

7.375%, 9-1-25(G)

    42    45

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

    315    332
      666

Semiconductors – 0.0%

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

    42    44

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

    43    45
      89

Technology Hardware, Storage & Peripherals – 0.6%

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

    252    272

NCR Corp.:

      

5.750%, 9-1-27(G)

    113    120

5.000%, 10-1-28(G)

    318    329

5.125%, 4-15-29(G)

    928    958

6.125%, 9-1-29(G)

    144    157

5.250%, 10-1-30(G)

    106    110
      1,946

Total Information Technology - 1.3%

    4,671

Materials

Commodity Chemicals – 0.3%

LSF9 Atlantis Holdings LLC and Victra Finance Corp.,
7.750%, 2-15-26(G)

    440    457

Nova Chemicals Corp.,
4.250%, 5-15-29(G)

    169    171

NOVA Chemicals Corp.,
5.250%, 6-1-27(G)

    266    287
      915

Diversified Metals & Mining – 0.0%

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

    95    101

Gold – 0.0%

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

    120    150

Metal & Glass Containers – 0.2%

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

    320    337

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

      

5.250%, 4-30-25(G)

    48    51

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

    EUR150    178

4.125%, 8-15-26(G)

    $69    71

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

    24    25

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

    119    128
      790

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(G)

    35    35

Paper Products – 0.0%

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

    119    124

Specialty Chemicals – 0.1%

INEOS Quattro Finance 2 plc,
2.500%, 1-15-26(G)(I)

    EUR100    120

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

    $32    33
      153

Total Materials - 0.6%

    2,268

Real Estate

Hotel & Resort REITs – 0.1%

Hilton Domestic Operating Co., Inc.:

      

5.750%, 5-1-28(G)

    122    132

3.750%, 5-1-29(G)

    97    98
      230

Real Estate Development – 0.2%

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

    200    209

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

    200    208

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

    200    196
      613

Specialized REITs – 0.0%

Uniti Group L.P., Uniti Group Finance 2019, Inc. and CSL Capital LLC (GTD by Uniti Group, Inc.),
4.750%, 4-15-28(G)

    43    43

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

    73    75
      118

Total Real Estate - 0.3%

    961

Utilities

Electric Utilities – 0.2%

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

    187    191

Comision Federal de Electricidad,
3.348%, 2-9-31(G)

    200    199

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(G)

    50    54

Vistra Operations Co. LLC:

      

5.000%, 7-31-27(G)

    117    120

4.375%, 5-1-29(G)

    136    137
      701

Renewable Electricity – 0.1%

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

    39    41

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

    300    299

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

      

3.375%, 6-15-26(G)

    73    74

3.750%, 9-15-30(G)

    53    52
      466

Total Utilities - 0.3%

    1,167

TOTAL CORPORATE DEBT SECURITIES – 23.3%

    $78,160

(Cost: $76,611)

MORTGAGE-BACKED

SECURITIES

Other Mortgage-Backed Securities – 1.6%

ALM Loan Funding VII R-2 Ltd., Series 2013-7R2A, Class DR2 (3-Month U.S. LIBOR plus 600 bps),
6.184%, 10-15-27(G)(H)

    700    684

Ashford Hospitality Trust, Series 2018-ASHF, Class F (1-Month U.S. LIBOR plus 410 bps),
4.173%, 4-15-35(G)(H)

    600    567

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

    1,000    1,004

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

    500    502
 

Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class D (3-Month U.S. LIBOR plus 350 bps),
3.684%, 4-15-33(G)(H)

    250    251

PNMAC GMSR Issuer Trust, Series 2018-GT1 (1-Month U.S. LIBOR plus 285 bps),
2.942%, 2-25-23(G)(H)

    2,100    2,104
      5,112

TOTAL MORTGAGE-BACKED SECURITIES – 1.6%

    $5,112

(Cost: $5,149)

      

OTHER GOVERNMENT

SECURITIES(M)

     

Brazil - 0.1%

Federative Republic of Brazil,
3.875%, 6-12-30

    200    202

Dominican Republic - 0.1%

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

    200    207

TOTAL OTHER GOVERNMENT SECURITIES – 0.2%

    $409

(Cost: $411)

      

LOANS(H)

     

Communication Services

Advertising – 0.3%

Advantage Sales & Marketing, Inc.:

      

0.000%, 10-28-27(N)

    101    102

6.000%, 10-28-27

    2    2

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

    1,018    1,030
      1,134

Broadcasting – 0.3%

Clear Channel Outdoor Holdings, Inc.
(ICE LIBOR plus 350 bps),
3.686%, 8-21-26

    968    946

Cable & Satellite – 0.8%

Intelsat Jackson Holdings S.A.,
8.625%, 1-2-24(J)

    56    58

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

    1,520    1,544

Intelsat Jackson Holdings S.A. (ICE LIBOR plus 450 bps),
8.750%, 1-2-24(J)

    47    48

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

    444    450

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

    EUR500    588
      2,688

Integrated Telecommunication Services – 0.9%

Consolidated Communications, Inc.,
4.250%, 10-2-27

    $179    179

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

    EUR153    181

Frontier Communications Corp.,
4.500%, 10-8-27

    $249    250

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

    EUR250    294

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

    $1,587    1,555

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

    182    179

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

    179    180
      2,818

Wireless Telecommunication Service – 0.1%

Digicel International Finance Ltd. (ICE LIBOR plus 325 bps),
3.430%, 5-27-24

    427    411

Total Communication Services - 2.4%

    7,997

Consumer Discretionary

Apparel Retail – 0.1%

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

    EUR250    291

Apparel, Accessories & Luxury Goods – 0.1%

Tory Burch LLC (ICE LIBOR plus 350 bps),
4.000%, 4-16-28

    $250    250

Auto Parts & Equipment – 0.1%

Truck Hero, Inc. (1-Month ICE LIBOR plus 375 bps),
4.500%, 2-24-28

    249    250

Automotive Retail – 0.0%

Midas Intermediate Holdco II LLC (ICE LIBOR plus 675 bps),
7.500%, 12-22-25

    72    70

Casinos & Gaming – 0.6%

Caesars Resort Collection LLC (ICE LIBOR plus 450 bps),
4.604%, 7-20-25

    248    249

Cosmopolitan of Las Vegas (The) (1-Month U.S. LIBOR plus 525 bps),
5.365%, 11-9-21

    800    799

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

    93    94

Penn National Gaming, Inc. (ICE LIBOR plus 225 bps),
2.250%, 10-19-23

    82    81

Tackle S.a.r.l.,
0.000%, 5-18-28(N)

    EUR500    594
      1,817

Distributors – 0.1%

SRS Distribution, Inc.,
4.250%, 6-2-28

    $250    250

Homefurnishing Retail – 0.3%

Ambience Merger Sub, Inc.,
0.000%, 6-25-28(N)

    337    338

Empire Today LLC, 5.750%, 3-24-28

    250    251

Ensemble RCM LLC (ICE LIBOR plus 375 bps),
3.936%, 8-1-26

    249    250
      839

Hotels, Resorts & Cruise Lines – 0.2%

Hotel del Coronado (1-Month U.S. LIBOR plus 500 bps),
5.115%, 8-9-21

    150    150

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

    195    196
      346

Internet & Direct Marketing Retail – 0.1%

CNT Holdings I Corp. (ICE LIBOR plus 375 bps),
4.500%, 11-8-27

    229    230

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

    243    247
      477

Leisure Facilities – 0.3%

United PF Holdings LLC (ICE LIBOR plus 400 bps),
4.203%, 12-30-26

    631    618

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

    135    136
      754

Leisure Products – 0.5%

MajorDrive Holdings IV LLC,
4.500%, 6-1-28

    657    659

Polaris Newco LLC,
0.000%, 6-4-28(I)(N)

    EUR500    593

Polaris Newco LLC (ICE LIBOR plus 400 bps),
4.500%, 6-4-28

    $250    251
      1,503

Specialized Consumer Services – 0.2%

Asurion LLC (ICE LIBOR plus 325 bps),
3.354%, 8-3-27

    249    247

Asurion LLC (ICE LIBOR plus 525 bps),
5.354%, 2-3-28

    250    252
      499

Specialty Stores – 1.0%

Bass Pro Group LLC (ICE LIBOR plus 425 bps),
5.000%, 3-5-28

    82    82

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

    981    981

Michaels Cos., Inc. (The) (1-Month ICE LIBOR plus 425 bps),
5.000%, 4-15-28

    340    342

PetSmart, Inc. (ICE LIBOR plus 375 bps),
4.500%, 2-12-28

    905    907

Staples, Inc. (ICE LIBOR plus 500 bps),
5.176%, 4-12-26

    912    892

Woof Holdings LLC (1-Month ICE LIBOR plus 725 bps),
8.000%, 12-21-28

    68    69
 

Woof Holdings LLC (ICE LIBOR plus 375 bps),
4.500%, 12-21-27

    111    111
      3,384

Textiles – 0.2%

SIWF Holdings, Inc. (ICE LIBOR plus 425 bps),
4.343%, 6-15-25

    684    686

Tires & Rubber – 0.1%

      

Mavis Tire Express Services TopCo L.P. (ICE LIBOR plus 375 bps),
4.750%, 4-30-28

    250    251

Total Consumer Discretionary - 3.9%

    11,667

Consumer Staples

Personal Products – 0.2%

Douglas GmbH,
0.000%, 4-8-26(I)(N)

    EUR500    591

Total Consumer Staples - 0.2%

    591

Energy

Coal & Consumable Fuels – 0.1%

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

    $261    261

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

    50    49

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

    573    123
      433

Oil & Gas Equipment & Services – 0.0%

McDermott Technology Americas, Inc. (10.925% Cash or 10.925% PIK),
1.093%, 6-30-25(K)

    235    108

Oil & Gas Exploration & Production – 0.1%

Ascent Resources Utica Holdings LLC (1-Month ICE LIBOR plus 900 bps),
10.000%, 11-1-25

    82    91

Oil & Gas Refining & Marketing – 0.1%

EG America LLC,
4.750%, 3-12-26

    250    251

Oil & Gas Storage & Transportation – 0.2%

EPIC Crude Services L.P. (ICE LIBOR plus 500 bps),
5.140%, 3-1-26

    893    705

Total Energy - 0.5%

    1,588

Financials

Asset Management & Custody Banks – 0.2%

Edelman Financial Holdings II, Inc. (ICE LIBOR plus 675 bps),
6.845%, 7-20-26

    779    785

Insurance Brokers – 0.3%

Navacord Corp.:

      

5.000%, 3-16-28(C)(I)

    CAD127    103

0.000%, 3-16-29(C)(I)(N)

    28    23

Navacord Corp. (1-Month CDOR plus 425 bps),
5.000%, 3-16-28(C)(I)

    557    453

Navacord Corp. (1-Month CDOR plus 750 bps),
8.000%, 3-16-29(C)(I)

    282    228
      807

Multi-Sector Holdings – 0.1%

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

    EUR250    298

Other Diversified Financial Services – 0.2%

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

    $644    645

Property & Casualty Insurance – 0.3%

Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps),
4.604%, 2-28-25

    1,003    1,003

Specialized Finance – 0.5%

Endo Luxembourg Finance Co. I S.a.r.l.,
5.750%, 3-25-28

    249    243

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

    886    755

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

    4    2

Lealand Finance Co. B.V. (ICE LIBOR plus 300 bps),
3.113%, 6-30-24(C)

    12    8

MAR Bidco S.a.r.l.,
0.000%, 4-21-28(N)

    250    251

Sunshine Luxembourg VII S.a.r.l.,
4.500%, 10-2-26

    250    251
      1,510

Total Financials - 1.6%

    5,048

Health Care

Biotechnology – 0.2%

Chrome Bidco SASU,
0.000%, 5-24-28(N)

    EUR500    593

Health Care Facilities – 0.0%

Surgery Center Holdings, Inc.,
4.500%, 8-31-26

    $152    153

Health Care Services – 1.1%

Bio Lam LCD SELAS (3-Month EURIBOR plus 350 bps),
3.500%, 2-9-28(I)

    EUR250    295

CCRR Parent, Inc. (ICE LIBOR plus 425 bps),
5.000%, 3-5-28

    $249    251

Heartland Dental LLC (ICE LIBOR plus 375 bps),
3.604%, 4-30-25

    951    941

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

      

4.507%, 3-9-25(C)

    163    162

4.507%, 3-17-25(C)

    42    42

U.S. Renal Care, Inc. (3-Month ICE LIBOR plus 500 bps),
5.125%, 7-26-26

    1,238    1,245

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

    EUR250    295

Women’s Care Holdings, Inc. (ICE LIBOR plus 450 bps),
5.250%, 1-15-28

    $250    251
      3,482

Health Care Technology – 0.1%

Verscend Holding Corp.,
4.113%, 8-27-25

    250    251

Pharmaceuticals – 0.2%

Jazz Financing Lux S.a.r.l.,
4.000%, 4-22-28

    250    251

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

    EUR250    294
      545

Total Health Care - 1.6%

    5,024

Industrials

Aerospace & Defense – 0.2%

Bleriot U.S. Bidco, Inc. (ICE LIBOR plus 400 bps),
4.203%, 10-31-26

    $195    196

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

    320    283
      479

Airlines – 0.2%

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

    177    189

United Airlines, Inc.,
4.500%, 4-21-28

    250    253
      442

Building Products – 0.3%

CP Atlas Buyer, Inc. (ICE LIBOR plus 375 bps),
4.250%, 11-23-27

    564    563

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

    250    248
      811

Construction & Engineering – 0.1%

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

    244    234

Diversified Support Services – 0.1%

TruGreen L.P. (1-Month ICE LIBOR plus 400 bps),
4.750%, 11-2-27

    249    251

Industrial Conglomerates – 0.7%

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

    2,073    2,079

Industrial Machinery – 0.4%

Form Technologies LLC (ICE LIBOR plus 475 bps),
5.750%, 7-22-25(C)

    1,335    1,340

Research & Consulting Services – 0.2%

Ankura Consulting Group LLC (ICE LIBOR plus 450 bps),
5.250%, 3-17-28(C)

    172    172

APCO Holdings, Inc. (ICE LIBOR plus 550 bps),
5.610%, 6-8-25

    138    138

Guidehouse LLP (1-Month ICE LIBOR plus 450 bps),
4.094%, 5-1-25

    357    359
      669
 

Security & Alarm Services – 0.3%

Allied Universal Holdco LLC,
4.250%, 5-14-28

    250    251

Atlas LuxCo 4 S.a.r.l.,
3.750%, 5-14-28(I)

    EUR500    593

Garda World Security Corp. (ICE LIBOR plus 425 bps),
4.350%, 10-30-26

    $164    165
      1,009

Trucking – 0.1%

Hertz Corp. (The),
0.000%, 6-30-28(N)

    250    250

Total Industrials - 2.6%

    7,564

Information Technology

Application Software – 1.3%

Applied Systems, Inc. (ICE LIBOR plus 550 bps),
6.250%, 9-19-25

    461    469

Greeneden U.S. Holdings II LLC (3-Month EURIBOR plus 425 bps),
4.250%, 12-1-27(I)

    EUR499    594

Orion Adviser Solutions, Inc. (ICE LIBOR plus 375 bps),
4.500%, 9-24-27

    $249    249

Riverbed Technology, Inc. (1-Month ICE LIBOR plus 600 bps),
7.000%, 12-31-25

    992    945

Riverbed Technology, Inc. (7.500% Cash or 4.500% PIK),
7.500%, 12-31-26(K)

    2,199    1,740
      3,997

Communications Equipment – 0.4%

MLN U.S. Holdco LLC (ICE LIBOR plus 450 bps),
4.586%, 11-30-25

    968    892

MLN U.S. Holdco LLC (ICE LIBOR plus 875 bps),
8.836%, 11-30-26

    470    277
      1,169

Data Processing & Outsourced Services – 0.8%

CommerceHub, Inc. (1-Month ICE LIBOR plus 475 bps),
7.750%, 12-2-28(C)

    390    397

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

    367    369

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

    711    707

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

    789    771

Output Services Group, Inc. (ICE LIBOR plus 425 bps),
4.650%, 3-27-24

    242    210
      2,454

Electronic Equipment & Instruments – 0.2%

Verisure Holding AB (3-Month EURIBOR plus 400 bps),
3.500%, 7-14-26(I)

    EUR500    592

Internet Services & Infrastructure – 0.2%

Informatica LLC,
7.125%, 2-25-25

    $642    658

IT Consulting & Other Services – 0.6%

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

    1,461    1,467

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

    93    93

Ivanti Software, Inc. (1-Month U.S. LIBOR plus 475 bps),
5.750%, 12-1-27

    208    208
      1,768

Systems Software – 0.1%

Peraton Corp. (1-Month ICE LIBOR plus 375 bps),
4.500%, 2-1-28

    249    251

Technology Hardware, Storage & Peripherals – 0.1%

Atlas CC Acquisition Corp.,
5.000%, 5-25-28

    250    251

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

    250    251
      502

Total Information Technology - 3.7%

    11,391

Materials

Construction Materials – 0.3%

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

    168    159

Hillman Group, Inc. (The) (ICE LIBOR plus 350 bps),
4.104%, 5-31-25

    936    935
      1,094

Diversified Chemicals – 0.1%

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

    249    250

Metal & Glass Containers – 0.1%

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

    318    319

Specialty Chemicals – 0.3%

Archroma Finance S.a.r.l. (3-Month ICE LIBOR plus 425 bps),
4.385%, 8-11-24(C)

    340    340

Archroma Finance S.a.r.l. (ICE LIBOR plus 425 bps),
4.397%, 8-11-24(C)

    1    1

INEOS 226 Ltd. (1-Month EURIBOR plus 275 bps),
2.750%, 1-29-26(I)

    EUR500    589

NIC Acquisition Corp. (1-Month ICE LIBOR plus 375 bps),
4.500%, 12-29-27

    $89    89

NIC Acquisition Corp. (1-Month ICE LIBOR plus 775 bps),
8.500%, 12-29-28

    57    57
      1,076

Total Materials - 0.8%

    2,739

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    818

Total Real Estate - 0.3%

    818

Utilities

Water Utilities – 0.1%

Dispatch Acquisition Holdings LLC (1-Month ICE LIBOR plus 425 bps),
5.000%, 3-25-28

    250    250

Total Utilities - 0.1%

    250

TOTAL LOANS – 17.7%

    $54,677

(Cost: $55,072)

      
SHORT-TERM
SECURITIES		    Shares      

Money Market Funds(P) - 4.3%

Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 0.010%(O)

    3,284    3,284

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

    10,676    10,676
      13,960

TOTAL SHORT-TERM SECURITIES – 4.3%

    $13,960

(Cost: $13,960)

TOTAL INVESTMENT SECURITIES – 99.8%

    $322,250

(Cost: $282,475)

CASH AND OTHER ASSETS, NET
OF LIABILITIES – 0.2%

    563

NET ASSETS – 100.0%

    $322,813
 

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 June 30, 2021, the Fund owned the following restricted securities:

 

Security    Acquisition Date(s)       Shares          Cost            Value      

 

  

EP Energy Corp.

      10-6-20        4      $ 68      $ 349  

Foresight Energy L.P.

      6-30-20-9-8-20        31        611        524  

New Cotai Participation Corp., Class B

      9-29-20        318        2,791        1,009  

Pinnacle Agriculture Enterprises LLC

      7-17-20        1        106        –  

Studio City International Holdings Ltd. ADR

      8-5-20        15        227        168  

Targa Resources Corp., 9.500%

      10-24-17        1        1,415        1,368  
        

 

 

  
         $             5,218      $             3,418  
        

 

 

  

The total value of these securities represented 1.1% of net assets at June 30, 2021.

 

(E)

All or a portion of securities with an aggregate value of $6,222 are on loan.

(F)

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

(G)

Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021 the total value of these securities amounted to $76,906 or 23.8% of net assets.

(H)

Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2021. Description of the reference rate and spread, if applicable, are included in the security description.

(I)

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

(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, 2021.

(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, 2021.

The following forward foreign currency contracts were outstanding at June 30, 2021:

 

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

 

  

British Pound

     840        U.S. Dollar                1,168                9-30-21            JPMorgan Securities LLC        $6        $—  

Euro

     8,722        U.S. Dollar                10,941                9-30-21            JPMorgan Securities LLC        579        —  

Canadian Dollar

     978        U.S. Dollar                808                9-24-21            Morgan Stanley International        19        —  
                

 

 

  
                   $604        $—  
                

 

 

  

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, 2021:

 

      Level 1        Level 2       Level 3  

Assets

       

Investments in Securities

       

Common Stocks

       

Communication Services

   $ 4,878      $ —     $ —  

Consumer Discretionary

     4,120        —       1,035  

Consumer Staples

     12,182        —       —  

Energy

     7,965        993       524  

Financials

     31,749        —       —  

Health Care

     16,668        —       —  

Industrials

     16,169        —       —  

Information Technology

     15,173        —       —  

Materials

     5,159        —       —  

Real Estate

     31,184        —       —  

Utilities

     11,411        —       —  

Total Common Stocks

   $       156,658      $       993     $       1,559  

Preferred Stocks

     3,186        1,377       —  

Rights

     —        — *      —  

Warrants

     9        —       —  

Asset-Backed Securities

     —        6,150       —  

Corporate Debt Securities

     —        78,160       —  

Mortgage-Backed Securities

     —        5,112       —  

Other Government Securities

     —        409       —  

Loans

     —        50,199       4,478  

Short-Term Securities

     13,960        —       —  

Total

   $ 173,813      $ 142,400     $ 6,037  

Forward Foreign Currency Contracts

   $ —      $ 604     $ —  

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

      $1,889       $3,247  

Net realized gain (loss)

      (115 )      26  

Net change in unrealized appreciation (depreciation)

      (304 )      112  

Purchases

      -       4,297  

Sales

      -       (3,393 ) 

Amortization/Accretion of premium/discount

      -       (35 ) 

Transfers into Level 3 during the period

      89       383  

Transfers out of Level 3 during the period

      -       (159)  

Ending Balance 6-30-21

                  $1,559       $4,478  

Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 6-30-21

      $(420)       $(15)  

Information about Level 3 fair value measurements:

 

      Fair Value
at 6-30-21		      Valuation Technique(s)    Unobservable Input(s)   

Input

Value(s)        

  

Assets

            
Common Stocks      $1,009      Market comparable approach    Financials Premium     

 N/A

20.00%

  

 

     524      Market comparable approach    Illiquidity discount      30.00%  
       26      Market comparable approach    Adjusted EBITDA multiple      7.52x  
Loans      4,478      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, 2021 and the related unrealized appreciation (depreciation) were as follows:

 

           

                                                                                                          

Cost

                  $282,475  
  

 

 

  

Gross unrealized appreciation

      46,417  

Gross unrealized depreciation

      (6,642)  
  

 

 

  

Net unrealized appreciation

      $39,775