MainStay VP Balanced Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Principal
Amount | Value | |||||||
| Long-Term Bonds 41.8% † | ||||||||
| Asset-Backed Securities 3.8% | ||||||||
| Automobile 0.4% | ||||||||
| Avis Budget Rental Car Funding AESOP LLC (a) | ||||||||
| Series 2019-3A, Class A 2.36%, due 3/20/26 | $ | 500,000 | $ | 497,931 | ||||
| Series 2019-1A, Class A 3.45%, due 3/20/23 | 100,000 | 102,714 | ||||||
| Mercedes Benz Auto Lease Trust Series 2019-A, Class A3 3.10%, due 11/15/21 | 150,000 | 151,570 | ||||||
| Toyota Auto Loan Extended Note Trust Series 2019-1A, Class A 2.56%, due 11/25/31 (a) | 750,000 | 766,590 | ||||||
| 1,518,805 | ||||||||
| Other Asset-Backed Securities 3.4% | ||||||||
| AIMCO CLO Series 2017-AA, Class A 3.85% (3 Month LIBOR + 1.26%), due 7/20/29 (a)(b) | 250,000 | 250,037 | ||||||
| Apidos CLO Series 2015-21A, Class A1R 3.53% (3 Month LIBOR + 0.93%), due 7/18/27 (a)(b) | 400,000 | 400,244 | ||||||
| Apidos CLO XXV Series 2016-25A, Class A1R 3.76% (3 Month LIBOR + 1.17%), due 10/20/31 (a)(b) | 400,000 | 399,383 | ||||||
| ARES CLO, Ltd. Series 2016-41A, Class AR 3.778% (3 Month LIBOR + 1.20%), due 1/15/29 (a)(b) | 350,000 | 349,890 | ||||||
| Ares XXIX CLO, Ltd. Series 2014-1A, Class A1R 3.77% (3 Month LIBOR + 1.19%), due 4/17/26 (a)(b) | 92,329 | 92,338 | ||||||
| Bain Capital Credit CLO, Ltd. Series 2016-2A, Class AR 3.269% (3 Month LIBOR + 1.14%), due 1/15/29 (a)(b) | 400,000 | 400,004 | ||||||
| Benefit Street Partners CLO, Ltd. Series 2015-VIIA, Class A1AR 3.38% (3 Month LIBOR + 0.78%), due 7/18/27 (a)(b) | 250,000 | 249,996 | ||||||
| Benefit Street Partners CLO IV, Ltd. Series 2014-IVA, Class A1 3.84% (3 Month LIBOR + 1.25%), due 1/20/29 (a)(b) | 300,000 | 300,046 | ||||||
| Cedar Funding IV CLO, Ltd. Series 2014-4A, Class AR 3.82% (3 Month LIBOR + 1.23%), due 7/23/30 (a)(b) | 750,000 | 749,503 | ||||||
| Deutsche Bank Master Finance LLC Series 2019-1A, Class A2I 3.787%, due 5/20/49 (a) | 548,625 | 564,974 | ||||||
| Domino's Pizza Master Issuer LLC Series 2017-1A, Class A2II 3.082%, due 7/25/47 (a) | 1,274,000 | 1,278,319 | ||||||
| Dryden Senior Loan Fund Series 2018-71A, Class A 3.78% (3 Month LIBOR + 1.15%), due 1/15/29 (a)(b) | 300,000 | 300,007 | ||||||
| Elara HGV Timeshare Issuer LLC Series 2017-A, Class A 2.69%, due 3/25/30 (a) | 109,193 | 110,033 | ||||||
| FOCUS Brands Funding LLC Series 2017-1A, Class A2I 3.857%, due 4/30/47 (a) | 97,750 | 98,234 | ||||||
| Galaxy XXII CLO, Ltd. Series 2016-22A, Class A1R 3.60% (3 Month LIBOR + 1.00%), due 7/16/28 (a)(b) | 250,000 | 250,000 | ||||||
| Hilton Grand Vacations Trust Series 2018-AA, Class A 3.54%, due 2/25/32 (a) | 335,407 | 346,055 | ||||||
| HPS Loan Management, Ltd. Series 2011-A17, Class A 3.994% (3 Month LIBOR + 1.26%), due 5/6/30 (a)(b) | 850,000 | 850,027 | ||||||
| Magnetite XVIII, Ltd. Series 2016-18A, Class AR 3.59% (3 Month LIBOR + 1.08%), due 11/15/28 (a)(b) | 400,000 | 400,232 | ||||||
| MVW Owner Trust Series 2019-1A, Class A 2.89%, due 11/20/36 (a) | 233,490 | 237,710 | ||||||
| Navient Private Education Refi Loan Trust Series 2019-CA, Class A2 3.13%, due 2/15/68 (a) | 300,000 | 308,124 | ||||||
| Octagon Investment Partners 30, Ltd. Series 2017-1A, Class A1 3.91% (3 Month LIBOR + 1.32%), due 3/17/30 (a)(b) | 350,000 | 350,863 | ||||||
| Palmer Square CLO, Ltd. (a)(b) | ||||||||
| Series 2014-1A, Class A1R2 3.433% (3 Month LIBOR + 1.13%), due 1/17/31 | 250,000 | 249,311 | ||||||
| Series 2015-1A, Class A1R2 3.74% (3 Month LIBOR + 1.22%), due 5/21/29 | 500,000 | 499,832 | ||||||
| Regatta VI Funding, Ltd. Series 2016-1A, Class AR 3.67% (3 Month LIBOR + 1.08%), due 7/20/28 (a)(b) | 400,000 | 399,764 | ||||||
| Sierra Receivables Funding Co. LLC Series 2019-1A, Class A 3.20%, due 1/20/36 (a) | 148,193 | 150,179 | ||||||
| SMB Private Education Loan Trust Series 2019-B, Class A2A 2.84%, due 6/15/37 (a) | 500,000 | 507,847 | ||||||
| SoFi Professional Loan Program LLC (a) | ||||||||
| Series 2019-C, Class A2FX 2.37%, due 11/16/48 | 250,000 | 250,145 | ||||||
| Series 2019-A, Class A1FX 3.18%, due 6/15/48 | 225,332 | 227,716 | ||||||
| Sound Point CLO XVI, Ltd. Series 2017-2A, Class A 3.86% (3 Month LIBOR + 1.28%), due 7/25/30 (a)(b) | 450,000 | 449,992 | ||||||
| Taco Bell Funding, LLC Series 2018-1A, Class A2I 4.318%, due 11/25/48 (a) | 397,000 | 411,197 | ||||||
| THL Credit Wind River CLO, Ltd. Series 2017-4A, Class A 3.66% (3 Month LIBOR + 1.15%), due 11/20/30 (a)(b) | 250,000 | 249,240 | ||||||
| TIAA CLO III, Ltd. Series 2017-2A, Class A 3.75% (3 Month LIBOR + 1.15%), due 1/16/31 (a)(b) | 350,000 | 348,421 | ||||||
| TICP CLO XIII, Ltd. Series 2019 13A, Class A 3.665% (3 Month LIBOR + 1.30%), due 7/15/32 (a)(b) | 350,000 | 349,960 | ||||||
| Treman Park CLO, Ltd. Series 2015-1A, Class ARR 3.66% (3 Month LIBOR + 1.07%), due 10/20/28 (a)(b) | 260,000 | 260,355 | ||||||
| Voya CLO, Ltd. Series 2019-1A, Class A 3.813% (3 Month LIBOR + 1.17%), due 4/15/29 (a)(b) | 250,000 | 249,998 | ||||||
| Westcott Park CLO, Ltd. Series 2016 1A, Class AR 3.68% (3 Month LIBOR + 1.21%), due 7/20/28 (a)(b) | 400,000 | 400,373 | ||||||
| 13,290,349 | ||||||||
| Total Asset-Backed Securities (Cost $14,719,730) | 14,809,154 | |||||||
| Corporate Bonds 16.3% | ||||||||
| Aerospace & Defense 0.4% | ||||||||
| BAE Systems PLC 4.75%, due 10/11/21 (a) | 1,225,000 | 1,278,446 | ||||||
| Boeing Co. 3.10%, due 5/1/26 | 240,000 | 251,399 | ||||||
| 1,529,845 | ||||||||
| Auto Manufacturers 1.0% | ||||||||
| Daimler Finance North America LLC 3.058% (3 Month LIBOR + 0.90%), due 2/15/22 (a)(b) | 550,000 | 552,844 | ||||||
| Ford Motor Credit Co. LLC | ||||||||
| 4.25%, due 9/20/22 | 820,000 | 839,529 | ||||||
| 5.875%, due 8/2/21 | 365,000 | 382,319 | ||||||
| General Motors Financial Co., Inc. 4.35%, due 4/9/25 | 600,000 | 624,989 | ||||||
| Volkswagen Group of America Finance LLC (a) | ||||||||
| 2.972% (3 Month LIBOR + 0.86%), due 9/24/21 (b) | 275,000 | 275,449 | ||||||
| 3.20%, due 9/26/26 | 300,000 | 302,337 | ||||||
| 4.00%, due 11/12/21 | 925,000 | 955,960 | ||||||
| 3,933,427 | ||||||||
| Banks 4.4% | ||||||||
| Bank of America Corp. 4.45%, due 3/3/26 | 2,245,000 | 2,446,579 | ||||||
| Bank of Montreal 2.768% (3 Month LIBOR + 0.63%), due 9/11/22 (b) | 600,000 | 603,270 | ||||||
| Citigroup, Inc. 4.60%, due 3/9/26 | 805,000 | 879,534 | ||||||
| Credit Suisse Group A.G. 2.593%, due 9/11/25 (a)(c) | 400,000 | 396,041 | ||||||
| Credit Suisse Group Funding Guernsey, Ltd. 3.80%, due 9/15/22 | 1,115,000 | 1,159,466 | ||||||
| Fifth Third Bancorp 4.30%, due 1/16/24 | 875,000 | 938,545 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 2.905%, due 7/24/23 (c) | 1,020,000 | 1,033,700 | ||||||
| 3.85%, due 1/26/27 | 550,000 | 583,204 | ||||||
| HSBC Holdings PLC | ||||||||
| 2.782% (3 Month LIBOR + 0.65%), due 9/11/21 (b) | 1,100,000 | 1,101,502 | ||||||
| 3.973%, due 5/22/30 (c) | 250,000 | 266,923 | ||||||
| Huntington Bancshares, Inc. 2.625%, due 8/6/24 | 1,250,000 | 1,262,122 | ||||||
| JPMorgan Chase & Co. 3.875%, due 9/10/24 | 2,045,000 | 2,175,930 | ||||||
| Lloyds Banking Group PLC 2.907%, due 11/7/23 (c) | 430,000 | 430,831 | ||||||
| Mizuho Financial Group, Inc. 2.977% (3 Month LIBOR + 0.85%), due 9/13/23 (b) | 300,000 | 300,630 | ||||||
| Morgan Stanley | ||||||||
| 2.72%, due 7/22/25 (c) | 1,200,000 | 1,212,022 | ||||||
| 3.625%, due 1/20/27 | 300,000 | 317,653 | ||||||
| 4.35%, due 9/8/26 | 695,000 | 752,633 | ||||||
| Santander UK PLC 3.40%, due 6/1/21 | 200,000 | 203,470 | ||||||
| SunTrust Bank 2.714% (3 Month LIBOR + 0.59%), due 5/17/22 (b) | 950,000 | 952,386 | ||||||
| 17,016,441 | ||||||||
| Beverages 0.4% | ||||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 4.00%, due 4/13/28 | 400,000 | 441,153 | ||||||
| 4.75%, due 1/23/29 | 895,000 | 1,040,224 | ||||||
| 1,481,377 | ||||||||
| Building Materials 0.5% | ||||||||
| Fortune Brands Home & Security, Inc. 4.00%, due 6/15/25 | 1,000,000 | 1,057,112 | ||||||
| Masco Corp. 4.45%, due 4/1/25 | 1,000,000 | 1,083,098 | ||||||
| 2,140,210 | ||||||||
| Chemicals 0.1% | ||||||||
| NewMarket Corp. 4.10%, due 12/15/22 | 475,000 | 494,292 | ||||||
| Diversified Financial Services 0.4% | ||||||||
| GE Capital International Funding Co. 3.373%, due 11/15/25 | 1,215,000 | 1,239,525 | ||||||
| TD Ameritrade Holding Corp. 2.95%, due 4/1/22 | 350,000 | 358,832 | ||||||
| 1,598,357 | ||||||||
| Electric 2.0% | ||||||||
| Arizona Public Service Co. 2.20%, due 1/15/20 | 300,000 | 299,951 | ||||||
| Commonwealth Edison Co. 3.10%, due 11/1/24 | 475,000 | 493,729 | ||||||
| DTE Electric Co. 2.65%, due 6/15/22 | 450,000 | 455,832 | ||||||
| Electricite de France S.A. 2.35%, due 10/13/20 (a) | 1,775,000 | 1,779,691 | ||||||
| Emera U.S. Finance, L.P. 2.70%, due 6/15/21 | 875,000 | 880,141 | ||||||
| Entergy Arkansas LLC 3.70%, due 6/1/24 | 450,000 | 480,016 | ||||||
| Entergy Corp. 4.00%, due 7/15/22 | 875,000 | 913,594 | ||||||
| Evergy, Inc. 4.85%, due 6/1/21 | 330,000 | 341,333 | ||||||
| Exelon Corp. 2.85%, due 6/15/20 | 500,000 | 502,091 | ||||||
| FirstEnergy Transmission LLC 4.35%, due 1/15/25 (a) | 600,000 | 647,287 | ||||||
| NextEra Energy Capital Holdings, Inc. 3.25%, due 4/1/26 | 450,000 | 467,468 | ||||||
| WEC Energy Group, Inc. 3.375%, due 6/15/21 | 400,000 | 408,676 | ||||||
| 7,669,809 | ||||||||
| Food 0.3% | ||||||||
| Conagra Brands, Inc. 4.85%, due 11/1/28 | 400,000 | 452,385 | ||||||
| Ingredion, Inc. 4.625%, due 11/1/20 | 175,000 | 179,097 | ||||||
| Kraft Heinz Foods Co. 3.00%, due 6/1/26 | 165,000 | 163,249 | ||||||
| Tyson Foods, Inc. 4.00%, due 3/1/26 | 375,000 | 406,607 | ||||||
| 1,201,338 | ||||||||
| Health Care - Products 0.4% | ||||||||
| Becton Dickinson & Co. 2.894%, due 6/6/22 | 1,413,000 | 1,434,489 | ||||||
| Iron & Steel 0.3% | ||||||||
| Carpenter Technology Corp. 4.45%, due 3/1/23 | 125,000 | 128,780 | ||||||
| Reliance Steel & Aluminum Co. 4.50%, due 4/15/23 | 825,000 | 871,537 | ||||||
| 1,000,317 | ||||||||
| Media 0.1% | ||||||||
| Fox Corp. 4.709%, due 1/25/29 (a) | 315,000 | 359,806 | ||||||
| Miscellaneous - Manufacturing 0.1% | ||||||||
| Parker-Hannifin Corp. 3.25%, due 6/14/29 | 300,000 | 312,537 | ||||||
| Multi-National 0.3% | ||||||||
| International Bank for Reconstruction & Development | ||||||||
| 2.00%, due 10/30/20 | 600,000 | 600,023 | ||||||
| 2.88%, due 5/15/24 | 650,000 | 651,297 | ||||||
| 1,251,320 | ||||||||
| Oil & Gas 0.8% | ||||||||
| Cenovus Energy, Inc. 4.25%, due 4/15/27 | 225,000 | 233,928 | ||||||
| Helmerich & Payne, Inc. 4.65%, due 3/15/25 | 475,000 | 513,363 | ||||||
| Nabors Industries, Inc. 5.00%, due 9/15/20 | 126,000 | 123,165 | ||||||
| Occidental Petroleum Corp. | ||||||||
| 3.137% (3 Month LIBOR + 0.95%), due 2/8/21 (b) | 375,000 | 377,403 | ||||||
| 4.85%, due 3/15/21 | 947,000 | 979,321 | ||||||
| 5.55%, due 3/15/26 | 800,000 | 902,294 | ||||||
| Petroleos Mexicanos 5.35%, due 2/12/28 (d) | 50,000 | 47,782 | ||||||
| 3,177,256 | ||||||||
| Oil & Gas Services 0.3% | ||||||||
| Schlumberger Holdings Corp. 3.75%, due 5/1/24 (a) | 1,075,000 | 1,132,124 | ||||||
| Packaging & Containers 0.2% | ||||||||
| WRKCo, Inc. 3.75%, due 3/15/25 | 800,000 | 842,134 | ||||||
| Pharmaceuticals 0.6% | ||||||||
| Bayer U.S. Finance II LLC 3.875%, due 12/15/23 (a) | 425,000 | 443,956 | ||||||
| Bristol-Myers Squibb Co. 3.20%, due 6/15/26 (a) | 725,000 | 760,608 | ||||||
| Cigna Corp. 4.125%, due 11/15/25 | 1,140,000 | 1,224,012 | ||||||
| 2,428,576 | ||||||||
| Pipelines 0.8% | ||||||||
| Energy Transfer Partners, L.P. / Regency Energy Finance Corp. 5.875%, due 3/1/22 | 1,000,000 | 1,069,514 | ||||||
| Kinder Morgan, Inc. 5.00%, due 2/15/21 (a) | 1,489,000 | 1,538,000 | ||||||
| MPLX, L.P. 3.002% (3 Month LIBOR + 0.90%), due 9/9/21 (b) | 400,000 | 401,328 | ||||||
| Texas Eastern Transmission, L.P. 2.80%, due 10/15/22 (a) | 200,000 | 201,777 | ||||||
| 3,210,619 | ||||||||
| Real Estate Investment Trusts 1.2% | ||||||||
| American Campus Communities Operating Partnership, L.P. 3.30%, due 7/15/26 | 775,000 | 795,257 | ||||||
| HCP, Inc. 3.25%, due 7/15/26 | 525,000 | 540,085 | ||||||
| Highwoods Realty, L.P. 3.625%, due 1/15/23 | 1,175,000 | 1,216,415 | ||||||
| Kimco Realty Corp. 2.70%, due 3/1/24 | 200,000 | 201,586 | ||||||
| Realty Income Corp. 3.25%, due 10/15/22 | 550,000 | 567,572 | ||||||
| SBA Tower Trust 2.836%, due 1/15/25 (a) | 500,000 | 500,642 | ||||||
| VEREIT Operating Partnership, L.P. 4.875%, due 6/1/26 | 785,000 | 869,454 | ||||||
| 4,691,011 | ||||||||
| Retail 0.5% | ||||||||
| CVS Health Corp. | ||||||||
| 3.25%, due 8/15/29 | 300,000 | 301,377 | ||||||
| 4.30%, due 3/25/28 | 1,150,000 | 1,243,535 | ||||||
| Home Depot, Inc. 2.95%, due 6/15/29 | 350,000 | 367,303 | ||||||
| 1,912,215 | ||||||||
| Software 0.6% | ||||||||
| Fidelity National Information Services, Inc. 2.25%, due 8/15/21 | 1,275,000 | 1,276,766 | ||||||
| Fiserv, Inc. | ||||||||
| 3.20%, due 7/1/26 | 350,000 | 362,213 | ||||||
| 4.20%, due 10/1/28 | 550,000 | 608,410 | ||||||
| 4.75%, due 6/15/21 | 225,000 | 234,280 | ||||||
| 2,481,669 | ||||||||
| Telecommunications 0.5% | ||||||||
| AT&T, Inc. 4.35%, due 3/1/29 | 675,000 | 745,530 | ||||||
| Verizon Communications, Inc. | ||||||||
| 3.376%, due 2/15/25 | 156,000 | 164,559 | ||||||
| 4.016%, due 12/3/29 | 1,012,000 | 1,124,669 | ||||||
| 2,034,758 | ||||||||
| Transportation 0.1% | ||||||||
| United Parcel Service, Inc. 2.20%, due 9/1/24 | 300,000 | 301,022 | ||||||
| Total Corporate Bonds (Cost $61,464,354) | 63,634,949 | |||||||
| Foreign Government Bonds 0.2% | ||||||||
| Colombia 0.1% | ||||||||
| Colombia Government International Bond 3.875%, due 4/25/27 | 220,000 | 233,313 | ||||||
| Mexico 0.1% | ||||||||
| United Mexican States 3.75%, due 1/11/28 | 300,000 | 309,150 | ||||||
| Philippines 0.0% ‡ | ||||||||
| Philippine Government International Bond 3.00%, due 2/1/28 | 200,000 | 209,467 | ||||||
| Poland 0.0% ‡ | ||||||||
| Republic of Poland Government International Bond 5.00%, due 3/23/22 | 50,000 | 53,643 | ||||||
| Total Foreign Government Bonds (Cost $747,093) | 805,573 | |||||||
| Mortgage-Backed Securities 2.1% | ||||||||
| Commercial Mortgage Loans (Collateralized Mortgage Obligations) 2.1% | ||||||||
| Bank | ||||||||
| Series 2017-BNK5, Class A2 2.987%, due 6/15/60 | 300,000 | 305,569 | ||||||
| Series 2018-BN14, Class A2 4.128%, due 9/15/60 | 400,000 | 429,137 | ||||||
| Benchmark Mortgage Trust | ||||||||
| Series 2018-B1, Class A2 3.571%, due 1/15/51 | 200,000 | 207,670 | ||||||
| Series 2018-B2, Class A2 3.662%, due 2/15/51 | 150,000 | 156,325 | ||||||
| CD Mortgage Trust Series 2017-CD4, Class A2 3.03%, due 5/10/50 | 600,000 | 612,237 | ||||||
| CFCRE Commercial Mortgage Trust Series 2017-C8, Class A2 2.982%, due 6/15/50 | 900,000 | 916,383 | ||||||
| COLT Funding LLC Series 2019-4, Class A1 2.579%, due 11/25/49 | 500,000 | 499,996 | ||||||
| Deutsche Bank JPMorgan Mortgage Trust Series 2017-C6, Class A2 2.917%, due 6/10/50 | 800,000 | 813,382 | ||||||
| Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificates | ||||||||
| Series K090, Class A2 3.422%, due 2/25/29 | 300,000 | 330,323 | ||||||
| Series K091, Class A2 3.505%, due 3/25/29 | 195,000 | 216,122 | ||||||
| GRACE Mortgage Trust Series 2014-GRCE, Class A 3.369%, due 6/10/28 (a) | 200,000 | 203,062 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
| Series 2013-C13, Class A2 2.936%, due 11/15/46 | 5,112 | 5,200 | ||||||
| Series 2017-C33, Class A2 3.14%, due 5/15/50 | 1,000,000 | 1,023,383 | ||||||
| Morgan Stanley Capital I Trust Series 2017-H1, Class A2 3.089%, due 6/15/50 | 900,000 | 917,398 | ||||||
| Seasoned Loans Structured Transaction Trust Series 2019-2, Class A2C 2.75%, due 9/25/29 (e) | 900,000 | 915,469 | ||||||
| UBS Commercial Mortgage Trust Series 2018-C8, Class A2 3.713%, due 2/15/51 | 500,000 | 522,634 | ||||||
| Total Mortgage-Backed Securities (Cost $8,041,546) | 8,074,290 | |||||||
| U.S. Government & Federal Agencies 19.4% | ||||||||
| Federal Home Loan Bank 1.7% | ||||||||
| 1.50%, due 8/15/24 | 375,000 | 372,973 | ||||||
| 1.70%, due 5/15/20 | 500,000 | 499,372 | ||||||
| 2.50%, due 12/10/27 | 1,050,000 | 1,091,453 | ||||||
| 3.00%, due 3/10/28 | 300,000 | 324,966 | ||||||
| 3.125%, due 9/12/25 | 800,000 | 865,263 | ||||||
| 3.25%, due 6/9/28 | 800,000 | 886,922 | ||||||
| 3.25%, due 11/16/28 | 2,375,000 | 2,646,693 | ||||||
| 6,687,642 | ||||||||
| Federal Home Loan Mortgage Corporation 0.3% | ||||||||
| 2.05%, due 8/26/22 | 500,000 | 499,143 | ||||||
| 2.70%, due 4/8/22 | 400,000 | 400,051 | ||||||
| 2.89%, due 4/16/24 | 400,000 | 400,139 | ||||||
| 1,299,333 | ||||||||
| Federal National Mortgage Association 0.5% | ||||||||
| 1.375%, due 9/6/22 | 1,300,000 | 1,290,778 | ||||||
| 1.75%, due 7/2/24 | 525,000 | 527,994 | ||||||
| 1,818,772 | ||||||||
| United States Treasury Notes 16.9% | ||||||||
| 1.25%, due 8/31/24 | 450,000 | 443,689 | ||||||
| 1.375%, due 8/31/26 | 1,125,000 | 1,106,938 | ||||||
| 1.625%, due 8/15/29 | 4,795,000 | 4,772,898 | ||||||
| 1.75%, due 7/31/21 | 15,600,000 | 15,621,938 | ||||||
| 1.75%, due 7/15/22 | 7,900,000 | 7,931,168 | ||||||
| 1.75%, due 7/31/24 | 8,805,000 | 8,882,732 | ||||||
| 1.875%, due 9/30/22 | 300,000 | 302,660 | ||||||
| 2.125%, due 5/31/21 | 7,200,000 | 7,248,938 | ||||||
| 2.125%, due 5/31/26 | 2,100,000 | 2,166,773 | ||||||
| 2.25%, due 11/15/25 | 1,075,000 | 1,114,851 | ||||||
| 2.50%, due 2/15/22 | 10,875,000 | 11,094,624 | ||||||
| 2.75%, due 4/30/23 | 3,825,000 | 3,980,241 | ||||||
| 3.00%, due 9/30/25 | 1,200,000 | 1,295,156 | ||||||
| 65,962,606 | ||||||||
| Total U.S. Government & Federal Agencies (Cost $74,775,544) | 75,768,353 | |||||||
| Total Long-Term Bonds (Cost $159,748,267) | 163,092,319 | |||||||
| Shares | ||||||||
| Common Stocks 54.0% | ||||||||
| Aerospace & Defense 1.3% | ||||||||
| Arconic, Inc. | 12,373 | 321,698 | ||||||
| Curtiss-Wright Corp. | 6,317 | 817,230 | ||||||
| General Dynamics Corp. | 3,139 | 573,590 | ||||||
| Hexcel Corp. | 2,160 | 177,401 | ||||||
| L3Harris Technologies, Inc. | 2,349 | 490,095 | ||||||
| Raytheon Co. | 3,480 | 682,741 | ||||||
| Spirit AeroSystems Holdings, Inc., Class A | 8,453 | 695,175 | ||||||
| Teledyne Technologies, Inc. (f) | 1,651 | 531,606 | ||||||
| Textron, Inc. | 241 | 11,799 | ||||||
| United Technologies Corp. | 5,004 | 683,146 | ||||||
| 4,984,481 | ||||||||
| Air Freight & Logistics 0.1% | ||||||||
| FedEx Corp. | 3,953 | 575,438 | ||||||
| Airlines 0.6% | ||||||||
| Delta Air Lines, Inc. | 13,112 | 755,251 | ||||||
| JetBlue Airways Corp. (f) | 6,091 | 102,024 | ||||||
| Southwest Airlines Co. | 14,108 | 761,973 | ||||||
| United Airlines Holdings, Inc. (f) | 10,400 | 919,464 | ||||||
| 2,538,712 | ||||||||
| Auto Components 0.1% | ||||||||
| Lear Corp. | 3,984 | 469,714 | ||||||
| Automobiles 0.3% | ||||||||
| Ford Motor Co. | 64,153 | 587,642 | ||||||
| General Motors Co. | 15,742 | 590,010 | ||||||
| 1,177,652 | ||||||||
| Banks 2.4% | ||||||||
| Bank of America Corp. | 25,980 | 757,837 | ||||||
| Bank OZK | 24,201 | 659,961 | ||||||
| BB&T Corp. | 11,222 | 598,918 | ||||||
| Citigroup, Inc. | 9,784 | 675,879 | ||||||
| Citizens Financial Group, Inc. | 147 | 5,199 | ||||||
| Comerica, Inc. | 1,055 | 69,619 | ||||||
| East West Bancorp, Inc. | 6,251 | 276,857 | ||||||
| Fifth Third Bancorp | 25,941 | 710,265 | ||||||
| First Hawaiian, Inc. | 28,043 | 748,748 | ||||||
| JPMorgan Chase & Co. | 5,706 | 671,539 | ||||||
| PNC Financial Services Group, Inc. | 4,175 | 585,168 | ||||||
| Signature Bank | 6,183 | 737,137 | ||||||
| SunTrust Banks, Inc. | 11,634 | 800,419 | ||||||
| Texas Capital Bancshares, Inc. (f) | 3,992 | 218,163 | ||||||
| U.S. Bancorp | 12,238 | 677,251 | ||||||
| Umpqua Holdings Corp. | 18,888 | 310,897 | ||||||
| Wells Fargo & Co. | 13,953 | 703,789 | ||||||
| 9,207,646 | ||||||||
| Beverages 0.7% | ||||||||
| Coca-Cola Co. | 10,912 | 594,049 | ||||||
| Constellation Brands, Inc., Class A | 2,868 | 594,479 | ||||||
| Keurig Dr. Pepper, Inc. (d) | 24,836 | 678,519 | ||||||
| Molson Coors Brewing Co., Class B | 7,324 | 421,130 | ||||||
| PepsiCo., Inc. | 4,366 | 598,579 | ||||||
| 2,886,756 | ||||||||
| Biotechnology 1.1% | ||||||||
| Alexion Pharmaceuticals, Inc. (f) | 7,230 | 708,106 | ||||||
| Alkermes PLC (f) | 9,674 | 188,740 | ||||||
| Amgen, Inc. | 3,903 | 755,269 | ||||||
| Biogen, Inc. (f) | 3,219 | 749,448 | ||||||
| Bluebird Bio, Inc. (d)(f) | 340 | 31,219 | ||||||
| Exelixis, Inc. (f) | 4,826 | 85,348 | ||||||
| Gilead Sciences, Inc. | 11,574 | 733,560 | ||||||
| Regeneron Pharmaceuticals, Inc. (f) | 2,597 | 720,408 | ||||||
| United Therapeutics Corp. (f) | 2,539 | 202,485 | ||||||
| 4,174,583 | ||||||||
| Building Products 0.6% | ||||||||
| Fortune Brands Home & Security, Inc. | 1,472 | 80,519 | ||||||
| Johnson Controls International PLC | 15,452 | 678,188 | ||||||
| Masco Corp. | 14,568 | 607,194 | ||||||
| Owens Corning | 13,914 | 879,365 | ||||||
| 2,245,266 | ||||||||
| Capital Markets 2.1% | ||||||||
| Ameriprise Financial, Inc. | 7,759 | 1,141,349 | ||||||
| Bank of New York Mellon Corp. | 12,683 | 573,398 | ||||||
| BlackRock, Inc. | 1,729 | 770,512 | ||||||
| Cboe Global Markets, Inc. | 569 | 65,384 | ||||||
| Charles Schwab Corp. | 13,751 | 575,204 | ||||||
| CME Group, Inc. | 3,213 | 679,035 | ||||||
| Evercore, Inc., Class A | 4,549 | 364,375 | ||||||
| Goldman Sachs Group, Inc. | 2,752 | 570,297 | ||||||
| Intercontinental Exchange, Inc. | 8,326 | 768,240 | ||||||
| Janus Henderson Group PLC | 25,169 | 565,296 | ||||||
| Morgan Stanley | 15,537 | 662,964 | ||||||
| Raymond James Financial, Inc. | 9,352 | 771,166 | ||||||
| State Street Corp. | 790 | 46,760 | ||||||
| TD Ameritrade Holding Corp. | 13,771 | 643,106 | ||||||
| 8,197,086 | ||||||||
| Chemicals 1.8% | ||||||||
| Air Products & Chemicals, Inc. | 3,062 | 679,335 | ||||||
| Cabot Corp. | 9,771 | 442,822 | ||||||
| CF Industries Holdings, Inc. | 15,434 | 759,353 | ||||||
| Corteva, Inc. (f) | 19,677 | 550,956 | ||||||
| Dow, Inc. (f) | 15,946 | 759,827 | ||||||
| DuPont de Nemours, Inc. | 8,216 | 585,883 | ||||||
| FMC Corp. | 3,433 | 301,005 | ||||||
| Huntsman Corp. | 23,362 | 543,400 | ||||||
| Linde PLC | 3,030 | 586,972 | ||||||
| LyondellBasell Industries N.V., Class A | 8,707 | 779,015 | ||||||
| Olin Corp. | 13,701 | 256,483 | ||||||
| PPG Industries, Inc. | 5,689 | 674,203 | ||||||
| Valvoline, Inc. | 5,799 | 127,752 | ||||||
| 7,047,006 | ||||||||
| Commercial Services & Supplies 0.5% | ||||||||
| Clean Harbors, Inc. (f) | 9,967 | 769,452 | ||||||
| Republic Services, Inc. | 6,182 | 535,052 | ||||||
| Waste Management, Inc. | 6,668 | 766,820 | ||||||
| 2,071,324 | ||||||||
| Communications Equipment 0.1% | ||||||||
| EchoStar Corp., Class A (f) | 14,489 | 574,054 | ||||||
| Construction & Engineering 0.2% | ||||||||
| AECOM (f) | 8,827 | 331,542 | ||||||
| Fluor Corp. | 20,968 | 401,118 | ||||||
| 732,660 | ||||||||
| Consumer Finance 1.3% | ||||||||
| American Express Co. | 6,581 | 778,401 | ||||||
| Capital One Financial Corp. | 8,289 | 754,133 | ||||||
| Discover Financial Services | 13,494 | 1,094,228 | ||||||
| OneMain Holdings, Inc. | 12,625 | 463,085 | ||||||
| SLM Corp. | 84,224 | 743,277 | ||||||
| Synchrony Financial | 32,519 | 1,108,573 | ||||||
| 4,941,697 | ||||||||
| Containers & Packaging 0.3% | ||||||||
| Ardagh Group S.A. | 11,712 | 183,644 | ||||||
| Berry Global Group, Inc. (f) | 14,293 | 561,286 | ||||||
| Silgan Holdings, Inc. | 8,278 | 248,630 | ||||||
| WestRock Co. | 3,213 | 117,114 | ||||||
| 1,110,674 | ||||||||
| Diversified Consumer Services 0.3% | ||||||||
| Graham Holdings Co., Class B | 469 | 311,158 | ||||||
| H&R Block, Inc. | 30,687 | 724,827 | ||||||
| Service Corporation International | 2,658 | 127,079 | ||||||
| ServiceMaster Global Holdings, Inc. (f) | 3,011 | 168,315 | ||||||
| 1,331,379 | ||||||||
| Diversified Financial Services 0.6% | ||||||||
| AXA Equitable Holdings, Inc. | 38,024 | 842,612 | ||||||
| Berkshire Hathaway, Inc., Class B (f) | 3,259 | 677,937 | ||||||
| Voya Financial, Inc. | 14,037 | 764,174 | ||||||
| 2,284,723 | ||||||||
| Diversified Telecommunication Services 0.3% | ||||||||
| AT&T, Inc. | 15,517 | 587,163 | ||||||
| CenturyLink, Inc. | 11,042 | 137,804 | ||||||
| Verizon Communications, Inc. | 9,757 | 588,933 | ||||||
| 1,313,900 | ||||||||
| Electric Utilities 1.9% | ||||||||
| American Electric Power Co., Inc. | 7,281 | 682,157 | ||||||
| Duke Energy Corp. | 6,174 | 591,840 | ||||||
| Edison International | 128 | 9,654 | ||||||
| Entergy Corp. | 9,762 | 1,145,668 | ||||||
| Evergy, Inc. | 3,834 | 255,191 | ||||||
| Eversource Energy | 392 | 33,504 | ||||||
| Exelon Corp. | 14,004 | 676,533 | ||||||
| FirstEnergy Corp. | 7,740 | 373,300 | ||||||
| Hawaiian Electric Industries, Inc. | 6,525 | 297,605 | ||||||
| IDACORP, Inc. | 2,554 | 287,759 | ||||||
| NextEra Energy, Inc. | 3,005 | 700,135 | ||||||
| OGE Energy Corp. | 3,577 | 162,324 | ||||||
| PG&E Corp. (f) | 13,936 | 139,360 | ||||||
| Pinnacle West Capital Corp. | 7,166 | 695,604 | ||||||
| PPL Corp. | 16,836 | 530,166 | ||||||
| Southern Co. | 9,626 | 594,598 | ||||||
| Xcel Energy, Inc. | 3,258 | 211,412 | ||||||
| 7,386,810 | ||||||||
| Electrical Equipment 0.4% | ||||||||
| Eaton Corp. PLC | 8,119 | 675,095 | ||||||
| Emerson Electric Co. | 9,057 | 605,551 | ||||||
| Regal Beloit Corp. | 5,330 | 388,290 | ||||||
| 1,668,936 | ||||||||
| Electronic Equipment, Instruments & Components 0.7% | ||||||||
| Arrow Electronics, Inc. (f) | 11,362 | 847,378 | ||||||
| Avnet, Inc. | 18,032 | 802,153 | ||||||
| Jabil, Inc. | 25,435 | 909,810 | ||||||
| 2,559,341 | ||||||||
| Energy Equipment & Services 0.4% | ||||||||
| Halliburton Co. | 13,205 | 248,914 | ||||||
| Helmerich & Payne, Inc. | 6,923 | 277,405 | ||||||
| Patterson-UTI Energy, Inc. | 60,705 | 519,028 | ||||||
| Schlumberger, Ltd. | 18,191 | 621,586 | ||||||
| 1,666,933 | ||||||||
| Entertainment 0.7% | ||||||||
| Activision Blizzard, Inc. | 10,743 | 568,520 | ||||||
| Electronic Arts, Inc. (f) | 6,874 | 672,415 | ||||||
| Lions Gate Entertainment Corp., Class B (f) | 39,478 | 345,038 | ||||||
| Take-Two Interactive Software, Inc. (f) | 3,031 | 379,905 | ||||||
| Viacom, Inc., Class A (d) | 2,420 | 63,549 | ||||||
| Walt Disney Co. | 4,447 | 579,533 | ||||||
| 2,608,960 | ||||||||
| Equity Real Estate Investment Trusts 5.0% | ||||||||
| Alexandria Real Estate Equities, Inc. | 1,745 | 268,800 | ||||||
| American Campus Communities, Inc. | 7,359 | 353,821 | ||||||
| American Homes 4 Rent, Class A | 10,856 | 281,062 | ||||||
| Apartment Investment & Management Co., Class A | 7,376 | 384,585 | ||||||
| Apple Hospitality REIT, Inc. | 9,162 | 151,906 | ||||||
| AvalonBay Communities, Inc. | 3,383 | 728,461 | ||||||
| Boston Properties, Inc. | 2,668 | 345,933 | ||||||
| Brandywine Realty Trust | 16,725 | 253,384 | ||||||
| Brixmor Property Group, Inc. | 837 | 16,983 | ||||||
| Camden Property Trust | 4,084 | 453,365 | ||||||
| Colony Capital, Inc. | 47,099 | 283,536 | ||||||
| Columbia Property Trust, Inc. | 11,422 | 241,575 | ||||||
| Corporate Office Properties Trust | 9,075 | 270,253 | ||||||
| CubeSmart | 5,522 | 192,718 | ||||||
| CyrusOne, Inc. | 512 | 40,499 | ||||||
| Digital Realty Trust, Inc. | 4,005 | 519,889 | ||||||
| Douglas Emmett, Inc. | 53 | 2,270 | ||||||
| Duke Realty Corp. | 14,768 | 501,669 | ||||||
| Empire State Realty Trust, Inc., Class A | 16,782 | 239,479 | ||||||
| EPR Properties | 4,317 | 331,805 | ||||||
| Equity Residential | 11,713 | 1,010,363 | ||||||
| Essex Property Trust, Inc. | 1,983 | 647,747 | ||||||
| Extra Space Storage, Inc. | 1,158 | 135,278 | ||||||
| Federal Realty Investment Trust | 607 | 82,637 | ||||||
| Gaming and Leisure Properties, Inc. | 9,926 | 379,570 | ||||||
| HCP, Inc. | 7,592 | 270,503 | ||||||
| Healthcare Trust of America, Inc., Class A | 11,628 | 341,631 | ||||||
| Highwoods Properties, Inc. | 695 | 31,233 | ||||||
| Host Hotels & Resorts, Inc. | 29,800 | 515,242 | ||||||
| Invitation Homes, Inc. | 17,956 | 531,677 | ||||||
| Iron Mountain, Inc. | 1,017 | 32,941 | ||||||
| Kilroy Realty Corp. | 322 | 25,081 | ||||||
| Kimco Realty Corp. | 1,395 | 29,128 | ||||||
| Liberty Property Trust | 504 | 25,870 | ||||||
| Life Storage, Inc. | 2,919 | 307,692 | ||||||
| Medical Properties Trust, Inc. | 21,025 | 411,249 | ||||||
| Mid-America Apartment Communities, Inc. | 4,370 | 568,144 | ||||||
| National Retail Properties, Inc. | 1,035 | 58,374 | ||||||
| Omega Healthcare Investors, Inc. | 1,194 | 49,897 | ||||||
| OUTFRONT Media, Inc. | 9,530 | 264,743 | ||||||
| Park Hotels & Resorts, Inc. | 5,896 | 147,223 | ||||||
| Prologis, Inc. | 9,114 | 776,695 | ||||||
| Public Storage | 3,102 | 760,827 | ||||||
| Rayonier, Inc. | 9,883 | 278,701 | ||||||
| Realty Income Corp. | 5,906 | 452,872 | ||||||
| Regency Centers Corp. | 1,670 | 116,048 | ||||||
| Retail Properties of America, Inc., Class A | 20,868 | 257,094 | ||||||
| Service Properties Trust | 6,119 | 157,809 | ||||||
| Simon Property Group, Inc. | 4,958 | 771,713 | ||||||
| STORE Capital Corp. | 681 | 25,476 | ||||||
| Sun Communities, Inc. | 2,923 | 433,919 | ||||||
| UDR, Inc. | 3,454 | 167,450 | ||||||
| Ventas, Inc. | 12,054 | 880,304 | ||||||
| VEREIT, Inc. | 43,936 | 429,694 | ||||||
| VICI Properties, Inc. | 3,842 | 87,021 | ||||||
| Vornado Realty Trust | 1,622 | 103,273 | ||||||
| Weingarten Realty Investors | 9,560 | 278,483 | ||||||
| Welltower, Inc. | 12,636 | 1,145,453 | ||||||
| Weyerhaeuser Co. | 12,830 | 355,391 | ||||||
| WP Carey, Inc. | 2,431 | 217,574 | ||||||
| 19,424,013 | ||||||||
| Food & Staples Retailing 0.6% | ||||||||
| Kroger Co. | 623 | 16,061 | ||||||
| Sprouts Farmers Market, Inc. (f) | 13,284 | 256,913 | ||||||
| U.S. Foods Holding Corp. (f) | 17,440 | 716,784 | ||||||
| Walgreens Boots Alliance, Inc. | 10,695 | 591,540 | ||||||
| Walmart, Inc. | 5,799 | 688,225 | ||||||
| 2,269,523 | ||||||||
| Food Products 1.7% | ||||||||
| Bunge, Ltd. | 15,425 | 873,363 | ||||||
| Flowers Foods, Inc. | 29,261 | 676,807 | ||||||
| General Mills, Inc. | 12,488 | 688,339 | ||||||
| Hershey Co. | 4,180 | 647,858 | ||||||
| Ingredion, Inc. | 2,409 | 196,912 | ||||||
| Kraft Heinz Co. | 20,905 | 583,981 | ||||||
| Mondelez International, Inc., Class A | 10,764 | 595,464 | ||||||
| Pilgrim's Pride Corp. (f) | 22,358 | 716,462 | ||||||
| Seaboard Corp. | 35 | 153,125 | ||||||
| TreeHouse Foods, Inc. (f) | 5,370 | 297,767 | ||||||
| Tyson Foods, Inc., Class A | 14,383 | 1,238,952 | ||||||
| 6,669,030 | ||||||||
| Gas Utilities 0.0% ‡ | ||||||||
| UGI Corp. | 630 | 31,670 | ||||||
| Health Care Equipment & Supplies 1.8% | ||||||||
| Abbott Laboratories | 8,118 | 679,233 | ||||||
| Baxter International, Inc. | 7,763 | 679,030 | ||||||
| Becton, Dickinson and Co. | 2,319 | 586,614 | ||||||
| Cooper Cos., Inc. | 1,170 | 347,490 | ||||||
| Danaher Corp. | 4,632 | 669,000 | ||||||
| DENTSPLY SIRONA, Inc. | 14,965 | 797,784 | ||||||
| Hill-Rom Holdings, Inc. | 5,935 | 624,540 | ||||||
| Hologic, Inc. (f) | 12,182 | 615,069 | ||||||
| Integra LifeSciences Holdings Corp. (f) | 2,893 | 173,782 | ||||||
| Medtronic PLC | 6,103 | 662,908 | ||||||
| STERIS PLC | 6,471 | 934,995 | ||||||
| Zimmer Biomet Holdings, Inc. | 1,074 | 147,428 | ||||||
| 6,917,873 | ||||||||
| Health Care Providers & Services 1.7% | ||||||||
| Anthem, Inc. | 3,049 | 732,065 | ||||||
| Cardinal Health, Inc. | 15,802 | 745,696 | ||||||
| Centene Corp. (f) | 15,999 | 692,117 | ||||||
| Cigna Corp. (f) | 4,763 | 722,976 | ||||||
| CVS Health Corp. | 9,148 | 576,964 | ||||||
| HCA Healthcare, Inc. | 6,185 | 744,798 | ||||||
| Henry Schein, Inc. (f) | 3,401 | 215,963 | ||||||
| Humana, Inc. | 2,121 | 542,276 | ||||||
| McKesson Corp. | 8,837 | 1,207,664 | ||||||
| MEDNAX, Inc. (f) | 14,788 | 334,505 | ||||||
| 6,515,024 | ||||||||
| Hotels, Restaurants & Leisure 1.9% | ||||||||
| Aramark | 22,319 | 972,662 | ||||||
| Carnival Corp. | 12,200 | 533,262 | ||||||
| Extended Stay America, Inc. | 50,710 | 742,395 | ||||||
| Las Vegas Sands Corp. | 12,045 | 695,719 | ||||||
| McDonald's Corp. | 3,240 | 695,660 | ||||||
| MGM Resorts International | 23,484 | 650,977 | ||||||
| Norwegian Cruise Line Holdings, Ltd. (f) | 13,923 | 720,794 | ||||||
| Royal Caribbean Cruises, Ltd. | 3,313 | 358,897 | ||||||
| Wynn Resorts, Ltd. | 3,488 | 379,215 | ||||||
| Yum China Holdings, Inc. | 16,588 | 753,593 | ||||||
| Yum! Brands, Inc. | 6,845 | 776,428 | ||||||
| 7,279,602 | ||||||||
| Household Durables 0.5% | ||||||||
| PulteGroup, Inc. | 25,725 | 940,249 | ||||||
| Toll Brothers, Inc. | 20,947 | 859,874 | ||||||
| 1,800,123 | ||||||||
| Household Products 0.5% | ||||||||
| Colgate-Palmolive Co. | 8,291 | 609,472 | ||||||
| Kimberly-Clark Corp. | 5,024 | 713,659 | ||||||
| Procter & Gamble Co. | 5,550 | 690,309 | ||||||
| 2,013,440 | ||||||||
| Independent Power & Renewable Electricity Producers 0.4% | ||||||||
| AES Corp. | 59,193 | 967,214 | ||||||
| NRG Energy, Inc. | 11,289 | 447,044 | ||||||
| Vistra Energy Corp. | 3,704 | 99,008 | ||||||
| 1,513,266 | ||||||||
| Industrial Conglomerates 0.6% | ||||||||
| 3M Co. | 3,527 | 579,839 | ||||||
| General Electric Co. | 62,784 | 561,289 | ||||||
| Honeywell International, Inc. | 4,031 | 682,045 | ||||||
| Roper Technologies, Inc. | 1,636 | 583,398 | ||||||
| 2,406,571 | ||||||||
| Insurance 4.5% | ||||||||
| Aflac, Inc. | 14,792 | 773,917 | ||||||
| Allstate Corp. | 7,123 | 774,128 | ||||||
| American Financial Group, Inc. | 1,999 | 215,592 | ||||||
| American International Group, Inc. | 13,381 | 745,322 | ||||||
| American National Insurance Co. | 5,677 | 702,415 | ||||||
| Arch Capital Group, Ltd. (f) | 820 | 34,424 | ||||||
| Assurant, Inc. | 3,646 | 458,740 | ||||||
| Athene Holding, Ltd., Class A (f) | 15,828 | 665,726 | ||||||
| AXIS Capital Holdings, Ltd. | 2,791 | 186,216 | ||||||
| Brighthouse Financial, Inc. (f) | 20,218 | 818,222 | ||||||
| Chubb, Ltd. | 4,302 | 694,515 | ||||||
| Cincinnati Financial Corp. | 2,530 | 295,175 | ||||||
| CNA Financial Corp. | 526 | 25,905 | ||||||
| Everest Re Group, Ltd. | 2,885 | 767,670 | ||||||
| Fidelity National Financial, Inc. | 21,913 | 973,156 | ||||||
| First American Financial Corp. | 14,053 | 829,268 | ||||||
| Hanover Insurance Group, Inc. | 5,088 | 689,627 | ||||||
| Hartford Financial Services Group, Inc. | 8,458 | 512,639 | ||||||
| Kemper Corp. | 6,017 | 469,025 | ||||||
| Lincoln National Corp. | 7,550 | 455,416 | ||||||
| Marsh & McLennan Cos., Inc. | 6,724 | 672,736 | ||||||
| Mercury General Corp. | 10,469 | 585,008 | ||||||
| MetLife, Inc. | 16,205 | 764,228 | ||||||
| Old Republic International Corp. | 35,998 | 848,473 | ||||||
| Principal Financial Group, Inc. | 991 | 56,626 | ||||||
| Progressive Corp. | 10,113 | 781,229 | ||||||
| Prudential Financial, Inc. | 8,630 | 776,268 | ||||||
| Reinsurance Group of America, Inc. | 5,878 | 939,775 | ||||||
| Travelers Cos., Inc. | 5,255 | 781,366 | ||||||
| Unum Group | 4,454 | 132,373 | ||||||
| W.R. Berkley Corp. | 478 | 34,526 | ||||||
| Willis Towers Watson PLC | 559 | 107,870 | ||||||
| 17,567,576 | ||||||||
| Interactive Media & Services 0.1% | ||||||||
| IAC/InterActiveCorp (f) | 1,053 | 229,523 | ||||||
| TripAdvisor, Inc. (f) | 8,027 | 310,484 | ||||||
| 540,007 | ||||||||
| Internet & Direct Marketing Retail 0.4% | ||||||||
| Expedia Group, Inc. | 5,421 | 728,637 | ||||||
| Qurate Retail, Inc., Series A (f) | 69,030 | 712,044 | ||||||
| 1,440,681 | ||||||||
| IT Services 1.6% | ||||||||
| Akamai Technologies, Inc. (f) | 7,717 | 705,179 | ||||||
| Amdocs, Ltd. | 13,632 | 901,212 | ||||||
| CACI International, Inc., Class A (f) | 3,588 | 829,761 | ||||||
| Cognizant Technology Solutions Corp., Class A | 10,979 | 661,649 | ||||||
| DXC Technology Co. | 14,939 | 440,700 | ||||||
| Fidelity National Information Services, Inc. | 4,462 | 592,375 | ||||||
| International Business Machines Corp. | 5,418 | 787,886 | ||||||
| Leidos Holdings, Inc. | 11,182 | 960,310 | ||||||
| VeriSign, Inc. (f) | 931 | 175,615 | ||||||
| 6,054,687 | ||||||||
| Life Sciences Tools & Services 0.4% | ||||||||
| IQVIA Holdings, Inc. (f) | 5,843 | 872,827 | ||||||
| Thermo Fisher Scientific, Inc. | 2,289 | 666,717 | ||||||
| 1,539,544 | ||||||||
| Machinery 0.9% | ||||||||
| AGCO Corp. | 6,937 | 525,131 | ||||||
| Caterpillar, Inc. | 4,590 | 579,763 | ||||||
| Cummins, Inc. | 8,274 | 1,345,931 | ||||||
| Deere & Co. | 3,585 | 604,718 | ||||||
| Timken Co. | 11,919 | 518,596 | ||||||
| 3,574,139 | ||||||||
| Media 1.0% | ||||||||
| Charter Communications, Inc., Class A (f) | 1,828 | 753,355 | ||||||
| Comcast Corp., Class A | 16,582 | 747,517 | ||||||
| DISH Network Corp., Class A (f) | 10,625 | 361,994 | ||||||
| Fox Corp., Class B | 20,901 | 659,217 | ||||||
| Interpublic Group of Cos., Inc. | 4,480 | 96,589 | ||||||
| John Wiley & Sons, Inc., Class A | 11,232 | 493,534 | ||||||
| News Corp. | ||||||||
| Class A | 14,648 | 203,900 | ||||||
| Class B | 44,250 | 632,554 | ||||||
| Sinclair Broadcast Group, Inc., Class A | 1,617 | 69,111 | ||||||
| 4,017,771 | ||||||||
| Metals & Mining 0.4% | ||||||||
| Newmont Goldcorp Corp. | 4,737 | 179,627 | ||||||
| Reliance Steel & Aluminum Co. | 645 | 64,281 | ||||||
| Southern Copper Corp. | 19,672 | 671,405 | ||||||
| Steel Dynamics, Inc. | 23,233 | 692,343 | ||||||
| 1,607,656 | ||||||||
| Mortgage Real Estate Investment Trusts 0.1% | ||||||||
| MFA Financial, Inc. | 48,447 | 356,570 | ||||||
| Multi-Utilities 1.7% | ||||||||
| Ameren Corp. | 6,167 | 493,668 | ||||||
| CenterPoint Energy, Inc. | 35,595 | 1,074,257 | ||||||
| CMS Energy Corp. | 1,866 | 119,331 | ||||||
| Consolidated Edison, Inc. | 10,800 | 1,020,276 | ||||||
| Dominion Energy, Inc. | 7,276 | 589,647 | ||||||
| DTE Energy Co. | 8,030 | 1,067,669 | ||||||
| MDU Resources Group, Inc. | 28,970 | 816,664 | ||||||
| Public Service Enterprise Group, Inc. | 2,420 | 150,234 | ||||||
| Sempra Energy | 2,560 | 377,882 | ||||||
| WEC Energy Group, Inc. | 7,905 | 751,765 | ||||||
| 6,461,393 | ||||||||
| Multiline Retail 0.3% | ||||||||
| Dollar General Corp. | 2,184 | 347,125 | ||||||
| Target Corp. | 7,207 | 770,500 | ||||||
| 1,117,625 | ||||||||
| Oil, Gas & Consumable Fuels 2.4% | ||||||||
| Cabot Oil & Gas Corp. | 21,733 | 381,849 | ||||||
| Chevron Corp. | 6,183 | 733,304 | ||||||
| ConocoPhillips | 12,639 | 720,170 | ||||||
| Devon Energy Corp. | 37,341 | 898,424 | ||||||
| EOG Resources, Inc. | 8,376 | 621,667 | ||||||
| Exxon Mobil Corp. | 8,161 | 576,248 | ||||||
| HollyFrontier Corp. | 8,552 | 458,729 | ||||||
| Kinder Morgan, Inc. | 32,434 | 668,465 | ||||||
| Marathon Oil Corp. | 24,353 | 298,811 | ||||||
| Marathon Petroleum Corp. | 12,314 | 748,076 | ||||||
| Occidental Petroleum Corp. | 16,821 | 748,030 | ||||||
| ONEOK, Inc. | 1,699 | 125,199 | ||||||
| PBF Energy, Inc., Class A | 30,906 | 840,334 | ||||||
| Phillips 66 | 6,570 | 672,768 | ||||||
| Valero Energy Corp. | 9,278 | 790,857 | ||||||
| Williams Cos., Inc. | 11,163 | 268,582 | ||||||
| 9,551,513 | ||||||||
| Personal Products 0.2% | ||||||||
| Nu Skin Enterprises, Inc., Class A | 17,118 | 728,028 | ||||||
| Pharmaceuticals 1.0% | ||||||||
| Allergan PLC | 4,075 | 685,782 | ||||||
| Bristol-Myers Squibb Co. | 11,632 | 589,859 | ||||||
| Elanco Animal Health, Inc. (f) | 9,807 | 260,768 | ||||||
| Johnson & Johnson | 5,153 | 666,695 | ||||||
| Merck & Co., Inc. | 7,967 | 670,662 | ||||||
| Mylan N.V. (f) | 15,612 | 308,805 | ||||||
| Perrigo Co. PLC | 163 | 9,110 | ||||||
| Pfizer, Inc. | 16,033 | 576,066 | ||||||
| 3,767,747 | ||||||||
| Professional Services 0.4% | ||||||||
| IHS Markit, Ltd. (f) | 135 | 9,029 | ||||||
| ManpowerGroup, Inc. | 9,235 | 777,956 | ||||||
| Nielsen Holdings PLC | 38,533 | 818,826 | ||||||
| 1,605,811 | ||||||||
| Real Estate Management & Development 0.3% | ||||||||
| CBRE Group, Inc., Class A (f) | 10,963 | 581,149 | ||||||
| Jones Lang LaSalle, Inc. | 5,650 | 785,689 | ||||||
| 1,366,838 | ||||||||
| Road & Rail 0.7% | ||||||||
| CSX Corp. | 9,888 | 684,942 | ||||||
| Norfolk Southern Corp. | 3,759 | 675,342 | ||||||
| Schneider National, Inc., Class B | 25,598 | 555,988 | ||||||
| Uber Technologies, Inc. (d)(f) | 20,813 | 634,172 | ||||||
| 2,550,444 | ||||||||
| Semiconductors & Semiconductor Equipment 1.5% | ||||||||
| Analog Devices, Inc. | 6,665 | 744,681 | ||||||
| Applied Materials, Inc. | 15,086 | 752,791 | ||||||
| Intel Corp. | 13,377 | 689,317 | ||||||
| Lam Research Corp. | 2,524 | 583,322 | ||||||
| Micron Technology, Inc. (f) | 15,638 | 670,088 | ||||||
| MKS Instruments, Inc. | 9,052 | 835,319 | ||||||
| ON Semiconductor Corp. (f) | 29,078 | 558,588 | ||||||
| Qorvo, Inc. (f) | 11,895 | 881,895 | ||||||
| 5,716,001 | ||||||||
| Software 0.7% | ||||||||
| Autodesk, Inc. (f) | 5,013 | 740,420 | ||||||
| LogMeIn, Inc. | 5,868 | 416,393 | ||||||
| Nuance Communications, Inc. (f) | 46,093 | 751,777 | ||||||
| SS&C Technologies Holdings, Inc. | 55 | 2,836 | ||||||
| Symantec Corp. | 43,031 | 1,016,823 | ||||||
| 2,928,249 | ||||||||
| Specialty Retail 0.8% | ||||||||
| AutoNation, Inc. (f) | 14,749 | 747,774 | ||||||
| Best Buy Co., Inc. | 14,448 | 996,768 | ||||||
| Home Depot, Inc. | 3,421 | 793,740 | ||||||
| Penske Automotive Group, Inc. | 2,939 | 138,956 | ||||||
| Williams-Sonoma, Inc. | 5,197 | 353,292 | ||||||
| 3,030,530 | ||||||||
| Technology Hardware, Storage & Peripherals 0.4% | ||||||||
| Dell Technologies, Inc., Class C (f) | 13,086 | 678,640 | ||||||
| HP, Inc. | 41,623 | 787,507 | ||||||
| Xerox Holdings Corp. (f) | 8,528 | 255,073 | ||||||
| 1,721,220 | ||||||||
| Textiles, Apparel & Luxury Goods 0.1% | ||||||||
| Skechers U.S.A., Inc., Class A (f) | 12,773 | 477,072 | ||||||
| Thrifts & Mortgage Finance 0.1% | ||||||||
| MGIC Investment Corp. | 11,662 | 146,708 | ||||||
| New York Community Bancorp, Inc. | 13,303 | 166,953 | ||||||
| 313,661 | ||||||||
| Tobacco 0.3% | ||||||||
| Altria Group, Inc. | 14,414 | 589,532 | ||||||
| Philip Morris International, Inc. | 8,262 | 627,334 | ||||||
| 1,216,866 | ||||||||
| Wireless Telecommunication Services 0.2% | ||||||||
| T-Mobile U.S., Inc. (f) | 7,299 | 574,942 | ||||||
| Telephone & Data Systems, Inc. | 5,253 | 135,528 | ||||||
| 710,470 | ||||||||
| Total Common Stocks (Cost $178,756,445) | 210,557,965 | |||||||
| Exchange-Traded Funds 3.5% | ||||||||
| iShares Intermediate Government / Credit Bond ETF | 100,008 | 11,322,906 | ||||||
| SPDR S&P 500 ETF Trust | 3,140 | 931,858 | ||||||
| SPDR S&P MidCap 400 ETF Trust | 3,401 | 1,198,750 | ||||||
| Total Exchange-Traded Funds (Cost $13,006,729) | 13,453,514 | |||||||
| Principal Amount | ||||||||
| Short-Term Investments 0.8% | ||||||||
| Repurchase Agreement 0.3% | ||||||||
| RBC Capital Markets 2.35%, dated 9/30/19 due 10/1/19 | ||||||||
|
Proceeds at Maturity $1,154,075 (Collateralized by a United States Treasury Note with a rate of 2.125% and maturity of 12/31/22, with a Principal Amount of $1,151,600 and a Market Value of $1,177,243) | $ | 1,154,000 | 1,154,000 | |||||
| Total Repurchase Agreement (Cost $1,154,000) | 1,154,000 | |||||||
| Short Term Instrument 0.3% | ||||||||
| Bank New York Mellon Corp. 1.876%, due 10/1/19 | 1,000,000 | 1,000,000 | ||||||
| Total Short Term Instrument (Cost $1,000,000) | 1,000,000 | |||||||
| Shares | ||||||||
| Unaffiliated Investment Company 0.2% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (g)(h) | 686,288 | 686,288 | ||||||
| Total Unaffiliated Investment Company (Cost $686,288) | 686,288 | |||||||
| Total Short-Term Investments (Cost $2,840,288) | 2,840,288 | |||||||
| Total Investments (Cost $354,351,729) | 100.1 | % | 389,944,086 | |||||
| Other Assets, Less Liabilities | (0.1 | ) | (249,147 | ) | ||||
| Net Assets | 100.0 | % | $ | 389,694,939 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
| (b) | Floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (c) | Fixed to floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (d) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $673,473. The Portfolio received cash collateral with a value of $686,288. |
| (e) | Fair valued security - Represents fair value as measured in good faith under procedures approved by the Board of Trustees. As of September 30, 2019, the total market value of fair valued securities was $915,469, which represented 0.2% of the Portfolio's net assets. |
| (f) | Non-income producing security. |
| (g) | Current yield as of September 30, 2019. |
| (h) | Represents security purchased with cash collateral received for securities on loan. |
As of September 30, 2019, the Portfolio held the following futures contracts1:
| Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 | |||||||||||||
| Long Contracts | ||||||||||||||||||
| 5-Year United States Treasury Note | 97 | December 2019 | $ | 11,622,123 | $ | 11,557,398 | $ | (64,725 | ) | |||||||||
| 10-Year United States Treasury Note | 73 | December 2019 | 9,578,403 | 9,512,813 | (65,590 | ) | ||||||||||||
| Total Long Contracts | (130,315 | ) | ||||||||||||||||
| Short Contracts | ||||||||||||||||||
| 2-Year United States Treasury Note | (22) | December 2019 | (4,736,152 | ) | (4,741,000 | ) | (4,848 | ) | ||||||||||
| 10-Year United States Treasury Ultra Note | (27) | December 2019 | (3,882,374 | ) | (3,844,969 | ) | 37,405 | |||||||||||
| United States Treasury Bond | (1) | December 2019 | (164,163 | ) | (162,313 | ) | 1,850 | |||||||||||
| Total Short Contracts | 34,407 | |||||||||||||||||
| Net Unrealized Depreciation | $ | (95,908 | ) | |||||||||||||||
| 1. | As of September 30, 2019, cash in the amount of $133,963 was on deposit with a broker or futures commission merchant for futures transactions. |
| 2. | Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2019. |
| The following abbreviations are used in the preceding pages: | |
| CME | —Chicago Mercantile Exchange |
| ETF | —Exchange-Traded Fund |
| LIBOR | —London Interbank Offered Rate |
| SPDR | —Standard & Poor's Depositary Receipt |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets and liabilities:
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Long-Term Bonds | ||||||||||||||||
| Asset-Backed Securities | $ | — | $ | 14,809,154 | $ | — | $ | 14,809,154 | ||||||||
| Corporate Bonds | — | 63,634,949 | — | 63,634,949 | ||||||||||||
| Foreign Government Bonds | — | 805,573 | — | 805,573 | ||||||||||||
| Mortgage-Backed Securities | — | 8,074,290 | — | 8,074,290 | ||||||||||||
| U.S. Government & Federal Agencies | — | 75,768,353 | — | 75,768,353 | ||||||||||||
| Total Long-Term Bonds | — | 163,092,319 | — | 163,092,319 | ||||||||||||
| Common Stocks | 210,557,965 | — | — | 210,557,965 | ||||||||||||
| Exchange-Traded Funds | 13,453,514 | — | — | 13,453,514 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Repurchase Agreement | — | 1,154,000 | — | 1,154,000 | ||||||||||||
| Short Term Instrument | — | 1,000,000 | — | 1,000,000 | ||||||||||||
| Unaffiliated Investment Company | 686,288 | — | — | 686,288 | ||||||||||||
| Total Short-Term Investments | 686,288 | 2,154,000 | — | 2,840,288 | ||||||||||||
| Total Investments in Securities | 224,697,767 | 165,246,319 | — | 389,944,086 | ||||||||||||
| Other Financial Instruments Futures Contracts (b) | 39,255 | — | — | 39,255 | ||||||||||||
| Total Investments in Securities and Other Financial Instruments | $ | 224,737,022 | $ | 165,246,319 | $ | — | $ | 389,983,341 | ||||||||
Liability Valuation Inputs
| Other Financial Instruments Futures Contracts (b) | $ | (135,163 | ) | $ | — | $ | — | $ | (135,163 | ) |
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
| (b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP Bond Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Principal Amount | Value | |||||||
| Long-Term Bonds 97.5% † | ||||||||
| Asset-Backed Securities 9.7% | ||||||||
| Auto Floor Plan Asset-Backed Securities 0.1% | ||||||||
| NextGear Floorplan Master Owner Trust Series 2017-2A, Class A2 2.56%, due 10/17/22 (a) | $ | 600,000 | $ | 602,403 | ||||
| Automobile 1.6% | ||||||||
| Ally Auto Receivables Trust Series 2018-3, Class A3 3.00%, due 1/17/23 | 1,283,000 | 1,294,418 | ||||||
| Avis Budget Rental Car Funding AESOP LLC (a) | ||||||||
| Series 2019-3A, Class A 2.36%, due 3/20/26 | 2,000,000 | 1,991,724 | ||||||
| Series 2019-1A, Class A 3.45%, due 3/20/23 | 400,000 | 410,857 | ||||||
| GM Financial Automobile Leasing Trust Series 2018-2, Class A3 3.06%, due 6/21/21 | 1,273,000 | 1,279,181 | ||||||
| Mercedes Benz Auto Lease Trust Series 2019-A, Class A3 3.10%, due 11/15/21 | 900,000 | 909,416 | ||||||
| OSCAR US Funding Trust Series 2018-2A, Class A3 3.39%, due 9/12/22 (a) | 1,300,000 | 1,319,696 | ||||||
| Toyota Auto Loan Extended Note Trust Series 2019-1A, Class A 2.56%, due 11/25/31 (a) | 4,250,000 | 4,344,011 | ||||||
| Volkswagen Auto Loan Enhanced Trust Series 2018-1, Class A3 3.02%, due 11/21/22 | 825,000 | 835,783 | ||||||
| 12,385,086 | ||||||||
| Home Equity 0.1% | ||||||||
| Chase Funding Trust Series 2002-2, Class 1A5 6.333%, due 4/25/32 (b) | 100,377 | 102,077 | ||||||
| Morgan Stanley Mortgage Loan Trust Series 2006-17XS, Class A3A 5.651%, due 10/25/46 (b) | 972,418 | 457,667 | ||||||
| 559,744 | ||||||||
| Other Asset-Backed Securities 7.9% | ||||||||
| Apidos CLO Series 2015-21A, Class A1R 3.531% (3 Month LIBOR + 0.93%), due 7/18/27 (a)(c) | 2,200,000 | 2,201,340 | ||||||
| Apidos CLO XXV Series 2016-25A, Class A1R 3.762% (3 Month LIBOR + 1.17%), due 10/20/31 (a)(c) | 1,300,000 | 1,297,994 | ||||||
| ARES CLO, Ltd. Series 2016-41A, Class AR 3.503% (3 Month LIBOR + 1.20%), due 1/15/29 (a)(c) | 1,500,000 | 1,499,531 | ||||||
| Bain Capital Credit CLO, Ltd. Series 2016-2A, Class AR 3.269% (3 Month LIBOR + 1.14%), due 1/15/29 (a)(c) | 1,600,000 | 1,600,018 | ||||||
| Benefit Street Partners CLO IV, Ltd. Series 2014-IVA, Class A1 3.842% (3 Month LIBOR + 1.25%), due 1/20/29 (a)(c) | 1,600,000 | 1,600,245 | ||||||
| Capital Automotive REIT Series 2017-1A, Class A1 3.87%, due 4/15/47 (a) | 2,086,318 | 2,105,958 | ||||||
| Cedar Funding IV CLO, Ltd. Series 2014-4A, Class AR 3.822% (3 Month LIBOR + 1.23%), due 7/23/30 (a)(c) | 2,600,000 | 2,598,276 | ||||||
| Cedar Funding Ltd. Series 2017-8A, Class A1 3.838% (3 Month LIBOR + 1.25%), due 10/17/30 (a)(c) | 1,250,000 | 1,250,004 | ||||||
| DB Master Finance LLC Series 2019-1A, Class A2I 3.787%, due 5/20/49 (a) | 2,618,438 | 2,696,467 | ||||||
| Dryden Senior Loan Fund Series 2018-71A, Class A 3.79% (3 Month LIBOR + 1.15%), due 1/15/29 (a)(c) | 650,000 | 650,014 | ||||||
| Elara HGV Timeshare Issuer LLC Series 2017-A, Class A 2.69%, due 3/25/30 (a) | 545,966 | 550,164 | ||||||
| FOCUS Brands Funding LLC Series 2017-1A, Class A2I 3.857%, due 4/30/47 (a) | 488,750 | 491,169 | ||||||
| Galaxy XXII CLO, Ltd. Series 2016-22A, Class A1R 3.601% (3 Month LIBOR + 1.00%), due 7/16/28 (a)(c) | 1,500,000 | 1,499,998 | ||||||
| Highbridge Loan Management, Ltd. Series 2010A-16, Class A1R 3.282% (3 Month LIBOR + 1.14%), due 1/20/28 (a)(c) | 1,000,000 | 999,998 | ||||||
| Hilton Grand Vacations Trust Series 2018-AA, Class A 3.54%, due 2/25/32 (a) | 1,593,182 | 1,643,763 | ||||||
| HPS Loan Management, Ltd. Series 2011-A17, Class A 3.499% (3 Month LIBOR + 1.26%), due 5/6/30 (a)(c) | 3,000,000 | 3,000,096 | ||||||
| JPMorgan Mortgage Acquisition Corp. Series 2007-CH2, Class AF3 4.626%, due 10/25/30 (b) | 632,368 | 453,496 | ||||||
| Magnetite XVIII, Ltd. Series 2016-18A, Class AR 3.598% (3 Month LIBOR + 1.08%), due 11/15/28 (a)(c) | 1,900,000 | 1,901,100 | ||||||
| MVW Owner Trust (a) | ||||||||
| Series 2014-1A, Class A 2.25%, due 9/22/31 | 247,196 | 246,774 | ||||||
| Series 2019-1A, Class A 2.89%, due 11/20/36 | 1,167,452 | 1,188,552 | ||||||
| Navient Private Education Refi Loan Trust Series 2019-CA, Class A2 3.13%, due 2/15/68 (a) | 1,600,000 | 1,643,327 | ||||||
| Palmer Square CLO, Ltd. (a)(c) | ||||||||
| Series 2014-1A, Class A1R2 3.718% (3 Month LIBOR + 1.13%), due 1/17/31 | 750,000 | 747,933 | ||||||
| Series 2015-1A, Class A1R2 3.742% (3 Month LIBOR + 1.22%), due 5/21/29 | 2,200,000 | 2,199,263 | ||||||
| Regatta VI Funding, Ltd. Series 2016-1A, Class AR 3.672% (3 Month LIBOR + 1.08%), due 7/20/28 (a)(c) | 1,800,000 | 1,798,936 | ||||||
| Sierra Receivables Funding Co. LLC (a) | ||||||||
| Series 2019-1A, Class A 3.20%, due 1/20/36 | 592,772 | 600,717 | ||||||
| Series 2018-2A, Class A 3.50%, due 6/20/35 | 693,660 | 707,853 | ||||||
| Series 2018-3A, Class A 3.69%, due 9/20/35 | 352,582 | 363,920 | ||||||
| SMB Private Education Loan Trust Series 2019-B, Class A2A 2.84%, due 6/15/37 (a) | 3,000,000 | 3,047,081 | ||||||
| SoFi Professional Loan Program LLC (a) | ||||||||
| Series 2019-C, Class A2FX 2.37%, due 11/16/48 | 1,250,000 | 1,250,727 | ||||||
| Series 2018-D, Class A1FX 3.12%, due 2/25/48 | 501,590 | 505,594 | ||||||
| Series 2019-A, Class A1FX 3.18%, due 6/15/48 | 1,126,659 | 1,138,580 | ||||||
| Sound Point CLO XVI, Ltd. Series 2017-2A, Class A 3.86% (3 Month LIBOR + 1.28%), due 7/25/30 (a)(c) | 1,500,000 | 1,499,974 | ||||||
| Taco Bell Funding, LLC Series 2018-1A, Class A2I 4.318%, due 11/25/48 (a) | 1,985,000 | 2,055,984 | ||||||
| THL Credit Wind River CLO, Ltd. Series 2017-4A, Class A 3.67% (3 Month LIBOR + 1.15%), due 11/20/30 (a)(c) | 2,243,000 | 2,236,179 | ||||||
| TIAA CLO III, Ltd. Series 2017-2A, Class A 3.751% (3 Month LIBOR + 1.15%), due 1/16/31 (a)(c) | 2,400,000 | 2,389,176 | ||||||
| TICP CLO XIII, Ltd. Series 2019 13A, Class A 3.665% (3 Month LIBOR + 1.30%), due 7/15/32 (a)(c) | 1,500,000 | 1,499,828 | ||||||
| Treman Park CLO, Ltd. Series 2015-1A, Class ARR 3.662% (3 Month LIBOR + 1.07%), due 10/20/28 (a)(c) | 1,245,000 | 1,246,701 | ||||||
| Voya CLO, Ltd. Series 2019-1A, Class A 3.813% (3 Month LIBOR + 1.17%), due 4/15/29 (a)(c) | 1,250,000 | 1,249,989 | ||||||
| VSE VOI Mortgage LLC Series 2016-A, Class A 2.54%, due 7/20/33 (a) | 1,454,244 | 1,451,500 | ||||||
| Westcott Park CLO, Ltd. Series 2016 1A, Class AR 3.684% (3 Month LIBOR + 1.21%), due 7/20/28 (a)(c) | 1,850,000 | 1,851,726 | ||||||
| 58,959,945 | ||||||||
| Total Asset-Backed Securities (Cost $72,670,239) | 72,507,178 | |||||||
| Corporate Bonds 31.7% | ||||||||
| Aerospace & Defense 0.3% | ||||||||
| Boeing Co. 3.10%, due 5/1/26 | 1,925,000 | 2,016,426 | ||||||
| Auto Manufacturers 1.5% | ||||||||
| Daimler Finance North America LLC 3.058% (3 Month LIBOR + 0.90%), due 2/15/22 (a)(c) | 3,000,000 | 3,015,513 | ||||||
| Ford Motor Credit Co. LLC 5.875%, due 8/2/21 | 3,000,000 | 3,142,350 | ||||||
| General Motors Co. 5.15%, due 4/1/38 | 1,500,000 | 1,514,472 | ||||||
| Volkswagen Group of America Finance LLC (a) | ||||||||
| 2.972% (3 Month LIBOR + 0.86%), due 9/24/21 (c) | 1,975,000 | 1,978,226 | ||||||
| 3.20%, due 9/26/26 | 1,275,000 | 1,284,930 | ||||||
| 10,935,491 | ||||||||
| Banks 6.5% | ||||||||
| Banco del Estado de Chile 2.668%, due 1/8/21 (a) | 3,150,000 | 3,150,031 | ||||||
| Bank of America Corp. | ||||||||
| 4.33%, due 3/15/50 (d) | 3,000,000 | 3,534,901 | ||||||
| 4.45%, due 3/3/26 | 1,570,000 | 1,710,970 | ||||||
| BB&T Corp. 2.50%, due 8/1/24 | 2,365,000 | 2,383,975 | ||||||
| Citigroup, Inc. | ||||||||
| 4.60%, due 3/9/26 | 1,500,000 | 1,638,882 | ||||||
| 4.75%, due 5/18/46 | 1,500,000 | 1,749,349 | ||||||
| Credit Suisse Group A.G. (a)(d) | ||||||||
| 2.593%, due 9/11/25 | 1,650,000 | 1,633,668 | ||||||
| 3.869%, due 1/12/29 | 500,000 | 525,919 | ||||||
| Credit Suisse Group Funding Guernsey, Ltd. 3.80%, due 9/15/22 | 1,990,000 | 2,069,360 | ||||||
| Fifth Third Bancorp 4.30%, due 1/16/24 | 3,875,000 | 4,156,416 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 2.905%, due 7/24/23 (d) | 500,000 | 506,716 | ||||||
| 5.15%, due 5/22/45 | 975,000 | 1,157,131 | ||||||
| HSBC Bank PLC 4.75%, due 1/19/21 (a) | 1,500,000 | 1,548,785 | ||||||
| HSBC Holdings PLC 3.973%, due 5/22/30 (d) | 1,625,000 | 1,734,999 | ||||||
| JPMorgan Chase & Co. 5.40%, due 1/6/42 | 1,925,000 | 2,548,841 | ||||||
| Lloyds Bank PLC 6.50%, due 9/14/20 (a) | 8,150,000 | 8,436,946 | ||||||
| Lloyds Banking Group PLC 4.344%, due 1/9/48 | 1,250,000 | 1,280,806 | ||||||
| Mizuho Financial Group, Inc. 2.977% (3 Month LIBOR + 0.85%), due 9/13/23 (c) | 1,375,000 | 1,377,887 | ||||||
| Morgan Stanley | ||||||||
| 2.72%, due 7/22/25 (d) | 2,075,000 | 2,095,789 | ||||||
| 4.35%, due 9/8/26 | 1,556,000 | 1,685,032 | ||||||
| SunTrust Bank 2.714% (3 Month LIBOR + 0.59%), due 5/17/22 (c) | 3,400,000 | 3,408,541 | ||||||
| 48,334,944 | ||||||||
| Beverages 0.6% | ||||||||
| Anheuser-Busch InBev Worldwide, Inc. 4.75%, due 1/23/29 | 3,750,000 | 4,358,480 | ||||||
| Biotechnology 0.3% | ||||||||
| Amgen, Inc. 4.563%, due 6/15/48 | 1,750,000 | 2,020,551 | ||||||
| Building Materials 0.9% | ||||||||
| Fortune Brands Home & Security, Inc. 4.00%, due 6/15/25 | 3,775,000 | 3,990,598 | ||||||
| Masco Corp. 4.50%, due 5/15/47 | 3,000,000 | 3,041,417 | ||||||
| 7,032,015 | ||||||||
| Chemicals 0.8% | ||||||||
| NewMarket Corp. 4.10%, due 12/15/22 | 5,536,000 | 5,760,840 | ||||||
| Diversified Financial Services 0.5% | ||||||||
| GE Capital International Funding Co. 4.418%, due 11/15/35 | 3,410,000 | 3,568,629 | ||||||
| Electric 3.8% | ||||||||
| Appalachian Power Co. 6.375%, due 4/1/36 | 1,750,000 | 2,310,455 | ||||||
| Arizona Public Service Co. 5.50%, due 9/1/35 | 1,275,000 | 1,573,992 | ||||||
| Dayton Power & Light Co. 3.95%, due 6/15/49 (a) | 1,025,000 | 1,125,501 | ||||||
| Electricite de France S.A. 5.00%, due 9/21/48 (a) | 3,420,000 | 4,101,738 | ||||||
| Entergy Corp. 4.00%, due 7/15/22 | 3,700,000 | 3,863,196 | ||||||
| Entergy Mississippi, Inc. 3.85%, due 6/1/49 | 2,500,000 | 2,782,530 | ||||||
| Evergy, Inc. 4.85%, due 6/1/21 | 385,000 | 398,222 | ||||||
| Exelon Corp. 3.497%, due 6/1/22 | 2,750,000 | 2,820,628 | ||||||
| FirstEnergy Transmission LLC 4.35%, due 1/15/25 (a) | 3,455,000 | 3,727,296 | ||||||
| NextEra Energy Capital Holdings, Inc. 3.25%, due 4/1/26 | 1,800,000 | 1,869,873 | ||||||
| Ohio Edison Co. 6.875%, due 7/15/36 | 2,500,000 | 3,581,174 | ||||||
| 28,154,605 | ||||||||
| Food 1.1% | ||||||||
| Conagra Brands, Inc. 4.85%, due 11/1/28 | 2,300,000 | 2,601,212 | ||||||
| Ingredion, Inc. 4.625%, due 11/1/20 | 1,475,000 | 1,509,534 | ||||||
| Kraft Heinz Food Co. 3.00%, due 6/1/26 | 1,170,000 | 1,157,581 | ||||||
| Kroger Co. 7.70%, due 6/1/29 | 1,000,000 | 1,323,218 | ||||||
| Tyson Foods, Inc. 4.00%, due 3/1/26 | 1,550,000 | 1,680,643 | ||||||
| 8,272,188 | ||||||||
| Gas 0.2% | ||||||||
| NiSource, Inc. 5.65%, due 2/1/45 | 1,125,000 | 1,449,742 | ||||||
| Health Care - Products 0.3% | ||||||||
| Becton Dickinson & Co. 2.894%, due 6/6/22 | 2,500,000 | 2,538,020 | ||||||
| Iron & Steel 0.7% | ||||||||
| Carpenter Technology Corp. 4.45%, due 3/1/23 | 1,825,000 | 1,880,185 | ||||||
| Reliance Steel & Aluminum Co. 4.50%, due 4/15/23 | 3,550,000 | 3,750,249 | ||||||
| 5,630,434 | ||||||||
| Media 1.1% | ||||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.908%, due 7/23/25 | 1,700,000 | 1,864,824 | ||||||
| Comcast Corp. 4.60%, due 10/15/38 | 3,000,000 | 3,583,801 | ||||||
| Fox Corp. (a) | ||||||||
| 4.709%, due 1/25/29 | 1,200,000 | 1,370,689 | ||||||
| 5.576%, due 1/25/49 | 1,250,000 | 1,581,806 | ||||||
| 8,401,120 | ||||||||
| Miscellaneous - Manufacturing 0.2% | ||||||||
| Parker-Hannifin Corp. 3.25%, due 6/14/29 | 1,300,000 | 1,354,328 | ||||||
| Multi-National 0.8% | ||||||||
| International Bank for Reconstruction & Development | ||||||||
| 2.00%, due 10/30/20 | 3,000,000 | 3,000,114 | ||||||
| 2.88%, due 5/15/24 | 3,050,000 | 3,056,088 | ||||||
| 6,056,202 | ||||||||
| Oil & Gas 2.0% | ||||||||
| Cenovus Energy, Inc. 4.25%, due 4/15/27 | 2,000,000 | 2,079,363 | ||||||
| Helmerich & Payne, Inc. 4.65%, due 3/15/25 | 2,900,000 | 3,134,217 | ||||||
| Nabors Industries, Inc. 5.00%, due 9/15/20 | 985,000 | 962,837 | ||||||
| Occidental Petroleum Corp. | ||||||||
| 3.137% (3 Month LIBOR + 0.95%), due 2/8/21 (c) | 3,500,000 | 3,522,433 | ||||||
| 4.20%, due 3/15/48 | 1,710,000 | 1,694,419 | ||||||
| 4.85%, due 3/15/21 | 2,369,000 | 2,449,854 | ||||||
| Petroleos Mexicanos 5.35%, due 2/12/28 | 1,100,000 | 1,051,193 | ||||||
| 14,894,316 | ||||||||
| Oil & Gas Services 0.7% | ||||||||
| Schlumberger Holdings Corp. 3.75%, due 5/1/24 (a) | 4,725,000 | 4,976,081 | ||||||
| Packaging & Containers 0.3% | ||||||||
| WRKCo., Inc. 3.75%, due 3/15/25 | 1,825,000 | 1,921,118 | ||||||
| Pharmaceuticals 0.6% | ||||||||
| Bayer U.S. Finance II LLC 3.875%, due 12/15/23 (a) | 2,475,000 | 2,585,393 | ||||||
| Bristol-Myers Squibb Co. 4.25%, due 10/26/49 (a) | 1,675,000 | 1,944,884 | ||||||
| 4,530,277 | ||||||||
| Pipelines 2.5% | ||||||||
| Energy Transfer Operating, L.P. 6.05%, due 6/1/41 | 1,300,000 | 1,486,267 | ||||||
| Energy Transfer Partners, L.P. / Regency Energy Finance Corp. 5.875%, due 3/1/22 | 4,800,000 | 5,133,669 | ||||||
| Enterprise Products Operating LLC 5.10%, due 2/15/45 | 2,600,000 | 3,061,044 | ||||||
| Kinder Morgan Energy Partners, L.P. 6.375%, due 3/1/41 | 400,000 | 490,345 | ||||||
| Kinder Morgan, Inc. 5.00%, due 2/15/21 (a) | 4,500,000 | 4,648,085 | ||||||
| MPLX, L.P. 3.002% (3 Month LIBOR + 0.90%), due 9/9/21 (c) | 1,750,000 | 1,755,810 | ||||||
| Texas Eastern Transmission, L.P. 2.80%, due 10/15/22 (a) | 2,350,000 | 2,370,885 | ||||||
| 18,946,105 | ||||||||
| Real Estate Investment Trusts 2.7% | ||||||||
| American Campus Communities Operating Partnership, L.P. 3.30%, due 7/15/26 | 3,000,000 | 3,078,414 | ||||||
| HCP, Inc. 3.25%, due 7/15/26 | 2,050,000 | 2,108,904 | ||||||
| Highwoods Realty, L.P. 3.625%, due 1/15/23 | 5,000,000 | 5,176,236 | ||||||
| Host Hotels & Resorts, L.P. 6.00%, due 10/1/21 | 1,700,000 | 1,810,048 | ||||||
| Kimco Realty Corp. 2.70%, due 3/1/24 | 975,000 | 982,730 | ||||||
| SBA Tower Trust 2.836%, due 1/15/25 (a) | 2,000,000 | 2,002,568 | ||||||
| VEREIT Operating Partnership, L.P. 4.875%, due 6/1/26 | 4,872,000 | 5,396,151 | ||||||
| 20,555,051 | ||||||||
| Retail 0.8% | ||||||||
| CVS Health Corp. | ||||||||
| 3.25%, due 8/15/29 | 2,450,000 | 2,461,243 | ||||||
| 5.05%, due 3/25/48 | 3,420,000 | 3,881,456 | ||||||
| 6,342,699 | ||||||||
| Software 0.5% | ||||||||
| Fidelity National Information Services, Inc. 2.25%, due 8/15/21 | 1,150,000 | 1,151,593 | ||||||
| Fiserv, Inc. | ||||||||
| 3.20%, due 7/1/26 | 1,425,000 | 1,474,726 | ||||||
| 4.75%, due 6/15/21 | 1,355,000 | 1,410,883 | ||||||
| 4,037,202 | ||||||||
| Telecommunications 1.4% | ||||||||
| AT&T, Inc. | ||||||||
| 4.50%, due 5/15/35 | 1,500,000 | 1,645,787 | ||||||
| 4.85%, due 3/1/39 | 2,000,000 | 2,267,671 | ||||||
| Orange S.A. 5.375%, due 1/13/42 | 895,000 | 1,148,745 | ||||||
| Telefonica Emisiones SAU 5.213%, due 3/8/47 | 1,500,000 | 1,744,814 | ||||||
| Verizon Communications, Inc. 4.50%, due 8/10/33 | 3,150,000 | 3,657,594 | ||||||
| 10,464,611 | ||||||||
| Transportation 0.6% | ||||||||
| Norfolk Southern Corp. 5.64%, due 5/17/29 | 1,400,000 | 1,714,048 | ||||||
| Union Pacific Corp. 4.30%, due 3/1/49 | 750,000 | 871,727 | ||||||
| United Parcel Service, Inc. 2.20%, due 9/1/24 | 1,650,000 | 1,655,620 | ||||||
| 4,241,395 | ||||||||
| Total Corporate Bonds (Cost $221,137,862) | 236,792,870 | |||||||
| Foreign Government Bonds 0.3% | ||||||||
| Mexico 0.2% | ||||||||
| United Mexican States 3.75%, due 1/11/28 | 1,850,000 | 1,906,425 | ||||||
| Poland 0.1% | ||||||||
| Republic of Poland Government International Bond 5.00%, due 3/23/22 | 350,000 | 375,501 | ||||||
| Total Foreign Government Bonds (Cost $2,191,818) | 2,281,926 | |||||||
| Mortgage-Backed Securities 6.2% | ||||||||
| Agency (Collateralized Mortgage Obligations) 1.0% | ||||||||
| Federal Home Loan Mortgage Corporation Series 2019-1, Class A1 3.50%, due 5/25/29 | 4,049,887 | 4,254,377 | ||||||
| Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificates Series K089, Class A2 3.563%, due 1/25/29 | 2,800,000 | 3,111,958 | ||||||
| 7,366,335 | ||||||||
| Commercial Mortgage Loans (Collateralized Mortgage Obligations) 3.2% | ||||||||
| BX Commercial Mortgage Trust Series 2019-IMC, Class A 3.028% (1 Month LIBOR + 1.00%), due 4/15/34 (a)(c) | 800,000 | 800,501 | ||||||
| COLT Funding LLC Series 2019-4, Class A1 2.579%, due 11/25/49 (e) | 2,500,000 | 2,499,982 | ||||||
| COMM Mortgage Trust | ||||||||
| Series 2016-COR1, Class A4 3.091%, due 10/10/49 | 3,000,000 | 3,131,852 | ||||||
| Series 2015-LC19, Class A4 3.183%, due 2/10/48 | 1,400,000 | 1,462,825 | ||||||
| CSAIL Commercial Mortgage Trust 2018-CX11, Class A4 3.766%, due 4/15/51 | 2,000,000 | 2,181,286 | ||||||
| Federal Home Loan Mortgage Corporation Multifamily Structured Pass Through Certificates | ||||||||
| Series K090, Class A2 3.422%, due 2/25/29 | 1,000,000 | 1,101,077 | ||||||
| Series K091, Class A2 3.505%, due 3/25/29 | 910,000 | 1,008,570 | ||||||
| GRACE Mortgage Trust Series 2014-GRCE, Class A 3.369%, due 6/10/28 (a) | 1,700,000 | 1,726,026 | ||||||
| GS Mortgage Securities Trust Series 2015-GC32, Class AS 4.018%, due 7/10/48 (f) | 3,000,000 | 3,249,529 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C21, Class AS 3.652%, due 3/15/48 | 1,000,000 | 1,054,759 | ||||||
| Seasoned Loans Structured Transaction Trust Series 2019-2, Class A2C 2.75%, due 9/25/29 (e) | 3,700,000 | 3,763,594 | ||||||
| Wells Fargo Commercial Mortgage Trust Series 2016-NXS6, Class A2 2.399%, due 11/15/49 | 1,900,000 | 1,907,852 | ||||||
| 23,887,853 | ||||||||
| Whole Loan (Collateralized Mortgage Obligations) 2.0% | ||||||||
| JPMorgan Mortgage Trust (a)(f) | ||||||||
| Series 2014-2, Class 1A1 3.00%, due 6/25/29 | 1,644,308 | 1,667,592 | ||||||
| Series 2015-6, Class A5 3.50%, due 10/25/45 | 1,091,938 | 1,107,507 | ||||||
| Seasoned Credit Risk Transfer Trust | ||||||||
| Series 2018-3, Class MA 3.50%, due 8/25/57 | 6,070,435 | 6,327,840 | ||||||
| Series 2019-2, Class MA 3.50%, due 8/25/58 | 3,429,574 | 3,586,734 | ||||||
| Series 2019-2, Class M55D 4.00%, due 8/25/58 | 2,458,249 | 2,576,457 | ||||||
| 15,266,130 | ||||||||
| Total Mortgage-Backed Securities (Cost $45,460,466) | 46,520,318 | |||||||
| Municipal Bonds 0.7% | ||||||||
| Texas 0.7% | ||||||||
| San Antonio Water System, Revenue Bonds 5.502%, due 5/15/29 | 2,000,000 | 2,415,920 | ||||||
| Texas Transportation Commission State Highway Fund, Revenue Bonds 5.178%, due 4/1/30 | 2,150,000 | 2,647,704 | ||||||
| Total Municipal Bonds (Cost $4,672,746) | 5,063,624 | |||||||
| U.S. Government & Federal Agencies 48.9% | ||||||||
| Federal Home Loan Bank 3.6% | ||||||||
| 1.50%, due 8/15/24 | 1,775,000 | 1,765,407 | ||||||
| 2.50%, due 12/10/27 | 3,000,000 | 3,118,436 | ||||||
| 3.00%, due 3/10/28 | 1,900,000 | 2,058,115 | ||||||
| 3.125%, due 9/12/25 | 3,100,000 | 3,352,896 | ||||||
| 3.25%, due 6/9/28 | 4,000,000 | 4,434,609 | ||||||
| 3.25%, due 11/16/28 | 10,750,000 | 11,979,768 | ||||||
| 26,709,231 | ||||||||
| Federal Home Loan Mortgage Corporation 1.1% | ||||||||
| 2.05%, due 8/26/22 | 2,200,000 | 2,196,229 | ||||||
| 2.70%, due 4/8/22 | 2,000,000 | 2,000,257 | ||||||
| 2.89%, due 4/16/24 | 2,000,000 | 2,000,694 | ||||||
| 6.25%, due 7/15/32 | 1,600,000 | 2,361,867 | ||||||
| 8,559,047 | ||||||||
| Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) 6.3% | ||||||||
| 3.00%, due 8/1/49 | 2,481,901 | 2,535,137 | ||||||
| 3.50%, due 11/1/47 | 883,739 | 914,765 | ||||||
| 3.50%, due 5/1/48 | 5,895,408 | 6,088,147 | ||||||
| 3.50%, due 5/1/49 | 4,394,650 | 4,556,763 | ||||||
| 3.50%, due 6/1/49 | 6,152,534 | 6,378,108 | ||||||
| 3.50%, due 7/1/49 | 5,451,559 | 5,652,063 | ||||||
| 4.00%, due 7/1/23 | 104,550 | 109,169 | ||||||
| 4.00%, due 8/1/25 | 52,392 | 54,634 | ||||||
| 4.00%, due 12/1/48 | 6,689,099 | 7,009,692 | ||||||
| 4.00%, due 5/1/49 | 6,650,069 | 6,965,944 | ||||||
| 4.50%, due 4/1/22 | 9,191 | 9,470 | ||||||
| 4.50%, due 4/1/23 | 5,334 | 5,547 | ||||||
| 4.50%, due 11/1/39 | 837,357 | 907,471 | ||||||
| 4.50%, due 8/1/40 | 123,698 | 134,097 | ||||||
| 4.50%, due 9/1/40 | 712,691 | 770,063 | ||||||
| 4.50%, due 11/1/40 | 339,338 | 360,878 | ||||||
| 4.50%, due 7/1/41 | 184,568 | 200,116 | ||||||
| 4.50%, due 2/1/47 | 252,232 | 267,285 | ||||||
| 4.50%, due 10/1/47 | 282,539 | 299,931 | ||||||
| 4.50%, due 4/1/48 | 236,430 | 249,785 | ||||||
| 4.50%, due 5/1/48 | 157,999 | 166,817 | ||||||
| 4.50%, due 8/1/48 | 322,287 | 339,955 | ||||||
| 4.50%, due 9/1/48 | 493,503 | 520,731 | ||||||
| 5.00%, due 3/1/25 | 63,824 | 66,117 | ||||||
| 5.00%, due 8/1/35 | 46,256 | 51,128 | ||||||
| 5.00%, due 4/1/37 | 517,711 | 572,110 | ||||||
| 5.00%, due 8/1/37 | 126,076 | 139,383 | ||||||
| 5.00%, due 3/1/40 | 252,682 | 279,220 | ||||||
| 5.50%, due 9/1/21 | 15,226 | 15,381 | ||||||
| 5.50%, due 9/1/22 | 27,387 | 27,793 | ||||||
| 5.50%, due 9/1/37 | 283,534 | 319,825 | ||||||
| 5.50%, due 8/1/38 | 125,406 | 141,562 | ||||||
| 5.50%, due 12/1/38 | 125,203 | 141,034 | ||||||
| 6.00%, due 7/1/21 | 33,917 | 34,410 | ||||||
| 6.00%, due 8/1/36 | 57,408 | 65,959 | ||||||
| 6.00%, due 9/1/37 | 129,026 | 148,582 | ||||||
| 6.00%, due 5/1/40 | 313,448 | 360,657 | ||||||
| 6.50%, due 11/1/35 | 20,283 | 22,726 | ||||||
| 6.50%, due 8/1/37 | 26,596 | 31,694 | ||||||
| 46,914,149 | ||||||||
| Federal National Mortgage Association 1.7% | ||||||||
| 1.375%, due 9/6/22 | 5,700,000 | 5,659,567 | ||||||
| 1.75%, due 7/2/24 | 2,525,000 | 2,539,398 | ||||||
| 6.25%, due 5/15/29 | 3,000,000 | 4,147,688 | ||||||
| 12,346,653 | ||||||||
| Federal National Mortgage Association (Mortgage Pass-Through Securities) 12.5% | ||||||||
| 2.50%, due 5/1/43 | 531,593 | 531,140 | ||||||
| 2.91%, due 4/1/26 | 6,450,000 | 6,761,072 | ||||||
| 3.00%, due 9/1/34 | 5,924,129 | 6,059,694 | ||||||
| 3.00%, due 9/1/42 | 1,936,132 | 1,995,152 | ||||||
| 3.00%, due 9/1/43 | 1,354,927 | 1,395,260 | ||||||
| 3.00%, due 12/1/43 | 1,365,919 | 1,405,205 | ||||||
| 3.00%, due 11/1/46 | 2,641,420 | 2,705,462 | ||||||
| 3.00%, due 2/1/47 | 2,476,039 | 2,536,357 | ||||||
| 3.00%, due 7/1/47 | 1,321,291 | 1,353,285 | ||||||
| 3.00%, due 7/1/48 | 1,568,414 | 1,606,429 | ||||||
| 3.00%, due 9/1/49 | 7,080,606 | 7,271,629 | ||||||
| 3.082%, due 7/1/29 | 2,000,000 | 2,138,687 | ||||||
| 3.36%, due 5/1/28 | 2,309,600 | 2,517,985 | ||||||
| 3.46%, due 5/1/28 | 2,000,000 | 2,196,269 | ||||||
| 3.50%, due 10/1/47 | 4,432,212 | 4,587,302 | ||||||
| 3.50%, due 7/1/49 | 18,251,420 | 18,920,424 | ||||||
| 4.00%, due 4/1/20 | 97 | 101 | ||||||
| 4.00%, due 10/1/20 | 14 | 15 | ||||||
| 4.00%, due 3/1/22 | 29,681 | 30,858 | ||||||
| 4.00%, due 12/1/25 | 344,691 | 358,992 | ||||||
| 4.00%, due 6/1/46 | 2,292,743 | 2,450,428 | ||||||
| 4.00%, due 6/1/49 | 15,316,530 | 16,040,918 | ||||||
| 4.50%, due 5/1/24 | 174,750 | 182,068 | ||||||
| 4.50%, due 11/1/35 | 167,510 | 181,192 | ||||||
| 4.50%, due 4/1/41 | 451,890 | 489,579 | ||||||
| 4.50%, due 5/1/41 | 652,427 | 706,811 | ||||||
| 4.50%, due 7/1/41 | 521,201 | 564,812 | ||||||
| 4.50%, due 9/1/41 | 218,752 | 237,055 | ||||||
| 4.50%, due 3/1/44 | 249,334 | 268,148 | ||||||
| 4.50%, due 8/1/44 | 1,234,135 | 1,334,589 | ||||||
| 4.50%, due 11/1/44 | 258,030 | 274,447 | ||||||
| 4.50%, due 3/1/46 | 136,223 | 144,326 | ||||||
| 4.50%, due 12/1/46 | 275,171 | 291,855 | ||||||
| 4.50%, due 2/1/47 | 146,888 | 155,117 | ||||||
| 4.50%, due 7/1/47 | 302,519 | 319,779 | ||||||
| 4.50%, due 2/1/48 | 231,902 | 244,664 | ||||||
| 4.50%, due 4/1/48 | 134,096 | 141,243 | ||||||
| 4.50%, due 8/1/48 | 157,854 | 166,025 | ||||||
| 4.50%, due 10/1/48 | 160,514 | 168,945 | ||||||
| 4.50%, due 11/1/48 | 336,891 | 355,491 | ||||||
| 4.50%, due 12/1/48 | 277,421 | 292,969 | ||||||
| 5.00%, due 12/1/23 | 116,311 | 120,162 | ||||||
| 5.00%, due 3/1/34 | 359,451 | 387,464 | ||||||
| 5.00%, due 4/1/34 | 246,130 | 273,506 | ||||||
| 5.00%, due 4/1/35 | 86,093 | 95,044 | ||||||
| 5.00%, due 2/1/36 | 146,134 | 161,376 | ||||||
| 5.00%, due 5/1/37 | 245 | 269 | ||||||
| 5.00%, due 6/1/37 | 170,120 | 187,513 | ||||||
| 5.00%, due 5/1/38 | 228,917 | 252,625 | ||||||
| 5.00%, due 1/1/39 | 95,565 | 105,264 | ||||||
| 5.00%, due 3/1/44 | 128,886 | 141,559 | ||||||
| 5.00%, due 9/1/48 | 288,580 | 311,343 | ||||||
| 5.50%, due 1/1/21 | 632 | 638 | ||||||
| 5.50%, due 12/1/21 | 2,514 | 2,563 | ||||||
| 5.50%, due 1/1/22 | 10,750 | 10,937 | ||||||
| 5.50%, due 2/1/22 | 677 | 689 | ||||||
| 5.50%, due 4/1/34 | 93,884 | 105,244 | ||||||
| 5.50%, due 8/1/37 | 78,863 | 89,193 | ||||||
| 5.50%, due 3/1/38 | 174,012 | 195,936 | ||||||
| 5.50%, due 6/1/38 | 178,653 | 201,559 | ||||||
| 5.50%, due 1/1/39 | 414,650 | 468,227 | ||||||
| 5.50%, due 11/1/39 | 76,281 | 86,027 | ||||||
| 5.50%, due 6/1/40 | 57,570 | 64,947 | ||||||
| 6.00%, due 3/1/36 | 24,471 | 28,130 | ||||||
| 6.00%, due 10/1/38 | 280,524 | 320,080 | ||||||
| 6.00%, due 12/1/38 | 253,946 | 290,601 | ||||||
| 6.00%, due 4/1/40 | 136,838 | 157,497 | ||||||
| 6.50%, due 10/1/36 | 33,122 | 38,212 | ||||||
| 6.50%, due 8/1/37 | 6,418 | 7,182 | ||||||
| 7.00%, due 9/1/37 | 50,750 | 60,093 | ||||||
| 7.00%, due 10/1/37 | 597 | 696 | ||||||
| 7.00%, due 11/1/37 | 6,706 | 7,747 | ||||||
| 7.50%, due 7/1/28 | 14,044 | 15,317 | ||||||
| 93,569,419 | ||||||||
| Government National Mortgage Association (Mortgage Pass-Through Securities) 4.5% | ||||||||
| 3.00%, due 5/1/49 TBA (g) | 6,300,000 | 6,464,637 | ||||||
| 3.50%, due 6/20/42 | 833,638 | 885,312 | ||||||
| 3.50%, due 8/20/43 | 1,131,407 | 1,199,113 | ||||||
| 3.50%, due 11/20/43 | 1,102,912 | 1,166,538 | ||||||
| 3.50%, due 4/20/45 | 832,781 | 871,020 | ||||||
| 3.50%, due 12/20/45 | 1,333,496 | 1,397,592 | ||||||
| 3.50%, due 2/20/46 | 635,361 | 664,324 | ||||||
| 3.50%, due 10/20/46 | 912,710 | 952,958 | ||||||
| 3.50%, due 11/20/46 | 1,063,844 | 1,110,461 | ||||||
| 3.50%, due 1/20/47 | 921,709 | 959,187 | ||||||
| 3.50%, due 5/20/47 | 1,431,846 | 1,488,890 | ||||||
| 3.50%, due 6/20/47 | 491,776 | 511,349 | ||||||
| 3.50%, due 7/20/47 | 757,417 | 787,303 | ||||||
| 3.50%, due 8/20/47 | 450,445 | 468,385 | ||||||
| 3.50%, due 9/20/47 | 719,925 | 748,890 | ||||||
| 3.50%, due 1/20/49 | 359,825 | 373,472 | ||||||
| 4.00%, due 1/20/42 | 998,699 | 1,064,892 | ||||||
| 4.00%, due 2/20/42 | 387,848 | 413,535 | ||||||
| 4.00%, due 8/20/43 | 1,255,565 | 1,331,423 | ||||||
| 4.00%, due 10/20/43 | 380,101 | 405,213 | ||||||
| 4.00%, due 3/15/44 | 50,599 | 53,739 | ||||||
| 4.00%, due 6/20/44 | 364,321 | 388,304 | ||||||
| 4.00%, due 7/15/44 | 354,021 | 375,988 | ||||||
| 4.00%, due 8/20/44 | 323,776 | 344,811 | ||||||
| 4.00%, due 9/20/44 | 332,392 | 353,916 | ||||||
| 4.00%, due 12/20/44 | 224,860 | 239,168 | ||||||
| 4.00%, due 1/20/45 | 175,009 | 186,144 | ||||||
| 4.00%, due 4/20/45 | 228,853 | 243,330 | ||||||
| 4.00%, due 7/15/45 | 207,706 | 218,776 | ||||||
| 4.00%, due 9/20/45 | 115,137 | 122,351 | ||||||
| 4.00%, due 10/1/48 TBA (g) | 6,000,000 | 6,239,648 | ||||||
| 4.50%, due 6/15/39 | 928,673 | 1,011,348 | ||||||
| 4.50%, due 6/15/40 | 265,772 | 289,480 | ||||||
| 33,331,497 | ||||||||
| Tennessee Valley Authority 0.4% | ||||||||
| 5.25%, due 9/15/39 | 2,000,000 | 2,830,934 | ||||||
| United States Treasury Bonds 4.5% | ||||||||
| 2.875%, due 5/15/49 | 25,400,000 | 29,623,742 | ||||||
| 4.25%, due 5/15/39 | 2,925,000 | 4,028,731 | ||||||
| 33,652,473 | ||||||||
| United States Treasury Notes 14.3% | ||||||||
| 1.25%, due 8/31/24 | 1,850,000 | 1,824,056 | ||||||
| 1.375%, due 8/31/26 | 900,000 | 885,551 | ||||||
| 1.625%, due 8/15/29 | 4,935,000 | 4,912,253 | ||||||
| 1.75%, due 7/31/21 | 36,800,000 | 36,851,750 | ||||||
| 1.75%, due 7/15/22 | 29,200,000 | 29,315,203 | ||||||
| 1.75%, due 7/31/24 | 3,875,000 | 3,909,209 | ||||||
| 2.125%, due 5/31/26 | 2,925,000 | 3,018,006 | ||||||
| 2.25%, due 11/15/25 | 8,875,000 | 9,203,999 | ||||||
| 2.50%, due 2/15/22 | 17,000,000 | 17,343,320 | ||||||
| 107,263,347 | ||||||||
| Total U.S. Government & Federal Agencies (Cost $359,297,582) | 365,176,750 | |||||||
| Total Long-Term Bonds (Cost $705,430,713) | 728,342,666 | |||||||
| Shares | ||||||||
| Exchange-Traded Funds 1.2% | ||||||||
| iShares Intermediate-Term Corporate Bond ETF (h) | 123,408 | 7,147,791 | ||||||
| iShares Long-Term Corporate Bond ETF | 33,238 | 2,214,648 | ||||||
| Total Exchange-Traded Funds (Cost $9,147,995) | 9,362,439 | |||||||
| Principal Amount | ||||||||
| Short-Term Investments 3.6% | ||||||||
| Commercial Paper 3.2% | ||||||||
| Bank New York Mellon Corp. 1.876%, due 10/1/19 (i) | $ | 24,000,000 | 24,000,000 | |||||
| Total Commercial Paper (Cost $24,000,000) | 24,000,000 | |||||||
| Repurchase Agreement 0.4% | ||||||||
| RBC Capital Markets 2.35%, dated 9/30/19 due 10/1/19 Proceeds at Maturity $2,980,195 (Collateralized by United States Treasury Note with a rate of 2.125% and a maturity date of 12/31/22, with a Principal Amount of $2,973,600 and a Market Value of $3,039,815) | 2,980,000 | 2,980,000 | ||||||
| Total Repurchase Agreement (Cost $2,980,000) | 2,980,000 | |||||||
| Total Short-Term Investments (Cost $26,980,000) | 26,980,000 | |||||||
| Total Investments (Cost $741,558,708) | 102.3 | % | 764,685,105 | |||||
| Other Assets, Less Liabilities | (2.3 | ) | (17,263,356 | ) | ||||
| Net Assets | 100.0 | % | $ | 747,421,749 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| (a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
| (b) | Step coupon - Rate shown was the rate in effect as of September 30, 2019. |
| (c) | Floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (d) | Fixed to floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (e) | Fair valued security - Represents fair value as measured in good faith under procedures approved by the Board of Trustees. As of September 30, 2019, the total market value of fair valued securities was $6,263,576, which represented 0.8% of the Portfolio's net assets. |
| (f) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end. |
| (g) | TBA - Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. As of September 30, 2019, the total net market value of these securities was $12,704,285, which represented 1.7% of the Portfolio's net assets. All or a portion of these securities are a part of a mortgage dollar roll agreement. |
| (h) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $7,061,049. The Portfolio received non-cash collateral in the form of U.S. Treasury securities with a value of $7,215,032. |
| (i) | Interest rate shown represents yield to maturity. |
| As of September 30, 2019, the Portfolio held the following futures contracts1: | |
| Type | Number
of Contracts | Expiration Date | Value
at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 | |||||||||||||
| Long Contracts | ||||||||||||||||||
| 2-Year United States Treasury Note | 34 | December 2019 | $ | 7,327,055 | $ | 7,327,000 | $ | (55 | ) | |||||||||
| 5-Year United States Treasury Note | 355 | December 2019 | 42,506,817 | 42,297,695 | (209,122 | ) | ||||||||||||
| 10-Year United States Treasury Note | 49 | December 2019 | 6,441,329 | 6,385,312 | (56,017 | ) | ||||||||||||
| United States Treasury Ultra Bond | 96 | December 2019 | 18,699,742 | 18,423,000 | (276,742 | ) | ||||||||||||
| Total Long Contracts | (541,936 | ) | ||||||||||||||||
| Short Contracts | ||||||||||||||||||
| 10-Year United States Treasury Ultra Note | (136) | December 2019 | (19,579,510 | ) | (19,367,250 | ) | 212,260 | |||||||||||
| United States Treasury Long Bond | 2 | December 2019 | 320,504 | 324,625 | 4,121 | |||||||||||||
| Total Short Contracts | 216,381 | |||||||||||||||||
| Net Unrealized Depreciation | $ | (325,555 | ) | |||||||||||||||
1. As of September 30, 2019, cash in the amount of $674,420 was on deposit with a broker or futures commission merchant for futures transactions.
2. Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2019.
The following abbreviations are used in the preceding pages:
| ETF | —Exchange-Traded Fund |
| LIBOR | —London Interbank Offered Rate |
| REIT | —Real Estate Investment Trust |
The
following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's
assets and liabilities:
| Description | Quoted
Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Long-Term Bonds | ||||||||||||||||
| Asset-Backed Securities | $ | — | $ | 72,507,178 | $ | — | $ | 72,507,178 | ||||||||
| Corporate Bonds | — | 236,792,870 | — | 236,792,870 | ||||||||||||
| Foreign Government Bonds | — | 2,281,926 | — | 2,281,926 | ||||||||||||
| Mortgage-Backed Securities | — | 46,520,318 | — | 46,520,318 | ||||||||||||
| Municipal Bonds | — | 5,063,624 | — | 5,063,624 | ||||||||||||
| U.S. Government & Federal Agencies | — | 365,176,750 | — | 365,176,750 | ||||||||||||
| Total Long-Term Bonds | — | 728,342,666 | — | 728,342,666 | ||||||||||||
| Exchange-Traded Funds | 9,362,439 | — | — | 9,362,439 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Commercial Paper | — | 24,000,000 | — | 24,000,000 | ||||||||||||
| Repurchase Agreements | — | 2,980,000 | — | 2,980,000 | ||||||||||||
| Total Short-Term Investments | — | 26,980,000 | — | 26,980,000 | ||||||||||||
| Total Investments in Securities | 9,362,439 | 755,322,666 | — | 764,685,105 | ||||||||||||
| Other Financial Instruments Futures Contracts (b) | 216,381 | — | — | 216,381 | ||||||||||||
| Total Investments in Securities and Other Financial Instruments | $ | 9,578,820 | $ | 755,322,666 | $ | — | $ | 764,901,486 | ||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Other Financial Instruments Futures Contracts (b) | $ | (541,936 | ) | $ | — | $ | — | $ | (541,936 | ) | ||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
| (b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP Conservative Allocation Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Affiliated Investment Companies 97.6% † | ||||||||
| Equity Funds 36.0% | ||||||||
| IQ 50 Percent Hedged FTSE International ETF | 299,466 | $ | 6,091,049 | |||||
| IQ 500 International ETF | 56,119 | 1,498,041 | ||||||
| IQ Chaikin U.S. Large Cap ETF | 219,573 | 5,476,151 | ||||||
| IQ Chaikin U.S. Small Cap ETF | 388,607 | 9,804,555 | ||||||
| IQ Global Resources ETF | 228,967 | 6,072,640 | ||||||
| MainStay Epoch Capital Growth Fund Class I (a) | 586,142 | 7,520,205 | ||||||
| MainStay Epoch International Choice Fund Class I | 389,349 | 13,389,714 | ||||||
| MainStay Epoch U.S. All Cap Fund Class R6 | 485,385 | 13,862,590 | ||||||
| MainStay MacKay International Opportunities Fund Class I | 1,050,229 | 7,981,740 | ||||||
| MainStay MacKay U.S. Equity Opportunities Fund Class I | 1,398,992 | 11,905,425 | ||||||
| MainStay MAP Equity Fund Class I (a) | 481,139 | 20,520,557 | ||||||
| MainStay VP Eagle Small Cap Growth Portfolio Initial Class | 676,639 | 9,364,334 | ||||||
| MainStay VP Emerging Markets Equity Portfolio Initial Class (a) | 2,302,215 | 19,771,160 | ||||||
| MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class | 997,014 | 16,582,951 | ||||||
| MainStay VP Large Cap Growth Portfolio Initial Class | 696,650 | 18,455,399 | ||||||
| MainStay VP MacKay Common Stock Portfolio Initial Class | 314,656 | 9,244,117 | ||||||
| MainStay VP MacKay Growth Portfolio Initial Class | 470,143 | 15,486,650 | ||||||
| MainStay VP MacKay International Equity Portfolio Initial Class | 159,787 | 2,706,701 | ||||||
| MainStay VP MacKay Mid Cap Core Portfolio Initial Class (a) | 1,461,854 | 20,351,273 | ||||||
| MainStay VP MacKay S&P 500 Index Portfolio Initial Class | 53,168 | 3,079,710 | ||||||
| MainStay VP MacKay Small Cap Core Portfolio Initial Class (a) | 1,891,206 | 20,138,275 | ||||||
| MainStay VP T. Rowe Price Equity Income Portfolio Initial Class (a) | 1,671,294 | 22,502,458 | ||||||
| Total Equity Funds (Cost $251,716,889) | 261,805,695 | |||||||
| Fixed Income Funds 61.6% | ||||||||
| IQ Enhanced Core Plus Bond U.S. ETF (a) | 454,831 | 8,957,897 | ||||||
| IQ S&P High Yield Low Volatility Bond ETF (a) | 352,899 | 8,935,403 | ||||||
| MainStay MacKay High Yield Municipal Bond Fund Class I | 945,033 | 12,313,775 | ||||||
| MainStay MacKay Infrastructure Bond Fund (a) | 930,339 | 8,177,681 | ||||||
| MainStay MacKay Short Duration High Yield Fund Class I (a) | 6,316,473 | 62,217,254 | ||||||
| MainStay MacKay Short Term Municipal Fund Class I | 1,149,868 | 11,061,729 | ||||||
| MainStay VP Bond Portfolio Initial Class (a) | 3,076,272 | 45,983,328 | ||||||
| MainStay VP Floating Rate Portfolio Initial Class (a) | 4,490,301 | 39,880,593 | ||||||
| MainStay VP Indexed Bond Portfolio Initial Class (a) | 21,444,649 | 227,646,293 | ||||||
| MainStay VP MacKay Convertible Portfolio Initial Class | 559,098 | 7,795,919 | ||||||
| MainStay VP MacKay Unconstrained Bond Portfolio Initial Class (a) | 793,848 | 7,899,249 | ||||||
| MainStay VP PIMCO Real Return Portfolio Initial Class (a) | 866,501 | 7,627,554 | ||||||
| Total Fixed Income Funds (Cost $430,126,240) | 448,496,675 | |||||||
| Total Affiliated Investment Companies (Cost $681,843,129) | 710,302,370 | |||||||
| Short-Term Investment 2.4% | ||||||||
| Affiliated Investment Company 2.4% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (b) | 17,263,908 | 17,263,908 | ||||||
| Total Short-Term Investment (Cost $17,263,908) | 17,263,908 | |||||||
| Total Investments (Cost $699,107,037) | 100.0 | % | 727,566,278 | |||||
| Other Assets, Less Liabilities | (0.0 | )‡ | (341,175 | ) | ||||
| Net Assets | 100.0 | % | $ | 727,225,103 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | As of September 30, 2019, the Portfolio's ownership exceeds 5% of the outstanding shares of the Underlying Portfolio's/Fund's share class. |
| (b) | Current yield as of September 30, 2019. |
| The following abbreviations are used in the preceding pages: | ||
| ETF | —Exchange-Traded Fund | |
| FTSE | —Financial Times Stock Exchange | |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets:
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments (a) | ||||||||||||||||
| Affiliated Investment Companies | ||||||||||||||||
| Equity Funds | $ | 261,805,695 | $ | — | $ | — | $ | 261,805,695 | ||||||||
| Fixed Income Funds | 448,496,675 | — | — | 448,496,675 | ||||||||||||
| Short-Term Investment | 17,263,908 | — | — | 17,263,908 | ||||||||||||
| Total Investments in Securities | $ | 727,566,278 | $ | — | $ | — | $ | 727,566,278 | ||||||||
(a) For a complete listing of investments, see the Portfolio of Investments.
MainStay VP Cushing Renaissance Advantage Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Common Stocks 62.6% † | ||||||||
| Airlines 2.2% | ||||||||
| Southwest Airlines Co. | 9,430 | $ | 509,314 | |||||
| Chemicals 3.6% | ||||||||
| Dow, Inc. | 7,215 | 343,795 | ||||||
| LyondellBasell Industries N.V., Class A | 3,935 | 352,064 | ||||||
| Westlake Chemical Corp. | 2,404 | 157,510 | ||||||
| 853,369 | ||||||||
| Construction & Engineering 4.1% | ||||||||
| Jacobs Engineering Group, Inc. | 10,449 | 956,084 | ||||||
| Electrical Equipment 1.6% | ||||||||
| Eaton Corp. PLC | 4,389 | 364,945 | ||||||
| Energy Equipment & Services 7.4% | ||||||||
| Cactus, Inc., Class A (a) | 11,769 | 340,595 | ||||||
| FTS International, Inc. (a) | 34,552 | 77,396 | ||||||
| Halliburton Co. | 20,549 | 387,349 | ||||||
| McDermott International, Inc. (a)(b) | 26,575 | 53,682 | ||||||
| Patterson-UTI Energy, Inc. | 25,921 | 221,625 | ||||||
| Schlumberger, Ltd. | 7,813 | 266,970 | ||||||
| Select Energy Services, Inc., Class A (a) | 33,929 | 293,825 | ||||||
| U.S. Well Services, Inc. (a) | 42,695 | 93,502 | ||||||
| 1,734,944 | ||||||||
| Independent Power & Renewable Electricity Producers 1.1% | ||||||||
| Clearway Energy, Inc., Class C | 13,520 | 246,740 | ||||||
| Machinery 3.9% | ||||||||
| Oshkosh Corp. | 5,058 | 383,396 | ||||||
| Wabtec Corp. | 4,817 | 346,150 | ||||||
| Xylem, Inc. | 2,422 | 192,840 | ||||||
| 922,386 | ||||||||
| Marine 0.7% | ||||||||
| Kirby Corp. (a) | 2,061 | 169,332 | ||||||
| Metals & Mining 0.9% | ||||||||
| Allegheny Technologies, Inc. (a) | 10,548 | 213,597 | ||||||
| Oil, Gas & Consumable Fuels 35.9% | ||||||||
| Cheniere Energy, Inc. (a) | 13,657 | 861,210 | ||||||
| Cimarex Energy Co. | 3,846 | 184,377 | ||||||
| Concho Resources, Inc. | 4,227 | 287,013 | ||||||
| Diamondback Energy, Inc. | 8,012 | 720,359 | ||||||
| Encana Corp. (b) | 73,566 | 338,404 | ||||||
| EnLink Midstream LLC | 20,551 | 174,684 | ||||||
| Golar LNG, Ltd. | 25,098 | 326,023 | ||||||
| HollyFrontier Corp. | 6,743 | 361,695 | ||||||
| Marathon Petroleum Corp. | 10,073 | 611,935 | ||||||
| Matador Resources Co. (a) | 17,348 | 286,762 | ||||||
| New Fortress Energy LLC (a) | 30,496 | 549,843 | ||||||
| Occidental Petroleum Corp. | 4,226 | 187,930 | ||||||
| Parsley Energy, Inc., Class A | 26,142 | 439,186 | ||||||
| Pembina Pipeline Corp. | 5,434 | 201,438 | ||||||
| Phillips 66 | 2,670 | 273,408 | ||||||
| Pioneer Natural Resources Co. | 1,908 | 239,969 | ||||||
| Rosehill Resources, Inc. (a)(b) | 91,902 | 179,209 | ||||||
| Targa Resources Corp. | 16,912 | 679,355 | ||||||
| Valero Energy Corp. | 11,911 | 1,015,294 | ||||||
| WPX Energy, Inc. (a) | 47,616 | 504,253 | ||||||
| 8,422,347 | ||||||||
| Trading Companies & Distributors 1.2% | ||||||||
| United Rentals, Inc. (a) | 2,245 | 279,817 | ||||||
| Total Common Stocks (Cost $16,199,684) | 14,672,875 | |||||||
| MLPs and Related Companies 21.3% | ||||||||
| Oil, Gas & Consumable Fuels 21.3% | ||||||||
| DCP Midstream, L.P. | 29,432 | 771,413 | ||||||
| Energy Transfer, L.P. | 84,984 | 1,111,591 | ||||||
| Enterprise Products Partners, L.P. | 17,208 | 491,804 | ||||||
| EQM Midstream Partners, L.P. | 5,799 | 189,627 | ||||||
| GasLog Partners, L.P. | 40,166 | 762,351 | ||||||
| Plains All American Pipeline, L.P. | 31,160 | 646,570 | ||||||
| Tallgrass Energy L.P. | 8,627 | 173,748 | ||||||
| Viper Energy Partners, L.P. | 30,087 | 832,507 | ||||||
| Total MLPs and Related Companies (Cost $5,602,244) | 4,979,611 | |||||||
| Short-Term Investments 16.0% | ||||||||
| Affiliated Investment Company 16.0% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (c) | 3,759,485 | 3,759,485 | ||||||
| Unaffiliated Investment Company 0.0% ‡ | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (c)(d) | 4,170 | 4,170 | ||||||
| Total Short-Term Investments (Cost $3,763,655) | 3,763,655 | |||||||
| Total Investments (Cost $25,565,583) | 99.9 | % | 23,416,141 | |||||
| Other Assets, Less Liabilities | 0.1 | 24,335 | ||||||
| Net Assets | 100.0 | % | $ | 23,440,476 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | Non-income producing security. |
| (b) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $389,611; the total market value of collateral held by the Portfolio was $398,280. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $394,110. |
| (c) | Current yield as of September 30, 2019. |
| (d) | Represents security purchased with cash collateral received for securities on loan. |
The following abbreviation is used in the preceding pages:
| MLP | —Master limited partnership |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets:
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Common Stocks | $ | 14,672,875 | $ | — | $ | — | $ | 14,672,875 | ||||||||
| MLPs and Related Companies | 4,979,611 | — | — | 4,979,611 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 3,759,485 | — | — | 3,759,485 | ||||||||||||
| Unaffiliated Investment Company | 4,170 | — | — | 4,170 | ||||||||||||
| Total Short-Term Investments | 3,763,655 | — | — | 3,763,655 | ||||||||||||
| Total Investments in Securities | $ | 23,416,141 | $ | — | $ | — | $ | 23,416,141 | ||||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
| MainStay VP Eagle Small Cap Growth Portfolio |
| Portfolio of Investments September 30, 2019 (Unaudited) |
| Shares | Value | |||||||
| Common Stocks 97.4% † | ||||||||
| Aerospace & Defense 3.8% | ||||||||
| Aerojet Rocketdyne Holdings, Inc. (a) | 126,421 | $ | 6,385,525 | |||||
| AeroVironment, Inc. (a) | 38,616 | 2,068,273 | ||||||
| Hexcel Corp. | 77,118 | 6,333,701 | ||||||
| 14,787,499 | ||||||||
| Auto Components 0.5% | ||||||||
| Fox Factory Holding Corp. (a) | 28,969 | 1,803,030 | ||||||
| Banks 1.1% | ||||||||
| Glacier Bancorp, Inc. | 106,121 | 4,293,656 | ||||||
| Beverages 0.5% | ||||||||
| Boston Beer Co., Inc., Class A (a) | 5,167 | 1,881,201 | ||||||
| Biotechnology 10.2% | ||||||||
| ACADIA Pharmaceuticals, Inc. (a) | 62,255 | 2,240,557 | ||||||
| Acceleron Pharma, Inc. (a) | 50,024 | 1,976,448 | ||||||
| Amicus Therapeutics, Inc. (a) | 167,442 | 1,342,885 | ||||||
| Arena Pharmaceuticals, Inc. (a) | 57,563 | 2,634,659 | ||||||
| ArQule, Inc. (a) | 208,585 | 1,495,554 | ||||||
| Atara Biotherapeutics, Inc. (a) | 77,119 | 1,088,920 | ||||||
| Biohaven Pharmaceutical Holding Co., Ltd. (a) | 58,865 | 2,455,848 | ||||||
| Blueprint Medicines Corp. (a) | 42,143 | 3,096,246 | ||||||
| Dicerna Pharmaceuticals, Inc. (a) | 149,832 | 2,151,588 | ||||||
| Exact Sciences Corp. (a) | 23,365 | 2,111,495 | ||||||
| Genomic Health, Inc. (a) | 54,698 | 3,709,618 | ||||||
| Global Blood Therapeutics, Inc. (a) | 26,755 | 1,298,153 | ||||||
| Halozyme Therapeutics, Inc. (a) | 96,941 | 1,503,555 | ||||||
| Insmed, Inc. (a) | 91,011 | 1,605,434 | ||||||
| Kura Oncology, Inc. (a) | 111,873 | 1,697,113 | ||||||
| Ligand Pharmaceuticals, Inc. (a) | 23,894 | 2,378,409 | ||||||
| Progenics Pharmaceuticals, Inc. (a) | 382,430 | 1,933,184 | ||||||
| Ra Pharmaceuticals, Inc. (a) | 60,500 | 1,430,825 | ||||||
| Repligen Corp. (a) | 29,652 | 2,274,012 | ||||||
| uniQure N.V. (a) | 28,897 | 1,137,386 | ||||||
| 39,561,889 | ||||||||
| Building Products 1.7% | ||||||||
| Trex Co., Inc. (a) | 74,714 | 6,793,744 | ||||||
| Capital Markets 0.9% | ||||||||
| PJT Partners, Inc., Class A | 82,868 | 3,372,728 | ||||||
| Chemicals 3.3% | ||||||||
| Quaker Chemical Corp. | 53,526 | 8,464,601 | ||||||
| Sensient Technologies Corp. | 62,781 | 4,309,916 | ||||||
| 12,774,517 | ||||||||
| Commercial Services & Supplies 3.9% | ||||||||
| Brink's Co. | 54,513 | 4,521,853 | ||||||
| MSA Safety, Inc. | 49,994 | 5,454,845 | ||||||
| Ritchie Brothers Auctioneers, Inc. | 127,084 | 5,070,652 | ||||||
| 15,047,350 | ||||||||
| Communications Equipment 0.7% | ||||||||
| Lumentum Holdings, Inc. (a) | 54,316 | 2,909,165 | ||||||
| Construction Materials 1.2% | ||||||||
| Summit Materials, Inc., Class A (a) | 204,653 | 4,543,297 | ||||||
| Consumer Finance 1.1% | ||||||||
| FirstCash, Inc. | 48,219 | 4,420,236 | ||||||
| Distributors 1.1% | ||||||||
| Pool Corp. | 20,921 | 4,219,766 | ||||||
| Diversified Consumer Services 0.8% | ||||||||
| Chegg, Inc. (a) | 105,067 | 3,146,757 | ||||||
| Diversified Telecommunication Services 0.7% | ||||||||
| Bandwidth, Inc., Class A (a) | 42,496 | 2,766,914 | ||||||
| Electrical Equipment 1.1% | ||||||||
| Thermon Group Holdings, Inc. (a) | 189,494 | 4,354,572 | ||||||
| Electronic Equipment, Instruments & Components 3.5% | ||||||||
| Cognex Corp. | 110,260 | 5,417,074 | ||||||
| Coherent, Inc. (a) | 35,297 | 5,425,855 | ||||||
| II-VI, Inc. (a) | 74,448 | 2,621,314 | ||||||
| 13,464,243 | ||||||||
| Equity Real Estate Investment Trusts 1.9% | ||||||||
| EastGroup Properties, Inc. | 23,755 | 2,969,850 | ||||||
| Seritage Growth Properties, Class A (b) | 105,655 | 4,489,281 | ||||||
| 7,459,131 | ||||||||
| Food & Staples Retailing 1.0% | ||||||||
| Casey's General Stores, Inc. | 23,794 | 3,834,641 | ||||||
| Food Products 1.4% | ||||||||
| Freshpet, Inc. (a) | 52,723 | 2,624,024 | ||||||
| Simply Good Foods Co. (a) | 99,683 | 2,889,810 | ||||||
| 5,513,834 | ||||||||
| Health Care Equipment & Supplies 7.4% | ||||||||
| CONMED Corp. | 23,464 | 2,256,064 | ||||||
| Haemonetics Corp. (a) | 37,509 | 4,731,385 | ||||||
| Insulet Corp. (a) | 30,767 | 5,074,401 | ||||||
| Novocure, Ltd. (a) | 52,320 | 3,912,490 | ||||||
| NuVasive, Inc. (a) | 43,336 | 2,746,636 | ||||||
| Penumbra, Inc. (a)(b) | 14,715 | 1,979,020 | ||||||
| Quidel Corp. (a) | 38,398 | 2,355,717 | ||||||
| Tandem Diabetes Care, Inc. (a) | 62,038 | 3,659,001 | ||||||
| Wright Medical Group N.V. (a) | 91,272 | 1,882,942 | ||||||
| 28,597,656 | ||||||||
| Health Care Providers & Services 2.0% | ||||||||
| Amedisys, Inc. (a) | 16,735 | 2,192,453 | ||||||
| AMN Healthcare Services, Inc. (a) | 43,952 | 2,529,877 | ||||||
| BioTelemetry, Inc. (a) | 30,873 | 1,257,457 | ||||||
| HealthEquity, Inc. (a) | 34,002 | 1,943,044 | ||||||
| 7,922,831 | ||||||||
| Health Care Technology 2.3% | ||||||||
| Health Catalyst, Inc. (a) | 55,330 | 1,750,641 | ||||||
| Omnicell, Inc. (a) | 43,846 | 3,168,750 | ||||||
| Teladoc Health, Inc. (a)(b) | 60,837 | 4,119,882 | ||||||
| 9,039,273 | ||||||||
| Hotels, Restaurants & Leisure 4.8% | ||||||||
| Everi Holdings, Inc. (a) | 471,109 | 3,985,582 | ||||||
| Lindblad Expeditions Holdings, Inc. (a) | 132,883 | 2,227,119 | ||||||
| Penn National Gaming, Inc. (a) | 216,683 | 4,035,721 | ||||||
| Planet Fitness, Inc., Class A (a) | 90,312 | 5,226,356 | ||||||
| Wingstop, Inc. | 38,936 | 3,398,334 | ||||||
| 18,873,112 | ||||||||
| Household Durables 2.0% | ||||||||
| LGI Homes, Inc. (a) | 11,674 | 972,677 | ||||||
| Universal Electronics, Inc. (a) | 133,242 | 6,782,018 | ||||||
| 7,754,695 | ||||||||
| Insurance 0.7% | ||||||||
| eHealth, Inc. (a) | 42,303 | 2,825,417 | ||||||
| Internet & Direct Marketing Retail 0.8% | ||||||||
| Revolve Group, Inc. (a)(b) | 132,159 | 3,088,556 | ||||||
| IT Services 1.6% | ||||||||
| Evo Payments, Inc., Class A (a) | 100,539 | 2,827,157 | ||||||
| Verra Mobility Corp. (a) | 227,116 | 3,259,114 | ||||||
| 6,086,271 | ||||||||
| Leisure Products 1.0% | ||||||||
| Yeti Holdings, Inc. (a)(b) | 145,452 | 4,072,656 | ||||||
| Life Sciences Tools & Services 1.4% | ||||||||
| NeoGenomics, Inc. (a) | 183,838 | 3,514,983 | ||||||
| PRA Health Sciences, Inc. (a) | 20,497 | 2,033,917 | ||||||
| 5,548,900 | ||||||||
| Machinery 6.0% | ||||||||
| Chart Industries, Inc. (a) | 89,171 | 5,560,704 | ||||||
| John Bean Technologies Corp. | 59,625 | 5,928,514 | ||||||
| Kennametal, Inc. | 75,699 | 2,326,987 | ||||||
| Kornit Digital, Ltd. (a) | 85,012 | 2,616,669 | ||||||
| Woodward, Inc. | 63,125 | 6,806,769 | ||||||
| 23,239,643 | ||||||||
| Media 1.0% | ||||||||
| Sinclair Broadcast Group, Inc., Class A | 94,454 | 4,036,964 | ||||||
| Oil, Gas & Consumable Fuels 1.1% | ||||||||
| Viper Energy Partners, L.P. | 148,426 | 4,106,947 | ||||||
| Pharmaceuticals 2.0% | ||||||||
| Cymabay Therapeutics, Inc. (a) | 150,830 | 772,249 | ||||||
| Horizon Therapeutics PLC (a) | 135,418 | 3,687,432 | ||||||
| Odonate Therapeutics, Inc. (a) | 40,032 | 1,042,033 | ||||||
| Zogenix, Inc. (a) | 56,442 | 2,259,938 | ||||||
| 7,761,652 | ||||||||
| Professional Services 0.4% | ||||||||
| Insperity, Inc. | 16,054 | 1,583,245 | ||||||
| Road & Rail 1.4% | ||||||||
| Landstar System, Inc. | 47,133 | 5,306,233 | ||||||
| Semiconductors & Semiconductor Equipment 4.9% | ||||||||
| Cabot Microelectronics Corp. | 29,099 | 4,109,070 | ||||||
| Entegris, Inc. | 165,707 | 7,798,171 | ||||||
| Lattice Semiconductor Corp. (a) | 182,928 | 3,344,838 | ||||||
| Silicon Laboratories, Inc. (a) | 33,322 | 3,710,405 | ||||||
| 18,962,484 | ||||||||
| Software 10.0% | ||||||||
| AppFolio, Inc., Class A (a) | 22,859 | 2,174,805 | ||||||
| Cornerstone OnDemand, Inc. (a) | 114,771 | 6,291,746 | ||||||
| Everbridge, Inc. (a) | 27,847 | 1,718,439 | ||||||
| Guidewire Software, Inc. (a) | 48,327 | 5,092,700 | ||||||
| Medallia, Inc. (a) | 75,000 | 2,057,250 | ||||||
| Pegasystems, Inc. | 86,185 | 5,864,889 | ||||||
| Q2 Holdings, Inc. (a) | 47,729 | 3,764,386 | ||||||
| RealPage, Inc. (a) | 120,515 | 7,575,573 | ||||||
| SailPoint Technologies Holding, Inc. (a) | 112,461 | 2,101,896 | ||||||
| Tenable Holdings, Inc. (a) | 105,000 | 2,349,900 | ||||||
| 38,991,584 | ||||||||
| Specialty Retail 3.1% | ||||||||
| Floor & Decor Holdings, Inc., Class A (a) | 92,212 | 4,716,644 | ||||||
| Genesco, Inc. (a) | 50,943 | 2,038,739 | ||||||
| MarineMax, Inc. (a) | 203,397 | 3,148,586 | ||||||
| National Vision Holdings, Inc. (a) | 82,764 | 1,992,129 | ||||||
| 11,896,098 | ||||||||
| Textiles, Apparel & Luxury Goods 2.1% | ||||||||
| Canada Goose Holdings, Inc. (a)(b) | 65,860 | 2,895,864 | ||||||
| Steven Madden, Ltd. | 150,135 | 5,373,332 | ||||||
| 8,269,196 | ||||||||
| Thrifts & Mortgage Finance 1.0% | ||||||||
| NMI Holdings, Inc., Class A (a) | 149,691 | 3,930,886 | ||||||
| Total Common Stocks (Cost $320,684,921) |
378,842,469 | |||||||
| Short-Term Investments 5.8% | ||||||||
| Affiliated Investment Company 3.1% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (c) | 12,028,013 | 12,028,013 | ||||||
| Unaffiliated Investment Company 2.7% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (c)(d) | 10,365,054 | 10,365,054 | ||||||
| Total Short-Term Investments (Cost $22,393,067) |
22,393,067 | |||||||
| Total Investments (Cost $343,077,988) |
103.2 | % | 401,235,536 | |||||
| Other Assets, Less Liabilities | (3.2 | ) | (12,373,923 | ) | ||||
| Net Assets | 100.0 | % | $ | 388,861,613 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| (a) | Non-income producing security. |
| (b) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $18,658,702; the total market value of collateral held by the Portfolio was $19,115,082. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $8,750,028. |
| (c) | Current yield as of September 30, 2019. |
| (d) | Represents security purchased with cash collateral received for securities on loan. |
| The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets: |
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Common Stocks | $ | 378,842,469 | $ | — | $ | — | $ | 378,842,469 | ||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 12,028,013 | — | — | 12,028,013 | ||||||||||||
| Unaffiliated Investment Company | 10,365,054 | — | — | 10,365,054 | ||||||||||||
| Total Short-Term Investments | 22,393,067 | — | — | 22,393,067 | ||||||||||||
| Total Investments in Securities | $ | 401,235,536 | $ | — | $ | — | $ | 401,235,536 | ||||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP Emerging Markets Equity Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Common Stocks 92.3% † | ||||||||
| Argentina 0.1% | ||||||||
| MercadoLibre, Inc. (Internet & Direct Marketing Retail) (a) | 1,000 | $ | 551,230 | |||||
| Brazil 5.8% | ||||||||
| Afya, Ltd., Class A (Diversified Consumer Services) (a)(b) | 26,000 | 666,640 | ||||||
| Ambev S.A. (Beverages) | 531,900 | 2,464,308 | ||||||
| B3 S.A. - Brasil Bolsa Balcao (Capital Markets) | 129,800 | 1,362,994 | ||||||
| Banco BTG Pactual S.A. (Capital Markets) | 46,400 | 653,851 | ||||||
| Banco do Brasil S.A. (Banks) | 221,800 | 2,428,353 | ||||||
| Banco Inter S.A. (Banks) (a) | 40,000 | 546,336 | ||||||
| Banco Santander Brasil S.A. (Banks) | 9,800 | 106,917 | ||||||
| BRF S.A. (Food Products) (a) | 160,000 | 1,471,016 | ||||||
| Cia Energetica de Minas Gerais (Electric Utilities) | 68,500 | 262,133 | ||||||
| Cia Siderurgica Nacional S.A. (Metals & Mining) | 293,900 | 935,823 | ||||||
| Construtora Tenda S.A. (Household Durables) | 88,400 | 524,236 | ||||||
| Cyrela Brazil Realty S.A. Empreendimentos e Participacoes (Household Durables) | 175,700 | 1,017,000 | ||||||
| IRB Brasil Resseguros S.A. (Insurance) | 96,000 | 870,133 | ||||||
| JBS S.A. (Food Products) | 103,600 | 817,590 | ||||||
| JSL S.A. (Road & Rail) | 20,900 | 86,267 | ||||||
| Localiza Rent a Car S.A. (Road & Rail) | 100,000 | 1,094,117 | ||||||
| Magazine Luiza S.A. (Multiline Retail) | 70,000 | 624,027 | ||||||
| MRV Engenharia e Participacoes S.A. (Household Durables) | 125,500 | 532,815 | ||||||
| Notre Dame Intermedica Participacoes S.A. (Health Care Providers & Services) | 65,000 | 848,687 | ||||||
| Petrobras Distribuidora S.A. (Specialty Retail) | 128,400 | 850,757 | ||||||
| Qualicorp Consultoria e Corretora de Seguros S.A. (Health Care Providers & Services) | 77,100 | 577,097 | ||||||
| Rumo S.A. (Road & Rail) (a) | 175,000 | 1,031,902 | ||||||
| Ser Educacional S.A. (Diversified Consumer Services) (c) | 37,400 | 201,449 | ||||||
| Smiles Fidelidade S.A. (Media) | 40,400 | 369,487 | ||||||
| Vale S.A. (Metals & Mining) (a) | 148,075 | 1,701,725 | ||||||
| Wiz Solucoes e Corretagem de Seguros S.A. (Insurance) | 201,200 | 539,929 | ||||||
| 22,585,589 | ||||||||
| Chile 0.0% ‡ | ||||||||
| CAP S.A. (Metals & Mining) | 8,727 | 76,002 | ||||||
| China 31.4% | ||||||||
| Agricultural Bank of China, Ltd., Class H (Banks) | 2,858,000 | 1,119,469 | ||||||
| Aier Eye Hospital Group Co., Ltd., Class A (Health Care Providers & Services) | 160,177 | 795,904 | ||||||
| Alibaba Group Holding, Ltd., Sponsored ADR (Internet & Direct Marketing Retail) (a) | 103,173 | 17,253,621 | ||||||
| Anhui Conch Cement Co., Ltd., Class H (Construction Materials) | 443,500 | 2,634,054 | ||||||
| ANTA Sports Products, Ltd. (Textiles, Apparel & Luxury Goods) | 140,000 | 1,158,375 | ||||||
| Asia Cement China Holdings Corp. (Construction Materials) | 134,000 | 161,394 | ||||||
| BAIC Motor Corp., Ltd., Class H (Automobiles) (c) | 1,435,000 | 886,153 | ||||||
| Baidu, Inc., Sponsored ADR (Interactive Media & Services) (a) | 13,600 | 1,397,536 | ||||||
| Bank of China, Ltd., Class H (Banks) | 4,461,000 | 1,753,050 | ||||||
| Bank of Communications Co., Ltd., Class H (Banks) | 1,146,000 | 748,628 | ||||||
| Bank of Shanghai Co., Ltd., Class A (Banks) | 350,000 | 458,436 | ||||||
| Beijing Chunlizhengda Medical Instruments Co., Ltd., Class H (Health Care Equipment & Supplies) | 43,600 | 215,839 | ||||||
| Beijing Enterprises Water Group, Ltd. (Water Utilities) (a) | 2,600,000 | 1,330,237 | ||||||
| Brilliance China Automotive Holdings, Ltd. (Automobiles) | 600,000 | 644,577 | ||||||
| China Aoyuan Group, Ltd. (Real Estate Management & Development) | 645,000 | 730,776 | ||||||
| China CITIC Bank Corp., Ltd., Class H (Banks) | 1,646,000 | 877,844 | ||||||
| China Construction Bank Corp., Class H (Banks) | 8,837,100 | 6,742,521 | ||||||
| China Everbright Bank Co., Ltd., Class H (Banks) | 1,000 | 426 | ||||||
| China Evergrande Group (Real Estate Management & Development) (a)(b) | 480,000 | 1,022,749 | ||||||
| China High Speed Transmission Equipment Group Co., Ltd. (Electrical Equipment) | 90,000 | 55,233 | ||||||
| China International Travel Service Corp., Ltd., Class A (Hotels, Restaurants & Leisure) | 39,868 | 519,741 | ||||||
| China Lesso Group Holdings, Ltd. (Building Products) | 440,000 | 416,551 | ||||||
| China Life Insurance Co., Ltd., Class H (Insurance) | 116,000 | 268,773 | ||||||
| China Lumena New Materials Corp. (Chemicals) (a)(d)(e)(f) | 260,000 | 0 | ||||||
| China Medical System Holdings, Ltd. (Pharmaceuticals) | 470,000 | 558,888 | ||||||
| China Merchants Bank Co., Ltd., Class H (Banks) | 500,000 | 2,379,525 | ||||||
| China Mobile, Ltd. (Wireless Telecommunication Services) | 345,000 | 2,854,568 | ||||||
| China Overseas Land & Investment, Ltd. (Real Estate Management & Development) | 690,000 | 2,170,088 | ||||||
| China Pacific Insurance Group Co., Ltd., Class H (Insurance) | 185,600 | 681,996 | ||||||
| China Petroleum & Chemical Corp., Class H (Oil, Gas & Consumable Fuels) | 642,000 | 381,709 | ||||||
| China Resources Power Holdings Co., Ltd. (Independent Power & Renewable Electricity Producers) | 752,000 | 912,451 | ||||||
| China State Construction International Holdings, Ltd. (Construction & Engineering) | 800,000 | 752,261 | ||||||
| China Telecom Corp., Ltd., Class H (Diversified Telecommunication Services) | 2,432,000 | 1,107,754 | ||||||
| China Tower Corp., Ltd., Class H (Diversified Telecommunication Services) (c) | 1,500,000 | 340,661 | ||||||
| China Vanke Co., Ltd., Class H (Real Estate Management & Development) | 108,800 | 378,968 | ||||||
| China Zhongwang Holdings, Ltd. (Metals & Mining) | 757,600 | 308,349 | ||||||
| CITIC Securities Co., Ltd., Class H (Capital Markets) | 413,000 | 773,548 | ||||||
| CITIC, Ltd. (Industrial Conglomerates) | 897,000 | 1,133,024 | ||||||
| CNOOC, Ltd. (Oil, Gas & Consumable Fuels) | 2,461,000 | 3,755,382 | ||||||
| Contemporary Amperex Technology Co., Ltd., Class A (Electrical Equipment) | 49,983 | 500,642 | ||||||
| COSCO Shipping Energy Transportation Co., Ltd., Class H (Oil, Gas & Consumable Fuels) | 548,000 | 242,617 | ||||||
| Country Garden Holdings Co., Ltd. (Real Estate Management & Development) | 262,000 | 331,942 | ||||||
| Country Garden Services Holdings Co., Ltd. (Commercial Services & Supplies) | 380,183 | 1,096,257 | ||||||
| ENN Energy Holdings, Ltd. (Gas Utilities) | 80,000 | 827,794 | ||||||
| Geely Automobile Holdings, Ltd. (Automobiles) | 340,000 | 576,955 | ||||||
| Great Wall Motor Co., Ltd., Class H (Automobiles) (b) | 626,500 | 419,654 | ||||||
| Haitong Securities Co., Ltd., Class H (Capital Markets) | 652,800 | 684,642 | ||||||
| Hangzhou Tigermed Consulting Co., Ltd., Class A (Life Sciences Tools & Services) | 84,919 | 738,152 | ||||||
| Huadian Power International Corp., Ltd., Class H (Independent Power & Renewable Electricity Producers) | 1,048,000 | 398,464 | ||||||
| Hundsun Technologies, Inc., Class A (Software) | 89,773 | 929,749 | ||||||
| Industrial & Commercial Bank of China, Ltd., Class H (Banks) | 5,099,000 | 3,415,511 | ||||||
| JD.com, Inc., ADR (Internet & Direct Marketing Retail) (a) | 69,394 | 1,957,605 | ||||||
| JinkoSolar Holding Co., Ltd., ADR (Semiconductors & Semiconductor Equipment) (a) | 25,700 | 409,915 | ||||||
| Jumei International Holding, Ltd., ADR (Internet & Direct Marketing Retail) (a)(b) | 77,300 | 163,876 | ||||||
| Kweichow Moutai Co., Ltd., Class A (Beverages) | 4,985 | 803,086 | ||||||
| Longfor Group Holdings, Ltd. (Real Estate Management & Development) (c) | 261,000 | 975,707 | ||||||
| Longi Green Energy Technology Co., Ltd., Class A (Semiconductors & Semiconductor Equipment) | 180,422 | 662,959 | ||||||
| Luxshare Precision Industry Co., Ltd., Class A (Electronic Equipment, Instruments & Components) | 199,930 | 749,485 | ||||||
| Luye Pharma Group, Ltd. (Pharmaceuticals) (b)(c) | 1,235,500 | 881,183 | ||||||
| Meituan Dianping, Class B (Internet & Direct Marketing Retail) (a) | 40,000 | 408,793 | ||||||
| Metallurgical Corp. of China, Ltd., Class H (Construction & Engineering) | 519,000 | 116,544 | ||||||
| Momo, Inc., Sponsored ADR (Interactive Media & Services) | 13,100 | 405,838 | ||||||
| NetEase, Inc., ADR (Entertainment) | 4,000 | 1,064,720 | ||||||
| PetroChina Co., Ltd., Class H (Oil, Gas & Consumable Fuels) | 1,130,000 | 581,025 | ||||||
| PICC Property & Casualty Co., Ltd., Class H (Insurance) | 788,000 | 919,938 | ||||||
| Pinduoduo, Inc., ADR (Internet & Direct Marketing Retail) (a) | 16,000 | 515,520 | ||||||
| Ping An Bank Co., Ltd., Class A (Banks) | 699,946 | 1,528,656 | ||||||
| Ping An Insurance Group Co. of China, Ltd., Class H (Insurance) | 710,000 | 8,157,432 | ||||||
| Prosus N.V. (Internet & Direct Marketing Retail) (a) | 14,000 | 1,027,714 | ||||||
| Qudian, Inc., Sponsored ADR (Consumer Finance) (a) | 19,300 | 132,977 | ||||||
| Sany Heavy Industry Co., Ltd., Class A (Machinery) | 509,906 | 1,020,041 | ||||||
| Shandong Gold Mining Co., Ltd., Class H (Metals & Mining) (c) | 220,000 | 545,109 | ||||||
| Sihuan Pharmaceutical Holdings Group, Ltd. (Pharmaceuticals) | 3,487,000 | 529,432 | ||||||
| Silergy Corp. (Semiconductors & Semiconductor Equipment) | 45,000 | 1,115,409 | ||||||
| Sinopec Engineering Group Co., Ltd., Class H (Construction & Engineering) | 950,000 | 596,348 | ||||||
| Sinotruk Hong Kong, Ltd. (Machinery) | 627,000 | 929,576 | ||||||
| Springland International Holdings, Ltd. (Food & Staples Retailing) | 390,000 | 76,381 | ||||||
| Sunac China Holdings, Ltd. (Real Estate Management & Development) | 130,000 | 522,475 | ||||||
| Sunny Optical Technology Group Co., Ltd. (Electronic Equipment, Instruments & Components) | 97,000 | 1,425,724 | ||||||
| TAL Education Group, ADR (Diversified Consumer Services) (a) | 26,000 | 890,240 | ||||||
| TCL Electronics Holdings, Ltd. (Household Durables) | 205,000 | 102,792 | ||||||
| Tencent Holdings, Ltd. (Interactive Media & Services) | 409,900 | 17,268,967 | ||||||
| Uni-President China Holdings, Ltd. (Food Products) | 251,000 | 270,929 | ||||||
| Vipshop Holdings, Ltd., ADR (Internet & Direct Marketing Retail) (a) | 62,800 | 560,176 | ||||||
| Want Want China Holdings, Ltd. (Food Products) | 600,000 | 479,988 | ||||||
| Weichai Power Co., Ltd., Class H (Machinery) | 655,000 | 944,346 | ||||||
| Weiqiao Textile Co., Ltd., Class H (Textiles, Apparel & Luxury Goods) | 248,000 | 65,182 | ||||||
| Wuxi Biologics Cayman, Inc. (Life Sciences Tools & Services) (a)(c) | 45,000 | 459,318 | ||||||
| Yanzhou Coal Mining Co., Ltd., Class H (Oil, Gas & Consumable Fuels) | 128,000 | 129,997 | ||||||
| Yihai International Holding, Ltd. (Food Products) (a) | 90,000 | 535,106 | ||||||
| Yonyou Network Technology Co., Ltd., Class A (Software) | 119,944 | 519,034 | ||||||
| Yuexiu Property Co., Ltd. (Real Estate Management & Development) | 934,000 | 202,585 | ||||||
| Yum China Holdings, Inc. (Hotels, Restaurants & Leisure) | 17,606 | 799,841 | ||||||
| 121,295,407 | ||||||||
| Colombia 0.7% | ||||||||
| Bancolombia S.A., Sponsored ADR (Banks) | 20,000 | 989,000 | ||||||
| Corp. Financiera Colombiana S.A. (Diversified Financial Services) (a) | 3,984 | 32,101 | ||||||
| Ecopetrol S.A., Sponsored ADR (Oil, Gas & Consumable Fuels) | 20,000 | 340,600 | ||||||
| Geopark, Ltd. (Oil, Gas & Consumable Fuels) (a) | 42,000 | 773,220 | ||||||
| Interconexion Electrica S.A. E.S.P. (Electric Utilities) | 115,365 | 604,672 | ||||||
| 2,739,593 | ||||||||
| Egypt 0.3% | ||||||||
| Commercial International Bank Egypt S.A.E., GDR (Banks) | 230,000 | 1,059,150 | ||||||
| Greece 0.1% | ||||||||
| FF Group (Textiles, Apparel & Luxury Goods) (a)(e)(f) | 19,000 | 49,702 | ||||||
| Motor Oil Hellas Corinth Refineries S.A. (Oil, Gas & Consumable Fuels) | 18,395 | 429,463 | ||||||
| 479,165 | ||||||||
| Hong Kong 0.5% | ||||||||
| Ajisen China Holdings, Ltd. (Hotels, Restaurants & Leisure) | 117,000 | 32,692 | ||||||
| China Metal Recycling Holdings, Ltd. (Metals & Mining) (a)(d)(e)(f) | 75,000 | 0 | ||||||
| China Resources Cement Holdings, Ltd. (Construction Materials) | 448,000 | 449,275 | ||||||
| CSPC Pharmaceutical Group, Ltd. (Pharmaceuticals) | 180,000 | 361,483 | ||||||
| SSY Group, Ltd. (Pharmaceuticals) | 1,200,000 | 949,258 | ||||||
| 1,792,708 | ||||||||
| Hungary 0.3% | ||||||||
| OTP Bank Nyrt. (Banks) | 24,798 | 1,032,435 | ||||||
| India 7.7% | ||||||||
| Adani Ports & Special Economic Zone, Ltd. (Transportation Infrastructure) | 200,000 | 1,171,178 | ||||||
| Asian Paints, Ltd. (Chemicals) | 9,279 | 230,964 | ||||||
| Aurobindo Pharma, Ltd. (Pharmaceuticals) | 5,276 | 43,783 | ||||||
| Axis Bank, Ltd. (Banks) | 119,735 | 1,156,991 | ||||||
| Bajaj Finance, Ltd. (Consumer Finance) | 41,344 | 2,362,079 | ||||||
| Bharti Infratel, Ltd. (Diversified Telecommunication Services) | 132,183 | 481,776 | ||||||
| Coal India, Ltd. (Oil, Gas & Consumable Fuels) | 199,081 | 561,408 | ||||||
| GAIL India, Ltd. (Gas Utilities) | 52,625 | 99,467 | ||||||
| Graphite India, Ltd. (Electrical Equipment) | 74,766 | 307,636 | ||||||
| HCL Technologies, Ltd. (IT Services) | 19,234 | 292,749 | ||||||
| Hindustan Petroleum Corp., Ltd. (Oil, Gas & Consumable Fuels) | 129,017 | 550,339 | ||||||
| Hindustan Unilever, Ltd. (Household Products) | 21,732 | 608,687 | ||||||
| Housing Development Finance Corp., Ltd. (Thrifts & Mortgage Finance) | 106,670 | 2,975,808 | ||||||
| ICICI Bank, Ltd. (Banks) | 12,284 | 75,192 | ||||||
| Indiabulls Housing Finance, Ltd. (Thrifts & Mortgage Finance) | 35,833 | 129,440 | ||||||
| Indian Oil Corp., Ltd. (Oil, Gas & Consumable Fuels) | 280,763 | 584,157 | ||||||
| Infosys, Ltd. (IT Services) | 318,074 | 3,609,418 | ||||||
| InterGlobe Aviation, Ltd. (Airlines) (c) | 3,062 | 81,360 | ||||||
| ITC, Ltd. (Tobacco) | 118,637 | 433,827 | ||||||
| LIC Housing Finance, Ltd. (Thrifts & Mortgage Finance) | 11,622 | 61,694 | ||||||
| Maruti Suzuki India, Ltd. (Automobiles) | 4,500 | 425,434 | ||||||
| NTPC, Ltd. (Independent Power & Renewable Electricity Producers) | 345,761 | 574,001 | ||||||
| Oil & Natural Gas Corp., Ltd. (Oil, Gas & Consumable Fuels) | 314,171 | 584,066 | ||||||
| Petronet LNG, Ltd. (Oil, Gas & Consumable Fuels) | 704,680 | 2,585,296 | ||||||
| Power Grid Corp. of India, Ltd. (Electric Utilities) | 218,378 | 614,747 | ||||||
| PVR, Ltd. (Entertainment) | 30,000 | 781,105 | ||||||
| REC, Ltd. (Diversified Financial Services) | 257,304 | 446,577 | ||||||
| Reliance Industries, Ltd. (Oil, Gas & Consumable Fuels) | 229,297 | 4,314,234 | ||||||
| Sonata Software, Ltd. (IT Services) | 9,126 | 42,405 | ||||||
| State Bank of India (Banks) (a) | 65,000 | 248,558 | ||||||
| Sun Pharmaceutical Industries, Ltd. (Pharmaceuticals) | 27,847 | 153,442 | ||||||
| Tata Consultancy Services, Ltd. (IT Services) | 29,834 | 882,785 | ||||||
| Titan Co., Ltd. (Textiles, Apparel & Luxury Goods) | 60,000 | 1,079,459 | ||||||
| United Spirits, Ltd. (Beverages) (a) | 9,676 | 90,973 | ||||||
| UPL, Ltd. (Chemicals) | 10,278 | 87,198 | ||||||
| Vedanta, Ltd. (Metals & Mining) | 471,765 | 1,024,494 | ||||||
| Zensar Technologies, Ltd. (Software) | 19,817 | 61,267 | ||||||
| 29,813,994 | ||||||||
| Indonesia 1.9% | ||||||||
| Bank Rakyat Indonesia Persero Tbk PT (Banks) | 10,600,000 | 3,076,576 | ||||||
| PT Bank Negara Indonesia Persero Tbk (Banks) | 716,400 | 370,943 | ||||||
| PT Bank Rakyat Indonesia Persero Tbk (Banks) | 2,949,900 | 856,188 | ||||||
| PT Gudang Garam Tbk (Tobacco) | 78,300 | 288,902 | ||||||
| PT Indofood Sukses Makmur Tbk (Food Products) | 2,443,800 | 1,325,626 | ||||||
| PT Matahari Department Store Tbk (Multiline Retail) | 535,200 | 129,323 | ||||||
| Telekomunikasi Indonesia Persero Tbk PT (Diversified Telecommunication Services) | 3,750,000 | 1,138,605 | ||||||
| 7,186,163 | ||||||||
| Malaysia 0.9% | ||||||||
| AMMB Holdings BHD (Banks) | 607,900 | 601,076 | ||||||
| Dialog Group BHD (Energy Equipment & Services) | 2,050,000 | 1,664,676 | ||||||
| IOI Properties Group BHD (Real Estate Management & Development) | 297,400 | 80,974 | ||||||
| Malaysian Pacific Industries BHD (Semiconductors & Semiconductor Equipment) | 29,700 | 64,834 | ||||||
| MISC BHD (Marine) | 102,500 | 190,948 | ||||||
| Telekom Malaysia BHD (Diversified Telecommunication Services) | 1,098,100 | 944,151 | ||||||
| 3,546,659 | ||||||||
| Mexico 2.1% | ||||||||
| Aleatica, S.A.B. de C.V. (Transportation Infrastructure) | 79,600 | 79,705 | ||||||
| America Movil S.A.B. de C.V., Series L (Wireless Telecommunication Services) | 2,215,500 | 1,645,851 | ||||||
| Credito Real S.A.B. de C.V. (Consumer Finance) (b) | 84,200 | 95,874 | ||||||
| Fibra Uno Administracion S.A. de C.V. (Equity Real Estate Investment Trusts) | 723,000 | 1,059,184 | ||||||
| Grupo Financiero Banorte S.A.B. de C.V., Class O (Banks) | 370,000 | 1,994,183 | ||||||
| Grupo Mexico S.A.B. de C.V., Series B (Metals & Mining) | 322,000 | 754,988 | ||||||
| Kimberly-Clark de Mexico S.A.B. de C.V., Class A (Household Products) (a) | 684,800 | 1,376,263 | ||||||
| Wal-Mart de Mexico S.A.B. de C.V. (Food & Staples Retailing) | 320,000 | 948,454 | ||||||
| 7,954,502 | ||||||||
| Peru 0.5% | ||||||||
| Credicorp, Ltd. (Banks) | 4,500 | 937,980 | ||||||
| Southern Copper Corp. (Metals & Mining) | 26,000 | 887,380 | ||||||
| 1,825,360 | ||||||||
| Philippines 1.6% | ||||||||
| Alliance Global Group, Inc. (Industrial Conglomerates) | 2,113,400 | 444,454 | ||||||
| Ayala Land, Inc. (Real Estate Management & Development) | 2,000,000 | 1,908,161 | ||||||
| Cebu Air, Inc. (Airlines) | 45,600 | 79,182 | ||||||
| First Gen Corp. (Independent Power & Renewable Electricity Producers) | 408,700 | 193,981 | ||||||
| Globe Telecom, Inc. (Wireless Telecommunication Services) | 23,266 | 821,470 | ||||||
| GT Capital Holdings, Inc. (Industrial Conglomerates) | 55,000 | 893,498 | ||||||
| International Container Terminal Services, Inc. (Transportation Infrastructure) | 80,440 | 186,860 | ||||||
| PLDT, Inc. (Wireless Telecommunication Services) | 27,240 | 594,939 | ||||||
| Universal Robina Corp. (Food Products) | 380,000 | 1,143,739 | ||||||
| 6,266,284 | ||||||||
| Poland 1.1% | ||||||||
| Asseco Poland S.A. (Software) | 33,065 | 420,929 | ||||||
| CD Projekt S.A. (Entertainment) | 24,000 | 1,456,722 | ||||||
| Cyfrowy Polsat S.A. (Media) | 47,403 | 312,308 | ||||||
| Dino Polska S.A. (Food & Staples Retailing) (a)(c) | 35,000 | 1,370,290 | ||||||
| Enea S.A. (Electric Utilities) (a) | 160,605 | 344,231 | ||||||
| PLAY Communications S.A. (Wireless Telecommunication Services) (c) | 78,879 | 540,927 | ||||||
| 4,445,407 | ||||||||
| Republic of Korea 12.3% | ||||||||
| AfreecaTV Co., Ltd. (Interactive Media & Services) | 1,048 | 56,249 | ||||||
| BH Co., Ltd. (Electronic Equipment, Instruments & Components) (a) | 19,428 | 310,224 | ||||||
| Celltrion, Inc. (Biotechnology) (a) | 1,539 | 211,007 | ||||||
| Daeduck Electronics Co. (Electronic Equipment, Instruments & Components) | 3,830 | 34,741 | ||||||
| Daelim Industrial Co., Ltd. (Construction & Engineering) | 11,699 | 1,017,177 | ||||||
| DB HiTek Co., Ltd. (Semiconductors & Semiconductor Equipment) | 38,473 | 514,624 | ||||||
| Dio Corp. (Health Care Equipment & Supplies) (a) | 5,063 | 169,098 | ||||||
| Dongwon Industries Co., Ltd. (Food Products) | 792 | 142,026 | ||||||
| Eugene Corp. (Construction Materials) | 31,002 | 125,962 | ||||||
| Hana Financial Group, Inc. (Banks) | 27,903 | 822,289 | ||||||
| Hanon Systems (Auto Components) | 45,000 | 451,448 | ||||||
| HDC Hyundai Development Co.-Engineering & Construction, Class E (Construction & Engineering) | 26,620 | 731,068 | ||||||
| Hyundai Glovis Co., Ltd. (Air Freight & Logistics) | 1,608 | 209,713 | ||||||
| Hyundai Mobis Co., Ltd. (Auto Components) | 6,388 | 1,345,798 | ||||||
| Hyundai Motor Co. (Automobiles) | 9,000 | 1,008,235 | ||||||
| Industrial Bank of Korea (Banks) | 56,530 | 623,832 | ||||||
| Kakao Corp. (Interactive Media & Services) | 17,044 | 1,930,746 | ||||||
| KB Financial Group, Inc. (Banks) | 31,175 | 1,112,881 | ||||||
| Kia Motors Corp. (Automobiles) | 75,947 | 2,895,275 | ||||||
| Koh Young Technology, Inc. (Semiconductors & Semiconductor Equipment) | 6,000 | 445,931 | ||||||
| Korea Investment Holdings Co., Ltd. (Capital Markets) | 47,355 | 2,981,091 | ||||||
| KT&G Corp. (Tobacco) | 3,872 | 341,509 | ||||||
| LG Household & Health Care, Ltd. (Personal Products) | 900 | 983,405 | ||||||
| Meritz Securities Co., Ltd. (Capital Markets) | 139,699 | 589,792 | ||||||
| NAVER Corp. (Interactive Media & Services) | 9,526 | 1,250,329 | ||||||
| NCSoft Corp. (Entertainment) | 2,800 | 1,219,580 | ||||||
| Partron Co., Ltd. (Electronic Equipment, Instruments & Components) | 51,724 | 553,499 | ||||||
| POSCO (Metals & Mining) | 7,917 | 1,502,453 | ||||||
| Posco International Corp. (Trading Companies & Distributors) | 46,993 | 750,379 | ||||||
| Samsung Electronics Co., Ltd. (Technology Hardware, Storage & Peripherals) | 361,290 | 14,815,261 | ||||||
| Samsung Engineering Co., Ltd. (Construction & Engineering) (a) | 105,000 | 1,474,731 | ||||||
| Samsung SDI Co., Ltd. (Electronic Equipment, Instruments & Components) | 7,400 | 1,379,593 | ||||||
| Shinhan Financial Group Co., Ltd. (Banks) | 15,687 | 548,189 | ||||||
| SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | 62,113 | 4,268,435 | ||||||
| SK Materials Co., Ltd. (Chemicals) | 3,500 | 487,188 | ||||||
| Soulbrain Co., Ltd. (Chemicals) | 2,585 | 157,760 | ||||||
| 47,461,518 | ||||||||
| Romania 0.0% ‡ | ||||||||
| NEPI Rockcastle PLC (Real Estate) | 4,351 | 38,135 | ||||||
| Russia 5.0% | ||||||||
| Gazprom PAO, Sponsored ADR (Oil, Gas & Consumable Fuels) | 302,492 | 2,087,195 | ||||||
| LUKOIL PJSC, Sponsored ADR (Oil, Gas & Consumable Fuels) | 12,371 | 1,023,453 | ||||||
| Magnit PJSC, GDR (Food & Staples Retailing) | 47,905 | 625,879 | ||||||
| Magnitogorsk Iron & Steel Works PJSC, Registered, Sponsored GDR (Metals & Mining) | 17,137 | 132,812 | ||||||
| MMC Norilsk Nickel PJSC (Metals & Mining) | 2,500 | 642,664 | ||||||
| MMC Norilsk Nickel PJSC, ADR(Metals & Mining) | 56,205 | 1,438,286 | ||||||
| Polymetal International PLC (Metals & Mining) | 115,000 | 1,611,939 | ||||||
| Polyus PJSC (Metals & Mining) | 11,000 | 1,271,390 | ||||||
| Qiwi PLC, Sponsored ADR (IT Services) | 25,000 | 548,750 | ||||||
| Sberbank of Russia PJSC, Sponsored ADR (Banks) | 149,811 | 2,118,702 | ||||||
| Severstal PJSC, Registered, GDR (Metals & Mining) | 36,175 | 519,111 | ||||||
| Surgutneftegas PJSC, Sponsored ADR (Oil, Gas & Consumable Fuels) | 159,912 | 855,529 | ||||||
| Tatneft PJSC (Oil, Gas & Consumable Fuels) | 120,000 | 1,278,730 | ||||||
| TCS Group Holding PLC (Banks) | 114,946 | 2,011,555 | ||||||
| X5 Retail Group N.V., GDR (Food & Staples Retailing) | 47,000 | 1,644,060 | ||||||
| Yandex N.V., Class A (Interactive Media & Services) (a) | 45,000 | 1,575,450 | ||||||
| 19,385,505 | ||||||||
| South Africa 4.7% | ||||||||
| Absa Group, Ltd. (Banks) | 61,664 | 622,422 | ||||||
| African Rainbow Minerals, Ltd. (Metals & Mining) | 4,819 | 44,782 | ||||||
| Anglo American Platinum, Ltd. (Metals & Mining) | 10,231 | 616,785 | ||||||
| AngloGold Ashanti, Ltd. (Metals & Mining) | 136,194 | 2,554,727 | ||||||
| Ascendis Health, Ltd. (Pharmaceuticals) (a) | 217,670 | 61,083 | ||||||
| Assore, Ltd. (Metals & Mining) | 4,864 | 81,916 | ||||||
| Capitec Bank Holdings, Ltd. (Banks) | 20,000 | 1,700,152 | ||||||
| DataTec, Ltd. (Electronic Equipment, Instruments & Components) | 86,405 | 190,496 | ||||||
| Exxaro Resources, Ltd. (Oil, Gas & Consumable Fuels) | 112,281 | 968,234 | ||||||
| Kumba Iron Ore, Ltd. (Metals & Mining) | 2,424 | 59,935 | ||||||
| Liberty Holdings, Ltd. (Insurance) | 65,011 | 482,485 | ||||||
| MTN Group, Ltd. (Wireless Telecommunication Services) | 138,150 | 878,431 | ||||||
| Naspers, Ltd. (Internet & Direct Marketing Retail) | 40,477 | 6,133,822 | ||||||
| Nedbank Group, Ltd. (Banks) | 12,796 | 191,640 | ||||||
| Old Mutual, Ltd. (Insurance) | 170,969 | 218,213 | ||||||
| Standard Bank Group, Ltd. (Banks) | 223,707 | 2,580,348 | ||||||
| Telkom S.A. SOC, Ltd. (Diversified Telecommunication Services) | 192,993 | 899,530 | ||||||
| 18,285,001 | ||||||||
| Spain 0.0% ‡ | ||||||||
| Banco Santander S.A. (Banks) (a) | 31,374 | 127,665 | ||||||
| Taiwan 11.0% | ||||||||
| Accton Technology Corp. (Communications Equipment) | 270,000 | 1,422,908 | ||||||
| Airtac International Group (Machinery) | 75,000 | 893,246 | ||||||
| Arcadyan Technology Corp. (Communications Equipment) | 177,000 | 523,164 | ||||||
| Asia Cement Corp. (Construction Materials) | 711,000 | 992,322 | ||||||
| ASPEED Technology, Inc. (Semiconductors & Semiconductor Equipment) | 35,000 | 890,103 | ||||||
| Center Laboratories, Inc. (Pharmaceuticals) | 272,687 | 523,849 | ||||||
| Chailease Holding Co., Ltd. (Diversified Financial Services) | 578,812 | 2,332,076 | ||||||
| Chicony Electronics Co., Ltd. (Technology Hardware, Storage & Peripherals) | 110,000 | 324,066 | ||||||
| CTBC Financial Holding Co., Ltd. (Banks) | 1,538,000 | 1,021,219 | ||||||
| Delta Electronics, Inc. (Electronic Equipment, Instruments & Components) | 30,000 | 128,125 | ||||||
| E.Sun Financial Holding Co., Ltd. (Banks) | 1,871,443 | 1,583,438 | ||||||
| Feng TAY Enterprise Co., Ltd. (Textiles, Apparel & Luxury Goods) | 27,700 | 198,657 | ||||||
| Formosa Plastics Corp. (Chemicals) | 200,000 | 609,196 | ||||||
| Formosa Taffeta Co., Ltd. (Textiles, Apparel & Luxury Goods) | 95,000 | 103,499 | ||||||
| Giant Manufacturing Co., Ltd. (Leisure Products) | 160,000 | 1,088,172 | ||||||
| Hon Hai Precision Industry Co., Ltd. (Electronic Equipment, Instruments & Components) | 265,892 | 627,352 | ||||||
| International Games System Co., Ltd. (Entertainment) | 36,000 | 451,385 | ||||||
| Largan Precision Co., Ltd. (Electronic Equipment, Instruments & Components) | 1,500 | 215,153 | ||||||
| MediaTek, Inc. (Semiconductors & Semiconductor Equipment) | 67,000 | 796,887 | ||||||
| Nanya Technology Corp. (Semiconductors & Semiconductor Equipment) | 223,000 | 578,623 | ||||||
| Novatek Microelectronics Corp. (Semiconductors & Semiconductor Equipment) | 58,000 | 332,769 | ||||||
| Phison Electronics Corp. (Semiconductors & Semiconductor Equipment) | 52,000 | 463,440 | ||||||
| Pou Chen Corp. (Textiles, Apparel & Luxury Goods) | 776,000 | 994,246 | ||||||
| Radiant Opto-Electronics Corp. (Semiconductors & Semiconductor Equipment) | 118,000 | 450,708 | ||||||
| Realtek Semiconductor Corp. (Semiconductors & Semiconductor Equipment) | 90,000 | 667,215 | ||||||
| Ruentex Industries, Ltd. (Textiles, Apparel & Luxury Goods) (a) | 327,600 | 706,424 | ||||||
| Sino-American Silicon Products, Inc. (Semiconductors & Semiconductor Equipment) | 173,000 | 458,367 | ||||||
| Taishin Financial Holding Co., Ltd. (Banks) | 372,000 | 166,069 | ||||||
| Taiwan Semiconductor Manufacturing Co., Ltd. (Semiconductors & Semiconductor Equipment) | 1,915,000 | 16,789,312 | ||||||
| Taiwan Surface Mounting Technology Co., Ltd. (Semiconductors & Semiconductor Equipment) | 160,000 | 379,055 | ||||||
| TCI Co., Ltd. (Personal Products) | 8,724 | 87,874 | ||||||
| Tripod Technology Corp. (Electronic Equipment, Instruments & Components) | 32,000 | 115,006 | ||||||
| Uni-President Enterprises Corp. (Food Products) | 490,000 | 1,181,389 | ||||||
| Unitech Printed Circuit Board Corp. (Electronic Equipment, Instruments & Components) | 475,000 | 541,225 | ||||||
| United Integrated Services Co., Ltd. (Construction & Engineering) | 52,000 | 275,718 | ||||||
| Walsin Technology Corp. (Electronic Equipment, Instruments & Components) | 115,000 | 646,827 | ||||||
| Wei Chuan Foods Corp. (Food Products) | 580,000 | 472,046 | ||||||
| Win Semiconductors Corp. (Semiconductors & Semiconductor Equipment) | 113,000 | 1,014,375 | ||||||
| Yuanta Financial Holding Co., Ltd. (Capital Markets) | 1,471,000 | 877,162 | ||||||
| Zhen Ding Technology Holding, Ltd. (Electronic Equipment, Instruments & Components) | 161,000 | 576,029 | ||||||
| 42,498,696 | ||||||||
| Thailand 3.6% | ||||||||
| Advanced Info Service PCL, NVDR (Wireless Telecommunication Services) | 396,000 | 2,848,455 | ||||||
| Airports of Thailand PCL, NVDR (Transportation Infrastructure) | 280,000 | 684,322 | ||||||
| Charoen Pokphand Foods PCL, NVDR (Food Products) | 1,165,000 | 999,877 | ||||||
| CP ALL PCL, NVDR (Food & Staples Retailing) | 660,000 | 1,753,310 | ||||||
| Energy Absolute PCL, NVDR (Independent Power & Renewable Electricity Producers) | 820,000 | 1,286,905 | ||||||
| JMT Network Services PCL, NVDR (Commercial Services & Supplies) | 254,200 | 147,941 | ||||||
| Krung Thai Bank PCL, NVDR (Banks) | 1,697,700 | 954,731 | ||||||
| Major Cineplex Group PCL, NVDR (Entertainment) | 176,200 | 137,688 | ||||||
| PTG Energy PCL, NVDR (Specialty Retail) | 932,800 | 573,374 | ||||||
| PTT Exploration & Production PCL, NVDR (Oil, Gas & Consumable Fuels) | 233,400 | 923,374 | ||||||
| PTT PCL, NVDR (Oil, Gas & Consumable Fuels) | 501,000 | 757,602 | ||||||
| Ratchaburi Group PCL, NVDR (Independent Power & Renewable Electricity Producers) | 408,600 | 955,204 | ||||||
| Srisawad Corp. PCL, NVDR (Consumer Finance) | 860,000 | 1,609,776 | ||||||
| Thai Union Group PCL, NVDR (Food Products) | 713,700 | 389,694 | ||||||
| Vinythai PCL, NVDR (Chemicals) | 42,800 | 34,425 | ||||||
| 14,056,678 | ||||||||
| Turkey 0.5% | ||||||||
| Turkiye Garanti Bankasi A/S (Banks) (a) | 1,000,000 | 1,808,040 | ||||||
| United Arab Emirates 0.2% | ||||||||
| NMC Health PLC (Health Care Providers & Services) (b) | 27,000 | 899,661 | ||||||
| Total Common Stocks (Cost $351,994,121) | 357,210,547 | |||||||
| Exchange-Traded Funds 2.0% | ||||||||
| United States 2.0% | ||||||||
| iShares MSCI Emerging Markets ETF (Capital Markets) | 29,525 | 1,206,687 | ||||||
| iShares MSCI Qatar ETF (Capital Markets) | 79,534 | 1,396,617 | ||||||
| iShares MSCI India ETF (Exchange-Traded Funds) | 49,703 | 1,668,529 | ||||||
| Xtrackers Harvest CSI 300 China A-Shares ETF (Capital Markets) (a)(b) | 53,745 | 1,455,952 | ||||||
| iShares MSCI Saudi Arabia ETF (Capital Markets) | 52,396 | 1,597,030 | ||||||
| iShares Core MSCI Emerging Markets ETF (Capital Markets) | 6,047 | 296,424 | ||||||
| Total Exchange-Traded Funds (Cost $8,000,181) | 7,621,239 | |||||||
| Preferred Stocks 4.3% | ||||||||
| Brazil 3.1% | ||||||||
| Banco Bradesco S.A. 3.04% (Banks) | 135,400 | 1,105,372 | ||||||
| Centrais Eletricas Brasileiras S.A. 3.47%, Class B (Electric Utilities) | 90,000 | 910,191 | ||||||
| Cia Energetica de Minas Gerais 4.31% (Electric Utilities) | 217,100 | 748,756 | ||||||
| Cia Paranaense de Energia 2.89%, Class B (Electric Utilities) | 44,100 | 526,553 | ||||||
| Itau Unibanco Holding S.A. 5.20% (Banks) | 355,795 | 2,999,675 | ||||||
| Petroleo Brasileiro S.A. 4.28% (Oil, Gas & Consumable Fuels) | 701,400 | 4,650,735 | ||||||
| Telefonica Brasil S.A. 6.98% (Diversified Telecommunication Services) | 69,600 | 920,306 | ||||||
| 11,861,588 | ||||||||
| Republic of Korea 1.2% | ||||||||
| Hyundai Motor Co. 5.06% (Automobiles) | 8,786 | 623,610 | ||||||
| Hyundai Motor Co. 5.53% (Automobiles) | 14,775 | 943,703 | ||||||
| LG Household & Health Care, Ltd. 1.25% (Personal Products) | 469 | 302,302 | ||||||
| Samsung Electronics Co., Ltd. 2.68% (Technology Hardware, Storage & Peripherals) | 90,721 | 2,995,845 | ||||||
| 4,865,460 | ||||||||
| Total Preferred Stocks (Cost $16,509,703) | 16,727,048 | |||||||
| Short-Term Investments 1.5% | ||||||||
| Affiliated Investment Company 0.9% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (g) | 3,405,723 | 3,405,723 | ||||||
| Unaffiliated Investment Company 0.6% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (g)(h) | 2,188,303 | 2,188,303 | ||||||
| Total Short-Term Investments (Cost $5,594,026) | 5,594,026 | |||||||
| Total Investments (Cost $382,098,031) | 100.1 | % | 387,152,860 | |||||
| Other Assets, Less Liabilities | (0.1 | ) | (244,440 | ) | ||||
| Net Assets | 100.0 | % | $ | 386,908,420 | ||||
| † | Percentages indicated are based on Portfolio net assets. | |
| ‡ | Less than one-tenth of a percent. | |
| (a) | Non-income producing security. | |
| (b) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $3,865,789; the total market value of collateral held by the Portfolio was $4,042,798. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $1,854,495. | |
| (c) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. | |
| (d) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. | |
| (e) | Fair valued security - Represents fair value as measured in good faith under procedures approved by the Board of Trustees. As of September 30, 2019, the total market value of fair valued securities was $49,702, which represented less than one-tenth of a percent of the Portfolio's net assets. | |
| (f) | Illiquid security - As of September 30, 2019, the total market value of these securities deemed illiquid under procedures approved by the Board of Trustees was $49,702, which represented less than one-tenth of a percent of the Portfolio's net assets. | |
| (g) | Current yield as of September 30, 2019. | |
| (h) | Represents security purchased with cash collateral received for securities on loan. |
Foreign Currency Forward Contracts
As of September 30, 2019, the Portfolio held the following foreign currency forward contracts1:
| Currency Purchased | Currency Sold | Counterparty | Settlement Date |
Unrealized Appreciation (Depreciation) | |||||||||||||
| CNY | 940,947 | USD | 132,085 | State Street Bank and Trust* | 10/8/19 | $ | (271 | ) | |||||||||
| * | Non-deliverable forward. |
| 1. | Foreign Currency Forward Contracts are subject to limitations such that they cannot be “sold or repurchased,” although the Portfolio would be able to exit the transaction through other means, such as through the execution of an offsetting transaction. |
The following abbreviations are used in the preceding pages:
| ADR | —American Depositary Receipt |
| CNY | —Chinese Yuan Renminbi |
| ETF | —Exchange-Traded Fund |
| GDR | —Global Depositary Receipt |
| NVDR | —Non-Voting Depositary Receipt |
| PCL | —Provision for Credit Losses |
| USD | —United States Dollar |
| The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets and liabilities: |
| Quoted Prices in Active Markets for Identical Assets | Significant Other Observable Inputs | Significant Unobservable Inputs | ||||||||||||||
| Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Common Stocks (b) | $ | 357,160,845 | $ | 49,702 | $ | 0 | $ | 357,210,547 | ||||||||
| Exchange-Traded Funds | 7,621,239 | — | — | 7,621,239 | ||||||||||||
| Preferred Stocks | 16,727,048 | — | — | 16,727,048 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 3,405,723 | — | — | 3,405,723 | ||||||||||||
| Unaffiliated Investment Company | 2,188,303 | — | — | 2,188,303 | ||||||||||||
| Total Short-Term Investments | 5,594,026 | — | — | 5,594,026 | ||||||||||||
| Total Investments in Securities | $ | 387,103,158 | $ | 49,702 | $ | 0 | $ | 387,152,860 | ||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Other Financial Instruments | ||||||||||||||||
| Foreign Currency Forward Contracts (c) | $ | — | $ | (271 | ) | $ | — | $ | (271 | ) |
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
| (b) | The Level 3 securities valued at $0 and $0 are held in China and Hong Kong, respectively, within the Common Stocks section of the Portfolio of Investments. |
| (c) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
| Investments in Securities | Balance as of December 31, 2018 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers in to Level 3 | Transfers out of Level 3 | Balance as of September 30, 2019 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of September 30, 2019 | ||||||||||||||||||||||||||||||
| Common Stocks | ||||||||||||||||||||||||||||||||||||||||
| China | $ | 0 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 0 | $ | - | ||||||||||||||||||||
| Hong Kong | 0 | - | - | - | - | - | - | - | 0 | - | ||||||||||||||||||||||||||||||
| Total | $ | 0 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 0 | $ | - | ||||||||||||||||||||
MainStay VP Epoch U.S. Equity Yield Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Common Stocks 97.5% † | ||||||||
| Aerospace & Defense 4.3% | ||||||||
| Boeing Co. | 19,231 | $ | 7,316,819 | |||||
| General Dynamics Corp. | 39,262 | 7,174,345 | ||||||
| Lockheed Martin Corp. | 33,474 | 13,056,868 | ||||||
| Raytheon Co. | 35,256 | 6,916,875 | ||||||
| United Technologies Corp. | 60,897 | 8,313,658 | ||||||
| 42,778,565 | ||||||||
| Air Freight & Logistics 0.6% | ||||||||
| United Parcel Service, Inc., Class B | 54,086 | 6,480,585 | ||||||
| Banks 4.5% | ||||||||
| BB&T Corp. | 237,978 | 12,700,886 | ||||||
| M&T Bank Corp. | 51,291 | 8,102,439 | ||||||
| People's United Financial, Inc. | 397,832 | 6,220,103 | ||||||
| U.S. Bancorp | 206,729 | 11,440,383 | ||||||
| Wells Fargo & Co. | 125,800 | 6,345,352 | ||||||
| 44,809,163 | ||||||||
| Beverages 3.7% | ||||||||
| Coca-Cola Co. | 197,514 | 10,752,662 | ||||||
| Coca-Cola European Partners PLC | 178,684 | 9,908,028 | ||||||
| Molson Coors Brewing Co., Class B | 96,553 | 5,551,798 | ||||||
| PepsiCo., Inc. | 78,925 | 10,820,617 | ||||||
| 37,033,105 | ||||||||
| Biotechnology 1.8% | ||||||||
| AbbVie, Inc. | 118,989 | 9,009,847 | ||||||
| Amgen, Inc. | 48,076 | 9,303,187 | ||||||
| 18,313,034 | ||||||||
| Capital Markets 2.5% | ||||||||
| BlackRock, Inc. | 23,638 | 10,534,039 | ||||||
| CME Group, Inc. | 67,736 | 14,315,326 | ||||||
| 24,849,365 | ||||||||
| Chemicals 2.3% | ||||||||
| Dow, Inc. | 143,829 | 6,853,452 | ||||||
| LyondellBasell Industries N.V., Class A | 84,134 | 7,527,469 | ||||||
| Nutrien, Ltd. | 184,786 | 9,217,125 | ||||||
| 23,598,046 | ||||||||
| Commercial Services & Supplies 2.2% | ||||||||
| Republic Services, Inc. | 124,445 | 10,770,715 | ||||||
| Waste Management, Inc. | 101,998 | 11,729,770 | ||||||
| 22,500,485 | ||||||||
| Communications Equipment 1.2% | ||||||||
| Cisco Systems, Inc. | 252,000 | 12,451,320 | ||||||
| Containers & Packaging 0.7% | ||||||||
| Amcor PLC | 671,868 | 6,550,713 | ||||||
| Distributors 0.5% | ||||||||
| Genuine Parts Co. | 52,083 | 5,186,946 | ||||||
| Diversified Telecommunication Services 4.1% | ||||||||
| AT&T, Inc. | 389,096 | 14,723,393 | ||||||
| BCE, Inc. | 175,641 | 8,502,781 | ||||||
| Verizon Communications, Inc. | 301,679 | 18,209,344 | ||||||
| 41,435,518 | ||||||||
| Electric Utilities 10.3% | ||||||||
| Alliant Energy Corp. | 118,188 | 6,373,879 | ||||||
| American Electric Power Co., Inc. | 121,689 | 11,401,042 | ||||||
| Duke Energy Corp. | 161,056 | 15,438,828 | ||||||
| Entergy Corp. | 159,889 | 18,764,573 | ||||||
| Evergy, Inc. | 129,005 | 8,586,573 | ||||||
| Eversource Energy | 108,693 | 9,289,991 | ||||||
| FirstEnergy Corp. | 327,005 | 15,771,451 | ||||||
| Pinnacle West Capital Corp. | 81,730 | 7,933,531 | ||||||
| PPL Corp. | 310,093 | 9,764,829 | ||||||
| 103,324,697 | ||||||||
| Electrical Equipment 2.6% | ||||||||
| Eaton Corp. PLC | 167,065 | 13,891,455 | ||||||
| Emerson Electric Co. | 177,883 | 11,893,257 | ||||||
| 25,784,712 | ||||||||
| Equity Real Estate Investment Trusts 3.2% | ||||||||
| Iron Mountain, Inc. | 295,269 | 9,563,763 | ||||||
| Public Storage | 25,598 | 6,278,421 | ||||||
| Welltower, Inc. | 183,911 | 16,671,532 | ||||||
| 32,513,716 | ||||||||
| Food & Staples Retailing 1.2% | ||||||||
| Walmart, Inc. | 104,967 | 12,457,484 | ||||||
| Health Care Equipment & Supplies 1.0% | ||||||||
| Medtronic PLC | 90,945 | 9,878,446 | ||||||
| Health Care Providers & Services 1.4% | ||||||||
| CVS Health Corp. | 97,355 | 6,140,180 | ||||||
| UnitedHealth Group, Inc. | 35,657 | 7,748,979 | ||||||
| 13,889,159 | ||||||||
| Hotels, Restaurants & Leisure 2.9% | ||||||||
| Brinker International, Inc. | 136,617 | 5,829,447 | ||||||
| Darden Restaurants, Inc. | 10,905 | 1,289,189 | ||||||
| Las Vegas Sands Corp. | 198,844 | 11,485,230 | ||||||
| McDonald's Corp. | 50,408 | 10,823,102 | ||||||
| 29,426,968 | ||||||||
| Household Durables 0.7% | ||||||||
| Leggett & Platt, Inc. | 159,453 | 6,528,006 | ||||||
| Household Products 3.2% | ||||||||
| Colgate-Palmolive Co. | 76,121 | 5,595,655 | ||||||
| Kimberly-Clark Corp. | 81,519 | 11,579,774 | ||||||
| Procter & Gamble Co. | 116,986 | 14,550,718 | ||||||
| 31,726,147 | ||||||||
| Industrial Conglomerates 2.0% | ||||||||
| 3M Co. | 53,285 | 8,760,054 | ||||||
| Honeywell International, Inc. | 64,102 | 10,846,058 | ||||||
| 19,606,112 | ||||||||
| Insurance 5.6% | ||||||||
| Allianz S.E., Sponsored ADR | 453,120 | 10,512,384 | ||||||
| Arthur J. Gallagher & Co. | 169,340 | 15,167,784 | ||||||
| Marsh & McLennan Cos., Inc. | 68,523 | 6,855,726 | ||||||
| MetLife, Inc. | 297,672 | 14,038,212 | ||||||
| Travelers Cos., Inc. | 64,979 | 9,661,727 | ||||||
| 56,235,833 | ||||||||
| IT Services 1.9% | ||||||||
| Automatic Data Processing, Inc. | 34,855 | 5,626,294 | ||||||
| International Business Machines Corp. | 47,275 | 6,874,730 | ||||||
| Paychex, Inc. | 76,006 | 6,291,017 | ||||||
| 18,792,041 | ||||||||
| Metals & Mining 0.6% | ||||||||
| Reliance Steel & Aluminum Co. | 62,499 | 6,228,650 | ||||||
| Multi-Utilities 5.5% | ||||||||
| Ameren Corp. | 155,409 | 12,440,490 | ||||||
| CenterPoint Energy, Inc. | 207,530 | 6,263,255 | ||||||
| CMS Energy Corp. | 115,269 | 7,371,452 | ||||||
| Dominion Energy, Inc. | 137,418 | 11,136,355 | ||||||
| NiSource, Inc. | 195,110 | 5,837,691 | ||||||
| WEC Energy Group, Inc. | 129,856 | 12,349,306 | ||||||
| 55,398,549 | ||||||||
| Multiline Retail 1.2% | ||||||||
| Target Corp. | 112,631 | 12,041,380 | ||||||
| Oil, Gas & Consumable Fuels 7.5% | ||||||||
| Chevron Corp. | 95,752 | 11,356,187 | ||||||
| Enterprise Products Partners, L.P. | 382,001 | 10,917,589 | ||||||
| Exxon Mobil Corp. | 204,522 | 14,441,298 | ||||||
| Magellan Midstream Partners, L.P. | 129,406 | 8,575,736 | ||||||
| Occidental Petroleum Corp. | 126,601 | 5,629,946 | ||||||
| Phillips 66 | 95,352 | 9,764,045 | ||||||
| Royal Dutch Shell PLC, Class A, Sponsored ADR | 257,002 | 15,124,568 | ||||||
| 75,809,369 | ||||||||
| Pharmaceuticals 4.7% | ||||||||
| Johnson & Johnson | 111,778 | 14,461,837 | ||||||
| Merck & Co., Inc. | 208,732 | 17,571,060 | ||||||
| Pfizer, Inc. | 434,805 | 15,622,544 | ||||||
| 47,655,441 | ||||||||
| Semiconductors & Semiconductor Equipment 5.9% | ||||||||
| Analog Devices, Inc. | 88,608 | 9,900,172 | ||||||
| Broadcom, Inc. | 17,227 | 4,755,858 | ||||||
| Intel Corp. | 138,268 | 7,124,950 | ||||||
| KLA Corp. | 40,464 | 6,451,985 | ||||||
| Maxim Integrated Products, Inc. | 116,585 | 6,751,437 | ||||||
| Microchip Technology, Inc. | 64,102 | 5,955,717 | ||||||
| Texas Instruments, Inc. | 144,229 | 18,640,156 | ||||||
| 59,580,275 | ||||||||
| Software 1.5% | ||||||||
| Microsoft Corp. | 109,374 | 15,206,267 | ||||||
| Specialty Retail 1.0% | ||||||||
| Home Depot, Inc. | 44,471 | 10,318,161 | ||||||
| Technology Hardware, Storage & Peripherals 0.9% | ||||||||
| Apple, Inc. | 38,593 | 8,643,674 | ||||||
| Textiles, Apparel & Luxury Goods 0.8% | ||||||||
| Hanesbrands, Inc. | 500,727 | 7,671,138 | ||||||
| Tobacco 2.9% | ||||||||
| Altria Group, Inc. | 239,981 | 9,815,223 | ||||||
| British American Tobacco PLC, Sponsored ADR | 239,581 | 8,840,539 | ||||||
| Philip Morris International, Inc. | 137,418 | 10,434,149 | ||||||
| 29,089,911 | ||||||||
| Trading Companies & Distributors 0.6% | ||||||||
| Watsco, Inc. | 37,259 | 6,303,478 | ||||||
| Total Common Stocks (Cost $856,068,124) | 980,096,459 | |||||||
| Short-Term Investment 2.3% | ||||||||
| Affiliated Investment Company 2.3% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (a) | 22,942,685 | 22,942,685 | ||||||
| Total Short-Term Investment (Cost $22,942,685) | 22,942,685 | |||||||
| Total Investments (Cost $879,010,809) | 99.8 | % | 1,003,039,144 | |||||
| Other Assets, Less Liabilities | 0.2 | 2,272,550 | ||||||
| Net Assets | 100.0 | % | $ | 1,005,311,694 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| (a) | Current yield as of September 30, 2019. |
| The following abbreviation is used in the preceding pages: | |
| ADR | —American Depositary Receipt |
The following is a summary of the fair valuations according
to the inputs used as of September 30, 2019, for valuing the Portfolio's assets:
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | |||||||||||
Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Common Stocks | $ | 980,096,459 | $ | — | $ | — | $ | 980,096,459 | ||||||||
| Short-Term Investment | ||||||||||||||||
| Affiliated Investment Company | 22,942,685 | — | — | 22,942,685 | ||||||||||||
| Total Investments in Securities | $ | 1,003,039,144 | $ | — | $ | — | $ | 1,003,039,144 | ||||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP Fidelity Institutional AM® Utilities Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Common Stocks 99.8% † | ||||||||
| Electric Utilities 51.9% | ||||||||
| American Electric Power Co., Inc. | 380,000 | $ | 35,602,200 | |||||
| Avangrid, Inc. | 432,467 | 22,596,401 | ||||||
| Duke Energy Corp. | 590,300 | 56,586,158 | ||||||
| Edison International | 1,147,287 | 86,528,385 | ||||||
| Entergy Corp. | 529,844 | 62,182,492 | ||||||
| Evergy, Inc. | 345,343 | 22,986,030 | ||||||
| Exelon Corp. | 2,347,386 | 113,402,218 | ||||||
| FirstEnergy Corp. | 1,274,418 | 61,465,180 | ||||||
| NextEra Energy, Inc. | 267,733 | 62,379,112 | ||||||
| PPL Corp. | 692,195 | 21,797,220 | ||||||
| Southern Co. | 1,712,700 | 105,793,479 | ||||||
| 651,318,875 | ||||||||
| Gas Utilities 6.1% | ||||||||
| Atmos Energy Corp. | 351,000 | 39,975,390 | ||||||
| Southwest Gas Holdings, Inc. | 202,700 | 18,453,808 | ||||||
| UGI Corp. | 359,571 | 18,075,634 | ||||||
| 76,504,832 | ||||||||
| Independent Power & Renewable Electricity Producers 11.0% | ||||||||
| AES Corp. | 1,410,850 | 23,053,289 | ||||||
| Atlantica Yield PLC (Spain) | 155,880 | 3,755,149 | ||||||
| Clearway Energy, Inc., Class C | 119,345 | 2,178,046 | ||||||
| NextEra Energy Partners, L.P. | 452,817 | 23,926,851 | ||||||
| NRG Energy, Inc. | 807,046 | 31,959,022 | ||||||
| Vistra Energy Corp. | 2,009,792 | 53,721,740 | ||||||
| 138,594,097 | ||||||||
| Multi-Utilities 29.7% | ||||||||
| CenterPoint Energy, Inc. | 2,018,948 | 60,931,850 | ||||||
| CMS Energy Corp. | 96,900 | 6,196,755 | ||||||
| Dominion Energy, Inc. | 1,705,975 | 138,252,214 | ||||||
| Public Service Enterprise Group, Inc. | 987,784 | 61,321,631 | ||||||
| Sempra Energy | 691,082 | 102,010,614 | ||||||
| WEC Energy Group, Inc. | 46,377 | 4,410,453 | ||||||
| 373,123,517 | ||||||||
| Oil, Gas & Consumable Fuels 0.6% | ||||||||
| Cheniere Energy, Inc. (a) | 109,053 | 6,876,882 | ||||||
| Water Utilities 0.5% | ||||||||
| SJW Corp. | 97,864 | 6,683,133 | ||||||
| Total Common Stocks (Cost $1,024,828,592) | 1,253,101,336 | |||||||
| Short-Term Investment 0.2% | ||||||||
| Affiliated Investment Company 0.2% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (b) | 2,658,558 | 2,658,558 | ||||||
| Total Short-Term Investment (Cost $2,658,558) | 2,658,558 | |||||||
| Total Investments (Cost $1,027,487,150) | 100.0 | % | 1,255,759,894 | |||||
| Other Assets, Less Liabilities | 0.0 | ‡ | 82,062 | |||||
| Net Assets | 100.0 | % | $ | 1,255,841,956 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | Non-income producing security. |
| (b) | Current yield as of September 30, 2019. |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets:
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Common Stocks | $ | 1,253,101,336 | $ | — | $ | — | $ | 1,253,101,336 | ||||||||
| Short-Term Investment | ||||||||||||||||
| Affiliated Investment Company | 2,658,558 | — | — | 2,658,558 | ||||||||||||
| Total Investments in Securities | $ | 1,255,759,894 | $ | — | $ | — | $ | 1,255,759,894 | ||||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP Floating Rate Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Principal Amount |
Value | ||||||
| Long-Term Bonds 97.2% † | |||||||
| Corporate Bonds 4.2% | |||||||
| Auto Parts & Equipment 0.2% | |||||||
| Cooper-Standard Automotive, Inc. 5.625%, due 11/15/26 (a) |
$ | 400,000 | $ | 364,500 | |||
| Delphi Technologies PLC 5.00%, due 10/1/25 (a) |
800,000 | 708,000 | |||||
| Goodyear Tire & Rubber Co. 4.875%, due 3/15/27 (b) |
750,000 | 739,575 | |||||
| 1,812,075 | |||||||
| Building Materials 0.1% | |||||||
| Jeld-Wen, Inc. (a) | |||||||
| 4.625%, due 12/15/25 | 250,000 | 250,945 | |||||
| 4.875%, due 12/15/27 | 330,000 | 326,700 | |||||
| 577,645 | |||||||
| Chemicals 0.2% | |||||||
| Element Solutions, Inc. 5.875%, due 12/1/25 (a) |
1,200,000 | 1,253,877 | |||||
| Starfruit Finco B.V. / Starfruit U.S. Holdco LLC 8.00%, due 10/1/26 (a)(b) |
500,000 | 500,625 | |||||
| 1,754,502 | |||||||
| Chemicals, Plastics & Rubber 0.2% | |||||||
| Alpha 3 B.V. / Alpha U.S. Bidco, Inc. 6.25%, due 2/1/25 (a) |
400,000 | 402,000 | |||||
| Versum Materials, Inc. 5.50%, due 9/30/24 (a) |
1,050,000 | 1,118,250 | |||||
| 1,520,250 | |||||||
| Commercial Services 0.2% | |||||||
| Herc Holdings, Inc. 5.50%, due 7/15/27 (a) |
850,000 | 884,000 | |||||
| Refinitiv U.S. Holdings, Inc. 8.25%, due 11/15/26 (a) |
500,000 | 551,875 | |||||
| 1,435,875 | |||||||
| Distribution & Wholesale 0.1% | |||||||
| IAA, Inc. 5.50%, due 6/15/27 (a) |
500,000 | 527,500 | |||||
| KAR Auction Services, Inc. 5.125%, due 6/1/25 (a) |
350,000 | 362,250 | |||||
| 889,750 | |||||||
| Electric 0.9% | |||||||
| Clearway Energy Operating LLC | |||||||
| 5.75%, due 10/15/25 | 1,630,000 | 1,617,438 | |||||
| 5.75%, due 10/15/25 (a) | 1,630,000 | 1,715,575 | |||||
| NRG Energy, Inc. 7.25%, due 5/15/26 |
1,300,000 | 1,423,825 | |||||
| Vistra Energy Corp. 8.125%, due 1/30/26 (a) |
1,250,000 | 1,340,625 | |||||
| Vistra Operations Co. LLC 5.00%, due 7/31/27 (a) |
1,500,000 | 1,544,520 | |||||
| 7,641,983 | |||||||
| Environmental Controls 0.2% | |||||||
| Advanced Disposal Services, Inc. 5.625%, due 11/15/24 (a) |
800,000 | 835,000 | |||||
| GFL Environmental, Inc. 8.50%, due 5/1/27 (a) |
380,000 | 421,325 | |||||
| 1,256,325 | |||||||
| Food 0.3% | |||||||
| B&G Foods, Inc. 5.25%, due 9/15/27 |
2,500,000 | 2,556,500 | |||||
| Post Holdings, Inc. 5.50%, due 12/15/29 (a) |
240,000 | 250,200 | |||||
| 2,806,700 | |||||||
| Health Care - Services 0.0% ‡ | |||||||
| MPH Acquisition Holdings LLC 7.125%, due 6/1/24 (a) |
90,000 | 82,913 | |||||
| Household Products & Wares 0.0% ‡ | |||||||
| Prestige Brands, Inc. 6.375%, due 3/1/24 (a) |
300,000 | 312,000 | |||||
| Housewares 0.0% ‡ | |||||||
| Scotts Miracle-Gro Co. 5.25%, due 12/15/26 |
200,000 | 210,000 | |||||
| Insurance 0.2% | |||||||
| Acrisure, LLC / Acrisure Finance, Inc. 7.00%, due 11/15/25 (a) |
970,000 | 904,331 | |||||
| GTCR AP Finance, Inc. 8.00%, due 5/15/27 (a) |
900,000 | 924,750 | |||||
| 1,829,081 | |||||||
| Machinery - Diversified 0.0% ‡ | |||||||
| RBS Global, Inc. / Rexnord LLC 4.875%, due 12/15/25 (a) |
300,000 | 308,220 | |||||
| Media 0.1% | |||||||
| E.W. Scripps Co. 5.125%, due 5/15/25 (a) |
500,000 | 501,250 | |||||
| iHeartCommunications, Inc. | |||||||
| 6.375%, due 5/1/26 (b) | 105,206 | 113,622 | |||||
| 8.375%, due 5/1/27 | 190,685 | 205,997 | |||||
| 820,869 | |||||||
| Miscellaneous - Manufacturing 0.1% | |||||||
| Koppers, Inc. 6.00%, due 2/15/25 (a) |
500,000 | 500,315 | |||||
| Oil & Gas 0.0% ‡ | |||||||
| EP Energy LLC / Everest Acquistion Finance, Inc. 8.00%, due 2/15/25 (a) |
200,000 | 5,000 | |||||
| Oil & Gas Services 0.0% ‡ | |||||||
| USA Compression Partners, L.P. / USA Compression Finance Corp. 6.875%, due 4/1/26 |
360,000 | 373,500 | |||||
| Packaging & Containers 0.1% | |||||||
| ARD Finance S.A. 7.125% (7.875% PIK), due 9/15/23 (c) |
670,000 | 690,100 | |||||
| Plastipak Holdings, Inc. 6.25%, due 10/15/25 (a)(b) |
220,000 | 181,500 | |||||
| 871,600 | |||||||
| Pharmaceuticals 0.2% | |||||||
| Bausch Health Cos., Inc. (a) | |||||||
| 5.50%, due 11/1/25 | 300,000 | 313,905 | |||||
| 6.50%, due 3/15/22 | 1,000,000 | 1,033,750 | |||||
| 1,347,655 | |||||||
| Pipelines 0.1% | |||||||
| Energy Transfer Operating, L.P. 4.25%, due 3/15/23 |
600,000 | 626,858 | |||||
| Real Estate 0.1% | |||||||
| Realogy Group LLC / Realogy Co-Issuer Corp. 4.875%, due 6/1/23 (a)(b) |
900,000 | 841,500 | |||||
| Real Estate Investment Trusts 0.0% ‡ | |||||||
| Ryman Hospitality Properties, Inc. 4.75%, due 10/15/27 (a) |
300,000 | 308,637 | |||||
| Retail 0.0% ‡ | |||||||
| PetSmart, Inc. 5.875%, due 6/1/25 (a) |
167,000 | 166,582 | |||||
| Telecommunications 0.7% | |||||||
| CommScope, Inc. 5.50%, due 3/1/24 (a) |
1,500,000 | 1,543,125 | |||||
| Connect Finco SARL / Connect U.S. Finco LLC 6.75%, due 10/1/26 (a) |
2,000,000 | 2,037,500 | |||||
| ON Semiconductor Corp. 2019 Term Loan B (zero coupon), due 9/19/26 |
2,500,000 | 2,509,027 | |||||
| 6,089,652 | |||||||
| Trucking & Leasing 0.2% | |||||||
| DAE Funding LLC 5.25%, due 11/15/21 (a) |
1,700,000 | 1,768,000 | |||||
| Total Corporate Bonds (Cost $35,525,662) |
36,157,487 | ||||||
| Floating Rate Loans 81.5% (d) | |||||||
| Aerospace & Defense 0.7% | |||||||
| Dynasty Acquisition Co., Inc. 2019 Term Loan B1 6.104% (3 Month LIBOR + 4.00%), due 4/6/26 |
578,089 | 580,618 | |||||
| Science Applications International Corp. 2018 Term Loan B 3.794% (1 Month LIBOR + 1.75%), due 10/31/25 |
893,250 | 892,831 | |||||
| TransDigm, Inc. | |||||||
| 2018 Term Loan F 4.544% (1 Month LIBOR + 2.50%), due 6/9/23 |
3,650,203 | 3,639,938 | |||||
| 2018 Term Loan E 4.544% (3 Month LIBOR + 2.50%), due 5/30/25 |
985,000 | 980,382 | |||||
| 6,093,769 | |||||||
| Automobile 2.3% | |||||||
| American Axle and Manufacturing, Inc. | |||||||
| Term Loan B 4.27% (1 Month LIBOR + 2.25%), due 4/6/24 |
1,596,562 | 1,560,925 | |||||
| Term Loan B 4.53% (3 Month LIBOR + 2.25%), due 4/6/24 |
396,945 | 388,085 | |||||
| AP Exhaust Acquisition LLC 1st Lien Term Loan 7.175% (3 Month LIBOR + 5.00%), due 5/10/24 |
720,380 | 540,285 | |||||
| Belron Finance U.S. LLC | |||||||
| 2018 Term Loan B 4.426% (3 Month LIBOR + 2.25%), due 11/13/25 |
992,500 | 996,222 | |||||
| Term Loan B 4.459% (3 Month LIBOR + 2.25%), due 11/7/24 |
982,500 | 984,956 | |||||
| Chassix, Inc. | |||||||
| 2017 1st Lien Term Loan 7.69% (3 Month LIBOR + 5.50%), due 11/15/23 |
720,417 | 686,197 | |||||
| 2017 1st Lien Term Loan 8.06% (6 Month LIBOR + 5.50%), due 11/15/23 |
753,333 | 717,550 | |||||
| IAA, Inc. Term Loan B 4.313% (1 Month LIBOR + 2.25%), due 6/28/26 |
2,462,500 | 2,477,891 | |||||
| KAR Auction Services, Inc. 2019 Term Loan B6 4.313% (1 Month LIBOR + 2.25%), due 9/19/26 |
1,750,000 | 1,758,750 | |||||
| L&W, Inc. 2018 Term Loan B 6.044% (1 Month LIBOR + 4.00%), due 5/22/25 (e) |
1,784,962 | 1,722,489 | |||||
| Mavis Tire Express Services Corp. | |||||||
| 2018 Delayed Draw Term Loan 3.516% (1 Month LIBOR + 3.00%), due 3/20/25 |
40,721 | 39,703 | |||||
| 2018 1st Lien Term Loan 5.294% (1 Month LIBOR + 3.25%), due 3/20/25 |
1,406,107 | 1,370,954 | |||||
| Tenneco, Inc. 2018 Term Loan B 5.044% (1 Month LIBOR + 3.00%), due 10/1/25 |
1,836,125 | 1,721,367 | |||||
| Truck Hero, Inc. 1st Lien Term Loan 5.794% (1 Month LIBOR + 3.75%), due 4/21/24 |
2,231,958 | 2,086,881 | |||||
| Wand NewCo 3, Inc. 2019 1st Lien Term Loan 5.542% (1 Month LIBOR + 3.50%), due 2/5/26 |
2,194,500 | 2,204,101 | |||||
| 19,256,356 | |||||||
| Banking 2.2% | |||||||
| Apollo Commercial Real Estate Finance, Inc. Term Loan B 4.778% (1 Month LIBOR + 2.75%), due 5/15/26 |
1,496,250 | 1,490,639 | |||||
| Broadstreet Partners, Inc. 2018 Term Loan B 5.294% (1 Month LIBOR + 3.25%), due 11/8/23 |
2,566,953 | 2,567,754 | |||||
| Brookfield Property REIT, Inc. 1st Lien Term Loan B 4.544% (1 Month LIBOR + 2.50%), due 8/27/25 |
4,455,000 | 4,384,197 | |||||
| Capital Automotive L.P. 2017 2nd Lien Term Loan 8.044% (1 Month LIBOR + 6.00%), due 3/24/25 |
2,173,370 | 2,176,086 | |||||
| Edelman Financial Center LLC 2018 1st Lien Term Loan 5.307% (1 Month LIBOR + 3.25%), due 7/21/25 |
1,687,250 | 1,688,757 | |||||
| Forest City Enterprises, L.P. Term Loan B 6.044% (1 Month LIBOR + 4.00%), due 12/7/25 |
2,582,987 | 2,592,674 | |||||
| Greenhill & Co., Inc. Term Loan B 5.278% (1 Month LIBOR + 3.25%), due 4/12/24 |
748,946 | 740,521 | |||||
| Jane Street Group LLC 2018 Term Loan B 5.044% (1 Month LIBOR + 3.00%), due 8/25/22 |
1,875,678 | 1,870,988 | |||||
| Russell Investments U.S. Inst’l Holdco, Inc. Term Loan B 5.294% (1 Month LIBOR + 3.25%), due 6/1/23 |
974,811 | 961,711 | |||||
| Trans Union LLC 2018 Term Loan B4 4.044% (1 Month LIBOR + 2.00%), due 6/19/25 |
444,375 | 445,671 | |||||
| 18,918,998 | |||||||
| Beverage, Food & Tobacco 2.9% | |||||||
| 8th Avenue Food & Provisions, Inc. 2018 1st Lien Term Loan 5.792% (1 Month LIBOR + 3.75%), due 10/1/25 |
1,588,000 | 1,591,308 | |||||
| Acosta Holdco, Inc. 2015 Term Loan 7.25% (PRIME + 2.25%), due 9/26/21 |
2,142,052 | 665,107 | |||||
| Advantage Sales & Marketing, Inc. | |||||||
| 2014 1st Lien Term Loan 5.294% (1 Month LIBOR + 3.25%), due 7/23/21 |
1,802,652 | 1,680,221 | |||||
| Term Loan B2 5.294% (1 Month LIBOR + 3.25%), due 7/25/21 |
977,500 | 911,111 | |||||
| 2014 2nd Lien Term Loan 8.544% (1 Month LIBOR + 6.50%), due 7/25/22 |
625,000 | 538,672 | |||||
| Albertsons, LLC 2019 Term Loan B8 4.794% (1 Month LIBOR + 2.75%), due 8/17/26 |
3,143,262 | 3,160,943 | |||||
| American Seafoods Group LLC 2017 1st Lien Term Loan 4.86% (1 Month LIBOR + 2.75%), due 8/21/23 |
1,203,020 | 1,204,524 | |||||
| Arctic Glacier U.S.A., Inc. 2018 Term Loan B 5.544% (1 Month LIBOR + 3.50%), due 3/20/24 |
1,441,684 | 1,394,829 | |||||
| ASP MSG Acquisition Co., Inc. 2017 Term Loan B 6.044% (1 Month LIBOR + 4.00%), due 8/16/23 |
1,608,174 | 1,543,847 | |||||
| B&G Foods, Inc. 2019 Term Loan B TBD, due 9/17/26 |
1,000,000 | 1,003,750 | |||||
| CH Guenther & Son, Inc. 2018 Term Loan B 4.794% (1 Month LIBOR + 2.75%), due 3/31/25 |
1,728,125 | 1,723,805 | |||||
| Chobani LLC 2017 Term Loan B 5.544% (1 Month LIBOR + 3.50%), due 10/10/23 |
974,986 | 964,424 | |||||
| Hearthside Food Solutions LLC 2018 Term Loan B 5.731% (1 Month LIBOR + 3.687%), due 5/23/25 |
1,282,513 | 1,199,149 | |||||
| Post Holdings, Inc. 2017 Series A Incremental Term Loan 4.04% (1 Month LIBOR + 2.00%), due 5/24/24 |
595,227 | 596,343 | |||||
| U.S. Foods, Inc. | |||||||
| 2016 Term Loan B 4.044% (1 Month LIBOR + 2.00%), due 6/27/23 |
2,415,029 | 2,421,569 | |||||
| 2019 Term Loan B 4.05% (1 Month LIBOR + 2.00%), due 9/13/26 |
2,000,000 | 2,005,938 | |||||
| United Natural Foods, Inc. Term Loan B 6.294% (1 Month LIBOR + 4.25%), due 10/22/25 |
2,985,000 | 2,485,012 | |||||
| 25,090,552 | |||||||
| Broadcasting & Entertainment 3.5% | |||||||
| CBS Radio, Inc. 2017 Term Loan B 4.804% (1 Month LIBOR + 2.75%), due 11/18/24 |
1,020,515 | 1,020,005 | |||||
| Charter Communications Operating LLC 2017 Term Loan B 4.05% (1 Month LIBOR + 2.00%), due 4/30/25 |
4,912,500 | 4,938,738 | |||||
| Clear Channel Outdoor Holdings, Inc. Term Loan B 5.544% (1 Month LIBOR + 3.50%), due 8/21/26 |
2,750,000 | 2,756,875 | |||||
| Diamond Sports Group LLC Term Loan 5.30% (1 Month LIBOR + 3.25%), due 8/24/26 |
6,000,000 | 6,026,250 | |||||
| Global Eagle Entertainment, Inc. 1st Lien Term Loan 9.709% (6 Month LIBOR + 7.50%), due 1/6/23 |
841,500 | 772,777 | |||||
| Gray Television, Inc. 2018 Term Loan C 4.832% (3 Month LIBOR + 2.50%), due 1/2/26 |
2,927,875 | 2,937,285 | |||||
| iHeartCommunications, Inc. Exit Term Loan 6.10% (1 Month LIBOR + 4.00%), due 5/1/26 |
362,903 | 365,095 | |||||
| Nielsen Finance LLC Term Loan B4 4.042% (1 Month LIBOR + 2.00%), due 10/4/23 |
1,214,152 | 1,213,285 | |||||
| Univision Communications, Inc. Term Loan C5 4.794% (1 Month LIBOR + 2.75%), due 3/15/24 |
4,119,592 | 3,998,945 | |||||
| Virgin Media Bristol LLC Term Loan K 4.528% (1 Month LIBOR + 2.50%), due 1/15/26 |
4,047,619 | 4,045,721 | |||||
| WideOpenWest Finance LLC 2017 Term Loan B 5.294% (3 Month LIBOR + 3.25%), due 8/18/23 |
1,945,300 | 1,878,835 | |||||
| 29,953,811 | |||||||
| Buildings & Real Estate 3.1% | |||||||
| American Bath Group LLC 2018 Term Loan B 6.294% (1 Month LIBOR + 4.25%), due 9/30/23 |
1,987,393 | 1,967,519 | |||||
| Core & Main L.P. | |||||||
| 2017 Term Loan B 4.85% (1 Month LIBOR + 2.75%), due 8/1/24 |
1,882,170 | 1,866,877 | |||||
| 2017 Term Loan B 4.88% (3 Month LIBOR + 2.75%), due 8/1/24 |
1,205,567 | 1,195,771 | |||||
| DTZ U.S. Borrower LLC 2018 Add On Term Loan B 5.294% (1 Month LIBOR + 3.25%), due 8/21/25 |
2,970,000 | 2,974,455 | |||||
| Jeld-Wen, Inc. 2017 1st Lien Term Loan 4.104% (3 Month LIBOR + 2.00%), due 12/14/24 |
767,578 | 766,939 | |||||
| NCI Building Systems, Inc. 2018 Term Loan 5.789% (1 Month LIBOR + 3.75%), due 4/12/25 |
2,568,985 | 2,507,972 | |||||
| Priso Acquisition Corp. 2017 Term Loan B 5.044% (1 Month LIBOR + 3.00%), due 5/8/22 (f) |
1,047,374 | 1,010,716 | |||||
| Realogy Group LLC 2018 Term Loan B 4.296% (1 Month LIBOR + 2.25%), due 2/8/25 |
2,849,152 | 2,704,022 | |||||
| Reece, Ltd. 2018 Term Loan B 4.11% (3 Month LIBOR + 2.00%), due 7/2/25 |
370,313 | 371,238 | |||||
| SIWF Holdings, Inc. | |||||||
| 1st Lien Term Loan 6.304% (1 Month LIBOR + 4.25%), due 6/15/25 |
1,278,622 | 1,257,845 | |||||
| 2nd Lien Term Loan 10.554% (1 Month LIBOR + 8.50%), due 6/15/26 |
120,000 | 113,400 | |||||
| SMG Holdings, Inc. 2017 1st Lien Term Loan 5.044% (1 Month LIBOR + 3.00%), due 1/23/25 |
1,477,500 | 1,468,266 | |||||
| SRS Distribution, Inc. 2018 1st Lien Term Loan 5.294% (1 Month LIBOR + 3.25%), due 5/23/25 |
2,077,759 | 2,018,543 | |||||
| VC GB Holdings, Inc. 2017 1st Lien Term Loan 5.044% (1 Month LIBOR + 3.00%), due 2/28/24 |
2,390,921 | 2,355,057 | |||||
| Wilsonart LLC 2017 Term Loan B 5.36% (3 Month LIBOR + 3.25%), due 12/19/23 |
3,984,346 | 3,897,188 | |||||
| 26,475,808 | |||||||
| Chemicals, Plastics & Rubber 2.2% | |||||||
| Allnex USA, Inc. Term Loan B3 5.394% (3 Month LIBOR + 3.25%), due 9/13/23 |
950,312 | 907,548 | |||||
| Cabot Microelectronics Corp. Term Loan B 4.313% (1 Month LIBOR + 2.25%), due 11/14/25 |
808,743 | 811,102 | |||||
| Emerald Performance Materials LLC | |||||||
| New 1st Lien Term Loan 5.544% (1 Month LIBOR + 3.50%), due 8/1/21 |
1,657,608 | 1,654,845 | |||||
| New 2nd Lien Term Loan 9.794% (1 Month LIBOR + 7.75%), due 8/1/22 |
700,000 | 693,000 | |||||
| Encapsys LLC 1st Lien Term Loan 5.544% (1 Month LIBOR + 3.50%), due 11/7/24 |
1,465,514 | 1,469,177 | |||||
| Flex Acquisition Co., Inc. 1st Lien Term Loan 5.319% (3 Month LIBOR + 3.00%), due 12/29/23 |
947,101 | 908,540 | |||||
| Flint Group U.S. LLC 1st Lien Term Loan B2 5.283% (3 Month LIBOR + 3.00%), due 9/7/21 |
1,766,360 | 1,485,213 | |||||
| Ineos U.S. Finance LLC 2017 Term Loan B 4.044% (2 Month LIBOR + 2.00%), due 3/31/24 |
1,467,532 | 1,453,957 | |||||
| Minerals Technologies, Inc. | |||||||
| 2017 Term Loan B 4.28% (1 Month LIBOR + 2.25%), due 2/14/24 |
32,223 | 32,250 | |||||
| 2017 Term Loan B 4.29% (1 Month LIBOR + 2.25%), due 2/14/24 |
16,111 | 16,125 | |||||
| 2017 Term Loan B 4.30% (1 Month LIBOR + 2.25%), due 2/14/24 |
555,198 | 555,660 | |||||
| 2017 Term Loan B 4.36% (1 Month LIBOR + 2.25%), due 2/14/24 |
25,778 | 25,800 | |||||
| 2017 Term Loan B 4.39% (3 Month LIBOR + 2.25%), due 2/14/24 |
112,780 | 112,874 | |||||
| PQ Corp. 2018 Term Loan B 4.756% (3 Month LIBOR + 2.50%), due 2/8/25 |
1,370,410 | 1,371,389 | |||||
| TricorBraun Holdings, Inc. | |||||||
| 2016 1st Lien Term Loan 5.85% (3 Month LIBOR + 3.75%), due 11/30/23 |
1,362,844 | 1,321,959 | |||||
| 2016 1st Lien Term Loan 5.91% (3 Month LIBOR + 3.75%), due 11/30/23 |
121,896 | 118,239 | |||||
| Tronox Finance LLC | |||||||
| Term Loan B 4.79% (1 Month LIBOR + 2.75%), due 9/23/24 |
1,624,258 | 1,623,040 | |||||
| Term Loan B 4.85% (3 Month LIBOR + 2.75%), due 9/23/24 |
1,042,988 | 1,042,206 | |||||
| Univar, Inc. 2019 Term Loan B 4.544% (1 Month LIBOR + 2.50%), due 7/1/24 |
816,794 | 819,040 | |||||
| Venator Materials Corp. Term Loan B 5.044% (1 Month LIBOR + 3.00%), due 8/8/24 |
1,960,000 | 1,920,800 | |||||
| Zep, Inc. 2017 1st Lien Term Loan 6.104% (3 Month LIBOR + 4.00%), due 8/12/24 (f) |
105,169 | 81,769 | |||||
| 18,424,533 | |||||||
| Containers, Packaging & Glass 3.6% | |||||||
| Anchor Glass Container Corp. | |||||||
| 2017 1st Lien Term Loan 4.79% (1 Month LIBOR + 2.75%), due 12/7/23 |
108,604 | 85,254 | |||||
| 2017 1st Lien Term Loan 4.81% (1 Month LIBOR + 2.75%), due 12/7/23 |
2,023,794 | 1,588,678 | |||||
| Berlin Packaging LLC | |||||||
| 2018 1st Lien Term Loan 5.05% (1 Month LIBOR + 3.00%), due 11/7/25 |
115,574 | 113,407 | |||||
| 2018 1st Lien Term Loan 5.11% (1 Month LIBOR + 3.00%), due 11/7/25 |
628,547 | 616,763 | |||||
| Berry Global, Inc. Term Loan U 4.549% (1 Month LIBOR + 2.50%), due 7/1/26 |
5,236,875 | 5,258,896 | |||||
| BWAY Holding Co. 2017 Term Loan B 5.59% (3 Month LIBOR + 3.25%), due 4/3/24 |
3,910,000 | 3,825,282 | |||||
| Charter NEX U.S. Holdings, Inc. | |||||||
| 2017 Term Loan B 5.044% (1 Month LIBOR + 3.00%), due 5/16/24 |
2,932,500 | 2,895,234 | |||||
| Incremental Term Loan 5.544% (1 Month LIBOR + 3.50%), due 5/16/24 |
872,813 | 872,449 | |||||
| Clearwater Paper Corp. Term Loan B 5.313% (3 Month LIBOR + 3.25%), due 7/26/26 (e) |
2,500,000 | 2,506,250 | |||||
| Consolidated Container Co. LLC | |||||||
| 2017 1st Lien Term Loan 4.794% (1 Month LIBOR + 2.75%), due 5/22/24 |
1,960,088 | 1,948,654 | |||||
| 2019 Incremental Term Loan 5.544% (1 Month LIBOR + 3.50%), due 6/14/26 (f) |
997,500 | 996,253 | |||||
| Fort Dearborn Co. | |||||||
| 2016 1st Lien Term Loan 6.10% (1 Month LIBOR + 4.00%), due 10/19/23 |
66,969 | 65,629 | |||||
| 2016 1st Lien Term Loan 6.31% (3 Month LIBOR + 4.00%), due 10/19/23 |
2,364,283 | 2,316,997 | |||||
| 2016 2nd Lien Term Loan 10.813% (3 Month LIBOR + 8.50%), due 10/19/24 |
1,000,000 | 930,000 | |||||
| Klockner-Pentaplast of America, Inc. 2017 Term Loan B2 6.294% (1 Month LIBOR + 4.25%), due 6/30/22 |
2,450,000 | 2,115,166 | |||||
| Reynolds Group Holdings, Inc. 2017 Term Loan 4.794% (1 Month LIBOR + 2.75%), due 2/5/23 |
2,201,099 | 2,202,818 | |||||
| Tank Holding Corp. | |||||||
| 2019 Term Loan B 6.04% (1 Month LIBOR + 4.00%), due 3/26/26 |
250,000 | 250,417 | |||||
| 2019 Term Loan B 6.18% (3 Month LIBOR + 4.00%), due 3/26/26 |
250,000 | 250,417 | |||||
| 2019 Term Loan B 6.79% (3 Month LIBOR + 4.00%), due 3/26/26 |
750,000 | 751,250 | |||||
| Trident TPI Holdings, Inc. 2017 Term Loan B1 5.294% (1 Month LIBOR + 3.25%), due 10/17/24 |
733,600 | 706,701 | |||||
| 30,296,515 | |||||||
| Diversified/Conglomerate Manufacturing 2.5% | |||||||
| Allied Universal Holdco LLC 2019 Term Loan B 6.507% (3 Month LIBOR + 4.25%), due 7/10/26 |
2,274,775 | 2,276,196 | |||||
| Filtration Group Corp. 2018 1st Lien Term Loan 5.044% (1 Month LIBOR + 3.00%), due 3/29/25 |
1,800,815 | 1,804,192 | |||||
| Gardner Denver, Inc. 2017 Term Loan B 4.794% (1 Month LIBOR + 2.75%), due 7/30/24 |
1,386,817 | 1,389,875 | |||||
| GYP Holdings III Corp. 2018 Term Loan B 4.794% (1 Month LIBOR + 2.75%), due 6/1/25 |
437,426 | 434,583 | |||||
| Hyster-Yale Group, Inc. Term Loan B 5.294% (1 Month LIBOR + 3.25%), due 5/30/23 |
1,429,861 | 1,406,626 | |||||
| Iron Mountain, Inc. 2018 Term Loan B 3.794% (1 Month LIBOR + 1.75%), due 1/2/26 |
1,846,875 | 1,828,406 | |||||
| LTI Holdings, Inc. 2018 Add On 1st Lien Term Loan 5.544% (1 Month LIBOR + 3.50%), due 9/6/25 |
1,588,975 | 1,500,258 | |||||
| Pre-Paid Legal Services, Inc. 2018 1st Lien Term Loan 5.294% (1 Month LIBOR + 3.25%), due 5/1/25 |
2,483,610 | 2,477,401 | |||||
| Quikrete Holdings, Inc. 2016 1st Lien Term Loan 4.794% (1 Month LIBOR + 2.75%), due 11/15/23 |
3,336,792 | 3,321,500 | |||||
| Red Ventures LLC 2018 Term Loan B 5.044% (1 Month LIBOR + 3.00%), due 11/8/24 |
4,046,625 | 4,059,271 | |||||
| TRC Cos., Inc. Term Loan 5.544% (1 Month LIBOR + 3.50%), due 6/21/24 |
882,000 | 882,000 | |||||
| 21,380,308 | |||||||
| Diversified/Conglomerate Service 5.4% | |||||||
| Applied Systems, Inc. | |||||||
| 2017 1st Lien Term Loan 5.104% (3 Month LIBOR + 3.00%), due 9/19/24 |
2,940,000 | 2,935,275 | |||||
| 2017 2nd Lien Term Loan 9.104% (3 Month LIBOR + 7.00%), due 9/19/25 |
460,000 | 464,313 | |||||
| Blackhawk Network Holdings, Inc. 2018 1st Lien Term Loan 5.044% (1 Month LIBOR + 3.00%), due 6/15/25 |
987,500 | 983,385 | |||||
| BrightView Landscapes LLC 2018 1st Lien Term Loan B 4.56% (1 Month LIBOR + 2.50%), due 8/15/25 |
1,156,122 | 1,159,012 | |||||
| BrightView Landscapes, LLC 2018 1st Lien Term Loan B 4.94% (1 Month LIBOR + 2.50%), due 8/15/25 |
958,007 | 960,402 | |||||
| Carbonite, Inc. Term Loan B 6.006% (1 Month LIBOR + 3.75%), due 3/26/26 |
881,818 | 881,451 | |||||
| Change Healthcare Holdings, Inc. 2017 Term Loan B 4.544% (1 Month LIBOR + 2.50%), due 3/1/24 |
1,677,836 | 1,668,660 | |||||
| Cypress Intermediate Holdings III, Inc. 2017 1st Lien Term Loan 4.80% (1 Month LIBOR + 2.75%), due 4/26/24 |
1,955,000 | 1,945,575 | |||||
| Element Materials Technology Group US Holdings, Inc. 2017 Term Loan B 5.604% (3 Month LIBOR + 3.50%), due 6/28/24 |
984,962 | 984,962 | |||||
| Greeneden U.S. Holdings II LLC 2018 Term Loan B 5.294% (1 Month LIBOR + 3.25%), due 12/1/23 |
1,455,576 | 1,445,750 | |||||
| Information Resources, Inc. 2018 1st Lien Term Loan 6.624% (3 Month LIBOR + 4.50%), due 12/1/25 |
3,225,625 | 3,091,223 | |||||
| J.D. Power and Associates 2018 1st Lien Term Loan 5.794% (1 Month LIBOR + 3.75%), due 9/7/23 |
2,835,917 | 2,835,917 | |||||
| Kronos, Inc. 2017 Term Loan B 5.253% (3 Month LIBOR + 3.00%), due 11/1/23 |
4,037,959 | 4,045,530 | |||||
| Mitchell International, Inc. 2017 1st Lien Term Loan 5.294% (1 Month LIBOR + 3.25%), due 11/29/24 |
1,477,500 | 1,412,243 | |||||
| MKS Instruments, Inc. 2017 Term Loan B3 TBD, due 5/1/23 |
749,703 | 750,453 | |||||
| Monitronics International, Inc. Takeback Term Loan 8.604% (3 Month LIBOR + 6.50%), due 3/29/24 (g)(h) |
963,357 | 886,288 | |||||
| MX Holdings U.S., Inc. 2018 Term Loan B1C 5.044% (1 Month LIBOR + 3.00%), due 7/31/25 |
3,229,068 | 3,233,105 | |||||
| Prime Security Services Borrower LLC 2019 Term Loan B 5.21% (1 Week LIBOR + 3.25%), due 9/23/26 |
8,063,768 | 7,965,850 | |||||
| Sophia L.P. 2017 Term Loan B 5.354% (3 Month LIBOR + 3.25%), due 9/30/22 |
1,839,104 | 1,837,955 | |||||
| TruGreen, Ltd. Partnership 2019 Term Loan 5.794% (1 Month LIBOR + 3.75%), due 3/19/26 |
1,750,926 | 1,753,115 | |||||
| Verint Systems, Inc. 2018 Term Loan B 4.147% (2 Month LIBOR + 2.00%), due 6/28/24 |
2,443,750 | 2,451,387 | |||||
| Verscend Holding Corp. 2018 Term Loan B 6.544% (1 Month LIBOR + 4.50%), due 8/27/25 |
990,000 | 992,062 | |||||
| WEX, Inc. Term Loan B3 4.294% (1 Month LIBOR + 2.25%), due 5/15/26 |
967,638 | 971,750 | |||||
| 45,655,663 | |||||||
| Ecological 0.4% | |||||||
| Advanced Disposal Services, Inc. Term Loan B3 4.197% (1 Week LIBOR + 2.25%), due 11/10/23 |
3,572,032 | 3,578,908 | |||||
| Electronics 12.8% | |||||||
| Almonde, Inc. | |||||||
| 1st Lien Term Loan 5.696% (2 Month LIBOR + 3.50%), due 6/13/24 |
3,724,185 | 3,618,445 | |||||
| 2nd Lien Term Loan 9.446% (1 Month LIBOR + 7.25%), due 6/13/25 |
1,400,000 | 1,337,000 | |||||
| ASG Technologies Group, Inc. 2018 Term Loan 5.544% (1 Month LIBOR + 3.50%), due 7/31/24 |
1,502,734 | 1,495,220 | |||||
| Banff Merger Sub Inc. 2018 Term Loan B 6.294% (1 Month LIBOR + 4.25%), due 10/2/25 |
4,431,996 | 4,263,718 | |||||
| Barracuda Networks, Inc. 1st Lien Term Loan 5.398% (3 Month LIBOR + 3.25%), due 2/12/25 |
1,978,731 | 1,979,226 | |||||
| Camelot UK Holdco, Ltd. 2017 Repriced Term Loan 5.294% (1 Month LIBOR + 3.25%), due 10/3/23 |
815,307 | 819,893 | |||||
| Cologix, Inc. 2017 1st Lien Term Loan 5.044% (1 Month LIBOR + 3.00%), due 3/20/24 |
1,940,152 | 1,891,648 | |||||
| Colorado Buyer, Inc. | |||||||
| Term Loan B 5.04% (1 Month LIBOR + 3.00%), due 5/1/24 |
977,500 | 876,084 | |||||
| 2nd Lien Term Loan 9.30% (1 Month LIBOR + 7.25%), due 5/1/25 |
800,000 | 650,400 | |||||
| CommScope, Inc. 2019 Term Loan B 5.294% (1 Month LIBOR + 3.25%), due 4/6/26 |
4,812,500 | 4,790,444 | |||||
| Compuware Corp. 2018 Term Loan B 6.044% (1 Month LIBOR + 4.00%), due 8/22/25 |
697,243 | 700,293 | |||||
| Cortes NP Acquisition Corp. 2017 Term Loan B 6.044% (1 Month LIBOR + 4.00%), due 11/30/23 |
1,079,783 | 1,024,894 | |||||
| Dell International LLC 2019 Term Loan B 4.05% (1 Month LIBOR + 2.00%), due 9/19/25 |
4,264,280 | 4,284,271 | |||||
| Diebold, Inc. 2017 Term Loan B 4.813% (1 Month LIBOR + 2.75%), due 11/6/23 |
1,203,155 | 1,126,454 | |||||
| DigiCert Holdings, Inc. 2019 Term Loan B TBD, due 8/13/26 |
2,000,000 | 1,994,166 | |||||
| DigiCert, Inc. 2017 Term Loan B1 6.044% (1 Month LIBOR + 4.00%), due 10/31/24 |
2,475,000 | 2,475,000 | |||||
| Dynatrace LLC | |||||||
| 2018 1st Lien Term Loan 4.79% (1 Month LIBOR + 2.75%), due 8/22/25 |
435,099 | 436,730 | |||||
| 2018 1st Lien Term Loan 6.75% (PRIME + 2.25%), due 8/22/25 |
23,684 | 23,773 | |||||
| EIG Investors Corp. 2018 1st Lien Term Loan 5.882% (3 Month LIBOR + 3.75%), due 2/9/23 |
3,952,941 | 3,867,708 | |||||
| Epicor Software Corp. 1st Lien Term Loan 5.30% (1 Month LIBOR + 3.25%), due 6/1/22 |
6,130,619 | 6,129,344 | |||||
| Exact Merger Sub LLC 1st Lien Term Loan 6.354% (3 Month LIBOR + 4.25%), due 9/27/24 |
2,214,304 | 2,201,155 | |||||
| Financial & Risk US Holdings, Inc. 2018 Term Loan 5.794% (1 Month LIBOR + 3.75%), due 10/1/25 |
4,468,737 | 4,492,475 | |||||
| Flexential Intermediate Corp. 2017 1st Lien Term Loan 5.604% (3 Month LIBOR + 3.50%), due 8/1/24 |
1,176,000 | 1,012,095 | |||||
| Flexera Software LLC 2018 1st Lien Term Loan 5.55% (1 Month LIBOR + 3.50%), due 2/26/25 |
2,433,149 | 2,436,190 | |||||
| Go Daddy Operating Co. LLC 2017 Repriced Term Loan TBD, due 2/15/24 |
1,750,000 | 1,751,944 | |||||
| GTCR Valor Cos., Inc. 2017 Term Loan B1 4.854% (3 Month LIBOR + 2.75%), due 6/16/23 |
1,760,896 | 1,757,374 | |||||
| Hyland Software, Inc. | |||||||
| 2018 Term Loan 3 5.294% (1 Month LIBOR + 3.25%), due 7/1/24 |
4,637,213 | 4,627,275 | |||||
| 2017 2nd Lien Term Loan 9.044% (1 Month LIBOR + 7.00%), due 7/7/25 |
608,333 | 609,474 | |||||
| IInformatica Corp. 2018 Term Loan 5.294% (1 Month LIBOR + 3.25%), due 8/5/22 |
1,465,922 | 1,471,877 | |||||
| Infor (U.S.), Inc. Term Loan B6 4.854% (3 Month LIBOR + 2.75%), due 2/1/22 |
2,682,321 | 2,685,004 | |||||
| MA FinanceCo. LLC Term Loan B3 4.544% (1 Month LIBOR + 2.50%), due 6/21/24 |
352,345 | 347,588 | |||||
| McAfee LLC | |||||||
| 2018 Term Loan B 5.794% (1 Month LIBOR + 3.75%), due 9/30/24 |
5,624,158 | 5,633,196 | |||||
| 2017 2nd Lien Term Loan 10.544% (1 Month LIBOR + 8.50%), due 9/29/25 |
1,312,500 | 1,318,242 | |||||
| MH Sub I LLC 2017 1st Lien Term Loan 5.794% (1 Month LIBOR + 3.75%), due 9/13/24 |
4,084,561 | 4,050,280 | |||||
| Project Alpha Intermediate Holding, Inc. | |||||||
| 2017 Term Loan B 5.81% (3 Month LIBOR + 3.50%), due 4/26/24 |
1,955,000 | 1,925,675 | |||||
| 2019 Incremental Term Loan B 6.56% (3 Month LIBOR + 4.25%), due 4/26/24 |
598,500 | 597,004 | |||||
| Project Leopard Holdings, Inc. | |||||||
| 2019 Term Loan 6.45% (1 Month LIBOR + 4.25%), due 7/7/23 |
496,250 | 495,475 | |||||
| 2018 Term Loan 6.70% (6 Month LIBOR + 4.50%), due 7/7/23 |
602,982 | 603,359 | |||||
| Rocket Software, Inc. 2018 Term Loan 6.294% (1 Month LIBOR + 4.25%), due 11/28/25 |
895,500 | 837,852 | |||||
| RP Crown Parent LLC 2016 Term Loan B 4.804% (3 Month LIBOR + 2.75%), due 10/12/23 |
2,334,000 | 2,332,833 | |||||
| Seattle Spinco, Inc. Term Loan B3 4.544% (1 Month LIBOR + 2.50%), due 6/21/24 |
2,379,469 | 2,346,752 | |||||
| Solera LLC Term Loan B 4.794% (1 Month LIBOR + 2.75%), due 3/3/23 |
2,678,714 | 2,664,429 | |||||
| SonicWALL, Inc. 1st Lien Term Loan 5.636% (3 Month LIBOR + 3.50%), due 5/16/25 |
397,000 | 385,090 | |||||
| SS&C Technologies, Inc. | |||||||
| 2018 Term Loan B3 4.294% (1 Month LIBOR + 2.25%), due 4/16/25 |
2,876,584 | 2,886,773 | |||||
| 2018 Term Loan B5 4.294% (1 Month LIBOR + 2.25%), due 4/16/25 |
1,979,767 | 1,987,500 | |||||
| Tempo Acquisition LLC Term Loan 5.044% (1 Month LIBOR + 3.00%), due 5/1/24 |
4,416,161 | 4,428,305 | |||||
| Ultimate Software Group, Inc. Term Loan B 5.794% (1 Month LIBOR + 3.75%), due 5/4/26 |
1,750,000 | 1,757,875 | |||||
| Veritas Bermuda, Ltd. | |||||||
| Repriced Term Loan B 6.54% (1 Month LIBOR + 4.50%), due 1/27/23 |
1,851,316 | 1,746,407 | |||||
| Repriced Term Loan B 6.60% (3 Month LIBOR + 4.50%), due 1/27/23 |
361,558 | 341,070 | |||||
| Vertafore, Inc. 2018 1st Lien Term Loan 5.294% (1 Month LIBOR + 3.25%), due 7/2/25 |
397,000 | 385,487 | |||||
| Web.com Group, Inc. | |||||||
| 2018 Term Loan B 5.778% (1 Month LIBOR + 3.75%), due 10/10/25 |
1,453,881 | 1,426,621 | |||||
| 2018 2nd Lien Term Loan 9.778% (1 Month LIBOR + 7.75%), due 10/9/26 |
969,724 | 940,632 | |||||
| Western Digital Corp. 2018 Term Loan B4 3.862% (3 Month LIBOR + 1.75%), due 4/29/23 |
1,777,978 | 1,771,629 | |||||
| Xerox Business Services LLC Term Loan B 4.544% (1 Month LIBOR + 2.50%), due 12/7/23 |
1,461,119 | 1,419,112 | |||||
| 109,458,760 | |||||||
| Entertainment 0.1% | |||||||
| NASCAR Holdings, Inc. Term Loan B TBD, due 7/27/26 |
1,250,000 | 1,258,399 | |||||
| Finance 1.5% | |||||||
| Alliant Holdings I, Inc. 2018 Term Loan B 5.054% (3 Month LIBOR + 3.00%), due 5/9/25 |
1,792,682 | 1,759,442 | |||||
| Brand Energy & Infrastructure Services, Inc. | |||||||
| 2017 Term Loan 6.35% (3 Month LIBOR + 4.25%), due 6/21/24 |
8,175 | 7,957 | |||||
| 2017 Term Loan 6.51% (3 Month LIBOR + 4.25%), due 6/21/24 |
1,689,974 | 1,644,907 | |||||
| 2017 Term Loan 6.52% (2 Month LIBOR + 4.25%), due 6/21/24 |
1,498,260 | 1,458,306 | |||||
| Deerfield Dakota Holding, LLC 2018 Term Loan B 5.294% (1 Month LIBOR + 3.25%), due 2/13/25 |
3,898,958 | 3,819,353 | |||||
| iStar, Inc. | |||||||
| 2016 Term Loan B 4.81% (1 Month LIBOR + 2.75%), due 6/28/23 |
416,651 | 417,693 | |||||
| 2016 Term Loan B 4.81% (1 Month LIBOR + 2.75%), due 6/28/23 |
406,235 | 407,250 | |||||
| Transplace Holdings, Inc. 1st Lien Term Loan 5.804% (1 Month LIBOR + 3.75%), due 10/7/24 |
1,179,045 | 1,158,412 | |||||
| USS Ultimate Holdings, Inc. 1st Lien Term Loan 5.95% (6 Month LIBOR + 3.75%), due 8/25/24 |
2,066,728 | 2,067,245 | |||||
| 12,740,565 | |||||||
| Healthcare, Education & Childcare 7.3% | |||||||
| Acadia Healthcare Company, Inc. 2018 Term Loan B4 4.544% (1 Month LIBOR + 2.50%), due 2/16/23 |
737,925 | 738,540 | |||||
| Agiliti Health, Inc. Term Loan 5.125% (1 Month LIBOR + 3.00%), due 1/4/26 |
895,500 | 893,261 | |||||
| AHP Health Partners, Inc. 2018 Term Loan 6.544% (1 Month LIBOR + 4.50%), due 6/30/25 |
1,316,667 | 1,318,723 | |||||
| Akorn, Inc. Term Loan B 4.531% (1 Month LIBOR + 6.25%), due 4/16/21 |
172,853 | 159,024 | |||||
| Alliance Healthcare Services, Inc. 2017 Term Loan B 6.544% (1 Month LIBOR + 4.50%), due 10/24/23 |
860,625 | 813,291 | |||||
| Alvogen Pharma US, Inc. 2018 Term Loan B 6.79% (1 Month LIBOR + 4.75%), due 4/2/22 |
2,807,819 | 2,520,017 | |||||
| Amneal Pharmaceuticals LLC 2018 Term Loan B 5.563% (1 Month LIBOR + 3.50%), due 5/4/25 |
2,221,355 | 1,888,152 | |||||
| Athenahealth, Inc. 2019 Term Loan B 6.681% (3 Month LIBOR + 4.50%), due 2/11/26 |
745,627 | 740,655 | |||||
| Avantor, Inc. 2017 1st Lien Term Loan 5.044% (1 Month LIBOR + 3.00%), due 11/21/24 |
817,542 | 822,652 | |||||
| BidFair MergerRight, Inc. Term Loan B TBD, due 1/23/27 |
2,500,000 | 2,471,875 | |||||
| Carestream Dental Equipment, Inc. 2017 1st Lien Term Loan 5.294% (1 Month LIBOR + 3.25%), due 9/1/24 |
980,000 | 951,825 | |||||
| Carestream Health, Inc. (f) | |||||||
| 1st Lien Term Loan 7.794% (1 Month LIBOR + 5.75%), due 2/28/21 |
1,981,780 | 1,884,342 | |||||
| 2nd Lien Term Loan 11.544% (1 Month LIBOR + 9.50%), due 6/7/21 (e) |
1,347,599 | 1,280,219 | |||||
| Concentra, Inc. 2018 1st Lien Term Loan 4.54% (3 Month LIBOR + 2.50%), due 6/1/22 |
3,323,907 | 3,329,448 | |||||
| DaVita, Inc. 2019 Term Loan B 4.294% (1 Month LIBOR + 2.25%), due 8/12/26 |
3,750,000 | 3,769,271 | |||||
| Emerald TopCo, Inc. Term Loan 5.544% (1 Month LIBOR + 3.50%), due 7/24/26 |
2,500,000 | 2,489,063 | |||||
| Envision Healthcare Corp. 2018 1st Lien Term Loan 5.794% (1 Month LIBOR + 3.75%), due 10/10/25 |
1,860,938 | 1,515,888 | |||||
| ExamWorks Group, Inc. 2017 Term Loan 5.294% (1 Month LIBOR + 3.25%), due 7/27/23 |
2,929,325 | 2,937,869 | |||||
| Explorer Holdings, Inc. 2016 Term Loan B 3.75% (3 Month LIBOR + 3.75%), due 5/2/23 |
1,268,441 | 1,266,855 | |||||
| Gentiva Health Services, Inc. 2018 1st Lien Term Loan 5.813% (1 Month LIBOR + 3.75%), due 7/2/25 |
1,290,136 | 1,296,586 | |||||
| HCA Inc. 2018 Term Loan B10 4.044% (1 Month LIBOR + 2.00%), due 3/13/25 |
2,487,374 | 2,493,246 | |||||
| Jaguar Holding Co. II 2018 Term Loan 4.544% (1 Month LIBOR + 2.50%), due 8/18/22 |
4,661,424 | 4,664,920 | |||||
| Kinetic Concepts, Inc. 2017 Term Loan B 7.25% (PRIME + 2.25%), due 2/2/24 |
3,910,000 | 3,914,888 | |||||
| Ortho-Clinical Diagnostics S.A. 2018 Term Loan B 5.563% (3 Month LIBOR + 3.25%), due 6/30/25 |
1,932,403 | 1,865,977 | |||||
| Parexel International Corp. Term Loan B 4.794% (1 Month LIBOR + 2.75%), due 9/27/24 |
1,545,508 | 1,465,528 | |||||
| RegionalCare Hospital Partners Holdings, Inc. 2018 Term Loan B 6.554% (1 Month LIBOR + 4.50%), due 11/17/25 |
2,151,660 | 2,152,332 | |||||
| RPI Finance Trust Term Loan B6 4.044% (1 Month LIBOR + 2.00%), due 3/27/23 |
3,837,016 | 3,854,401 | |||||
| Select Medical Corp. | |||||||
| 2017 Term Loan B 4.54% (1 Month LIBOR + 2.50%), due 3/6/25 |
2,560 | 2,559 | |||||
| 2017 Term Loan B 4.58% (3 Month LIBOR + 2.50%), due 3/6/25 |
3,133,314 | 3,131,356 | |||||
| Sound Inpatient Physicians 2018 1st Lien Term Loan 4.794% (1 Month LIBOR + 2.75%), due 6/27/25 |
493,750 | 489,738 | |||||
| Team Health Holdings, Inc. 1st Lien Term Loan 4.794% (1 Month LIBOR + 2.75%), due 2/6/24 |
2,895,190 | 2,378,882 | |||||
| U.S. Anesthesia Partners, Inc. 2017 Term Loan 5.044% (1 Month LIBOR + 3.00%), due 6/23/24 |
2,839,140 | 2,768,162 | |||||
| 62,269,545 | |||||||
| Home and Office Furnishings, Housewares & Durable Consumer Products 0.6% | |||||||
| Comfort Holding LLC 1st Lien Term Loan 6.794% (1 Month LIBOR + 4.75%), due 2/5/24 |
1,170,000 | 1,155,375 | |||||
| Resideo Funding, Inc. Term Loan B 4.11% (3 Month LIBOR + 2.00%), due 10/24/25 |
1,890,737 | 1,893,101 | |||||
| Serta Simmons Bedding LLC | |||||||
| 1st Lien Term Loan 5.54% (1 Month LIBOR + 3.50%), due 11/8/23 |
2,687,289 | 1,648,203 | |||||
| 1st Lien Term Loan 5.56% (1 Month LIBOR + 3.50%), due 11/8/23 |
762,257 | 467,517 | |||||
| 5,164,196 | |||||||
| Hotels, Motels, Inns & Gaming 5.2% | |||||||
| Affinity Gaming LLC Initial Term Loan 5.294% (1 Month LIBOR + 3.25%), due 7/1/23 |
2,483,064 | 2,403,606 | |||||
| AP Gaming I LLC 2018 Incremental Term Loan 5.544% (1 Month LIBOR + 3.50%), due 2/15/24 |
1,858,221 | 1,848,930 | |||||
| Caesars Entertainment Operating Co. Exit Term Loan 4.044% (1 Month LIBOR + 2.00%), due 10/6/24 |
1,359,722 | 1,358,590 | |||||
| Caesars Resort Collection LLC 2017 1st Lien Term Loan B 4.794% (1 Month LIBOR + 2.75%), due 12/22/24 |
3,930,000 | 3,903,331 | |||||
| Churchill Downs, Inc. 2017 Term Loan B 4.05% (1 Month LIBOR + 2.00%), due 12/27/24 |
1,972,424 | 1,975,712 | |||||
| CityCenter Holdings LLC 2017 Term Loan B 4.294% (1 Month LIBOR + 2.25%), due 4/18/24 |
2,834,750 | 2,839,305 | |||||
| Everi Payments, Inc. Term Loan B 5.044% (1 Month LIBOR + 3.00%), due 5/9/24 |
3,141,942 | 3,143,042 | |||||
| Golden Entertainment, Inc. 2017 1st Lien Term Loan 5.06% (1 Month LIBOR + 3.00%), due 10/21/24 |
1,000,000 | 1,002,500 | |||||
| Hilton Worldwide Finance LLC 2019 Term Loan B2 3.768% (1 Month LIBOR + 1.75%), due 6/22/26 |
2,235,804 | 2,248,846 | |||||
| MGM Growth Properties Operating Partnership, L.P. 2016 Term Loan B 4.044% (1 Month LIBOR + 2.00%), due 3/21/25 |
2,987,365 | 2,991,099 | |||||
| PCI Gaming Authority Term Loan 5.044% (1 Month LIBOR + 3.00%), due 5/29/26 |
748,125 | 751,117 | |||||
| Penn National Gaming, Inc. 2018 1st Lien Term Loan B 4.294% (1 Month LIBOR + 2.25%), due 10/15/25 |
330,833 | 332,223 | |||||
| Scientific Games International, Inc. | |||||||
| 2018 Term Loan B5 4.79% (1 Month LIBOR + 2.75%), due 8/14/24 |
1,237,782 | 1,226,068 | |||||
| 2018 Term Loan B5 4.90% (2 Month LIBOR + 2.75%), due 8/14/24 |
5,124,337 | 5,075,840 | |||||
| Station Casinos LLC 2016 Term Loan B 4.55% (1 Month LIBOR + 2.50%), due 6/8/23 |
3,134,678 | 3,143,583 | |||||
| UFC Holdings LLC 2019 Term Loan 5.30% (1 Month LIBOR + 3.25%), due 4/29/26 |
5,568,383 | 5,582,303 | |||||
| Wyndham Destinations, Inc. 2018 1st Lien Term Loan 4.294% (1 Month LIBOR + 2.25%), due 5/30/25 |
1,990,000 | 1,993,317 | |||||
| Wyndham Hotels & Resorts, Inc. Term Loan B 3.794% (1 Month LIBOR + 1.75%), due 5/30/25 |
2,482,481 | 2,493,342 | |||||
| 44,312,754 | |||||||
| Insurance 3.3% | |||||||
| Acrisure LLC 2017 Term Loan B 6.354% (3 Month LIBOR + 4.25%), due 11/22/23 |
994,924 | 989,949 | |||||
| AmWINS Group, Inc. | |||||||
| 2017 Term Loan B 4.79% (1 Month LIBOR + 2.75%), due 1/25/24 |
2,365,343 | 2,364,357 | |||||
| 2017 Term Loan B 4.81% (1 Month LIBOR + 2.75%), due 1/25/24 |
564,612 | 564,377 | |||||
| AssuredPartners, Inc. 2017 1st Lien Add-On Term Loan 5.544% (1 Month LIBOR + 3.50%), due 10/22/24 |
2,236,660 | 2,224,079 | |||||
| Asurion LLC | |||||||
| 2017 Term Loan B4 5.044% (1 Month LIBOR + 3.00%), due 8/4/22 |
3,351,983 | 3,361,201 | |||||
| 2018 Term Loan B6 5.044% (1 Month LIBOR + 3.00%), due 11/3/23 |
2,644,842 | 2,654,210 | |||||
| 2018 Term Loan B7 5.044% (1 Month LIBOR + 3.00%), due 11/3/24 |
462,891 | 464,213 | |||||
| 2017 2nd Lien Term Loan 8.544% (1 Month LIBOR + 6.50%), due 8/4/25 |
1,466,667 | 1,489,278 | |||||
| Fleet U.S. Bidco, Inc. Term Loan B TBD, due 9/23/26 |
1,250,000 | 1,254,687 | |||||
| Hub International, Ltd. 2018 Term Loan B 5.267% (3 Month LIBOR + 3.00%), due 4/25/25 |
2,439,706 | 2,410,354 | |||||
| MPH Acquisition Holdings LLC 2016 Term Loan B 4.854% (3 Month LIBOR + 2.75%), due 6/7/23 |
1,842,940 | 1,750,793 | |||||
| NFP Corp. Term Loan B 5.044% (1 Month LIBOR + 3.00%), due 1/8/24 |
1,463,637 | 1,437,291 | |||||
| Sedgwick Claims Management Services, Inc. | |||||||
| 2018 Term Loan B 5.294% (1 Month LIBOR + 3.25%), due 12/31/25 |
2,977,500 | 2,927,627 | |||||
| 2019 Term Loan B 6.044% (1 Month LIBOR + 4.00%), due 9/3/26 |
997,500 | 997,500 | |||||
| USI, Inc. 2017 Repriced Term Loan 5.104% (3 Month LIBOR + 3.00%), due 5/16/24 |
2,940,000 | 2,887,324 | |||||
| 27,777,240 | |||||||
| Leisure, Amusement, Motion Pictures & Entertainment 2.9% | |||||||
| Alterra Mountain Co. Term Loan B1 5.044% (1 Month LIBOR + 3.00%), due 7/31/24 |
3,468,485 | 3,464,150 | |||||
| Boyd Gaming Corp. Term Loan B3 4.166% (1 Week LIBOR + 2.25%), due 9/15/23 |
1,945,919 | 1,950,783 | |||||
| Creative Artists Agency LLC 2018 Term Loan B 5.044% (1 Month LIBOR + 3.00%), due 2/15/24 |
1,907,206 | 1,912,569 | |||||
| Fitness International LLC | |||||||
| 2018 Term Loan A 4.544% (1 Month LIBOR + 2.50%), due 4/18/23 |
1,274,706 | 1,269,394 | |||||
| 2018 Term Loan B 5.294% (1 Month LIBOR + 3.25%), due 4/18/25 |
469,840 | 470,281 | |||||
| Life Time Fitness, Inc. 2017 Term Loan B 4.874% (3 Month LIBOR + 2.75%), due 6/10/22 |
2,791,836 | 2,791,255 | |||||
| Lions Gate Capital Holdings LLC 2018 Term Loan B 4.294% (1 Month LIBOR + 2.25%), due 3/24/25 |
2,156,506 | 2,149,091 | |||||
| Marriott Ownership Resorts, Inc. 2018 Term Loan B 4.294% (1 Month LIBOR + 2.25%), due 8/29/25 |
4,179,750 | 4,197,167 | |||||
| TKC Holdings, Inc. 2017 1st Lien Term Loan 5.80% (1 Month LIBOR + 3.75%), due 2/1/23 |
2,032,317 | 1,993,364 | |||||
| Travel Leaders Group LLC 2018 Term Loan B 6.046% (1 Month LIBOR + 4.00%), due 1/25/24 |
1,678,750 | 1,676,652 | |||||
| William Morris Endeavor Entertainment LLC 2018 1st Lien Term Loan 4.80% (1 Month LIBOR + 2.75%), due 5/18/25 |
2,681,652 | 2,602,878 | |||||
| 24,477,584 | |||||||
| Machinery (Non-Agriculture, Non-Construct & Non-Electronic) 1.3% | |||||||
| Altra Industrial Motion Corp. 2018 Term Loan B 4.044% (1 Month LIBOR + 2.00%), due 10/1/25 |
3,261,923 | 3,256,485 | |||||
| Columbus McKinnon Corp. 2018 Term Loan B 4.604% (3 Month LIBOR + 2.50%), due 1/31/24 |
963,595 | 966,004 | |||||
| CPM Holdings, Inc. | |||||||
| 2018 1st Lien Term Loan 5.794% (1 Month LIBOR + 3.75%), due 11/15/25 |
1,488,750 | 1,462,697 | |||||
| 2018 2nd Lien Term Loan 10.294% (1 Month LIBOR + 8.25%), due 11/15/26 |
1,000,000 | 982,500 | |||||
| Rexnord LLC 2017 Term Loan B 4.044% (1 Month LIBOR + 2.00%), due 8/21/24 |
1,192,155 | 1,198,448 | |||||
| Terex Corp. 2019 Term Loan B1 4.794% (1 Month LIBOR + 2.75%), due 1/31/24 |
746,250 | 747,649 | |||||
| Welbilt, Inc. 2018 Term Loan B 4.544% (1 Month LIBOR + 2.50%), due 10/23/25 |
2,284,178 | 2,277,040 | |||||
| 10,890,823 | |||||||
| Manufacturing 0.3% | |||||||
| Advanced Drainage Systems, Inc. Term Loan B TBD, due 9/19/26 |
750,000 | 752,812 | |||||
| EWT Holdings III Corp. 2017 Repriced Term Loan 5.044% (1 Month LIBOR + 3.00%), due 12/20/24 |
2,235,430 | 2,242,416 | |||||
| 2,995,228 | |||||||
| Mining, Steel, Iron & Non-Precious Metals 1.5% | |||||||
| American Rock Salt Co. LLC 2018 1st Lien Term Loan 5.794% (1 Month LIBOR + 3.75%), due 3/21/25 |
1,628,426 | 1,628,426 | |||||
| Covia Holdings Corp. Term Loan 6.313% (3 Month LIBOR + 4.00%), due 6/1/25 |
1,410,714 | 1,145,500 | |||||
| Gates Global LLC 2017 Repriced Term Loan B 4.794% (1 Month LIBOR + 2.75%), due 4/1/24 |
2,412,824 | 2,376,631 | |||||
| GrafTech Finance, Inc. 2018 Term Loan B 5.544% (1 Month LIBOR + 3.50%), due 2/12/25 |
2,758,333 | 2,677,881 | |||||
| HFOTCO LLC 2018 Term Loan B 4.80% (1 Month LIBOR + 2.75%), due 6/26/25 |
790,000 | 783,087 | |||||
| Keane Group Holdings LLC 2018 1st Lien Term Loan 5.813% (1 Month LIBOR + 3.75%), due 5/25/25 |
987,500 | 967,750 | |||||
| MRC Global (US) Inc. 2018 1st Lien Term Loan B 5.044% (1 Month LIBOR + 3.00%), due 9/20/24 |
1,473,750 | 1,471,908 | |||||
| U.S. Silica Co. 2018 Term Loan B 6.063% (1 Month LIBOR + 4.00%), due 5/1/25 |
1,477,470 | 1,393,993 | |||||
| 12,445,176 | |||||||
| Oil & Gas 1.2% | |||||||
| Apergy Corp. 2018 1st Lien Term Loan 4.563% (3 Month LIBOR + 2.50%), due 5/9/25 |
426,506 | 426,684 | |||||
| GIP III Stetson I, L.P. 2018 Term Loan B 6.291% (1 Month LIBOR + 4.25%), due 7/18/25 |
1,663,781 | 1,622,187 | |||||
| HGIM Corp. 2018 Exit Term Loan 8.034% (3 Month LIBOR + 6.00%), due 7/2/23 |
110,172 | 96,401 | |||||
| Lucid Energy Group II LLC 2018 1st Lien Term Loan 5.044% (1 Month LIBOR + 3.00%), due 2/17/25 |
1,379,000 | 1,295,111 | |||||
| McDermott Technology Americas, Inc. 2018 1st Lien Term Loan 7.104% (3 Month LIBOR + 5.00%), due 5/9/25 |
1,472,525 | 929,736 | |||||
| Medallion Midland Acquisition LLC 1st Lien Term Loan 5.294% (1 Month LIBOR + 3.25%), due 10/30/24 |
589,500 | 571,324 | |||||
| PES Holdings LLC (f) | |||||||
| 2018 Term Loan C 6.745% (PIK + 3.00%), due 12/31/22 (c)(e) |
1,065,902 | 266,476 | |||||
| 2018 Term Loan A 12.25% (3 Month LIBOR + 6.25%), due 12/31/22 |
733,559 | 605,186 | |||||
| Prairie ECI Acquiror L.P. Term Loan B 6.854% (3 Month LIBOR + 4.75%), due 3/11/26 |
1,243,750 | 1,218,356 | |||||
| Seadrill Partners Finco LLC Term Loan B 8.104% (3 Month LIBOR + 6.00%), due 2/21/21 (f) |
1,877,807 | 1,043,122 | |||||
| Summit Midstream Partners Holdings LLC Term Loan B 8.044% (1 Month LIBOR + 6.00%), due 5/13/22 |
611,760 | 596,848 | |||||
| Traverse Midstream Partners LLC 2017 Term Loan 6.05% (1 Month LIBOR + 4.00%), due 9/27/24 |
1,320,000 | 1,158,300 | |||||
| 9,829,731 | |||||||
| Personal & Nondurable Consumer Products (Manufacturing Only) 1.2% | |||||||
| American Builders & Contractors Supply Co., Inc. 2018 Term Loan B 4.044% (1 Month LIBOR + 2.00%), due 10/31/23 |
2,098,688 | 2,095,802 | |||||
| Prestige Brands, Inc. Term Loan B4 4.044% (1 Month LIBOR + 2.00%), due 1/26/24 |
542,879 | 543,287 | |||||
| Revlon Consumer Products Corp. | |||||||
| 2016 Term Loan B 5.60% (1 Month LIBOR + 3.50%), due 9/7/23 |
6,458 | 4,904 | |||||
| 2016 Term Loan B 5.62% (3 Month LIBOR + 3.50%), due 9/7/23 |
2,499,375 | 1,897,963 | |||||
| SRAM LLC | |||||||
| Delayed Draw Term Loan TBD (1 Week LIBOR + 1.375%), due 3/15/24 |
1,000,000 | 1,003,750 | |||||
| 2018 Term Loan B 4.83% (1 Week LIBOR + 2.75%), due 3/15/24 |
2,621,597 | 2,624,874 | |||||
| Varsity Brands, Inc. 2017 Term Loan B 5.544% (1 Month LIBOR + 3.50%), due 12/15/24 |
1,965,025 | 1,879,055 | |||||
| 10,049,635 | |||||||
| Personal Transportation 0.2% | |||||||
| Uber Technologies 2018 Incremental Term Loan 5.554% (1 Month LIBOR + 3.50%), due 7/13/23 |
1,657,166 | 1,642,148 | |||||
| Personal, Food & Miscellaneous Services 1.7% | |||||||
| Aramark Services, Inc. 2018 Term Loan B3 3.794% (1 Month LIBOR + 1.75%), due 3/11/25 |
3,932,663 | 3,940,036 | |||||
| Golden Nugget, Inc. | |||||||
| 2017 Incremental Term Loan 4.79% (1 Month LIBOR + 2.75%), due 10/4/23 |
1,648,122 | 1,643,544 | |||||
| 2017 Incremental Term Loan 4.81% (1 Month LIBOR + 2.75%), due 10/4/23 |
1,327,744 | 1,324,055 | |||||
| IRB Holding Corp. 1st Lien Term Loan 5.55% (3 Month LIBOR + 3.25%), due 2/5/25 |
2,472,450 | 2,459,573 | |||||
| KFC Holding Co. 2018 Term Loan B 3.791% (1 Month LIBOR + 1.75%), due 4/3/25 |
2,910,823 | 2,908,092 | |||||
| Weight Watchers International, Inc. 2017 Term Loan B 6.86% (3 Month LIBOR + 4.75%), due 11/29/24 |
2,613,020 | 2,617,919 | |||||
| 14,893,219 | |||||||
| Printing & Publishing 0.9% | |||||||
| Getty Images, Inc. 2019 1st Lien Term Loan 6.563% (1 Month LIBOR + 4.50%), due 2/19/26 |
3,018,864 | 2,999,996 | |||||
| McGraw-Hill Global Education Holdings LLC 2016 Term Loan B 6.044% (1 Month LIBOR + 4.00%), due 5/4/22 |
1,161,055 | 1,081,232 | |||||
| Prometric Holdings, Inc. 1st Lien Term Loan 5.05% (1 Month LIBOR + 3.00%), due 1/29/25 |
1,504,670 | 1,478,338 | |||||
| Severin Acquisition, LLC 2018 Term Loan B 5.459% (3 Month LIBOR + 3.25%), due 8/1/25 |
1,985,000 | 1,947,781 | |||||
| 7,507,347 | |||||||
| Radio and TV Broadcasting 0.5% | |||||||
| Nexstar Broadcasting, Inc. 2019 Term Loan B4 4.807% (3 Month LIBOR + 2.75%), due 9/18/26 |
4,375,000 | 4,395,051 | |||||
| Retail Store 3.1% | |||||||
| Alphabet Holding Co., Inc. 2017 1st Lien Term Loan 5.544% (1 Month LIBOR + 3.50%), due 9/26/24 |
2,058,000 | 1,903,650 | |||||
| Bass Pro Group LLC Term Loan B 7.044% (1 Month LIBOR + 5.00%), due 9/25/24 |
2,940,000 | 2,826,992 | |||||
| Belk, Inc. Term Loan 6.803% (2 Month LIBOR + 4.75%), due 12/12/22 |
1,414,276 | 1,032,422 | |||||
| BJ’s Wholesale Club, Inc. 2017 1st Lien Term Loan 4.786% (1 Month LIBOR + 2.75%), due 2/3/24 |
3,361,704 | 3,368,578 | |||||
| CNT Holdings III Corp. 2017 Term Loan 5.20% (3 Month LIBOR + 3.00%), due 1/22/23 |
1,244,529 | 1,231,695 | |||||
| EG Finco, Ltd. 2018 Term Loan 6.104% (3 Month LIBOR + 4.00%), due 2/7/25 |
1,477,509 | 1,458,579 | |||||
| Harbor Freight Tools USA, Inc. 2018 Term Loan B 4.544% (1 Month LIBOR + 2.50%), due 8/18/23 |
1,420,712 | 1,378,683 | |||||
| HD Supply, Inc. Term Loan B5 3.794% (1 Month LIBOR + 1.75%), due 10/17/23 |
1,994,962 | 1,995,960 | |||||
| Leslie’s Poolmart, Inc. 2016 Term Loan 5.544% (1 Month LIBOR + 3.50%), due 8/16/23 |
1,539,345 | 1,463,660 | |||||
| Michaels Stores, Inc. | |||||||
| 2018 Term Loan B 4.54% (1 Month LIBOR + 2.50%), due 1/30/23 |
2,201,417 | 2,149,133 | |||||
| 2018 Term Loan B 4.55% (1 Month LIBOR + 2.50%), due 1/30/23 |
790,602 | 771,825 | |||||
| Party City Holdings, Inc. 2018 Term Loan B 4.55% (1 Month LIBOR + 2.50%), due 8/19/22 |
1,826,954 | 1,809,447 | |||||
| Petco Animal Supplies, Inc. 2017 Term Loan B 5.506% (3 Month LIBOR + 3.25%), due 1/26/23 |
2,573,333 | 1,941,258 | |||||
| PetSmart, Inc. Consenting Term Loan 6.04% (1 Month LIBOR + 4.00%), due 3/11/22 |
1,898,904 | 1,850,640 | |||||
| Sally Holdings LLC Term Loan B2 4.50% (6 Month LIBOR + 4.50%), due 7/5/24 |
1,166,667 | 1,136,042 | |||||
| 26,318,564 | |||||||
| Telecommunications 3.1% | |||||||
| Avaya, Inc. | |||||||
| 2018 Term Loan B 6.28% (1 Month LIBOR + 4.25%), due 12/15/24 |
923,077 | 874,615 | |||||
| 2018 Term Loan B 6.43% (2 Month LIBOR + 4.25%), due 12/15/24 |
550,673 | 521,763 | |||||
| CenturyLink, Inc. 2017 Term Loan B 4.794% (1 Month LIBOR + 2.75%), due 1/31/25 |
2,959,937 | 2,937,122 | |||||
| CSC Holdings LLC | |||||||
| 2018 Term Loan B 4.528% (1 Month LIBOR + 2.50%), due 1/25/26 |
3,703,125 | 3,703,895 | |||||
| 2019 Term Loan B 5.028% (1 Month LIBOR + 3.00%), due 4/15/27 |
997,500 | 998,248 | |||||
| Frontier Communications Corp. 2017 Term Loan B1 5.80% (1 Month LIBOR + 3.75%), due 6/15/24 |
1,466,250 | 1,462,584 | |||||
| Microchip Technology, Inc. 2018 Term Loan B 4.05% (1 Month LIBOR + 2.00%), due 5/29/25 |
1,149,783 | 1,154,095 | |||||
| Rackspace Hosting, Inc. 2017 Incremental 1st Lien Term Loan 5.287% (3 Month LIBOR + 3.00%), due 11/3/23 |
881,955 | 806,989 | |||||
| Radiate Holdco LLC 1st Lien Term Loan 5.044% (1 Month LIBOR + 3.00%), due 2/1/24 |
3,603,520 | 3,585,503 | |||||
| SBA Senior Finance II LLC 2018 Term Loan B 4.05% (1 Month LIBOR + 2.00%), due 4/11/25 |
1,812,711 | 1,812,711 | |||||
| Sprint Communications, Inc. | |||||||
| 1st Lien Term Loan B 4.563% (1 Month LIBOR + 2.50%), due 2/2/24 |
1,950,000 | 1,933,912 | |||||
| 2018 Term Loan B 5.063% (1 Month LIBOR + 3.00%), due 2/2/24 |
3,970,000 | 3,958,420 | |||||
| Syniverse Holdings, Inc. 2018 1st Lien Term Loan 7.028% (3 Month LIBOR + 5.00%), due 3/9/23 |
1,662,188 | 1,559,340 | |||||
| West Corp. 2017 Term Loan 6.044% (1 Month LIBOR + 4.00%), due 10/10/24 |
1,732,901 | 1,540,838 | |||||
| 26,850,035 | |||||||
| Utilities 4.0% | |||||||
| Astoria Energy LLC Term Loan B 6.05% (1 Month LIBOR + 4.00%), due 12/24/21 |
2,286,922 | 2,285,207 | |||||
| Brookfield WEC Holdings, Inc. 2018 1st Lien Term Loan 5.544% (1 Month LIBOR + 3.50%), due 8/1/25 |
2,979,994 | 2,986,699 | |||||
| Calpine Corp. | |||||||
| Term Loan B5 4.61% (3 Month LIBOR + 2.50%), due 1/15/24 |
1,689,298 | 1,695,633 | |||||
| Term Loan B9 4.86% (3 Month LIBOR + 2.75%), due 4/5/26 |
3,142,125 | 3,151,291 | |||||
| Compass Power Generation LLC 2018 Term Loan B 5.544% (1 Month LIBOR + 3.50%), due 12/20/24 |
671,319 | 671,319 | |||||
| Edgewater Generation LLC Term Loan 5.794% (1 Month LIBOR + 3.75%), due 12/13/25 |
3,977,475 | 3,924,773 | |||||
| EIF Channelview Cogeneration LLC 2018 Term Loan B 6.30% (1 Month LIBOR + 4.25%), due 5/3/25 |
1,298,856 | 1,307,516 | |||||
| ExGen Renewables IV LLC Term Loan B 5.13% (3 Month LIBOR + 3.00%), due 11/28/24 |
938,999 | 916,698 | |||||
| Granite Acquisition, Inc. | |||||||
| Term Loan B 5.604% (3 Month LIBOR + 3.50%), due 12/19/21 |
2,912,223 | 2,915,863 | |||||
| Term Loan C 5.604% (3 Month LIBOR + 3.50%), due 12/19/21 |
195,342 | 195,586 | |||||
| 2nd Lien Term Loan B 9.354% (3 Month LIBOR + 7.25%), due 12/19/22 |
696,328 | 694,761 | |||||
| Helix Gen Funding LLC Term Loan B 5.794% (1 Month LIBOR + 3.75%), due 6/2/24 |
3,853,252 | 3,679,856 | |||||
| Oregon Clean Energy LLC Term Loan 5.794% (1 Month LIBOR + 3.75%), due 3/1/26 |
2,708,391 | 2,705,005 | |||||
| PG&E Corp. DIP Term Loan 4.32% (1 Month LIBOR + 2.25%), due 12/31/20 |
2,812,500 | 2,816,016 | |||||
| Southeast PowerGen LLC Term Loan B 5.55% (1 Month LIBOR + 3.50%), due 12/2/21 |
433,088 | 413,057 | |||||
| TEX Operations Co. LLC Exit Term Loan B 4.044% (1 Month LIBOR + 2.00%), due 8/4/23 |
2,167,571 | 2,174,345 | |||||
| Vistra Energy Corp. 1st Lien Term Loan B3 4.02% (1 Month LIBOR + 2.00%), due 12/31/25 |
748,049 | 749,802 | |||||
| Vistra Operations Co. LLC 1st Lien Term Loan B3 4.04% (1 Month LIBOR + 2.00%), due 12/31/25 |
1,106,951 | 1,109,546 | |||||
| 34,392,973 | |||||||
| Total Floating Rate Loans (Cost $709,944,390) |
694,794,194 | ||||||
| Foreign Floating Rate Loans 11.5% (d) | |||||||
| Aerospace & Defense 0.0% ‡ | |||||||
| 1199169 B.C. Unlimited Liability Co. 2019 Term Loan B2 6.104% (3 Month LIBOR + 4.00%), due 4/6/26 |
310,800 | 312,160 | |||||
| Airlines 0.1% | |||||||
| WestJet Airlines, Ltd. Term Loan B TBD, due 8/6/26 |
1,250,000 | 1,258,483 | |||||
| Auto Manufacturers 0.4% | |||||||
| Panther BF Aggregator 2 L.P. Term Loan B 5.544% (1 Month LIBOR + 3.50%), due 4/30/26 |
3,750,000 | 3,712,500 | |||||
| Beverage, Food & Tobacco 0.7% | |||||||
| JBS USA Lux S.A. 2019 Term Loan B 4.544% (1 Month LIBOR + 2.50%), due 5/1/26 |
3,644,685 | 3,660,630 | |||||
| Sunshine Investments B.V. USD Term Loan B3 5.408% (3 Month LIBOR + 3.25%), due 3/28/25 |
2,000,000 | 2,002,500 | |||||
| 5,663,130 | |||||||
| Broadcasting & Entertainment 0.5% | |||||||
| Altice France S.A. Term Loan B12 5.715% (1 Month LIBOR + 3.687%), due 1/31/26 |
982,475 | 973,879 | |||||
| Numericable Group S.A. Term Loan B11 4.794% (1 Month LIBOR + 2.75%), due 7/31/25 |
2,927,600 | 2,852,946 | |||||
| 3,826,825 | |||||||
| Chemicals, Plastics & Rubber 1.1% | |||||||
| Allnex (Luxembourg) & Cy S.C.A. 2016 Term Loan B2 5.394% (3 Month LIBOR + 3.25%), due 9/13/23 |
1,261,328 | 1,204,568 | |||||
| Alpha 3 B.V. 2017 Term Loan B1 5.104% (3 Month LIBOR + 3.00%), due 1/31/24 |
1,749,827 | 1,723,580 | |||||
| Diamond (BC) B.V. Term Loan 5.256% (3 Month LIBOR + 3.00%), due 9/6/24 |
1,637,500 | 1,557,672 | |||||
| Flint Group GmbH Term Loan C 5.283% (3 Month LIBOR + 3.00%), due 9/7/21 |
292,000 | 245,523 | |||||
| Oxea Holding Drei GmbH 2017 Term Loan B2 5.625% (1 Month LIBOR + 3.50%), due 10/14/24 |
2,281,250 | 2,271,269 | |||||
| Starfruit Finco B.V. 2018 Term Loan B 5.292% (1 Month LIBOR + 3.25%), due 10/1/25 |
2,238,750 | 2,189,077 | |||||
| 9,191,689 | |||||||
| Diversified/Conglomerate Manufacturing 0.6% | |||||||
| AI Ladder (Luxembourg) Subco S.A R.L. 2018 Term Loan 6.604% (3 Month LIBOR + 4.50%), due 7/9/25 |
811,043 | 742,357 | |||||
| Bright Bidco B.V. | |||||||
| 2018 Term Loan B 5.54% (1 Month LIBOR + 3.50%), due 6/30/24 |
638,197 | 299,041 | |||||
| 2018 Term Loan B 5.60% (3 Month LIBOR + 3.50%), due 6/30/24 |
1,316,843 | 617,034 | |||||
| Garda World Security Corp. | |||||||
| 2017 Term Loan 5.63% (3 Month LIBOR + 3.50%), due 5/24/24 |
3,149,970 | 3,149,182 | |||||
| 2017 Term Loan 7.50% (PRIME + 2.50%), due 5/24/24 |
8,077 | 8,075 | |||||
| 4,815,689 | |||||||
| Ecological 0.2% | |||||||
| GFL Environmental, Inc. 2018 Term Loan B 5.044% (1 Month LIBOR + 3.00%), due 5/30/25 |
1,580,438 | 1,565,028 | |||||
| Electronics 0.8% | |||||||
| Avast Software B.V. 2018 Term Loan B 4.354% (3 Month LIBOR + 2.25%), due 9/30/23 |
734,663 | 738,221 | |||||
| ION Trading Technologies S.A R.L. Incremental Term Loan B 6.064% (3 Month LIBOR + 4.00%), due 11/21/24 |
1,974,874 | 1,905,754 | |||||
| Oberthur Technologies S.A. 2016 Term Loan B1 5.854% (3 Month LIBOR + 3.75%), due 1/10/24 |
1,098,053 | 1,066,942 | |||||
| SS&C Technologies Holdings Europe S.A R.L. 2018 Term Loan B4 4.294% (1 Month LIBOR + 2.25%), due 4/16/25 |
1,900,051 | 1,906,781 | |||||
| Trader Corp. 2017 Term Loan B 5.044% (1 Month LIBOR + 3.00%), due 9/28/23 |
1,283,127 | 1,276,711 | |||||
| 6,894,409 | |||||||
| Finance 0.8% | |||||||
| Inmarsat Finance PLC Term Loan B TBD, due 9/23/26 |
6,750,000 | 6,637,498 | |||||
| Grocery 0.2% | |||||||
| Sunshine Luxembourg VII SARL 1st Lien Term Loan TBD, due 7/16/26 |
1,600,000 | 1,606,000 | |||||
| Healthcare, Education & Childcare 1.3% | |||||||
| Auris Luxembourg III S.A.R.L. 2019 Term Loan B2 5.794% (1 Month LIBOR + 3.75%), due 2/27/26 |
1,679,063 | 1,662,273 | |||||
| Endo Luxembourg Finance Co. I S.A R.L. 2017 Term Loan B 6.313% (1 Month LIBOR + 4.25%), due 4/29/24 |
3,789,047 | 3,436,665 | |||||
| Mallinckrodt International Finance S.A. Term Loan B 4.854% (3 Month LIBOR + 2.75%), due 9/24/24 |
1,050,473 | 794,859 | |||||
| Valeant Pharmaceuticals International, Inc. 2018 Term Loan B 5.039% (1 Month LIBOR + 3.00%), due 6/2/25 |
5,559,914 | 5,579,768 | |||||
| 11,473,565 | |||||||
| Hotels, Motels, Inns & Gaming 1.1% | |||||||
| Four Seasons Hotels, Ltd. New 1st Lien Term Loan 4.044% (1 Month LIBOR + 2.00%), due 11/30/23 |
2,465,894 | 2,476,902 | |||||
| Gateway Casinos & Entertainment, Ltd. 2018 Term Loan B 5.104% (3 Month LIBOR + 3.00%), due 3/13/25 |
1,584,962 | 1,560,197 | |||||
| GVC Holdings PLC 2018 Term Loan 4.446% (6 Month LIBOR + 2.25%), due 3/29/24 |
1,482,450 | 1,482,912 | |||||
| Stars Group Holdings B.V. 2018 Incremental Term Loan 5.604% (3 Month LIBOR + 3.50%), due 7/10/25 |
4,047,670 | 4,060,295 | |||||
| 9,580,306 | |||||||
| Leisure, Amusement, Motion Pictures & Entertainment 0.9% | |||||||
| Bombardier Recreational Products, Inc. | |||||||
| 2016 Term Loan B 4.044% (1 Month LIBOR + 2.00%), due 5/23/25 |
1,690,674 | 1,687,152 | |||||
| 2019 Incremental Term Loan B2 4.544% (1 Month LIBOR + 2.50%), due 5/23/25 |
1,666,667 | 1,673,612 | |||||
| Delta 2 (LUX) S.A.R.L. 2018 Term Loan 4.544% (1 Month LIBOR + 2.50%), due 2/1/24 |
3,568,089 | 3,519,028 | |||||
| DHX Media, Ltd. Term Loan B 5.794% (1 Month LIBOR + 3.75%), due 12/29/23 |
793,661 | 764,891 | |||||
| 7,644,683 | |||||||
| Machinery (Non-Agriculture, Non-Construct & Non-Electronic) 0.2% | |||||||
| Titan Acquisition, Ltd. 2018 Term Loan B 5.044% (1 Month LIBOR + 3.00%), due 3/28/25 |
1,846,875 | 1,767,613 | |||||
| Oil & Gas 0.1% | |||||||
| NorthRiver Midstream Finance L.P. 2018 Term Loan B 5.569% (3 Month LIBOR + 3.25%), due 10/1/25 |
1,188,000 | 1,170,180 | |||||
| Personal & Nondurable Consumer Products (Manufacturing Only) 0.2% | |||||||
| Array Canada, Inc. Term Loan B 7.104% (3 Month LIBOR + 5.00%), due 2/10/23 |
368,129 | 347,882 | |||||
| KIK Custom Products, Inc. 2015 Term Loan B 6.256% (3 Month LIBOR + 4.00%), due 5/15/23 |
1,350,000 | 1,277,438 | |||||
| 1,625,320 | |||||||
| Personal, Food & Miscellaneous Services 0.7% | |||||||
| 1011778 B.C. Unlimited Liability Co. Term Loan B3 4.294% (1 Month LIBOR + 2.25%), due 2/16/24 |
3,354,443 | 3,362,131 | |||||
| Jacobs Douwe Egberts International B.V. 2018 Term Loan B 4.125% (1 Month LIBOR + 2.00%), due 11/1/25 |
2,629,751 | 2,631,395 | |||||
| 5,993,526 | |||||||
| Printing & Publishing 0.5% | |||||||
| Springer Science & Business Media Deutschland GmbH Term Loan B13 5.544% (1 Month LIBOR + 3.50%), due 8/15/22 |
3,893,719 | 3,894,934 | |||||
| Retail Store 0.1% | |||||||
| EG Group, Ltd. 2018 Term Loan B 6.104% (3 Month LIBOR + 4.00%), due 2/7/25 |
1,182,000 | 1,166,856 | |||||
| Telecommunications 1.0% | |||||||
| Altice France S.A. 2018 Term Loan B13 6.028% (1 Month LIBOR + 4.00%), due 8/14/26 |
1,240,625 | 1,235,197 | |||||
| Intelsat Jackson Holdings S.A. 2017 Term Loan B3 5.804% (1 Month LIBOR + 3.75%), due 11/27/23 |
4,139,180 | 4,143,319 | |||||
| Telesat Canada Term Loan B4 4.61% (3 Month LIBOR + 2.50%), due 11/17/23 |
3,272,441 | 3,275,168 | |||||
| 8,653,684 | |||||||
| Total Foreign Floating Rate Loans (Cost $100,576,340) |
98,454,078 | ||||||
| Total Long-Term Bonds (Cost $846,046,392) |
829,405,759 | ||||||
| Shares | |||||||
| Affiliated Investment Company 0.3% | |||||||
| Fixed Income Fund 0.3% | |||||||
| MainStay MacKay High Yield Corporate Bond Fund Class I | 492,059 | 2,765,373 | |||||
| Total Affiliated Investment Company (Cost $2,792,371) |
2,765,373 | ||||||
| Common Stocks 0.5% | |||||||
| Communications Equipment 0.0% ‡ | |||||||
| Energy Future Holdings Corp. (e)(f)(i)(j) | 94,456 | 0 | |||||
| Millennium Corporate Trust (e)(f)(i)(j) | 1,243 | 0 | |||||
| Millennium Lender Trust (e)(f)(i)(j) | 1,324 | 0 | |||||
| 0 | |||||||
| Energy Equipment & Services 0.1% | |||||||
| Pacific Drilling S.A. (b)(j) | 49,911 | 195,152 | |||||
| Transocean, Ltd. (j) | 52,291 | 233,741 | |||||
| 428,893 | |||||||
| Hotels, Restaurants & Leisure 0.0% ‡ | |||||||
| Caesars Entertainment Corp. (j) | 19,323 | 225,306 | |||||
| Media 0.1% | |||||||
| Clear Channel Outdoor Holdings, Inc. (j) | 43,745 | 110,237 | |||||
| iHeartMedia, Inc., Class A (b)(j) | 18,603 | 279,045 | |||||
| 389,282 | |||||||
| Metals & Mining 0.3% | |||||||
| AFGlobal Corp. (e)(f)(i)(j) | 45,694 | 2,419,497 | |||||
| Oil & Gas 0.0% ‡ | |||||||
| HGIM Corp. (e)(f)(i)(j) | 527 | 6,588 | |||||
| Templar Energy Corp., Class B (e)(f)(i)(j) | 36,393 | 0 | |||||
| Templar Energy LLC, Class A (e)(f)(i)(j) | 36,029 | 0 | |||||
| 6,588 | |||||||
| Oil, Gas & Consumable Fuels 0.0% ‡ | |||||||
| Ascent Resources (e)(f)(i)(j) | 122,031 | 350,839 | |||||
| Philadelphia Energy Solutions, Inc., Class A (e)(f)(i)(j) | 52,608 | 9,864 | |||||
| 360,703 | |||||||
| Total Common Stocks (Cost $5,050,435) |
3,830,269 | ||||||
| Preferred Stocks 0.0% | |||||||
| Oil & Gas 0.0% | |||||||
| Templar Energy Corp., (8.00% PIK) (c)(e)(f)(i)(j) | 54,340 | 0 | |||||
| Total Preferred Stocks (Cost $227,580) |
0 | ||||||
| Number of Rights |
|||||||
| Rights 0.0%‡ | |||||||
| Independent Power & Renewable Electricity Producers 0.0% ‡ | |||||||
| Vistra Energy Corp. (e)(i)(j) | 57,684 | 51,916 | |||||
| Total Rights (Cost $47,301) |
51,916 | ||||||
| Number of Warrants |
|||||||
| Warrants 0.0%‡ | |||||||
| Oil & Gas 0.0% ‡ | |||||||
| HGIM Corp. Expires 7/2/43 (e)(f)(i)(j) |
2,358 | 29,475 | |||||
| Oil, Gas & Consumable Fuels 0.0% ‡ | |||||||
| Ascent Resources (e)(f)(i)(j) | |||||||
| 1st Lien Warrants Expires 3/30/23 |
11,684 | 876 | |||||
| 2nd Lien Tranche A Expires 3/30/23 |
15,022 | 1,878 | |||||
| 2nd Lien Tranche B Expires 3/30/23 |
31,000 | 930 | |||||
| 3,684 | |||||||
| Total Warrants (Cost $100,718) |
33,159 | ||||||
| Principal Amount |
|||||||
| Short-Term Investments 4.7% | |||||||
| Repurchase Agreement 0.4% | |||||||
| Fixed Income Clearing Corp. 0.25%, dated 9/30/19 due 10/1/19 Proceeds at Maturity $3,165,368 (Collateralized by a United States Treasury Note with a rate of 2.375% and a maturity date of 3/15/21, with a Principal Amount of $3,200,000 and a Market Value of $3,232,074) |
$ | 3,165,346 | 3,165,346 | ||||
| Total Repurchase Agreement (Cost $3,165,346) |
3,165,346 | ||||||
| U.S. Government & Federal Agencies 4.0% | |||||||
| 1.878%, due 10/15/19 | 10,385,000 | 10,376,679 | |||||
| 1.996%, due 10/8/19 | 23,511,000 | 23,502,010 | |||||
| Total U.S. Government & Federal Agencies (Cost $33,878,689) |
33,878,689 | ||||||
| Unaffiliated Investment Company 0.3% | |||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (k)(l) | 2,784,732 | 2,784,732 | |||||
| Total Unaffiliated Investment Company (Cost $2,784,732) |
2,784,732 | ||||||
| Total Short-Term Investments (Cost $39,828,767) |
39,828,767 | ||||||
| Total Investments (Cost $894,093,564) |
102.7 | % | 875,915,243 | ||||
| Other Assets, Less Liabilities | (2.7 | ) | (22,936,694 | ) | |||
| Net Assets | 100.0 | % | $ | 852,978,549 | |||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
| (b) | All or a portion of this security was held on loan. As of September 30, 2019, the market value of securities loaned was $2,739,712 and the Portfolio received cash collateral with a value of $2,784,732. |
| (c) | PIK (“Payment-in-Kind”) - issuer may pay interest or dividends with additional securities and/or in cash. |
| (d) | Floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (e) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
| (f) | Illiquid security - As of September 30, 2019, the total market value of these securities deemed illiquid under procedures approved by the Board of Trustees was $9,988,030, which represented 1.2% of the Portfolio’s net assets. |
| (g) | Issue in non-accrual status. |
| (h) | Issue in default. |
| (i) | Fair valued security - Represents fair value as measured in good faith under procedures approved by the Board of Trustees. As of September 30, 2019, the total market value of fair valued securities was $2,871,863, which represented 0.3% of the Portfolio’s net assets. |
| (j) | Non-income producing security. |
| (k) | Represents security purchased with cash collateral received for securities on loan. |
| (l) | Current yield as of September 30, 2019. |
| (m) | Interest rate shown represents yield to maturity. |
The following abbreviations are used in the preceding pages:
| LIBOR | —London Interbank Offered Rate |
| TBD | —To Be Determined |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio’s assets:
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Total | |||||||||
| Asset Valuation Inputs | |||||||||||||
| Investments in Securities (a) | |||||||||||||
| Long-Term Bonds | |||||||||||||
| Corporate Bonds | $ | — | $ | 36,157,487 | $ | — | $ | 36,157,487 | |||||
| Floating Rate Loans (b) | — | 689,018,760 | 5,775,434 | 694,794,194 | |||||||||
| Foreign Floating Rate Loans | — | 98,454,078 | — | 98,454,078 | |||||||||
| Total Long-Term Bonds | — | 823,630,325 | 5,775,434 | 829,405,759 | |||||||||
| Affiliated Investment Company | |||||||||||||
| Fixed Income Funds | 2,765,373 | — | — | 2,765,373 | |||||||||
| Common Stocks (c) | 1,043,481 | — | 2,786,788 | 3,830,269 | |||||||||
| Preferred Stocks (d) | — | — | 0 | 0 | |||||||||
| Rights (e) | — | — | 51,916 | 51,916 | |||||||||
| Warrants (f) | — | — | 33,159 | 33,159 | |||||||||
| Short-Term Investments | |||||||||||||
| Repurchase Agreements | — | 3,165,346 | — | 3,165,346 | |||||||||
| U.S. Government & Federal Agencies | — | 33,878,689 | — | 33,878,689 | |||||||||
| Unaffiliated Investment Company | 2,784,732 | — | — | 2,784,732 | |||||||||
| Total Short-Term Investments | 2,784,732 | 37,044,035 | — | 39,828,767 | |||||||||
| Total Investments in Securities | $ | 6,593,586 | $ | 860,674,360 | $ | 8,647,297 | $ | 875,915,243 | |||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
| (b) | The Level 3 securities valued at $5,775,434 are held within the Floating Rate Loans section of the Portfolio of Investments were valued by a pricing service without adjustment. |
| (c) | The Level 3 securities valued at $0, $2,419,497, $6,588 and $360,703 are held in Communications Equipment, Metals & Mining, Oil & Gas and Oil, Gas & Consumable Fuels, respectively, within the Common Stocks section of the Portfolio of Investments. |
| (d) | The Level 3 security valued at $0 is held in Oil & Gas within the Preferred Stocks section of the Portfolio of Investments. |
| (e) | The Level 3 security valued at $51,916 is held in Independent Power & Renewable Electricity Producers within the Rights section of the Portfolio of Investments. |
| (f) | The Level 3 securities valued at $29,475 and $3,684 are held in Oil & Gas and Oil, Gas & Consumable Fuels, respectively within the Warrants section of the Portfolio of Investments. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
| Investments in Securities | Balance as of December 31, 2018 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases | Sales (a) | Transfers in to Level 3 |
Transfers out of Level 3 |
Balance as of September 30, 2019 |
Change in Unrealized Appreciation (Depreciation) from Investments Held at September 30, 2019 |
|||||||||||||||||||||
| Long-Term Bonds | |||||||||||||||||||||||||||||||
| Floating Rate Loans | $ | 48,225,782 | $ | 30,230 | $ | 7,261 | $ | (446,216 | ) | $ | 1,683,234 | $ | (14,905,418 | ) | $ | 2,185,082 | $ | (31,004,521 | ) | $ | 5,775,434 | $ | (775,445 | ) | |||||||
| Foreign Floating Rate Loans | 7,547,427 | - | - | - | - | - | - | (7,547,427 | ) | - | - | ||||||||||||||||||||
| Common Stocks | 3,235,335 | - | - | (448,547 | ) | - | - | - | - | 2,786,788 | (448,547 | ) | |||||||||||||||||||
| Preferred Stocks | 66,963 | - | - | (66,963 | ) | - | - | - | - | - | - | ||||||||||||||||||||
| Rights | 54,223 | - | - | (2,307 | ) | - | - | - | - | 51,916 | (2,307 | ) | |||||||||||||||||||
| Warrants | 101,766 | - | - | (68,607 | ) | - | - | - | - | 33,159 | (68,607 | ) | |||||||||||||||||||
| Total | $ | 59,231,496 | $ | 30,230 | $ | 7,261 | $ | (1,032,640 | ) | $ | 1,683,234 | $ | (14,905,418 | ) | $ | 2,185,082 | $ | (38,551,948 | ) | $ | 8,647,297 | $ | (1,294,906 | ) | |||||||
(a) Sales include principal reductions.
As of September 30, 2019, securities with a market value of $2,185,082 transferred from Level 2 to Level 3 as the fair value obtained from an independent pricing service, utilized significant unobservable inputs. As of December 31, 2018, the fair value obtained for these securities, as determined by an independent pricing service, utilized significant other observable inputs.
As of September 30, 2019, securities with a market value of $38,551,948 transferred from Level 3 to Level 2 as the fair value obtained from an independent pricing service, utilized significant other observable inputs. As of December 31, 2018, the fair value obtained for these securities, as determined by an independent pricing service, utilized significant unobservable inputs.
MainStay VP Growth Allocation Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Affiliated Investment Companies 96.1% † | ||||||||
| Equity Funds 96.1% | ||||||||
| IQ 50 Percent Hedged FTSE International ETF (a) | 1,069,338 | $ | 21,750,014 | |||||
| IQ 500 International ETF (a) | 1,388,270 | 37,058,479 | ||||||
| IQ Chaikin U.S. Large Cap ETF (a) | 1,876,736 | 46,805,796 | ||||||
| IQ Chaikin U.S. Small Cap ETF (a) | 584,056 | 14,735,733 | ||||||
| IQ Global Resources ETF (a) | 616,092 | 16,339,930 | ||||||
| MainStay Epoch Capital Growth Fund Class I (a) | 811,627 | 10,413,172 | ||||||
| MainStay Epoch International Choice Fund Class I (a) | 1,654,027 | 56,881,981 | ||||||
| MainStay Epoch U.S. All Cap Fund Class R6 (a) | 2,486,699 | 71,020,133 | ||||||
| MainStay MacKay International Opportunities Fund Class I (a) | 5,274,424 | 40,085,621 | ||||||
| MainStay MacKay U.S. Equity Opportunities Fund Class I (a) | 3,590,752 | 30,557,298 | ||||||
| MainStay MAP Equity Fund Class I (a) | 1,794,582 | 76,538,903 | ||||||
| MainStay VP Eagle Small Cap Growth Portfolio Initial Class (a) | 3,710,568 | 51,352,373 | ||||||
| MainStay VP Emerging Markets Equity Portfolio Initial Class (a) | 6,658,996 | 57,186,694 | ||||||
| MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class (a) | 4,823,115 | 80,221,046 | ||||||
| MainStay VP Large Cap Growth Portfolio Initial Class (a) | 3,426,198 | 90,765,609 | ||||||
| MainStay VP MacKay Common Stock Portfolio Initial Class (a) | 1,419,867 | 41,713,539 | ||||||
| MainStay VP MacKay Growth Portfolio Initial Class (a) | 2,326,355 | 76,630,893 | ||||||
| MainStay VP MacKay International Equity Portfolio Initial Class (a) | 1,188,240 | 20,128,112 | ||||||
| MainStay VP MacKay Mid Cap Core Portfolio Initial Class (a) | 3,973,743 | 55,320,662 | ||||||
| MainStay VP MacKay S&P 500 Index Portfolio Initial Class | 19,216 | 1,113,088 | ||||||
| MainStay VP MacKay Small Cap Core Portfolio Initial Class (a) | 4,342,499 | 46,240,580 | ||||||
| MainStay VP T. Rowe Price Equity Income Portfolio Initial Class (a) | 6,364,745 | 85,695,501 | ||||||
| Total Equity Funds (Cost $1,002,122,665) | 1,028,555,157 | |||||||
| Total Affiliated Investment Companies (Cost $1,002,122,665) | 1,028,555,157 | |||||||
| Short-Term Investment 4.0% | ||||||||
| Affiliated Investment Company 4.0% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (b) | 42,935,052 | 42,935,052 | ||||||
| Total Short-Term Investment (Cost $42,935,052) | 42,935,052 | |||||||
| Total Investments (Cost $1,045,057,717) | 100.1 | % | 1,071,490,209 | |||||
| Other Assets, Less Liabilities | (0.1 | ) | (833,226 | ) | ||||
| Net Assets | 100.0 | % | $ | 1,070,656,983 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| (a) | As of September 30, 2019, the Portfolio's ownership exceeds 5% of the outstanding shares of the Underlying Portfolio's/Fund's share class. |
| (b) | Current yield as of September 30, 2019. |
The following abbreviations are used in the preceding pages:
| ETF | —Exchange-Traded Fund |
| FTSE | —Financial Times Stock Exchange |
The
following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's
assets:
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments (a) | ||||||||||||||||
| Affiliated Investment Companies | ||||||||||||||||
| Equity Funds | $ | 1,028,555,157 | $ | — | $ | — | $ | 1,028,555,157 | ||||||||
| Short-Term Investment | 42,935,052 | — | — | 42,935,052 | ||||||||||||
| Total Investments in Securities | $ | 1,071,490,209 | $ | — | $ | — | $ | 1,071,490,209 | ||||||||
| (a) | For a complete listing of investments, see the Portfolio of Investments. |
MainStay VP Income Builder Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Principal Amount | Value | |||||||
| Long-Term Bonds 53.0% † | ||||||||
| Asset-Backed Securities 1.6% | ||||||||
| Auto Floor Plan Asset-Backed Securities 0.4% | ||||||||
| Ford Credit Floorplan Master Owner Trust Series 2018-4, Class A 4.06%, due 11/15/30 | $ | 930,000 | $ | 1,028,822 | ||||
| Navistar Financial Dealer Note Master Owner Trust II Series 2018-1, Class A 2.775% (1 Month LIBOR + 0.63%), due 9/25/23 (a)(b) | 1,090,000 | 1,091,343 | ||||||
| 2,120,165 | ||||||||
| Automobile Asset-Backed Securities 0.5% | ||||||||
| Santander Retail Auto Lease Trust Series 2019-B, Class A3 2.30%, due 1/20/23 (a) | 680,000 | 683,948 | ||||||
| Toyota Auto Loan Extended Note Trust Series 2019-1A, Class A 2.56%, due 11/25/31 (a) | 755,000 | 771,701 | ||||||
| Volkswagen Auto Loan Enhanced Trust Series 2018-1, Class A4 3.15%, due 7/22/24 | 945,000 | 966,800 | ||||||
| World Omni Auto Receivables Trust Series 2019-A, Class A3 3.04%, due 5/15/24 | 665,000 | 679,806 | ||||||
| 3,102,255 | ||||||||
| Credit Cards 0.2% | ||||||||
| Capital One Multi-Asset Execution Trust Series 2019-A3, Class A3 2.06%, due 8/15/28 | 700,000 | 695,830 | ||||||
| Discover Card Execution Note Trust Series 2019-A1, Class A1 3.04%, due 7/15/24 | 685,000 | 702,953 | ||||||
| 1,398,783 | ||||||||
| Home Equity 0.1% | ||||||||
| JPMorgan Mortgage Acquisition Trust Series 2007-HE1, Class AF1 2.245% (1 Month LIBOR + 0.10%), due 3/25/47 (b) | 159,609 | 113,377 | ||||||
| MASTR Asset-Backed Securities Trust Series 2006-HE4, Class A1 2.195% (1 Month LIBOR + 0.05%), due 11/25/36 (b) | 231,497 | 105,942 | ||||||
| 219,319 | ||||||||
| Other Asset-Backed Securities 0.4% | ||||||||
| Daimler Trucks Retail Trust Series 2019-1, Class A3 2.77%, due 8/15/22 (a) | 850,000 | 859,184 | ||||||
| Verizon Owner Trust | ||||||||
| Series 2018-1A, Class A1A 2.82%, due 9/20/22 (a) | 685,000 | 689,788 | ||||||
| Series 2019-A, Class A1A 2.93%, due 9/20/23 | 735,000 | 748,280 | ||||||
| 2,297,252 | ||||||||
| Student Loans 0.0% ‡ | ||||||||
| KeyCorp Student Loan Trust Series 2000-A, Class A2 2.841% (3 Month LIBOR + 0.32%), due 5/25/29 (b) | 52,070 | 51,832 | ||||||
| Total Asset-Backed Securities (Cost $9,073,023) | 9,189,606 | |||||||
| Corporate Bonds 30.4% | ||||||||
| Aerospace & Defense 0.1% | ||||||||
| L3Harris Technologies, Inc. 4.40%, due 6/15/28 | 810,000 | 909,988 | ||||||
| Agriculture 0.3% | ||||||||
| Altria Group, Inc. 3.80%, due 2/14/24 | 1,300,000 | 1,358,974 | ||||||
| JBS Investments II GmbH 7.00%, due 1/15/26 (Austria) (a) | 460,000 | 496,335 | ||||||
| 1,855,309 | ||||||||
| Airlines 0.9% | ||||||||
| American Airlines Group, Inc. 4.625%, due 3/1/20 (a) | 1,400,000 | 1,408,750 | ||||||
| Continental Airlines, Inc. Series 2009-2, Class 2, Pass Through Trust 7.25%, due 5/10/21 | 255,494 | 256,670 | ||||||
| Delta Air Lines, Inc. Series 2019-1, Class AA 3.204%, due 10/25/25 | 920,000 | 961,126 | ||||||
| Northwest Airlines, Inc. Series 2007-1, Class A 7.027%, due 5/1/21 | 931,505 | 934,765 | ||||||
| U.S. Airways Group, Inc. | ||||||||
| Series 2012-1, Class A 5.90%, due 4/1/26 | 669,154 | 744,902 | ||||||
| Series 2010-1, Class A 6.25%, due 10/22/24 | 362,645 | 394,340 | ||||||
| United Airlines, Inc. | ||||||||
| Series 2014-2, Class B 4.625%, due 3/3/24 | 313,313 | 322,932 | ||||||
| Series 2007-1, Pass Through Trust 6.636%, due 1/2/24 | 420,917 | 444,994 | ||||||
| 5,468,479 | ||||||||
| Auto Manufacturers 0.8% | ||||||||
| Daimler Finance North America LLC 2.837% (3 Month LIBOR + 0.55%), due 5/4/21 (Germany) (a)(b) | 685,000 | 684,624 | ||||||
| Ford Motor Credit Co. LLC | ||||||||
| 4.25%, due 9/20/22 | 305,000 | 312,264 | ||||||
| 5.875%, due 8/2/21 | 150,000 | 157,117 | ||||||
| General Motors Financial Co., Inc. | ||||||||
| 3.15%, due 6/30/22 | 320,000 | 323,692 | ||||||
| 3.45%, due 4/10/22 | 1,500,000 | 1,525,930 | ||||||
| Toyota Motor Credit Corp. 2.315% (3 Month LIBOR + 0.17%), due 9/18/20 (b) | 1,765,000 | 1,766,369 | ||||||
| 4,769,996 | ||||||||
| Banks 7.9% | ||||||||
| Bank of America Corp. | ||||||||
| 2.738%, due 1/23/22 (c) | 1,150,000 | 1,156,511 | ||||||
| 3.004%, due 12/20/23 (c) | 734,000 | 749,610 | ||||||
| 3.458%, due 3/15/25 (c) | 615,000 | 640,895 | ||||||
| 3.499%, due 5/17/22 (c) | 1,635,000 | 1,667,437 | ||||||
| 3.50%, due 4/19/26 | 150,000 | 159,251 | ||||||
| 3.705%, due 4/24/28 (c) | 555,000 | 590,286 | ||||||
| 4.078%, due 4/23/40 (c) | 785,000 | 877,939 | ||||||
| 4.20%, due 8/26/24 | 325,000 | 348,593 | ||||||
| 6.30%, due 3/10/26 (c)(d) | 735,000 | 826,875 | ||||||
| BB&T Corp. 5.25%, due 11/1/19 | 930,000 | 932,234 | ||||||
| Branch Banking & Trust Co. 2.636% (5 Year Treasury Constant Maturity Rate + 1.15%), due 9/17/29 (b) | 760,000 | 755,006 | ||||||
| Citibank N.A. | ||||||||
| 2.125%, due 10/20/20 | 1,615,000 | 1,616,492 | ||||||
| 3.40%, due 7/23/21 | 1,340,000 | 1,371,475 | ||||||
| Citigroup, Inc. | ||||||||
| 3.352%, due 4/24/25 (c) | 780,000 | 808,166 | ||||||
| 3.40%, due 5/1/26 | 255,000 | 266,350 | ||||||
| 3.668%, due 7/24/28 (c) | 430,000 | 455,219 | ||||||
| 3.70%, due 1/12/26 | 545,000 | 578,748 | ||||||
| 3.98%, due 3/20/30 (c) | 565,000 | 614,360 | ||||||
| 4.05%, due 7/30/22 | 105,000 | 109,964 | ||||||
| 5.30%, due 5/6/44 | 436,000 | 542,061 | ||||||
| 6.625%, due 6/15/32 | 190,000 | 248,590 | ||||||
| Citizens Financial Group, Inc. 4.30%, due 12/3/25 | 1,190,000 | 1,272,411 | ||||||
| Credit Suisse Group A.G. 2.593%, due 9/11/25 (Switzerland) (a)(c) | 365,000 | 361,387 | ||||||
| Discover Bank 8.70%, due 11/18/19 | 795,000 | 801,148 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 2.905%, due 7/24/23 (c) | 310,000 | 314,164 | ||||||
| 2.908%, due 6/5/23 (c) | 285,000 | 288,685 | ||||||
| 3.328% (3 Month LIBOR + 1.17%), due 5/15/26 (b) | 815,000 | 819,188 | ||||||
| 3.625%, due 1/22/23 | 1,330,000 | 1,383,168 | ||||||
| 5.25%, due 7/27/21 | 1,295,000 | 1,364,766 | ||||||
| 6.75%, due 10/1/37 | 159,000 | 214,632 | ||||||
| HSBC Holdings PLC 3.973%, due 5/22/30 (United Kingdom) (c) | 465,000 | 496,477 | ||||||
| Huntington Bancshares, Inc. 3.15%, due 3/14/21 | 1,295,000 | 1,312,427 | ||||||
| JPMorgan Chase & Co. (c) | ||||||||
| 3.207%, due 4/1/23 | 1,540,000 | 1,577,527 | ||||||
| 3.54%, due 5/1/28 | 800,000 | 843,571 | ||||||
| Lloyds Banking Group PLC (United Kingdom) | ||||||||
| 4.582%, due 12/10/25 | 508,000 | 533,515 | ||||||
| 4.65%, due 3/24/26 | 1,075,000 | 1,132,324 | ||||||
| Morgan Stanley | ||||||||
| 3.125%, due 1/23/23 | 1,560,000 | 1,600,151 | ||||||
| 4.875%, due 11/1/22 | 495,000 | 530,862 | ||||||
| 5.00%, due 11/24/25 | 1,150,000 | 1,288,678 | ||||||
| 5.913% (3 Month LIBOR + 3.61%), due 1/15/20 (b)(d) | 645,000 | 650,289 | ||||||
| 6.25%, due 8/9/26 | 881,000 | 1,068,178 | ||||||
| 7.25%, due 4/1/32 | 1,300,000 | 1,855,580 | ||||||
| PNC Bank N.A. 2.55%, due 12/9/21 | 815,000 | 822,989 | ||||||
| Royal Bank of Scotland Group PLC 6.00%, due 12/19/23 (United Kingdom) | 70,000 | 76,854 | ||||||
| State Street Corp. 2.55%, due 8/18/20 | 915,000 | 919,322 | ||||||
| Toronto-Dominion Bank (Canada) | ||||||||
| 1.80%, due 7/13/21 | 1,535,000 | 1,530,714 | ||||||
| 3.15%, due 9/17/20 | 1,620,000 | 1,638,170 | ||||||
| U.S. Bank N.A. 2.442% (3 Month LIBOR + 0.29%), due 5/21/21 (b) | 1,300,000 | 1,300,684 | ||||||
| Wells Fargo Bank N.A. | ||||||||
| 2.40%, due 1/15/20 | 1,610,000 | 1,611,420 | ||||||
| 2.60%, due 1/15/21 | 985,000 | 992,144 | ||||||
| 3.55%, due 8/14/23 | 1,015,000 | 1,065,720 | ||||||
| Westpac Banking Corp. (Australia) | ||||||||
| 2.438% (3 Month LIBOR + 0.28%), due 5/15/20 (b) | 700,000 | 701,141 | ||||||
| 4.875%, due 11/19/19 | 1,935,000 | 1,941,734 | ||||||
| 47,626,082 | ||||||||
| Beverages 0.4% | ||||||||
| Anheuser-Busch InBev Worldwide, Inc. (Belgium) | ||||||||
| 4.15%, due 1/23/25 | 250,000 | 273,049 | ||||||
| 4.75%, due 1/23/29 | 495,000 | 575,319 | ||||||
| Constellation Brands, Inc. 2.00%, due 11/7/19 | 680,000 | 679,712 | ||||||
| Diageo Capital PLC 2.364% (3 Month LIBOR + 0.24%), due 5/18/20 (United Kingdom) (b) | 950,000 | 950,193 | ||||||
| 2,478,273 | ||||||||
| Biotechnology 0.5% | ||||||||
| Biogen, Inc. 3.625%, due 9/15/22 | 1,240,000 | 1,289,256 | ||||||
| Celgene Corp. 3.625%, due 5/15/24 | 1,400,000 | 1,478,390 | ||||||
| 2,767,646 | ||||||||
| Building Materials 0.5% | ||||||||
| Cemex S.A.B. de C.V. 3.125%, due 3/19/26 (Mexico) (a) | EUR | 1,515,000 | 1,706,900 | |||||
| Standard Industries, Inc. 5.375%, due 11/15/24 (a) | $ | 1,000,000 | 1,030,000 | |||||
| 2,736,900 | ||||||||
| Chemicals 0.5% | ||||||||
| Air Liquide Finance S.A. 1.75%, due 9/27/21 (France) (a) | 610,000 | 606,195 | ||||||
| Braskem Netherlands Finance B.V. 4.50%, due 1/10/28 (Netherlands) (a) | 745,000 | 745,931 | ||||||
| Huntsman International LLC 4.50%, due 5/1/29 | 731,000 | 768,543 | ||||||
| Orbia Advance Corp. S.A.B. de C.V. 4.00%, due 10/4/27 (Mexico) (a) | 625,000 | 632,819 | ||||||
| 2,753,488 | ||||||||
| Commercial Services 0.5% | ||||||||
| Cintas Corp. No 2 3.70%, due 4/1/27 | 1,065,000 | 1,161,279 | ||||||
| Herc Holdings, Inc. 5.50%, due 7/15/27 (a) | 710,000 | 738,400 | ||||||
| PayPal Holdings, Inc. 2.40%, due 10/1/24 | 1,120,000 | 1,126,072 | ||||||
| 3,025,751 | ||||||||
| Computers 0.5% | ||||||||
| Apple, Inc. | ||||||||
| 1.55%, due 8/4/21 | 545,000 | 542,320 | ||||||
| 2.75%, due 1/13/25 | 715,000 | 738,848 | ||||||
| Dell International LLC / EMC Corp. (a) | ||||||||
| 4.90%, due 10/1/26 | 680,000 | 728,895 | ||||||
| 5.30%, due 10/1/29 | 318,000 | 346,701 | ||||||
| Hewlett Packard Enterprise Co. 2.10%, due 10/4/19 (a) | 750,000 | 749,990 | ||||||
| 3,106,754 | ||||||||
| Cosmetics & Personal Care 0.2% | ||||||||
| Unilever Capital Corp. 1.80%, due 5/5/20 (United Kingdom) | 1,100,000 | 1,098,786 | ||||||
| Diversified Financial Services 1.4% | ||||||||
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland) | ||||||||
| 4.45%, due 12/16/21 | 285,000 | 296,338 | ||||||
| 4.625%, due 10/30/20 | 1,600,000 | 1,637,888 | ||||||
| Air Lease Corp. | ||||||||
| 2.125%, due 1/15/20 | 730,000 | 729,629 | ||||||
| 2.75%, due 1/15/23 | 500,000 | 505,797 | ||||||
| 3.50%, due 1/15/22 | 340,000 | 348,715 | ||||||
| 4.25%, due 9/15/24 | 420,000 | 448,119 | ||||||
| Allied Universal Holdco LLC / Allied Universal Finance Corp. 6.625%, due 7/15/26 (a) | 650,000 | 686,562 | ||||||
| Ally Financial, Inc. | ||||||||
| 3.875%, due 5/21/24 | 310,000 | 320,788 | ||||||
| 8.00%, due 11/1/31 | 1,130,000 | 1,562,225 | ||||||
| Capital One Financial Corp. 4.20%, due 10/29/25 | 165,000 | 175,757 | ||||||
| Caterpillar Financial Services Corp. 2.338% (3 Month LIBOR + 0.18%), due 5/15/20 (b) | 830,000 | 830,594 | ||||||
| Synchrony Financial 4.50%, due 7/23/25 | 825,000 | 880,429 | ||||||
| 8,422,841 | ||||||||
| Electric 1.6% | ||||||||
| AEP Transmission Co. LLC 3.10%, due 12/1/26 | 850,000 | 888,748 | ||||||
| CMS Energy Corp. | ||||||||
| 3.875%, due 3/1/24 | 550,000 | 579,696 | ||||||
| 5.05%, due 3/15/22 | 430,000 | 455,219 | ||||||
| Connecticut Light & Power Co. 4.00%, due 4/1/48 | 450,000 | 518,756 | ||||||
| Consolidated Edison, Inc. 2.00%, due 3/15/20 (e) | 435,000 | 434,762 | ||||||
| Duke Energy Ohio, Inc. 4.30%, due 2/1/49 | 565,000 | 669,706 | ||||||
| Duquesne Light Holdings, Inc. (a) | ||||||||
| 3.616%, due 8/1/27 | 865,000 | 882,658 | ||||||
| 6.40%, due 9/15/20 | 925,000 | 957,452 | ||||||
| Entergy Louisiana LLC 4.00%, due 3/15/33 | 790,000 | 901,808 | ||||||
| Evergy, Inc. 5.292%, due 6/15/22 (f) | 500,000 | 533,689 | ||||||
| Public Service Electric & Gas Co. 3.00%, due 5/15/27 | 800,000 | 833,029 | ||||||
| Puget Energy, Inc. 5.625%, due 7/15/22 | 350,000 | 374,353 | ||||||
| Southern California Edison Co. | ||||||||
| 3.70%, due 8/1/25 | 330,000 | 349,091 | ||||||
| 4.00%, due 4/1/47 | 520,000 | 557,660 | ||||||
| WEC Energy Group, Inc. 4.271% (3 Month LIBOR + 2.113%), due 5/15/67 (b) | 480,000 | 403,800 | ||||||
| 9,340,427 | ||||||||
| Environmental Controls 0.2% | ||||||||
| Republic Services, Inc. 4.75%, due 5/15/23 | 580,000 | 628,207 | ||||||
| Waste Management, Inc. 2.40%, due 5/15/23 | 810,000 | 819,034 | ||||||
| 1,447,241 | ||||||||
| Food 1.2% | ||||||||
| JBS USA LUX S.A. / JBS Food Co. / JBS USA Finance, Inc. 5.50%, due 1/15/30 (a) | 485,000 | 514,090 | ||||||
| Kerry Group Financial Services Unlimited Co. 3.20%, due 4/9/23 (Ireland) (a) | 1,290,000 | 1,309,470 | ||||||
| Mondelez International Holdings Netherlands B.V. 2.00%, due 10/28/21 (Netherlands) (a) | 1,110,000 | 1,107,553 | ||||||
| Nestle Holdings, Inc. 3.10%, due 9/24/21 (a) | 1,615,000 | 1,648,917 | ||||||
| Performance Food Group, Inc. 5.50%, due 10/15/27 (a) | 655,000 | 689,388 | ||||||
| Smithfield Foods, Inc. (a) | ||||||||
| 2.70%, due 1/31/20 | 605,000 | 604,642 | ||||||
| 3.35%, due 2/1/22 | 565,000 | 566,685 | ||||||
| Tyson Foods, Inc. 3.95%, due 8/15/24 | 965,000 | 1,030,283 | ||||||
| 7,471,028 | ||||||||
| Gas 0.1% | ||||||||
| Southern California Gas Co. 4.30%, due 1/15/49 | 325,000 | 385,706 | ||||||
| Health Care - Products 0.5% | ||||||||
| Abbott Laboratories 3.40%, due 11/30/23 | 535,000 | 561,086 | ||||||
| Becton Dickinson & Co. | ||||||||
| 3.70%, due 6/6/27 | 551,000 | 584,930 | ||||||
| 4.669%, due 6/6/47 | 635,000 | 749,921 | ||||||
| Stryker Corp. 2.625%, due 3/15/21 | 1,220,000 | 1,229,039 | ||||||
| 3,124,976 | ||||||||
| Health Care - Services 0.0% ‡ | ||||||||
| Cigna Holding Co. 4.375%, due 12/15/20 | 135,000 | 138,009 | ||||||
| Holding Company - Diversified 0.2% | ||||||||
| CK Hutchison International (17) II, Ltd. 3.25%, due 9/29/27 (Hong Kong) (a) | 925,000 | 954,415 | ||||||
| Home Builders 0.2% | ||||||||
| Lennar Corp. 4.50%, due 11/15/19 | 200,000 | 200,000 | ||||||
| MDC Holdings, Inc. 5.625%, due 2/1/20 | 1,100,000 | 1,109,625 | ||||||
| 1,309,625 | ||||||||
| Insurance 1.9% | ||||||||
| AXA Equitable Holdings, Inc. 5.00%, due 4/20/48 | 830,000 | 894,667 | ||||||
| Jackson National Life Global Funding (a) | ||||||||
| 2.20%, due 1/30/20 | 1,295,000 | 1,295,487 | ||||||
| 2.618% (3 Month LIBOR + 0.48%), due 6/11/21 (b) | 1,895,000 | 1,899,583 | ||||||
| Liberty Mutual Group, Inc. 4.25%, due 6/15/23 (a) | 295,000 | 312,791 | ||||||
| MassMutual Global Funding II (a) | ||||||||
| 2.50%, due 10/17/22 | 1,270,000 | 1,284,897 | ||||||
| 2.95%, due 1/11/25 | 365,000 | 377,249 | ||||||
| Peachtree Corners Funding Trust 3.976%, due 2/15/25 (a) | 425,000 | 447,684 | ||||||
| Pricoa Global Funding I 2.55%, due 11/24/20 (a) | 765,000 | 769,491 | ||||||
| Principal Life Global Funding II 2.375%, due 11/21/21 (a) | 1,470,000 | 1,474,521 | ||||||
| Protective Life Corp. 8.45%, due 10/15/39 | 725,000 | 1,150,849 | ||||||
| Prudential Financial, Inc. 5.625%, due 6/15/43 (c) | 560,000 | 601,950 | ||||||
| Voya Financial, Inc. 3.65%, due 6/15/26 | 310,000 | 324,883 | ||||||
| Willis North America, Inc. 2.95%, due 9/15/29 | 705,000 | 693,888 | ||||||
| 11,527,940 | ||||||||
| Internet 0.6% | ||||||||
| Expedia Group, Inc. | ||||||||
| 3.25%, due 2/15/30 (a) | 1,305,000 | 1,301,278 | ||||||
| 3.80%, due 2/15/28 | 157,000 | 164,312 | ||||||
| 5.00%, due 2/15/26 | 22,000 | 24,714 | ||||||
| GrubHub Holdings, Inc. 5.50%, due 7/1/27 (a) | 560,000 | 571,368 | ||||||
| Tencent Holdings, Ltd. (China) (a) | ||||||||
| 3.595%, due 1/19/28 | 440,000 | 458,942 | ||||||
| 3.925%, due 1/19/38 | 675,000 | 723,241 | ||||||
| Weibo Corp. 3.50%, due 7/5/24 | 465,000 | 472,370 | ||||||
| 3,716,225 | ||||||||
| Iron & Steel 0.3% | ||||||||
| ArcelorMittal 4.55%, due 3/11/26 (Luxembourg) | 800,000 | 837,043 | ||||||
| Vale Overseas, Ltd. (Brazil) | ||||||||
| 6.25%, due 8/10/26 | 435,000 | 501,337 | ||||||
| 6.875%, due 11/21/36 | 305,000 | 386,435 | ||||||
| 1,724,815 | ||||||||
| Lodging 0.6% | ||||||||
| Las Vegas Sands Corp. 3.20%, due 8/8/24 | 555,000 | 565,286 | ||||||
| Marriott International, Inc. | ||||||||
| 2.30%, due 1/15/22 | 890,000 | 890,186 | ||||||
| 3.60%, due 4/15/24 | 920,000 | 965,366 | ||||||
| 7.15%, due 12/1/19 | 125,000 | 125,940 | ||||||
| Sands China, Ltd. (Macau) | ||||||||
| 4.60%, due 8/8/23 | 355,000 | 375,728 | ||||||
| 5.125%, due 8/8/25 | 460,000 | 505,043 | ||||||
| 3,427,549 | ||||||||
| Machinery - Construction & Mining 0.3% | ||||||||
| Caterpillar Financial Services Corp. 2.90%, due 3/15/21 | 1,735,000 | 1,757,742 | ||||||
| Machinery - Diversified 0.4% | ||||||||
| CNH Industrial Capital LLC | ||||||||
| 4.20%, due 1/15/24 | 545,000 | 575,086 | ||||||
| 4.875%, due 4/1/21 | 1,445,000 | 1,495,835 | ||||||
| John Deere Capital Corp. 3.65%, due 10/12/23 | 135,000 | 143,829 | ||||||
| 2,214,750 | ||||||||
| Media 1.1% | ||||||||
| Comcast Corp. | ||||||||
| 3.45%, due 10/1/21 | 1,945,000 | 2,003,030 | ||||||
| 4.70%, due 10/15/48 | 555,000 | 679,566 | ||||||
| Diamond Sports Group LLC / Diamond Sports Finance Co. 6.625%, due 8/15/27 (a)(e) | 970,000 | 1,006,375 | ||||||
| Grupo Televisa S.A.B. 5.25%, due 5/24/49 (Mexico) | 480,000 | 524,958 | ||||||
| Sky, Ltd. 3.75%, due 9/16/24 (United Kingdom) (a) | 340,000 | 363,834 | ||||||
| Time Warner Entertainment Co., L.P. 8.375%, due 3/15/23 | 355,000 | 420,302 | ||||||
| UPCB Finance IV, Ltd. 5.375%, due 1/15/25 (Netherlands) (a) | 765,000 | 786,037 | ||||||
| Virgin Media Secured Finance PLC 5.25%, due 1/15/26 (United Kingdom) (a) | 750,000 | 768,651 | ||||||
| 6,552,753 | ||||||||
| Metal Fabricate & Hardware 0.2% | ||||||||
| Precision Castparts Corp. 3.25%, due 6/15/25 | 1,455,000 | 1,532,091 | ||||||
| Metals & Mining 0.1% | ||||||||
| Corp. Nacional del Cobre de Chile (Chile) 3.00%, due 9/30/29 (a) | 635,000 | 632,606 | ||||||
| Mining 0.1% | ||||||||
| Anglo American Capital PLC 4.875%, due 5/14/25 (United Kingdom) (a) | 455,000 | 494,168 | ||||||
| Miscellaneous - Manufacturing 0.3% | ||||||||
| Siemens Financieringsmaatschappij N.V. 2.70%, due 3/16/22 (Germany) (a) | 760,000 | 772,168 | ||||||
| Textron Financial Corp. 3.893% (3 Month LIBOR + 1.735%), due 2/15/67 (a)(b) | 1,295,000 | 979,370 | ||||||
| 1,751,538 | ||||||||
| Oil & Gas 0.6% | ||||||||
| Gazprom Via Gaz Capital S.A. 7.288%, due 8/16/37 (Luxembourg) (a) | 640,000 | 847,603 | ||||||
| Marathon Petroleum Corp. 5.125%, due 12/15/26 | 450,000 | 505,805 | ||||||
| Petrobras Global Finance B.V. 7.375%, due 1/17/27 (Brazil) | 381,000 | 460,176 | ||||||
| Valero Energy Corp. | ||||||||
| 3.65%, due 3/15/25 | 1,000,000 | 1,058,097 | ||||||
| 6.625%, due 6/15/37 | 415,000 | 536,995 | ||||||
| 3,408,676 | ||||||||
| Packaging & Containers 0.3% | ||||||||
| Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (New Zealand) | ||||||||
| 5.125%, due 7/15/23 (a) | 1,060,000 | 1,085,175 | ||||||
| 5.75%, due 10/15/20 | 823,742 | 825,471 | ||||||
| 1,910,646 | ||||||||
| Pharmaceuticals 0.6% | ||||||||
| Allergan Funding SCS 3.45%, due 3/15/22 | 1,005,000 | 1,029,905 | ||||||
| Bausch Health Cos., Inc. 5.75%, due 8/15/27 (a) | 465,000 | 502,586 | ||||||
| Bristol-Myers Squibb Co. 3.40%, due 7/26/29 (a) | 690,000 | 737,004 | ||||||
| GlaxoSmithKline Capital PLC 2.525% (3 Month LIBOR + 0.35%), due 5/14/21 (United Kingdom) (b) | 1,260,000 | 1,261,723 | ||||||
| 3,531,218 | ||||||||
| Pipelines 0.5% | ||||||||
| Enterprise Products Operating LLC | ||||||||
| 3.125%, due 7/31/29 | 630,000 | 645,119 | ||||||
| 4.20%, due 1/31/50 | 160,000 | 171,113 | ||||||
| Southern Natural Gas Co. LLC 4.80%, due 3/15/47 (a) | 315,000 | 348,833 | ||||||
| Spectra Energy Partners, L.P. 4.75%, due 3/15/24 | 795,000 | 866,053 | ||||||
| Transcontinental Gas Pipe Line Co. LLC 4.60%, due 3/15/48 | 840,000 | 930,143 | ||||||
| 2,961,261 | ||||||||
| Real Estate Investment Trusts 1.0% | ||||||||
| Alexandria Real Estate Equities, Inc. 3.375%, due 8/15/31 | 505,000 | 527,390 | ||||||
| American Tower Corp. 3.375%, due 10/15/26 | 1,080,000 | 1,123,190 | ||||||
| Crown Castle International Corp. | ||||||||
| 3.40%, due 2/15/21 | 920,000 | 932,615 | ||||||
| 5.25%, due 1/15/23 | 1,290,000 | 1,404,512 | ||||||
| Digital Realty Trust, L.P. | ||||||||
| 2.75%, due 2/1/23 | 45,000 | 45,454 | ||||||
| 3.70%, due 8/15/27 | 170,000 | 178,387 | ||||||
| GLP Capital, L.P. / GLP Financing II, Inc. 3.35%, due 9/1/24 | 505,000 | 507,879 | ||||||
| Kilroy Realty, L.P. 3.45%, due 12/15/24 | 720,000 | 748,777 | ||||||
| Welltower, Inc. 4.00%, due 6/1/25 | 310,000 | 331,301 | ||||||
| 5,799,505 | ||||||||
| Retail 0.9% | ||||||||
| Alimentation Couche-Tard, Inc. 3.55%, due 7/26/27 (Canada) (a) | 1,035,000 | 1,075,935 | ||||||
| CVS Health Corp. | ||||||||
| 4.00%, due 12/5/23 | 1,355,000 | 1,431,787 | ||||||
| 4.78%, due 3/25/38 | 400,000 | 438,073 | ||||||
| CVS Pass-Through Trust 5.789%, due 1/10/26 (a)(g) | 30,739 | 33,233 | ||||||
| McDonald's Corp. 3.35%, due 4/1/23 | 1,085,000 | 1,132,370 | ||||||
| O'Reilly Automotive, Inc. 3.55%, due 3/15/26 | 1,000,000 | 1,054,345 | ||||||
| Starbucks Corp. 4.45%, due 8/15/49 | 475,000 | 550,364 | ||||||
| 5,716,107 | ||||||||
| Savings & Loans 0.2% | ||||||||
| Nationwide Building Society 3.96%, due 7/18/30 (United Kingdom) (a)(c) | 960,000 | 1,002,570 | ||||||
| Semiconductors 0.3% | ||||||||
| Broadcom, Inc. 3.125%, due 10/15/22 (a) | 945,000 | 956,859 | ||||||
| NXP B.V. / NXP Funding LLC 4.625%, due 6/15/22 (Netherlands) (a) | 590,000 | 617,541 | ||||||
| 1,574,400 | ||||||||
| Software 0.3% | ||||||||
| Fiserv, Inc. | ||||||||
| 2.75%, due 7/1/24 | 325,000 | 330,647 | ||||||
| 3.20%, due 7/1/26 | 205,000 | 212,153 | ||||||
| salesforce.com, Inc. | ||||||||
| 3.25%, due 4/11/23 | 510,000 | 532,029 | ||||||
| 3.70%, due 4/11/28 | 690,000 | 757,345 | ||||||
| 1,832,174 | ||||||||
| Telecommunications 1.3% | ||||||||
| AT&T, Inc. | ||||||||
| 3.312% (3 Month LIBOR + 1.18%), due 6/12/24 (b) | 755,000 | 768,817 | ||||||
| 4.35%, due 3/1/29 | 320,000 | 353,436 | ||||||
| 4.90%, due 8/15/37 | 670,000 | 759,892 | ||||||
| CommScope Technologies LLC 6.00%, due 6/15/25 (a) | 475,000 | 429,875 | ||||||
| CommScope, Inc. 5.00%, due 6/15/21 (a) | 682,000 | 682,205 | ||||||
| Crown Castle Towers LLC 4.241%, due 7/15/48 (a) | 990,000 | 1,089,089 | ||||||
| Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 4.738%, due 9/20/29 (a) | 1,545,000 | 1,642,350 | ||||||
| Telefonica Emisiones SAU (Spain) | ||||||||
| 5.134%, due 4/27/20 | 800,000 | 812,799 | ||||||
| 5.462%, due 2/16/21 | 175,000 | 182,680 | ||||||
| Verizon Communications, Inc. 3.258% (3 Month LIBOR + 1.10%), due 5/15/25 (b) | 985,000 | 1,000,224 | ||||||
| 7,721,367 | ||||||||
| Transportation 0.0% ‡ | ||||||||
| XPO Logistics, Inc. 6.50%, due 6/15/22 (a) | 277,000 | 282,402 | ||||||
| Total Corporate Bonds (Cost $176,211,437) | 182,264,223 | |||||||
| Foreign Bonds 0.1% | ||||||||
| Banks 0.1% | ||||||||
| Barclays Bank PLC Series Reg S 10.00%, due 5/21/21 (United Kingdom) | GBP | 525,000 | 729,520 | |||||
| Total Foreign Bonds (Cost $843,311) | 729,520 | |||||||
| Loan Assignments 0.8% | ||||||||
| Advertising 0.1% | ||||||||
| Outfront Media Capital LLC 2017 Term Loan B 4.04% (1 Month LIBOR + 2.00%), due 3/18/24 | $ | 740,299 | 743,769 | |||||
| Environmental Controls 0.3% | ||||||||
| Advanced Disposal Services, Inc. Term Loan B3 4.20% (1 Week LIBOR + 2.25%), due 11/10/23 | 1,641,131 | 1,644,290 | ||||||
| Household Products & Wares 0.1% | ||||||||
| Prestige Brands, Inc. Term Loan B4 4.04% (1 Month LIBOR + 2.00%), due 1/26/24 | 550,091 | 550,503 | ||||||
| Insurance 0.0% ‡ | ||||||||
| MPH Acquisition Holdings LLC 2016 Term Loan B 4.85% (3 Month LIBOR + 2.75%), due 6/7/23 | 146,470 | 139,146 | ||||||
| Telecommunications 0.2% | ||||||||
| Level 3 Financing Inc. 2017 Term Loan B 4.29% (1 Month LIBOR + 2.25%), due 2/22/24 | 1,065,000 | 1,066,332 | ||||||
| Transportation 0.1% | ||||||||
| XPO Logistics, Inc. 2018 Term Loan B 4.04% (1 Month LIBOR + 2.00%), due 2/24/25 | 565,000 | 567,276 | ||||||
| Total Loan Assignments (Cost $4,707,795) | 4,711,316 | |||||||
| Mortgage-Backed Securities 8.0% | ||||||||
| Agency (Collateralized Mortgage Obligations) 4.7% | ||||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| REMIC Series 4691, Class HA 2.50%, due 6/15/40 | 908,771 | 915,847 | ||||||
| REMIC, Series 4900, Class BE 3.00%, due 3/25/49 | 958,714 | 983,741 | ||||||
| REMIC, Series 4911, Class MB 3.00%, due 9/25/49 | 1,565,000 | 1,603,635 | ||||||
| Series 2019-1, Class A1 3.50%, due 5/25/29 | 677,874 | 712,102 | ||||||
| REMIC Series 4818, Class BD 3.50%, due 3/15/45 | 902,977 | 937,815 | ||||||
| REMIC Series 4884, Class BA 3.50%, due 6/15/48 | 789,628 | 822,734 | ||||||
| REMIC Series 4888, Class BA 3.50%, due 9/15/48 | 626,877 | 655,640 | ||||||
| REMIC Series 4877, Class AT 3.50%, due 11/15/48 | 836,764 | 882,136 | ||||||
| REMIC Series 4877, Class BE 3.50%, due 11/15/48 | 1,216,325 | 1,284,763 | ||||||
| Federal National Mortgage Association | ||||||||
| REMIC Series 2013-77, Class CY 3.00%, due 7/25/43 | 746,000 | 776,867 | ||||||
| Series 2019-25, Class PA 3.00%, due 5/25/48 | 762,720 | 783,889 | ||||||
| Series 2019-13, Class PE 3.00%, due 3/25/49 | 971,018 | 993,391 | ||||||
| REMIC, Series 2019-58, Class LP 3.00%, due 10/25/49 | 1,840,000 | 1,878,917 | ||||||
| REMIC Series 2019-13, Class CA 3.50%, due 4/25/49 | 1,418,882 | 1,501,354 | ||||||
| Government National Mortgage Association | ||||||||
| Series 2017-123, Class AB 2.50%, due 1/20/47 | 760,654 | 763,292 | ||||||
| Series 2014-91, Class MA 3.00%, due 1/16/40 | 840,485 | 872,088 | ||||||
| Series 2018-127, Class PB 3.00%, due 9/20/47 | 2,024,225 | 2,068,896 | ||||||
| REMIC Series 2019-29, Class AP 3.00%, due 10/20/48 | 1,328,006 | 1,354,471 | ||||||
| Series 2019-29, Class CB 3.00%, due 10/20/48 | 707,759 | 724,319 | ||||||
| Series 2019-52, Class JL 3.00%, due 11/20/48 | 780,043 | 799,867 | ||||||
| Series 2019-59, Class KA 3.00%, due 12/20/48 | 1,334,893 | 1,366,954 | ||||||
| Series 2019-43, Class PL 3.00%, due 4/20/49 | 1,560,833 | 1,598,989 | ||||||
| Series 2019-74, Class AT 3.00%, due 6/20/49 | 1,029,620 | 1,056,152 | ||||||
| Series 2013-149, Class BA 3.25%, due 8/16/41 | 2,406,447 | 2,510,660 | ||||||
| 27,848,519 | ||||||||
| Commercial Mortgage Loans (Collateralized Mortgage Obligations) 2.7% | ||||||||
| Bank | ||||||||
| Series 2019-BN21, Class A5 2.851%, due 10/17/52 (g) | 2,020,000 | 2,080,550 | ||||||
| Series 2019-BN19, Class A2 2.926%, due 8/15/61 | 1,210,000 | 1,257,964 | ||||||
| Bayview Commercial Asset Trust Series 2006-4A, Class A1 2.375% (1 Month LIBOR + 0.23%), due 12/25/36 (a)(b) | 50,022 | 48,232 | ||||||
| Benchmark Mortgage Trust Series 2019-B12, Class A5 3.116%, due 8/15/52 | 1,119,000 | 1,178,775 | ||||||
| BX Commercial Mortgage Trust Series 2018-IND, Class A 2.778% (1 Month LIBOR + 0.75%), due 11/15/35 (a)(b) | 765,647 | 765,646 | ||||||
| Four Times Square Trust Series 2006-4TS, Class A 5.401%, due 12/13/28 (a) | 448,310 | 462,220 | ||||||
| FREMF Mortgage Trust (a)(h) | ||||||||
| Series 2013-K33, Class B 3.615%, due 8/25/46 | 1,094,000 | 1,141,226 | ||||||
| Series 2013-K35, Class B 4.074%, due 12/25/46 | 820,000 | 869,836 | ||||||
| GS Mortgage Securities Trust | ||||||||
| Series 2019-GC42, Class A4 3.001%, due 9/1/52 | 475,000 | 495,173 | ||||||
| Series 2019-GC40, Class A4 3.16%, due 7/10/52 | 788,000 | 831,841 | ||||||
| Hawaii Hotel Trust Series 2019-MAUI, Class A 3.178% (1 Month LIBOR + 1.15%), due 5/15/38 (a)(b) | 640,000 | 640,598 | ||||||
| Hudson Yards Mortgage Trust Series 2019-30HY, Class A 3.228%, due 7/10/39 (a) | 760,000 | 806,410 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust Series 2013-C16, Class A4 4.166%, due 12/15/46 | 655,000 | 704,143 | ||||||
| JPMBB Commercial Mortgage Securities Trust Series 2015-C28, Class A4 3.227%, due 10/15/48 | 900,000 | 943,196 | ||||||
| One Bryant Park Trust Series 2019-OBP, Class A 2.516%, due 9/13/49 (a) | 1,545,000 | 1,552,772 | ||||||
| Wells Fargo Commercial Mortgage Trust (a)(h) | ||||||||
| Series 2018-1745, Class A 3.874%, due 6/15/36 | 1,150,000 | 1,264,520 | ||||||
| Series 2018-AUS, Class A 4.194%, due 8/17/36 | 1,150,000 | 1,285,984 | ||||||
| 16,329,086 | ||||||||
| Whole Loan (Collateralized Mortgage Obligations) 0.6% | ||||||||
| American Tower Trust I Series 2013, Class 2A 3.07%, due 3/15/48 (a) | 825,000 | 838,320 | ||||||
| Chase Home Lending Mortgage Trust (a)(i) | ||||||||
| Series 2019-ATR2, Class A3 3.50%, due 7/25/49 | 641,218 | 650,485 | ||||||
| Series 2019-ATR1, Class A4 4.00%, due 4/25/49 | 819,039 | 826,535 | ||||||
| JP Morgan Mortgage Trust (a)(i) | ||||||||
| Series 2019-2, Class A4 4.00%, due 8/25/49 | 493,830 | 496,125 | ||||||
| Series 2019-3, Class A3 4.00%, due 9/25/49 | 536,691 | 545,056 | ||||||
| Series 2019-5, Class A4 4.00%, due 11/25/49 | 510,699 | 515,320 | ||||||
| 3,871,841 | ||||||||
| Total Mortgage-Backed Securities (Cost $47,017,844) | 48,049,446 | |||||||
| U.S. Government & Federal Agencies 12.1% | ||||||||
| Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) 2.8% | ||||||||
| 3.00%, due 12/1/47 | 677,505 | 693,051 | ||||||
| 3.50%, due 1/1/48 | 4,524,452 | 4,700,469 | ||||||
| 3.50%, due 9/1/48 | 579,136 | 596,334 | ||||||
| 4.00%, due 2/1/49 | 681,609 | 709,343 | ||||||
| 4.00%, due 3/1/49 | 2,085,061 | 2,166,095 | ||||||
| 4.50%, due 11/1/48 | 3,575,636 | 3,814,256 | ||||||
| 5.00%, due 12/1/44 | 1,536,742 | 1,694,485 | ||||||
| 5.00%, due 12/1/48 | 2,233,687 | 2,391,043 | ||||||
| 16,765,076 | ||||||||
| Federal National Mortgage Association (Mortgage Pass-Through Securities) 6.7% | ||||||||
| 2.50%, due 12/1/37 | 1,203,993 | 1,209,292 | ||||||
| 3.00%, due 10/1/48 | 901,455 | 916,510 | ||||||
| 3.50%, due 3/1/37 | 1,962,650 | 2,058,888 | ||||||
| 3.50%, due 2/1/42 | 1,626,295 | 1,695,993 | ||||||
| 3.50%, due 8/1/46 | 2,825,149 | 2,971,004 | ||||||
| 3.50%, due 9/1/48 TBA (j) | 4,606,000 | 4,724,389 | ||||||
| 4.00%, due 4/1/48 | 3,805,140 | 3,977,523 | ||||||
| 4.00%, due 5/1/48 | 1,801,650 | 1,879,066 | ||||||
| 4.00%, due 9/1/48 | 2,717,501 | 2,866,459 | ||||||
| 4.00%, due 1/1/49 | 674,718 | 713,626 | ||||||
| 4.00%, due 2/1/49 | 1,467,277 | 1,525,261 | ||||||
| 4.00%, due 4/1/49 | 5,684,700 | 5,899,313 | ||||||
| 4.50%, due 7/1/48 | 3,019,884 | 3,197,398 | ||||||
| 4.50%, due 1/1/49 | 4,107,470 | 4,348,603 | ||||||
| 5.00%, due 9/1/33 | 1,886,518 | 2,082,310 | ||||||
| 6.00%, due 4/1/37 | 10,759 | 11,629 | ||||||
| 40,077,264 | ||||||||
| United States Treasury Bonds 1.7% | ||||||||
| 2.875%, due 5/15/49 | 3,545,000 | 4,134,495 | ||||||
| 4.375%, due 11/15/39 | 3,947,000 | 5,536,747 | ||||||
| 4.50%, due 5/15/38 | 485,000 | 683,603 | ||||||
| 10,354,845 | ||||||||
| United States Treasury Inflation - Indexed Notes 0.9% (k) | ||||||||
| 0.75%, due 7/15/28 | 1,660,864 | 1,742,488 | ||||||
| 0.875%, due 1/15/29 | 3,449,524 | 3,658,365 | ||||||
| 5,400,853 | ||||||||
| Total U.S. Government & Federal Agencies (Cost $69,851,485) | 72,598,038 | |||||||
| Total Long-Term Bonds (Cost $307,704,895) | 317,542,149 | |||||||
| Shares | ||||||||
| Common Stocks 41.6% | ||||||||
| Aerospace & Defense 0.8% | ||||||||
| BAE Systems PLC (United Kingdom) | 441,007 | 3,090,768 | ||||||
| Lockheed Martin Corp. | 4,800 | 1,872,288 | ||||||
| 4,963,056 | ||||||||
| Air Freight & Logistics 0.7% | ||||||||
| Deutsche Post A.G., Registered (Germany) | 73,631 | 2,459,388 | ||||||
| United Parcel Service, Inc., Class B | 12,861 | 1,541,005 | ||||||
| 4,000,393 | ||||||||
| Auto Components 0.4% | ||||||||
| Cie Generale des Etablissements Michelin SCA (France) | 19,204 | 2,143,376 | ||||||
| Banks 2.2% | ||||||||
| BB&T Corp. | 36,348 | 1,939,893 | ||||||
| Commonwealth Bank of Australia (Australia) | 26,448 | 1,442,903 | ||||||
| Lloyds Banking Group PLC (United Kingdom) | 2,620,690 | 1,743,891 | ||||||
| People's United Financial, Inc. | 85,494 | 1,336,699 | ||||||
| Royal Bank of Canada (Canada) | 23,181 | 1,880,411 | ||||||
| Svenska Handelsbanken A.B., Class A (Sweden) | 140,919 | 1,319,570 | ||||||
| Wells Fargo & Co. | 32,427 | 1,635,618 | ||||||
| Westpac Banking Corp. (Australia) | 82,296 | 1,646,374 | ||||||
| 12,945,359 | ||||||||
| Beverages 1.0% | ||||||||
| Coca-Cola Co. | 45,326 | 2,467,547 | ||||||
| Coca-Cola European Partners PLC (United Kingdom) | 24,779 | 1,373,996 | ||||||
| PepsiCo., Inc. | 16,088 | 2,205,665 | ||||||
| 6,047,208 | ||||||||
| Biotechnology 0.6% | ||||||||
| AbbVie, Inc. | 26,805 | 2,029,675 | ||||||
| Amgen, Inc. | 7,285 | 1,409,720 | ||||||
| 3,439,395 | ||||||||
| Capital Markets 0.7% | ||||||||
| BlackRock, Inc. | 3,369 | 1,501,361 | ||||||
| CME Group, Inc. | 6,949 | 1,468,602 | ||||||
| Macquarie Group, Ltd. (Australia) | 16,172 | 1,430,776 | ||||||
| 4,400,739 | ||||||||
| Chemicals 1.5% | ||||||||
| BASF S.E. (Germany) | 35,702 | 2,495,128 | ||||||
| Dow, Inc. (l) | 48,822 | 2,326,368 | ||||||
| LyondellBasell Industries N.V., Class A | 21,962 | 1,964,940 | ||||||
| Nutrien, Ltd. (Canada) | 44,669 | 2,228,090 | ||||||
| 9,014,526 | ||||||||
| Commercial Services & Supplies 0.0% ‡ | ||||||||
| Quad/Graphics, Inc. | 6 | 63 | ||||||
| Communications Equipment 0.4% | ||||||||
| Cisco Systems, Inc. | 49,380 | 2,439,866 | ||||||
| Construction & Engineering 0.3% | ||||||||
| Vinci S.A. (France) | 17,213 | 1,853,993 | ||||||
| Diversified Telecommunication Services 2.6% | ||||||||
| AT&T, Inc. | 106,026 | 4,012,024 | ||||||
| BCE, Inc. (Canada) | 92,236 | 4,461,247 | ||||||
| TELUS Corp. (Canada) | 71,183 | 2,533,327 | ||||||
| Verizon Communications, Inc. | 73,449 | 4,433,381 | ||||||
| 15,439,979 | ||||||||
| Electric Utilities 3.4% | ||||||||
| American Electric Power Co., Inc. | 23,077 | 2,162,084 | ||||||
| Duke Energy Corp. | 50,035 | 4,796,355 | ||||||
| Entergy Corp. | 34,615 | 4,062,417 | ||||||
| FirstEnergy Corp. | 83,357 | 4,020,308 | ||||||
| PPL Corp. | 85,747 | 2,700,173 | ||||||
| Terna Rete Elettrica Nazionale S.p.A. (Italy) | 440,192 | 2,827,867 | ||||||
| 20,569,204 | ||||||||
| Electrical Equipment 0.9% | ||||||||
| Eaton Corp. PLC | 37,904 | 3,151,717 | ||||||
| Emerson Electric Co. | 31,081 | 2,078,076 | ||||||
| 5,229,793 | ||||||||
| Equity Real Estate Investment Trusts 1.8% | ||||||||
| Iron Mountain, Inc. | 78,840 | 2,553,628 | ||||||
| Public Storage | 6,130 | 1,503,505 | ||||||
| Unibail-Rodamco-Westfield (France) | 15,498 | 2,259,312 | ||||||
| Welltower, Inc. | 50,007 | 4,533,134 | ||||||
| 10,849,579 | ||||||||
| Food Products 0.7% | ||||||||
| Nestle S.A., Registered (Switzerland) | 15,204 | 1,649,506 | ||||||
| Orkla ASA (Norway) | 278,176 | 2,530,526 | ||||||
| 4,180,032 | ||||||||
| Gas Utilities 0.8% | ||||||||
| Naturgy Energy Group S.A. (Spain) | 59,804 | 1,586,564 | ||||||
| Snam S.p.A. (Italy) | 667,357 | 3,370,706 | ||||||
| 4,957,270 | ||||||||
| Health Care Providers & Services 0.2% | ||||||||
| UnitedHealth Group, Inc. | 6,892 | 1,497,769 | ||||||
| Hotels, Restaurants & Leisure 0.8% | ||||||||
| Darden Restaurants, Inc. | 2,787 | 329,479 | ||||||
| Las Vegas Sands Corp. | 45,393 | 2,621,900 | ||||||
| McDonald's Corp. | 7,877 | 1,691,271 | ||||||
| 4,642,650 | ||||||||
| Household Durables 0.3% | ||||||||
| Leggett & Platt, Inc. | 42,536 | 1,741,424 | ||||||
| Household Products 0.7% | ||||||||
| Kimberly-Clark Corp. | 16,549 | 2,350,786 | ||||||
| Procter & Gamble Co. | 16,545 | 2,057,867 | ||||||
| 4,408,653 | ||||||||
| Industrial Conglomerates 0.6% | ||||||||
| 3M Co. | 10,184 | 1,674,250 | ||||||
| Siemens A.G., Registered (Germany) | 18,255 | 1,954,884 | ||||||
| 3,629,134 | ||||||||
| Insurance 3.5% | ||||||||
| Allianz S.E.,, Registered (Germany) | 19,304 | 4,499,490 | ||||||
| Assicurazioni Generali S.p.A. (Italy) | 117,133 | 2,269,958 | ||||||
| AXA S.A. (France) | 176,802 | 4,515,087 | ||||||
| MetLife, Inc. | 54,497 | 2,570,078 | ||||||
| Muenchener Rueckversicherungs-Gesellschaft A.G., Registered (Germany) | 16,255 | 4,206,050 | ||||||
| SCOR S.E. (France) | 34,366 | 1,419,255 | ||||||
| Tokio Marine Holdings, Inc. (Japan) | 32,600 | 1,742,385 | ||||||
| 21,222,303 | ||||||||
| IT Services 0.4% | ||||||||
| International Business Machines Corp. | 16,113 | 2,343,153 | ||||||
| Media 0.0% ‡ | ||||||||
| ION Media Networks, Inc. (g)(l)(m)(n)(o) | 8 | 3,173 | ||||||
| Multi-Utilities 1.9% | ||||||||
| Ameren Corp. | 19,015 | 1,522,151 | ||||||
| CenterPoint Energy, Inc. | 52,447 | 1,582,850 | ||||||
| Dominion Energy, Inc. | 43,574 | 3,531,237 | ||||||
| National Grid PLC (United Kingdom) | 297,842 | 3,229,619 | ||||||
| WEC Energy Group, Inc. | 15,889 | 1,511,044 | ||||||
| 11,376,901 | ||||||||
| Multiline Retail 0.3% | ||||||||
| Target Corp. | 18,127 | 1,937,958 | ||||||
| Oil, Gas & Consumable Fuels 3.9% | ||||||||
| Chevron Corp. | 15,863 | 1,881,352 | ||||||
| Enterprise Products Partners, L.P. | 93,812 | 2,681,147 | ||||||
| Exxon Mobil Corp. | 36,303 | 2,563,355 | ||||||
| Magellan Midstream Partners, L.P. | 33,018 | 2,188,103 | ||||||
| Occidental Petroleum Corp. | 41,947 | 1,865,383 | ||||||
| Pembina Pipeline Corp. (Canada) (e) | 73,529 | 2,725,599 | ||||||
| Phillips 66 | 19,543 | 2,001,203 | ||||||
| Royal Dutch Shell PLC, Class A, Sponsored ADR (Netherlands) | 60,730 | 3,573,960 | ||||||
| TOTAL S.A. (France) | 73,754 | 3,849,389 | ||||||
| 23,329,491 | ||||||||
| Personal Products 0.5% | ||||||||
| Unilever PLC (United Kingdom) | 46,134 | 2,773,805 | ||||||
| Pharmaceuticals 4.2% | ||||||||
| AstraZeneca PLC, Sponsored ADR (United Kingdom) | 54,389 | 2,424,118 | ||||||
| GlaxoSmithKline PLC (United Kingdom) | 120,277 | 2,580,028 | ||||||
| Johnson & Johnson | 16,933 | 2,190,791 | ||||||
| Merck & Co., Inc. | 39,721 | 3,343,714 | ||||||
| Novartis A.G., Registered (Switzerland) | 38,122 | 3,305,524 | ||||||
| Pfizer, Inc. | 100,111 | 3,596,988 | ||||||
| Roche Holding A.G. (Switzerland) | 8,807 | 2,562,991 | ||||||
| Sanofi (France) | 27,327 | 2,533,518 | ||||||
| Takeda Pharmaceutical Co., Ltd. (Japan) | 71,000 | 2,423,029 | ||||||
| 24,960,701 | ||||||||
| Semiconductors & Semiconductor Equipment 1.5% | ||||||||
| Broadcom, Inc. | 4,801 | 1,325,412 | ||||||
| Intel Corp. | 30,239 | 1,558,216 | ||||||
| KLA Corp. | 10,345 | 1,649,510 | ||||||
| Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR (Taiwan) | 34,534 | 1,605,140 | ||||||
| Texas Instruments, Inc. | 22,489 | 2,906,479 | ||||||
| 9,044,757 | ||||||||
| Software 0.5% | ||||||||
| Micro Focus International PLC (United Kingdom) | 76,482 | 1,069,028 | ||||||
| Microsoft Corp. | 13,989 | 1,944,891 | ||||||
| 3,013,919 | ||||||||
| Specialty Retail 0.3% | ||||||||
| Home Depot, Inc. | 7,263 | 1,685,161 | ||||||
| Technology Hardware, Storage & Peripherals 0.3% | ||||||||
| Samsung Electronics Co., Ltd., GDR (Republic of Korea) (a) | 1,860 | 1,893,480 | ||||||
| Textiles, Apparel & Luxury Goods 0.3% | ||||||||
| Hanesbrands, Inc. | 113,294 | 1,735,664 | ||||||
| Tobacco 2.0% | ||||||||
| Altria Group, Inc. | 70,080 | 2,866,272 | ||||||
| British American Tobacco PLC (United Kingdom) | 68,395 | 2,529,158 | ||||||
| British American Tobacco PLC, Sponsored ADR (United Kingdom) | 24,511 | 904,456 | ||||||
| Imperial Brands PLC (United Kingdom) | 118,345 | 2,660,233 | ||||||
| Philip Morris International, Inc. | 39,167 | 2,973,950 | ||||||
| 11,934,069 | ||||||||
| Trading Companies & Distributors 0.3% | ||||||||
| Watsco, Inc. | 10,784 | 1,824,437 | ||||||
| Wireless Telecommunication Services 0.3% | ||||||||
| Rogers Communications, Inc., Class B (Canada) | 38,279 | 1,864,471 | ||||||
| Total Common Stocks (Cost $230,052,367) | 249,336,904 | |||||||
| Short-Term Investments 5.3% | ||||||||
| Affiliated Investment Company 4.9% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (p) | 29,560,581 | 29,560,581 | ||||||
| Unaffiliated Investment Company 0.4% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (p)(q) | 2,261,070 | 2,261,070 | ||||||
| Total Short-Term Investments (Cost $31,821,651) | 31,821,651 | |||||||
| Total Investments (Cost $569,578,913) | 99.9 | % | 598,700,704 | |||||
| Other Assets, Less Liabilities | 0.1 | 719,323 | ||||||
| Net Assets | 100.0 | % | $ | 599,420,027 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
| (b) | Floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (c) | Fixed to floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (d) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
| (e) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $2,186,613. The Portfolio received cash collateral with a value of $2,261,070. |
| (f) | Step coupon - Rate shown was the rate in effect as of September 30, 2019. |
| (g) | Fair valued security - Represents fair value as measured in good faith under procedures approved by the Board of Trustees. As of September 30, 2019, the total market value of fair valued securities was $2,116,956, which represented 0.4% of the Portfolio's net assets. |
| (h) | Collateral strip rate - A bond whose interest was based on the weighted net interest rate of the collateral. The coupon rate adjusts periodically based on a predetermined schedule. Rate shown was the rate in effect as of September 30, 2019. |
| (i) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end. |
| (j) | TBA - Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. As of September 30, 2019, the total net market value of these securities was $4,724,389, which represented 0.8% of the Portfolio's net assets. All or a portion of these securities are a part of a mortgage dollar roll agreement. |
| (k) | Treasury Inflation Protected Security - Pays a fixed rate of interest on a principal amount that is continuously adjusted for inflation based on the Consumer Price Index-Urban Consumers. |
| (l) | Non-income producing security. |
| (m) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
| (n) | Illiquid security - As of September 30, 2019, the total market value of the security deemed illiquid under procedures approved by the Board of Trustees was $3,173, which represented less than one-tenth of a percent of the Portfolio's net assets. |
| (o) | Restricted security. |
| (p) | Current yield as of September 30, 2019. |
| (q) | Represents security purchased with cash collateral received for securities on loan. |
| Foreign Currency Forward Contracts | |
| As of September 30, 2019, the Portfolio held the following foreign currency forward contracts1: | |
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||
| USD | 7,021,363 | CAD | 9,193,000 | JPMorgan Chase Bank N.A. | 11/1/19 | $ | 78,953 | |||||
| USD | 25,735,198 | EUR | 22,773,000 | JPMorgan Chase Bank N.A. | 11/1/19 | 857,651 | ||||||
| USD | 16,842,466 | GBP | 13,443,000 | JPMorgan Chase Bank N.A. | 11/1/19 | 293,454 | ||||||
| Total unrealized appreciation | 1,230,058 | |||||||||||
| JPY | 2,059,000,000 | USD | 19,221,165 | JPMorgan Chase Bank N.A. | 11/1/19 | (141,138 | ) | |||||
| Total unrealized depreciation | (141,138 | ) | ||||||||||
| Net unrealized appreciation | $ | 1,088,920 | ||||||||||
| 1. | Foreign Currency Forward Contracts are subject to limitations such that they cannot be “sold or repurchased,” although the Portfolio would be able to exit the transaction through other means, such as through the execution of an offsetting transaction. |
| Futures Contracts | |
| As of September 30, 2019, the Portfolio held the following futures contracts1: | |
| Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 | |||||||||||
| Long Contracts | ||||||||||||||||
| 2-Year United States Treasury Note | 140 | December 2019 | $ | 30,249,387 | $ | 30,170,000 | $ | (79,387 | ) | |||||||
| 10-Year United States Treasury Note | 49 | December 2019 | 6,412,190 | 6,385,313 | (26,877 | ) | ||||||||||
| Nikkei 225 | 210 | December 2019 | 20,437,458 | 21,233,064 | 795,606 | |||||||||||
| S&P 500 Index Mini | 415 | December 2019 | 62,329,755 | 61,803,875 | (525,880 | ) | ||||||||||
| United States Treasury Bond | 28 | December 2019 | 4,602,956 | 4,544,750 | (58,206 | ) | ||||||||||
| United States Treasury Ultra Bond | 146 | December 2019 | 28,619,162 | 28,018,313 | (600,849 | ) | ||||||||||
| Total Long Contracts | (495,593 | ) | ||||||||||||||
| Short Contracts | ||||||||||||||||
| 5-Year United States Treasury Note | (19) | December 2019 | (2,262,021 | ) | (2,263,820 | ) | (1,799 | ) | ||||||||
| 10-Year United States Treasury Ultra Note | (38) | December 2019 | (5,420,187 | ) | (5,411,438 | ) | 8,749 | |||||||||
| Total Short Contracts | 6,950 | |||||||||||||||
| Net Unrealized Depreciation | $ | (488,643 | ) | |||||||||||||
| 1. As of September 30, 2019, cash in the amount of $4,163,757 was on deposit with a broker or futures commission merchant for futures transactions. |
| 2. Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2019. |
| The following abbreviations are used in the preceding pages: | |
| ADR | —American Depositary Receipt |
| CAD | —Canadian Dollar |
| EUR | —Euro |
| GBP | —British Pound Sterling |
| GDR | —Global Depositary Receipt |
| JPY | —Japanese Yen |
| LIBOR | —London Interbank Offered Rate |
| REMIC | —Real Estate Mortgage Investment Conduit |
| USD | —United States Dollar |
| The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets and liabilities: |
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Long-Term Bonds | ||||||||||||||||
| Asset-Backed Securities | $ | — | $ | 9,189,606 | $ | — | $ | 9,189,606 | ||||||||
| Corporate Bonds | — | 182,264,223 | — | 182,264,223 | ||||||||||||
| Foreign Bonds | — | 729,520 | — | 729,520 | ||||||||||||
| Loan Assignments | — | 4,711,316 | — | 4,711,316 | ||||||||||||
| Mortgage-Backed Securities | — | 48,049,446 | — | 48,049,446 | ||||||||||||
| U.S. Government & Federal Agencies | — | 72,598,038 | — | 72,598,038 | ||||||||||||
| Total Long-Term Bonds | — | 317,542,149 | — | 317,542,149 | ||||||||||||
| Common Stocks (b) | 249,333,731 | — | 3,173 | 249,336,904 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 29,560,581 | — | — | 29,560,581 | ||||||||||||
| Unaffiliated Investment Company | 2,261,070 | — | — | 2,261,070 | ||||||||||||
| Total Short-Term Investments | 31,821,651 | — | — | 31,821,651 | ||||||||||||
| Total Investments in Securities | 281,155,382 | 317,542,149 | 3,173 | 598,700,704 | ||||||||||||
| Other Financial Instruments | ||||||||||||||||
| Foreign Currency Forward Contracts (c) | — | 1,230,058 | — | 1,230,058 | ||||||||||||
Futures Contracts (c) | 804,355 | — | — | 804,355 | ||||||||||||
| Total Other Financial Instruments | 804,355 | 1,230,058 | — | 2,034,413 | ||||||||||||
| Total Investments in Securities and Other Financial Instruments | $ | 281,959,737 | $ | 318,772,207 | $ | 3,173 | $ | 600,735,117 | ||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Other Financial Instruments | ||||||||||||||||
| Foreign Currency Forward Contracts (c) | $ | — | $ | (141,138 | ) | $ | — | $ | (141,138 | ) | ||||||
| Futures Contracts (c) | (1,292,998 | ) | — | — | (1,292,998 | ) | ||||||||||
| Total Other Financial Instruments | $ | (1,292,998 | ) | $ | (141,138 | ) | $ | — | $ | (1,434,136 | ) | |||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
| (b) | The Level 3 security valued at $3,173 is held in Media within the Common Stocks section of the Portfolio of Investments. |
| (c) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
| Investments in Securities | Balance as of December 31, 2018 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales (a) | Transfers in to Level 3 | Transfers out of Level 3 | Balance as of September 30, 2019 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2019 | ||||||||||||||||||||||||||||||
| Long-Term Bonds | ||||||||||||||||||||||||||||||||||||||||
| Loan Assignments | $ | 776,408 | $ | 11 | $ | (32,053 | ) | $ | 46,458 | $ | - | $ | (790,824 | ) | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||||
| Mortgage-Backed Securities | 229,645 | - | (27,226 | ) | 16,813 | - | (219,232 | ) | - | - | - | - | ||||||||||||||||||||||||||||
| Common Stocks | 4,954 | - | - | (1,781 | ) | - | - | - | - | 3,173 | (1,781 | ) | ||||||||||||||||||||||||||||
| Total | $ | 1,011,007 | $ | 11 | $ | (59,279 | ) | $ | 61,490 | $ | - | $ | (1,010,056 | ) | $ | - | $ | - | $ | 3,173 | $ | (1,781 | ) | |||||||||||||||||
(a) Sales include principal reductions.
MainStay VP Indexed Bond Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Principal Amount | Value | |||||||
| Long-Term Bonds 93.9% † | ||||||||
| Asset-Backed Securities 0.4% | ||||||||
| Automobile 0.4% | ||||||||
| Ally Auto Receivables Trust Series 2018-3, Class A3 3.00%, due 1/17/23 | $ | 99,000 | $ | 99,881 | ||||
| BMW Vehicle Lease Trust Series 2018-1, Class A4 3.26%, due 7/20/21 | 200,000 | 202,316 | ||||||
| Ford Credit Floorplan Master Owner Trust Series 2017-2, Class A1 2.16%, due 9/15/22 | 300,000 | 300,091 | ||||||
| GM Financial Securitized Term Auto Receivables Trust Series 2018-3, Class A3 3.02%, due 5/16/23 | 700,000 | 709,306 | ||||||
| Honda Auto Receivables Owner Trust Series 2018-3, Class A3 2.95%, due 8/22/22 | 800,000 | 809,250 | ||||||
| Hyundai Auto Lease Securitization Trust Series 2018-B, Class A3 3.04%, due 10/15/21 (a) | 100,000 | 100,728 | ||||||
| Total Asset-Backed Securities (Cost $2,198,734) | 2,221,572 | |||||||
| Corporate Bonds 23.1% | ||||||||
| Aerospace & Defense 0.4% | ||||||||
| Boeing Co. 3.25%, due 3/1/28 | 210,000 | 220,476 | ||||||
| General Dynamics Corp. 3.00%, due 5/11/21 | 255,000 | 259,465 | ||||||
| Lockheed Martin Corp. 4.07%, due 12/15/42 | 255,000 | 294,311 | ||||||
| Northrop Grumman Corp. 7.75%, due 2/15/31 | 210,000 | 305,363 | ||||||
| Raytheon Co. 3.15%, due 12/15/24 | 255,000 | 267,977 | ||||||
| Rockwell Collins, Inc. 3.50%, due 3/15/27 | 210,000 | 224,060 | ||||||
| United Technologies Corp. | ||||||||
| 2.65%, due 11/1/26 | 610,000 | 626,161 | ||||||
| 3.65%, due 8/16/23 | 50,000 | 52,912 | ||||||
| 2,250,725 | ||||||||
| Apparel 0.0% ‡ | ||||||||
| Nike, Inc. 3.625%, due 5/1/43 | 65,000 | 71,524 | ||||||
| Auto Manufacturers 0.4% | ||||||||
| Ford Motor Credit Co. LLC 3.219%, due 1/9/22 | 1,300,000 | 1,298,682 | ||||||
| General Motors Financial Co., Inc. 4.35%, due 1/17/27 | 665,000 | 683,526 | ||||||
| Toyota Motor Credit Corp. 2.25%, due 10/18/23 | 290,000 | 292,298 | ||||||
| 2,274,506 | ||||||||
| Banks 6.2% | ||||||||
| Bank of America Corp. | ||||||||
| 3.248%, due 10/21/27 | 405,000 | 420,970 | ||||||
| 3.30%, due 1/11/23 | 835,000 | 862,695 | ||||||
| 3.419%, due 12/20/28 (b) | 510,000 | 532,645 | ||||||
| 5.00%, due 1/21/44 | 320,000 | 405,972 | ||||||
| 5.625%, due 7/1/20 | 375,000 | 384,992 | ||||||
| Bank of New York Mellon Corp. | ||||||||
| 2.05%, due 5/3/21 | 95,000 | 95,071 | ||||||
| 2.50%, due 4/15/21 | 610,000 | 614,673 | ||||||
| 3.00%, due 2/24/25 | 410,000 | 426,824 | ||||||
| Bank of Nova Scotia 2.70%, due 3/7/22 | 720,000 | 732,594 | ||||||
| Barclays PLC 5.25%, due 8/17/45 | 270,000 | 304,462 | ||||||
| BB&T Corp. | ||||||||
| 2.05%, due 5/10/21 | 705,000 | 704,554 | ||||||
| 2.75%, due 4/1/22 | 255,000 | 258,782 | ||||||
| BNP Paribas S.A. 3.25%, due 3/3/23 | 445,000 | 462,881 | ||||||
| Capital One Financial Co. 3.05%, due 3/9/22 | 565,000 | 576,239 | ||||||
| Citigroup, Inc. | ||||||||
| 2.65%, due 10/26/20 | 610,000 | 613,735 | ||||||
| 3.375%, due 3/1/23 | 915,000 | 947,909 | ||||||
| 4.45%, due 9/29/27 | 735,000 | 801,940 | ||||||
| 4.65%, due 7/30/45 | 170,000 | 204,799 | ||||||
| Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A. 5.25%, due 5/24/41 | 405,000 | 556,428 | ||||||
| Credit Suisse Group Funding Guernsey, Ltd. 3.80%, due 6/9/23 | 335,000 | 349,866 | ||||||
| Fifth Third Bank 2.25%, due 6/14/21 | 470,000 | 471,504 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 2.60%, due 12/27/20 | 525,000 | 525,636 | ||||||
| 2.905%, due 7/24/23 (b) | 1,420,000 | 1,439,073 | ||||||
| 3.85%, due 1/26/27 | 520,000 | 551,393 | ||||||
| 4.80%, due 7/8/44 | 220,000 | 263,434 | ||||||
| HSBC Holdings PLC | ||||||||
| 2.65%, due 1/5/22 | 1,060,000 | 1,067,575 | ||||||
| 3.90%, due 5/25/26 | 250,000 | 264,627 | ||||||
| JPMorgan Chase & Co. | ||||||||
| 4.25%, due 10/1/27 | 1,340,000 | 1,472,173 | ||||||
| 4.26%, due 2/22/48 (b) | 500,000 | 583,757 | ||||||
| Keybank N.A. 2.40%, due 6/9/22 | 335,000 | 337,615 | ||||||
| KfW | ||||||||
| 1.50%, due 4/20/20 | 830,000 | 827,816 | ||||||
| 2.125%, due 3/7/22 | 2,730,000 | 2,761,258 | ||||||
| Lloyds Banking Group PLC 3.75%, due 1/11/27 | 270,000 | 280,013 | ||||||
| Mitsubishi UFJ Financial Group, Inc. 3.455%, due 3/2/23 | 510,000 | 528,309 | ||||||
| Morgan Stanley | ||||||||
| 2.50%, due 4/21/21 | 450,000 | 453,017 | ||||||
| 3.625%, due 1/20/27 | 750,000 | 794,133 | ||||||
| 4.10%, due 5/22/23 | 555,000 | 584,454 | ||||||
| National Australia Bank, Ltd. 2.50%, due 5/22/22 | 335,000 | 339,189 | ||||||
| PNC Bank N.A. 2.625%, due 2/17/22 | 335,000 | 339,654 | ||||||
| Royal Bank of Canada 2.75%, due 2/1/22 | 330,000 | 335,936 | ||||||
| Royal Bank of Scotland Group PLC 3.875%, due 9/12/23 | 270,000 | 278,744 | ||||||
| Santander UK PLC 2.375%, due 3/16/20 | 610,000 | 610,459 | ||||||
| State Street Corp. 4.375%, due 3/7/21 | 350,000 | 361,257 | ||||||
| Sumitomo Mitsui Banking Corp. 2.65%, due 7/23/20 | 1,355,000 | 1,360,722 | ||||||
| Toronto-Dominion Bank 2.50%, due 12/14/20 | 445,000 | 447,769 | ||||||
| U.S. Bank N.A. 2.00%, due 1/24/20 | 1,420,000 | 1,420,105 | ||||||
| Wells Fargo & Co. | ||||||||
| 2.55%, due 12/7/20 | 300,000 | 301,610 | ||||||
| 3.00%, due 4/22/26 | 600,000 | 615,214 | ||||||
| 3.50%, due 3/8/22 | 355,000 | 366,314 | ||||||
| 4.75%, due 12/7/46 | 500,000 | 590,280 | ||||||
| Westpac Banking Corp. 2.80%, due 1/11/22 | 445,000 | 452,670 | ||||||
| 31,283,741 | ||||||||
| Beverages 0.7% | ||||||||
| Anheuser-Busch Cos., LLC / Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 2.50%, due 7/15/22 | 365,000 | 370,087 | ||||||
| 4.60%, due 4/15/48 | 1,265,000 | 1,458,977 | ||||||
| Coca Cola Co. 2.25%, due 9/1/26 | 290,000 | 291,535 | ||||||
| Constellation Brands, Inc. 3.60%, due 2/15/28 | 100,000 | 105,579 | ||||||
| Diageo Capital PLC 5.875%, due 9/30/36 | 218,000 | 302,360 | ||||||
| Keurig Dr Pepper, Inc. 4.985%, due 5/25/38 | 65,000 | 75,398 | ||||||
| Molson Coors Brewing Co. 4.20%, due 7/15/46 | 65,000 | 65,684 | ||||||
| PepsiCo, Inc. | ||||||||
| 2.75%, due 3/1/23 | 330,000 | 339,994 | ||||||
| 2.85%, due 2/24/26 | 210,000 | 218,800 | ||||||
| 4.45%, due 4/14/46 | 105,000 | 130,807 | ||||||
| 3,359,221 | ||||||||
| Biotechnology 0.4% | ||||||||
| Amgen, Inc. | ||||||||
| 2.70%, due 5/1/22 | 180,000 | 182,672 | ||||||
| 3.125%, due 5/1/25 | 255,000 | 265,083 | ||||||
| 4.40%, due 5/1/45 | 180,000 | 203,415 | ||||||
| Baxalta, Inc. 3.60%, due 6/23/22 | 39,000 | 40,022 | ||||||
| Celgene Corp. | ||||||||
| 2.75%, due 2/15/23 | 25,000 | 25,446 | ||||||
| 3.55%, due 8/15/22 | 155,000 | 160,749 | ||||||
| 3.625%, due 5/15/24 | 510,000 | 538,556 | ||||||
| Gilead Sciences, Inc. | ||||||||
| 3.65%, due 3/1/26 | 440,000 | 471,604 | ||||||
| 4.60%, due 9/1/35 | 180,000 | 213,395 | ||||||
| 2,100,942 | ||||||||
| Building Materials 0.0% ‡ | ||||||||
| Johnson Controls International PLC 6.00%, due 1/15/36 | 50,000 | 61,422 | ||||||
| Chemicals 0.4% | ||||||||
| Dow Chemical Co. 3.00%, due 11/15/22 | 445,000 | 453,393 | ||||||
| DuPont de Nemours, Inc. 4.493%, due 11/15/25 | 375,000 | 414,418 | ||||||
| Mosaic Co. 4.05%, due 11/15/27 | 405,000 | 420,754 | ||||||
| Nutrien, Ltd. 5.875%, due 12/1/36 | 210,000 | 252,228 | ||||||
| Sherwin-Williams Co. 3.95%, due 1/15/26 | 255,000 | 272,450 | ||||||
| 1,813,243 | ||||||||
| Commercial Services 0.0% ‡ | ||||||||
| Ecolab, Inc. 2.70%, due 11/1/26 | 210,000 | 215,816 | ||||||
| Computers 0.5% | ||||||||
| Apple, Inc. | ||||||||
| 2.15%, due 2/9/22 | 180,000 | 181,360 | ||||||
| 2.90%, due 9/12/27 | 250,000 | 260,287 | ||||||
| 3.35%, due 2/9/27 | 16,000 | 17,106 | ||||||
| 4.25%, due 2/9/47 | 180,000 | 215,189 | ||||||
| 4.50%, due 2/23/36 | 245,000 | 298,476 | ||||||
| Dell International LLC / EMC Corp. (a) | ||||||||
| 5.45%, due 6/15/23 | 445,000 | 484,284 | ||||||
| 6.02%, due 6/15/26 | 300,000 | 337,374 | ||||||
| Hewlett Packard Enterprise Co. 4.40%, due 10/15/22 | 180,000 | 190,673 | ||||||
| IBM Corp. | ||||||||
| 1.875%, due 8/1/22 | 200,000 | 199,137 | ||||||
| 3.45%, due 2/19/26 | 175,000 | 185,959 | ||||||
| 3.50%, due 5/15/29 | 290,000 | 311,235 | ||||||
| 2,681,080 | ||||||||
| Cosmetics & Personal Care 0.1% | ||||||||
| Procter & Gamble Co. 2.70%, due 2/2/26 | 210,000 | 217,980 | ||||||
| Unilever Capital Corp. 3.10%, due 7/30/25 | 100,000 | 104,770 | ||||||
| 322,750 | ||||||||
| Diversified Financial Services 0.5% | ||||||||
| American Express Co. | ||||||||
| 2.20%, due 10/30/20 | 300,000 | 300,448 | ||||||
| 3.40%, due 2/27/23 | 365,000 | 379,007 | ||||||
| GE Capital International Funding Co. 3.373%, due 11/15/25 | 925,000 | 943,671 | ||||||
| National Rural Utilities Cooperative Finance Corp. 2.70%, due 2/15/23 | 90,000 | 91,796 | ||||||
| Visa, Inc. | ||||||||
| 2.80%, due 12/14/22 | 405,000 | 416,418 | ||||||
| 4.30%, due 12/14/45 | 175,000 | 217,165 | ||||||
| 2,348,505 | ||||||||
| Electric 1.5% | ||||||||
| American Electric Power Co., Inc. 2.15%, due 11/13/20 | 525,000 | 525,305 | ||||||
| CenterPoint Energy Houston Electric LLC 4.25%, due 2/1/49 | 250,000 | 300,137 | ||||||
| Commonwealth Edison Co. 3.65%, due 6/15/46 | 390,000 | 421,283 | ||||||
| Consolidated Edison Co. of New York, Inc. 5.85%, due 3/15/36 | 565,000 | 744,087 | ||||||
| DTE Electric Co. 3.375%, due 3/1/25 | 180,000 | 190,456 | ||||||
| Duke Energy Carolinas LLC | ||||||||
| 3.875%, due 3/15/46 | 690,000 | 766,053 | ||||||
| 4.00%, due 9/30/42 | 210,000 | 234,982 | ||||||
| Edison International 2.95%, due 3/15/23 | 180,000 | 180,000 | ||||||
| Emera U.S. Finance, L.P. 2.70%, due 6/15/21 | 180,000 | 181,058 | ||||||
| Exelon Corp. 2.85%, due 6/15/20 | 375,000 | 376,568 | ||||||
| Florida Power & Light Co. | ||||||||
| 2.75%, due 6/1/23 | 120,000 | 123,136 | ||||||
| 3.80%, due 12/15/42 | 165,000 | 182,883 | ||||||
| Kentucky Utilities Co. 3.25%, due 11/1/20 | 260,000 | 262,894 | ||||||
| MidAmerican Energy Co. 3.95%, due 8/1/47 | 330,000 | 375,580 | ||||||
| Ohio Power Co. Series G 6.60%, due 2/15/33 | 165,000 | 228,781 | ||||||
| PPL Electric Utilities Corp. 3.95%, due 6/1/47 | 100,000 | 113,604 | ||||||
| San Diego Gas & Electric Co. 4.15%, due 5/15/48 | 210,000 | 239,119 | ||||||
| Sempra Energy 3.80%, due 2/1/38 | 210,000 | 215,985 | ||||||
| Southern California Edison Co. 4.125%, due 3/1/48 | 210,000 | 227,944 | ||||||
| Southern Co. | ||||||||
| 2.95%, due 7/1/23 | 180,000 | 183,709 | ||||||
| 4.40%, due 7/1/46 | 250,000 | 278,554 | ||||||
| Virginia Electric & Power Co. 4.00%, due 1/15/43 | 365,000 | 404,686 | ||||||
| Xcel Energy, Inc. 3.30%, due 6/1/25 | 730,000 | 761,695 | ||||||
| 7,518,499 | ||||||||
| Environmental Controls 0.1% | ||||||||
| Republic Services, Inc. 3.20%, due 3/15/25 | 255,000 | 265,257 | ||||||
| Waste Management, Inc. 3.15%, due 11/15/27 | 255,000 | 268,365 | ||||||
| 533,622 | ||||||||
| Food 0.3% | ||||||||
| General Mills, Inc. | ||||||||
| 3.15%, due 12/15/21 | 180,000 | 183,646 | ||||||
| 4.20%, due 4/17/28 | 65,000 | 72,373 | ||||||
| Kraft Heinz Foods Co. 3.00%, due 6/1/26 | 555,000 | 549,109 | ||||||
| Sysco Corp. 3.25%, due 7/15/27 | 255,000 | 267,158 | ||||||
| Tyson Foods, Inc. 5.10%, due 9/28/48 | 250,000 | 303,727 | ||||||
| 1,376,013 | ||||||||
| Forest Products & Paper 0.1% | ||||||||
| Fibria Overseas Finance, Ltd. 5.50%, due 1/17/27 | 405,000 | 435,071 | ||||||
| International Paper Co. 3.80%, due 1/15/26 | 260,000 | 276,192 | ||||||
| 711,263 | ||||||||
| Gas 0.0% ‡ | ||||||||
| NiSource, Inc. 3.49%, due 5/15/27 | 210,000 | 220,231 | ||||||
| Health Care - Products 0.3% | ||||||||
| Abbott Laboratories | ||||||||
| 3.75%, due 11/30/26 | 150,000 | 163,416 | ||||||
| 4.90%, due 11/30/46 | 100,000 | 129,004 | ||||||
| Becton Dickinson & Co. 3.70%, due 6/6/27 | 131,000 | 139,067 | ||||||
| Boston Scientific Corp. 4.70%, due 3/1/49 | 200,000 | 243,890 | ||||||
| Medtronic, Inc. 4.625%, due 3/15/45 | 349,000 | 448,026 | ||||||
| Stryker Corp. 3.65%, due 3/7/28 | 210,000 | 227,514 | ||||||
| Thermo Fisher Scientific, Inc. | ||||||||
| 2.95%, due 9/19/26 | 290,000 | 298,777 | ||||||
| 3.60%, due 8/15/21 | 100,000 | 102,519 | ||||||
| 1,752,213 | ||||||||
| Health Care - Services 0.3% | ||||||||
| Aetna, Inc. 6.625%, due 6/15/36 | 210,000 | 272,751 | ||||||
| Anthem, Inc. 4.375%, due 12/1/47 | 255,000 | 275,264 | ||||||
| Laboratory Corporation of America Holdings 3.60%, due 2/1/25 | 255,000 | 267,372 | ||||||
| UnitedHealth Group, Inc. | ||||||||
| 3.10%, due 3/15/26 | 500,000 | 522,631 | ||||||
| 4.45%, due 12/15/48 | 250,000 | 295,638 | ||||||
| 1,633,656 | ||||||||
| Household Products & Wares 0.1% | ||||||||
| Clorox Co. 3.90%, due 5/15/28 | 210,000 | 232,771 | ||||||
| Kimberly-Clark Corp. 2.75%, due 2/15/26 | 210,000 | 216,261 | ||||||
| 449,032 | ||||||||
| Housewares 0.0% ‡ | ||||||||
| Newell Brands, Inc. 3.85%, due 4/1/23 | 175,000 | 180,145 | ||||||
| Insurance 0.6% | ||||||||
| Allstate Corp. 5.35%, due 6/1/33 (c) | 210,000 | 267,464 | ||||||
| American International Group, Inc. 6.25%, due 5/1/36 | 350,000 | 458,117 | ||||||
| Berkshire Hathaway Finance Corp. 4.30%, due 5/15/43 | 355,000 | 418,299 | ||||||
| Chubb INA Holdings, Inc. 3.35%, due 5/3/26 | 180,000 | 192,236 | ||||||
| Marsh & McLennan Cos., Inc. 2.75%, due 1/30/22 | 390,000 | 395,884 | ||||||
| Metlife, Inc. 3.00%, due 3/1/25 | 330,000 | 342,883 | ||||||
| Progressive Corp. 3.75%, due 8/23/21 | 300,000 | 309,928 | ||||||
| Prudential Financial, Inc. | ||||||||
| 4.418%, due 3/27/48 | 125,000 | 142,973 | ||||||
| 4.50%, due 11/15/20 | 330,000 | 338,867 | ||||||
| 2,866,651 | ||||||||
| Internet 0.2% | ||||||||
| Alphabet, Inc. 3.375%, due 2/25/24 | 300,000 | 319,588 | ||||||
| Amazon.com, Inc. 3.875%, due 8/22/37 | 810,000 | 931,927 | ||||||
| 1,251,515 | ||||||||
| Machinery - Construction & Mining 0.1% | ||||||||
| Caterpillar, Inc. 5.30%, due 9/15/35 | 260,000 | 334,222 | ||||||
| Machinery - Diversified 0.0% ‡ | ||||||||
| Deere & Co. 3.90%, due 6/9/42 | 145,000 | 167,080 | ||||||
| Media 1.0% | ||||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
| 4.908%, due 7/23/25 | 750,000 | 822,716 | ||||||
| 5.75%, due 4/1/48 | 250,000 | 284,998 | ||||||
| Comcast Corp. | ||||||||
| 1.625%, due 1/15/22 (c) | 615,000 | 612,142 | ||||||
| 3.40%, due 7/15/46 | 555,000 | 567,554 | ||||||
| 4.15%, due 10/15/28 | 555,000 | 622,558 | ||||||
| Discovery Communications LLC 3.95%, due 3/20/28 | 350,000 | 363,305 | ||||||
| TWDC Enterprises 18 Corp. 2.35%, due 12/1/22 | 510,000 | 517,336 | ||||||
| Walt Disney Co. (a) | ||||||||
| 3.00%, due 9/15/22 | 615,000 | 634,175 | ||||||
| 6.40%, due 12/15/35 | 410,000 | 590,687 | ||||||
| 5,015,471 | ||||||||
| Mining 0.2% | ||||||||
| Barrick North America Finance LLC 5.70%, due 5/30/41 | 100,000 | 125,678 | ||||||
| BHP Billiton Finance USA, Ltd. 3.85%, due 9/30/23 | 430,000 | 459,965 | ||||||
| Rio Tinto Finance USA, Ltd. 3.75%, due 6/15/25 | 405,000 | 435,076 | ||||||
| 1,020,719 | ||||||||
| Miscellaneous - Manufacturing 0.4% | ||||||||
| 3m Co. 4.00%, due 9/14/48 | 250,000 | 281,031 | ||||||
| Eaton Corp. 4.00%, due 11/2/32 | 210,000 | 240,678 | ||||||
| General Electric Co. 4.125%, due 10/9/42 | 555,000 | 555,348 | ||||||
| Ingersoll-Rand Luxembourg Finance S.A. 2.625%, due 5/1/20 | 375,000 | 375,683 | ||||||
| Parker-Hannifin Corp. | ||||||||
| 3.50%, due 9/15/22 | 240,000 | 249,115 | ||||||
| 4.20%, due 11/21/34 | 65,000 | 73,149 | ||||||
| 1,775,004 | ||||||||
| Multi-National 1.4% | ||||||||
| Asian Development Bank 2.75%, due 3/17/23 | 1,000,000 | 1,037,982 | ||||||
| European Investment Bank | ||||||||
| 2.25%, due 8/15/22 | 1,525,000 | 1,551,436 | ||||||
| 2.375%, due 5/24/27 | 570,000 | 597,337 | ||||||
| Inter-American Development Bank 1.75%, due 4/14/22 | 915,000 | 916,240 | ||||||
| International Bank for Reconstruction & Development | ||||||||
| 2.00%, due 1/26/22 | 1,525,000 | 1,537,037 | ||||||
| 3.00%, due 9/27/23 | 1,000,000 | 1,052,455 | ||||||
| Japan Bank for International Cooperation 2.875%, due 6/1/27 | 576,000 | 611,723 | ||||||
| 7,304,210 | ||||||||
| Oil & Gas 1.2% | ||||||||
| BP Capital Markets America, Inc. 3.588%, due 4/14/27 | 250,000 | 266,727 | ||||||
| Canadian Natural Resources, Ltd. 6.25%, due 3/15/38 | 100,000 | 127,390 | ||||||
| Cenovus Energy, Inc. 5.25%, due 6/15/37 | 300,000 | 326,731 | ||||||
| Chevron Corp. 3.191%, due 6/24/23 | 410,000 | 427,451 | ||||||
| ConocoPhillips Co. 5.95%, due 3/15/46 | 95,000 | 136,478 | ||||||
| Devon Energy Corp. 4.75%, due 5/15/42 | 210,000 | 230,649 | ||||||
| Enterprise Products Operating LLC 4.80%, due 2/1/49 | 350,000 | 407,530 | ||||||
| EOG Resources, Inc. 3.90%, due 4/1/35 | 180,000 | 200,448 | ||||||
| Equinor ASA 5.10%, due 8/17/40 | 360,000 | 464,430 | ||||||
| Exxon Mobil Corp. 4.114%, due 3/1/46 | 390,000 | 461,671 | ||||||
| Hess Corp. 7.125%, due 3/15/33 | 100,000 | 124,799 | ||||||
| Marathon Petroleum Corp. 5.125%, due 3/1/21 | 1,020,000 | 1,060,264 | ||||||
| Nabors Industries, Inc. 5.00%, due 9/15/20 | 35,000 | 34,212 | ||||||
| Occidental Petroleum Corp. | ||||||||
| 3.00%, due 2/15/27 | 180,000 | 178,577 | ||||||
| 5.55%, due 3/15/26 | 320,000 | 360,917 | ||||||
| Petroleos Mexicanos 6.50%, due 6/2/41 | 250,000 | 238,875 | ||||||
| Shell International Finance B.V. | ||||||||
| 2.375%, due 8/21/22 | 290,000 | 294,538 | ||||||
| 3.75%, due 9/12/46 | 510,000 | 565,637 | ||||||
| 5,907,324 | ||||||||
| Oil & Gas Services 0.1% | ||||||||
| Halliburton Co. 3.80%, due 11/15/25 | 450,000 | 476,650 | ||||||
| Pharmaceuticals 1.1% | ||||||||
| AbbVie, Inc. | ||||||||
| 3.20%, due 11/6/22 | 440,000 | 451,309 | ||||||
| 3.75%, due 11/14/23 | 70,000 | 73,616 | ||||||
| 4.70%, due 5/14/45 | 180,000 | 192,558 | ||||||
| Allergan Funding SCS | ||||||||
| 3.80%, due 3/15/25 | 200,000 | 209,426 | ||||||
| 4.75%, due 3/15/45 | 100,000 | 105,948 | ||||||
| AstraZeneca PLC 6.45%, due 9/15/37 | 440,000 | 620,901 | ||||||
| Bristol-Myers Squibb Co. 3.40%, due 7/26/29 (a) | 530,000 | 566,104 | ||||||
| Cigna Corp. | ||||||||
| 4.125%, due 11/15/25 | 225,000 | 241,581 | ||||||
| 4.90%, due 12/15/48 | 250,000 | 286,019 | ||||||
| Eli Lilly & Co. 3.95%, due 3/15/49 | 250,000 | 290,144 | ||||||
| Express Scripts Holding Co. 3.90%, due 2/15/22 | 405,000 | 420,079 | ||||||
| GlaxoSmithKline Capital, Inc. 3.875%, due 5/15/28 | 255,000 | 281,416 | ||||||
| Johnson & Johnson | ||||||||
| 3.55%, due 3/1/36 | 40,000 | 43,936 | ||||||
| 4.95%, due 5/15/33 | 250,000 | 317,526 | ||||||
| Merck & Co., Inc. 3.70%, due 2/10/45 | 210,000 | 236,834 | ||||||
| Mylan, Inc. | ||||||||
| 4.20%, due 11/29/23 | 50,000 | 52,367 | ||||||
| 5.20%, due 4/15/48 | 65,000 | 68,809 | ||||||
| Novartis Capital Corp. 4.00%, due 11/20/45 | 260,000 | 305,922 | ||||||
| Pfizer, Inc. | ||||||||
| 3.00%, due 6/15/23 | 155,000 | 160,677 | ||||||
| 3.20%, due 9/15/23 | 25,000 | 26,183 | ||||||
| 4.00%, due 12/15/36 | 440,000 | 503,725 | ||||||
| 4.10%, due 9/15/38 | 70,000 | 79,931 | ||||||
| 5,535,011 | ||||||||
| Pipelines 0.8% | ||||||||
| Enbridge, Inc. 4.50%, due 6/10/44 | 210,000 | 230,240 | ||||||
| Energy Transfer Operating, L.P. 4.05%, due 3/15/25 | 830,000 | 868,448 | ||||||
| Enterprise Products Operating LLC 3.70%, due 2/15/26 | 400,000 | 425,154 | ||||||
| Kinder Morgan Energy Partners, L.P. 5.80%, due 3/15/35 | 255,000 | 299,468 | ||||||
| Kinder Morgan, Inc. 4.30%, due 6/1/25 | 515,000 | 556,778 | ||||||
| MPLX, L.P. 4.125%, due 3/1/27 | 255,000 | 268,918 | ||||||
| Phillips 66 Partners, L.P. 4.68%, due 2/15/45 | 412,000 | 442,039 | ||||||
| Plains All American Pipeline, L.P. / PAA Finance Corp. 3.65%, due 6/1/22 | 180,000 | 184,622 | ||||||
| TransCanada PipeLines, Ltd. | ||||||||
| 4.875%, due 1/15/26 | 260,000 | 291,864 | ||||||
| 4.875%, due 5/15/48 | 100,000 | 115,696 | ||||||
| Williams Cos., Inc. 3.35%, due 8/15/22 | 250,000 | 255,717 | ||||||
| 3,938,944 | ||||||||
| Real Estate 0.0% ‡ | ||||||||
| Prologis, L.P. 3.75%, due 11/1/25 | 180,000 | 196,046 | ||||||
| Real Estate Investment Trusts 0.3% | ||||||||
| American Tower Corp. 5.00%, due 2/15/24 | 170,000 | 187,831 | ||||||
| AvalonBay Communities, Inc. 2.90%, due 10/15/26 | 180,000 | 184,972 | ||||||
| ERP Operating, L.P. | ||||||||
| 3.25%, due 8/1/27 | 210,000 | 221,174 | ||||||
| 4.625%, due 12/15/21 | 225,000 | 236,151 | ||||||
| Realty Income Corp. 4.65%, due 3/15/47 | 125,000 | 154,708 | ||||||
| Simon Property Group, L.P. 4.25%, due 11/30/46 | 368,000 | 424,909 | ||||||
| 1,409,745 | ||||||||
| Retail 0.7% | ||||||||
| CVS Health Corp. | ||||||||
| 2.75%, due 12/1/22 | 330,000 | 333,879 | ||||||
| 2.80%, due 7/20/20 | 300,000 | 301,338 | ||||||
| 4.30%, due 3/25/28 | 210,000 | 227,080 | ||||||
| 5.05%, due 3/25/48 | 405,000 | 459,646 | ||||||
| Home Depot, Inc. 4.25%, due 4/1/46 | 355,000 | 425,146 | ||||||
| Lowe’s Cos., Inc. 4.05%, due 5/3/47 | 360,000 | 384,270 | ||||||
| McDonald’s Corp. 3.375%, due 5/26/25 | 560,000 | 592,961 | ||||||
| Target Corp. 3.50%, due 7/1/24 | 250,000 | 267,849 | ||||||
| Walmart, Inc. | ||||||||
| 2.85%, due 7/8/24 | 225,000 | 233,818 | ||||||
| 3.30%, due 4/22/24 | 65,000 | 68,654 | ||||||
| 4.30%, due 4/22/44 | 300,000 | 371,316 | ||||||
| 3,665,957 | ||||||||
| Semiconductors 0.4% | ||||||||
| Applied Materials, Inc. 5.10%, due 10/1/35 | 210,000 | 266,159 | ||||||
| Broadcom Corp. / Broadcom Cayman Finance, Ltd. | ||||||||
| 2.20%, due 1/15/21 | 300,000 | 298,906 | ||||||
| 3.00%, due 1/15/22 | 180,000 | 181,741 | ||||||
| Intel Corp. 3.70%, due 7/29/25 | 510,000 | 552,630 | ||||||
| QUALCOMM, Inc. 4.65%, due 5/20/35 | 210,000 | 247,397 | ||||||
| Texas Instruments, Inc. 2.625%, due 5/15/24 | 300,000 | 308,329 | ||||||
| 1,855,162 | ||||||||
| Software 0.6% | ||||||||
| Fidelity National Information Services, Inc. | ||||||||
| 2.25%, due 8/15/21 | 353,000 | 353,489 | ||||||
| 3.50%, due 4/15/23 | 63,000 | 65,710 | ||||||
| Fiserv, Inc. 4.20%, due 10/1/28 | 50,000 | 55,310 | ||||||
| Microsoft Corp. | ||||||||
| 2.40%, due 2/6/22 | 410,000 | 415,724 | ||||||
| 3.30%, due 2/6/27 | 365,000 | 393,755 | ||||||
| 4.25%, due 2/6/47 | 495,000 | 614,108 | ||||||
| Oracle Corp. | ||||||||
| 2.95%, due 5/15/25 | 405,000 | 420,175 | ||||||
| 4.00%, due 7/15/46 | 180,000 | 201,262 | ||||||
| 5.375%, due 7/15/40 | 300,000 | 390,131 | ||||||
| 2,909,664 | ||||||||
| Sovereign 0.1% | ||||||||
| Svensk Exportkredit A.B. 2.375%, due 3/9/22 | 400,000 | 405,975 | ||||||
| Telecommunications 1.0% | ||||||||
| AT&T, Inc. | ||||||||
| 3.60%, due 7/15/25 | 260,000 | 273,695 | ||||||
| 4.25%, due 3/1/27 | 750,000 | 816,010 | ||||||
| 5.15%, due 11/15/46 | 620,000 | 716,400 | ||||||
| Cisco Systems, Inc. 2.95%, due 2/28/26 | 410,000 | 431,885 | ||||||
| Deutsche Telekom International Finance B.V. 8.75%, due 6/15/30 | 210,000 | 310,080 | ||||||
| Telefonica Emisiones SAU 7.045%, due 6/20/36 | 300,000 | 414,182 | ||||||
| Verizon Communications, Inc. | ||||||||
| 4.016%, due 12/3/29 | 515,000 | 572,336 | ||||||
| 5.50%, due 3/16/47 | 850,000 | 1,121,846 | ||||||
| Vodafone Group PLC 4.375%, due 5/30/28 | 405,000 | 447,324 | ||||||
| 5,103,758 | ||||||||
| Transportation 0.6% | ||||||||
| Burlington Northern Santa Fe LLC 3.25%, due 6/15/27 (c) | 180,000 | 191,958 | ||||||
| Canadian National Railway Co. 6.25%, due 8/1/34 | 210,000 | 293,239 | ||||||
| CSX Corp. 3.70%, due 11/1/23 | 615,000 | 650,410 | ||||||
| FedEx Corp. | ||||||||
| 2.625%, due 8/1/22 | 260,000 | 262,470 | ||||||
| 3.20%, due 2/1/25 | 255,000 | 263,370 | ||||||
| Norfolk Southern Corp. | ||||||||
| 3.942%, due 11/1/47 | 66,000 | 71,659 | ||||||
| 4.80%, due 8/15/43 | 40,000 | 46,786 | ||||||
| Union Pacific Corp. 2.75%, due 3/1/26 | 705,000 | 716,022 | ||||||
| United Parcel Service, Inc. 3.40%, due 11/15/46 | 405,000 | 409,617 | ||||||
| 2,905,531 | ||||||||
| Total Corporate Bonds (Cost $109,708,583) | 117,202,788 | |||||||
| Foreign Government Bonds 1.7% | ||||||||
| Canada 0.3% | ||||||||
| Province of Ontario Canada 2.50%, due 4/27/26 | 970,000 | 1,006,895 | ||||||
| Province of Quebec Canada 2.50%, due 4/20/26 | 650,000 | 674,063 | ||||||
| 1,680,958 | ||||||||
| Colombia 0.1% | ||||||||
| Republic of Colombia 6.125%, due 1/18/41 | 545,000 | 709,868 | ||||||
| Mexico 0.5% | ||||||||
| United Mexican States 4.125%, due 1/21/26 | 2,380,000 | 2,522,824 | ||||||
| Panama 0.2% | ||||||||
| Panama Government International Bond 3.75%, due 3/16/25 | 750,000 | 793,132 | ||||||
| Peru 0.2% | ||||||||
| Peruvian Government International Bond 7.35%, due 7/21/25 | 920,000 | 1,164,269 | ||||||
| Philippines 0.1% | ||||||||
| Philippine Government International Bond 5.00%, due 1/13/37 | 400,000 | 521,875 | ||||||
| Republic of Korea 0.3% | ||||||||
| Korea Development Bank | ||||||||
| 2.25%, due 5/18/20 | 500,000 | 500,390 | ||||||
| 3.25%, due 2/19/24 | 850,000 | 892,708 | ||||||
| 1,393,098 | ||||||||
| Total Foreign Government Bonds (Cost $8,253,581) | 8,786,024 | |||||||
| Mortgage-Backed Securities 1.4% | ||||||||
| Commercial Mortgage Loans (Collateralized Mortgage Obligations) 1.4% | ||||||||
| Bank Series 2018-BN14, Class A3 3.966%, due 9/15/60 | 800,000 | 894,723 | ||||||
| Benchmark Mortgage Trust | ||||||||
| Series 2018-B1, Class A2 3.571%, due 1/15/51 | 100,000 | 103,835 | ||||||
| Series 2018-B1, Class A5 3.666%, due 1/15/51 (d) | 800,000 | 872,313 | ||||||
| Series 2018-B6, Class A3 3.995%, due 10/10/51 | 900,000 | 1,008,480 | ||||||
| CFCRE Commercial Mortgage Trust | ||||||||
| Series 2016-C6, Class A3 3.217%, due 11/10/49 (d) | 300,000 | 314,933 | ||||||
| Series 2017-C8, Class A3 3.305%, due 6/15/50 | 200,000 | 210,414 | ||||||
| Citigroup Commercial Mortgage Trust | ||||||||
| Series 2017-P8, Class A4 3.465%, due 9/15/50 | 300,000 | 322,545 | ||||||
| Series 2015-GC35, Class A4 3.818%, due 11/10/48 | 300,000 | 325,617 | ||||||
| CSAIL Commercial Mortgage Trust Series 2017-CX9, Class A5 3.446%, due 9/15/50 | 300,000 | 320,676 | ||||||
| GS Mortgage Securities Trust | ||||||||
| Series 2016-GS3, Class A4 2.85%, due 10/10/49 | 300,000 | 310,072 | ||||||
| Series 2014-GC22, Class A5 3.862%, due 6/10/47 | 300,000 | 320,877 | ||||||
| Series 2018-GS9, Class A4 3.992%, due 3/10/51 (d) | 800,000 | 890,257 | ||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C7, Class A4 2.918%, due 2/15/46 | 300,000 | 306,395 | ||||||
| Morgan Stanley Capital I Trust Series 2018-H3, Class A4 3.914%, due 7/15/51 | 500,000 | 554,676 | ||||||
| Wells Fargo Commercial Mortgage Trust Series 2015-SG1, Class A4 3.789%, due 9/15/48 | 300,000 | 323,143 | ||||||
| WFRBS Commercial Mortgage Trust Series 2012-C8, Class A3 3.001%, due 8/15/45 | 200,000 | 204,038 | ||||||
| Total Mortgage-Backed Securities (Cost $6,810,403) | 7,282,994 | |||||||
| U.S. Government & Federal Agencies 67.3% | ||||||||
| Federal Home Loan Bank 0.2% | ||||||||
| 3.25%, due 11/16/28 | 700,000 | 780,078 | ||||||
| Federal Home Loan Mortgage Corporation 0.2% | ||||||||
| 1.875%, due 11/17/20 | 400,000 | 400,413 | ||||||
| 2.375%, due 1/13/22 | 500,000 | 507,699 | ||||||
| 908,112 | ||||||||
| Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) 5.7% | ||||||||
| 2.50%, due 10/1/31 | 68,404 | 69,249 | ||||||
| 2.50%, due 2/1/32 | 377,928 | 381,772 | ||||||
| 2.50%, due 2/1/33 | 472,175 | 476,700 | ||||||
| 2.50%, due 4/1/33 | 607,662 | 613,488 | ||||||
| 2.50%, due 6/1/33 | 97,953 | 98,891 | ||||||
| 2.50%, due 7/1/33 | 251,633 | 254,048 | ||||||
| 3.00%, due 9/1/27 | 225,556 | 231,761 | ||||||
| 3.00%, due 4/1/32 | 280,480 | 287,686 | ||||||
| 3.00%, due 6/1/32 | 72,759 | 74,623 | ||||||
| 3.00%, due 9/1/32 | 37,431 | 38,393 | ||||||
| 3.00%, due 10/1/32 | 163,401 | 167,599 | ||||||
| 3.00%, due 5/1/33 | 255,094 | 261,566 | ||||||
| 3.00%, due 9/1/33 | 316,170 | 323,492 | ||||||
| 3.00%, due 9/1/36 | 147,519 | 152,727 | ||||||
| 3.00%, due 11/1/37 | 160,821 | 165,474 | ||||||
| 3.00%, due 12/1/37 | 254,683 | 261,439 | ||||||
| 3.00%, due 9/1/46 | 1,183,584 | 1,214,599 | ||||||
| 3.00%, due 12/1/46 | 79,980 | 81,874 | ||||||
| 3.00%, due 2/1/47 | 84,283 | 86,279 | ||||||
| 3.00%, due 3/1/47 | 379,184 | 388,120 | ||||||
| 3.00%, due 4/1/47 | 110,573 | 113,228 | ||||||
| 3.00%, due 1/1/48 | 1,023,016 | 1,045,768 | ||||||
| 3.00%, due 2/1/48 | 659,152 | 673,230 | ||||||
| 3.00%, due 3/1/48 | 562,228 | 573,968 | ||||||
| 3.00%, due 4/1/48 | 685,409 | 703,999 | ||||||
| 3.00%, due 6/1/48 | 856,294 | 873,786 | ||||||
| 3.50%, due 12/1/25 | 54,950 | 56,841 | ||||||
| 3.50%, due 5/1/33 | 244,329 | 253,548 | ||||||
| 3.50%, due 9/1/33 | 78,706 | 81,420 | ||||||
| 3.50%, due 2/1/37 | 216,935 | 225,055 | ||||||
| 3.50%, due 1/1/38 | 253,865 | 263,031 | ||||||
| 3.50%, due 6/1/43 | 228,303 | 239,947 | ||||||
| 3.50%, due 9/1/44 | 212,074 | 223,365 | ||||||
| 3.50%, due 8/1/45 | 485,594 | 506,059 | ||||||
| 3.50%, due 8/1/46 | 680,280 | 707,536 | ||||||
| 3.50%, due 8/1/47 | 84,825 | 87,737 | ||||||
| 3.50%, due 9/1/47 | 192,793 | 199,564 | ||||||
| 3.50%, due 11/1/47 | 357,587 | 370,162 | ||||||
| 3.50%, due 12/1/47 | 854,471 | 884,690 | ||||||
| 3.50%, due 1/1/48 | 85,410 | 88,407 | ||||||
| 3.50%, due 3/1/48 | 1,013,031 | 1,046,471 | ||||||
| 3.50%, due 5/1/48 | 356,013 | 367,280 | ||||||
| 3.50%, due 6/1/48 | 585,611 | 604,984 | ||||||
| 3.50%, due 8/1/48 | 848,603 | 873,513 | ||||||
| 3.50%, due 9/1/48 | 780,489 | 802,577 | ||||||
| 3.50%, due 11/1/48 | 271,720 | 279,078 | ||||||
| 3.50%, due 12/1/48 | 705,093 | 724,483 | ||||||
| 4.00%, due 4/1/46 | 531,845 | 560,439 | ||||||
| 4.00%, due 5/1/46 | 179,647 | 189,245 | ||||||
| 4.00%, due 4/1/47 | 161,046 | 169,046 | ||||||
| 4.00%, due 6/1/47 | 451,907 | 474,128 | ||||||
| 4.00%, due 8/1/47 | 757,265 | 794,492 | ||||||
| 4.00%, due 10/1/47 | 194,263 | 203,598 | ||||||
| 4.00%, due 12/1/47 | 507,243 | 533,123 | ||||||
| 4.00%, due 1/1/48 | 167,636 | 176,136 | ||||||
| 4.00%, due 5/1/48 | 335,344 | 351,324 | ||||||
| 4.00%, due 9/1/48 | 1,376,201 | 1,427,993 | ||||||
| 4.00%, due 12/1/48 | 806,489 | 836,348 | ||||||
| 4.50%, due 5/1/38 | 151,372 | 160,505 | ||||||
| 4.50%, due 9/1/46 | 97,043 | 102,762 | ||||||
| 4.50%, due 10/1/46 | 255,455 | 271,588 | ||||||
| 4.50%, due 2/1/47 | 59,202 | 62,735 | ||||||
| 4.50%, due 11/1/47 | 79,325 | 83,876 | ||||||
| 4.50%, due 2/1/48 | 154,332 | 163,061 | ||||||
| 4.50%, due 4/1/48 | 239,441 | 252,966 | ||||||
| 4.50%, due 6/1/48 | 155,179 | 163,238 | ||||||
| 4.50%, due 7/1/48 | 538,759 | 566,680 | ||||||
| 4.50%, due 8/1/48 | 551,209 | 581,426 | ||||||
| 4.50%, due 1/1/49 | 973,906 | 1,024,307 | ||||||
| 5.00%, due 9/1/38 | 76,592 | 84,573 | ||||||
| 5.00%, due 11/1/41 | 132,044 | 145,854 | ||||||
| 5.00%, due 3/1/47 | 265,572 | 285,367 | ||||||
| 5.00%, due 9/1/48 | 430,197 | 461,810 | ||||||
| 5.00%, due 1/1/49 | 280,466 | 301,270 | ||||||
| 5.50%, due 1/1/29 | 94,556 | 102,212 | ||||||
| 5.50%, due 7/1/38 | 127,607 | 143,753 | ||||||
| 29,173,362 | ||||||||
| Federal National Mortgage Association 0.7% | ||||||||
| 1.375%, due 9/6/22 | 725,000 | 719,857 | ||||||
| 1.875%, due 4/5/22 | 300,000 | 302,043 | ||||||
| 1.875%, due 9/24/26 | 1,650,000 | 1,670,482 | ||||||
| 2.875%, due 10/30/20 | 650,000 | 657,030 | ||||||
| 3,349,412 | ||||||||
| Federal National Mortgage Association (Mortgage Pass-Through Securities) 12.9% | ||||||||
| 2.50%, due 10/1/27 | 244,015 | 246,121 | ||||||
| 2.50%, due 4/1/30 | 209,174 | 212,034 | ||||||
| 2.50%, due 10/1/31 | 342,000 | 345,310 | ||||||
| 2.50%, due 2/1/32 | 591,007 | 596,723 | ||||||
| 2.50%, due 8/1/32 | 535,254 | 541,608 | ||||||
| 2.50%, due 3/1/33 | 329,070 | 332,707 | ||||||
| 2.50%, due 6/1/33 | 350,345 | 353,497 | ||||||
| 2.50%, due 4/1/46 | 84,069 | 83,997 | ||||||
| 2.50%, due 10/1/46 | 174,573 | 174,317 | ||||||
| 3.00%, due 4/1/25 | 82,961 | 84,783 | ||||||
| 3.00%, due 11/1/31 | 241,099 | 247,142 | ||||||
| 3.00%, due 1/1/32 | 361,702 | 370,799 | ||||||
| 3.00%, due 6/1/32 | 210,150 | 215,177 | ||||||
| 3.00%, due 1/1/33 | 184,307 | 188,899 | ||||||
| 3.00%, due 2/1/33 | 263,398 | 271,720 | ||||||
| 3.00%, due 4/1/33 | 455,749 | 467,031 | ||||||
| 3.00%, due 5/1/33 | 450,900 | 462,140 | ||||||
| 3.00%, due 9/1/33 | 199,307 | 203,754 | ||||||
| 3.00%, due 9/1/34 | 2,468,387 | 2,524,873 | ||||||
| 3.00%, due 2/1/37 | 224,748 | 232,416 | ||||||
| 3.00%, due 1/1/38 | 753,633 | 774,034 | ||||||
| 3.00%, due 9/1/42 | 1,390,044 | 1,432,416 | ||||||
| 3.00%, due 12/1/43 | 1,024,439 | 1,053,904 | ||||||
| 3.00%, due 10/1/44 | 888,418 | 915,420 | ||||||
| 3.00%, due 10/1/46 | 197,008 | 201,782 | ||||||
| 3.00%, due 12/1/46 | 1,828,843 | 1,873,270 | ||||||
| 3.00%, due 2/1/47 | 278,359 | 285,058 | ||||||
| 3.00%, due 8/1/47 | 1,024,294 | 1,053,545 | ||||||
| 3.00%, due 10/1/47 | 882,754 | 901,164 | ||||||
| 3.00%, due 11/1/47 | 244,335 | 250,153 | ||||||
| 3.00%, due 6/1/48 | 184,106 | 187,523 | ||||||
| 3.00%, due 9/1/49 | 2,990,330 | 3,035,921 | ||||||
| 3.50%, due 7/1/21 | 29,483 | 30,474 | ||||||
| 3.50%, due 3/1/22 | 60,620 | 62,659 | ||||||
| 3.50%, due 5/1/26 | 60,116 | 62,146 | ||||||
| 3.50%, due 11/1/31 | 66,572 | 68,833 | ||||||
| 3.50%, due 5/1/33 | 130,928 | 135,404 | ||||||
| 3.50%, due 6/1/33 | 328,698 | 339,754 | ||||||
| 3.50%, due 7/1/33 | 160,460 | 165,894 | ||||||
| 3.50%, due 9/1/33 | 241,492 | 249,614 | ||||||
| 3.50%, due 5/1/45 | 956,612 | 1,009,774 | ||||||
| 3.50%, due 9/1/45 | 164,442 | 171,259 | ||||||
| 3.50%, due 12/1/45 | 920,380 | 962,927 | ||||||
| 3.50%, due 1/1/46 | 657,640 | 689,733 | ||||||
| 3.50%, due 4/1/46 | 173,273 | 180,183 | ||||||
| 3.50%, due 9/1/46 | 595,026 | 626,434 | ||||||
| 3.50%, due 10/1/46 | 506,314 | 525,033 | ||||||
| 3.50%, due 1/1/47 | 311,733 | 323,042 | ||||||
| 3.50%, due 7/1/47 | 406,579 | 425,207 | ||||||
| 3.50%, due 10/1/47 | 328,863 | 339,661 | ||||||
| 3.50%, due 11/1/47 | 2,498,482 | 2,581,509 | ||||||
| 3.50%, due 12/1/47 | 85,668 | 88,780 | ||||||
| 3.50%, due 8/1/48 | 786,219 | 806,711 | ||||||
| 3.50%, due 9/1/48 | 986,474 | 1,015,421 | ||||||
| 3.50%, due 2/1/49 | 2,010,802 | 2,065,353 | ||||||
| 3.50%, due 9/1/49 | 7,069,727 | 7,263,340 | ||||||
| 4.00%, due 5/1/24 | 98,559 | 102,536 | ||||||
| 4.00%, due 11/1/29 | 225,343 | 234,853 | ||||||
| 4.00%, due 2/1/37 | 59,523 | 62,443 | ||||||
| 4.00%, due 8/1/38 | 663,468 | 692,784 | ||||||
| 4.00%, due 8/1/44 | 293,868 | 313,553 | ||||||
| 4.00%, due 2/1/45 | 369,076 | 389,882 | ||||||
| 4.00%, due 9/1/45 | 69,908 | 73,737 | ||||||
| 4.00%, due 5/1/46 | 351,078 | 369,482 | ||||||
| 4.00%, due 9/1/46 | 275,760 | 290,262 | ||||||
| 4.00%, due 2/1/47 | 58,638 | 61,680 | ||||||
| 4.00%, due 4/1/47 | 35,745 | 37,493 | ||||||
| 4.00%, due 5/1/47 | 543,568 | 569,957 | ||||||
| 4.00%, due 6/1/47 | 828,204 | 868,229 | ||||||
| 4.00%, due 10/1/47 | 90,652 | 95,050 | ||||||
| 4.00%, due 11/1/47 | 83,428 | 87,341 | ||||||
| 4.00%, due 12/1/47 | 240,754 | 251,146 | ||||||
| 4.00%, due 1/1/48 | 1,221,429 | 1,274,079 | ||||||
| 4.00%, due 2/1/48 | 249,026 | 260,222 | ||||||
| 4.00%, due 6/1/48 | 994,591 | 1,035,686 | ||||||
| 4.00%, due 7/1/48 | 2,636,042 | 2,738,434 | ||||||
| 4.00%, due 8/1/48 | 246,587 | 255,873 | ||||||
| 4.00%, due 9/1/48 | 1,100,168 | 1,144,648 | ||||||
| 4.00%, due 10/1/48 | 168,960 | 175,805 | ||||||
| 4.00%, due 11/1/48 | 446,230 | 462,611 | ||||||
| 4.00%, due 1/1/49 | 336,005 | 348,262 | ||||||
| 4.00%, due 9/1/49 | 4,182,870 | 4,353,568 | ||||||
| 4.50%, due 7/1/46 | 74,125 | 78,838 | ||||||
| 4.50%, due 12/1/46 | 68,793 | 72,964 | ||||||
| 4.50%, due 4/1/47 | 483,756 | 512,468 | ||||||
| 4.50%, due 5/1/47 | 32,152 | 33,988 | ||||||
| 4.50%, due 7/1/47 | 586,950 | 620,648 | ||||||
| 4.50%, due 8/1/47 | 47,011 | 49,770 | ||||||
| 4.50%, due 2/1/48 | 463,804 | 489,328 | ||||||
| 4.50%, due 4/1/48 | 422,016 | 444,849 | ||||||
| 4.50%, due 5/1/48 | 397,141 | 419,448 | ||||||
| 4.50%, due 6/1/48 | 231,320 | 243,872 | ||||||
| 4.50%, due 8/1/48 | 464,243 | 488,274 | ||||||
| 4.50%, due 10/1/48 | 160,514 | 168,936 | ||||||
| 4.50%, due 9/1/49 | 1,986,498 | 2,097,466 | ||||||
| 5.00%, due 8/1/31 | 218,046 | 233,005 | ||||||
| 5.00%, due 6/1/39 | 193,776 | 213,471 | ||||||
| 5.00%, due 6/1/40 | 42,668 | 47,153 | ||||||
| 5.00%, due 7/1/47 | 163,115 | 175,129 | ||||||
| 5.00%, due 1/1/48 | 363,127 | 395,847 | ||||||
| 5.00%, due 4/1/48 | 215,629 | 232,772 | ||||||
| 5.00%, due 5/1/48 | 235,234 | 252,343 | ||||||
| 5.00%, due 9/1/48 | 216,435 | 233,508 | ||||||
| 5.50%, due 8/1/27 | 76,538 | 82,764 | ||||||
| 5.50%, due 6/1/36 | 101,190 | 114,088 | ||||||
| 5.50%, due 5/1/44 | 116,611 | 131,637 | ||||||
| 5.50%, due 9/1/48 | 505,773 | 548,023 | ||||||
| 65,238,588 | ||||||||
| Government National Mortgage Association (Mortgage Pass-Through Securities) 7.4% | ||||||||
| 2.50%, due 4/20/47 | 84,386 | 85,166 | ||||||
| 3.00%, due 6/15/45 | 63,130 | 64,815 | ||||||
| 3.00%, due 10/15/45 | 30,811 | 31,633 | ||||||
| 3.00%, due 11/20/45 | 888,828 | 916,517 | ||||||
| 3.00%, due 8/20/46 | 340,758 | 351,359 | ||||||
| 3.00%, due 9/20/46 | 179,736 | 185,435 | ||||||
| 3.00%, due 10/20/46 | 1,120,109 | 1,154,961 | ||||||
| 3.00%, due 1/20/47 | 1,260,824 | 1,299,954 | ||||||
| 3.00%, due 5/20/47 | 217,206 | 223,838 | ||||||
| 3.00%, due 12/20/47 | 748,785 | 769,438 | ||||||
| 3.00%, due 2/20/48 | 851,507 | 874,889 | ||||||
| 3.00%, due 3/20/48 | 1,006,896 | 1,034,541 | ||||||
| 3.00%, due 5/15/48 | 181,368 | 186,207 | ||||||
| 3.00%, due 5/1/49 TBA (e) | 1,000,000 | 1,026,133 | ||||||
| 3.50%, due 11/20/42 | 299,820 | 315,963 | ||||||
| 3.50%, due 9/20/44 | 472,249 | 495,422 | ||||||
| 3.50%, due 3/15/45 | 40,477 | 42,117 | ||||||
| 3.50%, due 4/15/45 | 65,501 | 68,450 | ||||||
| 3.50%, due 7/20/45 | 1,268,777 | 1,327,132 | ||||||
| 3.50%, due 11/20/45 | 577,722 | 604,290 | ||||||
| 3.50%, due 7/20/46 | 66,484 | 69,347 | ||||||
| 3.50%, due 10/20/46 | 66,776 | 69,721 | ||||||
| 3.50%, due 11/20/46 | 824,266 | 860,385 | ||||||
| 3.50%, due 1/20/47 | 962,314 | 1,001,444 | ||||||
| 3.50%, due 5/20/47 | 815,450 | 847,936 | ||||||
| 3.50%, due 9/20/47 | 877,462 | 912,766 | ||||||
| 3.50%, due 10/20/47 | 1,562,080 | 1,622,776 | ||||||
| 3.50%, due 12/20/47 | 765,611 | 795,114 | ||||||
| 3.50%, due 5/15/48 | 144,403 | 150,048 | ||||||
| 3.50%, due 7/20/48 | 426,612 | 442,367 | ||||||
| 3.50%, due 9/20/48 | 501,674 | 520,137 | ||||||
| 3.50%, due 10/1/48 TBA (e) | 3,200,000 | 3,315,062 | ||||||
| 3.50%, due 10/20/48 | 519,284 | 538,131 | ||||||
| 4.00%, due 10/1/40 TBA (e) | 500,000 | 523,906 | ||||||
| 4.00%, due 8/15/46 | 113,174 | 119,850 | ||||||
| 4.00%, due 12/20/46 | 54,892 | 57,862 | ||||||
| 4.00%, due 1/20/47 | 453,346 | 475,769 | ||||||
| 4.00%, due 2/20/47 | 121,620 | 127,586 | ||||||
| 4.00%, due 3/20/47 | 96,178 | 100,900 | ||||||
| 4.00%, due 4/20/47 | 211,715 | 221,761 | ||||||
| 4.00%, due 5/20/47 | 178,951 | 187,469 | ||||||
| 4.00%, due 7/20/47 | 72,483 | 75,594 | ||||||
| 4.00%, due 11/15/47 | 195,964 | 205,359 | ||||||
| 4.00%, due 11/20/47 | 883,123 | 922,033 | ||||||
| 4.00%, due 12/20/47 | 199,218 | 207,895 | ||||||
| 4.00%, due 4/20/48 | 927,482 | 964,564 | ||||||
| 4.00%, due 5/20/48 | 391,816 | 407,483 | ||||||
| 4.00%, due 6/20/48 | 158,970 | 165,316 | ||||||
| 4.00%, due 8/20/48 | 1,043,939 | 1,087,187 | ||||||
| 4.00%, due 9/20/48 | 562,216 | 585,292 | ||||||
| 4.00%, due 3/20/49 | 194,404 | 202,873 | ||||||
| 4.00%, due 10/1/49 TBA (e) | 4,000,000 | 4,159,766 | ||||||
| 4.50%, due 8/15/46 | 72,243 | 77,524 | ||||||
| 4.50%, due 8/20/46 | 164,438 | 175,153 | ||||||
| 4.50%, due 2/15/47 | 36,205 | 39,614 | ||||||
| 4.50%, due 4/15/47 | 58,837 | 64,425 | ||||||
| 4.50%, due 4/20/47 | 183,131 | 192,738 | ||||||
| 4.50%, due 8/15/47 | 740,717 | 800,595 | ||||||
| 4.50%, due 11/20/47 | 188,316 | 197,868 | ||||||
| 4.50%, due 1/20/48 | 470,164 | 493,561 | ||||||
| 4.50%, due 3/20/48 | 210,097 | 219,818 | ||||||
| 4.50%, due 5/20/48 | 210,173 | 219,862 | ||||||
| 4.50%, due 6/20/48 | 364,574 | 382,313 | ||||||
| 4.50%, due 8/20/48 | 662,496 | 694,711 | ||||||
| 5.00%, due 8/20/45 | 172,884 | 187,156 | ||||||
| 5.00%, due 11/20/46 | 108,561 | 120,059 | ||||||
| 5.00%, due 4/15/47 | 77,264 | 83,906 | ||||||
| 5.00%, due 11/20/47 | 149,340 | 160,354 | ||||||
| 5.00%, due 12/15/47 | 120,637 | 129,073 | ||||||
| 5.00%, due 3/20/48 | 122,706 | 131,446 | ||||||
| 5.00%, due 6/20/48 | 277,462 | 294,519 | ||||||
| 37,666,654 | ||||||||
| United States Treasury Bonds 8.0% | ||||||||
| 2.75%, due 8/15/47 | 1,035,000 | 1,171,491 | ||||||
| 2.75%, due 11/15/47 | 300,000 | 339,785 | ||||||
| 2.875%, due 5/15/43 | 1,950,000 | 2,235,721 | ||||||
| 2.875%, due 11/15/46 | 140,000 | 161,995 | ||||||
| 2.875%, due 5/15/49 | 5,025,000 | 5,860,603 | ||||||
| 3.00%, due 2/15/47 | 815,000 | 966,125 | ||||||
| 3.00%, due 5/15/47 | 1,175,000 | 1,392,329 | ||||||
| 3.00%, due 2/15/48 | 5,950,000 | 7,064,463 | ||||||
| 3.00%, due 8/15/48 | 2,790,000 | 3,317,920 | ||||||
| 3.00%, due 2/15/49 | 2,145,000 | 2,557,494 | ||||||
| 3.125%, due 5/15/48 | 7,900,000 | 9,602,203 | ||||||
| 3.375%, due 11/15/48 | 1,550,000 | 1,974,978 | ||||||
| 3.625%, due 2/15/44 | 150,000 | 193,910 | ||||||
| 4.50%, due 2/15/36 | 1,900,000 | 2,619,180 | ||||||
| 4.625%, due 2/15/40 | 750,000 | 1,085,713 | ||||||
| 40,543,910 | ||||||||
| United States Treasury Notes 32.2% | ||||||||
| 1.375%, due 9/15/20 | 775,000 | 772,033 | ||||||
| 1.50%, due 7/15/20 | 460,000 | 458,706 | ||||||
| 1.50%, due 8/15/22 | 7,275,000 | 7,258,233 | ||||||
| 1.50%, due 9/15/22 | 3,400,000 | 3,393,625 | ||||||
| 1.625%, due 10/15/20 | 2,450,000 | 2,445,024 | ||||||
| 1.625%, due 8/31/22 | 700,000 | 700,602 | ||||||
| 1.625%, due 8/15/29 | 7,050,000 | 7,017,504 | ||||||
| 1.75%, due 11/15/20 | 3,950,000 | 3,947,223 | ||||||
| 1.75%, due 7/31/21 | 20,100,000 | 20,128,266 | ||||||
| 1.75%, due 6/15/22 | 900,000 | 904,078 | ||||||
| 1.75%, due 6/30/22 | 925,000 | 929,047 | ||||||
| 1.75%, due 6/30/24 | 2,200,000 | 2,218,648 | ||||||
| 1.75%, due 7/31/24 | 12,250,000 | 12,358,145 | ||||||
| 1.875%, due 12/15/20 | 3,375,000 | 3,378,032 | ||||||
| 1.875%, due 9/30/22 | 950,000 | 958,424 | ||||||
| 1.875%, due 8/31/24 | 325,000 | 329,773 | ||||||
| 2.00%, due 10/31/22 | 900,000 | 911,074 | ||||||
| 2.00%, due 4/30/24 | 5,885,000 | 5,996,953 | ||||||
| 2.00%, due 5/31/24 | 1,400,000 | 1,427,945 | ||||||
| 2.125%, due 5/31/21 | 4,500,000 | 4,530,586 | ||||||
| 2.125%, due 7/31/24 | 150,000 | 153,826 | ||||||
| 2.125%, due 5/31/26 | 9,995,000 | 10,312,810 | ||||||
| 2.25%, due 2/15/21 | 1,525,000 | 1,534,948 | ||||||
| 2.375%, due 3/15/21 | 150,000 | 151,336 | ||||||
| 2.375%, due 4/15/21 | 2,000,000 | 2,018,984 | ||||||
| 2.375%, due 4/30/26 | 200,000 | 209,422 | ||||||
| 2.375%, due 5/15/29 | 2,125,000 | 2,256,650 | ||||||
| 2.50%, due 6/30/20 | 925,000 | 929,300 | ||||||
| 2.50%, due 2/15/22 | 2,150,000 | 2,193,420 | ||||||
| 2.50%, due 3/31/23 | 100,000 | 103,145 | ||||||
| 2.625%, due 7/31/20 | 55,000 | 55,342 | ||||||
| 2.625%, due 5/15/21 | 2,150,000 | 2,180,990 | ||||||
| 2.625%, due 6/15/21 | 925,000 | 939,164 | ||||||
| 2.625%, due 7/15/21 | 4,965,000 | 5,045,681 | ||||||
| 2.625%, due 6/30/23 | 1,900,000 | 1,972,363 | ||||||
| 2.625%, due 12/31/23 | 150,000 | 156,469 | ||||||
| 2.625%, due 2/15/29 | 975,000 | 1,055,247 | ||||||
| 2.75%, due 9/30/20 | 3,775,000 | 3,809,211 | ||||||
| 2.75%, due 8/15/21 | 3,700,000 | 3,772,410 | ||||||
| 2.75%, due 9/15/21 | 1,000,000 | 1,021,367 | ||||||
| 2.75%, due 4/30/23 | 5,425,000 | 5,645,179 | ||||||
| 2.75%, due 5/31/23 | 1,700,000 | 1,770,656 | ||||||
| 2.75%, due 7/31/23 | 4,675,000 | 4,878,070 | ||||||
| 2.75%, due 8/31/23 | 4,000,000 | 4,178,281 | ||||||
| 2.75%, due 6/30/25 | 275,000 | 292,263 | ||||||
| 2.75%, due 2/15/28 | 2,400,000 | 2,605,688 | ||||||
| 2.875%, due 10/31/20 | 10,700,000 | 10,820,375 | ||||||
| 2.875%, due 11/15/21 | 375,000 | 384,522 | ||||||
| 2.875%, due 9/30/23 | 2,875,000 | 3,019,424 | ||||||
| 2.875%, due 10/31/23 | 5,300,000 | 5,571,832 | ||||||
| 2.875%, due 11/30/23 | 600,000 | 631,430 | ||||||
| 2.875%, due 4/30/25 | 950,000 | 1,014,793 | ||||||
| 2.875%, due 5/31/25 | 300,000 | 320,660 | ||||||
| 2.875%, due 7/31/25 | 1,425,000 | 1,525,529 | ||||||
| 2.875%, due 8/15/28 | 600,000 | 659,719 | ||||||
| 3.125%, due 11/15/28 | 150,000 | 168,398 | ||||||
| 163,422,825 | ||||||||
| Total U.S. Government & Federal Agencies (Cost $329,596,894) | 341,082,941 | |||||||
| Total Long-Term Bonds (Cost $456,568,195) | 476,576,319 | |||||||
| Shares | ||||||||
| Exchange-Traded Funds 4.7% | ||||||||
| iShares Intermediate-Term Corporate Bond ETF (c) | 135,779 | 7,864,320 | ||||||
| iShares Long-Term Corporate Bond ETF (c) | 195,206 | 13,006,576 | ||||||
| iShares Short-Term Corporate Bond ETF (c) | 54,601 | 2,930,435 | ||||||
| Total Exchange-Traded Funds (Cost $23,426,514) | 23,801,331 | |||||||
| Principal Amount | ||||||||
| Short-Term Investments 4.4% | ||||||||
| Commercial Paper 3.7% | ||||||||
| Bank New York Mellon Corp. 1.876%, due 10/1/19 (f) | $ | 18,800,000 | 18,800,000 | |||||
| Total Commercial Paper (Cost $18,800,000) | 18,800,000 | |||||||
| Repurchase Agreement 0.5% | ||||||||
| RBC Capital Markets 2.35%, dated 9/30/19 due 10/1/19 Proceeds at Maturity $2,472,161(Collateralized by a United States Treasury Note with a rate of 2.125% and a maturity date of 12/31/2022, with a Principal Amount of $2,466,700 and a Market Value of $2,521,627) | 2,472,000 | 2,472,000 | ||||||
| Total Repurchase Agreement (Cost $2,472,000) | 2,472,000 | |||||||
| Shares | ||||||||
| Unaffiliated Investment Company 0.2% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (g)(h) | 786,840 | 786,840 | ||||||
| Total Unaffiliated Investment Company (Cost $786,840) | 786,840 | |||||||
| Total Short-Term Investments (Cost $22,058,840) | 22,058,840 | |||||||
| Total Investments (Cost $502,053,549) | 103.0 | % | 522,436,490 | |||||
| Other Assets, Less Liabilities | (3.0 | ) | (15,302,024 | ) | ||||
| Net Assets | 100.0 | % | $ | 507,134,466 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
| (b) | Fixed to floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (c) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $7,229,643; the total market value of collateral held by the Portfolio was $7,379,382. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $6,592,542. |
| (d) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end. |
| (e) | TBA - Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. As of September 30, 2019, the total net market value of these securities was $9,024,867, which represented 1.8% of the Portfolio’s net assets. All or a portion of these securities are a part of a mortgage dollar roll agreement. |
| (f) | Interest rate shown represents yield to maturity. |
| (g) | Represents security purchased with cash collateral received for securities on loan. |
| (h) | Current yield as of September 30, 2019. |
As of September 30, 2019, the Portfolio held the following futures contracts1:
| Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 | |||||||||||||
| Long Contracts | ||||||||||||||||||
| 5-Year United States Treasury Note | 124 | December 2019 | $ | 14,866,633 | $ | 14,774,406 | $ | (92,227 | ) | |||||||||
| 10-Year United States Treasury Note | 59 | December 2019 | 7,756,300 | 7,688,438 | (67,862 | ) | ||||||||||||
| 10-Year United States Treasury Ultra Note | 45 | December 2019 | 6,479,728 | 6,408,281 | (71,447 | ) | ||||||||||||
| Total Long Contracts | (231,536 | ) | ||||||||||||||||
| Short Contracts | ||||||||||||||||||
| 2-Year United States Treasury Note | (27) | December 2019 | (5,838,664 | ) | (5,818,500 | ) | 20,164 | |||||||||||
| United States Treasury Long Bond | (4) | December 2019 | (656,649 | ) | (649,250 | ) | 7,399 | |||||||||||
| United States Treasury Ultra Bond | (18) | December 2019 | (3,505,326 | ) | (3,454,313 | ) | 51,013 | |||||||||||
| Total Short Contracts | 78,576 | |||||||||||||||||
| Net Unrealized Depreciation | $ | (152,960 | ) | |||||||||||||||
| 1. | As of September 30, 2019, cash in the amount of $182,378 was on deposit with a broker or futures commission merchant for futures transactions. |
| 2. | Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2019. |
The following abbreviation is used in the preceding pages:
ETF—Exchange-Traded Fund
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio’s assets and liabilities:
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Long-Term Bonds | ||||||||||||||||
| Asset-Backed Securities | $ | — | $ | 2,221,572 | $ | — | $ | 2,221,572 | ||||||||
| Corporate Bonds | — | 117,202,788 | — | 117,202,788 | ||||||||||||
| Foreign Government Bonds | — | 8,786,024 | — | 8,786,024 | ||||||||||||
| Mortgage-Backed Securities | — | 7,282,994 | — | 7,282,994 | ||||||||||||
| U.S. Government & Federal Agencies | — | 341,082,941 | — | 341,082,941 | ||||||||||||
| Total Long-Term Bonds | — | 476,576,319 | — | 476,576,319 | ||||||||||||
| Exchange-Traded Funds | 23,801,331 | — | — | 23,801,331 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Commercial Paper | — | 18,800,000 | — | 18,800,000 | ||||||||||||
| Repurchase Agreements | — | 2,472,000 | — | 2,472,000 | ||||||||||||
| Unaffiliated Investment Company | 786,840 | — | — | 786,840 | ||||||||||||
| Total Short-Term Investments | 786,840 | 21,272,000 | — | 22,058,840 | ||||||||||||
| Total Investments in Securities | 24,588,171 | 497,848,319 | — | 522,436,490 | ||||||||||||
| Other Financial Instruments Futures Contracts (b) | 78,576 | — | — | 78,576 | ||||||||||||
| Total Investments in Securities and Other Financial Instruments | $ | 24,666,747 | $ | 497,848,319 | $ | — | $ | 522,515,066 | ||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Other Financial Instruments Futures Contracts (b) | $ | (231,536 | ) | $ | — | $ | — | $ | (231,536 | ) |
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
| (b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP IQ Hedge Multi-Strategy Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Principal Amount | Value | |||||||
| Exchange-Traded Funds 94.0% † | ||||||||
| Bonds 64.8% | ||||||||
| Bank Loan Funds 5.1% | ||||||||
| Invesco Senior Loan ETF (a) | $ | 612,368 | $ | 13,833,393 | ||||
| SPDR Blackstone / GSO Senior Loan ETF (a) | 134,564 | 6,233,005 | ||||||
| 20,066,398 | ||||||||
| Emerging Bonds - Local Currency Funds 2.1% | ||||||||
| SPDR Bloomberg Barclays Emerging Markets Local Bond ETF (a) | 41,986 | 1,142,439 | ||||||
| VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 208,048 | 6,865,584 | ||||||
| WisdomTree Emerging Markets Local Debt Fund | 7,796 | 268,260 | ||||||
| 8,276,283 | ||||||||
| Emerging Bonds - USD Funds 1.8% | ||||||||
| iShares JP Morgan USD Emerging Markets Bond ETF | 56,855 | 6,444,514 | ||||||
| Vanguard Emerging Markets Government Bond ETF | 7,550 | 608,530 | ||||||
| 7,053,044 | ||||||||
| Floating Rate - Investment Grade Funds 7.9% | ||||||||
| iShares Floating Rate Bond ETF (a) | 435,942 | 22,219,964 | ||||||
| SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | 301,768 | 9,282,383 | ||||||
| 31,502,347 | ||||||||
| High Yield Corporate Bond Funds 1.6% | ||||||||
| iShares 0-5 Year High Yield Corporate Bond ETF (a) | 70,558 | 3,280,241 | ||||||
| SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 115,478 | 3,119,061 | ||||||
| 6,399,302 | ||||||||
| Investment Grade Corporate Bond Funds 11.7% | ||||||||
| iShares Broad USD Investment Grade Corporate Bond ETF (a) | 34,242 | 1,995,624 | ||||||
| iShares iBoxx $ Investment Grade Corporate Bond ETF | 157,867 | 20,124,885 | ||||||
| SPDR Portfolio Short Term Corporate Bond ETF (a) | 64,605 | 1,993,064 | ||||||
| Vanguard Intermediate-Term Corporate Bond ETF | 145,951 | 13,316,569 | ||||||
| Vanguard Short-Term Corporate Bond ETF | 107,605 | 8,721,386 | ||||||
| 46,151,528 | ||||||||
| Mortgage-Backed Securities Funds 2.0% | ||||||||
| iShares MBS ETF | 48,468 | 5,249,085 | ||||||
| Vanguard Mortgage-Backed Securities ETF | 53,762 | 2,863,364 | ||||||
| 8,112,449 | ||||||||
| Municipal Bond Fund 0.2% | ||||||||
| VanEck Vectors High-Yield Municipal Index ETF | 13,317 | 858,014 | ||||||
| U.S. Medium Term Treasury Bond Funds 2.9% | ||||||||
| iShares 3-7 Year Treasury Bond ETF (a) | 40,472 | 5,131,850 | ||||||
| Schwab Intermediate-Term U.S. Treasury ETF (a) | 58,582 | 3,254,816 | ||||||
| Vanguard Intermediate-Term Treasury ETF | 44,388 | 2,959,348 | ||||||
| 11,346,014 | ||||||||
| U.S. Ultra Short Term Treasury Bond Funds 29.5% | ||||||||
| Goldman Sachs Access Treasury 0-1 Year ETF | 99,795 | 10,017,422 | ||||||
| Invesco Treasury Collateral ETF | 16,348 | 1,725,940 | ||||||
| iShares Short Treasury Bond ETF (a) | 689,917 | 76,318,618 | ||||||
| SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | 312,591 | 28,630,210 | ||||||
| 116,692,190 | ||||||||
| Total Bonds | ||||||||
| (Cost $253,774,135) | 256,457,569 | |||||||
| Equity 29.2% | ||||||||
| Asia ex Japan Equity Funds 3.0% | ||||||||
| iShares Core MSCI Pacific ETF | 90,742 | 5,099,700 | ||||||
| iShares MSCI All Country Asia ex-Japan ETF (a) | 77,689 | 5,152,334 | ||||||
| Vanguard FTSE Pacific ETF (a) | 22,810 | 1,506,601 | ||||||
| 11,758,635 | ||||||||
| BRIC Equity Funds 3.1% | ||||||||
| iShares China Large-Cap ETF (a) | 148,596 | 5,914,121 | ||||||
| iShares MSCI China ETF (a) | 88,614 | 4,969,473 | ||||||
| SPDR S&P China ETF (a) | 16,859 | 1,521,693 | ||||||
| 12,405,287 | ||||||||
| Broad Funds 0.4% | ||||||||
| FlexShares Global Upstream Natural Resources Index Fund | 47,312 | 1,473,769 | ||||||
| Emerging Small Cap Equity Fund 2.1% | ||||||||
| SPDR S&P Emerging Markets Small Cap ETF | 191,109 | 8,301,775 | ||||||
| Europe Equity Funds 2.4% | ||||||||
| iShares Core MSCI Europe ETF | 16,849 | 770,673 | ||||||
| iShares MSCI Eurozone ETF (a) | 33,027 | 1,284,420 | ||||||
| Vanguard FTSE Europe ETF | 58,532 | 3,137,901 | ||||||
| Xtrackers MSCI Europe Hedged Equity ETF (a) | 144,789 | 4,319,056 | ||||||
| 9,512,050 | ||||||||
| International Equity Core Funds 2.2% | ||||||||
| iShares Core MSCI EAFE ETF | 13,115 | 800,933 | ||||||
| Vanguard FTSE Developed Markets ETF | 21,623 | 888,273 | ||||||
| Xtrackers MSCI EAFE Hedged Equity ETF (a) | 215,083 | 6,955,784 | ||||||
| 8,644,990 | ||||||||
| International Small Cap Equity Funds 7.6% | ||||||||
| Schwab International Small-Cap Equity ETF | 281,299 | 8,945,308 | ||||||
| Vanguard FTSE All World ex-U.S. Small-Cap ETF (a) | 205,782 | 20,979,475 | ||||||
| 29,924,783 | ||||||||
| Japan Equity Funds 3.2% | ||||||||
| iShares MSCI Japan ETF (a) | 57,205 | 3,245,812 | ||||||
| Xtrackers MSCI Japan Hedged Equity ETF (a) | 241,200 | 9,604,584 | ||||||
| 12,850,396 | ||||||||
| U.S. Large Cap Core Funds 1.6% | ||||||||
| Consumer Discretionary Select Sector SPDR Fund | 4,956 | 598,189 | ||||||
| Energy Select Sector SPDR Fund (a) | 43,833 | 2,594,914 | ||||||
| Financial Select Sector SPDR Fund | 60,041 | 1,681,148 | ||||||
| Health Care Select Sector SPDR Fund (a) | 5,570 | 502,024 | ||||||
| Invesco KBW Bank ETF | 4,734 | 243,896 | ||||||
| SPDR S&P Bank ETF (a) | 16,065 | 693,365 | ||||||
| 6,313,536 | ||||||||
| U.S. Large Cap Growth Funds 1.9% | ||||||||
| iShares Core S&P U.S. Growth ETF (a) | 12,929 | 812,846 | ||||||
| Schwab U.S. Large-Cap Growth ETF (a) | 11,660 | 979,557 | ||||||
| SPDR Portfolio S&P 500 Growth ETF (a) | 16,765 | 651,991 | ||||||
| Vanguard Growth ETF | 30,257 | 5,031,134 | ||||||
| 7,475,528 | ||||||||
| U.S. Momentum Fund 0.5% | ||||||||
| iShares Edge MSCI USA Momentum Factor ETF (a) | 16,903 | 2,015,683 | ||||||
| U.S. Preferred Fund 0.4% | ||||||||
| Invesco Preferred ETF | 28,462 | 427,499 | ||||||
| iShares Preferred & Income Securities ETF (a) | 35,008 | 1,313,850 | ||||||
| 1,741,349 | ||||||||
| U.S. Small Cap Core Funds 0.8% | ||||||||
| iShares Russell 2000 ETF | 12,172 | 1,842,111 | ||||||
| Schwab U.S. Small-Cap ETF (a) | 5,293 | 369,081 | ||||||
| Vanguard Small-Cap ETF | 7,313 | 1,125,398 | ||||||
| 3,336,590 | ||||||||
| Total Equity | ||||||||
| (Cost $115,612,237) | 115,754,371 | |||||||
| Total Exchange-Traded Funds | ||||||||
| (Cost $369,386,372) | 372,211,940 | |||||||
| Exchange-Traded Note 0.2% | ||||||||
| Volatility 0.2% | ||||||||
| iPath Series B S&P 500 VIX Short-Term Futures ETN (b) | 32,292 | 766,612 | ||||||
| Total Exchange-Traded Note | ||||||||
| (Cost $790,670) | 766,612 | |||||||
| Shares | ||||||||
| Exchange-Traded Vehicles 5.3% | ||||||||
| Commodities 1.5% | ||||||||
| Gold Funds 1.2% | ||||||||
| Graniteshares Gold Trust (b) | 4,505 | 66,269 | ||||||
| SPDR Gold MiniShares Trust (b) | 6,985 | 102,679 | ||||||
| SPDR Gold Shares (b) | 33,304 | 4,624,926 | ||||||
| 4,793,874 | ||||||||
| Silver Funds 0.3% | ||||||||
| iShares Silver Trust (b) | 82,839 | 1,318,797 | ||||||
| Total Commodities (Cost $5,970,509) | 6,112,671 | |||||||
| Currencies 3.8% | ||||||||
| British Pound Fund 0.0% ‡ | ||||||||
| Invesco CurrencyShares British Pound Sterling Trust (b) | 1,003 | 119,608 | ||||||
| Euro Fund 1.5% | ||||||||
| Invesco CurrencyShares Euro Trust (b) | 55,025 | 5,698,389 | ||||||
| Japanese Yen Fund 0.8% | ||||||||
| Invesco CurrencyShares Japanese Yen Trust (b) | 37,382 | 3,287,747 | ||||||
| US Dollar Fund 1.5% | ||||||||
| Invesco DB U.S. Dollar Index Bullish Fund (a) | 215,871 | 5,850,104 | ||||||
| Total Currencies | ||||||||
| (Cost $15,009,143) | 14,955,848 | |||||||
| Total Exchange-Traded Vehicles | ||||||||
| (Cost $20,979,652) | 21,068,519 | |||||||
| Short-Term Investments 13.7% | ||||||||
| Affiliated Investment Company 0.6% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (c) | 2,287,370 | 2,287,370 | ||||||
| Unaffiliated Investment Company 13.1% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (c)(d) | 51,765,643 | 51,765,643 | ||||||
| Total Short-Term Investments | ||||||||
| (Cost $54,053,013) | 54,053,013 | |||||||
| Total Investments | ||||||||
| (Cost $445,209,707) | 113.2 | % | 448,100,084 | |||||
| Other Assets, Less Liabilities | (13.2 | ) | (52,401,873 | ) | ||||
| Net Assets | 100.0 | % | $ | 395,698,211 |
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $75,198,529; the total market value of collateral held by the Portfolio was $76,861,072. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $25,095,429. |
| (b) | Non-income producing security. |
| (c) | Current yield as of September 30, 2019. |
| (d) | Represents security purchased with cash collateral received for securities on loan. |
Swap Contracts
Open OTC total return equity swap contracts as of September 30, 2019 were as follows:
| Swap Counterparty | Reference Obligation | Floating Rate1 | Termination Date(s) | Payment Frequency Paid/Received | Notional | Unrealized (Depreciation)2 | ||||||||||
| Bank of America Merrill Lynch | Consumer Discretionary Select Sector SPDR Fund | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | $ | 30 | $ | — | ||||||||
| Morgan Stanley & Co. | Consumer Discretionary Select Sector SPDR Fund | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 30 | — | ||||||||||
| Bank of America Merrill Lynch | Energy Select Sector SPDR Fund | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 128 | — | ||||||||||
| Morgan Stanley & Co. | Energy Select Sector SPDR Fund | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 128 | — | ||||||||||
| Morgan Stanley & Co. | Financial Select Sector SPDR Fund | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 165 | — | ||||||||||
| Bank of America Merrill Lynch | Flexshares Global Upstream | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 73 | — | ||||||||||
| Morgan Stanley & Co. | Flexshares Global Upstream | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 73 | — | ||||||||||
| Bank of America Merrill Lynch | Goldman Sachs Access Treasury 0-1 Year ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 505 | — | ||||||||||
| Morgan Stanley & Co. | Goldman Sachs Access Treasury 0-1 Year ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 505 | — | ||||||||||
| Bank of America Merrill Lynch | Graniteshares Gold Trust | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 3 | — | ||||||||||
| Morgan Stanley & Co. | Graniteshares Gold Trust | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 3 | — | ||||||||||
| Morgan Stanley & Co. | Health Care Select Sector SPDR Fund | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 51 | — | ||||||||||
| Bank of America Merrill Lynch | Invesco CurrencyShares Australian Dollar Trust | 1 month LIBOR | 4/02/2020 | Monthly | (83 | ) | — | |||||||||
| Morgan Stanley & Co. | Invesco CurrencyShares Australian Dollar Trust | Federal Fund Rate minus 5.08% | 9/15/2020 | Monthly | (83 | ) | — | |||||||||
| Bank of America Merrill Lynch | Invesco CurrencyShares British Pound Sterling Trust | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 6 | — | ||||||||||
| Morgan Stanley & Co. | Invesco CurrencyShares British Pound Sterling Trust | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 6 | — | ||||||||||
| Bank of America Merrill Lynch | Invesco CurrencyShares Euro Currency Trust | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 290 | — | ||||||||||
| Morgan Stanley & Co. | Invesco CurrencyShares Euro Currency Trust | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 290 | — | ||||||||||
| Bank of America Merrill Lynch | Invesco CurrencyShares Japanese Yen Trust | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 169 | — | ||||||||||
| Morgan Stanley & Co. | Invesco CurrencyShares Japanese Yen Trust | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 169 | — | ||||||||||
| Bank of America Merrill Lynch | Invesco DB US Dollar Index Bullish Fund | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 292 | — | ||||||||||
| Morgan Stanley & Co. | Invesco DB US Dollar Index Bullish Fund | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 292 | — | ||||||||||
| Bank of America Merrill Lynch | Invesco KBW Bank ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 12 | — | ||||||||||
| Morgan Stanley & Co. | Invesco KBW Bank ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 12 | — | ||||||||||
| Bank of America Merrill Lynch | Invesco Preferred ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 22 | — | ||||||||||
| Morgan Stanley & Co. | Invesco Preferred ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 22 | — | ||||||||||
| Bank of America Merrill Lynch | Invesco S&P 500 Low Volatility | 1 month LIBOR | 4/02/2020 | Monthly | (819 | ) | — | |||||||||
| Morgan Stanley & Co. | Invesco S&P 500 Low Volatility | Federal Fund Rate minus 1.08% | 9/15/2020 | Monthly | (819 | ) | — | |||||||||
| Bank of America Merrill Lynch | Invesco Senior Loan ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 697 | — | ||||||||||
| Morgan Stanley & Co. | Invesco Senior Loan ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 698 | — | ||||||||||
| Bank of America Merrill Lynch | Invesco Treasury Collateral ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 87 | — | ||||||||||
| Morgan Stanley & Co. | Invesco Treasury Collateral ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 87 | — | ||||||||||
| Bank of America Merrill Lynch | iPath Series B S&P 500 VIX Short-Term Futures ETN | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 43 | — | ||||||||||
| Morgan Stanley & Co. | iPath Series B S&P 500 VIX Short-Term Futures ETN | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 43 | — | ||||||||||
| Bank of America Merrill Lynch | iShares 0-5 Year High Yield Corporate Bond ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 165 | — | ||||||||||
| Morgan Stanley & Co. | iShares 0-5 Year High Yield Corporate Bond ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 165 | — | ||||||||||
| Bank of America Merrill Lynch | iShares 20+ Year Treasury Bond ETF | 1 month LIBOR | 4/02/2020 | Monthly | (531 | ) | — | |||||||||
| Morgan Stanley & Co. | iShares 20+ Year Treasury Bond ETF | Federal Fund Rate minus 0.68% | 9/15/2020 | Monthly | (531 | ) | — | |||||||||
| Bank of America Merrill Lynch | iShares 3-7 Year Treasury Bond ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 260 | — | ||||||||||
| Morgan Stanley & Co. | iShares 3-7 Year Treasury Bond ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 260 | — | ||||||||||
| Bank of America Merrill Lynch | iShares Broad USD Investment Grade Corporate Bond ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 101 | — | ||||||||||
| Morgan Stanley & Co. | iShares Broad USD Investment Grade Corporate Bond ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 101 | — | ||||||||||
| Morgan Stanley & Co. | iShares China Large-Cap ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 586 | — | ||||||||||
| Bank of America Merrill Lynch | iShares Core MSCI EAFE ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 40 | — | ||||||||||
| Morgan Stanley & Co. | iShares Core MSCI EAFE ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 40 | — | ||||||||||
| Bank of America Merrill Lynch | iShares Core MSCI Emerging Markets ETF | 1 month LIBOR | 4/02/2020 | Monthly | (1,411 | ) | — | |||||||||
| Morgan Stanley & Co. | iShares Core MSCI Emerging Markets ETF | Federal Fund Rate minus 0.35% | 9/15/2020 | Monthly | (1,411 | ) | — | |||||||||
| Bank of America Merrill Lynch | iShares Core MSCI Europe ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 38 | — | ||||||||||
| Morgan Stanley & Co. | iShares Core MSCI Europe ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 38 | — | ||||||||||
| Bank of America Merrill Lynch | iShares Core MSCI Pacific ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 248 | — | ||||||||||
| Morgan Stanley & Co. | iShares Core MSCI Pacific ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 248 | — | ||||||||||
| Bank of America Merrill Lynch | iShares Core S&P U.S. Growth ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 41 | — | ||||||||||
| Morgan Stanley & Co. | iShares Core S&P U.S. Growth ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 41 | — | ||||||||||
| Bank of America Merrill Lynch | iShares Core S&P U.S. Value ETF | 1 month LIBOR | 4/02/2020 | Monthly | (276 | ) | — | |||||||||
| Morgan Stanley & Co. | iShares Core S&P U.S. Value ETF | Federal Fund Rate minus 4.53% | 9/15/2020 | Monthly | (275 | ) | — | |||||||||
| Bank of America Merrill Lynch | iShares Core US REIT ETF | 1 month LIBOR | 4/02/2020 | Monthly | (16 | ) | — | |||||||||
| Morgan Stanley & Co. | iShares Core US REIT ETF | Federal Fund Rate minus 4.83% | 9/15/2020 | Monthly | (16 | ) | — | |||||||||
| Bank of America Merrill Lynch | iShares Edge MSCI Min Vol Emerging Markets ETF | 1 month LIBOR | 4/02/2020 | Monthly | (754 | ) | — | |||||||||
| Morgan Stanley & Co. | iShares Edge MSCI Min Vol Emerging Markets ETF | Federal Fund Rate minus 0.35% | 9/15/2020 | Monthly | (754 | ) | — | |||||||||
| Bank of America Merrill Lynch | iShares Edge MSCI Min Vol USA ETF | 1 month LIBOR | 4/02/2020 | Monthly | (2,209 | ) | — | |||||||||
| Morgan Stanley & Co. | iShares Edge MSCI Min Vol USA ETF | Federal Fund Rate minus 0.58% | 9/15/2020 | Monthly | (2,209 | ) | — | |||||||||
| Bank of America Merrill Lynch | iShares Edge MSCI USA Momentum Factor ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 104 | — | ||||||||||
| Morgan Stanley & Co. | iShares Edge MSCI USA Momentum Factor ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 104 | — | ||||||||||
| Bank of America Merrill Lynch | iShares Floating Rate Bond ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 1,119 | — | ||||||||||
| Morgan Stanley & Co. | iShares Floating Rate Bond ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 1,119 | — | ||||||||||
| Bank of America Merrill Lynch | iShares iBoxx $ Investment Grade Corporate Bond ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 1,024 | — | ||||||||||
| Morgan Stanley & Co. | iShares iBoxx $ Investment Grade Corporate Bond ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 1,024 | — | ||||||||||
| Bank of America Merrill Lynch | iShares iBoxx High Yield Corporate Bond ETF | 1 month LIBOR | 4/02/2020 | Monthly | (1,712 | ) | — | |||||||||
| Morgan Stanley & Co. | iShares iBoxx High Yield Corporate Bond ETF | Federal Fund Rate minus 1.08% | 9/15/2020 | Monthly | (1,712 | ) | — | |||||||||
| Bank of America Merrill Lynch | iShares JP Morgan USD Emerging Markets Bond ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 329 | — | ||||||||||
| Morgan Stanley & Co. | iShares JP Morgan USD Emerging Markets Bond ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 329 | — | ||||||||||
| Bank of America Merrill Lynch | iShares MBS ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 265 | — | ||||||||||
| Morgan Stanley & Co. | iShares MBS ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 265 | — | ||||||||||
| Bank of America Merrill Lynch | iShares MSCI All Country Asia ex Japan ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 256 | — | ||||||||||
| Morgan Stanley & Co. | iShares MSCI All Country Asia ex Japan ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 256 | — | ||||||||||
| Morgan Stanley & Co. | iShares MSCI China ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 504 | — | ||||||||||
| Bank of America Merrill Lynch | iShares MSCI EAFE Growth ETF | 1 month LIBOR | 4/02/2020 | Monthly | (200 | ) | — | |||||||||
| Morgan Stanley & Co. | iShares MSCI EAFE Growth ETF | Federal Fund Rate minus 6.08% | 9/15/2020 | Monthly | (199 | ) | — | |||||||||
| Bank of America Merrill Lynch | iShares MSCI Eurozone ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 63 | — | ||||||||||
| Morgan Stanley & Co. | iShares MSCI Eurozone ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 63 | — | ||||||||||
| Bank of America Merrill Lynch | iShares MSCI Japan ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 155 | — | ||||||||||
| Morgan Stanley & Co. | iShares MSCI Japan ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 155 | — | ||||||||||
| Bank of America Merrill Lynch | iShares Russell 2000 ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 92 | — | ||||||||||
| Morgan Stanley & Co. | iShares Russell 2000 ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 92 | — | ||||||||||
| Bank of America Merrill Lynch | iShares Russell 2000 Growth ETF | 1 month LIBOR | 4/02/2020 | Monthly | (156 | ) | — | |||||||||
| Morgan Stanley & Co. | iShares Russell 2000 Growth ETF | Federal Fund Rate minus 1.58% | 9/15/2020 | Monthly | (156 | ) | — | |||||||||
| Bank of America Merrill Lynch | iShares Russell 2000 Value ETF | 1 month LIBOR | 4/02/2020 | Monthly | (829 | ) | — | |||||||||
| Morgan Stanley & Co. | iShares Russell 2000 Value ETF | Federal Fund Rate minus 0.58% | 9/15/2020 | Monthly | (829 | ) | — | |||||||||
| Bank of America Merrill Lynch | iShares S&P Small CAP 600 Value ETF | 1 month LIBOR | 4/02/2020 | Monthly | (564 | ) | — | |||||||||
| Morgan Stanley & Co. | iShares S&P Small CAP 600 Value ETF | Federal Fund Rate minus 4.28% | 9/15/2020 | Monthly | (564 | ) | — | |||||||||
| Morgan Stanley & Co. | iShares S&P Small-Cap 600 Growth ETF | Federal Fund Rate minus 3.98% | 9/15/2020 | Monthly | (91 | ) | — | |||||||||
| Bank of America Merrill Lynch | iShares S&P Small-Cap 600 Growth ETF | 1 month LIBOR | 4/02/2020 | Monthly | (91 | ) | — | |||||||||
| Bank of America Merrill Lynch | iShares Short Treasury Bond ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 3,846 | — | ||||||||||
| Morgan Stanley & Co. | iShares Short Treasury Bond ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 3,846 | — | ||||||||||
| Bank of America Merrill Lynch | iShares Silver Trust | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 72 | — | ||||||||||
| Morgan Stanley & Co. | iShares Silver Trust | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 72 | — | ||||||||||
| Bank of America Merrill Lynch | iShares U.S. Preferred Stock ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 66 | — | ||||||||||
| Morgan Stanley & Co. | iShares U.S. Preferred Stock ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 66 | — | ||||||||||
| Bank of America Merrill Lynch | Schwab Intermediate-Term U.S. Treasury ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 165 | — | ||||||||||
| Morgan Stanley & Co. | Schwab Intermediate-Term U.S. Treasury ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 165 | — | ||||||||||
| Bank of America Merrill Lynch | Schwab International Small-Cap Equity ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 443 | — | ||||||||||
| Morgan Stanley & Co. | Schwab International Small-Cap Equity ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 443 | — | ||||||||||
| Bank of America Merrill Lynch | Schwab U.S. Large Cap Growth ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 50 | — | ||||||||||
| Morgan Stanley & Co. | Schwab U.S. Large Cap Growth ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 50 | — | ||||||||||
| Bank of America Merrill Lynch | Schwab U.S. Large Cap Value ETF | 1 month LIBOR | 4/02/2020 | Monthly | (287 | ) | — | |||||||||
| Morgan Stanley & Co. | Schwab U.S. Large Cap Value ETF | Federal Fund Rate minus 3.38% | 9/15/2020 | Monthly | (287 | ) | — | |||||||||
| Bank of America Merrill Lynch | Schwab U.S. REIT ETF | 1 month LIBOR | 4/02/2020 | Monthly | (58 | ) | — | |||||||||
| Morgan Stanley & Co. | Schwab U.S. REIT ETF | Federal Fund Rate minus 2.73% | 9/15/2020 | Monthly | (58 | ) | — | |||||||||
| Bank of America Merrill Lynch | Schwab US Small-Cap ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 19 | — | ||||||||||
| Morgan Stanley & Co. | Schwab US Small-Cap ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 19 | — | ||||||||||
| Bank of America Merrill Lynch | SPDR Blackstone / GSO Senior Loan ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 312 | — | ||||||||||
| Morgan Stanley & Co. | SPDR Blackstone / GSO Senior Loan ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 312 | — | ||||||||||
| Bank of America Merrill Lynch | SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 1,443 | — | ||||||||||
| Morgan Stanley & Co. | SPDR Bloomberg Barclays 1-3 Month T-Bill ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 1,443 | — | ||||||||||
| Bank of America Merrill Lynch | SPDR Bloomberg Barclays Convertible Securities ETF | 1 month LIBOR | 4/02/2020 | Monthly | (723 | ) | — | |||||||||
| Morgan Stanley & Co. | SPDR Bloomberg Barclays Convertible Securities ETF | Federal Fund Rate minus 0.83% | 9/15/2020 | Monthly | (723 | ) | — | |||||||||
| Bank of America Merrill Lynch | SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 57 | — | ||||||||||
| Morgan Stanley & Co. | SPDR Bloomberg Barclays Emerging Markets Local Bond ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 57 | — | ||||||||||
| Bank of America Merrill Lynch | SPDR Bloomberg Barclays High Yield Bond ETF | 1 month LIBOR | 4/02/2020 | Monthly | (907 | ) | — | |||||||||
| Morgan Stanley & Co. | SPDR Bloomberg Barclays High Yield Bond ETF | Federal Fund Rate minus 0.58% | 9/15/2020 | Monthly | (907 | ) | — | |||||||||
| Bank of America Merrill Lynch | SPDR Bloomberg Barclays Invest | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 467 | — | ||||||||||
| Morgan Stanley & Co. | SPDR Bloomberg Barclays Invest | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 467 | — | ||||||||||
| Bank of America Merrill Lynch | SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 157 | — | ||||||||||
| Morgan Stanley & Co. | SPDR Bloomberg Barclays Short Term High Yield Bond ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 157 | — | ||||||||||
| Bank of America Merrill Lynch | SPDR Dow Jones International Real Estate ETF | 1 month LIBOR | 4/02/2020 | Monthly | (1,321 | ) | — | |||||||||
| Morgan Stanley & Co. | SPDR Dow Jones International Real Estate ETF | Federal Fund Rate minus 0.63% | 9/15/2020 | Monthly | (1,321 | ) | — | |||||||||
| Bank of America Merrill Lynch | SPDR Gold MiniShares Trust | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 5 | — | ||||||||||
| Morgan Stanley & Co. | SPDR Gold MiniShares Trust | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 5 | — | ||||||||||
| Bank of America Merrill Lynch | SPDR Gold Shares | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 241 | — | ||||||||||
| Morgan Stanley & Co. | SPDR Gold Shares | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 241 | — | ||||||||||
| Bank of America Merrill Lynch | SPDR Portfolio Long Term Treasury ETF | 1 month LIBOR | 4/02/2020 | Monthly | (87 | ) | — | |||||||||
| Morgan Stanley & Co. | SPDR Portfolio Long Term Treasury ETF | Federal Fund Rate minus 2.08% | 9/15/2020 | Monthly | (87 | ) | — | |||||||||
| Bank of America Merrill Lynch | SPDR Portfolio S&P 500 Growth ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 33 | — | ||||||||||
| Morgan Stanley & Co. | SPDR Portfolio S&P 500 Growth ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 33 | — | ||||||||||
| Bank of America Merrill Lynch | SPDR Portfolio S&P 500 Value ETF | 1 month LIBOR | 4/02/2020 | Monthly | (147 | ) | — | |||||||||
| Morgan Stanley & Co. | SPDR Portfolio S&P 500 Value ETF | Federal Fund Rate minus 9.33% | 9/15/2020 | Monthly | (147 | ) | — | |||||||||
| Bank of America Merrill Lynch | SPDR Portfolio Short Term Corporate Bond ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 101 | — | ||||||||||
| Morgan Stanley & Co. | SPDR Portfolio Short Term Corporate Bond ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 101 | — | ||||||||||
| Bank of America Merrill Lynch | SPDR S&P Bank ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 33 | — | ||||||||||
| Morgan Stanley & Co. | SPDR S&P Bank ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 33 | — | ||||||||||
| Morgan Stanley & Co. | SPDR S&P China ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 154 | — | ||||||||||
| Bank of America Merrill Lynch | SPDR S&P Emerging Markets Small Cap ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 416 | — | ||||||||||
| Morgan Stanley & Co. | SPDR S&P Emerging Markets Small Cap ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 416 | — | ||||||||||
| Morgan Stanley & Co. | Technology Select Sector SPDR Fund | Federal Fund Rate plus 0.03% | 9/15/2020 | Monthly | (870 | ) | — | |||||||||
| Bank of America Merrill Lynch | VanEck Vectors High-Yield Municipal Index ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 44 | — | ||||||||||
| Morgan Stanley & Co. | VanEck Vectors High-Yield Municipal Index ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 44 | — | ||||||||||
| Bank of America Merrill Lynch | VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 346 | — | ||||||||||
| Morgan Stanley & Co. | VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 346 | — | ||||||||||
| Bank of America Merrill Lynch | Vanguard Emerging Markets Government Bond ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 31 | — | ||||||||||
| Morgan Stanley & Co. | Vanguard Emerging Markets Government Bond ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 31 | — | ||||||||||
| Bank of America Merrill Lynch | Vanguard FTSE All World ex-U.S. Small-Cap ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 1,043 | — | ||||||||||
| Morgan Stanley & Co. | Vanguard FTSE All World ex-U.S. Small-Cap ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 1,043 | — | ||||||||||
| Bank of America Merrill Lynch | Vanguard FTSE Developed Markets ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 44 | — | ||||||||||
| Morgan Stanley & Co. | Vanguard FTSE Developed Markets ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 44 | — | ||||||||||
| Bank of America Merrill Lynch | Vanguard FTSE Emerging Markets ETF | 1 month LIBOR | 4/02/2020 | Monthly | (1,616 | ) | — | |||||||||
| Morgan Stanley & Co. | Vanguard FTSE Emerging Markets ETF | Federal Fund Rate minus 0.35% | 9/15/2020 | Monthly | (1,616 | ) | — | |||||||||
| Bank of America Merrill Lynch | Vanguard FTSE Europe ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 155 | — | ||||||||||
| Morgan Stanley & Co. | Vanguard FTSE Europe ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 155 | — | ||||||||||
| Bank of America Merrill Lynch | Vanguard FTSE Pacific ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 73 | — | ||||||||||
| Morgan Stanley & Co. | Vanguard FTSE Pacific ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 73 | — | ||||||||||
| Bank of America Merrill Lynch | Vanguard Growth ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 255 | — | ||||||||||
| Morgan Stanley & Co. | Vanguard Growth ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 255 | — | ||||||||||
| Bank of America Merrill Lynch | Vanguard Intermediate-Term Corporate Bond ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 676 | — | ||||||||||
| Morgan Stanley & Co. | Vanguard Intermediate-Term Corporate Bond ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 676 | — | ||||||||||
| Bank of America Merrill Lynch | Vanguard Intermediate-Term Treasury ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 150 | — | ||||||||||
| Morgan Stanley & Co. | Vanguard Intermediate-Term Treasury ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 150 | — | ||||||||||
| Bank of America Merrill Lynch | Vanguard Long-Term Treasury ETF | 1 month LIBOR | 4/02/2020 | Monthly | (40 | ) | — | |||||||||
| Morgan Stanley & Co. | Vanguard Long-Term Treasury ETF | Federal Fund Rate minus 0.35% | 9/15/2020 | Monthly | (40 | ) | — | |||||||||
| Bank of America Merrill Lynch | Vanguard Mortgage-Backed Securities ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 144 | — | ||||||||||
| Morgan Stanley & Co. | Vanguard Mortgage-Backed Securities ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 144 | — | ||||||||||
| Bank of America Merrill Lynch | Vanguard Real Estate ETF | 1 month LIBOR | 4/02/2020 | Monthly | (357 | ) | — | |||||||||
| Morgan Stanley & Co. | Vanguard Real Estate ETF | Federal Fund Rate minus 0.35% | 9/15/2020 | Monthly | (357 | ) | — | |||||||||
| Bank of America Merrill Lynch | Vanguard Short-Term Corporate Bond ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 441 | — | ||||||||||
| Morgan Stanley & Co. | Vanguard Short-Term Corporate Bond ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 441 | — | ||||||||||
| Bank of America Merrill Lynch | Vanguard Small-Cap ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 56 | — | ||||||||||
| Morgan Stanley & Co. | Vanguard Small-Cap ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 56 | — | ||||||||||
| Bank of America Merrill Lynch | Vanguard Small-Cap Growth ETF | 1 month LIBOR | 4/02/2020 | Monthly | (159 | ) | — | |||||||||
| Morgan Stanley & Co. | Vanguard Small-Cap Growth ETF | Federal Fund Rate minus 1.08% | 9/15/2020 | Monthly | (159 | ) | — | |||||||||
| Bank of America Merrill Lynch | Vanguard Small-Cap Value ETF | 1 month LIBOR | 4/02/2020 | Monthly | (1,250 | ) | — | |||||||||
| Morgan Stanley & Co. | Vanguard Small-Cap Value ETF | Federal Fund Rate minus 1.33% | 9/15/2020 | Monthly | (1,250 | ) | — | |||||||||
| Bank of America Merrill Lynch | Vanguard Value ETF | 1 month LIBOR | 4/02/2020 | Monthly | (2,317 | ) | — | |||||||||
| Morgan Stanley & Co. | Vanguard Value ETF | Federal Fund Rate minus 0.58% | 9/15/2020 | Monthly | (2,317 | ) | — | |||||||||
| Bank of America Merrill Lynch | WisdomTree Emerging Markets Local Debt Fund | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 13 | — | ||||||||||
| Morgan Stanley & Co. | WisdomTree Emerging Markets Local Debt Fund | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 13 | — | ||||||||||
| Bank of America Merrill Lynch | Xtrackers MSCI EAFE Hedged Equity ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 341 | — | ||||||||||
| Morgan Stanley & Co. | Xtrackers MSCI EAFE Hedged Equity ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 341 | — | ||||||||||
| Bank of America Merrill Lynch | Xtrackers MSCI Europe Hedged Equity ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 212 | — | ||||||||||
| Morgan Stanley & Co. | Xtrackers MSCI Europe Hedged Equity ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 212 | — | ||||||||||
| Bank of America Merrill Lynch | Xtrackers MSCI Japan Hedged Equity ETF | 1 month LIBOR plus 0.50% | 4/02/2020 | Monthly | 454 | — | ||||||||||
| Morgan Stanley & Co. | Xtrackers MSCI Japan Hedged Equity ETF | Federal Fund Rate plus 0.50% | 9/15/2020 | Monthly | 454 | — | ||||||||||
| Bank of America Merrill Lynch | Xtrackers USD High Yield Corporate Bond ETF | 1 month LIBOR | 4/02/2020 | Monthly | (298 | ) | — | |||||||||
| Morgan Stanley & Co. | Xtrackers USD High Yield Corporate Bond ETF | Federal Fund Rate minus 1.98% | 9/15/2020 | Monthly | (298 | ) | — | |||||||||
| $ | 273 | $ | — |
| 1 | Portfolio pays or receives the floating rate and receives or pays the total return of the reference entity. |
| 2 | Reflects the value at reset date as of September 30, 2019. |
| * | Notional amounts reflected as a positive value indicate a long position held by the Portfolio or Index and a negative value indicates a short position. |
| The following abbreviations are used in the preceding pages: | |
| BRIC | —Brazil, Russia, India and China |
| DB | —Deutsche Bank |
| EAFE | —Europe, Australasia and Far East |
| EM | —Emerging Markets |
| ETF | —Exchange-Traded Fund |
| ETN | —Exchange-Traded Note |
| FTSE | —Financial Times Stock Exchange |
| KBW | —Keefe, Bruyette & Woods |
| LIBOR | —London Interbank Offered Rate |
| MBS | —Mortgage-Backed Security |
| MSCI | —Morgan Stanley Capital International |
| SPDR | —Standard & Poor’s Depositary Receipt |
| USD | —United States Dollar |
| VIX | —CBOE Volatility Index |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio’s assets:
Description |
Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Total |
||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Exchange-Traded Funds | $ | 372,211,940 | $ | — | $ | — | $ | 372,211,940 | ||||||||
| Exchange-Traded Note | 766,612 | — | — | 766,612 | ||||||||||||
| Exchange-Traded Vehicles | 21,068,519 | — | — | 21,068,519 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 2,287,370 | — | — | 2,287,370 | ||||||||||||
| Unaffiliated Investment Company | 51,765,643 | — | — | 51,765,643 | ||||||||||||
| Total Short-Term Investments | 54,053,013 | — | — | 54,053,013 | ||||||||||||
| Total Investments in Securities | $ | 448,100,084 | $ | — | $ | — | $ | 448,100,084 | ||||||||
(a) For a complete listing of investments and their industries, see the Portfolio of Investments.
MainStay VP Janus Henderson Balanced Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Principal | ||||||||
| Amount | Value | |||||||
| Long-Term Bonds 36.6% † | ||||||||
| Asset-Backed Securities 1.1% | ||||||||
| Automobile Asset-Backed Securities 0.5% | ||||||||
| Credit Acceptance Auto Loan Series 2018-2A, Class B 3.94%, due 7/15/27 (a) | $ | 387,000 | $ | 398,160 | ||||
| Drive Auto Receivables Trust | ||||||||
| Series 2019-1, Class D 4.09%, due 6/15/26 | 175,000 | 181,225 | ||||||
| Series 2017-AA, Class D 4.16%, due 5/15/24 (a) | 415,000 | 421,689 | ||||||
| Series 2017-1, Class E 5.17%, due 9/16/24 | 1,590,000 | 1,646,123 | ||||||
| Series 2017-2, Class E 5.27%, due 11/15/24 | 1,400,000 | 1,451,468 | ||||||
| OneMain Direct Auto Receivables Trust (a) | ||||||||
| Series 2018-1A, Class C 3.85%, due 10/14/25 | 181,000 | 186,183 | ||||||
| Series 2018-1A, Class D 4.40%, due 1/14/28 | 180,000 | 186,346 | ||||||
| Santander Drive Auto Receivables Trust Series 2016-3, Class E 4.29%, due 2/15/24 | 1,868,000 | 1,898,636 | ||||||
| 6,369,830 | ||||||||
| Other Asset-Backed Securities 0.6% | ||||||||
| Applebee's Funding LLC / IHOP Funding LLC (a) | ||||||||
| Series 2019-1A, Class A2I 4.194%, due 6/7/49 | 798,000 | 816,242 | ||||||
| Series 2019-1A, Class A2II 4.723%, due 6/7/49 | 358,000 | 371,103 | ||||||
| DB Master Finance LLC (a) | ||||||||
| Series 2019-1A, Class A2I 3.787%, due 5/20/49 | 466,830 | 480,742 | ||||||
| Series 2019-1A, Class A2II 4.021%, due 5/20/49 | 188,528 | 195,446 | ||||||
| Series 2019-1A, Class A23 4.352%, due 5/20/49 | 373,065 | 394,125 | ||||||
| Domino's Pizza Master Issuer LLC (a) | ||||||||
| Series 2017-1A, Class A2II 3.082%, due 7/25/47 | 158,760 | 159,298 | ||||||
| Series 2018-1A, Class A2I 4.116%, due 7/25/48 | 914,425 | 949,283 | ||||||
| Series 2018-1A, Class A2II 4.328%, due 7/25/48 | 192,563 | 202,980 | ||||||
| Jack In The Box Funding LLC (a) | ||||||||
| Series 2019-1A, Class A2I 3.982%, due 8/25/49 | 991,000 | 1,007,748 | ||||||
| Series 2019-1A, Class A2II 4.476%, due 8/25/49 | 991,000 | 1,017,390 | ||||||
| Series 2019-1A, Class A23 4.97%, due 8/25/49 | 991,000 | 1,027,231 | ||||||
| Wendy's Funding LLC (a) | ||||||||
| Series 2018-1A, Class A2I 3.573%, due 3/15/48 | 298,680 | 303,411 | ||||||
| Series 2018-1A, Class A2II 3.884%, due 3/15/48 | 89,408 | 91,956 | ||||||
| 7,016,955 | ||||||||
| Total Asset-Backed Securities (Cost $13,130,982) | 13,386,785 | |||||||
| Corporate Bonds 19.4% | ||||||||
| Aerospace & Defense 0.2% | ||||||||
| Boeing Co. | ||||||||
| 2.25%, due 6/15/26 | 144,000 | 143,427 | ||||||
| 3.20%, due 3/1/29 | 1,030,000 | 1,081,330 | ||||||
| 3.25%, due 3/1/28 | 178,000 | 186,879 | ||||||
| 3.60%, due 5/1/34 | 1,195,000 | 1,296,022 | ||||||
| 2,707,658 | ||||||||
| Auto Manufacturers 0.7% | ||||||||
| Ford Motor Credit Co. LLC | ||||||||
| 3.815%, due 11/2/27 | 1,066,000 | 1,010,645 | ||||||
| 4.389%, due 1/8/26 | 1,500,000 | 1,492,730 | ||||||
| 5.113%, due 5/3/29 | 3,636,000 | 3,655,601 | ||||||
| General Motors Co. 5.00%, due 10/1/28 | 949,000 | 1,008,175 | ||||||
| General Motors Financial Co., Inc. | ||||||||
| 4.30%, due 7/13/25 | 223,000 | 231,600 | ||||||
| 4.35%, due 4/9/25 | 726,000 | 756,236 | ||||||
| 4.35%, due 1/17/27 | 437,000 | 449,174 | ||||||
| 8,604,161 | ||||||||
| Banks 2.2% | ||||||||
| Bank of America Corp. (b) | ||||||||
| 3.705%, due 4/24/28 | 3,414,000 | 3,631,060 | ||||||
| 3.97%, due 3/5/29 | 949,000 | 1,028,247 | ||||||
| 3.974%, due 2/7/30 | 1,140,000 | 1,245,808 | ||||||
| Bank of Montreal 3.30%, due 2/5/24 | 1,275,000 | 1,326,752 | ||||||
| CIT Bank N.A. 2.969%, due 9/27/25 (b) | 684,000 | 683,795 | ||||||
| Citigroup, Inc. 3.887%, due 1/10/28 (b) | 4,397,000 | 4,709,879 | ||||||
| Citizens Financial Group, Inc. | ||||||||
| 3.75%, due 7/1/24 | 264,000 | 272,299 | ||||||
| 4.30%, due 12/3/25 | 684,000 | 731,369 | ||||||
| 4.35%, due 8/1/25 | 203,000 | 217,138 | ||||||
| First Republic Bank 4.625%, due 2/13/47 | 391,000 | 449,570 | ||||||
| JPMorgan Chase & Co. (b) | ||||||||
| 3.702%, due 5/6/30 | 1,224,000 | 1,311,504 | ||||||
| 3.782%, due 2/1/28 | 1,422,000 | 1,521,370 | ||||||
| 3.96%, due 1/29/27 | 2,044,000 | 2,210,090 | ||||||
| 4.452%, due 12/5/29 | 3,384,000 | 3,825,347 | ||||||
| Morgan Stanley | ||||||||
| 3.95%, due 4/23/27 | 1,401,000 | 1,481,895 | ||||||
| 4.35%, due 9/8/26 | 1,128,000 | 1,221,540 | ||||||
| 4.431%, due 1/23/30 (b) | 2,171,000 | 2,438,386 | ||||||
| 28,306,049 | ||||||||
| Beverages 0.4% | ||||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 4.15%, due 1/23/25 | 2,345,000 | 2,561,201 | ||||||
| 4.75%, due 1/23/29 | 862,000 | 1,001,869 | ||||||
| Keurig Dr Pepper, Inc. | ||||||||
| 4.597%, due 5/25/28 | 1,145,000 | 1,282,227 | ||||||
| 5.085%, due 5/25/48 | 459,000 | 543,001 | ||||||
| 5,388,298 | ||||||||
| Chemicals 0.1% | ||||||||
| CF Industries, Inc. 4.50%, due 12/1/26 (a) | 472,000 | 514,909 | ||||||
| Nutrien, Ltd. 4.20%, due 4/1/29 | 226,000 | 248,941 | ||||||
| 763,850 | ||||||||
| Commercial Services 0.8% | ||||||||
| Global Payments, Inc. | ||||||||
| 3.20%, due 8/15/29 | 309,000 | 313,354 | ||||||
| 4.15%, due 8/15/49 | 233,000 | 245,843 | ||||||
| IHS Markit, Ltd. (a) | ||||||||
| 4.75%, due 2/15/25 | 924,000 | 1,002,540 | ||||||
| 5.00%, due 11/1/22 | 119,000 | 126,751 | ||||||
| PayPal Holdings, Inc. | ||||||||
| 2.40%, due 10/1/24 | 577,000 | 580,128 | ||||||
| 2.65%, due 10/1/26 | 1,726,000 | 1,737,889 | ||||||
| 2.85%, due 10/1/29 | 2,033,000 | 2,045,649 | ||||||
| Service Corp. International 5.125%, due 6/1/29 | 817,000 | 873,169 | ||||||
| Total System Services, Inc. 4.80%, due 4/1/26 | 902,000 | 1,002,166 | ||||||
| UBM PLC 5.75%, due 11/3/20 (a) | 1,145,000 | 1,180,504 | ||||||
| Verisk Analytics, Inc. 5.50%, due 6/15/45 | 374,000 | 463,463 | ||||||
| 9,571,456 | ||||||||
| Communications Equipment 0.0% ‡ | ||||||||
| Juniper Networks, Inc. 3.75%, due 8/15/29 | 536,000 | 538,133 | ||||||
| Computers 0.2% | ||||||||
| Dell International LLC (a) 5.30%, due 10/1/29 | 615,000 | 670,506 | ||||||
| 5.875%, due 6/15/21 | 2,142,000 | 2,176,272 | ||||||
| 2,846,778 | ||||||||
| Diversified Financial Services 0.5% | ||||||||
| CBOE Global Markets, Inc. 3.65%, due 1/12/27 | 1,030,000 | 1,095,470 | ||||||
| GE Capital International Funding Co. 4.418%, due 11/15/35 | 1,194,000 | 1,249,543 | ||||||
| Raymond James Financial, Inc. | ||||||||
| 4.95%, due 7/15/46 | 477,000 | 569,923 | ||||||
| 5.625%, due 4/1/24 | 358,000 | 404,014 | ||||||
| Synchrony Financial | ||||||||
| 2.85%, due 7/25/22 | 146,000 | 147,229 | ||||||
| 3.95%, due 12/1/27 | 1,044,000 | 1,070,212 | ||||||
| 4.375%, due 3/19/24 | 250,000 | 265,282 | ||||||
| 5.15%, due 3/19/29 | 971,000 | 1,076,482 | ||||||
| 5,878,155 | ||||||||
| Electric 1.2% | ||||||||
| NRG Energy, Inc. | ||||||||
| 3.75%, due 6/15/24 (a) | 1,258,000 | 1,294,495 | ||||||
| 4.45%, due 6/15/29 (a) | 1,211,000 | 1,261,701 | ||||||
| 5.25%, due 6/15/29 (a) | 488,000 | 524,746 | ||||||
| 5.75%, due 1/15/28 (c) | 247,000 | 265,525 | ||||||
| 6.625%, due 1/15/27 | 1,343,000 | 1,454,939 | ||||||
| 7.25%, due 5/15/26 | 1,111,000 | 1,216,823 | ||||||
| Oncor Electric Delivery Co. LLC (a) | ||||||||
| 2.75%, due 6/1/24 | 994,000 | 1,020,627 | ||||||
| 3.70%, due 11/15/28 | 797,000 | 877,592 | ||||||
| 3.80%, due 6/1/49 | 1,161,000 | 1,301,651 | ||||||
| PPL WEM, Ltd. / Western Power Distribution, Ltd. 5.375%, due 5/1/21 (a) | 756,000 | 780,116 | ||||||
| Southern Co. 2.95%, due 7/1/23 | 579,000 | 590,932 | ||||||
| Vistra Operations Co. LLC (a) | ||||||||
| 5.00%, due 7/31/27 | 1,631,000 | 1,679,408 | ||||||
| 5.50%, due 9/1/26 | 464,000 | 485,437 | ||||||
| 5.625%, due 2/15/27 | 2,506,000 | 2,638,943 | ||||||
| 15,392,935 | ||||||||
| Electronics 0.3% | ||||||||
| Trimble, Inc. | ||||||||
| 4.75%, due 12/1/24 | 1,434,000 | 1,539,142 | ||||||
| 4.90%, due 6/15/28 | 2,222,000 | 2,410,834 | ||||||
| 3,949,976 | ||||||||
| Food 1.1% | ||||||||
| Campbell Soup Co. | ||||||||
| 3.95%, due 3/15/25 | 594,000 | 629,719 | ||||||
| 4.15%, due 3/15/28 | 896,000 | 964,795 | ||||||
| 4.80%, due 3/15/48 (c) | 979,000 | 1,098,431 | ||||||
| General Mills, Inc. 4.20%, due 4/17/28 | 1,284,000 | 1,429,644 | ||||||
| JBS USA LLC / JBS USA Finance, Inc. 5.875%, due 7/15/24 (a) | 287,000 | 295,624 | ||||||
| JBS USA LUX S.A. / JBS Food Co. / JBS USA Finance, Inc. 6.50%, due 4/15/29 (a) | 225,000 | 249,746 | ||||||
| JBS USA LUX S.A. / JBS USA Finance, Inc. (a) | ||||||||
| 5.75%, due 6/15/25 | 516,000 | 537,579 | ||||||
| 6.75%, due 2/15/28 | 159,000 | 176,093 | ||||||
| Kraft Heinz Food Co. | ||||||||
| 3.00%, due 6/1/26 | 2,139,000 | 2,116,296 | ||||||
| 3.75%, due 4/1/30 (a) | 591,000 | 596,518 | ||||||
| 4.375%, due 6/1/46 | 906,000 | 864,994 | ||||||
| 4.625%, due 1/30/29 | 403,000 | 435,938 | ||||||
| 4.625%, due 10/1/39 (a) | 301,000 | 302,561 | ||||||
| 4.875%, due 10/1/49 (a) | 602,000 | 607,869 | ||||||
| 5.00%, due 6/4/42 | 339,000 | 349,501 | ||||||
| Mars, Inc. (a) | ||||||||
| 2.70%, due 4/1/25 | 468,000 | 480,208 | ||||||
| 3.20%, due 4/1/30 | 570,000 | 603,007 | ||||||
| 3.95%, due 4/1/49 | 764,000 | 870,864 | ||||||
| 4.20%, due 4/1/59 | 488,000 | 562,932 | ||||||
| Mondelez International Holdings Netherlands B.V. 2.25%, due 9/19/24 (a) | 1,028,000 | 1,023,038 | ||||||
| Sysco Corp. 2.50%, due 7/15/21 (c) | 203,000 | 204,277 | ||||||
| 14,399,634 | ||||||||
| Forest Products & Paper 0.1% | ||||||||
| Georgia-Pacific LLC 3.163%, due 11/15/21 (a) | 1,387,000 | 1,409,974 | ||||||
| Gas 0.1% | ||||||||
| AmeriGas Partners, L.P. / AmeriGas Finance Corp. | ||||||||
| 5.50%, due 5/20/25 | 1,619,000 | 1,738,401 | ||||||
| 5.625%, due 5/20/24 | 43,000 | 46,037 | ||||||
| 1,784,438 | ||||||||
| Health Care - Products 0.1% | ||||||||
| Boston Scientific Corp. | ||||||||
| 3.75%, due 3/1/26 | 560,000 | 598,445 | ||||||
| 4.00%, due 3/1/29 | 291,000 | 321,645 | ||||||
| 4.70%, due 3/1/49 | 467,000 | 569,482 | ||||||
| 1,489,572 | ||||||||
| Health Care - Services 0.7% | ||||||||
| Centene Corp. | ||||||||
| 4.75%, due 5/15/22 | 64,000 | 65,293 | ||||||
| 5.375%, due 6/1/26 (a) | 1,748,000 | 1,828,845 | ||||||
| 6.125%, due 2/15/24 | 458,000 | 476,411 | ||||||
| HCA, Inc. | ||||||||
| 4.125%, due 6/15/29 | 2,868,000 | 3,007,630 | ||||||
| 4.50%, due 2/15/27 | 1,183,000 | 1,268,392 | ||||||
| 5.125%, due 6/15/39 | 509,000 | 555,156 | ||||||
| 5.25%, due 6/15/49 | 741,000 | 808,315 | ||||||
| Humana Inc. 3.125%, due 8/15/29 | 239,000 | 238,777 | ||||||
| 8,248,819 | ||||||||
| Home Builders 0.1% | ||||||||
| MDC Holdings, Inc. 5.50%, due 1/15/24 | 708,000 | 775,260 | ||||||
| Housewares 0.2% | ||||||||
| Newell Brands, Inc. | ||||||||
| 4.20%, due 4/1/26 | 1,301,000 | 1,361,155 | ||||||
| 5.375%, due 4/1/36 | 1,486,000 | 1,584,526 | ||||||
| 2,945,681 | ||||||||
| Insurance 0.1% | ||||||||
| Brown & Brown, Inc. 4.50%, due 3/15/29 | 574,000 | 625,205 | ||||||
| Internet 0.1% | ||||||||
| Netflix, Inc. | ||||||||
| 4.375%, due 11/15/26 | 673,000 | 681,783 | ||||||
| 5.375%, due 11/15/29 (a) | 591,000 | 616,117 | ||||||
| 5.875%, due 11/15/28 | 133,000 | 144,478 | ||||||
| 1,442,378 | ||||||||
| Iron & Steel 0.2% | ||||||||
| Allegheny Technologies, Inc. 5.95%, due 1/15/21 | 912,000 | 931,950 | ||||||
| Reliance Steel & Aluminum Co. 4.50%, due 4/15/23 | 719,000 | 759,557 | ||||||
| Steel Dynamics, Inc. 5.50%, due 10/1/24 | 1,166,000 | 1,196,666 | ||||||
| 2,888,173 | ||||||||
| Lodging 0.1% | ||||||||
| MGM Resorts International | ||||||||
| 6.625%, due 12/15/21 | 507,000 | 549,259 | ||||||
| 7.75%, due 3/15/22 | 182,000 | 203,614 | ||||||
| 752,873 | ||||||||
| Machinery - Diversified 0.0% ‡ | ||||||||
| Wabtec Corp. 3.45%, due 11/15/26 | 273,000 | 275,901 | ||||||
| Media 1.3% | ||||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
| 5.05%, due 3/30/29 | 4,155,000 | 4,648,496 | ||||||
| 5.375%, due 5/1/47 | 205,000 | 223,361 | ||||||
| 5.75%, due 4/1/48 | 892,000 | 1,016,874 | ||||||
| 6.484%, due 10/23/45 | 256,000 | 311,508 | ||||||
| Comcast Corp. | ||||||||
| 3.15%, due 3/1/26 | 584,000 | 611,497 | ||||||
| 4.15%, due 10/15/28 | 660,000 | 740,339 | ||||||
| 4.25%, due 10/15/30 | 749,000 | 851,982 | ||||||
| 4.60%, due 10/15/38 | 406,000 | 485,008 | ||||||
| 4.95%, due 10/15/58 | 475,000 | 603,704 | ||||||
| CSC Holdings LLC (a) | ||||||||
| 5.75%, due 1/15/30 | 1,415,000 | 1,478,845 | ||||||
| 6.50%, due 2/1/29 | 1,238,000 | 1,376,006 | ||||||
| Diamond Sports Group LLC / Diamond Sports Finance Co. 5.375%, due 8/15/26 (a) | 958,000 | 993,925 | ||||||
| Fox Corp. 4.03%, due 1/25/24 (a) | 429,000 | 456,143 | ||||||
| Sirius XM Radio, Inc. 5.50%, due 7/1/29 (a) | 977,000 | 1,042,947 | ||||||
| Viacom, Inc. 5.85%, due 9/1/43 | 909,000 | 1,114,924 | ||||||
| 15,955,559 | ||||||||
| Metal Fabricate & Hardware 0.1% | ||||||||
| Novelis Corp. 5.875%, due 9/30/26 (a) | 1,762,000 | 1,847,809 | ||||||
| Metals & Mining 0.2% | ||||||||
| Freeport-McMoRan, Inc. | ||||||||
| 5.00%, due 9/1/27 | 838,000 | 833,902 | ||||||
| 5.25%, due 9/1/29 | 791,000 | 788,528 | ||||||
| Hudbay Minerals, Inc. 7.25%, due 1/15/23 (a) | 1,248,000 | 1,288,560 | ||||||
| 2,910,990 | ||||||||
| Mining 0.3% | ||||||||
| Constellium N.V. 5.75%, due 5/15/24 (a) | 1,162,000 | 1,193,955 | ||||||
| Freeport-McMoRan, Inc. | ||||||||
| 3.55%, due 3/1/22 | 1,441,000 | 1,444,602 | ||||||
| 3.875%, due 3/15/23 | 1,347,000 | 1,357,103 | ||||||
| 3,995,660 | ||||||||
| Miscellaneous - Manufacturing 0.2% | ||||||||
| General Electric Co. 5.00%, due 1/21/21 (b)(d) | 2,384,000 | 2,251,950 | ||||||
| Oil & Gas 0.8% | ||||||||
| Cenovus Energy, Inc. 4.25%, due 4/15/27 | 401,000 | 416,912 | ||||||
| Continental Resources, Inc. | ||||||||
| 4.50%, due 4/15/23 | 1,219,000 | 1,265,514 | ||||||
| 5.00%, due 9/15/22 | 1,009,000 | 1,017,852 | ||||||
| Exxon Mobil Corp. | ||||||||
| 2.44%, due 8/16/29 | 1,580,000 | 1,590,113 | ||||||
| 3.095%, due 8/16/49 | 1,615,000 | 1,621,396 | ||||||
| Hess Corp. 4.30%, due 4/1/27 | 2,495,000 | 2,607,517 | ||||||
| HollyFrontier Corp. 5.875%, due 4/1/26 | 996,000 | 1,115,916 | ||||||
| Petroleos Mexicanos (a) | ||||||||
| 6.84%, due 1/23/30 | 252,000 | 261,047 | ||||||
| 7.69%, due 1/23/50 | 231,000 | 240,817 | ||||||
| 10,137,084 | ||||||||
| Packaging & Containers 0.3% | ||||||||
| Ball Corp. 4.375%, due 12/15/20 | 641,000 | 654,147 | ||||||
| WRKCo, Inc. | ||||||||
| 3.375%, due 9/15/27 | 80,000 | 81,381 | ||||||
| 3.75%, due 3/15/25 | 73,000 | 76,845 | ||||||
| 4.00%, due 3/15/28 | 270,000 | 287,558 | ||||||
| 4.65%, due 3/15/26 | 448,000 | 491,814 | ||||||
| 4.90%, due 3/15/29 | 1,885,000 | 2,136,434 | ||||||
| 3,728,179 | ||||||||
| Pharmaceuticals 1.0% | ||||||||
| Allergan Finance LLC 3.25%, due 10/1/22 | 721,000 | 736,408 | ||||||
| Allergan Funding SCS | ||||||||
| 3.45%, due 3/15/22 | 1,331,000 | 1,363,984 | ||||||
| 3.80%, due 3/15/25 | 857,000 | 897,389 | ||||||
| Allergan, Inc. 2.80%, due 3/15/23 | 57,000 | 57,520 | ||||||
| Bausch Health Cos., Inc. 7.00%, due 3/15/24 (a) | 923,000 | 970,036 | ||||||
| Bristol-Myers Squibb Co. (a) | ||||||||
| 3.40%, due 7/26/29 | 513,000 | 547,946 | ||||||
| 4.125%, due 6/15/39 | 370,000 | 419,292 | ||||||
| 4.25%, due 10/26/49 | 636,000 | 738,475 | ||||||
| Cigna Corp. | ||||||||
| 3.40%, due 9/17/21 | 186,000 | 190,179 | ||||||
| 3.75%, due 7/15/23 | 758,000 | 793,760 | ||||||
| Elanco Animal Health, Inc. | ||||||||
| 4.272%, due 8/28/23 | 450,000 | 472,401 | ||||||
| 4.90%, due 8/28/28 | 420,000 | 458,497 | ||||||
| Eli Lilly & Co. 3.375%, due 3/15/29 | 2,426,000 | 2,629,055 | ||||||
| GlaxoSmithKline Capital PLC 3.375%, due 6/1/29 | 1,375,000 | 1,475,351 | ||||||
| Mylan, Inc. 4.55%, due 4/15/28 | 392,000 | 416,060 | ||||||
| 12,166,353 | ||||||||
| Pipelines 1.2% | ||||||||
| Cheniere Energy Partners, L.P. 5.625%, due 10/1/26 | 655,000 | 695,053 | ||||||
| Energy Transfer Operating, L.P. | ||||||||
| 4.25%, due 3/15/23 | 600,000 | 626,858 | ||||||
| 4.95%, due 6/15/28 | 116,000 | 127,486 | ||||||
| 5.50%, due 6/1/27 | 401,000 | 453,649 | ||||||
| 5.875%, due 1/15/24 | 541,000 | 601,407 | ||||||
| 6.00%, due 6/15/48 | 1,025,000 | 1,210,982 | ||||||
| 6.125%, due 12/15/45 | 2,069,000 | 2,427,331 | ||||||
| EnLink Midstream Partners, L.P. 4.15%, due 6/1/25 | 840,000 | 779,100 | ||||||
| EQM Midstream Partners, L.P. 5.50%, due 7/15/28 | 1,197,000 | 1,197,141 | ||||||
| Kinder Morgan Energy Partners, L.P. 5.00%, due 10/1/21 | 456,000 | 476,922 | ||||||
| Kinder Morgan, Inc. | ||||||||
| 4.30%, due 3/1/28 | 280,000 | 303,663 | ||||||
| 5.20%, due 3/1/48 | 76,000 | 87,577 | ||||||
| 5.55%, due 6/1/45 | 268,000 | 315,895 | ||||||
| 6.50%, due 9/15/20 (c) | 59,000 | 61,318 | ||||||
| NGPL PipeCo LLC (a) | ||||||||
| 4.375%, due 8/15/22 | 747,000 | 774,344 | ||||||
| 4.875%, due 8/15/27 | 1,181,000 | 1,265,920 | ||||||
| Nustar Logistics, L.P. 5.625%, due 4/28/27 | 571,000 | 603,119 | ||||||
| Plains All American Pipeline, L.P. / PAA Finance Corp. 4.65%, due 10/15/25 | 1,312,000 | 1,402,431 | ||||||
| Tallgrass Energy Partners, L.P. / Tallgrass Energy Finance Corp. (a) | ||||||||
| 4.75%, due 10/1/23 | 986,000 | 986,000 | ||||||
| 5.50%, due 9/15/24 | 369,000 | 367,155 | ||||||
| 14,763,351 | ||||||||
| Real Estate 0.2% | ||||||||
| Crown Castle International Corp. 3.10%, due 11/15/29 | 1,400,000 | 1,404,420 | ||||||
| Jones Lang LaSalle, Inc. 4.40%, due 11/15/22 | 903,000 | 939,662 | ||||||
| 2,344,082 | ||||||||
| Real Estate Investment Trusts 0.6% | ||||||||
| Crown Castle International Corp. | ||||||||
| 3.65%, due 9/1/27 | 548,000 | 580,224 | ||||||
| 4.30%, due 2/15/29 | 636,000 | 702,176 | ||||||
| 5.20%, due 2/15/49 | 1,338,000 | 1,652,852 | ||||||
| GLP Capital, L.P. / GLP Financing II, Inc. | ||||||||
| 3.35%, due 9/1/24 | 187,000 | 188,066 | ||||||
| 4.00%, due 1/15/30 | 1,262,000 | 1,268,272 | ||||||
| 5.25%, due 6/1/25 | 361,000 | 397,652 | ||||||
| 5.375%, due 4/15/26 | 420,000 | 461,941 | ||||||
| Reckson Operating Partnership, L.P. 7.75%, due 3/15/20 | 1,335,000 | 1,366,099 | ||||||
| Ventas Realty, L.P. 3.50%, due 4/15/24 | 1,150,000 | 1,204,507 | ||||||
| 7,821,789 | ||||||||
| Retail 0.9% | ||||||||
| AutoZone, Inc. 3.75%, due 4/18/29 | 984,000 | 1,055,082 | ||||||
| CVS Health Corp. | ||||||||
| 3.00%, due 8/15/26 | 135,000 | 135,669 | ||||||
| 3.25%, due 8/15/29 | 229,000 | 230,051 | ||||||
| 4.10%, due 3/25/25 | 1,369,000 | 1,462,728 | ||||||
| 4.30%, due 3/25/28 | 491,000 | 530,936 | ||||||
| 4.75%, due 12/1/22 | 388,000 | 413,826 | ||||||
| 5.05%, due 3/25/48 | 2,200,000 | 2,496,843 | ||||||
| Lowe's Cos., Inc. 3.65%, due 4/5/29 | 772,000 | 825,444 | ||||||
| McDonald's Corp. | ||||||||
| 2.625%, due 9/1/29 | 1,192,000 | 1,186,590 | ||||||
| 3.625%, due 9/1/49 | 607,000 | 613,560 | ||||||
| O'Reilly Automotive, Inc. | ||||||||
| 3.60%, due 9/1/27 | 25,000 | 26,605 | ||||||
| 3.90%, due 6/1/29 | 1,129,000 | 1,234,443 | ||||||
| 4.35%, due 6/1/28 | 192,000 | 214,559 | ||||||
| Starbucks Corp. 4.45%, due 8/15/49 | 740,000 | 857,408 | ||||||
| 11,283,744 | ||||||||
| Road & Rail 0.4% | ||||||||
| Wabtec Corp. (e) | ||||||||
| 4.40%, due 3/15/24 | 1,014,000 | 1,079,938 | ||||||
| 4.95%, due 9/15/28 | 4,091,000 | 4,511,071 | ||||||
| 5,591,009 | ||||||||
| Semiconductors 0.7% | ||||||||
| Broadcom Corp. / Broadcom Cayman Finance, Ltd. 3.875%, due 1/15/27 | 552,000 | 554,329 | ||||||
| Broadcom, Inc. (a) | ||||||||
| 4.25%, due 4/15/26 | 734,000 | 758,154 | ||||||
| 4.75%, due 4/15/29 | 988,000 | 1,044,486 | ||||||
| Entegris, Inc. 4.625%, due 2/10/26 (a) | 641,000 | 663,435 | ||||||
| Lam Research Corp. 4.00%, due 3/15/29 | 208,000 | 229,811 | ||||||
| Marvell Technology Group, Ltd. | ||||||||
| 4.20%, due 6/22/23 | 440,000 | 461,177 | ||||||
| 4.875%, due 6/22/28 | 1,647,000 | 1,829,180 | ||||||
| Micron Technology, Inc. | ||||||||
| 4.975%, due 2/6/26 | 471,000 | 507,355 | ||||||
| 5.327%, due 2/6/29 | 1,204,000 | 1,322,313 | ||||||
| 5.50%, due 2/1/25 | 361,000 | 370,984 | ||||||
| Qorvo, Inc. | ||||||||
| 4.375%, due 10/15/29 (a) | 402,000 | 404,764 | ||||||
| 5.50%, due 7/15/26 | 799,000 | 843,944 | ||||||
| 8,989,932 | ||||||||
| Shipbuilding 0.2% | ||||||||
| Huntington Ingalls Industries, Inc. 5.00%, due 11/15/25 (a) | 1,782,000 | 1,866,645 | ||||||
| Software 0.1% | ||||||||
| Fidelity National Information Services, Inc. | ||||||||
| 3.75%, due 5/21/29 | 341,000 | 369,912 | ||||||
| 5.00%, due 10/15/25 | 472,000 | 536,358 | ||||||
| IQVIA, Inc. 5.00%, due 5/15/27 (a) | 646,000 | 676,685 | ||||||
| 1,582,955 | ||||||||
| Telecommunications 1.4% | ||||||||
| AT&T, Inc. | ||||||||
| 3.60%, due 7/15/25 | 448,000 | 471,598 | ||||||
| 4.35%, due 3/1/29 | 4,593,000 | 5,072,916 | ||||||
| 4.50%, due 3/9/48 | 640,000 | 688,404 | ||||||
| 4.75%, due 5/15/46 | 818,000 | 907,134 | ||||||
| 4.85%, due 3/1/39 | 581,000 | 658,759 | ||||||
| 5.15%, due 11/15/46 | 468,000 | 540,767 | ||||||
| 5.25%, due 3/1/37 | 296,000 | 348,367 | ||||||
| CenturyLink, Inc. | ||||||||
| 5.80%, due 3/15/22 | 419,000 | 441,521 | ||||||
| 6.45%, due 6/15/21 | 752,000 | 789,600 | ||||||
| CommScope, Inc. (a) | ||||||||
| 5.50%, due 3/1/24 | 459,000 | 472,196 | ||||||
| 6.00%, due 3/1/26 | 1,006,000 | 1,041,009 | ||||||
| T-Mobile USA, Inc. 6.375%, due 3/1/25 | 1,472,000 | 1,524,933 | ||||||
| Verizon Communications, Inc. | ||||||||
| 2.625%, due 8/15/26 | 613,000 | 621,041 | ||||||
| 3.875%, due 2/8/29 | 379,000 | 415,901 | ||||||
| 4.329%, due 9/21/28 | 2,326,000 | 2,637,156 | ||||||
| 4.522%, due 9/15/48 | 281,000 | 332,247 | ||||||
| 4.862%, due 8/21/46 | 381,000 | 465,347 | ||||||
| 5.012%, due 8/21/54 | 571,000 | 718,678 | ||||||
| 18,147,574 | ||||||||
| Total Corporate Bonds (Cost $232,086,216) | 246,370,022 | |||||||
| Mortgage-Backed Securities 1.6% | ||||||||
| Agency Collateral (Collateralized Mortgage Obligation) 0.1% | ||||||||
| Fannie Mae (Collateralized Mortgage Obligations) Series 2018-27, Class EA 3.00%, due 5/25/48 | 1,211,343 | 1,245,389 | ||||||
| Commercial Mortgage Loans (Collateralized Mortgage Obligations) 0.4% | ||||||||
| Banc of America Merrill Lynch Large Loan, Inc. Series 2018-DSNY, Class A 2.878% (1 Month LIBOR + 0.85%), due 9/15/34 (a)(f) | 566,000 | 564,579 | ||||||
| Barclays Commercial Mortgage Securities LLC (a) | ||||||||
| Series 2018-TALL, Class A 2.75% (1 Month LIBOR + 0.722%), due 3/15/37 (f) | 1,457,000 | 1,453,376 | ||||||
| Series 2015-SRCH, Class A2 4.197%, due 8/10/35 | 875,000 | 984,069 | ||||||
| BX Commercial Mortgage Trust Series 2018-IND, Class A 2.778% (1 Month LIBOR + 0.75%), due 11/15/35 (a)(f) | 1,342,827 | 1,342,825 | ||||||
| BXP Trust Series 2017-GM, Class A 3.379%, due 6/13/39 (a) | 396,000 | 423,833 | ||||||
| Wachovia Bank Commercial Mortgage Trust Series 2007-C34, Class AJ 6.286%, due 5/15/46 (g) | 46,393 | 46,790 | ||||||
| Wells Fargo Mortgage Backed Securities Trust Series 2018-1, Class A17 3.50%, due 7/25/47 (a)(h) | 195,872 | 197,969 | ||||||
| 5,013,441 | ||||||||
| Whole Loan (Collateralized Mortgage Obligations) 1.1% | ||||||||
| Angel Oak Mortgage Trust Series 2018-2, Class A1 3.674%, due 7/27/48 (a)(h) | 181,463 | 183,139 | ||||||
| Arroyo Mortgage Trust Series 2018-1, Class A1 3.763%, due 4/25/48 (a)(h) | 331,685 | 337,697 | ||||||
| Chase Mortgage Finance Corporation Series 2019-ATR2, Class A11 2.918% (1 Month LIBOR + 0.90%), due 7/25/49 (a)(f) | 217,377 | 218,234 | ||||||
| Fannie Mae Connecticut Avenue Securities (Mortgage Pass-Through Securities) (f) | ||||||||
| Series 2018-C01, Class 1M1 2.618% (1 Month LIBOR + 0.60%), due 7/25/30 | 249,960 | 249,861 | ||||||
| Series 2018-C05, Class 1M1 2.738% (1 Month LIBOR + 0.72%), due 1/25/31 | 45,281 | 45,298 | ||||||
| Series 2017-C06, Class 1M1 2.768% (1 Month LIBOR + 0.75%), due 2/25/30 | 54,838 | 54,840 | ||||||
| Series 2017-C06, Class 2M1 2.768% (1 Month LIBOR + 0.75%), due 2/25/30 | 31,648 | 31,649 | ||||||
| Series 2017-C03, Class 1M1 2.968% (1 Month LIBOR + 0.95%), due 10/25/29 | 64,956 | 65,059 | ||||||
| Series 2017-C02, Class 2M1 3.168% (1 Month LIBOR + 1.15%), due 9/25/29 | 75,163 | 75,280 | ||||||
| Series 2018-C06, Class 1M2 4.018% (1 Month LIBOR + 2.00%), due 3/25/31 | 957,732 | 961,218 | ||||||
| Series 2019-R05, Class 1M2 4.018% (1 Month LIBOR + 2.00%), due 7/25/39 (a) | 163,289 | 163,682 | ||||||
| Series 2019-R04, Class 2M2 4.118% (1 Month LIBOR + 2.10%), due 6/25/39 (a) | 313,000 | 314,151 | ||||||
| Series 2019-R03, Class 1M2 4.168% (1 Month LIBOR + 2.15%), due 9/25/31 (a) | 829,163 | 833,123 | ||||||
| Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt Notes (f) | ||||||||
| Series 2017-DNA1, Class M1 3.218% (1 Month LIBOR + 1.20%), due 7/25/29 | 200,127 | 200,577 | ||||||
| Series 2018-DNA1, Class M2 3.818% (1 Month LIBOR + 1.80%), due 7/25/30 | 558,770 | 558,769 | ||||||
| Federal National Mortgage Association Series 2014-C03, Class 1M2 5.018% (1 Month LIBOR + 3.00%), due 7/25/24 (f) | 643,881 | 676,033 | ||||||
| JP Morgan Mortgage Trust (a)(f) | ||||||||
| Series 2019-5, Class A11 2.918% (1 Month LIBOR + 0.90%), due 11/25/49 | 160,643 | 160,864 | ||||||
| Series 2019-LTV2, Class A11 2.918% (1 Month LIBOR + 0.90%), due 12/25/49 | 591,357 | 590,630 | ||||||
| Series 2019-6, Class A11 2.918% (1 Month LIBOR + 0.90%), due 12/25/49 | 387,233 | 388,285 | ||||||
| Series 2019-7, Class A11 2.925% (1 Month LIBOR + 0.90%), due 2/25/50 | 418,000 | 418,000 | ||||||
| Mello Warehouse Securitization Trust Series 2018-W1, Class A 2.868% (1 Month LIBOR + 0.85%), due 11/25/51 (a)(f) | 1,968,000 | 1,968,895 | ||||||
| New Residential Mortgage Loan Trust Series 2018-2A, Class A1 4.50%, due 2/25/58 (a)(h) | 390,093 | 407,889 | ||||||
| Sequoia Mortgage Trust Series 2018-7, Class A19 4.00%, due 9/25/48 (a)(h) | 208,235 | 210,927 | ||||||
| Station Place Securitization Trust | ||||||||
| Series 2019-WL1, Class D 3.218% (1 Month LIBOR + 1.20%), due 8/25/52 (a)(f) | 150,000 | 150,123 | ||||||
| Series 2019-4, Class A 3.381%, due 6/24/20 | 1,862,000 | 1,863,355 | ||||||
| Series 2019-WL1, Class E 3.418% (1 Month LIBOR + 1.40%), due 8/25/52 (a)(f) | 298,000 | 298,245 | ||||||
| Series 2020-1 3.45%, due 10/24/20 (i) | 2,000,000 | 2,000,000 | ||||||
| Towd Point Asset Funding LLC Series 2019-HE1, Class A1 2.918% (1 Month LIBOR + 0.90%), due 4/25/48 (a)(f) | 523,156 | 523,213 | ||||||
| 13,949,036 | ||||||||
| Total Mortgage-Backed Securities (Cost $20,043,483) | 20,207,866 | |||||||
| U.S. Government & Federal Agencies 14.5% | ||||||||
| Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) 4.4% | ||||||||
| 2.50%, due 11/1/31 | 106,162 | 107,476 | ||||||
| 2.50%, due 12/1/31 | 126,538 | 128,104 | ||||||
| 2.50%, due 12/1/33 | 3,393,087 | 3,425,974 | ||||||
| 3.00%, due 2/1/31 | 412,770 | 424,132 | ||||||
| 3.00%, due 1/1/45 | 347,428 | 356,242 | ||||||
| 3.00%, due 10/1/46 | 1,301,603 | 1,333,960 | ||||||
| 3.00%, due 12/1/46 | 2,201,202 | 2,255,905 | ||||||
| 3.00%, due 8/1/47 | 6,609,101 | 6,785,260 | ||||||
| 3.00%, due 8/1/49 | 398,015 | 407,531 | ||||||
| 3.00%, due 9/1/49 | 128,893 | 131,001 | ||||||
| 3.00%, due 10/1/49 | 269,811 | 274,023 | ||||||
| 3.50%, due 2/1/43 | 365,771 | 383,508 | ||||||
| 3.50%, due 2/1/44 | 424,275 | 444,829 | ||||||
| 3.50%, due 12/1/44 | 919,273 | 965,778 | ||||||
| 3.50%, due 7/1/46 | 1,398,829 | 1,475,572 | ||||||
| 3.50%, due 10/1/46 | 1,910,242 | 1,992,207 | ||||||
| 3.50%, due 2/1/47 | 1,168,263 | 1,218,311 | ||||||
| 3.50%, due 9/1/47 | 1,926,209 | 1,992,146 | ||||||
| 3.50%, due 11/1/47 | 634,871 | 665,015 | ||||||
| 3.50%, due 12/1/47 | 2,533,830 | 2,666,211 | ||||||
| 3.50%, due 2/1/48 | 989,429 | 1,033,194 | ||||||
| 3.50%, due 3/1/48 | 1,591,096 | 1,670,722 | ||||||
| 3.50%, due 4/1/48 | 104,980 | 109,658 | ||||||
| 3.50%, due 8/1/48 | 1,154,717 | 1,206,256 | ||||||
| 3.50%, due 11/1/48 | 1,474,735 | 1,540,535 | ||||||
| 3.50%, due 7/1/49 | 1,845,023 | 1,907,532 | ||||||
| 3.50%, due 8/1/49 | 371,043 | 383,536 | ||||||
| 3.50%, due 9/1/49 | 668,053 | 689,847 | ||||||
| 4.00%, due 5/1/46 | 237,281 | 250,521 | ||||||
| 4.00%, due 3/1/47 | 74,253 | 78,394 | ||||||
| 4.00%, due 3/1/48 | 328,434 | 345,786 | ||||||
| 4.00%, due 4/1/48 | 611,457 | 642,191 | ||||||
| 4.00%, due 5/1/48 | 1,544,057 | 1,612,117 | ||||||
| 4.00%, due 6/1/48 | 395,000 | 411,643 | ||||||
| 4.00%, due 8/1/48 | 8,552,577 | 8,933,928 | ||||||
| 4.00%, due 1/1/49 | 362,761 | 390,395 | ||||||
| 4.50%, due 5/1/38 | 817,718 | 867,057 | ||||||
| 4.50%, due 7/1/38 | 628,830 | 667,407 | ||||||
| 4.50%, due 9/1/38 | 400,338 | 424,503 | ||||||
| 4.50%, due 5/1/44 | 908,418 | 980,703 | ||||||
| 4.50%, due 3/1/48 | 799,328 | 844,210 | ||||||
| 4.50%, due 8/1/48 | 351,116 | 370,702 | ||||||
| 4.50%, due 9/1/48 | 1,464,666 | 1,548,292 | ||||||
| 4.50%, due 12/1/48 | 493,147 | 530,884 | ||||||
| 5.00%, due 9/1/48 | 99,189 | 106,584 | ||||||
| 6.00%, due 4/1/40 | 736,065 | 853,281 | ||||||
| 55,833,063 | ||||||||
| Federal National Mortgage Association (Mortgage Pass-Through Securities) 5.6% | ||||||||
| 3.00%, due 8/1/33 TBA (j) | 2,024,000 | 2,068,907 | ||||||
| 3.00%, due 2/1/43 | 32,475 | 33,442 | ||||||
| 3.00%, due 5/1/43 | 124,242 | 127,959 | ||||||
| 3.00%, due 10/1/45 | 77,721 | 79,243 | ||||||
| 3.00%, due 1/1/46 | 6,384 | 6,539 | ||||||
| 3.00%, due 3/1/46 | 324,752 | 332,602 | ||||||
| 3.00%, due 11/1/46 | 302,839 | 310,272 | ||||||
| 3.00%, due 2/1/47 | 255,341 | 263,168 | ||||||
| 3.00%, due 3/1/47 | 948,059 | 972,840 | ||||||
| 3.00%, due 8/1/49 | 302,595 | 310,639 | ||||||
| 3.00%, due 10/1/49 | 2,657,127 | 2,697,638 | ||||||
| 3.00%, due 2/1/57 | 1,058,992 | 1,082,769 | ||||||
| 3.50%, due 10/1/42 | 400,375 | 414,444 | ||||||
| 3.50%, due 12/1/42 | 916,046 | 959,886 | ||||||
| 3.50%, due 2/1/43 | 1,341,995 | 1,406,224 | ||||||
| 3.50%, due 4/1/43 | 968,813 | 1,015,182 | ||||||
| 3.50%, due 11/1/43 | 463,224 | 485,393 | ||||||
| 3.50%, due 4/1/44 | 575,906 | 607,419 | ||||||
| 3.50%, due 2/1/45 | 1,293,919 | 1,355,848 | ||||||
| 3.50%, due 12/1/45 | 295,168 | 312,393 | ||||||
| 3.50%, due 5/1/46 | 180,626 | 188,254 | ||||||
| 3.50%, due 7/1/46 | 930,061 | 976,933 | ||||||
| 3.50%, due 8/1/46 | 3,608,204 | 3,760,916 | ||||||
| 3.50%, due 12/1/46 | 92,521 | 96,441 | ||||||
| 3.50%, due 8/1/47 | 639,173 | 667,024 | ||||||
| 3.50%, due 12/1/47 | 953,975 | 996,955 | ||||||
| 3.50%, due 1/1/48 | 860,066 | 898,706 | ||||||
| 3.50%, due 3/1/48 | 287,297 | 301,448 | ||||||
| 3.50%, due 4/1/48 | 1,408,188 | 1,476,459 | ||||||
| 3.50%, due 11/1/48 | 1,127,005 | 1,194,905 | ||||||
| 3.50%, due 1/1/49 | 256,314 | 266,976 | ||||||
| 3.50%, due 8/1/56 | 1,748,419 | 1,840,300 | ||||||
| 3.50%, due 2/1/57 | 1,912,206 | 2,012,692 | ||||||
| 4.00%, due 10/1/46 | 30,801 | 32,520 | ||||||
| 4.00%, due 5/1/47 | 201,150 | 211,188 | ||||||
| 4.00%, due 6/1/47 | 248,701 | 261,042 | ||||||
| 4.00%, due 7/1/47 | 240,766 | 252,728 | ||||||
| 4.00%, due 8/1/47 | 1,531,921 | 1,611,521 | ||||||
| 4.00%, due 9/1/47 | 1,152,666 | 1,239,033 | ||||||
| 4.00%, due 10/1/47 | 885,493 | 928,764 | ||||||
| 4.00%, due 11/1/47 | 954,673 | 1,004,061 | ||||||
| 4.00%, due 1/1/48 | 4,010,747 | 4,220,476 | ||||||
| 4.00%, due 3/1/48 | 624,581 | 660,165 | ||||||
| 4.00%, due 4/1/48 | 281,553 | 302,158 | ||||||
| 4.00%, due 5/1/48 | 1,326,499 | 1,385,556 | ||||||
| 4.00%, due 6/1/48 | 552,836 | 576,255 | ||||||
| 4.00%, due 9/1/48 TBA (j) | 13,021,746 | 13,511,587 | ||||||
| 4.00%, due 10/1/48 | 68,619 | 72,399 | ||||||
| 4.00%, due 2/1/49 | 499,791 | 519,519 | ||||||
| 4.00%, due 5/1/49 | 1,683,134 | 1,795,970 | ||||||
| 4.00%, due 9/1/49 | 1,802,000 | 1,924,197 | ||||||
| 4.50%, due 11/1/38 | 558,294 | 591,960 | ||||||
| 4.50%, due 11/1/42 | 128,653 | 139,707 | ||||||
| 4.50%, due 10/1/44 | 353,057 | 387,928 | ||||||
| 4.50%, due 3/1/45 | 553,453 | 608,097 | ||||||
| 4.50%, due 6/1/45 | 293,151 | 316,180 | ||||||
| 4.50%, due 2/1/46 | 746,641 | 808,059 | ||||||
| 4.50%, due 5/1/47 | 557,067 | 599,471 | ||||||
| 4.50%, due 6/1/47 | 426,597 | 457,295 | ||||||
| 4.50%, due 7/1/47 | 743,150 | 793,633 | ||||||
| 4.50%, due 8/1/47 | 392,164 | 417,841 | ||||||
| 4.50%, due 9/1/47 | 1,097,812 | 1,170,805 | ||||||
| 4.50%, due 10/1/47 | 74,396 | 79,174 | ||||||
| 4.50%, due 11/1/47 | 235,380 | 249,760 | ||||||
| 4.50%, due 3/1/48 | 932,791 | 990,937 | ||||||
| 4.50%, due 4/1/48 | 329,075 | 352,345 | ||||||
| 4.50%, due 5/1/48 | 496,941 | 529,077 | ||||||
| 4.50%, due 6/1/48 | 267,795 | 283,652 | ||||||
| 4.50%, due 8/1/48 | 475,337 | 501,217 | ||||||
| 4.50%, due 10/1/48 TBA (j) | 1,165,000 | 1,226,692 | ||||||
| 5.00%, due 7/1/44 | 519,165 | 568,520 | ||||||
| 6.00%, due 2/1/37 | 41,212 | 47,743 | ||||||
| 71,150,048 | ||||||||
| Government National Mortgage Association (Mortgage Pass-Through Securities) 1.1% | ||||||||
| 3.50%, due 5/20/49 | 1,255,038 | 1,283,081 | ||||||
| 3.50%, due 6/20/49 | 531,382 | 543,286 | ||||||
| 4.00%, due 1/15/45 | 1,100,472 | 1,184,604 | ||||||
| 4.00%, due 7/15/47 | 1,157,017 | 1,232,532 | ||||||
| 4.00%, due 8/15/47 | 204,753 | 215,187 | ||||||
| 4.00%, due 8/20/47 | 200,460 | 210,677 | ||||||
| 4.00%, due 11/15/47 | 260,423 | 274,536 | ||||||
| 4.00%, due 12/15/47 | 353,313 | 372,424 | ||||||
| 4.50%, due 8/15/46 | 1,151,315 | 1,261,791 | ||||||
| 4.50%, due 5/20/48 | 930,419 | 985,278 | ||||||
| 4.50%, due 7/1/48 TBA (j) | 1,236,000 | 1,291,603 | ||||||
| 5.00%, due 7/1/48 TBA (j) | 5,079,506 | 5,355,307 | ||||||
| 14,210,306 | ||||||||
| United States Treasury Bonds 0.3% | ||||||||
| 2.875%, due 5/15/49 | 2,723,000 | 3,175,805 | ||||||
| United States Treasury Notes 3.1% | ||||||||
| 1.375%, due 8/31/26 | 384,000 | 377,835 | ||||||
| 1.625%, due 2/15/26 | 1,352,000 | 1,352,528 | ||||||
| 1.625%, due 8/15/29 | 2,048,000 | 2,038,560 | ||||||
| 1.75%, due 6/30/24 | 2,358,000 | 2,377,988 | ||||||
| 1.75%, due 7/31/24 | 4,293,000 | 4,330,899 | ||||||
| 2.00%, due 5/31/24 | 7,319,100 | 7,465,196 | ||||||
| 2.25%, due 8/15/49 | 12,640,000 | 12,999,944 | ||||||
| 2.375%, due 5/15/29 | 8,265,200 | 8,777,255 | ||||||
| 39,720,205 | ||||||||
| Total U.S. Government & Federal Agencies (Cost $182,259,407) | 184,089,427 | |||||||
| Total Long-Term Bonds (Cost $447,520,088) | 464,054,100 | |||||||
| Shares | ||||||||
| Common Stocks 62.9% | ||||||||
| Aerospace & Defense 3.6% | ||||||||
| Boeing Co. | 73,191 | 27,846,980 | ||||||
| General Dynamics Corp. | 98,112 | 17,928,006 | ||||||
| 45,774,986 | ||||||||
| Air Freight & Logistics 0.5% | ||||||||
| United Parcel Service, Inc., Class B | 50,881 | 6,096,561 | ||||||
| Airlines 0.6% | ||||||||
| Delta Air Lines, Inc. | 138,174 | 7,958,822 | ||||||
| Automobiles 0.5% | ||||||||
| General Motors Co. | 162,320 | 6,083,754 | ||||||
| Banks 2.6% | ||||||||
| Bank of America Corp. | 302,601 | 8,826,871 | ||||||
| U.S. Bancorp | 440,344 | 24,368,637 | ||||||
| 33,195,508 | ||||||||
| Capital Markets 3.3% | ||||||||
| Blackstone Group, Inc., Class A | 209,400 | 10,227,096 | ||||||
| CME Group, Inc. | 61,420 | 12,980,503 | ||||||
| Morgan Stanley | 188,470 | 8,042,015 | ||||||
| TD Ameritrade Holding Corp. | 214,328 | 10,009,117 | ||||||
| 41,258,731 | ||||||||
| Chemicals 1.3% | ||||||||
| LyondellBasell Industries N.V., Class A | 187,014 | 16,732,143 | ||||||
| Consumer Finance 1.5% | ||||||||
| American Express Co. | 65,087 | 7,698,490 | ||||||
| Synchrony Financial | 349,808 | 11,924,955 | ||||||
| 19,623,445 | ||||||||
| Electronic Equipment, Instruments & Components 0.6% | ||||||||
| Corning, Inc. | 251,846 | 7,182,648 | ||||||
| Entertainment 0.9% | ||||||||
| Walt Disney Co. | 85,538 | 11,147,312 | ||||||
| Equity Real Estate Investment Trusts 1.4% | ||||||||
| Crown Castle International Corp. | 56,687 | 7,880,060 | ||||||
| MGM Growth Properties LLC, Class A | 165,861 | 4,984,123 | ||||||
| OUTFRONT Media, Inc. | 152,500 | 4,236,450 | ||||||
| 17,100,633 | ||||||||
| Food & Staples Retailing 3.5% | ||||||||
| Costco Wholesale Corp. | 89,388 | 25,753,577 | ||||||
| Kroger Co. | 137,223 | 3,537,609 | ||||||
| Sysco Corp. | 186,824 | 14,833,825 | ||||||
| 44,125,011 | ||||||||
| Food Products 0.7% | ||||||||
| Hershey Co. | 58,652 | 9,090,474 | ||||||
| Health Care Equipment & Supplies 0.9% | ||||||||
| Abbott Laboratories | 22,252 | 1,861,825 | ||||||
| Medtronic PLC | 93,152 | 10,118,170 | ||||||
| 11,979,995 | ||||||||
| Health Care Providers & Services 1.5% | ||||||||
| UnitedHealth Group, Inc. | 88,770 | 19,291,496 | ||||||
| Hotels, Restaurants & Leisure 3.5% | ||||||||
| Hilton Worldwide Holdings, Inc. | 102,558 | 9,549,176 | ||||||
| McDonald's Corp. | 122,699 | 26,344,702 | ||||||
| Norwegian Cruise Line Holdings, Ltd. (k) | 123,868 | 6,412,646 | ||||||
| Six Flags Entertainment Corp. | 31,937 | 1,622,080 | ||||||
| 43,928,604 | ||||||||
| Household Products 0.4% | ||||||||
| Clorox Co. | 36,555 | 5,551,608 | ||||||
| Industrial Conglomerates 0.6% | ||||||||
| Honeywell International, Inc. | 47,895 | 8,103,834 | ||||||
| Insurance 1.0% | ||||||||
| Progressive Corp. | 159,410 | 12,314,423 | ||||||
| Interactive Media & Services 2.4% | ||||||||
| Alphabet, Inc., Class C (k) | 24,717 | 30,130,023 | ||||||
| Internet & Direct Marketing Retail 0.8% | ||||||||
| Amazon.com, Inc. (k) | 5,892 | 10,227,982 | ||||||
| IT Services 4.4% | ||||||||
| Accenture PLC, Class A | 90,967 | 17,497,502 | ||||||
| Mastercard, Inc. | 139,547 | 37,896,779 | ||||||
| 55,394,281 | ||||||||
| Leisure Products 0.7% | ||||||||
| Hasbro, Inc. | 71,748 | 8,515,770 | ||||||
| Life Sciences Tools & Services 0.6% | ||||||||
| Thermo Fisher Scientific, Inc. | 25,681 | 7,480,105 | ||||||
| Machinery 1.4% | ||||||||
| Deere & Co. | 51,474 | 8,682,634 | ||||||
| Parker-Hannifin Corp. | 22,645 | 4,089,914 | ||||||
| Stanley Black & Decker, Inc. | 37,142 | 5,363,676 | ||||||
| 18,136,224 | ||||||||
| Media 1.6% | ||||||||
| Comcast Corp., Class A | 435,866 | 19,648,839 | ||||||
| Oil, Gas & Consumable Fuels 1.1% | ||||||||
| EOG Resources, Inc. | 61,181 | 4,540,854 | ||||||
| Suncor Energy, Inc. | 291,338 | 9,195,328 | ||||||
| 13,736,182 | ||||||||
| Personal Products 0.5% | ||||||||
| Estee Lauder Cos., Inc., Class A | 30,962 | 6,159,890 | ||||||
| Pharmaceuticals 3.4% | ||||||||
| Bristol-Myers Squibb Co. | 228,199 | 11,571,971 | ||||||
| Eli Lilly & Co. | 106,243 | 11,881,155 | ||||||
| Merck & Co., Inc. | 231,522 | 19,489,522 | ||||||
| 42,942,648 | ||||||||
| Real Estate Management & Development 0.5% | ||||||||
| CBRE Group, Inc., Class A (k) | 118,800 | 6,297,588 | ||||||
| Road & Rail 1.3% | ||||||||
| CSX Corp. | 243,211 | 16,847,226 | ||||||
| Semiconductors & Semiconductor Equipment 3.3% | ||||||||
| Intel Corp. | 250,400 | 12,903,112 | ||||||
| Lam Research Corp. | 49,823 | 11,514,593 | ||||||
| NVIDIA Corp. | 34,908 | 6,076,436 | ||||||
| Texas Instruments, Inc. | 88,546 | 11,443,685 | ||||||
| 41,937,826 | ||||||||
| Software 5.8% | ||||||||
| Adobe, Inc. (k) | 62,133 | 17,164,241 | ||||||
| Microsoft Corp. | 363,210 | 50,497,087 | ||||||
| salesforce.com, Inc. (k) | 38,337 | 5,690,744 | ||||||
| 73,352,072 | ||||||||
| Specialty Retail 1.9% | ||||||||
| Home Depot, Inc. | 103,702 | 24,060,938 | ||||||
| Technology Hardware, Storage & Peripherals 2.1% | ||||||||
| Apple, Inc. | 119,400 | 26,742,018 | ||||||
| Textiles, Apparel & Luxury Goods 0.9% | ||||||||
| NIKE, Inc., Class B | 124,999 | 11,739,906 | ||||||
| Tobacco 1.3% | ||||||||
| Altria Group, Inc. | 397,322 | 16,250,470 | ||||||
| Total Common Stocks (Cost $567,745,217) | 796,139,976 | |||||||
| Convertible Preferred Stock 0.1% | ||||||||
| Semiconductors & Semiconductor Equipment 0.1% | ||||||||
| Broadcom, Inc. | 1,409 | 1,444,769 | ||||||
| Total Convertible Preferred Stock (Cost $1,409,000) | 1,444,769 | |||||||
| Short-Term Investments 1.9% | ||||||||
| Affiliated Investment Company 1.8% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (l) | 22,874,026 | 22,874,026 | ||||||
| Unaffiliated Investment Company 0.1% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (l)(m) | 1,203,400 | 1,203,400 | ||||||
| Total Short-Term Investments (Cost $24,077,426) | 24,077,426 | |||||||
| Total Investments (Cost $1,040,751,731) | 101.5 | % | 1,285,716,271 | |||||
| Other Assets, Less Liabilities | (1.5 | ) | (19,460,167 | ) | ||||
| Net Assets | 100.0 | % | $ | 1,266,256,104 |
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
| (b) | Fixed to floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (c) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $1,178,788. The Portfolio received cash collateral with a value of $1,203,400. |
| (d) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
| (e) | Step coupon - Rate shown was the rate in effect as of September 30, 2019. |
| (f) | Floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (g) | Collateral strip rate - A bond whose interest was based on the weighted net interest rate of the collateral. The coupon rate adjusts periodically based on a predetermined schedule. Rate shown was the rate in effect as of September 30, 2019. |
| (h) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end. |
| (i) | Fair valued security - Represents fair value as measured in good faith under procedures approved by the Board of Trustees. As of September 30, 2019, the total market value of fair valued security was $2,000,000, which represented 0.2% of the Portfolio's net assets. |
| (j) | TBA - Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. As of September 30, 2019, the total net market value of these securities was $23,454,096, which represented 1.9% of the Portfolio's net assets. All or a portion of these securities are a part of a mortgage dollar roll agreement. |
| (k) | Non-income producing security. |
| (l) | Current yield as of September 30, 2019. |
| (m) | Represents security purchased with cash collateral received for securities on loan. |
The following abbreviations are used in the preceding pages:
| LIBOR | — | London Interbank Offered Rate |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets:
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Long-Term Bonds | ||||||||||||||||
| Asset-Backed Securities | $ | — | $ | 13,386,785 | $ | — | $ | 13,386,785 | ||||||||
| Corporate Bonds | — | 246,370,022 | — | 246,370,022 | ||||||||||||
| Mortgage-Backed Securities | — | 20,207,866 | — | 20,207,866 | ||||||||||||
| U.S. Government & Federal Agencies | — | 184,089,427 | — | 184,089,427 | ||||||||||||
| Total Long-Term Bonds | — | 464,054,100 | — | 464,054,100 | ||||||||||||
| Common Stocks | 796,139,976 | — | — | 796,139,976 | ||||||||||||
| Convertible Preferred Stocks | 1,444,769 | — | — | 1,444,769 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 22,874,026 | — | — | 22,874,026 | ||||||||||||
| Unaffiliated Investment Company | 1,203,400 | — | — | 1,203,400 | ||||||||||||
| Total Short-Term Investments | 24,077,426 | — | — | 24,077,426 | ||||||||||||
| Total Investments in Securities | $ | 821,662,171 | $ | 464,054,100 | $ | — | $ | 1,285,716,271 | ||||||||
(a) For a complete listing of investments and their industries, see the Portfolio of Investments.
MainStay VP Large Cap Growth Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Common Stocks 99.2% † | ||||||||
| Aerospace & Defense 3.8% | ||||||||
| Boeing Co. | 73,650 | $ | 28,021,615 | |||||
| Northrop Grumman Corp. | 43,800 | 16,415,802 | ||||||
| 44,437,417 | ||||||||
| Automobiles 1.8% | ||||||||
| Ferrari N.V. (a) | 135,500 | 20,879,195 | ||||||
| Biotechnology 1.3% | ||||||||
| Exact Sciences Corp. (b) | 161,800 | 14,621,866 | ||||||
| Capital Markets 1.7% | ||||||||
| Moody's Corp. | 94,940 | 19,446,560 | ||||||
| Chemicals 2.3% | ||||||||
| Linde PLC | 60,800 | 11,778,176 | ||||||
| Sherwin-Williams Co. | 27,170 | 14,939,968 | ||||||
| 26,718,144 | ||||||||
| Entertainment 1.0% | ||||||||
| Walt Disney Co. | 85,800 | 11,181,456 | ||||||
| Equity Real Estate Investment Trusts 1.4% | ||||||||
| Equinix, Inc. | 28,500 | 16,438,800 | ||||||
| Food & Staples Retailing 0.9% | ||||||||
| Costco Wholesale Corp. | 37,250 | 10,732,098 | ||||||
| Health Care Equipment & Supplies 4.6% | ||||||||
| Abbott Laboratories | 222,200 | 18,591,474 | ||||||
| Intuitive Surgical, Inc. (b) | 29,380 | 15,863,143 | ||||||
| Stryker Corp. | 88,200 | 19,077,660 | ||||||
| 53,532,277 | ||||||||
| Health Care Providers & Services 1.5% | ||||||||
| UnitedHealth Group, Inc. | 78,210 | 16,996,597 | ||||||
| Health Care Technology 1.1% | ||||||||
| Veeva Systems, Inc., Class A (b) | 83,050 | 12,680,905 | ||||||
| Interactive Media & Services 10.0% | ||||||||
| Alphabet, Inc. (b) | ||||||||
| Class A | 26,455 | 32,305,259 | ||||||
| Class C | 26,849 | 32,728,931 | ||||||
| Facebook, Inc., Class A (b) | 283,200 | 50,432,256 | ||||||
| 115,466,446 | ||||||||
| Internet & Direct Marketing Retail 8.7% | ||||||||
| Alibaba Group Holding, Ltd., Sponsored ADR (b) | 83,250 | 13,921,897 | ||||||
| Amazon.com, Inc. (b) | 43,035 | 74,704,887 | ||||||
| MercadoLibre, Inc. (b) | 20,550 | 11,327,777 | ||||||
| 99,954,561 | ||||||||
| IT Services 16.0% | ||||||||
| Automatic Data Processing, Inc. | 111,500 | 17,998,330 | ||||||
| Fiserv, Inc. (b) | 221,600 | 22,955,544 | ||||||
| GoDaddy, Inc., Class A (b) | 246,800 | 16,283,864 | ||||||
| Mastercard, Inc., Class A | 143,850 | 39,065,344 | ||||||
| Pagseguro Digital, Ltd., Class A (b) | 232,900 | 10,785,599 | ||||||
| PayPal Holdings, Inc. (b) | 232,050 | 24,038,060 | ||||||
| Visa, Inc., Class A | 314,700 | 54,131,547 | ||||||
| 185,258,288 | ||||||||
| Leisure Products 0.2% | ||||||||
| Peloton Interactive, Inc., Class AClass A (a)(b) | 86,200 | 2,163,620 | ||||||
| Life Sciences Tools & Services 1.5% | ||||||||
| Thermo Fisher Scientific, Inc. | 58,000 | 16,893,660 | ||||||
| Machinery 0.9% | ||||||||
| Fortive Corp. | 146,200 | 10,023,472 | ||||||
| Pharmaceuticals 3.8% | ||||||||
| AstraZeneca PLC, Sponsored ADR | 417,500 | 18,607,975 | ||||||
| Zoetis, Inc. | 205,550 | 25,609,475 | ||||||
| 44,217,450 | ||||||||
| Professional Services 1.4% | ||||||||
| CoStar Group, Inc. (b) | 27,555 | 16,345,626 | ||||||
| Road & Rail 1.0% | ||||||||
| Union Pacific Corp. | 69,750 | 11,298,105 | ||||||
| Semiconductors & Semiconductor Equipment 4.4% | ||||||||
| Microchip Technology, Inc. | 158,540 | 14,729,951 | ||||||
| NVIDIA Corp. | 79,000 | 13,751,530 | ||||||
| Texas Instruments, Inc. | 98,650 | 12,749,526 | ||||||
| Xilinx, Inc. | 104,250 | 9,997,575 | ||||||
| 51,228,582 | ||||||||
| Software 17.6% | ||||||||
| Adobe, Inc. (b) | 117,950 | 32,583,687 | ||||||
| Intuit, Inc. | 93,800 | 24,945,172 | ||||||
| Microsoft Corp. | 629,800 | 87,561,094 | ||||||
| salesforce.com, Inc. (b) | 295,850 | 43,915,974 | ||||||
| Workday, Inc., Class A (b) | 79,850 | 13,571,306 | ||||||
| 202,577,233 | ||||||||
| Specialty Retail 3.6% | ||||||||
| Five Below, Inc. (b) | 107,500 | 13,555,750 | ||||||
| Lowe's Cos., Inc. | 256,000 | 28,149,760 | ||||||
| 41,705,510 | ||||||||
| Technology Hardware, Storage & Peripherals 4.6% | ||||||||
| Apple, Inc. | 235,900 | 52,834,523 | ||||||
| Textiles, Apparel & Luxury Goods 4.1% | ||||||||
| NIKE, Inc., Class B | 348,150 | 32,698,248 | ||||||
| VF Corp. | 165,450 | 14,723,395 | ||||||
| 47,421,643 | ||||||||
| Total Common Stocks (Cost $885,391,296) | 1,145,054,034 | |||||||
| Short-Term Investments 1.6% | ||||||||
| Affiliated Investment Company 0.9% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (c) | 9,877,277 | 9,877,277 | ||||||
| Unaffiliated Investment Company 0.7% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.32% (c)(d) | 7,763,640 | 7,763,640 | ||||||
| Total Short-Term Investments (Cost $17,640,917) | 17,640,917 | |||||||
| Total Investments (Cost $903,032,213) | 100.8 | % | 1,162,694,951 | |||||
| Other Assets, Less Liabilities | (0.8 | ) | (8,715,297 | ) | ||||
| Net Assets | 100.0 | % | $ | 1,153,979,654 | ||||
| † | Percentages indicated are based on Portfolio net assets. | |
| (a) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $7,674,377. The Portfolio received cash collateral with a value of $7,763,640. | |
| (b) | Non-income producing security. | |
| (c) | Current yield as of September 30, 2019. | |
| (d) | Represents security purchased with cash collateral received for securities on loan. |
The following abbreviation is used in the preceding pages:
| ADR | —American Depositary Receipt |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets:
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Common Stocks | $ | 1,145,054,034 | $ | — | $ | — | $ | 1,145,054,034 | ||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 9,877,277 | — | — | 9,877,277 | ||||||||||||
| Unaffiliated Investment Company | 7,763,640 | — | — | 7,763,640 | ||||||||||||
| Total Short-Term Investments | 17,640,917 | — | — | 17,640,917 | ||||||||||||
| Total Investments in Securities | $ | 1,162,694,951 | $ | — | $ | — | $ | 1,162,694,951 | ||||||||
(a) For a complete listing of investments and their industries, see the Portfolio of Investments.
MainStay VP MacKay Common Stock Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Common Stocks 98.7% † | ||||||||
| Aerospace & Defense 2.5% | ||||||||
| Arconic, Inc. | 27,507 | $ | 715,182 | |||||
| Boeing Co. | 6,832 | 2,599,371 | ||||||
| Curtiss-Wright Corp. | 13,099 | 1,694,617 | ||||||
| L3Harris Technologies, Inc. | 13,407 | 2,797,236 | ||||||
| Lockheed Martin Corp. | 16,211 | 6,323,263 | ||||||
| Northrop Grumman Corp. | 10,820 | 4,055,228 | ||||||
| Teledyne Technologies, Inc. (a) | 2,323 | 747,983 | ||||||
| 18,932,880 | ||||||||
| Airlines 0.3% | ||||||||
| Delta Air Lines, Inc. | 7,854 | 452,390 | ||||||
| Southwest Airlines Co. | 12,642 | 682,794 | ||||||
| United Airlines Holdings, Inc. (a) | 12,967 | 1,146,413 | ||||||
| 2,281,597 | ||||||||
| Banks 3.8% | ||||||||
| Bank of America Corp. | 356,049 | 10,385,949 | ||||||
| Citigroup, Inc. | 19,542 | 1,349,962 | ||||||
| JPMorgan Chase & Co. | 107,956 | 12,705,342 | ||||||
| Signature Bank | 14,615 | 1,742,400 | ||||||
| Wells Fargo & Co. | 51,980 | 2,621,871 | ||||||
| 28,805,524 | ||||||||
| Beverages 0.8% | ||||||||
| Coca-Cola Co. | 56,787 | 3,091,484 | ||||||
| Molson Coors Brewing Co., Class B | 8,724 | 501,630 | ||||||
| PepsiCo., Inc. | 17,926 | 2,457,655 | ||||||
| 6,050,769 | ||||||||
| Biotechnology 2.3% | ||||||||
| AbbVie, Inc. | 44,983 | 3,406,113 | ||||||
| Amgen, Inc. | 17,436 | 3,374,040 | ||||||
| Biogen, Inc. (a) | 15,770 | 3,671,571 | ||||||
| Exelixis, Inc. (a) | 18,347 | 324,467 | ||||||
| Gilead Sciences, Inc. | 90,897 | 5,761,052 | ||||||
| Incyte Corp. (a) | 15,348 | 1,139,282 | ||||||
| 17,676,525 | ||||||||
| Building Products 0.5% | ||||||||
| Masco Corp. | 88,793 | 3,700,892 | ||||||
| Capital Markets 1.7% | ||||||||
| Ameriprise Financial, Inc. | 28,789 | 4,234,862 | ||||||
| BlackRock, Inc. | 704 | 313,731 | ||||||
| Cboe Global Markets, Inc. | 10,068 | 1,156,914 | ||||||
| Intercontinental Exchange, Inc. | 42,207 | 3,894,440 | ||||||
| Raymond James Financial, Inc. | 36,278 | 2,991,484 | ||||||
| S&P Global, Inc. | 3,232 | 791,775 | ||||||
| 13,383,206 | ||||||||
| Chemicals 1.5% | ||||||||
| Air Products & Chemicals, Inc. | 7,478 | 1,659,069 | ||||||
| CF Industries Holdings, Inc. | 68,936 | 3,391,651 | ||||||
| Dow, Inc. (a) | 22,880 | 1,090,232 | ||||||
| DuPont de Nemours, Inc. | 22,891 | 1,632,357 | ||||||
| Ecolab, Inc. | 17,085 | 3,383,514 | ||||||
| 11,156,823 | ||||||||
| Commercial Services & Supplies 1.3% | ||||||||
| Clean Harbors, Inc. (a) | 13,713 | 1,058,644 | ||||||
| Republic Services, Inc. | 39,722 | 3,437,939 | ||||||
| Tetra Tech, Inc. | 7,529 | 653,216 | ||||||
| Waste Management, Inc. | 40,967 | 4,711,205 | ||||||
| 9,861,004 | ||||||||
| Communications Equipment 0.4% | ||||||||
| Cisco Systems, Inc. | 62,693 | 3,097,661 | ||||||
| Construction & Engineering 0.2% | ||||||||
| AECOM (a) | 32,967 | 1,238,240 | ||||||
| EMCOR Group, Inc. | 4,439 | 382,287 | ||||||
| 1,620,527 | ||||||||
| Consumer Finance 2.5% | ||||||||
| American Express Co. | 45,613 | 5,395,105 | ||||||
| Capital One Financial Corp. | 46,595 | 4,239,213 | ||||||
| Discover Financial Services | 51,585 | 4,183,028 | ||||||
| SLM Corp. | 104,613 | 923,210 | ||||||
| Synchrony Financial | 122,257 | 4,167,741 | ||||||
| 18,908,297 | ||||||||
| Diversified Consumer Services 0.2% | ||||||||
| H&R Block, Inc. | 61,755 | 1,458,653 | ||||||
| Diversified Financial Services 1.9% | ||||||||
| Berkshire Hathaway, Inc., Class B (a) | 70,752 | 14,717,831 | ||||||
| Diversified Telecommunication Services 1.2% | ||||||||
| AT&T, Inc. | 129,830 | 4,912,767 | ||||||
| Verizon Communications, Inc. | 68,835 | 4,154,881 | ||||||
| 9,067,648 | ||||||||
| Electric Utilities 1.3% | ||||||||
| ALLETE, Inc. | 8,016 | 700,679 | ||||||
| American Electric Power Co., Inc. | 14,244 | 1,334,520 | ||||||
| Duke Energy Corp. | 3,323 | 318,543 | ||||||
| Entergy Corp. | 18,071 | 2,120,812 | ||||||
| Exelon Corp. | 23,809 | 1,150,213 | ||||||
| PNM Resources, Inc. | 23,920 | 1,245,754 | ||||||
| Southern Co. | 56,813 | 3,509,339 | ||||||
| 10,379,860 | ||||||||
| Electronic Equipment, Instruments & Components 0.8% | ||||||||
| Arrow Electronics, Inc. (a) | 36,320 | 2,708,746 | ||||||
| Avnet, Inc. | 52,086 | 2,317,046 | ||||||
| Jabil, Inc. | 37,398 | 1,337,726 | ||||||
| 6,363,518 | ||||||||
| Energy Equipment & Services 0.2% | ||||||||
| Schlumberger, Ltd. | 51,985 | 1,776,328 | ||||||
| Entertainment 1.3% | ||||||||
| Netflix, Inc. (a) | 13,374 | 3,579,150 | ||||||
| Take-Two Interactive Software, Inc. (a) | 15,637 | 1,959,941 | ||||||
| Walt Disney Co. | 33,753 | 4,398,691 | ||||||
| 9,937,782 | ||||||||
| Equity Real Estate Investment Trusts 4.3% | ||||||||
| American Campus Communities, Inc. | 42,467 | 2,041,813 | ||||||
| American Tower Corp. | 18,545 | 4,100,856 | ||||||
| Apartment Investment & Management Co., Class A | 70,454 | 3,673,472 | ||||||
| Crown Castle International Corp. | 4,798 | 666,970 | ||||||
| Duke Realty Corp. | 34,106 | 1,158,581 | ||||||
| Equinix, Inc. | 544 | 313,779 | ||||||
| Equity Residential | 5,822 | 502,206 | ||||||
| Essex Property Trust, Inc. | 84 | 27,439 | ||||||
| Host Hotels & Resorts, Inc. | 225,510 | 3,899,068 | ||||||
| Life Storage, Inc. | 2,108 | 222,204 | ||||||
| Medical Properties Trust, Inc. | 60,657 | 1,186,451 | ||||||
| Mid-America Apartment Communities, Inc. | 25,209 | 3,277,422 | ||||||
| Prologis, Inc. | 56,273 | 4,795,585 | ||||||
| Public Storage | 8,997 | 2,206,694 | ||||||
| Sabra Health Care REIT, Inc. | 513 | 11,779 | ||||||
| SBA Communications Corp. | 7,862 | 1,895,921 | ||||||
| Ventas, Inc. | 24,868 | 1,816,110 | ||||||
| Welltower, Inc. | 10,788 | 977,932 | ||||||
| 32,774,282 | ||||||||
| Food & Staples Retailing 2.1% | ||||||||
| Costco Wholesale Corp. | 12,298 | 3,543,177 | ||||||
| Sysco Corp. | 58,907 | 4,677,216 | ||||||
| Walmart, Inc. | 65,547 | 7,779,118 | ||||||
| 15,999,511 | ||||||||
| Food Products 1.1% | ||||||||
| Flowers Foods, Inc. | 6,854 | 158,533 | ||||||
| General Mills, Inc. | 17,620 | 971,214 | ||||||
| Hershey Co. | 20,996 | 3,254,170 | ||||||
| Tyson Foods, Inc., Class A | 47,213 | 4,066,928 | ||||||
| 8,450,845 | ||||||||
| Health Care Equipment & Supplies 2.7% | ||||||||
| Abbott Laboratories | 46,447 | 3,886,221 | ||||||
| Cooper Cos., Inc. | 5,573 | 1,655,181 | ||||||
| Danaher Corp. | 30,132 | 4,351,965 | ||||||
| DENTSPLY SIRONA, Inc. | 51,878 | 2,765,616 | ||||||
| Edwards Lifesciences Corp. (a) | 409 | 89,943 | ||||||
| Hill-Rom Holdings, Inc. | 15,903 | 1,673,473 | ||||||
| Hologic, Inc. (a) | 64,860 | 3,274,781 | ||||||
| Intuitive Surgical, Inc. (a) | 3,524 | 1,902,713 | ||||||
| Medtronic PLC | 9,965 | 1,082,398 | ||||||
| 20,682,291 | ||||||||
| Health Care Providers & Services 3.5% | ||||||||
| AmerisourceBergen Corp. | 45,455 | 3,742,310 | ||||||
| Anthem, Inc. | 21,054 | 5,055,065 | ||||||
| Cardinal Health, Inc. | 7,430 | 350,622 | ||||||
| Centene Corp. (a) | 58,179 | 2,516,824 | ||||||
| Cigna Corp. (a) | 646 | 98,056 | ||||||
| Encompass Health Corp. | 5,343 | 338,105 | ||||||
| HCA Healthcare, Inc. | 23,695 | 2,853,352 | ||||||
| McKesson Corp. | 29,555 | 4,038,986 | ||||||
| UnitedHealth Group, Inc. | 37,234 | 8,091,693 | ||||||
| 27,085,013 | ||||||||
| Health Care Technology 0.4% | ||||||||
| Cerner Corp. | 50,236 | 3,424,588 | ||||||
| Hotels, Restaurants & Leisure 2.9% | ||||||||
| Chipotle Mexican Grill, Inc. (a) | 145 | 121,868 | ||||||
| Cracker Barrel Old Country Store, Inc. (b) | 1,037 | 168,668 | ||||||
| Darden Restaurants, Inc. | 31,050 | 3,670,731 | ||||||
| Hilton Worldwide Holdings, Inc. | 1,911 | 177,933 | ||||||
| McDonald's Corp. | 23,354 | 5,014,337 | ||||||
| Norwegian Cruise Line Holdings, Ltd. (a) | 36,818 | 1,906,068 | ||||||
| Royal Caribbean Cruises, Ltd. | 7,526 | 815,292 | ||||||
| Starbucks Corp. | 73,389 | 6,489,056 | ||||||
| Wynn Resorts, Ltd. | 11,585 | 1,259,521 | ||||||
| Yum! Brands, Inc. | 21,670 | 2,458,028 | ||||||
| 22,081,502 | ||||||||
| Household Durables 1.0% | ||||||||
| NVR, Inc. (a) | 674 | 2,505,494 | ||||||
| PulteGroup, Inc. | 86,752 | 3,170,786 | ||||||
| Toll Brothers, Inc. | 44,382 | 1,821,881 | ||||||
| 7,498,161 | ||||||||
| Household Products 2.1% | ||||||||
| Kimberly-Clark Corp. | 23,773 | 3,376,955 | ||||||
| Procter & Gamble Co. | 104,682 | 13,020,347 | ||||||
| 16,397,302 | ||||||||
| Independent Power & Renewable Electricity Producers 0.5% | ||||||||
| AES Corp. | 240,033 | 3,922,139 | ||||||
| Industrial Conglomerates 0.1% | ||||||||
| Honeywell International, Inc. | 4,372 | 739,742 | ||||||
| Insurance 4.3% | ||||||||
| Allstate Corp. | 39,372 | 4,278,949 | ||||||
| American International Group, Inc. | 88,168 | 4,910,958 | ||||||
| Brighthouse Financial, Inc. (a) | 61,753 | 2,499,144 | ||||||
| Everest Re Group, Ltd. | 4,144 | 1,102,677 | ||||||
| First American Financial Corp. | 46,246 | 2,728,976 | ||||||
| MetLife, Inc. | 102,590 | 4,838,144 | ||||||
| Old Republic International Corp. | 119,125 | 2,807,776 | ||||||
| Progressive Corp. | 62,743 | 4,846,897 | ||||||
| Prudential Financial, Inc. | 34,935 | 3,142,403 | ||||||
| Reinsurance Group of America, Inc. | 11,919 | 1,905,610 | ||||||
| 33,061,534 | ||||||||
| Interactive Media & Services 5.3% | ||||||||
| Alphabet, Inc. (a) | ||||||||
| Class A | 9,584 | 11,703,406 | ||||||
| Class C | 10,290 | 12,543,510 | ||||||
| Facebook, Inc., Class A (a) | 91,741 | 16,337,237 | ||||||
| 40,584,153 | ||||||||
| Internet & Direct Marketing Retail 4.0% | ||||||||
| Amazon.com, Inc. (a) | 12,642 | 21,945,374 | ||||||
| Booking Holdings, Inc. (a) | 233 | 457,288 | ||||||
| eBay, Inc. | 109,772 | 4,278,913 | ||||||
| Expedia Group, Inc. | 30,099 | 4,045,607 | ||||||
| 30,727,182 | ||||||||
| IT Services 6.5% | ||||||||
| Accenture PLC, Class A | 11,247 | 2,163,360 | ||||||
| Akamai Technologies, Inc. (a) | 42,880 | 3,918,374 | ||||||
| CACI International, Inc., Class A (a) | 14,108 | 3,262,616 | ||||||
| DXC Technology Co. | 46,588 | 1,374,346 | ||||||
| Fidelity National Information Services, Inc. | 6,271 | 832,538 | ||||||
| International Business Machines Corp. | 51,654 | 7,511,525 | ||||||
| Leidos Holdings, Inc. | 43,633 | 3,747,202 | ||||||
| Mastercard, Inc., Class A | 27,474 | 7,461,114 | ||||||
| MAXIMUS, Inc. | 33,383 | 2,579,171 | ||||||
| PayPal Holdings, Inc. (a) | 67,386 | 6,980,516 | ||||||
| VeriSign, Inc. (a) | 5,415 | 1,021,431 | ||||||
| Visa, Inc., Class A | 53,161 | 9,144,224 | ||||||
| 49,996,417 | ||||||||
| Life Sciences Tools & Services 0.6% | ||||||||
| Illumina, Inc. (a) | 4,485 | 1,364,427 | ||||||
| IQVIA Holdings, Inc. (a) | 22,315 | 3,333,415 | ||||||
| Thermo Fisher Scientific, Inc. | 397 | 115,634 | ||||||
| 4,813,476 | ||||||||
| Machinery 0.8% | ||||||||
| AGCO Corp. | 21,933 | 1,660,328 | ||||||
| Cummins, Inc. | 26,388 | 4,292,536 | ||||||
| 5,952,864 | ||||||||
| Media 1.9% | ||||||||
| Charter Communications, Inc., Class A (a) | 1,689 | 696,071 | ||||||
| Comcast Corp., Class A | 213,234 | 9,612,589 | ||||||
| Fox Corp., Class B (a) | 47,123 | 1,486,259 | ||||||
| News Corp. | ||||||||
| Class A | 118,977 | 1,656,160 | ||||||
| Class B | 54,363 | 777,119 | ||||||
| 14,228,198 | ||||||||
| Metals & Mining 0.7% | ||||||||
| Nucor Corp. | 640 | 32,582 | ||||||
| Reliance Steel & Aluminum Co. | 17,372 | 1,731,294 | ||||||
| Steel Dynamics, Inc. | 117,068 | 3,488,626 | ||||||
| 5,252,502 | ||||||||
| Multi-Utilities 0.9% | ||||||||
| CenterPoint Energy, Inc. | 131,959 | 3,982,523 | ||||||
| Consolidated Edison, Inc. | 22,911 | 2,164,402 | ||||||
| DTE Energy Co. | 4,707 | 625,843 | ||||||
| MDU Resources Group, Inc. | 14,245 | 401,566 | ||||||
| 7,174,334 | ||||||||
| Multiline Retail 0.5% | ||||||||
| Dollar General Corp. | 3,929 | 624,475 | ||||||
| Target Corp. | 30,814 | 3,294,325 | ||||||
| 3,918,800 | ||||||||
| Oil, Gas & Consumable Fuels 3.9% | ||||||||
| Chevron Corp. | 86,256 | 10,229,962 | ||||||
| ConocoPhillips | 94,018 | 5,357,146 | ||||||
| EOG Resources, Inc. | 18,262 | 1,355,406 | ||||||
| Exxon Mobil Corp. | 81,641 | 5,764,671 | ||||||
| HollyFrontier Corp. | 74,538 | 3,998,218 | ||||||
| Kinder Morgan, Inc. | 20,696 | 426,544 | ||||||
| Occidental Petroleum Corp. | 4,673 | 207,808 | ||||||
| Valero Energy Corp. | 29,186 | 2,487,815 | ||||||
| 29,827,570 | ||||||||
| Pharmaceuticals 2.5% | ||||||||
| Johnson & Johnson | 71,025 | 9,189,215 | ||||||
| Merck & Co., Inc. | 64,591 | 5,437,270 | ||||||
| Mylan N.V. (a) | 86,521 | 1,711,385 | ||||||
| Pfizer, Inc. | 75,260 | 2,704,092 | ||||||
| 19,041,962 | ||||||||
| Professional Services 0.9% | ||||||||
| ManpowerGroup, Inc. | 40,617 | 3,421,576 | ||||||
| Nielsen Holdings PLC | 167,222 | 3,553,468 | ||||||
| 6,975,044 | ||||||||
| Real Estate Management & Development 0.2% | ||||||||
| CBRE Group, Inc., Class A (a) | 23,502 | 1,245,841 | ||||||
| Road & Rail 0.8% | ||||||||
| Union Pacific Corp. | 38,041 | 6,161,881 | ||||||
| Semiconductors & Semiconductor Equipment 4.3% | ||||||||
| Applied Materials, Inc. | 69,133 | 3,449,737 | ||||||
| Broadcom, Inc. | 24,013 | 6,629,269 | ||||||
| Intel Corp. | 68,233 | 3,516,046 | ||||||
| Lam Research Corp. | 4,592 | 1,061,257 | ||||||
| Micron Technology, Inc. (a) | 106,598 | 4,567,724 | ||||||
| NVIDIA Corp. | 8,803 | 1,532,338 | ||||||
| Qorvo, Inc. (a) | 45,370 | 3,363,732 | ||||||
| QUALCOMM, Inc. | 81,377 | 6,207,438 | ||||||
| Texas Instruments, Inc. | 19,005 | 2,456,206 | ||||||
| 32,783,747 | ||||||||
| Software 7.4% | ||||||||
| Adobe, Inc. (a) | 11,586 | 3,200,632 | ||||||
| Cadence Design Systems, Inc. (a) | 59,248 | 3,915,108 | ||||||
| CDK Global, Inc. | 52,086 | 2,504,816 | ||||||
| Fortinet, Inc. (a) | 7,044 | 540,697 | ||||||
| Intuit, Inc. | 1,568 | 416,994 | ||||||
| j2 Global, Inc. | 11,813 | 1,072,857 | ||||||
| Microsoft Corp. | 258,969 | 36,004,460 | ||||||
| Oracle Corp. | 27,072 | 1,489,772 | ||||||
| salesforce.com, Inc. (a) | 26,114 | 3,876,362 | ||||||
| Symantec Corp. | 132,766 | 3,137,261 | ||||||
| Synopsys, Inc. (a) | 2,625 | 360,281 | ||||||
| 56,519,240 | ||||||||
| Specialty Retail 2.3% | ||||||||
| Aaron's, Inc. | 54,366 | 3,493,559 | ||||||
| AutoZone, Inc. (a) | 3,807 | 4,129,148 | ||||||
| Best Buy Co., Inc. | 52,314 | 3,609,143 | ||||||
| Home Depot, Inc. | 27,229 | 6,317,673 | ||||||
| Ross Stores, Inc. | 888 | 97,547 | ||||||
| 17,647,070 | ||||||||
| Technology Hardware, Storage & Peripherals 4.3% | ||||||||
| Apple, Inc. | 144,974 | 32,469,827 | ||||||
| HP, Inc. | 42,980 | 813,181 | ||||||
| 33,283,008 | ||||||||
| Textiles, Apparel & Luxury Goods 1.0% | ||||||||
| NIKE, Inc., Class B | 65,345 | 6,137,202 | ||||||
| Skechers U.S.A., Inc., Class A (a) | 35,990 | 1,344,227 | ||||||
| 7,481,429 | ||||||||
| Tobacco 0.2% | ||||||||
| Altria Group, Inc. | 6,719 | 274,807 | ||||||
| Philip Morris International, Inc. | 14,240 | 1,081,243 | ||||||
| 1,356,050 | ||||||||
| Total Common Stocks (Cost $662,289,914) | 756,265,003 | |||||||
| Exchange-Traded Fund 1.3% | ||||||||
| SPDR S&P 500 ETF Trust | 33,450 | 9,926,956 | ||||||
| Total Exchange-Traded Fund (Cost $9,828,982) | 9,926,956 | |||||||
| Short-Term Investments 0.0%‡ | ||||||||
| Affiliated Investment Company 0.0% ‡ | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (c) | 29,874 | 29,874 | ||||||
| Unaffiliated Investment Company 0.0% ‡ | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (c)(d) | 37,121 | 37,121 | ||||||
| Total Short-Term Investments (Cost $66,995) | 66,995 | |||||||
| Total Investments (Cost $672,185,891) | 100.0 | % | 766,258,954 | |||||
| Other Assets, Less Liabilities | (0.0 | )‡ | (125,185 | ) | ||||
| Net Assets | 100.0 | % | $ | 766,133,769 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | Non-income producing security. |
| (b) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $165,407; the total market value of collateral held by the Portfolio was $168,383. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $131,262. |
| (c) | Current yield as of September 30, 2019. |
| (d) | Represents security purchased with cash collateral received for securities on loan. |
| The following abbreviations are used in the preceding pages: | |
| ETF | —Exchange-Traded Fund |
| SPDR | —Standard & Poor's Depositary Receipt |
| The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets: |
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Common Stocks | $ | 756,265,003 | $ | — | $ | — | $ | 756,265,003 | ||||||||
| Exchange-Traded Fund | 9,926,956 | — | — | 9,926,956 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 29,874 | — | — | 29,874 | ||||||||||||
| Unaffiliated Investment Company | 37,121 | — | — | 37,121 | ||||||||||||
| Total Short-Term Investments | 66,995 | — | — | 66,995 | ||||||||||||
| Total Investments in Securities | $ | 766,258,954 | $ | — | $ | — | $ | 766,258,954 | ||||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP MacKay Convertible Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Principal Amount | Value | |||||||
| Convertible Securities 89.2% † | ||||||||
| Convertible Bonds 82.6% | ||||||||
| Advertising 0.6% | ||||||||
| Quotient Technology, Inc. 1.75%, due 12/1/22 | $ | 5,756,000 | $ | 5,437,678 | ||||
| Aerospace & Defense 1.4% | ||||||||
| Aerojet Rocketdyne Holdings, Inc. 2.25%, due 12/15/23 | 6,133,000 | 12,246,834 | ||||||
| Biotechnology 7.0% | ||||||||
| BioMarin Pharmaceutical, Inc. 0.599%, due 8/1/24 (a) | 15,124,000 | 14,904,655 | ||||||
| Exact Sciences Corp. 1.00%, due 1/15/25 | 6,160,000 | 8,708,700 | ||||||
| Illumina, Inc. | ||||||||
| (zero coupon), due 8/15/23 (a) | 7,893,000 | 8,771,096 | ||||||
| 0.50%, due 6/15/21 | 7,153,000 | 9,512,971 | ||||||
| Intercept Pharmaceuticals, Inc. 3.25%, due 7/1/23 | 5,052,000 | 4,369,980 | ||||||
| Ionis Pharmaceuticals, Inc. 1.00%, due 11/15/21 | 8,329,000 | 9,519,797 | ||||||
| Medicines Co. 2.75%, due 7/15/23 | 5,185,000 | 6,273,850 | ||||||
| Radius Health, Inc. 3.00%, due 9/1/24 | 444,000 | 404,750 | ||||||
| 62,465,799 | ||||||||
| Building Materials 0.9% | ||||||||
| Patrick Industries, Inc. 1.00%, due 2/1/23 | 9,317,000 | 8,450,852 | ||||||
| Commercial Services 2.2% | ||||||||
| Chegg, Inc. 0.125%, due 3/15/25 (b) | 6,835,000 | 6,267,340 | ||||||
| Euronet Worldwide, Inc. 0.75%, due 3/15/49 (a)(b) | 7,730,000 | 9,068,257 | ||||||
| Square, Inc. 0.50%, due 5/15/23 | 3,658,000 | 4,080,956 | ||||||
| 19,416,553 | ||||||||
| Computers 2.9% | ||||||||
| Lumentum Holdings, Inc. 0.25%, due 3/15/24 | 14,385,000 | 16,722,719 | ||||||
| Nutanix, Inc. (zero coupon), due 1/15/23 | 1,844,000 | 1,725,293 | ||||||
| Pure Storage, Inc. 0.125%, due 4/15/23 | 2,934,000 | 2,899,833 | ||||||
| Western Digital Corp. 1.50%, due 2/1/24 | 4,634,000 | 4,460,225 | ||||||
| 25,808,070 | ||||||||
| Diversified Financial Services 0.4% | ||||||||
| LendingTree, Inc. 0.625%, due 6/1/22 | 2,437,000 | 3,909,678 | ||||||
| Electric 1.0% | ||||||||
| NRG Energy, Inc. 2.75%, due 6/1/48 | 7,722,000 | 8,697,725 | ||||||
| Entertainment 0.2% | ||||||||
| Live Nation Entertainment, Inc. 2.50%, due 3/15/23 | 1,447,000 | 1,700,081 | ||||||
| Health Care - Products 6.2% | ||||||||
| CONMED Corp. 2.625%, due 2/1/24 (b) | 7,840,000 | 9,741,981 | ||||||
| Danaher Corp. (zero coupon), due 1/22/21 | 6,483,000 | 35,742,271 | ||||||
| NuVasive, Inc. 2.25%, due 3/15/21 | 3,296,000 | 3,905,760 | ||||||
| Wright Medical Group, Inc. 1.625%, due 6/15/23 | 5,820,000 | 5,563,876 | ||||||
| 54,953,888 | ||||||||
| Health Care - Services 4.5% | ||||||||
| Anthem, Inc. 2.75%, due 10/15/42 | 6,698,000 | 22,439,247 | ||||||
| Teladoc Health, Inc. 1.375%, due 5/15/25 | 12,046,000 | 17,883,860 | ||||||
| 40,323,107 | ||||||||
| Internet 12.1% | ||||||||
| Boingo Wireless, Inc. 1.00%, due 10/1/23 (b) | 4,790,000 | 3,958,164 | ||||||
| Booking Holdings, Inc. 0.90%, due 9/15/21 (a) | 13,680,000 | 15,896,385 | ||||||
| Etsy, Inc. | ||||||||
| (zero coupon), due 3/1/23 | 6,134,000 | 10,347,575 | ||||||
| 0.125%, due 10/1/26 (b) | 3,180,000 | 3,141,013 | ||||||
| FireEye, Inc. 0.875%, due 6/1/24 | 3,663,000 | 3,450,660 | ||||||
| IAC FinanceCo 2, Inc. 0.875%, due 6/15/26 (b) | 6,209,000 | 6,493,538 | ||||||
| MercadoLibre, Inc. 2.00%, due 8/15/28 | 3,691,000 | 5,436,774 | ||||||
| Okta, Inc. | ||||||||
| 0.125%, due 9/1/25 (b) | 4,025,000 | 3,659,362 | ||||||
| 0.25%, due 2/15/23 | 4,261,000 | 8,968,127 | ||||||
| Palo Alto Networks, Inc. 0.75%, due 7/1/23 | 8,986,000 | 9,494,086 | ||||||
| Q2 Holdings, Inc. 0.75%, due 6/1/26 (b) | 2,800,000 | 3,104,640 | ||||||
| RingCentral, Inc. (zero coupon), due 3/15/23 | 8,579,000 | 13,874,738 | ||||||
| Snap, Inc. 0.75%, due 8/1/26 (b) | 6,296,000 | 6,480,614 | ||||||
| Wix.com, Ltd. (zero coupon), due 7/1/23 | 10,770,000 | 11,983,113 | ||||||
| Zendesk, Inc. 0.25%, due 3/15/23 | 1,447,000 | 1,917,981 | ||||||
| 108,206,770 | ||||||||
| Iron & Steel 0.5% | ||||||||
| Cleveland-Cliffs, Inc. 1.50%, due 1/15/25 | 3,753,000 | 4,075,445 | ||||||
| Lodging 0.5% | ||||||||
| Caesars Entertainment Corp. 5.00%, due 10/1/24 | 2,616,000 | 4,449,274 | ||||||
| Machinery - Diversified 1.4% | ||||||||
| Chart Industries, Inc. 1.00%, due 11/15/24 (b) | 10,263,000 | 12,892,791 | ||||||
| Media 3.5% | ||||||||
| DISH Network Corp. 3.375%, due 8/15/26 | 17,289,000 | 15,883,503 | ||||||
| Liberty Media Corp-Liberty Formula One 1.00%, due 1/30/23 | 6,664,000 | 8,362,182 | ||||||
| Liberty Media Corp. 1.375%, due 10/15/23 | 5,512,000 | 6,598,415 | ||||||
| 30,844,100 | ||||||||
| Oil & Gas 1.6% | ||||||||
| Ensco Jersey Finance, Ltd. 3.00%, due 1/31/24 (a) | 11,037,000 | 7,505,160 | ||||||
| Oasis Petroleum, Inc. 2.625%, due 9/15/23 | 2,348,000 | 1,744,219 | ||||||
| Transocean, Inc. 0.50%, due 1/30/23 | 5,990,000 | 4,923,031 | ||||||
| 14,172,410 | ||||||||
| Oil & Gas Services 3.5% | ||||||||
| Helix Energy Solutions Group, Inc. | ||||||||
| 4.125%, due 9/15/23 | 5,115,000 | 5,989,947 | ||||||
| 4.25%, due 5/1/22 | 1,953,000 | 1,976,208 | ||||||
| Newpark Resources, Inc. 4.00%, due 12/1/21 | 5,174,000 | 5,773,773 | ||||||
| Oil States International, Inc. 1.50%, due 2/15/23 | 13,438,000 | 11,294,639 | ||||||
| Weatherford International, Ltd. 5.875%, due 7/1/21 (c)(d) | 16,859,000 | 5,942,797 | ||||||
| 30,977,364 | ||||||||
| Pharmaceuticals 3.2% | ||||||||
| DexCom, Inc. 0.75%, due 12/1/23 (b) | 3,894,000 | 4,574,367 | ||||||
| Herbalife Nutrition, Ltd. 2.625%, due 3/15/24 | 6,582,000 | 6,156,045 | ||||||
| Neurocrine Biosciences, Inc. 2.25%, due 5/15/24 | 6,250,000 | 8,573,192 | ||||||
| Pacira BioSciences, Inc. 2.375%, due 4/1/22 | 5,779,000 | 5,712,371 | ||||||
| Supernus Pharmaceuticals, Inc. 0.625%, due 4/1/23 | 4,136,000 | 3,851,027 | ||||||
| 28,867,002 | ||||||||
| Semiconductors 11.0% | ||||||||
| Cypress Semiconductor Corp. 2.00%, due 2/1/23 | 3,980,000 | 4,835,700 | ||||||
| Inphi Corp. 1.125%, due 12/1/20 | 9,461,000 | 14,783,199 | ||||||
| Intel Corp. 3.25%, due 8/1/39 | 3,685,000 | 9,369,039 | ||||||
| Microchip Technology, Inc. | ||||||||
| 1.625%, due 2/15/25 | 12,203,000 | 23,145,575 | ||||||
| 1.625%, due 2/15/27 | 5,198,000 | 6,704,451 | ||||||
| Micron Technology, Inc. 3.125%, due 5/1/32 | 1,501,000 | 6,449,581 | ||||||
| Novellus Systems, Inc. 2.625%, due 5/15/41 | 724,000 | 5,184,457 | ||||||
| ON Semiconductor Corp. 1.00%, due 12/1/20 | 8,174,000 | 9,561,656 | ||||||
| Rambus, Inc. 1.375%, due 2/1/23 | 6,552,000 | 6,524,182 | ||||||
| Silicon Laboratories, Inc. 1.375%, due 3/1/22 | 9,006,000 | 11,748,031 | ||||||
| 98,305,871 | ||||||||
| Software 13.1% | ||||||||
| Akamai Technologies, Inc. 0.375%, due 9/1/27 (b) | 7,080,000 | 7,230,617 | ||||||
| Atlassian, Inc. 0.625%, due 5/1/23 | 5,325,000 | 8,754,699 | ||||||
| Coupa Software, Inc. 0.125%, due 6/15/25 (b) | 3,509,000 | 3,846,741 | ||||||
| Envestnet, Inc. 1.75%, due 6/1/23 | 4,442,000 | 4,808,465 | ||||||
| NICE Systems, Inc. 1.25%, due 1/15/24 | 13,581,000 | 24,290,858 | ||||||
| Nuance Communications, Inc. 1.25%, due 4/1/25 | 8,331,000 | 8,206,035 | ||||||
| ServiceNow, Inc. (zero coupon), due 6/1/22 | 6,076,000 | 11,644,456 | ||||||
| Splunk, Inc. 0.50%, due 9/15/23 | 8,049,000 | 8,688,612 | ||||||
| Twilio, Inc. 0.25%, due 6/1/23 | 2,263,000 | 3,782,084 | ||||||
| Verint Systems, Inc. 1.50%, due 6/1/21 | 12,098,000 | 12,224,377 | ||||||
| Workday, Inc. 0.25%, due 10/1/22 | 11,205,000 | 14,744,437 | ||||||
| Workiva, Inc. 1.125%, due 8/15/26 (b) | 1,960,000 | 1,797,850 | ||||||
| Zynga, Inc. 0.25%, due 6/1/24 (b) | 6,772,000 | 6,757,618 | ||||||
| 116,776,849 | ||||||||
| Telecommunications 2.9% | ||||||||
| Finisar Corp. 0.50%, due 12/15/36 | 6,207,000 | 6,203,850 | ||||||
| InterDigital, Inc. 2.00%, due 6/1/24 (b) | 2,860,000 | 2,818,883 | ||||||
| Viavi Solutions Inc. 1.00%, due 3/1/24 | 9,569,000 | 11,781,831 | ||||||
| Vonage Holdings Corp. 1.75%, due 6/1/24 (b) | 5,148,000 | 5,335,922 | ||||||
| 26,140,486 | ||||||||
| Transportation 2.0% | ||||||||
| Atlas Air Worldwide Holdings, Inc. 2.25%, due 6/1/22 | 11,348,000 | 10,091,206 | ||||||
| Echo Global Logistics, Inc. 2.50%, due 5/1/20 | 7,629,000 | 7,628,990 | ||||||
| 17,720,196 | ||||||||
| Total Convertible Bonds (Cost $655,698,084) | 736,838,823 | |||||||
| Shares | ||||||||
| Convertible Preferred Stocks 6.6% | ||||||||
| Banks 2.9% | ||||||||
| Bank of America Corp. Series L 7.25% | 8,636 | 12,947,178 | ||||||
| Wells Fargo & Co. Series L 7.50% | 8,264 | 12,581,857 | ||||||
| 25,529,035 | ||||||||
| Chemicals 0.5% | ||||||||
| A. Schulman, Inc. 6.00% | 4,110 | 4,325,775 | ||||||
| Equity Real Estate Investment Trusts 0.8% | ||||||||
| Crown Castle International Corp. 6.875% | 5,982 | 7,550,301 | ||||||
| Health Care Equipment & Supplies 1.0% | ||||||||
| Becton Dickinson & Co. 6.125% | 146,239 | 9,053,657 | ||||||
| Machinery 0.7% | ||||||||
| Rexnord Corp. 5.75% | 75,817 | 4,154,772 | ||||||
| Stanley Black & Decker, Inc. 5.375% | 20,480 | 2,057,830 | ||||||
| 6,212,602 | ||||||||
| Semiconductors & Semiconductor Equipment 0.7% | ||||||||
| Broadcom, Inc. 8.00% | 6,025 | 6,177,949 | ||||||
| Total Convertible Preferred Stocks (Cost $51,536,797) | 58,849,319 | |||||||
| Total Convertible Securities (Cost $707,234,881) | 795,688,142 | |||||||
| Common Stocks 3.1% | ||||||||
| Air Freight & Logistics 0.4% | ||||||||
| XPO Logistics, Inc. (e) | 48,592 | 3,477,729 | ||||||
| Airlines 1.0% | ||||||||
| Delta Air Lines, Inc. | 151,688 | 8,737,229 | ||||||
| Banks 0.9% | ||||||||
| Bank of America Corp. | 267,678 | 7,808,167 | ||||||
| Health Care Equipment & Supplies 0.8% | ||||||||
| Teleflex, Inc. | 21,245 | 7,217,989 | ||||||
| Total Common Stocks (Cost $14,897,223) | 27,241,114 | |||||||
| Short-Term Investment 10.6% | ||||||||
| Affiliated Investment Company 6.7% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (f) | 59,830,051 | 59,830,051 | ||||||
| Unaffiliated Investment Company 3.9% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio,2.33% (f)(g) | 34,492,935 | 34,492,935 | ||||||
| Total Short-Term Investment (Cost $94,322,986) | 94,322,986 | |||||||
| Total Investments (Cost $816,455,090) | 102.9 | % | 917,252,242 | |||||
| Other Assets, Less Liabilities | (2.9 | ) | (25,485,353 | ) | ||||
| Net Assets | 100.0 | % | $ | 891,766,889 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| (a) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $47,450,541; the total market value of collateral held by the Portfolio was $48,153,397. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $13,660,462. |
| (b) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
| (c) | Issue in default. |
| (d) | Issue in non-accrual status. |
| (e) | Non-income producing security. |
| (f) | Current yield as of September 30, 2019. |
| (g) | Represents security purchased with cash collateral received for securities on loan. |
The following is a summary of the fair valuations according
to the inputs used as of September 30, 2019, for valuing the Portfolio's assets:
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Convertible Securities | ||||||||||||||||
| Convertible Bonds | $ | — | $ | 736,838,823 | $ | — | $ | 736,838,823 | ||||||||
| Convertible Preferred Stocks (b) | 54,523,544 | 4,325,775 | — | 58,849,319 | ||||||||||||
| Total Convertible Securities | 54,523,544 | 741,164,598 | — | 795,688,142 | ||||||||||||
| Common Stocks | 27,241,114 | — | — | 27,241,114 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 59,830,051 | — | — | 59,830,051 | ||||||||||||
| Unaffiliated Investment Company | 34,492,935 | — | — | 34,492,935 | ||||||||||||
| Total Short-Term Investments | 94,322,986 | — | — | 94,322,986 | ||||||||||||
| Total Investments in Securities | $ | 176,087,644 | $ | 741,164,598 | $ | — | $ | 917,252,242 | ||||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
| (b) | The Level 2 security valued at $4,325,775 is held in Chemicals within the Convertible Preferred Stocks section of the Portfolio of Investments. |
MainStay VP MacKay Government Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Principal Amount | Value | |||||||
| Long-Term Bonds 92.0% † | ||||||||
| Asset-Backed Securities 2.2% | ||||||||
| Other Asset-Backed Securities 1.9% | ||||||||
| PSNH Funding LLC Series 2018-1, Class A1 3.094%, due 2/1/26 | $ | 389,081 | $ | 398,337 | ||||
| Small Business Administration Participation Certificates | ||||||||
| Series 2012-20L, Class 1 1.93%, due 12/1/32 | 526,458 | 526,301 | ||||||
| Series 2014-20H, Class 1 2.88%, due 8/1/34 | 556,130 | 573,510 | ||||||
| Series 2015-20G, Class 1 2.88%, due 7/1/35 | 1,460,943 | 1,509,848 | ||||||
| Series 2014-20I, Class 1 2.92%, due 9/1/34 | 598,339 | 619,385 | ||||||
| Series 2014-20C, Class 1 3.21%, due 3/1/34 | 1,041,271 | 1,095,094 | ||||||
| 4,722,475 | ||||||||
| Utilities 0.3% | ||||||||
| Atlantic City Electric Transition Funding LLC Series 2002-1, Class A4 5.55%, due 10/20/23 | 619,164 | 642,422 | ||||||
| Total Asset-Backed Securities (Cost $5,234,092) | 5,364,897 | |||||||
| Corporate Bonds 3.7% | ||||||||
| Agriculture 0.5% | ||||||||
| Altria Group, Inc. 2.85%, due 8/9/22 | 1,170,000 | 1,183,967 | ||||||
| Electric 1.7% | ||||||||
| Consolidated Edison Co. of New York, Inc. 2.506% (3 Month LIBOR + 0.40%), due 6/25/21 (a) | 1,550,000 | 1,555,227 | ||||||
| Duke Energy Florida Project Finance LLC 2.538%, due 9/1/31 | 1,900,000 | 1,919,069 | ||||||
| PECO Energy Co. 1.70%, due 9/15/21 (b) | 670,000 | 666,167 | ||||||
| 4,140,463 | ||||||||
| Pipelines 0.5% | ||||||||
| Plains All American Pipeline, L.P. / PAA Finance Corp. 5.00%, due 2/1/21 (b) | 1,200,000 | 1,232,011 | ||||||
| Real Estate Investment Trusts 1.0% | ||||||||
| Host Hotels & Resorts, L.P. 3.75%, due 10/15/23 | 2,350,000 | 2,445,074 | ||||||
| Total Corporate Bonds (Cost $8,839,355) | 9,001,515 | |||||||
| Mortgage-Backed Securities 11.3% | ||||||||
| Agency (Collateralized Mortgage Obligations) 7.9% | ||||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| REMIC Series 4691, Class HA 2.50%, due 6/15/40 | 593,655 | 598,278 | ||||||
| REMIC, Series 4900, Class BE | ||||||||
| 3.00%, due 3/25/49 | 665,635 | 683,012 | ||||||
| REMIC, Series 4908, Class BD 3.00%, due 4/25/49 | 2,400,000 | 2,478,129 | ||||||
| REMIC, Series 4911, Class MB 3.00%, due 9/25/49 | 1,785,000 | 1,829,066 | ||||||
| Series 2019-1, Class A1 3.50%, due 5/25/29 | 469,594 | 493,305 | ||||||
| REMIC Series 4818, Class BD 3.50%, due 3/15/45 | 619,179 | 643,068 | ||||||
| REMIC Series 4884, Class BA 3.50%, due 6/15/48 | 541,041 | 563,725 | ||||||
| REMIC Series 4888, Class BA 3.50%, due 9/15/48 | 434,976 | 454,934 | ||||||
| REMIC Series 4877, Class AT 3.50%, due 11/15/48 | 561,124 | 591,550 | ||||||
| REMIC Series 4877, Class BE 3.50%, due 11/15/48 | 818,718 | 864,784 | ||||||
| Federal National Mortgage Association | ||||||||
| REMIC, Series 2019-39, Class LA 3.00%, due 2/25/49 | 690,492 | 708,149 | ||||||
| Series 2019-25, Class PA 3.00%, due 5/25/48 | 518,259 | 532,643 | ||||||
| Series 2019-13, Class PE 3.00%, due 3/25/49 | 652,826 | 667,868 | ||||||
| REMIC, Series 2019-58, Class LP 3.00%, due 10/25/49 | 1,315,000 | 1,342,813 | ||||||
| Government National Mortgage Association | ||||||||
| Series 2014-91, Class MA 3.00%, due 1/16/40 | 587,266 | 609,347 | ||||||
| Series 2018-127, Class PB 3.00%, due 9/20/47 | 1,361,751 | 1,391,803 | ||||||
| Series 2019-29, Class CB 3.00%, due 10/20/48 | 490,739 | 502,221 | ||||||
| Series 2019-52, Class JL 3.00%, due 11/20/48 | 525,294 | 538,645 | ||||||
| Series 2019-59, Class KA 3.00%, due 12/20/48 | 909,705 | 931,554 | ||||||
| Series 2019-43, Class PL 3.00%, due 4/20/49 | 496,315 | 508,448 | ||||||
| Series 2019-74, Class AT 3.00%, due 6/20/49 | 712,448 | 730,806 | ||||||
| Series 2013-149, Class BA 3.25%, due 8/16/41 | 1,689,633 | 1,762,804 | ||||||
| 19,426,952 | ||||||||
| Commercial Mortgage Loans (Collateralized Mortgage Obligations) 3.1% | ||||||||
| BXP Trust Series 2017-GM, Class A 3.379%, due 6/13/39 (c) | 1,750,000 | 1,872,998 | ||||||
| Four Times Square Trust Series 2006-4TS, Class A 5.401%, due 12/13/28 (c) | 495,009 | 510,368 | ||||||
| FREMF Mortgage Trust (c)(d) | ||||||||
| Series 2013-K27, Class B 3.615%, due 1/25/46 | 1,000,000 | 1,037,332 | ||||||
| Series 2014-K37, Class B 4.714%, due 1/25/47 | 1,215,000 | 1,320,866 | ||||||
| One Bryant Park Trust Series 2019-OBP, Class A 2.516%, due 9/13/49 (c) | 1,725,000 | 1,733,677 | ||||||
| Wells Fargo Commercial Mortgage Trust Series 2018-1745, Class A 3.874%, due 6/15/36 (c)(d) | 900,000 | 989,624 | ||||||
| 7,464,865 | ||||||||
| Residential Mortgage (Collateralized Mortgage Obligation) 0.1% | ||||||||
| Citigroup Mortgage Loan Trust, Inc. Series 2006-AR6, Class 1A1 4.539%, due 8/25/36 (d) | 137,733 | 130,290 | ||||||
| Whole Loan Collateral (Collateralized Mortgage Obligation) 0.2% | ||||||||
| Chase Home Lending Mortgage Trust Series 2019-ATR1, Class A4 4.00%, due 4/25/49 (c)(e) | 560,784 | 565,916 | ||||||
| Total Mortgage-Backed Securities (Cost $27,140,263) | ||||||||
| 27,588,023 | ||||||||
| U.S. Government & Federal Agencies 74.8% | ||||||||
| Fannie Mae Strip (Collateralized Mortgage Obligations) 0.0% ‡ (f) | ||||||||
| Series 360, Class 2, IO 5.00%, due 8/25/35 | 87,177 | 13,477 | ||||||
| Series 361, Class 2 6.00%, due 10/25/35 | 18,752 | 4,134 | ||||||
| 17,611 | ||||||||
| Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) 9.5% | ||||||||
| 2.50%, due 9/1/34 | 991,801 | 1,000,360 | ||||||
| 2.50%, due 8/1/46 | 1,632,194 | 1,631,721 | ||||||
| 3.00%, due 2/1/46 | 3,253,320 | 3,334,368 | ||||||
| 3.00%, due 4/1/47 | 3,309,942 | 3,391,073 | ||||||
| 3.00%, due 12/1/47 | 928,089 | 949,386 | ||||||
| 3.50%, due 8/1/38 | 848,484 | 879,749 | ||||||
| 3.50%, due 1/1/43 | 725,336 | 768,935 | ||||||
| 3.50%, due 1/1/44 | 415,324 | 436,371 | ||||||
| 3.50%, due 11/1/46 | 786,832 | 819,520 | ||||||
| 3.50%, due 2/1/48 | 907,166 | 937,052 | ||||||
| 4.00%, due 7/1/44 | 385,411 | 411,265 | ||||||
| 4.00%, due 3/1/45 | 354,229 | 378,244 | ||||||
| 4.00%, due 12/1/46 | 1,278,336 | 1,349,500 | ||||||
| 4.00%, due 2/1/48 | 775,360 | 813,064 | ||||||
| 4.00%, due 10/1/48 | 507,999 | 545,386 | ||||||
| 4.00%, due 3/1/49 | 1,382,123 | 1,435,838 | ||||||
| 4.50%, due 3/1/41 | 380,678 | 412,586 | ||||||
| 4.50%, due 8/1/44 | 233,578 | 258,722 | ||||||
| 4.50%, due 12/1/44 | 1,038,614 | 1,123,914 | ||||||
| 4.50%, due 7/1/45 | 687,003 | 743,185 | ||||||
| 4.50%, due 4/1/46 | 108,754 | 117,745 | ||||||
| 4.50%, due 8/1/47 | 227,394 | 248,926 | ||||||
| 5.00%, due 11/1/41 | 1,291,757 | 1,426,912 | ||||||
| 6.50%, due 4/1/37 | 34,739 | 39,039 | ||||||
| 23,452,861 | ||||||||
| Federal National Mortgage Association (Mortgage Pass-Through Securities) 22.9% | ||||||||
| 2.50%, due 12/1/37 | 1,852,296 | 1,860,450 | ||||||
| 2.50%, due 1/1/57 | 873,979 | 862,135 | ||||||
| 3.00%, due 10/1/32 | 722,976 | 745,399 | ||||||
| 3.00%, due 4/1/44 | 2,352,103 | 2,399,543 | ||||||
| 3.00%, due 9/1/46 | 2,279,367 | 2,299,946 | ||||||
| 3.00%, due 10/1/46 | 2,043,776 | 2,062,452 | ||||||
| 3.00%, due 10/1/48 | 1,626,336 | 1,653,497 | ||||||
| 3.00%, due 2/1/57 | 810,951 | 829,159 | ||||||
| 3.00%, due 6/1/57 | 917,001 | 937,547 | ||||||
| 3.50%, due 3/1/37 | 479,252 | 502,752 | ||||||
| 3.50%, due 2/1/43 | 1,748,753 | 1,852,857 | ||||||
| 3.50%, due 5/1/43 | 623,097 | 654,224 | ||||||
| 3.50%, due 7/1/43 | 595,563 | 628,158 | ||||||
| 3.50%, due 11/1/44 | 990,124 | 1,039,788 | ||||||
| 3.50%, due 3/1/45 | 1,057,696 | 1,113,538 | ||||||
| 3.50%, due 8/1/46 | 863,432 | 908,009 | ||||||
| 3.50%, due 10/1/47 | 863,152 | 891,460 | ||||||
| 3.50%, due 2/1/48 | 516,531 | 532,152 | ||||||
| 4.00%, due 8/1/38 | 3,482,686 | 3,686,255 | ||||||
| 4.00%, due 1/1/46 | 1,043,236 | 1,112,630 | ||||||
| 4.00%, due 9/1/47 | 771,741 | 808,221 | ||||||
| 4.00%, due 8/1/48 | 1,207,680 | 1,257,545 | ||||||
| 4.00%, due 9/1/48 | 2,092,270 | 2,203,935 | ||||||
| 4.00%, due 4/1/49 | 641,061 | 665,262 | ||||||
| 4.50%, due 2/1/41 | 2,848,096 | 3,126,969 | ||||||
| 4.50%, due 4/1/41 | 6,835,701 | 7,550,854 | ||||||
| 4.50%, due 8/1/42 | 1,277,662 | 1,383,714 | ||||||
| 4.50%, due 12/1/43 | 333,784 | 360,819 | ||||||
| 4.50%, due 8/1/44 | 1,489,065 | 1,612,346 | ||||||
| 5.00%, due 9/1/41 | 2,435,300 | 2,689,155 | ||||||
| 5.00%, due 10/1/41 | 2,140,914 | 2,363,480 | ||||||
| 5.50%, due 7/1/41 | 3,773,387 | 4,266,670 | ||||||
| 6.00%, due 4/1/37 | 11,997 | 12,966 | ||||||
| 6.00%, due 7/1/39 | 865,787 | 996,438 | ||||||
| 6.50%, due 10/1/39 | 155,753 | 176,000 | ||||||
| 6.50%, due 8/1/47 | 14,818 | 15,936 | ||||||
| 56,062,261 | ||||||||
| Overseas Private Investment Corporation 0.5% | ||||||||
| 5.142%, due 12/15/23 | 1,191,877 | 1,279,080 | ||||||
| Tennessee Valley Authority 2.3% | ||||||||
| 4.65%, due 6/15/35 | 4,395,000 | 5,577,154 | ||||||
| United States Treasury Bonds 3.0% | ||||||||
| 3.00%, due 5/15/45 | 2,790,000 | 3,284,898 | ||||||
| 3.00%, due 2/15/48 | 2,000,000 | 2,374,609 | ||||||
| 4.375%, due 11/15/39 | 1,200,000 | 1,683,328 | ||||||
| 7,342,835 | ||||||||
| United States Treasury Notes 36.6% | ||||||||
| 1.625%, due 8/15/22 | 2,170,000 | 2,172,882 | ||||||
| 1.625%, due 5/15/26 | 380,000 | 380,178 | ||||||
| 1.625%, due 8/15/29 | 2,715,000 | 2,702,486 | ||||||
| 1.75%, due 9/30/22 | 3,070,000 | 3,085,230 | ||||||
| 1.75%, due 5/15/23 | 500,000 | 502,910 | ||||||
| 2.00%, due 8/31/21 | 3,295,000 | 3,315,336 | ||||||
| 2.25%, due 4/30/24 | 16,190,000 | 16,677,597 | ||||||
| 2.375%, due 4/30/20 | 18,700,000 | 18,753,324 | ||||||
| 2.375%, due 8/15/24 | 1,695,000 | 1,758,165 | ||||||
| 2.625%, due 7/31/20 | 12,150,000 | 12,225,463 | ||||||
| 2.625%, due 1/31/26 | 1,700,000 | 1,802,996 | ||||||
| 2.75%, due 4/30/23 | 7,105,000 | 7,393,363 | ||||||
| 2.75%, due 7/31/23 | 845,000 | 881,705 | ||||||
| 2.75%, due 8/31/23 | 1,325,000 | 1,384,056 | ||||||
| 2.875%, due 10/31/20 | 8,030,000 | 8,120,338 | ||||||
| 3.00%, due 10/31/25 | 7,805,000 | 8,431,839 | ||||||
| 89,587,868 | ||||||||
| Total U.S. Government & Federal Agencies (Cost $177,075,653) | 183,319,670 | |||||||
| Total Long-Term Bonds (Cost $218,289,363) | 225,274,105 | |||||||
| Shares | ||||||||
| Short-Term Investments 7.5% | ||||||||
| Affiliated Investment Company 0.8% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (g) | 1,867,275 | 1,867,275 | ||||||
| Total Affiliated Investment Company (Cost $1,867,275) | 1,867,275 | |||||||
| Unaffiliated Investment Company 0.0% ‡ | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (g)(h) | 103,715 | 103,715 | ||||||
| Total Unaffiliated Investment Company (Cost $103,715) | 103,715 | |||||||
| Principal Amount | Value | |||||||
| U.S. Government & Federal Agencies 6.7% | ||||||||
| Federal Home Loan Bank, Discount Notes (i) | ||||||||
| 1.889%, due 11/26/19 | $ | 3,500,000 | 3,489,764 | |||||
| 1.907%, due 12/12/19 | 8,500,000 | 8,468,210 | ||||||
| 1.961%, due 11/12/19 | 4,500,000 | 4,490,130 | ||||||
| Total U.S. Government & Federal Agencies (Cost $16,428,084) | 16,448,104 | |||||||
| Total Short-Term Investments (Cost $18,399,074) | 18,419,094 | |||||||
| Total Investments (Cost $236,688,437) | 99.5 | % | 243,693,199 | |||||
| Other Assets, Less Liabilities | 0.5 | 1,224,097 | ||||||
| Net Assets | 100.0 | % | $ | 244,917,296 |
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | Floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (b) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $101,687. The Portfolio received cash collateral with a value of $103,715. |
| (c) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
| (d) | Collateral strip rate - A bond whose interest was based on the weighted net interest rate of the collateral. The coupon rate adjusts periodically based on a predetermined schedule. Rate shown was the rate in effect as of September 30, 2019. |
| (e) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end. |
| (f) | Collateralized Mortgage Obligation Interest Only Strip - Pays a fixed or variable rate of interest based on mortgage loans or mortgage pass-through securities. The principal amount of the underlying pool represents the notional amount on which the current interest was calculated. The value of these stripped securities may be particularly sensitive to changes in prevailing interest rates and are typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities. |
| (g) | Current yield as of September 30, 2019. |
| (h) | Represents security purchased with cash collateral received for securities on loan. |
| (i) | Interest rate shown represents yield to maturity. |
The following abbreviations are used in the preceding pages:
| IO | —Interest Only |
| LIBOR | —London Interbank Offered Rate |
| REMIC | —Real Estate Mortgage Investment Conduit |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets:
| Quoted Prices in Active Markets for Identical Assets | Significant Other Observable Inputs | Significant Unobservable Inputs | ||||||||||||||
| Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Long-Term Bonds | ||||||||||||||||
| Asset-Backed Securities | $ | — | $ | 5,364,897 | $ | — | $ | 5,364,897 | ||||||||
| Corporate Bonds | — | 9,001,515 | — | 9,001,515 | ||||||||||||
| Mortgage-Backed Securities | — | 27,588,023 | — | 27,588,023 | ||||||||||||
| U.S. Government & Federal Agencies | — | 183,319,670 | — | 183,319,670 | ||||||||||||
| Total Long-Term Bonds | — | 225,274,105 | — | 225,274,105 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 1,867,275 | — | — | 1,867,275 | ||||||||||||
| Unaffiliated Investment Company | 103,715 | — | — | 103,715 | ||||||||||||
| U.S. Government & Federal Agencies | — | 16,448,104 | — | 16,448,104 | ||||||||||||
| Total Short-Term Investments | 1,970,990 | 16,448,104 | — | 18,419,094 | ||||||||||||
| Total Investments in Securities | $ | 1,970,990 | $ | 241,722,209 | $ | — | $ | 243,693,199 | ||||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
| Investments in Securities | Balance
as of December 31, 2018 | Accrued Discounts (Premiums) | Realized
Gain (Loss) | Change
in Unrealized Appreciation (Depreciation) | Purchases | Sales (a) | Transfers
into Level 3 | Transfers
out of Level 3 | Balance
as of September 30, 2019 | Change
in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2019 | ||||||||||||||||||||||||||||||
| Long-Term Bonds | ||||||||||||||||||||||||||||||||||||||||
| Mortgage-Backed Securities | ||||||||||||||||||||||||||||||||||||||||
| Residential Mortgages (Collateralized Mortgage Obligations) | $ | 727,931 | $ | 429 | $ | (60,825 | ) | $ | 27,389 | $ | - | $ | (694,924 | ) | $ | - | $ | - | $ | - | $ | - | ||||||||||||||||||
(a) Sales include principal reductions.
MainStay VP MacKay Growth Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Common Stocks 98.1% † | ||||||||
| Aerospace & Defense 3.2% | ||||||||
| Boeing Co. | 14,497 | $ | 5,515,674 | |||||
| HEICO Corp., Class A | 3,846 | 374,254 | ||||||
| L3Harris Technologies, Inc. | 941 | 196,330 | ||||||
| Lockheed Martin Corp. | 20,652 | 8,055,519 | ||||||
| Northrop Grumman Corp. | 8,186 | 3,068,031 | ||||||
| Spirit AeroSystems Holdings, Inc., Class A | 49,708 | 4,087,986 | ||||||
| 21,297,794 | ||||||||
| Air Freight & Logistics 0.0% ‡ | ||||||||
| United Parcel Service, Inc., Class B | 2,017 | 241,677 | ||||||
| Airlines 0.3% | ||||||||
| Delta Air Lines, Inc. | 2,780 | 160,128 | ||||||
| United Airlines Holdings, Inc. (a) | 17,455 | 1,543,197 | ||||||
| 1,703,325 | ||||||||
| Banks 0.2% | ||||||||
| Signature Bank | 12,219 | 1,456,749 | ||||||
| Beverages 1.0% | ||||||||
| Coca-Cola Co. | 55,022 | 2,995,398 | ||||||
| PepsiCo., Inc. | 27,772 | 3,807,541 | ||||||
| 6,802,939 | ||||||||
| Biotechnology 2.8% | ||||||||
| AbbVie, Inc. | 94,693 | 7,170,154 | ||||||
| Alkermes PLC (a) | 82,717 | 1,613,809 | ||||||
| Amgen, Inc. | 14,242 | 2,755,969 | ||||||
| Exelixis, Inc. (a) | 13,503 | 238,801 | ||||||
| Gilead Sciences, Inc. | 34,413 | 2,181,096 | ||||||
| Incyte Corp. (a) | 52,214 | 3,875,845 | ||||||
| United Therapeutics Corp. (a) | 11,239 | 896,310 | ||||||
| 18,731,984 | ||||||||
| Capital Markets 1.0% | ||||||||
| LPL Financial Holdings, Inc. | 49,633 | 4,064,943 | ||||||
| Morningstar, Inc. | 3,272 | 478,170 | ||||||
| S&P Global, Inc. | 9,569 | 2,344,213 | ||||||
| 6,887,326 | ||||||||
| Chemicals 0.0% ‡ | ||||||||
| CF Industries Holdings, Inc. | 322 | 15,843 | ||||||
| Ecolab, Inc. | 1,131 | 223,983 | ||||||
| 239,826 | ||||||||
| Commercial Services & Supplies 0.5% | ||||||||
| Cintas Corp. | 4,262 | 1,142,642 | ||||||
| Clean Harbors, Inc. (a) | 28,121 | 2,170,941 | ||||||
| 3,313,583 | ||||||||
| Communications Equipment 1.0% | ||||||||
| Cisco Systems, Inc. | 133,947 | 6,618,321 | ||||||
| Construction & Engineering 0.3% | ||||||||
| Fluor Corp. | 95,609 | 1,829,000 | ||||||
| Consumer Finance 1.1% | ||||||||
| Discover Financial Services | 8,203 | 665,181 | ||||||
| SLM Corp. | 290,724 | 2,565,640 | ||||||
| Synchrony Financial | 115,481 | 3,936,747 | ||||||
| 7,167,568 | ||||||||
| Containers & Packaging 0.0% ‡ | ||||||||
| Berry Global Group, Inc. (a) | 754 | 29,610 | ||||||
| Diversified Consumer Services 0.3% | ||||||||
| H&R Block, Inc. | 67,903 | 1,603,869 | ||||||
| Electronic Equipment, Instruments & Components 1.5% | ||||||||
| Avnet, Inc. | 19,945 | 887,254 | ||||||
| CDW Corp. | 37,308 | 4,597,838 | ||||||
| Jabil, Inc. | 119,560 | 4,276,661 | ||||||
| 9,761,753 | ||||||||
| Entertainment 1.1% | ||||||||
| Netflix, Inc. (a) | 19,520 | 5,223,942 | ||||||
| Take-Two Interactive Software, Inc. (a) | 14,640 | 1,834,978 | ||||||
| 7,058,920 | ||||||||
| Equity Real Estate Investment Trusts 3.3% | ||||||||
| American Homes 4 Rent, Class A | 61,252 | 1,585,814 | ||||||
| American Tower Corp. | 36,355 | 8,039,181 | ||||||
| Brookfield Property REIT, Inc., Class A | 40,809 | 832,096 | ||||||
| Colony Capital, Inc. | 292,989 | 1,763,794 | ||||||
| Equity LifeStyle Properties, Inc. | 3,653 | 488,041 | ||||||
| OUTFRONT Media, Inc. | 82,607 | 2,294,822 | ||||||
| Public Storage | 9,503 | 2,330,801 | ||||||
| SBA Communications Corp. | 19,129 | 4,612,958 | ||||||
| 21,947,507 | ||||||||
| Food & Staples Retailing 1.8% | ||||||||
| Costco Wholesale Corp. | 21,594 | 6,221,447 | ||||||
| Sysco Corp. | 53,198 | 4,223,921 | ||||||
| U.S. Foods Holding Corp. (a) | 41,297 | 1,697,307 | ||||||
| 12,142,675 | ||||||||
| Food Products 1.0% | ||||||||
| Hershey Co. | 14,263 | 2,210,623 | ||||||
| Pilgrim's Pride Corp. (a) | 117,584 | 3,767,979 | ||||||
| TreeHouse Foods, Inc. (a) | 12,969 | 719,131 | ||||||
| 6,697,733 | ||||||||
| Health Care Equipment & Supplies 2.1% | ||||||||
| Align Technology, Inc. (a) | 2,465 | 445,968 | ||||||
| Cooper Cos., Inc. | 4,243 | 1,260,171 | ||||||
| Danaher Corp. | 276 | 39,863 | ||||||
| Hill-Rom Holdings, Inc. | 26,507 | 2,789,332 | ||||||
| Hologic, Inc. (a) | 33,210 | 1,676,773 | ||||||
| IDEXX Laboratories, Inc. (a) | 1,951 | 530,535 | ||||||
| Intuitive Surgical, Inc. (a) | 5,307 | 2,865,408 | ||||||
| STERIS PLC | 14,562 | 2,104,063 | ||||||
| Varian Medical Systems, Inc. (a) | 19,097 | 2,274,262 | ||||||
| 13,986,375 | ||||||||
| Health Care Providers & Services 3.2% | ||||||||
| AmerisourceBergen Corp. | 49,296 | 4,058,540 | ||||||
| Anthem, Inc. | 10,054 | 2,413,965 | ||||||
| Centene Corp. (a) | 37,612 | 1,627,095 | ||||||
| McKesson Corp. | 25,770 | 3,521,728 | ||||||
| UnitedHealth Group, Inc. | 43,233 | 9,395,396 | ||||||
| 21,016,724 | ||||||||
| Health Care Technology 1.0% | ||||||||
| Cerner Corp. | 66,487 | 4,532,419 | ||||||
| Veeva Systems, Inc., Class A (a) | 14,626 | 2,233,244 | ||||||
| 6,765,663 | ||||||||
| Hotels, Restaurants & Leisure 3.5% | ||||||||
| Aramark | 26,263 | 1,144,541 | ||||||
| Chipotle Mexican Grill, Inc. (a) | 2,840 | 2,386,935 | ||||||
| Darden Restaurants, Inc. | 34,830 | 4,117,603 | ||||||
| McDonald's Corp. | 5,717 | 1,227,497 | ||||||
| Starbucks Corp. | 94,482 | 8,354,098 | ||||||
| Wynn Resorts, Ltd. | 16,922 | 1,839,760 | ||||||
| Yum China Holdings, Inc. | 91,877 | 4,173,972 | ||||||
| 23,244,406 | ||||||||
| Household Durables 0.7% | ||||||||
| NVR, Inc. (a) | 1,131 | 4,204,323 | ||||||
| Roku, Inc. (a) | 1,837 | 186,933 | ||||||
| 4,391,256 | ||||||||
| Household Products 0.2% | ||||||||
| Procter & Gamble Co. | 10,422 | 1,296,288 | ||||||
| Insurance 2.5% | ||||||||
| American International Group, Inc. | 28,427 | 1,583,384 | ||||||
| American National Insurance Co. | 1,340 | 165,798 | ||||||
| Aon PLC | 29,177 | 5,647,792 | ||||||
| Athene Holding, Ltd., Class A (a) | 17,316 | 728,311 | ||||||
| Brighthouse Financial, Inc. (a) | 43,700 | 1,768,539 | ||||||
| Everest Re Group, Ltd. | 9,434 | 2,510,293 | ||||||
| Progressive Corp. | 55,922 | 4,319,975 | ||||||
| 16,724,092 | ||||||||
| Interactive Media & Services 8.8% | ||||||||
| Alphabet, Inc. (a) | ||||||||
| Class A | 11,917 | 14,552,325 | ||||||
| Class C | 13,867 | 16,903,873 | ||||||
| Facebook, Inc., Class A (a) | 130,027 | 23,155,208 | ||||||
| IAC/InterActiveCorp (a) | 7,189 | 1,566,986 | ||||||
| TripAdvisor, Inc. (a) | 12,036 | 465,553 | ||||||
| Twitter, Inc. (a) | 33,119 | 1,364,503 | ||||||
| 58,008,448 | ||||||||
| Internet & Direct Marketing Retail 6.8% | ||||||||
| Amazon.com, Inc. (a) | 20,187 | 35,042,815 | ||||||
| Booking Holdings, Inc. (a) | 205 | 402,335 | ||||||
| eBay, Inc. | 127,226 | 4,959,269 | ||||||
| Expedia Group, Inc. | 32,626 | 4,385,261 | ||||||
| 44,789,680 | ||||||||
| IT Services 9.3% | ||||||||
| Accenture PLC, Class A | 27,499 | 5,289,433 | ||||||
| Akamai Technologies, Inc. (a) | 47,116 | 4,305,460 | ||||||
| Booz Allen Hamilton Holding Corp. | 55,464 | 3,939,053 | ||||||
| CACI International, Inc., Class A (a) | 719 | 166,276 | ||||||
| Euronet Worldwide, Inc. (a) | 24,621 | 3,602,052 | ||||||
| Fidelity National Information Services, Inc. | 4,174 | 554,140 | ||||||
| Genpact, Ltd. | 46,643 | 1,807,416 | ||||||
| GoDaddy, Inc., Class A (a) | 38,763 | 2,557,583 | ||||||
| International Business Machines Corp. | 27,906 | 4,058,091 | ||||||
| Mastercard, Inc., Class A | 41,621 | 11,303,015 | ||||||
| PayPal Holdings, Inc. (a) | 88,066 | 9,122,757 | ||||||
| Square, Inc., Class A (a) | 15,408 | 954,526 | ||||||
| VeriSign, Inc. (a) | 545 | 102,803 | ||||||
| Visa, Inc., Class A | 80,652 | 13,872,950 | ||||||
| 61,635,555 | ||||||||
| Life Sciences Tools & Services 1.0% | ||||||||
| Bruker Corp. | 17,208 | 755,947 | ||||||
| Charles River Laboratories International, Inc. (a) | 11,211 | 1,484,000 | ||||||
| Illumina, Inc. (a) | 6,788 | 2,065,045 | ||||||
| IQVIA Holdings, Inc. (a) | 12,102 | 1,807,797 | ||||||
| PRA Health Sciences, Inc. (a) | 5,600 | 555,688 | ||||||
| Thermo Fisher Scientific, Inc. | 161 | 46,895 | ||||||
| 6,715,372 | ||||||||
| Machinery 0.0% ‡ | ||||||||
| Allison Transmission Holdings, Inc. | 3,754 | 176,626 | ||||||
| Media 1.9% | ||||||||
| Altice U.S.A., Inc., Class A (a) | 109,990 | 3,154,513 | ||||||
| Charter Communications, Inc., Class A (a) | 5,097 | 2,100,576 | ||||||
| Comcast Corp., Class A | 165,415 | 7,456,908 | ||||||
| 12,711,997 | ||||||||
| Multiline Retail 0.2% | ||||||||
| Target Corp. | 14,837 | 1,586,224 | ||||||
| Oil, Gas & Consumable Fuels 0.3% | ||||||||
| PBF Energy, Inc., Class A | 64,183 | 1,745,136 | ||||||
| Personal Products 0.4% | ||||||||
| Estee Lauder Cos., Inc., Class A | 11,819 | 2,351,390 | ||||||
| Pharmaceuticals 1.0% | ||||||||
| Eli Lilly & Co. | 7,883 | 881,556 | ||||||
| Merck & Co., Inc. | 70,782 | 5,958,429 | ||||||
| 6,839,985 | ||||||||
| Professional Services 1.1% | ||||||||
| ManpowerGroup, Inc. | 24,125 | 2,032,290 | ||||||
| Nielsen Holdings PLC | 167,234 | 3,553,722 | ||||||
| TransUnion | 22,461 | 1,821,812 | ||||||
| 7,407,824 | ||||||||
| Road & Rail 1.2% | ||||||||
| Union Pacific Corp. | 47,595 | 7,709,438 | ||||||
| Semiconductors & Semiconductor Equipment 5.9% | ||||||||
| Applied Materials, Inc. | 51,272 | 2,558,473 | ||||||
| Broadcom, Inc. | 30,504 | 8,421,239 | ||||||
| Cypress Semiconductor Corp. | 50,867 | 1,187,236 | ||||||
| Entegris, Inc. | 80,367 | 3,782,071 | ||||||
| KLA Corp. | 718 | 114,485 | ||||||
| Lam Research Corp. | 2,462 | 568,993 | ||||||
| Micron Technology, Inc. (a) | 75,993 | 3,256,300 | ||||||
| NVIDIA Corp. | 16,750 | 2,915,673 | ||||||
| QUALCOMM, Inc. | 102,607 | 7,826,862 | ||||||
| Teradyne, Inc. | 46,928 | 2,717,600 | ||||||
| Texas Instruments, Inc. | 42,300 | 5,466,852 | ||||||
| 38,815,784 | ||||||||
| Software 15.6% | ||||||||
| Adobe, Inc. (a) | 35,228 | 9,731,735 | ||||||
| Cadence Design Systems, Inc. (a) | 65,248 | 4,311,588 | ||||||
| CDK Global, Inc. | 85,361 | 4,105,010 | ||||||
| Dropbox, Inc., Class A (a) | 195,930 | 3,951,908 | ||||||
| Fortinet, Inc. (a) | 46,552 | 3,573,332 | ||||||
| Intuit, Inc. | 24,764 | 6,585,738 | ||||||
| LogMeIn, Inc. | 31,336 | 2,223,603 | ||||||
| Microsoft Corp. | 376,573 | 52,354,944 | ||||||
| Oracle Corp. | 38,670 | 2,128,010 | ||||||
| Palo Alto Networks, Inc. (a) | 7,291 | 1,486,125 | ||||||
| salesforce.com, Inc. (a) | 37,982 | 5,638,048 | ||||||
| ServiceNow, Inc. (a) | 11,546 | 2,930,952 | ||||||
| Symantec Corp. | 57,599 | 1,361,064 | ||||||
| Synopsys, Inc. (a) | 12,512 | 1,717,272 | ||||||
| VMware, Inc., Class A | 9,673 | 1,451,530 | ||||||
| 103,550,859 | ||||||||
| Specialty Retail 2.9% | ||||||||
| AutoNation, Inc. (a) | 55,410 | 2,809,287 | ||||||
| AutoZone, Inc. (a) | 4,325 | 4,690,982 | ||||||
| Best Buy Co., Inc. | 55,888 | 3,855,713 | ||||||
| Home Depot, Inc. | 13,117 | 3,043,406 | ||||||
| Lowe's Cos., Inc. | 34,848 | 3,831,886 | ||||||
| Williams-Sonoma, Inc. | 11,210 | 762,056 | ||||||
| 18,993,330 | ||||||||
| Technology Hardware, Storage & Peripherals 6.7% | ||||||||
| Apple, Inc. | 198,006 | 44,347,404 | ||||||
| NCR Corp. (a) | 442 | 13,949 | ||||||
| 44,361,353 | ||||||||
| Textiles, Apparel & Luxury Goods 1.4% | ||||||||
| NIKE, Inc., Class B | 87,854 | 8,251,247 | ||||||
| Skechers U.S.A., Inc., Class A (a) | 17,142 | 640,254 | ||||||
| 8,891,501 | ||||||||
| Total Common Stocks (Cost $553,408,169) | 649,247,465 | |||||||
| Exchange-Traded Fund 2.0% | ||||||||
| iShares Russell 1000 Growth ETF | 83,491 | 13,327,668 | ||||||
| Total Exchange-Traded Funds (Cost $13,566,423) | 13,327,668 | |||||||
| Short-Term Investment 0.0%‡ | ||||||||
| Affiliated Investment Company 0.0% ‡ | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (b) | 25,103 | 25,103 | ||||||
| Total Short-Term Investment (Cost $25,103) | 25,103 | |||||||
| Total Investments (Cost $566,999,695) | 100.1 | % | 662,600,236 | |||||
| Other Assets, Less Liabilities | (0.1 | ) | (350,391 | ) | ||||
| Net Assets | 100.0 | % | $ | 662,249,845 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | Non-income producing security. |
| (b) | Current yield as of September 30, 2019. |
The following abbreviation is used in the preceding pages:
| ETF | —Exchange-Traded Fund |
The
following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's
assets:
| Quoted Prices in Active Markets for Identical Assets | Significant Other Observable Inputs | Significant Unobservable Inputs | ||||||||||||||
| Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Common Stocks | $ | 649,247,465 | $ | — | $ | — | $ | 649,247,465 | ||||||||
| Exchange-Traded Fund | 13,327,668 | — | — | 13,327,668 | ||||||||||||
| Short-Term Investment | ||||||||||||||||
| Affiliated Investment Company | 25,103 | — | — | 25,103 | ||||||||||||
| Total Investments in Securities | $ | 662,600,236 | $ | — | $ | — | $ | 662,600,236 | ||||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP MacKay High Yield Corporate Bond Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Principal Amount | Value | |||||||
| Long-Term Bonds 95.4% † | ||||||||
| Convertible Bonds 0.6% | ||||||||
| Auto Parts & Equipment 0.3% | ||||||||
| Exide Technologies 7.25% (7.25% PIK), due 4/30/27 (a)(b)(c)(d)(e) | $ | 20,533,522 | $ | 8,008,074 | ||||
| Real Estate Investment Trusts 0.3% | ||||||||
| VEREIT, Inc. 3.75%, due 12/15/20 | 10,135,000 | 10,278,942 | ||||||
| Total Convertible Bonds (Cost $18,772,776) | 18,287,016 | |||||||
| Corporate Bonds 93.3% | ||||||||
| Advertising 1.2% | ||||||||
| Lamar Media Corp. | ||||||||
| 5.375%, due 1/15/24 | 5,447,000 | 5,589,984 | ||||||
| 5.75%, due 2/1/26 | 8,465,000 | 8,949,621 | ||||||
| Outfront Media Capital LLC / Outfront Media Capital Corp. | ||||||||
| 5.00%, due 8/15/27 (c) | 8,000,000 | 8,396,800 | ||||||
| 5.625%, due 2/15/24 | 12,030,000 | 12,375,862 | ||||||
| 35,312,267 | ||||||||
| Aerospace & Defense 1.6% | ||||||||
| F-Brasile S.p.A. / F-Brasile U.S. LLC 7.375%, due 8/15/26 (c) | 5,287,000 | 5,498,480 | ||||||
| TransDigm UK Holdings PLC 6.875%, due 5/15/26 | 7,637,000 | 8,209,775 | ||||||
| TransDigm, Inc. | ||||||||
| 6.00%, due 7/15/22 | 2,760,000 | 2,801,400 | ||||||
| 6.25%, due 3/15/26 (c) | 19,950,000 | 21,421,312 | ||||||
| 6.50%, due 7/15/24 | 3,050,000 | 3,145,313 | ||||||
| Triumph Group, Inc. 7.75%, due 8/15/25 | 5,695,000 | 5,746,540 | ||||||
| 46,822,820 | ||||||||
| Auto Manufacturers 1.4% | ||||||||
| BCD Acquisition, Inc. 9.625%, due 9/15/23 (c) | 6,410,000 | 6,554,225 | ||||||
| Ford Holdings LLC 9.30%, due 3/1/30 | 6,970,000 | 8,712,869 | ||||||
| J.B. Poindexter & Company, Inc. 7.125%, due 4/15/26 (c) | 8,055,000 | 8,336,925 | ||||||
| McLaren Finance PLC 5.75%, due 8/1/22 (c) | 8,170,000 | 7,789,278 | ||||||
| Navistar International Corp. 6.625%, due 11/1/25 (c) | 3,581,000 | 3,634,715 | ||||||
| Wabash National Corp. 5.50%, due 10/1/25 (c) | 6,967,000 | 6,845,078 | ||||||
| 41,873,090 | ||||||||
| Auto Parts & Equipment 3.3% | ||||||||
| Adient Global Holdings, Ltd. 4.875%, due 8/15/26 (c) | 6,000,000 | 4,875,000 | ||||||
| Adient U.S. LLC 7.00%, due 5/15/26 (c) | 4,000,000 | 4,180,000 | ||||||
| American Axle & Manufacturing, Inc. | ||||||||
| 6.25%, due 4/1/25 | 4,000,000 | 3,885,000 | ||||||
| 6.25%, due 3/15/26 | 1,470,000 | 1,403,850 | ||||||
| 6.50%, due 4/1/27 (f) | 3,315,000 | 3,157,537 | ||||||
| Dana Financing Luxembourg S.A.R.L. 5.75%, due 4/15/25 (c) | 4,265,000 | 4,353,925 | ||||||
| Exide International Holdings, L.P. 10.75% (6.25% Cash and 4.50% PIK), due 10/31/21 (a)(b)(c)(d)(e) | 9,481,532 | 9,272,938 | ||||||
| Exide Technologies (a)(b)(c)(d)(e) | ||||||||
| 11.00% (3.00% Cash and 8.00% PIK), due 10/31/24 | 23,703,830 | 20,408,998 | ||||||
| 11.00% (3.00% Cash and 8.00% PIK), due 10/31/24 | 9,847,744 | 7,632,002 | ||||||
| IHO Verwaltungs GmbH (a)(c) | ||||||||
| 4.75% (4.75% Cash or 5.50% PIK), due 9/15/26 | 7,143,000 | 7,000,140 | ||||||
| 6.00% (6.00% Cash or 6.75% PIK), due 5/15/27 | 6,116,000 | 6,192,450 | ||||||
| 6.375% (6.375% Cash or 7.125% PIK), due 5/15/29 | 9,685,000 | 9,781,850 | ||||||
| Meritor, Inc. 6.25%, due 2/15/24 | 2,000,000 | 2,057,500 | ||||||
| Nexteer Automotive Group, Ltd. 5.875%, due 11/15/21 (c) | 6,640,000 | 6,754,988 | ||||||
| Tenneco, Inc. 5.00%, due 7/15/26 | 6,982,000 | 5,707,785 | ||||||
| Titan International, Inc. 6.50%, due 11/30/23 | 1,320,000 | 1,049,400 | ||||||
| 97,713,363 | ||||||||
| Building Materials 1.4% | ||||||||
| Advanced Drainage Systems, Inc. 5.00%, due 9/30/27 (c) | 1,740,000 | 1,763,908 | ||||||
| BMC East LLC 5.50%, due 10/1/24 (c) | 1,000,000 | 1,039,088 | ||||||
| James Hardie International Finance DAC (c) | ||||||||
| 4.75%, due 1/15/25 | 3,300,000 | 3,399,000 | ||||||
| 5.00%, due 1/15/28 | 6,430,000 | 6,671,125 | ||||||
| Patrick Industries, Inc. 7.50%, due 10/15/27 (c) | 5,730,000 | 5,902,473 | ||||||
| Summit Materials LLC / Summit Materials Finance Corp. | ||||||||
| 5.125%, due 6/1/25 (c) | 3,270,000 | 3,351,750 | ||||||
| 6.125%, due 7/15/23 | 12,080,000 | 12,291,400 | ||||||
| 6.50%, due 3/15/27 (c) | 5,135,000 | 5,481,612 | ||||||
| 39,900,356 | ||||||||
| Chemicals 2.2% | ||||||||
| Blue Cube Spinco LLC | ||||||||
| 9.75%, due 10/15/23 | 10,370,000 | 11,303,300 | ||||||
| 10.00%, due 10/15/25 | 7,000,000 | 7,835,362 | ||||||
| Kissner Holdings, L.P. / Kissner Milling Co., Ltd. / BSC Holding, Inc. / Kissner USA 8.375%, due 12/1/22 (c) | 6,635,000 | 6,916,988 | ||||||
| Neon Holdings, Inc. 10.125%, due 4/1/26 (c) | 3,400,000 | 3,425,500 | ||||||
| NOVA Chemicals Corp. 4.875%, due 6/1/24 (c) | 2,635,000 | 2,709,702 | ||||||
| Olin Corp. | ||||||||
| 5.50%, due 8/15/22 | 3,261,000 | 3,440,355 | ||||||
| 5.625%, due 8/1/29 | 8,120,000 | 8,447,236 | ||||||
| PolyOne Corp. 5.25%, due 3/15/23 | 8,976,000 | 9,682,860 | ||||||
| TPC Group, Inc. 10.50%, due 8/1/24 (c) | 11,178,000 | 11,653,065 | ||||||
| 65,414,368 | ||||||||
| Coal 0.1% | ||||||||
| Natural Resource Partners LP / NRP Finance Corp. 9.125%, due 6/30/25 (c) | 3,465,000 | 3,322,069 | ||||||
| Commercial Services 4.8% | ||||||||
| Ashtead Capital, Inc. (c) | ||||||||
| 4.375%, due 8/15/27 | 2,500,000 | 2,571,875 | ||||||
| 5.25%, due 8/1/26 | 1,500,000 | 1,591,875 | ||||||
| 5.625%, due 10/1/24 | 5,645,000 | 5,814,350 | ||||||
| Cimpress N.V. 7.00%, due 6/15/26 (c) | 6,692,000 | 6,908,152 | ||||||
| Flexi-Van Leasing, Inc. 10.00%, due 2/15/23 (c) | 8,085,000 | 7,903,087 | ||||||
| Gartner, Inc. 5.125%, due 4/1/25 (c) | 14,007,000 | 14,654,824 | ||||||
| Graham Holdings Co. 5.75%, due 6/1/26 (c) | 10,288,000 | 11,059,600 | ||||||
| Harsco Corp. 5.75%, due 7/31/27 (c) | 4,970,000 | 5,175,261 | ||||||
| IHS Markit, Ltd. (c) | ||||||||
| 4.75%, due 2/15/25 | 4,580,000 | 4,969,300 | ||||||
| 5.00%, due 11/1/22 | 20,705,000 | 22,053,581 | ||||||
| Jaguar Holding Co. II / Pharmaceutical Product Development LLC 6.375%, due 8/1/23 (c) | 4,615,000 | 4,770,756 | ||||||
| Matthews International Corp. 5.25%, due 12/1/25 (c) | 3,865,000 | 3,662,088 | ||||||
| Nielsen Co. Luxembourg S.A.R.L. (c) | ||||||||
| 5.00%, due 2/1/25 | 5,835,000 | 5,762,062 | ||||||
| 5.50%, due 10/1/21 | 1,340,000 | 1,345,025 | ||||||
| Nielsen Finance LLC / Nielsen Finance Co. | ||||||||
| 4.50%, due 10/1/20 | 2,000,000 | 2,005,180 | ||||||
| 5.00%, due 4/15/22 (c) | 20,569,000 | 20,626,593 | ||||||
| Ritchie Bros. Auctioneers, Inc. 5.375%, due 1/15/25 (c) | 2,800,000 | 2,922,500 | ||||||
| Service Corp. International 5.125%, due 6/1/29 | 701,000 | 749,194 | ||||||
| United Rentals North America, Inc. | ||||||||
| 4.875%, due 1/15/28 | 4,560,000 | 4,742,400 | ||||||
| 5.25%, due 1/15/30 | 5,152,000 | 5,399,966 | ||||||
| 5.50%, due 5/15/27 | 2,239,000 | 2,373,340 | ||||||
| 6.50%, due 12/15/26 | 3,420,000 | 3,726,090 | ||||||
| 140,787,099 | ||||||||
| Computers 0.2% | ||||||||
| NCR Corp. 6.375%, due 12/15/23 | 6,300,000 | 6,473,250 | ||||||
| Cosmetics & Personal Care 0.5% | ||||||||
| Edgewell Personal Care Co. | ||||||||
| 4.70%, due 5/19/21 | 6,235,000 | 6,375,287 | ||||||
| 4.70%, due 5/24/22 | 7,320,000 | 7,551,678 | ||||||
| 13,926,965 | ||||||||
| Distribution & Wholesale 0.1% | ||||||||
| H&E Equipment Services, Inc. 5.625%, due 9/1/25 | 1,850,000 | 1,904,390 | ||||||
| Diversified Financial Services 2.8% | ||||||||
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
| 4.625%, due 10/30/20 | 1,740,000 | 1,781,203 | ||||||
| 5.00%, due 10/1/21 | 3,415,000 | 3,590,548 | ||||||
| Allied Universal Holdco LLC / Allied Universal Finance Corp. 9.75%, due 7/15/27 (c) | 5,710,000 | 5,950,505 | ||||||
| Credit Acceptance Corp. | ||||||||
| 6.125%, due 2/15/21 | 3,700,000 | 3,709,250 | ||||||
| 6.625%, due 3/15/26 (c) | 6,990,000 | 7,479,300 | ||||||
| 7.375%, due 3/15/23 | 6,530,000 | 6,774,875 | ||||||
| Jefferies Finance LLC / JFIN Co-Issuer Corp. (c) | ||||||||
| 6.25%, due 6/3/26 | 5,000,000 | 5,162,500 | ||||||
| 7.25%, due 8/15/24 | 3,955,000 | 3,940,169 | ||||||
| Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. (c) | ||||||||
| 5.25%, due 3/15/22 | 6,685,000 | 6,958,083 | ||||||
| 5.875%, due 8/1/21 | 8,560,000 | 8,695,676 | ||||||
| LPL Holdings, Inc. 5.75%, due 9/15/25 (c) | 8,510,000 | 8,850,400 | ||||||
| Ocwen Loan Servicing LLC 8.375%, due 11/15/22 (c) | 3,210,000 | 2,680,350 | ||||||
| Oxford Finance LLC / Oxford Finance Co-Issuer II, Inc. 6.375%, due 12/15/22 (c) | 5,480,000 | 5,699,200 | ||||||
| VFH Parent LLC / Orchestra Co-Issuer, Inc. 6.75%, due 6/15/22 (c) | 6,980,000 | 7,219,414 | ||||||
| Werner FinCo, L.P. / Werner FinCo, Inc. 8.75%, due 7/15/25 (c) | 4,250,000 | 3,633,750 | ||||||
| 82,125,223 | ||||||||
| Electric 1.1% | ||||||||
| AES Corp. 5.50%, due 4/15/25 | 2,000,000 | 2,077,500 | ||||||
| Calpine Corp. (c) | ||||||||
| 5.875%, due 1/15/24 | 6,485,000 | 6,630,913 | ||||||
| 6.00%, due 1/15/22 | 8,255,000 | 8,282,654 | ||||||
| Keystone Power Pass-Through Holders LLC / Conemaugh Power Pass-Through Holders 13.00% (7.625% Cash or 8.375% PIK), due 6/1/24 (a)(c)(e) | 2,706,312 | 2,787,501 | ||||||
| NRG Energy, Inc. 6.625%, due 1/15/27 | 7,000,000 | 7,583,450 | ||||||
| Talen Energy Supply LLC 6.625%, due 1/15/28 (c) | 2,000,000 | 1,965,000 | ||||||
| Vistra Operations Co. LLC 5.00%, due 7/31/27 (c) | 3,300,000 | 3,397,944 | ||||||
| 32,724,962 | ||||||||
| Electrical Components & Equipment 0.4% | ||||||||
| Energizer Holdings, Inc. 7.75%, due 1/15/27 (c) | 4,555,000 | 5,075,181 | ||||||
| WESCO Distribution, Inc. 5.375%, due 12/15/21 | 7,160,000 | 7,204,750 | ||||||
| 12,279,931 | ||||||||
| Electrical Equipment 0.2% | ||||||||
| Resideo Funding, Inc. 6.125%, due 11/1/26 (c) | 5,469,000 | 5,769,795 | ||||||
| Electronics 0.2% | ||||||||
| Itron, Inc. 5.00%, due 1/15/26 (c) | 6,365,000 | 6,557,860 | ||||||
| Engineering & Construction 0.4% | ||||||||
| Weekley Homes LLC / Weekley Finance Corp. | ||||||||
| 6.00%, due 2/1/23 | 7,219,000 | 7,198,065 | ||||||
| 6.625%, due 8/15/25 | 4,095,000 | 4,105,237 | ||||||
| 11,303,302 | ||||||||
| Entertainment 1.6% | ||||||||
| Boyne USA, Inc. 7.25%, due 5/1/25 (c) | 3,950,000 | 4,303,920 | ||||||
| Churchill Downs, Inc. (c) | ||||||||
| 4.75%, due 1/15/28 | 5,387,000 | 5,521,675 | ||||||
| 5.50%, due 4/1/27 | 7,890,000 | 8,372,079 | ||||||
| International Game Technology PLC 6.25%, due 1/15/27 (c) | 7,105,000 | 7,868,787 | ||||||
| Jacobs Entertainment, Inc. 7.875%, due 2/1/24 (c) | 2,193,000 | 2,341,028 | ||||||
| Merlin Entertainments PLC 5.75%, due 6/15/26 (c) | 9,050,000 | 9,361,094 | ||||||
| Twin River Worldwide Holdings, Inc. 6.75%, due 6/1/27 (c) | 8,100,000 | 8,505,000 | ||||||
| 46,273,583 | ||||||||
| Food 2.0% | ||||||||
| B&G Foods, Inc. | ||||||||
| 4.625%, due 6/1/21 | 2,190,000 | 2,190,438 | ||||||
| 5.25%, due 4/1/25 | 5,767,000 | 5,889,549 | ||||||
| C&S Group Enterprises LLC 5.375%, due 7/15/22 (c) | 17,633,000 | 17,831,371 | ||||||
| Land O'Lakes Capital Trust I 7.45%, due 3/15/28 (c) | 5,130,000 | 5,514,750 | ||||||
| Land O'Lakes, Inc. 6.00%, due 11/15/22 (c) | 7,880,000 | 8,353,460 | ||||||
| Performance Food Group, Inc. 5.50%, due 10/15/27 (c) | 4,610,000 | 4,852,025 | ||||||
| Post Holdings, Inc. 5.50%, due 12/15/29 (c) | 2,000,000 | 2,085,000 | ||||||
| Simmons Foods, Inc. 7.75%, due 1/15/24 (c) | 1,400,000 | 1,515,500 | ||||||
| TreeHouse Foods, Inc. 6.00%, due 2/15/24 (c) | 9,045,000 | 9,384,188 | ||||||
| 57,616,281 | ||||||||
| Forest Products & Paper 1.3% | ||||||||
| Mercer International, Inc. | ||||||||
| 5.50%, due 1/15/26 | 1,250,000 | 1,203,125 | ||||||
| 6.50%, due 2/1/24 | 6,005,000 | 6,155,125 | ||||||
| 7.375%, due 1/15/25 | 4,000,000 | 4,166,400 | ||||||
| 7.375%, due 1/15/25 (c) | 1,000,000 | 1,041,600 | ||||||
| 7.75%, due 12/1/22 | 104,000 | 108,030 | ||||||
| Schweitzer-Mauduit International, Inc. 6.875%, due 10/1/26 (c) | 5,900,000 | 6,239,250 | ||||||
| Smurfit Kappa Treasury Funding DAC 7.50%, due 11/20/25 | 15,843,000 | 19,170,030 | ||||||
| 38,083,560 | ||||||||
| Gas 1.1% | ||||||||
| AmeriGas Partners, L.P. / AmeriGas Finance Corp. | ||||||||
| 5.50%, due 5/20/25 | 2,050,000 | 2,201,187 | ||||||
| 5.625%, due 5/20/24 | 7,385,000 | 7,906,566 | ||||||
| 5.75%, due 5/20/27 | 6,430,000 | 6,928,325 | ||||||
| 5.875%, due 8/20/26 | 8,995,000 | 9,863,467 | ||||||
| Rockpoint Gas Storage Canada, Ltd. 7.00%, due 3/31/23 (c) | 5,100,000 | 5,125,500 | ||||||
| 32,025,045 | ||||||||
| Health Care - Products 0.6% | ||||||||
| Hill-Rom Holdings, Inc. (c) | ||||||||
| 4.375%, due 9/15/27 | 2,500,000 | 2,555,875 | ||||||
| 5.75%, due 9/1/23 | 4,705,000 | 4,830,624 | ||||||
| Hologic, Inc. (c) | ||||||||
| 4.375%, due 10/15/25 | 4,080,000 | 4,182,000 | ||||||
| 4.625%, due 2/1/28 | 3,000,000 | 3,108,750 | ||||||
| Teleflex, Inc. 4.625%, due 11/15/27 | 2,275,000 | 2,374,531 | ||||||
| 17,051,780 | ||||||||
| Health Care - Services 4.8% | ||||||||
| Acadia Healthcare Co., Inc. | ||||||||
| 5.625%, due 2/15/23 | 7,087,000 | 7,219,881 | ||||||
| 6.50%, due 3/1/24 | 2,500,000 | 2,600,000 | ||||||
| AHP Health Partners, Inc. 9.75%, due 7/15/26 (c) | 4,620,000 | 4,898,041 | ||||||
| Catalent Pharma Solutions, Inc. (c) | ||||||||
| 4.875%, due 1/15/26 | 4,890,000 | 5,030,588 | ||||||
| 5.00%, due 7/15/27 | 220,000 | 228,250 | ||||||
| Centene Corp. | ||||||||
| 4.75%, due 1/15/25 | 4,605,000 | 4,727,033 | ||||||
| 5.375%, due 6/1/26 (c) | 3,885,000 | 4,064,681 | ||||||
| 5.625%, due 2/15/21 | 5,305,000 | 5,380,384 | ||||||
| 6.125%, due 2/15/24 | 6,315,000 | 6,568,863 | ||||||
| Charles River Laboratories International, Inc. 5.50%, due 4/1/26 (c) | 6,680,000 | 7,105,716 | ||||||
| Eagle Holding Co. II LLC 7.625% (7.625% Cash or 8.317% PIK), due 5/15/22 (a)(c) | 3,000,000 | 3,022,500 | ||||||
| Encompass Health Corp. | ||||||||
| 4.75%, due 2/1/30 | 4,100,000 | 4,142,640 | ||||||
| 5.75%, due 11/1/24 | 6,398,000 | 6,464,859 | ||||||
| HCA, Inc. | ||||||||
| 5.00%, due 3/15/24 | 1,536,000 | 1,677,233 | ||||||
| 5.25%, due 4/15/25 | 4,220,000 | 4,693,636 | ||||||
| 5.25%, due 6/15/26 | 1,675,000 | 1,865,141 | ||||||
| 5.375%, due 2/1/25 | 7,420,000 | 8,106,350 | ||||||
| 5.625%, due 9/1/28 | 2,090,000 | 2,328,887 | ||||||
| 5.875%, due 5/1/23 | 4,800,000 | 5,280,000 | ||||||
| 5.875%, due 2/15/26 | 9,015,000 | 10,076,967 | ||||||
| 7.50%, due 2/15/22 | 1,570,000 | 1,740,031 | ||||||
| 7.50%, due 11/6/33 | 6,000,000 | 7,200,000 | ||||||
| 7.58%, due 9/15/25 | 1,770,000 | 2,088,600 | ||||||
| 7.69%, due 6/15/25 | 9,195,000 | 11,056,987 | ||||||
| 8.36%, due 4/15/24 | 1,020,000 | 1,214,035 | ||||||
| RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc. 9.75%, due 12/1/26 (c) | 10,055,000 | 10,757,844 | ||||||
| Tenet Healthcare Corp. 8.125%, due 4/1/22 | 3,380,000 | 3,655,639 | ||||||
| WellCare Health Plans, Inc. | ||||||||
| 5.25%, due 4/1/25 | 4,455,000 | 4,638,769 | ||||||
| 5.375%, due 8/15/26 (c) | 2,380,000 | 2,540,174 | ||||||
| 140,373,729 | ||||||||
| Home Builders 2.6% | ||||||||
| Ashton Woods USA LLC / Ashton Woods Finance Co. (c) | ||||||||
| 6.75%, due 8/1/25 | 2,237,000 | 2,231,408 | ||||||
| 9.875%, due 4/1/27 | 3,230,000 | 3,528,775 | ||||||
| Brookfield Residential Properties, Inc. (c) | ||||||||
| 6.375%, due 5/15/25 | 3,520,000 | 3,590,400 | ||||||
| 6.50%, due 12/15/20 | 12,995,000 | 12,998,898 | ||||||
| Brookfield Residential Properties, Inc. / Brookfield Residential U.S. Corp. (c) | ||||||||
| 6.125%, due 7/1/22 | 4,100,000 | 4,163,976 | ||||||
| 6.25%, due 9/15/27 | 4,855,000 | 4,879,275 | ||||||
| Century Communities, Inc. | ||||||||
| 5.875%, due 7/15/25 | 3,100,000 | 3,195,635 | ||||||
| 6.75%, due 6/1/27 (c) | 6,775,000 | 7,276,350 | ||||||
| Installed Building Products, Inc. 5.75%, due 2/1/28 (c) | 5,230,000 | 5,393,437 | ||||||
| M/I Homes, Inc. 5.625%, due 8/1/25 | 815,000 | 839,450 | ||||||
| Mattamy Group Corp. 6.50%, due 10/1/25 (c) | 3,225,000 | 3,386,250 | ||||||
| New Home Co., Inc. 7.25%, due 4/1/22 | 5,400,000 | 5,076,000 | ||||||
| Shea Homes, L.P. / Shea Homes Funding Corp. (c) | ||||||||
| 5.875%, due 4/1/23 | 2,445,000 | 2,500,013 | ||||||
| 6.125%, due 4/1/25 | 11,175,000 | 11,454,375 | ||||||
| Taylor Morrison Communities, Inc. 5.75%, due 1/15/28 (c) | 2,040,000 | 2,213,400 | ||||||
| Williams Scotsman International, Inc. 7.875%, due 12/15/22 (c) | 4,935,000 | 5,157,075 | ||||||
| 77,884,717 | ||||||||
| Household Products & Wares 0.7% | ||||||||
| Prestige Brands, Inc. 6.375%, due 3/1/24 (c) | 12,915,000 | 13,431,600 | ||||||
| Spectrum Brands, Inc. 5.75%, due 7/15/25 | 5,540,000 | 5,780,935 | ||||||
| 19,212,535 | ||||||||
| Insurance 1.3% | ||||||||
| American Equity Investment Life Holding Co. 5.00%, due 6/15/27 | 8,145,000 | 8,559,723 | ||||||
| Fairfax Financial Holdings, Ltd. 8.30%, due 4/15/26 | 4,645,000 | 5,767,319 | ||||||
| Fidelity & Guaranty Life Holdings, Inc. 5.50%, due 5/1/25 (c) | 5,000,000 | 5,362,500 | ||||||
| HUB International, Ltd. 7.00%, due 5/1/26 (c) | 3,000,000 | 3,081,600 | ||||||
| MGIC Investment Corp. 5.75%, due 8/15/23 | 9,545,000 | 10,439,844 | ||||||
| USI, Inc. 6.875%, due 5/1/25 (c) | 5,815,000 | 5,902,109 | ||||||
| 39,113,095 | ||||||||
| Internet 2.5% | ||||||||
| Cogent Communications Group, Inc. (c) | ||||||||
| 5.375%, due 3/1/22 | 2,870,000 | 2,984,800 | ||||||
| 5.625%, due 4/15/21 | 11,910,000 | 12,014,212 | ||||||
| Netflix, Inc. | ||||||||
| 4.875%, due 4/15/28 | 1,692,000 | 1,721,525 | ||||||
| 5.375%, due 11/15/29 (c) | 2,500,000 | 2,606,250 | ||||||
| 5.50%, due 2/15/22 | 7,455,000 | 7,902,300 | ||||||
| 5.75%, due 3/1/24 | 10,899,000 | 11,879,910 | ||||||
| 5.875%, due 2/15/25 | 3,320,000 | 3,645,825 | ||||||
| 5.875%, due 11/15/28 | 8,800,000 | 9,559,440 | ||||||
| Symantec Corp. 5.00%, due 4/15/25 (c) | 2,489,000 | 2,516,423 | ||||||
| Uber Technologies, Inc. 7.50%, due 9/15/27 (c) | 5,115,000 | 5,102,213 | ||||||
| VeriSign, Inc. | ||||||||
| 4.75%, due 7/15/27 | 4,900,000 | 5,132,750 | ||||||
| 5.25%, due 4/1/25 | 9,025,000 | 9,853,495 | ||||||
| 74,919,143 | ||||||||
| Investment Companies 1.0% | ||||||||
| Compass Group Diversified Holdings LLC 8.00%, due 5/1/26 (c) | 4,140,000 | 4,378,050 | ||||||
| FS Energy & Power Fund 7.50%, due 8/15/23 (c) | 17,875,000 | 18,053,750 | ||||||
| Icahn Enterprises, L.P. / Icahn Enterprises Finance Corp. 6.25%, due 5/15/26 (c) | 7,290,000 | 7,645,387 | ||||||
| 30,077,187 | ||||||||
| Iron & Steel 1.3% | ||||||||
| Allegheny Ludlum LLC 6.95%, due 12/15/25 | 7,400,000 | 7,696,000 | ||||||
| Allegheny Technologies, Inc. 7.875%, due 8/15/23 | 1,928,000 | 2,091,437 | ||||||
| Big River Steel LLC / BRS Finance Corp. 7.25%, due 9/1/25 (c) | 19,084,000 | 20,133,620 | ||||||
| Mineral Resources, Ltd. 8.125%, due 5/1/27 (c) | 8,630,000 | 8,882,859 | ||||||
| 38,803,916 | ||||||||
| Leisure Time 1.5% | ||||||||
| Carlson Travel, Inc. (c) | ||||||||
| 6.75%, due 12/15/23 (f) | 21,868,000 | 22,360,030 | ||||||
| 9.50%, due 12/15/24 | 15,253,000 | 15,367,397 | ||||||
| Vista Outdoor, Inc. 5.875%, due 10/1/23 | 8,369,000 | 7,783,170 | ||||||
| 45,510,597 | ||||||||
| Lodging 2.4% | ||||||||
| Boyd Gaming Corp. | ||||||||
| 6.00%, due 8/15/26 | 9,000,000 | 9,494,167 | ||||||
| 6.375%, due 4/1/26 | 1,935,000 | 2,051,100 | ||||||
| Choice Hotels International, Inc. 5.75%, due 7/1/22 | 8,283,000 | 8,924,933 | ||||||
| Hilton Domestic Operating Co., Inc. | ||||||||
| 4.875%, due 1/15/30 (c) | 8,000,000 | 8,446,800 | ||||||
| 5.125%, due 5/1/26 | 10,940,000 | 11,487,000 | ||||||
| Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp. 6.75%, due 11/15/21 (c) | 6,500,000 | 6,638,125 | ||||||
| Marriott Ownership Resorts, Inc. / ILG LLC 6.50%, due 9/15/26 | 7,481,000 | 8,060,778 | ||||||
| MGM Resorts International | ||||||||
| 5.50%, due 4/15/27 | 6,405,000 | 7,018,919 | ||||||
| 5.75%, due 6/15/25 | 7,680,000 | 8,459,904 | ||||||
| 70,581,726 | ||||||||
| Machinery - Diversified 0.9% | ||||||||
| Briggs & Stratton Corp. 6.875%, due 12/15/20 | 5,030,000 | 5,143,175 | ||||||
| Colfax Corp. (c) | ||||||||
| 6.00%, due 2/15/24 | 4,540,000 | 4,804,909 | ||||||
| 6.375%, due 2/15/26 | 4,600,000 | 4,949,312 | ||||||
| Stevens Holding Co., Inc. 6.125%, due 10/1/26 (c) | 4,724,000 | 5,025,155 | ||||||
| Tennant Co. 5.625%, due 5/1/25 | 6,770,000 | 7,040,800 | ||||||
| 26,963,351 | ||||||||
| Media 6.9% | ||||||||
| Altice Financing S.A. 7.50%, due 5/15/26 (c) | 4,965,000 | 5,275,263 | ||||||
| Altice France S.A. (c) | ||||||||
| 6.25%, due 5/15/24 | 1,459,000 | 1,505,688 | ||||||
| 7.375%, due 5/1/26 | 7,000,000 | 7,505,470 | ||||||
| Block Communications, Inc. 6.875%, due 2/15/25 (c) | 12,680,000 | 13,218,900 | ||||||
| CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
| 4.75%, due 3/1/30 (c) | 5,440,000 | 5,522,742 | ||||||
| 5.00%, due 2/1/28 (c) | 8,550,000 | 8,838,563 | ||||||
| 5.125%, due 2/15/23 | 5,130,000 | 5,213,363 | ||||||
| 5.125%, due 5/1/27 (c) | 12,000,000 | 12,525,000 | ||||||
| 5.375%, due 5/1/25 (c) | 1,961,000 | 2,034,538 | ||||||
| 5.375%, due 6/1/29 (c) | 4,780,000 | 5,090,700 | ||||||
| 5.75%, due 1/15/24 | 5,118,000 | 5,233,155 | ||||||
| 5.75%, due 2/15/26 (c) | 5,090,000 | 5,380,130 | ||||||
| 5.875%, due 4/1/24 (c) | 8,005,000 | 8,352,897 | ||||||
| 5.875%, due 5/1/27 (c) | 2,850,000 | 3,013,875 | ||||||
| CSC Holdings LLC (c) | ||||||||
| 5.375%, due 7/15/23 | 6,840,000 | 7,019,550 | ||||||
| 5.75%, due 1/15/30 | 9,020,000 | 9,426,982 | ||||||
| 6.50%, due 2/1/29 | 2,660,000 | 2,956,524 | ||||||
| Diamond Sports Group LLC / Diamond Sports Finance Co. (c) | ||||||||
| 5.375%, due 8/15/26 | 2,000,000 | 2,075,000 | ||||||
| 6.625%, due 8/15/27 | 3,100,000 | 3,216,250 | ||||||
| DISH DBS Corp. | ||||||||
| 5.875%, due 7/15/22 | 7,655,000 | 7,961,200 | ||||||
| 5.875%, due 11/15/24 | 5,275,000 | 5,228,844 | ||||||
| 6.75%, due 6/1/21 | 5,500,000 | 5,787,650 | ||||||
| 7.75%, due 7/1/26 | 8,930,000 | 9,086,275 | ||||||
| Meredith Corp. 6.875%, due 2/1/26 | 14,550,000 | 14,786,437 | ||||||
| Quebecor Media, Inc. 5.75%, due 1/15/23 | 15,647,000 | 17,016,112 | ||||||
| Sterling Entertainment Enterprises LLC 10.25%, due 1/15/25 (b)(d)(e)(g) | 7,000,000 | 7,367,500 | ||||||
| Videotron, Ltd. | ||||||||
| 5.00%, due 7/15/22 | 3,365,000 | 3,541,663 | ||||||
| 5.125%, due 4/15/27 (c) | 5,890,000 | 6,228,675 | ||||||
| 5.375%, due 6/15/24 (c) | 11,450,000 | 12,516,567 | ||||||
| 202,925,513 | ||||||||
| Metal Fabricate & Hardware 2.0% | ||||||||
| Grinding Media, Inc. / Moly-Cop AltaSteel, Ltd. 7.375%, due 12/15/23 (c) | 20,235,000 | 19,324,425 | ||||||
| Novelis Corp. (c) | ||||||||
| 5.875%, due 9/30/26 | 20,805,000 | 21,818,203 | ||||||
| 6.25%, due 8/15/24 | 8,760,000 | 9,154,200 | ||||||
| Optimas OE Solutions Holding LLC / Optimas OE Solutions, Inc. 8.625%, due 6/1/21 (c) | 3,250,000 | 2,242,500 | ||||||
| Park-Ohio Industries, Inc. 6.625%, due 4/15/27 | 5,325,000 | 5,085,375 | ||||||
| 57,624,703 | ||||||||
| Mining 1.2% | ||||||||
| Alcoa Nederland Holding B.V. (c) | ||||||||
| 6.75%, due 9/30/24 | 2,765,000 | 2,906,706 | ||||||
| 7.00%, due 9/30/26 | 5,745,000 | 6,233,497 | ||||||
| Constellium S.E. (c) | ||||||||
| 5.875%, due 2/15/26 | 3,350,000 | 3,492,375 | ||||||
| 6.625%, due 3/1/25 | 1,650,000 | 1,720,125 | ||||||
| First Quantum Minerals, Ltd. (c) | ||||||||
| 7.25%, due 4/1/23 | 7,480,000 | 7,367,800 | ||||||
| 7.50%, due 4/1/25 | 2,600,000 | 2,554,500 | ||||||
| Hecla Mining Co. 6.875%, due 5/1/21 | 8,516,000 | 8,430,840 | ||||||
| Joseph T. Ryerson & Son, Inc. 11.00%, due 5/15/22 (c) | 2,450,000 | 2,581,688 | ||||||
| 35,287,531 | ||||||||
| Miscellaneous - Manufacturing 0.9% | ||||||||
| Amsted Industries, Inc. (c) | ||||||||
| 5.375%, due 9/15/24 | 900,000 | 919,125 | ||||||
| 5.625%, due 7/1/27 | 7,240,000 | 7,638,200 | ||||||
| EnPro Industries, Inc. 5.75%, due 10/15/26 | 2,910,000 | 3,102,787 | ||||||
| FXI Holdings, Inc. 7.875%, due 11/1/24 (c) | 1,750,000 | 1,522,500 | ||||||
| Gates Global LLC / Gates Global Co. 6.00%, due 7/15/22 (c) | 5,855,000 | 5,833,044 | ||||||
| Koppers, Inc. 6.00%, due 2/15/25 (c) | 8,265,000 | 8,270,207 | ||||||
| 27,285,863 | ||||||||
| Oil & Gas 6.5% | ||||||||
| Ascent Resources Utica Holdings LLC / ARU Finance Corp. (c) | ||||||||
| 7.00%, due 11/1/26 | 3,900,000 | 3,256,500 | ||||||
| 10.00%, due 4/1/22 | 4,206,000 | 4,204,738 | ||||||
| California Resources Corp. | ||||||||
| 5.00%, due 1/15/20 | 6,330,000 | 5,823,600 | ||||||
| 8.00%, due 12/15/22 (c) | 16,905,000 | 8,367,975 | ||||||
| Callon Petroleum Co. 6.125%, due 10/1/24 | 8,080,000 | 7,958,800 | ||||||
| Calumet Specialty Products Partners, L.P. / Calumet Finance Corp. 7.625%, due 1/15/22 | 1,362,000 | 1,314,330 | ||||||
| CNX Resources Corp. 5.875%, due 4/15/22 | 4,493,000 | 4,313,280 | ||||||
| Comstock Resources, Inc. 9.75%, due 8/15/26 | 20,370,000 | 17,025,042 | ||||||
| Continental Resources, Inc. 5.00%, due 9/15/22 | 2,870,000 | 2,895,178 | ||||||
| Energy Ventures Gom LLC / EnVen Finance Corp. 11.00%, due 2/15/23 (c) | 4,020,000 | 4,050,150 | ||||||
| Gulfport Energy Corp. | ||||||||
| 6.00%, due 10/15/24 | 13,395,000 | 9,689,273 | ||||||
| 6.375%, due 5/15/25 | 8,000,000 | 5,680,000 | ||||||
| 6.375%, due 1/15/26 | 3,321,000 | 2,324,700 | ||||||
| Hess Infrastructure Partners L.P. / Hess Infrastructure Partners Finance Corp. 5.625%, due 2/15/26 (c) | 3,300,000 | 3,448,500 | ||||||
| Indigo Natural Resources LLC 6.875%, due 2/15/26 (c) | 4,505,000 | 4,060,131 | ||||||
| Matador Resources Co. 5.875%, due 9/15/26 | 5,835,000 | 5,846,087 | ||||||
| Moss Creek Resources Holdings, Inc. 7.50%, due 1/15/26 (c) | 4,065,000 | 2,992,856 | ||||||
| Murphy Oil Corp. 6.875%, due 8/15/24 | 3,315,000 | 3,464,175 | ||||||
| Murphy Oil USA, Inc. | ||||||||
| 4.75%, due 9/15/29 | 2,000,000 | 2,045,000 | ||||||
| 5.625%, due 5/1/27 | 2,994,000 | 3,158,670 | ||||||
| 6.00%, due 8/15/23 | 7,150,000 | 7,298,720 | ||||||
| Oasis Petroleum, Inc. 6.875%, due 3/15/22 | 1,401,000 | 1,306,433 | ||||||
| Parkland Fuel Corp. 5.875%, due 7/15/27 (c) | 3,130,000 | 3,284,340 | ||||||
| Parsley Energy LLC / Parsley Finance Corp. (c) | ||||||||
| 5.25%, due 8/15/25 | 3,210,000 | 3,257,219 | ||||||
| 5.625%, due 10/15/27 | 2,445,000 | 2,524,463 | ||||||
| PDC Energy, Inc. 6.125%, due 9/15/24 | 5,783,000 | 5,768,543 | ||||||
| PetroQuest Energy, Inc. 10.00% (10.00% PIK), due 2/15/24 (a)(b)(d)(e) | 6,038,975 | 3,562,995 | ||||||
| QEP Resources, Inc. | ||||||||
| 5.25%, due 5/1/23 | 749,000 | 694,712 | ||||||
| 5.625%, due 3/1/26 | 5,580,000 | 4,814,424 | ||||||
| Range Resources Corp. | ||||||||
| 5.75%, due 6/1/21 | 7,035,000 | 6,982,238 | ||||||
| 5.875%, due 7/1/22 | 7,720,000 | 7,391,900 | ||||||
| Rex Energy Corp. (Escrow Claim) 8.00%, due 10/1/20 (e)(g)(h) | 40,580,000 | 182,610 | ||||||
| Southwestern Energy Co. | ||||||||
| 6.20%, due 1/23/25 | 3,601,000 | 3,168,808 | ||||||
| 7.50%, due 4/1/26 | 8,100,000 | 7,067,250 | ||||||
| SRC Energy, Inc. 6.25%, due 12/1/25 | 8,490,000 | 8,404,930 | ||||||
| Sunoco, L.P. / Sunoco Finance Corp. 6.00%, due 4/15/27 | 4,000,000 | 4,259,920 | ||||||
| Talos Production LLC / Talos Production Finance, Inc. 11.00%, due 4/3/22 | 9,828,857 | 10,025,434 | ||||||
| Transocean Pontus, Ltd. 6.125%, due 8/1/25 (c) | 1,780,000 | 1,806,700 | ||||||
| Transocean Poseidon, Ltd. 6.875%, due 2/1/27 (c) | 1,500,000 | 1,560,000 | ||||||
| Transocean Sentry, Ltd. 5.375%, due 5/15/23 (c) | 3,000,000 | 2,996,250 | ||||||
| Ultra Resources, Inc. 6.875%, due 4/15/22 (c) | 9,675,000 | 689,344 | ||||||
| Whiting Petroleum Corp. 6.625%, due 1/15/26 (f) | 4,000,000 | 2,700,000 | ||||||
| 191,666,218 | ||||||||
| Oil & Gas Services 0.4% | ||||||||
| Forum Energy Technologies, Inc. 6.25%, due 10/1/21 | 13,290,000 | 11,030,700 | ||||||
| Nine Energy Service, Inc. 8.75%, due 11/1/23 (c) | 2,287,000 | 1,852,470 | ||||||
| 12,883,170 | ||||||||
| Pharmaceuticals 0.5% | ||||||||
| Bausch Health Americas, Inc. 9.25%, due 4/1/26 (c) | 1,435,000 | 1,630,504 | ||||||
| Endo Dac / Endo Finance LLC / Endo Finco, Inc. (c) | ||||||||
| 6.00%, due 7/15/23 | 3,034,000 | 1,860,904 | ||||||
| 6.00%, due 2/1/25 | 6,060,000 | 3,575,400 | ||||||
| Par Pharmaceutical, Inc. 7.50%, due 4/1/27 (c) | 5,210,000 | 4,773,662 | ||||||
| Vizient, Inc. 6.25%, due 5/15/27 (c) | 2,325,000 | 2,493,563 | ||||||
| 14,334,033 | ||||||||
| Pipelines 4.6% | ||||||||
| ANR Pipeline Co. | ||||||||
| 7.375%, due 2/15/24 | 395,000 | 455,621 | ||||||
| 9.625%, due 11/1/21 | 5,950,000 | 6,792,014 | ||||||
| Antero Midstream Partners, L.P. / Antero Midstream Finance Corp. | ||||||||
| 5.375%, due 9/15/24 | 3,810,000 | 3,427,857 | ||||||
| 5.75%, due 1/15/28 (c) | 4,055,000 | 3,365,650 | ||||||
| Cheniere Corpus Christi Holdings LLC 5.875%, due 3/31/25 | 3,000,000 | 3,337,890 | ||||||
| Cheniere Energy Partners, L.P. | ||||||||
| 5.25%, due 10/1/25 | 4,630,000 | 4,803,625 | ||||||
| 5.625%, due 10/1/26 | 4,600,000 | 4,881,290 | ||||||
| CNX Midstream Partners, L.P. / CNX Midstream Finance Corp. 6.50%, due 3/15/26 (c) | 6,022,000 | 5,555,897 | ||||||
| Delek Logistics Partners, L.P. / Delek Logistics Finance Corp. 6.75%, due 5/15/25 | 2,575,000 | 2,549,250 | ||||||
| Genesis Energy, L.P. / Genesis Energy Finance Corp. 6.75%, due 8/1/22 | 11,065,000 | 11,226,549 | ||||||
| Holly Energy Partners, L.P. / Holly Energy Finance Corp. 6.00%, due 8/1/24 (c) | 6,340,000 | 6,617,375 | ||||||
| MPLX, L.P. | ||||||||
| 4.875%, due 12/1/24 | 5,790,000 | 6,355,860 | ||||||
| 4.875%, due 6/1/25 | 9,383,000 | 10,322,257 | ||||||
| 6.25%, due 10/15/22 (c) | 524,000 | 537,120 | ||||||
| 6.375%, due 5/1/24 (c) | 2,440,000 | 2,559,335 | ||||||
| NGPL PipeCo LLC (c) | ||||||||
| 4.375%, due 8/15/22 | 2,500,000 | 2,591,513 | ||||||
| 4.875%, due 8/15/27 | 5,280,000 | 5,659,659 | ||||||
| Northwest Pipeline LLC 7.125%, due 12/1/25 | 2,195,000 | 2,702,285 | ||||||
| NuStar Logistics, L.P. 6.75%, due 2/1/21 | 6,125,000 | 6,382,862 | ||||||
| Plains All American Pipeline, L.P. 6.125%, due 11/15/22 (i)(j) | 9,015,000 | 8,491,769 | ||||||
| Ruby Pipeline LLC 6.00%, due 4/1/22 (c) | 1,808,182 | 1,873,061 | ||||||
| Sabine Pass Liquefaction LLC 5.875%, due 6/30/26 | 5,985,000 | 6,857,606 | ||||||
| SemGroup Corp. | ||||||||
| 6.375%, due 3/15/25 | 3,001,000 | 3,106,035 | ||||||
| 7.25%, due 3/15/26 | 885,000 | 958,013 | ||||||
| SemGroup Corp. / Rose Rock Finance Corp. 5.625%, due 7/15/22 | 1,359,000 | 1,379,399 | ||||||
| Tallgrass Energy Partners, L.P. / Tallgrass Energy Finance Corp. 5.50%, due 9/15/24 (c) | 9,560,000 | 9,512,200 | ||||||
| Targa Resources Partners, L.P. / Targa Resources Partners Finance Corp. 5.875%, due 4/15/26 | 5,915,000 | 6,268,125 | ||||||
| TransMontaigne Partners, L.P. / TLP Finance Corp. 6.125%, due 2/15/26 | 6,055,000 | 5,827,938 | ||||||
| 134,398,055 | ||||||||
| Real Estate 1.2% | ||||||||
| CBRE Services, Inc. 5.25%, due 3/15/25 | 2,295,000 | 2,569,657 | ||||||
| Howard Hughes Corp. 5.375%, due 3/15/25 (c) | 9,580,000 | 9,963,200 | ||||||
| Kennedy-Wilson, Inc. 5.875%, due 4/1/24 | 7,505,000 | 7,699,680 | ||||||
| Newmark Group, Inc. 6.125%, due 11/15/23 | 8,105,000 | 8,792,563 | ||||||
| Realogy Group LLC / Realogy Co-Issuer Corp. 9.375%, due 4/1/27 (c) | 7,599,000 | 7,059,623 | ||||||
| 36,084,723 | ||||||||
| Real Estate Investment Trusts 4.6% | ||||||||
| Crown Castle International Corp. 5.25%, due 1/15/23 | 24,840,000 | 27,045,019 | ||||||
| CTR Partnership, L.P. / CareTrust Capital Corp. 5.25%, due 6/1/25 | 3,500,000 | 3,613,750 | ||||||
| Equinix, Inc. | ||||||||
| 5.375%, due 1/1/22 | 5,715,000 | 5,843,588 | ||||||
| 5.375%, due 4/1/23 | 10,555,000 | 10,789,321 | ||||||
| 5.375%, due 5/15/27 | 16,710,000 | 18,015,469 | ||||||
| 5.75%, due 1/1/25 | 8,740,000 | 9,100,962 | ||||||
| 5.875%, due 1/15/26 | 14,253,000 | 15,163,909 | ||||||
| MGM Growth Properties Operating Partnership, L.P. / MGP Finance Co-Issuer, Inc. | ||||||||
| 4.50%, due 9/1/26 | 2,000,000 | 2,120,000 | ||||||
| 5.625%, due 5/1/24 | 19,120,000 | 20,960,300 | ||||||
| 5.75%, due 2/1/27 (c) | 6,655,000 | 7,472,234 | ||||||
| MPT Operating Partnership, L.P. / MPT Finance Corp. 5.00%, due 10/15/27 | 6,070,000 | 6,358,325 | ||||||
| Ryman Hospitality Properties, Inc. 4.75%, due 10/15/27 (c) | 6,675,000 | 6,867,173 | ||||||
| Starwood Property Trust, Inc. 5.00%, due 12/15/21 | 2,962,000 | 3,058,265 | ||||||
| 136,408,315 | ||||||||
| Retail 3.5% | ||||||||
| Asbury Automotive Group, Inc. 6.00%, due 12/15/24 | 16,060,000 | 16,622,100 | ||||||
| Beacon Roofing Supply, Inc. 4.875%, due 11/1/25 (c) | 9,570,000 | 9,377,164 | ||||||
| Cumberland Farms, Inc. 6.75%, due 5/1/25 (c) | 7,297,000 | 7,815,087 | ||||||
| DriveTime Automotive Group, Inc. / Bridgecrest Acceptance Corp. 8.00%, due 6/1/21 (c) | 10,520,000 | 10,704,100 | ||||||
| Group 1 Automotive, Inc. | ||||||||
| 5.00%, due 6/1/22 | 6,735,000 | 6,802,350 | ||||||
| 5.25%, due 12/15/23 (c) | 2,690,000 | 2,763,975 | ||||||
| KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC (c) | ||||||||
| 4.75%, due 6/1/27 | 5,275,000 | 5,492,594 | ||||||
| 5.00%, due 6/1/24 | 10,600,000 | 10,997,500 | ||||||
| 5.25%, due 6/1/26 | 7,500,000 | 7,938,750 | ||||||
| KGA Escrow, LLC 7.50%, due 8/15/23 (c) | 5,350,000 | 5,604,125 | ||||||
| L Brands, Inc. | ||||||||
| 5.625%, due 2/15/22 | 2,908,000 | 3,064,305 | ||||||
| 6.694%, due 1/15/27 | 4,399,000 | 4,322,017 | ||||||
| Penske Automotive Group, Inc. 5.75%, due 10/1/22 | 6,670,000 | 6,759,245 | ||||||
|
Yum! Brands, Inc. 4.75%, due 1/15/30 (c) | 5,080,000 | 5,245,913 | ||||||
| 103,509,225 | ||||||||
| Semiconductors 0.3% | ||||||||
| Micron Technology, Inc. 5.50%, due 2/1/25 | 7,643,000 | 7,854,374 | ||||||
| Sensata Technologies, Inc. 4.375%, due 2/15/30 (c) | 1,370,000 | 1,368,288 | ||||||
| 9,222,662 | ||||||||
| Software 4.0% | ||||||||
| ACI Worldwide, Inc. 5.75%, due 8/15/26 (c) | 4,405,000 | 4,669,300 | ||||||
| Ascend Learning LLC 6.875%, due 8/1/25 (c) | 8,215,000 | 8,502,525 | ||||||
| CDK Global, Inc. | ||||||||
| 5.25%, due 5/15/29 (c) | 3,920,000 | 4,057,200 | ||||||
| 5.875%, due 6/15/26 | 10,900,000 | 11,594,875 | ||||||
| Donnelley Financial Solutions, Inc. 8.25%, due 10/15/24 | 5,365,000 | 5,566,187 | ||||||
| Fair Isaac Corp. 5.25%, due 5/15/26 (c) | 3,590,000 | 3,832,325 | ||||||
| IQVIA, Inc. 5.00%, due 10/15/26 (c) | 9,792,000 | 10,257,120 | ||||||
| MSCI, Inc. (c) | ||||||||
| 4.75%, due 8/1/26 | 3,570,000 | 3,739,575 | ||||||
| 5.25%, due 11/15/24 | 7,312,000 | 7,549,640 | ||||||
| 5.375%, due 5/15/27 | 6,230,000 | 6,650,525 | ||||||
| 5.75%, due 8/15/25 | 15,590,000 | 16,350,012 | ||||||
| Open Text Corp. (c) | ||||||||
| 5.625%, due 1/15/23 | 1,882,000 | 1,926,698 | ||||||
| 5.875%, due 6/1/26 | 5,085,000 | 5,429,255 | ||||||
| PTC, Inc. 6.00%, due 5/15/24 | 14,350,000 | 15,031,625 | ||||||
| RP Crown Parent LLC 7.375%, due 10/15/24 (c) | 7,110,000 | 7,394,400 | ||||||
| SS&C Technologies, Inc. 5.50%, due 9/30/27 (c) | 5,750,000 | 6,008,894 | ||||||
| 118,560,156 | ||||||||
| Telecommunications 7.7% | ||||||||
| Anixter, Inc. 5.125%, due 10/1/21 | 2,425,000 | 2,522,000 | ||||||
| CenturyLink, Inc. 5.80%, due 3/15/22 | 9,925,000 | 10,458,469 | ||||||
| CommScope Technologies LLC 6.00%, due 6/15/25 (c) | 1,500,000 | 1,357,500 | ||||||
| CommScope, Inc. 8.25%, due 3/1/27 (c) | 8,924,000 | 8,686,956 | ||||||
| Connect Finco SARL / Connect U.S. Finco LLC 6.75%, due 10/1/26 (c) | 9,025,000 | 9,194,219 | ||||||
| Frontier Communications Corp. | ||||||||
| 6.25%, due 9/15/21 | 5,500,000 | 2,447,500 | ||||||
| 10.50%, due 9/15/22 | 9,315,000 | 4,308,187 | ||||||
| 11.00%, due 9/15/25 | 7,995,000 | 3,657,713 | ||||||
| Hughes Satellite Systems Corp. | ||||||||
| 5.25%, due 8/1/26 | 7,035,000 | 7,527,450 | ||||||
| 6.625%, due 8/1/26 | 6,460,000 | 7,012,072 | ||||||
| 7.625%, due 6/15/21 | 10,195,000 | 10,985,112 | ||||||
| Inmarsat Finance PLC 4.875%, due 5/15/22 (c) | 6,750,000 | 6,832,282 | ||||||
| Level 3 Financing, Inc. | ||||||||
| 5.375%, due 5/1/25 | 6,300,000 | 6,525,477 | ||||||
| 5.625%, due 2/1/23 | 4,000,000 | 4,050,000 | ||||||
| Level 3 Parent LLC 5.75%, due 12/1/22 | 1,920,000 | 1,927,680 | ||||||
| QualityTech, L.P. / QTS Finance Corp. 4.75%, due 11/15/25 (c) | 6,650,000 | 6,849,500 | ||||||
| Sprint Capital Corp. | ||||||||
| 6.875%, due 11/15/28 | 30,530,000 | 33,283,806 | ||||||
| 8.75%, due 3/15/32 | 2,350,000 | 2,898,608 | ||||||
| Sprint Communications, Inc. 7.00%, due 3/1/20 (c) | 12,085,000 | 12,281,381 | ||||||
| Sprint Corp. 7.875%, due 9/15/23 | 14,030,000 | 15,411,394 | ||||||
| T-Mobile USA, Inc. | ||||||||
| 4.50%, due 2/1/26 | 3,345,000 | 3,443,009 | ||||||
| 4.75%, due 2/1/28 | 9,585,000 | 10,030,702 | ||||||
| 5.125%, due 4/15/25 | 7,520,000 | 7,783,200 | ||||||
| 5.375%, due 4/15/27 | 9,500,000 | 10,212,500 | ||||||
| 6.00%, due 4/15/24 | 6,840,000 | 7,096,500 | ||||||
| 6.375%, due 3/1/25 | 9,700,000 | 10,048,812 | ||||||
| 6.50%, due 1/15/24 | 7,505,000 | 7,785,012 | ||||||
| 6.50%, due 1/15/26 | 10,150,000 | 10,913,178 | ||||||
| 225,530,219 | ||||||||
| Textiles 0.4% | ||||||||
| Eagle Intermediate Global Holding B.V. / Ruyi U.S. Finance LLC 7.50%, due 5/1/25 (c) | 12,445,000 | 11,169,388 | ||||||
| Toys, Games & Hobbies 0.6% | ||||||||
| Mattel, Inc. 6.75%, due 12/31/25 (c) | 16,965,000 | 17,701,960 | ||||||
| Transportation 0.1% | ||||||||
| Teekay Corp. 9.25%, due 11/15/22 (c) | 1,500,000 | 1,526,250 | ||||||
| Trucking & Leasing 0.3% | ||||||||
| Fortress Transportation & Infrastructure Investors LLC 6.75%, due 3/15/22 (c) | 8,000,000 | 8,360,000 | ||||||
| Utilities 0.1% | ||||||||
| NextEra Energy Operating Partners, L.P. 3.875%, due 10/15/26 (c) | 3,900,000 | 3,909,243 | ||||||
| Total Corporate Bonds (Cost $2,705,871,303) | 2,747,088,582 | |||||||
| Loan Assignments 1.5% | ||||||||
| Auto Parts & Equipment 0.1% | ||||||||
| Dealer Tire LLC 2018 Term Loan B 7.544% (1 Month LIBOR + 5.50%), due 12/12/25 (k) | 2,850,675 | 2,848,893 | ||||||
| Banks 0.3% | ||||||||
| Jane Street Group LLC 2018 Term Loan B 5.046% (1 Month LIBOR + 3.00%), due 8/25/22 (k) | 10,219,038 | 10,193,491 | ||||||
| Mining 0.1% | ||||||||
| Aleris International, Inc. 2018 Term Loan 6.794% (1 Month LIBOR + 4.75%), due 2/27/23 (k) | 2,962,500 | 2,960,648 | ||||||
| Oil & Gas 0.2% | ||||||||
| PetroQuest Energy, Inc. Term Loan Note 10.013%, due 3/2/20 (d) | 4,893,078 | 4,893,078 | ||||||
| Retail Stores 0.7% | ||||||||
| Bass Pro Group LLC Term Loan B 7.044% (1 Month LIBOR + 5.00%), due 9/25/24 (k) | 21,570,123 | 20,741,011 | ||||||
| Software 0.0% ‡ | ||||||||
| RP Crown Parent LLC 2016 Term Loan B 4.804% (3 Month LIBOR + 2.75%), due 10/12/23 (k) | 395,929 | 395,731 | ||||||
| Transportation 0.1% | ||||||||
| Commercial Barge Line Co. 2015 1st Lien Term Loan 10.794% (1 Month LIBOR + 8.75%), due 11/12/20 (k) | 5,526,485 | 3,094,831 | ||||||
| Total Loan Assignments (Cost $46,982,882) | 45,127,683 | |||||||
| Total Long-Term Bonds (Cost $2,771,626,961) | 2,810,503,281 | |||||||
| Shares | ||||||||
| Common Stocks 1.6% | ||||||||
| Auto Parts & Equipment 0.1% | ||||||||
| American Tire Distributors, Inc. (d)(e)(l) | 44,740 | 1,252,720 | ||||||
| Exide Technologies (b)(d)(e)(g)(l) | 2,173,379 | 2,042,976 | ||||||
| 3,295,696 | ||||||||
| Electric Utilities 0.1% | ||||||||
| Keycon Power Holdings LLC (e)(l) | 11,280 | 3,384,000 | ||||||
| Independent Power & Renewable Electricity Producers 0.8% | ||||||||
| GenOn Energy, Inc. (d)(l) | 115,826 | 23,744,330 | ||||||
| PetroQuest Energy, Inc. (b)(d)(e)(l) | 668,661 | 267,465 | ||||||
| 24,011,795 | ||||||||
| Media 0.0% ‡ | ||||||||
| ION Media Networks, Inc. (b)(d)(e)(g) | 725 | 287,571 | ||||||
| Metals & Mining 0.1% | ||||||||
| Neenah Enterprises, Inc. (b)(d)(e)(g)(l) | 230,859 | 3,169,694 | ||||||
| Oil, Gas & Consumable Fuels 0.5% | ||||||||
| Talos Energy, Inc. (l) | 637,880 | 12,968,100 | ||||||
| Titan Energy LLC (l) | 25,911 | 1,016 | ||||||
| 12,969,116 | ||||||||
| Software 0.0% ‡ | ||||||||
| ASG Corp. (b)(d)(e)(l) | 3,368 | 0 | ||||||
| Total Common Stocks (Cost $62,822,541) | 47,117,872 | |||||||
| Short-Term Investments 2.3% | ||||||||
| Unaffiliated Investment Companies 2.3% | ||||||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class, 1.88% (m) | 65,238,895 | 65,238,895 | ||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (m)(n) | 1,406,893 | 1,406,893 | ||||||
| Total Unaffiliated Investment Companies (Cost $66,645,788) | 66,645,788 | |||||||
| Total Short-Term Investments (Cost $66,645,788) | 66,645,788 | |||||||
| Total Investments (Cost $2,901,095,290) | 99.3 | % | 2,924,266,941 | |||||
| Other Assets, Less Liabilities | 0.7 | 21,867,230 | ||||||
| Net Assets | 100.0 | % | $ | 2,946,134,171 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | PIK ("Payment-in-Kind") - issuer may pay interest or dividends with additional securities and/or in cash. |
| (b) | Security in which significant unobservable inputs (Level 3) were used in determining fair value. |
| (c) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
| (d) | Fair valued security - Represents fair value as measured in good faith under procedures approved by the Board of Trustees. As of September 30, 2019, the total market value of fair valued securities was $91,910,341, which represented 3.1% of the Portfolio's net assets. |
| (e) | Illiquid security - As of September 30, 2019, the total market value of these securities deemed illiquid under procedures approved by the Board of Trustees was $69,627,044, which represented 2.4% of the Portfolio's net assets. |
| (f) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $1,362,123. The Portfolio received cash collateral with a value of $1,406,893. |
| (g) | Restricted security. |
| (h) | Issue in non-accrual status. |
| (i) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
| (j) | Fixed to floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (k) | Floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (l) | Non-income producing security. |
| (m) | Current yield as of September 30, 2019. |
| (n) | Represents security purchased with cash collateral received for securities on loan. |
The following abbreviation is used in the preceding pages:
| LIBOR | —London Interbank Offered Rate |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets:
| Quoted Prices in Active Markets for Identical Assets | Significant Other Observable Inputs | Significant Unobservable Inputs | ||||||||||||||
| Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Long-Term Bonds | ||||||||||||||||
| Convertible Bonds (b) | $ | — | $ | 10,278,942 | $ | 8,008,074 | $ | 18,287,016 | ||||||||
| Corporate Bonds (c) | — | 2,698,844,149 | 48,244,433 | 2,747,088,582 | ||||||||||||
| Loan Assignments | — | 45,127,683 | — | 45,127,683 | ||||||||||||
| Total Long-Term Bonds | — | 2,754,250,774 | 56,252,507 | 2,810,503,281 | ||||||||||||
| Common Stocks (d) | 16,353,116 | 24,997,050 | 5,767,706 | 47,117,872 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Unaffiliated Investment Companies | 66,645,788 | — | — | 66,645,788 | ||||||||||||
| Total Investments in Securities | $ | 82,998,904 | $ | 2,779,247,824 | $ | 62,020,213 | $ | 2,924,266,941 | ||||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
| (b) | The Level 3 security valued at $8,008,074 is held in Auto Parts & Equipment within the Convertible Bonds section of the Portfolio of Investments. |
| (c) | The Level 3 securities valued at $37,313,938, $7,367,500 and $3,562,995 are held in Auto Parts & Equipment, Media, and Oil & Gas, respectively, within the Corporate Bonds section of the Portfolio of Investments. |
| (d) | The Level 3 securities valued at $2,042,976, $267,465, $287,571, $3,169,694 and $0 are held in Auto Parts & Equipment, Independent Power & Renewable Electricity Producers, Media, Metals & Mining, and Software, respectively, within the Common Stocks section of the Portfolio of Investments. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
| Investments in Securities | Balance as of December 31, 2018 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers in to Level 3 | Transfers out of Level 3 | Balance as of September 30, 2019 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2019 | ||||||||||||||||||||||||||||||
| Long-Term Bonds | ||||||||||||||||||||||||||||||||||||||||
| Convertible Bonds | $ | 15,211,523 | $ | 313,442 | $ | (20,435,825 | ) | $ | 13,619,918 | $ | 9,704,586 | (b) | $ | (10,405,570 | ) | $ | - | $ | - | $ | 8,008,074 | $ | (710,915 | ) | ||||||||||||||||
| Corporate Bonds | 57,312,734 | (460,079 | ) | (3,531,810 | ) | (9,255,912 | ) | 50,406,584 | (b) | (46,227,084 | ) | - | - | 48,244,433 | (7,631,320 | ) | ||||||||||||||||||||||||
| Loan Assignments | 7,095,644 | - | - | - | - | - | - | (7,095,644 | ) | - | - | |||||||||||||||||||||||||||||
| Common Stocks | 5,812,876 | - | - | (4,769,061 | ) | 5,465,680 | - | - | (741,789 | ) | 5,767,706 | (4,769,061 | ) | |||||||||||||||||||||||||||
| Total | $ | 85,432,777 | $ | (146,637 | ) | $ | (23,967,635 | ) | $ | (405,055 | ) | $ | 65,576,850 | $ | (56,632,654 | ) | $ | - | $ | (7,837,433 | ) | $ | 62,020,213 | $ | (13,111,296 | ) | ||||||||||||||
(a) Purchases include PIK securities.
As of September 30, 2019, securities with a market value of $7,837,433 transferred from Level 3 to Level 2. The transfer occurred as a result of utilizing significant observable inputs. As of December 31, 2018, the fair value obtained for these securities, utilized significant unobservable inputs.
MainStay VP MacKay International Equity Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Common Stocks 96.1% † | ||||||||
| Canada 4.5% | ||||||||
| Bank of Nova Scotia (Banks) | 200,656 | $ | 11,397,037 | |||||
| Constellation Software, Inc. (Software) | 9,440 | 9,427,887 | ||||||
| 20,824,924 | ||||||||
| China 3.5% | ||||||||
| Tencent Holdings, Ltd. (Interactive Media & Services) | 382,018 | 16,094,306 | ||||||
| Denmark 3.3% | ||||||||
| Novo Nordisk A/S, Class B (Pharmaceuticals) | 296,847 | 15,260,647 | ||||||
| France 2.4% | ||||||||
| Teleperformance S.E. (Professional Services) | 50,833 | 11,020,143 | ||||||
| Germany 9.0% | ||||||||
| Carl Zeiss Meditec A.G. (Health Care Equipment & Supplies) | 52,310 | 5,963,801 | ||||||
| Fresenius Medical Care A.G. & Co. KGaA (Health Care Providers & Services) | 166,122 | 11,171,694 | ||||||
| Scout24 A.G. (Interactive Media & Services) (a) | 242,681 | 13,833,885 | ||||||
| Symrise A.G. (Chemicals) | 112,576 | 10,940,132 | ||||||
| 41,909,512 | ||||||||
| India 5.2% | ||||||||
| HDFC Bank, Ltd. (Banks) | 678,185 | 11,746,665 | ||||||
| Housing Development Finance Corp., Ltd. (Thrifts & Mortgage Finance) | 437,261 | 12,198,413 | ||||||
| 23,945,078 | ||||||||
| Ireland 6.4% | ||||||||
| Accenture PLC, Class A (IT Services) | 59,408 | 11,427,129 | ||||||
| ICON PLC (Life Sciences Tools & Services) (b) | 122,409 | 18,035,742 | ||||||
| 29,462,871 | ||||||||
| Italy 2.7% | ||||||||
| Banca IFIS S.p.A. (Diversified Financial Services) | 315,934 | 5,272,035 | ||||||
| DiaSorin S.p.A. (Health Care Equipment & Supplies) | 61,232 | 7,121,141 | ||||||
| 12,393,176 | ||||||||
| Japan 14.5% | ||||||||
| CyberAgent, Inc. (Media) (c) | 198,400 | 7,614,890 | ||||||
| Lion Corp. (Household Products) | 475,100 | 9,363,590 | ||||||
| MonotaRO Co., Ltd. (Trading Companies & Distributors) | 249,200 | 6,513,195 | ||||||
| Relo Group, Inc. (Real Estate Management & Development) | 379,300 | 9,289,123 | ||||||
| Takeda Pharmaceutical Co., Ltd. (Pharmaceuticals) | 165,444 | 5,646,135 | ||||||
| TechnoPro Holdings, Inc. (Professional Services) | 170,600 | 10,097,942 | ||||||
| Tsuruha Holdings, Inc. (Food & Staples Retailing) | 43,040 | 4,685,140 | ||||||
| ZOZO, Inc. (Internet & Direct Marketing Retail) (c) | 617,358 | 14,228,496 | ||||||
| 67,438,511 | ||||||||
| Mexico 1.4% | ||||||||
| Regional S.A.B. de C.V. (Banks) | 1,428,099 | 6,544,911 | ||||||
| Netherlands 7.7% | ||||||||
| GrandVision N.V. (Specialty Retail) (a) | 76,866 | 2,302,278 | ||||||
| IMCD N.V. (Trading Companies & Distributors) | 119,456 | 8,834,145 | ||||||
| Koninklijke DSM N.V. (Chemicals) | 100,746 | 12,122,818 | ||||||
| Koninklijke Philips N.V. (Health Care Equipment & Supplies) | 270,029 | 12,508,523 | ||||||
| 35,767,764 | ||||||||
| Spain 5.3% | ||||||||
| Amadeus IT Group S.A. (IT Services) | 157,334 | 11,270,076 | ||||||
| Industria de Diseno Textil S.A. (Specialty Retail) | 423,721 | 13,116,110 | ||||||
| 24,386,186 | ||||||||
| Sweden 3.8% | ||||||||
| Hexagon AB, Class B (Electronic Equipment, Instruments & Components) | 370,325 | 17,854,059 | ||||||
| Switzerland 3.7% | ||||||||
| Sika A.G., Registered (Chemicals) | 31,644 | 4,629,051 | ||||||
| TE Connectivity, Ltd. (Electronic Equipment, Instruments & Components) | 135,061 | 12,584,984 | ||||||
| 17,214,035 | ||||||||
| Taiwan 1.4% | ||||||||
| Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR (Semiconductors & Semiconductor Equipment) | 143,539 | 6,671,693 | ||||||
| United Kingdom 20.1% | ||||||||
| Big Yellow Group PLC (Equity Real Estate Investment Trusts) | 463,413 | 5,920,110 | ||||||
| Compass Group PLC (Hotels, Restaurants & Leisure) | 419,241 | 10,788,946 | ||||||
| Diageo PLC (Beverages) | 159,018 | 6,516,698 | ||||||
| Experian PLC (Professional Services) | 180,200 | 5,758,470 | ||||||
| HomeServe PLC (Commercial Services & Supplies) | 617,582 | 9,005,863 | ||||||
| Johnson Matthey PLC (Chemicals) | 391,521 | 14,716,229 | ||||||
| LivaNova PLC (Health Care Equipment & Supplies) (b) | 139,193 | 10,271,051 | ||||||
| Prudential PLC (Insurance) | 945,177 | 17,141,593 | ||||||
| St. James's Place PLC (Capital Markets) | 1,106,525 | 13,325,004 | ||||||
| 93,443,964 | ||||||||
| United States 1.2% | ||||||||
| Samsonite International S.A. (Textiles, Apparel & Luxury Goods) (a) | 2,597,640 | 5,501,719 | ||||||
| Total Common Stocks (Cost $422,550,012) | 445,733,499 | |||||||
| Short-Term Investments 0.5% | ||||||||
| Affiliated Investment Company 0.1% | ||||||||
| United States 0.1% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (d) | 425,985 | 425,985 | ||||||
| Unaffiliated Investment Company 0.4% | ||||||||
| United States 0.4% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (d)(e) | 2,043,630 | 2,043,630 | ||||||
| Total Short-Term Investments (Cost $2,469,615) | 2,469,615 | |||||||
| Total Investments (Cost $425,019,627) | 96.6 | % | 448,203,114 | |||||
| Other Assets, Less Liabilities | 3.4 | 15,628,482 | ||||||
| Net Assets | 100.0 | % | $ | 463,831,596 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| (a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
| (b) | Non-income producing security. |
| (c) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $21,746,365; the total market value of collateral held by the Portfolio was $22,882,477. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $20,838,847. |
| (d) | Current yield as of September 30, 2019. |
| (e) | Represents security purchased with cash collateral received for securities on loan. |
The following abbreviation is used in the preceding pages:
| ADR | —American Depositary Receipt |
The
following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's
assets:
| Quoted Prices in Active Markets for Identical Assets | Significant Other Observable Inputs | Significant Unobservable Inputs | ||||||||||||||
| Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Common Stocks | $ | 445,733,499 | $ | — | $ | — | $ | 445,733,499 | ||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 425,985 | — | — | 425,985 | ||||||||||||
| Unaffiliated Investment Company | 2,043,630 | — | — | 2,043,630 | ||||||||||||
| Total Short-Term Investments | 2,469,615 | — | — | 2,469,615 | ||||||||||||
| Total Investments in Securities | $ | 448,203,114 | $ | — | $ | — | $ | 448,203,114 | ||||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP MacKay Mid Cap Core Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Common Stocks 98.1% † | ||||||||
| Aerospace & Defense 2.6% | ||||||||
| Arconic, Inc. | 75,865 | $ | 1,972,490 | |||||
| Curtiss-Wright Corp. | 31,507 | 4,076,061 | ||||||
| HEICO Corp., Class A | 11,865 | 1,154,583 | ||||||
| Hexcel Corp. | 14,778 | 1,213,717 | ||||||
| L3Harris Technologies, Inc. | 22,604 | 4,716,098 | ||||||
| Spirit AeroSystems Holdings, Inc., Class A | 69,049 | 5,678,590 | ||||||
| Teledyne Technologies, Inc. (a) | 13,207 | 4,252,522 | ||||||
| 23,064,061 | ||||||||
| Airlines 0.8% | ||||||||
| JetBlue Airways Corp. (a) | 14,287 | 239,307 | ||||||
| United Airlines Holdings, Inc. (a) | 75,840 | 6,705,015 | ||||||
| 6,944,322 | ||||||||
| Banks 1.4% | ||||||||
| Bank OZK | 108,593 | 2,961,331 | ||||||
| East West Bancorp, Inc. | 43,370 | 1,920,857 | ||||||
| Fifth Third Bancorp | 34,947 | 956,849 | ||||||
| First Hawaiian, Inc. | 78,735 | 2,102,225 | ||||||
| Signature Bank | 34,512 | 4,114,521 | ||||||
| Synovus Financial Corp. | 10,545 | 377,089 | ||||||
| 12,432,872 | ||||||||
| Beverages 0.1% | ||||||||
| Molson Coors Brewing Co., Class B | 10,180 | 585,350 | ||||||
| Biotechnology 1.5% | ||||||||
| Alkermes PLC (a) | 133,215 | 2,599,025 | ||||||
| Exelixis, Inc. (a) | 105,375 | 1,863,557 | ||||||
| Incyte Corp. (a) | 78,998 | 5,864,021 | ||||||
| United Therapeutics Corp. (a) | 32,975 | 2,629,756 | ||||||
| 12,956,359 | ||||||||
| Building Products 1.0% | ||||||||
| Fortune Brands Home & Security, Inc. | 5,412 | 296,036 | ||||||
| Masco Corp. | 67,769 | 2,824,612 | ||||||
| Owens Corning | 87,484 | 5,528,989 | ||||||
| 8,649,637 | ||||||||
| Capital Markets 2.7% | ||||||||
| Ameriprise Financial, Inc. | 48,901 | 7,193,337 | ||||||
| Evercore, Inc., Class A | 25,660 | 2,055,366 | ||||||
| Janus Henderson Group PLC | 82,852 | 1,860,856 | ||||||
| LPL Financial Holdings, Inc. | 69,436 | 5,686,808 | ||||||
| Morningstar, Inc. | 13,596 | 1,986,919 | ||||||
| Raymond James Financial, Inc. | 61,045 | 5,033,771 | ||||||
| 23,817,057 | ||||||||
| Chemicals 0.9% | ||||||||
| Cabot Corp. | 22,181 | 1,005,243 | ||||||
| CF Industries Holdings, Inc. | 85,746 | 4,218,703 | ||||||
| Huntsman Corp. | 118,086 | 2,746,681 | ||||||
| Olin Corp. | 9,789 | 183,250 | ||||||
| 8,153,877 | ||||||||
| Commercial Services & Supplies 2.6% | ||||||||
| ADT, Inc. (b) | 120,838 | 757,654 | ||||||
| Cintas Corp. | 21,572 | 5,783,453 | ||||||
| Clean Harbors, Inc. (a) | 68,905 | 5,319,466 | ||||||
| IAA, Inc. (a) | 119,620 | 4,991,743 | ||||||
| KAR Auction Services, Inc. | 203,873 | 5,005,082 | ||||||
| Republic Services, Inc. | 12,289 | 1,063,613 | ||||||
| 22,921,011 | ||||||||
| Communications Equipment 0.3% | ||||||||
| EchoStar Corp., Class A (a) | 68,262 | 2,704,540 | ||||||
| Construction & Engineering 0.6% | ||||||||
| AECOM (a) | 70,274 | 2,639,492 | ||||||
| Fluor Corp. | 145,479 | 2,783,013 | ||||||
| 5,422,505 | ||||||||
| Consumer Finance 2.4% | ||||||||
| Discover Financial Services | 93,715 | 7,599,349 | ||||||
| OneMain Holdings, Inc. | 33,697 | 1,236,006 | ||||||
| SLM Corp. | 568,207 | 5,014,427 | ||||||
| Synchrony Financial | 219,985 | 7,499,289 | ||||||
| 21,349,071 | ||||||||
| Containers & Packaging 1.4% | ||||||||
| Ardagh Group S.A. | 23,732 | 372,118 | ||||||
| Ball Corp. | 71,335 | 5,193,901 | ||||||
| Berry Global Group, Inc. (a) | 69,482 | 2,728,558 | ||||||
| Silgan Holdings, Inc. | 103,864 | 3,119,555 | ||||||
| WestRock Co. | 15,279 | 556,920 | ||||||
| 11,971,052 | ||||||||
| Diversified Consumer Services 1.7% | ||||||||
| Bright Horizons Family Solutions, Inc. (a) | 2,365 | 360,663 | ||||||
| Frontdoor, Inc. (a) | 98,265 | 4,772,731 | ||||||
| H&R Block, Inc. | 208,926 | 4,934,832 | ||||||
| Service Corporation International | 6,032 | 288,390 | ||||||
| ServiceMaster Global Holdings, Inc. (a) | 84,818 | 4,741,326 | ||||||
| 15,097,942 | ||||||||
| Diversified Financial Services 1.0% | ||||||||
| AXA Equitable Holdings, Inc. | 255,630 | 5,664,761 | ||||||
| Voya Financial, Inc. | 65,390 | 3,559,831 | ||||||
| 9,224,592 | ||||||||
| Diversified Telecommunication Services 0.1% | ||||||||
| CenturyLink, Inc. | 46,753 | 583,477 | ||||||
| Electric Utilities 1.6% | ||||||||
| Entergy Corp. | 51,510 | 6,045,214 | ||||||
| Evergy, Inc. | 863 | 57,441 | ||||||
| FirstEnergy Corp. | 4,602 | 221,954 | ||||||
| Hawaiian Electric Industries, Inc. | 1,908 | 87,024 | ||||||
| PG&E Corp. (a) | 60,851 | 608,510 | ||||||
| Pinnacle West Capital Corp. | 28,997 | 2,814,739 | ||||||
| PPL Corp. | 132,141 | 4,161,120 | ||||||
| 13,996,002 | ||||||||
| Electrical Equipment 0.2% | ||||||||
| Regal Beloit Corp. | 21,936 | 1,598,038 | ||||||
| Electronic Equipment, Instruments & Components 3.0% | ||||||||
| Arrow Electronics, Inc. (a) | 75,741 | 5,648,764 | ||||||
| Avnet, Inc. | 120,127 | 5,343,850 | ||||||
| CDW Corp. | 56,917 | 7,014,451 | ||||||
| Jabil, Inc. | 170,569 | 6,101,253 | ||||||
| Keysight Technologies, Inc. (a) | 22,536 | 2,191,626 | ||||||
| 26,299,944 | ||||||||
| Energy Equipment & Services 0.2% | ||||||||
| Patterson-UTI Energy, Inc. | 245,377 | 2,097,973 | ||||||
| Entertainment 0.7% | ||||||||
| Lions Gate Entertainment Corp., Class B (a) | 114,301 | 998,991 | ||||||
| Live Nation Entertainment, Inc. (a) | 9,512 | 631,026 | ||||||
| Take-Two Interactive Software, Inc. (a) | 27,411 | 3,435,695 | ||||||
| Viacom, Inc., Class A (b) | 29,501 | 774,696 | ||||||
| 5,840,408 | ||||||||
| Equity Real Estate Investment Trusts 9.8% | ||||||||
| Alexandria Real Estate Equities, Inc. | 4,286 | 660,215 | ||||||
| American Campus Communities, Inc. | 42,592 | 2,047,823 | ||||||
| American Homes 4 Rent, Class A | 79,292 | 2,052,870 | ||||||
| Americold Realty Trust | 56,805 | 2,105,761 | ||||||
| Apartment Investment & Management Co., Class A | 41,843 | 2,181,694 | ||||||
| Apple Hospitality REIT, Inc. | 705 | 11,689 | ||||||
| AvalonBay Communities, Inc. | 9,829 | 2,116,479 | ||||||
| Boston Properties, Inc. | 7,722 | 1,001,234 | ||||||
| Brandywine Realty Trust | 71,049 | 1,076,392 | ||||||
| Brookfield Property REIT, Inc., Class A | 34,433 | 702,089 | ||||||
| Camden Property Trust | 20,861 | 2,315,780 | ||||||
| Colony Capital, Inc. | 303,466 | 1,826,865 | ||||||
| Columbia Property Trust, Inc. | 60,718 | 1,284,186 | ||||||
| Corporate Office Properties Trust | 56,524 | 1,683,285 | ||||||
| CubeSmart | 19,163 | 668,789 | ||||||
| Digital Realty Trust, Inc. | 13,511 | 1,753,863 | ||||||
| Duke Realty Corp. | 61,019 | 2,072,815 | ||||||
| Empire State Realty Trust, Inc., Class A | 109,754 | 1,566,190 | ||||||
| EPR Properties | 25,262 | 1,941,637 | ||||||
| Equity LifeStyle Properties, Inc. | 19,180 | 2,562,448 | ||||||
| Equity Residential | 42,426 | 3,659,667 | ||||||
| Essex Property Trust, Inc. | 3,509 | 1,146,215 | ||||||
| Extra Space Storage, Inc. | 8,370 | 977,783 | ||||||
| Gaming and Leisure Properties, Inc. | 56,246 | 2,150,847 | ||||||
| HCP, Inc. | 18,895 | 673,229 | ||||||
| Healthcare Trust of America, Inc., Class A | 37,888 | 1,113,149 | ||||||
| Host Hotels & Resorts, Inc. | 160,810 | 2,780,405 | ||||||
| Invitation Homes, Inc. | 95,406 | 2,824,972 | ||||||
| Lamar Advertising Co., Class A | 26,042 | 2,133,621 | ||||||
| Life Storage, Inc. | 17,465 | 1,840,986 | ||||||
| Medical Properties Trust, Inc. | 117,618 | 2,300,608 | ||||||
| Mid-America Apartment Communities, Inc. | 22,967 | 2,985,940 | ||||||
| Outfront Media, Inc. | 62,439 | 1,734,555 | ||||||
| Park Hotels & Resorts, Inc. | 37,610 | 939,122 | ||||||
| Rayonier, Inc. | 61,448 | 1,732,834 | ||||||
| Realty Income Corp. | 19,088 | 1,463,668 | ||||||
| Retail Properties of America, Inc., Class A | 133,404 | 1,643,537 | ||||||
| SBA Communications Corp. | 17,742 | 4,278,483 | ||||||
| Service Properties Trust | 9,108 | 234,895 | ||||||
| SITE Centers Corp. | 135,368 | 2,045,410 | ||||||
| Sun Communities, Inc. | 12,100 | 1,796,245 | ||||||
| UDR, Inc. | 5,934 | 287,680 | ||||||
| Ventas, Inc. | 59,325 | 4,332,505 | ||||||
| VEREIT, Inc. | 179,740 | 1,757,857 | ||||||
| Weingarten Realty Investors | 46,459 | 1,353,351 | ||||||
| Welltower, Inc. | 60,675 | 5,500,189 | ||||||
| Weyerhaeuser Co. | 36,840 | 1,020,468 | ||||||
| WP Carey, Inc. | 5,010 | 448,395 | ||||||
| 86,788,720 | ||||||||
| Food & Staples Retailing 0.5% | ||||||||
| Sprouts Farmers Market, Inc. (a) | 47,368 | 916,097 | ||||||
| U.S. Foods Holding Corp. (a) | 86,666 | 3,561,973 | ||||||
| 4,478,070 | ||||||||
| Food Products 2.6% | ||||||||
| Bunge, Ltd. | 101,340 | 5,737,871 | ||||||
| Flowers Foods, Inc. | 59,690 | 1,380,630 | ||||||
| Hershey Co. | 32,346 | 5,013,306 | ||||||
| Pilgrim's Pride Corp. (a) | 153,217 | 4,909,839 | ||||||
| Seaboard Corp. | 61 | 266,875 | ||||||
| TreeHouse Foods, Inc. (a) | 9,081 | 503,541 | ||||||
| Tyson Foods, Inc., Class A | 57,379 | 4,942,627 | ||||||
| 22,754,689 | ||||||||
| Health Care Equipment & Supplies 3.4% | ||||||||
| Cooper Cos., Inc. | 9,876 | 2,933,172 | ||||||
| DENTSPLY SIRONA, Inc. | 75,554 | 4,027,784 | ||||||
| Hill-Rom Holdings, Inc. | 48,086 | 5,060,090 | ||||||
| Hologic, Inc. (a) | 125,539 | 6,338,464 | ||||||
| IDEXX Laboratories, Inc. (a) | 3,778 | 1,027,352 | ||||||
| Integra LifeSciences Holdings Corp. (a) | 18,921 | 1,136,584 | ||||||
| ResMed, Inc. | 6,654 | 899,022 | ||||||
| STERIS PLC | 41,114 | 5,940,562 | ||||||
| Varian Medical Systems, Inc. (a) | 12,224 | 1,455,756 | ||||||
| Zimmer Biomet Holdings, Inc. | 8,094 | 1,111,063 | ||||||
| 29,929,849 | ||||||||
| Health Care Providers & Services 2.6% | ||||||||
| AmerisourceBergen Corp. | 73,382 | 6,041,540 | ||||||
| Cardinal Health, Inc. | 36,701 | 1,731,920 | ||||||
| Centene Corp. (a) | 149,654 | 6,474,032 | ||||||
| McKesson Corp. | 54,198 | 7,406,699 | ||||||
| MEDNAX, Inc. (a) | 51,408 | 1,162,849 | ||||||
| 22,817,040 | ||||||||
| Health Care Technology 1.2% | ||||||||
| Cerner Corp. | 104,913 | 7,151,919 | ||||||
| Veeva Systems, Inc., Class A (a) | 25,445 | 3,885,197 | ||||||
| 11,037,116 | ||||||||
| Hotels, Restaurants & Leisure 4.7% | ||||||||
| Aramark | 138,070 | 6,017,091 | ||||||
| Caesars Entertainment Corp. (a) | 262,711 | 3,063,210 | ||||||
| Chipotle Mexican Grill, Inc. (a) | 5,825 | 4,895,738 | ||||||
| Darden Restaurants, Inc. | 53,141 | 6,282,329 | ||||||
| Extended Stay America, Inc. | 322,266 | 4,717,974 | ||||||
| Hilton Worldwide Holdings, Inc. | 26,991 | 2,513,132 | ||||||
| MGM Resorts International | 89,370 | 2,477,336 | ||||||
| Norwegian Cruise Line Holdings, Ltd. (a) | 29,812 | 1,543,367 | ||||||
| Royal Caribbean Cruises, Ltd. | 7,327 | 793,734 | ||||||
| Wynn Resorts, Ltd. | 20,554 | 2,234,631 | ||||||
| Yum China Holdings, Inc. | 147,716 | 6,710,738 | ||||||
| 41,249,280 | ||||||||
| Household Durables 2.1% | ||||||||
| NVR, Inc. (a) | 1,682 | 6,252,583 | ||||||
| PulteGroup, Inc. | 154,111 | 5,632,757 | ||||||
| Roku, Inc. (a) | 9,545 | 971,299 | ||||||
| Toll Brothers, Inc. | 136,954 | 5,621,962 | ||||||
| 18,478,601 | ||||||||
| Independent Power & Renewable Electricity Producers 0.8% | ||||||||
| AES Corp. | 376,901 | 6,158,562 | ||||||
| NRG Energy, Inc. | 18,634 | 737,907 | ||||||
| 6,896,469 | ||||||||
| Insurance 6.7% | ||||||||
| American Financial Group, Inc. | 3,636 | 392,143 | ||||||
| American National Insurance Co. | 10,062 | 1,244,971 | ||||||
| Arch Capital Group, Ltd. (a) | 3,560 | 149,449 | ||||||
| Assurant, Inc. | 20,621 | 2,594,534 | ||||||
| Athene Holding, Ltd., Class A (a) | 132,609 | 5,577,534 | ||||||
| Brighthouse Financial, Inc. (a) | 135,596 | 5,487,570 | ||||||
| Cincinnati Financial Corp. | 8,374 | 976,994 | ||||||
| Everest Re Group, Ltd. | 13,022 | 3,465,024 | ||||||
| Fidelity National Financial, Inc. | 135,934 | 6,036,829 | ||||||
| First American Financial Corp. | 92,202 | 5,440,840 | ||||||
| Hanover Insurance Group, Inc. | 26,883 | 3,643,722 | ||||||
| Hartford Financial Services Group, Inc. | 13,689 | 829,690 | ||||||
| Kemper Corp. | 33,386 | 2,602,439 | ||||||
| Lincoln National Corp. | 36,793 | 2,219,354 | ||||||
| Mercury General Corp. | 63,553 | 3,551,342 | ||||||
| Old Republic International Corp. | 235,106 | 5,541,448 | ||||||
| Reinsurance Group of America, Inc. | 37,485 | 5,993,102 | ||||||
| Unum Group | 92,430 | 2,747,020 | ||||||
| Willis Towers Watson PLC | 1,394 | 269,000 | ||||||
| 58,763,005 | ||||||||
| Interactive Media & Services 1.2% | ||||||||
| IAC/InterActiveCorp (a) | 15,513 | 3,381,369 | ||||||
| TripAdvisor, Inc. (a) | 48,783 | 1,886,926 | ||||||
| Twitter, Inc. (a) | 131,607 | 5,422,208 | ||||||
| 10,690,503 | ||||||||
| Internet & Direct Marketing Retail 1.3% | ||||||||
| Expedia Group, Inc. | 51,616 | 6,937,707 | ||||||
| Qurate Retail, Inc., Series A (a) | 455,067 | 4,694,016 | ||||||
| 11,631,723 | ||||||||
| IT Services 6.9% | ||||||||
| Akamai Technologies, Inc. (a) | 69,925 | 6,389,746 | ||||||
| Amdocs, Ltd. | 87,336 | 5,773,783 | ||||||
| Booz Allen Hamilton Holding Corp. | 80,600 | 5,724,212 | ||||||
| CACI International, Inc., Class A (a) | 23,506 | 5,435,998 | ||||||
| DXC Technology Co. | 82,043 | 2,420,269 | ||||||
| Euronet Worldwide, Inc. (a) | 29,048 | 4,249,722 | ||||||
| Fiserv, Inc. (a) | 26,756 | 2,771,654 | ||||||
| Genpact, Ltd. | 125,967 | 4,881,221 | ||||||
| Global Payments, Inc. | 24,850 | 3,951,150 | ||||||
| GoDaddy, Inc., Class A (a) | 92,618 | 6,110,936 | ||||||
| Leidos Holdings, Inc. | 70,501 | 6,054,626 | ||||||
| Square, Inc., Class A (a) | 38,374 | 2,377,269 | ||||||
| Switch, Inc., Class A (b) | 19,423 | 303,387 | ||||||
| VeriSign, Inc. (a) | 24,657 | 4,651,050 | ||||||
| 61,095,023 | ||||||||
| Life Sciences Tools & Services 2.1% | ||||||||
| Avantor, Inc. (a) | 164,130 | 2,412,711 | ||||||
| Bruker Corp. | 27,337 | 1,200,914 | ||||||
| Charles River Laboratories International, Inc. (a) | 25,046 | 3,315,339 | ||||||
| IQVIA Holdings, Inc. (a) | 50,692 | 7,572,371 | ||||||
| PRA Health Sciences, Inc. (a) | 41,263 | 4,094,528 | ||||||
| 18,595,863 | ||||||||
| Machinery 1.9% | ||||||||
| AGCO Corp. | 35,171 | 2,662,445 | ||||||
| Allison Transmission Holdings, Inc. | 41,664 | 1,960,291 | ||||||
| Cummins, Inc. | 45,154 | 7,345,201 | ||||||
| Timken Co. | 108,036 | 4,700,646 | ||||||
| 16,668,583 | ||||||||
| Media 1.5% | ||||||||
| Altice U.S.A., Inc., Class A (a) | 141,090 | 4,046,461 | ||||||
| Fox Corp., Class B | 79,083 | 2,494,278 | ||||||
| John Wiley & Sons, Inc., Class A | 33,154 | 1,456,787 | ||||||
| News Corp. | ||||||||
| Class A | 290,074 | 4,037,830 | ||||||
| Class B | 98,246 | 1,404,426 | ||||||
| 13,439,782 | ||||||||
| Metals & Mining 0.3% | ||||||||
| Steel Dynamics, Inc. | 98,143 | 2,924,661 | ||||||
| Multi-Utilities 2.2% | ||||||||
| CenterPoint Energy, Inc. | 218,579 | 6,596,714 | ||||||
| Consolidated Edison, Inc. | 44,545 | 4,208,166 | ||||||
| DTE Energy Co. | 32,725 | 4,351,116 | ||||||
| MDU Resources Group, Inc. | 117,867 | 3,322,671 | ||||||
| WEC Energy Group, Inc. | 10,608 | 1,008,821 | ||||||
| 19,487,488 | ||||||||
| Multiline Retail 0.7% | ||||||||
| Dollar General Corp. | 40,721 | 6,472,196 | ||||||
| Oil, Gas & Consumable Fuels 1.4% | ||||||||
| Devon Energy Corp. | 119,137 | 2,866,436 | ||||||
| HollyFrontier Corp. | 69,482 | 3,727,015 | ||||||
| PBF Energy, Inc., Class A | 210,133 | 5,713,516 | ||||||
| 12,306,967 | ||||||||
| Personal Products 0.4% | ||||||||
| Nu Skin Enterprises, Inc., Class A | 83,596 | 3,555,338 | ||||||
| Pharmaceuticals 0.2% | ||||||||
| Horizon Therapeutics PLC (a) | 11,968 | 325,889 | ||||||
| Mylan N.V. (a) | 51,950 | 1,027,571 | ||||||
| 1,353,460 | ||||||||
| Professional Services 2.5% | ||||||||
| IHS Markit, Ltd. (a) | 24,860 | 1,662,637 | ||||||
| ManpowerGroup, Inc. | 63,760 | 5,371,142 | ||||||
| Nielsen Holdings PLC | 256,227 | 5,444,824 | ||||||
| TransUnion | 61,372 | 4,977,883 | ||||||
| Verisk Analytics, Inc. | 31,192 | 4,932,703 | ||||||
| 22,389,189 | ||||||||
| Real Estate Management & Development 0.9% | ||||||||
| CBRE Group, Inc., Class A (a) | 78,483 | 4,160,384 | ||||||
| Jones Lang LaSalle, Inc. | 27,657 | 3,845,982 | ||||||
| 8,006,366 | ||||||||
| Road & Rail 0.2% | ||||||||
| Schneider National, Inc., Class B | 70,082 | 1,522,181 | ||||||
| Semiconductors & Semiconductor Equipment 3.8% | ||||||||
| Entegris, Inc. | 120,780 | 5,683,907 | ||||||
| KLA Corp. | 12,754 | 2,033,625 | ||||||
| Lam Research Corp. | 22,915 | 5,295,886 | ||||||
| MKS Instruments, Inc. | 60,637 | 5,595,582 | ||||||
| ON Semiconductor Corp. (a) | 166,346 | 3,195,507 | ||||||
| Qorvo, Inc. (a) | 75,328 | 5,584,818 | ||||||
| Teradyne, Inc. | 101,854 | 5,898,365 | ||||||
| 33,287,690 | ||||||||
| Software 5.8% | ||||||||
| Atlassian Corp. PLC, Class A (a) | 5,805 | 728,179 | ||||||
| Cadence Design Systems, Inc. (a) | 102,391 | 6,765,997 | ||||||
| CDK Global, Inc. | 117,950 | 5,672,216 | ||||||
| Dropbox, Inc., Class A (a) | 272,605 | 5,498,443 | ||||||
| Fair Isaac Corp. (a) | 1,946 | 590,650 | ||||||
| Fortinet, Inc. (a) | 74,673 | 5,731,899 | ||||||
| LogMeIn, Inc. | 39,022 | 2,769,001 | ||||||
| New Relic, Inc. (a) | 8,778 | 539,408 | ||||||
| Nuance Communications, Inc. (a) | 313,939 | 5,120,345 | ||||||
| Palo Alto Networks, Inc. (a) | 15,371 | 3,133,071 | ||||||
| SS&C Technologies Holdings, Inc. | 16,608 | 856,475 | ||||||
| Symantec Corp. | 267,065 | 6,310,746 | ||||||
| Synopsys, Inc. (a) | 51,311 | 7,042,435 | ||||||
| 50,758,865 | ||||||||
| Specialty Retail 2.5% | ||||||||
| AutoNation, Inc. (a) | 102,533 | 5,198,423 | ||||||
| AutoZone, Inc. (a) | 7,119 | 7,721,410 | ||||||
| Best Buy Co., Inc. | 95,696 | 6,602,067 | ||||||
| Williams-Sonoma, Inc. | 36,545 | 2,484,329 | ||||||
| 22,006,229 | ||||||||
| Technology Hardware, Storage & Peripherals 0.2% | ||||||||
| Xerox Holdings Corp. | 69,680 | 2,084,129 | ||||||
| Textiles, Apparel & Luxury Goods 0.7% | ||||||||
| Skechers U.S.A., Inc., Class A (a) | 156,207 | 5,834,331 | ||||||
| Thrifts & Mortgage Finance 0.1% | ||||||||
| MGIC Investment Corp. | 53,365 | 671,332 | ||||||
| Trading Companies & Distributors 0.0% ‡ | ||||||||
| WESCO International, Inc. (a) | 1,884 | 89,999 | ||||||
| Transportation Infrastructure 0.1% | ||||||||
| Macquarie Infrastructure Corp. | 11,745 | 463,575 | ||||||
| Wireless Telecommunication Services 0.0% ‡ | ||||||||
| Telephone & Data Systems, Inc. | 16,582 | 427,816 | ||||||
| Total Common Stocks (Cost $780,793,557) | 864,666,218 | |||||||
| Exchange-Traded Funds 1.8% | ||||||||
| iShares Core S&P Mid-Cap ETF | 75,174 | 14,525,872 | ||||||
| SPDR S&P 500 ETF Trust | 4,550 | 1,350,304 | ||||||
| Total Exchange-Traded Funds (Cost $15,806,495) | 15,876,176 | |||||||
| Short-Term Investments 0.3% | ||||||||
| Affiliated Investment Company 0.0% ‡ | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (c) | 310,283 | 310,283 | ||||||
| Unaffiliated Investment Company 0.3% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio,2.07% (c)(d) | 2,238,581 | 2,238,581 | ||||||
| Total Short-Term Investments (Cost $2,548,864) | 2,548,864 | |||||||
| Total Investments (Cost $799,148,916) | 100.2 | % | 883,091,258 | |||||
| Other Assets, Less Liabilities | (0.2 | ) | (1,811,027 | ) | ||||
| Net Assets | 100.0 | % | $ | 881,280,231 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | Non-income producing security. |
| (b) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $2,924,330; the total market value of collateral held by the Portfolio was $3,034,089. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $795,508. |
| (c) | Current yield as of September 30, 2019. |
| (d) | Represents security purchased with cash collateral received for securities on loan. |
The following abbreviations are used in the preceding pages:
| ETF | —Exchange-Traded Fund |
| SPDR | —Standard & Poor's Depositary Receipt |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets:
| Quoted Prices in Active Markets for Identical Assets | Significant Other Observable Inputs | Significant Unobservable Inputs | ||||||||||||||
| Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Common Stocks | $ | 864,666,218 | $ | — | $ | — | $ | 864,666,218 | ||||||||
| Exchange-Traded Funds | 15,876,176 | — | — | 15,876,176 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 310,283 | — | — | 310,283 | ||||||||||||
| Unaffiliated Investment Company | 2,238,581 | — | — | 2,238,581 | ||||||||||||
| Total Short-Term Investments | 2,548,864 | — | — | 2,548,864 | ||||||||||||
| Total Investments in Securities | $ | 883,091,258 | $ | — | $ | — | $ | 883,091,258 | ||||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP MacKay Small Cap Core Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Common Stocks 99.2% † | ||||||||
| Aerospace & Defense 1.6% | ||||||||
| Aerojet Rocketdyne Holdings, Inc. (a) | 44,400 | $ | 2,242,644 | |||||
| Ducommun, Inc. (a) | 40,600 | 1,721,440 | ||||||
| Mercury Systems, Inc. (a) | 12,800 | 1,038,976 | ||||||
| Moog, Inc., Class A | 26,200 | 2,125,344 | ||||||
| Vectrus, Inc. (a) | 42,500 | 1,727,625 | ||||||
| 8,856,029 | ||||||||
| Air Freight & Logistics 0.1% | ||||||||
| Radiant Logistics, Inc. (a) | 50,200 | 259,534 | ||||||
| Airlines 0.3% | ||||||||
| SkyWest, Inc. | 23,900 | 1,371,860 | ||||||
| Auto Components 0.6% | ||||||||
| Adient PLC | 54,900 | 1,260,504 | ||||||
| Dana, Inc. | 150,300 | 2,170,332 | ||||||
| 3,430,836 | ||||||||
| Banks 7.8% | ||||||||
| Amalgamated Bank, Class A | 1,100 | 17,622 | ||||||
| Amerant Bancorp, Inc. (a)(b) | 1,300 | 27,261 | ||||||
| Bancorp, Inc. (a) | 183,200 | 1,813,680 | ||||||
| Bank of Commerce Holdings | 5,600 | 60,984 | ||||||
| BayCom Corp. (a) | 7,700 | 174,867 | ||||||
| BCB Bancorp, Inc. | 31,500 | 404,460 | ||||||
| Boston Private Financial Holdings, Inc. | 43,700 | 509,324 | ||||||
| Bridge Bancorp, Inc. | 36,690 | 1,084,556 | ||||||
| Cadence Bancorp | 131,200 | 2,301,248 | ||||||
| Capstar Financial Holdings, Inc. | 10,900 | 180,722 | ||||||
| Central Valley Community Bancorp | 300 | 6,105 | ||||||
| Century Bancorp, Inc., Class A | 9,800 | 858,480 | ||||||
| Civista Bancshares, Inc. | 36,900 | 801,837 | ||||||
| Coastal Financial Corp. (a) | 1,100 | 16,621 | ||||||
| ConnectOne Bancorp, Inc. | 45,000 | 999,000 | ||||||
| Customers Bancorp, Inc. (a) | 88,700 | 1,839,638 | ||||||
| Eagle Bancorp, Inc. | 26,100 | 1,164,582 | ||||||
| Esquire Financial Holdings, Inc. (a) | 100 | 2,480 | ||||||
| Farmers National Banc Corp. | 26,800 | 388,064 | ||||||
| Financial Institutions, Inc. | 55,500 | 1,674,990 | ||||||
| First Business Financial Services, Inc. | 19,000 | 457,520 | ||||||
| First Financial Northwest, Inc. | 21,800 | 322,204 | ||||||
| First Foundation, Inc. | 121,000 | 1,848,275 | ||||||
| First Internet Bancorp | 51,500 | 1,102,615 | ||||||
| First Midwest Bancorp, Inc. | 112,900 | 2,199,292 | ||||||
| First Northwest Bancorp | 6,100 | 105,652 | ||||||
| First of Long Island Corp. | 30,400 | 691,600 | ||||||
| Flushing Financial Corp. | 43,300 | 874,877 | ||||||
| Franklin Financial Network, Inc. | 38,200 | 1,154,022 | ||||||
| Great Southern Bancorp, Inc. | 10,400 | 592,280 | ||||||
| Hancock Whitney Corp. | 59,700 | 2,286,211 | ||||||
| Hanmi Financial Corp. | 92,500 | 1,737,150 | ||||||
| IberiaBank Corp. | 16,200 | 1,223,748 | ||||||
| Investar Holding Corp. | 3,100 | 73,780 | ||||||
| Lakeland Bancorp, Inc. | 10,600 | 163,558 | ||||||
| LCNB Corp. | 8,000 | 141,920 | ||||||
| Level One Bancorp, Inc. | 3,000 | 72,360 | ||||||
| Mercantile Bank Corp. | 5,900 | 193,520 | ||||||
| Metropolitan Bank Holding Corp. (a) | 23,400 | 920,322 | ||||||
| MidWestOne Financial Group, Inc. | 29,300 | 894,236 | ||||||
| Northeast Bank | 10,300 | 228,351 | ||||||
| OFG Bancorp | 69,100 | 1,513,290 | ||||||
| Orrstown Financial Services, Inc. | 16,700 | 365,730 | ||||||
| PCB Bancorp | 18,200 | 299,390 | ||||||
| Peapack-Gladstone Financial Corp. | 43,800 | 1,227,714 | ||||||
| Preferred Bank / Los Angeles CA | 35,000 | 1,833,300 | ||||||
| RBB Bancorp | 53,400 | 1,051,446 | ||||||
| Renasant Corp. | 9,600 | 336,096 | ||||||
| Republic Bancorp, Inc., Class A | 15,200 | 660,440 | ||||||
| SB One Bancorp | 9,000 | 203,040 | ||||||
| SmartFinancial, Inc. (a) | 22,900 | 477,007 | ||||||
| TriState Capital Holdings, Inc. (a) | 30,100 | 633,304 | ||||||
| Unity Bancorp, Inc. | 1,000 | 22,150 | ||||||
| WesBanco, Inc. | 59,100 | 2,208,567 | ||||||
| 42,441,488 | ||||||||
| Beverages 0.8% | ||||||||
| Boston Beer Co., Inc., Class A (a) | 6,300 | 2,293,704 | ||||||
| Coca-Cola Consolidated, Inc. | 6,900 | 2,096,703 | ||||||
| Craft Brew Alliance, Inc. (a) | 24,800 | 203,112 | ||||||
| 4,593,519 | ||||||||
| Biotechnology 6.7% | ||||||||
| ACADIA Pharmaceuticals, Inc. (a) | 39,200 | 1,410,808 | ||||||
| Acceleron Pharma, Inc. (a) | 26,402 | 1,043,143 | ||||||
| Aimmune Therapeutics, Inc. (a)(b) | 28,700 | 600,978 | ||||||
| Amicus Therapeutics, Inc. (a) | 115,340 | 925,027 | ||||||
| AnaptysBio, Inc. (a) | 14,100 | 493,359 | ||||||
| Arena Pharmaceuticals, Inc. (a) | 19,983 | 914,622 | ||||||
| Arrowhead Pharmaceuticals, Inc. (a)(b) | 34,500 | 972,210 | ||||||
| Atara Biotherapeutics, Inc. (a) | 34,500 | 487,140 | ||||||
| Audentes Therapeutics, Inc. (a) | 23,500 | 660,115 | ||||||
| Biohaven Pharmaceutical Holding Co., Ltd. (a) | 15,000 | 625,800 | ||||||
| Blueprint Medicines Corp. (a) | 18,900 | 1,388,583 | ||||||
| Editas Medicine, Inc. (a)(b) | 31,400 | 714,036 | ||||||
| Emergent BioSolutions, Inc. (a) | 20,292 | 1,060,866 | ||||||
| Enanta Pharmaceuticals, Inc. (a) | 10,700 | 642,856 | ||||||
| FibroGen, Inc. (a) | 29,719 | 1,099,009 | ||||||
| Global Blood Therapeutics, Inc. (a) | 22,900 | 1,111,108 | ||||||
| Halozyme Therapeutics, Inc. (a) | 80,400 | 1,247,004 | ||||||
| Heron Therapeutics, Inc. (a) | 39,300 | 727,050 | ||||||
| Immunomedics, Inc. (a) | 71,800 | 952,068 | ||||||
| Insmed, Inc. (a) | 40,390 | 712,480 | ||||||
| Intercept Pharmaceuticals, Inc. (a)(b) | 11,900 | 789,684 | ||||||
| Invitae Corp. (a) | 35,000 | 674,450 | ||||||
| Iovance Biotherapeutics, Inc. (a) | 42,700 | 777,140 | ||||||
| Ironwood Pharmaceuticals, Inc. (a) | 67,152 | 576,500 | ||||||
| Ligand Pharmaceuticals, Inc. (a) | 7,827 | 779,099 | ||||||
| Madrigal Pharmaceuticals, Inc. (a)(b) | 5,900 | 508,698 | ||||||
| Medicines Co. (a)(b) | 26,700 | 1,335,000 | ||||||
| Mirati Therapeutics, Inc. (a) | 9,800 | 763,518 | ||||||
| Momenta Pharmaceuticals, Inc. (a) | 49,469 | 641,118 | ||||||
| Myriad Genetics, Inc. (a) | 29,310 | 839,145 | ||||||
| Natera, Inc. (a) | 22,600 | 741,280 | ||||||
| OPKO Health, Inc. (a)(b) | 233,600 | 488,224 | ||||||
| Portola Pharmaceuticals, Inc. (a)(b) | 30,842 | 827,182 | ||||||
| Prothena Corp. PLC (a) | 59,907 | 469,671 | ||||||
| PTC Therapeutics, Inc. (a) | 25,500 | 862,410 | ||||||
| Radius Health, Inc. (a) | 26,533 | 683,225 | ||||||
| REGENXBIO, Inc. (a) | 18,200 | 647,920 | ||||||
| Repligen Corp. (a) | 18,876 | 1,447,600 | ||||||
| Retrophin, Inc. (a) | 38,900 | 450,851 | ||||||
| Sangamo Therapeutics, Inc. (a) | 55,100 | 498,655 | ||||||
| Spark Therapeutics, Inc. (a) | 12,416 | 1,204,104 | ||||||
| Spectrum Pharmaceuticals, Inc. (a) | 74,115 | 614,784 | ||||||
| Ultragenyx Pharmaceutical, Inc. (a) | 24,144 | 1,032,880 | ||||||
| Vanda Pharmaceuticals, Inc. (a) | 30,400 | 403,712 | ||||||
| Xencor, Inc. (a) | 19,531 | 658,781 | ||||||
| 36,503,893 | ||||||||
| Building Products 1.9% | ||||||||
| American Woodmark Corp. (a) | 22,900 | 2,036,039 | ||||||
| Builders FirstSource, Inc. (a) | 115,300 | 2,372,298 | ||||||
| Patrick Industries, Inc. (a) | 43,000 | 1,843,840 | ||||||
| Quanex Building Products Corp. | 97,700 | 1,766,416 | ||||||
| Universal Forest Products, Inc. | 56,200 | 2,241,256 | ||||||
| 10,259,849 | ||||||||
| Capital Markets 1.2% | ||||||||
| Donnelley Financial Solutions, Inc. (a) | 13,400 | 165,088 | ||||||
| Federated Investors, Inc., Class B | 76,900 | 2,492,329 | ||||||
| GAMCO Investors, Inc., Class A | 2,100 | 41,055 | ||||||
| INTL FCStone, Inc. (a) | 41,700 | 1,712,202 | ||||||
| Ladenburg Thalmann Financial Services, Inc. | 169,200 | 401,004 | ||||||
| Silvercrest Asset Management Group, Inc. | 1,000 | 12,300 | ||||||
| Waddell & Reed Financial, Inc., Class A (b) | 113,000 | 1,941,340 | ||||||
| 6,765,318 | ||||||||
| Chemicals 1.9% | ||||||||
| AdvanSix, Inc. (a) | 71,700 | 1,844,124 | ||||||
| FutureFuel Corp. | 21,700 | 259,098 | ||||||
| Hawkins, Inc. | 20,200 | 858,500 | ||||||
| Koppers Holdings, Inc. (a) | 17,500 | 511,175 | ||||||
| Kraton Corp. (a) | 29,200 | 942,868 | ||||||
| Stepan Co. | 19,300 | 1,873,258 | ||||||
| Tredegar Corp. | 94,100 | 1,836,832 | ||||||
| Trinseo S.A. | 46,900 | 2,014,355 | ||||||
| 10,140,210 | ||||||||
| Commercial Services & Supplies 3.1% | ||||||||
| ABM Industries, Inc. | 60,800 | 2,208,256 | ||||||
| Herman Miller, Inc. | 53,800 | 2,479,642 | ||||||
| Kimball International, Inc., Class B | 40,900 | 789,370 | ||||||
| Knoll, Inc. | 66,400 | 1,683,240 | ||||||
| LSC Communications, Inc. | 15,700 | 21,666 | ||||||
| McGrath RentCorp. | 21,800 | 1,517,062 | ||||||
| Quad/Graphics, Inc. | 10,700 | 112,457 | ||||||
| R.R. Donnelley & Sons Co. | 221,900 | 836,563 | ||||||
| Steelcase, Inc., Class A | 123,700 | 2,276,080 | ||||||
| Tetra Tech, Inc. | 33,000 | 2,863,080 | ||||||
| Viad Corp. | 30,700 | 2,061,505 | ||||||
| 16,848,921 | ||||||||
| Communications Equipment 0.8% | ||||||||
| CalAmp Corp. (a) | 9,400 | 108,288 | ||||||
| Casa Systems, Inc. (a) | 2,000 | 15,710 | ||||||
| Clearfield, Inc. (a) | 2,900 | 34,365 | ||||||
| Comtech Telecommunications Corp. | 6,400 | 208,000 | ||||||
| DASAN Zhone Solutions, Inc. (a) | 600 | 5,496 | ||||||
| Digi International, Inc. (a) | 1,900 | 25,878 | ||||||
| Extreme Networks, Inc. (a) | 111,300 | 809,708 | ||||||
| InterDigital, Inc. | 8,800 | 461,736 | ||||||
| Lumentum Holdings, Inc. (a) | 1,600 | 85,696 | ||||||
| NetScout Systems, Inc. (a) | 77,700 | 1,791,762 | ||||||
| Plantronics, Inc. | 3,600 | 134,352 | ||||||
| Viavi Solutions, Inc. (a) | 64,100 | 897,720 | ||||||
| 4,578,711 | ||||||||
| Construction & Engineering 2.1% | ||||||||
| EMCOR Group, Inc. | 34,200 | 2,945,304 | ||||||
| Great Lakes Dredge & Dock Corp. (a) | 183,600 | 1,918,620 | ||||||
| IES Holdings, Inc. (a) | 2,300 | 47,357 | ||||||
| MasTec, Inc. (a) | 42,100 | 2,733,553 | ||||||
| MYR Group, Inc. (a) | 58,500 | 1,830,465 | ||||||
| Sterling Construction Co., Inc. (a) | 140,600 | 1,848,890 | ||||||
| 11,324,189 | ||||||||
| Construction Materials 0.4% | ||||||||
| U.S. Concrete, Inc. (a) | 36,900 | 2,039,832 | ||||||
| Consumer Finance 0.6% | ||||||||
| Elevate Credit, Inc. (a) | 72,600 | 305,646 | ||||||
| Enova International, Inc. (a) | 76,800 | 1,593,600 | ||||||
| EZCORP, Inc., Class A (a) | 57,600 | 371,808 | ||||||
| FirstCash, Inc. | 10,100 | 925,867 | ||||||
| Green Dot Corp., Class A (a) | 600 | 15,150 | ||||||
| 3,212,071 | ||||||||
| Containers & Packaging 0.0% ‡ | ||||||||
| Myers Industries, Inc. | 3,100 | 54,715 | ||||||
| UFP Technologies, Inc. (a) | 2,900 | 111,940 | ||||||
| 166,655 | ||||||||
| Distributors 0.4% | ||||||||
| Core-Mark Holding Co., Inc. | 62,400 | 2,003,976 | ||||||
| Weyco Group, Inc. | 2,000 | 45,220 | ||||||
| 2,049,196 | ||||||||
| Diversified Consumer Services 1.3% | ||||||||
| Career Education Corp. (a) | 103,100 | 1,638,259 | ||||||
| Carriage Services, Inc. | 9,900 | 202,356 | ||||||
| Collectors Universe, Inc. | 26,900 | 766,112 | ||||||
| K12, Inc. (a) | 69,500 | 1,834,800 | ||||||
| Laureate Education, Inc., Class A (a) | 96,300 | 1,596,173 | ||||||
| Select Interior Concepts, Inc., Class A (a) | 64,600 | 837,862 | ||||||
| 6,875,562 | ||||||||
| Diversified Financial Services 0.2% | ||||||||
| Cannae Holdings, Inc. (a) | 47,200 | 1,296,584 | ||||||
| Diversified Telecommunication Services 0.2% | ||||||||
| ATN International, Inc. | 1,700 | 99,229 | ||||||
| IDT Corp., Class B (a) | 64,300 | 677,079 | ||||||
| Iridium Communications, Inc. (a) | 20,400 | 434,112 | ||||||
| 1,210,420 | ||||||||
| Electric Utilities 0.9% | ||||||||
| Genie Energy, Ltd., Class B | 47,900 | 357,334 | ||||||
| Portland General Electric Co. | 53,800 | 3,032,706 | ||||||
| Spark Energy, Inc., Class A | 154,600 | 1,631,030 | ||||||
| 5,021,070 | ||||||||
| Electrical Equipment 1.2% | ||||||||
| American Superconductor Corp. (a)(b) | 65,900 | 516,656 | ||||||
| Atkore International Group, Inc. (a) | 66,500 | 2,018,275 | ||||||
| AZZ, Inc. | 18,700 | 814,572 | ||||||
| Encore Wire Corp. | 34,200 | 1,924,776 | ||||||
| Generac Holdings, Inc. (a) | 700 | 54,838 | ||||||
| Powell Industries, Inc. | 25,300 | 990,495 | ||||||
| Preformed Line Products Co. | 2,100 | 114,639 | ||||||
| 6,434,251 | ||||||||
| Electronic Equipment, Instruments & Components 3.9% | ||||||||
| Anixter International, Inc. (a) | 15,500 | 1,071,360 | ||||||
| AVX Corp. | 9,300 | 141,360 | ||||||
| Belden, Inc. | 36,200 | 1,930,908 | ||||||
| Benchmark Electronics, Inc. | 59,200 | 1,720,352 | ||||||
| CTS Corp. | 2,100 | 67,956 | ||||||
| ePlus, Inc. (a) | 20,500 | 1,559,845 | ||||||
| Insight Enterprises, Inc. (a) | 37,300 | 2,077,237 | ||||||
| Iteris, Inc. (a) | 2,600 | 14,937 | ||||||
| Itron, Inc. (a) | 23,900 | 1,767,644 | ||||||
| KEMET Corp. | 13,400 | 243,612 | ||||||
| Kimball Electronics, Inc. (a) | 5,800 | 84,158 | ||||||
| Knowles Corp. (a) | 5,100 | 103,734 | ||||||
| Methode Electronics, Inc. | 10,800 | 363,312 | ||||||
| Napco Security Technologies, Inc. (a) | 800 | 20,416 | ||||||
| OSI Systems, Inc. (a) | 9,600 | 974,976 | ||||||
| PC Connection, Inc. | 12,600 | 490,140 | ||||||
| Plexus Corp. (a) | 8,100 | 506,331 | ||||||
| Rogers Corp. (a) | 3,700 | 505,827 | ||||||
| Sanmina Corp. (a) | 61,874 | 1,986,774 | ||||||
| ScanSource, Inc. (a) | 3,200 | 97,760 | ||||||
| Tech Data Corp. (a) | 23,400 | 2,439,216 | ||||||
| TTM Technologies, Inc. (a) | 114,200 | 1,392,669 | ||||||
| Vishay Intertechnology, Inc. | 96,700 | 1,637,131 | ||||||
| 21,197,655 | ||||||||
| Energy Equipment & Services 0.8% | ||||||||
| C&J Energy Services, Inc. (a) | 69,500 | 745,735 | ||||||
| Exterran Corp. (a) | 55,800 | 728,748 | ||||||
| FTS International, Inc. (a) | 110,600 | 247,744 | ||||||
| Keane Group, Inc. (a) | 105,500 | 639,330 | ||||||
| Matrix Service Co. (a) | 86,900 | 1,489,466 | ||||||
| ProPetro Holding Corp. (a) | 74,000 | 672,660 | ||||||
| 4,523,683 | ||||||||
| Entertainment 0.0% ‡ | ||||||||
| Marcus Corp. | 100 | 3,701 | ||||||
| Rosetta Stone, Inc. (a) | 13,600 | 236,640 | ||||||
| 240,341 | ||||||||
| Equity Real Estate Investment Trusts 5.4% | ||||||||
| American Assets Trust, Inc. | 44,900 | 2,098,626 | ||||||
| Braemar Hotels & Resorts, Inc. | 95,000 | 892,050 | ||||||
| CareTrust REIT, Inc. | 15,800 | 371,379 | ||||||
| City Office REIT, Inc. | 82,000 | 1,179,980 | ||||||
| Corepoint Lodging, Inc. | 23,500 | 237,585 | ||||||
| EastGroup Properties, Inc. | 23,200 | 2,900,464 | ||||||
| Franklin Street Properties Corp. | 13,000 | 109,980 | ||||||
| GEO Group, Inc. | 123,527 | 2,141,958 | ||||||
| Gladstone Commercial Corp. | 31,600 | 742,600 | ||||||
| Industrial Logistics Properties Trust | 24,200 | 514,250 | ||||||
| Lexington Realty Trust | 227,500 | 2,331,875 | ||||||
| NexPoint Residential Trust, Inc. | 26,200 | 1,225,112 | ||||||
| Preferred Apartment Communities, Inc., Class A | 2,700 | 39,015 | ||||||
| PS Business Parks, Inc. | 14,900 | 2,711,055 | ||||||
| Retail Value, Inc. | 11,600 | 429,664 | ||||||
| Rexford Industrial Realty, Inc. | 60,500 | 2,663,210 | ||||||
| Ryman Hospitality Properties, Inc. | 28,300 | 2,315,223 | ||||||
| Summit Hotel Properties, Inc. | 128,100 | 1,485,960 | ||||||
| Sunstone Hotel Investors, Inc. | 182,300 | 2,504,802 | ||||||
| Uniti Group, Inc. (b) | 115,200 | 894,528 | ||||||
| Xenia Hotels & Resorts, Inc. | 76,900 | 1,624,128 | ||||||
| 29,413,444 | ||||||||
| Food & Staples Retailing 0.8% | ||||||||
| Ingles Markets, Inc., Class A | 5,600 | 217,616 | ||||||
| Natural Grocers by Vitamin Cottage, Inc. (a) | 87,300 | 872,127 | ||||||
| Performance Food Group Co. (a) | 64,200 | 2,953,842 | ||||||
| SpartanNash Co. | 10,800 | 127,764 | ||||||
| Village Super Market, Inc., Class A | 100 | 2,645 | ||||||
| 4,173,994 | ||||||||
| Food Products 1.7% | ||||||||
| Farmer Brothers Co. (a) | 4,200 | 54,390 | ||||||
| Fresh Del Monte Produce, Inc. | 62,400 | 2,128,464 | ||||||
| J&J Snack Foods Corp. | 12,400 | 2,380,800 | ||||||
| John B. Sanfilippo & Son, Inc. | 19,900 | 1,922,340 | ||||||
| Sanderson Farms, Inc. | 15,000 | 2,269,950 | ||||||
| Seneca Foods Corp., Class A (a) | 12,700 | 395,986 | ||||||
| Simply Good Foods Co. (a) | 12,500 | 362,375 | ||||||
| 9,514,305 | ||||||||
| Health Care Equipment & Supplies 4.8% | ||||||||
| Accuray, Inc. (a) | 209,300 | 579,761 | ||||||
| AngioDynamics, Inc. (a) | 26,900 | 495,498 | ||||||
| CONMED Corp. | 24,000 | 2,307,600 | ||||||
| CryoLife, Inc. (a) | 5,300 | 143,895 | ||||||
| Cutera, Inc. (a) | 27,500 | 803,825 | ||||||
| Globus Medical, Inc., Class A (a) | 25,700 | 1,313,784 | ||||||
| Haemonetics Corp. (a) | 16,800 | 2,119,152 | ||||||
| Integer Holdings Corp. (a) | 30,800 | 2,327,248 | ||||||
| Invacare Corp. | 31,400 | 235,500 | ||||||
| Lantheus Holdings, Inc. (a) | 80,700 | 2,022,745 | ||||||
| Meridian Bioscience, Inc. | 29,400 | 279,006 | ||||||
| Natus Medical, Inc. (a) | 47,100 | 1,499,664 | ||||||
| NovoCure, Ltd. (a) | 23,600 | 1,764,808 | ||||||
| NuVasive, Inc. (a) | 40,000 | 2,535,200 | ||||||
| Orthofix Medical, Inc. (a) | 37,000 | 1,961,740 | ||||||
| RTI Surgical Holdings, Inc. (a) | 68,700 | 195,795 | ||||||
| SeaSpine Holdings Corp. (a) | 53,700 | 655,677 | ||||||
| Surmodics, Inc. (a) | 17,700 | 809,598 | ||||||
| Tandem Diabetes Care, Inc. (a) | 39,000 | 2,300,220 | ||||||
| Varex Imaging Corp. (a) | 66,300 | 1,892,202 | ||||||
| Zynex, Inc. (b) | 6,300 | 59,913 | ||||||
| 26,302,831 | ||||||||
| Health Care Providers & Services 2.0% | ||||||||
| AMN Healthcare Services, Inc. (a) | 23,500 | 1,352,660 | ||||||
| Corvel Corp. (a) | 6,000 | 454,200 | ||||||
| Cross Country Healthcare, Inc. (a) | 41,700 | 429,510 | ||||||
| Ensign Group, Inc. | 45,900 | 2,177,037 | ||||||
| Hanger, Inc. (a) | 40,700 | 829,466 | ||||||
| Magellan Health, Inc. (a) | 14,700 | 912,870 | ||||||
| National Healthcare Corp. | 4,800 | 392,880 | ||||||
| Providence Service Corp. (a) | 8,300 | 493,518 | ||||||
| R1 RCM, Inc. (a) | 161,200 | 1,439,516 | ||||||
| RadNet, Inc. (a) | 75,400 | 1,082,744 | ||||||
| Tenet Healthcare Corp. (a) | 51,700 | 1,143,604 | ||||||
| Triple-S Management Corp., Class B (a) | 12,114 | 162,328 | ||||||
| 10,870,333 | ||||||||
| Health Care Technology 1.2% | ||||||||
| Computer Programs & Systems, Inc. | 35,100 | 793,611 | ||||||
| HealthStream, Inc. (a) | 50,200 | 1,299,678 | ||||||
| HMS Holdings Corp. (a) | 68,600 | 2,364,299 | ||||||
| Inovalon Holdings, Inc., Class A (a)(b) | 5,000 | 81,950 | ||||||
| NextGen Healthcare, Inc. (a) | 51,100 | 800,737 | ||||||
| Omnicell, Inc. (a) | 20,100 | 1,452,627 | ||||||
| 6,792,902 | ||||||||
| Hotels, Restaurants & Leisure 1.8% | ||||||||
| BBX Capital Corp. | 7,900 | 36,893 | ||||||
| Bloomin' Brands, Inc. | 63,577 | 1,203,513 | ||||||
| Century Casinos, Inc. (a) | 57,500 | 444,475 | ||||||
| Chuy's Holdings, Inc. (a) | 21,800 | 539,768 | ||||||
| Cracker Barrel Old Country Store, Inc. (b) | 10,200 | 1,659,030 | ||||||
| Denny's Corp. (a) | 19,500 | 443,917 | ||||||
| Everi Holdings, Inc. (a) | 210,200 | 1,778,292 | ||||||
| Habit Restaurants, Inc., Class A (a) | 34,000 | 297,160 | ||||||
| J. Alexander's Holdings, Inc. (a) | 41,400 | 485,208 | ||||||
| Lindblad Expeditions Holdings, Inc. (a) | 2,700 | 45,252 | ||||||
| RCI Hospitality Holdings, Inc. | 20,800 | 430,144 | ||||||
| SeaWorld Entertainment, Inc. (a)(b) | 65,700 | 1,729,224 | ||||||
| Texas Roadhouse, Inc. | 5,000 | 262,600 | ||||||
| Wingstop, Inc. | 5,100 | 445,128 | ||||||
| 9,800,604 | ||||||||
| Household Durables 4.1% | ||||||||
| Bassett Furniture Industries, Inc. | 7,600 | 116,280 | ||||||
| Beazer Homes USA, Inc. (a) | 126,800 | 1,889,320 | ||||||
| Ethan Allen Interiors, Inc. | 20,100 | 383,910 | ||||||
| Flexsteel Industries, Inc. | 14,400 | 213,408 | ||||||
| Installed Building Products, Inc. (a) | 33,000 | 1,892,220 | ||||||
| KB Home | 79,300 | 2,696,200 | ||||||
| M/I Homes, Inc. (a) | 52,200 | 1,965,330 | ||||||
| MDC Holdings, Inc. | 55,000 | 2,370,500 | ||||||
| Meritage Homes Corp. (a) | 34,700 | 2,441,145 | ||||||
| Skyline Champion Corp. (a) | 62,800 | 1,889,652 | ||||||
| Taylor Morrison Home Corp. (a) | 97,900 | 2,539,526 | ||||||
| TopBuild Corp. (a) | 24,200 | 2,333,606 | ||||||
| TRI Pointe Group, Inc. (a) | 8,900 | 133,856 | ||||||
| Universal Electronics, Inc. (a) | 23,800 | 1,211,420 | ||||||
| 22,076,373 | ||||||||
| Household Products 0.4% | ||||||||
| Central Garden & Pet Co., Class A (a) | 70,300 | 1,949,068 | ||||||
| Independent Power & Renewable Electricity Producers 0.1% | ||||||||
| Atlantic Power Corp. (a)(b) | 250,100 | 585,234 | ||||||
| Insurance 3.1% | ||||||||
| American Equity Investment Life Holding Co. | 92,000 | 2,226,400 | ||||||
| Argo Group International Holdings, Ltd. | 32,300 | 2,268,752 | ||||||
| Crawford & Co. | ||||||||
| Class A | 26,000 | 282,880 | ||||||
| Class B | 7,300 | 73,657 | ||||||
| Donegal Group, Inc., Class A | 3,300 | 48,378 | ||||||
| eHealth, Inc. (a) | 1,500 | 100,185 | ||||||
| Employers Holdings, Inc. | 37,900 | 1,651,682 | ||||||
| Fednat Holding Co. | 15,600 | 218,244 | ||||||
| Genworth Financial, Inc., Class A (a) | 502,600 | 2,211,440 | ||||||
| Hallmark Financial Services, Inc. (a) | 70,000 | 1,339,100 | ||||||
| Heritage Insurance Holdings, Inc. | 54,300 | 811,785 | ||||||
| National General Holdings Corp. | 85,300 | 1,963,606 | ||||||
| Selective Insurance Group, Inc. | 18,900 | 1,421,091 | ||||||
| State Auto Financial Corp. | 4,500 | 145,755 | ||||||
| Stewart Information Services Corp. | 50,300 | 1,951,137 | ||||||
| Tiptree, Inc. | 19,100 | 139,048 | ||||||
| 16,853,140 | ||||||||
| Interactive Media & Services 0.4% | ||||||||
| DHI Group, Inc. (a) | 238,500 | 918,225 | ||||||
| Liberty TripAdvisor Holdings, Inc., Class A (a) | 6,900 | 64,929 | ||||||
| Travelzoo (a) | 91,200 | 974,928 | ||||||
| 1,958,082 | ||||||||
| Internet & Direct Marketing Retail 0.5% | ||||||||
| 1-800-Flowers.com, Inc., Class A (a) | 117,900 | 1,744,330 | ||||||
| Lands' End, Inc. (a)(b) | 41,700 | 473,087 | ||||||
| Rubicon Project, Inc. (a) | 53,800 | 468,598 | ||||||
| 2,686,015 | ||||||||
| IT Services 2.2% | ||||||||
| Brightcove, Inc. (a) | 46,400 | 486,272 | ||||||
| Cardtronics PLC, Class A (a) | 27,500 | 831,600 | ||||||
| Cass Information Systems, Inc. | 2,900 | 156,571 | ||||||
| CSG Systems International, Inc. | 9,300 | 480,624 | ||||||
| Endurance International Group Holdings, Inc. (a) | 18,200 | 68,250 | ||||||
| EVERTEC, Inc. | 17,000 | 530,740 | ||||||
| ExlService Holdings, Inc. (a) | 2,200 | 147,312 | ||||||
| KBR, Inc. | 62,700 | 1,538,658 | ||||||
| LiveRamp Holdings, Inc. (a) | 18,500 | 794,760 | ||||||
| MAXIMUS, Inc. | 17,724 | 1,369,356 | ||||||
| Perficient, Inc. (a) | 44,900 | 1,732,242 | ||||||
| Perspecta, Inc. | 79,800 | 2,084,376 | ||||||
| Science Applications International Corp. | 15,900 | 1,388,865 | ||||||
| Sykes Enterprises, Inc. (a) | 10,800 | 330,912 | ||||||
| TTEC Holdings, Inc. | 3,700 | 177,156 | ||||||
| Unisys Corp. (a) | 14,400 | 106,992 | ||||||
| 12,224,686 | ||||||||
| Leisure Products 0.2% | ||||||||
| Malibu Boats, Inc., Class A (a) | 2,400 | 73,632 | ||||||
| MasterCraft Boat Holdings, Inc. (a) | 52,800 | 788,040 | ||||||
| 861,672 | ||||||||
| Life Sciences Tools & Services 0.9% | ||||||||
| Fluidigm Corp. (a) | 1,300 | 6,019 | ||||||
| Medpace Holdings, Inc. (a) | 27,600 | 2,319,504 | ||||||
| Syneos Health, Inc. (a) | 47,925 | 2,550,089 | ||||||
| 4,875,612 | ||||||||
| Machinery 3.2% | ||||||||
| Blue Bird Corp. (a) | 15,600 | 296,946 | ||||||
| Commercial Vehicle Group, Inc. (a) | 250,500 | 1,806,105 | ||||||
| EnPro Industries, Inc. | 29,800 | 2,045,770 | ||||||
| Hyster-Yale Materials Handling, Inc. | 200 | 10,946 | ||||||
| L.B. Foster Co., Class A (a) | 69,400 | 1,503,898 | ||||||
| Lydall, Inc. (a) | 15,700 | 391,087 | ||||||
| Meritor, Inc. (a) | 106,600 | 1,972,100 | ||||||
| Miller Industries, Inc. | 39,400 | 1,312,020 | ||||||
| Mueller Industries, Inc. | 73,200 | 2,099,376 | ||||||
| Navistar International Corp. (a) | 61,800 | 1,737,198 | ||||||
| Park-Ohio Holdings Corp. | 36,300 | 1,083,918 | ||||||
| Spartan Motors, Inc. | 18,400 | 252,448 | ||||||
| SPX Corp. (a) | 12,100 | 484,121 | ||||||
| TriMas Corp. (a) | 26,800 | 821,420 | ||||||
| Wabash National Corp. | 128,300 | 1,861,633 | ||||||
| 17,678,986 | ||||||||
| Marine 0.2% | ||||||||
| Matson, Inc. | 25,900 | 971,509 | ||||||
| Safe Bulkers, Inc. (a)(b) | 11,800 | 20,650 | ||||||
| 992,159 | ||||||||
| Media 0.7% | ||||||||
| Central European Media Enterprises, Ltd., Class A (a) | 187,500 | 842,812 | ||||||
| Entravision Communications Corp., Class A | 296,100 | 941,598 | ||||||
| Fluent, Inc. (a) | 156,100 | 426,934 | ||||||
| Lee Enterprises, Inc. (a) | 68,300 | 139,332 | ||||||
| Marchex, Inc., Class B (a) | 30,000 | 94,200 | ||||||
| Scholastic Corp. | 39,900 | 1,506,624 | ||||||
| 3,951,500 | ||||||||
| Metals & Mining 0.9% | ||||||||
| Materion Corp. | 23,900 | 1,466,504 | ||||||
| Olympic Steel, Inc. | 5,200 | 74,880 | ||||||
| Ryerson Holding Corp. (a) | 28,000 | 238,840 | ||||||
| Schnitzer Steel Industries, Inc., Class A | 75,300 | 1,555,698 | ||||||
| Warrior Met Coal, Inc. | 88,600 | 1,729,472 | ||||||
| 5,065,394 | ||||||||
| Mortgage Real Estate Investment Trusts 0.3% | ||||||||
| Cherry Hill Mortgage Investment Corp. | 5,700 | 74,670 | ||||||
| PennyMac Mortgage Investment Trust | 70,600 | 1,569,438 | ||||||
| 1,644,108 | ||||||||
| Oil, Gas & Consumable Fuels 2.8% | ||||||||
| Adams Resources & Energy, Inc. | 900 | 27,900 | ||||||
| Amplify Energy Corp. | 134,100 | 827,397 | ||||||
| Clean Energy Fuels Corp. (a) | 134,200 | 277,123 | ||||||
| CONSOL Energy, Inc. (a) | 2,300 | 35,949 | ||||||
| Contura Energy, Inc. (a) | 2,400 | 67,104 | ||||||
| CVR Energy, Inc. | 47,900 | 2,109,037 | ||||||
| Delek U.S. Holdings, Inc. | 66,600 | 2,417,580 | ||||||
| Hallador Energy Co. | 81,700 | 295,754 | ||||||
| NACCO Industries, Inc., Class A | 9,100 | 581,581 | ||||||
| Overseas Shipholding Group, Inc., Class A (a) | 162,200 | 283,850 | ||||||
| Par Pacific Holdings, Inc. (a) | 66,900 | 1,529,334 | ||||||
| PDC Energy, Inc. (a) | 30,400 | 843,600 | ||||||
| Peabody Energy Corp. | 91,500 | 1,346,880 | ||||||
| QEP Resources, Inc. | 80,600 | 298,220 | ||||||
| REX American Resources Corp. (a) | 13,200 | 1,007,556 | ||||||
| Sandridge Energy, Inc. (a) | 104,400 | 490,680 | ||||||
| Teekay Tankers, Ltd., Class A (a) | 149,200 | 193,960 | ||||||
| World Fuel Services Corp. | 59,300 | 2,368,442 | ||||||
| 15,001,947 | ||||||||
| Personal Products 0.0% ‡ | ||||||||
| LifeVantage Corp. (a) | 17,700 | 242,490 | ||||||
| Nature's Sunshine Products, Inc. (a) | 300 | 2,487 | ||||||
| 244,977 | ||||||||
| Pharmaceuticals 2.1% | ||||||||
| Akorn, Inc. (a) | 371,000 | 1,409,800 | ||||||
| Amphastar Pharmaceuticals, Inc. (a) | 85,100 | 1,687,533 | ||||||
| ANI Pharmaceuticals, Inc. (a) | 24,400 | 1,778,272 | ||||||
| Assertio Therapeutics, Inc. (a) | 162,700 | 208,256 | ||||||
| BioDelivery Sciences International, Inc. (a) | 312,200 | 1,314,362 | ||||||
| Endo International PLC (a) | 61,500 | 197,415 | ||||||
| Lannett Co., Inc. (a)(b) | 8,800 | 98,560 | ||||||
| Osmotica Pharmaceuticals PLC (a)(b) | 4,000 | 15,360 | ||||||
| Pacira BioSciences, Inc. (a) | 55,400 | 2,109,078 | ||||||
| Phibro Animal Health Corp., Class A | 69,200 | 1,476,036 | ||||||
| Siga Technologies, Inc. (a) | 195,900 | 1,003,008 | ||||||
| 11,297,680 | ||||||||
| Professional Services 1.4% | ||||||||
| Barrett Business Services, Inc. | 20,900 | 1,856,338 | ||||||
| BG Staffing, Inc. | 24,700 | 472,017 | ||||||
| Heidrick & Struggles International, Inc. | 53,800 | 1,468,740 | ||||||
| Kelly Services, Inc., Class A | 51,400 | 1,244,908 | ||||||
| Kforce, Inc. | 5,700 | 215,659 | ||||||
| TriNet Group, Inc. (a) | 22,400 | 1,393,056 | ||||||
| TrueBlue, Inc. (a) | 37,908 | 799,859 | ||||||
| 7,450,577 | ||||||||
| Real Estate Management & Development 0.7% | ||||||||
| Altisource Portfolio Solutions S.A. (a)(b) | 69,900 | 1,413,378 | ||||||
| Marcus & Millichap, Inc. (a) | 24,300 | 862,407 | ||||||
| RMR Group, Inc., Class A | 38,700 | 1,760,076 | ||||||
| 4,035,861 | ||||||||
| Road & Rail 0.2% | ||||||||
| ArcBest Corp. | 39,200 | 1,193,640 | ||||||
| Universal Logistics Holdings, Inc. | 100 | 2,328 | ||||||
| 1,195,968 | ||||||||
| Semiconductors & Semiconductor Equipment 2.4% | ||||||||
| Advanced Energy Industries, Inc. (a) | 10,768 | 618,191 | ||||||
| Alpha & Omega Semiconductor, Ltd. (a) | 2,900 | 35,612 | ||||||
| Amkor Technology, Inc. (a) | 25,300 | 230,230 | ||||||
| Cabot Microelectronics Corp. | 1,900 | 268,299 | ||||||
| CEVA, Inc. (a) | 6,100 | 182,146 | ||||||
| Cirrus Logic, Inc. (a) | 41,500 | 2,223,570 | ||||||
| Diodes, Inc. (a) | 11,500 | 461,725 | ||||||
| Enphase Energy, Inc. (a) | 25,500 | 566,865 | ||||||
| Ichor Holdings, Ltd. (a) | 60,500 | 1,462,890 | ||||||
| Inphi Corp. (a) | 12,600 | 769,230 | ||||||
| Lattice Semiconductor Corp. (a) | 39,900 | 729,571 | ||||||
| Nanometrics, Inc. (a) | 6,000 | 195,720 | ||||||
| NeoPhotonics Corp. (a) | 4,700 | 28,623 | ||||||
| Photronics, Inc. (a) | 142,700 | 1,552,576 | ||||||
| Rambus, Inc. (a) | 29,800 | 391,125 | ||||||
| Silicon Laboratories, Inc. (a) | 10,200 | 1,135,770 | ||||||
| Smart Global Holdings, Inc. (a) | 4,800 | 122,304 | ||||||
| Synaptics, Inc. (a) | 34,020 | 1,359,099 | ||||||
| Ultra Clean Holdings, Inc. (a) | 10,200 | 149,277 | ||||||
| Xperi Corp. | 24,000 | 496,320 | ||||||
| 12,979,143 | ||||||||
| Software 4.8% | ||||||||
| A10 Networks, Inc. (a) | 3,800 | 26,372 | ||||||
| ACI Worldwide, Inc. (a) | 63,600 | 1,992,270 | ||||||
| Agilysys, Inc. (a) | 6,700 | 171,587 | ||||||
| Alarm.com Holdings, Inc. (a) | 10,400 | 485,056 | ||||||
| American Software, Inc., Class A | 3,300 | 49,566 | ||||||
| AppFolio, Inc., Class A (a) | 1,000 | 95,140 | ||||||
| Avaya Holdings Corp. (a) | 102,800 | 1,051,644 | ||||||
| Blackbaud, Inc. | 13,800 | 1,246,692 | ||||||
| Blackline, Inc. (a) | 39,300 | 1,878,933 | ||||||
| Channeladvisor Corp. (a) | 7,700 | 71,841 | ||||||
| Cision, Ltd. (a) | 11,700 | 89,973 | ||||||
| CommVault Systems, Inc. (a) | 9,600 | 429,216 | ||||||
| Cornerstone OnDemand, Inc. (a) | 30,800 | 1,688,456 | ||||||
| Digital Turbine, Inc. (a) | 5,000 | 32,225 | ||||||
| Ebix, Inc. (b) | 39,300 | 1,654,530 | ||||||
| Envestnet, Inc. (a) | 1,700 | 96,390 | ||||||
| Five9, Inc. (a) | 19,000 | 1,021,060 | ||||||
| j2 Global, Inc. | 28,100 | 2,552,042 | ||||||
| LivePerson, Inc. (a) | 3,900 | 139,230 | ||||||
| MicroStrategy, Inc., Class A (a) | 11,800 | 1,750,766 | ||||||
| Model N, Inc. (a) | 6,800 | 188,768 | ||||||
| OneSpan, Inc. (a) | 7,400 | 107,300 | ||||||
| Progress Software Corp. | 46,800 | 1,781,208 | ||||||
| Q2 Holdings, Inc. (a) | 2,700 | 212,949 | ||||||
| Qualys, Inc. (a) | 9,500 | 717,915 | ||||||
| Rimini Street, Inc. (a) | 14,200 | 62,196 | ||||||
| SPS Commerce, Inc. (a) | 38,800 | 1,826,316 | ||||||
| Synchronoss Technologies, Inc. (a) | 10,900 | 58,860 | ||||||
| Telaria, Inc. (a) | 122,800 | 848,548 | ||||||
| Telenav, Inc. (a) | 2,100 | 10,038 | ||||||
| TiVo Corp. | 167,100 | 1,272,466 | ||||||
| Upland Software, Inc. (a) | 6,200 | 216,132 | ||||||
| Verint Systems, Inc. (a) | 18,200 | 778,596 | ||||||
| Workiva, Inc. (a) | 22,200 | 973,026 | ||||||
| Zix Corp. (a) | 79,400 | 574,856 | ||||||
| 26,152,163 | ||||||||
| Specialty Retail 3.5% | ||||||||
| America's Car-Mart, Inc. (a) | 19,500 | 1,788,150 | ||||||
| Asbury Automotive Group, Inc. (a) | 21,800 | 2,230,794 | ||||||
| Barnes & Noble Education, Inc. (a) | 141,400 | 441,168 | ||||||
| Group 1 Automotive, Inc. | 24,400 | 2,252,364 | ||||||
| Hibbett Sports, Inc. (a) | 97,800 | 2,239,620 | ||||||
| Lithia Motors, Inc., Class A | 18,600 | 2,462,268 | ||||||
| Murphy USA, Inc. (a) | 26,800 | 2,286,040 | ||||||
| Office Depot, Inc. | 482,700 | 847,138 | ||||||
| Rent-A-Center, Inc. | 77,600 | 2,001,304 | ||||||
| Sonic Automotive, Inc., Class A | 60,100 | 1,887,741 | ||||||
| Sportsman's Warehouse Holdings, Inc. (a) | 10,600 | 54,908 | ||||||
| Tilly's, Inc., Class A | 30,800 | 290,752 | ||||||
| Zumiez, Inc. (a) | 14,000 | 443,450 | ||||||
| 19,225,697 | ||||||||
| Technology Hardware, Storage & Peripherals 0.1% | ||||||||
| AstroNova, Inc. | 2,200 | 35,574 | ||||||
| Avid Technology, Inc. (a) | 40,200 | 248,838 | ||||||
| Diebold Nixdorf, Inc. (a) | 21,700 | 243,040 | ||||||
| 527,452 | ||||||||
| Textiles, Apparel & Luxury Goods 1.0% | ||||||||
| Crocs, Inc. (a) | 6,200 | 172,112 | ||||||
| Deckers Outdoor Corp. (a) | 18,800 | 2,770,368 | ||||||
| Delta Apparel, Inc. (a) | 3,800 | 90,250 | ||||||
| Fossil Group, Inc. (a) | 900 | 11,259 | ||||||
| Rocky Brands, Inc. | 47,200 | 1,568,456 | ||||||
| Vera Bradley, Inc. (a) | 97,700 | 986,770 | ||||||
| 5,599,215 | ||||||||
| Thrifts & Mortgage Finance 2.7% | ||||||||
| Bridgewater Bancshares, Inc. (a) | 24,300 | 290,142 | ||||||
| Dime Community Bancshares, Inc. | 86,400 | 1,849,824 | ||||||
| Essent Group, Ltd. | 59,200 | 2,822,064 | ||||||
| Federal Agricultural Mortgage Corp., Class C | 8,800 | 718,608 | ||||||
| Flagstar Bancorp, Inc. | 52,300 | 1,953,405 | ||||||
| FS Bancorp, Inc. | 12,800 | 672,000 | ||||||
| Luther Burbank Corp. | 73,200 | 829,356 | ||||||
| Merchants Bancorp | 12,300 | 203,442 | ||||||
| NMI Holdings, Inc., Class A (a) | 78,300 | 2,056,158 | ||||||
| OP Bancorp. | 2,700 | 26,406 | ||||||
| Radian Group, Inc. | 112,200 | 2,562,648 | ||||||
| Riverview Bancorp, Inc. | 8,200 | 60,516 | ||||||
| Sterling Bancorp, Inc. | 39,800 | 388,448 | ||||||
| Territorial Bancorp, Inc. | 10,800 | 308,664 | ||||||
| 14,741,681 | ||||||||
| Tobacco 0.7% | ||||||||
| Universal Corp. | 35,600 | 1,951,236 | ||||||
| Vector Group, Ltd. | 169,050 | 2,013,386 | ||||||
| 3,964,622 | ||||||||
| Trading Companies & Distributors 2.1% | ||||||||
| BMC Stock Holdings, Inc. (a) | 82,900 | 2,170,322 | ||||||
| Foundation Building Materials, Inc. (a) | 95,300 | 1,476,197 | ||||||
| General Finance Corp. (a) | 22,500 | 198,900 | ||||||
| GMS, Inc. (a) | 68,900 | 1,978,808 | ||||||
| H&E Equipment Services, Inc. | 41,400 | 1,194,804 | ||||||
| Herc Holdings, Inc. (a) | 43,200 | 2,009,232 | ||||||
| Rush Enterprises, Inc., Class B | 4,200 | 167,706 | ||||||
| Titan Machinery, Inc. (a) | 90,800 | 1,302,072 | ||||||
| Veritiv Corp. (a) | 29,600 | 535,168 | ||||||
| Willis Lease Finance Corp. (a) | 3,800 | 210,444 | ||||||
| 11,243,653 | ||||||||
| Water Utilities 1.0% | ||||||||
| American States Water Co. | 28,300 | 2,543,038 | ||||||
| Aquaventure Holdings, Ltd. (a) | 16,100 | 312,823 | ||||||
| Artesian Resources Corp., Class A | 3,300 | 122,100 | ||||||
| California Water Service Group | 4,000 | 211,720 | ||||||
| Consolidated Water Co., Ltd. | 23,000 | 379,270 | ||||||
| Middlesex Water Co. | 7,700 | 500,192 | ||||||
| SJW Corp. | 19,400 | 1,324,826 | ||||||
| 5,393,969 | ||||||||
| Total Common Stocks (Cost $544,200,837) | 540,966,724 | |||||||
| Exchange-Traded Fund 0.9% | ||||||||
| iShares Russell 2000 ETF (b) | 32,959 | 4,988,015 | ||||||
| Total Exchange-Traded Fund (Cost $5,132,183) | 4,988,015 | |||||||
| Short-Term Investments 0.8% | ||||||||
| Affiliated Investment Company 0.0% ‡ | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (c) | 9,040 | 9,040 | ||||||
| Unaffiliated Investment Company 0.8% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (c)(d) | 4,590,769 | 4,590,769 | ||||||
| Total Short-Term Investments (Cost $4,599,809) | 4,599,809 | |||||||
| Total Investments (Cost $553,932,829) | 100.9 | % | 550,554,548 | |||||
| Other Assets, Less Liabilities | (0.9 | ) | (5,088,599 | ) | ||||
| Net Assets | 100.0 | % | $ | 545,465,949 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | Non-income producing security. |
| (b) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $14,883,573; the total market value of collateral held by the Portfolio was $15,189,308. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $10,598,539. |
| (c) | Current yield as of September 30, 2019. |
| (d) | Represents security purchased with cash collateral received for securities on loan. |
The following abbreviations are used in the preceding pages:
| ETF | —Exchange-Traded Fund |
| REIT | —Real Estate Investment Trust |
The
following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's
assets:
| Quoted Prices in Active Markets for Identical Assets | Significant Other Observable Inputs | Significant Unobservable Inputs | ||||||||||||||
| Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Common Stocks | $ | 540,966,724 | $ | — | $ | — | $ | 540,966,724 | ||||||||
| Exchange-Traded Fund | 4,988,015 | — | — | 4,988,015 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 9,040 | — | — | 9,040 | ||||||||||||
| Unaffiliated Investment Company | 4,590,769 | — | — | 4,590,769 | ||||||||||||
| Total Short-Term Investments | 4,599,809 | — | — | 4,599,809 | ||||||||||||
| Total Investments in Securities | $ | 550,554,548 | $ | — | $ | — | $ | 550,554,548 | ||||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
| (b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP MacKay Unconstrained Bond Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Principal Amount | Value | |||||||
| Long-Term Bonds 94.7% † | ||||||||
| Asset-Backed Securities 5.9% | ||||||||
| Auto Floor Plan Asset-Backed Securities 0.9% | ||||||||
| Ford Credit Floorplan Master Owner Trust Series 2018-4, Class A 4.06%, due 11/15/30 | $ | 4,530,000 | $ | 5,011,358 | ||||
| Navistar Financial Dealer Note Master Owner Trust II Series 2018-1, Class A 2.775% (1 Month LIBOR + 0.63%), due 9/25/23 (a)(b) | 4,085,000 | 4,090,033 | ||||||
| 9,101,391 | ||||||||
| Automobile Asset-Backed Securities 1.1% | ||||||||
| Santander Retail Auto Lease Trust Series 2019-B, Class A3 2.30%, due 1/20/23 (a) | 2,325,000 | 2,338,498 | ||||||
| Toyota Auto Loan Extended Note Trust Series 2019-1A, Class A 2.56%, due 11/25/31 (a) | 3,400,000 | 3,475,209 | ||||||
| Volkswagen Auto Loan Enhanced Trust Series 2018-1, Class A4 3.15%, due 7/22/24 | 3,290,000 | 3,365,897 | ||||||
| World Omni Auto Receivables Trust Series 2019-A, Class A3 3.04%, due 5/15/24 | 2,430,000 | 2,484,102 | ||||||
| 11,663,706 | ||||||||
| Credit Cards 1.8% | ||||||||
| American Express Credit Account Master Trust | ||||||||
| Series 2018-9, Class A 2.575% (1 Month LIBOR + 0.38%), due 4/15/26 (b) | 1,970,000 | 1,969,019 | ||||||
| Series 2019-1, Class A 2.87%, due 10/15/24 | 2,135,000 | 2,187,422 | ||||||
| Capital One Multi-Asset Execution Trust | ||||||||
| Series 2019-A3, Class A3 2.06%, due 8/15/28 | 4,310,000 | 4,284,326 | ||||||
| Series 2019-A1, Class A1 2.84%, due 12/15/24 | 3,445,000 | 3,523,044 | ||||||
| Citibank Credit Card Issuance Trust Series 2018-A2, Class A2 2.502% (1 Month LIBOR + 0.33%), due 1/20/25 (b) | 4,945,000 | 4,951,488 | ||||||
| Discover Card Execution Note Trust Series 2019-A1, Class A1 3.04%, due 7/15/24 | 2,505,000 | 2,570,653 | ||||||
| 19,485,952 | ||||||||
| Home Equity 0.0% ‡ | ||||||||
| First NLC Trust Series 2007-1, Class A1 2.215% (1 Month LIBOR + 0.07%), due 8/25/37 (a)(b) | 71,043 | 44,613 | ||||||
| MASTR Asset-Backed Securities Trust Series 2006-HE4, Class A1 2.195% (1 Month LIBOR + 0.05%), due 11/25/36 (b) | 18,893 | 8,646 | ||||||
| Morgan Stanley ABS Capital I Trust Series 2007-HE4, Class A2A 2.255% (1 Month LIBOR + 0.11%), due 2/25/37 (b) | 19,135 | 8,591 | ||||||
| 61,850 | ||||||||
| Other Asset-Backed Securities 2.1% | ||||||||
| CNH Equipment Trust Series 2019-B, Class A4 2.64%, due 5/15/26 | 4,405,000 | 4,505,025 | ||||||
| Daimler Trucks Retail Trust Series 2019-1, Class A3 2.77%, due 8/15/22 (a) | 3,140,000 | 3,173,925 | ||||||
| Dell Equipment Finance Trust Series 2018-2, Class A3 3.37%, due 10/22/23 (a) | 4,080,000 | 4,147,331 | ||||||
| Hilton Grand Vacations Trust Series 2019-AA, Class A 2.34%, due 7/25/33 (a) | 3,129,017 | 3,125,279 | ||||||
| John Deere Owner Trust Series 2019-B, Class A3 2.21%, due 12/15/23 | 4,400,000 | 4,428,967 | ||||||
| JPMorgan Mortgage Acquisition Trust Series 2007-HE1, Class AF1 2.245% (1 Month LIBOR + 0.10%), due 3/25/47 (b) | 25,126 | 17,848 | ||||||
| Verizon Owner Trust Series 2019-A, Class A1A 2.93%, due 9/20/23 | 2,950,000 | 3,003,302 | ||||||
| 22,401,677 | ||||||||
| Student Loans 0.0% ‡ | ||||||||
| KeyCorp Student Loan Trust Series 2000-A, Class A2 2.841% (3 Month LIBOR + 0.32%), due 5/25/29 (b) | 49,675 | 49,448 | ||||||
| Total Asset-Backed Securities (Cost $61,709,199) | 62,764,024 | |||||||
| Convertible Bonds 0.0%‡ | ||||||||
| Health Care - Products 0.0% ‡ | ||||||||
| Danaher Corp. (zero coupon), due 1/22/21 | 1,000 | 5,513 | ||||||
| Total Convertible Bonds (Cost $1,571) | 5,513 | |||||||
| Corporate Bonds 63.2% | ||||||||
| Advertising 0.1% | ||||||||
| Lamar Media Corp. 5.00%, due 5/1/23 | 900,000 | 916,875 | ||||||
| Aerospace & Defense 0.3% | ||||||||
| L3Harris Technologies, Inc. 4.40%, due 6/15/28 | 3,270,000 | 3,673,655 | ||||||
| Agriculture 0.8% | ||||||||
| Altria Group, Inc. 3.80%, due 2/14/24 (c) | 3,400,000 | 3,554,240 | ||||||
| Bunge, Ltd. Finance Corp. 3.50%, due 11/24/20 | 4,435,000 | 4,482,984 | ||||||
| 8,037,224 | ||||||||
| Airlines 1.4% | ||||||||
| American Airlines Pass-Through Trust | ||||||||
| Series 2015-2, Class AA, Pass Through Trust 3.60%, due 3/22/29 | 834,235 | 874,695 | ||||||
| Series 2015-2, Class A 4.00%, due 3/22/29 | 417,119 | 442,147 | ||||||
| Continental Airlines, Inc. | ||||||||
| Series 2007-1, Class A 5.983%, due 10/19/23 | 556,524 | 587,300 | ||||||
| Series 2005-ERJ1 9.798%, due 10/1/22 | 107,251 | 111,092 | ||||||
| Delta Air Lines, Inc. Series 2019-1, Class AA 3.204%, due 10/25/25 | 3,695,000 | 3,860,174 | ||||||
| Northwest Airlines, Inc. Series 2007-1, Class A 7.027%, due 5/1/21 | 4,193,840 | 4,208,519 | ||||||
| U.S. Airways Group, Inc. | ||||||||
| Series 2012-1, Class A 5.90%, due 4/1/26 | 1,164,204 | 1,295,992 | ||||||
| Series 2010-1, Class A 6.25%, due 10/22/24 | 797,819 | 867,549 | ||||||
| United Airlines, Inc. | ||||||||
| Series 2014-2, Class B 4.625%, due 3/3/24 | 1,096,597 | 1,130,262 | ||||||
| Series 2007-1, Pass Through Trust 6.636%, due 1/2/24 | 1,683,670 | 1,779,975 | ||||||
| 15,157,705 | ||||||||
| Auto Manufacturers 1.6% | ||||||||
| Daimler Finance North America LLC 2.837% (3 Month LIBOR + 0.55%), due 5/4/21 (a)(b) | 2,335,000 | 2,333,718 | ||||||
| Ford Motor Credit Co. LLC | ||||||||
| 2.681%, due 1/9/20 (c) | 5,675,000 | 5,674,587 | ||||||
| 3.393% (3 Month LIBOR + 1.235%), due 2/15/23 (b) | 1,230,000 | 1,192,584 | ||||||
| 4.25%, due 9/20/22 | 900,000 | 921,434 | ||||||
| General Motors Financial Co., Inc. 3.45%, due 4/10/22 | 4,000,000 | 4,069,147 | ||||||
| Volkswagen Group of America Finance LLC 3.875%, due 11/13/20 (a) | 3,100,000 | 3,150,519 | ||||||
| 17,341,989 | ||||||||
| Auto Parts & Equipment 0.4% | ||||||||
| LKQ European Holdings B.V. 3.625%, due 4/1/26 (a) | EUR | 2,835,000 | 3,237,229 | |||||
| ZF North America Capital, Inc. 4.00%, due 4/29/20 (a) | $ | 740,000 | 744,818 | |||||
| 3,982,047 | ||||||||
| Banks 13.0% | ||||||||
| Bank of America Corp. | ||||||||
| 3.004%, due 12/20/23 (c)(d) | 6,566,000 | 6,705,643 | ||||||
| 3.499%, due 5/17/22 (d) | 6,150,000 | 6,272,009 | ||||||
| 3.50%, due 4/19/26 (c) | 6,165,000 | 6,545,226 | ||||||
| 3.705%, due 4/24/28 (d) | 1,695,000 | 1,802,767 | ||||||
| 5.526% (3 Month LIBOR + 3.387%), due 10/28/19 (b)(e) | 276,000 | 276,359 | ||||||
| 6.30%, due 3/10/26 (d)(e) | 1,810,000 | 2,036,250 | ||||||
| 8.57%, due 11/15/24 | 455,000 | 574,308 | ||||||
| Bank of New York Mellon Corp. 2.661%, due 5/16/23 (d) | 3,715,000 | 3,763,283 | ||||||
| Barclays Bank PLC | ||||||||
| 5.14%, due 10/14/20 | 4,249,000 | 4,344,921 | ||||||
| Series Reg S 10.00%, due 5/21/21 | GBP | 401,000 | 557,215 | |||||
| Barclays PLC 5.20%, due 5/12/26 | $ | 1,725,000 | 1,832,440 | |||||
| Branch Banking & Trust Co. 2.636% (5 Year Treasury Constant Maturity Rate + 1.15%), due 9/17/29 (c) | 2,700,000 | 2,682,257 | ||||||
| Capital One Financial Corp. 5.55%, due 6/1/20 (c)(d)(e) | 2,365,000 | 2,392,197 | ||||||
| Citibank N.A. 3.165%, due 2/19/22 (d) | 4,200,000 | 4,255,223 | ||||||
| Citigroup, Inc. | ||||||||
| 2.35%, due 8/2/21 | 4,801,000 | 4,820,944 | ||||||
| 3.349% (3 Month LIBOR + 1.25%), due 7/1/26 (b) | 10,035,000 | 10,182,845 | ||||||
| 5.50%, due 9/13/25 (c) | 2,710,000 | 3,072,277 | ||||||
| 6.30%, due 5/15/24 (d)(e) | 4,290,000 | 4,557,353 | ||||||
| Citizens Bank N.A. 2.55%, due 5/13/21 | 1,145,000 | 1,152,855 | ||||||
| Citizens Financial Group, Inc. | ||||||||
| 4.15%, due 9/28/22 (a) | 1,450,000 | 1,504,635 | ||||||
| 4.30%, due 12/3/25 | 2,550,000 | 2,726,595 | ||||||
| Discover Bank | ||||||||
| 7.00%, due 4/15/20 | 1,005,000 | 1,029,794 | ||||||
| 8.70%, due 11/18/19 | 420,000 | 423,248 | ||||||
| Goldman Sachs Group, Inc. | ||||||||
| 2.30%, due 12/13/19 | 2,100,000 | 2,100,221 | ||||||
| 2.876%, due 10/31/22 (d) | 2,300,000 | 2,326,247 | ||||||
| 3.328% (3 Month LIBOR + 1.17%), due 5/15/26 (b) | 3,075,000 | 3,090,801 | ||||||
| 3.625%, due 1/22/23 | 2,813,000 | 2,925,453 | ||||||
| 5.25%, due 7/27/21 | 1,900,000 | 2,002,359 | ||||||
| 6.75%, due 10/1/37 | 1,828,000 | 2,467,588 | ||||||
| Huntington Bancshares, Inc. 3.15%, due 3/14/21 (c) | 3,910,000 | 3,962,618 | ||||||
| Huntington National Bank 3.55%, due 10/6/23 | 1,445,000 | 1,514,378 | ||||||
| JPMorgan Chase & Co. 3.54%, due 5/1/28 (d) | 6,265,000 | 6,606,213 | ||||||
| Lloyds Banking Group PLC | ||||||||
| 2.907%, due 11/7/23 (d) | 1,160,000 | 1,162,241 | ||||||
| 4.582%, due 12/10/25 | 2,500,000 | 2,625,566 | ||||||
| Morgan Stanley | ||||||||
| 3.625%, due 1/20/27 | 80,000 | 84,707 | ||||||
| 3.875%, due 4/29/24 | 6,015,000 | 6,398,936 | ||||||
| 3.875%, due 1/27/26 (c) | 400,000 | 429,353 | ||||||
| 4.875%, due 11/1/22 | 1,931,000 | 2,070,900 | ||||||
| 5.00%, due 11/24/25 | 3,840,000 | 4,303,064 | ||||||
| 5.913% (3 Month LIBOR + 3.61%), due 1/15/20 (b)(e) | 2,125,000 | 2,142,425 | ||||||
| PNC Bank N.A. 2.45%, due 11/5/20 | 2,740,000 | 2,752,303 | ||||||
| Royal Bank of Scotland Group PLC | ||||||||
| 6.00%, due 12/19/23 | 205,000 | 225,073 | ||||||
| 6.125%, due 12/15/22 | 970,000 | 1,049,599 | ||||||
| Santander Holdings USA, Inc. 3.40%, due 1/18/23 | 5,055,000 | 5,172,751 | ||||||
| Santander UK PLC 2.125%, due 11/3/20 | 3,000,000 | 2,997,076 | ||||||
| Wells Fargo & Co. | ||||||||
| 3.00%, due 10/23/26 | 1,640,000 | 1,684,261 | ||||||
| 5.875%, due 6/15/25 (d)(e) | 595,000 | 655,809 | ||||||
| 5.90%, due 6/15/24 (d)(e) | 3,270,000 | 3,477,351 | ||||||
| 137,737,937 | ||||||||
| Beverages 0.9% | ||||||||
| Anheuser-Busch InBev Worldwide, Inc. | ||||||||
| 4.15%, due 1/23/25 | 915,000 | 999,359 | ||||||
| 4.75%, due 1/23/29 | 1,833,000 | 2,130,425 | ||||||
| Constellation Brands, Inc. 4.25%, due 5/1/23 | 2,985,000 | 3,191,147 | ||||||
| Molson Coors Brewing Co. 2.10%, due 7/15/21 | 3,129,000 | 3,128,866 | ||||||
| 9,449,797 | ||||||||
| Biotechnology 0.3% | ||||||||
| Biogen, Inc. 3.625%, due 9/15/22 | 3,560,000 | 3,701,412 | ||||||
| Building Materials 0.5% | ||||||||
| Masco Corp. 7.125%, due 3/15/20 | 142,000 | 144,813 | ||||||
| Standard Industries, Inc. (a) | ||||||||
| 4.75%, due 1/15/28 | 970,000 | 1,002,650 | ||||||
| 5.375%, due 11/15/24 | 3,680,000 | 3,790,400 | ||||||
| 4,937,863 | ||||||||
| Chemicals 1.3% | ||||||||
| Air Liquide Finance S.A. 1.75%, due 9/27/21 (a) | 1,895,000 | 1,883,181 | ||||||
| Ashland LLC 4.75%, due 8/15/22 | 2,525,000 | 2,644,937 | ||||||
| Braskem Netherlands Finance B.V. (a) | ||||||||
| 3.50%, due 1/10/23 | 1,150,000 | 1,147,412 | ||||||
| 4.50%, due 1/10/28 | 1,015,000 | 1,016,269 | ||||||
| Eastman Chemical Co. 2.70%, due 1/15/20 | 1,536,000 | 1,537,253 | ||||||
| Orbia Advance Corp. S.A.B. de C.V. 4.00%, due 10/4/27 (a) | 2,200,000 | 2,227,522 | ||||||
| W.R. Grace & Co. 5.125%, due 10/1/21 (a) | 2,915,000 | 3,028,248 | ||||||
| 13,484,822 | ||||||||
| Commercial Services 1.4% | ||||||||
| Herc Holdings, Inc. 5.50%, due 7/15/27 (a) | 2,435,000 | 2,532,400 | ||||||
| IHS Markit, Ltd. | ||||||||
| 4.125%, due 8/1/23 | 2,175,000 | 2,288,753 | ||||||
| 4.75%, due 2/15/25 (a) | 3,105,000 | 3,368,925 | ||||||
| PayPal Holdings, Inc. 2.40%, due 10/1/24 | 3,625,000 | 3,644,653 | ||||||
| Service Corp. International 5.375%, due 5/15/24 | 530,000 | 546,981 | ||||||
| University of Pennsylvania 3.61%, due 2/15/19 | 2,515,000 | 2,760,577 | ||||||
| 15,142,289 | ||||||||
| Computers 0.8% | ||||||||
| Dell International LLC / EMC Corp. (a) | ||||||||
| 4.90%, due 10/1/26 | 3,695,000 | 3,960,683 | ||||||
| 6.02%, due 6/15/26 | 625,000 | 702,862 | ||||||
| Hewlett Packard Enterprise Co. | ||||||||
| 3.60%, due 10/15/20 | 2,000,000 | 2,025,755 | ||||||
| 4.40%, due 10/15/22 | 1,560,000 | 1,652,497 | ||||||
| 8,341,797 | ||||||||
| Distribution & Wholesale 0.4% | ||||||||
| H&E Equipment Services, Inc. 5.625%, due 9/1/25 | 3,000,000 | 3,088,200 | ||||||
| KAR Auction Services, Inc. 2019 Term Loan B6 4.313% (1 Month LIBOR + 2.25%), due 9/19/26 | 412,787 | 414,851 | ||||||
| Performance Food Group, Inc. 5.50%, due 10/15/27 (a) | 975,000 | 1,026,187 | ||||||
| 4,529,238 | ||||||||
| Diversified Financial Services 2.6% | ||||||||
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
| 4.45%, due 12/16/21 | 2,200,000 | 2,287,520 | ||||||
| 4.625%, due 10/30/20 | 3,585,000 | 3,669,893 | ||||||
| Air Lease Corp. | ||||||||
| 2.125%, due 1/15/20 | 2,215,000 | 2,213,873 | ||||||
| 2.625%, due 7/1/22 | 2,155,000 | 2,163,779 | ||||||
| 2.75%, due 1/15/23 | 1,040,000 | 1,052,058 | ||||||
| Ally Financial, Inc. | ||||||||
| 3.75%, due 11/18/19 | 1,395,000 | 1,396,256 | ||||||
| 5.75%, due 11/20/25 | 3,570,000 | 3,998,471 | ||||||
| 8.00%, due 11/1/31 | 3,450,000 | 4,769,625 | ||||||
| Discover Financial Services 3.85%, due 11/21/22 | 300,000 | 313,035 | ||||||
| Protective Life Global Funding 2.161%, due 9/25/20 (a) | 3,420,000 | 3,423,773 | ||||||
| Springleaf Finance Corp. 6.125%, due 3/15/24 | 880,000 | 947,100 | ||||||
| Synchrony Financial 4.50%, due 7/23/25 | 1,810,000 | 1,931,609 | ||||||
| 28,166,992 | ||||||||
| Electric 3.3% | ||||||||
| AEP Transmission Co. LLC 3.10%, due 12/1/26 (c) | 3,360,000 | 3,513,168 | ||||||
| Appalachian Power Co. 3.30%, due 6/1/27 | 1,400,000 | 1,463,757 | ||||||
| Baltimore Gas & Electric Co. 2.40%, due 8/15/26 | 3,260,000 | 3,259,756 | ||||||
| Berkshire Hathaway Energy Co. 2.375%, due 1/15/21 | 1,700,000 | 1,708,218 | ||||||
| CMS Energy Corp. | ||||||||
| 3.875%, due 3/1/24 (c) | 1,705,000 | 1,797,057 | ||||||
| 5.05%, due 3/15/22 | 1,350,000 | 1,429,175 | ||||||
| Consolidated Edison, Inc. 2.00%, due 3/15/20 | 2,090,000 | 2,088,857 | ||||||
| Duke Energy Corp. 4.875% (5 Year Treasury Constant Maturity Rate + 3.388%), due 9/16/24 (c)(e) | 2,625,000 | 2,690,625 | ||||||
| Duquesne Light Holdings, Inc. (a) | ||||||||
| 5.90%, due 12/1/21 | 1,494,000 | 1,588,493 | ||||||
| 6.40%, due 9/15/20 | 3,435,000 | 3,555,510 | ||||||
| Entergy Arkansas LLC 3.50%, due 4/1/26 | 960,000 | 1,021,294 | ||||||
| FirstEnergy Transmission LLC 4.35%, due 1/15/25 (a) | 1,675,000 | 1,807,010 | ||||||
| Florida Power & Light Co. 2.75%, due 6/1/23 | 2,155,000 | 2,211,312 | ||||||
| Public Service Electric & Gas Co. 3.00%, due 5/15/27 | 2,635,000 | 2,743,789 | ||||||
| Puget Energy, Inc. 5.625%, due 7/15/22 | 585,000 | 625,705 | ||||||
| WEC Energy Group, Inc. | ||||||||
| 3.10%, due 3/8/22 | 2,165,000 | 2,213,428 | ||||||
| 4.271% (3 Month LIBOR + 2.113%), due 5/15/67 (b) | 1,860,340 | 1,565,011 | ||||||
| 35,282,165 | ||||||||
| Electronics 0.1% | ||||||||
| Honeywell International, Inc. 1.40%, due 10/30/19 | 990,000 | 989,460 | ||||||
| Entertainment 0.8% | ||||||||
| Eldorado Resorts, Inc. | ||||||||
| 6.00%, due 4/1/25 | 3,417,000 | 3,604,935 | ||||||
| 7.00%, due 8/1/23 | 2,395,000 | 2,502,775 | ||||||
| International Game Technology PLC 6.25%, due 2/15/22 (a) | 2,595,000 | 2,738,419 | ||||||
| 8,846,129 | ||||||||
| Environmental Controls 0.6% | ||||||||
| Republic Services, Inc. 4.75%, due 5/15/23 | 3,665,000 | 3,969,619 | ||||||
| Waste Management, Inc. | ||||||||
| 2.40%, due 5/15/23 | 505,000 | 510,632 | ||||||
| 4.60%, due 3/1/21 | 1,800,000 | 1,852,356 | ||||||
| 6,332,607 | ||||||||
| Food 1.6% | ||||||||
| JBS Investments II GmbH 7.00%, due 1/15/26 (a) | 1,775,000 | 1,915,207 | ||||||
| JBS USA LUX S.A. / JBS Food Co. / JBS USA Finance, Inc. 5.50%, due 1/15/30 (a) | 1,435,000 | 1,521,071 | ||||||
| Kerry Group Financial Services Unlimited Co. 3.20%, due 4/9/23 (a) | 2,151,000 | 2,183,466 | ||||||
| Mondelez International Holdings Netherlands B.V. 2.125%, due 9/19/22 (a) | 3,500,000 | 3,490,472 | ||||||
| Smithfield Foods, Inc. (a) | ||||||||
| 2.70%, due 1/31/20 | 4,725,000 | 4,722,204 | ||||||
| 3.35%, due 2/1/22 | 1,805,000 | 1,810,382 | ||||||
| Sysco Corp. 3.30%, due 7/15/26 | 1,735,000 | 1,807,355 | ||||||
| 17,450,157 | ||||||||
| Forest Products & Paper 0.6% | ||||||||
| Georgia-Pacific LLC | ||||||||
| 5.40%, due 11/1/20 (a) | 4,000,000 | 4,137,669 | ||||||
| 8.00%, due 1/15/24 | 2,180,000 | 2,683,848 | ||||||
| 6,821,517 | ||||||||
| Health Care - Products 1.4% | ||||||||
| Abbott Laboratories 3.40%, due 11/30/23 (c) | 3,540,000 | 3,712,608 | ||||||
| Baxter International, Inc. 2.60%, due 8/15/26 | 6,085,000 | 6,140,070 | ||||||
| Becton Dickinson & Co. | ||||||||
| 2.675%, due 12/15/19 | 1,220,000 | 1,220,296 | ||||||
| 3.363%, due 6/6/24 | 2,245,000 | 2,341,733 | ||||||
| Stryker Corp. 2.625%, due 3/15/21 | 1,500,000 | 1,511,113 | ||||||
| 14,925,820 | ||||||||
| Home Builders 1.0% | ||||||||
| D.R. Horton, Inc. 4.375%, due 9/15/22 | 3,350,000 | 3,511,894 | ||||||
| KB Home 8.00%, due 3/15/20 | 1,925,000 | 1,971,585 | ||||||
| Lennar Corp. 4.50%, due 11/15/19 | 1,300,000 | 1,300,000 | ||||||
| MDC Holdings, Inc. 5.625%, due 2/1/20 | 1,072,000 | 1,081,380 | ||||||
| Toll Brothers Finance Corp. 5.875%, due 2/15/22 | 2,475,000 | 2,632,781 | ||||||
| 10,497,640 | ||||||||
| Home Furnishing 0.3% | ||||||||
| Panasonic Corp. 2.536%, due 7/19/22 (a) | 3,500,000 | 3,521,202 | ||||||
| Housewares 0.2% | ||||||||
| Scotts Miracle-Gro Co. 5.25%, due 12/15/26 | 1,960,000 | 2,058,000 | ||||||
| Insurance 2.7% | ||||||||
| Liberty Mutual Group, Inc. 4.25%, due 6/15/23 (a) | 2,695,000 | 2,857,534 | ||||||
| Lincoln National Corp. 4.481% (3 Month LIBOR + 2.358%), due 5/17/66 (b) | 6,418,000 | 5,200,570 | ||||||
| MassMutual Global Funding II (a) | ||||||||
| 2.50%, due 10/17/22 | 3,670,000 | 3,713,048 | ||||||
| 2.95%, due 1/11/25 | 2,995,000 | 3,095,506 | ||||||
| Metropolitan Life Global Funding I 3.45%, due 10/9/21 (a) | 2,610,000 | 2,681,544 | ||||||
| Pricoa Global Funding I 2.55%, due 11/24/20 (a) | 2,025,000 | 2,036,888 | ||||||
| Principal Life Global Funding II 2.375%, due 11/21/21 (a) | 5,550,000 | 5,567,069 | ||||||
| Protective Life Corp. 8.45%, due 10/15/39 | 1,564,000 | 2,482,659 | ||||||
| Prudential Financial, Inc. 5.625%, due 6/15/43 (d) | 1,245,000 | 1,338,263 | ||||||
| 28,973,081 | ||||||||
| Internet 2.4% | ||||||||
| Booking Holdings, Inc. 3.60%, due 6/1/26 | 2,875,000 | 3,073,958 | ||||||
| Expedia Group, Inc. | ||||||||
| 3.25%, due 2/15/30 (a) | 2,315,000 | 2,308,398 | ||||||
| 3.80%, due 2/15/28 | 2,245,000 | 2,349,558 | ||||||
| 5.00%, due 2/15/26 | 315,000 | 353,862 | ||||||
| GrubHub Holdings, Inc. 5.50%, due 7/1/27 (a) | 1,985,000 | 2,025,296 | ||||||
| Match Group, Inc. 5.00%, due 12/15/27 (a) | 1,775,000 | 1,841,563 | ||||||
| Tencent Holdings, Ltd. 3.80%, due 2/11/25 (a) | 5,450,000 | 5,740,902 | ||||||
| VeriSign, Inc. 4.625%, due 5/1/23 | 3,670,000 | 3,730,555 | ||||||
| Weibo Corp. 3.50%, due 7/5/24 | 1,625,000 | 1,650,754 | ||||||
| Zayo Group LLC / Zayo Capital, Inc. 5.75%, due 1/15/27 (a) | 2,090,000 | 2,136,607 | ||||||
| 25,211,453 | ||||||||
| Iron & Steel 0.9% | ||||||||
| AK Steel Corp. 7.625%, due 10/1/21 (c) | 2,860,000 | 2,817,100 | ||||||
| ArcelorMittal 4.55%, due 3/11/26 | 3,205,000 | 3,353,402 | ||||||
| Vale Overseas, Ltd. 6.25%, due 8/10/26 | 2,780,000 | 3,203,950 | ||||||
| 9,374,452 | ||||||||
| Leisure Time 0.3% | ||||||||
| NCL Corp., Ltd. 4.75%, due 12/15/21 (a) | 807,000 | 820,800 | ||||||
| Royal Caribbean Cruises, Ltd. 2.65%, due 11/28/20 | 2,630,000 | 2,640,607 | ||||||
| 3,461,407 | ||||||||
| Lodging 0.7% | ||||||||
| Boyd Gaming Corp. 6.375%, due 4/1/26 | 1,000 | 1,060 | ||||||
| Marriott International, Inc. 3.75%, due 10/1/25 | 4,205,000 | 4,422,827 | ||||||
| MGM Resorts International | ||||||||
| 6.00%, due 3/15/23 | 2,300,000 | 2,533,910 | ||||||
| 6.625%, due 12/15/21 | 475,000 | 514,591 | ||||||
| 7,472,388 | ||||||||
| Machinery - Diversified 0.8% | ||||||||
| CNH Industrial Capital LLC | ||||||||
| 4.375%, due 4/5/22 | 3,550,000 | 3,686,391 | ||||||
| 4.875%, due 4/1/21 | 4,355,000 | 4,508,209 | ||||||
| 8,194,600 | ||||||||
| Media 2.3% | ||||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 4.464%, due 7/23/22 (c) | 2,770,000 | 2,916,314 | ||||||
| Diamond Sports Group LLC / Diamond Sports Finance Co. 6.625%, due 8/15/27 (a)(f) | 3,413,000 | 3,540,988 | ||||||
| Grupo Televisa S.A.B. 5.25%, due 5/24/49 | 1,735,000 | 1,897,504 | ||||||
| Sirius XM Radio, Inc. (a) | ||||||||
| 3.875%, due 8/1/22 | 2,545,000 | 2,583,970 | ||||||
| 5.375%, due 7/15/26 | 3,000,000 | 3,149,580 | ||||||
| Sky, Ltd. 3.75%, due 9/16/24 (a) | 1,105,000 | 1,182,460 | ||||||
| Time Warner Entertainment Co., L.P. 8.375%, due 3/15/23 | 740,000 | 876,123 | ||||||
| UPCB Finance IV, Ltd. 5.375%, due 1/15/25 (a) | 5,335,000 | 5,481,712 | ||||||
| Virgin Media Secured Finance PLC 5.25%, due 1/15/26 (a) | 2,785,000 | 2,854,256 | ||||||
| 24,482,907 | ||||||||
| Mining 0.5% | ||||||||
| Anglo American Capital PLC 4.125%, due 4/15/21 (a) | 3,300,000 | 3,366,330 | ||||||
| Corp. Nacional del Cobre de Chile 3.00%, due 9/30/29 (a) | 2,055,000 | 2,047,253 | ||||||
| 5,413,583 | ||||||||
| Miscellaneous - Manufacturing 0.5% | ||||||||
| Siemens Financieringsmaatschappij N.V. 2.70%, due 3/16/22 (a) | 2,485,000 | 2,524,787 | ||||||
| Textron Financial Corp. 3.893% (3 Month LIBOR + 1.735%), due 2/15/67 (a)(b) | 3,720,000 | 2,813,325 | ||||||
| 5,338,112 | ||||||||
| Oil & Gas 2.8% | ||||||||
| Concho Resources, Inc. 4.30%, due 8/15/28 | 2,900,000 | 3,123,380 | ||||||
| Gazprom Via Gaz Capital S.A. 7.288%, due 8/16/37 (a) | 2,500,000 | 3,310,950 | ||||||
| Marathon Petroleum Corp. 5.125%, due 12/15/26 | 5,755,000 | 6,468,679 | ||||||
| Murphy Oil USA, Inc. 6.00%, due 8/15/23 (c) | 4,348,000 | 4,438,439 | ||||||
| Occidental Petroleum Corp. (zero coupon), due 10/10/36 | 6,555,000 | 3,237,383 | ||||||
| Petrobras Global Finance B.V. 7.375%, due 1/17/27 | 1,464,000 | 1,768,234 | ||||||
| Petroleos Mexicanos 6.75%, due 9/21/47 | 4,990,000 | 4,789,402 | ||||||
| Valero Energy Corp. 4.00%, due 4/1/29 | 2,250,000 | 2,392,882 | ||||||
| 29,529,349 | ||||||||
| Packaging & Containers 1.2% | ||||||||
| Ball Corp. 5.00%, due 3/15/22 | 4,240,000 | 4,462,600 | ||||||
| Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC 5.125%, due 7/15/23 (a) | 4,215,000 | 4,315,106 | ||||||
| Sealed Air Corp. 4.875%, due 12/1/22 (a) | 1,875,000 | 1,968,750 | ||||||
| WestRock RKT Co. 4.00%, due 3/1/23 | 2,230,000 | 2,340,249 | ||||||
| 13,086,705 | ||||||||
| Pharmaceuticals 1.9% | ||||||||
| Allergan Funding SCS 3.45%, due 3/15/22 | 4,165,000 | 4,268,213 | ||||||
| Bausch Health Cos., Inc. 5.50%, due 11/1/25 (a) | 4,590,000 | 4,802,746 | ||||||
| Bristol-Myers Squibb Co. 3.40%, due 7/26/29 (a) | 3,280,000 | 3,503,439 | ||||||
| Eli Lilly & Co. 2.35%, due 5/15/22 | 1,700,000 | 1,721,119 | ||||||
| Syneos Health, Inc. / inVentiv Health, Inc. / inVentiv Health Clinical, Inc. 7.50%, due 10/1/24 (a) | 3,095,000 | 3,203,325 | ||||||
| Zoetis, Inc. | ||||||||
| 2.576% (3 Month LIBOR + 0.44%), due 8/20/21 (b) | 1,655,000 | 1,651,652 | ||||||
| 3.25%, due 8/20/21 (c) | 1,045,000 | 1,063,353 | ||||||
| 20,213,847 | ||||||||
| Pipelines 0.9% | ||||||||
| Enterprise Products Operating LLC | ||||||||
| 3.125%, due 7/31/29 | 2,345,000 | 2,401,275 | ||||||
| 4.20%, due 1/31/50 | 545,000 | 582,854 | ||||||
| MPLX, L.P. | ||||||||
| 4.00%, due 3/15/28 | 2,500,000 | 2,606,435 | ||||||
| 4.125%, due 3/1/27 | 1,780,000 | 1,877,150 | ||||||
| Spectra Energy Partners, L.P. 4.75%, due 3/15/24 | 818,000 | 891,108 | ||||||
| Targa Resources Partners, L.P. / Targa Resources Partners Finance Corp. 5.25%, due 5/1/23 | 950,000 | 958,313 | ||||||
| 9,317,135 | ||||||||
| Private Equity 0.2% | ||||||||
| Icahn Enterprises, L.P. / Icahn Enterprises Finance Corp. 6.25%, due 5/15/26 (a) | 2,440,000 | 2,558,950 | ||||||
| Real Estate 0.1% | ||||||||
| Realogy Group LLC / Realogy Co-Issuer Corp. 5.25%, due 12/1/21 (a) | 640,000 | 636,800 | ||||||
| Real Estate Investment Trusts 2.1% | ||||||||
| American Tower Corp. 3.00%, due 6/15/23 | 5,000,000 | 5,114,651 | ||||||
| Boston Properties, L.P. 3.20%, due 1/15/25 | 4,800,000 | 4,978,765 | ||||||
| Crown Castle International Corp. 3.40%, due 2/15/21 | 1,255,000 | 1,272,209 | ||||||
| Equinix, Inc. | ||||||||
| 5.75%, due 1/1/25 | 2,000,000 | 2,082,600 | ||||||
| 5.875%, due 1/15/26 | 2,275,000 | 2,420,395 | ||||||
| ESH Hospitality, Inc. 5.25%, due 5/1/25 (a) | 5,145,000 | 5,319,930 | ||||||
| Host Hotels & Resorts, L.P. 3.75%, due 10/15/23 | 329,000 | 342,311 | ||||||
| Iron Mountain, Inc. 6.00%, due 8/15/23 | 340,000 | 348,024 | ||||||
| 21,878,885 | ||||||||
| Retail 1.3% | ||||||||
| Alimentation Couche-Tard, Inc. (a) | ||||||||
| 2.35%, due 12/13/19 | 3,035,000 | 3,035,364 | ||||||
| 2.70%, due 7/26/22 | 1,650,000 | 1,661,043 | ||||||
| Darden Restaurants, Inc. 3.85%, due 5/1/27 | 2,025,000 | 2,139,785 | ||||||
| Dollar General Corp. 3.25%, due 4/15/23 (c) | 4,115,000 | 4,251,060 | ||||||
| Starbucks Corp. 4.45%, due 8/15/49 | 2,065,000 | 2,392,632 | ||||||
| 13,479,884 | ||||||||
| Savings & Loans 0.3% | ||||||||
| Nationwide Building Society 3.96%, due 7/18/30 (a)(d) | 2,555,000 | 2,668,299 | ||||||
| Semiconductors 0.7% | ||||||||
| Broadcom, Inc. 3.625%, due 10/15/24 (a) | 2,470,000 | 2,511,357 | ||||||
| NXP B.V. / NXP Funding LLC (a) | ||||||||
| 4.625%, due 6/15/22 | 1,755,000 | 1,836,922 | ||||||
| 4.625%, due 6/1/23 | 1,065,000 | 1,133,651 | ||||||
| ON Semiconductor Corp. 2019 Term Loan B 4.044% (1 Month LIBOR + 2.00%), due 9/19/26 | 1,886,148 | 1,892,959 | ||||||
| 7,374,889 | ||||||||
| Software 1.0% | ||||||||
| Fiserv, Inc. | ||||||||
| 2.75%, due 7/1/24 | 1,135,000 | 1,154,722 | ||||||
| 3.20%, due 7/1/26 (c) | 720,000 | 745,125 | ||||||
| Microsoft Corp. 3.30%, due 2/6/27 | 2,055,000 | 2,216,893 | ||||||
| MSCI, Inc. 5.75%, due 8/15/25 (a) | 4,005,000 | 4,200,244 | ||||||
| PTC, Inc. 6.00%, due 5/15/24 (c) | 2,569,000 | 2,691,027 | ||||||
| 11,008,011 | ||||||||
| Special Purpose Entity 0.3% | ||||||||
| CK Hutchison International (17) II, Ltd. 3.25%, due 9/29/27 (a) | 3,260,000 | 3,363,668 | ||||||
| Telecommunications 3.1% | ||||||||
| AT&T, Inc. | ||||||||
| 3.20%, due 3/1/22 (f) | 4,275,000 | 4,379,263 | ||||||
| 3.312% (3 Month LIBOR + 1.18%), due 6/12/24 (b)(c) | 2,890,000 | 2,942,887 | ||||||
| CommScope Technologies LLC 5.00%, due 3/15/27 (a) | 1,600,000 | 1,320,000 | ||||||
| CommScope, Inc. 5.00%, due 6/15/21 (a) | 1,082,000 | 1,082,325 | ||||||
| Crown Castle Towers LLC (a) | ||||||||
| 3.72%, due 7/15/43 | 1,550,000 | 1,598,585 | ||||||
| 4.241%, due 7/15/48 | 3,755,000 | 4,130,839 | ||||||
| Hughes Satellite Systems Corp. 5.25%, due 8/1/26 | 540,000 | 577,800 | ||||||
| Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC 4.738%, due 9/20/29 (a) | 4,750,000 | 5,049,297 | ||||||
| T-Mobile USA, Inc. | ||||||||
| 4.50%, due 2/1/26 | 2,245,000 | 2,310,778 | ||||||
| 6.00%, due 3/1/23 | 1,200,000 | 1,222,428 | ||||||
| 6.50%, due 1/15/26 | 1,235,000 | 1,327,860 | ||||||
| Telefonica Emisiones SAU | ||||||||
| 4.57%, due 4/27/23 | 1,781,000 | 1,919,646 | ||||||
| 5.462%, due 2/16/21 | 279,000 | 291,244 | ||||||
| Verizon Communications, Inc. | ||||||||
| 3.258% (3 Month LIBOR + 1.10%), due 5/15/25 (b) | 2,455,000 | 2,492,945 | ||||||
| 5.15%, due 9/15/23 | 1,722,000 | 1,926,701 | ||||||
| 32,572,598 | ||||||||
| Transportation 0.5% | ||||||||
| United Parcel Service, Inc. 2.50%, due 4/1/23 (c) | 4,965,000 | 5,031,869 | ||||||
| Total Corporate Bonds (Cost $654,283,484) | 671,969,211 | |||||||
| Loan Assignments 6.5% (b) | ||||||||
| Advertising 0.7% | ||||||||
| Outfront Media Capital LLC 2017 Term Loan B 4.042% (1 Month LIBOR + 2.00%), due 3/18/24 | 4,962,313 | 4,985,577 | ||||||
| Syneos Health, Inc. 2018 Term Loan B 4.044% (1 Month LIBOR + 2.00%), due 8/1/24 | 2,765,597 | 2,760,411 | ||||||
| 7,745,988 | ||||||||
| Chemicals, Plastics & Rubber 0.4% | ||||||||
| Axalta Coating Systems U.S. Holdings, Inc. Term Loan B3 3.854% (3 Month LIBOR + 1.75%), due 6/1/24 | 4,309,939 | 4,309,939 | ||||||
| Commercial Services 0.0% ‡ | ||||||||
| ServiceMaster Co. 2016 Term Loan B 4.544% (1 Month LIBOR + 2.50%), due 11/8/23 | 460,299 | 462,601 | ||||||
| Environmental Controls 0.4% | ||||||||
| GFL Environmental, Inc. 2018 Term Loan B 5.044% (1 Month LIBOR + 3.00%), due 5/30/25 | 3,901,705 | 3,863,664 | ||||||
| Food 0.1% | ||||||||
| Post Holdings, Inc. 2017 Series A Incremental Term Loan 4.04% (1 Month LIBOR + 2.00%), due 5/24/24 | 1,577,352 | 1,580,310 | ||||||
| Food - Wholesale 0.5% | ||||||||
| U.S. Foods, Inc. 2016 Term Loan B 4.044% (1 Month LIBOR + 2.00%), due 6/27/23 | 5,103,563 | 5,117,383 | ||||||
| Hand & Machine Tools 0.3% | ||||||||
| Milacron LLC Amended Term Loan B 4.544% (1 Month LIBOR + 2.50%), due 9/28/23 | 2,910,586 | 2,906,948 | ||||||
| Health Care - Services 0.0% ‡ | ||||||||
| MPH Acquisition Holdings LLC 2016 Term Loan B 4.854% (3 Month LIBOR + 2.75%), due 6/7/23 | 457,507 | 434,632 | ||||||
| Household Products & Wares 0.2% | ||||||||
| Prestige Brands, Inc. Term Loan B4 4.044% (1 Month LIBOR + 2.00%), due 1/26/24 | 2,385,799 | 2,387,588 | ||||||
| Internet 0.2% | ||||||||
| Match Group, Inc. 2017 Term Loan B 4.659% (2 Month LIBOR + 2.50%), due 11/16/22 | 1,859,375 | 1,864,023 | ||||||
| Leisure Time 0.3% | ||||||||
| Bombardier Recreational Products, Inc. 2016 Term Loan B 4.044% (1 Month LIBOR + 2.00%), due 5/23/25 | 3,044,250 | 3,037,909 | ||||||
| Lodging 0.5% | ||||||||
| Boyd Gaming Corp. Term Loan B3 4.166% (1 Week LIBOR + 2.25%), due 9/15/23 | 435,161 | 436,249 | ||||||
| Hilton Worldwide Finance LLC 2019 Term Loan B2 3.768% (1 Month LIBOR + 1.75%), due 6/22/26 | 4,271,113 | 4,296,027 | ||||||
| MGM Growth Properties Operating Partnership, L.P. 2016 Term Loan B 4.044% (1 Month LIBOR + 2.00%), due 3/21/25 | 965,000 | 966,206 | ||||||
| 5,698,482 | ||||||||
| Media 0.3% | ||||||||
| Nielsen Finance LLC Term Loan B4 4.042% (1 Month LIBOR + 2.00%), due 10/4/23 | 2,932,500 | 2,930,406 | ||||||
| Software 0.4% | ||||||||
| IQVIA, Inc. 2018 USD Term Loan B3 3.854% (3 Month LIBOR + 1.75%), due 6/11/25 | 3,801,875 | 3,805,441 | ||||||
| Support Services 1.0% | ||||||||
| Advanced Disposal Services, Inc. Term Loan B3 4.197% (1 Week LIBOR + 2.25%), due 11/10/23 | 5,552,859 | 5,563,548 | ||||||
| Change Healthcare Holdings, Inc. 2017 Term Loan B 4.544% (1 Month LIBOR + 2.50%), due 3/1/24 | 4,792,284 | 4,766,076 | ||||||
| 10,329,624 | ||||||||
| Telecommunications 1.0% | ||||||||
| Level 3 Financing, Inc. 2017 Term Loan B 4.294% (1 Month LIBOR + 2.25%), due 2/22/24 | 5,875,000 | 5,882,344 | ||||||
| SBA Senior Finance II LLC 2018 Term Loan B 4.05% (1 Month LIBOR + 2.00%), due 4/11/25 | 4,223,576 | 4,223,576 | ||||||
| 10,105,920 | ||||||||
| Transportation 0.2% | ||||||||
| XPO Logistics, Inc. 2018 Term Loan B 4.044% (1 Month LIBOR + 2.00%), due 2/24/25 | 2,477,254 | 2,487,232 | ||||||
| Total Loan Assignments (Cost $68,999,112) | 69,068,090 | |||||||
| Mortgage-Backed Securities 10.7% | ||||||||
| Agency (Collateralized Mortgage Obligations) 2.6% | ||||||||
| Federal Home Loan Mortgage Corporation | ||||||||
| REMIC, Series 4908, Class BD 3.00%, due 4/25/49 | 2,690,000 | 2,777,570 | ||||||
| REMIC, Series 4911, Class MB 3.00%, due 9/25/49 | 5,005,000 | 5,128,558 | ||||||
| REMIC Series 4888, Class BA 3.50%, due 9/15/48 | 2,193,577 | 2,294,226 | ||||||
| Federal National Mortgage Association | ||||||||
| REMIC, Series 2019-39, Class LA 3.00%, due 2/25/49 | 3,313,367 | 3,398,097 | ||||||
| Series 2019-25, Class PA 3.00%, due 5/25/48 | 2,679,299 | 2,753,663 | ||||||
| Government National Mortgage Association | ||||||||
| Series 2014-91, Class MA 3.00%, due 1/16/40 | 3,016,872 | 3,130,308 | ||||||
| Series 2019-29, Class CB 3.00%, due 10/20/48 | 2,215,170 | 2,266,998 | ||||||
| Series 2019-43, Class PL 3.00%, due 4/20/49 | 2,581,036 | 2,644,132 | ||||||
| Series 2019-74, Class AT 3.00%, due 6/20/49 | 3,532,711 | 3,623,744 | ||||||
| 28,017,296 | ||||||||
| Agency Collateral PAC CMO 0.6% | ||||||||
| Federal National Mortgage Association REMIC, Series 2019-58, Class LP 3.00%, due 10/25/49 | 5,775,000 | 5,897,143 | ||||||
| Commercial Mortgage Loans (Collateralized Mortgage Obligations) 6.4% | ||||||||
| Bank | ||||||||
| Series 2019-BN21, Class A5 2.851%, due 10/17/52 (g) | 6,315,000 | 6,504,292 | ||||||
| Series 2019-BN19, Class A2 2.926%, due 8/15/61 | 4,035,000 | 4,194,946 | ||||||
| Benchmark Mortgage Trust Series 2019-B12, Class A5 3.116%, due 8/15/52 | 3,752,000 | 3,952,424 | ||||||
| BX Commercial Mortgage Trust Series 2018-IND, Class A 2.778% (1 Month LIBOR + 0.75%), due 11/15/35 (a)(b) | 2,929,089 | 2,929,086 | ||||||
| FREMF Mortgage Trust (a)(h) | ||||||||
| Series 2013-K33, Class B 3.614%, due 8/25/46 | 3,090,000 | 3,223,390 | ||||||
| Series 2013-K30, Class B 3.669%, due 6/25/45 | 4,220,000 | 4,402,881 | ||||||
| Series 2013-K35, Class B 4.074%, due 12/25/46 | 2,375,000 | 2,519,341 | ||||||
| Series 2012-K17, Class B 4.478%, due 12/25/44 | 2,510,000 | 2,620,103 | ||||||
| GS Mortgage Securities Trust | ||||||||
| Series 2019-GC42, Class A4 3.001%, due 9/1/52 | 1,490,000 | 1,553,280 | ||||||
| Series 2019-GC40, Class A4 3.16%, due 7/10/52 | 2,699,000 | 2,849,162 | ||||||
| Series 2019-BOCA, Class A 3.228% (1 Month LIBOR + 1.20%), due 6/15/38 (a)(b) | 4,660,000 | 4,662,902 | ||||||
| Hawaii Hotel Trust Series 2019-MAUI, Class A 3.178% (1 Month LIBOR + 1.15%), due 5/15/38 (a)(b) | 2,480,000 | 2,482,319 | ||||||
| Hudson Yards Mortgage Trust Series 2019-30HY, Class A 3.228%, due 7/10/39 (a) | 2,825,000 | 2,997,511 | ||||||
| JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
| Series 2018-AON, Class A 4.128%, due 7/5/31 (a) | 3,643,000 | 3,899,631 | ||||||
| Series 2013-C16, Class A4 4.166%, due 12/15/46 | 2,380,000 | 2,558,565 | ||||||
| JPMBB Commercial Mortgage Securities Trust Series 2015-C28, Class A4 3.227%, due 10/15/48 | 3,250,000 | 3,405,986 | ||||||
| One Bryant Park Trust Series 2019-OBP, Class A 2.516%, due 9/13/49 (a) | 5,155,000 | 5,180,931 | ||||||
| Wells Fargo Commercial Mortgage Trust (a)(h) | ||||||||
| Series 2018-1745, Class A 3.874%, due 6/15/36 | 3,450,000 | 3,793,560 | ||||||
| Series 2018-AUS, Class A 4.194%, due 8/17/36 | 4,200,000 | 4,696,638 | ||||||
| 68,426,948 | ||||||||
| Whole Loan (Collateralized Mortgage Obligations) 1.1% | ||||||||
| Chase Home Lending Mortgage Trust (a)(i) | ||||||||
| Series 2019-ATR2, Class A3 3.50%, due 7/25/49 | 2,132,845 | 2,163,671 | ||||||
| Series 2019-ATR1, Class A4 4.00%, due 4/25/49 | 2,925,667 | 2,952,443 | ||||||
| Fannie Mae Connecticut Avenue Securities Series 2016-C06, Class 1M2 6.395% (1 Month LIBOR + 4.25%), due 4/25/29 (b) | 1,840,000 | 1,966,738 | ||||||
| Federal Home Loan Mortgage Corporation Series 2019-1, Class A1 3.50%, due 5/25/29 | 2,371,113 | 2,490,836 | ||||||
| JP Morgan Mortgage Trust Series 2019-1, Class A3 4.00%, due 5/25/49 (a)(i) | 1,619,633 | 1,642,852 | ||||||
| 11,216,540 | ||||||||
| Total Mortgage-Backed Securities (Cost $111,370,260) | 113,557,927 | |||||||
| U.S. Government & Federal Agencies 8.4% | ||||||||
| Federal Home Loan Mortgage Corporation (Mortgage Pass-Through Securities) 0.2% | ||||||||
| 4.00%, due 2/1/49 | 2,457,633 | 2,557,629 | ||||||
| Federal National Mortgage Association (Mortgage Pass-Through Securities) 4.1% | ||||||||
| 3.00%, due 10/1/48 | 3,252,671 | 3,306,994 | ||||||
| 3.50%, due 9/1/48 TBA (j) | 9,376,000 | 9,616,993 | ||||||
| 4.00%, due 8/1/48 | 14,134,528 | 14,718,139 | ||||||
| 4.00%, due 2/1/49 | 5,331,041 | 5,541,697 | ||||||
| 4.50%, due 1/1/49 | 10,095,363 | 10,688,021 | ||||||
| 43,871,844 | ||||||||
| United States Treasury Inflation - Indexed Notes 4.1% (k) | ||||||||
| 0.75%, due 7/15/28 | 12,305,723 | 12,910,500 | ||||||
| 0.875%, due 1/15/29 | 28,688,454 | 30,425,310 | ||||||
| 43,335,810 | ||||||||
| Total U.S. Government & Federal Agencies (Cost $86,178,862) | 89,765,283 | |||||||
| Total Long-Term Bonds (Cost $982,542,488) | 1,007,130,048 | |||||||
| Shares | ||||||||
| Common Stocks 0.0%‡ | ||||||||
| Software 0.0% ‡ | ||||||||
| salesforce.com, Inc. (l) | 1,267 | 188,074 | ||||||
| Total Common Stocks (Cost $146,797) | 188,074 | |||||||
| Short-Term Investments 8.1% | ||||||||
| Affiliated Investment Company 6.9% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (m) | 73,834,781 | 73,834,781 | ||||||
| Total Affiliated Investment Company (Cost $73,834,781) | 73,834,781 | |||||||
| Unaffiliated Investment Company 0.3% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (m)(n) | 2,994,390 | 2,994,390 | ||||||
| Total Unaffiliated Investment Company (Cost $2,994,390) | 2,994,390 |
| Principal Amount | ||||||||
| U.S. Governments 0.9% | ||||||||
| United States Treasury Bills (o) | $ | 9,100,000 | 9,089,913 | |||||
| Total U.S. Governments (Cost $9,089,913) | 9,089,913 | |||||||
| Repurchase Agreement 0.0% ‡ | ||||||||
| Fixed Income Clearing Corp. 0.25%, dated 9/30/19 due 10/1/19 Proceeds at Maturity $152,889 (Collateralized by a United States Treasury Note with a rate of 2.375% and a maturity date of 9/30/22, with a Principal Amount of $155,000 and Market Value of $156,380) | 152,888 | 152,888 | ||||||
| Total Repurchase Agreement (Cost $152,888) | 152,888 | |||||||
| Total Short-Term Investments (Cost $86,071,972) | 86,071,972 | |||||||
| Total Investments, Before Investments Sold Short (Cost $1,068,761,257) | 102.8 | % | 1,093,390,094 | |||||
| Investments Sold Short (2.1%) | ||||||||
| Corporate Bonds Sold Short (2.1%) | ||||||||
| Health Care Providers & Services (0.3%) | ||||||||
| Davita, Inc. 5.00%, due 5/1/25 | (3,015,000 | ) | (3,003,151 | ) | ||||
| Internet & Direct Marketing Retail (0.8%) | ||||||||
| Netflix, Inc. 4.375%, due 11/15/26 | (8,495,000 | ) | (8,605,860 | ) | ||||
| Metals & Mining (0.5%) | ||||||||
| FMG Resources (August 2006) Pty, Ltd. 5.125%, due 5/15/24 (a) | (5,000,000 | ) | (5,200,000 | ) | ||||
| Semiconductors & Semiconductor Equipment (0.5%) | ||||||||
| Amkor Technology, Inc. 6.625%, due 9/15/27 (a) | (5,050,000 | ) | (5,504,500 | ) | ||||
| Total Investments Sold Short (Proceeds $21,579,098) | (22,313,511 | ) | ||||||
| Total Investments, Net of Investments Sold Short (Cost $1,047,182,159) | 100.7 | % | 1,071,076,583 | |||||
| Other Assets, Less Liabilities | (0.7 | ) | (7,733,551 | ) | ||||
| Net Assets | 100.0 | % | $ | 1,063,343,032 |
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
| (b) | Floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (c) | Security, or a portion thereof, was maintained in a segregated account at the Portfolio's custodian as collateral for securities sold short. |
| (d) | Fixed to floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (e) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
| (f) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $2,933,327. The Portfolio received cash collateral with a value of $2,994,390. |
| (g) | Fair valued security - Represents fair value as measured in good faith under procedures approved by the Board of Trustees. As of September 30, 2019, the total market value of fair valued security was $6,504,292, which represented 0.6% of the Portfolio's net assets. |
| (h) | Collateral strip rate - A bond whose interest was based on the weighted net interest rate of the collateral. The coupon rate adjusts periodically based on a predetermined schedule. Rate shown was the rate in effect as of September 30, 2019. |
| (i) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end. |
| (j) | TBA - Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. As of September 30, 2019, the total net market value of these securities was $9,616,993, which represented 0.9% of the Portfolio's net assets. All or a portion of these securities are a part of a mortgage dollar roll agreement. |
| (k) | Treasury Inflation Protected Security - Pays a fixed rate of interest on a principal amount that is continuously adjusted for inflation based on the Consumer Price Index-Urban Consumers. |
| (l) | Non-income producing security. |
| (m) | Current yield as of September 30, 2019. |
| (n) | Represents security purchased with cash collateral received for securities on loan. |
| (o) | Interest rate shown represents yield to maturity. |
Foreign Currency Forward Contracts
As of September 30, 2019, the Portfolio held the following foreign currency forward contracts1:
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
| USD | 3,505,493 | EUR | 3,102,000 | JPMorgan Chase Bank N.A. | 11/1/19 | $ | 116,824 | |||||||
| USD | 1,511,442 | GBP | 1,208,000 | JPMorgan Chase Bank N.A. | 11/1/19 | 24,333 | ||||||||
| Total unrealized appreciation | 141,157 | |||||||||||||
| 1. | Foreign Currency Forward Contracts are subject to limitations such that they cannot be “sold or repurchased,” although the Portfolio would be able to exit the transaction through other means, such as through the execution of an offsetting transaction. |
As of September 30, 2019, the Portfolio held the following futures contracts1:
| Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 | |||||||||||
| Long Contracts | ||||||||||||||||
| 2-Year United States Treasury Note | 255 | December 2019 | $ | 55,005,599 | $ | 54,952,500 | $ | (53,099 | ) | |||||||
| Euro Bund | 19 | December 2019 | 3,653,107 | 3,608,553 | (44,554 | ) | ||||||||||
| Total Long Contracts | (97,653 | ) | ||||||||||||||
| Short Contracts | ||||||||||||||||
| 5-Year United States Treasury Note | (657) | December 2019 | (78,675,512 | ) | (78,280,524 | ) | 394,988 | |||||||||
| 10-Year United States Treasury Note | (462) | December 2019 | (60,785,584 | ) | (60,204,375 | ) | 581,209 | |||||||||
| 10-Year United States Treasury Ultra Note | (500) | December 2019 | (71,906,953 | ) | (71,203,125 | ) | 703,828 | |||||||||
| Euro-BTP | (24) | December 2019 | (3,795,345 | ) | (3,815,001 | ) | (19,656 | ) | ||||||||
| United States Treasury Long Bond | (5) | December 2019 | (824,167 | ) | (811,563 | ) | 12,604 | |||||||||
| United States Treasury Ultra Bond | (6) | December 2019 | (1,175,423 | ) | (1,151,437 | ) | 23,986 | |||||||||
| Total Short Contracts | 1,696,959 | |||||||||||||||
| Net Unrealized Appreciation | $ | 1,599,306 | ||||||||||||||
| 1. | As of September 30, 2019, cash in the amount of $2,201,758 was on deposit with a broker or futures commission merchant for futures transactions. |
| 2. | Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2019. |
Swap Contracts
As of September 30, 2019, the Portfolio held the following centrally cleared interest rate swap agreements1:
| Notional Amount | Currency | Expiration Date | Payments made by Portfolio | Payments Received by Portfolio | Payment Frequency Paid/Received | Upfront Premiums Received/ (Paid) | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
| $ | 330,000,000 | USD | 11/9/2019 | Fixed 1.830% | 3-Month USD-LIBOR | Semi-Annually/ Quarterly | $ | (1,658 | ) | $ | 159,053 | $ | 157,395 | |||||||||||
| 50,000,000 | USD | 3/16/2023 | Fixed 2.793% | 3-Month USD-LIBOR | Semi-Annually/ Quarterly | — | (2,114,768 | ) | (2,114,768 | ) | ||||||||||||||
| 50,000,000 | USD | 3/29/2023 | Fixed 2.762% | 3-Month USD-LIBOR | Semi-Annually/ Quarterly | — | (2,087,468 | ) | (2,087,468 | ) | ||||||||||||||
| $ | (1,658 | ) | $ | (4,043,183 | ) | $ | (4,044,841 | ) | ||||||||||||||||
| 1. | As of September 30,2019 cash in the amount of $ 1,612,715 was on deposit with a broker for centrally cleared swap agreements. |
The following abbreviations are used in the preceding pages:
| BTP | —Buoni del Tesoro Poliennali (Eurex Exchange index) |
| EUR | —Euro |
| GBP | —British Pound Sterling |
| LIBOR | —London Interbank Offered Rate |
| REMIC | —Real Estate Mortgage Investment Conduit |
| USD | —United States Dollar |
The
following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's
assets and liabilities:
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Long-Term Bonds | ||||||||||||||||
| Asset-Backed Securities | $ | — | $ | 62,764,024 | $ | — | $ | 62,764,024 | ||||||||
| Convertible Bonds | — | 5,513 | — | 5,513 | ||||||||||||
| Corporate Bonds | — | 671,969,211 | — | 671,969,211 | ||||||||||||
| Loan Assignments | — | 69,068,090 | — | 69,068,090 | ||||||||||||
| Mortgage-Backed Securities | — | 113,557,927 | — | 113,557,927 | ||||||||||||
| U.S. Government & Federal Agencies | — | 89,765,283 | — | 89,765,283 | ||||||||||||
| Total Long-Term Bonds | — | 1,007,130,048 | — | 1,007,130,048 | ||||||||||||
| Common Stocks | 188,074 | — | — | 188,074 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 73,834,781 | — | — | 73,834,781 | ||||||||||||
| Unaffiliated Investment Company | 2,994,390 | — | — | 2,994,390 | ||||||||||||
| U.S. Governments | — | 9,089,913 | — | 9,089,913 | ||||||||||||
| Repurchase Agreement | — | 152,888 | — | 152,888 | ||||||||||||
| Total Short-Term Investments | 76,829,171 | 9,242,801 | — | 86,071,972 | ||||||||||||
| Total Investments in Securities | 77,017,245 | 1,016,372,849 | — | 1,093,390,094 | ||||||||||||
| Other Financial Instruments | ||||||||||||||||
| Foreign Currency Forward Contracts (b) | — | 141,157 | — | 141,157 | ||||||||||||
| Futures Contracts (b) | 1,716,615 | — | — | 1,716,615 | ||||||||||||
| Interest Rate Swap Contracts (b) | — | 157,395 | — | 157,395 | ||||||||||||
| Total Other Financial Instruments | 1,716,615 | 298,552 | — | 2,015,167 | ||||||||||||
| Total Investments in Securities and Other Financial Instruments | $ | 78,733,860 | $ | 1,016,671,401 | $ | — | $ | 1,095,405,261 | ||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Long-Term Bonds Sold Short | ||||||||||||||||
| Corporate Bonds Sold Short | $ | — | $ | (22,313,511 | ) | $ | — | $ | (22,313,511 | ) | ||||||
| Total Long-Term Bonds Sold Short | — | (22,313,511 | ) | — | (22,313,511 | ) | ||||||||||
| Other Financial Instruments | ||||||||||||||||
| Futures Contracts (b) | (117,309 | ) | — | — | (117,309 | ) | ||||||||||
| Interest Rate Swap Contracts (b) | — | (4,202,237 | ) | — | (4,202,237 | ) | ||||||||||
| Total Other Financial Instruments | (117,309 | ) | (4,202,237 | ) | — | (4,319,546 | ) | |||||||||
| Total Investments in Securities Sold Short and Other Financial Instruments | $ | (117,309 | ) | $ | (26,515,748 | ) | $ | — | $ | (26,633,057 | ) | |||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
| (b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP Mellon Natural Resources Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Common Stocks 97.7% † | ||||||||
| Australia 4.6% | ||||||||
| Newcrest Mining, Ltd. (Metals & Mining) | 464,503 | $ | 10,894,693 | |||||
| Austria 2.1% | ||||||||
| OMV A.G. (Oil, Gas & Consumable Fuels) | 91,775 | 4,925,487 | ||||||
| Brazil 2.1% | ||||||||
| Petroleo Brasileiro S.A., Sponsored ADR (Oil, Gas & Consumable Fuels) | 390,156 | 5,126,650 | ||||||
| Canada 9.7% | ||||||||
| Barrick Gold Corp. (Metals & Mining) | 601,069 | 10,416,526 | ||||||
| Lundin Mining Corp. (Metals & Mining) | 779,093 | 3,663,622 | ||||||
| Nutrien, Ltd. (Chemicals) (a) | 130,092 | 6,480,788 | ||||||
| Teck Resources, Ltd., Class B (Metals & Mining) | 167,557 | 2,719,450 | ||||||
| 23,280,386 | ||||||||
| Denmark 2.9% | ||||||||
| Orsted A/S (Electric Utilities) (b) | 24,038 | 2,233,971 | ||||||
| Vestas Wind Systems A/S (Electrical Equipment) | 60,241 | 4,676,846 | ||||||
| 6,910,817 | ||||||||
| France 8.6% | ||||||||
| Air Liquide S.A. (Chemicals) | 36,517 | 5,198,104 | ||||||
| TOTAL S.A. (Oil, Gas & Consumable Fuels) | 295,191 | 15,406,689 | ||||||
| 20,604,793 | ||||||||
| Italy 0.9% | ||||||||
| Saipem S.p.A. (Energy Equipment & Services) (c) | 497,163 | 2,249,898 | ||||||
| Norway 2.7% | ||||||||
| Yara International ASA (Chemicals) | 150,251 | 6,470,720 | ||||||
| Portugal 1.7% | ||||||||
| Galp Energia SGPS S.A. (Oil, Gas & Consumable Fuels) | 268,339 | 4,043,483 | ||||||
| Republic of Korea 1.3% | ||||||||
| S-Oil Corp. (Oil, Gas & Consumable Fuels) | 37,031 | 3,077,274 | ||||||
| Russia 2.3% | ||||||||
| Gazprom PJSC, Sponsored ADR (Oil, Gas & Consumable Fuels) | 782,146 | 5,399,936 | ||||||
| South Africa 3.8% | ||||||||
| Anglo American PLC (Metals & Mining) | 396,852 | 9,130,505 | ||||||
| United Kingdom 5.6% | ||||||||
| BP PLC (Oil, Gas & Consumable Fuels) | 2,103,786 | 13,342,245 | ||||||
| United States 49.4% | ||||||||
| Archer-Daniels-Midland Co. (Food Products) | 201,046 | 8,256,959 | ||||||
| Ball Corp. (Containers & Packaging) | 121,031 | 8,812,267 | ||||||
| Bunge, Ltd. (Food Products) | 64,823 | 3,670,278 | ||||||
| Casella Waste Systems, Inc., Class A (Commercial Services & Supplies) (c) | 106,631 | 4,578,735 | ||||||
| CF Industries Holdings, Inc. (Chemicals) | 184,741 | 9,089,257 | ||||||
| Concho Resources, Inc. (Oil, Gas & Consumable Fuels) | 42,092 | 2,858,047 | ||||||
| Covanta Holding Corp. (Commercial Services & Supplies) | 213,847 | 3,697,415 | ||||||
| Diamondback Energy, Inc. (Oil, Gas & Consumable Fuels) | 37,331 | 3,356,430 | ||||||
| First Solar, Inc. (Semiconductors & Semiconductor Equipment) (c) | 82,864 | 4,806,941 | ||||||
| FMC Corp. (Chemicals) | 106,724 | 9,357,560 | ||||||
| Freeport-McMoRan, Inc. (Metals & Mining) | 879,669 | 8,418,433 | ||||||
| Helmerich & Payne, Inc. (Energy Equipment & Services) | 73,754 | 2,955,323 | ||||||
| Hess Corp. (Oil, Gas & Consumable Fuels) | 109,487 | 6,621,774 | ||||||
| Itron, Inc. (Electronic Equipment, Instruments & Components) (c) | 33,747 | 2,495,928 | ||||||
| Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 91,888 | 5,582,196 | ||||||
| Newmont Goldcorp Corp. (Metals & Mining) | 205,686 | 7,799,613 | ||||||
| NextEra Energy, Inc. (Electric Utilities) | 26,543 | 6,184,254 | ||||||
| Nutrien, Ltd. (Chemicals) | 74,306 | 3,706,383 | ||||||
| Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 81,351 | 3,617,679 | ||||||
| PBF Energy, Inc., Class A (Oil, Gas & Consumable Fuels) | 107,116 | 2,912,484 | ||||||
| Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 21,909 | 2,755,495 | ||||||
| Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 75,568 | 6,441,416 | ||||||
| 117,974,867 | ||||||||
| Total Common Stocks (Cost $232,725,700) | 233,431,754 | |||||||
| Short-Term Investment 2.0% | ||||||||
| Affiliated Investment Company 2.0% | ||||||||
| United States 2.0% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81%, (d) | 4,830,949 | 4,830,949 | ||||||
| Total Short-Term Investment (Cost $4,830,949) | 4,830,949 | |||||||
| Total Investments (Cost $237,556,649) | 99.7 | % | 238,262,703 | |||||
| Other Assets, Less Liabilities | 0.3 | 612,225 | ||||||
| Net Assets | 100.0 | % | $ | 238,874,928 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| (a) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $6,298,223. The Portfolio received non-cash collateral in the form of U.S. Treasury securities with a value of $6,629,022. |
| (b) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
| (c) | Non-income producing security. |
| (d) | Current yield as of September 30, 2019. |
The following abbreviation is used in the preceding pages:
| ADR | —American Depositary Receipt |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets:
| Quoted Prices in Active Markets for Identical Assets | Significant Other Observable Inputs | Significant Unobservable Inputs | ||||||||||||||
| Description | (Level 1) | (Level 2) | (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Common Stocks | $ | 233,431,754 | $ | — | $ | — | $ | 233,431,754 | ||||||||
| Short-Term Investment | ||||||||||||||||
| Affiliated Investment Company | 4,830,949 | — | — | 4,830,949 | ||||||||||||
| Total Investments in Securities | $ | 238,262,703 | $ | — | $ | — | $ | 238,262,703 | ||||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
MainStay VP Moderate Allocation Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Affiliated Investment Companies 97.8% † | ||||||||
| Equity Funds 56.1% | ||||||||
| IQ 50 Percent Hedged FTSE International ETF (a) | 839,733 | $ | 17,079,917 | |||||
| IQ 500 International ETF | 97,024 | 2,589,959 | ||||||
| IQ Chaikin U.S. Large Cap ETF (a) | 979,525 | 24,429,354 | ||||||
| IQ Chaikin U.S. Small Cap ETF (a) | 536,257 | 13,529,764 | ||||||
| IQ Global Resources ETF (a) | 572,454 | 15,182,568 | ||||||
| MainStay Epoch Capital Growth Fund Class I (a) | 901,628 | 11,567,886 | ||||||
| MainStay Epoch International Choice Fund Class I (a) | 1,122,938 | 38,617,834 | ||||||
| MainStay Epoch U.S. All Cap Fund Class R6 (a) | 1,495,285 | 42,705,347 | ||||||
| MainStay MacKay International Opportunities Fund Class I (a) | 3,442,002 | 26,159,216 | ||||||
| MainStay MacKay U.S. Equity Opportunities Fund Class I (a) | 4,454,366 | 37,906,652 | ||||||
| MainStay MAP Equity Fund Class I (a) | 1,234,143 | 52,636,189 | ||||||
| MainStay VP Eagle Small Cap Growth Portfolio Initial Class (a) | 1,033,530 | 14,303,526 | ||||||
| MainStay VP Emerging Markets Equity Portfolio Initial Class (a) | 5,267,935 | 45,240,422 | ||||||
| MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class (a) | 2,711,338 | 45,096,652 | ||||||
| MainStay VP Large Cap Growth Portfolio Initial Class (a) | 1,969,216 | 52,167,757 | ||||||
| MainStay VP MacKay Common Stock Portfolio Initial Class (a) | 955,370 | 28,067,320 | ||||||
| MainStay VP MacKay Growth Portfolio Initial Class (a) | 1,384,743 | 45,613,872 | ||||||
| MainStay VP MacKay International Equity Portfolio Initial Class | 294,206 | 4,983,677 | ||||||
| MainStay VP MacKay Mid Cap Core Portfolio Initial Class (a) | 2,398,542 | 33,391,418 | ||||||
| MainStay VP MacKay S&P 500 Index Portfolio Initial Class | 66,251 | 3,837,510 | ||||||
| MainStay VP MacKay Small Cap Core Portfolio Initial Class (a) | 2,446,650 | 26,052,858 | ||||||
| MainStay VP T. Rowe Price Equity Income Portfolio Initial Class (a) | 4,177,511 | 56,246,384 | ||||||
| Total Equity Funds (Cost $612,866,218) | 637,406,082 | |||||||
| Fixed Income Funds 41.7% | ||||||||
| IQ Enhanced Core Bond U.S. ETF (a) | 1,389,331 | 26,918,288 | ||||||
| IQ Enhanced Core Plus Bond U.S. ETF | 206,875 | 4,074,403 | ||||||
| IQ S&P High Yield Low Volatility Bond ETF (a) | 180,069 | 4,559,347 | ||||||
| MainStay MacKay High Yield Municipal Bond Fund Class I | 1,422,331 | 18,532,976 | ||||||
| MainStay MacKay Infrastructure Bond Fund (a) | 1,342,655 | 11,801,938 | ||||||
| MainStay MacKay Short Duration High Yield Fund Class I (a) | 8,322,308 | 81,974,729 | ||||||
| MainStay MacKay Short Term Municipal Fund Class I | 1,792,352 | 17,242,424 | ||||||
| MainStay MacKay Total Return Bond Fund Class R6 | 111,844 | 1,219,095 | ||||||
| MainStay VP Bond Portfolio Initial Class (a) | 5,185,307 | 77,508,643 | ||||||
| MainStay VP Floating Rate Portfolio Initial Class (a) | 3,797,123 | 33,724,129 | ||||||
| MainStay VP Indexed Bond Portfolio Initial Class (a) | 14,534,965 | 154,296,341 | ||||||
| MainStay VP MacKay Convertible Portfolio Initial Class (a) | 1,086,066 | 15,143,836 | ||||||
| MainStay VP MacKay Unconstrained Bond Portfolio Initial Class (a) | 1,567,333 | 15,595,870 | ||||||
| MainStay VP PIMCO Real Return Portfolio Initial Class (a) | 1,237,349 | 10,892,019 | ||||||
| Total Fixed Income Funds (Cost $458,345,639) | 473,484,038 | |||||||
| Total Affiliated Investment Companies (Cost $1,071,211,857) | 1,110,890,120 | |||||||
| Short-Term Investment 2.2% | ||||||||
| Affiliated Investment Company 2.2% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (b) | 25,552,214 | 25,552,214 | ||||||
| Total Short-Term Investment (Cost $25,552,214) | 25,552,214 | |||||||
| Total Investments (Cost $1,096,764,071) | 100.0 | % | 1,136,442,334 | |||||
| Other Assets, Less Liabilities | (0.0 | )‡ | (293,005 | ) | ||||
| Net Assets | 100.0 | % | $ | 1,136,149,329 | ||||
| ‡ | Less than one-tenth of a percent. |
| † | Percentages indicated are based on Portfolio net assets. |
| (a) | As of September 30, 2019, the Portfolio's ownership exceeded 5% of the outstanding shares of the Underlying Portfolio's/Fund's share class. |
| (b) | Current yield as of September 30, 2019. |
The following abbreviations are used in the preceding pages:
| ETF | —Exchange-Traded Fund |
| FTSE | —Financial Times Stock Exchange |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets:
| Description | Quoted
Prices | Significant (Level 2) | Significant (Level 3) | Total | |||||||||||||
| Asset Valuation Inputs | |||||||||||||||||
| Investments (a) | |||||||||||||||||
| Affiliated Investment Companies | |||||||||||||||||
| Equity Funds | $ | 637,406,082 | $ | — | $ | — | $ | 637,406,082 | |||||||||
| Fixed Income Funds | 473,484,038 | — | — | 473,484,038 | |||||||||||||
| Short-Term Investment | 25,552,214 | — | — | 25,552,214 | |||||||||||||
| Total Investments in Securities | $ | 1,136,442,334 | $ | — | $ | — | $ | 1,136,442,334 | |||||||||
| (a) | For a complete listing of investments, see the Portfolio of Investments. |
MainStay VP Moderate Growth Allocation Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Affiliated Investment Companies 97.9% † | ||||||||
| Equity Funds 76.2% | ||||||||
| IQ 50 Percent Hedged FTSE International ETF (a) | 1,927,104 | $ | 39,196,717 | |||||
| IQ 500 International ETF (a) | 634,534 | 16,938,251 | ||||||
| IQ Chaikin U.S. Large Cap ETF (a) | 2,060,432 | 51,387,174 | ||||||
| IQ Chaikin U.S. Small Cap ETF (a) | 1,274,275 | 32,149,958 | ||||||
| IQ Global Resources ETF (a) | 1,346,901 | 35,722,374 | ||||||
| MainStay Epoch Capital Growth Fund Class I (a) | 1,565,260 | 20,082,286 | ||||||
| MainStay Epoch International Choice Fund Class I (a) | 2,599,487 | 89,396,370 | ||||||
| MainStay Epoch U.S. All Cap Fund Class R6 (a) | 3,943,492 | 112,626,121 | ||||||
| MainStay MacKay International Opportunities Fund Class I (a) | 8,609,957 | 65,435,670 | ||||||
| MainStay MacKay U.S. Equity Opportunities Fund Class I (a) | 8,195,425 | 69,743,065 | ||||||
| MainStay MAP Equity Fund Class I (a) | 2,280,680 | 97,271,000 | ||||||
| MainStay VP Eagle Small Cap Growth Portfolio Initial Class (a) | 3,977,129 | 55,041,448 | ||||||
| MainStay VP Emerging Markets Equity Portfolio Initial Class (a) | 10,253,839 | 88,058,793 | ||||||
| MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class (a) | 7,093,845 | 117,989,222 | ||||||
| MainStay VP Large Cap Growth Portfolio Initial Class (a) | 3,920,038 | 103,848,235 | ||||||
| MainStay VP MacKay Common Stock Portfolio Initial Class (a) | 1,612,992 | 47,387,246 | ||||||
| MainStay VP MacKay Growth Portfolio Initial Class (a) | 2,745,868 | 90,449,790 | ||||||
| MainStay VP MacKay International Equity Portfolio Initial Class (a) | 1,234,580 | 20,913,081 | ||||||
| MainStay VP MacKay Mid Cap Core Portfolio Initial Class (a) | 7,520,717 | 104,700,031 | ||||||
| MainStay VP MacKay S&P 500 Index Portfolio Initial Class | 84,038 | 4,867,834 | ||||||
| MainStay VP MacKay Small Cap Core Portfolio Initial Class (a) | 6,507,863 | 69,298,195 | ||||||
| MainStay VP T. Rowe Price Equity Income Portfolio Initial Class (a) | 10,293,167 | 138,588,143 | ||||||
| Total Equity Funds (Cost $1,440,074,720) | 1,471,091,004 | |||||||
| Fixed Income Funds 21.7% | ||||||||
| IQ Enhanced Core Plus Bond U.S. ETF (a) | 541,881 | 10,672,346 | ||||||
| IQ S&P High Yield Low Volatility Bond ETF | 88,976 | 2,252,872 | ||||||
| MainStay MacKay High Yield Municipal Bond Fund Class I | 2,286,418 | 29,792,025 | ||||||
| MainStay MacKay Infrastructure Bond Fund (a) | 2,846,926 | 25,024,478 | ||||||
| MainStay MacKay Short Duration High Yield Fund Class I (a) | 13,446,056 | 132,443,654 | ||||||
| MainStay MacKay Short Term Municipal Fund Class I (a) | 2,979,935 | 28,666,979 | ||||||
| MainStay MacKay Total Return Bond Fund Class R6 | 29,699 | 323,716 | ||||||
| MainStay VP Bond Portfolio Initial Class (a) | 2,461,638 | 36,795,929 | ||||||
| MainStay VP Floating Rate Portfolio Initial Class (a) | 7,109,124 | 63,139,659 | ||||||
| MainStay VP Indexed Bond Portfolio Initial Class (a) | 2,378,625 | 25,250,360 | ||||||
| MainStay VP MacKay Convertible Portfolio Initial Class (a) | 1,808,409 | 25,216,006 | ||||||
| MainStay VP MacKay Unconstrained Bond Portfolio Initial Class (a) | 2,262,092 | 22,509,125 | ||||||
| MainStay VP PIMCO Real Return Portfolio Initial Class (a) | 1,914,764 | 16,855,104 | ||||||
| Total Fixed Income Funds (Cost $412,473,174) | 418,942,253 | |||||||
| Total Affiliated Investment Companies (Cost $1,852,547,894) | 1,890,033,257 | |||||||
| Short-Term Investment 2.2% | ||||||||
| Affiliated Investment Company 2.2% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (b) | 42,110,889 | 42,110,889 | ||||||
| Total Short-Term Investment (Cost $42,110,889) | 42,110,889 | |||||||
| Total Investments (Cost $1,894,658,783) | 100.1 | % | 1,932,144,146 | |||||
| Other Assets, Less Liabilities | (0.1 | )‡ | (1,643,052 | ) | ||||
| Net Assets | 100.0 | % | $ | 1,930,501,094 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | As of September 30, 2019, the Portfolio's ownership exceeds 5% of the outstanding shares of the Underlying Portfolio's/Fund's share class. |
| (b) | Current yield as of September 30, 2019. |
The following abbreviations are used in the preceding pages:
| ETF | —Exchange-Traded Fund |
| FTSE | —Financial Times Stock Exchange |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets:
| Description | Quoted
Prices | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments (a) | ||||||||||||||||
| Affiliated Investment Companies | ||||||||||||||||
| Equity Funds | $ | 1,471,091,004 | $ | — | $ | — | $ | 1,471,091,004 | ||||||||
| Fixed Income Funds | 418,942,253 | — | — | 418,942,253 | ||||||||||||
| Short-Term Investment | 42,110,889 | — | — | 42,110,889 | ||||||||||||
| Total Investments in Securities | $ | 1,932,144,146 | $ | — | $ | — | $ | 1,932,144,146 | ||||||||
| (a) | For a complete listing of investments, see the Portfolio of Investments. |
MainStay VP PIMCO Real Return Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Principal Amount |
Value | |||||||||
| Long-Term Bonds 156.9% † | ||||||||||
| Asset-Backed Securities 6.4% | ||||||||||
| Other Asset-Backed Securities 6.4% | ||||||||||
| Argent
Securities, Inc. Series 2006-W4, Class A2C 2.465% (1 Month LIBOR + 0.16%), due 5/25/36 (a) |
$ | 329,448 | $ | 122,919 | ||||||
| Atrium
CDO Corp. Series 2012-A, Class AR 3.422% (3 Month LIBOR + 0.83%), due 4/22/27 (a)(b) |
300,000 | 299,985 | ||||||||
| Black
Diamond CLO, Ltd. Series 2015-1A, Class A1R 0.65% (3 Month EURIBOR + 0.65%), due 10/3/29 (a)(b) |
EUR | 260,000 | 283,384 | |||||||
| Catamaran
CLO, Ltd. Series 2013-1A, Class AR 3.432% (3 Month LIBOR + 0.85%), due 1/27/28 (a)(b) |
$ | 1,180,000 | 1,172,355 | |||||||
| CIFC
Funding, Ltd. Series 2015-2A, Class AR 3.377% (3 Month LIBOR + 0.78%), due 4/15/27 (a)(b) |
1,446,620 | 1,443,144 | ||||||||
| Colony
American Finance Trust Series 2017-1, Class A 2.968%, due 10/15/49 (b) |
69,900 | 70,242 | ||||||||
| Countrywide
Asset-Backed Certificates Series 2007-08, Class 1A1 2.335% (1 Month LIBOR + 0.19%), due 11/25/37 (a) |
838,142 | 803,912 | ||||||||
| Credit-Based
Asset Servicing & Securitization LLC Series 2007-CB6, Class A3 2.365% (1 Month LIBOR + 0.22%), due 7/25/37 (a)(b) |
1,188,000 | 796,721 | ||||||||
| Halcyon
Loan Advisors Funding, Ltd. Series 2015-1A, Class AR 3.512% (3 Month LIBOR + 0.92%), due 4/20/27 (a)(b) |
250,066 | 249,876 | ||||||||
| Home Equity Asset Trust (a) | ||||||||||
| Series 2005-8, Class M2 2.595% (1 Month LIBOR + 0.45%), due 2/25/36 |
300,000 | 293,867 | ||||||||
| Series
2004-2, Class M1 2.94% (1 Month LIBOR + 0.795%), due 7/25/34 |
114,290 | 114,293 | ||||||||
| Jamestown
CLO IV, Ltd. Series 2014-4A, Class A1AR 3.287% (3 Month LIBOR + 0.69%), due 7/15/26 (a)(b) |
255,014 | 255,342 | ||||||||
| Jamestown
CLO VII, Ltd. Series 2015-7A, Class A1R 3.41% (3 Month LIBOR + 0.83%), due 7/25/27 (a)(b) |
1,450,000 | 1,445,383 | ||||||||
| Jubilee
CDO B.V. Series 2015-16A, Class A1R 0.367% (3 Month EURIBOR + 0.80%), due 12/15/29 (a)(b) |
EUR | 1,660,000 | 1,807,769 | |||||||
| KVK
CLO, Ltd. Series 2013-1A, Class AR 2.90% (3 Month EURIBOR + 0.90%), due 1/14/28 (b) |
$ | 1,660,000 | 1,652,908 | |||||||
| Legacy
Mortgage Asset Trust Series 2019-GS3, Class A1 3.75%, due 4/25/59 (b)(c) |
189,561 | 191,911 | ||||||||
| Long
Beach Mortgage Loan Trust Series 2006-7, Class 2A2 2.265% (1 Month LIBOR + 0.12%), due 8/25/36 (a) |
286,282 | 157,137 | ||||||||
| Man
GLG Euro CLO Series 2A, Class A1R 0.87% (3 Month EURIBOR + 0.87%), due 1/15/30 (a)(b) |
EUR | 250,000 | 273,750 | |||||||
| Marathon
CLO V, Ltd. Series 2013-5A, Class A1R 3.392% (3 Month LIBOR + 0.87%), due 11/21/27 (a)(b) |
$ | 1,660,000 | 1,650,764 | |||||||
| Marlette
Funding Trust Series 2019-3A, Class A 2.69%, due 9/17/29 (b) |
177,780 | 178,215 | ||||||||
| MASTR
Asset Backed Securities Trust Series 2006-WMC4, Class A5 2.295% (1 Month LIBOR + 0.15%), due 10/25/36 (a) |
133,519 |
59,182 |
||||||||
| New
Century Home Equity Loan Trust Series 2004-04, Class M1 2.91% (1 Month LIBOR + 0.765%), due 2/25/35 (a) |
83,911 | 83,162 | ||||||||
| New
Residential Mortgage Loan Trust Series 2018-3A, Class A1 4.50%, due 5/25/58 (b) |
247,552 | 261,626 | ||||||||
| OCP CLO, Ltd. (a)(b) | ||||||||||
| Series 2015-9A, Class A1R 3.397% (3 Month LIBOR + 0.80%), due 7/15/27 |
300,000 | 300,005 | ||||||||
| Series
2015-10A, Class A1R 3.406% (3 Month LIBOR + 0.82%), due 10/26/27 |
1,660,000 | 1,658,000 | ||||||||
| RASC Trust (a) | ||||||||||
| Series 2006-KS6, Class A4 2.395% (1 Month LIBOR + 0.25%), due 8/25/36 |
361,620 | 359,381 | ||||||||
| Series 2005-KS8,
Class M4 3.03% (1 Month LIBOR + 0.59%), due 8/25/35 |
600,000 | 601,017 | ||||||||
| Residential
Asset Securities Corp. Series 2006-EMX4, Class A4 2.605% (1 Month LIBOR + 0.23%), due 6/25/36 (a) |
961,333 | 935,022 | ||||||||
| Saxon
Asset Securities Trust Series 2007-03, Class A1 2.455% (1 Month LIBOR + 0.31%), due 9/25/47 (a) |
193,869 | 188,393 | ||||||||
| Securitized Asset-Backed Receivables LLC Trust (a) | ||||||||||
| Series 2006-HE2, Class A2C 2.295% (1 Month LIBOR + 0.15%), due 7/25/36 |
235,802 | 128,988 | ||||||||
| Series 2006-HE1,
Class A2C 2.305% (1 Month LIBOR + 0.16%), due 7/25/36 |
669,965 | 351,609 | ||||||||
| SLM Student Loan Trust | ||||||||||
| Series 2003-5, Class A5, Series Reg S (zero coupon) (3 Month EURIBOR + 0.27%), due 6/17/24 (a) |
EUR | 38,097 | 41,439 | |||||||
| Series 2004-2,
Class A5 (zero coupon) (3 Month EURIBOR + 0.18%), due 1/25/24 (a) |
138,876 | 151,215 | ||||||||
| Series 2013-B,
Class A2A 1.85%, due 6/17/30 (b) |
$ | 7,346 | 7,344 | |||||||
| Series 2004-3A,
Class A6B 3.13% (3 Month LIBOR + 0.55%), due 10/25/64 (a)(b) |
500,000 | 493,309 | ||||||||
| Series 2011-B,
Class A3 4.445% (1 Month LIBOR + 2.25%), due 6/16/42 (a)(b) |
155,290 | 156,655 | ||||||||
| Sofi
Professional Loan Program LLC Series 2017-F, Class A1FX 2.05%, due 1/25/41 (b) |
195,632 | 195,372 | ||||||||
| Soundview Home Equity Loan Trust (a) | ||||||||||
| Series 2007-OPT2, Class 2A3 2.325% (1 Month LIBOR + 0.18%), due 7/25/37 |
251,720 | 230,825 | ||||||||
| Series 2007-OPT1,
Class 1A1 2.345% (1 Month LIBOR + 0.20%), due 6/25/37 |
372,483 | 294,053 | ||||||||
| SpringCastle
Funding Asset-Backed Notes Series 2019-AA, Class A 3.20%, due 5/27/36 (b) |
905,695 | 915,378 | ||||||||
| Stanwich
Mortgage Loan Trust Series 2019-NPB1, Class A1 3.375%, due 8/15/24 (b)(c) |
240,239 | 239,976 | ||||||||
| THL
Credit Wind River CLO, Ltd. Series 2012-1A, Class AR2 3.183% (3 Month LIBOR + 0.88%), due 1/15/26 (a)(b) |
400,000 | 400,017 | ||||||||
| Venture
CLO, Ltd. Series 2018-35A, Class AS 3.742% (3 Month LIBOR + 1.15%), due 10/22/31 (a)(b) |
200,000 | 199,945 | ||||||||
| Venture
XX CLO, Ltd. Series 2015-20A, Class AR 3.417% (3 Month LIBOR + 0.82%), due 4/15/27 (a)(b) |
944,738 | 942,496 | ||||||||
| Venture
XXI CLO, Ltd. Series 2015-21A, Class AR 3.477% (3 Month LIBOR + 0.88%), due 7/15/27 (a)(b) |
400,000 | 399,998 | ||||||||
| Voya
CLO, Ltd. Series 2014-3A, Class A1R 3.30% (3 Month LIBOR + 0.72%), due 7/25/26 (a)(b) |
386,206 | 386,207 | ||||||||
| Wachovia
Mortgage Loan Trust LLC Series 2005-WMC1, Class M1 2.805% (1 Month LIBOR + 0.66%), due 10/25/35 (a) |
23,400 | 23,397 | ||||||||
| Z
Capital Credit Partners CLO, Ltd. Series 2015-1A, Class A1R 3.551% (3 Month LIBOR + 0.95%), due 7/16/27 (a)(b) |
570,000 |
568,328 |
||||||||
| Total
Asset-Backed Securities (Cost $23,952,961) |
23,836,216 | |||||||||
| Corporate Bonds 14.8% | ||||||||||
| Agriculture 0.2% | ||||||||||
| BAT
Capital Corp. 2.765% (3 Month LIBOR + 0.59%), due 8/14/20 (a) |
500,000 | 500,958 | ||||||||
| Reynolds
American, Inc. 4.00%, due 6/12/22 |
200,000 | 208,354 | ||||||||
| 709,312 | ||||||||||
| Auto Manufacturers 1.1% | ||||||||||
| BMW
U.S. Capital LLC (b) 2.00%, due 4/11/21 |
600,000 | 599,202 | ||||||||
| 3.40%, due 8/13/21 | 600,000 | 614,737 | ||||||||
| FCE Bank PLC | ||||||||||
| Series
Reg S 0.088% (3 Month EURIBOR + 0.50%), due 8/26/20 (a) |
EUR | 800,000 | 869,201 | |||||||
| Series
Reg S 1.875%, due 6/24/21 |
900,000 | 1,001,626 | ||||||||
| Ford
Motor Credit Co. LLC 3.55%, due 10/7/22 |
$ | 400,000 | 399,998 | |||||||
| Volkswagen
Group of America Finance LLC 4.00%, due 11/12/21 (b) |
600,000 | 620,082 | ||||||||
| 4,104,846 | ||||||||||
| Banks 4.5% | ||||||||||
| Banco
Bilbao Vizcaya Argentaria S.A. Series Reg S 5.875% (EUR 5 Year Interest Swap Rate + 5.66%), due 9/24/23 (a)(d) |
EUR | 400,000 | 461,049 | |||||||
| Bank
of America Corp. 5.875%, due 3/15/28 (d)(e) |
$ | 190,000 | 205,200 | |||||||
| Barclays
Bank PLC 2.676% (3 Month LIBOR + 0.40%), due 10/25/19 (a)(b) |
2,000,000 | 2,000,000 | ||||||||
| Cooperatieve Rabobank U.A. (a)(d) | ||||||||||
| Series Reg S 5.50% (EUR 5 Year Interest Swap Rate + 5.25%), due 6/29/20 |
EUR | 200,000 | 224,395 | |||||||
| Series Reg S 6.625% (EUR 5 Year Interest Swap Rate + 6.697%), due 6/29/21 |
200,000 | 237,553 | ||||||||
| Credit
Suisse Group Funding Guernsey, Ltd. 3.80%, due 9/15/22 |
$ | 300,000 | 311,964 | |||||||
| Deutsche
Bank A.G. 4.25%, due 10/14/21 |
1,400,000 | 1,422,220 | ||||||||
| Goldman
Sachs Group, Inc. 3.319% (3 Month LIBOR + 1.20%), due 9/15/20 (a) |
1,300,000 | 1,310,021 | ||||||||
| ING
Bank N.V. 2.625%, due 12/5/22 (b) |
400,000 | 408,840 | ||||||||
| Intesa
Sanpaolo S.p.A. 6.50%, due 2/24/21 (b) |
400,000 | 420,151 | ||||||||
| Lloyds Banking Group PLC (a) | ||||||||||
| 2.959% (3 Month LIBOR + 0.80%), due 6/21/21 | 400,000 | 400,906 | ||||||||
| Series Reg S 6.375% (EUR 5 Year Interest Swap Rate + 5.29%), due 6/27/20 (d) |
EUR | 200,000 | 224,197 | |||||||
| Nykredit Realkredit A/S | ||||||||||
| Series Reg S 1.00%, due 10/1/50 |
DKK | 28,999,197 | 4,263,125 | |||||||
| Series Reg S 2.50%, due 10/1/47 |
9,209 | 1,399 | ||||||||
| Realkredit
Danmark A/S 2.50%, due 7/1/47 |
46,155 | 7,007 | ||||||||
| Royal Bank of Scotland Group PLC | ||||||||||
| 3.656% (3 Month LIBOR + 1.55%), due 6/25/24 (a) | $ | 300,000 | 300,623 | |||||||
| 4.519%, due 6/25/24 (e) | 200,000 | 210,327 | ||||||||
| State
Bank of India Series Reg S 3.253% (3 Month LIBOR + 0.95%), due 4/6/20 (a) |
700,000 | 700,954 | ||||||||
| Toronto-Dominion
Bank 2.25%, due 3/15/21 (b) |
600,000 | 603,026 | ||||||||
| UBS
A.G. 2.682% (3 Month LIBOR + 0.58%), due 6/8/20 (a)(b) |
800,000 | 802,145 | ||||||||
| UniCredit
S.p.A. 7.83%, due 12/4/23 (b) |
1,900,000 | 2,217,091 | ||||||||
| 16,732,193 | ||||||||||
| Beverages 0.7% | ||||||||||
| Keurig Dr Pepper, Inc. | ||||||||||
| 3.551%, due 5/25/21 | 1,000,000 | 1,021,374 | ||||||||
| 4.057%, due 5/25/23 | 100,000 | 105,755 | ||||||||
| Pernod-Ricard
S.A. 5.75%, due 4/7/21 (b) |
1,600,000 | 1,683,709 | ||||||||
| 2,810,838 | ||||||||||
| Biotechnology 0.3% | ||||||||||
| Amgen,
Inc. 3.625%, due 5/15/22 |
400,000 | 413,811 | ||||||||
| Celgene
Corp. 3.25%, due 8/15/22 |
600,000 | 618,197 | ||||||||
| 1,032,008 | ||||||||||
| Commercial Services 0.1% | ||||||||||
| ERAC
USA Finance LLC 4.50%, due 8/16/21 (b) |
400,000 | 416,302 | ||||||||
| Computers 0.3% | ||||||||||
| EMC
Corp. 2.65%, due 6/1/20 |
1,100,000 | 1,099,139 | ||||||||
| Diversified Financial Services 1.6% | ||||||||||
| AerCap
Ireland Capital DAC / AerCap Global Aviation Trust 4.625%, due 10/30/20 |
100,000 | 102,368 | ||||||||
| Ally Financial, Inc. | ||||||||||
| 4.125%, due 3/30/20 | 400,000 | 402,500 | ||||||||
| 4.125%, due 2/13/22 | 200,000 | 204,500 | ||||||||
| 4.25%, due 4/15/21 | 100,000 | 102,125 | ||||||||
| Avolon
Holdings Funding, Ltd. 5.50%, due 1/15/23 (b) |
100,000 | 106,701 | ||||||||
| BOC
Aviation, Ltd. 2.375%, due 9/15/21 (b) |
200,000 | 198,241 | ||||||||
| BRFkredit
A/S Series Reg S 1.00%, due 10/1/50 |
DKK | 18,399,591 | 2,706,908 | |||||||
| Jyske
Realkredit A/S 2.50%, due 10/1/47 |
30,588 | 4,646 | ||||||||
| Mitsubishi
UFJ Lease & Finance Co., Ltd. 2.652%, due 9/19/22 (b) |
$ | 200,000 | 200,622 | |||||||
| National
Rural Utilities Cooperative Finance Corp. 2.479% (3 Month LIBOR + 0.375%), due 6/30/21 (a) |
100,000 | 100,360 | ||||||||
| Nordea Kredit Realkreditaktieselskab | ||||||||||
| Series
Reg S 1.00%, due 10/1/50 |
DKK | 11,800,000 | 1,735,560 | |||||||
| 2.50%, due 10/1/47 | 11,202 | 1,701 | ||||||||
| 5,866,232 | ||||||||||
| Electric 0.8% | ||||||||||
| American
Electric Power Co., Inc. 3.65%, due 12/1/21 |
$ | 100,000 | 102,998 | |||||||
| Chugoku
Electric Power Co., Inc. Series Reg S 2.701%, due 3/16/20 |
500,000 | 500,330 | ||||||||
| Consolidated
Edison Co. of New York, Inc. 2.506% (3 Month LIBOR + 0.40%), due 6/25/21 (a) |
100,000 | 100,337 | ||||||||
| Duke
Energy Corp. 2.675% (3 Month LIBOR + 0.50%), due 5/14/21 (a)(b)(f) |
800,000 | 803,208 | ||||||||
| IPALCO
Enterprises, Inc. 3.45%, due 7/15/20 |
500,000 | 502,882 | ||||||||
| LG&E
& KU Energy LLC 4.375%, due 10/1/21 |
100,000 | 103,269 | ||||||||
| NextEra
Energy Capital Holdings, Inc. 2.544% (3 Month LIBOR + 0.40%), due 8/21/20 (a) |
600,000 | 600,031 | ||||||||
| Southern
Power Co. 2.706% (3 Month LIBOR + 0.55%), due 12/20/20 (a)(b) |
300,000 | 300,025 | ||||||||
| 3,013,080 | ||||||||||
| Food 0.2% | ||||||||||
| Campbell
Soup Co. 3.30%, due 3/15/21 |
300,000 | 304,328 | ||||||||
| Conagra
Brands, Inc. 3.25%, due 9/15/22 |
200,000 | 204,700 | ||||||||
| Danone
S.A. 2.077%, due 11/2/21 (b) |
200,000 | 199,706 | ||||||||
| 708,734 | ||||||||||
| Gas 0.4% | ||||||||||
| Sempra
Energy 2.569% (3 Month LIBOR + 0.45%), due 3/15/21 (a) |
100,000 |
99,673 |
||||||||
| Southern
Co. Gas Capital Corp. 3.50%, due 9/15/21 |
1,400,000 | 1,429,899 | ||||||||
| 1,529,572 | ||||||||||
| Home Builders 0.2% | ||||||||||
| D.R.
Horton, Inc. 4.00%, due 2/15/20 |
900,000 | 905,301 | ||||||||
| Home Furnishing 0.2% | ||||||||||
| Panasonic
Corp. 2.536%, due 7/19/22 (b) |
800,000 | 804,846 | ||||||||
| Machinery - Diversified 0.5% | ||||||||||
| John
Deere Capital Corp. 2.449% (3 Month LIBOR + 0.29%), due 6/22/20 (a) |
1,100,000 | 1,101,523 | ||||||||
| Wabtec
Corp. 3.419% (3 Month LIBOR + 1.30%), due 9/15/21 (a) |
600,000 | 600,018 | ||||||||
| 1,701,541 | ||||||||||
| Media 0.5% | ||||||||||
| Charter Communications Operating LLC / Charter Communications Operating Capital Corp. | ||||||||||
| 3.579%, due 7/23/20 | 800,000 | 807,165 | ||||||||
| 4.464%, due 7/23/22 | 600,000 | 631,693 | ||||||||
| DISH
DBS Corp. 5.125%, due 5/1/20 |
300,000 | 303,375 | ||||||||
| 1,742,233 | ||||||||||
| Miscellaneous - Manufacturing 0.1% | ||||||||||
| Textron,
Inc. 2.731% (3 Month LIBOR + 0.55%), due 11/10/20 (a) |
580,000 | 579,739 | ||||||||
| Oil & Gas 0.2% | ||||||||||
| Petrobras Global Finance B.V. | ||||||||||
| 5.093%, due 1/15/30 (b) | 543,000 | 566,430 | ||||||||
| 6.125%, due 1/17/22 | 33,000 | 35,426 | ||||||||
| 6.625%, due 1/16/34 | GBP | 100,000 | 145,640 | |||||||
| 747,496 | ||||||||||
| Pharmaceuticals 0.2% | ||||||||||
| Teva
Pharmaceutical Finance Netherlands III B.V. 2.80%, due 7/21/23 |
$ | 800,000 | 646,000 | |||||||
| Pipelines 0.6% | ||||||||||
| Enbridge, Inc. (a) | ||||||||||
| 2.738% (3 Month LIBOR + 0.40%), due 1/10/20 | 600,000 | 600,102 | ||||||||
| 2.819% (3 Month LIBOR + 0.70%), due 6/15/20 | 800,000 | 801,417 | ||||||||
| Florida
Gas Transmission Co LLC 5.45%, due 7/15/20 (b) |
700,000 | 716,156 | ||||||||
| Spectra
Energy Partners, L.P. 2.827% (3 Month LIBOR + 0.70%), due 6/5/20 (a) |
100,000 | 100,187 | ||||||||
| 2,217,862 | ||||||||||
| Real Estate Investment Trusts 0.1% | ||||||||||
| American
Tower Corp. 3.30%, due 2/15/21 |
300,000 | 304,286 | ||||||||
| Retail 0.3% | ||||||||||
| CVS Health Corp. | ||||||||||
| 2.125%, due 6/1/21 | 800,000 | 799,194 | ||||||||
| 3.70%, due 3/9/23 | 200,000 | 208,188 | ||||||||
| 1,007,382 | ||||||||||
| Semiconductors 0.6% | ||||||||||
| Broadcom
Corp. / Broadcom Cayman Finance, Ltd. 2.375%, due 1/15/20 |
1,500,000 | 1,499,905 | ||||||||
| Broadcom,
Inc. 3.125%, due 4/15/21 (b) |
400,000 | 403,837 | ||||||||
| NXP
B.V. / NXP Funding LLC 3.875%, due 9/1/22 (b) |
400,000 | 412,803 | ||||||||
| 2,316,545 | ||||||||||
| Software 0.2% | ||||||||||
| Activision
Blizzard, Inc. 2.60%, due 6/15/22 |
200,000 | 202,044 | ||||||||
| Fidelity
National Information Services, Inc. 2.25%, due 8/15/21 |
500,000 | 500,692 | ||||||||
| 702,736 | ||||||||||
| Telecommunications 0.7% | ||||||||||
| AT&T, Inc. | ||||||||||
| 2.888% (3 Month LIBOR + 0.75%), due 6/1/21 (a) | 500,000 | 502,615 | ||||||||
| 3.253% (3 Month LIBOR + 0.95%), due 7/15/21 (a) | 800,000 | 807,038 | ||||||||
| 5.15%, due 2/15/50 | 300,000 | 351,552 | ||||||||
| 5.30%, due 8/15/58 | 100,000 | 118,560 | ||||||||
| Deutsche
Telekom International Finance B.V. 1.95%, due 9/19/21 (b) |
250,000 | 248,347 | ||||||||
| Sprint
Corp. 7.25%, due 9/15/21 |
300,000 | 320,130 | ||||||||
| Telstra
Corp., Ltd. 4.80%, due 10/12/21 (b) |
300,000 | 314,417 | ||||||||
| 2,662,659 | ||||||||||
| Transportation 0.1% | ||||||||||
| TTX
Co. 2.60%, due 6/15/20 (b) |
300,000 | 300,693 | ||||||||
| Trucking & Leasing 0.1% | ||||||||||
| Park
Aerospace Holdings, Ltd. 5.25%, due 8/15/22 (b) |
300,000 | 316,170 | ||||||||
| Penske
Truck Leasing Co., L.P. / PTL Finance Corp. 3.65%, due 7/29/21 (b) |
200,000 | 204,636 | ||||||||
| 520,806 | ||||||||||
| Total
Corporate Bonds (Cost $54,920,106) |
55,182,381 | |||||||||
| Foreign Government Bonds 9.1% | ||||||||||
| Argentina 0.1% | ||||||||||
| Argentina
Bocon 51.603% (BADLARPP Index + 0.00%), due 10/4/22 (f) |
ARS | 91,227 | 1,647 | |||||||
| Argentina
Bonar Bonds 55.469% (BADLARPP Index + 2.00%), due 4/3/22 (a) |
2,854,000 | 30,720 | ||||||||
| Argentina
POM Politica Monetaria 80.155% (ARLLMONP+ 0.00%), due 6/21/20 |
21,453,000 | 179,703 | ||||||||
| 212,070 | ||||||||||
| Australia 0.6% | ||||||||||
| Australia Government Bond | ||||||||||
| Series Reg S 1.25%, due 2/21/22 |
AUD | 980,000 | 790,566 | |||||||
| Series Reg S 3.00%, due 9/20/25 |
1,450,000 | 1,454,697 | ||||||||
| 2,245,263 | ||||||||||
| Canada 0.2% | ||||||||||
| Canadian
Government Real Return Bond 4.25%, due 12/1/26 |
CAD | 935,784 | 910,568 | |||||||
| Japan 1.2% | ||||||||||
| Japanese Government CPI Linked Bond | ||||||||||
| 0.10%, due 3/10/28 | JPY | 208,711,890 | 2,012,321 | |||||||
| 0.10%, due 3/10/29 | 263,344,530 | 2,540,285 | ||||||||
| 4,552,606 | ||||||||||
| New Zealand 0.7% | ||||||||||
| New Zealand Government Inflation Linked Bond | ||||||||||
| Series Reg S 2.00%, due 9/20/25 |
NZD | 1,800,000 | 1,362,950 | |||||||
| Series Reg S 2.50%, due 9/20/35 |
800,000 | 698,018 | ||||||||
| Series Reg S 3.00%, due 9/20/30 |
500,000 | 436,273 | ||||||||
| 2,497,241 | ||||||||||
| Peru 0.4% | ||||||||||
| Peru Government Bond (b) | ||||||||||
| Series Reg S 5.94%, due 2/12/29 |
PEN | 1,300,000 | 437,206 | |||||||
| Series Reg S 6.15%, due 8/12/32 |
2,600,000 | 883,269 | ||||||||
| 1,320,475 | ||||||||||
| Qatar 0.1% | ||||||||||
| Qatar
Government International Bond Series Reg S 3.875%, due 4/23/23 |
$ | 300,000 | 317,250 | |||||||
| Spain 0.1% | ||||||||||
| Autonomous
Community of Catalonia 4.95%, due 2/11/20 |
EUR |
500,000 |
553,684 |
|||||||
| United Kingdom 5.7% | ||||||||||
| United Kingdom Gilt Inflation Linked | ||||||||||
| Series Reg S 0.125%, due 3/22/26 |
GBP | 248,873 | 375,710 | |||||||
| Series Reg S 0.125%, due 8/10/28 |
2,156,502 | 3,500,519 | ||||||||
| Series Reg S 0.625%, due 3/22/40 |
1,203,354 | 2,682,500 | ||||||||
| Series Reg S 1.25%, due 11/22/27 |
3,780,553 | 6,510,675 | ||||||||
| 1.875%, due 11/22/22 | 5,597,889 | 8,050,219 | ||||||||
| 21,119,623 | ||||||||||
| Total
Foreign Government Bonds (Cost $34,556,773) |
33,728,780 | |||||||||
| Mortgage-Backed Securities 4.6% | ||||||||||
| Agency (Collateralized Mortgage Obligations) 1.4% | ||||||||||
| Federal
Home Loan Mortgage Corporation REMICS (Collateralized Mortgage Obligations) Series 4779, Class WF 2.752% (1 Month LIBOR + 0.35%), due 7/15/44 (a) |
$ | 410,474 | 407,852 | |||||||
| Federal
Home Loan Mortgage Corporation Strips Series 278, Class F1 2.645% (1 Month LIBOR + 0.45%), due 9/15/42 (a) |
556,004 | 558,842 | ||||||||
| Federal
National Mortgage Association REMIC, Series 2019-5, Class FA 2.545% (1 Month LIBOR + 0.40%), due 3/25/49 (a) |
1,630,824 | 1,623,563 | ||||||||
| Government National Mortgage Association (a) | ||||||||||
| REMIC,
Series 2019-20, Class FE 2.572% (1 Month LIBOR + 0.40%), due 2/20/49 |
1,627,810 | 1,625,554 | ||||||||
| REMIC,
Series 2018-H15, Class FG 3.03% (12 Month LIBOR + 0.15%), due 8/20/68 |
686,427 | 673,566 | ||||||||
| Government
National Mortgage Association (Mortgage Pass-Through Securities) Series 2017-H10, Class FB 3.629% (12 Month LIBOR + 0.75%), due 4/20/67 (a) |
370,146 | 376,504 | ||||||||
| 5,265,881 | ||||||||||
| Commercial Mortgage Loans (Collateralized Mortgage Obligations) 0.3% | ||||||||||
| CGGS
Commercial Mortgage Trust Series 2018-WSS, Class A 2.928% (1 Month LIBOR + 0.90%), due 2/15/37 (a)(b) |
1,000,000 | 995,621 | ||||||||
| Whole Loan (Collateralized Mortgage Obligations) 2.9% | ||||||||||
| BCAP
LLC Trust Series 2011-RR5, Class 5A1 5.25%, due 8/26/37 (b)(g) |
906,753 | 921,516 | ||||||||
| CHL
Mortgage Pass-Through Trust Series 2007-1, Class A1 6.00%, due 3/25/37 |
43,286 | 35,995 | ||||||||
| Citigroup
Mortgage Loan Trust Series 2007-AR4, Class 1A1A 4.606%, due 3/25/37 (h) |
429,327 | 430,440 | ||||||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||||||
| Series 2019-B,
Class A1 3.258%, due 4/25/66 (b)(g) |
294,500 | 294,482 | ||||||||
| Series 2004-NCM2,
Class 1CB1 5.50%, due 8/25/34 |
264,799 | 269,225 | ||||||||
| Countrywide Alternative Loan Trust | ||||||||||
| Series 2005-29CB,
Class A4 5.00%, due 7/25/35 |
59,380 | 51,316 | ||||||||
| Series 2007-1T1,
Class 1A1 6.00%, due 3/25/37 |
802,583 | 561,408 | ||||||||
| Credit
Suisse Mortgage Trust Series 2019-RPL4, Class A1 3.83%, due 8/26/58 (b) |
291,237 | 294,565 | ||||||||
| Eurosail-UK PLC (a) | ||||||||||
| Series 2007-3X,
Class A3A, Reg S 1.73% (3 Month LIBOR + 0.95%), due 6/13/45 |
GBP | 194,060 | 237,040 | |||||||
| Series 2007-3A,
Class A3C 1.73% (3 Month LIBOR + 0.95%), due 6/13/45 (b) |
51,743 | 62,865 | ||||||||
| Series 2007-3X,
Class A3C, Reg S 1.73% (3 Month LIBOR + 0.95%), due 6/13/45 |
51,743 | 62,865 | ||||||||
| GreenPoint
Mortgage Funding Trust Series 2006-AR4, Class A6A 3.325% (1 Month LIBOR + 0.18%), due 9/25/46 (a) |
$ | 115,395 | 110,454 | |||||||
| IndyMac
Index Mortgage Loan Trust Series 2005-AR14, Class 1A1A 2.705% (1 Month LIBOR + 0.28%), due 7/25/35 (a) |
1,174,109 | 1,063,652 | ||||||||
| Lehman
XS Trust Series 2007-20N, Class A1 3.295% (1 Month LIBOR + 1.15%), due 12/25/37 (a) |
58,005 | 57,361 | ||||||||
| Merrill
Lynch Mortgage Investors Trust Series 2005-A4, Class 1A 4.488%, due 7/25/35 (h) |
249,195 | 194,906 | ||||||||
| Onslow
Bay Financial LLC Series 2018-1, Class A2 2.795% (1 Month LIBOR + 0.65%), due 6/25/57 (a)(b) |
88,975 | 88,603 | ||||||||
| Paragon
Mortgages No.13 PLC Series 13X, Class A1, Reg S 1.007% (3 Month LIBOR + 0.24%), due 1/15/39 (a) |
GBP | 2,048,428 | 2,382,466 | |||||||
| Residential
Asset Securitization Trust Series 2006-A10, Class A5 6.50%, due 9/25/36 |
$ | 269,843 | 185,789 | |||||||
| Silverstone
Master Issuer PLC Series 2019-1A, Class 2A 1.457%, due 1/21/70 (b)(g) |
GBP | 300,000 | 369,780 | |||||||
| Towd
Point Mortgage Funding Series 2019-GR4A, Class A1 1.798%, due 10/20/51 (b) |
1,321,295 | 1,625,210 | ||||||||
| Trinity
Square PLC Series 2015-1A, Class A 1.917% (3 Month LIBOR + 1.15%), due 7/15/51 (a)(b) |
617,594 | 761,212 | ||||||||
| Washington Mutual Mortgage Pass-Through Certificates | ||||||||||
| Series 2007-HY1,
Class A2A 2.178% (1 Month LIBOR + 0.16%), due 2/25/37 (a) |
$ | 744,321 | 593,363 | |||||||
| Series 2006-5,
Class 2CB1 6.00%, due 7/25/36 |
49,946 | 41,043 | ||||||||
| 10,695,556 | ||||||||||
| Total
Mortgage-Backed Securities (Cost $17,711,629) |
16,957,058 | |||||||||
| U.S. Government & Federal Agencies 122.0% | ||||||||||
| Federal National Mortgage Association (Mortgage Pass-Through Securities) 15.6% | ||||||||||
| 3.00%, due 6/1/49 TBA (i) | 21,400,000 | 21,700,320 | ||||||||
| 3.50%, due 3/1/48 | 181,007 | 186,529 | ||||||||
| 3.50%, due 9/1/48 TBA (i) | 28,200,000 | 28,929,227 | ||||||||
| 3.683% (12 Month Monthly Treasury Average Index + 1.20%), due 6/1/43 (a)(j) | 278,116 | 283,763 | ||||||||
| 4.00%, due 9/1/48 TBA (i) | 5,800,000 | 6,021,125 | ||||||||
| 4.225% (11th District Cost of Funds Index+ 1.927%), due 12/1/36 (a)(j) | 281,263 | 291,374 | ||||||||
| 4.726% (1 Year Treasury Constant Maturity Rate + 2.36%), due 11/1/34 (a)(j) | 331,168 | 351,097 | ||||||||
| 57,763,435 | ||||||||||
| United States Treasury Inflation - Indexed Bond 42.0% | ||||||||||
| 0.375%, due 7/15/25 | 2,660,294 | 2,693,664 | ||||||||
| 0.375%, due 7/15/27 | 8,988,216 | 9,122,954 | ||||||||
| 0.625%, due 4/15/23 (k) | 9,905,223 | 9,983,229 | ||||||||
| 0.625%, due 2/15/43 (k) | 1,986,302 | 2,023,869 | ||||||||
| 0.75%, due 2/15/42 | 3,894,422 | 4,093,549 | ||||||||
| 0.75%, due 2/15/45 | 2,941,650 | 3,070,467 | ||||||||
| 0.875%, due 2/15/47 | 9,462,286 | 10,205,212 | ||||||||
| 1.00%, due 2/15/46 | 5,392,195 | 5,967,761 | ||||||||
| 1.00%, due 2/15/48 | 4,513,212 | 5,028,563 | ||||||||
| 1.00%, due 2/15/49 | 4,832,714 | 5,423,232 | ||||||||
| 1.375%, due 2/15/44 | 16,398,945 | 19,529,038 | ||||||||
| 1.75%, due 1/15/28 | 16,684,495 | 18,726,965 | ||||||||
| 2.00%, due 1/15/26 | 11,165,652 | 12,381,875 | ||||||||
| 2.125%, due 2/15/40 | 3,513,520 | 4,649,083 | ||||||||
| 2.125%, due 2/15/41 | 3,210,020 | 4,285,520 | ||||||||
| 2.375%, due 1/15/25 | 20,277,914 | 22,555,742 | ||||||||
| 2.375%, due 1/15/27 | 5,063,356 | 5,843,157 | ||||||||
| 2.50%, due 1/15/29 | 6,930,768 | 8,362,368 | ||||||||
| 3.375%, due 4/15/32 | 1,556,685 | 2,145,404 | ||||||||
| 156,091,652 | ||||||||||
| United States Treasury Inflation - Indexed Notes 64.4% | ||||||||||
| 0.125%, due 4/15/20 (j) | 7,089,304 | 7,028,380 | ||||||||
| 0.125%, due 4/15/21 (j) | 35,125,422 | 34,736,852 | ||||||||
| 0.125%, due 1/15/22 (j) | 10,009,070 | 9,909,142 | ||||||||
| 0.125%, due 4/15/22 (j) | 41,406,465 | 40,971,266 | ||||||||
| 0.125%, due 7/15/22 (j) | 4,263,976 | 4,244,023 | ||||||||
| 0.125%, due 1/15/23 (j) | 8,272,820 | 8,200,692 | ||||||||
| 0.125%, due 7/15/26 (j) | 10,467,730 | 10,434,289 | ||||||||
| 0.25%, due 1/15/25 (j) | 10,585,918 | 10,607,168 | ||||||||
| 0.25%, due 7/15/29 | 6,800,204 | 6,852,143 | ||||||||
| 0.375%, due 7/15/23 (j) | 6,319,186 | 6,354,736 | ||||||||
| 0.375%, due 1/15/27 (j) | 5,512,247 | 5,569,191 | ||||||||
| 0.50%, due 1/15/28 | 15,613,981 | 15,960,058 | ||||||||
| 0.625%, due 7/15/21 (j) | 2,026,192 | 2,032,418 | ||||||||
| 0.625%, due 1/15/24 (j)(k) | 688,312 | 698,699 | ||||||||
| 0.625%, due 1/15/26 (j) | 38,428,210 | 39,363,759 | ||||||||
| 0.75%, due 7/15/28 | 12,663,447 | 13,285,805 | ||||||||
| 0.875%, due 1/15/29 | 11,745,636 | 12,456,741 | ||||||||
| 1.125%, due 1/15/21 | 4,808,562 | 4,822,099 | ||||||||
| 1.25%, due 7/15/20 (j) | 5,635,004 | 5,657,749 | ||||||||
| 239,185,210 | ||||||||||
| Total
U.S. Government & Federal Agencies (Cost $447,245,633) |
453,040,297 | |||||||||
| Total
Long-Term Bonds (Cost $578,387,102) |
582,744,732 | |||||||||
| Short-Term Investments 2.5% | ||||||||||
| Shares | ||||||||||
| Affiliated Investment Company 0.2% | ||||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (l) | 589,622 | 589,622 | ||||||||
| Total
Affiliated Investment Company (Cost $589,622) |
589,622 | |||||||||
| Foreign Government Bonds 0.9% | ||||||||||
| Argentina Treasury Bills | ||||||||||
| (zero coupon), due 2/26/20 | ARS | 790,000 | 10,149 | |||||||
| (zero coupon), due 4/8/20 | 1,325,000 | 15,872 | ||||||||
| (zero coupon), due 5/13/20 | 7,370,000 | 76,770 | ||||||||
| (zero coupon), due 8/27/20 | 1,325,000 | 10,351 | ||||||||
| Brazil
Letras do Tesouro Nacional (zero coupon), due 1/1/20 |
BRL | 13,706,000 | 3,257,621 | |||||||
| Total
Foreign Government Bonds (Cost $3,833,301) |
3,370,763 | |||||||||
| Principal Amount | ||||||||||
| Repurchase Agreement 1.4% | ||||||||||
| Credit Agricole Corp. 2.50%, dated 9/30/19 due 10/1/19 Proceeds at Maturity $5,245,364 (Collateralized by a United States Treasury Note with a rate of 2.50% and a maturity date of 3/31/23, with a Principal Amount of $5,245,000 and a Market Value of $5,412,082) | $ | 5,300,000 | 5,300,000 | |||||||
| Total Repurchase Agreement (Cost $5,300,000) | 5,300,000 | |||||||||
| Total Short-Term Investments (Cost $9,722,923) | 9,260,385 | |||||||||
| Total Investments Excluding Purchased Options (Cost $588,110,025) | 159.4 | % | 592,005,117 | |||||||
| Total Purchased Options (Cost $91,690) | 0.0 | %‡ | 92,999 | |||||||
| Total Investments (Cost $588,201,715) | 159.4 | % | 592,098,116 | |||||||
| Other Assets, Less Liabilities | (59.4 | ) | (220,715,791 | ) | ||||||
| Net Assets | 100.0 | % | $ | 371,382,325 | ||||||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | Floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (b) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
| (c) | Step coupon - Rate shown was the rate in effect as of September 30, 2019. |
| (d) | Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. |
| (e) | Fixed to floating rate - Rate shown was the rate in effect as of September 30, 2019. |
| (f) | Illiquid security - As of September 30, 2019, the total market value of these securities deemed illiquid under procedures approved by the Board of Trustees was $804,855, which represented 0.2% of the Portfolio's net assets. |
| (g) | Coupon rate may change based on changes of the underlying collateral or prepayments of principal. The coupon rate shown represents the rate at period end. |
| (h) | Collateral strip rate - A bond whose interest was based on the weighted net interest rate of the collateral. The coupon rate adjusts periodically based on a predetermined schedule. Rate shown was the rate in effect as of September 30, 2019. |
| (i) | TBA - Securities purchased on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount and maturity date will be determined upon settlement. As of September 30, 2019, the total net market value of these securities was $56,650,672, which represented 15.3% of the Portfolio's net assets. All or a portion of these securities are a part of a mortgage dollar roll agreement. |
| (j) | Delayed delivery security. |
| (k) | Security, or a portion thereof, was maintained in a segregated account at the Portfolio’s custodian as collateral for swap contracts |
| (l) | Current yield as of September 30, 2019. |
Foreign Currency Forward Contracts
As of September 30, 2019, the Portfolio held the following foreign currency forward contracts1:
| Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||
| BRL | 6,721,043 | USD | 1,613,928 | Credit Suisse International* | 10/2/19 | $ | 3,671 | |||||
| BRL | 6,721,043 | USD | 1,605,773 | Credit Suisse International* | 11/4/19 | 8,097 | ||||||
| RUB | 97,934,908 | USD | 1,474,257 | Credit Suisse International* | 11/15/19 | 27,265 | ||||||
| USD | 2,213,923 | AUD | 3,273,000 | Bank of America, N.A. | 11/4/19 | 2,258 | ||||||
| USD | 3,562,869 | BRL | 13,706,000 | JPMorgan Chase Bank N.A.* | 1/3/20 | 282,273 | ||||||
| USD | 4,211,478 | DKK | 27,443,538 | Bank of America, N.A. | 10/1/19 | 205,094 | ||||||
| USD | 8,633,280 | DKK | 58,209,890 | Bank of America, N.A. | 1/2/20 | 68,745 | ||||||
| USD | 5,976,593 | DKK | 39,070,000 | JPMorgan Chase Bank N.A. | 10/1/19 | 272,902 | ||||||
| USD | 13,428,114 | EUR | 12,136,000 | Bank of America, N.A. | 10/2/19 | 200,477 | ||||||
| USD | 10,185,973 | EUR | 9,210,000 | JPMorgan Chase Bank N.A. | 10/2/19 | 147,530 | ||||||
| USD | 6,349,049 | EUR | 5,801,000 | JPMorgan Chase Bank N.A. | 11/4/19 | 10,527 | ||||||
| USD | 13,104,562 | GBP | 10,621,000 | Bank of America, N.A. | 11/4/19 | 27,991 | ||||||
| USD | 2,816,153 | JPY | 302,200,000 | Bank of America, N.A. | 11/5/19 | 15,041 | ||||||
| USD | 4,759,296 | JPY | 505,500,000 | JPMorgan Chase Bank N.A. | 10/2/19 | 84,151 | ||||||
| USD | 1,770,836 | KRW | 2,107,950,170 | JPMorgan Chase Bank N.A.* | 12/18/19 | 4,571 | ||||||
| USD | 100,779 | MXN | 1,941,000 | JPMorgan Chase Bank N.A. | 10/9/19 | 2,538 | ||||||
| USD | 2,447,113 | NZD | 3,883,000 | Bank of America, N.A. | 11/4/19 | 13,793 | ||||||
| USD | 2,453,274 | NZD | 3,883,000 | JPMorgan Chase Bank N.A. | 10/2/19 | 21,740 | ||||||
| USD | 1,345,829 | PEN | 4,457,842 | JPMorgan Chase Bank N.A.* | 10/28/19 | 24,434 | ||||||
| USD | 850,776 | SGD | 1,172,458 | JPMorgan Chase Bank N.A. | 12/18/19 | 1,722 | ||||||
| Total unrealized appreciation | 1,424,820 | |||||||||||
| AUD | 3,273,000 | USD | 2,211,467 | Bank of America, N.A. | 10/2/19 | (2,356 | ) | |||||
| BRL | 6,721,043 | USD | 1,622,872 | JPMorgan Chase Bank N.A.* | 10/2/19 | (5,273 | ) | |||||
| DKK | 58,209,890 | USD | 8,563,426 | Bank of America, N.A. | 10/1/19 | (65,570 | ) | |||||
| DKK | 8,155,044 | USD | 1,252,036 | JPMorgan Chase Bank N.A. | 10/1/19 | (61,510 | ) | |||||
| EUR | 15,306,000 | USD | 16,923,716 | Bank of America, N.A. | 10/2/19 | (240,936 | ) | |||||
| EUR | 6,040,000 | USD | 6,599,216 | JPMorgan Chase Bank N.A. | 10/2/19 | (15,916 | ) | |||||
| GBP | 22,292,000 | USD | 27,615,267 | Bank of America, N.A. | 10/2/19 | (206,149 | ) | |||||
| IDR | 26,087,434,400 | USD | 1,835,205 | JPMorgan Chase Bank N.A.* | 12/18/19 | (12,414 | ) | |||||
| JPY | 505,500,000 | USD | 4,690,606 | Bank of America, N.A. | 10/2/19 | (15,461 | ) | |||||
| MXN | 1,941,000 | USD | 99,079 | JPMorgan Chase Bank N.A. | 10/9/19 | (837 | ) | |||||
| MXN | 1,941,000 | USD | 99,074 | JPMorgan Chase Bank N.A. | 1/22/20 | (2,406 | ) | |||||
| NZD | 3,883,000 | USD | 2,445,293 | Bank of America, N.A. | 10/2/19 | (13,758 | ) | |||||
| RUB | 16,339,075 | USD | 256,251 | Bank of America, N.A.* | 10/17/19 | (4,795 | ) | |||||
| USD | 148,867 | ARS | 9,566,207 | JPMorgan Chase Bank N.A.* | 10/21/19 | (6,234 | ) | |||||
| USD | 2,202,745 | AUD | 3,273,000 | Bank of America, N.A. | 10/2/19 | (6,366 | ) | |||||
| USD | 1,609,060 | BRL | 6,721,043 | Credit Suisse International* | 10/2/19 | (8,539 | ) | |||||
| USD | 1,613,928 | BRL | 6,721,043 | JPMorgan Chase Bank N.A.* | 10/2/19 | (3,671 | ) | |||||
| USD | 899,887 | CAD | 1,199,000 | Bank of America, N.A. | 10/2/19 | (5,136 | ) | |||||
| USD | 27,073,775 | GBP | 22,292,000 | Bank of America, N.A. | 10/2/19 | (335,343 | ) | |||||
| USD | 148,246 | MXN | 2,979,219 | JPMorgan Chase Bank N.A. | 1/22/20 | (128 | ) | |||||
| USD | 1,625,131 | TWD | 50,963,895 | JPMorgan Chase Bank N.A.* | 11/21/19 | (22,202 | ) | |||||
| USD | 181,078 | TWD | 5,610,150 | JPMorgan Chase Bank N.A.* | 12/18/19 | (554 | ) | |||||
| ZAR | 12,454,393 | USD | 880,736 | Bank of America, N.A. | 10/7/19 | (58,934 | ) | |||||
| Total unrealized depreciation | (1,094,488 | ) | ||||||||||
| Net unrealized appreciation | $ | 330,332 | ||||||||||
| * | Non-deliverable forward. |
| 1. | Foreign Currency Forward Contracts are subject to limitations such that they cannot be “sold or repurchased,” although the Portfolio would be able to exit the transaction through other means, such as through the execution of an offsetting transaction. |
Future Contracts
As of September 30, 2019, the Portfolio held the following futures contracts1:
| Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 | |||||||||||||
| Long Contracts | ||||||||||||||||||
| 5-Year United States Treasury Note | 51 | December 2019 | $ | 6,109,308 | $ | 6,076,570 | $ | (32,738 | ) | |||||||||
| Euro Bund | 110 | December 2019 | 21,130,357 | 20,891,623 | (238,734 | ) | ||||||||||||
| Short-Term Euro-BTP | 151 | December 2019 | 18,563,129 | 18,546,802 | (16,327 | ) | ||||||||||||
| Total Long Contracts | (287,799 | ) | ||||||||||||||||
| Short Contracts | ||||||||||||||||||
| 10-Year Australia Government Bond | (7) | December 2019 | (692,092 | ) | (696,174 | ) | (4,082 | ) | ||||||||||
| 10-Year Japan Government Bond | (3) | December 2019 | (4,305,424 | ) | (4,301,133 | ) | 4,291 | |||||||||||
| 10-Year United States Treasury Note | (18) | December 2019 | (2,372,319 | ) | (2,345,625 | ) | 26,694 | |||||||||||
| 10-Year United States Treasury Ultra Note | (26) | December 2019 | (3,646,183 | ) | (3,702,563 | ) | (56,380 | ) | ||||||||||
| 2-Year United States Treasury Note | (7) | December 2019 | (1,511,991 | ) | (1,508,500 | ) | 3,491 | |||||||||||
| 3-Year Australia Government Bond | (13) | December 2019 | (1,011,407 | ) | (1,015,112 | ) | (3,705 | ) | ||||||||||
| Euro BOBL | (21) | December 2019 | (3,127,525 | ) | (3,104,887 | ) | 22,638 | |||||||||||
| Euro Schatz | (791) | December 2019 | (97,073,306 | ) | (96,845,389 | ) | 227,917 | |||||||||||
| Euro-Buxl 30 Year Bond | (7) | December 2019 | (1,606,362 | ) | (1,659,449 | ) | (53,087 | ) | ||||||||||
| Euro-OAT | (117) | December 2019 | (21,950,126 | ) | (21,718,645 | ) | 231,481 | |||||||||||
| UK Long Gilt | (105) | December 2019 | (17,232,364 | ) | (17,330,746 | ) | (98,382 | ) | ||||||||||
| United States Treasury Long Bond | (63) | December 2019 | (10,318,413 | ) | (10,225,688 | ) | 92,725 | |||||||||||
| United States Treasury Ultra Bond | (1) | December 2019 | (197,875 | ) | (191,906 | ) | 5,969 | |||||||||||
| Total Short Contracts | 399,570 | |||||||||||||||||
| Net Unrealized Appreciation | $ | 111,771 | ||||||||||||||||
| 1. | As of September 30, 2019, cash in the amount of $2,178,978 was on deposit with a broker or futures commission merchant for futures transactions. |
| 2. | Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2019. |
Purchased Options on Futures Contracts
| Description | Counterparty | Strike Price | Expiration Date | Number
of Contracts | Notional Amount | Premium Paid (Received) | Market Value | |||||||||||||||||
| Put - 10-Year United States Treasury Note | Morgan Stanley & Co., LLC | $ | 118.00 | 11/22/2019 | 1 | $ | 1,000 | $ | 9 | $ | 1 | |||||||||||||
| Put - 10-Year United States Treasury Note | Morgan Stanley & Co., LLC | 117.00 | 11/22/2019 | 16 | 16,000 | 137 | 16 | |||||||||||||||||
| Put - 5-Year United States Treasury Note | Morgan Stanley & Co., LLC | 111.50 | 11/22/2019 | 50 | 50,000 | 430 | 50 | |||||||||||||||||
| Put - 5-Year United States Treasury Note | Morgan Stanley & Co., LLC | 110.50 | 11/22/2019 | 1 | 1,000 | 8 | 1 | |||||||||||||||||
| Put - Euro Bund | Morgan Stanley & Co., LLC | 173.00 | 10/25/2019 | 50 | EUR | 5,000,000 | 17,846 | 19,074 | ||||||||||||||||
| Put - Euro Bund | Morgan Stanley & Co., LLC | 151.00 | 11/22/2019 | 101 | 10,100,000 | 1,157 | 1,101 | |||||||||||||||||
| $ | 19,587 | $ | 20,243 | |||||||||||||||||||||
| Description | Counterparty | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Premium Paid (Received) | Market Value | |||||||||||||||||
| Call - 10-Year United States Treasury Note | Morgan Stanley & Co., LLC | $ | 142.00 | 11/22/2019 | 32 | $ | 32,000 | $ | 275 | $ | 32 | |||||||||||||
| Call - 10-Year United States Treasury Note | Morgan Stanley & Co., LLC | 144.00 | 11/22/2019 | 7 | 7,000 | 60 | 7 | |||||||||||||||||
| Call - 10-Year United States Treasury Note | Morgan Stanley & Co., LLC | 145.50 | 11/22/2019 | 16 | 16,000 | 138 | 16 | |||||||||||||||||
| Call - 2 -Year United States Treasury Note | Morgan Stanley & Co., LLC | 110.63 | 11/22/2019 | 4 | 8,000 | 34 | 4 | |||||||||||||||||
| Call - 2-Year United States Treasury Note | Morgan Stanley & Co., LLC | 110.25 | 11/22/2019 | 17 | 34,000 | 146 | 17 | |||||||||||||||||
| Call - Euro - OAT | Morgan Stanley & Co., LLC | EUR | 200.000 | 11/22/2019 | 145 | EUR | 14,500,000 | 1,661 | 1,581 | |||||||||||||||
| Call - Euro Schatz | Morgan Stanley & Co., LLC | 115.00 | 11/22/2019 | 385 | 38,500,000 | 2,312 | 2,098 | |||||||||||||||||
| Call - United States Treasury Long Bond | Morgan Stanley & Co., LLC | $ | 192.00 | 11/22/2019 | 18 | $ | 18,000 | 155 | 18 | |||||||||||||||
| Call - United States Treasury Long Bond | Morgan Stanley & Co., LLC | 195.00 | 11/22/2019 | 39 | 39,000 | 335 | 39 | |||||||||||||||||
| Call - United States Treasury Long Bond | Morgan Stanley & Co., LLC | 198.00 | 11/22/2019 | 6 | 6,000 | 52 | 6 | |||||||||||||||||
| Call - United States Treasury Ultra Bond | Morgan Stanley & Co., LLC | 255.00 | 11/22/2019 | 1 | 1,000 | 9 | 1 | |||||||||||||||||
| Call - United States Treasury Ultra Bond | Morgan Stanley & Co., LLC | 245.00 | 11/22/2019 | 10 | 10,000 | 86 | 10 | |||||||||||||||||
| $ | 5,263 | $ | 3,829 | |||||||||||||||||||||
Purchased Swaptions
| Description | Counterparty | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Premium Paid (Received) | Market Value | |||||||||||||||||
| Call - IRO 1-Year/1-Year Forward Swap Rate | Bank of America Securities, Inc. | $ | 1.50 | 03/10/2020 | 47,060,000 | $ | 47,060,000 | $ | 66,830 | $ | 68,925 | |||||||||||||
| $ | 66,830 | $ | 68,925 | |||||||||||||||||||||
| Description | Counterparty | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Premium Paid (Received) | Market Value | |||||||||||||||||
| Put - Markit CDX N.A. I.G. Series 32 5 Year | Credit Suisse International | 1.20 | 10/16/2019 | 200,000 | 200,000 | $ | 10 | $ | 2 | |||||||||||||||
| $ | 10 | $ | 2 | |||||||||||||||||||||
Written Inflation-Capped Options
| Description | Counterparty | Initial Index | Floating Rate | Expiration Date | Number of Contracts | Notional Amount | Premium Paid (Received) | Market Value | ||||||||||||||||||
| Cap-OTC USA Non-Revised Consumer Price Index-Urban (CPI-U), American Style - Call | JPMorgan Chase Bank N.A. | 238.643 | Maximum of [0, Final Index/Initial Index – (1 + 4.000%)10] | 05/16/2024 | (300,000 | ) | (300,000 | ) | (2,085 | ) | (8 | ) | ||||||||||||||
| Floor-OTC USA Non-Revised Consumer Price Index-Urban (CPI-U), American Style - Put | JPMorgan Chase Bank N.A. | 234.781 | Maximum of [0, Final Index/Initial Index] | 10/02/2020 | (1,900,000 | ) | $ | (1,900,000 | ) | $ | (35,068 | ) | $ | (323 | ) | |||||||||||
| $ | (37,153 | ) | $ | (331 | ) | |||||||||||||||||||||
Written Options on Futures Contracts
| Description | Counterparty | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Premium Paid (Received) | Market Value | |||||||||||||||||
| Call -10-Year United States Treasury Note | Morgan Stanley & Co., LLC | $ | 130.00 | 10/25/2019 | (37 | ) | $ | (37,000 | ) | $ | (29,448 | ) | $ | (31,219 | ) | |||||||||
| Call - Euro Bund | Morgan Stanley & Co., LLC | 176.00 | 11/22/2019 | (15 | ) | EUR | (1,500,000) | (32,194 | ) | (7,848 | ) | |||||||||||||
| Call - Euro Bund | Morgan Stanley & Co., LLC | 175.00 | 11/22/2019 | (20 | ) | (2,000,000 | ) | (17,428 | ) | (17,875 | ) | |||||||||||||
| Call - Euro Bund | Morgan Stanley & Co., LLC | 173.00 | 11/22/2019 | (7 | ) | (700,000 | ) | (10,449 | ) | (14,725 | ) | |||||||||||||
| Call - Euro Bund | Morgan Stanley & Co., LLC | 178.50 | 11/22/2019 | (25 | ) | (2,500,000 | ) | (16,871 | ) | (2,997 | ) | |||||||||||||
| $ | (106,390 | ) | $ | (74,664 | ) | |||||||||||||||||||
| Description | Counterparty | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Premium Paid (Received) | Market Value | |||||||||||||||||
| Put -10-Year United States Treasury Note | Morgan Stanley & Co., LLC | $ | 130.00 | 10/25/2019 | (37 | ) | (37,000 | ) | $ | (33,494 | ) | $ | (19,656 | ) | ||||||||||
| Put - Euro Bund | Morgan Stanley & Co., LLC | 176.00 | 11/22/2019 | (15 | ) | EUR | (1,500,000 | ) | (28,597 | ) | (36,459 | ) | ||||||||||||
| Put - Euro Bund | Morgan Stanley & Co., LLC | 175.00 | 11/22/2019 | (20 | ) | (2,000,000 | ) | (40,769 | ) | (34,224 | ) | |||||||||||||
| Put - Euro Bund | Morgan Stanley & Co., LLC | 173.00 | 11/22/2019 | (7 | ) | (700,000 | ) | (10,154 | ) | (5,188 | ) | |||||||||||||
| Put - Euro Bund | Morgan Stanley & Co., LLC | 170.50 | 10/25/2019 | (50 | ) | (5,000,000 | ) | (5,422 | ) | (2,725 | ) | |||||||||||||
| Put - Euro Schatz | Morgan Stanley & Co., LLC | 112.20 | 11/22/2019 | (88 | ) | (8,800,000 | ) | (8,245 | ) | (3,357 | ) | |||||||||||||
| $ | (126,682 | ) | $ | (101,609 | ) | |||||||||||||||||||
Written Swaptions
| Description | Counterparty | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Premium Paid (Received) | Market Value | |||||||||||||||||
| Call - IRO 5-Year/5-Year Forward Swap Rate | Bank of America Securities, Inc. | 1.40 | 03/10/2020 | (10,100,000 | ) | (10,100,000 | ) | (69,910 | ) | (82,554 | ) | |||||||||||||
| $ | (69,910 | ) | $ | (82,554 | ) | |||||||||||||||||||
| Description | Counterparty | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Premium Paid (Received) | Market Value | |||||||||||||||||
| Put-Markit CDX N.A. I.G. Series 32 5 Year | Bank of America Securities, Inc. | $ | 0.80 | 10/16/2019 | (400,000 | ) | $ | (400,000 | ) | $ | (480 | ) | $ | (29 | ) | |||||||||
| Put-Markit CDX N.A. I.G. Series 32 5 Year | Bank of America Securities, Inc. | 0.85 | 11/20/2019 | (1,300,000 | ) | (1,300,000 | ) | (1,778 | ) | (305 | ) | |||||||||||||
| $ | (2,258 | ) | $ | (334 | ) | |||||||||||||||||||
Swap Contracts
As of September 30, 2019, the Portfolio held the following centrally cleared interest rate swap agreements1:
| Notional Amount | Currency | Expiration Date | Payments made by Portfolio | Payments Received by Portfolio | Payment Frequency Paid/Received | Upfront Premiums Received/ (Paid) | Value | Unrealized Appreciation / (Depreciation) | ||||||||||||||||
| $ | 4,800,000 | USD | 12/16/2022 | 3-Month USD-LIBOR | Fixed 2.25% | Quarterly/ Semi-Annually | $ | (5,960 | ) | $ | 105,325 | $ | 99,365 | |||||||||||
| 50,000 | USD | 12/21/2026 | Fixed 1.75% | 3-Month USD-LIBOR | Semi-Annually/ Quarterly | 920 | (792 | ) | 128 | |||||||||||||||
| 14,000,000 | JPY | 9/20/2027 | Fixed 0.30% | 6-Month JPY-LIBOR | Semi-Annually/ Semi-Annually | 203 | (4,092 | ) | (3,889 | ) | ||||||||||||||
| 50,000,000 | JPY | 3/20/2028 | Fixed 0.30% | 6-Month JPY-LIBOR | Semi-Annually/ Semi-Annually | 749 | (15,009 | ) | (14,260 | ) | ||||||||||||||
| 1,600,000 | NZD | 3/21/2028 | Fixed 3.25% | 3-Month NZD Bank Bill | Semi-Annually/ Quarterly | (4,014 | ) | (174,965 | ) | (178,979 | ) | |||||||||||||
| 3,700,000 | USD | 6/20/2028 | Fixed 2.25% | 3-Month USD-LIBOR | Semi-Annually/ Quarterly | (173,847 | ) | (213,841 | ) | (387,688 | ) | |||||||||||||
| 106,980,000 | JPY | 3/20/2029 | Fixed 0.45% | 6-Month JPY-LIBOR | Semi-Annually/ Semi-Annually | 4,635 | (47,418 | ) | (42,783 | ) | ||||||||||||||
| 6,400,000 | USD | 9/12/2029 | Fixed 1.75% | 3-Month USD-LIBOR | Semi-Annually/ Quarterly | (14,736 | ) | (30,255 | ) | (44,991 | ) | |||||||||||||
| 610,000 | USD | 6/15/2046 | Fixed 2.50% | 3-Month USD-LIBOR | Semi-Annually/ Quarterly | 21,408 | (104,126 | ) | (82,718 | ) | ||||||||||||||
| 2,310,000 | USD | 12/21/2046 | Fixed 2.25% | 3-Month USD-LIBOR | Semi-Annually/ Quarterly | 168,326 | (270,449 | ) | (102,123 | ) | ||||||||||||||
| 1,170,000 | USD | 12/15/2047 | Fixed 2.00% | 12-Month USD-FFR | Annually/ Annually | (2,122 | ) | (138,638 | ) | (140,760 | ) | |||||||||||||
| 490,000 | USD | 12/20/2047 | Fixed 2.75% | 3-Month USD-LIBOR | Semi-Annually/ Quarterly | (23,571 | ) | (115,502 | ) | (139,073 | ) | |||||||||||||
| 190,000 | USD | 6/20/2048 | Fixed 2.50% | 3-Month USD-LIBOR | Semi-Annually/ Quarterly | (21,628 | ) | (34,296 | ) | (55,924 | ) | |||||||||||||
| 200,000 | USD | 12/19/2048 | Fixed 2.75% | 3-Month USD-LIBOR | Semi-Annually/ Quarterly | (4,075 | ) | (48,442 | ) | (52,517 | ) | |||||||||||||
| 1,100,000 | USD | 12/11/2049 | Fixed 2.25% | 3 Month LIBOR BBA | Semi-Annually/ Quarterly | 4,834 | (139,450 | ) | (134,616 | ) | ||||||||||||||
| 100,000 | USD | 1/15/2050 | Fixed 2.00% | 3 Month LIBOR BBA | Semi-Annually/ Quarterly | 719 | (6,667 | ) | (5,948 | ) | ||||||||||||||
| 100,000 | USD | 1/16/2050 | Fixed 1.625% | 3 Month LIBOR BBA | Semi-Annually/ Quarterly | 1,418 | 2,373 | 3,791 | ||||||||||||||||
| 600,000 | USD | 1/22/2050 | Fixed 1.75% | 3-Month USD-LIBOR | Semi-Annually/ Quarterly | 3,412 | (3,871 | ) | (459 | ) | ||||||||||||||
| 1,400,000 | USD | 2/3/2050 | Fixed 1.625% | 3-Month USD-LIBOR | Semi-Annually/ Quarterly | (13,965 | ) | 33,000 | 19,035 | |||||||||||||||
| 500,000 | USD | 3/12/2050 | Fixed 2.25% | 3-Month USD-LIBOR | Semi-Annually/ Quarterly | 1,239 | (63,524 | ) | (62,285 | ) | ||||||||||||||
| $ | (56,055 | ) | $ | (1,270,639 | ) | $ | (1,326,694 | ) | ||||||||||||||||
Open OTC interest rate swap agreements as of September 30, 2019 were as follows:
| Notional Amount | Currency | Expiration Date | Counterparty | Payments made by Portfolio | Payments Received by Portfolio | Payment Frequency Paid/Received | Upfront Premiums Received/ (Paid) | Value | Unrealized Appreciation / (Depreciation) | |||||||||||||||||
| $ | 4,190,000 | ILS | 2/16/2020 | Bank of America N.A. | Fixed 0.285% | 3-Month TELBOR | Annually/ Quarterly | $ | — | $ | (2,001 | ) | $ | (2,001 | ) | |||||||||||
| $ | 880,000 | ILS | 2/16/2028 | Bank of America N.A. | 3-Month TELBOR | Fixed 1.963% | Quarterly/ Annually | — | 28,445 | 28,445 | ||||||||||||||||
| $ | 2,570,000 | ILS | 6/20/2020 | Bank of America N.A. | Fixed 0.37% | 3-Month TELBOR | Annually/ Quarterly | — | (1,581 | ) | (1,581 | ) | ||||||||||||||
| $ | 540,000 | ILS | 6/20/2028 | Bank of America N.A. | 3-Month TELBOR | Fixed 1.998% | Quarterly/ Annually | — | 17,132 | 17,132 | ||||||||||||||||
| $ | — | $ | 41,995 | $ | 41,995 | |||||||||||||||||||||
As of September 30, 2019, the Portfolio held the following open centrally cleared inflation swap agreements1:
| Notional Amount | Currency | Expiration Date | Payments made by Portfolio | Payments Received by Portfolio | Payment Frequency Paid/Received | Upfront Premiums Received/ (Paid) | Value | Unrealized Appreciation / (Depreciation) | ||||||||||||||||
| $ | 1,300,000 | USD | 11/23/2020 | Fixed 2.027% | 12-Month USD-CPI | At Maturity | $ | — | $ | (4,895 | ) | $ | (4,895 | ) | ||||||||||
| 1,300,000 | USD | 11/25/2020 | Fixed 2.021% | 12-Month USD-CPI | At Maturity | — | (4,752 | ) | (4,752 | ) | ||||||||||||||
| 4,600,000 | USD | 9/20/2021 | Fixed 1.58% | 12-Month USD-CPI | At Maturity | — | (9,874 | ) | (9,874 | ) | ||||||||||||||
| 1,100,000 | USD | 4/27/2023 | Fixed 2.263% | 12-Month USD-CPI | At Maturity | — | (36,797 | ) | (36,797 | ) | ||||||||||||||
| 510,000 | USD | 5/9/2023 | Fixed 2.263% | 12-Month USD-CPI | At Maturity | — | (16,909 | ) | (16,909 | ) | ||||||||||||||
| 780,000 | USD | 5/10/2023 | Fixed 2.281% | 12-Month USD-CPI | At Maturity | — | (26,571 | ) | (26,571 | ) | ||||||||||||||
| 2,800,000 | EUR | 3/15/2024 | Fixed 1.03% | 12-Month EUR-CPI | At Maturity | 998 | (45,051 | ) | (44,053 | ) | ||||||||||||||
| 2,200,000 | GBP | 9/15/2024 | UK RPI | Fixed 3.85% | At Maturity | (376 | ) | 3,570 | 3,194 | |||||||||||||||
| 560,000 | EUR | 12/15/2026 | 12-Month EUR-CPI | Fixed 1.385% | At Maturity | 1,423 | 23,968 | 25,391 | ||||||||||||||||
| 800,000 | EUR | 6/15/2027 | 12-Month EUR-CPI | Fixed 1.36% | At Maturity | 9,637 | 34,658 | 44,295 | ||||||||||||||||
| 1,100,000 | USD | 7/25/2027 | 12-Month USD-CPI | Fixed 2.067% | At Maturity | — | 32,491 | 32,491 | ||||||||||||||||
| 600,000 | USD | 9/25/2027 | 12-Month USD-CPI | Fixed 2.15% | At Maturity | — | 21,776 | 21,776 | ||||||||||||||||
| 1,200,000 | USD | 10/17/2027 | 12-Month USD-CPI | Fixed 2.155% | At Maturity | — | 44,918 | 44,918 | ||||||||||||||||
| 3,900,000 | EUR | 11/15/2027 | 12-Month EUR-CPI | Fixed 1.52% | At Maturity | 2,908 | 245,776 | 248,684 | ||||||||||||||||
| 1,000,000 | EUR | 3/15/2028 | 12-Month EUR-CPI | Fixed 1.535% | At Maturity | (112 | ) | 66,067 | 65,955 | |||||||||||||||
| 510,000 | USD | 5/9/2028 | 12-Month USD-CPI | Fixed 2.353% | At Maturity | — | 34,634 | 34,634 | ||||||||||||||||
| 770,000 | USD | 5/9/2028 | 12-Month USD-CPI | Fixed 2.36% | At Maturity | — | 52,926 | 52,926 | ||||||||||||||||
| 850,000 | EUR | 5/15/2028 | 12-Month EUR-CPI | Fixed 1.62% | At Maturity | (47 | ) | 64,462 | 64,415 | |||||||||||||||
| 3,460,000 | GBP | 6/15/2030 | UK RPI | Fixed 3.40% | At Maturity | (11,815 | ) | (51,177 | ) | (62,992 | ) | |||||||||||||
| 2,070,000 | GBP | 4/15/2031 | UK RPI | Fixed 3.14% | At Maturity | 167,222 | (247,633 | ) | (80,411 | ) | ||||||||||||||
| 2,690,000 | GBP | 10/15/2031 | UK RPI | Fixed 3.53% | At Maturity | 2,914 | (52,216 | ) | (49,302 | ) | ||||||||||||||
| 200,000 | EUR | 3/15/2033 | Fixed 1.71% | 12-Month EUR-CPI | At Maturity | 350 | (23,525 | ) | (23,175 | ) | ||||||||||||||
| 310,000 | GBP | 6/15/2039 | UK RPI | Fixed 3.58% | At Maturity | (309 | ) | 12,882 | 12,573 | |||||||||||||||
| 350,000 | GBP | 6/15/2039 | UK RPI | Fixed 3.59% | At Maturity | — | 16,078 | 16,078 | ||||||||||||||||
| 920,000 | GBP | 6/15/2039 | UK RPI | Fixed 3.60% | At Maturity | 374 | 46,301 | 46,675 | ||||||||||||||||
| $ | 173,167 | $ | 181,107 | $ | 354,274 | |||||||||||||||||||
As of September 30, 2019, the Portfolio held the following centrally cleared credit default swap contracts1:
| Reference Entity | Termination Date | Buy/Sell Protection2 | Notional Amount (000)3 | (Pay)/ Receive Fixed Rate4 | Payment Frequency Paid/Received | Upfront Premiums Received/ (Paid) | Value | Unrealized Appreciation / (Depreciation)5 | ||||||||||||||||||
| Daimler AG 0.625%, 03/05/20 | 12/20/2020 | Sell | 150 | 1.00 | % | Quarterly | $ | (1,176 | ) | $ | 1,714 | $ | 538 | |||||||||||||
| General Electric Co. 2.70%, 10/09/22 | 12/20/2020 | Sell | 100 | 1.00 | % | Quarterly | 1,705 | 740 | 2,445 | |||||||||||||||||
| CDX North American High Yield Series 31 | 12/20/2023 | Buy | 2,390 | 5.00 | % | Quarterly | 115,833 | (184,667 | ) | (68,834 | ) | |||||||||||||||
| General Electric Co. 2.70%, 10/09/22 | 12/20/2023 | Selll | 100 | 1.00 | % | Quarterly | 4,080 | 55 | 4,135 | |||||||||||||||||
| CDX North American High Yield Series 32 | 6/20/2024 | Buy | 8,019 | 5.00 | % | Quarterly | 570,959 | (565,805 | ) | 5,154 | ||||||||||||||||
| CDX North American High Yield Series 33 | 12/20/2024 | Buy | 300 | 5.00 | % | Quarterly | 20,178 | (20,178 | ) | — | ||||||||||||||||
| $ | 711,579 | $ | (768,141 | ) | $ | (56,562 | ) | |||||||||||||||||||
As of September 30, 2019, the Portfolio held the following OTC credit default swap contracts:
| Reference Entity | Counterparty | Termination Date | Buy/Sell Protection2 | Notional Amount (000)3 | (Pay)/ Receive Fixed Rate4 | Payment Frequency Paid/ Received | Upfront Premiums Received/ (Paid) | Value | Unrealized Appreciation/ (Depreciation)5 | |||||||||||||||||||
| United Mexican States | Bank of America N.A. | 12/20/2023 | Buy | 2,300 | 1.00 | % | Quarterly | $ | (19,277 | ) | $ | (7,892 | ) | $ | (27,169 | ) | ||||||||||||
| $ | (19,277 | ) | $ | (7,892 | ) | $ | (27,169 | ) | ||||||||||||||||||||
| 1 | As of September 30, 2019, cash in the amount of $2,590,000 was on deposit with a broker for centrally cleared swap agreements. |
| 2 |
Buy-Portfolio pays premium and buys credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Sell-Portfolio receives premium and sells credit protection. If a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| 3 | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap contract. |
| 4 | The annual fixed rate represents the interest received by the Portfolio (as a seller of protection) or paid by the Portfolio (as a buyer of protection) annually on the notional amount of the credit default swap contract. |
| 5 | Represents the difference between the value of the credit default swap contracts at the time they were opened and the value at September 30, 2019. |
The following abbreviations are used in the preceding pages:
| ARS | —Argentine Peso |
| AUD | —Australian Dollar |
| BADLARPP | —Average rate on 30-day deposits of at least 1 million Argentinian Pesos |
| BRL | —Brazilian Real |
| BTP | —Buoni del Tesoro Poliennali (Eurex Exchange index) |
| CAD | —Canadian Dollar |
| COP | —Colombian Peso |
| DKK | —Danish Krone |
| EUR | —Euro |
| GBP | —British Pound Sterling |
| IDR | —Indonesian Rupiah |
| ILS | —Israeli Shekel |
| JPY | —Japanese Yen |
| KRW | —South Korean Won |
| LIBOR | —London Interbank Offered Rate |
| MXN | —Mexican Peso |
| NZD | —New Zealand Dollar |
| PEN | —Peruvian Sol |
| REMIC | —Real Estate Mortgage Investment Conduit |
| RUB | —New Russian Ruble |
| SGD | —Singapore Dollar |
| TBA | —TBA |
| TELBOR | —Tel Aviv Interbank Offered Rate |
| TWD | —New Taiwan Dollar |
| USD | —United States Dollar |
| ZAR | —South African Rand |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio’s assets and liabilities:
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) |
Significant Other Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Long-Term Bonds | ||||||||||||||||
| Asset-Backed Securities | $ | — | $ | 23,836,216 | $ | — | $ | 23,836,216 | ||||||||
| Corporate Bonds | — | 55,182,381 | — | 55,182,381 | ||||||||||||
| Foreign Government Bonds | — | 33,728,780 | — | 33,728,780 | ||||||||||||
| Mortgage-Backed Securities | — | 16,957,058 | — | 16,957,058 | ||||||||||||
| U.S. Government & Federal Agencies | — | 453,040,297 | — | 453,040,297 | ||||||||||||
| Total Long-Term Bonds | — | 582,744,732 | — | 582,744,732 | ||||||||||||
| Purchased Options | 92,999 | — | — | 92,999 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 589,622 | — | — | 589,622 | ||||||||||||
| Foreign Government Bonds | — | 3,370,763 | — | 3,370,763 | ||||||||||||
| Repurchase Agreements | — | 5,300,000 | — | 5,300,000 | ||||||||||||
| Total Short-Term Investments | 589,622 | 8,670,763 | — | 9,260,385 | ||||||||||||
| Total Investments in Securities | 682,621 | 591,415,495 | — | 592,098,116 | ||||||||||||
| Other Financial Instruments | ||||||||||||||||
| Credit Default Swap Contracts (b) | — | 12,272 | — | 12,272 | ||||||||||||
| Foreign Currency Forward Contracts (b) | — | 1,424,820 | — | 1,424,820 | ||||||||||||
| Futures Contracts (b) | 615,206 | — | — | 615,206 | ||||||||||||
| Inflation Swap Contracts (b) | — | 714,005 | — | 714,005 | ||||||||||||
| Interest Rate Swap Contracts (b) | — | 167,896 | — | 167,896 | ||||||||||||
| Total Other Financial Instruments | 615,206 | 2,318,993 | — | 2,934,199 | ||||||||||||
| Total Investments in Securities and Other Financial Instruments | $ | 1,297,827 | $ | 593,734,488 | $ | — | $ | 595,032,315 | ||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Other Financial Instruments | ||||||||||||||||
| Foreign Currency Forward Contracts (b) | — | (1,094,488 | ) | — | (1,094,488 | ) | ||||||||||
| Futures Contracts (b) | (503,435 | ) | — | — | (503,435 | ) | ||||||||||
| Credit Default Swap Contracts (b) | — | (96,003 | ) | — | (96,003 | ) | ||||||||||
| Inflation Swap Contracts (b) | — | (359,731 | ) | — | (359,731 | ) | ||||||||||
| Interest Rate Swap Contracts (b) | — | (1,452,595 | ) | — | (1,452,595 | ) | ||||||||||
| Written Options (b) | (259,161 | ) | (331 | ) | — | (259,492 | ) | |||||||||
| Total Other Financial Instruments | $ | (762,596 | ) | $ | (3,003,148 | ) | $ | — | $ | (3,765,744 | ) | |||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
| (b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP MacKay S&P 500 Index Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Shares | Value | |||||||
| Common Stocks 97.5% † | ||||||||
| Aerospace & Defense 2.6% | ||||||||
| Arconic, Inc. | 34,480 | $ | 896,480 | |||||
| Boeing Co. | 47,583 | 18,103,904 | ||||||
| General Dynamics Corp. | 20,826 | 3,805,535 | ||||||
| Huntington Ingalls Industries, Inc. | 3,679 | 779,175 | ||||||
| L3Harris Technologies, Inc. | 19,875 | 4,146,720 | ||||||
| Lockheed Martin Corp. | 22,120 | 8,628,127 | ||||||
| Northrop Grumman Corp. | 14,006 | 5,249,309 | ||||||
| Raytheon Co. | 24,789 | 4,863,354 | ||||||
| Textron, Inc. | 20,484 | 1,002,897 | ||||||
| TransDigm Group, Inc. | 4,418 | 2,300,320 | ||||||
| United Technologies Corp. | 72,201 | 9,856,880 | ||||||
| 59,632,701 | ||||||||
| Air Freight & Logistics 0.6% | ||||||||
| C.H. Robinson Worldwide, Inc. | 12,050 | 1,021,599 | ||||||
| Expeditors International of Washington, Inc. | 15,196 | 1,128,911 | ||||||
| FedEx Corp. | 21,363 | 3,109,812 | ||||||
| United Parcel Service, Inc., Class B | 62,160 | 7,448,011 | ||||||
| 12,708,333 | ||||||||
| Airlines 0.4% | ||||||||
| Alaska Air Group, Inc. | 10,973 | 712,257 | ||||||
| American Airlines Group, Inc. | 35,275 | 951,367 | ||||||
| Delta Air Lines, Inc. | 51,509 | 2,966,918 | ||||||
| Southwest Airlines Co. | 43,061 | 2,325,725 | ||||||
| United Airlines Holdings, Inc. (a) | 19,667 | 1,738,760 | ||||||
| 8,695,027 | ||||||||
| Auto Components 0.1% | ||||||||
| Aptiv PLC | 22,804 | 1,993,525 | ||||||
| BorgWarner, Inc. | 18,382 | 674,252 | ||||||
| 2,667,777 | ||||||||
| Automobiles 0.3% | ||||||||
| Ford Motor Co. | 348,837 | 3,195,347 | ||||||
| General Motors Co. | 111,835 | 4,191,576 | ||||||
| Harley-Davidson, Inc. | 13,951 | 501,817 | ||||||
| 7,888,740 | ||||||||
| Banks 5.3% | ||||||||
| Bank of America Corp. | 745,694 | 21,751,894 | ||||||
| BB&T Corp. | 68,198 | 3,639,727 | ||||||
| Citigroup, Inc. | 201,083 | 13,890,814 | ||||||
| Citizens Financial Group, Inc. | 39,796 | 1,407,584 | ||||||
| Comerica, Inc. | 13,295 | 877,337 | ||||||
| Fifth Third Bancorp | 65,022 | 1,780,302 | ||||||
| First Republic Bank | 14,974 | 1,447,986 | ||||||
| Huntington Bancshares, Inc. | 92,380 | 1,318,263 | ||||||
| JPMorgan Chase & Co. | 284,614 | 33,496,222 | ||||||
| KeyCorp | 89,302 | 1,593,148 | ||||||
| M&T Bank Corp. | 11,898 | 1,879,527 | ||||||
| People's United Financial, Inc. | 35,493 | 554,933 | ||||||
| PNC Financial Services Group, Inc. | 39,633 | 5,554,961 | ||||||
| Regions Financial Corp. | 88,814 | 1,405,037 | ||||||
| SunTrust Banks, Inc. | 39,516 | 2,718,701 | ||||||
| SVB Financial Group (a) | 4,588 | 958,663 | ||||||
| U.S. Bancorp | 127,643 | 7,063,764 | ||||||
| Wells Fargo & Co. | 356,898 | 18,001,935 | ||||||
| Zions Bancorp., N.A. | 15,752 | 701,279 | ||||||
| 120,042,077 | ||||||||
| Beverages 1.9% | ||||||||
| Brown-Forman Corp., Class B | 16,201 | 1,017,099 | ||||||
| Coca-Cola Co. | 342,555 | 18,648,694 | ||||||
| Constellation Brands, Inc., Class A | 14,886 | 3,085,570 | ||||||
| Molson Coors Brewing Co., Class B | 16,721 | 961,458 | ||||||
| Monster Beverage Corp. (a) | 34,435 | 1,999,296 | ||||||
| PepsiCo., Inc. | 124,454 | 17,062,643 | ||||||
| 42,774,760 | ||||||||
| Biotechnology 2.1% | ||||||||
| AbbVie, Inc. | 131,603 | 9,964,979 | ||||||
| Alexion Pharmaceuticals, Inc. (a) | 19,959 | 1,954,784 | ||||||
| Amgen, Inc. | 53,380 | 10,329,564 | ||||||
| Biogen, Inc. (a) | 16,418 | 3,822,439 | ||||||
| Celgene Corp. (a) | 63,086 | 6,264,440 | ||||||
| Gilead Sciences, Inc. | 112,729 | 7,144,764 | ||||||
| Incyte Corp. (a) | 15,889 | 1,179,441 | ||||||
| Regeneron Pharmaceuticals, Inc. (a) | 7,113 | 1,973,146 | ||||||
| Vertex Pharmaceuticals, Inc. (a) | 22,879 | 3,876,160 | ||||||
| 46,509,717 | ||||||||
| Building Products 0.3% | ||||||||
| A.O. Smith Corp. | 12,315 | 587,548 | ||||||
| Allegion PLC | 8,312 | 861,539 | ||||||
| Fortune Brands Home & Security, Inc. | 12,451 | 681,070 | ||||||
| Johnson Controls International PLC | 70,827 | 3,108,597 | ||||||
| Masco Corp. | 25,765 | 1,073,885 | ||||||
| 6,312,639 | ||||||||
| Capital Markets 2.6% | ||||||||
| Affiliated Managers Group, Inc. | 4,508 | 375,742 | ||||||
| Ameriprise Financial, Inc. | 11,649 | 1,713,568 | ||||||
| Bank of New York Mellon Corp. | 76,356 | 3,452,055 | ||||||
| BlackRock, Inc. | 10,457 | 4,660,057 | ||||||
| Cboe Global Markets, Inc. | 9,941 | 1,142,320 | ||||||
| Charles Schwab Corp. | 103,556 | 4,331,747 | ||||||
| CME Group, Inc. | 31,874 | 6,736,251 | ||||||
| E*TRADE Financial Corp. | 21,346 | 932,607 | ||||||
| Franklin Resources, Inc. | 25,106 | 724,559 | ||||||
| Goldman Sachs Group, Inc. | 28,805 | 5,969,260 | ||||||
| Intercontinental Exchange, Inc. | 49,884 | 4,602,797 | ||||||
| Invesco, Ltd. | 34,290 | 580,873 | ||||||
| MarketAxess Holdings, Inc. | 3,361 | 1,100,728 | ||||||
| Moody's Corp. | 14,483 | 2,966,553 | ||||||
| Morgan Stanley | 111,808 | 4,770,847 | ||||||
| MSCI, Inc. | 7,539 | 1,641,617 | ||||||
| Nasdaq, Inc. | 10,261 | 1,019,430 | ||||||
| Northern Trust Corp. | 19,128 | 1,785,025 | ||||||
| Raymond James Financial, Inc. | 10,999 | 906,978 | ||||||
| S&P Global, Inc. | 21,924 | 5,370,942 | ||||||
| State Street Corp. | 33,164 | 1,962,977 | ||||||
| T. Rowe Price Group, Inc. | 20,968 | 2,395,594 | ||||||
| 59,142,527 | ||||||||
| Chemicals 1.9% | ||||||||
| Air Products & Chemicals, Inc. | 19,614 | 4,351,562 | ||||||
| Albemarle Corp. (b) | 9,434 | 655,852 | ||||||
| Celanese Corp. | 11,014 | 1,346,902 | ||||||
| CF Industries Holdings, Inc. | 19,434 | 956,153 | ||||||
| Corteva, Inc. (a) | 66,660 | 1,866,480 | ||||||
| Dow, Inc. (a) | 66,155 | 3,152,286 | ||||||
| DuPont de Nemours, Inc. | 66,357 | 4,731,917 | ||||||
| Eastman Chemical Co. | 12,194 | 900,283 | ||||||
| Ecolab, Inc. | 22,284 | 4,413,123 | ||||||
| FMC Corp. | 11,610 | 1,017,965 | ||||||
| International Flavors & Fragrances, Inc. (b) | 9,504 | 1,166,046 | ||||||
| Linde PLC | 48,119 | 9,321,613 | ||||||
| LyondellBasell Industries N.V., Class A | 22,977 | 2,055,752 | ||||||
| Mosaic Co. | 31,599 | 647,779 | ||||||
| PPG Industries, Inc. | 21,033 | 2,492,621 | ||||||
| Sherwin-Williams Co. | 7,309 | 4,019,000 | ||||||
| 43,095,334 | ||||||||
| Commercial Services & Supplies 0.4% | ||||||||
| Cintas Corp. | 7,389 | 1,980,991 | ||||||
| Copart, Inc. (a) | 17,947 | 1,441,683 | ||||||
| Republic Services, Inc. | 18,843 | 1,630,862 | ||||||
| Rollins, Inc. | 12,535 | 427,067 | ||||||
| Waste Management, Inc. | 34,741 | 3,995,215 | ||||||
| 9,475,818 | ||||||||
| Communications Equipment 1.1% | ||||||||
| Arista Networks, Inc. (a) | 4,844 | 1,157,328 | ||||||
| Cisco Systems, Inc. | 377,881 | 18,671,100 | ||||||
| F5 Networks, Inc. (a) | 5,352 | 751,528 | ||||||
| Juniper Networks, Inc. | 30,782 | 761,855 | ||||||
| Motorola Solutions, Inc. | 14,736 | 2,511,162 | ||||||
| 23,852,973 | ||||||||
| Construction & Engineering 0.1% | ||||||||
| Jacobs Engineering Group, Inc. | 12,061 | 1,103,581 | ||||||
| Quanta Services, Inc. | 12,656 | 478,397 | ||||||
| 1,581,978 | ||||||||
| Construction Materials 0.1% | ||||||||
| Martin Marietta Materials, Inc. | 5,558 | 1,523,448 | ||||||
| Vulcan Materials Co. | 11,775 | 1,780,851 | ||||||
| 3,304,299 | ||||||||
| Consumer Finance 0.7% | ||||||||
| American Express Co. | 60,558 | 7,162,800 | ||||||
| Capital One Financial Corp. | 41,865 | 3,808,878 | ||||||
| Discover Financial Services | 28,327 | 2,297,036 | ||||||
| Synchrony Financial | 54,330 | 1,852,110 | ||||||
| 15,120,824 | ||||||||
| Containers & Packaging 0.4% | ||||||||
| Amcor PLC (a) | 144,600 | 1,409,850 | ||||||
| Avery Dennison Corp. | 7,494 | 851,093 | ||||||
| Ball Corp. | 29,552 | 2,151,681 | ||||||
| International Paper Co. | 34,967 | 1,462,320 | ||||||
| Packaging Corp. of America | 8,426 | 893,999 | ||||||
| Sealed Air Corp. | 13,755 | 570,970 | ||||||
| WestRock Co. | 22,906 | 834,924 | ||||||
| 8,174,837 | ||||||||
| Distributors 0.1% | ||||||||
| Genuine Parts Co. | 13,003 | 1,294,969 | ||||||
| LKQ Corp. (a) | 27,434 | 862,799 | ||||||
| 2,157,768 | ||||||||
| Diversified Consumer Services 0.0% ‡ | ||||||||
| H&R Block, Inc. | 17,866 | 421,995 | ||||||
| Diversified Financial Services 1.6% | ||||||||
| Berkshire Hathaway, Inc., Class B (a) | 174,539 | 36,307,603 | ||||||
| Diversified Telecommunication Services 2.1% | ||||||||
| AT&T, Inc. | 650,409 | 24,611,477 | ||||||
| CenturyLink, Inc. | 87,382 | 1,090,527 | ||||||
| Verizon Communications, Inc. | 368,153 | 22,221,715 | ||||||
| 47,923,719 | ||||||||
| Electric Utilities 2.1% | ||||||||
| Alliant Energy Corp. | 21,142 | 1,140,188 | ||||||
| American Electric Power Co., Inc. | 43,954 | 4,118,050 | ||||||
| Duke Energy Corp. | 64,854 | 6,216,905 | ||||||
| Edison International | 31,874 | 2,403,937 | ||||||
| Entergy Corp. | 17,698 | 2,077,037 | ||||||
| Evergy, Inc. | 20,959 | 1,395,031 | ||||||
| Eversource Energy | 28,804 | 2,461,878 | ||||||
| Exelon Corp. | 86,482 | 4,177,945 | ||||||
| FirstEnergy Corp. | 48,065 | 2,318,175 | ||||||
| NextEra Energy, Inc. | 43,505 | 10,136,230 | ||||||
| Pinnacle West Capital Corp. | 9,996 | 970,312 | ||||||
| PPL Corp. | 64,289 | 2,024,461 | ||||||
| Southern Co. | 93,038 | 5,746,957 | ||||||
| Xcel Energy, Inc. | 46,675 | 3,028,741 | ||||||
| 48,215,847 | ||||||||
| Electrical Equipment 0.5% | ||||||||
| AMETEK, Inc. | 20,325 | 1,866,241 | ||||||
| Eaton Corp. PLC | 37,385 | 3,108,563 | ||||||
| Emerson Electric Co. | 54,751 | 3,660,652 | ||||||
| Rockwell Automation, Inc. | 10,415 | 1,716,392 | ||||||
| 10,351,848 | ||||||||
| Electronic Equipment, Instruments & Components 0.5% | ||||||||
| Amphenol Corp., Class A | 26,476 | 2,554,934 | ||||||
| CDW Corp. | 3,864 | 476,199 | ||||||
| Corning, Inc. | 69,506 | 1,982,311 | ||||||
| FLIR Systems, Inc. | 12,071 | 634,814 | ||||||
| IPG Photonics Corp. (a) | 3,173 | 430,259 | ||||||
| Keysight Technologies, Inc. (a) | 16,697 | 1,623,783 | ||||||
| TE Connectivity, Ltd. | 29,902 | 2,786,269 | ||||||
| 10,488,569 | ||||||||
| Energy Equipment & Services 0.4% | ||||||||
| Baker Hughes, a GE Co. | 51,035 | 1,184,012 | ||||||
| Halliburton Co. | 77,968 | 1,469,697 | ||||||
| Helmerich & Payne, Inc. | 9,741 | 390,322 | ||||||
| National Oilwell Varco, Inc. | 34,349 | 728,199 | ||||||
| Schlumberger, Ltd. | 123,104 | 4,206,463 | ||||||
| TechnipFMC PLC | 37,358 | 901,822 | ||||||
| 8,880,515 | ||||||||
| Entertainment 1.8% | ||||||||
| Activision Blizzard, Inc. | 68,274 | 3,613,060 | ||||||
| Electronic Arts, Inc. (a) | 26,232 | 2,566,014 | ||||||
| Netflix, Inc. (a) | 38,972 | 10,429,687 | ||||||
| Take-Two Interactive Software, Inc. (a) | 10,074 | 1,262,675 | ||||||
| Viacom, Inc., Class B | 31,507 | 757,113 | ||||||
| Walt Disney Co. | 160,344 | 20,896,030 | ||||||
| 39,524,579 | ||||||||
| Equity Real Estate Investment Trusts 3.1% | ||||||||
| Alexandria Real Estate Equities, Inc. | 10,096 | 1,555,188 | ||||||
| American Tower Corp. | 39,404 | 8,713,407 | ||||||
| Apartment Investment & Management Co., Class A | 13,252 | 690,959 | ||||||
| AvalonBay Communities, Inc. | 12,431 | 2,676,767 | ||||||
| Boston Properties, Inc. | 12,795 | 1,659,000 | ||||||
| Crown Castle International Corp. | 37,007 | 5,144,343 | ||||||
| Digital Realty Trust, Inc. | 18,545 | 2,407,326 | ||||||
| Duke Realty Corp. | 32,173 | 1,092,917 | ||||||
| Equinix, Inc. | 7,550 | 4,354,840 | ||||||
| Equity Residential | 31,030 | 2,676,648 | ||||||
| Essex Property Trust, Inc. | 5,851 | 1,911,229 | ||||||
| Extra Space Storage, Inc. | 11,440 | 1,336,421 | ||||||
| Federal Realty Investment Trust | 6,205 | 844,749 | ||||||
| HCP, Inc. | 43,715 | 1,557,565 | ||||||
| Host Hotels & Resorts, Inc. | 64,970 | 1,123,331 | ||||||
| Iron Mountain, Inc. | 25,556 | 827,759 | ||||||
| Kimco Realty Corp. | 37,572 | 784,503 | ||||||
| Macerich Co. (b) | 9,808 | 309,835 | ||||||
| Mid-America Apartment Communities, Inc. | 10,151 | 1,319,731 | ||||||
| Prologis, Inc. | 56,178 | 4,787,489 | ||||||
| Public Storage | 13,366 | 3,278,279 | ||||||
| Realty Income Corp. | 28,326 | 2,172,038 | ||||||
| Regency Centers Corp. | 14,915 | 1,036,443 | ||||||
| SBA Communications Corp. | 10,068 | 2,427,898 | ||||||
| Simon Property Group, Inc. | 27,417 | 4,267,456 | ||||||
| SL Green Realty Corp. | 7,336 | 599,718 | ||||||
| UDR, Inc. | 26,066 | 1,263,680 | ||||||
| Ventas, Inc. | 33,164 | 2,421,967 | ||||||
| Vornado Realty Trust | 14,097 | 897,556 | ||||||
| Welltower, Inc. | 36,072 | 3,269,927 | ||||||
| Weyerhaeuser Co. | 66,307 | 1,836,704 | ||||||
| 69,245,673 | ||||||||
| Food & Staples Retailing 1.6% | ||||||||
| Costco Wholesale Corp. | 39,146 | 11,278,354 | ||||||
| Kroger Co. | 71,103 | 1,833,035 | ||||||
| Sysco Corp. | 45,679 | 3,626,913 | ||||||
| Walgreens Boots Alliance, Inc. | 67,528 | 3,734,974 | ||||||
| Walmart, Inc. | 126,587 | 15,023,345 | ||||||
| 35,496,621 | ||||||||
| Food Products 1.2% | ||||||||
| Archer-Daniels-Midland Co. | 49,577 | 2,036,127 | ||||||
| Campbell Soup Co. | 15,011 | 704,316 | ||||||
| Conagra Brands, Inc. | 43,313 | 1,328,843 | ||||||
| General Mills, Inc. | 53,718 | 2,960,936 | ||||||
| Hershey Co. | 13,260 | 2,055,168 | ||||||
| Hormel Foods Corp. | 24,715 | 1,080,787 | ||||||
| J.M. Smucker Co. | 10,152 | 1,116,923 | ||||||
| Kellogg Co. | 22,134 | 1,424,323 | ||||||
| Kraft Heinz Co. | 55,383 | 1,547,124 | ||||||
| Lamb Weston Holdings, Inc. | 12,967 | 942,960 | ||||||
| McCormick & Co., Inc. | 10,953 | 1,711,954 | ||||||
| Mondelez International, Inc., Class A | 128,369 | 7,101,373 | ||||||
| Tyson Foods, Inc., Class A | 26,230 | 2,259,452 | ||||||
| 26,270,286 | ||||||||
| Gas Utilities 0.1% | ||||||||
| Atmos Energy Corp. | 10,521 | 1,198,237 | ||||||
| Health Care Equipment & Supplies 3.5% | ||||||||
| Abbott Laboratories | 157,319 | 13,162,881 | ||||||
| ABIOMED, Inc. (a) | 4,039 | 718,498 | ||||||
| Align Technology, Inc. (a) | 6,470 | 1,170,552 | ||||||
| Baxter International, Inc. | 45,446 | 3,975,162 | ||||||
| Becton Dickinson & Co. | 24,029 | 6,078,376 | ||||||
| Boston Scientific Corp. (a) | 123,991 | 5,045,194 | ||||||
| Cooper Cos., Inc. | 4,413 | 1,310,661 | ||||||
| Danaher Corp. | 56,830 | 8,207,957 | ||||||
| DENTSPLY SIRONA, Inc. | 19,955 | 1,063,801 | ||||||
| Edwards Lifesciences Corp. (a) | 18,512 | 4,070,974 | ||||||
| Hologic, Inc. (a) | 23,793 | 1,201,308 | ||||||
| IDEXX Laboratories, Inc. (a) | 7,663 | 2,083,800 | ||||||
| Intuitive Surgical, Inc. (a) | 10,259 | 5,539,142 | ||||||
| Medtronic PLC | 119,424 | 12,971,835 | ||||||
| ResMed, Inc. | 12,788 | 1,727,787 | ||||||
| Stryker Corp. | 28,561 | 6,177,744 | ||||||
| Teleflex, Inc. | 4,115 | 1,398,071 | ||||||
| Varian Medical Systems, Inc. (a) | 8,106 | 965,343 | ||||||
| Zimmer Biomet Holdings, Inc. | 18,275 | 2,508,609 | ||||||
| 79,377,695 | ||||||||
| Health Care Providers & Services 2.4% | ||||||||
| AmerisourceBergen Corp. | 13,537 | 1,114,501 | ||||||
| Anthem, Inc. | 22,771 | 5,467,317 | ||||||
| Cardinal Health, Inc. | 26,537 | 1,252,281 | ||||||
| Centene Corp. (a) | 36,816 | 1,592,660 | ||||||
| Cigna Corp. (a) | 33,612 | 5,101,965 | ||||||
| CVS Health Corp. | 115,760 | 7,300,983 | ||||||
| DaVita, Inc. (a) | 8,619 | 491,886 | ||||||
| HCA Healthcare, Inc. | 23,674 | 2,850,823 | ||||||
| Henry Schein, Inc. (a) | 13,197 | 838,010 | ||||||
| Humana, Inc. | 12,025 | 3,074,432 | ||||||
| Laboratory Corp. of America Holdings (a) | 8,696 | 1,460,928 | ||||||
| McKesson Corp. | 16,459 | 2,249,287 | ||||||
| Quest Diagnostics, Inc. | 11,987 | 1,282,969 | ||||||
| UnitedHealth Group, Inc. | 84,355 | 18,332,029 | ||||||
| Universal Health Services, Inc., Class B | 7,231 | 1,075,611 | ||||||
| WellCare Health Plans, Inc. (a) | 4,478 | 1,160,563 | ||||||
| 54,646,245 | ||||||||
| Health Care Technology 0.1% | ||||||||
| Cerner Corp. | 28,341 | 1,932,006 | ||||||
| Hotels, Restaurants & Leisure 1.9% | ||||||||
| Carnival Corp. | 35,641 | 1,557,868 | ||||||
| Chipotle Mexican Grill, Inc. (a) | 2,270 | 1,907,867 | ||||||
| Darden Restaurants, Inc. | 10,932 | 1,292,381 | ||||||
| Hilton Worldwide Holdings, Inc. | 25,533 | 2,377,378 | ||||||
| Marriott International, Inc., Class A | 24,333 | 3,026,295 | ||||||
| McDonald's Corp. | 67,600 | 14,514,396 | ||||||
| MGM Resorts International | 46,413 | 1,286,568 | ||||||
| Norwegian Cruise Line Holdings, Ltd. (a) | 19,191 | 993,518 | ||||||
| Royal Caribbean Cruises, Ltd. | 15,296 | 1,657,016 | ||||||
| Starbucks Corp. | 106,547 | 9,420,886 | ||||||
| Wynn Resorts, Ltd. | 8,621 | 937,275 | ||||||
| Yum! Brands, Inc. | 27,085 | 3,072,251 | ||||||
| 42,043,699 | ||||||||
| Household Durables 0.4% | ||||||||
| D.R. Horton, Inc. | 29,956 | 1,578,981 | ||||||
| Garmin, Ltd. | 12,860 | 1,089,113 | ||||||
| Leggett & Platt, Inc. | 11,702 | 479,080 | ||||||
| Lennar Corp., Class A | 25,315 | 1,413,843 | ||||||
| Mohawk Industries, Inc. (a) | 5,331 | 661,417 | ||||||
| Newell Brands, Inc. | 33,919 | 634,964 | ||||||
| NVR, Inc. (a) | 306 | 1,137,509 | ||||||
| PulteGroup, Inc. | 22,944 | 838,603 | ||||||
| Whirlpool Corp. | 5,655 | 895,526 | ||||||
| 8,729,036 | ||||||||
| Household Products 1.8% | ||||||||
| Church & Dwight Co., Inc. | 21,994 | 1,654,829 | ||||||
| Clorox Co. | 11,193 | 1,699,881 | ||||||
| Colgate-Palmolive Co. | 76,373 | 5,614,179 | ||||||
| Kimberly-Clark Corp. | 30,638 | 4,352,128 | ||||||
| Procter & Gamble Co. | 222,764 | 27,707,386 | ||||||
| 41,028,403 | ||||||||
| Independent Power & Renewable Electricity Producers 0.1% | ||||||||
| AES Corp. | 59,091 | 965,547 | ||||||
| NRG Energy, Inc. | 22,519 | 891,752 | ||||||
| 1,857,299 | ||||||||
| Industrial Conglomerates 1.3% | ||||||||
| 3M Co. | 51,207 | 8,418,431 | ||||||
| General Electric Co. | 776,813 | 6,944,708 | ||||||
| Honeywell International, Inc. | 64,045 | 10,836,414 | ||||||
| Roper Technologies, Inc. | 9,257 | 3,301,046 | ||||||
| 29,500,599 | ||||||||
| Insurance 2.4% | ||||||||
| Aflac, Inc. | 65,903 | 3,448,045 | ||||||
| Allstate Corp. | 29,302 | 3,184,541 | ||||||
| American International Group, Inc. | 77,432 | 4,312,962 | ||||||
| Aon PLC | 20,993 | 4,063,615 | ||||||
| Arthur J. Gallagher & Co. | 16,562 | 1,483,458 | ||||||
| Assurant, Inc. | 5,441 | 684,587 | ||||||
| Chubb, Ltd. | 40,567 | 6,549,137 | ||||||
| Cincinnati Financial Corp. | 13,521 | 1,577,495 | ||||||
| Everest Re Group, Ltd. | 3,626 | 964,842 | ||||||
| Globe Life, Inc. | 8,934 | 855,520 | ||||||
| Hartford Financial Services Group, Inc. | 32,185 | 1,950,733 | ||||||
| Lincoln National Corp. | 17,820 | 1,074,902 | ||||||
| Loews Corp. | 23,147 | 1,191,608 | ||||||
| Marsh & McLennan Cos., Inc. | 45,068 | 4,509,054 | ||||||
| MetLife, Inc. | 70,852 | 3,341,380 | ||||||
| Principal Financial Group, Inc. | 23,079 | 1,318,734 | ||||||
| Progressive Corp. | 52,041 | 4,020,167 | ||||||
| Prudential Financial, Inc. | 35,783 | 3,218,681 | ||||||
| Travelers Cos., Inc. | 23,177 | 3,446,188 | ||||||
| Unum Group | 18,571 | 551,930 | ||||||
| Willis Towers Watson PLC | 11,482 | 2,215,682 | ||||||
| 53,963,261 | ||||||||
| Interactive Media & Services 4.7% | ||||||||
| Alphabet, Inc. (a) | ||||||||
| Class A | 26,662 | 32,558,035 | ||||||
| Class C | 26,898 | 32,788,662 | ||||||
| Facebook, Inc., Class A (a) | 214,138 | 38,133,695 | ||||||
| TripAdvisor, Inc. (a) | 9,346 | 361,503 | ||||||
| Twitter, Inc. (a) | 68,808 | 2,834,890 | ||||||
| 106,676,785 | ||||||||
| Internet & Direct Marketing Retail 3.4% | ||||||||
| Amazon.com, Inc. (a) | 36,985 | 64,202,631 | ||||||
| Booking Holdings, Inc. (a) | 3,784 | 7,426,516 | ||||||
| eBay, Inc. | 70,180 | 2,735,617 | ||||||
| Expedia Group, Inc. | 12,448 | 1,673,136 | ||||||
| 76,037,900 | ||||||||
| IT Services 5.4% | ||||||||
| Accenture PLC, Class A | 56,713 | 10,908,746 | ||||||
| Akamai Technologies, Inc. (a) | 14,685 | 1,341,915 | ||||||
| Alliance Data Systems Corp. | 3,647 | 467,290 | ||||||
| Automatic Data Processing, Inc. | 38,626 | 6,235,009 | ||||||
| Broadridge Financial Solutions, Inc. | 10,173 | 1,265,827 | ||||||
| Cognizant Technology Solutions Corp., Class A | 49,160 | 2,962,628 | ||||||
| DXC Technology Co. | 23,318 | 687,881 | ||||||
| Fidelity National Information Services, Inc. | 54,604 | 7,249,227 | ||||||
| Fiserv, Inc. (a) | 50,809 | 5,263,304 | ||||||
| FleetCor Technologies, Inc. (a) | 7,706 | 2,209,927 | ||||||
| Gartner, Inc. (a) | 8,023 | 1,147,209 | ||||||
| Global Payments, Inc. | 25,634 | 4,075,806 | ||||||
| International Business Machines Corp. | 78,853 | 11,466,803 | ||||||
| Jack Henry & Associates, Inc. | 6,854 | 1,000,478 | ||||||
| Leidos Holdings, Inc. | 12,033 | 1,033,394 | ||||||
| Mastercard, Inc., Class A | 79,467 | 21,580,853 | ||||||
| Paychex, Inc. | 28,468 | 2,356,296 | ||||||
| PayPal Holdings, Inc. (a) | 104,738 | 10,849,810 | ||||||
| VeriSign, Inc. (a) | 9,272 | 1,748,977 | ||||||
| Visa, Inc., Class A | 153,721 | 26,441,549 | ||||||
| Western Union Co. | 37,731 | 874,227 | ||||||
| 121,167,156 | ||||||||
| Leisure Products 0.1% | ||||||||
| Hasbro, Inc. | 10,447 | 1,239,954 | ||||||
| Life Sciences Tools & Services 1.0% | ||||||||
| Agilent Technologies, Inc. | 27,546 | 2,110,850 | ||||||
| Illumina, Inc. (a) | 13,085 | 3,980,719 | ||||||
| IQVIA Holdings, Inc. (a) | 16,216 | 2,422,346 | ||||||
| Mettler-Toledo International, Inc. (a) | 2,190 | 1,542,636 | ||||||
| PerkinElmer, Inc. | 9,887 | 842,076 | ||||||
| Thermo Fisher Scientific, Inc. | 35,647 | 10,382,902 | ||||||
| Waters Corp. (a) | 5,942 | 1,326,432 | ||||||
| 22,607,961 | ||||||||
| Machinery 1.5% | ||||||||
| Caterpillar, Inc. | 50,077 | 6,325,226 | ||||||
| Cummins, Inc. | 14,045 | 2,284,700 | ||||||
| Deere & Co. | 28,027 | 4,727,594 | ||||||
| Dover Corp. | 12,946 | 1,288,904 | ||||||
| Flowserve Corp. | 11,676 | 545,386 | ||||||
| Fortive Corp. | 26,282 | 1,801,894 | ||||||
| IDEX Corp. | 6,751 | 1,106,354 | ||||||
| Illinois Tool Works, Inc. | 26,202 | 4,100,351 | ||||||
| Ingersoll-Rand PLC | 21,503 | 2,649,385 | ||||||
| PACCAR, Inc. | 30,831 | 2,158,478 | ||||||
| Parker-Hannifin Corp. | 11,433 | 2,064,914 | ||||||
| Pentair PLC | 14,958 | 565,412 | ||||||
| Snap-On, Inc. | 4,914 | 769,238 | ||||||
| Stanley Black & Decker, Inc. | 13,507 | 1,950,546 | ||||||
| Wabtec Corp. | 16,210 | 1,164,851 | ||||||
| Xylem, Inc. | 16,025 | 1,275,910 | ||||||
| 34,779,143 | ||||||||
| Media 1.4% | ||||||||
| CBS Corp., Class B | 29,128 | 1,175,897 | ||||||
| Charter Communications, Inc., Class A (a) | 14,391 | 5,930,819 | ||||||
| Comcast Corp., Class A | 403,717 | 18,199,562 | ||||||
| Discovery, Inc. (a) | ||||||||
| Class A | 14,067 | 374,604 | ||||||
| Class C | 30,883 | 760,339 | ||||||
| DISH Network Corp., Class A (a) | 21,415 | 729,609 | ||||||
| Fox Corp. | ||||||||
| Class A | 31,549 | 994,898 | ||||||
| Class B (a) | 14,453 | 455,848 | ||||||
| Interpublic Group of Cos., Inc. | 34,467 | 743,109 | ||||||
| News Corp. | ||||||||
| Class A | 34,327 | 477,832 | ||||||
| Class B | 10,839 | 154,943 | ||||||
| Omnicom Group, Inc. | 19,362 | 1,516,045 | ||||||
| 31,513,505 | ||||||||
| Metals & Mining 0.2% | ||||||||
| Freeport-McMoRan, Inc. | 129,146 | 1,235,927 | ||||||
| Newmont Goldcorp Corp. | 72,980 | 2,767,402 | ||||||
| Nucor Corp. | 26,985 | 1,373,806 | ||||||
| 5,377,135 | ||||||||
| Multi-Utilities 1.1% | ||||||||
| Ameren Corp. | 21,879 | 1,751,414 | ||||||
| CenterPoint Energy, Inc. | 44,703 | 1,349,137 | ||||||
| CMS Energy Corp. | 25,260 | 1,615,377 | ||||||
| Consolidated Edison, Inc. | 29,565 | 2,793,006 | ||||||
| Dominion Energy, Inc. | 73,160 | 5,928,886 | ||||||
| DTE Energy Co. | 16,316 | 2,169,375 | ||||||
| NiSource, Inc. | 33,232 | 994,301 | ||||||
| Public Service Enterprise Group, Inc. | 45,008 | 2,794,097 | ||||||
| Sempra Energy | 24,438 | 3,607,293 | ||||||
| WEC Energy Group, Inc. | 28,078 | 2,670,218 | ||||||
| 25,673,104 | ||||||||
| Multiline Retail 0.5% | ||||||||
| Dollar General Corp. | 22,882 | 3,636,865 | ||||||
| Dollar Tree, Inc. (a) | 21,062 | 2,404,438 | ||||||
| Kohl's Corp. | 14,164 | 703,384 | ||||||
| Macy's, Inc. | 27,497 | 427,304 | ||||||
| Nordstrom, Inc. (b) | 9,515 | 320,370 | ||||||
| Target Corp. | 45,479 | 4,862,160 | ||||||
| 12,354,521 | ||||||||
| Oil, Gas & Consumable Fuels 4.0% | ||||||||
| Apache Corp. | 33,465 | 856,704 | ||||||
| Cabot Oil & Gas Corp. | 37,242 | 654,342 | ||||||
| Chevron Corp. | 168,982 | 20,041,265 | ||||||
| Cimarex Energy Co. | 9,031 | 432,946 | ||||||
| Concho Resources, Inc. | 17,898 | 1,215,274 | ||||||
| ConocoPhillips | 98,816 | 5,630,536 | ||||||
| Devon Energy Corp. | 35,979 | 865,655 | ||||||
| Diamondback Energy, Inc. | 14,513 | 1,304,864 | ||||||
| EOG Resources, Inc. | 51,659 | 3,834,131 | ||||||
| Exxon Mobil Corp. | 376,619 | 26,593,068 | ||||||
| Hess Corp. | 23,037 | 1,393,278 | ||||||
| HollyFrontier Corp. | 13,477 | 722,906 | ||||||
| Kinder Morgan, Inc. | 173,295 | 3,571,610 | ||||||
| Marathon Oil Corp. | 71,569 | 878,152 | ||||||
| Marathon Petroleum Corp. | 58,598 | 3,559,828 | ||||||
| Noble Energy, Inc. | 42,570 | 956,122 | ||||||
| Occidental Petroleum Corp. | 79,619 | 3,540,657 | ||||||
| ONEOK, Inc. | 36,759 | 2,708,771 | ||||||
| Phillips 66 | 39,926 | 4,088,422 | ||||||
| Pioneer Natural Resources Co. | 14,878 | 1,871,206 | ||||||
| Valero Energy Corp. | 36,887 | 3,144,248 | ||||||
| Williams Cos., Inc. | 107,884 | 2,595,689 | ||||||
| 90,459,674 | ||||||||
| Personal Products 0.2% | ||||||||
| Coty, Inc., Class A | 26,182 | 275,173 | ||||||
| Estee Lauder Cos., Inc., Class A | 19,691 | 3,917,524 | ||||||
| 4,192,697 | ||||||||
| Pharmaceuticals 4.2% | ||||||||
| Allergan PLC | 29,199 | 4,913,900 | ||||||
| Bristol-Myers Squibb Co. | 145,603 | 7,383,528 | ||||||
| Eli Lilly & Co. | 75,623 | 8,456,920 | ||||||
| Johnson & Johnson | 234,917 | 30,393,561 | ||||||
| Merck & Co., Inc. | 227,904 | 19,184,959 | ||||||
| Mylan N.V. (a) | 45,919 | 908,278 | ||||||
| Nektar Therapeutics (a) | 4,680 | 85,246 | ||||||
| Perrigo Co. PLC | 12,111 | 676,884 | ||||||
| Pfizer, Inc. | 492,329 | 17,689,381 | ||||||
| Zoetis, Inc. | 42,508 | 5,296,072 | ||||||
| 94,988,729 | ||||||||
| Professional Services 0.3% | ||||||||
| Equifax, Inc. | 10,760 | 1,513,609 | ||||||
| IHS Markit, Ltd. (a) | 35,703 | 2,387,817 | ||||||
| Nielsen Holdings PLC | 31,659 | 672,754 | ||||||
| Robert Half International, Inc. | 10,464 | 582,426 | ||||||
| Verisk Analytics, Inc. | 14,554 | 2,301,569 | ||||||
| 7,458,175 | ||||||||
| Real Estate Management & Development 0.1% | ||||||||
| CBRE Group, Inc., Class A (a) | 29,938 | 1,587,013 | ||||||
| Road & Rail 0.9% | ||||||||
| CSX Corp. | 71,047 | 4,921,426 | ||||||
| J.B. Hunt Transport Services, Inc. | 7,603 | 841,272 | ||||||
| Kansas City Southern | 8,953 | 1,190,838 | ||||||
| Norfolk Southern Corp. | 23,446 | 4,212,308 | ||||||
| Union Pacific Corp. | 62,712 | 10,158,090 | ||||||
| 21,323,934 | ||||||||
| Semiconductors & Semiconductor Equipment 3.8% | ||||||||
| Advanced Micro Devices, Inc. (a) | 96,626 | 2,801,188 | ||||||
| Analog Devices, Inc. | 32,882 | 3,673,906 | ||||||
| Applied Materials, Inc. | 82,225 | 4,103,027 | ||||||
| Broadcom, Inc. | 35,433 | 9,781,988 | ||||||
| Intel Corp. | 394,322 | 20,319,413 | ||||||
| KLA Corp. | 14,176 | 2,260,363 | ||||||
| Lam Research Corp. | 12,865 | 2,973,230 | ||||||
| Maxim Integrated Products, Inc. | 24,147 | 1,398,353 | ||||||
| Microchip Technology, Inc. | 21,189 | 1,968,670 | ||||||
| Micron Technology, Inc. (a) | 98,252 | 4,210,098 | ||||||
| NVIDIA Corp. | 54,208 | 9,435,987 | ||||||
| Qorvo, Inc. (a) | 10,484 | 777,284 | ||||||
| QUALCOMM, Inc. | 108,208 | 8,254,106 | ||||||
| Skyworks Solutions, Inc. | 15,284 | 1,211,257 | ||||||
| Texas Instruments, Inc. | 83,103 | 10,740,232 | ||||||
| Xilinx, Inc. | 22,485 | 2,156,311 | ||||||
| 86,065,413 | ||||||||
| Software 6.5% | ||||||||
| Adobe, Inc. (a) | 43,210 | 11,936,763 | ||||||
| ANSYS, Inc. (a) | 7,486 | 1,657,101 | ||||||
| Autodesk, Inc. (a) | 19,546 | 2,886,944 | ||||||
| Cadence Design Systems, Inc. (a) | 24,937 | 1,647,837 | ||||||
| Citrix Systems, Inc. | 10,953 | 1,057,184 | ||||||
| Fortinet, Inc. (a) | 12,633 | 969,709 | ||||||
| Intuit, Inc. | 23,150 | 6,156,511 | ||||||
| Microsoft Corp. | 679,642 | 94,490,627 | ||||||
| Oracle Corp. | 195,972 | 10,784,339 | ||||||
| salesforce.com, Inc. (a) | 78,063 | 11,587,672 | ||||||
| Symantec Corp. | 50,611 | 1,195,938 | ||||||
| Synopsys, Inc. (a) | 13,377 | 1,835,993 | ||||||
| 146,206,618 | ||||||||
| Specialty Retail 2.3% | ||||||||
| Advance Auto Parts, Inc. | 6,354 | 1,050,951 | ||||||
| AutoZone, Inc. (a) | 2,183 | 2,367,725 | ||||||
| Best Buy Co., Inc. | 20,646 | 1,424,367 | ||||||
| CarMax, Inc. (a) | 14,739 | 1,297,032 | ||||||
| Gap, Inc. | 19,066 | 330,986 | ||||||
| Home Depot, Inc. | 97,482 | 22,617,774 | ||||||
| L Brands, Inc. | 20,666 | 404,847 | ||||||
| Lowe's Cos., Inc. | 68,699 | 7,554,142 | ||||||
| O'Reilly Automotive, Inc. (a) | 6,811 | 2,714,252 | ||||||
| Ross Stores, Inc. | 32,462 | 3,565,951 | ||||||
| Tiffany & Co. | 9,677 | 896,380 | ||||||
| TJX Cos., Inc. | 107,609 | 5,998,126 | ||||||
| Tractor Supply Co. | 10,616 | 960,111 | ||||||
| Ulta Beauty, Inc. (a) | 5,238 | 1,312,905 | ||||||
| 52,495,549 | ||||||||
| Technology Hardware, Storage & Peripherals 4.1% | ||||||||
| Apple, Inc. | 378,125 | 84,688,656 | ||||||
| Hewlett Packard Enterprise Co. | 116,214 | 1,762,966 | ||||||
| HP, Inc. | 131,908 | 2,495,699 | ||||||
| NetApp, Inc. | 21,177 | 1,112,004 | ||||||
| Seagate Technology PLC | 21,074 | 1,133,571 | ||||||
| Western Digital Corp. | 26,348 | 1,571,395 | ||||||
| Xerox Holdings Corp. (a) | 16,939 | 506,646 | ||||||
| 93,270,937 | ||||||||
| Textiles, Apparel & Luxury Goods 0.7% | ||||||||
| Capri Holdings, Ltd. (a) | 13,492 | 447,395 | ||||||
| Hanesbrands, Inc. | 32,182 | 493,028 | ||||||
| NIKE, Inc., Class B | 111,431 | 10,465,599 | ||||||
| PVH Corp. | 6,600 | 582,318 | ||||||
| Ralph Lauren Corp. | 4,614 | 440,499 | ||||||
| Tapestry, Inc. | 25,533 | 665,135 | ||||||
| Under Armour, Inc. (a) | ||||||||
| Class A | 16,747 | 333,935 | ||||||
| Class C | 17,300 | 313,649 | ||||||
| VF Corp. | 29,063 | 2,586,316 | ||||||
| 16,327,874 | ||||||||
| Tobacco 0.8% | ||||||||
| Altria Group, Inc. | 166,283 | 6,800,975 | ||||||
| Philip Morris International, Inc. | 138,488 | 10,515,394 | ||||||
| 17,316,369 | ||||||||
| Trading Companies & Distributors 0.2% | ||||||||
| Fastenal Co. | 51,042 | 1,667,542 | ||||||
| United Rentals, Inc. (a) | 6,868 | 856,028 | ||||||
| W.W. Grainger, Inc. | 3,935 | 1,169,285 | ||||||
| 3,692,855 | ||||||||
| Water Utilities 0.1% | ||||||||
| American Water Works Co., Inc. | 16,080 | 1,997,618 | ||||||
| Wireless Telecommunication Services 0.1% | ||||||||
| T-Mobile U.S., Inc. (a) | 28,141 | 2,216,667 | ||||||
| Total Common Stocks (c) (Cost $866,862,369) | 2,197,569,150 | |||||||
| Short-Term Investments 4.6% | ||||||||
| Affiliated Investment Company 0.0% ‡ | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (d) | 419,464 | 419,464 | ||||||
| Total Affiliated Investment Company (Cost $419,464) | 419,464 |
| Principal Amount | ||||||||
| U.S. Government & Federal Agencies 2.4% | ||||||||
| United States Treasury Bills (g) | ||||||||
| 1.81%, due 1/9/20 | 400,000 | 397,998 | ||||||
| 1.823%, due 1/9/20 | $ | 700,000 | 696,497 | |||||
| 1.875%, due 1/9/20 | 1,800,000 | 1,790,993 | ||||||
| 1.876%, due 1/9/20 | 1,300,000 | 1,293,495 | ||||||
| 1.877%, due 10/3/19 (b) | 400,000 | 399,959 | ||||||
| 1.888%, due 1/9/20 | 200,000 | 198,999 | ||||||
| 1.91%, due 10/3/19 (b) | 1,900,000 | 1,899,801 | ||||||
| 1.911%, due 10/3/19 (b) | 400,000 | 399,958 | ||||||
| 1.921%, due 10/3/19 (b) | 1,700,000 | 1,699,822 | ||||||
| 1.937%, due 10/3/19 (b) | 3,700,000 | 3,699,608 | ||||||
| 1.947%, due 10/3/19 (b) | 1,200,000 | 1,199,872 | ||||||
| 1.968%, due 10/3/19 (b) | 300,000 | 299,968 | ||||||
| 1.983%, due 10/3/19 (b) | 1,900,000 | 1,899,794 | ||||||
| 1.986%, due 10/3/19 (b) | 200,000 | 199,978 | ||||||
| 1.991%, due 10/3/19 (b) | 700,000 | 699,924 | ||||||
| 1.993%, due 10/3/19 (b) | 100,000 | 99,989 | ||||||
| 2.026%, due 10/3/19 (b) | 900,000 | 899,900 | ||||||
| 2.03%, due 10/3/19 (b) | 500,000 | 499,945 | ||||||
| 2.037%, due 10/3/19 (b) | 900,000 | 899,900 | ||||||
| 2.05%, due 10/3/19 (b) | 500,000 | 499,944 | ||||||
| 2.051%, due 10/3/19 (b) | 100,000 | 99,989 | ||||||
| 2.052%, due 10/3/19 (b) | 500,000 | 499,944 | ||||||
| 2.072%, due 10/3/19 (b) | 500,000 | 499,944 | ||||||
| 2.093%, due 10/3/19 (b) | 200,000 | 199,977 | ||||||
| 2.099%, due 10/3/19 (b) | 400,000 | 399,954 | ||||||
| 2.105%, due 10/24/19 (e) | 4,000,000 | 3,994,723 | ||||||
| 2.109%, due 10/3/19 (b) | 900,000 | 899,896 | ||||||
| 2.116%, due 10/3/19 (b) | 300,000 | 299,965 | ||||||
| 2.125%, due 10/3/19 (b) | 500,000 | 499,942 | ||||||
| 2.13%, due 10/3/19 (b) | 500,000 | 499,942 | ||||||
| 2.146%, due 10/3/19 (b) | 1,100,000 | 1,099,871 | ||||||
| 2.164%, due 10/3/19 (b) | 400,000 | 399,953 | ||||||
| 2.176%, due 10/3/19 (b) | 400,000 | 399,953 | ||||||
| 2.178%, due 10/3/19 (b) | 500,000 | 499,941 | ||||||
| 2.212%, due 10/3/19 (b) | 24,300,000 | 24,297,070 | ||||||
| 2.235%, due 10/3/19 (b) | 300,000 | 299,963 | ||||||
| Total U.S. Government & Federal Agencies (Cost $54,567,070) | 54,567,371 | |||||||
| Shares | ||||||||
| Unaffiliated Investment Company 2.2% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio,2.07% (d)(f) | 48,577,655 | 48,577,655 | ||||||
| Total Unaffiliated Investment Company (Cost $48,577,655) | 48,577,655 | |||||||
| Total Short-Term Investments (Cost $103,564,189) | 103,564,490 | |||||||
| Total Investments (Cost $970,426,558) | 102.1 | % | 2,301,133,640 | |||||
| Other Assets, Less Liabilities | (2.1 | ) | (46,581,637 | ) | ||||
| Net Assets | 100.0 | % | $ | 2,254,552,003 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| ‡ | Less than one-tenth of a percent. |
| (a) | Non-income producing security. |
| (b) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $48,323,480; the total market value of collateral held by the Portfolio was $49,271,630. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $693,975. |
| (c) | The combined market value of common stocks and notional value of Standard & Poor's 500 Index futures contracts represents 99.9% of the Portfolio's net assets. |
| (d) | Current yield as of September 30, 2019. |
| (e) | Represents a security which was maintained at the broker as collateral for futures contracts. |
| (f) | Represents security purchased with cash collateral received for securities on loan. |
| (g) | Interest rate shown represents yield to maturity. |
As of September 30, 2019, the Portfolio held the following futures contracts:
| Type | Number of Contracts | Expiration Date | Value at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)1 | |||||||||||||
| Long Contracts | ||||||||||||||||||
| S&P 500 Index Mini | 369 | December 2019 | $ | 55,446,727 | $ | 54,953,325 | $ | (493,402 | ) | |||||||||
| 1. Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2019. |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets:
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | $ | 2,197,569,150 | $ | — | $ | — | $ | 2,197,569,150 | ||||||||
| Common Stocks | ||||||||||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 419,464 | — | — | 419,464 | ||||||||||||
| Unaffiliated Investment Company | 48,577,655 | — | — | 48,577,655 | ||||||||||||
| U.S. Government & Federal Agencies | — | 54,567,371 | — | 54,567,371 | ||||||||||||
| Total Short-Term Investments | 48,997,119 | 54,567,371 | — | 103,564,490 | ||||||||||||
| Total Investments in Securities | $ | 2,246,566,269 | $ | 54,567,371 | $ | — | $ | 2,301,133,640 | ||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Other Financial Instruments Futures Contracts (b) | $ | (493,402 | ) | $ | — | $ | — | $ | (493,402 | ) | ||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
| (b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP T. Rowe Price Equity Income Portfolio
Portfolio of Investments September 30, 2019 (Unaudited)
| Principal Amount | Value | |||||||
| Long-Term Bonds 0.4% † | ||||||||
| Convertible Bonds 0.2% | ||||||||
| Insurance 0.2% | ||||||||
| AXA S.A. 7.25%, due 5/15/21 (a) | $ | 1,495,000 | $ | 1,598,386 | ||||
| Total Convertible Bonds (Cost $1,495,246) | 1,598,386 | |||||||
| Corporate Bonds 0.2% | ||||||||
| Toys, Games & Hobbies 0.2% | ||||||||
| Mattel, Inc. 6.75%, due 12/31/25 (a) | 1,077,000 | 1,123,785 | ||||||
| Total Corporate Bonds (Cost $1,042,226) | 1,123,785 | |||||||
| Total Long-Term Bonds (Cost $2,537,472) | 2,722,171 | |||||||
| Shares | ||||||||
| Common Stocks 95.8% | ||||||||
| Aerospace & Defense 3.9% | ||||||||
| Boeing Co. | 36,273 | 13,800,788 | ||||||
| L3Harris Technologies, Inc. | 60,512 | 12,625,224 | ||||||
| United Technologies Corp. | 8,800 | 1,201,376 | ||||||
| 27,627,388 | ||||||||
| Air Freight & Logistics 1.5% | ||||||||
| United Parcel Service, Inc., Class B | 88,948 | 10,657,749 | ||||||
| Airlines 1.4% | ||||||||
| Alaska Air Group, Inc. | 83,659 | 5,430,306 | ||||||
| Delta Air Lines, Inc. | 49,516 | 2,852,121 | ||||||
| Southwest Airlines Co. | 33,400 | 1,803,934 | ||||||
| 10,086,361 | ||||||||
| Banks 11.3% | ||||||||
| Bank of America Corp. | 15,100 | 440,467 | ||||||
| Citigroup, Inc. | 68,554 | 4,735,710 | ||||||
| Fifth Third Bancorp | 342,778 | 9,385,262 | ||||||
| JPMorgan Chase & Co. | 188,749 | 22,213,870 | ||||||
| PNC Financial Services Group, Inc. | 53,284 | 7,468,285 | ||||||
| U.S. Bancorp | 153,419 | 8,490,208 | ||||||
| Wells Fargo & Co. | 523,480 | 26,404,331 | ||||||
| 79,138,133 | ||||||||
| Beverages 0.1% | ||||||||
| PepsiCo., Inc. | 6,341 | 869,351 | ||||||
| Biotechnology 1.5% | ||||||||
| AbbVie, Inc. | 47,000 | 3,558,840 | ||||||
| Gilead Sciences, Inc. | 111,617 | 7,074,285 | ||||||
| 10,633,125 | ||||||||
| Building Products 1.1% | ||||||||
| Johnson Controls International PLC | 169,866 | 7,455,419 | ||||||
| Capital Markets 4.1% | ||||||||
| Ameriprise Financial, Inc. | 2,100 | 308,910 | ||||||
| Bank of New York Mellon Corp. | 45,613 | 2,062,164 | ||||||
| Franklin Resources, Inc. | 137,395 | 3,965,220 | ||||||
| Morgan Stanley | 278,500 | 11,883,595 | ||||||
| Northern Trust Corp. | 22,631 | 2,111,925 | ||||||
| State Street Corp. | 146,423 | 8,666,777 | ||||||
| 28,998,591 | ||||||||
| Chemicals 3.4% | ||||||||
| Akzo Nobel N.V. | 11,276 | 1,005,222 | ||||||
| CF Industries Holdings, Inc. | 137,153 | 6,747,927 | ||||||
| Corteva, Inc. | 93,899 | 2,629,172 | ||||||
| Dow, Inc. | 108,666 | 5,177,935 | ||||||
| DuPont de Nemours, Inc. | 101,499 | 7,237,894 | ||||||
| PPG Industries, Inc. | 7,122 | 844,028 | ||||||
| 23,642,178 | ||||||||
| Commercial Services & Supplies 0.6% | ||||||||
| Stericycle, Inc. (b) | 80,500 | 4,099,865 | ||||||
| Communications Equipment 1.3% | ||||||||
| Cisco Systems, Inc. | 179,692 | 8,878,582 | ||||||
| Construction Materials 0.1% | ||||||||
| Vulcan Materials Co. | 3,500 | 529,340 | ||||||
| Containers & Packaging 0.8% | ||||||||
| International Paper Co. | 139,252 | 5,823,519 | ||||||
| Diversified Financial Services 0.3% | ||||||||
| AXA Equitable Holdings, Inc. | 86,000 | 1,905,760 | ||||||
| Diversified Telecommunication Services 2.8% | ||||||||
| AT&T, Inc. | 45,445 | 1,719,639 | ||||||
| CenturyLink, Inc. | 64,300 | 802,464 | ||||||
| Telefonica S.A. | 437,850 | 3,341,120 | ||||||
| Verizon Communications, Inc. | 231,177 | 13,953,844 | ||||||
| 19,817,067 | ||||||||
| Electric Utilities 5.6% | ||||||||
| Duke Energy Corp. | 9,182 | 880,187 | ||||||
| Edison International | 119,604 | 9,020,534 | ||||||
| Evergy, Inc. | 61,259 | 4,077,399 | ||||||
| NextEra Energy, Inc. | 30,661 | 7,143,706 | ||||||
| PG&E Corp. (b) | 110,809 | 1,108,090 | ||||||
| Southern Co. | 275,270 | 17,003,428 | ||||||
| 39,233,344 | ||||||||
| Electrical Equipment 0.8% | ||||||||
| Emerson Electric Co. | 58,207 | 3,891,720 | ||||||
| nVent Electric PLC | 73,398 | 1,617,692 | ||||||
| 5,509,412 | ||||||||
| Electronic Equipment, Instruments & Components 0.2% | ||||||||
| TE Connectivity, Ltd. | 14,061 | 1,310,204 | ||||||
| Entertainment 0.4% | ||||||||
| Walt Disney Co. | 24,028 | 3,131,329 | ||||||
| Equity Real Estate Investment Trusts 3.3% | ||||||||
| Equity Residential | 84,114 | 7,255,674 | ||||||
| Rayonier, Inc. | 145,643 | 4,107,133 | ||||||
| SL Green Realty Corp. | 48,619 | 3,974,603 | ||||||
| Weyerhaeuser Co. | 297,500 | 8,240,750 | ||||||
| 23,578,160 | ||||||||
| Food & Staples Retailing 0.8% | ||||||||
| Walmart, Inc. | 49,575 | 5,883,561 | ||||||
| Food Products 3.8% | ||||||||
| Bunge, Ltd. | 59,600 | 3,374,552 | ||||||
| Conagra Brands, Inc. | 286,365 | 8,785,678 | ||||||
| Kellogg Co. | 21,900 | 1,409,265 | ||||||
| Tyson Foods, Inc., Class A | 149,669 | 12,892,488 | ||||||
| 26,461,983 | ||||||||
| Health Care Equipment & Supplies 2.2% | ||||||||
| Becton Dickinson & Co. | 9,657 | 2,442,835 | ||||||
| Medtronic PLC | 97,245 | 10,562,752 | ||||||
| Zimmer Biomet Holdings, Inc. | 17,600 | 2,415,952 | ||||||
| 15,421,539 | ||||||||
| Health Care Providers & Services 2.6% | ||||||||
| Anthem, Inc. | 34,166 | 8,203,257 | ||||||
| CVS Health Corp. | 161,937 | 10,213,366 | ||||||
| 18,416,623 | ||||||||
| Hotels, Restaurants & Leisure 1.1% | ||||||||
| Las Vegas Sands Corp. | 110,840 | 6,402,118 | ||||||
| MGM Resorts International | 40,400 | 1,119,888 | ||||||
| 7,522,006 | ||||||||
| Household Products 1.7% | ||||||||
| Kimberly-Clark Corp. | 86,075 | 12,226,954 | ||||||
| Industrial Conglomerates 1.5% | ||||||||
| General Electric Co. | 1,157,600 | 10,348,944 | ||||||
| Insurance 7.0% | ||||||||
| American International Group, Inc. | 221,868 | 12,358,048 | ||||||
| Brighthouse Financial, Inc. (b) | 40,217 | 1,627,582 | ||||||
| Chubb, Ltd. | 84,310 | 13,611,006 | ||||||
| Loews Corp. | 119,453 | 6,149,440 | ||||||
| Marsh & McLennan Cos., Inc. | 25,674 | 2,568,684 | ||||||
| MetLife, Inc. | 190,930 | 9,004,259 | ||||||
| Willis Towers Watson PLC | 21,440 | 4,137,277 | ||||||
| 49,456,296 | ||||||||
| IT Services 0.5% | ||||||||
| Cognizant Technology Solutions Corp., Class A | 61,330 | 3,696,052 | ||||||
| Leisure Products 0.4% | ||||||||
| Mattel, Inc. (b)(c) | 255,154 | 2,906,204 | ||||||
| Machinery 0.7% | ||||||||
| Flowserve Corp. | 6,135 | 286,566 | ||||||
| PACCAR, Inc. | 29,500 | 2,065,295 | ||||||
| Snap-On, Inc. | 16,300 | 2,551,602 | ||||||
| 4,903,463 | ||||||||
| Media 3.1% | ||||||||
| Comcast Corp., Class A | 192,897 | 8,695,797 | ||||||
| Fox Corp., Class B (b) | 217,998 | 6,875,657 | ||||||
| News Corp., Class A | 429,891 | 5,984,082 | ||||||
| 21,555,536 | ||||||||
| Metals & Mining 0.2% | ||||||||
| Nucor Corp. | 26,300 | 1,338,933 | ||||||
| Multi-Utilities 1.9% | ||||||||
| NiSource, Inc. | 345,968 | 10,351,363 | ||||||
| Sempra Energy | 22,448 | 3,313,549 | ||||||
| 13,664,912 | ||||||||
| Multiline Retail 0.5% | ||||||||
| Kohl's Corp. | 68,600 | 3,406,676 | ||||||
| Oil, Gas & Consumable Fuels 8.9% | ||||||||
| Chevron Corp. | 34,343 | 4,073,080 | ||||||
| Equitrans Midstream Corp. | 46,476 | 676,226 | ||||||
| Exxon Mobil Corp. | 184,264 | 13,010,881 | ||||||
| Hess Corp. | 32,630 | 1,973,462 | ||||||
| Occidental Petroleum Corp. | 195,500 | 8,693,885 | ||||||
| Pioneer Natural Resources Co. | 28,900 | 3,634,753 | ||||||
| Targa Resources Corp. | 50,300 | 2,020,551 | ||||||
| TC Energy Corp. | 250,605 | 12,978,833 | ||||||
| Total S.A. | 302,188 | 15,771,878 | ||||||
| 62,833,549 | ||||||||
| Pharmaceuticals 5.5% | ||||||||
| Allergan PLC | 34,000 | 5,721,860 | ||||||
| Bristol-Myers Squibb Co. | 99,800 | 5,060,858 | ||||||
| GlaxoSmithKline PLC | 139,039 | 2,982,487 | ||||||
| Johnson & Johnson | 107,322 | 13,885,320 | ||||||
| Pfizer, Inc. | 298,576 | 10,727,836 | ||||||
| 38,378,361 | ||||||||
| Professional Services 0.8% | ||||||||
| Nielsen Holdings PLC | 253,392 | 5,384,580 | ||||||
| Semiconductors & Semiconductor Equipment 4.1% | ||||||||
| Applied Materials, Inc. | 93,400 | 4,660,660 | ||||||
| NXP Semiconductors N.V. | 14,900 | 1,625,888 | ||||||
| QUALCOMM, Inc. | 214,311 | 16,347,643 | ||||||
| Texas Instruments, Inc. | 49,855 | 6,443,260 | ||||||
| 29,077,451 | ||||||||
| Software 1.6% | ||||||||
| Microsoft Corp. | 81,962 | 11,395,177 | ||||||
| Specialty Retail 0.3% | ||||||||
| L Brands, Inc. | 91,820 | 1,798,754 | ||||||
| Technology Hardware, Storage & Peripherals 0.3% | ||||||||
| Hewlett Packard Enterprise Co. | 42,200 | 640,174 | ||||||
| Western Digital Corp. | 24,405 | 1,455,514 | ||||||
| 2,095,688 | ||||||||
| Tobacco 1.6% | ||||||||
| Philip Morris International, Inc. | 149,247 | 11,332,325 | ||||||
| Water Utilities 0.2% | ||||||||
| Aqua America, Inc. | 19,414 | 1,176,488 | ||||||
| Total Common Stocks (Cost $579,504,796) | 673,606,932 | |||||||
| Convertible Preferred Stocks 2.0% | ||||||||
| Electric Utilities 0.4% | ||||||||
| Southern Co. 6.75% | 56,931 | 3,046,378 | ||||||
| Health Care Equipment & Supplies 0.8% | ||||||||
| Becton Dickinson & Co. 6.125% | 95,004 | 5,881,698 | ||||||
| Multi-Utilities 0.8% | ||||||||
| Sempra Energy | ||||||||
| 6.00% | 33,680 | 3,980,976 | ||||||
| 6.75% | 10,478 | 1,232,841 | ||||||
| 5,213,817 | ||||||||
| Total Convertible Preferred Stocks (Cost $12,059,173) | 14,141,893 | |||||||
| Short-Term Investments 1.1% | ||||||||
| Affiliated Investment Company 0.8% | ||||||||
| MainStay U.S. Government Liquidity Fund, 1.81% (d) | 5,405,279 | 5,405,279 | ||||||
| Unaffiliated Investment Company 0.3% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 2.07% (d)(e) | 1,774,818 | 1,774,818 | ||||||
| Total Short-Term Investments (Cost $7,180,097) | 7,180,097 | |||||||
| Total Investments (Cost $601,281,538) | 99.3 | % | 697,651,093 | |||||
| Other Assets, Less Liabilities | 0.7 | 5,225,835 | ||||||
| Net Assets | 100.0 | % | $ | 702,876,928 | ||||
| † | Percentages indicated are based on Portfolio net assets. |
| (a) | May be sold to institutional investors only under Rule 144A or securities offered pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. |
| (b) | Non-income producing security. |
| (c) | All or a portion of this security was held on loan. As of September 30, 2019, the aggregate market value of securities on loan was $2,863,870; the total market value of collateral held by the Portfolio was $2,917,975. The market value of the collateral held included non-cash collateral in the form of U.S. Treasury securities with a value of $1,143,157. |
| (d) | Current yield as of September 30, 2019. |
| (e) | Represents security purchased with cash collateral received for securities on loan. |
As of September 30, 2019, the Portfolio held the following futures contracts1:
| Type | Number
of Contracts | Expiration Date | Value
at Trade Date | Current Notional Amount | Unrealized Appreciation (Depreciation)2 | |||||||||||||
| Long Contracts | ||||||||||||||||||
| Standard & Poor’s 500 Index Mini | 6 | December 2019 | $ | 902,244 | $ | 893,550 | $ | (8,694 | ) | |||||||||
| 1. As of September 30, 2019, cash in the amount of $37,800 was on deposit with a broker or futures commission merchant for futures transactions. |
| 2. Represents the difference between the value of the contracts at the time they were opened and the value as of September 30, 2019. |
| The following is a summary of the fair valuations according to the inputs used as of September 30, 2019, for valuing the Portfolio's assets: |
| Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
| Asset Valuation Inputs | ||||||||||||||||
| Investments in Securities (a) | ||||||||||||||||
| Long-Term Bonds | ||||||||||||||||
| Convertible Bonds | $ | — | $ | 1,598,386 | $ | — | $ | 1,598,386 | ||||||||
| Corporate Bonds | — | 1,123,785 | — | 1,123,785 | ||||||||||||
| Total Long-Term Bonds | — | 2,722,171 | — | 2,722,171 | ||||||||||||
| Common Stocks | 673,606,932 | — | — | 673,606,932 | ||||||||||||
| Convertible Preferred Stocks | 14,141,893 | — | — | 14,141,893 | ||||||||||||
| Short-Term Investments | ||||||||||||||||
| Affiliated Investment Company | 5,405,279 | — | — | 5,405,279 | ||||||||||||
| Unaffiliated Investment Company | 1,774,818 | — | — | 1,774,818 | ||||||||||||
| Total Short-Term Investments | 7,180,097 | — | — | 7,180,097 | ||||||||||||
| Total Investments in Securities | $ | 694,928,922 | $ | 2,722,171 | $ | — | $ | 697,651,093 | ||||||||
| Liability Valuation Inputs | ||||||||||||||||
| Other Financial Instruments Futures Contracts (b) | $ | (8,694 | ) | $ | — | $ | — | $ | (8,694 | ) | ||||||
| (a) | For a complete listing of investments and their industries, see the Portfolio of Investments. |
| (b) | The value listed for these securities reflects unrealized appreciation (depreciation) as shown on the Portfolio of Investments. |
MainStay VP Funds Trust
NOTES TO PORTFOLIOS OF INVESTMENTS September 30, 2019 (Unaudited)
SECURITIES VALUATION.
Investments are usually valued as of the close of regular trading on the New York Stock Exchange (the "Exchange") (generally 4:00 p.m. Eastern time) on each day the Portfolios are open for business ("valuation date").
The Board of Trustees (the "Board") of MainStay VP Funds Trust (the “Fund”) adopted procedures establishing methodologies for the valuation of each Portfolio's securities and other assets and delegated the responsibility for valuation determinations under those procedures to the Valuation Committee of the Fund (the "Valuation Committee"). The Board authorized the Valuation Committee to appoint a Valuation Subcommittee (the "Subcommittee") to deal in the first instance with establishing the prices of securities for which market quotations are not readily available or the prices of which are not otherwise readily determinable under these procedures. The Subcommittee meets (in person, via electronic mail or via teleconference) on an as-needed basis. Subsequently, the Valuation Committee meets to ensure that actions taken by the Subcommittee were appropriate. The procedures state that, subject to the oversight of the Board and unless otherwise noted, the responsibility for the day-to-day valuation of portfolio assets (including fair value measurements for the Portfolios' assets and liabilities) rests with New York Life Investment Management LLC ("New York Life Investments" or the "Manager"), aided to whatever extent necessary by the Subadvisor(s) to each Portfolio.
To assess the appropriateness of security valuations, the Manager, the Subadvisor(s) or the Portfolios' third-party service provider, who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities and the sale prices to the prior and current day prices and challenges prices with changes exceeding certain tolerance levels with third-party pricing services or broker sources. For those securities valued through either a standardized fair valuation methodology or a fair valuation measurement, the Subcommittee deals in the first instance with such valuation and the Valuation Committee reviews and affirms, if appropriate, the reasonableness of the valuation based on such methodologies and measurements on a regular basis after considering information that is reasonably available and deemed relevant by the Valuation Committee. Any action taken by the Subcommittee with respect to the valuation of a portfolio security or other asset is submitted for review and ratification (if appropriate) to the Valuation Committee and the Board at the next regularly scheduled meeting.
“Fair value” is defined as the price that a Portfolio would reasonably expect to receive upon selling an asset or liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the asset or liability. Fair value measurements are determined within a framework that establishes a three-tier hierarchy which maximizes the use of observable market data and minimizes the use of unobservable inputs to establish a classification of fair value measurements for disclosure purposes. “Inputs” refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, such as the risk inherent in a particular valuation technique used to measure fair value using a pricing model and/or the risk inherent in the inputs for the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of each Portfolio. Unobservable inputs reflect each Portfolio's own assumptions about the assumptions market participants would use in pricing the asset or liability based on the information available. The inputs or methodology used for valuing assets or liabilities may not be an indication of the risks associated with investing in those assets or liabilities. The three-tier hierarchy of inputs is summarized below.
• Level 1—quoted prices in active markets for an identical asset or liability
• Level 2—other significant observable inputs (including quoted prices for a similar asset or liability in active markets, interest rates and yield curves, prepayment speeds, credit risk, etc.)
• Level 3—significant unobservable inputs (including each Portfolio's own assumptions about the assumptions that market participants would use in measuring fair value of an asset or liability)
The level of an asset or liability within the fair value hierarchy is based on the lowest level of an input, both individually and in the aggregate, that is significant to the fair value measurement. As of September 30, 2019, the aggregate value by input level of each Portfolio's assets and liabilities is included at the end of each Portfolio's respective Portfolio of Investments or Consolidated Portfolio of Investments.
The Portfolios may use third-party vendor evaluations, whose prices may be derived from one or more of the following standard inputs, among others:
| • Benchmark yields | • Reported trades |
| • Broker/dealer quotes | • Issuer spreads |
| • Two-sided markets | • Benchmark securities |
| • Bids/offers | • Reference data (corporate actions or material event notices) |
| • Industry and economic events | • Comparable bonds |
| • Equity and credit default swap curves | • Monthly payment information |
An asset or liability for which market values cannot be measured using the methodologies described above is valued by methods deemed reasonable in good faith by the Valuation Committee, following the procedures established by the Board, to represent fair value. Under these procedures, the Portfolios generally use a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information. The Portfolios may also use an income-based valuation approach in which the anticipated future cash flows of the asset or liability are discounted to calculate fair value. Discounts may also be applied due to the nature and/or duration of any restrictions on the disposition of the asset or liability. Fair value represents a good faith approximation of the value of a security. Fair value determinations involve the consideration of a number of subjective factors, an analysis of applicable facts and circumstances and the exercise of judgment. As a result, it is possible that the fair value for a security determined in good faith in accordance with the Portfolios’ valuation procedures may differ from valuations for the same security determined by other funds using their own valuation procedures. Although the Portfolios’ valuation procedures are designed to value a security at the price a Portfolio may reasonably expect to receive upon the security's sale in an orderly transaction, there can be no assurance that any fair value determination thereunder would, in fact, approximate the amount that a Portfolio would actually realize upon the sale of the security or the price at which the security would trade if a reliable market price were readily available. During the period ended September 30, 2019, there were no material changes to the fair value methodologies.
Securities which may be valued in this manner include, but are not limited to: (i) a security for which trading has been halted or suspended; (ii) a debt security that has recently gone into default and for which there is not a current market quotation; (iii) a security of an issuer that has entered into a restructuring; (iv) a security that has been de-listed from a national exchange; (v) a security for which the market price is not readily available from a third-party pricing source or, if so provided, does not, in the opinion of the Manager or the Subadvisor(s) reflect the security’s market value; (vi) a security subject to trading collars for which no or limited trading takes place; and (vii) a security whose principal market has been temporarily closed at a time when, under normal conditions, it would be open. Securities valued in this manner are generally categorized as Level 3 in the hierarchy. As of September 30, 2019, securities that were fair valued in such a manner are shown in the Portfolio of Investments.
Certain securities held by certain Portfolios may principally trade in foreign markets. Events may occur between the time the foreign markets close and the time at which each of the Portfolios' net asset values ("NAVs") are calculated. These events may include, but are not limited to, situations relating to a single issuer in a market sector, significant fluctuations in U.S. or foreign markets, natural disasters, armed conflicts, governmental actions or other developments not tied directly to the securities markets. Should the Manager or the Subadvisor(s) conclude that such events may have affected the accuracy of the last price of such securities reported on the local foreign market, the Subcommittee may, pursuant to procedures adopted by the Board, adjust the value of the local price to reflect the estimated impact on the price of such securities as a result of such events. In this instance, securities are generally categorized as Level 3 in the hierarchy. Additionally, certain foreign equity securities are also fair valued whenever the movement of a particular index exceeds certain thresholds. In such cases, the securities are fair valued by applying factors provided by a third-party vendor in accordance with valuation procedures adopted by the Board and are generally categorized as Level 2 in the hierarchy. As of September 30, 2019, no foreign equity securities held by the Portfolios were fair valued in such a manner.
Investments in Underlying Portfolios/Funds are valued at their respective NAVs at the close of business each day. Securities held by the Underlying Portfolios/Funds are valued using policies consistent with those used by the Underlying Portfolios/Funds, as described in the paragraphs below. These securities are generally categorized as Level 1 in the hierarchy.
Equity securities, rights, warrants and shares of Exchange-Traded Funds are valued at the last quoted sales prices as of the close of regular trading on the relevant exchange on each valuation date. Securities that are not traded on the valuation date are valued at the mean of the last quoted bid and ask prices. Prices are normally taken from the principal market in which each security trades. Futures contracts are valued at the last posted settlement price on the market where such futures are primarily traded. Options contracts are valued at the last posted settlement price on the market where such options are primarily traded. Investments in mutual funds, including money market funds, are valued at their respective NAVs as of the close of the Exchange on the valuation date. These securities are generally categorized as Level 1 in the hierarchy.
Debt securities (other than convertible and municipal bonds) are valued at the evaluated bid prices (evaluated mean prices in the case of convertible and municipal bonds) supplied by a pricing agent or brokers selected by the Manager, in consultation with the Subadvisor(s). The evaluations are market-based measurements processed through a pricing application and represents the pricing agent’s good faith determination as to what a holder may receive in an orderly transaction under market conditions. The rules based logic utilizes valuation techniques that reflect participants’ assumptions and vary by asset class and per methodology, maximizing the use of relevant observable data including quoted prices for similar assets, benchmark yield curves and market corroborated inputs. The evaluated bid or mean prices are deemed by the Manager, in consultation with the Subadvisor(s) to be representative of market values at the regular close of trading of the Exchange on each valuation date. Debt securities purchased on a delayed delivery basis are marked to market daily until settlement at the forward settlement date. Debt securities, including corporate bonds, U.S. government & federal agency bonds, municipal bonds, foreign bonds, convertible bonds, asset-backed securities and mortgage-backed securities are generally categorized as Level 2 in the hierarchy.
Foreign currency forward contracts are valued at their fair market values measured on the basis of the mean between the last current bid and ask prices based on dealer or exchange quotations and are generally categorized as Level 2 in the hierarchy.
Swaps are marked to market daily based upon quotations from pricing agents, brokers, or market makers. These securities are generally categorized as Level 2 in the hierarchy.
Total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, are based on a notional principal amount. To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked to market daily based upon quotations from market makers and these securities are generally categorized as Level 2 in the hierarchy.
Loan assignments, participations and commitments are valued at the average of bid quotations obtained from the engaged independent pricing service and are generally categorized as Level 2 in the hierarchy. Certain loan assignments, participations and commitments may be valued by utilizing significant unobservable inputs obtained from the pricing service and are generally categorized as Level 3 in the hierarchy.
Unfunded commitments represent the remaining obligation of the Portfolio to the borrower. At any point in time, up to the maturity date of the issue, the borrower may demand the unfunded portion. Unfunded amounts, if any, are marked to market.
Temporary cash investments acquired in excess of 60 days to maturity at the time of purchase are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities and ratings), both as furnished by independent pricing services. Other temporary cash investments which mature in 60 days or less at the time of purchase are valued using the amortized cost method of valuation, unless the use of such method would be inappropriate. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of the difference between such cost and the value on maturity date. Amortized cost approximates the current fair value of a security. Securities valued at amortized cost are not valued using quoted prices in an active market and are generally categorized as Level 2 in the hierarchy.
The information above is not intended to reflect an exhaustive list of the methodologies that may be used to value portfolio investments. The valuation procedures permit the use of a variety of valuation methodologies in connection with valuing portfolio investments. The methodology used for a specific type of investment may vary based on the market data available or other considerations. The methodologies summarized above may not represent the specific means by which portfolio investments are valued on any particular business day.
The valuation techniques and significant amounts of unobservable inputs used in the fair valuation measurement of the Portfolio's Level 3 securities are outlined in the table below. A significant increase or decrease in any of those inputs in isolation would result in a significantly higher or lower fair value measurement at period end.
MainStay VP MacKay High Yield Corporate Bond Fund
| Asset Class | Fair Value at 9/30/19* | Valuation Technique | Unobservable Inputs | Inputs/Range | ||||||
| Convertible Bonds | $ | 8,008,074 | Income Approach | Spread Adjustment | 12.00% | |||||
| Corporate Bonds | 37,313,938 | Income Approach | Spread Adjustment | 1.18% - 6.03% | ||||||
| 3,562,995 | Market Approach | Asset Coverage at $50 Crude, $3.00 Natural Gas | $0.95 | |||||||
| PIK Discount Spread | 3.00% | |||||||||
| Common Stocks | 2,042,976 | Market Approach | Estimated Enterprise Value | $848.1m - $974.0m | ||||||
| Estimated Volatility | 25.00% | |||||||||
| 267,465 | Market Approach | Asset Coverage at $50 Crude, $3.00 Natural Gas, Implied Equity Value | $13.30M | |||||||
| Liquidity Discount | 25.00% | |||||||||
| 287,571 | Market Approach | EBITDA Multiple | 6.00x | |||||||
| 3,169,694 | Market Approach | EBITDA Multiple | 5.75x | |||||||
| Discount Rate | 10.00% | |||||||||
| 0 | Qualitative Assessment | $0.00 | ||||||||
| $ | 54,652,713 | |||||||||
* The table above does not include a Level 3 investment that was valued by a broker without adjustment. As of September 30, 2019, the value of this investment was $7,367,500. The input for this investment was not readily available or cannot be reasonably estimated.
A portfolio security or other asset may be determined to be illiquid under procedures approved by the Board. Illiquidity of a security might prevent the sale of such security at a time when the Manager or the Subadvisor(s) might wish to sell, and these securities could have the effect of decreasing the overall level of a Portfolio’s liquidity. Further, the lack of an established secondary market may make it more difficult to value illiquid securities, requiring a Portfolio to rely on judgments that may be somewhat subjective in measuring value, which could vary materially from the amount that a Portfolio could realize upon disposition. Difficulty in selling illiquid securities may result in a loss or may be costly to a Portfolio. Under the supervision of the Board, the Manager or the Subadvisor(s) determine the liquidity of a Portfolio’s investments; in doing so, the Manager or the Subadvisor(s) may consider various factors, including: (i) the frequency of trades and quotations, (ii) the number of dealers and prospective purchasers, (iii) dealer undertakings to make a market, and (iv) the nature of the security and the market in which it trades (e.g., the time needed to dispose of the security, the method of soliciting offers and the mechanics of transfer). Illiquid securities often valued in accordance with methods deemed reasonable in good faith in such a manner as the Board deems appropriate to reflect their fair value. The liquidity of each Portfolio’s investments, as shown in their respective accompanying Portfolio of Investments was determined as of September 30, 2019 and can change at any time in response to, among other relevant factors, market conditions or events or developments with respect to an individual issuer or instrument. As of September 30, 2019, securities deemed to be illiquid under procedures approved by the Board are shown in the Portfolio of Investments.
Investments in Affiliates (in 000s). During the period ended September 30, 2019, purchases and sales transactions, income earned from investments and shares held of investment companies managed by New York Life investments or its affiliates were as follows:
MainStay VP Conservative Allocation Portfolio
Affiliated
Investment | Value,
Beginning | Purchases
| Proceeds
| Net
Realized Gain/(Loss) | Change
in Unrealized | Value,
End | Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| IQ 50 Percent Hedged FTSE International ETF | $ | 25,399 | $ | 88 | $ | (22,067 | ) | $ | (1,813 | ) | $ | 4,484 | $ | 6,091 | $ | 393 | $ | — | 299 | |||||||||||||||||
| IQ 500 International ETF | 1,531 | 7,113 | (7,270 | ) | 125 | (1 | ) | 1,498 | 71 | — | 56 | |||||||||||||||||||||||||
| IQ Chaikin U.S. Large Cap ETF | 30,169 | 11,761 | (40,438 | ) | 183 | 3,801 | 5,476 | 183 | — | 220 | ||||||||||||||||||||||||||
| IQ Chaikin U.S. Small Cap ETF | 10,379 | 331 | (2,278 | ) | (279 | ) | 1,652 | 9,805 | 120 | — | 389 | |||||||||||||||||||||||||
| IQ Enhanced Core Plus Bond U.S. ETF | 21,369 | 4,774 | (18,003 | ) | (214 | ) | 1,032 | 8,958 | 376 | — | 455 | |||||||||||||||||||||||||
| IQ Global Resources ETF | 6,396 | 27 | (683 | ) | 30 | 303 | 6,073 | — | — | 229 | ||||||||||||||||||||||||||
| IQ S&P High Yield Low Volatility Bond ETF | 8,548 | 57 | (407 | ) | (15 | ) | 752 | 8,935 | 275 | — | 353 | |||||||||||||||||||||||||
| MainStay Cushing MLP Premier Fund Class I | 4,813 | 810 | (6,362 | ) | 140 | 599 | — | 119 | — | — | ||||||||||||||||||||||||||
| MainStay Epoch Capital Growth Fund Class I | 6,923 | 135 | (903 | ) | 166 | 1,199 | 7,520 | — | — | 586 | ||||||||||||||||||||||||||
| MainStay Epoch Global Choice Fund Class I(b) | 8,314 | — | (8,753 | ) | (755 | ) | 1,194 | — | — | — | — | |||||||||||||||||||||||||
| MainStay Epoch International Choice Fund Class I | 16,403 | 60 | (4,920 | ) | 114 | 1,733 | 13,390 | — | — | 389 | ||||||||||||||||||||||||||
| MainStay Epoch U.S. All Cap Fund Class R6 | 11,653 | 2,071 | (2,557 | ) | 212 | 2,484 | 13,863 | — | — | 485 | ||||||||||||||||||||||||||
| MainStay Epoch U.S. Equity Yield Fund Class R6 | 860 | 10 | (969 | ) | 24 | 75 | — | 10 | — | — | ||||||||||||||||||||||||||
| MainStay MacKay High Yield Municipal Bond Fund Class I | 11,989 | 406 | (702 | ) | 15 | 606 | 12,314 | 351 | — | 945 | ||||||||||||||||||||||||||
| MainStay MacKay Infrastructure Bond Fund | — | 8,177 | (8 | ) | 0 | (a) | 9 | 8,178 | 31 | — | 930 | |||||||||||||||||||||||||
| MainStay MacKay International Opportunities Fund Class I | 13,950 | 76 | (7,133 | ) | (1,752 | ) | 2,841 | 7,982 | — | — | 1,050 | |||||||||||||||||||||||||
| MainStay MacKay Short Duration High Yield Fund Class I | 15,786 | 47,587 | (1,700 | ) | 4 | 540 | 62,217 | 1,138 | — | 6,317 | ||||||||||||||||||||||||||
| MainStay MacKay Short Term Municipal Fund Class I | 9,836 | 3,056 | (1,917 | ) | 21 | 66 | 11,062 | 148 | — | 1,150 | ||||||||||||||||||||||||||
| MainStay MacKay Total Return Bond Fund Class R6 | 0 | (a) | 0 | (a) | (0 | )(a) | — | 0 | (a) | — | 0 | (a) | — | — | ||||||||||||||||||||||
| MainStay MacKay U.S. Equity Opportunities Fund Class I | 11,991 | 375 | (2,172 | ) | (67 | ) | 1,778 | 11,905 | — | — | 1,399 | |||||||||||||||||||||||||
| MainStay MAP Equity Fund Class I | 12,621 | 8,689 | (3,887 | ) | 399 | 2,699 | 20,521 | — | — | 481 | ||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | — | 114,210 | (96,946 | ) | — | — | 17,264 | 385 | — | 17,264 | ||||||||||||||||||||||||||
| MainStay VP Bond Portfolio Initial Class | 16,614 | 30,177 | (3,691 | ) | 130 | 2,753 | 45,983 | — | — | 3,076 | ||||||||||||||||||||||||||
| MainStay VP Cushing Renaissance Advantage Portfolio Initial Class | 13,919 | 2,256 | (18,011 | ) | (1,076 | ) | 2,912 | — | — | — | — | |||||||||||||||||||||||||
| MainStay VP Eagle Small Cap Growth Portfolio Initial Class | 9,899 | 208 | (2,117 | ) | 439 | 935 | 9,364 | — | — | 677 | ||||||||||||||||||||||||||
| MainStay VP Emerging Markets Equity Portfolio Initial Class | 34,558 | 323 | (17,772 | ) | 243 | 2,419 | 19,771 | — | — | 2,302 | ||||||||||||||||||||||||||
| MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class | 13,529 | 2,458 | (2,049 | ) | 182 | 2,463 | 16,583 | — | — | 997 | ||||||||||||||||||||||||||
| MainStay VP Epoch U.S. Small Cap Portfolio Initial Class(c) | 13,871 | 1,949 | (17,791 | ) | 92 | 1,879 | — | 1,830 | 1,708 | — | ||||||||||||||||||||||||||
| MainStay VP Floating Rate Portfolio Initial Class | 36,304 | 9,365 | (6,760 | ) | (170 | ) | 1,141 | 39,880 | 1,571 | — | 4,490 | |||||||||||||||||||||||||
| MainStay VP Indexed Bond Portfolio Initial Class | 237,874 | 35,846 | (63,620 | ) | 714 | 16,832 | 227,646 | — | — | 21,445 | ||||||||||||||||||||||||||
| MainStay VP Large Cap Growth Portfolio Initial Class | 7,988 | 10,541 | (2,177 | ) | 579 | 1,524 | 18,455 | — | — | 697 | ||||||||||||||||||||||||||
| MainStay VP MacKay Common Stock Portfolio Initial Class | 4,184 | 5,213 | (1,092 | ) | (34 | ) | 973 | 9,244 | — | — | 315 | |||||||||||||||||||||||||
| MainStay VP MacKay Convertible Portfolio Initial Class | 7,269 | 72 | (503 | ) | 43 | 915 | 7,796 | 60 | — | 559 | ||||||||||||||||||||||||||
| MainStay VP MacKay Growth Portfolio Initial Class | 7,209 | 8,556 | (2,126 | ) | 498 | 1,350 | 15,487 | — | — | 470 | ||||||||||||||||||||||||||
| MainStay VP MacKay High Yield Corporate Bond Portfolio Initial Class | 12,850 | 42 | (14,183 | ) | 1,191 | 100 | — | — | — | — | ||||||||||||||||||||||||||
| MainStay VP MacKay International Equity Portfolio Initial Class | 73 | 2,649 | (276 | ) | 22 | 239 | 2,707 | — | — | 160 | ||||||||||||||||||||||||||
| MainStay VP MacKay Mid Cap Core Portfolio Initial Class | 21,931 | 242 | (5,356 | ) | 249 | 3,285 | 20,351 | — | — | 1,462 | ||||||||||||||||||||||||||
| MainStay VP MacKay S&P 500 Index Portfolio Initial Class | 3,054 | 1 | (561 | ) | (1 | ) | 587 | 3,080 | — | — | 53 | |||||||||||||||||||||||||
| MainStay VP MacKay Small Cap Core Portfolio Initial Class | 11,841 | 17,066 | (7,594 | ) | (251 | ) | (924 | ) | 20,138 | — | — | 1,891 | ||||||||||||||||||||||||
| MainStay VP MacKay Unconstrained Bond Portfolio Initial Class | 14,943 | 305 | (7,840 | ) | (34 | ) | 525 | 7,899 | 296 | — | 794 | |||||||||||||||||||||||||
| MainStay VP PIMCO Real Return Portfolio Initial Class | 7,434 | 21 | (372 | ) | (21 | ) | 566 | 7,628 | — | — | 867 | |||||||||||||||||||||||||
| MainStay VP T. Rowe Price Equity Income Portfolio Initial Class | 21,730 | 1,194 | (4,260 | ) | 189 | 3,649 | 22,502 | — | — | 1,671 | ||||||||||||||||||||||||||
| $ | 726,004 | $ | 338,297 | $ | (408,226 | ) | $ | (478 | ) | $ | 71,969 | $ | 727,566 | $ | 7,357 | $ | 1,708 | |||||||||||||||||||
MainStay VP Cushing Renaissance Advantage Portfolio
Affiliated
Investment | Value,
Beginning | Purchases
| Proceeds
| Net
Realized Gain/(Loss) | Change
in Unrealized | Value,
End | Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 7,333 | $ | 121,070 | $ | (124,644 | ) | $ | — | $ | — | $ | 3,759 | $ | 82 | $ | — | 3,759 | ||||||||||||||||||
MainStay VP Eagle Small Cap Growth Portfolio
Affiliated
Investment | Value,
Beginning | Purchases
| Proceeds | Net
Realized Gain/(Loss) | Change
in Unrealized | Value,
End | Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 11,324 | $ | 110,471 | $ | (109,767 | ) | $ | — | $ | — | $ | 12,028 | $ | 163 | $ | — | 12,028 | ||||||||||||||||||
MainStay VP Emerging Markets Equity Portfolio
Affiliated
Investment | Value,
Beginning | Purchases
| Proceeds
| Net
Realized Gain/(Loss) | Change
in Unrealized | Value,
End | Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 1,319 | $ | 32,397 | $ | (30,310 | ) | $ | — | $ | — | $ | 3,406 | $ | 29 | $ | — | 3,406 | ||||||||||||||||||
MainStay VP Epoch U.S. Equity Yield Portfolio
| Affiliated
Investment Company | Value,
Beginning of Period | Purchases at Cost | Proceeds
from Sales | Net
Realized Gain/(Loss) on Sales | Change
in Unrealized Appreciation/ (Depreciation) | Value,
End of Period | Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 17,828 | $ | 138,173 | $ | (133,058 | ) | $ | — | $ | — | $ | 22,943 | $ | 332 | $ | — | 22,943 | ||||||||||||||||||
MainStay VP Fidelity Institutional AM® Utilities Portfolio
Affiliated
Investment | Value,
Beginning | Purchases
| Proceeds
| Net
Realized Gain/(Loss) | Change
in Unrealized | Value,
End | Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 3,972 | $ | 250,003 | $ | (251,316 | ) | $ | — | $ | — | $ | 2,659 | $ | 165 | $ | — | 2,659 | ||||||||||||||||||
MainStay VP Floating Rate Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases at Cost |
Proceeds from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay
MacKay High Yield Corporate Bond Fund Class I |
$ | 2,628 | $ | — | $ | (14 | ) | $ | — | $ | 151 | $ | 2,765 | $ | 123 | $ | — | 492 |
MainStay VP Growth Allocation Portfolio
Affiliated
Investment | Value,
Beginning | Purchases
| Proceeds
| Net
Realized Gain/(Loss) | Change
in Unrealized | Value,
End | Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| IQ 50 Percent Hedged FTSE International ETF | $ | 37,974 | $ | — | $ | (20,197 | ) | $ | (1,544 | ) | $ | 5,517 | $ | 21,750 | $ | 853 | $ | — | 1,069 | |||||||||||||||||
| IQ 500 International ETF | 50 | 49,185 | (12,861 | ) | 491 | 193 | 37,058 | 699 | — | 1,388 | ||||||||||||||||||||||||||
| IQ Chaikin U.S. Large Cap ETF | 34,408 | 24,063 | (18,404 | ) | (754 | ) | 7,493 | 46,806 | 888 | — | 1,877 | |||||||||||||||||||||||||
| IQ Chaikin U.S. Small Cap ETF | 28,911 | 580 | (18,528 | ) | (88 | ) | 3,861 | 14,736 | 287 | — | 584 | |||||||||||||||||||||||||
| IQ Global Resources ETF | 20,457 | 124 | (5,403 | ) | 249 | 913 | 16,340 | — | — | 616 | ||||||||||||||||||||||||||
| MainStay Cushing MLP Premier Fund Class I | 6,710 | 224 | (7,855 | ) | (261 | ) | 1,182 | — | 224 | — | — | |||||||||||||||||||||||||
| MainStay Epoch Capital Growth Fund Class I | 8,619 | 696 | (595 | ) | 101 | 1,592 | 10,413 | — | — | 812 | ||||||||||||||||||||||||||
| MainStay Epoch Global Choice Fund Class I(b) | 13,172 | — | (13,895 | ) | (1,414 | ) | 2,137 | — | — | — | — | |||||||||||||||||||||||||
| MainStay Epoch International Choice Fund Class I | 60,487 | 387 | (11,112 | ) | (543 | ) | 7,663 | 56,882 | — | — | 1,658 | |||||||||||||||||||||||||
| MainStay Epoch U.S. All Cap Fund Class R6 | 68,629 | 364 | (12,797 | ) | (352 | ) | 15,176 | 71,020 | — | — | 2,487 | |||||||||||||||||||||||||
| MainStay Epoch U.S. Equity Yield Fund Class R6 | 561 | 4 | (631 | ) | 21 | 45 | — | 4 | — | — | ||||||||||||||||||||||||||
| MainStay MacKay International Opportunities Fund Class I | 59,629 | 47 | (24,501 | ) | (2,388 | ) | 7,299 | 40,086 | — | — | 5,274 | |||||||||||||||||||||||||
| MainStay MacKay U.S. Equity Opportunities Fund Class I | 49,595 | 586 | (26,933 | ) | (17 | ) | 7,326 | 30,557 | — | — | 3,591 | |||||||||||||||||||||||||
| MainStay MAP Equity Fund Class I | 58,443 | 11,114 | (5,554 | ) | (517 | ) | 13,053 | 76,539 | — | — | 1,795 | |||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | 3,010 | 59,124 | (19,199 | ) | — | — | 42,935 | 251 | — | 42,935 | ||||||||||||||||||||||||||
| MainStay VP Cushing Renaissance Advantage Portfolio Initial Class | 18,574 | — | (20,457 | ) | (1,584 | ) | 3,467 | — | — | — | — | |||||||||||||||||||||||||
| MainStay VP Eagle Small Cap Growth Portfolio Initial Class | 28,490 | 23,692 | (3,692 | ) | 224 | 2,638 | 51,352 | — | — | 3,711 | ||||||||||||||||||||||||||
| MainStay VP Emerging Markets Equity Portfolio Initial Class | 79,111 | 862 | (29,158 | ) | 5,331 | 1,041 | 57,187 | — | — | 6,659 | ||||||||||||||||||||||||||
| MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class | 62,098 | 12,381 | (5,730 | ) | 480 | 10,992 | 80,221 | — | — | 4,823 | ||||||||||||||||||||||||||
| MainStay VP Epoch U.S. Small Cap Portfolio Initial Class(c) | 44,338 | 5,382 | (57,402 | ) | (811 | ) | 8,493 | — | 5,272 | 4,922 | — | |||||||||||||||||||||||||
| MainStay VP Large Cap Growth Portfolio Initial Class | 36,462 | 52,035 | (7,881 | ) | 2,126 | 8,024 | 90,766 | — | — | 3,426 | ||||||||||||||||||||||||||
| MainStay VP MacKay Common Stock Portfolio Initial Class | 29,983 | 8,086 | (1,548 | ) | (197 | ) | 5,389 | 41,713 | — | — | 1,420 | |||||||||||||||||||||||||
| MainStay VP MacKay Growth Portfolio Initial Class | 37,469 | 35,249 | (4,821 | ) | 897 | 7,837 | 76,631 | — | — | 2,326 | ||||||||||||||||||||||||||
| MainStay VP MacKay International Equity Portfolio Initial Class | 13,002 | 6,060 | (749 | ) | 136 | 1,679 | 20,128 | — | — | 1,188 | ||||||||||||||||||||||||||
| MainStay VP MacKay Mid Cap Core Portfolio Initial Class | 70,849 | 67 | (26,406 | ) | (4,806 | ) | 15,617 | 55,321 | — | — | 3,974 | |||||||||||||||||||||||||
| MainStay VP MacKay S&P 500 Index Portfolio Initial Class | 1,739 | — | (945 | ) | 23 | 296 | 1,113 | — | — | 19 | ||||||||||||||||||||||||||
| MainStay VP MacKay Small Cap Core Portfolio Initial Class | 36,904 | 49,547 | (35,876 | ) | (1,485 | ) | (2,849 | ) | 46,241 | — | — | 4,342 | ||||||||||||||||||||||||
| MainStay VP T. Rowe Price Equity Income Portfolio Initial Class | 87,355 | 5,123 | (22,008 | ) | (1,361 | ) | 16,586 | 85,695 | — | — | 6,365 | |||||||||||||||||||||||||
| $ | 997,029 | $ | 344,982 | $ | (415,138 | ) | $ | (8,043 | ) | $ | 152,660 | $ | 1,071,490 | $ | 8,478 | $ | 4,922 | |||||||||||||||||||
MainStay VP Income Builder Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases at Cost |
Proceeds
from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 20,625 | $ | 157,633 | $ | (148,697 | ) | $ | — | $ | — | $ | 29,561 | $ | 459 | $ | — | 29,561 | ||||||||||||||||||
MainStay VP IQ Hedge Multi-Strategy Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases
at Cost |
Proceeds
from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | — | $ | 24,443 | $ | (22,156 | ) | $ | — | $ | — | $ | 2,287 | $ | 48 | $ | — | 2,287 | ||||||||||||||||||
MainStay VP Janus Henderson Balanced Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases at Cost |
Proceeds
from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 7,540 | $ | 324,127 | $ | (308,793 | ) | $ | — | $ | — | $ | 22,874 | $ | 383 | $ | — | 22,874 | ||||||||||||||||||
MainStay VP Large Cap Growth Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases
at Cost |
Proceeds from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 8,968 | $ | 282,202 | $ | (281,293 | ) | $ | — | $ | — | $ | 9,877 | $ | 177 | $ | — | 9,877 | ||||||||||||||||||
MainStay VP MacKay Common Stock Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases
at Cost |
Proceeds from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 644 | $ | 25,910 | $ | (26,524 | ) | $ | — | $ | — | $ | 30 | $ | 4 | $ | — | 30 | ||||||||||||||||||
MainStay VP MacKay Convertible Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases
at Cost |
Proceeds from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 32,141 | $ | 146,542 | $ | (118,853 | ) | $ | — | $ | — | $ | 59,830 | $ | 947 | $ | — | 59,830 | ||||||||||||||||||
MainStay VP MacKay Government Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases
at Cost |
Proceeds from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay
U.S. Government Liquidity Fund |
$ | 5,194 | $ | 94,723 | $ | (98,050 | ) | $ | — | $ | — | $ | 1,867 | $ | 77 | $ | — | 1,867 | ||||||||||||||||||
MainStay VP MacKay Growth Portfolio
| Affiliated
Investment Company | Value,
Beginning of Period | Purchases at Cost | Proceeds
from Sales | Net
Realized Gain/(Loss) on Sales | Change
in Unrealized Appreciation/ (Depreciation) | Value,
End of Period | Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 342 | $ | 108,872 | $ | (109,189 | ) | $ | — | $ | — | $ | 25 | $ | 9 | $ | — | 25 | ||||||||||||||||||
MainStay VP MacKay International Equity Portfolio
| Affiliated
Investment Company | Value,
Beginning of Period | Purchases at Cost | Proceeds
from Sales | Net
Realized Gain/(Loss) on Sales | Change
in Unrealized Appreciation/ (Depreciation) | Value,
End of Period | Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 880 | $ | 26,697 | $ | (27,151 | ) | $ | — | $ | — | $ | 426 | $ | 13 | $ | — | 426 | ||||||||||||||||||
MainStay VP MacKay Mid Cap Core Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases
at Cost |
Proceeds from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 2,713 | $ | 32,271 | $ | (34,674 | ) | $ | — | $ | — | $ | 310 | $ | 14 | $ | — | 310 | ||||||||||||||||||
MainStay VP MacKay Small Cap Core Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases
at Cost |
Proceeds
from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 947 | $ | 45,338 | $ | (46,276 | ) | $ | — | $ | — | $ | 9 | $ | 66 | $ | — | 9 | ||||||||||||||||||
MainStay VP MacKay Unconstrained Bond Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases at Cost |
Proceeds
from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 7,374 | $ | 441,188 | $ | (374,727 | ) | $ | — | $ | — | $ | 73,835 | $ | 754 | $ | — | 73,835 | ||||||||||||||||||
MainStay VP Mellon Natural Resources Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases
at Cost |
Proceeds
from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | $ | 4,510 | $ | 82,382 | $ | (82,061 | ) | $ | — | $ | — | $ | 4,831 | $ | 75 | $ | — | 4,831 | ||||||||||||||||||
MainStay VP Moderate Allocation Portfolio
Affiliated Investment | Value, Beginning | Purchases | Proceeds | Net Realized Gain/(Loss) | Change in Unrealized | Value, End | Dividend | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| IQ 50 Percent Hedged FTSE International ETF | $ | 40,178 | $ | 43 | $ | (27,673 | ) | $ | (2,249 | ) | $ | 6,781 | $ | 17,080 | $ | 785 | $ | — | 840 | |||||||||||||||||
| IQ 500 International ETF | 1,435 | 15,104 | (14,220 | ) | 281 | (10 | ) | 2,590 | 168 | — | 97 | |||||||||||||||||||||||||
| IQ Chaikin U.S. Large Cap ETF | 49,445 | 33,412 | (65,652 | ) | 32 | 7,192 | 24,429 | 542 | — | 980 | ||||||||||||||||||||||||||
| IQ Chaikin U.S. Small Cap ETF | 14,029 | 41 | (2,383 | ) | (201 | ) | 2,044 | 13,530 | 165 | — | 536 | |||||||||||||||||||||||||
| IQ Enhanced Core Bond U.S. ETF | 19,262 | 24,230 | (18,001 | ) | 739 | 688 | 26,918 | 624 | — | 1,389 | ||||||||||||||||||||||||||
| IQ Enhanced Core Plus Bond U.S. ETF | 6,785 | — | (2,956 | ) | 31 | 214 | 4,074 | 115 | — | 207 | ||||||||||||||||||||||||||
| IQ Global Resources ETF | 15,369 | 24 | (1,009 | ) | 47 | 752 | 15,183 | — | — | 573 | ||||||||||||||||||||||||||
| IQ S&P High Yield Low Volatility Bond ETF | 4,366 | 95 | (275 | ) | (11 | ) | 384 | 4,559 | 139 | — | 180 | |||||||||||||||||||||||||
| MainStay Cushing MLP Premier Fund Class I | 7,483 | 246 | (8,775 | ) | (1,020 | ) | 2,066 | — | 245 | — | — | |||||||||||||||||||||||||
| MainStay Epoch Capital Growth Fund Class I | 10,195 | 47 | (648 | ) | 107 | 1,867 | 11,568 | — | — | 902 | ||||||||||||||||||||||||||
| MainStay Epoch Global Choice Fund Class I(b) | 14,811 | — | (15,620 | ) | (1,693 | ) | 2,502 | — | — | — | — | |||||||||||||||||||||||||
| MainStay Epoch International Choice Fund Class I | 45,385 | 57 | (11,964 | ) | (443 | ) | 5,583 | 38,618 | — | — | 1,123 | |||||||||||||||||||||||||
| MainStay Epoch U.S. All Cap Fund Class R6 | 41,173 | 259 | (7,369 | ) | (64 | ) | 8,706 | 42,705 | — | — | 1,495 | |||||||||||||||||||||||||
| MainStay Epoch U.S. Equity Yield Fund Class R6 | 2,770 | 38 | (3,173 | ) | 172 | 193 | — | 38 | — | — | ||||||||||||||||||||||||||
| MainStay MAP Equity Fund Class I | 42,699 | 10,074 | (9,054 | ) | (995 | ) | 9,912 | 52,636 | — | — | 1,234 | |||||||||||||||||||||||||
| MainStay MacKay High Yield Municipal Bond Fund Class I | 19,083 | 919 | (2,452 | ) | 74 | 909 | 18,533 | 549 | — | 1,422 | ||||||||||||||||||||||||||
| MainStay MacKay Infrastructure Bond Fund | — | 12,065 | -279 | 3 | 13 | 11802 | 45 | — | 1343 | |||||||||||||||||||||||||||
| MainStay MacKay International Opportunities Fund Class I | 42,403 | 50 | (19,692 | ) | (2,665 | ) | 6,063 | 26,159 | — | — | 3,442 | |||||||||||||||||||||||||
| MainStay MacKay Short Duration High Yield Fund Class I | 24,633 | 61,932 | (5,487 | ) | (104 | ) | 1,001 | 81,975 | 1,734 | — | 8,322 | |||||||||||||||||||||||||
| MainStay MacKay Short Term Municipal Fund Class I | 15,039 | 14,386 | (12,349 | ) | 135 | 31 | 17,242 | 241 | — | 1,792 | ||||||||||||||||||||||||||
| MainStay MacKay Total Return Bond Fund Class R6 | 1,198 | 27 | (85 | ) | (1 | ) | 80 | 1,219 | 26 | — | 112 | |||||||||||||||||||||||||
| MainStay MacKay U.S. Equity Opportunities Fund Class I | 38,297 | 442 | (6,343 | ) | (158 | ) | 5,669 | 37,907 | — | — | 4,454 | |||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | 12,668 | 156,711 | (143,827 | ) | — | — | 25,552 | 616 | — | 25,552 | ||||||||||||||||||||||||||
| MainStay VP Bond Portfolio Initial Class | 82,880 | 751 | (13,150 | ) | (35 | ) | 7,063 | 77,509 | — | — | 5,185 | |||||||||||||||||||||||||
| MainStay VP Cushing Renaissance Advantage Portfolio Initial Class | 21,424 | 35 | (23,754 | ) | (3,583 | ) | 5,878 | — | — | — | — | |||||||||||||||||||||||||
| MainStay VP Eagle Small Cap Growth Portfolio Initial Class | 14,078 | 120 | (1,796 | ) | 57 | 1,845 | 14,304 | — | — | 1,034 | ||||||||||||||||||||||||||
| MainStay VP Emerging Markets Equity Portfolio Initial Class | 66,782 | 361 | (27,166 | ) | 3,825 | 1,438 | 45,240 | — | — | 5,268 | ||||||||||||||||||||||||||
| MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class | 40,445 | 3,466 | (6,168 | ) | 582 | 6,772 | 45,097 | — | — | 2,711 | ||||||||||||||||||||||||||
| MainStay VP Epoch U.S. Small Cap Portfolio Initial Class(c) | 28,248 | 3,197 | (35,706 | ) | (326 | ) | 4,587 | — | 3,198 | 2,985 | — | |||||||||||||||||||||||||
| MainStay VP Floating Rate Portfolio Initial Class | 30,736 | 12,627 | (10,454 | ) | (177 | ) | 992 | 33,724 | 1,386 | — | 3,797 | |||||||||||||||||||||||||
| MainStay VP Indexed Bond Portfolio Initial Class | 123,717 | 46,449 | (25,605 | ) | 901 | 8,834 | 154,296 | — | — | 14,535 | ||||||||||||||||||||||||||
| MainStay VP Large Cap Growth Portfolio Initial Class | 29,530 | 22,501 | (7,864 | ) | 1,886 | 6,115 | 52,168 | — | — | 1,969 | ||||||||||||||||||||||||||
| MainStay VP MacKay Common Stock Portfolio Initial Class | 19,290 | 8,423 | (3,126 | ) | 60 | 3,420 | 28,067 | — | — | 956 | ||||||||||||||||||||||||||
| MainStay VP MacKay Convertible Portfolio Initial Class | 13,940 | 148 | (770 | ) | 58 | 1,768 | 15,144 | 115 | — | 1,086 | ||||||||||||||||||||||||||
| MainStay VP MacKay Growth Portfolio Initial Class | 26,406 | 18,844 | (5,942 | ) | 1,348 | 4,958 | 45,614 | — | — | 1,385 | ||||||||||||||||||||||||||
| MainStay VP MacKay High Yield Corporate Bond Portfolio Initial Class | 5,828 | 128 | (6,539 | ) | 328 | 255 | — | — | — | — | ||||||||||||||||||||||||||
| MainStay VP MacKay International Equity Portfolio Initial Class | 4,593 | 66 | (270 | ) | 46 | 549 | 4,984 | — | — | 294 | ||||||||||||||||||||||||||
| MainStay VP MacKay Mid Cap Core Portfolio Initial Class | 49,625 | — | (23,425 | ) | (3,628 | ) | 10,819 | 33,391 | — | — | 2,399 | |||||||||||||||||||||||||
| MainStay VP MacKay S&P 500 Index Portfolio Initial Class | 3,458 | — | (312 | ) | 7 | 685 | 3,838 | — | — | 66 | ||||||||||||||||||||||||||
| MainStay VP MacKay Small Cap Core Portfolio Initial Class | 15,762 | 28836 | (15,713 | ) | (532 | ) | (2,300 | ) | 26,053 | — | — | 2,447 | ||||||||||||||||||||||||
| MainStay VP MacKay Unconstrained Bond Portfolio Initial Class | 30,403 | 592 | (16,390 | ) | (600 | ) | 1,591 | 15,596 | 592 | — | 1,567 | |||||||||||||||||||||||||
| MainStay VP PIMCO Real Return Portfolio Initial Class | 10,030 | 883 | (766 | ) | (32 | ) | 777 | 10,892 | — | — | 1,237 | |||||||||||||||||||||||||
| MainStay VP T. Rowe Price Equity Income Portfolio Initial Class | 56,005 | 369 | (9,901 | ) | (847 | ) | 10,620 | 56,246 | — | — | 4,178 | |||||||||||||||||||||||||
| $ | 1,141,886 | $ | 477,998 | $ | (614,103 | ) | $ | (8,645 | ) | $ | 139,306 | $ | 1,136,442 | $ | 11,323 | $ | 2,985 | |||||||||||||||||||
MainStay VP Moderate Growth Allocation Portfolio
Affiliated Investment | Value, Beginning | Purchases | Proceeds | Net Realized Gain/(Loss) | Change in Unrealized | Value, End | Dividend Income | Other Distributions | Shares End of Period | |||||||||||||||||||||||||||
| IQ 50 Percent Hedged FTSE International ETF | $ | 65,286 | $ | 264 | $ | (33,897 | ) | $ | (2,885 | ) | $ | 10,429 | $ | 39,197 | $ | 1,522 | $ | — | 1,927 | |||||||||||||||||
| IQ 500 International ETF | 11,649 | 34,622 | (31,058 | ) | 1,317 | 408 | 16,938 | 489 | — | 635 | ||||||||||||||||||||||||||
| IQ Chaikin U.S. Large Cap ETF | 84,880 | 64,172 | (110,496 | ) | (440 | ) | 13,271 | 51,387 | 1,064 | — | 2,060 | |||||||||||||||||||||||||
| IQ Chaikin U.S. Small Cap ETF | 33,168 | — | (5,386 | ) | (89 | ) | 4,457 | 32,150 | 394 | — | 1,274 | |||||||||||||||||||||||||
| IQ Enhanced Core Plus Bond U.S. ETF | 18,942 | — | (8,959 | ) | 265 | 424 | 10,672 | 322 | — | 542 | ||||||||||||||||||||||||||
| IQ Global Resources ETF | 35,691 | 67 | (1,881 | ) | 83 | 1,762 | 35,722 | — | — | 1,347 | ||||||||||||||||||||||||||
| IQ S&P High Yield Low Volatility Bond ETF | 1,940 | 401 | (253 | ) | (12 | ) | 177 | 2,253 | 61 | — | 89 | |||||||||||||||||||||||||
| MainStay Cushing MLP Premier Fund Class I | 12,812 | 422 | (15,006 | ) | (2,537 | ) | 4,309 | — | 422 | — | — | |||||||||||||||||||||||||
| MainStay Epoch Capital Growth Fund Class I | 17,773 | 40 | (1,183 | ) | 205 | 3,247 | 20,082 | — | — | 1,565 | ||||||||||||||||||||||||||
| MainStay Epoch Global Choice Fund Class I(b) | 19,455 | — | (20,521 | ) | (2,082 | ) | 3,148 | — | — | — | — | |||||||||||||||||||||||||
| MainStay Epoch International Choice Fund Class I | 99,019 | 229 | (21,317 | ) | (354 | ) | 11,820 | 89,397 | — | — | 2,599 | |||||||||||||||||||||||||
| MainStay Epoch U.S. All Cap Fund Class R6 | 108,406 | 19 | (18,592 | ) | (696 | ) | 23,489 | 112,626 | — | — | 3,943 | |||||||||||||||||||||||||
| MainStay Epoch U.S. Equity Yield Fund Class R6 | 4,356 | 60 | (4,992 | ) | 295 | 281 | — | 60 | — | — | ||||||||||||||||||||||||||
| MainStay MAP Equity Fund Class I | 82,298 | 11,694 | (13,680 | ) | (1,116 | ) | 18,075 | 97,271 | — | — | 2,281 | |||||||||||||||||||||||||
| MainStay MacKay High Yield Municipal Bond Fund Class I | 29,120 | 4,474 | (5,433 | ) | 165 | 1,466 | 29,792 | 900 | — | 2,286 | ||||||||||||||||||||||||||
| MainStay MacKay Infrastructure Bond Fund | — | 26,561 | 1,580 | 15 | 28 | 25,025 | 97 | — | 2,847 | |||||||||||||||||||||||||||
| MainStay MacKay International Opportunities Fund Class I | 103,590 | 56 | (46,765 | ) | (5,044 | ) | 13,599 | 65,436 | — | — | 8,610 | |||||||||||||||||||||||||
| MainStay MacKay Short Duration High Yield Fund Class I | 36,828 | 107,362 | (13,175 | ) | (79 | ) | 1,508 | 132,444 | 2,899 | — | 13,446 | |||||||||||||||||||||||||
| MainStay MacKay Short Term Municipal Fund Class I | 22,933 | 25,987 | (20,538 | ) | 208 | 77 | 28,667 | 412 | — | 2,980 | ||||||||||||||||||||||||||
| MainStay MacKay Total Return Bond Fund Class R6 | 512 | 8 | (221 | ) | (3 | ) | 27 | 323 | 8 | — | 30 | |||||||||||||||||||||||||
| MainStay MacKay U.S. Equity Opportunities Fund Class I | 75,294 | 105 | (16,563 | ) | (855 | ) | 11,762 | 69,743 | — | — | 8,195 | |||||||||||||||||||||||||
| MainStay U.S. Government Liquidity Fund | 23,397 | 236,790 | (218,076 | ) | — | — | 42,111 | 984 | — | 42,111 | ||||||||||||||||||||||||||
| MainStay VP Bond Portfolio Initial Class | 26,863 | 20,448 | (12,601 | ) | 56 | 2,030 | 36,796 | — | — | 2,462 | ||||||||||||||||||||||||||
| MainStay VP Cushing Renaissance Advantage Portfolio Initial Class | 35,858 | — | (39,561 | ) | (6,099 | ) | 9,802 | — | — | — | — | |||||||||||||||||||||||||
| MainStay VP Eagle Small Cap Growth Portfolio Initial Class | 56,466 | 481 | (9,694 | ) | 228 | 7,561 | 55,042 | — | — | 3,977 | ||||||||||||||||||||||||||
| MainStay VP Emerging Markets Equity Portfolio Initial Class | 136,060 | 1,275 | (59,707 | ) | 7,366 | 3,065 | 88,059 | — | — | 10,254 | ||||||||||||||||||||||||||
| MainStay VP Epoch U.S. Equity Yield Portfolio Initial Class | 103,137 | 12,418 | (16,227 | ) | 1,358 | 17,303 | 117,989 | — | — | 7,094 | ||||||||||||||||||||||||||
| MainStay VP Epoch U.S. Small Cap Portfolio Initial Class(c) | 86,198 | 10,357 | (111,169 | ) | (3,844 | ) | 18,458 | — | 10,357 | 9,669 | — | |||||||||||||||||||||||||
| MainStay VP Floating Rate Portfolio Initial Class | 39,126 | 37,593 | (14,570 | ) | (395 | ) | 1,386 | 63,140 | 2,204 | — | 7,109 | |||||||||||||||||||||||||
| MainStay VP Indexed Bond Portfolio Initial Class | — | 26,105 | (1,006 | ) | 11 | 140 | 25,250 | — | — | 2,379 | ||||||||||||||||||||||||||
| MainStay VP Large Cap Growth Portfolio Initial Class | 44,250 | 60,788 | (14,362 | ) | 3,823 | 9,349 | 103,848 | — | — | 3,920 | ||||||||||||||||||||||||||
| MainStay VP MacKay Common Stock Portfolio Initial Class | 44,667 | 718 | (5,232 | ) | (725 | ) | 7,959 | 47,387 | — | — | 1,613 | |||||||||||||||||||||||||
| MainStay VP MacKay Convertible Portfolio Initial Class | 23,875 | 253 | (2,016 | ) | 136 | 2,968 | 25,216 | 193 | — | 1,808 | ||||||||||||||||||||||||||
| MainStay VP MacKay Growth Portfolio Initial Class | 45,550 | 44,036 | (10,464 | ) | 2,317 | 9,011 | 90,450 | — | — | 2,746 | ||||||||||||||||||||||||||
| MainStay VP MacKay High Yield Corporate Bond Portfolio Initial Class | 2,247 | 2,540 | (5,031 | ) | 95 | 149 | — | — | — | — | ||||||||||||||||||||||||||
| MainStay VP MacKay International Equity Portfolio Initial Class | 19,667 | 91 | (1,383 | ) | 232 | 2,306 | 20,913 | — | — | 1,235 | ||||||||||||||||||||||||||
| MainStay VP MacKay Mid Cap Core Portfolio Initial Class | 128,581 | 73 | (43,630 | ) | (9,346 | ) | 29,022 | 104,700 | — | — | 7,521 | |||||||||||||||||||||||||
| MainStay VP MacKay S&P 500 Index Portfolio Initial Class | 4,316 | — | (315 | ) | 6 | 861 | 4,868 | — | — | 84 | ||||||||||||||||||||||||||
| MainStay VP MacKay Small Cap Core Portfolio Initial Class | 39,126 | 94,595 | (53,071 | ) | (5,589 | ) | (5,763 | ) | 69,298 | — | — | 6,508 | ||||||||||||||||||||||||
| MainStay VP MacKay Unconstrained Bond Portfolio Initial Class | 52,841 | 888 | (32,792 | ) | (485 | ) | 2,057 | 22,509 | 888 | — | 2,262 | |||||||||||||||||||||||||
| MainStay VP PIMCO Real Return Portfolio Initial Class | 17,901 | 565 | (2,925 | ) | (10 | ) | 1,324 | 16,855 | — | — | 1,915 | |||||||||||||||||||||||||
| MainStay VP T. Rowe Price Equity Income Portfolio Initial Class | 136,004 | 529 | (21,984 | ) | (1,858 | ) | 25,897 | 138,588 | — | — | 10,293 | |||||||||||||||||||||||||
| $ | 1,930,082 | $ | 827,086 | $ | (1,064,152 | ) | $ | (26,362 | ) | $ | 268,649 | $ | 1,932,144 | $ | 23,276 | $ | 9,669 | |||||||||||||||||||
MainStay VP MacKay S&P 500 Index Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases at Cost |
Proceeds
from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||
| MainStay U.S. Government Liquidity Fund | $ | 782 | $ | 223,147 | $ | (223,510) | $ | — | $ | — | $ | 419 | $ | 24 | $ | — | 419 | |
MainStay VP PIMCO Real Return Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases at Cost |
Proceeds from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||
| MainStay U.S. Government Liquidity Fund | $ | 864 | $ | 61,945 | $ | (62,219) | $ | — | $ | — | $ | 590 | $ | 0(a) | $ | — | 590 | |
MainStay VP T. Rowe Price Equity Income Portfolio
| Affiliated
Investment Company |
Value,
Beginning of Period |
Purchases at Cost |
Proceeds from Sales |
Net
Realized Gain/(Loss) on Sales |
Change
in Unrealized Appreciation/ (Depreciation) |
Value,
End of Period |
Dividend Income | Other Distributions | Shares End of Period | |||||||||
| MainStay U.S. Government Liquidity Fund | $ | 11,669 | $ | 79,538 | $ | (85,802) | $ | — | $ | — | $ | 5,405 | $ | 168 | $ | — | 5,405 | |
| (a) | Less than $500. |
| (b) | Reorganized into the MainStay Epoch Capital Growth Fund Class I on February 28, 2019 |
| (c) | Reorganized into the MainStay VP MacKay Small Cap Core Portfolio Initial Class on May 1, 2019. |