Delaware Wealth Builder Fund | August 31, 2021 (Unaudited) |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities — 2.89% | |||
Fannie Mae 4.50% 2/1/44 | 61,057 | $ 67,267 | |
Fannie Mae S.F. 15 yr | |||
2.00% 2/1/36 | 201,051 | 208,366 | |
2.00% 3/1/36 | 100,999 | 104,833 | |
2.50% 7/1/36 | 297,467 | 311,896 | |
Fannie Mae S.F. 20 yr | |||
2.00% 3/1/41 | 47,255 | 48,426 | |
2.00% 4/1/41 | 281,556 | 287,194 | |
2.00% 5/1/41 | 198,227 | 203,138 | |
3.00% 3/1/33 | 314,062 | 332,626 | |
Fannie Mae S.F. 30 yr | |||
2.00% 12/1/50 | 25,863 | 26,348 | |
2.00% 1/1/51 | 74,292 | 75,390 | |
2.00% 2/1/51 | 68,809 | 69,893 | |
2.00% 3/1/51 | 49,686 | 50,396 | |
2.00% 5/1/51 | 290,119 | 294,267 | |
2.00% 6/1/51 | 1,164,486 | 1,186,421 | |
2.50% 1/1/43 | 22,710 | 23,812 | |
2.50% 1/1/51 | 58,696 | 61,016 | |
2.50% 5/1/51 | 17,761 | 18,477 | |
2.50% 6/1/51 | 35,870 | 37,557 | |
2.50% 7/1/51 | 328,653 | 341,820 | |
2.50% 8/1/51 | 494,068 | 518,163 | |
3.00% 11/1/46 | 69,612 | 73,257 | |
3.00% 11/1/48 | 13,223 | 13,946 | |
3.00% 12/1/49 | 6,967 | 7,402 | |
3.00% 3/1/50 | 107,631 | 114,320 | |
3.00% 7/1/50 | 186,990 | 200,413 | |
3.00% 8/1/50 | 69,203 | 72,512 | |
3.00% 9/1/50 | 161,973 | 169,448 | |
3.50% 12/1/47 | 415,967 | 442,870 | |
3.50% 1/1/48 | 139,686 | 148,568 | |
3.50% 2/1/48 | 69,312 | 74,871 | |
3.50% 11/1/48 | 21,593 | 22,928 | |
3.50% 12/1/49 | 228,007 | 246,900 | |
4.00% 4/1/47 | 11,559 | 12,781 | |
4.00% 6/1/48 | 134,420 | 147,647 | |
4.00% 9/1/48 | 6,328 | 6,887 | |
4.00% 6/1/49 | 10,641 | 11,599 | |
4.50% 2/1/41 | 10,245 | 11,364 | |
4.50% 10/1/45 | 10,812 | 12,056 |
Principal amount° | Value (US $) | ||
Agency Mortgage-Backed Securities (continued) | |||
Fannie Mae S.F. 30 yr | |||
4.50% 4/1/48 | 468,155 | $ 520,705 | |
4.50% 1/1/49 | 159,371 | 176,236 | |
4.50% 1/1/50 | 17,683 | 19,376 | |
5.00% 7/1/49 | 147,713 | 162,393 | |
Fannie Mae S.F. 30 yr TBA | |||
2.00% 9/1/51 | 382,000 | 387,238 | |
2.50% 9/1/51 | 1,225,000 | 1,272,277 | |
3.00% 9/1/51 | 275,000 | 287,665 | |
Freddie Mac S.F. 15 yr | |||
1.50% 3/1/36 | 74,141 | 75,497 | |
2.00% 12/1/35 | 75,829 | 78,852 | |
3.00% 3/1/35 | 297,685 | 316,539 | |
Freddie Mac S.F. 20 yr | |||
2.00% 3/1/41 | 53,921 | 55,256 | |
2.00% 4/1/41 | 48,699 | 49,906 | |
2.50% 6/1/41 | 324,774 | 338,768 | |
3.00% 9/1/40 | 464,697 | 488,573 | |
3.50% 9/1/35 | 228,292 | 245,890 | |
Freddie Mac S.F. 30 yr | |||
2.50% 10/1/50 | 42,535 | 44,698 | |
2.50% 11/1/50 | 70,778 | 73,872 | |
2.50% 2/1/51 | 25,627 | 26,962 | |
3.00% 1/1/50 | 12,113 | 12,760 | |
3.00% 8/1/51 | 869,633 | 925,402 | |
3.50% 8/1/49 | 364,450 | 390,077 | |
4.00% 7/1/47 | 3,749 | 4,044 | |
4.00% 10/1/47 | 36,481 | 39,122 | |
4.50% 1/1/49 | 12,994 | 14,408 | |
4.50% 4/1/49 | 13,671 | 15,021 | |
4.50% 8/1/49 | 34,058 | 37,685 | |
Total Agency Mortgage-Backed Securities (cost $12,091,194) | 12,116,297 | ||
Collateralized Debt Obligations — 0.19% | |||
Cedar Funding IX CLO Series 2018-9A A1 144A 1.114% (LIBOR03M + 0.98%, Floor 0.98%) 4/20/31 #, • | 250,000 | 250,158 | |
Octagon Investment Partners 48 Series 2020-3A A 144A 1.634% (LIBOR03M + 1.50%, Floor 1.50%) 10/20/31 #, • | 300,000 | 300,124 |
Principal amount° | Value (US $) | ||
Collateralized Debt Obligations (continued) | |||
Sound Point Clo XXI Series 2018-3A A1A 144A 1.305% (LIBOR03M + 1.18%, Floor 1.18%) 10/26/31 #, • | 250,000 | $ 250,026 | |
Total Collateralized Debt Obligations (cost $793,758) | 800,308 | ||
Convertible Bonds — 6.31% | |||
Basic Industry — 0.13% | |||
Ivanhoe Mines 144A 2.50% exercise price $7.43, maturity date 4/15/26 # | 406,000 | 534,408 | |
534,408 | |||
Capital Goods — 0.29% | |||
Chart Industries 144A 1.00% exercise price $58.73, maturity date 11/15/24 # | 382,000 | 1,225,150 | |
1,225,150 | |||
Communications — 1.15% | |||
Cable One 144A 1.125% exercise price $2,275.83, maturity date 3/15/28 # | 780,000 | 847,687 | |
DISH Network 3.375% exercise price $65.18, maturity date 8/15/26 | 799,000 | 835,437 | |
InterDigital 2.00% exercise price $81.29, maturity date 6/1/24 | 821,000 | 915,928 | |
Liberty Broadband 144A 1.25% exercise price $900.01, maturity date 9/30/50 # | 801,000 | 850,584 | |
Liberty Latin America 2.00% exercise price $20.65, maturity date 7/15/24 | 385,000 | 393,201 | |
Liberty Media 2.25% exercise price $32.74, maturity date 9/30/46 | 2,171,000 | 983,680 | |
4,826,517 | |||
Consumer Cyclical — 0.25% | |||
Cheesecake Factory 0.375% exercise price $78.40, maturity date 6/15/26 | 496,000 | 466,201 | |
Ford Motor 144A 0.00% exercise price $17.49, maturity date 3/15/26 #, ^ | 540,000 | 562,997 | |
1,029,198 | |||
Consumer Non-Cyclical — 1.99% | |||
BioMarin Pharmaceutical 0.599% exercise price $124.67, maturity date 8/1/24 | 531,000 | 555,904 | |
Chefs' Warehouse 1.875% exercise price $44.20, maturity date 12/1/24 | 879,000 | 907,567 | |
Coherus Biosciences 1.50% exercise price $19.26, maturity date 4/15/26 | 546,000 | 592,827 |
Principal amount° | Value (US $) | ||
Convertible Bonds (continued) | |||
Consumer Non-Cyclical (continued) | |||
Collegium Pharmaceutical 2.625% exercise price $29.19, maturity date 2/15/26 | 557,000 | $ 566,331 | |
FTI Consulting 2.00% exercise price $101.38, maturity date 8/15/23 | 596,000 | 861,043 | |
Insulet 0.375% exercise price $226.73, maturity date 9/1/26 | 253,000 | 365,456 | |
Integra LifeSciences Holdings 0.50% exercise price $73.67, maturity date 8/15/25 | 861,000 | 999,793 | |
Ionis Pharmaceuticals 0.125% exercise price $83.28, maturity date 12/15/24 | 578,000 | 539,645 | |
Jazz Investments I 2.00% exercise price $155.81, maturity date 6/15/26 | 365,000 | 421,146 | |
Neurocrine Biosciences 2.25% exercise price $75.92, maturity date 5/15/24 | 239,000 | 316,408 | |
Paratek Pharmaceuticals 4.75% exercise price $15.90, maturity date 5/1/24 | 1,040,000 | 937,352 | |
Repay Holdings 144A 0.326% exercise price $33.60, maturity date 2/1/26 #, ^ | 691,000 | 669,539 | |
Travere Therapeutics 2.50% exercise price $38.80, maturity date 9/15/25 | 636,000 | 615,586 | |
8,348,597 | |||
Energy — 0.59% | |||
Cheniere Energy 4.25% exercise price $138.38, maturity date 3/15/45 | 1,504,000 | 1,272,512 | |
Helix Energy Solutions Group 6.75% exercise price $6.97, maturity date 2/15/26 | 862,000 | 889,588 | |
NextEra Energy Partners 144A 0.357% exercise price $76.10, maturity date 11/15/25 #, ^ | 298,000 | 330,813 | |
PDC Energy 1.125% exercise price $85.39, maturity date 9/15/21 | 2,000 | 2,011 | |
2,494,924 | |||
Real Estate Investment Trusts — 0.32% | |||
Blackstone Mortgage Trust 4.75% exercise price $36.23, maturity date 3/15/23 | 721,000 | 752,075 | |
Summit Hotel Properties 1.50% exercise price $11.99, maturity date 2/15/26 | 584,000 | 602,329 | |
1,354,404 | |||
Technology — 1.06% | |||
Knowles 3.25% exercise price $18.43, maturity date 11/1/21 | 451,000 | 506,374 | |
Microchip Technology 1.625% exercise price $93.85, maturity date 2/15/27 | 422,000 | 987,733 |
Principal amount° | Value (US $) | ||
Convertible Bonds (continued) | |||
Technology (continued) | |||
ON Semiconductor 1.625% exercise price $20.72, maturity date 10/15/23 | 424,000 | $ 924,055 | |
Palo Alto Networks 0.75% exercise price $266.35, maturity date 7/1/23 | 402,000 | 703,319 | |
Quotient Technology 1.75% exercise price $17.36, maturity date 12/1/22 | 918,000 | 913,410 | |
Vishay Intertechnology 2.25% exercise price $31.34, maturity date 6/15/25 | 396,000 | 418,295 | |
4,453,186 | |||
Transportation — 0.37% | |||
Seaspan 144A 3.75% exercise price $13.01, maturity date 12/15/25 # | 773,000 | 991,424 | |
Spirit Airlines 1.00% exercise price $49.07, maturity date 5/15/26 | 586,000 | 543,867 | |
1,535,291 | |||
Utilities — 0.16% | |||
NRG Energy 2.75% exercise price $45.21, maturity date 6/1/48 | 559,000 | 683,936 | |
683,936 | |||
Total Convertible Bonds (cost $23,453,924) | 26,485,611 | ||
Corporate Bonds — 11.82% | |||
Banking — 1.27% | |||
Banco Continental 144A 2.75% 12/10/25 # | 200,000 | 199,421 | |
Banco del Estado de Chile 144A 2.704% 1/9/25 # | 205,000 | 214,229 | |
Banco Nacional de Panama 144A 2.50% 8/11/30 # | 200,000 | 192,250 | |
Bank of America | |||
1.734% 7/22/27 μ | 200,000 | 202,750 | |
1.922% 10/24/31 μ | 70,000 | 68,627 | |
2.456% 10/22/25 μ | 15,000 | 15,707 | |
2.884% 10/22/30 μ | 20,000 | 21,195 | |
3.194% 7/23/30 μ | 55,000 | 59,561 | |
Bank of Georgia 144A 6.00% 7/26/23 # | 200,000 | 214,004 | |
BBVA Bancomer | |||
144A 1.875% 9/18/25 # | 200,000 | 202,650 | |
144A 6.75% 9/30/22 # | 274,000 | 289,972 | |
Citigroup 4.45% 9/29/27 | 300,000 | 343,801 | |
Credit Agricole 144A 2.811% 1/11/41 # | 275,000 | 267,506 | |
Credit Suisse Group 144A 2.593% 9/11/25 #, μ | 250,000 | 260,268 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Banking (continued) | |||
Deutsche Bank 2.222% 9/18/24 μ | 300,000 | $ 308,002 | |
Development Bank of Kazakhstan 144A 10.95% 5/6/26 # | KZT | 100,000,000 | 235,256 |
Goldman Sachs Group | |||
1.542% 9/10/27 μ | 105,000 | 105,546 | |
2.615% 4/22/32 μ | 170,000 | 175,536 | |
3.50% 4/1/25 | 80,000 | 86,657 | |
JPMorgan Chase & Co. | |||
2.58% 4/22/32 μ | 140,000 | 144,539 | |
2.739% 10/15/30 μ | 20,000 | 21,083 | |
4.023% 12/5/24 μ | 80,000 | 85,958 | |
5.00% 8/1/24 μ, ψ | 85,000 | 89,888 | |
Morgan Stanley | |||
1.512% 7/20/27 μ | 110,000 | 110,488 | |
1.794% 2/13/32 μ | 155,000 | 149,949 | |
5.00% 11/24/25 | 95,000 | 109,387 | |
PNC Financial Services Group 2.60% 7/23/26 | 180,000 | 192,684 | |
State Street | |||
3.10% 5/15/23 | 10,000 | 10,469 | |
3.30% 12/16/24 | 130,000 | 141,276 | |
SVB Financial Group 4.00% 5/15/26 μ, ψ | 305,000 | 316,819 | |
Truist Bank 2.636% 9/17/29 μ | 185,000 | 193,419 | |
Truist Financial 4.95% 9/1/25 μ, ψ | 55,000 | 60,732 | |
US Bancorp | |||
3.00% 7/30/29 | 150,000 | 163,481 | |
3.10% 4/27/26 | 25,000 | 27,233 | |
3.375% 2/5/24 | 60,000 | 64,023 | |
5,344,366 | |||
Basic Industry — 0.93% | |||
Allegheny Technologies 5.875% 12/1/27 | 93,000 | 97,650 | |
AngloGold Ashanti Holdings 3.75% 10/1/30 | 200,000 | 209,608 | |
Artera Services 144A 9.033% 12/4/25 # | 355,000 | 388,281 | |
Avient 144A 5.75% 5/15/25 # | 88,000 | 92,994 | |
Chemours 144A 5.75% 11/15/28 # | 180,000 | 191,025 | |
Corp Nacional del Cobre de Chile 144A 3.15% 1/14/30 # | 200,000 | 211,404 | |
CSN Inova Ventures 144A 6.75% 1/28/28 # | 200,000 | 220,330 | |
First Quantum Minerals | |||
144A 7.25% 4/1/23 # | 250,000 | 255,156 | |
144A 7.50% 4/1/25 # | 250,000 | 259,375 | |
Freeport-McMoRan 5.45% 3/15/43 | 230,000 | 294,392 | |
Hutama Karya Persero 144A 3.75% 5/11/30 # | 200,000 | 218,544 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Basic Industry (continued) | |||
International Flavors & Fragrances 144A 1.832% 10/15/27 # | 135,000 | $ 136,101 | |
LyondellBasell Industries 4.625% 2/26/55 | 250,000 | 314,192 | |
New Gold 144A 7.50% 7/15/27 # | 165,000 | 173,460 | |
Newmont 2.80% 10/1/29 | 190,000 | 200,184 | |
NOVA Chemicals 144A 4.25% 5/15/29 # | 175,000 | 176,094 | |
OCP 144A 3.75% 6/23/31 # | 200,000 | 202,939 | |
Olin 5.00% 2/1/30 | 100,000 | 107,452 | |
Univar Solutions USA 144A 5.125% 12/1/27 # | 135,000 | 141,244 | |
3,890,425 | |||
Capital Goods — 0.32% | |||
Intertape Polymer Group 144A 4.375% 6/15/29 # | 190,000 | 194,112 | |
Madison IAQ 144A 5.875% 6/30/29 # | 150,000 | 153,750 | |
Teledyne Technologies | |||
0.95% 4/1/24 | 105,000 | 105,155 | |
2.75% 4/1/31 | 250,000 | 260,935 | |
Terex 144A 5.00% 5/15/29 # | 195,000 | 205,245 | |
TK Elevator US Newco 144A 5.25% 7/15/27 # | 200,000 | 211,564 | |
TransDigm 144A 6.25% 3/15/26 # | 187,000 | 196,584 | |
1,327,345 | |||
Communications — 0.96% | |||
Altice France Holding 144A 6.00% 2/15/28 # | 310,000 | 307,714 | |
AT&T | |||
1.70% 3/25/26 | 105,000 | 106,421 | |
3.10% 2/1/43 | 60,000 | 59,518 | |
4.35% 3/1/29 | 170,000 | 197,268 | |
Cellnex Finance 144A 3.875% 7/7/41 # | 200,000 | 202,334 | |
Connect Finco 144A 6.75% 10/1/26 # | 250,000 | 259,687 | |
Consolidated Communications | |||
144A 5.00% 10/1/28 # | 80,000 | 82,268 | |
144A 6.50% 10/1/28 # | 80,000 | 87,600 | |
Frontier Communications Holdings 144A 5.875% 10/15/27 # | 165,000 | 176,588 | |
Level 3 Financing 144A 4.25% 7/1/28 # | 160,000 | 162,114 | |
Millicom International Cellular 144A 4.50% 4/27/31 # | 200,000 | 208,768 | |
Ooredoo International Finance 144A 5.00% 10/19/25 # | 200,000 | 230,230 | |
Sprint 7.125% 6/15/24 | 387,000 | 445,534 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Communications (continued) | |||
T-Mobile USA | |||
2.55% 2/15/31 | 125,000 | $ 127,601 | |
2.625% 4/15/26 | 95,000 | 97,731 | |
3.00% 2/15/41 | 75,000 | 74,594 | |
3.375% 4/15/29 | 95,000 | 100,492 | |
3.50% 4/15/31 | 55,000 | 58,630 | |
3.875% 4/15/30 | 120,000 | 134,600 | |
Verizon Communications | |||
2.10% 3/22/28 | 200,000 | 205,428 | |
4.50% 8/10/33 | 95,000 | 115,102 | |
4.522% 9/15/48 | 35,000 | 44,055 | |
Vodafone Group | |||
4.25% 9/17/50 | 110,000 | 129,790 | |
4.875% 6/19/49 | 40,000 | 51,484 | |
Zayo Group Holdings 144A 6.125% 3/1/28 # | 365,000 | 371,844 | |
4,037,395 | |||
Consumer Cyclical — 1.00% | |||
Allison Transmission 144A 5.875% 6/1/29 # | 335,000 | 368,936 | |
Bath & Body Works | |||
6.875% 11/1/35 | 180,000 | 231,300 | |
6.95% 3/1/33 | 122,000 | 147,478 | |
Caesars Entertainment 144A 6.25% 7/1/25 # | 370,000 | 391,534 | |
Carnival | |||
144A 5.75% 3/1/27 # | 330,000 | 337,809 | |
144A 7.625% 3/1/26 # | 235,000 | 250,158 | |
Ford Motor 9.00% 4/22/25 | 170,000 | 207,902 | |
Ford Motor Credit | |||
2.90% 2/16/28 | 260,000 | 259,386 | |
3.375% 11/13/25 | 240,000 | 248,700 | |
4.542% 8/1/26 | 260,000 | 282,750 | |
General Motors Financial | |||
0.81% (SOFR + 0.76%) 3/8/24 • | 110,000 | 110,997 | |
4.35% 4/9/25 | 130,000 | 143,431 | |
5.25% 3/1/26 | 95,000 | 109,427 | |
H&E Equipment Services 144A 3.875% 12/15/28 # | 105,000 | 105,572 | |
Jaguar Land Rover Automotive 144A 5.875% 1/15/28 # | 200,000 | 205,940 | |
Levi Strauss & Co. 144A 3.50% 3/1/31 # | 160,000 | 165,022 | |
MGM Resorts International 4.75% 10/15/28 | 70,000 | 73,594 | |
Royal Caribbean Cruises 144A 5.50% 4/1/28 # | 330,000 | 332,856 | |
Scientific Games International 144A 8.25% 3/15/26 # | 119,000 | 126,720 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Consumer Cyclical (continued) | |||
Six Flags Entertainment 144A 4.875% 7/31/24 # | 110,000 | $ 111,328 | |
4,210,840 | |||
Consumer Non-Cyclical — 0.61% | |||
Anheuser-Busch InBev Worldwide | |||
3.65% 2/1/26 | 125,000 | 138,080 | |
4.70% 2/1/36 | 50,000 | 61,705 | |
Auna 144A 6.50% 11/20/25 # | 200,000 | 209,740 | |
BAT Capital 2.259% 3/25/28 | 55,000 | 55,301 | |
Biogen 3.15% 5/1/50 | 275,000 | 272,021 | |
Bunge Finance | |||
1.63% 8/17/25 | 150,000 | 152,437 | |
2.75% 5/14/31 | 165,000 | 169,599 | |
CVS Health | |||
2.70% 8/21/40 | 165,000 | 162,235 | |
3.25% 8/15/29 | 185,000 | 202,076 | |
Gilead Sciences 4.15% 3/1/47 | 165,000 | 198,027 | |
JBS USA LUX 144A 6.50% 4/15/29 # | 220,000 | 249,425 | |
Kraft Heinz Foods 5.20% 7/15/45 | 135,000 | 173,582 | |
Post Holdings 144A 5.625% 1/15/28 # | 120,000 | 126,450 | |
Royalty Pharma 1.20% 9/2/25 | 370,000 | 369,219 | |
2,539,897 | |||
Energy — 1.99% | |||
Ascent Resources Utica Holdings | |||
144A 5.875% 6/30/29 # | 160,000 | 153,595 | |
144A 7.00% 11/1/26 # | 80,000 | 81,600 | |
BP Capital Markets America | |||
2.939% 6/4/51 | 275,000 | 269,959 | |
3.06% 6/17/41 | 70,000 | 72,058 | |
Chevron USA | |||
3.25% 10/15/29 | 85,000 | 94,530 | |
3.90% 11/15/24 | 20,000 | 21,926 | |
4.20% 10/15/49 | 15,000 | 18,712 | |
5.05% 11/15/44 | 5,000 | 6,777 | |
CNX Resources | |||
144A 6.00% 1/15/29 # | 185,000 | 192,943 | |
144A 7.25% 3/14/27 # | 90,000 | 95,514 | |
Crestwood Midstream Partners 144A 6.00% 2/1/29 # | 188,000 | 192,046 | |
DCP Midstream Operating 5.125% 5/15/29 | 260,000 | 288,952 | |
Diamondback Energy 3.125% 3/24/31 | 235,000 | 244,881 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
Enbridge | |||
0.45% (SOFR + 0.40%) 2/17/23 • | 125,000 | $ 125,326 | |
2.50% 8/1/33 | 245,000 | 247,598 | |
Energy Transfer | |||
5.25% 4/15/29 | 95,000 | 112,006 | |
6.25% 4/15/49 | 60,000 | 79,569 | |
6.50% 11/15/26 μ, ψ | 120,000 | 123,334 | |
Enterprise Products Operating 3.20% 2/15/52 | 265,000 | 266,560 | |
EQM Midstream Partners | |||
144A 4.75% 1/15/31 # | 110,000 | 112,063 | |
144A 6.50% 7/1/27 # | 195,000 | 217,680 | |
Genesis Energy | |||
7.75% 2/1/28 | 285,000 | 279,756 | |
8.00% 1/15/27 | 175,000 | 173,999 | |
KazTransGas 144A 4.375% 9/26/27 # | 381,000 | 421,209 | |
Lukoil Securities 144A 3.875% 5/6/30 # | 205,000 | 218,335 | |
Marathon Oil 4.40% 7/15/27 | 150,000 | 169,652 | |
MPLX | |||
4.00% 3/15/28 | 30,000 | 33,554 | |
4.125% 3/1/27 | 135,000 | 151,607 | |
5.50% 2/15/49 | 55,000 | 71,141 | |
Murphy Oil 6.375% 7/15/28 | 295,000 | 310,856 | |
Murphy Oil USA 144A 3.75% 2/15/31 # | 165,000 | 166,697 | |
Noble Energy 4.95% 8/15/47 | 50,000 | 68,811 | |
NuStar Logistics 5.625% 4/28/27 | 163,000 | 173,592 | |
Occidental Petroleum | |||
3.00% 2/15/27 | 95,000 | 95,390 | |
3.50% 8/15/29 | 175,000 | 181,612 | |
6.125% 1/1/31 | 155,000 | 187,642 | |
6.45% 9/15/36 | 80,000 | 100,138 | |
6.625% 9/1/30 | 150,000 | 187,334 | |
PDC Energy 5.75% 5/15/26 | 205,000 | 213,118 | |
Pioneer Natural Resources 1.90% 8/15/30 | 95,000 | 91,761 | |
PTTEP Treasury Center 144A 2.587% 6/10/27 # | 185,000 | 193,946 | |
Qatar Petroleum 144A 2.25% 7/12/31 # | 200,000 | 201,961 | |
Sabine Pass Liquefaction | |||
5.625% 3/1/25 | 55,000 | 62,705 | |
5.75% 5/15/24 | 210,000 | 234,221 | |
Southwestern Energy 7.75% 10/1/27 | 175,000 | 189,875 | |
Targa Resources Partners 5.375% 2/1/27 | 172,000 | 178,450 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Energy (continued) | |||
TechnipFMC 144A 6.50% 2/1/26 # | 330,000 | $ 350,684 | |
Tengizchevroil Finance Co. International 144A 2.625% 8/15/25 # | 200,000 | 205,470 | |
Tennessee Gas Pipeline 144A 2.90% 3/1/30 # | 130,000 | 135,465 | |
UEP Penonome II 144A 6.50% 10/1/38 # | 197,194 | 205,299 | |
Western Midstream Operating 4.75% 8/15/28 | 85,000 | 93,640 | |
8,365,549 | |||
Financials — 0.69% | |||
AerCap Ireland Capital 4.45% 4/3/26 | 150,000 | 164,614 | |
Air Lease 2.875% 1/15/26 | 150,000 | 157,799 | |
Ally Financial | |||
4.70% 5/15/26 μ, ψ | 230,000 | 242,794 | |
8.00% 11/1/31 | 280,000 | 410,931 | |
Aviation Capital Group 144A 1.95% 1/30/26 # | 365,000 | 367,165 | |
DAE Sukuk Difc 144A 3.75% 2/15/26 # | 400,000 | 425,796 | |
Hightower Holding 144A 6.75% 4/15/29 # | 110,000 | 113,162 | |
INEOS Quattro Finance 2 144A 3.375% 1/15/26 # | 200,000 | 202,750 | |
Jefferies Group | |||
4.15% 1/23/30 | 170,000 | 192,880 | |
6.45% 6/8/27 | 10,000 | 12,502 | |
6.50% 1/20/43 | 5,000 | 7,002 | |
Midcap Financial Issuer Trust 144A 6.50% 5/1/28 # | 200,000 | 209,542 | |
MSCI 144A 3.625% 11/1/31 # | 155,000 | 164,781 | |
Oryx Funding 144A 5.80% 2/3/31 # | 200,000 | 212,030 | |
2,883,748 | |||
Healthcare — 0.54% | |||
Bausch Health 144A 6.25% 2/15/29 # | 325,000 | 322,991 | |
Community Health Systems | |||
144A 4.75% 2/15/31 # | 135,000 | 137,886 | |
144A 6.625% 2/15/25 # | 125,000 | 131,547 | |
DaVita 144A 4.625% 6/1/30 # | 150,000 | 156,962 | |
Encompass Health 5.75% 9/15/25 | 174,000 | 178,441 | |
Hadrian Merger Sub 144A 8.50% 5/1/26 # | 200,000 | 208,196 | |
HCA | |||
5.375% 2/1/25 | 124,000 | 139,889 | |
5.875% 2/15/26 | 159,000 | 184,607 | |
7.58% 9/15/25 | 159,000 | 193,253 | |
Ortho-Clinical Diagnostics | |||
144A 7.25% 2/1/28 # | 90,000 | 96,638 | |
144A 7.375% 6/1/25 # | 107,000 | 113,554 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Healthcare (continued) | |||
Tenet Healthcare | |||
144A 4.25% 6/1/29 # | 175,000 | $ 179,032 | |
144A 6.125% 10/1/28 # | 200,000 | 211,500 | |
2,254,496 | |||
Insurance — 0.38% | |||
Arthur J Gallagher & Co. 3.50% 5/20/51 | 340,000 | 369,023 | |
Athene Global Funding 144A 1.00% 4/16/24 # | 90,000 | 90,617 | |
Athene Holding 3.95% 5/25/51 | 250,000 | 282,950 | |
GA Global Funding Trust 144A 1.00% 4/8/24 # | 365,000 | 367,734 | |
HUB International 144A 7.00% 5/1/26 # | 150,000 | 155,377 | |
USI 144A 6.875% 5/1/25 # | 343,000 | 350,392 | |
1,616,093 | |||
Media — 0.92% | |||
Altice Financing 144A 5.00% 1/15/28 # | 200,000 | 200,128 | |
AMC Networks 4.25% 2/15/29 | 395,000 | 392,531 | |
CCO Holdings | |||
144A 4.50% 8/15/30 # | 80,000 | 83,694 | |
4.50% 5/1/32 | 45,000 | 47,085 | |
144A 5.375% 6/1/29 # | 380,000 | 415,625 | |
Charter Communications Operating | |||
4.40% 12/1/61 | 40,000 | 43,953 | |
4.80% 3/1/50 | 70,000 | 81,947 | |
5.05% 3/30/29 | 100,000 | 118,532 | |
Clear Channel Outdoor Holdings 144A 7.50% 6/1/29 # | 105,000 | 108,806 | |
Comcast 3.20% 7/15/36 | 340,000 | 370,682 | |
CSC Holdings | |||
144A 3.375% 2/15/31 # | 200,000 | 190,516 | |
144A 5.00% 11/15/31 # | 215,000 | 214,220 | |
5.25% 6/1/24 | 5,000 | 5,400 | |
Cumulus Media New Holdings 144A 6.75% 7/1/26 # | 183,000 | 190,283 | |
Discovery Communications | |||
4.00% 9/15/55 | 40,000 | 42,912 | |
4.125% 5/15/29 | 135,000 | 152,576 | |
Gray Television 144A 4.75% 10/15/30 # | 175,000 | 173,193 | |
Nielsen Finance | |||
144A 4.50% 7/15/29 # | 45,000 | 44,655 | |
144A 4.75% 7/15/31 # | 150,000 | 148,401 | |
Sirius XM Radio 144A 4.00% 7/15/28 # | 315,000 | 322,198 | |
Terrier Media Buyer 144A 8.875% 12/15/27 # | 180,000 | 191,925 | |
Time Warner Cable 7.30% 7/1/38 | 60,000 | 87,508 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Media (continued) | |||
Time Warner Entertainment 8.375% 3/15/23 | 25,000 | $ 27,961 | |
ViacomCBS 4.375% 3/15/43 | 180,000 | 210,887 | |
3,865,618 | |||
Real Estate Investment Trusts — 0.24% | |||
Crown Castle International 1.05% 7/15/26 | 375,000 | 369,766 | |
CubeSmart 3.00% 2/15/30 | 140,000 | 148,330 | |
Iron Mountain 144A 4.50% 2/15/31 # | 320,000 | 329,501 | |
MGM Growth Properties Operating Partnership | |||
144A 3.875% 2/15/29 # | 35,000 | 37,148 | |
5.75% 2/1/27 | 120,000 | 138,321 | |
1,023,066 | |||
Services — 0.13% | |||
Legends Hospitality Holding 144A 5.00% 2/1/26 # | 110,000 | 113,437 | |
Prime Security Services Borrower 144A 5.75% 4/15/26 # | 225,000 | 243,695 | |
United Rentals North America 3.875% 2/15/31 | 176,000 | 182,476 | |
539,608 | |||
Technology & Electronics — 0.91% | |||
Apple 2.20% 9/11/29 | 140,000 | 146,217 | |
Broadcom 144A 3.469% 4/15/34 # | 345,000 | 365,636 | |
Fidelity National Information Services 1.65% 3/1/28 | 365,000 | 365,209 | |
Fiserv 3.20% 7/1/26 | 235,000 | 255,534 | |
Global Payments 2.65% 2/15/25 | 135,000 | 141,938 | |
Go Daddy Operating 144A 3.50% 3/1/29 # | 175,000 | 173,055 | |
Marvell Technology 144A 2.45% 4/15/28 # | 260,000 | 267,626 | |
Microchip Technology | |||
144A 0.972% 2/15/24 # | 255,000 | 255,363 | |
144A 0.983% 9/1/24 # | 100,000 | 99,952 | |
NXP | |||
144A 3.25% 5/11/41 # | 60,000 | 64,463 | |
144A 4.875% 3/1/24 # | 230,000 | 251,916 | |
Oracle 2.875% 3/25/31 | 250,000 | 263,528 | |
PayPal Holdings 2.65% 10/1/26 | 340,000 | 365,644 | |
SS&C Technologies 144A 5.50% 9/30/27 # | 240,000 | 254,448 | |
StoneCo 144A 3.95% 6/16/28 # | 200,000 | 193,235 | |
VMware 1.00% 8/15/24 | 370,000 | 371,634 | |
3,835,398 | |||
Transportation — 0.17% | |||
Delta Air Lines 7.375% 1/15/26 | 97,000 | 114,261 | |
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 180,000 | 195,768 |
Principal amount° | Value (US $) | ||
Corporate Bonds (continued) | |||
Transportation (continued) | |||
Rutas 2 and 7 Finance 144A 3.413% 9/30/36 #, ^ | 200,000 | $ 146,547 | |
Southwest Airlines 5.125% 6/15/27 | 40,000 | 46,799 | |
United Airlines | |||
144A 4.375% 4/15/26 # | 65,000 | 67,560 | |
144A 4.625% 4/15/29 # | 80,000 | 83,102 | |
VistaJet Malta Finance 144A 10.50% 6/1/24 # | 50,000 | 54,315 | |
708,352 | |||
Utilities — 0.76% | |||
Calpine | |||
144A 4.50% 2/15/28 # | 67,000 | 69,094 | |
144A 5.00% 2/1/31 # | 185,000 | 188,484 | |
144A 5.25% 6/1/26 # | 122,000 | 125,965 | |
CenterPoint Energy 1.45% 6/1/26 | 255,000 | 257,307 | |
Duke Energy 4.875% 9/16/24 μ, ψ | 240,000 | 256,680 | |
Entergy Louisiana 4.95% 1/15/45 | 5,000 | 5,540 | |
Entergy Mississippi 2.85% 6/1/28 | 60,000 | 64,402 | |
Entergy Texas 3.55% 9/30/49 | 115,000 | 126,917 | |
Evergy 2.90% 9/15/29 | 160,000 | 171,103 | |
Evergy Metro 3.65% 8/15/25 | 25,000 | 27,438 | |
Infraestructura Energetica Nova 144A 3.75% 1/14/28 # | 205,000 | 222,328 | |
Mong Duong Finance Holdings 144A 5.125% 5/7/29 # | 500,000 | 503,125 | |
NextEra Energy Capital Holdings 5.65% 5/1/79 μ | 55,000 | 64,554 | |
Pacific Gas and Electric 2.10% 8/1/27 | 265,000 | 256,506 | |
PacifiCorp 2.90% 6/15/52 | 290,000 | 290,045 | |
PG&E 5.25% 7/1/30 | 95,000 | 93,703 | |
Southern California Edison | |||
4.00% 4/1/47 | 30,000 | 31,679 | |
4.875% 3/1/49 | 45,000 | 54,057 | |
Southwestern Electric Power 4.10% 9/15/28 | 165,000 | 188,334 | |
Vistra Operations 144A 4.375% 5/1/29 # | 175,000 | 177,844 | |
3,175,105 | |||
Total Corporate Bonds (cost $48,010,206) | 49,617,301 | ||
Non-Agency Asset-Backed Securities — 0.16% | |||
Diamond Infrastructure Funding Series 2021-1A A 144A 1.76% 4/15/49 # | 100,000 | 99,562 | |
Domino's Pizza Master Issuer Series 2021-1A A2I 144A 2.662% 4/25/51 # | 99,750 | 103,672 |
Principal amount° | Value (US $) | ||
Non-Agency Asset-Backed Securities (continued) | |||
Taco Bell Funding Series 2021-1A A2I 144A 1.946% 8/25/51 # | 200,000 | $ 200,456 | |
Trafigura Securitisation Finance Series 2021-1A A2 144A 1.08% 1/15/25 # | 250,000 | 249,863 | |
Total Non-Agency Asset-Backed Securities (cost $649,717) | 653,553 | ||
Non-Agency Collateralized Mortgage Obligations — 0.04% | |||
JP Morgan Mortgage Trust Series 2021-10 A3 144A 2.50% 12/25/51 #, • | 49,833 | 50,806 | |
Morgan Stanley Residential Mortgage Loan Trust Series 2021-4 A3 144A 2.50% 7/25/51 #, • | 99,793 | 101,683 | |
Total Non-Agency Collateralized Mortgage Obligations (cost $152,362) | 152,489 | ||
Non-Agency Commercial Mortgage-Backed Securities — 0.88% | |||
BANK | |||
Series 2017-BNK5 B 3.896% 6/15/60 • | 95,000 | 104,647 | |
Series 2019-BN20 A3 3.011% 9/15/62 | 250,000 | 272,365 | |
Series 2020-BN25 A5 2.649% 1/15/63 | 350,000 | 371,889 | |
Benchmark Mortgage Trust | |||
Series 2020-B17 A5 2.289% 3/15/53 | 350,000 | 360,783 | |
Series 2020-B20 A5 2.034% 10/15/53 | 300,000 | 302,580 | |
Series 2021-B24 A5 2.584% 3/15/54 | 260,000 | 273,955 | |
CD Mortgage Trust Series 2019-CD8 A4 2.912% 8/15/57 | 250,000 | 268,413 | |
CFCRE Commercial Mortgage Trust Series 2016-C7 A3 3.839% 12/10/54 | 100,000 | 111,286 | |
Citigroup Commercial Mortgage Trust Series 2019-C7 A4 3.102% 12/15/72 | 350,000 | 382,260 | |
Grace Trust Series 2020-GRCE A 144A 2.347% 12/10/40 # | 100,000 | 103,139 | |
GS Mortgage Securities Trust | |||
Series 2017-GS6 A3 3.433% 5/10/50 | 165,000 | 182,144 | |
Series 2019-GC42 A4 3.001% 9/1/52 | 350,000 | 380,103 | |
JPM-BB Commercial Mortgage Securities Trust Series 2015-C33 A4 3.77% 12/15/48 | 150,000 | 165,640 | |
Wells Fargo Commercial Mortgage Trust Series 2019-C54 A4 3.146% 12/15/52 | 375,000 | 411,536 | |
Total Non-Agency Commercial Mortgage-Backed Securities (cost $3,614,731) | 3,690,740 | ||
Principal amount° | Value (US $) | ||
Sovereign Bonds — 1.99%Δ | |||
Armenia — 0.05% | |||
Republic of Armenia International Bond | |||
144A 3.60% 2/2/31 # | 200,000 | $ 190,892 | |
190,892 | |||
Brazil — 0.09% | |||
Brazil Notas do Tesouro Nacional Serie F | |||
10.00% 1/1/27 | BRL | 2,000,000 | 386,518 |
386,518 | |||
Colombia — 0.08% | |||
Colombian TES | |||
7.00% 6/30/32 | COP | 1,270,900,000 | 330,308 |
330,308 | |||
Dominican Republic — 0.15% | |||
Dominican Republic International Bonds | |||
144A 4.50% 1/30/30 # | 396,000 | 412,834 | |
144A 4.875% 9/23/32 # | 200,000 | 210,502 | |
623,336 | |||
Egypt — 0.15% | |||
Egypt Government International Bonds | |||
144A 5.75% 5/29/24 # | 400,000 | 426,866 | |
7.903% 2/21/48 | 200,000 | 199,302 | |
626,168 | |||
Gabon — 0.05% | |||
Gabon Government International Bond | |||
144A 6.625% 2/6/31 # | 200,000 | 203,457 | |
203,457 | |||
Honduras — 0.05% | |||
Honduras Government International Bond | |||
144A 5.625% 6/24/30 # | 200,000 | 213,302 | |
213,302 | |||
Indonesia — 0.02% | |||
Indonesia Treasury Bond | |||
6.125% 5/15/28 | IDR | 1,339,000,000 | 96,230 |
96,230 | |||
Ivory Coast — 0.14% | |||
Ivory Coast Government International Bonds | |||
144A 4.875% 1/30/32 # | EUR | 200,000 | 241,526 |
144A 6.125% 6/15/33 # | 200,000 | 219,777 |
Principal amount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Ivory Coast (continued) | |||
Ivory Coast Government International Bonds | |||
144A 6.875% 10/17/40 # | EUR | 100,000 | $ 132,359 |
593,662 | |||
Malaysia — 0.13% | |||
Malaysia Government Bond | |||
3.955% 9/15/25 | MYR | 2,131,000 | 539,273 |
539,273 | |||
Mongolia — 0.05% | |||
Mongolia Government International Bond | |||
144A 5.625% 5/1/23 # | 200,000 | 210,999 | |
210,999 | |||
Morocco — 0.08% | |||
Morocco Government International Bonds | |||
144A 1.375% 3/30/26 # | EUR | 100,000 | 119,706 |
144A 2.375% 12/15/27 # | 200,000 | 197,994 | |
317,700 | |||
North Macedonia — 0.03% | |||
North Macedonia Government International Bond | |||
144A 3.675% 6/3/26 # | EUR | 100,000 | 131,504 |
131,504 | |||
Paraguay — 0.11% | |||
Paraguay Government International Bond | |||
144A 4.95% 4/28/31 # | 400,000 | 466,504 | |
466,504 | |||
Peru — 0.13% | |||
Corp Financiera de Desarrollo 144A 2.40% 9/28/27 # | 200,000 | 198,344 | |
Peru Government Bond 6.95% 8/12/31 | PEN | 602,000 | 156,337 |
Peruvian Government International Bond 2.392% 1/23/26 | 200,000 | 207,226 | |
561,907 | |||
Romania — 0.10% | |||
Romania Government Bond 4.15% 1/26/28 | RON | 1,400,000 | 347,741 |
Romanian Government International Bond 144A 2.625% 12/2/40 # | EUR | 73,000 | 85,220 |
432,961 |
Principal amount° | Value (US $) | ||
Sovereign BondsΔ (continued) | |||
Senegal — 0.05% | |||
Senegal Government International Bond | |||
144A 6.25% 5/23/33 # | 200,000 | $ 215,935 | |
215,935 | |||
Serbia — 0.08% | |||
Serbia International Bond | |||
144A 3.125% 5/15/27 # | EUR | 250,000 | 329,798 |
329,798 | |||
Turkey — 0.05% | |||
Turkiye Ihracat Kredi Bankasi | |||
144A 5.75% 7/6/26 # | 200,000 | 201,745 | |
201,745 | |||
Ukraine — 0.17% | |||
Ukraine Government International Bonds | |||
144A 6.876% 5/21/29 # | 300,000 | 317,697 | |
144A 7.75% 9/1/21 # | 384,000 | 384,000 | |
701,697 | |||
Uruguay — 0.10% | |||
Uruguay Government International Bonds | |||
4.50% 8/14/24 | 53,000 | 57,307 | |
9.875% 6/20/22 | UYU | 14,730,000 | 354,230 |
411,537 | |||
Uzbekistan — 0.13% | |||
Republic of Uzbekistan International Bonds | |||
144A 3.90% 10/19/31 # | 300,000 | 300,546 | |
144A 4.75% 2/20/24 # | 250,000 | 264,493 | |
565,039 | |||
Total Sovereign Bonds (cost $8,283,763) | 8,350,472 | ||
Supranational Bank — 0.24% | |||
Banco Latinoamericano de Comercio Exterior 144A 2.375% 9/14/25 # | 250,000 | 256,988 | |
Banque Ouest Africaine de Developpement 144A 4.70% 10/22/31 # | 402,000 | 442,883 | |
Central American Bank For Economic Integration 144A 2.00% 5/6/25 # | 300,000 | 310,028 | |
Total Supranational Bank (cost $960,693) | 1,009,899 | ||
Principal amount° | Value (US $) | ||
US Treasury Obligations — 2.17% | |||
US Treasury Bonds | |||
2.25% 8/15/46 | 960,000 | $ 1,024,613 | |
4.375% 2/15/38 | 645,000 | 906,653 | |
US Treasury Notes | |||
0.375% 8/15/24 | 3,220,000 | 3,217,736 | |
0.75% 8/31/26 | 895,000 | 894,021 | |
0.875% 6/30/26 | 965,000 | 970,428 | |
1.25% 6/30/28 | 1,210,000 | 1,225,125 | |
1.25% 8/15/31 | 710,000 | 706,450 | |
US Treasury Strip Principal 2.245% 5/15/44 ^ | 270,000 | 174,042 | |
Total US Treasury Obligations (cost $9,010,508) | 9,119,068 |
Number of shares | |||
Common Stocks — 58.96% | |||
Communication Services — 4.10% | |||
Alphabet Class A † | 200 | 578,790 | |
Alphabet Class C † | 494 | 1,437,165 | |
AT&T | 60,621 | 1,662,228 | |
Century Communications =, † | 1,625,000 | 0 | |
Comcast Class A | 44,503 | 2,700,442 | |
Facebook Class A † | 3,622 | 1,374,114 | |
KDDI | 30,400 | 931,218 | |
Orange | 76,210 | 865,655 | |
Take-Two Interactive Software † | 5,592 | 901,542 | |
Verizon Communications | 73,844 | 4,061,420 | |
ViacomCBS Class B | 1,515 | 62,797 | |
Walt Disney † | 14,466 | 2,622,686 | |
17,198,057 | |||
Consumer Discretionary — 8.10% | |||
adidas AG | 3,320 | 1,177,791 | |
Amazon.com † | 1,175 | 4,078,178 | |
Bath & Body Works | 12,005 | 810,097 | |
Best Buy | 5,901 | 687,526 | |
Buckle | 31,265 | 1,210,894 | |
Dollar General | 11,211 | 2,499,044 | |
Dollar Tree † | 25,600 | 2,317,824 | |
eBay | 10,450 | 801,933 | |
H & M Hennes & Mauritz Class B † | 34,030 | 682,063 | |
Home Depot | 7,122 | 2,323,054 |
Number of shares | Value (US $) | ||
Common Stocks (continued) | |||
Consumer Discretionary (continued) | |||
Lowe's | 21,912 | $ 4,467,638 | |
Newell Brands | 10,542 | 267,872 | |
Next | 3,480 | 378,452 | |
NIKE Class B | 8,764 | 1,443,781 | |
Publicis Groupe | 18,900 | 1,238,994 | |
PulteGroup | 8,779 | 472,837 | |
Ross Stores | 10,552 | 1,249,357 | |
Sodexo † | 11,980 | 990,460 | |
Sturm Ruger & Co. | 15,661 | 1,224,534 | |
Swatch Group | 5,220 | 1,471,803 | |
Tesla † | 376 | 276,631 | |
TJX | 20,324 | 1,477,961 | |
Tractor Supply | 7,536 | 1,463,868 | |
Ulta Beauty † | 1,828 | 708,003 | |
Victoria's Secret & Co. † | 4,001 | 265,266 | |
33,985,861 | |||
Consumer Staples — 5.28% | |||
Altria Group | 29,210 | 1,467,218 | |
Archer-Daniels-Midland | 43,800 | 2,628,000 | |
Asahi Group Holdings | 14,700 | 683,323 | |
Clorox | 1,373 | 230,733 | |
Colgate-Palmolive | 6,451 | 502,856 | |
Conagra Brands | 75,100 | 2,487,312 | |
Danone | 22,510 | 1,644,423 | |
Diageo | 51,950 | 2,495,536 | |
Essity Class B | 24,910 | 799,018 | |
Kao | 18,600 | 1,123,625 | |
Kellogg | 13,328 | 841,530 | |
Kirin Holdings | 17,700 | 320,809 | |
Koninklijke Ahold Delhaize | 44,750 | 1,509,598 | |
Lawson | 11,500 | 554,015 | |
Nestle | 15,540 | 1,964,073 | |
Philip Morris International | 15,799 | 1,627,297 | |
Seven & i Holdings | 29,800 | 1,304,249 | |
22,183,615 | |||
Energy — 2.33% | |||
Chevron | 4,466 | 432,175 | |
ConocoPhillips | 70,897 | 3,936,911 | |
EOG Resources | 16,468 | 1,111,919 | |
Exxon Mobil | 32,179 | 1,754,399 |
Number of shares | Value (US $) | ||
Common Stocks (continued) | |||
Energy (continued) | |||
Kinder Morgan | 68,068 | $ 1,107,466 | |
Marathon Petroleum | 13,649 | 808,976 | |
Williams | 25,661 | 633,570 | |
9,785,416 | |||
Financials — 6.88% | |||
American Financial Group | 9,228 | 1,272,910 | |
American International Group | 49,700 | 2,711,632 | |
Ameriprise Financial | 3,710 | 1,012,496 | |
Artisan Partners Asset Management Class A | 22,944 | 1,192,170 | |
Banco Espirito Santo =, † | 105,000 | 0 | |
BlackRock | 1,901 | 1,793,194 | |
Blackstone | 9,621 | 1,209,648 | |
Diamond Hill Investment Group | 2,107 | 385,644 | |
Discover Financial Services | 29,211 | 3,745,435 | |
Invesco | 47,805 | 1,210,423 | |
MetLife | 64,031 | 3,969,922 | |
Principal Financial Group | 19,856 | 1,326,579 | |
Prudential Financial | 13,153 | 1,392,640 | |
S&P Global | 3,312 | 1,469,932 | |
Synchrony Financial | 18,084 | 899,679 | |
Truist Financial | 47,300 | 2,698,938 | |
US Bancorp | 45,300 | 2,599,767 | |
28,891,009 | |||
Healthcare — 8.58% | |||
AbbVie | 14,352 | 1,733,435 | |
Alexandria Real Estate Equities | 1,955 | 403,453 | |
AmerisourceBergen | 11,159 | 1,363,741 | |
Amgen | 5,598 | 1,262,517 | |
Cardinal Health | 42,700 | 2,241,323 | |
Cigna | 11,000 | 2,328,150 | |
CVS Health | 31,100 | 2,686,729 | |
Eli Lilly & Co. | 2,715 | 701,257 | |
Fresenius Medical Care AG & Co. | 23,070 | 1,771,683 | |
Healthcare Trust of America Class A | 7,823 | 237,272 | |
Humana | 1,576 | 638,942 | |
Johnson & Johnson | 30,272 | 5,240,991 | |
Merck & Co. | 54,595 | 4,165,053 | |
Molina Healthcare † | 2,541 | 682,945 | |
Novo Nordisk Class B | 22,330 | 2,225,484 | |
Organon & Co. | 1,668 | 56,529 |
Number of shares | Value (US $) | ||
Common Stocks (continued) | |||
Healthcare (continued) | |||
Pfizer | 42,591 | $ 1,962,167 | |
Roche Holding | 4,050 | 1,626,413 | |
Smith & Nephew | 76,030 | 1,458,191 | |
UnitedHealth Group | 1,209 | 503,270 | |
Viatris | 187,093 | 2,737,171 | |
36,026,716 | |||
Industrials — 3.24% | |||
Dover | 15,017 | 2,618,364 | |
Honeywell International | 11,233 | 2,605,045 | |
Knorr-Bremse | 3,070 | 368,471 | |
Lockheed Martin | 3,179 | 1,143,804 | |
Northrop Grumman | 7,100 | 2,610,670 | |
Raytheon Technologies | 30,179 | 2,557,972 | |
Securitas Class B | 100,180 | 1,663,001 | |
United Parcel Service Class B | 134 | 26,215 | |
13,593,542 | |||
Information Technology — 13.40% | |||
Adobe † | 3,236 | 2,147,733 | |
Amadeus IT Group † | 17,310 | 1,057,094 | |
Analog Devices | 5,387 | 877,833 | |
Apple | 55,731 | 8,461,638 | |
Broadcom | 9,150 | 4,549,471 | |
Cisco Systems | 67,374 | 3,976,413 | |
Cognizant Technology Solutions Class A | 34,932 | 2,665,661 | |
Dropbox Class A † | 41,127 | 1,304,137 | |
Enphase Energy † | 2,589 | 449,787 | |
Fidelity National Information Services | 17,563 | 2,244,025 | |
HP | 44,569 | 1,325,482 | |
International Business Machines | 6,275 | 880,634 | |
Lam Research | 2,403 | 1,453,382 | |
Microsoft | 24,994 | 7,545,189 | |
Monolithic Power Systems | 3,207 | 1,587,241 | |
Motorola Solutions | 11,500 | 2,808,530 | |
NetApp | 17,680 | 1,572,282 | |
NVIDIA | 5,500 | 1,231,175 | |
Oracle | 28,800 | 2,566,944 | |
Paychex | 11,182 | 1,280,004 | |
Paycom Software † | 456 | 222,938 | |
QUALCOMM | 10,036 | 1,472,181 | |
SAP | 9,900 | 1,489,934 |
Number of shares | Value (US $) | ||
Common Stocks (continued) | |||
Information Technology (continued) | |||
TE Connectivity | 4,637 | $ 696,570 | |
Western Union | 47,174 | 1,020,845 | |
Xilinx | 8,823 | 1,372,771 | |
56,259,894 | |||
Materials — 1.31% | |||
Air Liquide | 9,680 | 1,735,251 | |
Dow | 19,668 | 1,237,117 | |
DuPont de Nemours | 34,200 | 2,531,484 | |
5,503,852 | |||
Real Estate — 0.01% | |||
eXp World Holdings | 1,237 | 56,716 | |
56,716 | |||
REIT Diversified — 0.35% | |||
Cousins Properties | 4,732 | 182,466 | |
DigitalBridge Group † | 3,273 | 22,584 | |
Gaming and Leisure Properties | 3,321 | 163,725 | |
Lexington Realty Trust | 12,939 | 175,065 | |
VICI Properties | 30,119 | 930,978 | |
1,474,818 | |||
REIT Healthcare — 0.57% | |||
CareTrust REIT | 7,355 | 161,737 | |
Healthpeak Properties | 3,381 | 121,716 | |
Medical Properties Trust | 40,332 | 825,999 | |
National Health Investors | 601 | 35,952 | |
Omega Healthcare Investors | 24,274 | 813,907 | |
Ventas | 2,201 | 123,124 | |
Welltower | 3,434 | 300,578 | |
2,383,013 | |||
REIT Hotel — 0.04% | |||
Apple Hospitality REIT | 6,896 | 101,923 | |
Chatham Lodging Trust † | 3,125 | 37,500 | |
Host Hotels & Resorts † | 1,589 | 26,314 | |
165,737 | |||
REIT Industrial — 0.43% | |||
Americold Realty Trust | 3,335 | 122,528 | |
Duke Realty | 6,010 | 315,585 | |
Plymouth Industrial REIT | 1,182 | 27,848 | |
Prologis | 9,199 | 1,238,737 |
Number of shares | Value (US $) | ||
Common Stocks (continued) | |||
REIT Industrial (continued) | |||
Terreno Realty | 1,637 | $ 109,368 | |
1,814,066 | |||
REIT Information Technology — 0.32% | |||
Digital Realty Trust | 2,919 | 478,453 | |
Equinix | 1,036 | 873,814 | |
1,352,267 | |||
REIT Mall — 0.14% | |||
Simon Property Group | 4,237 | 569,665 | |
569,665 | |||
REIT Manufactured Housing — 0.11% | |||
Equity LifeStyle Properties | 1,448 | 123,182 | |
Sun Communities | 1,727 | 347,973 | |
471,155 | |||
REIT Mortgage — 0.42% | |||
AGNC Investment | 72,261 | 1,178,577 | |
Annaly Capital Management | 65,466 | 568,899 | |
1,747,476 | |||
REIT Multifamily — 0.93% | |||
American Homes 4 Rent Class A | 3,230 | 135,466 | |
Apartment Income REIT | 779 | 39,589 | |
AvalonBay Communities | 884 | 202,949 | |
Camden Property Trust | 1,113 | 166,994 | |
Equity Residential | 33,823 | 2,843,500 | |
Essex Property Trust | 1,141 | 377,374 | |
Mid-America Apartment Communities | 745 | 143,316 | |
3,909,188 | |||
REIT Office — 0.17% | |||
Boston Properties | 1,272 | 143,723 | |
Columbia Property Trust | 4,855 | 81,176 | |
Douglas Emmett | 1,563 | 51,595 | |
Highwoods Properties | 4,490 | 205,148 | |
Kilroy Realty | 1,773 | 116,397 | |
Piedmont Office Realty Trust Class A | 4,110 | 73,240 | |
SL Green Realty | 737 | 51,649 | |
722,928 | |||
REIT Self-Storage — 0.33% | |||
CubeSmart | 2,044 | 109,354 | |
Extra Space Storage | 1,940 | 362,606 |
Number of shares | Value (US $) | ||
Common Stocks (continued) | |||
REIT Self-Storage (continued) | |||
Life Storage | 1,654 | $ 205,824 | |
National Storage Affiliates Trust | 2,053 | 117,534 | |
Public Storage | 1,812 | 586,381 | |
1,381,699 | |||
REIT Shopping Center — 0.30% | |||
Brixmor Property Group | 9,471 | 222,095 | |
Federal Realty Investment Trust | 600 | 73,062 | |
Kimco Realty | 9,098 | 198,245 | |
Kite Realty Group Trust | 4,751 | 96,255 | |
Regency Centers | 2,696 | 184,999 | |
Retail Opportunity Investments | 8,919 | 161,256 | |
SITE Centers | 11,123 | 179,192 | |
Urban Edge Properties | 8,282 | 156,861 | |
1,271,965 | |||
REIT Single Tenant — 0.22% | |||
Agree Realty | 2,880 | 214,704 | |
Four Corners Property Trust | 4,393 | 125,684 | |
Realty Income | 2,842 | 205,249 | |
Spirit Realty Capital | 3,546 | 183,576 | |
STORE Capital | 5,397 | 194,670 | |
923,883 | |||
REIT Specialty — 0.41% | |||
Essential Properties Realty Trust | 4,227 | 136,997 | |
Invitation Homes | 9,021 | 371,485 | |
Iron Mountain | 21,345 | 1,019,224 | |
Outfront Media † | 2,207 | 54,645 | |
WP Carey | 1,685 | 131,632 | |
1,713,983 | |||
Utilities — 0.99% | |||
Edison International | 44,100 | 2,550,744 | |
NRG Energy | 31,703 | 1,447,876 | |
PPL | 4,631 | 135,920 | |
4,134,540 | |||
Total Common Stocks (cost $210,132,229) | 247,521,061 | ||
Convertible Preferred Stock — 1.70% | |||
2020 Mandatory Exchangeable Trust 144A 6.50% exercise price $47.09, maturity date 5/16/23 # | 484 | 947,104 |
Number of shares | Value (US $) | ||
Convertible Preferred Stock (continued) | |||
Algonquin Power & Utilities 7.75% exercise price $18.00, maturity date 6/15/24 | 5,623 | $ 283,962 | |
AMG Capital Trust II 5.15% exercise price $195.47, maturity date 10/15/37 | 7,957 | 478,295 | |
Bank of America 7.25% exercise price $50.00 ** | 478 | 701,704 | |
El Paso Energy Capital Trust I 4.75% exercise price $34.49, maturity date 3/31/28 | 28,379 | 1,426,045 | |
Elanco Animal Health 5.00% exercise price $38.40, maturity date 2/1/23 | 9,636 | 499,723 | |
Essential Utilities 6.00% exercise price $42.19, maturity date 4/30/22 | 14,350 | 877,359 | |
Lyondellbasell Advanced Polymers 6.00% exercise price $52.33 ** | 971 | 1,015,957 | |
UGI 7.25% exercise price $52.57, maturity date 6/1/24 | 8,729 | 911,778 | |
Total Convertible Preferred Stock (cost $6,165,694) | 7,141,927 | ||
Preferred Stock — 0.00% | |||
Washington Prime Group 6.875% 11/04/21 ψ | 4,347 | 19,127 | |
Total Preferred Stock (cost $93,025) | 19,127 | ||
Exchange-Traded Funds — 4.68% | |||
iShares Core MSCI Emerging Markets ETF | 121,260 | 7,771,553 | |
iShares Global Infrastructure ETF | 207,010 | 9,628,035 | |
iShares Russell 1000 Growth ETF | 1,100 | 319,990 | |
iShares Trust iShares ESG Aware MSCI EAFE ETF | 6,180 | 500,209 | |
Vanguard FTSE Developed Markets ETF | 1,460 | 76,592 | |
Vanguard Mega Cap Growth ETF | 5,432 | 1,350,450 | |
Total Exchange-Traded Funds (cost $19,989,892) | 19,646,829 | ||
Limited Partnerships — 2.53% | |||
Merion Champion's Walk=, †, π | 2,790,000 | 2,846,470 | |
Merion Countryside=, †, π | 2,342,813 | 3,134,683 | |
Merion The Ledges=, †, π | 4,093,765 | 4,660,137 | |
Total Limited Partnerships (cost $5,168,760) | 10,641,290 |
Principal amount° | Value (US $) | ||
Leveraged Non-Recourse Security — 0.00% | |||
JPMorgan Fixed Income Pass Through Trust Auction Series 2007-B 144A 0.248% 1/15/87 #, =, ♦ | 1,300,000 | $ 1,300 | |
Total Leveraged Non-Recourse Security (cost $1,105,000) | 1,300 |
Number of shares | |||
Short-Term Investments — 5.54% | |||
Money Market Mutual Funds — 5.54% | |||
BlackRock FedFund – Institutional Shares (seven-day effective yield 0.03%) | 5,813,013 | 5,813,013 | |
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 0.01%) | 5,813,013 | 5,813,013 | |
GS Financial Square Government Fund – Institutional Shares (seven-day effective yield 0.03%) | 5,813,013 | 5,813,013 | |
Morgan Stanley Government Portfolio – Institutional Share Class (seven-day effective yield 0.03%) | 5,813,013 | 5,813,013 | |
Total Short-Term Investments (cost $23,252,052) | 23,252,052 | ||
Total Value of Securities—100.10% (cost $372,927,508) | 420,219,324 | ||
Liabilities Net of Receivables and Other Assets—(0.10)% | (406,774) | ||
Net Assets Applicable to 26,570,250 Shares Outstanding—100.00% | $419,812,550 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At August 31, 2021, the aggregate value of Rule 144A securities was $40,260,199, which represents 9.59% of the Fund's net assets. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at August 31, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
μ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at August 31, 2021. Rate will reset at a future date. |
ψ | Perpetual security. Maturity date represents next call date. |
Δ | Securities have been classified by country of origin. |
† | Non-income producing security. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security. |
** | Perpetual security with no stated maturity date. |
π | Restricted security. These investments are in securities not registered under the Securities Act of 1933, as amended, and have certain restrictions on resale which may limit their liquidity. At May 31, 2021, the aggregate value of restricted securities was $10,641,290, which represented 2.53% of the Fund’s net assets. See table on the next page for additional details on restricted securities. |
♦ | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
Restricted Securities | ||||||
Investments | Date of Acquisition | Cost | Value | |||
Merion Champion's Walk | 8/4/2017 | $1,794,665 | $2,578,901 | |||
Merion Champion's Walk | 2/13/2018 | 46,551 | 66,892 | |||
Merion Champion's Walk | 7/11/2018 | 49,321 | 66,892 | |||
Merion Champion's Walk | 10/22/2018 | 50,256 | 66,892 | |||
Merion Champion's Walk | 2/13/2019 | 51,170 | 66,893 | |||
Merion Countryside | 8/13/2020 | — | 3,134,683 | |||
Merion The Ledges | 9/26/2018 | 2,936,634 | 4,350,773 | |||
Merion The Ledges | 9/12/2019 | 122,896 | 168,744 | |||
Merion The Ledges | 2/1/2021 | 117,267 | 140,620 | |||
Total | $5,168,760 | $10,641,290 |
Foreign Currency Exchange Contracts | ||||||||||||
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||
BNYM | CHF | (36,252) | USD | 39,574 | 9/2/21 | $— | $(15) | |||||
BNYM | GBP | (13,595) | USD | 18,691 | 9/2/21 | — | (1) | |||||
BNYM | JPY | (1,867,305) | USD | 16,953 | 9/1/21 | — | (18) | |||||
CITI | COP | (1,320,528,000) | USD | 342,744 | 10/1/21 | — | (7,032) | |||||
JPMCB | BRL | (1,878,568) | USD | 355,352 | 10/8/21 | — | (5,983) | |||||
JPMCB | EUR | (1,201,926) | USD | 1,421,489 | 10/8/21 | 1,205 | — | |||||
JPMCB | KZT | 305,813,456 | USD | (702,696) | 10/8/21 | 9,128 | — | |||||
JPMCB | MXN | 20,507 | USD | (1,016) | 10/8/21 | — | (1) | |||||
Total Foreign Currency Exchange Contracts | $10,333 | $(13,050) |
Futures Contracts Exchange-Traded | |||||||||||||
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | |||||||
7 | US Treasury 5 yr Notes | $866,031 | $863,696 | 12/31/21 | $2,335 | $— | $(55) | ||||||
(10) | US Treasury 10 yr Notes | (1,334,531) | (1,330,287) | 12/21/21 | — | (4,244) | 781 | ||||||
(3) | US Treasury 10 yr Ultra Notes | (444,047) | (444,321) | 12/21/21 | 274 | — | 797 | ||||||
Total Futures Contracts | $(910,912) | $2,609 | $(4,244) | $1,523 |
CDS Contracts1 | ||||||||||||
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount2 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Depreciation3 | Variation Margin Due from (Due to) Brokers | ||||||
Over-The-Counter: | ||||||||||||
Protection Purchased/Moody’s Ratings: | ||||||||||||
JPMCB-Republic of Turkey 11.875% 1/15/30 B2 6/22/26- Quarterly | 200,000 | 1.000% | $22,796 | $32,069 | $(9,273) | $— | ||||||
JPMCB-Federative Republic of Brazil 4.25% 6/6/25 B2 6/22/26- Quarterly | 359,000 | 1.000% | 12,292 | 19,963 | (7,671) | — | ||||||
Total CDS Contracts | $35,088 | $52,032 | $(16,944) | $— |
1 | A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the CDS agreement. |
2 | Notional amount shown is stated in USD unless noted that the swap is denominated in another currency. |
3 | Unrealized appreciation (depreciation) does not include periodic interest payments (receipt) on swap contracts accrued daily in the amount of $(1,118) |
Summary of abbreviations: |
AG – Aktiengesellschaft |
BB – Barclays Bank |
BNYM – Bank of New York Mellon |
CDS – Credit Default Swap |
CITI – Citigroup |
CLO – Collateralized Loan Obligation |
EAFE – Europe, Australasia, and Far East |
ESG – Environmental, Social, and Governance |
ETF – Exchange-Traded Fund |
FTSE – Financial Times Stock Exchange |
GS – Goldman Sachs |
ICE – Intercontinental Exchange, Inc. |
JPM – JPMorgan |
JPMCB – JPMorgan Chase Bank |
LIBOR – London interbank offered rate |
LIBOR03M – ICE LIBOR USD 3 Month |
LIBOR06M – ICE LIBOR USD 6 Month |
MSCI – Morgan Stanley Capital International |
REIT – Real Estate Investment Trust |
S&P – Standard & Poor’s Financial Services LLC |
S.F. – Single Family |
SOFR – Secured Overnight Financing Rate |
TBA – To be announced |
yr – Year |
Summary of currencies: |
BRL – Brazilian Real |
CHF – Swiss Franc |
COP – Colombia Peso |
EUR – European Monetary Unit |
GBP – British Pound Sterling |
IDR – Indonesia Rupiah |
JPY – Japanese Yen |
Summary of currencies: (continued) |
KZT – Kazakhstan Tenge |
MXN – Mexican Peso |
MYR – Malaysia Ringgit |
PEN – Peruvian Sol |
RON – Romania New Leu |
USD – US Dollar |
UYU – Uruguay Peso |