Delaware Limited-Term Diversified Income Fund | March 31, 2021 (Unaudited) |
Principal amount° | Value (US $) | ||
Agency Asset-Backed Security — 0.00% | |||
Freddie Mac Structured Pass Through Certificates Series T-30 A5 8.61% 12/25/30 ♦, • | 3,214 | $3,578 | |
Total Agency Asset-Backed Security (cost $3,359) | 3,578 | ||
Agency Collateralized Mortgage Obligations — 3.30% | |||
Fannie Mae Grantor Trust Series 2001-T5 A2 6.977% 6/19/41 • | 18,005 | 21,098 | |
Freddie Mac REMICs | |||
Series 4650 JG 3.00% 11/15/46 | 1,997,000 | 2,049,553 | |
Series 5092 WG 1.00% 4/25/31 = | 5,285,000 | 5,315,554 | |
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||
Series 2020-DNA6 M1 144A 0.917% (SOFR + 0.90%) 12/25/50 #, • | 1,489,967 | 1,490,835 | |
Series 2021-DNA1 M1 144A 0.667% (SOFR + 0.65%) 1/25/51 #, • | 1,685,000 | 1,682,979 | |
Series 2021-HQA1 M1 144A 0.717% (SOFR + 0.70%) 8/25/33 #, • | 1,700,000 | 1,697,883 | |
Freddie Mac Structured Pass Through Certificates | |||
Series T-54 2A 6.50% 2/25/43 ♦ | 577 | 677 | |
Series T-58 2A 6.50% 9/25/43 ♦ | 326,365 | 376,607 | |
GNMA | |||
Series 2017-88 PB 3.00% 1/20/47 | 304,000 | 324,046 | |
Series 2017-163 KH 3.50% 3/20/44 | 455,000 | 467,200 | |
Total Agency Collateralized Mortgage Obligations (cost $13,086,396) | 13,426,432 | ||
Agency Commercial Mortgage-Backed Securities — 1.05% | |||
Freddie Mac Multifamily Structured Pass Through Certificates Series K729 A2 3.136% 10/25/24 | 2,000,000 | 2,154,502 | |
FREMF Mortgage Trust | |||
Series 2011-K15 B 144A 4.986% 8/25/44 #, • | 95,000 | 95,942 | |
Series 2014-K717 B 144A 3.625% 11/25/47 #, • | 245,000 | 247,576 | |
Series 2014-K717 C 144A 3.625% 11/25/47 #, • | 80,000 | 80,634 | |
Series 2015-K720 B 144A 3.394% 7/25/22 #, • | 1,200,000 | 1,237,287 | |
Series 2016-K722 B 144A 3.847% 7/25/49 #, • | 430,000 | 453,347 | |
Total Agency Commercial Mortgage-Backed Securities (cost $4,283,164) | 4,269,288 | ||
Agency Mortgage-Backed Securities — 14.47% | |||
Fannie Mae S.F. 15 yr | |||
2.50% 8/1/35 | 847,947 | 882,338 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Fannie Mae S.F. 15 yr | |||
2.50% 11/1/35 | 3,852,609 | $4,009,206 | |
Fannie Mae S.F. 30 yr | |||
2.00% 12/1/50 | 100,720 | 100,662 | |
2.00% 1/1/51 | 238,867 | 238,622 | |
2.00% 2/1/51 | 529,711 | 529,227 | |
2.50% 7/1/50 | 1,108,378 | 1,142,327 | |
2.50% 9/1/50 | 157,428 | 162,786 | |
2.50% 10/1/50 | 2,169,747 | 2,232,237 | |
2.50% 11/1/50 | 839,514 | 862,446 | |
2.50% 2/1/51 | 1,157,488 | 1,188,885 | |
3.00% 5/1/46 | 736,053 | 774,529 | |
3.00% 1/1/47 | 1,120,903 | 1,186,016 | |
3.00% 11/1/49 | 181,243 | 192,073 | |
3.00% 3/1/50 | 1,191,524 | 1,260,569 | |
3.00% 7/1/50 | 2,937,759 | 3,080,412 | |
3.00% 8/1/50 | 1,093,717 | 1,159,565 | |
3.50% 7/1/47 | 286,139 | 307,745 | |
3.50% 11/1/48 | 162,510 | 171,886 | |
3.50% 3/1/50 | 75,323 | 79,728 | |
3.50% 7/1/50 | 2,420,140 | 2,592,219 | |
3.50% 9/1/50 | 816,922 | 891,884 | |
4.00% 6/1/48 | 191,653 | 209,482 | |
4.00% 10/1/48 | 1,184,003 | 1,303,755 | |
4.50% 10/1/45 | 851,669 | 946,680 | |
4.50% 5/1/46 | 1,051,655 | 1,183,186 | |
4.50% 9/1/49 | 1,487,479 | 1,642,089 | |
5.00% 7/1/47 | 1,491,009 | 1,732,851 | |
5.00% 8/1/49 | 3,608,698 | 4,082,412 | |
5.50% 5/1/44 | 5,623,137 | 6,580,015 | |
6.00% 6/1/41 | 361,943 | 432,357 | |
6.00% 7/1/41 | 4,129,465 | 4,936,488 | |
6.00% 1/1/42 | 223,782 | 267,355 | |
Fannie Mae S.F. 30 yr TBA | |||
2.00% 4/1/51 | 3,181,000 | 3,175,036 | |
2.50% 4/1/51 | 1,928,000 | 1,978,459 | |
Freddie Mac S.F. 30 yr | |||
2.00% 11/1/50 | 849,256 | 849,291 | |
2.00% 4/1/51 | 169,000 | 167,327 | |
2.50% 2/1/51 | 2,148,989 | 2,224,923 | |
3.00% 7/1/50 | 1,712,680 | 1,787,402 | |
4.50% 8/1/48 | 1,076,904 | 1,182,273 | |
4.50% 1/1/49 | 116,196 | 129,828 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Freddie Mac S.F. 30 yr | |||
4.50% 4/1/49 | 241,824 | $267,564 | |
4.50% 5/1/49 | 639,318 | 701,516 | |
6.00% 5/1/39 | 23,935 | 28,363 | |
Total Agency Mortgage-Backed Securities (cost $58,698,352) | 58,854,014 | ||
Collateralized Debt Obligations — 7.58% | |||
AMMC CLO 23 Series 2020-23A A1L 144A 1.635% (LIBOR03M + 1.40%, Floor 1.40%) 10/17/31 #, • | 1,200,000 | 1,204,176 | |
Ballyrock CLO | |||
Series 2018-1A A1 144A 1.224% (LIBOR03M + 1.00%) 4/20/31 #, • | 2,000,000 | 2,000,198 | |
Series 2020-2A A1 144A 1.529% (LIBOR03M + 1.32%, Floor 1.32%) 10/20/31 #, • | 1,500,000 | 1,505,404 | |
Battalion CLO 18 Series 2020-18A A1 144A 2.041% (LIBOR03M + 1.80%, Floor 1.80%) 10/15/32 #, • | 2,000,000 | 2,007,840 | |
Benefit Street Partners CLO IX Series 2016-9A AR 144A 1.334% (LIBOR03M + 1.11%) 7/20/31 #, • | 500,000 | 500,946 | |
BlueMountain CLO XXX Series 2020-30A A 144A 1.549% (LIBOR03M + 1.39%, Floor 1.39%) 1/15/33 #, • | 1,250,000 | 1,254,711 | |
Carlyle Global Market Strategies CLO | |||
Series 2014-2RA A1 144A 1.244% (LIBOR03M + 1.05%) 5/15/31 #, • | 985,636 | 986,433 | |
Series 2015-5A A1R 144A 1.544% (LIBOR03M + 1.32%, Floor 1.32%) 1/20/32 #, • | 1,000,000 | 1,000,355 | |
CBAM Series 2020-13A A 144A 1.585% (LIBOR03M + 1.43%, Floor 1.43%) 1/20/34 #, • | 2,200,000 | 2,205,801 | |
Cedar Funding IX CLO Series 2018-9A A1 144A 1.204% (LIBOR03M + 0.98%, Floor 0.98%) 4/20/31 #, • | 575,000 | 575,426 | |
CIFC Funding Series 2013-4A A1RR 144A 1.273% (LIBOR03M + 1.06%, Floor 1.06%) 4/27/31 #, • | 2,000,000 | 2,002,222 | |
Dryden 83 CLO Series 2020-83A A 144A 1.457% (LIBOR03M + 1.22%, Floor 1.22%) 1/18/32 #, • | 2,200,000 | 2,199,417 | |
Galaxy XXI CLO Series 2015-21A AR 144A 1.244% (LIBOR03M + 1.02%) 4/20/31 #, • | 1,000,000 | 1,000,790 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
KKR CLO 32 Series 32A A1 144A 1.556% (LIBOR03M + 1.32%, Floor 1.32%) 1/15/32 #, • | 1,200,000 | $1,204,434 | |
LCM XVIII Series 18A A1R 144A 1.244% (LIBOR03M + 1.02%) 4/20/31 #, • | 1,500,000 | 1,500,609 | |
Octagon Investment Partners 33 Series 2017-1A A1 144A 1.414% (LIBOR03M + 1.19%) 1/20/31 #, • | 2,350,000 | 2,352,522 | |
Octagon Investment Partners 48 Series 2020-3A A 144A 1.732% (LIBOR03M + 1.50%, Floor 1.50%) 10/20/31 #, • | 2,000,000 | 2,005,046 | |
Sound Point CLO XXI Series 2018-3A A1A 144A 1.395% (LIBOR03M + 1.18%, Floor 1.18%) 10/26/31 #, • | 2,300,000 | 2,303,928 | |
York CLO-6 Series 2019-1A A1 144A 1.572% (LIBOR03M + 1.35%) 7/22/32 #, • | 1,000,000 | 1,000,731 | |
Zais CLO 16 Series 2020-16A A1 144A 2.48% (LIBOR03M + 2.19%, Floor 2.19%) 10/20/31 #, • | 2,000,000 | 2,002,240 | |
Total Collateralized Debt Obligations (cost $30,611,451) | 30,813,229 | ||
Convertible Bond — 0.01% | |||
Cheniere Energy PIK 144A 4.875% exercise price $93.64, maturity date 5/28/21 #, * | 38,824 | 39,111 | |
Total Convertible Bond (cost $39,148) | 39,111 | ||
Corporate Bonds — 52.78% | |||
Banking — 14.25% | |||
Banco Continental 144A 2.75% 12/10/25 # | 200,000 | 197,214 | |
Banco de Bogota 144A 6.25% 5/12/26 # | 200,000 | 224,750 | |
Banco de Credito del Peru 144A 2.70% 1/11/25 # | 200,000 | 206,274 | |
Banco de Credito e Inversiones 144A 4.00% 2/11/23 # | 200,000 | 211,577 | |
Banco del Estado de Chile 144A 2.704% 1/9/25 # | 220,000 | 229,728 | |
Banco Santander 3.50% 4/11/22 | 1,600,000 | 1,648,508 | |
Banco Santander Mexico 144A 4.125% 11/9/22 # | 150,000 | 156,843 | |
Bancolombia 3.00% 1/29/25 | 215,000 | 220,047 | |
Bank of America | |||
1.658% 3/11/27 μ | 540,000 | 542,014 | |
3.458% 3/15/25 μ | 2,845,000 | 3,056,167 | |
Bank of Georgia 144A 6.00% 7/26/23 # | 200,000 | 213,407 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Bank of Montreal 1.85% 5/1/25 | 345,000 | $353,841 | |
Barclays Bank 1.70% 5/12/22 | 2,420,000 | 2,453,816 | |
BBVA Bancomer | |||
144A 1.875% 9/18/25 # | 1,135,000 | 1,138,547 | |
144A 6.75% 9/30/22 # | 150,000 | 161,826 | |
BNP Paribas 144A 1.323% 1/13/27 #, μ | 330,000 | 322,960 | |
Citigroup 4.044% 6/1/24 μ | 2,430,000 | 2,605,379 | |
Credit Agricole 144A 1.907% 6/16/26 #, μ | 370,000 | 375,357 | |
Credit Suisse Group 144A 2.593% 9/11/25 #, μ | 2,295,000 | 2,381,036 | |
Development Bank of Mongolia 144A 7.25% 10/23/23 # | 200,000 | 217,204 | |
Emirates NBD Bank 2.625% 2/18/25 | 200,000 | 209,795 | |
Goldman Sachs Group | |||
0.821% (SOFR + 0.81%) 3/9/27 • | 4,905,000 | 4,874,909 | |
1.364% (LIBOR03M + 1.17%) 5/15/26 • | 3,010,000 | 3,051,135 | |
1.431% 3/9/27 μ | 65,000 | 64,449 | |
3.50% 4/1/25 | 180,000 | 195,086 | |
ICICI Bank 3.25% 9/9/22 | 320,000 | 328,627 | |
JPMorgan Chase & Co. | |||
0.59% (SOFR + 0.58%) 3/16/24 • | 1,310,000 | 1,314,659 | |
1.04% 2/4/27 μ | 210,000 | 204,916 | |
4.023% 12/5/24 μ | 4,240,000 | 4,601,829 | |
4.60% 2/1/25 μ, ψ | 135,000 | 136,688 | |
KEB Hana Bank 144A 3.375% 1/30/22 # | 500,000 | 511,538 | |
KeyBank | |||
2.40% 6/9/22 | 250,000 | 256,016 | |
3.18% 10/15/27 | 1,335,000 | 1,376,123 | |
Kookmin Bank 144A 2.875% 3/25/23 # | 200,000 | 209,154 | |
Morgan Stanley | |||
1.413% (LIBOR03M + 1.22%) 5/8/24 • | 1,605,000 | 1,630,578 | |
2.188% 4/28/26 μ | 415,000 | 429,042 | |
2.75% 5/19/22 | 1,075,000 | 1,104,268 | |
National Securities Clearing 144A 1.20% 4/23/23 # | 520,000 | 528,185 | |
Natwest Group 8.625% 8/15/21 μ, ψ | 1,285,000 | 1,318,371 | |
PNC Bank 2.70% 11/1/22 | 3,280,000 | 3,395,257 | |
Popular 6.125% 9/14/23 | 523,000 | 566,746 | |
QNB Finance 3.50% 3/28/24 | 330,000 | 351,617 | |
Regions Financial 3.80% 8/14/23 | 1,070,000 | 1,148,188 | |
Toronto-Dominion Bank 0.367% (SOFR + 0.355%) 3/4/24 • | 2,850,000 | 2,852,342 | |
Truist Bank 2.636% 9/17/29 μ | 1,465,000 | 1,536,463 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Truist Financial 2.70% 1/27/22 | 2,785,000 | $2,835,766 | |
UBS 144A 1.75% 4/21/22 # | 200,000 | 202,796 | |
UBS Group | |||
144A 1.364% 1/30/27 #, μ | 205,000 | 202,157 | |
144A 3.00% 4/15/21 # | 2,700,000 | 2,702,098 | |
US Bank 3.40% 7/24/23 | 1,380,000 | 1,474,364 | |
USB Capital IX 3.50% ((LIBOR03M + 1.02%)) 6/1/21 ψ, • | 1,477,000 | 1,421,613 | |
57,951,270 | |||
Basic Industry — 3.16% | |||
Avient 144A 5.75% 5/15/25 # | 822,000 | 874,402 | |
DuPont de Nemours 2.169% 5/1/23 | 1,495,000 | 1,501,766 | |
Equate Petrochemical 144A 3.00% 3/3/22 # | 265,000 | 269,787 | |
First Quantum Minerals 144A 7.50% 4/1/25 # | 1,085,000 | 1,121,619 | |
Gold Fields Orogen Holdings BVI 144A 5.125% 5/15/24 # | 250,000 | 274,151 | |
Inversiones CMPC 144A 4.75% 9/15/24 # | 2,200,000 | 2,416,458 | |
LYB International Finance III 2.875% 5/1/25 | 225,000 | 237,730 | |
New Gold 144A 6.375% 5/15/25 # | 166,000 | 171,291 | |
Novolipetsk Steel Via Steel Funding DAC 144A 4.50% 6/15/23 # | 250,000 | 264,280 | |
Nutrien 1.90% 5/13/23 | 1,995,000 | 2,047,101 | |
OCP 144A 4.50% 10/22/25 # | 1,000,000 | 1,062,055 | |
PowerTeam Services 144A 9.033% 12/4/25 # | 605,000 | 668,525 | |
Sociedad Quimica y Minera de Chile 144A 3.625% 4/3/23 # | 200,000 | 209,479 | |
Steel Dynamics 2.80% 12/15/24 | 1,455,000 | 1,540,241 | |
Volcan Cia Minera 144A 4.375% 2/11/26 # | 200,000 | 205,243 | |
12,864,128 | |||
Brokerage — 0.62% | |||
Banco BTG Pactual 144A 2.75% 1/11/26 # | 200,000 | 189,700 | |
Charles Schwab | |||
0.75% 3/18/24 | 2,015,000 | 2,026,711 | |
4.00% 6/1/26 μ, ψ | 285,000 | 289,930 | |
2,506,341 | |||
Capital Goods — 3.74% | |||
Bombardier 144A 6.00% 10/15/22 # | 500,000 | 500,938 | |
General Dynamics 3.00% 5/11/21 | 2,920,000 | 2,928,030 | |
Mauser Packaging Solutions Holding 144A 5.50% 4/15/24 # | 1,802,000 | 1,829,030 | |
Roper Technologies 2.35% 9/15/24 | 2,295,000 | 2,399,957 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
Spirit AeroSystems 144A 5.50% 1/15/25 # | 890,000 | $942,287 | |
Teledyne Technologies 0.95% 4/1/24 | 4,165,000 | 4,150,445 | |
Terex 144A 5.625% 2/1/25 # | 890,000 | 915,036 | |
TransDigm 144A 8.00% 12/15/25 # | 820,000 | 893,800 | |
Turkiye Sise ve Cam Fabrikalari 144A 6.95% 3/14/26 # | 200,000 | 214,388 | |
Welbilt 9.50% 2/15/24 | 433,000 | 446,802 | |
15,220,713 | |||
Communications — 3.31% | |||
AMC Networks 5.00% 4/1/24 | 438,000 | 444,023 | |
Charter Communications Operating 4.908% 7/23/25 | 1,515,000 | 1,718,433 | |
Clear Channel International 144A 6.625% 8/1/25 # | 475,000 | 498,208 | |
Clear Channel Worldwide Holdings 9.25% 2/15/24 | 265,000 | 276,176 | |
Crown Castle International 1.05% 7/15/26 | 520,000 | 503,735 | |
CSC Holdings 6.75% 11/15/21 | 375,000 | 385,547 | |
Fox | |||
3.666% 1/25/22 | 880,000 | 903,342 | |
4.03% 1/25/24 | 2,280,000 | 2,477,878 | |
IHS Netherlands Holdco 144A 7.125% 3/18/25 # | 200,000 | 210,250 | |
Ooredoo International Finance 144A 5.00% 10/19/25 # | 200,000 | 230,170 | |
Sirius XM Radio 144A 4.625% 7/15/24 # | 250,000 | 257,838 | |
Sprint Spectrum 144A 4.738% 3/20/25 # | 450,000 | 483,221 | |
Tencent Holdings 144A 3.28% 4/11/24 # | 200,000 | 213,256 | |
Time Warner Entertainment 8.375% 3/15/23 | 1,795,000 | 2,058,874 | |
T-Mobile USA | |||
144A 1.50% 2/15/26 # | 250,000 | 248,029 | |
144A 3.50% 4/15/25 # | 290,000 | 313,165 | |
Turk Telekomunikasyon 144A 4.875% 6/19/24 # | 200,000 | 202,905 | |
Verizon Communications 0.75% 3/22/24 | 2,025,000 | 2,027,816 | |
13,452,866 | |||
Consumer Cyclical — 3.70% | |||
Boyd Gaming 144A 8.625% 6/1/25 # | 791,000 | 880,581 | |
Caesars Entertainment 144A 6.25% 7/1/25 # | 675,000 | 720,407 | |
Carnival 144A 7.625% 3/1/26 # | 685,000 | 736,752 | |
Ford Motor 8.50% 4/21/23 | 1,256,000 | 1,402,010 | |
Ford Motor Credit 3.375% 11/13/25 | 1,200,000 | 1,221,900 | |
General Motors Financial | |||
3.45% 4/10/22 | 1,195,000 | 1,223,275 | |
4.15% 6/19/23 | 1,390,000 | 1,491,766 | |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
IRB Holding 144A 7.00% 6/15/25 # | 129,000 | $139,091 | |
JD.com 3.875% 4/29/26 | 1,500,000 | 1,630,450 | |
L Brands 144A 6.875% 7/1/25 # | 810,000 | 900,578 | |
Meituan 144A 2.125% 10/28/25 # | 250,000 | 249,157 | |
MercadoLibre 2.375% 1/14/26 | 200,000 | 198,876 | |
MGM Resorts International 5.75% 6/15/25 | 1,100,000 | 1,201,062 | |
Sands China 3.80% 1/8/26 | 200,000 | 213,434 | |
Scientific Games International 144A 5.00% 10/15/25 # | 1,085,000 | 1,125,091 | |
Six Flags Entertainment 144A 4.875% 7/31/24 # | 1,055,000 | 1,066,869 | |
Station Casinos 144A 5.00% 10/1/25 # | 285,000 | 289,097 | |
VF 2.40% 4/23/25 | 330,000 | 344,229 | |
15,034,625 | |||
Consumer Non-Cyclical — 6.41% | |||
AbbVie | |||
2.60% 11/21/24 | 2,915,000 | 3,079,221 | |
3.75% 11/14/23 | 10,000 | 10,776 | |
Anheuser-Busch InBev Worldwide 4.15% 1/23/25 | 2,965,000 | 3,296,739 | |
Cigna | |||
1.131% (LIBOR03M + 0.89%) 7/15/23 • | 2,055,000 | 2,080,709 | |
3.75% 7/15/23 | 507,000 | 542,383 | |
CK Hutchison International 17 144A 2.875% 4/5/22 # | 200,000 | 204,337 | |
CVS Health 3.70% 3/9/23 | 387,000 | 410,821 | |
DP World Crescent 144A 3.908% 5/31/23 # | 200,000 | 210,841 | |
General Mills 3.70% 10/17/23 | 2,075,000 | 2,226,808 | |
Gilead Sciences 3.70% 4/1/24 | 1,160,000 | 1,249,886 | |
Global Payments 2.65% 2/15/25 | 1,412,000 | 1,484,361 | |
Mondelez International 1.50% 5/4/25 | 1,210,000 | 1,224,368 | |
PayPal Holdings 1.35% 6/1/23 | 3,025,000 | 3,080,123 | |
Pilgrim's Pride 144A 5.75% 3/15/25 # | 870,000 | 889,010 | |
Royalty Pharma | |||
144A 1.20% 9/2/25 # | 345,000 | 338,225 | |
144A 1.75% 9/2/27 # | 230,000 | 223,552 | |
Takeda Pharmaceutical 4.40% 11/26/23 | 1,850,000 | 2,023,739 | |
Tenet Healthcare 5.125% 5/1/25 | 1,160,000 | 1,177,748 | |
Teva Pharmaceutical Finance Netherlands III 6.00% 4/15/24 | 250,000 | 266,831 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Viatris | |||
144A 1.65% 6/22/25 # | 1,960,000 | $1,968,881 | |
144A 2.30% 6/22/27 # | 80,000 | 80,784 | |
26,070,143 | |||
Electric — 5.94% | |||
AEP Texas 2.40% 10/1/22 | 2,810,000 | 2,886,982 | |
Avangrid 3.20% 4/15/25 | 505,000 | 541,181 | |
Azure Power Energy 144A 5.50% 11/3/22 # | 215,000 | 219,880 | |
Centrais Eletricas Brasileiras 144A 3.625% 2/4/25 # | 200,000 | 201,756 | |
Clean Renewable Power Mauritius 144A 4.25% 3/25/27 # | 200,000 | 202,000 | |
Cleveland Electric Illuminating 5.50% 8/15/24 | 1,430,000 | 1,631,425 | |
CLP Power Hong Kong Financing 2.875% 4/26/23 | 200,000 | 208,044 | |
Duke Energy | |||
1.80% 9/1/21 | 2,250,000 | 2,261,115 | |
4.875% 9/16/24 μ, ψ | 570,000 | 603,630 | |
Engie Energia Chile 144A 4.50% 1/29/25 # | 2,200,000 | 2,398,661 | |
Entergy 4.00% 7/15/22 | 1,050,000 | 1,090,754 | |
Entergy Louisiana 4.05% 9/1/23 | 1,125,000 | 1,210,162 | |
ITC Holdings 2.70% 11/15/22 | 1,570,000 | 1,621,277 | |
NRG Energy 144A 3.75% 6/15/24 # | 1,200,000 | 1,286,393 | |
Pacific Gas and Electric 2.10% 8/1/27 | 980,000 | 960,904 | |
Southern California Edison 1.10% 4/1/24 | 2,995,000 | 2,997,156 | |
Vistra Operations 144A 3.55% 7/15/24 # | 1,650,000 | 1,727,695 | |
WEC Energy Group 0.80% 3/15/24 | 2,095,000 | 2,095,950 | |
24,144,965 | |||
Energy — 4.78% | |||
Apache 4.625% 11/15/25 | 785,000 | 809,767 | |
Cheniere Corpus Christi Holdings 7.00% 6/30/24 | 1,955,000 | 2,251,678 | |
Enbridge 0.413% (SOFR + 0.40%) 2/17/23 • | 1,225,000 | 1,227,210 | |
Energean Israel Finance 144A 4.875% 3/30/26 # | 200,000 | 201,625 | |
Energy Transfer 5.25% 4/15/29 | 645,000 | 734,671 | |
Greenko Mauritius 144A 6.25% 2/21/23 # | 210,000 | 217,083 | |
Marathon Oil 2.80% 11/1/22 | 765,000 | 784,874 | |
MPLX | |||
1.75% 3/1/26 | 210,000 | 210,466 | |
4.875% 12/1/24 | 1,955,000 | 2,195,002 | |
Murphy Oil 5.75% 8/15/25 | 905,000 | 907,177 | |
NuStar Logistics 5.75% 10/1/25 | 715,000 | 766,494 | |
Occidental Petroleum 5.50% 12/1/25 | 905,000 | 958,395 | |
ONEOK 7.50% 9/1/23 | 1,655,000 | 1,888,064 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Petroleos Mexicanos 4.625% 9/21/23 | 130,000 | $134,233 | |
Sabine Pass Liquefaction 5.75% 5/15/24 | 1,990,000 | 2,246,613 | |
Saudi Arabian Oil 144A 1.625% 11/24/25 # | 205,000 | 206,595 | |
Southwestern Energy 6.45% 1/23/25 | 983,000 | 1,057,020 | |
Tengizchevroil Finance Co International 144A 2.625% 8/15/25 # | 1,200,000 | 1,214,626 | |
Tullow Oil 144A 6.25% 4/15/22 # | 250,000 | 236,375 | |
Western Midstream Operating 4.35% 2/1/25 | 465,000 | 482,014 | |
WPX Energy 5.25% 9/15/24 | 621,000 | 690,086 | |
19,420,068 | |||
Finance Companies — 2.09% | |||
AerCap Ireland Capital DAC 3.15% 2/15/24 | 1,780,000 | 1,855,649 | |
Air Lease 2.875% 1/15/26 | 780,000 | 809,875 | |
Ally Financial 5.75% 11/20/25 | 771,000 | 876,448 | |
Aviation Capital Group 144A 1.95% 1/30/26 # | 360,000 | 350,989 | |
Avolon Holdings Funding | |||
144A 2.75% 2/21/28 # | 345,000 | 324,516 | |
144A 3.95% 7/1/24 # | 555,000 | 580,628 | |
DAE Sukuk DIFC 144A 3.75% 2/15/26 # | 200,000 | 206,375 | |
SURA Asset Management 144A 4.875% 4/17/24 # | 500,000 | 543,523 | |
USAA Capital 144A 1.50% 5/1/23 # | 2,900,000 | 2,963,530 | |
8,511,533 | |||
Healthcare — 0.40% | |||
Bausch Health 144A 6.125% 4/15/25 # | 1,025,000 | 1,051,855 | |
Ortho-Clinical Diagnostics 144A 7.375% 6/1/25 # | 540,000 | 581,567 | |
1,633,422 | |||
Insurance — 1.28% | |||
AIA Group 3.125% 3/13/23 | 210,000 | 219,527 | |
Equitable Holdings 3.90% 4/20/23 | 1,054,000 | 1,120,864 | |
GA Global Funding Trust 144A 1.00% 4/8/24 # | 2,995,000 | 2,991,646 | |
USI 144A 6.875% 5/1/25 # | 850,000 | 867,523 | |
5,199,560 | |||
Real Estate — 0.37% | |||
Goodman HK Finance 4.375% 6/19/24 | 200,000 | 217,813 | |
HAT Holdings I 144A 6.00% 4/15/25 # | 821,000 | 867,181 | |
Kaisa Group Holdings 9.375% 6/30/24 | 200,000 | 192,487 | |
Trust Fibra UNO 144A 5.25% 1/30/26 # | 200,000 | 221,651 | |
1,499,132 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Services — 0.95% | |||
Prime Security Services Borrower 144A 5.25% 4/15/24 # | 649,000 | $693,067 | |
Sabre GLBL | |||
144A 7.375% 9/1/25 # | 1,250,000 | 1,366,000 | |
144A 9.25% 4/15/25 # | 785,000 | 937,094 | |
Shimao Group Holdings 6.125% 2/21/24 | 200,000 | 210,400 | |
WESCO Distribution 144A 7.125% 6/15/25 # | 605,000 | 662,369 | |
3,868,930 | |||
Technology — 0.61% | |||
Baidu 1.72% 4/9/26 | 200,000 | 199,495 | |
International Business Machines 3.00% 5/15/24 | 1,090,000 | 1,169,448 | |
NXP 144A 2.70% 5/1/25 # | 55,000 | 57,726 | |
SK Hynix 144A 1.50% 1/19/26 # | 1,070,000 | 1,054,176 | |
2,480,845 | |||
Transportation — 1.17% | |||
Adani Ports & Special Economic Zone 144A 3.375% 7/24/24 # | 235,000 | 246,456 | |
Aerovias de Mexico 144A 7.00% 2/5/25 #, ‡ | 200,000 | 109,500 | |
ASG Finance Designated Activity 144A 7.875% 12/3/24 # | 217,000 | 206,693 | |
Delta Air Lines | |||
144A 7.00% 5/1/25 # | 1,510,000 | 1,740,708 | |
7.375% 1/15/26 | 621,000 | 726,866 | |
Penske Truck Leasing 144A 1.20% 11/15/25 # | 910,000 | 894,671 | |
Spirit Loyalty Cayman 144A 8.00% 9/20/25 # | 740,000 | 837,987 | |
4,762,881 | |||
Total Corporate Bonds (cost $212,292,357) | 214,621,422 | ||
Non-Agency Asset-Backed Securities — 6.27% | |||
American Express Credit Account Master Trust Series 2018-6 A 3.06% 2/15/24 | 1,145,000 | 1,154,274 | |
ARI Fleet Lease Trust Series 2018-B A2 144A 3.22% 8/16/27 # | 266,865 | 268,170 | |
Chase Auto Credit Linked Notes Series 2020-2 B 144A 0.84% 2/25/28 # | 1,676,760 | 1,678,576 | |
Dell Equipment Finance Trust Series 2020-2 A2 144A 0.47% 10/24/22 # | 2,400,000 | 2,402,751 | |
Ford Credit Auto Lease Trust Series 2020-A A2 1.80% 7/15/22 | 701,425 | 703,294 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Ford Credit Auto Owner Trust Series 2021-A B 0.70% 10/15/26 | 180,000 | $178,598 | |
Ford Credit Floorplan Master Owner Trust A Series 2020-1 A1 0.70% 9/15/25 | 4,000,000 | 4,008,708 | |
GM Financial Leasing Trust Series 2021-1 B 0.54% 2/20/25 | 270,000 | 269,021 | |
GMF Floorplan Owner Revolving Trust Series 2020-1 A 144A 0.68% 8/15/25 # | 500,000 | 501,273 | |
HOA Funding Series 2014-1A A2 144A 4.846% 8/20/44 # | 230,550 | 227,952 | |
Hyundai Auto Lease Securitization Trust Series 2021-A B 144A 0.61% 10/15/25 # | 2,100,000 | 2,097,787 | |
Hyundai Auto Receivables Trust Series 2019-B A2 1.93% 7/15/22 | 132,796 | 133,010 | |
Mercedes-Benz Auto Lease Trust Series 2019-B A2 2.01% 12/15/21 | 33,535 | 33,557 | |
Mercedes-Benz Master Owner Trust Series 2019-BA A 144A 2.61% 5/15/24 # | 1,200,000 | 1,230,674 | |
MMAF Equipment Finance Series 2020-BA A2 144A 0.38% 8/14/23 # | 4,300,000 | 4,303,729 | |
PFS Financing Series 2020-G A 144A 0.97% 2/15/26 # | 1,000,000 | 1,003,978 | |
Tesla Auto Lease Trust Series 2021-A B 144A 1.02% 3/20/25 # | 3,400,000 | 3,395,409 | |
Towd Point Mortgage Trust | |||
Series 2015-5 A1B 144A 2.75% 5/25/55 #, • | 52,475 | 52,602 | |
Series 2015-6 A1B 144A 2.75% 4/25/55 #, • | 120,708 | 121,547 | |
Trafigura Securitisation Finance Series 2018-1A A1 144A 0.836% (LIBOR01M + 0.73%) 3/15/22 #, • | 200,000 | 199,947 | |
UNIFY Auto Receivables Trust Series 2021-1A A3 144A 0.51% 6/16/25 # | 400,000 | 399,870 | |
Verizon Owner Trust Series 2020-C A 0.41% 4/21/25 | 1,000,000 | 1,000,235 | |
Volkswagen Auto Lease Trust Series 2020-A A4 Series 2020-A A4 0.45% 7/21/25 | 150,000 | 149,973 | |
Total Non-Agency Asset-Backed Securities (cost $25,520,282) | 25,514,935 | ||
Principal amount° | Value (US $) | ||
Non-Agency Collateralized Mortgage Obligations — 0.01% | |||
GSMPS Mortgage Loan Trust Series 1998-2 A 144A 7.75% 5/19/27 #, • | 18,620 | $18,621 | |
Wells Fargo Mortgage-Backed Securities Trust Series 2006-AR5 2A1 2.803% 4/25/36 • | 33,652 | 33,318 | |
Total Non-Agency Collateralized Mortgage Obligations (cost $43,520) | 51,939 | ||
Non-Agency Commercial Mortgage-Backed Securities — 1.22% | |||
Benchmark Mortgage Trust Series 2020-B17 A5 2.289% 3/15/53 | 5,000,000 | 4,969,582 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $5,241,211) | 4,969,582 | ||
Loan Agreements — 0.30% | |||
Applied Systems 1st Lien 3.50% (LIBOR03M + 3.00%) 9/19/24 | 246,881 | 248,733 | |
AssuredPartners 3.608% (LIBOR01M + 3.50%) 2/12/27 • | 261,182 | 258,610 | |
Blue Ribbon 1st Lien 5.137% (LIBOR03M + 3.00%) 11/15/21 • | 266,671 | 261,588 | |
Charter Communications Operating Tranche B2 1.87% (LIBOR01M + 1.75%) 2/1/27 • | 241,902 | 240,949 | |
Gardner Denver Tranche B-1 1.859% (LIBOR03M + 1.75%) 3/1/27 • | 206,184 | 204,123 | |
Total Loan Agreements (cost $1,218,297) | 1,214,003 | ||
Sovereign Bonds — 0.42% | |||
Croatia — 0.06% | |||
Croatia Government International Bond 144A 5.50% 4/4/23 # | 200,000 | 219,201 | |
219,201 | |||
Georgia — 0.05% | |||
Georgia Government International Bond 6.875% 4/12/21 | 200,000 | 200,297 | |
200,297 | |||
Indonesia — 0.08% | |||
Indonesia Government International Bond 144A 3.375% 4/15/23 # | 310,000 | 325,956 | |
325,956 |
Principal amount° | Value (US $) | ||
Sovereign Bonds (continued) | |||
Nigeria — 0.07% | |||
Nigeria Government International Bond 5.625% 6/27/22 | 250,000 | $258,761 | |
258,761 | |||
Saudi Arabia — 0.06% | |||
Kingdom of Saudi Arabia Sukuk 144A 2.894% 4/20/22 # | 250,000 | 256,386 | |
256,386 | |||
Senegal — 0.05% | |||
Senegal Government International Bond 144A 6.25% 7/30/24 # | 200,000 | 215,975 | |
215,975 | |||
Uzbekistan — 0.05% | |||
Republic of Uzbekistan Bond 144A 4.75% 2/20/24 # | 200,000 | 211,394 | |
211,394 | |||
Total Sovereign Bonds (cost $1,644,615) | 1,687,970 | ||
Supranational Bank — 0.12% | |||
Banque Ouest Africaine de Developpement 144A 5.50% 5/6/21 # | 500,000 | 502,139 | |
Total Supranational Bank (cost $529,500) | 502,139 | ||
US Treasury Obligations — 11.05% | |||
US Treasury Floating Rate Note 0.069% (USBMMY3M + 0.049%) 1/31/23 • | 29,870,000 | 29,886,270 | |
US Treasury Notes | |||
0.125% 2/28/23 | 10,555,000 | 10,549,228 | |
0.25% 3/15/24 | 4,335,000 | 4,323,654 | |
0.50% 2/28/26 | 160,000 | 156,888 | |
Total US Treasury Obligations (cost $44,907,564) | 44,916,040 |
Number of shares | |||
Preferred Stock — 0.08% | |||
USB Realty 144A 1.388% (LIBOR03M + 1.147%) #, ψ, • | 400,000 | 311,000 | |
Total Preferred Stock (cost $310,000) | 311,000 | ||
Number of shares | Value (US $) | ||
Short-Term Investments — 4.12% | |||
Money Market Mutual Funds — 3.68% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.01%) | 3,739,380 | $3,739,380 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 3,739,380 | 3,739,380 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.03%) | 3,739,380 | 3,739,380 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.00%) | 3,739,380 | 3,739,380 | |
14,957,520 |
Principal amount° | |||
US Treasury Obligation — 0.44% | |||
US Treasury Bill | 1,775,000 | 1,795,796 | |
Total Short-Term Investments (cost $16,740,297) | 16,753,316 | ||
Total Value of Securities—102.78% (cost $415,169,513) | 417,947,998 | ||
Liabilities Net of Receivables and Other Assets—(2.78%)1 | (11,311,941) | ||
Net Assets Applicable to 48,595,950 Shares Outstanding—100.00% | $406,636,057 |
1 | Of this amount, $176,200 represents cash collateral posted for futures contracts. |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
♦ | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at March 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2021, the aggregate value of Rule 144A securities was $122,349,295, which represents 30.09% of the Fund's net assets. |
* | PIK. 100% of the income received was in the form of principal. |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at March 31, 2021. Rate will reset at a future date. |
ψ | Perpetual security. Maturity date represents next call date. |
‡ | Non-income producing security. Security is currently in default. |
Futures Contracts Exchange-Traded | |||||||||||
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Variation Margin Due from (Due to) Brokers | ||||||
(75) | US Treasury 10 yr Notes | $(9,820,312) | (10,026,674) | 6/21/21 | $206,362 | $18,750 | |||||
(69) | US Treasury 5 yr Notes | (8,514,492) | (8,528,883) | 6/30/21 | 14,391 | 11,320 | |||||
Total Futures Contracts | $(18,555,557) | $220,753 | $30,070 |
Summary of abbreviations: |
CLO – Collateralized Loan Obligation |
DAC – Designated Activity Company |
DIFC – Dubai International Financial Centre |
FREMF – Freddie Mac Multifamily |
GNMA – Government National Mortgage Association |
GS – Goldman Sachs |
GSMPS – Goldman Sachs Reperforming Mortgage Securities |
ICE – Intercontinental Exchange, Inc. |
LIBOR – London interbank offered rate |
LIBOR01M – ICE LIBOR USD 1 Month |
LIBOR03M – ICE LIBOR USD 3 Month |
PIK – Payment-in-kind |
REMIC – Real Estate Mortgage Investment Conduit |
Summary of abbreviations: (continued) |
S.F. – Single Family |
SOFR – Secured Overnight Financing Rate |
TBA – To be announced |
USBMMY3M – US Treasury 3 Month Bill Money Market Yield |
USD – US Dollar |
yr – Year |