SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
Moodys/ Standard & Poors Rating(a) |
Principal Amount (000s) |
Value (Note 1) |
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CORPORATE DEBT SECURITIES (83.48%) |
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AUTOMOTIVE (2.54%) |
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Ford Holdings LLC, Co. Gty., 9.30%, 03/01/30 | Ba2/BB+ | $ | 1,000 | $ | 1,124,700 | |||||
Ford Motor Co., Sr. Unsec. Notes, 8.50%, 04/21/23 | Ba2/BB+ | 904 | 955,980 | |||||||
Ford Motor Co., Sr. Unsec. Notes, 8.90%, 01/15/32 | Ba2/BB+ | 500 | 552,500 | |||||||
Ford Motor Credit Co. LLC, Sr. Unsec. Notes, 4.542%, 08/01/26(b) | Ba2/BB+ | 1,356 | 1,284,810 | |||||||
General Motors Financial Co. Inc., Sr. Unsec. Notes, (3M LIBOR +1.10%), 1.601%, 11/06/21(e) |
Baa3/BBB | 925 | 915,332 | |||||||
General Motors Financial Co. Inc., Sr. Unsec. Notes, 3.60%, 06/21/30(b) |
Baa3/BBB | 1,027 | 999,542 | |||||||
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|
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5,832,864 | ||||||||||
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|
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CHEMICALS (2.04%) |
| |||||||||
Axalta Coating Systems LLC, Co. Gty., 4.75%, 06/15/27, 144A(b) | B1/BB- | 150 | 150,780 | |||||||
Braskem Netherlands Finance BV, Co. Gty., 4.50%, 01/31/30, 144A | NA/BBB- | 1,249 | 1,142,835 | |||||||
Braskem Netherlands Finance BV, Co. Gty., 5.875%, 01/31/50, 144A | NA/BBB- | 723 | 636,240 | |||||||
Union Carbide Corp., Sr. Unsec. Notes, 7.75%, 10/01/96 | Baa2/BBB- | 2,000 | 2,577,555 | |||||||
Westlake Chemical Corp., Sr. Unsec. Notes, 3.375%, 06/15/30(b) | Baa2/BBB- | 186 | 189,827 | |||||||
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4,697,237 | ||||||||||
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|
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CONSUMER PRODUCTS (0.41%) |
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Hanesbrands Inc., Co. Gty., 5.375%, 05/15/25, 144A(b) | Ba3/BB | 373 | 377,196 | |||||||
VF Corp., Sr. Unsec. Notes, 2.80%, 04/23/27(b) | A3/A | 530 | 561,047 | |||||||
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938,243 | ||||||||||
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DIVERSIFIED FINANCIAL SERVICES (10.10%) |
| |||||||||
AerCap Ireland Capital DAC, Co. Gty., 6.50%, 07/15/25(b) | Baa3/BBB | 560 | 587,163 | |||||||
Bank of America Corp., Sr. Unsec. Notes, (3M LIBOR +0.81%), 3.366%, 01/23/26(b),(c) |
A2/A- | 559 | 610,536 | |||||||
Citigroup, Inc., Sr. Unsec. Notes, (3M LIBOR +1.563%), 3.887%, 01/10/28(b),(c) |
A3/BBB+ | 1,100 | 1,239,923 | |||||||
Citigroup, Inc., Sr. Unsec. Notes, 8.125%, 07/15/39 | A3/BBB+ | 70 | 121,227 | |||||||
Citigroup, Inc., Sub. Notes, 4.60%, 03/09/26 | Baa2/BBB | 988 | 1,128,342 | |||||||
Citigroup, Inc., Sub. Notes, 5.30%, 05/06/44 | Baa2/BBB | 926 | 1,228,413 | |||||||
Credit Agricole SA, Sub. Notes, (5Yr Swap +1.644%), 4.00%, 01/10/33, 144A(b),(c) |
Baa1/BBB+ | 1,025 | 1,128,533 | |||||||
Credit Suisse Group AG, Sr. Unsec. Notes, (SOFRRATE +1.56%), 2.593%, 09/11/25, 144A(b),(c) |
Baa2/BBB+ | 1,242 | 1,284,450 | |||||||
Danske Bank AS, Sr. Unsec. Notes, (H15T1Y +1.73%), 5.00%, 01/12/23, 144A(b),(c) |
Baa3/BBB+ | 739 | 776,173 | |||||||
GE Capital International Funding, Co. Gty., 4.418%, 11/15/35 | Baa1/BBB+ | 588 | 597,851 | |||||||
General Electric Co., Sr. Unsec. Notes, 3.625%, 05/01/30(b) | Baa1/BBB+ | 599 | 599,677 | |||||||
General Electric Co., Sr. Unsec. Notes, 6.875%, 01/10/39 | Baa1/BBB+ | 287 | 352,573 | |||||||
General Electric Co., Sr. Unsec. Notes, 4.125%, 10/09/42 | Baa1/BBB+ | 75 | 71,606 | |||||||
General Electric Co., Sr. Unsec. Notes, 4.35%, 05/01/50(b) | Baa1/BBB+ | 730 | 721,973 | |||||||
Goldman Sachs Group, Inc., Sr. Unsec. Notes, 3.50%, 11/16/26(b) | A3/BBB+ | 1,040 | 1,143,749 | |||||||
Goldman Sachs Group, Inc., Sr. Unsec. Notes, (3M LIBOR +1.75%), 2.637%, 10/28/27(b),(e) |
A3/BBB+ | 550 | 557,428 | |||||||
HSBC Capital Funding LP, Co. Gty., (3M LIBOR +4.98%), 10.176%, 06/30/30, 144A(b),(c),(d) |
Baa2/BB+ | 2,180 | 3,444,400 | |||||||
HSBC Holdings PLC, Sr. Unsec. Notes, 4.95%, 03/31/30 | A2/A- | 499 | 599,580 | |||||||
JPMorgan Chase & Co., Jr. Sub. Notes, (3M LIBOR +2.58%), 4.625%, 11/01/22(b),(c),(d) |
Baa2/BBB- | 1,159 | 1,088,533 | |||||||
Mastercard, Inc., Sr. Unsec. Notes, 3.85%, 03/26/50(b) | A1/A+ | 145 | 180,379 | |||||||
Morgan Stanley, Sub. Notes, 4.35%, 09/08/26 | Baa2/BBB | 1,500 | 1,729,621 |
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) continued
Moodys/ Standard & Poors Rating(a) |
Principal Amount (000s) |
Value (Note 1) |
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CORPORATE DEBT SECURITIES (Continued) |
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DIVERSIFIED FINANCIAL SERVICES (Continued) |
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PNC Financial Services Group, Inc., Jr. Sub. Notes, (3M LIBOR +3.30%), 5.00%, 11/01/26(b),(c),(d) |
Baa2/BBB- | $ | 757 | $ | 767,977 | |||||
Truist Financial Corp., Jr. Sub. Notes, (H15T5Y +3.003%), 4.80%, 09/01/24(b),(c),(d) |
Baa2/BBB- | 1,136 | 1,046,347 | |||||||
UBS AG, Sub. Notes, 7.625%, 08/17/22 | NR/BBB+ | 2,000 | 2,230,206 | |||||||
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|
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23,236,660 | ||||||||||
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ENERGY (14.27%) |
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Antero Midstream Partners LP, Co. Gty., 5.75%, 03/01/27, 144A(b) | Caa1/B- | 681 | 537,990 | |||||||
Baker Hughes a GE Co. LLC, Sr. Unsec. Notes, 4.486%, 05/01/30(b) | A3/A- | 187 | 215,872 | |||||||
CITGO Petroleum Corp., Sr. Sec. Notes, 6.25%, 08/15/22, 144A(b) | B3/B+ | 2,254 | 2,239,958 | |||||||
CITGO Petroleum Corp., Sr. Sec. Notes, 7.00%, 06/15/25, 144A(b) | B3/B+ | 875 | 876,094 | |||||||
CVR Energy, Inc., Co. Gty., 5.75%, 02/15/28, 144A(b) | B1/BB- | 1,710 | 1,496,250 | |||||||
Ecopetrol SA, Sr. Unsec. Notes, 6.875%, 04/29/30(b) | Baa3/BBB- | 440 | 504,284 | |||||||
Enbridge, Inc., Sub. Notes, (3M LIBOR +3.89%), 6.00%, 01/15/77(b),(c) | Ba1/BBB- | 750 | 738,750 | |||||||
Enterprise Products Operating LLC, Co. Gty., (3M LIBOR +2.57%), 5.375%, 02/15/78(b),(c) |
Baa2/BBB- | 342 | 306,090 | |||||||
Exxon Mobil Corp., Sr. Unsec. Notes, 4.227%, 03/19/40(b) | Aa1/AA | 1,402 | 1,683,886 | |||||||
Exxon Mobil Corp., Sr. Unsec. Notes, 3.452%, 04/15/51(b) | Aa1/AA | 1,291 | 1,429,693 | |||||||
Florida Gas Transmission Co. LLC, Sr. Unsec. Notes, 9.19%, 11/01/24, 144A |
Baa2/BBB+ | 50 | 55,300 | |||||||
Global Partners LP, Co. Gty., 7.00%, 08/01/27(b) | B2/B+ | 1,076 | 995,300 | |||||||
Holly Energy Partners LP, Co. Gty., 5.00%, 02/01/28, 144A(b) | B1/BB | 173 | 164,782 | |||||||
Kinder Morgan, Inc., Co. Gty., 8.05%, 10/15/30 | Baa2/BBB | 1,000 | 1,317,302 | |||||||
Kinder Morgan, Inc., Co. Gty., 5.55%, 06/01/45(b) | Baa2/BBB | 1,755 | 2,142,323 | |||||||
Marathon Petroleum Corp., Sr. Unsec. Notes, 4.75%, 09/15/44(b) | Baa2/BBB | 1,266 | 1,319,752 | |||||||
Marathon Petroleum Corp., Sr. Unsec. Notes, 4.70%, 05/01/25(b) | Baa2/BBB | 1,753 | 1,962,412 | |||||||
Marathon Petroleum Corp., Sr. Unsec. Notes, 5.85%, 12/15/45(b) | Baa2/BBB | 500 | 525,225 | |||||||
MPLX LP, Sr. Unsec. Notes, 4.25%, 12/01/27(b) | Baa2/BBB | 901 | 976,834 | |||||||
MPLX LP, Sr. Unsec. Notes, 5.50%, 02/15/49(b) | Baa2/BBB | 694 | 769,109 | |||||||
MPLX LP, Sr. Unsec. Notes, 4.90%, 04/15/58(b) | Baa2/BBB | 561 | 563,548 | |||||||
NGPL PipeCo LLC, Sr. Unsec. Notes, 7.768%, 12/15/37, 144A | Baa3/BBB- | 880 | 1,074,037 | |||||||
ONEOK, Inc., Co. Gty., 5.85%, 01/15/26(b) | Baa3/BBB | 314 | 358,388 | |||||||
Panhandle Eastern Pipe Line Co. LP, Sr. Unsec. Notes, 7.00%, 07/15/29 |
Baa3/BBB- | 1,000 | 1,174,940 | |||||||
Parkland Corp., Co. Gty., 5.875%, 07/15/27, 144A(b) | Ba3/BB | 981 | 1,017,787 | |||||||
PBF Holding Co. LLC, Co. Gty., 6.00%, 02/15/28, 144A(b) | B1/BB | 405 | 336,150 | |||||||
Petroleos Mexicanos, Co. Gty., 5.95%, 01/28/31, 144A(b) | Ba2/BBB | 552 | 455,483 | |||||||
Petroleos Mexicanos, Co. Gty., 6.35%, 02/12/48 | Ba2/BBB | 702 | 521,340 | |||||||
Petroleos Mexicanos, Co. Gty., 6.95%, 01/28/60, 144A(b) | Ba2/BBB | 195 | 149,904 | |||||||
Phillips 66, Co. Gty., 3.85%, 04/09/25(b) | A3/BBB+ | 416 | 461,100 | |||||||
Plains All American Pipeline LP, Sr. Unsec. Notes, 3.80%, 09/15/30(b) |
Ba1/BBB- | 396 | 387,992 | |||||||
Targa Resources Partners LP, Co. Gty., 5.50%, 03/01/30, 144A(b) | Ba3/BB | 1,177 | 1,136,535 | |||||||
Total Capital International SA, Co. Gty., 3.127%, 05/29/50(b) | Aa3/A+ | 1,126 | 1,155,241 | |||||||
Transcontinental Gas Pipe Line Co. LLC, Sr. Unsec. Notes, 3.95%, 05/15/50, 144A(b) |
Baa2/BBB | 384 | 409,154 | |||||||
Valero Energy Corp., Co. Gty., 8.75%, 06/15/30 | Baa2/BBB | 1,000 | 1,390,200 | |||||||
Valero Energy Corp., Sr. Unsec. Notes, 10.50%, 03/15/39 | Baa2/BBB | 500 | 821,069 | |||||||
Williams Cos., Inc., Sr. Unsec. Notes, 7.50%, 01/15/31 | Baa3/BBB | 911 | 1,166,597 | |||||||
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32,836,671 | ||||||||||
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FOOD AND BEVERAGE (0.69%) |
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Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 4.70%, 02/01/36(b) | Baa1/BBB+ | 645 | 759,858 | |||||||
Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 4.90%, 02/01/46(b) | Baa1/BBB+ | 256 | 313,263 | |||||||
Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 8.20%, 01/15/39 | Baa1/BBB+ | 27 | 42,578 | |||||||
Kroger Co., Sr. Unsec. Notes, 5.40%, 01/15/49(b) | Baa1/BBB | 68 | 95,133 |
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) continued
Moodys/ Standard & Poors Rating(a) |
Principal Amount (000s) |
Value (Note 1) |
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CORPORATE DEBT SECURITIES (Continued) |
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FOOD AND BEVERAGE (Continued) |
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Sysco Corp., Co. Gty., 5.95%, 04/01/30(b) | Baa1/BBB- | $ | 305 | $ | 383,112 | |||||
|
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1,593,944 | ||||||||||
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GAMING, LODGING & LEISURE (0.82%) |
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Las Vegas Sand Corp., Sr. Unsec. Notes, 3.90%, 08/08/29(b) | Baa3/BBB- | 994 | 980,576 | |||||||
Marriott International, Inc., Sr. Unsec. Notes, 5.75%, 05/01/25(b) | Baa3/BBB- | 489 | 531,229 | |||||||
Marriott International, Inc., Sr. Unsec. Notes, 4.625%, 06/15/30(b) | Baa3/BBB- | 361 | 374,579 | |||||||
|
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1,886,384 | ||||||||||
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HEALTHCARE (1.25%) |
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AbbVie, Inc., Sr. Unsec. Notes, 4.05%, 11/21/39, 144A(b) | Baa2/BBB+ | 615 | 719,218 | |||||||
Bausch Health Cos, Inc., Co. Gty., 6.25%, 02/15/29, 144A(b) | B3/B | 73 | 73,365 | |||||||
Bausch Health Cos., Inc., Co. Gty., 5.25%, 01/30/30, 144A(b) | B3/B | 87 | 82,541 | |||||||
Takeda Pharmaceutical Co. Ltd., Sr. Unsec. Notes, 3.175%, 07/09/50(b) | Baa2/NA | 684 | 681,781 | |||||||
Takeda Pharmaceutical Co., Ltd, Sr. Unsec. Notes, 5.00%, 11/26/28(b) | Baa2/BBB+ | 500 | 619,422 | |||||||
Tenet Healthcare Corp., Sr. Sec. Notes, 4.625%, 06/15/28, 144A(b) | B1/BB- | 99 | 96,446 | |||||||
Teva Pharmaceutical Finance Netherlands III BV, Co. Gty., 7.125%, 01/31/25, 144A(b) |
Ba2/BB | 577 | 614,211 | |||||||
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2,886,984 | ||||||||||
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HOME BUILDERS (0.04%) |
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Newell Brands, Inc., Sr. Unsec. Notes, 4.875%, 06/01/25(b) | Ba1/BB+ | 94 | 98,445 | |||||||
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INDUSTRIAL (4.86%) |
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3M Co., Sr. Unsec. Notes, 4.00%, 09/14/48(b) | A1/A+ | 1,019 | 1,262,976 | |||||||
Altria Group, Inc., Co. Gty., 4.80%, 02/14/29(b) | A3/BBB | 527 | 615,293 | |||||||
Altria Group, Inc., Co. Gty., 5.95%, 02/14/49(b) | A3/BBB | 329 | 431,514 | |||||||
Boeing Co., Sr. Unsec. Notes, 4.875%, 05/01/25(b) | Baa2/BBB- | 1,657 | 1,805,805 | |||||||
Boeing Co., Sr. Unsec. Notes, 5.805%, 05/01/50(b) | Baa2/BBB- | 1,859 | 2,195,452 | |||||||
Carrier Global Corp., Co. Gty, 2.722%, 02/15/30, 144A(b) | Baa3/BBB | 852 | 855,700 | |||||||
Caterpillar, Inc., Sr. Unsec. Notes, 3.25%, 04/09/50(b) | A3/A | 532 | 593,041 | |||||||
Cemex SAB de CV, Sr. Sec. Notes, 7.375%, 06/05/27, 144A(b) | NA/BB | 200 | 203,200 | |||||||
Heathrow Funding, Ltd., Sr. Sec. Notes, 4.875%, 07/15/21, 144A | NA/BBB+ | 200 | 204,016 | |||||||
Northrop Grumman Space & Mission Systems Corp., Co. Gty., 7.75%, 06/01/29 |
Baa1/BBB | 500 | 706,816 | |||||||
Raytheon Technologies Corp., Sr. Unsec. Notes, 3.75%, 11/01/46(b) | Baa1/A- | 700 | 799,452 | |||||||
Steel Dynamics Inc., Sr. Unsec. Notes, 3.25%, 01/15/31(b) | Baa3/BBB- | 339 | 345,762 | |||||||
Steel Dynamics, Inc., Sr. Unsec. Notes, 2.80%, 12/15/24(b) | Baa3/BBB- | 373 | 388,186 | |||||||
Steel Dynamics, Inc., Sr. Unsec. Notes, 3.45%, 04/15/30(b) | Baa3/BBB- | 341 | 356,472 | |||||||
Sydney Airport Finance Co. Property, Ltd., Sr. Sec. Notes, 3.375%, 04/30/25, 144A(b) |
Baa1/BBB+ | 400 | 412,766 | |||||||
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11,176,451 | ||||||||||
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INSURANCE (9.46%) |
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Allstate Corp., Jr. Sub. Notes, (3M LIBOR +2.12%), 6.50%, 05/15/57(b),(c) | Baa1/BBB | 2,200 | 2,667,214 | |||||||
American International Group, Inc., Jr. Sub. Notes, (3M LIBOR +4.195%), 8.175%, 05/15/58(b),(c) |
Baa2/BBB- | 2,500 | 3,187,500 | |||||||
Brighthouse Financial, Inc., Sr. Unsec. Notes, 5.625%, 05/15/30(b) | Baa3/BBB+ | 383 | 425,129 | |||||||
Farmers Exchange Capital, Sub. Notes, 7.20%, 07/15/48, 144A | Baa2/BBB+ | 2,250 | 2,754,353 | |||||||
Guardian Life Insurance Co. of America, Sub. Notes, 4.85%, 01/24/77, 144A |
A1/AA- | 148 | 189,191 | |||||||
Liberty Mutual Group, Inc., Co. Gty., 3.951%, 10/15/50, 144A(b) | Baa2/BBB | 250 | 264,162 | |||||||
Liberty Mutual Group, Inc., Co. Gty., (3M LIBOR +7.12%), 10.75%, 06/15/58, 144A(b),(c) |
Baa3/BB+ | 1,000 | 1,440,000 | |||||||
Lincoln National Corp., Sr. Unsec. Notes, 3.80%, 03/01/28(b) | Baa1/A- | 250 | 277,194 | |||||||
Massachusetts Mutual Life Insurance Co., Sub. Notes, 4.90%, 04/01/77, 144A |
A2/AA- | 980 | 1,266,529 | |||||||
Massachusetts Mutual Life Insurance Co., Sub. Notes, 3.729%, 10/15/70, 144A |
A2/AA- | 243 | 249,735 |
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) continued
Moodys/ Standard & Poors Rating(a) |
Principal Amount (000s) |
Value (Note 1) |
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CORPORATE DEBT SECURITIES (Continued) |
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INSURANCE (Continued) |
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MetLife, Inc., Jr. Sub. Notes, 9.25%, 04/08/38, 144A(b) | Baa2/BBB | $ | 750 | $ | 1,048,125 | |||||
MetLife, Inc., Jr. Sub. Notes, 6.40%, 12/15/36(b) | Baa2/BBB | 637 | 751,870 | |||||||
MetLife, Inc., Jr. Sub. Notes, 10.75%, 08/01/39(b) | Baa2/BBB | 1,000 | 1,542,300 | |||||||
Nationwide Mutual Insurance Co., Sub. Notes, 8.25%, 12/01/31, 144A | A3/A- | 500 | 730,847 | |||||||
Nationwide Mutual Insurance Co., Sub. Notes, 9.375%, 08/15/39, 144A | A3/A- | 215 | 345,934 | |||||||
New York Life Insurance Co., Sub. Notes, 6.75%, 11/15/39, 144A | Aa2/AA- | 103 | 156,536 | |||||||
Principal Financial Group, Inc., Co. Gty., (3M LIBOR +3.044%), 3.436%, 05/15/55(b),(c) |
Baa2/BBB | 1,135 | 1,017,187 | |||||||
Prudential Financial, Inc., Jr. Sub. Notes, (3M LIBOR +2.665%), 5.70%, 09/15/48(b),(c) |
Baa1/BBB+ | 1,241 | 1,390,857 | |||||||
SAFG Retirement Services, Inc., Sr. Unsec. Notes, 8.125%, 04/28/23 | Baa1/BBB+ | 1,800 | 2,065,255 | |||||||
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21,769,918 | ||||||||||
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MEDIA (9.58%) |
| |||||||||
Charter Communications Operating LLC, Sr. Sec. Notes, 5.75%, 04/01/48(b) | Ba1/BBB- | 774 | 963,513 | |||||||
Comcast Corp., Co. Gty., 4.15%, 10/15/28(b) | A3/A- | 255 | 305,688 | |||||||
Comcast Corp., Co. Gty., 4.70%, 10/15/48(b) | A3/A- | 297 | 399,442 | |||||||
Comcast Corp., Co. Gty., 7.05%, 03/15/33 | A3/A- | 2,000 | 3,049,877 | |||||||
Cox Communications, Inc., Sr. Unsec. Notes, 6.80%, 08/01/28 | Baa2/BBB | 1,500 | 1,890,352 | |||||||
Cox Enterprises, Inc., Sr. Unsec. Notes, 7.375%, 07/15/27, 144A | Baa2/BBB | 500 | 648,252 | |||||||
CSC Holdings LLC, Co. Gty., 4.125%, 12/01/30, 144A(b) | Ba3/BB | 448 | 444,080 | |||||||
CSC Holdings LLC, Co. Gty., 6.50%, 02/01/29, 144A(b) | Ba3/BB | 954 | 1,043,437 | |||||||
Grupo Televisa SAB, Sr. Unsec. Notes, 5.00%, 05/13/45(b) | Baa1/BBB+ | 557 | 619,764 | |||||||
Grupo Televisa SAB, Sr. Unsec. Notes, 6.625%, 01/15/40 | Baa1/BBB+ | 159 | 205,809 | |||||||
RELX, Inc., Sr. Unsec. Notes, 8.875%, 06/01/22 | WR/BBB+ | 2,000 | 2,226,708 | |||||||
Time Warner Entertainment Co. LP, Sr. Sec. Notes, 8.375%, 07/15/33 | Ba1/BBB- | 1,360 | 2,048,122 | |||||||
ViacomCBS Inc., Sr. Unsec. Notes, 4.20%, 05/19/32(b) | Baa2/BBB | 641 | 720,736 | |||||||
ViacomCBS, Inc., Sr. Unsec. Notes, 6.875%, 04/30/36 | Baa2/BBB | 179 | 242,579 | |||||||
Virgin Media Finance PLC, Sr. Unsec. Notes, 5.00%, 07/15/30, 144A(b) | B2/B | 200 | 195,542 | |||||||
VTR Finance BV, Sr. Sec. Notes, 6.875%, 01/15/24, 144A(b) | B1/B+ | 2,176 | 2,225,874 | |||||||
VTR Finance NV, Sr. Unsec. Notes, 6.375%, 07/15/28, 144A(b) | B1/B | 443 | 454,638 | |||||||
Walt Disney Co., Co. Gty., 7.90%, 12/01/95 | A2/A- | 1,400 | 2,667,591 | |||||||
Walt Disney, Co. Gty., 2.20%, 01/13/28 | A2/A- | 1,030 | 1,075,351 | |||||||
Walt Disney, Co. Gty., 3.60%, 01/13/51(b) | A2/A- | 546 | 608,212 | |||||||
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22,035,567 | ||||||||||
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MINING (2.42%) |
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BHP Billiton Finance USA, Ltd. Co. Gty., (5Yr Swap +5.093%), 6.75%, 10/19/75, 144A(b),(c) |
Baa1/BBB+ | 3,899 | 4,502,175 | |||||||
Newcrest Finance Pty Ltd., Co. Gty., 3.25%, 05/13/30, 144A(b) | Baa2/BBB | 137 | 147,153 | |||||||
Newmont Corp., Co. Gty., 2.25%, 10/01/30(b) | Baa2/BBB | 912 | 924,278 | |||||||
|
|
|||||||||
5,573,606 | ||||||||||
|
|
|||||||||
PAPER (0.80%) |
| |||||||||
Celulosa Arauco y Constitucion SA, Sr. Unsec. Notes, 4.20%, 01/29/30, 144A(b) |
Baa3/BBB- | 579 | 589,856 | |||||||
Celulosa Arauco y Constitucion SA, Sr. Unsec. Notes, 5.50%, 04/30/49, 144A(b) |
Baa3/BBB- | 647 | 661,558 | |||||||
Inversiones CMPC SA, Co. Gty., 3.85%, 01/13/30, 144A(b) | Baa3/BBB- | 580 | 591,890 | |||||||
|
|
|||||||||
1,843,304 | ||||||||||
|
|
|||||||||
REAL ESTATE INVESTMENT TRUST (REIT),(0.77%) |
| |||||||||
Iron Mountain Inc., Co. Gty., 5.00%, 07/15/28, 144A(b) | Ba3/BB- | 59 | 57,802 | |||||||
Iron Mountain Inc., Co. Gty., 5.25%, 07/15/30, 144A(b) | Ba3/BB- | 578 | 569,330 | |||||||
Iron Mountain, Inc., Co. Gty., 4.875%, 09/15/29, 144A(b) | Ba3/BB- | 398 | 387,055 |
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) continued
Moodys/ Standard & Poors Rating(a) |
Principal Amount (000s) |
Value (Note 1) |
||||||||
CORPORATE DEBT SECURITIES (Continued) |
| |||||||||
REAL ESTATE INVESTMENT TRUST (REIT),(Continued) |
| |||||||||
Scentre Group Trust 1, Co. Gty., 4.375%, 05/28/30, 144A(b) | A2/A | $ | 699 | $ | 768,695 | |||||
|
|
|||||||||
1,782,882 | ||||||||||
|
|
|||||||||
RETAIL & RESTAURANT (1.67%) |
| |||||||||
Starbucks Corp., Sr. Unsec. Notes, 4.45%, 08/15/49(b) | Baa1/BBB+ | 1,781 | 2,152,201 | |||||||
Walgreens Boots Alliance Inc., Sr. Unsec. Notes, 3.20%, 04/15/30(b) | Baa2/BBB | 302 | 311,997 | |||||||
Walgreens Boots Alliance Inc., Sr. Unsec. Notes, 4.10%, 04/15/50(b) | Baa2/BBB | 1,355 | 1,366,463 | |||||||
|
|
|||||||||
3,830,661 | ||||||||||
|
|
|||||||||
TECHNOLOGY (4.26%) |
| |||||||||
Broadcom, Inc., Co. Gty., 4.25%, 04/15/26, 144A(b) | Baa3/BBB- | 1,655 | 1,841,858 | |||||||
Broadcom, Inc., Co. Gty., 4.75%, 04/15/29, 144A(b) | Baa3/BBB- | 1,109 | 1,258,865 | |||||||
Dell International LLC, Sr. Sec. Notes, 5.85%, 07/15/25, 144A(b) | Baa3/BBB- | 342 | 393,026 | |||||||
Dell International LLC, Sr. Sec. Notes, 8.35%, 07/15/46, 144A(b) | Baa3/BBB- | 845 | 1,127,051 | |||||||
Fiserv, Inc., Sr. Unsec. Notes, 3.50%, 07/01/29(b) | Baa2/BBB | 1,087 | 1,221,919 | |||||||
NXP Funding LLC, Co. Gty., 3.875%, 09/01/22, 144A | Baa3/BBB | 1,213 | 1,282,305 | |||||||
Oracle Corp., Sr. Unsec. Notes, 3.60%, 04/01/40(b) | A3/A | 2,331 | 2,645,896 | |||||||
Presidio Holdings, Inc., Sr. Sec. Notes, 4.875%, 02/01/27, 144A(b) | B1/B | 32 | 31,280 | |||||||
|
|
|||||||||
9,802,200 | ||||||||||
|
|
|||||||||
TELECOMMUNICATIONS (3.61%) |
| |||||||||
AT&T, Inc., Sr. Unsec. Notes, 4.50%, 05/15/35(b) | Baa2/BBB | 515 | 611,150 | |||||||
AT&T, Inc., Sr. Unsec. Notes, 4.75%, 05/15/46(b) | Baa2/BBB | 425 | 509,507 | |||||||
Deutsche Telekom International Finance BV, Co. Gty., 8.75%, 06/15/30(f) | Baa1/BBB | 2,000 | 3,128,715 | |||||||
T-Mobile USA Inc., Sr. Sec. Notes, 3.50%, 04/15/25, 144A(b) | Baa3/BBB- | 1,039 | 1,130,837 | |||||||
Verizon Communications, Inc., Sr. Unsec. Notes, 4.812%, 03/15/39 | Baa1/BBB+ | 1,898 | 2,479,314 | |||||||
VTR Comunicaciones SpA, Sr. Sec. Notes, 5.125%, 01/15/28, 144A(b) | Ba3/B+ | 442 | 451,061 | |||||||
|
|
|||||||||
8,310,584 | ||||||||||
|
|
|||||||||
TRANSPORTATION (4.21%) |
| |||||||||
American Airlines, Pass Through Certs., Series 2013-2, Class B, 5.60%, 07/15/20, 144A |
NA/BB- | 892 | 892,494 | |||||||
American Airlines, Pass Through Certs., Series 2017-1, Class AA, 3.65%, 02/15/29 |
Baa1/NA | 939 | 899,597 | |||||||
American Airlines, Pass Through Certs., Series 2017-2, Class AA, 3.35%, 10/15/29 |
Baa1/NA | 1,415 | 1,326,696 | |||||||
American Airlines, Pass Through Certs., Series 2019-1, Class AA, 3.15%, 02/15/32 |
Baa1/A | 801 | 737,463 | |||||||
Ashtead Capital, Inc., Sec. Notes, 4.00%, 05/01/28, 144A(b) | Baa3/BBB- | 555 | 552,225 | |||||||
Ashtead Capital, Inc., Sec. Notes, 4.25%, 11/01/29, 144A(b) | Baa3/BBB- | 200 | 200,000 | |||||||
BNSF Funding Trust I, Co. Gty., (3M LIBOR +2.35%), 6.613%, 12/15/55(b),(c) |
Baa2/A- | 250 | 274,014 | |||||||
Continental Airlines, Pass Through Certs., Series 2000-1, Class A1, 8.048%, 11/01/20(h) |
Baa1/A- | | 40 | |||||||
Continental Airlines, Pass Through Certs., Series 2000-2, Class A1, 7.707%, 04/02/21 |
Baa1/BBB | 80 | 76,441 | |||||||
ERAC USA Finance LLC, Co. Gty., 7.00%, 10/15/37, 144A | Baa1/A- | 1,500 | 1,921,568 | |||||||
Union Pacific Corp., Sr. Unsec. Notes, 3.839%, 03/20/60(b) | Baa1/A- | 503 | 581,282 | |||||||
United Airlines, Pass Through Certs., Series 2013-1, Class B, 5.375%, 08/15/21 |
NA/BBB- | 247 | 235,208 | |||||||
United Airlines, Pass Through Certs., Series 2018-1, Class B, 4.60%, 03/01/26 |
Baa2/NA | 785 | 588,051 | |||||||
United Airlines, Pass Through Certs., Series 2019-1, Class AA, 4.15%, 08/25/31 |
A1/NA | 419 | 411,487 |
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) continued
Moodys/ Standard & Poors Rating(a) |
Principal Amount (000s) |
Value (Note 1) |
||||||||
CORPORATE DEBT SECURITIES (Continued) |
| |||||||||
TRANSPORTATION (Continued) |
| |||||||||
United Airlines, Pass Through Certs., Series 2019-2, Class AA, 2.70%, 05/01/32 |
A1/NA | $ | 1,093 | $ | 986,963 | |||||
|
|
|||||||||
9,683,529 | ||||||||||
|
|
|||||||||
UTILITIES (9.68%) |
| |||||||||
AES Gener SA., Jr. Sub. Notes, (H15T5Y +4.917%), 6.35%, 10/07/79, 144A(b),(c) |
Ba2/BB | 878 | 876,902 | |||||||
Black Hills Corp., Sr. Unsec. Notes, 3.95%, 01/15/26(b) | Baa2/BBB+ | 1,082 | 1,189,482 | |||||||
Black Hills Corp., Sr. Unsec. Notes, 3.875%, 10/15/49(b) | Baa2/BBB+ | 1,175 | 1,255,254 | |||||||
Cleveland Electric Illuminating Co., Sr. Unsec. Notes, 3.50%, 04/01/28, 144A(b) |
Baa2/BBB | 800 | 876,329 | |||||||
Consolidated Edison Co. of New York, Inc., Sr. Unsec. Notes, 3.95%, 04/01/50(b) |
Baa1/A- | 449 | 540,472 | |||||||
Consumer Energy Co., 3.10%, 08/15/50(b) | Aa3/A | 780 | 867,860 | |||||||
Edison International, Sr. Unsec. Notes, 3.55%, 11/15/24(b) | Baa3/BBB- | 575 | 605,997 | |||||||
Edison International, Sr. Unsec. Notes, 4.95%, 04/15/25(b) | Baa3/BBB- | 339 | 371,486 | |||||||
Enel Finance International NV, Co. Gty., 4.625%, 09/14/25, 144A | Baa2/BBB+ | 1,458 | 1,660,414 | |||||||
Evergy Metro, Inc., Sr. Sec. Notes, 4.20%, 06/15/47(b) | A2/A+ | 917 | 1,113,184 | |||||||
FirstEnergy Corp., Sr. Unsec. Notes, 4.85%, 07/15/47(b) | Baa3/BBB- | 1,570 | 1,989,589 | |||||||
Hydro-Quebec, 8.25%, 04/15/26 | Aa2/AA- | 1,550 | 2,180,384 | |||||||
IPALCO Enterprises Inc., Sr. Sec. Notes, 4.25%, 05/01/30, 144A(b) | Baa3/BBB- | 462 | 500,521 | |||||||
MidAmerican Funding LLC, Sr. Sec. Notes, 6.927%, 03/01/29 | A2/A- | 500 | 701,791 | |||||||
NiSource, Inc., Jr. Sub. Notes, (H15T5Y +2.843%), 5.65%, 06/15/23(b),(c),(d) | NA/BBB- | 696 | 664,680 | |||||||
Pacific Gas and Electric Co., 2.10%, 08/01/27(b) | Baa3/BBB- | 391 | 386,953 | |||||||
Pacific Gas and Electric Co., 3.50%, 08/01/50(b) | Baa3/BBB- | 617 | 596,318 | |||||||
Piedmont Natural Gas Co. Inc., Sr. Unsec. Notes, 3.50%, 06/01/29(b) | A3/A- | 1,120 | 1,276,992 | |||||||
Southern Co. Gas Capital Corp., Co. Gty., 5.875%, 03/15/41(b) | Baa1/A- | 992 | 1,317,255 | |||||||
Southern Co. Gas Capital Corp., Co. Gty., 3.95%, 10/01/46(b) | Baa1/A- | 539 | 594,912 | |||||||
Southern Co. Gas Capital Corp., Co. Gty., 4.40%, 05/30/47(b) | Baa1/A- | 1,164 | 1,382,337 | |||||||
Transelec SA, Sr. Unsec. Notes, 4.25%, 01/14/25, 144A(b) | Baa1/BBB | 750 | 797,288 | |||||||
Transelec SA, Sr. Unsec. Notes, 3.875%, 01/12/29, 144A(b) | Baa1/BBB | 490 | 513,888 | |||||||
|
|
|||||||||
22,260,288 | ||||||||||
|
|
|||||||||
TOTAL CORPORATE DEBT SECURITIES (Cost of $171,547,287) |
|
192,076,422 | ||||||||
|
|
|||||||||
ASSET BACKED SECURITIES (7.44%) |
| |||||||||
Antares Ltd., Series 2017-1A, Class C, (3M LIBOR +3.10%), 4.235%, 07/20/28, 144A(b),(e) |
NR/A | 1,093 | 1,025,157 | |||||||
Arbor Realty Collateralized Loan Obligation, Ltd., Series 2017-FL3, Class A, (1M LIBOR +0.99%), 1.175%, 12/15/27, 144A(b),(e) |
Aaa/NA | 759 | 745,481 | |||||||
AVIS Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 2.63%, 12/20/21, 144A(b) |
Aa1/NA | 1,605 | 1,604,807 | |||||||
CLI Funding LLC, Series 2018-1A, Class A, 4.03%, 04/18/43, 144A(b) | NA/A | 129 | 130,379 | |||||||
DB Master Finance LLC, Series 2017-1A, Class A2I, 3.629%, 11/20/47, 144A(b) |
NA/BBB | 328 | 339,134 | |||||||
DRB Prime Student Loan Trust, Series 2016-B, Class A2, 2.89%, 06/25/40, 144A(b) |
Aaa/NA | 140 | 143,175 | |||||||
DRB Prime Student Loan Trust, Series 2017-A, Class A2B, 2.85%, 05/27/42, 144A(b) |
Aaa/NA | 1,182 | 1,214,132 | |||||||
DT Auto Owner Trust, Series 2018-2A, Class C, 3.67%, 03/15/24, 144A(b) | NA/AA+ | 580 | 585,206 | |||||||
Fortress Credit Opportunities IX CLO, Ltd., Series 2017-9A, Class A1T, (3M LIBOR +1.55%), 1.942%, 11/15/29, 144A(b),(e) |
Aaa/AAA | 600 | 582,697 | |||||||
Golub Capital Partners Ltd., Series 2017-19RA, Class B, (3M LIBOR +2.55%), 3.541%, 07/26/29, 144A(b),(e) |
A2/NA | 1,935 | 1,848,718 |
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) continued
Moodys/ Standard & Poors Rating(a) |
Principal Amount (000s) |
Value (Note 1) |
||||||||
ASSET BACKED SECURITIES (Continued) |
| |||||||||
Golub Capital Partners Ltd., Series 2018-36A, Class C, (3M LIBOR +2.10%), 2.641%, 02/05/31, 144A(b),(e) |
NA/A | $ | 2,250 | $ | 2,018,970 | |||||
IVY Hill Middle Market Credit Fund Ltd., Series 12A, Class B, (3M LIBOR +3.00%), 4.135%, 07/20/29, 144A(b),(e) |
A3/NR | 866 | 810,450 | |||||||
LoanCore Issuer, Ltd., Series 2018-CRE1, Class A, (1M LIBOR +1.13%), 1.315%, 05/15/28, 144A(b),(e) |
Aaa/NA | 500 | 494,250 | |||||||
SCF Equipment Leasing LLC, Series 2017-2A, Class A, 3.41%, 12/20/23, 144A(b) |
Aa1/NA | 227 | 228,043 | |||||||
Small Business Administration Participation Certificates, Series 2010-20F, Class 1, 3.88%, 06/01/30 |
Aaa/AA+ | 85 | 92,521 | |||||||
SMB Private Education Loan Trust, Series 2017-B, Class A2B, (1M LIBOR+0.75%), 0.935%, 10/15/35, 144A(b),(e) |
Aaa/AAA | 640 | 633,766 | |||||||
Sofi Consumer Loan Program LLC, Series 2017-3, Class A, 2.77%, 05/25/26, 144A(b) |
NA/AAA | 246 | 247,553 | |||||||
Sofi Consumer Loan Program Trust, Series 2018-1, Class B, 3.65%, 02/25/27, 144A(b) |
NA/A | 793 | 797,780 | |||||||
Sofi Professional Loan Program LLC, Series 2017-C, Class B, 3.56%, 07/25/40, 144A(b),(e) |
NA/AA+ | 1,099 | 1,063,228 | |||||||
Sofi Professional Loan Program LLC, Series 2019-A, Class A1FX, 3.18%, 06/15/48, 144A(b) |
Aaa/AAA | 96 | 96,729 | |||||||
Textainer Marine Containers Ltd., Series 2017-1A, Class A, 3.72%, 05/20/42, 144A(b) |
NA/A | 508 | 504,473 | |||||||
Triton Container Finance LLC, Series 2017-2A, Class A, 3.62%, 08/20/42, 144A(b) |
NA/A | 909 | 904,751 | |||||||
Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.75%, 09/15/43, 144A(b),(g) |
NA/NA | 1,324 | 999,287 | |||||||
|
|
|||||||||
TOTAL ASSET BACKED SECURITIES (Cost of $17,891,419) |
|
17,110,687 | ||||||||
|
|
|||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (3.37%) |
| |||||||||
Angel Oak Mortgage Trust I LLC, Series 2019-2, Class A1, 3.628%, 03/25/49, 144A(b),(e) |
NA/NA | 201 | 205,833 | |||||||
Bancorp Commercial Mortgage Trust, Series 2018-CRE4, Class A, (1M LIBOR +0.90%), 1.085%, 09/15/35, 144A(b),(e) |
Aaa/NA | 58 | 55,628 | |||||||
Bellemeade Re Ltd., Series 2018-2A, Class M1B, (1M LIBOR +1.35%), 1.535%, 08/25/28, 144A(b),(e) |
NA/NA | 239 | 237,426 | |||||||
CGMS Commercial Mortgage Trust, Series 2017-MDRB, Class A, (1M LIBOR +1.10%), 1.285%, 07/15/30, 144A(e) |
NA/AAA | 54 | 51,369 | |||||||
Citigroup Commercial Mortgage Trust, Series 2013-375P, Class D, 3.518%, 05/10/35, 144A(e) |
Baa1/NA | 2,000 | 1,946,068 | |||||||
Citigroup Commercial Mortgage Trust, Series 2016-P6, Class C, 4.28%, 12/10/49(b),(e) |
NR/NA | 367 | 305,468 | |||||||
FREMF Mortgage Trust, Series 2015-K44, Class B, 3.807%, 01/25/48, 144A(b),(e) |
NA/NA | 535 | 569,505 | |||||||
FREMF Mortgage Trust, Series 2015-K45, Class B, 3.713%, 04/25/48, 144A(b),(e) |
NA/NA | 1,270 | 1,347,597 | |||||||
Lanark Master Issuer PLC, Series 2019-1A, Class 1A1, (3M LIBOR +0.77%), 1.128%, 12/22/69, 144A(b),(e) |
Aaa/AAA | 420 | 420,174 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV, Class C, 4.427%, 10/15/30, 144A(b),(e) |
NA/A | 2,710 | 2,522,585 | |||||||
MSDB Trust, Series 2017-712F, Class C, 3.628%, 07/11/39, 144A(e) | NA/A- | 82 | 82,239 | |||||||
|
|
|||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost of $7,852,526) |
|
7,743,892 | ||||||||
|
|
|||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (0.17%) |
| |||||||||
FHLMC Pool # A15675, 6.00%, 11/01/33 | Aaa/AA+ | 68 | 79,275 | |||||||
FHLMC Pool # G00182, 9.00%, 09/01/22(h) | Aaa/AA+ | | 3 | |||||||
FNMA Pool # 754791, 6.50%, 12/01/33 | Aaa/AA+ | 187 | 216,414 |
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) continued
Moodys/ Standard & Poors Rating(a) |
Principal Amount (000s) |
Value (Note 1) | ||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES (Continued) |
||||||||||||
FNMA Pool # 763852, 5.50%, 02/01/34 |
Aaa/AA+ | $ | 84 | $ | 95,472 | |||||||
GNSF Pool # 194228, 9.50%, 11/15/20(h) |
Aaa/AA+ | | 438 | |||||||||
GNSF Pool # 307527, 9.00%, 06/15/21 |
Aaa/AA+ | 2 | 1,619 | |||||||||
GNSF Pool # 417239, 7.00%, 02/15/26 |
Aaa/AA+ | 4 | 4,377 | |||||||||
GNSF Pool # 780374, 7.50%, 12/15/23 |
Aaa/AA+ | 1 | 1,527 | |||||||||
|
|
| ||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost of $324,579) |
|
399,125 | ||||||||||
|
|
| ||||||||||
MUNICIPAL BONDS (1.24%) |
||||||||||||
San Francisco City & County Public Utilities Commission, Water Revenue, Build America Bonds, 6.00%, 11/01/40 |
Aa2/AA- | 145 | 204,053 | |||||||||
State of California, Build America Bonds, GO, 7.625%, 03/01/40 |
Aa2/AA- | 1,500 | 2,647,785 | |||||||||
|
|
| ||||||||||
TOTAL MUNICIPAL BONDS (Cost of $1,678,333) |
2,851,838 | |||||||||||
|
|
| ||||||||||
U.S. TREASURY SECURITIES (1.62%) |
||||||||||||
United States Treasury Bond, 3.125%, 02/15/42 |
Aaa/AA+ | 235 | 319,102 | |||||||||
United States Treasury Bond, 1.25%, 05/15/50 |
Aaa/AA+ | 423 | 406,619 | |||||||||
United States Treasury Floating Rate Note, (USBMMY3M +0.22%), 0.365%, 07/31/21(e) |
Aaa/AA+ | 1,000 | 1,001,918 | |||||||||
United States Treasury Note, 0.50%, 04/30/27 |
Aaa/AA+ | 685 | 686,017 | |||||||||
United States Treasury Note, 0.625%, 05/15/30 |
Aaa/AA+ | 1,312 | 1,307,863 | |||||||||
|
|
| ||||||||||
TOTAL U.S. TREASURY SECURITIES (Cost of $3,714,520) |
3,721,519 | |||||||||||
|
|
| ||||||||||
GOVERNMENT BOND (0.33%) |
||||||||||||
Mexico Government International Bond, Sr. Unsec. Notes, 5.00%, 04/27/51(b) |
Baa1/BBB | 711 | 766,103 | |||||||||
|
|
| ||||||||||
TOTAL GOVERNMENT BOND (Cost of $658,504) |
766,103 | |||||||||||
|
|
| ||||||||||
Shares | ||||||||||||
PREFERRED STOCK (0.89%) |
||||||||||||
CoBank ACB, Series F, 6.250%, (3M LIBOR +4.557%)(b),(c),(d) |
20,000 | 2,060,000 | ||||||||||
|
|
| ||||||||||
TOTAL PREFERRED STOCK (Cost of $2,085,000) |
2,060,000 | |||||||||||
|
|
| ||||||||||
TOTAL INVESTMENTS (98.54%) (Cost $205,752,168) |
226,729,586 | |||||||||||
|
|
| ||||||||||
OTHER ASSETS AND LIABILITIES (1.46%) |
3,347,965 | |||||||||||
|
|
| ||||||||||
NET ASSETS (100.00%) |
$ | 230,077,551 | ||||||||||
|
|
|
At June 30, 2020, the Fund had the following open futures contracts:
Long Futures Outstanding | Expiration Month |
Number of Contracts |
Notional Amount |
Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
U.S. Treasury 2-Year Notes |
09/20 | 10 | $ | 2,207,734 | $ | 2,208,281 | $ | 547 | ||||||||||||
U.S. Treasury 10-Year Ultra Bonds |
09/20 | 11 | 1,727,734 | 1,732,328 | 4,594 | |||||||||||||||
U.S. Treasury Long Bonds |
09/20 | 26 | 4,604,172 | 4,642,625 | 38,453 | |||||||||||||||
U.S. Treasury Ultra Bonds |
09/20 | 9 | 1,950,781 | 1,963,406 | 12,625 | |||||||||||||||
|
|
| ||||||||||||||||||
56,219 | ||||||||||||||||||||
|
|
| ||||||||||||||||||
Short Futures Outstanding |
||||||||||||||||||||
U.S. Treasury 5-Year Notes |
09/20 | 119 | (14,916,026 | ) | (14,963,321 | ) | (47,295 | ) | ||||||||||||
U.S. Treasury 10-Year Notes |
09/20 | 15 | (2,082,844 | ) | (2,087,578 | ) | (4,734 | ) | ||||||||||||
|
|
| ||||||||||||||||||
(52,029 | ) | |||||||||||||||||||
|
|
| ||||||||||||||||||
Net unrealized appreciation on open futures contracts |
|
$ | 4,190 | |||||||||||||||||
|
|
|
(a) | Ratings for debt securities are unaudited. All ratings are as of June 30, 2020 and may have changed subsequently. |
(b) | This security is callable. |
(c) | Fixed to floating rate security. Fixed rate indicated is rate effective at June 30, 2020. Security will convert at a future date to a floating rate of reference rate and spread in the description above. |
(d) | Security is perpetual. Date shown is next call date. |
(e) | Variable rate security. Rate indicated is rate effective at June 30, 2020. |
(f) | Multi-Step Coupon. Rate disclosed is as of June 30, 2020. |
(g) | Denotes a step-up bond. The rate indicated is the current coupon as of June 30, 2020. |
(h) | Principal amount less than $1,000. |
144A | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. At June 30, 2020, these securities amounted to $84,648,745 or 36.79% of net assets. |
Legend
Certs. - Certificates
CLO - Collateralized Loan Obligation
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) continued
Co. Gty. - Company Guaranty
FHLMC - Federal Home Loan Mortgage Corp.
FNMA - Federal National Mortgage Association
FREMF - Freddie Multi-Family
GNSF - Government National Mortgage Association (Single Family)
GO - General Obligation
H15T5Y - US Treasury Yield Curve Rate T Note Constant Maturity 5 Year
Jr. - Junior
LIBOR - London Interbank Offered Rate
LLC - Limited Liability Company
LP - Limited Partnership
Ltd. - Limited
REIT - Real Estate Investment trust
Sec. - Secured
SOFRRATE Secured Overnight Financing Rate
Sr. - Senior
Sub. - Subordinated
Unsec. - Unsecured
USBMMY3M - 3 Month Treasury Bill Rate
The accompanying notes are an integral part of these financial statements.
INSIGHT SELECT INCOME FUND
Notes to the Quarterly Schedule of Investments
June 30, 2020
(unaudited)
A. Security Valuation In valuing the Insight Select Income Funds (the Fund) net assets, all securities for which representative market quotations are available will be valued at the last quoted sales price on the securitys principal exchange on the day of valuation. If there are no sales of the relevant security on such day, the security will be valued at the bid price at the time of computation. For securities traded in the over-the-counter market, including listed debt and preferred securities, whose primary market is believed to be over-the-counter, the Fund uses recognized industry pricing services approved by the Board and unaffiliated with the Adviser and uses broker quotes provided by market makers of securities not valued by these and other recognized pricing sources.
In the event that market quotations are not readily available, or when such quotations are deemed not to reflect current market value, the securities will be valued at their respective fair value as determined in good faith by the Adviser pursuant to certain procedures and reporting requirements established by the Board of Trustees. The Adviser considers all relevant facts that are reasonably available when determining the fair value of a security, including but not limited to the last sale price or initial purchase price (if a when issued security) and subsequently adjusting the value based on changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves are utilized. At June 30, 2020, there were no securities valued using fair value procedures.
Fair Value Measurements The Fund has adopted authoritative fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value, a discussion in changes in valuation techniques and related inputs during the period and expanded disclosure of valuation levels for major security types. These inputs are summarized in the three broad levels listed below:
Level 1 | | Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access. | ||
Level 2 | | Observable inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. | ||
Level 3 | | Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. |
Following is a description of the valuation techniques applied to the Funds major categories of assets measured at fair value on a recurring basis as of June 30, 2020.
INSIGHT SELECT INCOME FUND
Notes to the Quarterly Schedule of Investments
June 30, 2020 (concluded)
(unaudited)
Total Market Value at 06/30/20 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||
ASSETS: |
||||||||||||||||
CORPORATE DEBT SECURITIES |
$ | 192,076,422 | $ | | $ | 192,076,422 | $ | |||||||||
ASSET BACKED SECURITIES |
17,110,687 | | 17,110,687 | | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES |
7,743,892 | | 7,743,892 | | ||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES |
399,125 | | 399,125 | | ||||||||||||
MUNICIPAL BONDS |
2,851,838 | | 2,851,838 | | ||||||||||||
U.S. TREASURY SECURITIES |
3,721,519 | | 3,721,519 | | ||||||||||||
GOVERNMENT BONDS |
766,103 | | 766,103 | | ||||||||||||
PREFERRED STOCK |
2,060,000 | 2,060,000 | | | ||||||||||||
FUTURES CONTRACTS |
56,219 | 56,219 | | | ||||||||||||
TOTAL ASSETS |
$ | 226,785,805 | $ | 2,216,219 | $ | 224,669,586 | $ | | ||||||||
LIABILITIES: |
||||||||||||||||
FUTURES CONTRACTS |
$ | 52,029 | $ | 52,029 | $ | | $ | |
At the end of each calendar quarter, management evaluates the Level 1, 2 and 3 assets and liabilities for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates Level 1 and 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
Level 3 investments are categorized as Level 3 with values derived utilizing prices from prior transactions or third party pricing information without adjustment (broker quotes, pricing services and net asset values). A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments. As of June 30, 2020, the Fund did not hold any Level 3 securities.
For more information with regards to significant accounting policies, see the most recent semi or annual report filed with the Securities and Exchange Commission.