Delaware Limited-Term Diversified Income Fund | September 30, 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 ♦, • | 3,162 | $ 3,482 | |
Total Agency Asset-Backed Security (cost $3,304) | 3,482 | ||
Agency Collateralized Mortgage Obligations — 3.05% | |||
Fannie Mae Grantor Trust Series 2001-T5 A2 6.975% 6/19/41 • | 16,755 | 19,386 | |
Freddie Mac REMICs Series 5092 WG 1.00% 4/25/31 = | 6,719,195 | 6,756,426 | |
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||
Series 2020-DNA6 M1 144A 0.95% (SOFR + 0.90%) 12/25/50 #, • | 681,975 | 682,225 | |
Series 2021-DNA1 M1 144A 0.70% (SOFR + 0.65%) 1/25/51 #, • | 1,366,256 | 1,366,256 | |
Series 2021-DNA3 M1 144A 0.80% (SOFR + 0.75%) 10/25/33 #, • | 2,090,000 | 2,092,116 | |
Series 2021-DNA5 M1 144A 0.70% (SOFR + 0.65%) 1/25/34 #, • | 1,361,738 | 1,362,572 | |
Series 2021-HQA1 M1 144A 0.75% (SOFR + 0.70%) 8/25/33 #, • | 1,938,292 | 1,938,956 | |
Series 2021-HQA2 M1 144A 0.75% (SOFR + 0.70%) 12/25/33 #, • | 1,375,000 | 1,375,943 | |
Freddie Mac Structured Pass Through Certificates | |||
Series T-54 2A 6.50% 2/25/43 ♦ | 551 | 651 | |
Series T-58 2A 6.50% 9/25/43 ♦ | 299,624 | 344,355 | |
GNMA Series 2017-163 KH 3.50% 3/20/44 | 252,981 | 255,144 | |
Total Agency Collateralized Mortgage Obligations (cost $16,160,622) | 16,194,030 | ||
Agency Commercial Mortgage-Backed Securities — 1.45% | |||
Freddie Mac Multifamily Structured Pass Through Certificates | |||
Series K729 A2 3.136% 10/25/24 ♦ | 2,000,000 | 2,123,968 | |
Series K734 A1 3.139% 6/25/25 | 2,674,414 | 2,816,082 | |
FREMF Mortgage Trust | |||
Series 2014-K717 C 144A 3.695% 11/25/47 #, • | 3,771 | 3,770 | |
Series 2015-K720 B 144A 3.509% 7/25/22 #, • | 2,700,000 | 2,751,367 | |
Total Agency Commercial Mortgage-Backed Securities (cost $7,680,156) | 7,695,187 | ||
Agency Mortgage-Backed Securities — 8.12% | |||
Fannie Mae S.F. 15 yr | |||
1.50% 7/1/36 | 318,742 | 322,119 | |
2.00% 4/1/36 | 1,306,544 | 1,348,168 | |
2.50% 8/1/35 | 1,176,415 | 1,226,082 | |
2.50% 11/1/35 | 4,405,426 | 4,599,472 | |
Fannie Mae S.F. 20 yr | |||
2.00% 5/1/41 | 1,416,849 | 1,439,208 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Fannie Mae S.F. 20 yr | |||
2.50% 7/1/41 | 633,840 | $ 656,580 | |
Fannie Mae S.F. 30 yr | |||
2.00% 12/1/50 | 93,425 | 94,260 | |
2.00% 1/1/51 | 55,303 | 55,606 | |
2.00% 2/1/51 | 506,854 | 509,469 | |
2.50% 9/1/50 | 148,989 | 155,212 | |
2.50% 10/1/50 | 263,373 | 275,182 | |
3.00% 11/1/49 | 165,922 | 178,141 | |
3.00% 5/1/51 | 877,015 | 932,879 | |
3.50% 10/1/42 | 857,459 | 926,752 | |
3.50% 7/1/47 | 218,990 | 235,791 | |
3.50% 2/1/48 | 223,726 | 242,822 | |
3.50% 11/1/48 | 116,019 | 123,467 | |
3.50% 11/1/49 | 694,263 | 746,921 | |
3.50% 3/1/50 | 46,586 | 49,792 | |
3.50% 9/1/50 | 755,718 | 831,785 | |
3.50% 6/1/51 | 736,963 | 787,703 | |
4.00% 6/1/48 | 155,119 | 170,053 | |
4.00% 10/1/48 | 979,008 | 1,082,959 | |
4.50% 2/1/44 | 1,110,384 | 1,247,430 | |
4.50% 4/1/44 | 1,213,027 | 1,362,754 | |
4.50% 11/1/44 | 1,265,680 | 1,423,132 | |
4.50% 10/1/45 | 698,800 | 779,826 | |
4.50% 5/1/46 | 876,881 | 981,912 | |
4.50% 9/1/49 | 1,120,167 | 1,229,051 | |
5.00% 7/1/47 | 4,155,928 | 4,746,974 | |
5.00% 5/1/48 | 452,187 | 500,351 | |
5.00% 8/1/49 | 1,812,997 | 2,016,412 | |
5.50% 5/1/44 | 2,749,190 | 3,190,804 | |
6.00% 6/1/41 | 317,667 | 373,814 | |
6.00% 7/1/41 | 2,854,062 | 3,369,808 | |
6.00% 1/1/42 | 193,190 | 227,916 | |
Freddie Mac S.F. 15 yr | |||
1.50% 3/1/36 | 944,641 | 956,706 | |
3.00% 3/1/35 | 540,996 | 574,128 | |
Freddie Mac S.F. 20 yr | |||
2.50% 6/1/41 | 604,938 | 626,640 | |
3.00% 9/1/40 | 310,378 | 326,491 | |
Freddie Mac S.F. 30 yr | |||
2.00% 4/1/51 | 163,777 | 163,271 | |
3.00% 8/1/50 | 197,589 | 212,261 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Freddie Mac S.F. 30 yr | |||
3.50% 3/1/47 | 104,880 | $ 114,058 | |
4.00% 5/1/46 | 135,034 | 148,502 | |
4.50% 8/1/48 | 763,559 | 834,812 | |
4.50% 4/1/49 | 179,008 | 196,726 | |
4.50% 5/1/49 | 466,875 | 510,326 | |
6.00% 5/1/39 | 21,014 | 24,500 | |
Total Agency Mortgage-Backed Securities (cost $42,888,964) | 43,129,028 | ||
Collateralized Debt Obligations — 7.85% | |||
AMMC CLO 23 Series 2020-23A A1L 144A 1.534% (LIBOR03M + 1.40%, Floor 1.40%) 10/17/31 #, • | 2,200,000 | 2,206,745 | |
Ballyrock CLO | |||
Series 2018-1A A1 144A 1.134% (LIBOR03M + 1.00%) 4/20/31 #, • | 2,750,000 | 2,750,146 | |
Series 2020-2A A1 144A 1.454% (LIBOR03M + 1.32%, Floor 1.32%) 10/20/31 #, • | 2,250,000 | 2,257,056 | |
Battalion CLO 18 Series 2020-18A A1 144A 1.926% (LIBOR03M + 1.80%, Floor 1.80%) 10/15/32 #, • | 2,000,000 | 2,000,226 | |
Benefit Street Partners CLO IX Series 2016-9A AR 144A 1.244% (LIBOR03M + 1.11%) 7/20/31 #, • | 500,000 | 500,815 | |
BlueMountain CLO XXX Series 2020-30A A 144A 1.516% (LIBOR03M + 1.39%, Floor 1.39%) 1/15/33 #, • | 1,750,000 | 1,754,662 | |
Carlyle Global Market Strategies CLO Series 2014-2RA A1 144A 1.175% (LIBOR03M + 1.05%) 5/15/31 #, • | 985,635 | 986,308 | |
CBAM Series 2020-13A A 144A 1.564% (LIBOR03M + 1.43%, Floor 1.43%) 1/20/34 #, • | 3,000,000 | 3,007,317 | |
Cedar Funding IX CLO Series 2018-9A A1 144A 1.114% (LIBOR03M + 0.98%, Floor 0.98%) 4/20/31 #, • | 1,500,000 | 1,502,208 | |
CIFC Funding Series 2013-4A A1RR 144A 1.189% (LIBOR03M + 1.06%, Floor 1.06%) 4/27/31 #, • | 2,900,000 | 2,902,717 | |
Dryden 83 CLO Series 2020-83A A 144A 1.354% (LIBOR03M + 1.22%, Floor 1.22%) 1/18/32 #, • | 3,100,000 | 3,099,219 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Galaxy XXI CLO Series 2015-21A AR 144A 1.154% (LIBOR03M + 1.02%) 4/20/31 #, • | 1,500,000 | $ 1,500,552 | |
KKR CLO 32 Series 32A A1 144A 1.446% (LIBOR03M + 1.32%, Floor 1.32%) 1/15/32 #, • | 1,700,000 | 1,704,942 | |
LCM XVIII Series 18A A1R 144A 1.154% (LIBOR03M + 1.02%) 4/20/31 #, • | 2,200,000 | 2,200,086 | |
Octagon Investment Partners 33 Series 2017-1A A1 144A 1.324% (LIBOR03M + 1.19%) 1/20/31 #, • | 2,650,000 | 2,650,872 | |
Octagon Investment Partners 48 Series 2020-3A A 144A 1.634% (LIBOR03M + 1.50%, Floor 1.50%) 10/20/31 #, • | 2,900,000 | 2,899,913 | |
Sound Point CLO XXI Series 2018-3A A1A 144A 1.305% (LIBOR03M + 1.18%, Floor 1.18%) 10/26/31 #, • | 3,200,000 | 3,200,313 | |
Venture 34 CLO Series 2018-34A A 144A 1.356% (LIBOR03M + 1.23%, Floor 1.23%) 10/15/31 #, • | 700,000 | 700,552 | |
York CLO-6 Series 2019-1A A1 144A 1.488% (LIBOR03M + 1.35%) 7/22/32 #, • | 1,850,000 | 1,853,263 | |
Zais CLO 16 Series 2020-16A A1 144A 2.324% (LIBOR03M + 2.19%, Floor 2.19%) 10/20/31 #, • | 2,000,000 | 1,999,712 | |
Total Collateralized Debt Obligations (cost $41,439,288) | 41,677,624 | ||
Corporate Bonds — 53.82% | |||
Banking — 13.93% | |||
Ally Financial 5.75% 11/20/25 | 1,511,000 | 1,728,576 | |
Banco Continental 144A 2.75% 12/10/25 # | 585,000 | 581,350 | |
Banco de Bogota 144A 6.25% 5/12/26 # | 200,000 | 218,000 | |
Banco de Credito del Peru 144A 2.70% 1/11/25 # | 200,000 | 205,752 | |
Banco de Credito e Inversiones 144A 4.00% 2/11/23 # | 200,000 | 208,250 | |
Banco del Estado de Chile 144A 2.704% 1/9/25 # | 220,000 | 228,305 | |
Banco Santander 3.50% 4/11/22 | 2,800,000 | 2,846,243 | |
Banco Santander Mexico | |||
144A 4.125% 11/9/22 # | 150,000 | 154,896 | |
144A 5.95% 10/1/28 #, μ | 200,000 | 213,750 | |
Bancolombia 3.00% 1/29/25 | 215,000 | 217,152 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Bank of America | |||
3.458% 3/15/25 μ | 4,345,000 | $ 4,623,709 | |
4.10% 7/24/23 | 340,000 | 362,606 | |
Bank of China 144A 5.00% 11/13/24 # | 200,000 | 221,154 | |
Bank of Georgia 144A 6.00% 7/26/23 # | 200,000 | 213,389 | |
Bank of Ireland Group 144A 2.029% 9/30/27 #, μ | 425,000 | 425,230 | |
Bank of Montreal 1.85% 5/1/25 | 605,000 | 622,774 | |
Barclays Bank 1.70% 5/12/22 | 2,660,000 | 2,681,195 | |
BBVA Bancomer | |||
144A 1.875% 9/18/25 # | 1,115,000 | 1,122,470 | |
144A 6.75% 9/30/22 # | 150,000 | 157,938 | |
Citigroup 4.044% 6/1/24 μ | 2,430,000 | 2,570,763 | |
Credit Agricole 144A 1.907% 6/16/26 #, μ | 650,000 | 662,634 | |
Credit Suisse Group 144A 2.593% 9/11/25 #, μ | 2,295,000 | 2,379,820 | |
Emirates NBD Bank 2.625% 2/18/25 | 200,000 | 208,973 | |
Goldman Sachs Group | |||
0.86% (SOFR + 0.81%) 3/9/27 • | 4,905,000 | 4,913,643 | |
1.295% (LIBOR03M + 1.17%) 5/15/26 • | 3,010,000 | 3,088,143 | |
1.542% 9/10/27 μ | 315,000 | 313,941 | |
5.75% 1/24/22 | 4,000,000 | 4,067,925 | |
ICICI Bank 3.25% 9/9/22 | 320,000 | 326,588 | |
JPMorgan Chase & Co. | |||
0.63% (SOFR + 0.58%) 3/16/24 • | 1,310,000 | 1,315,044 | |
0.935% (SOFR + 0.885%) 4/22/27 • | 955,000 | 967,298 | |
4.023% 12/5/24 μ | 7,650,000 | 8,195,225 | |
4.60% 2/1/25 μ, ψ | 265,000 | 271,294 | |
KEB Hana Bank 144A 3.375% 1/30/22 # | 500,000 | 504,718 | |
KeyBank | |||
2.40% 6/9/22 | 500,000 | 507,358 | |
3.18% 10/15/27 | 1,990,000 | 2,025,840 | |
Kookmin Bank 144A 2.875% 3/25/23 # | 200,000 | 206,710 | |
Morgan Stanley | |||
0.731% 4/5/24 μ | 2,735,000 | 2,744,722 | |
2.75% 5/19/22 | 1,195,000 | 1,214,424 | |
3.737% 4/24/24 μ | 350,000 | 367,340 | |
National Securities Clearing 144A 1.20% 4/23/23 # | 910,000 | 922,908 | |
NBK SPC 144A 1.625% 9/15/27 #, μ | 200,000 | 197,800 | |
NongHyup Bank 144A 0.875% 7/28/24 # | 200,000 | 200,475 | |
Nordea Bank 144A 0.625% 5/24/24 # | 3,580,000 | 3,575,027 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Oversea-Chinese Banking 144A 4.25% 6/19/24 # | 200,000 | $ 216,515 | |
Popular 6.125% 9/14/23 | 523,000 | 562,225 | |
QNB Finance | |||
2.625% 5/12/25 | 250,000 | 260,630 | |
3.50% 3/28/24 | 380,000 | 403,509 | |
Toronto-Dominion Bank 0.405% (SOFR + 0.355%) 3/4/24 • | 3,960,000 | 3,974,924 | |
Truist Bank 2.636% 9/17/29 μ | 2,480,000 | 2,593,348 | |
Truist Financial 2.70% 1/27/22 | 4,435,000 | 4,460,968 | |
UBS 144A 1.75% 4/21/22 # | 400,000 | 402,896 | |
UBS Group 144A 2.65% 2/1/22 # | 580,000 | 584,507 | |
US Bank 3.40% 7/24/23 | 1,630,000 | 1,717,566 | |
73,958,440 | |||
Basic Industry — 2.17% | |||
Avient 144A 5.75% 5/15/25 # | 1,540,000 | 1,624,700 | |
Corp Nacional del Cobre de Chile 144A 4.50% 9/16/25 # | 200,000 | 221,331 | |
First Quantum Minerals 144A 7.50% 4/1/25 # | 1,585,000 | 1,627,922 | |
Gold Fields Orogen Holdings BVI 144A 5.125% 5/15/24 # | 250,000 | 269,729 | |
Inversiones CMPC 144A 4.75% 9/15/24 # | 1,720,000 | 1,876,090 | |
JSW Steel 144A 3.95% 4/5/27 # | 200,000 | 198,801 | |
MEGlobal Canada 144A 5.00% 5/18/25 # | 200,000 | 221,341 | |
New Gold 144A 6.375% 5/15/25 # | 166,000 | 171,290 | |
Nutrien 1.90% 5/13/23 | 1,995,000 | 2,038,827 | |
OCP 144A 4.50% 10/22/25 # | 835,000 | 898,842 | |
Sasol Financing USA 4.375% 9/18/26 | 200,000 | 203,160 | |
Sociedad Quimica y Minera de Chile 144A 3.625% 4/3/23 # | 200,000 | 208,601 | |
Steel Dynamics 2.80% 12/15/24 | 1,455,000 | 1,535,778 | |
Suzano Austria 144A 5.75% 7/14/26 # | 200,000 | 231,900 | |
Volcan Cia Minera 144A 4.375% 2/11/26 # | 200,000 | 194,978 | |
11,523,290 | |||
Brokerage — 0.13% | |||
Charles Schwab 4.00% 6/1/26 μ, ψ | 460,000 | 480,700 | |
XP 144A 3.25% 7/1/26 # | 200,000 | 194,790 | |
675,490 | |||
Capital Goods — 3.17% | |||
Carlisle 0.55% 9/1/23 | 1,015,000 | 1,014,780 | |
L3Harris Technologies 3.85% 12/15/26 | 215,000 | 237,943 | |
Mauser Packaging Solutions Holding 144A 5.50% 4/15/24 # | 847,000 | 855,470 | |
Roper Technologies 2.35% 9/15/24 | 4,345,000 | 4,551,290 | |
Spirit AeroSystems 144A 5.50% 1/15/25 # | 1,240,000 | 1,312,850 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Capital Goods (continued) | |||
Teledyne Technologies 0.95% 4/1/24 | 5,745,000 | $ 5,755,476 | |
TransDigm 144A 8.00% 12/15/25 # | 1,232,000 | 1,315,160 | |
Turkiye Sise ve Cam Fabrikalari 144A 6.95% 3/14/26 # | 200,000 | 219,972 | |
Welbilt 9.50% 2/15/24 | 597,000 | 614,343 | |
WESCO Distribution 144A 7.125% 6/15/25 # | 886,000 | 946,585 | |
16,823,869 | |||
Communications — 3.40% | |||
AMC Networks 5.00% 4/1/24 | 610,000 | 618,683 | |
Artera Services 144A 9.033% 12/4/25 # | 840,000 | 912,450 | |
Charter Communications Operating 4.908% 7/23/25 | 1,515,000 | 1,704,526 | |
Clear Channel International 144A 6.625% 8/1/25 # | 675,000 | 705,291 | |
CSC Holdings 6.75% 11/15/21 | 375,000 | 376,406 | |
Fox | |||
3.666% 1/25/22 | 880,000 | 889,323 | |
4.03% 1/25/24 | 5,265,000 | 5,650,219 | |
IHS Netherlands Holdco 144A 7.125% 3/18/25 # | 200,000 | 206,500 | |
Ooredoo International Finance 144A 5.00% 10/19/25 # | 200,000 | 228,996 | |
Sirius XM Radio 144A 3.125% 9/1/26 # | 250,000 | 253,750 | |
Sprint Spectrum 144A 4.738% 9/20/29 # | 393,750 | 421,017 | |
Tencent Holdings 144A 3.28% 4/11/24 # | 200,000 | 211,012 | |
Time Warner Entertainment 8.375% 3/15/23 | 1,795,000 | 1,994,540 | |
T-Mobile USA 3.50% 4/15/25 | 510,000 | 549,612 | |
Turk Telekomunikasyon 144A 4.875% 6/19/24 # | 200,000 | 206,962 | |
Verizon Communications 0.75% 3/22/24 | 3,135,000 | 3,147,791 | |
18,077,078 | |||
Consumer Cyclical — 4.08% | |||
BMW US Capital 144A 0.75% 8/12/24 # | 1,810,000 | 1,814,420 | |
Boyd Gaming 144A 8.625% 6/1/25 # | 1,110,000 | 1,204,350 | |
Carnival 144A 7.625% 3/1/26 # | 947,000 | 1,012,106 | |
Ford Motor 8.50% 4/21/23 | 1,674,000 | 1,843,392 | |
Ford Motor Credit 3.375% 11/13/25 | 1,635,000 | 1,682,006 | |
General Motors Financial | |||
0.81% (SOFR + 0.76%) 3/8/24 • | 2,695,000 | 2,721,683 | |
3.45% 4/10/22 | 2,155,000 | 2,177,672 | |
4.15% 6/19/23 | 2,850,000 | 3,012,914 | |
IRB Holding 144A 7.00% 6/15/25 # | 177,000 | 188,147 | |
JD.com 3.875% 4/29/26 | 430,000 | 467,131 | |
Kia 144A 1.00% 4/16/24 # | 250,000 | 250,231 | |
Prime Security Services Borrower 144A 5.25% 4/15/24 # | 1,008,000 | 1,076,343 | |
Sands China 3.80% 1/8/26 | 200,000 | 206,390 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Scientific Games International 144A 5.00% 10/15/25 # | 1,515,000 | $ 1,560,450 | |
Six Flags Entertainment 144A 4.875% 7/31/24 # | 1,470,000 | 1,485,619 | |
Station Casinos 144A 5.00% 10/1/25 # | 374,000 | 379,952 | |
VF 2.40% 4/23/25 | 580,000 | 604,614 | |
21,687,420 | |||
Consumer Non-Cyclical — 5.15% | |||
AbbVie | |||
2.60% 11/21/24 | 3,625,000 | 3,811,930 | |
3.75% 11/14/23 | 340,000 | 362,330 | |
Bausch Health 144A 6.125% 4/15/25 # | 1,100,000 | 1,124,090 | |
Bidvest Group UK 144A 3.625% 9/23/26 # | 200,000 | 200,250 | |
Cigna | |||
1.016% (LIBOR03M + 0.89%) 7/15/23 • | 2,055,000 | 2,080,719 | |
3.75% 7/15/23 | 507,000 | 536,053 | |
CK Hutchison International 17 144A 2.875% 4/5/22 # | 200,000 | 202,451 | |
Conagra Brands 0.50% 8/11/23 | 1,295,000 | 1,295,338 | |
CVS Health 3.70% 3/9/23 | 463,000 | 483,593 | |
DP World Crescent 144A 3.908% 5/31/23 # | 615,000 | 641,157 | |
Gilead Sciences 3.70% 4/1/24 | 1,615,000 | 1,726,065 | |
Global Payments 2.65% 2/15/25 | 1,723,000 | 1,801,564 | |
Mondelez International 1.50% 5/4/25 | 1,210,000 | 1,228,711 | |
Ortho-Clinical Diagnostics 144A 7.375% 6/1/25 # | 744,000 | 786,077 | |
PayPal Holdings 1.35% 6/1/23 | 3,025,000 | 3,076,174 | |
Royalty Pharma 1.20% 9/2/25 | 3,690,000 | 3,668,291 | |
Takeda Pharmaceutical 4.40% 11/26/23 | 1,850,000 | 1,993,944 | |
Teva Pharmaceutical Finance Netherlands III 6.00% 4/15/24 | 250,000 | 263,438 | |
Viatris 144A 1.65% 6/22/25 # | 2,035,000 | 2,056,427 | |
27,338,602 | |||
Electric — 6.83% | |||
AEP Texas 2.40% 10/1/22 | 3,310,000 | 3,369,700 | |
Avangrid 3.20% 4/15/25 | 885,000 | 943,000 | |
Azure Power Energy 144A 3.575% 8/19/26 # | 200,000 | 202,999 | |
CenterPoint Energy 0.70% (SOFR + 0.65%) 5/13/24 • | 5,580,000 | 5,591,897 | |
Cleveland Electric Illuminating 5.50% 8/15/24 | 2,580,000 | 2,907,276 | |
CLP Power Hong Kong Financing 2.875% 4/26/23 | 200,000 | 206,493 | |
Duke Energy 4.875% 9/16/24 μ, ψ | 1,030,000 | 1,103,388 | |
Engie Energia Chile 144A 4.50% 1/29/25 # | 1,540,000 | 1,676,576 | |
Entergy 4.00% 7/15/22 | 1,895,000 | 1,936,613 | |
Entergy Louisiana 4.05% 9/1/23 | 2,030,000 | 2,147,146 | |
ITC Holdings 2.70% 11/15/22 | 3,325,000 | 3,402,445 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Electric (continued) | |||
NRG Energy 144A 3.75% 6/15/24 # | 2,535,000 | $ 2,705,318 | |
Southern California Edison 1.10% 4/1/24 | 4,155,000 | 4,176,008 | |
Vistra Operations 144A 3.55% 7/15/24 # | 2,825,000 | 2,972,210 | |
WEC Energy Group 0.80% 3/15/24 | 2,895,000 | 2,904,872 | |
36,245,941 | |||
Energy — 4.49% | |||
Apache 4.625% 11/15/25 | 1,028,000 | 1,106,385 | |
Cheniere Corpus Christi Holdings 7.00% 6/30/24 | 1,955,000 | 2,211,698 | |
Devon Energy 144A 5.25% 9/15/24 # | 853,000 | 945,159 | |
Enbridge | |||
0.45% (SOFR + 0.40%) 2/17/23 • | 1,705,000 | 1,710,412 | |
0.55% 10/4/23 | 735,000 | 735,440 | |
Greenko Mauritius 144A 6.25% 2/21/23 # | 210,000 | 215,643 | |
MPLX 4.875% 12/1/24 | 1,955,000 | 2,166,334 | |
Murphy Oil 5.75% 8/15/25 | 1,237,000 | 1,278,402 | |
NuStar Logistics 5.75% 10/1/25 | 1,077,000 | 1,161,814 | |
Occidental Petroleum 5.50% 12/1/25 | 1,247,000 | 1,382,611 | |
ONEOK 7.50% 9/1/23 | 2,985,000 | 3,322,798 | |
Pertamina Persero 144A 1.40% 2/9/26 # | 200,000 | 196,413 | |
Petroleos Mexicanos 4.625% 9/21/23 | 130,000 | 135,297 | |
Pioneer Natural Resources 0.55% 5/15/23 | 1,990,000 | 1,992,538 | |
Qatar Petroleum 144A 1.375% 9/12/26 # | 200,000 | 198,772 | |
Sabine Pass Liquefaction 5.75% 5/15/24 | 2,575,000 | 2,868,630 | |
Saudi Arabian Oil 144A 1.625% 11/24/25 # | 205,000 | 205,307 | |
Schlumberger Holdings 144A 3.75% 5/1/24 # | 930,000 | 993,811 | |
Southwestern Energy 6.45% 1/23/25 | 743,000 | 819,024 | |
Tengizchevroil Finance Co International 144A 2.625% 8/15/25 # | 200,000 | 204,316 | |
23,850,804 | |||
Finance Companies — 3.90% | |||
AerCap Ireland Capital DAC 3.15% 2/15/24 | 3,905,000 | 4,072,908 | |
Air Lease | |||
0.80% 8/18/24 | 1,755,000 | 1,745,108 | |
2.875% 1/15/26 | 875,000 | 914,711 | |
3.00% 9/15/23 | 1,225,000 | 1,273,555 | |
Aviation Capital Group | |||
144A 1.95% 1/30/26 # | 2,940,000 | 2,930,781 | |
144A 2.875% 1/20/22 # | 485,000 | 487,549 | |
Avolon Holdings Funding 144A 3.95% 7/1/24 # | 4,960,000 | 5,268,212 | |
BOC Aviation USA 144A 1.625% 4/29/24 # | 200,000 | 201,586 | |
DAE Sukuk DIFC 144A 3.75% 2/15/26 # | 200,000 | 211,447 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Finance Companies (continued) | |||
SURA Asset Management 144A 4.875% 4/17/24 # | 620,000 | $ 668,831 | |
USAA Capital 144A 1.50% 5/1/23 # | 2,900,000 | 2,951,662 | |
20,726,350 | |||
Insurance — 3.43% | |||
AIA Group 3.125% 3/13/23 | 210,000 | 217,227 | |
Athene Global Funding | |||
144A 0.75% (SOFR + 0.70%) 5/24/24 #, • | 2,055,000 | 2,066,121 | |
144A 1.00% 4/16/24 # | 2,535,000 | 2,544,820 | |
Brighthouse Financial Global Funding | |||
144A 0.81% (SOFR + 0.76%) 4/12/24 #, • | 1,745,000 | 1,758,457 | |
144A 1.00% 4/12/24 # | 2,145,000 | 2,156,393 | |
Equitable Financial Life Global Funding 144A 0.80% 8/12/24 # | 765,000 | 764,448 | |
Equitable Holdings 3.90% 4/20/23 | 1,355,000 | 1,421,805 | |
F&G Global Funding 144A 0.90% 9/20/24 # | 1,945,000 | 1,941,888 | |
GA Global Funding Trust 144A 1.00% 4/8/24 # | 4,115,000 | 4,133,693 | |
USI 144A 6.875% 5/1/25 # | 1,194,000 | 1,216,650 | |
18,221,502 | |||
Real Estate — 0.27% | |||
Goodman HK Finance 4.375% 6/19/24 | 200,000 | 215,671 | |
HAT Holdings I 144A 6.00% 4/15/25 # | 821,000 | 858,971 | |
Kaisa Group Holdings 9.375% 6/30/24 | 200,000 | 152,537 | |
Trust Fibra UNO 144A 5.25% 1/30/26 # | 200,000 | 222,804 | |
1,449,983 | |||
Technology — 1.53% | |||
Baidu 1.72% 4/9/26 | 200,000 | 200,639 | |
International Business Machines 3.00% 5/15/24 | 1,280,000 | 1,358,142 | |
Microchip Technology | |||
144A 0.983% 9/1/24 # | 2,305,000 | 2,302,889 | |
4.333% 6/1/23 | 615,000 | 650,164 | |
NXP 144A 2.70% 5/1/25 # | 100,000 | 104,506 | |
SK Hynix 144A 1.50% 1/19/26 # | 620,000 | 612,271 | |
Skyworks Solutions 0.90% 6/1/23 | 2,885,000 | 2,890,931 | |
8,119,542 | |||
Transportation — 1.34% | |||
Adani Ports & Special Economic Zone 144A 3.375% 7/24/24 # | 235,000 | 244,644 | |
Aerovias de Mexico 144A 7.00% 2/5/25 #, ‡ | 200,000 | 157,664 | |
DAE Funding 144A 1.55% 8/1/24 # | 200,000 | 198,422 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Transportation (continued) | |||
Delta Air Lines | |||
144A 7.00% 5/1/25 # | 2,041,000 | $ 2,381,095 | |
7.375% 1/15/26 | 476,000 | 561,027 | |
Spirit Loyalty Cayman 144A 8.00% 9/20/25 # | 581,999 | 653,439 | |
Triton Container International 144A 1.15% 6/7/24 # | 2,725,000 | 2,721,554 | |
United Airlines 144A 4.375% 4/15/26 # | 175,000 | 179,812 | |
7,097,657 | |||
Total Corporate Bonds (cost $284,109,644) | 285,795,968 | ||
Non-Agency Asset-Backed Securities — 6.08% | |||
ARI Fleet Lease Trust Series 2018-B A2 144A 3.22% 8/16/27 # | 125,257 | 125,633 | |
CarMax Auto Owner Trust Series 2018-2 B 3.37% 10/16/23 | 1,850,000 | 1,885,515 | |
Dell Equipment Finance Trust Series 2021-2 A2 144A 0.33% 12/22/26 # | 1,800,000 | 1,799,235 | |
Ford Credit Auto Owner Trust Series 2021-A B 0.70% 10/15/26 | 180,000 | 178,456 | |
Ford Credit Floorplan Master Owner Trust A Series 2020-1 A1 0.70% 9/15/25 | 4,000,000 | 4,018,996 | |
GM Financial Leasing Trust Series 2021-1 B 0.54% 2/20/25 | 270,000 | 270,040 | |
GMF Floorplan Owner Revolving Trust Series 2020-1 A 144A 0.68% 8/15/25 # | 500,000 | 501,929 | |
Hyundai Auto Lease Securitization Trust Series 2021-A B 144A 0.61% 10/15/25 # | 4,100,000 | 4,103,565 | |
John Deere Owner Trust Series 2019-A A3 2.91% 7/17/23 | 1,383,650 | 1,395,787 | |
JPMorgan Chase Bank Series 2020-2 B 144A 0.84% 2/25/28 # | 1,822,056 | 1,824,545 | |
Mercedes-Benz Master Owner Trust Series 2019-BA A 144A 2.61% 5/15/24 # | 1,200,000 | 1,218,013 | |
MMAF Equipment Finance Series 2020-BA A2 144A 0.38% 8/14/23 # | 3,784,886 | 3,786,890 | |
PFS Financing Series 2020-G A 144A 0.97% 2/15/26 # | 1,000,000 | 1,005,833 | |
Tesla Auto Lease Trust Series 2021-A B 144A 1.02% 3/20/25 # | 4,725,000 | 4,740,274 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Towd Point Mortgage Trust Series 2015-6 A1B 144A 2.75% 4/25/55 #, • | 38,655 | $ 38,740 | |
Trafigura Securitisation Finance Series 2021-1A A2 144A 1.08% 1/15/25 # | 3,850,000 | 3,832,586 | |
UNIFY Auto Receivables Trust Series 2021-1A A3 144A 0.51% 6/16/25 # | 400,000 | 400,337 | |
Verizon Owner Trust Series 2020-C A 0.41% 4/21/25 | 1,000,000 | 1,001,769 | |
Volkswagen Auto Lease Trust Series 2020-A A4 0.45% 7/21/25 | 150,000 | 150,120 | |
Total Non-Agency Asset-Backed Securities (cost $32,228,154) | 32,278,263 | ||
Non-Agency Collateralized Mortgage Obligations — 0.01% | |||
GSMPS Mortgage Loan Trust Series 1998-2 A 144A 7.75% 5/19/27 #, • | 17,069 | 17,079 | |
Wells Fargo Mortgage-Backed Securities Trust Series 2006-AR5 2A1 2.635% 4/25/36 • | 29,125 | 28,970 | |
Total Non-Agency Collateralized Mortgage Obligations (cost $38,696) | 46,049 | ||
Loan Agreements — 0.18% | |||
Applied Systems 1st Lien 3.75% (LIBOR03M + 3.25%) 9/19/24 • | 244,033 | 244,262 | |
AssuredPartners 3.582% (LIBOR01M + 3.50%) 2/12/27 • | 259,859 | 258,542 | |
Charter Communications Operating Tranche B2 1.835% (LIBOR01M + 1.75%) 2/1/27 • | 240,674 | 239,416 | |
Gardner Denver Tranche B-1 1.834% (LIBOR01M + 1.75%) 3/1/27 • | 205,143 | 202,755 | |
Total Loan Agreements (cost $943,890) | 944,975 | ||
Sovereign Bonds — 0.21% | |||
Croatia — 0.04% | |||
Croatia Government International Bond 144A 5.50% 4/4/23 # | 200,000 | 214,261 | |
214,261 | |||
Nigeria — 0.05% | |||
Nigeria Government International Bond 5.625% 6/27/22 | 250,000 | 256,539 | |
256,539 | |||
Saudi Arabia — 0.05% | |||
Kingdom of Saudi Arabia Sukuk 144A 2.894% 4/20/22 # | 250,000 | 253,313 | |
253,313 |
Principal amount° | Value (US $) | ||
Sovereign Bonds (continued) | |||
Turkey — 0.03% | |||
Turkiye Ihracat Kredi Bankasi 144A 5.75% 7/6/26 # | 200,000 | $ 196,292 | |
196,292 | |||
Uzbekistan — 0.04% | |||
Republic of Uzbekistan International Bonds 144A 4.75% 2/20/24 # | 200,000 | 209,799 | |
209,799 | |||
Total Sovereign Bonds (cost $1,110,474) | 1,130,204 | ||
US Treasury Obligations — 16.99% | |||
US Treasury Notes | |||
0.125% 6/30/23 | 1,300,000 | 1,297,867 | |
0.125% 7/31/23 | 28,520,000 | 28,461,511 | |
0.375% 9/15/24 | 53,470,000 | 53,244,426 | |
2.50% 8/15/23 | 6,895,000 | 7,185,075 | |
Total US Treasury Obligations (cost $90,379,232) | 90,188,879 |
Number of shares | |||
Short-Term Investments — 1.74% | |||
Money Market Mutual Funds — 1.74% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.03%) | 2,311,870 | 2,311,870 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 2,311,870 | 2,311,870 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.03%) | 2,311,870 | 2,311,870 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.03%) | 2,311,870 | 2,311,870 | |
Total Short-Term Investments (cost $9,247,480) | 9,247,480 | ||
Total Value of Securities—99.50% (cost $526,229,904) | 528,331,169 | ||
Receivables and Other Assets Net of Liabilities—0.50%* | 2,656,266 | ||
Net Assets Applicable to 63,705,638 Shares Outstanding—100.00% | $530,987,435 |
° | 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 September 30, 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 September 30, 2021, the aggregate value of Rule 144A securities was $171,499,180, which represents 32.30% of the Fund's net assets. |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 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. |
* | Of this amount, $23,925 represents cash collateral posted for futures contracts. |
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 | ||||||
(30) | US Treasury 5 yr Notes | $(3,682,266) | $(3,701,414) | 12/31/21 | $19,148 | $(2,578) |
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 |
Summary of abbreviations: (continued) |
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 |
LIBOR06M – ICE LIBOR USD 6 Month |
REMIC – Real Estate Mortgage Investment Conduit |
S.F. – Single Family |
SOFR – Secured Overnight Financing Rate |
USD – US Dollar |
yr – Year |