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Document/Exhibit Description Pages Size 1: N-Q Quarterly Schedule of Portfolio Holdings of a HTML 2.42M Management Investment Company 2: EX-99.CERT Miscellaneous Exhibit HTML 14K
PRINCIPAL
AMOUNT(a) |
VALUE†
|
||||||
(000's omitted)
|
(000's omitted)
|
||||||
U.S. Treasury Obligations 19.7%(a)
|
|||||||
$
|
1,750
|
U.S. Treasury Bill, 2.33%, due 2/28/19
|
$
|
1,747
|
(b)(c)
|
||
U.S. Treasury Inflation-Indexed Bonds(d)
|
|||||||
4,369
|
0.63%, due 4/15/23
|
4,350
|
|||||
13,762
|
2.38%, due 1/15/27
|
15,472
|
|||||
5,889
|
2.13%, due 2/15/40
|
7,102
|
|||||
U.S. Treasury Notes
|
|||||||
3,565
|
2.63%, due 8/15/20
|
3,572
|
|||||
14,625
|
2.25%, due 7/31/21 – 8/15/46
|
14,116
|
|||||
22,080
|
2.38%, due 8/15/24
|
21,966
|
|||||
4,720
|
2.00%, due 11/15/26
|
4,532
|
|||||
4,265
|
2.75%, due 8/15/42
|
4,103
|
|||||
Total U.S. Treasury Obligations (Cost $75,592)
|
76,960
|
||||||
U.S. Government Agency Securities 0.6%
|
|||||||
1,160
|
Federal Home Loan Bank, 5.50%, due 7/15/36
|
1,494
|
|||||
700
|
Tennessee Valley Authority, 5.25%, due 9/15/39
|
873
|
|||||
Total U.S. Government Agency Securities (Cost $2,290)
|
2,367
|
||||||
Mortgage-Backed Securities 42.0%
|
|||||||
Collateralized Mortgage Obligations 2.0%
|
|||||||
4,500
|
Angel Oak Mortgage Trust I LLC, Ser. 2019-1, Class A1, 3.92%, due 11/25/48
|
4,518
|
(e)(f)
|
||||
12
|
Fannie Mae Whole Loan, Ser. 2003-W5, Class A, (1 month USD LIBOR + 0.11%), 2.62%, due 4/25/33
|
12
|
(g)
|
||||
3,000
|
Freddie Mac Structured Agency Credit Risk Debt Notes, Ser. 2019-DNA1, Class M1, (1 month USD LIBOR + 0.90%), 3.41%, due 1/25/49
|
3,000
|
(e)(g)
|
||||
250
|
Permanent Master Issuer PLC, Ser. 2018-1A, Class 1A1, (3 month USD LIBOR + 0.38%), 3.17%, due 7/15/58
|
249
|
(e)(g)
|
||||
7,779
|
|||||||
Commercial Mortgage-Backed 10.4%
|
|||||||
Bank
|
|||||||
1,000
|
Ser. 2018-BN11, Class A3, 4.05%, due 3/15/61
|
1,044
|
|||||
2,789
|
Ser. 2018-BN13, Class A1, 3.22%, due 8/15/61
|
2,806
|
|||||
1,000
|
Ser. 2018-BN15, Class A4, 4.41%, due 11/15/61
|
1,067
|
|||||
664
|
CD Mortgage Trust, Ser. 2018-CD7, Class A1, 3.28%, due 8/15/51
|
670
|
|||||
1,538
|
CGMS Commercial Mortgage Trust, Ser. 2017-B1, Class A1, 2.01%, due 8/15/50
|
1,513
|
|||||
Citigroup Commercial Mortgage Trust
|
|||||||
|
965
|
Ser. 2013-GC11, Class B, 3.73%, due 4/10/46
|
|
964
|
(f)
|
||
330
|
Ser. 2013-GC17, Class B, 5.10%, due 11/10/46
|
349
|
(f)
|
||||
4,765
|
Ser. 2014-GC25, Class XA, 1.01%, due 10/10/47
|
226
|
(f)(h)
|
||||
2,532
|
Ser. 2015-GC27, Class XA, 1.38%, due 2/10/48
|
162
|
(f)(h)
|
||||
550
|
Ser. 2015-P1, Class A5, 3.72%, due 9/15/48
|
563
|
|||||
450
|
Ser. 2016-GC36, Class A5, 3.62%, due 2/10/49
|
457
|
|||||
725
|
Ser. 2017-C4, Class A4, 3.47%, due 10/12/50
|
723
|
|||||
1,191
|
Ser. 2018-C6, Class A1, 3.30%, due 11/10/51
|
1,203
|
|||||
Commercial Mortgage Trust
|
|||||||
1,000
|
Ser. 2013-LC6, Class B, 3.74%, due 1/10/46
|
1,003
|
|||||
6,417
|
Ser. 2014-CR16, Class XA, 1.12%, due 4/10/47
|
239
|
(f)(h)
|
||||
4,170
|
Ser. 2014-LC15, Class XA, 1.25%, due 4/10/47
|
160
|
(f)(h)
|
||||
6,293
|
Ser. 2014-CR17, Class XA, 1.06%, due 5/10/47
|
241
|
(f)(h)
|
||||
3,819
|
Ser. 2014-UBS3, Class XA, 1.27%, due 6/10/47
|
160
|
(f)(h)
|
||||
4,595
|
Ser. 2014-UBS6, Class XA, 0.95%, due 12/10/47
|
182
|
(f)(h)
|
||||
485
|
Ser. 2014-CR21, Class AM, 3.99%, due 12/10/47
|
493
|
|||||
335
|
Ser. 2015-LC21, Class A4, 3.71%, due 7/10/48
|
342
|
|||||
740
|
Ser. 2015-CR25, Class A4, 3.76%, due 8/10/48
|
757
|
|||||
1,340
|
Ser. 2015-CR26, Class AM, 4.09%, due 10/10/48
|
1,358
|
(f)
|
||||
467
|
Ser. 2017-COR2, Class A1, 2.11%, due 9/10/50
|
460
|
|||||
CSAIL Commercial Mortgage Trust
|
|||||||
353
|
Ser. 2016-C7, Class A5, 3.50%, due 11/15/49
|
352
|
|||||
1,185
|
Ser. 2015-C1, Class B, 4.04%, due 4/15/50
|
1,193
|
(f)
|
||||
494
|
Ser. 2017-CX9, Class A1, 2.02%, due 9/15/50
|
485
|
|||||
1,280
|
Ser. 2017-CX9, Class A5, 3.45%, due 9/15/50
|
1,272
|
|||||
1,000
|
Ser. 2018-CX11, Class A5, 4.03%, due 4/15/51
|
1,033
|
(f)
|
||||
1,970
|
Freddie Mac Multifamily Aggregation Risk Transfer Trust, Ser. 2017-KT01, Class A, (1 month USD LIBOR + 0.32%), 2.84%, due 2/25/20
|
1,969
|
(g)
|
||||
GS Mortgage Securities Trust
|
|||||||
770
|
Ser. 2012-GCJ9, Class B, 3.75%, due 11/10/45
|
769
|
(e)
|
||||
10,087
|
Ser. 2014-GC18, Class XA, 1.04%, due 1/10/47
|
423
|
(f)(h)
|
||||
335
|
Ser. 2015-GC32, Class A4, 3.76%, due 7/10/48
|
344
|
|||||
582
|
Ser. 2015-GC34, Class AAB, 3.28%, due 10/10/48
|
587
|
|||||
1,075
|
Ser. 2018-GS9, Class A4, 3.99%, due 3/10/51
|
1,111
|
(f)
|
||||
JPMBB Commercial Mortgage Securities Trust
|
|||||||
700
|
Ser. 2015-C31, Class A3, 3.80%, due 8/15/48
|
718
|
|||||
355
|
Ser. 2016-C1, Class A5, 3.58%, due 3/15/49
|
359
|
|||||
Morgan Stanley Bank of America Merrill Lynch Trust
|
|||||||
4,383
|
Ser. 2014-C16, Class XA, 1.12%, due 6/15/47
|
165
|
(f)(h)
|
||||
710
|
Ser. 2015-C24, Class A4, 3.73%, due 5/15/48
|
726
|
|||||
481
|
Ser. 2017-C34, Class A1, 2.11%, due 11/15/52
|
475
|
|||||
1,000
|
Morgan Stanley Capital I Trust, Ser. 2017-H1, Class A5, 3.53%, due 6/15/50
|
1,001
|
|||||
UBS Commercial Mortgage Trust
|
|||||||
|
500
|
Ser. 2017-C2, Class A4, 3.49%, due 8/15/50
|
|
498
|
|||
631
|
Ser. 2017-C4, Class A1, 2.13%, due 10/15/50
|
622
|
|||||
1,704
|
Ser. 2018-C14, Class A1, 3.38%, due 12/15/51
|
1,723
|
|||||
Wells Fargo Commercial Mortgage Trust
|
|||||||
725
|
Ser. 2012-LC5, Class B, 4.14%, due 10/15/45
|
743
|
|||||
500
|
Ser. 2015-C29, Class A4, 3.64%, due 6/15/48
|
506
|
|||||
640
|
Ser. 2016-C35, Class B, 3.44%, due 7/15/48
|
627
|
|||||
225
|
Ser. 2016-LC24, Class A4, 2.94%, due 10/15/49
|
216
|
|||||
950
|
Ser. 2016-NXS6, Class A4, 2.92%, due 11/15/49
|
915
|
|||||
652
|
Ser. 2017-C39, Class A1, 1.98%, due 9/15/50
|
640
|
|||||
580
|
Ser. 2017-C39, Class A5, 3.42%, due 9/15/50
|
574
|
|||||
611
|
Ser. 2018-C46, Class A1, 3.16%, due 8/15/51
|
615
|
|||||
500
|
Ser. 2015-C30, Class A4, 3.66%, due 9/15/58
|
507
|
|||||
445
|
Ser. 2016-LC25, Class A4, 3.64%, due 12/15/59
|
447
|
|||||
WF-RBS Commercial Mortgage Trust
|
|||||||
1,000
|
Ser. 2012-C8, Class B, 4.31%, due 8/15/45
|
1,021
|
|||||
6,274
|
Ser. 2014-C25, Class XA, 0.89%, due 11/15/47
|
238
|
(f)(h)
|
||||
14,749
|
Ser. 2014-C22, Class XA, 0.85%, due 9/15/57
|
514
|
(f)(h)
|
||||
40,530
|
|||||||
Fannie Mae 15.6%
|
|||||||
Pass-Through Certificates
|
|||||||
2,731
|
3.00%, due 5/1/46 – 11/1/46
|
2,683
|
|||||
12,842
|
3.50%, due 7/1/32 – 3/1/48
|
12,952
|
|||||
25,892
|
4.00%, due 1/1/41 – 9/1/48
|
26,599
|
|||||
7,382
|
4.50%, due 4/1/34 – 11/1/48
|
7,701
|
|||||
2,022
|
5.00%, due 4/1/23 – 10/1/41
|
2,150
|
|||||
394
|
5.50%, due 5/1/28 – 3/1/41
|
424
|
|||||
433
|
6.00%, due 4/1/37 – 11/1/38
|
468
|
|||||
230
|
3.50%, TBA, 30 Year Maturity
|
231
|
(i)
|
||||
735
|
4.00%, TBA, 15 Year Maturity
|
756
|
(i)
|
||||
3,800
|
4.00%, TBA, 30 Year Maturity
|
3,890
|
(i)
|
||||
2,345
|
4.50%, TBA, 30 Year Maturity
|
2,437
|
(i)
|
||||
600
|
5.00%, TBA, 30 Year Maturity
|
631
|
(i)
|
||||
60,922
|
|||||||
Freddie Mac 10.3%
|
|||||||
Pass-Through Certificates
|
|||||||
2,944
|
3.00%, due 2/1/32 – 2/1/47
|
2,897
|
|||||
13,441
|
3.50%, due 4/1/32 – 3/1/48
|
13,566
|
|||||
15,173
|
4.00%, due 11/1/40 – 8/1/48
|
15,589
|
|||||
3,205
|
4.50%, due 6/1/39 – 8/1/48
|
3,343
|
|||||
844
|
5.00%, due 5/1/23 – 5/1/41
|
888
|
|||||
193
|
5.50%, due 12/1/22 – 11/1/38
|
206
|
|||||
11
|
6.00%, due 12/1/37
|
12
|
|||||
3
|
6.50%, due 11/1/25
|
3
|
|||||
2,280
|
4.00%, TBA, 30 Year Maturity
|
2,335
|
(i)
|
||||
1,545
|
4.50%, TBA, 30 Year Maturity
|
1,606
|
(i)
|
||||
40,445
|
|||||||
Ginnie Mae 3.7%
|
|||||||
Pass-Through Certificates
|
|||||||
3,984
|
3.50%, due 1/20/43 – 12/20/47
|
4,040
|
|||||
3,079
|
4.00%, due 11/20/44 – 1/20/49
|
3,172
|
|||||
1,569
|
4.50%, due 3/20/48 – 9/20/48
|
1,630
|
|||||
|
1,690
|
4.00%, TBA, 30 Year Maturity
|
|
1,738
|
(i)
|
||
2,520
|
4.50%, TBA, 30 Year Maturity
|
2,615
|
(i)
|
||||
1,280
|
5.00%, TBA, 30 Year Maturity
|
1,336
|
(i)
|
||||
14,531
|
|||||||
Total Mortgage-Backed Securities (Cost $167,269)
|
164,207
|
||||||
Corporate Bonds 29.8%
|
|||||||
Agriculture 0.5%
|
|||||||
2,595
|
BAT Capital Corp., 4.54%, due 8/15/47
|
2,130
|
|||||
Auto Manufacturers 0.4%
|
|||||||
1,545
|
General Motors Financial Co., Inc., 5.10%, due 1/17/24
|
1,570
|
|||||
Banks 8.6%
|
|||||||
1,295
|
Banco Santander SA, 3.80%, due 2/23/28
|
1,212
|
|||||
Bank of America Corp.
|
|||||||
1,535
|
(3 month USD LIBOR + 0.37%), 2.74%, due 1/23/22
|
1,523
|
(g)
|
||||
1,005
|
4.45%, due 3/3/26
|
1,031
|
|||||
1,410
|
(3 month USD LIBOR + 1.07%), 3.97%, due 3/5/29
|
1,418
|
(g)
|
||||
760
|
Barclays PLC, 4.38%, due 1/12/26
|
747
|
|||||
1,910
|
Citibank N.A., 2.00%, due 3/20/19
|
1,908
|
|||||
Citigroup, Inc.
|
|||||||
1,990
|
(3 month USD LIBOR + 1.56%), 3.89%, due 1/10/28
|
1,982
|
(g)
|
||||
695
|
(3 month USD LIBOR + 1.15%), 3.52%, due 10/27/28
|
672
|
(g)
|
||||
Goldman Sachs Group, Inc.
|
|||||||
625
|
2.60%, due 4/23/20
|
622
|
|||||
1,310
|
(3 month USD LIBOR + 1.51%), 3.69%, due 6/5/28
|
1,272
|
(g)
|
||||
2,525
|
(3 month USD LIBOR + 1.16%), 3.81%, due 4/23/29
|
2,458
|
(g)(j)
|
||||
1,310
|
(3 month USD LIBOR + 1.30%), 4.22%, due 5/1/29
|
1,316
|
(g)
|
||||
1,030
|
(3 month USD LIBOR + 1.37%), 4.02%, due 10/31/38
|
971
|
(g)
|
||||
1,000
|
5.15%, due 5/22/45
|
1,023
|
|||||
2,045
|
HSBC Holdings PLC, (5 year USD ICE Swap + 3.75%), 6.00%, due 5/22/27
|
1,968
|
(g)(j)(k)
|
||||
JPMorgan Chase & Co.
|
|||||||
1,545
|
(3 month USD LIBOR + 1.16%), 3.22%, due 3/1/25
|
1,520
|
(g)
|
||||
1,900
|
(3 month USD LIBOR + 1.12%), 4.01%, due 4/23/29
|
1,921
|
(g)
|
||||
975
|
(3 month USD LIBOR + 1.36%), 3.88%, due 7/24/38
|
933
|
(g)
|
||||
895
|
(3 month USD LIBOR + 1.22%), 3.90%, due 1/23/49
|
836
|
(g)
|
||||
2,360
|
KFW, 2.38%, due 12/29/22
|
2,343
|
(j)
|
||||
2,355
|
Morgan Stanley, (3 month USD LIBOR + 1.34%), 3.59%, due 7/22/28
|
2,300
|
(g)(j)
|
||||
Royal Bank of Scotland Group PLC
|
|||||||
|
1,395
|
4.80%, due 4/5/26
|
|
1,398
|
|||
630
|
(3 month USD LIBOR + 1.91%), 5.08%, due 1/27/30
|
631
|
(g)
|
||||
2,000
|
Westpac Banking Corp., (5 year USD ICE Swap + 2.89%), 5.00%, due 9/21/27
|
1,732
|
(g)(k)
|
||||
33,737
|
|||||||
Beverages 1.8%
|
|||||||
660
|
Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, due 2/1/36
|
633
|
(e)
|
||||
Anheuser-Busch InBev Worldwide, Inc.
|
|||||||
865
|
4.60%, due 4/15/48
|
786
|
|||||
1,810
|
4.75%, due 4/15/58
|
1,611
|
|||||
4,000
|
5.80%, due 1/23/59
|
4,199
|
|||||
7,229
|
|||||||
Biotechnology 0.3%
|
|||||||
1,195
|
Celgene Corp., 3.90%, due 2/20/28
|
1,183
|
|||||
Computers 2.0%
|
|||||||
Apple, Inc.
|
|||||||
1,130
|
3.00%, due 2/9/24
|
1,138
|
|||||
1,155
|
4.65%, due 2/23/46
|
1,259
|
|||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.
|
|||||||
2,205
|
5.45%, due 6/15/23
|
2,306
|
(e)(j)
|
||||
1,240
|
6.02%, due 6/15/26
|
1,296
|
(e)
|
||||
HP Enterprise Co.
|
|||||||
1,245
|
3.60%, due 10/15/20
|
1,253
|
|||||
440
|
4.90%, due 10/15/25
|
460
|
|||||
7,712
|
|||||||
Diversified Financial Services 0.4%
|
|||||||
1,700
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, due 10/1/25
|
1,664
|
|||||
Food 0.8%
|
|||||||
1,615
|
Grupo Bimbo SAB de CV, 4.70%, due 11/10/47
|
1,498
|
(e)
|
||||
1,520
|
Kroger Co., 5.40%, due 1/15/49
|
1,521
|
|||||
3,019
|
|||||||
Insurance 0.3%
|
|||||||
1,215
|
AXA Equitable Holdings, Inc., 5.00%, due 4/20/48
|
1,134
|
|||||
Machinery-Diversified 0.3%
|
|||||||
1,205
|
Wabtec Corp., 4.15%, due 3/15/24
|
1,172
|
|||||
Media 2.2%
|
|||||||
1,450
|
Charter Communications Operating LLC/Charter Communications Operating Capital, 3.58%, due 7/23/20
|
1,454
|
|||||
Comcast Corp.
|
|||||||
1,225
|
3.70%, due 4/15/24
|
1,252
|
|||||
1,390
|
4.00%, due 8/15/47
|
1,302
|
|||||
1,620
|
4.95%, due 10/15/58
|
1,714
|
|||||
2,755
|
Fox Corp., 5.58%, due 1/25/49
|
2,924
|
(e)
|
||||
8,646
|
|||||||
Miscellaneous Manufacturer 1.0%
|
|||||||
4,560
|
General Electric Co., Ser. D, (3 month USD LIBOR + 3.33%), 5.00%, due 1/21/21
|
4,013
|
(g)(j)(k)
|
||||
Oil & Gas 1.8%
|
|||||||
2,000
|
Apache Corp., 4.38%, due 10/15/28
|
1,953
|
|||||
|
905
|
Concho Resources, Inc., 4.88%, due 10/1/47
|
|
917
|
|||
3,200
|
Marathon Oil Corp., 4.40%, due 7/15/27
|
3,208
|
(j)
|
||||
935
|
Petroleos Mexicanos, 6.50%, due 3/13/27
|
897
|
|||||
6,975
|
|||||||
Pharmaceuticals 3.0%
|
|||||||
AbbVie, Inc.
|
|||||||
1,215
|
2.50%, due 5/14/20
|
1,208
|
|||||
1,110
|
4.70%, due 5/14/45
|
1,035
|
|||||
CVS Health Corp.
|
|||||||
1,215
|
4.30%, due 3/25/28
|
1,231
|
|||||
3,105
|
5.05%, due 3/25/48
|
3,192
|
(j)
|
||||
1,165
|
Halfmoon Parent, Inc., 4.80%, due 8/15/38
|
1,189
|
(e)
|
||||
Shire Acquisitions Investments Ireland DAC
|
|||||||
1,685
|
1.90%, due 9/23/19
|
1,672
|
|||||
1,530
|
2.40%, due 9/23/21
|
1,489
|
|||||
830
|
3.20%, due 9/23/26
|
773
|
|||||
11,789
|
|||||||
Pipelines 2.5%
|
|||||||
Energy Transfer Partners L.P.
|
|||||||
650
|
4.15%, due 10/1/20
|
656
|
|||||
1,300
|
5.25%, due 4/15/29
|
1,346
|
|||||
1,335
|
5.80%, due 6/15/38
|
1,361
|
|||||
1,335
|
6.25%, due 4/15/49
|
1,422
|
|||||
1,535
|
Kinder Morgan Energy Partners L.P., 4.15%, due 2/1/24
|
1,562
|
|||||
1,520
|
Kinder Morgan, Inc., 5.55%, due 6/1/45
|
1,592
|
|||||
1,910
|
MPLX L.P., 4.70%, due 4/15/48
|
1,733
|
|||||
9,672
|
|||||||
Real Estate Investment Trusts 0.3%
|
|||||||
1,135
|
Corporate Office Properties L.P., 3.60%, due 5/15/23
|
1,110
|
|||||
Retail 0.6%
|
|||||||
2,240
|
Walmart, Inc., 3.40%, due 6/26/23
|
2,296
|
|||||
Savings & Loans 0.2%
|
|||||||
690
|
Nationwide Building Society, (3 month USD LIBOR + 1.45%), 4.30%, due 3/8/29
|
673
|
(e)(g)
|
||||
Semiconductors 1.4%
|
|||||||
Broadcom Corp./Broadcom Cayman Finance Ltd.
|
|||||||
1,425
|
2.38%, due 1/15/20
|
1,414
|
|||||
2,595
|
3.88%, due 1/15/27
|
2,392
|
(j)
|
||||
1,515
|
Microchip Technology, Inc., 4.33%, due 6/1/23
|
1,492
|
(e)
|
||||
5,298
|
|||||||
Telecommunications 1.3%
|
|||||||
AT&T, Inc.
|
|||||||
2,045
|
5.45%, due 3/1/47
|
2,092
|
(j)
|
||||
1,200
|
4.50%, due 3/9/48
|
1,080
|
|||||
1,825
|
Vodafone Group PLC, 3.75%, due 1/16/24
|
1,821
|
|||||
4,993
|
|||||||
Transportation 0.1%
|
|||||||
505
|
FedEx Corp., 4.95%, due 10/17/48
|
503
|
|||||
Total Corporate Bonds (Cost $118,531)
|
116,518
|
||||||
Asset-Backed Securities 10.3%
|
|||||||
46
|
Ally Auto Receivables Trust, Ser. 2017-3, Class A2, 1.53%, due 3/16/20
|
46
|
|||||
1,140
|
AM Capital Funding LLC, Ser. 2018-1, Class A, 4.98%, due 12/15/23
|
1,165
|
(e)
|
||||
|
530
|
American Express Credit Account Master Trust, Ser. 2017-4, Class A, 1.64%, due 12/15/21
|
|
528
|
|||
Asset Backed Funding Certificates
|
|||||||
198
|
Ser. 2003-OPT1, Class A3, (1 month USD LIBOR + 0.68%), 3.19%, due 4/25/33
|
194
|
(g)
|
||||
858
|
Ser. 2004-OPT3, Class A4, (1 month USD LIBOR + 0.78%), 3.29%, due 11/25/33
|
844
|
(g)
|
||||
6,740
|
Capital One Multi-Asset Execution Trust, Ser. 2017-A1, Class A1, 2.00%, due 1/17/23
|
6,686
|
|||||
1,100
|
Centex Home Equity Loan Trust, Ser. 2005-D, Class M3, (1 month USD LIBOR + 0.48%), 2.99%, due 10/25/35
|
1,101
|
(g)
|
||||
15
|
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser. 2004-1, Class 2A2, (1 month USD LIBOR + 0.46%), 2.97%, due 12/25/33
|
15
|
(g)
|
||||
Chase Issuance Trust
|
|||||||
3,490
|
Ser. 2016-A2, Class A, 1.37%, due 6/15/21
|
3,471
|
|||||
5,900
|
Ser. 2012-A4, Class A4, 1.58%, due 8/15/21
|
5,863
|
|||||
Citibank Credit Card Issuance Trust
|
|||||||
6,540
|
Ser. 2016-A1, Class A1, 1.75%, due 11/19/21
|
6,489
|
|||||
2,940
|
Ser. 2018-A1, Class A1, 2.49%, due 1/20/23
|
2,927
|
|||||
18
|
Citigroup Mortgage Loan Trust, Inc., Ser. 2006-WFH1, Class M2, (1 month USD LIBOR + 0.56%), 3.07%, due 1/25/36
|
18
|
(g)
|
||||
205
|
Countrywide Asset-Backed Certificates, Ser. 2004-5, Class 1A, (1 month USD LIBOR + 0.50%), 3.01%, due 10/25/34
|
201
|
(g)
|
||||
6
|
Fannie Mae Grantor Trust, Ser. 2002-T5, Class A1, (1 month USD LIBOR + 0.24%), 2.75%, due 5/25/32
|
6
|
(g)
|
||||
1,905
|
Home Equity Asset Trust, Ser. 2003-5, Class A1, (1 month USD LIBOR + 0.58%), 3.09%, due 12/25/33
|
1,842
|
(g)
|
||||
Morgan Stanley ABS Capital I, Inc. Trust
|
|||||||
408
|
Ser. 2003-HE1, Class M1, (1 month USD LIBOR + 1.20%), 3.71%, due 5/25/33
|
405
|
(g)
|
||||
679
|
Ser. 2004-NC1, Class M1, (1 month USD LIBOR + 1.05%), 3.56%, due 12/27/33
|
676
|
(g)
|
||||
Navient Student Loan Trust
|
|||||||
2
|
Ser. 2016-6A, Class A1, (1 month USD LIBOR + 0.48%), 2.99%, due 3/25/66
|
2
|
(e)(g)
|
||||
375
|
Ser. 2017-3A, Class A1, (1 month USD LIBOR + 0.30%), 2.81%, due 7/26/66
|
375
|
(e)(g)
|
||||
660
|
Ser. 2017-4A, Class A1, (1 month USD LIBOR + 0.24%), 2.75%, due 9/27/66
|
660
|
(e)(g)
|
||||
315
|
Ser. 2018-2A, Class A1, (1 month USD LIBOR + 0.24%), 2.75%, due 3/25/67
|
315
|
(e)(g)
|
||||
490
|
Ser. 2018-3A, Class A1, (1 month USD LIBOR + 0.27%), 2.78%, due 3/25/67
|
490
|
(e)(g)
|
||||
464
|
Popular ABS Mortgage Pass-Through Trust, Ser. 2005-2, Class AV1B, (1 month USD LIBOR + 0.26%), 2.77%, due 4/25/35
|
463
|
(g)
|
||||
1,350
|
Residential Asset Securities Corp., Ser. 2005-KS12, Class M2, (1 month USD LIBOR + 0.46%), 2.97%, due 1/25/36
|
1,334
|
(g)
|
||||
336
|
Residential Asset Mortgage Products, Inc., Ser. 2005-RS4, Class M3, (1 month USD LIBOR + 0.48%), 2.99%, due 4/25/35
|
336
|
(g)
|
||||
360
|
Residential Asset Securities Corp., Ser. 2005-KS9, Class M5, (1 month USD LIBOR + 0.63%), 3.14%, due 10/25/35
|
362
|
(g)
|
||||
9
|
Saxon Asset Securities Trust, Ser. 2004-1, Class A, (1 month USD LIBOR + 0.54%), 3.05%, due 3/25/35
|
8
|
(g)
|
||||
4
|
Specialty Underwriting & Residential Finance, Ser. 2003-BC1, Class A, (1 month USD LIBOR + 0.68%), 3.19%, due 1/25/34
|
4
|
(g)
|
||||
81
|
Toyota Auto Receivables Owner Trust, Ser. 2017-B, Class A2A, 1.46%, due 1/15/20
|
81
|
|||||
1,512
|
Verizon Owner Trust, Ser. 2016-2A, Class A, 1.68%, due 5/20/21
|
1,505
|
(e)
|
||||
World Omni Auto Receivables Trust
|
|||||||
|
68
|
Ser. 2018-A, Class A2, 2.19%, due 5/17/21
|
|
67
|
|||
1,600
|
Ser. 2018-C, Class A2, 2.80%, due 1/18/22
|
1,600
|
|||||
Total Asset-Backed Securities (Cost $39,651)
|
40,079
|
||||||
Foreign Government Securities 0.4%
|
|||||||
ZAR
|
25,390
|
Republic of South Africa Government Bond, 6.50%, due 2/28/41 (Cost $1,618)
|
1,376
|
||||
NUMBER OF
SHARES |
|||||||
Short-Term Investments 0.5%
|
|||||||
Investment Companies 0.5%
|
|||||||
1,993,040
|
State Street Institutional U.S. Government Money Market Fund Premier Class, 2.32%(l) (Cost $1,993)
|
1,993
|
(j)
|
||||
Total Investments 103.3% (Cost $406,944)
|
403,500
|
||||||
Liabilities Less Other Assets (3.3)%
|
(12,807)
|
(m)
|
|||||
Net Assets 100.0%
|
$390,693
|
(a)
|
Principal amount is stated in the currency in which the security is denominated.
|
|
(b)
|
Rate shown was the discount rate at the date of purchase.
|
|
(c)
|
All or a portion of the security is pledged as collateral for futures.
|
|
(d)
|
Index-linked bond whose principal amount adjusts according to a government retail price index.
|
|
(e)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2019, these securities amounted to approximately $25,059,000, which represents 6.4% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
|
|
(f)
|
Variable or floating rate security where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of January 31, 2019.
|
|
(g)
|
Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2019 and changes periodically.
|
|
(h)
|
Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding.
|
|
(i)
|
TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total value of all such securities (excluding forward sales contracts, if any) at January 31, 2019, amounted to approximately $17,575,000, which represents 4.5% of net assets of the Fund.
|
|
(j)
|
All or a portion of this security is segregated in connection with obligations for to be announced securities and/or futures with a total value of approximately $26,930,000.
|
|
(k)
|
Perpetual Bond Security. The rate reflected was the rate in effect on January 31, 2019. The maturity date reflects the next call date.
|
|
(l)
|
Represents 7-day effective yield as of January 31, 2019.
|
|
(m)
|
Includes the impact of the Fund's open positions in derivatives at January 31, 2019.
|
Futures contracts ("futures")
|
At January 31, 2019, open positions in futures for the Fund were as follows:
|
Long Futures:
|
Expiration Date
|
Number of
Contracts |
Open Contracts
|
Notional
Amount |
Value and
Unrealized Appreciation/ (Depreciation) |
||||||
3/2019
|
3
|
Australian Dollar
|
218,100
|
$
|
1,675
|
|||||
3/2019
|
5
|
Euro
|
717,906
|
3,856
|
||||||
3/2019
|
106
|
U.S. Treasury Note, 10 Year
|
12,981,688
|
292,469
|
||||||
3/2019
|
47
|
U.S. Treasury Ultra Long Bond
|
7,572,875
|
246,256
|
||||||
3/2019
|
96
|
U.S. Treasury Note, 2 Year
|
20,383,500
|
30,916
|
||||||
3/2019
|
49
|
U.S. Treasury Note, 5 Year
|
5,628,109
|
89,961
|
||||||
Total Long Positions
|
$
|
47,502,178
|
$
|
665,133
|
||||||
Short Futures:
|
||||||||||
Expiration Date
|
Number of
Contracts |
Open Contracts
|
Notional
Amount |
Value and
Unrealized Appreciation/ (Depreciation) |
||||||
3/2019
|
25
|
Euro-Bund
|
(4,740,645)
|
$
|
(48,943)
|
|||||
3/2019
|
19
|
Euro-Buxl Bond, 30 Year
|
(4,041,970)
|
(190,073)
|
||||||
3/2019
|
40
|
South African Rand
|
(1,499,000)
|
(116,500)
|
||||||
3/2019
|
52
|
U.S. Treasury Long Bond
|
(7,627,750)
|
(376,959)
|
||||||
3/2019
|
55
|
U.S. Treasury Note, Ultra 10 Year
|
(7,187,813)
|
(198,721)
|
||||||
7/2019
|
1
|
Federal Funds, 30 day
|
(406,741)
|
(229)
|
||||||
Total Short Positions
|
$
|
(25,503,919)
|
$
|
(931,425)
|
||||||
Total Futures
|
$
|
(266,292)
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2019:
|
Asset Valuation Inputs
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments:
|
||||||||||||||||
U.S. Treasury Obligations
|
$
|
—
|
$
|
76,960
|
$
|
—
|
$
|
76,960
|
||||||||
U.S. Government Agency Securities
|
—
|
2,367
|
—
|
2,367
|
||||||||||||
Mortgage-Backed Securities(a)
|
—
|
164,207
|
—
|
164,207
|
||||||||||||
Corporate Bonds(a)
|
—
|
116,518
|
—
|
116,518
|
||||||||||||
Asset-Backed Securities
|
—
|
40,079
|
—
|
40,079
|
||||||||||||
Foreign Government Securities
|
—
|
1,376
|
—
|
1,376
|
||||||||||||
Short-Term Investments
|
—
|
1,993
|
—
|
1,993
|
||||||||||||
Total Investments
|
$
|
—
|
$
|
403,500
|
$
|
—
|
$
|
403,500
|
(a)
|
The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of January 31, 2019:
|
Other Financial Instruments
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Assets
|
||||||||||||||||
Futures(a)
|
||||||||||||||||
Assets
|
$
|
665
|
$
|
—
|
$
|
—
|
$
|
665
|
||||||||
Liabilities
|
(931
|
)
|
—
|
—
|
(931
|
)
|
||||||||||
Total
|
$
|
(266
|
)
|
$
|
—
|
$
|
—
|
$
|
(266
|
)
|
(a)
|
Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
|
PRINCIPAL
AMOUNT(a) |
VALUE†
|
||||||
(000's omitted)
|
(000's omitted)
|
||||||
U.S. Treasury Obligations 11.8%
|
|||||||
$
|
100
|
U.S. Treasury Bill, 2.33%, due 2/28/19
|
$
|
100
|
(b)(c)
|
||
40
|
U.S. Treasury Bonds, 5.38%, due 2/15/31
|
51
|
|||||
U.S. Treasury Inflation-Indexed Bonds(d)
|
|||||||
6
|
2.38%, due 1/15/27
|
7
|
|||||
78
|
3.63%, due 4/15/28
|
97
|
|||||
154
|
3.88%, due 4/15/29
|
199
|
|||||
169
|
2.13%, due 2/15/40
|
204
|
|||||
U.S. Treasury Notes
|
|||||||
150
|
1.00%, due 10/15/19
|
148
|
|||||
215
|
2.25%, due 7/31/21 – 8/15/46
|
204
|
|||||
35
|
2.13%, due 12/31/21
|
35
|
|||||
75
|
2.38%, due 8/15/24
|
75
|
|||||
Total U.S. Treasury Obligations (Cost $1,090)
|
1,120
|
||||||
Mortgage-Backed Securities 45.4%
|
|||||||
Collateralized Mortgage Obligations 6.5%
|
|||||||
Fannie Mae Connecticut Avenue Securities
|
|||||||
55
|
Ser. 2017-C04, Class 2M2, (1 month USD LIBOR + 2.85%), 5.36%, due 11/25/29
|
57
|
(e)
|
||||
100
|
Ser. 2017-C05, Class 1M2, (1 month USD LIBOR + 2.20%), 4.71%, due 1/25/30
|
102
|
(e)(f)
|
||||
20
|
Ser. 2017-C06, Class 1M2, (1 month USD LIBOR + 2.65%), 5.16%, due 2/25/30
|
21
|
(e)
|
||||
20
|
Ser. 2017-C06, Class 2M2, (1 month USD LIBOR + 2.80%), 5.31%, due 2/25/30
|
21
|
(e)
|
||||
40
|
Ser. 2017-C07, Class 2M2, (1 month USD LIBOR + 2.50%), 5.01%, due 5/25/30
|
41
|
(e)
|
||||
20
|
Ser. 2018-C01, Class 1M2, (1 month USD LIBOR + 2.25%), 4.76%, due 7/25/30
|
20
|
(e)
|
||||
Freddie Mac Structured Agency Credit Risk Debt Notes
|
|||||||
250
|
Ser. 2017-HQA2, Class M2, (1 month USD LIBOR + 2.65%), 5.16%, due 12/25/29
|
258
|
(e)
|
||||
40
|
Ser. 2018-DNA1, Class M2, (1 month USD LIBOR + 1.80%), 4.31%, due 7/25/30
|
39
|
(e)
|
||||
60
|
Ser. 2018-HQA1, Class M2, (1 month USD LIBOR + 2.30%), 4.81%, due 9/25/30
|
59
|
(e)
|
||||
618
|
|||||||
Commercial Mortgage-Backed 4.5%
|
|||||||
Citigroup Commercial Mortgage Trust
|
|||||||
25
|
Ser. 2013-GC11, Class B, 3.73%, due 4/10/46
|
25
|
(g)
|
||||
10
|
Ser. 2013-GC17, Class B, 5.10%, due 11/10/46
|
11
|
(g)
|
||||
30
|
Ser. 2018-C6, Class A1, 3.30%, due 11/10/51
|
30
|
|||||
Commercial Mortgage Trust
|
|||||||
35
|
Ser. 2014-UBS2, Class ASB, 3.47%, due 3/10/47
|
35
|
|||||
10
|
Ser. 2014-CR21, Class AM, 3.99%, due 12/10/47
|
10
|
|||||
60
|
CSAIL Commercial Mortgage Trust, Ser. 2015-C1, Class B, 4.04%, due 4/15/50
|
60
|
(g)
|
||||
GS Mortgage Securities Trust
|
|||||||
25
|
Ser. 2012-GCJ7, Class B, 4.74%, due 5/10/45
|
26
|
|||||
20
|
Ser. 2012-GCJ9, Class B, 3.75%, due 11/10/45
|
20
|
(h)
|
||||
30
|
Morgan Stanley Bank of America Merrill Lynch Trust, Ser. 2013-C9, Class AAB, 2.66%, due 5/15/46
|
29
|
|||||
15
|
Morgan Stanley Capital I Trust, Ser. 2018-L1, Class B, 4.72%, due 10/15/51
|
16
|
(g)
|
||||
UBS Commercial Mortgage Trust
|
|||||||
|
39
|
Ser. 2018-C15, Class A1, 3.32%, due 12/15/51
|
|
40
|
|||
39
|
Ser. 2018-C14, Class A1, 3.38%, due 12/15/51
|
40
|
|||||
Wells Fargo Commercial Mortgage Trust
|
|||||||
45
|
Ser. 2012-LC5, Class B, 4.14%, due 10/15/45
|
46
|
|||||
45
|
Ser. 2016-C35, Class B, 3.44%, due 7/15/48
|
44
|
|||||
432
|
|||||||
Fannie Mae 17.8%
|
|||||||
Pass-Through Certificates
|
|||||||
51
|
3.00%, due 11/1/45
|
50
|
|||||
539
|
3.50%, due 8/1/45 – 12/1/47
|
545
|
|||||
526
|
4.00%, due 2/1/45 – 9/1/48
|
538
|
|||||
120
|
4.00%, TBA, 30 Year Maturity
|
123
|
(i)
|
||||
345
|
4.50%, TBA, 30 Year Maturity
|
358
|
(i)
|
||||
75
|
5.00%, TBA, 30 Year Maturity
|
79
|
(i)
|
||||
1,693
|
|||||||
Freddie Mac 14.3%
|
|||||||
Pass-Through Certificates
|
|||||||
97
|
3.00%, due 11/1/46
|
95
|
|||||
432
|
3.50%, due 11/1/42 – 3/1/48
|
435
|
|||||
452
|
4.00%, due 1/1/40 – 7/1/48
|
465
|
|||||
160
|
4.00%, TBA, 30 Year Maturity
|
164
|
(i)
|
||||
195
|
4.50%, TBA, 30 Year Maturity
|
203
|
(i)
|
||||
1,362
|
|||||||
Ginnie Mae 2.3%
|
|||||||
Pass-Through Certificates
|
|||||||
49
|
4.50%, due 8/20/48
|
51
|
|||||
160
|
4.50%, TBA, 30 Year Maturity
|
166
|
(i)
|
||||
217
|
|||||||
Total Mortgage-Backed Securities (Cost $4,326)
|
4,322
|
||||||
Corporate Bonds 33.5%
|
|||||||
Agriculture 0.6%
|
|||||||
70
|
BAT Capital Corp., 4.54%, due 8/15/47
|
57
|
|||||
Auto Manufacturers 2.9%
|
|||||||
100
|
Ford Motor Credit Co. LLC, 3.66%, due 9/8/24
|
90
|
(f)
|
||||
40
|
General Motors Co., 6.75%, due 4/1/46
|
41
|
|||||
35
|
General Motors Financial Co., Inc., 3.15%, due 6/30/22
|
34
|
|||||
EUR
|
100
|
Volkswagen Int'l Finance NV, (10 year EUR Swap + 3.37%), 3.88%, due 6/14/27
|
107
|
(e)(f)(j)(k)
|
|||
272
|
|||||||
Banks 8.2%
|
|||||||
$
|
40
|
Bank of America Corp., (3 month USD LIBOR + 1.07%), 3.97%, due 3/5/29
|
40
|
(e)
|
|||
Citigroup, Inc.
|
|||||||
15
|
(3 month USD LIBOR + 1.56%), 3.89%, due 1/10/28
|
15
|
(e)
|
||||
20
|
(3 month USD LIBOR + 1.15%), 3.52%, due 10/27/28
|
19
|
(e)
|
||||
60
|
Citizens Financial Group, Inc., Ser. B, (3 month USD LIBOR + 3.00%), 6.00%, due 7/6/23
|
57
|
(e)(k)
|
||||
60
|
Fifth Third Bancorp, (3 month USD LIBOR + 3.03%), 5.10%, due 6/30/23
|
56
|
(e)(k)
|
||||
50
|
Goldman Sachs Group, Inc., 4.25%, due 10/21/25
|
51
|
|||||
100
|
HSBC Holdings PLC, (5 year USD ICE Swap + 3.75%), 6.00%, due 5/22/27
|
96
|
(e)(k)
|
||||
90
|
Morgan Stanley, 5.00%, due 11/24/25
|
95
|
|||||
|
100
|
Royal Bank of Scotland Group PLC, (3 month USD LIBOR + 1.48%), 3.50%, due 5/15/23
|
|
98
|
(e)
|
||
200
|
UBS Group Funding Switzerland AG, (5 year USD Swap + 4.59%), 6.88%, due 8/7/25
|
200
|
(e)(f)(j)(k)
|
||||
55
|
Westpac Banking Corp., (5 year USD ICE Swap + 2.89%), 5.00%, due 9/21/27
|
48
|
(e)(k)
|
||||
775
|
|||||||
Beverages 1.3%
|
|||||||
Anheuser-Busch InBev Worldwide, Inc.
|
|||||||
25
|
4.60%, due 4/15/48
|
23
|
|||||
95
|
5.80%, due 1/23/59
|
99
|
|||||
122
|
|||||||
Computers 2.0%
|
|||||||
185
|
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.45%, due 6/15/23
|
194
|
(f)(h)
|
||||
Diversified Financial Services 1.0%
|
|||||||
100
|
Discover Financial Services, 4.10%, due 2/9/27
|
97
|
|||||
Food 0.7%
|
|||||||
Kroger Co.
|
|||||||
35
|
3.88%, due 10/15/46
|
28
|
|||||
35
|
5.40%, due 1/15/49
|
35
|
|||||
63
|
|||||||
Gas 1.4%
|
|||||||
GBP
|
100
|
Centrica PLC, (5 year GBP Swap + 3.61%), 5.25%, due 4/10/75
|
132
|
(e)(f)(j)
|
|||
Insurance 0.4%
|
|||||||
$
|
35
|
AXA Equitable Holdings, Inc., 5.00%, due 4/20/48
|
33
|
||||
Machinery-Diversified 0.3%
|
|||||||
30
|
Wabtec Corp., 4.15%, due 3/15/24
|
29
|
|||||
Media 3.2%
|
|||||||
EUR
|
100
|
Bertelsmann SE & Co. KGaA, (5 year EUR Swap + 3.21%), 3.50%, due 4/23/75
|
111
|
(e)(f)(j)
|
|||
Comcast Corp.
|
|||||||
$
|
40
|
4.00%, due 8/15/47
|
37
|
||||
45
|
4.95%, due 10/15/58
|
48
|
|||||
Discovery Communications LLC
|
|||||||
100
|
4.90%, due 3/11/26
|
102
|
(f)
|
||||
10
|
5.20%, due 9/20/47
|
10
|
|||||
308
|
|||||||
Mining 1.1%
|
|||||||
100
|
Glencore Funding LLC, 4.63%, due 4/29/24
|
101
|
(f)(h)
|
||||
Miscellaneous Manufacturers 1.0%
|
|||||||
110
|
General Electric Co., Ser. D, (3 month USD LIBOR + 3.33%), 5.00%, due 1/21/21
|
97
|
(e)(f)(k)
|
||||
Oil & Gas 2.4%
|
|||||||
50
|
Canadian Natural Resources Ltd., 6.25%, due 3/15/38
|
57
|
|||||
15
|
Concho Resources, Inc., 4.88%, due 10/1/47
|
15
|
|||||
65
|
Marathon Oil Corp., 4.40%, due 7/15/27
|
65
|
|||||
100
|
Petroleos Mexicanos, 4.63%, due 9/21/23
|
95
|
|||||
232
|
|||||||
Pharmaceuticals 1.2%
|
|||||||
CVS Health Corp.
|
|||||||
35
|
4.30%, due 3/25/28
|
36
|
|||||
80
|
5.05%, due 3/25/48
|
82
|
|||||
118
|
|||||||
Pipelines 3.7%
|
|||||||
Energy Transfer Operating L.P.
|
|||||||
|
45
|
Ser. B, (3 month USD LIBOR + 4.16%), 6.63%, due 2/15/28
|
|
40
|
(e)(k)
|
||
35
|
5.80%, due 6/15/38
|
36
|
|||||
30
|
6.25%, due 4/15/49
|
32
|
|||||
100
|
Enterprise Products Operating LLC, Ser. E, (3 month USD LIBOR + 3.03%), 5.25%, due 8/16/77
|
88
|
(e)(f)
|
||||
50
|
Kinder Morgan Energy Partners L.P., 5.50%, due 3/1/44
|
52
|
|||||
100
|
MPLX L.P., 4.88%, due 12/1/24
|
104
|
(f)
|
||||
352
|
|||||||
Semiconductors 1.0%
|
|||||||
60
|
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, due 1/15/27
|
55
|
|||||
40
|
Microchip Technology, Inc., 4.33%, due 6/1/23
|
40
|
(h)
|
||||
95
|
|||||||
Telecommunications 1.1%
|
|||||||
EUR
|
100
|
Telefonica Europe BV, (5 year EUR Swap + 2.33%), 2.63%, due 6/7/23
|
108
|
(e)(f)(j)(k)
|
|||
Total Corporate Bonds (Cost $3,389)
|
3,185
|
||||||
Asset-Backed Securities 2.0%
|
|||||||
$
|
3
|
Ally Auto Receivables Trust, Ser. 2017-3, Class A2, 1.53%, due 3/16/20
|
3
|
||||
36
|
Bear Stearns Asset-Backed Securities I Trust, Ser. 2004-HE10, Class M1, (1 month USD LIBOR + 0.98%), 3.49%, due 12/25/34
|
36
|
(e)
|
||||
30
|
Centex Home Equity Loan Trust, Ser. 2005-D, Class M4, (1 month USD LIBOR + 0.61%), 3.12%, due 10/25/35
|
29
|
(e)
|
||||
37
|
Countrywide Asset-Backed Certificates, Ser. 2004-BC5, Class M5, (1 month USD LIBOR + 1.50%), 4.01%, due 10/25/34
|
38
|
(e)
|
||||
33
|
Long Beach Mortgage Loan Trust, Ser. 2004-4, Class M1, (1 month USD LIBOR + 0.90%), 3.41%, due 10/25/34
|
32
|
(e)
|
||||
34
|
Navient Student Loan Trust, Ser. 2017-4A, Class A1, (1 month USD LIBOR + 0.24%), 2.75%, due 9/27/66
|
34
|
(e)(h)
|
||||
18
|
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates, Ser. 2004-1, Class 2A1, (1 month USD LIBOR + 0.30%), 2.81%, due 4/25/34
|
18
|
(e)
|
||||
Total Asset-Backed Securities (Cost $191)
|
190
|
||||||
Foreign Government Securities 13.8%
|
|||||||
30
|
Bolivian Government International Bond, 4.50%, due 3/20/28
|
27
|
(h)
|
||||
Brazilian Government International Bond
|
|||||||
45
|
2.63%, due 1/5/23
|
43
|
|||||
25
|
5.63%, due 2/21/47
|
25
|
|||||
Colombia Government International Bond
|
|||||||
30
|
4.00%, due 2/26/24
|
30
|
|||||
20
|
3.88%, due 4/25/27
|
20
|
|||||
40
|
Costa Rica Government International Bond, 7.16%, due 3/12/45
|
36
|
(j)
|
||||
Dominican Republic International Bond
|
|||||||
30
|
5.88%, due 4/18/24
|
31
|
(h)
|
||||
25
|
6.88%, due 1/29/26
|
27
|
(h)
|
||||
60
|
Guatemala Government Bond, 4.38%, due 6/5/27
|
57
|
(h)
|
||||
30
|
Hungary Government International Bond, 7.63%, due 3/29/41
|
43
|
|||||
Indonesia Government International Bond
|
|||||||
70
|
3.70%, due 1/8/22
|
70
|
(h)
|
||||
20
|
4.35%, due 1/8/27
|
20
|
(h)
|
||||
70
|
Kazakhstan Government International Bond, 5.13%, due 7/21/25
|
75
|
(h)
|
||||
30
|
Mexico Government International Bond, 4.35%, due 1/15/47
|
27
|
|||||
Morocco Government International Bond
|
|||||||
|
60
|
4.25%, due 12/11/22
|
|
61
|
(h)
|
||
20
|
5.50%, due 12/11/42
|
21
|
(h)
|
||||
25
|
Namibia International Bond, 5.25%, due 10/29/25
|
24
|
(h)
|
||||
Oman Government International Bond
|
|||||||
30
|
3.88%, due 3/8/22
|
29
|
(h)
|
||||
20
|
5.38%, due 3/8/27
|
18
|
(h)
|
||||
20
|
6.50%, due 3/8/47
|
17
|
(h)
|
||||
Panama Government International Bond
|
|||||||
30
|
3.75%, due 3/16/25
|
30
|
|||||
20
|
3.88%, due 3/17/28
|
20
|
|||||
20
|
4.50%, due 5/15/47
|
20
|
|||||
30
|
Paraguay Government International Bond, 4.70%, due 3/27/27
|
31
|
(h)
|
||||
45
|
Peruvian Government International Bond, 8.75%, due 11/21/33
|
68
|
|||||
50
|
Philippine Government International Bond, 3.95%, due 1/20/40
|
51
|
|||||
Qatar Government International Bond
|
|||||||
20
|
3.25%, due 6/2/26
|
19
|
(h)
|
||||
20
|
4.63%, due 6/2/46
|
21
|
(h)
|
||||
ZAR
|
660
|
Republic of South Africa Government Bond, 6.50%, due 2/28/41
|
36
|
||||
Republic of South Africa Government International Bond
|
|||||||
$
|
30
|
4.88%, due 4/14/26
|
30
|
||||
20
|
4.30%, due 10/12/28
|
19
|
|||||
20
|
5.00%, due 10/12/46
|
18
|
|||||
25
|
Romanian Government International Bond, 6.13%, due 1/22/44
|
28
|
(h)
|
||||
Saudi Government International Bond
|
|||||||
20
|
3.25%, due 10/26/26
|
19
|
(h)
|
||||
20
|
4.50%, due 10/26/46
|
19
|
(h)
|
||||
45
|
Serbia International Bond, 4.88%, due 2/25/20
|
45
|
(h)
|
||||
50
|
Trinidad & Tobago Government International Bond, 4.50%, due 8/4/26
|
46
|
(h)
|
||||
30
|
Turkey Government International Bond, 6.13%, due 10/24/28
|
29
|
|||||
Uruguay Government International Bond
|
|||||||
30
|
4.38%, due 10/27/27
|
31
|
|||||
30
|
5.10%, due 6/18/50
|
31
|
|||||
Total Foreign Government Securities (Cost $1,362)
|
1,312
|
||||||
NUMBER OF
SHARES |
|||||||
Short-Term Investments 1.4%
|
|||||||
Investment Companies 1.4%
|
|||||||
139,049
|
State Street Institutional U.S. Government Money Market Fund Premier Class, 2.32%(l) (Cost $139)
|
139
|
(f)
|
||||
Total Investments 107.9% (Cost $10,497)
|
10,268
|
||||||
Liabilities Less Other Assets (7.9)%
|
(751)
|
(m)
|
|||||
Net Assets 100.0%
|
$9,517
|
(a)
|
Principal amount is stated in the currency in which the security is denominated.
|
|
(b)
|
Rate shown was the discount rate at the date of purchase.
|
|
(c)
|
All or a portion of the security is pledged as collateral for futures.
|
|
(d)
|
Index-linked bond whose principal amount adjusts according to a government retail price index.
|
|
(e)
|
Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2019 and changes periodically.
|
|
(f)
|
All or a portion of this security is segregated in connection with obligations for to be announced securities, futures and/or swaps with a total value of approximately $1,675,000.
|
|
(g)
|
Variable or floating rate security where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of January 31, 2019.
|
|
(h)
|
Securities were purchased under Rule 144A of the 1933 Act, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2019, these securities amounted to approximately $1,094,000, which represents 11.5% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
|
|
(i)
|
TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total value of all such securities (excluding forward sales contracts, if any) at January 31, 2019 amounted to approximately $1,093,000, which represents 11.5% of net assets of the Fund.
|
|
(j)
|
Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at January 31, 2019 amounted to approximately $694,000, which represents 7.3% of net assets of the Fund.
|
|
(k)
|
Perpetual Bond Security. The rate reflected was the rate in effect on January 31, 2019. The maturity date reflects the next call date.
|
|
(l)
|
Represents 7-day effective yield as of January 31, 2019.
|
|
(m)
|
Includes the impact of the Fund's open positions in derivatives at January 31, 2019.
|
Futures contracts ("futures")
|
|
At January 31, 2019, open positions in futures for the Fund were as follows:
|
Long Futures:
|
Expiration Date
|
Number of
Contracts |
Open Contracts
|
Notional
Amount |
Value and
Unrealized Appreciation/ (Depreciation) |
|||||||
3/2019
|
5
|
U.S. Treasury Note, 10 Year
|
$
|
612,344
|
$
|
16,680
|
|||||
3/2019
|
4
|
U.S. Treasury Note, 2 Year
|
849,313
|
1,313
|
|||||||
3/2019
|
4
|
U.S. Treasury Note, 5 Year
|
459,438
|
4,312
|
|||||||
Total Long Positions
|
$
|
1,921,095
|
$
|
22,305
|
|||||||
Short Futures:
|
|||||||||||
Expiration Date
|
Number of
Contracts |
Open Contracts
|
Notional
Amount |
Value and
Unrealized Appreciation/ (Depreciation) |
|||||||
3/2019
|
1
|
Euro-Bund
|
$
|
(189,626)
|
$
|
(1,751)
|
|||||
3/2019
|
1
|
Euro-Buxl Bond, 30 Year
|
(212,735)
|
(10,004)
|
|||||||
3/2019
|
2
|
Euro
|
(287,163)
|
(1,875)
|
|||||||
3/2019
|
2
|
Pound Sterling
|
(164,263)
|
(6,812)
|
|||||||
3/2019
|
1
|
South African Rand
|
(37,475)
|
(2,913)
|
|||||||
3/2019
|
2
|
U.S. Treasury Note, Ultra 10 Year
|
(261,375)
|
(6,844)
|
|||||||
Total Short Positions
|
$
|
(1,152,637)
|
$
|
(30,199)
|
|||||||
Total Futures
|
$
|
(7,894)
|
Credit default swap contracts ("credit default swaps")
|
||||||||||||||||||
At January 31, 2019, the Fund had outstanding credit default swaps as follows:
|
||||||||||||||||||
Centrally Cleared Credit Default Swaps — Sell Protection
|
Clearinghouse
|
Reference
Entity |
Notional
Amount |
Financing Rate
Received by the Fund |
Payment Frequency
|
Maturity
Date |
Upfront
Payments (Receipts) |
Unrealized
Appreciation/ (Depreciation) |
Accrued
Net Interest Receivable/ (Payable) |
Value
|
||||
ICE CC
|
CDX North American High Yield Index, Ser. 29 V.3
|
USD 514,500
|
5.00%
|
3M
|
12/20/2022
|
$
|
29,092
|
$
|
5,555
|
$
|
3,073
|
$
|
37,720
|
ICE CC
|
CDX North American High Yield Index, Ser. 31 V.3
|
USD 98,000
|
5.00%
|
3M
|
12/20/2023
|
2,975
|
2,955
|
585
|
6,515
|
||||
Total
|
$
|
32,067
|
$
|
8,510
|
$
|
3,658
|
$
|
44,235
|
Interest rate swap contracts ("interest rate swaps")
|
|
At January 31, 2019, the Fund had outstanding interest rate swaps as follows:
|
|
Centrally cleared interest rate swaps
|
Clearinghouse
|
Notional
Amount |
Fund
Pays/Receives Floating Rate |
Floating Rate
Index |
Annual
Fixed-Rate |
Frequency of Fund Receipt/
Payment
|
Maturity
Date |
Unrealized
Appreciation/ (Depreciation) |
Accrued Net Interest Receivable/ (Payable)
|
Value
|
|||
CME
|
USD 120,000
|
Receive
|
3-month USD LIBOR
|
2.91%
|
3M/6M
|
12/13/2028
|
$
|
(2,946)
|
$
|
(2)
|
$
|
(2,948)
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2019:
|
Asset Valuation Inputs
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments:
|
||||||||||||||||
U.S. Treasury Obligations
|
$
|
—
|
$
|
1,120
|
$
|
—
|
$
|
1,120
|
||||||||
Mortgage-Backed Securities(a)
|
—
|
4,322
|
—
|
4,322
|
||||||||||||
Corporate Bonds(a)
|
—
|
3,185
|
—
|
3,185
|
||||||||||||
Asset-Backed Securities
|
—
|
190
|
—
|
190
|
||||||||||||
Foreign Government Securities
|
—
|
1,312
|
—
|
1,312
|
||||||||||||
Short-Term Investments
|
—
|
139
|
—
|
139
|
||||||||||||
Total Investments
|
$
|
—
|
$
|
10,268
|
$
|
—
|
$
|
10,268
|
(a)
|
The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of January 31, 2019:
|
Other Financial Instruments
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Futures(a)
|
||||||||||||||||
Assets
|
22
|
—
|
—
|
22
|
||||||||||||
Liabilities
|
(30
|
)
|
—
|
—
|
(30
|
)
|
||||||||||
Swaps
|
||||||||||||||||
Assets
|
—
|
44
|
—
|
44
|
||||||||||||
Liabilities
|
—
|
(3
|
)
|
—
|
(3
|
)
|
||||||||||
Total
|
$
|
(8
|
)
|
$
|
41
|
$
|
—
|
$
|
33
|
(a)
|
Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
|
PRINCIPAL
AMOUNT(a) |
VALUE†
|
||||||
(000's omitted)
|
(000's omitted)
|
||||||
Corporate Bonds 24.5%(a)
|
|||||||
Argentina 0.7%
|
|||||||
$
|
300
|
Agua y Saneamientos Argentinos SA, 6.63%, due 2/1/23
|
$
|
235
|
(b)
|
||
206
|
Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, due 7/27/23
|
182
|
(c)
|
||||
86
|
Genneia SA, 8.75%, due 1/20/22
|
80
|
(c)
|
||||
Pampa Energia SA
|
|||||||
257
|
7.38%, due 7/21/23
|
244
|
(c)
|
||||
200
|
7.38%, due 7/21/23
|
189
|
(b)
|
||||
234
|
Rio Energy SA/UGEN SA/UENSA SA, 6.88%, due 2/1/25
|
187
|
(c)
|
||||
YPF SA
|
|||||||
83
|
(BADLARPP + 4.00%, 18.00% Floor), 51.73%, due 7/7/20
|
35
|
(b)(d)
|
||||
200
|
8.50%, due 7/28/25
|
196
|
(b)
|
||||
206
|
7.00%, due 12/15/47
|
168
|
(c)
|
||||
1,516
|
|||||||
Azerbaijan 0.8%
|
|||||||
Southern Gas Corridor CJSC
|
|||||||
1,500
|
6.88%, due 3/24/26
|
1,665
|
(b)(e)
|
||||
200
|
6.88%, due 3/24/26
|
222
|
(b)
|
||||
1,887
|
|||||||
Bahrain 0.1%
|
|||||||
219
|
Oil & Gas Holding Co., 7.63%, due 11/7/24
|
232
|
(c)
|
||||
Belarus 0.2%
|
|||||||
Eurotorg LLC Via Bonitron DAC
|
|||||||
200
|
8.75%, due 10/30/22
|
201
|
(c)
|
||||
200
|
8.75%, due 10/30/22
|
201
|
(b)
|
||||
402
|
|||||||
Brazil 2.8%
|
|||||||
Banco do Brasil SA
|
|||||||
260
|
4.88%, due 4/19/23
|
263
|
(c)
|
||||
284
|
4.63%, due 1/15/25
|
279
|
(c)
|
||||
250
|
Braskem Finance Ltd., 6.45%, due 2/3/24
|
270
|
|||||
200
|
Cemig Geracao e Transmissao SA, 9.25%, due 12/5/24
|
218
|
(c)
|
||||
CSN Resources SA
|
|||||||
558
|
6.50%, due 7/21/20
|
554
|
(b)(e)
|
||||
222
|
7.63%, due 2/13/23
|
217
|
(c)
|
||||
365
|
Itau Unibanco Holding SA, (5 year CMT + 3.86%), 6.50%, due 3/19/23
|
359
|
(c)(d)(f)
|
||||
259
|
Light Servicos de Eletricidade SA/Light Energia SA, 7.25%, due 5/3/23
|
260
|
(c)
|
||||
276
|
MARB BondCo PLC, 6.88%, due 1/19/25
|
264
|
(c)
|
||||
850
|
Marfrig Holdings Europe BV, 8.00%, due 6/8/23
|
878
|
(b)(e)
|
||||
254
|
Minerva Luxembourg SA, 6.50%, due 9/20/26
|
243
|
(c)
|
||||
Petrobras Global Finance BV
|
|||||||
616
|
7.38%, due 1/17/27
|
670
|
(e)
|
||||
50
|
6.00%, due 1/27/28
|
50
|
|||||
250
|
Raizen Fuels Finance SA, 5.30%, due 1/20/27
|
249
|
(b)
|
||||
267
|
Rede D'or Finance Sarl, 4.95%, due 1/17/28
|
250
|
(c)
|
||||
200
|
Rumo Luxembourg Sarl, 7.38%, due 2/9/24
|
212
|
(c)
|
||||
253
|
Suzano Austria GmbH, 6.00%, due 1/15/29
|
265
|
(c)(m)
|
||||
Vale Overseas Ltd.
|
|||||||
117
|
8.25%, due 1/17/34
|
142
|
|||||
27
|
6.88%, due 11/21/36
|
30
|
|||||
400
|
VM Holding SA Co., 5.38%, due 5/4/27
|
396
|
(b)
|
||||
|
200
|
Votorantim Cimentos SA, 7.25%, due 4/5/41
|
|
210
|
(b)
|
||
6,279
|
|||||||
Chile 0.9%
|
|||||||
422
|
Banco de Credito e Inversiones, 3.50%, due 10/12/27
|
397
|
(c)
|
||||
197
|
Celeo Redes Operacion Chile SA, 5.20%, due 6/22/47
|
186
|
(b)
|
||||
200
|
Celulosa Arauco y Constitucion SA, 5.50%, due 11/2/47
|
192
|
|||||
204
|
Codelco, Inc., 4.38%, due 2/5/49
|
195
|
(c)(g)
|
||||
200
|
Empresa Nacional del Petroleo, 5.25%, due 11/6/29
|
211
|
(c)
|
||||
Geopark Ltd.
|
|||||||
200
|
6.50%, due 9/21/24
|
194
|
(b)
|
||||
389
|
6.50%, due 9/21/24
|
376
|
(c)
|
||||
250
|
SACI Falabella, 3.75%, due 10/30/27
|
235
|
(b)
|
||||
179
|
VTR Finance BV, 6.88%, due 1/15/24
|
184
|
(b)
|
||||
2,170
|
|||||||
China 2.8%
|
|||||||
212
|
Alibaba Group Holding Ltd., 4.20%, due 12/6/47
|
200
|
|||||
300
|
Azure Orbit IV Int'l Finance Ltd., 3.75%, due 1/25/23
|
295
|
(b)
|
||||
200
|
Bluestar Finance Holdings Ltd., 3.50%, due 9/30/21
|
196
|
(b)
|
||||
300
|
CCCI Treasure Ltd., (5 year CMT + 7.19%), 3.50%, due 4/21/20
|
297
|
(b)(d)(f)
|
||||
200
|
CDBL Funding 1, 3.00%, due 4/24/23
|
191
|
(b)
|
||||
200
|
Chalieco Hong Kong Corp. Ltd., (3 year CMT + 8.29%), 5.70%, due 1/15/20
|
201
|
(b)(d)(f)
|
||||
400
|
Charming Light Investments Ltd., 4.38%, due 12/21/27
|
386
|
(b)
|
||||
250
|
China Construction Bank Corp., (5 year CMT + 2.43%), 3.88%, due 5/13/25
|
249
|
(b)(d)
|
||||
China Evergrande Group
|
|||||||
300
|
8.25%, due 3/23/22
|
284
|
(b)
|
||||
300
|
9.50%, due 3/29/24
|
280
|
(b)
|
||||
China Minmetals Corp.
|
|||||||
210
|
(3 year CMT + 6.07%), 4.45%, due 5/13/21
|
209
|
(b)(d)(f)
|
||||
416
|
(5 year CMT + 4.72%), 3.75%, due 11/13/22
|
391
|
(b)(d)(f)
|
||||
CNAC HK Finbridge Co. Ltd.
|
|||||||
210
|
4.63%, due 3/14/23
|
214
|
(b)
|
||||
200
|
5.13%, due 3/14/28
|
208
|
(b)
|
||||
200
|
CNOOC Finance 2015 USA LLC, 3.50%, due 5/5/25
|
197
|
|||||
200
|
Country Garden Holdings Co. Ltd., 5.63%, due 12/15/26
|
195
|
(b)
|
||||
201
|
Dianjian Int'l Finance Ltd., (5 year CMT + 6.93%), 4.60%, due 3/13/23
|
195
|
(b)(d)(f)
|
||||
300
|
Franshion Brilliant Ltd., (5 year CMT + 3.86%), 5.75%, due 1/17/22
|
269
|
(b)(d)(f)
|
||||
200
|
Huarong Finance 2017 Co. Ltd., (5 year CMT + 6.98%), 4.00%, due 11/7/22
|
188
|
(b)(d)(f)
|
||||
20
|
Nexen, Inc., 5.88%, due 3/10/35
|
23
|
|||||
400
|
Sinopec Group Overseas Development 2015 Ltd., 3.25%, due 4/28/25
|
389
|
(b)
|
||||
312
|
Sinopec Group Overseas Development 2017 Ltd., 3.25%, due 9/13/27
|
296
|
(c)
|
||||
Sunac China Holdings Ltd.
|
|||||||
300
|
6.88%, due 8/8/20
|
299
|
(b)
|
||||
250
|
8.35%, due 4/19/23
|
247
|
(b)
|
||||
200
|
Sunny Optical Technology Group Co. Ltd., 3.75%, due 1/23/23
|
193
|
(b)
|
||||
200
|
Tsinghua Unic Ltd., 5.38%, due 1/31/23
|
186
|
(b)
|
||||
6,278
|
|||||||
Colombia 1.5%
|
|||||||
Banco de Bogota SA
|
|||||||
|
200
|
5.38%, due 2/19/23
|
|
205
|
(b)
|
||
400
|
6.25%, due 5/12/26
|
418
|
(b)
|
||||
Ecopetrol SA
|
|||||||
300
|
7.38%, due 9/18/43
|
348
|
|||||
200
|
5.88%, due 5/28/45
|
197
|
|||||
Empresas Publicas de Medellin ESP
|
|||||||
COP
|
1,278,000
|
8.38%, due 2/1/21
|
413
|
(b)
|
|||
COP
|
807,000
|
7.63%, due 9/10/24
|
253
|
(c)
|
|||
COP
|
1,600,000
|
8.38%, due 11/8/27
|
508
|
(c)
|
|||
COP
|
437,000
|
Financiera de Desarrollo Territorial SA Findeter, 7.88%, due 8/12/24
|
143
|
(c)
|
|||
$
|
343
|
Gran Tierra Energy Int'l Holdings Ltd., 6.25%, due 2/15/25
|
323
|
(c)
|
|||
300
|
Grupo Aval Ltd., 4.75%, due 9/26/22
|
296
|
(b)
|
||||
300
|
SURA Asset Management SA, 4.88%, due 4/17/24
|
305
|
(b)
|
||||
3,409
|
|||||||
Ghana 0.2%
|
|||||||
Tullow Oil PLC
|
|||||||
200
|
6.25%, due 4/15/22
|
197
|
(b)
|
||||
210
|
7.00%, due 3/1/25
|
205
|
(c)
|
||||
402
|
|||||||
Guatemala 0.4%
|
|||||||
250
|
Central American Bottling Corp., 5.75%, due 1/31/27
|
249
|
(c)
|
||||
600
|
Comunicaciones Celulares SA via Comcel Trust, 6.88%, due 2/6/24
|
620
|
(b)(e)
|
||||
869
|
|||||||
Hong Kong 1.3%
|
|||||||
250
|
Bank of East Asia Ltd., (5 year CMT + 3.83%), 5.50%, due 12/2/20
|
249
|
(b)(d)(f)
|
||||
309
|
Celestial Miles Ltd., (5 year CMT + 8.21%), 5.75%, due 1/31/24
|
310
|
(b)(d)(f)
|
||||
300
|
Fita Int'l Ltd., 7.00%, due 2/10/20
|
310
|
(b)
|
||||
200
|
HLP Finance Ltd., 4.45%, due 4/16/21
|
203
|
(b)
|
||||
200
|
Melco Resorts Finance Ltd., 4.88%, due 6/6/25
|
188
|
(c)
|
||||
200
|
NWD Finance BVI Ltd., 5.75%, due 10/5/21
|
181
|
(b)(f)
|
||||
300
|
PCPD Capital Ltd., 4.75%, due 3/9/22
|
292
|
(b)
|
||||
216
|
RKPF Overseas 2019 A Ltd., 7.88%, due 2/1/23
|
217
|
(b)(g)
|
||||
500
|
Studio City Co. Ltd., 7.25%, due 11/30/21
|
516
|
(b)(e)
|
||||
200
|
Studio City Finance Ltd., 7.25%, due 2/11/24
|
202
|
(c)(g)
|
||||
WTT Investment Ltd.
|
|||||||
200
|
5.50%, due 11/21/22
|
197
|
(c)
|
||||
200
|
5.50%, due 11/21/22
|
197
|
(b)
|
||||
3,062
|
|||||||
India 0.6%
|
|||||||
200
|
ABJA Investment Co. Pte Ltd., 5.45%, due 1/24/28
|
181
|
(b)
|
||||
200
|
Azure Power Energy Ltd., 5.50%, due 11/3/22
|
194
|
(c)
|
||||
200
|
Bharti Airtel Int'l Netherlands BV, 5.35%, due 5/20/24
|
201
|
(b)
|
||||
200
|
Oil India Ltd., 5.13%, due 2/4/29
|
200
|
(b)(g)
|
||||
250
|
Reliance Industries Ltd., 4.88%, due 2/10/45
|
247
|
(c)
|
||||
Vedanta Resources PLC
|
|||||||
200
|
6.38%, due 7/30/22
|
193
|
(b)
|
||||
200
|
6.38%, due 7/30/22
|
193
|
(c)
|
||||
1,409
|
|||||||
Indonesia 0.6%
|
|||||||
200
|
Indika Energy Capital III Pte Ltd., 5.88%, due 11/9/24
|
182
|
(b)
|
||||
200
|
Indo Energy Finance II BV, 6.38%, due 1/24/23
|
194
|
(b)
|
||||
200
|
Indonesia Asahan Aluminium Persero PT, 6.76%, due 11/15/48
|
221
|
(b)
|
||||
|
250
|
Perusahaan Gas Negara Persero Tbk, 5.13%, due 5/16/24
|
|
255
|
(b)
|
||
Perusahaan Listrik Negara PT
|
|||||||
EUR
|
100
|
2.88%, due 10/25/25
|
118
|
(c)
|
|||
$
|
200
|
5.45%, due 5/21/28
|
210
|
(c)
|
|||
200
|
6.15%, due 5/21/48
|
215
|
(c)
|
||||
1,395
|
|||||||
Israel 0.4%
|
|||||||
200
|
Altice Financing SA, 7.50%, due 5/15/26
|
190
|
(b)
|
||||
200
|
Israel Electric Corp. Ltd., 5.00%, due 11/12/24
|
210
|
(b)
|
||||
Teva Pharmaceutical Finance Netherlands III BV
|
|||||||
400
|
2.80%, due 7/21/23
|
360
|
|||||
200
|
3.15%, due 10/1/26
|
166
|
|||||
100
|
4.10%, due 10/1/46
|
73
|
|||||
999
|
|||||||
Jamaica 0.1%
|
|||||||
98
|
Digicel Group, 8.25%, due 9/30/22
|
53
|
(c)
|
||||
102
|
Digicel Group One Ltd., 8.25%, due 12/30/22
|
84
|
(c)
|
||||
137
|
|||||||
Kazakhstan 0.9%
|
|||||||
450
|
Kazkommertsbank JSC, 5.50%, due 12/21/22
|
448
|
(b)
|
||||
KazMunayGas National Co. JSC
|
|||||||
200
|
4.75%, due 4/24/25
|
207
|
(c)
|
||||
499
|
5.38%, due 4/24/30
|
516
|
(c)
|
||||
200
|
5.75%, due 4/19/47
|
202
|
(c)
|
||||
560
|
5.75%, due 4/19/47
|
565
|
(b)(e)
|
||||
225
|
6.38%, due 10/24/48
|
240
|
(c)
|
||||
2,178
|
|||||||
Korea 0.8%
|
|||||||
316
|
Hanwha Life Insurance Co. Ltd., (5 year CMT + 2.00%), 4.70%, due 4/23/48
|
303
|
(c)(d)
|
||||
200
|
Hyundai Capital Services, Inc., 3.75%, due 3/5/23
|
199
|
(c)
|
||||
200
|
Korea East-West Power Co. Ltd., 3.88%, due 7/19/23
|
203
|
(c)
|
||||
200
|
Kyobo Life Insurance Co. Ltd., (5 year CMT + 2.09%), 3.95%, due 7/24/47
|
192
|
(b)(d)
|
||||
200
|
Shinhan Bank Co. Ltd., 3.88%, due 3/24/26
|
195
|
(c)
|
||||
200
|
Shinhan Financial Group Co. Ltd., (5 year CMT + 3.05%), 5.88%, due 8/13/23
|
200
|
(b)(d)(f)
|
||||
Woori Bank
|
|||||||
200
|
4.75%, due 4/30/24
|
204
|
(c)
|
||||
300
|
4.75%, due 4/30/24
|
306
|
(b)
|
||||
1,802
|
|||||||
Kuwait 0.1%
|
|||||||
200
|
NBK Tier 1 Financing Ltd., (6 year USD Swap + 4.12%), 5.75%, due 4/9/21
|
202
|
(b)(d)(f)
|
||||
Macau 0.2%
|
|||||||
400
|
Sands China Ltd., 5.40%, due 8/8/28
|
395
|
|||||
Malaysia 0.1%
|
|||||||
200
|
TNB Global Ventures Capital Bhd, 4.85%, due 11/1/28
|
204
|
(b)
|
||||
Mexico 3.0%
|
|||||||
200
|
Alfa SAB de CV, 6.88%, due 3/25/44
|
204
|
(b)
|
||||
200
|
Banco Mercantil del Norte SA, (10 year CMT + 5.35%), 7.63%, due 1/10/28
|
198
|
(b)(d)(f)
|
||||
Cemex SAB de CV
|
|||||||
200
|
5.70%, due 1/11/25
|
203
|
(b)
|
||||
300
|
7.75%, due 4/16/26
|
324
|
(b)
|
||||
365
|
Cometa Energia SA de CV, 6.38%, due 4/24/35
|
351
|
(c)
|
||||
MXN
|
6,480
|
Comision Federal de Electricidad, Ser. 14-2, 7.35%, due 11/25/25
|
302
|
||||
$
|
300
|
Elementia SAB de CV, 5.50%, due 1/15/25
|
|
281
|
(b)
|
||
200
|
Infraestructura Energetica Nova SAB de CV, 4.88%, due 1/14/48
|
164
|
(c)
|
||||
200
|
Mexichem SAB de CV, 5.88%, due 9/17/44
|
187
|
(b)
|
||||
242
|
Mexico City Airport Trust, 5.50%, due 7/31/47
|
214
|
(c)
|
||||
Petroleos Mexicanos
|
|||||||
MXN
|
13,180
|
7.19%, due 9/12/24
|
541
|
(b)
|
|||
$
|
41
|
6.88%, due 8/4/26
|
40
|
||||
MXN
|
41,443
|
Ser. 14-2, 7.47%, due 11/12/26
|
1,615
|
||||
$
|
222
|
5.35%, due 2/12/28
|
194
|
||||
164
|
6.50%, due 1/23/29
|
154
|
|||||
750
|
6.50%, due 6/2/41
|
654
|
(e)
|
||||
92
|
6.75%, due 9/21/47
|
80
|
|||||
419
|
6.35%, due 2/12/48
|
350
|
|||||
300
|
PLA Administradora Industrial S de RL de CV, 5.25%, due 11/10/22
|
303
|
(b)
|
||||
200
|
Sigma Alimentos SA de CV, 4.13%, due 5/2/26
|
193
|
(b)
|
||||
200
|
Trust F/1401, 6.95%, due 1/30/44
|
200
|
(b)
|
||||
6,752
|
|||||||
Mongolia 0.1%
|
|||||||
200
|
Trade & Development Bank of Mongolia LLC, 9.38%, due 5/19/20
|
208
|
(b)
|
||||
Nigeria 0.2%
|
|||||||
200
|
SEPLAT Petroleum Development Co. PLC, 9.25%, due 4/1/23
|
204
|
(c)
|
||||
200
|
Zenith Bank PLC, 7.38%, due 5/30/22
|
204
|
(b)
|
||||
408
|
|||||||
Oman 0.1%
|
|||||||
242
|
Oztel Holdings SPC Ltd., 6.63%, due 4/24/28
|
228
|
(c)
|
||||
Panama 0.1%
|
|||||||
200
|
C&W Senior Financing Designated Activity Co., 6.88%, due 9/15/27
|
191
|
(c)
|
||||
Peru 0.9%
|
|||||||
100
|
BBVA Banco Continental SA, (5 year CMT + 2.75%), 5.25%, due 9/22/29
|
103
|
(b)(d)
|
||||
222
|
Fenix Power Peru SA, 4.32%, due 9/20/27
|
213
|
(c)
|
||||
PEN
|
843
|
Fondo MIVIVIENDA SA, 7.00%, due 2/14/24
|
272
|
(c)
|
|||
$
|
200
|
Hunt Oil Co. of Peru LLC Sucursal Del Peru, 6.38%, due 6/1/28
|
211
|
(c)
|
|||
205
|
Inkia Energy Ltd., 5.88%, due 11/9/27
|
196
|
(c)
|
||||
Orazul Energy Egenor S en C por A
|
|||||||
200
|
5.63%, due 4/28/27
|
184
|
(c)
|
||||
200
|
5.63%, due 4/28/27
|
185
|
(b)
|
||||
200
|
Petroleos del Peru SA, 4.75%, due 6/19/32
|
198
|
(c)
|
||||
250
|
Southern Copper Corp., 6.75%, due 4/16/40
|
287
|
|||||
200
|
Volcan Cia Minera SAA, 5.38%, due 2/2/22
|
203
|
(b)
|
||||
2,052
|
|||||||
Philippines 0.1%
|
|||||||
200
|
VLL Int'l, Inc., 5.75%, due 11/28/24
|
187
|
(b)
|
||||
Qatar 0.0%(h)
|
|||||||
100
|
Nakilat, Inc., 6.07%, due 12/31/33
|
112
|
(b)
|
||||
Russia 1.0%
|
|||||||
Credit Bank of Moscow Via CBOM Finance PLC
|
|||||||
319
|
5.88%, due 11/7/21
|
319
|
(c)
|
||||
200
|
5.55%, due 2/14/23
|
193
|
(c)
|
||||
300
|
Evraz Group SA, 5.38%, due 3/20/23
|
300
|
(b)
|
||||
200
|
Gazprom OAO Via Gaz Capital SA, 4.95%, due 7/19/22
|
204
|
(b)
|
||||
GTH Finance BV
|
|||||||
250
|
6.25%, due 4/26/20
|
254
|
(b)
|
||||
200
|
7.25%, due 4/26/23
|
210
|
(b)
|
||||
200
|
GTLK Europe DAC, 5.95%, due 7/19/21
|
201
|
(b)
|
||||
|
200
|
Sberbank of Russia Via SB Capital SA, 5.13%, due 10/29/22
|
|
200
|
(b)
|
||
205
|
SCF Capital Ltd., 5.38%, due 6/16/23
|
203
|
(c)
|
||||
300
|
Vnesheconombank Via VEB Finance PLC, 6.80%, due 11/22/25
|
314
|
(b)
|
||||
2,398
|
|||||||
Singapore 0.3%
|
|||||||
200
|
DBS Group Holdings Ltd., (5 year USD ICE Swap + 1.59%), 4.52%, due 12/11/28
|
205
|
(c)(d)
|
||||
200
|
Oversea-Chinese Banking Corp. Ltd., 4.25%, due 6/19/24
|
202
|
(b)
|
||||
200
|
Parkway Pantai Ltd., (5 year CMT + 4.43%), 4.25%, due 7/27/22
|
186
|
(b)(d)(f)
|
||||
593
|
|||||||
South Africa 0.9%
|
|||||||
Eskom Holdings SOC Ltd.
|
|||||||
260
|
6.75%, due 8/6/23
|
256
|
(b)
|
||||
400
|
7.13%, due 2/11/25
|
394
|
(c)
|
||||
206
|
6.35%, due 8/10/28
|
211
|
(c)
|
||||
200
|
FirstRand Bank Ltd., (5 year USD Swap + 3.56%), 6.25%, due 4/23/28
|
204
|
(b)(d)
|
||||
318
|
Liquid Telecommunications Financing PLC, 8.50%, due 7/13/22
|
324
|
(c)
|
||||
250
|
Petra Diamonds US Treasury PLC, 7.25%, due 5/1/22
|
235
|
(b)
|
||||
SASOL Financing USA LLC
|
|||||||
200
|
5.88%, due 3/27/24
|
206
|
|||||
200
|
6.50%, due 9/27/28
|
211
|
|||||
2,041
|
|||||||
Supranational 0.1%
|
|||||||
205
|
Banque Ouest Africaine de Developpement, 5.00%, due 7/27/27
|
200
|
(c)
|
||||
Thailand 0.3%
|
|||||||
200
|
PTT PCL, 4.50%, due 10/25/42
|
189
|
(b)
|
||||
200
|
PTTEP Treasury Center Co. Ltd., (5 year CMT + 2.72%), 4.60%, due 7/17/22
|
189
|
(b)(d)(f)
|
||||
Thaioil Treasury Center Co. Ltd.
|
|||||||
200
|
4.63%, due 11/20/28
|
206
|
(c)
|
||||
200
|
5.38%, due 11/20/48
|
213
|
(c)
|
||||
797
|
|||||||
Turkey 0.9%
|
|||||||
200
|
Akbank TAS, 5.13%, due 3/31/25
|
178
|
(c)
|
||||
200
|
Finansbank AS, 4.88%, due 5/19/22
|
192
|
(b)
|
||||
TC Ziraat Bankasi AS
|
|||||||
200
|
4.25%, due 7/3/19
|
198
|
(b)
|
||||
200
|
5.13%, due 5/3/22
|
186
|
(c)
|
||||
200
|
5.13%, due 9/29/23
|
181
|
(c)
|
||||
200
|
Turkcell Iletisim Hizmetleri AS, 5.80%, due 4/11/28
|
183
|
(c)
|
||||
Turkiye Garanti Bankasi AS
|
|||||||
200
|
4.75%, due 10/17/19
|
199
|
(b)
|
||||
200
|
5.88%, due 3/16/23
|
193
|
(b)
|
||||
300
|
(5 year USD Swap + 4.22%), 6.13%, due 5/24/27
|
262
|
(c)(d)
|
||||
Yapi ve Kredi Bankasi AS
|
|||||||
200
|
5.75%, due 2/24/22
|
191
|
(b)
|
||||
200
|
5.85%, due 6/21/24
|
179
|
(c)
|
||||
2,142
|
|||||||
United Arab Emirates 0.5%
|
|||||||
Abu Dhabi Crude Oil Pipeline LLC
|
|||||||
285
|
3.65%, due 11/2/29
|
279
|
(c)
|
||||
200
|
3.65%, due 11/2/29
|
196
|
(b)
|
||||
200
|
ADCB Finance Cayman Ltd., 4.00%, due 3/29/23
|
200
|
(c)
|
||||
200
|
DP World Ltd., 6.85%, due 7/2/37
|
233
|
(b)
|
||||
|
200
|
MDC-GMTN BV, 4.50%, due 11/7/28
|
|
211
|
(c)
|
||
1,119
|
|||||||
Venezuela 0.5%
|
|||||||
Petroleos de Venezuela SA
|
|||||||
1,348
|
6.00%, due 5/16/24
|
332
|
(b)(i)
|
||||
1,631
|
6.00%, due 11/15/26
|
359
|
(b)(i)
|
||||
650
|
5.38%, due 4/12/27
|
163
|
(b)(i)
|
||||
785
|
5.38%, due 4/12/27
|
197
|
(b)(i)
|
||||
1,051
|
|||||||
Total Corporate Bonds (Cost $57,970)
|
55,706
|
||||||
Foreign Government Securities 67.7%
|
|||||||
Albania 0.1%
|
|||||||
EUR
|
101
|
Republic of Albania, 3.50%, due 10/9/25
|
116
|
(b)
|
|||
Angola 0.3%
|
|||||||
Angolan Government International Bond
|
|||||||
$
|
200
|
9.38%, due 5/8/48
|
211
|
(b)
|
|||
458
|
9.38%, due 5/8/48
|
483
|
(b)
|
||||
694
|
|||||||
Argentina 3.5%
|
|||||||
ARS
|
1,471
|
Argentina Bonar Bonds, (BADLARPP + 2.00%), 47.69%, due 4/3/22
|
40
|
(d)
|
|||
ARS
|
1,500
|
Argentina Treasury Bond BONCER, 2.50%, due 7/22/21
|
72
|
||||
ARS
|
3,904
|
Argentine Bonos del Tesoro, 18.20%, due 10/3/21
|
86
|
||||
Argentine Republic Government International Bond
|
|||||||
EUR
|
350
|
3.38%, due 1/15/23
|
340
|
||||
EUR
|
1,990
|
7.82%, due 12/31/33
|
2,066
|
(e)
|
|||
EUR
|
2,754
|
2.26%, due 12/31/38
|
1,874
|
(e)(j)
|
|||
EUR
|
256
|
2.26%, due 12/31/38
|
171
|
(j)
|
|||
$
|
857
|
6.88%, due 1/11/48
|
657
|
||||
ARS
|
16,669
|
Bonos de la Nacion Argentina con Ajuste por CER, 4.00%, due 3/6/20
|
618
|
||||
Bonos De La Nacion Argentina En Moneda Dua
|
|||||||
$
|
514
|
4.50%, due 6/21/19
|
509
|
||||
536
|
4.50%, due 2/13/20
|
503
|
|||||
City of Buenos Aires Argentina
|
|||||||
ARS
|
22,502
|
(BADLARPP + 3.25%, 22.25% Floor), 48.97%, due 3/29/24
|
566
|
(d)
|
|||
ARS
|
13,270
|
(BADLARPP + 3.75%), 51.41%, due 2/22/28
|
338
|
(d)
|
|||
EUR
|
130
|
Provincia de Buenos Aires, 5.38%, due 1/20/23
|
126
|
(b)
|
|||
7,966
|
|||||||
Azerbaijan 1.2%
|
|||||||
$
|
510
|
Republic of Azerbaijan International Bond, 4.75%, due 3/18/24
|
518
|
(b)
|
|||
State Oil Co. of the Azerbaijan Republic
|
|||||||
1,700
|
4.75%, due 3/13/23
|
1,712
|
(b)(e)
|
||||
200
|
6.95%, due 3/18/30
|
220
|
(b)
|
||||
360
|
6.95%, due 3/18/30
|
396
|
(b)
|
||||
2,846
|
|||||||
Belarus 0.1%
|
|||||||
210
|
Republic of Belarus International Bond, 7.63%, due 6/29/27
|
220
|
(b)
|
||||
Belize 0.1%
|
|||||||
311
|
Belize Government International Bond, 4.94%, due 2/20/34
|
173
|
(b)
|
||||
Bermuda 0.5%
|
|||||||
Bermuda Government International Bond
|
|||||||
|
395
|
4.85%, due 2/6/24
|
|
415
|
(b)
|
||
200
|
3.72%, due 1/25/27
|
194
|
(b)
|
||||
490
|
4.75%, due 2/15/29
|
508
|
(b)
|
||||
1,117
|
|||||||
Brazil 3.0%
|
|||||||
600
|
Brazil Minas SPE via State of Minas Gerais, 5.33%, due 2/15/28
|
609
|
(b)(e)
|
||||
Brazil Notas do Tesouro Nacional
|
|||||||
BRL
|
5,171
|
Ser. F, 10.00%, due 1/1/21
|
1,491
|
||||
BRL
|
11,023
|
Ser. F, 10.00%, due 1/1/23
|
3,207
|
||||
BRL
|
840
|
Ser. F, 10.00%, due 1/1/27
|
245
|
||||
Brazilian Government International Bond
|
|||||||
$
|
400
|
4.63%, due 1/13/28
|
398
|
||||
870
|
5.00%, due 1/27/45
|
801
|
|||||
6,751
|
|||||||
Chile 0.7%
|
|||||||
Bonos de la Tesoreria de la Republica en pesos
|
|||||||
CLP
|
205,000
|
5.00%, due 3/1/35
|
335
|
||||
CLP
|
675,000
|
6.00%, due 1/1/43
|
1,234
|
||||
1,569
|
|||||||
Colombia 3.7%
|
|||||||
Colombia Government International Bond
|
|||||||
COP
|
423,000
|
4.38%, due 3/21/23
|
129
|
||||
COP
|
921,000
|
9.85%, due 6/28/27
|
364
|
||||
$
|
230
|
6.13%, due 1/18/41
|
262
|
||||
310
|
5.63%, due 2/26/44
|
337
|
|||||
830
|
5.00%, due 6/15/45
|
839
|
|||||
201
|
5.20%, due 5/15/49
|
208
|
|||||
Colombian TES
|
|||||||
COP
|
807,300
|
Ser. B, 7.00%, due 5/4/22
|
271
|
||||
COP
|
3,566,000
|
Ser. B, 10.00%, due 7/24/24
|
1,350
|
(e)
|
|||
COP
|
6,195,900
|
Ser. B, 6.25%, due 11/26/25
|
1,986
|
(e)
|
|||
COP
|
173,500
|
Ser. B, 6.00%, due 4/28/28
|
53
|
||||
COP
|
2,179,400
|
Ser. B, 7.75%, due 9/18/30
|
749
|
||||
COP
|
4,336,400
|
Ser. B, 7.00%, due 6/30/32
|
1,394
|
||||
COP
|
1,581,300
|
Ser. B, 7.25%, due 10/18/34
|
512
|
||||
8,454
|
|||||||
Costa Rica 0.5%
|
|||||||
Costa Rica Government International Bond
|
|||||||
$
|
920
|
7.00%, due 4/4/44
|
821
|
(b)
|
|||
280
|
7.16%, due 3/12/45
|
253
|
(b)
|
||||
1,074
|
|||||||
Cote D'Ivoire 1.1%
|
|||||||
Ivory Coast Government International Bond
|
|||||||
250
|
6.38%, due 3/3/28
|
239
|
(b)
|
||||
EUR
|
126
|
5.25%, due 3/22/30
|
134
|
(b)
|
|||
$
|
1,398
|
5.75%, due 12/31/32
|
1,288
|
(b)(e)(j)
|
|||
923
|
5.75%, due 12/31/32
|
850
|
(b)(j)
|
||||
2,511
|
|||||||
Croatia 0.9%
|
|||||||
Croatia Government International Bond
|
|||||||
EUR
|
453
|
3.00%, due 3/11/25
|
|
566
|
(b)
|
||
EUR
|
710
|
3.00%, due 3/20/27
|
876
|
(b)
|
|||
EUR
|
488
|
2.75%, due 1/27/30
|
574
|
(b)
|
|||
2,016
|
|||||||
Czech Republic 1.1%
|
|||||||
Czech Republic Government Bond
|
|||||||
CZK
|
23,650
|
0.69%, due 7/17/19
|
1,042
|
(b)(k)
|
|||
CZK
|
12,400
|
1.50%, due 10/29/19
|
550
|
(b)
|
|||
CZK
|
11,230
|
2.40%, due 9/17/25
|
521
|
(b)
|
|||
CZK
|
8,530
|
2.75%, due 7/23/29
|
412
|
||||
2,525
|
|||||||
Dominican Republic 0.4%
|
|||||||
DOP
|
4,900
|
Dominican Republic Bond, 11.25%, due 2/5/27
|
101
|
(b)
|
|||
Dominican Republic International Bond
|
|||||||
$
|
100
|
7.45%, due 4/30/44
|
109
|
(b)
|
|||
742
|
6.85%, due 1/27/45
|
766
|
(b)
|
||||
976
|
|||||||
Ecuador 0.4%
|
|||||||
Ecuador Government International Bond
|
|||||||
300
|
7.95%, due 6/20/24
|
284
|
(b)
|
||||
200
|
9.65%, due 12/13/26
|
195
|
(b)
|
||||
200
|
8.88%, due 10/23/27
|
187
|
(b)
|
||||
200
|
10.75%, due 1/31/29
|
202
|
(b)
|
||||
868
|
|||||||
Egypt 0.6%
|
|||||||
Egypt Government International Bond
|
|||||||
600
|
8.50%, due 1/31/47
|
577
|
(b)
|
||||
830
|
7.90%, due 2/21/48
|
765
|
(b)
|
||||
1,342
|
|||||||
El Salvador 0.1%
|
|||||||
El Salvador Government International Bond
|
|||||||
150
|
7.75%, due 1/24/23
|
158
|
(b)
|
||||
100
|
7.65%, due 6/15/35
|
100
|
(b)
|
||||
258
|
|||||||
Ghana 0.6%
|
|||||||
GHS
|
1
|
Ghana Government Bond, 24.75%, due 7/19/21
|
—
|
||||
Ghana Government International Bond
|
|||||||
$
|
362
|
7.63%, due 5/16/29
|
344
|
(b)
|
|||
600
|
10.75%, due 10/14/30
|
706
|
(b)
|
||||
316
|
8.63%, due 6/16/49
|
294
|
(b)
|
||||
1,344
|
|||||||
Hungary 1.8%
|
|||||||
Hungary Government Bond
|
|||||||
HUF
|
416,330
|
3.00%, due 6/26/24
|
1,579
|
(e)
|
|||
HUF
|
523,140
|
3.00%, due 10/27/27
|
1,927
|
||||
$
|
410
|
Hungary Government International Bond, 7.63%, due 3/29/41
|
591
|
||||
4,097
|
|||||||
Indonesia 6.1%
|
|||||||
Indonesia Government International Bond
|
|||||||
EUR
|
570
|
3.75%, due 6/14/28
|
|
736
|
(b)
|
||
$
|
473
|
4.75%, due 2/11/29
|
495
|
||||
550
|
8.50%, due 10/12/35
|
768
|
(b)
|
||||
370
|
5.13%, due 1/15/45
|
383
|
(b)
|
||||
Indonesia Treasury Bond
|
|||||||
IDR
|
3,500,000
|
7.88%, due 4/15/19
|
251
|
||||
IDR
|
2,732,000
|
7.00%, due 5/15/22
|
192
|
||||
IDR
|
10,400,000
|
8.38%, due 3/15/24
|
756
|
||||
IDR
|
15,264,000
|
8.13%, due 5/15/24
|
1,108
|
||||
IDR
|
17,500,000
|
7.00%, due 5/15/27
|
1,155
|
||||
IDR
|
22,804,000
|
6.13%, due 5/15/28
|
1,413
|
(e)
|
|||
IDR
|
9,975,000
|
9.00%, due 3/15/29
|
747
|
||||
IDR
|
14,657,000
|
8.25%, due 5/15/29
|
1,056
|
||||
IDR
|
11,204,000
|
8.75%, due 5/15/31
|
820
|
||||
IDR
|
3,500,000
|
7.50%, due 8/15/32
|
230
|
||||
IDR
|
12,377,000
|
6.63%, due 5/15/33
|
751
|
||||
IDR
|
12,844,000
|
8.38%, due 3/15/34
|
911
|
||||
IDR
|
12,683,000
|
8.25%, due 5/15/36
|
886
|
||||
IDR
|
14,585,000
|
7.50%, due 5/15/38
|
949
|
||||
IDR
|
3,000,000
|
8.38%, due 4/15/39
|
211
|
||||
13,818
|
|||||||
Kazakhstan 0.2%
|
|||||||
Kazakhstan Government International Bond
|
|||||||
EUR
|
139
|
1.55%, due 11/9/23
|
162
|
(b)
|
|||
EUR
|
200
|
2.38%, due 11/9/28
|
231
|
(b)
|
|||
393
|
|||||||
Lebanon 0.1%
|
|||||||
Lebanon Government International Bond
|
|||||||
$
|
87
|
6.85%, due 3/23/27
|
72
|
(b)
|
|||
281
|
6.65%, due 2/26/30
|
222
|
(b)
|
||||
294
|
|||||||
Malaysia 4.1%
|
|||||||
1,000
|
1MDB Global Investments Ltd., 4.40%, due 3/9/23
|
931
|
(b)(e)
|
||||
Malaysia Government Bond
|
|||||||
MYR
|
7,700
|
3.65%, due 10/31/19
|
1,883
|
||||
MYR
|
6,399
|
3.49%, due 3/31/20
|
1,562
|
(e)
|
|||
MYR
|
400
|
4.05%, due 9/30/21
|
99
|
||||
MYR
|
1,500
|
3.76%, due 4/20/23
|
366
|
||||
MYR
|
2,500
|
3.80%, due 8/17/23
|
609
|
||||
MYR
|
2,300
|
4.18%, due 7/15/24
|
568
|
||||
MYR
|
1,800
|
4.06%, due 9/30/24
|
443
|
||||
MYR
|
1,500
|
3.96%, due 9/15/25
|
366
|
||||
MYR
|
1,700
|
3.90%, due 11/16/27
|
409
|
||||
MYR
|
3,000
|
3.73%, due 6/15/28
|
713
|
||||
MYR
|
1,835
|
4.23%, due 6/30/31
|
445
|
||||
MYR
|
700
|
4.64%, due 11/7/33
|
176
|
(m)
|
|||
MYR
|
350
|
4.94%, due 9/30/43
|
87
|
||||
Malaysia Government Investment Issue
|
|||||||
MYR
|
2,000
|
4.07%, due 9/30/26
|
488
|
||||
MYR
|
500
|
4.37%, due 10/31/28
|
124
|
||||
9,269
|
|||||||
Mexico 4.0%
|
|||||||
Mexican Bonos
|
|||||||
MXN
|
43,440
|
Ser. M20, 10.00%, due 12/5/24
|
|
2,451
|
|||
MXN
|
3,473
|
Ser. M, 7.75%, due 5/29/31
|
170
|
||||
MXN
|
3,634
|
Ser. M30, 8.50%, due 11/18/38
|
185
|
||||
MXN
|
28,420
|
Ser. M, 7.75%, due 11/13/42
|
1,333
|
||||
Mexico Cetes Treasury Bill
|
|||||||
MXN
|
225,000
|
7.76%, due 3/14/19
|
1,166
|
(k)
|
|||
MXN
|
420,000
|
8.07%, due 5/23/19
|
2,142
|
(k)
|
|||
Mexico Government International Bond
|
|||||||
$
|
226
|
4.50%, due 4/22/29
|
227
|
||||
1,450
|
5.75%, due 10/12/10
|
1,423
|
|||||
9,097
|
|||||||
Mongolia 0.6%
|
|||||||
200
|
Development Bank of Mongolia LLC, 7.25%, due 10/23/23
|
200
|
(c)
|
||||
Mongolia Government International Bond
|
|||||||
400
|
10.88%, due 4/6/21
|
444
|
(b)
|
||||
300
|
5.63%, due 5/1/23
|
294
|
(b)
|
||||
200
|
8.75%, due 3/9/24
|
220
|
(b)
|
||||
242
|
8.75%, due 3/9/24
|
265
|
(b)
|
||||
1,423
|
|||||||
Montenegro 0.1%
|
|||||||
EUR
|
111
|
Montenegro Government International Bond, 3.38%, due 4/21/25
|
128
|
(b)
|
|||
Nigeria 0.8%
|
|||||||
Nigeria Government International Bond
|
|||||||
$
|
200
|
7.63%, due 11/21/25
|
208
|
(b)
|
|||
600
|
7.14%, due 2/23/30
|
576
|
(b)
|
||||
200
|
8.75%, due 1/21/31
|
212
|
(b)
|
||||
600
|
7.88%, due 2/16/32
|
596
|
(b)
|
||||
200
|
9.25%, due 1/21/49
|
212
|
(b)
|
||||
1,804
|
|||||||
Oman 0.4%
|
|||||||
Oman Government International Bond
|
|||||||
352
|
6.50%, due 3/8/47
|
295
|
(b)
|
||||
615
|
6.75%, due 1/17/48
|
524
|
(b)
|
||||
200
|
6.75%, due 1/17/48
|
171
|
(b)
|
||||
990
|
|||||||
Paraguay 0.1%
|
|||||||
230
|
Paraguay Government International Bond, 6.10%, due 8/11/44
|
251
|
(b)
|
||||
Peru 2.2%
|
|||||||
Peru Government Bond
|
|||||||
PEN
|
1,984
|
5.94%, due 2/12/29
|
609
|
(b)
|
|||
PEN
|
1,347
|
6.15%, due 8/12/32
|
410
|
(b)
|
|||
Peruvian Government International Bond
|
|||||||
PEN
|
1,641
|
5.70%, due 8/12/24
|
513
|
(c)
|
|||
PEN
|
1,156
|
5.70%, due 8/12/24
|
361
|
(b)
|
|||
PEN
|
2,579
|
8.20%, due 8/12/26
|
912
|
(b)
|
|||
PEN
|
622
|
6.35%, due 8/12/28
|
197
|
(c)
|
|||
PEN
|
2,258
|
6.35%, due 8/12/28
|
715
|
(b)
|
|||
EUR
|
684
|
3.75%, due 3/1/30
|
930
|
||||
PEN
|
1,065
|
6.95%, due 8/12/31
|
348
|
(b)
|
|||
4,995
|
|||||||
Philippines 0.1%
|
|||||||
PHP
|
12,000
|
Philippine Government International Bond, 3.90%, due 11/26/22
|
|
221
|
|||
Poland 3.7%
|
|||||||
Poland Government Bond
|
|||||||
PLN
|
8,500
|
2.50%, due 1/25/23
|
2,333
|
(e)
|
|||
PLN
|
6,638
|
3.25%, due 7/25/25
|
1,874
|
||||
PLN
|
1,211
|
2.50%, due 7/25/26
|
324
|
||||
PLN
|
9,505
|
2.50%, due 7/25/27
|
2,527
|
||||
PLN
|
4,381
|
2.75%, due 4/25/28
|
1,179
|
||||
PLN
|
403
|
5.75%, due 4/25/29
|
137
|
||||
8,374
|
|||||||
Qatar 0.3%
|
|||||||
Qatar Government International Bond
|
|||||||
$
|
200
|
3.88%, due 4/23/23
|
204
|
(b)
|
|||
275
|
4.50%, due 4/23/28
|
291
|
(b)
|
||||
213
|
5.10%, due 4/23/48
|
228
|
(b)
|
||||
723
|
|||||||
Romania 2.0%
|
|||||||
Romania Government Bond
|
|||||||
RON
|
3,200
|
3.40%, due 3/8/22
|
754
|
||||
RON
|
430
|
3.50%, due 12/19/22
|
101
|
||||
RON
|
8,465
|
4.25%, due 6/28/23
|
2,023
|
(e)
|
|||
RON
|
1,230
|
3.25%, due 4/29/24
|
278
|
||||
RON
|
3,470
|
5.80%, due 7/26/27
|
893
|
(m)
|
|||
EUR
|
380
|
Romanian Government International Bond, 3.88%, due 10/29/35
|
427
|
(b)
|
|||
4,476
|
|||||||
Russia 2.2%
|
|||||||
Russian Federal Bond - Obligatsyi Federal’novo Zaima
|
|||||||
RUB
|
97,606
|
7.00%, due 8/16/23
|
1,445
|
||||
RUB
|
18,152
|
6.50%, due 2/28/24
|
262
|
||||
RUB
|
91,470
|
7.10%, due 10/16/24
|
1,350
|
(e)
|
|||
RUB
|
29,050
|
7.75%, due 9/16/26
|
440
|
||||
RUB
|
21,336
|
8.50%, due 9/17/31
|
337
|
||||
Russian Foreign Bond - Eurobond
|
|||||||
$
|
200
|
4.75%, due 5/27/26
|
204
|
(b)
|
|||
400
|
4.25%, due 6/23/27
|
391
|
(b)
|
||||
17
|
7.50%, due 3/31/30
|
19
|
(b)(j)
|
||||
600
|
5.25%, due 6/23/47
|
593
|
(b)
|
||||
5,041
|
|||||||
Serbia 0.6%
|
|||||||
Serbia International Bond
|
|||||||
175
|
4.88%, due 2/25/20
|
177
|
(b)
|
||||
500
|
4.88%, due 2/25/20
|
506
|
(b)
|
||||
200
|
7.25%, due 9/28/21
|
217
|
(b)
|
||||
470
|
7.25%, due 9/28/21
|
511
|
(b)
|
||||
1,411
|
|||||||
South Africa 5.3%
|
|||||||
Republic of South Africa Government Bond
|
|||||||
ZAR
|
1,728
|
7.75%, due 2/28/23
|
|
130
|
|||
ZAR
|
1,040
|
10.50%, due 12/21/26
|
87
|
||||
ZAR
|
3,640
|
10.50%, due 12/21/26
|
303
|
||||
ZAR
|
26,888
|
8.00%, due 1/31/30
|
1,875
|
(e)
|
|||
ZAR
|
18,081
|
8.88%, due 2/28/35
|
1,297
|
||||
ZAR
|
1,500
|
8.50%, due 1/31/37
|
103
|
||||
ZAR
|
33,522
|
9.00%, due 1/31/40
|
2,389
|
(e)
|
|||
ZAR
|
31,067
|
8.75%, due 1/31/44
|
2,146
|
(e)
|
|||
ZAR
|
43,744
|
8.75%, due 2/28/48
|
3,023
|
(e)
|
|||
Republic of South Africa Government International Bond
|
|||||||
$
|
277
|
5.88%, due 6/22/30
|
284
|
||||
273
|
5.65%, due 9/27/47
|
260
|
|||||
200
|
6.30%, due 6/22/48
|
203
|
|||||
12,100
|
|||||||
Sri Lanka 1.7%
|
|||||||
Sri Lanka Government Bonds
|
|||||||
LKR
|
85,000
|
Ser. A, 11.50%, due 12/15/21
|
483
|
||||
LKR
|
14,000
|
Ser. A, 10.00%, due 3/15/23
|
75
|
||||
LKR
|
93,000
|
11.00%, due 6/1/26
|
508
|
||||
LKR
|
32,000
|
Ser. A, 11.50%, due 8/1/26
|
180
|
||||
LKR
|
74,000
|
Ser. A, 11.75%, due 6/15/27
|
419
|
||||
Sri Lanka Government International Bond
|
|||||||
$
|
700
|
5.88%, due 7/25/22
|
689
|
(b)
|
|||
300
|
6.85%, due 11/3/25
|
297
|
(b)
|
||||
550
|
6.20%, due 5/11/27
|
512
|
(b)
|
||||
644
|
6.75%, due 4/18/28
|
618
|
(b)
|
||||
3,781
|
|||||||
Thailand 5.2%
|
|||||||
Bank of Thailand Bill
|
|||||||
THB
|
40,375
|
1.43%, due 2/28/19
|
1,291
|
(k)
|
|||
THB
|
9,000
|
1.44%, due 3/14/19
|
288
|
(k)
|
|||
THB
|
14,020
|
1.44%, due 6/6/19
|
446
|
(k)
|
|||
THB
|
8,720
|
1.62%, due 9/5/19
|
276
|
(k)
|
|||
THB
|
18,501
|
1.71%, due 12/6/19
|
584
|
(k)
|
|||
Thailand Government Bond
|
|||||||
THB
|
5,030
|
3.45%, due 3/8/19
|
161
|
||||
THB
|
62,731
|
3.88%, due 6/13/19
|
2,023
|
||||
THB
|
10,000
|
2.40%, due 12/17/23
|
324
|
||||
THB
|
2,457
|
3.85%, due 12/12/25
|
86
|
||||
THB
|
26,500
|
2.13%, due 12/17/26
|
834
|
||||
THB
|
67,731
|
2.88%, due 12/17/28
|
2,258
|
||||
THB
|
4,400
|
4.88%, due 6/22/29
|
170
|
||||
THB
|
43,000
|
3.65%, due 6/20/31
|
1,516
|
||||
THB
|
5,000
|
3.78%, due 6/25/32
|
178
|
||||
THB
|
38,100
|
3.40%, due 6/17/36
|
1,285
|
||||
THB
|
5,455
|
3.30%, due 6/17/38
|
181
|
(m)
|
|||
THB
|
1,248
|
2.88%, due 6/17/46
|
38
|
||||
11,939
|
|||||||
Tunisia 0.2%
|
|||||||
EUR
|
460
|
Banque Centrale de Tunisie International Bond, 5.63%, due 2/17/24
|
488
|
(b)
|
|||
Turkey 5.5%
|
|||||||
$ |
Export Credit Bank of Turkey
|
||||||
|
200
|
5.38%, due 2/8/21
|
|
196
|
(c)
|
||
420
|
5.38%, due 10/24/23
|
392
|
(c)
|
||||
200
|
8.25%, due 1/24/24
|
207
|
(c)
|
||||
200
|
6.13%, due 5/3/24
|
189
|
(c)
|
||||
Turkey Government Bond
|
|||||||
TRY
|
1,489
|
7.40%, due 2/5/20
|
260
|
||||
TRY
|
600
|
10.70%, due 2/17/21
|
104
|
||||
TRY
|
1,909
|
9.20%, due 9/22/21
|
314
|
||||
TRY
|
1,789
|
9.50%, due 1/12/22
|
294
|
||||
TRY
|
6,608
|
11.00%, due 3/2/22
|
1,133
|
||||
TRY
|
11,523
|
10.70%, due 8/17/22
|
1,940
|
||||
TRY
|
1,336
|
8.50%, due 9/14/22
|
212
|
||||
TRY
|
9,367
|
12.20%, due 1/18/23
|
1,643
|
(e)
|
|||
TRY
|
3,871
|
16.20%, due 6/14/23
|
780
|
||||
TRY
|
2,973
|
3.00%, due 8/2/23
|
578
|
||||
TRY
|
1,729
|
10.60%, due 2/11/26
|
285
|
||||
TRY
|
1,720
|
11.00%, due 2/24/27
|
286
|
||||
Turkey Government International Bond
|
|||||||
$
|
303
|
7.25%, due 12/23/23
|
318
|
||||
EUR
|
184
|
4.63%, due 3/31/25
|
212
|
||||
EUR
|
357
|
5.20%, due 2/16/26
|
419
|
||||
$
|
480
|
4.25%, due 4/14/26
|
423
|
||||
250
|
4.88%, due 10/9/26
|
227
|
|||||
620
|
6.00%, due 3/25/27
|
597
|
|||||
597
|
6.13%, due 10/24/28
|
572
|
|||||
332
|
7.63%, due 4/26/29
|
349
|
|||||
670
|
6.00%, due 1/14/41
|
593
|
|||||
12,523
|
|||||||
Ukraine 1.1%
|
|||||||
Ukraine Government International Bond
|
|||||||
202
|
8.99%, due 2/1/24
|
199
|
(b)
|
||||
504
|
7.75%, due 9/1/25
|
463
|
(b)
|
||||
630
|
7.75%, due 9/1/26
|
572
|
(b)
|
||||
200
|
9.75%, due 11/1/28
|
198
|
(b)
|
||||
486
|
7.38%, due 9/25/32
|
414
|
(b)
|
||||
286
|
0.00%, due 5/31/40
|
174
|
(c)(l)
|
||||
170
|
0.00%, due 5/31/40
|
104
|
(b)(l)
|
||||
310
|
Ukreximbank Via Biz Finance PLC, 9.63%, due 4/27/22
|
309
|
(c)
|
||||
2,433
|
|||||||
Uruguay 0.2%
|
|||||||
Uruguay Government International Bond
|
|||||||
93
|
4.38%, due 1/23/31
|
95
|
|||||
165
|
5.10%, due 6/18/50
|
170
|
|||||
UYU
|
5,920
|
Uruguay Monetary Regulation Bill, Ser. 0001, 9.09%, due 2/8/19
|
182
|
(k)
|
|||
447
|
|||||||
Venezuela 0.1%
|
|||||||
$
|
674
|
Venezuela Government International Bond, 8.25%, due 10/13/24
|
209
|
(b)(i)
|
|||
Zambia 0.1%
|
|||||||
220
|
Zambia Government International Bond, 8.97%, due 7/30/27
|
181
|
(b)
|
||||
Total Foreign Government Securities (Cost $156,373)
|
153,726
|
||||||
U.S. Treasury Obligations 0.7%
|
|||||||
|
1,658,000
|
U.S. Treasury Bill, 2.28%, due 2/17/19 (Cost $1,657)
|
1,657
|
(k)
|
|||
NUMBER OF
SHARES |
|||||||
Short-Term Investments 4.7%
|
|||||||
Investment Companies 4.7%
|
|||||||
10,544,642
|
State Street Institutional U.S. Government Money Market Fund Premier Class, 2.32%(n) (Cost $10,545)
|
10,545
|
(e)
|
||||
Total Investments 97.6% (Cost $226,545)
|
221,634
|
||||||
Other Assets Less Liabilities 2.4%
|
5,527
|
(o)
|
|||||
Net Assets 100.0%
|
$227,161
|
||||||
(a)
|
Principal amount is stated in the currency in which the security is denominated.
|
|
(b)
|
Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at January 31, 2019 amounted to approximately $68,268,000, which represents 30.1% of net assets of the Fund.
|
|
(c)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2019, these securities amounted to approximately $20,780,000, which represents 9.1% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
|
|
(d)
|
Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2019 and changes periodically.
|
|
(e)
|
All or a portion of this security is segregated in connection with when-issued and/or delayed delivery securities, futures, forward foreign currency contracts and/or swaps with a total value of approximately $46,476,000.
|
|
(f)
|
Perpetual Bond Security. The rate reflected was the rate in effect on January 31, 2019. The maturity date reflects the next call date.
|
|
(g)
|
When-issued security. Total value of all such securities at January 31, 2019 amounted to approximately $814,000, which represents 0.4% of net assets of the Fund.
|
|
(h)
|
Represents less than 0.05% of net assets.
|
|
(i)
|
Defaulted security.
|
|
(j)
|
Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of January 31, 2019.
|
|
(k)
|
Rate shown was the discount rate at the date of purchase.
|
|
(l)
|
Currently a zero coupon security; will convert to variable in 2021 where it will be linked to the IMF Ukraine GDP Index.
|
|
(m)
|
All or a portion of this security was purchased on a delayed delivery basis.
|
|
(n)
|
Represents 7-day effective yield as of January 31, 2019.
|
|
(o)
|
Includes the impact of the Fund's open positions in derivatives at January 31, 2019.
|
POSITIONS BY INDUSTRY
|
|||||||
Industry
|
Investments at
Value† (000's omitted) |
Percentage of
Net Assets |
|||||
Foreign Government*
|
$
|
146,386
|
64.4%
|
||||
Oil & Gas
|
15,354
|
6.8%
|
|||||
Banks
|
12,095
|
5.3%
|
|||||
Electric
|
6,149
|
2.7%
|
|||||
Real Estate
|
2,964
|
1.3%
|
|||||
Telecommunications
|
2,742
|
1.2%
|
|||||
Mining
|
2,523
|
1.1%
|
|||||
Pipelines
|
2,362
|
1.0%
|
|||||
Diversified Financial Services
|
2,038
|
0.9%
|
|||||
U.S. Treasury Obligations
|
1,657
|
0.7%
|
|||||
Engineering & Construction
|
1,593
|
0.7%
|
|||||
Food
|
1,578
|
0.7%
|
|||||
Chemicals
|
1,492
|
0.6%
|
|||||
Iron - Steel
|
1,424
|
0.6%
|
|||||
Lodging
|
1,301
|
0.6%
|
|||||
Municipal
|
904
|
0.4%
|
|||||
Building Materials
|
737
|
0.3%
|
|||||
Regional (state/province)
|
735
|
0.3%
|
|||||
Retail
|
637
|
0.3%
|
|||||
Pharmaceuticals
|
599
|
0.3%
|
|||||
Real Estate Investment Trusts
|
503
|
0.2%
|
|||||
Insurance
|
495
|
0.2%
|
|||||
Forest Products & Paper
|
457
|
0.2%
|
|||||
Healthcare - Services
|
436
|
0.2%
|
|||||
Transportation
|
415
|
0.2%
|
|||||
Energy - Alternate Sources
|
381
|
0.2%
|
|||||
Media
|
374
|
0.2%
|
|||||
Gas
|
367
|
0.2%
|
|||||
Metal Fabricate - Hardware
|
281
|
0.1%
|
|||||
Beverages
|
249
|
0.1%
|
|||||
Water
|
235
|
0.1%
|
|||||
Commercial Services
|
233
|
0.1%
|
|||||
Investment Companies
|
211
|
0.1%
|
|||||
Holding Companies - Diversified
|
204
|
0.1%
|
|||||
Internet
|
200
|
0.1%
|
|||||
Multi-National
|
200
|
0.1%
|
|||||
Auto Manufacturers
|
199
|
0.1%
|
|||||
Miscellaneous Manufacturer
|
193
|
0.1%
|
|||||
Electronics
|
186
|
0.1%
|
|||||
Short-Term Investments and Other Assets-Net
|
16,072
|
7.1%
|
|||||
$
|
227,161
|
100.0%
|
Futures contracts ("futures")
|
||||
At January 31, 2019, open positions in futures for the Fund were as follows:
|
Long Futures:
|
||||||||||||
Expiration Date
|
Number of
Contracts |
Open Contracts
|
Notional
Amount |
Value and
Unrealized Appreciation/ (Depreciation) |
||||||||
3/2019
|
88
|
U.S. Treasury Note, 10 Year
|
$
|
10,777,250
|
$
|
296,455
|
||||||
3/2019
|
5
|
U.S. Treasury Ultra Long Bond
|
805,625
|
1,355
|
||||||||
Total Long Positions
|
$
|
11,582,875
|
$
|
297,810
|
||||||||
Short Futures:
|
||||||||||||
Expiration Date
|
Number of
Contracts |
Open Contracts
|
Notional
Amount |
Value and
Unrealized Appreciation/ (Depreciation) |
||||||||
3/2019
|
43
|
Euro-Bund
|
$
|
(8,153,910
|
)
|
$
|
(151,420
|
)
|
||||
3/2019
|
7
|
Euro-Buxl Bond, 30 Year
|
(1,489,147
|
)
|
(54,804
|
)
|
||||||
3/2019
|
10
|
U.S. Treasury Long Bond
|
(1,466,875
|
)
|
(73,768
|
)
|
||||||
3/2019
|
2
|
U.S. Treasury Note, 10 Year
|
(244,938
|
)
|
(6,784
|
)
|
||||||
Total Short Positions
|
$
|
(11,354,870
|
)
|
$
|
(286,776
|
)
|
||||||
Total Futures
|
$
|
11,034
|
At January 31, 2019, open forward contracts for the Fund were as follows:
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date |
Net
Unrealized Appreciation/ (Depreciation) |
||||||||
1,519,555
|
AUD
|
1,066,127
|
USD
|
GSI
|
2/6/2019
|
$
|
38,468
|
|||||
776,086
|
AUD
|
552,091
|
USD
|
GSI
|
2/6/2019
|
12,062
|
||||||
1,391,894
|
AUD
|
1,009,567
|
USD
|
GSI
|
2/6/2019
|
2,229
|
||||||
1,027,871
|
USD
|
1,391,894
|
AUD
|
GSI
|
2/6/2019
|
16,075
|
||||||
2,296,635
|
BRL
|
584,713
|
USD
|
CITI
|
3/15/2019
|
43,478
|
||||||
2,344,264
|
BRL
|
609,375
|
USD
|
CITI
|
3/15/2019
|
31,844
|
||||||
2,357,114
|
BRL
|
611,613
|
USD
|
SCB
|
3/15/2019
|
33,120
|
||||||
20,443,590
|
BRL
|
5,454,824
|
USD
|
CITI
|
4/15/2019
|
123,583
|
||||||
1,400,000
|
BRL
|
372,965
|
USD
|
CITI
|
4/15/2019
|
9,050
|
||||||
1,315,257,288
|
CLP
|
1,942,773
|
USD
|
JPM
|
4/18/2019
|
62,847
|
||||||
6,326,758
|
CNY
|
912,618
|
USD
|
GSI
|
2/11/2019
|
30,900
|
||||||
363,910
|
CNY
|
54,208
|
USD
|
JPM
|
2/11/2019
|
62
|
||||||
7,550,783
|
CNY
|
1,119,049
|
USD
|
JPM
|
4/15/2019
|
6,657
|
||||||
7,534,528
|
CNY
|
1,084,105
|
USD
|
GSI
|
10/18/2019
|
36,146
|
||||||
1,799,218,791
|
COP
|
573,730
|
USD
|
CITI
|
2/15/2019
|
5,457
|
||||||
4,644,909,787
|
COP
|
1,463,586
|
USD
|
JPM
|
2/15/2019
|
31,660
|
||||||
3,082,024
|
EUR
|
79,917,775
|
CZK
|
JPM
|
3/22/2019
|
14,466
|
||||||
28,499,246
|
EGP
|
1,501,343
|
USD
|
JPM
|
4/15/2019
|
76,788
|
||||||
24,588,847
|
CZK
|
955,101
|
EUR
|
CITI
|
3/22/2019
|
3,402
|
||||||
194,711
|
EUR
|
221,366
|
USD
|
JPM
|
2/5/2019
|
1,519
|
||||||
297,495
|
EUR
|
339,160
|
USD
|
JPM
|
2/5/2019
|
1,381
|
||||||
400,000
|
EUR
|
455,675
|
USD
|
SSB
|
2/5/2019
|
2,203
|
||||||
297,495
|
EUR
|
340,921
|
USD
|
JPM
|
3/5/2019
|
426
|
||||||
2,381,783
|
EUR
|
2,726,997
|
USD
|
SSB
|
3/5/2019
|
5,866
|
||||||
3,600,000
|
RON
|
767,515
|
EUR
|
CITI
|
3/7/2019
|
11,556
|
||||||
1,300,000
|
RON
|
277,063
|
EUR
|
CITI
|
3/7/2019
|
4,064
|
||||||
838,193
|
RON
|
178,538
|
EUR
|
CITI
|
3/7/2019
|
2,503
|
||||||
7,507,441
|
RON
|
1,599,285
|
EUR
|
JPM
|
3/7/2019
|
22,617
|
||||||
222,013
|
USD
|
192,307
|
EUR
|
GSI
|
2/5/2019
|
1,880
|
||||||
110,899
|
USD
|
96,684
|
EUR
|
JPM
|
2/5/2019
|
225
|
||||||
5,346,297
|
USD
|
4,650,000
|
EUR
|
JPM
|
3/5/2019
|
10,877
|
||||||
5,542,528
|
USD
|
4,788,000
|
EUR
|
JPM
|
5/3/2019
|
20,492
|
||||||
258,953
|
USD
|
223,701
|
EUR
|
JPM
|
5/3/2019
|
957
|
||||||
490,194
|
EUR
|
156,220,866
|
HUF
|
CITI
|
3/22/2019
|
4,583
|
||||||
975,286
|
EUR
|
312,735,184
|
HUF
|
GSI
|
3/22/2019
|
16,098
|
||||||
489,101
|
EUR
|
155,872,004
|
HUF
|
CITI
|
4/30/2019
|
4,361
|
||||||
1,374,115
|
EUR
|
437,822,425
|
HUF
|
JPM
|
4/30/2019
|
11,903
|
||||||
3,422,233,237
|
IDR
|
235,367
|
USD
|
JPM
|
2/19/2019
|
10,077
|
||||||
1,898,193,474
|
IDR
|
130,514
|
USD
|
JPM
|
2/19/2019
|
5,626
|
||||||
1,265,192,686
|
IDR
|
86,943
|
USD
|
JPM
|
2/19/2019
|
3,797
|
||||||
15,362,561,691
|
IDR
|
1,081,871
|
USD
|
JPM
|
4/15/2019
|
12,221
|
||||||
1,110,926
|
USD
|
79,197,889
|
INR
|
GSI
|
4/15/2019
|
4,600
|
||||||
30,160,000
|
MXN
|
1,482,571
|
USD
|
CITI
|
4/3/2019
|
80,994
|
||||||
9,751,326
|
MXN
|
458,365
|
USD
|
CITI
|
4/3/2019
|
47,166
|
||||||
5,433,520
|
MXN
|
261,835
|
USD
|
CITI
|
4/3/2019
|
19,851
|
||||||
3,911,700
|
MXN
|
185,972
|
USD
|
CITI
|
4/3/2019
|
16,820
|
||||||
15,681,805
|
MXN
|
797,231
|
USD
|
CITI
|
4/3/2019
|
15,750
|
||||||
5,294,564
|
MXN
|
261,991
|
USD
|
CITI
|
4/3/2019
|
12,492
|
||||||
3,487,440
|
MXN
|
168,896
|
USD
|
CITI
|
4/3/2019
|
11,901
|
||||||
1,065,093
|
MXN
|
54,591
|
USD
|
CITI
|
4/3/2019
|
626
|
||||||
11,829,396
|
MXN
|
612,687
|
USD
|
CITI
|
4/3/2019
|
577
|
||||||
17,990,957
|
MXN
|
867,126
|
USD
|
GSI
|
4/3/2019
|
65,567
|
||||||
22,274,854
|
MXN
|
1,090,269
|
USD
|
GSI
|
4/3/2019
|
64,512
|
||||||
12,584,457
|
MXN
|
607,050
|
USD
|
GSI
|
4/3/2019
|
45,357
|
||||||
10,446,369
|
MXN
|
501,531
|
USD
|
GSI
|
4/3/2019
|
40,033
|
||||||
8,923,907
|
MXN
|
433,694
|
USD
|
GSI
|
4/3/2019
|
28,943
|
||||||
3,303,963
|
MXN
|
159,646
|
USD
|
GSI
|
4/3/2019
|
11,639
|
||||||
2,808,971
|
MXN
|
134,957
|
USD
|
GSI
|
4/3/2019
|
10,666
|
||||||
4,374,772
|
MXN
|
219,136
|
USD
|
GSI
|
4/3/2019
|
7,663
|
||||||
1,300,000
|
MXN
|
62,112
|
USD
|
GSI
|
4/3/2019
|
5,283
|
||||||
9,850,037
|
MXN
|
505,439
|
USD
|
GSI
|
4/3/2019
|
5,210
|
||||||
19,464,128
|
MXN
|
1,006,386
|
USD
|
GSI
|
4/3/2019
|
2,680
|
||||||
24,922,760
|
MXN
|
1,291,319
|
USD
|
GSI
|
4/3/2019
|
735
|
||||||
18,481,656
|
MXN
|
918,582
|
USD
|
JPM
|
4/3/2019
|
39,550
|
||||||
21,000,000
|
MXN
|
1,055,866
|
USD
|
JPM
|
4/3/2019
|
32,823
|
||||||
16,607,156
|
MXN
|
833,839
|
USD
|
JPM
|
4/3/2019
|
27,115
|
||||||
22,022,928
|
MXN
|
1,057,862
|
USD
|
SSB
|
4/3/2019
|
83,858
|
||||||
12,923,831
|
MXN
|
656,582
|
USD
|
SSB
|
4/3/2019
|
13,420
|
||||||
2,370,700
|
MXN
|
119,787
|
USD
|
SSB
|
4/3/2019
|
3,116
|
||||||
573,479
|
USD
|
11,018,559
|
MXN
|
CITI
|
4/3/2019
|
2,251
|
||||||
983,860
|
USD
|
18,974,536
|
MXN
|
GSI
|
4/3/2019
|
176
|
||||||
490,951
|
MYR
|
117,523
|
USD
|
SCB
|
3/4/2019
|
2,765
|
||||||
4,763,228
|
MYR
|
1,162,897
|
USD
|
SCB
|
3/11/2019
|
4,242
|
||||||
863,438
|
PEN
|
255,093
|
USD
|
GSI
|
3/5/2019
|
4,150
|
||||||
4,480,893
|
PEN
|
1,319,540
|
USD
|
JPM
|
3/5/2019
|
25,826
|
||||||
904,418
|
PEN
|
267,579
|
USD
|
JPM
|
3/5/2019
|
3,968
|
||||||
1,910,107
|
PEN
|
573,089
|
USD
|
JPM
|
3/5/2019
|
411
|
||||||
6,200,000
|
PHP
|
117,098
|
USD
|
GSI
|
2/19/2019
|
1,720
|
||||||
5,080,191
|
EUR
|
21,845,514
|
PLN
|
CITI
|
2/7/2019
|
52,982
|
||||||
317,684
|
EUR
|
1,368,644
|
PLN
|
CITI
|
2/7/2019
|
4,001
|
||||||
477,846
|
EUR
|
2,057,857
|
PLN
|
JPM
|
2/7/2019
|
5,804
|
||||||
425,017
|
EUR
|
1,832,072
|
PLN
|
GSI
|
5/7/2019
|
3,148
|
||||||
976,522
|
EUR
|
4,700,000
|
RON
|
CITI
|
3/1/2019
|
14,932
|
||||||
976,695
|
EUR
|
4,699,857
|
RON
|
CITI
|
3/1/2019
|
14,698
|
||||||
954,159
|
EUR
|
4,600,000
|
RON
|
CITI
|
3/7/2019
|
15,708
|
||||||
152,733
|
EUR
|
733,416
|
RON
|
CITI
|
3/7/2019
|
1,812
|
||||||
113,176
|
EUR
|
542,233
|
RON
|
CITI
|
3/7/2019
|
1,045
|
||||||
175,900,022
|
RUB
|
2,583,884
|
USD
|
GSI
|
3/6/2019
|
95,088
|
||||||
35,470,449
|
RUB
|
528,621
|
USD
|
GSI
|
3/6/2019
|
11,597
|
||||||
36,124,141
|
RUB
|
539,650
|
USD
|
GSI
|
3/6/2019
|
10,524
|
||||||
30,812,286
|
RUB
|
459,602
|
USD
|
GSI
|
3/6/2019
|
9,672
|
||||||
20,476,894
|
RUB
|
306,329
|
USD
|
GSI
|
3/6/2019
|
5,536
|
||||||
37,300,874
|
RUB
|
555,155
|
USD
|
JPM
|
3/6/2019
|
12,940
|
||||||
37,287,730
|
RUB
|
561,774
|
USD
|
JPM
|
3/6/2019
|
6,122
|
||||||
72,900,000
|
THB
|
2,219,854
|
USD
|
CITI
|
2/4/2019
|
113,506
|
||||||
9,089,810
|
THB
|
288,020
|
USD
|
JPM
|
2/4/2019
|
2,924
|
||||||
33,985,030
|
THB
|
1,040,971
|
USD
|
JPM
|
2/11/2019
|
46,968
|
||||||
24,700,000
|
THB
|
775,471
|
USD
|
JPM
|
3/11/2019
|
15,786
|
||||||
3,106,384
|
TRY
|
559,406
|
USD
|
CITI
|
3/11/2019
|
29,198
|
||||||
2,593,159
|
TRY
|
427,563
|
USD
|
GSI
|
3/11/2019
|
63,794
|
||||||
1,546,282
|
TRY
|
250,087
|
USD
|
GSI
|
3/11/2019
|
42,906
|
||||||
3,662,205
|
TRY
|
659,193
|
USD
|
GSI
|
3/11/2019
|
34,730
|
||||||
1,157,185
|
TRY
|
187,313
|
USD
|
GSI
|
3/11/2019
|
31,953
|
||||||
1,871,384
|
TRY
|
338,056
|
USD
|
GSI
|
3/11/2019
|
16,538
|
||||||
3,475,437
|
TRY
|
643,038
|
USD
|
GSI
|
3/11/2019
|
15,496
|
||||||
776,101
|
TRY
|
132,658
|
USD
|
GSI
|
3/11/2019
|
14,400
|
||||||
3,063,221
|
TRY
|
568,019
|
USD
|
GSI
|
3/11/2019
|
12,407
|
||||||
4,648,400
|
TRY
|
869,644
|
USD
|
GSI
|
3/11/2019
|
11,145
|
||||||
233,014
|
TRY
|
43,246
|
USD
|
GSI
|
3/11/2019
|
906
|
||||||
7,800,942
|
ZAR
|
546,548
|
USD
|
GSI
|
2/11/2019
|
41,130
|
||||||
7,387,543
|
ZAR
|
536,192
|
USD
|
GSI
|
2/11/2019
|
20,343
|
||||||
Total unrealized appreciation
|
$
|
2,257,721
|
||||||||||
588,169
|
USD
|
23,203,271
|
ARS
|
GSI
|
3/15/2019
|
(8,811)
|
||||||
555,921
|
USD
|
775,980
|
AUD
|
JPM
|
2/6/2019
|
(8,154)
|
||||||
1,080,350
|
USD
|
1,519,661
|
AUD
|
JPM
|
2/6/2019
|
(24,322)
|
||||||
341,728
|
USD
|
1,322,487
|
BRL
|
GSI
|
3/15/2019
|
(20,007)
|
||||||
418,872
|
USD
|
1,570,603
|
BRL
|
GSI
|
4/15/2019
|
(9,696)
|
||||||
97,086,243
|
CLP
|
148,523
|
USD
|
CITI
|
4/18/2019
|
(477)
|
||||||
963,119
|
USD
|
6,690,668
|
CNY
|
JPM
|
2/11/2019
|
(34,669)
|
||||||
54,224
|
USD
|
363,910
|
CNY
|
JPM
|
4/15/2019
|
(29)
|
||||||
1,026,075
|
USD
|
7,182,525
|
CNY
|
JPM
|
10/18/2019
|
(41,839)
|
||||||
472,778,600
|
COP
|
152,239
|
USD
|
JPM
|
2/15/2019
|
(47)
|
||||||
491,301
|
USD
|
1,546,045,238
|
COP
|
CITI
|
2/15/2019
|
(6,387)
|
||||||
75,225
|
USD
|
238,518,264
|
COP
|
GSI
|
2/15/2019
|
(1,557)
|
||||||
84,761
|
USD
|
266,234,773
|
COP
|
JPM
|
2/15/2019
|
(943)
|
||||||
171,839
|
EUR
|
4,436,223
|
CZK
|
GSI
|
3/22/2019
|
(67)
|
||||||
11,893,643
|
CZK
|
460,331
|
EUR
|
CITI
|
3/22/2019
|
(253)
|
||||||
386,732
|
EUR
|
443,570
|
USD
|
CITI
|
2/5/2019
|
(880)
|
||||||
4,582,751
|
EUR
|
5,255,027
|
USD
|
JPM
|
2/5/2019
|
(9,174)
|
||||||
191,083
|
EUR
|
219,593
|
USD
|
SCB
|
2/5/2019
|
(861)
|
||||||
4,788,000
|
EUR
|
5,501,704
|
USD
|
JPM
|
2/6/2019
|
(20,445)
|
||||||
198,582
|
EUR
|
228,588
|
USD
|
SCB
|
3/5/2019
|
(734)
|
||||||
1,832,072
|
PLN
|
427,183
|
EUR
|
GSI
|
2/7/2019
|
(3,146)
|
||||||
867,491
|
PLN
|
201,510
|
EUR
|
JPM
|
2/7/2019
|
(2,362)
|
||||||
3,100,000
|
PLN
|
718,676
|
EUR
|
JPM
|
2/7/2019
|
(10,073)
|
||||||
3,972,452
|
PLN
|
922,747
|
EUR
|
JPM
|
2/7/2019
|
(10,837)
|
||||||
15,500,000
|
PLN
|
3,593,890
|
EUR
|
JPM
|
2/7/2019
|
(49,782)
|
||||||
9,399,857
|
RON
|
1,970,827
|
EUR
|
CITI
|
3/1/2019
|
(9,432)
|
||||||
838,508
|
RON
|
175,592
|
EUR
|
CITI
|
3/7/2019
|
(955)
|
||||||
980,641
|
RON
|
206,157
|
EUR
|
GSI
|
3/7/2019
|
(196)
|
||||||
705,400
|
RON
|
147,369
|
EUR
|
GSI
|
3/7/2019
|
(1,203)
|
||||||
5,142,233
|
RON
|
1,074,640
|
EUR
|
JPM
|
3/7/2019
|
(8,370)
|
||||||
340,120
|
USD
|
297,495
|
EUR
|
JPM
|
2/5/2019
|
(421)
|
||||||
278,602
|
USD
|
245,420
|
EUR
|
JPM
|
2/5/2019
|
(2,329)
|
||||||
820,910
|
USD
|
719,707
|
EUR
|
JPM
|
2/5/2019
|
(2,935)
|
||||||
919,747
|
USD
|
806,918
|
EUR
|
JPM
|
2/5/2019
|
(3,929)
|
||||||
1,129,306
|
USD
|
990,580
|
EUR
|
JPM
|
2/5/2019
|
(4,606)
|
||||||
365,817
|
USD
|
321,879
|
EUR
|
SCB
|
2/5/2019
|
(2,637)
|
||||||
2,720,578
|
USD
|
2,381,783
|
EUR
|
SSB
|
2/5/2019
|
(5,837)
|
||||||
5,448,102
|
USD
|
4,788,000
|
EUR
|
SSB
|
2/6/2019
|
(33,157)
|
||||||
171,967
|
USD
|
150,000
|
EUR
|
JPM
|
3/5/2019
|
(144)
|
||||||
284,292
|
USD
|
247,949
|
EUR
|
JPM
|
3/5/2019
|
(206)
|
||||||
4,696,146,838
|
IDR
|
335,080
|
USD
|
JPM
|
4/15/2019
|
(630)
|
||||||
88,379
|
USD
|
1,253,692,673
|
IDR
|
CITI
|
2/19/2019
|
(1,536)
|
||||||
217,444
|
USD
|
3,198,596,865
|
IDR
|
GSI
|
2/19/2019
|
(11,961)
|
||||||
288,235
|
USD
|
4,224,077,547
|
IDR
|
JPM
|
2/19/2019
|
(14,718)
|
||||||
362,063
|
USD
|
5,318,343,997
|
IDR
|
JPM
|
2/19/2019
|
(19,371)
|
||||||
79,187
|
USD
|
1,125,558,771
|
IDR
|
GSI
|
4/15/2019
|
(973)
|
||||||
375,350
|
USD
|
5,370,128,689
|
IDR
|
GSI
|
4/15/2019
|
(7,100)
|
||||||
118,902,270
|
JPY
|
1,099,955
|
USD
|
SSB
|
3/18/2019
|
(4,627)
|
||||||
1,078,049
|
USD
|
117,516,156
|
JPY
|
GSI
|
3/18/2019
|
(4,511)
|
||||||
1,111,098
|
USD
|
1,234,652,478
|
KRW
|
JPM
|
4/15/2019
|
(1,066)
|
||||||
192,857,129
|
KZT
|
491,669
|
USD
|
JPM
|
7/31/2019
|
(570)
|
||||||
12,132,186
|
MXN
|
629,982
|
USD
|
CITI
|
4/3/2019
|
(1,021)
|
||||||
2,291,596
|
MXN
|
119,174
|
USD
|
GSI
|
4/3/2019
|
(372)
|
||||||
10,847,646
|
MXN
|
568,225
|
USD
|
GSI
|
4/3/2019
|
(5,857)
|
||||||
16,875,747
|
MXN
|
885,424
|
USD
|
JPM
|
4/3/2019
|
(10,545)
|
||||||
5,127
|
USD
|
100,000
|
MXN
|
CITI
|
4/3/2019
|
(57)
|
||||||
80,142
|
USD
|
1,583,097
|
MXN
|
CITI
|
4/3/2019
|
(1,929)
|
||||||
442,041
|
USD
|
8,577,291
|
MXN
|
CITI
|
4/3/2019
|
(2,626)
|
||||||
222,134
|
USD
|
4,406,232
|
MXN
|
CITI
|
4/3/2019
|
(6,296)
|
||||||
242,977
|
USD
|
5,000,000
|
MXN
|
CITI
|
4/3/2019
|
(16,235)
|
||||||
506,923
|
USD
|
10,403,139
|
MXN
|
CITI
|
4/3/2019
|
(32,400)
|
||||||
678,764
|
USD
|
14,000,000
|
MXN
|
CITI
|
4/3/2019
|
(47,029)
|
||||||
984,001
|
USD
|
20,055,762
|
MXN
|
CITI
|
4/3/2019
|
(55,737)
|
||||||
1,110,489
|
USD
|
22,517,687
|
MXN
|
CITI
|
4/3/2019
|
(56,881)
|
||||||
148,577
|
USD
|
3,000,000
|
MXN
|
GSI
|
4/3/2019
|
(6,950)
|
||||||
499,622
|
USD
|
9,783,829
|
MXN
|
GSI
|
4/3/2019
|
(7,595)
|
||||||
496,230
|
USD
|
9,779,064
|
MXN
|
GSI
|
4/3/2019
|
(10,739)
|
||||||
576,101
|
USD
|
11,379,990
|
MXN
|
GSI
|
4/3/2019
|
(13,864)
|
||||||
244,660
|
USD
|
5,000,000
|
MXN
|
GSI
|
4/3/2019
|
(14,552)
|
||||||
477,538
|
USD
|
9,522,772
|
MXN
|
GSI
|
4/3/2019
|
(16,145)
|
||||||
517,475
|
USD
|
10,339,374
|
MXN
|
GSI
|
4/3/2019
|
(18,542)
|
||||||
360,591
|
USD
|
7,500,000
|
MXN
|
GSI
|
4/3/2019
|
(28,226)
|
||||||
579,444
|
USD
|
12,000,000
|
MXN
|
GSI
|
4/3/2019
|
(42,664)
|
||||||
1,104,746
|
USD
|
22,718,943
|
MXN
|
GSI
|
4/3/2019
|
(73,057)
|
||||||
845,558
|
USD
|
17,932,353
|
MXN
|
GSI
|
4/3/2019
|
(84,097)
|
||||||
1,038,811
|
USD
|
20,417,835
|
MXN
|
JPM
|
4/3/2019
|
(19,697)
|
||||||
401,285
|
USD
|
8,132,749
|
MXN
|
JPM
|
4/3/2019
|
(20,336)
|
||||||
1,184,069
|
USD
|
23,515,602
|
MXN
|
JPM
|
4/3/2019
|
(35,035)
|
||||||
618,967
|
USD
|
12,693,878
|
MXN
|
JPM
|
4/3/2019
|
(39,113)
|
||||||
585,932
|
USD
|
12,223,411
|
MXN
|
SSB
|
4/3/2019
|
(47,759)
|
||||||
220,462
|
USD
|
922,679
|
MYR
|
SCB
|
2/28/2019
|
(5,608)
|
||||||
306,587
|
USD
|
1,280,000
|
MYR
|
SCB
|
2/28/2019
|
(7,032)
|
||||||
1,124,840
|
USD
|
4,722,304
|
MYR
|
SCB
|
2/28/2019
|
(32,196)
|
||||||
1,302,784
|
USD
|
5,464,528
|
MYR
|
SCB
|
3/4/2019
|
(36,077)
|
||||||
296,912
|
USD
|
1,222,387
|
MYR
|
SCB
|
3/11/2019
|
(2,611)
|
||||||
238,400
|
USD
|
809,250
|
PEN
|
JPM
|
3/5/2019
|
(4,573)
|
||||||
420,644
|
USD
|
1,421,357
|
PEN
|
JPM
|
3/5/2019
|
(6,111)
|
||||||
326,886
|
USD
|
1,106,674
|
PEN
|
SSB
|
3/5/2019
|
(5,387)
|
||||||
954,544
|
EUR
|
4,483,495
|
RON
|
CITI
|
3/7/2019
|
(12,865)
|
||||||
85,501
|
EUR
|
404,087
|
RON
|
GSI
|
3/7/2019
|
(552)
|
||||||
193,229
|
EUR
|
914,530
|
RON
|
GSI
|
3/7/2019
|
(930)
|
||||||
110,240
|
EUR
|
517,287
|
RON
|
GSI
|
3/7/2019
|
(1,609)
|
||||||
960,543
|
EUR
|
4,506,101
|
RON
|
JPM
|
3/7/2019
|
(14,291)
|
||||||
54,759
|
USD
|
3,705,847
|
RUB
|
GSI
|
3/6/2019
|
(1,681)
|
||||||
409,508
|
USD
|
27,117,593
|
RUB
|
GSI
|
3/6/2019
|
(3,496)
|
||||||
106,329
|
USD
|
3,463,195
|
THB
|
JPM
|
2/4/2019
|
(4,520)
|
||||||
216,935
|
USD
|
6,971,180
|
THB
|
JPM
|
2/4/2019
|
(6,196)
|
||||||
168,107
|
USD
|
5,500,000
|
THB
|
JPM
|
2/4/2019
|
(7,936)
|
||||||
172,651
|
USD
|
5,680,569
|
THB
|
JPM
|
2/4/2019
|
(9,171)
|
||||||
285,326
|
USD
|
9,328,699
|
THB
|
JPM
|
2/4/2019
|
(13,264)
|
||||||
723,431
|
USD
|
23,346,167
|
THB
|
JPM
|
2/4/2019
|
(23,826)
|
||||||
846,481
|
USD
|
27,700,000
|
THB
|
JPM
|
2/4/2019
|
(40,132)
|
||||||
973,278
|
USD
|
30,648,533
|
THB
|
CITI
|
3/11/2019
|
(8,539)
|
||||||
219,927
|
USD
|
7,012,541
|
THB
|
JPM
|
3/11/2019
|
(4,717)
|
||||||
481,230
|
USD
|
15,334,050
|
THB
|
JPM
|
3/11/2019
|
(9,992)
|
||||||
288,609
|
USD
|
9,089,810
|
THB
|
JPM
|
4/30/2019
|
(3,006)
|
||||||
498,550
|
USD
|
2,789,173
|
TRY
|
CITI
|
3/11/2019
|
(29,948)
|
||||||
513,992
|
USD
|
2,935,152
|
TRY
|
CITI
|
3/11/2019
|
(42,167)
|
||||||
573,054
|
USD
|
3,284,172
|
TRY
|
CITI
|
3/11/2019
|
(49,238)
|
||||||
430,266
|
USD
|
2,275,281
|
TRY
|
GSI
|
3/11/2019
|
(859)
|
||||||
157,514
|
USD
|
870,750
|
TRY
|
GSI
|
3/11/2019
|
(7,478)
|
||||||
276,753
|
USD
|
1,532,644
|
TRY
|
GSI
|
3/11/2019
|
(13,656)
|
||||||
250,739
|
USD
|
1,420,897
|
TRY
|
GSI
|
3/11/2019
|
(18,496)
|
||||||
252,356
|
USD
|
1,484,875
|
TRY
|
GSI
|
3/11/2019
|
(29,002)
|
||||||
265,924
|
USD
|
1,562,834
|
TRY
|
GSI
|
3/11/2019
|
(30,205)
|
||||||
520,230
|
USD
|
2,908,867
|
TRY
|
GSI
|
3/11/2019
|
(30,948)
|
||||||
163,952
|
USD
|
928,752
|
TRY
|
JPM
|
3/11/2019
|
(12,030)
|
||||||
277,621
|
USD
|
1,579,578
|
TRY
|
JPM
|
3/11/2019
|
(21,681)
|
||||||
617,675
|
USD
|
3,500,000
|
TRY
|
SCB
|
3/11/2019
|
(45,513)
|
||||||
175,292
|
USD
|
2,500,000
|
ZAR
|
CITI
|
2/11/2019
|
(13,043)
|
||||||
548,202
|
USD
|
7,648,042
|
ZAR
|
CITI
|
2/11/2019
|
(27,957)
|
||||||
228,459
|
USD
|
3,034,159
|
ZAR
|
GSI
|
2/11/2019
|
(117)
|
||||||
453,640
|
USD
|
6,366,881
|
ZAR
|
GSI
|
2/11/2019
|
(26,004)
|
||||||
291,070
|
USD
|
4,228,845
|
ZAR
|
GSI
|
2/11/2019
|
(27,507)
|
||||||
554,201
|
USD
|
7,769,562
|
ZAR
|
GSI
|
2/11/2019
|
(31,113)
|
||||||
580,569
|
USD
|
8,198,880
|
ZAR
|
GSI
|
2/11/2019
|
(37,087)
|
||||||
395,231
|
USD
|
5,750,000
|
ZAR
|
GSI
|
2/11/2019
|
(37,941)
|
||||||
465,204
|
USD
|
6,225,412
|
ZAR
|
JPM
|
2/11/2019
|
(3,783)
|
||||||
104,828
|
USD
|
1,445,345
|
ZAR
|
JPM
|
2/11/2019
|
(4,056)
|
||||||
Total unrealized depreciation
|
$
|
(1,930,475)
|
||||||||||
Total net unrealized appreciation
|
$
|
327,246
|
Credit default swap contracts ("credit default swaps")
|
||||||||||||||||||||||||||||||||||||||
At January 31, 2019, the Fund had outstanding credit default swaps as follows:
|
||||||||||||||||||||||||||||||||||||||
Over-the-counter credit default swaps — Sell Protection
|
Swap
Counterparty |
Reference
Entity |
Notional
Amount |
Financing Rate Received by the Fund
|
Payment Frequency
|
Maturity
Date |
Upfront Payments/ (Receipts) |
Unrealized
Appreciation/ (Depreciation) |
Accrued
Net Interest Receivable/ (Payable) |
Value |
||||||
JPM
|
Republic of Argentina, Senior Securities
|
USD 719,399
|
5.00%
|
3M
|
6/20/2023
|
$
|
48,072
|
$
|
(78,485)
|
$
|
4,296
|
$
|
(26,117)
|
Cross currency swap contracts ("cross currency swaps")
|
|||||||||||||||||||||||||||||
At January 31, 2019, the Fund had outstanding cross currency swaps as follows:
|
Over-the-counter cross currency swaps
|
Counterparty
|
Notional Amount
|
Portfolio
Pays/ Receives Floating Rate |
Floating Rate Index
|
Annual Fixed-Rate
|
Frequency of Fund Receipt/ Payment
|
Maturity
Date |
Unrealized
Appreciation/ (Depreciation) |
Accrued Net Interest Receivable/ (Payable)
|
Value
|
||||||||||||||
JPM
|
TRY 9,850,519
|
Receive
|
3-month LIBOR
|
22.94%
|
3M/1Y
|
3/11/2024
|
$
|
(537,777)
|
$—
|
$(537,777)
|
Interest rate swap contracts ("interest rate swaps")
|
||||||||||||||||||||||||||||||||||||||
At January 31, 2019, the Fund had outstanding interest rate swaps as follows:
|
||||||||||||||||||||||||||||||||||||||
Centrally cleared interest rate swaps
|
Clearinghouse
|
Notional
Amount |
Fund
Pays/Receives Floating Rate |
Floating Rate
Index |
Annual
Fixed-Rate |
Frequency of Fund Receipt/ Payment
|
Maturity
Date |
Unrealized
Appreciation/ (Depreciation) |
Accrued Net Interest Receivable/ (Payable)
|
Value
|
|||
CME
|
BRL 33,030,903
|
Receive
|
1-day Overnight Brazil (CETIP)
|
7.45%
|
T/T
|
1/2/2020
|
$
|
(84,798)
|
$
|
(22,244)
|
$
|
(107,042)
|
CME
|
BRL 1,808,999
|
Pay
|
1-day Overnight Brazil (CETIP)
|
7.89%
|
T/T
|
1/4/2021
|
8,601
|
1,161
|
9,762
|
|||
CME
|
BRL 5,775,499
|
Pay
|
1-day Overnight Brazil (CETIP)
|
9.46%
|
T/T
|
1/3/2022
|
89,078
|
30,956
|
120,034
|
|||
CME
|
BRL 588,077
|
Pay
|
1-day Overnight Brazil (CETIP)
|
9.26%
|
T/T
|
1/2/2023
|
8,239
|
3,111
|
11,350
|
|||
CME
|
BRL 1,568,375
|
Pay
|
1-day Overnight Brazil (CETIP)
|
11.45%
|
T/T
|
1/2/2025
|
82,505
|
12,938
|
95,443
|
|||
CME
|
BRL 1,836,954
|
Pay
|
1-day Overnight Brazil (CETIP)
|
12.34%
|
T/T
|
1/2/2025
|
128,390
|
18,037
|
146,427
|
|||
LCH
|
CNY 8,000,000
|
Pay
|
7-day China Fixing Repo Rates
|
2.76%
|
3M/3M
|
1/9/2024
|
(1,590)
|
175
|
(1,415)
|
|||
LCH
|
CZK 17,000,000
|
Receive
|
6-month Prague Interbank Offer Rate (PRIBOR)
|
1.58%
|
6M/1Y
|
1/11/2023
|
8,888
|
215
|
9,103
|
|||
LCH
|
CZK 25,652,892
|
Receive
|
6-month Prague Interbank Offer Rate (PRIBOR)
|
1.76%
|
6M/1Y
|
1/7/2024
|
3,522
|
247
|
3,769
|
|||
LCH
|
CZK 8,000,000
|
Receive
|
6-month Prague Interbank Offer Rate (PRIBOR)
|
1.94%
|
6M/1Y
|
2/26/2028
|
(5,984)
|
(4,048)
|
(10,032)
|
|||
LCH
|
HUF 300,000,000
|
Receive
|
6-month Budapest Interbank Offer Rate (BUBOR)
|
2.05%
|
6M/1Y
|
11/23/2023
|
(24,681)
|
(3,681)
|
(28,362)
|
|||
LCH
|
HUF 125,000,000
|
Receive
|
6-month Budapest Interbank Offer Rate (BUBOR)
|
1.81%
|
6M/1Y
|
12/13/2023
|
(5,125)
|
(959)
|
(6,084)
|
|||
LCH
|
HUF 93,450,000
|
Receive
|
6-month Budapest Interbank Offer Rate (BUBOR)
|
2.38%
|
6M/1Y
|
6/7/2028
|
(5,625)
|
(5,137)
|
(10,762)
|
|||
LCH
|
HUF 73,550,000
|
Receive
|
6-month Budapest Interbank Offer Rate (BUBOR)
|
2.44%
|
6M/1Y
|
6/8/2028
|
(5,788)
|
(4,136)
|
(9,924)
|
|||
LCH
|
HUF 155,015,000
|
Receive
|
6-month Budapest Interbank Offer Rate (BUBOR)
|
2.70%
|
6M/1Y
|
6/13/2028
|
(24,698)
|
(9,477)
|
(34,175)
|
|||
CME
|
MXN 55,942,028
|
Receive
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
8.09%
|
28D/28D
|
1/28/2021
|
(2,140)
|
—
|
(2,140)
|
|||
CME
|
MXN 57,243,005
|
Receive
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
8.15%
|
28D/28D
|
1/28/2021
|
(3,663)
|
—
|
(3,663)
|
|||
CME
|
MXN 3,500,000
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
7.71%
|
28D/28D
|
1/21/2022
|
(2,198)
|
(32)
|
(2,230)
|
|||
CME
|
MXN 15,505,918
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
7.58%
|
28D/28D
|
1/28/2022
|
(12,612)
|
(642)
|
(13,254)
|
|||
CME
|
MXN 12,211,377
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
6.75%
|
28D/28D
|
6/23/2022
|
(26,830)
|
(718)
|
(27,548)
|
|||
CME
|
MXN 34,769,500
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
6.71%
|
28D/28D
|
7/7/2022
|
(79,132)
|
(764)
|
(79,896)
|
|||
CME
|
MXN 19,000,000
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
7.35%
|
28D/28D
|
3/20/2024
|
(35,102)
|
(69)
|
(35,171)
|
|||
CME
|
MXN 1,800,000
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
7.72%
|
28D/28D
|
12/3/2026
|
(3,561)
|
(50)
|
(3,611)
|
|||
CME
|
MXN 3,300,000
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
8.16%
|
28D/28D
|
12/28/2026
|
(2,141)
|
(52)
|
(2,193)
|
|||
CME
|
MXN 9,380,123
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
7.92%
|
28D/28D
|
1/22/2027
|
(13,347)
|
(259)
|
(13,606)
|
|||
CME
|
MXN 6,685,611
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
7.51%
|
28D/28D
|
4/20/2027
|
(18,786)
|
(252)
|
(19,038)
|
|||
LCH
|
PLN 2,655,221
|
Pay
|
6-month Warsaw Interbank Offered Rate (WIBOR)
|
2.21%
|
6M/1Y
|
11/16/2021
|
7,859
|
629
|
8,488
|
|||
LCH
|
PLN 1,250,000
|
Pay
|
6-month Poland Warsaw Interbank Offer Rate (WIBOR)
|
2.33%
|
6M/1Y
|
4/6/2022
|
5,135
|
4,542
|
9,677
|
|||
LCH
|
ZAR 101,293,721
|
Receive
|
3-month Johannesburg International Interbank Agreed Rate (JIBAR)
|
7.29%
|
3M/3M
|
1/7/2021
|
(21,806)
|
(719)
|
(22,525)
|
|||
Total
|
$
|
(37,390)
|
$
|
18,772
|
$
|
(18,618)
|
At January, 31, 2019, the Fund had $406,606 deposited in a segregated account to cover collateral requirements on centrally cleared swaps.
|
Over-the-counter interest rate swaps
|
Counterparty
|
Notional Amount
|
Fund
Pays/ Receives Floating Rate |
Floating Rate Index
|
Annual
Fixed-Rate |
Frequency of Fund Receipt/ Payment
|
Maturity
Date |
Unrealized
Appreciation/ (Depreciation) |
Accrued Net Interest Receivable/ (Payable)
|
Value
|
||||
GSI
|
BRL 1,152,498
|
Pay
|
1-day Overnight Brazil (CETIP)
|
9.73%
|
T/T
|
1/2/2020
|
$
|
10,611
|
$
|
13,065
|
$
|
23,676
|
|
GSI
|
BRL 1,000,000
|
Pay
|
1-day Overnight Brazil (CETIP)
|
11.99%
|
T/T
|
1/2/2023
|
63,880
|
16,508
|
80,388
|
||||
JPM
|
BRL 930,916
|
Pay
|
1-day Overnight Brazil (CETIP)
|
9.61%
|
T/T
|
1/2/2020
|
8,270
|
9,791
|
18,061
|
||||
JPM
|
BRL 1,984,200
|
Pay
|
1-day Overnight Brazil (CETIP)
|
9.07%
|
T/T
|
1/2/2020
|
14,439
|
16,506
|
30,945
|
||||
JPM
|
BRL 1,063,932
|
Pay
|
1-day Overnight Brazil (CETIP)
|
11.46%
|
T/T
|
1/2/2020
|
15,819
|
20,792
|
36,611
|
||||
JPM
|
BRL 31,354
|
Pay
|
1-day Overnight Brazil (CETIP)
|
10.23%
|
T/T
|
1/4/2021
|
603
|
436
|
1,039
|
||||
JPM
|
BRL 489,151
|
Pay
|
1-day Overnight Brazil (CETIP)
|
10.04%
|
T/T
|
1/4/2021
|
8,761
|
6,346
|
15,107
|
||||
JPM
|
BRL 1,332,786
|
Pay
|
1-day Overnight Brazil (CETIP)
|
8.66%
|
T/T
|
1/4/2021
|
12,540
|
9,533
|
22,073
|
||||
JPM
|
BRL 1,614,106
|
Pay
|
1-day Overnight Brazil (CETIP)
|
9.28%
|
T/T
|
1/4/2021
|
21,156
|
15,583
|
36,739
|
||||
JPM
|
BRL 2,116,417
|
Pay
|
1-day Overnight Brazil (CETIP)
|
9.18%
|
T/T
|
1/4/2021
|
26,050
|
18,258
|
44,308
|
||||
JPM
|
BRL 2,071,383
|
Pay
|
1-day Overnight Brazil (CETIP)
|
9.20%
|
T/T
|
1/4/2021
|
26,295
|
19,446
|
45,741
|
||||
JPM
|
BRL 7,778,457
|
Pay
|
1-day Overnight Brazil (CETIP)
|
8.87%
|
T/T
|
1/4/2021
|
83,139
|
62,669
|
145,808
|
||||
JPM
|
CLP 231,188,535
|
Pay
|
Sinacofi Chile Interbank Rate Avg. (CLICP)
|
3.43%
|
6M/6M
|
5/10/2022
|
(342)
|
531
|
189
|
||||
GSI
|
CNY 8,000,000
|
Pay
|
7-day China Fixing Repo Rates
|
2.77%
|
3M/3M
|
1/9/2024
|
(1,039)
|
182
|
(857)
|
||||
GSI
|
COP 270,032,867
|
Pay
|
1-day Colombia Overnight Interbank Reference Rate (IBRCOL)
|
5.36%
|
3M/3M
|
5/23/2022
|
1,198
|
207
|
1,405
|
||||
JPM
|
COP 996,329,313
|
Pay
|
1-day Colombia Overnight Interbank Reference Rate (IBRCOL)
|
5.30%
|
3M/3M
|
10/23/2022
|
3,255
|
85
|
3,340
|
||||
GSI
|
HUF 359,014,464
|
Receive
|
6-month Budapest Interbank Offer Rate (BUBOR)
|
1.27%
|
6M/1Y
|
1/9/2022
|
(4,473)
|
(777)
|
(5,250)
|
||||
GSI
|
HUF 500,000,000
|
Pay
|
6-month Budapest Interbank Offer Rate (BUBOR)
|
0.84%
|
6M/1Y
|
9/21/2022
|
(31,397)
|
3,259
|
(28,138)
|
||||
JPM
|
HUF 600,000,000
|
Receive
|
6-month Budapest Interbank Offer Rate (BUBOR)
|
0.85%
|
6M/1Y
|
10/10/2019
|
(6,830)
|
(3,672)
|
(10,502)
|
||||
JPM
|
HUF 382,000,000
|
Receive
|
6-month Budapest Interbank Offer Rate (BUBOR)
|
0.69%
|
6M/1Y
|
4/20/2020
|
(1,999)
|
(6,382)
|
(8,381)
|
||||
JPM
|
HUF 128,246,450
|
Receive
|
6-month Budapest Interbank Offer Rate (BUBOR)
|
1.38%
|
6M/1Y
|
6/17/2021
|
(4,424)
|
(3,850)
|
(8,274)
|
||||
JPM
|
HUF 45,000,000
|
Receive
|
6-month Budapest Interbank Offer Rate (BUBOR)
|
1.30%
|
6M/1Y
|
4/6/2022
|
(439)
|
(1,590)
|
(2,029)
|
||||
GSI
|
ILS 20,000,000
|
Receive
|
3-month Tel Aviv Interbank Offer Rate (TELBOR)
|
0.57%
|
3M/1Y
|
11/26/2020
|
(10,070)
|
(4,262)
|
(14,332)
|
||||
CITI
|
ILS 20,724,328
|
Receive
|
3-month Tel Aviv Interbank Offer Rate (TELBOR)
|
0.72%
|
3M/1Y
|
12/12/2020
|
(25,758)
|
(3,592)
|
(29,350)
|
||||
GSI
|
ILS 8,000,000
|
Pay
|
3-month Tel Aviv Interbank Offer Rate (TELBOR)
|
1.34%
|
3M/1Y
|
11/26/2023
|
29,274
|
4,815
|
34,089
|
||||
CITI
|
ILS 8,536,708
|
Pay
|
3-month Tel Aviv Interbank Offer Rate (TELBOR)
|
1.40%
|
3M/1Y
|
12/12/2023
|
37,812
|
3,718
|
41,530
|
||||
GSI
|
MXN 9,000,000
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
5.37%
|
28D/28D
|
3/17/2021
|
(26,738)
|
(379)
|
(27,117)
|
||||
GSI
|
MXN 28,033,731
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
5.90%
|
28D/28D
|
9/12/2022
|
(104,301)
|
(2,739)
|
(107,040)
|
||||
GSI
|
MXN 10,713,184
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
6.21%
|
28D/28D
|
12/8/2025
|
(61,775)
|
(669)
|
(62,444)
|
||||
GSI
|
MXN 9,462,643
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
6.17%
|
28D/28D
|
3/5/2026
|
(57,488)
|
(501)
|
(57,989)
|
||||
GSI
|
MXN 5,000,000
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
6.38%
|
28D/28D
|
9/16/2026
|
(29,382)
|
(257)
|
(29,639)
|
||||
JPM
|
MXN 7,500,000
|
Pay
|
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)
|
6.13%
|
28D/28D
|
6/18/2026
|
(48,145)
|
(588)
|
(48,733)
|
||||
GSI
|
RUB 337,196,904
|
Pay
|
3-month Moscow Prime Offered Rate (MOSPRIME)
|
6.78%
|
3M/1Y
|
2/22/2020
|
(113,319)
|
—
|
(113,319)
|
||||
GSI
|
RUB 450,000,000
|
Pay
|
3-month Moscow Prime Offered Rate (MOSPRIME)
|
6.53%
|
3M/1Y
|
3/27/2020
|
(166,765)
|
—
|
(166,765)
|
||||
GSI
|
ZAR 18,000,000
|
Receive
|
3-month Johannesburg International Interbank Agreed Rate (JIBAR)
|
8.02%
|
3M/3M
|
5/18/2028
|
(12,051)
|
(2,749)
|
(14,800)
|
||||
Total
|
$
|
(343,633)
|
$
|
189,723
|
$
|
(153,910)
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2019:
|
Asset Valuation Inputs
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments:
|
||||||||||||||||
Corporate Bonds(a)
|
$
|
—
|
$
|
55,706
|
$
|
—
|
$
|
55,706
|
||||||||
Foreign Government Securities(a)
|
—
|
153,726
|
—
|
153,726
|
||||||||||||
U.S. Treasury Obligations
|
—
|
1,657
|
—
|
1,657
|
||||||||||||
Short-Term Investments
|
—
|
10,545
|
—
|
10,545
|
||||||||||||
Total Investments
|
$
|
—
|
$
|
221,634
|
$
|
—
|
$
|
221,634
|
(a)
|
The Schedule of Investments provides a geographic categorization as well as a Positions by Industry summary.
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of January 31, 2019:
|
Other Financial Instruments
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Assets
|
||||||||||||||||
Futures(a)
|
||||||||||||||||
Assets
|
$
|
298
|
$
|
—
|
$
|
—
|
$
|
298
|
||||||||
Liabilities
|
(287
|
)
|
—
|
—
|
(287
|
)
|
||||||||||
Forward Contracts(a)
|
||||||||||||||||
Assets
|
—
|
2,258
|
—
|
2,258
|
||||||||||||
Liabilities
|
—
|
(1,931
|
)
|
—
|
(1,931
|
)
|
||||||||||
Swaps
|
||||||||||||||||
Assets
|
—
|
995
|
—
|
995
|
||||||||||||
Liabilities
|
—
|
(1,731
|
)
|
—
|
(1,731
|
)
|
||||||||||
Total
|
$
|
11
|
$
|
(409
|
)
|
$
|
—
|
$
|
(398
|
)
|
(a)
|
Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
|
NUMBER OF
SHARES |
VALUE†
(000's omitted) |
||||||
Common Stocks 0.2%
|
|||||||
Business Equipment & Services 0.1%
|
|||||||
22
|
Brock Holdings III, Inc.
|
$
|
436
|
*(a)(b)(c)
|
|||
Media - Broadcast 0.1%
|
|||||||
16
|
Cumulus Media, Inc., Class A
|
198
|
*
|
||||
Total Common Stocks (Cost $592)
|
634
|
||||||
PRINCIPAL
AMOUNT |
|||||||
(000's omitted)
|
|||||||
Loan Assignments(d) 87.6%
|
|||||||
Aerospace & Defense 1.4%
|
|||||||
$
|
585
|
Accudyne Industries, LLC, Term Loan, (USD LIBOR + 3.00%), due 8/18/24
|
570
|
(e)(f)
|
|||
752
|
Atlantic Aviation FBO Inc., Term Loan B, (1 month USD LIBOR + 3.75%), 6.27%, due 11/29/25
|
754
|
(c)
|
||||
DAE Aviation Holdings, Inc.
|
|||||||
192
|
Term Loan, (USD LIBOR + 4.00%), due 1/23/26
|
191
|
(e)(f)
|
||||
358
|
Term Loan B, (USD LIBOR + 4.00%), due 1/23/26
|
356
|
(e)(f)
|
||||
2,112
|
TransDigm, Inc., Term Loan F, (1 month USD LIBOR + 2.50%), 5.00%, due 6/9/23
|
2,065
|
|||||
3,936
|
|||||||
Air Transport 0.1%
|
|||||||
335
|
American Airlines, Inc., Term Loan B, (1 month USD LIBOR + 1.75%), 4.25%, due 6/27/25
|
320
|
|||||
Automotive 1.8%
|
|||||||
ABRA Auto
|
|||||||
843
|
First Lien Term Loan, (2 month USD LIBOR + 3.00%), 5.62%, due 9/17/21
|
840
|
|||||
700
|
Second Lien Term Loan, (2 month USD LIBOR + 7.25%), 9.84%, due 9/19/22
|
697
|
|||||
1,063
|
Belron, Term Loan B, (3 month USD LIBOR + 2.25%), 4.84%, due 11/7/24
|
1,048
|
(c)
|
||||
728
|
Caliber Collision, First Lien Term Loan, (3 month USD LIBOR + 2.00%), 7.50%, due 2/1/24
|
725
|
|||||
1,865
|
Wand Intermediate I LP, First Lien Term Loan, (2 month USD LIBOR + 3.00%), 5.62%, due 1/15/26
|
1,860
|
|||||
5,170
|
|||||||
Building & Development 4.0%
|
|||||||
739
|
American Builders & Contractors Supply Co., Inc., Term Loan B, (1 month USD LIBOR + 2.00%), 4.50%, due 10/31/23
|
720
|
|||||
638
|
Beacon Roofing Supply, Term Loan B, (1 month USD LIBOR + 2.25%), 4.77%, due 1/2/25
|
620
|
|||||
Capital Automotive LP
|
|||||||
788
|
First Lien Term Loan, (1 month USD LIBOR + 2.50%), 5.00%, due 3/24/24
|
765
|
|||||
963
|
Second Lien Term Loan, (1 month USD LIBOR + 6.00%), 8.50%, due 3/24/25
|
956
|
|||||
732
|
CPG International Inc., Term Loan, (6 month USD LIBOR + 3.75%), 6.63%, due 5/5/24
|
706
|
|||||
1,756
|
DTZ U.S. Borrower LLC, Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 8/21/25
|
1,720
|
|||||
1,098
|
Forterra, Term Loan B, (1 month USD LIBOR + 3.00%), 5.50%, due 10/25/23
|
1,004
|
|||||
1,100
|
HD Supply Waterworks, Term Loan B, (3 month USD LIBOR + 3.00%), 5.72%, due 8/1/24
|
1,085
|
(g)
|
||||
303
|
HD Supply, Inc., Term Loan B5, (1 month USD LIBOR + 1.75%), 4.25%, due 10/17/23
|
299
|
|||||
279
|
NCI Building Systems, Inc., Term Loan, (3 month USD LIBOR + 3.75%), 6.55%, due 4/12/25
|
266
|
|||||
|
683
|
Quikrete, First Lien Term Loan, (1 month USD LIBOR + 2.75%), 5.25%, due 11/15/23
|
|
661
|
|||
762
|
Realogy Corporation, Term Loan B, (1 month USD LIBOR + 2.25%), 4.76%, due 2/8/25
|
741
|
|||||
282
|
Reece Limited, Term Loan B, (3 month USD LIBOR + 2.00%), 4.81%, due 7/2/25
|
279
|
(c)
|
||||
1,166
|
VICI Properties 1 LLC, Term Loan B, (1 month USD LIBOR + 2.00%), 4.50%, due 12/20/24
|
1,144
|
|||||
585
|
Wilsonart LLC, Term Loan B, (USD LIBOR + 3.25%), due 12/19/23
|
578
|
|||||
11,544
|
|||||||
Business Equipment & Services 9.5%
|
|||||||
1,049
|
Acosta Inc., Term Loan, (1 month USD LIBOR + 3.25%), 5.75%, due 9/26/21
|
489
|
|||||
Advantage Sales and Marketing
|
|||||||
631
|
Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 7/25/21
|
549
|
|||||
640
|
Second Lien Term Loan, (1 month USD LIBOR + 6.50%), 9.00%, due 7/25/22
|
481
|
|||||
752
|
Alixpartners, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 4/4/24
|
742
|
|||||
357
|
BrightView Landscapes, LLC, First Lien Term Loan B, (1 month USD LIBOR + 2.50%), 5.06%, due 8/15/25
|
352
|
(c)
|
||||
260
|
Cast and Crew Payroll, LLC, First Lien Term Loan, (USD LIBOR + 4.00%), due 1/17/26
|
260
|
(e)(f)
|
||||
705
|
CCC Information Services Inc., First Lien Term Loan, (1 month USD LIBOR + 3.00%), 5.50%, due 4/26/24
|
686
|
(e)(f)
|
||||
1,447
|
Ceridian HCM Holding Inc., 2018 Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 4/30/25
|
1,428
|
(e)(f)
|
||||
1,798
|
Change Healthcare Holdings, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 3/1/24
|
1,759
|
|||||
DiscoverOrg, LLC
|
|||||||
630
|
First Lien Term Loan, (USD LIBOR + 4.50%), due 1/28/26
|
625
|
(c)(e)(f)
|
||||
95
|
Second Lien Term Loan, (USD LIBOR + 8.50%), due 1/28/27
|
95
|
(c)(e)(f)
|
||||
520
|
Dorna Sports, S.L., Term Loan B, (USD LIBOR + 3.00%), due 4/12/24
|
506
|
(a)(e)(f)
|
||||
1,330
|
Duff & Phelps Corporation, Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 2/13/25
|
1,280
|
|||||
887
|
EIG Investors Corp., 2018 First Lien Term Loan, (USD LIBOR + 3.75%), 6.44%, due 2/9/23
|
872
|
(g)
|
||||
809
|
Element Materials, Term Loan B, (3 month USD LIBOR + 3.50%), 6.30%, due 6/28/24
|
799
|
|||||
625
|
Financial & Risk US Holdings, Inc., Term Loan, (1 month USD LIBOR + 3.75%), 6.25%, due 10/1/25
|
600
|
|||||
205
|
FrontDoor Inc, Term Loan B, (USD LIBOR + 2.50%), due 8/14/25
|
204
|
(e)(f)
|
||||
1,546
|
Garda World Security, Term Loan, (3 month USD LIBOR + 3.50%), 6.24%, due 5/24/24
|
1,516
|
(e)(f)
|
||||
1,027
|
Greeneden U.S. Holdings II, LLC, Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 12/1/23
|
1,002
|
|||||
448
|
Iron Mountain, Inc., Term Loan B, (1 month USD LIBOR + 1.75%), 4.25%, due 1/2/26
|
434
|
|||||
Kronos
|
|||||||
1,224
|
Term Loan B, (USD LIBOR + 3.00%), 5.54%, due 11/1/23
|
1,199
|
|||||
230
|
Second Lien Term Loan, (3 month USD LIBOR + 8.25%), 10.79%, due 11/1/24
|
233
|
|||||
1,308
|
Minimax GmbH & Co. KG, Term Loan B1C, (1 month USD LIBOR + 3.00%), 5.50%, due 7/31/25
|
1,295
|
|||||
On Assignment
|
|||||||
335
|
Term Loan B1, (1 month USD LIBOR + 2.00%), 4.50%, due 6/3/22
|
331
|
|||||
268
|
Term Loan B2, (1 month USD LIBOR + 2.00%), 4.50%, due 4/2/25
|
264
|
|||||
1,335
|
Presidio, Term Loan B, (USD LIBOR + 2.75%), 5.54%, due 2/2/24
|
1,318
|
(g)
|
||||
|
1,762
|
Protection One, First Lien Term Loan, (1 month USD LIBOR + 2.75%), 5.25%, due 5/2/22
|
|
1,736
|
|||
387
|
Servicemaster Company, Term Loan B, (1 month USD LIBOR + 2.50%), 5.00%, due 11/8/23
|
384
|
|||||
1,417
|
Solera, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 3/3/23
|
1,386
|
|||||
667
|
Switch Ltd., Term Loan B, (1 month USD LIBOR + 2.25%), 4.75%, due 6/27/24
|
655
|
|||||
1,255
|
Tempo Acquisition LLC, Term Loan, (1 month USD LIBOR + 3.00%), 5.50%, due 5/1/24
|
1,231
|
(e)(f)
|
||||
1,560
|
West, Term Loan, (1 month USD LIBOR + 4.00%), 6.50%, due 10/10/24
|
1,428
|
|||||
353
|
West Corporation, Term Loan B1, (1 month USD LIBOR + 3.50%), 6.00%, due 10/10/24
|
320
|
|||||
788
|
Wex, Term Loan B2, (1 month USD LIBOR + 2.25%), 4.75%, due 6/30/23
|
775
|
|||||
450
|
William Morris Endeavor Entertainment, LLC, First Lien Term Loan, (USD LIBOR + 2.75%), due 5/18/25
|
423
|
(e)(f)
|
||||
27,657
|
|||||||
Cable & Satellite Television 5.2%
|
|||||||
366
|
Altice Financing, Term Loan B, (3 month USD LIBOR + 2.75%), 5.23%, due 7/15/25
|
340
|
|||||
1,746
|
Altice France S.A., Term Loan B13, (1 month USD LIBOR + 4.00%), 6.51%, due 8/14/26
|
1,644
|
|||||
435
|
Altice US Finance I Corporation, Term Loan, (1 month USD LIBOR + 2.25%), 4.76%, due 1/15/26
|
419
|
|||||
967
|
Cablevision Systems Corp., First Lien Term Loan, (1 month USD LIBOR + 2.25%), 4.76%, due 7/17/25
|
935
|
|||||
1,226
|
Charter Communications Operating, LLC, Term Loan B, (1 month USD LIBOR + 2.00%), 4.50%, due 4/30/25
|
1,208
|
|||||
546
|
Cogeco Communications (USA) II L.P., First Lien Term Loan, (1 month USD LIBOR + 2.38%), 4.87%, due 1/3/25
|
534
|
|||||
551
|
Lions Gate Entertainment Corp., Term Loan B, (1 month USD LIBOR + 2.25%), 4.75%, due 3/24/25
|
541
|
|||||
126
|
Mission Broadcasting, Inc., Term Loan B3, (3 month USD LIBOR + 2.25%), 4.76%, due 1/17/24
|
122
|
|||||
731
|
Nexstar Broadcasting, Inc., Term Loan B3, (1 month USD LIBOR + 2.25%), 4.75%, due 1/17/24
|
706
|
|||||
1,444
|
Numericable, Term Loan B11, (1 month USD LIBOR + 2.75%), 5.25%, due 7/31/25
|
1,329
|
|||||
1,685
|
RCN Grande, First Lien Term Loan, (1 month USD LIBOR + 3.00%), 5.50%, due 2/1/24
|
1,634
|
|||||
920
|
Telenet Financing USD LLC, Term Loan AN, (1 month USD LIBOR + 2.25%), 4.76%, due 8/15/26
|
894
|
|||||
660
|
Unity Media, Term Loan B, (1 month USD LIBOR + 2.25%), 4.76%, due 9/30/25
|
649
|
|||||
1,083
|
UPC Financing Partnership, Term Loan AR, (1 month USD LIBOR + 2.50%), 5.01%, due 1/15/26
|
1,065
|
|||||
1,205
|
Virgin Media, Term Loan K, (1 month USD LIBOR + 2.50%), 5.01%, due 1/15/26
|
1,182
|
|||||
750
|
Wide Open West, Term Loan B, (USD LIBOR + 3.25%), due 8/18/23
|
715
|
(e)(f)
|
||||
1,060
|
Ziggo Secured, Term Loan E, (1 month USD LIBOR + 2.50%), 5.01%, due 4/15/25
|
1,024
|
|||||
14,941
|
|||||||
Chemicals & Plastics 3.4%
|
|||||||
Allnex
|
|||||||
335
|
Term Loan B2, (3 month USD LIBOR + 3.25%), 5.96%, due 9/13/23
|
329
|
|||||
252
|
Term Loan B3, (3 month USD LIBOR + 3.25%), 5.96%, due 9/13/23
|
248
|
|||||
1,649
|
Diversey, Term Loan, (USD LIBOR + 3.00%), 5.74%, due 9/6/24
|
1,551
|
(g)
|
||||
|
440
|
Dupont Performance Coatings, Term Loan, (USD LIBOR + 1.75%), due 6/1/24
|
|
431
|
(e)(f)
|
||
441
|
HB Fuller, Term Loan B, (1 month USD LIBOR + 2.00%), 4.50%, due 10/20/24
|
432
|
|||||
435
|
Ineos Finance PLC, Term Loan B, (1 month USD LIBOR + 2.00%), 4.50%, due 3/31/24
|
422
|
|||||
Invictus U.S., LLC
|
|||||||
481
|
First Lien Term Loan, (1 month USD LIBOR + 3.00%), 5.50%, due 3/28/25
|
473
|
|||||
150
|
Second Lien Term Loan, (1 month USD LIBOR + 6.75%), 9.25%, due 3/28/26
|
148
|
(c)
|
||||
675
|
Messer Industries, L.L.C., Term Loan, (USD LIBOR + 2.50%), due 10/1/25
|
660
|
(e)(f)
|
||||
691
|
PQ Corporation, Term Loan B, (3 month USD LIBOR + 2.50%), 5.24%, due 2/8/25
|
672
|
|||||
781
|
Solenis International, LP, 2018 First Lien Term Loan, (3 month USD LIBOR + 4.00%), 6.71%, due 12/26/23
|
766
|
|||||
2,015
|
Starfruit Finco B.V., Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 10/1/25
|
1,968
|
|||||
1,736
|
Univar USA, Inc., Term Loan B, (1 month USD LIBOR + 2.25%), 4.75%, due 7/1/24
|
1,698
|
|||||
9,798
|
|||||||
Conglomerates 0.2%
|
|||||||
721
|
Penn Engineering, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 6/27/24
|
711
|
|||||
Containers & Glass Products 2.9%
|
|||||||
656
|
Albea Beauty Holdings S.A, Term Loan B2, (USD LIBOR + 3.00%), 5.89%, due 4/22/24
|
635
|
(g)
|
||||
1,731
|
Berlin Packaging LLC, First Lien Term Loan, (USD LIBOR + 3.00%), 5.55%, due 11/7/25
|
1,662
|
(g)
|
||||
Berry Global, Inc.
|
|||||||
53
|
Term Loan S, (1 month USD LIBOR + 1.75%), 4.27%, due 2/8/20
|
52
|
|||||
335
|
Term Loan T, (1 month USD LIBOR + 1.75%), 4.27%, due 1/6/21
|
333
|
|||||
653
|
Term Loan R, (1 month USD LIBOR + 2.00%), 4.52%, due 1/19/24
|
645
|
|||||
1,344
|
BWAY Corporation, Term Loan B, (3 month USD LIBOR + 3.25%), 6.03%, due 4/3/24
|
1,294
|
(e)(f)
|
||||
701
|
Consolidated Container, First Lien Term Loan, (1 month USD LIBOR + 2.75%), 5.25%, due 5/22/24
|
684
|
|||||
1,452
|
Reynolds Group, Term Loan, (1 month USD LIBOR + 2.75%), 5.25%, due 2/5/23
|
1,431
|
|||||
855
|
Tricorbraun, First Lien Term Loan, (3 month USD LIBOR + 3.75%), 6.55%, due 11/30/23
|
842
|
(g)
|
||||
1,016
|
Trident TPI Holdings, Inc., Term Loan B1, (1 month USD LIBOR + 3.25%), 5.75%, due 10/17/24
|
979
|
|||||
8,557
|
|||||||
Cosmetics - Toiletries 0.2%
|
|||||||
544
|
Prestige Brands, Inc., Term Loan B4, (1 month USD LIBOR + 2.00%), 4.50%, due 1/26/24
|
536
|
|||||
Diversified Insurance 0.7%
|
|||||||
1,995
|
Sedgwick Claims Management Services, Inc., Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 12/31/25
|
1,942
|
|||||
Drugs 3.6%
|
|||||||
730
|
Akorn, Inc., Term Loan B, (1 month USD LIBOR + 5.50%), 8.00%, due 4/16/21
|
585
|
|||||
1,708
|
Amneal Pharmaceuticals LLC, Term Loan B, (1 month USD LIBOR + 3.50%), 6.00%, due 5/4/25
|
1,690
|
|||||
|
25
|
Bausch Health Companies Inc., Term Loan B, (1 month USD LIBOR + 2.75%), 5.26%, due 11/27/25
|
|
24
|
|||
1,590
|
Endo Luxembourg Finance Company I S.a.r.l., Term Loan B, (1 month USD LIBOR + 4.25%), 6.75%, due 4/29/24
|
1,573
|
|||||
2,117
|
Jaguar Holding Company II, Term Loan, (1 month USD LIBOR + 2.50%), 5.00%, due 8/18/22
|
2,072
|
|||||
1,390
|
Mallinckrodt International, Term Loan B, (3 month USD LIBOR + 2.75%), 5.55%, due 9/24/24
|
1,291
|
|||||
202
|
Mallinckrodt International Finance S.A., Term Loan B, (3 month USD LIBOR + 3.00%), 5.62%, due 2/24/25
|
190
|
|||||
130
|
Pharmaceutical Technologies & Services, Term Loan B, (1 month USD LIBOR + 2.25%), 4.75%, due 5/20/24
|
129
|
|||||
2,866
|
Valeant Pharmaceuticals International, Inc., Term Loan B, (1 month USD LIBOR + 3.00%), 5.51%, due 6/2/25
|
2,833
|
|||||
10,387
|
|||||||
Ecological Services & Equipment 0.7%
|
|||||||
1,497
|
ADS Waste Holdings, Inc., Term Loan B3, (1 week USD LIBOR + 2.25%), 4.66%, due 11/10/23
|
1,479
|
|||||
469
|
GFL Environmental Inc., Term Loan, (1 month USD LIBOR + 3.00%), 5.50%, due 5/30/25
|
451
|
|||||
1,930
|
|||||||
Electronics - Electrical 8.3%
|
|||||||
Applied Systems
|
|||||||
1,205
|
First Lien Term Loan, (1 month USD LIBOR + 3.00%), 5.50%, due 9/19/24
|
1,174
|
|||||
500
|
Second Lien Term Loan, (1 month USD LIBOR + 7.00%), 9.50%, due 9/19/25
|
497
|
|||||
1,452
|
Avast Software B.V., Term Loan B, (3 month USD LIBOR + 2.50%), 5.30%, due 9/30/23
|
1,433
|
|||||
1,385
|
Datatel-Sophia LP, Term Loan B, (3 month USD LIBOR + 3.25%), 6.05%, due 9/30/22
|
1,354
|
|||||
1,157
|
Dell, Term Loan B, (1 month USD LIBOR + 2.00%), 4.50%, due 9/7/23
|
1,140
|
|||||
Dynatrace LLC
|
|||||||
725
|
First Lien Term Loan, (1 month USD LIBOR + 3.25%), 5.75%, due 8/22/25
|
716
|
(e)(f)
|
||||
144
|
Second Lien Term Loan, (1 month USD LIBOR + 7.00%), 9.50%, due 8/21/26
|
143
|
(e)(f)
|
||||
1,250
|
Go Daddy, Term Loan, (1 month USD LIBOR + 2.25%), 4.75%, due 2/15/24
|
1,233
|
|||||
Hyland Software, Inc.
|
|||||||
853
|
Term Loan 3, (1 month USD LIBOR + 3.50%), 6.00%, due 7/1/24
|
841
|
|||||
461
|
Second Lien Term Loan, (1 month USD LIBOR + 7.00%), 9.50%, due 7/7/25
|
455
|
|||||
450
|
IFS, Term Loan B, (3 month USD LIBOR + 3.75%), 6.56%, due 7/31/24
|
435
|
|||||
1,819
|
Infor Global Solutions Ltd., Term Loan B6, (1 month USD LIBOR + 2.75%), 5.25%, due 2/1/22
|
1,807
|
|||||
580
|
Informatica LLC, Term Loan, (USD LIBOR + 3.25%), due 8/5/22
|
578
|
(e)(f)
|
||||
800
|
Lumentum Holdings, First Lien Term Loan, (1 month USD LIBOR + 2.50%), 5.00%, due 8/7/25
|
786
|
(c)
|
||||
McAfee, LLC
|
|||||||
1,441
|
Term Loan B, (1 month USD LIBOR + 3.75%), 6.25%, due 9/30/24
|
1,432
|
(e)(f)
|
||||
285
|
Second Lien Term Loan, (USD LIBOR + 8.50%), due 9/29/25
|
289
|
(c)(e)(f)
|
||||
570
|
Microchip Technology Incorporated, Term Loan B, (1 month USD LIBOR + 2.00%), 4.50%, due 5/29/25
|
560
|
|||||
185
|
MKS Instruments, Inc., Term Loan B5, (USD LIBOR + 2.25%), due 1/18/26
|
185
|
(e)(f)
|
||||
Optiv, Inc.
|
|||||||
|
1,322
|
First Lien Term Loan, (1 month USD LIBOR + 3.25%), 5.75%, due 2/1/24
|
|
1,223
|
|||
425
|
Second Lien Term Loan, (1 month USD LIBOR + 7.25%), 9.75%, due 2/1/25
|
391
|
|||||
2,916
|
Rackspace Hosting, Inc., First Lien Term Loan, (3 month USD LIBOR + 3.00%), 5.58%, due 11/3/23
|
2,699
|
|||||
893
|
Riverbed Technology, Term Loan, (1 month USD LIBOR + 3.25%), 5.75%, due 4/24/22
|
816
|
|||||
284
|
Southwire Company, Term Loan B, (1 month USD LIBOR + 2.00%), 4.51%, due 5/19/25
|
280
|
|||||
597
|
SS&C Technologies Holdings Europe S.A.R.L., Term Loan B4, (1 month USD LIBOR + 2.25%), 4.75%, due 4/16/25
|
585
|
|||||
1,552
|
SS&C Technologies Inc., Term Loan B3, (1 month USD LIBOR + 2.25%), 4.75%, due 4/16/25
|
1,520
|
|||||
1,080
|
Vertafore, Inc., First Lien Term Loan, (3 month USD LIBOR + 3.25%), 6.05%, due 7/2/25
|
1,047
|
|||||
516
|
Western Digital Corporation, Term Loan B4, (1 month USD LIBOR + 1.75%), 4.26%, due 4/29/23
|
503
|
|||||
24,122
|
|||||||
Equipment Leasing 0.6%
|
|||||||
1,674
|
Avolon TLB Borrower 1 (US) LLC, Term Loan B3, (1 month USD LIBOR + 2.00%), 4.50%, due 1/15/25
|
1,656
|
|||||
Financial Intermediaries 2.2%
|
|||||||
1,000
|
CITCO, Term Loan, (1 month USD LIBOR + 2.50%), 5.00%, due 9/28/23
|
975
|
|||||
Edelman Financial Center, LLC
|
|||||||
770
|
First Lien Term Loan, (3 month USD LIBOR + 3.25%), 6.04%, due 7/21/25
|
762
|
|||||
240
|
Second Lien Term Loan, (3 month USD LIBOR + 6.75%), 9.54%, due 7/20/26
|
235
|
|||||
1,015
|
Fortress Investment Group LLC, Term Loan B, (1 month USD LIBOR + 2.00%), 4.50%, due 12/27/22
|
1,000
|
|||||
809
|
Grosvenor Capital Management Holdings, LLP, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 3/31/25
|
797
|
|||||
746
|
Guggenheim Partners, LLC, Term Loan, (1 month USD LIBOR + 2.75%), 5.25%, due 7/21/23
|
740
|
|||||
836
|
LPL Holdings, Inc., First Lien Term Loan B, (1 month USD LIBOR + 2.25%), 4.75%, due 9/23/24
|
827
|
|||||
447
|
PI US MergerCo, Inc., First Lien Term Loan, (1 month USD LIBOR + 3.50%), 6.00%, due 12/20/24
|
435
|
|||||
541
|
Royalty Pharma AG, Term Loan B6, (1 month USD LIBOR + 2.00%), 4.50%, due 3/27/23
|
535
|
|||||
6,306
|
|||||||
Food & Drug Retailers 0.3%
|
|||||||
901
|
Albertsons LLC, Term Loan B5, (3 month USD LIBOR + 3.00%), 5.82%, due 12/21/22
|
888
|
|||||
Food Products 1.2%
|
|||||||
884
|
CHG PPC Parent LLC, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 3/31/25
|
864
|
(c)
|
||||
713
|
Del Monte Foods, First Lien Term Loan, (3 month USD LIBOR + 3.25%), 5.90%, due 2/18/21
|
584
|
|||||
840
|
Jacobs Douwe Egberts International B.V., Term Loan B, (3 month USD LIBOR + 2.00%), 4.56%, due 11/1/25
|
829
|
|||||
592
|
Nomad Foods Europe Midco Ltd., Term Loan B4, (1 month USD LIBOR + 2.25%), 4.76%, due 5/15/24
|
575
|
|||||
|
792
|
Post Holdings, Term Loan, (1 month USD LIBOR + 2.00%), 4.52%, due 5/24/24
|
|
781
|
|||
3,633
|
|||||||
Food Service 1.0%
|
|||||||
1,047
|
Burger King Corporation, Term Loan B3, (1 month USD LIBOR + 2.25%), 4.75%, due 2/16/24
|
1,029
|
|||||
805
|
US Foods, Term Loan B, (1 month USD LIBOR + 2.00%), 4.50%, due 6/27/23
|
791
|
|||||
1,083
|
Welbilt, Inc., Term Loan B, (1 month USD LIBOR + 2.50%), 5.00%, due 10/23/25
|
1,057
|
(c)
|
||||
2,877
|
|||||||
Health Care 6.3%
|
|||||||
955
|
Acadia Healthcare Company, Inc., Term Loan B4, (1 month USD LIBOR + 2.50%), 5.00%, due 2/16/23
|
939
|
|||||
910
|
Auris Luxembourg III S.a.r.l., Term Loan B, (USD LIBOR + 3.75%), due 7/20/25
|
904
|
(e)(f)
|
||||
1,041
|
Concentra Inc., First Lien Term Loan, (1 month USD LIBOR + 2.75%), 5.27%, due 6/1/22
|
1,031
|
|||||
525
|
Concentra Operating Company, Second Lien Term Loan, (1 month USD LIBOR + 6.50%), 9.02%, due 6/1/23
|
522
|
|||||
476
|
Convatec Inc., Term Loan B, (3 month USD LIBOR + 2.25%), 5.05%, due 10/31/23
|
471
|
|||||
1,560
|
Envision Healthcare Corporation, 2018 First Lien Term Loan, (1 month USD LIBOR + 3.75%), 6.25%, due 10/10/25
|
1,467
|
|||||
903
|
Grifols SA, Term Loan, (1 week USD LIBOR + 2.25%), 4.66%, due 1/31/25
|
890
|
|||||
854
|
HCA Inc., Term Loan B10, (1 month USD LIBOR + 2.00%), 4.50%, due 3/13/25
|
850
|
|||||
697
|
IQVIA Inc., Term Loan B3, (1 month USD LIBOR + 1.75%), 4.25%, due 6/11/25
|
684
|
|||||
949
|
Mediware Information System, Term Loan B, (1 month USD LIBOR + 3.50%), 6.00%, due 2/9/24
|
933
|
|||||
1,106
|
Multiplan, Inc., Term Loan B, (3 month USD LIBOR + 2.75%), 5.55%, due 6/7/23
|
1,069
|
|||||
1,531
|
National Mentor, Inc., Term Loan B, (3 month USD LIBOR + 3.00%), 5.80%, due 1/31/21
|
1,527
|
|||||
1,177
|
Ortho-Clinical Diagnostics SA, Term Loan B, (1 month USD LIBOR + 3.25%), 5.76%, due 6/30/25
|
1,137
|
|||||
Pearl Intermediate Parent LLC
|
|||||||
145
|
Term Loan, (USD LIBOR + 2.75%), 4.25%, due 2/14/25
|
139
|
(g)
|
||||
644
|
First Lien Term Loan, (1 month USD LIBOR + 2.75%), 5.27%, due 2/14/25
|
615
|
|||||
233
|
Second Lien Term Loan, (1 month USD LIBOR + 6.25%), 8.77%, due 2/13/26
|
229
|
(c)
|
||||
Sound Inpatient Physicians
|
|||||||
826
|
First Lien Term Loan, (1 month USD LIBOR + 2.75%), 5.25%, due 6/27/25
|
812
|
|||||
215
|
Second Lien Term Loan, (1 month USD LIBOR + 6.75%), 9.25%, due 6/26/26
|
212
|
|||||
333
|
Surgery Partners, Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 9/2/24
|
324
|
|||||
989
|
Syneos Health, Inc., Term Loan B, (1 month USD LIBOR + 2.00%), 4.50%, due 8/1/24
|
971
|
|||||
2,082
|
Team Health, Inc., First Lien Term Loan, (1 month USD LIBOR + 2.75%), 5.25%, due 2/6/24
|
1,869
|
(c)
|
||||
723
|
Verscend Holding Corp., Term Loan B, (1 month USD LIBOR + 4.50%), 7.00%, due 8/27/25
|
716
|
|||||
18,311
|
|||||||
Industrial Equipment 3.7%
|
|||||||
|
1,000
|
AL Alpine AT Bidco GmbH, Term Loan B, (3 month USD LIBOR + 3.25%), 5.81%, due 10/31/25
|
|
960
|
(c)
|
||
Brookfield WEC Holdings Inc.
|
|||||||
1,280
|
First Lien Term Loan, (1 month USD LIBOR + 3.75%), 6.25%, due 8/1/25
|
1,273
|
|||||
165
|
Second Lien Term Loan, (1 month USD LIBOR + 6.75%), 9.25%, due 8/3/26
|
164
|
|||||
673
|
Clark Equipment Company, Term Loan B, (3 month USD LIBOR + 2.00%), 4.80%, due 5/18/24
|
660
|
|||||
Crosby Worldwide
|
|||||||
1,534
|
First Lien Term Loan, (1 month USD LIBOR + 3.00%), 5.50%, due 11/23/20
|
1,419
|
|||||
440
|
Second Lien Term Loan, (1 month USD LIBOR + 6.00%), 8.50%, due 11/22/21
|
387
|
|||||
1,185
|
Filtration Group Corporation, First Lien Term Loan, (1 month USD LIBOR + 3.00%), 5.50%, due 3/29/25
|
1,173
|
|||||
608
|
Gardner Denver, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 7/30/24
|
604
|
|||||
1,311
|
Gates Global LLC, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 4/1/24
|
1,282
|
|||||
443
|
Harsco Corporation, Term Loan B1, (1 month USD LIBOR + 2.25%), 4.75%, due 12/6/24
|
439
|
|||||
416
|
Hyster-Yale Group, Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 5/30/23
|
412
|
|||||
1,065
|
Milacron LLC, Term Loan B, (1 month USD LIBOR + 2.50%), 5.00%, due 9/28/23
|
1,045
|
(c)
|
||||
968
|
Pro Mach Group, Inc., Term Loan B, (1 month USD LIBOR + 3.00%), 5.51%, due 3/7/25
|
936
|
|||||
10,754
|
|||||||
Leisure Goods - Activities - Movies 3.1%
|
|||||||
489
|
Amc Entertainment, Term Loan, (1 month USD LIBOR + 2.25%), 4.76%, due 12/15/22
|
480
|
|||||
749
|
CityCenter, Term Loan B, (1 month USD LIBOR + 2.25%), 4.75%, due 4/18/24
|
735
|
|||||
1,689
|
Crown Finance US, Inc., Term Loan, (1 month USD LIBOR + 2.50%), 5.00%, due 2/28/25
|
1,647
|
|||||
1,610
|
Delta 2 (LUX) S.a.r.l., Term Loan, (1 month USD LIBOR + 2.50%), 5.00%, due 2/1/24
|
1,546
|
|||||
785
|
Match Group Inc., Term Loan B, (2 month USD LIBOR + 2.50%), 5.09%, due 11/16/22
|
780
|
(c)
|
||||
641
|
Nielsen Business Media, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 5/22/24
|
623
|
|||||
1,890
|
Seaworld, Term Loan B5, (1 month USD LIBOR + 3.00%), 5.50%, due 3/31/24
|
1,851
|
|||||
1,410
|
WMG Acquisition Corp., Term Loan F, (1 month USD LIBOR + 2.13%), 4.62%, due 11/1/23
|
1,382
|
|||||
9,044
|
|||||||
Lodging & Casinos 5.7%
|
|||||||
725
|
Boyd Gaming Corporation, Term Loan B3, (USD LIBOR + 2.25%), due 9/15/23
|
715
|
(e)(f)
|
||||
692
|
Caesars Entertainment Operating Company, Term Loan, (1 month USD LIBOR + 2.00%), 4.50%, due 10/6/24
|
677
|
|||||
1,084
|
Caesars Resort Collection, LLC, First Lien Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 12/22/24
|
1,068
|
|||||
921
|
Eldorado Resorts, Term Loan B, (USD LIBOR + 2.25%), 4.81%, due 4/17/24
|
909
|
|||||
|
572
|
Four Seasons Holdings Inc., First Lien Term Loan, (1 month USD LIBOR + 2.00%), 4.50%, due 11/30/23
|
|
562
|
|||
Golden Entertainment, Inc.
|
|||||||
1,355
|
First Lien Term Loan, (1 month USD LIBOR + 3.00%), 5.51%, due 10/21/24
|
1,329
|
|||||
730
|
Second Lien Term Loan, (1 month USD LIBOR + 7.00%), 9.50%, due 10/20/25
|
712
|
|||||
387
|
GVC Holdings PLC, Term Loan, (1 month USD LIBOR + 2.50%), 5.00%, due 3/29/24
|
382
|
|||||
1,024
|
MGM Growth Properties, Term Loan B, (1 month USD LIBOR + 2.00%), 4.50%, due 3/21/25
|
1,007
|
|||||
1,831
|
Mohegan Tribal Gaming, Term Loan B, (1 month USD LIBOR + 4.00%), 6.50%, due 10/13/23
|
1,695
|
|||||
465
|
Penn National Gaming, Inc., First Lien Term Loan, (1 month USD LIBOR + 2.25%), 4.76%, due 10/15/25
|
459
|
|||||
430
|
RHP Hotel Properties, LP, Term Loan B, (3 month USD LIBOR + 2.00%), 4.78%, due 5/11/24
|
425
|
|||||
2,210
|
Scientific Games International, Inc., Term Loan B5, (1 month USD LIBOR + 2.75%), 5.25%, due 8/14/24
|
2,140
|
|||||
1,010
|
Stars Group Holdings B.V. (The), Term Loan, (3 month USD LIBOR + 3.50%), 6.30%, due 7/10/25
|
1,000
|
|||||
891
|
Station Casinos, Term Loan B, (1 month USD LIBOR + 2.50%), 5.00%, due 6/8/23
|
879
|
|||||
2,349
|
Twin Rivers Casino, Term Loan B, (3 month USD LIBOR + 3.50%), 6.30%, due 7/10/20
|
2,333
|
|||||
295
|
Wynn Resorts, Limited, Term Loan B, (1 month USD LIBOR + 2.25%), 4.75%, due 10/30/24
|
287
|
|||||
16,579
|
|||||||
Oil & Gas 3.6%
|
|||||||
681
|
Brazos Delaware II, LLC, Term Loan B, (1 month USD LIBOR + 4.00%), 6.50%, due 5/21/25
|
643
|
|||||
1,320
|
Caprock Midstream LLC, First Lien Term Loan, (2 month USD LIBOR + 4.75%), 7.37%, due 11/3/25
|
1,254
|
|||||
1,630
|
EagleClaw, Term Loan B, (2 month USD LIBOR + 4.25%), 6.87%, due 6/24/24
|
1,554
|
|||||
735
|
Gavilan Resources, Second Lien Term Loan, (1 month USD LIBOR + 6.00%), 8.52%, due 3/1/24
|
587
|
|||||
868
|
Grizzly Acquisitions Inc., Term Loan B, (3 month USD LIBOR + 3.25%), 6.05%, due 10/1/25
|
863
|
|||||
1,643
|
Lucid Energy Group II LLC, First Lien Term Loan, (1 month USD LIBOR + 3.00%), 5.52%, due 2/17/25
|
1,541
|
|||||
1,369
|
Medallion Midland Acquisition, LLC, First Lien Term Loan, (1 month USD LIBOR + 3.25%), 5.75%, due 10/30/24
|
1,313
|
|||||
1,497
|
Rover, Term Loan B, (3 month USD LIBOR + 3.50%), 6.24%, due 10/31/24
|
1,480
|
|||||
1,297
|
Traverse Midstream Partners LLC, Term Loan, (6 month USD LIBOR + 4.00%), 6.60%, due 9/27/24
|
1,288
|
|||||
10,523
|
|||||||
Property & Casualty Insurance 0.9%
|
|||||||
Asurion LLC
|
|||||||
1,978
|
Term Loan B7, (1 month USD LIBOR + 3.00%), 5.50%, due 11/3/24
|
1,945
|
|||||
705
|
Second Lien Term Loan, (1 month USD LIBOR + 6.50%), 9.00%, due 8/4/25
|
709
|
(e)(f)
|
||||
2,654
|
|||||||
Publishing 0.3%
|
|||||||
846
|
Harland Clarke Holdings Corp., Term Loan B7, (3 month USD LIBOR + 4.75%), 7.55%, due 11/3/23
|
785
|
|||||
Radio & Television 1.9%
|
|||||||
|
1,274
|
Cumulus Media New Holdings Inc., Exit Term Loan, (1 month USD LIBOR + 4.50%), 7.00%, due 5/15/22
|
|
1,227
|
|||
224
|
Gray Television Inc., Term Loan B, (3 month USD LIBOR + 2.25%), 4.77%, due 2/7/24
|
220
|
|||||
3,256
|
iHeartCommunications, Inc., Term Loan D, (3 month USD LIBOR + 6.75%), due 1/30/20
|
2,191
|
(h)
|
||||
2,012
|
Univision Communications Inc., Term Loan C5, (1 month USD LIBOR + 2.75%), 5.25%, due 3/15/24
|
1,870
|
|||||
5,508
|
|||||||
Retailers (except food & drug) 2.9%
|
|||||||
2,240
|
Bass Pro Shops, Term Loan B, (1 month USD LIBOR + 5.00%), 7.50%, due 9/25/24
|
2,212
|
|||||
1,872
|
BJS Wholesale Club Inc., First Lien Term Loan, (1 month USD LIBOR + 3.00%), 5.51%, due 2/3/24
|
1,854
|
|||||
EG Finco Limited
|
|||||||
1,232
|
Term Loan, (3 month USD LIBOR + 4.00%), 6.81%, due 2/7/25
|
1,188
|
|||||
155
|
Second Lien Term Loan, (3 month USD LIBOR + 8.00%), 10.81%, due 4/20/26
|
150
|
|||||
635
|
EG Group Limited, Term Loan B, (3 month USD LIBOR + 4.00%), 6.81%, due 2/7/25
|
613
|
|||||
638
|
PetSmart, Inc., Term Loan B2, (1 month USD LIBOR + 3.00%), 5.52%, due 3/11/22
|
533
|
|||||
341
|
Shutterfly, Inc., Term Loan B2, (1 month USD LIBOR + 2.75%), 5.25%, due 8/17/24
|
332
|
|||||
1,494
|
Staples, Term Loan B, (3 month USD LIBOR + 4.00%), 6.54%, due 9/12/24
|
1,466
|
|||||
8,348
|
|||||||
Steel 1.2%
|
|||||||
1,306
|
Big River Steel LLC, Term Loan B, (3 month USD LIBOR + 5.00%), 7.80%, due 8/23/23
|
1,302
|
|||||
1,072
|
MRC Global (US) Inc., First Lien Term Loan B, (1 month USD LIBOR + 3.00%), 5.50%, due 9/20/24
|
1,061
|
(c)
|
||||
1,283
|
TMS International Corp., Term Loan B2, (USD LIBOR + 2.75%), 5.40%, due 8/14/24
|
1,241
|
(g)
|
||||
3,604
|
|||||||
Surface Transport 0.4%
|
|||||||
1,080
|
Hertz Corporation, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 6/30/23
|
1,050
|
|||||
Telecommunications 6.4%
|
|||||||
2,648
|
Centurylink, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 1/31/25
|
2,528
|
|||||
285
|
Communications Sales and Leasing Inc., Term Loan B, (USD LIBOR + 3.00%), due 10/24/22
|
267
|
(e)(f)
|
||||
727
|
Consolidated Communications Inc., Term Loan B, (1 month USD LIBOR + 3.00%), 5.50%, due 10/4/23
|
700
|
|||||
Frontier Communications Corp.
|
|||||||
343
|
Term Loan A, (1 month USD LIBOR + 2.75%), 5.25%, due 3/31/21
|
332
|
|||||
1,070
|
Term Loan B1, (1 month USD LIBOR + 3.75%), 6.25%, due 6/15/24
|
1,021
|
|||||
2,323
|
GTT Communications, Inc., Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 5/31/25
|
2,177
|
|||||
Intelsat Jackson HLDG
|
|||||||
|
1,345
|
Term Loan B3, (1 month USD LIBOR + 3.75%), 6.25%, due 11/27/23
|
|
1,332
|
|||
951
|
Term Loan B5, 6.63%, due 1/2/24
|
950
|
(i)
|
||||
145
|
Term Loan B4, (1 month USD LIBOR + 4.50%), 7.00%, due 1/2/24
|
147
|
|||||
1,040
|
Level 3 Financing, Inc., Term Loan B, (1 month USD LIBOR + 2.25%), 4.76%, due 2/22/24
|
1,020
|
|||||
676
|
MTN Infrastructure TopCo Inc., First Lien Term Loan B, (1 month USD LIBOR + 3.00%), 5.50%, due 11/15/24
|
665
|
|||||
177
|
SBA Senior Finance II LLC, Term Loan B, (1 month USD LIBOR + 2.00%), 4.50%, due 4/11/25
|
173
|
|||||
Sprint Communications, Inc.
|
|||||||
1,135
|
Term Loan B, (USD LIBOR + 3.00%), due 2/2/24
|
1,117
|
(e)(f)
|
||||
1,481
|
First Lien Term Loan B, (1 month USD LIBOR + 2.50%), 5.00%, due 2/2/24
|
1,446
|
|||||
Syniverse Holdings, Inc.
|
|||||||
2,069
|
First Lien Term Loan, (1 month USD LIBOR + 5.00%), 7.51%, due 3/9/23
|
1,874
|
|||||
265
|
Second Lien Term Loan, (1 month USD LIBOR + 9.00%), 11.51%, due 3/11/24
|
225
|
|||||
1,432
|
Telesat, Term Loan B4, (3 month USD LIBOR + 2.50%), 5.31%, due 11/17/23
|
1,403
|
|||||
305
|
Windstream Services, LLC, Term Loan B7, (1 month USD LIBOR + 3.25%), 5.76%, due 2/17/24
|
263
|
|||||
819
|
Zayo Group, Term Loan, (1 month USD LIBOR + 2.25%), 4.75%, due 1/19/24
|
811
|
|||||
18,451
|
|||||||
Utilities 3.9%
|
|||||||
746
|
Calpine Construction Finance Company, L.P., Term Loan B, (1 month USD LIBOR + 2.50%), 5.00%, due 1/15/25
|
729
|
|||||
Calpine Corp.
|
|||||||
424
|
Term Loan B6, (3 month USD LIBOR + 2.50%), 5.31%, due 1/15/23
|
417
|
|||||
668
|
Term Loan B5, (3 month USD LIBOR + 2.50%), 5.31%, due 1/15/24
|
655
|
|||||
1,216
|
Compass Power Generation LLC, Term Loan B, (1 month USD LIBOR + 3.50%), 6.00%, due 12/20/24
|
1,211
|
|||||
665
|
Edgewater Generation, L.L.C., Term Loan, (1 month USD LIBOR + 3.75%), 6.25%, due 12/13/25
|
658
|
|||||
628
|
Kestrel Acquisition, LLC, Term Loan B, (1 month USD LIBOR + 4.25%), 6.75%, due 6/2/25
|
622
|
|||||
1,444
|
Nautilus Power LLC, Term Loan B, (1 month USD LIBOR + 4.25%), 6.75%, due 5/16/24
|
1,432
|
|||||
446
|
PG&E Corp., Term Loan, (USD LIBOR + 2.25%), due 12/31/20
|
445
|
(e)(f)
|
||||
960
|
RJS Power Holdings LLC, Term Loan B1, (1 month USD LIBOR + 4.00%), 6.50%, due 7/15/23
|
946
|
|||||
Texas Competitive
|
|||||||
1,107
|
Term Loan B, (1 month USD LIBOR + 2.00%), 4.50%, due 8/4/23
|
1,088
|
|||||
1,487
|
Term Loan B2, (1 month USD LIBOR + 4.00%), 6.50%, due 4/15/24
|
1,467
|
|||||
1,699
|
TPF II, Term Loan B, (1 month USD LIBOR + 3.75%), 6.25%, due 10/2/23
|
1,656
|
|||||
11,326
|
|||||||
Total Loan Assignments (Cost $261,340)
|
253,848
|
||||||
Corporate Bonds 1.3%
|
|||||||
Business Equipment & Services 0.1%
|
|||||||
289
|
Brock Holdings Notes 2022, 15.00%, due 10/24/22
|
289
|
(a)(b)
|
||||
Cable & Satellite Television 0.2%
|
|||||||
535
|
Altice Financing SA, 6.63%, due 2/15/23
|
538
|
(j)(k)
|
||||
Energy - Exploration & Production 0.2%
|
|||||||
|
860
|
EP Energy LLC/Everest Acquisition Finance, Inc., 8.00%, due 2/15/25
|
|
425
|
(j)(k)
|
||
Media Content 0.2%
|
|||||||
720
|
Univision Communications, Inc., 5.13%, due 2/15/25
|
656
|
(j)(k)
|
||||
Medical Products 0.2%
|
|||||||
565
|
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 6.63%, due 5/15/22
|
545
|
(j)(k)
|
||||
Oil Field Equipment & Services 0.1%
|
|||||||
340
|
Precision Drilling Corp., 7.75%, due 12/15/23
|
325
|
(k)
|
||||
Printing & Publishing 0.1%
|
|||||||
365
|
Harland Clarke Holdings Corp., 8.38%, due 8/15/22
|
342
|
(j)(k)
|
||||
Support - Services 0.1%
|
|||||||
300
|
Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, due 5/15/23
|
317
|
(j)
|
||||
Telecom - Wireless 0.1%
|
|||||||
320
|
Wind Tre SpA, 5.00%, due 1/20/26
|
263
|
(j)(k)
|
||||
Total Corporate Bonds (Cost $4,231)
|
3,700
|
||||||
Asset-Backed Securities 3.8%
|
|||||||
390
|
Apidos CLO, Ser. 2015-22A, Class D, (3 month USD LIBOR + 6.00%), 8.76%, due 10/20/27
|
376
|
(d)(j)(k)
|
||||
500
|
Ares XLIII CLO Ltd., Ser. 2017-43A, Class E, (3 month USD LIBOR + 6.47%), 9.26%, due 10/15/29
|
484
|
(d)(j)(k)
|
||||
400
|
BlueMountain CLO Ltd., Ser. 2018-2A, Class E, (3 month USD LIBOR + 6.05%), 8.31%, due 8/15/31
|
377
|
(d)(j)
|
||||
250
|
Dryden 45 Senior Loan Fund, Ser. 2016-45A, Class ER, (3 month USD LIBOR + 5.85%), 8.64%, due 10/15/30
|
235
|
(d)(j)
|
||||
400
|
Eaton Vance CLO Ltd., Ser. 2018-1A, Class E, (3 month USD LIBOR + 6.00%), 8.45%, due 10/15/30
|
376
|
(d)(j)(k)
|
||||
500
|
Galaxy XXV CLO Ltd., Ser. 2018-25A, Class E, (3 month USD LIBOR + 5.95%), 8.29%, due 10/25/31
|
467
|
(d)(j)(k)
|
||||
350
|
Galaxy XXVI CLO Ltd., Ser. 2018-26A, Class E, (3 month USD LIBOR + 5.85%), 8.50%, due 11/22/31
|
322
|
(d)(j)
|
||||
250
|
KKR CLO 23 Ltd., Ser. 2023, Class E, (3 month USD LIBOR + 6.00%), 8.49%, due 10/20/31
|
237
|
(d)(j)
|
||||
400
|
Madison Park Funding XIV Ltd., Ser. 2014-14A, Class ER, (3 month USD LIBOR + 5.80%), 8.56%, due 10/22/30
|
377
|
(d)(j)
|
||||
Magnetite CLO Ltd.
|
|||||||
500
|
Ser. 2014-8A, Class ER2, (3 month USD LIBOR + 5.65%), 8.44%, due 4/15/31
|
476
|
(d)(j)(k)
|
||||
385
|
Ser. 2015-15A, Class ER, (3 month USD LIBOR + 5.20%), 7.97%, due 7/25/31
|
344
|
(d)(j)
|
||||
700
|
Ser. 2015-12A, Class ER, (3 month USD LIBOR + 5.68%), 8.47%, due 10/15/31
|
649
|
(d)(j)(k)
|
||||
800
|
OCP CLO Ltd., Ser. 2018-15A, Class D, (3 month USD LIBOR + 5.85%), 8.32%, due 7/20/31
|
751
|
(d)(j)(k)
|
||||
400
|
Octagon Investment Partners 39 Ltd., Ser. 2018-3A, Class E, (3 month USD LIBOR + 5.75%), 8.21%, due 10/20/30
|
377
|
(d)(j)
|
||||
1,000
|
Palmer Square CLO Ltd., Ser. 2015-1A, Class DR, (3 month USD LIBOR + 6.20%), 8.85%, due 5/21/29
|
960
|
(d)(j)(k)
|
||||
600
|
Parallel Ltd., Ser. 2018-1A, Class C, (3 month USD LIBOR + 2.80%), 5.56%, due 4/20/31
|
560
|
(d)(j)(k)
|
||||
550
|
Post CLO Ltd., Ser. 2018-1A, Class E, (3 month USD LIBOR + 5.87%), 8.65%, due 4/16/31
|
514
|
(d)(j)(k)
|
||||
|
335
|
Riserva CLO Ltd., Ser. 2016-3A, Class E, (3 month USD LIBOR + 6.75%), 9.53%, due 10/18/28
|
|
331
|
(d)(j)
|
||
685
|
TCI-Flatiron CLO Ltd., Ser. 2016-1A, Class E, (3 month USD LIBOR + 7.25%), 10.02%, due 7/17/28
|
691
|
(d)(j)(k)
|
||||
900
|
TRESTLES CLO II Ltd., Ser. 2018-2A, Class D, (3 month USD LIBOR + 5.75%), 8.08%, due 7/25/31
|
841
|
(d)(j)(k)
|
||||
1,000
|
TRESTLES CLO Ltd., Ser. 2017-1A, Class D, (3 month USD LIBOR + 6.68%), 9.45%, due 7/25/29
|
949
|
(d)(j)(k)
|
||||
250
|
Voya CLO Ltd., Ser. 2016-3A, Class DR, (3 month USD LIBOR + 6.08%), 8.86%, due 10/18/31
|
236
|
(d)(j)
|
||||
Total Asset-Backed Securities (Cost $11,371)
|
10,930
|
||||||
NUMBER OF
SHARES |
|||||||
Short-Term Investments 3.5%
|
|||||||
Investment Companies 3.5%
|
|||||||
10,250,187
|
State Street Institutional U.S. Government Money Market Fund Premier Class, 2.32%(l) (Cost $10,250)
|
10,250
|
(k)
|
||||
Total Investments 96.4% (Cost $287,784)
|
279,362
|
||||||
Other Assets Less Liabilities 3.6%
|
10,304
|
(m)
|
|||||
Net Assets 100.0%
|
$289,666
|
*
|
Non-income producing security.
|
|
(a)
|
Illiquid security.
|
|
(b)
|
Security fair valued as of January 31, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at January 31, 2019 amounted to approximately $725,000, which represents 0.3% of net assets of the Fund.
|
|
(c)
|
Value determined using significant unobservable inputs.
|
|
(d)
|
Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2019 and changes periodically.
|
|
(e)
|
All or a portion of this security was purchased on a delayed delivery basis.
|
|
(f)
|
All or a portion of this security has not settled as of January 31, 2019 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement.
|
|
(g)
|
The stated interest rate represents the weighted average interest rate at January 31, 2019 of the underlying contracts within the Loan Assignment. Interest rates on the underlying contracts are primarily determined by reference to the indicated base lending rate and spread, which are indicated in the security description, and the reset period, which is generally weekly, monthly or quarterly.
|
|
(h)
|
Defaulted Security.
|
|
(i)
|
Fixed coupon.
|
|
(j)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2019, these securities amounted to approximately $14,016,000, which represents 4.8% of net assets of the Fund. Securities denoted with (j) but without (a) have been deemed by the investment manager to be liquid.
|
|
(k)
|
All or a portion of this security is segregated in connection with obligations for delayed delivery securities with a total value of approximately $21,438,000.
|
|
(l)
|
Represents 7-day effective yield as of January 31, 2019.
|
|
(m)
|
As of January 31, 2019, the value of unfunded loan commitments was approximately $191,000 of the Fund (see Notes to Schedule of Investments).
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2019:
|
Asset Valuation Inputs
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3(b)
|
Total
|
||||||||||||
Investments:
|
||||||||||||||||
Common Stocks
|
||||||||||||||||
Business Equipment & Services
|
$
|
—
|
$
|
—
|
$
|
436
|
$
|
436
|
||||||||
Other Common Stocks(a)
|
198
|
—
|
—
|
198
|
||||||||||||
Total Common Stocks
|
198
|
—
|
436
|
634
|
||||||||||||
Loan Assignments
|
||||||||||||||||
Aerospace & Defense
|
—
|
3,182
|
754
|
3,936
|
||||||||||||
Automotive
|
—
|
4,122
|
1,048
|
5,170
|
||||||||||||
Building & Development
|
—
|
11,265
|
279
|
11,544
|
||||||||||||
Business Equipment & Services
|
—
|
26,585
|
1,072
|
27,657
|
||||||||||||
Chemicals & Plastics
|
—
|
9,650
|
148
|
9,798
|
||||||||||||
Electronics - Electrical
|
—
|
23,047
|
1,075
|
24,122
|
||||||||||||
Food Products
|
—
|
2,769
|
864
|
3,633
|
||||||||||||
Health Care
|
—
|
16,213
|
2,098
|
18,311
|
||||||||||||
Industrial Equipment
|
—
|
8,749
|
2,005
|
10,754
|
||||||||||||
Steel
|
—
|
2,543
|
1,061
|
3,604
|
||||||||||||
Other Loan Assignments(a)
|
—
|
135,319
|
—
|
135,319
|
||||||||||||
Total Loan Assignments
|
—
|
243,444
|
10,404
|
253,848
|
||||||||||||
Corporate Bonds(a)
|
—
|
3,700
|
—
|
3,700
|
||||||||||||
Asset-Backed Securities
|
—
|
10,930
|
—
|
10,930
|
||||||||||||
Short-Term Investments
|
—
|
10,250
|
—
|
10,250
|
||||||||||||
Total Investments
|
$
|
198
|
$
|
268,324
|
$
|
10,840
|
$
|
279,362
|
(a)
|
The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
|
(b)
|
The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
|
(000's omitted)
|
Beginning
balance, as of 11/01/2018 |
Accrued
discounts/ (premiums)
|
Realized
gain/ (loss)
|
Change in
unrealized appreciation/ (depreciation)
|
Purchases
|
Sales
|
Transfers
into Level 3 |
Transfers
out of Level 3 |
Balance,
as of
1/31/2019
|
Net change in unrealized appreciation/
(depreciation) from
investments
still held as of 1/31/2019 |
||
Investments in securities:
|
||||||||||||
Common Stocks(c)
|
||||||||||||
Business Equipment & Services
|
$436
|
$—
|
$—
|
$—
|
$—
|
$—
|
$—
|
$—
|
$436
|
$—
|
||
Loan Assignments(d)
|
||||||||||||
Aerospace & Defense
|
—
|
—
|
—
|
4
|
750
|
—
|
—
|
—
|
754
|
4
|
||
Automotive
|
—
|
—
|
—
|
(16)
|
—
|
(3)
|
1,067
|
—
|
1,048
|
(16)
|
||
Building & Development
|
1,762
|
—
|
(3)
|
(5)
|
—
|
(377)
|
—
|
(1,098)
|
279
|
(5)
|
||
Business Equipment & Services
|
1,026
|
—
|
(2)
|
(3)
|
718
|
(264)
|
623
|
(1,026)
|
1,072
|
(3)
|
||
Chemicals & Plastics
|
149
|
—
|
—
|
(1)
|
—
|
—
|
—
|
—
|
148
|
(1)
|
||
Electronics - Electrical
|
802
|
—
|
—
|
(16)
|
289
|
—
|
—
|
—
|
1,075
|
(16)
|
||
Financial Intermediaries
|
560
|
—
|
(25)
|
2
|
—
|
(537)
|
—
|
—
|
—
|
—
|
||
Food Products
|
882
|
—
|
—
|
(16)
|
—
|
(2)
|
—
|
—
|
864
|
(16)
|
||
Food Service
|
1,137
|
—
|
—
|
—
|
—
|
—
|
—
|
(1,137)
|
—
|
—
|
||
Health Care
|
233
|
—
|
—
|
(100)
|
—
|
(5)
|
1,970
|
—
|
2,098
|
(100)
|
||
Industrial Equipment
|
1,000
|
—
|
(9)
|
(60)
|
—
|
(1,131)
|
2,205
|
—
|
2,005
|
(60)
|
||
Leisure Goods - Activities - Movies
|
789
|
—
|
—
|
—
|
—
|
—
|
—
|
(789)
|
—
|
—
|
||
Lodging & Casinos
|
2,074
|
—
|
(4)
|
(108)
|
—
|
(1,962)
|
—
|
—
|
—
|
—
|
||
Oil & Gas Retailers
|
1,310
|
—
|
—
|
—
|
—
|
—
|
—
|
(1,310)
|
—
|
—
|
||
Retailers (except food & drug)
|
241
|
—
|
(12)
|
2
|
—
|
(231)
|
—
|
—
|
—
|
—
|
||
Steel
|
2,389
|
—
|
—
|
(11)
|
—
|
(3)
|
—
|
(1,314)
|
1,061
|
(11)
|
||
Utilities
|
652
|
—
|
(34)
|
(6)
|
—
|
(612)
|
—
|
—
|
—
|
—
|
||
Corporate Bonds(c)
|
||||||||||||
Business Equipment & Services
|
288
|
—
|
—
|
—
|
—
|
—
|
—
|
(288)
|
—
|
—
|
||
Total
|
$15,730
|
$—
|
$(89)
|
$(334)
|
$1,757
|
$(5,127)
|
$5,865
|
$(6,962)
|
$10,840
|
$(224)
|
PRINCIPAL
AMOUNT |
VALUE†
|
||||||
(000's omitted)
|
(000's omitted)
|
||||||
Loan Assignments(a) 6.6%
|
|||||||
Building & Development 0.1%
|
|||||||
2,095
|
Realogy Corporation, Term Loan B, (1 month USD LIBOR + 2.25%), 4.76%, due 2/8/25
|
$
|
2,037
|
||||
Business Equipment & Services 0.6%
|
|||||||
5,997
|
First Data Corporation, Term Loan, (1 month USD LIBOR + 2.00%), 4.52%, due 7/8/22
|
5,971
|
|||||
1,146
|
Iron Mountain, Inc., Term Loan B, (1 month USD LIBOR + 1.75%), 4.25%, due 1/2/26
|
1,109
|
|||||
4,441
|
Presidio, Term Loan B, (USD LIBOR + 2.75%), 5.54%, due 2/2/24
|
4,384
|
(b)
|
||||
1,934
|
Servicemaster Company, Term Loan B, (1 month USD LIBOR + 2.50%), 5.00%, due 11/8/23
|
1,922
|
|||||
13,386
|
|||||||
Cable & Satellite Television 0.5%
|
|||||||
7,958
|
Altice France S.A., Term Loan B13, (1 month USD LIBOR + 4.00%), 6.51%, due 8/14/26
|
7,495
|
|||||
3,515
|
Altice US Finance I Corporation, LLC, Term Loan, (1 month USD LIBOR + 2.25%), 4.76%, due 1/15/26
|
3,383
|
|||||
10,878
|
|||||||
Chemicals & Plastics 0.3%
|
|||||||
2,530
|
PQ Corporation, Term Loan B, (3 month USD LIBOR + 2.50%), 5.24%, due 2/8/25
|
2,460
|
|||||
4,261
|
Starfruit Finco B.V., Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 10/1/25
|
4,163
|
|||||
6,623
|
|||||||
Containers & Glass Products 0.5%
|
|||||||
4,930
|
Berlin Packaging LLC, First Lien Term Loan, (USD LIBOR + 3.00%), 5.55%, due 11/7/25
|
4,733
|
(b)
|
||||
3,127
|
BWAY Corporation, Term Loan B, (3 month USD LIBOR + 3.25%), 6.03%, due 4/3/24
|
3,012
|
|||||
3,843
|
Reynolds Group, Term Loan, (1 month USD LIBOR + 2.75%), 5.25%, due 2/5/23
|
3,785
|
|||||
11,530
|
|||||||
Diversified Insurance 0.2%
|
|||||||
3,880
|
Sedgwick Claims Management Services, Inc., Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 12/31/25
|
3,777
|
|||||
Drugs 0.4%
|
|||||||
3,720
|
Bausch Health Companies Inc., Term Loan B, (1 month USD LIBOR + 2.75%), 5.26%, due 11/27/25
|
3,665
|
|||||
3,420
|
Mallinckrodt International, Term Loan B, (3 month USD LIBOR + 2.75%), 5.55%, due 9/24/24
|
3,175
|
|||||
755
|
Mallinckrodt International Finance S.A., Term Loan B, (3 month USD LIBOR + 3.00%), 5.62%, due 2/24/25
|
708
|
|||||
1,807
|
Valeant Pharmaceuticals International, Inc., Term Loan B, (1 month USD LIBOR + 3.00%), 5.51%, due 6/2/25
|
1,787
|
|||||
9,335
|
|||||||
Ecological Services & Equipment 0.1%
|
|||||||
2,050
|
ADS Waste Holdings, Inc., Term Loan B3, (1 week USD LIBOR + 2.25%), 4.66%, due 11/10/23
|
2,025
|
|||||
Electronics - Electrical 0.9%
|
|||||||
9,775
|
Dell, Term Loan B, (1 month USD LIBOR + 2.00%), 4.50%, due 9/7/23
|
9,632
|
|||||
2,197
|
SS&C Technologies Holdings Europe S.A.R.L., Term Loan B4, (1 month USD LIBOR + 2.25%), 4.75%, due 4/16/25
|
2,151
|
|||||
SS&C Technologies Inc.
|
|||||||
|
5,711
|
Term Loan B3, (1 month USD LIBOR + 2.25%), 4.75%, due 4/16/25
|
|
5,591
|
|||
1,297
|
Term Loan B5, (1 month USD LIBOR + 2.25%), 4.75%, due 4/16/25
|
1,271
|
|||||
18,645
|
|||||||
Food Service 0.2%
|
|||||||
4,823
|
Burger King Corporation, Term Loan B3, (1 month USD LIBOR + 2.25%), 4.75%, due 2/16/24
|
4,739
|
|||||
Health Care 0.5%
|
|||||||
4,195
|
Multiplan, Inc., Term Loan B, (3 month USD LIBOR + 2.75%), 5.55%, due 6/7/23
|
4,055
|
|||||
7,952
|
Team Health, Inc., First Lien Term Loan, (1 month USD LIBOR + 2.75%), 5.25%, due 2/6/24
|
7,136
|
(c)
|
||||
11,191
|
|||||||
Leisure Goods - Activities - Movies 0.5%
|
|||||||
4,189
|
Crown Finance US, Inc., Term Loan, (1 month USD LIBOR + 2.50%), 5.00%, due 2/28/25
|
4,083
|
|||||
7,683
|
Seaworld, Term Loan B5, (1 month USD LIBOR + 3.00%), 5.50%, due 3/31/24
|
7,525
|
|||||
11,608
|
|||||||
Lodging & Casinos 0.5%
|
|||||||
5,239
|
Boyd Gaming Corporation, Term Loan B3, (1 week USD LIBOR + 2.25%), 4.66%, due 9/15/23
|
5,164
|
(d)(e)
|
||||
4,739
|
Mohegan Tribal Gaming, Term Loan B, (1 month USD LIBOR + 4.00%), 6.50%, due 10/13/23
|
4,388
|
|||||
9,552
|
|||||||
Publishing 0.2%
|
|||||||
3,825
|
R.R. Donnelley & Sons Company, Term Loan B, (1 month USD LIBOR + 5.00%), 7.51%, due 1/15/24
|
3,777
|
|||||
Radio & Television 0.1%
|
|||||||
3,206
|
Univision Communications Inc., Term Loan C5, (1 month USD LIBOR + 2.75%), 5.25%, due 3/15/24
|
2,980
|
|||||
Retailers (except food & drug) 0.2%
|
|||||||
3,029
|
Bass Pro Shops, Term Loan B, (1 month USD LIBOR + 5.00%), 7.50%, due 9/25/24
|
2,991
|
|||||
1,997
|
CDW LLC, Term Loan B, (1 month USD LIBOR + 1.75%), 4.25%, due 8/17/23
|
1,986
|
|||||
4,977
|
|||||||
Telecommunications 0.5%
|
|||||||
5,544
|
Centurylink, Term Loan B, (1 month USD Fixed + 2.75%), 5.25%, due 1/31/25
|
5,293
|
|||||
4,445
|
Intelsat Jackson HLDG, Term Loan B3, (1 month USD LIBOR + 3.75%), 6.25%, due 11/27/23
|
4,401
|
|||||
9,694
|
|||||||
Utilities 0.3%
|
|||||||
4,505
|
Calpine Corp., Term Loan B6, (3 month USD LIBOR + 2.50%), 5.31%, due 1/15/23
|
4,427
|
|||||
|
2,117
|
Texas Competitive, Term Loan B2, (1 month USD LIBOR + 2.25%), 4.75%, due 12/14/23
|
|
2,094
|
|||
6,521
|
|||||||
Total Loan Assignments (Cost $146,498)
|
143,275
|
||||||
Corporate Bonds 90.5%
|
|||||||
Advertising 2.1%
|
|||||||
1,340
|
Clear Channel Worldwide Holdings, Inc., Ser. A, 6.50%, due 11/15/22
|
1,370
|
|||||
Lamar Media Corp.
|
|||||||
2,375
|
5.00%, due 5/1/23
|
2,393
|
|||||
1,685
|
5.75%, due 2/1/26
|
1,745
|
|||||
2,165
|
MDC Partners, Inc., 6.50%, due 5/1/24
|
1,971
|
(f)
|
||||
Nielsen Co. Luxembourg SARL
|
|||||||
3,975
|
5.50%, due 10/1/21
|
4,006
|
(f)
|
||||
5,665
|
5.00%, due 2/1/25
|
5,622
|
(f)
|
||||
Nielsen Finance LLC/Nielsen Finance Co.
|
|||||||
6,755
|
4.50%, due 10/1/20
|
6,738
|
|||||
10,800
|
5.00%, due 4/15/22
|
10,784
|
(f)
|
||||
Outfront Media Capital LLC/Outfront Media Capital Corp.
|
|||||||
2,035
|
5.25%, due 2/15/22
|
2,055
|
|||||
3,250
|
5.63%, due 2/15/24
|
3,287
|
|||||
5,860
|
5.88%, due 3/15/25
|
5,919
|
|||||
45,890
|
|||||||
Aerospace & Defense 0.7%
|
|||||||
3,715
|
BBA US Holdings, Inc., 5.38%, due 5/1/26
|
3,715
|
(f)
|
||||
12,070
|
TransDigm, Inc., 6.25%, due 3/15/26
|
12,251
|
(f)(g)
|
||||
15,966
|
|||||||
Auto Parts & Equipment 0.5%
|
|||||||
3,045
|
Goodyear Tire & Rubber Co., 5.13%, due 11/15/23
|
3,037
|
|||||
4,215
|
IHO Verwaltungs GmbH, 4.50% Cash/5.25% PIK, due 9/15/23
|
4,015
|
(f)(h)
|
||||
4,352
|
ZF N.A. Capital, Inc., 4.00%, due 4/29/20
|
4,338
|
(f)
|
||||
11,390
|
|||||||
Banking 2.5%
|
|||||||
Ally Financial, Inc.
|
|||||||
23,840
|
8.00%, due 3/15/20
|
24,943
|
|||||
10,800
|
4.25%, due 4/15/21
|
10,867
|
|||||
CIT Group, Inc.
|
|||||||
6,225
|
4.13%, due 3/9/21
|
6,240
|
|||||
8,240
|
5.00%, due 8/15/22
|
8,446
|
|||||
4,585
|
4.75%, due 2/16/24
|
4,637
|
|||||
55,133
|
|||||||
Brokerage 0.6%
|
|||||||
12,715
|
LPL Holdings, Inc., 5.75%, due 9/15/25
|
12,503
|
(f)
|
||||
Building & Construction 2.4%
|
|||||||
Lennar Corp.
|
|||||||
1,970
|
8.38%, due 1/15/21
|
2,123
|
|||||
4,965
|
5.38%, due 10/1/22
|
5,089
|
|||||
6,290
|
4.75%, due 11/15/22
|
6,314
|
|||||
6,965
|
4.88%, due 12/15/23
|
6,965
|
|||||
3,585
|
5.25%, due 6/1/26
|
3,495
|
|||||
6,835
|
PulteGroup, Inc., 4.25%, due 3/1/21
|
6,929
|
|||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.
|
|||||||
3,530
|
5.25%, due 4/15/21
|
3,534
|
(f)
|
||||
4,458
|
5.63%, due 3/1/24
|
4,335
|
(f)
|
||||
Toll Brothers Finance Corp.
|
|||||||
|
3,730
|
4.38%, due 4/15/23
|
|
3,655
|
|||
1,605
|
5.63%, due 1/15/24
|
1,645
|
|||||
3,535
|
4.88%, due 3/15/27
|
3,403
|
|||||
4,715
|
4.35%, due 2/15/28
|
4,291
|
|||||
1,870
|
TRI Pointe Group, Inc., 5.25%, due 6/1/27
|
1,618
|
|||||
53,396
|
|||||||
Building Materials 0.4%
|
|||||||
4,690
|
HD Supply, Inc., 5.38%, due 10/15/26
|
4,713
|
(f)
|
||||
865
|
Jeld-Wen, Inc., 4.88%, due 12/15/27
|
766
|
(f)
|
||||
2,350
|
USG Corp., 5.50%, due 3/1/25
|
2,391
|
(f)
|
||||
7,870
|
|||||||
Cable & Satellite Television 7.6%
|
|||||||
3,100
|
Altice Financing SA, 6.63%, due 2/15/23
|
3,116
|
(f)
|
||||
4,075
|
Altice France SA, 8.13%, due 2/1/27
|
4,014
|
(f)
|
||||
Altice Luxembourg SA
|
|||||||
12,440
|
7.75%, due 5/15/22
|
12,067
|
(f)
|
||||
7,080
|
7.63%, due 2/15/25
|
6,018
|
(f)
|
||||
CCO Holdings LLC/CCO Holdings Capital Corp.
|
|||||||
7,485
|
5.25%, due 9/30/22
|
7,567
|
|||||
12,550
|
5.13%, due 5/1/23
|
12,718
|
(f)
|
||||
3,205
|
5.88%, due 4/1/24
|
3,286
|
(f)
|
||||
11,955
|
5.75%, due 2/15/26
|
12,164
|
(f)
|
||||
10,835
|
5.00%, due 2/1/28
|
10,293
|
(f)
|
||||
CSC Holdings LLC
|
|||||||
8,142
|
5.13%, due 12/15/21
|
8,155
|
(f)
|
||||
3,250
|
5.38%, due 7/15/23
|
3,282
|
(f)
|
||||
7,395
|
7.75%, due 7/15/25
|
7,746
|
(f)
|
||||
2,980
|
6.63%, due 10/15/25
|
3,118
|
(f)
|
||||
9,373
|
10.88%, due 10/15/25
|
10,802
|
(f)
|
||||
6,345
|
5.50%, due 5/15/26
|
6,282
|
(f)
|
||||
3,875
|
5.50%, due 4/15/27
|
3,788
|
(f)
|
||||
2,965
|
7.50%, due 4/1/28
|
3,047
|
(f)
|
||||
DISH DBS Corp.
|
|||||||
2,245
|
6.75%, due 6/1/21
|
2,287
|
|||||
9,430
|
5.88%, due 11/15/24
|
7,815
|
|||||
Numericable-SFR SA
|
|||||||
6,815
|
6.25%, due 5/15/24
|
6,681
|
(f)
|
||||
10,965
|
7.38%, due 5/1/26
|
10,581
|
(f)
|
||||
4,910
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.00%, due 1/15/25
|
4,990
|
(f)
|
||||
3,465
|
UPCB Finance IV Ltd., 5.38%, due 1/15/25
|
3,335
|
(f)
|
||||
2,490
|
Virgin Media Finance PLC, 6.00%, due 10/15/24
|
2,522
|
(f)
|
||||
8,550
|
Virgin Media Secured Finance PLC, 5.50%, due 8/15/26
|
8,400
|
(f)
|
||||
2,235
|
Ziggo B.V., 5.50%, due 1/15/27
|
2,111
|
(f)
|
||||
166,185
|
|||||||
Chemicals 2.2%
|
|||||||
3,320
|
CF Industries, Inc., 5.38%, due 3/15/44
|
2,885
|
|||||
Huntsman Int'l LLC
|
|||||||
6,050
|
4.88%, due 11/15/20
|
6,156
|
|||||
3,010
|
5.13%, due 11/15/22
|
3,116
|
|||||
3,300
|
INEOS Group Holdings SA, 5.63%, due 8/1/24
|
3,166
|
(f)
|
||||
NOVA Chemicals Corp.
|
|||||||
$
|
5,175
|
5.25%, due 8/1/23
|
|
5,032
|
(f)
|
||
8,600
|
4.88%, due 6/1/24
|
8,170
|
(f)
|
||||
6,135
|
5.00%, due 5/1/25
|
5,644
|
(f)
|
||||
4,435
|
5.25%, due 6/1/27
|
4,047
|
(f)
|
||||
1,680
|
Platform Specialty Products Corp., 5.88%, due 12/1/25
|
1,676
|
(f)
|
||||
2,465
|
PQ Corp., 6.75%, due 11/15/22
|
2,577
|
(f)
|
||||
5,495
|
WR Grace & Co-Conn, 5.13%, due 10/1/21
|
5,646
|
(f)
|
||||
48,115
|
|||||||
Consumer - Commercial Lease Financing 4.6%
|
|||||||
3,780
|
Avolon Holdings Funding Ltd., 5.13%, due 10/1/23
|
3,838
|
(f)
|
||||
Navient Corp.
|
|||||||
9,535
|
4.88%, due 6/17/19
|
9,547
|
|||||
7,575
|
8.00%, due 3/25/20
|
7,888
|
|||||
3,670
|
5.88%, due 3/25/21
|
3,742
|
|||||
2,515
|
6.63%, due 7/26/21
|
2,584
|
|||||
3,737
|
5.88%, due 10/25/24
|
3,494
|
|||||
4,065
|
6.75%, due 6/15/26
|
3,831
|
|||||
Park Aerospace Holdings Ltd.
|
|||||||
18,975
|
5.25%, due 8/15/22
|
19,265
|
(f)
|
||||
9,975
|
5.50%, due 2/15/24
|
10,137
|
(f)
|
||||
3,980
|
SLM Corp., 6.13%, due 3/25/24
|
3,811
|
|||||
Springleaf Finance Corp.
|
|||||||
4,135
|
8.25%, due 12/15/20
|
4,414
|
|||||
4,725
|
7.75%, due 10/1/21
|
4,973
|
|||||
9,165
|
6.13%, due 5/15/22
|
9,421
|
|||||
8,227
|
6.88%, due 3/15/25
|
7,877
|
|||||
5,595
|
7.13%, due 3/15/26
|
5,329
|
|||||
100,151
|
|||||||
Diversified Capital Goods 0.3%
|
|||||||
CFX Escrow Corp.
|
|||||||
2,665
|
6.00%, due 2/15/24
|
2,665
|
(f)(g)
|
||||
2,160
|
6.38%, due 2/15/26
|
2,160
|
(f)(g)
|
||||
SPX FLOW, Inc.
|
|||||||
1,120
|
5.63%, due 8/15/24
|
1,098
|
(f)
|
||||
1,675
|
5.88%, due 8/15/26
|
1,650
|
(f)
|
||||
7,573
|
|||||||
Electric - Generation 3.8%
|
|||||||
Calpine Corp.
|
|||||||
10,080
|
6.00%, due 1/15/22
|
10,156
|
(f)
|
||||
6,530
|
5.38%, due 1/15/23
|
6,350
|
|||||
2,520
|
5.75%, due 1/15/25
|
2,375
|
|||||
Dynegy, Inc.
|
|||||||
2,585
|
7.38%, due 11/1/22
|
2,688
|
|||||
6,310
|
5.88%, due 6/1/23
|
6,452
|
|||||
14,135
|
7.63%, due 11/1/24
|
15,018
|
|||||
NRG Energy, Inc.
|
|||||||
12,740
|
7.25%, due 5/15/26
|
13,766
|
|||||
14,100
|
6.63%, due 1/15/27
|
14,843
|
|||||
Vistra Operations Co. LLC
|
|||||||
4,275
|
5.50%, due 9/1/26
|
4,334
|
(f)
|
||||
7,235
|
5.63%, due 2/15/27
|
7,294
|
(f)(g)
|
||||
83,276
|
|||||||
Electric - Integrated 0.9%
|
|||||||
Talen Energy Supply LLC
|
|||||||
|
11,520
|
9.50%, due 7/15/22
|
|
11,750
|
(f)
|
||
8,790
|
10.50%, due 1/15/26
|
8,131
|
(f)
|
||||
19,881
|
|||||||
Electronics 0.9%
|
|||||||
5,603
|
Amkor Technology, Inc., 6.38%, due 10/1/22
|
5,659
|
|||||
2,040
|
Micron Technology, Inc., 5.50%, due 2/1/25
|
2,069
|
|||||
5,820
|
NXP BV/NXP Funding LLC, 4.13%, due 6/1/21
|
5,841
|
(f)
|
||||
5,595
|
Sensata Technologies UK Financing Co. PLC, 6.25%, due 2/15/26
|
5,833
|
(f)
|
||||
19,402
|
|||||||
Energy - Exploration & Production 5.4%
|
|||||||
Antero Resources Corp.
|
|||||||
9,080
|
5.38%, due 11/1/21
|
9,126
|
|||||
8,280
|
5.13%, due 12/1/22
|
8,270
|
|||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp.
|
|||||||
3,885
|
10.00%, due 4/1/22
|
4,152
|
(f)
|
||||
10,040
|
7.00%, due 11/1/26
|
9,689
|
(f)
|
||||
Chesapeake Energy Corp.
|
|||||||
3,560
|
6.13%, due 2/15/21
|
3,551
|
|||||
8,170
|
8.00%, due 1/15/25
|
8,212
|
|||||
2,425
|
8.00%, due 6/15/27
|
2,324
|
|||||
EP Energy LLC/Everest Acquisition Finance, Inc.
|
|||||||
1,844
|
7.75%, due 9/1/22
|
830
|
|||||
13,635
|
6.38%, due 6/15/23
|
5,318
|
|||||
10,225
|
9.38%, due 5/1/24
|
5,445
|
(f)
|
||||
Oasis Petroleum, Inc.
|
|||||||
4,874
|
6.88%, due 3/15/22
|
4,862
|
|||||
4,355
|
6.25%, due 5/1/26
|
4,121
|
(f)
|
||||
Parsley Energy LLC/Parsley Finance Corp.
|
|||||||
1,140
|
5.38%, due 1/15/25
|
1,131
|
(f)
|
||||
765
|
5.63%, due 10/15/27
|
758
|
(f)
|
||||
3,710
|
PDC Energy, Inc., 5.75%, due 5/15/26
|
3,478
|
|||||
Range Resources Corp.
|
|||||||
5,605
|
5.00%, due 8/15/22
|
5,444
|
|||||
5,000
|
5.00%, due 3/15/23
|
4,750
|
|||||
11,840
|
Sanchez Energy Corp., 6.13%, due 1/15/23
|
2,072
|
|||||
SM Energy Co.
|
|||||||
3,301
|
6.13%, due 11/15/22
|
3,309
|
|||||
5,735
|
5.00%, due 1/15/24
|
5,420
|
|||||
2,635
|
6.63%, due 1/15/27
|
2,582
|
|||||
Whiting Petroleum Corp.
|
|||||||
5,580
|
5.75%, due 3/15/21
|
5,580
|
|||||
5,735
|
6.25%, due 4/1/23
|
5,663
|
|||||
5,345
|
6.63%, due 1/15/26
|
5,238
|
|||||
WPX Energy, Inc.
|
|||||||
792
|
6.00%, due 1/15/22
|
804
|
|||||
4,360
|
5.25%, due 9/15/24
|
4,306
|
|||||
2,135
|
5.75%, due 6/1/26
|
2,124
|
|||||
118,559
|
|||||||
Food & Drug Retail 0.1%
|
|||||||
2,625
|
Albertsons Cos. LLC/Safeway, Inc./New Albertsons L.P./Albertson's LLC,
5.75%, due 3/15/25 |
2,458
|
|||||
Food - Wholesale 0.5%
|
|||||||
Post Holdings, Inc.
|
|||||||
|
5,115
|
5.50%, due 3/1/25
|
|
5,089
|
(f)
|
||
2,700
|
5.75%, due 3/1/27
|
2,646
|
(f)
|
||||
3,015
|
5.63%, due 1/15/28
|
2,891
|
(f)
|
||||
10,626
|
|||||||
Gaming 3.9%
|
|||||||
Boyd Gaming Corp.
|
|||||||
4,350
|
6.88%, due 5/15/23
|
4,521
|
|||||
6,055
|
6.38%, due 4/1/26
|
6,184
|
|||||
Eldorado Resorts, Inc.
|
|||||||
1,190
|
7.00%, due 8/1/23
|
1,244
|
|||||
7,860
|
6.00%, due 9/15/26
|
7,840
|
(f)
|
||||
12,875
|
GLP Capital L.P./GLP Financing II, Inc., 4.88%, due 11/1/20
|
13,059
|
|||||
2,395
|
Int'l Game Technology PLC, 6.25%, due 1/15/27
|
2,428
|
(f)
|
||||
4,890
|
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., 6.75%, due 11/15/21
|
5,049
|
(f)
|
||||
MGM Resorts Int'l
|
|||||||
9,185
|
8.63%, due 2/1/19
|
9,185
|
|||||
4,125
|
5.25%, due 3/31/20
|
4,187
|
|||||
5,080
|
6.63%, due 12/15/21
|
5,365
|
|||||
2,175
|
5.75%, due 6/15/25
|
2,186
|
|||||
3,750
|
Scientific Games Int'l, Inc., 10.00%, due 12/1/22
|
3,942
|
|||||
3,350
|
Station Casinos LLC, 5.00%, due 10/1/25
|
3,204
|
(f)
|
||||
6,270
|
VICI Properties 1 LLC/VICI FC, Inc., 8.00%, due 10/15/23
|
6,772
|
|||||
9,210
|
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, due 3/1/25
|
8,922
|
(f)
|
||||
84,088
|
|||||||
Gas Distribution 4.6%
|
|||||||
8,165
|
Antero Midstream Partners L.P./Antero Midstream Finance Corp., 5.38%, due 9/15/24
|
8,002
|
|||||
Cheniere Corpus Christi Holdings LLC
|
|||||||
700
|
7.00%, due 6/30/24
|
772
|
|||||
4,135
|
5.88%, due 3/31/25
|
4,336
|
|||||
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp.
|
|||||||
2,655
|
6.25%, due 4/1/23
|
2,678
|
|||||
1,915
|
5.75%, due 4/1/25
|
1,877
|
|||||
4,360
|
DCP Midstream LLC, (3 month USD LIBOR + 3.85%), 5.85%, due 5/21/43
|
3,750
|
(a)(f)
|
||||
DCP Midstream Operating L.P.
|
|||||||
1,845
|
2.70%, due 4/1/19
|
1,843
|
|||||
2,160
|
5.38%, due 7/15/25
|
2,203
|
|||||
2,845
|
5.60%, due 4/1/44
|
2,582
|
|||||
Energy Transfer Equity L.P.
|
|||||||
12,715
|
7.50%, due 10/15/20
|
13,494
|
|||||
1,755
|
5.88%, due 1/15/24
|
1,873
|
|||||
NuStar Logistics L.P.
|
|||||||
4,445
|
4.80%, due 9/1/20
|
4,462
|
|||||
1,500
|
6.75%, due 2/1/21
|
1,541
|
|||||
1,680
|
4.75%, due 2/1/22
|
1,638
|
|||||
2,220
|
5.63%, due 4/28/27
|
2,153
|
|||||
6,551
|
Rockies Express Pipeline LLC, 5.63%, due 4/15/20
|
6,666
|
(f)
|
||||
4,500
|
SemGroup Corp./Rose Rock Finance Corp., 5.63%, due 11/15/23
|
4,185
|
|||||
8,720
|
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.75%, due 4/15/25
|
8,175
|
|||||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp.
|
|||||||
|
2,950
|
4.13%, due 11/15/19
|
|
2,950
|
|||
4,020
|
4.25%, due 11/15/23
|
3,889
|
|||||
6,940
|
6.75%, due 3/15/24
|
7,218
|
|||||
3,570
|
5.13%, due 2/1/25
|
3,507
|
|||||
2,865
|
6.50%, due 7/15/27
|
2,953
|
(f)
|
||||
6,315
|
5.00%, due 1/15/28
|
5,952
|
|||||
1,435
|
6.88%, due 1/15/29
|
1,493
|
(f)
|
||||
100,192
|
|||||||
Health Facilities 4.5%
|
|||||||
275
|
Acadia Healthcare Co., Inc., 6.50%, due 3/1/24
|
271
|
|||||
4,900
|
Columbia/HCA Corp., 7.69%, due 6/15/25
|
5,390
|
|||||
HCA, Inc.
|
|||||||
11,825
|
5.88%, due 3/15/22
|
12,520
|
|||||
8,020
|
4.75%, due 5/1/23
|
8,263
|
|||||
6,295
|
5.00%, due 3/15/24
|
6,550
|
|||||
2,080
|
5.25%, due 4/15/25
|
2,197
|
|||||
12,740
|
5.38%, due 9/1/26
|
13,074
|
|||||
5,285
|
5.63%, due 9/1/28
|
5,462
|
|||||
5,800
|
5.88%, due 2/1/29
|
6,075
|
|||||
7,245
|
MEDNAX, Inc., 6.25%, due 1/15/27
|
7,272
|
(f)
|
||||
Tenet Healthcare Corp.
|
|||||||
1,995
|
4.50%, due 4/1/21
|
1,999
|
|||||
4,855
|
7.50%, due 1/1/22
|
5,044
|
(f)
|
||||
1,810
|
8.13%, due 4/1/22
|
1,891
|
|||||
3,715
|
6.75%, due 6/15/23
|
3,650
|
|||||
4,826
|
4.63%, due 7/15/24
|
4,727
|
|||||
10,105
|
6.25%, due 2/1/27
|
10,257
|
(f)(g)
|
||||
778
|
6.88%, due 11/15/31
|
689
|
|||||
3,645
|
THC Escrow Corp., 7.00%, due 8/1/25
|
3,515
|
|||||
98,846
|
|||||||
Health Services 1.0%
|
|||||||
4,130
|
DaVita, Inc., 5.75%, due 8/15/22
|
4,197
|
|||||
5,785
|
IQVIA, Inc., 5.00%, due 10/15/26
|
5,814
|
(f)
|
||||
Service Corp. Int'l
|
|||||||
1,690
|
5.38%, due 1/15/22
|
1,703
|
|||||
8,775
|
5.38%, due 5/15/24
|
8,961
|
|||||
20,675
|
|||||||
Hotels 0.6%
|
|||||||
5,298
|
ESH Hospitality, Inc., 5.25%, due 5/1/25
|
5,238
|
(f)
|
||||
3,320
|
Hilton Domestic Operating Co, Inc., 5.13%, due 5/1/26
|
3,345
|
(f)
|
||||
5,400
|
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, due 4/1/25
|
5,346
|
|||||
13,929
|
|||||||
Integrated Energy 0.8%
|
|||||||
Cheniere Energy Partners L.P.
|
|||||||
12,660
|
5.25%, due 10/1/25
|
12,723
|
|||||
4,200
|
5.63%, due 10/1/26
|
4,210
|
(f)
|
||||
16,933
|
|||||||
Investments & Misc. Financial Services 0.4%
|
|||||||
MSCI, Inc.
|
|||||||
2,080
|
5.25%, due 11/15/24
|
2,121
|
(f)
|
||||
5,905
|
5.75%, due 8/15/25
|
6,112
|
(f)
|
||||
8,233
|
|||||||
Machinery 0.5%
|
|||||||
|
2,670
|
CNH Industrial Capital LLC, 4.88%, due 4/1/21
|
|
2,710
|
|||
2,435
|
Manitowoc Foodservice, Inc., 9.50%, due 2/15/24
|
2,612
|
|||||
5,700
|
RBS Global, Inc./Rexnord LLC, 4.88%, due 12/15/25
|
5,500
|
(f)
|
||||
10,822
|
|||||||
Managed Care 1.4%
|
|||||||
Centene Corp.
|
|||||||
9,240
|
4.75%, due 5/15/22
|
9,405
|
|||||
6,030
|
6.13%, due 2/15/24
|
6,317
|
|||||
3,620
|
5.38%, due 6/1/26
|
3,752
|
(f)
|
||||
WellCare Health Plans, Inc.
|
|||||||
1,860
|
5.25%, due 4/1/25
|
1,897
|
|||||
8,095
|
5.38%, due 8/15/26
|
8,277
|
(f)
|
||||
29,648
|
|||||||
Media Content 3.6%
|
|||||||
AMC Networks, Inc.
|
|||||||
3,240
|
5.00%, due 4/1/24
|
3,216
|
|||||
3,280
|
4.75%, due 8/1/25
|
3,169
|
|||||
Gannett Co., Inc.
|
|||||||
6,962
|
5.13%, due 10/15/19
|
6,971
|
|||||
4,095
|
5.13%, due 7/15/20
|
4,105
|
|||||
4,275
|
Gray Television, Inc., 7.00%, due 5/15/27
|
4,444
|
(f)
|
||||
3,305
|
Lions Gate Capital Holdings LLC, 5.88%, due 11/1/24
|
3,247
|
(f)
|
||||
Netflix, Inc.
|
|||||||
2,230
|
5.38%, due 2/1/21
|
2,280
|
|||||
4,845
|
5.50%, due 2/15/22
|
5,029
|
|||||
2,875
|
4.38%, due 11/15/26
|
2,722
|
|||||
2,030
|
4.88%, due 4/15/28
|
1,929
|
|||||
1,930
|
6.38%, due 5/15/29
|
1,988
|
(f)
|
||||
Sinclair Television Group, Inc.
|
|||||||
835
|
5.38%, due 4/1/21
|
837
|
|||||
2,940
|
5.13%, due 2/15/27
|
2,676
|
(f)
|
||||
Sirius XM Radio, Inc.
|
|||||||
3,740
|
4.63%, due 5/15/23
|
3,735
|
(f)
|
||||
10,838
|
6.00%, due 7/15/24
|
11,258
|
(f)
|
||||
6,935
|
5.38%, due 7/15/26
|
6,873
|
(f)
|
||||
4,645
|
5.00%, due 8/1/27
|
4,488
|
(f)
|
||||
Univision Communications, Inc.
|
|||||||
2,170
|
6.75%, due 9/15/22
|
2,178
|
(f)
|
||||
4,075
|
5.13%, due 5/15/23
|
3,810
|
(f)
|
||||
3,130
|
WMG Acquisition Corp., 5.00%, due 8/1/23
|
3,107
|
(f)
|
||||
78,062
|
|||||||
Medical Products 0.2%
|
|||||||
Hologic, Inc.
|
|||||||
4,785
|
4.38%, due 10/15/25
|
4,699
|
(f)
|
||||
615
|
4.63%, due 2/1/28
|
594
|
(f)
|
||||
5,293
|
|||||||
Metals - Mining Excluding Steel 2.8%
|
|||||||
Arconic, Inc.
|
|||||||
1,610
|
5.87%, due 2/23/22
|
1,662
|
|||||
2,260
|
5.13%, due 10/1/24
|
2,274
|
|||||
1,505
|
Constellium NV, 6.63%, due 3/1/25
|
1,498
|
(f)
|
||||
3,915
|
First Quantum Minerals Ltd., 7.25%, due 5/15/22
|
3,856
|
(f)
|
||||
FMG Resources (August 2006) Pty Ltd.
|
|||||||
|
3,910
|
4.75%, due 5/15/22
|
|
3,899
|
(f)
|
||
1,830
|
5.13%, due 5/15/24
|
1,791
|
(f)
|
||||
Freeport-McMoRan, Inc.
|
|||||||
3,385
|
3.10%, due 3/15/20
|
3,347
|
|||||
1,815
|
4.00%, due 11/14/21
|
1,792
|
|||||
7,705
|
3.88%, due 3/15/23
|
7,397
|
|||||
9,845
|
5.40%, due 11/14/34
|
8,713
|
|||||
6,380
|
5.45%, due 3/15/43
|
5,487
|
|||||
4,625
|
Hudbay Minerals, Inc., 7.63%, due 1/15/25
|
4,752
|
(f)
|
||||
Novelis Corp.
|
|||||||
2,310
|
6.25%, due 8/15/24
|
2,333
|
(f)
|
||||
10,050
|
5.88%, due 9/30/26
|
9,711
|
(f)
|
||||
Teck Resources Ltd.
|
|||||||
950
|
4.75%, due 1/15/22
|
962
|
|||||
1,855
|
8.50%, due 6/1/24
|
1,999
|
(f)
|
||||
61,473
|
|||||||
Oil Field Equipment & Services 0.8%
|
|||||||
Precision Drilling Corp.
|
|||||||
3,939
|
6.50%, due 12/15/21
|
3,801
|
|||||
2,475
|
7.75%, due 12/15/23
|
2,364
|
|||||
8,240
|
5.25%, due 11/15/24
|
7,066
|
|||||
6,070
|
Weatherford Bermuda Holdings Ltd., 4.50%, due 4/15/22
|
3,854
|
|||||
17,085
|
|||||||
Packaging 3.4%
|
|||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
|
|||||||
4,335
|
4.25%, due 9/15/22
|
4,291
|
(f)
|
||||
2,365
|
4.63%, due 5/15/23
|
2,365
|
(f)
|
||||
7,335
|
6.00%, due 2/15/25
|
7,133
|
(f)
|
||||
Ball Corp.
|
|||||||
5,270
|
4.38%, due 12/15/20
|
5,342
|
|||||
2,075
|
5.00%, due 3/15/22
|
2,148
|
|||||
7,475
|
Berry Plastics Corp., 5.13%, due 7/15/23
|
7,496
|
|||||
BWAY Holding Co.
|
|||||||
5,925
|
5.50%, due 4/15/24
|
5,788
|
(f)
|
||||
3,710
|
7.25%, due 4/15/25
|
3,423
|
(f)
|
||||
7,480
|
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, due 1/15/23
|
7,536
|
|||||
4,015
|
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, due 2/1/26
|
3,925
|
|||||
6,744
|
Owens-Brockway Glass Container, Inc., 5.00%, due 1/15/22
|
6,811
|
(f)
|
||||
Reynolds Group Issuer, Inc.
|
|||||||
9,022
|
5.75%, due 10/15/20
|
9,057
|
|||||
1,741
|
6.88%, due 2/15/21
|
1,748
|
|||||
7,065
|
5.13%, due 7/15/23
|
7,078
|
(f)
|
||||
74,141
|
|||||||
Personal & Household Products 0.8%
|
|||||||
Energizer Holdings, Inc.
|
|||||||
395
|
4.70%, due 5/19/21
|
398
|
|||||
6,215
|
4.70%, due 5/24/22
|
6,215
|
|||||
3,925
|
7.75%, due 1/15/27
|
4,044
|
(f)
|
||||
2,050
|
Prestige Brands, Inc., 6.38%, due 3/1/24
|
2,040
|
(f)
|
||||
5,350
|
Spectrum Brands, Inc., 5.75%, due 7/15/25
|
5,271
|
|||||
17,968
|
|||||||
Pharmaceuticals 1.6%
|
|||||||
2,860
|
Endo Finance LLC/Endo Finco, Inc., 5.38%, due 1/15/23
|
2,334
|
(f)
|
||||
Endo Ltd./Endo Finance LLC/Endo Finco, Inc.
|
|||||||
|
5,175
|
6.00%, due 7/15/23
|
|
4,229
|
(f)
|
||
6,070
|
6.00%, due 2/1/25
|
4,689
|
(f)
|
||||
Valeant Pharmaceuticals Int'l, Inc.
|
|||||||
1,180
|
6.50%, due 3/15/22
|
1,220
|
(f)
|
||||
3,400
|
5.50%, due 3/1/23
|
3,311
|
(f)
|
||||
4,395
|
5.88%, due 5/15/23
|
4,305
|
(f)
|
||||
2,790
|
7.00%, due 3/15/24
|
2,928
|
(f)
|
||||
4,335
|
6.13%, due 4/15/25
|
4,096
|
(f)
|
||||
6,915
|
5.50%, due 11/1/25
|
6,897
|
(f)
|
||||
34,009
|
|||||||
Printing & Publishing 0.1%
|
|||||||
1,760
|
R.R. Donnelley & Sons Co., 7.88%, due 3/15/21
|
1,782
|
|||||
Real Estate Development & Management 0.2%
|
|||||||
Realogy Group LLC/Realogy Co-Issuer Corp.
|
|||||||
4,835
|
4.50%, due 4/15/19
|
4,835
|
(f)
|
||||
375
|
5.25%, due 12/1/21
|
375
|
(f)
|
||||
5,210
|
|||||||
Real Estate Investment Trusts 1.8%
|
|||||||
MPT Operating Partnership L.P./MPT Finance Corp.
|
|||||||
8,195
|
6.38%, due 3/1/24
|
8,564
|
|||||
7,498
|
5.50%, due 5/1/24
|
7,648
|
|||||
6,615
|
5.25%, due 8/1/26
|
6,648
|
|||||
9,100
|
Sabra Health Care L.P./Sabra Capital Corp., 5.50%, due 2/1/21
|
9,191
|
|||||
7,210
|
Starwood Property Trust, Inc., 3.63%, due 2/1/21
|
7,106
|
|||||
39,157
|
|||||||
Recreation & Travel 0.9%
|
|||||||
3,960
|
Cedar Fair L.P./Canada's Wonderland Co./Magnum Management Corp., 5.38%, due 4/15/27
|
3,960
|
|||||
11,038
|
NCL Corp. Ltd., 4.75%, due 12/15/21
|
11,107
|
(f)
|
||||
4,855
|
Six Flags Entertainment Corp., 4.88%, due 7/31/24
|
4,806
|
(f)
|
||||
19,873
|
|||||||
Restaurants 1.3%
|
|||||||
1011778 BC ULC/New Red Finance, Inc.
|
|||||||
4,536
|
4.63%, due 1/15/22
|
4,545
|
(f)
|
||||
10,660
|
4.25%, due 5/15/24
|
10,313
|
(f)
|
||||
4,715
|
5.00%, due 10/15/25
|
4,550
|
(f)
|
||||
8,465
|
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, due 6/1/26
|
8,571
|
(f)
|
||||
27,979
|
|||||||
Software - Services 2.6%
|
|||||||
CDK Global, Inc.
|
|||||||
2,090
|
3.80%, due 10/15/19
|
2,085
|
|||||
1,730
|
5.00%, due 10/15/24
|
1,725
|
|||||
3,000
|
5.88%, due 6/15/26
|
3,064
|
|||||
7,685
|
First Data Corp., 5.00%, due 1/15/24
|
7,853
|
(f)
|
||||
6,440
|
Infor Software Parent LLC/Infor Software Parent, Inc., 7.13% Cash/7.88% PIK, due 5/1/21
|
6,488
|
(f)(h)
|
||||
4,315
|
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc., 6.00%, due 7/15/25
|
4,326
|
(f)
|
||||
Nuance Communications, Inc.
|
|||||||
3,190
|
5.38%, due 8/15/20
|
3,202
|
(f)
|
||||
8,980
|
6.00%, due 7/1/24
|
9,070
|
|||||
7,785
|
Open Text Corp., 5.88%, due 6/1/26
|
8,038
|
(f)
|
||||
|
12,460
|
Rackspace Hosting, Inc., 8.63%, due 11/15/24
|
|
10,435
|
(f)
|
||
56,286
|
|||||||
Specialty Retail 0.8%
|
|||||||
2,915
|
Liberty Media Corp., 8.50%, due 7/15/29
|
2,959
|
|||||
Penske Automotive Group, Inc.
|
|||||||
8,715
|
3.75%, due 8/15/20
|
8,660
|
|||||
2,055
|
5.75%, due 10/1/22
|
2,086
|
|||||
QVC, Inc.
|
|||||||
1,020
|
4.85%, due 4/1/24
|
1,019
|
|||||
2,320
|
5.45%, due 8/15/34
|
2,085
|
|||||
16,809
|
|||||||
Steel Producers - Products 0.7%
|
|||||||
10,036
|
Big River Steel LLC/BRS Finance Corp., 7.25%, due 9/1/25
|
10,528
|
(f)
|
||||
Steel Dynamics, Inc.
|
|||||||
855
|
5.25%, due 4/15/23
|
866
|
|||||
3,540
|
5.50%, due 10/1/24
|
3,654
|
|||||
15,048
|
|||||||
Support - Services 4.5%
|
|||||||
5,330
|
ADT Corp., 4.88%, due 7/15/32
|
4,277
|
(f)
|
||||
13,030
|
Anna Merger Sub, Inc., 7.75%, due 10/1/22
|
1,832
|
(f)
|
||||
Aramark Services, Inc.
|
|||||||
9,605
|
5.13%, due 1/15/24
|
9,705
|
|||||
2,110
|
5.00%, due 2/1/28
|
2,060
|
(f)
|
||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
|
|||||||
1,365
|
5.50%, due 4/1/23
|
1,358
|
|||||
2,865
|
5.25%, due 3/15/25
|
2,571
|
(f)
|
||||
Hertz Corp.
|
|||||||
3,235
|
5.88%, due 10/15/20
|
3,203
|
|||||
3,035
|
7.63%, due 6/1/22
|
3,021
|
(f)
|
||||
16,395
|
5.50%, due 10/15/24
|
13,444
|
(f)
|
||||
7,043
|
IHS Markit Ltd., 5.00%, due 11/1/22
|
7,196
|
(f)
|
||||
2,285
|
Iron Mountain U.S. Holdings, Inc., 5.38%, due 6/1/26
|
2,174
|
(f)
|
||||
Iron Mountain, Inc.
|
|||||||
7,880
|
6.00%, due 8/15/23
|
8,077
|
|||||
2,279
|
5.75%, due 8/15/24
|
2,262
|
|||||
2,830
|
5.25%, due 3/15/28
|
2,632
|
(f)
|
||||
9,770
|
Olympus Merger Sub, Inc., 8.50%, due 10/15/25
|
8,146
|
(f)
|
||||
8,389
|
Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, due 5/15/23
|
8,871
|
(f)
|
||||
5,370
|
Ritchie Bros Auctioneers, Inc., 5.38%, due 1/15/25
|
5,397
|
(f)
|
||||
3,200
|
ServiceMaster Co. LLC, 5.13%, due 11/15/24
|
3,128
|
(f)
|
||||
3,325
|
Staples, Inc., 8.50%, due 9/15/25
|
3,192
|
(f)
|
||||
United Rentals N.A., Inc.
|
|||||||
4,140
|
5.75%, due 11/15/24
|
4,243
|
|||||
1,670
|
5.50%, due 7/15/25
|
1,691
|
|||||
98,480
|
|||||||
Technology Hardware & Equipment 1.5%
|
|||||||
CDW LLC/CDW Finance Corp.
|
|||||||
3,820
|
5.00%, due 9/1/23
|
3,830
|
|||||
1,935
|
5.00%, due 9/1/25
|
1,920
|
|||||
CommScope Technologies LLC
|
|||||||
12,336
|
6.00%, due 6/15/25
|
11,658
|
(f)
|
||||
5,265
|
5.00%, due 3/15/27
|
4,488
|
(f)
|
||||
2,400
|
Project Homestake Merger Corp., 8.88%, due 3/1/23
|
1,752
|
(f)
|
||||
|
9,770
|
Western Digital Corp., 4.75%, due 2/15/26
|
|
9,086
|
|||
32,734
|
|||||||
Telecom - Satellite 1.5%
|
|||||||
4,044
|
Hughes Satellite Systems Corp., 6.50%, due 6/15/19
|
4,086
|
|||||
Intelsat Jackson Holdings SA
|
|||||||
23,000
|
5.50%, due 8/1/23
|
20,901
|
|||||
5,420
|
8.50%, due 10/15/24
|
5,474
|
(f)
|
||||
3,177
|
Intelsat Luxembourg SA, 8.13%, due 6/1/23
|
2,643
|
|||||
33,104
|
|||||||
Telecom - Wireless 3.6%
|
|||||||
Sprint Corp.
|
|||||||
7,505
|
7.88%, due 9/15/23
|
7,974
|
|||||
23,211
|
7.13%, due 6/15/24
|
23,849
|
|||||
8,950
|
7.63%, due 3/1/26
|
9,297
|
|||||
7,355
|
Sprint Nextel Corp., 6.00%, due 11/15/22
|
7,448
|
|||||
T-Mobile USA, Inc.
|
|||||||
12,155
|
6.00%, due 3/1/23
|
12,459
|
|||||
2,760
|
6.00%, due 4/15/24
|
2,829
|
|||||
2,320
|
6.50%, due 1/15/26
|
2,453
|
|||||
3,160
|
4.50%, due 2/1/26
|
3,077
|
|||||
9,840
|
Wind Tre SpA, 5.00%, due 1/20/26
|
8,094
|
(f)
|
||||
77,480
|
|||||||
Telecom - Wireline Integrated & Services 3.7%
|
|||||||
14,337
|
Citizens Communications Co., 9.00%, due 8/15/31
|
7,849
|
|||||
8,740
|
Embarq Corp., 8.00%, due 6/1/36
|
8,259
|
|||||
Equinix, Inc.
|
|||||||
2,025
|
5.75%, due 1/1/25
|
2,081
|
|||||
3,750
|
5.88%, due 1/15/26
|
3,879
|
|||||
Frontier Communications Corp.
|
|||||||
2,445
|
7.13%, due 1/15/23
|
1,455
|
|||||
2,895
|
7.63%, due 4/15/24
|
1,571
|
|||||
22,685
|
11.00%, due 9/15/25
|
14,632
|
|||||
Level 3 Financing, Inc.
|
|||||||
3,220
|
5.38%, due 8/15/22
|
3,245
|
|||||
4,910
|
5.13%, due 5/1/23
|
4,867
|
|||||
6,300
|
5.38%, due 1/15/24
|
6,268
|
|||||
2,790
|
Telecom Italia Capital SA, 6.00%, due 9/30/34
|
2,428
|
|||||
8,454
|
U.S. West Communications Group, 6.88%, due 9/15/33
|
7,966
|
|||||
Zayo Group LLC/Zayo Capital, Inc.
|
|||||||
5,365
|
6.00%, due 4/1/23
|
5,392
|
|||||
2,955
|
6.38%, due 5/15/25
|
2,885
|
|||||
7,665
|
5.75%, due 1/15/27
|
7,406
|
(f)
|
||||
80,183
|
|||||||
Theaters & Entertainment 0.9%
|
|||||||
AMC Entertainment Holdings, Inc.
|
|||||||
11,282
|
5.75%, due 6/15/25
|
10,407
|
|||||
6,460
|
6.13%, due 5/15/27
|
5,749
|
|||||
4,465
|
Live Nation Entertainment, Inc., 4.88%, due 11/1/24
|
4,398
|
(f)
|
||||
20,554
|
|||||||
Total Corporate Bonds (Cost $1,987,787)
|
1,974,450
|
||||||
Convertible Bonds 0.2%
|
|||||||
Energy - Exploration & Production 0.2%
|
|||||||
5,505
|
Chesapeake Energy Corp., 5.50%, due 9/15/26 (Cost $5,355)
|
4,894
|
|||||
Asset-Backed Securities 0.9%
|
|||||||
|
1,100
|
Annisa CLO Ltd., Ser. 2016-2A, Class ER, (3 month USD LIBOR + 6.00%), 8.76%, due 7/20/31
|
|
1,026
|
(a)(f)
|
||
350
|
Apidos CLO XXIV, Ser. 2016-24A, Class DR, (3 month USD LIBOR + 5.80%), 8.56%, due 10/20/30
|
328
|
(a)(f)
|
||||
2,000
|
Ares XLII CLO Ltd., Ser. 2017-42A, Class E, (3 month USD LIBOR + 6.05%), 8.81%, due 1/22/28
|
1,897
|
(a)(f)
|
||||
1,250
|
Ares XLV CLO Ltd., Ser. 2017-45A, Class E, (3 month USD LIBOR + 6.10%), 8.89%, due 10/15/30
|
1,217
|
(a)(f)
|
||||
1,000
|
Assurant CLO I Ltd., Ser. 2017-1A, Class E, (3 month USD LIBOR + 6.46%), 9.22%, due 10/20/29
|
979
|
(a)(f)
|
||||
500
|
BlueMountain CLO Ltd., Ser. 2018-2A, Class E, (3 month USD LIBOR + 6.05%), 8.31%, due 8/15/31
|
471
|
(a)(f)
|
||||
250
|
Canyon Capital CLO Ltd., Ser. 2018-1A, Class E, (3 month USD LIBOR + 5.75%), 8.54%, due 7/15/31
|
232
|
(a)(f)
|
||||
1,000
|
Carbone CLO Ltd., Ser. 2017-1A, Class D, (3 month USD LIBOR + 5.90%), 8.68%, due 1/20/31
|
931
|
(a)(f)
|
||||
250
|
Dryden 65 CLO Ltd., Ser. 2018-65A, Class E, (3 month USD LIBOR + 5.75%), 8.53%, due 7/18/30
|
235
|
(a)(f)
|
||||
600
|
Eaton Vance CLO Ltd., Ser. 2015-1A, Class ER, (3 month USD LIBOR + 5.60%), 8.36%, due 1/20/30
|
548
|
(a)(f)
|
||||
250
|
Galaxy XVIII CLO Ltd., Ser. 2018-28A, Class E, (3 month USD LIBOR + 6.00%), 8.79%, due 7/15/31
|
231
|
(a)(f)
|
||||
1,500
|
Galaxy XXV CLO Ltd., Ser. 2018-25A, Class E, (3 month USD LIBOR + 5.95%), 8.29%, due 10/25/31
|
1,400
|
(a)(f)
|
||||
1,000
|
HPS Investment Partners, Ser. 2013-2A, Class DR, (3 month USD LIBOR + 6.60%), 9.36%, due 10/20/29
|
978
|
(a)(f)
|
||||
Magnetite CLO Ltd.
|
|||||||
900
|
Ser. 2014-8A, Class ER2, (3 month USD LIBOR + 5.65%), 8.44%, due 4/15/31
|
857
|
(a)(f)
|
||||
2,000
|
Ser. 2015-12A, Class ER, (3 month USD LIBOR + 5.68%), 8.47%, due 10/15/31
|
1,855
|
(a)(f)
|
||||
1,000
|
Milos CLO Ltd., Ser. 2017-1A, Class E, (3 month USD LIBOR + 6.30%), 9.06%, due 10/20/30
|
959
|
(a)(f)
|
||||
1,200
|
OCP CLO Ltd., Ser. 2017-14A, Class D, (3 month USD LIBOR + 5.80%), 8.44%, due 11/20/30
|
1,092
|
(a)(f)
|
||||
825
|
Octagon Investment Partners 27 Ltd., Ser. 2016-1A, Class ER, (3 month USD LIBOR + 5.95%), 8.74%, due 7/15/30
|
785
|
(a)(f)
|
||||
710
|
Octagon Investment Partners 39 Ltd., Ser. 2018-3A, Class E, (3 month USD LIBOR + 5.75%), 8.21%, due 10/20/30
|
669
|
(a)(f)
|
||||
700
|
Octagon Loan Funding Ltd., Ser. 2014-1A, Class ERR, (3 month USD LIBOR + 6.00%), 8.64%, due 11/18/31
|
669
|
(a)(f)
|
||||
450
|
Palmer Square CLO Ltd., Ser. 2014-1A, Class DR2, (3 month USD LIBOR + 5.70%), 8.47%, due 1/17/31
|
415
|
(a)(f)
|
||||
1,000
|
Post CLO Ltd., Ser. 2018-1A, Class E, (3 month USD LIBOR + 5.87%), 8.65%, due 4/16/31
|
935
|
(a)(f)
|
||||
300
|
TICP CLO XI Ltd., Ser. 2018-1A, Class E, (3 month USD LIBOR + 6.00%), 8.44%, due 10/20/31
|
288
|
(a)(f)
|
||||
650
|
Voya CLO Ltd., Ser. 2016-3A, Class DR, (3 month USD LIBOR + 6.08%), 8.86%, due 10/18/31
|
614
|
(a)(f)
|
||||
Total Asset-Backed Securities (Cost $20,665)
|
19,611
|
||||||
NUMBER OF
SHARES |
|
||||||
Short-Term Investments 2.8%
|
|||||||
Investment Companies 2.8%
|
|||||||
61,173,768
|
State Street Institutional U.S. Government Money Market Fund Premier Class, 2.32%(i) (Cost $61,174)
|
|
61,174
|
(j)
|
|||
Total Investments 101.0% (Cost $2,221,479)
|
2,203,404
|
||||||
Liabilities Less Other Assets (1.0)%
|
(21,119)
|
||||||
Net Assets 100.0%
|
$2,182,285
|
||||||
(a)
|
Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2019 and changes periodically.
|
|
(b)
|
The stated interest rate represents the weighted average interest rate at January 31, 2019 of the underlying contracts within the Loan Assignment. Interest rates on the underlying contracts are primarily determined by reference to the indicated base lending rate and spread, which are indicated in the security description, and the reset period, which is generally weekly, monthly or quarterly.
|
|
(c)
|
Value determined using significant unobservable inputs.
|
|
(d)
|
All or a portion of this security was purchased on a delayed delivery basis.
|
|
(e)
|
All or a portion of this security had not settled as of January 31, 2019 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement.
|
|
(f)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2019, these securities amounted to approximately $889,451,000, which represents 40.8% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
|
|
(g)
|
When-issued security. Total value of all such securities at January 31, 2019 amounted to approximately $34,627,000, which represents 1.6% of net assets of the Fund.
|
|
(h)
|
Payment-in-kind (PIK) security.
|
|
(i)
|
Represents 7-day effective yield as of January 31, 2019.
|
|
(j)
|
All or a portion of this security is segregated in connection with obligations for when-issued and /or delayed delivery securities with a total value of approximately $61,174,000.
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2019:
|
Asset Valuation Inputs
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3(b)
|
Total
|
||||||||||||
Investments:
|
||||||||||||||||
Loan Assignments
|
||||||||||||||||
Health Care
|
$
|
—
|
$
|
4,055
|
$
|
7,136
|
$
|
11,191
|
||||||||
Other Loan Assignments(a)
|
—
|
132,084
|
—
|
132,084
|
||||||||||||
Total Loan Assignments(a)
|
—
|
136,139
|
7,136
|
143,275
|
||||||||||||
Corporate Bonds(a)
|
—
|
1,974,450
|
—
|
1,974,450
|
||||||||||||
Convertible Bonds(a)
|
—
|
4,894
|
—
|
4,894
|
||||||||||||
Asset-Backed Securities
|
—
|
19,611
|
—
|
19,611
|
||||||||||||
Short-Term Investments
|
—
|
61,174
|
—
|
61,174
|
||||||||||||
Total Investments
|
$
|
—
|
$
|
2,196,268
|
$
|
7,136
|
$
|
2,203,404
|
(a)
|
The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
|
(b)
|
The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
|
Beginning balance, as
of 11/1/2018
|
Accrued discounts/
(premiums)
|
Realized gain/
(loss)
|
Change in unrealized appreciation/
(depreciation)
|
Purchases
|
Sales
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance,
as of
1/31/2019
|
Net change in unrealized appreciation/
(depreciation) from
investments still held as of 1/31/2019
|
|
Investments in Securities:
(000’s omitted)
|
||||||||||
Loan Assignments(c)
|
||||||||||
Health Care
|
$—
|
$1
|
$—
|
$(349)
|
$642
|
$(19)
|
$6,861
|
$—
|
$7,136
|
$(349)
|
Lodging & Casinos
|
7,404
|
7
|
293
|
(703)
|
—
|
(7,001)
|
—
|
—
|
—
|
—
|
Total
|
$7,404
|
$8
|
$293
|
$(1,052)
|
$642
|
$(7,020)
|
$6,861
|
$—
|
$7,136
|
$(349)
|
(c) |
Securities categorized as Level 3 are valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
|
^ |
A balance indicated with a "-", either reflects a zero balance or an amount that rounds to less than 1.
|
PRINCIPAL
AMOUNT |
VALUE†
|
||||||
(000's omitted)
|
(000's omitted)
|
||||||
Municipal Notes 101.0%
|
|||||||
Alabama 1.2%
|
|||||||
$
|
565
|
Fort Payne City G.O. (Sch. Warrants), Ser. 2018-B, (AGM Insured), 5.00%, due 5/1/27
|
$
|
677
|
|||
Arkansas 1.9%
|
|||||||
Russellville City Wtr. & Swr. Rev.
|
|||||||
315
|
Ser. 2018, (AGM Insured), 4.00%, due 7/1/28
|
342
|
|||||
660
|
Ser. 2018, (AGM Insured), 4.00%, due 7/1/30
|
707
|
|||||
1,049
|
|||||||
California 3.9%
|
|||||||
1,000
|
California St. G.O. (Kindergarten Univ.), (LOC: State Street Bank and Trust Co.), Ser. 2004-A-3, 1.35%, due 5/1/34
|
1,000
|
(a)
|
||||
1,000
|
Univ. of California Reg. Med. Ctr. Pooled Rev., Ser. 2013-K, 1.35%, due 5/15/47
|
1,000
|
(a)
|
||||
200
|
Univ. of California Rev. Ref., Ser. 2013-AL-3, 1.35%, due 5/15/48
|
200
|
(a)
|
||||
2,200
|
|||||||
Connecticut 2.2%
|
|||||||
1,225
|
Connecticut HFA Hsg. Mtg. Fin. Rev. Prog., Subser. 2017-A-4, 1.75%, due 5/15/21
|
1,219
|
|||||
District of Columbia 3.3%
|
|||||||
1,000
|
Dist. of Columbia Hsg. Fin. Agcy. Rev., Ser. 2018-B-1, (FHA Insured), 2.55%, due 9/1/23 Putable 3/1/22
|
1,013
|
|||||
725
|
Washington Metro. Area Transit Au. Gross Rev., Ser. 2017-B, 5.00%, due 7/1/24
|
841
|
|||||
1,854
|
|||||||
Florida 4.0%
|
|||||||
700
|
Florida St. Dept. Env. Port Preservation Rev. Ref., Ser. 2016-A, 5.00%, due 7/1/22
|
775
|
|||||
1,225
|
Miami-Dade Co. (Bldg. Better Comm. Prog.), Ser. 2015-D-REMK, 5.00%, due 7/1/26
|
1,477
|
|||||
2,252
|
|||||||
Georgia 2.0%
|
|||||||
1,000
|
Metropolitan Atlanta Rapid Transit Au. Sales Tax Rev. Ref., Ser. 2016-B, 5.00%, due 7/1/35
|
1,149
|
|||||
Illinois 1.9%
|
|||||||
1,000
|
Illinois Fin. Au. Rev. (Clean Wtr. Initiative), Ser. 2017, 5.00%, due 1/1/22
|
1,091
|
|||||
Indiana 3.6%
|
|||||||
Anderson Sch. Bldg. Corp. (First Mtge.)
|
|||||||
850
|
Ser. 2018, 5.00%, due 1/15/24
|
969
|
|||||
895
|
Ser. 2018, 5.00%, due 1/15/26
|
1,052
|
|||||
2,021
|
|||||||
Kansas 1.0%
|
|||||||
500
|
Wyandotte Co. Unified Sch. Dist. # 203 G.O. Impt., Ser. 2018-A, 5.00%, due 9/1/35
|
585
|
|||||
Kentucky 3.0%
|
|||||||
500
|
Kentucky Rural Wtr. Fin. Corp. Pub. Proj. Rev. (Construction Notes), Ser. 2018-E-1, 2.25%, due 3/1/20
|
501
|
|||||
1,000
|
Logan-Todd Reg. Wtr. Commission Rev. Ref., Ser. 2016-A, (AGM Insured), 5.00%, due 7/1/28
|
1,168
|
|||||
1,669
|
|||||||
Louisiana 5.4%
|
|||||||
845
|
Louisiana Pub. Facs. Au. Rev. Ref. (Hurricane Rec. Prog.), Ser. 2014, 5.00%, due 6/1/24
|
965
|
|||||
|
530
|
Louisiana St. Local Gov't Env. Facs. & Comm. Dev. Au. Rev. (Sub. Lien-East Baton Rouge Swr.), Ser. 2014-A, 5.00%, due 2/1/44
|
|
581
|
|||
Natchitoches Parish Sch. Dist. G.O. # 9
|
|||||||
505
|
Ser. 2018, (AGM Insured), 5.00%, due 3/1/27
|
599
|
|||||
755
|
Ser. 2018, (AGM Insured), 5.00%, due 3/1/28
|
905
|
|||||
3,050
|
|||||||
Michigan 8.0%
|
|||||||
500
|
Livonia Pub. Sch. Dist. G.O., Ser. 2016, (AGM Insured), 5.00%, due 5/1/28
|
582
|
|||||
750
|
Michigan St. Hsg. Dev. Au. Rev. (Non Ace), Ser. 2016-B, 2.50%, due 12/1/26
|
750
|
|||||
290
|
Michigan St. Hsg. Dev. Au. Rev. Ref., Ser. 2018-B, 3.15%, due 4/1/28
|
296
|
|||||
1,000
|
Michigan St. Hsg. Dev. Au. Single Family Mtge. Rev. (Non Ace), Ser. 2018-C, 2.90%, due 12/1/24
|
1,028
|
|||||
Trenton Pub. Sch. Dist. G.O. (Sch. Bldg. & Site)
|
|||||||
850
|
Ser. 2018, 5.00%, due 5/1/39
|
966
|
|||||
785
|
Ser. 2018, 5.00%, due 5/1/36
|
902
|
|||||
4,524
|
|||||||
Minnesota 3.9%
|
|||||||
1,000
|
Minnesota Hsg. Fin. Agcy. (Rental Hsg.), Ser. 2019-A, (HUD SECT 8 Insured), 2.00%, due 8/1/20
|
1,000
|
|||||
1,000
|
Minnesota Rural Wtr. Fin. Au. (Pub. Proj. Construction Notes), Ser. 2019, 2.00%, due 8/1/20
|
1,001
|
(b)
|
||||
210
|
St. Paul Hsg. & Redev. Au. Charter Sch. Lease Rev. (Metro Deaf Sch. Proj.), Ser. 2018-A, 5.00%, due 6/15/38
|
210
|
(c)
|
||||
2,211
|
|||||||
Mississippi 2.8%
|
|||||||
West Rankin Utils. Au. Rev.
|
|||||||
440
|
Ser. 2018, (AGM Insured), 5.00%, due 1/1/43
|
487
|
|||||
1,000
|
Ser. 2018, (AGM Insured), 5.00%, due 1/1/48
|
1,100
|
|||||
1,587
|
|||||||
Missouri 2.5%
|
|||||||
Missouri St. Env. Imp. & Energy Res. Au. Wtr. PCR
|
|||||||
660
|
Ser. 2018-A, 5.00%, due 7/1/29
|
813
|
|||||
510
|
Ser. 2018-A, 5.00%, due 1/1/30
|
624
|
|||||
1,437
|
|||||||
New Jersey 2.9%
|
|||||||
1,000
|
New Jersey St. Hsg. & Mtge. Fin. Agcy. Multi-Family Conduit Rev. (Camden Town Hsg. Proj.), Ser. 2017-F, 1.35%, due 2/1/20 Putable 08/1/2019
|
1,000
|
(b)
|
||||
650
|
New Jersey St. Hsg. & Mtge. Fin. Agcy. Multi-Family Rev. Ref., Ser. 2017-A, 2.60%, due 11/1/24
|
659
|
|||||
1,659
|
|||||||
New York 13.6%
|
|||||||
200
|
Buffalo & Erie Co. Ind. Land Dev. Corp. Rev. Ref. (Charter Sch. for Applied Technologies Proj.), Ser. 2017-A, 4.00%, due 6/1/22
|
206
|
|||||
Dutchess Co. Local Dev. Corp. Rev.
|
|||||||
225
|
Ser. 2014-A, 5.00%, due 7/1/21
|
241
|
|||||
150
|
Ser. 2014-A, 5.00%, due 7/1/22
|
165
|
|||||
135
|
Ser. 2014-A, 4.00%, due 7/1/23
|
146
|
|||||
115
|
Ser. 2014-A, 5.00%, due 7/1/25
|
131
|
|||||
Monroe Co. Ind. Dev. Corp. Rev. (St. John Fisher College)
|
|||||||
115
|
Ser. 2014-A, 5.00%, due 6/1/20
|
120
|
|||||
50
|
Ser. 2014-A, 5.00%, due 6/1/22
|
55
|
|||||
100
|
Ser. 2014-A, 5.00%, due 6/1/23
|
113
|
|||||
450
|
Monroe Co. Ind. Dev. Corp. Rev. Ref. (Highland Hosp. Rochester Proj.), Ser. 2015, 5.00%, due 7/1/22
|
496
|
|||||
150
|
Nassau Co. Local Econ. Assist. Corp. Rev. (Catholic Hlth. Svcs. of Long Island Obligated Group Proj.), Ser. 2014, 5.00%, due 7/1/27
|
168
|
|||||
|
200
|
New York St. Dorm. Au. Rev. Non St. Supported Debt (North Shore-Long Island Jewish Oblig. Group), Ser. 2011-A, 5.00%, due 5/1/22 Pre-Refunded 5/1/21
|
|
215
|
|||
New York St. Dorm. Au. Rev. Non St. Supported Debt (Sch. Dist. Fin. Prog.)
|
|||||||
275
|
Ser. 2014-A, (AGM Insured), 5.00%, due 10/1/23
|
314
|
|||||
2,000
|
Ser. 2014-A, (AGM Insured), 5.00%, due 10/1/24
|
2,324
|
(d)
|
||||
5
|
New York St. Dorm. Au. Rev. St. Supported Debt (City Univ. Cons. 5th), Ser. 2008-E, 6.13%, due 1/1/31
|
5
|
|||||
1,900
|
New York St. Dorm. Au. Sales Tax Rev., Ser. 2013-A, 5.00%, due 3/15/28
|
2,118
|
(d)
|
||||
500
|
New York St. Hsg. Fin. Agcy. Rev. (Green Bond), Ser. 2018-F, (SONYMA Insured), 2.15%, due 5/1/21
|
500
|
|||||
350
|
Rockland Co. G.O. (Pub. Imp.), Ser. 2014-C, (AGM Insured), 4.00%, due 5/1/21
|
367
|
|||||
7,684
|
|||||||
North Carolina 1.3%
|
|||||||
Scotland Co. Rev.
|
|||||||
350
|
Ser. 2018, 5.00%, due 12/1/24
|
406
|
|||||
250
|
Ser. 2018, 5.00%, due 12/1/26
|
298
|
|||||
704
|
|||||||
North Dakota 0.4%
|
|||||||
250
|
Grand Forks Co. Rev. (Green Bond-Red River Biorefinery, LLC Proj.), Ser. 2018, 5.38%, due 9/15/38
|
233
|
(c)
|
||||
Ohio 3.2%
|
|||||||
750
|
American Muni. Pwr. Ohio, Inc. Rev. (Comb. Hydroelectric Proj.), Ser. 2018-A, 2.25%, due 2/15/48 Putable 8/15/21
|
752
|
|||||
American Muni. Pwr. Ohio, Inc. Rev. Solar Elec. Pre-Payment (Green Bond)
|
|||||||
305
|
Ser. 2019-A, 5.00%, due 2/15/20
|
315
|
|||||
200
|
Ser. 2019-A, 5.00%, due 2/15/21
|
213
|
|||||
300
|
Ser. 2019-A, 5.00%, due 2/15/22
|
328
|
|||||
175
|
Ser. 2019-A, 5.00%, due 2/15/23
|
196
|
|||||
1,804
|
|||||||
Oklahoma 2.9%
|
|||||||
935
|
Delaware Co. Ed. Facs. Au. Ed. Facs. Lease Rev. (Grove Pub. Sch. Proj.), Ser. 2015, 5.00%, due 9/1/22
|
1,024
|
|||||
555
|
Lincoln Co. Ed. Facs. Au. Ed. Facs. Lease Rev. (Stroud Pub. Sch. Proj.), Ser. 2016, 5.00%, due 9/1/27
|
639
|
|||||
1,663
|
|||||||
Pennsylvania 8.4%
|
|||||||
Allegheny Co. Sanitary Au. Rev.
|
|||||||
290
|
Ser. 2018, 5.00%, due 6/1/30
|
343
|
|||||
565
|
Ser. 2018, 5.00%, due 6/1/32
|
659
|
|||||
1,000
|
Lycoming Co. Au. Hlth. Sys. Rev. (Susquehanna Hlth. Sys. Proj.), Ser. 2009-A, 5.50%, due 7/1/21
|
1,015
|
|||||
1,000
|
Pennsylvania St. Hsg. Fin. Agcy. Single Family Mtge. Rev., Ser. 2018-127B, 2.85%, due 4/1/26
|
1,026
|
|||||
1,000
|
Philadelphia Au. For Ind. Dev. City Svc. Agreement Rev., Ser. 2018, 5.00%, due 5/1/30
|
1,160
|
|||||
500
|
Philadelphia Wtr. & Wastewater Rev. Ref., Ser. 2016, 5.00%, due 10/1/23
|
567
|
|||||
4,770
|
|||||||
Rhode Island 1.0%
|
|||||||
500
|
Rhode Island St. Providence Plantation Lease Ref. Cert. of Participation (Sch. Deaf Proj.), Ser. 2017-D, 5.00%, due 4/1/22
|
547
|
|||||
South Carolina 1.2%
|
|||||||
500
|
Allendale Co. Sch. Dist. Energy Savings Spec. Oblig. Rev. Ref. (Impt.), Ser. 2014, 3.00%, due 12/1/20
|
507
|
|||||
|
175
|
South Carolina Jobs Econ. Dev. Au. Solid Waste Disp. Rev. (Green Bond-Jasper Pellets LLC, Proj.), Ser. 2018-A, 7.00%, due 11/1/38
|
|
172
|
(c)
|
||
679
|
|||||||
Texas 7.7%
|
|||||||
910
|
El Paso Wtr. & Swr. Rev. Ref., Ser. 2014, 5.00%, due 3/1/24
|
1,044
|
|||||
850
|
Laredo Independent Sch. Dist. G.O. (Sch. Bldg.), Ser. 2013, 5.00%, due 8/1/24
|
956
|
|||||
1,015
|
Weslaco G.O. Ref., Ser. 2017, (AGM Insured), 5.00%, due 8/15/27
|
1,227
|
|||||
1,000
|
Ysleta Independent Sch. Dist. G.O. (Sch. Bldg.), Ser. 2017, (PSF-GTD Insured), 5.00%, due 8/15/41
|
1,129
|
|||||
4,356
|
|||||||
Utah 1.8%
|
|||||||
915
|
Grand Co. Sch. Dist. Local Bldg. Au. Rev., Ser. 2019, (AGM Insured), 5.00%, due 12/15/22
|
1,019
|
(b)
|
||||
West Virginia 5.2%
|
|||||||
500
|
West Virginia Hosp. Fin. Au. Rev. (Impt. West Virginia Univ. Hlth. Sys. Obligated Group), Ser. 2018-A, 5.00%, due 6/1/52
|
536
|
|||||
700
|
West Virginia Hosp. Fin. Au. Rev. (West Virginia Univ. Hlth. Sys.), Ser. 2017-A, 5.00%, due 6/1/35
|
775
|
|||||
West Virginia Hsg. Dev. Fund Rev. (Hsg. Fin.)
|
|||||||
220
|
Ser. 2018-A, 1.88%, due 11/1/20
|
220
|
|||||
275
|
Ser. 2018-A, 2.65%, due 11/1/24
|
280
|
|||||
990
|
West Virginia Wtr. Dev. Au. Rev. Ref. (Loan Prog.), Ser. 2018-A-IV, 5.00%, due 11/1/36
|
1,151
|
|||||
2,962
|
|||||||
Wisconsin 0.8%
|
|||||||
395
|
Oregon Sch. Dist. G.O. (Green Bond-Sch. Bldg. & Impt.), Ser. 2019, 5.00%, due 3/1/22
|
433
|
(b)
|
||||
Total Investments 101.0% (Cost $56,106)
|
57,088
|
||||||
Liabilities Less Other Assets (1.0)%
|
(538)
|
||||||
Net Assets 100.0%
|
$56,550
|
(a)
|
Variable rate demand obligation where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate generally resets daily or weekly and is determined by the remarketing agent. The rate shown represents the rate in effect at January 31, 2019.
|
|
(b)
|
When-issued security. Total value of all such securities at January 31, 2019 amounted to approximately $3,453,000, which represents 6.1% of net assets of the Fund.
|
|
(c)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 Act or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2019, these securities amounted to approximately $615,000, which represents 1.1% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
|
|
(d)
|
All or a portion of this security is segregated in connection with obligations for when-issued securities with a total value of approximately $4,442,000.
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2019:
|
Asset Valuation Inputs
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments:
|
||||||||||||||||
Municipal Notes(a)
|
$
|
—
|
$
|
57,088
|
$
|
—
|
$
|
57,088
|
||||||||
Total Investments
|
$
|
—
|
$
|
57,088
|
$
|
—
|
$
|
57,088
|
(a)
|
The Schedule of Investments provides a categorization by state/territory for the portfolio.
|
PRINCIPAL
AMOUNT |
VALUE†
|
||||||
(000's omitted)
|
(000's omitted)
|
||||||
Municipal Notes 99.1%
|
|||||||
Alabama 0.5%
|
|||||||
$
|
300
|
Birmingham Spec. Care Facs. Fin. Au. Rev. (Methodist Home for The Aging), Ser. 2016-2015-1, 5.75%, due 6/1/45
|
$
|
317
|
|||
100
|
Taylor-Ryan Imp. Dist. Rev. Ref., Ser. 2005, (LOC: Synovus Bank), 1.58%, due 11/1/35
|
100
|
(a)
|
||||
417
|
|||||||
Arizona 6.1%
|
|||||||
500
|
Maricopa Co. Ind. Dev. Au. Ed. Ref. Rev. (Paradise Sch. Proj. Paragon Management, Inc.), Ser. 2016, 5.00%, due 7/1/36
|
514
|
(b)
|
||||
800
|
Maricopa Co. Ind. Dev. Au. Solid Waste Disp. Rev. (Waste Management, Inc. Proj.), Ser. 2001, 3.38%, due 12/1/31 Putable 6/3/24
|
813
|
|||||
1,230
|
Maricopa Co. Ind. Dev. Au. Sr. Living Fac. Ref. Rev. (Christian Care Retirement Apts. Inc. Proj.), Ser. 2016-A, 5.00%, due 1/1/25
|
1,410
|
|||||
500
|
Maricopa Co. Ind. Dev. Au. Sr. Living Fac. Rev. (Christian Care Surprise, Inc. Proj.), Ser. 2016, 5.00%, due 1/1/26
|
494
|
(b)
|
||||
250
|
Navajo Nation Ref. Rev., Ser. 2015-A, 5.00%, due 12/1/25
|
272
|
(b)
|
||||
500
|
Phoenix Ind. Dev. Au. Ed. Ref. Rev. (Great Hearts Academies), Ser. 2016-A, 5.00%, due 7/1/46
|
515
|
|||||
600
|
Phoenix Ind. Dev. Au. Rev. (Deer Valley Veterans Assisted Living Proj.), Ser. 2016-A, 5.13%, due 7/1/36
|
586
|
|||||
500
|
Pima Co. Ind. Dev. Au. Ed. Ref. Rev. (American Leadership Academy Proj.), Ser. 2015, 5.38%, due 6/15/35
|
514
|
(b)
|
||||
5,118
|
|||||||
California 9.2%
|
|||||||
250
|
California Muni. Fin. Au. Charter Sch. Lease Rev. (Santa Rosa Academy Proj.), Ser. 2015, 5.13%, due 7/1/35
|
261
|
(b)
|
||||
500
|
California Muni. Fin. Au. Charter Sch. Rev. (John Adams Academics Proj.), Ser. 2015-A, 4.50%, due 10/1/25
|
505
|
|||||
500
|
California Muni. Fin. Au. Charter Sch. Rev. (Palmdale Aerospace Academy Proj.), Ser. 2016, 5.00%, due 7/1/31
|
531
|
(b)
|
||||
400
|
California Muni. Fin. Au. Rev. (Baptist Univ.), Ser. 2015-A, 5.00%, due 11/1/30
|
436
|
(b)
|
||||
830
|
California St. Dept. of Veterans Affairs Home Purchase Ref. Rev., Ser. 2016-A, 2.85%, due 12/1/27
|
822
|
|||||
470
|
California St. Poll. Ctrl. Fin. Au. Solid Waste Disp. Rev. (Aemerge Redpak Svcs. So. California LLC Proj.), Ser. 2016, 7.00%, due 12/1/27
|
452
|
(b)(c)
|
||||
250
|
California St. Poll. Ctrl. Fin. Au. Solid Waste Disp. Rev. (Green Bond-Rialto Bioenergy Fac. LLC, Proj.), Ser. 2019, 7.50%, due 12/1/40
|
239
|
(b)
|
||||
500
|
California St. Sch. Fin. Au. Charter Sch. Rev. (Downtown College Prep-Oblig. Group), Ser. 2016, 4.75%, due 6/1/36
|
504
|
(b)
|
||||
600
|
California St. Sch. Fin. Au. Charter Sch. Rev. (Rocketship Ed.), Ser. 2016-A, 5.00%, due 6/1/31
|
622
|
(b)
|
||||
300
|
California Statewide CDA College Hsg. Rev. (NCCD-Hooper Street LLC-College of the Arts Proj.), Ser. 2019, 5.25%, due 7/1/52
|
313
|
(b)
|
||||
400
|
California Statewide CDA Rev. Ref. (Lancer Ed. Std. Hsg. Proj.), Ser. 2016-A, 5.00%, due 6/1/36
|
428
|
(b)
|
||||
145
|
California Statewide CDA Spec. Tax Rev. Ref. (Comm. Facs. Dist. Number 2007-01 Orinda Wilder Proj.), Ser. 2015, 4.50%, due 9/1/25
|
158
|
|||||
400
|
Del Mar Race Track Au. Ref. Rev., Ser. 2015, 5.00%, due 10/1/38
|
401
|
|||||
600
|
Deutsche Bank Spears/Lifers Trust Rev. (Starwood Comm. Dev. Au. Multi-Family Hsg.) (Deutsche Bank AG), Ser. 2017-DBE-7006, 1.88%, due 4/1/52
|
600
|
(a)(b)
|
||||
500
|
Golden St. Tobacco Securitization Corp. Tobacco Settlement Rev. Ref., Ser. 2018-A-1, 5.00%, due 6/1/47
|
472
|
|||||
485
|
Los Alamitos Unified Sch. Dist. G.O. (Cap. Appreciation Bonds Sch. Facs. Dist. Number 1-2008 Election), Ser. 2013-E, 0.00%, due 8/1/43
|
417
|
(d)
|
||||
|
500
|
Palomar Hlth. Ref. Rev., Ser. 2016, 5.00%, due 11/1/36
|
|
539
|
|||
7,700
|
|||||||
Colorado 3.8%
|
|||||||
471
|
Crystal Crossing Metro. Dist. Ref. G.O., Ser. 2016, 4.50%, due 12/1/26
|
468
|
|||||
1,000
|
Denver Convention Ctr. Hotel Au. Ref. Rev., Ser. 2016, 5.00%, due 12/1/27
|
1,124
|
|||||
500
|
Littleton Village Metro. Dist. Number 2 Ref. G.O., Ser. 2015, 5.38%, due 12/1/45
|
506
|
|||||
Park Creek Metro. Dist. Ref. Tax Allocation Rev. (Sr. Ltd. Prop. Tax Supported)
|
|||||||
250
|
Ser. 2015-A, 5.00%, due 12/1/34
|
278
|
|||||
250
|
Ser. 2015-A, 5.00%, due 12/1/35
|
277
|
|||||
500
|
Ser. 2015-A, 5.00%, due 12/1/45
|
540
|
|||||
3,193
|
|||||||
Connecticut 1.2%
|
|||||||
725
|
City of Bridgeport, Ser. 2017-A, 5.00%, due 11/1/28
|
832
|
|||||
145
|
Mohegan Tribe of Indians Gaming Au. Ref. Rev. (Priority Dist.), Ser. 2015-C, 4.75%, due 2/1/20
|
146
|
(b)
|
||||
978
|
|||||||
Florida 3.5%
|
|||||||
200
|
Cap. Trust Agcy. Sr. Living Rev. (H-Bay Ministries, Inc. Superior Residences-Third Tier), Ser. 2018-C, 7.50%, due 7/1/53
|
191
|
(b)
|
||||
650
|
Florida Dev. Fin. Corp. Ed. Facs. Rev. Ref. (Pepin Academies, Inc.), Ser. 2016-A, 5.00%, due 7/1/36
|
601
|
|||||
450
|
Florida St. Dev. Fin. Corp. Ed. Facs. Rev. (Renaissance Charter Sch., Inc. Proj.), Ser. 2015-A, 6.00%, due 6/15/35
|
462
|
(b)
|
||||
350
|
Florida St. Dev. Fin. Corp. Sr. Living Rev. (Tuscan Isle Champions Gate Proj.), Ser. 2016-A, 6.38%, due 6/1/46
|
297
|
(b)
|
||||
395
|
Florida St. Hsg. Fin. Corp. Rev., Ser. 2015-1, 3.75%, due 7/1/35
|
399
|
|||||
400
|
Greater Orlando Aviation Au. Arpt. Facs. Spec. Purp. Rev. (JetBlue Airways Corp. Proj.), Ser. 2013, 5.00%, due 11/15/36
|
415
|
|||||
525
|
Lee Co. Ind. Dev. Au. Rev. (Cypress Cove Hlth. Park, Inc. Memory Care Proj.), Ser. 2014, 4.50%, due 10/1/32
|
522
|
|||||
2,887
|
|||||||
Georgia 0.6%
|
|||||||
250
|
Cobb Co. Dev. Au. Sr. Living Ref. Rev. (Provident Village Creekside Proj.), Ser. 2016-A, 6.00%, due 7/1/36
|
226
|
(b)(c)
|
||||
300
|
Greene Co. Dev. Au. Swr. Fac. Rev., Ser. 2015, 6.13%, due 1/1/25
|
280
|
(b)(c)
|
||||
506
|
|||||||
Hawaii 0.9%
|
|||||||
Hawaii St. Dept. of Budget & Fin. Spec. Purp. Rev. Ref.
|
|||||||
250
|
Ser. 2015, 5.00%, due 1/1/35
|
245
|
(b)
|
||||
500
|
Ser. 2015, 5.00%, due 1/1/45
|
469
|
(b)
|
||||
714
|
|||||||
Illinois 9.5%
|
|||||||
25
|
Chicago G.O., Ser. 2009-C, 5.00%, due 1/1/27 Pre-Refunded 2/19/19
|
25
|
|||||
Chicago O'Hare Int'l Arpt. Rev. Ref.
|
|||||||
200
|
Ser. 2015-A, 5.00%, due 1/1/28
|
223
|
|||||
100
|
Ser. 2015-A, 5.00%, due 1/1/34
|
108
|
|||||
500
|
Chicago O'Hare Int'l Arpt. Spec. Fac. Rev. (Trips Obligated Group), Ser. 2018, 5.00%, due 7/1/48
|
543
|
|||||
Chicago Ref. G.O.
|
|||||||
1,000
|
Ser. 2012-C, 5.00%, due 1/1/20
|
1,018
|
|||||
500
|
Ser. 2012-C, 5.00%, due 1/1/24
|
518
|
|||||
155
|
Chicago Wastewater Rev. (Second Lien Proj.), Ser. 2014, 5.00%, due 11/1/27
|
174
|
|||||
|
500
|
Chicago Wastewater Transmission Rev. Ref. (Second Lien), Ser. 2008-C, 5.00%, due 1/1/39
|
|
539
|
|||
400
|
Illinois Fin. Au. Charter Sch. Rev. (Intrinsic Sch.-Belmont Sch. Proj.), Ser. 2015-A, 5.75%, due 12/1/35
|
403
|
(b)
|
||||
425
|
Illinois Fin. Au. Rev. Ref. (Rosalind Franklin Univ. of Medicine & Science), Ser. 2017-A, 5.00%, due 8/1/47
|
453
|
|||||
Illinois St. G.O.
|
|||||||
500
|
Ser. 2017-A, 5.00%, due 12/1/35
|
521
|
|||||
1,000
|
Ser. 2017-D, 5.00%, due 11/1/28
|
1,080
|
|||||
Illinois St. G.O. Ref.
|
|||||||
750
|
Ser. 2016, 5.00%, due 2/1/24
|
799
|
|||||
485
|
Ser. 2016, 5.00%, due 2/1/26
|
524
|
|||||
510
|
Illinois St. Sales Tax Rev., Ser. 1992-P, 6.50%, due 6/15/22
|
532
|
|||||
500
|
Upper Illinois River Valley Dev. Au. Rev. Ref. (Cambridge Lakes Learning Ctr.), Ser. 2017-A, 5.25%, due 12/1/47
|
483
|
(b)
|
||||
7,943
|
|||||||
Indiana 1.0%
|
|||||||
725
|
Indianapolis Econ. Dev. Rev. Ref. (Brookhaven Co. Line Apts. Proj.), Ser. 2013-A, 6.25%, due 7/1/43
|
842
|
|||||
Iowa 0.5%
|
|||||||
400
|
Iowa Higher Ed. Loan Au. Ref. Rev. (Wartburg College Proj.), Ser. 2015, 5.00%, due 10/1/32
|
403
|
|||||
Kansas 0.4%
|
|||||||
300
|
Wichita City Sales Tax. Spec. Oblig. Rev. Ref. (Greenwich Star Bond), Ser. 2017-K-96, 4.20%, due 9/1/27
|
300
|
|||||
Kentucky 1.6%
|
|||||||
405
|
Kentucky Econ. Dev. Fin. Au. (Sr. Next Generation Information Hwy. Proj.), Ser. 2015-A, 4.00%, due 7/1/29
|
410
|
|||||
435
|
Kentucky Econ. Dev. Fin. Au. Rev. Ref. (Owensboro Hlth., Inc. Obligated Group), Ser. 2017-A, (AGM Insured), 4.00%, due 6/1/37
|
442
|
|||||
475
|
Ohio Co. PCR Ref. (Big Rivers Elec. Corp. Proj.), Ser. 2010-A, 6.00%, due 7/15/31
|
478
|
|||||
1,330
|
|||||||
Louisiana 1.2%
|
|||||||
400
|
Louisiana Local Gov't Env. Facs. & Comm. Dev. Au. Rev. Ref. (Westside Habilitation Ctr. Proj.), Ser. 2017-A, 5.75%, due 2/1/32
|
408
|
(b)
|
||||
500
|
New Orleans Aviation Board Rev. (Gen. Arpt. Terminal), Ser. 2017-B, 5.00%, due 1/1/26
|
577
|
|||||
985
|
|||||||
Maine 0.8%
|
|||||||
445
|
Maine St. Ed. Loan Au. Std. Loan Rev. (Supplemental Ed. Loan), Ser. 2014-A-1, (AGM Insured), 4.00%, due 12/1/20
|
457
|
|||||
200
|
Maine St. Fin. Au. Solid Waste Disp. Rev. (Casella Waste Sys. Proj.), Ser. 2015, 5.13%, due 8/1/35 Putable 8/1/25
|
207
|
(b)
|
||||
664
|
|||||||
Michigan 2.9%
|
|||||||
1,000
|
Michigan St. Fin. Au. Rev. Ref. (Std. Loan), Ser. 2014-25-A, 5.00%, due 11/1/20
|
1,046
|
|||||
1,000
|
Michigan St. Hsg. Dev. Au. Rev., Ser. 2016-C, 2.15%, due 6/1/23
|
990
|
|||||
400
|
Summit Academy Pub. Sch. Academy Ref. Rev., Ser. 2005, 6.38%, due 11/1/35
|
400
|
|||||
2,436
|
|||||||
Minnesota 0.9%
|
|||||||
500
|
St. Paul Hsg. & Redev. Au. Charter Sch. Lease Rev. (Academia Cesar Chavez Sch. Proj.), Ser. 2015-A, 5.25%, due 7/1/50
|
490
|
|||||
|
300
|
St. Paul Hsg. & Redev. Au. Charter Sch. Lease Rev. (Twin Cities Academy Proj.), Ser. 2015-A, 5.00%, due 7/1/35
|
|
301
|
|||
791
|
|||||||
Mississippi 1.2%
|
|||||||
1,000
|
Mississippi St. Bus. Fin. Commission Gulf Opportunity Zone Rev. (Chevron U.S.A., Inc. Proj.), Ser. 2010-G, 1.60%, due 11/1/35
|
1,000
|
(a)
|
||||
Missouri 2.1%
|
|||||||
700
|
Missouri St. Hlth. & Ed. Fac. Au. Rev. (St. Louis Univ.), Ser. 2008-B-1, (LOC: Barclays Bank PLC), 1.65%, due 10/1/35
|
700
|
(a)
|
||||
St. Louis Co. Ind. Dev. Au. Ref. Rev. (Nazareth Living Ctr. Proj.)
|
|||||||
255
|
Ser. 2015-A, 5.00%, due 8/15/30
|
264
|
|||||
390
|
Ser. 2015-A, 5.00%, due 8/15/35
|
397
|
|||||
355
|
Ser. 2015-A, 5.13%, due 8/15/45
|
361
|
|||||
1,722
|
|||||||
Nevada 0.6%
|
|||||||
500
|
Director of the St. of Nevada Dept. of Bus. & Ind. Rev. (Somerset Academy), Ser. 2015-A, 5.13%, due 12/15/45
|
505
|
(b)
|
||||
New Jersey 8.1%
|
|||||||
Atlantic City G.O. Ref.
|
|||||||
200
|
Ser. 2017-A, (BAM Insured), 5.00%, due 3/1/26
|
231
|
|||||
200
|
Ser. 2017-A, (BAM Insured), 5.00%, due 3/1/32
|
226
|
|||||
200
|
Ser. 2017-A, (BAM Insured), 5.00%, due 3/1/42
|
219
|
|||||
200
|
Essex Co. Imp. Au. Solid Waste Disp. Rev. (Covanta Energy Proj.), Ser. 2015, 5.25%, due 7/1/45
|
201
|
(b)
|
||||
New Jersey Econ. Dev. Au. Ref. Rev. (Sch. Facs. Construction)
|
|||||||
625
|
Ser. 2005-K, (AMBAC Insured), 5.25%, due 12/15/20
|
660
|
|||||
500
|
Ser. 2014-PP, 5.00%, due 6/15/19
|
506
|
|||||
750
|
New Jersey Econ. Dev. Au. Spec. Fac. Rev. Ref. (Port Newark Container Term. LLC Proj.), Ser. 2017, 5.00%, due 10/1/47
|
789
|
|||||
250
|
New Jersey Higher Ed. Assist. Au. Rev. (Std. Loan Rev.), Ser. 2017-1A, 5.00%, due 12/1/25
|
286
|
|||||
750
|
New Jersey Higher Ed. Assist. Au. Rev. Ref. (Std. Loan Rev.), Ser. 2018-B, 5.00%, due 12/1/27
|
873
|
|||||
1,265
|
New Jersey Hlth. Care Facs. Fin. Au. Contract Rev. Ref. (Hosp. Asset Trans. Prog.), Ser. 2017, 5.00%, due 10/1/26
|
1,433
|
|||||
720
|
New Jersey Trans. Trust Fund Au. Rev., Ser. 2003-B-4, 5.25%, due 12/15/19
|
740
|
|||||
600
|
New Jersey Trans. Trust Fund Au. Rev. (Federal Hwy. Reimbursement Notes), Ser. 2016-A-1, 5.00%, due 6/15/19
|
606
|
|||||
6,770
|
|||||||
New Mexico 0.6%
|
|||||||
500
|
Winrock Town Ctr. Tax Increment Dev. Dist. Number 1 Tax Allocation Sr., Lien Rev. (Gross Receipts Tax Increment Bonds), Ser. 2015, 5.25%, due 5/1/25
|
496
|
(b)(c)
|
||||
New York 5.4%
|
|||||||
200
|
Build NYC Res. Corp. Rev., Ser. 2014, 5.25%, due 11/1/34
|
203
|
|||||
400
|
New York St. Dorm. Au. Rev. Non St. Supported Debt (St. Josephs College), Ser. 2010, 5.25%, due 7/1/25
|
401
|
|||||
300
|
New York St. Dorm. Au. Rev. Ref. Non St. Supported Debt (Montefiore Obligated Group), Ser. 2018-A, 4.00%, due 8/1/37
|
301
|
|||||
900
|
New York St. Dorm. Au. Rev. Ref. Non St. Supported Debt (Orange Reg. Med. Ctr.), Ser. 2017, 5.00%, due 12/1/22
|
984
|
(b)
|
||||
500
|
New York St. Trans. Dev. Corp. Spec. Fac. Rev. (American Airlines, Inc., John F Kennedy Int'l Arpt. Proj.), Ser. 2016, 5.00%, due 8/1/31
|
518
|
|||||
1,000
|
New York St. Trans. Dev. Corp. Spec. Fac. Rev. (Delta Airlines, Inc.-LaGuardia Arpt. Term. C&D Redev.), Ser. 2018, 5.00%, due 1/1/28
|
1,162
|
|||||
|
500
|
Syracuse IDA Pilot Rev. Ref. (Carousel Ctr. Proj.), Ser. 2016-A, 5.00%, due 1/1/31
|
|
548
|
|||
400
|
Westchester Co. Local Dev. Corp. Rev. Ref. (Wartburg Sr. Hsg. Proj.), Ser. 2015-A, 5.00%, due 6/1/30
|
402
|
(b)
|
||||
4,519
|
|||||||
North Carolina 0.7%
|
|||||||
250
|
North Carolina Med. Care Commission Hlth. Care Fac. First Mtge. Rev. (Lutheran Svcs. for Aging, Inc.), Ser. 2012-A, 5.00%, due 3/1/37
|
259
|
|||||
345
|
North Carolina Med. Care Commission Retirement Facs. Ref. Rev. (United Methodist Retirement Homes), Ser. 2016-A, 5.00%, due 10/1/35
|
366
|
|||||
625
|
|||||||
North Dakota 0.6%
|
|||||||
500
|
Grand Forks Co. Solid Waste Disp. Rev. (Green Bond-Red River Biorefinery, LLC Proj.), Ser. 2018, 5.38%, due 9/15/38
|
467
|
(b)
|
||||
Ohio 4.6%
|
|||||||
3,000
|
Buckeye Tobacco Settlement Fin. Au. Asset-Backed Sr. Rev. (Turbo), Ser. 2007-A-2, 5.88%, due 6/1/30
|
2,801
|
|||||
1,000
|
Ohio St. Air Quality Dev. Au. Exempt Facs. Rev. (Pratt Paper LLC Proj.), Ser. 2017, 4.50%, due 1/15/48
|
1,007
|
(b)
|
||||
3,808
|
|||||||
Oklahoma 1.0%
|
|||||||
725
|
Oklahoma St. Dev. Fin. Au. Hlth. Sys. Rev. (OU Medicine Proj.), Ser. 2018-B, 5.50%, due 8/15/57
|
804
|
|||||
Oregon 0.6%
|
|||||||
490
|
Western Generation Agcy. Rev. (Wauna Cogeneration Proj.), Ser. 2006-A, 5.00%, due 1/1/21
|
487
|
|||||
Pennsylvania 3.7%
|
|||||||
500
|
Commonwealth Fin. Au. Tobacco Master Settlement Payment Rev. (Tobacco Master Settlement Payment Bonds), Ser. 2018, 5.00%, due 6/1/20
|
520
|
|||||
Lancaster Co. Hosp. Au. Rev. (Brethren Village Proj.)
|
|||||||
250
|
Ser. 2015, 5.25%, due 7/1/35
|
262
|
|||||
150
|
Ser. 2015, 5.50%, due 7/1/45
|
158
|
|||||
150
|
Latrobe Ind. Dev. Au. (St. Vincent College Proj.), Ser. 2013, 5.00%, due 5/1/43
|
155
|
|||||
200
|
Luzerne Co. G. O. Ref., Ser. 2017-B, (AGM Insured), 5.00%, due 12/15/27
|
233
|
|||||
750
|
Pennsylvania Econ. Dev. Fin. Au. Rev. (Bridges Finco LP), Ser. 2016-C, 5.00%, due 12/31/38
|
808
|
|||||
400
|
Pennsylvania Econ. Dev. Fin. Au. Rev. Ref. (Tapestry Moon Sr. Hsg. Proj.), Ser. 2018-A, 6.75%, due 12/1/53
|
386
|
(b)
|
||||
500
|
Pennsylvania St. Turnpike Commission Turnpike Rev., Subser. 2017-B-1, 5.25%, due 6/1/47
|
552
|
|||||
3,074
|
|||||||
Rhode Island 2.9%
|
|||||||
Rhode Island St. Hsg. & Mtge. Fin. Corp. Ref. Rev.
|
|||||||
255
|
Ser. 2016-1-C, 2.75%, due 4/1/25
|
256
|
|||||
275
|
Ser. 2016-1-C, 2.85%, due 10/1/25
|
277
|
|||||
280
|
Ser. 2016-1-C, 2.95%, due 4/1/26
|
281
|
|||||
185
|
Ser. 2016-1-C, 3.00%, due 10/1/26
|
188
|
|||||
Rhode Island St. Std. Loan Au. Std. Loan Rev. (Sr. Prog.)
|
|||||||
665
|
Ser. 2013-A, 3.25%, due 12/1/22
|
672
|
|||||
675
|
Ser. 2017-A, 5.00%, due 12/1/24
|
756
|
|||||
2,430
|
|||||||
South Carolina 2.2%
|
|||||||
500
|
Lancaster Co. Assessment Rev. Ref. (Walnut Creek Imp. Dist.), Ser. 2016-A-1, 5.00%, due 12/1/31
|
512
|
|||||
|
500
|
South Carolina Jobs Econ. Dev. Au. Econ. Dev. Rev. (River Park Sr. Living Proj.), Ser. 2017-A, 7.75%, due 10/1/57
|
|
469
|
|||
325
|
South Carolina Jobs Econ. Dev. Au. Solid Waste Disp. Rev. (Green Bond-Jasper Pellets LLC, Proj.), Ser. 2018-A, 7.00%, due 11/1/38
|
320
|
(b)
|
||||
500
|
South Carolina Jobs Econ. Dev. Au. Solid Waste Disp. Rev. (Repower South Berkeley LLC Proj.), Ser. 2017, 6.25%, due 2/1/45
|
502
|
(b)
|
||||
1,803
|
|||||||
Tennessee 0.8%
|
|||||||
800
|
Bristol IDB Sales Tax Rev., Ser. 2016-B, 0.00%, due 12/1/21
|
701
|
(b)
|
||||
Texas 9.8%
|
|||||||
750
|
Anson Ed. Facs. Corp. Ed. Rev. (Arlington Classics Academy), Ser. 2016-A, 5.00%, due 8/15/45
|
781
|
|||||
400
|
Fort Bend Co. Ind. Dev. Corp. Rev. (NRG Energy, Inc.), Ser. 2012-A, 4.75%, due 5/1/38
|
408
|
|||||
400
|
Houston Arpt. Sys. Rev., Ser. 2015-B-1, 5.00%, due 7/15/30
|
434
|
|||||
3,025
|
Lower Neches Valley Au. Ind. Dev. Corp. Rev. Ref. (Exxon Mobil Proj.), Ser. 2001-A, 1.60%, due 11/1/29
|
3,025
|
(a)
|
||||
300
|
Mission Econ. Dev. Corp. Wtr. Supply Rev. (Green Bond-Env. Wtr. Minerals Proj.), Ser. 2015, 7.75%, due 1/1/45
|
240
|
(b)(c)(e)
|
||||
750
|
New Hope Cultural Ed. Facs. Fin. Corp. Retirement Fac. Rev. Ref. (Carillon Life Care Comm. Proj.), Ser. 2016, 5.00%, due 7/1/36
|
759
|
|||||
250
|
New Hope Cultural Ed. Facs. Fin. Corp. Sr. Living Rev. (Bridgemoor Plano Proj.), Ser. 2018-A, 7.25%, due 12/1/53
|
251
|
|||||
500
|
New Hope Cultural Ed. Facs. Fin. Corp. Sr. Living Rev. (Cardinal Bay, Inc. Village On The Park Carriage), Ser. 2016-C, 5.75%, due 7/1/51
|
534
|
|||||
500
|
New Hope Cultural Ed. Facs. Fin. Corp. Std. Hsg. Rev. (NCCD-College Sta. Properties LLC), Ser. 2015-A, 5.00%, due 7/1/47
|
449
|
|||||
500
|
Texas St. Private Activity Bond Surface Trans. Corp. Rev. (Sr. Lien-Blueridge Trans. Group LLC), Ser. 2016, 5.00%, due 12/31/40
|
534
|
|||||
750
|
Texas St. Trans. Commission Turnpike Sys. Rev. Ref., Ser. 2015-C, 5.00%, due 8/15/34
|
809
|
|||||
8,224
|
|||||||
Utah 0.6%
|
|||||||
500
|
Utah Charter Sch. Fin. Au. Rev. (Spectrum Academy Proj.), Ser. 2015, 6.00%, due 4/15/45
|
508
|
(b)
|
||||
Vermont 1.9%
|
|||||||
500
|
Vermont Econ. Dev. Au. Solid Waste Disp. Rev. (Casella Waste Sys., Inc.), Ser. 2013, 4.63%, due 4/1/36 Putable 4/3/28
|
500
|
(b)
|
||||
Vermont Std. Assist. Corp. Ed. Loan Rev.
|
|||||||
705
|
Ser. 2013-A, 3.90%, due 6/15/22
|
732
|
|||||
310
|
Ser. 2015-A, 4.13%, due 6/15/28
|
320
|
|||||
1,552
|
|||||||
Virginia 0.7%
|
|||||||
400
|
Embrey Mill Comm. Dev Au. Spec. Assessment Rev., Ser. 2015, 5.30%, due 3/1/35
|
401
|
(b)
|
||||
200
|
Virginia College Bldg. Au. Ed. Facs. Rev. (Green Bonds-Marymount Univ. Proj.), Ser. 2015-B, 5.25%, due 7/1/35
|
211
|
(b)
|
||||
612
|
|||||||
Washington 1.3%
|
|||||||
500
|
Washington St. Hlth. Care Fac. Au. Rev. Ref. (Virginia Mason Med. Ctr.), Ser. 2017, 5.00%, due 8/15/26
|
569
|
|||||
500
|
Washington St. Hsg. Fin. Commission Rev. Ref. (Bayview Manor Homes), Ser. 2016-A, 5.00%, due 7/1/46
|
507
|
(b)
|
||||
1,076
|
|||||||
West Virginia 1.9%
|
|||||||
|
780
|
West Virginia Econ. Dev. Au. Energy Rev. Ref. (Morgantown Energy Assoc. Proj.), Ser. 2016, 2.88%, due 12/15/26
|
|
753
|
|||
West Virginia Hosp. Fin. Au. Rev. Ref. (Cabell Huntington Hosp. Obligated Group)
|
|||||||
400
|
Ser. 2018-A, 5.00%, due 1/1/43
|
438
|
|||||
425
|
Ser. 2018-A, 4.13%, due 1/1/47
|
412
|
|||||
1,603
|
|||||||
Wisconsin 3.2%
|
|||||||
400
|
Pub. Fin. Au. Ed. Rev. (Pine Lake Preparatory), Ser. 2015, 4.95%, due 3/1/30
|
410
|
(b)
|
||||
300
|
Pub. Fin. Au. Ed. Rev. (Research Triangle High Sch. Proj.), Ser. 2015, 5.38%, due 7/1/35
|
298
|
(b)
|
||||
750
|
Pub. Fin. Au. Exempt Facs. Ref. Rev. (Celanese Proj.), Ser. 2016-C, 4.30%, due 11/1/30
|
760
|
|||||
450
|
Pub. Fin. Au. Multi-Family Hsg. Rev. (FFAH North Carolina & Missouri Portfolio), Ser. 2015-A, 4.75%, due 12/1/35
|
454
|
|||||
400
|
Pub. Fin. Au. Rev. (Goodwill Industries of So. Nevada Proj.), Ser. 2015-A, 5.50%, due 12/1/35
|
280
|
(c)(e)
|
||||
500
|
Pub. Fin. Au. Rev. (Sr.-Maryland Proton Treatment Ctr. LLC), Ser. 2018-A-1, 6.38%, due 1/1/48
|
512
|
(b)
|
||||
2,714
|
|||||||
Total Investments 99.1% (Cost $82,813)
|
82,707
|
||||||
Other Assets Less Liabilities 0.9%
|
747
|
||||||
Net Assets 100.0%
|
$83,454
|
(a)
|
Variable rate demand obligation where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate generally resets daily or weekly and is determined by the remarketing agent. The rate shown represents the rate in effect at January 31, 2019.
|
|
(b)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2019, these securities amounted to approximately $19,555,000, which represents 23.4% of net assets of the Fund. Securities denoted with (b) but without (c) have been deemed by the investment manager to be liquid.
|
|
(c)
|
Illiquid security.
|
|
(d)
|
Currently a zero coupon security; will convert to 6.04% on August 1, 2026.
|
|
(e)
|
Defaulted security.
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2019:
|
Asset Valuation Inputs
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments:
|
||||||||||||||||
Municipal Notes(a)
|
$
|
—
|
$
|
82,707
|
$
|
—
|
$
|
82,707
|
||||||||
Total Investments
|
$
|
—
|
$
|
82,707
|
$
|
—
|
$
|
82,707
|
PRINCIPAL
AMOUNT |
VALUE†
|
||||||
(000's omitted)
|
(000's omitted)
|
||||||
Municipal Notes 99.1%
|
|||||||
Alaska 1.1%
|
|||||||
2,000
|
Alaska St. Hsg. Fin. Corp. Ref. Rev. (Cap. Proj. Bonds II), Ser. 2014-D, 5.00%, due 12/1/25
|
$
|
2,316
|
||||
Arizona 0.8%
|
|||||||
500
|
Maricopa Co. Ind. Dev. Au. Rev. (Banner Hlth. Obligated Group), Ser. 2017-C, 5.00%, due 1/1/48 Putable 10/18/24
|
576
|
|||||
950
|
Maricopa Co. Ind. Dev. Au. Sr. Living Fac. Rev. Ref. (Christian Care Retirement Apts., Inc. Proj.), Ser. 2016-A, 5.00%, due 1/1/24
|
1,075
|
|||||
1,651
|
|||||||
California 9.2%
|
|||||||
2,000
|
California Pub. Works Board Lease Rev. Ref., Ser. 2017-B, 5.00%, due 10/1/26
|
2,408
|
|||||
2,055
|
California Statewide Communities Dev. Au. PCR (So. California Edison Co.), Ser. 2006, 1.90%, due 4/1/28 Putable 4/1/20
|
2,038
|
|||||
250
|
California Statewide Communities Dev. Au. Rev. (Henry Mayo Newhall Mem. Hosp.), Ser. 2014-A, (AGM Insured), 5.00%, due 10/1/28
|
281
|
|||||
1,665
|
Contra Costa Co. Redev. Agcy. Successor Agcy. Tax Allocation Ref., Ser. 2017-A, (BAM Insured), 5.00%, due 8/1/32
|
1,973
|
|||||
7,000
|
Deutsche Bank Spears/Lifers Trust Rev. (Starwood Comm. Dev. Au.), Ser. 2017-DBE-7006, (LOC: Deutsche Bank AG), 1.88%, due 4/1/52
|
7,000
|
(a)(b)
|
||||
Fresno Joint Pwr. Fin. Au. Lease Rev. Ref. (Master Lease Proj.)
|
|||||||
1,300
|
Ser. 2017-A, (AGM Insured), 5.00%, due 4/1/27
|
1,555
|
|||||
400
|
Ser. 2017-A, (AGM Insured), 5.00%, due 4/1/32
|
463
|
|||||
1,500
|
Los Alamitos Unified Sch. Dist. G.O. (Cap. Appreciation Bonds Sch. Facs. Dist. No. 1-2008 Election), Ser. 2013-E, 0.00%, due 8/1/43
|
1,290
|
(c)
|
||||
560
|
Placer Co. Wtr. Agcy. Cert. of Participation Ref. Rev., Ser. 2016, 4.00%, due 7/1/30
|
621
|
|||||
San Marcos Unified Sch. Dist. G.O. Cap. Appreciation (Election 2010)
|
|||||||
740
|
Ser. 2012-B, 0.00%, due 8/1/26
|
616
|
|||||
645
|
Ser. 2012-B, 0.00%, due 8/1/27
|
516
|
|||||
18,761
|
|||||||
Colorado 0.7%
|
|||||||
945
|
Colorado St. Ed. & Cultural Facs. Au. Rev. Ref. (Alexander Dawson Sch. Proj.), Ser. 2016, 5.00%, due 5/15/25
|
1,094
|
|||||
300
|
Westminster Cert. of Participation Ref., Ser. 2013, 4.00%, due 12/1/25
|
326
|
|||||
1,420
|
|||||||
Connecticut 2.6%
|
|||||||
3,000
|
Connecticut St. G.O., Ser. 2018-C, 4.00%, due 6/15/24
|
3,210
|
|||||
2,000
|
Connecticut St. Hlth. & Ed. Facs. Au. Rev. (Yale Univ.), Ser. 1997-T-2, 1.65%, due 7/1/29 Putable 2/3/20
|
1,998
|
|||||
5,208
|
|||||||
Delaware 0.6%
|
|||||||
Delaware St. Hlth. Facs. Au. Rev. (Beebe Med. Ctr.)
|
|||||||
610
|
Ser. 2018, 5.00%, due 6/1/27
|
700
|
|||||
500
|
Ser. 2018, 5.00%, due 6/1/28
|
575
|
|||||
1,275
|
|||||||
District of Columbia 0.4%
|
|||||||
Dist. of Columbia Rev. (Assoc. of American Med. College)
|
|||||||
460
|
Ser. 2011-A, 5.00%, due 10/1/21
|
496
|
|||||
350
|
Ser. 2011-A, 5.00%, due 10/1/22
|
386
|
|||||
882
|
|||||||
Florida 10.8%
|
|||||||
700
|
Cape Coral Spec. Obligation Ref. Rev., Ser. 2015, 4.00%, due 10/1/30
|
754
|
|||||
|
1,000
|
CityPlace Comm. Dev. Dist. Spec. Assessment Ref. Rev., Ser. 2012, 5.00%, due 5/1/26
|
|
1,120
|
|||
1,170
|
Florida St. Muni. Loan Council Rev., Ser. 2012, (AGM Insured), 4.00%, due 5/1/19
|
1,176
|
|||||
340
|
JEA Elec. Sys. Rev., Ser. 2013-A, 5.00%, due 10/1/29 Pre-Refunded 10/1/22
|
378
|
|||||
7,700
|
Martin Co. PCR Ref. (Florida Pwr. & Lt. Co. Proj.), Ser. 2000, 1.70%, due 7/15/22
|
7,700
|
(b)
|
||||
2,000
|
Miami-Dade Co. G.O. Ref., Ser. 2015-B, 4.00%, due 7/1/32
|
2,110
|
|||||
3,000
|
Miami-Dade Co. Wtr. & Swr. Sys. Rev. Ref., Ser. 2017-B, 5.00%, due 10/1/29
|
3,609
|
|||||
Port St. Lucie Research Facs. Rev. (Oregon Hlth. and Science Univ. Vaccine and Gene Therapy Institute Florida Corp. Proj.)
|
|||||||
1,155
|
Ser. 2010, 5.00%, due 5/1/22 Pre-Refunded 5/1/20
|
1,199
|
|||||
1,480
|
Ser. 2010, 5.00%, due 5/1/23 Pre-Refunded 5/1/20
|
1,537
|
|||||
2,040
|
Seminole Co. Sales Tax Rev. Ref., Ser. 2006-B, (National Public Finance Guarantee Corp. Insured), 5.25%, due 10/1/23
|
2,352
|
|||||
21,935
|
|||||||
Georgia 2.2%
|
|||||||
1,645
|
Bulloch Co. Dev. Au. Std. Hsg. Rev. Ref. (Georgia So. Univ. Hsg. Foundation One LLC), Ser. 2012, (AGM Insured), 5.00%, due 8/1/22
|
1,809
|
|||||
1,000
|
Forsyth Co. G.O. Ref., Ser. 2015-B, 5.00%, due 3/1/27
|
1,176
|
|||||
500
|
Monroe Co. Dev. Au. PCR Rev. (Georgia Pwr. Co. Plant-Scherer), Ser. 1995-1, 2.00%, due 7/1/25 Putable 6/13/19
|
500
|
|||||
Private Colleges & Univ. Au. Rev. (Savannah College of Art & Design, Inc.)
|
|||||||
290
|
Ser. 2014, 5.00%, due 4/1/22
|
316
|
|||||
540
|
Ser. 2014, 5.00%, due 4/1/25
|
611
|
|||||
4,412
|
|||||||
Illinois 7.2%
|
|||||||
1,400
|
Cook Co. Sch. Dist. Number 144 Prairie Hills G.O. (Ltd. Sch.), Ser. 2010-A, (AGM Insured), 5.25%, due 12/1/27 Pre-Refunded 12/1/20
|
1,487
|
|||||
1,000
|
Cook Co. Sch. Dist. Number 83 G.O. (Ref. Sch.), Ser. 2011-D, 5.13%, due 12/1/30 Pre-Refunded 12/1/21
|
1,093
|
|||||
750
|
Dekalb Kane LaSalle Cos. Comm. College Dist. Number 523 G.O., Ser. 2011-B, 0.00%, due 2/1/25
|
567
|
|||||
1,085
|
Illinois Fin. Au. Rev. (LOC Gov't Prog.-Brookfield Lagrange Park Sch. Dist. #95 Proj.), Ser. 2018, 4.00%, due 12/1/38
|
1,109
|
|||||
Illinois Fin. Au. Rev. (LOC Gov't Prog.-E Prairie Sch. Dist. # 73 Proj.)
|
|||||||
1,065
|
Ser. 2018, (BAM Insured), 5.00%, due 12/1/29
|
1,255
|
|||||
485
|
Ser. 2018, (BAM Insured), 4.00%, due 12/1/42
|
490
|
|||||
Illinois St. G.O.
|
|||||||
1,500
|
Ser. 2017-A, 5.00%, due 12/1/35
|
1,563
|
|||||
250
|
Ser. 2017-D, 5.00%, due 11/1/26
|
271
|
|||||
3,000
|
Ser. 2017-D, 5.00%, due 11/1/28
|
3,240
|
|||||
125
|
Illinois St. G.O. Ref., Ser. 2010, 5.00%, due 1/1/20
|
128
|
|||||
500
|
Sales Tax Securitization Corp. Rev. Ref., Ser. 2017-A, 5.00%, due 1/1/28
|
571
|
|||||
So. Illinois Univ. Cert. of Participation (Cap. Imp. Proj.)
|
|||||||
500
|
Ser. 2014-A1, (BAM Insured), 4.00%, due 2/15/26
|
530
|
|||||
500
|
Ser. 2014-A1, (BAM Insured), 5.00%, due 2/15/27
|
551
|
|||||
Springfield G.O.
|
|||||||
950
|
Ser. 2014, 4.25%, due 12/1/27
|
1,012
|
|||||
665
|
Ser. 2014, 5.00%, due 12/1/28
|
752
|
|||||
14,619
|
|||||||
Indiana 0.6%
|
|||||||
645
|
Indiana Hlth. Fac. Fin. Au. Rev. (Ascension Hlth. Sub. Credit), Ser. 2005-A-1, 2.80%, due 11/1/27 Putable 8/1/19
|
648
|
|||||
500
|
Indiana St. Muni. Pwr. Agcy. Ref. Rev., Ser. 2016-C, 5.00%, due 1/1/27
|
594
|
|||||
1,242
|
|||||||
Iowa 0.3%
|
|||||||
|
640
|
Iowa St. Fin. Au. Single Family Mtge. Rev. (Non Ace-Mtge.-Backed Sec. Prog.), Ser. 2017-C, (GNMA/FNMA/FHLMC Insured), 2.30%, due 1/1/26
|
|
638
|
|||
Kansas 0.8%
|
|||||||
Wichita City Sales Tax. Spec. Oblig. Rev. (River Dist. Stadium Star Bond Proj.)
|
|||||||
305
|
Ser. 2018, 5.00%, due 9/1/25
|
357
|
|||||
1,000
|
Ser. 2018, 5.00%, due 9/1/27
|
1,202
|
|||||
1,559
|
|||||||
Kentucky 1.7%
|
|||||||
2,000
|
Carroll Co. PCR Rev. ref. (KY Utils. Co. Proj.), Ser. 2016-A, 1.05%, due 9/1/42 Putable 9/1/19
|
1,989
|
|||||
1,470
|
Laurel Co. Judicial Ctr. Pub. Properties Corp. Ref. Rev. (Justice Center Proj.), Ser. 2015, 4.00%, due 3/1/24
|
1,588
|
|||||
3,577
|
|||||||
Louisiana 0.1%
|
|||||||
145
|
Monroe Sales & Use Tax Ref. Rev., Ser. 2012, 4.00%, due 7/1/23
|
152
|
|||||
Maryland 7.9%
|
|||||||
2,645
|
Anne Arundel Co. G.O., Ser. 2018, 5.00%, due 10/1/23
|
3,024
|
|||||
4,000
|
Charles Co. G.O. Ref. (Consol Pub. Imp.), Ser. 2017, 5.00%, due 10/1/23
|
4,575
|
|||||
2,500
|
Maryland St. Dept. of Trans. Ref. Rev. Ref., Ser. 2016, 4.00%, due 9/1/25
|
2,820
|
|||||
3,000
|
Maryland St. G.O. Ref., Ser. 2017-C, 5.00%, due 8/1/23
|
3,418
|
|||||
2,000
|
Montgomery Co. G.O., Ser. 2014-A, 5.00%, due 11/1/24
|
2,344
|
|||||
16,181
|
|||||||
Massachusetts 0.4%
|
|||||||
230
|
Boston Wtr. & Swr. Commission Rev., Ser. 1993-A, (National Public Finance Guarantee Corp. Insured), 5.25%, due 11/1/19
|
236
|
|||||
500
|
Massachusetts St. Dev. Fin. Agcy. Rev. (CareGroup Obligated Group), Ser. 2018-J2, 5.00%, due 7/1/53
|
539
|
|||||
775
|
|||||||
Michigan 1.4%
|
|||||||
1,000
|
Detroit Downtown Dev. Au. Tax Increment Rev. Ref. (Catalyst Dev. Proj.), Ser. 2018-A, (AGM Insured), 5.00%, due 7/1/29
|
1,099
|
|||||
1,830
|
Michigan St. Hsg. Dev. Au. Rev., Ser. 2016-B, 2.30%, due 6/1/25
|
1,834
|
|||||
2,933
|
|||||||
Minnesota 1.8%
|
|||||||
550
|
Minnesota St. G.O., Ser. 2015-A, 5.00%, due 8/1/29
|
645
|
|||||
1,080
|
Rochester G.O. (Lodging Tax), Ser. 2015-A, 5.00%, due 2/1/23
|
1,216
|
|||||
1,000
|
St. Paul Hsg. & Redev. Au. Hlth. Care Rev. Ref. (Fairview Hlth. Svcs. Obligated Group), Ser. 2017-A, 4.00%, due 11/15/43
|
1,004
|
|||||
755
|
Willmar G.O. Ref. (Rice Mem. Hosp. Proj.), Ser. 2012-A, 5.00%, due 2/1/19
|
755
|
|||||
3,620
|
|||||||
Mississippi 3.2%
|
|||||||
1,250
|
Mississippi Dev. Bank Spec. Oblig. (Madison Co. Hwy. Proj.), Ser. 2013-C, 5.00%, due 1/1/27
|
1,472
|
|||||
200
|
Mississippi St. Bus. Fin. Commission Gulf Opportunity Zone Rev. (Chevron U.S.A., Inc. Proj.), Ser. 2010-G, 1.60%, due 11/1/35
|
200
|
(b)
|
||||
1,325
|
Mississippi St. G.O. Ref., Ser. 2015-C, 5.00%, due 10/1/26
|
1,569
|
|||||
2,100
|
Warren Co. Gulf Opportunity Zone Rev. Ref. (Int'l Paper Co. Proj.), Ser. 2018, 2.90%, due 9/1/32 Putable 9/1/23
|
2,106
|
|||||
1,000
|
West Rankin Utils. Au. Rev., Ser. 2018, (AGM Insured), 5.00%, due 1/1/43
|
1,106
|
|||||
6,453
|
|||||||
Missouri 2.0%
|
|||||||
|
2,000
|
Missouri St. Hlth. & Ed. Facs. Au. Hlth. Fac. Rev. Ref. (SSM Hlth. Care Oblig.), Ser. 2018-C, 5.00%, due 6/1/36 Putable 6/1/23
|
|
2,193
|
|||
Missouri St. Hsg. Dev. Commission Single Family Mtge. Rev. (Non-AMT Spec. Homeownership Loan Prog.)
|
|||||||
865
|
Ser. 2014-A,(GNMA/FNMA/FHLMC Insured), 3.80%, due 11/1/34
|
877
|
|||||
1,015
|
Ser. 2014-A,(GNMA/FNMA/FHLMC Insured), 4.00%, due 11/1/39
|
1,026
|
|||||
4,096
|
|||||||
Nevada 0.4%
|
|||||||
750
|
Las Vegas Redev. Agcy. Tax Increment Rev., Ser. 2009-A, 7.50%, due 6/15/23 Pre-Refunded 6/15/19
|
766
|
|||||
New Jersey 4.3%
|
|||||||
150
|
Jersey City G.O. Ref., Ser. 2012, (AGM Insured), 4.00%, due 9/1/19
|
152
|
|||||
1,000
|
New Jersey Econ. Dev. Au. Rev., Ser. 2017-DDD, 5.00%, due 6/15/42
|
1,046
|
|||||
400
|
New Jersey Hlth. Care Fac. Fin. Au. Dept. Human Svc. Rev. (Greystone Park Psychiatric Hosp. Proj.), Ser. 2013-B, 5.00%, due 9/15/20
|
417
|
|||||
1,130
|
New Jersey Hlth. Care Fac. Fin. Au. Rev. (Inspira Hlth. Obligated Group), Ser. 2017-A, 5.00%, due 7/1/29
|
1,324
|
|||||
1,000
|
New Jersey Hlth. Care Facs. Fin. Au. Contract Rev. Ref. (Princeton Hlth. Care Sys.), Ser. 2017, 5.00%, due 10/1/26
|
1,133
|
|||||
1,000
|
New Jersey St. Trans. Trust Fund Au. Trans. Sys. Rev., Ser. 2006-A, 5.25%, due 12/15/19
|
1,028
|
|||||
2,000
|
New Jersey St. Trans. Trust Fund Au. Trans. Sys. Rev. Ref., Ser. 2018-A, 5.00%, due 12/15/28
|
2,273
|
|||||
1,000
|
New Jersey Trans. Trust Fund Au. Rev. (Federal Hwy. Reimbursement Notes), Ser. 2016-A-1, 5.00%, due 6/15/19
|
1,011
|
|||||
295
|
Union Co. Imp. Au. Rev. (Correctional Fac. Proj.), Ser. 2013, 4.00%, due 6/15/23
|
320
|
|||||
8,704
|
|||||||
New York 5.6%
|
|||||||
390
|
Albany Cap. Res. Corp. Ref. Rev. (Albany College of Pharmacy & Hlth. Sciences), Ser. 2014-A, 5.00%, due 12/1/26
|
440
|
|||||
650
|
Albany Co. G.O., Ser. 2012-B, 4.00%, due 11/1/22
|
675
|
|||||
1,140
|
Hempstead Town Local Dev. Corp. Rev. Ref. (Molloy College Proj.), Ser. 2017, 5.00%, due 7/1/29
|
1,299
|
|||||
Long Beach, G.O.
|
|||||||
335
|
Ser. 2014-A, (BAM Insured), 4.00%, due 11/15/21
|
353
|
|||||
520
|
Ser. 2014-A, (BAM Insured), 4.00%, due 11/15/23
|
562
|
|||||
1,000
|
MTA Hudson Rail Yards Trust Oblig. Rev., Ser. 2016-A, 5.00%, due 11/15/46
|
1,018
|
|||||
1,950
|
New York City Transitional Fin. Au. Rev. (Future Tax Secured), Subser. 2016-A-1, 4.00%, due 5/1/31
|
2,109
|
|||||
800
|
New York St. Dorm. Au. Personal Income Tax Rev., Ser. 2014-C, 5.00%, due 3/15/25
|
923
|
|||||
125
|
New York St. Dorm. Au. Personal Income Tax Rev. Ref., Ser. 2015-E, 5.00%, due 3/15/26
|
148
|
|||||
900
|
New York St. Dorm. Au. Sales Tax Rev., Ser. 2013-A, 5.00%, due 3/15/28
|
1,003
|
|||||
775
|
Niagara Falls G.O. Ref., Ser. 2016, 4.00%, due 5/15/19
|
779
|
|||||
1,000
|
Oneida Co. G.O., Ser. 2016, (BAM Insured), 2.00%, due 5/15/19
|
1,001
|
|||||
1,000
|
Utils. Debt Securitization Au. Rev., Ser. 2013-TE, 5.00%, due 12/15/28
|
1,138
|
|||||
11,448
|
|||||||
North Carolina 0.3%
|
|||||||
650
|
North Carolina St. Cap. Imp. Ltd. Oblig. (Annual Appropriation), Ser. 2009-A, 5.00%, due 5/1/19
|
655
|
|||||
Ohio 2.7%
|
|||||||
Ohio St. G.O.
|
|||||||
|
4,000
|
Ser. 2018-A, 5.00%, due 2/1/24
|
|
4,611
|
|||
850
|
Ser. 2018-A, 5.00%, due 6/15/24
|
988
|
|||||
5,599
|
|||||||
Oklahoma 2.7%
|
|||||||
2,000
|
Carter Co. Pub. Fac. Au. Ed. Fac. Lease Rev., Ser. 2018, 5.00%, due 9/1/29
|
2,336
|
|||||
1,000
|
Cleveland Co. Ed. Facs. Au. Lease Rev. (Moore Pub. Sch. Proj.), Ser. 2016, 5.00%, due 6/1/19
|
1,011
|
|||||
675
|
Cleveland Co. Ed. Facs. Au. Lease Rev. Ref. (Noble Pub. Sch. Proj.), Ser. 2017, 5.00%, due 9/1/31
|
779
|
|||||
1,350
|
Tulsa Co. Independent Sch. Dist. No. 9 Union Board of Ed. G.O., Ser. 2016, 1.50%, due 4/1/19
|
1,349
|
|||||
5,475
|
|||||||
Oregon 0.8%
|
|||||||
1,430
|
Portland Comm. College Dist. G.O., Ser. 2013, 5.00%, due 6/15/23
|
1,624
|
|||||
Pennsylvania 7.0%
|
|||||||
Berks Co. Ind. Dev. Au. Hlth. Sys. Rev. Ref. (Tower Hlth. Proj.)
|
|||||||
2,000
|
Ser. 2017, 5.00%, due 11/1/28
|
2,327
|
|||||
1,000
|
Ser. 2017, 5.00%, due 11/1/29
|
1,155
|
|||||
Lackawanna Co. Ind. Dev. Au. Rev. Ref. (Univ. of Scranton)
|
|||||||
940
|
Ser. 2017, 5.00%, due 11/1/28
|
1,094
|
|||||
600
|
Ser. 2017, 5.00%, due 11/1/29
|
694
|
|||||
500
|
Ser. 2017, 5.00%, due 11/1/30
|
574
|
|||||
Luzerne Co. G. O. Ref.
|
|||||||
500
|
Ser. 2017-A, (AGM Insured), 5.00%, due 12/15/25
|
574
|
|||||
500
|
Ser. 2017-A, (AGM Insured), 5.00%, due 12/15/26
|
579
|
|||||
400
|
Ser. 2017-A, (AGM Insured), 5.00%, due 12/15/27
|
465
|
|||||
300
|
Ser. 2017-B, (AGM Insured), 5.00%, due 12/15/25
|
344
|
|||||
170
|
Ser. 2017-B, (AGM Insured), 5.00%, due 12/15/26
|
197
|
|||||
Luzerne Co. Ind. Dev. Au. Lease Rev. Ref. Gtd.
|
|||||||
550
|
Ser. 2017, (AGM Insured), 5.00%, due 12/15/25
|
624
|
|||||
525
|
Ser. 2017, (AGM Insured), 5.00%, due 12/15/26
|
593
|
|||||
250
|
Ser. 2017, (AGM Insured), 5.00%, due 12/15/27
|
282
|
|||||
1,000
|
Pennsylvania St. G.O., Ser. 2015, 5.00%, due 3/15/29
|
1,145
|
|||||
225
|
Pennsylvania St. Ref. G.O., Ser. 2016, 5.00%, due 9/15/26
|
266
|
|||||
2,065
|
Pennsylvania St. Turnpike Commission Rev. Ref., Ser. 2016, 5.00%, due 6/1/27
|
2,365
|
|||||
750
|
Southeastern Trans. Au. Rev. Ref., Ser. 2017, 5.00%, due 3/1/28
|
909
|
|||||
14,187
|
|||||||
Rhode Island 2.2%
|
|||||||
500
|
Providence Redev. Agcy. Ref. Rev., Ser. 2015-A, 5.00%, due 4/1/22
|
539
|
|||||
Rhode Island Commerce Corp. Spec. Fac. Rev. Ref. (1st Lien - Rhode Island Arpt. Corp. Int'l Fac. Proj.)
|
|||||||
1,170
|
Ser. 2018, 5.00%, due 7/1/28
|
1,374
|
|||||
645
|
Ser. 2018, (BAM-TCRS Insured), 5.00%, due 7/1/34
|
733
|
|||||
Rhode Island St. Hlth. & Ed. Bldg. Corp. Pub. Sch. Rev. Ref.
|
|||||||
500
|
Ser. 2017-A, (AGM Insured), 5.00%, due 5/15/24
|
566
|
|||||
400
|
Ser. 2017-A, (AGM Insured), 5.00%, due 5/15/25
|
460
|
|||||
625
|
Rhode Island St. Hlth. & Ed. Bldg. Corp. Rev. (Providence Pub. Sch. Prog.), Ser. 2013-A, 5.00%, due 5/15/22
|
683
|
|||||
200
|
Rhode Island St. Std. Loan Au. Std. Loan Rev. (Sr. Prog.), Ser. 2010-A, 4.40%, due 12/1/19
|
200
|
|||||
4,555
|
|||||||
South Carolina 1.1%
|
|||||||
|
2,000
|
South Carolina St. Pub. Svc. Au. Oblig. Rev. Ref., Ser. 2014-C, 5.00%, due 12/1/28
|
|
2,208
|
|||
Tennessee 0.4%
|
|||||||
700
|
Greeneville Hlth. & Ed. Facs. Board Hosp. Rev. Ref. (Ballad Hlth. Obligated Group), Ser. 2018-A, 5.00%, due 7/1/32
|
755
|
|||||
Texas 7.8%
|
|||||||
1,650
|
Bexar Co. G.O. (Cert. Oblig.), Ser. 2013-B, 5.00%, due 6/15/22
|
1,828
|
|||||
2,700
|
Dallas Co. G.O. (Cert. Oblig.), Ser. 2016, 5.00%, due 8/15/23
|
3,067
|
|||||
400
|
Gulf Coast Waste Disp. Au. Rev. (Bayport Area Sys.), Ser. 2013, (AGM Insured), 3.00%, due 10/1/26
|
409
|
|||||
800
|
Houston Wtr. & Swr. Sys. Jr. Lien Ref. Rev., Ser. 2001-B, (National Public Finance Guarantee Corp. Insured), 5.50%, due 12/1/24
|
931
|
|||||
1,250
|
La Joya Independent Sch. Dist. Ref. G.O., Ser. 2013, (PSF-GTD Insured), 5.00%, due 2/15/33
|
1,472
|
|||||
1,250
|
Laredo Independent Sch. Dist. G.O. (Sch. Bldg.), Ser. 2013, 5.00%, due 8/1/27
|
1,397
|
|||||
100
|
Lower Neches Valley Au. Ind. Dev. Corp. Rev. Ref. (Exxon Mobil Proj.), Ser. 2001-A, 1.60%, due 11/1/29
|
100
|
(b)
|
||||
500
|
McKinney G.O., Ser. 2014, 5.00%, due 8/15/24
|
581
|
|||||
1,430
|
Midlothian Ref. G.O., Ser. 2016, 2.00%, due 8/15/19
|
1,433
|
|||||
New Hope Cultural Ed. Facs. Fin. Corp. Std. Hsg. Rev. (Collegiate Hsg. College Sta. I LLC)
|
|||||||
160
|
Ser. 2014-A, (AGM Insured), 4.00%, due 4/1/20
|
163
|
|||||
200
|
Ser. 2014-A, (AGM Insured), 4.00%, due 4/1/21
|
207
|
|||||
200
|
Ser. 2014-A, (AGM Insured), 4.00%, due 4/1/22
|
210
|
|||||
125
|
Ser. 2014-A, (AGM Insured), 4.00%, due 4/1/23
|
133
|
|||||
220
|
Ser. 2014-A, (AGM Insured), 4.00%, due 4/1/24
|
236
|
|||||
1,900
|
North Tollway Au. First Tier Rev. Ref., Ser. 2017-A, 5.00%, due 1/1/43
|
2,137
|
|||||
1,290
|
Pampa Independent Sch. Dist. G.O. Ref., (PSF-GTD Insured), Ser. 2016, 5.00%, due 8/15/32
|
1,481
|
|||||
50
|
Texas Pub. Fin. Au. Rev. (So. Univ. Fin. Sys.), Ser. 2013, (BAM Insured), 5.00%, due 11/1/20
|
52
|
|||||
15,837
|
|||||||
Utah 1.6%
|
|||||||
Midvale Redev. Agcy. Tax Increment & Sales Tax Rev.
|
|||||||
660
|
Ser. 2018, 5.00%, due 5/1/32
|
771
|
|||||
695
|
Ser. 2018, 5.00%, due 5/1/33
|
805
|
|||||
480
|
Ser. 2018, 5.00%, due 5/1/34
|
553
|
|||||
990
|
Weber Co. Spec. Assessment (Summit Mountain Assessment Area), Ser. 2013, 5.50%, due 1/15/28
|
1,121
|
|||||
3,250
|
|||||||
Vermont 0.3%
|
|||||||
685
|
Burlington Elec. Sys. Rev., Ser. 2014-A, (AGM Insured), 3.63%, due 7/1/29
|
715
|
|||||
Virginia 1.2%
|
|||||||
2,000
|
Henrico Co. Wtr. & Swr. Ref. Rev., Ser. 2016, 5.00%, due 5/1/27
|
2,391
|
|||||
Washington 3.2%
|
|||||||
Kent Ref. G.O.
|
|||||||
|
900
|
Ser. 2016, 4.00%, due 12/1/29
|
|
991
|
|||
1,000
|
Ser. 2016, 4.00%, due 12/1/30
|
1,087
|
|||||
North Thurston Pub. Sch. G.O.
|
|||||||
215
|
Ser. 2016, 4.00%, due 12/1/28
|
238
|
|||||
250
|
Ser. 2016, 4.00%, due 12/1/29
|
274
|
|||||
375
|
Ser. 2016, 4.00%, due 12/1/30
|
407
|
|||||
1,000
|
Washington St. Hlth. Care Fac. Au. Rev. Ref. (Virginia Mason Med. Ctr.), Ser. 2017, 5.00%, due 8/15/26
|
1,138
|
|||||
320
|
Washington St. Ref. G.O., Ser. 2016-B, 5.00%, due 7/1/26
|
381
|
|||||
Whitman Co. Sch. Dist. No. 267 Pullman G.O.
|
|||||||
800
|
Ser. 2016, 4.00%, due 12/1/29
|
873
|
|||||
975
|
Ser. 2016, 4.00%, due 12/1/30
|
1,056
|
|||||
6,445
|
|||||||
West Virginia 0.9%
|
|||||||
1,000
|
West Virginia Hosp. Fin. Au. Rev. (Impt. West Virginia Univ. Hlth. Sys. Obligated Group), Ser. 2018-A, 5.00%, due 6/1/52
|
1,072
|
|||||
700
|
West Virginia Hosp. Fin. Au. Rev. Ref. (Cabell Huntington Hosp. Obligated Group), Ser. 2018-A, 5.00%, due 1/1/29
|
823
|
|||||
1,895
|
|||||||
Wisconsin 0.8%
|
|||||||
470
|
Pub. Fin. Au. Lease Dev. Rev. (Central Dist. Dev. Proj.), Ser. 2016, 5.00%, due 3/1/32
|
532
|
|||||
1,000
|
Wisconsin St. Hlth. & Ed. Facs. Au. Rev. Ref. (Ascension Health Credit Group), Ser. 2016-A, 4.00%, due 11/15/39
|
1,019
|
|||||
1,551
|
|||||||
Total Investments 99.1% (Cost $200,000)
|
201,765
|
||||||
Other Assets Less Liabilities 0.9%
|
1,879
|
||||||
Net Assets 100.0%
|
$203,644
|
(a)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2019, these securities amounted to approximately $7,000,000, which represents 3.4% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
|
|
(b)
|
Variable rate demand obligation where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate generally resets daily or weekly and is determined by the remarketing agent. The rate shown represents the rate in effect at January 31, 2019.
|
|
(c)
|
Currently a zero coupon security; will convert to 6.04% on August 1, 2026.
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2019:
|
Asset Valuation Inputs
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments:
|
||||||||||||||||
Municipal Notes(a)
|
$
|
—
|
$
|
201,765
|
$
|
—
|
$
|
201,765
|
||||||||
Total Investments
|
$
|
—
|
$
|
201,765
|
$
|
—
|
$
|
201,765
|
PRINCIPAL
AMOUNT |
VALUE†
|
||||||
(000's omitted)
|
(000's omitted)
|
||||||
U.S. Treasury Obligations 12.9%
|
|||||||
U.S. Treasury Notes
|
|||||||
$
|
5,515
|
2.75%, due 9/30/20 – 8/15/21
|
$
|
5,541
|
|||
2,070
|
2.50%, due 12/31/20
|
2,071
|
|||||
2,080
|
2.63%, due 7/15/21 – 12/15/21
|
2,090
|
|||||
2,000
|
2.88%, due 10/15/21
|
2,022
|
|||||
Total U.S. Treasury Obligations (Cost $11,394)
|
11,724
|
||||||
Mortgage-Backed Securities 21.9%
|
|||||||
Collateralized Mortgage Obligations 0.1%
|
|||||||
63
|
Harborview Mortgage Loan Trust, Ser. 2004-4, Class 3A, (1 month USD LIBOR + 1.13%), 3.64%, due 6/19/34
|
61
|
(a)
|
||||
Commercial Mortgage-Backed 19.6%
|
|||||||
708
|
Banc of America Commercial Mortgage Trust, Ser. 2017-BNK3, Class A1, 1.96%, due 2/15/50
|
698
|
|||||
494
|
BBCMS Mortgage Trust, Ser. 2017-C1, Class A1, 2.01%, due 2/15/50
|
486
|
|||||
CD Mortgage Trust
|
|||||||
575
|
Ser. 2016-CD1, Class A1, 1.44%, due 8/10/49
|
564
|
|||||
339
|
Ser. 2017-CD3, Class A1, 1.97%, due 2/10/50
|
335
|
|||||
1,829
|
Ser. 2017-CD5, Class A1, 2.03%, due 8/15/50
|
1,800
|
|||||
Citigroup Commercial Mortgage Trust
|
|||||||
873
|
Ser. 2012-GC8, Class AAB, 2.61%, due 9/10/45
|
867
|
|||||
564
|
Ser. 2016-C2, Class A1, 1.50%, due 8/10/49
|
553
|
|||||
1,028
|
Ser. 2018-C5, Class A1, 3.13%, due 6/10/51
|
1,033
|
|||||
Commercial Mortgage Pass-Through Certificates
|
|||||||
186
|
Ser. 2015-CR25, Class A1, 1.74%, due 8/10/48
|
184
|
|||||
428
|
Ser. 2016-CR28, Class A1, 1.77%, due 2/10/49
|
424
|
|||||
130
|
Ser. 2015-PC1, Class A1, 1.67%, due 7/10/50
|
129
|
|||||
817
|
CSAIL Commercial Mortgage Trust, Ser. 2017-CX10, Class A1, 2.23%, due 11/15/50
|
804
|
|||||
496
|
DBJPM Mortgage Trust, Ser. 2016-C3, Class A1, 1.50%, due 8/10/49
|
487
|
|||||
168
|
GS Mortgage Securities Trust, Ser. 2015-GS1, Class A1, 1.94%, due 11/10/48
|
166
|
|||||
717
|
JP Morgan Chase Commercial Mortgage Securities Trust, Ser. 2013-LC11, Class ASB, 2.55%, due 4/15/46
|
710
|
|||||
JPMBB Commercial Mortgage Securities Trust
|
|||||||
1,180
|
Ser. 2013-C12, Class ASB, 3.16%, due 7/15/45
|
1,181
|
|||||
337
|
Ser. 2015-C27, Class ASB, 3.02%, due 2/15/48
|
336
|
|||||
1,356
|
Ladder Capital Commercial Mortgage Securities LLC, Ser. 2017-LC26, Class A1, 1.98%, due 7/12/50
|
1,336
|
(b)
|
||||
Morgan Stanley Bank of America Merrill Lynch Trust
|
|||||||
326
|
Ser. 2016-C28, Class A1, 1.53%, due 1/15/49
|
322
|
|||||
738
|
Ser. 2017-C33, Class A1, 2.03%, due 5/15/50
|
728
|
|||||
367
|
SG Commercial Mortgage Securities Trust, Ser. 2016-C5, Class A1, 1.35%, due 10/10/48
|
360
|
|||||
Wells Fargo Commercial Mortgage Trust
|
|||||||
179
|
Ser. 2015-P2, Class A1, 1.97%, due 12/15/48
|
178
|
|||||
785
|
Ser. 2016-NXS6, Class A1, 1.42%, due 11/15/49
|
772
|
|||||
825
|
Ser. 2017-C39, Class A1, 1.98%, due 9/15/50
|
811
|
|||||
1,604
|
Ser. 2018-C45, Class A1, 3.13%, due 6/15/51
|
1,613
|
|||||
479
|
Ser. 2016-NXS5, Class A1, 1.56%, due 1/15/59
|
473
|
|||||
574
|
Ser. 2016-C32, Class A1, 1.58%, due 1/15/59
|
567
|
|||||
17,917
|
|||||||
Fannie Mae 1.2%
|
|||||||
Pass-Through Certificates
|
|||||||
|
231
|
3.50%, due 10/1/25
|
|
235
|
|||
517
|
3.00%, due 9/1/27
|
519
|
|||||
329
|
4.50%, due 4/1/39 – 5/1/44
|
344
|
|||||
1,098
|
|||||||
Freddie Mac 1.0%
|
|||||||
Pass-Through Certificates
|
|||||||
266
|
3.50%, due 5/1/26
|
271
|
|||||
383
|
3.00%, due 1/1/27
|
385
|
|||||
225
|
4.50%, due 11/1/39
|
237
|
|||||
893
|
|||||||
Total Mortgage-Backed Securities (Cost $20,195)
|
19,969
|
||||||
Corporate Bonds 50.3%
|
|||||||
Aerospace & Defense 1.1%
|
|||||||
650
|
General Dynamics Corp., (3 month USD LIBOR + 0.38%), 3.00%, due 5/11/21
|
650
|
(a)
|
||||
395
|
United Technologies Corp., 3.35%, due 8/16/21
|
399
|
|||||
1,049
|
|||||||
Agriculture 1.6%
|
|||||||
1,515
|
BAT Capital Corp., 2.30%, due 8/14/20
|
1,495
|
|||||
Auto Manufacturers 3.3%
|
|||||||
390
|
Daimler Finance N.A. LLC, 1.50%, due 7/5/19
|
388
|
(b)
|
||||
810
|
Harley-Davidson Financial Services, Inc., (3 month USD LIBOR + 0.50%), 3.15%, due 5/21/20
|
810
|
(a)(b)
|
||||
1,840
|
Volkswagen Group of America Finance LLC, (3 month USD LIBOR + 0.77%), 3.39%, due 11/13/20
|
1,839
|
(a)(b)
|
||||
3,037
|
|||||||
Banks 17.3%
|
|||||||
1,675
|
Bank of America Corp., 5.63%, due 7/1/20
|
1,740
|
|||||
2,025
|
Citigroup, Inc., 2.45%, due 1/10/20
|
2,016
|
|||||
1,750
|
Goldman Sachs Group, Inc., 5.25%, due 7/27/21
|
1,835
|
|||||
850
|
HSBC Holdings PLC, (3 month USD LIBOR + 0.60%), 3.24%, due 5/18/21
|
849
|
(a)
|
||||
1,610
|
JPMorgan Chase & Co., 4.40%, due 7/22/20
|
1,643
|
|||||
1,500
|
Morgan Stanley, 5.75%, due 1/25/21
|
1,575
|
|||||
1,250
|
National Australia Bank Ltd., 3.70%, due 11/4/21
|
1,264
|
|||||
1,235
|
Santander UK PLC, 2.50%, due 1/5/21
|
1,215
|
|||||
795
|
Sumitomo Mitsui Banking Corp., 2.51%, due 1/17/20
|
792
|
|||||
985
|
Toronto-Dominion Bank, 3.25%, due 6/11/21
|
992
|
|||||
900
|
Wells Fargo Bank N.A., (3 month USD LIBOR + 0.49%), 3.33%, due 7/23/21
|
903
|
(a)
|
||||
915
|
Westpac Banking Corp., 2.15%, due 3/6/20
|
908
|
|||||
15,732
|
|||||||
Beverages 1.8%
|
|||||||
623
|
Anheuser-Busch InBev Finance, Inc., 2.65%, due 2/1/21
|
620
|
|||||
1,000
|
Diageo Capital PLC, (3 month USD LIBOR + 0.24%), 2.88%, due 5/18/20
|
999
|
(a)
|
||||
1,619
|
|||||||
Commercial Services 1.5%
|
|||||||
1,335
|
ERAC USA Finance LLC, 5.25%, due 10/1/20
|
1,378
|
(b)
|
||||
Diversified Financial Services 3.9%
|
|||||||
675
|
AIG Global Funding, 2.15%, due 7/2/20
|
668
|
(b)
|
||||
1,525
|
American Express Co., 2.20%, due 10/30/20
|
1,507
|
|||||
|
1,380
|
Capital One Financial Corp., 2.50%, due 5/12/20
|
1,370
|
||||
3,545
|
|||||||
Electric 2.5%
|
|||||||
1,060
|
Pennsylvania Electric Co., 5.20%, due 4/1/20
|
|
1,086
|
||||
Sempra Energy
|
|||||||
810
|
(3 month USD LIBOR + 0.25%), 3.04%, due 7/15/19
|
808
|
(a)
|
||||
390
|
2.40%, due 2/1/20
|
386
|
|||||
2,280
|
|||||||
Media 3.4%
|
|||||||
800
|
Charter Communications Operating LLC/Charter Communications Operating Capital, 3.58%, due 7/23/20
|
802
|
|||||
580
|
Comcast Corp., (3 month USD LIBOR + 0.44%), 3.24%, due 10/1/21
|
580
|
(a)
|
||||
585
|
Discovery Communications LLC, 2.20%, due 9/20/19
|
581
|
|||||
545
|
Fox Corp., 3.67%, due 1/25/22
|
551
|
(b)
|
||||
555
|
Walt Disney Co., (3 month USD LIBOR + 0.19%), 2.94%, due 6/5/20
|
555
|
(a)
|
||||
3,069
|
|||||||
Oil & Gas 1.8%
|
|||||||
835
|
BP AMI Leasing, Inc., 5.52%, due 5/8/19
|
839
|
(b)
|
||||
815
|
BP Capital Markets PLC, 3.56%, due 11/1/21
|
828
|
|||||
1,667
|
|||||||
Pharmaceuticals 5.9%
|
|||||||
1,235
|
AbbVie, Inc., 2.50%, due 5/14/20
|
1,228
|
|||||
1,385
|
Cigna Corp, Inc., 3.20%, due 9/17/20
|
1,387
|
(b)
|
||||
900
|
CVS Health Corp., 2.80%, due 7/20/20
|
897
|
|||||
1,000
|
GlaxoSmithKline Capital PLC, (3 month USD LIBOR + 0.35%), 2.96%, due 5/14/21
|
997
|
(a)
|
||||
209
|
Mylan NV, 2.50%, due 6/7/19
|
208
|
|||||
640
|
Shire Acquisitions Investments Ireland DAC, 1.90%, due 9/23/19
|
635
|
|||||
5,352
|
|||||||
Pipelines 1.3%
|
|||||||
1,180
|
Enterprise Products Operating LLC, 2.80%, due 2/15/21
|
1,176
|
|||||
Retail 1.0%
|
|||||||
925
|
Walmart, Inc., (3 month USD LIBOR + 0.23%), 3.05%, due 6/23/21
|
927
|
(a)
|
||||
Telecommunications 3.9%
|
|||||||
1,715
|
AT&T, Inc., 2.80%, due 2/17/21
|
1,706
|
|||||
571
|
Cisco Systems, Inc., (3 month USD LIBOR + 0.50%), 3.24%, due 3/1/19
|
571
|
(a)
|
||||
1,210
|
Verizon Communications, Inc., 4.60%, due 4/1/21
|
1,252
|
|||||
3,529
|
|||||||
Total Corporate Bonds (Cost $46,235)
|
45,855
|
||||||
Asset-Backed Securities 9.1%
|
|||||||
565
|
Ally Auto Receivables Trust, Ser. 2018-1, Class A3, 2.35%, due 6/15/22
|
561
|
|||||
1,570
|
American Express Credit Account Master Trust, Ser. 2018-1, Class A, 2.67%, due 10/17/22
|
1,567
|
|||||
1,200
|
Bank of America Credit Card Trust, Ser. 2018-A3, Class A3, 3.10%, due 12/15/23
|
1,209
|
|||||
73
|
Canadian Pacer Auto Receivables Trust, Ser. 2017-1A, Class A2A, 1.77%, due 12/19/19
|
73
|
(b)
|
||||
Capital One Multi-Asset Execution Trust
|
|||||||
|
1,200
|
Ser. 2016-A3, Class A3, 1.34%, due 4/15/22
|
|
1,193
|
|||
1,030
|
Ser. 2014-A4, Class A4, (1 month USD LIBOR + 0.36%), 2.87%, due 6/15/22
|
1,031
|
(a)
|
||||
1,050
|
Chase Issuance Trust, Ser. 2016-A5, Class A5, 1.27%, due 7/15/21
|
1,043
|
|||||
476
|
GM Financial Consumer Automobile Receivables Trust, Ser. 2017-3A, Class A2A, 1.71%, due 9/16/20
|
475
|
(b)
|
||||
329
|
Nissan Auto Receivables Owner Trust, Ser. 2016-C, Class A3, 1.18%, due 1/15/21
|
327
|
|||||
565
|
Toyota Auto Receivables Owner Trust, Ser. 2018-A, Class A3, 2.35%, due 5/16/22
|
561
|
|||||
277
|
Verizon Owner Trust, Ser. 2016-1A, Class A, 1.42%, due 1/20/21
|
276
|
(b)
|
||||
Total Asset-Backed Securities (Cost $8,337)
|
8,316
|
||||||
NUMBER OF
SHARES |
|||||||
Short-Term Investments 5.3%
|
|||||||
Investment Companies 5.3%
|
|||||||
4,860,132
|
State Street Institutional U.S. Government Money Market Fund Premier Class, 2.32%(c) (Cost $4,860)
|
4,860
|
(d)
|
||||
Total Investments 99.5% (Cost $91,021)
|
90,724
|
||||||
Other Assets Less Liabilities 0.5%
|
473
|
(e)
|
|||||
Net Assets 100.0%
|
$91,197
|
(a)
|
Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2019 and changes periodically.
|
|
(b)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2019, these securities amounted to approximately $10,020,000, which represents 11.0% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
|
|
(c)
|
Represents 7-day effective yield as of January 31, 2019.
|
|
(d)
|
All or a portion of this security is segregated in connection with obligations for futures with a total value of approximately $4,860,000.
|
|
(e)
|
Includes the impact of the Fund's open positions in derivatives at January 31, 2019.
|
Futures contracts ("futures")
|
At January 31, 2019, open positions in futures for the Fund were as follows:
|
Long Futures:
|
Expiration Date
|
Number of
Contracts |
Open Contracts
|
Notional
Amount |
Value and
Unrealized Appreciation/ (Depreciation) |
|||||
3/2019
|
122
|
U.S. Treasury Note, 2 Year
|
$
|
25,904,031
|
$
|
126,141
|
|||
Total Futures
|
$
|
25,904,031
|
$
|
126,141
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2019:
|
Asset Valuation Inputs
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments:
|
||||||||||||||||
U.S. Treasury Obligations
|
$
|
—
|
$
|
11,724
|
$
|
—
|
$
|
11,724
|
||||||||
Mortgage-Backed Securities(a)
|
—
|
19,969
|
—
|
19,969
|
||||||||||||
Corporate Bonds(a)
|
—
|
45,855
|
—
|
45,855
|
||||||||||||
Asset-Backed Securities
|
—
|
8,316
|
—
|
8,316
|
||||||||||||
Short-Term Investments
|
—
|
4,860
|
—
|
4,860
|
||||||||||||
Total Investments
|
$
|
—
|
$
|
90,724
|
$
|
—
|
$
|
90,724
|
(a)
|
The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of January 31, 2019:
|
Other Financial Instruments
|
(000's omitted)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Assets
|
||||||||||||||||
Futures(a)
|
||||||||||||||||
Assets
|
$
|
126
|
$
|
—
|
$
|
—
|
$
|
126
|
||||||||
Total
|
$
|
126
|
$
|
—
|
$
|
—
|
$
|
126
|
(a)
|
Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
|
PRINCIPAL
AMOUNT |
VALUE†
|
||||||
(000's omitted)
|
(000's omitted)
|
||||||
Loan Assignments(a) 7.1%
|
|||||||
Building & Development 0.4%
|
|||||||
219
|
Jeld-Wen Inc., First Lien Term Loan, (3 month USD LIBOR + 2.00%), 4.80%, due 12/14/24
|
$
|
213
|
||||
70
|
Realogy Corporation, Term Loan B, (1 month USD LIBOR + 2.25%), 4.76%, due 2/8/25
|
68
|
|||||
281
|
|||||||
Business Equipment & Services 1.0%
|
|||||||
399
|
Protection One, First Lien Term Loan, (1 month USD LIBOR + 2.75%), 5.25%, due 5/2/22
|
393
|
|||||
86
|
Servicemaster Company, Term Loan B, (1 month USD LIBOR + 2.50%), 5.00%, due 11/8/23
|
85
|
|||||
203
|
West, Term Loan, (1 month USD LIBOR + 4.00%), 6.50%, due 10/10/24
|
186
|
|||||
664
|
|||||||
Cable & Satellite Television 0.4%
|
|||||||
284
|
Altice France S.A., Term Loan B13, (1 month USD LIBOR + 4.00%), 6.51%, due 8/14/26
|
268
|
|||||
Chemicals & Plastics 0.1%
|
|||||||
64
|
Starfruit Finco B.V., Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 10/1/25
|
62
|
|||||
Containers & Glass Products 0.6%
|
|||||||
80
|
Berlin Packaging LLC, First Lien Term Loan, (USD LIBOR + 3.00%), 5.51%, due 11/7/25
|
77
|
(b)
|
||||
349
|
BWAY Corporation, Term Loan B, (3 month USD LIBOR + 3.25%), 6.03%, due 4/3/24
|
336
|
|||||
413
|
|||||||
Diversified Insurance 0.2%
|
|||||||
145
|
Sedgwick Claims Management Services, Inc., Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 12/31/25
|
141
|
|||||
Drugs 0.5%
|
|||||||
34
|
Bausch Health Companies Inc., Term Loan B, (1 month USD LIBOR + 2.75%), 5.26%, due 11/27/25
|
33
|
|||||
214
|
Endo Luxembourg Finance Company I S.a.r.l., Term Loan B, (1 month USD LIBOR + 4.25%), 6.75%, due 4/29/24
|
212
|
|||||
38
|
Valeant Pharmaceuticals International, Inc., Term Loan B, (1 month USD LIBOR + 3.00%), 5.51%, due 6/2/25
|
38
|
|||||
283
|
|||||||
Electronics - Electrical 0.4%
|
|||||||
186
|
Rackspace Hosting, Inc., First Lien Term Loan, (3 month USD LIBOR + 3.00%), 5.58%, due 11/3/23
|
172
|
|||||
21
|
SS&C Technologies Holdings Europe S.A.R.L., Term Loan B4, (1 month USD LIBOR + 2.25%), 4.75%, due 4/16/25
|
20
|
|||||
SS&C Technologies Inc.
|
|||||||
54
|
Term Loan B3, (1 month USD LIBOR + 2.25%), 4.75%, due 4/16/25
|
53
|
|||||
10
|
Term Loan B5, (1 month USD LIBOR + 2.25%), 4.75%, due 4/16/25
|
10
|
|||||
255
|
|||||||
Food Service 0.1%
|
|||||||
38
|
Welbilt, Inc., Term Loan B, (1 month USD LIBOR + 2.50%), 5.00%, due 10/23/25
|
37
|
|||||
Health Care 0.3%
|
|||||||
240
|
Team Health, Inc., First Lien Term Loan, (1 month USD LIBOR + 2.75%), 5.25%, due 2/6/24
|
216
|
(c)
|
||||
Leisure Goods - Activities - Movies 0.3%
|
|||||||
|
204
|
Seaworld, Term Loan B5, (1 month USD LIBOR + 3.00%), 5.50%, due 3/31/24
|
|
200
|
|||
Lodging & Casinos 1.7%
|
|||||||
131
|
Boyd Gaming Corporation, Term Loan B3, (1 week USD LIBOR + 2.25%), 4.66%, due 9/15/23
|
129
|
(d)(e)
|
||||
219
|
Caesars Resort Collection, LLC, First Lien Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 12/22/24
|
216
|
|||||
220
|
Eldorado Resorts, Term Loan B, (USD LIBOR + 2.25%), 4.81%, due 4/17/24
|
217
|
|||||
Mohegan Tribal Gaming
|
|||||||
63
|
Term Loan A, (1 month USD LIBOR + 3.75%), 6.25%, due 10/13/21
|
60
|
|||||
85
|
Term Loan B, (1 month USD LIBOR + 4.00%), 6.50%, due 10/13/23
|
78
|
|||||
280
|
Station Casinos, Term Loan B, (1 month USD LIBOR + 2.50%), 5.00%, due 6/8/23
|
276
|
|||||
127
|
Twin Rivers Casino, Term Loan B, (3 month USD LIBOR + 3.50%), 6.30%, due 7/10/20
|
126
|
|||||
1,102
|
|||||||
Retailers (except food & drug) 0.6%
|
|||||||
300
|
Bass Pro Shops, Term Loan B, (1 month USD LIBOR + 5.00%), 7.50%, due 9/25/24
|
296
|
|||||
91
|
CDW LLC, Term Loan B, (1 month USD LIBOR + 1.75%), 4.25%, due 8/17/23
|
90
|
|||||
386
|
|||||||
Telecommunications 0.4%
|
|||||||
219
|
Centurylink, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 1/31/25
|
210
|
|||||
65
|
Syniverse Holdings, Inc., First Lien Term Loan, (1 month USD LIBOR + 5.00%), 7.51%, due 3/9/23
|
58
|
|||||
268
|
|||||||
Utilities 0.1%
|
|||||||
54
|
Texas Competitive, Term Loan B2, (1 month USD LIBOR + 2.25%), 4.75%, due 12/14/23
|
53
|
|||||
Total Loan Assignments (Cost $4,700)
|
4,629
|
||||||
Corporate Bonds 89.6%
|
|||||||
Advertising 2.9%
|
|||||||
100
|
Clear Channel Worldwide Holdings, Inc., Ser. A, 6.50%, due 11/15/22
|
102
|
|||||
360
|
Nielsen Co. Luxembourg SARL, 5.50%, due 10/1/21
|
363
|
(f)
|
||||
Nielsen Finance LLC/Nielsen Finance Co.
|
|||||||
620
|
4.50%, due 10/1/20
|
619
|
|||||
565
|
5.00%, due 4/15/22
|
564
|
(f)
|
||||
265
|
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.63%, due 2/15/24
|
268
|
|||||
1,916
|
|||||||
Auto Parts & Equipment 0.6%
|
|||||||
85
|
American Axle & Manufacturing, Inc., 7.75%, due 11/15/19
|
87
|
|||||
200
|
IHO Verwaltungs GmbH, (4.13% Cash/4.88% PIK), 4.13%, due 9/15/21
|
195
|
(f)(g)
|
||||
120
|
LKQ Corp., 4.75%, due 5/15/23
|
121
|
|||||
403
|
|||||||
Banking 1.4%
|
|||||||
Ally Financial, Inc.
|
|||||||
|
200
|
8.00%, due 3/15/20
|
|
209
|
|||
195
|
7.50%, due 9/15/20
|
205
|
|||||
160
|
4.25%, due 4/15/21
|
161
|
|||||
145
|
4.13%, due 2/13/22
|
146
|
|||||
CIT Group, Inc.
|
|||||||
45
|
4.13%, due 3/9/21
|
45
|
|||||
145
|
5.00%, due 8/15/22
|
149
|
|||||
915
|
|||||||
Building & Construction 3.0%
|
|||||||
Lennar Corp.
|
|||||||
350
|
4.50%, due 11/15/19
|
348
|
|||||
390
|
4.75%, due 4/1/21
|
394
|
|||||
70
|
4.13%, due 1/15/22
|
70
|
|||||
50
|
5.38%, due 10/1/22
|
51
|
|||||
155
|
Meritage Homes Corp., 7.15%, due 4/15/20
|
160
|
|||||
365
|
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., 5.25%, due 4/15/21
|
366
|
(f)
|
||||
280
|
Toll Brothers Finance Corp., 5.88%, due 2/15/22
|
291
|
|||||
300
|
TRI Pointe Group, Inc., 4.88%, due 7/1/21
|
296
|
|||||
1,976
|
|||||||
Building Materials 0.3%
|
|||||||
150
|
Beacon Roofing Supply, Inc., 6.38%, due 10/1/23
|
155
|
|||||
47
|
Masonite Int'l Corp., 5.63%, due 3/15/23
|
47
|
(f)
|
||||
202
|
|||||||
Cable & Satellite Television 7.2%
|
|||||||
200
|
Altice Financing SA, 6.63%, due 2/15/23
|
201
|
(f)
|
||||
240
|
Altice Luxembourg SA, 7.75%, due 5/15/22
|
233
|
(f)
|
||||
420
|
Cable One, Inc., 5.75%, due 6/15/22
|
427
|
(f)
|
||||
CCO Holdings LLC/CCO Holdings Capital Corp.
|
|||||||
805
|
5.13%, due 2/15/23
|
813
|
|||||
190
|
4.00%, due 3/1/23
|
185
|
(f)
|
||||
195
|
5.75%, due 1/15/24
|
199
|
|||||
180
|
5.88%, due 4/1/24
|
185
|
(f)
|
||||
CSC Holdings LLC
|
|||||||
285
|
6.75%, due 11/15/21
|
299
|
|||||
355
|
5.13%, due 12/15/21
|
356
|
(f)
|
||||
211
|
10.13%, due 1/15/23
|
227
|
(f)
|
||||
295
|
5.38%, due 7/15/23
|
298
|
(f)
|
||||
DISH DBS Corp.
|
|||||||
160
|
7.88%, due 9/1/19
|
163
|
|||||
450
|
6.75%, due 6/1/21
|
458
|
|||||
210
|
5.88%, due 7/15/22
|
199
|
|||||
100
|
5.00%, due 3/15/23
|
87
|
|||||
370
|
Numericable-SFR SA, 6.25%, due 5/15/24
|
363
|
(f)
|
||||
4,693
|
|||||||
Chemicals 2.7%
|
|||||||
115
|
Ashland LLC, 4.75%, due 8/15/22
|
116
|
|||||
Huntsman Int'l LLC
|
|||||||
|
210
|
4.88%, due 11/15/20
|
|
213
|
|||
105
|
5.13%, due 11/15/22
|
109
|
|||||
NOVA Chemicals Corp.
|
|||||||
550
|
5.25%, due 8/1/23
|
535
|
(f)
|
||||
95
|
4.88%, due 6/1/24
|
90
|
(f)
|
||||
290
|
PQ Corp., 6.75%, due 11/15/22
|
303
|
(f)
|
||||
365
|
WR Grace & Co-Conn, 5.13%, due 10/1/21
|
375
|
(f)
|
||||
1,741
|
|||||||
Consumer - Commercial Lease Financing 6.5%
|
|||||||
120
|
Avolon Holdings Funding Ltd., 5.13%, due 10/1/23
|
122
|
(f)
|
||||
Navient Corp.
|
|||||||
134
|
4.88%, due 6/17/19
|
134
|
|||||
445
|
6.50%, due 6/15/22
|
455
|
|||||
Park Aerospace Holdings Ltd.
|
|||||||
280
|
3.63%, due 3/15/21
|
276
|
(f)
|
||||
655
|
5.25%, due 8/15/22
|
665
|
(f)
|
||||
145
|
4.50%, due 3/15/23
|
142
|
(f)
|
||||
340
|
5.50%, due 2/15/24
|
345
|
(f)
|
||||
585
|
SLM Corp., 7.25%, due 1/25/22
|
607
|
|||||
Springleaf Finance Corp.
|
|||||||
1,175
|
7.75%, due 10/1/21
|
1,237
|
|||||
165
|
6.13%, due 5/15/22
|
170
|
|||||
95
|
5.63%, due 3/15/23
|
94
|
|||||
4,247
|
|||||||
Diversified Capital Goods 0.5%
|
|||||||
200
|
Anixter, Inc., 5.13%, due 10/1/21
|
203
|
|||||
155
|
CFX Escrow Corp., 6.00%, due 2/15/24
|
155
|
(f)(h)
|
||||
358
|
|||||||
Electric - Generation 3.5%
|
|||||||
Calpine Corp.
|
|||||||
675
|
6.00%, due 1/15/22
|
680
|
(f)
|
||||
190
|
5.38%, due 1/15/23
|
185
|
|||||
330
|
5.88%, due 1/15/24
|
330
|
(f)
|
||||
Dynegy, Inc.
|
|||||||
250
|
7.38%, due 11/1/22
|
260
|
|||||
215
|
5.88%, due 6/1/23
|
220
|
|||||
188
|
7.63%, due 11/1/24
|
200
|
|||||
435
|
NRG Energy, Inc., 6.25%, due 5/1/24
|
450
|
|||||
2,325
|
|||||||
Electric - Integrated 0.3%
|
|||||||
205
|
Talen Energy Supply LLC, 9.50%, due 7/15/22
|
209
|
(f)
|
||||
Energy - Exploration & Production 5.5%
|
|||||||
Antero Resources Corp.
|
|||||||
230
|
5.38%, due 11/1/21
|
231
|
|||||
80
|
5.13%, due 12/1/22
|
80
|
|||||
422
|
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, due 4/1/22
|
451
|
(f)
|
||||
Chesapeake Energy Corp.
|
|||||||
140
|
6.13%, due 2/15/21
|
140
|
|||||
120
|
4.88%, due 4/15/22
|
114
|
|||||
125
|
5.75%, due 3/15/23
|
117
|
|||||
120
|
7.00%, due 10/1/24
|
117
|
|||||
265
|
EP Energy LLC/Everest Acquisition Finance, Inc., 9.38%, due 5/1/24
|
141
|
(f)
|
||||
120
|
Newfield Exploration Co., 5.75%, due 1/30/22
|
125
|
|||||
Oasis Petroleum, Inc.
|
|||||||
|
85
|
6.88%, due 3/15/22
|
|
85
|
|||
195
|
6.88%, due 1/15/23
|
193
|
|||||
Range Resources Corp.
|
|||||||
445
|
5.75%, due 6/1/21
|
447
|
|||||
210
|
5.88%, due 7/1/22
|
211
|
|||||
75
|
Sanchez Energy Corp., 7.75%, due 6/15/21
|
15
|
|||||
370
|
SM Energy Co., 6.13%, due 11/15/22
|
371
|
|||||
Whiting Petroleum Corp.
|
|||||||
180
|
5.75%, due 3/15/21
|
180
|
|||||
225
|
6.25%, due 4/1/23
|
222
|
|||||
WPX Energy, Inc.
|
|||||||
275
|
6.00%, due 1/15/22
|
279
|
|||||
70
|
8.25%, due 8/1/23
|
78
|
|||||
3,597
|
|||||||
Environmental 0.4%
|
|||||||
240
|
Advanced Disposal Services, Inc., 5.63%, due 11/15/24
|
241
|
(f)
|
||||
Food & Drug Retailers 0.2%
|
|||||||
135
|
Albertsons Cos. LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC, 6.63%, due 6/15/24
|
133
|
|||||
Food - Wholesale 0.3%
|
|||||||
185
|
Post Holdings, Inc., 5.50%, due 3/1/25
|
184
|
(f)
|
||||
Gaming 2.5%
|
|||||||
225
|
Boyd Gaming Corp., 6.88%, due 5/15/23
|
234
|
|||||
115
|
Eldorado Resorts, Inc., 6.00%, due 4/1/25
|
116
|
|||||
200
|
Int'l Game Technology PLC, 6.25%, due 2/15/22
|
207
|
(f)
|
||||
122
|
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., 6.75%, due 11/15/21
|
126
|
(f)
|
||||
MGM Resorts Int'l
|
|||||||
395
|
6.63%, due 12/15/21
|
417
|
|||||
180
|
7.75%, due 3/15/22
|
196
|
|||||
180
|
VICI Properties 1 LLC/VICI FC, Inc., 8.00%, due 10/15/23
|
194
|
|||||
165
|
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 4.25%, due 5/30/23
|
161
|
(f)
|
||||
1,651
|
|||||||
Gas Distribution 3.6%
|
|||||||
65
|
Antero Midstream Partners L.P./Antero Midstream Finance Corp., 5.38%, due 9/15/24
|
64
|
|||||
DCP Midstream LLC
|
|||||||
206
|
5.35%, due 3/15/20
|
209
|
(f)
|
||||
365
|
4.75%, due 9/30/21
|
367
|
(f)
|
||||
110
|
DCP Midstream Operating L.P., 2.70%, due 4/1/19
|
110
|
|||||
NuStar Logistics L.P.
|
|||||||
305
|
6.75%, due 2/1/21
|
313
|
|||||
180
|
4.75%, due 2/1/22
|
175
|
|||||
175
|
SemGroup Corp./Rose Rock Finance Corp., 5.63%, due 7/15/22
|
166
|
|||||
250
|
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.50%, due 8/15/22
|
241
|
|||||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp.
|
|||||||
520
|
5.25%, due 5/1/23
|
521
|
|||||
190
|
6.75%, due 3/15/24
|
198
|
|||||
2,364
|
|||||||
Health Facilities 5.1%
|
|||||||
Acadia Healthcare Co., Inc.
|
|||||||
|
225
|
5.13%, due 7/1/22
|
|
221
|
|||
130
|
6.50%, due 3/1/24
|
128
|
|||||
HCA, Inc.
|
|||||||
210
|
7.50%, due 2/15/22
|
230
|
|||||
525
|
5.88%, due 3/15/22
|
556
|
|||||
245
|
5.88%, due 5/1/23
|
259
|
|||||
245
|
MEDNAX, Inc., 5.25%, due 12/1/23
|
246
|
(f)
|
||||
Tenet Healthcare Corp.
|
|||||||
210
|
4.75%, due 6/1/20
|
212
|
|||||
165
|
4.50%, due 4/1/21
|
165
|
|||||
435
|
4.38%, due 10/1/21
|
434
|
|||||
405
|
7.50%, due 1/1/22
|
421
|
(f)
|
||||
60
|
8.13%, due 4/1/22
|
63
|
|||||
65
|
6.75%, due 6/15/23
|
64
|
|||||
330
|
Universal Health Services, Inc., 4.75%, due 8/1/22
|
334
|
(f)
|
||||
3,333
|
|||||||
Health Services 1.4%
|
|||||||
190
|
DaVita, Inc., 5.75%, due 8/15/22
|
193
|
|||||
255
|
IQVIA, Inc., 4.88%, due 5/15/23
|
258
|
(f)
|
||||
285
|
Service Corp. Int'l, 4.50%, due 11/15/20
|
283
|
|||||
200
|
Syneos Health, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, due 10/1/24
|
211
|
(f)
|
||||
945
|
|||||||
Hotels 0.6%
|
|||||||
375
|
RHP Hotel Properties L.P./RHP Finance Corp., 5.00%, due 4/15/21
|
375
|
|||||
Investments & Misc. Financial Services 0.2%
|
|||||||
115
|
MSCI, Inc., 5.25%, due 11/15/24
|
117
|
(f)
|
||||
Managed Care 1.3%
|
|||||||
Centene Corp.
|
|||||||
280
|
4.75%, due 5/15/22
|
285
|
|||||
400
|
6.13%, due 2/15/24
|
419
|
|||||
115
|
WellCare Health Plans, Inc., 5.25%, due 4/1/25
|
117
|
|||||
821
|
|||||||
Media Content 4.6%
|
|||||||
AMC Networks, Inc.
|
|||||||
190
|
4.75%, due 12/15/22
|
191
|
|||||
85
|
5.00%, due 4/1/24
|
84
|
|||||
Gannett Co., Inc.
|
|||||||
51
|
5.13%, due 10/15/19
|
51
|
|||||
350
|
5.13%, due 7/15/20
|
351
|
|||||
50
|
4.88%, due 9/15/21
|
50
|
(f)
|
||||
125
|
Lions Gate Capital Holdings LLC, 5.88%, due 11/1/24
|
123
|
(f)
|
||||
Netflix, Inc.
|
|||||||
|
345
|
5.38%, due 2/1/21
|
|
353
|
|||
60
|
5.50%, due 2/15/22
|
62
|
|||||
Nexstar Broadcasting, Inc.
|
|||||||
80
|
6.13%, due 2/15/22
|
81
|
(f)
|
||||
75
|
5.88%, due 11/15/22
|
76
|
|||||
Sinclair Television Group, Inc.
|
|||||||
180
|
5.38%, due 4/1/21
|
180
|
|||||
255
|
5.63%, due 8/1/24
|
247
|
(f)
|
||||
Sirius XM Radio, Inc.
|
|||||||
645
|
3.88%, due 8/1/22
|
635
|
(f)
|
||||
195
|
4.63%, due 5/15/23
|
195
|
(f)
|
||||
180
|
Univision Communications, Inc., 5.13%, due 5/15/23
|
168
|
(f)
|
||||
160
|
WMG Acquisition Corp., 5.00%, due 8/1/23
|
159
|
(f)
|
||||
3,006
|
|||||||
Medical Products 0.2%
|
|||||||
105
|
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 6.63%, due 5/15/22
|
101
|
(f)
|
||||
Metals - Mining Excluding Steel 3.9%
|
|||||||
Arconic, Inc.
|
|||||||
150
|
5.40%, due 4/15/21
|
153
|
|||||
120
|
5.87%, due 2/23/22
|
124
|
|||||
145
|
FMG Resources (August 2006) Pty Ltd., 4.75%, due 5/15/22
|
144
|
(f)
|
||||
Freeport-McMoRan, Inc.
|
|||||||
205
|
3.10%, due 3/15/20
|
203
|
|||||
1,180
|
3.55%, due 3/1/22
|
1,142
|
(i)
|
||||
335
|
Hudbay Minerals, Inc., 7.25%, due 1/15/23
|
345
|
(f)
|
||||
235
|
Novelis Corp., 6.25%, due 8/15/24
|
237
|
(f)
|
||||
200
|
Teck Resources Ltd., 4.75%, due 1/15/22
|
202
|
|||||
2,550
|
|||||||
Oil Field Equipment & Services 0.5%
|
|||||||
320
|
Precision Drilling Corp., 7.75%, due 12/15/23
|
306
|
|||||
Packaging 4.3%
|
|||||||
320
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 4.63%, due 5/15/23
|
320
|
(f)
|
||||
Berry Plastics Corp.
|
|||||||
270
|
5.50%, due 5/15/22
|
272
|
|||||
150
|
6.00%, due 10/15/22
|
153
|
|||||
440
|
5.13%, due 7/15/23
|
441
|
|||||
350
|
BWAY Holding Co., 5.50%, due 4/15/24
|
342
|
(f)
|
||||
125
|
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, due 1/15/23
|
126
|
|||||
200
|
Graphic Packaging Int'l, Inc., 4.75%, due 4/15/21
|
202
|
|||||
145
|
Owens-Brockway Glass Container, Inc., 5.00%, due 1/15/22
|
146
|
(f)
|
||||
Reynolds Group Issuer, Inc.
|
|||||||
75
|
(3 month USD LIBOR + 3.50%), 6.29%, due 7/15/21
|
75
|
(a)(f)
|
||||
510
|
5.13%, due 7/15/23
|
511
|
(f)
|
||||
200
|
Sealed Air Corp., 4.88%, due 12/1/22
|
202
|
(f)
|
||||
2,790
|
|||||||
Personal & Household Products 1.1%
|
|||||||
Energizer Holdings, Inc.
|
|||||||
130
|
4.70%, due 5/19/21
|
131
|
|||||
120
|
4.70%, due 5/24/22
|
120
|
|||||
262
|
Prestige Brands, Inc., 5.38%, due 12/15/21
|
262
|
(f)
|
||||
Spectrum Brands, Inc.
|
|||||||
|
145
|
6.63%, due 11/15/22
|
|
148
|
|||
60
|
6.13%, due 12/15/24
|
60
|
|||||
721
|
|||||||
Pharmaceuticals 2.4%
|
|||||||
130
|
Endo Finance LLC & Endo Finco, Inc., 7.25%, due 1/15/22
|
123
|
(f)
|
||||
60
|
Mallinckrodt Int'l Finance SA/Mallinckrodt CB LLC, 4.88%, due 4/15/20
|
59
|
(f)
|
||||
Valeant Pharmaceuticals Int'l, Inc.
|
|||||||
450
|
6.50%, due 3/15/22
|
465
|
(f)
|
||||
170
|
5.50%, due 3/1/23
|
166
|
(f)
|
||||
160
|
5.88%, due 5/15/23
|
157
|
(f)
|
||||
555
|
7.00%, due 3/15/24
|
582
|
(f)
|
||||
1,552
|
|||||||
Printing & Publishing 0.3%
|
|||||||
218
|
R.R. Donnelley & Sons Co., 7.88%, due 3/15/21
|
221
|
|||||
Real Estate Development & Management 0.4%
|
|||||||
280
|
Realogy Group LLC/Realogy Co-Issuer Corp., 5.25%, due 12/1/21
|
280
|
(f)
|
||||
Real Estate Investment Trusts 2.2%
|
|||||||
MPT Operating Partnership L.P./MPT Finance Corp.
|
|||||||
260
|
6.38%, due 3/1/24
|
272
|
|||||
410
|
5.50%, due 5/1/24
|
418
|
|||||
305
|
Sabra Health Care L.P./Sabra Capital Corp., 5.50%, due 2/1/21
|
308
|
|||||
Starwood Property Trust, Inc.
|
|||||||
170
|
3.63%, due 2/1/21
|
167
|
|||||
260
|
5.00%, due 12/15/21
|
263
|
|||||
1,428
|
|||||||
Recreation & Travel 2.3%
|
|||||||
280
|
Cedar Fair L.P./Canada's Wonderland Co./Magnum Management Corp., 5.38%, due 6/1/24
|
281
|
|||||
1,033
|
NCL Corp. Ltd., 4.75%, due 12/15/21
|
1,040
|
(f)
|
||||
195
|
Six Flags Entertainment Corp., 4.88%, due 7/31/24
|
193
|
(f)
|
||||
1,514
|
|||||||
Restaurants 0.7%
|
|||||||
285
|
1011778 BC ULC/New Red Finance, Inc., 4.63%, due 1/15/22
|
285
|
(f)
|
||||
160
|
Yum! Brands, Inc., 3.88%, due 11/1/20
|
159
|
|||||
444
|
|||||||
Software - Services 2.3%
|
|||||||
First Data Corp.
|
|||||||
195
|
5.38%, due 8/15/23
|
199
|
(f)
|
||||
165
|
5.00%, due 1/15/24
|
169
|
(f)
|
||||
245
|
Nuance Communications, Inc., 6.00%, due 7/1/24
|
247
|
|||||
535
|
Open Text Corp., 5.63%, due 1/15/23
|
547
|
(f)
|
||||
190
|
Rackspace Hosting, Inc., 8.63%, due 11/15/24
|
159
|
(f)
|
||||
213
|
WEX, Inc., 4.75%, due 2/1/23
|
210
|
(f)
|
||||
1,531
|
|||||||
Specialty Retail 0.6%
|
|||||||
Penske Automotive Group, Inc.
|
|||||||
260
|
3.75%, due 8/15/20
|
258
|
|||||
95
|
5.75%, due 10/1/22
|
97
|
|||||
70
|
QVC, Inc., 5.13%, due 7/2/22
|
72
|
|||||
427
|
|||||||
Steel Producers/Products 0.5%
|
|||||||
|
310
|
Big River Steel LLC/BRS Finance Corp., 7.25%, due 9/1/25
|
|
325
|
(f)
|
||
35
|
Steel Dynamics, Inc., 5.25%, due 4/15/23
|
36
|
|||||
361
|
|||||||
Support - Services 4.2%
|
|||||||
50
|
ADT Corp., 4.13%, due 6/15/23
|
48
|
|||||
140
|
Anna Merger Sub, Inc., 7.75%, due 10/1/22
|
20
|
(f)
|
||||
120
|
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.50%, due 4/1/23
|
119
|
|||||
Hertz Corp.
|
|||||||
420
|
5.88%, due 10/15/20
|
416
|
|||||
140
|
7.38%, due 1/15/21
|
138
|
|||||
195
|
7.63%, due 6/1/22
|
194
|
(f)
|
||||
Iron Mountain, Inc.
|
|||||||
420
|
4.38%, due 6/1/21
|
419
|
(f)
|
||||
195
|
6.00%, due 8/15/23
|
200
|
|||||
110
|
5.75%, due 8/15/24
|
109
|
|||||
463
|
Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, due 5/15/23
|
490
|
(f)
|
||||
115
|
United Rentals N.A., Inc., 5.75%, due 11/15/24
|
118
|
|||||
455
|
Vizient, Inc., 10.38%, due 3/1/24
|
493
|
(f)
|
||||
2,764
|
|||||||
Tech Hardware & Equipment 2.4%
|
|||||||
170
|
CDW LLC/CDW Finance Corp., 5.00%, due 9/1/23
|
171
|
|||||
CommScope, Inc.
|
|||||||
305
|
5.00%, due 6/15/21
|
305
|
(f)
|
||||
215
|
5.50%, due 6/15/24
|
201
|
(f)
|
||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.
|
|||||||
690
|
5.88%, due 6/15/21
|
701
|
(f)
|
||||
190
|
7.13%, due 6/15/24
|
200
|
(f)
|
||||
1,578
|
|||||||
Telecom - Satellite 0.5%
|
|||||||
153
|
Hughes Satellite Systems Corp., 6.50%, due 6/15/19
|
155
|
|||||
130
|
Intelsat Jackson Holdings SA, 9.50%, due 9/30/22
|
151
|
(f)
|
||||
306
|
|||||||
Telecom - Wireless 2.5%
|
|||||||
315
|
Sprint Capital Corp., 6.90%, due 5/1/19
|
317
|
|||||
750
|
Sprint Corp., 7.25%, due 9/15/21
|
788
|
|||||
195
|
Sprint Nextel Corp., 7.00%, due 8/15/20
|
202
|
|||||
T-Mobile USA, Inc.
|
|||||||
145
|
4.00%, due 4/15/22
|
144
|
|||||
90
|
6.00%, due 3/1/23
|
92
|
|||||
85
|
6.00%, due 4/15/24
|
87
|
|||||
1,630
|
|||||||
Telecom - Wireline Integrated & Services 2.8%
|
|||||||
410
|
CenturyLink, Inc., Ser. V, 5.63%, due 4/1/20
|
414
|
|||||
145
|
Equinix, Inc., 5.38%, due 1/1/22
|
147
|
|||||
Frontier Communications Corp.
|
|||||||
|
160
|
7.13%, due 3/15/19
|
|
157
|
|||
55
|
6.25%, due 9/15/21
|
38
|
|||||
55
|
8.75%, due 4/15/22
|
37
|
|||||
65
|
10.50%, due 9/15/22
|
46
|
|||||
Level 3 Financing, Inc.
|
|||||||
160
|
5.38%, due 8/15/22
|
161
|
|||||
185
|
5.63%, due 2/1/23
|
186
|
|||||
135
|
5.13%, due 5/1/23
|
134
|
|||||
55
|
Qwest Corp., 6.75%, due 12/1/21
|
59
|
|||||
85
|
Telecom Italia Capital SA, 7.18%, due 6/18/19
|
86
|
|||||
395
|
Zayo Group LLC/Zayo Capital, Inc., 6.00%, due 4/1/23
|
397
|
|||||
1,862
|
|||||||
Theaters & Entertainment 0.9%
|
|||||||
350
|
AMC Entertainment Holdings, Inc., 5.88%, due 2/15/22
|
350
|
|||||
260
|
Live Nation Entertainment, Inc., 5.38%, due 6/15/22
|
262
|
(f)
|
||||
612
|
|||||||
Total Corporate Bonds (Cost $59,086)
|
58,730
|
||||||
NUMBER OF
SHARES |
|||||||
Short-Term Investments 1.3%
|
|||||||
Investment Companies 1.3%
|
|||||||
829,321
|
State Street Institutional U.S. Government Money Market Fund Premier Class,
2.32%(j) (Cost $829) |
829
|
(i)
|
||||
Total Investments 98.0% (Cost $64,615)
|
64,188
|
||||||
Other Assets Less Liabilities 2.0%
|
1,317
|
(k)
|
|||||
Net Assets 100.0%
|
$65,505
|
||||||
(a)
|
Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2019 and changes periodically.
|
|
(b)
|
The stated interest rate represents the weighted average interest rate at January 31, 2019 of the underlying contracts within the Loan Assignment. Interest rates on the underlying contracts are primarily determined by reference to the indicated base lending rate and spread, which are indicated in the security description, and the reset period, which is generally weekly, monthly or quarterly.
|
|
(c)
|
Value determined using significant unobservable inputs.
|
|
(d)
|
All or a portion of this security was purchased on a delayed delivery basis.
|
|
(e)
|
All or a portion of this security had not settled as of January 31, 2019 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement.
|
|
(f)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2019, these securities amounted to approximately $24,649,000, which represents 37.6% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
|
|
(g)
|
Payment-in-kind (PIK) security.
|
|
(h)
|
When-issued security. Total value of all such securities at January 31, 2019, amounted to approximately $155,000, which represents 0.2% of net assets of the fund.
|
|
(i)
|
All or a portion of this security is segregated in connection with obligations for delayed delivery securities and/or when-issued securities with a total value of approximately $1,971,000.
|
|
(j)
|
Represents 7-day effective yield as of January 31, 2019.
|
|
(k)
|
As of January 31, 2019, the value of unfunded loan commitments was approximately $55,000 for the Fund.
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2019:
|
Asset Valuation Inputs
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3(b)
|
Total
|
||||||||||||
Investments:
|
||||||||||||||||
Loan Assignments
|
||||||||||||||||
Health Care
|
$
|
—
|
$
|
—
|
$
|
216
|
$
|
216
|
||||||||
Other Loan Assignments(a)
|
—
|
4,413
|
—
|
4,413
|
||||||||||||
Total Loan Assignments
|
—
|
4,413
|
216
|
4,629
|
||||||||||||
Corporate Bonds(a)
|
—
|
58,730
|
—
|
58,730
|
||||||||||||
Short-Term Investments
|
—
|
829
|
—
|
829
|
||||||||||||
Total Investments
|
$
|
—
|
$
|
63,972
|
$
|
216
|
$
|
64,188
|
(a)
|
The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
|
(b)
|
The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
|
(000’s omitted)
|
Beginning
balance, as
of
11/1/2018
|
Accrued
discounts/
(premiums)
|
Realized
gain/
(loss)
|
Change in
unrealized
appreciation/
(depreciation)
|
Purchases
|
Sales
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance,
as of
1/31/2019
|
Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
1/31/2019
|
|
Investments in Securities:
|
|||||||||||
Loan Assignments(c)
|
|||||||||||
Food Service
|
$40
|
$—
|
$—
|
$—
|
$—
|
$—
|
$—
|
$(40)
|
$—
|
$—
|
|
Health
Care
|
—
|
—
|
—
|
(11)
|
—
|
—
|
227
|
—
|
216
|
(11)
|
|
Lodging & Casinos
|
205
|
—
|
(12)
|
1
|
—
|
(194)
|
—
|
—
|
—
|
—
|
|
Total
|
$245
|
$—
|
$(12)
|
$(10)
|
$—
|
$(194)
|
$227
|
$(40)
|
$216
|
$(11)
|
(c)
|
Securities categorized as Level 3 are valued based on single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
|
^
|
A balance indicated with a "-", either reflects a zero balance or an amount that rounds to less than 1.
|
NUMBER OF
SHARES |
VALUE†
|
||||||
(000's omitted)
|
|||||||
Common Stock 0.0%(a)
|
|||||||
Media - Broadcast 0.0%(a)
|
|||||||
4
|
Cumulus Media, Inc., Class A (Cost $51)
|
$
|
53
|
*
|
|||
PRINCIPAL
AMOUNT(b) |
|||||||
(000's omitted)
|
|||||||
Loan Assignments(c) 1.6%
|
|||||||
Automotive 0.0%(a)
|
|||||||
$
|
707
|
ABRA, First Lien Term Loan, (2 month USD LIBOR + 3.00%), 5.62%, due 9/17/21
|
704
|
||||
115
|
Wand Intermediate I LP, Second Lien Term Loan, (2 month USD LIBOR + 7.25%), 9.84%, due 9/19/22
|
114
|
|||||
818
|
|||||||
Building & Development 0.0%(a)
|
|||||||
Capital Automotive LP
|
|||||||
492
|
First Lien Term Loan, (1 month USD LIBOR + 2.50%), 5.00%, due 3/24/24
|
477
|
|||||
299
|
Second Lien Term Loan, (1 month USD LIBOR + 6.00%), 8.50%, due 3/24/25
|
297
|
|||||
774
|
|||||||
Business Equipment & Services 0.3%
|
|||||||
Advantage Sales and Marketing
|
|||||||
536
|
First Lien Term Loan, (1 month USD LIBOR + 3.25%), 5.75%, due 7/23/21
|
469
|
|||||
245
|
Second Lien Term Loan, (1 month USD LIBOR + 6.50%), 9.00%, due 7/25/22
|
184
|
|||||
618
|
Ceridian HCM Holding Inc., Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 4/30/25
|
610
|
|||||
814
|
Change Healthcare Holdings, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 3/1/24
|
796
|
|||||
216
|
Dorna Sports, S.L., Term Loan B, (USD LIBOR + 3.00%), due 4/12/24
|
210
|
(d)(e)(f)
|
||||
720
|
Duff & Phelps Corporation, Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 2/13/25
|
693
|
|||||
736
|
Garda World Security, Term Loan, (3 month USD LIBOR + 3.50%), 6.24%, due 5/24/24
|
722
|
|||||
776
|
Greeneden U.S. Holdings II, LLC, Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 12/1/23
|
756
|
|||||
822
|
Kronos, Term Loan B, (3 month USD LIBOR + 3.00%), 5.54%, due 11/1/23
|
805
|
|||||
826
|
Minimax GmbH & Co. KG, Term Loan B1C, (1 month USD LIBOR + 3.00%), 5.50%, due 7/31/25
|
818
|
|||||
785
|
Solera, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 3/3/23
|
768
|
|||||
588
|
Tempo Acquisition, Term Loan, (1 month USD LIBOR + 3.00%), 5.50%, due 5/1/24
|
577
|
|||||
871
|
West, Term Loan, (1 month USD LIBOR + 4.00%), 6.50%, due 10/10/24
|
798
|
|||||
8,206
|
|||||||
Cable & Satellite Television 0.1%
|
|||||||
534
|
Altice France S.A., Term Loan B13, (1 month USD LIBOR + 4.00%), 6.51%, due 8/14/26
|
503
|
|||||
590
|
Ziggo, Term Loan E, (1 month USD LIBOR + 2.50%), 5.01%, due 4/15/25
|
570
|
|||||
1,073
|
|||||||
Chemicals & Plastics 0.0%(a)
|
|||||||
565
|
Starfruit Finco B.V, Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 10/1/25
|
552
|
|||||
Containers & Glass Products 0.1%
|
|||||||
793
|
BWAY Corporation, Term Loan B, (3 month USD LIBOR + 3.25%), 6.03%, due 4/3/24
|
764
|
|||||
316
|
Proampac, First Lien Term Loan, (USD LIBOR + 3.50%), 6.10%, due 11/18/23
|
306
|
(g)
|
||||
|
615
|
Trident TPI Holdings, Inc., Term Loan B1, (1 month USD LIBOR + 3.25%), 5.75%, due 10/17/24
|
|
592
|
|||
1,662
|
|||||||
Diversified Insurance 0.0%(a)
|
|||||||
790
|
Sedgwick Claims Management Services, Inc., Term Loan B, (1 month USD LIBOR + 3.25%), 5.75%, due 12/31/25
|
769
|
|||||
Drugs 0.1%
|
|||||||
838
|
Endo Luxembourg Finance Company I S.a.r.l., Term Loan B, (1 month USD LIBOR + 4.25%), 6.75%, due 4/29/24
|
829
|
|||||
686
|
Valeant Pharmaceuticals International, Inc., Term Loan B, (1 month USD LIBOR + 3.00%), 5.51%, due 6/2/25
|
678
|
|||||
1,507
|
|||||||
Electronics - Electrical 0.3%
|
|||||||
799
|
Avast Software B.V., Term Loan B, (3 month USD LIBOR + 2.50%), 5.30%, due 9/30/23
|
788
|
|||||
160
|
Hyland Software, Inc., Second Lien Term Loan, (1 month USD LIBOR + 7.00%), 9.50%, due 7/7/25
|
159
|
|||||
200
|
IFS, Term Loan B, (3 month USD LIBOR + 3.75%), 6.56%, due 7/31/24
|
194
|
|||||
777
|
Infor Global Solutions Ltd., Term Loan B6, (1 month USD LIBOR + 2.75%), 5.25%, due 2/1/22
|
772
|
|||||
576
|
Rackspace Hosting, Inc., First Lien Term Loan, (3 month USD LIBOR + 3.00%), 5.58%, due 11/3/23
|
533
|
|||||
791
|
Riverbed Technology, Term Loan, (1 month USD LIBOR + 3.25%), 5.75%, due 4/24/22
|
723
|
|||||
702
|
Sophia LP, Term Loan B, (3 month USD LIBOR + 3.25%), 6.05%, due 9/30/22
|
686
|
|||||
535
|
SS&C Technologies Holdings Europe S.A.R.L., Term Loan B4, (1 month USD LIBOR + 2.25%), 4.75%, due 4/16/25
|
524
|
|||||
1,392
|
SS&C Technologies Inc., Term Loan B3, (1 month USD LIBOR + 2.25%), 4.75%, due 4/16/25
|
1,362
|
|||||
655
|
Vertafore, Inc., First Lien Term Loan, (3 month USD LIBOR + 3.25%), 6.05%, due 7/2/25
|
635
|
|||||
6,376
|
|||||||
Financial Intermediaries 0.0%(a)
|
|||||||
607
|
LPL Holdings, Inc., First Lien Term Loan B, (1 month USD LIBOR + 2.25%), 4.75%, due 9/23/24
|
600
|
|||||
Food & Drug Retailers 0.0%(a)
|
|||||||
667
|
Albertsons LLC, Term Loan B6, (3 month USD LIBOR + 3.00%), 5.69%, due 6/22/23
|
657
|
|||||
Food Products 0.0%(a)
|
|||||||
792
|
Nomad Foods Europe Midco Ltd., Term Loan B4, (1 month USD LIBOR + 2.25%), 4.76%, due 5/15/24
|
769
|
|||||
Health Care 0.1%
|
|||||||
355
|
Auris Luxembourg III S.a.r.l., Term Loan B, (USD LIBOR + 3.75%), due 7/20/25
|
353
|
(d)(e)
|
||||
422
|
Concentra Inc., First Lien Term Loan, (1 month USD LIBOR + 2.75%), 5.27%, due 6/1/22
|
418
|
|||||
325
|
Concentra Operating Company, Second Lien Term Loan, (1 month USD LIBOR + 6.50%), 9.02%, due 6/1/23
|
323
|
|||||
650
|
Envision Healthcare Corporation, First Lien Term Loan, (1 month USD LIBOR + 3.75%), 6.25%, due 10/10/25
|
611
|
|||||
771
|
Multiplan, Inc., Term Loan B, (3 month USD LIBOR + 2.75%), 5.55%, due 6/7/23
|
746
|
|||||
2,451
|
|||||||
Industrial Equipment 0.1%
|
|||||||
Brookfield WEC Holdings Inc.
|
|||||||
|
530
|
First Lien Term Loan, (1 month USD LIBOR + 3.75%), 6.25%, due 8/1/25
|
|
527
|
|||
70
|
Second Lien Term Loan, (1 month USD LIBOR + 6.75%), 9.25%, due 8/3/26
|
70
|
|||||
Crosby Worldwide
|
|||||||
940
|
First Lien Term Loan, (1 month USD LIBOR + 3.00%), 5.50%, due 11/23/20
|
869
|
|||||
55
|
Second Lien Term Loan, (1 month USD LIBOR + 6.00%), 8.50%, due 11/22/21
|
48
|
|||||
755
|
Filtration Group Corporation, First Lien Term Loan, (1 month USD LIBOR + 3.00%), 5.50%, due 3/29/25
|
748
|
|||||
588
|
Pro Mach Group, Inc., Term Loan B, (1 month USD LIBOR + 3.00%), 5.51%, due 3/7/25
|
568
|
|||||
2,830
|
|||||||
Leisure Goods - Activities - Movies 0.0%(a)
|
|||||||
720
|
Formula One, Term Loan, (1 month USD LIBOR + 2.50%), 5.00%, due 2/1/24
|
691
|
|||||
Lodging & Casinos 0.1%
|
|||||||
Golden Entertainment
|
|||||||
286
|
First Lien Term Loan, (1 month USD LIBOR + 3.00%), 5.51%, due 10/21/24
|
280
|
|||||
327
|
Second Lien Term Loan, (1 month USD LIBOR + 7.00%), 9.50%, due 10/20/25
|
319
|
|||||
Mohegan Tribal Gaming
|
|||||||
183
|
Term Loan A, (1 month USD LIBOR + 3.75%), 6.25%, due 10/13/21
|
175
|
|||||
551
|
Term Loan B, (1 month USD LIBOR + 4.00%), 6.50%, due 10/13/23
|
511
|
|||||
621
|
Twin Rivers Casino, Term Loan B, (3 month USD LIBOR + 3.50%), 6.30%, due 7/10/20
|
617
|
|||||
1,902
|
|||||||
Oil & Gas 0.1%
|
|||||||
465
|
Gavilan Resources, Second Lien Term Loan, (1 month USD LIBOR + 6.00%), 8.52%, due 3/1/24
|
372
|
|||||
844
|
Lucid Energy Group II LLC, First Lien Term Loan, (1 month USD LIBOR + 3.00%), 5.52%, due 2/17/25
|
791
|
|||||
654
|
Medallion Midland, First Lien Term Loan, (1 month USD LIBOR + 3.25%), 5.75%, due 10/30/24
|
627
|
|||||
1,790
|
|||||||
Property & Casualty Insurance 0.0%(a)
|
|||||||
488
|
Asurion LLC, Term Loan B7, (1 month USD LIBOR + 3.00%), 5.50%, due 11/3/24
|
479
|
|||||
Publishing 0.0%(a)
|
|||||||
548
|
Harland Clark Holdings Corp., Term Loan B7, (3 month USD LIBOR + 4.75%), 7.55%, due 11/3/23
|
509
|
|||||
Radio & Television 0.0%(a)
|
|||||||
495
|
Cumulus Media New Holdings Inc., Term Loan, (1 month USD LIBOR + 4.50%), 7.00%, due 5/15/22
|
477
|
(d)(e)
|
||||
517
|
Univision Communications Inc., Term Loan C5, (1 month USD LIBOR + 2.75%), 5.25%, due 3/15/24
|
481
|
|||||
958
|
|||||||
Retailers (except food & drug) 0.1%
|
|||||||
699
|
Bass Pro Shops, Term Loan B, (1 month USD LIBOR + 5.00%), 7.50%, due 9/25/24
|
690
|
|||||
|
703
|
BJS Wholesale Club Inc., First Lien Term Loan, (1 month USD LIBOR + 3.00%), 5.51%, due 2/3/24
|
|
696
|
|||
EG Finco Limited
|
|||||||
675
|
Term Loan, (3 month USD LIBOR + 4.00%), 6.81%, due 2/7/25
|
651
|
|||||
95
|
Second Lien Term Loan, (3 month USD LIBOR + 8.00%), 10.81%, due 4/20/26
|
92
|
|||||
2,129
|
|||||||
Steel 0.0%(a)
|
|||||||
645
|
MRC Global (US) Inc., First Lien Term Loan B, (1 month USD LIBOR + 3.00%), 5.50%, due 9/20/24
|
639
|
(h)
|
||||
Telecommunications 0.1%
|
|||||||
712
|
Centurylink, Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 1/31/25
|
680
|
|||||
Frontier Communications Corp.
|
|||||||
18
|
Term Loan A, (1 month USD LIBOR + 2.75%), 5.25%, due 3/31/21
|
17
|
|||||
405
|
Term Loan B1, (1 month USD LIBOR + 3.75%), 6.25%, due 6/15/24
|
387
|
|||||
715
|
GTT Communications, Inc., Term Loan B, (1 month USD LIBOR + 2.75%), 5.25%, due 5/31/25
|
669
|
|||||
Intelsat Jackson HLDG
|
|||||||
777
|
Term Loan B3, (1 month USD LIBOR + 3.75%), 6.25%, due 11/27/23
|
770
|
|||||
63
|
Term Loan B4, (1 month USD LIBOR + 4.50%), 7.00%, due 1/2/24
|
63
|
|||||
120
|
Syniverse Holdings, Inc., Second Lien Term Loan, (1 month USD LIBOR + 9.00%), 11.51%, due 3/11/24
|
102
|
|||||
2,688
|
|||||||
Utilities 0.1%
|
|||||||
747
|
Nautilus Power LLC, Term Loan B, (1 month USD LIBOR + 4.25%), 6.75%, due 5/16/24
|
741
|
|||||
563
|
TPF II, Term Loan B, (1 month USD LIBOR + 3.75%), 6.25%, due 10/2/23
|
549
|
|||||
1,290
|
|||||||
Total Loan Assignments (Cost $43,537)
|
42,119
|
||||||
U.S. Treasury Obligations 17.6%
|
|||||||
16,600
|
U.S. Treasury Bill, 2.33%, due 2/28/19
|
16,571
|
(i)(j)
|
||||
U.S. Treasury Bonds
|
|||||||
11,345
|
5.38%, due 2/15/31
|
14,467
|
|||||
9,975
|
3.88%, due 8/15/40
|
11,511
|
|||||
U.S. Treasury Inflation-Indexed Bonds(k)
|
|||||||
26,067
|
2.00%, due 1/15/26
|
28,296
|
|||||
39,071
|
3.63%, due 4/15/28
|
48,804
|
|||||
11,922
|
2.50%, due 1/15/29
|
13,854
|
|||||
62,988
|
3.88%, due 4/15/29
|
81,712
|
|||||
18,894
|
3.38%, due 4/15/32
|
24,850
|
|||||
22,404
|
1.00%, due 2/15/46
|
21,933
|
|||||
U.S. Treasury Notes
|
|||||||
29,000
|
1.38%, due 1/15/20
|
28,676
|
|||||
46,735
|
2.13%, due 12/31/21
|
46,335
|
|||||
21,280
|
2.38%, due 8/15/24
|
21,170
|
|||||
115,810
|
2.25%, due 11/15/27
|
112,535
|
|||||
Total U.S. Treasury Obligations (Cost $476,629)
|
470,714
|
||||||
U.S. Government Agency Securities 0.1%
|
|||||||
2,030
|
Federal National Mortgage Association, 5.63%, due 7/15/37 (Cost $2,835)
|
2,682
|
|||||
Mortgage-Backed Securities 36.5%
|
|||||||
Collateralized Mortgage Obligations 7.3%
|
|||||||
|
501
|
Angel Oak Mortgage Trust LLC, Ser. 2017-3, Class A1, 2.71%, due 11/25/47
|
|
497
|
(l)(m)
|
||
Fannie Mae Connecticut Avenue Securities
|
|||||||
19,918
|
Ser. 2017-C02, Class 2M2, (1 month USD LIBOR + 3.65%), 6.16%, due 9/25/29
|
21,487
|
(c)(n)
|
||||
16,585
|
Ser. 2017-C03, Class 1M2, (1 month USD LIBOR + 3.00%), 5.51%, due 10/25/29
|
17,539
|
(c)
|
||||
6,598
|
Ser. 2017-C04, Class 2M2, (1 month USD LIBOR + 2.85%), 5.36%, due 11/25/29
|
6,827
|
(c)
|
||||
8,950
|
Ser. 2017-C06, Class 1M2, (1 month USD LIBOR + 2.65%), 5.16%, due 2/25/30
|
9,258
|
(c)
|
||||
10,770
|
Ser. 2017-C06, Class 2M2, (1 month USD LIBOR + 2.80%), 5.31%, due 2/25/30
|
11,088
|
(c)
|
||||
2,670
|
Ser. 2017-C07, Class 1M2, (1 month USD LIBOR + 2.40%), 4.91%, due 5/25/30
|
2,721
|
(c)
|
||||
16,691
|
Ser. 2017-C07, Class 2M2, (1 month USD LIBOR + 2.50%), 5.01%, due 5/25/30
|
16,992
|
(c)(n)
|
||||
12,430
|
Ser. 2018-C01, Class 1M2, (1 month USD LIBOR + 2.25%), 4.76%, due 7/25/30
|
12,533
|
(c)
|
||||
10,400
|
Ser. 2018-C02, Class 2M2, (1 month USD LIBOR + 2.20%), 4.71%, due 8/25/30
|
10,379
|
(c)
|
||||
Freddie Mac Multifamily Structured Pass Through Certificates
|
|||||||
70,984
|
Ser. K083, Class XAM, 0.05%, due 10/25/28
|
594
|
(m)(o)
|
||||
77,922
|
Ser. K085, Class XAM, 0.06%, due 10/25/28
|
724
|
(m)(o)
|
||||
Freddie Mac Structured Agency Credit Risk Debt Notes
|
|||||||
9,610
|
Ser. 2017-DNA1, Class M2, (1 month USD LIBOR + 3.25%), 5.76%, due 7/25/29
|
10,315
|
(c)
|
||||
22,826
|
Ser. 2017-DNA2, Class M2, (1 month USD LIBOR + 3.45%), 5.96%, due 10/25/29
|
24,636
|
(c)
|
||||
9,935
|
Ser. 2017-HQA2, Class M2, (1 month USD LIBOR + 2.65%), 5.16%, due 12/25/29
|
10,240
|
(c)(n)
|
||||
13,819
|
Ser. 2017-DNA3, Class M2, (1 month USD LIBOR + 2.50%), 5.01%, due 3/25/30
|
14,194
|
(c)
|
||||
3,250
|
Ser. 2017-HQA3, Class M2, (1 month USD LIBOR + 2.35%), 4.86%, due 4/25/30
|
3,296
|
(c)
|
||||
5,680
|
Ser. 2018-DNA1, Class M2, (1 month USD LIBOR + 1.80%), 4.31%, due 7/25/30
|
5,591
|
(c)(n)
|
||||
15,275
|
Ser. 2018-HQA1, Class M2, (1 month USD LIBOR + 2.30%), 4.81%, due 9/25/30
|
15,159
|
(c)
|
||||
489
|
JP Morgan Alternative Loan Trust, Ser. 2006-A5, Class 1A1, (1 month USD LIBOR + 0.16%), 2.67%, due 10/25/36
|
466
|
(c)
|
||||
1,000
|
Permanent Master Issuer PLC, Ser. 2018-1A, Class 1A1, (3 month USD LIBOR + 0.38%), 3.17%, due 7/15/58
|
997
|
(c)(l)
|
||||
195,533
|
|||||||
Commercial Mortgage-Backed 1.7%
|
|||||||
1,000
|
BXMT Ltd., Ser. 2017-FL1, Class A, (1 month USD LIBOR + 0.87%), 3.38%, due 6/15/35
|
1,001
|
(c)(l)
|
||||
Citigroup Commercial Mortgage Trust
|
|||||||
|
5,735
|
Ser. 2012-GC8, Class XA, 1.79%, due 9/10/45
|
|
280
|
(l)(m)(o)
|
||
2,200
|
Ser. 2012-GC8, Class AAB, 2.61%, due 9/10/45
|
2,186
|
|||||
1,000
|
Ser. 2012-GC8, Class B, 4.29%, due 9/10/45
|
1,018
|
(l)
|
||||
54,344
|
Ser. 2014-GC25, Class XA, 1.01%, due 10/10/47
|
2,578
|
(m)(o)
|
||||
31,608
|
Ser. 2015-GC27, Class XA, 1.38%, due 2/10/48
|
2,020
|
(m)(o)
|
||||
Commercial Mortgage Loan Trust
|
|||||||
34,352
|
Ser. 2014-CR17, Class XA, 1.06%, due 5/10/47
|
1,317
|
(m)(o)
|
||||
1,000
|
Ser. 2015-CR26, Class A4, 3.63%, due 10/10/48
|
1,015
|
|||||
31,110
|
Commercial Mortgage Pass-Through Certificates, Ser. 2013-LC6, Class XB, 0.33%, due 1/10/46
|
421
|
(l)(m)(o)
|
||||
Commercial Mortgage Trust
|
|||||||
36,039
|
Ser. 2012-CR2, Class XA, 1.65%, due 8/15/45
|
1,704
|
(m)(o)
|
||||
167
|
Ser. 2012-CR3, Class XA, 1.87%, due 10/15/45
|
9
|
(m)(o)
|
||||
34,000
|
Ser. 2013-CR6, Class XB, 0.54%, due 3/10/46
|
687
|
(m)(o)
|
||||
38,057
|
Ser. 2014-CR16, Class XA, 1.11%, due 4/10/47
|
1,415
|
(m)(o)
|
||||
49,868
|
Ser. 2014-UBS3, Class XA, 1.27%, due 6/10/47
|
2,088
|
(m)(o)
|
||||
2,784
|
Ser. 2014-CR19, Class A1, 1.42%, due 8/10/47
|
2,775
|
|||||
51,773
|
Ser. 2014-UBS6, Class XA, 0.95%, due 12/10/47
|
2,052
|
(m)(o)
|
||||
CSAIL Commercial Mortgage Trust
|
|||||||
9,289
|
Ser. 2018-CX11, Class A1, 2.89%, due 4/15/51
|
9,253
|
|||||
36,383
|
Ser. 2015-C2, Class XA, 0.80%, due 6/15/57
|
1,382
|
(m)(o)
|
||||
GS Mortgage Securities Trust
|
|||||||
268
|
Ser. 2011-GC5, Class XA, 1.34%, due 8/10/44
|
7
|
(l)(m)(o)
|
||||
62,992
|
Ser. 2014-GC18, Class XA, 1.04%, due 1/10/47
|
2,644
|
(m)(o)
|
||||
54,543
|
Ser. 2015-GC30, Class XA, 0.86%, due 5/10/50
|
1,937
|
(m)(o)
|
||||
823
|
Morgan Stanley Capital I Trust, Ser. 2011-C3, Class XA, 0.78%, due 7/15/49
|
11
|
(l)(m)(o)
|
||||
WF-RBS Commercial Mortgage Trust
|
|||||||
8,745
|
Ser. 2011-C2, Class XA, 0.78%, due 2/15/44
|
117
|
(l)(m)(o)
|
||||
223
|
Ser. 2012-C6, Class XA, 2.08%, due 4/15/45
|
11
|
(l)(m)(o)
|
||||
102,868
|
Ser. 2013-C14, Class XB, 0.14%, due 6/15/46
|
861
|
(m)(o)
|
||||
40,518
|
Ser. 2014-C21, Class XA, 1.07%, due 8/15/47
|
1,697
|
(m)(o)
|
||||
61,383
|
Ser. 2014-C25, Class XA, 0.89%, due 11/15/47
|
2,325
|
(m)(o)
|
||||
18,152
|
Ser. 2014-C22, Class XA, 0.85%, due 9/15/57
|
632
|
(m)(o)
|
||||
43,443
|
|||||||
Fannie Mae 14.1%
|
|||||||
Pass-Through Certificates
|
|||||||
6
|
5.00%, due 6/1/40 – 7/1/40
|
7
|
|||||
77
|
6.00%, due 9/1/33 – 9/1/40
|
84
|
|||||
1
|
6.50%, due 9/1/32
|
1
|
|||||
1
|
7.50%, due 12/1/32
|
1
|
|||||
53,625
|
3.50%, TBA, 30 Year Maturity
|
53,892
|
(p)
|
||||
218,185
|
4.00%, TBA, 30 Year Maturity
|
223,328
|
(p)
|
||||
80,380
|
4.50%, TBA, 30 Year Maturity
|
83,515
|
(p)
|
||||
15,835
|
5.00%, TBA, 30 Year Maturity
|
16,653
|
(p)
|
||||
377,481
|
|||||||
Freddie Mac 10.6%
|
|||||||
Pass-Through Certificates
|
|||||||
7
|
5.00%, due 12/1/28
|
7
|
|||||
74,825
|
3.50%, TBA, 30 Year Maturity
|
75,244
|
(p)
|
||||
149,430
|
4.00%, TBA, 30 Year Maturity
|
153,032
|
(p)
|
||||
48,000
|
4.50%, TBA, 30 Year Maturity
|
49,895
|
(p)
|
||||
5,125
|
5.00%, TBA, 30 Year Maturity
|
5,389
|
(p)
|
||||
283,567
|
|||||||
Ginnie Mae 2.8%
|
|||||||
Pass-Through Certificates
|
|||||||
|
—
|
6.50%, due 7/15/32
|
|
1
|
|||
1
|
7.00%, due 8/15/32
|
1
|
|||||
23,950
|
4.00%, TBA, 30 Year Maturity
|
24,633
|
(p)
|
||||
37,825
|
4.50%, TBA, 30 Year Maturity
|
39,259
|
(p)
|
||||
10,475
|
5.00%, TBA, 30 Year Maturity
|
10,933
|
(p)
|
||||
74,827
|
|||||||
Total Mortgage-Backed Securities (Cost $988,930)
|
974,851
|
||||||
Corporate Bonds 50.3%
|
|||||||
Advertising 0.3%
|
|||||||
290
|
Clear Channel Worldwide Holdings, Inc., Ser. A, 6.50%, due 11/15/22
|
296
|
|||||
Lamar Media Corp.
|
|||||||
265
|
5.00%, due 5/1/23
|
267
|
|||||
60
|
5.38%, due 1/15/24
|
61
|
|||||
275
|
5.75%, due 2/1/26
|
285
|
|||||
295
|
MDC Partners, Inc., 6.50%, due 5/1/24
|
268
|
(l)(n)
|
||||
Nielsen Co. Luxembourg SARL
|
|||||||
1,000
|
5.50%, due 10/1/21
|
1,008
|
(l)
|
||||
815
|
5.00%, due 2/1/25
|
809
|
(l)
|
||||
Nielsen Finance LLC/Nielsen Finance Co.
|
|||||||
1,115
|
4.50%, due 10/1/20
|
1,112
|
|||||
2,170
|
5.00%, due 4/15/22
|
2,167
|
(l)(n)
|
||||
Outfront Media Capital LLC/Outfront Media Capital Corp.
|
|||||||
305
|
5.25%, due 2/15/22
|
308
|
|||||
590
|
5.63%, due 2/15/24
|
597
|
(n)
|
||||
700
|
5.88%, due 3/15/25
|
707
|
(n)
|
||||
7,885
|
|||||||
Aerospace & Defense 0.1%
|
|||||||
570
|
BBA US Holdings, Inc., 5.38%, due 5/1/26
|
570
|
(l)(n)
|
||||
EUR
|
449
|
Leonardo-Finmeccanica SpA, 4.50%, due 1/19/21
|
552
|
||||
$
|
1,445
|
TransDigm, Inc., 6.25%, due 3/15/26
|
1,467
|
(l)(q)
|
|||
2,589
|
|||||||
Agriculture 0.6%
|
|||||||
18,195
|
BAT Capital Corp., 4.54%, due 8/15/47
|
14,934
|
|||||
Airlines 0.0%(a)
|
|||||||
650
|
Unity 1 Sukuk Ltd., 3.86%, due 11/30/21
|
650
|
(r)
|
||||
Apparel 0.1%
|
|||||||
EUR
|
475
|
Hanesbrands Finance Luxembourg SCA, 3.50%, due 6/15/24
|
561
|
(r)
|
|||
EUR
|
605
|
Levi Strauss & Co., 3.38%, due 3/15/27
|
709
|
||||
EUR
|
1,160
|
PVH Corp., 3.13%, due 12/15/27
|
1,291
|
(r)
|
|||
2,561
|
|||||||
Auto Manufacturers 0.9%
|
|||||||
$
|
10,185
|
General Motors Financial Co., Inc., 5.10%, due 1/17/24
|
10,351
|
||||
EUR
|
3,075
|
Volkswagen Bank GmbH, 1.25%, due 12/15/25
|
3,327
|
(n)(r)
|
|||
Volkswagen Int'l Finance NV
|
|||||||
EUR
|
765
|
(7 year EUR Swap + 2.20%), 2.45%, due 3/20/22
|
862
|
(c)(r)(s)
|
|||
EUR
|
5,200
|
(5 year EUR Swap + 2.54%), 2.70%, due 12/14/22
|
5,785
|
(c)(n)(r)(s)
|
|||
EUR
|
2,200
|
(6 year EUR Swap + 2.97%), 3.38%, due 6/27/24
|
2,424
|
(c)(n)(r)(s)
|
|||
EUR
|
700
|
(10 year EUR Swap + 3.37%), 3.88%, due 6/14/27
|
747
|
(c)(r)(s)
|
|||
23,496
|
|||||||
Auto Parts & Equipment 0.2%
|
|||||||
$
|
250
|
American Axle & Manufacturing, Inc., 7.75%, due 11/15/19
|
|
256
|
(n)
|
||
EUR
|
414
|
Faurecia SA, 2.63%, due 6/15/25
|
453
|
(r)
|
|||
EUR
|
650
|
Goodyear Dunlop Tires Europe BV, 3.75%, due 12/15/23
|
748
|
(r)
|
|||
$
|
440
|
Goodyear Tire & Rubber Co., 5.13%, due 11/15/23
|
439
|
(n)
|
|||
IHO Verwaltungs GmbH
|
|||||||
220
|
4.13% Cash/4.88% PIK, due 9/15/21
|
215
|
(l)(t)
|
||||
430
|
4.50% Cash/5.25% PIK, due 9/15/23
|
410
|
(l)(t)
|
||||
110
|
LKQ Corp., 4.75%, due 5/15/23
|
111
|
|||||
EUR
|
993
|
LKQ Italia Bondco SpA, 3.88%, due 4/1/24
|
1,176
|
(r)
|
|||
EUR
|
921
|
Tenneco, Inc., 4.88%, due 4/15/22
|
1,080
|
(r)
|
|||
$
|
457
|
ZF N.A. Capital, Inc., 4.00%, due 4/29/20
|
455
|
(l)
|
|||
5,343
|
|||||||
Banking 0.4%
|
|||||||
Ally Financial, Inc.
|
|||||||
4,040
|
8.00%, due 3/15/20
|
4,227
|
(n)
|
||||
1,090
|
7.50%, due 9/15/20
|
1,149
|
(n)
|
||||
865
|
4.25%, due 4/15/21
|
870
|
(n)
|
||||
120
|
4.13%, due 2/13/22
|
120
|
(n)
|
||||
CIT Group, Inc.
|
|||||||
1,270
|
4.13%, due 3/9/21
|
1,273
|
|||||
1,350
|
5.00%, due 8/15/22
|
1,384
|
(n)
|
||||
665
|
4.75%, due 2/16/24
|
673
|
(n)
|
||||
9,696
|
|||||||
Banks 9.9%
|
|||||||
EUR
|
1,700
|
ABN AMRO Bank NV, (5 year EUR Swap + 3.90), 4.75%, due 9/22/27
|
1,822
|
(c)(r)(s)
|
|||
$
|
300
|
Akbank T.A.S., 4.00%, due 1/24/20
|
296
|
(r)
|
|||
400
|
Banco Bradesco SA, 6.75%, due 9/29/19
|
408
|
(r)
|
||||
200
|
Banco Davivienda SA, 5.88%, due 7/9/22
|
210
|
(r)
|
||||
2,300
|
Banco de Credito e Inversiones, 3.50%, due 10/12/27
|
2,164
|
(l)(n)
|
||||
221
|
Banco del Estado de Chile, 2.67%, due 1/8/21
|
217
|
(l)(n)
|
||||
Banco do Brasil SA
|
|||||||
224
|
4.88%, due 4/19/23
|
226
|
(l)(n)
|
||||
300
|
4.88%, due 4/19/23
|
303
|
(r)
|
||||
150
|
Banco Int'l del Peru SAA Interbank, 3.38%, due 1/18/23
|
146
|
(r)
|
||||
6,895
|
Banco Santander SA, 3.80%, due 2/23/28
|
6,451
|
(n)
|
||||
122
|
Bancolombia SA, 5.95%, due 6/3/21
|
127
|
(n)
|
||||
Bank of America Corp.
|
|||||||
10,710
|
(3 month USD LIBOR + 0.37%), 2.74%, due 1/23/22
|
10,626
|
(c)(n)
|
||||
9,775
|
(3 month USD LIBOR + 1.51%), 3.71%, due 4/24/28
|
9,660
|
(c)(n)
|
||||
7,345
|
(3 month USD LIBOR + 1.07%), 3.97%, due 3/5/29
|
7,387
|
(c)(n)
|
||||
5,920
|
Barclays PLC, 4.38%, due 1/12/26
|
5,819
|
(n)
|
||||
BBVA Bancomer SA
|
|||||||
800
|
7.25%, due 4/22/20
|
828
|
(r)
|
||||
200
|
6.75%, due 9/30/22
|
213
|
(r)
|
||||
250
|
China CITIC Bank Int'l Ltd., 6.88%, due 6/24/20
|
260
|
(r)
|
||||
200
|
China Construction Bank Asia Corp. Ltd., (5 year CMT + 2.75%), 4.25%, due 8/20/24
|
201
|
(c)(r)
|
||||
Citigroup, Inc.
|
|||||||
|
13,835
|
(3 month USD LIBOR + 1.56%), 3.89%, due 1/10/28
|
|
13,778
|
(c)(n)
|
||
5,165
|
(3 month USD LIBOR + 1.15%), 3.52%, due 10/27/28
|
4,995
|
(c)(n)
|
||||
GBP
|
2,980
|
CYBG PLC, (5 year GBP Swap + 6.25%), 8.00%, due 12/8/22
|
3,611
|
(c)(n)(r)(s)
|
|||
DIB Sukuk Ltd.
|
|||||||
$
|
600
|
2.92%, due 6/3/20
|
592
|
(r)
|
|||
400
|
3.60%, due 3/30/21
|
397
|
(r)
|
||||
200
|
Emirates NBD PJSC, 3.25%, due 11/19/19
|
199
|
(r)
|
||||
Goldman Sachs Group, Inc.
|
|||||||
4,480
|
2.60%, due 4/23/20
|
4,456
|
(n)
|
||||
9,160
|
(3 month USD LIBOR + 1.51%), 3.69%, due 6/5/28
|
8,892
|
(c)(n)
|
||||
17,510
|
(3 month USD LIBOR + 1.16%), 3.81%, due 4/23/29
|
17,047
|
(c)(n)
|
||||
7,220
|
(3 month USD LIBOR + 1.37%), 4.02%, due 10/31/38
|
6,809
|
(c)(n)
|
||||
7,095
|
5.15%, due 5/22/45
|
7,260
|
(n)
|
||||
200
|
Grupo Aval Ltd., 4.75%, due 9/26/22
|
197
|
(r)
|
||||
650
|
Gulf Int'l Bank BSC, 3.50%, due 3/25/22
|
631
|
(r)
|
||||
14,150
|
HSBC Holdings PLC, (5 year USD ICE Swap + 3.75%), 6.00%, due 5/22/27
|
13,619
|
(c)(n)(s)
|
||||
400
|
IDBI Bank Ltd./GIFT-IFC, 4.25%, due 11/30/20
|
395
|
(r)
|
||||
600
|
Itau CorpBanca, 3.88%, due 9/22/19
|
602
|
(r)
|
||||
JPMorgan Chase & Co.
|
|||||||
11,750
|
(3 month USD LIBOR + 1.12%), 4.01%, due 4/23/29
|
11,882
|
(c)(n)
|
||||
6,785
|
(3 month USD LIBOR + 1.36%), 3.88%, due 7/24/38
|
6,495
|
(c)(n)
|
||||
6,230
|
(3 month USD LIBOR + 1.22%), 3.90%, due 1/23/49
|
5,816
|
(c)(n)
|
||||
600
|
KEB Hana Bank, (3 month USD LIBOR + 0.73%), 3.52%, due 4/5/20
|
601
|
(c)(r)
|
||||
Morgan Stanley
|
|||||||
4,915
|
Ser. H, (3 month USD LIBOR + 3.61%), 5.45%, due 7/15/19
|
4,921
|
(c)(n)(s)
|
||||
16,385
|
(3 month USD LIBOR + 1.34%), 3.59%, due 7/22/28
|
15,999
|
(c)(n)
|
||||
DKK
|
187,529
|
Nykredit Realkredit A/S, 2.00%, due 10/1/47
|
29,221
|
(n)(r)
|
|||
$
|
200
|
QIB Sukuk Ltd., 3.25%, due 5/23/22
|
195
|
(r)
|
|||
QNB Finance Ltd.
|
|||||||
400
|
2.88%, due 4/29/20
|
396
|
(r)
|
||||
200
|
(3 month USD LIBOR + 1.35%), 4.06%, due 5/31/21
|
201
|
(c)(r)
|
||||
DKK
|
165,089
|
Realkredit Danmark A/S, 2.00%, due 10/1/47
|
25,501
|
(n)(r)
|
|||
Royal Bank of Scotland Group PLC
|
|||||||
$
|
9,850
|
4.80%, due 4/5/26
|
9,874
|
||||
4,275
|
(3 month USD LIBOR + 1.91%), 5.08%, due 1/27/30
|
4,284
|
(c)(n)
|
||||
200
|
Shinhan Bank Co. Ltd., (5 year CMT + 2.15%), 3.88%, due 12/7/26
|
199
|
(c)(r)
|
||||
TC Ziraat Bankasi A/S
|
|||||||
500
|
4.25%, due 7/3/19
|
496
|
(r)
|
||||
550
|
5.13%, due 5/3/22
|
512
|
(r)
|
||||
2,240
|
Trade & Development Bank of Mongolia LLC, 9.38%, due 5/19/20
|
2,332
|
(n)(r)
|
||||
1,000
|
Turkiye Garanti Bankasi A/S, 4.75%, due 10/17/19
|
994
|
(r)
|
||||
200
|
Turkiye Is Bankasi AS, 5.50%, due 4/21/19
|
200
|
(r)
|
||||
200
|
Turkiye Vakiflar Bankasi TAO, 5.50%, due 10/27/21
|
192
|
(r)
|
||||
14,520
|
Westpac Banking Corp., (5 year USD ICE Swap + 2.89%), 5.00%, due 9/21/27
|
12,576
|
(c)(n)(s)
|
||||
Yapi ve Kredi Bankasi A/S
|
|||||||
|
800
|
5.13%, due 10/22/19
|
|
793
|
(r)
|
||
200
|
5.75%, due 2/24/22
|
191
|
(r)
|
||||
300
|
Zenith Bank PLC, 6.25%, due 4/22/19
|
300
|
(r)
|
||||
265,015
|
|||||||
Beverages 1.7%
|
|||||||
5,025
|
Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, due 2/1/36
|
4,817
|
(l)(n)
|
||||
Anheuser-Busch InBev Worldwide, Inc.
|
|||||||
6,005
|
4.60%, due 4/15/48
|
5,460
|
(n)
|
||||
12,565
|
4.75%, due 4/15/58
|
11,184
|
(n)
|
||||
21,975
|
5.80%, due 1/23/59
|
23,066
|
(n)
|
||||
44,527
|
|||||||
Brokerage 0.1%
|
|||||||
1,445
|
LPL Holdings, Inc., 5.75%, due 9/15/25
|
1,421
|
(l)(n)
|
||||
Building & Construction 0.3%
|
|||||||
Lennar Corp.
|
|||||||
425
|
4.50%, due 11/15/19
|
423
|
|||||
320
|
8.38%, due 1/15/21
|
345
|
|||||
660
|
4.75%, due 4/1/21
|
667
|
|||||
45
|
4.13%, due 1/15/22
|
45
|
|||||
570
|
5.38%, due 10/1/22
|
584
|
|||||
765
|
4.75%, due 11/15/22
|
768
|
|||||
700
|
4.88%, due 12/15/23
|
700
|
|||||
365
|
5.25%, due 6/1/26
|
356
|
|||||
240
|
Meritage Homes Corp., 7.15%, due 4/15/20
|
248
|
|||||
910
|
PulteGroup, Inc., 4.25%, due 3/1/21
|
923
|
|||||
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc.
|
|||||||
885
|
5.25%, due 4/15/21
|
886
|
(l)
|
||||
615
|
5.63%, due 3/1/24
|
598
|
(l)
|
||||
Toll Brothers Finance Corp.
|
|||||||
390
|
5.88%, due 2/15/22
|
406
|
|||||
560
|
4.38%, due 4/15/23
|
549
|
|||||
105
|
5.63%, due 1/15/24
|
108
|
|||||
465
|
4.88%, due 3/15/27
|
448
|
|||||
550
|
4.35%, due 2/15/28
|
500
|
|||||
TRI Pointe Group, Inc.
|
|||||||
390
|
4.88%, due 7/1/21
|
384
|
|||||
220
|
5.25%, due 6/1/27
|
190
|
|||||
9,128
|
|||||||
Building Materials 0.1%
|
|||||||
140
|
Beacon Roofing Supply, Inc., 6.38%, due 10/1/23
|
144
|
(n)
|
||||
250
|
Cementos Progreso Trust, 7.13%, due 11/6/23
|
257
|
(r)
|
||||
EUR
|
674
|
CEMEX Finance LLC, 4.63%, due 6/15/24
|
803
|
(r)
|
|||
EUR
|
135
|
Cemex SAB de CV, 2.75%, due 12/5/24
|
150
|
(r)
|
|||
$
|
605
|
HD Supply, Inc., 5.38%, due 10/15/26
|
608
|
(l)
|
|||
120
|
Jeld-Wen, Inc., 4.88%, due 12/15/27
|
106
|
(l)
|
||||
111
|
Masonite Int'l Corp., 5.63%, due 3/15/23
|
112
|
(l)
|
||||
360
|
USG Corp., 5.50%, due 3/1/25
|
366
|
(l)
|
||||
2,546
|
|||||||
Cable & Satellite Television 1.0%
|
|||||||
510
|
Altice Financing SA, 6.63%, due 2/15/23
|
513
|
(l)
|
||||
1,380
|
Altice France SA, 8.13%, due 2/1/27
|
1,359
|
(l)
|
||||
Altice Luxembourg SA
|
|||||||
|
1,800
|
7.75%, due 5/15/22
|
|
1,746
|
(l)(n)
|
||
830
|
7.63%, due 2/15/25
|
706
|
(l)(n)
|
||||
670
|
Cable One, Inc., 5.75%, due 6/15/22
|
681
|
(l)(n)
|
||||
CCO Holdings LLC/CCO Holdings Capital Corp.
|
|||||||
850
|
5.25%, due 9/30/22
|
859
|
(n)
|
||||
1,215
|
5.13%, due 2/15/23
|
1,227
|
(n)
|
||||
70
|
4.00%, due 3/1/23
|
68
|
(l)(n)
|
||||
1,520
|
5.13%, due 5/1/23
|
1,540
|
(l)(n)
|
||||
180
|
5.75%, due 1/15/24
|
184
|
(n)
|
||||
705
|
5.88%, due 4/1/24
|
723
|
(l)(n)
|
||||
1,500
|
5.75%, due 2/15/26
|
1,526
|
(l)(n)
|
||||
1,220
|
5.00%, due 2/1/28
|
1,159
|
(l)(n)
|
||||
CSC Holdings LLC
|
|||||||
340
|
6.75%, due 11/15/21
|
357
|
(n)
|
||||
1,825
|
5.13%, due 12/15/21
|
1,828
|
(l)(n)
|
||||
221
|
10.13%, due 1/15/23
|
238
|
(l)
|
||||
645
|
5.38%, due 7/15/23
|
651
|
(l)
|
||||
770
|
7.75%, due 7/15/25
|
807
|
(l)
|
||||
365
|
6.63%, due 10/15/25
|
382
|
(l)
|
||||
1,051
|
10.88%, due 10/15/25
|
1,211
|
(l)(n)
|
||||
895
|
5.50%, due 5/15/26
|
886
|
(l)
|
||||
470
|
5.50%, due 4/15/27
|
459
|
(l)(n)
|
||||
345
|
7.50%, due 4/1/28
|
355
|
(l)
|
||||
DISH DBS Corp.
|
|||||||
1,185
|
6.75%, due 6/1/21
|
1,207
|
(n)
|
||||
220
|
5.88%, due 7/15/22
|
209
|
(n)
|
||||
80
|
5.00%, due 3/15/23
|
70
|
(n)
|
||||
1,300
|
5.88%, due 11/15/24
|
1,077
|
(n)
|
||||
Numericable-SFR SA
|
|||||||
1,225
|
6.25%, due 5/15/24
|
1,201
|
(l)
|
||||
1,615
|
7.38%, due 5/1/26
|
1,558
|
(l)(n)
|
||||
765
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.00%, due 1/15/25
|
777
|
(l)
|
||||
285
|
UPCB Finance IV Ltd., 5.38%, due 1/15/25
|
274
|
(l)
|
||||
Virgin Media Finance PLC
|
|||||||
530
|
5.25%, due 2/15/22
|
525
|
|||||
275
|
6.00%, due 10/15/24
|
279
|
(l)
|
||||
930
|
Virgin Media Secured Finance PLC, 5.50%, due 8/15/26
|
914
|
(l)(n)
|
||||
330
|
Ziggo BV, 5.50%, due 1/15/27
|
312
|
(l)(n)
|
||||
27,868
|
|||||||
Chemicals 0.7%
|
|||||||
600
|
Alpek SAB de CV, 4.50%, due 11/20/22
|
598
|
(r)
|
||||
120
|
Ashland LLC, 4.75%, due 8/15/22
|
121
|
(n)
|
||||
EUR
|
168
|
Axalta Coating Systems Dutch Holding B BV, 3.75%, due 1/15/25
|
192
|
(r)
|
|||
EUR
|
1,090
|
Axalta Coating Systems LLC, 4.25%, due 8/15/24
|
1,278
|
(r)
|
|||
Bluestar Finance Holdings Ltd.
|
|||||||
$
|
200
|
3.13%, due 9/30/19
|
199
|
(r)
|
|||
200
|
3.50%, due 9/30/21
|
196
|
(r)
|
||||
400
|
Braskem Finance Ltd., 5.75%, due 4/15/21
|
415
|
(r)
|
||||
200
|
Braskem Netherlands Finance BV, 3.50%, due 1/10/23
|
194
|
(r)
|
||||
EUR
|
391
|
CeramTec BondCo GmbH, 5.25%, due 12/15/25
|
433
|
(r)
|
|||
$
|
345
|
CF Industries, Inc., 5.38%, due 3/15/44
|
300
|
(n)
|
|||
CNAC HK Finbridge Co. Ltd.
|
|||||||
|
200
|
3.50%, due 7/19/22
|
|
197
|
(r)
|
||
601
|
4.63%, due 3/14/23
|
613
|
(r)
|
||||
670
|
5.13%, due 3/14/28
|
698
|
(r)
|
||||
Huntsman Int'l LLC
|
|||||||
1,230
|
4.88%, due 11/15/20
|
1,252
|
|||||
150
|
5.13%, due 11/15/22
|
155
|
|||||
EUR
|
801
|
4.25%, due 4/1/25
|
1,006
|
||||
EUR
|
941
|
INEOS Finance PLC, 2.13%, due 11/15/25
|
1,015
|
(r)
|
|||
$
|
420
|
INEOS Group Holdings SA, 5.63%, due 8/1/24
|
403
|
(l)
|
|||
700
|
Mexichem SAB de CV, 4.88%, due 9/19/22
|
714
|
(r)
|
||||
NOVA Chemicals Corp.
|
|||||||
1,525
|
5.25%, due 8/1/23
|
1,483
|
(l)(n)
|
||||
950
|
4.88%, due 6/1/24
|
902
|
(l)
|
||||
760
|
5.00%, due 5/1/25
|
699
|
(l)
|
||||
545
|
5.25%, due 6/1/27
|
497
|
(l)
|
||||
Platform Specialty Products Corp.
|
|||||||
70
|
6.50%, due 2/1/22
|
71
|
(l)
|
||||
200
|
5.88%, due 12/1/25
|
199
|
(l)
|
||||
1,070
|
PQ Corp., 6.75%, due 11/15/22
|
1,119
|
(l)
|
||||
327
|
SABIC Capital II BV, 4.00%, due 10/10/23
|
331
|
(l)
|
||||
SASOL Financing USA LLC
|
|||||||
449
|
5.88%, due 3/27/24
|
463
|
|||||
415
|
6.50%, due 9/27/28
|
438
|
|||||
EUR
|
568
|
Solvay Finance SA, (5 year EUR Swap + 5.22%), 5.87%, due 6/3/24
|
723
|
(c)(r)(s)
|
|||
$
|
1,285
|
WR Grace & Co-Conn, 5.13%, due 10/1/21
|
1,320
|
(l)(n)
|
|||
18,224
|
|||||||
Coal 0.0%(a)
|
|||||||
200
|
Shandong Energy Australia Pty Ltd., 4.55%, due 7/26/20
|
196
|
(r)
|
||||
Commercial Services 0.2%
|
|||||||
200
|
Adani Ports & Special Economic Zone Ltd., 3.50%, due 7/29/20
|
198
|
(r)
|
||||
EUR
|
596
|
Avis Budget Finance PLC, 4.50%, due 5/15/25
|
682
|
(r)
|
|||
EUR
|
446
|
Blitz F18-674 GmbH, 6.00%, due 7/30/26
|
510
|
(r)
|
|||
EUR
|
400
|
Elis SA, 2.88%, due 2/15/26
|
457
|
(r)
|
|||
EUR
|
512
|
Europcar Mobility Group, 4.13%, due 11/15/24
|
573
|
(r)
|
|||
EUR
|
574
|
Hertz Holdings Netherlands BV, 4.13%, due 10/15/21
|
662
|
(r)
|
|||
$
|
230
|
Korea Expressway Corp., (3 month USD LIBOR + 0.70%), 3.46%, due 4/20/20
|
230
|
(c)(r)
|
|||
EUR
|
631
|
Loxam SAS, 6.00%, due 4/15/25
|
743
|
(r)
|
|||
4,055
|
|||||||
Computers 1.8%
|
|||||||
$
|
8,830
|
Apple, Inc., 4.65%, due 2/23/46
|
9,627
|
(n)
|
|||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.
|
|||||||
15,460
|
5.45%, due 6/15/23
|
16,172
|
(l)(n)
|
||||
8,595
|
6.02%, due 6/15/26
|
8,982
|
(l)(n)
|
||||
HP Enterprise Co.
|
|||||||
8,980
|
3.60%, due 10/15/20
|
9,036
|
(n)
|
||||
3,095
|
4.90%, due 10/15/25
|
3,238
|
(n)
|
||||
47,055
|
|||||||
Consumer - Commercial Lease Financing 0.7%
|
|||||||
660
|
Avolon Holdings Funding Ltd., 5.13%, due 10/1/23
|
670
|
(l)(n)
|
||||
Navient Corp.
|
|||||||
|
1,530
|
4.88%, due 6/17/19
|
|
1,532
|
(n)
|
||
1,100
|
8.00%, due 3/25/20
|
1,145
|
|||||
375
|
5.88%, due 3/25/21
|
382
|
|||||
300
|
6.63%, due 7/26/21
|
308
|
|||||
575
|
6.50%, due 6/15/22
|
587
|
|||||
484
|
5.88%, due 10/25/24
|
453
|
|||||
525
|
6.75%, due 6/15/26
|
495
|
|||||
Park Aerospace Holdings Ltd.
|
|||||||
310
|
3.63%, due 3/15/21
|
306
|
(l)
|
||||
2,990
|
5.25%, due 8/15/22
|
3,036
|
(l)(n)
|
||||
140
|
4.50%, due 3/15/23
|
137
|
(l)
|
||||
1,750
|
5.50%, due 2/15/24
|
1,779
|
(l)(n)
|
||||
SLM Corp.
|
|||||||
570
|
7.25%, due 1/25/22
|
591
|
|||||
550
|
6.13%, due 3/25/24
|
527
|
|||||
Springleaf Finance Corp.
|
|||||||
555
|
8.25%, due 12/15/20
|
593
|
|||||
2,305
|
7.75%, due 10/1/21
|
2,426
|
(n)
|
||||
1,080
|
6.13%, due 5/15/22
|
1,110
|
|||||
90
|
5.63%, due 3/15/23
|
89
|
|||||
845
|
6.88%, due 3/15/25
|
809
|
|||||
865
|
7.13%, due 3/15/26
|
824
|
|||||
17,799
|
|||||||
Diversified Capital Goods 0.1%
|
|||||||
220
|
Anixter, Inc., 5.13%, due 10/1/21
|
224
|
(n)
|
||||
CFX Escrow Corp.
|
|||||||
525
|
6.00%, due 2/15/24
|
525
|
(l)(q)
|
||||
260
|
6.38%, due 2/15/26
|
260
|
(l)(q)
|
||||
480
|
Resideo Funding, Inc., 6.13%, due 11/1/26
|
494
|
(l)
|
||||
SPX FLOW, Inc.
|
|||||||
135
|
5.63%, due 8/15/24
|
132
|
(l)
|
||||
200
|
5.88%, due 8/15/26
|
197
|
(l)
|
||||
1,832
|
|||||||
Diversified Financial Services 0.8%
|
|||||||
11,795
|
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, due 10/1/25
|
11,543
|
(n)
|
||||
200
|
CCBL Cayman Corp. Ltd., 3.25%, due 7/28/20
|
199
|
(r)
|
||||
200
|
CDBL Funding 2, 2.63%, due 8/1/20
|
197
|
(r)
|
||||
700
|
Charming Light Investments Ltd., 4.38%, due 12/21/27
|
676
|
(r)
|
||||
238
|
Far East Horizon Ltd., (3 month USD LIBOR + 2.00%), 4.81%, due 7/3/21
|
237
|
(c)(r)
|
||||
200
|
GTLK Europe DAC, 5.95%, due 7/19/21
|
201
|
(r)
|
||||
Huarong Finance 2017 Co. Ltd.
|
|||||||
400
|
3.38%, due 1/24/20
|
397
|
(r)
|
||||
200
|
(3 month USD LIBOR + 1.65%), 4.41%, due 4/27/20
|
200
|
(c)(r)
|
||||
600
|
(5 year CMT + 7.77%), 4.50%, due 1/24/22
|
582
|
(c)(r)(s)
|
||||
600
|
(3 month USD LIBOR + 1.85%), 4.61%, due 4/27/22
|
599
|
(c)(r)
|
||||
2,690
|
(5 year CMT + 6.98%), 4.00%, due 11/7/22
|
2,523
|
(c)(n)(r)(s)
|
||||
ICBCIL Finance Co. Ltd.
|
|||||||
1,000
|
3.00%, due 4/5/20
|
993
|
(n)(r)
|
||||
800
|
3.20%, due 11/10/20
|
794
|
(r)
|
||||
400
|
2.50%, due 9/29/21
|
386
|
(r)
|
||||
200
|
JIC Zhixin Ltd., 3.00%, due 11/24/22
|
195
|
(r)
|
||||
DKK
|
4,992
|
Jyske Realkredit A/S, 2.00%, due 10/1/47
|
773
|
||||
$
|
200
|
Mestenio Ltd., 8.50%, due 1/2/20
|
|
204
|
(r)
|
||
200
|
Rural Electrification Corp. Ltd., 3.07%, due 12/18/20
|
197
|
(r)
|
||||
GBP
|
305
|
Vantiv LLC/Vantiv Issuer Corp., 3.88%, due 11/15/25
|
387
|
(r)
|
|||
21,283
|
|||||||
Electric 1.8%
|
|||||||
$
|
4,600
|
1MDB Energy Ltd., 5.99%, due 5/11/22
|
4,708
|
(n)(r)
|
|||
380
|
Comision Federal de Electricidad, 4.88%, due 5/26/21
|
385
|
(r)
|
||||
GBP
|
400
|
Drax Finco PLC, 4.25%, due 5/1/22
|
525
|
(r)
|
|||
GBP
|
1,104
|
E.ON Int'l Finance BV, Ser. 4, 6.38%, due 6/7/32
|
1,969
|
||||
EnBW Energie Baden-Wuerttemberg AG
|
|||||||
EUR
|
10,580
|
(5 year EUR Swap + 2.34%), 3.63%, due 4/2/76
|
12,579
|
(c)(n)(r)
|
|||
EUR
|
595
|
(5 year EUR Swap + 3.63%), 3.38%, due 4/5/77
|
709
|
(c)(r)
|
|||
GBP
|
1,755
|
Enel SpA, (5 year GBP Swap + 4.09%), 6.63%, due 9/15/76
|
2,440
|
(c)(n)(r)
|
|||
Eskom Holdings SOC Ltd.
|
|||||||
$
|
800
|
5.75%, due 1/26/21
|
784
|
(r)
|
|||
980
|
6.75%, due 8/6/23
|
963
|
(r)
|
||||
208
|
6.35%, due 8/10/28
|
213
|
(l)(n)
|
||||
200
|
GCL New Energy Holdings Ltd., 7.10%, due 1/30/21
|
180
|
(r)
|
||||
400
|
Genneia SA, 8.75%, due 1/20/22
|
371
|
(r)
|
||||
GBP
|
7,882
|
NGG Finance PLC, (12 year GBP Swap + 3.48%), 5.63%, due 6/18/73
|
11,062
|
(c)(n)(r)
|
|||
GBP
|
285
|
NWEN Finance PLC, 5.88%, due 6/21/21
|
381
|
(r)
|
|||
Orano SA
|
|||||||
EUR
|
400
|
3.25%, due 9/4/20
|
473
|
(r)
|
|||
EUR
|
650
|
3.50%, due 3/22/21
|
775
|
(r)
|
|||
EUR
|
700
|
4.88%, due 9/23/24
|
831
|
||||
$
|
600
|
Pampa Energia SA, 7.38%, due 7/21/23
|
568
|
(r)
|
|||
Perusahaan Listrik Negara PT
|
|||||||
200
|
5.50%, due 11/22/21
|
208
|
(r)
|
||||
EUR
|
281
|
2.88%, due 10/25/25
|
331
|
(l)
|
|||
$
|
200
|
5.45%, due 5/21/28
|
210
|
(l)
|
|||
612
|
6.15%, due 5/21/48
|
660
|
(l)
|
||||
298
|
Spic 2018, (3 year CMT + 6.85%), 5.80%, due 5/21/22
|
310
|
(c)(r)(s)
|
||||
SSE PLC
|
|||||||
EUR
|
2,735
|
(5 year EUR Swap + 1.99%), 2.38%, due 4/1/21
|
3,125
|
(c)(n)(r)(s)
|
|||
GBP
|
2,610
|
(5 year GBP Swap + 2.75%), 3.63%, due 9/16/77
|
3,324
|
(c)(n)(r)
|
|||
48,084
|
|||||||
Electric - Generation 0.5%
|
|||||||
Calpine Corp.
|
|||||||
$
|
2,560
|
6.00%, due 1/15/22
|
2,579
|
(l)(n)
|
|||
1,050
|
5.38%, due 1/15/23
|
1,021
|
(n)
|
||||
360
|
5.88%, due 1/15/24
|
360
|
(l)(n)
|
||||
325
|
5.75%, due 1/15/25
|
306
|
(n)
|
||||
Dynegy, Inc.
|
|||||||
715
|
7.38%, due 11/1/22
|
744
|
(n)
|
||||
1,355
|
5.88%, due 6/1/23
|
1,385
|
(n)
|
||||
2,207
|
7.63%, due 11/1/24
|
2,345
|
(n)
|
||||
NRG Energy, Inc.
|
|||||||
600
|
6.25%, due 5/1/24
|
621
|
|||||
1,630
|
7.25%, due 5/15/26
|
1,761
|
(n)
|
||||
1,565
|
6.63%, due 1/15/27
|
1,648
|
(n)
|
||||
Vistra Operations Co. LLC
|
|||||||
510
|
5.50%, due 9/1/26
|
517
|
(l)
|
||||
865
|
5.63%, due 2/15/27
|
872
|
(l)(q)
|
||||
14,159
|
|||||||
Electric - Integrated 0.1%
|
|||||||
60
|
IPALCO Enterprises, Inc., 3.45%, due 7/15/20
|
60
|
|||||
Talen Energy Supply LLC
|
|||||||
|
1,585
|
9.50%, due 7/15/22
|
|
1,617
|
(l)(n)
|
||
1,050
|
10.50%, due 1/15/26
|
971
|
(l)
|
||||
2,648
|
|||||||
Electrical Components & Equipment 0.1%
|
|||||||
Belden, Inc.
|
|||||||
EUR
|
270
|
4.13%, due 10/15/26
|
315
|
(r)
|
|||
EUR
|
893
|
3.38%, due 7/15/27
|
983
|
(r)
|
|||
EUR
|
327
|
Energizer Gamma Acquisition BV, 4.63%, due 7/15/26
|
367
|
(r)
|
|||
1,665
|
|||||||
Electronics 0.2%
|
|||||||
$
|
910
|
Amkor Technology, Inc., 6.38%, due 10/1/22
|
919
|
(n)
|
|||
210
|
Micron Technology, Inc., 5.50%, due 2/1/25
|
213
|
|||||
700
|
NXP BV/NXP Funding LLC, 4.13%, due 6/1/21
|
703
|
(l)
|
||||
710
|
Sensata Technologies UK Financing Co. PLC, 6.25%, due 2/15/26
|
740
|
(l)
|
||||
2,030
|
Tsinghua Unic Ltd., 5.38%, due 1/31/23
|
1,887
|
(n)(r)
|
||||
4,462
|
|||||||
Energy - Alternate Sources 0.0%(a)
|
|||||||
700
|
Azure Power Energy Ltd., 5.50%, due 11/3/22
|
680
|
(r)
|
||||
200
|
Greenko Dutch BV, 4.88%, due 7/24/22
|
193
|
(r)
|
||||
274
|
Rio Energy SA/UGEN SA/UENSA SA, 6.88%, due 2/1/25
|
218
|
(l)
|
||||
1,091
|
|||||||
Energy - Exploration & Production 0.7%
|
|||||||
Antero Resources Corp.
|
|||||||
1,425
|
5.38%, due 11/1/21
|
1,432
|
(n)
|
||||
1,040
|
5.13%, due 12/1/22
|
1,039
|
(n)
|
||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp.
|
|||||||
1,082
|
10.00%, due 4/1/22
|
1,156
|
(l)(n)
|
||||
1,210
|
7.00%, due 11/1/26
|
1,168
|
(l)
|
||||
Chesapeake Energy Corp.
|
|||||||
840
|
6.13%, due 2/15/21
|
838
|
(n)
|
||||
110
|
4.88%, due 4/15/22
|
105
|
(n)
|
||||
115
|
5.75%, due 3/15/23
|
108
|
(n)
|
||||
185
|
7.00%, due 10/1/24
|
180
|
(n)
|
||||
1,080
|
8.00%, due 1/15/25
|
1,086
|
|||||
775
|
8.00%, due 6/15/27
|
743
|
(n)
|
||||
EP Energy LLC/Everest Acquisition Finance, Inc.
|
|||||||
320
|
7.75%, due 9/1/22
|
144
|
(n)
|
||||
1,730
|
6.38%, due 6/15/23
|
675
|
(n)
|
||||
1,470
|
9.38%, due 5/1/24
|
783
|
(l)(n)
|
||||
120
|
Newfield Exploration Co., 5.75%, due 1/30/22
|
125
|
|||||
Oasis Petroleum, Inc.
|
|||||||
675
|
6.88%, due 3/15/22
|
673
|
|||||
215
|
6.88%, due 1/15/23
|
213
|
|||||
550
|
6.25%, due 5/1/26
|
520
|
(l)
|
||||
Parsley Energy LLC/Parsley Finance Corp.
|
|||||||
135
|
5.38%, due 1/15/25
|
134
|
(l)
|
||||
90
|
5.63%, due 10/15/27
|
89
|
(l)
|
||||
445
|
PDC Energy, Inc., 5.75%, due 5/15/26
|
417
|
|||||
Range Resources Corp.
|
|||||||
|
630
|
5.75%, due 6/1/21
|
|
633
|
|||
220
|
5.88%, due 7/1/22
|
221
|
|||||
280
|
5.00%, due 8/15/22
|
272
|
|||||
1,150
|
5.00%, due 3/15/23
|
1,092
|
|||||
Sanchez Energy Corp.
|
|||||||
120
|
7.75%, due 6/15/21
|
23
|
|||||
1,460
|
6.13%, due 1/15/23
|
256
|
|||||
SM Energy Co.
|
|||||||
989
|
6.13%, due 11/15/22
|
991
|
|||||
605
|
5.00%, due 1/15/24
|
572
|
|||||
375
|
6.63%, due 1/15/27
|
367
|
|||||
Whiting Petroleum Corp.
|
|||||||
970
|
5.75%, due 3/15/21
|
970
|
|||||
915
|
6.25%, due 4/1/23
|
904
|
|||||
640
|
6.63%, due 1/15/26
|
627
|
|||||
WPX Energy, Inc.
|
|||||||
470
|
6.00%, due 1/15/22
|
477
|
|||||
130
|
8.25%, due 8/1/23
|
145
|
|||||
465
|
5.25%, due 9/15/24
|
459
|
|||||
280
|
5.75%, due 6/1/26
|
279
|
|||||
19,916
|
|||||||
Engineering & Construction 0.2%
|
|||||||
289
|
Aeropuerto Int'l de Tocumen SA, 6.00%, due 11/18/48
|
299
|
(l)
|
||||
200
|
Chang Development Int'l Ltd., 3.63%, due 1/20/20
|
195
|
(r)
|
||||
402
|
Dianjian Int'l Finance Ltd., (5 year CMT + 6.93%), 4.60%, due 3/13/23
|
390
|
(c)(r)(s)
|
||||
2,545
|
Indo Energy Finance II BV, 6.38%, due 1/24/23
|
2,469
|
(n)(r)
|
||||
300
|
Leader Goal Int'l Ltd., (5 year CMT + 6.92%), 4.25%, due 1/19/23
|
292
|
(c)(r)(s)
|
||||
EUR
|
600
|
SPIE SA, 3.13%, due 3/22/24
|
690
|
(r)
|
|||
4,335
|
|||||||
Entertainment 0.2%
|
|||||||
GBP
|
624
|
AMC Entertainment Holdings, Inc., 6.38%, due 11/15/24
|
772
|
||||
EUR
|
649
|
Cirsa Finance Int'l S.a.r.l., 6.25%, due 12/20/23
|
773
|
(r)
|
|||
EUR
|
696
|
Codere Finance 2 Luxembourg SA, 6.75%, due 11/1/21
|
741
|
(r)
|
|||
Int'l Game Technology PLC
|
|||||||
EUR
|
562
|
4.75%, due 2/15/23
|
687
|
(r)
|
|||
EUR
|
100
|
3.50%, due 7/15/24
|
113
|
(r)
|
|||
Scientific Games Int'l, Inc.
|
|||||||
EUR
|
349
|
3.38%, due 2/15/26
|
373
|
(r)
|
|||
EUR
|
369
|
5.50%, due 2/15/26
|
365
|
(r)
|
|||
EUR
|
1,018
|
WMG Acquisition Corp., 4.13%, due 11/1/24
|
1,212
|
(r)
|
|||
5,036
|
|||||||
Environmental 0.0%(a)
|
|||||||
$
|
255
|
Advanced Disposal Services, Inc., 5.63%, due 11/15/24
|
256
|
(l)(n)
|
|||
Environmental Control 0.0%(a)
|
|||||||
GBP
|
283
|
Kelda Finance No 3 PLC, 5.75%, due 2/17/20
|
371
|
(r)
|
|||
EUR
|
914
|
Paprec Holding SA, 4.00%, due 3/31/25
|
889
|
(r)
|
|||
1,260
|
|||||||
Food 1.5%
|
|||||||
Casino Guichard Perrachon SA
|
|||||||
EUR
|
400
|
5.24%, due 3/9/20
|
477
|
||||
EUR
|
600
|
4.05%, due 8/5/26
|
626
|
(r)
|
|||
EUR
|
609
|
Darling Global Finance BV, 3.63%, due 5/15/26
|
716
|
(r)
|
|||
Grupo Bimbo SAB de CV
|
|||||||
$
|
7,200
|
(5 year CMT + 3.28%), 5.95%, due 4/17/23
|
|
7,119
|
(c)(l)(n)(s)
|
||
11,320
|
4.70%, due 11/10/47
|
10,499
|
(l)(n)
|
||||
1,397
|
JBS Investments GmbH, 7.25%, due 4/3/24
|
1,445
|
(r)
|
||||
10,195
|
Kroger Co., 5.40%, due 1/15/49
|
10,202
|
(n)
|
||||
3,450
|
Marfrig Holdings Europe BV, 8.00%, due 6/8/23
|
3,565
|
(n)(r)
|
||||
2,060
|
Minerva Luxembourg SA, 6.50%, due 9/20/26
|
1,970
|
(n)(r)
|
||||
EUR
|
877
|
Nomad Foods Bondco PLC, 3.25%, due 5/15/24
|
1,014
|
(r)
|
|||
GBP
|
349
|
Premier Foods Finance PLC, 6.25%, due 10/15/23
|
453
|
(r)
|
|||
GBP
|
504
|
Tesco PLC, 5.50%, due 1/13/33
|
771
|
||||
38,857
|
|||||||
Food & Drug Retail 0.0%(a)
|
|||||||
Albertsons Cos. LLC/Safeway, Inc./New Albertsons L.P./Albertson's LLC
|
|||||||
$
|
175
|
6.63%, due 6/15/24
|
172
|
(n)
|
|||
300
|
5.75%, due 3/15/25
|
281
|
(n)
|
||||
453
|
|||||||
Food - Wholesale 0.1%
|
|||||||
Post Holdings, Inc.
|
|||||||
760
|
5.50%, due 3/1/25
|
756
|
(l)
|
||||
285
|
5.75%, due 3/1/27
|
279
|
(l)
|
||||
425
|
5.63%, due 1/15/28
|
408
|
(l)
|
||||
1,443
|
|||||||
Food Service 0.0%(a)
|
|||||||
EUR
|
609
|
Aramark Int'l Finance S.a.r.l., 3.13%, due 4/1/25
|
714
|
(r)
|
|||
Forest Products & Paper 0.1%
|
|||||||
Smurfit Kappa Acquisitions
|
|||||||
EUR
|
599
|
2.75%, due 2/1/25
|
711
|
(r)
|
|||
EUR
|
325
|
2.88%, due 1/15/26
|
379
|
(r)
|
|||
$
|
279
|
Suzano Austria GmbH, 7.00%, due 3/16/47
|
303
|
(l)
|
|||
1,393
|
|||||||
Gaming 0.5%
|
|||||||
Boyd Gaming Corp.
|
|||||||
1,435
|
6.88%, due 5/15/23
|
1,492
|
(n)
|
||||
790
|
6.38%, due 4/1/26
|
807
|
(n)
|
||||
Eldorado Resorts, Inc.
|
|||||||
410
|
7.00%, due 8/1/23
|
428
|
(n)
|
||||
105
|
6.00%, due 4/1/25
|
106
|
(n)
|
||||
885
|
6.00%, due 9/15/26
|
883
|
(l)(n)
|
||||
1,660
|
GLP Capital L.P./GLP Financing II, Inc., 4.88%, due 11/1/20
|
1,684
|
(n)
|
||||
Int'l Game Technology PLC
|
|||||||
210
|
6.25%, due 2/15/22
|
217
|
(l)
|
||||
370
|
6.25%, due 1/15/27
|
375
|
(l)
|
||||
891
|
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., 6.75%, due 11/15/21
|
920
|
(l)
|
||||
MGM Resorts Int'l
|
|||||||
1,360
|
8.63%, due 2/1/19
|
1,360
|
(n)
|
||||
810
|
5.25%, due 3/31/20
|
822
|
|||||
835
|
6.63%, due 12/15/21
|
882
|
|||||
365
|
7.75%, due 3/15/22
|
397
|
|||||
260
|
5.75%, due 6/15/25
|
261
|
|||||
460
|
Scientific Games Int'l, Inc., 10.00%, due 12/1/22
|
484
|
|||||
415
|
Station Casinos LLC, 5.00%, due 10/1/25
|
397
|
(l)
|
||||
1,130
|
VICI Properties 1 LLC/VICI FC, Inc., 8.00%, due 10/15/23
|
1,220
|
|||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
|
|||||||
|
150
|
4.25%, due 5/30/23
|
|
146
|
(l)
|
||
1,050
|
5.50%, due 3/1/25
|
1,017
|
(l)
|
||||
13,898
|
|||||||
Gas 0.4%
|
|||||||
200
|
Binhai Investment Co. Ltd., 4.45%, due 11/30/20
|
186
|
(r)
|
||||
Centrica PLC
|
|||||||
GBP
|
2,900
|
(5 year GBP Swap + 3.61%), 5.25%, due 4/10/75
|
3,827
|
(c)(n)(r)
|
|||
EUR
|
5,560
|
(5 year EUR Swap + 2.69%), 3.00%, due 4/10/76
|
6,372
|
(c)(n)(r)
|
|||
10,385
|
|||||||
Gas Distribution 0.6%
|
|||||||
$
|
1,095
|
Antero Midstream Partners L.P./Antero Midstream Finance Corp., 5.38%, due 9/15/24
|
1,073
|
(n)
|
|||
530
|
Cheniere Corpus Christi Holdings LLC, 5.88%, due 3/31/25
|
556
|
(n)
|
||||
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp.
|
|||||||
345
|
6.25%, due 4/1/23
|
348
|
(n)
|
||||
255
|
5.75%, due 4/1/25
|
250
|
(n)
|
||||
DCP Midstream LLC
|
|||||||
390
|
5.35%, due 3/15/20
|
395
|
(l)(n)
|
||||
495
|
4.75%, due 9/30/21
|
497
|
(l)(n)
|
||||
625
|
(3 month USD LIBOR + 3.85%), 5.85%, due 5/21/43
|
538
|
(c)(l)(n)
|
||||
DCP Midstream Operating L.P.
|
|||||||
285
|
2.70%, due 4/1/19
|
285
|
(n)
|
||||
255
|
5.38%, due 7/15/25
|
260
|
|||||
380
|
5.60%, due 4/1/44
|
345
|
(n)
|
||||
Energy Transfer Equity L.P.
|
|||||||
1,650
|
7.50%, due 10/15/20
|
1,751
|
(n)
|
||||
250
|
5.88%, due 1/15/24
|
267
|
(n)
|
||||
NuStar Logistics L.P.
|
|||||||
615
|
4.80%, due 9/1/20
|
617
|
|||||
620
|
6.75%, due 2/1/21
|
637
|
|||||
405
|
4.75%, due 2/1/22
|
395
|
|||||
345
|
5.63%, due 4/28/27
|
335
|
|||||
1,140
|
Rockies Express Pipeline LLC, 5.63%, due 4/15/20
|
1,160
|
(l)(n)
|
||||
SemGroup Corp./Rose Rock Finance Corp.
|
|||||||
160
|
5.63%, due 7/15/22
|
152
|
|||||
605
|
5.63%, due 11/15/23
|
563
|
(n)
|
||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp.
|
|||||||
350
|
5.50%, due 8/15/22
|
338
|
|||||
1,065
|
5.75%, due 4/15/25
|
998
|
(n)
|
||||
Targa Resources Partners L.P./Targa Resources Partners Finance Corp.
|
|||||||
485
|
4.13%, due 11/15/19
|
485
|
|||||
750
|
5.25%, due 5/1/23
|
751
|
|||||
360
|
4.25%, due 11/15/23
|
348
|
|||||
1,055
|
6.75%, due 3/15/24
|
1,097
|
(n)
|
||||
500
|
5.13%, due 2/1/25
|
491
|
|||||
340
|
6.50%, due 7/15/27
|
350
|
(l)
|
||||
745
|
5.00%, due 1/15/28
|
702
|
|||||
170
|
6.88%, due 1/15/29
|
177
|
(l)
|
||||
640
|
Williams Cos., Inc., 7.88%, due 9/1/21
|
704
|
|||||
16,865
|
|||||||
Hand - Machine Tools 0.0%(a)
|
|||||||
EUR
|
889
|
Colfax Corp., 3.25%, due 5/15/25
|
980
|
(r)
|
|||
Health Facilities 0.6%
|
|||||||
Acadia Healthcare Co., Inc.
|
|||||||
|
125
|
5.13%, due 7/1/22
|
|
123
|
(n)
|
||
255
|
6.50%, due 3/1/24
|
251
|
(n)
|
||||
705
|
Columbia/HCA Corp., 7.69%, due 6/15/25
|
775
|
(n)
|
||||
HCA, Inc.
|
|||||||
320
|
7.50%, due 2/15/22
|
350
|
(n)
|
||||
2,130
|
5.88%, due 3/15/22
|
2,255
|
(n)
|
||||
935
|
4.75%, due 5/1/23
|
963
|
(n)
|
||||
270
|
5.88%, due 5/1/23
|
286
|
|||||
755
|
5.00%, due 3/15/24
|
786
|
(n)
|
||||
250
|
5.25%, due 4/15/25
|
264
|
(n)
|
||||
1,525
|
5.38%, due 9/1/26
|
1,565
|
(n)
|
||||
635
|
5.63%, due 9/1/28
|
656
|
|||||
695
|
5.88%, due 2/1/29
|
728
|
|||||
MEDNAX, Inc.
|
|||||||
325
|
5.25%, due 12/1/23
|
326
|
(l)
|
||||
855
|
6.25%, due 1/15/27
|
858
|
(l)
|
||||
Tenet Healthcare Corp.
|
|||||||
445
|
4.75%, due 6/1/20
|
448
|
|||||
365
|
4.50%, due 4/1/21
|
366
|
|||||
480
|
4.38%, due 10/1/21
|
479
|
|||||
940
|
7.50%, due 1/1/22
|
977
|
(l)
|
||||
345
|
8.13%, due 4/1/22
|
361
|
|||||
535
|
6.75%, due 6/15/23
|
526
|
|||||
562
|
4.63%, due 7/15/24
|
550
|
|||||
1,210
|
6.25%, due 2/1/27
|
1,228
|
(l)(q)
|
||||
165
|
6.88%, due 11/15/31
|
146
|
|||||
430
|
THC Escrow Corp., 7.00%, due 8/1/25
|
415
|
|||||
475
|
Universal Health Services, Inc., 4.75%, due 8/1/22
|
482
|
(l)
|
||||
16,164
|
|||||||
Health Services 0.2%
|
|||||||
830
|
DaVita, Inc., 5.75%, due 8/15/22
|
844
|
(n)
|
||||
IQVIA, Inc.
|
|||||||
390
|
4.88%, due 5/15/23
|
394
|
(l)
|
||||
670
|
5.00%, due 10/15/26
|
673
|
(l)
|
||||
Service Corp. Int'l
|
|||||||
430
|
4.50%, due 11/15/20
|
428
|
|||||
485
|
5.38%, due 1/15/22
|
489
|
|||||
1,130
|
5.38%, due 5/15/24
|
1,154
|
|||||
240
|
Syneos Health, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, due 10/1/24
|
253
|
(l)
|
||||
4,235
|
|||||||
Healthcare - Services 0.0%(a)
|
|||||||
EUR
|
1,079
|
Catalent Pharma Solutions, Inc., 4.75%, due 12/15/24
|
1,283
|
(r)
|
|||
Holding Companies - Diversified 0.1%
|
|||||||
GBP
|
789
|
Co-operative Group Holdings 2011 Ltd., 7.50%, due 7/8/26
|
1,134
|
(r)
|
|||
EUR
|
976
|
ProGroup AG, 3.00%, due 3/31/26
|
1,111
|
(r)
|
|||
2,245
|
|||||||
Home Builders 0.0%(a)
|
|||||||
GBP
|
933
|
Miller Homes Group Holdings PLC, 5.50%, due 10/15/24
|
1,157
|
(r)
|
|||
Hotels 0.1%
|
|||||||
$
|
695
|
ESH Hospitality, Inc., 5.25%, due 5/1/25
|
687
|
(l)(n)
|
|||
435
|
Hilton Domestic Operating Co., Inc., 5.13%, due 5/1/26
|
438
|
(l)(n)
|
||||
|
735
|
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, due 4/1/25
|
|
728
|
|||
490
|
RHP Hotel Properties L.P./RHP Finance Corp., 5.00%, due 4/15/21
|
491
|
|||||
2,344
|
|||||||
Household Products - Wares 0.0%(a)
|
|||||||
EUR
|
620
|
Spectrum Brands, Inc., 4.00%, due 10/1/26
|
699
|
(r)
|
|||
Insurance 0.4%
|
|||||||
$
|
8,575
|
AXA Equitable Holdings, Inc., 5.00%, due 4/20/48
|
8,001
|
(n)
|
|||
200
|
Kyobo Life Insurance Co. Ltd., (5 year CMT + 2.09%), 3.95%, due 7/24/47
|
193
|
(c)(r)
|
||||
GBP
|
1,414
|
Phoenix Group Holdings, 5.75%, due 7/7/21
|
2,004
|
(r)
|
|||
10,198
|
|||||||
Integrated Energy 0.1%
|
|||||||
Cheniere Energy Partners L.P.
|
|||||||
$
|
1,555
|
5.25%, due 10/1/25
|
1,563
|
(n)
|
|||
490
|
5.63%, due 10/1/26
|
491
|
(l)
|
||||
2,054
|
|||||||
Internet 0.0%(a)
|
|||||||
EUR
|
657
|
Netflix, Inc., 3.63%, due 5/15/27
|
749
|
||||
EUR
|
300
|
United Group BV, 4.38%, due 7/1/22
|
344
|
(r)
|
|||
1,093
|
|||||||
Investment Companies 0.0%(a)
|
|||||||
$
|
400
|
Huarong Finance II Co. Ltd., 2.88%, due 11/22/19
|
397
|
(r)
|
|||
MDC-GMTN BV
|
|||||||
200
|
3.00%, due 4/19/24
|
195
|
(r)
|
||||
374
|
4.50%, due 11/7/28
|
394
|
(l)
|
||||
200
|
Zhongyuan Sincere Investment Co. Ltd., 3.75%, due 1/19/21
|
194
|
(r)
|
||||
1,180
|
|||||||
Investments & Misc. Financial Services 0.1%
|
|||||||
MSCI, Inc.
|
|||||||
1,350
|
5.25%, due 11/15/24
|
1,377
|
(l)(n)
|
||||
650
|
5.75%, due 8/15/25
|
673
|
(l)
|
||||
2,050
|
|||||||
Iron - Steel 0.2%
|
|||||||
250
|
ABJA Investment Co. Pte Ltd., 4.85%, due 1/31/20
|
251
|
(r)
|
||||
200
|
Baosteel Financing 2015 Pty Ltd., 3.88%, due 1/28/20
|
200
|
(r)
|
||||
3,250
|
CSN Resources SA, 6.50%, due 7/21/20
|
3,226
|
(n)(r)
|
||||
600
|
HBIS Group Hong Kong Co. Ltd., 4.25%, due 4/7/20
|
591
|
(r)
|
||||
500
|
JSW Steel Ltd., 4.75%, due 11/12/19
|
497
|
(n)(r)
|
||||
400
|
Shougang Group Co. Ltd., 3.38%, due 12/9/19
|
398
|
(r)
|
||||
142
|
Vale Overseas Ltd., 4.38%, due 1/11/22
|
143
|
|||||
5,306
|
|||||||
Leisure Time 0.0%(a)
|
|||||||
EUR
|
790
|
Piaggio & C SpA, 3.63%, due 4/30/25
|
924
|
(r)
|
|||
Lodging 0.0%(a)
|
|||||||
Studio City Co. Ltd.
|
|||||||
$
|
300
|
5.88%, due 11/30/19
|
304
|
(r)
|
|||
900
|
7.25%, due 11/30/21
|
929
|
(r)
|
||||
1,233
|
|||||||
Machinery 0.0%(a)
|
|||||||
CNH Industrial Capital LLC
|
|||||||
$
|
250
|
3.38%, due 7/15/19
|
|
250
|
(n)
|
||
370
|
4.88%, due 4/1/21
|
376
|
(n)
|
||||
250
|
Manitowoc Foodservice, Inc., 9.50%, due 2/15/24
|
268
|
|||||
120
|
Oshkosh Corp., 5.38%, due 3/1/25
|
122
|
|||||
1,016
|
|||||||
Machinery - Diversified 0.3%
|
|||||||
8,430
|
Wabtec Corp., 4.15%, due 3/15/24
|
8,199
|
(n)
|
||||
Managed Care 0.2%
|
|||||||
Centene Corp.
|
|||||||
1,395
|
4.75%, due 5/15/22
|
1,420
|
(n)
|
||||
1,145
|
6.13%, due 2/15/24
|
1,199
|
(n)
|
||||
490
|
5.38%, due 6/1/26
|
508
|
(l)(n)
|
||||
WellCare Health Plans, Inc.
|
|||||||
340
|
5.25%, due 4/1/25
|
347
|
|||||
1,010
|
5.38%, due 8/15/26
|
1,033
|
(l)
|
||||
4,507
|
|||||||
Media 1.0%
|
|||||||
Altice Finco SA
|
|||||||
EUR
|
617
|
9.00%, due 6/15/23
|
734
|
(r)
|
|||
EUR
|
794
|
4.75%, due 1/15/28
|
749
|
(r)
|
|||
EUR
|
698
|
Altice Luxembourg SA, 6.25%, due 2/15/25
|
690
|
(r)
|
|||
Comcast Corp.
|
|||||||
$
|
5,265
|
4.00%, due 8/15/47
|
4,930
|
(n)
|
|||
11,285
|
4.95%, due 10/15/58
|
11,943
|
(n)
|
||||
EUR
|
1,189
|
Numericable-SFR SA, 5.63%, due 5/15/24
|
1,402
|
(r)
|
|||
$
|
1,000
|
Telenet Finance Luxembourg Notes S.a.r.l., 5.50%, due 3/1/28
|
948
|
(l)
|
|||
EUR
|
658
|
Telenet Finance VI Luxembourg SCA, 4.88%, due 7/15/27
|
809
|
(r)
|
|||
EUR
|
459
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 6.25%, due 1/15/29
|
578
|
(r)
|
|||
EUR
|
412
|
UPCB Finance IV Ltd., 4.00%, due 1/15/27
|
486
|
(r)
|
|||
Virgin Media Secured Finance PLC
|
|||||||
GBP
|
144
|
5.50%, due 1/15/25
|
191
|
(r)
|
|||
GBP
|
548
|
4.88%, due 1/15/27
|
690
|
(r)
|
|||
GBP
|
1,208
|
6.25%, due 3/28/29
|
1,628
|
(n)(r)
|
|||
$
|
360
|
VTR Finance BV, 6.88%, due 1/15/24
|
371
|
(r)
|
|||
Ziggo Bond Co. BV
|
|||||||
EUR
|
390
|
7.13%, due 5/15/24
|
469
|
(r)
|
|||
EUR
|
315
|
4.63%, due 1/15/25
|
364
|
(r)
|
|||
26,982
|
|||||||
Media Content 0.5%
|
|||||||
AMC Networks, Inc.
|
|||||||
$
|
305
|
4.75%, due 12/15/22
|
306
|
(n)
|
|||
410
|
5.00%, due 4/1/24
|
407
|
(n)
|
||||
435
|
4.75%, due 8/1/25
|
420
|
(n)
|
||||
Gannett Co., Inc.
|
|||||||
558
|
5.13%, due 10/15/19
|
559
|
(n)
|
||||
1,525
|
5.13%, due 7/15/20
|
1,529
|
(n)
|
||||
80
|
4.88%, due 9/15/21
|
80
|
(l)(n)
|
||||
560
|
Gray Television, Inc., 7.00%, due 5/15/27
|
582
|
(l)
|
||||
610
|
Lions Gate Capital Holdings LLC, 5.88%, due 11/1/24
|
599
|
(l)
|
||||
Netflix, Inc.
|
|||||||
|
810
|
5.38%, due 2/1/21
|
|
828
|
|||
565
|
5.50%, due 2/15/22
|
587
|
(n)
|
||||
250
|
4.38%, due 11/15/26
|
237
|
|||||
240
|
4.88%, due 4/15/28
|
228
|
|||||
275
|
6.38%, due 5/15/29
|
283
|
(l)
|
||||
Nexstar Broadcasting, Inc.
|
|||||||
60
|
6.13%, due 2/15/22
|
60
|
(l)
|
||||
120
|
5.88%, due 11/15/22
|
122
|
|||||
Sinclair Television Group, Inc.
|
|||||||
730
|
5.38%, due 4/1/21
|
732
|
|||||
290
|
5.63%, due 8/1/24
|
281
|
(l)
|
||||
255
|
5.13%, due 2/15/27
|
232
|
(l)
|
||||
Sirius XM Radio, Inc.
|
|||||||
930
|
3.88%, due 8/1/22
|
916
|
(l)
|
||||
275
|
4.63%, due 5/15/23
|
275
|
(l)
|
||||
1,860
|
6.00%, due 7/15/24
|
1,932
|
(l)(n)
|
||||
965
|
5.38%, due 7/15/26
|
956
|
(l)
|
||||
610
|
5.00%, due 8/1/27
|
589
|
(l)
|
||||
Univision Communications, Inc.
|
|||||||
296
|
6.75%, due 9/15/22
|
297
|
(l)
|
||||
660
|
5.13%, due 5/15/23
|
617
|
(l)(n)
|
||||
610
|
WMG Acquisition Corp., 5.00%, due 8/1/23
|
605
|
(l)
|
||||
14,259
|
|||||||
Medical Products 0.0%(a)
|
|||||||
Hologic, Inc.
|
|||||||
600
|
4.38%, due 10/15/25
|
589
|
(l)
|
||||
90
|
4.63%, due 2/1/28
|
87
|
(l)
|
||||
110
|
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, 6.63%, due 5/15/22
|
106
|
(l)(n)
|
||||
782
|
|||||||
Metals - Mining Excluding Steel 0.4%
|
|||||||
Arconic, Inc.
|
|||||||
60
|
6.15%, due 8/15/20
|
62
|
(n)
|
||||
140
|
5.40%, due 4/15/21
|
142
|
(n)
|
||||
420
|
5.87%, due 2/23/22
|
434
|
(n)
|
||||
310
|
5.13%, due 10/1/24
|
312
|
(n)
|
||||
155
|
Constellium NV, 6.63%, due 3/1/25
|
154
|
(l)
|
||||
320
|
First Quantum Minerals Ltd., 7.25%, due 5/15/22
|
315
|
(l)(n)
|
||||
FMG Resources (August 2006) Pty Ltd.
|
|||||||
510
|
4.75%, due 5/15/22
|
509
|
(l)(n)
|
||||
225
|
5.13%, due 5/15/24
|
220
|
(l)(n)
|
||||
Freeport-McMoRan, Inc.
|
|||||||
1,220
|
3.10%, due 3/15/20
|
1,206
|
(n)
|
||||
675
|
4.00%, due 11/14/21
|
667
|
(n)
|
||||
1,560
|
3.55%, due 3/1/22
|
1,509
|
(n)
|
||||
880
|
3.88%, due 3/15/23
|
845
|
(n)
|
||||
1,215
|
5.40%, due 11/14/34
|
1,075
|
(n)
|
||||
780
|
5.45%, due 3/15/43
|
671
|
(n)
|
||||
Hudbay Minerals, Inc.
|
|||||||
440
|
7.25%, due 1/15/23
|
453
|
(l)
|
||||
640
|
7.63%, due 1/15/25
|
658
|
(l)
|
||||
Novelis Corp.
|
|||||||
500
|
6.25%, due 8/15/24
|
505
|
(l)
|
||||
1,065
|
5.88%, due 9/30/26
|
1,029
|
(l)
|
||||
Teck Resources Ltd.
|
|||||||
|
515
|
4.75%, due 1/15/22
|
|
521
|
|||
265
|
8.50%, due 6/1/24
|
286
|
(l)
|
||||
11,573
|
|||||||
Mining 0.6%
|
|||||||
China Minmetals Corp.
|
|||||||
430
|
(3 year CMT + 6.07%), 4.45%, due 5/13/21
|
427
|
(c)(r)(s)
|
||||
2,470
|
(5 year CMT + 4.72%), 3.75%, due 11/13/22
|
2,322
|
(c)(n)(r)(s)
|
||||
690
|
Chinalco Capital Holdings Ltd., 4.25%, due 4/21/22
|
666
|
(r)
|
||||
342
|
Codelco, Inc., 4.38%, due 2/5/49
|
328
|
(l)(q)
|
||||
EUR
|
1,031
|
Constellium NV, 4.25%, due 2/15/26
|
1,142
|
(r)
|
|||
$
|
800
|
Gold Fields Orogen Holdings BVI Ltd., 4.88%, due 10/7/20
|
803
|
(r)
|
|||
Indonesia Asahan Aluminium Persero PT
|
|||||||
211
|
5.23%, due 11/15/21
|
218
|
(l)
|
||||
200
|
5.71%, due 11/15/23
|
210
|
(l)
|
||||
201
|
6.53%, due 11/15/28
|
221
|
(l)
|
||||
232
|
6.76%, due 11/15/48
|
255
|
(l)
|
||||
2,200
|
6.76%, due 11/15/48
|
2,428
|
(n)(r)
|
||||
400
|
Minera y Metalurgica del Boleo SA de CV, 2.88%, due 5/7/19
|
400
|
(r)
|
||||
Vedanta Resources PLC
|
|||||||
710
|
8.25%, due 6/7/21
|
731
|
(r)
|
||||
1,400
|
6.38%, due 7/30/22
|
1,352
|
(r)
|
||||
3,030
|
VM Holding SA, 5.38%, due 5/4/27
|
3,003
|
(n)(r)
|
||||
200
|
Votorantim Industrial SA, 6.75%, due 4/5/21
|
209
|
(r)
|
||||
14,715
|
|||||||
Miscellaneous Manufacturer 1.0%
|
|||||||
31,395
|
General Electric Co., Ser. D, (3 month USD LIBOR + 3.33%), 5.00%, due 1/21/21
|
27,628
|
(c)(n)(s)
|
||||
Multi - National 0.1%
|
|||||||
500
|
African Export-Import Bank, 4.75%, due 7/29/19
|
502
|
(r)
|
||||
200
|
Arab Petroleum Investments Corp., 4.13%, due 9/18/23
|
203
|
(l)(n)
|
||||
800
|
Banque Ouest Africaine de Developpement, 5.50%, due 5/6/21
|
821
|
(r)
|
||||
1,526
|
|||||||
Oil & Gas 3.1%
|
|||||||
Canadian Natural Resources Ltd.
|
|||||||
5,660
|
6.25%, due 3/15/38
|
6,487
|
(n)
|
||||
4,675
|
4.95%, due 6/1/47
|
4,856
|
(n)
|
||||
6,310
|
Concho Resources, Inc., 4.88%, due 10/1/47
|
6,395
|
(n)
|
||||
200
|
Ecopetrol SA, 5.88%, due 9/18/23
|
212
|
|||||
Gazprom OAO Via Gaz Capital SA
|
|||||||
400
|
9.25%, due 4/23/19
|
405
|
(r)
|
||||
400
|
4.95%, due 7/19/22
|
408
|
(r)
|
||||
360
|
Harvest Operations Corp., 3.00%, due 9/21/22
|
355
|
(l)
|
||||
KazMunayGas National Co. JSC
|
|||||||
700
|
3.88%, due 4/19/22
|
697
|
(r)
|
||||
300
|
4.40%, due 4/30/23
|
302
|
(r)
|
||||
1,117
|
4.75%, due 4/24/25
|
1,153
|
(l)
|
||||
508
|
5.38%, due 4/24/30
|
525
|
(l)
|
||||
2,170
|
5.75%, due 4/19/47
|
2,191
|
(n)(r)
|
||||
2,089
|
6.38%, due 10/24/48
|
2,230
|
(l)(n)
|
||||
21,590
|
Marathon Oil Corp., 4.40%, due 7/15/27
|
21,647
|
(n)
|
||||
|
Oil & Gas Holding Co.
|
||||||
220
|
7.63%, due 11/7/24
|
|
233
|
(l)
|
|||
380
|
8.38%, due 11/7/28
|
405
|
(l)
|
||||
Petrobras Global Finance BV
|
|||||||
58
|
8.38%, due 5/23/21
|
64
|
|||||
61
|
6.13%, due 1/17/22
|
64
|
|||||
EUR
|
926
|
4.75%, due 1/14/25
|
1,157
|
||||
$
|
3,050
|
7.38%, due 1/17/27
|
3,317
|
(n)
|
|||
2,200
|
6.00%, due 1/27/28
|
2,190
|
(n)
|
||||
Petroleos Mexicanos
|
|||||||
450
|
4.88%, due 1/24/22
|
439
|
|||||
1,220
|
(3 month USD LIBOR + 3.65%), 6.42%, due 3/11/22
|
1,231
|
(c)
|
||||
840
|
5.38%, due 3/13/22
|
827
|
|||||
6,505
|
6.50%, due 3/13/27
|
6,238
|
(n)
|
||||
455
|
5.35%, due 2/12/28
|
398
|
|||||
314
|
6.50%, due 1/23/29
|
296
|
|||||
1,700
|
6.50%, due 6/2/41
|
1,483
|
|||||
2,080
|
6.75%, due 9/21/47
|
1,813
|
(n)
|
||||
EUR
|
623
|
Repsol Int'l Finance BV, (10 year EUR Swap + 4.20%), 4.50%, due 3/25/75
|
755
|
(c)(r)
|
|||
State Oil Co. of the Azerbaijan Republic
|
|||||||
$
|
2,940
|
4.75%, due 3/13/23
|
2,962
|
(n)(r)
|
|||
2,000
|
6.95%, due 3/18/30
|
2,199
|
(n)(r)
|
||||
250
|
Tecpetrol SA, 4.88%, due 12/12/22
|
235
|
(r)
|
||||
EUR
|
7,140
|
TOTAL SA, (5 year EUR Swap + 2.75%), 2.71%, due 5/5/23
|
8,453
|
(c)(n)(r)(s)
|
|||
EUR
|
570
|
UGI Int'l LLC, 3.25%, due 11/1/25
|
675
|
(r)
|
|||
$
|
400
|
YPF SA, 8.50%, due 3/23/21
|
407
|
(r)
|
|||
83,704
|
|||||||
Oil Field Equipment & Services 0.1%
|
|||||||
Precision Drilling Corp.
|
|||||||
541
|
6.50%, due 12/15/21
|
522
|
|||||
845
|
7.75%, due 12/15/23
|
807
|
|||||
910
|
5.25%, due 11/15/24
|
780
|
(n)
|
||||
840
|
Weatherford Bermuda Holdings Ltd., 4.50%, due 4/15/22
|
534
|
|||||
2,643
|
|||||||
Packaging 0.5%
|
|||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
|
|||||||
520
|
4.25%, due 9/15/22
|
515
|
(l)(n)
|
||||
600
|
4.63%, due 5/15/23
|
600
|
(l)(n)
|
||||
895
|
6.00%, due 2/15/25
|
870
|
(l)(n)
|
||||
Ball Corp.
|
|||||||
575
|
4.38%, due 12/15/20
|
583
|
(n)
|
||||
785
|
5.00%, due 3/15/22
|
813
|
(n)
|
||||
Berry Plastics Corp.
|
|||||||
630
|
5.50%, due 5/15/22
|
634
|
(n)
|
||||
100
|
6.00%, due 10/15/22
|
102
|
(n)
|
||||
1,250
|
5.13%, due 7/15/23
|
1,254
|
(n)
|
||||
BWAY Holding Co.
|
|||||||
1,215
|
5.50%, due 4/15/24
|
1,187
|
(l)(n)
|
||||
450
|
7.25%, due 4/15/25
|
415
|
(l)
|
||||
595
|
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50%, due 1/15/23
|
600
|
(n)
|
||||
560
|
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, due 2/1/26
|
547
|
|||||
325
|
Graphic Packaging Int'l, Inc., 4.75%, due 4/15/21
|
327
|
(n)
|
||||
1,040
|
Owens-Brockway Glass Container, Inc., 5.00%, due 1/15/22
|
1,050
|
(l)
|
||||
Reynolds Group Issuer, Inc.
|
|||||||
|
2,263
|
5.75%, due 10/15/20
|
|
2,272
|
(n)
|
||
217
|
6.88%, due 2/15/21
|
217
|
|||||
1,900
|
5.13%, due 7/15/23
|
1,904
|
(l)(n)
|
||||
220
|
Sealed Air Corp., 4.88%, due 12/1/22
|
222
|
(l)
|
||||
14,112
|
|||||||
Packaging & Containers 0.3%
|
|||||||
EUR
|
540
|
ARD Finance SA, 6.63% Cash/7.38% PIK, due 9/15/23
|
592
|
(t)
|
|||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
|
|||||||
EUR
|
180
|
2.75%, due 3/15/24
|
207
|
(r)
|
|||
EUR
|
818
|
6.75%, due 5/15/24
|
989
|
(r)
|
|||
EUR
|
343
|
Ball Corp., 4.38%, due 12/15/23
|
443
|
||||
EUR
|
1,210
|
BWAY Holding Co., 4.75%, due 4/15/24
|
1,378
|
(r)
|
|||
EUR
|
1,938
|
Crown European Holdings SA, 3.38%, due 5/15/25
|
2,307
|
(n)(r)
|
|||
EUR
|
875
|
Guala Closures SpA, (3 month EURIBOR + 3.50%, 3.50% Floor), 3.50%, due 4/15/24
|
1,004
|
(c)(r)
|
|||
EUR
|
590
|
OI European Group BV, 3.13%, due 11/15/24
|
691
|
(r)
|
|||
EUR
|
607
|
Silgan Holdings, Inc., 3.25%, due 3/15/25
|
714
|
||||
8,325
|
|||||||
Personal & Household Products 0.1%
|
|||||||
Energizer Holdings, Inc.
|
|||||||
$
|
260
|
4.70%, due 5/19/21
|
262
|
(n)
|
|||
940
|
4.70%, due 5/24/22
|
940
|
(n)
|
||||
470
|
7.75%, due 1/15/27
|
484
|
(l)
|
||||
Prestige Brands, Inc.
|
|||||||
340
|
5.38%, due 12/15/21
|
340
|
(l)
|
||||
250
|
6.38%, due 3/1/24
|
249
|
(l)
|
||||
Spectrum Brands, Inc.
|
|||||||
275
|
6.63%, due 11/15/22
|
282
|
|||||
60
|
6.13%, due 12/15/24
|
60
|
|||||
705
|
5.75%, due 7/15/25
|
694
|
|||||
3,311
|
|||||||
Pharmaceuticals 3.0%
|
|||||||
8,725
|
AbbVie, Inc., 4.70%, due 5/14/45
|
8,139
|
(n)
|
||||
EUR
|
4,125
|
Bayer AG, (5 year EUR Swap + 2.01%), 2.38%, due 4/2/75
|
4,568
|
(c)(n)(r)
|
|||
CVS Health Corp.
|
|||||||
$
|
8,445
|
4.30%, due 3/25/28
|
8,553
|
(n)
|
|||
21,670
|
5.05%, due 3/25/48
|
22,280
|
(n)
|
||||
Endo Finance LLC/Endo Finco, Inc.
|
|||||||
160
|
7.25%, due 1/15/22
|
151
|
(l)(n)
|
||||
365
|
5.38%, due 1/15/23
|
298
|
(l)(n)
|
||||
Endo Ltd./Endo Finance LLC/Endo Finco, Inc.
|
|||||||
685
|
6.00%, due 7/15/23
|
560
|
(l)(n)
|
||||
545
|
6.00%, due 2/1/25
|
421
|
(l)(n)
|
||||
EUR
|
780
|
Grifols SA, 3.20%, due 5/1/25
|
890
|
(r)
|
|||
$
|
8,015
|
Halfmoon Parent, Inc., 4.80%, due 8/15/38
|
8,181
|
(l)(n)
|
|||
300
|
Hikma Pharmaceuticals PLC, 4.25%, due 4/10/20
|
299
|
(r)
|
||||
110
|
Mallinckrodt Int'l Finance SA/Mallinckrodt CB LLC, 4.88%, due 4/15/20
|
109
|
(l)
|
||||
EUR
|
728
|
Nidda BondCo GmbH, 5.00%, due 9/30/25
|
765
|
(r)
|
|||
EUR
|
460
|
Rossini S.a.r.l., 6.75%, due 10/30/25
|
537
|
(r)
|
|||
Shire Acquisitions Investments Ireland DAC
|
|||||||
$
|
10,775
|
2.40%, due 9/23/21
|
10,487
|
(n)
|
|||
5,795
|
3.20%, due 9/23/26
|
5,397
|
(n)
|
||||
300
|
Teva Pharmaceutical Finance Co. BV, 2.95%, due 12/18/22
|
280
|
|||||
Teva Pharmaceutical Finance Netherlands II BV
|
|||||||
EUR
|
641
|
0.38%, due 7/25/20
|
|
726
|
(r)
|
||
EUR
|
325
|
3.25%, due 4/15/22
|
384
|
||||
EUR
|
693
|
1.88%, due 3/31/27
|
682
|
(r)
|
|||
$
|
303
|
Teva Pharmaceutical Finance Netherlands III BV, 1.70%, due 7/19/19
|
300
|
||||
Valeant Pharmaceuticals Int'l, Inc.
|
|||||||
1,355
|
6.50%, due 3/15/22
|
1,401
|
(l)
|
||||
190
|
5.50%, due 3/1/23
|
185
|
(l)
|
||||
EUR
|
883
|
4.50%, due 5/15/23
|
1,000
|
(r)
|
|||
$
|
1,095
|
5.88%, due 5/15/23
|
1,073
|
(l)(n)
|
|||
970
|
7.00%, due 3/15/24
|
1,018
|
(l)
|
||||
550
|
6.13%, due 4/15/25
|
520
|
(l)
|
||||
865
|
5.50%, due 11/1/25
|
863
|
(l)
|
||||
80,067
|
|||||||
Pipelines 2.6%
|
|||||||
3,160
|
Abu Dhabi Crude Oil Pipeline LLC, 4.60%, due 11/2/47
|
3,197
|
(n)(r)
|
||||
Energy Transfer Operating L.P.
|
|||||||
12,110
|
Ser. B, (3 month USD LIBOR + 4.16%), 6.63%, due 2/15/28
|
10,793
|
(c)(n)(s)
|
||||
9,220
|
5.80%, due 6/15/38
|
9,401
|
(n)
|
||||
6,720
|
6.25%, due 4/15/49
|
7,159
|
(n)
|
||||
10,755
|
Kinder Morgan Energy Partners L.P., 4.15%, due 2/1/24
|
10,941
|
(n)
|
||||
11,045
|
Kinder Morgan, Inc., 5.55%, due 6/1/45
|
11,569
|
(n)
|
||||
13,855
|
MPLX L.P., 4.70%, due 4/15/48
|
12,568
|
(n)
|
||||
110
|
RasGas Co. Ltd., 5.30%, due 9/30/20
|
112
|
(r)
|
||||
2,430
|
Southern Gas Corridor CJSC, 6.88%, due 3/24/26
|
2,697
|
(n)(r)
|
||||
150
|
Transportadora de Gas del Sur SA, 6.75%, due 5/2/25
|
140
|
(l)
|
||||
68,577
|
|||||||
Printing & Publishing 0.0%(a)
|
|||||||
413
|
R.R. Donnelley & Sons Co., 7.88%, due 3/15/21
|
418
|
|||||
Real Estate 0.1%
|
|||||||
200
|
CIFI Holdings Group Co. Ltd., 6.38%, due 5/2/20
|
201
|
(r)
|
||||
237
|
Powerchina Real Estate Group Ltd., 4.50%, due 12/6/21
|
238
|
(r)
|
||||
1,000
|
Qatari Diar Finance Co., 5.00%, due 7/21/20
|
1,020
|
(r)
|
||||
400
|
Shimao Property Holdings Ltd., 8.38%, due 2/10/22
|
418
|
(r)
|
||||
450
|
Sino-Ocean Land Treasure IV Ltd., (3 month USD LIBOR + 2.30%), 5.04%, due 7/31/21
|
449
|
(c)(r)
|
||||
EUR
|
636
|
Summit Germany Ltd., 2.00%, due 1/31/25
|
681
|
(r)
|
|||
Sunac China Holdings Ltd.
|
|||||||
$
|
200
|
8.63%, due 7/27/20
|
204
|
(r)
|
|||
250
|
7.35%, due 7/19/21
|
249
|
(r)
|
||||
200
|
Wisdom Glory Group Ltd., (3 year CMT + 8.67%), 5.25%, due 7/19/20
|
197
|
(c)(r)(s)
|
||||
3,657
|
|||||||
Real Estate Development & Management 0.1%
|
|||||||
Realogy Group LLC/Realogy Co-Issuer Corp.
|
|||||||
945
|
4.50%, due 4/15/19
|
945
|
(l)
|
||||
490
|
5.25%, due 12/1/21
|
490
|
(l)
|
||||
1,435
|
|||||||
Real Estate Investment Trusts 0.4%
|
|||||||
300
|
Emirates Reit Sukuk Ltd., 5.13%, due 12/12/22
|
273
|
(r)
|
||||
EUR
|
1,184
|
Equinix, Inc., 2.88%, due 2/1/26
|
1,332
|
||||
GBP
|
975
|
Iron Mountain UK PLC, 3.88%, due 11/15/25
|
1,218
|
(r)
|
|||
MPT Operating Partnership L.P./MPT Finance Corp.
|
|||||||
$
|
1,135
|
6.38%, due 3/1/24
|
|
1,186
|
|||
1,565
|
5.50%, due 5/1/24
|
1,596
|
(n)
|
||||
EUR
|
728
|
3.33%, due 3/24/25
|
846
|
||||
$
|
775
|
5.25%, due 8/1/26
|
779
|
(n)
|
|||
1,615
|
Sabra Health Care L.P./Sabra Capital Corp., 5.50%, due 2/1/21
|
1,631
|
(n)
|
||||
Starwood Property Trust, Inc.
|
|||||||
1,060
|
3.63%, due 2/1/21
|
1,045
|
|||||
310
|
5.00%, due 12/15/21
|
313
|
|||||
200
|
Yuexiu REIT MTN Co. Ltd., 4.75%, due 4/27/21
|
201
|
(r)
|
||||
10,420
|
|||||||
Recreation & Travel 0.1%
|
|||||||
Cedar Fair L.P./Canada's Wonderland Co./Magnum Management Corp.
|
|||||||
320
|
5.38%, due 6/1/24
|
322
|
(n)
|
||||
450
|
5.38%, due 4/15/27
|
450
|
(n)
|
||||
2,420
|
NCL Corp. Ltd., 4.75%, due 12/15/21
|
2,435
|
(l)(n)
|
||||
655
|
Six Flags Entertainment Corp., 4.88%, due 7/31/24
|
648
|
(l)
|
||||
3,855
|
|||||||
Regional (state/province) 0.3%
|
|||||||
1,549
|
Brazil Loan Trust 1, 5.48%, due 7/24/23
|
1,591
|
(n)(r)
|
||||
5,760
|
Brazil Minas SPE via State of Minas Gerais, 5.33%, due 2/15/28
|
5,845
|
(n)(r)
|
||||
7,436
|
|||||||
Restaurants 0.2%
|
|||||||
1011778 BC ULC/New Red Finance, Inc.
|
|||||||
1,500
|
4.63%, due 1/15/22
|
1,503
|
(l)(n)
|
||||
1,330
|
4.25%, due 5/15/24
|
1,287
|
(l)
|
||||
420
|
5.00%, due 10/15/25
|
405
|
(l)
|
||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC
|
|||||||
160
|
5.00%, due 6/1/24
|
160
|
(l)
|
||||
1,080
|
5.25%, due 6/1/26
|
1,094
|
(l)(n)
|
||||
90
|
Yum! Brands, Inc., 3.88%, due 11/1/20
|
89
|
|||||
4,538
|
|||||||
Retail 0.2%
|
|||||||
EUR
|
100
|
Dufry Finance SCA, 4.50%, due 8/1/23
|
118
|
(r)
|
|||
EUR
|
713
|
Dufry One BV, 2.50%, due 10/15/24
|
815
|
(r)
|
|||
GBP
|
501
|
Enterprise Inns PLC, 6.00%, due 10/6/23
|
697
|
(r)
|
|||
$
|
400
|
Lotte Shopping Business Management Hong Kong Ltd., 2.38%, due 9/5/20
|
395
|
(r)
|
|||
GBP
|
1,526
|
Next Group PLC, 3.63%, due 5/18/28
|
2,000
|
(r)
|
|||
4,025
|
|||||||
Savings & Loans 0.2%
|
|||||||
$
|
4,700
|
Nationwide Building Society, (3 month USD LIBOR +1.45), 4.30%, due 3/8/29
|
4,587
|
(c)(l)(n)
|
|||
Semiconductors 1.0%
|
|||||||
18,145
|
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, due 1/15/27
|
16,724
|
(n)
|
||||
10,725
|
Microchip Technology, Inc., 4.33%, due 6/1/23
|
10,567
|
(l)(n)
|
||||
27,291
|
|||||||
Shipbuilding 0.0%(a)
|
|||||||
222
|
Cssc Capital One Ltd., 4.13%, due 9/27/21
|
223
|
(r)
|
||||
Software 0.1%
|
|||||||
EUR
|
677
|
InterXion Holding NV, 4.75%, due 6/15/25
|
811
|
(r)
|
|||
IQVIA, Inc.
|
|||||||
EUR
|
1,145
|
3.25%, due 3/15/25
|
|
1,325
|
(r)
|
||
EUR
|
245
|
2.88%, due 9/15/25
|
278
|
(r)
|
|||
EUR
|
780
|
Playtech PLC, 3.75%, due 10/12/23
|
880
|
(r)
|
|||
3,294
|
|||||||
Software - Services 0.4%
|
|||||||
CDK Global, Inc.
|
|||||||
$
|
250
|
3.80%, due 10/15/19
|
249
|
(n)
|
|||
220
|
5.00%, due 10/15/24
|
220
|
(n)
|
||||
200
|
5.88%, due 6/15/26
|
204
|
(n)
|
||||
First Data Corp.
|
|||||||
325
|
5.38%, due 8/15/23
|
331
|
(l)(n)
|
||||
2,210
|
5.00%, due 1/15/24
|
2,258
|
(l)(n)
|
||||
755
|
Infor Software Parent LLC/Infor Software Parent, Inc., 7.13% Cash/7.88% PIK, due 5/1/21
|
761
|
(l)(t)
|
||||
500
|
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc., 6.00%, due 7/15/25
|
501
|
(l)
|
||||
Nuance Communications, Inc.
|
|||||||
381
|
5.38%, due 8/15/20
|
383
|
(l)
|
||||
1,840
|
6.00%, due 7/1/24
|
1,859
|
(n)
|
||||
Open Text Corp.
|
|||||||
740
|
5.63%, due 1/15/23
|
756
|
(l)
|
||||
1,020
|
5.88%, due 6/1/26
|
1,053
|
(l)(n)
|
||||
2,100
|
Rackspace Hosting, Inc., 8.63%, due 11/15/24
|
1,759
|
(l)(n)
|
||||
232
|
WEX, Inc., 4.75%, due 2/1/23
|
229
|
(l)
|
||||
10,563
|
|||||||
Specialty Retail 0.1%
|
|||||||
505
|
Liberty Media Corp., 8.50%, due 7/15/29
|
513
|
|||||
Penske Automotive Group, Inc.
|
|||||||
1,360
|
3.75%, due 8/15/20
|
1,352
|
(n)
|
||||
360
|
5.75%, due 10/1/22
|
365
|
|||||
QVC, Inc.
|
|||||||
545
|
3.13%, due 4/1/19
|
544
|
|||||
70
|
5.13%, due 7/2/22
|
72
|
|||||
130
|
4.85%, due 4/1/24
|
130
|
|||||
285
|
5.45%, due 8/15/34
|
256
|
|||||
3,232
|
|||||||
Steel Producers - Products 0.1%
|
|||||||
175
|
ArcelorMittal, 5.13%, due 6/1/20
|
179
|
(n)
|
||||
1,760
|
Big River Steel LLC/BRS Finance Corp., 7.25%, due 9/1/25
|
1,846
|
(l)(n)
|
||||
Steel Dynamics, Inc.
|
|||||||
130
|
5.25%, due 4/15/23
|
132
|
|||||
415
|
5.50%, due 10/1/24
|
428
|
|||||
2,585
|
|||||||
Support - Services 0.7%
|
|||||||
ADT Corp.
|
|||||||
385
|
6.25%, due 10/15/21
|
405
|
(n)
|
||||
745
|
4.88%, due 7/15/32
|
598
|
(l)
|
||||
2,000
|
Anna Merger Sub, Inc., 7.75%, due 10/1/22
|
281
|
(l)(n)
|
||||
Aramark Services, Inc.
|
|||||||
|
1,020
|
5.13%, due 1/15/24
|
|
1,031
|
(n)
|
||
305
|
5.00%, due 2/1/28
|
298
|
(l)(n)
|
||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.
|
|||||||
305
|
5.50%, due 4/1/23
|
303
|
|||||
385
|
5.25%, due 3/15/25
|
346
|
(l)(n)
|
||||
Hertz Corp.
|
|||||||
1,060
|
5.88%, due 10/15/20
|
1,049
|
(n)
|
||||
225
|
7.38%, due 1/15/21
|
223
|
(n)
|
||||
380
|
7.63%, due 6/1/22
|
378
|
(l)(n)
|
||||
2,050
|
5.50%, due 10/15/24
|
1,681
|
(l)(n)
|
||||
1,130
|
IHS Markit Ltd., 5.00%, due 11/1/22
|
1,155
|
(l)(n)
|
||||
215
|
Iron Mountain U.S. Holdings, Inc., 5.38%, due 6/1/26
|
205
|
(l)
|
||||
Iron Mountain, Inc.
|
|||||||
750
|
4.38%, due 6/1/21
|
748
|
(l)
|
||||
1,825
|
6.00%, due 8/15/23
|
1,871
|
(n)
|
||||
485
|
5.75%, due 8/15/24
|
481
|
|||||
425
|
5.25%, due 3/15/28
|
395
|
(l)
|
||||
1,290
|
Olympus Merger Sub, Inc., 8.50%, due 10/15/25
|
1,076
|
(l)
|
||||
1,795
|
Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, due 5/15/23
|
1,898
|
(l)(n)
|
||||
850
|
Ritchie Bros Auctioneers, Inc., 5.38%, due 1/15/25
|
854
|
(l)
|
||||
460
|
ServiceMaster Co. LLC, 5.13%, due 11/15/24
|
450
|
(l)
|
||||
395
|
Staples, Inc., 8.50%, due 9/15/25
|
379
|
(l)
|
||||
United Rentals N.A., Inc.
|
|||||||
820
|
5.75%, due 11/15/24
|
840
|
|||||
200
|
5.50%, due 7/15/25
|
202
|
|||||
1,245
|
Vizient, Inc., 10.38%, due 3/1/24
|
1,349
|
(l)
|
||||
18,496
|
|||||||
Tech Hardware & Equipment 0.3%
|
|||||||
CDW LLC/CDW Finance Corp.
|
|||||||
985
|
5.00%, due 9/1/23
|
987
|
(n)
|
||||
310
|
5.00%, due 9/1/25
|
308
|
(n)
|
||||
CommScope Technologies LLC
|
|||||||
1,488
|
6.00%, due 6/15/25
|
1,406
|
(l)(n)
|
||||
660
|
5.00%, due 3/15/27
|
563
|
(l)
|
||||
CommScope, Inc.
|
|||||||
360
|
5.00%, due 6/15/21
|
359
|
(l)(n)
|
||||
390
|
5.50%, due 6/15/24
|
365
|
(l)(n)
|
||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.
|
|||||||
1,825
|
5.88%, due 6/15/21
|
1,855
|
(l)(n)
|
||||
490
|
7.13%, due 6/15/24
|
517
|
(l)(n)
|
||||
325
|
Project Homestake Merger Corp., 8.88%, due 3/1/23
|
237
|
(l)
|
||||
1,235
|
Western Digital Corp., 4.75%, due 2/15/26
|
1,148
|
|||||
7,745
|
|||||||
Telecom - Satellite 0.2%
|
|||||||
1,131
|
Hughes Satellite Systems Corp., 6.50%, due 6/15/19
|
1,143
|
(n)
|
||||
Intelsat Jackson Holdings SA
|
|||||||
125
|
9.50%, due 9/30/22
|
145
|
(l)
|
||||
2,675
|
5.50%, due 8/1/23
|
2,431
|
(n)
|
||||
605
|
8.50%, due 10/15/24
|
611
|
(l)
|
||||
466
|
Intelsat Luxembourg SA, 8.13%, due 6/1/23
|
388
|
|||||
4,718
|
|||||||
Telecom - Wireless 0.4%
|
|||||||
|
370
|
Sprint Capital Corp., 6.90%, due 5/1/19
|
|
372
|
|||
Sprint Corp.
|
|||||||
825
|
7.25%, due 9/15/21
|
866
|
|||||
725
|
7.88%, due 9/15/23
|
770
|
|||||
2,750
|
7.13%, due 6/15/24
|
2,826
|
(n)
|
||||
1,055
|
7.63%, due 3/1/26
|
1,096
|
|||||
Sprint Nextel Corp.
|
|||||||
380
|
7.00%, due 8/15/20
|
394
|
|||||
980
|
6.00%, due 11/15/22
|
993
|
|||||
T-Mobile USA, Inc.
|
|||||||
1,380
|
6.00%, due 3/1/23
|
1,415
|
(n)
|
||||
705
|
6.00%, due 4/15/24
|
723
|
|||||
190
|
6.50%, due 1/15/26
|
201
|
|||||
445
|
4.50%, due 2/1/26
|
433
|
|||||
1,125
|
Wind Tre SpA, 5.00%, due 1/20/26
|
925
|
(l)
|
||||
11,014
|
|||||||
Telecom - Wireline Integrated & Services 0.5%
|
|||||||
630
|
CenturyLink, Inc., Ser. V, 5.63%, due 4/1/20
|
636
|
(n)
|
||||
1,890
|
Citizens Communications Co., 9.00%, due 8/15/31
|
1,035
|
(n)
|
||||
1,075
|
Embarq Corp., 8.00%, due 6/1/36
|
1,016
|
(n)
|
||||
Equinix, Inc.
|
|||||||
140
|
5.38%, due 1/1/22
|
142
|
(n)
|
||||
295
|
5.75%, due 1/1/25
|
303
|
|||||
500
|
5.88%, due 1/15/26
|
517
|
(n)
|
||||
Frontier Communications Corp.
|
|||||||
150
|
7.13%, due 3/15/19
|
148
|
(n)
|
||||
50
|
6.25%, due 9/15/21
|
34
|
(n)
|
||||
50
|
8.75%, due 4/15/22
|
34
|
(n)
|
||||
125
|
10.50%, due 9/15/22
|
89
|
(n)
|
||||
150
|
7.13%, due 1/15/23
|
89
|
(n)
|
||||
340
|
7.63%, due 4/15/24
|
184
|
(n)
|
||||
2,885
|
11.00%, due 9/15/25
|
1,861
|
(n)
|
||||
Level 3 Financing, Inc.
|
|||||||
1,025
|
5.38%, due 8/15/22
|
1,033
|
(n)
|
||||
350
|
5.63%, due 2/1/23
|
352
|
|||||
720
|
5.13%, due 5/1/23
|
714
|
|||||
820
|
5.38%, due 1/15/24
|
816
|
|||||
140
|
Qwest Corp., 6.75%, due 12/1/21
|
150
|
|||||
Telecom Italia Capital SA
|
|||||||
70
|
7.18%, due 6/18/19
|
71
|
|||||
430
|
6.00%, due 9/30/34
|
374
|
|||||
1,135
|
U.S. West Communications Group, 6.88%, due 9/15/33
|
1,069
|
(n)
|
||||
Zayo Group LLC/Zayo Capital, Inc.
|
|||||||
1,225
|
6.00%, due 4/1/23
|
1,231
|
|||||
285
|
6.38%, due 5/15/25
|
278
|
|||||
920
|
5.75%, due 1/15/27
|
889
|
(l)(n)
|
||||
13,065
|
|||||||
Telecommunications 1.9%
|
|||||||
AT&T, Inc.
|
|||||||
|
14,245
|
5.45%, due 3/1/47
|
|
14,570
|
(n)
|
||
8,515
|
4.50%, due 3/9/48
|
7,661
|
(n)
|
||||
Batelco Int'l Finance No. 1 Ltd.
|
|||||||
200
|
4.25%, due 5/1/20
|
198
|
(r)
|
||||
250
|
4.25%, due 5/1/20
|
248
|
(r)
|
||||
EUR
|
800
|
Cellnex Telecom SA, 2.88%, due 4/18/25
|
922
|
(r)
|
|||
$
|
400
|
Comunicaciones Celulares SA via Comcel Trust, 6.88%, due 2/6/24
|
413
|
(r)
|
|||
EUR
|
622
|
DKT Finance ApS, 7.00%, due 6/17/23
|
769
|
(r)
|
|||
GTH Finance BV
|
|||||||
$
|
400
|
6.25%, due 4/26/20
|
407
|
(r)
|
|||
450
|
6.25%, due 4/26/20
|
457
|
(r)
|
||||
422
|
7.25%, due 4/26/23
|
444
|
(r)
|
||||
2,805
|
Liquid Telecommunications Financing PLC, 8.50%, due 7/13/22
|
2,860
|
(l)(n)
|
||||
434
|
Oztel Holdings SPC Ltd., 6.63%, due 4/24/28
|
409
|
(l)
|
||||
EUR
|
441
|
SoftBank Group Corp., 5.00%, due 4/15/28
|
513
|
(r)
|
|||
EUR
|
656
|
Telecom Italia SpA, 3.63%, due 5/25/26
|
721
|
(r)
|
|||
EUR
|
1,800
|
Telefonica Europe BV, (5 year EUR Swap + 2.33%), 2.63%, due 6/7/23
|
1,938
|
(c)(r)(s)
|
|||
$
|
9,995
|
Verizon Communications, Inc., 4.52%, due 9/15/48
|
9,764
|
(n)
|
|||
400
|
VimpelCom Holdings BV, 5.20%, due 2/13/19
|
400
|
(r)
|
||||
8,280
|
Vodafone Group PLC, 3.75%, due 1/16/24
|
8,263
|
(n)
|
||||
Wind Tre SpA
|
|||||||
EUR
|
321
|
(3 month EURIBOR + 2.75%, 2.75% Floor), 2.75%, due 1/20/24
|
328
|
(c)(r)
|
|||
EUR
|
371
|
3.13%, due 1/20/25
|
374
|
(r)
|
|||
51,659
|
|||||||
Theaters & Entertainment 0.1%
|
|||||||
AMC Entertainment Holdings, Inc.
|
|||||||
$
|
365
|
5.88%, due 2/15/22
|
365
|
(n)
|
|||
1,465
|
5.75%, due 6/15/25
|
1,351
|
(n)
|
||||
670
|
6.13%, due 5/15/27
|
596
|
(n)
|
||||
Live Nation Entertainment, Inc.
|
|||||||
335
|
5.38%, due 6/15/22
|
338
|
(l)
|
||||
595
|
4.88%, due 11/1/24
|
586
|
(l)
|
||||
3,236
|
|||||||
Transportation 0.2%
|
|||||||
3,560
|
FedEx Corp., 4.95%, due 10/17/48
|
3,547
|
(n)
|
||||
EUR
|
600
|
La Poste SA, (5 year EUR Swap + 2.44%), 3.13%, due 1/29/26
|
638
|
(c)(r)(s)
|
|||
$
|
200
|
Rumo Luxembourg S.a.r.l., 7.38%, due 2/9/24
|
212
|
(r)
|
|||
4,397
|
|||||||
Water 0.1%
|
|||||||
1,330
|
Agua y Saneamientos Argentinos SA, 6.63%, due 2/1/23
|
1,044
|
(r)
|
||||
GBP
|
500
|
Anglian Water Osprey Financing PLC, 4.00%, due 3/8/26
|
572
|
(r)
|
|||
GBP
|
1,626
|
Thames Water Utilities Cayman Finance Ltd., 1.88%, due 1/24/24
|
2,080
|
(r)
|
|||
3,696
|
|||||||
Total Corporate Bonds (Cost $1,365,208)
|
1,345,679
|
||||||
Municipal Notes 1.0%
|
|||||||
California 0.1%
|
|||||||
690
|
California Statewide CDA Rev. (Loma Linda Univ. Med. Ctr.), Ser. 2018-A, 5.50%, due 12/1/58
|
751
|
(l)
|
||||
710
|
Sacramento Co. Arpt. Sys. Rev. Ref., Ser. 2018-C, 5.00%, due 7/1/33
|
821
|
|||||
1,572
|
|||||||
Delaware 0.0%(a)
|
|||||||
|
720
|
Delaware St. Hlth. Fac. Au. Rev. (Beebe Med. Ctr. Inc.), Ser. 2018, 5.00%, due 6/1/48
|
|
774
|
|||
Florida 0.0%(a)
|
|||||||
705
|
Cap. Trust Agcy. Sr. Living Rev. (H-Bay Ministries, Inc. Superior Residences Proj.), Ser. 2018-A-1, 4.00%, due 7/1/43
|
664
|
|||||
Illinois 0.1%
|
|||||||
675
|
Chicago O'Hare Int'l Arpt. Spec. Fac. Rev. (Trips Obligated Group), Ser. 2018, 5.00%, due 7/1/48
|
733
|
|||||
880
|
Illinois Fin. Au. Rev. (Local Gov't Prog.-East Prairie Sch. Dist. # 73 Proj.), (BAM Insured), Ser. 2018, 4.00%, due 12/1/42
|
890
|
|||||
705
|
Illinois St. G.O., Ser. 2017-D, 5.00%, due 11/1/28
|
761
|
|||||
2,384
|
|||||||
Maryland 0.2%
|
|||||||
3,520
|
Prince Georges Co. G.O. (Consol Pub. Imp.), Ser. 2018-A, 5.00%, due 7/15/29
|
4,343
|
|||||
Massachusetts 0.1%
|
|||||||
1,055
|
Massachusetts St. Dev. Fin. Agcy. Rev. (CareGroup Obligated Group), Ser. 2018-J2, 5.00%, due 7/1/53
|
1,137
|
|||||
1,060
|
Massachusetts St. Ed. Fin. Au. Rev. Ref., Ser. 2018-A, 4.08%, due 7/1/27
|
1,115
|
|||||
2,252
|
|||||||
Michigan 0.1%
|
|||||||
720
|
Detroit Downtown Dev. Au. Tax Increment Rev. Ref. (Catalyst Dev. Proj.), Ser. 2018-A, (AGM Insured), 5.00%, due 7/1/48
|
767
|
|||||
910
|
Michigan St. Strategic Fund Ltd. Oblig. Rev. (I-75 Improvement Proj.), Ser. 2018, 5.00%, due 6/30/48
|
988
|
|||||
1,755
|
|||||||
New Jersey 0.2%
|
|||||||
695
|
Atlantic City G.O. Ref., Ser. 2018, 4.29%, due 9/1/26
|
717
|
|||||
1,095
|
New Jersey Econ. Dev. Au. Spec. Fac. Rev. Ref. (Port Newark Container Term. LLC Proj.), Ser. 2017, 5.00%, due 10/1/47
|
1,151
|
|||||
700
|
New Jersey Higher Ed. Assist. Au. Rev. Ref. (Std. Loan Rev.), Ser. 2018-B, 5.00%, due 12/1/26
|
809
|
|||||
705
|
New Jersey St. Hsg. & Mtge. Fin. Agcy. Rev. Ref. (Single Family Hsg. ), Ser. 2018-B, 3.80%, due 10/1/32
|
712
|
|||||
880
|
New Jersey St. Trans. Trust Fund Au. Trans. Sys. Rev. Ref., Ser. 2018-A, 5.00%, due 12/15/36
|
946
|
|||||
695
|
South Jersey Port Corp. Rev. (Sub-Marine Term), Ser. 2017-B, 5.00%, due 1/1/48
|
735
|
|||||
5,070
|
|||||||
Oklahoma 0.0%(a)
|
|||||||
715
|
Oklahoma St. Dev. Fin. Au. Hlth. Sys. Rev. (OU Medicine Proj.), Ser. 2018-B, 5.50%, due 8/15/57
|
793
|
|||||
Pennsylvania 0.1%
|
|||||||
355
|
Commonwealth of Pennsylvania Cert. of Participation Ref., Ser. 2018, 5.00%, due 7/1/43
|
390
|
|||||
1,060
|
Pennsylvania St. Turnpike Commission Oil Franchise Tax Rev., Subser. 2018-B, 5.00%, due 12/1/48
|
1,174
|
|||||
1,564
|
|||||||
Rhode Island 0.1%
|
|||||||
1,035
|
Rhode Island Commerce Corp. Spec. Fac. Rev. Ref. (1st Lien - R I Arpt. Corp. Int'l Fac. Proj.), Ser. 2018, 5.00%, due 7/1/34
|
1,174
|
|||||
|
770
|
Rhode Island St. Std. Loan Au. Std. Loan Rev. (Sr. Prog.), Ser. 2018, 5.00%, due 12/1/25
|
|
873
|
|||
2,047
|
|||||||
Tennessee 0.0%(a)
|
|||||||
530
|
Greeneville Hlth. & Ed. Facs. Board Hosp. Rev. Ref. (Ballad Hlth. Obligated Group), Ser. 2018-A, 5.00%, due 7/1/29
|
624
|
|||||
Texas 0.0%(a)
|
|||||||
1,070
|
Austin Comm. College Dist. Pub. Fac. Corp. Lease Rev., Ser. 2018-C, 4.00%, due 8/1/42
|
1,090
|
|||||
Utah 0.0%(a)
|
|||||||
1,060
|
Salt Lake City Corp. Arpt. Rev., Ser. 2018-A, 5.00%, due 7/1/43
|
1,178
|
|||||
West Virginia 0.0%(a)
|
|||||||
705
|
West Virginia Hosp. Fin. Au. Rev. (Imp. West Virginia Univ. Hlth. Sys. Obligated Group), Ser. 2018-A, 5.00%, due 6/1/52
|
755
|
|||||
Total Municipal Notes (Cost $26,664)
|
26,865
|
||||||
Asset-Backed Securities 9.5%
|
|||||||
1,100
|
AIMCO CLO, Ser. 2018-AA, Class E, (3 month USD LIBOR + 5.15%), 7.92%, due 4/17/31
|
967
|
(c)(l)
|
||||
550
|
Alinea CLO Ltd., Ser. 2018-1A, Class E, (3 month USD LIBOR + 6.00%), 8.76%, due 7/20/31
|
514
|
(c)(l)
|
||||
279
|
Ally Auto Receivables Trust, Ser. 2017-3, Class A2, 1.53%, due 3/16/20
|
278
|
|||||
7,960
|
AM Capital Funding LLC, Ser. 2018-1, Class A, 4.98%, due 12/15/23
|
8,135
|
(l)
|
||||
Apidos CLO XXVIII
|
|||||||
500
|
Ser. 2017-28A, Class C, (3 month USD LIBOR + 2.50%), 5.26%, due 1/20/31
|
466
|
(c)(l)
|
||||
500
|
Ser. 2017-28A, Class D, (3 month USD LIBOR + 5.50%), 8.26%, due 1/20/31
|
461
|
(c)(l)
|
||||
2,000
|
Ares XLV CLO Ltd., Ser. 2017-45A, Class E, (3 month USD LIBOR + 6.10%), 8.89%, due 10/15/30
|
1,947
|
(c)(l)
|
||||
Asset Backed Securities Corp. Home Equity
|
|||||||
437
|
Ser. 2004-HE5, Class M2, (1 month USD LIBOR + 1.88%), 4.39%, due 8/25/34
|
436
|
(c)
|
||||
566
|
Ser. 2006-HE1, Class A3, (1 month USD LIBOR + 0.20%), 2.71%, due 1/25/36
|
562
|
(c)
|
||||
3,300
|
Assurant CLO I Ltd., Ser. 2017-1A, Class E, (3 month USD LIBOR + 6.46%), 9.22%, due 10/20/29
|
3,229
|
(c)(l)
|
||||
Assurant CLO II Ltd.
|
|||||||
250
|
Ser. 2018-1A, Class D, (3 month USD LIBOR + 2.85%), 5.61%, due 4/20/31
|
238
|
(c)(l)
|
||||
1,500
|
Ser. 2018-1A, Class E, (3 month USD LIBOR + 5.60%), 8.36%, due 4/20/31
|
1,381
|
(c)(l)
|
||||
9,795
|
BA Credit Card Trust, Ser. 2018-A2, Class A2, 3.00%, due 9/15/23
|
9,851
|
|||||
Bear Stearns Asset-Backed Securities I Trust
|
|||||||
|
944
|
Ser. 2005-TC1, Class M1, (1 month USD LIBOR + 0.66%), 3.17%, due 5/25/35
|
|
945
|
(c)
|
||
6,730
|
Ser. 2005-AQ2, Class M1, (1 month USD LIBOR + 0.49%), 3.00%, due 9/25/35
|
6,664
|
(c)
|
||||
2,797
|
Ser. 2006-HE1, Class 1M3, (1 month USD LIBOR + 0.46%), 2.97%, due 12/25/35
|
2,772
|
(c)
|
||||
Bear Stearns Asset-Backed Securities Trust
|
|||||||
1,333
|
Ser. 2004-SD3, Class M2, (1 month USD LIBOR + 1.88%), 4.39%, due 9/25/34
|
1,339
|
(c)
|
||||
7,265
|
Ser. 2006-SD2, Class M2, (1 month USD LIBOR + 0.80%), 3.31%, due 6/25/36
|
7,239
|
(c)
|
||||
3,000
|
Benefit Street Partners CLO XII Ltd., Ser. 2017-12A, Class D, (3 month USD LIBOR + 6.41%), 9.20%, due 10/15/30
|
2,903
|
(c)(l)
|
||||
650
|
Canyon Capital CLO Ltd., Ser. 2014-1A, Class DR, (3 month USD LIBOR + 5.50%), 8.25%, due 1/30/31
|
585
|
(c)(l)
|
||||
25,785
|
Capital One Multi-Asset Execution Trust, Ser. 2018-A1, Class A1, 3.01%, due 2/15/24
|
25,938
|
|||||
Carbone CLO Ltd.
|
|||||||
1,000
|
Ser. 2017-1A, Class C, (3 month USD LIBOR + 2.60%), 5.38%, due 1/20/31
|
934
|
(c)(l)
|
||||
1,000
|
Ser. 2017-1A, Class D, (3 month USD LIBOR + 5.90%), 8.68%, due 1/20/31
|
931
|
(c)(l)
|
||||
1,120
|
Carlye U.S. CLO Ltd., Ser. 2017-5A, Class D, (3 month USD LIBOR + 5.30%), 8.06%, due 1/20/30
|
1,026
|
(c)(l)
|
||||
11,198
|
Carrington Mortgage Loan Trust, Ser. 2006-RFC1, Class A4, (1 month USD LIBOR + 0.24%), 2.75%, due 3/25/36
|
11,136
|
(c)(n)
|
||||
24,360
|
Chase Issuance Trust, Ser. 2016-A2, Class A, 1.37%, due 6/15/21
|
24,231
|
|||||
1,500
|
Citibank Credit Card Issuance Trust, Ser. 2017-A7, Class A7, (1 month LIBOR + 0.37%), 2.89%, due 8/8/24
|
1,501
|
(c)
|
||||
Citigroup Mortgage Loan Trust, Inc.
|
|||||||
319
|
Ser. 2006-WFH1, Class M2, (1 month USD LIBOR + 0.56%), 3.07%, due 1/25/36
|
319
|
(c)
|
||||
577
|
Ser. 2006-AMC1, Class A2B, (1 month USD LIBOR + 0.16%), 2.67%, due 9/25/36
|
479
|
(c)
|
||||
463
|
Colony American Finance Ltd., Ser. 2016-1, Class A, 2.54%, due 6/15/48
|
457
|
(l)
|
||||
250
|
Dryden 45 Senior Loan Fund, Ser. 2016-45A, Class ER, (3 month USD LIBOR + 5.85%), 8.64%, due 10/15/30
|
235
|
(c)(l)
|
||||
Dryden 53 CLO Ltd.
|
|||||||
300
|
Ser. 2017-53A, Class D, (3 month USD LIBOR + 2.40%), 5.19%, due 1/15/31
|
277
|
(c)(l)
|
||||
750
|
Ser. 2017-53A, Class E, (3 month USD LIBOR + 5.30%), 8.09%, due 1/15/31
|
681
|
(c)(l)
|
||||
2,350
|
Dryden 54 Senior Loan Fund, Ser. 2017-54A, Class E, (3 month USD LIBOR + 6.20%), 8.96%, due 10/19/29
|
2,303
|
(c)(l)
|
||||
Eaton Vance CLO Ltd.
|
|||||||
850
|
Ser. 2015-1A, Class DR, (3 month USD LIBOR + 2.50%), 5.26%, due 1/20/30
|
790
|
(c)(l)
|
||||
900
|
Ser. 2015-1A, Class ER, (3 month USD LIBOR + 5.60%), 8.36%, due 1/20/30
|
823
|
(c)(l)
|
||||
750
|
Ser. 2018-1A, Class E, (3 month USD LIBOR + 6.00%), 8.45%, due 10/15/30
|
704
|
(c)(l)
|
||||
2,442
|
EquiFirst Mortgage Loan Trust, Ser. 2003-2, Class 1A1, (1 month USD LIBOR + 1.13%), 3.64%, due 9/25/33
|
2,425
|
(c)
|
||||
439
|
First Franklin Mortgage Loan Asset Backed Certificates, Ser. 2005-FF5, Class M2, (1 month USD LIBOR + 0.74%), 3.25%, due 5/25/35
|
439
|
(c)
|
||||
Flatiron CLO Ltd.
|
|||||||
|
700
|
Ser. 2017-1A, Class E, (3 month USD LIBOR + 6.00%), 8.62%, due 5/15/30
|
|
661
|
(c)(l)
|
||
2,150
|
Ser. 2018-1A, Class E, (3 month USD LIBOR + 5.15%), 7.92%, due 4/17/31
|
1,907
|
(c)(l)(n)
|
||||
737
|
Freedom Financial Trust, Ser. 2018-1, Class A, 3.61%, due 7/18/24
|
736
|
(l)
|
||||
1,600
|
Galaxy XVIII CLO Ltd., Ser. 2018-28A, Class E, (3 month USD LIBOR + 6.00%), 8.79%, due 7/15/31
|
1,475
|
(c)(l)
|
||||
750
|
Galaxy XXVI CLO Ltd., Ser. 2018-26A, Class E, (3 month USD LIBOR + 5.85%), 8.50%, due 11/22/31
|
689
|
(c)(l)
|
||||
250
|
Galaxy XXVII CLO Ltd., Ser. 2018-27A, Class E, (3 month USD LIBOR + 5.78%), 8.41%, due 5/16/31
|
227
|
(c)(l)
|
||||
1,600
|
Gilbert Park CLO Ltd., Ser. 2017-1A, Class E, (3 month USD LIBOR + 6.40%), 9.19%, due 10/15/30
|
1,564
|
(c)(l)
|
||||
1,979
|
Global SC Finance IV Ltd., Ser. 2018-1A, Class A, 4.29%, due 5/17/38
|
1,995
|
(l)
|
||||
GM Financial Consumer Automobile Receivables Trust
|
|||||||
10,461
|
Ser. 2018-1, Class A2A, 2.08%, due 1/19/21
|
10,426
|
|||||
4,270
|
Ser. 2018-2, Class A2A, 2.55%, due 5/17/21
|
4,263
|
|||||
699
|
Home Equity Mortgage Trust, Ser. 2004-5, Class M2, (1 month USD LIBOR + 1.60%), 4.11%, due 2/25/35
|
698
|
(c)
|
||||
1,000
|
HPS Investment Partners, Ser. 2013-2A, Class DR, (3 month USD LIBOR + 6.60%), 9.36%, due 10/20/29
|
978
|
(c)(l)
|
||||
Invitation Homes Trust
|
|||||||
1,464
|
Ser. 2017-SFR2, Class A, (1 month USD LIBOR + 0.85%), 3.36%, due 12/17/36
|
1,450
|
(c)(l)
|
||||
1,979
|
Ser. 2018-SFR1, Class A, (1 month USD LIBOR + 0.70%), 3.21%, due 3/17/37
|
1,943
|
(c)(l)
|
||||
JP Morgan Mortgage Acquisition Trust
|
|||||||
106
|
Ser. 2006-ACC1, Class A5, (1 month USD LIBOR + 0.24%), 2.75%, due 5/25/36
|
106
|
(c)
|
||||
3,497
|
Ser. 2006-CH1, Class M1, (1 month USD LIBOR + 0.22%), 2.73%, due 7/25/36
|
3,466
|
(c)
|
||||
5,260
|
Ser. 2007-CH1, Class MV2, (1 month USD LIBOR + 0.28%), 2.79%, due 11/25/36
|
5,232
|
(c)
|
||||
479
|
Ser. 2007-HE1, Class AF1, (1 month USD LIBOR + 0.10%), 2.61%, due 3/25/47
|
329
|
(c)
|
||||
250
|
KKR CLO 23 Ltd., Ser. 2023, Class E, (3 month USD LIBOR + 6.00%), 8.49%, due 10/20/31
|
237
|
(c)(l)
|
||||
800
|
Madison Park Funding XIV Ltd., Ser. 2014-14A, Class ER, (3 month USD LIBOR + 5.80%), 8.56%, due 10/22/30
|
754
|
(c)(l)
|
||||
Magnetite CLO Ltd.
|
|||||||
250
|
Ser. 2018-20A, Class D, (3 month USD LIBOR + 2.50%), 5.26%, due 4/20/31
|
232
|
(c)(l)
|
||||
250
|
Ser. 2018-20A, Class E, (3 month USD LIBOR + 5.35%), 8.11%, due 4/20/31
|
229
|
(c)(l)
|
||||
1,000
|
Ser. 2015-12A, Class ER, (3 month USD LIBOR + 5.68%), 8.47%, due 10/15/31
|
927
|
(c)(l)
|
||||
500
|
Marble Point CLO XI Ltd., Ser. 2017-2A, Class D, (3 month USD LIBOR + 2.80%), 5.58%, due 12/18/30
|
467
|
(c)(l)
|
||||
Navient Student Loan Trust
|
|||||||
10
|
Ser. 2016-6A, Class A1, (1 month USD LIBOR + 0.48%), 2.99%, due 3/25/66
|
10
|
(c)(l)
|
||||
3,355
|
Ser. 2018-3A, Class A1, (1 month USD LIBOR + 0.27%), 2.78%, due 3/25/67
|
3,352
|
(c)(l)
|
||||
9,476
|
Newcastle Mortgage Securities Trust, Ser. 2006-1, Class M2, (1 month USD LIBOR + 0.37%), 2.88%, due 3/25/36
|
9,402
|
(c)
|
||||
OCP CLO Ltd.
|
|||||||
|
3,000
|
Ser. 2015-8A, Class CR, (3 month USD LIBOR + 2.80%), 5.57%, due 4/17/27
|
|
2,933
|
(c)(l)
|
||
2,800
|
Ser. 2015-10A, Class CR, (3 month USD LIBOR + 2.60%), 5.36%, due 10/26/27
|
2,635
|
(c)(l)
|
||||
3,800
|
Ser. 2017-14A, Class C, (3 month USD LIBOR + 2.60%), 5.24%, due 11/20/30
|
3,497
|
(c)(l)
|
||||
1,800
|
Ser. 2017-14A, Class D, (3 month USD LIBOR + 5.80%), 8.44%, due 11/20/30
|
1,638
|
(c)(l)
|
||||
1,000
|
Ser. 2018-15A, Class D, (3 month USD LIBOR + 5.85%), 8.32%, due 7/20/31
|
938
|
(c)(l)
|
||||
800
|
Octagon Investment Partners 39 Ltd., Ser. 2018-3A, Class E, (3 month USD LIBOR + 5.75%), 8.21%, due 10/20/30
|
754
|
(c)(l)
|
||||
750
|
OHA Credit Partners XV Ltd., Ser. 2017-15A, Class D, (3 month USD LIBOR + 2.45%), 5.21%, due 1/20/30
|
693
|
(c)(l)
|
||||
Palmer Square CLO Ltd.
|
|||||||
700
|
Ser. 2014-1A, Class DR2, (3 month USD LIBOR + 5.70%), 8.47%, due 1/17/31
|
645
|
(c)(l)
|
||||
1,600
|
Ser. 2018-1A, Class D, (3 month USD LIBOR + 5.15%), 7.93%, due 4/18/31
|
1,429
|
(c)(l)
|
||||
Residential Asset Mortgage Products, Inc.
|
|||||||
1,008
|
Ser. 2005-RS4, Class M3, (1 month USD LIBOR + 0.48%), 2.99%, due 4/25/35
|
1,008
|
(c)
|
||||
1,816
|
Ser. 2005-RZ2, Class M4, (1 month USD LIBOR + 0.56%), 3.07%, due 5/25/35
|
1,814
|
(c)
|
||||
1,151
|
Saxon Asset Securities Trust, Ser. 2004-2, Class MV1, (1 month USD LIBOR + 0.87%), 3.38%, due 8/25/35
|
1,152
|
(c)
|
||||
382
|
Securitized Asset Backed Receivables LLC Trust, Ser. 2004-DO1, Class M1, (1 month USD LIBOR + 0.98%), 3.49%, due 7/25/34
|
374
|
(c)
|
||||
773
|
SoFi Consumer Loan Program Trust, Ser. 2018-1, Class A1, 2.55%, due 2/25/27
|
770
|
(l)
|
||||
1,362
|
SoFi Professional Loan Program LLC, Ser. 2017-E, Class A1, (1 month USD LIBOR + 0.50%), 3.01%, due 11/26/40
|
1,362
|
(c)(l)
|
||||
Structured Asset Securities Corp.
|
|||||||
677
|
Ser. 2005-NC2, Class M3, (1 month USD LIBOR + 0.43%), 2.94%, due 5/25/35
|
677
|
(c)
|
||||
170
|
Ser. 2006-AM1, Class A4, (1 month USD LIBOR + 0.16%), 2.67%, due 4/25/36
|
169
|
(c)
|
||||
304
|
Ser. 2006-NC1, Class A4, (1 month USD LIBOR + 0.15%), 2.66%, due 5/25/36
|
303
|
(c)
|
||||
1,000
|
TICP CLO X Ltd., Ser. 2018-10A, Class E, (3 month USD LIBOR + 5.50%), 8.26%, due 4/20/31
|
913
|
(c)(l)
|
||||
505
|
Toyota Auto Receivables Owner Trust, Ser. 2017-B, Class A2A, 1.46%, due 1/15/20
|
505
|
|||||
1,300
|
Trestles CLO II Ltd., Ser. 2018-2A Class D, (3 month USD LIBOR + 5.75%), 8.08%, due 7/25/31
|
1,215
|
(c)(l)
|
||||
1,200
|
Trestles CLO Ltd., Ser. 2017-1A, Class D, (3 month USD LIBOR + 6.68%), 9.45%, due 7/25/29
|
1,139
|
(c)(l)
|
||||
9,800
|
Verizon Owner Trust, Ser. 2017-1A, Class A, 2.06%, due 9/20/21
|
9,751
|
(l)
|
||||
Voya CLO Ltd.
|
|||||||
250
|
Ser. 2018-3A, Class E, (3 month USD LIBOR + 5.75%), 8.21%, due 10/15/31
|
234
|
(c)(l)
|
||||
350
|
Ser. 2016-3A, Class DR, (3 month USD LIBOR + 6.08%), 8.86%, due 10/18/31
|
331
|
(c)(l)
|
||||
36,265
|
World Omni Auto Receivables Trust, Ser. 2019-A, Class A3, 3.04%, due 5/15/24
|
36,383
|
|||||
|
1,550
|
York CLO-2 Ltd., Ser. 2015-1A, Class DR, (3 month USD LIBOR + 2.60%), 5.36%, due 1/22/31
|
|
1,490
|
(c)(l)
|
||
Total Asset-Backed Securities (Cost $248,277)
|
255,048
|
||||||
Foreign Government Securities 9.2%
|
|||||||
2,300
|
1MDB Global Investments Ltd., 4.40%, due 3/9/23
|
2,141
|
(n)(r)
|
||||
270
|
Abu Dhabi Government International Bond, 2.50%, due 10/11/22
|
265
|
(r)
|
||||
Angolan Government International Bond
|
|||||||
610
|
9.38%, due 5/8/48
|
643
|
(r)
|
||||
1,714
|
9.38%, due 5/8/48
|
1,808
|
(r)
|
||||
Argentine Republic Government International Bond
|
|||||||
830
|
6.88%, due 4/22/21
|
792
|
(n)
|
||||
EUR
|
610
|
3.88%, due 1/15/22
|
626
|
(r)
|
|||
$
|
202
|
4.63%, due 1/11/23
|
173
|
(n)
|
|||
EUR
|
650
|
3.38%, due 1/15/23
|
631
|
||||
EUR
|
3,619
|
7.82%, due 12/31/33
|
3,758
|
(n)
|
|||
EUR
|
14,930
|
2.26%, due 12/31/38
|
10,159
|
(n)(u)
|
|||
EUR
|
1,570
|
Banque Centrale de Tunisie International Bond, 5.63%, due 2/17/24
|
1,666
|
(r)
|
|||
$
|
1,390
|
Bermuda Government International Bond, 4.75%, due 2/15/29
|
1,442
|
(r)
|
|||
Brazil Notas do Tesouro Nacional
|
|||||||
BRL
|
7,036
|
Ser. F, 10.00%, due 1/1/23
|
2,047
|
||||
BRL
|
14,222
|
Ser. F, 10.00%, due 1/1/29
|
4,178
|
||||
$
|
1,500
|
Brazilian Government International Bond, 5.63%, due 2/21/47
|
1,491
|
(n)
|
|||
Colombia Government International Bond
|
|||||||
1,445
|
4.00%, due 2/26/24
|
1,464
|
(n)
|
||||
1,000
|
3.88%, due 4/25/27
|
987
|
|||||
241
|
4.50%, due 3/15/29
|
247
|
|||||
505
|
5.20%, due 5/15/49
|
522
|
|||||
Colombian TES
|
|||||||
COP
|
5,030,500
|
Ser. B, 6.25%, due 11/26/25
|
1,613
|
||||
COP
|
15,473,600
|
Ser. B, 6.00%, due 4/28/28
|
4,762
|
||||
Costa Rica Government International Bond
|
|||||||
$
|
535
|
7.00%, due 4/4/44
|
478
|
(r)
|
|||
4,911
|
7.16%, due 3/12/45
|
4,438
|
(r)
|
||||
Croatia Government International Bond
|
|||||||
2,040
|
6.38%, due 3/24/21
|
2,152
|
(r)
|
||||
EUR
|
5,840
|
3.00%, due 3/20/27
|
7,202
|
(n)(r)
|
|||
EUR
|
1,394
|
2.75%, due 1/27/30
|
1,641
|
(r)
|
|||
$
|
756
|
Development Bank of Mongolia LLC, 7.25%, due 10/23/23
|
756
|
(l)
|
|||
Dominican Republic International Bond
|
|||||||
2,100
|
5.88%, due 4/18/24
|
2,176
|
(l)
|
||||
1,500
|
6.88%, due 1/29/26
|
1,620
|
(l)
|
||||
850
|
6.00%, due 7/19/28
|
875
|
(r)
|
||||
Egypt Government International Bond
|
|||||||
430
|
6.13%, due 1/31/22
|
429
|
(r)
|
||||
213
|
5.58%, due 2/21/23
|
207
|
(r)
|
||||
EUR
|
287
|
4.75%, due 4/16/26
|
307
|
(r)
|
|||
EUR
|
257
|
5.63%, due 4/16/30
|
266
|
(r)
|
|||
$
|
2,900
|
8.50%, due 1/31/47
|
2,790
|
(r)
|
|||
2,418
|
7.90%, due 2/21/48
|
2,227
|
(r)
|
||||
Export Credit Bank of Turkey
|
|||||||
530
|
5.88%, due 4/24/19
|
530
|
(r)
|
||||
1,520
|
5.38%, due 2/8/21
|
1,488
|
(r)
|
||||
600
|
5.38%, due 10/24/23
|
560
|
(r)
|
||||
604
|
8.25%, due 1/24/24
|
624
|
(l)
|
||||
720
|
Export-Import Bank of Korea, (3 month USD LIBOR + 0.88%), 3.65%, due 1/25/22
|
723
|
(c)
|
||||
Ghana Government International Bond
|
|||||||
|
2,690
|
10.75%, due 10/14/30
|
|
3,165
|
(r)
|
||
3,485
|
8.63%, due 6/16/49
|
3,239
|
(r)
|
||||
2,700
|
Hungary Government International Bond, 7.63%, due 3/29/41
|
3,888
|
|||||
Indonesia Government International Bond
|
|||||||
4,100
|
3.70%, due 1/8/22
|
4,118
|
(l)
|
||||
1,000
|
4.35%, due 1/8/27
|
1,009
|
(l)
|
||||
EUR
|
1,616
|
3.75%, due 6/14/28
|
2,086
|
(n)(r)
|
|||
$
|
1,250
|
5.13%, due 1/15/45
|
1,296
|
(r)
|
|||
IDR
|
168,000,000
|
Indonesia Treasury Bond, 6.13%, due 5/15/28
|
10,412
|
||||
Ivory Coast Government International Bond
|
|||||||
EUR
|
1,750
|
5.13%, due 6/15/25
|
1,979
|
(r)
|
|||
EUR
|
221
|
5.25%, due 3/22/30
|
234
|
(r)
|
|||
$
|
11,357
|
5.75%, due 12/31/32
|
10,460
|
(r)(u)
|
|||
EUR
|
674
|
6.63%, due 3/22/48
|
688
|
(r)
|
|||
EUR
|
413
|
Kazakhstan Government International Bond, 1.55%, due 11/9/23
|
481
|
(r)
|
|||
$
|
507
|
Kenya Government International Bond, 8.25%, due 2/28/48
|
488
|
(r)
|
|||
450
|
Korea Housing Finance Corp., 3.00%, due 10/31/22
|
443
|
(l)
|
||||
250
|
Kuwait International Government Bond, 2.75%, due 3/20/22
|
247
|
(r)
|
||||
Mexican Bonos
|
|||||||
MXN
|
33,540
|
Ser. M20, 10.00%, due 12/5/24
|
1,893
|
||||
MXN
|
91,759
|
Ser. M20, 7.50%, due 6/3/27
|
4,528
|
||||
Mexico Government International Bond
|
|||||||
$
|
851
|
4.50%, due 4/22/29
|
854
|
||||
2,100
|
4.35%, due 1/15/47
|
1,869
|
|||||
6,160
|
5.75%, due 10/12/10
|
6,046
|
|||||
Mongolia Government International Bond
|
|||||||
230
|
10.88%, due 4/6/21
|
255
|
(r)
|
||||
1,160
|
5.63%, due 5/1/23
|
1,137
|
(r)
|
||||
1,550
|
8.75%, due 3/9/24
|
1,698
|
(r)
|
||||
EUR
|
348
|
Montenegro Government International Bond, 3.38%, due 4/21/25
|
401
|
(r)
|
|||
Morocco Government International Bond
|
|||||||
$
|
3,710
|
4.25%, due 12/11/22
|
3,746
|
(l)
|
|||
1,000
|
5.50%, due 12/11/42
|
1,044
|
(l)
|
||||
Namibia International Bonds
|
|||||||
250
|
5.50%, due 11/3/21
|
252
|
(r)
|
||||
2,600
|
5.25%, due 10/29/25
|
2,479
|
(l)
|
||||
Nigeria Government International Bond
|
|||||||
600
|
5.63%, due 6/27/22
|
600
|
|||||
240
|
7.63%, due 11/21/25
|
249
|
(r)
|
||||
1,310
|
6.50%, due 11/28/27
|
1,252
|
(r)
|
||||
1,041
|
7.14%, due 2/23/30
|
1,000
|
(r)
|
||||
542
|
8.75%, due 1/21/31
|
573
|
(r)
|
||||
3,230
|
7.88%, due 2/16/32
|
3,208
|
(r)
|
||||
200
|
9.25%, due 1/21/49
|
212
|
(r)
|
||||
Oman Government International Bond
|
|||||||
220
|
3.63%, due 6/15/21
|
212
|
(r)
|
||||
2,100
|
3.88%, due 3/8/22
|
2,005
|
(l)
|
||||
406
|
4.13%, due 1/17/23
|
383
|
(r)
|
||||
1,000
|
5.38%, due 3/8/27
|
904
|
(l)
|
||||
1,000
|
6.50%, due 3/8/47
|
838
|
(l)
|
||||
1,766
|
6.75%, due 1/17/48
|
1,505
|
(r)
|
||||
300
|
6.75%, due 1/17/48
|
256
|
(r)
|
||||
Panama Government International Bond
|
|||||||
2,100
|
3.75%, due 3/16/25
|
2,130
|
|||||
1,000
|
4.50%, due 5/15/47
|
1,016
|
|||||
206
|
Papua New Guinea Government International Bond, 8.38%, due 10/4/28
|
220
|
(r)
|
||||
Paraguay Government International Bond
|
|||||||
|
2,100
|
4.70%, due 3/27/27
|
|
2,142
|
(l)
|
||
3,690
|
6.10%, due 8/11/44
|
4,022
|
(r)
|
||||
Qatar Government International Bond
|
|||||||
405
|
2.38%, due 6/2/21
|
397
|
(l)
|
||||
2,140
|
2.38%, due 6/2/21
|
2,100
|
(r)
|
||||
200
|
4.50%, due 1/20/22
|
207
|
(r)
|
||||
670
|
3.88%, due 4/23/23
|
683
|
(r)
|
||||
1,000
|
3.25%, due 6/2/26
|
979
|
(l)
|
||||
544
|
4.50%, due 4/23/28
|
575
|
(r)
|
||||
1,000
|
4.63%, due 6/2/46
|
1,030
|
(l)
|
||||
357
|
5.10%, due 4/23/48
|
383
|
(r)
|
||||
2,170
|
5.10%, due 4/23/48
|
2,328
|
(r)
|
||||
260
|
Republic of Armenia International Bond, 6.00%, due 9/30/20
|
266
|
(r)
|
||||
5,870
|
Republic of Azerbaijan International Bond, 4.75%, due 3/18/24
|
5,960
|
(r)
|
||||
Republic of South Africa Government Bond
|
|||||||
ZAR
|
44,413
|
10.50%, due 12/21/26
|
3,703
|
||||
ZAR
|
21,986
|
9.00%, due 1/31/40
|
1,567
|
||||
Republic of South Africa Government International Bond
|
|||||||
$
|
660
|
4.67%, due 1/17/24
|
662
|
||||
4,110
|
4.88%, due 4/14/26
|
4,068
|
|||||
1,000
|
4.30%, due 10/12/28
|
932
|
|||||
1,253
|
5.88%, due 6/22/30
|
1,286
|
|||||
1,000
|
5.00%, due 10/12/46
|
897
|
|||||
Russian Federal Bond - OFZ
|
|||||||
RUB
|
373,045
|
7.05%, due 1/19/28
|
5,371
|
||||
RUB
|
161,924
|
7.70%, due 3/23/33
|
2,403
|
||||
$
|
508
|
Russian Federation Bond, 7.50%, due 3/31/30
|
563
|
(r)(u)
|
|||
Saudi Government International Bond
|
|||||||
1,000
|
2.38%, due 10/26/21
|
972
|
(r)
|
||||
521
|
4.50%, due 4/17/30
|
531
|
(r)
|
||||
1,000
|
4.50%, due 4/17/30
|
1,020
|
(r)
|
||||
2,600
|
Serbia International Bond, 4.88%, due 2/25/20
|
2,632
|
(l)
|
||||
Sri Lanka Government International Bond
|
|||||||
420
|
6.25%, due 7/27/21
|
422
|
(r)
|
||||
640
|
5.75%, due 1/18/22
|
632
|
(r)
|
||||
419
|
5.75%, due 4/18/23
|
405
|
(r)
|
||||
2,249
|
6.20%, due 5/11/27
|
2,095
|
(r)
|
||||
4,908
|
6.75%, due 4/18/28
|
4,706
|
(r)
|
||||
3,100
|
Trinidad & Tobago Government International Bond, 4.50%, due 8/4/26
|
2,883
|
(l)
|
||||
TRY
|
35,364
|
Turkey Government Bond, 12.40%, due 3/8/28
|
6,336
|
||||
Turkey Government International Bond
|
|||||||
$
|
450
|
7.00%, due 3/11/19
|
451
|
||||
550
|
7.50%, due 11/7/19
|
561
|
|||||
760
|
5.63%, due 3/30/21
|
768
|
|||||
883
|
7.25%, due 12/23/23
|
926
|
|||||
200
|
5.75%, due 3/22/24
|
197
|
|||||
EUR
|
667
|
4.63%, due 3/31/25
|
767
|
||||
EUR
|
1,038
|
5.20%, due 2/16/26
|
1,219
|
||||
$
|
5,198
|
6.13%, due 10/24/28
|
4,980
|
||||
1,272
|
7.63%, due 4/26/29
|
1,336
|
|||||
4,278
|
6.00%, due 1/14/41
|
3,786
|
|||||
Ukraine Government International Bond
|
|||||||
420
|
7.75%, due 9/1/20
|
416
|
(r)
|
||||
1,940
|
7.75%, due 9/1/27
|
1,749
|
(r)
|
||||
400
|
Ukreximbank Via Biz Finance PLC, 9.63%, due 4/27/22
|
399
|
(r)
|
||||
Uruguay Government International Bond
|
|||||||
|
345
|
4.38%, due 1/23/31
|
|
353
|
|||
2,000
|
5.10%, due 6/18/50
|
2,062
|
|||||
424
|
Venezuela Government International Bond, 8.25%, due 10/13/24
|
132
|
(r)(u)
|
||||
500
|
Zambia Government International Bond, 8.97%, due 7/30/27
|
411
|
(r)
|
||||
1,120
|
ZAR Sovereign Capital Fund Pty Ltd., 3.90%, due 6/24/20
|
1,114
|
(r)
|
||||
Total Foreign Government Securities (Cost $258,278)
|
246,687
|
||||||
Developed Markets Ex- U.S. 0.0%(a)
|
|||||||
Regional (province) 0.0%(a)
|
|||||||
200
|
Provincia de Cordoba, 7.13%, due 6/10/21 (Cost $215)
|
188
|
(r)
|
||||
NUMBER OF
SHARES |
|||||||
Short-Term Investments 0.6%
|
|||||||
Investment Companies 0.6%
|
|||||||
15,992,537
|
State Street Institutional U.S. Government Money Market Fund Premier Class, 2.32%(w) (Cost $15,993)
|
15,993
|
(n)
|
||||
Total Investments 126.4% (Cost $3,426,617)
|
3,380,879
|
||||||
Liabilities Less Other Assets (26.4)% | (706,642) | (x) | |||||
|
|||||||
Net Assets 100.0%
|
$2,674,237
|
(a)
|
Represents less than 0.05% of net assets.
|
|
(b)
|
Principal amount is stated in the currency in which the security is denominated.
|
|
(c)
|
Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2019 and changes periodically.
|
|
(d)
|
All or a portion of this security had not settled as of January 31, 2019 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement.
|
|
(e)
|
All or a portion of this security was purchased on a delayed delivery basis.
|
|
(f)
|
Illiquid security.
|
|
(g)
|
The stated interest rate represents the weighted average interest rate at January 31, 2019 of the underlying contracts within the Loan Assignment. Interest rates on the underlying contracts are primarily determined by reference to the indicated base lending rate and spread, which are indicated in the security description, and the reset period, which is generally weekly, monthly or quarterly.
|
|
(h)
|
Value determined using significant unobservable inputs.
|
|
(i)
|
Rate shown was the discount rate at the date of purchase.
|
|
(j)
|
All or a portion of the security is pledged as collateral for futures.
|
|
(k)
|
Index-linked bond whose principal amount adjusts according to a government retail price index.
|
|
(l)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2019, these securities amounted to approximately $352,913,000, which represents 13.2% of net assets of the Fund. Securities denoted with (l) but without (f) have been deemed by the investment manager to be liquid.
|
|
(m)
|
Variable or floating rate security where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of January 31, 2019.
|
|
(n)
|
All or a portion of this security is segregated in connection with obligations for to be announced securities, when-issued securities, futures, forward foreign currency contracts and/or delayed delivery securities with a total value of approximately $1,057,169,000.
|
|
(o)
|
Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding.
|
|
(p)
|
TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total value of all such securities (excluding forward sales contracts, if any) at January 31, 2019, amounted to approximately $735,773,000, which represents 27.5% of net assets of the Fund.
|
|
(q)
|
When-issued security. Total value of all such securities at January 31, 2019, amounted to approximately $4,680,000, which represents 0.2% of net assets of the Fund.
|
|
(r)
|
Security exempt from registration pursuant to Regulation S under the Securities Act of 1933 as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at January 31, 2019 amounted to approximately $413,822,000, which represents 15.5% of net assets of the Fund.
|
|
(s)
|
Perpetual Bond Security. The rate reflected was the rate in effect on January 31, 2019. The maturity date reflects the next call date.
|
|
(t)
|
Payment-in-kind (PIK) security.
|
|
(u)
|
Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of January 31, 2019.
|
|
(v)
|
Defaulted security.
|
|
(w)
|
Represents 7-day effective yield as of January 31, 2019.
|
|
(x)
|
Includes the impact of the Fund's open positions in derivatives at January 31, 2019.
|
Futures contracts ("futures")
|
|||||||||||||
At January 31, 2019, open positions in futures for the Fund were as follows:
|
|||||||||||||
Long Futures:
|
|||||||||||||
Expiration Date
|
Number of
Contracts |
Open Contracts
|
Notional
Amount |
Value and
Unrealized Appreciation/ (Depreciation) |
|||||||||
3/2019
|
4
|
Australian Dollar
|
$
|
290,800
|
$
|
2,233
|
|||||||
3/2019
|
25
|
Canadian Dollar
|
1,906,125
|
36,125
|
|||||||||
3/2019
|
21
|
Pound Sterling
|
1,724,756
|
72,713
|
|||||||||
3/2019
|
3,082
|
U.S. Treasury Note, 2 Year
|
654,395,284
|
4,141,444
|
|||||||||
3/2019
|
566
|
U.S. Treasury Note, 5 Year
|
65,010,406
|
973,547
|
|||||||||
3/2019
|
117
|
U.S. Treasury Note, 10 Year
|
14,328,844
|
392,001
|
|||||||||
Total Long Positions
|
$
|
737,656,215
|
$
|
5,618,063
|
|||||||||
Short Futures:
|
|||||||||||||
Expiration Date
|
Number of
Contracts |
Open Contracts
|
Notional
Amount |
Value and
Unrealized Appreciation/ (Depreciation) |
|||||||||
3/2019
|
668
|
Euro-Bobl
|
$
|
(101,637,281)
|
$
|
(530,192)
|
|||||||
3/2019
|
114
|
Euro-Bund
|
(21,617,342)
|
(396,309)
|
|||||||||
3/2019
|
29
|
Euro-Buxl Bond, 30 Year
|
(6,169,323)
|
(290,111)
|
|||||||||
3/2019
|
565
|
Euro-OAT
|
(98,893,172)
|
(1,319,203)
|
|||||||||
3/2019
|
23
|
Euro
|
(3,302,369)
|
(21,557)
|
|||||||||
3/2019
|
175
|
United Kingdom Long Gilt Bond
|
(28,353,825)
|
(284,629)
|
|||||||||
3/2019
|
593
|
U.S. Treasury Long Bond
|
(86,985,688)
|
(3,784,120)
|
|||||||||
3/2019
|
514
|
U.S. Treasury Note, 10 Year
|
(62,948,938)
|
(1,492,837)
|
|||||||||
3/2019
|
1,003
|
U.S. Treasury Ultra Long Bond
|
(161,608,375)
|
(8,246,204)
|
|||||||||
3/2019
|
2,781
|
U.S. Treasury Ultra Note, 10 Year
|
(363,441,938)
|
(12,330,285)
|
|||||||||
Total Short Positions
|
$
|
(934,958,251)
|
$
|
(28,695,447)
|
|||||||||
Total Futures
|
$
|
(23,077,384)
|
At January 31, 2019, open forward contracts for the Fund were as follows:
|
|||||||||||||||||||||
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date |
Net
Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||
30,412,495
|
ARS
|
770,912
|
USD
|
GSI
|
3/15/2019
|
$
|
11,549
|
||||||||||||||
10,103,384
|
BRL
|
2,721,230
|
USD
|
GSI
|
4/15/2019
|
35,663
|
|||||||||||||||
847,390
|
BRL
|
226,957
|
USD
|
GSI
|
4/15/2019
|
4,269
|
|||||||||||||||
1,081,088
|
BRL
|
284,357
|
USD
|
JPM
|
4/15/2019
|
10,638
|
|||||||||||||||
9,188,311
|
CNY
|
1,361,326
|
USD
|
JPM
|
4/15/2019
|
8,510
|
|||||||||||||||
4,607,785
|
CNY
|
666,158
|
USD
|
JPM
|
10/18/2019
|
18,938
|
|||||||||||||||
1,738,553,391
|
COP
|
554,039
|
USD
|
GSI
|
2/15/2019
|
5,619
|
|||||||||||||||
676,773,498
|
COP
|
213,443
|
USD
|
GSI
|
2/15/2019
|
4,417
|
|||||||||||||||
459,297,187
|
COP
|
144,760
|
USD
|
GSI
|
2/15/2019
|
3,092
|
|||||||||||||||
7,568,765,445
|
COP
|
2,384,877
|
USD
|
JPM
|
2/15/2019
|
51,589
|
|||||||||||||||
799,944
|
EUR
|
20,755,633
|
CZK
|
JPM
|
3/22/2019
|
4,327
|
|||||||||||||||
57,260,633
|
USD
|
369,703,275
|
DKK
|
GSI
|
4/16/2019
|
208,208
|
|||||||||||||||
29,380,760
|
CZK
|
1,141,317
|
EUR
|
GSI
|
3/22/2019
|
4,162
|
|||||||||||||||
1,789,547
|
EUR
|
2,044,222
|
USD
|
JPM
|
2/5/2019
|
4,264
|
|||||||||||||||
237,205
|
EUR
|
269,644
|
USD
|
JPM
|
2/5/2019
|
1,883
|
|||||||||||||||
144,337
|
EUR
|
164,547
|
USD
|
JPM
|
2/5/2019
|
674
|
|||||||||||||||
160,990
|
EUR
|
184,232
|
USD
|
JPM
|
3/5/2019
|
488
|
|||||||||||||||
144,337
|
EUR
|
165,413
|
USD
|
JPM
|
3/5/2019
|
199
|
|||||||||||||||
2,660,478
|
EUR
|
3,059,510
|
USD
|
GSI
|
4/16/2019
|
4,440
|
|||||||||||||||
780,741
|
EUR
|
897,653
|
USD
|
GSI
|
4/16/2019
|
1,490
|
|||||||||||||||
5,913,853
|
RON
|
1,259,717
|
EUR
|
GSI
|
3/7/2019
|
17,711
|
|||||||||||||||
1,937,700
|
RON
|
412,781
|
EUR
|
GSI
|
3/7/2019
|
5,836
|
|||||||||||||||
550,926
|
RON
|
117,373
|
EUR
|
JPM
|
3/7/2019
|
1,673
|
|||||||||||||||
269,177
|
USD
|
233,092
|
EUR
|
JPM
|
2/5/2019
|
2,358
|
|||||||||||||||
665,669
|
USD
|
580,626
|
EUR
|
JPM
|
2/5/2019
|
1,029
|
|||||||||||||||
159,955
|
USD
|
139,435
|
EUR
|
JPM
|
2/5/2019
|
344
|
|||||||||||||||
15,395,541
|
USD
|
13,390,000
|
EUR
|
JPM
|
3/5/2019
|
31,826
|
|||||||||||||||
25,992,602
|
USD
|
22,481,469
|
EUR
|
GSI
|
4/16/2019
|
101,732
|
|||||||||||||||
24,383,607
|
USD
|
21,089,820
|
EUR
|
GSI
|
4/16/2019
|
95,435
|
|||||||||||||||
550,452
|
USD
|
473,465
|
EUR
|
GSI
|
4/16/2019
|
5,185
|
|||||||||||||||
570,799
|
USD
|
493,693
|
EUR
|
GSI
|
4/16/2019
|
2,236
|
|||||||||||||||
485,008
|
USD
|
419,491
|
EUR
|
GSI
|
4/16/2019
|
1,900
|
|||||||||||||||
472,470
|
USD
|
409,448
|
EUR
|
GSI
|
4/16/2019
|
928
|
|||||||||||||||
17,387,683
|
USD
|
15,019,422
|
EUR
|
JPM
|
5/3/2019
|
65,674
|
|||||||||||||||
17,387,683
|
USD
|
15,019,422
|
EUR
|
JPM
|
5/3/2019
|
65,674
|
|||||||||||||||
826,685
|
USD
|
714,088
|
EUR
|
JPM
|
5/3/2019
|
3,122
|
|||||||||||||||
826,685
|
USD
|
714,088
|
EUR
|
JPM
|
5/3/2019
|
3,122
|
|||||||||||||||
2,642,716
|
EUR
|
2,394,501
|
GBP
|
GSI
|
4/16/2019
|
108,637
|
|||||||||||||||
2,310,678
|
GBP
|
2,932,413
|
USD
|
GSI
|
4/16/2019
|
109,373
|
|||||||||||||||
404,503
|
EUR
|
128,958,883
|
HUF
|
GSI
|
3/22/2019
|
3,954
|
|||||||||||||||
1,189,420
|
EUR
|
381,600,146
|
HUF
|
JPM
|
3/22/2019
|
20,362
|
|||||||||||||||
238,452
|
EUR
|
75,990,270
|
HUF
|
JPM
|
4/30/2019
|
2,120
|
|||||||||||||||
100,816
|
EUR
|
32,046,628
|
HUF
|
JPM
|
4/30/2019
|
598
|
|||||||||||||||
18,447,668,742
|
IDR
|
1,310,018
|
USD
|
GSI
|
2/4/2019
|
10,266
|
|||||||||||||||
1,966,939,169
|
IDR
|
133,497
|
USD
|
GSI
|
2/4/2019
|
7,276
|
|||||||||||||||
2,016,664,656
|
IDR
|
141,322
|
USD
|
GSI
|
2/4/2019
|
3,009
|
|||||||||||||||
1,496,819,685
|
IDR
|
105,573
|
USD
|
GSI
|
2/4/2019
|
1,553
|
|||||||||||||||
1,685,917,350
|
IDR
|
119,807
|
USD
|
GSI
|
2/4/2019
|
853
|
|||||||||||||||
984,061,649
|
IDR
|
69,930
|
USD
|
GSI
|
2/4/2019
|
498
|
|||||||||||||||
21,258,113,253
|
IDR
|
1,510,668
|
USD
|
JPM
|
2/4/2019
|
10,758
|
|||||||||||||||
21,258,113,253
|
IDR
|
1,494,419
|
USD
|
JPM
|
4/15/2019
|
19,541
|
|||||||||||||||
4,469,714,888
|
IDR
|
314,215
|
USD
|
JPM
|
4/15/2019
|
4,109
|
|||||||||||||||
1,352,300
|
USD
|
96,374,356
|
INR
|
GSI
|
4/15/2019
|
6,034
|
|||||||||||||||
22,147,709
|
MXN
|
1,085,108
|
USD
|
GSI
|
4/3/2019
|
63,081
|
|||||||||||||||
9,918,324
|
MXN
|
476,894
|
USD
|
GSI
|
4/3/2019
|
37,295
|
|||||||||||||||
17,366,070
|
MXN
|
870,049
|
USD
|
GSI
|
4/3/2019
|
30,249
|
|||||||||||||||
14,185,063
|
MXN
|
720,462
|
USD
|
GSI
|
4/3/2019
|
14,924
|
|||||||||||||||
15,126,433
|
MXN
|
769,283
|
USD
|
GSI
|
4/3/2019
|
14,907
|
|||||||||||||||
4,270,630
|
MXN
|
212,532
|
USD
|
GSI
|
4/3/2019
|
8,867
|
|||||||||||||||
2,223,503
|
MXN
|
107,359
|
USD
|
GSI
|
4/3/2019
|
7,912
|
|||||||||||||||
2,105,267
|
MXN
|
102,569
|
USD
|
GSI
|
4/3/2019
|
6,573
|
|||||||||||||||
3,655,384
|
MXN
|
187,414
|
USD
|
GSI
|
4/3/2019
|
2,090
|
|||||||||||||||
3,078,331
|
MXN
|
157,531
|
USD
|
GSI
|
4/3/2019
|
2,057
|
|||||||||||||||
20,957,814
|
MXN
|
1,007,412
|
USD
|
JPM
|
4/3/2019
|
79,090
|
|||||||||||||||
17,859,347
|
MXN
|
922,930
|
USD
|
JPM
|
4/3/2019
|
2,941
|
|||||||||||||||
271,300
|
USD
|
5,224,585
|
MXN
|
GSI
|
4/3/2019
|
445
|
|||||||||||||||
416,108
|
USD
|
7,984,843
|
MXN
|
JPM
|
4/3/2019
|
2,155
|
|||||||||||||||
4,334,780
|
PEN
|
1,276,550
|
USD
|
JPM
|
3/5/2019
|
24,946
|
|||||||||||||||
1,515,853
|
PEN
|
451,214
|
USD
|
JPM
|
3/5/2019
|
3,913
|
|||||||||||||||
380,481
|
PEN
|
113,286
|
USD
|
JPM
|
3/5/2019
|
952
|
|||||||||||||||
1,292,053
|
PEN
|
387,678
|
USD
|
JPM
|
3/5/2019
|
255
|
|||||||||||||||
1,113,447
|
EUR
|
4,775,270
|
PLN
|
GSI
|
2/7/2019
|
8,201
|
|||||||||||||||
51,009,384
|
RUB
|
759,160
|
USD
|
GSI
|
3/6/2019
|
17,717
|
|||||||||||||||
29,227,818
|
RUB
|
435,562
|
USD
|
GSI
|
3/6/2019
|
9,580
|
|||||||||||||||
20,116,563
|
RUB
|
300,004
|
USD
|
GSI
|
3/6/2019
|
6,373
|
|||||||||||||||
27,085,352
|
RUB
|
407,918
|
USD
|
GSI
|
3/6/2019
|
4,595
|
|||||||||||||||
23,964,772
|
RUB
|
361,278
|
USD
|
GSI
|
3/6/2019
|
3,708
|
|||||||||||||||
10,026,718
|
RUB
|
145,630
|
USD
|
JPM
|
3/6/2019
|
7,078
|
|||||||||||||||
22,883,678
|
RUB
|
341,997
|
USD
|
JPM
|
3/6/2019
|
6,523
|
|||||||||||||||
67,025,180
|
THB
|
2,105,265
|
USD
|
JPM
|
3/11/2019
|
41,868
|
|||||||||||||||
15,649,463
|
TRY
|
2,816,494
|
USD
|
GSI
|
3/11/2019
|
148,800
|
|||||||||||||||
435,241
|
TRY
|
76,823
|
USD
|
GSI
|
3/11/2019
|
5,647
|
|||||||||||||||
3,792,894
|
TRY
|
682,095
|
USD
|
JPM
|
3/11/2019
|
36,591
|
|||||||||||||||
1,997,914
|
TRY
|
356,992
|
USD
|
JPM
|
3/11/2019
|
21,577
|
|||||||||||||||
2,139,634
|
TRY
|
395,835
|
USD
|
JPM
|
3/11/2019
|
9,588
|
|||||||||||||||
648,177
|
TRY
|
115,573
|
USD
|
JPM
|
3/11/2019
|
7,245
|
|||||||||||||||
726,627
|
TRY
|
130,823
|
USD
|
JPM
|
3/11/2019
|
6,860
|
|||||||||||||||
1,625,445
|
TRY
|
301,140
|
USD
|
JPM
|
3/11/2019
|
6,852
|
|||||||||||||||
28,980,295
|
ZAR
|
2,015,736
|
USD
|
GSI
|
2/11/2019
|
167,472
|
|||||||||||||||
14,923,829
|
ZAR
|
1,082,449
|
USD
|
GSI
|
2/11/2019
|
41,826
|
|||||||||||||||
3,164,332
|
ZAR
|
217,800
|
USD
|
GSI
|
2/11/2019
|
20,583
|
|||||||||||||||
4,899,004
|
ZAR
|
355,389
|
USD
|
GSI
|
2/11/2019
|
13,673
|
|||||||||||||||
1,717,683
|
ZAR
|
118,607
|
USD
|
JPM
|
2/11/2019
|
10,793
|
|||||||||||||||
Total unrealized appreciation
|
$
|
2,004,947
|
|||||||||||||||||||
362,725
|
USD
|
1,357,753
|
BRL
|
GSI
|
4/15/2019
|
(7,763)
|
|||||||||||||||
90,143
|
USD
|
631,210
|
CNY
|
JPM
|
10/18/2019
|
(3,707)
|
|||||||||||||||
568,137
|
USD
|
3,976,575
|
CNY
|
JPM
|
10/18/2019
|
(23,109)
|
|||||||||||||||
134,696
|
USD
|
424,713,876
|
COP
|
GSI
|
2/15/2019
|
(2,024)
|
|||||||||||||||
318,614
|
EUR
|
8,227,593
|
CZK
|
JPM
|
3/22/2019
|
(25)
|
|||||||||||||||
93,325
|
EUR
|
107,260
|
USD
|
JPM
|
2/5/2019
|
(431)
|
|||||||||||||||
464,838
|
EUR
|
533,308
|
USD
|
JPM
|
2/5/2019
|
(1,210)
|
|||||||||||||||
15,019,422
|
EUR
|
17,259,569
|
USD
|
JPM
|
2/6/2019
|
(65,471)
|
|||||||||||||||
15,019,422
|
EUR
|
17,259,569
|
USD
|
JPM
|
2/6/2019
|
(65,471)
|
|||||||||||||||
143,922
|
EUR
|
165,660
|
USD
|
GSI
|
3/5/2019
|
(524)
|
|||||||||||||||
9,369,570
|
HUF
|
29,407
|
EUR
|
JPM
|
4/30/2019
|
(255)
|
|||||||||||||||
655,880
|
PLN
|
152,222
|
EUR
|
GSI
|
2/7/2019
|
(1,938)
|
|||||||||||||||
1,916,769
|
PLN
|
445,983
|
EUR
|
JPM
|
2/7/2019
|
(4,377)
|
|||||||||||||||
2,202,621
|
PLN
|
511,645
|
EUR
|
JPM
|
2/7/2019
|
(6,001)
|
|||||||||||||||
4,775,270
|
PLN
|
1,107,800
|
EUR
|
GSI
|
5/7/2019
|
(8,204)
|
|||||||||||||||
165,025
|
USD
|
144,337
|
EUR
|
JPM
|
2/5/2019
|
(197)
|
|||||||||||||||
270,535
|
USD
|
238,343
|
EUR
|
JPM
|
2/5/2019
|
(2,295)
|
|||||||||||||||
545,062
|
USD
|
479,608
|
EUR
|
JPM
|
2/5/2019
|
(3,943)
|
|||||||||||||||
1,041,549
|
USD
|
913,811
|
EUR
|
JPM
|
2/5/2019
|
(4,486)
|
|||||||||||||||
16,555,725
|
USD
|
14,551,000
|
EUR
|
GSI
|
2/6/2019
|
(102,128)
|
|||||||||||||||
137,828
|
USD
|
120,209
|
EUR
|
JPM
|
3/5/2019
|
(100)
|
|||||||||||||||
1,308,300
|
USD
|
1,140,395
|
EUR
|
JPM
|
3/5/2019
|
(192)
|
|||||||||||||||
2,049,051
|
USD
|
1,789,547
|
EUR
|
JPM
|
3/5/2019
|
(4,279)
|
|||||||||||||||
466,839
|
USD
|
405,897
|
EUR
|
GSI
|
4/16/2019
|
(614)
|
|||||||||||||||
449,106
|
USD
|
392,323
|
EUR
|
GSI
|
4/16/2019
|
(2,714)
|
|||||||||||||||
556,090
|
USD
|
485,897
|
EUR
|
GSI
|
4/16/2019
|
(3,495)
|
|||||||||||||||
16,946,129
|
USD
|
14,735,956
|
EUR
|
GSI
|
4/16/2019
|
(24,592)
|
|||||||||||||||
54,789,337
|
USD
|
47,643,523
|
EUR
|
GSI
|
4/16/2019
|
(79,509)
|
|||||||||||||||
26,540
|
USD
|
20,691
|
GBP
|
GSI
|
4/16/2019
|
(698)
|
|||||||||||||||
35,765
|
USD
|
27,720
|
GBP
|
GSI
|
4/16/2019
|
(726)
|
|||||||||||||||
100,365
|
USD
|
77,914
|
GBP
|
GSI
|
4/16/2019
|
(2,201)
|
|||||||||||||||
340,628
|
USD
|
263,874
|
GBP
|
GSI
|
4/16/2019
|
(6,736)
|
|||||||||||||||
457,426
|
USD
|
353,416
|
GBP
|
GSI
|
4/16/2019
|
(7,812)
|
|||||||||||||||
2,158,431
|
USD
|
1,700,798
|
GBP
|
GSI
|
4/16/2019
|
(80,505)
|
|||||||||||||||
9,067,578
|
USD
|
7,065,691
|
GBP
|
GSI
|
4/16/2019
|
(233,725)
|
|||||||||||||||
14,209,689
|
USD
|
11,196,931
|
GBP
|
GSI
|
4/16/2019
|
(529,994)
|
|||||||||||||||
21,967,339
|
USD
|
17,117,518
|
GBP
|
GSI
|
4/16/2019
|
(566,229)
|
|||||||||||||||
106,369
|
USD
|
1,496,819,685
|
IDR
|
GSI
|
2/4/2019
|
(757)
|
|||||||||||||||
139,777
|
USD
|
1,966,939,169
|
IDR
|
GSI
|
2/4/2019
|
(995)
|
|||||||||||||||
143,310
|
USD
|
2,016,664,656
|
IDR
|
GSI
|
2/4/2019
|
(1,021)
|
|||||||||||||||
67,342
|
USD
|
984,061,649
|
IDR
|
GSI
|
2/4/2019
|
(3,087)
|
|||||||||||||||
116,206
|
USD
|
1,685,917,350
|
IDR
|
GSI
|
2/4/2019
|
(4,454)
|
|||||||||||||||
1,310,949
|
USD
|
18,447,668,742
|
IDR
|
GSI
|
2/4/2019
|
(9,335)
|
|||||||||||||||
1,508,738
|
USD
|
21,258,113,253
|
IDR
|
JPM
|
2/4/2019
|
(12,688)
|
|||||||||||||||
527,391
|
USD
|
57,476,472
|
JPY
|
GSI
|
3/18/2019
|
(2,083)
|
|||||||||||||||
1,354,301
|
USD
|
1,508,103,995
|
KRW
|
GSI
|
4/15/2019
|
(4,187)
|
|||||||||||||||
2,045,034
|
MXN
|
107,438
|
USD
|
GSI
|
4/3/2019
|
(1,419)
|
|||||||||||||||
7,879,591
|
MXN
|
412,702
|
USD
|
JPM
|
4/3/2019
|
(4,205)
|
|||||||||||||||
1,608,199
|
USD
|
31,033,563
|
MXN
|
GSI
|
4/3/2019
|
(653)
|
|||||||||||||||
108,561
|
USD
|
2,139,842
|
MXN
|
GSI
|
4/3/2019
|
(2,373)
|
|||||||||||||||
148,407
|
USD
|
2,959,444
|
MXN
|
GSI
|
4/3/2019
|
(5,017)
|
|||||||||||||||
276,542
|
USD
|
5,448,408
|
MXN
|
GSI
|
4/3/2019
|
(5,916)
|
|||||||||||||||
99,210
|
USD
|
2,047,055
|
MXN
|
GSI
|
4/3/2019
|
(6,914)
|
|||||||||||||||
183,725
|
USD
|
3,725,825
|
MXN
|
GSI
|
4/3/2019
|
(9,431)
|
|||||||||||||||
876,226
|
USD
|
17,254,143
|
MXN
|
GSI
|
4/3/2019
|
(18,269)
|
|||||||||||||||
359,057
|
USD
|
7,325,206
|
MXN
|
GSI
|
4/3/2019
|
(20,699)
|
|||||||||||||||
924,620
|
USD
|
18,806,720
|
MXN
|
GSI
|
4/3/2019
|
(50,365)
|
|||||||||||||||
184,732
|
USD
|
3,633,716
|
MXN
|
JPM
|
4/3/2019
|
(3,648)
|
|||||||||||||||
1,109,781
|
USD
|
22,101,063
|
MXN
|
JPM
|
4/3/2019
|
(35,990)
|
|||||||||||||||
669,928
|
EUR
|
3,147,447
|
RON
|
GSI
|
3/7/2019
|
(8,837)
|
|||||||||||||||
1,119,109
|
EUR
|
5,255,032
|
RON
|
GSI
|
3/7/2019
|
(15,426)
|
|||||||||||||||
103,621
|
USD
|
6,944,719
|
RUB
|
GSI
|
3/6/2019
|
(2,148)
|
|||||||||||||||
1,268,569
|
USD
|
86,026,649
|
RUB
|
GSI
|
3/6/2019
|
(41,624)
|
|||||||||||||||
1,500,714
|
USD
|
102,162,353
|
RUB
|
GSI
|
3/6/2019
|
(55,227)
|
|||||||||||||||
755,465
|
USD
|
23,814,213
|
THB
|
JPM
|
3/11/2019
|
(7,417)
|
|||||||||||||||
341,463
|
USD
|
1,910,804
|
TRY
|
GSI
|
3/11/2019
|
(20,601)
|
|||||||||||||||
449,850
|
USD
|
2,567,644
|
TRY
|
GSI
|
3/11/2019
|
(36,673)
|
|||||||||||||||
117,625
|
USD
|
640,119
|
TRY
|
JPM
|
3/11/2019
|
(3,666)
|
|||||||||||||||
326,252
|
USD
|
1,798,909
|
TRY
|
JPM
|
3/11/2019
|
(14,609)
|
|||||||||||||||
269,133
|
USD
|
1,506,460
|
TRY
|
JPM
|
3/11/2019
|
(16,314)
|
|||||||||||||||
536,400
|
USD
|
3,049,860
|
TRY
|
JPM
|
3/11/2019
|
(41,494)
|
|||||||||||||||
696,206
|
USD
|
9,306,495
|
ZAR
|
GSI
|
2/11/2019
|
(4,893)
|
|||||||||||||||
267,622
|
USD
|
3,750,242
|
ZAR
|
JPM
|
2/11/2019
|
(14,900)
|
|||||||||||||||
279,585
|
USD
|
3,947,262
|
ZAR
|
JPM
|
2/11/2019
|
(17,779)
|
|||||||||||||||
694,313
|
USD
|
9,674,179
|
ZAR
|
JPM
|
2/11/2019
|
(34,484)
|
|||||||||||||||
1,126,666
|
USD
|
15,801,564
|
ZAR
|
JPM
|
2/11/2019
|
(63,733)
|
|||||||||||||||
Total unrealized depreciation
|
$
|
(2,451,011)
|
|||||||||||||||||||
Total net unrealized depreciation
|
$
|
(446,064)
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2019:
|
Asset Valuation Inputs
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3(b)
|
Total
|
||||||||||||
Investments:
|
||||||||||||||||
Common Stock(a)
|
$
|
53
|
$
|
—
|
$
|
—
|
$
|
53
|
||||||||
Loan Assignments
|
||||||||||||||||
Steel
|
—
|
—
|
639
|
639
|
||||||||||||
Other Loan Assignments(a)
|
—
|
41,480
|
—
|
41,480
|
||||||||||||
Total Loan Assignments
|
—
|
41,480
|
639
|
42,119
|
||||||||||||
U.S. Treasury Obligations
|
—
|
470,714
|
—
|
470,714
|
||||||||||||
U.S. Government Agency Securities
|
—
|
2,682
|
—
|
2,682
|
||||||||||||
Mortgage-Backed Securities(a)
|
—
|
974,851
|
—
|
974,851
|
||||||||||||
Corporate Bonds(a)
|
—
|
1,345,679
|
—
|
1,345,679
|
||||||||||||
Municipal Notes(a)
|
—
|
26,865
|
—
|
26,865
|
||||||||||||
Asset-Backed Securities
|
—
|
255,048
|
—
|
255,048
|
||||||||||||
Foreign Government Securities
|
—
|
246,687
|
—
|
246,687
|
||||||||||||
Developed Markets Ex- U.S.(a)
|
—
|
188
|
—
|
188
|
||||||||||||
Short-Term Investments
|
—
|
15,993
|
—
|
15,993
|
||||||||||||
Total Investments
|
$
|
53
|
$
|
3,380,187
|
$
|
639
|
$
|
3,380,879
|
(a)
|
The Schedule of Investments provides information on the industry, state/territory or sector categorization for the portfolio.
|
(b)
|
The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
|
Beginning balance, as
of 11/1/2018
|
Accrued discounts/
(premiums)
|
Realized gain/
(loss)
|
Change in unrealized appreciation/
(depreciation)
|
Purchases
|
Sales
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance,
as of
1/31/2019 |
Net change in unrealized appreciation/
(depreciation) from
investments
still held as of 1/31/2019 |
|
Investments in Securities:
|
||||||||||
(000’s omitted)
|
||||||||||
Loan Assignments(c)
|
||||||||||
Building & Development
|
$434
|
$-
|
$(11)
|
$-
|
$-
|
$(423)
|
$-
|
$-
|
$-
|
$-
|
Business Equipment & Services
|
621
|
-
|
-
|
-
|
-
|
-
|
-
|
(621)
|
-
|
-
|
Chemicals & Plastics
|
70
|
-
|
-
|
-
|
-
|
(70)
|
-
|
-
|
-
|
-
|
Electronics - Electrical
|
175
|
-
|
(1)
|
(1)
|
-
|
(173)
|
-
|
-
|
-
|
-
|
Food Products
|
209
|
-
|
-
|
-
|
-
|
(209)
|
-
|
-
|
-
|
-
|
Food Service
|
459
|
-
|
(6)
|
-
|
-
|
(453)
|
-
|
-
|
-
|
-
|
Health Care
|
103
|
-
|
(6)
|
1
|
-
|
(98)
|
-
|
-
|
-
|
-
|
Oil & Gas
|
511
|
-
|
(24)
|
1
|
-
|
(488)
|
-
|
-
|
-
|
-
|
Steel
|
1,195
|
-
|
(16)
|
(7)
|
-
|
(533)
|
-
|
-
|
639
|
(6)
|
Total
|
$3,777
|
$-
|
$(64)
|
$(6)
|
$-
|
$(2,447)
|
$-
|
$(621)
|
$639
|
$(6)
|
(c)
|
Securities categorized as Level 3 are valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of January 31, 2019:
|
Other Financial Instruments
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Futures(a)
|
||||||||||||||||
Assets
|
$
|
5,618
|
$
|
—
|
$
|
—
|
$
|
5,618
|
||||||||
Liabilities
|
(28,695
|
)
|
—
|
—
|
(28,695
|
)
|
||||||||||
Forward Contracts(a)
|
||||||||||||||||
Assets
|
—
|
2,005
|
—
|
2,005
|
||||||||||||
Liabilities
|
—
|
(2,451
|
)
|
—
|
(2,451
|
)
|
||||||||||
Total
|
$
|
(23,077
|
)
|
$
|
(446
|
)
|
$
|
—
|
$
|
(23,523
|
)
|
(a)
|
Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
|
PRINCIPAL
AMOUNT(a) |
VALUE†
|
||||||
(000's omitted)
|
(000's omitted)
|
||||||
U.S. Treasury Obligations 11.5%
|
|||||||
$
|
1,450
|
U.S. Treasury Bill, 2.33%, due 2/28/19
|
$
|
1,448
|
(b)(c)
|
||
U.S. Treasury Inflation-Indexed Bonds (d)
|
|||||||
676
|
0.25%, due 1/15/25
|
658
|
|||||
3,803
|
2.00%, due 1/15/26
|
4,129
|
|||||
2,538
|
3.88%, due 4/15/29
|
3,292
|
|||||
Total U.S. Treasury Obligations (Cost $9,544)
|
9,527
|
||||||
Mortgage-Backed Securities 10.4%
|
|||||||
Collateralized Mortgage Obligations 8.0%
|
|||||||
Fannie Mae Connecticut Avenue Securities
|
|||||||
575
|
Ser. 2017-C02, Class 2M2, (1 month USD LIBOR + 3.65%), 6.16%, due 9/25/29
|
620
|
(e)
|
||||
635
|
Ser. 2017-C03, Class 1M2, (1 month USD LIBOR + 3.00%), 5.51%, due 10/25/29
|
672
|
(e)
|
||||
631
|
Ser. 2017-C04, Class 2M2, (1 month USD LIBOR + 2.85%), 5.36%, due 11/25/29
|
653
|
(e)
|
||||
715
|
Ser. 2017-C05, Class 1M2, (1 month USD LIBOR + 2.20%), 4.71%, due 1/25/30
|
728
|
(e)
|
||||
620
|
Ser. 2017-C06, Class 1M2, (1 month USD LIBOR + 2.65%), 5.16%, due 2/25/30
|
641
|
(e)
|
||||
640
|
Ser. 2017-C06, Class 2M2, (1 month USD LIBOR + 2.80%), 5.31%, due 2/25/30
|
659
|
(e)
|
||||
630
|
Ser. 2017-C07, Class 2M2, (1 month USD LIBOR + 2.50%), 5.01%, due 5/25/30
|
641
|
(e)
|
||||
Freddie Mac Structured Agency Credit Risk Debt Notes
|
|||||||
850
|
Ser. 2017-DNA2, Class M2, (1 month USD LIBOR + 3.45%), 5.96%, due 10/25/29
|
917
|
(e)
|
||||
600
|
Ser. 2017-HQA2, Class M2, (1 month USD LIBOR + 2.65%), 5.16%, due 12/25/29
|
619
|
(e)
|
||||
520
|
Ser. 2018-HQA1, Class M2, (1 month USD LIBOR + 2.30%), 4.81%, due 9/25/30
|
516
|
(e)
|
||||
6,666
|
|||||||
Commercial Mortgage-Backed 0.4%
|
|||||||
956
|
Citigroup Commercial Mortgage Trust, Ser. 2015-GC27, Class XA, 1.38%, due 2/10/48
|
61
|
(f)(g)
|
||||
Commercial Mortgage Trust
|
|||||||
770
|
Ser. 2014-CR16, Class XA, 1.09%, due 4/10/47
|
29
|
(f)(g)
|
||||
905
|
Ser. 2014-LC15, Class XA, 1.24%, due 4/10/47
|
35
|
(f)(g)
|
||||
794
|
Morgan Stanley Bank of America Merrill Lynch Trust, Ser. 2014-C16, Class XA, 1.12%, due 6/15/47
|
30
|
(f)(g)
|
||||
WF-RBS Commercial Mortgage Trust
|
|||||||
919
|
Ser. 2014-LC14, Class XA, 1.27%, due 3/15/47
|
42
|
(f)(g)
|
||||
4,065
|
Ser. 2014-C21, Class XA, 1.07%, due 8/15/47
|
170
|
(f)(g)
|
||||
367
|
|||||||
Fannie Mae 1.3%
|
|||||||
1,035
|
Pass-Through Certificates, 4.00%, TBA, 30 Year Maturity
|
1,059
|
(h)
|
||||
Freddie Mac 0.7%
|
|||||||
|
555
|
Pass-Through Certificates, 4.00%, TBA, 30 Year Maturity
|
|
568
|
(h)
|
||
Total Mortgage-Backed Securities (Cost $8,678)
|
8,660
|
||||||
Corporate Bonds 46.5%
|
|||||||
Aerospace & Defense 0.2%
|
|||||||
EUR
|
127
|
Leonardo-Finmeccanica SpA, 4.50%, due 1/19/21
|
156
|
||||
Agriculture 0.4%
|
|||||||
GBP
|
265
|
BAT Capital Corp., 2.13%, due 8/15/25
|
330
|
(i)
|
|||
Airlines 0.2%
|
|||||||
$
|
174
|
American Airlines, Inc., 4.38%, due 10/1/22
|
173
|
||||
Apparel 0.4%
|
|||||||
EUR
|
200
|
Levi Strauss & Co., 3.38%, due 3/15/27
|
235
|
||||
EUR
|
100
|
PVH Corp., 3.63%, due 7/15/24
|
123
|
(i)
|
|||
358
|
|||||||
Auto Manufacturers 1.4%
|
|||||||
EUR
|
162
|
Fiat Chrysler Automobiles NV, 3.75%, due 3/29/24
|
197
|
(i)
|
|||
EUR
|
455
|
Volkswagen Bank GmbH, 1.25%, due 12/15/25
|
492
|
(i)
|
|||
EUR
|
400
|
Volkswagen Int'l Finance NV, (7 year EUR Swap + 2.20%), 2.50%, due 3/20/22
|
451
|
(e)(i)(j)
|
|||
1,140
|
|||||||
Auto Parts & Equipment 0.9%
|
|||||||
EUR
|
100
|
Goodyear Dunlop Tires Europe BV, 3.75%, due 12/15/23
|
115
|
(i)
|
|||
EUR
|
250
|
LKQ Italia Bondco SpA, 3.88%, due 4/1/24
|
296
|
(i)
|
|||
EUR
|
100
|
Schaeffler Finance BV, 3.50%, due 5/15/22
|
116
|
(i)
|
|||
EUR
|
182
|
Tenneco, Inc., 4.88%, due 4/15/22
|
213
|
(i)
|
|||
740
|
|||||||
Banks 4.8%
|
|||||||
$
|
590
|
Barclays PLC, 4.34%, due 1/10/28
|
568
|
(k)
|
|||
GBP
|
200
|
CYBG PLC, (6 month GBP LIBOR + 2.29%), 3.13%, due 6/22/25
|
245
|
(e)(i)
|
|||
GBP
|
200
|
Deutsche Bank AG, 1.88%, due 2/28/20
|
260
|
(i)(k)
|
|||
$
|
790
|
HSBC Holdings PLC, (5 year USD ICE Swap + 3.75%), 6.00%, due 5/22/27
|
760
|
(e)(j)(k)
|
|||
EUR
|
750
|
Lloyds Banking Group PLC, 1.00%, due 11/9/23
|
845
|
(i)(k)
|
|||
$
|
400
|
Morgan Stanley, Ser. H, (3 month USD LIBOR + 3.61%), 5.45%, due 7/15/19
|
401
|
(e)(j)
|
|||
Royal Bank of Scotland Group PLC
|
|||||||
EUR
|
100
|
(3 month EURIBOR + 2.04%), 2.00%, due 3/8/23
|
116
|
(e)(i)
|
|||
EUR
|
500
|
(5 year EUR Swap + 2.65%), 3.63%, due 3/25/24
|
573
|
(e)(i)(k)
|
|||
$
|
200
|
TC Ziraat Bankasi AS, 5.13%, due 5/3/22
|
186
|
(i)
|
|||
3,954
|
|||||||
Beverages 0.7%
|
|||||||
545
|
Anheuser-Busch InBev Worldwide, Inc., 4.75%, due 1/23/29
|
566
|
|||||
Building Materials 0.3%
|
|||||||
EUR
|
200
|
CEMEX Finance LLC, 4.63%, due 6/15/24
|
238
|
(i)
|
|||
Chemicals 1.5%
|
|||||||
EUR
|
100
|
Axalta Coating Systems Dutch Holding B BV, 3.75%, due 1/15/25
|
114
|
(i)
|
|||
EUR
|
100
|
Axalta Coating Systems LLC, 4.25%, due 8/15/24
|
117
|
(i)
|
|||
EUR
|
100
|
CeramTec BondCo GmbH, 5.25%, due 12/15/25
|
111
|
(i)
|
|||
EUR
|
264
|
Huntsman Int'l LLC, 4.25%, due 4/1/25
|
332
|
||||
EUR
|
250
|
Ineos Group Holdings SA, 5.38%, due 8/1/24
|
290
|
(i)
|
|||
EUR
|
200
|
Solvay Finance SA, (5 year EUR Swap + 5.22%), 5.87%, due 6/3/24
|
255
|
(e)(i)(j)
|
|||
1,219
|
|||||||
Commercial Services 1.4%
|
|||||||
EUR
|
200
|
Avis Budget Finance PLC, 4.50%, due 5/15/25
|
|
229
|
(i)
|
||
EUR
|
131
|
Blitz F18-674 GmbH, 6.00%, due 7/30/26
|
150
|
(i)
|
|||
EUR
|
190
|
Europcar Mobility Group, 4.13%, due 11/15/24
|
213
|
(i)
|
|||
Hertz Holdings Netherlands BV
|
|||||||
EUR
|
100
|
4.13%, due 10/15/21
|
115
|
(i)
|
|||
EUR
|
100
|
5.50%, due 3/30/23
|
113
|
(i)
|
|||
EUR
|
132
|
Intertrust Group BV, 3.38%, due 11/15/25
|
151
|
(i)
|
|||
EUR
|
200
|
Loxam SAS, 6.00%, due 4/15/25
|
235
|
(i)
|
|||
1,206
|
|||||||
Computers 1.1%
|
|||||||
$
|
620
|
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.02%, due 6/15/26
|
648
|
(k)(l)
|
|||
290
|
HP Enterprise Co., 4.90%, due 10/15/25
|
303
|
|||||
951
|
|||||||
Diversified Financial Services 0.1%
|
|||||||
GBP
|
100
|
Vantiv LLC/Vantiv Issuer Corp., 3.88%, due 11/15/25
|
127
|
(i)
|
|||
Electric 4.3%
|
|||||||
GBP
|
100
|
Drax Finco PLC, 4.25%, due 5/1/22
|
131
|
(i)
|
|||
EnBW Energie Baden-Wuerttemberg AG
|
|||||||
EUR
|
100
|
(5 year EUR Swap + 2.34%), 3.63%, due 4/2/76
|
119
|
(e)(i)
|
|||
EUR
|
340
|
(5 year EUR Swap + 3.63%), 3.38%, due 4/5/77
|
405
|
(e)(i)
|
|||
$
|
200
|
Eskom Holdings SOC Ltd., 7.13%, due 2/11/25
|
197
|
(i)
|
|||
GBP
|
200
|
Iberdrola Finanzas SA, 7.38%, due 1/29/24
|
326
|
||||
GBP
|
470
|
innogy Finance BV, 5.63%, due 12/6/23
|
718
|
(i)(k)
|
|||
GBP
|
417
|
NGG Finance PLC, (12 year GBP Swap + 3.48%), 5.63%, due 6/18/73
|
585
|
(e)(i)(k)
|
|||
GBP
|
155
|
NWEN Finance PLC, 5.88%, due 6/21/21
|
207
|
(i)
|
|||
Orano SA
|
|||||||
EUR
|
50
|
3.50%, due 3/22/21
|
60
|
(i)
|
|||
EUR
|
300
|
3.13%, due 3/20/23
|
344
|
(i)
|
|||
$
|
525
|
SSE PLC, (5 year USD Swap + 2.57%), 4.75%, due 9/16/77
|
499
|
(e)(i)
|
|||
3,591
|
|||||||
Electrical Components & Equipment 0.4%
|
|||||||
EUR
|
196
|
Belden, Inc., 3.38%, due 7/15/27
|
216
|
(i)
|
|||
EUR
|
100
|
Energizer Gamma Acquisition BV, 4.63%, due 7/15/26
|
112
|
(i)
|
|||
328
|
|||||||
Engineering & Construction 0.1%
|
|||||||
EUR
|
100
|
SPIE SA, 3.13%, due 3/22/24
|
115
|
(i)
|
|||
Entertainment 1.4%
|
|||||||
GBP
|
200
|
AMC Entertainment Holdings, Inc., 6.38%, due 11/15/24
|
248
|
||||
EUR
|
100
|
Cirsa Finance Int'l S.a.r.l, 6.25%, due 12/20/23
|
119
|
(i)
|
|||
EUR
|
201
|
Codere Finance 2 Luxembourg SA, 6.75%, due 11/1/21
|
214
|
(i)
|
|||
EUR
|
170
|
Int'l Game Technology PLC, 4.75%, due 2/15/23
|
208
|
(i)
|
|||
Scientific Games Int'l, Inc.
|
|||||||
EUR
|
100
|
3.38%, due 2/15/26
|
107
|
(i)
|
|||
EUR
|
100
|
5.50%, due 2/15/26
|
99
|
(i)
|
|||
EUR
|
180
|
WMG Acquisition Corp., 4.13%, due 11/1/24
|
214
|
(i)
|
|||
1,209
|
|||||||
Environmental Control 0.5%
|
|||||||
GBP
|
100
|
Kelda Finance No 3 PLC, 5.75%, due 2/17/20
|
131
|
(i)
|
|||
EUR
|
285
|
Paprec Holding SA, 4.00%, due 3/31/25
|
277
|
(i)
|
|||
408
|
|||||||
Food 1.8%
|
|||||||
EUR
|
200
|
Casino Guichard Perrachon SA, 4.50%, due 3/7/24
|
220
|
(i)
|
|||
$
|
495
|
Conagra Brands, Inc., 4.85%, due 11/1/28
|
|
501
|
|||
EUR
|
150
|
Darling Global Finance BV, 3.63%, due 5/15/26
|
176
|
(i)
|
|||
EUR
|
215
|
Nomad Foods Bondco PLC, 3.25%, due 5/15/24
|
249
|
(i)
|
|||
GBP
|
100
|
Premier Foods Finance PLC, 6.25%, due 10/15/23
|
130
|
(i)
|
|||
GBP
|
146
|
Tesco PLC, 5.50%, due 1/13/33
|
223
|
||||
1,499
|
|||||||
Food Service 0.3%
|
|||||||
EUR
|
200
|
Aramark Int'l Finance S.a.r.l., 3.13%, due 4/1/25
|
234
|
(i)
|
|||
Forest Products & Paper 0.2%
|
|||||||
EUR
|
155
|
Smurfit Kappa Acquisitions, 2.75%, due 2/1/25
|
184
|
(i)
|
|||
Gas 0.6%
|
|||||||
Centrica PLC
|
|||||||
GBP
|
200
|
6.40%, due 9/4/26
|
335
|
(i)
|
|||
GBP
|
100
|
4.38%, due 3/13/29
|
147
|
(i)
|
|||
482
|
|||||||
Healthcare - Services 0.4%
|
|||||||
EUR
|
265
|
Catalent Pharma Solutions, Inc., 4.75%, due 12/15/24
|
315
|
(i)
|
|||
Holding Companies - Diversified 0.4%
|
|||||||
GBP
|
100
|
Co-operative Group Holdings 2011 Ltd., 7.50%, due 7/8/26
|
144
|
(i)
|
|||
EUR
|
188
|
ProGroup AG, 3.00%, due 3/31/26
|
214
|
(i)
|
|||
358
|
|||||||
Home Builders 0.2%
|
|||||||
GBP
|
145
|
Miller Homes Group Holdings PLC, 5.50%, due 10/15/24
|
180
|
(i)
|
|||
Household Products - Wares 0.3%
|
|||||||
EUR
|
200
|
Spectrum Brands, Inc., 4.00%, due 10/1/26
|
226
|
(i)
|
|||
Insurance 0.6%
|
|||||||
GBP
|
325
|
Phoenix Group Holdings, 5.75%, due 7/7/21
|
461
|
(i)
|
|||
Internet 0.1%
|
|||||||
EUR
|
100
|
Netflix, Inc., 3.63%, due 5/15/27
|
114
|
||||
Iron - Steel 0.1%
|
|||||||
$
|
100
|
CSN Resources SA, 6.50%, due 7/21/20
|
99
|
(i)
|
|||
Leisure Time 0.3%
|
|||||||
EUR
|
185
|
Piaggio & C SpA, 3.63%, due 4/30/25
|
216
|
(i)
|
|||
Media 2.9%
|
|||||||
EUR
|
115
|
Altice Finco SA, 4.75%, due 1/15/28
|
108
|
(i)
|
|||
EUR
|
175
|
Altice Luxembourg SA, 6.25%, due 2/15/25
|
173
|
(i)
|
|||
$
|
430
|
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.20%, due 3/15/28
|
416
|
||||
EUR
|
300
|
Numericable-SFR SA, 5.63%, due 5/15/24
|
354
|
(i)
|
|||
EUR
|
90
|
Telenet Finance VI Luxembourg SCA, 4.88%, due 7/15/27
|
111
|
(i)
|
|||
EUR
|
198
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 6.25%, due 1/15/29
|
249
|
(i)
|
|||
EUR
|
180
|
UPCB Finance IV Ltd., 4.00%, due 1/15/27
|
212
|
(i)
|
|||
Virgin Media Secured Finance PLC
|
|||||||
GBP
|
100
|
5.13%, due 1/15/25
|
133
|
(i)
|
|||
GBP
|
100
|
4.88%, due 1/15/27
|
126
|
(i)
|
|||
GBP
|
325
|
6.25%, due 3/28/29
|
438
|
(i)
|
|||
EUR
|
100
|
Ziggo Bond Co. BV, 7.13%, due 5/15/24
|
120
|
(i)
|
|||
2,440
|
|||||||
Mining 0.5%
|
|||||||
$
|
200
|
China Minmetals Corp., (5 year CMT + 4.72%), 3.75%, due 11/13/22
|
188
|
(e)(i)(j)
|
|||
EUR
|
190
|
Constellium NV, 4.25%, due 2/15/26
|
|
210
|
(i)
|
||
398
|
|||||||
Miscellaneous Manufacturers 1.8%
|
|||||||
EUR
|
300
|
Colfax Corp., 3.25%, due 5/15/25
|
331
|
(i)
|
|||
General Electric Co.
|
|||||||
$
|
980
|
Ser. D, (3 month USD LIBOR + 3.33%), 5.00%, due 1/21/21
|
863
|
(e)(j)(k)
|
|||
EUR
|
325
|
2.13%, due 5/17/37
|
309
|
||||
1,503
|
|||||||
Multi-National 0.2%
|
|||||||
$
|
200
|
Banque Ouest Africaine de Developpement, 5.50%, due 5/6/21
|
205
|
(i)
|
|||
Oil & Gas 2.3%
|
|||||||
460
|
Apache Corp., 4.38%, due 10/15/28
|
449
|
|||||
200
|
KazMunayGas National Co. JSC, 6.38%, due 10/24/48
|
214
|
(i)
|
||||
Petrobras Global Finance BV
|
|||||||
EUR
|
261
|
4.75%, due 1/14/25
|
326
|
||||
$
|
50
|
7.38%, due 1/17/27
|
54
|
||||
Petroleos de Venezuela SA
|
|||||||
22
|
6.00%, due 5/16/24
|
5
|
(i)(m)
|
||||
251
|
6.00%, due 11/15/26
|
55
|
(i)(m)
|
||||
363
|
5.38%, due 4/12/27
|
91
|
(i)(m)
|
||||
Petroleos Mexicanos
|
|||||||
100
|
5.35%, due 2/12/28
|
88
|
|||||
16
|
6.50%, due 1/23/29
|
15
|
|||||
200
|
6.50%, due 6/2/41
|
174
|
|||||
EUR
|
170
|
Repsol Int'l Finance BV, (10 year EUR Swap + 4.20%), 4.50%, due 3/25/75
|
206
|
(e)(i)
|
|||
EUR
|
172
|
UGI Int'l LLC, 3.25%, due 11/1/25
|
204
|
(i)
|
|||
1,881
|
|||||||
Packaging & Containers 2.1%
|
|||||||
EUR
|
250
|
ARD Finance SA, ((Cash/17.38% PIK)), 6.63%, due 9/15/23
|
274
|
(n)
|
|||
EUR
|
300
|
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 6.75%, due 5/15/24
|
363
|
(i)
|
|||
EUR
|
520
|
Crown European Holdings SA, 3.38%, due 5/15/25
|
619
|
(i)
|
|||
EUR
|
195
|
Guala Closures SpA, (3 month EURIBOR + 3.50%, Floor 3.50%), 3.50%, due 4/15/24
|
224
|
(e)(i)
|
|||
EUR
|
200
|
Silgan Holdings, Inc., 3.25%, due 3/15/25
|
235
|
||||
1,715
|
|||||||
Pharmaceuticals 2.2%
|
|||||||
$
|
465
|
CVS Health Corp., 4.30%, due 3/25/28
|
471
|
||||
EUR
|
300
|
Grifols SA, 3.20%, due 5/1/25
|
343
|
(i)
|
|||
EUR
|
200
|
Nidda BondCo GmbH, 5.00%, due 9/30/25
|
210
|
(i)
|
|||
EUR
|
103
|
Rossini S.a.r.l., 6.75%, due 10/30/25
|
120
|
(i)
|
|||
Teva Pharmaceutical Finance Netherlands II BV
|
|||||||
EUR
|
225
|
3.25%, due 4/15/22
|
266
|
||||
EUR
|
100
|
1.88%, due 3/31/27
|
99
|
(i)
|
|||
EUR
|
310
|
Valeant Pharmaceuticals Int'l, Inc., 4.50%, due 5/15/23
|
351
|
(i)
|
|||
1,860
|
|||||||
Pipelines 1.4%
|
|||||||
$
|
200
|
Abu Dhabi Crude Oil Pipeline LLC, 4.60%, due 11/2/47
|
202
|
(l)
|
|||
735
|
Energy Transfer Partners L.P., Ser. B, (3 month USD LIBOR + 4.16%), 6.63%, due 2/15/28
|
655
|
(e)(j)(k)
|
||||
280
|
Southern Gas Corridor CJSC, 6.88%, due 3/24/26
|
311
|
(i)
|
||||
1,168
|
|||||||
Real Estate 0.3%
|
|||||||
EUR
|
200
|
Summit Germany Ltd., 2.00%, due 1/31/25
|
|
214
|
(i)
|
||
Real Estate Investment Trust 1.2%
|
|||||||
EUR
|
390
|
Equinix, Inc., 2.88%, due 10/1/25
|
443
|
||||
GBP
|
100
|
Iron Mountain UK PLC, 3.88%, due 11/15/25
|
125
|
(i)
|
|||
EUR
|
200
|
Iron Mountain, Inc., 3.00%, due 1/15/25
|
227
|
(i)
|
|||
EUR
|
200
|
MPT Operating Partnership L.P./MPT Finance Corp., 3.33%, due 3/24/25
|
233
|
||||
1,028
|
|||||||
Retail 1.6%
|
|||||||
EUR
|
100
|
Dufry Finance SCA, 4.50%, due 8/1/23
|
118
|
(i)
|
|||
EUR
|
200
|
Dufry One BV, 2.50%, due 10/15/24
|
229
|
(i)
|
|||
GBP
|
155
|
Enterprise Inns PLC, 6.00%, due 10/6/23
|
215
|
(i)
|
|||
GBP
|
550
|
Next PLC, 4.38%, due 10/2/26
|
775
|
(i)(k)
|
|||
1,337
|
|||||||
Semiconductors 0.6%
|
|||||||
$
|
540
|
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, due 1/15/27
|
498
|
||||
Software 0.9%
|
|||||||
EUR
|
100
|
Infor U.S., Inc., 5.75%, due 5/15/22
|
118
|
||||
EUR
|
190
|
InterXion Holding NV, 4.75%, due 6/15/25
|
228
|
(i)
|
|||
EUR
|
200
|
IQVIA, Inc., 3.25%, due 3/15/25
|
231
|
(i)
|
|||
EUR
|
134
|
Playtech PLC, 3.75%, due 10/12/23
|
151
|
(i)
|
|||
728
|
|||||||
Telecommunications 2.5%
|
|||||||
EUR
|
300
|
Cellnex Telecom SA, 2.88%, due 4/18/25
|
346
|
(i)
|
|||
EUR
|
123
|
DKT Finance ApS, 7.00%, due 6/17/23
|
152
|
(i)
|
|||
$
|
200
|
GTH Finance BV, 6.25%, due 4/26/20
|
203
|
(i)
|
|||
EUR
|
35
|
Olivetti Finance SA, Ser. 14, 7.75%, due 1/24/33
|
48
|
||||
EUR
|
100
|
SoftBank Group Corp., 5.00%, due 4/15/28
|
116
|
(i)
|
|||
Telecom Italia SpA
|
|||||||
EUR
|
50
|
5.25%, due 2/10/22
|
62
|
(i)
|
|||
EUR
|
350
|
3.63%, due 1/19/24
|
399
|
(i)
|
|||
EUR
|
200
|
3.00%, due 9/30/25
|
215
|
(i)
|
|||
Verizon Communications, Inc.
|
|||||||
EUR
|
100
|
1.38%, due 11/2/28
|
112
|
||||
EUR
|
100
|
1.88%, due 10/26/29
|
116
|
||||
Wind Tre SpA
|
|||||||
EUR
|
165
|
(3 month EURIBOR + 2.75%, Floor 2.75%), 2.75%, due 1/20/24
|
169
|
(e)(i)
|
|||
EUR
|
111
|
3.13%, due 1/20/25
|
112
|
(i)
|
|||
2,050
|
|||||||
Transportation 0.1%
|
|||||||
EUR
|
100
|
La Poste SA, (5 year EUR Swap + 2.44%), 3.13%, due 1/29/26
|
106
|
(e)(i)(j)
|
|||
Water 0.5%
|
|||||||
GBP
|
150
|
Anglian Water Osprey Financing PLC, 5.00%, due 4/30/23
|
191
|
(i)
|
|||
GBP
|
150
|
Thames Water Utilities Cayman Finance Ltd., 1.88%, due 1/24/24
|
192
|
(i)
|
|||
383
|
|||||||
Total Corporate Bonds (Cost $39,860)
|
38,691
|
||||||
Asset-Backed Securities 7.9%
|
|||||||
$
|
280
|
AM Capital Funding LLC, Ser. 2018-1, Class A, 4.98%, due 12/15/23
|
286
|
(l)
|
|||
250
|
Ares XLV CLO Ltd., Ser. 2017-45A, Class E, (3 month USD LIBOR + 6.10%), 8.89%, due 10/15/30
|
243
|
(e)(l)
|
||||
|
300
|
Assurant CLO I Ltd., Ser. 2017-1A, Class E, (3 month USD LIBOR + 6.46%), 9.22%, due 10/20/29
|
|
294
|
(e)(l)
|
||
Bear Stearns Asset-Backed Securities Trust
|
|||||||
229
|
Ser. 2004-SD3, Class M2, (1 month USD LIBOR + 1.88%), 4.39%, due 9/25/34
|
230
|
(e)
|
||||
483
|
Ser. 2005-SD2, Class 1M2, (1 month USD LIBOR + 1.00%), 3.51%, due 3/25/35
|
479
|
(e)
|
||||
250
|
Benefit Street Partners CLO XII Ltd., Ser. 2017-12A, Class D, (3 month USD LIBOR + 6.41%), 9.20%, due 10/15/30
|
242
|
(e)(l)
|
||||
314
|
Carrington Mortgage Loan Trust, Ser. 2006-RFC1, Class A4, (1 month USD LIBOR + 0.24%), 2.75%, due 3/25/36
|
312
|
(e)
|
||||
500
|
Dewolf Park CLO Ltd., Ser. 2017-1A, Class E, (3 month USD LIBOR + 6.20%), 8.99%, due 10/15/30
|
483
|
(e)(l)
|
||||
250
|
Dryden 54 Senior Loan Fund, Ser. 2017-54A, Class E, (3 month USD LIBOR + 6.20%), 8.96%, due 10/19/29
|
245
|
(e)(l)
|
||||
300
|
Flatiron CLO Ltd., Ser. 2017-1A, Class E, (3 month USD LIBOR + 6.00%), 8.62%, due 5/15/30
|
284
|
(e)(l)
|
||||
250
|
Gilbert Park CLO Ltd., Ser. 2017-1A, Class E, (3 month USD LIBOR + 6.40%), 9.19%, due 10/15/30
|
244
|
(e)(l)
|
||||
250
|
Milos CLO Ltd., Ser. 2017-1A, Class E, (3 month USD LIBOR + 6.30%), 9.06%, due 10/20/30
|
240
|
(e)(l)
|
||||
330
|
Newcastle Mortgage Securities Trust, Ser. 2006-1, Class M2, (1 month USD LIBOR + 0.37%), 2.88%, due 3/25/36
|
328
|
(e)
|
||||
1,710
|
Residential Asset Mortgage Products, Inc., Ser. 2005-RZ4, Class M3, (1 month USD LIBOR + 0.52%), 3.03%, due 11/25/35
|
1,686
|
(e)
|
||||
106
|
Securitized Asset Backed Receivables LLC Trust, Ser. 2004-DO1, Class M1, (1 month USD LIBOR + 0.98%), 3.49%, due 7/25/34
|
103
|
(e)
|
||||
40
|
Structured Asset Securities Corp., Ser. 2006-AM1, Class A4, (1 month USD LIBOR + 0.16%), 2.67%, due 4/25/36
|
40
|
(e)
|
||||
580
|
Trafigura Securitisation Finance PLC, Ser. 2017-1A, Class B, (1 month USD LIBOR + 1.70%), 4.21%, due 12/15/20
|
580
|
(e)(l)
|
||||
250
|
TRESTLES CLO Ltd., Ser. 2017-1A, Class D, (3 month USD LIBOR + 6.68%), 9.45%, due 7/25/29
|
237
|
(e)(l)
|
||||
Total Asset-Backed Securities (Cost $6,134)
|
6,556
|
||||||
Foreign Government Securities 17.0%
|
|||||||
Argentine Republic Government International Bond
|
|||||||
EUR
|
138
|
7.82%, due 12/31/33
|
143
|
||||
EUR
|
780
|
2.26%, due 12/31/38
|
531
|
(o)
|
|||
$
|
80
|
Belize Government International Bond, 4.94%, due 2/20/34
|
44
|
(i)
|
|||
BRL
|
5,000
|
Brazil Letras do Tesouro Nacional, 7.16%, due 7/1/21
|
1,156
|
(b)
|
|||
$
|
270
|
Brazil Minas SPE via State of Minas Gerais, 5.33%, due 2/15/28
|
274
|
(i)
|
|||
40
|
Brazilian Government International Bond, 7.13%, due 1/20/37
|
47
|
|||||
Bundesrepublik Deutschland
|
|||||||
EUR
|
270
|
0.25%, due 2/15/27
|
317
|
(i)
|
|||
EUR
|
30
|
5.50%, due 1/4/31
|
56
|
(i)
|
|||
$
|
200
|
Costa Rica Government International Bond, 7.16%, due 3/12/45
|
181
|
(i)
|
|||
Croatia Government International Bond
|
|||||||
EUR
|
120
|
3.00%, due 3/20/27
|
148
|
(i)
|
|||
EUR
|
100
|
2.75%, due 1/27/30
|
118
|
(i)
|
|||
$
|
200
|
Development Bank of Mongolia LLC, 7.25%, due 10/23/23
|
200
|
(l)
|
|||
100
|
Dominican Republic International Bond, 6.85%, due 1/27/45
|
103
|
(i)
|
||||
Egypt Government International Bond
|
|||||||
EUR
|
100
|
4.75%, due 4/16/26
|
107
|
(i)
|
|||
$
|
200
|
7.90%, due 2/21/48
|
184
|
(i)
|
|||
70
|
El Salvador Government International Bond, 7.75%, due 1/24/23
|
74
|
(i)
|
||||
200
|
Ghana Government International Bond, 10.75%, due 10/14/30
|
235
|
(i)
|
||||
Indonesia Government International Bond
|
|||||||
EUR
|
150
|
3.75%, due 6/14/28
|
|
194
|
(i)
|
||
$
|
200
|
5.13%, due 1/15/45
|
207
|
(i)
|
|||
Ivory Coast Government International Bond
|
|||||||
271
|
5.75%, due 12/31/32
|
250
|
(i)
|
||||
190
|
5.75%, due 12/31/32
|
175
|
(i)
|
||||
JPY
|
274,871
|
Japanese Government CPI Linked Bond, 0.10%, due 3/10/27
|
2,610
|
(d)
|
|||
Lebanon Government International Bond
|
|||||||
$
|
14
|
6.85%, due 3/23/27
|
12
|
(i)
|
|||
44
|
6.65%, due 2/26/30
|
35
|
(i)
|
||||
MXN
|
19,200
|
Mexican Bonos, 10.00%, due 12/5/24
|
1,083
|
||||
$
|
220
|
Mexico Government International Bond, 5.75%, due 10/12/10
|
216
|
||||
EUR
|
100
|
Montenegro Government International Bond, 3.38%, due 4/21/25
|
115
|
(i)
|
|||
Nigeria Government International Bond
|
|||||||
$
|
200
|
7.14%, due 2/23/30
|
192
|
(i)
|
|||
270
|
7.88%, due 2/16/32
|
268
|
(i)
|
||||
200
|
Oman Government International Bond, 6.75%, due 1/17/48
|
170
|
(i)
|
||||
EUR
|
150
|
Peruvian Government International Bond, 3.75%, due 3/1/30
|
204
|
||||
$
|
200
|
Republic of Azerbaijan International Bond, 4.75%, due 3/18/24
|
203
|
(i)
|
|||
ZAR
|
16,635
|
Republic of South Africa Government Bond, 9.00%, due 1/31/40
|
1,186
|
||||
$
|
200
|
Republic of South Africa Government International Bond, 4.85%, due 9/27/27
|
194
|
||||
EUR
|
60
|
Romanian Government International Bond, 3.88%, due 10/29/35
|
67
|
(i)
|
|||
RUB
|
73,700
|
Russian Federal Bond - OFZ, 7.70%, due 3/23/33
|
1,094
|
||||
Russian Foreign Bond - Eurobond
|
|||||||
$
|
200
|
4.25%, due 6/23/27
|
196
|
(i)
|
|||
87
|
7.50%, due 3/31/30
|
96
|
(i)
|
||||
Sri Lanka Government International Bond
|
|||||||
200
|
5.88%, due 7/25/22
|
197
|
(i)
|
||||
200
|
6.85%, due 11/3/25
|
198
|
(i)
|
||||
Turkey Government International Bond
|
|||||||
200
|
5.63%, due 3/30/21
|
202
|
|||||
200
|
4.88%, due 10/9/26
|
181
|
|||||
200
|
6.13%, due 10/24/28
|
192
|
|||||
Ukraine Government International Bond
|
|||||||
200
|
7.75%, due 9/1/25
|
184
|
(i)
|
||||
100
|
7.75%, due 9/1/26
|
91
|
(i)
|
||||
100
|
7.75%, due 9/1/27
|
90
|
(i)
|
||||
100
|
0.00%, due 5/31/40
|
61
|
(i)(p)
|
||||
64
|
Venezuela Government International Bond, 8.25%, due 10/13/24
|
20
|
(i)(m)
|
||||
Total Foreign Government Securities (Cost $14,762)
|
14,101
|
||||||
NUMBER OF
SHARES |
|||||||
Exchange-Traded Funds 4.8%
|
|||||||
114,167
|
VanEck Vectors J.P. Morgan EM Local Currency Bond ETF (Cost $4,392)
|
3,970
|
|||||
Short-Term Investments 1.5%
|
|||||||
Investment Companies 1.5%
|
|||||||
1,265,417
|
State Street Institutional U.S. Government Money Market Fund Premier Class, 2.32%(q) (Cost $1,265)
|
1,265
|
(k)
|
||||
Total Investments 99.6% (Cost $84,635)
|
82,770
|
||||||
Other Assets Less Liabilities 0.4%
|
369
|
(r)
|
|||||
Net Assets 100.0%
|
$83,139
|
(a)
|
Principal amount is stated in the currency in which the security is denominated.
|
|
(b)
|
Rate shown was the discount rate at the date of purchase.
|
|
(c)
|
All or a portion of the security is pledged as collateral for futures.
|
|
(d)
|
Index-linked bond whose principal amount adjusts according to a government retail price index.
|
|
(e)
|
Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2019 and changes periodically.
|
|
(f)
|
Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding.
|
|
(g)
|
Variable or floating rate security where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of January 31, 2019.
|
|
(h)
|
TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total value of all such securities (excluding forward sales contracts, if any) at January 31, 2019, amounted to approximately $1,627,000, which represents 2.0% of net assets of the Fund.
|
|
(i)
|
Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at January 31, 2019, amounted to approximately $31,634,000, which represents 38.1% of net assets of the Fund.
|
|
(j)
|
Perpetual Bond Security. The rate reflected was the rate in effect on January 31, 2019. The maturity date reflects the next call date.
|
|
(k)
|
All or a portion of this security is segregated in connection with obligations for to be announced securities, futures, forward foreign currency contracts and/or swaps with a total value of approximately $8,514,000.
|
|
(l)
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2019, these securities amounted to approximately $4,428,000, which represents 5.3% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
|
|
(m)
|
Defaulted security.
|
|
(n)
|
Payment-in-kind (PIK) security.
|
|
(o)
|
Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of January 31, 2019.
|
|
(p)
|
Currently a zero coupon security; will convert to variable in 2021 where it will be linked to the IMF Ukraine GDP Index.
|
|
(q)
|
Rate represents 7-day effective yield as of January 31, 2019.
|
|
(r)
|
Includes the impact of the Fund's open positions in derivatives at January 31, 2019.
|
Futures contracts ("futures")
|
At January 31, 2019, open positions in futures for the Fund were as follows:
|
Long Futures:
|
Expiration Date
|
Number of
Contracts |
Open Contracts
|
Notional
Amount |
Value and
Unrealized Appreciation/ (Depreciation) |
||||||
3/2019
|
68
|
Euro-Bund
|
$
|
12,894,555
|
$
|
236,795
|
||||
3/2019
|
145
|
Pound Sterling, 90 Day
|
23,561,159
|
26,147
|
||||||
3/2019
|
23
|
U.S. Treasury Ultra Long Bond
|
3,705,875
|
175,734
|
||||||
3/2019
|
319
|
U.S. Treasury Note, 2 Year
|
67,732,672
|
448,549
|
||||||
3/2019
|
197
|
U.S. Treasury Note, 5 Year
|
22,627,297
|
361,687
|
||||||
Total Long Positions
|
$
|
130,521,558
|
$
|
1,248,912
|
||||||
Short Futures:
|
||||||||||
Expiration Date
|
Number of
Contracts |
Open Contracts
|
Notional
Amount |
Value and
Unrealized Appreciation/ (Depreciation) |
||||||
3/2019
|
77
|
Euro-Bobl
|
$
|
(11,715,675)
|
$
|
(63,458)
|
||||
3/2019
|
104
|
Euro-Bund
|
(19,721,084)
|
(340,521)
|
||||||
3/2019
|
7
|
Euro-Buxl Bond, 30 Year
|
(1,489,147)
|
(70,027)
|
||||||
3/2019
|
25
|
Euro-OAT
|
(4,375,804)
|
(58,706)
|
||||||
3/2019
|
21
|
Mini JGB, 10 Year
|
(2,945,109)
|
(17,160)
|
||||||
3/2019
|
25
|
U.S. Treasury Long Bond
|
(3,667,188)
|
(181,230)
|
||||||
3/2019
|
286
|
U.S. Treasury Note, 10 Year
|
(35,026,063)
|
(958,547)
|
||||||
3/2019
|
41
|
U.S. Treasury Ultra Long Bond
|
(6,606,125)
|
(362,582)
|
||||||
3/2019
|
197
|
U.S. Treasury Note, Ultra 10 Year
|
(25,745,438)
|
(929,803)
|
||||||
3/2019
|
33
|
United Kingdom Long Gilt Bond
|
(5,346,721)
|
(53,673)
|
||||||
3/2020
|
145
|
Pound Sterling, 90 Day
|
(23,524,311)
|
(51,114)
|
||||||
Total Short Positions
|
$
|
(140,162,665)
|
$
|
(3,086,821)
|
||||||
Total Futures
|
$
|
(1,837,909)
|
Currency Purchased
|
Currency Sold
|
Counterparty
|
Settlement
Date |
Net
Unrealized Appreciation/ (Depreciation) |
||||||||||
3,434,916
|
AUD
|
2,461,873
|
USD
|
CITI
|
4/16/2019
|
$
|
37,462
|
|||||||
9,649,512
|
AUD
|
6,925,744
|
USD
|
GSI
|
4/16/2019
|
95,494
|
||||||||
8,485,338
|
AUD
|
6,090,182
|
USD
|
GSI
|
4/16/2019
|
83,973
|
||||||||
2,444,098
|
AUD
|
1,757,820
|
USD
|
GSI
|
4/16/2019
|
20,570
|
||||||||
671,057
|
AUD
|
476,984
|
USD
|
GSI
|
4/16/2019
|
11,295
|
||||||||
332,640
|
AUD
|
237,510
|
USD
|
GSI
|
4/16/2019
|
4,527
|
||||||||
656,332
|
AUD
|
474,527
|
USD
|
GSI
|
4/16/2019
|
3,037
|
||||||||
173,782
|
AUD
|
124,986
|
USD
|
GSI
|
4/16/2019
|
1,463
|
||||||||
145,544
|
AUD
|
104,461
|
USD
|
GSI
|
4/16/2019
|
1,440
|
||||||||
47,114
|
AUD
|
33,815
|
USD
|
GSI
|
4/16/2019
|
466
|
||||||||
136,580
|
AUD
|
97,922
|
USD
|
RBC
|
4/16/2019
|
1,456
|
||||||||
797,251
|
AUD
|
571,641
|
USD
|
SG
|
4/16/2019
|
8,460
|
||||||||
3,068,999
|
AUD
|
2,199,490
|
USD
|
SSB
|
4/16/2019
|
33,594
|
||||||||
300,689
|
AUD
|
214,684
|
USD
|
SSB
|
4/16/2019
|
4,105
|
||||||||
274,138
|
AUD
|
196,484
|
USD
|
SSB
|
4/16/2019
|
2,986
|
||||||||
162,265
|
AUD
|
116,292
|
USD
|
SSB
|
4/16/2019
|
1,776
|
||||||||
996,497
|
BRL
|
266,800
|
USD
|
GSI
|
4/16/2019
|
5,097
|
||||||||
1,149,775
|
BRL
|
308,722
|
USD
|
GSI
|
4/16/2019
|
4,996
|
||||||||
800,160
|
BRL
|
214,848
|
USD
|
GSI
|
4/16/2019
|
3,477
|
||||||||
1,327,182
|
BRL
|
354,961
|
USD
|
SSB
|
4/16/2019
|
7,163
|
||||||||
5,774,951
|
CAD
|
4,369,137
|
USD
|
CITI
|
4/16/2019
|
33,727
|
||||||||
5,206,345
|
CAD
|
3,938,949
|
USD
|
CITI
|
4/16/2019
|
30,406
|
||||||||
1,885,704
|
CAD
|
1,424,893
|
USD
|
CITI
|
4/16/2019
|
12,781
|
||||||||
4,942,167
|
CAD
|
3,740,832
|
USD
|
GSI
|
4/16/2019
|
27,111
|
||||||||
201,299
|
CAD
|
151,929
|
USD
|
GSI
|
4/16/2019
|
1,543
|
||||||||
189,169
|
CAD
|
142,949
|
USD
|
GSI
|
4/16/2019
|
1,275
|
||||||||
1,228,812
|
CAD
|
930,256
|
USD
|
JPM
|
4/16/2019
|
6,599
|
||||||||
846,175
|
CAD
|
640,551
|
USD
|
RBC
|
4/16/2019
|
4,579
|
||||||||
12,502
|
CAD
|
9,464
|
USD
|
RBC
|
4/16/2019
|
68
|
||||||||
17,255,286
|
CAD
|
13,064,269
|
USD
|
SG
|
4/16/2019
|
91,286
|
||||||||
544,980
|
CAD
|
412,604
|
USD
|
SCB
|
4/16/2019
|
2,892
|
||||||||
1,718,612
|
CAD
|
1,300,727
|
USD
|
SSB
|
4/16/2019
|
9,555
|
||||||||
711,821
|
CAD
|
536,737
|
USD
|
SSB
|
4/16/2019
|
5,961
|
||||||||
721,571
|
CAD
|
547,066
|
USD
|
SSB
|
4/16/2019
|
3,065
|
||||||||
656,780
|
CHF
|
663,588
|
USD
|
GSI
|
4/16/2019
|
1,437
|
||||||||
308,094
|
CHF
|
311,939
|
USD
|
GSI
|
4/16/2019
|
23
|
||||||||
964,627
|
USD
|
936,769
|
CHF
|
CITI
|
4/16/2019
|
16,098
|
||||||||
975,448
|
USD
|
948,070
|
CHF
|
GSI
|
4/16/2019
|
15,475
|
||||||||
984,622
|
USD
|
969,065
|
CHF
|
GSI
|
4/16/2019
|
3,391
|
||||||||
646,843
|
USD
|
638,430
|
CHF
|
GSI
|
4/16/2019
|
398
|
||||||||
1,126,745
|
USD
|
1,095,129
|
CHF
|
JPM
|
4/16/2019
|
17,868
|
||||||||
328,946
|
USD
|
319,716
|
CHF
|
JPM
|
4/16/2019
|
5,216
|
||||||||
3,764,770
|
USD
|
3,657,301
|
CHF
|
RBC
|
4/16/2019
|
61,554
|
||||||||
296,139
|
USD
|
287,685
|
CHF
|
RBC
|
4/16/2019
|
4,842
|
||||||||
8,556,809
|
USD
|
8,312,255
|
CHF
|
SG
|
4/16/2019
|
140,198
|
||||||||
1,607,574
|
USD
|
1,561,887
|
CHF
|
SCB
|
4/16/2019
|
26,079
|
||||||||
1,247,274
|
USD
|
1,211,826
|
CHF
|
SSB
|
4/16/2019
|
20,234
|
||||||||
369,249
|
USD
|
358,975
|
CHF
|
SSB
|
4/16/2019
|
5,767
|
||||||||
272,137
|
USD
|
268,373
|
CHF
|
SSB
|
4/16/2019
|
395
|
||||||||
46,087
|
USD
|
1,027,186
|
CZK
|
SSB
|
4/16/2019
|
344
|
||||||||
620,997
|
EUR
|
714,873
|
USD
|
CITI
|
4/16/2019
|
300
|
||||||||
814,374
|
EUR
|
934,572
|
USD
|
GSI
|
4/16/2019
|
3,305
|
||||||||
85,240
|
EUR
|
97,923
|
USD
|
GSI
|
4/16/2019
|
244
|
||||||||
62,513
|
EUR
|
71,332
|
USD
|
RBC
|
4/16/2019
|
661
|
||||||||
537,189
|
EUR
|
617,074
|
USD
|
SSB
|
4/16/2019
|
1,582
|
||||||||
2,499,464
|
USD
|
2,163,626
|
EUR
|
CITI
|
4/16/2019
|
7,716
|
||||||||
4,100,005
|
USD
|
3,551,202
|
EUR
|
GSI
|
4/16/2019
|
10,249
|
||||||||
2,650,551
|
USD
|
2,295,764
|
EUR
|
GSI
|
4/16/2019
|
6,626
|
||||||||
1,420,658
|
USD
|
1,230,497
|
EUR
|
GSI
|
4/16/2019
|
3,551
|
||||||||
987,132
|
USD
|
855,000
|
EUR
|
GSI
|
4/16/2019
|
2,468
|
||||||||
864,909
|
USD
|
749,137
|
EUR
|
GSI
|
4/16/2019
|
2,162
|
||||||||
75,435
|
USD
|
65,281
|
EUR
|
GSI
|
4/16/2019
|
254
|
||||||||
333,495
|
USD
|
289,573
|
EUR
|
GSI
|
4/16/2019
|
7
|
||||||||
112,350
|
USD
|
97,185
|
EUR
|
JPM
|
4/16/2019
|
426
|
||||||||
7,076,038
|
USD
|
6,122,215
|
EUR
|
RBC
|
4/16/2019
|
25,365
|
||||||||
2,735,496
|
USD
|
2,366,762
|
EUR
|
RBC
|
4/16/2019
|
9,806
|
||||||||
124,823
|
USD
|
107,997
|
EUR
|
RBC
|
4/16/2019
|
447
|
||||||||
2,866,032
|
USD
|
2,478,623
|
EUR
|
SG
|
4/16/2019
|
11,516
|
||||||||
527,753
|
USD
|
456,415
|
EUR
|
SG
|
4/16/2019
|
2,121
|
||||||||
138,710
|
USD
|
119,965
|
EUR
|
SCB
|
4/16/2019
|
551
|
||||||||
14,108,729
|
USD
|
12,212,336
|
EUR
|
SSB
|
4/16/2019
|
44,345
|
||||||||
12,886,439
|
USD
|
11,154,338
|
EUR
|
SSB
|
4/16/2019
|
40,503
|
||||||||
896,188
|
USD
|
771,009
|
EUR
|
SSB
|
4/16/2019
|
8,253
|
||||||||
988,106
|
USD
|
854,440
|
EUR
|
SSB
|
4/16/2019
|
4,087
|
||||||||
336,496
|
USD
|
291,493
|
EUR
|
SSB
|
4/16/2019
|
797
|
||||||||
43,340
|
USD
|
37,286
|
EUR
|
SSB
|
4/16/2019
|
399
|
||||||||
1,189,270
|
GBP
|
1,524,395
|
USD
|
CITI
|
4/16/2019
|
41,165
|
||||||||
200,649
|
GBP
|
256,399
|
USD
|
CITI
|
4/16/2019
|
7,736
|
||||||||
47,030
|
GBP
|
60,283
|
USD
|
CITI
|
4/16/2019
|
1,628
|
||||||||
44,452
|
GBP
|
56,978
|
USD
|
CITI
|
4/16/2019
|
1,539
|
||||||||
4,282,827
|
GBP
|
5,483,085
|
USD
|
GSI
|
4/16/2019
|
154,845
|
||||||||
293,911
|
GBP
|
379,395
|
USD
|
GSI
|
4/16/2019
|
7,511
|
||||||||
126,104
|
GBP
|
165,097
|
USD
|
GSI
|
4/16/2019
|
907
|
||||||||
19,277
|
GBP
|
24,745
|
USD
|
GSI
|
4/16/2019
|
631
|
||||||||
4,278,015
|
GBP
|
5,485,741
|
USD
|
JPM
|
4/16/2019
|
145,854
|
||||||||
111,214
|
GBP
|
142,611
|
USD
|
JPM
|
4/16/2019
|
3,792
|
||||||||
49,445
|
GBP
|
63,404
|
USD
|
JPM
|
4/16/2019
|
1,686
|
||||||||
18,582
|
GBP
|
23,828
|
USD
|
JPM
|
4/16/2019
|
634
|
||||||||
1,335,414
|
GBP
|
1,713,020
|
USD
|
RBC
|
4/16/2019
|
44,925
|
||||||||
1,168,922
|
GBP
|
1,499,450
|
USD
|
RBC
|
4/16/2019
|
39,324
|
||||||||
1,045,587
|
GBP
|
1,341,240
|
USD
|
RBC
|
4/16/2019
|
35,174
|
||||||||
103,833
|
GBP
|
133,193
|
USD
|
RBC
|
4/16/2019
|
3,493
|
||||||||
49,175
|
GBP
|
63,107
|
USD
|
SG
|
4/16/2019
|
1,627
|
||||||||
57,894
|
GBP
|
74,284
|
USD
|
SCB
|
4/16/2019
|
1,928
|
||||||||
473,169
|
GBP
|
605,388
|
USD
|
SSB
|
4/16/2019
|
17,494
|
||||||||
502,726
|
GBP
|
649,185
|
USD
|
SSB
|
4/16/2019
|
12,605
|
||||||||
245,910
|
GBP
|
315,439
|
USD
|
SSB
|
4/16/2019
|
8,278
|
||||||||
217,688
|
GBP
|
278,935
|
USD
|
SSB
|
4/16/2019
|
7,630
|
||||||||
78,845
|
GBP
|
101,138
|
USD
|
SSB
|
4/16/2019
|
2,654
|
||||||||
147,963
|
USD
|
111,924
|
GBP
|
GSI
|
4/16/2019
|
626
|
||||||||
100,266,828
|
JPY
|
919,735
|
USD
|
GSI
|
4/16/2019
|
6,208
|
||||||||
68,490,267
|
JPY
|
630,015
|
USD
|
GSI
|
4/16/2019
|
2,478
|
||||||||
70,650,400
|
JPY
|
651,366
|
USD
|
GSI
|
4/16/2019
|
1,075
|
||||||||
32,927,809
|
JPY
|
301,827
|
USD
|
RBC
|
4/16/2019
|
2,254
|
||||||||
65,164,910
|
JPY
|
599,631
|
USD
|
SSB
|
4/16/2019
|
2,154
|
||||||||
325,632
|
USD
|
34,969,606
|
JPY
|
CITI
|
4/16/2019
|
2,695
|
||||||||
855,002
|
USD
|
92,370,260
|
JPY
|
CITI
|
4/16/2019
|
1,981
|
||||||||
1,157,364
|
USD
|
125,137,630
|
JPY
|
CITI
|
4/16/2019
|
1,744
|
||||||||
72,383
|
USD
|
7,826,313
|
JPY
|
CITI
|
4/16/2019
|
109
|
||||||||
61,312
|
USD
|
6,629,223
|
JPY
|
CITI
|
4/16/2019
|
92
|
||||||||
349,163
|
USD
|
37,727,990
|
JPY
|
GSI
|
4/16/2019
|
753
|
||||||||
1,494,484
|
USD
|
161,508,908
|
JPY
|
JPM
|
4/16/2019
|
2,983
|
||||||||
626,012
|
USD
|
67,653,119
|
JPY
|
JPM
|
4/16/2019
|
1,250
|
||||||||
237,410
|
USD
|
25,651,052
|
JPY
|
JPM
|
4/16/2019
|
528
|
||||||||
2,650,694
|
USD
|
286,363,438
|
JPY
|
RBC
|
4/16/2019
|
6,187
|
||||||||
1,964,991
|
USD
|
212,284,687
|
JPY
|
RBC
|
4/16/2019
|
4,586
|
||||||||
2,551,534
|
USD
|
275,597,827
|
JPY
|
SG
|
4/16/2019
|
6,446
|
||||||||
519,416
|
USD
|
56,119,171
|
JPY
|
SCB
|
4/16/2019
|
1,167
|
||||||||
3,763,309
|
USD
|
406,678,193
|
JPY
|
SSB
|
4/16/2019
|
7,720
|
||||||||
828,271
|
USD
|
88,869,164
|
JPY
|
SSB
|
4/16/2019
|
7,583
|
||||||||
1,777,164
|
USD
|
192,047,414
|
JPY
|
SSB
|
4/16/2019
|
3,646
|
||||||||
72,128,152
|
KRW
|
64,499
|
USD
|
GSI
|
4/16/2019
|
476
|
||||||||
14,998,911
|
MXN
|
764,974
|
USD
|
GSI
|
4/16/2019
|
11,067
|
||||||||
17,332,764
|
MXN
|
884,214
|
USD
|
RBC
|
4/16/2019
|
12,580
|
||||||||
15,523,927
|
MXN
|
791,938
|
USD
|
RBC
|
4/16/2019
|
11,267
|
||||||||
1,300,921
|
MXN
|
66,365
|
USD
|
RBC
|
4/16/2019
|
944
|
||||||||
7,686,764
|
MXN
|
391,788
|
USD
|
SSB
|
4/16/2019
|
5,924
|
||||||||
32,436,835
|
NOK
|
3,820,683
|
USD
|
CITI
|
4/16/2019
|
37,443
|
||||||||
6,848,208
|
NOK
|
806,640
|
USD
|
CITI
|
4/16/2019
|
7,905
|
||||||||
7,283,294
|
NOK
|
850,877
|
USD
|
GSI
|
4/16/2019
|
15,418
|
||||||||
3,859,033
|
NOK
|
453,648
|
USD
|
GSI
|
4/16/2019
|
5,356
|
||||||||
4,560,758
|
NOK
|
537,251
|
USD
|
GSI
|
4/16/2019
|
5,218
|
||||||||
5,999,358
|
NOK
|
710,118
|
USD
|
GSI
|
4/16/2019
|
3,462
|
||||||||
1,716,657
|
NOK
|
202,126
|
USD
|
GSI
|
4/16/2019
|
2,058
|
||||||||
728,634
|
NOK
|
85,410
|
USD
|
GSI
|
4/16/2019
|
1,256
|
||||||||
688,524
|
NOK
|
81,070
|
USD
|
GSI
|
4/16/2019
|
825
|
||||||||
5,610,890
|
NOK
|
661,771
|
USD
|
JPM
|
4/16/2019
|
5,604
|
||||||||
16,091,527
|
NOK
|
1,898,022
|
USD
|
RBC
|
4/16/2019
|
15,948
|
||||||||
4,780,164
|
NOK
|
560,558
|
USD
|
RBC
|
4/16/2019
|
8,008
|
||||||||
27,419,673
|
NOK
|
3,234,682
|
USD
|
SG
|
4/16/2019
|
26,689
|
||||||||
19,015,153
|
NOK
|
2,239,684
|
USD
|
SSB
|
4/16/2019
|
22,031
|
||||||||
9,927,024
|
NOK
|
1,178,127
|
USD
|
SSB
|
4/16/2019
|
2,620
|
||||||||
713,266
|
NOK
|
83,637
|
USD
|
SSB
|
4/16/2019
|
1,201
|
||||||||
663,497
|
NOK
|
78,058
|
USD
|
SSB
|
4/16/2019
|
860
|
||||||||
431,483
|
USD
|
3,616,639
|
NOK
|
JPM
|
4/16/2019
|
1,310
|
||||||||
3,571,174
|
NZD
|
2,417,256
|
USD
|
CITI
|
4/16/2019
|
54,706
|
||||||||
993,342
|
NZD
|
672,373
|
USD
|
CITI
|
4/16/2019
|
15,217
|
||||||||
887,503
|
NZD
|
599,504
|
USD
|
CITI
|
4/16/2019
|
14,825
|
||||||||
189,201
|
NZD
|
128,066
|
USD
|
CITI
|
4/16/2019
|
2,898
|
||||||||
10,826,017
|
NZD
|
7,350,324
|
USD
|
GSI
|
4/16/2019
|
143,432
|
||||||||
2,484,105
|
NZD
|
1,686,583
|
USD
|
GSI
|
4/16/2019
|
32,911
|
||||||||
2,679,240
|
NZD
|
1,824,557
|
USD
|
GSI
|
4/16/2019
|
30,010
|
||||||||
4,392,693
|
NZD
|
2,974,899
|
USD
|
RBC
|
4/16/2019
|
65,718
|
||||||||
100,252
|
NZD
|
67,894
|
USD
|
RBC
|
4/16/2019
|
1,500
|
||||||||
2,427,553
|
NZD
|
1,644,138
|
USD
|
SG
|
4/16/2019
|
36,211
|
||||||||
656,855
|
NZD
|
445,159
|
USD
|
SSB
|
4/16/2019
|
9,516
|
||||||||
426,500
|
NZD
|
287,690
|
USD
|
SSB
|
4/16/2019
|
7,532
|
||||||||
189,802
|
NZD
|
127,911
|
USD
|
SSB
|
4/16/2019
|
3,470
|
||||||||
99,165
|
NZD
|
67,162
|
USD
|
SSB
|
4/16/2019
|
1,479
|
||||||||
7,495,578
|
RUB
|
110,325
|
USD
|
GSI
|
4/16/2019
|
2,851
|
||||||||
6,929,099
|
RUB
|
101,987
|
USD
|
GSI
|
4/16/2019
|
2,636
|
||||||||
5,962,134
|
SEK
|
661,313
|
USD
|
RBC
|
4/16/2019
|
1,375
|
||||||||
3,784,795
|
USD
|
33,522,687
|
SEK
|
CITI
|
4/16/2019
|
58,765
|
||||||||
2,914,865
|
USD
|
25,817,543
|
SEK
|
CITI
|
4/16/2019
|
45,258
|
||||||||
4,791,954
|
USD
|
42,514,691
|
SEK
|
GSI
|
4/16/2019
|
66,466
|
||||||||
3,924,381
|
USD
|
34,817,505
|
SEK
|
GSI
|
4/16/2019
|
54,433
|
||||||||
285,890
|
USD
|
2,547,019
|
SEK
|
GSI
|
4/16/2019
|
2,790
|
||||||||
170,479
|
USD
|
1,514,445
|
SEK
|
GSI
|
4/16/2019
|
2,149
|
||||||||
53,280
|
USD
|
472,703
|
SEK
|
GSI
|
4/16/2019
|
739
|
||||||||
663,839
|
USD
|
5,868,865
|
SEK
|
JPM
|
4/16/2019
|
11,517
|
||||||||
116,187
|
USD
|
1,027,184
|
SEK
|
JPM
|
4/16/2019
|
2,016
|
||||||||
274,950
|
USD
|
2,467,552
|
SEK
|
JPM
|
4/16/2019
|
683
|
||||||||
2,814,447
|
USD
|
24,853,945
|
SEK
|
SG
|
4/16/2019
|
51,943
|
||||||||
1,778
|
USD
|
15,705
|
SEK
|
SG
|
4/16/2019
|
33
|
||||||||
406,367
|
USD
|
3,587,242
|
SEK
|
SSB
|
4/16/2019
|
7,647
|
||||||||
355,840
|
USD
|
3,187,725
|
SEK
|
SSB
|
4/16/2019
|
1,526
|
||||||||
1,277,051
|
ZAR
|
90,277
|
USD
|
GSI
|
4/16/2019
|
5,211
|
||||||||
554,070
|
ZAR
|
39,168
|
USD
|
GSI
|
4/16/2019
|
2,261
|
||||||||
31,966,871
|
ZAR
|
2,265,531
|
USD
|
RBC
|
4/16/2019
|
124,676
|
||||||||
1,233,345
|
ZAR
|
87,457
|
USD
|
SG
|
4/16/2019
|
4,762
|
||||||||
Total unrealized appreciation
|
$
|
2,752,702
|
||||||||||||
426,104
|
AUD
|
310,331
|
USD
|
JPM
|
4/16/2019
|
(287)
|
||||||||
77,311
|
USD
|
107,868
|
AUD
|
CITI
|
4/16/2019
|
(1,176)
|
||||||||
857,435
|
USD
|
1,190,303
|
AUD
|
CITI
|
4/16/2019
|
(8,661)
|
||||||||
1,522,348
|
USD
|
2,124,048
|
AUD
|
CITI
|
4/16/2019
|
(23,165)
|
||||||||
46,792
|
USD
|
65,195
|
AUD
|
GSI
|
4/16/2019
|
(645)
|
||||||||
279,394
|
USD
|
389,389
|
AUD
|
GSI
|
4/16/2019
|
(3,935)
|
||||||||
707,062
|
USD
|
985,981
|
AUD
|
GSI
|
4/16/2019
|
(10,364)
|
||||||||
909,733
|
USD
|
1,267,797
|
AUD
|
GSI
|
4/16/2019
|
(12,749)
|
||||||||
939,135
|
USD
|
1,309,775
|
AUD
|
JPM
|
4/16/2019
|
(13,892)
|
||||||||
2,222,642
|
USD
|
3,099,832
|
AUD
|
JPM
|
4/16/2019
|
(32,878)
|
||||||||
181,214
|
USD
|
252,754
|
AUD
|
RBC
|
4/16/2019
|
(2,696)
|
||||||||
669,715
|
USD
|
941,551
|
AUD
|
RBC
|
4/16/2019
|
(15,382)
|
||||||||
1,621,125
|
USD
|
2,261,112
|
AUD
|
RBC
|
4/16/2019
|
(24,120)
|
||||||||
1,812,029
|
USD
|
2,527,381
|
AUD
|
RBC
|
4/16/2019
|
(26,960)
|
||||||||
71,443
|
USD
|
99,640
|
AUD
|
SG
|
4/16/2019
|
(1,057)
|
||||||||
115,655
|
USD
|
161,277
|
AUD
|
SCB
|
4/16/2019
|
(1,694)
|
||||||||
1,266,361
|
USD
|
1,765,898
|
AUD
|
SCB
|
4/16/2019
|
(18,553)
|
||||||||
97
|
USD
|
135
|
AUD
|
SSB
|
4/16/2019
|
(1)
|
||||||||
648,657
|
USD
|
900,985
|
AUD
|
SSB
|
4/16/2019
|
(6,923)
|
||||||||
1,292,566
|
USD
|
1,796,133
|
AUD
|
SSB
|
4/16/2019
|
(14,348)
|
||||||||
5,070,956
|
USD
|
7,075,621
|
AUD
|
SSB
|
4/16/2019
|
(77,451)
|
||||||||
1,260,995
|
USD
|
4,696,325
|
BRL
|
GSI
|
4/16/2019
|
(20,407)
|
||||||||
57,513
|
USD
|
215,156
|
BRL
|
RBC
|
4/16/2019
|
(1,193)
|
||||||||
312,164
|
USD
|
413,347
|
CAD
|
CITI
|
4/16/2019
|
(2,975)
|
||||||||
977,270
|
USD
|
1,291,717
|
CAD
|
CITI
|
4/16/2019
|
(7,544)
|
||||||||
311,465
|
USD
|
413,874
|
CAD
|
GSI
|
4/16/2019
|
(4,075)
|
||||||||
474,566
|
USD
|
627,815
|
CAD
|
GSI
|
4/16/2019
|
(4,085)
|
||||||||
698,728
|
USD
|
922,992
|
CAD
|
GSI
|
4/16/2019
|
(4,968)
|
||||||||
4,165,147
|
USD
|
5,502,747
|
CAD
|
GSI
|
4/16/2019
|
(30,187)
|
||||||||
379,278
|
USD
|
497,725
|
CAD
|
JPM
|
4/16/2019
|
(191)
|
||||||||
3,316,428
|
USD
|
4,380,802
|
CAD
|
JPM
|
4/16/2019
|
(23,527)
|
||||||||
298,591
|
USD
|
397,024
|
CAD
|
RBC
|
4/16/2019
|
(4,103)
|
||||||||
638,722
|
USD
|
843,759
|
CAD
|
RBC
|
4/16/2019
|
(4,566)
|
||||||||
10,514,434
|
USD
|
13,889,693
|
CAD
|
RBC
|
4/16/2019
|
(75,169)
|
||||||||
34,583
|
USD
|
45,677
|
CAD
|
SG
|
4/16/2019
|
(242)
|
||||||||
785,798
|
USD
|
1,037,905
|
CAD
|
SCB
|
4/16/2019
|
(5,509)
|
||||||||
634,230
|
USD
|
839,467
|
CAD
|
SSB
|
4/16/2019
|
(5,786)
|
||||||||
647,503
|
USD
|
858,368
|
CAD
|
SSB
|
4/16/2019
|
(6,923)
|
||||||||
4,608,232
|
USD
|
6,088,719
|
CAD
|
SSB
|
4/16/2019
|
(33,851)
|
||||||||
5,350,852
|
USD
|
7,069,920
|
CAD
|
SSB
|
4/16/2019
|
(39,306)
|
||||||||
307,617
|
CHF
|
311,700
|
USD
|
CITI
|
4/16/2019
|
(221)
|
||||||||
480,350
|
CHF
|
486,688
|
USD
|
CITI
|
4/16/2019
|
(308)
|
||||||||
1,633,246
|
CHF
|
1,681,817
|
USD
|
CITI
|
4/16/2019
|
(28,066)
|
||||||||
790,608
|
CHF
|
800,614
|
USD
|
GSI
|
4/16/2019
|
(80)
|
||||||||
225,082
|
CHF
|
228,670
|
USD
|
GSI
|
4/16/2019
|
(762)
|
||||||||
104,125
|
CHF
|
106,310
|
USD
|
GSI
|
4/16/2019
|
(878)
|
||||||||
687,299
|
CHF
|
698,691
|
USD
|
GSI
|
4/16/2019
|
(2,764)
|
||||||||
197,226
|
CHF
|
202,665
|
USD
|
GSI
|
4/16/2019
|
(2,962)
|
||||||||
447,671
|
CHF
|
459,681
|
USD
|
GSI
|
4/16/2019
|
(6,389)
|
||||||||
2,195,464
|
CHF
|
2,258,864
|
USD
|
GSI
|
4/16/2019
|
(35,837)
|
||||||||
553,487
|
CHF
|
561,216
|
USD
|
JPM
|
4/16/2019
|
(780)
|
||||||||
1,069,649
|
CHF
|
1,100,938
|
USD
|
SCB
|
4/16/2019
|
(17,860)
|
||||||||
9,210,754
|
CHF
|
9,480,181
|
USD
|
SSB
|
4/16/2019
|
(153,791)
|
||||||||
750,179
|
USD
|
742,434
|
CHF
|
GSI
|
4/16/2019
|
(1,576)
|
||||||||
812,395
|
USD
|
803,328
|
CHF
|
RBC
|
4/16/2019
|
(1,018)
|
||||||||
307,761
|
USD
|
304,537
|
CHF
|
SSB
|
4/16/2019
|
(599)
|
||||||||
1,007,217
|
CZK
|
45,103
|
USD
|
GSI
|
4/16/2019
|
(250)
|
||||||||
16,755
|
EUR
|
19,356
|
USD
|
CITI
|
4/16/2019
|
(60)
|
||||||||
22,792
|
EUR
|
26,330
|
USD
|
CITI
|
4/16/2019
|
(81)
|
||||||||
434,048
|
EUR
|
501,421
|
USD
|
CITI
|
4/16/2019
|
(1,548)
|
||||||||
654,577
|
EUR
|
755,428
|
USD
|
CITI
|
4/16/2019
|
(1,582)
|
||||||||
1,882,122
|
EUR
|
2,174,265
|
USD
|
CITI
|
4/16/2019
|
(6,712)
|
||||||||
2,542,031
|
EUR
|
2,936,605
|
USD
|
CITI
|
4/16/2019
|
(9,065)
|
||||||||
530,097
|
EUR
|
610,869
|
USD
|
GSI
|
4/16/2019
|
(381)
|
||||||||
44,745
|
EUR
|
52,027
|
USD
|
GSI
|
4/16/2019
|
(497)
|
||||||||
638,553
|
EUR
|
737,235
|
USD
|
GSI
|
4/16/2019
|
(1,843)
|
||||||||
599,448
|
EUR
|
696,468
|
USD
|
GSI
|
4/16/2019
|
(6,111)
|
||||||||
3,070,336
|
EUR
|
3,544,826
|
USD
|
GSI
|
4/16/2019
|
(8,862)
|
||||||||
1,370,054
|
EUR
|
1,593,037
|
USD
|
GSI
|
4/16/2019
|
(15,209)
|
||||||||
16,594
|
EUR
|
19,183
|
USD
|
JPM
|
4/16/2019
|
(73)
|
||||||||
238,359
|
EUR
|
275,553
|
USD
|
JPM
|
4/16/2019
|
(1,045)
|
||||||||
1,606,574
|
EUR
|
1,857,264
|
USD
|
JPM
|
4/16/2019
|
(7,047)
|
||||||||
8,197,367
|
EUR
|
9,476,484
|
USD
|
JPM
|
4/16/2019
|
(35,955)
|
||||||||
6,147
|
EUR
|
7,105
|
USD
|
RBC
|
4/16/2019
|
(25)
|
||||||||
63,805
|
EUR
|
73,746
|
USD
|
RBC
|
4/16/2019
|
(264)
|
||||||||
267,690
|
EUR
|
309,395
|
USD
|
RBC
|
4/16/2019
|
(1,109)
|
||||||||
477,365
|
EUR
|
551,737
|
USD
|
RBC
|
4/16/2019
|
(1,978)
|
||||||||
1,698,618
|
EUR
|
1,963,258
|
USD
|
RBC
|
4/16/2019
|
(7,038)
|
||||||||
77,624
|
EUR
|
89,757
|
USD
|
SG
|
4/16/2019
|
(361)
|
||||||||
426,929
|
EUR
|
493,658
|
USD
|
SG
|
4/16/2019
|
(1,984)
|
||||||||
260,155
|
EUR
|
300,804
|
USD
|
SCB
|
4/16/2019
|
(1,196)
|
||||||||
370,801
|
EUR
|
428,739
|
USD
|
SCB
|
4/16/2019
|
(1,704)
|
||||||||
1,188,972
|
EUR
|
1,374,749
|
USD
|
SCB
|
4/16/2019
|
(5,465)
|
||||||||
67,677
|
EUR
|
78,186
|
USD
|
SSB
|
4/16/2019
|
(246)
|
||||||||
698,577
|
EUR
|
807,055
|
USD
|
SSB
|
4/16/2019
|
(2,537)
|
||||||||
746,018
|
EUR
|
861,863
|
USD
|
SSB
|
4/16/2019
|
(2,709)
|
||||||||
1,257,007
|
EUR
|
1,452,201
|
USD
|
SSB
|
4/16/2019
|
(4,564)
|
||||||||
635,514
|
USD
|
554,241
|
EUR
|
CITI
|
4/16/2019
|
(2,780)
|
||||||||
475,309
|
USD
|
415,582
|
EUR
|
CITI
|
4/16/2019
|
(3,298)
|
||||||||
31,908
|
USD
|
27,876
|
EUR
|
GSI
|
4/16/2019
|
(195)
|
||||||||
72,634
|
USD
|
63,455
|
EUR
|
GSI
|
4/16/2019
|
(444)
|
||||||||
476,171
|
USD
|
416,434
|
EUR
|
GSI
|
4/16/2019
|
(3,416)
|
||||||||
776,185
|
USD
|
678,762
|
EUR
|
GSI
|
4/16/2019
|
(5,514)
|
||||||||
97,713
|
USD
|
85,632
|
EUR
|
RBC
|
4/16/2019
|
(906)
|
||||||||
193,991
|
USD
|
168,877
|
EUR
|
SSB
|
4/16/2019
|
(497)
|
||||||||
184,470
|
USD
|
161,041
|
EUR
|
SSB
|
4/16/2019
|
(994)
|
||||||||
470,514
|
GBP
|
619,741
|
USD
|
JPM
|
4/16/2019
|
(355)
|
||||||||
21,755
|
USD
|
16,972
|
GBP
|
CITI
|
4/16/2019
|
(587)
|
||||||||
428,419
|
USD
|
334,235
|
GBP
|
CITI
|
4/16/2019
|
(11,569)
|
||||||||
2,245,024
|
USD
|
1,751,476
|
GBP
|
CITI
|
4/16/2019
|
(60,625)
|
||||||||
56,749
|
USD
|
43,920
|
GBP
|
GSI
|
4/16/2019
|
(1,067)
|
||||||||
166,546
|
USD
|
130,089
|
GBP
|
GSI
|
4/16/2019
|
(4,703)
|
||||||||
250,982
|
USD
|
194,242
|
GBP
|
GSI
|
4/16/2019
|
(4,719)
|
||||||||
176,148
|
USD
|
137,589
|
GBP
|
GSI
|
4/16/2019
|
(4,975)
|
||||||||
644,666
|
USD
|
495,223
|
GBP
|
GSI
|
4/16/2019
|
(7,247)
|
||||||||
479,739
|
USD
|
370,919
|
GBP
|
GSI
|
4/16/2019
|
(8,540)
|
||||||||
671,146
|
USD
|
521,777
|
GBP
|
GSI
|
4/16/2019
|
(15,723)
|
||||||||
1,612,675
|
USD
|
1,259,657
|
GBP
|
GSI
|
4/16/2019
|
(45,543)
|
||||||||
1,884,529
|
USD
|
1,472,002
|
GBP
|
GSI
|
4/16/2019
|
(53,220)
|
||||||||
2,405,711
|
USD
|
1,879,096
|
GBP
|
GSI
|
4/16/2019
|
(67,939)
|
||||||||
365,978
|
USD
|
278,761
|
GBP
|
RBC
|
4/16/2019
|
(985)
|
||||||||
1,143,944
|
USD
|
891,781
|
GBP
|
RBC
|
4/16/2019
|
(30,000)
|
||||||||
3,848,153
|
USD
|
2,999,894
|
GBP
|
RBC
|
4/16/2019
|
(100,919)
|
||||||||
525,817
|
USD
|
409,733
|
GBP
|
SG
|
4/16/2019
|
(13,558)
|
||||||||
715,795
|
USD
|
557,770
|
GBP
|
SG
|
4/16/2019
|
(18,456)
|
||||||||
69,100
|
USD
|
53,854
|
GBP
|
SCB
|
4/16/2019
|
(1,793)
|
||||||||
974,385
|
USD
|
759,396
|
GBP
|
SCB
|
4/16/2019
|
(25,287)
|
||||||||
1,101,415
|
USD
|
858,398
|
GBP
|
SCB
|
4/16/2019
|
(28,584)
|
||||||||
37,212
|
USD
|
29,085
|
GBP
|
SSB
|
4/16/2019
|
(1,075)
|
||||||||
108,799
|
USD
|
84,170
|
GBP
|
SSB
|
4/16/2019
|
(2,003)
|
||||||||
123,558
|
USD
|
95,640
|
GBP
|
SSB
|
4/16/2019
|
(2,343)
|
||||||||
786,718
|
USD
|
605,230
|
GBP
|
SSB
|
4/16/2019
|
(10,009)
|
||||||||
499,372
|
USD
|
389,301
|
GBP
|
SSB
|
4/16/2019
|
(13,105)
|
||||||||
689,896
|
USD
|
537,830
|
GBP
|
SSB
|
4/16/2019
|
(18,105)
|
||||||||
947,243
|
USD
|
738,453
|
GBP
|
SSB
|
4/16/2019
|
(24,859)
|
||||||||
4,532,922
|
USD
|
3,533,781
|
GBP
|
SSB
|
4/16/2019
|
(118,961)
|
||||||||
111,723,723
|
JPY
|
1,036,192
|
USD
|
CITI
|
4/16/2019
|
(4,446)
|
||||||||
4,169,417
|
JPY
|
38,587
|
USD
|
GSI
|
4/16/2019
|
(83)
|
||||||||
5,829,413
|
JPY
|
54,253
|
USD
|
GSI
|
4/16/2019
|
(420)
|
||||||||
24,225,966
|
JPY
|
224,691
|
USD
|
GSI
|
4/16/2019
|
(969)
|
||||||||
71,214,644
|
JPY
|
659,074
|
USD
|
GSI
|
4/16/2019
|
(1,421)
|
||||||||
110,362,059
|
JPY
|
1,021,555
|
USD
|
RBC
|
4/16/2019
|
(2,384)
|
||||||||
657,619,922
|
JPY
|
6,087,191
|
USD
|
RBC
|
4/16/2019
|
(14,208)
|
||||||||
76,098,071
|
JPY
|
704,530
|
USD
|
SG
|
4/16/2019
|
(1,780)
|
||||||||
325,786,775
|
JPY
|
3,015,346
|
USD
|
SCB
|
4/16/2019
|
(6,774)
|
||||||||
6,834,505
|
JPY
|
63,245
|
USD
|
SSB
|
4/16/2019
|
(130)
|
||||||||
245,736,291
|
JPY
|
2,273,988
|
USD
|
SSB
|
4/16/2019
|
(4,665)
|
||||||||
797,049
|
USD
|
86,840,933
|
JPY
|
GSI
|
4/16/2019
|
(4,909)
|
||||||||
405,345
|
USD
|
44,139,999
|
JPY
|
SSB
|
4/16/2019
|
(2,279)
|
||||||||
64,661
|
USD
|
72,309,921
|
KRW
|
GSI
|
4/16/2019
|
(477)
|
||||||||
354,104
|
USD
|
395,990,569
|
KRW
|
GSI
|
4/16/2019
|
(2,614)
|
||||||||
677,904
|
USD
|
13,170,178
|
MXN
|
CITI
|
4/16/2019
|
(3,519)
|
||||||||
764,393
|
USD
|
14,998,911
|
MXN
|
CITI
|
4/16/2019
|
(11,648)
|
||||||||
83,920
|
USD
|
1,636,277
|
MXN
|
GSI
|
4/16/2019
|
(741)
|
||||||||
206,327
|
USD
|
4,045,461
|
MXN
|
GSI
|
4/16/2019
|
(2,985)
|
||||||||
969,541
|
USD
|
19,009,865
|
MXN
|
GSI
|
4/16/2019
|
(14,026)
|
||||||||
76,144
|
USD
|
1,493,940
|
MXN
|
SG
|
4/16/2019
|
(1,152)
|
||||||||
205,733
|
USD
|
4,036,479
|
MXN
|
SG
|
4/16/2019
|
(3,114)
|
||||||||
203,877
|
USD
|
4,000,000
|
MXN
|
SSB
|
4/16/2019
|
(3,083)
|
||||||||
677,243
|
USD
|
13,287,303
|
MXN
|
SSB
|
4/16/2019
|
(10,240)
|
||||||||
513,117
|
USD
|
4,324,035
|
NOK
|
GSI
|
4/16/2019
|
(1,196)
|
||||||||
961,834
|
USD
|
8,194,834
|
NOK
|
GSI
|
4/16/2019
|
(12,882)
|
||||||||
3,171,149
|
USD
|
26,886,903
|
NOK
|
JPM
|
4/16/2019
|
(26,853)
|
||||||||
42,488
|
USD
|
360,213
|
NOK
|
RBC
|
4/16/2019
|
(357)
|
||||||||
376,003
|
USD
|
3,188,154
|
NOK
|
SCB
|
4/16/2019
|
(3,205)
|
||||||||
1,538,270
|
USD
|
13,043,086
|
NOK
|
SCB
|
4/16/2019
|
(13,110)
|
||||||||
266,921
|
USD
|
2,268,243
|
NOK
|
SSB
|
4/16/2019
|
(2,870)
|
||||||||
4,039,990
|
USD
|
34,299,940
|
NOK
|
SSB
|
4/16/2019
|
(39,740)
|
||||||||
672,254
|
NZD
|
465,764
|
USD
|
JPM
|
4/16/2019
|
(430)
|
||||||||
25,860
|
USD
|
38,088
|
NZD
|
GSI
|
4/16/2019
|
(505)
|
||||||||
51,047
|
USD
|
75,185
|
NZD
|
GSI
|
4/16/2019
|
(996)
|
||||||||
221,305
|
USD
|
322,633
|
NZD
|
GSI
|
4/16/2019
|
(2,021)
|
||||||||
311,723
|
USD
|
455,902
|
NZD
|
GSI
|
4/16/2019
|
(3,852)
|
||||||||
490,016
|
USD
|
716,168
|
NZD
|
GSI
|
4/16/2019
|
(5,714)
|
||||||||
755,081
|
USD
|
1,105,188
|
NZD
|
GSI
|
4/16/2019
|
(9,929)
|
||||||||
667,369
|
USD
|
982,316
|
NZD
|
GSI
|
4/16/2019
|
(12,589)
|
||||||||
83,659
|
USD
|
123,487
|
NZD
|
JPM
|
4/16/2019
|
(1,819)
|
||||||||
931,827
|
USD
|
1,375,451
|
NZD
|
JPM
|
4/16/2019
|
(20,259)
|
||||||||
3,243,941
|
USD
|
4,788,317
|
NZD
|
JPM
|
4/16/2019
|
(70,526)
|
||||||||
107,127
|
USD
|
158,182
|
NZD
|
RBC
|
4/16/2019
|
(2,367)
|
||||||||
250,220
|
USD
|
369,054
|
NZD
|
RBC
|
4/16/2019
|
(5,238)
|
||||||||
1,896,383
|
USD
|
2,800,172
|
NZD
|
RBC
|
4/16/2019
|
(41,893)
|
||||||||
3,180,119
|
USD
|
4,695,719
|
NZD
|
RBC
|
4/16/2019
|
(70,252)
|
||||||||
90,603
|
USD
|
133,774
|
NZD
|
SG
|
4/16/2019
|
(1,995)
|
||||||||
5,139,215
|
USD
|
7,587,999
|
NZD
|
SG
|
4/16/2019
|
(113,189)
|
||||||||
70,925
|
USD
|
104,673
|
NZD
|
SCB
|
4/16/2019
|
(1,530)
|
||||||||
182,186
|
USD
|
268,875
|
NZD
|
SCB
|
4/16/2019
|
(3,929)
|
||||||||
3,313,378
|
USD
|
4,889,982
|
NZD
|
SCB
|
4/16/2019
|
(71,461)
|
||||||||
113,908
|
USD
|
168,185
|
NZD
|
SSB
|
4/16/2019
|
(2,509)
|
||||||||
425,401
|
USD
|
625,874
|
NZD
|
SSB
|
4/16/2019
|
(7,828)
|
||||||||
715,663
|
USD
|
1,056,673
|
NZD
|
SSB
|
4/16/2019
|
(15,764)
|
||||||||
3,233,554
|
USD
|
4,774,324
|
NZD
|
SSB
|
4/16/2019
|
(71,227)
|
||||||||
68,380
|
USD
|
4,571,150
|
RUB
|
GSI
|
4/16/2019
|
(640)
|
||||||||
77,987
|
USD
|
5,274,139
|
RUB
|
GSI
|
4/16/2019
|
(1,648)
|
||||||||
383,597
|
USD
|
26,053,317
|
RUB
|
SSB
|
4/16/2019
|
(9,783)
|
||||||||
13,332,080
|
SEK
|
1,490,051
|
USD
|
CITI
|
4/16/2019
|
(8,196)
|
||||||||
2,067,448
|
SEK
|
230,796
|
USD
|
GSI
|
4/16/2019
|
(1,000)
|
||||||||
6,240,639
|
SEK
|
694,666
|
USD
|
GSI
|
4/16/2019
|
(1,022)
|
||||||||
520,028
|
SEK
|
58,821
|
USD
|
JPM
|
4/16/2019
|
(1,021)
|
||||||||
343,270
|
SEK
|
38,858
|
USD
|
RBC
|
4/16/2019
|
(703)
|
||||||||
7,468,311
|
SEK
|
845,401
|
USD
|
RBC
|
4/16/2019
|
(15,302)
|
||||||||
29,993,034
|
SEK
|
3,395,164
|
USD
|
RBC
|
4/16/2019
|
(61,453)
|
||||||||
7,764,706
|
SEK
|
878,383
|
USD
|
SCB
|
4/16/2019
|
(15,340)
|
||||||||
11,672,165
|
SEK
|
1,320,415
|
USD
|
SCB
|
4/16/2019
|
(23,059)
|
||||||||
347,384
|
SEK
|
39,265
|
USD
|
SSB
|
4/16/2019
|
(654)
|
||||||||
8,173,195
|
SEK
|
914,678
|
USD
|
SSB
|
4/16/2019
|
(6,231)
|
||||||||
4,047,998
|
SEK
|
459,725
|
USD
|
SSB
|
4/16/2019
|
(9,792)
|
||||||||
18,810,960
|
SEK
|
2,126,230
|
USD
|
SSB
|
4/16/2019
|
(35,401)
|
||||||||
104,073,636
|
SEK
|
11,763,593
|
USD
|
SSB
|
4/16/2019
|
(195,858)
|
||||||||
213
|
USD
|
1,244
|
TRY
|
GSI
|
4/16/2019
|
(18)
|
||||||||
59,410
|
USD
|
838,314
|
ZAR
|
CITI
|
4/16/2019
|
(3,273)
|
||||||||
311,820
|
USD
|
4,400,000
|
ZAR
|
CITI
|
4/16/2019
|
(17,175)
|
||||||||
77,880
|
USD
|
1,096,972
|
ZAR
|
JPM
|
4/16/2019
|
(4,142)
|
||||||||
68,196
|
USD
|
962,256
|
ZAR
|
RBC
|
4/16/2019
|
(3,753)
|
||||||||
2,057,921
|
USD
|
29,037,465
|
ZAR
|
RBC
|
4/16/2019
|
(113,251)
|
||||||||
65,225
|
USD
|
910,147
|
ZAR
|
SSB
|
4/16/2019
|
(2,829)
|
||||||||
69,274
|
USD
|
977,017
|
ZAR
|
SSB
|
4/16/2019
|
(3,779)
|
||||||||
83,640
|
USD
|
1,179,631
|
ZAR
|
SSB
|
4/16/2019
|
(4,562)
|
||||||||
Total unrealized depreciation
|
$
|
(2,943,821)
|
||||||||||||
Total net unrealized depreciation
|
$
|
(191,119)
|
At January, 31, 2019, the Fund had cash collateral of $330,000 deposited in a segregated account for State Street Bank and Trust Company and received cash collateral of $360,000 and $120,000 from Goldman Sachs International and Societe General, respectively, to cover collateral requirements on over-the-counter derivatives.
|
Credit default swap contracts ("credit default swaps")
|
At January 31, 2019, the Fund had outstanding credit default swaps as follows:
|
Centrally Cleared Credit Default Swaps — Buy Protection
|
Clearinghouse
|
Reference
Entity |
Notional
Amount |
Financing
Rate Paid by the Fund |
Payment Frequency
|
Maturity
Date |
Upfront
Payments (Receipts) |
Unrealized
Appreciation/ (Depreciation) |
Accrued
Net Interest Receivable/ (Payable) |
Value
|
||||
ICE CC
|
CDX Emerging Markets Index, Ser. 28 V.2
|
USD 5,034,000
|
1.00%
|
3M
|
12/20/2022
|
$
|
161,410
|
$
|
(106,339)
|
$
|
(6,013)
|
$
|
49,058
|
ICE CC
|
CDX North American High Yield Index, Ser. 30 V.3
|
USD 13,426,000
|
5.00%
|
3M
|
6/20/2023
|
(815,786)
|
(91,515)
|
(80,191)
|
(987,492)
|
||||
Total
|
$
|
(654,376)
|
$
|
(197,854)
|
$
|
(86,204)
|
$
|
(938,434)
|
Interest rate swap contracts ("interest rate swaps")
|
At January 31, 2019, the Fund had outstanding interest rate swaps as follows:
|
Centrally cleared interest rate swaps
|
Clearinghouse
|
Notional
Amount |
Fund
Receives/Pays Floating Rate |
Floating Rate
Index |
Annual
Fixed-Rate |
Frequency
of Fund Receipt/
Payment
|
Maturity
Date |
Unrealized
Appreciation/ (Depreciation) |
Accrued Net Interest Receivable/ (Payable)
|
Value
|
|||
LCH
|
SEK 85,000,000
|
Receive
|
3-month Stockholm Interbank Offer Rate (STIBOR)
|
(0.17)%
|
3M/1Y
|
12/22/2019
|
$
|
7,196
|
$
|
(177)
|
$
|
7,020
|
LCH
|
SEK 30,000,000
|
Receive
|
3-month Stockholm Interbank Offer Rate (STIBOR)
|
(0.01)%
|
3M/1Y
|
7/18/2020
|
254
|
125
|
379
|
|||
LCH
|
SEK 27,000,000
|
Receive
|
3-month Stockholm Interbank Offer Rate (STIBOR)
|
0.01%
|
3M/1Y
|
8/29/2020
|
(911)
|
(2,238)
|
(3,149)
|
|||
LCH
|
SEK 9,000,000
|
Receive
|
3-month Stockholm Interbank Offer Rate (STIBOR)
|
0.15%
|
3M/1Y
|
1/15/2021
|
(2,017)
|
(107)
|
(2,124)
|
|||
LCH
|
SEK 16,480,000
|
Receive
|
3-month Stockholm Interbank Offer Rate (STIBOR)
|
0.10%
|
3M/1Y
|
8/9/2021
|
490
|
(2,887)
|
(2,397)
|
|||
CME
|
USD 550,000
|
Receive
|
3-month USD LIBOR
|
2.43%
|
3M/6M
|
12/7/2027
|
9,167
|
360
|
9,527
|
|||
Total
|
$
|
14,179
|
$
|
(4,924)
|
$
|
9,255
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2019:
|
Asset Valuation Inputs
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3(b)
|
Total
|
||||||||||||
Investments:
|
||||||||||||||||
U.S. Treasury Obligations
|
$
|
—
|
$
|
9,527
|
$
|
—
|
$
|
9,527
|
||||||||
Mortgage-Backed Securities(a)
|
—
|
8,660
|
—
|
8,660
|
||||||||||||
Corporate Bonds(a)
|
—
|
38,691
|
—
|
38,691
|
||||||||||||
Asset-Backed Securities
|
—
|
6,556
|
—
|
6,556
|
||||||||||||
Foreign Government Securities
|
—
|
14,101
|
—
|
14,101
|
||||||||||||
Exchange-Traded Funds
|
3,970
|
—
|
—
|
3,970
|
||||||||||||
Short-Term Investments
|
—
|
1,265
|
—
|
1,265
|
||||||||||||
Total Investments
|
$
|
3,970
|
$
|
78,800
|
$
|
—
|
$
|
82,770
|
(a)
|
The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
|
(b)
|
The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining the value:
|
(000’s omitted)
|
Beginning balance, as of 11/1/2018
|
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
1/31/2019
|
Net change in unrealized appreciation/
(depreciation) from
investments still held as of 1/31/2019
|
|
Investments in Securities:
|
|||||||||||
Corporate Bonds(c)
|
$173
|
$—
|
$—
|
$—
|
$—
|
$—
|
$—
|
$(173)
|
$—
|
$—
|
|
Total
|
$173
|
$—
|
$—
|
$—
|
$—
|
$—
|
$—
|
$(173)
|
$—
|
$—
|
(c)
|
At the beginning of the year, these investments were valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
|
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of January 31, 2019:
|
Other Financial Instruments
|
||||||||||||||||
(000's omitted)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Assets
|
||||||||||||||||
Futures(a)
|
||||||||||||||||
Assets
|
$
|
1,248
|
$
|
—
|
$
|
—
|
$
|
1,248
|
||||||||
Liabilities
|
(3,086
|
)
|
—
|
—
|
(3,086
|
)
|
||||||||||
Forward Contracts(a)
|
||||||||||||||||
Assets
|
—
|
2,753
|
—
|
2,753
|
||||||||||||
Liabilities
|
—
|
(2,944
|
)
|
—
|
(2,944
|
)
|
||||||||||
Swaps
|
||||||||||||||||
Assets
|
—
|
66
|
—
|
66
|
||||||||||||
Liabilities
|
—
|
(995
|
)
|
—
|
(995
|
)
|
||||||||||
Total
|
$
|
(1,838
|
)
|
$
|
(1,120
|
)
|
$
|
—
|
$
|
(2,958
|
)
|
(a)
|
Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
|
^
|
A balance indicated with a “-“, either reflects a zero balance or an amount that rounds to less than 1.
|
† |
In accordance with Accounting Standards Codification 820 "Fair Value Measurement" ("ASC 820"), all investments held by each of Neuberger Berman Core Bond Fund, Neuberger Berman Core Plus Fund, Neuberger Berman Emerging Markets Debt Fund, Neuberger Berman Floating Rate Income Fund (“Floating Rate Income”), Neuberger Berman High Income Bond Fund, Neuberger Berman Municipal High Income Fund, Neuberger Berman Municipal Intermediate Bond Fund, Neuberger Berman Municipal Impact Fund, Neuberger Berman Short Duration Bond Fund, Neuberger Berman Short Duration High Income Fund, Neuberger Berman Strategic Income Fund (“Strategic Income”) and Neuberger Berman Unconstrained Bond Fund, (each individually a “Fund,” and collectively, the “Funds”) are carried at the value that Neuberger Berman Investment Advisers LLC (“Management”) believes a Fund would receive upon selling an investment in an orderly transaction to an
independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Funds' investments, some of which are discussed below. Significant Management judgment may be necessary to value investments in accordance with ASC 820.
|
• |
Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
|
• |
Level 3 – unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)
|
Floating Rate Income
(000’s omitted)
Borrower
|
Principal
Amount |
Value
|
Pearl Intermediate Parent LLC, Term Loan, 4.25%, due 2/14/25
|
$45
|
$43
|
PG&E Corp., Term Loan, due 12/31/20
|
149
|
148
|
Short Duration High Income
(000’s omitted)
Borrower
|
Principal
Amount |
Value
|
Agiliti Health, Inc., Term Loan, 1.50%, due 1/4/26
|
$55
|
$55
|
Benchmarks:
|
||
BADLARPP = Argentina Deposit Rates Badlar Private Banks
|
||
CMT = Constant Maturity Treasury
|
||
EURIBOR = Euro Interbank Offered Rate
|
||
ICE = Intercontinental Exchange
|
||
LIBOR = London Interbank Offered Rate
|
||
Currency Abbreviations:
|
||
ARS
|
=
|
Argentine Peso
|
AUD
|
=
|
Australian Dollar
|
BRL
|
=
|
Brazilian Real
|
CAD
|
=
|
Canadian Dollar
|
CHF
|
=
|
Swiss Franc
|
CLP
|
=
|
Chilean Peso
|
CNY
|
=
|
Chinese Yuan Renminbi
|
COP
|
=
|
Colombian Peso
|
CZK
|
=
|
Czech Koruna
|
DKK
|
=
|
Danish Krone
|
DOP
|
=
|
Dominican Peso
|
EGP
|
=
|
Egyptian Pound
|
EUR
|
=
|
Euro
|
GBP
|
=
|
Pound Sterling
|
GHS
|
=
|
Ghanaian Cedi
|
HUF
|
=
|
Hungarian Forint
|
IDR
|
=
|
Indonesian Rupiah
|
ILS
|
=
|
Israeli Shekel
|
INR
|
=
|
Indian Rupee
|
JPY
|
=
|
Japanese Yen
|
KRW
|
=
|
South Korean Won
|
KZT
|
=
|
Kazakhstani Tenge
|
LKR
|
=
|
Sri Lanka Rupee
|
MXN
|
=
|
Mexican Peso
|
MYR
|
=
|
Malaysian Ringgit
|
NOK
|
=
|
Norwegian Krone
|
NZD
|
=
|
New Zealand Dollar
|
PEN
|
=
|
Peruvian Nuevo Sol
|
PHP
|
=
|
Philippine Peso
|
PLN
|
=
|
Polish Zloty
|
RON
|
=
|
New Romanian Leu
|
RUB
|
=
|
Russian Ruble
|
SEK
|
=
|
Swedish Krona
|
THB
|
=
|
Thai Baht
|
TRY
|
=
|
Turkish Lira
|
USD
|
=
|
United States Dollar
|
UYU
|
=
|
Uruguayan Peso
|
ZAR
|
=
|
South African Rand
|
Non-deliverable forward contracts:
|
||
ARS
|
=
|
Argentine Peso
|
BRL
|
=
|
Brazilian Real
|
CLP
|
=
|
Chilean Peso
|
CNY
|
=
|
Chinese Yuan Renminbi
|
COP
|
=
|
Colombian Peso
|
EGP
|
=
|
Egyptian Pound
|
IDR
|
=
|
Indonesian Rupiah
|
INR
|
=
|
Indian Rupee
|
KRW
|
=
|
South Korean Won
|
KZT
|
=
|
Kazakhstani Tenge
|
MYR
|
=
|
Malaysian Ringgit
|
PEN
|
=
|
Peruvian Nuevo Sol
|
PHP
|
=
|
Philippine Peso
|
RUB
|
=
|
Russian Ruble
|
Counterparties:
|
||
CITI = Citibank, N.A.
|
||
GSI = Goldman Sachs International
|
JPM = JPMorgan Chase Bank N.A.
|
RBC = Royal Bank of Canada
|
SCB = Standard Chartered Bank
|
SG = Societe Generale
|
SSB = State Street Bank and Trust Company
|
Clearinghouses:
|
CME = CME Group, Inc.
|
ICE CC = ICE Clear Credit LLC
|
LCH = LCH. Clearnet Limited
|
Payment Frequencies:
|
28D = 28 Days
|
3M = 3 Months
|
6M = 6 Months
|
1Y = 1 Year
|
T = Upon Termination
|
(a) |
Based on an evaluation of the disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act), as of a date within 90 days of the filing date of this report, the Chief Executive Officer and President and the Treasurer and Principal Financial and Accounting Officer of the Registrant have concluded that such disclosure controls and procedures are effectively designed to ensure that information required to be disclosed by the Registrant on Form N-Q is accumulated and communicated to the Registrant’s management to allow timely decisions regarding required disclosure.
|
(b) |
There were no significant changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
|
By:
|
/s/ Joseph V. Amato
|
|
Chief Executive Officer and President
|
||
Date: March 27, 2019
|
||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
|
||
By:
|
/s/ Joseph V. Amato
|
|
Chief Executive Officer and President
|
||
Date: March 27, 2019
|
||
By:
|
/s/ John M. McGovern
|
|
Treasurer and Principal Financial
|
||
and Accounting Officer
|
This ‘N-Q’ Filing | Date | Other Filings | ||
---|---|---|---|---|
8/1/26 | ||||
12/15/19 | ||||
Filed on / Effective on: | 3/27/19 | |||
2/27/19 | 497K | |||
For Period End: | 1/31/19 | |||
List all Filings |