Form NPORT-EX CALVERT FUND For: Jun 30
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E-mailCALVERT INCOME FUND
SCHEDULE OF INVESTMENTS
JUNE 30, 2019 (Unaudited)
PRINCIPAL AMOUNT ($) | VALUE ($) | |
CORPORATE BONDS - 70.6% | ||
Basic Materials - 0.8% | ||
Reliance Steel & Aluminum Co., 4.50%, 4/15/23 | 2,300,000 | 2,415,615 |
Sherwin-Williams Co. (The), 4.50%, 6/1/47 | 1,358,000 | 1,449,113 |
3,864,728 | ||
Communications - 5.3% | ||
AT&T, Inc.: | ||
4.75%, 5/15/46 | 1,355,000 | 1,426,867 |
4.90%, 6/15/42 | 1,500,000 | 1,591,025 |
5.15%, 3/15/42 | 1,395,000 | 1,526,136 |
CBS Corp.: | ||
2.90%, 1/15/27 | 1,575,000 | 1,528,797 |
4.90%, 8/15/44 | 1,825,000 | 1,940,431 |
Comcast Corp.: | ||
4.25%, 1/15/33 | 1,400,000 | 1,568,884 |
4.70%, 10/15/48 (1) | 1,257,000 | 1,475,135 |
NBCUniversal Media LLC, 4.45%, 1/15/43 | 2,800,000 | 3,074,134 |
Symantec Corp., 5.00%, 4/15/25 (2) | 2,500,000 | 2,563,958 |
Verizon Communications, Inc.: | ||
3.618%, (3 mo. USD LIBOR + 1.10%), 5/15/25 (3) | 267,000 | 270,655 |
3.875%, 2/8/29 | 1,000,000 | 1,073,007 |
4.329%, 9/21/28 | 2,603,000 | 2,880,921 |
4.862%, 8/21/46 | 5,650,000 | 6,585,085 |
27,505,035 | ||
Consumer, Cyclical - 8.7% | ||
American Airlines Group, Inc., 5.50%, 10/1/19 (2) | 1,750,000 | 1,766,625 |
American Airlines Pass-Through Trust: | ||
4.40%, 3/22/25 | 1,529,311 | 1,573,432 |
5.25%, 7/15/25 | 1,377,095 | 1,454,831 |
5.60%, 1/15/22 (2) | 992,329 | 1,010,538 |
Aptiv plc, 5.40%, 3/15/49 | 893,000 | 942,129 |
Azul Investments LLP, 5.875%, 10/26/24 (1)(2) | 620,000 | 613,025 |
Best Buy Co., Inc., 4.45%, 10/1/28 | 3,624,000 | 3,831,465 |
Ford Motor Credit Co. LLC, 2.979%, 8/3/22 | 15,500,000 | 15,336,227 |
Latam Airlines Pass-Through Trust, 4.20%, 8/15/29 | 1,152,631 | 1,169,575 |
Nordstrom, Inc., 5.00%, 1/15/44 | 3,300,000 | 3,080,975 |
Tapestry, Inc., 4.125%, 7/15/27 | 6,535,000 | 6,574,640 |
Virgin Australia Pass-Through Trust, 6.00%, 4/23/22 (2) | 386,379 | 392,619 |
WestJet Airlines Ltd., 3.50%, 6/16/21 (2) | 3,100,000 | 3,117,578 |
Whirlpool Corp., 4.50%, 6/1/46 | 600,000 | 572,747 |
Wyndham Destinations, Inc.: | ||
5.40%, 4/1/24 | 1,361,000 | 1,432,371 |
5.75%, 4/1/27 | 2,085,000 | 2,184,037 |
45,052,814 | ||
Consumer, Non-cyclical - 5.6% | ||
AbbVie, Inc., 4.30%, 5/14/36 | 1,445,000 | 1,452,354 |
Amgen, Inc., 4.663%, 6/15/51 | 1,736,000 | 1,902,260 |
Becton Dickinson and Co., 3.363%, 6/6/24 | 1,378,000 | 1,423,789 |
CVS Health Corp.: | ||
3.875%, 7/20/25 | 1,594,000 | 1,665,853 |
4.10%, 3/25/25 | 1,022,000 | 1,078,040 |
4.30%, 3/25/28 (1) | 3,213,000 | 3,389,167 |
5.05%, 3/25/48 | 3,350,000 | 3,568,425 |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 2,358,210 | 2,640,739 |
Grupo Bimbo SAB de CV: | ||
4.50%, 1/25/22 (2) | 2,000,000 | 2,071,185 |
4.875%, 6/27/44 (2) | 1,250,000 | 1,315,108 |
Kaiser Foundation Hospitals, 3.15%, 5/1/27 | 941,000 | 970,626 |
Kraft Heinz Foods Co.: | ||
3.00%, 6/1/26 (1) | 1,250,000 | 1,216,964 |
4.375%, 6/1/46 | 1,250,000 | 1,188,456 |
5.20%, 7/15/45 | 1,500,000 | 1,573,834 |
MEDNAX, Inc., 5.25%, 12/1/23 (2) | 1,625,000 | 1,608,750 |
Prime Security Services Borrower LLC / Prime Finance, Inc., 9.25%, 5/15/23 (2) | 1,632,000 | 1,716,986 |
28,782,536 | ||
Energy - 2.8% | ||
National Oilwell Varco, Inc., 3.95%, 12/1/42 | 2,400,000 | 2,081,851 |
Oceaneering International, Inc., 4.65%, 11/15/24 | 5,326,000 | 5,246,110 |
Pattern Energy Group, Inc., 5.875%, 2/1/24 (2) | 1,450,000 | 1,479,000 |
TerraForm Power Operating LLC: | ||
5.00%, 1/31/28 (2) | 3,100,000 | 3,123,250 |
6.625%, 6/15/25 (2) | 2,331,000 | 2,456,291 |
14,386,502 | ||
Financial - 30.9% | ||
Ally Financial, Inc., 4.125%, 3/30/20 | 6,820,000 | 6,902,999 |
American Financial Group, Inc., 3.50%, 8/15/26 | 1,760,000 | 1,771,422 |
Athene Holding Ltd., 4.125%, 1/12/28 | 2,776,000 | 2,799,989 |
Banco Mercantil Del Norte SA, 7.625% to 1/10/28 (2)(4)(5) | 495,000 | 508,613 |
Banco Santander Mexico, 5.95% to 10/1/23, 10/1/28 (2)(5) | 1,935,000 | 2,051,119 |
Banco Santander SA, 3.80%, 2/23/28 | 2,460,000 | 2,514,139 |
Bank of America Corp.: | ||
3.593% to 7/21/27, 7/21/28 (5) | 5,745,000 | 5,992,139 |
3.824% to 1/20/27, 1/20/28 (5) | 8,820,000 | 9,340,437 |
3.974% to 2/7/29, 2/7/30 (5) | 1,262,000 | 1,352,657 |
5.875% to 3/15/28 (1)(4)(5) | 4,450,000 | 4,648,915 |
6.10% to 3/17/25 (4)(5) | 1,150,000 | 1,242,822 |
Bank of Montreal, 3.803% to 12/15/27, 12/15/32 (5) | 2,123,000 | 2,154,866 |
BBVA Bancomer SA, 5.125% to 1/17/28, 1/18/33 (2)(5) | 3,800,000 | 3,670,800 |
Brown & Brown, Inc., 4.50%, 3/15/29 | 3,625,000 | 3,809,331 |
Capital One Financial Corp., 3.75%, 7/28/26 | 8,500,000 | 8,654,063 |
CBL & Associates LP, 5.25%, 12/1/23 (1) | 2,388,000 | 1,731,300 |
Charles Schwab Corp. (The), Series F, 5.00% to 12/1/27 (1)(4)(5) | 1,750,000 | 1,743,910 |
Citigroup, Inc.: | ||
3.668% to 7/24/27, 7/24/28 (5) | 2,670,000 | 2,787,425 |
3.887% to 1/10/27, 1/10/28 (5) | 7,525,000 | 7,964,086 |
4.075% to 4/23/28, 4/23/29 (5) | 2,425,000 | 2,605,390 |
4.125%, 7/25/28 | 1,530,000 | 1,617,823 |
4.60%, 3/9/26 | 3,750,000 | 4,059,120 |
6.25% to 8/15/26 (1)(4)(5) | 2,750,000 | 3,022,649 |
Citizens Financial Group, Inc.: | ||
4.15%, 9/28/22 (2) | 496,000 | 512,831 |
4.30%, 12/3/25 | 1,500,000 | 1,587,388 |
Credit Acceptance Corp.: | ||
6.125%, 2/15/21 | 2,072,000 | 2,075,885 |
7.375%, 3/15/23 | 1,040,000 | 1,082,900 |
Crown Castle International Corp.: | ||
3.65%, 9/1/27 | 1,365,000 | 1,406,298 |
4.45%, 2/15/26 | 1,375,000 | 1,483,793 |
4.75%, 5/15/47 | 1,615,000 | 1,741,345 |
DDR Corp., 3.625%, 2/1/25 | 3,000,000 | 3,036,206 |
Digital Realty Trust LP, 4.75%, 10/1/25 | 2,000,000 | 2,192,461 |
Discover Bank: | ||
3.45%, 7/27/26 | 2,745,000 | 2,793,937 |
4.682% to 8/9/23, 8/9/28 (5) | 4,601,000 | 4,771,973 |
7.00%, 4/15/20 | 2,500,000 | 2,585,618 |
Goldman Sachs Group, Inc. (The): | ||
2.905% to 7/24/22, 7/24/23 (5) | 2,113,000 | 2,133,824 |
2.908% to 6/5/22, 6/5/23 (5) | 5,230,000 | 5,288,939 |
3.688%, (3 mo. USD LIBOR + 1.17%), 5/15/26 (3) | 1,249,000 | 1,232,569 |
3.691% to 6/5/27, 6/5/28 (5) | 3,695,000 | 3,819,089 |
JPMorgan Chase & Co., 4.203% to 7/23/28, 7/23/29 (5) | 2,600,000 | 2,843,615 |
Lazard Group LLC, 4.50%, 9/19/28 | 2,337,000 | 2,489,866 |
MetLife, Inc.: | ||
4.05%, 3/1/45 | 900,000 | 967,324 |
5.70%, 6/15/35 | 1,000,000 | 1,282,570 |
Morgan Stanley: | ||
3.591% to 7/22/27, 7/22/28 (5) | 5,550,000 | 5,780,977 |
4.00%, 7/23/25 | 1,515,000 | 1,623,095 |
Nationwide Building Society, 4.00%, 9/14/26 (2) | 2,435,000 | 2,436,554 |
Prudential Financial, Inc., 4.60%, 5/15/44 | 1,000,000 | 1,151,764 |
Radian Group, Inc., 4.875%, 3/15/27 | 2,135,000 | 2,153,681 |
SBA Tower Trust, 2.877%, 7/15/46 (2) | 1,600,000 | 1,604,740 |
Synchrony Financial: | ||
3.95%, 12/1/27 (1) | 1,128,000 | 1,127,224 |
4.25%, 8/15/24 | 5,164,000 | 5,381,476 |
4.50%, 7/23/25 | 2,527,000 | 2,653,563 |
Synovus Financial Corp.: | ||
3.125%, 11/1/22 | 2,262,000 | 2,274,984 |
5.90% to 2/7/24, 2/7/29 (5) | 1,589,000 | 1,648,587 |
UniCredit SpA, 5.861% to 6/19/27, 6/19/32 (2)(5) | 1,300,000 | 1,246,170 |
WP Carey, Inc., 3.85%, 7/15/29 | 1,632,000 | 1,654,618 |
159,011,878 | ||
Industrial - 7.6% | ||
AP Moller - Maersk A/S, 4.50%, 6/20/29 (2) | 2,625,000 | 2,672,890 |
Jabil, Inc.: | ||
3.95%, 1/12/28 | 4,970,000 | 4,887,647 |
4.70%, 9/15/22 | 2,073,000 | 2,169,291 |
Johnson Controls International plc, 4.625%, 7/2/44 | 2,275,000 | 2,336,536 |
JSL Europe SA, 7.75%, 7/26/24 (2) | 3,300,000 | 3,374,250 |
Nvent Finance S.a.r.l.: | ||
3.95%, 4/15/23 | 1,094,000 | 1,109,682 |
4.55%, 4/15/28 (1) | 4,250,000 | 4,319,910 |
Owens Corning: | ||
3.40%, 8/15/26 | 2,300,000 | 2,241,072 |
4.30%, 7/15/47 (1) | 2,093,000 | 1,773,609 |
4.40%, 1/30/48 | 1,540,000 | 1,307,391 |
SMBC Aviation Capital Finance DAC, 3.00%, 7/15/22 (2) | 1,011,000 | 1,023,746 |
Trimble, Inc., 4.90%, 6/15/28 (1) | 1,238,000 | 1,326,923 |
Valmont Industries, Inc., 5.00%, 10/1/44 | 4,100,000 | 4,115,161 |
Wabtec Corp.: | ||
4.40%, 3/15/24 | 2,500,000 | 2,647,370 |
4.95%, 9/15/28 (1) | 3,800,000 | 4,075,927 |
39,381,405 | ||
Technology - 5.5% | ||
Dell International LLC / EMC Corp.: | ||
4.42%, 6/15/21 (2) | 3,279,000 | 3,377,950 |
8.35%, 7/15/46 (2) | 435,000 | 550,414 |
DXC Technology Co., 4.75%, 4/15/27 (1) | 5,550,000 | 5,907,254 |
Marvell Technology Group Ltd., 4.875%, 6/22/28 | 3,683,000 | 3,905,955 |
Microchip Technology, Inc., 4.333%, 6/1/23 | 3,264,000 | 3,400,889 |
NXP BV / NXP Funding LLC, 4.625%, 6/15/22 (2) | 955,000 | 1,002,750 |
Seagate HDD Cayman, 5.75%, 12/1/34 | 6,850,000 | 6,741,244 |
Western Digital Corp., 4.75%, 2/15/26 (1) | 3,284,000 | 3,229,978 |
28,116,434 | ||
Utilities - 3.4% | ||
Avangrid, Inc.: | ||
3.15%, 12/1/24 | 2,619,000 | 2,671,045 |
3.80%, 6/1/29 | 4,935,000 | 5,171,499 |
NextEra Energy Operating Partners LP: | ||
4.25%, 9/15/24 (2) | 1,500,000 | 1,513,575 |
4.50%, 9/15/27 (2) | 5,300,000 | 5,253,625 |
Terraform Global Operating LLC, 6.125%, 3/1/26 (2) | 2,795,000 | 2,815,962 |
17,425,706 | ||
Total Corporate Bonds (Cost $350,476,365) | 363,527,038 | |
ASSET-BACKED SECURITIES - 10.9% | ||
AASET US Ltd., Series 2018-1A, Class C, 6.413%, 1/16/38 (2) | 711,870 | 713,516 |
Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47 (2) | 2,989,000 | 3,063,070 |
Conn’s Receivables Funding LLC: | ||
Series 2017-B, Class B, 4.52%, 4/15/21 (2) | 601,751 | 603,132 |
Series 2018-A, Class B, 4.65%, 1/15/23 (2) | 720,087 | 725,374 |
Series 2019-A, Class B, 4.36%, 10/16/23 (2) | 2,240,000 | 2,255,816 |
Driven Brands Funding LLC: | ||
Series 2015-1A, Class A2, 5.216%, 7/20/45 (2) | 2,702,000 | 2,801,874 |
Series 2016-1A, Class A2, 6.125%, 7/20/46 (2) | 3,549,625 | 3,748,915 |
Element Rail Leasing I LLC, Series 2014-1A, Class B1, 4.406%, 4/19/44 (2) | 2,783,000 | 2,913,351 |
ExteNet LLC: | ||
Series 2019-1A, Class B, 4.14%, 7/26/49 (2) | 720,000 | 721,510 |
Series 2019-1A, Class C, 5.219%, 7/26/49 (2) | 2,160,000 | 2,164,556 |
FOCUS Brands Funding LLC: | ||
Series 2017-1A, Class A2I, 3.857%, 4/30/47 (2) | 671,300 | 691,422 |
Series 2017-1A, Class A2II, 5.093%, 4/30/47 (2) | 1,406,300 | 1,470,610 |
Hardee’s Funding LLC, Series 2018-1A, Class A2I, 4.25%, 6/20/48 (2) | 1,994,925 | 2,037,896 |
Horizon Aircraft Finance II Ltd., Series 2019-1, Class B, 4.703%, 7/15/39 (2) | 1,785,000 | 1,784,940 |
InSite Issuer LLC, Series 2016-1A, Class C, 6.414%, 11/15/46 (2) | 725,000 | 753,501 |
Invitation Homes Trust: | ||
Series 2017-SFR2, Class D, 4.194%, (1 mo. USD LIBOR + 1.80%), 12/17/36 (2)(3) | 1,647,000 | 1,651,111 |
Series 2018-SFR1, Class D, 3.844%, (1 mo. USD LIBOR + 1.45%), 3/17/37 (2)(3) | 500,000 | 498,184 |
Jack In The Box Funding LLC, Series 2019-1A, Class A2I, 3.982%, 8/25/49 (2) | 2,125,000 | 2,125,000 |
Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/5/48 (2) | 4,714,375 | 4,955,683 |
Prosper Marketplace Issuance Trust, Series 2017-3A, Class B, 3.36%, 11/15/23 (2) | 1,914,267 | 1,914,843 |
RenewFund Receivables Trust, Series 2015-1, Class A, 3.51%, 4/15/25 (2) | 446,876 | 446,508 |
SolarCity LMC: | ||
Series 2013-1, Class A, 4.80%, 11/20/38 (2) | 715,366 | 755,123 |
Series 2014-1, Class A, 4.59%, 4/20/44 (2) | 336,160 | 343,577 |
Series 2014-2, Class A, 4.02%, 7/20/44 (2) | 1,147,527 | 1,157,458 |
Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.54%, 2/25/44 (2) | 6,333,817 | 6,599,445 |
TES LLC, Series 2017-1A, Class A, 4.33%, 10/20/47 (2) | 1,655,560 | 1,656,735 |
Thunderbolt Aircraft Lease Ltd., Series 2017-A, Class B, 5.75% to 4/15/24, 5/17/32 (2)(6) | 4,863,856 | 5,028,201 |
Vantage Data Centers Issuer LLC, Series 2018-1A, Class A2, 4.072%, 2/16/43 (2) | 1,237,280 | 1,272,287 |
VB-S1 Issuer LLC, Series 2016-1A, Class C, 3.065%, 6/15/46 (2) | 1,350,000 | 1,352,632 |
Total Asset-Backed Securities (Cost $54,693,339) | 56,206,270 | |
U.S. TREASURY OBLIGATIONS - 4.5% | ||
U.S. Treasury Bonds: | ||
3.00%, 8/15/48 | 1,150,000 | 1,259,542 |
3.375%, 11/15/48 | 3,975,000 | 4,673,343 |
U.S. Treasury Inflation-Protected Notes, 0.75%, 7/15/28 (7) | 9,847,892 | 10,265,854 |
U.S. Treasury Notes: | ||
2.125%, 5/31/21 | 5,415,000 | 5,450,853 |
2.375%, 5/15/29 (1) | 1,393,000 | 1,438,898 |
Total U.S. Treasury Obligations (Cost $22,451,027) | 23,088,490 | |
COMMERCIAL MORTGAGE-BACKED SECURITIES - 3.9% | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||
Series 2014-DSTY, Class B, 3.771%, 6/10/27 (2) | 2,200,000 | 2,179,787 |
Series 2014-DSTY, Class C, 3.931%, 6/10/27 (2)(8) | 1,120,000 | 1,041,432 |
Morgan Stanley Capital I Trust: | ||
Series 2019-BPR, Class B, 4.494%, (1 mo. USD LIBOR + 2.10%), 5/15/36 (2)(3) | 7,070,000 | 7,083,379 |
Series 2019-BPR, Class C, 5.444%, (1 mo. USD LIBOR + 3.05%), 5/15/36 (2)(3) | 3,045,000 | 3,054,312 |
Motel 6 Trust: | ||
Series 2017-MTL6, Class D, 4.544%, (1 mo. USD LIBOR + 2.15%), 8/15/34 (2)(3) | 1,624,936 | 1,634,701 |
Series 2017-MTL6, Class E, 5.644%, (1 mo. USD LIBOR + 3.25%), 8/15/34 (2)(3) | 1,761,448 | 1,776,933 |
RETL Trust, Series 2019-RVP, Class B, 3.944%, (1 mo. USD LIBOR + 1.55%), 3/15/36 (2)(3) | 3,400,000 | 3,412,739 |
Total Commercial Mortgage-Backed Securities (Cost $20,288,596) | 20,183,283 | |
COLLATERALIZED MORTGAGE-BACKED OBLIGATIONS - 2.0% | ||
Bellemeade Re Ltd., Series 2015-1A, Class M2, 6.704%, (1 mo. USD LIBOR + 4.30%), 7/25/25 (2)(3) | 64,790 | 64,952 |
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes: | ||
Series 2017-DNA3, Class M2, 4.904%, (1 mo. USD LIBOR + 2.50%), 3/25/30 (3) | 1,109,000 | 1,134,921 |
Series 2019-DNA2, Class M2, 4.854%, (1 mo. USD LIBOR + 2.45%), 3/25/49 (2)(3) | 3,775,000 | 3,846,719 |
Federal National Mortgage Association Connecticut Avenue Securities: | ||
Series 2014-C02, Class 1M2, 5.004%, (1 mo. USD LIBOR + 2.60%), 5/25/24 (3) | 1,898,721 | 1,986,973 |
Series 2017-C06, Class 1M2, 5.054%, (1 mo. USD LIBOR + 2.65%), 2/25/30 (3) | 840,000 | 862,769 |
Toorak Mortgage Corp. Ltd., Series 2018-1, Class A1, 4.336% to 4/25/21, 8/25/21 (2)(6) | 2,320,000 | 2,344,645 |
Total Collateralized Mortgage-Backed Obligations (Cost $10,021,802) | 10,240,979 | |
SOVEREIGN GOVERNMENT BONDS - 0.3% | ||
Nacional Financiera SNC, 3.375%, 11/5/20 (2) | 1,400,000 | 1,406,664 |
Total Sovereign Government Bonds (Cost $1,399,288) | 1,406,664 | |
FLOATING RATE LOANS (9) - 4.0% | ||
Building and Development - 0.2% | ||
DTZ U.S. Borrower, LLC, Term Loan, 5.652%, (1 mo. USD LIBOR + 3.25%), 8/21/25 | 1,265,438 | 1,263,375 |
Business Equipment and Services - 0.7% | ||
Change Healthcare Holdings, LLC, Term Loan, 5.152%, (1 mo. USD LIBOR + 2.75%), 3/1/24 | 2,101,334 | 2,087,763 |
First Data Corporation, Term Loan, 4.404%, (1 mo. USD LIBOR + 2.00%), 7/8/22 | 1,250,230 | 1,250,232 |
3,337,995 | ||
Cable and Satellite Television - 0.4% | ||
UPC Financing Partnership, Term Loan, 4.894%, (1 mo. USD LIBOR + 2.50%), 1/15/26 | 849,570 | 849,389 |
Ziggo Secured Finance Partnership, Term Loan, 4.894%, (1 mo. USD LIBOR + 2.50%), 4/15/25 | 1,020,000 | 1,000,945 |
1,850,334 | ||
Cosmetics/Toiletries - 0.1% | ||
Prestige Brands, Inc., Term Loan, 4.402%, (1 mo. USD LIBOR + 2.00%), 1/26/24 | 292,184 | 290,979 |
Drugs - 0.4% | ||
Jaguar Holding Company II, Term Loan, 4.902%, (1 mo. USD LIBOR + 2.50%), 8/18/22 | 1,895,321 | 1,886,184 |
Electronics/Electrical - 1.0% | ||
Go Daddy Operating Company, LLC, Term Loan, 4.402%, (1 mo. USD LIBOR + 2.00%), 2/15/24 | 292,794 | 293,134 |
Infor (US), Inc., Term Loan, 5.08%, (3 mo. USD LIBOR + 2.75%), 2/1/22 | 1,893,492 | 1,889,349 |
MA FinanceCo., LLC, Term Loan, 4.902%, (1 mo. USD LIBOR + 2.50%), 6/21/24 | 203,063 | 199,509 |
Seattle Spinco, Inc., Term Loan, 4.902%, (1 mo. USD LIBOR + 2.50%), 6/21/24 | 1,371,336 | 1,347,338 |
SolarWinds Holdings, Inc., Term Loan, 5.152%, (1 mo. USD LIBOR + 2.75%), 2/5/24 | 467,626 | 465,677 |
SS&C Technologies Holdings Europe S.a.r.l., Term Loan, 4.652%, (1 mo. USD LIBOR + 2.25%), 4/16/25 | 467,547 | 466,281 |
SS&C Technologies, Inc., Term Loan, 4.652%, (1 mo. USD LIBOR + 2.25%), 4/16/25 | 695,151 | 693,269 |
5,354,557 | ||
Equipment Leasing - 0.2% | ||
Avolon TLB Borrower 1 (US), LLC, Term Loan, 4.133%, (1 mo. USD LIBOR + 1.75%), 1/15/25 | 1,163,736 | 1,163,332 |
Financial - 0.0% (10) | ||
Alliance Mortgage Investments, Term Loan, 0.00%, 6/1/10 (11)(12)(13) | 3,077,944 | 48,551 |
Industrial Equipment - 0.1% | ||
Rexnord, LLC, Term Loan, 4.402%, (1 mo. USD LIBOR + 2.00%), 8/21/24 | 280,938 | 280,996 |
Insurance - 0.3% | ||
Asurion, LLC, Term Loan, 5.402%, (1 mo. USD LIBOR + 3.00%), 11/3/23 | 1,672,504 | 1,671,040 |
Leisure Goods/Activities/Movies - 0.1% | ||
Bombardier Recreational Products, Inc., Term Loan, 4.40%, (1 mo. USD LIBOR + 2.00%), 5/23/25 | 397,995 | 393,020 |
Lodging and Casinos - 0.1% | ||
ESH Hospitality, Inc., Term Loan, 4.402%, (1 mo. USD LIBOR + 2.00%), 8/30/23 | 417,900 | 417,160 |
Telecommunications - 0.4% | ||
Level 3 Financing, Inc., Term Loan, 4.652%, (1 mo. USD LIBOR + 2.25%), 2/22/24 | 610,000 | 605,743 |
Sprint Communications, Inc., Term Loan, 4.938%, (1 mo. USD LIBOR + 2.50%), 2/2/24 | 1,722,380 | 1,699,415 |
2,305,158 | ||
Total Floating Rate Loans (Cost $23,361,167) | 20,262,681 | |
CONVERTIBLE BONDS - 0.7% | ||
Technology - 0.7% | ||
Rovi Corp., 0.50%, 3/1/20 | 3,763,000 | 3,678,521 |
Total Convertible Bonds (Cost $3,668,925) | 3,678,521 | |
COMMERCIAL PAPER - 1.9% | ||
CNH Industrial Capital, LLC, 2.692%, 7/8/19 (2)(14) | 5,000,000 | 4,997,423 |
Ford Motor Credit Co., LLC, 3.183%, 10/7/19 (2)(14) | 5,000,000 | 4,958,029 |
Total Commercial Paper (Cost $9,955,229) | 9,955,452 | |
SHARES | VALUE ($) | |
SHORT TERM INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 1.0% | ||
State Street Navigator Securities Lending Government Money Market Portfolio, 2.33% | 5,127,258 | 5,127,258 |
Total Short Term Investment of Cash Collateral for Securities Loaned (Cost $5,127,258) | 5,127,258 | |
TOTAL INVESTMENTS (Cost $501,442,996) - 99.8% | 513,676,636 | |
Other assets and liabilities, net - 0.2% | 1,170,487 | |
NET ASSETS - 100.0% | 514,847,123 | |
NOTES TO SCHEDULE OF INVESTMENTS | |
(1) All or a portion of this security was on loan at June 30, 2019. The aggregate market value of securities on loan at June 30, 2019 was $27,096,336 and the total market value of the collateral received by the Fund was $27,883,705, comprised of cash of $5,127,258 and U.S. Government and/or agencies securities of $22,756,447. | |
(2) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities amounts to $150,858,887, which represents 29.3% of the net assets of the Fund as of June 30, 2019. | |
(3) Variable rate security. The stated interest rate represents the rate in effect at June 30, 2019. | |
(4) Perpetual security with no stated maturity date but may be subject to calls by the issuer. | |
(5) Security converts to floating rate after the indicated fixed-rate coupon period. | |
(6) Step coupon security. The interest rate disclosed is that which is in effect on June 30, 2019. | |
(7) Inflation-linked security whose principal is adjusted for inflation based on changes in the U.S. Consumer Price Index. Interest is calculated based on the inflation-adjusted principal. | |
(8) Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at June 30, 2019. | |
(9) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. Floating rate loans generally pay interest at rates which are periodically re-determined at a spread above the London Interbank Offered Rate (“LIBOR”) or other short-term rates. The rate shown is the rate in effect at June 30, 2019. Floating rate loans are generally considered restrictive in that the Fund is ordinarily contractually obligated to receive consent from the Agent Bank and/or Borrower prior to disposition of a floating rate loan. | |
(10) Amount is less than 0.05%. | |
(11) For fair value measurement disclosure purposes, security is categorized as Level 3. | |
(12) Restricted security. Total market value of restricted securities amounts to $48,551, which represents less than 0.05% of the net assets of the Fund as of June 30, 2019. | |
(13) Alliance Bancorp and its affiliates filed for Chapter 7 bankruptcy on July 13, 2007. This security is no longer accruing interest. | |
(14) Security is exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors”. At June 30, 2019, the aggregate value of these securities is $9,955,452, representing 1.9% of the Fund's net assets. | |
Abbreviations: | ||
LIBOR: | London Interbank Offered Rate | |
USD: | United States Dollar | |
FUTURES CONTRACTS | NUMBER OF CONTRACTS | EXPIRATION DATE | NOTIONAL AMOUNT | VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | ||||
Long: | ||||||||
U.S. 2-Year Treasury Note | 160 | 9/30/19 | $34,428,750 | $14,889 | ||||
U.S. Ultra-Long Treasury Bond | 250 | 9/19/19 | 44,390,625 | 1,380,380 | ||||
Total Long | $1,395,269 | |||||||
Short: | ||||||||
U.S. 5-Year Treasury Note | (73) | 9/30/19 | ($8,625,406 | ) | ($107,915 | ) | ||
U.S. Ultra 10-Year Treasury Note | (276) | 9/19/19 | (38,122,500) | (804,776) | ||||
Total Short | ($912,691 | ) | ||||||
RESTRICTED SECURITIES | ACQUISITION DATES | COST ($) |
Alliance Mortgage Investments, Term Loan 0.00%, 6/1/10 | 5/26/05-6/13/07 | 3,077,944 |
At June 30, 2019, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.
During the fiscal year to date ended June 30, 2019, the Fund used futures contracts to hedge interest rate risk and to manage duration.
At June 30, 2019, the aggregate fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in an asset position and in a liability position and whose primary underlying risk exposure is interest rate risk was $1,395,269 and $912,691, respectively.
U.S. generally accepted accounting principles (U.S. GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 - quoted prices in active markets for identical securities
Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes the market value of the Fund’s holdings as of June 30, 2019, based on the inputs used to value them:
Assets | Level 1 | Level 2 | Level 3(1) | Total | ||||||||
Corporate Bonds | $ | — | $ | 363,527,038 | $ | — | $ | 363,527,038 | ||||
Asset-Backed Securities | — | 56,206,270 | — | 56,206,270 | ||||||||
U.S. Treasury Obligations | — | 23,088,490 | — | 23,088,490 | ||||||||
Commercial Mortgage-Backed Securities | — | 20,183,283 | — | 20,183,283 | ||||||||
Collateralized Mortgage-Backed Obligations | — | 10,240,979 | — | 10,240,979 | ||||||||
Sovereign Government Bonds | — | 1,406,664 | — | 1,406,664 | ||||||||
Floating Rate Loans | — | 20,214,130 | 48,551 | 20,262,681 | ||||||||
Convertible Bonds | — | 3,678,521 | — | 3,678,521 | ||||||||
Commercial Paper | — | 9,955,452 | — | 9,955,452 | ||||||||
Short Term Investment of Cash Collateral for Securities Loaned | 5,127,258 | — | — | 5,127,258 | ||||||||
Total Investments | $ | 5,127,258 | $ | 508,500,827 | $ | 48,551 | $ | 513,676,636 | ||||
Futures Contracts | $ | 1,395,269 | $ | — | $ | — | $ | 1,395,269 | ||||
Total | $ | 6,522,527 | $ | 508,500,827 | $ | 48,551 | $ | 515,071,905 | ||||
Liabilities | ||||||||||||
Futures Contracts | $ | (912,691 | ) | $ | — | $ | — | $ | (912,691 | ) | ||
(1) None of the unobservable inputs for Level 3 assets, individually or collectively, had a material impact on the Fund. | ||||||||||||
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and accordingly, a reconciliation of Level 3 assets for the fiscal year to date ended June 30, 2019 is not presented.
For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.
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