NPORT-EX 2 HI.htm DELAWARE IVY VIP HIGH INCOME SOI HTML
     SCHEDULE OF INVESTMENTS   
    High Income (in thousands)    SEPTEMBER 30, 2021 (UNAUDITED)
    

 

COMMON STOCKS   Shares     Value    

 

  

Communication Services

 

Integrated Telecommunication Services – 1.0%

 

Frontier Communications Corp.(A)

     325           $9,050  
   

 

 

  
Total Communication Services - 1.0%

 

     9,050  

 

  

Consumer Discretionary

 

Apparel Retail – 0.1%

 

True Religion Apparel,
Inc.(A)(B)

     — *      517  
   

 

 

  

Casinos & Gaming – 1.1%

 

New Cotai Participation Corp., Class B(A)(B)(C)(E)

     3,073       6,601  

Studio City International Holdings Ltd. ADR(A)

     343       2,803  

Studio City International Holdings Ltd. ADR(A)(C)

     141       1,155  
   

 

 

  
      10,559  
   

 

 

  

Education Services – 0.8%

 

Laureate Education, Inc., Class A(A)

     443       7,520  
   

 

 

  
Total Consumer Discretionary - 2.0%

 

     18,596  

 

  

Consumer Staples

 

Food Distributors – 0.0%

 

ASG Warrant
Corp.(A)(B)(C)(D)

     1       —  
   

 

 

  
Total Consumer Staples - 0.0%

 

     —  

 

  

Energy

 

Coal & Consumable Fuels – 0.4%

 

Foresight Energy
L.P.(A)(B)(C)

     186       3,922  

Westmoreland
Coal Co.(A)(D)

     29       43  
   

 

 

  
      3,965  
   

 

 

  

Oil & Gas Drilling – 0.2%

 

KCA Deutag UK Finance plc(A)(D)

     27       2,217  

Vantage Drilling Co., Units(A)

     — *      1  
   

 

 

  
      2,218  
   

 

 

  

Oil & Gas Equipment & Services – 0.0%

 

Larchmont Resources LLC(A)(C)(D)(E)

     1       2  
   

 

 

  

Oil & Gas Exploration & Production – 0.0%

 

Sabine Oil & Gas
Corp.(A)(C)(D)

     — *      1  
   

 

 

  
Total Energy - 0.6%

 

     6,186  

 

  

Industrials

 

Air Freight & Logistics – 0.0%

 

BIS Industries Ltd.(B)(C)(D)

     1,605       — * 
   

 

 

  
Total Industrials - 0.0%

 

     — * 

 

  
TOTAL COMMON STOCKS – 3.6%

 

     $33,832  

 

  

(Cost: $56,977)

 

INVESTMENT FUNDS

 

 

  

Registered Investment Companies – 3.8%

 

Invesco Senior Loan ETF

     424       9,378  

iShares iBoxx $ High Yield Corporate Bond ETF

     290       25,372  
   

 

 

  
      34,750  
   

 

 

  
TOTAL INVESTMENT FUNDS – 3.8%

 

         $34,750  

 

  

(Cost: $33,375)

 

PREFERRED STOCKS    

 

  

Consumer Discretionary

 

Apparel Retail – 0.0%

 

True Religion Apparel,
Inc.(A)(D)

     — *      119  
   

 

 

  
Total Consumer Discretionary - 0.0%

 

     119  

 

  

Energy

 

Oil & Gas Exploration & Production – 0.9%

 

Targa Resources Corp.,
9.500%(A)(C)

     8       8,122  
   

 

 

  
Total Energy - 0.9%

 

     8,122  

 

  

TOTAL PREFERRED STOCKS – 0.9%

 

     $8,241  

 

  

(Cost: $8,808)

 

WARRANTS    

 

  

Oil & Gas Exploration & Production – 0.0%

 

California Resources Corp., expires 10-27-24(F)

     8       93  
   

 

 

  
TOTAL WARRANTS – 0.0%

 

     $93  

 

  

(Cost: $674)

 

CORPORATE DEBT
SECURITIES		   Principal        

 

  

Communication Services

 

Advertising – 1.8%

 

Advantage Sales & Marketing, Inc.,
6.500%, 11-15-28(G)

     $5,940       6,199  

Centerfield Media Holdings LLC,
6.625%, 8-1-26(G)

     1,634       1,685  

Midas OpCo Holdings LLC,
5.625%, 8-15-29(G)

     8,171       8,465  
   

 

 

  
      16,349  
   

 

 

  

Broadcasting – 1.2%

 

Clear Channel International B.V.,
6.625%, 8-1-25(G)

     572       598  

Clear Channel Outdoor Holdings, Inc.:

    

5.125%, 8-15-27(G)

     5,583       5,785  

7.750%, 4-15-28(G)

     2,016       2,124  

7.500%, 6-1-29(G)

     2,657       2,767  
   

 

 

  
      11,274  
   

 

 

  

Cable & Satellite – 6.4%

 

Altice Financing S.A.,
5.750%, 8-15-29(G)

     5,719       5,547  

Altice France Holding S.A.:

    

10.500%, 5-15-27(G)

     4,453       4,875  

6.000%, 2-15-28(G)

     10,750       10,341  

Altice France S.A.:

    

5.125%, 7-15-29(G)

     2,375       2,332  

5.500%, 10-15-29(G)

     1,292       1,281  

CSC Holdings LLC:

    

5.750%, 1-15-30(G)

     1,372       1,397  

5.000%, 11-15-31(G)

     2,381       2,285  

DIRECTV Holdings LLC and DIRECTV Financing Co., Inc.,
5.875%, 8-15-27(G)

     1,552       1,622  

DISH DBS Corp.:

    

7.750%, 7-1-26

     2,868       3,242  

7.375%, 7-1-28

     751       798  

5.125%, 6-1-29

     3,322       3,259  

LCPR Senior Secured Financing Designated Activity Co.,
5.125%, 7-15-29(G)

     913       942  

Ligado Networks LLC (15.000% Cash or 15.000% PIK),
15.500%, 11-1-23(G)(H)

     7,651       6,938  

Ligado Networks LLC (17.500% Cash or 17.500% PIK),
17.500%, 5-1-24(G)(H)

     551       378  

Telesat Canada and Telesat LLC:

    

5.625%, 12-6-26(G)

     6,406       6,158  

6.500%, 10-15-27(G)

     1,130       981  

VTR Comunicaciones S.p.A.,
4.375%, 4-15-29(G)

     3,166       3,267  

VTR Finance B.V.,
6.375%, 7-15-28(G)

     2,826       3,050  
   

 

 

  
          58,693  
   

 

 

  

Integrated Telecommunication Services – 4.7%

 

Cablevision Lightpath LLC,
5.625%, 9-15-28(G)

     1,225       1,231  

Consolidated Communications, Inc.:

    

5.000%, 10-1-28(G)(I)

     1,129       1,167  

6.500%, 10-1-28(G)

     2,423       2,635  

Frontier Communications Corp.:

    

5.875%, 10-15-27(G)

     316       336  

6.750%, 5-1-29(G)

     3,287       3,469  

5.875%, 11-1-29

     1,011       1,025  

Northwest Fiber LLC,
10.750%, 6-1-28(G)

     1,327       1,495  

Northwest Fiber LLC and Nortwest Fiber Finance Sub, Inc.,
6.000%, 2-15-28(G)

     1,703       1,696  

West Corp.,
8.500%, 10-15-25(G)(I)

     19,709       19,609  

Windstream Escrow LLC,
7.750%, 8-15-28(G)

     10,631       11,120  
   

 

 

  
      43,783  
   

 

 

  

Interactive Media & Services – 0.3%

 

Cars.com, Inc., 6.375%, 11-1-28(G)

     2,355       2,487  
   

 

 

  

Movies & Entertainment – 1.5%

 

Premier Entertainment Sub LLC and Premier Entertainment Finance Corp.:

    

5.625%, 9-1-29(G)

     8,169       8,262  

5.875%, 9-1-31(G)

     5,224       5,285  
   

 

 

  
      13,547  
   

 

 

  

Wireless Telecommunication Service – 3.8%

 

Digicel Group Ltd.,
8.750%, 5-25-24(G)

     1,651       1,711  
 

Digicel Group Ltd. (5.000%
Cash and 3.000% PIK),
8.000%, 4-1-25(G)(H)

     1,312       1,170  

Digicel Group Ltd. (7.000% Cash or 7.000% PIK),
7.000%, 10-1-68(G)(H)

     562       462  

Digicel International Finance Ltd.:

    

8.750%, 5-25-24(G)

     11,226       11,636  

8.000%, 12-31-26(G)

     1,474       1,433  

Digicel International Finance Ltd. (6.000% Cash and 7.000% PIK),
13.000%, 12-31-25(G)(H)

     741       748  

Digicel International Finance Ltd. (8.000% Cash and 2.000% PIK or 10.000% PIK),
10.000%, 4-1-24(H)

     7,510       7,519  

Digicel Ltd.,
6.750%, 3-1-23(G)

     10,833       10,227  
   

 

 

  
          34,906  
   

 

 

  
Total Communication Services - 19.7%

 

     181,039  

 

  

Consumer Discretionary

 

Apparel Retail – 0.5%

 

Victoria’s Secret & Co.,
4.625%, 7-15-29(G)

     4,478       4,570  
   

 

 

  

Automotive Retail – 1.4%

 

Asbury Automotive Group, Inc.:

    

4.500%, 3-1-28

     2,577       2,648  

4.750%, 3-1-30

     4,451       4,651  

Ken Garff Automotive LLC,
4.875%, 9-15-28(G)

     781       804  

Lithia Motors, Inc.:

    

3.875%, 6-1-29(G)

     1,666       1,731  

4.375%, 1-15-31(G)

     1,271       1,359  

Sonic Automotive, Inc.,
6.125%, 3-15-27

     1,225       1,275  
   

 

 

  
      12,468  
   

 

 

  

Casinos & Gaming – 0.2%

 

Everi Holdings, Inc.,
5.000%, 7-15-29(G)

     1,625       1,667  
   

 

 

  

Education Services – 1.1%

 

Adtalem Global Education, Inc.,
5.500%, 3-1-28(G)

     9,502       9,604  
   

 

 

  

Homefurnishing Retail – 0.1%

 

Ambience Merger Sub, Inc.:

    

4.875%, 7-15-28(G)

     488       489  

7.125%, 7-15-29(G)

     864       857  
   

 

 

  
      1,346  
   

 

 

  

Hotels, Resorts & Cruise Lines – 1.8%

 

Boyne USA, Inc.,
4.750%, 5-15-29(G)

     801       828  

Carnival Corp.:

    

11.500%, 4-1-23(G)

     304       340  

10.500%, 2-1-26(G)

     394       457  

7.625%, 3-1-26(G)

     793       847  

5.750%, 3-1-27(G)

     2,535       2,624  

9.875%, 8-1-27(G)

     1,550       1,791  

NCL Corp. Ltd.:

    

12.250%, 5-15-24(G)

     2,960       3,496  

10.250%, 2-1-26(G)

     1,865       2,143  

5.875%, 3-15-26(G)

     784       805  

Royal Caribbean Cruises Ltd.:

    

11.500%, 6-1-25(G)

     293       335  

5.500%, 4-1-28(G)

     3,167       3,244  
   

 

 

  
      16,910  
   

 

 

  

Internet & Direct Marketing Retail – 1.0%

 

Arches Buyer, Inc.:

    

4.250%, 6-1-28(G)

     4,746       4,818  

6.125%, 12-1-28(G)

     3,964       4,046  
   

 

 

  
      8,864  
   

 

 

  

Leisure Facilities – 0.4%

 

Legends Hospitality Holding Co. LLC,
5.000%, 2-1-26(G)

     479       492  

Live Nation Entertainment, Inc.,
4.750%, 10-15-27(G)

     2,724       2,772  
   

 

 

  
      3,264  
   

 

 

  

Leisure Products – 0.7%

 

MajorDrive Holdings IV LLC, 6.375%, 6-1-29(G)

     6,450       6,242  
   

 

 

  

Specialized Consumer Services – 1.1%

 

Nielsen Finance LLC and Nielsen Finance Co.:

    

5.625%, 10-1-28(G)

     2,343       2,434  

5.875%, 10-1-30(G)

     1,926       2,030  

StoneMor, Inc., 8.500%, 5-15-29(G)

     5,085       5,231  
   

 

 

  
      9,695  
   

 

 

  

Specialty Stores – 5.9%

 

Bed Bath & Beyond, Inc.,
5.165%, 8-1-44

     1,921       1,657  

Magic MergerCo, Inc.:

    

5.250%, 5-1-28(G)

     2,801       2,893  

7.875%, 5-1-29(G)

     6,793       7,068  

Party City Holdings, Inc.,
8.750%, 2-15-26(G)

     7,848       8,221  

Party City Holdings, Inc. (5.000% Cash and 5.000% PIK),
10.000%, 8-15-26(G)(H)

     226       223  

Party City Holdings, Inc. (6-Month U.S. LIBOR plus 500 bps),
5.750%, 7-15-25(G)(J)

     389       365  

PetSmart, Inc. and PetSmart Finance Corp.:

    

4.750%, 2-15-28(G)

     3,959       4,073  

7.750%, 2-15-29(G)

     868       948  

Staples, Inc.:

    

7.500%, 4-15-26(G)

     20,079       20,390  

10.750%, 4-15-27(G)

     8,805       8,585  
   

 

 

  
      54,423  
   

 

 

  
Total Consumer Discretionary - 14.2%

 

       129,053  

 

  

Consumer Staples

 

Food Distributors – 0.6%

 

Performance Food Group, Inc.,
4.250%, 8-1-29(G)

     5,216       5,235  
   

 

 

  

Packaged Foods & Meats – 0.8%

 

Pilgrim’s Pride Corp.,
4.250%, 4-15-31(G)

     3,775       4,061  

Post Holdings, Inc.,
4.500%, 9-15-31(G)

     1,618       1,601  

Simmons Foods, Inc., 4.625%, 3-1-29(G)

     1,590       1,604  
   

 

 

  
      7,266  
   

 

 

  
Total Consumer Staples - 1.4%

 

     12,501  

 

  

Energy

 

Oil & Gas Drilling – 0.3%

 

KCA Deutag UK Finance plc:

    

9.875%, 12-1-25

     1,654       1,806  

Offshore Drilling Holding S.A.,
8.375%, 9-20-20(G)(K)(L)

     8,682       832  
   

 

 

  
          2,638  
   

 

 

  

Oil & Gas Equipment & Services – 0.1%

 

Nine Energy Service, Inc.,
8.750%, 11-1-23(G)

     1,917       923  
   

 

 

  

Oil & Gas Exploration & Production – 3.1%

 

Antero Resources Corp.,
5.375%, 3-1-30(G)

     666       702  

Ascent Resources Utica Holdings LLC and ARU Finance Corp.:

    

7.000%, 11-1-26(G)

     1,898       1,965  

8.250%, 12-31-28(G)

     157       171  

5.875%, 6-30-29(G)

     809       828  

California Resources Corp.,
7.125%, 2-1-26(G)

     481       508  

Chesapeake Escrow Issuer LLC:

    

5.500%, 2-1-26(G)

     1,603       1,677  

5.875%, 2-1-29(G)

     1,202       1,286  

Colgate Energy Partners III LLC,
5.875%, 7-1-29(G)

     646       652  

Crownrock L.P.,
5.625%, 10-15-25(G)

     5,764       5,906  

CrownRock L.P. and CrownRock Finance, Inc.,
5.000%, 5-1-29(G)

     792       828  

Endeavor Energy Resources L.P.,
5.500%, 1-30-26(G)

     2,349       2,450  

Laredo Petroleum, Inc.:

    

9.500%, 1-15-25

     4,315       4,477  

10.125%, 1-15-28(I)

     2,876       3,113  

Murphy Oil Corp.,
6.375%, 7-15-28

     643       681  

Range Resources Corp.,
8.250%, 1-15-29(G)

     158       178  

Vine Energy Holdings LLC,
6.750%, 4-15-29

     3,165       3,420  
   

 

 

  
      28,842  
   

 

 

  

Oil & Gas Refining & Marketing – 1.7%

 

Callon Petroleum Co. (GTD by Callon Petroleum Operating Co.):

    

6.125%, 10-1-24(I)

     1,081       1,064  

9.000%, 4-1-25(G)

     317       343  

Comstock Resources, Inc.:

    

6.750%, 3-1-29(G)

     3,716       4,018  

5.875%, 1-15-30(G)

     1,937       2,017  

CVR Energy, Inc.,
5.250%, 2-15-25(G)

     1,531       1,518  

PBF Holding Co. LLC,
9.250%, 5-15-25(G)

     7,266       6,895  
   

 

 

  
      15,855  
   

 

 

  

Oil & Gas Storage & Transportation – 0.6%

 

Crestwood Midstream Partners L.P.:

    

5.750%, 4-1-25

     801       819  

5.625%, 5-1-27(G)

     1,636       1,686  

6.000%, 2-1-29(G)

     320       335  

Hess Midstream Operations L.P.,
4.250%, 2-15-30(G)

     654       662  

Rattler Midstream L.P.,
5.625%, 7-15-25(G)

     1,528       1,593  
   

 

 

  
      5,095  
   

 

 

  
Total Energy - 5.8%

 

     53,353  

 

  

Financials

 

Insurance Brokers – 2.9%

 

Ardonagh Midco 2 plc,
11.500%, 1-15-27(G)

     7,105       7,787  

NFP Corp.,
6.875%, 8-15-28(G)

     18,324       18,735  
   

 

 

  
          26,522  
   

 

 

  

Investment Banking & Brokerage – 0.4%

 

INTL FCStone, Inc.,
8.625%, 6-15-25(G)

     3,835       4,127  
   

 

 

  
 

Property & Casualty Insurance – 0.5%

 

Highlands Holdings Bond Issuer Ltd. and Highlands Holdings Bond Co-Issuer, Inc. (7.625% Cash or 8.375% PIK),
7.625%, 10-15-25(G)(H)

     3,896       4,142  
   

 

 

  

Specialized Finance – 1.7%

 

BCPE Cycle Merger Sub II, Inc., 10.625%, 7-15-27(G)

     8,340       8,875  

Compass Group Diversified Holdings LLC,
5.250%, 4-15-29(G)

     6,378       6,681  
   

 

 

  
      15,556  
   

 

 

  

Thrifts & Mortgage Finance – 0.7%

 

Provident Funding Associates L.P. and PFG Finance Corp., 6.375%, 6-15-25(G)

     6,187       6,305  
   

 

 

  
Total Financials - 6.2%

 

         56,652  

 

  

Health Care

 

Health Care Services – 0.4%

 

Heartland Dental LLC,
8.500%, 5-1-26(G)

     509       528  

ModivCare Escrow Issuer, Inc.,
5.000%, 10-1-29(G)

     3,472       3,603  
   

 

 

  
      4,131  
   

 

 

  

Health Care Supplies – 0.8%

 

Mozart Debt Merger Sub, Inc.:

    

3.875%, 4-1-29(G)

     6,644       6,644  

5.250%, 10-1-29(G)

     884       884  
   

 

 

  
      7,528  
   

 

 

  

Pharmaceuticals – 0.9%

 

P&L Development LLC and PLD Finance Corp.,
7.750%, 11-15-25(G)

     4,958       5,158  

Par Pharmaceutical, Inc., 7.500%, 4-1-27(G)

     2,936       2,995  
   

 

 

  
      8,153  
   

 

 

  
Total Health Care - 2.1%

 

     19,812  

 

  

Industrials

 

Aerospace & Defense – 3.0%

 

TransDigm, Inc. (GTD by TransDigm Group, Inc.):

    

7.500%, 3-15-27

     2,709       2,841  

5.500%, 11-15-27

     7,030       7,232  

4.625%, 1-15-29

     1,597       1,597  

Wolverine Escrow LLC:

    

8.500%, 11-15-24(G)(I)

     7,126       6,636  

9.000%, 11-15-26(G)

     9,546       8,830  

13.125%, 11-15-27(G)

     858       573  
   

 

 

  
      27,709  
   

 

 

  

Building Products – 0.2%

 

CP Atlas Buyer, Inc., 7.000%, 12-1-28(G)

     1,146       1,150  

Park River Holdings, Inc., 5.625%, 2-1-29(G)

     1,046       1,015  
   

 

 

  
      2,165  
   

 

 

  

Diversified Support Services – 1.1%

 

Ahern Rentals, Inc.,
7.375%, 5-15-23(G)

     3,526       3,385  

Deluxe Corp.,
8.000%, 6-1-29(G)

     2,083       2,180  

Nesco Holdings II, Inc.,
5.500%, 4-15-29(G)

     4,712       4,893  
   

 

 

  
      10,458  
   

 

 

  

Security & Alarm Services – 0.3%

 

Prime Security Services Borrower LLC and Prime Finance, Inc., 6.250%, 1-15-28(G)

     2,158       2,234  
   

 

 

  
Total Industrials - 4.6%

 

     42,566  

 

  

Information Technology

 

Application Software – 2.0%

 

J2 Global, Inc.,
4.625%, 10-15-30(G)

     939       999  

Kronos Acquisition Holdings, Inc. and KIK Custom Products, Inc.:

    

5.000%, 12-31-26(G)

     2,411       2,411  

7.000%, 12-31-27(G)

     1,757       1,687  

NCR Corp.:

    

5.750%, 9-1-27(G)

     772       815  

5.000%, 10-1-28(G)

     2,287       2,340  

5.125%, 4-15-29(G)

     8,677       8,959  

6.125%, 9-1-29(G)

     983       1,068  

5.250%, 10-1-30(G)

     782       821  
   

 

 

  
      19,100  
   

 

 

  

Data Processing & Outsourced Services – 0.1%

 

MoneyGram International, Inc.,
5.375%, 8-1-26(G)

     815       828  
   

 

 

  

Internet Services & Infrastructure – 0.3%

 

Consensus Cloud Solutions, Inc.:

    

6.000%, 10-15-26(G)

     830       855  

6.500%, 10-15-28(G)

     1,992       2,072  
   

 

 

  
            2,927  
   

 

 

  

IT Consulting & Other Services – 0.1%

 

Sabre GLBL, Inc. (GTD by Sabre Holdings Corp.):

    

9.250%, 4-15-25(G)

     756       875  

7.375%, 9-1-25(G)

     313       334  
   

 

 

  
      1,209  
   

 

 

  

Technology Hardware, Storage & Peripherals
– 0.3%

 

Brightstar Escrow Corp.,
9.750%, 10-15-25(G)

     2,165       2,325  
   

 

 

  
Total Information Technology - 2.8%

 

     26,389  

 

  

Materials

 

Commodity Chemicals – 0.9%

 

LSF9 Atlantis Holdings LLC and Victra Finance Corp.,
7.750%, 2-15-26(G)

     4,013       4,166  

NOVA Chemicals Corp.:

    

5.250%, 6-1-27(G)

     1,655       1,741  

4.250%, 5-15-29(G)

     1,591       1,593  
   

 

 

  
      7,500  
   

 

 

  

Metal & Glass Containers – 0.3%

 

ARD Finance S.A. (6.500% Cash or 7.250% PIK),
6.500%, 6-30-27(G)(H)

     2,463       2,620  
   

 

 

  
Total Materials - 1.2%

 

     10,120  

 

  

Real Estate

 

Specialized REITs – 0.0%

 

Uniti Group L.P., Uniti Group Finance 2019, Inc. and CSL Capital LLC (GTD by Uniti Group, Inc.),
4.750%, 4-15-28(G)

     394       403  
   

 

 

  
Total Real Estate - 0.0%

 

     403  

 

  

TOTAL CORPORATE DEBT SECURITIES – 58.0%

 

     $531,888  

 

  

(Cost: $525,230)

 

LOANS(J)

    

 

  

Communication Services

 

Advertising – 0.8%

 

Advantage Sales & Marketing, Inc. (1-Month ICE LIBOR plus 525 bps),
6.000%, 10-28-27

     295       297  

Advantage Sales & Marketing, Inc. (ICE LIBOR plus 525 bps),
6.000%, 10-28-27

     7,572       7,624  
   

 

 

  
      7,921  
   

 

 

  

Broadcasting – 0.7%

 

Clear Channel Outdoor Holdings, Inc. (ICE LIBOR plus 350 bps),
3.629%, 8-21-26

     6,482       6,357  
   

 

 

  

Cable & Satellite – 0.5%

 

DIRECTV Financing LLC (1-Month ICE LIBOR plus 500 bps),
5.750%, 7-22-27

     4,574       4,583  
   

 

 

  

Integrated Telecommunication Services – 1.7%

 

West Corp. (3-Month ICE LIBOR plus 400 bps),
5.000%, 10-10-24

     14,537       14,345  

Windstream Services LLC (ICE LIBOR plus 625 bps),
7.250%, 9-21-27

     1,272       1,279  
   

 

 

  
          15,624  
   

 

 

  

Wireless Telecommunication Service – 0.8%

 

Digicel International Finance Ltd. (ICE LIBOR plus 325 bps),
3.430%, 5-27-24

     7,786       7,535  
   

 

 

  
Total Communication Services - 4.5%

 

     42,020  

 

  

Consumer Discretionary

 

Apparel Retail – 0.5%

 

Torrid LLC (1-Month ICE LIBOR plus 550 bps),
6.250%, 6-14-28(B)

     5,003       5,034  
   

 

 

  

Casinos & Gaming – 0.1%

 

New Cotai LLC (14.000% Cash or 14.000% PIK),
14.000%, 9-10-25(C)(H)

     926       917  
   

 

 

  

Homefurnishing Retail – 0.4%

 

Ambience Merger Sub, Inc. (1-Month ICE LIBOR plus 425 bps),
4.750%, 6-25-28

     3,251       3,254  
   

 

 

  

Internet & Direct Marketing Retail – 0.4%

 

CNT Holdings I Corp. (ICE LIBOR plus 375 bps),
4.500%, 11-8-27

     1,930       1,934  

CNT Holdings I Corp. (ICE LIBOR plus 675 bps),
7.500%, 11-6-28

     2,060       2,101  
   

 

 

  
      4,035  
   

 

 

  

Leisure Facilities – 0.5%

 

United PF Holdings LLC (ICE LIBOR plus 400 bps),
4.132%, 12-30-26

     4,210       4,099  
 

United PF Holdings LLC (ICE LIBOR plus 850 bps),
9.500%, 11-12-26(B)

     934       938  
   

 

 

  
      5,037  
   

 

 

  

Leisure Products – 0.4%

 

MajorDrive Holdings IV LLC (1-Month ICE LIBOR plus 400 bps),
4.500%, 6-1-28

     3,857       3,870  
   

 

 

  

Specialty Stores – 2.9%

 

Bass Pro Group LLC (ICE LIBOR plus 425 bps),
5.000%, 3-5-28

     672       676  

Jo-Ann Stores, Inc. (1-Month ICE LIBOR plus 475 bps),
5.500%, 6-30-28

     8,775       8,561  

Michaels Cos., Inc. (The) (1-Month ICE LIBOR plus 425 bps),
5.000%, 4-15-28

     3,158       3,166  

PetSmart, Inc. (ICE LIBOR plus 375 bps),
4.500%, 2-12-28

     7,210       7,237  

Staples, Inc. (ICE LIBOR plus 500 bps),
5.126%, 4-12-26

     5,954       5,694  

Woof Holdings LLC (1-Month ICE LIBOR plus 725 bps),
8.000%, 12-21-28

     544       552  

Woof Holdings LLC (ICE LIBOR plus 375 bps),
4.500%, 12-21-27

     876       879  
   

 

 

  
          26,765  
   

 

 

  

Textiles – 0.4%

 

SIWF Holdings, Inc. (ICE LIBOR plus 425 bps),
4.334%, 6-15-25

     4,144       4,148  
   

 

 

  
Total Consumer Discretionary - 5.6%

 

     53,060  

 

  

Energy

 

Coal & Consumable Fuels – 0.2%

 

Foresight Energy LLC (ICE LIBOR plus 800 bps),
9.500%, 6-29-27(C)

     1,283       1,283  

Westmoreland Mining Holdings LLC (15.000% Cash or 15.000% PIK),
15.000%, 3-15-29(H)

     2,429       504  
   

 

 

  
      1,787  
   

 

 

  

Oil & Gas Equipment & Services – 0.1%

 

Larchmont Resources LLC (9.000% Cash or 9.000% PIK),
9.000%, 8-7-22(B)(E)(H)

     760       722  
   

 

 

  

Oil & Gas Exploration & Production – 0.2%

 

Ascent Resources Utica Holdings LLC,
0.000%, 11-1-25(M)

     493       543  

Ascent Resources Utica Holdings LLC (1-Month ICE LIBOR plus 900 bps),
10.000%, 11-1-25

     740       814  
   

 

 

  
      1,357  
   

 

 

  

Oil & Gas Storage & Transportation – 0.4%

 

EPIC Crude Services L.P. (ICE LIBOR plus 500 bps),
5.121%, 3-1-26

     5,538       4,192  
   

 

 

  
Total Energy - 0.9%

 

     8,058  

 

  

Financials

 

Asset Management & Custody Banks – 0.7%

 

Edelman Financial Holdings II, Inc. (ICE LIBOR plus 675 bps),
6.834%, 7-20-26

     6,487       6,556  
   

 

 

  

Insurance Brokers – 0.8%

 

Navacord Corp.,
0.000%, 3-16-29(B)(M)(N)

     CAD260       206  

Navacord Corp. (1-Month Canadian Bankers Acceptances plus 425 bps),
5.000%, 3-16-28(B)(N)

     1,162       928  

Navacord Corp. (1-Month CDOR plus 425 bps),
5.000%, 3-16-28(B)(N)

     5,116       4,084  

Navacord Corp. (1-Month CDOR plus 750 bps),
8.000%, 3-16-29(B)(N)

     2,586       2,047  
   

 

 

  
      7,265  
   

 

 

  

Property & Casualty Insurance – 0.9%

 

Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps),
4.584%, 2-28-25

     $8,694       8,694  
   

 

 

  

Specialized Finance – 0.8%

 

Gulf Finance LLC (ICE LIBOR plus 525 bps),
6.250%, 8-25-23

     5,956       5,741  

Lealand Finance Co. B.V., 0.000%, 6-30-24(B)(M)

     23       14  

Lealand Finance Co. B.V. (ICE LIBOR plus 300 bps),
3.085%, 6-30-24(B)

     72       43  

Sunset Debt Merger Sub, Inc.,
0.000%, 9-17-28(B)(M)

     1,660       1,650  
   

 

 

  
      7,448  
   

 

 

  

Total Financials - 3.2%

 

         29,963  

 

  

Health Care

 

Health Care Facilities – 0.4%

 

Surgery Center Holdings, Inc. (1-Month ICE LIBOR plus 375 bps),
4.500%, 8-31-26

     3,229       3,238  
   

 

 

  

Health Care Services – 1.7%

 

Heartland Dental LLC (ICE LIBOR plus 375 bps),
3.584%, 4-30-25

     4,723       4,691  

U.S. Renal Care, Inc. (3-Month ICE LIBOR plus 500 bps),
5.125%, 7-26-26

     10,747       10,742  
   

 

 

  
      15,433  
   

 

 

  

Total Health Care - 2.1%

 

     18,671  

 

  

Industrials

 

Building Products – 0.5%

 

CP Atlas Buyer, Inc. (ICE LIBOR plus 375 bps),
4.250%, 11-23-27

     4,429       4,424  
   

 

 

  

Construction & Engineering – 0.2%

 

WaterBridge Midstream Operating LLC (3-Month ICE LIBOR plus 575 bps),
6.750%, 6-21-26

     1,998       1,954  
   

 

 

  

Industrial Conglomerates – 1.7%

 

PAE Holding Corp. (ICE LIBOR plus 450 bps),
5.250%, 10-19-27

     15,445       15,453  
   

 

 

  

Industrial Machinery – 1.3%

 

Form Technologies LLC (ICE LIBOR plus 475 bps),
5.750%, 7-22-25(B)

     12,034       12,094  
   

 

 

  

Research & Consulting Services – 0.2%

 

Ankura Consulting Group LLC (ICE LIBOR plus 450 bps),
5.250%, 3-17-28

     1,571       1,577  
   

 

 

  

Total Industrials - 3.9%

 

     35,502  

 

  

Information Technology

 

Application Software – 0.5%

 

Applied Systems, Inc. (ICE LIBOR plus 550 bps),
6.250%, 9-19-25

     4,178       4,245  
   

 

 

  

Communications Equipment – 1.3%

 

MLN U.S. Holdco LLC (ICE LIBOR plus 450 bps):

    

0.000%, 11-30-25(M)

     1,399       1,276  

4.583%, 11-30-25

     9,431       8,601  

MLN U.S. Holdco LLC (ICE LIBOR plus 875 bps),
8.833%, 11-30-26

     2,920       1,900  
   

 

 

  
          11,777  
   

 

 

  

Data Processing & Outsourced Services – 1.3%

 

CommerceHub, Inc. (1-Month ICE LIBOR plus 475 bps),
7.750%, 12-2-28(B)

     3,112       3,182  

CommerceHub, Inc. (ICE LIBOR plus 400 bps),
4.750%, 12-2-27

     2,913       2,922  

Cyxtera DC Holdings, Inc. (ICE LIBOR plus 325 bps),
4.000%, 5-1-24

     4,509       4,483  

MoneyGram International, Inc.,
0.000%, 7-14-26(M)

     1,305       1,307  
   

 

 

  
      11,894  
   

 

 

  

Internet Services & Infrastructure – 0.2%

 

Informatica LLC,
7.125%, 2-25-25

     1,669       1,696  
   

 

 

  

IT Consulting & Other Services – 1.1%

 

Gainwell Acquisition Corp. (ICE LIBOR plus 400 bps),
4.750%, 10-1-27

     7,639       7,668  

Ivanti Software, Inc. (1-Month ICE LIBOR plus 400 bps),
4.750%, 12-1-27

     744       747  

Ivanti Software, Inc. (1-Month U.S. LIBOR plus 475 bps),
5.750%, 12-1-27

     1,861       1,868  
   

 

 

  
      10,283  
   

 

 

  

Total Information Technology - 4.4%

 

     39,895  

 

  

Materials

 

Commodity Chemicals – 0.3%

 

ASP Unifrax Holdings, Inc. (1-Month ICE LIBOR plus 375 bps),
3.882%, 12-14-25

     3,246       3,212  
   

 

 

  
 

Specialty Chemicals – 0.1%

 

NIC Acquisition Corp. (1-Month ICE LIBOR plus 375 bps),
4.500%, 12-29-27

     786       785  

NIC Acquisition Corp. (1-Month ICE LIBOR plus 775 bps),
8.500%, 12-29-28(B)

     504       506  
   

 

 

  
      1,291  
   

 

 

  
Total Materials - 0.4%

 

     4,503  

 

  
TOTAL LOANS – 25.0%

 

       $231,672  

 

  

(Cost: $233,818)

 

SHORT-TERM

SECURITIES

     Shares    

 

  

Money Market Funds(P) - 12.1%

 

Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 0.010%(O)

     21,944       21,944  

State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.030%

     89,206       89,206  
   

 

 

  
      111,150  
   

 

 

  

TOTAL SHORT-TERM SECURITIES – 12.1%

 

     $111,150  

 

  

(Cost: $111,150)

 

TOTAL INVESTMENT SECURITIES – 103.4%

 

     $951,626  

 

  

(Cost: $970,032)

 

LIABILITIES, NET OF CASH AND OTHER ASSETS – (3.4)%

 

     (31,318)  

 

  
NET ASSETS – 100.0%

 

     $920,308  

 

  
 

 

Notes to Schedule of Investments

 

*

Not shown due to rounding.

 

(A)

No dividends were paid during the preceding 12 months.

 

(B)

Securities whose value was determined using significant unobservable inputs.

 

(C)

Restricted securities. At September 30, 2021, the Fund owned the following restricted securities:

 

Security    Acquisition Date(s)         Shares        Cost      Value  

ASG Warrant Corp.

      5-31-18        1     $ 72      $ –  * 

BIS Industries Ltd.

      12-22-17        1,605       151        –  * 

Foresight Energy L.P.

      6-30-20        186       3,639        3,922  

Larchmont Resources LLC

      12-8-16        1       340        1  

New Cotai Participation Corp., Class B

      9-29-20        3,073       28,520        6,602  

Sabine Oil & Gas Corp.

      12-7-16        –  *      11        1  

Studio City International Holdings Ltd. ADR

      8-5-20        141       2,200        1,155  

Targa Resources Corp., 9.500%

      10-24-17        8       8,416        8,122  
            Principal               

Foresight Energy LLC (ICE LIBOR plus 800 bps), 9.500%, 06-29-27

      12-31-20        $1,283       1,283        1,283  

New Cotai LLC (14.000% Cash or 14.000% PIK), 14.000%, 09-10-25

      9-10-20 to 3-16-21        926       926        917  
       

 

 

  
        $      45,558      $      22,003  
       

 

 

  

 

 

The total value of these securities represented 2.4% of net assets at September 30, 2021.

 

(D)

Listed on an exchange outside the United States.

 

(E)

Deemed to be an affiliate due to the Fund owning at least 5% of the voting securities.

 

(F)

Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

(G)

Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2021 the total value of these securities amounted to $479,108 or 52.1% of net assets.

 

(H)

Payment-in-kind bond which may pay interest in additional par and/or in cash. Rates shown are the current rate and possible payment rates.

 

(I)

All or a portion of securities with an aggregate value of $21,422 are on loan.

 

(J)

Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2021. Description of the reference rate and spread, if applicable, are included in the security description.

 

(K)

Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy.

 

(L)

Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at September 30, 2021.

 

(M)

All or a portion of this position has not settled. Full contract rates do not take effect until settlement date.

 

(N)

Principal amounts are denominated in the indicated foreign currency, where applicable (CAD - Canadian Dollar).

 

(O)

Investment made with cash collateral received from securities on loan.

 

(P)

Rate shown is the annualized 7-day yield at September 30, 2021.

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.

Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:

• Level 1 - Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities.

• Level 2 - Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

• Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following forward foreign currency contracts were outstanding at September 30, 2021:

 

     

Currency to be

Delivered

         

Currency to be

Received

    Settlement
Date		    Counterparty   

Unrealized

Appreciation

   

Unrealized

Depreciation

Canadian Dollar

    9,213    U.S. Dollar    7,188    11-19-21    Morgan Stanley International    $—    $85

The following futures contracts were outstanding at September 30, 2021 (contracts unrounded):

 

Description    Type     

Number

of

Contracts

      Expiration Date     

Notional

Amount

      Value     

Unrealized

Appreciation

  

U.S. Treasury Long Bond

      Short        6        12-21-21        600        $(956)        $26  

U.S. Treasury Ultra Long Bond

      Short        3        12-21-21        300        (573)        21  
              

 

 

  
                         $(1,529)                $47  
              

 

 

  

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of September 30, 2021:

 

      Level 1      Level 2      Level 3  

Assets

         

Investments in Securities

         

  Common Stocks

         

  Communication Services

    $ 9,050      $ —      $ —    

  Consumer Discretionary

      11,478        —        7,118    

  Energy

      —        2,264        3,922    

  Industrials

      —        —        —    
  

 

 

  

  Total Common Stocks

    $      20,528      $      2,264      $      11,040    

  Investment Funds

      34,750        —        —    

  Preferred Stocks

      —        8,241        —    

  Warrants

      93        —        —    

  Corporate Debt Securities

      —        531,888        —    

  Loans

      —        200,224        31,448    

  Short-Term Securities

      111,150        —        —    
  

 

 

  

  Total

    $    166,521      $    742,617      $    42,488    
  

 

 

  

Futures Contracts

    $ 47      $ —      $ —    
  

 

 

  

Liabilities

         

Forward Foreign Currency Contracts

    $ —      $ 85      $ —    
  

 

 

  

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

      Common
Stocks		     Loans  

Beginning Balance 1-1-21

      $14,325       $17,036  

Net realized gain (loss)

      (753)       19  

Net unrealized appreciation (depreciation)

      (2,429)       3,017  

Purchases

      -       33,626  

Sales

      -       (22,444)  

Amortization/Accretion of premium/discount

      -       34  

Transfers into Level 3 during the period

      1,039       3,120  

Transfers out of Level 3 during the period

      (1,142)       (2,960)  
  

 

 

  

Ending Balance 9-30-21

            $11,040       $31,448  
  

 

 

  
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 9-30-21            $(3,182 )      $857  
  

 

 

  

Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information.

Information about Level 3 fair value measurements:

 

     

Fair Value

at

9-30-21

    Valuation Technique(s)    Unobservable Input(s)    Input Value(s)  

Assets

            

Common Stocks

    $517    Market approach    Revenue multiple      0.67x  
         Adjusted EBITDA multiple      4.62x  
   3,922    Market approach    Illiquidity discount      30.00%  
   6,601    Market approach    Financials      N/A  
               Premium      20.00%  

Loans

    31,448    Third-party vendor pricing service    Broker quotes      N/A  

The following acronyms are used throughout this schedule:

ADR = American Depositary Receipts

GTD = Guaranteed

ICE = Intercontinental Exchange

LIBOR = London Interbank Offered Rate

PIK = Payment in Kind

REIT = Real Estate Investment Trust

For Federal income tax purposes, cost of investments owned at September 30, 2021 and the related unrealized appreciation (depreciation) were as follows:

 

Cost

                  $970,032  
  

 

 

  

Gross unrealized appreciation

      27,362  

Gross unrealized depreciation

      (45,768)  
  

 

 

  

Net unrealized depreciation

      $(18,406)