Wells Fargo Multi-Sector Income FundPortfolio of investments — January 31, 2020 (unaudited)
|
| Interest rate | Maturity date |
| Principal | Value | ||||||||||||||||
Agency Securities : 1.29% | ||||||||||||||||||||||
| FHLMC (5 Year Treasury Constant Maturity +2.06%) ± | 3.53 | % | 9-1-2032 | $ | 655,247 | $ | 683,232 | ||||||||||||||
| FHLMC | 8.50 |
| 7-1-2028 |
| 21,706 |
| 24,584 | ||||||||||||||
| FHLMC Series 1383 (1 Year Treasury Constant Maturity +2.25%) ± | 4.15 |
| 2-1-2037 |
| 131,606 |
| 139,754 | ||||||||||||||
| FHLMC Series 196 Class A (1 Month LIBOR +0.80%) ± | 2.48 |
| 12-15-2021 |
| 60 |
| 59 | ||||||||||||||
| FHLMC Series 2011-K16 Class B 144A±± | 4.76 |
| 11-25-2046 |
| 1,000,000 |
| 1,042,762 | ||||||||||||||
| FHLMC Series 2012-K17 Class B 144A±± | 4.47 |
| 12-25-2044 |
| 675,000 |
| 700,853 | ||||||||||||||
| FHLMC Series 2012-K18 Class B 144A±± | 4.39 |
| 1-25-2045 |
| 810,000 |
| 842,559 | ||||||||||||||
| FHLMC Series 2013-K30 Class B 144A±± | 3.67 |
| 6-25-2045 |
| 700,000 |
| 734,107 | ||||||||||||||
| FHLMC Series 2390 Class FD (1 Month LIBOR +0.45%) ± | 2.13 |
| 12-15-2031 |
| 13,838 |
| 13,834 | ||||||||||||||
| FHLMC Series 2567 Class FH (1 Month LIBOR +0.40%) ± | 2.08 |
| 2-15-2033 |
| 39,955 |
| 39,861 | ||||||||||||||
| FHLMC Series 3987 Class CI (c) | 3.50 |
| 6-15-2026 |
| 4,270,327 |
| 193,095 | ||||||||||||||
| FHLMC Series K007 Class X1 ±±(c) | 1.17 |
| 4-25-2020 |
| 267,493 |
| 3 | ||||||||||||||
| FHLMC Series K016 Class X1 ±±(c) | 1.63 |
| 10-25-2021 |
| 321,688 |
| 6,845 | ||||||||||||||
| FHLMC Series K020 Class X1 ±±(c) | 1.51 |
| 5-25-2022 |
| 5,999,142 |
| 159,346 | ||||||||||||||
| FNMA (6 Month LIBOR +1.64%) ± | 4.14 |
| 9-1-2037 |
| 33,067 |
| 34,202 | ||||||||||||||
| FNMA | 6.00 |
| 4-1-2033 |
| 55,004 |
| 56,910 | ||||||||||||||
| FNMA | 7.50 |
| 2-1-2030 |
| 15,491 |
| 15,562 | ||||||||||||||
| FNMA | 7.50 |
| 9-1-2030 |
| 20,735 |
| 20,864 | ||||||||||||||
| FNMA Series 1996-46 Class FA (1 Month LIBOR +0.50%) ± | 2.16 |
| 8-25-2021 |
| 191 |
| 188 | ||||||||||||||
| FNMA Series 1997-20 Class IO ±±(c) | 1.84 |
| 3-25-2027 |
| 218,627 |
| 4,997 | ||||||||||||||
| FNMA Series 2001-25 Class Z | 6.00 |
| 6-25-2031 |
| 63,709 |
| 70,664 | ||||||||||||||
| FNMA Series 2001-35 Class F (1 Month LIBOR +0.60%) ± | 2.26 |
| 7-25-2031 |
| 3,270 |
| 3,285 | ||||||||||||||
| FNMA Series 2001-57 Class F (1 Month LIBOR +0.50%) ± | 2.16 |
| 6-25-2031 |
| 3,292 |
| 3,295 | ||||||||||||||
| FNMA Series 2002-77 Class FH (1 Month LIBOR +0.40%) ± | 2.06 |
| 12-18-2032 |
| 22,205 |
| 22,155 | ||||||||||||||
| FNMA Series 2002-97 Class FR (1 Month LIBOR +0.55%) ± | 2.21 |
| 1-25-2033 |
| 5,481 |
| 5,502 | ||||||||||||||
| FNMA Series G91-16 Class F (1 Month LIBOR +0.45%) ± | 2.11 |
| 6-25-2021 |
| 727 |
| 728 | ||||||||||||||
| FNMA Series G92-17 Class F (1 Month LIBOR +1.05%) ± | 2.71 |
| 3-25-2022 |
| 5,882 |
| 5,919 | ||||||||||||||
| GNMA ±±(c) | 1.68 |
| 4-20-2069 |
| 8,444,975 |
| 390,068 | ||||||||||||||
| GNMA | 6.50 |
| 6-15-2028 |
| 17,387 |
| 19,191 | ||||||||||||||
Total Agency Securities (Cost $4,953,748) |
| 5,234,424 | ||||||||||||||||||||
| ||||||||||||||||||||||
Asset-Backed Securities : 0.71% | ||||||||||||||||||||||
| Asset-Backed Funding Certificates Series 2003-AHL1 Class A1 | 4.18 |
| 3-25-2033 |
| 135,236 |
| 137,285 | ||||||||||||||
| Bear Stearns Asset Backed Securities Series 2002-2 Class A1 (1 Month LIBOR +0.66%) ± | 2.32 |
| 10-25-2032 |
| 116,144 |
| 116,369 | ||||||||||||||
| CVS Pass-Through Trust Series T | 6.04 |
| 12-10-2028 |
| 421,330 |
| 477,902 | ||||||||||||||
| Exeter Automobile Receivables Trust Series 15-3A Class D 144A | 6.55 |
| 10-17-2022 |
| 500,000 |
| 503,136 | ||||||||||||||
| Five Guys Funding LLC Series 17-1A Class A2 144A | 4.60 |
| 7-25-2047 |
| 992,500 |
| 1,050,012 | ||||||||||||||
| Mesa Trust Asset Backed Certificates Series 2001-5 Class A (1 Month LIBOR +0.80%) 144A± | 2.46 |
| 12-25-2031 |
| 8,536 |
| 8,472 | ||||||||||||||
| MMAF Equipment Finance LLC Series 2017-AA Class A4 144A | 2.41 |
| 8-16-2024 |
| 170,000 |
| 171,725 | ||||||||||||||
| Saxon Asset Securities Trust Series 2002-1 Class AF5 | 5.58 |
| 12-25-2030 |
| 102,829 |
| 106,281 | ||||||||||||||
| Structured Asset Securities Corporation Series 1998-2 Class A (1 Month LIBOR +0.52%) ± | 2.18 |
| 2-25-2028 |
| 19,732 |
| 19,738 | ||||||||||||||
| Structured Asset Securities Corporation Series 2002-9 Class A2 (1 Month LIBOR +0.60%) ± | 2.09 |
| 10-25-2027 |
| 24,260 |
| 24,214 | ||||||||||||||
| Student Loan Consolidation Center Series 2011-1 Class A (1 Month LIBOR +1.22%) 144A± | 2.88 |
| 10-25-2027 |
| 242,704 |
| 243,026 | ||||||||||||||
Total Asset-Backed Securities (Cost $2,818,454) |
| 2,858,160 | ||||||||||||||||||||
| ||||||||||||||||||||||
|
|
| Shares |
| ||||||||||||||||||
Common Stocks : 0.34% | ||||||||||||||||||||||
Energy : 0.34% | ||||||||||||||||||||||
Energy Equipment & Services : 0.34% | ||||||||||||||||||||||
| Bristow Group Incorporated (a)‡ |
| 42,370 |
| 812,826 | |||||||||||||||||
| Bristow Group Incorporated (a)‡ |
| 30,068 |
| 576,825 | |||||||||||||||||
| 1,389,651 | |||||||||||||||||||||
| ||||||||||||||||||||||
|
|
| Shares | Value | ||||||||||||||||||
Materials : 0.00% | ||||||||||||||||||||||
Chemicals : 0.00% | ||||||||||||||||||||||
| LyondellBasell Industries NV Class A |
| 9 | $ | 701 | |||||||||||||||||
| ||||||||||||||||||||||
Total Common Stocks (Cost $5,851,782) |
| 1,390,352 | ||||||||||||||||||||
| ||||||||||||||||||||||
|
| Interest rate | Maturity date |
| Principal |
| ||||||||||||||||
Corporate Bonds and Notes : 70.98% | ||||||||||||||||||||||
Communication Services : 11.77% | ||||||||||||||||||||||
Diversified Telecommunication Services : 0.80% | ||||||||||||||||||||||
| AT&T Incorporated | 4.00 | % | 1-15-2022 | $ | 750,000 |
| 781,848 | ||||||||||||||
| Level 3 Financing Incorporated | 5.13 |
| 5-1-2023 |
| 975,000 |
| 979,583 | ||||||||||||||
| Level 3 Financing Incorporated | 5.38 |
| 8-15-2022 |
| 252,000 |
| 253,008 | ||||||||||||||
| Level 3 Financing Incorporated | 5.38 |
| 1-15-2024 |
| 700,000 |
| 708,456 | ||||||||||||||
| Level 3 Financing Incorporated | 5.63 |
| 2-1-2023 |
| 500,000 |
| 500,152 | ||||||||||||||
| 3,223,047 | |||||||||||||||||||||
| ||||||||||||||||||||||
Entertainment : 0.43% | ||||||||||||||||||||||
| Live Nation Entertainment Incorporated 144A | 4.75 |
| 10-15-2027 |
| 50,000 |
| 51,440 | ||||||||||||||
| Live Nation Entertainment Incorporated 144A | 4.88 |
| 11-1-2024 |
| 1,400,000 |
| 1,447,040 | ||||||||||||||
| Live Nation Entertainment Incorporated 144A | 5.63 |
| 3-15-2026 |
| 250,000 |
| 266,250 | ||||||||||||||
| 1,764,730 | |||||||||||||||||||||
| ||||||||||||||||||||||
Media : 8.81% | ||||||||||||||||||||||
| CCO Holdings LLC 144A | 4.00 |
| 3-1-2023 |
| 100,000 |
| 101,500 | ||||||||||||||
| CCO Holdings LLC 144A | 5.00 |
| 2-1-2028 |
| 150,000 |
| 157,109 | ||||||||||||||
| CCO Holdings LLC | 5.13 |
| 2-15-2023 |
| 100,000 |
| 101,000 | ||||||||||||||
| CCO Holdings LLC 144A | 5.13 |
| 5-1-2027 |
| 450,000 |
| 470,250 | ||||||||||||||
| CCO Holdings LLC | 5.25 |
| 9-30-2022 |
| 1,250,000 |
| 1,262,738 | ||||||||||||||
| CCO Holdings LLC 144A | 5.38 |
| 5-1-2025 |
| 3,550,000 |
| 3,659,447 | ||||||||||||||
| CCO Holdings LLC 144A | 5.50 |
| 5-1-2026 |
| 215,000 |
| 224,675 | ||||||||||||||
| CCO Holdings LLC | 5.75 |
| 9-1-2023 |
| 50,000 |
| 50,563 | ||||||||||||||
| CCO Holdings LLC 144A | 5.75 |
| 2-15-2026 |
| 3,375,000 |
| 3,541,523 | ||||||||||||||
| CCO Holdings LLC 144A | 5.88 |
| 4-1-2024 |
| 1,250,000 |
| 1,290,100 | ||||||||||||||
| Charter Communications Operating LLC | 5.05 |
| 3-30-2029 |
| 675,000 |
| 776,131 | ||||||||||||||
| CSC Holdings LLC 144A | 5.38 |
| 7-15-2023 |
| 1,395,000 |
| 1,424,714 | ||||||||||||||
| CSC Holdings LLC 144A | 5.38 |
| 2-1-2028 |
| 425,000 |
| 450,500 | ||||||||||||||
| CSC Holdings LLC 144A | 5.50 |
| 5-15-2026 |
| 1,275,000 |
| 1,335,824 | ||||||||||||||
| CSC Holdings LLC 144A | 7.75 |
| 7-15-2025 |
| 2,030,000 |
| 2,139,153 | ||||||||||||||
| Diamond Sports Group LLC 144A | 5.38 |
| 8-15-2026 |
| 175,000 |
| 174,318 | ||||||||||||||
| Diamond Sports Group LLC 144A | 6.63 |
| 8-15-2027 |
| 175,000 |
| 163,625 | ||||||||||||||
| DISH Network Corporation | 3.38 |
| 8-15-2026 |
| 1,300,000 |
| 1,261,876 | ||||||||||||||
| Gray Television Incorporated 144A | 5.13 |
| 10-15-2024 |
| 450,000 |
| 464,625 | ||||||||||||||
| Gray Television Incorporated 144A | 5.88 |
| 7-15-2026 |
| 3,875,000 |
| 4,054,219 | ||||||||||||||
| Gray Television Incorporated 144A | 7.00 |
| 5-15-2027 |
| 325,000 |
| 353,860 | ||||||||||||||
| Interpublic Group of Companies | 4.00 |
| 3-15-2022 |
| 750,000 |
| 778,382 | ||||||||||||||
| Lamar Media Corporation 144A%% | 3.75 |
| 2-15-2028 |
| 800,000 |
| 805,344 | ||||||||||||||
| Lamar Media Corporation 144A%% | 4.00 |
| 2-15-2030 |
| 800,000 |
| 806,000 | ||||||||||||||
| Lamar Media Corporation | 5.38 |
| 1-15-2024 |
| 375,000 |
| 382,125 | ||||||||||||||
| Lamar Media Corporation | 5.75 |
| 2-1-2026 |
| 100,000 |
| 105,380 | ||||||||||||||
| Nexstar Broadcasting Incorporated 144A | 5.63 |
| 7-15-2027 |
| 2,000,000 |
| 2,107,600 | ||||||||||||||
| Nielsen Finance LLC 144A | 5.00 |
| 4-15-2022 |
| 1,725,000 |
| 1,733,625 | ||||||||||||||
| Outfront Media Capital Corporation 144A | 4.63 |
| 3-15-2030 |
| 50,000 |
| 51,500 | ||||||||||||||
| Outfront Media Capital Corporation | 5.63 |
| 2-15-2024 |
| 20,000 |
| 20,413 | ||||||||||||||
| QVC Incorporated %% | 4.75 |
| 2-15-2027 |
| 150,000 |
| 151,456 | ||||||||||||||
| Salem Media Group Incorporated 144A | 6.75 |
| 6-1-2024 |
| 2,600,000 |
| 2,509,000 | ||||||||||||||
| Scripps Escrow Incorporated 144A | 5.88 |
| 7-15-2027 |
| 100,000 |
| 104,750 | ||||||||||||||
| Terrier Media Buyer Incorporated 144A | 8.88 |
| 12-15-2027 |
| 75,000 |
| 77,250 | ||||||||||||||
| The E.W. Scripps Company 144A | 5.13 |
| 5-15-2025 |
| 2,460,000 |
| 2,521,500 | ||||||||||||||
| ||||||||||||||||||||||
| ||||||||||||||||||||||
|
| Interest rate | Maturity date |
| Principal | Value | ||||||||||||||||
Wireless Telecommunication Services : 1.73% | ||||||||||||||||||||||
| Sprint Communications Incorporated | 7.00 | % | 8-15-2020 | $ | 225,000 | $ | 228,983 | ||||||||||||||
| Sprint Spectrum Company 144A | 5.15 |
| 9-20-2029 |
| 750,000 |
| 817,500 | ||||||||||||||
| T-Mobile USA Incorporated | 4.00 |
| 4-15-2022 |
| 650,000 |
| 667,875 | ||||||||||||||
| T-Mobile USA Incorporated | 4.50 |
| 2-1-2026 |
| 125,000 |
| 128,554 | ||||||||||||||
| T-Mobile USA Incorporated | 4.75 |
| 2-1-2028 |
| 425,000 |
| 452,094 | ||||||||||||||
| T-Mobile USA Incorporated | 5.13 |
| 4-15-2025 |
| 425,000 |
| 437,669 | ||||||||||||||
| T-Mobile USA Incorporated | 5.38 |
| 4-15-2027 |
| 1,500,000 |
| 1,601,250 | ||||||||||||||
| T-Mobile USA Incorporated | 6.00 |
| 3-1-2023 |
| 300,000 |
| 305,484 | ||||||||||||||
| T-Mobile USA Incorporated | 6.38 |
| 3-1-2025 |
| 975,000 |
| 1,006,385 | ||||||||||||||
| T-Mobile USA Incorporated | 6.50 |
| 1-15-2024 |
| 80,000 |
| 82,100 | ||||||||||||||
| Sprint Capital Corporation | 6.88 |
| 11-15-2028 |
| 175,000 |
| 178,063 | ||||||||||||||
| Sprint Capital Corporation | 8.75 |
| 3-15-2032 |
| 975,000 |
| 1,079,813 | ||||||||||||||
| 6,985,770 | |||||||||||||||||||||
| ||||||||||||||||||||||
Consumer Discretionary : 8.07% | ||||||||||||||||||||||
Auto Components : 1.48% | ||||||||||||||||||||||
| Allison Transmission Incorporated 144A | 4.75 |
| 10-1-2027 |
| 650,000 |
| 673,923 | ||||||||||||||
| Allison Transmission Incorporated 144A | 5.00 |
| 10-1-2024 |
| 2,250,000 |
| 2,292,233 | ||||||||||||||
| Allison Transmission Incorporated 144A | 5.88 |
| 6-1-2029 |
| 400,000 |
| 436,682 | ||||||||||||||
| Cooper Tire & Rubber Company | 7.63 |
| 3-15-2027 |
| 1,710,000 |
| 1,972,913 | ||||||||||||||
| Goodyear Tire & Rubber Company | 8.75 |
| 8-15-2020 |
| 468,000 |
| 483,210 | ||||||||||||||
| Panther BF Aggregator 2 LP 144A | 6.25 |
| 5-15-2026 |
| 125,000 |
| 134,075 | ||||||||||||||
| 5,993,036 | |||||||||||||||||||||
| ||||||||||||||||||||||
Diversified Consumer Services : 1.75% | ||||||||||||||||||||||
| Carriage Services Incorporated 144A | 6.63 |
| 6-1-2026 |
| 1,175,000 |
| 1,251,375 | ||||||||||||||
| Service Corporation International | 4.63 |
| 12-15-2027 |
| 650,000 |
| 679,673 | ||||||||||||||
| Service Corporation International | 5.38 |
| 5-15-2024 |
| 100,000 |
| 102,469 | ||||||||||||||
| Service Corporation International | 7.50 |
| 4-1-2027 |
| 3,400,000 |
| 4,131,000 | ||||||||||||||
| Service Corporation International | 8.00 |
| 11-15-2021 |
| 850,000 |
| 935,000 | ||||||||||||||
| 7,099,517 | |||||||||||||||||||||
| ||||||||||||||||||||||
Hotels, Restaurants & Leisure : 1.59% | ||||||||||||||||||||||
| CCM Merger Incorporated 144A | 6.00 |
| 3-15-2022 |
| 3,698,000 |
| 3,753,470 | ||||||||||||||
| Hilton Domestic Operating Company Incorporated | 4.88 |
| 1-15-2030 |
| 100,000 |
| 105,750 | ||||||||||||||
| Hilton Domestic Operating Company Incorporated | 5.13 |
| 5-1-2026 |
| 425,000 |
| 445,060 | ||||||||||||||
| Wyndham Hotels & Resorts Company 144A | 5.38 |
| 4-15-2026 |
| 1,875,000 |
| 1,961,719 | ||||||||||||||
| Yum! Brands Incorporated 144A | 4.75 |
| 1-15-2030 |
| 150,000 |
| 159,975 | ||||||||||||||
| 6,425,974 | |||||||||||||||||||||
| ||||||||||||||||||||||
Internet & Direct Marketing Retail : 0.19% | ||||||||||||||||||||||
| Expedia Incorporated | 5.95 |
| 8-15-2020 |
| 750,000 |
| 765,960 | ||||||||||||||
| ||||||||||||||||||||||
Multiline Retail : 0.15% | ||||||||||||||||||||||
| Macy's Retail Holdings Incorporated | 3.88 |
| 1-15-2022 |
| 600,000 |
| 610,470 | ||||||||||||||
| ||||||||||||||||||||||
Specialty Retail : 2.33% | ||||||||||||||||||||||
| Advance Auto Parts Incorporated | 4.50 |
| 1-15-2022 |
| 600,000 |
| 626,046 | ||||||||||||||
| Asbury Automotive Group Incorporated | 6.00 |
| 12-15-2024 |
| 1,175,000 |
| 1,210,250 | ||||||||||||||
| Group 1 Automotive Incorporated | 5.00 |
| 6-1-2022 |
| 200,000 |
| 201,000 | ||||||||||||||
| Group 1 Automotive Incorporated 144A | 5.25 |
| 12-15-2023 |
| 1,500,000 |
| 1,541,250 | ||||||||||||||
| Lithia Motors Incorporated 144A | 4.63 |
| 12-15-2027 |
| 150,000 |
| 153,375 | ||||||||||||||
| Lithia Motors Incorporated 144A | 5.25 |
| 8-1-2025 |
| 945,000 |
| 975,713 | ||||||||||||||
| Penske Auto Group Incorporated | 3.75 |
| 8-15-2020 |
| 540,000 |
| 542,363 | ||||||||||||||
| Penske Auto Group Incorporated | 5.38 |
| 12-1-2024 |
| 2,150,000 |
| 2,206,438 | ||||||||||||||
| Penske Auto Group Incorporated | 5.75 |
| 10-1-2022 |
| 1,155,000 |
| 1,167,128 | ||||||||||||||
|
| Interest rate | Maturity date |
| Principal | Value | ||||||||||||||||
Specialty Retail (continued) | ||||||||||||||||||||||
| Sonic Automotive Incorporated | 6.13 | % | 3-15-2027 | $ | 775,000 | $ | 820,961 | ||||||||||||||
| 9,444,524 | |||||||||||||||||||||
| ||||||||||||||||||||||
Textiles, Apparel & Luxury Goods : 0.58% | ||||||||||||||||||||||
| The William Carter Company 144A | 5.63 |
| 3-15-2027 |
| 825,000 |
| 878,505 | ||||||||||||||
| Wolverine World Wide Incorporated 144A | 5.00 |
| 9-1-2026 |
| 1,411,000 |
| 1,456,858 | ||||||||||||||
| 2,335,363 | |||||||||||||||||||||
| ||||||||||||||||||||||
Consumer Staples : 1.13% | ||||||||||||||||||||||
Beverages : 0.17% | ||||||||||||||||||||||
| Cott Beverages Incorporated 144A | 5.50 |
| 4-1-2025 |
| 675,000 |
| 700,313 | ||||||||||||||
| ||||||||||||||||||||||
Food & Staples Retailing : 0.08% | ||||||||||||||||||||||
| Albertsons Companies Incorporated / Safeway Incorporated 144A | 4.63 |
| 1-15-2027 |
| 150,000 |
| 152,082 | ||||||||||||||
| Albertsons Companies Incorporated / Safeway Incorporated 144A%% | 4.88 |
| 2-15-2030 |
| 150,000 |
| 154,125 | ||||||||||||||
| 306,207 | |||||||||||||||||||||
| ||||||||||||||||||||||
Food Products : 0.65% | ||||||||||||||||||||||
| Darling Ingredients Incorporated 144A | 5.25 |
| 4-15-2027 |
| 500,000 |
| 527,500 | ||||||||||||||
| Lamb Weston Holdings Incorporated 144A | 4.63 |
| 11-1-2024 |
| 175,000 |
| 183,750 | ||||||||||||||
| Pilgrim's Pride Corporation 144A | 5.75 |
| 3-15-2025 |
| 1,305,000 |
| 1,340,888 | ||||||||||||||
| Pilgrim's Pride Corporation 144A | 5.88 |
| 9-30-2027 |
| 150,000 |
| 159,105 | ||||||||||||||
| Prestige Brands Incorporated 144A | 5.13 |
| 1-15-2028 |
| 100,000 |
| 104,500 | ||||||||||||||
| Prestige Brands Incorporated 144A | 6.38 |
| 3-1-2024 |
| 280,000 |
| 288,750 | ||||||||||||||
| 2,604,493 | |||||||||||||||||||||
| ||||||||||||||||||||||
Household Products : 0.07% | ||||||||||||||||||||||
| Central Garden & Pet Company | 5.13 |
| 2-1-2028 |
| 225,000 |
| 233,438 | ||||||||||||||
| Spectrum Brands Incorporated | 5.75 |
| 7-15-2025 |
| 50,000 |
| 51,938 | ||||||||||||||
| 285,376 | |||||||||||||||||||||
| ||||||||||||||||||||||
Tobacco : 0.16% | ||||||||||||||||||||||
| Reynolds American Incorporated | 6.88 |
| 5-1-2020 |
| 650,000 |
| 657,877 | ||||||||||||||
| ||||||||||||||||||||||
Energy : 13.35% | ||||||||||||||||||||||
Energy Equipment & Services : 2.42% | ||||||||||||||||||||||
| Bristow Group Incorporated (a)† | 6.25 |
| 10-15-2022 |
| 3,855,000 |
| 0 | ||||||||||||||
| Diamond Offshore Drilling Incorporated | 4.88 |
| 11-1-2043 |
| 1,325,000 |
| 649,250 | ||||||||||||||
| Era Group Incorporated | 7.75 |
| 12-15-2022 |
| 2,350,000 |
| 2,385,250 | ||||||||||||||
| Hilcorp Energy Company 144A | 5.00 |
| 12-1-2024 |
| 1,450,000 |
| 1,319,500 | ||||||||||||||
| Hilcorp Energy Company 144A | 5.75 |
| 10-1-2025 |
| 1,875,000 |
| 1,695,319 | ||||||||||||||
| Hilcorp Energy Company 144A | 6.25 |
| 11-1-2028 |
| 350,000 |
| 311,500 | ||||||||||||||
| NGPL PipeCo LLC 144A | 4.38 |
| 8-15-2022 |
| 350,000 |
| 364,694 | ||||||||||||||
| NGPL PipeCo LLC 144A | 7.77 |
| 12-15-2037 |
| 410,000 |
| 541,975 | ||||||||||||||
| Oceaneering International Incorporated | 6.00 |
| 2-1-2028 |
| 1,725,000 |
| 1,651,688 | ||||||||||||||
| USA Compression Partners LP | 6.88 |
| 4-1-2026 |
| 850,000 |
| 884,000 | ||||||||||||||
| 9,803,176 | |||||||||||||||||||||
| ||||||||||||||||||||||
Oil, Gas & Consumable Fuels : 10.93% | ||||||||||||||||||||||
| Antero Midstream Partners LP 144A | 5.75 |
| 1-15-2028 |
| 1,830,000 |
| 1,423,191 | ||||||||||||||
| Antero Resources Corporation | 5.38 |
| 11-1-2021 |
| 400,000 |
| 382,000 | ||||||||||||||
| Apache Corporation | 4.38 |
| 10-15-2028 |
| 750,000 |
| 798,102 | ||||||||||||||
| Archrock Partners LP 144A | 6.25 |
| 4-1-2028 |
| 150,000 |
| 154,313 | ||||||||||||||
| Archrock Partners LP 144A | 6.88 |
| 4-1-2027 |
| 500,000 |
| 533,353 | ||||||||||||||
| Boardwalk Pipelines LP | 4.80 |
| 5-3-2029 |
| 750,000 |
| 793,037 | ||||||||||||||
| Buckeye Partners LP | 5.85 |
| 11-15-2043 |
| 1,400,000 |
| 1,303,322 | ||||||||||||||
| Carrizo Oil & Gas Incorporated | 8.25 |
| 7-15-2025 |
| 1,000,000 |
| 1,020,270 | ||||||||||||||
|
| Interest rate | Maturity date |
| Principal | Value | ||||||||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||||||||||||
| Carrizo Oil & Gas Incorporated | 6.25 | % | 4-15-2023 | $ | 350,000 | $ | 350,875 | ||||||||||||||
| Cheniere Corpus Christi Holdings LLC | 5.13 |
| 6-30-2027 |
| 900,000 |
| 1,002,814 | ||||||||||||||
| Cheniere Energy Partners LP 144A | 4.50 |
| 10-1-2029 |
| 400,000 |
| 407,000 | ||||||||||||||
| Cheniere Energy Partners LP | 5.25 |
| 10-1-2025 |
| 3,925,000 |
| 4,042,750 | ||||||||||||||
| Cheniere Energy Partners LP | 5.63 |
| 10-1-2026 |
| 300,000 |
| 314,251 | ||||||||||||||
| Denbury Resources Incorporated | 6.38 |
| 12-31-2024 |
| 802,000 |
| 487,060 | ||||||||||||||
| Denbury Resources Incorporated 144A | 7.75 |
| 2-15-2024 |
| 1,123,000 |
| 901,208 | ||||||||||||||
| Denbury Resources Incorporated 144A | 9.00 |
| 5-15-2021 |
| 2,400,000 |
| 2,256,000 | ||||||||||||||
| Denbury Resources Incorporated 144A | 9.25 |
| 3-31-2022 |
| 676,000 |
| 591,078 | ||||||||||||||
| El Paso LLC | 6.50 |
| 4-1-2020 |
| 750,000 |
| 755,085 | ||||||||||||||
| Energy Transfer Partners LP | 5.20 |
| 2-1-2022 |
| 750,000 |
| 786,955 | ||||||||||||||
| EnLink Midstream Partners LP | 4.40 |
| 4-1-2024 |
| 1,025,000 |
| 978,619 | ||||||||||||||
| EnLink Midstream Partners LP | 4.85 |
| 7-15-2026 |
| 600,000 |
| 549,000 | ||||||||||||||
| EnLink Midstream Partners LP | 5.05 |
| 4-1-2045 |
| 1,225,000 |
| 918,750 | ||||||||||||||
| EnLink Midstream Partners LP | 5.38 |
| 6-1-2029 |
| 2,300,000 |
| 2,081,500 | ||||||||||||||
| EnLink Midstream Partners LP | 5.45 |
| 6-1-2047 |
| 50,000 |
| 39,500 | ||||||||||||||
| Enviva Partners LP 144A | 6.50 |
| 1-15-2026 |
| 1,025,000 |
| 1,093,439 | ||||||||||||||
| Gulfport Energy Corporation | 6.00 |
| 10-15-2024 |
| 2,150,000 |
| 1,185,080 | ||||||||||||||
| Indigo Natural Resources LLC 144A | 6.88 |
| 2-15-2026 |
| 650,000 |
| 594,750 | ||||||||||||||
| Kinder Morgan Energy Partners LP | 3.95 |
| 9-1-2022 |
| 750,000 |
| 784,137 | ||||||||||||||
| Kinder Morgan Incorporated | 6.50 |
| 9-15-2020 |
| 285,000 |
| 292,923 | ||||||||||||||
| Kinder Morgan Incorporated | 7.42 |
| 2-15-2037 |
| 800,000 |
| 1,007,679 | ||||||||||||||
| MPLX LP 144A | 6.38 |
| 5-1-2024 |
| 450,000 |
| 468,380 | ||||||||||||||
| Murphy Oil Corporation | 4.75 |
| 9-15-2029 |
| 75,000 |
| 78,375 | ||||||||||||||
| Murphy Oil Corporation | 5.75 |
| 8-15-2025 |
| 185,000 |
| 190,435 | ||||||||||||||
| Murphy Oil Corporation | 5.88 |
| 12-1-2027 |
| 150,000 |
| 153,750 | ||||||||||||||
| Murphy Oil Corporation | 6.88 |
| 8-15-2024 |
| 850,000 |
| 886,125 | ||||||||||||||
| Nabors Industries Incorporated | 4.63 |
| 9-15-2021 |
| 78,000 |
| 78,000 | ||||||||||||||
| Phillips 66 | 4.30 |
| 4-1-2022 |
| 625,000 |
| 657,081 | ||||||||||||||
| Pioneer Natural Resources Company | 3.95 |
| 7-15-2022 |
| 750,000 |
| 783,991 | ||||||||||||||
| Rockies Express Pipeline LLC 144A | 3.60 |
| 5-15-2025 |
| 750,000 |
| 755,318 | ||||||||||||||
| Rockies Express Pipeline LLC 144A | 4.80 |
| 5-15-2030 |
| 750,000 |
| 737,175 | ||||||||||||||
| Rockies Express Pipeline LLC 144A | 5.63 |
| 4-15-2020 |
| 2,625,000 |
| 2,638,125 | ||||||||||||||
| Rockies Express Pipeline LLC 144A | 6.88 |
| 4-15-2040 |
| 1,599,000 |
| 1,706,133 | ||||||||||||||
| Rockies Express Pipeline LLC 144A | 7.50 |
| 7-15-2038 |
| 240,000 |
| 264,944 | ||||||||||||||
| Southern Star Central Corporation 144A | 5.13 |
| 7-15-2022 |
| 925,000 |
| 935,826 | ||||||||||||||
| Southwestern Energy Company | 7.50 |
| 4-1-2026 |
| 400,000 |
| 333,880 | ||||||||||||||
| Southwestern Energy Company | 7.75 |
| 10-1-2027 |
| 975,000 |
| 809,250 | ||||||||||||||
| Summit Midstream Holdings LLC | 5.75 |
| 4-15-2025 |
| 225,000 |
| 173,063 | ||||||||||||||
| Tallgrass Energy Partners LP 144A | 5.50 |
| 9-15-2024 |
| 3,850,000 |
| 3,888,577 | ||||||||||||||
| Ultra Resources Incorporated 144A | 7.13 |
| 4-15-2025 |
| 2,425,000 |
| 163,688 | ||||||||||||||
| Whiting Petroleum Corporation | 1.25 |
| 4-1-2020 |
| 683,000 |
| 675,330 | ||||||||||||||
| 44,205,487 | |||||||||||||||||||||
| ||||||||||||||||||||||
Financials : 6.98% | ||||||||||||||||||||||
Banks : 1.24% | ||||||||||||||||||||||
| Bank of America Corporation | 5.70 |
| 1-24-2022 |
| 250,000 |
| 269,363 | ||||||||||||||
| Citigroup Incorporated | 4.13 |
| 3-9-2021 |
| 60,000 |
| 60,960 | ||||||||||||||
| Citigroup Incorporated | 4.50 |
| 1-14-2022 |
| 250,000 |
| 262,742 | ||||||||||||||
| Citigroup Incorporated (U.S. SOFR +3.23%) ± | 4.70 |
| 12-31-2099 |
| 750,000 |
| 763,838 | ||||||||||||||
| Citigroup Incorporated | 6.13 |
| 3-9-2028 |
| 75,000 |
| 89,292 | ||||||||||||||
| City National Bank | 5.38 |
| 7-15-2022 |
| 500,000 |
| 538,339 | ||||||||||||||
| International Finance Corporation | 7.50 |
| 5-9-2022 |
| 4,000,000 |
| 997,095 | ||||||||||||||
| International Finance Corporation | 7.50 |
| 5-9-2022 |
| 5,000,000 |
| 1,246,369 | ||||||||||||||
| JPMorgan Chase & Company (3 Month LIBOR +3.25%) ± | 5.15 |
| 12-29-2049 |
| 750,000 |
| 785,625 | ||||||||||||||
| 5,013,623 | |||||||||||||||||||||
| ||||||||||||||||||||||
Capital Markets : 0.23% | ||||||||||||||||||||||
| ACE Securities Corporation (1 Month LIBOR +2.63%) ± | 4.29 |
| 6-25-2033 |
| 67,553 |
| 67,588 | ||||||||||||||
| AG Issuer LLC 144A%% | 6.25 |
| 3-1-2028 |
| 50,000 |
| 50,000 | ||||||||||||||
| Goldman Sachs Group Incorporated | 5.75 |
| 1-24-2022 |
| 750,000 |
| 806,661 | ||||||||||||||
| 924,249 | |||||||||||||||||||||
| ||||||||||||||||||||||
|
| Interest rate | Maturity date |
| Principal | Value | ||||||||||||||||
Consumer Finance : 1.51% | ||||||||||||||||||||||
| Ally Financial Incorporated | 8.00 | % | 3-15-2020 | $ | 880,000 | $ | 885,500 | ||||||||||||||
| Discover Financial Services | 5.20 |
| 4-27-2022 |
| 750,000 |
| 802,171 | ||||||||||||||
| FirstCash Incorporated 144A | 5.38 |
| 6-1-2024 |
| 575,000 |
| 592,969 | ||||||||||||||
| Navient Corporation | 8.00 |
| 3-25-2020 |
| 309,000 |
| 311,163 | ||||||||||||||
| Springleaf Finance Corporation | 5.38 |
| 11-15-2029 |
| 625,000 |
| 649,938 | ||||||||||||||
| Springleaf Finance Corporation | 6.13 |
| 3-15-2024 |
| 750,000 |
| 813,750 | ||||||||||||||
| Springleaf Finance Corporation | 6.63 |
| 1-15-2028 |
| 100,000 |
| 112,500 | ||||||||||||||
| Springleaf Finance Corporation | 7.13 |
| 3-15-2026 |
| 925,000 |
| 1,061,299 | ||||||||||||||
| Synchrony Financial | 5.15 |
| 3-19-2029 |
| 750,000 |
| 867,241 | ||||||||||||||
| 6,096,531 | |||||||||||||||||||||
| ||||||||||||||||||||||
Diversified Financial Services : 1.23% | ||||||||||||||||||||||
| Jefferies Finance LLC 144A | 6.25 |
| 6-3-2026 |
| 1,075,000 |
| 1,131,438 | ||||||||||||||
| LPL Holdings Incorporated 144A | 5.75 |
| 9-15-2025 |
| 3,700,000 |
| 3,857,250 | ||||||||||||||
| 4,988,688 | |||||||||||||||||||||
| ||||||||||||||||||||||
Insurance : 2.77% | ||||||||||||||||||||||
| American International Group Incorporated | 4.88 |
| 6-1-2022 |
| 750,000 |
| 800,977 | ||||||||||||||
| AmWINS Group Incorporated 144A | 7.75 |
| 7-1-2026 |
| 1,625,000 |
| 1,773,939 | ||||||||||||||
| Assurant Incorporated | 3.70 |
| 2-22-2030 |
| 750,000 |
| 790,110 | ||||||||||||||
| Athene Holding Limited | 4.13 |
| 1-12-2028 |
| 750,000 |
| 797,422 | ||||||||||||||
| Brighthouse Financial Incorporated | 4.70 |
| 6-22-2047 |
| 850,000 |
| 817,113 | ||||||||||||||
| HUB International Limited 144A | 7.00 |
| 5-1-2026 |
| 625,000 |
| 643,719 | ||||||||||||||
| Liberty Mutual Group Incorporated 144A | 4.57 |
| 2-1-2029 |
| 750,000 |
| 864,750 | ||||||||||||||
| NFP Corporation 144A | 6.88 |
| 7-15-2025 |
| 400,000 |
| 406,804 | ||||||||||||||
| ProAssurance Corporation | 5.30 |
| 11-15-2023 |
| 750,000 |
| 820,842 | ||||||||||||||
| Prudential Financial Incorporated (3 Month LIBOR +2.38%) ± | 4.50 |
| 9-15-2047 |
| 750,000 |
| 797,340 | ||||||||||||||
| Sammons Financial Group Incorporated 144A | 4.45 |
| 5-12-2027 |
| 750,000 |
| 812,381 | ||||||||||||||
| USI Incorporated 144A | 6.88 |
| 5-1-2025 |
| 1,175,000 |
| 1,204,399 | ||||||||||||||
| W.R. Berkley Corporation | 4.63 |
| 3-15-2022 |
| 650,000 |
| 687,353 | ||||||||||||||
| 11,217,149 | |||||||||||||||||||||
| ||||||||||||||||||||||
Health Care : 6.45% | ||||||||||||||||||||||
Health Care Equipment & Supplies : 0.89% | ||||||||||||||||||||||
| Hill-Rom Holdings Incorporated 144A | 4.38 |
| 9-15-2027 |
| 475,000 |
| 484,764 | ||||||||||||||
| Hill-Rom Holdings Incorporated 144A | 5.00 |
| 2-15-2025 |
| 400,000 |
| 413,500 | ||||||||||||||
| Hologic Incorporated 144A | 4.38 |
| 10-15-2025 |
| 1,925,000 |
| 1,960,285 | ||||||||||||||
| Hologic Incorporated 144A | 4.63 |
| 2-1-2028 |
| 225,000 |
| 236,724 | ||||||||||||||
| Surgery Center Holdings Incorporated 144A | 6.75 |
| 7-1-2025 |
| 500,000 |
| 507,085 | ||||||||||||||
| 3,602,358 | |||||||||||||||||||||
| ||||||||||||||||||||||
Health Care Providers & Services : 4.59% | ||||||||||||||||||||||
| Acadia Healthcare Company Incorporated | 6.50 |
| 3-1-2024 |
| 190,000 |
| 195,641 | ||||||||||||||
| Centene Corporation 144A | 5.38 |
| 6-1-2026 |
| 575,000 |
| 611,656 | ||||||||||||||
| Centene Corporation 144A | 5.38 |
| 8-15-2026 |
| 125,000 |
| 132,656 | ||||||||||||||
| Centene Corporation | 6.13 |
| 2-15-2024 |
| 325,000 |
| 335,563 | ||||||||||||||
| CHS Incorporated | 5.13 |
| 8-1-2021 |
| 2,350,000 |
| 2,351,880 | ||||||||||||||
| Cigna Corporation 144A | 3.90 |
| 2-15-2022 |
| 315,000 |
| 327,337 | ||||||||||||||
| CommonSpirit Health AGM Insured | 3.82 |
| 10-1-2049 |
| 750,000 |
| 783,195 | ||||||||||||||
| Community Health Systems Incorporated 144A%% | 6.63 |
| 2-15-2025 |
| 975,000 |
| 984,926 | ||||||||||||||
| Davita Incorporated | 5.00 |
| 5-1-2025 |
| 950,000 |
| 973,750 | ||||||||||||||
| Encompass Health Corporation | 4.50 |
| 2-1-2028 |
| 125,000 |
| 128,755 | ||||||||||||||
| Encompass Health Corporation | 4.75 |
| 2-1-2030 |
| 125,000 |
| 130,000 | ||||||||||||||
| HCA Incorporated | 5.25 |
| 6-15-2026 |
| 325,000 |
| 371,476 | ||||||||||||||
| HealthSouth Corporation | 5.75 |
| 9-15-2025 |
| 575,000 |
| 598,000 | ||||||||||||||
| MEDNAX Incorporated 144A | 5.25 |
| 12-1-2023 |
| 475,000 |
| 484,500 | ||||||||||||||
| MEDNAX Incorporated 144A | 6.25 |
| 1-15-2027 |
| 550,000 |
| 560,313 | ||||||||||||||
| MPH Acquisition Holdings LLC 144A | 7.13 |
| 6-1-2024 |
| 2,861,000 |
| 2,771,222 | ||||||||||||||
| MPT Operating Partnership LP | 4.63 |
| 8-1-2029 |
| 325,000 |
| 340,031 | ||||||||||||||
| MPT Operating Partnership LP | 5.00 |
| 10-15-2027 |
| 1,100,000 |
| 1,156,320 | ||||||||||||||
| MPT Operating Partnership LP | 5.25 |
| 8-1-2026 |
| 1,575,000 |
| 1,651,781 | ||||||||||||||
| MPT Operating Partnership LP | 6.38 |
| 3-1-2024 |
| 110,000 |
| 113,551 | ||||||||||||||
| NVA Holdings Company 144A | 6.88 |
| 4-1-2026 |
| 200,000 |
| 216,000 | ||||||||||||||
|
| Interest rate | Maturity date |
| Principal | Value | ||||||||||||||||
Health Care Providers & Services (continued) | ||||||||||||||||||||||
| Polaris Intermediate Corporation 144A | 8.50 | % | 12-1-2022 | $ | 475,000 | $ | 443,175 | ||||||||||||||
| Select Medical Corporation 144A | 6.25 |
| 8-15-2026 |
| 900,000 |
| 970,947 | ||||||||||||||
| Tenet Healthcare Corporation | 4.63 |
| 7-15-2024 |
| 436,000 |
| 446,900 | ||||||||||||||
| Tenet Healthcare Corporation 144A | 4.88 |
| 1-1-2026 |
| 1,025,000 |
| 1,066,000 | ||||||||||||||
| Tenet Healthcare Corporation 144A | 5.13 |
| 11-1-2027 |
| 225,000 |
| 236,813 | ||||||||||||||
| Vizient Incorporated 144A | 6.25 |
| 5-15-2027 |
| 175,000 |
| 188,633 | ||||||||||||||
| 18,571,021 | |||||||||||||||||||||
| ||||||||||||||||||||||
Health Care Technology : 0.55% | ||||||||||||||||||||||
| Change Healthcare Holdings Incorporated 144A | 5.75 |
| 3-1-2025 |
| 1,950,000 |
| 1,986,036 | ||||||||||||||
| Quintiles IMS Holdings Incorporated 144A | 5.00 |
| 10-15-2026 |
| 225,000 |
| 235,406 | ||||||||||||||
| 2,221,442 | |||||||||||||||||||||
| ||||||||||||||||||||||
Life Sciences Tools & Services : 0.13% | ||||||||||||||||||||||
| Charles River Laboratories Incorporated 144A | 4.25 |
| 5-1-2028 |
| 75,000 |
| 76,094 | ||||||||||||||
| Charles River Laboratories Incorporated 144A | 5.50 |
| 4-1-2026 |
| 275,000 |
| 292,531 | ||||||||||||||
| Ortho-Clinical Diagnostics Incorporated 144A | 7.25 |
| 2-1-2028 |
| 150,000 |
| 152,645 | ||||||||||||||
| 521,270 | |||||||||||||||||||||
| ||||||||||||||||||||||
Pharmaceuticals : 0.29% | ||||||||||||||||||||||
| Bausch Health Companies Incorporated 144A | 5.00 |
| 1-30-2028 |
| 250,000 |
| 253,125 | ||||||||||||||
| Bausch Health Companies Incorporated 144A | 5.25 |
| 1-30-2030 |
| 250,000 |
| 254,688 | ||||||||||||||
| Bausch Health Companies Incorporated 144A | 5.75 |
| 8-15-2027 |
| 75,000 |
| 80,243 | ||||||||||||||
| Bausch Health Companies Incorporated 144A | 7.00 |
| 1-15-2028 |
| 100,000 |
| 108,314 | ||||||||||||||
| Bausch Health Companies Incorporated 144A | 7.25 |
| 5-30-2029 |
| 50,000 |
| 56,032 | ||||||||||||||
| Bausch Health Companies Incorporated 144A | 8.50 |
| 1-31-2027 |
| 375,000 |
| 424,219 | ||||||||||||||
| 1,176,621 | |||||||||||||||||||||
| ||||||||||||||||||||||
Industrials : 6.36% | ||||||||||||||||||||||
Aerospace & Defense : 1.37% | ||||||||||||||||||||||
| BBA US Holdings Incorporated 144A | 4.00 |
| 3-1-2028 |
| 600,000 |
| 593,441 | ||||||||||||||
| BBA US Holdings Incorporated 144A | 5.38 |
| 5-1-2026 |
| 2,025,000 |
| 2,094,063 | ||||||||||||||
| L3Harris Technologies Incorporated 144A | 4.95 |
| 2-15-2021 |
| 750,000 |
| 767,063 | ||||||||||||||
| Moog Incorporated 144A | 4.25 |
| 12-15-2027 |
| 150,000 |
| 153,773 | ||||||||||||||
| RBS Global & Rexnord LLC 144A | 4.88 |
| 12-15-2025 |
| 1,879,000 |
| 1,920,996 | ||||||||||||||
| 5,529,336 | |||||||||||||||||||||
| ||||||||||||||||||||||
Air Freight & Logistics : 0.11% | ||||||||||||||||||||||
| Cargo Aircraft Management Company 144A | 4.75 |
| 2-1-2028 |
| 425,000 |
| 431,392 | ||||||||||||||
| ||||||||||||||||||||||
Airlines : 0.35% | ||||||||||||||||||||||
| Aviation Capital Group Corporation 144A | 6.75 |
| 4-6-2021 |
| 1,100,000 |
| 1,158,593 | ||||||||||||||
| Delta Air Lines Incorporated | 4.75 |
| 11-7-2021 |
| 251,938 |
| 253,826 | ||||||||||||||
| 1,412,419 | |||||||||||||||||||||
| ||||||||||||||||||||||
Commercial Services & Supplies : 2.81% | ||||||||||||||||||||||
| Advanced Disposal Services Incorporated 144A | 5.63 |
| 11-15-2024 |
| 1,750,000 |
| 1,822,625 | ||||||||||||||
| Covanta Holding Corporation | 5.88 |
| 3-1-2024 |
| 1,530,000 |
| 1,556,775 | ||||||||||||||
| Covanta Holding Corporation | 5.88 |
| 7-1-2025 |
| 515,000 |
| 534,152 | ||||||||||||||
| Covanta Holding Corporation | 6.00 |
| 1-1-2027 |
| 575,000 |
| 598,000 | ||||||||||||||
| IAA Spinco Incorporated 144A | 5.50 |
| 6-15-2027 |
| 1,700,000 |
| 1,803,955 | ||||||||||||||
| KAR Auction Services Incorporated 144A | 5.13 |
| 6-1-2025 |
| 4,950,000 |
| 5,077,859 | ||||||||||||||
| 11,393,366 | |||||||||||||||||||||
| ||||||||||||||||||||||
Industrial Conglomerates : 0.17% | ||||||||||||||||||||||
| General Electric Capital Corporation | 4.65 |
| 10-17-2021 |
| 187,000 |
| 195,359 | ||||||||||||||
|
| Interest rate | Maturity date |
| Principal | Value | ||||||||||||||||
Industrial Conglomerates (continued) | ||||||||||||||||||||||
| General Electric Company | 4.63 | % | 1-7-2021 | $ | 505,000 | $ | 517,099 | ||||||||||||||
| 712,458 | |||||||||||||||||||||
| ||||||||||||||||||||||
Machinery : 0.91% | ||||||||||||||||||||||
| Harsco Corporation 144A | 5.75 |
| 7-31-2027 |
| 75,000 |
| 76,688 | ||||||||||||||
| Stevens Holding Company Incorporated 144A | 6.13 |
| 10-1-2026 |
| 1,425,000 |
| 1,560,375 | ||||||||||||||
| Trimas Corporation 144A | 4.88 |
| 10-15-2025 |
| 1,997,000 |
| 2,046,925 | ||||||||||||||
| 3,683,988 | |||||||||||||||||||||
| ||||||||||||||||||||||
Professional Services : 0.14% | ||||||||||||||||||||||
| Verisk Analytics Incorporated | 5.80 |
| 5-1-2021 |
| 530,000 |
| 554,615 | ||||||||||||||
| ||||||||||||||||||||||
Trading Companies & Distributors : 0.50% | ||||||||||||||||||||||
| Fortress Transportation & Infrastructure Investors LLC 144A | 6.50 |
| 10-1-2025 |
| 1,900,000 |
| 2,017,173 | ||||||||||||||
| ||||||||||||||||||||||
Information Technology : 6.26% | ||||||||||||||||||||||
Communications Equipment : 0.21% | ||||||||||||||||||||||
| CommScope Technologies Finance LLC 144A | 6.00 |
| 6-15-2025 |
| 825,000 |
| 787,364 | ||||||||||||||
| CommScope Technologies Finance LLC 144A | 8.25 |
| 3-1-2027 |
| 50,000 |
| 51,375 | ||||||||||||||
| 838,739 | |||||||||||||||||||||
| ||||||||||||||||||||||
Electronic Equipment, Instruments & Components : 0.17% | ||||||||||||||||||||||
| Keysight Technologies | 4.60 |
| 4-6-2027 |
| 600,000 |
| 680,792 | ||||||||||||||
| ||||||||||||||||||||||
IT Services : 1.76% | ||||||||||||||||||||||
| Alliance Data Systems Corporation 144A | 4.75 |
| 12-15-2024 |
| 325,000 |
| 324,041 | ||||||||||||||
| Cardtronics Incorporated 144A | 5.50 |
| 5-1-2025 |
| 2,850,000 |
| 2,949,750 | ||||||||||||||
| Gartner Incorporated 144A | 5.13 |
| 4-1-2025 |
| 1,525,000 |
| 1,585,360 | ||||||||||||||
| Infor US Incorporated | 6.50 |
| 5-15-2022 |
| 550,000 |
| 552,167 | ||||||||||||||
| Zayo Group LLC 144A | 5.75 |
| 1-15-2027 |
| 625,000 |
| 638,219 | ||||||||||||||
| Zayo Group LLC | 6.38 |
| 5-15-2025 |
| 1,043,000 |
| 1,065,946 | ||||||||||||||
| 7,115,483 | |||||||||||||||||||||
| ||||||||||||||||||||||
Semiconductors & Semiconductor Equipment : 0.23% | ||||||||||||||||||||||
| Broadcom Corporation | 3.50 |
| 1-15-2028 |
| 750,000 |
| 773,605 | ||||||||||||||
| Qorvo Incorporated 144A | 4.38 |
| 10-15-2029 |
| 175,000 |
| 182,875 | ||||||||||||||
| 956,480 | |||||||||||||||||||||
| ||||||||||||||||||||||
Software : 0.96% | ||||||||||||||||||||||
| CDK Global Incorporated | 5.00 |
| 10-15-2024 |
| 225,000 |
| 245,390 | ||||||||||||||
| CDK Global Incorporated 144A | 5.25 |
| 5-15-2029 |
| 175,000 |
| 187,250 | ||||||||||||||
| CDK Global Incorporated | 5.88 |
| 6-15-2026 |
| 175,000 |
| 185,938 | ||||||||||||||
| Fair Isaac Corporation 144A | 4.00 |
| 6-15-2028 |
| 150,000 |
| 152,625 | ||||||||||||||
| Fair Isaac Corporation 144A | 5.25 |
| 5-15-2026 |
| 950,000 |
| 1,047,375 | ||||||||||||||
| IQVIA Incorporated 144A | 5.00 |
| 5-15-2027 |
| 250,000 |
| 263,760 | ||||||||||||||
| SS&C Technologies Incorporated 144A | 5.50 |
| 9-30-2027 |
| 500,000 |
| 528,900 | ||||||||||||||
| Symantec Corporation 144A | 5.00 |
| 4-15-2025 |
| 475,000 |
| 485,095 | ||||||||||||||
| VMware Incorporated | 3.90 |
| 8-21-2027 |
| 750,000 |
| 798,526 | ||||||||||||||
| 3,894,859 | |||||||||||||||||||||
| ||||||||||||||||||||||
Technology Hardware, Storage & Peripherals : 2.93% | ||||||||||||||||||||||
| Dell International LLC 144A | 5.88 |
| 6-15-2021 |
| 662,000 |
| 668,289 | ||||||||||||||
| Dell International LLC 144A | 7.13 |
| 6-15-2024 |
| 4,525,000 |
| 4,756,906 | ||||||||||||||
| Diamond 1 Finance Corporation 144A | 6.02 |
| 6-15-2026 |
| 750,000 |
| 876,059 | ||||||||||||||
| Hewlett-Packard Company | 4.05 |
| 9-15-2022 |
| 750,000 |
| 791,991 | ||||||||||||||
| NCR Corporation | 6.38 |
| 12-15-2023 |
| 4,650,000 |
| 4,767,552 | ||||||||||||||
| 11,860,797 | |||||||||||||||||||||
| ||||||||||||||||||||||
|
| Interest rate | Maturity date |
| Principal | Value | ||||||||||||||||
Materials : 2.99% | ||||||||||||||||||||||
Chemicals : 0.10% | ||||||||||||||||||||||
| Valvoline Incorporated | 5.50 | % | 7-15-2024 | $ | 375,000 | $ | 388,594 | ||||||||||||||
| ||||||||||||||||||||||
Containers & Packaging : 2.62% | ||||||||||||||||||||||
| Ball Corporation | 4.88 |
| 3-15-2026 |
| 575,000 |
| 629,625 | ||||||||||||||
| Ball Corporation | 5.00 |
| 3-15-2022 |
| 25,000 |
| 26,406 | ||||||||||||||
| Ball Corporation | 5.25 |
| 7-1-2025 |
| 190,000 |
| 212,800 | ||||||||||||||
| Berry Global Incorporated 144A | 4.88 |
| 7-15-2026 |
| 500,000 |
| 522,426 | ||||||||||||||
| Berry Global Incorporated | 5.13 |
| 7-15-2023 |
| 350,000 |
| 356,132 | ||||||||||||||
| Berry Global Incorporated 144A | 5.63 |
| 7-15-2027 |
| 175,000 |
| 185,719 | ||||||||||||||
| Berry Global Incorporated | 6.00 |
| 10-15-2022 |
| 107,000 |
| 108,873 | ||||||||||||||
| Crown Americas Capital Corporation V | 4.25 |
| 9-30-2026 |
| 100,000 |
| 104,250 | ||||||||||||||
| Crown Americas Capital Corporation VI | 4.75 |
| 2-1-2026 |
| 975,000 |
| 1,012,781 | ||||||||||||||
| Crown Cork & Seal Company Incorporated | 7.38 |
| 12-15-2026 |
| 750,000 |
| 886,875 | ||||||||||||||
| Flex Acquisition Company Incorporated 144A | 6.88 |
| 1-15-2025 |
| 1,500,000 |
| 1,505,625 | ||||||||||||||
| Flex Acquisition Company Incorporated 144A | 7.88 |
| 7-15-2026 |
| 275,000 |
| 279,910 | ||||||||||||||
| Owens-Brockway Packaging Incorporated 144A | 5.88 |
| 8-15-2023 |
| 325,000 |
| 347,344 | ||||||||||||||
| Owens-Brockway Packaging Incorporated 144A | 6.38 |
| 8-15-2025 |
| 2,375,000 |
| 2,648,125 | ||||||||||||||
| Reynolds Group Issuer Incorporated 144A | 5.13 |
| 7-15-2023 |
| 675,000 |
| 691,031 | ||||||||||||||
| Sealed Air Corporation 144A | 5.25 |
| 4-1-2023 |
| 325,000 |
| 345,313 | ||||||||||||||
| Silgan Holdings Incorporated 144A | 4.13 |
| 2-1-2028 |
| 750,000 |
| 745,500 | ||||||||||||||
| 10,608,735 | |||||||||||||||||||||
| ||||||||||||||||||||||
Metals & Mining : 0.18% | ||||||||||||||||||||||
| Indalex Holdings Corporation (a)† | 11.50 |
| 2-1-2020 |
| 3,108,611 |
| 0 | ||||||||||||||
| Kaiser Aluminum Corporation 144A | 4.63 |
| 3-1-2028 |
| 300,000 |
| 306,000 | ||||||||||||||
| Novelis Corporation 144A | 5.88 |
| 9-30-2026 |
| 400,000 |
| 424,000 | ||||||||||||||
| 730,000 | |||||||||||||||||||||
| ||||||||||||||||||||||
Paper & Forest Products : 0.09% | ||||||||||||||||||||||
| Clearwater Paper Corporation 144A | 5.38 |
| 2-1-2025 |
| 350,000 |
| 364,000 | ||||||||||||||
| ||||||||||||||||||||||
Real Estate : 2.66% | ||||||||||||||||||||||
Equity REITs : 2.66% | ||||||||||||||||||||||
| CoreCivic Incorporated | 5.00 |
| 10-15-2022 |
| 575,000 |
| 589,375 | ||||||||||||||
| DDR Corporation | 4.70 |
| 6-1-2027 |
| 600,000 |
| 660,715 | ||||||||||||||
| Equinix Incorporated | 5.88 |
| 1-15-2026 |
| 425,000 |
| 450,500 | ||||||||||||||
| ESH Hospitality Incorporated 144A | 4.63 |
| 10-1-2027 |
| 425,000 |
| 427,125 | ||||||||||||||
| ESH Hospitality Incorporated 144A | 5.25 |
| 5-1-2025 |
| 1,750,000 |
| 1,793,750 | ||||||||||||||
| Iron Mountain Incorporated 144A | 5.38 |
| 6-1-2026 |
| 150,000 |
| 156,000 | ||||||||||||||
| Iron Mountain Incorporated | 6.00 |
| 8-15-2023 |
| 2,500,000 |
| 2,553,125 | ||||||||||||||
| Omega HealthCare Investors Incorporated | 4.50 |
| 4-1-2027 |
| 600,000 |
| 660,299 | ||||||||||||||
| SBA Communications Corporation 144A%% | 3.88 |
| 2-15-2027 |
| 300,000 |
| 304,125 | ||||||||||||||
| SBA Communications Corporation | 4.00 |
| 10-1-2022 |
| 225,000 |
| 228,938 | ||||||||||||||
| SBA Communications Corporation | 4.88 |
| 7-15-2022 |
| 640,000 |
| 648,128 | ||||||||||||||
| The Geo Group Incorporated | 5.13 |
| 4-1-2023 |
| 800,000 |
| 754,000 | ||||||||||||||
| The Geo Group Incorporated | 5.88 |
| 1-15-2022 |
| 600,000 |
| 592,500 | ||||||||||||||
| The Geo Group Incorporated | 5.88 |
| 10-15-2024 |
| 840,000 |
| 779,100 | ||||||||||||||
| The Geo Group Incorporated | 6.00 |
| 4-15-2026 |
| 184,000 |
| 163,760 | ||||||||||||||
| 10,761,440 | |||||||||||||||||||||
| ||||||||||||||||||||||
Utilities : 4.96% | ||||||||||||||||||||||
Electric Utilities : 0.76% | ||||||||||||||||||||||
| Great Plains Energy Incorporated | 4.85 |
| 6-1-2021 |
| 750,000 |
| 774,593 | ||||||||||||||
| NextEra Energy Operating Partners LP 144A | 4.25 |
| 7-15-2024 |
| 775,000 |
| 808,108 | ||||||||||||||
| NextEra Energy Operating Partners LP 144A | 4.25 |
| 9-15-2024 |
| 175,000 |
| 182,219 | ||||||||||||||
| NextEra Energy Operating Partners LP 144A | 4.50 |
| 9-15-2027 |
| 1,250,000 |
| 1,303,569 | ||||||||||||||
| 3,068,489 | |||||||||||||||||||||
| ||||||||||||||||||||||
|
| Interest rate | Maturity date |
| Principal | Value | ||||||||||||||||
Gas Utilities : 0.33% | ||||||||||||||||||||||
| AmeriGas Partners LP | 5.75 | % | 5-20-2027 | $ | 1,000,000 | $ | 1,092,500 | ||||||||||||||
| Suburban Propane Partners LP | 5.88 |
| 3-1-2027 |
| 225,000 |
| 231,750 | ||||||||||||||
| 1,324,250 | |||||||||||||||||||||
| ||||||||||||||||||||||
Independent Power & Renewable Electricity Producers : 3.68% | ||||||||||||||||||||||
| NSG Holdings LLC 144A | 7.75 |
| 12-15-2025 |
| 3,631,642 |
| 4,058,360 | ||||||||||||||
| Pattern Energy Group Incorporated 144A | 5.88 |
| 2-1-2024 |
| 5,225,000 |
| 5,368,688 | ||||||||||||||
| TerraForm Power Operating LLC 144A | 4.25 |
| 1-31-2023 |
| 3,025,000 |
| 3,109,307 | ||||||||||||||
| TerraForm Power Operating LLC 144A | 4.75 |
| 1-15-2030 |
| 375,000 |
| 395,175 | ||||||||||||||
| TerraForm Power Operating LLC 144A | 5.00 |
| 1-31-2028 |
| 675,000 |
| 729,000 | ||||||||||||||
| TerraForm Global Operating LLC 144A | 6.13 |
| 3-1-2026 |
| 1,175,000 |
| 1,224,938 | ||||||||||||||
| 14,885,468 | |||||||||||||||||||||
| ||||||||||||||||||||||
Multi-Utilities : 0.19% | ||||||||||||||||||||||
| CMS Energy Corporation | 5.05 |
| 3-15-2022 |
| 750,000 |
| 792,636 | ||||||||||||||
| ||||||||||||||||||||||
Total Corporate Bonds and Notes (Cost $283,885,608) |
| 287,161,856 | ||||||||||||||||||||
| ||||||||||||||||||||||
Foreign Corporate Bonds and Notes : 4.30% | ||||||||||||||||||||||
Financials : 4.30% | ||||||||||||||||||||||
Banks : 4.23% | ||||||||||||||||||||||
| European Investment Bank | 7.25 |
| 6-28-2021 |
| BRL | 9,000,000 |
| 2,195,802 | |||||||||||||
| European Investment Bank | 8.00 |
| 5-5-2027 |
| ZAR | 21,000,000 |
| 1,471,770 | |||||||||||||
| European Investment Bank | 8.38 |
| 7-29-2022 |
| ZAR | 40,000,000 |
| 2,790,845 | |||||||||||||
| European Investment Bank | 8.75 |
| 8-18-2025 |
| ZAR | 20,000,000 |
| 1,431,456 | |||||||||||||
| European Investment Bank | 9.00 |
| 3-31-2021 |
| ZAR | 17,400,000 |
| 1,193,312 | |||||||||||||
| International Bank for Reconstruction & Development | 7.00 |
| 6-7-2023 |
| ZAR | 15,000,000 |
| 1,016,574 | |||||||||||||
| International Bank for Reconstruction & Development | 7.50 |
| 6-9-2021 |
| BRL | 5,000,000 |
| 1,214,706 | |||||||||||||
| International Bank for Reconstruction & Development | 8.25 |
| 6-22-2023 |
| BRL | 9,000,000 |
| 2,323,932 | |||||||||||||
| KfW | 7.50 |
| 11-10-2022 |
| ZAR | 36,000,000 |
| 2,466,273 | |||||||||||||
| Landwirtschaftliche Rentenbank | 8.25 |
| 5-23-2022 |
| ZAR | 15,000,000 |
| 1,031,615 | |||||||||||||
| 17,136,285 | |||||||||||||||||||||
| ||||||||||||||||||||||
Diversified Financial Services : 0.07% | ||||||||||||||||||||||
| AA Bond Company Limited | 4.25 |
| 7-31-2043 |
| GBP | 200,000 |
| 267,106 | |||||||||||||
| ||||||||||||||||||||||
Total Foreign Corporate Bonds and Notes (Cost $19,142,046) |
| 17,403,391 | ||||||||||||||||||||
| ||||||||||||||||||||||
Foreign Government Bonds : 25.92% | ||||||||||||||||||||||
| Colombia | 7.50 |
| 8-26-2026 |
| COP | 22,725,000,000 |
| 7,380,427 | |||||||||||||
| Indonesia | 7.50 |
| 8-15-2032 |
| IDR | 57,000,000,000 |
| 4,257,781 | |||||||||||||
| Indonesia | 8.25 |
| 5-15-2029 |
| IDR | 88,615,000,000 |
| 7,173,110 | |||||||||||||
| Indonesia | 8.38 |
| 9-15-2026 |
| IDR | 110,000,000,000 |
| 8,900,093 | |||||||||||||
| Malaysia | 4.18 |
| 7-15-2024 |
| MYR | 19,850,000 |
| 5,076,695 | |||||||||||||
| Malaysia | 4.23 |
| 6-30-2031 |
| MYR | 51,300,000 |
| 13,634,846 | |||||||||||||
| Mexico | 5.75 |
| 3-5-2026 |
| MXN | 117,000,000 |
| 5,929,598 | |||||||||||||
| Mexico | 8.50 |
| 5-31-2029 |
| MXN | 200,000,000 |
| 11,938,398 | |||||||||||||
| Republic of India | 7.32 |
| 1-28-2024 |
| INR | 710,000,000 |
| 10,288,400 | |||||||||||||
| Republic of Trinidad and Tobago 144A | 4.50 |
| 8-4-2026 |
| TTD | 750,000 |
| 807,195 | |||||||||||||
| Romania | 3.25 |
| 4-29-2024 |
| RON | 46,000,000 |
| 10,445,896 | |||||||||||||
| Romania | 5.00 |
| 2-12-2029 |
| RON | 25,000,000 |
| 6,124,176 | |||||||||||||
| Russia | 6.50 |
| 2-28-2024 |
| RUB | 390,000,000 |
| 6,272,328 | |||||||||||||
| Russia | 6.90 |
| 5-23-2029 |
| RUB | 400,000,000 |
| 6,606,452 | |||||||||||||
Total Foreign Government Bonds (Cost $100,700,606) |
| 104,835,395 | ||||||||||||||||||||
| ||||||||||||||||||||||
|
| Interest rate | Maturity date |
| Principal | Value | ||||||||||||||||
Loans : 19.31% | ||||||||||||||||||||||
Communication Services : 3.80% | ||||||||||||||||||||||
Diversified Telecommunication Services : 0.59% | ||||||||||||||||||||||
| Level 3 Financing Incorporated (1 Month LIBOR +1.75%) ± | 3.40 | % | 3-1-2027 | $ | 374,717 | $ | 373,874 | ||||||||||||||
| Telesat Canada (3 Month LIBOR +2.75%) ± | 4.63 |
| 12-7-2026 |
| 2,000,000 |
| 2,007,000 | ||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||||||
|
|
|
|
|
|
|
| 2,380,874 | ||||||||||||||
| ||||||||||||||||||||||
Interactive Media & Services : 0.07% | ||||||||||||||||||||||
| Buzz Merger Sub Limited (1 Month LIBOR +2.75%) ±< | 4.34 |
| 1-22-2027 |
| 275,000 |
| 275,517 | ||||||||||||||
| ||||||||||||||||||||||
Media : 2.81% | ||||||||||||||||||||||
| Ancestry.com Incorporated (1 Month LIBOR +4.25%) ± | 5.90 |
| 8-27-2026 |
| 5,832,655 |
| 5,524,982 | ||||||||||||||
| Charter Communications Operating LLC (1 Month LIBOR +1.75%) ± | 3.40 |
| 4-30-2025 |
| 1,078,000 |
| 1,082,883 | ||||||||||||||
| CSC Holdings LLC (1 Month LIBOR +2.50%) ± | 4.18 |
| 4-15-2027 |
| 148,125 |
| 148,449 | ||||||||||||||
| Diamond Sports Group LLC (1 Month LIBOR +3.25%) ± | 4.91 |
| 8-24-2026 |
| 399,000 |
| 398,378 | ||||||||||||||
| Gray Television Incorporated (1 Month LIBOR +2.50%) ± | 4.28 |
| 1-2-2026 |
| 488,545 |
| 490,377 | ||||||||||||||
| Hubbard Radio LLC (1 Month LIBOR +3.50%) ± | 5.15 |
| 3-28-2025 |
| 1,406,490 |
| 1,405,322 | ||||||||||||||
| Neptune Finco Corporation (1 Month LIBOR +2.25%) ± | 3.93 |
| 1-15-2026 |
| 495,000 |
| 495,465 | ||||||||||||||
| Nexstar Broadcasting Incorporated (1 Month LIBOR +2.75%) ± | 4.53 |
| 9-18-2026 |
| 1,246,875 |
| 1,251,863 | ||||||||||||||
| Nielsen Finance LLC (1 Month LIBOR +2.00%) ± | 3.70 |
| 10-4-2023 |
| 459,628 |
| 459,844 | ||||||||||||||
| Terrier Media Buyer Incorporated (3 Month LIBOR +4.25%) ± | 6.15 |
| 12-17-2026 |
| 125,000 |
| 125,906 | ||||||||||||||
| 11,383,469 | |||||||||||||||||||||
| ||||||||||||||||||||||
Wireless Telecommunication Services : 0.33% | ||||||||||||||||||||||
| Inmarsat plc (1 Month LIBOR +4.50%) ± | 2.74 |
| 12-11-2026 |
| 875,000 |
| 879,235 | ||||||||||||||
| Sprint Communications Incorporated (1 Month LIBOR +2.50%) ± | 4.19 |
| 2-2-2024 |
| 437,625 |
| 427,778 | ||||||||||||||
| 1,307,013 | |||||||||||||||||||||
| ||||||||||||||||||||||
Consumer Discretionary : 2.45% | ||||||||||||||||||||||
Auto Components : 0.39% | ||||||||||||||||||||||
| Allison Transmission Incorporated (1 Month LIBOR +1.75%) ± | 3.41 |
| 3-29-2026 |
| 1,031,063 |
| 1,038,539 | ||||||||||||||
| Belron Finance US LLC (3 Month LIBOR +2.25%) ± | 4.14 |
| 11-7-2024 |
| 294,000 |
| 294,553�� | ||||||||||||||
| Panther BF Aggregator 2 LP (1 Month LIBOR +3.50%) ± | 5.16 |
| 4-30-2026 |
| 224,438 |
| 225,728 | ||||||||||||||
| 1,558,820 | |||||||||||||||||||||
| ||||||||||||||||||||||
Distributors : 0.59% | ||||||||||||||||||||||
| Spin Holdco Incorporated (3 Month LIBOR +3.25%) ± | 5.09 |
| 11-14-2022 |
| 2,410,337 |
| 2,403,009 | ||||||||||||||
| ||||||||||||||||||||||
Hotels, Restaurants & Leisure : 1.40% | ||||||||||||||||||||||
| CCM Merger Incorporated (1 Month LIBOR +2.25%) ± | 3.90 |
| 8-8-2021 |
| 499,190 |
| 499,504 | ||||||||||||||
| Four Seasons Holdings Incorporated (1 Month LIBOR +2.00%) ± | 3.65 |
| 11-30-2023 |
| 883,340 |
| 888,251 | ||||||||||||||
| Montreign Operating Company LLC (3 Month LIBOR +8.25%) ± | 10.16 |
| 1-24-2023 |
| 4,882,987 |
| 4,264,459 | ||||||||||||||
| 5,652,214 | |||||||||||||||||||||
| ||||||||||||||||||||||
Specialty Retail : 0.07% | ||||||||||||||||||||||
| Rent-A-Center Incorporated (1 Month LIBOR +4.50%) ± | 6.25 |
| 7-31-2026 |
| 299,250 |
| 298,502 | ||||||||||||||
| ||||||||||||||||||||||
Consumer Staples : 0.57% | ||||||||||||||||||||||
Food Products : 0.53% | ||||||||||||||||||||||
| Atkins Nutritionals Holdings II Incorporated (1 Month LIBOR +3.75%) ±‡ | 5.43 |
| 7-7-2024 |
| 219,851 |
| 222,050 | ||||||||||||||
| B&G Foods Incorporated (1 Month LIBOR +2.50%) ± | 4.15 |
| 10-10-2026 |
| 299,250 |
| 299,872 | ||||||||||||||
| CHG PPC Parent LLC (1 Month LIBOR +2.75%) ± | 4.40 |
| 3-31-2025 |
| 123,125 |
| 123,535 | ||||||||||||||
|
| Interest rate | Maturity date |
| Principal | Value | ||||||||||||||||
Food Products (continued) | ||||||||||||||||||||||
| Prestige Brands Incorporated (1 Month LIBOR +2.00%) ± | 3.65 | % | 1-26-2024 | $ | 1,500,429 | $ | 1,508,637 | ||||||||||||||
| 2,154,094 | |||||||||||||||||||||
| ||||||||||||||||||||||
Household Products : 0.04% | ||||||||||||||||||||||
| Reynolds Consumer Products LLC (1 Month LIBOR +1.75%) ±%%< | 3.50 |
| 1-29-2027 |
| 150,000 |
| 150,626 | ||||||||||||||
| ||||||||||||||||||||||
Energy : 0.89% | ||||||||||||||||||||||
Oil, Gas & Consumable Fuels : 0.89% | ||||||||||||||||||||||
| Buckeye Partners LP (1 Month LIBOR +2.75%) ± | 4.53 |
| 11-1-2026 |
| 150,000 |
| 151,188 | ||||||||||||||
| Encino Acquisition Partners Holdings LLC (1 Month LIBOR +6.75%) ± | 8.40 |
| 10-29-2025 |
| 600,000 |
| 418,002 | ||||||||||||||
| EPIC Crude Services LP (6 Month LIBOR +5.00%) ± | 7.04 |
| 3-2-2026 |
| 1,950,000 |
| 1,883,369 | ||||||||||||||
| Ultra Resources Incorporated (1 Month LIBOR +4.00%) ± | 5.65 |
| 4-12-2024 |
| 1,987,193 |
| 1,157,043 | ||||||||||||||
| 3,609,602 | |||||||||||||||||||||
| ||||||||||||||||||||||
Financials : 4.63% | ||||||||||||||||||||||
Capital Markets : 1.36% | ||||||||||||||||||||||
| Focus Financial Partners LLC (1 Month LIBOR +2.00%) ± | 3.65 |
| 7-3-2024 |
| 742,722 |
| 744,423 | ||||||||||||||
| Global Business Travel Holdings Limited (3 Month LIBOR +2.50%) ±‡ | 4.40 |
| 8-13-2025 |
| 148,125 |
| 147,755 | ||||||||||||||
| Neptune Finco Corporation (1 Month LIBOR +2.25%) ± | 3.93 |
| 7-17-2025 |
| 764,393 |
| 764,936 | ||||||||||||||
| Nexus Buyer LLC (1 Month LIBOR +3.75%) ± | 5.45 |
| 11-9-2026 |
| 700,000 |
| 707,217 | ||||||||||||||
| Russell Investments US Institutional Holdco Incorporated (1 Month LIBOR +3.25%) ± | 4.90 |
| 6-1-2023 |
| 536,961 |
| 536,827 | ||||||||||||||
| Tortoise Borrower LLC (1 Month LIBOR +3.50%) ±‡ | 5.15 |
| 1-31-2025 |
| 206,815 |
| 205,781 | ||||||||||||||
| VFH Parent LLC (1 Month LIBOR +3.50%) ± | 5.26 |
| 3-1-2026 |
| 333,017 |
| 334,059 | ||||||||||||||
| Victory Capital Management Incorporated (1 Month LIBOR +2.50%) ± | 4.10 |
| 7-1-2026 |
| 2,044,364 |
| 2,056,630 | ||||||||||||||
| 5,497,628 | |||||||||||||||||||||
| ||||||||||||||||||||||
Consumer Finance : 0.16% | ||||||||||||||||||||||
| TransUnion LLC (1 Month LIBOR +1.75%) ± | 3.40 |
| 11-16-2026 |
| 666,190 |
| 668,216 | ||||||||||||||
| ||||||||||||||||||||||
Diversified Financial Services : 1.49% | ||||||||||||||||||||||
| Advisor Group Holdings Incorporated < | 0.00 |
| 8-1-2026 |
| 150,000 |
| 149,625 | ||||||||||||||
| Jefferies Finance LLC (1 Month LIBOR +3.25%) ± | 5.06 |
| 6-3-2026 |
| 348,250 |
| 347,487 | ||||||||||||||
| LPL Holdings Incorporated (1 Month LIBOR +1.75%) ± | 3.41 |
| 11-12-2026 |
| 768,331 |
| 769,776 | ||||||||||||||
| Resolute Investment Managers Incorporated (3 Month LIBOR +3.25%) ± | 5.19 |
| 4-30-2022 |
| 2,400,615 |
| 2,401,624 | ||||||||||||||
| Resolute Investment Managers Incorporated (3 Month LIBOR +7.50%) ±‡ | 9.28 |
| 4-30-2023 |
| 1,090,000 |
| 1,087,275 | ||||||||||||||
| Stonepeak Lonestar Holdings LLC (3 Month LIBOR +4.50%) ±‡ | 6.34 |
| 10-19-2026 |
| 1,247,906 |
| 1,254,146 | ||||||||||||||
| 6,009,933 | |||||||||||||||||||||
| ||||||||||||||||||||||
Insurance : 1.55% | ||||||||||||||||||||||
| Alliant Holdings Intermediate LLC (1 Month LIBOR +3.00%) ± | 4.65 |
| 5-9-2025 |
| 1,361,531 |
| 1,358,386 | ||||||||||||||
| AmWINS Group Incorporated (1 Month LIBOR +2.75%) ± | 4.41 |
| 1-25-2024 |
| 877,087 |
| 882,201 | ||||||||||||||
| BroadStreet Partners Incorporated (3 Month LIBOR +3.25%) ±< | 4.91 |
| 1-27-2027 |
| 498,590 |
| 500,335 | ||||||||||||||
| HUB International Limited (3 Month LIBOR +2.75%) ± | 4.55 |
| 4-25-2025 |
| 1,231,250 |
| 1,227,482 | ||||||||||||||
| HUB International Limited (3 Month LIBOR +4.00%) ±< | 5.90 |
| 4-25-2025 |
| 700,000 |
| 704,816 | ||||||||||||||
| Solera Holdings Incorporated (1 Month LIBOR +2.75%) ± | 4.40 |
| 3-3-2023 |
| 1,069,097 |
| 1,069,771 | ||||||||||||||
| USI Incorporated (3 Month LIBOR +3.00%) ± | 4.94 |
| 5-16-2024 |
| 293,618 |
| 292,371 | ||||||||||||||
| USI Incorporated (3 Month LIBOR +4.00%) ±‡ | 5.94 |
| 12-2-2026 |
| 225,000 |
| 226,267 | ||||||||||||||
| 6,261,629 | |||||||||||||||||||||
| ||||||||||||||||||||||
Mortgage REITs : 0.07% | ||||||||||||||||||||||
| Blackstone Mortgage Trust Incorporated (1 Month LIBOR +2.25%) ±‡ | 3.90 |
| 4-23-2026 |
| 149,251 |
| 149,905 | ||||||||||||||
|
| Interest rate | Maturity date |
| Principal | Value | ||||||||||||||||
Mortgage REITs (continued) | ||||||||||||||||||||||
| Starwood Property Trust Incorporated (1 Month LIBOR +2.50%) ±‡ | 4.15 | % | 7-27-2026 | $ | 124,688 | $ | 125,467 | ||||||||||||||
| 275,372 | |||||||||||||||||||||
| ||||||||||||||||||||||
Health Care : 0.99% | ||||||||||||||||||||||
Health Care Providers & Services : 0.32% | ||||||||||||||||||||||
| MPH Acquisition Holdings LLC (3 Month LIBOR +2.75%) ± | 4.69 |
| 6-7-2023 |
| 429,539 |
| 421,700 | ||||||||||||||
| Surgery Center Holdings Incorporated (1 Month LIBOR +3.25%) ± | 4.90 |
| 9-2-2024 |
| 515,597 |
| 513,555 | ||||||||||||||
| Team Health Holdings Incorporated (1 Month LIBOR +2.75%) ± | 4.40 |
| 2-6-2024 |
| 436,159 |
| 347,837 | ||||||||||||||
| 1,283,092 | |||||||||||||||||||||
| ||||||||||||||||||||||
Health Care Technology : 0.12% | ||||||||||||||||||||||
| Change Healthcare Holdings Incorporated (1 Month LIBOR +2.50%) ± | 4.15 |
| 3-1-2024 |
| 500,892 |
| 500,812 | ||||||||||||||
| ||||||||||||||||||||||
Life Sciences Tools & Services : 0.06% | ||||||||||||||||||||||
| Syneos Health Incorporated (1 Month LIBOR +2.00%) ± | 3.65 |
| 8-1-2024 |
| 236,183 |
| 236,774 | ||||||||||||||
| ||||||||||||||||||||||
Pharmaceuticals : 0.49% | ||||||||||||||||||||||
| Endo Finance LLC (1 Month LIBOR +4.25%) ± | 5.94 |
| 4-29-2024 |
| 289,270 |
| 278,423 | ||||||||||||||
| Valeant Pharmaceuticals International Incorporated (1 Month LIBOR +3.00%) ± | 4.67 |
| 6-2-2025 |
| 1,709,606 |
| 1,715,589 | ||||||||||||||
| 1,994,012 | |||||||||||||||||||||
| ||||||||||||||||||||||
Industrials : 2.85% | ||||||||||||||||||||||
Aerospace & Defense : 0.74% | ||||||||||||||||||||||
| Rexnord LLC (1 Month LIBOR +1.75%) ± | 3.41 |
| 8-21-2024 |
| 585,938�� |
| 588,135 | ||||||||||||||
| TransDigm Incorporated (1 Month LIBOR +2.50%) ± | 4.15 |
| 8-22-2024 |
| 2,411,982 |
| 2,409,835 | ||||||||||||||
| 2,997,970 | |||||||||||||||||||||
| ||||||||||||||||||||||
Airlines : 0.03% | ||||||||||||||||||||||
| WestJet Airlines Limited (1 Month LIBOR +3.00%) ± | 4.68 |
| 12-11-2026 |
| 125,000 |
| 125,695 | ||||||||||||||
| ||||||||||||||||||||||
Building Products : 0.07% | ||||||||||||||||||||||
| Advanced Drainage Systems Incorporated (1 Month LIBOR +2.25%) ± | 4.06 |
| 7-31-2026 |
| 300,973 |
| 302,728 | ||||||||||||||
| ||||||||||||||||||||||
Commercial Services & Supplies : 1.23% | ||||||||||||||||||||||
| Advanced Disposal Services Incorporated (1 Month LIBOR +2.25%) ± | 3.82 |
| 11-10-2023 |
| 1,144,031 |
| 1,143,905 | ||||||||||||||
| Advantage Sales & Marketing LLC (1 Month LIBOR +3.25%) ± | 4.90 |
| 7-25-2021 |
| 220,477 |
| 213,076 | ||||||||||||||
| Advantage Sales & Marketing LLC (1 Month LIBOR +6.50%) ± | 8.15 |
| 7-25-2022 |
| 1,250,000 |
| 1,136,613 | ||||||||||||||
| IAA Spinco Incorporated (1 Month LIBOR +2.25%) ± | 3.94 |
| 6-28-2026 |
| 945,750 |
| 951,661 | ||||||||||||||
| KAR Auction Services Incorporated (1 Month LIBOR +2.25%) ± | 3.94 |
| 9-19-2026 |
| 39,998 |
| 40,265 | ||||||||||||||
| NorthRiver Midstream Finance LP (3 Month LIBOR +3.25%) ± | 5.16 |
| 10-1-2025 |
| 370,313 |
| 367,998 | ||||||||||||||
| WASH Multifamily Laundry Systems LLC (1 Month LIBOR +3.25%) ± | 4.90 |
| 5-14-2022 |
| 951,231 |
| 938,551 | ||||||||||||||
| WASH Multifamily Laundry Systems LLC (1 Month LIBOR +3.25%) ± | 4.90 |
| 5-14-2022 |
| 166,589 |
| 164,368 | ||||||||||||||
| 4,956,437 | |||||||||||||||||||||
| ||||||||||||||||||||||
Construction Materials : 0.11% | ||||||||||||||||||||||
| American Builders & Contractors Supply Company Incorporated (1 Month LIBOR +2.00%) ± | 3.65 |
| 1-15-2027 |
| 448,875 |
| 449,153 | ||||||||||||||
| ||||||||||||||||||||||
|
| Interest rate | Maturity date |
| Principal | Value | ||||||||||||||||
Electrical Equipment : 0.10% | ||||||||||||||||||||||
| Generac Power Systems Incorporated (1 Month LIBOR +1.75%) ± | 3.53 | % | 12-13-2026 | $ | 402,045 | $ | 402,877 | ||||||||||||||
| ||||||||||||||||||||||
Machinery : 0.50% | ||||||||||||||||||||||
| Altra Industrial Motion Corporation (1 Month LIBOR +2.00%) ± | 3.65 |
| 10-1-2025 |
| 622,471 |
| 623,716 | ||||||||||||||
| Columbus McKinnon Corporation (3 Month LIBOR +2.50%) ±‡ | 4.44 |
| 1-31-2024 |
| 693,478 |
| 694,345 | ||||||||||||||
| Gates Global LLC (1 Month LIBOR +2.75%) ± | 4.40 |
| 4-1-2024 |
| 595,531 |
| 594,102 | ||||||||||||||
| Restaurant Technologies Incorporated (1 Month LIBOR +3.25%) ± | 4.90 |
| 10-1-2025 |
| 123,750 |
| 124,626 | ||||||||||||||
| 2,036,789 | |||||||||||||||||||||
| ||||||||||||||||||||||
Professional Services : 0.07% | ||||||||||||||||||||||
| The Dun & Bradstreet Corporation (1 Month LIBOR +4.00%) ±< | 5.66 |
| 2-6-2026 |
| 275,000 |
| 276,444 | ||||||||||||||
| ||||||||||||||||||||||
Information Technology : 1.45% | ||||||||||||||||||||||
Communications Equipment : 0.19% | ||||||||||||||||||||||
| Ciena Corporation (1 Month LIBOR +1.75%) ± | 3.41 |
| 9-26-2025 |
| 272,250 |
| 273,385 | ||||||||||||||
| CommScope Incorporated (1 Month LIBOR +3.25%) ± | 4.90 |
| 4-6-2026 |
| 498,750 |
| 497,917 | ||||||||||||||
| 771,302 | |||||||||||||||||||||
| ||||||||||||||||||||||
Electronic Equipment, Instruments & Components : 0.53% | ||||||||||||||||||||||
| Dell International LLC (1 Month LIBOR +2.00%) ± | 3.65 |
| 9-19-2025 |
| 2,153,203 |
| 2,160,696 | ||||||||||||||
| ||||||||||||||||||||||
IT Services : 0.42% | ||||||||||||||||||||||
| Applied Systems Incorporated (3 Month LIBOR +3.25%) ± | 5.19 |
| 9-19-2024 |
| 391,850 |
| 392,850 | ||||||||||||||
| Infor US Incorporated (3 Month LIBOR +2.75%) ± | 4.69 |
| 2-1-2022 |
| 770,309 |
| 770,794 | ||||||||||||||
| Sophia Holding Finance LP (3 Month LIBOR +3.25%) ± | 5.19 |
| 9-30-2022 |
| 131,709 |
| 131,921 | ||||||||||||||
| WEX Incorporated (1 Month LIBOR +2.25%) ± | 3.90 |
| 5-15-2026 |
| 395,982 |
| 397,221 | ||||||||||||||
| 1,692,786 | |||||||||||||||||||||
| ||||||||||||||||||||||
Software : 0.31% | ||||||||||||||||||||||
| Emerald Topco Incorporated (1 Month LIBOR +3.50%) ± | 5.15 |
| 7-24-2026 |
| 997,500 |
| 1,000,931 | ||||||||||||||
| SS&C Technologies Incorporated (1 Month LIBOR +2.25%) ± | 3.40 |
| 4-16-2025 |
| 146,266 |
| 146,236 | ||||||||||||||
| SS&C Technologies Incorporated (1 Month LIBOR +2.25%) ± | 3.40 |
| 4-16-2025 |
| 105,484 |
| 105,462 | ||||||||||||||
| 1,252,629 | |||||||||||||||||||||
| ||||||||||||||||||||||
Materials : 1.01% | ||||||||||||||||||||||
Containers & Packaging : 0.96% | ||||||||||||||||||||||
| Berry Global Incorporated (1 Month LIBOR +2.00%) ± | 3.68 |
| 10-1-2022 |
| 387,258 |
| 388,671 | ||||||||||||||
| Flex Acquisition Company Incorporated (3 Month LIBOR +3.25%) ± | 5.16 |
| 6-29-2025 |
| 733,889 |
| 722,880 | ||||||||||||||
| Reynolds Group Holdings Incorporated (1 Month LIBOR +2.75%) ± | 4.40 |
| 2-5-2023 |
| 2,418,938 |
| 2,420,873 | ||||||||||||||
| RING Container Technologies (1 Month LIBOR +2.75%) ± | 4.40 |
| 10-31-2024 |
| 364,214 |
| 364,443 | ||||||||||||||
| 3,896,867 | |||||||||||||||||||||
| ||||||||||||||||||||||
Paper & Forest Products : 0.05% | ||||||||||||||||||||||
| Clearwater Paper Corporation (1 Month LIBOR +3.25%) ±‡ | 5.00 |
| 7-26-2026 |
| 200,000 |
| 200,500 | ||||||||||||||
| ||||||||||||||||||||||
Real Estate : 0.67% | ||||||||||||||||||||||
Equity REITs : 0.67% | ||||||||||||||||||||||
| ESH Hospitality Incorporated (1 Month LIBOR +2.00%) ± | 3.65 |
| 9-18-2026 |
| 652,999 |
| 656,304 | ||||||||||||||
| MGM Growth Properties LLC (1 Month LIBOR +2.00%) ± | 3.57 |
| 3-21-2025 |
| 229,101 |
| 229,387 | ||||||||||||||
| The Geo Group Incorporated (1 Month LIBOR +2.00%) ± | 3.65 |
| 3-22-2024 |
| 1,926,525 |
| 1,815,152 | ||||||||||||||
| 2,700,843
| |||||||||||||||||||||
| ||||||||||||||||||||||
Interest rate Maturity Date Principal Value | ||||||||||||||||||||||
| ||||||||||||||||||||||
Total Loans (Cost $80,159,203) $ |
| 78,124,924 | ||||||||||||||||||||
| ||||||||||||||||||||||
Non-Agency Mortgage-Backed Securities : 4.62% | ||||||||||||||||||||||
| American Money Management Corporation Series 2015-16A Class AR (3 Month LIBOR +1.26%) 144A± | 3.10 | % | 4-14-2029 | $ | 500,000 |
| 500,159 | ||||||||||||||
| Banc of America Commercial Mortgage Securities Incorporated Series 2006-03 Class AM ±± | 5.86 |
| 7-10-2044 |
| 519,101 |
| 150,341 | ||||||||||||||
| Banc of America Funding Corporation Series 2005 Class 5-1A1 | 5.50 |
| 9-25-2035 |
| 145,963 |
| 156,483 | ||||||||||||||
| Banc of America Funding Corporation Series 2005 Class D-A1 ±± | 4.53 |
| 5-25-2035 |
| 246,485 |
| 252,486 | ||||||||||||||
| Banc of America Merrill Lynch Commercial Mortgage Incorporated Series 2017-BNK6 Class D 144A | 3.10 |
| 7-15-2060 |
| 1,000,000 |
| 927,699 | ||||||||||||||
| Banc of America Mortgage Securities Series 2003 Class 1A1 ±± | 5.00 |
| 4-25-2033 |
| 259,673 |
| 254,638 | ||||||||||||||
| Benchmark Mortgage Trust Series 2018-B1 Class A2 | 3.57 |
| 1-15-2051 |
| 195,000 |
| 203,193 | ||||||||||||||
| Bluemountain CLO Limited Series 2015-2A Class A1R (3 Month LIBOR +0.93%) 144A± | 2.75 |
| 7-18-2027 |
| 500,000 |
| 500,399 | ||||||||||||||
| Centex Home Equity Series 2002-A Class AF6 | 5.54 |
| 1-25-2032 |
| 20,128 |
| 20,505 | ||||||||||||||
| Centex Home Equity Series 2004-B Class AF6 | 4.69 |
| 3-25-2034 |
| 36,089 |
| 36,423 | ||||||||||||||
| Citigroup Commercial Mortgage Trust Series 2012-GC8 Class C 144A±± | 5.04 |
| 9-10-2045 |
| 1,000,000 |
| 1,043,742 | ||||||||||||||
| Citigroup Commercial Mortgage Trust Series 2017-MDRB Class A (1 Month LIBOR +1.10%) 144A± | 2.78 |
| 7-15-2030 |
| 518,072 |
| 514,239 | ||||||||||||||
| Citigroup Mortgage Loan Trust Incorporated Series 2003-HE3 Class A3 (1 Month LIBOR +0.76%) ± | 2.42 |
| 12-25-2033 |
| 1,761 |
| 1,761 | ||||||||||||||
| Commercial Mortgage Trust Series 2012-CR2 Class C ±± | 4.99 |
| 8-15-2045 |
| 1,000,000 |
| 1,037,969 | ||||||||||||||
| Commercial Mortgage Trust Series 2012-CR4 Class B 144A | 3.70 |
| 10-15-2045 |
| 1,000,000 |
| 968,024 | ||||||||||||||
| Commercial Mortgage Trust Series 2012-CR5 Class E 144A±± | 4.46 |
| 12-10-2045 |
| 1,000,000 |
| 986,087 | ||||||||||||||
| Commercial Mortgage Trust Series 2012-LC4 Class A4 | 3.29 |
| 12-10-2044 |
| 195,099 |
| 199,258 | ||||||||||||||
| Commercial Mortgage Trust Series 2012-LC4 Class AM | 4.06 |
| 12-10-2044 |
| 500,000 |
| 518,142 | ||||||||||||||
| Commercial Mortgage Trust Series 2012-LC4 Class C ±± | 5.72 |
| 12-10-2044 |
| 500,000 |
| 521,690 | ||||||||||||||
| Commercial Mortgage Trust Series 2013-LC13 Class D 144A±± | 5.46 |
| 8-10-2046 |
| 303,000 |
| 309,790 | ||||||||||||||
| Countrywide Home Loans Series 2003-48 Class 2A2 ±± | 4.29 |
| 10-25-2033 |
| 37,182 |
| 37,863 | ||||||||||||||
| Credit Suisse First Boston Mortgage Securities Series 2002-AR25 Class 1A1 ±± | 3.59 |
| 9-25-2032 |
| 291,087 |
| 276,363 | ||||||||||||||
| Credit Suisse First Boston Mortgage Securities Series 2003-AR15 Class 3A1 ±± | 4.16 |
| 6-25-2033 |
| 55,662 |
| 56,471 | ||||||||||||||
| Credit Suisse First Boston Mortgage Securities Series 2003-AR9 Class 2A2 ±± | 4.08 |
| 3-25-2033 |
| 12,301 |
| 12,361 | ||||||||||||||
| Credit Suisse First Boston Mortgage Securities Series 2014-USA Class D 144A | 4.37 |
| 9-15-2037 |
| 750,000 |
| 757,085 | ||||||||||||||
| Crown Point Limited Series 2015-3A Class A1AR (3 Month LIBOR +0.91%) 144A± | 2.74 |
| 12-31-2027 |
| 393,838 |
| 394,023 | ||||||||||||||
| Global Mortgage Securitization Limited Series 2004-A Class A2 (1 Month LIBOR +0.32%) 144A± | 1.98 |
| 11-25-2032 |
| 59,174 |
| 56,778 | ||||||||||||||
| GS Mortgage Securities Trust Series 2010-C1 Class X 144A±±(c) | 1.46 |
| 8-10-2043 |
| 4,859,442 |
| 13,774 | ||||||||||||||
| GS Mortgage Securities Trust Series 2012-GCJ7 Class XA ±±(c) | 2.35 |
| 5-10-2045 |
| 2,812,313 |
| 73,594 | ||||||||||||||
| GSAA Home Equity Trust Series 2004-5 Class AF5 | 4.30 |
| 6-25-2034 |
| 348 |
| 346 | ||||||||||||||
| GSMPS Mortgage Loan Trust Series 2006-1 Class A1 (1 Month LIBOR +0.30%) 144A± | 1.96 |
| 3-25-2035 |
| 15,854 |
| 15,802 | ||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2012-C6 Class E 144A±± | 5.33 |
| 5-15-2045 |
| 400,000 |
| 389,776 | ||||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-C17 Class B ±± | 5.05 |
| 1-15-2047 |
| 50,000 |
| 54,953 | ||||||||||||||
| JPMorgan Mortgage Trust Series 2004-A3 Class 2A1 ±± | 4.92 |
| 7-25-2034 |
| 13,093 |
| 13,554 | ||||||||||||||
| JPMorgan Mortgage Trust Series 2004-A3 Class 3A3 ±± | 4.11 |
| 7-25-2034 |
| 32,562 |
| 33,619 | ||||||||||||||
| JPMorgan Mortgage Trust Series 2005-A3 Class 11A2 ±± | 4.17 |
| 6-25-2035 |
| 100,053 |
| 104,328 | ||||||||||||||
| MASTR Adjustable Rate Mortgage Trust Series 2003-6 Class 3A1 ±± | 3.81 |
| 12-25-2033 |
| 148,907 |
| 152,054 | ||||||||||||||
| MASTR Adjustable Rate Mortgage Trust Series 2003-6 Class 4A2 ±± | 3.93 |
| 1-25-2034 |
| 5,809 |
| 5,874 | ||||||||||||||
| MASTR Adjustable Rate Mortgage Trust Series 2004-13 Class 3A7 ±± | 4.69 |
| 11-21-2034 |
| 7,764 |
| 7,985 | ||||||||||||||
| Mid-State Trust Series 11 Class A1 | 4.86 |
| 7-15-2038 |
| 156,694 |
| 165,879 | ||||||||||||||
|
| Interest rate | Maturity date |
| Principal | Value | ||||||||||||||||
Non-Agency Mortgage-Backed Securities | ||||||||||||||||||||||
| MLCC Mortgage Investors Incorporated Series 2003-G Class A2 (6 Month LIBOR +0.68%) ± | 2.57 | % | 1-25-2029 | $ | 45,721 | $ | 46,408 | ||||||||||||||
| Montana Higher Education Student Assistance Corporation Series 2012-1 Class A2 (1 Month LIBOR +1.00%) ± | 2.66 |
| 5-20-2030 |
| 334,815 |
| 335,292 | ||||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C5 Class XA 144A±±(c) | 1.59 |
| 8-15-2045 |
| 3,808,721 |
| 106,871 | ||||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C10 Class D 144A±± | 4.22 |
| 7-15-2046 |
| 1,000,000 |
| 1,005,615 | ||||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C11 Class A4 ±± | 4.30 |
| 8-15-2046 |
| 569,000 |
| 611,596 | ||||||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C7 Class D 144A±± | 4.38 |
| 2-15-2046 |
| 692,000 |
| 688,510 | ||||||||||||||
| Morgan Stanley Capital I Trust Series 2012-C4 Class C 144A±± | 5.60 |
| 3-15-2045 |
| 900,000 |
| 932,533 | ||||||||||||||
| Morgan Stanley Mortgage Loan Trust Series 2004-4 Class 2A ±± | 6.39 |
| 9-25-2034 |
| 27,829 |
| 30,906 | ||||||||||||||
| New Century Home Equity Loan Trust Series 2004-3 Class M1 (1 Month LIBOR +0.93%) ± | 2.59 |
| 11-25-2034 |
| 1,024,983 |
| 1,031,677 | ||||||||||||||
| Palmer Square Loan Funding Limited Series 2019-2A Class A1 (3 Month LIBOR +0.97%) 144A± | 2.79 |
| 4-20-2027 |
| 341,794 |
| 341,966 | ||||||||||||||
| Provident Funding Mortgage Loan Series 2005-1 Class 2A1 ±± | 4.68 |
| 5-25-2035 |
| 1,029 |
| 1,027 | ||||||||||||||
| Sequoia Mortgage Trust Series 2003-1 Class 1A (1 Month LIBOR +0.76%) ± | 2.42 |
| 4-20-2033 |
| 7,420 |
| 7,389 | ||||||||||||||
| SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE Class D 144A±± | 4.53 |
| 1-5-2043 |
| 1,000,000 |
| 988,002 | ||||||||||||||
| Structured Adjustable Rate Mortgage Loan Trust Series 2004-2 Class 2A ±± | 4.13 |
| 3-25-2034 |
| 32,279 |
| 32,713 | ||||||||||||||
| Terwin Mortgage Trust Series 2003-6HE Class A3 (1 Month LIBOR +1.14%) ± | 2.80 |
| 11-25-2033 |
| 155,324 |
| 153,157 | ||||||||||||||
| Vendee Mortgage Trust Series 2003-2 Class IO ±±(c) | 0.67 |
| 5-15-2033 |
| 2,631,098 |
| 51,985 | ||||||||||||||
| Washington Mutual Mortgage Trust Series 2004-RA4 Class 3A | 7.50 |
| 7-25-2034 |
| 70,432 |
| 75,808 | ||||||||||||||
| Wind River CLO Limited Series 2013-2A Class BR (3 Month LIBOR +1.60%) 144A± | 3.42 |
| 10-18-2030 |
| 500,000 |
| 500,063 | ||||||||||||||
Total Non-Agency Mortgage-Backed Securities (Cost $18,698,881) |
| 18,667,028 | ||||||||||||||||||||
| ||||||||||||||||||||||
|
| Dividend yield |
| Shares |
| |||||||||||||||||
Preferred Stocks : 0.71% | ||||||||||||||||||||||
Energy : 0.71% | ||||||||||||||||||||||
Energy Equipment & Services : 0.71% | ||||||||||||||||||||||
| Bristow Group Incorporated ¥144A(a)‡ | 10.00 |
| 12,322 |
| 478,069 | ||||||||||||||||
| Bristow Group Incorporated ¥(a)‡ | 10.00 |
| 61,352 |
| 2,380,335 | ||||||||||||||||
| ||||||||||||||||||||||
Total Preferred Stocks (Cost $2,231,350) |
| 2,858,404 | ||||||||||||||||||||
| ||||||||||||||||||||||
|
| Expiration date |
|
|
| |||||||||||||||||
Rights : 0.08% | ||||||||||||||||||||||
Utilities : 0.08% | ||||||||||||||||||||||
Independent Power & Renewable Electricity Producers : 0.08% | ||||||||||||||||||||||
| Vistra Energy Corporation † |
| 12-31-2046 | 327,375 |
| 327,375 | ||||||||||||||||
| ||||||||||||||||||||||
Total Rights (Cost $340,913) |
| 327,375 | ||||||||||||||||||||
| ||||||||||||||||||||||
Yankee Corporate Bonds and Notes : 9.58% | ||||||||||||||||||||||
Communication Services : 0.81% | ||||||||||||||||||||||
Diversified Telecommunication Services : 0.22% | ||||||||||||||||||||||
| Intelsat Luxembourg SA | 8.13 |
| 6-1-2023 |
| 1,400,000 |
| 567,000 | ||||||||||||||
| Telesat Canada Incorporated 144A | 6.50 |
| 10-15-2027 |
| 325,000 |
| 340,438 | ||||||||||||||
| 907,438 | |||||||||||||||||||||
| ||||||||||||||||||||||
Interest rate Maturity date Principal Value | ||||||||||||||||||||||
Media : 0.34% | ||||||||||||||||||||||
| Nielsen Holding and Finance BV 144A | 5.00 | % | 2-1-2025 | $ | 875,000 | $ | 890,418 | ||||||||||||||
| Nielsen Holding and Finance BV 144A | 5.50 |
| 10-1-2021 |
| 465,000 |
| 465,698 | ||||||||||||||
| 1,356,116 | |||||||||||||||||||||
| ||||||||||||||||||||||
Wireless Telecommunication Services : 0.25% | ||||||||||||||||||||||
| Connect U.S. Finco LLC 144A | 6.75 |
| 10-1-2026 |
| 375,000 |
| 397,031 | ||||||||||||||
| Globo Communicacoes Participacoes SA 144A | 4.88 |
| 4-11-2022 |
| 595,000 |
| 619,103 | ||||||||||||||
| 1,016,134 | |||||||||||||||||||||
| ||||||||||||||||||||||
Consumer Staples : 0.20% | ||||||||||||||||||||||
Beverages : 0.20% | ||||||||||||||||||||||
| Pernod Ricard SA 144A | 4.45 |
| 1-15-2022 |
| 760,000 |
| |||||||||||||||
| ||||||||||||||||||||||
Energy : 2.09% | ||||||||||||||||||||||
Energy Equipment & Services : 0.24% | ||||||||||||||||||||||
| Valaris plc | 5.75 |
| 10-1-2044 |
| 2,320,000 |
| 957,000 | ||||||||||||||
| ||||||||||||||||||||||
Oil, Gas & Consumable Fuels : 1.85% | ||||||||||||||||||||||
| Baytex Energy Corporation 144A | 5.13 |
| 6-1-2021 |
| 1,450,000 |
| 1,443,040 | ||||||||||||||
| Baytex Energy Corporation 144A | 5.63 |
| 6-1-2024 |
| 1,575,000 |
| 1,452,938 | ||||||||||||||
| Baytex Energy Corporation 144A%% | 8.75 |
| 4-1-2027 |
| 2,500,000 |
| 2,434,375 | ||||||||||||||
| Griffin Coal Mining Company Limited 144A(a)† | 9.50 |
| 12-1-2016 |
| 1,110,230 |
| 0 | ||||||||||||||
| Griffin Coal Mining Company Limited (a)† | 9.50 |
| 12-1-2016 |
| 90,767 |
| 0 | ||||||||||||||
| Husky Energy Incorporated | 4.40 |
| 4-15-2029 |
| 750,000 |
| 821,675 | ||||||||||||||
| Rockpoint Gas Storage Canada Limited 144A | 7.00 |
| 3-31-2023 |
| 1,375,000 |
| 1,343,203 | ||||||||||||||
| 7,495,231 | |||||||||||||||||||||
| ||||||||||||||||||||||
Financials : 3.08% | ||||||||||||||||||||||
Banks : 0.87% | ||||||||||||||||||||||
| ABN AMRO Bank NV 144A | 4.80 |
| 4-18-2026 |
| 750,000 |
| 836,124 | ||||||||||||||
| Banco del Estado de Chile 144A | 3.88 |
| 2-8-2022 |
| 650,000 |
| 668,694 | ||||||||||||||
| Corporación Andina de Fomento | 4.38 |
| 6-15-2022 |
| 958,000 |
| 1,008,755 | ||||||||||||||
| Intelsat Connect Finance Company 144A | 9.50 |
| 2-15-2023 |
| 400,000 |
| 212,000 | ||||||||||||||
| Perrigo Finance Unlimited Company | 4.38 |
| 3-15-2026 |
| 750,000 |
| 803,491 | ||||||||||||||
| 3,529,064 | |||||||||||||||||||||
| ||||||||||||||||||||||
Diversified Financial Services : 1.70% | ||||||||||||||||||||||
| Intelsat Jackson Holdings SA | 5.50 |
| 8-1-2023 |
| 4,725,000 |
| 3,862,688 | ||||||||||||||
| Intelsat Jackson Holdings SA 144A | 8.50 |
| 10-15-2024 |
| 1,700,000 |
| 1,436,500 | ||||||||||||||
| Sensata Technologies UK Financing Company plc 144A | 6.25 |
| 2-15-2026 |
| 800,000 |
| 840,120 | ||||||||||||||
| Trivium Packaging Finance BV 144A | 5.50 |
| 8-15-2026 |
| 300,000 |
| 316,125 | ||||||||||||||
| Trivium Packaging Finance BV 144A | 8.50 |
| 8-15-2027 |
| 150,000 |
| 165,000 | ||||||||||||||
| Tyco Electronics Group SA | 3.50 |
| 2-3-2022 |
| 225,000 |
| 231,780 | ||||||||||||||
| 6,852,213 | |||||||||||||||||||||
| ||||||||||||||||||||||
Insurance : 0.51% | ||||||||||||||||||||||
| Allied World Assurance Company Holdings Limited | 4.35 |
| 10-29-2025 |
| 385,000 |
| 416,710 | ||||||||||||||
| Fairfax Financials Hloldings Limited | 4.85 |
| 4-17-2028 |
| 750,000 |
| 842,084 | ||||||||||||||
| Sompo International Holdings Limited | 7.00 |
| 7-15-2034 |
| 575,000 |
| 842,084 | ||||||||||||||
|
|
|
|
|
|
|
| 804,858
| ||||||||||||||
|
|
|
|
|
|
| ||||||||||||||||
Interest rate Maturity date Principal | Value | |||||||||||||||||||||
| $ 2,063,652 | |||||||||||||||||||||
| ||||||||||||||||||||||
Health Care : 1.66% | ||||||||||||||||||||||
Pharmaceuticals : 1.66% | ||||||||||||||||||||||
| Bausch Health Companies Incorporated 144A | 5.50 | % | 3-1-2023 | $ | 909,000 |
| 911,273 | ||||||||||||||
| Bausch Health Companies Incorporated 144A | 5.50 |
| 11-1-2025 |
| 375,000 |
| 388,436 | ||||||||||||||
| Bausch Health Companies Incorporated 144A | 5.88 |
| 5-15-2023 |
| 103,000 |
| 103,901 | ||||||||||||||
| Bausch Health Companies Incorporated 144A | 6.13 |
| 4-15-2025 |
| 1,940,000 |
| 1,995,523 | ||||||||||||||
| Bausch Health Companies Incorporated 144A | 6.50 |
| 3-15-2022 |
| 325,000 |
| 331,032 | ||||||||||||||
| Bausch Health Companies Incorporated 144A | 7.00 |
| 3-15-2024 |
| 575,000 |
| 596,103 | ||||||||||||||
| Teva Pharmaceutical Finance Netherlands III BV | 4.10 |
| 10-1-2046 |
| 750,000 |
| 575,625 | ||||||||||||||
| Teva Pharmaceutical Finance Netherlands III BV | 6.75 |
| 3-1-2028 |
| 1,750,000 |
| 1,822,625 | ||||||||||||||
| 6,724,518 | |||||||||||||||||||||
| ||||||||||||||||||||||
Industrials : 0.87% | ||||||||||||||||||||||
Commercial Services & Supplies : 0.60% | ||||||||||||||||||||||
| Ritchie Brothers Auctioneers Incorporated 144A | 5.38 |
| 1-15-2025 |
| 2,350,000 |
| 2,441,063 | ||||||||||||||
| ||||||||||||||||||||||
Electrical Equipment : 0.07% | ||||||||||||||||||||||
| Sensata Technologies BV 144A | 5.00 |
| 10-1-2025 |
| 260,000 |
| 281,450 | ||||||||||||||
| ||||||||||||||||||||||
Road & Rail : 0.20% | ||||||||||||||||||||||
| Canadian Pacific Railway Company | 4.50 |
| 1-15-2022 |
| 750,000 |
| 787,366 | ||||||||||||||
| ||||||||||||||||||||||
Materials : 0.58% | ||||||||||||||||||||||
Containers & Packaging : 0.39% | ||||||||||||||||||||||
| Ardagh Packaging Finance plc 144A | 4.13 |
| 8-15-2026 |
| 75,000 |
| 77,156 | ||||||||||||||
| Ardagh Packaging Finance plc 144A | 4.25 |
| 9-15-2022 |
| 375,000 |
| 379,688 | ||||||||||||||
| OI European Group BV 144A | 4.00 |
| 3-15-2023 |
| 1,100,000 |
| 1,116,500 | ||||||||||||||
| 1,573,344 | |||||||||||||||||||||
| ||||||||||||||||||||||
Metals & Mining : 0.19% | ||||||||||||||||||||||
| Glencore Finance Canada Limited 144A | 4.25 |
| 10-25-2022 |
| 750,000 |
| 785,604 | ||||||||||||||
| ||||||||||||||||||||||
Utilities : 0.29% | ||||||||||||||||||||||
Electric Utilities : 0.16% | ||||||||||||||||||||||
| Comision Federal de Electricidad 144A | 4.88 |
| 5-26-2021 |
| 650,000 |
| 669,507 | ||||||||||||||
| ||||||||||||||||||||||
Multi-Utilities : 0.13% | ||||||||||||||||||||||
| Veolia Environnement SA | 6.75 |
| 6-1-2038 |
| 350,000 |
| 509,178 | ||||||||||||||
| ||||||||||||||||||||||
Total Yankee Corporate Bonds and Notes (Cost $40,279,267) |
| 38,747,445 | ||||||||||||||||||||
| ||||||||||||||||||||||
Yield Shares | ||||||||||||||||||||||
| ShShort-Term Investments : 5.72% |
|
|
|
| |||||||||||||||||
Investment Companies : 5.72% | ||||||||||||||||||||||
| Wells Fargo Government Money Market Fund Select Class (l)(u)## | 1.51 |
| 23,149,343 |
| 23,149,343 | ||||||||||||||||
| ||||||||||||||||||||||
Total Short-Term Investments (Cost $23,149,343) |
| 23,149,343 | ||||||||||||||||||||
| ||||||||||||||||||||||
|
|
| Value | |||||||||||||||||||
Total investments in securities (Cost $582,211,201) | 143.56% | $ | 580,758,097 | |||||||||||||||||||
Other assets and liabilities, net | (43.56) |
|
| (176,207,136) | ||||||||||||||||||
| ||||||||||||||||||||||
Total net assets | 100.00% |
| $ | 404,550,961 | ||||||||||||||||||
| ||||||||||||||||||||||
± | Variable rate investment. The rate shown is the rate in effect at period end. | |||||||||||||||||||||
144A | The security may be resold in transactions exempt from registration, normally to qualified institutional buyers, pursuant to Rule 144A under the Securities Act of 1933. | |||||||||||||||||||||
±± | The coupon of the security is adjusted based on the principal and interest payments received from the underlying pool of mortgages as well as the credit quality and the actual prepayment speed of the underlying mortgages. | |||||||||||||||||||||
(c) | Investment in an interest-only security entitles holders to receive only the interest payments on the underlying mortgages. The principal amount shown is the notional amount of the underlying mortgages. The rate represents the coupon rate. | |||||||||||||||||||||
(a) | The security is fair valued in accordance with procedures approved by the Board of Trustees. | |||||||||||||||||||||
‡ | Security is valued using significant unobservable inputs. | |||||||||||||||||||||
%% | The security is purchased on a when-issued basis. | |||||||||||||||||||||
< | All or a portion of the position represents an unfunded loan commitment. The rate represents current interest rate if the loan is partially funded. | |||||||||||||||||||||
¥ | A payment-in-kind (PIK) security is a security in which the issuer may make interest or dividend payments in cash or additional securities or a combination of both. The rate shown is the rate in effect at period end. | |||||||||||||||||||||
† | Non-income-earning security | |||||||||||||||||||||
(l) | The issuer of the security is an affiliated person of the Fund as defined in the Investment Company Act of 1940. | |||||||||||||||||||||
(u) | The rate represents the 7-day annualized yield at period end. | |||||||||||||||||||||
## | All or a portion of this security is segregated for when-issued securities and/or unfunded loans. | |||||||||||||||||||||
| ||||||||||||||||||||||
Abbreviations: | ||||||||||||||||||||||
AGM | Assured Guaranty Municipal | |||||||||||||||||||||
BRL | Brazilian real | |||||||||||||||||||||
COP | Colombian peso | |||||||||||||||||||||
FHLMC | Federal Home Loan Mortgage Corporation | |||||||||||||||||||||
FNMA | Federal National Mortgage Association | |||||||||||||||||||||
GBP | Great British pound | |||||||||||||||||||||
GNMA | Government National Mortgage Association | |||||||||||||||||||||
IDR | Indonesian rupiah | |||||||||||||||||||||
INR | Indian rupee | |||||||||||||||||||||
LIBOR | London Interbank Offered Rate | |||||||||||||||||||||
MXN | Mexican peso | |||||||||||||||||||||
MYR | Malaysian ringgit | |||||||||||||||||||||
REIT | Real estate investment trust | |||||||||||||||||||||
RON | Romanian lei | |||||||||||||||||||||
RUB | Russian ruble | |||||||||||||||||||||
SOFR | Secured Overnight Financing Rate | |||||||||||||||||||||
TTD | Trinidad and Tobago dollar | |||||||||||||||||||||
ZAR | South African rand |
1
Investments in Affiliates | |||||||||
An affiliated investment is an investment in which the Fund owns at least 5% of the outstanding voting shares of the issuer or as a result of other relationships, such as the Fund and the issuer having the same investment manager. Transactions with issuers that were either affiliated persons of the Fund at the beginning of the period or the end of the period were as follows: | |||||||||
Shares, beginning of period | Shares purchased | Shares sold | Shares, end of period | Value, end of period | % of net assets | ||||
Short-Term Investments | |||||||||
Investment Companies | |||||||||
Wells Fargo Government Money Market Fund Select Class | 25,641,491 | 28,833,979 | (31,326,127) | 23,149,343 | $23,149,343 | 5.72% |
1
Wells Fargo Multi-Sector Income Fund (the “Fund”)
Notes to Portfolio of investments – January 31, 2020 (unaudited)
Securities valuation
All investments are valued each business day as of the close of regular trading on the New York Stock Exchange (generally 4 p.m. Eastern Time), although the Fund may deviate from this calculation under unusual or unexpected circumstances.
Debt securities are valued at the evaluated bid price provided by an independent pricing service (e.g. taking into account various factors, including yields, maturities, or credit ratings) or, if a reliable price is not available, the quoted bid price from an independent broker-dealer.
Equity securities that are listed on a foreign or domestic exchange or market are valued at the official closing price or, if none, the last sales price. If no sale occurs on the principal exchange or market that day, a fair value price will be determined in accordance with the Fund’s Valuation Procedures.
The values of securities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee at Wells Fargo Funds Management, LLC.
Investments in registered open-end investment companies are valued at net asset value.
Investments which are not valued using any of the methods discussed above are valued at their fair value, as determined in good faith by the Board of Trustees of the Fund. The Board of Trustees has established a Valuation Committee comprised of the Trustees and has delegated to it the authority to take any actions regarding the valuation of portfolio securities that the Valuation Committee deems necessary or appropriate, including determining the fair value of portfolio securities, unless the determination has been delegated to the Wells Fargo Asset Management Pricing Committee. The Board of Trustees retains the authority to make or ratify any valuation decisions or approve any changes to the Valuation Procedures as it deems appropriate. On a quarterly basis, the Board of Trustees receives reports on any valuation actions taken by the Valuation Committee or the Wells Fargo Asset Management Pricing Committee which may include items for ratification.
Foreign currency translation
The accounting records of the Fund are maintained in U.S. dollars. The values of other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at rates provided by an independent foreign currency pricing source at a time each business day specified by the Wells Fargo Asset Management Pricing Committee. Purchases and sales of securities, and income and expenses are converted at the rate of exchange on the respective dates of such transactions. Net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar equivalent of the amounts actually paid or received. Net unrealized foreign exchange gains and losses arise from changes in the fair value of assets and liabilities other than investments in securities resulting from changes in exchange rates. The changes in net assets arising from changes in exchange rates of securities and the changes in net assets resulting from changes in market prices of securities are not separately presented. Such changes are included in net realized and unrealized gains or losses from investments.
When-issued transactions
The Fund may purchase securities on a forward commitment or when-issued basis. The Fund records a when-issued transaction on the trade date and will segregate assets in an amount at least equal in value to the Fund’s commitment to purchase when-issued securities. Securities purchased on a when-issued basis are marked-to-market daily and the Fund begins earning interest on the settlement date. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.
Loans
The Fund may invest in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. The loans pay interest at rates which are periodically reset by reference to a base lending rate plus a spread. Investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. When the Fund purchases participations, it generally has no rights to enforce compliance with the terms of the loan agreement with the borrower. As a result, the Fund assumes the credit risk of both the borrower and the lender that is selling the participation. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan and may enforce compliance by the borrower with the terms of the loan agreement. Loans may include fully funded term loans or unfunded loan commitments, which are contractual obligations for future funding.
As of January 31, 2020, the Fund had unfunded loan commitments of $1,530,781.
Fair valuation measurements
Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the Fair value measurements of investments are determined within a framework that has established a fair value hierarchy based upon the various data inputs utilized in determining the value of the Fund’s investments. The three-level hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The Fund’s investments are classified within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement. The inputs are summarized into three broad levels as follows:
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 investments in securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund's assets and liabilities as of January 31, 2020:
| Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total |
Assets Investments in : |
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Agency securities | $0 | $5,234,424 | $0 | $5,234,424 |
Asset-backed securities | 0 | 2,858,160 | 0 | 2,858,160 |
Common stocks |
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|
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Energy | 0 | 0 | 1,389,651 | 1,389,651 |
Materials | 701 | 0 | 0 | 701 |
Corporate bonds and notes | 0 | 287,161,856 | 0 | 287,161,856 |
Foreign corporate bonds and notes | 0 | 17,403,391 | 0 | 17,403,391 |
Foreign government bonds | 0 | 104,835,395 | 0 | 104,835,395 |
Loans | 0 | 73,811,433 | 4,313,491 | 78,124,924 |
Non-agency mortgage-backed securities | 0 | 18,667,028 | 0 | 18,667,028 |
Preferred stocks | 0 | 0 | 2,858,404 | 2,858,404 |
Rights |
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Utilities | 0 | 327,375 | 0 | 327,375 |
Yankee corporate bonds and notes | 0 | 38,747,445 | 0 | 38,747,445 |
Short-term investments |
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Investment companies | 23,149,343 | 0 | 0 | 23,149,343 |
Total assets | $23,150,044 | $549,046,507 | $8,561,546 | $580,758,097 |
Additional sector, industry or geographic detail is included in the Portfolio of Investments.
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| Loans | Common Stock | Preferred Stock | Total |
Balance as of October 31, 2019 | $10,841,245 | $1,389,651 | $2,858,404 | $15,089,300 |
Accrued discounts (premiums) | 2,575 | 0 | 0 | 2,575 |
Realized gains (losses) | (140) | 0 | 0 | (140) |
Change in unrealized gains (losses) | 402,341 | 0 | 0 | 402,341 |
Purchases | 597,001 | 0 | 0 | 597,001 |
Sales | (229,881) | 0 | 0 | (229,881) |
Transfer into Level 3 | 1,254,146 | 0 | 0 | 1,254,146 |
Transfer out of Level 3 | (8,553,796) | 0 | 0 | (8,553,796) |
Balance as of January 31, 2020 | $4,313,491 | $1,389,651 | $2,858,404 | $8,561,546 |
Change in unrealized gains (losses) relating to securities still held at January 31, 2020 | $3,019 | $0 | $0 | $3,019 |
The loan obligations in the Level 3 table were valued using indicative broker quotes. These indicative broker quotes are considered Level 3 inputs. Quantitative unobservable inputs used by the brokers are often proprietary and not provided to the Fund and therefore the disclosure that would address these inputs is not included above.
The following table summarizes quantitative information about the Fund’s Level 3 inputs as of January 31, 2020: | |||||
| Security types | Fair value at January 31, 2020 (in thousands) |
Valuation technique |
Significant unobservable input |
Range |
| Common stock | $1,390 | Market approach | Probability of outcome | 20% - 60% |
| Preferred stock | $2,858 | Market approach | Probability of outcome | 20% - 60% |
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Certain securities of the Fund’s Level 3 investments have been valued using inputs that have not been internally developed by the Fund, including third party investment analysis.