Multi-Sector Bond Portfolio
SCHEDULE OF INVESTMENTS
September 30, 2022 (unaudited)
Common Stocks (0.1%) | Shares/Par + | Value $ (000s) |
||||||
Energy (0.1%) |
||||||||
Constellation Oil - Class B *,Æ,d |
112,235 | 12 | ||||||
Noble Corp. PLC * |
22,787 | 674 | ||||||
Total |
686 | |||||||
Telecommunications (0.0%) |
||||||||
Intelsat Emergence SA *,Æ |
9,427 | 259 | ||||||
Total |
259 | |||||||
Total Common Stocks (Cost: $1,099) |
945 | |||||||
Corporate Bonds (50.6%) | ||||||||
Basic Materials (1.3%) |
||||||||
ALROSA Finance SA |
||||||||
3.100%, 6/25/27 144A j |
8,500,000 | 846 | ||||||
4.650%, 4/9/24 144A j |
500,000 | 50 | ||||||
Georgia-Pacific LLC |
200,000 | 243 | ||||||
INEOS Finance PLC |
||||||||
2.875%, 5/1/26 144A EUR ∞ |
2,700,000 | 2,211 | ||||||
2.875%, 5/1/26 EUR §,∞ |
3,400,000 | 2,784 | ||||||
INEOS Styrolution Group GmbH |
||||||||
2.250%, 1/16/27 144A EUR ∞ |
200,000 | 150 | ||||||
2.250%, 1/16/27 EUR §,∞ |
3,200,000 | 2,407 | ||||||
MMK International Capital DAC |
1,400,000 | 420 | ||||||
Sasol Financing USA LLC |
500,000 | 485 | ||||||
Syngenta Finance NV |
||||||||
4.441%, 4/24/23 144A |
200,000 | 199 | ||||||
4.892%, 4/24/25 144A |
4,709,000 | 4,553 | ||||||
Total |
14,348 | |||||||
Communications (6.1%) |
||||||||
Altice Financing SA |
||||||||
3.000%, 1/15/28 EUR §,∞ |
200,000 | 147 | ||||||
4.250%, 8/15/29 EUR §,∞ |
2,300,000 | 1,741 | ||||||
5.750%, 8/15/29 144A |
5,400,000 | 4,132 | ||||||
Altice France Holding SA |
||||||||
6.000%, 2/15/28 144A |
1,700,000 | 1,078 | ||||||
8.000%, 5/15/27 EUR §,∞ |
1,000,000 | 741 | ||||||
Altice France SA |
||||||||
4.000%, 7/15/29 144A EUR ∞ |
1,850,000 | 1,369 | ||||||
4.000%, 7/15/29 EUR §,∞ |
1,400,000 | 1,036 | ||||||
4.250%, 10/15/29 144A EUR ∞ |
400,000 | 296 | ||||||
5.500%, 10/15/29 144A |
800,000 | 602 | ||||||
8.125%, 2/1/27 144A |
3,200,000 | 2,860 | ||||||
AT&T, Inc. |
||||||||
3.500%, 9/15/53 |
237,000 | 158 | ||||||
3.650%, 9/15/59 |
6,663,000 | 4,317 | ||||||
3.800%, 12/1/57 |
115,000 | 78 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. |
||||||||
4.250%, 2/1/31 144A |
2,500,000 | 1,918 | ||||||
4.500%, 6/1/33 144A |
800,000 | 591 |
Corporate Bonds (50.6%) | Shares/Par + | Value $ (000s) |
||||||
Communications continued |
||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. |
||||||||
4.200%, 3/15/28 |
1,700,000 | 1,526 | ||||||
4.800%, 3/1/50 |
200,000 | 144 | ||||||
5.125%, 7/1/49 |
3,300,000 | 2,419 | ||||||
5.375%, 4/1/38 |
100,000 | 81 | ||||||
CommScope, Inc. |
5,700,000 | 4,649 | ||||||
Connect Finco SARL / Connect US Finco LLC |
1,800,000 | 1,574 | ||||||
Deutsche Telekom International Finance |
475,000 | 544 | ||||||
DISH DBS Corp. |
5,200,000 | 3,930 | ||||||
Iliad Holding SASU |
2,700,000 | 2,361 | ||||||
Intelsat Jackson Holdings SA |
703,000 | 598 | ||||||
Intelsat Jackson Holdings SA - Series A - |
986 | 5 | ||||||
Intelsat Jackson Holdings SA - Series B - |
986 | 4 | ||||||
Intelsat Jackson Holdings SA Escrow |
||||||||
5.500%, 8/1/23 *,Æ |
700,000 | | ||||||
8.500%, 10/15/24 *,Æ |
200,000 | | ||||||
9.750%, 7/15/25 *,Æ |
100,000 | | ||||||
Lumen Technologies, Inc. |
100,000 | 84 | ||||||
Prosus NV |
||||||||
2.778%, 1/19/34 144A EUR ∞ |
500,000 | 336 | ||||||
3.257%, 1/19/27 144A |
500,000 | 419 | ||||||
3.680%, 1/21/30 § |
1,700,000 | 1,274 | ||||||
4.193%, 1/19/32 144A |
500,000 | 367 | ||||||
Sprint Corp. |
||||||||
7.125%, 6/15/24 |
100,000 | 102 | ||||||
7.875%, 9/15/23 |
6,400,000 | 6,465 | ||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC |
1,300,000 | 1,272 | ||||||
Summer (BC) Bidco B LLC |
400,000 | 328 | ||||||
Time Warner Cable LLC |
||||||||
5.875%, 11/15/40 |
300,000 | 247 | ||||||
6.750%, 6/15/39 |
200,000 | 179 | ||||||
United Group BV |
1,000,000 | 683 | ||||||
UPC Broadband Finco BV |
4,800,000 | 3,725 | ||||||
Virgin Media Secured Finance PLC |
||||||||
4.125%, 8/15/30 GBP §,∞ |
1,200,000 | 951 | ||||||
4.250%, 1/15/30 GBP §,∞ |
3,200,000 | 2,606 | ||||||
VMED O2 UK Financing I PLC |
1,200,000 | 886 |
Multi-Sector Bond Portfolio
Corporate Bonds (50.6%) | Shares/Par + | Value $ (000s) |
||||||
Communications continued |
||||||||
4.000%, 1/31/29 144A GBP ∞ |
2,600,000 | 2,185 | ||||||
4.000%, 1/31/29 GBP §,∞ |
500,000 | 420 | ||||||
4.500%, 7/15/31 144A GBP ∞ |
400,000 | 316 | ||||||
4.750%, 7/15/31 144A |
1,100,000 | 849 | ||||||
Vodafone Group PLC |
||||||||
7.000%, (USD 5 Year Swap Rate plus 4.873%), 4/4/79 |
1,700,000 | 1,618 | ||||||
|
|
|||||||
Total |
64,211 | |||||||
|
|
|||||||
Consumer, Cyclical (7.0%) |
||||||||
Adient Global Holdings, Ltd. |
400,000 | 361 | ||||||
Air Canada Pass-Through Trust, |
811,445 | 763 | ||||||
Alaska Airlines Pass-Through Trust, Series 2020-1,
Class A |
168,645 | 159 | ||||||
American Airlines Pass-Through Trust, Series 2014-1,
Class A |
180,088 | 153 | ||||||
American Airlines Pass-Through Trust, Series 2015-1,
Class A |
325,534 | 271 | ||||||
American Airlines Pass-Through Trust, Series 2016-1,
Class AA |
785,817 | 702 | ||||||
American Airlines Pass-Through Trust, Series 2017-2,
Class AA |
156,702 | 137 | ||||||
British Airways Pass-Through Trust, Series 2020-1, Class A |
||||||||
2.900%, 9/15/36 144A |
397,087 | 323 | ||||||
4.250%, 5/15/34 144A |
109,290 | 98 | ||||||
Caesars Entertainment, Inc. |
7,300,000 | 7,044 | ||||||
Ford Motor Credit Co. LLC |
||||||||
1.051%, (Euribor 3 Month ACT/360 plus 0.730%), 11/15/23 EUR ∞ |
100,000 | 95 | ||||||
1.203%, (Euribor 3 Month ACT/360 plus 0.420%), 12/7/22 EUR ∞ |
400,000 | 390 | ||||||
1.320%, (Euribor 3 Month ACT/360 plus 0.700%), 12/1/24 EUR ∞ |
1,300,000 | 1,196 | ||||||
1.744%, 7/19/24 EUR ∞ |
200,000 | 180 | ||||||
2.330%, 11/25/25 EUR ∞ |
100,000 | 86 | ||||||
2.386%, 2/17/26 EUR ∞ |
100,000 | 85 | ||||||
2.748%, 6/14/24 GBP ∞ |
700,000 | 703 | ||||||
3.021%, 3/6/24 EUR ∞ |
900,000 | 842 | ||||||
3.250%, 9/15/25 EUR ∞ |
300,000 | 266 | ||||||
3.625%, 6/17/31 |
2,900,000 | 2,155 | ||||||
3.815%, 11/2/27 |
300,000 | 252 | ||||||
4.134%, 8/4/25 |
200,000 | 181 | ||||||
4.389%, 1/8/26 |
800,000 | 724 | ||||||
4.535%, 3/6/25 GBP ∞ |
100,000 | 100 | ||||||
5.584%, 3/18/24 |
600,000 | 588 | ||||||
General Motors Financial Co., Inc. |
1,200,000 | 1,196 | ||||||
IHO Verwaltungs GmbH |
||||||||
3.625%, 5/15/25 EUR §,∞ |
800,000 | 686 | ||||||
3.750%, 9/15/26 EUR §,∞ |
5,100,000 | 4,111 |
Corporate Bonds (50.6%) | Shares/Par + | Value $ (000s) |
||||||
Consumer, Cyclical continued |
||||||||
Jaguar Land Rover Automotive PLC |
||||||||
4.500%, 7/15/28 EUR §,∞ |
200,000 | 127 | ||||||
5.875%, 11/15/24 EUR §,∞ |
1,900,000 | 1,638 | ||||||
JetBlue Airways Corp. |
811,660 | 721 | ||||||
John Lewis PLC |
1,000,000 | 654 | ||||||
Las Vegas Sands Corp. |
100,000 | 83 | ||||||
Marks & Spencer PLC |
||||||||
4.500%, 7/10/27 GBP §,∞ |
300,000 | 261 | ||||||
6.000%, 6/12/25 GBP §,∞ |
1,000,000 | 1,009 | ||||||
Mattel, Inc. |
100,000 | 89 | ||||||
Melco Resorts Finance, Ltd. |
||||||||
4.875%, 6/6/25 144A |
5,700,000 | 4,219 | ||||||
5.375%, 12/4/29 144A |
700,000 | 423 | ||||||
Mitchells & Butlers Finance PLC |
||||||||
2.410%, (SONIO plus 0.569%), 12/15/30 GBP §,∞ |
956,494 | 979 | ||||||
3.743%, (ICE LIBOR USD 3 Month plus 0.450%), 12/15/30 § |
173,908 | 157 | ||||||
6.469%, 9/15/32 GBP §,∞ |
200,000 | 199 | ||||||
Nissan Motor Acceptance Corp. |
||||||||
2.000%, 3/9/26 144A |
400,000 | 338 | ||||||
Nissan Motor Co., Ltd. |
||||||||
2.652%, 3/17/26 EUR §,∞ |
100,000 | 90 | ||||||
3.201%, 9/17/28 144A EUR ∞ |
500,000 | 419 | ||||||
4.345%, 9/17/27 144A |
6,400,000 | 5,517 | ||||||
4.810%, 9/17/30 144A |
500,000 | 405 | ||||||
Pinnacle Bidco PLC |
||||||||
5.500%, 2/15/25 EUR §,∞ |
100,000 | 85 | ||||||
6.375%, 2/15/25 GBP §,∞ |
400,000 | 380 | ||||||
Renault SA |
||||||||
1.250%, 6/24/25 EUR §,∞ |
900,000 | 763 | ||||||
2.375%, 5/25/26 EUR §,∞ |
4,800,000 | 3,922 | ||||||
Royal Caribbean Cruises, Ltd. |
1,100,000 | 1,119 | ||||||
Sands China, Ltd. |
||||||||
2.800%, 3/8/27 |
400,000 | 318 | ||||||
3.750%, 8/8/31 |
1,100,000 | 789 | ||||||
4.300%, 1/8/26 |
1,700,000 | 1,447 | ||||||
5.900%, 8/8/28 |
3,200,000 | 2,690 | ||||||
Southwest Airlines Co. |
||||||||
5.250%, 5/4/25 |
1,000,000 | 999 | ||||||
Toll Brothers Finance Corp. |
||||||||
4.350%, 2/15/28 |
100,000 | 87 | ||||||
4.875%, 3/15/27 |
1,200,000 | 1,101 | ||||||
Travis Perkins PLC |
||||||||
4.500%, 9/7/23 GBP §,∞ |
1,900,000 | 2,037 | ||||||
United Airlines Pass Through Trust, Series 2014-1,
Class A |
615,541 | 563 | ||||||
United Airlines Pass Through Trust, Series 2019-2,
Class A |
90,448 | 73 | ||||||
United Airlines Pass-Through Trust, Series 2020-1,
Class A |
2,373,976 | 2,290 |
Multi-Sector Bond Portfolio
Corporate Bonds (50.6%) | Shares/Par + | Value $ (000s) |
||||||
Consumer, Cyclical continued |
||||||||
US Airways Pass-Through Trust, Series 2012-1, Class A |
637,893 | 618 | ||||||
Volkswagen Leasing GmbH |
1,800,000 | 1,744 | ||||||
Wynn Macau, Ltd. |
||||||||
4.875%, 10/1/24 144A |
4,100,000 | 3,292 | ||||||
5.125%, 12/15/29 144A |
1,100,000 | 715 | ||||||
5.500%, 1/15/26 144A |
200,000 | 152 | ||||||
5.500%, 1/15/26 § |
500,000 | 379 | ||||||
5.500%, 10/1/27 144A |
200,000 | 138 | ||||||
5.500%, 10/1/27 § |
200,000 | 138 | ||||||
5.625%, 8/26/28 144A |
300,000 | 200 | ||||||
Wynn Resorts Finance LLC / Wynn Resorts Capital Corp. |
||||||||
5.125%, 10/1/29 144A |
800,000 | 647 | ||||||
ZF Europe Finance BV |
2,000,000 | 1,631 | ||||||
ZF Finance GmbH |
||||||||
2.750%, 5/25/27 EUR §,∞ |
4,300,000 | 3,343 | ||||||
3.750%, 9/21/28 EUR §,∞ |
2,000,000 | 1,524 | ||||||
|
|
|||||||
Total |
74,359 | |||||||
|
|
|||||||
Consumer, Non-cyclical (4.2%) |
||||||||
AA Bond Co., Ltd. |
1,200,000 | 1,269 | ||||||
AbbVie, Inc. |
400,000 | 388 | ||||||
Abertis Infraestructuras SA |
||||||||
1.625%, 7/15/29 EUR §,∞ |
500,000 | 400 | ||||||
1.875%, 3/26/32 EUR §,∞ |
600,000 | 456 | ||||||
3.000%, 3/27/31 EUR §,∞ |
600,000 | 509 | ||||||
3.375%, 11/27/26 GBP §,∞ |
2,100,000 | 1,982 | ||||||
Albion Financing 1 SARL / Aggreko Holdings, Inc. |
||||||||
5.250%, 10/15/26 EUR §,∞ |
1,600,000 | 1,341 | ||||||
6.125%, 10/15/26 144A |
300,000 | 254 | ||||||
Allied Universal Holdco LLC / Allied Universal Finance Corp. / Atlas LuxCo 4 SARL |
1,400,000 | 1,020 | ||||||
Atlantia SpA |
||||||||
1.625%, 2/3/25 EUR §,∞ |
1,200,000 | 1,061 | ||||||
1.875%, 7/13/27 EUR §,∞ |
400,000 | 313 | ||||||
1.875%, 2/12/28 EUR §,∞ |
5,500,000 | 4,043 | ||||||
Bacardi, Ltd. |
2,900,000 | 2,709 | ||||||
BAT Capital Corp. |
||||||||
3.222%, 8/15/24 |
100,000 | 96 | ||||||
3.557%, 8/15/27 |
500,000 | 439 | ||||||
Bellis Acquisition Co. PLC |
4,000,000 | 3,361 | ||||||
Centene Corp. |
||||||||
4.250%, 12/15/27 |
200,000 | 183 | ||||||
4.625%, 12/15/29 |
500,000 | 449 | ||||||
CHS / Community Health Systems, Inc. |
700,000 | 606 | ||||||
Constellation Brands, Inc. |
200,000 | 188 | ||||||
Coty, Inc. |
2,500,000 | 2,276 |
Corporate Bonds (50.6%) | Shares/Par + | Value $ (000s) |
||||||
Consumer, Non-cyclical continued |
||||||||
CVS Pass-Through Trust |
||||||||
4.704%, 1/10/36 144A |
361,220 | 329 | ||||||
5.926%, 1/10/34 144A |
603,687 | 597 | ||||||
7.507%, 1/10/32 144A |
60,610 | 64 | ||||||
DaVita, Inc. |
1,900,000 | 1,470 | ||||||
Imperial Brands Finance PLC |
||||||||
3.500%, 7/26/26 144A |
200,000 | 180 | ||||||
6.125%, 7/27/27 144A |
2,200,000 | 2,168 | ||||||
Loxam SAS |
||||||||
2.875%, 4/15/26 EUR §,∞ |
100,000 | 81 | ||||||
3.250%, 1/14/25 EUR §,∞ |
900,000 | 794 | ||||||
Market Bidco Finco PLC |
1,898,000 | 1,470 | ||||||
Nexi SpA |
3,700,000 | 2,738 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. |
||||||||
4.500%, 7/15/29 144A |
600,000 | 597 | ||||||
4.750%, 7/15/31 144A |
900,000 | 882 | ||||||
Organon & Co. / Organon Foreign Debt Co- Issuer BV 2.875%, |
3,500,000 | 2,736 | ||||||
Organon Finance 1 LLC |
||||||||
2.875%, 4/30/28 144A EUR ∞ |
400,000 | 313 | ||||||
4.125%, 4/30/28 144A |
1,100,000 | 940 | ||||||
Perrigo Finance Unlimited Co. |
200,000 | 163 | ||||||
Q-Park Holding I BV |
||||||||
1.500%, 3/1/25 EUR §,∞ |
1,200,000 | 1,017 | ||||||
2.000%, 3/1/27 EUR §,∞ |
2,000,000 | 1,549 | ||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc. |
||||||||
9.750%, 12/1/26 144A |
500,000 | 447 | ||||||
Teva Pharmaceutical Finance Netherlands II BV |
||||||||
4.375%, 5/9/30 EUR ∞ |
2,000,000 | 1,539 | ||||||
4.500%, 3/1/25 EUR ∞ |
800,000 | 737 | ||||||
|
|
|||||||
Total |
44,154 | |||||||
|
|
|||||||
Diversified (0.0%) |
||||||||
Stena International SA |
400,000 | 375 | ||||||
|
|
|||||||
Total |
375 | |||||||
|
|
|||||||
Energy (6.8%) |
||||||||
Aker BP ASA |
400,000 | 340 | ||||||
Blue Racer Midstream LLC / Blue Racer Finance Corp. |
100,000 | 93 | ||||||
Boardwalk Pipelines LP |
200,000 | 161 | ||||||
CGG SA |
||||||||
7.750%, 4/1/27 EUR §,∞ |
200,000 | 166 | ||||||
8.750%, 4/1/27 144A |
3,400,000 | 2,856 | ||||||
Cheniere Corpus Christi Holdings LLC |
100,000 | 97 | ||||||
Cheniere Energy Partners LP |
1,400,000 | 1,174 |
Multi-Sector Bond Portfolio
Corporate Bonds (50.6%) | Shares/Par + | Value $ (000s) |
||||||
Energy continued |
||||||||
Continental Resources, Inc. |
1,400,000 | 1,256 | ||||||
El Paso Natural Gas Co. LLC |
200,000 | 223 | ||||||
Energy Transfer LP |
||||||||
2.900%, 5/15/25 |
100,000 | 93 | ||||||
3.600%, 2/1/23 |
100,000 | 100 | ||||||
3.750%, 5/15/30 |
200,000 | 169 | ||||||
4.950%, 5/15/28 |
1,200,000 | 1,120 | ||||||
5.000%, 5/15/50 |
200,000 | 156 | ||||||
5.250%, 4/15/29 |
100,000 | 94 | ||||||
6.050%, 6/1/41 |
100,000 | 89 | ||||||
6.500%, 2/1/42 |
300,000 | 279 | ||||||
6.625%, 10/15/36 |
500,000 | 475 | ||||||
7.500%, 7/1/38 |
1,700,000 | 1,710 | ||||||
EQT Corp. |
5,500,000 | 5,507 | ||||||
Gray Oak Pipeline LLC |
500,000 | 442 | ||||||
Greenko Solar Mauritius, Ltd. |
1,000,000 | 888 | ||||||
Kinder Morgan Energy Partners LP |
2,382,000 | 2,243 | ||||||
Kinder Morgan, Inc. |
1,216,000 | 1,316 | ||||||
Midwest Connector Capital Co. LLC |
200,000 | 193 | ||||||
MPLX LP |
100,000 | 93 | ||||||
NGPL PipeCo LLC |
3,900,000 | 3,942 | ||||||
Noble Corp. PLC |
||||||||
11.000%, 2/15/28 144A |
32,532 | 36 | ||||||
11.000%, 2/15/28 |
45,537 | 50 | ||||||
NuStar Logistics LP |
||||||||
5.625%, 4/28/27 |
1,400,000 | 1,221 | ||||||
6.000%, 6/1/26 |
200,000 | 183 | ||||||
Occidental Petroleum Corp. |
700,000 | 702 | ||||||
Odebrecht Drilling Norbe VIII/IX, Ltd. |
1,694,036 | 957 | ||||||
Odebrecht Oil & Gas Finance, Ltd. |
782,000 | 1 | ||||||
Patterson-UTI Energy, Inc. |
600,000 | 495 | ||||||
Pertamina Persero PT |
3,800,000 | 3,490 | ||||||
Petrobras Global Finance BV |
||||||||
5.500%, 6/10/51 |
100,000 | 71 | ||||||
6.900%, 3/19/49 |
300,000 | 250 | ||||||
Petroleos de Venezuela SA |
||||||||
5.375%, 4/12/27 §,j |
6,500,000 | 130 | ||||||
5.500%, 4/12/37 §,j |
4,300,000 | 86 | ||||||
Petroleos Mexicanos |
||||||||
2.750%, 4/21/27 EUR §,∞ |
1,100,000 | 756 | ||||||
4.750%, 2/26/29 EUR §,∞ |
3,500,000 | 2,376 | ||||||
4.875%, 2/21/28 EUR §,∞ |
600,000 | 431 | ||||||
5.625%, 1/23/46 |
378,000 | 197 | ||||||
5.950%, 1/28/31 |
4,300,000 | 2,904 | ||||||
6.350%, 2/12/48 |
100,000 | 54 |
Corporate Bonds (50.6%) | Shares/Par + | Value $ (000s) |
||||||
Energy continued |
||||||||
6.625%, 6/15/35 |
4,200,000 | 2,678 | ||||||
6.625%, 6/15/38 |
2,000,000 | 1,170 | ||||||
6.700%, 2/16/32 |
4,536,000 | 3,183 | ||||||
6.750%, 9/21/47 |
2,900,000 | 1,617 | ||||||
7.690%, 1/23/50 |
1,880,000 | 1,151 | ||||||
Petrorio Luxembourg SARL |
200,000 | 180 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. |
||||||||
4.900%, 2/15/45 |
1,100,000 | 807 | ||||||
6.650%, 1/15/37 |
277,000 | 257 | ||||||
Ras Laffan Liquefied Natural Gas Co., Ltd. III |
1,872,890 | 1,881 | ||||||
Regency Energy Partners LP / Regency |
300,000 | 297 | ||||||
Rio Oil Finance Trust, Series 2014-1 |
||||||||
9.250%, 7/6/24 144A |
696,798 | 700 | ||||||
9.250%, 7/6/24 § |
609,698 | 613 | ||||||
Rio Oil Finance Trust, Series 2014-3 |
||||||||
9.750%, 1/6/27 § |
314,332 | 324 | ||||||
SA Global Sukuk, Ltd. |
300,000 | 253 | ||||||
Sabine Pass Liquefaction LLC |
||||||||
4.500%, 5/15/30 |
700,000 | 638 | ||||||
5.625%, 3/1/25 |
4,900,000 | 4,895 | ||||||
5.750%, 5/15/24 |
800,000 | 803 | ||||||
5.875%, 6/30/26 |
400,000 | 400 | ||||||
Santos Finance, Ltd. |
700,000 | 544 | ||||||
Saudi Arabian Oil Co. |
200,000 | 161 | ||||||
Southwestern Energy Co. |
100,000 | 91 | ||||||
Tallgrass Energy Partners LP |
8,400,000 | 7,170 | ||||||
Targa Resources Partners LP / Targa |
1,200,000 | 1,077 | ||||||
Western Midstream Operating, LP |
1,200,000 | 1,119 | ||||||
|
|
|||||||
Total |
71,674 | |||||||
|
|
|||||||
Financial (20.3%) |
||||||||
ADLER Group SA |
||||||||
1.875%, 1/14/26 EUR §,∞ |
1,100,000 | 550 | ||||||
2.750%, 11/13/26 EUR §,∞ |
1,400,000 | 686 | ||||||
ADLER Real Estate AG |
||||||||
2.125%, 2/6/24 EUR §,∞ |
2,288,000 | 1,743 | ||||||
3.000%, 4/27/26 EUR §,∞ |
4,900,000 | 3,311 | ||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust |
||||||||
3.150%, 2/15/24 |
3,600,000 | 3,457 | ||||||
3.650%, 7/21/27 |
500,000 | 437 | ||||||
4.450%, 4/3/26 |
900,000 | 840 | ||||||
4.625%, 10/15/27 |
500,000 | 449 | ||||||
4.875%, 1/16/24 |
1,200,000 | 1,181 | ||||||
Aircastle, Ltd. |
||||||||
2.850%, 1/26/28 144A |
600,000 | 466 | ||||||
4.250%, 6/15/26 |
300,000 | 269 |
Multi-Sector Bond Portfolio
Corporate Bonds (50.6%) | Shares/ Par + |
|||||||
Financial continued |
||||||||
5.250%, 8/11/25 144A |
2,400,000 | 2,259 | ||||||
Ally Financial, Inc. |
||||||||
3.050%, 6/5/23 |
400,000 | 396 | ||||||
8.000%, 11/1/31 |
1,371,000 | 1,437 | ||||||
Antares Holdings LP |
250,000 | 199 | ||||||
Athora Netherlands NV |
||||||||
2.375%, 5/17/24 EUR §,∞ |
700,000 | 665 | ||||||
7.000%, (5 Year EUR Annual Swap Rate plus 6.463%), 6/19/25 EUR §,µ,∞ |
200,000 | 172 | ||||||
Atrium European Real Estate, Ltd. |
3,439,000 | 2,899 | ||||||
Aviation Capital Group LLC |
1,000,000 | 968 | ||||||
Avolon Holdings Funding, Ltd. |
2,173,000 | 1,700 | ||||||
Banca Monte dei Paschi di Siena SpA |
||||||||
1.875%, 1/9/26 EUR §,∞ |
300,000 | 237 | ||||||
2.625%, 4/28/25 EUR §,∞ |
3,300,000 | 2,764 | ||||||
3.625%, 9/24/24 EUR §,∞ |
3,800,000 | 3,371 | ||||||
5.375%, (5 Year EUR Annual Swap Rate plus 5.005%), 1/18/28 EUR §,∞ |
7,100,000 | 3,667 | ||||||
8.000%, (5 Year EUR Annual Swap Rate plus 8.149%), 1/22/30 EUR §,∞ |
500,000 | 269 | ||||||
8.500%, (5 Year EUR Annual Swap Rate plus 8.917%), 9/10/30 EUR §,∞ |
800,000 | 441 | ||||||
Banco Bilbao Vizcaya Argentaria SA |
||||||||
6.000%, (5 Year EUR Annual Swap Rate plus 6.039%), 3/29/24 EUR §,µ,∞ |
1,600,000 | 1,421 | ||||||
6.138%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus |
2,300,000 | 2,220 | ||||||
Banco Bradesco SA |
400,000 | 397 | ||||||
Banco BTG Pactual SA |
500,000 | 475 | ||||||
Banco de Sabadell SA |
||||||||
1.125%, (1 Year EUR Annual Swap Rate plus 1.550%), 3/11/27 EUR §,∞ |
200,000 | 174 | ||||||
1.750%, 5/10/24 EUR §,∞ |
900,000 | 840 | ||||||
Banco do Brasil SA |
900,000 | 870 | ||||||
Banco Votorantim SA |
200,000 | 194 | ||||||
Bank of America Corp. |
||||||||
3.419%, (ICE LIBOR USD 3 Month plus 1.040%), 12/20/28 |
973,000 | 864 | ||||||
5.875%, (ICE LIBOR USD 3 Month plus 2.931%), 3/15/28 µ |
4,500,000 | 3,859 | ||||||
Bank of Ireland Group PLC |
||||||||
6.253%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.650%), 9/16/26 144A |
600,000 | 587 | ||||||
7.500%, (5 Year EUR Annual Swap Rate plus 7.924%), 5/19/25 EUR §,µ,∞ |
1,700,000 | 1,560 | ||||||
Barclays Bank PLC |
488,000 | 488 | ||||||
Barclays PLC |
||||||||
2.279%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.050%), 11/24/27 |
2,100,000 | 1,759 |
Corporate Bonds (50.6%) | Shares/ Par + |
|||||||
Financial continued |
||||||||
2.375%, (GBP Swap Semi-Annual 1 Year plus 1.597%), 10/6/23 GBP §,∞ |
200,000 | 223 | ||||||
3.375%, (1 Year EUR Annual Swap Rate plus 3.700%), 4/2/25 EUR §,∞ |
1,200,000 | 1,160 | ||||||
5.501%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.650%), 8/9/28 |
3,000,000 | 2,812 | ||||||
6.125%, (US Treasury Yield Curve Rate |
500,000 | 421 | ||||||
BNP Paribas SA |
||||||||
1.904%, (US SOFR plus 1.609%), 9/30/28 144A |
1,700,000 | 1,372 | ||||||
2.219%, (US SOFR plus 2.074%), 6/9/26 144A |
200,000 | 180 | ||||||
4.705%, (ICE LIBOR USD 3 Month plus 2.235%), 1/10/25 144A |
5,800,000 | 5,710 | ||||||
BPCE SA |
200,000 | 185 | ||||||
CaixaBank SA |
||||||||
6.750%, (5 Year EUR Annual Swap Rate plus 6.498%), 6/13/24 EUR §,µ,∞ |
200,000 | 180 | ||||||
Cantor Fitzgerald LP |
100,000 | 98 | ||||||
Chubb INA Holdings, Inc. |
200,000 | 172 | ||||||
Citigroup, Inc. |
200,000 | 178 | ||||||
3.400%, 5/1/26 |
400,000 | 373 | ||||||
Corestate Capital Holding SA |
700,000 | 138 | ||||||
Country Garden Holdings Co., Ltd. |
||||||||
3.125%, 10/22/25 § |
3,700,000 | 1,182 | ||||||
5.125%, 1/14/27 § |
1,200,000 | 348 | ||||||
CPI Property Group SA |
700,000 | 538 | ||||||
Credit Agricole SA |
500,000 | 447 | ||||||
Credit Suisse AG |
||||||||
6.500%, 8/8/23 144A |
7,400,000 | 7,304 | ||||||
6.500%, 8/8/23 § |
1,700,000 | 1,678 | ||||||
DAE Sukuk DIFC, Ltd. |
1,000,000 | 920 | ||||||
Deutsche Bank AG |
||||||||
1.375%, (Euribor 3 Month ACT/360 plus 1.500%), 2/17/32 EUR §,∞ |
2,500,000 | 1,712 | ||||||
1.625%, 1/20/27 EUR §,∞ |
100,000 | 83 | ||||||
1.750%, (Euribor 3 Month ACT/360 plus 2.050%), 11/19/30 EUR §,∞ |
6,700,000 | 4,963 | ||||||
3.035%, (US SOFR plus 1.718%), 5/28/32 |
200,000 | 143 | ||||||
3.547%, (US SOFR plus 3.043%), 9/18/31 |
1,300,000 | 991 | ||||||
3.729%, (US SOFR plus 2.757%), 1/14/32 |
3,300,000 | 2,222 | ||||||
3.742%, (US SOFR plus 2.257%), 1/7/33 |
700,000 | 454 | ||||||
3.961%, (US SOFR plus 2.581%), 11/26/25 |
600,000 | 560 | ||||||
5.625%, (5 Year EUR Annual Swap Rate plus 6.000%), 5/19/31 EUR §,∞ |
2,600,000 | 2,424 | ||||||
5.882%, (US SOFR plus 5.438%), 7/8/31 |
400,000 | 320 | ||||||
Fairfax Financial Holdings, Ltd. |
||||||||
2.750%, 3/29/28 144A EUR ∞ |
500,000 | 430 | ||||||
2.750%, 3/29/28 EUR §,∞ |
1,200,000 | 1,032 |
Multi-Sector Bond Portfolio
Corporate Bonds (50.6%) | Shares/ Par + |
|||||||
Financial continued |
||||||||
Fidelity National Financial, Inc. |
200,000 | 163 | ||||||
Freedom Mortgage Corp. |
||||||||
6.625%, 1/15/27 144A |
500,000 | 356 | ||||||
7.625%, 5/1/26 144A |
2,100,000 | 1,568 | ||||||
8.125%, 11/15/24 144A |
3,560,000 | 3,115 | ||||||
8.250%, 4/15/25 144A |
782,000 | 646 | ||||||
Globalworth Real Estate Investments, Ltd. |
3,900,000 | 3,334 | ||||||
GLP Capital LP / GLP Financing II, Inc. |
||||||||
3.350%, 9/1/24 |
100,000 | 95 | ||||||
5.750%, 6/1/28 |
400,000 | 375 | ||||||
The Goldman Sachs Group, Inc. |
||||||||
2.125%, 9/30/24 EUR §,∞ |
1,200,000 | 1,146 | ||||||
3.375%, 3/27/25 EUR §,∞ |
200,000 | 195 | ||||||
Growthpoint Properties International Pty, Ltd. |
||||||||
5.872%, 5/2/23 144A |
300,000 | 298 | ||||||
5.872%, 5/2/23 § |
5,800,000 | 5,756 | ||||||
HSBC Holdings PLC |
||||||||
1.645%, (US SOFR plus 1.538%), 4/18/26 |
200,000 | 178 | ||||||
2.099%, (US SOFR plus 1.929%), 6/4/26 |
200,000 | 179 | ||||||
2.804%, (US SOFR plus 1.187%), 5/24/32 |
3,300,000 | 2,425 | ||||||
3.900%, 5/25/26 |
2,600,000 | 2,437 | ||||||
3.973%, (ICE LIBOR USD 3 Month plus 1.610%), 5/22/30 |
4,900,000 | 4,147 | ||||||
4.300%, 3/8/26 |
3,000,000 | 2,874 | ||||||
Huarong Finance 2019 Co., Ltd. |
||||||||
2.125%, 9/30/23 § |
1,100,000 | 1,034 | ||||||
2.500%, 2/24/23 § |
800,000 | 784 | ||||||
4.105%, (ICE LIBOR USD 3 Month plus 1.125%), 2/24/23 § |
3,800,000 | 3,729 | ||||||
ING Groep NV |
||||||||
5.750%, (US Treasury Yield Curve Rate |
1,800,000 | 1,547 | ||||||
6.750%, (5 Year ICE Swap Rate plus 4.204%), 4/16/24 §,µ |
900,000 | 845 | ||||||
Intesa Sanpaolo SpA |
||||||||
3.250%, 9/23/24 144A |
300,000 | 282 | ||||||
4.000%, 9/23/29 144A |
200,000 | 165 | ||||||
5.017%, 6/26/24 144A |
2,700,000 | 2,517 | ||||||
5.500%, (5 Year EUR Annual Swap Rate plus 5.848%), 3/1/28 EUR §,µ,∞ |
4,050,000 | 2,922 | ||||||
5.875%, (5 Year EUR Annual Swap Rate plus 6.086%), 9/1/31 EUR §,µ,∞ |
900,000 | 626 | ||||||
Jefferies Finance LLC / JFIN Co-Issuer Corp. |
1,500,000 | 1,106 | ||||||
Kaisa Group Holdings, Ltd. |
||||||||
9.375%, 6/30/24 §,j |
400,000 | 42 | ||||||
9.750%, 9/28/23 §,j |
600,000 | 63 | ||||||
10.500%, 1/15/25 §,j |
1,100,000 | 116 | ||||||
10.875%, 7/23/23 §,j |
400,000 | 42 | ||||||
11.250%, 4/16/25 §,j |
3,500,000 | 374 | ||||||
11.650%, 6/1/26 §,j |
1,000,000 | 104 | ||||||
Kennedy Wilson, Inc. |
1,800,000 | 1,335 | ||||||
LeasePlan Corp. NV |
300,000 | 281 | ||||||
Liberty Mutual Finance Europe DAC |
100,000 | 96 |
Corporate Bonds (50.6%) | Shares/ Par + |
|||||||
Financial continued |
||||||||
Lincoln Financing SARL |
6,000,000 | 5,669 | ||||||
Lloyds Banking Group PLC |
||||||||
3.511%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.600%), 3/18/26 |
200,000 | 187 | ||||||
3.750%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.800%), 3/18/28 |
2,500,000 | 2,247 | ||||||
4.450%, 5/8/25 |
2,800,000 | 2,704 | ||||||
4.976%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 8/11/33 |
200,000 | 175 | ||||||
Logicor Financing SARL |
600,000 | 513 | ||||||
Marsh & McLennan Cos., Inc. |
100,000 | 89 | ||||||
Morgan Stanley |
3,600,000 | 3,484 | ||||||
Nationwide Building Society |
||||||||
4.363%, (ICE LIBOR USD 3 Month plus 1.392%), 8/1/24 144A |
4,500,000 | 4,435 | ||||||
NatWest Group PLC |
||||||||
2.500%, 3/22/23 EUR §,∞ |
100,000 | 98 | ||||||
4.519%, (ICE LIBOR USD 3 Month plus 1.550%), 6/25/24 |
200,000 | 198 | ||||||
4.800%, 4/5/26 |
2,800,000 | 2,685 | ||||||
4.892%, (ICE LIBOR USD 3 Month plus 1.754%), 5/18/29 |
3,700,000 | 3,368 | ||||||
6.000%, (US Treasury Yield Curve Rate T Note Constant Maturity 5 year plus 5.625%), 12/29/25 µ |
500,000 | 436 | ||||||
New Metro Global, Ltd. |
1,700,000 | 544 | ||||||
NN Group NV |
2,600,000 | 2,365 | ||||||
OMEGA Healthcare Investors, Inc. |
||||||||
4.500%, 1/15/25 |
100,000 | 97 | ||||||
4.950%, 4/1/24 |
100,000 | 99 | ||||||
OneMain Finance Corp. |
||||||||
3.500%, 1/15/27 |
1,100,000 | 857 | ||||||
4.000%, 9/15/30 |
700,000 | 491 | ||||||
6.125%, 3/15/24 |
2,500,000 | 2,408 | ||||||
6.875%, 3/15/25 |
1,900,000 | 1,786 | ||||||
7.125%, 3/15/26 |
1,400,000 | 1,262 | ||||||
Pacific Life Global Funding II |
200,000 | 180 | ||||||
Park Aerospace Holdings, Ltd. |
||||||||
4.500%, 3/15/23 144A |
3,900,000 | 3,877 | ||||||
5.500%, 2/15/24 144A |
112,000 | 110 | ||||||
RLJ Lodging Trust LP |
200,000 | 171 | ||||||
Santander UK Group Holdings PLC |
||||||||
2.003%, (Euribor 3 Month ACT/360 plus 0.850%), 3/27/24 EUR §,∞ |
400,000 | 392 | ||||||
2.896%, (US SOFR plus 1.475%), 3/15/32 |
800,000 | 595 | ||||||
3.823%, (ICE LIBOR USD 3 Month plus 1.400%), 11/3/28 |
4,000,000 | 3,436 | ||||||
6.750%, (GBP Swap Semi-Annual 5 Year plus 5.792%), 6/24/24 GBP §,µ,∞ |
1,390,000 | 1,428 |
Multi-Sector Bond Portfolio
Corporate Bonds (50.6%) | Shares/ Par + |
|||||||
Financial continued |
||||||||
Sberbank of Russia Via SB Capital SA |
4,500,000 | 540 | ||||||
Seazen Group, Ltd. |
200,000 | 85 | ||||||
Service Properties Trust |
200,000 | 177 | ||||||
4.750%, 10/1/26 |
4,900,000 | 3,698 | ||||||
Sitka Holdings LLC |
||||||||
8.174%, (ICE LIBOR USD 3 Month plus 4.500%), 7/6/26 144A |
600,000 | 574 | ||||||
Societe Generale SA |
||||||||
7.375%, (USD 5 Year Swap Rate plus 4.302%), 10/4/23 144A µ |
300,000 | 273 | ||||||
7.875%, (USD 5 Year Swap Rate plus 4.979%), 12/29/49 144A µ |
200,000 | 192 | ||||||
Sunac China Holdings, Ltd. |
||||||||
5.950%, 4/26/24 §,j |
2,000,000 | 280 | ||||||
6.650%, 8/3/24 §,j |
600,000 | 85 | ||||||
7.250%, 6/14/22 §,j |
2,600,000 | 366 | ||||||
8.350%, 4/19/23 §,j |
1,600,000 | 225 | ||||||
Tesco Property Finance 3 PLC |
92,570 | 90 | ||||||
Tesco Property Finance 6 PLC |
2,570,197 | 2,403 | ||||||
TP ICAP PLC |
3,700,000 | 3,928 | ||||||
Trust Fibra Uno |
200,000 | 140 | ||||||
UBS Group AG |
||||||||
4.703%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.050%), 8/5/27 144A |
400,000 | 379 | ||||||
UBS Group Funding AG |
300,000 | 286 | ||||||
UniCredit SpA |
||||||||
2.200%, (Euribor 3 Month ACT/360 plus 2.550%), 7/22/27 EUR §,∞ |
300,000 | 257 | ||||||
2.569%, (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.300%), 9/22/26 144A |
2,900,000 | 2,485 | ||||||
7.296%, (USD 5 Year Swap Rate plus 4.914%), 4/2/34 144A |
5,700,000 | 4,837 | ||||||
7.830%, 12/4/23 144A |
5,650,000 | 5,691 | ||||||
The Unique Pub Finance Co. PLC |
210,880 | 234 | ||||||
Virgin Money UK PLC |
||||||||
3.125%, (6 Month GBP-LIBOR plus 2.569%), 6/22/25 GBP §,∞ |
100,000 | 103 | ||||||
3.375%, (1 Year GBP Swap Rate plus 2.145%), 4/24/26 GBP §,∞ |
100,000 | 98 | ||||||
4.000%, (1 Year UK Gilts plus 2.800%), 9/25/26 GBP §,∞ |
500,000 | 494 | ||||||
4.000%, (1 Year UK Gilts plus 3.750%), 9/3/27 GBP §,∞ |
200,000 | 189 | ||||||
Vonovia Finance BV |
300,000 | 297 | ||||||
Wells Fargo & Co. |
1,500,000 | 1,280 | ||||||
Weyerhaeuser Co. |
424,000 | 457 |
Corporate Bonds (50.6%) | Shares/ Par + |
|||||||
Financial continued |
||||||||
Yango Justice International, Ltd. |
||||||||
7.500%, 4/15/24 §,j |
4,200,000 | 185 | ||||||
7.875%, 9/4/24 §,j |
600,000 | 30 | ||||||
|
|
|||||||
Total |
215,535 | |||||||
|
|
|||||||
Industrial (2.5%) |
||||||||
Berry Global, Inc. |
100,000 | 87 | ||||||
Constellation Oil Services Holding SA |
100,335 | 80 | ||||||
DAE Funding LLC |
||||||||
1.550%, 8/1/24 144A |
1,700,000 | 1,553 | ||||||
1.625%, 2/15/24 144A |
1,000,000 | 932 | ||||||
2.625%, 3/20/25 144A |
500,000 | 457 | ||||||
3.375%, 3/20/28 144A |
700,000 | 593 | ||||||
3.375%, 3/20/28 § |
200,000 | 169 | ||||||
Empresa de Transporte de Pasajeros Metro SA |
1,400,000 | 1,055 | ||||||
Flex, Ltd. |
700,000 | 650 | ||||||
Fortress Transportation & Infrastructure |
||||||||
5.500%, 5/1/28 144A |
400,000 | 320 | ||||||
6.500%, 10/1/25 144A |
4,818,000 | 4,526 | ||||||
GE Capital UK Funding Unlimited Co. |
800,000 | 827 | ||||||
General Electric Co. |
500,000 | 465 | ||||||
Lima Metro Line 2 Finance, Ltd. |
288,037 | 272 | ||||||
The Manitowoc Co., Inc. |
6,200,000 | 5,639 | ||||||
Rolls-Royce PLC |
||||||||
0.875%, 5/9/24 EUR §,∞ |
5,300,000 | 4,738 | ||||||
4.625%, 2/16/26 EUR §,∞ |
1,600,000 | 1,433 | ||||||
5.750%, 10/15/27 144A |
200,000 | 174 | ||||||
5.750%, 10/15/27 GBP §,∞ |
100,000 | 96 | ||||||
SMBC Aviation Capital Finance DAC |
200,000 | 158 | ||||||
Standard Industries, Inc. |
||||||||
2.250%, 11/21/26 144A EUR ∞ |
1,300,000 | 994 | ||||||
2.250%, 11/21/26 EUR §,∞ |
1,300,000 | 994 | ||||||
|
|
|||||||
Total |
26,212 | |||||||
|
|
|||||||
Technology (1.1%) |
||||||||
Broadcom, Inc. |
700,000 | 528 | ||||||
Dell International LLC / EMC Corp. |
||||||||
5.300%, 10/1/29 |
4,300,000 | 4,006 | ||||||
5.450%, 6/15/23 |
293,000 | 294 | ||||||
6.020%, 6/15/26 |
400,000 | 402 | ||||||
8.100%, 7/15/36 |
162,000 | 171 | ||||||
NXP BV / NXP Funding LLC |
||||||||
4.875%, 3/1/24 |
1,700,000 | 1,680 | ||||||
5.350%, 3/1/26 |
1,600,000 | 1,580 | ||||||
Seagate HDD Cayman |
1,800,000 | 1,351 | ||||||
VMware, Inc. |
||||||||
4.500%, 5/15/25 |
300,000 | 293 | ||||||
4.650%, 5/15/27 |
1,400,000 | 1,337 |
Multi-Sector Bond Portfolio
Corporate Bonds (50.6%) | Shares/ Par + | Value $ (000s) |
||||||
Technology continued |
||||||||
4.700%, 5/15/30 |
100,000 | 90 | ||||||
|
|
|||||||
Total |
11,732 | |||||||
|
|
|||||||
Utilities (1.3%) |
||||||||
Adani Electricity Mumbai, Ltd. |
300,000 | 226 | ||||||
Centrais Eletricas Brasileiras SA |
300,000 | 251 | ||||||
Edison International |
100,000 | 98 | ||||||
Electricite de France SA |
900,000 | 840 | ||||||
FEL Energy VI SARL |
3,108,232 | 2,128 | ||||||
Nakilat, Inc. |
||||||||
6.067%, 12/31/33 § |
920,080 | 920 | ||||||
6.267%, 12/31/33 144A |
464,429 | 471 | ||||||
National Fuel Gas Co. |
300,000 | 296 | ||||||
NPC Ukrenergo |
800,000 | 153 | ||||||
Pacific Gas & Electric Co. |
||||||||
2.100%, 8/1/27 |
100,000 | 81 | ||||||
2.500%, 2/1/31 |
100,000 | 73 | ||||||
2.950%, 3/1/26 |
100,000 | 88 | ||||||
3.150%, 1/1/26 |
1,600,000 | 1,438 | ||||||
3.250%, 6/15/23 |
100,000 | 99 | ||||||
3.300%, 3/15/27 |
200,000 | 173 | ||||||
3.300%, 12/1/27 |
500,000 | 421 | ||||||
3.300%, 8/1/40 |
2,700,000 | 1,728 | ||||||
3.450%, 7/1/25 |
300,000 | 279 | ||||||
3.500%, 6/15/25 |
1,500,000 | 1,352 | ||||||
3.750%, 7/1/28 |
100,000 | 84 | ||||||
4.200%, 6/1/41 |
100,000 | 69 | ||||||
4.250%, 8/1/23 |
200,000 | 198 | ||||||
4.250%, 3/15/46 |
100,000 | 67 | ||||||
4.450%, 4/15/42 |
300,000 | 211 | ||||||
4.550%, 7/1/30 |
500,000 | 429 | ||||||
Perusahaan Listrik Negara PT |
1,500,000 | 1,163 | ||||||
|
|
|||||||
Total |
13,336 | |||||||
|
|
|||||||
Total Corporate Bonds (Cost: $706,549) |
|
535,936 | ||||||
|
|
|||||||
Convertible Corporate Bonds (0.1%) | ||||||||
Financial (0.1%) |
||||||||
Corestate Capital Holding SA |
5,700,000 | 1,173 | ||||||
|
|
|||||||
Total |
1,173 | |||||||
|
|
|||||||
Total Convertible Corporate Bonds (Cost: $6,594) |
|
1,173 | ||||||
|
|
|||||||
Governments (14.3%) | ||||||||
Governments (14.3%) |
||||||||
Abu Dhabi Government International Bond |
||||||||
2.700%, 9/2/70 144A |
3,700,000 | 2,229 | ||||||
2.700%, 9/2/70 § |
900,000 | 542 | ||||||
3.875%, 4/16/50 § |
1,500,000 | 1,222 |
Governments (14.3%) | Shares/ Par + | Value $ (000s) |
||||||
Governments continued |
||||||||
Albania Government International Bond |
1,400,000 | 1,187 | ||||||
Arab Republic of Egypt |
||||||||
5.625%, 4/16/30 144A EUR ∞ |
1,550,000 | 879 | ||||||
7.500%, 2/16/61 144A |
1,900,000 | 977 | ||||||
Argentine Republic Government International Bond |
||||||||
1.000%, 7/9/29 |
405,455 | 78 | ||||||
1.750%, 7/9/30 Σ |
866,857 | 173 | ||||||
4.875%, 7/9/41 Σ |
13,420,196 | 2,858 | ||||||
5.000%, 7/9/35 Σ |
5,922,164 | 1,075 | ||||||
Australian Government |
2,400,000 | 1,567 | ||||||
Banque Ouest Africaine de Developpement |
500,000 | 358 | ||||||
Brazilian Government International Bond |
1,000,000 | 726 | ||||||
Colombia Government International Bond |
||||||||
5.000%, 6/15/45 |
6,000,000 | 3,632 | ||||||
5.200%, 5/15/49 |
200,000 | 123 | ||||||
Dominican Republic International Bond |
||||||||
4.875%, 9/23/32 144A |
550,000 | 413 | ||||||
4.875%, 9/23/32 § |
1,700,000 | 1,278 | ||||||
6.500%, 2/15/48 144A |
2,800,000 | 2,062 | ||||||
6.500%, 2/15/48 § |
2,800,000 | 2,062 | ||||||
6.875%, 1/29/26 § |
500,000 | 487 | ||||||
Ecuador Government International Bond |
||||||||
0.010%, 7/31/30 144A |
323,958 | 93 | ||||||
6.900%, 7/31/35 144A |
2,674,620 | 880 | ||||||
6.900%, 7/31/40 144A |
1,225,800 | 359 | ||||||
Egypt Government International Bond |
||||||||
6.375%, 4/11/31 EUR §,∞ |
2,500,000 | 1,421 | ||||||
7.500%, 2/16/61 § |
800,000 | 411 | ||||||
Export-Import Bank of India |
600,000 | 555 | ||||||
Federal Republic of Nigeria |
||||||||
7.625%, 11/28/47 § |
700,000 | 388 | ||||||
7.696%, 2/23/38 § |
600,000 | 349 | ||||||
7.875%, 2/16/32 § |
2,800,000 | 1,793 | ||||||
Ghana Government International Bond |
||||||||
8.125%, 3/26/32 § |
400,000 | 149 | ||||||
8.950%, 3/26/51 § |
800,000 | 294 | ||||||
Ivory Coast Government International Bond |
||||||||
5.250%, 3/22/30 EUR §,∞ |
500,000 | 357 | ||||||
5.875%, 10/17/31 144A EUR ∞ |
300,000 | 212 | ||||||
6.625%, 3/22/48 144A EUR ∞ |
900,000 | 518 | ||||||
6.625%, 3/22/48 EUR §,∞ |
800,000 | 461 | ||||||
6.875%, 10/17/40 144A EUR ∞ |
400,000 | 245 | ||||||
6.875%, 10/17/40 EUR §,∞ |
100,000 | 61 | ||||||
Kingdom of Jordan |
||||||||
4.950%, 7/7/25 144A |
300,000 | 276 | ||||||
5.850%, 7/7/30 144A |
400,000 | 325 | ||||||
Morocco Government International Bond |
||||||||
4.000%, 12/15/50 144A |
500,000 | 285 | ||||||
5.500%, 12/11/42 § |
800,000 | 588 | ||||||
North Macedonia |
500,000 | 428 | ||||||
Oman Government International Bond |
||||||||
6.000%, 8/1/29 § |
900,000 | 838 | ||||||
6.250%, 1/25/31 144A |
2,300,000 | 2,142 |
Multi-Sector Bond Portfolio
Governments (14.3%) | Shares/ Par + | Value $ (000s) |
||||||
Governments continued |
||||||||
6.500%, 3/8/47 § |
500,000 | 391 | ||||||
6.750%, 1/17/48 § |
4,800,000 | 3,843 | ||||||
Panama Government International Bond |
||||||||
6.700%, 1/26/36 |
1,900,000 | 1,866 | ||||||
8.125%, 4/28/34 |
100,000 | 117 | ||||||
Provincia de Buenos Aires |
||||||||
37.463%, (Argentina Private Banks Deposit Rates Index plus 3.750%), 4/12/25 144A ARS §,∞ |
740,000 | 3 | ||||||
Republic of Belarus Ministry of Finance |
600,000 | 147 | ||||||
Republic of Indonesia |
||||||||
0.900%, 2/14/27 EUR ∞ |
1,700,000 | 1,419 | ||||||
1.400%, 10/30/31 EUR ∞ |
1,900,000 | 1,385 | ||||||
1.450%, 9/18/26 EUR ∞ |
700,000 | 610 | ||||||
3.375%, 7/30/25 144A EUR ∞ |
800,000 | 769 | ||||||
3.750%, 6/14/28 144A EUR ∞ |
1,900,000 | 1,771 | ||||||
3.750%, 6/14/28 EUR §,∞ |
2,200,000 | 2,051 | ||||||
4.625%, 4/15/43 § |
2,700,000 | 2,290 | ||||||
5.125%, 1/15/45 § |
1,800,000 | 1,574 | ||||||
Republic of Paraguay |
||||||||
5.600%, 3/13/48 § |
600,000 | 450 | ||||||
6.100%, 8/11/44 § |
300,000 | 248 | ||||||
Republic of Peru |
2,700,000 | 1,862 | ||||||
Republic of Serbia |
700,000 | 379 | ||||||
Republic of South Africa Government International Bond |
||||||||
4.850%, 9/30/29 |
1,200,000 | 990 | ||||||
4.875%, 4/14/26 |
600,000 | 559 | ||||||
5.000%, 10/12/46 |
500,000 | 304 | ||||||
5.750%, 9/30/49 |
4,500,000 | 2,887 | ||||||
Romanian Government International Bond |
||||||||
2.000%, 4/14/33 144A EUR ∞ |
1,400,000 | 810 | ||||||
2.875%, 4/13/42 144A EUR ∞ |
500,000 | 251 | ||||||
4.125%, 3/11/39 EUR §,∞ |
1,500,000 | 956 | ||||||
Russian Federation |
||||||||
4.250%, 6/23/27 144A j |
200,000 | 96 | ||||||
4.250%, 6/23/27 §,j |
1,200,000 | 576 | ||||||
4.750%, 5/27/26 §,j |
1,600,000 | 768 | ||||||
5.250%, 6/23/47 144A j |
200,000 | 96 | ||||||
5.250%, 6/23/47 §,j |
2,400,000 | 1,152 | ||||||
5.625%, 4/4/42 144A §,j |
200,000 | 106 | ||||||
5.625%, 4/4/42 j |
200,000 | 106 | ||||||
5.875%, 9/16/43 144A j |
200,000 | 106 | ||||||
Saudi International Bond |
||||||||
2.900%, 10/22/25 § |
300,000 | 285 | ||||||
4.000%, 4/17/25 § |
3,900,000 | 3,816 | ||||||
4.500%, 10/26/46 § |
9,300,000 | 7,847 | ||||||
Sri Lanka Government International Bond |
||||||||
7.550%, 3/28/30 §,j |
1,600,000 | 392 | ||||||
7.850%, 3/14/29 §,j |
500,000 | 122 | ||||||
State Agency of Roads of Ukraine |
||||||||
6.250%, 6/24/30 § |
1,200,000 | 220 | ||||||
State of Minas Gerais |
||||||||
5.333%, 2/15/28 § |
120,000 | 116 | ||||||
State of Qatar |
||||||||
4.400%, 4/16/50 144A |
1,200,000 | 1,055 | ||||||
4.400%, 4/16/50 § |
2,400,000 | 2,109 |
Governments (14.3%) | Shares/ Par + | Value $ (000s) |
||||||
Governments continued |
||||||||
4.500%, 4/23/28 § |
1,100,000 | 1,086 | ||||||
4.817%, 3/14/49 § |
800,000 | 740 | ||||||
5.103%, 4/23/48 § |
1,200,000 | 1,161 | ||||||
Turkey Government International Bond |
||||||||
4.875%, 4/16/43 |
1,900,000 | 1,070 | ||||||
5.750%, 5/11/47 |
4,400,000 | 2,636 | ||||||
Ukraine Government International Bond |
||||||||
4.375%, 1/27/32 144A EUR ∞ |
1,600,000 | 285 | ||||||
4.375%, 1/27/32 EUR §,∞ |
1,700,000 | 302 | ||||||
6.750%, 6/20/28 144A EUR ∞ |
600,000 | 112 | ||||||
6.876%, 5/21/31 144A |
900,000 | 162 | ||||||
7.375%, 9/25/34 § |
300,000 | 55 | ||||||
8.994%, 2/1/26 144A |
1,000,000 | 207 | ||||||
United Mexican States |
||||||||
2.125%, 10/25/51 EUR ∞ |
1,000,000 | 502 | ||||||
3.771%, 5/24/61 |
5,400,000 | 3,185 | ||||||
US Treasury |
||||||||
1.875%, 8/31/24 b |
7,310,000 | 6,990 | ||||||
2.125%, 3/31/24 b |
3,970,000 | 3,844 | ||||||
2.125%, 11/30/24 b |
3,400,000 | 3,250 | ||||||
2.250%, 11/15/24 |
15,910,000 | 15,261 | ||||||
2.375%, 8/15/24 b |
3,700,000 | 3,573 | ||||||
2.500%, 1/31/24 |
10,590,000 | 10,339 | ||||||
2.750%, 2/15/24 b |
8,700,000 | 8,513 | ||||||
2.875%, 11/30/23 b |
4,230,000 | 4,160 | ||||||
Venezuela Government International Bond |
||||||||
6.000%, 12/9/49 §,j |
32,000 | 2 | ||||||
7.000%, 3/31/38 §,j |
204,000 | 15 | ||||||
7.650%, 4/21/25 §,j |
1,955,000 | 137 | ||||||
8.250%, 10/13/24 §,j |
356,000 | 25 | ||||||
9.000%, 5/7/23 §,j |
32,000 | 2 | ||||||
9.250%, 5/7/28 §,j |
1,241,000 | 94 | ||||||
9.375%, 1/13/34 j |
1,400,000 | 106 | ||||||
|
|
|||||||
Total |
152,070 | |||||||
|
|
|||||||
Total Governments (Cost: $209,035) |
152,070 | |||||||
|
|
|||||||
Municipal Bonds (0.7%) | ||||||||
Municipal Bonds (0.7%) |
||||||||
American Municipal Power, Inc. |
||||||||
7.834%, 2/15/41 RB |
100,000 | 123 | ||||||
Bay Area Toll Authority, California, Series 2010 |
||||||||
6.918%, 4/1/40 RB |
200,000 | 231 | ||||||
City of Riverside California Electric Revenue |
||||||||
7.605%, 10/1/40 RB |
200,000 | 248 | ||||||
Golden State Tobacco Securitization Corp. |
||||||||
3.850%, 6/1/50 RB |
3,030,000 | 2,628 | ||||||
Irvine Ranch California Water District |
||||||||
6.622%, 5/1/40 RB |
100,000 | 113 | ||||||
Los Angeles County California Public Works Financing Authority |
||||||||
7.618%, 8/1/40 RB |
200,000 | 249 | ||||||
Metropolitan Government of Nashville & Davidson County Tennessee |
||||||||
6.568%, 7/1/37 RB |
100,000 | 115 | ||||||
Municipal Electric Authority of Georgia |
||||||||
6.655%, 4/1/57 RB |
96,000 | 106 | ||||||
New York City Transitional Finance Authority |
||||||||
5.508%, 8/1/37 RB |
300,000 | 306 |
Multi-Sector Bond Portfolio
Municipal Bonds (0.7%) | Shares/ Par + | Value $ (000s) |
||||||
Municipal Bonds continued |
||||||||
New York State Urban Development Corp. |
100,000 | 103 | ||||||
Port Authority of New York & New Jersey, |
||||||||
Series 165 5.647%, 11/1/40 RB |
1,100,000 | 1,142 | ||||||
Port Authority of New York & New Jersey, |
||||||||
Series 168 4.926%, 10/1/51 RB |
200,000 | 192 | ||||||
State of Illinois |
||||||||
6.630%, 2/1/35 GO |
245,000 | 249 | ||||||
6.725%, 4/1/35 GO |
95,000 | 98 | ||||||
7.350%, 7/1/35 GO |
185,714 | 197 | ||||||
Triborough Bridge & Tunnel Authority |
||||||||
5.550%, 11/15/40 RB |
800,000 | 816 | ||||||
|
|
|||||||
Total Municipal Bonds (Cost: $6,883) |
6,916 | |||||||
|
|
|||||||
Structured Products (10.3%) | ||||||||
Asset Backed Securities (8.9%) |
||||||||
ABFC Trust, Series 2007-WMC1, Class A1A |
||||||||
4.334%, (ICE LIBOR USD 1 Month plus 1.250%), 6/25/37 |
8,567,385 | 6,249 | ||||||
Accredited Mortgage Loan Trust, Series 2005-3, Class M3 |
||||||||
3.804%, (ICE LIBOR USD 1 Month plus 0.720%), 9/25/35 |
122,357 | 121 | ||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Class M1 |
||||||||
3.984%, (ICE LIBOR USD 1 Month plus 0.900%), 12/25/34 |
55,676 | 50 | ||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2004-RM2, Class M2 |
||||||||
3.879%, (ICE LIBOR USD 1 Month plus 0.795%), 1/25/35 |
38,289 | 35 | ||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE4, Class M4 |
||||||||
4.059%, (ICE LIBOR USD 1 Month plus 0.975%), 7/25/35 |
17,844 | 18 | ||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2006-FM1, Class A2C |
||||||||
3.384%, (ICE LIBOR USD 1 Month plus 0.300%), 7/25/36 |
7,163,267 | 2,043 | ||||||
Aegis Asset Backed Securities Trust, Series 2004-6, Class M2 |
||||||||
4.084%, (ICE LIBOR USD 1 Month plus 1.000%), (AFC), 3/25/35 |
77,986 | 74 | ||||||
Ameriquest Mortgage Securities, Inc., Series 2004-R5, Class M1 |
||||||||
3.954%, (ICE LIBOR USD 1 Month plus 0.870%), 7/25/34 |
10,531 | 10 | ||||||
Ares European CLO VI DAC, Series 2013-6A, Class ARR |
||||||||
0.610%, (Euribor 3 Month ACT/360 plus 0.610%), 4/15/30 144A EUR ∞ |
494,606 | 472 | ||||||
Ares European CLO, Series 10A, Class AR |
||||||||
0.780%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ∞ |
1,100,000 | 1,042 |
Structured Products (10.3%) | Shares/ Par + | Value $ (000s) |
||||||
Asset Backed Securities continued |
||||||||
Asset Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4 |
||||||||
3.984%, (ICE LIBOR USD 1 Month plus 0.900%), 6/25/35 |
94,793 | 94 | ||||||
Aurium CLO I DAC, Series 2019-1A, Class ARR |
||||||||
2.168%, (Euribor 3 Month ACT/360 plus 1.050%), 3/23/32 144A EUR ∞ |
250,000 | 236 | ||||||
Bain Capital Euro CLO, Series 2018-2A, Class AR |
||||||||
0.787%, (Euribor 3 Month ACT/360 plus 0.740%), 1/20/32 144A EUR ∞ |
300,000 | 284 | ||||||
Bear Stearns Asset Backed Securities I Trust, Series 2007-HE6, Class 1A1 |
||||||||
4.334%, (ICE LIBOR USD 1 Month plus 1.250%), 8/25/37 |
60,047 | 59 | ||||||
Cairn CLO BV, Series 2014-A4, Class ARRR |
||||||||
0.838%, (Euribor 3 Month ACT/360 plus 0.600%), 4/30/31 144A EUR ∞ |
296,033 | 284 | ||||||
Cairn CLO X BV, Series 2018-10A, Class AR |
||||||||
0.780%, (Euribor 3 Month ACT/360 plus 0.780%), 10/15/31 144A EUR ∞ |
700,000 | 660 | ||||||
Carlyle Global Market Strategies Euro CLO, Series 2017-3A, Class A1R |
||||||||
0.700%, (Euribor 3 Month ACT/360 plus 0.700%), 1/15/31 144A EUR ∞ |
900,000 | 857 | ||||||
Carrington Mortgage Loan Trust, Series 2005-FRE1, Class M3 |
||||||||
3.849%, (ICE LIBOR USD 1 Month plus 0.765%), 12/25/35 |
8,016,000 | 5,863 | ||||||
Citigroup Mortgage Loan Trust, Series 2007-AHL1, Class A2C |
||||||||
3.504%, (ICE LIBOR USD 1 Month plus 0.420%), 12/25/36 |
93,716 | 92 | ||||||
Countrywide Alternative Loan Trust, Series 2006-5, Class M1 |
||||||||
3.609%, (ICE LIBOR USD 1 Month plus 0.525%), 8/25/36 |
1,500,000 | 1,433 | ||||||
Countrywide Asset-Backed Certificates, Series 2004-9, Class MV4 |
||||||||
4.659%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/34 |
76,792 | 75 | ||||||
Countrywide Asset-Backed Certificates, Series 2005-4, Class AF6 |
||||||||
4.740%, (AFC), 10/25/35 |
23 | | π | |||||
Countrywide Asset-Backed Certificates, Series 2005-AB4, Class 2A4 |
||||||||
3.784%, (ICE LIBOR USD 1 Month plus 0.700%), 3/25/36 |
79,376 | 70 | ||||||
Countrywide Asset-Backed Certificates, Series 2006-1, Class AF5 |
||||||||
4.461%, (AFC), 7/25/36 Σ |
89,412 | 78 | ||||||
Countrywide Asset-Backed Certificates, Series 2006-26, Class 1A |
||||||||
3.224%, (ICE LIBOR USD 1 Month plus 0.140%), 6/25/37 |
376,519 | 342 | ||||||
Countrywide Asset-Backed Certificates, Series 2006-5, Class 2A3 |
||||||||
3.664%, (ICE LIBOR USD 1 Month plus 0.580%), 8/25/36 |
5,523 | 6 |
Multi-Sector Bond Portfolio
Structured Products (10.3%) | Value Shares/ Par + $ (000s) |
|||||||
Asset Backed Securities continued |
||||||||
Countrywide Asset-Backed Certificates, Series 2006-BC3, Class M2 |
||||||||
3.564%, (ICE LIBOR USD 1 Month plus 0.480%), 2/25/37 |
900,000 | 784 | ||||||
Countrywide Asset-Backed Certificates, Series 2007-1, Class 2A3 |
||||||||
3.224%, (ICE LIBOR USD 1 Month plus 0.140%), 7/25/37 |
10,134 | 10 | ||||||
Countrywide Asset-Backed Certificates, Series 2007-13, Class 1A |
||||||||
3.924%, (ICE LIBOR USD 1 Month plus 0.840%), 10/25/47 |
1,204,604 | 1,162 | ||||||
Countrywide Asset-Backed Certificates, Series 2007-9, Class 1A |
||||||||
3.284%, (ICE LIBOR USD 1 Month plus 0.200%), 6/25/47 |
772,209 | 683 | ||||||
Countrywide Asset-Backed Certificates, Series 2007-SEA1, Class 1A1 |
||||||||
4.184%, (ICE LIBOR USD 1 Month plus 1.100%), (AFC), 5/25/47 144A |
1,105,361 | 840 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1 |
||||||||
3.394%, (ICE LIBOR USD 1 Month plus 0.620%), 1/25/32 |
2,372 | 2 | ||||||
CVC Cordatus Loan Fund XI DAC, Series 2011-A, Class AR |
||||||||
0.650%, (Euribor 3 Month ACT/360 plus 0.650%), 10/15/31 144A EUR ∞ |
800,000 | 756 | ||||||
Ellington Loan Acquisition Trust, Series 2007-2, Class A1 |
||||||||
4.134%, (ICE LIBOR USD 1 Month plus 1.050%), 5/25/37 144A |
197,301 | 191 | ||||||
Euro-Galaxy III CLO BV, Series 2013-3A, Class ARRR |
||||||||
0.765%, (Euribor 3 Month ACT/360 plus 0.620%), 4/24/34 144A EUR ∞ |
300,000 | 283 | ||||||
Fremont Home Loan Trust, Series 2005-2, Class M4 |
||||||||
4.014%, (ICE LIBOR USD 1 Month plus 0.930%), 6/25/35 |
300,000 | 271 | ||||||
GSAA Home Equity Trust, Series 2006-17, Class A1 |
||||||||
3.204%, (ICE LIBOR USD 1 Month plus 0.120%), 11/25/36 |
47,041 | 14 | ||||||
GSAMP Trust, Series 2004-WF, Class M2 |
||||||||
4.734%, (ICE LIBOR USD 1 Month plus 1.650%), 10/25/34 |
13,657 | 13 | ||||||
GSAMP Trust, Series 2007-FM2, Class A2B |
||||||||
3.174%, (ICE LIBOR USD 1 Month plus 0.090%), 1/25/37 |
156,137 | 96 | ||||||
GSAMP Trust, Series 2007-NC1, Class A2A |
||||||||
3.134%, (ICE LIBOR USD 1 Month plus 0.050%), 12/25/46 |
12,467 | 6 | ||||||
Harvest CLO XX DAC, Series 2020-A, Class AR |
||||||||
0.727%, (Euribor 3 Month ACT/360 plus 0.680%), 10/20/31 144A EUR ∞ |
600,000 | 572 | ||||||
Home Equity Loan Trust, Series 2007-FRE1, Class 2AV4 |
||||||||
3.424%, (ICE LIBOR USD 1 Month plus 0.340%), 4/25/37 |
500,000 | 434 |
Structured Products (10.3%) | Value Shares/ Par + $ (000s) |
|||||||
Asset Backed Securities continued |
||||||||
HSI Asset Securitization Corp. Trust, Series 2005-I1, Class 2A4 |
||||||||
3.864%, (ICE LIBOR USD 1 Month plus 0.780%), 11/25/35 |
156,580 | 149 | ||||||
IndyMac Residential Asset Backed Trust, Series 2007-B, Class 2A2 |
||||||||
3.244%, (ICE LIBOR USD 1 Month plus 0.160%), 7/25/37 |
324,509 | 190 | ||||||
Invesco Euro CLO III DAC, Series 3A, Class A |
||||||||
0.920%, (Euribor 3 Month ACT/360 plus 0.920%), 7/15/32 144A EUR ∞ |
500,000 | 469 | ||||||
JP Morgan Mortgage Acquisition Trust, Series 2007-CH3, Class M1 |
||||||||
3.384%, (ICE LIBOR USD 1 Month plus 0.300%), 3/25/37 |
400,000 | 372 | ||||||
KKR Financial CLO, Ltd., Series 9, Class AR2 |
||||||||
3.462%, (ICE LIBOR USD 3 Month plus 0.950%), 7/15/30 144A |
2,200,000 | 2,169 | ||||||
Laurelin DAC, Series 2016-1A, Class ARR |
||||||||
0.767%, (Euribor 3 Month ACT/360 plus 0.720%), 10/20/31 144A EUR ∞ |
400,000 | 377 | ||||||
LCM XV LP, Series 2015-A, Class AR2 |
||||||||
3.710%, (ICE LIBOR USD 3 Month plus 1.000%), 7/20/30 144A |
1,800,000 | 1,766 | ||||||
Lehman XS Trust, Series 2005-4, Class 1A3 |
||||||||
3.884%, (ICE LIBOR USD 1 Month plus 0.800%), 10/25/35 |
545 | 1 | ||||||
Long Beach Mortgage Loan Trust, Series 2006-1, Class 2A4 |
||||||||
3.684%, (ICE LIBOR USD 1 Month plus 0.600%), 2/25/36 |
53,847 | 46 | ||||||
Long Beach Mortgage Loan Trust, Series 2006-3, Class 2A4 |
||||||||
3.624%, (ICE LIBOR USD 1 Month plus 0.540%), 5/25/46 |
279,771 | 97 | ||||||
Long Beach Mortgage Loan Trust, Series 2006-4, Class 1A |
||||||||
3.384%, (ICE LIBOR USD 1 Month plus 0.300%), 5/25/36 |
1,048,826 | 618 | ||||||
Madison Park Euro Funding XIV DAC, Series 14A, Class A1R |
||||||||
0.800%, (Euribor 3 Month ACT/360 plus 0.800%), 7/15/32 144A EUR ∞ |
300,000 | 282 | ||||||
Man GLG EURO CLO III DAC, Series 3A, Class AR |
||||||||
0.680%, (Euribor 3 Month ACT/360 plus 0.680%), 10/15/30 144A EUR ∞ |
398,118 | 382 | ||||||
Man GLG Euro CLO, Series 2022-6A, Class AR |
||||||||
0.810%, (Euribor 3 Month ACT/360 plus 0.810%), 10/15/32 144A EUR ∞ |
299,905 | 287 | ||||||
Marathon CLO, Ltd., Series 2017-9A, Class A1AR |
||||||||
3.662%, (ICE LIBOR USD 3 Month plus 1.150%), 4/15/29 144A |
1,227,604 | 1,217 | ||||||
Marble Point CLO X, Ltd., Series 2017-1A, Class AR |
||||||||
3.552%, (ICE LIBOR USD 3 Month plus 1.040%), 10/15/30 144A |
5,200,000 | 5,106 |
Multi-Sector Bond Portfolio
Structured Products (10.3%) | Value Shares/ Par + $ (000s) |
|||||||
Asset Backed Securities continued |
||||||||
MASTR Asset Backed Securities Trust, Series 2004-OPT1, Class M1 |
||||||||
3.864%, (ICE LIBOR USD 1 Month plus 0.780%), 2/25/34 |
748,627 | 699 | ||||||
MASTR Asset Backed Securities Trust, Series 2004-WMC2, Class M1 |
||||||||
3.984%, (ICE LIBOR USD 1 Month plus 0.900%), 4/25/34 |
84,465 | 80 | ||||||
MASTR Asset Backed Securities Trust, Series 2006-FRE2, Class A1 |
||||||||
3.384%, (ICE LIBOR USD 1 Month plus 0.300%), 3/25/36 |
9,053,619 | 8,050 | ||||||
MASTR Asset Backed Securities Trust, Series 2006-HE3, Class A2 |
||||||||
3.284%, (ICE LIBOR USD 1 Month plus 0.200%), 8/25/36 |
2,005,764 | 633 | ||||||
MASTR Asset Backed Securities Trust, Series 2006-WMC4, Class A5 |
||||||||
3.234%, (ICE LIBOR USD 1 Month plus 0.150%), 10/25/36 |
852,371 | 283 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2007-SD1, Class A1 |
||||||||
3.534%, (ICE LIBOR USD 1 Month plus 0.450%), 2/25/47 |
737,852 | 451 | ||||||
MF1, Series 2022-FL8, Class A |
||||||||
3.634%, (US 30 Day Average SOFR plus 1.350%), 2/19/37 144A |
1,000,000 | 967 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE5, Class M4 |
||||||||
3.954%, (ICE LIBOR USD 1 Month plus 0.870%), 9/25/35 |
5,923,664 | 4,815 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class A2MZ |
||||||||
3.664%, (ICE LIBOR USD 1 Month plus 0.580%), 1/25/35 |
784,058 | 768 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-NC1, Class M2 |
||||||||
3.789%, (ICE LIBOR USD 1 Month plus 0.705%), 1/25/35 |
162,120 | 150 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC5, Class M5 |
||||||||
4.074%, (ICE LIBOR USD 1 Month plus 0.990%), 6/25/35 |
137,101 | 135 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE7, Class A2C |
||||||||
3.404%, (ICE LIBOR USD 1 Month plus 0.320%), 9/25/36 |
60,287 | 27 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE8, Class A2C |
||||||||
3.224%, (ICE LIBOR USD 1 Month plus 0.140%), 10/25/36 |
55,318 | 27 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE5, Class A2C |
||||||||
3.334%, (ICE LIBOR USD 1 Month plus 0.250%), 3/25/37 |
55,056 | 25 | ||||||
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC1, Class M1 |
||||||||
4.659%, (ICE LIBOR USD 1 Month plus 1.575%), 11/25/32 |
11,243 | 11 |
Structured Products (10.3%) | Value Shares/ Par + $ (000s) |
|||||||
Asset Backed Securities continued |
||||||||
Morgan Stanley Dean Witter Capital I, Inc., Series 2003-NC2, Class M1 |
||||||||
4.434%, (ICE LIBOR USD 1 Month plus 1.350%), 2/25/33 |
17,117 | 17 | ||||||
Morgan Stanley Home Equity Loan Trust, Series 2007-2, Class A3 |
||||||||
3.314%, (ICE LIBOR USD 1 Month plus 0.230%), 4/25/37 |
3,034,199 | 1,713 | ||||||
NovaStar Mortgage Funding Trust, Series 2007-2, Class A2B |
||||||||
3.244%, (ICE LIBOR USD 1 Month plus 0.160%), (AFC), 9/25/37 |
159,429 | 157 | ||||||
Oak Hill Euro Credit Partners VII DAC, Series 2021-7A, Class AR |
||||||||
0.787%, (Euribor 3 Month ACT/360 plus 0.740%), 10/20/31 144A EUR ∞ |
1,200,000 | 1,136 | ||||||
Popular Mortgage Pass-Through Trust, Series 2006-A, Class M1 |
||||||||
3.669%, (ICE LIBOR USD 1 Month plus 0.585%), (AFC), 2/25/36 |
47,071 | 47 | ||||||
RAAC Series, Series 2007-RP4, Class A |
||||||||
3.434%, (ICE LIBOR USD 1 Month plus 0.350%), (AFC), 11/25/46 144A |
172,903 | 162 | ||||||
Renaissance Home Equity Loan Trust, Series 2006-4, Class AF6 |
||||||||
5.340%, 1/25/37 Σ |
1,515,379 | 561 | ||||||
Residential Asset Securities Corp., Series 2007-KS3, Class AI4 |
||||||||
3.424%, (ICE LIBOR USD 1 Month plus 0.340%), (AFC), 4/25/37 |
1,399,141 | 1,323 | ||||||
Saranac CLO, Ltd., Series 2018-6A, Class A1R |
||||||||
4.385%, (ICE LIBOR USD 3 Month plus 1.140%), 8/13/31 144A |
2,900,000 | 2,833 | ||||||
Saxon Asset Securities Trust, Series 2006-1, Class M1 |
||||||||
3.549%, (ICE LIBOR USD 1 Month plus 0.465%), (AFC), 3/25/36 |
196,445 | 189 | ||||||
Sculptor CLO XXV, Ltd., Series 25A, Class A1 |
||||||||
3.782%, (ICE LIBOR USD 3 Month plus 1.270%), 1/15/31 144A |
2,100,000 | 2,054 | ||||||
Securitized Asset Backed Receivables LLC Trust, Series 2005-FR4, Class M2 |
||||||||
4.044%, (ICE LIBOR USD 1 Month plus 0.960%), 1/25/36 |
36,012 | 34 | ||||||
Sound Point CLO XIV, Ltd., Series 2016-3A, Class AR2 |
||||||||
3.773%, (ICE LIBOR USD 3 Month plus 0.990%), 1/23/29 144A |
410,181 | 406 | ||||||
Sound Point CLO XIV, Ltd., Series 2017-2A, Class AR |
||||||||
3.763%, (ICE LIBOR USD 3 Month plus 0.980%), 7/25/30 144A |
5,200,000 | 5,094 | ||||||
Soundview Home Loan Trust, Series 2006-2, Class M2 |
||||||||
3.609%, (ICE LIBOR USD 1 Month plus 0.525%), 3/25/36 |
177,398 | 175 | ||||||
Soundview Home Loan Trust, Series 2006-OPT2, Class A4 |
||||||||
3.644%, (ICE LIBOR USD 1 Month plus 0.560%), 5/25/36 |
119,115 | 116 |
Multi-Sector Bond Portfolio
Structured Products (10.3%) | Value Shares/ Par + $ (000s) |
|||||||
Asset Backed Securities continued |
||||||||
Soundview Home Loan Trust, Series 2006-OPT3, Class M1 |
||||||||
3.549%, (ICE LIBOR USD 1 Month plus 0.465%), 6/25/36 |
6,656,834 | 5,593 | ||||||
Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3 |
||||||||
4.059%, (ICE LIBOR USD 1 Month plus 0.975%), 12/25/35 |
115,953 | 113 | ||||||
Structured Asset Investment Loan Trust, Series 2003-BC11, Class M1 |
||||||||
4.059%, (ICE LIBOR USD 1 Month plus 0.975%), 10/25/33 |
14,831 | 15 | ||||||
Structured Asset Investment Loan Trust, Series 2005-7, Class M2 |
||||||||
3.849%, (ICE LIBOR USD 1 Month plus 0.765%), 8/25/35 |
285,604 | 274 | ||||||
Structured Asset Investment Loan Trust, Series 2006-BNC3, Class A3 |
||||||||
3.234%, (ICE LIBOR USD 1 Month plus 0.150%), 9/25/36 |
6,907 | 7 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A4 |
||||||||
3.424%, (ICE LIBOR USD 1 Month plus 0.340%), 12/25/36 |
144,769 | 141 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-WF1, Class A6 |
||||||||
3.504%, (ICE LIBOR USD 1 Month plus 0.420%), 2/25/37 |
53,390 | 52 | ||||||
Toro European CLO 6 DAC, Series 6A, Class AR |
||||||||
0.920%, (Euribor 3 Month ACT/360 plus 0.920%), 1/12/32 144A EUR ∞ |
500,000 | 472 | ||||||
Toro European CLO, Series 7A , Class ARE |
||||||||
1.131%, (Euribor 3 Month ACT/360 plus 0.810%), 2/15/34 144A EUR ∞ |
250,000 | 234 | ||||||
Truman Capital Mortgage Loan Trust, Series 2006-1, Class A |
||||||||
3.344%, (ICE LIBOR USD 1 Month plus 0.260%), 3/25/36 144A |
508,940 | 502 | ||||||
Venture CDO, Ltd., Series 2018-33A, Class A1LR |
||||||||
3.572%, (ICE LIBOR USD 3 Month plus 1.060%), 7/15/31 144A |
1,000,000 | 978 | ||||||
Venture XIV CLO, Ltd., Series 2013-14A, Class ARR |
||||||||
4.073%, (ICE LIBOR USD 3 Month plus 1.030%), 8/28/29 144A |
4,980,819 | 4,895 | ||||||
Venture XXV CLO, Ltd., Series 2016-25A, Class ARR |
||||||||
3.730%, (ICE LIBOR USD 3 Month plus 1.020%), 4/20/29 144A |
2,556,716 | 2,535 | ||||||
Venture XXVIII CLO, Ltd., Series 2017-28A, Class A1R |
||||||||
3.700%, (ICE LIBOR USD 3 Month plus 0.990%), 7/20/30 144A |
200,000 | 197 | ||||||
Vibrant CLO VII, Ltd., Series 2017-7A, Class A1R |
||||||||
3.750%, (ICE LIBOR USD 3 Month plus 1.040%), 9/15/30 144A |
300,000 | 294 |
Structured Products (10.3%) | Value Shares/ Par + $ (000s) |
|||||||
Asset Backed Securities continued |
||||||||
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 1A |
||||||||
3.234%, (ICE LIBOR USD 1 Month plus 0.150%), 1/25/37 |
109,133 | 94 | ||||||
Wellfleet CLO, Ltd., Series 2015-1A, Class AR4 |
||||||||
3.600%, (ICE LIBOR USD 3 Month plus 0.890%), 7/20/29 144A |
1,444,945 | 1,422 | ||||||
Wellfleet CLO, Ltd., Series 2017-1, Class 1A |
||||||||
3.600%, (ICE LIBOR USD 3 Month plus 0.890%), 4/20/29 144A |
3,041,555 | 3,008 | ||||||
|
|
|||||||
Total |
94,156 | |||||||
|
|
|||||||
Mortgage Securities (1.4%) |
||||||||
BAMLL Commercial Mortgage Securities Trust, Series 2020-BOC, Class A |
||||||||
2.627%, 1/15/32 144A |
2,500,000 | 2,156 | ||||||
Banc of America Funding Trust, Series 2005-H, Class 5A1 |
||||||||
2.245%, (CSTR), 11/20/35 |
75,066 | 66 | ||||||
Banc of America Funding Trust, Series 2006-J, Class 4A1 |
||||||||
3.535%, (CSTR), 1/20/47 |
28,546 | 27 | ||||||
Banc of America Funding Trust, Series 2007-6, Class A1 |
||||||||
3.374%, (ICE LIBOR USD 1 Month plus 0.290%), 7/25/37 |
40,776 | 38 | ||||||
BCAP LLC Trust, Series 2009-RR14, Class 2A2 |
||||||||
3.280%, (CSTR), 7/26/36 144A |
16,833 | 15 | ||||||
BCAP LLC Trust, Series 2009-RR5, Class 3A3 |
||||||||
6.250%, (CSTR), 8/26/36 144A |
2,080,302 | 1,035 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-3, Class 4A |
||||||||
3.819%, (CSTR), 7/25/34 |
1,132 | 1 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-4, Class 22A1 |
||||||||
3.695%, (CSTR), 6/25/47 |
54,295 | 50 | ||||||
Bear Stearns ALT-A Trust, Series 2006-6, Class 2A1 |
||||||||
3.532%, (CSTR), 11/25/36 |
125,781 | 64 | ||||||
Citicorp Mortgage Securities Trust, Series 2007-8, Class 1A3 |
||||||||
6.000%, 9/25/37 |
1,713 | 2 | ||||||
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA |
||||||||
3.878%, (CSTR), 9/25/37 |
6,600 | 6 | ||||||
Citigroup Mortgage Loan Trust, Series 2007-10, Class 2A3A |
||||||||
3.908%, (CSTR), 9/25/37 |
1,792 | 2 | ||||||
Citigroup Mortgage Loan Trust, Series 2007-AR4, Class 2A2A |
||||||||
3.220%, (CSTR), 3/25/37 |
293,371 | 250 | ||||||
Countrywide Alternative Loan Trust, Series 2004-28CB, Class 5A1 |
||||||||
5.750%, 1/25/35 |
10,140 | 9 | ||||||
Countrywide Alternative Loan Trust, Series 2005-1CB, Class 2A1 |
||||||||
6.000%, 3/25/35 |
265,792 | 135 |
Multi-Sector Bond Portfolio
Structured Products (10.3%) | Value Shares/ Par + $ (000s) |
|||||||
Mortgage Securities continued |
||||||||
Countrywide Alternative Loan Trust, Series 2005-59, Class 1A1 |
||||||||
3.674%, (ICE LIBOR USD 1 Month plus 0.660%), 11/20/35 |
3,989 | 4 | ||||||
Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1 |
||||||||
2.584%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 1/25/36 |
10,916 | 10 | ||||||
Countrywide Alternative Loan Trust, Series 2005-79CB, Class A3 |
||||||||
5.500%, 1/25/36 |
110,898 | 69 | ||||||
Countrywide Alternative Loan Trust, Series 2005-J1, Class 1A8 |
||||||||
5.500%, 2/25/35 |
94,785 | 89 | ||||||
Countrywide Alternative Loan Trust, Series 2005-J1, Class 3A1 |
||||||||
6.500%, 8/25/32 |
834 | 1 | ||||||
Countrywide Alternative Loan Trust, Series 2005-J11, Class 1A13 |
||||||||
5.500%, 11/25/35 |
150,038 | 92 | ||||||
Countrywide Alternative Loan Trust, Series 2006-45T1, Class 1A13 |
||||||||
6.000%, 2/25/37 |
105,607 | 42 | ||||||
Countrywide Alternative Loan Trust, Series 2006-5T2, Class A1 |
||||||||
3.584%, (ICE LIBOR USD 1 Month plus 0.500%), 4/25/36 |
355,598 | 135 | ||||||
Countrywide Alternative Loan Trust, Series 2006-HY10, Class 2A1 |
||||||||
3.135%, (CSTR), 5/25/36 |
6,767 | 6 | ||||||
Countrywide Alternative Loan Trust, Series 2006-OA12, Class A1B |
||||||||
3.183%, (ICE LIBOR USD 1 Month plus 0.190%), 9/20/46 |
7,650 | 7 | ||||||
Countrywide Alternative Loan Trust, Series 2006-OA17, Class 1A1A |
||||||||
3.188%, (ICE LIBOR USD 1 Month plus 0.195%), 12/20/46 |
21,973 | 18 | ||||||
Countrywide Alternative Loan Trust, Series 2006-OA2, Class A1 |
||||||||
3.413%, (ICE LIBOR USD 1 Month plus 0.420%), 5/20/46 |
294,206 | 246 | ||||||
Countrywide Alternative Loan Trust, Series 2006-OA9, Class 2A1A |
||||||||
3.203%, (ICE LIBOR USD 1 Month plus 0.210%), 7/20/46 |
6,955 | 5 | ||||||
Countrywide Alternative Loan Trust, Series 2007-9T1, Class 2A2 |
||||||||
6.000%, 5/25/37 |
215,175 | 107 | ||||||
Countrywide Alternative Loan Trust, Series 2007-AL1, Class A1 |
||||||||
3.334%, (ICE LIBOR USD 1 Month plus 0.250%), 6/25/37 |
3,527,717 | 2,836 | ||||||
Countrywide Alternative Loan Trust, Series 2007-OA3, Class 1A1 |
||||||||
3.364%, (ICE LIBOR USD 1 Month plus 0.280%), 4/25/47 |
25,110 | 22 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-22, Class 3A1 |
||||||||
2.988%, (CSTR), 10/25/35 |
9,126 | 7 |
Structured Products (10.3%) | Value Shares/ Par + $ (000s) |
|||||||
Mortgage Securities continued |
||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-HYB8, Class 1A1 |
||||||||
3.273%, (CSTR), 12/20/35 |
1,328 | 1 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-16, Class 2A1 |
||||||||
6.500%, 11/25/36 |
14,287 | 6 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-9, Class A1 |
||||||||
6.000%, 5/25/36 |
98,662 | 50 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA4, Class A1 |
||||||||
2.064%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.960%), 4/25/46 |
34,085 | 11 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA4, Class A2 |
||||||||
3.624%, (ICE LIBOR USD 1 Month plus 0.540%), 4/25/46 |
903,248 | 267 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HYB1, Class 3A1 |
||||||||
3.227%, (CSTR), 3/25/37 |
5,182 | 5 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-8, Class 5A1 |
||||||||
6.500%, 4/25/33 |
318 | | π | |||||
Credit Suisse Mortgage Trust, Series 2014-6R, Class 3A2 |
||||||||
3.624%, (CSTR), 9/27/35 144A |
179,413 | 151 | ||||||
Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 2A3 |
||||||||
5.500%, 12/25/35 |
311,839 | 265 | ||||||
EMF-NL BV, Series 2008-APRX, Class A2 |
||||||||
0.802%, (Euribor 3 Month ACT/360 plus 0.800%), 4/17/41 EUR §,∞ |
79,354 | 75 | ||||||
Eurosail-NL BV, Series 2007-NL2X, Class A |
||||||||
1.502%, (Euribor 3 Month ACT/360 plus 1.500%), 10/17/40 EUR §,∞ |
31,000 | 30 | ||||||
Federal National Mortgage Association, Series 2003-W6, Class F |
||||||||
2.794%, (ICE LIBOR USD 1 Month plus 0.350%), 9/25/42 |
15,174 | 15 | ||||||
First Horizon Mortgage Pass-Through Trust, Series 2007-2, Class 1A5 |
||||||||
5.750%, 5/25/37 |
161,579 | 75 | ||||||
Fontainebleau Miami Beach Trust, Series 2019-FBLU, Class A |
||||||||
3.144%, 12/10/36 144A |
1,000,000 | 933 | ||||||
GSR Mortgage Loan Trust, Series 2005-AR6, Class 1A1 |
||||||||
3.205%, (CSTR), 9/25/35 |
1,185 | 1 | ||||||
GSR Mortgage Loan Trust, Series 2006-2F, Class 3A6 |
||||||||
6.000%, 2/25/36 |
72,697 | 36 | ||||||
GSR Mortgage Loan Trust, Series 2006-AR1, Class 2A1 |
||||||||
2.889%, (CSTR), 1/25/36 |
1,003 | 1 | ||||||
GSR Mortgage Loan Trust, Series 2007-AR1, Class 2A1 |
||||||||
3.035%, (CSTR), 3/25/47 |
6,753 | 5 |
Multi-Sector Bond Portfolio
Structured Products (10.3%) | Value Shares/ Par + $ (000s) |
|||||||
Mortgage Securities continued |
||||||||
HarborView Mortgage Loan Trust, Series 2005-10, Class 2A1A |
||||||||
3.613%, (ICE LIBOR USD 1 Month plus 0.620%), (AFC), 11/19/35 |
6,926 | 5 | ||||||
HarborView Mortgage Loan Trust, Series 2005-3, Class 2A1A |
||||||||
3.473%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 6/19/35 |
10,123 | 10 | ||||||
HomeBanc Mortgage Trust, Series 2005-1, Class A1 |
||||||||
3.584%, (ICE LIBOR USD 1 Month plus 0.500%), 3/25/35 |
3,282 | 3 | ||||||
HSI Asset Securitization Corp. Trust, Series 2006-NC1, Class 2A |
||||||||
3.524%, (ICE LIBOR USD 1 Month plus 0.440%), 11/25/35 |
821,990 | 757 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2004-AR6, Class 5A1 |
||||||||
3.682%, (CSTR), 10/25/34 |
14,868 | 14 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A |
||||||||
3.564%, (ICE LIBOR USD 1 Month plus 0.480%), (AFC), 7/25/35 |
1,245 | 1 | ||||||
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A |
||||||||
3.684%, (ICE LIBOR USD 1 Month plus 0.600%), 7/25/35 |
8,219 | 7 | ||||||
JP Morgan Mortgage Trust, Series 2005-ALT1, Class 2A1 |
||||||||
3.288%, (CSTR), 10/25/35 |
6,563 | 5 | ||||||
JP Morgan Mortgage Trust, Series 2007-A1, Class 6A1 |
||||||||
3.201%, (CSTR), 7/25/35 |
4,389 | 4 | ||||||
JP Morgan Mortgage Trust, Series 2007-A4, Class 3A1 |
||||||||
3.168%, (CSTR), 6/25/37 |
32,808 | 25 | ||||||
Luminent Mortgage Trust, 2006-6, Class A1 |
||||||||
3.484%, (ICE LIBOR USD 1 Month plus 0.400%), 10/25/46 |
718,772 | 636 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A9, Class 5A1 |
||||||||
3.149%, (CSTR), 12/25/35 |
81,807 | 63 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A |
||||||||
2.850%, (CSTR), 2/25/36 |
1,043 | 1 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1 |
||||||||
3.391%, (CSTR), 5/25/36 |
7,409 | 7 | ||||||
New Residential Mortgage Loan Trust, Series 2021-NQM1R, Class A3 |
||||||||
1.198%, (AFC), 7/25/55 144A |
848,773 | 739 | ||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR4, Class 3A1 |
||||||||
3.416%, (CSTR), 8/25/35 |
1,328 | 1 | ||||||
Residential Accredit Loans, Inc., Series 2006-QA7, Class 1A1 |
||||||||
3.464%, (ICE LIBOR USD 1 Month plus 0.380%), 8/25/36 |
4,354 | 4 |
Structured Products (10.3%) | Value Shares/ Par + $ (000s) |
|||||||
Mortgage Securities continued |
||||||||
Residential Accredit Loans, Inc., Series 2006-QA8, Class A1 |
||||||||
3.464%, (ICE LIBOR USD 1 Month plus 0.380%), 9/25/36 |
12,937 | 12 | ||||||
Residential Accredit Loans, Inc., Series 2007-QA1, Class A1 |
||||||||
3.364%, (ICE LIBOR USD 1 Month plus 0.280%), 1/25/37 |
4,782 | 5 | ||||||
Residential Asset Securitization Trust, Series 2007-A2, Class 2A2 |
||||||||
6.500%, 4/25/37 |
3,287,679 | 990 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-19XS, Class 1A1 |
||||||||
3.404%, (ICE LIBOR USD 1 Month plus 0.320%), 10/25/35 |
35,052 | 32 | ||||||
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2 |
||||||||
1.567%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.480%), 2/25/36 |
356,198 | 309 | ||||||
Structured Asset Mortgage Investments II Trust, Series 2006-AR6, Class 1A1 |
||||||||
3.444%, (ICE LIBOR USD 1 Month plus 0.360%), (AFC), 7/25/46 |
152,977 | 128 | ||||||
Suntrust Alternative Loan Trust, Series 2005-1F, Class 1A1 |
||||||||
3.734%, (ICE LIBOR USD 1 Month plus 0.650%), 12/25/35 |
6,516 | 6 | ||||||
Towd Point Mortgage Funding, Series 2019- GR4A, Class A1 |
||||||||
2.733%, (SONIO/N plus 1.144%), 10/20/51 144A GBP ∞ |
1,366,496 | 1,521 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2002-AR19, Class A6 |
||||||||
2.696%, (CSTR, AFC), 2/25/33 |
533 | 1 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2006-AR12, Class 3A3 |
||||||||
3.607%, (CSTR), 10/25/36 |
15,543 | 14 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2006-AR2, Class 1A1 |
||||||||
3.091%, (CSTR), 3/25/36 |
98,608 | 92 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2006-AR8, Class 2A1 |
||||||||
3.682%, (CSTR), 8/25/36 |
6,382 | 6 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2007-HY1, Class 3A1 |
||||||||
3.208%, (CSTR), 2/25/37 |
2,488 | 2 | ||||||
WaMu Mortgage Pass-Through Certificates, Series 2007-OA3, Class 4A2 |
||||||||
1.804%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 0.700%), 4/25/47 |
251,900 | 201 | ||||||
Wells Fargo Alternative Loan Trust, Series 2007-PA4, Class 2A1 |
||||||||
3.589%, (CSTR), 7/25/37 |
25,650 | 23 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR5, Class 2A1 |
||||||||
2.755%, (CSTR), 4/25/36 |
25,919 | 25 |
Multi-Sector Bond Portfolio
Structured Products (10.3%) | Shares/Par + | Value $ (000s) |
||||||
Mortgage Securities continued |
||||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2007-AR8, Class A1 3.648%, (CSTR), 11/25/37 |
19,894 | 18 | ||||||
|
|
|||||||
Total |
15,146 | |||||||
|
|
|||||||
Total Structured Products (Cost: $115,065) |
|
109,302 | ||||||
|
|
|||||||
Bank Loan Obligations (4.2%) | ||||||||
Bank Loan Obligations (4.2%) |
||||||||
Adient U.S. LLC, 6.907%, (ICE LIBOR USD 1 Month plus 3.250%), 4/10/28 |
6,616,250 | 6,232 | ||||||
Albion Acquisitions, Ltd., 5.211%, (Euribor 3 Month ACT/360 plus 5.250%), 8/17/26 EUR∞ |
1,400,000 | 1,275 | ||||||
Altice Financing SA, 6.407%, (ICE LIBOR USD 3 Month plus 2.750%), 1/31/26 |
1,163,359 | 1,086 | ||||||
Altice France SA, 6.407%, (ICE LIBOR USD 3 Month plus 2.750%), 7/31/25 |
192,875 | 175 | ||||||
AmSurg Corp., 8.157%, (CME Term SOFR 1 Month plus 4.500%), 4/30/28 |
325,171 | 298 | ||||||
Avolon TLB Borrower 1 LLC, 5.907%, (ICE LIBOR USD 1 Month plus 2.250%), 12/1/27 |
1,179,000 | 1,147 | ||||||
Casino Guichard Perrachon SA, 3.961%, (Euribor 3 Month ACT/360 plus 4.000%), 8/31/25 EUR∞ |
1,000,000 | 803 | ||||||
Charter Communications Operating LLC, 5.407%, (ICE LIBOR USD 1 Month plus 1.750%), 2/1/27 |
3,355,229 | 3,224 | ||||||
CommScope, Inc., 6.907%, (ICE LIBOR USD 3 Month plus 3.250%), 4/6/26 |
485,000 | 447 | ||||||
Connect Finco SARL, 7.157%, (ICE LIBOR USD 1 Month plus 3.500%), 12/11/26 |
1,170,000 | 1,086 | ||||||
Envision Healthcare Corp., 11.532%, (CME Term SOFR 1 Month plus 7.875%), 4/30/27 |
200,000 | 195 | ||||||
Grifols SA, 2.211%, (Euribor 3 Month ACT/360 plus 2.250%), 11/15/27 EUR∞ |
1,850,815 | 1,664 | ||||||
Hilton Worldwide Finance LLC, 5.407%, (ICE LIBOR USD 1 Month plus 1.750%), 6/22/26 |
1,120,295 | 1,082 | ||||||
INEOS Quattro Finance 2 PLC, 6.407%, (ICE LIBOR USD 1 Month plus 2.750%), 1/29/26 |
2,163,545 | 2,013 | ||||||
INEOS Quattro Holdings UK, Ltd., 2.711%, (Euribor 3 Month ACT/360 plus 2.750%), 1/29/26 EUR∞ |
1,100,000 | 954 | ||||||
Intelsat Jackson Holdings SA, 7.907%, (CME Term SOFR 1 Month plus 4.250%), 2/1/29 |
186,781 | 175 | ||||||
Lumen Technologies, Inc., 5.907%, (ICE LIBOR USD 1 Month plus 2.250%), 3/15/27 |
5,244,910 | 4,761 | ||||||
Setanta Aircraft Leasing DAC, 5.657%, (ICE LIBOR USD 3 Month plus 2.000%), 11/5/28 |
4,000,000 | 3,900 | ||||||
Sigma Bidco BV, 3.461%, (Euribor 3 Month plus 3.500%), 7/2/25 EUR∞ |
400,000 | 313 | ||||||
SOCAR Turkey Energy, Inc., 3.411%, (Euribor 3 Month ACT/360 plus 3.450%), 8/17/26 EUR∞ |
5,800,000 | 5,343 | ||||||
Standard Industries, Inc., 6.157%, (ICE LIBOR USD 6 Month plus 2.500%), 9/22/28 |
1,202,225 | 1,164 | ||||||
Summer BC Holdco B SARL, 8.157%, (ICE LIBOR USD 1 Month plus 4.500%), 12/4/26 |
990,000 | 926 |
Bank Loan Obligations (4.2%) | Shares/Par + | Value $ (000s) |
||||||
Bank Loan Obligations continued |
| |||||||
WP/AP Telecom Holdings IV BV, 3.961%, (Euribor 3 Month ACT/360 plus 4.000%), 3/30/29 EUR∞ |
5,800,000 | 5,316 | ||||||
Ziggo Financing Partnership BV, 6.157%, (ICE LIBOR USD 1 Month plus 2.500%), 4/30/28 |
1,555,228 | 1,482 | ||||||
|
|
|||||||
Total Bank Loan Obligations (Cost: $50,958) |
|
45,061 | ||||||
|
|
|||||||
Short-Term Investments (17.2%) | ||||||||
Governments (5.5%) |
||||||||
Federal Home Loan Bank |
||||||||
3.000%, (US SOFR plus 0.040%), 1/6/23 |
21,500,000 | 21,500 | ||||||
3.000%, (US SOFR plus 0.020%), 1/10/23 |
10,700,000 | 10,701 | ||||||
US Treasury 0.000%, 10/4/22 |
4,600,000 | 4,600 | ||||||
0.000%, 10/13/22 |
9,700,000 | 9,693 | ||||||
0.000%, 10/18/22 |
1,800,000 | 1,798 | ||||||
0.000%, 10/20/22 |
6,900,000 | 6,892 | ||||||
0.000%, 10/27/22 |
3,300,000 | 3,294 | ||||||
|
|
|||||||
Total |
58,478 | |||||||
|
|
|||||||
Money Market Funds (0.5%) |
||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class 2.940%# |
4,944,035 | 4,944 | ||||||
|
|
|||||||
Total |
4,944 | |||||||
|
|
|||||||
Repurchase Agreements (11.2%) |
||||||||
Societe Generale repurchase (Purchased on 9/30/22, to be repurchased at $119,029,353, collateralized by US Treasury Notes, 2.375%, due 5/15/51 and 2.375%, due 6/30/26, total par and fair value of $139,944,000 and $120,268,767, respectively) 2.960%, 10/3/22 |
119,000,000 | 119,000 | ||||||
|
|
|||||||
Total |
119,000 | |||||||
|
|
|||||||
Total Short-Term Investments (Cost: $182,420) |
|
182,422 | ||||||
|
|
|||||||
Total Investments (97.5%) (Cost: $1,278,603)@ |
|
1,033,825 | ||||||
|
|
|||||||
Other Assets, Less Liabilities (2.5%) |
26,177 | |||||||
|
|
|||||||
Net Assets (100.0%) |
1,060,002 | |||||||
|
|
Multi-Sector Bond Portfolio
Reverse Repurchase Agreements
Reference Entity | Counterparty | Interest Rate |
Borrowing Date |
Maturity Date |
Currency | Amount Borrowed (000s) |
Payable for Reverse Repurchase Agreements (000s) |
| ||||||||||||||||||||||
Abertis Infraestructuras SA |
JP Morgan Chase Bank NA | (1.650)% | 1/17/22 | Open | EUR | (666 | ) | $ | (652) | |||||||||||||||||||||
$ | (652) |
Exchange Traded or Centrally Cleared Derivatives
Futures
Issuer | Long/ Short |
Currency | Notional Par (000s) |
Number of Contracts |
Expiration Date |
Notional Value (000s) |
Unrealized Appreciation/ (Depreciation) (000s) |
Variation Margin (000s) | ||||||||||||||||||||||||
Five-Year US Treasury Note Future |
Long | USD | 37,400 | 374 | 12/22 | $ | 40,208 | $ | (1,248 | ) | $ | (99 | ) | |||||||||||||||||||
Long Gilt Future |
Short | GBP | 3,200 | 32 | 12/22 | (3,444 | ) | 481 | 8 | |||||||||||||||||||||||
Ten-Year US Treasury Note Future |
Long | USD | 93,400 | 934 | 12/22 | 104,666 | (5,227 | ) | (365 | ) | ||||||||||||||||||||||
Two-Year US Treasury Note Future |
Long | USD | 26,000 | 130 | 12/22 | 26,701 | (435 | ) | (19 | ) | ||||||||||||||||||||||
Ultra Long Term US Treasury Bond Future |
Long | USD | 39,600 | 396 | 12/22 | 54,252 | (5,128 | ) | (643 | ) | ||||||||||||||||||||||
Ultra Ten-Year US Treasury Note Future |
Long | USD | 61,300 | 613 | 12/22 | 72,631 | (2,911 | ) | (336 | ) | ||||||||||||||||||||||
$ | (14,468 | ) | $ | (1,454 | ) |
Centrally Cleared Interest Rate Swaps - Receive Floating Rate
Floating Rate Index | Fixed Rate |
Expiration Date |
Notional Amount (000s) |
Currency | Upfront Premium Paid/ (Received) (000s) |
Unrealized Appreciation/ (Depreciation) (000s) |
Market Value (000s) |
Variation Margin(000s) |
| |||||||||||||||||||||||||
1-Day JPY - MUTKCALM |
0.050% | 12/31 | 14,000 | JPY | $ | 3 | $ | 1 | $ | 4 | $ | | π | |||||||||||||||||||||
1-Day JPY - MUTKCALM |
0.400% | 6/32 | 2,140,000 | JPY | 81 | 85 | 166 | (54 | ) | |||||||||||||||||||||||||
$ | 84 | $ | 86 | $ | 170 | $ | (54 | ) |
Centrally Cleared Interest Rate Swaps - Pay Floating Rate
Floating Rate Index | Fixed Rate |
Expiration Date |
Notional Amount (000s) |
Currency | Upfront Premium Paid/ (Received) (000s) |
Unrealized Appreciation/ (Depreciation) (000s) |
Market Value (000s) |
Variation Margin(000s) |
||||||||||||||||||||||||
3-Month Canada Bankers |
2.050% | 11/23 | 33,800 | CAD | $ | (7 | ) | $ | (556 | ) | $ | (563 | ) | $ | 4 | |||||||||||||||||
3-Month Canada Bankers |
0.880% | 3/24 | 12,600 | CAD | | (433 | ) | (433 | ) | 4 | ||||||||||||||||||||||
3-Month Canada Bankers |
2.500% | 6/29 | 8,000 | CAD | 119 | (525 | ) | (406 | ) | 3 | ||||||||||||||||||||||
6-Month Euribor |
1.500% | 3/25 | 4,400 | EUR | (73 | ) | (63 | ) | (136 | ) | 4 | |||||||||||||||||||||
6-Month Euribor |
1.500% | 3/28 | 2,200 | EUR | (83 | ) | (78 | ) | (161 | ) | 5 | |||||||||||||||||||||
6-Month Euribor |
1.750% | 3/33 | 24,100 | EUR | (2,864 | ) | (32 | ) | (2,896 | ) | 63 | |||||||||||||||||||||
SONIA Interest Rate |
2.000% | 3/33 | 3,100 | GBP | (594 | ) | (52 | ) | (646 | ) | (12 | ) | ||||||||||||||||||||
SONIA Interest Rate |
2.000% | 3/53 | 1,400 | GBP | (433 | ) | (7 | ) | (440 | ) | (6 | ) | ||||||||||||||||||||
$ | (3,935 | ) | $ | (1,746 | ) | $ | (5,681 | ) | $ | 65 |
Multi-Sector Bond Portfolio
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection
Reference Entity | Receive Fixed Rate |
Expiration Date |
Implied Credit Spread |
Notional Amount (000s) |
Currency | Upfront Premium Paid/ (Received) (000s) |
Unrealized Appreciation/ (Depreciation) (000s) |
Market Value(000s) |
Variation Margin(000s) |
|||||||||||||||||||||||||||
Markit CDX Emerging |
1.000% | 12/25 | 3.786% | 27,232 | USD | $ | (640 | ) | $ | (1,926 | ) | $ | (2,566 | ) | $ | (19 | ) | |||||||||||||||||||
Markit CDX
Emerging |
1.000% | 6/26 | 2.962% | 184 | USD | (5 | ) | (12 | ) | (17 | ) | (2 | ) | |||||||||||||||||||||||
Markit CDX Emerging |
1.000% | 12/26 | 3.054% | 49,772 | USD | (2,027 | ) | (2,662 | ) | (4,689 | ) | (234 | ) | |||||||||||||||||||||||
Markit CDX Emerging |
1.000% | 6/27 | 3.275% | 490 | USD | (40 | ) | (11 | ) | (51 | ) | 1 | ||||||||||||||||||||||||
Markit CDX Emerging |
1.000% | 12/27 | 3.335% | 18,400 | USD | (1,521 | ) | (310 | ) | (1,831 | ) | (3 | ) | |||||||||||||||||||||||
Markit CDX North America |
5.000% | 6/27 | 5.624% | 17,127 | USD | (447 | ) | 59 | (388 | ) | (12 | ) | ||||||||||||||||||||||||
Markit CDX North America |
5.000% | 12/27 | 6.065% | 9,000 | USD | (395 | ) | 26 | (369 | ) | (5 | ) | ||||||||||||||||||||||||
Markit CDX North America Investment Grade Index, |
1.000% | 12/25 | 0.744% | 200 | USD | 3 | (1 | ) | 2 | π | ||||||||||||||||||||||||||
Markit CDX North America |
1.000% | 6/26 | 0.834% | 800 | USD | 15 | (10 | ) | 5 | 1 | ||||||||||||||||||||||||||
Markit CDX North America |
1.000% | 12/26 | 0.912% | 900 | USD | 11 | (8 | ) | 3 | 1 | ||||||||||||||||||||||||||
Markit CDX North America |
1.000% | 6/27 | 0.994% | 42,900 | USD | 384 | (373 | ) | 11 | 12 | ||||||||||||||||||||||||||
Markit CDX North America |
1.000% | 12/27 | 1.075% | 42,100 | USD | 16 | (161 | ) | (145 | ) | 13 | |||||||||||||||||||||||||
Markit itraxx Europe |
5.000% | 12/27 | 6.393% | 47,800 | EUR | (1,809 | ) | (674 | ) | (2,483 | ) | 385 | ||||||||||||||||||||||||
$ | (6,455 | ) | $ | (6,063 | ) | $ | (12,518 | ) | $ | 138 |
Centrally Cleared Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection
Reference Entity | Receive Fixed Rate |
Expiration Date |
Implied Credit Spread |
Notional Amount (000s) |
Currency | Upfront Premium Paid/ (Received) (000s) |
Unrealized Appreciation/ (Depreciation) (000s) |
Market Value(000s) |
Variation Margin(000s) |
|||||||||||||||||||||||
AT&T, Inc. |
1.000% | 6/24 | 1.172% | 200 | USD | $ | | $ | (1 | ) | $ | (1 | ) | $ | π | |||||||||||||||||
AT&T, Inc. |
1.000% | 6/25 | 1.223% | 100 | USD | (2 | ) | 1 | (1 | ) | π | |||||||||||||||||||||
AT&T, Inc. |
1.000% | 6/26 | 1.284% | 100 | USD | 1 | (2 | ) | (1 | ) | π | |||||||||||||||||||||
Casino Guichard Perrachon SA |
5.000% | 12/22 | 34.312% | 1,700 | EUR | (9 | ) | (95 | ) | (104 | ) | π | ||||||||||||||||||||
Casino Guichard Perrachon SA |
5.000% | 6/23 | 37.261% | 200 | EUR | (31 | ) | (6 | ) | (37 | ) | π | ||||||||||||||||||||
Casino Guichard Perrachon SA |
5.000% | 6/23 | 37.261% | 600 | EUR | 9 | (120 | ) | (111 | ) | π | |||||||||||||||||||||
Ford Motor Co. |
5.000% | 12/25 | 3.761% | 400 | USD | 14 | | 14 | π | |||||||||||||||||||||||
Ford Motor Co. |
5.000% | 6/26 | 3.950% | 1,000 | USD | 40 | (7 | ) | 33 | 1 | ||||||||||||||||||||||
Ford Motor Co. |
5.000% | 6/27 | 4.275% | 900 | USD | 60 | (35 | ) | 25 | 1 | ||||||||||||||||||||||
Ford Motor Co. |
5.000% | 12/23 | 2.603% | 200 | USD | 9 | (3 | ) | 6 | π |
Multi-Sector Bond Portfolio
Centrally Cleared Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection (continued)
Reference Entity | Receive Fixed Rate |
Expiration Date |
Implied Credit Spread |
Notional Amount (000s) |
Currency | Upfront Premium Paid/ (Received) (000s) |
Unrealized Appreciation/ (Depreciation) (000s) |
Market Value(000s) |
Variation Margin(000s) |
|||||||||||||||||||||||||||
Ford Motor Co. |
5.000% | 12/23 | 2.603% | 700 | USD | $ | 25 | $ | (5 | ) | $ | 20 | $ | π | ||||||||||||||||||||||
Ford Motor Co. |
5.000% | 6/27 | 4.269% | 300 | USD | 27 | (19 | ) | 8 | π | ||||||||||||||||||||||||||
General Electric Co. |
1.000% | 12/26 | 1.375% | 400 | USD | 4 | (10 | ) | (6 | ) | π | |||||||||||||||||||||||||
General Electric Co. |
1.000% | 6/24 | 0.790% | 900 | USD | (3 | ) | 6 | 3 | π | ||||||||||||||||||||||||||
General Electric Co. |
1.000% | 6/26 | 1.259% | 3,800 | USD | 31 | (64 | ) | (33 | ) | 3 | |||||||||||||||||||||||||
Glencore Finance |
5.000% | 12/25 | 1.825% | 2,700 | EUR | 418 | (165 | ) | 253 | 4 | ||||||||||||||||||||||||||
Glencore Finance |
5.000% | 12/27 | 2.451% | 1,600 | EUR | 354 | (172 | ) | 182 | 4 | ||||||||||||||||||||||||||
Glencore Finance |
5.000% | 12/26 | 2.132% | 700 | EUR | 129 | (54 | ) | 75 | 2 | ||||||||||||||||||||||||||
Marks & Spencer PLC |
1.000% | 12/24 | 2.957% | 2,900 | EUR | (61 | ) | (57 | ) | (118 | ) | (1) | ||||||||||||||||||||||||
Marks & Spencer PLC |
1.000% | 6/27 | 4.600% | 100 | EUR | (7 | ) | (7 | ) | (14 | ) | π | ||||||||||||||||||||||||
Marks & Spencer PLC |
1.000% | 12/28 | 5.142% | 500 | EUR | (33 | ) | (63 | ) | (96 | ) | π | ||||||||||||||||||||||||
Volkswagen International |
1.000% | 12/26 | 1.872% | 3,100 | EUR | 53 | (154 | ) | (101 | ) | 2 | |||||||||||||||||||||||||
$ | 1,028 | $ | (1,032 | ) | $ | (4) | $ | 16 |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||
Market Value | ||||||||||||||||||||||||||||
Variation Margin (000s) | Variation Margin (000s) | (000s) | ||||||||||||||||||||||||||
Swaps | Futures | Total | Swaps | Futures | Total | Options | ||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared Derivatives | $ | 513 | $ | 8 | $ | 521 | $ | (348 | ) | $ | (1,462 | ) | $ | (1,810 | ) | $ | |
Over the Counter Derivatives
Forward Foreign Currency Contracts
Type | Counterparty | Currency | Foreign Principal Amount Covered by Contract (000s) |
USD Principal Amount Covered by Contract (000s) |
Settlement Date |
Unrealized Appreciation (000s) |
Unrealized (Depreciation) (000s) |
Net Unrealized Appreciation/ (Depreciation) (000s) |
||||||||||||||||||
Sell |
JP Morgan Chase Bank NA | AUD | 1,066 | 682 | 10/4/22 | $ | 59 | $ | | $ | 59 | |||||||||||||||
Sell |
UBS AG | AUD | 1,475 | 943 | 10/4/22 | 68 | | 68 | ||||||||||||||||||
Buy |
JP Morgan Chase Bank NA | BRL | 130 | 24 | 10/4/22 | | (1 | ) | (1 | ) | ||||||||||||||||
Buy |
JP Morgan Chase Bank NA | BRL | 130 | 24 | 1/4/23 | | (1 | ) | (1 | ) | ||||||||||||||||
Sell |
JP Morgan Chase Bank NA | BRL | 261 | 48 | 10/4/22 | 2 | | 2 | ||||||||||||||||||
Sell |
Barclays Bank PLC | CAD | 801 | 580 | 10/4/22 | 28 | | 28 | ||||||||||||||||||
Sell |
JP Morgan Chase Bank NA | CAD | 238 | 172 | 10/4/22 | 1 | | 1 | ||||||||||||||||||
Buy |
JP Morgan Chase Bank NA | CNH | 9,761 | 1,367 | 10/17/22 | | (39 | ) | (39 | ) | ||||||||||||||||
Buy |
UBS AG | CNH | 8,342 | 1,169 | 10/17/22 | | (30 | ) | (30 | ) | ||||||||||||||||
Buy |
BNP Paribas SA | CNH | 18,099 | 2,551 | 5/10/23 | | (62 | ) | (62 | ) | ||||||||||||||||
Sell |
BNP Paribas SA | CNH | 18,224 | 2,553 | 10/17/22 | 60 | | 60 | ||||||||||||||||||
Sell |
HSBC Bank PLC | CNH | 18,570 | 2,618 | 5/10/23 | 149 | | 149 | ||||||||||||||||||
Buy |
Bank of America NA | EUR | 1,091 | 1,069 | 10/4/22 | | (33 | ) | (33 | ) | ||||||||||||||||
Buy |
JP Morgan Chase Bank NA | EUR | 5,303 | 5,197 | 10/4/22 | | (116 | ) | (116 | ) | ||||||||||||||||
Buy |
UBS AG | EUR | 193,879 | 190,012 | 10/4/22 | 2,114 | | 2,114 | ||||||||||||||||||
Buy |
JP Morgan Chase Bank NA | EUR | 3,243 | 3,185 | 11/2/22 | 30 | | 30 | ||||||||||||||||||
Sell |
HSBC Bank PLC | EUR | 197,303 | 193,367 | 10/4/22 | 3,898 | | 3,898 | ||||||||||||||||||
Sell |
JP Morgan Chase Bank NA | EUR | 2,970 | 2,911 | 10/4/22 | 65 | | 65 | ||||||||||||||||||
Sell |
UBS AG | EUR | 193,879 | 190,391 | 11/2/22 | | (2,113 | ) | (2,113 | ) | ||||||||||||||||
Buy |
JP Morgan Chase Bank NA | GBP | 31,843 | 35,554 | 10/4/22 | 1,555 | (45 | ) | 1,510 | |||||||||||||||||
Sell |
UBS AG | GBP | 31,843 | 35,554 | 10/4/22 | 1,496 | | 1,496 | ||||||||||||||||||
Sell |
JP Morgan Chase Bank NA | GBP | 30,698 | 34,297 | 11/2/22 | | (1,563 | ) | (1,563 | ) | ||||||||||||||||
Sell |
JP Morgan Chase Bank NA | IDR | 448,673 | 29 | 11/7/22 | π | | π | ||||||||||||||||||
Sell |
Bank of America NA | JPY | 45,300 | 313 | 10/4/22 | 13 | | 13 |
Multi-Sector Bond Portfolio
Forward Foreign Currency Contracts
(continued)
Type | Counterparty | Currency | Foreign Principal Amount Covered by Contract (000s) |
USD Principal Amount Covered by Contract (000s) |
Settlement Date |
Unrealized Appreciation (000s) |
Unrealized (Depreciation) (000s) |
Net Unrealized Appreciation/ (Depreciation) (000s) |
||||||||||||||||||||||
Buy |
Goldman Sachs Bank USA | MXN | 136,940 | 6,711 | 12/15/22 | $ | | $ | (30 | ) | $ | (30) | ||||||||||||||||||
Sell |
BNP Paribas SA | MXN | 4,920 | 243 | 10/27/22 | | (5 | ) | (5) | |||||||||||||||||||||
Sell |
Royal Bank of Canada | MXN | 129,854 | 6,380 | 12/1/22 | | (30 | ) | (30) | |||||||||||||||||||||
Buy |
BNP Paribas SA | ZAR | 94,864 | 5,236 | 10/14/22 | | (932 | ) | (932) | |||||||||||||||||||||
Buy |
BNP Paribas SA | ZAR | 506 | 28 | 11/8/22 | | (3 | ) | (3) | |||||||||||||||||||||
Sell |
Barclays Bank PLC | ZAR | 93,651 | 5,169 | 10/14/22 | 313 | | 313 | ||||||||||||||||||||||
$ | 9,851 | $ | (5,003 | ) | $ | 4,848 |
Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection
Reference Entity | Counterparty | Receive Fixed Rate |
Expiration Date |
Implied Credit Spread |
Currency | Notional Amount (000s) |
Upfront Premium Paid/ (Received) (000s) |
Unrealized Appreciation/ (Depreciation) (000s) |
Market Value (000s) |
|||||||||||||||||||
Casino Guichard |
JP Morgan Chase Bank NA |
5.000% | 12/22 | 34.312% | EUR | 100 | $ | 1 | $ | (7 | ) | $ | (6 | ) | ||||||||||||||
Hochtief AG |
JP Morgan Chase Bank NA |
5.000% | 12/26 | 2.637% | EUR | 1,000 | 193 | (105 | ) | 88 | ||||||||||||||||||
Hochtief AG |
JP Morgan Chase Bank NA |
5.000% | 12/26 | 2.637% | EUR | 1,800 | 353 | (195 | ) | 158 | ||||||||||||||||||
Intrum AB |
Barclays Bank PLC |
5.000% | 12/24 | 7.214% | EUR | 100 | 4 | (8 | ) | (4 | ) | |||||||||||||||||
Intrum AB |
Goldman Sachs International |
5.000% | 12/24 | 7.214% | EUR | 200 | 9 | (17 | ) | (8 | ) | |||||||||||||||||
Intrum AB |
Goldman Sachs International |
5.000% | 12/24 | 7.214% | EUR | 200 | 7 | (15 | ) | (8 | ) | |||||||||||||||||
Intrum AB |
Goldman Sachs International |
5.000% | 12/24 | 7.214% | EUR | 200 | 8 | (16 | ) | (8 | ) | |||||||||||||||||
Intrum AB |
Goldman Sachs International |
5.000% | 12/24 | 7.214% | EUR | 300 | 14 | (26 | ) | (12 | ) | |||||||||||||||||
Intrum AB |
Goldman Sachs International |
5.000% | 12/24 | 7.214% | EUR | 300 | 15 | (27 | ) | (12 | ) | |||||||||||||||||
Intrum AB |
Goldman Sachs International |
5.000% | 12/24 | 7.214% | EUR | 400 | 20 | (36 | ) | (16 | ) | |||||||||||||||||
Intrum AB |
Goldman Sachs International |
5.000% | 12/24 | 7.214% | EUR | 400 | 20 | (36 | ) | (16 | ) | |||||||||||||||||
Intrum AB |
Goldman Sachs International |
5.000% | 12/24 | 7.214% | EUR | 500 | 18 | (38 | ) | (20 | ) | |||||||||||||||||
Intrum AB |
Goldman Sachs International |
5.000% | 12/24 | 7.214% | EUR | 600 | 25 | (49 | ) | (24 | ) | |||||||||||||||||
Intrum AB |
Goldman Sachs International |
5.000% | 12/24 | 7.214% | EUR | 600 | 29 | (53 | ) | (24 | ) | |||||||||||||||||
Intrum AB |
JP Morgan Chase Bank NA |
5.000% | 12/24 | 7.214% | EUR | 800 | 30 | (62 | ) | (32 | ) | |||||||||||||||||
Intrum AB |
Morgan Stanley Capital Services LLC |
5.000% | 12/24 | 7.214% | EUR | 100 | 4 | (8 | ) | (4 | ) | |||||||||||||||||
Intrum AB |
Morgan Stanley Capital Services LLC |
5.000% | 12/24 | 7.214% | EUR | 100 | 4 | (8 | ) | (4 | ) | |||||||||||||||||
Intrum AB |
Morgan Stanley Capital Services LLC |
5.000% | 12/24 | 7.214% | EUR | 200 | 10 | (18 | ) | (8 | ) | |||||||||||||||||
Republic of Indonesia |
Barclays Bank PLC |
1.000% | 6/31 | 2.064% | USD | 5,700 | (210 | ) | (198 | ) | (408 | ) | ||||||||||||||||
United Mexican States |
Goldman Sachs International |
1.000% | 12/27 | 1.946% | USD | 100 | (4 | ) | | (4 | ) |
Multi-Sector Bond Portfolio
Credit Default Swaps on Corporate or Sovereign Issues - Sell Protection (continued)
Reference Entity | Counterparty | Receive Fixed Rate |
Expiration Date |
Implied Credit Spread |
Currency | Notional Amount (000s) |
Upfront Premium Paid/ (Received) (000s) |
Unrealized Appreciation/ (Depreciation) (000s) |
Market Value (000s) | |||||||||||||||||||||||||
United Mexican States |
Morgan Stanley |
1.000% | 12/26 | 1.663% | USD | 300 | $ | | π | $ | (8 | ) | $ | (8 | ) | |||||||||||||||||||
United Mexican States |
Morgan Stanley |
1.000% | 6/27 | 1.820% | USD | 100 | | π | (3 | ) | (3 | ) | ||||||||||||||||||||||
United Mexican States |
Morgan Stanley |
1.000% | 12/27 | 1.946% | USD | 300 | (10 | ) | (3 | ) | (13 | ) | ||||||||||||||||||||||
$ | 540 | $ | (936 | ) | $ | (396 | ) |
Financial Derivative Assets (000s) | Financial Derivative Liabilities (000s) | |||||||||||||||||||||||||
Forward Foreign Currency Contracts |
Swaps | Total | Forward Foreign Currency |
Options | Swaps | Total | ||||||||||||||||||||
Total Over the Counter Derivatives |
$ 9,851 | $ 246 | $ 10,097 | $ (5,003) | | $ (642) | $ (5,645) |
Restricted Securities
Description | Acquisition Date |
Cost (000s) | Value (000s) | Value as a Percentage of Net Assets |
||||||||||
Constellation Oil - Class B |
6/10/22 | $ | 12 | $ | 12 | %π |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
* | Non income producing |
Æ | Security valued using significant unobservable inputs. |
d | Restricted security see accompanying table for additional details |
144A | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022 the value of these securities (in thousands) was $261,135 representing 24.7% of the net assets. |
f | Defaulted Security |
∞ | Foreign Bond par value is foreign denominated. |
§ | Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. At September 30, 2022, the aggregate value of these securities was $215,762 (in thousands), representing 20.3% of net assets. |
Þ | PIK - Payment In Kind. |
µ | Perpetual maturity, date shown, if applicable, represents next contractual call date. |
Σ | Stepped coupon bond for which the coupon rate of interest adjusts on specified date(s); rate shown is effective rate at period-end. |
b | Part or all of the security has been pledged as collateral. |
π | Amount is less than one thousand. |
# | 7-Day yield as of 9/30/2022. |
@ | At September 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $1,269,200 and the net unrealized depreciation of investments based on that cost was $264,088 which is comprised of $15,786 aggregate gross unrealized appreciation and $279,874 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal years federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolios most recent annual report. |
Multi-Sector Bond Portfolio
The Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards Codification defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:
Level 1 - fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives
Level 2 - fair value is determined by other significant observable inputs
Level 3 - fair value is determined by significant unobservable inputs
The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolios perceived risk of that instrument.
The following is a summary of the inputs used in valuing the Portfolios Investments at September 30, 2022.
Valuation Inputs | ||||||||||||
Description |
Level 1 - Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Unobservable Inputs |
|||||||||
(Amounts in thousands) | ||||||||||||
Assets: |
||||||||||||
Bank Loan Obligations |
$ | | $ | 45,061 | $ | | ||||||
Common Stocks |
||||||||||||
Energy |
674 | | 12 | |||||||||
All Others |
| | 259 | |||||||||
Convertible Corporate Bonds |
| 1,173 | | |||||||||
Municipal Bonds |
| 6,916 | | |||||||||
Corporate Bonds |
||||||||||||
Communications |
| 64,202 | 9 | |||||||||
All Others |
| 471,725 | | |||||||||
Governments |
| 152,070 | | |||||||||
Structured Products |
| 109,302 | | |||||||||
Short-Term Investments |
||||||||||||
Money Market Funds |
4,944 | | | |||||||||
All Others |
| 177,478 | | |||||||||
Other Financial Instruments^ |
||||||||||||
Futures |
481 | | | |||||||||
Forward Foreign Currency Contracts |
| 9,851 | | |||||||||
Interest Rate Swaps |
| 170 | | |||||||||
Credit Default Swaps |
| 886 | | |||||||||
Total Assets: |
$ | 6,099 | $ | 1,038,834 | $ | 280 | ||||||
Liabilities: |
||||||||||||
Other Financial Instruments^ |
||||||||||||
Futures |
(14,949 | ) | | | ||||||||
Forward Foreign Currency Contracts |
| (5,003 | ) | | ||||||||
Interest Rate Swaps |
| (5,681 | ) | | ||||||||
Credit Default Swaps |
| (13,804 | ) | | ||||||||
Reverse Repurchase Agreements |
| (652 | ) | | ||||||||
Total Liabilities: |
$ | (14,949 | ) | $ | (25,140 | ) | $ | |
^ Other financial instruments are derivative instruments such as futures and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended September 30, 2022.
Abbreviations
Abbreviations that may be used in the preceding statements
ADR | American Depositary Receipt | |
AFC | Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the | |
underlying loans is lower than the uncapped rate, then the security will pay at the lower rate. | ||
CSTR | Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral. | |
EXE | Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal. | |
IO | Interest Only Security | |
PO | Principal Only Security | |
GDR | Global Depositary Receipt | |
GO | General Obligation | |
RB | Revenue Bond | |
CPURNSA | U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted | |
LIBOR | London Interbank Offered Rate | |
SOFR | Secured Overnight Financing Rate | |
ICE | Intercontinental Exchange | |
SONIO | Sterling Overnight Interbank Average Rate | |
DAC | Designated Activity Company | |
TBA | To Be Announced | |
OIS | Overnight Index Swaps | |
DIFC | Dubai International Financial Centre | |
EURIBOR | Euro Interbank Offered Rate | |
SDR | Swedish Depository Receipt | |
ETF | Exchange Traded Fund | |
Currency Abbreviations | ||
ARS | Argentine Peso | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CNH | Chinese Yuan Renminbi - Offshore | |
CNY | Chinese Yuan Renminbi | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KES | Kenyan Shilling | |
KRW | South Korean Won | |
MXN | Mexican New Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PHP | Philippines Peso | |
RUB | Russian Ruble | |
SEK | Swedish Krona | |
THB | Thai Baht | |
TWD | Taiwan Dollar | |
USD | United States Dollar | |
ZAR | South African Rand |