| SCHEDULE OF INVESTMENTS (Unaudited) | December 31, 2020 |
| Moody’s/ Standard & Poor’s Rating(a) |
Principal Amount (000’s) |
Value (Note 1) |
||||||||||
| CORPORATE DEBT SECURITIES (85.66%) |
||||||||||||
| AUTOMOTIVE (3.27%) |
||||||||||||
| Allison Transmission Inc., Co. Gty., 3.75%, 01/30/31, 144A(b) |
Ba3/NA | $ | 220 | $ | 225,088 | |||||||
| Ford Holdings LLC, Co. Gty., 9.30%, 03/01/30 |
Ba2/BB+ | 1,000 | 1,300,000 | |||||||||
| Ford Motor Co., Sr. Unsec. Notes, 8.50%, 04/21/23 |
Ba2/BB+ | 904 | 1,017,461 | |||||||||
| Ford Motor Co., Sr. Unsec. Notes, 8.90%, 01/15/32 |
Ba2/BB+ | 500 | 677,500 | |||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec. Notes, 3.336%, 03/18/21 |
Ba2/BB+ | 433 | 434,083 | |||||||||
| Ford Motor Credit Co. LLC, Sr. Unsec. Notes, 4.542%, 08/01/26(b) |
Ba2/BB+ | 1,356 | 1,447,530 | |||||||||
| General Motors Co., Sr. Unsec. Notes, 6.80%, 10/01/27(b) |
Baa3/BBB | 405 | 520,470 | |||||||||
| General Motors Financial Co. Inc., Sr. Unsec. Notes, (3M LIBOR +1.10%), 1.332%, 11/06/21(e) |
Baa3/BBB | 925 | 928,109 | |||||||||
| General Motors Financial Co. Inc., Sr. Unsec. Notes, 3.60%, 06/21/30(b) |
Baa3/BBB | 1,027 | 1,145,088 | |||||||||
|
|
|
|||||||||||
| 7,695,329 | ||||||||||||
|
|
|
|||||||||||
| CHEMICALS (3.11%) |
||||||||||||
| Alpek SAB de CV, Co. Gty., 4.50%, 11/20/22, 144A | Baa3/BB+ | 377 | 398,210 | |||||||||
| Axalta Coating Systems LLC, Co. Gty., 4.75%, 06/15/27, 144A(b) | B1/BB- | 150 | 159,563 | |||||||||
| Braskem Idesa SAPI, Sr. Sec. Notes, 7.45%, 11/15/29, 144A(b) | NA/B | 400 | 375,000 | |||||||||
| Braskem Netherlands Finance BV, Co. Gty., 4.50%, 01/31/30, 144A | NA/BB+ | 1,249 | 1,281,786 | |||||||||
| Braskem Netherlands Finance BV, Co. Gty., 5.875%, 01/31/50, 144A | NA/BB+ | 1,181 | 1,220,870 | |||||||||
| Kraton Polymers LLC, Co. Gty., 4.25%, 12/15/25, 144A(b) | B2/BB- | 290 | 295,829 | |||||||||
| Nutrition & Biosciences, Inc., Co. Gty., 1.832%, 10/15/27, 144A(b) | Baa3/BBB | 267 | 275,187 | |||||||||
| Union Carbide Corp., Sr. Unsec. Notes, 7.75%, 10/01/96 | Baa2/BBB- | 2,000 | 3,097,131 | |||||||||
| Westlake Chemical Corp., Sr. Unsec. Notes, 3.375%, 06/15/30(b) | Baa2/BBB- | 186 | 204,595 | |||||||||
|
|
|
|||||||||||
| 7,308,171 | ||||||||||||
|
|
|
|||||||||||
| CONSUMER PRODUCTS (0.41%) |
||||||||||||
| Hanesbrands Inc., Co. Gty., 5.375%, 05/15/25, 144A(b) | Ba3/BB | 373 | 394,641 | |||||||||
| VF Corp., Sr. Unsec. Notes, 2.80%, 04/23/27(b) | A3/A- | 530 | 579,722 | |||||||||
|
|
|
|||||||||||
| 974,363 | ||||||||||||
|
|
|
|||||||||||
| DIVERSIFIED FINANCIAL SERVICES (10.86%) |
||||||||||||
| AerCap Ireland Capital DAC, Co. Gty., 6.50%, 07/15/25(b) | Baa3/BBB | 560 | 669,451 | |||||||||
| AIB Group PLC, Sr. Unsec. Notes, (3M LIBOR +1.874%), 4.263%, 04/10/25, 144A(b),(c) | Baa2/BBB- | 582 | 636,341 | |||||||||
| Citigroup Inc., Jr. Sub. Notes, (H15T5Y +3.597%), 4.00%, 12/10/25(b),(c),(d) | Ba1/BB+ | 635 | 651,669 | |||||||||
| Citigroup, Inc., Sr. Unsec. Notes, (3M LIBOR +1.563%), 3.887%, 01/10/28(b),(c) | A3/BBB+ | 1,100 | 1,260,686 | |||||||||
| Citigroup, Inc., Sr. Unsec. Notes, 8.125%, 07/15/39 | A3/BBB+ | 70 | 125,128 | |||||||||
| Citigroup, Inc., Sub. Notes, 4.60%, 03/09/26 | Baa2/BBB | 988 | 1,157,825 | |||||||||
| Citigroup, Inc., Sub. Notes, 5.30%, 05/06/44 | Baa2/BBB | 926 | 1,306,506 | |||||||||
| Credit Agricole SA, Sub. Notes, (5Yr Swap +1.644%), 4.00%, 01/10/33, 144A(b),(c) | Baa1/BBB+ | 1,025 | 1,146,439 | |||||||||
| Credit Suisse Group AG, Sr. Unsec. Notes, (SOFRRATE +1.56%), 2.593%, 09/11/25, 144A(b),(c) |
Baa1/BBB+ | 1,242 | 1,306,924 | |||||||||
| Danske Bank AS, Sr. Unsec. Notes, (H15T1Y +1.73%), 5.00%, 01/12/23, 144A(b),(c) | Baa3/BBB+ | 739 | 769,197 | |||||||||
| GE Capital International Funding, Co. Gty., 4.418%, 11/15/35 | Baa1/BBB+ | 588 | 701,805 | |||||||||
| General Electric Co., Sr. Unsec. Notes, 3.625%, 05/01/30(b) | Baa1/BBB+ | 599 | 684,589 | |||||||||
| General Electric Co., Sr. Unsec. Notes, 6.875%, 01/10/39 | Baa1/BBB+ | 287 | 422,488 | |||||||||
| General Electric Co., Sr. Unsec. Notes, 4.125%, 10/09/42 | Baa1/BBB+ | 75 | 87,919 | |||||||||
| General Electric Co., Sr. Unsec. Notes, 4.35%, 05/01/50(b) | Baa1/BBB+ | 730 | 887,788 | |||||||||
| Goldman Sachs Group, Inc., Sr. Unsec. Notes, (3M LIBOR +1.75%), 1.972%, 10/28/27(b),(e) | A3/BBB+ | 550 | 578,101 | |||||||||
| HSBC Capital Funding LP, Co. Gty., (3M LIBOR +4.98%), 10.176%, 06/30/30, 144A(b),(c),(d) |
Baa2/BB+ | 2,180 | 3,722,350 | |||||||||
| HSBC Holdings PLC, Sr. Unsec. Notes, 4.95%, 03/31/30 | A2/A- | 499 | 625,545 | |||||||||
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
| Moody’s/ Standard & Poor’s Rating(a) |
Principal Amount (000’s) |
Value (Note 1) |
||||||||||
| CORPORATE DEBT SECURITIES (Continued) |
||||||||||||
| DIVERSIFIED FINANCIAL SERVICES (Continued) |
||||||||||||
| JPMorgan Chase & Co., Jr. Sub. Notes, (3M LIBOR +2.58%), 4.625%, 11/01/22(b),(c),(d) | Baa2/BBB- | $ | 1,159 | $ | 1,144,343 | |||||||
| Morgan Stanley, Jr. Sub. Notes, (3M LIBOR +3.61%), 3.847%, 04/15/21(b),(d),(e) | Baa3/BB+ | 876 | 869,693 | |||||||||
| Morgan Stanley, Sub. Notes, 4.35%, 09/08/26 | Baa1/BBB | 1,500 | 1,768,482 | |||||||||
| PNC Financial Services Group, Inc., Jr. Sub. Notes, (3M LIBOR +3.30%), 5.00%, 11/01/26(b),(c),(d) | Baa2/BBB- | 757 | 827,023 | |||||||||
| Truist Financial Corp., Jr. Sub. Notes, (H15T5Y +3.003%), 4.80%, 09/01/24(b),(c),(d) | Baa2/BBB- | 1,136 | 1,199,874 | |||||||||
| UBS AG, Sub. Notes, 7.625%, 08/17/22 | NR/BBB+ | 2,000 | 2,213,461 | |||||||||
| Westpac Banking Corp., Sub. Notes, (H15T5Y +1.750%), 2.668%, 11/15/35(b),(c) | Baa1/BBB+ | 753 | 775,710 | |||||||||
|
|
|
|||||||||||
| 25,539,337 | ||||||||||||
|
|
|
|||||||||||
| ENERGY (11.67%) |
||||||||||||
| Aker BP ASA, Sr. Unsec. Notes, 4.00%, 01/15/31, 144A(b) | Ba1/BBB- | 1,339 | 1,450,469 | |||||||||
| Antero Midstream Partners LP, Co. Gty., 5.75%, 03/01/27, 144A(b) | B3/B- | 681 | 669,083 | |||||||||
| CVR Energy, Inc., Co. Gty., 5.75%, 02/15/28, 144A(b) | B1/B+ | 941 | 891,598 | |||||||||
| Ecopetrol SA, Sr. Unsec. Notes, 6.875%, 04/29/30(b) | Baa3/BBB- | 440 | 568,040 | |||||||||
| Enbridge, Inc., Sub. Notes, (3M LIBOR +3.89%), 6.00%, 01/15/77(b),(c) | Ba1/BBB- | 750 | 800,625 | |||||||||
| Energy Transfer Operating LP, Co. Gty., 3.75%, 05/15/30(b) | Baa3/BBB- | 398 | 429,304 | |||||||||
| Enterprise Products Operating LLC, Co. Gty., (3M LIBOR +2.57%), 5.375%, 02/15/78(b),(c) | Baa2/BBB- | 342 | 345,588 | |||||||||
| Exxon Mobil Corp., Sr. Unsec. Notes, 4.227%, 03/19/40(b) | Aa1/AA | 1,402 | 1,745,980 | |||||||||
| Florida Gas Transmission Co. LLC, Sr. Unsec. Notes, 9.19%, 11/01/24, 144A | Baa2/BBB+ | 40 | 43,475 | |||||||||
| Global Partners LP, Co. Gty., 7.00%, 08/01/27(b) | B2/B+ | 1,076 | 1,151,320 | |||||||||
| Kinder Morgan, Inc., Co. Gty., 8.05%, 10/15/30 | Baa2/BBB | 1,000 | 1,390,487 | |||||||||
| Kinder Morgan, Inc., Co. Gty., 5.55%, 06/01/45(b) | Baa2/BBB | 1,755 | 2,255,400 | |||||||||
| Leviathan Bond Ltd, Sr. Sec. Notes, 6.125%, 06/30/25, 144A(b) | Ba3/BB- | 912 | 1,000,920 | |||||||||
| Marathon Petroleum Corp., Sr. Unsec. Notes, 5.85%, 12/15/45(b) | Baa2/BBB | 500 | 617,861 | |||||||||
| MPLX LP, Sr. Unsec. Notes, 4.25%, 12/01/27(b) | Baa2/BBB | 901 | 1,057,928 | |||||||||
| MPLX LP, Sr. Unsec. Notes, 5.50%, 02/15/49(b) | Baa2/BBB | 694 | 913,868 | |||||||||
| MPLX LP, Sr. Unsec. Notes, 4.90%, 04/15/58(b) | Baa2/BBB | 561 | 666,773 | |||||||||
| NGPL PipeCo LLC, Sr. Unsec. Notes, 7.768%, 12/15/37, 144A | Baa3/BBB- | 880 | 1,189,741 | |||||||||
| Panhandle Eastern Pipe Line Co. LP, Sr. Unsec. Notes, 7.00%, 07/15/29 | Baa3/BBB- | 1,000 | 1,251,935 | |||||||||
| Parkland Corp., Co. Gty., 5.875%, 07/15/27, 144A(b) | Ba3/BB | 981 | 1,060,687 | |||||||||
| Petrobras Global Finance BV, Co. Gty., 5.60%, 01/03/31(b) | Ba2/BB- | 413 | 474,661 | |||||||||
| Petroleos Mexicanos, Co. Gty., 5.95%, 01/28/31(b) | Ba2/BBB | 552 | 550,620 | |||||||||
| Petroleos Mexicanos, Co. Gty., 6.95%, 01/28/60(b) | Ba2/BBB | 195 | 183,427 | |||||||||
| Petroleos Mexicanos, Co. Gty., 6.35%, 02/12/48 | Ba2/BBB | 702 | 636,363 | |||||||||
| Saudi Arabian Oil Co., Sr. Unsec. Notes, 2.25%, 11/24/30, 144A(b) | A1/NA | 853 | 868,647 | |||||||||
| Targa Resources Partners LP, Co. Gty., 5.50%, 03/01/30(b) | Ba3/BB | 1,177 | 1,277,869 | |||||||||
| Transcontinental Gas Pipe Line Co. LLC, Sr. Unsec. Notes, 3.95%, 05/15/50(b) | Baa2/BBB | 384 | 434,335 | |||||||||
| Valero Energy Corp., Co. Gty., 8.75%, 06/15/30 | Baa2/BBB | 1,000 | 1,412,141 | |||||||||
| Valero Energy Corp., Sr. Unsec. Notes, 10.50%, 03/15/39 | Baa2/BBB | 500 | 863,325 | |||||||||
| Williams Cos., Inc., Sr. Unsec. Notes, 7.50%, 01/15/31 | Baa3/BBB | 911 | 1,238,416 | |||||||||
|
|
|
|||||||||||
| 27,440,886 | ||||||||||||
|
|
|
|||||||||||
| FOOD AND BEVERAGE (1.23%) |
||||||||||||
| Albertsons Cos., Inc., Co. Gty., 3.50%, 03/15/29, 144A(b) | B1/BB- | 430 | 435,104 | |||||||||
| Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 4.70%, 02/01/36(b) | Baa1/BBB+ | 645 | 819,335 | |||||||||
| Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 4.90%, 02/01/46(b) | Baa1/BBB+ | 446 | 579,903 | |||||||||
| Anheuser-Busch InBev Worldwide, Inc., Co. Gty., 8.20%, 01/15/39 | Baa1/BBB+ | 27 | 46,647 | |||||||||
| Kraft Heinz Foods Co., Co. Gty., 5.50%, 06/01/50, 144A(b) | Baa3/BB+ | 650 | 818,839 | |||||||||
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
| Moody’s/ Standard & Poor’s Rating(a) |
Principal Amount (000’s) |
Value (Note 1) |
||||||||||
| CORPORATE DEBT SECURITIES (Continued) |
||||||||||||
| FOOD AND BEVERAGE (Continued) |
||||||||||||
| Kroger Co., Sr. Unsec. Notes, 5.40%, 01/15/49(b) | Baa1/BBB | $ | 68 | $ | 98,568 | |||||||
| SEG Holding LLC, Sr. Sec. Notes, 5.625%, 10/15/28, 144A(b) | B2/B+ | 80 | 84,400 | |||||||||
|
|
|
|||||||||||
| 2,882,796 | ||||||||||||
|
|
|
|||||||||||
| GAMING, LODGING & LEISURE (0.36%) |
||||||||||||
| Marriott International, Inc., Sr. Unsec. Notes, 5.75%, 05/01/25(b) | Baa3/BBB- | 489 | 571,984 | |||||||||
| Wyndham Destinations, Inc., Sr. Sec. Notes, 6.625%, 07/31/26, 144A(b) | Ba3/BB- | 250 | 286,250 | |||||||||
|
|
|
|||||||||||
| 858,234 | ||||||||||||
|
|
|
|||||||||||
| HEALTHCARE (2.38%) |
||||||||||||
| AbbVie Inc., Sr. Unsec. Notes, 4.05%, 11/21/39(b) | Baa2/BBB+ | 615 | 744,288 | |||||||||
| Bausch Health Cos., Inc., Co. Gty., 5.00%, 02/15/29, 144A(b) | B3/B | 24 | 24,677 | |||||||||
| Bausch Health Cos., Inc., Co. Gty., 6.25%, 02/15/29, 144A(b) | B3/B | 73 | 79,296 | |||||||||
| Bausch Health Cos., Inc., Co. Gty., 5.25%, 01/30/30, 144A(b) | B3/B | 87 | 91,350 | |||||||||
| CommonSpirit Health, Sr. Sec. Notes, 2.782%, 10/01/30(b) | Baa1/BBB+ | 432 | 457,374 | |||||||||
| DaVita, Inc., Co. Gty., 3.75%, 02/15/31, 144A(b) | Ba3/B+ | 1,134 | 1,151,418 | |||||||||
| Royalty Pharma PLC, Co. Gty., 2.20%, 09/02/30, 144A(b) | Baa3/BBB- | 930 | 955,035 | |||||||||
| Takeda Pharmaceutical Co. Ltd., Sr. Unsec. Notes, 3.175%, 07/09/50(b) | Baa2/BBB+ | 684 | 729,331 | |||||||||
| Takeda Pharmaceutical Co., Ltd, Sr. Unsec. Notes, 5.00%, 11/26/28(b) | Baa2/BBB+ | 500 | 621,250 | |||||||||
| Tenet Healthcare Corp., Sr. Sec. Notes, 4.625%, 06/15/28, 144A(b) | B1/BB- | 99 | 103,703 | |||||||||
| Teva Pharmaceutical Finance Netherlands III BV, Co. Gty., 7.125%, 01/31/25(b) | Ba2/BB- | 577 | 637,758 | |||||||||
|
|
|
|||||||||||
| 5,595,480 | ||||||||||||
|
|
|
|||||||||||
| INDUSTRIAL (4.55%) |
||||||||||||
| Altria Group, Inc., Co. Gty., 4.80%, 02/14/29(b) | A3/BBB | 527 | 631,397 | |||||||||
| Altria Group, Inc., Co. Gty., 5.95%, 02/14/49(b) | A3/BBB | 329 | 460,915 | |||||||||
| BAT Capital Corp., Co. Gty, 3.984%, 09/25/50(b) | Baa2/BBB+ | 1,274 | 1,329,469 | |||||||||
| BAT International Finance PLC, Co. Gty., 1.668%, 03/25/26(b) | Baa2/BBB+ | 425 | 435,038 | |||||||||
| Boeing Co., Sr. Unsec. Notes, 4.875%, 05/01/25(b) | Baa2/BBB- | 1,657 | 1,888,827 | |||||||||
| Boeing Co., Sr. Unsec. Notes, 5.805%, 05/01/50(b) | Baa2/BBB- | 648 | 893,038 | |||||||||
| Carrier Global Corp., Sr. Unsec. Notes, 2.722%, 02/15/30(b) | Baa3/BBB | 852 | 911,140 | |||||||||
| Cemex SAB de CV, Sr. Sec. Notes, 5.20%, 09/17/30, 144A(b) | NA/BB | 907 | 994,526 | |||||||||
| Cemex SAB de CV, Sr. Sec. Notes, 7.375%, 06/05/27, 144A(b) | NA/BB | 200 | 227,600 | |||||||||
| GFL Environmental Inc., Sr. Sec. Notes, 3.50%, 09/01/28, 144A(b) | Ba3/BB- | 338 | 344,126 | |||||||||
| Heathrow Funding, Ltd., Sr. Sec. Notes, 4.875%, 07/15/21, 144A | NA/BBB+ | 200 | 203,865 | |||||||||
| Northrop Grumman Space & Mission Systems Corp., Co. Gty., 7.75%, 06/01/29 | Baa1/BBB | 500 | 703,205 | |||||||||
| SRM Escrow Issuer LLC, Sr. Sec. Notes, 6.00%, 11/01/28, 144A(b) | B1/B+ | 397 | 414,927 | |||||||||
| Sydney Airport Finance Co. Property, Ltd., Sr. Sec. Notes, 3.375%, 04/30/25, 144A(b) | Baa1/BBB+ | 400 | 431,518 | |||||||||
| Raytheon Technologies Corp., Sr. Unsec. Notes, 3.75%, 11/01/46(b) | Baa1/A- | 700 | 830,689 | |||||||||
|
|
|
|||||||||||
| 10,700,280 | ||||||||||||
|
|
|
|||||||||||
| INSURANCE (10.80%) |
||||||||||||
| Allianz SE, Jr. Sub. Notes, (H15T5Y +2.973%), 3.50%, 4/30/2026, 144A(b),(c),(d) | Baa1/A | 800 | 815,000 | |||||||||
| Allstate Corp., Jr. Sub. Notes, (3M LIBOR +2.12%), 6.50%, 05/15/57(b),(c) | Baa1/BBB | 2,200 | 2,986,038 | |||||||||
| American International Group, Inc., Jr. Sub. Notes, (3M LIBOR +4.195%), 8.175%, 05/15/58(b),(c) | Baa2/BBB- | 2,500 | 3,662,772 | |||||||||
| Brighthouse Financial, Inc., Sr. Unsec. Notes, 5.625%, 05/15/30(b) | Baa3/BBB+ | 383 | 472,806 | |||||||||
| Farmers Exchange Capital, Sub. Notes, 7.20%, 07/15/48, 144A | Baa2/BBB+ | 2,250 | 2,945,308 | |||||||||
| Guardian Life Insurance Co. of America, Sub. Notes, 4.85%, 01/24/77, 144A | A1/AA- | 148 | 207,556 | |||||||||
| Liberty Mutual Group, Inc., Co. Gty., 3.951%, 10/15/50, 144A(b) | Baa2/BBB | 250 | 299,376 | |||||||||
| Liberty Mutual Group, Inc., Co. Gty., (3M LIBOR +7.12%), 10.75%, 06/15/58, 144A(b),(c) | Baa3/BB+ | 1,000 | 1,467,851 | |||||||||
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
| Moody’s/ Standard & Poor’s Rating(a) |
Principal Amount (000’s) |
Value (Note 1) |
||||||||||
| CORPORATE DEBT SECURITIES (Continued) |
||||||||||||
| INSURANCE (Continued) |
||||||||||||
| Lincoln National Corp., Sr. Unsec. Notes, 3.80%, 03/01/28(b) | Baa1/A- | $ | 250 | $ | 289,214 | |||||||
| Massachusetts Mutual Life Insurance Co., Sub. Notes, 4.90%, 04/01/77, 144A | A2/AA- | 980 | 1,346,253 | |||||||||
| Massachusetts Mutual Life Insurance Co., Sub. Notes, 3.729%, 10/15/70, 144A | A2/AA- | 243 | 268,287 | |||||||||
| MetLife, Inc., Jr. Sub. Notes, 9.25%, 04/08/38, 144A(b) | Baa2/BBB | 1,05 | 9 | 1,614,592 | ||||||||
| MetLife, Inc., Jr. Sub. Notes, 6.40%, 12/15/36(b) | Baa2/BBB | 637 | 823,921 | |||||||||
| MetLife, Inc., Jr. Sub. Notes, 10.75%, 08/01/39(b) | Baa2/BBB | 1,000 | 1,713,297 | |||||||||
| Nationwide Mutual Insurance Co., Sub. Notes, 8.25%, 12/01/31, 144A | A3/A- | 500 | 716,414 | |||||||||
| Nationwide Mutual Insurance Co., Sub. Notes, 9.375%, 08/15/39, 144A | A3/A- | 215 | 374,330 | |||||||||
| New York Life Insurance Co., Sub. Notes, 6.75%, 11/15/39, 144A | Aa2/AA- | 103 | 159,692 | |||||||||
| Principal Financial Group, Inc., Co. Gty., (3M LIBOR +3.044%), 3.265%, 05/15/55(b),(c) | Baa2/BBB | 1,135 | 1,089,600 | |||||||||
| Prudential Financial, Inc., Jr. Sub. Notes, (3M LIBOR +3.92%), 5.625%, 06/15/43(b),(c) | Baa1/BBB+ | 600 | 643,455 | |||||||||
| Prudential Financial, Inc., Jr. Sub. Notes, (3M LIBOR +2.665%), 5.70%, 09/15/48(b),(c) | Baa1/BBB+ | 1,241 | 1,432,753 | |||||||||
| SAFG Retirement Services, Inc., Sr. Unsec. Notes, 8.125%, 04/28/23 | Baa1/BBB+ | 1,800 | 2,081,653 | |||||||||
|
|
|
|||||||||||
| 25,410,168 | ||||||||||||
|
|
|
|||||||||||
| MEDIA (9.28%) |
||||||||||||
| Cable One Inc., Co. Gty., 4.00%, 11/15/30, 144A(b) | B2/BB- | 97 | 100,759 | |||||||||
| CCO Holdings LLC, Sr. Unsec. Notes, 4.25%, 02/01/31, 144A(b) | B1/BB | 75 | 79,040 | |||||||||
| CCO Holdings LLC, Sr. Unsec. Notes, 4.50%, 05/01/32, 144A(b) | B1/BB | 1,017 | 1,085,871 | |||||||||
| Charter Communications Operating LLC, Sr. Sec. Notes, 5.75%, 04/01/48(b) | Ba1/BBB- | 774 | 1,012,735 | |||||||||
| Comcast Corp., Co. Gty., 4.70%, 10/15/48(b) | A3/A- | 297 | 414,949 | |||||||||
| Comcast Corp., Co. Gty., 7.05%, 03/15/33 | A3/A- | 2,000 | 3,070,972 | |||||||||
| Cox Communications, Inc., Sr. Unsec. Notes, 6.80%, 08/01/28 | Baa2/BBB | 1,500 | 1,936,786 | |||||||||
| Cox Enterprises, Inc., Sr. Unsec. Notes, 7.375%, 07/15/27, 144A | Baa2/BBB | 500 | 668,495 | |||||||||
| CSC Holdings LLC, Co. Gty., 4.125%, 12/01/30, 144A(b) | Ba3/BB | 448 | 468,429 | |||||||||
| CSC Holdings LLC, Co. Gty., 6.50%, 02/01/29, 144A(b) | Ba3/BB | 954 | 1,077,114 | |||||||||
| CSC Holdings LLC, Sr. Unsec. Notes, 3.375%, 02/15/31, 144A(b) | Ba3/BB | 636 | 624,075 | |||||||||
| CSC Holdings LLC, Sr. Unsec. Notes, 4.625%, 12/01/30, 144A(b) | B3/B | 1,336 | 1,394,450 | |||||||||
| Gray Television Inc., Co. Gty., 4.75%, 10/15/30, 144A(b) | B3/B+ | 21 | 21,394 | |||||||||
| Grupo Televisa SAB, Sr. Unsec. Notes, 5.00%, 05/13/45(b) | Baa1/BBB+ | 557 | 671,685 | |||||||||
| Grupo Televisa SAB, Sr. Unsec. Notes, 6.625%, 01/15/40 | Baa1/BBB+ | 159 | 222,564 | |||||||||
| Radiate Holdco LLC, Sr. Sec. Notes, 4.50%, 09/15/26, 144A(b) | B1/B | 124 | 127,875 | |||||||||
| RELX, Inc., Sr. Unsec. Notes, 8.875%, 06/01/22 | NR/BBB+ | 2,000 | 2,218,685 | |||||||||
| Scripps Escrow II Inc., Sr. Sec. Notes, 3.875%, 01/15/29, 144A(b) | Ba3/BB- | 42 | 43,649 | |||||||||
| Time Warner Entertainment Co. LP, Sr. Sec. Notes, 8.375%, 07/15/33 | Ba1/BBB- | 1,360 | 2,103,781 | |||||||||
| ViacomCBS, Inc., Sr. Unsec. Notes, 4.20%, 05/19/32(b) | Baa2/BBB | 641 | 772,499 | |||||||||
| ViacomCBS, Inc., Sr. Unsec. Notes, 6.875%, 04/30/36 | Baa2/BBB | 179 | 258,911 | |||||||||
| Virgin Media Finance PLC, Sr. Unsec. Notes, 5.00%, 07/15/30, 144A(b) | B2/B | 200 | 207,500 | |||||||||
| VTR Finance NV, Sr. Unsec. Notes, 6.375%, 07/15/28, 144A(b) | B1/B | 443 | 483,978 | |||||||||
| Walt Disney Co., Co. Gty., 7.90%, 12/01/95 | A2/BBB+ | 1,400 | 2,764,524 | |||||||||
|
|
|
|||||||||||
| 21,830,720 | ||||||||||||
|
|
|
|||||||||||
| MINING (1.00%) |
||||||||||||
| Anglo American Capital PLC, Co. Gty., 2.625%, 09/10/30, 144A(b) |
Baa2/BBB | 567 | 592,905 | |||||||||
| AngloGold Ashanti Holdings PLC, Co. Gty., 3.75%, 10/01/30(b) | Baa3/BB+ | 339 | 364,385 | |||||||||
| IAMGOLD Corp., Co. Gty., 5.75%, 10/15/28, 144A(b) | B2/B+ | 701 | 711,515 | |||||||||
| Industrias Penoles SAB de CV, Sr. Unsec. Notes, 4.75%, 08/06/50, 144A(b) | NA/BBB | 289 | 335,153 | |||||||||
| Newcrest Finance Pty Ltd., Co. Gty., 3.25%, 05/13/30, 144A(b) | Baa2/BBB | 319 | 352,355 | |||||||||
|
|
|
|||||||||||
| 2,356,313 | ||||||||||||
|
|
|
|||||||||||
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
| Moody’s/ Standard & Poor’s Rating(a) |
Principal Amount (000’s) |
Value (Note 1) |
||||||||||
| CORPORATE DEBT SECURITIES (Continued) |
||||||||||||
| PAPER (1.04%) |
| |||||||||||
| Celulosa Arauco y Constitucion SA, Sr. Unsec. Notes, 4.20%, 01/29/30, 144A(b) | Baa3/BBB- | $ | 579 | $ | 654,270 | |||||||
| Celulosa Arauco y Constitucion SA, Sr. Unsec. Notes, 5.50%, 04/30/49, 144A(b) | Baa3/BBB- | 647 | 781,253 | |||||||||
| Inversiones CMPC SA, Co. Gty., 3.85%, 01/13/30, 144A(b) | Baa3/BBB- | 580 | 649,600 | |||||||||
| Suzano Austria GmbH, Co. Gty., 3.75%, 01/15/31(b) | NA/BBB- | 351 | 372,411 | |||||||||
|
|
|
|||||||||||
| 2,457,534 | ||||||||||||
|
|
|
|||||||||||
| REAL ESTATE INVESTMENT TRUST (REIT) (1.38%) |
||||||||||||
| Iron Mountain, Inc., Co. Gty., 5.00%, 07/15/28, 144A(b) | Ba3/BB- | 59 | 62,680 | |||||||||
| Iron Mountain, Inc., Co. Gty., 4.875%, 09/15/29, 144A(b) | Ba3/BB- | 398 | 419,890 | |||||||||
| Iron Mountain, Inc., Co. Gty., 5.25%, 07/15/30, 144A(b) | Ba3/BB- | 578 | 624,240 | |||||||||
| Scentre Group Trust 2, Co. Gty., (H15T5Y +4.379%), 4.75%, 9/24/2026, 144A(b),(c) | Baa1/BBB+ | 2,007 | 2,092,074 | |||||||||
| WEA Finance LLC, Co. Gty., 4.625%, 09/20/48, 144A(b) | Baa1/BBB+ | 36 | 38,304 | |||||||||
|
|
|
|||||||||||
| 3,237,188 | ||||||||||||
|
|
|
|||||||||||
| RETAIL & RESTAURANT (1.50%) |
| |||||||||||
| Lowe’s Cos Inc., Sr. Unsec. Notes, 3.00%, 10/15/50(b) | Baa1/BBB+ | 385 | 411,802 | |||||||||
| Penske Automotive Group, Inc., Co. Gty. , 3.50%, 09/01/25(b) | Ba3/B+ | 744 | 756,090 | |||||||||
| Starbucks Corp., Sr. Unsec. Notes, 4.45%, 08/15/49(b) | Baa1/BBB+ | 1,781 | 2,349,410 | |||||||||
|
|
|
|||||||||||
| 3,517,302 | ||||||||||||
|
|
|
|||||||||||
| TECHNOLOGY (3.86%) |
||||||||||||
| Broadcom, Inc., Co. Gty., 4.25%, 04/15/26(b) | Baa3/BBB- | 1,655 | 1,895,366 | |||||||||
| Broadcom, Inc., Co. Gty., 4.75%, 04/15/29(b) | Baa3/BBB- | 1,109 | 1,322,728 | |||||||||
| Dell International LLC, Sr. Sec. Notes, 5.85%, 07/15/25, 144A(b) | Baa3/BBB- | 342 | 410,679 | |||||||||
| Dell International LLC, Sr. Sec. Notes, 8.35%, 07/15/46, 144A(b) | Baa3/BBB- | 845 | 1,278,331 | |||||||||
| Fiserv, Inc., Sr. Unsec. Notes, 3.50%, 07/01/29(b) | Baa2/BBB | 1,087 | 1,241,198 | |||||||||
| Oracle Corp., Sr. Unsec. Notes, 3.60%, 04/01/40(b) | A3/A | 2,331 | 2,730,037 | |||||||||
| Seagate HDD Cayman, Co. Gty., 3.125%, 07/15/29, 144A(b) | Ba1/BB+ | 210 | 210,023 | |||||||||
|
|
|
|||||||||||
| 9,088,362 | ||||||||||||
|
|
|
|||||||||||
| TELECOMMUNICATIONS (4.16%) |
| |||||||||||
| AT&T, Inc., Sr. Unsec. Notes, 3.30%, 02/01/52(b) | Baa2/BBB | 2,321 | 2,301,228 | |||||||||
| AT&T, Inc., Sr. Unsec. Notes, 4.50%, 05/15/35(b) | Baa2/BBB | 515 | 624,919 | |||||||||
| AT&T, Inc., Sr. Unsec. Notes, 4.75%, 05/15/46(b) | Baa2/BBB | 425 | 524,241 | |||||||||
| Deutsche Telekom International Finance BV, Co. Gty., 8.75%, 06/15/30(f) | Baa1/BBB | 2,000 | 3,164,349 | |||||||||
| Frontier Communications Corp., Sr. Sec. Notes, 5.00%, 05/01/28, 144A(b) | B3/B+ | 255 | 265,838 | |||||||||
| Qwest Corp., Sr. Unsec. Notes, 6.75%, 12/01/21 | Ba2/BBB- | 279 | 291,876 | |||||||||
| Verizon Communications, Inc., Sr. Unsec. Notes, 4.812%, 03/15/39 | Baa1/BBB+ | 1,898 | 2,476,166 | |||||||||
| Windstream Escrow LLC, Sr. Sec. Notes, 7.75%, 08/15/28, 144A(b) | B3/B | 146 | 147,022 | |||||||||
|
|
|
|||||||||||
| 9,795,639 | ||||||||||||
|
|
|
|||||||||||
| TRANSPORTATION (5.12%) |
||||||||||||
| Air Canada, Pass Through Certs., Series 2020-2, Class A, 5.25%, 04/01/29, 144A | NA/A | 278 | 297,043 | |||||||||
| American Airlines, Pass Through Certs., Series 2017-1, Class AA, 3.65%, 02/15/29 | Baa1/NA | 913 | 920,556 | |||||||||
| American Airlines, Pass Through Certs., Series 2017-2, Class AA, 3.35%, 10/15/29 | Baa1/NA | 1,372 | 1,353,455 | |||||||||
| American Airlines, Pass Through Certs., Series 2019-1, Class AA, 3.15%, 02/15/32 | Baa1/A | 786 | 769,923 | |||||||||
| Ashtead Capital, Inc., Sec. Notes, 4.00%, 05/01/28, 144A(b) | Baa3/BBB- | 555 | 589,488 | |||||||||
| Ashtead Capital, Inc., Sec. Notes, 4.25%, 11/01/29, 144A(b) | Baa3/BBB- | 200 | 218,968 | |||||||||
| BNSF Funding Trust I, Co. Gty., (3M LIBOR +2.35%), 6.613%, 12/15/55(b),(c) | Baa2/A- | 250 | 285,313 | |||||||||
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
| Moody’s/ Standard & Poor’s Rating(a) |
Principal Amount (000’s) |
Value (Note 1) |
||||||||||
| CORPORATE DEBT SECURITIES (Continued) | ||||||||||||
| TRANSPORTATION (Continued) | ||||||||||||
| British Airlines, Pass Through Certs., Series 2020-1, Class A, 4.25%, 11/15/32, 144A | NA/A | $ | 199 | $ | 213,143 | |||||||
| Continental Airlines, Pass Through Certs., Series 2000-2, Class A1, 7.707%, 04/02/21 | Baa1/BBB- | 72 | 72,026 | |||||||||
| Delta Air Lines, Inc., Sr. Sec. Notes, 4.50%, 10/20/25, 144A | Baa1/NA | 120 | 128,263 | |||||||||
| Delta Air Lines, Inc., Sr. Sec. Notes, 4.75%, 10/20/28, 144A | Baa1/NA | 209 | 228,126 | |||||||||
| ERAC USA Finance LLC, Co. Gty., 7.00%, 10/15/37, 144A | Baa1/A- | 1,500 | 2,326,425 | |||||||||
| FedEx Corp., Pass Through Certs., Series 2020-1, Class AA, Sr. Sec. Notes, 1.875%, 02/20/34 | Aa3/AA- | 664 | 683,698 | |||||||||
| Prime Security Services Borrower LLC, Sr. Sec. Notes, 3.375%, 08/31/27, 144A(b) | Ba3/BB- | 559 | 554,808 | |||||||||
| Union Pacific Corp., Sr. Unsec. Notes, 3.839%, 03/20/60(b) | Baa1/A- | 503 | 622,632 | |||||||||
| United Airlines, Pass Through Certs., Series 2013-1, Class B, 5.375%, 08/15/21 | NA/BB | 224 | 226,062 | |||||||||
| United Airlines, Pass Through Certs., Series 2018-1, Class B, 4.60%, 03/01/26 | Baa2/NA | 742 | 734,062 | |||||||||
| United Airlines, Pass Through Certs., Series 2019-1, Class AA, 4.15%, 08/25/31 | A1/NA | 408 | 425,297 | |||||||||
| United Airlines, Pass Through Certs., Series 2019-2, Class AA, 2.70%, 05/01/32 | A1/NA | 1,077 | 1,038,970 | |||||||||
| United Airlines, Pass Through Certs., Series 2020-1, Class A, 5.875%, 10/15/27 | A3/A | 318 | 343,508 | |||||||||
|
|
|
|||||||||||
| 12,031,766 | ||||||||||||
|
|
|
|||||||||||
| UTILITIES (9.68%) | ||||||||||||
| AES Gener SA., Jr. Sub. Notes, (H15T5Y +4.917%), 6.35%, 10/07/79, 144A(b),(c) | Ba2/BB | 878 | 966,906 | |||||||||
| AES Panama Generation Holdings SRL, Sr. Sec. Notes, 4.375%, 05/31/30, 144A(b) | Baa3/NA | 549 | 593,963 | |||||||||
| Black Hills Corp., Sr. Unsec. Notes, 3.95%, 01/15/26(b) | Baa2/BBB+ | 1,082 | 1,219,267 | |||||||||
| Black Hills Corp., Sr. Unsec. Notes, 3.875%, 10/15/49(b) | Baa2/BBB+ | 1,175 | 1,374,473 | |||||||||
| Cleveland Electric Illuminating Co., Sr. Unsec. Notes, 3.50%, 04/01/28, 144A(b) | Baa2/BB+ | 800 | 850,872 | |||||||||
| CMS Energy Corp., Jr. Sub. Notes, (H15T5Y +2.900%), 3.75%, 12/01/2030(b),(c) | Baa2/BBB- | 238 | 243,165 | |||||||||
| Consolidated Edison Co. of New York, Inc., Sr. Unsec. Notes, 3.95%, 04/01/50(b) | Baa1/A- | 449 | 547,050 | |||||||||
| Consorcio Transmantaro SA, Sr. Unsec. Notes, 4.70%, 04/16/34, 144A | Baa3/NA | 200 | 236,252 | |||||||||
| Edison International, Sr. Unsec. Notes, 3.55%, 11/15/24(b) | Baa3/BBB- | 575 | 619,109 | |||||||||
| Enel Finance International NV, Co. Gty., 4.625%, 09/14/25, 144A | Baa2/BBB+ | 1,458 | 1,697,980 | |||||||||
| Evergy Metro, Inc., Sr. Sec. Notes, 4.20%, 06/15/47(b) | A2/A+ | 917 | 1,179,105 | |||||||||
| FirstEnergy Corp., Sr. Unsec. Notes, 4.85%, 07/15/47(b),(f) | Ba1/BB | 1,570 | 1,953,857 | |||||||||
| Hydro-Quebec, 8.25%, 04/15/26 | Aa2/AA- | 1,550 | 2,109,570 | |||||||||
| IPALCO Enterprises, Inc., Sr. Sec. Notes, 4.25%, 05/01/30, 144A(b) | Baa3/BBB- | 462 | 533,349 | |||||||||
| MidAmerican Funding LLC, Sr. Sec. Notes, 6.927%, 03/01/29 | A2/A- | 500 | 706,620 | |||||||||
| NiSource, Inc., Jr. Sub. Notes, (H15T5Y +2.843%), 5.65%, 06/15/23(b),(c),(d) | NA/BBB- | 696 | 715,140 | |||||||||
| Pacific Gas and Electric Co., 2.10%, 08/01/27(b) | Baa3/BBB- | 391 | 397,890 | |||||||||
| Pacific Gas and Electric Co., 3.50%, 08/01/50(b) | Baa3/BBB- | 617 | 613,243 | |||||||||
| Piedmont Natural Gas Co. Inc., Sr. Unsec. Notes, 3.50%, 06/01/29(b) | A3/A- | 1,120 | 1,285,694 | |||||||||
| Southern Co. Gas Capital Corp., Co. Gty., 5.875%, 03/15/41(b) | Baa1/A- | 992 | 1,445,176 | |||||||||
| Southern Co. Gas Capital Corp., Co. Gty., 3.95%, 10/01/46(b) | Baa1/A- | 539 | 634,584 | |||||||||
| Southern Co. Gas Capital Corp., Co. Gty., 4.40%, 05/30/47(b) | Baa1/A- | 1,164 | 1,461,687 | |||||||||
| Transelec SA, Sr. Unsec. Notes, 4.25%, 01/14/25, 144A(b) | Baa1/BBB | 750 | 828,750 | |||||||||
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
| Moody’s/ Standard & Poor’s Rating(a) |
Principal Amount (000’s) |
Value (Note 1) |
||||||||||
| CORPORATE DEBT SECURITIES (Continued) | ||||||||||||
| UTILITIES (Continued) | ||||||||||||
| Transelec SA, Sr. Unsec. Notes, 3.875%, 01/12/29, 144A(b) | Baa1/BBB | $ | 490 | $ | 552,480 | |||||||
|
|
|
|||||||||||
| 22,766,182 | ||||||||||||
|
|
|
|||||||||||
| TOTAL CORPORATE DEBT SECURITIES (Cost of $171,512,806) |
|
201,486,050 | ||||||||||
|
|
|
|||||||||||
| ASSET BACKED SECURITIES (5.83%) |
|
|||||||||||
| Antares Ltd., Series 2017-1A, Class C, (3M LIBOR +3.10%), 3.318%, 07/20/28, 144A(b),(e) | NR/A | 1,093 | 1,059,656 | |||||||||
| Arbor Realty Collateralized Loan Obligation, Ltd., Series 2017-FL3, Class A, (1M LIBOR +0.99%), 1.149%, 12/15/27, 144A(b),(e) | Aaa/NA | 758 | 755,725 | |||||||||
| BCC Funding XVII LLC, Series 2020-1, Class A2, 0.91%, 08/20/25, 144A(b) | Aaa/NA | 205 | 205,654 | |||||||||
| CF Hippolyta LLC, Series 2020-1, Class A1, 1.69%, 07/15/60, 144A(b) | NA/AA- | 649 | 661,058 | |||||||||
| DB Master Finance LLC, Series 2017-1A, Class A2I, 3.629%, 11/20/47, 144A(b) | NA/BBB | 327 | 335,442 | |||||||||
| DRB Prime Student Loan Trust, Series 2016-B, Class A2, 2.89%, 06/25/40, 144A(b) | Aaa/NA | 94 | 96,131 | |||||||||
| DRB Prime Student Loan Trust, Series 2017-A, Class A2B, 2.85%, 05/27/42, 144A(b) | Aaa/NA | 775 | 786,965 | |||||||||
| DT Auto Owner Trust, Series 2018-2A, Class C, 3.67%, 03/15/24, 144A(b) | NA/AAA | 188 | 188,317 | |||||||||
| Fortress Credit Opportunities IX CLO, Ltd., Series 2017-9A, Class A1T, (3M LIBOR +1.55%), 1.771%, 11/15/29, 144A(b),(e) | Aaa/AAA | 600 | 598,200 | |||||||||
| Golub Capital Partners Ltd., Series 2017-19RA, Class B, (3M LIBOR +2.55%), 2.765%, 07/26/29, 144A(b),(e) | A2/NA | 1,935 | 1,930,145 | |||||||||
| Golub Capital Partners Ltd., Series 2018-36A, Class C, (3M LIBOR +2.10%), 2.325%, 02/05/31, 144A(b),(e) | NA/A | 2,250 | 2,115,923 | |||||||||
| IVY Hill Middle Market Credit Fund Ltd., Series 12A, Class B, (3M LIBOR +3.00%), 3.218%, 07/20/29, 144A(b),(e) | A3/NR | 866 | 839,507 | |||||||||
| LoanCore Issuer, Ltd., Series 2018-CRE1, Class A, (1M LIBOR +1.13%), 1.289%, 05/15/28, 144A(b),(e) |
Aaa/NA | 274 | 272,321 | |||||||||
| SCF Equipment Leasing LLC, Series 2017-2A, Class A, 3.41%, 12/20/23, 144A(b) | Aa1/NA | 83 | 83,415 | |||||||||
| Small Business Administration Participation Certificates, Series 2010-20F, Class 1, 3.88%, 06/01/30 | Aaa/AA+ | 77 | 84,014 | |||||||||
| SMB Private Education Loan Trust, Series 2017-B, Class A2B, (1M LIBOR+0.75%), 0.909%, 10/15/35, 144A(b),(e) | Aaa/AAA | 577 | 576,504 | |||||||||
| Sofi Consumer Loan Program LLC, Series 2017-3, Class A, 2.77%, 05/25/26, 144A(b) | NA/AAA | 64 | 63,846 | |||||||||
| Sofi Consumer Loan Program Trust, Series 2018-1, Class B, 3.65%, 02/25/27, 144A(b) | NA/AAA | 793 | 815,771 | |||||||||
| Sofi Professional Loan Program LLC, Series 2017-C, Class B, 3.56%, 07/25/40, 144A(b),(e) |
NA/AA+ | 1,099 | 1,136,992 | |||||||||
| Sofi Professional Loan Program LLC, Series 2019-A, Class A1FX, 3.18%, 06/15/48, 144A(b) | Aaa/AAA | 17 | 17,064 | |||||||||
| Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.75%, 09/15/43, 144A(b),(g) | NA/NA | 1,264 | 1,090,520 | |||||||||
|
|
|
|||||||||||
| TOTAL ASSET BACKED SECURITIES (Cost of $13,983,040) |
|
13,713,170 | ||||||||||
|
|
|
|||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (1.20%) |
| |||||||||||
| Angel Oak Mortgage Trust I LLC, Series 2019-2, Class A1, 3.628%, 03/25/49, 144A(b),(e) | NA/NA | 151 | 153,988 | |||||||||
| Bancorp Commercial Mortgage Trust, Series 2018-CRE4, Class A, (1M LIBOR +0.90%), 1.059%, 09/15/35, 144A(b),(e) | Aaa/NA | 4 | 4,199 | |||||||||
| CGMS Commercial Mortgage Trust, Series 2017-MDRB, Class A, (1M LIBOR +1.10%), 1.259%, 07/15/30, 144A(e) | NA/AAA | 54 | 51,978 | |||||||||
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
| Moody’s/ Standard & Poor’s Rating(a) |
Principal Amount (000’s) |
Value (Note 1) |
||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued) | ||||||||||||
| Citigroup Commercial Mortgage Trust, Series 2016-P6, Class C, 4.279%, 12/10/49(b),(e) | NR/NA | $ | 367 | $ | 352,805 | |||||||
| Lanark Master Issuer PLC, Series 2019-1A, Class 1A1, (3M LIBOR +0.77%), 1.026%, 12/22/69, 144A(b),(e) | Aaa/AAA | 350 | 349,952 | |||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV, Class C, 4.284%, 10/15/30, 144A(b),(e) | NA/BBB- | 2,710 | 1,916,719 | |||||||||
|
|
|
|||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost of $3,618,816) |
|
2,829,641 | ||||||||||
|
|
|
|||||||||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES (0.14%) |
|
|||||||||||
| FHLMC Pool # A15675, 6.00%, 11/01/33 | Aaa/AA+ | 66 | 79,534 | |||||||||
| FHLMC Pool # G00182, 9.00%, 09/01/22(h) | Aaa/AA+ | — | 2 | |||||||||
| FNMA Pool # 754791, 6.50%, 12/01/33 | Aaa/AA+ | 130 | 150,887 | |||||||||
| FNMA Pool # 763852, 5.50%, 02/01/34 | Aaa/AA+ | 81 | 94,487 | |||||||||
| GNSF Pool # 307527, 9.00%, 06/15/21 | Aaa/AA+ | 1 | 614 | |||||||||
| GNSF Pool # 417239, 7.00%, 02/15/26 | Aaa/AA+ | 3 | 3,538 | |||||||||
| GNSF Pool # 780374, 7.50%, 12/15/23 | Aaa/AA+ | 1 | 1,138 | |||||||||
|
|
|
|||||||||||
| TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES (Cost of $267,046) |
|
330,200 | ||||||||||
|
|
|
|||||||||||
| MUNICIPAL BONDS (1.20%) |
|
|||||||||||
| San Francisco City & County Public Utilities Commission, Water Revenue, Build America Bonds, 6.00%, 11/01/40 | Aa2/AA- | 145 | 204,391 | |||||||||
| State of California, Build America Bonds, GO, 7.625%, 03/01/40 | Aa2/AA- | 1,500 | 2,603,295 | |||||||||
|
|
|
|||||||||||
| TOTAL MUNICIPAL BONDS (Cost of $1,677,940) | 2,807,686 | |||||||||||
|
|
|
|||||||||||
| U.S. TREASURY SECURITIES (2.46%) | ||||||||||||
| United States Treasury Bond, 0.125%, 04/30/22 | Aaa/AA+ | 121 | 120,828 | |||||||||
| United States Treasury Bond, 0.25%, 09/30/25 | Aaa/AA+ | 382 | 380,752 | |||||||||
| United States Treasury Bond, 0.25%, 10/31/25 | Aaa/AA+ | 242 | 240,462 | |||||||||
| United States Treasury Bond, 0.625%, 08/15/30 | Aaa/AA+ | 568 | 554,093 | |||||||||
| United States Treasury Bond, 0.875%, 11/15/30 | Aaa/AA+ | 2,247 | 2,240,026 | |||||||||
| United States Treasury Bond, 3.125%, 02/15/42 | Aaa/AA+ | 43 | 55,990 | |||||||||
| United States Treasury Bond, 1.375%, 08/15/50 | Aaa/AA+ | 2,343 | 2,194,647 | |||||||||
|
|
|
|||||||||||
| TOTAL U.S. TREASURY SECURITIES (Cost of $5,772,546) |
|
5,786,798 | ||||||||||
|
|
|
|||||||||||
| GOVERNMENT BONDS (1.41%) |
|
|||||||||||
| Egypt Government International Bond, Sr. Unsec. Notes, 7.625%, 05/29/32, 144A | B2/B | 526 | 594,906 | |||||||||
| Mexico Government International Bond, Sr. Unsec. Notes, 5.00%, 04/27/51(b) | Baa1/BBB | 711 | 885,195 | |||||||||
| Morocco Government International Bond, Sr. Unsec. Notes, 3.00%, 12/15/32, 144A | NA/BBB- | 764 | 776,430 | |||||||||
| Panama Government International Bond, Sr. Unsub. Notes, 2.252%, 09/29/32(b) | Baa1/BBB | 450 | 463,500 | |||||||||
| Ukraine Government International Bond, Sr. Unsec. Notes, 7.253%, 03/15/33, 144A | NA/B | 551 | 600,557 | |||||||||
|
|
|
|||||||||||
| TOTAL GOVERNMENT BOND (Cost of $2,975,057) |
|
3,320,588 | ||||||||||
|
|
|
|||||||||||
The accompanying notes are an integral part of these financial statements.
SCHEDULE OF INVESTMENTS (Unaudited) — continued
| Shares | Value (Note 1) |
|||||||||
| PREFERRED STOCK (0.92%) |
||||||||||
| CoBank ACB, Series F, 6.250%, (3M LIBOR +4.557%) (b),(c),(d) |
NA/BBB+ | 20,000 | $ | 2,155,000 | ||||||
|
|
|
|||||||||
| TOTAL PREFERRED STOCK (Cost of $2,085,000) |
|
2,155,000 | ||||||||
|
|
|
|||||||||
| TOTAL INVESTMENTS (98.82%) |
|
|||||||||
| (Cost $201,892,251) |
232,429,133 | |||||||||
|
|
|
|||||||||
| OTHER ASSETS AND LIABILITIES (1.18%) |
|
2,780,512 | ||||||||
|
|
|
|||||||||
| NET ASSETS (100.00%) |
$ | 235,209,645 | ||||||||
|
|
|
|||||||||
At December 31, 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 5-Year Notes |
03/21 | 9 | $ | 1,133,789 | $ | 1,135,477 | $ | 1,688 | ||||||||||||
| U.S. Treasury 2-Year Notes |
03/21 | 8 | 1,766,188 | 1,767,813 | 1,625 | |||||||||||||||
| U.S. Treasury 10-Year Notes |
03/21 | 5 | 689,297 | 690,391 | 1,094 | |||||||||||||||
| U.S. Treasury Long Bonds |
03/21 | 42 | 7,344,891 | 7,273,875 | (71,016 | ) | ||||||||||||||
| U.S. Treasury Ultra Bonds |
03/21 | 9 | 1,938,657 | 1,922,063 | (16,594 | ) | ||||||||||||||
|
|
|
| ||||||||||||||||||
| (83,203 | ) | |||||||||||||||||||
|
|
|
| ||||||||||||||||||
| Short Futures Outstanding |
||||||||||||||||||||
| U.S. Treasury 10-Year Ultra Bonds |
03/21 | 84 | (13,143,954 | ) | (13,134,188 | ) | 9,766 | |||||||||||||
|
|
|
| ||||||||||||||||||
| 9,766 | ||||||||||||||||||||
|
|
|
| ||||||||||||||||||
| Net unrealized depreciation on open futures contracts |
|
$ | (73,437 | ) | ||||||||||||||||
|
|
|
| ||||||||||||||||||
| (a) | Ratings for debt securities are unaudited. All ratings are as of December 31, 2020 and may have changed subsequently. |
| (b) | This security is callable. |
| (c) | Fixed to floating rate security. Fixed rate indicated is rate effective at December 31, 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 December 31, 2020. |
| (f) | Multi-Step Coupon. Rate disclosed is as of December 31, 2020. |
| (g) | Denotes a step-up bond. The rate indicated is the current coupon as of December 31, 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 December 31, 2020, these securities amounted to $81,146,796 or 34.50% of net assets. |
Legend
Certs. - Certificates
CLO - Collateralized Loan Obligation
Co. Gty. - Company Guaranty
FHLMC - Federal Home Loan Mortgage Corp.
FNMA - Federal National Mortgage Association
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
Unsub. - Unsubordinated
The accompanying notes are an integral part of these financial statements.
INSIGHT SELECT INCOME FUND
Notes to the Quarterly Schedule of Investments
December 31, 2020
(unaudited)
A. Security Valuation – In valuing the Insight Select Income Fund’s (the “Fund”) net assets, all securities for which representative market quotations are available will be valued at the last quoted sales price on the security’s 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 December 31, 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 Fund’s 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. |
INSIGHT SELECT INCOME FUND
Notes to the Quarterly Schedule of Investments
December 31, 2020 (concluded)
(unaudited)
Following is a description of the valuation techniques applied to the Fund’s major categories of assets measured at fair value on a recurring basis as of December 31, 2020.
| Total Market Value at 12/31/20 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||
| ASSETS: |
||||||||||||||||
| CORPORATE DEBT SECURITIES |
$ | 201,486,050 | $ | — | $ | 201,486,050 | $ | |||||||||
| ASSET BACKED SECURITIES |
13,713,170 | — | 13,713,170 | — | ||||||||||||
| COMMERCIAL MORTGAGE-BACKED SECURITIES |
2,829,641 | — | 2,829,641 | — | ||||||||||||
| RESIDENTIAL MORTGAGE-BACKED SECURITIES |
330,200 | — | 330,200 | — | ||||||||||||
| MUNICIPAL BONDS |
2,807,686 | — | 2,807,686 | — | ||||||||||||
| U.S. TREASURY SECURITIES |
5,786,798 | — | 5,786,798 | — | ||||||||||||
| GOVERNMENT BONDS |
3,320,588 | — | 3,320,588 | — | ||||||||||||
| PREFERRED STOCK |
2,155,000 | 2,155,000 | — | — | ||||||||||||
| FUTURES CONTRACTS |
14,173 | 14,173 | — | — | ||||||||||||
| TOTAL ASSETS |
$ | 232,443,306 | $ | 2,169,173 | $ | 230,274,133 | $ | — | ||||||||
| LIABILITIES: |
||||||||||||||||
| FUTURES CONTRACTS |
$ | 87,610 | $ | 87,610 | $ | — | $ | — | ||||||||
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 Fund’s 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. Pursuant to Fund policy, transfers between levels are considered to have occurred at the beginning of the reporting period. As of December 31, 2020, there were no transfers between Level 1, Level 2 and Level 3 for the Fund.
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 December 31, 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.