High Yield Bond Portfolio
SCHEDULE OF INVESTMENTS
September 30, 2022 (unaudited)
| Common Stocks (0.5%) | Shares/ Par + | Value $ (000’s) |
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|
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| Communications (0.0%) |
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| iHeartMedia, Inc. * |
22,266 | 163 | ||||||
|
|
|
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| Total |
163 | |||||||
|
|
|
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| Consumer, Non-cyclical (0.2%) |
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| Mallinckrodt PLC * |
64,634 | 1,099 | ||||||
|
|
|
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| Total |
1,099 | |||||||
|
|
|
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| Energy (0.3%) |
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| Superior Energy Services, Inc. *,Æ |
35,182 | 2,269 | ||||||
|
|
|
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| Total |
2,269 | |||||||
|
|
|
|||||||
| Total Common Stocks (Cost: $2,758) |
3,531 | |||||||
|
|
|
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| Corporate Bonds (95.1%) |
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|
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| Basic Materials (3.5%) |
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| Ashland LLC |
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| 3.375%, 9/1/31 144A |
825,000 | 638 | ||||||
| Axalta Coating Systems LLC |
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| 3.375%, 2/15/29 144A |
875,000 | 686 | ||||||
| Axalta Coating Systems LLC / Axalta Coating Systems Dutch Holding |
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| 4.750%, 6/15/27 144A |
600,000 | 534 | ||||||
| Cheever Escrow Issuer, LLC |
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| 7.125%, 10/1/27 144A |
700,000 | 626 | ||||||
| Clearwater Paper Corp. |
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| 4.750%, 8/15/28 144A |
150,000 | 131 | ||||||
| 5.375%, 2/1/25 144A |
2,500,000 | 2,465 | ||||||
| Cleveland-Cliffs, Inc. |
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| 4.625%, 3/1/29 144A |
1,525,000 | 1,281 | ||||||
| 4.875%, 3/1/31 144A |
1,025,000 | 847 | ||||||
| Coeur Mining, Inc. |
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| 5.125%, 2/15/29 144A |
1,675,000 | 1,266 | ||||||
| Compass Minerals International, Inc. |
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| 4.875%, 7/15/24 144A |
1,400,000 | 1,316 | ||||||
| 6.750%, 12/1/27 144A |
1,000,000 | 940 | ||||||
| Diamond BC BV |
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| 4.625%, 10/1/29 144A |
3,225,000 | 2,244 | ||||||
| Element Solutions, Inc. |
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| 3.875%, 9/1/28 144A |
1,650,000 | 1,329 | ||||||
| Freeport-McMoRan, Inc. |
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| 5.000%, 9/1/27 |
300,000 | 290 | ||||||
| 5.250%, 9/1/29 |
50,000 | 46 | ||||||
| H.B. Fuller Co. |
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| 4.250%, 10/15/28 |
525,000 | 442 | ||||||
| Herens Holdco SARL |
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| 4.750%, 5/15/28 144A |
3,150,000 | 2,520 | ||||||
| Illuminate Buyer LLC / Illuminate Holdings IV, Inc. |
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| 9.000%, 7/1/28 144A |
725,000 | 602 | ||||||
| Olympus Water US Holding Corp. |
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| 4.250%, 10/1/28 144A |
1,250,000 | 961 | ||||||
| 6.250%, 10/1/29 144A |
1,800,000 | 1,233 | ||||||
| Polar US Borrower LLC |
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| 6.750%, 5/15/26 144A |
1,925,000 | 1,059 | ||||||
| Corporate Bonds (95.1%) | Shares/ Par + | Value $ (000’s) |
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|
|
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| Basic Materials continued |
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| SPCM SA |
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| 3.125%, 3/15/27 144A |
250,000 | 215 | ||||||
| 3.375%, 3/15/30 144A |
425,000 | 332 | ||||||
| WR Grace Holdings LLC |
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| 4.875%, 6/15/27 144A |
675,000 | 580 | ||||||
| 5.625%, 8/15/29 144A |
1,200,000 | 900 | ||||||
|
|
|
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| Total |
23,483 | |||||||
|
|
|
|||||||
| Communications (16.4%) |
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| Cars.com, Inc. |
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| 6.375%, 11/1/28 144A |
1,900,000 | 1,620 | ||||||
| CCO Holdings LLC / CCO Holdings Capital Corp. |
||||||||
| 4.250%, 2/1/31 144A |
750,000 | 575 | ||||||
| 4.250%, 1/15/34 144A |
1,200,000 | 859 | ||||||
| 4.500%, 8/15/30 144A |
2,175,000 | 1,720 | ||||||
| 4.500%, 5/1/32 |
1,050,000 | 801 | ||||||
| 4.500%, 6/1/33 144A |
1,175,000 | 868 | ||||||
| 4.750%, 3/1/30 144A |
3,400,000 | 2,758 | ||||||
| 4.750%, 2/1/32 144A |
450,000 | 350 | ||||||
| 5.000%, 2/1/28 144A |
2,000,000 | 1,724 | ||||||
| 5.125%, 5/1/27 144A |
2,975,000 | 2,685 | ||||||
| 5.375%, 6/1/29 144A |
1,350,000 | 1,182 | ||||||
| 5.500%, 5/1/26 144A |
275,000 | 261 | ||||||
| Ciena Corp. |
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| 4.000%, 1/31/30 144A |
325,000 | 271 | ||||||
| CSC Holdings LLC |
||||||||
| 3.375%, 2/15/31 144A |
825,000 | 582 | ||||||
| 4.125%, 12/1/30 144A |
950,000 | 710 | ||||||
| 4.500%, 11/15/31 144A |
2,750,000 | 2,066 | ||||||
| 4.625%, 12/1/30 144A |
1,650,000 | 1,122 | ||||||
| 5.250%, 6/1/24 |
1,425,000 | 1,318 | ||||||
| 5.500%, 4/15/27 144A |
1,675,000 | 1,474 | ||||||
| 5.750%, 1/15/30 144A |
4,200,000 | 2,985 | ||||||
| 6.500%, 2/1/29 144A |
1,450,000 | 1,280 | ||||||
| 7.500%, 4/1/28 144A |
1,925,000 | 1,571 | ||||||
| Cumulus Media New Holdings, Inc. |
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| 6.750%, 7/1/26 144A |
1,751,000 | 1,477 | ||||||
| Diamond Sports Group LLC / Diamond Sports Finance Co. |
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| 5.375%, 8/15/26 144A |
675,000 | 134 | ||||||
| 6.625%, 8/15/27 144A |
1,900,000 | 133 | ||||||
| DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. |
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| 5.875%, 8/15/27 144A |
1,850,000 | 1,595 | ||||||
| DISH DBS Corp. |
||||||||
| 5.125%, 6/1/29 |
2,950,000 | 1,733 | ||||||
| 5.750%, 12/1/28 144A |
1,100,000 | 831 | ||||||
| 7.375%, 7/1/28 |
750,000 | 505 | ||||||
| 7.750%, 7/1/26 |
1,350,000 | 1,035 | ||||||
| Entercom Media Corp. |
||||||||
| 6.500%, 5/1/27 144A |
2,250,000 | 551 | ||||||
| 6.750%, 3/31/29 144A |
1,650,000 | 397 | ||||||
| Go Daddy Operating Co. LLC / GD Finance Co., Inc. |
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| 5.250%, 12/1/27 144A |
1,625,000 | 1,497 | ||||||
High Yield Bond Portfolio
| Corporate Bonds (95.1%) | Shares/ Par + | Value $ (000’s) |
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|
|
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| Communications continued |
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| Gray Escrow II, Inc. |
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| 5.375%, 11/15/31 144A |
1,175,000 | 922 | ||||||
| Gray Television, Inc. |
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| 4.750%, 10/15/30 144A |
525,000 | 393 | ||||||
| 5.875%, 7/15/26 144A |
2,575,000 | 2,375 | ||||||
| 7.000%, 5/15/27 144A |
750,000 | 705 | ||||||
| iHeartCommunications, Inc. |
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| 4.750%, 1/15/28 144A |
425,000 | 354 | ||||||
| 5.250%, 8/15/27 144A |
1,075,000 | 918 | ||||||
| 6.375%, 5/1/26 |
375,901 | 349 | ||||||
| 8.375%, 5/1/27 |
4,928,194 | 4,144 | ||||||
| Intelsat Jackson Holdings SA - Series B - Contingent Value Rights *,Æ |
2,774 | 12 | ||||||
| Intelsat Jackson Holdings SA Escrow |
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| 5.500%, 8/1/23 *,Æ |
1,525,000 | – | ||||||
| 8.500%, 10/15/24 *,Æ |
800,000 | – | ||||||
| 9.750%, 7/15/25 *,Æ |
475,000 | – | ||||||
| Lamar Media Corp. |
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| 3.625%, 1/15/31 |
425,000 | 334 | ||||||
| 4.000%, 2/15/30 |
100,000 | 84 | ||||||
| 4.875%, 1/15/29 |
675,000 | 602 | ||||||
| Match Group, Inc. |
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| 4.125%, 8/1/30 144A |
2,175,000 | 1,786 | ||||||
| 4.625%, 6/1/28 144A |
1,450,000 | 1,267 | ||||||
| 5.000%, 12/15/27 144A |
525,000 | 469 | ||||||
| Midas OpCo Holdings LLC |
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| 5.625%, 8/15/29 144A |
5,200,000 | 4,277 | ||||||
| Millennium Escrow Corp. |
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| 6.625%, 8/1/26 144A |
1,225,000 | 968 | ||||||
| News Corp. |
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| 5.125%, 2/15/32 144A |
175,000 | 154 | ||||||
| Nexstar Broadcasting, Inc. |
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| 4.750%, 11/1/28 144A |
2,125,000 | 1,806 | ||||||
| 5.625%, 7/15/27 144A |
3,225,000 | 2,965 | ||||||
| Outfront Media Capital LLC / Outfront Media Capital Corp. |
144A | |
144A |
| ||||
| 4.250%, 1/15/29 144A |
1,150,000 | 903 | ||||||
| 4.625%, 3/15/30 144A |
1,100,000 | 857 | ||||||
| Scripps Escrow II, Inc. |
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| 3.875%, 1/15/29 144A |
500,000 | 399 | ||||||
| 5.375%, 1/15/31 144A |
750,000 | 568 | ||||||
| Scripps Escrow, Inc. |
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| 5.875%, 7/15/27 144A |
1,925,000 | 1,675 | ||||||
| Sinclair Television Group, Inc. |
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| 4.125%, 12/1/30 144A |
150,000 | 113 | ||||||
| 5.125%, 2/15/27 144A |
3,975,000 | 3,288 | ||||||
| 5.500%, 3/1/30 144A |
1,175,000 | 844 | ||||||
| Sirius XM Radio, Inc. |
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| 3.125%, 9/1/26 144A |
1,075,000 | 944 | ||||||
| 3.875%, 9/1/31 144A |
3,025,000 | 2,346 | ||||||
| 4.000%, 7/15/28 144A |
725,000 | 617 | ||||||
| 4.125%, 7/1/30 144A |
1,775,000 | 1,443 | ||||||
| 5.500%, 7/1/29 144A |
925,000 | 832 | ||||||
| Sprint Corp. |
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| 7.625%, 2/15/25 |
700,000 | 717 | ||||||
| TEGNA, Inc. |
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| 4.625%, 3/15/28 |
600,000 | 554 | ||||||
| 5.000%, 9/15/29 |
3,375,000 | 3,107 | ||||||
| Telenet Finance Luxembourg Notes SARL |
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| 5.500%, 3/1/28 144A |
4,400,000 | 3,816 | ||||||
| Corporate Bonds (95.1%) | Shares/ Par + | Value $ (000’s) |
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|
|
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| Communications continued |
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| Terrier Media Buyer, Inc. |
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| 8.875%, 12/15/27 144A |
5,025,000 | 3,839 | ||||||
| T-Mobile USA, Inc. |
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| 2.250%, 2/15/26 |
1,950,000 | 1,745 | ||||||
| 2.875%, 2/15/31 |
650,000 | 524 | ||||||
| 3.375%, 4/15/29 |
1,525,000 | 1,318 | ||||||
| Univision Communications, Inc. |
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| 4.500%, 5/1/29 144A |
1,400,000 | 1,142 | ||||||
| 7.375%, 6/30/30 144A |
775,000 | 740 | ||||||
| UPC Broadband Finco BV |
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| 4.875%, 7/15/31 144A |
3,450,000 | 2,677 | ||||||
| Urban One, Inc. |
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| 7.375%, 2/1/28 144A |
2,050,000 | 1,742 | ||||||
| Viavi Solutions, Inc. |
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| 3.750%, 10/1/29 144A |
350,000 | 280 | ||||||
| Virgin Media Finance PLC |
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| 5.000%, 7/15/30 144A |
2,700,000 | 1,986 | ||||||
| Virgin Media Secured Finance PLC |
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| 5.500%, 5/15/29 144A |
475,000 | 407 | ||||||
| Virgin Media Vendor Financing Notes IV |
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| 5.000%, 7/15/28 144A |
2,050,000 | 1,658 | ||||||
| VMED O2 UK Financing I PLC |
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| 4.250%, 1/31/31 144A |
875,000 | 663 | ||||||
| 4.750%, 7/15/31 144A |
1,475,000 | 1,138 | ||||||
| VZ Secured Financing BV |
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| 5.000%, 1/15/32 144A |
1,225,000 | 915 | ||||||
| Ziggo Bond Co. BV |
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| 5.125%, 2/28/30 144A |
575,000 | 411 | ||||||
| 6.000%, 1/15/27 144A |
3,050,000 | 2,547 | ||||||
| Ziggo BV |
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| 4.875%, 1/15/30 144A |
200,000 | 158 | ||||||
|
|
|
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| Total |
110,467 | |||||||
|
|
|
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| Consumer, Cyclical (16.4%) |
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| 1011778 BC ULC / New Red Finance, Inc. |
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| 3.500%, 2/15/29 144A |
525,000 | 432 | ||||||
| 3.875%, 1/15/28 144A |
1,125,000 | 979 | ||||||
| 4.000%, 10/15/30 144A |
5,775,000 | 4,548 | ||||||
| 4.375%, 1/15/28 144A |
1,175,000 | 1,018 | ||||||
| Academy, Ltd. |
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| 6.000%, 11/15/27 144A |
1,225,000 | 1,112 | ||||||
| Adient Global Holdings, Ltd. |
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| 4.875%, 8/15/26 144A |
3,300,000 | 2,892 | ||||||
| Affinity Gaming |
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| 6.875%, 12/15/27 144A |
2,300,000 | 1,875 | ||||||
| American Airlines, Inc. / AAdvantage Loyalty IP, Ltd. |
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| 5.500%, 4/20/26 144A |
1,150,000 | 1,080 | ||||||
| 5.750%, 4/20/29 144A |
1,125,000 | 982 | ||||||
| American Builders & Contractors Supply Co., Inc. |
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| 3.875%, 11/15/29 144A |
275,000 | 215 | ||||||
| 4.000%, 1/15/28 144A |
725,000 | 634 | ||||||
| Aramark Services, Inc. |
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| 5.000%, 2/1/28 144A |
225,000 | 200 | ||||||
| 6.375%, 5/1/25 144A |
2,525,000 | 2,474 | ||||||
| Asbury Automotive Group, Inc. |
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| 4.625%, 11/15/29 144A |
1,625,000 | 1,299 | ||||||
| 5.000%, 2/15/32 144A |
450,000 | 347 | ||||||
High Yield Bond Portfolio
| Corporate Bonds (95.1%) | Shares/ Par + | Value $ (000’s) |
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|
|
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| Consumer, Cyclical continued |
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| BCPE Empire Holdings, Inc. |
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| 7.625%, 5/1/27 144A |
4,400,000 | 3,815 | ||||||
| Boyd Gaming Corp. |
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| 4.750%, 12/1/27 |
1,650,000 | 1,460 | ||||||
| 4.750%, 6/15/31 144A |
575,000 | 466 | ||||||
| Caesars Entertainment, Inc. |
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| 4.625%, 10/15/29 144A |
825,000 | 630 | ||||||
| 5.750%, 7/1/25 144A |
1,750,000 | 1,689 | ||||||
| 6.250%, 7/1/25 144A |
1,600,000 | 1,542 | ||||||
| 8.125%, 7/1/27 144A |
2,325,000 | 2,221 | ||||||
| CCM Merger, Inc. |
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| 6.375%, 5/1/26 144A |
275,000 | 251 | ||||||
| Clarios Global LP |
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| 6.750%, 5/15/25 144A |
135,000 | 132 | ||||||
| Clarios Global LP / Clarios US Finance Co. |
||||||||
| 6.250%, 5/15/26 144A |
270,000 | 258 | ||||||
| 8.500%, 5/15/27 144A |
7,550,000 | 7,206 | ||||||
| Dana Financing Luxembourg SARL |
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| 5.750%, 4/15/25 144A |
650,000 | 619 | ||||||
| Dana, Inc. |
||||||||
| 4.500%, 2/15/32 |
675,000 | 481 | ||||||
| 5.625%, 6/15/28 |
175,000 | 144 | ||||||
| Dornoch Debt Merger Sub, Inc. |
||||||||
| 6.625%, 10/15/29 144A |
3,625,000 | 2,614 | ||||||
| Ford Motor Credit Co. LLC |
||||||||
| 2.700%, 8/10/26 |
725,000 | 601 | ||||||
| 3.375%, 11/13/25 |
3,250,000 | 2,871 | ||||||
| 4.000%, 11/13/30 |
1,975,000 | 1,540 | ||||||
| 4.063%, 11/1/24 |
1,700,000 | 1,596 | ||||||
| 4.125%, 8/17/27 |
1,350,000 | 1,162 | ||||||
| 4.271%, 1/9/27 |
1,675,000 | 1,466 | ||||||
| 4.389%, 1/8/26 |
1,975,000 | 1,788 | ||||||
| 5.113%, 5/3/29 |
2,950,000 | 2,560 | ||||||
| 5.125%, 6/16/25 |
2,250,000 | 2,123 | ||||||
| Foundation Building Materials, Inc. |
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| 6.000%, 3/1/29 144A |
3,300,000 | 2,408 | ||||||
| The Gap, Inc. |
||||||||
| 3.625%, 10/1/29 144A |
1,050,000 | 683 | ||||||
| 3.875%, 10/1/31 144A |
475,000 | 302 | ||||||
| GYP Holdings III Corp. |
||||||||
| 4.625%, 5/1/29 144A |
2,475,000 | 1,883 | ||||||
| H&E Equipment Services, Inc. |
||||||||
| 3.875%, 12/15/28 144A |
2,775,000 | 2,178 | ||||||
| Hilton Domestic Operating Co., Inc. |
||||||||
| 3.625%, 2/15/32 144A |
700,000 | 536 | ||||||
| 3.750%, 5/1/29 144A |
1,150,000 | 950 | ||||||
| 4.875%, 1/15/30 |
500,000 | 435 | ||||||
| 5.750%, 5/1/28 144A |
550,000 | 514 | ||||||
| IHO Verwaltungs GmbH |
||||||||
| 4.750%, 9/15/26 144A |
2,375,000 | 2,017 | ||||||
| 6.000%, 5/15/27 144A |
1,325,000 | 1,126 | ||||||
| 6.375%, 5/15/29 144A |
900,000 | 774 | ||||||
| Interface, Inc. |
||||||||
| 5.500%, 12/1/28 144A |
850,000 | 724 | ||||||
| KAR Auction Services, Inc. |
||||||||
| 5.125%, 6/1/25 144A |
528,000 | 510 | ||||||
| KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC |
||||||||
| 4.750%, 6/1/27 144A |
550,000 | 511 | ||||||
| Corporate Bonds (95.1%) | Shares/ Par + | Value $ (000’s) |
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|
|
||||||||
| Consumer, Cyclical continued |
||||||||
| Kontoor Brands, Inc. |
||||||||
| 4.125%, 11/15/29 144A |
450,000 | 359 | ||||||
| MGM Resorts International |
||||||||
| 6.000%, 3/15/23 |
1,725,000 | 1,726 | ||||||
| Midwest Gaming Borrower LLC |
||||||||
| 4.875%, 5/1/29 144A |
1,275,000 | 1,050 | ||||||
| Mohegan Gaming & Entertainment |
||||||||
| 8.000%, 2/1/26 144A |
4,050,000 | 3,380 | ||||||
| NMG Holding Co., Inc. / Neiman Marcus Group LLC |
||||||||
| 7.125%, 4/1/26 144A |
650,000 | 597 | ||||||
| Penn National Gaming, Inc. |
||||||||
| 4.125%, 7/1/29 144A |
1,175,000 | 899 | ||||||
| 5.625%, 1/15/27 144A |
250,000 | 221 | ||||||
| Raptor Acquisition Corp. / Raptor Co-Issuer LLC |
||||||||
| 4.875%, 11/1/26 144A |
200,000 | 172 | ||||||
| Real Hero Merger Sub 2, Inc. |
||||||||
| 6.250%, 2/1/29 144A |
4,975,000 | 3,592 | ||||||
| Scientific Games Holdings LP/Scientific Games US FinCo, Inc. |
||||||||
| 6.625%, 3/1/30 144A |
1,725,000 | 1,383 | ||||||
| Scientific Games International, Inc. |
||||||||
| 7.250%, 11/15/29 144A |
1,250,000 | 1,163 | ||||||
| 8.625%, 7/1/25 144A |
1,400,000 | 1,433 | ||||||
| SeaWorld Parks & Entertainment, Inc. |
||||||||
| 5.250%, 8/15/29 144A |
2,500,000 | 2,076 | ||||||
| Six Flags Entertainment Corp. |
||||||||
| 5.500%, 4/15/27 144A |
1,775,000 | 1,559 | ||||||
| 7.000%, 7/1/25 144A |
138,000 | 138 | ||||||
| SRS Distribution, Inc. |
||||||||
| 6.000%, 12/1/29 144A |
2,125,000 | 1,695 | ||||||
| 6.125%, 7/1/29 144A |
2,950,000 | 2,369 | ||||||
| Station Casinos LLC |
||||||||
| 4.500%, 2/15/28 144A |
2,000,000 | 1,642 | ||||||
| 4.625%, 12/1/31 144A |
1,300,000 | 982 | ||||||
| Suburban Propane Partners LP / Suburban Energy Finance Corp. |
||||||||
| 5.000%, 6/1/31 144A |
2,525,000 | 2,073 | ||||||
| 5.875%, 3/1/27 |
900,000 | 849 | ||||||
| White Cap Buyer LLC |
||||||||
| 6.875%, 10/15/28 144A |
1,825,000 | 1,489 | ||||||
| White Cap Parent LLC |
||||||||
| 8.250%, 3/15/26 144A |
1,650,000 | 1,398 | ||||||
| The William Carter Co. |
||||||||
| 5.625%, 3/15/27 144A |
400,000 | 374 | ||||||
| WMG Acquisition Corp. |
||||||||
| 3.750%, 12/1/29 144A |
800,000 | 665 | ||||||
| 3.875%, 7/15/30 144A |
325,000 | 266 | ||||||
| Yum! Brands, Inc. |
||||||||
| 4.625%, 1/31/32 |
1,625,000 | 1,362 | ||||||
| 4.750%, 1/15/30 144A |
725,000 | 634 | ||||||
| 5.375%, 4/1/32 |
625,000 | 554 | ||||||
|
|
|
|||||||
| Total |
110,973 | |||||||
|
|
|
|||||||
| Consumer, Non-cyclical (14.9%) |
||||||||
| AdaptHealth LLC |
||||||||
| 4.625%, 8/1/29 144A |
1,450,000 | 1,162 | ||||||
| 5.125%, 3/1/30 144A |
1,425,000 | 1,175 | ||||||
High Yield Bond Portfolio
| Corporate Bonds (95.1%) | Shares/ Par + | Value $ (000’s) |
||||||
|
|
||||||||
| Consumer, Non-cyclical continued |
||||||||
| AHP Health Partners, Inc. |
||||||||
| 5.750%, 7/15/29 144A |
1,025,000 | 794 | ||||||
| Albertsons Cos., Inc. / Safeway, Inc. / New Albertson’s LP / Albertson’s LLC |
||||||||
| 3.250%, 3/15/26 144A |
350,000 | 307 | ||||||
| 3.500%, 2/15/23 144A |
325,000 | 321 | ||||||
| 3.500%, 3/15/29 144A |
2,050,000 | 1,652 | ||||||
| 4.875%, 2/15/30 144A |
450,000 | 381 | ||||||
| 5.875%, 2/15/28 144A |
700,000 | 646 | ||||||
| 7.500%, 3/15/26 144A |
625,000 | 629 | ||||||
| Allied Universal Holdco LLC |
||||||||
| 6.000%, 6/1/29 144A |
2,225,000 | 1,436 | ||||||
| 6.625%, 7/15/26 144A |
1,425,000 | 1,270 | ||||||
| 9.750%, 7/15/27 144A |
5,050,000 | 4,151 | ||||||
| Avantor Funding, Inc. |
||||||||
| 3.875%, 11/1/29 144A |
1,825,000 | 1,482 | ||||||
| 4.625%, 7/15/28 144A |
2,350,000 | 2,091 | ||||||
| Bausch Health Cos., Inc. |
||||||||
| 4.875%, (ICE LIBOR USD 3 Month plus |
||||||||
| 3.000%), 6/1/28 144A |
350,000 | 226 | ||||||
| 5.000%, 1/30/28 144A |
1,200,000 | 442 | ||||||
| 5.000%, 2/15/29 144A |
625,000 | 242 | ||||||
| 5.250%, 1/30/30 144A |
1,900,000 | 710 | ||||||
| 5.250%, 2/15/31 144A |
625,000 | 235 | ||||||
| 5.500%, 11/1/25 144A |
725,000 | 576 | ||||||
| 5.750%, 8/15/27 144A |
775,000 | 528 | ||||||
| 6.125%, 2/1/27 144A |
300,000 | 208 | ||||||
| 6.250%, 2/15/29 144A |
1,775,000 | 662 | ||||||
| 7.250%, 5/30/29 144A |
2,200,000 | 842 | ||||||
| 8.500%, 1/31/27 144A |
2,175,000 | 924 | ||||||
| 9.250%, 4/1/26 144A |
525,000 | 311 | ||||||
| Bellring Brands, Inc. |
||||||||
| 7.000%, 3/15/30 144A |
1,850,000 | 1,692 | ||||||
| Catalent Pharma Solutions, Inc. |
||||||||
| 3.500%, 4/1/30 144A |
700,000 | 551 | ||||||
| Centene Corp. |
||||||||
| 2.625%, 8/1/31 |
725,000 | 546 | ||||||
| 3.000%, 10/15/30 |
375,000 | 297 | ||||||
| 3.375%, 2/15/30 |
900,000 | 736 | ||||||
| 4.250%, 12/15/27 |
2,400,000 | 2,195 | ||||||
| 4.625%, 12/15/29 |
2,425,000 | 2,179 | ||||||
| Charles River Laboratories International, Inc. |
||||||||
| 3.750%, 3/15/29 144A |
525,000 | 437 | ||||||
| 4.000%, 3/15/31 144A |
550,000 | 444 | ||||||
| CHS / Community Health Systems, Inc. |
||||||||
| 5.250%, 5/15/30 144A |
1,000,000 | 696 | ||||||
| 5.625%, 3/15/27 144A |
750,000 | 577 | ||||||
| 6.000%, 1/15/29 144A |
225,000 | 165 | ||||||
| 6.125%, 4/1/30 144A |
1,275,000 | 601 | ||||||
| 6.875%, 4/15/29 144A |
2,825,000 | 1,365 | ||||||
| 8.000%, 3/15/26 144A |
1,125,000 | 974 | ||||||
| DaVita, Inc. |
||||||||
| 4.625%, 6/1/30 144A |
975,000 | 754 | ||||||
| Edgewell Personal Care Co. |
||||||||
| 4.125%, 4/1/29 144A |
1,000,000 | 830 | ||||||
| 5.500%, 6/1/28 144A |
875,000 | 782 | ||||||
| Embecta Corp. |
||||||||
| 5.000%, 2/15/30 144A |
525,000 | 451 | ||||||
| 6.750%, 2/15/30 144A |
1,850,000 | 1,708 | ||||||
| Corporate Bonds (95.1%) | Shares/ Par + | Value $ (000’s) |
||||||
|
|
||||||||
| Consumer, Non-cyclical continued |
||||||||
| Garda World Security Corp. |
||||||||
| 4.625%, 2/15/27 144A |
875,000 | 750 | ||||||
| 6.000%, 6/1/29 144A |
2,375,000 | 1,741 | ||||||
| Garden Spinco Corp. |
||||||||
| 8.625%, 7/20/30 144A |
675,000 | 697 | ||||||
| Gartner, Inc. |
||||||||
| 3.750%, 10/1/30 144A |
550,000 | 450 | ||||||
| 4.500%, 7/1/28 144A |
250,000 | 224 | ||||||
| Global Medical Response, Inc. |
||||||||
| 6.500%, 10/1/25 144A |
2,825,000 | 2,370 | ||||||
| Grifols Escrow Issuer SA |
||||||||
| 4.750%, 10/15/28 144A |
1,175,000 | 907 | ||||||
| GW B-CR Security Corp. |
||||||||
| 9.500%, 11/1/27 144A |
4,969,000 | 4,359 | ||||||
| HCA, Inc. |
||||||||
| 3.500%, 9/1/30 |
1,400,000 | 1,156 | ||||||
| 5.375%, 2/1/25 |
1,250,000 | 1,235 | ||||||
| 5.875%, 2/15/26 |
1,050,000 | 1,036 | ||||||
| HealthEquity, Inc. |
||||||||
| 4.500%, 10/1/29 144A |
1,700,000 | 1,436 | ||||||
| Jazz Securities DAC |
||||||||
| 4.375%, 1/15/29 144A |
1,825,000 | 1,576 | ||||||
| LifePoint Health, Inc. |
||||||||
| 4.375%, 2/15/27 144A |
625,000 | 517 | ||||||
| 5.375%, 1/15/29 144A |
150,000 | 105 | ||||||
| 6.750%, 4/15/25 144A |
825,000 | 781 | ||||||
| Mallinckrodt International Finance SA / Mallinckrodt CB LLC |
||||||||
| 1.000%, 6/15/29 144A |
1,839,000 | 1,002 | ||||||
| MEDNAX, Inc. |
||||||||
| 5.375%, 2/15/30 144A |
1,125,000 | 932 | ||||||
| Mozart Debt Merger Sub, Inc. |
||||||||
| 3.875%, 4/1/29 144A |
1,625,000 | 1,303 | ||||||
| 5.250%, 10/1/29 144A |
5,900,000 | 4,455 | ||||||
| MPH Acquisition Holdings LLC |
||||||||
| 5.500%, 9/1/28 144A |
900,000 | 743 | ||||||
| 5.750%, 11/1/28 144A |
3,925,000 | 2,948 | ||||||
| The Nielsen Co. Luxembourg SARL |
||||||||
| 5.000%, 2/1/25 144A |
1,275,000 | 1,250 | ||||||
| Nielsen Finance LLC / Nielsen Finance Co. |
||||||||
| 4.500%, 7/15/29 144A |
475,000 | 473 | ||||||
| 4.750%, 7/15/31 144A |
625,000 | 613 | ||||||
| 5.625%, 10/1/28 144A |
875,000 | 869 | ||||||
| 5.875%, 10/1/30 144A |
1,050,000 | 1,046 | ||||||
| Organon Finance 1 LLC |
||||||||
| 4.125%, 4/30/28 144A |
425,000 | 363 | ||||||
| 5.125%, 4/30/31 144A |
1,800,000 | 1,475 | ||||||
| Performance Food Group, Inc. |
||||||||
| 4.250%, 8/1/29 144A |
1,425,000 | 1,187 | ||||||
| Post Holdings, Inc. |
||||||||
| 5.500%, 12/15/29 144A |
900,000 | 778 | ||||||
| 5.625%, 1/15/28 144A |
975,000 | 890 | ||||||
| 5.750%, 3/1/27 144A |
1,405,000 | 1,340 | ||||||
| Prestige Brands, Inc. |
||||||||
| 3.750%, 4/1/31 144A |
700,000 | 544 | ||||||
| 5.125%, 1/15/28 144A |
425,000 | 383 | ||||||
| RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc. |
||||||||
| 9.750%, 12/1/26 144A |
1,825,000 | 1,633 | ||||||
High Yield Bond Portfolio
| Corporate Bonds (95.1%) | Shares/ Par + | Value $ (000’s) |
||||||
|
|
||||||||
| Consumer, Non-cyclical continued |
||||||||
| Signal Parent, Inc. |
||||||||
| 6.125%, 4/1/29 144A |
1,950,000 | 946 | ||||||
| Syneos Health, Inc. |
||||||||
| 3.625%, 1/15/29 144A |
925,000 | 737 | ||||||
| Team Health Holdings, Inc. |
||||||||
| 6.375%, 2/1/25 144A |
1,075,000 | 796 | ||||||
| Teleflex, Inc. |
||||||||
| 4.250%, 6/1/28 144A |
250,000 | 218 | ||||||
| 4.625%, 11/15/27 |
450,000 | 405 | ||||||
| Tenet Healthcare Corp. |
||||||||
| 4.250%, 6/1/29 144A |
225,000 | 186 | ||||||
| 4.625%, 7/15/24 |
576,000 | 557 | ||||||
| 4.625%, 6/15/28 144A |
125,000 | 109 | ||||||
| 4.875%, 1/1/26 144A |
1,200,000 | 1,115 | ||||||
| 5.125%, 11/1/27 144A |
1,450,000 | 1,301 | ||||||
| 6.125%, 10/1/28 144A |
2,450,000 | 2,146 | ||||||
| 6.125%, 6/15/30 144A |
775,000 | 710 | ||||||
| 6.250%, 2/1/27 144A |
1,125,000 | 1,050 | ||||||
| United Rentals North America, Inc. |
||||||||
| 3.875%, 2/15/31 |
275,000 | 224 | ||||||
| 4.875%, 1/15/28 |
1,225,000 | 1,123 | ||||||
| 5.250%, 1/15/30 |
425,000 | 385 | ||||||
| 5.500%, 5/15/27 |
400,000 | 387 | ||||||
| US Foods, Inc. |
||||||||
| 4.625%, 6/1/30 144A |
700,000 | 579 | ||||||
| 4.750%, 2/15/29 144A |
1,500,000 | 1,284 | ||||||
| 6.250%, 4/15/25 144A |
225,000 | 221 | ||||||
| ZipRecruiter, Inc. |
||||||||
| 5.000%, 1/15/30 144A |
975,000 | 787 | ||||||
|
|
|
|||||||
| Total |
100,216 | |||||||
|
|
|
|||||||
| Diversified (0.2%) |
||||||||
| Stena International SA |
||||||||
| 6.125%, 2/1/25 144A |
1,325,000 | 1,243 | ||||||
|
|
|
|||||||
| Total |
1,243 | |||||||
|
|
|
|||||||
| Energy (13.4%) |
||||||||
| Antero Midstream Partners LP / Antero Midstream Finance Corp. |
||||||||
| 5.375%, 6/15/29 144A |
2,200,000 | 1,942 | ||||||
| 5.750%, 3/1/27 144A |
2,375,000 | 2,197 | ||||||
| 5.750%, 1/15/28 144A |
2,600,000 | 2,366 | ||||||
| 7.875%, 5/15/26 144A |
1,000,000 | 1,005 | ||||||
| Antero Resources Corp. |
||||||||
| 5.375%, 3/1/30 144A |
925,000 | 832 | ||||||
| 7.625%, 2/1/29 144A |
244,000 | 244 | ||||||
| Archrock Partners LP |
||||||||
| 6.250%, 4/1/28 144A |
1,975,000 | 1,736 | ||||||
| 6.875%, 4/1/27 144A |
3,275,000 | 2,933 | ||||||
| Ascent Resources Utica Holdings LLC / ARU Finance Corp. |
||||||||
| 5.875%, 6/30/29 144A |
600,000 | 534 | ||||||
| 7.000%, 11/1/26 144A |
1,650,000 | 1,591 | ||||||
| 8.250%, 12/31/28 144A |
575,000 | 553 | ||||||
| 9.000%, 11/1/27 144A |
414,000 | 505 | ||||||
| Berry Petroleum Co. LLC |
||||||||
| 7.000%, 2/15/26 144A |
875,000 | 771 | ||||||
| Callon Petroleum Co. |
||||||||
| 6.375%, 7/1/26 |
900,000 | 811 | ||||||
| 7.500%, 6/15/30 144A |
250,000 | 219 | ||||||
| Corporate Bonds (95.1%) | Shares/ Par + | Value $ (000’s) |
||||||
|
|
||||||||
| Energy continued |
||||||||
| 8.250%, 7/15/25 |
425,000 | 413 | ||||||
| Centennial Resource Production LLC |
||||||||
| 5.375%, 1/15/26 144A |
25,000 | 23 | ||||||
| 6.875%, 4/1/27 144A |
1,725,000 | 1,669 | ||||||
| Cheniere Energy Partners LP |
||||||||
| 3.250%, 1/31/32 |
550,000 | 422 | ||||||
| 4.000%, 3/1/31 |
1,500,000 | 1,258 | ||||||
| 4.500%, 10/1/29 |
1,150,000 | 1,012 | ||||||
| Cheniere Energy, Inc. |
||||||||
| 4.625%, 10/15/28 |
975,000 | 894 | ||||||
| Chesapeake Energy Corp. |
||||||||
| 5.875%, 2/1/29 144A |
225,000 | 209 | ||||||
| Chesapeake Energy Corp. Escrow |
||||||||
| 7.000%, 10/1/24 * |
1,000,000 | 25 | ||||||
| CNX Midstream Partners LP |
||||||||
| 4.750%, 4/15/30 144A |
1,125,000 | 883 | ||||||
| Comstock Resources, Inc. |
||||||||
| 5.875%, 1/15/30 144A |
650,000 | 566 | ||||||
| 6.750%, 3/1/29 144A |
2,400,000 | 2,214 | ||||||
| Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp. |
||||||||
| 8.000%, 4/1/29 144A |
1,500,000 | 1,444 | ||||||
| CrownRock LP / CrownRock Finance, Inc. |
||||||||
| 5.000%, 5/1/29 144A |
325,000 | 287 | ||||||
| 5.625%, 10/15/25 144A |
3,025,000 | 2,896 | ||||||
| DT Midstream, Inc. |
||||||||
| 4.375%, 6/15/31 144A |
1,450,000 | 1,196 | ||||||
| Endeavor Energy Resources LP / EER Finance, Inc. |
||||||||
| 5.750%, 1/30/28 144A |
850,000 | 808 | ||||||
| Enviva Partners LP / Enviva Partners Finance Corp. |
||||||||
| 6.500%, 1/15/26 144A |
4,275,000 | 4,041 | ||||||
| EQM Midstream Partners LP |
||||||||
| 4.500%, 1/15/29 144A |
1,050,000 | 846 | ||||||
| 4.750%, 1/15/31 144A |
1,325,000 | 1,052 | ||||||
| 5.500%, 7/15/28 |
1,925,000 | 1,645 | ||||||
| 6.000%, 7/1/25 144A |
331,000 | 306 | ||||||
| 6.500%, 7/1/27 144A |
1,825,000 | 1,686 | ||||||
| 6.500%, 7/15/48 |
1,025,000 | 782 | ||||||
| 7.500%, 6/1/27 144A |
975,000 | 929 | ||||||
| EQT Corp. |
||||||||
| 5.000%, 1/15/29 |
350,000 | 327 | ||||||
| Hess Midstream Operations LP |
||||||||
| 4.250%, 2/15/30 144A |
625,000 | 505 | ||||||
| 5.500%, 10/15/30 144A |
475,000 | 408 | ||||||
| Hess Midstream Partners LP |
||||||||
| 5.125%, 6/15/28 144A |
1,300,000 | 1,138 | ||||||
| Holly Energy Partners LP / Holly Energy Finance Corp. |
||||||||
| 5.000%, 2/1/28 144A |
1,725,000 | 1,520 | ||||||
| 6.375%, 4/15/27 144A |
425,000 | 406 | ||||||
| Nabors Industries, Ltd. |
||||||||
| 7.250%, 1/15/26 144A |
1,275,000 | 1,109 | ||||||
| 7.375%, 5/15/27 144A |
225,000 | 208 | ||||||
| 7.500%, 1/15/28 144A |
950,000 | 775 | ||||||
| NuStar Logistics LP |
||||||||
| 5.625%, 4/28/27 |
1,900,000 | 1,657 | ||||||
| Oasis Petroleum, Inc. |
||||||||
| 6.375%, 6/1/26 144A |
525,000 | 499 | ||||||
High Yield Bond Portfolio
| Corporate Bonds (95.1%) | Shares/ Par + | Value $ (000’s) |
||||||
|
|
||||||||
| Energy continued |
||||||||
| Occidental Petroleum Corp. |
||||||||
| 5.875%, 9/1/25 |
1,225,000 | 1,229 | ||||||
| 6.375%, 9/1/28 |
125,000 | 124 | ||||||
| 6.450%, 9/15/36 |
1,225,000 | 1,225 | ||||||
| 6.625%, 9/1/30 |
1,400,000 | 1,421 | ||||||
| 8.000%, 7/15/25 |
625,000 | 662 | ||||||
| 8.875%, 7/15/30 |
1,600,000 | 1,781 | ||||||
| PDC Energy, Inc. |
||||||||
| 5.750%, 5/15/26 |
1,525,000 | 1,411 | ||||||
| 6.125%, 9/15/24 |
213,000 | 210 | ||||||
| Precision Drilling Corp. |
||||||||
| 6.875%, 1/15/29 144A |
375,000 | 331 | ||||||
| 7.125%, 1/15/26 144A |
1,650,000 | 1,548 | ||||||
| Range Resources Corp. |
||||||||
| 4.750%, 2/15/30 144A |
475,000 | 412 | ||||||
| 4.875%, 5/15/25 |
350,000 | 330 | ||||||
| 5.000%, 3/15/23 |
113,000 | 113 | ||||||
| 8.250%, 1/15/29 |
875,000 | 890 | ||||||
| Rockcliff Energy II LLC |
||||||||
| 5.500%, 10/15/29 144A |
1,025,000 | 897 | ||||||
| SM Energy Co. |
||||||||
| 5.625%, 6/1/25 |
1,000,000 | 960 | ||||||
| 6.500%, 7/15/28 |
200,000 | 190 | ||||||
| 6.625%, 1/15/27 |
250,000 | 240 | ||||||
| 6.750%, 9/15/26 |
1,100,000 | 1,059 | ||||||
| Southwestern Energy Co. |
||||||||
| 4.750%, 2/1/32 |
725,000 | 608 | ||||||
| 5.375%, 3/15/30 |
300,000 | 270 | ||||||
| 8.375%, 9/15/28 |
1,100,000 | 1,139 | ||||||
| Summit Midstream Holdings LLC / Summit Midstream Finance Corp. |
||||||||
| 5.750%, 4/15/25 |
1,650,000 | 1,341 | ||||||
| Tap Rock Resources LLC |
||||||||
| 7.000%, 10/1/26 144A |
1,175,000 | 1,074 | ||||||
| Targa Resources Partners LP / Targa Resources Partners Finance Corp. |
||||||||
| 5.000%, 1/15/28 |
1,675,000 | 1,549 | ||||||
| 5.500%, 3/1/30 |
2,250,000 | 2,019 | ||||||
| 6.500%, 7/15/27 |
300,000 | 296 | ||||||
| TerraForm Power Operating LLC |
||||||||
| 4.750%, 1/15/30 144A |
1,725,000 | 1,464 | ||||||
| 5.000%, 1/31/28 144A |
1,775,000 | 1,564 | ||||||
| TransMontaigne Partners LP / TLP Finance Corp. |
||||||||
| 6.125%, 2/15/26 |
1,175,000 | 981 | ||||||
| Ultra Resources, Inc. |
1,380 | – | ||||||
| USA Compression Finance Corp. |
||||||||
| 6.875%, 4/1/26 |
3,550,000 | 3,266 | ||||||
| USA Compression Partners LP / USA Compression Finance Corp. |
||||||||
| 6.875%, 9/1/27 |
1,475,000 | 1,341 | ||||||
| Western Gas Partners LP |
||||||||
| 4.500%, 3/1/28 |
1,100,000 | 995 | ||||||
| 5.300%, 3/1/48 |
2,650,000 | 2,180 | ||||||
| 5.450%, 4/1/44 |
650,000 | 533 | ||||||
| 5.500%, 8/15/48 |
400,000 | 323 | ||||||
| Western Midstream Operating LP |
||||||||
| 4.300%, 2/1/30 |
325,000 | 278 | ||||||
| Corporate Bonds (95.1%) | Shares/ Par + | Value $ (000’s) |
||||||
|
|
||||||||
| Energy continued |
||||||||
| 4.650%, 7/1/26 |
175,000 | 164 | ||||||
|
|
|
|||||||
| Total |
90,715 | |||||||
|
|
|
|||||||
| Financial (8.2%) |
||||||||
| AmWINS Group, Inc. |
||||||||
| 4.875%, 6/30/29 144A |
2,575,000 | 2,137 | ||||||
| Ardonagh Midco 2 PLC |
||||||||
| 11.500%, 1/15/27 144A Þ |
2,408,937 | 2,445 | ||||||
| AssuredPartners, Inc. |
||||||||
| 5.625%, 1/15/29 144A |
1,300,000 | 1,010 | ||||||
| 7.000%, 8/15/25 144A |
3,250,000 | 3,001 | ||||||
| BroadStreet Partners, Inc. |
||||||||
| 5.875%, 4/15/29 144A |
5,825,000 | 4,587 | ||||||
| Cushman & Wakefield US Borrower LLC |
||||||||
| 6.750%, 5/15/28 144A |
400,000 | 371 | ||||||
| GTCR AP Finance, Inc. |
||||||||
| 8.000%, 5/15/27 144A |
1,725,000 | 1,587 | ||||||
| HUB International, Ltd. |
||||||||
| 5.625%, 12/1/29 144A |
2,575,000 | 2,150 | ||||||
| 7.000%, 5/1/26 144A |
9,925,000 | 9,413 | ||||||
| National Financial Partners Corp. |
||||||||
| 7.500%, 10/1/30 144A |
1,300,000 | 1,234 | ||||||
| Navient Corp. |
||||||||
| 5.000%, 3/15/27 |
450,000 | 368 | ||||||
| 5.500%, 3/15/29 |
1,650,000 | 1,254 | ||||||
| 6.750%, 6/25/25 |
1,175,000 | 1,100 | ||||||
| 6.750%, 6/15/26 |
1,250,000 | 1,135 | ||||||
| NFP Corp. |
||||||||
| 6.875%, 8/15/28 144A |
7,125,000 | 5,558 | ||||||
| Rocket Mortgage LLC / Rocket Mortgage Co- Issuer, Inc. |
||||||||
| 2.875%, 10/15/26 144A |
1,550,000 | 1,271 | ||||||
| 3.625%, 3/1/29 144A |
1,475,000 | 1,135 | ||||||
| 3.875%, 3/1/31 144A |
1,525,000 | 1,105 | ||||||
| 4.000%, 10/15/33 144A |
1,200,000 | 825 | ||||||
| Ryan Specialty Group LLC |
||||||||
| 4.375%, 2/1/30 144A |
650,000 | 551 | ||||||
| United Shore Financial Services LLC |
||||||||
| 5.500%, 11/15/25 144A |
2,950,000 | 2,573 | ||||||
| United Wholesale Mortgage LLC |
||||||||
| 5.500%, 4/15/29 144A |
1,725,000 | 1,311 | ||||||
| 5.750%, 6/15/27 144A |
725,000 | 575 | ||||||
| USIS Merger Sub, Inc. |
||||||||
| 6.875%, 5/1/25 144A |
5,250,000 | 5,047 | ||||||
| VICI Properties LP / VICI Note Co., Inc. |
||||||||
| 3.500%, 2/15/25 144A |
125,000 | 116 | ||||||
| 3.875%, 2/15/29 144A |
200,000 | 168 | ||||||
| 4.250%, 12/1/26 144A |
1,125,000 | 1,016 | ||||||
| 4.500%, 9/1/26 144A |
450,000 | 411 | ||||||
| 4.625%, 6/15/25 144A |
400,000 | 376 | ||||||
| 4.625%, 12/1/29 144A |
1,350,000 | 1,171 | ||||||
| 5.625%, 5/1/24 144A |
475,000 | 467 | ||||||
| 5.750%, 2/1/27 144A |
225,000 | 212 | ||||||
|
|
|
|||||||
| Total |
55,680 | |||||||
|
|
|
|||||||
| Health Care (0.3%) |
||||||||
| IQVIA, Inc. |
||||||||
| 5.000%, 10/15/26 144A |
1,375,000 | 1,310 | ||||||
High Yield Bond Portfolio
| Corporate Bonds (95.1%) | Shares/ Par + | Value $ (000’s) |
||||||
|
|
||||||||
| Health Care continued |
||||||||
| 5.000%, 5/15/27 144A |
750,000 | 699 | ||||||
|
|
|
|||||||
| Total |
2,009 | |||||||
|
|
|
|||||||
| Industrial (12.4%) |
||||||||
| ARD Finance SA |
||||||||
| 6.500%, 6/30/27 144A |
3,057,214 | 2,093 | ||||||
| Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc. |
144A | |
144A |
| ||||
| 4.000%, 9/1/29 144A |
1,975,000 | 1,446 | ||||||
| 5.250%, 8/15/27 144A |
7,100,000 | 4,443 | ||||||
| Ball Corp. |
||||||||
| 2.875%, 8/15/30 |
1,575,000 | 1,209 | ||||||
| 3.125%, 9/15/31 |
300,000 | 226 | ||||||
| Berry Global Escrow Corp. |
||||||||
| 4.875%, 7/15/26 144A |
1,125,000 | 1,058 | ||||||
| 5.625%, 7/15/27 144A |
1,150,000 | 1,076 | ||||||
| Camelot Return Merger Sub, Inc. |
||||||||
| 8.750%, 8/1/28 144A |
1,575,000 | 1,298 | ||||||
| Clydesdale Acquisition Holdings, Inc. |
||||||||
| 8.750%, 4/15/30 144A |
6,900,000 | 5,707 | ||||||
| Cornerstone Building Brands, Inc. |
||||||||
| 6.125%, 1/15/29 144A |
900,000 | 502 | ||||||
| CP Atlas Buyer, Inc. |
||||||||
| 7.000%, 12/1/28 144A |
3,500,000 | 2,607 | ||||||
| Crown Americas LLC |
||||||||
| 5.250%, 4/1/30 144A |
400,000 | 360 | ||||||
| Crown Americas LLC / Crown Americas Capital Corp. VI |
||||||||
| 4.750%, 2/1/26 |
1,175,000 | 1,094 | ||||||
| Energizer Holdings, Inc. |
||||||||
| 4.375%, 3/31/29 144A |
2,400,000 | 1,780 | ||||||
| 4.750%, 6/15/28 144A |
900,000 | 713 | ||||||
| 6.500%, 12/31/27 144A |
1,375,000 | 1,221 | ||||||
| Gates Global LLC / Gates Global Co. |
||||||||
| 6.250%, 1/15/26 144A |
5,050,000 | 4,646 | ||||||
| Graphic Packaging International LLC |
||||||||
| 3.500%, 3/15/28 144A |
425,000 | 361 | ||||||
| 3.500%, 3/1/29 144A |
450,000 | 370 | ||||||
| 3.750%, 2/1/30 144A |
175,000 | 144 | ||||||
| 4.750%, 7/15/27 144A |
500,000 | 458 | ||||||
| II-VI, Inc. |
||||||||
| 5.000%, 12/15/29 144A |
2,100,000 | 1,737 | ||||||
| Koppers, Inc. |
||||||||
| 6.000%, 2/15/25 144A |
3,850,000 | 3,446 | ||||||
| Madison IAQ LLC |
||||||||
| 4.125%, 6/30/28 144A |
250,000 | 201 | ||||||
| 5.875%, 6/30/29 144A |
4,800,000 | 3,344 | ||||||
| Mauser Packaging Solutions |
||||||||
| 5.500%, 4/15/24 144A |
975,000 | 926 | ||||||
| 7.250%, 4/15/25 144A |
2,850,000 | 2,507 | ||||||
| MIWD Holdco II LLC / MIWD Finance Corp. |
||||||||
| 5.500%, 2/1/30 144A |
375,000 | 278 | ||||||
| OI European Group BV |
||||||||
| 4.750%, 2/15/30 144A |
450,000 | 358 | ||||||
| Owens-Brockway Glass Container, Inc. |
||||||||
| 5.375%, 1/15/25 144A |
2,075,000 | 1,914 | ||||||
| 5.875%, 8/15/23 144A |
271,000 | 268 | ||||||
| 6.375%, 8/15/25 144A |
925,000 | 866 | ||||||
| 6.625%, 5/13/27 144A |
375,000 | 340 | ||||||
| Corporate Bonds (95.1%) | Shares/Par + | Value $ (000’s) |
||||||
|
|
||||||||
| Industrial continued |
||||||||
| Redwood Star Merger Sub, Inc. |
||||||||
| 8.750%, 4/1/30 144A |
2,450,000 | 1,905 | ||||||
| Sealed Air Corp. |
||||||||
| 5.000%, 4/15/29 144A |
550,000 | 491 | ||||||
| Sensata Technologies BV |
||||||||
| 5.875%, 9/1/30 144A |
1,175,000 | 1,099 | ||||||
| Standard Industries, Inc. |
||||||||
| 3.375%, 1/15/31 144A |
725,000 | 510 | ||||||
| 4.375%, 7/15/30 144A |
1,425,000 | 1,090 | ||||||
| 4.750%, 1/15/28 144A |
1,325,000 | 1,120 | ||||||
| 5.000%, 2/15/27 144A |
3,375,000 | 2,987 | ||||||
| TK Elevator Holdco GmbH |
||||||||
| 7.625%, 7/15/28 144A |
1,121,000 | 939 | ||||||
| TK Elevator US Newco, Inc. |
||||||||
| 5.250%, 7/15/27 144A |
2,175,000 | 1,849 | ||||||
| TransDigm UK Holdings PLC |
||||||||
| 6.875%, 5/15/26 |
1,775,000 | 1,683 | ||||||
| TransDigm, Inc. |
||||||||
| 4.625%, 1/15/29 |
2,275,000 | 1,831 | ||||||
| 4.875%, 5/1/29 |
775,000 | 626 | ||||||
| 5.500%, 11/15/27 |
1,250,000 | 1,087 | ||||||
| 6.250%, 3/15/26 144A |
3,025,000 | 2,934 | ||||||
| 6.375%, 6/15/26 |
1,850,000 | 1,748 | ||||||
| 7.500%, 3/15/27 |
675,000 | 643 | ||||||
| Trident TPI Holdings, Inc. |
||||||||
| 6.625%, 11/1/25 144A |
2,225,000 | 1,917 | ||||||
| 9.250%, 8/1/24 144A |
1,575,000 | 1,445 | ||||||
| Trivium Packaging Finance BV |
||||||||
| 5.500%, 8/15/26 144A |
525,000 | 470 | ||||||
| 8.500%, 8/15/27 144A |
3,975,000 | 3,509 | ||||||
| TTM Technologies, Inc. |
||||||||
| 4.000%, 3/1/29 144A |
950,000 | 765 | ||||||
| Watco Cos. LLC / Watco Finance Corp. |
||||||||
| 6.500%, 6/15/27 144A |
2,150,000 | 1,957 | ||||||
| WESCO Distribution, Inc. |
||||||||
| 7.125%, 6/15/25 144A |
775,000 | 775 | ||||||
| 7.250%, 6/15/28 144A |
1,075,000 | 1,053 | ||||||
|
|
|
|||||||
| Total |
83,430 | |||||||
|
|
|
|||||||
| Technology (7.1%) |
||||||||
| AMG AG |
||||||||
| 7.000%, 7/31/25 144A |
1,050,000 | 949 | ||||||
| Black Knight InfoServ LLC |
||||||||
| 3.625%, 9/1/28 144A |
1,225,000 | 1,044 | ||||||
| Booz Allen Hamilton, Inc. |
||||||||
| 3.875%, 9/1/28 144A |
400,000 | 344 | ||||||
| 4.000%, 7/1/29 144A |
250,000 | 214 | ||||||
| Boxer Parent Co., Inc. |
||||||||
| 9.125%, 3/1/26 144A |
1,525,000 | 1,466 | ||||||
| CDW LLC / CDW Finance Corp. |
||||||||
| 3.250%, 2/15/29 |
200,000 | 162 | ||||||
| Central Parent, Inc. / Central Merger Sub, Inc. |
||||||||
| 7.250%, 6/15/29 144A |
1,950,000 | 1,854 | ||||||
| Clarivate Science Holdings Corp. |
||||||||
| 3.875%, 7/1/28 144A |
350,000 | 289 | ||||||
| 4.875%, 7/1/29 144A |
1,975,000 | 1,546 | ||||||
| Condor Merger Sub, Inc. |
||||||||
| 7.375%, 2/15/30 144A |
5,125,000 | 4,190 | ||||||
| Consensus Cloud Solutions, Inc. |
||||||||
| 6.000%, 10/15/26 144A |
725,000 | 639 | ||||||
High Yield Bond Portfolio
| Corporate Bonds (95.1%) | Shares/ Par + | Value $ (000’s) |
||||||
|
|
||||||||
| Technology continued |
||||||||
| 6.500%, 10/15/28 144A |
1,825,000 | 1,549 | ||||||
| The Dun & Bradstreet Corp. |
||||||||
| 5.000%, 12/15/29 144A |
1,175,000 | 969 | ||||||
| Elastic NV |
||||||||
| 4.125%, 7/15/29 144A |
1,800,000 | 1,422 | ||||||
| Entegris Escrow Corp. |
||||||||
| 5.950%, 6/15/30 144A |
1,150,000 | 1,050 | ||||||
| Entegris, Inc. |
||||||||
| 3.625%, 5/1/29 144A |
725,000 | 574 | ||||||
| Fair Isaac Corp. |
||||||||
| 4.000%, 6/15/28 144A |
625,000 | 533 | ||||||
| Helios Software Holdings, Inc. |
||||||||
| 4.625%, 5/1/28 144A |
1,800,000 | 1,345 | ||||||
| Logan Merger Sub, Inc. |
||||||||
| 5.500%, 9/1/27 144A |
2,875,000 | 1,763 | ||||||
| Minerva Merger Sub, Inc. |
||||||||
| 6.500%, 2/15/30 144A |
5,825,000 | 4,605 | ||||||
| NCR Corp. |
||||||||
| 5.000%, 10/1/28 144A |
875,000 | 688 | ||||||
| 5.125%, 4/15/29 144A |
1,475,000 | 1,106 | ||||||
| 5.250%, 10/1/30 144A |
1,425,000 | 1,075 | ||||||
| 5.750%, 9/1/27 144A |
1,025,000 | 929 | ||||||
| 6.125%, 9/1/29 144A |
650,000 | 560 | ||||||
| ON Semiconductor Corp. |
||||||||
| 3.875%, 9/1/28 144A |
675,000 | 577 | ||||||
| Open Text Corp. |
||||||||
| 3.875%, 2/15/28 144A |
800,000 | 662 | ||||||
| 3.875%, 12/1/29 144A |
125,000 | 96 | ||||||
| 4.125%, 2/15/30 144A |
800,000 | 639 | ||||||
| 4.125%, 12/1/31 144A |
300,000 | 226 | ||||||
| Picard Midco, Inc. |
||||||||
| 6.500%, 3/31/29 144A |
450,000 | 380 | ||||||
| Rackspace Technology Global, Inc. |
||||||||
| 3.500%, 2/15/28 144A |
1,825,000 | 1,207 | ||||||
| 5.375%, 12/1/28 144A |
2,675,000 | 1,257 | ||||||
| Roblox Corp. |
||||||||
| 3.875%, 5/1/30 144A |
1,375,000 | 1,119 | ||||||
| Rocket Software, Inc. |
||||||||
| 6.500%, 2/15/29 144A |
3,225,000 | 2,387 | ||||||
| Science Applications International Corp. |
||||||||
| 4.875%, 4/1/28 144A |
500,000 | 445 | ||||||
| Seagate HDD Cayman |
||||||||
| 3.125%, 7/15/29 |
1,750,000 | 1,282 | ||||||
| 3.375%, 7/15/31 |
1,225,000 | 855 | ||||||
| Sensata Technologies, Inc. |
||||||||
| 3.750%, 2/15/31 144A |
225,000 | 177 | ||||||
| SS&C Technologies, Inc. |
||||||||
| 5.500%, 9/30/27 144A |
3,600,000 | 3,284 | ||||||
| Corporate Bonds (95.1%) | Shares/ Par + | Value $ (000’s) |
||||||
|
|
||||||||
| Technology continued |
||||||||
| Synaptics, Inc. |
||||||||
| 4.000%, 6/15/29 144A |
575,000 | 463 | ||||||
| Veritas US, Inc. / Veritas Bermuda, Ltd. |
||||||||
| 7.500%, 9/1/25 144A |
2,250,000 | 1,723 | ||||||
|
|
|
|||||||
| Total |
47,644 | |||||||
|
|
|
|||||||
| Utilities (2.3%) |
||||||||
| AmeriGas Partners LP / AmeriGas Finance Corp. |
||||||||
| 5.625%, 5/20/24 |
425,000 | 406 | ||||||
| 5.750%, 5/20/27 |
550,000 | 494 | ||||||
| 5.875%, 8/20/26 |
2,350,000 | 2,129 | ||||||
| Calpine Corp. |
||||||||
| 3.750%, 3/1/31 144A |
1,250,000 | 978 | ||||||
| 4.500%, 2/15/28 144A |
1,575,000 | 1,388 | ||||||
| 4.625%, 2/1/29 144A |
350,000 | 285 | ||||||
| 5.000%, 2/1/31 144A |
200,000 | 159 | ||||||
| 5.125%, 3/15/28 144A |
1,075,000 | 923 | ||||||
| 5.250%, 6/1/26 144A |
299,000 | 282 | ||||||
| NRG Energy, Inc. |
||||||||
| 3.875%, 2/15/32 144A |
2,300,000 | 1,794 | ||||||
| 5.250%, 6/15/29 144A |
775,000 | 678 | ||||||
| 5.750%, 1/15/28 |
800,000 | 738 | ||||||
| 6.625%, 1/15/27 |
625,000 | 612 | ||||||
| Solaris Midstream Holdings LLC |
||||||||
| 7.625%, 4/1/26 144A |
650,000 | 624 | ||||||
| Vistra Operations Co. LLC |
||||||||
| 5.000%, 7/31/27 144A |
1,100,000 | 994 | ||||||
| 5.500%, 9/1/26 144A |
1,400,000 | 1,299 | ||||||
| 5.625%, 2/15/27 144A |
1,925,000 | 1,802 | ||||||
|
|
|
|||||||
| Total |
15,585 | |||||||
|
|
|
|||||||
| Total Corporate Bonds (Cost: $771,451) |
641,445 | |||||||
|
|
|
|||||||
| Short-Term Investments (2.7%) |
||||||||
|
|
||||||||
| Money Market Funds (2.7%) |
||||||||
| State Street Institutional U.S. Government Money Market Fund - Premier Class 2.940%# |
18,150,848 | 18,151 | ||||||
|
|
|
|||||||
| Total |
18,151 | |||||||
|
|
|
|||||||
| Total Short-Term Investments (Cost: $18,151) |
|
18,151 | ||||||
|
|
|
|||||||
| Total Investments (98.3%) (Cost: $792,360)@ |
|
663,127 | ||||||
|
|
|
|||||||
| Other Assets, Less Liabilities (1.7%) |
11,179 | |||||||
|
|
|
|||||||
| Net Assets (100.0%) |
674,306 | |||||||
|
|
|
|||||||
| + | All par is stated in U.S. Dollar unless otherwise noted. |
| * | Non income producing |
| Æ | Security valued using significant unobservable inputs. |
| 144A | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022 the value of these securities (in thousands) was $527,550 representing 78.3% of the net assets. |
| Þ | PIK - Payment In Kind. |
| # | 7-Day yield as of 9/30/2022. |
High Yield Bond Portfolio
| @ | At September 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $792,360 and the net unrealized depreciation of investments based on that cost was $129,233 which is comprised of $2,363 aggregate gross unrealized appreciation and $131,596 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards Codification defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:
Level 1 - fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives
Level 2 - fair value is determined by other significant observable inputs
Level 3 - fair value is determined by significant unobservable inputs
The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolio’s perceived risk of that instrument.
The following is a summary of the inputs used in valuing the Portfolio’s Investments at September 30, 2022.
| Valuation Inputs | ||||||||||||||
| Description |
Level 1 - Quoted Prices |
Level 2 - Other Significant Observable Inputs |
Level 3 - Significant Inputs | |||||||||||
| (Amounts in thousands) | ||||||||||||||
| Assets: |
||||||||||||||
| Common Stocks |
||||||||||||||
| Energy |
$ | — | $ | — | $ | 2,269 | ||||||||
| All Others |
1,262 | — | — | |||||||||||
| Corporate Bonds |
||||||||||||||
| Communications |
— | 110,455 | 12 | |||||||||||
| Energy |
— | 90,715 | — | |||||||||||
| All Others |
— | 440,263 | — | |||||||||||
| Short-Term Investments |
18,151 | — | — | |||||||||||
|
|
|
| ||||||||||||
| Total Assets: |
$ | 19,413 | $ | 641,433 | $ | 2,281 | ||||||||
|
|
|
| ||||||||||||
Management has determined that the amount of Level 3 securities compared to total net assets is not material; therefore, the reconciliation of Level 3 securities and assumptions is not shown for the period ended September 30, 2022.
Abbreviations
Abbreviations that may be used in the preceding statements
| ADR | American Depositary Receipt | |
| AFC | Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate. | |
| CSTR | Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral. | |
| EXE | Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal. | |
| IO | Interest Only Security | |
| PO | Principal Only Security | |
| GDR | Global Depositary Receipt | |
| GO | General Obligation | |
| RB | Revenue Bond | |
| CPURNSA | U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted | |
| LIBOR | London Interbank Offered Rate | |
| SOFR | Secured Overnight Financing Rate | |
| ICE | Intercontinental Exchange | |
| SONIO | Sterling Overnight Interbank Average Rate | |
| DAC | Designated Activity Company | |
| TBA | To Be Announced | |
| OIS | Overnight Index Swaps | |
| DIFC | Dubai International Financial Centre | |
| EURIBOR | Euro Interbank Offered Rate | |
| SDR | Swedish Depository Receipt | |
| ETF | Exchange Traded Fund | |
| Currency Abbreviations | ||
| ARS | Argentine Peso | |
| AUD | Australian Dollar | |
| BRL | Brazilian Real | |
| CAD | Canadian Dollar | |
| CHF | Swiss Franc | |
| CNH | Chinese Yuan Renminbi - Offshore | |
| CNY | Chinese Yuan Renminbi | |
| DKK | Danish Krone | |
| EUR | Euro | |
| GBP | British Pound | |
| HKD | Hong Kong Dollar | |
| IDR | Indonesian Rupiah | |
| INR | Indian Rupee | |
| JPY | Japanese Yen | |
| KES | Kenyan Shilling | |
| KRW | South Korean Won | |
| MXN | Mexican New Peso | |
| NOK | Norwegian Krone | |
| NZD | New Zealand Dollar | |
| PHP | Philippines Peso | |
| RUB | Russian Ruble | |
| SEK | Swedish Krona | |
| THB | Thai Baht | |
| TWD | Taiwan Dollar | |
| USD | United States Dollar | |
| ZAR | South African Rand | |