UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-00242
Natixis Funds Trust II
(Exact name of Registrant as specified in charter)
888 Boylston Street, Suite 800, Boston, Massachusetts 02199-8197
(Address of principal executive offices) (Zip code)
Susan McWhan Tobin, Esq.
Natixis Distribution, LLC
888 Boylston Street, Suite 800
Boston, Massachusetts 02199-8197
(Name and address of agent for service)
Registrant’s telephone number, including area code: (617) 449-2139
Date of fiscal year end: December 31
Date of reporting period: December 31, 2023
Item 1. Reports to Stockholders.
(a) | The Registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows: |
Loomis Sayles High Income Fund |
Loomis Sayles Investment Grade Bond Fund |
Loomis Sayles Strategic Alpha Fund |
Loomis Sayles Strategic Income Fund |
Managers |
Matthew J. Eagan, CFA® |
Brian P. Kennedy |
Peter S. Sheehan* |
Elaine M. Stokes** |
Todd P. Vandam, CFA® |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | NEFHX |
Class C | NEHCX |
Class N | LSHNX |
Class Y | NEHYX |
* | Effective June 30, 2023, Peter S. Sheehan serves as portfolio manager of the Fund. |
** | Effective December 31, 2023, Elaine M. Stokes no longer serves as portfolio manager of the Fund. |
Investment Goal
Hypothetical Growth of $100,000 Investment in Class Y Shares1 |
December 31, 2013 through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | ||||||
1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios3 | ||
Gross | Net | |||||
Class Y | ||||||
NAV | 10.13 % | 3.65 % | 3.48 % | — % | 0.89 % | 0.71 % |
Class A | ||||||
NAV | 9.53 | 3.33 | 3.18 | — | 1.14 | 0.96 |
With 4.25% Maximum Sales Charge | 4.74 | 2.42 | 2.72 | — | ||
Class C | ||||||
NAV | 8.94 | 2.58 | 2.57 | — | 1.89 | 1.71 |
With CDSC4 | 7.94 | 2.58 | 2.57 | — | ||
Class N (Inception 11/30/16) | ||||||
NAV | 9.85 | 3.64 | — | 3.42 | 1.76 | 0.66 |
Comparative Performance | ||||||
Bloomberg U.S. Corporate High-Yield Bond Index2 | 13.44 | 5.37 | 4.60 | 4.77 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Bloomberg U.S. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below, excluding emerging market debt. Bloomberg U.S. Corporate High- Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg U.S. Universal and Global High-Yield Indices. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
Managers |
Matthew J. Eagan, CFA® |
Brian P. Kennedy |
Elaine M. Stokes* |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | LIGRX |
Class C | LGBCX |
Class N | LGBNX |
Class Y | LSIIX |
Admin Class | LIGAX |
* | Effective December 31, 2023, Elaine M. Stokes no longer serves as portfolio manager of the Fund. |
Investment Goal
Hypothetical Growth of $100,000 Investment in Class Y Shares1 |
December 31, 2013 through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | |||||
1 Year | 5 Years | 10 Years | Expense Ratios4 | ||
Gross | Net | ||||
Class Y | |||||
NAV | 7.50 % | 3.08 % | 2.74 % | 0.55 % | 0.49 % |
Class A | |||||
NAV | 7.34 | 2.84 | 2.50 | 0.80 | 0.74 |
With 4.25% Maximum Sales Charge | 2.75 | 1.95 | 2.05 | ||
Class C | |||||
NAV | 6.43 | 2.06 | 1.88 | 1.55 | 1.49 |
With CDSC5 | 5.43 | 2.06 | 1.88 | ||
Class N | |||||
NAV | 7.55 | 3.15 | 2.83 | 0.47 | 0.44 |
Admin Class | |||||
NAV | 6.99 | 2.56 | 2.25 | 1.05 | 0.99 |
Comparative Performance | |||||
Bloomberg U.S. Government/Credit Bond Index2 | 5.72 | 1.41 | 1.97 | ||
Bloomberg U.S. Aggregate Bond Index3 | 5.53 | 1.10 | 1.81 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Bloomberg U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index. The U.S. Government/Credit Bond Index includes investment grade, U.S. dollar-denominated, fixed rate Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and corporate securities. The U.S. Government/Credit Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the U.S. Aggregate Index. |
3 | Bloomberg U.S. Aggregate Bond Index is a broad-based index that covers the U.S. dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC- registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
5 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
Managers |
Matthew J. Eagan, CFA® |
Brian P. Kennedy |
Elaine M. Stokes* |
Todd P. Vandam, CFA® |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | LABAX |
Class C | LABCX |
Class N | LASNX |
Class Y | LASYX |
* | Effective December 31, 2023, Elaine M. Stokes no longer serves as portfolio manager of the Fund. |
Investment Goal
Hypothetical Growth of $100,000 Investment in Class Y Shares1 |
December 31, 2013 through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | ||||||
1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios3 | ||
Gross | Net | |||||
Class Y | ||||||
NAV | 7.90 % | 2.88 % | 2.61 % | — % | 0.75 % | 0.75 % |
Class A | ||||||
NAV | 7.70 | 2.60 | 2.35 | — | 1.00 | 1.00 |
With 4.25% Maximum Sales Charge | 3.08 | 1.71 | 1.90 | — | ||
Class C | ||||||
NAV | 6.77 | 1.83 | 1.73 | — | 1.75 | 1.75 |
With CDSC4 | 5.77 | 1.83 | 1.73 | — | ||
Class N (Inception 5/1/17) | ||||||
NAV | 7.94 | 2.92 | — | 2.59 | 0.69 | 0.69 |
Comparative Performance | ||||||
ICE BofA U.S. 3-Month Treasury Bill Index2 | 5.01 | 1.88 | 1.25 | 1.79 | ||
ICE BofA U.S. 3-Month Treasury Bill Index +300 basis points2 | 8.01 | 4.88 | 4.25 | 4.78 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | The ICE BofA U.S. 3-Month Treasury Bill Index is an unmanaged index that is comprised of a single U.S. Treasury issue with approximately three months to final maturity, purchased at the beginning of each month and held for one full month. ICE BofA U.S. 3-Month Treasury Bill Index +300 basis points is created by adding 3.00% to the annual return of the ICE BofA 3-Month Treasury Bill Index. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
Managers |
Matthew J. Eagan, CFA® |
Brian P. Kennedy |
Elaine M. Stokes* |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | NEFZX |
Class C | NECZX |
Class N | NEZNX |
Class Y | NEZYX |
Admin Class | NEZAX |
* | Effective December 31, 2023, Elaine M. Stokes no longer serves as portfolio manager of the Fund. |
Investment Goal
Hypothetical Growth of $100,000 Investment in Class Y Shares1 |
December 31, 2013 through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | |||||
1 Year | 5 Years | 10 Years | Expense Ratios4 | ||
Gross | Net | ||||
Class Y | |||||
NAV | 8.30 % | 2.11 % | 2.13 % | 0.72 % | 0.68 % |
Class A | |||||
NAV | 8.02 | 1.86 | 1.88 | 0.97 | 0.93 |
With 4.25% Maximum Sales Charge | 3.40 | 0.98 | 1.44 | ||
Class C | |||||
NAV | 7.26 | 1.10 | 1.27 | 1.72 | 1.68 |
With CDSC5 | 6.26 | 1.10 | 1.27 | ||
Class N | |||||
NAV | 8.45 | 2.19 | 2.22 | 0.63 | 0.63 |
Admin Class | |||||
NAV | 7.78 | 1.60 | 1.63 | 1.22 | 1.18 |
Comparative Performance | |||||
Bloomberg U.S. Aggregate Bond Index2 | 5.53 | 1.10 | 1.81 | ||
Bloomberg U.S. Universal Bond Index3 | 6.17 | 1.44 | 2.08 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Bloomberg U.S. Aggregate Bond Index is a broad-based index that covers the U.S. dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC- registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors. |
3 | Bloomberg U.S. Universal Bond Index represents the union of the U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index, and the non-ERISA portion of the CMBS Index. Municipal debt, private placements, and non-dollar-denominated issues are excluded from the Universal Bond Index. The only constituent of the index that includes floating-rate debt is the Emerging Markets Index. |
4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
5 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
Loomis Sayles High Income Fund | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Class A | |||
Actual | $1,000.00 | $1,064.20 | $4.94 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.42 | $4.84 |
Class C | |||
Actual | $1,000.00 | $1,062.70 | $8.84 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.64 | $8.64 |
Class N | |||
Actual | $1,000.00 | $1,065.80 | $3.38 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.93 | $3.31 |
Class Y | |||
Actual | $1,000.00 | $1,068.70 | $3.65 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.68 | $3.57 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.95%, 1.70%, 0.65% and 0.70% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (184), divided by 365 (to reflect the half–year period). |
Loomis Sayles Investment Grade Bond Fund | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period 7/1/2023 – 12/31/2023* |
Class A | |||
Actual | $1,000.00 | $1,047.50 | $3.82 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.48 | $3.77 |
Class C | |||
Actual | $1,000.00 | $1,042.00 | $7.67 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,017.69 | $7.58 |
Class N | |||
Actual | $1,000.00 | $1,049.10 | $2.27 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.99 | $2.24 |
Class Y | |||
Actual | $1,000.00 | $1,047.80 | $2.53 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.74 | $2.50 |
Admin Class | |||
Actual | $1,000.00 | $1,045.20 | $5.10 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.22 | $5.04 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.74, 1.49, 0.44, 0.49 and 0.99 for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (184), divided by 365 (to reflect the half–year period). |
Loomis Sayles Strategic Alpha Fund | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Class A | |||
Actual | $1,000.00 | $1,060.80 | $5.19 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.16 | $5.09 |
Class C | |||
Actual | $1,000.00 | $1,056.80 | $9.07 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.38 | $8.89 |
Class N | |||
Actual | $1,000.00 | $1,061.60 | $3.64 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.68 | $3.57 |
Class Y | |||
Actual | $1,000.00 | $1,062.50 | $3.90 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.43 | $3.82 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.00%, 1.75%, 0.70% and 0.75% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
Loomis Sayles Strategic Income Fund | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Class A | |||
Actual | $1,000.00 | $1,056.40 | $4.82 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.52 | $4.74 |
Class C | |||
Actual | $1,000.00 | $1,053.20 | $8.69 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.74 | $8.54 |
Class N | |||
Actual | $1,000.00 | $1,059.00 | $3.27 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.03 | $3.21 |
Class Y | |||
Actual | $1,000.00 | $1,057.80 | $3.53 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.78 | $3.47 |
Admin Class | |||
Actual | $1,000.00 | $1,055.30 | $6.11 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.26 | $6.01 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.93, 1.68, 0.63, 0.68 and 1.18 for Class A, C, N, Y and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (184), divided by 365 (to reflect the half–year period). |
Principal Amount | Description | Value (†) |
Bonds and Notes — 92.8% of Net Assets | ||
Non-Convertible Bonds — 89.0% | ||
ABS Home Equity — 0.1% | ||
$102,943 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1 mo. USD SOFR + 0.774%, 6.130%, 9/19/2045(a) | $54,100 |
Aerospace & Defense — 1.4% | ||
100,000 | Bombardier, Inc., 6.000%, 2/15/2028(b) | 97,428 |
155,000 | Bombardier, Inc., 7.125%, 6/15/2026(b) | 154,276 |
45,000 | Bombardier, Inc., 8.750%, 11/15/2030(b) | 47,912 |
135,000 | TransDigm, Inc., 6.750%, 8/15/2028(b) | 138,116 |
195,000 | TransDigm, Inc., 6.875%, 12/15/2030(b) | 200,850 |
638,582 | ||
Airlines — 1.4% | ||
70,000 | Allegiant Travel Co., 7.250%, 8/15/2027(b) | 68,491 |
465,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029(b) | 453,264 |
55,000 | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.750%, 1/20/2026(b) | 51,818 |
45,000 | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.000%, 9/20/2025(b) | 32,363 |
20,000 | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.000%, 9/20/2025(b) | 14,383 |
620,319 | ||
Automotive — 1.4% | ||
15,000 | Allison Transmission, Inc., 4.750%, 10/01/2027(b) | 14,494 |
55,000 | American Axle & Manufacturing, Inc., 5.000%, 10/01/2029 | 48,590 |
85,000 | Ford Motor Co., 3.250%, 2/12/2032 | 70,695 |
345,000 | Ford Motor Credit Co. LLC, 2.300%, 2/10/2025 | 331,776 |
85,000 | Wheel Pros, Inc., 6.500%, 5/15/2029(b) | 25,925 |
150,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028(b) | 155,943 |
647,423 | ||
Banking — 2.5% | ||
365,000 | Barclays PLC, (fixed rate to 6/27/2033, variable rate thereafter), 7.119%, 6/27/2034 | 388,990 |
235,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 219,098 |
200,000 | Intesa Sanpaolo SpA, 6.625%, 6/20/2033(b) | 204,947 |
335,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(b) | 315,060 |
1,128,095 | ||
Brokerage — 0.6% | ||
35,000 | Coinbase Global, Inc., 3.375%, 10/01/2028(b) | 29,532 |
60,000 | Coinbase Global, Inc., 3.625%, 10/01/2031(b) | 46,358 |
30,000 | NFP Corp., 4.875%, 8/15/2028(b) | 29,689 |
80,000 | NFP Corp., 6.875%, 8/15/2028(b) | 81,328 |
65,000 | NFP Corp., 8.500%, 10/01/2031(b) | 70,454 |
257,361 | ||
Building Materials — 3.0% | ||
25,000 | ACProducts Holdings, Inc., 6.375%, 5/15/2029(b) | 18,508 |
115,000 | Beacon Roofing Supply, Inc., 6.500%, 8/01/2030(b) | 117,584 |
90,000 | Builders FirstSource, Inc., 4.250%, 2/01/2032(b) | 81,178 |
40,000 | Builders FirstSource, Inc., 5.000%, 3/01/2030(b) | 38,626 |
45,000 | Camelot Return Merger Sub, Inc., 8.750%, 8/01/2028(b) | 45,676 |
415,000 | Cemex SAB de CV, 3.875%, 7/11/2031(b) | 371,162 |
60,000 | Cornerstone Building Brands, Inc., 6.125%, 1/15/2029(b) | 49,200 |
Principal Amount | Description | Value (†) |
Building Materials — continued | ||
$190,000 | Foundation Building Materials, Inc., 6.000%, 3/01/2029(b) | $170,835 |
115,000 | LBM Acquisition LLC, 6.250%, 1/15/2029(b) | 102,689 |
60,000 | MIWD Holdco II LLC/MIWD Finance Corp., 5.500%, 2/01/2030(b) | 53,100 |
70,000 | Patrick Industries, Inc., 4.750%, 5/01/2029(b) | 63,743 |
115,000 | Specialty Building Products Holdings LLC/SBP Finance Corp., 6.375%, 9/30/2026(b) | 112,788 |
65,000 | Standard Industries, Inc., 4.375%, 7/15/2030(b) | 59,695 |
65,000 | Summit Materials LLC/Summit Materials Finance Corp., 7.250%, 1/15/2031(b) | 68,491 |
1,353,275 | ||
Cable Satellite — 12.0% | ||
210,000 | Altice Financing SA, 5.000%, 1/15/2028(b) | 190,357 |
240,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031(b) | 209,676 |
1,095,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(b) | 889,827 |
140,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 6/01/2033(b) | 118,459 |
175,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030(b) | 159,909 |
200,000 | CSC Holdings LLC, 3.375%, 2/15/2031(b) | 145,915 |
2,155,000 | CSC Holdings LLC, 4.625%, 12/01/2030(b) | 1,297,569 |
405,000 | CSC Holdings LLC, 5.000%, 11/15/2031(b) | 245,025 |
390,000 | Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.875%, 8/15/2027(b) | 366,435 |
210,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 108,232 |
130,000 | DISH DBS Corp., 5.250%, 12/01/2026(b) | 111,378 |
150,000 | DISH DBS Corp., 5.750%, 12/01/2028(b) | 119,640 |
150,000 | DISH DBS Corp., 7.375%, 7/01/2028 | 89,667 |
420,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 292,534 |
40,000 | DISH Network Corp., 11.750%, 11/15/2027(b) | 41,754 |
135,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028(b) | 66,148 |
260,000 | Sirius XM Radio, Inc., 3.875%, 9/01/2031(b) | 222,426 |
85,000 | Telesat Canada/Telesat LLC, 5.625%, 12/06/2026(b) | 52,127 |
80,000 | Viasat, Inc., 6.500%, 7/15/2028(b) | 65,700 |
245,000 | Virgin Media Secured Finance PLC, 5.500%, 5/15/2029(b) | 236,729 |
380,000 | Ziggo Bond Co. BV, 6.000%, 1/15/2027(b) | 369,839 |
5,399,346 | ||
Chemicals — 1.4% | ||
105,000 | ASP Unifrax Holdings, Inc., 5.250%, 9/30/2028(b) | 75,821 |
200,000 | Braskem Netherlands Finance BV, 8.500%, 1/12/2031(b) | 186,000 |
170,000 | Hercules LLC, 6.500%, 6/30/2029 | 159,994 |
200,000 | Olympus Water U.S. Holding Corp., 9.750%, 11/15/2028(b) | 212,278 |
634,093 | ||
Consumer Cyclical Services — 3.0% | ||
245,000 | ADT Security Corp., 4.125%, 8/01/2029(b) | 225,461 |
60,000 | ANGI Group LLC, 3.875%, 8/15/2028(b) | 50,672 |
5,000 | Arches Buyer, Inc., 4.250%, 6/01/2028(b) | 4,528 |
35,000 | Arches Buyer, Inc., 6.125%, 12/01/2028(b) | 30,275 |
160,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.750%, 1/15/2029(b) | 124,346 |
885,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(b) | 844,261 |
65,000 | VT Topco, Inc., 8.500%, 8/15/2030(b) | 67,624 |
1,347,167 |
Principal Amount | Description | Value (†) |
Consumer Products — 1.0% | ||
$80,000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.750%, 1/15/2029(b) | $76,305 |
100,000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 6.625%, 7/15/2030(b) | 102,731 |
205,000 | Energizer Holdings, Inc., 4.375%, 3/31/2029(b) | 183,493 |
40,000 | Prestige Brands, Inc., 3.750%, 4/01/2031(b) | 34,967 |
75,000 | Tempur Sealy International, Inc., 3.875%, 10/15/2031(b) | 63,407 |
460,903 | ||
Diversified Manufacturing — 0.3% | ||
80,000 | Madison IAQ LLC, 5.875%, 6/30/2029(b) | 70,487 |
80,000 | Resideo Funding, Inc., 4.000%, 9/01/2029(b) | 69,800 |
140,287 | ||
Electric — 0.7% | ||
70,000 | Calpine Corp., 4.500%, 2/15/2028(b) | 66,580 |
110,000 | NRG Energy, Inc., 3.625%, 2/15/2031(b) | 94,510 |
4,000 | NRG Energy, Inc., 3.875%, 2/15/2032(b) | 3,424 |
70,000 | PG&E Corp., 5.000%, 7/01/2028 | 68,109 |
25,000 | PG&E Corp., 5.250%, 7/01/2030 | 24,114 |
40,000 | Talen Energy Supply LLC, 8.625%, 6/01/2030(b) | 42,501 |
299,238 | ||
Environmental — 0.7% | ||
195,000 | Covanta Holding Corp., 4.875%, 12/01/2029(b) | 170,370 |
105,000 | GFL Environmental, Inc., 4.000%, 8/01/2028(b) | 97,061 |
40,000 | GFL Environmental, Inc., 6.750%, 1/15/2031(b) | 41,211 |
308,642 | ||
Finance Companies — 6.0% | ||
70,000 | Aircastle Ltd., 6.500%, 7/18/2028(b) | 71,380 |
25,000 | Blackstone Secured Lending Fund, 2.750%, 9/16/2026 | 22,873 |
110,000 | Blackstone Secured Lending Fund, 3.625%, 1/15/2026 | 104,927 |
125,000 | Blue Owl Capital Corp., 3.400%, 7/15/2026 | 116,211 |
80,437 | Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024(b)(c) | 75,611 |
80,000 | Nationstar Mortgage Holdings, Inc., 5.000%, 2/01/2026(b) | 78,237 |
100,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030(b) | 90,413 |
265,000 | Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031(b) | 247,088 |
300,000 | Navient Corp., 4.875%, 3/15/2028 | 278,716 |
120,000 | Navient Corp., 5.500%, 3/15/2029 | 110,657 |
30,000 | Navient Corp., 6.750%, 6/25/2025 | 30,358 |
210,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 194,343 |
10,000 | OneMain Finance Corp., 3.875%, 9/15/2028 | 8,848 |
75,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 64,182 |
30,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 28,092 |
145,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 147,724 |
90,000 | PennyMac Financial Services, Inc., 7.875%, 12/15/2029(b) | 92,643 |
115,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025(b) | 105,512 |
40,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(b) | 36,900 |
15,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026 | 13,838 |
75,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 | 67,881 |
20,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(b) | 18,102 |
Principal Amount | Description | Value (†) |
Finance Companies — continued | ||
$230,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(b) | $202,284 |
595,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(b) | 505,469 |
2,712,289 | ||
Financial Other — 1.4% | ||
210,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 25,332 |
175,600 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(b)(d) | 13,423 |
213,200 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(b)(d) | 5,511 |
21,792 | CFLD Cayman Investment Ltd., Zero Coupon, 0.000%–27.988%, 1/31/2031(b)(e) | 142 |
200,000 | China Aoyuan Group Ltd., 6.200%, 3/24/2026(f) | 3,500 |
200,000 | China Evergrande Group, 8.750%, 6/28/2025(f) | 2,500 |
221,792 | Easy Tactic Ltd., 7.500% PIK or 6.500% Cash, 7/11/2027(g) | 9,222 |
220,000 | Fantasia Holdings Group Co. Ltd., 11.875%, 6/01/2023(f) | 5,500 |
5,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 | 4,969 |
495,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 444,621 |
5,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025 | 4,909 |
200,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(f) | 6,478 |
200,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(f) | 5,750 |
400,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(f) | 12,920 |
200,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(f) | 8,000 |
35,100 | Sunac China Holdings Ltd., 6.000% PIK or 5.000% Cash, 9/30/2026(b)(h) | 4,293 |
35,100 | Sunac China Holdings Ltd., 6.250% PIK or 5.250% Cash, 9/30/2027(b)(h) | 3,727 |
70,201 | Sunac China Holdings Ltd., 6.500% PIK or 5.500% Cash, 9/30/2027(b)(h) | 6,553 |
105,302 | Sunac China Holdings Ltd., 6.750% PIK or 5.750% Cash, 9/30/2028(b)(h) | 8,346 |
105,302 | Sunac China Holdings Ltd., 7.000% PIK or 6.000% Cash, 9/30/2029(b)(h) | 7,824 |
49,473 | Sunac China Holdings Ltd., 7.250% PIK or 6.250% Cash, 9/30/2030(b)(h) | 3,153 |
200,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(f) | 4,500 |
400,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(f) | 24,728 |
400,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(f) | 3,764 |
200,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(f) | 1,882 |
621,547 | ||
Food & Beverage — 0.8% | ||
65,000 | HLF Financing SARL LLC/Herbalife International, Inc., 4.875%, 6/01/2029(b) | 51,039 |
145,000 | Lamb Weston Holdings, Inc., 4.375%, 1/31/2032(b) | 132,280 |
90,000 | Post Holdings, Inc., 4.625%, 4/15/2030(b) | 82,786 |
35,000 | Post Holdings, Inc., 5.750%, 3/01/2027(b) | 34,725 |
65,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029(b) | 56,236 |
357,066 | ||
Gaming — 1.3% | ||
65,000 | Light & Wonder International, Inc., 7.000%, 5/15/2028(b) | 65,661 |
Principal Amount | Description | Value (†) |
Gaming — continued | ||
$40,000 | Light & Wonder International, Inc., 7.500%, 9/01/2031(b) | $41,722 |
200,000 | Melco Resorts Finance Ltd., 5.375%, 12/04/2029(b) | 176,056 |
250,000 | Wynn Macau Ltd., 5.125%, 12/15/2029(b) | 222,117 |
90,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029(b) | 84,941 |
590,497 | ||
Government Owned - No Guarantee — 0.2% | ||
125,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 99,813 |
Health Care REITs — 0.2% | ||
115,000 | MPT Operating Partnership LP/MPT Finance Corp., 3.500%, 3/15/2031 | 71,901 |
Health Insurance — 0.1% | ||
15,000 | Molina Healthcare, Inc., 3.875%, 11/15/2030(b) | 13,483 |
60,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032(b) | 52,426 |
65,909 | ||
Healthcare — 3.2% | ||
25,000 | AdaptHealth LLC, 4.625%, 8/01/2029(b) | 19,294 |
125,000 | AdaptHealth LLC, 5.125%, 3/01/2030(b) | 97,509 |
220,000 | Bausch & Lomb Escrow Corp., 8.375%, 10/01/2028(b) | 232,087 |
225,000 | CHS/Community Health Systems, Inc., 5.250%, 5/15/2030(b) | 188,178 |
205,000 | DaVita, Inc., 3.750%, 2/15/2031(b) | 168,377 |
100,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 94,173 |
20,000 | Fortrea Holdings, Inc., 7.500%, 7/01/2030(b) | 20,539 |
80,000 | Garden Spinco Corp., 8.625%, 7/20/2030(b) | 85,451 |
35,000 | Hologic, Inc., 3.250%, 2/15/2029(b) | 31,732 |
180,000 | LifePoint Health, Inc., 5.375%, 1/15/2029(b) | 133,102 |
105,000 | Medline Borrower LP, 3.875%, 4/01/2029(b) | 94,935 |
60,000 | RP Escrow Issuer LLC, 5.250%, 12/15/2025(b) | 48,006 |
160,000 | Star Parent, Inc., 9.000%, 10/01/2030(b) | 168,616 |
50,000 | U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026(b) | 41,778 |
1,423,777 | ||
Home Construction — 0.2% | ||
60,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030(b) | 52,778 |
1,200,000 | Corp. GEO SAB de CV, 8.875%, 3/27/2022(b)(f)(i) | — |
50,000 | Empire Communities Corp., 7.000%, 12/15/2025(b) | 49,750 |
102,528 | ||
Independent Energy — 5.1% | ||
45,000 | Antero Resources Corp., 5.375%, 3/01/2030(b) | 43,131 |
120,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026(b) | 120,758 |
80,000 | Baytex Energy Corp., 8.500%, 4/30/2030(b) | 82,793 |
135,000 | Baytex Energy Corp., 8.750%, 4/01/2027(b) | 139,475 |
120,000 | Chesapeake Energy Corp., 6.750%, 4/15/2029(b) | 121,116 |
155,000 | Civitas Resources, Inc., 8.375%, 7/01/2028(b) | 161,811 |
50,000 | Civitas Resources, Inc., 8.625%, 11/01/2030(b) | 53,036 |
75,000 | Crescent Energy Finance LLC, 7.250%, 5/01/2026(b) | 75,462 |
105,000 | Crescent Energy Finance LLC, 9.250%, 2/15/2028(b) | 108,945 |
45,000 | Gulfport Energy Corp., 8.000%, 5/17/2026(b) | 45,488 |
170,000 | Leviathan Bond Ltd., 6.750%, 6/30/2030(b) | 154,726 |
150,000 | Matador Resources Co., 5.875%, 9/15/2026 | 148,755 |
40,000 | MEG Energy Corp., 5.875%, 2/01/2029(b) | 38,866 |
60,000 | Murphy Oil Corp., 5.875%, 12/01/2042 | 53,011 |
170,000 | Northern Oil & Gas, Inc., 8.125%, 3/01/2028(b) | 172,125 |
60,000 | Northern Oil & Gas, Inc., 8.750%, 6/15/2031(b) | 62,496 |
40,000 | Permian Resources Operating LLC, 5.375%, 1/15/2026(b) | 39,474 |
Principal Amount | Description | Value (†) |
Independent Energy — continued | ||
$60,000 | Permian Resources Operating LLC, 5.875%, 7/01/2029(b) | $58,498 |
50,000 | Permian Resources Operating LLC, 6.875%, 4/01/2027(b) | 49,966 |
90,000 | Permian Resources Operating LLC, 7.000%, 1/15/2032(b) | 92,851 |
45,000 | Range Resources Corp., 8.250%, 1/15/2029 | 46,574 |
230,000 | Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.875%, 11/01/2028(b) | 238,331 |
15,000 | SM Energy Co., 5.625%, 6/01/2025 | 14,823 |
105,000 | SM Energy Co., 6.750%, 9/15/2026 | 104,726 |
45,000 | Southwestern Energy Co., 5.375%, 2/01/2029 | 43,915 |
50,000 | Strathcona Resources Ltd., 6.875%, 8/01/2026(b) | 47,735 |
2,318,887 | ||
Industrial Other — 0.2% | ||
60,000 | Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026(b) | 59,971 |
50,000 | Installed Building Products, Inc., 5.750%, 2/01/2028(b) | 48,500 |
108,471 | ||
Leisure — 4.8% | ||
295,000 | Carnival Corp., 5.750%, 3/01/2027(b) | 287,753 |
185,000 | Carnival Corp., 6.000%, 5/01/2029(b) | 178,008 |
15,000 | Carnival Corp., 7.000%, 8/15/2029(b) | 15,662 |
70,000 | Cinemark USA, Inc., 5.250%, 7/15/2028(b) | 64,218 |
410,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(b) | 400,635 |
10,000 | NCL Corp. Ltd., 5.875%, 3/15/2026 | 9,772 |
90,000 | NCL Corp. Ltd., 8.125%, 1/15/2029(b) | 94,012 |
70,000 | NCL Finance Ltd., 6.125%, 3/15/2028(b) | 67,006 |
125,000 | Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028 | 115,235 |
170,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026(b) | 164,198 |
320,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(b) | 315,923 |
30,000 | Royal Caribbean Cruises Ltd., 11.625%, 8/15/2027(b) | 32,645 |
50,000 | SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029(b) | 46,741 |
85,000 | Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027(b) | 79,792 |
75,000 | Viking Cruises Ltd., 5.875%, 9/15/2027(b) | 72,375 |
35,000 | Viking Cruises Ltd., 7.000%, 2/15/2029(b) | 34,699 |
190,000 | Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029(b) | 185,250 |
2,163,924 | ||
Lodging — 1.8% | ||
295,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.875%, 7/01/2031(b) | 261,135 |
110,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.000%, 6/01/2029(b) | 101,480 |
315,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(b) | 277,581 |
185,000 | Travel & Leisure Co., 4.500%, 12/01/2029(b) | 165,683 |
15,000 | Travel & Leisure Co., 4.625%, 3/01/2030(b) | 13,415 |
819,294 | ||
Media Entertainment — 1.5% | ||
310,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026(b)(f) | 15,500 |
140,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027(b)(f) | 7,000 |
295,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028(b) | 226,945 |
80,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028 | 61,545 |
Principal Amount | Description | Value (†) |
Media Entertainment — continued | ||
$60,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 5.000%, 8/15/2027(b) | $57,996 |
45,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 7.375%, 2/15/2031(b) | 47,256 |
35,000 | Playtika Holding Corp., 4.250%, 3/15/2029(b) | 30,539 |
260,000 | Stagwell Global LLC, 5.625%, 8/15/2029(b) | 239,751 |
686,532 | ||
Metals & Mining — 3.3% | ||
120,000 | ATI, Inc., 4.875%, 10/01/2029 | 111,835 |
80,000 | ATI, Inc., 7.250%, 8/15/2030 | 83,231 |
80,000 | Commercial Metals Co., 4.125%, 1/15/2030 | 73,303 |
200,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026(b) | 179,027 |
550,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027(b) | 467,415 |
65,000 | GrafTech Finance, Inc., 4.625%, 12/15/2028(b) | 43,089 |
70,000 | GrafTech Global Enterprises, Inc., 9.875%, 12/15/2028(b) | 53,961 |
50,000 | Mineral Resources Ltd., 8.000%, 11/01/2027(b) | 51,022 |
110,000 | Mineral Resources Ltd., 8.125%, 5/01/2027(b) | 111,748 |
95,000 | Mineral Resources Ltd., 9.250%, 10/01/2028(b) | 101,058 |
190,000 | Novelis Corp., 4.750%, 1/30/2030(b) | 178,685 |
40,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026(b) | 24,853 |
1,479,227 | ||
Midstream — 4.5% | ||
85,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.375%, 6/15/2029(b) | 81,716 |
25,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.875%, 5/15/2026(b) | 25,606 |
80,000 | Buckeye Partners LP, 5.600%, 10/15/2044 | 61,554 |
55,000 | Buckeye Partners LP, 5.850%, 11/15/2043 | 44,556 |
65,000 | Energy Transfer LP, 6.000%, 2/01/2029(b) | 65,584 |
125,000 | Energy Transfer LP, Series A, 3 mo. USD LIBOR + 4.028%, 9.669%(a)(j) | 120,039 |
80,000 | EnLink Midstream LLC, 6.500%, 9/01/2030(b) | 81,649 |
15,000 | EnLink Midstream Partners LP, 5.050%, 4/01/2045 | 12,413 |
30,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | 26,175 |
125,000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044 | 108,790 |
65,000 | EQM Midstream Partners LP, 5.500%, 7/15/2028 | 64,404 |
105,000 | EQM Midstream Partners LP, 6.500%, 7/01/2027(b) | 106,914 |
50,000 | EQM Midstream Partners LP, 6.500%, 7/15/2048 | 51,235 |
55,000 | EQM Midstream Partners LP, 7.500%, 6/01/2027(b) | 56,672 |
80,000 | EQM Midstream Partners LP, 7.500%, 6/01/2030(b) | 86,002 |
80,000 | Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026(b) | 78,291 |
200,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030(b) | 184,000 |
5,000 | Hess Midstream Operations LP, 5.125%, 6/15/2028(b) | 4,824 |
30,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026(b) | 29,780 |
105,000 | Kinetik Holdings LP, 5.875%, 6/15/2030(b) | 103,010 |
130,000 | Kinetik Holdings LP, 6.625%, 12/15/2028(b) | 132,445 |
65,000 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031(b) | 58,928 |
50,000 | Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029 | 46,446 |
225,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(b) | 190,676 |
130,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(b) | 114,531 |
110,000 | Venture Global LNG, Inc., 8.375%, 6/01/2031(b) | 109,943 |
2,046,183 |
Principal Amount | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — 1.8% | ||
$94,077 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1 mo. USD SOFR + 3.614%, 8.976%, 11/15/2031(a)(b) | $42,251 |
211,672 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1 mo. USD SOFR + 4.614%, 9.976%, 11/15/2031(a)(b) | 80,430 |
1,020,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037(b) | 479,341 |
380,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, PRIME + 0.000%, 8.500%, 11/15/2027(a)(b)(d)(i) | 86,108 |
420,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, PRIME + 0.000%, 8.500%, 11/15/2027(a)(b)(d)(i) | 21,000 |
60,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.118%, 11/15/2059(a) | 42,623 |
32,729 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.855%, 3/15/2044(a)(b) | 9,485 |
80,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.329%, 12/15/2045(a) | 54,494 |
815,732 | ||
Oil Field Services — 1.8% | ||
60,000 | Diamond Foreign Asset Co./Diamond Finance LLC, 8.500%, 10/01/2030(b) | 61,356 |
60,000 | Nabors Industries, Inc., 9.125%, 1/31/2030(b) | 60,244 |
25,000 | Oceaneering International, Inc., 6.000%, 2/01/2028(b) | 24,359 |
60,000 | Solaris Midstream Holdings LLC, 7.625%, 4/01/2026(b) | 60,807 |
60,000 | Transocean Aquila Ltd., 8.000%, 9/30/2028(b) | 60,898 |
333,750 | Transocean Poseidon Ltd., 6.875%, 2/01/2027(b) | 332,093 |
25,000 | Transocean Titan Financing Ltd., 8.375%, 2/01/2028(b) | 25,937 |
90,000 | Transocean, Inc., 7.500%, 1/15/2026(b) | 88,755 |
90,000 | Weatherford International Ltd., 8.625%, 4/30/2030(b) | 93,965 |
808,414 | ||
Other REITs — 0.7% | ||
145,000 | Service Properties Trust, 4.750%, 10/01/2026 | 135,303 |
40,000 | Service Properties Trust, 7.500%, 9/15/2025 | 40,445 |
120,000 | Service Properties Trust, 8.625%, 11/15/2031(b) | 125,692 |
301,440 | ||
Packaging — 0.2% | ||
45,000 | Graham Packaging Co., Inc., 7.125%, 8/15/2028(b) | 40,500 |
55,000 | Sealed Air Corp./Sealed Air Corp. U.S., 6.125%, 2/01/2028(b) | 55,474 |
95,974 | ||
Pharmaceuticals — 4.8% | ||
275,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(b) | 165,617 |
565,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030(b) | 260,448 |
55,000 | Bausch Health Cos., Inc., 6.125%, 2/01/2027(b) | 37,125 |
200,000 | Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028(b) | 189,876 |
270,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.125%, 4/30/2031(b) | 230,808 |
200,000 | Perrigo Finance Unlimited Co., 4.650%, 6/15/2030 | 181,920 |
325,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 311,022 |
195,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 180,551 |
Principal Amount | Description | Value (†) |
Pharmaceuticals — continued | ||
$565,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | $382,419 |
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 215,552 |
2,155,338 | ||
Property & Casualty Insurance — 1.2% | ||
40,000 | Acrisure LLC/Acrisure Finance, Inc., 4.250%, 2/15/2029(b) | 36,118 |
70,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.750%, 10/15/2027(b) | 69,753 |
100,000 | AmWINS Group, Inc., 4.875%, 6/30/2029(b) | 91,323 |
55,000 | AssuredPartners, Inc., 5.625%, 1/15/2029(b) | 51,345 |
65,000 | BroadStreet Partners, Inc., 5.875%, 4/15/2029(b) | 60,674 |
145,000 | HUB International Ltd., 7.250%, 6/15/2030(b) | 153,153 |
125,000 | Liberty Mutual Group, Inc., 4.300%, 2/01/2061(b) | 82,593 |
544,959 | ||
Refining — 0.7% | ||
125,000 | CVR Energy, Inc., 5.250%, 2/15/2025(b) | 124,788 |
120,000 | CVR Energy, Inc., 8.500%, 1/15/2029(b) | 119,400 |
5,000 | HF Sinclair Corp., 5.000%, 2/01/2028(b) | 4,849 |
5,000 | Parkland Corp., 4.500%, 10/01/2029(b) | 4,582 |
45,000 | PBF Holding Co. LLC/PBF Finance Corp., 7.875%, 9/15/2030(b) | 45,832 |
299,451 | ||
Restaurants — 0.9% | ||
330,000 | 1011778 BC ULC/New Red Finance, Inc., 3.875%, 1/15/2028(b) | 311,759 |
65,000 | Papa John's International, Inc., 3.875%, 9/15/2029(b) | 57,497 |
15,000 | Yum! Brands, Inc., 3.625%, 3/15/2031 | 13,527 |
35,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 32,728 |
415,511 | ||
Retailers — 1.5% | ||
15,000 | Asbury Automotive Group, Inc., 4.500%, 3/01/2028 | 14,246 |
90,000 | Asbury Automotive Group, Inc., 4.625%, 11/15/2029(b) | 83,304 |
128,000 | Asbury Automotive Group, Inc., 4.750%, 3/01/2030 | 119,485 |
25,000 | Bath & Body Works, Inc., 5.250%, 2/01/2028 | 24,726 |
40,000 | Bath & Body Works, Inc., 6.750%, 7/01/2036 | 40,253 |
55,000 | Bath & Body Works, Inc., 6.875%, 11/01/2035 | 55,689 |
40,000 | Ken Garff Automotive LLC, 4.875%, 9/15/2028(b) | 37,856 |
35,000 | Lithia Motors, Inc., 4.375%, 1/15/2031(b) | 31,816 |
65,000 | Michaels Cos., Inc., 7.875%, 5/01/2029(b) | 40,923 |
60,000 | NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026(b) | 57,657 |
85,000 | Sonic Automotive, Inc., 4.625%, 11/15/2029(b) | 77,351 |
120,000 | Sonic Automotive, Inc., 4.875%, 11/15/2031(b) | 106,962 |
690,268 | ||
Technology — 5.2% | ||
70,000 | Cloud Software Group, Inc., 6.500%, 3/31/2029(b) | 66,671 |
445,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(b) | 185,231 |
70,000 | CommScope, Inc., 4.750%, 9/01/2029(b) | 46,998 |
50,000 | CommScope, Inc., 6.000%, 3/01/2026(b) | 44,574 |
35,000 | Dun & Bradstreet Corp., 5.000%, 12/15/2029(b) | 32,649 |
80,000 | Elastic NV, 4.125%, 7/15/2029(b) | 73,460 |
60,000 | Everi Holdings, Inc., 5.000%, 7/15/2029(b) | 54,464 |
160,000 | GoTo Group, Inc., 5.500%, 9/01/2027(b) | 77,391 |
213,000 | GTCR W-2 Merger Sub LLC, 7.500%, 1/15/2031(b) | 225,082 |
185,000 | Iron Mountain, Inc., 4.500%, 2/15/2031(b) | 167,521 |
110,000 | Iron Mountain, Inc., 4.875%, 9/15/2029(b) | 104,179 |
5,000 | Iron Mountain, Inc., 5.250%, 7/15/2030(b) | 4,760 |
Principal Amount | Description | Value (†) |
Technology — continued | ||
$205,000 | NCR Atleos Corp., 9.500%, 4/01/2029(b) | $217,812 |
195,000 | NCR Voyix Corp., 5.000%, 10/01/2028(b) | 184,327 |
55,000 | NCR Voyix Corp., 5.125%, 4/15/2029(b) | 52,283 |
95,000 | Neptune Bidco U.S., Inc., 9.290%, 4/15/2029(b) | 88,587 |
145,000 | Newfold Digital Holdings Group, Inc., 11.750%, 10/15/2028(b) | 155,984 |
5,000 | Paysafe Finance PLC/Paysafe Holdings U.S. Corp., 4.000%, 6/15/2029(b) | 4,412 |
70,000 | Presidio Holdings, Inc., 8.250%, 2/01/2028(b) | 70,720 |
70,000 | Rackspace Technology Global, Inc., 5.375%, 12/01/2028(b) | 25,130 |
60,000 | Sabre Global, Inc., 11.250%, 12/15/2027(b) | 58,952 |
5,000 | Seagate HDD Cayman, 4.091%, 6/01/2029 | 4,633 |
40,000 | Seagate HDD Cayman, 4.875%, 6/01/2027 | 39,232 |
90,000 | Seagate HDD Cayman, 8.250%, 12/15/2029(b) | 97,067 |
120,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(b) | 105,688 |
50,000 | Sensata Technologies, Inc., 4.375%, 2/15/2030(b) | 46,373 |
45,000 | Western Digital Corp., 2.850%, 2/01/2029 | 38,739 |
70,000 | Ziff Davis, Inc., 4.625%, 10/15/2030(b) | 64,220 |
2,337,139 | ||
Transportation Services — 0.7% | ||
330,000 | Rand Parent LLC, 8.500%, 2/15/2030(b) | 315,629 |
Treasuries — 2.0% | ||
900,000 | U.S. Treasury Notes, 2.750%, 2/15/2024 | 897,162 |
Wireless — 1.5% | ||
230,000 | Altice France SA, 5.125%, 1/15/2029(b) | 178,882 |
200,000 | Altice France SA, 8.125%, 2/01/2027(b) | 184,366 |
330,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 301,013 |
664,261 | ||
Wirelines — 1.9% | ||
55,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 45,874 |
165,000 | Frontier Communications Holdings LLC, 5.000%, 5/01/2028(b) | 152,489 |
215,000 | Frontier Communications Holdings LLC, 5.875%, 10/15/2027(b) | 207,712 |
65,000 | Level 3 Financing, Inc., 3.625%, 1/15/2029(b) | 27,300 |
95,000 | Level 3 Financing, Inc., 4.250%, 7/01/2028(b) | 47,025 |
65,000 | Lumen Technologies, Inc., 4.000%, 2/15/2027(b) | 41,949 |
225,000 | Telecom Italia Capital SA, 6.375%, 11/15/2033 | 220,074 |
120,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028(b) | 103,428 |
845,851 | ||
Total Non-Convertible Bonds (Identified Cost $48,561,186) | 40,143,805 | |
Convertible Bonds — 3.8% | ||
Airlines — 0.5% | ||
215,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 217,258 |
Cable Satellite — 1.6% | ||
1,265,000 | DISH Network Corp., 3.375%, 8/15/2026 | 670,450 |
120,000 | DISH Network Corp., Zero Coupon, 6.944%–33.530%, 12/15/2025(e) | 74,400 |
744,850 | ||
Consumer Cyclical Services — 0.1% | ||
20,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 27,260 |
Financial Other — 0.0% | ||
43,388 | Sunac China Holdings Ltd., 7.800% PIK or 7.800% Cash, 9/30/2032(b)(h) | 3,254 |
Principal Amount | Description | Value (†) |
Gaming — 0.1% | ||
$40,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | $51,800 |
Healthcare — 0.3% | ||
125,000 | Envista Holdings Corp., 1.750%, 8/15/2028(b) | 113,750 |
Independent Energy — 0.2% | ||
90,000 | Northern Oil & Gas, Inc., 3.625%, 4/15/2029 | 106,110 |
Leisure — 0.2% | ||
85,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 78,147 |
Pharmaceuticals — 0.7% | ||
325,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 333,742 |
Technology — 0.1% | ||
20,000 | Wolfspeed, Inc., 0.250%, 2/15/2028 | 13,470 |
40,000 | Wolfspeed, Inc., 1.875%, 12/01/2029 | 27,260 |
40,730 | ||
Total Convertible Bonds (Identified Cost $2,590,140) | 1,716,901 | |
Total Bonds and Notes (Identified Cost $51,151,326) | 41,860,706 | |
Senior Loans — 3.0% | ||
Aerospace & Defense — 0.3% | ||
155,000 | TransDigm, Inc., 2023 Term Loan J, 3 mo. USD SOFR + 3.250%, 8.598%, 2/14/2031(a)(k) | 155,581 |
Brokerage — 0.1% | ||
64,834 | Edelman Financial Center LLC, 2021 Term Loan B, 4/07/2028(l) | 64,875 |
Chemicals — 0.2% | ||
78,802 | Chemours Co., 2023 USD Term Loan B, 1 mo. USD SOFR + 3.500%, 8.856%, 8/18/2028(a)(k) | 78,566 |
Electric — 0.1% | ||
28,855 | Talen Energy Supply LLC, 2023 Term Loan B, 3 mo. USD SOFR + 4.500%, 9.869%, 5/17/2030(a)(k) | 28,975 |
Food & Beverage — 0.2% | ||
95,000 | Chobani LLC, 2023 Incremental Term Loan, 3 mo. USD SOFR + 3.750%, 9.112%, 10/25/2027(a)(k) | 95,079 |
Healthcare — 0.3% | ||
17,000 | IVC Acquisition Ltd., 2023 USD Term Loan B, 11/17/2028(l) | 17,014 |
126,820 | Star Parent, Inc., Term Loan B, 3 mo. USD SOFR + 4.000%, 9.348%, 9/27/2030(a)(k) | 125,181 |
142,195 | ||
Leisure — 0.6% | ||
180,424 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.720%, 10/18/2028(a)(k) | 180,500 |
72,751 | Carnival Corp., 2023 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.357%, 8/08/2027(a)(k) | 72,811 |
253,311 | ||
Media Entertainment — 0.2% | ||
112,327 | MH Sub I LLC, 2023 Term Loan, 1 mo. USD SOFR + 4.250%, 9.606%, 5/03/2028(a)(k) | 110,252 |
Property & Casualty Insurance — 0.5% | ||
47,373 | Acrisure LLC, 2020 Term Loan B, 2/15/2027(a)(k) | 47,212 |
77,186 | Acrisure LLC, 2020 Term Loan B, 2/15/2027(l) | 76,924 |
15,994 | AssuredPartners, Inc., 2023 Term Loan B4, 2/12/2027(l) | 16,023 |
Principal Amount | Description | Value (†) |
Property & Casualty Insurance — continued | ||
$13,545 | USI, Inc., 2023 Acquisition Term Loan, 3 mo. USD SOFR + 3.250%, 8.598%, 9/27/2030(a)(k) | $13,549 |
55,579 | USI, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 3.000%, 8.348%, 11/22/2029(a)(k) | 55,623 |
209,331 | ||
Technology — 0.3% | ||
55,000 | Iron Mountain, Inc., 2023 Term Loan B, 1/31/2031(l) | 54,966 |
103,859 | Neptune Bidco U.S., Inc., 2022 USD Term Loan B, 3 mo. USD SOFR + 5.000%, 10.507%, 4/11/2029(a)(k) | 94,641 |
149,607 | ||
Transportation Services — 0.2% | ||
79,244 | PODS LLC, 2021 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.470%, 3/31/2028(l) | 77,433 |
Total Senior Loans (Identified Cost $1,355,497) | 1,365,205 | |
Collateralized Loan Obligations — 1.1% | ||
250,000 | Battalion CLO XVI Ltd., Series 2019-16A, Class ER, 3 mo. USD SOFR + 6.862%, 12.277%, 12/19/2032(a)(b) | 232,080 |
250,000 | NYACK Park CLO Ltd., Series 2021-1A, Class E, 3 mo. USD SOFR + 6.362%, 11.777%, 10/20/2034(a)(b) | 237,209 |
Total Collateralized Loan Obligations (Identified Cost $500,000) | 469,289 |
Shares | ||
Preferred Stocks — 0.3% | ||
Convertible Preferred Stock — 0.3% | ||
Technology — 0.3% | ||
3,738 | Clarivate PLC, Series A, 5.250% (Identified Cost $169,212) | 143,165 |
Common Stocks— 0.1% | ||
Energy Equipment & Services — 0.0% | ||
10,149 | McDermott International Ltd.(d) | 913 |
Media — 0.0% | ||
9,786 | iHeartMedia, Inc., Class A(d) | 26,129 |
Oil, Gas & Consumable Fuels — 0.1% | ||
3,650 | Battalion Oil Corp.(d) | 35,077 |
Total Common Stocks (Identified Cost $841,517) | 62,119 | |
Warrants — 0.0% | ||
20,319 | McDermott International Ltd., Tranche A, Expiration on 5/1/2024, (d)(i) | — |
22,577 | McDermott International Ltd., Tranche B, Expiration on 5/1/2024, (d)(i) | — |
Total Warrants (Identified Cost $31,517) | — | |
Other Investments — 0.0% | ||
Aircraft ABS — 0.0% | ||
100 | ECAF I Blocker, Ltd.(i)(m) (Identified Cost $1,000,000) | — |
Principal Amount | Description | Value (†) |
Short-Term Investments — 3.3% | ||
$911,604 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $911,857 on 1/02/2024 collateralized by $913,300 U.S. Treasury Note, 4.125% due 9/30/2027 valued at $929,842 including accrued interest (Note 2 of Notes to Financial Statements) | $911,604 |
580,000 | U.S. Treasury Bills, 5.170%–5.237%, 4/09/2024(n)(o) | 571,796 |
Total Short-Term Investments (Identified Cost $1,483,307) | 1,483,400 | |
Total Investments — 100.6% (Identified Cost $56,532,376) | 45,383,884 | |
Other assets less liabilities — (0.6)% | (276,900 ) | |
Net Assets — 100.0% | $45,106,984 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Variable rate security. Rate as of December 31, 2023 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description. |
(b) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, the value of Rule 144A holdings amounted to $32,057,040 or 71.1% of net assets. |
(c) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended December 31, 2023, interest payments were made in cash. |
(d) | Non-income producing security. |
(e) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields. |
(f) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(g) | Payment–in–kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended December 31, 2023, interest payments were made in principal. |
(h) | Payment–in–kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were received during the period. |
(i) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
(j) | Perpetual bond with no specified maturity date. |
(k) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate which may range from 0.00% to 2.50%, to which the spread is added. |
(l) | Position is unsettled. Contract rate was not determined at December 31, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(m) | Securities subject to restriction on resale. At December 31, 2023, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |
ECAF I Blocker, Ltd. | 6/18/2015 | $1,000,000 | $— | 0.0% |
(n) | The Fund's investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
(o) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
ABS | Asset-Backed Securities |
LIBOR | London Interbank Offered Rate |
PIK | Payment-in-Kind |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
Sell Protection |
Reference Obligation | (Pay)/ Receive Fixed Rate | Expiration Date | Implied Credit Spread^ | Notional Value(‡) | Unamortized Up Front Premium Paid/(Received) | Market Value | Unrealized Appreciation (Depreciation) |
CDX.NA.HY* .S41 | 5.00 % | 12/20/2028 | 3.56 % | 420,750 | $(4,921 ) | $25,242 | $30,163 |
(‡) | Notional value stated in U.S. dollars unless otherwise noted. |
^ | Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
* | CDX.NA.HY is an index composed of North American high yield credit default swaps. |
Cable Satellite | 13.6 % |
Finance Companies | 6.0 |
Technology | 5.9 |
Leisure | 5.6 |
Pharmaceuticals | 5.5 |
Independent Energy | 5.3 |
Midstream | 4.5 |
Healthcare | 3.8 |
Metals & Mining | 3.3 |
Consumer Cyclical Services | 3.1 |
Building Materials | 3.0 |
Banking | 2.5 |
Treasuries | 2.0 |
Other Investments, less than 2% each | 32.1 |
Collateralized Loan Obligations | 1.1 |
Short-Term Investments | 3.3 |
Total Investments | 100.6 |
Other assets less liabilities (including swap agreements) | (0.6 ) |
Net Assets | 100.0 % |
Principal Amount | Description | Value (†) |
Bonds and Notes — 74.9% of Net Assets | ||
Non-Convertible Bonds — 73.4% | ||
ABS Car Loan — 3.7% | ||
$3,200,000 | American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028(a) | $3,078,234 |
1,785,000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029(a) | 1,807,170 |
13,370,000 | American Credit Acceptance Receivables Trust, Series 2023-2, Class C, 5.960%, 8/13/2029(a) | 13,349,715 |
4,795,000 | American Credit Acceptance Receivables Trust, Series 2023-3, Class D, 6.820%, 10/12/2029(a) | 4,883,645 |
11,365,000 | American Credit Acceptance Receivables Trust, Series 2023-4, Class D, 7.650%, 9/12/2030(a) | 11,714,304 |
10,244,793 | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class D, 2.990%, 6/18/2025 | 10,229,496 |
1,395,000 | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026 | 1,345,895 |
5,500,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class D, 3.040%, 3/20/2025(a) | 5,444,686 |
8,910,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027(a) | 8,311,615 |
7,500,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class D, 4.080%, 2/20/2028(a) | 6,601,125 |
7,985,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-4A, Class C, 7.240%, 6/20/2029(a) | 8,153,682 |
2,810,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-8A, Class C, 7.340%, 2/20/2030(a) | 2,866,365 |
21,010,000 | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class D, 7.840%, 8/15/2029 | 21,816,853 |
2,550,000 | CarMax Auto Owner Trust, Series 2021-3, Class D, 1.500%, 1/18/2028 | 2,352,594 |
1,100,000 | CarMax Auto Owner Trust, Series 2022-1, Class D, 2.470%, 7/17/2028 | 1,008,788 |
11,965,000 | CarMax Auto Owner Trust, Series 2023-1, Class D, 6.270%, 11/15/2029 | 11,928,042 |
1,540,000 | CarMax Auto Owner Trust, Series 2023-2, Class D, 6.550%, 10/15/2029 | 1,549,774 |
3,035,000 | CarMax Auto Owner Trust, Series 2023-4, Class D, 7.160%, 4/15/2030 | 3,121,179 |
1,595,000 | Carvana Auto Receivables Trust, Series 2023-N1, Class D, 6.690%, 7/10/2029(a) | 1,596,434 |
1,860,000 | Carvana Auto Receivables Trust, Series 2023-N4, Class D, 7.220%, 2/11/2030(a) | 1,900,512 |
275,000 | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030(a) | 272,867 |
2,970,000 | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class C, 7.710%, 7/15/2033(a) | 3,048,625 |
4,835,000 | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class C, 7.150%, 9/15/2033(a) | 4,881,450 |
2,035,000 | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class C, 7.620%, 12/15/2033(a) | 2,090,291 |
10,500,000 | DT Auto Owner Trust, Series 2022-1A, Class D, 3.400%, 12/15/2027(a) | 10,002,352 |
9,695,000 | DT Auto Owner Trust, Series 2023-1A, Class D, 6.440%, 11/15/2028(a) | 9,695,421 |
10,700,000 | DT Auto Owner Trust, Series 2023-2A, Class D, 6.620%, 2/15/2029(a) | 10,735,041 |
Principal Amount | Description | Value (†) |
ABS Car Loan — continued | ||
$7,695,000 | DT Auto Owner Trust, Series 2023-3A, Class D, 7.120%, 5/15/2029(a) | $7,871,870 |
7,410,000 | Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026 | 7,168,387 |
2,685,000 | Exeter Automobile Receivables Trust, Series 2022-2A, Class D, 4.560%, 7/17/2028 | 2,604,021 |
4,130,000 | Exeter Automobile Receivables Trust, Series 2022-3A, Class D, 6.760%, 9/15/2028 | 4,128,077 |
2,575,000 | Exeter Automobile Receivables Trust, Series 2022-6A, Class C, 6.320%, 5/15/2028 | 2,587,291 |
2,675,000 | Exeter Automobile Receivables Trust, Series 2023-1A, Class D, 6.690%, 6/15/2029 | 2,694,777 |
6,035,000 | Exeter Automobile Receivables Trust, Series 2023-2A, Class D, 6.320%, 8/15/2029 | 6,077,366 |
3,100,000 | Exeter Automobile Receivables Trust, Series 2023-3A, Class D, 6.680%, 4/16/2029 | 3,126,124 |
14,145,000 | Exeter Automobile Receivables Trust, Series 2023-5A, Class D, 7.130%, 2/15/2030 | 14,542,333 |
2,660,000 | First Investors Auto Owner Trust, Series 2022-1A, Class D, 3.790%, 6/15/2028(a) | 2,528,092 |
1,910,000 | First Investors Auto Owner Trust, Series 2022-2A, Class D, 8.710%, 10/16/2028(a) | 2,011,437 |
3,126,489 | Flagship Credit Auto Trust, Series 2019-3, Class D, 2.860%, 12/15/2025(a) | 3,091,032 |
2,520,000 | Flagship Credit Auto Trust, Series 2023-1, Class D, 6.460%, 5/15/2029(a) | 2,509,091 |
11,331,000 | Flagship Credit Auto Trust, Series 2023-2, Class D, 6.620%, 5/15/2029(a) | 11,407,744 |
1,800,000 | Flagship Credit Auto Trust, Series 2023-3, Class D, 6.580%, 8/15/2029(a) | 1,792,456 |
4,225,000 | Ford Credit Auto Lease Trust, Series 2023-B, Class D, 6.970%, 6/15/2028 | 4,301,173 |
2,552,054 | Ford Credit Auto Owner Trust, Series 2020-C, Class A3, 0.410%, 7/15/2025 | 2,525,876 |
6,322,394 | Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025 | 6,233,064 |
4,580,000 | GLS Auto Receivables Issuer Trust, Series 2023-2A, Class D, 6.310%, 3/15/2029(a) | 4,611,794 |
3,550,000 | GLS Auto Receivables Issuer Trust, Series 2023-3A, Class D, 6.440%, 5/15/2029(a) | 3,562,298 |
6,440,000 | GLS Auto Receivables Issuer Trust, Series 2023-4A, Class D, 7.180%, 8/15/2029(a) | 6,614,905 |
2,083,028 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025 | 2,055,216 |
8,698,155 | GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026 | 8,498,774 |
11,298,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026(a) | 10,705,503 |
4,198,000 | Hertz Vehicle Financing III LLC, Series 2022-3A, Class D, 6.310%, 3/25/2025(a) | 4,179,705 |
3,850,000 | Hertz Vehicle Financing III LLC, Series 2023-1A, Class D2, 9.130%, 6/25/2027(a) | 3,868,622 |
5,080,000 | Hertz Vehicle Financing III LLC, Series 2023-3A, Class D, 9.430%, 2/25/2028(a) | 5,130,302 |
12,845,000 | Hertz Vehicle Financing LLC, Series 2022-2A, Class D, 5.160%, 6/26/2028(a) | 11,523,501 |
6,675,000 | Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026(a) | 6,438,037 |
2,701,711 | Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025 | 2,668,907 |
Principal Amount | Description | Value (†) |
ABS Car Loan — continued | ||
$337,959 | JPMorgan Chase Bank N.A, Series 2021-1, Class D, 1.174%, 9/25/2028(a) | $331,976 |
5,370,000 | LAD Auto Receivables Trust, Series 2023-3A, Class C, 6.430%, 12/15/2028(a) | 5,478,200 |
2,715,000 | LAD Auto Receivables Trust, Series 2023-4A, Class C, 6.760%, 3/15/2029(a) | 2,768,473 |
1,460,000 | LAD Auto Receivables Trust, Series 2023-4A, Class D, 7.370%, 4/15/2031(a) | 1,491,482 |
1,555,000 | OneMain Direct Auto Receivables Trust, Series 2023-1A, Class D, 7.070%, 2/14/2033(a) | 1,585,965 |
4,350,000 | Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028(a) | 4,234,316 |
4,970,000 | Prestige Auto Receivables Trust, Series 2023-1A, Class D, 6.330%, 4/16/2029(a) | 4,958,400 |
2,725,000 | Prestige Auto Receivables Trust, Series 2023-2A, Class D, 7.710%, 8/15/2029(a) | 2,804,653 |
2,730,000 | SFS Auto Receivables Securitization Trust, Series 2023-1A, Class C, 5.970%, 2/20/2031(a) | 2,741,140 |
3,055,000 | Westlake Automobile Receivables Trust, Series 2023-1A, Class D, 6.790%, 11/15/2028(a) | 3,090,529 |
7,350,000 | Westlake Automobile Receivables Trust, Series 2023-2A, Class D, 7.010%, 11/15/2028(a) | 7,458,395 |
8,400,000 | Westlake Automobile Receivables Trust, Series 2023-3A, Class D, 6.470%, 3/15/2029(a) | 8,476,952 |
13,315,000 | Westlake Automobile Receivables Trust, Series 2023-4A, Class D, 7.190%, 7/16/2029(a) | 13,574,384 |
379,838,795 | ||
ABS Credit Card — 0.1% | ||
4,007,000 | Mission Lane Credit Card Master Trust, Series 2023-A, Class A, 7.230%, 7/17/2028(a) | 4,010,418 |
8,286,000 | Mission Lane Credit Card Master Trust, Series 2023-B, Class A, 7.690%, 11/15/2028(a) | 8,372,275 |
12,382,693 | ||
ABS Home Equity — 3.9% | ||
15,451,000 | American Homes 4 Rent Trust, Series 2015-SFR1, Class E, 5.639%, 4/17/2052(a) | 15,339,739 |
2,671,130 | Citigroup Mortgage Loan Trust, Inc., Series 2019-RP1, Class A1, 3.500%, 1/25/2066(a)(b) | 2,558,091 |
20,113,986 | COLT Mortgage Loan Trust, Series 2021-6, Class A1, 1.907%, 12/25/2066(a)(b) | 17,333,811 |
2,434,000 | CoreVest American Finance Ltd., Series 2019-1, Class D, 4.818%, 3/15/2052(a) | 2,294,921 |
2,651,040 | CoreVest American Finance Ltd., Series 2019-3, Class A, 2.705%, 10/15/2052(a) | 2,562,856 |
2,929,000 | CoreVest American Finance Ltd., Series 2019-3, Class B, 3.163%, 10/15/2052(a) | 2,584,615 |
1,259,000 | CoreVest American Finance Ltd., Series 2020-2, Class C, 4.586%, 5/15/2052(a)(b) | 1,177,009 |
1,870,000 | CoreVest American Finance Ltd., Series 2021-3, Class D, 3.469%, 10/15/2054(a) | 1,548,256 |
16,765,000 | CoreVest American Finance Ltd., Series 2021-RTL1, Class A1, 2.239%, 3/28/2029(a)(b) | 15,775,845 |
10,565,000 | CoreVest American Finance Ltd., Series 2023-RTL1, Class A1, 7.553%, 12/28/2030(a)(b) | 10,586,077 |
2,727,337 | Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 4.046%, 3/25/2060(a)(b) | 2,580,759 |
Principal Amount | Description | Value (†) |
ABS Home Equity — continued | ||
$4,483,751 | Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060(a)(b) | $4,352,466 |
5,639,758 | Deephaven Residential Mortgage Trust, Series 2021-2, Class A1, 0.899%, 4/25/2066(a)(b) | 4,815,458 |
5,079,385 | Federal Home Loan Mortgage Corp., Series 2022-DNA3, Class M1A, REMICS, 30 day USD SOFR Average + 2.000%, 7.337%, 4/25/2042(a)(b) | 5,125,551 |
4,970,228 | Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2023-DNA2, Class M1A, 30 day USD SOFR Average + 2.100%, 7.437%, 4/25/2043(a)(b) | 5,047,779 |
3,400,364 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2022-R06, Class 1M1, 30 day USD SOFR Average + 2.750%, 8.087%, 5/25/2042(a)(b) | 3,495,999 |
8,503,004 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2023-R02, Class 1M1, 30 day USD SOFR Average + 2.300%, 7.637%, 1/25/2043(a)(b) | 8,704,861 |
2,579,676 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2023-R08, Class 1M1, 30 day USD SOFR Average + 1.500%, 6.837%, 10/25/2043(a)(b) | 2,584,513 |
3,083,000 | FirstKey Homes Trust, Series 2020-SFR1, Class D, 2.241%, 8/17/2037(a) | 2,880,632 |
1,515,000 | FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037(a) | 1,421,764 |
13,696,000 | FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.968%, 10/19/2037(a) | 12,693,071 |
6,000,000 | FirstKey Homes Trust, Series 2021-SFR2, Class B, 1.607%, 9/17/2038(a) | 5,367,896 |
10,000,000 | FirstKey Homes Trust, Series 2021-SFR3, Class B, 2.435%, 12/17/2038(a) | 9,097,446 |
9,710,000 | FirstKey Homes Trust, Series 2022-SFR2, Class D, 4.500%, 7/17/2039(a) | 8,985,980 |
3,214,463 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068(a)(b) | 3,049,234 |
5,234,799 | GITSIT Mortgage Loan Trust, Series 2023-NPL1, Class A1, 8.353%, 5/25/2053(a)(b) | 5,287,262 |
2,307,820 | Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/2039(a) | 2,054,330 |
2,423,909 | Home Partners of America Trust, Series 2019-2, Class D, 3.121%, 10/19/2039(a) | 2,159,273 |
975,045 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041(a) | 787,073 |
10,344,071 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026(a) | 9,153,466 |
5,162,413 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026(a) | 4,563,119 |
7,283,922 | Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 7.250%, 11/25/2059(a)(b) | 7,281,844 |
4,919,507 | Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 5.882%, 10/25/2059(a)(b) | 4,914,264 |
1,341,743 | Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 6.250%, 6/25/2060(a)(b) | 1,340,490 |
1,867,483 | Legacy Mortgage Asset Trust, Series 2021-GS4, Class A1, 1.650%, 11/25/2060(a)(b) | 1,776,087 |
1,467,786 | Mill City Mortgage Loan Trust, Series 2018-2, Class M1, 3.750%, 5/25/2058(a)(b) | 1,406,725 |
Principal Amount | Description | Value (†) |
ABS Home Equity — continued | ||
$1,936,371 | Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.250%, 10/25/2069(a)(b) | $1,854,714 |
2,744,944 | Mill City Mortgage Loan Trust, Series 2019-1, Class M1, 3.500%, 10/25/2069(a)(b) | 2,511,237 |
4,101,780 | Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1, 2.750%, 7/25/2059(a)(b) | 3,902,970 |
13,615,000 | NLT Trust, Series 2023-1, Class A1, 3.200%, 10/25/2062(a)(b) | 12,137,473 |
5,601,951 | OBX Trust, Series 2021-NQM3, Class A1, 1.054%, 7/25/2061(a)(b) | 4,280,702 |
3,860,000 | Progress Residential Trust, Series 2019-SFR4, Class D, 3.136%, 10/17/2036(a) | 3,759,524 |
155,000 | Progress Residential Trust, Series 2020-SFR2, Class C, 3.077%, 6/17/2037(a) | 148,438 |
295,000 | Progress Residential Trust, Series 2020-SFR3, Class B, 1.495%, 10/17/2027(a) | 274,469 |
1,770,000 | Progress Residential Trust, Series 2020-SFR3, Class D, 1.896%, 10/17/2027(a) | 1,634,021 |
1,818,000 | Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027(a) | 1,681,294 |
5,780,000 | Progress Residential Trust, Series 2021-SFR2, Class E1, 2.547%, 4/19/2038(a) | 5,207,275 |
8,750,000 | Progress Residential Trust, Series 2021-SFR3, Class C, 2.088%, 5/17/2026(a) | 7,930,941 |
2,420,000 | Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026(a) | 2,178,179 |
2,015,000 | Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026(a) | 1,805,992 |
3,575,000 | Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038(a) | 3,176,878 |
1,795,000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038(a) | 1,593,492 |
1,400,000 | Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040(a) | 1,158,337 |
960,000 | Progress Residential Trust, Series 2021-SFR9, Class E2, 3.010%, 11/17/2040(a) | 793,751 |
1,260,000 | Progress Residential Trust, Series 2023-SFR1, Class C, 4.650%, 3/17/2040(a) | 1,196,719 |
1,935,000 | Progress Residential Trust, Series 2023-SFR1, Class D, 4.650%, 3/17/2040(a) | 1,807,347 |
1,285,000 | Progress Residential Trust, Series 2023-SFR2, Class B, 4.500%, 10/17/2028(a) | 1,216,738 |
3,620,442 | PRPM LLC, Series 2020-4, Class A1, 5.951%, 10/25/2025(a)(b) | 3,608,734 |
5,447,585 | PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026(a)(b) | 5,428,606 |
4,870,194 | PRPM LLC, Series 2021-10, Class A1, 2.487%, 10/25/2026(a)(b) | 4,688,171 |
183,563 | PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026(a)(b) | 181,519 |
5,068,411 | PRPM LLC, Series 2021-8, Class A1, 1.743%, 9/25/2026(a)(b) | 4,881,271 |
15,921,199 | PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027(a)(b) | 15,941,142 |
1,202,850 | PRPM LLC, Series 2023-RCF2, Class A1, 4.000%, 11/25/2053(a)(b) | 1,123,868 |
7,000,390 | Redwood Funding Trust, Series 2023-1, Class A, 7.500%, 7/25/2059(a)(b) | 6,916,336 |
350,224 | Sequoia Mortgage Trust, Series 2017-CH2, Class A1, 4.000%, 12/25/2047(a)(b) | 320,748 |
4,930,000 | Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057(a)(b) | 4,155,486 |
Principal Amount | Description | Value (†) |
ABS Home Equity — continued | ||
$1,775,000 | Towd Point Mortgage Trust, Series 2018-4, Class A2, 3.000%, 6/25/2058(a)(b) | $1,466,670 |
1,943,340 | Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058(a)(b) | 1,597,721 |
17,610,000 | Towd Point Mortgage Trust, Series 2019-2, Class M1, 3.750%, 12/25/2058(a)(b) | 14,825,317 |
4,392,320 | Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059(a)(b) | 4,124,883 |
3,325,000 | Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060(a)(b) | 2,814,862 |
1,505,000 | Tricon American Homes, Series 2020-SFR1, Class B, 2.049%, 7/17/2038(a) | 1,373,174 |
3,950,000 | Tricon American Homes, Series 2020-SFR1, Class D, 2.548%, 7/17/2038(a) | 3,630,588 |
2,575,000 | Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038(a) | 2,443,068 |
635,229 | VCAT LLC, Series 2021-NPL1, Class A1, 5.289%, 12/26/2050(a)(b) | 632,381 |
6,240,255 | VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051(a)(b) | 6,123,836 |
16,648,030 | VCAT LLC, Series 2021-NPL6, Class A1, 1.917%, 9/25/2051(a)(b) | 16,272,728 |
11,856,244 | Verus Securitization Trust, Series 2021-3, Class A1, 1.046%, 6/25/2066(a)(b) | 9,857,861 |
13,076,058 | Verus Securitization Trust, Series 2021-7, Class A1, 1.829%, 10/25/2066(a)(b) | 11,351,772 |
1,696,446 | VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051(a)(b) | 1,641,019 |
6,809,570 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051(a)(b) | 6,584,097 |
7,230,474 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051(a)(b) | 7,046,110 |
2,877,170 | VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051(a)(b) | 2,797,213 |
6,138,652 | VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051(a)(b) | 5,920,195 |
400,688,429 | ||
ABS Other — 2.9% | ||
2,456,214 | AASET LLC, Series 2022-1A, Class A, 6.000%, 5/16/2047(a) | 2,409,673 |
5,082,916 | AASET Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041(a) | 4,579,616 |
4,319,000 | ACHV ABS Trust, Series 2023-1PL, Class D, 8.470%, 3/18/2030(a) | 4,405,881 |
4,605,000 | Affirm Asset Securitization Trust, Series 2023-A, Class A, 6.610%, 1/18/2028(a) | 4,631,479 |
8,060,000 | Affirm Asset Securitization Trust, Series 2023-B, Class A, 6.820%, 9/15/2028(a) | 8,186,800 |
6,005,000 | Affirm Asset Securitization Trust, Series 2023-X1, Class A, 7.110%, 11/15/2028(a) | 6,024,330 |
3,730,000 | Auxilior Term Funding LLC, Series 2023-1A, Class A2, 6.180%, 12/15/2028(a) | 3,748,378 |
11,270,000 | BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035(a) | 10,419,268 |
8,750,000 | BHG Securitization Trust, Series 2023-B, Class B, 7.450%, 12/17/2036(a) | 8,998,448 |
2,636,435 | Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/2036(a) | 2,438,781 |
6,332,813 | CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220%, 9/25/2045(a) | 5,702,463 |
Principal Amount | Description | Value (†) |
ABS Other — continued | ||
$2,356,509 | Castlelake Aircraft Structured Trust, Series 2019-1A, Class A, 3.967%, 4/15/2039(a) | $2,053,252 |
880,000 | Chesapeake Funding II LLC, Series 2023-1A, Class D, 6.690%, 5/15/2035(a) | 881,908 |
5,513,600 | CLI Funding VI LLC, Series 2020-3A, Class A, 2.070%, 10/18/2045(a) | 4,945,186 |
3,226,529 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046(a) | 2,845,554 |
7,137,886 | Foundation Finance Trust, Series 2023-2A, Class A, 6.530%, 6/15/2049(a) | 7,268,616 |
2,375,000 | Foundation Finance Trust, Series 2023-2A, Class B, 6.970%, 6/15/2049(a) | 2,460,814 |
51,030,000 | Frontier Issuer LLC, Series 2023-1, Class A2, 6.600%, 8/20/2053(a) | 50,824,859 |
4,977,218 | Hardee's Funding LLC, Series 2018-1A, Class A2II, 4.959%, 6/20/2048(a) | 4,766,527 |
429,607 | Hilton Grand Vacations Trust, Series 2022-1D, Class C, 4.690%, 6/20/2034(a) | 412,368 |
873,155 | Hilton Grand Vacations Trust, Series 2023-1A, Class C, 6.940%, 1/25/2038(a) | 884,422 |
3,089,060 | Horizon Aircraft Finance I Ltd., Series 2018-1, Class A, 4.458%, 12/15/2038(a) | 2,633,399 |
2,077,689 | Horizon Aircraft Finance II Ltd., Series 2019-1, Class A, 3.721%, 7/15/2039(a) | 1,836,995 |
2,349,290 | Horizon Aircraft Finance III Ltd., Series 2019-2, Class A, 3.425%, 11/15/2039(a) | 1,863,450 |
3,135,000 | HPEFS Equipment Trust, Series 2022-1A, Class D, 2.400%, 11/20/2029(a) | 2,989,483 |
2,395,000 | HPEFS Equipment Trust, Series 2023-2A, Class D, 6.970%, 7/21/2031(a) | 2,441,674 |
5,893,350 | Jack in the Box Funding LLC, Series 2019-1A, Class A2II, 4.476%, 8/25/2049(a) | 5,598,812 |
101,325 | Jack in the Box Funding LLC, Series 2022-1A, Class A2I, 3.445%, 2/26/2052(a) | 93,206 |
4,783,250 | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038(a) | 4,251,309 |
7,721,731 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046(a) | 6,727,049 |
6,309,746 | MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043(a) | 5,782,598 |
1,503,333 | MAPS Ltd., Series 2019-1A, Class A, 4.458%, 3/15/2044(a) | 1,346,121 |
4,853,254 | MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046(a) | 4,329,302 |
5,024,000 | Marlette Funding Trust, Series 2023-2A, Class B, 6.540%, 6/15/2033(a) | 5,058,989 |
19,660,000 | Merchants Fleet Funding LLC, Series 2023-1A, Class A, 7.210%, 5/20/2036(a) | 19,895,605 |
5,260,000 | Merchants Fleet Funding LLC, Series 2023-1A, Class D, 8.200%, 5/20/2036(a) | 5,309,218 |
588,422 | Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032(a)(b) | 548,025 |
308,388 | MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037(a) | 296,127 |
193,146 | MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036(a) | 184,559 |
11,693,542 | Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046(a)(b) | 10,322,685 |
8,040,000 | OneMain Financial Issuance Trust, Series 2022-S1, Class D, 5.200%, 5/14/2035(a) | 7,610,259 |
530,000 | SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.930%, 9/20/2030(a) | 489,606 |
Principal Amount | Description | Value (†) |
ABS Other — continued | ||
$2,555,000 | SCF Equipment Leasing LLC, Series 2022-1A, Class D, 3.790%, 11/20/2031(a) | $2,331,230 |
3,365,000 | SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032(a) | 3,358,738 |
2,103,661 | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042(a) | 1,809,682 |
470,350 | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037(a) | 442,942 |
1,317,449 | Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class C, 7.000%, 1/20/2040(a) | 1,334,019 |
1,669,577 | Sierra Timeshare Receivables Funding LLC, Series 2023-2A, Class C, 7.300%, 4/20/2040(a) | 1,707,127 |
6,068,422 | Sierra Timeshare Receivables Funding LLC, Series 2023-3A, Class C, 7.120%, 9/20/2040(a) | 6,106,010 |
190,000 | SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28 day Auction Rate Security, 8.960%, 9/15/2032(b) | 189,924 |
550,760 | SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28 day Auction Rate Security, 8.974%, 9/15/2032(b) | 550,540 |
10,287,642 | Sunnova Helios X Issuer LLC, Series 2022-C, Class A, 5.300%, 11/22/2049(a) | 10,067,382 |
8,616,021 | Sunnova Helios XI Issuer LLC, Series 2023-A, Class B, 5.600%, 5/20/2050(a) | 8,273,896 |
3,011,583 | Sunnova Helios XII Issuer LLC, Series 2023-B, Class B, 5.600%, 8/22/2050(a) | 2,925,009 |
2,909,505 | WAVE Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042(a) | 2,455,954 |
3,131,039 | Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 9/15/2043(a)(b) | 2,750,944 |
3,117,381 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 5/15/2046(a) | 2,616,814 |
2,447,230 | Willis Engine Structured Trust VI, Series 2021-A, Class B, 5.438%, 5/15/2046(a) | 1,878,386 |
22,453,599 | Willis Engine Structured Trust VII, Series 2023-A, Class A, 8.000%, 10/15/2048(a) | 23,085,691 |
300,381,382 | ||
ABS Student Loan — 0.5% | ||
488,229 | College Avenue Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051(a) | 441,729 |
3,510,000 | College Avenue Student Loans LLC, Series 2023-B, Class C, 7.580%, 6/25/2054(a) | 3,620,210 |
2,144,970 | Commonbond Student Loan Trust, Series 2020-1, Class A, 1.690%, 10/25/2051(a) | 1,867,913 |
1,874,343 | EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.800%, 11/25/2045(a) | 1,657,901 |
2,720,328 | ELFI Graduate Loan Program LLC, Series 2019-A, Class A, 2.540%, 3/25/2044(a) | 2,457,930 |
3,758,363 | Laurel Road Prime Student Loan Trust, Series 2020-A, Class A2FX, 1.400%, 11/25/2050(a) | 3,422,330 |
631,770 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069(a) | 578,255 |
2,680,106 | Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069(a) | 2,360,942 |
560,000 | Navient Private Education Refi Loan Trust, Series 2021-A, Class B, 2.240%, 5/15/2069(a) | 425,500 |
2,105,000 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069(a) | 1,425,270 |
Principal Amount | Description | Value (†) |
ABS Student Loan — continued | ||
$4,790,000 | Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070(a) | $3,127,227 |
5,525,000 | Navient Student Loan Trust, Series 2023-BA, Class B, 7.230%, 3/15/2072(a) | 5,791,381 |
282,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28 day Auction Rate Security, 7.920%, 6/15/2032(b) | 281,973 |
243,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, 28 day Auction Rate Security, 8.979%, 6/15/2032(b) | 241,650 |
454,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28 day Auction Rate Security, 8.969%, 3/15/2033(b) | 451,997 |
306,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28 day Auction Rate Security, 7.970%, 3/15/2033(b) | 304,650 |
2,015,440 | SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043(a) | 1,948,623 |
565,000 | SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042(a) | 532,290 |
1,525,000 | SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042(a) | 1,431,428 |
4,121,350 | SMB Private Education Loan Trust, Series 2019-A, Class A2A, 3.440%, 7/15/2036(a) | 3,966,135 |
7,178,112 | SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.840%, 6/15/2037(a) | 6,851,207 |
589,558 | SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037(a) | 547,350 |
4,205,000 | SMB Private Education Loan Trust, Series 2023-C, Class B, 6.360%, 11/15/2052(a) | 4,264,043 |
47,997,934 | ||
ABS Whole Business — 0.6% | ||
14,995,000 | Applebee's Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053(a) | 15,373,624 |
2,815,248 | Domino's Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047(a) | 2,685,099 |
5,045,450 | Domino's Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048(a) | 4,859,475 |
11,987,450 | EWC Master Issuer LLC, Series 2022-1A, Class A2, 5.500%, 3/15/2052(a) | 11,367,974 |
4,885,000 | FOCUS Brands Funding, Series 2023-2, Class A2, 8.241%, 10/30/2053(a) | 5,116,158 |
3,884,750 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048(a) | 3,790,187 |
2,451,840 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049(a) | 2,168,841 |
17,350,950 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051(a) | 16,075,291 |
1,217,260 | Wendy's Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048(a) | 1,148,314 |
62,584,963 | ||
Aerospace & Defense — 1.2% | ||
13,620,000 | BAE Systems PLC, 3.400%, 4/15/2030(a) | 12,567,394 |
17,165,000 | Embraer Netherlands Finance BV, 7.000%, 7/28/2030(a) | 18,006,016 |
6,885,000 | Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 6,739,854 |
4,245,000 | Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030 | 4,045,529 |
3,335,000 | RTX Corp., 2.375%, 3/15/2032 | 2,779,220 |
26,330,000 | RTX Corp., 5.150%, 2/27/2033 | 26,834,086 |
Principal Amount | Description | Value (†) |
Aerospace & Defense — continued | ||
$21,030,000 | RTX Corp., 6.100%, 3/15/2034 | $22,822,702 |
5,005,000 | Textron, Inc., 2.450%, 3/15/2031 | 4,264,446 |
29,075,000 | Textron, Inc., 3.000%, 6/01/2030 | 26,031,685 |
124,090,932 | ||
Airlines — 0.6% | ||
4,850,558 | American Airlines Pass-Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025 | 4,841,488 |
10,422,344 | American Airlines Pass-Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030 | 9,096,468 |
962,883 | American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 898,447 |
4,456,258 | American Airlines Pass-Through Trust, Series 2017-2, Class A, 3.600%, 4/15/2031 | 3,901,803 |
1,979,421 | American Airlines Pass-Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 1,862,117 |
13,971,831 | American Airlines Pass-Through Trust, Series 2019-1, Class B, 3.850%, 8/15/2029 | 12,381,278 |
4,221,018 | British Airways Pass-Through Trust, Series 2019-1, Class A, 3.350%, 12/15/2030(a) | 3,818,586 |
2,160,915 | United Airlines Pass-Through Trust, Series 2018-1, Class A, 3.700%, 9/01/2031 | 1,888,552 |
4,283,030 | United Airlines Pass-Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029 | 4,328,558 |
20,665,000 | United Airlines Pass-Through Trust, Series 2023-1, Class A, 5.800%, 7/15/2037 | 20,981,794 |
63,999,091 | ||
Apartment REITs — 0.0% | ||
2,185,000 | American Homes 4 Rent LP, 2.375%, 7/15/2031 | 1,802,393 |
Automotive — 1.2% | ||
25,580,000 | American Honda Finance Corp., MTN, 0.550%, 7/12/2024 | 24,932,583 |
4,895,000 | Aptiv PLC/Aptiv Corp., 3.250%, 3/01/2032 | 4,324,225 |
5,274,000 | Cummins, Inc., 6.750%, 2/15/2027 | 5,559,090 |
13,060,000 | Daimler Truck Finance North America LLC, 5.500%, 9/20/2033(a) | 13,305,645 |
9,966,000 | General Motors Co., 5.200%, 4/01/2045 | 8,968,993 |
16,175,000 | General Motors Co., 5.400%, 4/01/2048 | 14,778,126 |
4,295,000 | General Motors Co., 5.600%, 10/15/2032 | 4,391,438 |
135,000 | General Motors Co., 5.950%, 4/01/2049 | 132,088 |
4,955,000 | General Motors Co., 6.250%, 10/02/2043 | 5,054,710 |
2,025,000 | General Motors Financial Co., Inc., 3.100%, 1/12/2032 | 1,724,018 |
360,000 | General Motors Financial Co., Inc., 5.850%, 4/06/2030 | 371,251 |
31,570,000 | General Motors Financial Co., Inc., 6.000%, 1/09/2028 | 32,640,993 |
4,480,000 | General Motors Financial Co., Inc., 6.400%, 1/09/2033 | 4,767,180 |
2,895,000 | Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025(a) | 2,818,619 |
123,768,959 | ||
Banking — 10.8% | ||
4,425,000 | AIB Group PLC, (fixed rate to 9/13/2028, variable rate thereafter), 6.608%, 9/13/2029(a) | 4,661,525 |
5,125,000 | Ally Financial, Inc., 2.200%, 11/02/2028 | 4,356,936 |
27,951,000 | Ally Financial, Inc., 4.625%, 3/30/2025 | 27,578,559 |
1,468,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 1,601,017 |
11,790,000 | American Express Co., 5.850%, 11/05/2027 | 12,293,880 |
4,360,000 | American Express Co., (fixed rate to 8/03/2032, variable rate thereafter), 4.420%, 8/03/2033 | 4,197,752 |
Principal Amount | Description | Value (†) |
Banking — continued | ||
$10,155,000 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.375%, 4/17/2025(a) | $10,138,526 |
5,800,000 | Banco Santander SA, 2.749%, 12/03/2030 | 4,814,560 |
49,304,000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028 | 46,440,862 |
17,700,000 | Bank of America Corp., (fixed rate to 3/08/2032, variable rate thereafter), 3.846%, 3/08/2037 | 15,540,705 |
58,160,000 | Bank of America Corp., (fixed rate to 9/15/2033, variable rate thereafter), 5.872%, 9/15/2034 | 60,880,153 |
21,297,000 | Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036 | 16,868,685 |
100,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026 | 98,182 |
4,210,000 | Bank of America Corp., MTN, (fixed rate to 7/22/2032, variable rate thereafter), 5.015%, 7/22/2033 | 4,164,661 |
25,627,000 | Bank of America Corp., Series L, 4.183%, 11/25/2027 | 24,905,313 |
24,260,000 | Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027 | 22,290,308 |
13,685,000 | Barclays PLC, (fixed rate to 5/09/2033, variable rate thereafter), 6.224%, 5/09/2034 | 14,193,754 |
4,287,000 | Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030 | 4,150,556 |
41,135,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 35,265,707 |
3,335,000 | BBVA Bancomer SA, 1.875%, 9/18/2025(a) | 3,147,615 |
14,045,000 | BNP Paribas SA, (fixed rate to 1/20/2027, variable rate thereafter), 2.591%, 1/20/2028(a) | 12,992,289 |
22,500,000 | BNP Paribas SA, (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033(a) | 21,059,668 |
12,845,000 | CaixaBank SA, (fixed rate to 9/13/2033, variable rate thereafter), 6.840%, 9/13/2034(a) | 13,556,741 |
460,000 | Capital One Financial Corp., 4.200%, 10/29/2025 | 450,965 |
1,230,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 1,181,120 |
30,355,000 | Citigroup, Inc., (fixed rate to 9/29/2025, variable rate thereafter), 5.610%, 9/29/2026 | 30,576,133 |
7,155,000 | Credit Agricole SA, (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033(a) | 6,656,225 |
14,970,000 | Credit Suisse AG, MTN, 3.700%, 2/21/2025 | 14,662,043 |
14,200,000 | Danske Bank AS, 5.375%, 1/12/2024(a) | 14,196,763 |
3,390,000 | Danske Bank AS, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025(a) | 3,301,722 |
4,690,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 3,930,973 |
16,655,000 | Deutsche Bank AG, (fixed rate to 11/20/2028, variable rate thereafter), 6.819%, 11/20/2029 | 17,535,124 |
2,640,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 2,461,353 |
6,235,000 | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031 | 5,470,957 |
4,980,000 | Goldman Sachs Group, Inc., (fixed rate to 2/24/2032, variable rate thereafter), 3.102%, 2/24/2033 | 4,274,904 |
61,445,000 | Goldman Sachs Group, Inc., (fixed rate to 8/23/2027, variable rate thereafter), 4.482%, 8/23/2028 | 60,360,204 |
11,115,000 | Goldman Sachs Group, Inc., (fixed rate to 9/10/2026, variable rate thereafter), 1.542%, 9/10/2027 | 10,081,750 |
Principal Amount | Description | Value (†) |
Banking — continued | ||
$19,485,000 | HSBC Holdings PLC, (fixed rate to 3/09/2028, variable rate thereafter), 6.161%, 3/09/2029 | $20,119,971 |
6,325,000 | ING Groep NV, (fixed rate to 9/11/2033, variable rate thereafter), 6.114%, 9/11/2034 | 6,633,449 |
8,460,000 | Intesa Sanpaolo SpA, 6.625%, 6/20/2033(a) | 8,669,268 |
15,785,000 | Intesa Sanpaolo SpA, 7.200%, 11/28/2033(a) | 16,846,226 |
70,245,000 | JPMorgan Chase & Co., 4.125%, 12/15/2026 | 68,853,848 |
28,715,000 | JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031 | 27,997,084 |
12,025,000 | JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027 | 11,096,959 |
4,230,000 | JPMorgan Chase & Co., (fixed rate to 7/25/2032, variable rate thereafter), 4.912%, 7/25/2033 | 4,182,328 |
100,000 | KeyBank NA, 6.950%, 2/01/2028 | 101,785 |
25,937,000 | Mitsubishi UFJ Financial Group, Inc., 3.850%, 3/01/2026 | 25,322,902 |
21,470,000 | Morgan Stanley, (fixed rate to 1/19/2033, variable rate thereafter), 5.948%, 1/19/2038 | 21,712,488 |
21,570,000 | Morgan Stanley, (fixed rate to 10/18/2032, variable rate thereafter), 6.342%, 10/18/2033 | 23,258,918 |
36,610,000 | Morgan Stanley, (fixed rate to 2/01/2028, variable rate thereafter), 5.123%, 2/01/2029 | 36,776,487 |
33,055,000 | Morgan Stanley, (fixed rate to 4/20/2032, variable rate thereafter), 5.297%, 4/20/2037 | 32,165,727 |
11,262,000 | Morgan Stanley, (fixed rate to 4/28/2025, variable rate thereafter), 2.188%, 4/28/2026 | 10,818,893 |
41,690,000 | Morgan Stanley, (fixed rate to 9/16/2031, variable rate thereafter), 2.484%, 9/16/2036 | 33,042,973 |
6,640,000 | Morgan Stanley, MTN, (fixed rate to 7/21/2033, variable rate thereafter), 5.424%, 7/21/2034 | 6,738,790 |
25,560,000 | Nationwide Building Society, 0.550%, 1/22/2024(a) | 25,489,454 |
7,340,000 | NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028 | 7,378,942 |
15,160,000 | Santander Holdings USA, Inc., 3.244%, 10/05/2026 | 14,279,436 |
20,295,000 | Societe Generale SA, 4.250%, 4/14/2025(a) | 19,828,418 |
11,950,000 | Societe Generale SA, (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035(a) | 10,063,023 |
46,970,000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036(a) | 38,447,922 |
11,923,000 | Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | 11,282,513 |
13,965,000 | Sumitomo Mitsui Financial Group, Inc., 5.464%, 1/13/2026 | 14,101,855 |
3,270,000 | Synchrony Bank, 5.400%, 8/22/2025 | 3,221,081 |
9,645,000 | Synchrony Bank, 5.625%, 8/23/2027 | 9,487,304 |
3,865,000 | Synchrony Financial, 4.375%, 3/19/2024 | 3,851,180 |
250,000 | UBS Group AG, (fixed rate to 1/12/2028, variable rate thereafter), 3.869%, 1/12/2029(a) | 235,666 |
8,810,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(a) | 10,829,565 |
1,675,000 | UBS Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026(a) | 1,592,897 |
12,730,000 | UBS Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026(a) | 12,871,422 |
11,410,000 | UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028(a) | 11,836,962 |
24,120,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033(a) | 25,724,221 |
Principal Amount | Description | Value (†) |
Banking — continued | ||
$5,578,000 | UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027(a) | $5,100,495 |
4,125,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(a) | 3,879,471 |
1,124,178,113 | ||
Brokerage — 0.3% | ||
6,810,000 | Jefferies Financial Group, Inc., 5.875%, 7/21/2028 | 6,982,996 |
19,498,000 | Jefferies Financial Group, Inc., 6.250%, 1/15/2036 | 20,493,838 |
8,760,000 | Jefferies Financial Group, Inc., 6.450%, 6/08/2027 | 9,095,330 |
36,572,164 | ||
Building Materials — 1.0% | ||
58,340,000 | Cemex SAB de CV, 3.875%, 7/11/2031(a) | 52,177,312 |
16,180,000 | Cemex SAB de CV, 5.200%, 9/17/2030(a) | 15,590,106 |
5,955,000 | Cemex SAB de CV, 5.450%, 11/19/2029(a) | 5,872,142 |
3,285,000 | Ferguson Finance PLC, 3.250%, 6/02/2030(a) | 2,937,697 |
23,975,000 | Owens Corning, 7.000%, 12/01/2036 | 27,499,319 |
104,076,576 | ||
Cable Satellite — 1.5% | ||
1,110,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(a) | 902,016 |
6,970,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 5,546,614 |
8,340,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 7,034,476 |
24,760,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 | 15,576,824 |
1,790,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 1,651,961 |
12,605,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 12/01/2061 | 8,710,334 |
28,090,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.800%, 3/01/2050 | 21,743,685 |
19,240,000 | CSC Holdings LLC, 3.375%, 2/15/2031(a) | 14,036,992 |
4,204,000 | CSC Holdings LLC, 4.125%, 12/01/2030(a) | 3,198,193 |
2,275,000 | CSC Holdings LLC, 4.500%, 11/15/2031(a) | 1,720,072 |
38,005,000 | CSC Holdings LLC, 4.625%, 12/01/2030(a) | 22,883,586 |
910,000 | CSC Holdings LLC, 5.000%, 11/15/2031(a) | 550,550 |
1,035,000 | CSC Holdings LLC, 5.750%, 1/15/2030(a) | 644,287 |
1,534,000 | CSC Holdings LLC, 6.500%, 2/01/2029(a) | 1,353,908 |
3,270,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 1,685,325 |
9,616,000 | DISH DBS Corp., 5.250%, 12/01/2026(a) | 8,238,508 |
6,160,000 | DISH DBS Corp., 5.750%, 12/01/2028(a) | 4,913,216 |
2,921,000 | Sirius XM Radio, Inc., 5.000%, 8/01/2027(a) | 2,821,667 |
2,030,000 | Sirius XM Radio, Inc., 5.500%, 7/01/2029(a) | 1,962,665 |
17,891,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 14,039,708 |
15,815,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 13,681,312 |
152,895,899 | ||
Chemicals — 0.9% | ||
9,180,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030(a) | 7,125,179 |
Principal Amount | Description | Value (†) |
Chemicals — continued | ||
$6,060,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050(a) | $4,199,118 |
3,619,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 3,793,697 |
1,645,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 | 1,738,906 |
8,600,000 | Celanese U.S. Holdings LLC, 6.550%, 11/15/2030 | 9,091,291 |
31,921,000 | Celanese U.S. Holdings LLC, 6.700%, 11/15/2033 | 34,621,457 |
27,205,000 | CF Industries, Inc., 4.500%, 12/01/2026(a) | 26,600,373 |
3,740,000 | FMC Corp., 3.450%, 10/01/2029 | 3,379,898 |
90,549,919 | ||
Construction Machinery — 0.5% | ||
2,470,000 | Ashtead Capital, Inc., 5.500%, 8/11/2032(a) | 2,439,927 |
5,305,000 | Ashtead Capital, Inc., 5.550%, 5/30/2033(a) | 5,249,042 |
5,270,000 | Ashtead Capital, Inc., 5.950%, 10/15/2033(a) | 5,369,074 |
23,395,000 | Caterpillar Financial Services Corp., MTN, 0.950%, 1/10/2024 | 23,371,912 |
5,730,000 | John Deere Capital Corp., MTN, 0.900%, 1/10/2024 | 5,724,994 |
8,900,000 | John Deere Capital Corp., MTN, 1.250%, 1/10/2025 | 8,584,305 |
50,739,254 | ||
Consumer Cyclical Services — 1.0% | ||
26,845,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 23,626,241 |
34,931,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 32,021,492 |
23,530,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(a) | 22,446,832 |
8,430,000 | Uber Technologies, Inc., 6.250%, 1/15/2028(a) | 8,451,139 |
5,015,000 | Uber Technologies, Inc., 7.500%, 9/15/2027(a) | 5,193,684 |
7,805,000 | Uber Technologies, Inc., 8.000%, 11/01/2026(a) | 7,949,791 |
99,689,179 | ||
Consumer Products — 0.1% | ||
7,458,000 | Hasbro, Inc., 6.600%, 7/15/2028 | 7,779,046 |
767,000 | Natura Cosmeticos SA, 4.125%, 5/03/2028(a) | 693,606 |
8,472,652 | ||
Diversified Manufacturing — 0.9% | ||
4,290,000 | Carrier Global Corp., 5.900%, 3/15/2034(a) | 4,640,040 |
4,113,000 | GE Capital Funding LLC, 4.550%, 5/15/2032 | 4,025,421 |
25,811,000 | Ingersoll Rand, Inc., 5.700%, 8/14/2033 | 27,308,070 |
2,965,000 | Nordson Corp., 5.600%, 9/15/2028 | 3,074,089 |
20,385,000 | Nordson Corp., 5.800%, 9/15/2033 | 21,637,836 |
33,300,000 | Veralto Corp., 5.450%, 9/18/2033(a) | 34,491,099 |
95,176,555 | ||
Electric — 1.1% | ||
7,435,000 | AES Corp., 2.450%, 1/15/2031 | 6,245,698 |
3,695,000 | AES Corp., 3.950%, 7/15/2030(a) | 3,411,579 |
13,410,906 | Alta Wind Holdings LLC, 7.000%, 6/30/2035(a) | 11,566,365 |
11,318,000 | Calpine Corp., 3.750%, 3/01/2031(a) | 9,926,811 |
13,025,000 | Enel Finance International NV, 6.000%, 10/07/2039(a) | 13,236,263 |
9,007,000 | Enel Finance International NV, 6.800%, 9/15/2037(a) | 9,820,645 |
2,355,000 | IPALCO Enterprises, Inc., 4.250%, 5/01/2030 | 2,175,838 |
9,641,000 | NRG Energy, Inc., 4.450%, 6/15/2029(a) | 9,096,710 |
6,185,000 | Pacific Gas & Electric Co., 3.250%, 6/01/2031 | 5,356,276 |
7,265,000 | Pacific Gas & Electric Co., 4.300%, 3/15/2045 | 5,684,771 |
4,540,000 | Pacific Gas & Electric Co., 4.550%, 7/01/2030 | 4,323,796 |
2,050,000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 | 2,066,516 |
9,000,000 | Southern California Edison Co., 5.300%, 3/01/2028 | 9,237,024 |
Principal Amount | Description | Value (†) |
Electric — continued | ||
$10,600,000 | Southern Co., 5.700%, 3/15/2034 | $11,146,147 |
10,835,000 | Vistra Operations Co. LLC, 3.700%, 1/30/2027(a) | 10,262,594 |
113,557,033 | ||
Finance Companies — 4.3% | ||
26,609,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 24,293,711 |
25,173,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 21,908,808 |
9,102,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.400%, 10/29/2033 | 7,815,637 |
860,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027 | 817,137 |
6,084,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.750%, 6/06/2028 | 6,226,611 |
13,515,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.150%, 9/30/2030 | 14,232,496 |
4,995,000 | Air Lease Corp., 3.125%, 12/01/2030 | 4,368,894 |
2,235,000 | Air Lease Corp., 3.250%, 10/01/2029 | 2,018,901 |
10,270,000 | Air Lease Corp., 3.375%, 7/01/2025 | 9,940,340 |
340,000 | Air Lease Corp., 4.625%, 10/01/2028 | 332,177 |
6,791,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 | 6,024,761 |
12,430,000 | Aircastle Ltd., 4.125%, 5/01/2024 | 12,331,944 |
18,295,000 | Aircastle Ltd., 6.500%, 7/18/2028(a) | 18,655,708 |
10,260,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 9,089,672 |
14,460,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 12,093,135 |
7,560,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026(a) | 7,006,912 |
7,510,000 | Aviation Capital Group LLC, 5.500%, 12/15/2024(a) | 7,468,371 |
6,475,000 | Aviation Capital Group LLC, 6.250%, 4/15/2028(a) | 6,594,010 |
14,460,000 | Aviation Capital Group LLC, 6.375%, 7/15/2030(a) | 14,886,960 |
18,470,000 | Aviation Capital Group LLC, 6.750%, 10/25/2028(a) | 19,281,397 |
7,620,000 | Barings BDC, Inc., 3.300%, 11/23/2026 | 6,947,941 |
27,825,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027 | 24,721,753 |
11,779,000 | Blue Owl Capital Corp., 2.625%, 1/15/2027 | 10,613,618 |
32,846,000 | Blue Owl Capital Corp., 2.875%, 6/11/2028 | 28,832,052 |
13,940,000 | Blue Owl Technology Finance Corp., 2.500%, 1/15/2027 | 12,167,430 |
20,360,000 | GATX Corp., 5.450%, 9/15/2033 | 20,485,464 |
1,805,000 | GATX Corp., 6.050%, 3/15/2034 | 1,874,459 |
10,935,000 | GATX Corp., 6.900%, 5/01/2034 | 12,033,108 |
3,085,000 | Oaktree Specialty Lending Corp., 2.700%, 1/15/2027 | 2,757,627 |
29,600,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(a) | 27,306,000 |
28,350,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(a) | 25,659,199 |
7,445,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 | 6,738,368 |
29,285,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(a) | 25,756,042 |
25,002,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(a) | 21,239,910 |
12,180,000 | SMBC Aviation Capital Finance DAC, 5.450%, 5/03/2028(a) | 12,247,305 |
444,767,858 |
Principal Amount | Description | Value (†) |
Financial Other — 0.0% | ||
$2,310,000 | CIFI Holdings Group Co. Ltd., 6.000%, 7/16/2025(c) | $150,150 |
720,000 | CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024(c) | 46,800 |
6,220,000 | Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031(c) | 500,275 |
1,110,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 926,916 |
2,050,000 | Logan Group Co. Ltd., 4.250%, 7/12/2025(c) | 133,250 |
3,445,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(c) | 223,925 |
6,065,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(c) | 227,437 |
400,000 | Shimao Group Holdings Ltd., 4.600%, 7/13/2030(c) | 14,556 |
3,495,000 | Shimao Group Holdings Ltd., 4.750%, 7/03/2022(c) | 138,402 |
4,345,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(c) | 140,213 |
3,780,000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026(c) | 146,362 |
1,265,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(c) | 50,600 |
5,120,000 | Times China Holdings Ltd., 5.750%, 1/14/2027(c) | 102,810 |
1,835,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(c) | 41,287 |
1,415,000 | Times China Holdings Ltd., 6.750%, 7/08/2025(c) | 28,654 |
2,871,637 | ||
Food & Beverage — 0.5% | ||
19,005,000 | Bacardi Ltd./Bacardi-Martini BV, 5.400%, 6/15/2033(a) | 19,100,032 |
4,895,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029 | 4,305,614 |
3,625,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031 | 3,123,474 |
10,660,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030 | 10,476,395 |
13,590,000 | Pilgrim's Pride Corp., 3.500%, 3/01/2032 | 11,489,258 |
2,065,000 | Pilgrim's Pride Corp., 4.250%, 4/15/2031 | 1,865,154 |
1,920,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030(a) | 1,576,171 |
51,936,098 | ||
Gaming — 0.7% | ||
14,625,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031(a) | 12,476,810 |
4,880,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 4,119,951 |
3,365,000 | GLP Capital LP/GLP Financing II, Inc., 6.750%, 12/01/2033 | 3,630,263 |
4,380,000 | VICI Properties LP, 5.125%, 5/15/2032 | 4,269,640 |
5,278,000 | VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029(a) | 4,848,534 |
21,330,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026(a) | 20,527,124 |
7,785,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026(a) | 7,535,288 |
6,760,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025(a) | 6,640,010 |
5,560,000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024(a) | 5,541,907 |
69,589,527 | ||
Government Owned - No Guarantee — 0.3% | ||
8,755,000 | Antares Holdings LP, 2.750%, 1/15/2027(a) | 7,756,138 |
12,655,000 | Antares Holdings LP, 3.750%, 7/15/2027(a) | 11,402,054 |
Principal Amount | Description | Value (†) |
Government Owned - No Guarantee — continued | ||
$10,070,000 | Antares Holdings LP, 7.950%, 8/11/2028(a) | $10,417,455 |
2,185,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 8/05/2029(c) | 168,048 |
4,210,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030(c) | 341,473 |
30,085,168 | ||
Health Care REITs — 0.1% | ||
5,972,000 | Welltower OP LLC, 6.500%, 3/15/2041 | 6,574,878 |
Health Insurance — 0.7% | ||
1,370,000 | Centene Corp., 2.450%, 7/15/2028 | 1,220,122 |
26,125,000 | Centene Corp., 2.500%, 3/01/2031 | 21,766,336 |
4,145,000 | Centene Corp., 2.625%, 8/01/2031 | 3,439,199 |
7,520,000 | Centene Corp., 3.000%, 10/15/2030 | 6,512,647 |
11,370,000 | Centene Corp., 3.375%, 2/15/2030 | 10,201,507 |
26,280,000 | Centene Corp., 4.625%, 12/15/2029 | 25,195,356 |
4,380,000 | Elevance Health, Inc., 4.100%, 5/15/2032 | 4,182,840 |
72,518,007 | ||
Healthcare — 1.3% | ||
6,325,000 | Alcon Finance Corp., 5.375%, 12/06/2032(a) | 6,523,818 |
19,420,000 | Cigna Group, 4.375%, 10/15/2028 | 19,263,557 |
5,240,000 | CVS Health Corp., 1.750%, 8/21/2030 | 4,328,549 |
7,210,000 | CVS Health Corp., 3.250%, 8/15/2029 | 6,718,598 |
3,380,000 | CVS Health Corp., 5.250%, 1/30/2031 | 3,467,169 |
301,207 | CVS Pass-Through Trust, 5.773%, 1/10/2033(a) | 303,029 |
264,217 | CVS Pass-Through Trust, 6.036%, 12/10/2028 | 265,092 |
9,505,668 | CVS Pass-Through Trust, Series 2013, 4.704%, 1/10/2036(a) | 8,869,833 |
999,288 | CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036(a) | 890,257 |
685,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 645,085 |
5,280,000 | HCA, Inc., 2.375%, 7/15/2031 | 4,350,557 |
2,671,000 | HCA, Inc., 3.500%, 9/01/2030 | 2,421,332 |
10,120,000 | HCA, Inc., 4.125%, 6/15/2029 | 9,675,925 |
16,050,000 | HCA, Inc., 4.500%, 2/15/2027 | 15,860,858 |
28,645,000 | HCA, Inc., 5.500%, 6/01/2033 | 29,094,803 |
16,115,000 | Quest Diagnostics, Inc., 6.400%, 11/30/2033 | 17,873,073 |
130,551,535 | ||
Home Construction — 0.2% | ||
5,370,000 | MDC Holdings, Inc., 3.966%, 8/06/2061 | 3,497,381 |
12,384,000 | MDC Holdings, Inc., 6.000%, 1/15/2043 | 11,512,184 |
10,300,000 | Meritage Homes Corp., 3.875%, 4/15/2029(a) | 9,465,133 |
24,474,698 | ||
Independent Energy — 2.8% | ||
6,782,000 | Aker BP ASA, 2.000%, 7/15/2026(a) | 6,250,413 |
7,360,000 | Aker BP ASA, 3.100%, 7/15/2031(a) | 6,294,942 |
9,925,000 | Aker BP ASA, 3.750%, 1/15/2030(a) | 9,112,715 |
16,455,000 | Aker BP ASA, 4.000%, 1/15/2031(a) | 15,108,955 |
51,043,000 | Continental Resources, Inc., 2.875%, 4/01/2032(a) | 41,407,892 |
4,049,000 | Continental Resources, Inc., 4.375%, 1/15/2028 | 3,920,335 |
49,120,000 | Continental Resources, Inc., 5.750%, 1/15/2031(a) | 48,896,957 |
6,910,000 | Energian Israel Finance Ltd., 5.375%, 3/30/2028(a) | 6,065,253 |
9,035,000 | Energian Israel Finance Ltd., 5.875%, 3/30/2031(a) | 7,613,776 |
1,625,000 | EQT Corp., 3.125%, 5/15/2026(a) | 1,541,815 |
9,675,000 | EQT Corp., 3.625%, 5/15/2031(a) | 8,640,452 |
15,955,000 | EQT Corp., 3.900%, 10/01/2027 | 15,263,292 |
Principal Amount | Description | Value (†) |
Independent Energy — continued | ||
$1,970,000 | EQT Corp., 5.000%, 1/15/2029 | $1,951,525 |
25,820,000 | EQT Corp., 5.700%, 4/01/2028 | 26,202,586 |
1,461,000 | EQT Corp., 6.125%, 2/01/2025 | 1,467,501 |
14,690,000 | Hess Corp., 4.300%, 4/01/2027 | 14,534,359 |
4,675,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025(a) | 4,524,185 |
4,030,000 | Marathon Oil Corp., 6.800%, 3/15/2032 | 4,365,940 |
6,090,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 6,134,031 |
11,157,000 | Occidental Petroleum Corp., 6.125%, 1/01/2031 | 11,583,056 |
5,933,000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 | 6,309,805 |
5,515,000 | Occidental Petroleum Corp., 7.500%, 5/01/2031 | 6,184,218 |
11,260,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 11,970,143 |
1,110,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 1,222,764 |
1,750,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 1,619,121 |
5,600,000 | Var Energi ASA, 7.500%, 1/15/2028(a) | 5,934,623 |
13,015,000 | Var Energi ASA, 8.000%, 11/15/2032(a) | 14,571,594 |
4,575,000 | Viper Energy, Inc., 7.375%, 11/01/2031(a) | 4,735,125 |
293,427,373 | ||
Industrial Other — 0.2% | ||
22,510,000 | Jacobs Engineering Group, Inc., 6.350%, 8/18/2028 | 23,509,365 |
Leisure — 0.5% | ||
2,050,000 | Carnival Corp., 4.000%, 8/01/2028(a) | 1,905,963 |
11,905,000 | Carnival Corp., 5.750%, 3/01/2027(a) | 11,612,536 |
3,075,000 | Carnival Corp., 7.000%, 8/15/2029(a) | 3,210,669 |
5,010,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(a) | 4,895,560 |
12,330,000 | NCL Corp. Ltd., 5.875%, 2/15/2027(a) | 12,182,410 |
18,615,000 | NCL Corp. Ltd., 8.125%, 1/15/2029(a) | 19,444,894 |
4,205,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(a) | 4,151,423 |
57,403,455 | ||
Life Insurance — 1.5% | ||
11,800,000 | Athene Global Funding, 1.608%, 6/29/2026(a) | 10,674,143 |
18,770,000 | Athene Global Funding, 1.716%, 1/07/2025(a) | 17,981,321 |
21,550,000 | Athene Global Funding, 2.550%, 11/19/2030(a) | 17,751,358 |
7,385,000 | Athene Holding Ltd., 3.500%, 1/15/2031 | 6,502,447 |
8,255,000 | CNO Financial Group, Inc., 5.250%, 5/30/2029 | 8,170,056 |
19,600,000 | Fidelity & Guaranty Life Holdings, Inc., 5.500%, 5/01/2025(a) | 19,357,479 |
9,063,000 | Mutual of Omaha Insurance Co., 6.800%, 6/15/2036(a) | 9,603,364 |
26,914,000 | National Life Insurance Co., 10.500%, 9/15/2039(a) | 34,963,708 |
6,440,000 | NLV Financial Corp., 7.500%, 8/15/2033(a) | 6,735,467 |
2,872,000 | Penn Mutual Life Insurance Co., 6.650%, 6/15/2034(a) | 3,002,873 |
14,489,000 | Penn Mutual Life Insurance Co., 7.625%, 6/15/2040(a) | 16,419,436 |
151,161,652 | ||
Local Authorities — 0.1% | ||
14,455,000 | Province of Quebec, 0.600%, 7/23/2025 | 13,585,956 |
Lodging — 0.2% | ||
1,795,000 | Marriott International, Inc., Series FF, 4.625%, 6/15/2030 | 1,762,675 |
3,525,000 | Marriott International, Inc., Series HH, 2.850%, 4/15/2031 | 3,050,793 |
10,685,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(a) | 9,415,731 |
3,215,000 | Travel & Leisure Co., 4.500%, 12/01/2029(a) | 2,879,306 |
4,787,000 | Travel & Leisure Co., 4.625%, 3/01/2030(a) | 4,281,014 |
Principal Amount | Description | Value (†) |
Lodging — continued | ||
$1,795,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | $1,785,003 |
235,000 | Travel & Leisure Co., 6.625%, 7/31/2026(a) | 237,058 |
23,411,580 | ||
Media Entertainment — 1.5% | ||
5,195,000 | Electronic Arts, Inc., 1.850%, 2/15/2031 | 4,335,183 |
2,610,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028(a) | 2,007,886 |
8,525,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027(a) | 6,773,752 |
27,080,000 | Meta Platforms, Inc., 4.950%, 5/15/2033 | 27,949,791 |
3,105,000 | Netflix, Inc., 4.875%, 4/15/2028 | 3,146,520 |
27,310,000 | Netflix, Inc., 4.875%, 6/15/2030(a) | 27,652,768 |
15,315,000 | Netflix, Inc., 5.375%, 11/15/2029(a) | 15,822,218 |
11,295,000 | Netflix, Inc., 5.875%, 11/15/2028 | 11,891,184 |
16,970,000 | Netflix, Inc., 6.375%, 5/15/2029 | 18,450,751 |
11,520,000 | Warnermedia Holdings, Inc., 3.755%, 3/15/2027 | 11,038,242 |
4,125,000 | Warnermedia Holdings, Inc., 4.054%, 3/15/2029 | 3,913,761 |
30,385,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032 | 27,808,473 |
160,790,529 | ||
Metals & Mining — 3.5% | ||
3,220,000 | Alcoa Nederland Holding BV, 4.125%, 3/31/2029(a) | 2,985,950 |
4,390,000 | Alcoa Nederland Holding BV, 6.125%, 5/15/2028(a) | 4,415,273 |
550,000 | Anglo American Capital PLC, 2.625%, 9/10/2030(a) | 467,874 |
1,325,000 | Anglo American Capital PLC, 2.875%, 3/17/2031(a) | 1,126,833 |
6,260,000 | Anglo American Capital PLC, 4.000%, 9/11/2027(a) | 6,012,960 |
34,334,000 | Anglo American Capital PLC, 4.500%, 3/15/2028(a) | 33,408,626 |
8,785,000 | Anglo American Capital PLC, 4.750%, 4/10/2027(a) | 8,668,928 |
11,085,000 | Anglo American Capital PLC, 5.500%, 5/02/2033(a) | 11,198,129 |
11,405,000 | ArcelorMittal SA, 6.750%, 3/01/2041 | 12,058,788 |
15,655,000 | ArcelorMittal SA, 6.800%, 11/29/2032 | 16,929,443 |
3,363,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026(a) | 3,010,341 |
13,145,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027(a) | 11,171,212 |
1,399,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025(a) | 1,333,940 |
6,325,000 | FMG Resources August 2006 Pty. Ltd., 4.375%, 4/01/2031(a) | 5,784,300 |
9,940,000 | FMG Resources August 2006 Pty. Ltd., 4.500%, 9/15/2027(a) | 9,550,195 |
4,740,000 | Freeport-McMoRan, Inc., 4.250%, 3/01/2030 | 4,451,196 |
2,080,000 | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 | 2,032,610 |
10,045,000 | Glencore Funding LLC, 2.500%, 9/01/2030(a) | 8,600,027 |
7,820,000 | Glencore Funding LLC, 2.625%, 9/23/2031(a) | 6,635,378 |
6,704,000 | Glencore Funding LLC, 2.850%, 4/27/2031(a) | 5,780,863 |
7,688,000 | Glencore Funding LLC, 3.875%, 10/27/2027(a) | 7,395,472 |
39,092,000 | Glencore Funding LLC, 4.000%, 3/27/2027(a) | 37,961,201 |
14,940,000 | Glencore Funding LLC, 5.700%, 5/08/2033(a) | 15,500,529 |
31,520,000 | Glencore Funding LLC, 6.125%, 10/06/2028(a) | 33,020,686 |
30,235,000 | Glencore Funding LLC, 6.375%, 10/06/2030(a) | 32,460,403 |
62,855,000 | Glencore Funding LLC, 6.500%, 10/06/2033(a) | 68,525,668 |
4,280,000 | Newmont Corp./Newcrest Finance Pty. Ltd., 3.250%, 5/13/2030(a) | 3,866,327 |
Principal Amount | Description | Value (†) |
Metals & Mining — continued | ||
$1,855,000 | Reliance Steel & Aluminum Co., 2.150%, 8/15/2030 | $1,565,656 |
4,710,000 | Steel Dynamics, Inc., 3.250%, 1/15/2031 | 4,243,688 |
2,010,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026(a) | 1,248,838 |
361,411,334 | ||
Midstream — 3.5% | ||
8,432,000 | Cheniere Energy Partners LP, 3.250%, 1/31/2032 | 7,184,332 |
33,645,000 | Cheniere Energy Partners LP, 4.000%, 3/01/2031 | 30,588,105 |
3,122,000 | Cheniere Energy Partners LP, 4.500%, 10/01/2029 | 2,986,089 |
10,500,000 | Cheniere Energy Partners LP, 5.950%, 6/30/2033(a) | 10,780,770 |
13,555,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 11,753,714 |
3,045,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 3,043,242 |
650,000 | DCP Midstream Operating LP, 6.450%, 11/03/2036(a) | 691,161 |
25,810,000 | Enbridge, Inc., 5.700%, 3/08/2033 | 26,826,838 |
7,000,000 | Energy Transfer LP, 4.950%, 6/15/2028 | 6,972,611 |
6,405,000 | Energy Transfer LP, 5.250%, 4/15/2029 | 6,452,912 |
40,895,000 | Energy Transfer LP, 5.750%, 2/15/2033 | 42,161,886 |
6,225,000 | EnLink Midstream LLC, 6.500%, 9/01/2030(a) | 6,353,297 |
4,080,000 | Enterprise Products Operating LLC, 5.350%, 1/31/2033 | 4,269,972 |
1,435,000 | Gray Oak Pipeline LLC, 3.450%, 10/15/2027(a) | 1,334,299 |
14,040,000 | MPLX LP, 4.250%, 12/01/2027 | 13,735,036 |
4,355,000 | MPLX LP, 5.000%, 3/01/2033 | 4,266,132 |
85,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037(a) | 94,533 |
10,657,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.550%, 12/15/2029 | 9,811,579 |
18,993,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 17,477,230 |
1,385,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043 | 1,099,448 |
12,445,000 | Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030 | 12,162,075 |
810,000 | Targa Resources Corp., 5.200%, 7/01/2027 | 813,888 |
24,625,000 | Targa Resources Corp., 6.125%, 3/15/2033 | 25,926,137 |
24,520,000 | Targa Resources Corp., 6.500%, 3/30/2034 | 26,463,689 |
10,710,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 | 9,759,380 |
1,955,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 1,899,106 |
5,205,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | 5,204,063 |
7,095,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(a) | 6,012,645 |
15,365,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(a) | 13,536,656 |
3,175,000 | Venture Global Calcasieu Pass LLC, 6.250%, 1/15/2030(a) | 3,157,821 |
2,170,000 | Western Midstream Operating LP, 4.050%, 2/01/2030 | 2,029,254 |
2,870,000 | Western Midstream Operating LP, 5.250%, 2/01/2050 | 2,573,129 |
5,070,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 4,412,046 |
5,140,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 4,653,263 |
710,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 633,182 |
Principal Amount | Description | Value (†) |
Midstream — continued | ||
$15,915,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | $16,533,584 |
11,620,000 | Western Midstream Operating LP, 6.350%, 1/15/2029 | 12,136,044 |
4,385,000 | Williams Cos., Inc., 4.650%, 8/15/2032 | 4,274,514 |
360,063,662 | ||
Mortgage Related — 0.0% | ||
463 | Federal National Mortgage Association, 6.000%, 7/01/2029 | 479 |
Natural Gas — 0.0% | ||
5,225,000 | Southern Co. Gas Capital Corp., 5.750%, 9/15/2033 | 5,486,233 |
Non-Agency Commercial Mortgage-Backed Securities — 1.3% | ||
8,625,000 | BANK, Series 2021-BN35, Class AS, 2.457%, 6/15/2064 | 6,881,834 |
410,000 | BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036(a) | 292,860 |
691,459 | BB-UBS Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030(a) | 609,688 |
4,400,000 | BPR Trust, Series 2022-SSP, Class A, 1 mo. USD SOFR + 3.000%, 8.362%, 5/15/2039(a)(b) | 4,406,817 |
8,370,000 | BPR Trust, Series 2022-STAR, Class A, 1 mo. USD SOFR + 3.232%, 8.594%, 8/15/2024(a)(b) | 8,333,236 |
44,994 | Commercial Mortgage Pass-Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045(a) | 40,045 |
617,778 | Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a) | 537,807 |
512,589 | Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(b) | 459,280 |
2,010,000 | Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.294%, 12/10/2044(b) | 1,615,585 |
370,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037(a) | 299,223 |
510,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class C, 4.336%, 9/15/2037(a) | 357,319 |
12,790,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037(a) | 7,436,215 |
5,095,000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.530%, 10/10/2034(a)(b) | 4,208,787 |
9,295,000 | DC Commercial Mortgage Trust, Series 2023-DC, Class B, 6.804%, 9/12/2040(a) | 9,528,862 |
6,390,330 | Extended Stay America Trust, Series 2021-ESH, Class B, 1 mo. USD SOFR + 1.494%, 6.857%, 7/15/2038(a)(b) | 6,289,998 |
5,017,240 | Extended Stay America Trust, Series 2021-ESH, Class C, 1 mo. USD SOFR + 1.814%, 7.177%, 7/15/2038(a)(b) | 4,935,317 |
8,215,000 | GS Mortgage Securities Corp. Trust, Series 2012-BWTR, Class A, 2.954%, 11/05/2034(a) | 6,086,576 |
4,375,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(a)(b) | 3,359,383 |
9,406,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.550%, 3/05/2033(a)(b) | 4,973,313 |
3,702,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b) | 3,449,267 |
Principal Amount | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$1,443,028 | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034(a) | $1,291,440 |
5,338,435 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 3.784%, 12/15/2047(a)(b) | 4,729,854 |
340,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 3.784%, 12/15/2047(a)(b) | 274,306 |
3,031,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class A5, 3.598%, 11/15/2048 | 2,883,731 |
9,434,721 | Med Trust, Series 2021-MDLN, Class B, 1 mo. USD SOFR + 1.564%, 6.927%, 11/15/2038(a)(b) | 9,245,236 |
7,957,809 | Med Trust, Series 2021-MDLN, Class C, 1 mo. USD SOFR + 1.914%, 7.277%, 11/15/2038(a)(b) | 7,788,002 |
5,720,546 | Med Trust, Series 2021-MDLN, Class D, 1 mo. USD SOFR + 2.114%, 7.477%, 11/15/2038(a)(b) | 5,569,761 |
1,405,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 7.432%, 10/15/2046(b) | 1,314,332 |
3,456,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.211%, 6/15/2044(a)(b) | 2,447,995 |
865,186 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030(a) | 744,432 |
7,345,000 | SCOTT Trust, Series 2023-SFS, Class A, 5.910%, 3/15/2040(a) | 7,378,126 |
3,618,477 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 3.954%, 7/15/2046(b) | 3,146,028 |
2,910,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class AS, 4.020%, 8/15/2050 | 2,851,803 |
4,030,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class AS, 3.419%, 11/15/2059 | 3,688,171 |
535,000 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.855%, 3/15/2044(a)(b) | 155,045 |
1,165,789 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045 | 1,005,915 |
4,615,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 3,575,702 |
1,290,000 | WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(b) | 1,121,632 |
133,312,923 | ||
Office REITs — 0.0% | ||
2,085,000 | Corporate Office Properties LP, 2.750%, 4/15/2031 | 1,685,285 |
Other REITs — 0.2% | ||
17,555,000 | Extra Space Storage LP, 5.900%, 1/15/2031 | 18,322,554 |
Paper — 0.3% | ||
10,460,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 | 9,173,839 |
16,595,000 | Weyerhaeuser Co., 4.000%, 4/15/2030 | 15,802,605 |
2,515,000 | WRKCo, Inc., 4.000%, 3/15/2028 | 2,425,208 |
27,401,652 | ||
Pharmaceuticals — 1.1% | ||
4,130,000 | Amgen, Inc., 5.250%, 3/02/2033 | 4,234,211 |
2,935,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(a) | 1,767,583 |
17,300,000 | Pfizer Investment Enterprises Pte. Ltd., 4.750%, 5/19/2033 | 17,338,833 |
2,810,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 2,689,148 |
Principal Amount | Description | Value (†) |
Pharmaceuticals — continued | ||
$23,155,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | $21,439,205 |
44,490,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 30,112,972 |
6,835,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 6,544,511 |
3,140,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 2,998,846 |
4,495,000 | Teva Pharmaceutical Finance Netherlands III BV, 6.750%, 3/01/2028 | 4,593,890 |
13,080,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 14,097,114 |
4,885,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 5,327,488 |
111,143,801 | ||
Property & Casualty Insurance — 0.3% | ||
16,635,000 | Fidelity National Financial, Inc., 3.400%, 6/15/2030 | 14,824,744 |
3,159,000 | SiriusPoint Ltd., 4.600%, 11/01/2026(a) | 2,922,075 |
14,195,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 11,056,834 |
28,803,653 | ||
Restaurants — 0.1% | ||
5,310,000 | 1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030(a) | 4,762,534 |
1,430,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.750%, 6/01/2027(a) | 1,408,264 |
4,800,000 | Starbucks Corp., 3.000%, 2/14/2032 | 4,306,345 |
2,375,000 | Yum! Brands, Inc., 4.750%, 1/15/2030(a) | 2,302,135 |
12,779,278 | ||
Retail REITs — 0.1% | ||
1,600,000 | Brixmor Operating Partnership LP, 2.250%, 4/01/2028 | 1,420,801 |
2,280,000 | Brixmor Operating Partnership LP, 4.050%, 7/01/2030 | 2,130,549 |
6,815,000 | Simon Property Group LP, 2.650%, 7/15/2030 | 6,030,801 |
9,582,151 | ||
Retailers — 0.5% | ||
4,890,000 | AutoNation, Inc., 3.850%, 3/01/2032 | 4,345,038 |
1,960,000 | AutoNation, Inc., 4.750%, 6/01/2030 | 1,893,049 |
14,585,000 | AutoZone, Inc., 4.000%, 4/15/2030 | 14,012,560 |
5,620,000 | Dollar General Corp., 3.500%, 4/03/2030 | 5,174,395 |
5,070,000 | Dollar Tree, Inc., 2.650%, 12/01/2031 | 4,307,888 |
15,815,000 | Lithia Motors, Inc., 3.875%, 6/01/2029(a) | 14,339,777 |
8,064,000 | Marks & Spencer PLC, 7.125%, 12/01/2037(a) | 8,097,627 |
3,145,000 | Tapestry, Inc., 3.050%, 3/15/2032 | 2,558,428 |
54,728,762 | ||
Supermarkets — 0.0% | ||
325,000 | Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040 | 333,197 |
Technology — 6.1% | ||
5,095,000 | Arrow Electronics, Inc., 2.950%, 2/15/2032 | 4,306,428 |
4,625,000 | Broadcom, Inc., 2.450%, 2/15/2031(a) | 3,954,666 |
4,210,000 | Broadcom, Inc., 2.600%, 2/15/2033(a) | 3,468,405 |
11,996,000 | Broadcom, Inc., 3.137%, 11/15/2035(a) | 9,848,522 |
9,915,000 | Broadcom, Inc., 3.187%, 11/15/2036(a) | 8,034,662 |
7,555,000 | Broadcom, Inc., 3.419%, 4/15/2033(a) | 6,635,609 |
6,925,000 | Broadcom, Inc., 3.469%, 4/15/2034(a) | 6,024,785 |
8,265,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 7,894,566 |
Principal Amount | Description | Value (†) |
Technology — continued | ||
$3,685,000 | Broadcom, Inc., 4.150%, 4/15/2032(a) | $3,473,753 |
40,885,000 | Broadcom, Inc., 4.300%, 11/15/2032 | 39,223,598 |
2,755,000 | CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026 | 2,577,909 |
4,190,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 3,831,315 |
20,942,000 | CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028 | 19,190,621 |
37,630,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 33,352,222 |
10,970,000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | 10,505,741 |
1,325,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(a) | 551,531 |
3,565,000 | CommScope, Inc., 4.750%, 9/01/2029(a) | 2,393,561 |
3,900,000 | CommScope, Inc., 6.000%, 3/01/2026(a) | 3,476,772 |
5,825,000 | CommScope, Inc., 7.125%, 7/01/2028(a) | 2,766,875 |
4,210,000 | Dell International LLC/EMC Corp., 5.750%, 2/01/2033 | 4,435,233 |
30,015,000 | Entegris Escrow Corp., 4.750%, 4/15/2029(a) | 28,916,865 |
10,115,000 | Equinix, Inc., 2.150%, 7/15/2030 | 8,569,738 |
17,195,000 | Equinix, Inc., 3.200%, 11/18/2029 | 15,792,443 |
34,695,000 | Fiserv, Inc., 5.625%, 8/21/2033 | 36,345,691 |
5,730,000 | Flex Ltd., 6.000%, 1/15/2028 | 5,916,456 |
1,680,000 | Gartner, Inc., 3.625%, 6/15/2029(a) | 1,516,340 |
9,873,000 | Global Payments, Inc., 2.900%, 5/15/2030 | 8,684,101 |
10,714,000 | Global Payments, Inc., 2.900%, 11/15/2031 | 9,164,638 |
3,705,000 | Global Payments, Inc., 5.300%, 8/15/2029 | 3,729,211 |
8,125,000 | Global Payments, Inc., 5.400%, 8/15/2032 | 8,204,198 |
5,320,000 | Jabil, Inc., 1.700%, 4/15/2026 | 4,927,061 |
4,610,000 | Jabil, Inc., 3.000%, 1/15/2031 | 3,995,929 |
16,735,000 | KLA Corp., 5.650%, 11/01/2034 | 17,688,514 |
6,085,000 | Leidos, Inc., 2.300%, 2/15/2031 | 5,093,171 |
2,555,000 | Leidos, Inc., 4.375%, 5/15/2030 | 2,446,117 |
20,968,000 | Leidos, Inc., 5.750%, 3/15/2033 | 21,864,969 |
7,480,000 | Marvell Technology, Inc., 2.450%, 4/15/2028 | 6,749,919 |
6,390,000 | Marvell Technology, Inc., 2.950%, 4/15/2031 | 5,584,003 |
2,330,000 | Marvell Technology, Inc., 5.950%, 9/15/2033 | 2,470,708 |
11,425,000 | Microchip Technology, Inc., 0.983%, 9/01/2024 | 11,069,764 |
14,735,000 | Micron Technology, Inc., 2.703%, 4/15/2032 | 12,375,070 |
25,479,000 | Micron Technology, Inc., 4.663%, 2/15/2030 | 24,867,160 |
10,622,000 | Micron Technology, Inc., 5.327%, 2/06/2029 | 10,833,646 |
12,445,000 | Micron Technology, Inc., 5.875%, 2/09/2033 | 12,935,168 |
37,860,000 | Micron Technology, Inc., 5.875%, 9/15/2033 | 39,377,517 |
4,135,000 | Motorola Solutions, Inc., 5.600%, 6/01/2032 | 4,265,695 |
5,085,000 | Open Text Corp., 6.900%, 12/01/2027(a) | 5,286,625 |
4,780,000 | Oracle Corp., 2.950%, 4/01/2030 | 4,314,170 |
25,480,000 | Oracle Corp., 3.600%, 4/01/2050 | 18,873,205 |
6,765,000 | Oracle Corp., 6.150%, 11/09/2029 | 7,277,467 |
10,585,000 | Oracle Corp., 6.250%, 11/09/2032 | 11,515,260 |
4,402,000 | S&P Global, Inc., 4.250%, 5/01/2029 | 4,384,587 |
8,685,000 | S&P Global, Inc., 5.250%, 9/15/2033(a) | 9,086,390 |
1,740,000 | Seagate HDD Cayman, 4.091%, 6/01/2029 | 1,612,354 |
2,460,000 | Sensata Technologies BV, 5.875%, 9/01/2030(a) | 2,444,050 |
7,435,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(a) | 6,548,231 |
7,248,000 | Sensata Technologies, Inc., 4.375%, 2/15/2030(a) | 6,722,248 |
3,555,000 | SK Hynix, Inc., 6.375%, 1/17/2028(a) | 3,669,695 |
1,770,000 | Skyworks Solutions, Inc., 1.800%, 6/01/2026 | 1,640,072 |
970,000 | SS&C Technologies, Inc., 5.500%, 9/30/2027(a) | 956,161 |
13,665,000 | TD SYNNEX Corp., 1.750%, 8/09/2026 | 12,386,773 |
Principal Amount | Description | Value (†) |
Technology — continued | ||
$18,490,000 | Trimble, Inc., 6.100%, 3/15/2033 | $19,788,018 |
9,945,000 | Verisk Analytics, Inc., 5.750%, 4/01/2033 | 10,666,839 |
2,875,000 | VMware LLC, 2.200%, 8/15/2031 | 2,382,261 |
5,450,000 | Western Digital Corp., 2.850%, 2/01/2029 | 4,691,774 |
8,330,000 | Western Digital Corp., 4.750%, 2/15/2026 | 8,171,882 |
631,748,928 | ||
Transportation Services — 0.3% | ||
17,545,000 | ERAC USA Finance LLC, 4.900%, 5/01/2033(a) | 17,521,336 |
16,610,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 6.050%, 8/01/2028(a) | 17,216,054 |
34,737,390 | ||
Treasuries — 6.7% | ||
116,070,000 | U.S. Treasury Bonds, 2.000%, 11/15/2041 | 83,955,788 |
170,890,000 | U.S. Treasury Bonds, 2.250%, 2/15/2052(d) | 118,461,481 |
218,545,000 | U.S. Treasury Bonds, 3.250%, 5/15/2042 | 191,739,090 |
199,245,000 | U.S. Treasury Notes, 4.625%, 6/30/2025 | 199,719,763 |
100,115,000 | U.S. Treasury Notes, 4.875%, 11/30/2025 | 101,151,347 |
695,027,469 | ||
Wireless — 1.7% | ||
36,125,000 | American Tower Corp., 5.500%, 3/15/2028 | 36,923,269 |
15,805,000 | American Tower Corp., 5.900%, 11/15/2033 | 16,733,141 |
610,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 660,954 |
23,985,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 29,603,798 |
1,960,000 | T-Mobile USA, Inc., 2.400%, 3/15/2029 | 1,758,989 |
8,560,000 | T-Mobile USA, Inc., 2.700%, 3/15/2032 | 7,294,843 |
15,320,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 14,233,861 |
7,565,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 6,915,845 |
52,295,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 49,591,439 |
10,410,000 | T-Mobile USA, Inc., 5.750%, 1/15/2034 | 11,041,283 |
174,757,422 | ||
Wirelines — 0.0% | ||
857,000 | Level 3 Financing, Inc., 4.625%, 9/15/2027(a) | 514,200 |
5,200,000 | Verizon Communications, Inc., 2.355%, 3/15/2032 | 4,325,211 |
4,839,411 | ||
Total Non-Convertible Bonds (Identified Cost $7,823,288,294) | 7,616,267,815 | |
Convertible Bonds — 1.4% | ||
Airlines — 0.1% | ||
13,780,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 13,924,690 |
Cable Satellite — 0.3% | ||
9,050,000 | DISH Network Corp., 2.375%, 3/15/2024 | 8,959,500 |
35,520,000 | DISH Network Corp., 3.375%, 8/15/2026 | 18,825,600 |
4,115,000 | DISH Network Corp., Zero Coupon, 6.944%–9.514%, 12/15/2025(e) | 2,551,300 |
30,336,400 | ||
Consumer Cyclical Services — 0.1% | ||
8,630,000 | Uber Technologies, Inc., Zero Coupon, 0.000%–4.509%, 12/15/2025(e) | 8,775,491 |
Electric — 0.2% | ||
20,265,000 | PPL Capital Funding, Inc., 2.875%, 3/15/2028(a) | 19,626,653 |
Healthcare — 0.2% | ||
26,530,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 21,805,007 |
Pharmaceuticals — 0.3% | ||
5,120,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 5,046,272 |
Principal Amount | Description | Value (†) |
Pharmaceuticals — continued | ||
$26,675,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | $27,392,558 |
2,935,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 2,743,990 |
35,182,820 | ||
Retailers — 0.2% | ||
5,080,000 | Etsy, Inc., 0.125%, 9/01/2027 | 4,321,048 |
15,680,000 | Etsy, Inc., 0.250%, 6/15/2028 | 12,553,408 |
16,874,456 | ||
Total Convertible Bonds (Identified Cost $165,479,882) | 146,525,517 | |
Municipals — 0.1% | ||
Virginia — 0.1% | ||
6,960,000 | Tobacco Settlement Financing Corp., 6.706%, 6/01/2046 (Identified Cost $6,710,453) | 5,979,279 |
Total Bonds and Notes (Identified Cost $7,995,478,629) | 7,768,772,611 | |
Collateralized Loan Obligations — 3.0% | ||
3,285,000 | 522 Funding CLO Ltd., Series 2018-3A, Class AR, 3 mo. USD SOFR + 1.302%, 6.717%, 10/20/2031(a)(b) | 3,282,359 |
1,585,000 | 522 Funding CLO Ltd., Series 2021-7A, Class D, 3 mo. USD SOFR + 3.162%, 8.574%, 4/23/2034(a)(b) | 1,513,461 |
5,565,000 | AGL CLO 5 Ltd., Series 2020-5A, Class BR, 3 mo. USD SOFR + 1.962%, 7.377%, 7/20/2034(a)(b) | 5,551,355 |
2,505,000 | AIMCO CLO 12 Ltd., Series 2020-12A, Class AR, 3 mo. USD SOFR + 1.170%, 6.573%, 1/17/2032(a)(b) | 2,502,357 |
14,785,000 | Alinea CLO Ltd., Series 2018-1A, Class B, 3 mo. USD SOFR + 1.912%, 7.327%, 7/20/2031(a)(b) | 14,783,995 |
4,650,000 | Allegro CLO VIII Ltd., Series 2018-2A, Class B1, 3 mo. USD SOFR + 1.932%, 7.326%, 7/15/2031(a)(b) | 4,642,314 |
7,655,000 | Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class AR2, 3 mo. USD SOFR + 1.402%, 6.796%, 7/15/2032(a)(b) | 7,647,368 |
3,520,000 | ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3 mo. USD SOFR + 3.262%, 8.656%, 10/15/2034(a)(b) | 3,471,596 |
4,075,000 | ARES XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3 mo. USD SOFR + 1.762%, 7.156%, 10/15/2030(a)(b) | 4,025,656 |
1,651,667 | Atrium XV, Series 15A, Class D, 3 mo. USD SOFR + 3.262%, 8.674%, 1/23/2031(a)(b) | 1,623,369 |
1,170,000 | Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3 mo. USD SOFR + 1.662%, 7.029%, 11/20/2030(a)(b) | 1,164,597 |
5,320,000 | Battalion CLO VIII Ltd., Series 2015-8A, Class A2R2, 3 mo. USD SOFR + 1.812%, 7.207%, 7/18/2030(a)(b) | 5,310,706 |
2,525,000 | Canyon CLO Ltd., Series 2018-1A, Class B, 3 mo. USD SOFR + 1.962%, 7.356%, 7/15/2031(a)(b) | 2,518,496 |
3,920,000 | Canyon CLO Ltd., Series 2021-4A, Class B, 3 mo. USD SOFR + 1.962%, 7.356%, 10/15/2034(a)(b) | 3,890,710 |
7,170,000 | Carlyle U.S. CLO Ltd., Series 2021-9A, Class B, 3 mo. USD SOFR + 1.912%, 7.327%, 10/20/2034(a)(b) | 7,125,252 |
Principal Amount | Description | Value (†) |
$6,500,000 | CIFC Funding Ltd., Series 2014-5A, Class BR2, 3 mo. USD SOFR + 2.062%, 7.464%, 10/17/2031(a)(b) | $6,497,757 |
2,535,000 | CIFC Funding Ltd., Series 2017-1A, Class B, 3 mo. USD SOFR + 1.962%, 7.374%, 4/23/2029(a)(b) | 2,534,970 |
4,415,000 | CIFC Funding Ltd., Series 2021-6A, Class B, 3 mo. USD SOFR + 1.912%, 7.306%, 10/15/2034(a)(b) | 4,392,369 |
8,720,000 | Clover CLO LLC, Series 2018-1A, Class A1R, 3 mo. USD SOFR + 1.382%, 6.797%, 4/20/2032(a)(b) | 8,703,519 |
3,620,000 | Clover CLO LLC, Series 2021-2A, Class A, 3 mo. USD SOFR + 1.432%, 6.847%, 7/20/2034(a)(b) | 3,619,957 |
3,335,000 | Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3 mo. USD SOFR + 1.662%, 7.056%, 1/15/2031(a)(b) | 3,315,517 |
1,250,000 | Galaxy XXV CLO Ltd., Series 2018-25A, Class B, 3 mo. USD SOFR + 1.912%, 7.290%, 10/25/2031(a)(b) | 1,247,451 |
4,465,000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 3 mo. USD SOFR + 1.962%, 7.333%, 11/22/2031(a)(b) | 4,464,705 |
5,405,000 | GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class B1, 3 mo. USD SOFR + 1.812%, 7.227%, 4/20/2030(a)(b) | 5,360,538 |
3,990,000 | Golub Capital Partners CLO 41B-R Ltd., Series 2019-41A, Class AR, 3 mo. USD SOFR + 1.582%, 6.997%, 1/20/2034(a)(b) | 3,989,940 |
13,735,000 | Hayfin U.S. XII Ltd., Series 2018-8A, Class B, 3 mo. USD SOFR + 1.742%, 7.157%, 4/20/2031(a)(b) | 13,592,911 |
3,545,000 | Invesco CLO Ltd., Series 2021-1A, Class D, 3 mo. USD SOFR + 3.312%, 8.706%, 4/15/2034(a)(b) | 3,514,226 |
13,180,000 | Madison Park Funding XIV Ltd., Series 2014-14A, Class BRR, 3 mo. USD SOFR + 1.962%, 7.374%, 10/22/2030(a)(b) | 13,161,535 |
9,268,397 | Madison Park Funding XXV Ltd., Series 2017-25A, Class A1R, 3 mo. USD SOFR + 1.232%, 6.610%, 4/25/2029(a)(b) | 9,266,831 |
4,410,000 | Madison Park Funding XXXVII Ltd., Series 2019-37A, Class AR, 3 mo. USD SOFR + 1.332%, 6.726%, 7/15/2033(a)(b) | 4,407,808 |
2,945,000 | Magnetite XIV-R Ltd., Series 2015-14RA, Class B, 3 mo. USD SOFR + 1.862%, 7.257%, 10/18/2031(a)(b) | 2,944,847 |
6,025,940 | Magnetite XV Ltd., Series 2015-15A, Class AR, 3 mo. USD SOFR + 1.272%, 6.650%, 7/25/2031(a)(b) | 6,007,911 |
13,895,000 | Morgan Stanley Eaton Vance CLO Ltd., Series 2022-16A, Class B, 3 mo. USD SOFR + 1.950%, 7.344%, 4/15/2035(a)(b) | 13,878,562 |
545,455 | Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class A2R2, 3 mo. USD SOFR + 1.962%, 7.374%, 10/21/2030(a)(b) | 543,511 |
2,105,000 | Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR, 3 mo. USD SOFR + 3.162%, 8.556%, 4/15/2034(a)(b) | 2,083,948 |
4,395,000 | Neuberger Berman Loan Advisers CLO 45 Ltd., Series 2021-45A, Class A, 3 mo. USD SOFR + 1.392%, 6.786%, 10/14/2035(a)(b) | 4,394,798 |
Principal Amount | Description | Value (†) |
$6,205,000 | OCP CLO Ltd., Series 2016-12A, Class BR2, 3 mo. USD SOFR + 1.810%, 7.205%, 4/18/2033(a)(b) | $6,177,233 |
14,755,000 | OCP CLO Ltd., Series 2020-8RA, Class A2, 3 mo. USD SOFR + 1.812%, 7.214%, 1/17/2032(a)(b) | 14,693,575 |
7,170,000 | Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A2, 3 mo. USD SOFR + 1.732%, 7.126%, 4/16/2031(a)(b) | 7,126,729 |
2,000,000 | Octagon Investment Partners 26 Ltd., Series 2016-1A, Class BR, 3 mo. USD SOFR + 1.862%, 7.256%, 7/15/2030(a)(b) | 1,987,960 |
1,986,282 | Octagon Investment Partners 28 Ltd., Series 2016-1A, Class BR, 3 mo. USD SOFR + 2.062%, 7.460%, 10/24/2030(a)(b) | 1,986,210 |
4,155,000 | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3 mo. USD SOFR + 3.562%, 8.956%, 7/15/2036(a)(b) | 3,938,005 |
8,322,603 | Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR, 3 mo. USD SOFR + 1.232%, 6.628%, 7/19/2030(a)(b) | 8,312,258 |
10,050,000 | OHA Credit Partners XVI, Series 2021-16A, Class A, 3 mo. USD SOFR + 1.412%, 6.807%, 10/18/2034(a)(b) | 10,054,553 |
1,440,000 | Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3 mo. USD SOFR + 1.962%, 7.329%, 5/21/2034(a)(b) | 1,439,291 |
8,844,000 | Palmer Square CLO Ltd., Series 2021-2A, Class A, 3 mo. USD SOFR + 1.412%, 6.806%, 7/15/2034(a)(b) | 8,842,320 |
2,917,439 | Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, 3 mo. USD SOFR + 1.062%, 6.477%, 7/20/2029(a)(b) | 2,911,966 |
12,875,000 | Post CLO Ltd., Series 2022-1A, Class B, 3 mo. USD SOFR + 1.900%, 7.316%, 4/20/2035(a)(b) | 12,772,541 |
19,620,000 | Post CLO Ltd., Series 2023-1A, Class A, 3 mo. USD SOFR + 1.950%, 7.366%, 4/20/2036(a)(b) | 19,623,590 |
4,310,000 | Rad CLO 15 Ltd., Series 2021-15A, Class B, 3 mo. USD SOFR + 1.912%, 7.327%, 1/20/2034(a)(b) | 4,285,778 |
1,730,000 | Recette CLO Ltd., Series 2015-1A, Class BRR, 3 mo. USD SOFR + 1.662%, 7.077%, 4/20/2034(a)(b) | 1,707,750 |
1,015,000 | Regatta XV Funding Ltd., Series 2018-4A, Class A2, 3 mo. USD SOFR + 2.112%, 7.490%, 10/25/2031(a)(b) | 1,015,055 |
6,680,000 | Rockford Tower CLO Ltd., Series 2017-1A, Class DR2A, 3 mo. USD SOFR + 3.512%, 8.927%, 4/20/2034(a)(b) | 6,680,000 |
2,415,238 | Venture XXIX CLO Ltd., Series 2017-29A, Class AR, 3 mo. USD SOFR + 1.252%, 6.631%, 9/07/2030(a)(b) | 2,416,296 |
1,830,000 | Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3 mo. USD SOFR + 4.012%, 9.427%, 10/20/2034(a)(b) | 1,806,763 |
3,335,000 | Voya CLO Ltd., Series 2013-3A, Class A2RR, 3 mo. USD SOFR + 1.961%, 7.356%, 10/18/2031(a)(b) | 3,325,742 |
Principal Amount | Description | Value (†) |
$1,610,000 | Voya CLO Ltd., Series 2016-3A, Class A3R, 3 mo. USD SOFR + 2.012%, 7.407%, 10/18/2031(a)(b) | $1,603,128 |
6,235,000 | Voya CLO Ltd., Series 2018-3A, Class B, 3 mo. USD SOFR + 1.912%, 7.306%, 10/15/2031(a)(b) | 6,206,581 |
Total Collateralized Loan Obligations (Identified Cost $312,391,385) | 315,890,526 | |
Senior Loans — 0.4% | ||
Building Materials — 0.1% | ||
9,785,000 | Summit Materials LLC, 2023 Incremental Term Loan B, 11/30/2028(f) | 9,815,627 |
Leisure — 0.1% | ||
3,499,785 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.720%, 10/18/2028(b)(g) | 3,501,255 |
3,188,376 | Carnival Corp., 2023 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.357%, 8/08/2027(b)(g) | 3,191,022 |
6,692,277 | ||
Technology — 0.2% | ||
19,355,000 | GTCR W Merger Sub LLC, USD Term Loan B, 9/20/2030(f) | 19,427,581 |
Total Senior Loans (Identified Cost $35,732,896) | 35,935,485 |
Shares | ||
Preferred Stocks — 0.2% | ||
Convertible Preferred Stocks — 0.2% | ||
Banking — 0.2% | ||
9,627 | Bank of America Corp., Series L, 7.250% | 11,603,230 |
9,453 | Wells Fargo & Co., Series L, Class A, 7.500% | 11,302,196 |
22,905,426 | ||
Total Preferred Stocks (Identified Cost $27,400,785) | 22,905,426 |
Principal Amount | ||
Short-Term Investments — 20.9% | ||
$226,539,591 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $226,602,518 on 1/02/2024 collateralized by $220,247,900 U.S. Treasury Note, 0.625% due 3/31/2027 valued at $198,157,245; $34,175,600 U.S. Treasury Note, 2.500% due 3/31/2027 valued at $32,913,208 including accrued interest (Note 2 of Notes to Financial Statements) | 226,539,591 |
579,280,000 | U.S. Treasury Bills, 5.043%, 6/27/2024(h) | 564,915,947 |
209,380,000 | U.S. Treasury Bills, 5.071%–5.125%, 6/20/2024(h)(i) | 204,387,857 |
351,870,000 | U.S. Treasury Bills, 5.083%–5.180%, 6/13/2024(h)(i) | 343,822,603 |
287,635,000 | U.S. Treasury Bills, 5.225%, 1/11/2024(h) | 287,259,145 |
149,000,000 | U.S. Treasury Bills, 5.230%, 4/09/2024(h) | 146,892,444 |
Principal Amount | Description | Value (†) |
$87,385,000 | U.S. Treasury Bills, 5.246%, 1/04/2024(h) | $87,359,606 |
135,110,000 | U.S. Treasury Bills, 5.252%, 1/18/2024(h) | 134,792,859 |
55,820,000 | U.S. Treasury Bills, 5.305%, 3/21/2024(h) | 55,184,042 |
115,365,000 | U.S. Treasury Bills, 5.325%, 2/29/2024(h) | 114,386,556 |
Total Short-Term Investments (Identified Cost $2,165,027,415) | 2,165,540,650 | |
Total Investments — 99.4% (Identified Cost $10,536,031,110) | 10,309,044,698 | |
Other assets less liabilities — 0.6% | 59,834,228 | |
Net Assets — 100.0% | $10,368,878,926 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, the value of Rule 144A holdings amounted to $3,502,096,316 or 33.8% of net assets. |
(b) | Variable rate security. Rate as of December 31, 2023 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description. |
(c) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(d) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(e) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields. |
(f) | Position is unsettled. Contract rate was not determined at December 31, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(g) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate which may range from 0.00% to 2.50%, to which the spread is added. |
(h) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(i) | The Fund's investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
ABS | Asset-Backed Securities |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
REMICS | Real Estate Mortgage Investment Conduits |
SLM | Sallie Mae |
SOFR | Secured Overnight Financing Rate |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 10 Year U.S. Treasury Notes Futures | 3/19/2024 | 11,506 | $1,261,188,366 | $1,298,919,531 | $37,731,165 |
CBOT 2 Year U.S. Treasury Notes Futures | 3/28/2024 | 6,969 | 1,422,425,167 | 1,435,015,098 | 12,589,931 |
CBOT 5 Year U.S. Treasury Notes Futures | 3/28/2024 | 19,623 | 2,104,857,648 | 2,134,461,174 | 29,603,526 |
CBOT U.S. Long Bond Futures | 3/19/2024 | 12,891 | 1,522,466,821 | 1,610,569,312 | 88,102,491 |
Total | $168,027,113 |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CME Ultra Long Term U.S. Treasury Bond Futures | 3/19/2024 | 1,191 | $152,461,376 | $159,110,156 | $(6,648,780 ) |
Ultra 10-Year U.S. Treasury Notes Futures | 3/19/2024 | 18,338 | 2,115,330,398 | 2,164,170,531 | (48,840,133 ) |
Total | $(55,488,913 ) |
Banking | 11.0 % |
Treasuries | 6.7 |
Technology | 6.3 |
Finance Companies | 4.3 |
ABS Home Equity | 3.9 |
ABS Car Loan | 3.7 |
Metals & Mining | 3.5 |
Midstream | 3.5 |
ABS Other | 2.9 |
Independent Energy | 2.8 |
Other Investments, less than 2% each | 26.9 |
Collateralized Loan Obligations | 3.0 |
Short-Term Investments | 20.9 |
Total Investments | 99.4 |
Other assets less liabilities (including futures contracts) | 0.6 |
Net Assets | 100.0 % |
Principal Amount (‡) | Description | Value (†) |
Bonds and Notes — 81.0% of Net Assets | ||
Non-Convertible Bonds — 76.7% | ||
ABS Car Loan — 4.7% | ||
$405,000 | American Credit Acceptance Receivables Trust, Series 2023-3, Class D, 6.820%, 10/12/2029(a) | $412,487 |
730,000 | American Credit Acceptance Receivables Trust, Series 2023-4, Class D, 7.650%, 9/12/2030(a) | 752,437 |
2,360,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class C, 3.020%, 8/20/2026(a) | 2,241,389 |
1,800,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027(a) | 1,710,585 |
485,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-8A, Class C, 7.340%, 2/20/2030(a) | 494,729 |
260,000 | Carvana Auto Receivables Trust, Series 2023-N1, Class D, 6.690%, 7/10/2029(a) | 260,234 |
120,000 | Carvana Auto Receivables Trust, Series 2023-N4, Class D, 7.220%, 2/11/2030(a) | 122,614 |
1,180,000 | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030(a) | 1,170,848 |
1,110,000 | DT Auto Owner Trust, Series 2020-3A, Class D, 1.840%, 6/15/2026(a) | 1,070,067 |
2,290,000 | DT Auto Owner Trust, Series 2022-2A, Class D, 5.460%, 3/15/2028(a) | 2,256,417 |
665,000 | DT Auto Owner Trust, Series 2023-3A, Class D, 7.120%, 5/15/2029(a) | 680,285 |
960,000 | Exeter Automobile Receivables Trust, Series 2023-5A, Class D, 7.130%, 2/15/2030 | 986,967 |
314,585 | First Investors Auto Owner Trust, Series 2019-2A, Class D, 2.800%, 12/15/2025(a) | 314,139 |
1,475,000 | First Investors Auto Owner Trust, Series 2019-2A, Class E, 3.880%, 1/15/2026(a) | 1,472,932 |
105,000 | Flagship Credit Auto Trust, Series 2023-3, Class D, 6.580%, 8/15/2029(a) | 104,560 |
285,000 | Ford Credit Auto Lease Trust, Series 2023-B, Class D, 6.970%, 6/15/2028 | 290,138 |
460,000 | Ford Credit Auto Owner Trust, Series 2023-2, Class D, 6.600%, 2/15/2036(a) | 464,082 |
3,120,000 | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D, 2.480%, 10/15/2027(a) | 2,918,345 |
230,000 | GLS Auto Receivables Issuer Trust, Series 2023-3A, Class D, 6.440%, 5/15/2029(a) | 230,797 |
1,889,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026(a) | 1,789,936 |
746,500 | Hertz Vehicle Financing III LLC, Series 2022-3A, Class D, 6.310%, 3/25/2025(a) | 743,247 |
360,000 | Hertz Vehicle Financing III LLC, Series 2023-1A, Class D2, 9.130%, 6/25/2027(a) | 361,741 |
740,000 | Hertz Vehicle Financing III LLC, Series 2023-2A, Class D, 9.400%, 9/25/2029(a) | 752,021 |
990,000 | Hertz Vehicle Financing LLC, Series 2022-2A, Class D, 5.160%, 6/26/2028(a) | 888,148 |
1,050,000 | Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026(a) | 1,012,725 |
910,000 | Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026(a) | 906,831 |
210,000 | Prestige Auto Receivables Trust, Series 2023-2A, Class D, 7.710%, 8/15/2029(a) | 216,138 |
1,920,000 | Westlake Automobile Receivables Trust, Series 2022-2A, Class D, 5.480%, 9/15/2027(a) | 1,902,175 |
Principal Amount (‡) | Description | Value (†) |
ABS Car Loan — continued | ||
$635,000 | Westlake Automobile Receivables Trust, Series 2023-3A, Class D, 6.470%, 3/15/2029(a) | $640,817 |
815,000 | Westlake Automobile Receivables Trust, Series 2023-4A, Class D, 7.190%, 7/16/2029(a) | 830,877 |
27,998,708 | ||
ABS Credit Card — 0.2% | ||
420,000 | Mission Lane Credit Card Master Trust, Series 2023-A, Class A, 7.230%, 7/17/2028(a) | 420,358 |
625,000 | Mission Lane Credit Card Master Trust, Series 2023-B, Class A, 7.690%, 11/15/2028(a) | 631,508 |
1,051,866 | ||
ABS Home Equity — 6.1% | ||
191,838 | Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 | 185,876 |
169,212 | Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035 | 165,653 |
87,177 | Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034 | 73,548 |
2,315,000 | BINOM Securitization Trust, Series 2022-RPL1, Class M1, 3.000%, 2/25/2061(a)(b) | 1,749,451 |
26,445 | CHL Mortgage Pass-Through Trust, Series 2004-HYB4, Class 2A1, 5.186%, 9/20/2034(b)(c) | 22,960 |
1,336,411 | CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059(a)(b) | 1,316,255 |
1,830,000 | CoreVest American Finance Ltd., Series 2019-2, Class B, 3.424%, 6/15/2052(a) | 1,684,391 |
245,000 | CoreVest American Finance Ltd., Series 2020-2, Class C, 4.586%, 5/15/2052(a)(b) | 229,045 |
1,340,000 | CoreVest American Finance Ltd., Series 2020-4, Class C, 2.250%, 12/15/2052(a) | 1,105,037 |
730,000 | CoreVest American Finance Ltd., Series 2023-RTL1, Class A1, 7.553%, 12/28/2030(a)(b) | 731,456 |
231,206 | Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033 | 228,371 |
108,221 | Countrywide Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034 | 105,714 |
107,801 | Countrywide Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034 | 105,366 |
200,867 | Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034 | 198,435 |
1,629 | Countrywide Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025(c) | 1,524 |
1,097,304 | Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 4.046%, 3/25/2060(a)(b) | 1,038,331 |
1,804,141 | Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060(a)(b) | 1,753,514 |
102,603 | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033 | 101,076 |
332,834 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1 mo. USD SOFR + 0.774%, 6.130%, 9/19/2045(b) | 174,917 |
793,623 | Federal Home Loan Mortgage Corp., Series 2022-DNA4, Class M1A, REMICS, 30 day USD SOFR Average + 2.200%, 7.537%, 5/25/2042(a)(b) | 804,773 |
Principal Amount (‡) | Description | Value (†) |
ABS Home Equity — continued | ||
$289,295 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2020-R01, Class 1M2, 30 day USD SOFR Average + 2.164%, 7.502%, 1/25/2040(a)(b) | $293,089 |
1,054,807 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2022-R06, Class 1M1, 30 day USD SOFR Average + 2.750%, 8.087%, 5/25/2042(a)(b) | 1,084,473 |
255,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2023-R06, Class 1M2, 30 day USD SOFR Average + 2.700%, 8.037%, 7/25/2043(a)(b) | 259,845 |
45,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2023-R08, Class 1M2, 30 day USD SOFR Average + 2.500%, 7.837%, 10/25/2043(a)(b) | 45,984 |
4,165,000 | FirstKey Homes Trust, Series 2020-SFR2, Class E, 2.668%, 10/19/2037(a) | 3,879,239 |
171,778 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068(a)(b) | 162,948 |
489,345 | GITSIT Mortgage Loan Trust, Series 2023-NPL1, Class A1, 8.353%, 5/25/2053(a)(b) | 494,249 |
229,923 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041(a) | 185,598 |
339,760 | IndyMac INDX Mortgage Loan Trust, Series 2004-AR7, Class A5, 1 mo. USD SOFR + 1.334%, 6.690%, 9/25/2034(b) | 271,069 |
544,950 | JP Morgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034 | 535,705 |
252,353 | Lehman XS Trust, Series 2006-2N, Class 1A1, 1 mo. USD SOFR + 0.634%, 5.990%, 2/25/2046(b) | 195,056 |
181,107 | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 5.750%, 5/25/2034(b) | 173,622 |
130,485 | MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033 | 126,332 |
101,310 | MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034 | 98,740 |
120,441 | MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034 | 119,496 |
373,941 | MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034 | 362,551 |
17,240 | Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A, 5.470%, 5/25/2036(b)(c) | 15,933 |
245,000 | Mill City Mortgage Loan Trust, Series 2021-NMR1, Class M2, 2.500%, 11/25/2060(a)(b) | 204,935 |
241,168 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035 | 154,736 |
463,376 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035 | 422,160 |
865,000 | NLT Trust, Series 2023-1, Class A1, 3.200%, 10/25/2062(a)(b) | 771,129 |
1,005,000 | Progress Residential Trust, Series 2019-SFR3, Class D, 2.871%, 9/17/2036(a) | 979,284 |
795,000 | Progress Residential Trust, Series 2021-SFR2, Class E2, 2.647%, 4/19/2038(a) | 714,018 |
570,000 | Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026(a) | 513,042 |
470,000 | Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026(a) | 421,249 |
Principal Amount (‡) | Description | Value (†) |
ABS Home Equity — continued | ||
$930,000 | Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038(a) | $822,837 |
400,000 | Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038(a) | 353,948 |
585,000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038(a) | 519,328 |
415,000 | Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040(a) | 340,513 |
235,000 | Progress Residential Trust, Series 2023-SFR2, Class D, 4.500%, 10/17/2028(a) | 215,549 |
765,651 | PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026(a)(b) | 757,126 |
1,471,306 | PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026(a)(b) | 1,425,582 |
97,397 | PRPM LLC, Series 2023-RCF2, Class A1, 4.000%, 11/25/2053(a)(b) | 91,001 |
468,666 | Redwood Funding Trust, Series 2023-1, Class A, 7.500%, 7/25/2059(a)(b) | 463,039 |
1,679,719 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1 mo. USD SOFR + 0.424%, 5.780%, 7/25/2035(b) | 1,010,297 |
1,040,000 | Tricon American Homes, Series 2020-SFR1, Class E, 3.544%, 7/17/2038(a) | 971,121 |
1,170,000 | Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.730%, 11/17/2039(a) | 1,022,740 |
784,593 | VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051(a)(b) | 769,956 |
723,659 | VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051(a)(b) | 700,015 |
2,136,905 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051(a)(b) | 2,066,149 |
1,161,913 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051(a)(b) | 1,132,286 |
36,921,662 | ||
ABS Other — 4.2% | ||
1,551,397 | AASET Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041(a) | 1,397,781 |
288,218 | Accelerated Assets LLC, Series 2018-1, Class B, 4.510%, 12/02/2033(a) | 281,074 |
625,000 | Affirm Asset Securitization Trust, Series 2023-B, Class A, 6.820%, 9/15/2028(a) | 634,832 |
355,000 | Affirm Asset Securitization Trust, Series 2023-X1, Class A, 7.110%, 11/15/2028(a) | 356,143 |
2,218,114 | AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040(a)(b) | 470,227 |
242,625 | Aqua Finance Trust, Series 2019-A, Class C, 4.010%, 7/16/2040(a) | 223,505 |
2,340,000 | BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035(a) | 2,163,362 |
550,000 | BHG Securitization Trust, Series 2023-B, Class B, 7.450%, 12/17/2036(a) | 565,617 |
599,126 | Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041(a)(b) | 564,862 |
335,067 | Castlelake Aircraft Securitization Trust, Series 2018-1, Class B, 5.300%, 6/15/2043(a) | 257,373 |
149,437 | Castlelake Aircraft Structured Trust, Series 2019-1A, Class A, 3.967%, 4/15/2039(a) | 130,206 |
140,000 | Foundation Finance Trust, Series 2023-2A, Class D, 9.100%, 6/15/2049(a) | 144,887 |
Principal Amount (‡) | Description | Value (†) |
ABS Other — continued | ||
$99,957 | FREED ABS Trust, Series 2021-2, Class C, 1.940%, 6/19/2028(a) | $98,965 |
2,800,000 | Frontier Issuer LLC, Series 2023-1, Class A2, 6.600%, 8/20/2053(a) | 2,788,744 |
152,614 | Hilton Grand Vacations Trust, Series 2018-AA, Class C, 4.000%, 2/25/2032(a) | 147,770 |
72,001 | Hilton Grand Vacations Trust, Series 2022-1D, Class C, 4.690%, 6/20/2034(a) | 69,112 |
372,493 | Horizon Aircraft Finance I Ltd., Series 2018-1, Class A, 4.458%, 12/15/2038(a) | 317,548 |
264,829 | Horizon Aircraft Finance III Ltd., Series 2019-2, Class A, 3.425%, 11/15/2039(a) | 210,062 |
150,000 | HPEFS Equipment Trust, Series 2023-2A, Class D, 6.970%, 7/21/2031(a) | 152,923 |
1,335,690 | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038(a) | 1,187,149 |
689,891 | MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043(a) | 632,254 |
725,023 | MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043(a) | 561,288 |
310,000 | Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031(a) | 303,685 |
695,000 | Marlette Funding Trust, Series 2023-4A, Class B, 8.150%, 12/15/2033(a) | 714,683 |
44,198 | Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032(a)(b) | 41,163 |
141,913 | MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037(a) | 136,271 |
134,937 | MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036(a) | 128,939 |
730,000 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class B, 2.780%, 1/15/2069(a) | 596,513 |
1,020,000 | OneMain Financial Issuance Trust, Series 2020-2A, Class C, 2.760%, 9/14/2035(a) | 912,949 |
810,000 | OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036(a) | 681,351 |
491,365 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C, 3.510%, 7/20/2037(a) | 472,019 |
165,509 | Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class C, 7.000%, 1/20/2040(a) | 167,590 |
150,341 | Sierra Timeshare Receivables Funding LLC, Series 2023-2A, Class C, 7.300%, 4/20/2040(a) | 153,722 |
911,196 | Slam Ltd., Series 2021-1A, Class B, 3.422%, 6/15/2046(a) | 790,227 |
1,356,821 | SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037(a) | 1,263,181 |
190,359 | Sunnova Helios XII Issuer LLC, Series 2023-B, Class B, 5.600%, 8/22/2050(a) | 184,887 |
3,327,547 | TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046(a) | 2,856,684 |
1,670,554 | WAVE Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042(a) | 1,410,138 |
486,310 | Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 9/15/2043(a)(b) | 427,274 |
680,069 | Willis Engine Structured Trust V, Series 2020-A, Class A, 3.228%, 3/15/2045(a) | 607,688 |
227,016 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 5/15/2046(a) | 190,563 |
25,395,211 |
Principal Amount (‡) | Description | Value (†) |
ABS Student Loan — 2.2% | ||
$505,684 | College Avenue Student Loans LLC, Series 2021-A, Class D, 4.120%, 7/25/2051(a) | $464,412 |
858,530 | Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041(a) | 793,056 |
935,781 | Navient Private Education Refi Loan Trust, Series 2018-A, Class B, 3.680%, 2/18/2042(a) | 897,236 |
1,775,000 | Navient Private Education Refi Loan Trust, Series 2018-CA, Class B, 4.220%, 6/16/2042(a) | 1,680,387 |
3,410,000 | Navient Private Education Refi Loan Trust, Series 2019-FA, Class B, 3.120%, 8/15/2068(a) | 2,832,849 |
695,000 | Navient Private Education Refi Loan Trust, Series 2019-GA, Class B, 3.080%, 10/15/2068(a) | 574,944 |
320,000 | Navient Private Education Refi Loan Trust, Series 2020-DA, Class B, 3.330%, 5/15/2069(a) | 271,541 |
1,290,000 | Navient Private Education Refi Loan Trust, Series 2020-FA, Class B, 2.690%, 7/15/2069(a) | 1,027,212 |
810,000 | Nelnet Student Loan Trust, Series 2021-DA, Class B, 2.900%, 4/20/2062(a) | 675,453 |
294,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28 day Auction Rate Security, 7.920%, 6/15/2032(b) | 293,972 |
913,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28 day Auction Rate Security, 8.969%, 3/15/2033(b) | 908,972 |
94,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28 day Auction Rate Security, 7.970%, 3/15/2033(b) | 93,585 |
644,941 | SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043(a) | 623,559 |
310,492 | SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1 mo. USD SOFR + 0.864%, 6.226%, 10/15/2035(a)(b) | 308,236 |
190,000 | SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042(a) | 179,000 |
510,000 | SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042(a) | 478,707 |
1,350,000 | SoFi Professional Loan Program LLC, Series 2020-A, Class BFX, 3.120%, 5/15/2046(a) | 1,105,642 |
13,208,763 | ||
ABS Whole Business — 0.7% | ||
1,510,000 | Applebee's Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053(a) | 1,548,128 |
250,000 | FOCUS Brands Funding, Series 2023-2, Class A2, 8.241%, 10/30/2053(a) | 261,830 |
2,952,000 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049(a) | 2,611,271 |
4,421,229 | ||
Aerospace & Defense — 0.5% | ||
1,255,000 | Embraer Netherlands Finance BV, 7.000%, 7/28/2030(a) | 1,316,490 |
1,395,000 | RTX Corp., 6.100%, 3/15/2034 | 1,513,917 |
2,830,407 | ||
Airlines — 0.6% | ||
4,133,765 | United Airlines Pass-Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029 | 3,708,318 |
Automotive — 1.3% | ||
330,000 | General Motors Co., 5.200%, 4/01/2045 | 296,987 |
2,425,000 | General Motors Co., 5.400%, 4/01/2048 | 2,215,577 |
445,000 | General Motors Co., 5.950%, 4/01/2049 | 435,402 |
Principal Amount (‡) | Description | Value (†) |
Automotive — continued | ||
$1,365,000 | General Motors Financial Co., Inc., 1.200%, 10/15/2024 | $1,317,263 |
1,455,000 | General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(d) | 1,290,585 |
1,170,000 | General Motors Financial Co., Inc., Series B, (fixed rate to 9/30/2028, variable rate thereafter), 6.500%(d) | 1,064,655 |
470,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(d) | 434,041 |
315,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028(a) | 327,480 |
560,000 | ZF North America Capital, Inc., 7.125%, 4/14/2030(a) | 594,910 |
7,976,900 | ||
Banking — 7.2% | ||
1,660,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(d) | 1,245,102 |
2,400,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(d) | 1,628,298 |
2,200,000 | Banco Santander SA, 5.147%, 8/18/2025 | 2,187,283 |
50,000 | Bank of America Corp., (fixed rate to 3/08/2032, variable rate thereafter), 3.846%, 3/08/2037 | 43,900 |
1,735,000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(d) | 1,348,799 |
4,460,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 3,823,631 |
6,580,000 | Citigroup, Inc., (fixed rate to 1/25/2025, variable rate thereafter), 2.014%, 1/25/2026 | 6,322,807 |
1,330,000 | Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025 | 1,307,429 |
1,345,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 1,104,130 |
5,280,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 4,425,487 |
1,490,000 | Intesa Sanpaolo SpA, 7.200%, 11/28/2033(a) | 1,590,173 |
7,575,000 | Morgan Stanley, MTN, (fixed rate to 10/21/2024, variable rate thereafter), 1.164%, 10/21/2025 | 7,293,664 |
3,550,000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036(a) | 2,905,900 |
1,030,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(a) | 1,266,113 |
375,000 | UBS Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032(a) | 319,375 |
4,570,000 | UBS Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026(a) | 4,345,993 |
740,000 | UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028(a) | 767,691 |
1,500,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033(a) | 1,599,765 |
43,525,540 | ||
Building Materials — 1.3% | ||
3,145,000 | Cemex SAB de CV, 3.875%, 7/11/2031(a) | 2,812,781 |
905,000 | Cemex SAB de CV, 5.200%, 9/17/2030(a) | 872,005 |
1,725,000 | Cemex SAB de CV, 5.450%, 11/19/2029(a) | 1,700,998 |
2,330,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%(a)(d) | 2,209,682 |
7,595,466 |
Principal Amount (‡) | Description | Value (†) |
Cable Satellite — 5.0% | ||
$7,390,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027(a) | $7,139,993 |
520,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026(a) | 516,537 |
225,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 179,051 |
645,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 544,033 |
330,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 304,551 |
6,565,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 12/01/2061 | 4,536,560 |
2,200,000 | CSC Holdings LLC, 3.375%, 2/15/2031(a) | 1,605,062 |
400,000 | CSC Holdings LLC, 4.500%, 11/15/2031(a) | 302,430 |
9,810,000 | CSC Holdings LLC, 4.625%, 12/01/2030(a) | 5,906,801 |
405,000 | CSC Holdings LLC, 5.000%, 11/15/2031(a) | 245,025 |
405,000 | CSC Holdings LLC, 5.750%, 1/15/2030(a) | 252,113 |
3,210,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 1,654,402 |
6,305,000 | DISH DBS Corp., 5.250%, 12/01/2026(a) | 5,401,809 |
1,770,000 | DISH DBS Corp., 5.750%, 12/01/2028(a) | 1,411,752 |
30,000,119 | ||
Chemicals — 0.9% | ||
1,915,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030(a) | 1,486,353 |
110,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 115,310 |
695,000 | Celanese U.S. Holdings LLC, 6.550%, 11/15/2030 | 734,703 |
2,625,000 | Celanese U.S. Holdings LLC, 6.700%, 11/15/2033 | 2,847,070 |
5,183,436 | ||
Consumer Cyclical Services — 1.5% | ||
960,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 5.250%, 12/01/2027(a) | 940,712 |
8,055,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(a) | 7,684,200 |
680,000 | Uber Technologies, Inc., 6.250%, 1/15/2028(a) | 681,705 |
9,306,617 | ||
Diversified Manufacturing — 0.2% | ||
990,000 | Veralto Corp., 5.450%, 9/18/2033(a) | 1,025,411 |
Electric — 0.3% | ||
1,490,000 | Pacific Gas & Electric Co., 4.300%, 3/15/2045 | 1,165,906 |
685,000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 | 690,519 |
1,856,425 | ||
Finance Companies — 4.1% | ||
1,670,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 1,453,450 |
1,015,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.400%, 10/29/2033 | 871,553 |
1,295,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.150%, 9/30/2030 | 1,363,750 |
1,190,000 | Aircastle Ltd., 6.500%, 7/18/2028(a) | 1,213,462 |
505,000 | Aircastle Ltd., Series A, (fixed rate to 6/15/2026, variable rate thereafter), 5.250%(a)(d) | 432,942 |
1,530,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 1,355,477 |
3,400,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 2,843,476 |
2,415,000 | Blue Owl Capital Corp., 2.875%, 6/11/2028 | 2,119,875 |
1,415,000 | Blue Owl Technology Finance Corp., 2.500%, 1/15/2027 | 1,235,073 |
Principal Amount (‡) | Description | Value (†) |
Finance Companies — continued | ||
$2,130,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | $1,971,196 |
125,000 | OneMain Finance Corp., 3.875%, 9/15/2028 | 110,594 |
365,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 312,351 |
485,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 454,153 |
5,000 | OneMain Finance Corp., 6.875%, 3/15/2025 | 5,061 |
2,150,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(a) | 1,983,375 |
2,865,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(a) | 2,593,073 |
105,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(a) | 92,347 |
5,245,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(a) | 4,455,777 |
24,866,985 | ||
Financial Other — 0.7% | ||
540,000 | Agile Group Holdings Ltd., 5.500%, 4/21/2025 | 76,189 |
425,000 | Agile Group Holdings Ltd., 5.500%, 5/17/2026 | 46,644 |
430,000 | Agile Group Holdings Ltd., 5.750%, 1/02/2025 | 70,524 |
1,540,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 185,770 |
485,000 | Central China Real Estate Ltd., 7.250%, 7/16/2024(e) | 22,189 |
410,000 | Central China Real Estate Ltd., 7.250%, 8/13/2024(e) | 18,889 |
1,000,000 | Central China Real Estate Ltd., 7.650%, 8/27/2025(e) | 45,460 |
625,000 | Central China Real Estate Ltd., 7.750%, 5/24/2024(e) | 27,881 |
1,960,135 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(a)(f) | 149,833 |
2,379,845 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(a)(f) | 61,519 |
239,712 | CFLD Cayman Investment Ltd., Zero Coupon, 0.000%–28.181%, 1/31/2031(a)(g) | 1,558 |
710,000 | China Aoyuan Group Ltd., 6.350%, 2/08/2024(e) | 10,650 |
645,000 | China Aoyuan Group Ltd., 7.950%, 2/19/2023(e) | 9,675 |
630,000 | China Evergrande Group, 8.250%, 3/23/2022(e) | 7,497 |
1,020,000 | China Evergrande Group, 8.750%, 6/28/2025(e) | 12,750 |
270,000 | China Evergrande Group, 9.500%, 4/11/2022(e) | 3,491 |
220,000 | China Evergrande Group, 9.500%, 3/29/2024(e) | 3,115 |
1,110,000 | CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026(e) | 70,762 |
480,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 400,829 |
325,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 | 323,020 |
945,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 848,822 |
125,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026 | 119,264 |
600,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025 | 589,036 |
1,875,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(e) | 60,731 |
205,000 | Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(e) | 7,536 |
855,000 | Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(e) | 27,967 |
4,525,000 | Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(e) | 130,094 |
2,045,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(e) | 58,794 |
2,125,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(e) | 68,637 |
Principal Amount (‡) | Description | Value (†) |
Financial Other — continued | ||
$645,000 | KWG Group Holdings Ltd., 6.000%, 8/14/2026(e) | $37,571 |
845,000 | KWG Group Holdings Ltd., 6.300%, 2/13/2026(e) | 49,585 |
400,000 | Logan Group Co. Ltd., 4.250%, 7/12/2025(e) | 26,000 |
230,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(e) | 14,950 |
825,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(e) | 30,937 |
725,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(e) | 23,396 |
610,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(e) | 24,400 |
380,443 | Sunac China Holdings Ltd., 6.000% PIK or 5.000% Cash, 9/30/2026(a)(h) | 46,528 |
380,443 | Sunac China Holdings Ltd., 6.250% PIK or 5.250% Cash, 9/30/2027(a)(h) | 40,392 |
760,887 | Sunac China Holdings Ltd., 6.500% PIK or 5.500% Cash, 9/30/2027(a)(h) | 71,029 |
1,141,330 | Sunac China Holdings Ltd., 6.750% PIK or 5.750% Cash, 9/30/2028(a)(h) | 90,462 |
1,141,330 | Sunac China Holdings Ltd., 7.000% PIK or 6.000% Cash, 9/30/2029(a)(h) | 84,801 |
536,135 | Sunac China Holdings Ltd., 7.250% PIK or 6.250% Cash, 9/30/2030(a)(h) | 34,173 |
210,000 | Times China Holdings Ltd., 5.750%, 1/14/2027(e) | 4,217 |
1,085,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(e) | 24,412 |
4,400,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(e) | 272,008 |
325,000 | Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(e) | 19,721 |
415,000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(e) | 25,850 |
555,000 | Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(e) | 35,398 |
1,360,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(e) | 12,798 |
210,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(e) | 1,976 |
220,000 | Zhenro Properties Group Ltd., 7.350%, 2/05/2025(e) | 1,650 |
4,431,380 | ||
Food & Beverage — 0.2% | ||
1,015,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029 | 892,788 |
Gaming — 0.9% | ||
1,220,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031(a) | 1,040,801 |
245,000 | GLP Capital LP/GLP Financing II, Inc., 6.750%, 12/01/2033 | 264,313 |
315,000 | Light & Wonder International, Inc., 7.000%, 5/15/2028(a) | 318,206 |
910,000 | Light & Wonder International, Inc., 7.250%, 11/15/2029(a) | 931,758 |
355,000 | Light & Wonder International, Inc., 7.500%, 9/01/2031(a) | 370,285 |
2,670,000 | VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029(a) | 2,452,744 |
5,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025(a) | 4,911 |
5,383,018 | ||
Government Owned - No Guarantee — 0.9% | ||
2,350,000 | Antares Holdings LP, 2.750%, 1/15/2027(a) | 2,081,888 |
Principal Amount (‡) | Description | Value (†) |
Government Owned - No Guarantee — continued | ||
$2,790,000 | Antares Holdings LP, 3.750%, 7/15/2027(a) | $2,513,768 |
845,000 | Antares Holdings LP, 3.950%, 7/15/2026(a) | 784,599 |
5,380,255 | ||
Health Care REITs — 0.1% | ||
455,000 | National Health Investors, Inc., 3.000%, 2/01/2031 | 363,690 |
Health Insurance — 0.4% | ||
1,260,000 | Centene Corp., 3.375%, 2/15/2030 | 1,130,510 |
680,000 | Centene Corp., 4.625%, 12/15/2029 | 651,934 |
585,000 | Molina Healthcare, Inc., 4.375%, 6/15/2028(a) | 553,281 |
2,335,725 | ||
Independent Energy — 2.7% | ||
1,670,000 | Aker BP ASA, 4.000%, 1/15/2031(a) | 1,533,391 |
1,920,000 | Continental Resources, Inc., 2.875%, 4/01/2032(a) | 1,557,572 |
6,710,000 | Continental Resources, Inc., 5.750%, 1/15/2031(a) | 6,679,531 |
1,190,000 | Energian Israel Finance Ltd., 5.375%, 3/30/2028(a) | 1,044,522 |
25,000 | EQT Corp., 3.625%, 5/15/2031(a) | 22,327 |
745,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025(a) | 720,966 |
740,000 | Leviathan Bond Ltd., 6.500%, 6/30/2027(a) | 696,518 |
180,000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 | 204,761 |
180,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 | 210,637 |
320,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 340,182 |
140,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 144,399 |
695,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 719,543 |
90,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 97,663 |
85,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 93,635 |
385,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 433,115 |
870,000 | Var Energi ASA, 7.500%, 1/15/2028(a) | 921,986 |
410,000 | Var Energi ASA, 8.000%, 11/15/2032(a) | 459,036 |
455,000 | Viper Energy, Inc., 7.375%, 11/01/2031(a) | 470,925 |
16,350,709 | ||
Leisure — 1.6% | ||
1,880,000 | Carnival Corp., 5.750%, 3/01/2027(a) | 1,833,815 |
580,000 | Carnival Corp., 6.000%, 5/01/2029(a) | 558,079 |
1,560,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(a) | 1,524,366 |
890,000 | NCL Corp. Ltd., 5.875%, 2/15/2027(a) | 879,347 |
1,325,000 | NCL Corp. Ltd., 8.125%, 1/15/2029(a) | 1,384,071 |
570,000 | NCL Finance Ltd., 6.125%, 3/15/2028(a) | 545,622 |
240,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026(a) | 231,810 |
1,725,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(a) | 1,703,021 |
1,260,000 | VOC Escrow Ltd., 5.000%, 2/15/2028(a) | 1,206,852 |
9,866,983 | ||
Life Insurance — 0.2% | ||
1,110,000 | Global Atlantic Fin Co., 4.400%, 10/15/2029(a) | 1,021,354 |
Local Authorities — 0.0% | ||
52,000,000 | Provincia de Buenos Aires/Government Bonds, Argentina Deposit Rates Badlar Pvt Banks + 3.750%, 129.126%, 4/12/2025, (ARS)(a) | 59,199 |
Lodging — 0.6% | ||
435,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.875%, 7/01/2031(a) | 385,063 |
Principal Amount (‡) | Description | Value (†) |
Lodging — continued | ||
$585,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.000%, 6/01/2029(a) | $539,689 |
20,000 | Marriott International, Inc., 5.550%, 10/15/2028 | 20,626 |
805,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(a) | 709,374 |
1,000,000 | Travel & Leisure Co., 4.500%, 12/01/2029(a) | 895,585 |
1,330,000 | Travel & Leisure Co., 4.625%, 3/01/2030(a) | 1,189,419 |
3,739,756 | ||
Media Entertainment — 1.8% | ||
2,740,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027(a) | 2,177,136 |
1,430,000 | Netflix, Inc., 4.875%, 6/15/2030(a) | 1,447,948 |
860,000 | Netflix, Inc., 5.375%, 11/15/2029(a) | 888,482 |
1,325,000 | Netflix, Inc., 5.875%, 11/15/2028 | 1,394,938 |
1,705,000 | Netflix, Inc., 6.375%, 5/15/2029 | 1,853,773 |
855,000 | Warnermedia Holdings, Inc., 4.054%, 3/15/2029 | 811,216 |
2,555,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032 | 2,338,346 |
10,911,839 | ||
Metals & Mining — 3.9% | ||
1,885,000 | ArcelorMittal SA, 6.800%, 11/29/2032 | 2,038,454 |
4,180,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026(a) | 3,741,667 |
1,065,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025(a) | 1,015,472 |
2,375,000 | Glencore Funding LLC, 6.125%, 10/06/2028(a) | 2,488,075 |
2,275,000 | Glencore Funding LLC, 6.375%, 10/06/2030(a) | 2,442,448 |
10,565,000 | Glencore Funding LLC, 6.500%, 10/06/2033(a) | 11,518,156 |
23,244,272 | ||
Midstream — 1.3% | ||
165,000 | EnLink Midstream LLC, 6.500%, 9/01/2030(a) | 168,401 |
555,000 | Targa Resources Corp., 6.125%, 3/15/2033 | 584,325 |
2,455,000 | Targa Resources Corp., 6.500%, 3/30/2034 | 2,649,607 |
1,460,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 1,418,258 |
1,535,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(a) | 1,300,833 |
815,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(a) | 718,020 |
1,045,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | 1,085,617 |
7,925,061 | ||
Non-Agency Commercial Mortgage-Backed Securities — 5.7% | ||
2,995,000 | BBCMS Mortgage Trust, Series 2020-BID, Class B, 1 mo. USD SOFR + 2.654%, 8.017%, 10/15/2037(a)(b) | 2,896,986 |
2,155,000 | BPR Trust, Series 2021-NRD, Class F, 1 mo. USD SOFR + 6.870%, 12.232%, 12/15/2038(a)(b) | 1,932,919 |
2,040,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 4.937%, 5/10/2047(a)(b) | 1,266,390 |
2,585,000 | Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045(a) | 2,009,062 |
140,000 | Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.294%, 12/10/2044(b) | 112,528 |
1,890,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037(a) | 1,098,862 |
5,680,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037(a) | 2,669,273 |
Principal Amount (‡) | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$750,000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.530%, 10/10/2034(a)(b) | $619,547 |
920,000 | DC Commercial Mortgage Trust, Series 2023-DC, Class C, 7.141%, 9/12/2040(a)(b) | 942,927 |
574,066 | Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD SOFR + 2.364%, 7.727%, 7/15/2038(a)(b) | 563,972 |
475,000 | GS Mortgage Securities Corp. Trust, Series 2012-BWTR, Class A, 2.954%, 11/05/2034(a) | 351,932 |
749,783 | GS Mortgage Securities Corp. Trust, Series 2013-G1, Class B, 3.721%, 4/10/2031(a)(b) | 660,664 |
3,195,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.550%, 3/05/2033(a)(b) | 1,689,319 |
540,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.153%, 8/10/2044(a)(b) | 377,827 |
3,905,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.153%, 8/10/2044(a)(b) | 1,158,535 |
845,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b) | 787,312 |
1,945,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046(a)(b) | 1,633,234 |
2,006,652 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 3.784%, 12/15/2047(a)(b) | 1,777,893 |
831,867 | Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.211%, 6/15/2044(a)(b) | 748,639 |
2,515,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.211%, 6/15/2044(a)(b) | 1,781,455 |
1,060,000 | Starwood Retail Property Trust, Series 2014-STAR, Class C, 8.500%, 11/15/2027(a)(b)(c)(f) | 388,278 |
4,243,654 | Starwood Retail Property Trust, Series 2014-STAR, Class D, PRIME + 0.000%, 8.500%, 11/15/2027(a)(b)(c)(f) | 961,612 |
3,575,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, PRIME + 0.000%, 8.500%, 11/15/2027(a)(b)(c)(f) | 178,750 |
2,243,813 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 3.954%, 7/15/2046(b) | 1,950,849 |
1,690,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(b) | 1,431,044 |
440,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.118%, 11/15/2059(b) | 312,568 |
941,396 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.855%, 3/15/2044(a)(b) | 272,820 |
1,699,593 | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E, 4.979%, 6/15/2044(a)(b) | 1,163,273 |
2,245,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.329%, 12/15/2045(b) | 1,529,238 |
1,570,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 1,216,436 |
34,484,144 | ||
Pharmaceuticals — 2.1% | ||
3,475,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(a) | 2,092,795 |
Principal Amount (‡) | Description | Value (†) |
Pharmaceuticals — continued | ||
930,000 | Teva Pharmaceutical Finance Netherlands II BV, 4.375%, 5/09/2030, (EUR) | $961,808 |
1,225,000 | Teva Pharmaceutical Finance Netherlands II BV, 7.375%, 9/15/2029, (EUR) | 1,477,024 |
1,030,000 | Teva Pharmaceutical Finance Netherlands II BV, 7.875%, 9/15/2031, (EUR) | 1,286,423 |
920,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 851,828 |
7,380,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 4,995,139 |
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 191,500 |
435,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 468,826 |
305,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 332,627 |
12,657,970 | ||
Retailers — 0.3% | ||
1,950,000 | Lithia Motors, Inc., 3.875%, 6/01/2029(a) | 1,768,104 |
Sovereigns — 0.1% | ||
535,000 | Republic of Uzbekistan International Bonds, 7.850%, 10/12/2028(a) | 558,743 |
Technology — 3.6% | ||
535,000 | Broadcom, Inc., 2.450%, 2/15/2031(a) | 457,459 |
490,000 | Broadcom, Inc., 2.600%, 2/15/2033(a) | 403,686 |
1,740,000 | Broadcom, Inc., 3.137%, 11/15/2035(a) | 1,428,512 |
880,000 | Broadcom, Inc., 3.419%, 4/15/2033(a) | 772,910 |
1,400,000 | Broadcom, Inc., 3.469%, 4/15/2034(a) | 1,218,007 |
2,865,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 2,736,592 |
430,000 | Broadcom, Inc., 4.150%, 4/15/2032(a) | 405,350 |
20,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 18,288 |
1,010,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(a) | 420,412 |
1,910,000 | CommScope, Inc., 4.750%, 9/01/2029(a) | 1,282,385 |
1,450,000 | CommScope, Inc., 7.125%, 7/01/2028(a) | 688,750 |
330,000 | Everi Holdings, Inc., 5.000%, 7/15/2029(a) | 299,551 |
395,000 | Global Payments, Inc., 2.900%, 11/15/2031 | 337,879 |
225,000 | Global Payments, Inc., 5.400%, 8/15/2032 | 227,193 |
10,000 | Leidos, Inc., 5.750%, 3/15/2033 | 10,428 |
340,000 | Micron Technology, Inc., 5.875%, 2/09/2033 | 353,391 |
1,595,000 | Micron Technology, Inc., 5.875%, 9/15/2033 | 1,658,931 |
3,560,000 | Micron Technology, Inc., 6.750%, 11/01/2029 | 3,846,886 |
10,000 | Open Text Corp., 6.900%, 12/01/2027(a) | 10,397 |
655,000 | S&P Global, Inc., 5.250%, 9/15/2033(a) | 685,272 |
1,980,000 | Trimble, Inc., 6.100%, 3/15/2033 | 2,118,998 |
1,735,000 | VMware LLC, 2.200%, 8/15/2031 | 1,437,642 |
1,240,000 | Western Digital Corp., 2.850%, 2/01/2029 | 1,067,486 |
21,886,405 | ||
Transportation Services — 0.3% | ||
2,075,000 | Rand Parent LLC, 8.500%, 2/15/2030(a) | 1,984,634 |
Treasuries — 8.2% | ||
25,364(i ) | Brazil Notas do Tesouro Nacional, Series NTNF, 10.000%, 1/01/2029, (BRL) | 5,208,934 |
26,839,000,000 | Indonesia Treasury Bonds, Series 101, 6.875%, 4/15/2029, (IDR) | 1,766,878 |
29,901,000,000 | Indonesia Treasury Bonds, Series FR95, 6.375%, 8/15/2028, (IDR) | 1,935,360 |
657,616(j ) | Mexico Bonos, Series M, 7.500%, 5/26/2033, (MXN) | 3,507,272 |
Principal Amount (‡) | Description | Value (†) |
Treasuries — continued | ||
338,660,000 | Republic of South Africa Government Bonds, Series 2037, 8.500%, 1/31/2037, (ZAR) | $14,472,080 |
19,705,000 | U.S. Treasury Notes, 4.500%, 11/30/2024(k) | 19,632,646 |
121,270,000 | Uruguay Government International Bonds, 8.250%, 5/21/2031, (UYU) | 2,880,209 |
49,403,379 | ||
Wireless — 0.1% | ||
10,000 | American Tower Corp., 5.900%, 11/15/2033 | 10,587 |
530,000 | IHS Holding Ltd., 5.625%, 11/29/2026(a) | 459,902 |
470,489 | ||
Total Non-Convertible Bonds (Identified Cost $548,593,378) | 461,992,960 | |
Convertible Bonds — 4.3% | ||
Airlines — 0.5% | ||
2,880,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 2,910,240 |
Cable Satellite — 0.8% | ||
520,000 | DISH Network Corp., 2.375%, 3/15/2024 | 514,800 |
8,125,000 | DISH Network Corp., 3.375%, 8/15/2026 | 4,306,250 |
615,000 | DISH Network Corp., Zero Coupon, 7.761%–33.747%, 12/15/2025(g) | 381,300 |
5,202,350 | ||
Consumer Cyclical Services — 0.3% | ||
1,775,000 | Uber Technologies, Inc., Zero Coupon, 0.000%–5.582%, 12/15/2025(g) | 1,804,924 |
Financial Other — 0.0% | ||
470,278 | Sunac China Holdings Ltd., 7.800% PIK or 7.800% Cash, 9/30/2032(a)(h) | 35,271 |
Gaming — 0.1% | ||
340,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | 440,300 |
Healthcare — 0.7% | ||
1,650,000 | Envista Holdings Corp., 1.750%, 8/15/2028(a) | 1,501,500 |
3,360,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 2,761,584 |
4,263,084 | ||
Leisure — 0.2% | ||
1,105,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 1,015,915 |
Media Entertainment — 0.1% | ||
955,000 | Spotify USA, Inc., Zero Coupon, 5.189%–5.777%, 3/15/2026(g) | 840,400 |
Pharmaceuticals — 1.0% | ||
1,290,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 1,271,424 |
3,745,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 3,845,740 |
570,000 | Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027(l) | 399,000 |
505,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 472,135 |
5,988,299 | ||
Retailers — 0.2% | ||
390,000 | Etsy, Inc., 0.125%, 9/01/2027 | 331,734 |
1,200,000 | Etsy, Inc., 0.250%, 6/15/2028 | 960,720 |
1,292,454 |
Principal Amount (‡) | Description | Value (†) |
Technology — 0.4% | ||
$725,000 | Splunk, Inc., 1.125%, 6/15/2027 | $702,163 |
1,830,000 | Unity Software, Inc., Zero Coupon, 7.084%–8.213%, 11/15/2026(g) | 1,520,730 |
2,222,893 | ||
Total Convertible Bonds (Identified Cost $32,597,520) | 26,016,130 | |
Total Bonds and Notes (Identified Cost $581,190,898) | 488,009,090 | |
Collateralized Loan Obligations — 9.1% | ||
1,325,000 | AIMCO CLO 12 Ltd., Series 2020-12A, Class AR, 3 mo. USD SOFR + 1.170%, 6.573%, 1/17/2032(a)(b) | 1,323,602 |
480,000 | Apidos CLO XX Ltd., Series 2015-20A, Class BRR, 3 mo. USD SOFR + 2.212%, 7.606%, 7/16/2031(a)(b) | 477,488 |
3,175,000 | Apidos CLO XXIII Ltd., Series 2015-23A, Class CR, 3 mo. USD SOFR + 2.262%, 7.656%, 4/15/2033(a)(b) | 3,156,496 |
500,000 | ARES LIX CLO Ltd., Series 2021-59A, Class E, 3 mo. USD SOFR + 6.512%, 11.890%, 4/25/2034(a)(b) | 493,249 |
850,000 | Barings CLO Ltd., Series 2019-4A, Class C, 3 mo. USD SOFR + 3.062%, 8.456%, 1/15/2033(a)(b) | 849,981 |
445,000 | Battalion CLO XVI Ltd., Series 2019-16A, Class DR, 3 mo. USD SOFR + 3.512%, 8.927%, 12/19/2032(a)(b) | 434,393 |
915,000 | Bristol Park CLO Ltd., Series 2016-1A, Class CR, 3 mo. USD SOFR + 2.212%, 7.606%, 4/15/2029(a)(b) | 911,094 |
455,000 | Burnham Park CLO Ltd., Series 2016-1A, Class CR, 3 mo. USD SOFR + 2.412%, 7.827%, 10/20/2029(a)(b) | 455,017 |
400,000 | Carbone CLO Ltd., Series 2017-1A, Class B, 3 mo. USD SOFR + 2.062%, 7.477%, 1/20/2031(a)(b) | 396,042 |
980,000 | Carlyle U.S. CLO Ltd., Series 2016-4A, Class A2R, 3 mo. USD SOFR + 1.712%, 7.127%, 10/20/2027(a)(b) | 979,263 |
970,000 | CarVal CLO IV Ltd., Series 2021-1A, Class D, 3 mo. USD SOFR + 3.512%, 8.927%, 7/20/2034(a)(b) | 957,148 |
730,000 | CIFC Funding Ltd., Series 2013-2A, Class A3LR, 3 mo. USD SOFR + 2.212%, 7.607%, 10/18/2030(a)(b) | 724,553 |
265,000 | CIFC Funding Ltd., Series 2014-2RA, Class A3, 3 mo. USD SOFR + 2.162%, 7.560%, 4/24/2030(a)(b) | 262,320 |
395,000 | Clover CLO LLC, Series 2021-2A, Class A, 3 mo. USD SOFR + 1.432%, 6.847%, 7/20/2034(a)(b) | 394,995 |
875,000 | Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER, 3 mo. USD SOFR + 6.112%, 11.506%, 10/15/2030(a)(b) | 806,539 |
250,000 | Dryden 64 CLO Ltd., Series 2018-64A, Class C, 3 mo. USD SOFR + 2.012%, 7.407%, 4/18/2031(a)(b) | 243,710 |
300,000 | Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR, 3 mo. USD SOFR + 2.112%, 7.506%, 4/15/2029(a)(b) | 297,358 |
Principal Amount (‡) | Description | Value (†) |
$1,405,000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class E, 3 mo. USD SOFR + 6.112%, 11.483%, 11/22/2031(a)(b) | $1,349,833 |
320,000 | GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class C, 3 mo. USD SOFR + 2.162%, 7.577%, 4/20/2030(a)(b) | 318,414 |
435,000 | Golub Capital Partners CLO 41B-R Ltd., Series 2019-41A, Class AR, 3 mo. USD SOFR + 1.582%, 6.997%, 1/20/2034(a)(b) | 434,993 |
1,550,000 | Hayfin U.S. XII Ltd., Series 2020-12A, Class D, 3 mo. USD SOFR + 4.422%, 9.837%, 1/20/2034(a)(b) | 1,543,529 |
310,000 | LCM 30 Ltd., Series 30A, Class DR, 3 mo. USD SOFR + 3.262%, 8.677%, 4/20/2031(a)(b) | 297,222 |
475,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class C, 3 mo. USD SOFR + 2.412%, 7.824%, 1/23/2031(a)(b) | 474,997 |
3,300,000 | Neuberger Berman CLO XIV Ltd., Series 2013-14A, Class CR2, 3 mo. USD SOFR + 2.162%, 7.552%, 1/28/2030(a)(b) | 3,271,561 |
575,000 | Neuberger Berman Loan Advisers CLO 45 Ltd., Series 2021-45A, Class A, 3 mo. USD SOFR + 1.392%, 6.786%, 10/14/2035(a)(b) | 574,974 |
2,100,000 | Oaktree CLO Ltd., Series 2019-4A, Class E, 3 mo. USD SOFR + 7.492%, 12.907%, 10/20/2032(a)(b) | 2,099,851 |
495,000 | Octagon Investment Partners 39 Ltd., Series 2018-3A, Class E, 3 mo. USD SOFR + 6.012%, 11.427%, 10/20/2030(a)(b) | 464,455 |
920,000 | Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, 3 mo. USD SOFR + 2.162%, 7.574%, 1/22/2030(a)(b) | 908,991 |
445,000 | OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3 mo. USD SOFR + 6.622%, 12.034%, 4/21/2034(a)(b) | 444,927 |
1,900,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3 mo. USD SOFR + 6.512%, 11.927%, 7/02/2035(a)(b) | 1,899,821 |
5,105,000 | OHA Credit Funding 4 Ltd., Series 2019-4A, Class ER, 3 mo. USD SOFR + 6.662%, 12.074%, 10/22/2036(a)(b) | 5,088,223 |
1,745,000 | OHA Credit Funding 5 Ltd., Series 2020-5A, Class C, 3 mo. USD SOFR + 2.262%, 7.657%, 4/18/2033(a)(b) | 1,734,574 |
1,095,000 | OHA Credit Partners XVI, Series 2021-16A, Class A, 3 mo. USD SOFR + 1.412%, 6.807%, 10/18/2034(a)(b) | 1,095,496 |
1,570,000 | OHA Loan Funding Ltd., Series 2016-1A, Class CR, 3 mo. USD SOFR + 2.212%, 7.627%, 1/20/2033(a)(b) | 1,561,822 |
2,050,000 | OZLM XXIII Ltd., Series 2019-23A, Class DR, 3 mo. USD SOFR + 4.012%, 9.406%, 4/15/2034(a)(b) | 2,033,545 |
300,000 | Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3 mo. USD SOFR + 2.212%, 7.627%, 7/20/2030(a)(b) | 298,988 |
2,610,000 | Parallel Ltd., Series 2017-1A, Class CR, 3 mo. USD SOFR + 2.262%, 7.677%, 7/20/2029(a)(b) | 2,578,821 |
1,190,000 | Point Au Roche Park CLO Ltd., Series 2021-1A, Class D, 3 mo. USD SOFR + 3.062%, 8.477%, 7/20/2034(a)(b) | 1,163,647 |
2,110,000 | Post CLO Ltd., Series 2023-1A, Class A, 3 mo. USD SOFR + 1.950%, 7.366%, 4/20/2036(a)(b) | 2,110,386 |
Principal Amount (‡) | Description | Value (†) |
$2,565,000 | Rockford Tower CLO Ltd., Series 2017-2A, Class CR, 3 mo. USD SOFR + 2.162%, 7.556%, 10/15/2029(a)(b) | $2,553,452 |
1,874,063 | Rockford Tower CLO Ltd., Series 2018-1A, Class A, 3 mo. USD SOFR + 1.362%, 6.729%, 5/20/2031(a)(b) | 1,874,126 |
1,030,000 | Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, 3 mo. USD SOFR + 1.422%, 6.824%, 4/17/2034(a)(b) | 1,029,966 |
920,000 | TCW CLO Ltd., Series 2018-1A, Class D, 3 mo. USD SOFR + 3.172%, 8.550%, 4/25/2031(a)(b) | 902,199 |
1,030,000 | TICP CLO VII Ltd., Series 2017-7A, Class CR, 3 mo. USD SOFR + 2.412%, 7.806%, 4/15/2033(a)(b) | 1,023,592 |
610,000 | TICP CLO XV Ltd., Series 2020-15A, Class C, 3 mo. USD SOFR + 2.412%, 7.827%, 4/20/2033(a)(b) | 603,059 |
895,000 | TRESTLES CLO II Ltd., Series 2018-2A, Class D, 3 mo. USD SOFR + 6.012%, 11.390%, 7/25/2031(a)(b) | 846,699 |
895,000 | Verde CLO Ltd., Series 2019-1A, Class AR, 3 mo. USD SOFR + 1.362%, 6.756%, 4/15/2032(a)(b) | 894,120 |
Total Collateralized Loan Obligations (Identified Cost $54,288,137) | 54,639,531 | |
Senior Loans — 3.4% | ||
Building Materials — 0.1% | ||
640,000 | Summit Materials LLC, 2023 Incremental Term Loan B, 11/30/2028(m) | 642,003 |
Cable Satellite — 0.3% | ||
1,930,000 | Ziggo BV, 2019 EUR Term Loan H, 6 mo. EURIBOR + 3.000%, 6.928%, 1/31/2029, (EUR)(b)(n) | 2,070,711 |
Consumer Cyclical Services — 0.3% | ||
1,619,314 | Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 2.750%, 8.135%, 3/03/2030(b)(n) | 1,623,200 |
Healthcare — 0.5% | ||
1,055,355 | Bausch & Lomb Corp., 2023 Incremental Term Loan, 1 mo. USD SOFR + 4.000%, 9.356%, 9/29/2028(b)(n) | 1,051,397 |
1,800,000 | Star Parent, Inc., Term Loan B, 3 mo. USD SOFR + 4.000%, 9.348%, 9/27/2030(b)(n) | 1,776,744 |
2,828,141 | ||
Leisure — 0.5% | ||
1,938,459 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.720%, 10/18/2028(b)(n) | 1,939,273 |
995,302 | Carnival Corp., 2023 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.357%, 8/08/2027(b)(n) | 996,128 |
2,935,401 | ||
Media Entertainment — 0.7% | ||
2,009,900 | MH Sub I LLC, 2023 Term Loan, 1 mo. USD SOFR + 4.250%, 9.606%, 5/03/2028(b)(n) | 1,972,777 |
2,193,934 | Playtika Holding Corp., 2021 Term Loan, 1 mo. USD SOFR + 2.750%, 8.220%, 3/13/2028(b)(n) | 2,189,371 |
4,162,148 |
Principal Amount (‡) | Description | Value (†) |
Property & Casualty Insurance — 0.1% | ||
$242,550 | AmWINS Group, Inc., 2023 Incremental Term Loan B, 1 mo. USD SOFR + 2.750%, 8.220%, 2/19/2028(b)(n) | $242,967 |
558,600 | HUB International Ltd., 2023 Term Loan B, 3 mo. USD SOFR + 4.250%, 9.662%, 6/20/2030(b)(n) | 560,706 |
803,673 | ||
Restaurants — 0.1% | ||
990,000 | 1011778 B.C. Unlimited Liability Co., 2023 Term Loan B5, 1 mo. USD SOFR + 2.250%, 7.606%, 9/20/2030(b)(n) | 989,644 |
Technology — 0.7% | ||
3,080,000 | GTCR W Merger Sub LLC, USD Term Loan B, 9/20/2030(m) | 3,091,550 |
944,853 | Open Text Corp., 2023 Term Loan B, 1 mo. USD SOFR + 2.750%, 8.206%, 1/31/2030(b)(n) | 946,393 |
4,037,943 | ||
Transportation Services — 0.1% | ||
550,837 | Rand Parent LLC, 2023 Term Loan B, 3 mo. USD SOFR + 4.250%, 9.598%, 3/17/2030(b)(n) | 547,946 |
Total Senior Loans (Identified Cost $20,634,064) | 20,640,810 |
Shares | ||
Common Stocks— 2.1% | ||
Aerospace & Defense — 0.1% | ||
657 | Lockheed Martin Corp. | 297,779 |
Air Freight & Logistics — 0.1% | ||
1,402 | United Parcel Service, Inc., Class B | 220,437 |
Banks — 0.0% | ||
1,038 | JPMorgan Chase & Co. | 176,564 |
Beverages — 0.1% | ||
4,787 | Coca-Cola Co. | 282,098 |
Biotechnology — 0.2% | ||
8,126 | AbbVie, Inc. | 1,259,286 |
Capital Markets — 0.0% | ||
99 | BlackRock, Inc. | 80,368 |
813 | Morgan Stanley | 75,813 |
156,181 | ||
Chemicals — 0.0% | ||
262 | Linde PLC | 107,606 |
Communications Equipment — 0.0% | ||
1,377 | Cisco Systems, Inc. | 69,566 |
Construction Materials — 0.4% | ||
292,327 | Cemex SAB de CV, ADR(f) | 2,265,534 |
Consumer Staples Distribution & Retail — 0.1% | ||
340 | Costco Wholesale Corp. | 224,427 |
1,071 | Walmart, Inc. | 168,843 |
393,270 | ||
Containers & Packaging — 0.0% | ||
521 | Packaging Corp. of America | 84,876 |
Electric Utilities — 0.0% | ||
1,281 | Duke Energy Corp. | 124,308 |
Electrical Equipment — 0.0% | ||
998 | Emerson Electric Co. | 97,135 |
Shares | Description | Value (†) |
Financial Services — 0.0% | ||
258 | Mastercard, Inc., Class A | $110,040 |
Ground Transportation — 0.0% | ||
673 | Union Pacific Corp. | 165,302 |
Health Care Equipment & Supplies — 0.0% | ||
1,868 | Abbott Laboratories | 205,611 |
Health Care Providers & Services — 0.1% | ||
566 | Elevance Health, Inc. | 266,903 |
379 | UnitedHealth Group, Inc. | 199,532 |
466,435 | ||
Hotels, Restaurants & Leisure — 0.0% | ||
2,089 | Starbucks Corp. | 200,565 |
Household Products — 0.0% | ||
1,433 | Procter & Gamble Co. | 209,992 |
IT Services — 0.0% | ||
118 | Accenture PLC, Class A | 41,407 |
Life Sciences Tools & Services — 0.0% | ||
233 | Thermo Fisher Scientific, Inc. | 123,674 |
Machinery — 0.0% | ||
434 | Deere & Co. | 173,544 |
Media — 0.2% | ||
210,165 | Altice USA, Inc., Class A(f) | 683,036 |
4,336 | Comcast Corp., Class A | 190,134 |
873,170 | ||
Metals & Mining — 0.0% | ||
3,967 | Newmont Corp. | 164,194 |
Oil, Gas & Consumable Fuels — 0.4% | ||
15,635 | Canadian Natural Resources Ltd. | 1,024,405 |
5,834 | Diamondback Energy, Inc. | 904,737 |
853 | Pioneer Natural Resources Co. | 191,822 |
4,055 | Williams Cos., Inc. | 141,236 |
2,262,200 | ||
Pharmaceuticals — 0.1% | ||
3,389 | Bristol-Myers Squibb Co. | 173,889 |
1,143 | Johnson & Johnson | 179,154 |
1,237 | Merck & Co., Inc. | 134,858 |
487,901 | ||
Semiconductors & Semiconductor Equipment — 0.1% | ||
250 | Broadcom, Inc. | 279,062 |
2,456 | Microchip Technology, Inc. | 221,482 |
1,795 | QUALCOMM, Inc. | 259,611 |
760,155 | ||
Software — 0.1% | ||
695 | Microsoft Corp. | 261,348 |
Specialized REITs — 0.0% | ||
891 | American Tower Corp. | 192,349 |
Specialty Retail — 0.0% | ||
560 | Home Depot, Inc. | 194,068 |
Technology Hardware, Storage & Peripherals — 0.1% | ||
1,254 | Apple, Inc. | 241,433 |
Shares | Description | Value (†) |
Trading Companies & Distributors — 0.0% | ||
1,782 | Fastenal Co. | $115,420 |
Total Common Stocks (Identified Cost $13,812,430) | 12,783,448 | |
Preferred Stocks — 0.3% | ||
Convertible Preferred Stocks — 0.3% | ||
Midstream — 0.1% | ||
2,329 | El Paso Energy Capital Trust I, 4.750% | 109,696 |
Technology — 0.2% | ||
34,012 | Clarivate PLC, Series A, 5.250% | 1,302,659 |
Total Convertible Preferred Stocks (Identified Cost $2,380,317) | 1,412,355 | |
Total Preferred Stocks (Identified Cost $2,380,317) | 1,412,355 | |
Other Investments — 0.0% | ||
Aircraft ABS — 0.0% | ||
900 | ECAF I Blocker, Ltd.(c)(o) (Identified Cost $9,000,000) | — |
Total Purchased Options — 0.0% (Identified Cost $132,457) (see details below) | 86,774 |
Principal Amount (‡) | Description | Value (†) |
Short-Term Investments — 1.5% | ||
$9,120,320 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $9,122,854 on 1/02/2024 collateralized by $9,137,300 U.S. Treasury Note, 4.125% due 9/30/2027 valued at $9,302,797 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $9,120,320) | $9,120,320 |
Total Investments — 97.4% (Identified Cost $690,558,623) | 586,692,328 | |
Other assets less liabilities — 2.6% | 15,734,876 | |
Net Assets — 100.0% | $602,427,204 |
Description | Expiration Date | Exercise Price | Contracts | Notional Amount | Cost | Value (†) |
Options on Futures — 0.0% | ||||||
CBOT 5 Year U.S. Treasury Notes, Put | 2/23/2024 | 106.75 | 383,000 | $41,660,227 | $132,457 | $86,774 |
Description | Expiration Date | Exercise Price | Shares/ Contracts (†††) | Notional Amount | Premiums (Received) | Value (†) |
Options on Futures — (0.0%) | ||||||
CBOT 5 Year U.S. Treasury Notes, Call | 2/23/2024 | 110 | (383,000 ) | $(41,660,227 ) | $(154,340 ) | $(182,524 ) |
Description | Expiration Date | Exercise Price | Shares/ Contracts (†††) | Notional Amount | Premiums (Received) | Value (†) |
Options on Securities — (0.0%) | ||||||
Abbott Laboratories, Call | 2/16/2024 | 115 | (1,400 ) | $(154,098 ) | $(1,634 ) | $(1,708 ) |
AbbVie, Inc., Call | 2/16/2024 | 165 | (800 ) | (123,976 ) | (913 ) | (832 ) |
American Tower Corp., Call | 2/16/2024 | 230 | (700 ) | (151,116 ) | (1,797 ) | (1,732 ) |
Apple, Inc., Call | 2/16/2024 | 205 | (1,000 ) | (192,530 ) | (2,147 ) | (1,640 ) |
Bristol-Myers Squibb Co., Call | 2/16/2024 | 55 | (1,600 ) | (82,096 ) | (1,068 ) | (960 ) |
Broadcom, Inc., Call | 2/16/2024 | 1,240 | (100 ) | (111,625 ) | (1,419 ) | (875 ) |
Cisco Systems, Inc., Call | 2/16/2024 | 52.5 | (500 ) | (25,260 ) | (369 ) | (375 ) |
Coca-Cola Co., Call | 2/16/2024 | 60 | (2,300 ) | (135,539 ) | (1,903 ) | (2,196 ) |
Comcast Corp., Call | 2/16/2024 | 47.5 | (3,000 ) | (131,550 ) | (1,402 ) | (1,200 ) |
Costco Wholesale Corp., Call | 2/16/2024 | 700 | (200 ) | (132,016 ) | (1,843 ) | (870 ) |
Deere & Co., Call | 2/16/2024 | 430 | (200 ) | (79,974 ) | (1,343 ) | (1,115 ) |
Duke Energy Corp., Call | 2/16/2024 | 100 | (500 ) | (48,520 ) | (524 ) | (588 ) |
Elevance Health, Inc., Call | 2/16/2024 | 500 | (200 ) | (94,312 ) | (1,273 ) | (1,320 ) |
Emerson Electric Co., Call | 2/16/2024 | 100 | (400 ) | (38,932 ) | (847 ) | (700 ) |
Home Depot, Inc., Call | 2/16/2024 | 360 | (300 ) | (103,965 ) | (1,760 ) | (1,223 ) |
Johnson & Johnson, Call | 2/16/2024 | 160 | (400 ) | (62,696 ) | (1,031 ) | (1,064 ) |
JPMorgan Chase & Co., Call | 2/16/2024 | 175 | (600 ) | (102,060 ) | (1,330 ) | (1,488 ) |
Description | Expiration Date | Exercise Price | Shares/ Contracts (†††) | Notional Amount | Premiums (Received) | Value (†) |
Linde PLC, Call | 2/16/2024 | 430 | (200 ) | $(82,142 ) | $(934 ) | $(820 ) |
Mastercard, Inc., Call | 2/16/2024 | 445 | (200 ) | (85,302 ) | (974 ) | (1,000 ) |
Merck & Co., Inc., Call | 2/16/2024 | 110 | (400 ) | (43,608 ) | (999 ) | (1,198 ) |
Microchip Technology, Inc., Call | 2/16/2024 | 97.5 | (1,400 ) | (126,252 ) | (3,104 ) | (2,415 ) |
Microsoft Corp., Call | 2/16/2024 | 405 | (400 ) | (150,416 ) | (1,787 ) | (1,710 ) |
Morgan Stanley, Call | 2/16/2024 | 97.5 | (600 ) | (55,950 ) | (904 ) | (855 ) |
Newmont Corp., Call | 2/16/2024 | 45 | (3,100 ) | (128,309 ) | (2,937 ) | (2,247 ) |
Packaging Corp. of America, Call | 2/16/2024 | 170 | (200 ) | (32,582 ) | (793 ) | (670 ) |
QUALCOMM, Inc., Call | 2/16/2024 | 160 | (800 ) | (115,704 ) | (1,614 ) | (1,296 ) |
Thermo Fisher Scientific, Inc., Call | 2/16/2024 | 580 | (100 ) | (53,079 ) | (567 ) | (500 ) |
Union Pacific Corp., Call | 2/16/2024 | 260 | (400 ) | (98,248 ) | (1,147 ) | (1,020 ) |
United Parcel Service, Inc., Call | 2/16/2024 | 170 | (800 ) | (125,784 ) | (1,686 ) | (1,552 ) |
UnitedHealth Group, Inc., Call | 2/16/2024 | 550 | (100 ) | (52,647 ) | (632 ) | (745 ) |
Williams Cos., Inc., Call | 2/16/2024 | 37 | (3,200 ) | (111,456 ) | (1,399 ) | (960 ) |
$(42,080 ) | $(36,874 ) | |||||
Total | $(196,420 ) | $(219,398 ) |
(†) | See Note 2 of Notes to Financial Statements. |
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
(†††) | Options on securities are expressed as shares. Options on futures are expressed as contracts. |
(a) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, the value of Rule 144A holdings amounted to $336,144,857 or 55.8% of net assets. |
(b) | Variable rate security. Rate as of December 31, 2023 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description. |
(c) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
(d) | Perpetual bond with no specified maturity date. |
(e) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(f) | Non-income producing security. |
(g) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields. |
(h) | Payment–in–kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were received during the period. |
(i) | Amount shown represents units. One unit represents a principal amount of 1,000. |
(j) | Amount shown represents units. One unit represents a principal amount of 100. |
(k) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(l) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(m) | Position is unsettled. Contract rate was not determined at December 31, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(n) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate which may range from 0.00% to 2.50%, to which the spread is added. |
(o) | Securities subject to restriction on resale. At December 31, 2023, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |
ECAF I Blocker, Ltd. | 6/18/2015 | $9,000,000 | $— | 0.0% |
ABS | Asset-Backed Securities |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
EURIBOR | Euro Interbank Offered Rate |
JIBAR | Johannesburg Interbank Agreed Rate |
MTN | Medium Term Note |
PIK | Payment-in-Kind |
REITs | Real Estate Investment Trusts |
REMICS | Real Estate Mortgage Investment Conduits |
SAFEX | South African Futures Exchange |
SLM | Sallie Mae |
SOFR | Secured Overnight Financing Rate |
ARS | Argentine Peso |
BRL | Brazilian Real |
EUR | Euro |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Notional Value | Currency | Expiration Date | Fund Pays1 | Fund Receives1 | Market Value | Unrealized Appreciation (Depreciation)2 |
330,000,000 | ZAR | 5/07/2030 | 7.58% | 3 mo. SAFEX - JIBAR | $732,523 | $731,048 |
Buy Protection |
Reference Obligation | (Pay)/ Receive Fixed Rate | Expiration Date | Notional Value(‡) | Unamortized Up Front Premium Paid/(Received) | Market Value | Unrealized Appreciation (Depreciation) |
CDX.NA.HY* .S41 | (5.00 %) | 12/20/2028 | 37,426,950 | $(410,780 ) | $(2,245,380 ) | $(1,834,600 ) |
CDX.NA.HY* .S41 | (5.00 %) | 12/20/2028 | 23,284,800 | (255,563 ) | (1,396,940 ) | (1,141,377 ) |
Total | $(3,642,320 ) | $(2,975,977 ) |
(‡) | Notional value stated in U.S. dollars unless otherwise noted. |
1 | Payments are made quarterly. |
2 | Differences between unrealized appreciation (depreciation) and market value, if any, are due to interest booked as part of the initial trades. |
* | CDX.NA.HY is an index composed of North American high yield credit default swaps. |
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | |
Bank of America N.A. | 1/31/2024 | EUR | S | 800,000 | $849,720 | $884,128 | $(34,408 ) |
Bank of America N.A. | 3/05/2024 | EUR | S | 2,255,000 | 2,465,188 | 2,495,502 | (30,314 ) |
Barclays Bank PLC | 1/31/2024 | EUR | S | 1,955,000 | 2,077,620 | 2,160,588 | (82,968 ) |
BNP Paribas SA | 2/16/2024 | ZAR | S | 225,060,000 | 12,119,743 | 12,257,596 | (137,853 ) |
Goldman Sachs International | 2/20/2024 | EUR | B | 1,795,000 | 1,970,641 | 1,985,334 | 14,693 |
Goldman Sachs International | 2/20/2024 | EUR | S | 1,795,000 | 1,958,704 | 1,985,334 | (26,630 ) |
Total | $(297,480 ) |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 2 Year U.S. Treasury Notes Futures | 3/28/2024 | 1,846 | $376,895,080 | $380,117,358 | $3,222,278 |
CBOT 5 Year U.S. Treasury Notes Futures | 3/28/2024 | 547 | 58,380,464 | 59,499,071 | 1,118,607 |
Total | $4,340,885 |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT U.S. Long Bond Futures | 3/19/2024 | 96 | $11,221,554 | $11,994,000 | $(772,446 ) |
CME Ultra Long Term U.S. Treasury Bond Futures | 3/19/2024 | 61 | 7,471,792 | 8,149,219 | (677,427 ) |
Ultra 10-Year U.S. Treasury Notes Futures | 3/19/2024 | 762 | 86,997,915 | 89,927,906 | (2,929,991 ) |
Total | $(4,379,864 ) |
Treasuries | 8.2 % |
Banking | 7.2 |
ABS Home Equity | 6.1 |
Cable Satellite | 6.1 |
Non-Agency Commercial Mortgage-Backed Securities | 5.7 |
Technology | 4.9 |
ABS Car Loan | 4.7 |
ABS Other | 4.2 |
Finance Companies | 4.1 |
Metals & Mining | 3.9 |
Pharmaceuticals | 3.2 |
Independent Energy | 2.7 |
Media Entertainment | 2.6 |
Leisure | 2.3 |
ABS Student Loan | 2.2 |
Consumer Cyclical Services | 2.1 |
Other Investments, less than 2% each | 16.6 |
Collateralized Loan Obligations | 9.1 |
Short-Term Investments | 1.5 |
Total Investments | 97.4 |
Other assets less liabilities (Including open written options, swap agreements, forward foreign currency and futures contracts) | 2.6 |
Net Assets | 100.0 % |
Principal Amount (‡) | Description | Value (†) |
Bonds and Notes — 87.3% of Net Assets | ||
Non-Convertible Bonds — 78.2% | ||
ABS Car Loan — 1.3% | ||
$635,000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029(a) | $642,887 |
7,500,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class D, 3.040%, 9/22/2025(a) | 7,265,878 |
5,000,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026(a) | 4,669,198 |
940,000 | First Investors Auto Owner Trust, Series 2022-2A, Class D, 8.710%, 10/16/2028(a) | 989,922 |
7,303,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026(a) | 6,920,012 |
1,799,000 | Hertz Vehicle Financing III LLC, Series 2022-3A, Class D, 6.310%, 3/25/2025(a) | 1,791,160 |
1,295,000 | Hertz Vehicle Financing III LLC, Series 2023-1A, Class D2, 9.130%, 6/25/2027(a) | 1,301,264 |
1,960,000 | Hertz Vehicle Financing III LLC, Series 2023-2A, Class D, 9.400%, 9/25/2029(a) | 1,991,839 |
4,155,000 | Hertz Vehicle Financing LLC, Series 2022-2A, Class D, 5.160%, 6/26/2028(a) | 3,727,532 |
4,105,000 | Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026(a) | 3,959,272 |
2,810,000 | Prestige Auto Receivables Trust, Series 2022-1A, Class D, 8.080%, 8/15/2028(a) | 2,879,584 |
1,540,000 | Westlake Automobile Receivables Trust, Series 2023-1A, Class D, 6.790%, 11/15/2028(a) | 1,557,910 |
37,696,458 | ||
ABS Home Equity — 2.9% | ||
5,139,247 | 510 Asset-Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061(a)(b) | 4,877,667 |
5,350,000 | CoreVest American Finance Ltd., Series 2021-1, Class D, 3.247%, 4/15/2053(a) | 4,276,030 |
1,510,000 | CoreVest American Finance Ltd., Series 2021-3, Class D, 3.469%, 10/15/2054(a) | 1,250,196 |
3,245,000 | CoreVest American Finance Ltd., Series 2023-RTL1, Class A1, 7.553%, 12/28/2030(a)(b) | 3,251,474 |
2,510,000 | Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2, 3.125%, 10/25/2060(a) | 1,845,640 |
7,660,000 | FirstKey Homes Trust, Series 2020-SFR1, Class F2, 4.284%, 8/17/2037(a) | 7,269,021 |
1,965,000 | FirstKey Homes Trust, Series 2021-SFR1, Class F1, 3.238%, 8/17/2038(a) | 1,742,576 |
1,943,058 | GITSIT Mortgage Loan Trust, Series 2023-NPL1, Class A1, 8.353%, 5/25/2053(a)(b) | 1,962,531 |
8,313,746 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026(a) | 7,356,833 |
Principal Amount (‡) | Description | Value (†) |
ABS Home Equity — continued | ||
$4,156,873 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026(a) | $3,674,311 |
3,623,000 | Progress Residential Trust, Series 2021-SFR5, Class F, 3.158%, 7/17/2038(a) | 3,202,881 |
5,465,000 | Progress Residential Trust, Series 2021-SFR6, Class F, 3.422%, 7/17/2038(a) | 4,849,243 |
2,513,000 | PRPM LLC, Series 2021-4, Class A2, 3.474%, 4/25/2026(a)(b) | 2,446,287 |
6,104,195 | PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026(a)(b) | 5,945,786 |
4,379,630 | PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026(a)(b) | 4,243,522 |
5,889,346 | PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027(a)(b) | 5,896,723 |
799,199 | Redwood Funding Trust, Series 2023-1, Class A, 7.500%, 7/25/2059(a)(b) | 789,603 |
4,488,101 | Toorak Mortgage Corp. Ltd., Series 2021-1, Class A1, 3.240%, 6/25/2024(a)(b) | 4,395,928 |
1,120,000 | Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057(a)(b) | 944,046 |
795,000 | Towd Point Mortgage Trust, Series 2019-4, Class M1, 3.500%, 10/25/2059(a)(b) | 676,485 |
3,970,000 | VCAT LLC, Series 2021-NPL5, Class A2, 3.844%, 8/25/2051(a)(b) | 3,601,831 |
7,865,000 | VCAT LLC, Series 2021-NPL6, Class A2, 3.967%, 9/25/2051(a)(b) | 7,325,878 |
81,824,492 | ||
ABS Other — 1.8% | ||
2,671,035 | AASET Trust, Series 2021-2A, Class B, 3.538%, 1/15/2047(a) | 2,154,296 |
1,640,065 | Castlelake Aircraft Securitization Trust, Series 2018-1, Class B, 5.300%, 6/15/2043(a) | 1,259,772 |
346,111 | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class C, 2.090%, 8/27/2035(a) | 315,797 |
550,000 | Foundation Finance Trust, Series 2023-2A, Class D, 9.100%, 6/15/2049(a) | 569,200 |
10,435,000 | Frontier Issuer LLC, Series 2023-1, Class A2, 6.600%, 8/20/2053(a) | 10,393,051 |
48,891 | HIN Timeshare Trust, Series 2020-A, Class C, 3.420%, 10/09/2039(a) | 46,108 |
2,487,106 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B, 3.432%, 10/15/2046(a) | 2,141,420 |
7,102,656 | MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046(a) | 6,335,861 |
12,589,844 | Navigator Aircraft ABS Ltd., Series 2021-1, Class B, 3.571%, 11/15/2046(a)(b) | 10,425,045 |
1,930,000 | SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032(a) | 1,926,408 |
742,171 | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042(a) | 638,456 |
9,365,070 | Slam Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046(a) | 8,219,984 |
8,481,310 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 5/15/2046(a) | 7,119,441 |
51,544,839 |
Principal Amount (‡) | Description | Value (†) |
ABS Whole Business — 0.4% | ||
$5,925,000 | Applebee's Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053(a) | $6,074,606 |
1,500,000 | FOCUS Brands Funding, Series 2023-2, Class A2, 8.241%, 10/30/2053(a) | 1,570,980 |
2,266,875 | Hardee's Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051(a) | 1,872,158 |
753,600 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049(a) | 666,617 |
132,637 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051(a) | 122,886 |
10,307,247 | ||
Aerospace & Defense — 0.5% | ||
5,945,000 | Embraer Netherlands Finance BV, 7.000%, 7/28/2030(a) | 6,236,281 |
1,020,000 | RTX Corp., 2.375%, 3/15/2032 | 850,016 |
8,045,000 | RTX Corp., 5.150%, 2/27/2033 | 8,199,021 |
15,285,318 | ||
Airlines — 0.0% | ||
962,883 | American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 898,447 |
518,494 | American Airlines Pass-Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 487,767 |
1,386,214 | ||
Automotive — 0.7% | ||
2,845,000 | General Motors Co., 5.200%, 4/01/2045 | 2,560,384 |
1,095,000 | General Motors Co., 6.250%, 10/02/2043 | 1,117,035 |
2,765,000 | General Motors Financial Co., Inc., 3.100%, 1/12/2032 | 2,354,029 |
6,445,000 | General Motors Financial Co., Inc., 6.400%, 1/09/2033 | 6,858,142 |
540,000 | General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(c) | 478,980 |
865,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(c) | 798,819 |
2,055,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028(a) | 2,136,419 |
2,170,000 | ZF North America Capital, Inc., 7.125%, 4/14/2030(a) | 2,305,278 |
18,609,086 | ||
Banking — 5.2% | ||
1,380,000 | AIB Group PLC, (fixed rate to 9/13/2028, variable rate thereafter), 6.608%, 9/13/2029(a) | 1,453,764 |
6,000,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 6,573,000 |
8,200,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(c) | 6,150,506 |
7,500,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(c) | 5,088,431 |
15,755,000 | Bank of America Corp., (fixed rate to 9/15/2033, variable rate thereafter), 5.872%, 9/15/2034 | 16,491,864 |
11,885,000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(c) | 9,239,464 |
Principal Amount (‡) | Description | Value (†) |
Banking — continued | ||
$9,000,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | $7,715,847 |
3,970,000 | CaixaBank SA, (fixed rate to 9/13/2033, variable rate thereafter), 6.840%, 9/13/2034(a) | 4,189,978 |
8,240,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 6,764,336 |
16,322,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 13,680,456 |
1,709,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 1,593,353 |
2,035,000 | ING Groep NV, (fixed rate to 9/11/2033, variable rate thereafter), 6.114%, 9/11/2034 | 2,134,240 |
5,690,000 | Intesa Sanpaolo SpA, 7.200%, 11/28/2033(a) | 6,072,539 |
11,025,000 | Morgan Stanley, (fixed rate to 1/19/2033, variable rate thereafter), 5.948%, 1/19/2038 | 11,149,519 |
14,965,000 | NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035 | 12,450,730 |
5,875,000 | Synchrony Bank, 5.625%, 8/23/2027 | 5,778,944 |
545,000 | UBS Group AG, (fixed rate to 1/12/2028, variable rate thereafter), 3.869%, 1/12/2029(a) | 513,753 |
3,695,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(a) | 4,542,025 |
325,000 | UBS Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032(a) | 276,792 |
7,690,000 | UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028(a) | 7,977,760 |
5,370,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033(a) | 5,727,159 |
14,800,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(a) | 13,919,071 |
149,483,531 | ||
Brokerage — 0.1% | ||
3,893,000 | Jefferies Financial Group, Inc., 6.250%, 1/15/2036 | 4,091,830 |
Building Materials — 1.4% | ||
29,325,000 | Cemex SAB de CV, 3.875%, 7/11/2031(a) | 26,227,283 |
225,000 | Cemex SAB de CV, (fixed rate to 3/14/2028, variable rate thereafter), 9.125%(a)(c) | 239,625 |
10,470,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%(a)(c) | 9,929,342 |
1,265,000 | JELD-WEN, Inc., 4.875%, 12/15/2027(a) | 1,195,425 |
1,859,000 | Masco Corp., 6.500%, 8/15/2032 | 2,026,848 |
39,618,523 | ||
Cable Satellite — 6.4% | ||
34,275,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(a) | 27,852,790 |
6,555,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032(a) | 5,781,248 |
7,180,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 5,713,728 |
17,890,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 15,089,541 |
Principal Amount (‡) | Description | Value (†) |
Cable Satellite — continued | ||
$16,530,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.700%, 4/01/2051 | $10,751,602 |
920,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.850%, 4/01/2061 | 573,448 |
31,240,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 | 19,653,473 |
4,025,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 3,714,605 |
6,425,000 | CSC Holdings LLC, 3.375%, 2/15/2031(a) | 4,687,509 |
1,075,000 | CSC Holdings LLC, 4.125%, 12/01/2030(a) | 817,806 |
415,000 | CSC Holdings LLC, 4.500%, 11/15/2031(a) | 313,771 |
48,110,000 | CSC Holdings LLC, 4.625%, 12/01/2030(a) | 28,968,013 |
5,540,000 | CSC Holdings LLC, 5.000%, 11/15/2031(a) | 3,351,700 |
14,005,000 | CSC Holdings LLC, 5.375%, 2/01/2028(a) | 12,371,083 |
1,360,000 | CSC Holdings LLC, 5.750%, 1/15/2030(a) | 846,600 |
3,705,000 | Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.875%, 8/15/2027(a) | 3,481,132 |
6,470,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 3,334,573 |
22,190,000 | DISH DBS Corp., 5.250%, 12/01/2026(a) | 19,011,283 |
6,575,000 | DISH DBS Corp., 5.750%, 12/01/2028(a) | 5,244,220 |
15,865,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 11,050,131 |
182,608,256 | ||
Chemicals — 1.2% | ||
10,887,000 | Ashland, Inc., 3.375%, 9/01/2031(a) | 9,383,699 |
1,320,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030(a) | 1,024,536 |
6,735,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050(a) | 4,666,841 |
2,715,000 | Braskem Netherlands Finance BV, 8.500%, 1/12/2031(a) | 2,524,950 |
450,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 471,722 |
2,810,000 | Celanese U.S. Holdings LLC, 6.550%, 11/15/2030 | 2,970,527 |
11,235,000 | Celanese U.S. Holdings LLC, 6.700%, 11/15/2033 | 12,185,460 |
33,227,735 | ||
Construction Machinery — 0.1% | ||
1,530,000 | Ashtead Capital, Inc., 5.500%, 8/11/2032(a) | 1,511,372 |
2,140,000 | Ashtead Capital, Inc., 5.550%, 5/30/2033(a) | 2,117,427 |
3,628,799 | ||
Consumer Cyclical Services — 0.9% | ||
5,645,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029(a) | 5,112,658 |
2,145,000 | TriNet Group, Inc., 3.500%, 3/01/2029(a) | 1,918,906 |
8,665,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(a) | 8,266,120 |
10,815,000 | Uber Technologies, Inc., 6.250%, 1/15/2028(a) | 10,842,120 |
26,139,804 | ||
Consumer Products — 0.0% | ||
699,000 | Natura Cosmeticos SA, 4.125%, 5/03/2028(a) | 632,113 |
Principal Amount (‡) | Description | Value (†) |
Diversified Manufacturing — 0.1% | ||
$825,000 | Ingersoll Rand, Inc., 5.700%, 8/14/2033 | $872,851 |
1,250,000 | Nordson Corp., 5.800%, 9/15/2033 | 1,326,823 |
2,199,674 | ||
Electric — 0.7% | ||
18,352,767 | Alta Wind Holdings LLC, 7.000%, 6/30/2035(a) | 15,828,520 |
1,780,000 | Enel Generacion Chile SA, 7.875%, 2/01/2027 | 1,860,100 |
3,445,000 | Southern Co., 5.700%, 3/15/2034 | 3,622,498 |
21,311,118 | ||
Finance Companies — 7.1% | ||
12,717,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 11,610,475 |
4,030,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 3,507,429 |
2,395,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.400%, 10/29/2033 | 2,056,521 |
4,127,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.750%, 6/06/2028 | 4,223,738 |
3,555,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.150%, 9/30/2030 | 3,743,731 |
10,600,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(c) | 9,516,636 |
3,585,000 | Aircastle Ltd., Series A, (fixed rate to 6/15/2026, variable rate thereafter), 5.250%(a)(c) | 3,073,461 |
11,555,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 9,663,636 |
2,145,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026(a) | 1,988,072 |
4,150,000 | Aviation Capital Group LLC, 6.250%, 4/15/2028(a) | 4,226,277 |
8,650,000 | Aviation Capital Group LLC, 6.750%, 10/25/2028(a) | 9,029,999 |
5,575,000 | Barings BDC, Inc., 3.300%, 11/23/2026 | 5,083,303 |
7,175,000 | Blue Owl Capital Corp., 2.875%, 6/11/2028 | 6,298,178 |
14,750,000 | Blue Owl Capital Corp., 4.250%, 1/15/2026 | 14,251,569 |
7,875,000 | GATX Corp., 5.450%, 9/15/2033 | 7,923,528 |
380,000 | GATX Corp., 6.050%, 3/15/2034 | 394,623 |
6,255,000 | Hercules Capital, Inc., 3.375%, 1/20/2027 | 5,691,510 |
2,920,000 | Nationstar Mortgage Holdings, Inc., 5.000%, 2/01/2026(a) | 2,855,638 |
2,210,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030(a) | 1,998,132 |
9,605,000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028(a) | 9,235,961 |
135,000 | Navient Corp., 5.000%, 3/15/2027 | 130,336 |
950,000 | Navient Corp., 6.750%, 6/15/2026 | 965,806 |
950,000 | Navient Corp., Series A, MTN, 5.625%, 8/01/2033 | 779,333 |
2,301,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 2,129,447 |
555,000 | OneMain Finance Corp., 3.875%, 9/15/2028 | 491,039 |
10,385,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 8,887,020 |
2,025,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 1,896,207 |
4,075,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 4,151,565 |
14,740,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(a) | 13,597,650 |
13,540,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(a) | 12,254,870 |
Principal Amount (‡) | Description | Value (†) |
Finance Companies — continued | ||
$37,540,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(a) | $33,016,282 |
9,630,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(a) | 8,180,959 |
202,852,931 | ||
Financial Other — 1.1% | ||
1,650,000 | Agile Group Holdings Ltd., 5.500%, 4/21/2025 | 232,798 |
1,120,000 | Agile Group Holdings Ltd., 5.500%, 5/17/2026 | 122,920 |
1,225,000 | Agile Group Holdings Ltd., 5.750%, 1/02/2025 | 200,912 |
6,150,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 741,874 |
4,720,000 | Central China Real Estate Ltd., 7.250%, 7/16/2024(d) | 215,940 |
1,260,000 | Central China Real Estate Ltd., 7.250%, 8/13/2024(d) | 58,048 |
1,957,000 | Central China Real Estate Ltd., 7.250%, 4/28/2025(d) | 86,754 |
3,260,000 | Central China Real Estate Ltd., 7.500%, 7/14/2025(d) | 142,984 |
4,415,000 | Central China Real Estate Ltd., 7.650%, 8/27/2025(d) | 200,706 |
1,305,000 | Central China Real Estate Ltd., 7.750%, 5/24/2024(d) | 58,216 |
6,815,475 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(a)(e) | 520,975 |
8,274,825 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(a)(e) | 213,904 |
833,252 | CFLD Cayman Investment Ltd., Zero Coupon, 0.000%–28.181%, 1/31/2031(a)(f) | 5,416 |
1,035,000 | China Aoyuan Group Ltd., 6.200%, 3/24/2026(d) | 18,113 |
2,400,000 | China Aoyuan Group Ltd., 6.350%, 2/08/2024(d) | 36,000 |
1,240,000 | China Aoyuan Group Ltd., 7.950%, 2/19/2023(d) | 18,600 |
1,800,000 | China Evergrande Group, 8.250%, 3/23/2022(d) | 21,420 |
4,045,000 | China Evergrande Group, 8.750%, 6/28/2025(d) | 50,562 |
1,405,000 | China Evergrande Group, 9.500%, 4/11/2022(d) | 18,167 |
335,000 | China Evergrande Group, 9.500%, 3/29/2024(d) | 4,744 |
4,060,000 | CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026(d) | 258,825 |
24,490,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 20,450,619 |
190,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 | 188,843 |
895,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 803,910 |
375,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025 | 368,147 |
6,925,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(d) | 224,301 |
1,415,000 | Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(d) | 52,015 |
1,600,000 | Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(d) | 52,336 |
8,085,000 | Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(d) | 232,444 |
Principal Amount (‡) | Description | Value (†) |
Financial Other — continued | ||
$7,075,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(d) | $203,406 |
4,795,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(d) | 154,878 |
1,380,000 | KWG Group Holdings Ltd., 6.000%, 8/14/2026(d) | 80,385 |
3,760,000 | KWG Group Holdings Ltd., 6.300%, 2/13/2026(d) | 220,637 |
3,345,000 | Logan Group Co. Ltd., 4.250%, 7/12/2025(d) | 217,425 |
1,320,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(d) | 85,800 |
2,880,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d) | 108,000 |
400,000 | Shimao Group Holdings Ltd., 4.600%, 7/13/2030(d) | 14,556 |
1,830,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d) | 59,054 |
280,000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026(d) | 10,842 |
1,970,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d) | 78,800 |
1,486,509 | Sunac China Holdings Ltd., 6.000% PIK or 5.000% Cash, 9/30/2026(a)(g) | 181,800 |
1,486,509 | Sunac China Holdings Ltd., 6.250% PIK or 5.250% Cash, 9/30/2027(a)(g) | 157,823 |
2,973,020 | Sunac China Holdings Ltd., 6.500% PIK or 5.500% Cash, 9/30/2027(a)(g) | 277,531 |
4,459,533 | Sunac China Holdings Ltd., 6.750% PIK or 5.750% Cash, 9/30/2028(a)(g) | 353,463 |
4,459,533 | Sunac China Holdings Ltd., 7.000% PIK or 6.000% Cash, 9/30/2029(a)(g) | 331,343 |
2,094,825 | Sunac China Holdings Ltd., 7.250% PIK or 6.250% Cash, 9/30/2030(a)(g) | 133,524 |
720,000 | Times China Holdings Ltd., 5.750%, 1/14/2027(d) | 14,458 |
4,030,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(d) | 90,675 |
23,285,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d) | 1,439,479 |
1,245,000 | Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(d) | 75,547 |
9,395,000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(d) | 585,215 |
5,345,000 | Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(d) | 340,904 |
3,155,000 | Yuzhou Group Holdings Co. Ltd., 8.300%, 5/27/2025(d) | 189,300 |
4,535,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(d) | 42,674 |
365,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(d) | 3,435 |
715,000 | Zhenro Properties Group Ltd., 7.350%, 2/05/2025(d) | 5,363 |
31,056,810 | ||
Food & Beverage — 0.6% | ||
11,860,000 | Pilgrim's Pride Corp., 3.500%, 3/01/2032 | 10,026,681 |
7,245,000 | Post Holdings, Inc., 4.500%, 9/15/2031(a) | 6,492,580 |
16,519,261 | ||
Gaming — 1.3% | ||
12,960,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031(a) | 11,056,373 |
Principal Amount (‡) | Description | Value (†) |
Gaming — continued | ||
$3,845,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | $3,246,150 |
15,550,000 | Light & Wonder International, Inc., 7.000%, 5/15/2028(a) | 15,708,239 |
740,000 | Light & Wonder International, Inc., 7.250%, 11/15/2029(a) | 757,693 |
1,475,000 | Light & Wonder International, Inc., 7.500%, 9/01/2031(a) | 1,538,508 |
5,680,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026(a) | 5,497,809 |
37,804,772 | ||
Government Owned - No Guarantee — 0.5% | ||
495,000 | Antares Holdings LP, 2.750%, 1/15/2027(a) | 438,525 |
585,000 | Antares Holdings LP, 3.750%, 7/15/2027(a) | 527,080 |
6,586,000 | Petroleos Mexicanos, 6.625%, 6/15/2035 | 5,051,112 |
12,239,000 | Petroleos Mexicanos, 6.950%, 1/28/2060 | 8,060,494 |
14,077,211 | ||
Health Insurance — 0.9% | ||
825,000 | Centene Corp., 2.500%, 3/01/2031 | 687,358 |
2,645,000 | Centene Corp., 3.000%, 10/15/2030 | 2,290,685 |
5,995,000 | Centene Corp., 3.375%, 2/15/2030 | 5,378,895 |
13,575,000 | Centene Corp., 4.625%, 12/15/2029 | 13,014,725 |
880,000 | Molina Healthcare, Inc., 3.875%, 11/15/2030(a) | 791,033 |
4,280,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032(a) | 3,739,709 |
25,902,405 | ||
Healthcare — 0.7% | ||
2,800,000 | Bausch & Lomb Escrow Corp., 8.375%, 10/01/2028(a) | 2,953,832 |
17,380,000 | HCA, Inc., 5.500%, 6/01/2033 | 17,652,912 |
20,606,744 | ||
Home Construction — 0.3% | ||
8,146,000 | PulteGroup, Inc., 6.000%, 2/15/2035 | 8,553,773 |
Independent Energy — 3.9% | ||
12,155,000 | Aker BP ASA, 4.000%, 1/15/2031(a) | 11,160,702 |
1,835,000 | Civitas Resources, Inc., 8.625%, 11/01/2030(a) | 1,946,425 |
11,400,000 | Continental Resources, Inc., 2.875%, 4/01/2032(a) | 9,248,084 |
28,631,000 | Continental Resources, Inc., 5.750%, 1/15/2031(a) | 28,500,993 |
6,210,000 | Energian Israel Finance Ltd., 5.375%, 3/30/2028(a) | 5,450,827 |
8,120,000 | Energian Israel Finance Ltd., 5.875%, 3/30/2031(a) | 6,842,708 |
7,740,000 | EQT Corp., 3.625%, 5/15/2031(a) | 6,912,362 |
1,535,000 | EQT Corp., 5.000%, 1/15/2029 | 1,520,604 |
2,360,000 | EQT Corp., 7.000%, 2/01/2030 | 2,532,846 |
550,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025(a) | 532,257 |
5,050,000 | Leviathan Bond Ltd., 6.500%, 6/30/2027(a) | 4,753,262 |
1,270,000 | Matador Resources Co., 6.875%, 4/15/2028(a) | 1,288,181 |
10,085,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 10,721,039 |
540,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 556,968 |
2,715,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 2,810,877 |
360,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 390,651 |
1,200,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 1,321,907 |
1,495,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 1,681,835 |
Principal Amount (‡) | Description | Value (†) |
Independent Energy — continued | ||
$17,908,000 | Sanchez Energy Corp., 6.125%, 1/15/2023(d) | $1,208,790 |
9,520,000 | Sanchez Energy Corp., 7.750%, 6/15/2021(d) | 642,600 |
1,295,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 1,198,149 |
6,875,000 | Var Energi ASA, 8.000%, 11/15/2032(a) | 7,697,250 |
1,990,000 | Viper Energy, Inc., 7.375%, 11/01/2031(a) | 2,059,650 |
110,978,967 | ||
Leisure — 1.8% | ||
8,710,000 | Carnival Corp., 5.750%, 3/01/2027(a) | 8,496,026 |
6,065,000 | Carnival Corp., 6.000%, 5/01/2029(a) | 5,835,776 |
1,050,000 | Carnival Corp., 7.000%, 8/15/2029(a) | 1,096,326 |
6,575,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(a) | 6,424,812 |
5,085,000 | NCL Corp. Ltd., 5.875%, 2/15/2027(a) | 5,024,133 |
4,990,000 | NCL Corp. Ltd., 8.125%, 1/15/2029(a) | 5,212,464 |
2,415,000 | NCL Finance Ltd., 6.125%, 3/15/2028(a) | 2,311,715 |
230,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026(a) | 222,151 |
12,300,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(a) | 12,143,283 |
4,960,000 | VOC Escrow Ltd., 5.000%, 2/15/2028(a) | 4,750,783 |
51,517,469 | ||
Life Insurance — 1.2% | ||
20,000,000 | National Life Insurance Co., 10.500%, 9/15/2039(a) | 25,981,800 |
8,920,000 | NLV Financial Corp., 7.500%, 8/15/2033(a) | 9,329,250 |
35,311,050 | ||
Lodging — 1.2% | ||
7,620,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032(a) | 6,650,041 |
1,745,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.875%, 7/01/2031(a) | 1,544,677 |
5,385,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.000%, 6/01/2029(a) | 4,967,910 |
4,155,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(a) | 3,661,428 |
12,700,000 | Travel & Leisure Co., 4.500%, 12/01/2029(a) | 11,373,930 |
6,640,000 | Travel & Leisure Co., 4.625%, 3/01/2030(a) | 5,938,152 |
34,136,138 | ||
Media Entertainment — 1.6% | ||
3,925,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028(a) | 3,019,522 |
5,275,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027(a) | 4,191,383 |
14,565,000 | Netflix, Inc., 4.875%, 6/15/2030(a) | 14,747,805 |
8,735,000 | Netflix, Inc., 5.875%, 11/15/2028 | 9,196,060 |
3,910,000 | Netflix, Inc., 6.375%, 5/15/2029 | 4,251,175 |
1,315,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 7.375%, 2/15/2031(a) | 1,380,934 |
10,960,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032 | 10,030,636 |
46,817,515 | ||
Metals & Mining — 4.2% | ||
1,410,000 | Anglo American Capital PLC, 5.500%, 5/02/2033(a) | 1,424,390 |
14,335,000 | ArcelorMittal SA, 6.750%, 3/01/2041 | 15,156,749 |
1,050,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026(a) | 939,892 |
Principal Amount (‡) | Description | Value (†) |
Metals & Mining — continued | ||
$30,660,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027(a) | $26,056,248 |
5,005,000 | Glencore Funding LLC, 2.500%, 9/01/2030(a) | 4,285,031 |
17,230,000 | Glencore Funding LLC, 5.700%, 5/08/2033(a) | 17,876,447 |
9,995,000 | Glencore Funding LLC, 6.125%, 10/06/2028(a) | 10,470,868 |
9,590,000 | Glencore Funding LLC, 6.375%, 10/06/2030(a) | 10,295,858 |
23,925,000 | Glencore Funding LLC, 6.500%, 10/06/2033(a) | 26,083,472 |
6,230,000 | JSW Steel Ltd., 5.050%, 4/05/2032(a) | 5,361,690 |
1,900,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026(a) | 1,180,494 |
119,131,139 | ||
Midstream — 1.1% | ||
2,300,000 | Cheniere Energy Partners LP, 3.250%, 1/31/2032 | 1,959,673 |
1,530,000 | Cheniere Energy Partners LP, 4.000%, 3/01/2031 | 1,390,988 |
2,530,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030(a) | 2,327,600 |
2,760,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026(a) | 2,739,797 |
505,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037(a) | 561,636 |
3,515,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 | 3,203,009 |
880,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 854,841 |
6,105,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(a) | 5,173,671 |
3,215,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(a) | 2,832,434 |
1,750,000 | Western Midstream Operating LP, 4.050%, 2/01/2030 | 1,636,496 |
2,310,000 | Western Midstream Operating LP, 5.250%, 2/01/2050 | 2,071,055 |
4,055,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 3,528,767 |
745,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 674,451 |
560,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 499,411 |
665,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | 690,847 |
2,305,000 | Western Midstream Operating LP, 6.350%, 1/15/2029 | 2,407,365 |
32,552,041 | ||
Natural Gas — 0.1% | ||
1,670,000 | Southern Co. Gas Capital Corp., 5.750%, 9/15/2033 | 1,753,494 |
Non-Agency Commercial Mortgage-Backed Securities — 1.9% | ||
335,000 | BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036(a) | 239,288 |
7,375,000 | BPR Trust, Series 2021-NRD, Class F, 1 mo. USD SOFR + 6.870%, 12.232%, 12/15/2038(a)(b) | 6,614,978 |
8,598,297 | Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C, 4.942%, 9/10/2045(a)(b) | 7,591,791 |
Principal Amount (‡) | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$98,372 | Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a) | $85,638 |
2,925,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037(a) | 2,365,477 |
1,690,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037(a) | 982,580 |
3,755,000 | DC Commercial Mortgage Trust, Series 2023-DC, Class C, 7.141%, 9/12/2040(a)(b) | 3,848,578 |
1,338,521 | GS Mortgage Securities Corp. Trust, Series 2013-G1, Class B, 3.721%, 4/10/2031(a)(b) | 1,179,425 |
7,680,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class C, 3.550%, 3/05/2033(a)(b) | 5,034,818 |
5,785,000 | GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.685%, 6/10/2047(a)(b) | 3,426,519 |
290,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 3.784%, 12/15/2047(a)(b) | 233,967 |
3,110,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C, 3.958%, 4/15/2046(b) | 2,068,150 |
3,990,847 | Med Trust, Series 2021-MDLN, Class C, 1 mo. USD SOFR + 1.914%, 7.277%, 11/15/2038(a)(b) | 3,905,689 |
1,135,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.077%, 8/15/2046(b) | 660,570 |
2,018,742 | Morgan Stanley Capital I Trust, Series 2012-C4, Class D, 5.164%, 3/15/2045(a)(b) | 1,826,685 |
3,832,395 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 3.954%, 7/15/2046(b) | 3,332,016 |
4,340,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class B, 4.322%, 8/15/2050 | 3,385,434 |
979,561 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045 | 845,226 |
4,000,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.204%, 8/15/2046(b) | 3,257,254 |
2,612,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C, 4.204%, 8/15/2046(b) | 1,710,860 |
940,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 728,312 |
53,323,255 | ||
Other REITs — 0.1% | ||
2,735,000 | EPR Properties, 3.600%, 11/15/2031 | 2,268,320 |
Pharmaceuticals — 2.6% | ||
24,015,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(a) | 14,462,868 |
7,750,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 7,416,688 |
Principal Amount (‡) | Description | Value (†) |
Pharmaceuticals — continued | ||
4,695,000 | Teva Pharmaceutical Finance Netherlands II BV, 7.375%, 9/15/2029, (EUR) | $5,660,923 |
3,990,000 | Teva Pharmaceutical Finance Netherlands II BV, 7.875%, 9/15/2031, (EUR) | 4,983,326 |
21,480,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 14,538,697 |
7,360,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 7,047,199 |
8,725,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 8,332,779 |
7,055,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 7,603,604 |
5,070,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 5,529,246 |
75,575,330 | ||
Property & Casualty Insurance — 0.3% | ||
12,510,000 | MBIA Insurance Corp., 3 mo. USD SOFR + 11.522%, 16.916%, 1/15/2033(a)(e) | 437,850 |
10,900,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 8,490,277 |
8,928,127 | ||
Restaurants — 0.3% | ||
8,625,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 8,065,234 |
Retailers — 0.7% | ||
3,325,000 | Dillard's, Inc., 7.000%, 12/01/2028 | 3,460,095 |
1,500,000 | Dillard's, Inc., 7.750%, 7/15/2026 | 1,565,265 |
9,430,000 | Lithia Motors, Inc., 3.875%, 6/01/2029(a) | 8,550,369 |
6,365,000 | Marks & Spencer PLC, 7.125%, 12/01/2037(a) | 6,391,542 |
19,967,271 | ||
Sovereigns — 0.1% | ||
2,210,000 | Republic of Uzbekistan International Bonds, 7.850%, 10/12/2028(a) | 2,308,080 |
Technology — 6.6% | ||
10,205,000 | Avnet, Inc., 5.500%, 6/01/2032 | 10,096,467 |
3,850,000 | Block, Inc., 3.500%, 6/01/2031 | 3,418,611 |
2,820,000 | Broadcom, Inc., 2.450%, 2/15/2031(a) | 2,411,278 |
2,565,000 | Broadcom, Inc., 2.600%, 2/15/2033(a) | 2,113,173 |
6,895,000 | Broadcom, Inc., 3.137%, 11/15/2035(a) | 5,660,683 |
4,600,000 | Broadcom, Inc., 3.419%, 4/15/2033(a) | 4,040,212 |
6,790,000 | Broadcom, Inc., 3.469%, 4/15/2034(a) | 5,907,334 |
8,435,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 8,056,947 |
2,245,000 | Broadcom, Inc., 4.150%, 4/15/2032(a) | 2,116,303 |
5,575,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 5,097,752 |
1,270,000 | CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028 | 1,163,790 |
12,185,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 10,799,809 |
2,065,000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | 1,977,608 |
24,565,000 | CommScope, Inc., 4.750%, 9/01/2029(a) | 16,493,077 |
13,035,000 | Entegris Escrow Corp., 4.750%, 4/15/2029(a) | 12,558,099 |
1,215,000 | Everi Holdings, Inc., 5.000%, 7/15/2029(a) | 1,102,893 |
2,715,000 | Gartner, Inc., 3.625%, 6/15/2029(a) | 2,450,514 |
585,000 | Gartner, Inc., 3.750%, 10/01/2030(a) | 517,123 |
1,475,000 | Global Payments, Inc., 2.900%, 11/15/2031 | 1,261,699 |
4,965,000 | Global Payments, Inc., 5.400%, 8/15/2032 | 5,013,396 |
5,550,000 | GTCR W-2 Merger Sub LLC, 7.500%, 1/15/2031(a) | 5,864,809 |
8,790,000 | Iron Mountain, Inc., 4.875%, 9/15/2029(a) | 8,324,864 |
Principal Amount (‡) | Description | Value (†) |
Technology — continued | ||
$6,630,000 | Leidos, Inc., 5.750%, 3/15/2033 | $6,913,618 |
1,590,000 | Marvell Technology, Inc., 5.950%, 9/15/2033 | 1,686,020 |
9,070,000 | Micron Technology, Inc., 5.875%, 2/09/2033 | 9,427,237 |
24,180,000 | Micron Technology, Inc., 5.875%, 9/15/2033 | 25,149,190 |
5,050,000 | MSCI, Inc., 3.250%, 8/15/2033(a) | 4,220,724 |
5,200,000 | Sensata Technologies BV, 4.000%, 4/15/2029(a) | 4,832,439 |
655,000 | Sensata Technologies BV, 5.875%, 9/01/2030(a) | 650,753 |
600,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(a) | 528,438 |
7,805,000 | VMware LLC, 2.200%, 8/15/2031 | 6,467,320 |
3,725,000 | Western Digital Corp., 2.850%, 2/01/2029 | 3,206,763 |
7,515,000 | Western Digital Corp., 4.750%, 2/15/2026 | 7,372,353 |
186,901,296 | ||
Transportation Services — 0.4% | ||
10,500,000 | Rand Parent LLC, 8.500%, 2/15/2030(a) | 10,042,725 |
Treasuries — 11.5% | ||
100,917(h ) | Brazil Notas do Tesouro Nacional, Series NTNF, 10.000%, 1/01/2029, (BRL) | 20,725,043 |
97,085,000,000 | Indonesia Treasury Bonds, Series 101, 6.875%, 4/15/2029, (IDR) | 6,391,346 |
116,724,000,000 | Indonesia Treasury Bonds, Series FR95, 6.375%, 8/15/2028, (IDR) | 7,555,030 |
2,616,733(i ) | Mexico Bonos, Series M, 7.500%, 5/26/2033, (MXN) | 13,955,858 |
307,465,000 | Republic of South Africa Government Bonds, Series 2035, 8.875%, 2/28/2035, (ZAR) | 14,177,763 |
55,170,000 | U.S. Treasury Bonds, 2.250%, 2/15/2052 | 38,244,016 |
23,325,000 | U.S. Treasury Bonds, 3.250%, 5/15/2042 | 20,464,043 |
26,205,000 | U.S. Treasury Bonds, 3.875%, 2/15/2043 | 24,984,830 |
168,705,000 | U.S. Treasury Notes, 4.625%, 6/30/2025 | 169,106,992 |
545,955,000 | Uruguay Government International Bonds, 8.250%, 5/21/2031, (UYU) | 12,966,641 |
328,571,562 | ||
Wireless — 2.0% | ||
10,460,000 | American Tower Corp., 5.900%, 11/15/2033 | 11,074,258 |
10,875,000 | CT Trust, 5.125%, 2/03/2032(a) | 9,444,720 |
5,355,000 | IHS Holding Ltd., 5.625%, 11/29/2026(a) | 4,646,748 |
9,110,000 | SBA Communications Corp., 3.125%, 2/01/2029 | 8,185,305 |
7,939,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 7,241,638 |
9,360,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 11,552,702 |
3,575,000 | T-Mobile USA, Inc., 5.750%, 1/15/2034 | 3,791,795 |
55,937,166 | ||
Wirelines — 0.4% | ||
350,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 291,928 |
490,000 | Liquid Telecommunications Financing PLC, 5.500%, 9/04/2026(a) | 285,406 |
3,409,000 | Telecom Italia Capital SA, 6.000%, 9/30/2034 | 3,237,453 |
6,640,000 | Telecom Italia Capital SA, 6.375%, 11/15/2033 | 6,494,633 |
10,309,420 | ||
Total Non-Convertible Bonds (Identified Cost $2,551,680,141) | 2,231,364,543 | |
Convertible Bonds — 7.2% | ||
Airlines — 0.6% | ||
18,200,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 18,391,100 |
Principal Amount (‡) | Description | Value (†) |
Cable Satellite — 2.3% | ||
$125,670,000 | DISH Network Corp., 3.375%, 8/15/2026 | $66,605,100 |
Consumer Cyclical Services — 0.5% | ||
13,205,000 | Uber Technologies, Inc., Zero Coupon, 0.000%–1.922%, 12/15/2025(f) | 13,427,620 |
1,200,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 1,635,600 |
15,063,220 | ||
Electric — 0.3% | ||
8,240,000 | PPL Capital Funding, Inc., 2.875%, 3/15/2028(a) | 7,980,440 |
Financial Other — 0.0% | ||
1,837,524 | Sunac China Holdings Ltd., 7.800% PIK or 7.800% Cash, 9/30/2032(a)(g) | 137,814 |
Gaming — 0.1% | ||
2,195,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | 2,842,525 |
Healthcare — 1.2% | ||
7,795,000 | Envista Holdings Corp., 1.750%, 8/15/2028(a) | 7,093,450 |
32,010,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 26,309,019 |
33,402,469 | ||
Leisure — 0.2% | ||
6,465,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 5,943,792 |
Media Entertainment — 0.2% | ||
5,100,000 | Spotify USA, Inc., Zero Coupon, 5.189%–5.873%, 3/15/2026(f) | 4,488,000 |
Pharmaceuticals — 0.9% | ||
4,890,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 4,819,584 |
20,960,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 21,523,824 |
26,343,408 | ||
Retailers — 0.2% | ||
1,620,000 | Etsy, Inc., 0.125%, 9/01/2027 | 1,377,972 |
5,020,000 | Etsy, Inc., 0.250%, 6/15/2028 | 4,019,012 |
5,396,984 | ||
Technology — 0.7% | ||
9,590,000 | Splunk, Inc., 1.125%, 6/15/2027 | 9,287,915 |
8,430,000 | Unity Software, Inc., Zero Coupon, 7.084%–8.213%, 11/15/2026(f) | 7,005,330 |
1,215,000 | Wolfspeed, Inc., 0.250%, 2/15/2028 | 818,303 |
2,350,000 | Wolfspeed, Inc., 1.875%, 12/01/2029 | 1,601,525 |
18,713,073 | ||
Total Convertible Bonds (Identified Cost $288,768,623) | 205,307,925 | |
Municipals — 1.9% | ||
Virginia — 1.9% | ||
62,555,000 | Tobacco Settlement Financing Corp., 6.706%, 6/01/2046 (Identified Cost $62,549,774) | 53,740,488 |
Total Bonds and Notes (Identified Cost $2,902,998,538) | 2,490,412,956 |
Shares | ||
Common Stocks— 3.9% | ||
Aerospace & Defense — 0.1% | ||
7,700 | Lockheed Martin Corp. | 3,489,948 |
Shares | Description | Value (†) |
Air Freight & Logistics — 0.1% | ||
16,485 | United Parcel Service, Inc., Class B | $2,591,937 |
Banks — 0.1% | ||
12,171 | JPMorgan Chase & Co. | 2,070,287 |
Beverages — 0.1% | ||
56,302 | Coca-Cola Co. | 3,317,877 |
Biotechnology — 0.3% | ||
51,579 | AbbVie, Inc. | 7,993,198 |
Capital Markets — 0.1% | ||
1,173 | BlackRock, Inc. | 952,241 |
9,550 | Morgan Stanley | 890,538 |
1,842,779 | ||
Chemicals — 0.0% | ||
3,081 | Linde PLC | 1,265,398 |
Communications Equipment — 0.0% | ||
16,258 | Cisco Systems, Inc. | 821,354 |
Consumer Staples Distribution & Retail — 0.2% | ||
3,997 | Costco Wholesale Corp. | 2,638,340 |
12,574 | Walmart, Inc. | 1,982,291 |
4,620,631 | ||
Containers & Packaging — 0.0% | ||
6,142 | Packaging Corp. of America | 1,000,593 |
Diversified REITs — 0.0% | ||
175,105 | NexPoint Diversified Real Estate Trust | 1,392,085 |
Electric Utilities — 0.0% | ||
15,026 | Duke Energy Corp. | 1,458,123 |
Electrical Equipment — 0.0% | ||
11,714 | Emerson Electric Co. | 1,140,124 |
Financial Services — 0.0% | ||
3,028 | Mastercard, Inc., Class A | 1,291,472 |
Ground Transportation — 0.1% | ||
7,901 | Union Pacific Corp. | 1,940,644 |
Health Care Equipment & Supplies — 0.1% | ||
21,987 | Abbott Laboratories | 2,420,109 |
Health Care Providers & Services — 0.2% | ||
6,668 | Elevance Health, Inc. | 3,144,362 |
4,427 | UnitedHealth Group, Inc. | 2,330,683 |
5,475,045 | ||
Hotels, Restaurants & Leisure — 0.1% | ||
24,545 | Starbucks Corp. | 2,356,565 |
Household Products — 0.1% | ||
16,834 | Procter & Gamble Co. | 2,466,854 |
IT Services — 0.0% | ||
1,434 | Accenture PLC, Class A | 503,205 |
Life Sciences Tools & Services — 0.1% | ||
2,761 | Thermo Fisher Scientific, Inc. | 1,465,511 |
Machinery — 0.1% | ||
5,125 | Deere & Co. | 2,049,334 |
Media — 0.3% | ||
1,317,588 | Altice USA, Inc., Class A(e) | 4,282,161 |
51,372 | Comcast Corp., Class A | 2,252,662 |
461,939 | iHeartMedia, Inc., Class A(e) | 1,233,377 |
7,768,200 | ||
Metals & Mining — 0.1% | ||
46,228 | Newmont Corp. | 1,913,377 |
Shares | Description | Value (†) |
Oil, Gas & Consumable Fuels — 0.8% | ||
9,229 | Battalion Oil Corp.(e) | $88,691 |
166,156 | Canadian Natural Resources Ltd. | 10,886,541 |
46,438 | Diamondback Energy, Inc. | 7,201,605 |
9,930 | Pioneer Natural Resources Co. | 2,233,058 |
47,499 | Williams Cos., Inc. | 1,654,390 |
22,064,285 | ||
Pharmaceuticals — 0.2% | ||
40,040 | Bristol-Myers Squibb Co. | 2,054,452 |
13,444 | Johnson & Johnson | 2,107,213 |
14,572 | Merck & Co., Inc. | 1,588,639 |
5,750,304 | ||
Professional Services — 0.0% | ||
5,336 | Clarivate PLC(e) | 49,411 |
Semiconductors & Semiconductor Equipment — 0.3% | ||
2,959 | Broadcom, Inc. | 3,302,984 |
29,121 | Microchip Technology, Inc. | 2,626,132 |
21,254 | QUALCOMM, Inc. | 3,073,966 |
9,003,082 | ||
Software — 0.1% | ||
8,198 | Microsoft Corp. | 3,082,776 |
Specialized REITs — 0.1% | ||
10,480 | American Tower Corp. | 2,262,422 |
Specialty Retail — 0.1% | ||
6,593 | Home Depot, Inc. | 2,284,804 |
Technology Hardware, Storage & Peripherals — 0.1% | ||
14,771 | Apple, Inc. | 2,843,861 |
23,768 | IQOR US, Inc.(e) | 20,060 |
2,863,921 | ||
Trading Companies & Distributors — 0.0% | ||
21,007 | Fastenal Co. | 1,360,623 |
Total Common Stocks (Identified Cost $140,162,179) | 111,376,278 |
Principal Amount (‡) | ||
Collateralized Loan Obligations — 3.9% | ||
$6,730,000 | 522 Funding CLO Ltd., Series 2018-3A, Class DR, 3 mo. USD SOFR + 3.362%, 8.777%, 10/20/2031(a)(b) | 6,721,554 |
4,475,000 | AGL CLO 12 Ltd., Series 2021-12A, Class B, 3 mo. USD SOFR + 1.862%, 7.277%, 7/20/2034(a)(b) | 4,455,489 |
4,955,000 | AGL CLO 12 Ltd., Series 2021-12A, Class D, 3 mo. USD SOFR + 3.112%, 8.527%, 7/20/2034(a)(b) | 4,834,294 |
1,245,000 | AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3 mo. USD SOFR + 3.362%, 8.756%, 7/15/2034(a)(b) | 1,235,427 |
2,675,000 | ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3 mo. USD SOFR + 3.262%, 8.656%, 10/15/2034(a)(b) | 2,638,216 |
3,025,000 | Bain Capital Credit CLO Ltd., Series 2017-2A, Class DR2, 3 mo. USD SOFR + 3.362%, 8.740%, 7/25/2034(a)(b) | 3,024,761 |
890,000 | Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3 mo. USD SOFR + 1.662%, 7.029%, 11/20/2030(a)(b) | 885,890 |
Principal Amount (‡) | Description | Value (†) |
$1,505,000 | Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3 mo. USD SOFR + 3.262%, 8.664%, 1/17/2032(a)(b) | $1,494,585 |
3,530,000 | CarVal CLO III Ltd., Series 2019-2A, Class DR, 3 mo. USD SOFR + 3.212%, 8.627%, 7/20/2032(a)(b) | 3,461,414 |
3,095,000 | CIFC Funding Ltd., Series 2021-5A, Class D, 3 mo. USD SOFR + 3.512%, 8.906%, 7/15/2034(a)(b) | 3,094,752 |
4,390,000 | Clover CLO LLC, Series 2021-1A, Class D, 3 mo. USD SOFR + 3.212%, 8.624%, 4/22/2034(a)(b) | 4,366,219 |
3,780,000 | Clover CLO LLC, Series 2021-2A, Class D, 3 mo. USD SOFR + 3.312%, 8.727%, 7/20/2034(a)(b) | 3,771,578 |
4,775,000 | Crown City CLO I, Series 2020-1A, Class CR, 3 mo. USD SOFR + 3.682%, 9.097%, 7/20/2034(a)(b) | 4,633,832 |
2,890,000 | Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3 mo. USD SOFR + 3.112%, 8.527%, 1/20/2034(a)(b) | 2,872,529 |
980,000 | LCM 30 Ltd., Series 30A, Class CR, 3 mo. USD SOFR + 2.262%, 7.677%, 4/20/2031(a)(b) | 950,606 |
2,965,000 | LCM 30 Ltd., Series 30A, Class DR, 3 mo. USD SOFR + 3.262%, 8.677%, 4/20/2031(a)(b) | 2,842,785 |
10,665,000 | Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3 mo. USD SOFR + 3.462%, 8.849%, 7/27/2031(a)(b) | 10,667,378 |
990,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3 mo. USD SOFR + 3.262%, 8.674%, 1/23/2031(a)(b) | 974,389 |
6,010,000 | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3 mo. USD SOFR + 1.912%, 7.306%, 7/15/2034(a)(b) | 6,009,676 |
8,055,000 | OCP CLO Ltd., Series 2019-17A, Class DR, 3 mo. USD SOFR + 3.362%, 8.777%, 7/20/2032(a)(b) | 7,909,269 |
7,155,000 | Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3 mo. USD SOFR + 3.412%, 8.806%, 7/15/2034(a)(b) | 7,106,589 |
3,125,000 | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3 mo. USD SOFR + 3.562%, 8.956%, 7/15/2036(a)(b) | 2,961,797 |
8,250,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3 mo. USD SOFR + 1.912%, 7.327%, 7/02/2035(a)(b) | 8,242,022 |
970,000 | Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3 mo. USD SOFR + 1.962%, 7.329%, 5/21/2034(a)(b) | 969,523 |
12,510,000 | Palmer Square CLO Ltd., Series 2021-4A, Class E, 3 mo. USD SOFR + 6.312%, 11.706%, 10/15/2034(a)(b) | 12,312,117 |
400,000 | THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3 mo. USD SOFR + 3.212%, 8.627%, 1/20/2031(a)(b) | 386,689 |
1,540,000 | Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3 mo. USD SOFR + 4.012%, 9.427%, 10/20/2034(a)(b) | 1,520,445 |
Total Collateralized Loan Obligations (Identified Cost $111,557,561) | 110,343,825 |
Shares | Description | Value (†) |
Preferred Stocks — 1.4% | ||
Convertible Preferred Stocks — 1.0% | ||
Banking — 0.4% | ||
6,360 | Bank of America Corp., Series L, 7.250% | $7,665,581 |
3,880 | Wells Fargo & Co., Series L, Class A, 7.500% | 4,639,005 |
12,304,586 | ||
Midstream — 0.4% | ||
238,087 | El Paso Energy Capital Trust I, 4.750% | 11,213,898 |
Technology — 0.2% | ||
142,232 | Clarivate PLC, Series A, 5.250% | 5,447,486 |
Total Convertible Preferred Stocks (Identified Cost $36,508,529) | 28,965,970 | |
Non-Convertible Preferred Stocks — 0.4% | ||
Home Construction — 0.1% | ||
208,246 | Hovnanian Enterprises, Inc., 7.625% | 3,852,551 |
Office REITs — 0.1% | ||
1,596 | Highwoods Properties, Inc., Series A, 8.625%(j) | 1,579,642 |
Other REITs — 0.2% | ||
116,192 | Prologis, Inc., Series Q, 8.540% | 6,390,560 |
Total Non-Convertible Preferred Stocks (Identified Cost $8,332,902) | 11,822,753 | |
Total Preferred Stocks (Identified Cost $44,841,431) | 40,788,723 |
Principal Amount (‡) | ||
Senior Loans — 1.4% | ||
Aerospace & Defense — 0.0% | ||
$645,000 | TransDigm, Inc., 2023 Term Loan J, 2/14/2031(k) | 647,419 |
Building Materials — 0.2% | ||
5,785,000 | Summit Materials LLC, 2023 Incremental Term Loan B, 11/30/2028(k) | 5,803,107 |
Consumer Cyclical Services — 0.1% | ||
3,716,839 | Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 2.750%, 8.135%, 3/03/2030(b)(l) | 3,725,760 |
Healthcare — 0.3% | ||
1,678,606 | Bausch & Lomb Corp., 2023 Incremental Term Loan, 1 mo. USD SOFR + 4.000%, 9.356%, 9/29/2028(b)(l) | 1,672,311 |
7,505,447 | Star Parent, Inc., Term Loan B, 3 mo. USD SOFR + 4.000%, 9.348%, 9/27/2030(b)(l) | 7,408,477 |
9,080,788 | ||
Leisure — 0.4% | ||
7,835,797 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.720%, 10/18/2028(b)(l) | 7,839,088 |
3,954,241 | Carnival Corp., 2023 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.357%, 8/08/2027(b)(l) | 3,957,523 |
11,796,611 | ||
Property & Casualty Insurance — 0.1% | ||
2,229,412 | HUB International Ltd., 2023 Term Loan B, 3 mo. USD SOFR + 4.250%, 9.662%, 6/20/2030(b)(l) | 2,237,817 |
Principal Amount (‡) | Description | Value (†) |
Restaurants — 0.2% | ||
$4,080,000 | 1011778 B.C. Unlimited Liability Co., 2023 Term Loan B5, 1 mo. USD SOFR + 2.250%, 7.606%, 9/20/2030(b)(l) | $4,078,531 |
Technology — 0.1% | ||
3,315,000 | GTCR W Merger Sub LLC, USD Term Loan B, 9/20/2030(k) | 3,327,431 |
Total Senior Loans (Identified Cost $40,511,208) | 40,697,464 | |
Short-Term Investments — 1.4% | ||
33,426,116 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $33,435,401 on 1/02/2024 collateralized by $38,121,700 U.S. Treasury Note, 0.500% due 4/30/2027 valued at $34,094,719 including accrued interest (Note 2 of Notes to Financial Statements) | 33,426,116 |
5,675,000 | U.S. Treasury Bills, 5.242%, 5/02/2024(m) | 5,576,629 |
Total Short-Term Investments (Identified Cost $39,000,312) | 39,002,745 | |
Total Investments — 99.3% (Identified Cost $3,279,071,229) | 2,832,621,991 | |
Other assets less liabilities — 0.7% | 20,802,436 | |
Net Assets — 100.0% | $2,853,424,427 |
(†) | See Note 2 of Notes to Financial Statements. |
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
(a) | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2023, the value of Rule 144A holdings amounted to $1,249,566,924 or 43.8% of net assets. |
(b) | Variable rate security. Rate as of December 31, 2023 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description. |
(c) | Perpetual bond with no specified maturity date. |
(d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(e) | Non-income producing security. |
(f) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields. |
(g) | Payment–in–kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were received during the period. |
(h) | Amount shown represents units. One unit represents a principal amount of 1,000. |
(i) | Amount shown represents units. One unit represents a principal amount of 100. |
(j) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
(k) | Position is unsettled. Contract rate was not determined at December 31, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(l) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate which may range from 0.00% to 2.50%, to which the spread is added. |
(m) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
ABS | Asset-Backed Securities |
MTN | Medium Term Note |
PIK | Payment-in-Kind |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
BRL | Brazilian Real |
EUR | Euro |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | |
Bank of America N.A. | 3/20/2024 | EUR | S | 8,149,000 | $8,933,423 | $9,023,749 | $(90,326 ) |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 2 Year U.S. Treasury Notes Futures | 3/28/2024 | 1,216 | $248,437,075 | $250,391,499 | $1,954,424 |
CBOT 5 Year U.S. Treasury Notes Futures | 3/28/2024 | 6,949 | 744,129,712 | 755,866,621 | 11,736,909 |
CBOT U.S. Long Bond Futures | 3/19/2024 | 4,436 | 520,226,826 | 554,222,750 | 33,995,924 |
Total | $47,687,257 |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CME Ultra Long Term U.S. Treasury Bond Futures | 3/19/2024 | 568 | $72,644,977 | $75,881,250 | $(3,236,273 ) |
Ultra 10-Year U.S. Treasury Notes Futures | 3/19/2024 | 5,569 | 640,588,417 | 657,229,016 | (16,640,599 ) |
Total | $(19,876,872 ) |
Treasuries | 11.5 % |
Cable Satellite | 8.7 |
Technology | 7.6 |
Finance Companies | 7.1 |
Banking | 5.6 |
Metals & Mining | 4.3 |
Independent Energy | 3.9 |
Pharmaceuticals | 3.7 |
ABS Home Equity | 2.9 |
Leisure | 2.4 |
Healthcare | 2.2 |
Wireless | 2.0 |
Other Investments, less than 2% each | 32.1 |
Collateralized Loan Obligations | 3.9 |
Short-Term Investments | 1.4 |
Total Investments | 99.3 |
Other assets less liabilities (including forward foreign currency and futures contracts) | 0.7 |
Net Assets | 100.0 % |
High Income Fund | Investment Grade Bond Fund | Strategic Alpha Fund | Strategic Income Fund | |
ASSETS | ||||
Investments at cost | $56,532,376 | $10,536,031,110 | $690,558,623 | $3,279,071,229 |
Net unrealized depreciation | (11,148,492 ) | (226,986,412 ) | (103,866,295 ) | (446,449,238 ) |
Investments at value | 45,383,884 | 10,309,044,698 | 586,692,328 | 2,832,621,991 |
Cash | 35,599 | 157,932 | 399,199 | 173,919 |
Due from brokers (Note 2) | 80,000 | 20,623 | 11,415,000 | 115,104 |
Foreign currency at value (identified cost $285, $0, $2,410,831 and $146, respectively) | 290 | — | 2,426,002 | 147 |
Receivable for Fund shares sold | 5,020 | 58,814,097 | 688,504 | 2,300,066 |
Receivable from investment adviser (Note 6) | 26,771 | — | — | — |
Receivable for securities sold | — | 732,997 | 230,787 | — |
Dividends and interest receivable | 750,570 | 89,103,753 | 6,462,965 | 39,493,989 |
Unrealized appreciation on forward foreign currency contracts (Note 2) | — | — | 14,693 | — |
Tax reclaims receivable | — | — | — | 42,929 |
Receivable for variation margin on centrally cleared swap agreements (Note 2) | — | — | 69,865 | — |
Receivable for variation margin on futures contracts (Note 2) | — | 2,492,395 | 398,575 | 741,341 |
Prepaid expenses (Note 8) | 604 | 2,410 | 784 | 1,359 |
TOTAL ASSETS | 46,282,738 | 10,460,368,905 | 608,798,702 | 2,875,490,845 |
LIABILITIES | ||||
Options written, at value (premiums received $0, $0, $196,420 and $0, respectively) (Note 2) | — | — | 219,398 | — |
Payable for securities purchased | 507,279 | 77,873,660 | 3,714,038 | 9,731,920 |
Payable for Fund shares redeemed | 358,721 | 8,437,116 | 1,295,804 | 8,602,788 |
Payable for variation margin on centrally cleared swap agreements (Note 2) | 220 | — | — | — |
Unrealized depreciation on forward foreign currency contracts (Note 2) | — | — | 312,173 | 90,326 |
Foreign taxes payable (Note 2) | — | — | 1,000 | 3,618 |
Management fees payable (Note 6) | — | 2,826,486 | 272,621 | 1,114,615 |
Deferred Trustees’ fees (Note 6) | 223,591 | 1,313,806 | 363,906 | 2,042,633 |
Administrative fees payable (Note 6) | 1,752 | 390,207 | 24,063 | 110,690 |
Payable to distributor (Note 6d) | 270 | 67,542 | 4,780 | 25,656 |
Audit and tax services fees payable | 57,474 | 68,605 | 95,572 | 68,464 |
Other accounts payable and accrued expenses | 26,447 | 512,557 | 68,143 | 275,708 |
TOTAL LIABILITIES | 1,175,754 | 91,489,979 | 6,371,498 | 22,066,418 |
COMMITMENTS AND CONTINGENCIES(a) | — | — | — | — |
NET ASSETS | $45,106,984 | $10,368,878,926 | $602,427,204 | $2,853,424,427 |
NET ASSETS CONSIST OF: | ||||
Paid-in capital | $79,954,828 | $10,783,683,750 | $772,981,730 | $3,775,168,937 |
Accumulated loss | (34,847,844 ) | (414,804,824 ) | (170,554,526 ) | (921,744,510 ) |
NET ASSETS | $45,106,984 | $10,368,878,926 | $602,427,204 | $2,853,424,427 |
High Income Fund | Investment Grade Bond Fund | Strategic Alpha Fund | Strategic Income Fund | |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||
Class A shares: | ||||
Net assets | $16,030,571 | $717,998,787 | $17,890,526 | $946,579,349 |
Shares of beneficial interest | 4,513,889 | 72,400,931 | 1,914,506 | 79,425,349 |
Net asset value and redemption price per share | $3.55 | $9.92 | $9.34 | $11.92 |
Offering price per share (100/95.75 of net asset value) (Note 1) | $3.71 | $10.36 | $9.75 | $12.45 |
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||
Net assets | $753,985 | $68,821,494 | $2,530,834 | $34,212,290 |
Shares of beneficial interest | 211,197 | 7,034,812 | 271,343 | 2,832,014 |
Net asset value and offering price per share | $3.57 | $9.78 | $9.33 | $12.08 |
Class N shares: | ||||
Net assets | $172,636 | $1,496,892,695 | $105,701,673 | $220,360,088 |
Shares of beneficial interest | 48,577 | 150,948,232 | 11,345,911 | 18,515,279 |
Net asset value, offering and redemption price per share | $3.55 | $9.92 | $9.32 | $11.90 |
Class Y shares: | ||||
Net assets | $28,149,792 | $7,942,476,505 | $476,304,171 | $1,586,092,044 |
Shares of beneficial interest | 7,936,735 | 800,343,522 | 51,151,422 | 133,293,876 |
Net asset value, offering and redemption price per share | $3.55 | $9.92 | $9.31 | $11.90 |
Admin Class shares: | ||||
Net assets | $— | $142,689,445 | $— | $66,180,656 |
Shares of beneficial interest | — | 14,436,015 | — | 5,576,292 |
Net asset value, offering and redemption price per share | $— | $9.88 | $— | $11.87 |
(a) | As disclosed in the Notes to Financial Statements, if applicable. |
High Income Fund | Investment Grade Bond Fund | Strategic Alpha Fund | Strategic Income Fund | |
INVESTMENT INCOME | ||||
Interest | $3,963,036 | $408,203,297 | $40,392,289 | $169,532,516 |
Dividends | 28,060 | 2,475,241 | 557,291 | 6,464,347 |
Less net foreign taxes withheld | — | — | (18,273 ) | (102,912 ) |
3,991,096 | 410,678,538 | 40,931,307 | 175,893,951 | |
Expenses | ||||
Management fees (Note 6) | 332,827 | 34,166,102 | 4,429,769 | 17,579,531 |
Service and distribution fees (Note 6) | 52,495 | 2,951,888 | 87,686 | 3,273,527 |
Administrative fees (Note 6) | 26,568 | 3,956,030 | 341,981 | 1,400,053 |
Trustees' fees and expenses (Note 6) | 35,902 | 458,461 | 69,007 | 295,590 |
Transfer agent fees and expenses (Notes 6 and 7) | 59,969 | 5,993,620 | 483,231 | 2,520,720 |
Audit and tax services fees | 57,470 | 69,756 | 95,475 | 70,352 |
Custodian fees and expenses | 14,513 | 231,654 | 41,552 | 90,498 |
Legal fees | 2,570 | 311,213 | 27,803 | 111,724 |
Registration fees | 77,784 | 516,544 | 85,296 | 126,132 |
Shareholder reporting expenses | 18,406 | 499,700 | 54,469 | 186,857 |
Miscellaneous expenses | 38,017 | 285,621 | 62,597 | 118,398 |
Total expenses | 716,521 | 49,440,589 | 5,778,866 | 25,773,382 |
Less waiver and/or expense reimbursement (Note 6) | (245,217 ) | (5,251,753 ) | (213,189 ) | (1,897,037 ) |
Net expenses | 471,304 | 44,188,836 | 5,565,677 | 23,876,345 |
Net investment income | 3,519,792 | 366,489,702 | 35,365,630 | 152,017,606 |
Net realized and unrealized gain (loss) on Investments, Futures contracts, Options written, Swap agreements, Forward foreign currency contracts and Foreign currency transactions | ||||
Net realized gain (loss) on: | ||||
Investments | (9,841,352 ) | (75,400,417 ) | (31,968,684 ) | (110,222,109 ) |
Futures contracts | — | (160,953,007 ) | 4,372,628 | (38,830,084 ) |
Options written | — | — | (876,586 ) | — |
Swap agreements | 90,932 | — | (5,248,593 ) | 1,521,476 |
Forward foreign currency contracts (Note 2d) | — | — | (176,365 ) | (64,988 ) |
Foreign currency transactions (Note 2c) | — | — | (451,413 ) | (154,218 ) |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 12,958,762 | 396,557,870 | 52,789,693 | 198,191,829 |
Futures contracts | — | 121,060,854 | (379,831 ) | 29,780,422 |
Options written | — | — | (24,399 ) | — |
Swap agreements | (16,136 ) | — | (1,288,377 ) | (1,408,729 ) |
Forward foreign currency contracts (Note 2d) | — | — | 88,128 | (90,326 ) |
Foreign currency translations (Note 2c) | 5 | — | 16,581 | 23,342 |
Net realized and unrealized gain on Investments, Futures contracts, Options written, Swap agreements, Forward foreign currency contracts and Foreign currency transactions | 3,192,211 | 281,265,300 | 16,852,782 | 78,746,615 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $6,712,003 | $647,755,002 | $52,218,412 | $230,764,221 |
High Income Fund | Investment Grade Bond Fund | |||
Year Ended December 31,2023 | Year Ended December 31,2022 | Year Ended December 31,2023 | Year Ended December 31,2022 | |
FROM OPERATIONS: | ||||
Net investment income | $3,519,792 | $6,867,106 | $366,489,702 | $184,492,490 |
Net realized loss on investments, futures contracts, swap agreements and foreign currency transactions | (9,750,420 ) | (4,918,470 ) | (236,353,424 ) | (46,274,623 ) |
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swap agreements and foreign currency translations | 12,942,631 | (21,965,553 ) | 517,618,724 | (880,081,987 ) |
Net increase (decrease) in net assets resulting from operations | 6,712,003 | (20,016,917 ) | 647,755,002 | (741,864,120 ) |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (1,271,536 ) | (998,449 ) | (27,787,284 ) | (19,585,504 ) |
Class C | (65,853 ) | (62,092 ) | (2,155,422 ) | (1,336,410 ) |
Class N | (10,957 ) | (6,400 ) | (55,036,030 ) | (43,794,588 ) |
Class Y | (2,770,057 ) | (6,340,611 ) | (289,143,363 ) | (128,714,138 ) |
Admin Class | — | — | (4,979,958 ) | (3,388,543 ) |
Total distributions | (4,118,403 ) | (7,407,552 ) | (379,102,057 ) | (196,819,183 ) |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 11) | (74,967,733 ) | 17,577,667 | 3,097,456,282 | 1,535,258,308 |
Net increase (decrease) in net assets | (72,374,133 ) | (9,846,802 ) | 3,366,109,227 | 596,575,005 |
NET ASSETS | ||||
Beginning of the year | 117,481,117 | 127,327,919 | 7,002,769,699 | 6,406,194,694 |
End of the year | $45,106,984 | $117,481,117 | $10,368,878,926 | $7,002,769,699 |
Strategic Alpha Fund | Strategic Income Fund | |||
Year Ended December 31,2023 | Year Ended December 31,2022 | Year Ended December 31,2023 | Year Ended December 31,2022 | |
FROM OPERATIONS: | ||||
Net investment income | $35,365,630 | $42,049,297 | $152,017,606 | $144,958,020 |
Net realized loss on investments, futures contracts, swap agreements, written options, forward foreign currency contracts and foreign currency transactions | (34,349,013 ) | (13,794,522 ) | (147,749,923 ) | (35,302,562 ) |
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swap agreements, written options, forward foreign currency contracts and foreign currency translations | 51,201,795 | (134,982,810 ) | 226,496,538 | (719,640,678 ) |
Net increase (decrease) in net assets resulting from operations | 52,218,412 | (106,728,035 ) | 230,764,221 | (609,985,220 ) |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (1,153,596 ) | (1,245,882 ) | (54,554,721 ) | (70,707,641 ) |
Class C | (114,987 ) | (97,863 ) | (1,860,184 ) | (3,314,576 ) |
Class N | (6,742,335 ) | (9,392,363 ) | (12,487,496 ) | (14,593,929 ) |
Class Y | (30,202,975 ) | (28,940,367 ) | (95,610,490 ) | (135,878,926 ) |
Admin Class | — | — | (3,475,309 ) | (4,238,815 ) |
Total distributions | (38,213,893 ) | (39,676,475 ) | (167,988,200 ) | (228,733,887 ) |
NET DECREASE IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 11) | (259,189,303 ) | (466,833,178 ) | (435,259,844 ) | (1,002,949,085 ) |
Net decrease in net assets | (245,184,784 ) | (613,237,688 ) | (372,483,823 ) | (1,841,668,192 ) |
NET ASSETS | ||||
Beginning of the year | 847,611,988 | 1,460,849,676 | 3,225,908,250 | 5,067,576,442 |
End of the year | $602,427,204 | $847,611,988 | $2,853,424,427 | $3,225,908,250 |
High Income Fund—Class A | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $3.50 | $4.29 | $4.35 | $4.25 | $3.99 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.21 | 0.19 | 0.17 | 0.20 | 0.20 |
Net realized and unrealized gain (loss) | 0.11 | (0.77 ) | (0.05 ) | 0.12 (b) | 0.27 |
Total from Investment Operations | 0.32 | (0.58 ) | 0.12 | 0.32 | 0.47 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.27 ) | (0.21 ) | (0.18 ) | (0.22 ) | (0.21 ) |
Net asset value, end of the period | $3.55 | $3.50 | $4.29 | $4.35 | $4.25 |
Total return(c)(d) | 9.53 % | (13.66 )% | 2.87 % | 8.16 % | 11.94 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $16,031 | $19,108 | $20,470 | $41,547 | $23,199 |
Net expenses(e) | 0.98 %(f) | 1.00 % | 1.00 % | 1.00 % | 1.03 %(g) |
Gross expenses | 1.40 % | 1.18 % | 1.19 % | 1.22 % | 1.18 % |
Net investment income | 6.10 % | 5.13 % | 3.83 % | 4.91 % | 4.84 % |
Portfolio turnover rate | 40 % | 53 % | 67 % | 99 %(h) | 48 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(c) | A sales charge for Class A shares is not reflected in total return calculations. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Effective July 1, 2023, the expense limit decreased from 1.00% to 0.95%. See Note 6 of Notes to Financial Statements. |
(g) | Effective July 1, 2019, the expense limit decreased from 1.05% to 1.00%. |
(h) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility. |
High Income Fund—Class C | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $3.51 | $4.31 | $4.37 | $4.27 | $4.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.19 | 0.16 | 0.14 | 0.17 | 0.17 |
Net realized and unrealized gain (loss) | 0.11 | (0.78 ) | (0.05 ) | 0.12 (b) | 0.28 |
Total from Investment Operations | 0.30 | (0.62 ) | 0.09 | 0.29 | 0.45 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.24 ) | (0.18 ) | (0.15 ) | (0.19 ) | (0.18 ) |
Net asset value, end of the period | $3.57 | $3.51 | $4.31 | $4.37 | $4.27 |
Total return(c)(d) | 8.94 % | (14.50 )% | 2.07 % | 7.30 % | 11.32 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $754 | $1,182 | $1,795 | $2,933 | $3,836 |
Net expenses(e) | 1.73 %(f) | 1.75 % | 1.75 % | 1.75 % | 1.78 %(g) |
Gross expenses | 2.15 % | 1.93 % | 1.94 % | 1.97 % | 1.93 % |
Net investment income | 5.28 % | 4.34 % | 3.14 % | 4.24 % | 4.11 % |
Portfolio turnover rate | 40 % | 53 % | 67 % | 99 %(h) | 48 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Effective July 1, 2023, the expense limit decreased from 1.75% to 1.70%. See Note 6 of Notes to Financial Statements. |
(g) | Effective July 1, 2019, the expense limit decreased from 1.80% to 1.75%. |
(h) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility. |
High Income Fund—Class N | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $3.50 | $4.29 | $4.36 | $4.25 | $3.99 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.23 | 0.20 | 0.18 | 0.21 | 0.22 |
Net realized and unrealized gain (loss) | 0.10 | (0.77 ) | (0.05 ) | 0.14 (b) | 0.26 |
Total from Investment Operations | 0.33 | (0.57 ) | 0.13 | 0.35 | 0.48 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.28 ) | (0.22 ) | (0.20 ) | (0.24 ) | (0.22 ) |
Net asset value, end of the period | $3.55 | $3.50 | $4.29 | $4.36 | $4.25 |
Total return(c) | 9.85 % | (13.40 )% | 2.95 % | 8.73 % | 12.28 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $173 | $132 | $105 | $14,783 | $11,977 |
Net expenses(d) | 0.67 %(e) | 0.70 % | 0.70 % | 0.70 % | 0.72 %(f) |
Gross expenses | 1.82 % | 1.80 % | 0.86 % | 0.88 % | 0.82 % |
Net investment income | 6.47 % | 5.46 % | 4.10 % | 5.28 % | 5.13 % |
Portfolio turnover rate | 40 % | 53 % | 67 % | 99 %(g) | 48 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2023, the expense limit decreased from 0.70% to 0.65%. See Note 6 of Notes to Financial Statements. |
(f) | Effective July 1, 2019, the expense limit decreased from 0.75% to 0.70%. |
(g) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility. |
High Income Fund—Class Y | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $3.49 | $4.28 | $4.34 | $4.25 | $3.98 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.22 | 0.20 | 0.18 | 0.22 | 0.21 |
Net realized and unrealized gain (loss) | 0.12 | (0.77 ) | (0.05 ) | 0.10 (b) | 0.28 |
Total from Investment Operations | 0.34 | (0.57 ) | 0.13 | 0.32 | 0.49 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.28 ) | (0.22 ) | (0.19 ) | (0.23 ) | (0.22 ) |
Net asset value, end of the period | $3.55 | $3.49 | $4.28 | $4.34 | $4.25 |
Total return(c) | 10.13 % | (13.47 )% | 3.15 % | 8.19 % | 12.52 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $28,150 | $97,059 | $104,957 | $53,456 | $108,315 |
Net expenses(d) | 0.73 %(e) | 0.75 % | 0.75 % | 0.75 % | 0.77 %(f) |
Gross expenses | 1.16 % | 0.93 % | 0.95 % | 0.98 % | 0.93 % |
Net investment income | 6.17 % | 5.39 % | 4.16 % | 5.32 % | 5.07 % |
Portfolio turnover rate | 40 % | 53 % | 67 % | 99 %(g) | 48 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2023, the expense limit decreased from 0.75% to 0.70%. See Note 6 of Notes to Financial Statements. |
(f) | Effective July 1, 2019, the expense limit decreased from 0.80% to 0.75%. |
(g) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility. |
Investment Grade Bond Fund—Class A | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $9.63 | $11.22 | $11.65 | $11.33 | $10.77 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.39 | 0.28 | 0.26 | 0.32 | 0.35 |
Net realized and unrealized gain (loss) | 0.30 | (1.58 ) | (0.26 ) | 0.94 | 0.58 |
Total from Investment Operations | 0.69 | (1.30 ) | 0.00 (b) | 1.26 | 0.93 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.40 ) | (0.28 ) | (0.26 ) | (0.32 ) | (0.36 ) |
Net realized capital gains | — | (0.01 ) | (0.17 ) | (0.62 ) | (0.01 ) |
Total Distributions | (0.40 ) | (0.29 ) | (0.43 ) | (0.94 ) | (0.37 ) |
Net asset value, end of the period | $9.92 | $9.63 | $11.22 | $11.65 | $11.33 |
Total return(c)(d) | 7.34 % | (11.62 )% | 0.07 % | 11.41 % | 8.78 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $717,999 | $641,311 | $793,271 | $872,976 | $772,485 |
Net expenses(e) | 0.74 % | 0.75 %(f) | 0.75 % | 0.76 %(g) | 0.77 %(h) |
Gross expenses | 0.81 % | 0.80 % | 0.79 % | 0.80 % | 0.81 % |
Net investment income | 4.04 % | 2.71 % | 2.24 % | 2.73 % | 3.10 % |
Portfolio turnover rate | 25 % | 31 % | 27 % | 70 %(i) | 44 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A sales charge for Class A shares is not reflected in total return calculations. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Effective July 1, 2022, the expense limit decreased from 0.75% to 0.74%. |
(g) | Effective July 1, 2020, the expense limit decreased from 0.76% to 0.75%. |
(h) | Effective July 1, 2019, the expense limit decreased from 0.78% to 0.76%. |
(i) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility. |
Investment Grade Bond Fund—Class C | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $9.51 | $11.07 | $11.51 | $11.20 | $10.65 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.31 | 0.20 | 0.17 | 0.23 | 0.26 |
Net realized and unrealized gain (loss) | 0.29 | (1.55 ) | (0.26 ) | 0.93 | 0.58 |
Total from Investment Operations | 0.60 | (1.35 ) | (0.09 ) | 1.16 | 0.84 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.33 ) | (0.20 ) | (0.18 ) | (0.23 ) | (0.28 ) |
Net realized capital gains | — | (0.01 ) | (0.17 ) | (0.62 ) | (0.01 ) |
Total Distributions | (0.33 ) | (0.21 ) | (0.35 ) | (0.85 ) | (0.29 ) |
Net asset value, end of the period | $9.78 | $9.51 | $11.07 | $11.51 | $11.20 |
Total return(b)(c) | 6.43 % | (12.26 )% | (0.70 )% | 10.61 % | 7.94 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $68,821 | $56,520 | $80,099 | $132,606 | $204,395 |
Net expenses(d) | 1.49 % | 1.50 %(e) | 1.50 % | 1.51 %(f) | 1.52 %(g) |
Gross expenses | 1.56 % | 1.55 % | 1.54 % | 1.55 % | 1.56 % |
Net investment income | 3.29 % | 1.94 % | 1.50 % | 2.01 % | 2.35 % |
Portfolio turnover rate | 25 % | 31 % | 27 % | 70 %(h) | 44 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2022, the expense limit decreased from 1.50% to 1.49%. |
(f) | Effective July 1, 2020, the expense limit decreased from 1.51% to 1.50%. |
(g) | Effective July 1, 2019, the expense limit decreased from 1.53% to 1.51%. |
(h) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility. |
Investment Grade Bond Fund—Class N | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $9.64 | $11.22 | $11.65 | $11.33 | $10.78 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.42 | 0.31 | 0.29 | 0.35 | 0.38 |
Net realized and unrealized gain (loss) | 0.29 | (1.57 ) | (0.25 ) | 0.94 | 0.58 |
Total from Investment Operations | 0.71 | (1.26 ) | 0.04 | 1.29 | 0.96 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.43 ) | (0.31 ) | (0.30 ) | (0.35 ) | (0.40 ) |
Net realized capital gains | — | (0.01 ) | (0.17 ) | (0.62 ) | (0.01 ) |
Total Distributions | (0.43 ) | (0.32 ) | (0.47 ) | (0.97 ) | (0.41 ) |
Net asset value, end of the period | $9.92 | $9.64 | $11.22 | $11.65 | $11.33 |
Total return | 7.55 %(b) | (11.26 )%(b) | 0.37 %(b) | 11.74 %(b) | 9.11 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $1,496,893 | $1,348,621 | $1,473,020 | $1,188,772 | $1,367,172 |
Net expenses | 0.44 %(c) | 0.45 %(c)(d) | 0.45 %(c) | 0.46 %(c)(e) | 0.47 %(f) |
Gross expenses | 0.47 % | 0.47 % | 0.47 % | 0.47 % | 0.47 % |
Net investment income | 4.32 % | 3.02 % | 2.53 % | 3.04 % | 3.40 % |
Portfolio turnover rate | 25 % | 31 % | 27 % | 70 %(g) | 44 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(d) | Effective July 1, 2022, the expense limit decreased from 0.45% to 0.44%. |
(e) | Effective July 1, 2020, the expense limit decreased from 0.46% to 0.45%. |
(f) | Effective July 1, 2019, the expense limit decreased from 0.48% to 0.46%. |
(g) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility. |
Investment Grade Bond Fund—Class Y | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $9.64 | $11.22 | $11.66 | $11.34 | $10.78 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.42 | 0.30 | 0.29 | 0.35 | 0.37 |
Net realized and unrealized gain (loss) | 0.28 | (1.56 ) | (0.27 ) | 0.94 | 0.59 |
Total from Investment Operations | 0.70 | (1.26 ) | 0.02 | 1.29 | 0.96 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.42 ) | (0.31 ) | (0.29 ) | (0.35 ) | (0.39 ) |
Net realized capital gains | — | (0.01 ) | (0.17 ) | (0.62 ) | (0.01 ) |
Total Distributions | (0.42 ) | (0.32 ) | (0.46 ) | (0.97 ) | (0.40 ) |
Net asset value, end of the period | $9.92 | $9.64 | $11.22 | $11.66 | $11.34 |
Total return(b) | 7.50 % | (11.31 )% | 0.24 % | 11.68 % | 9.04 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $7,942,477 | $4,833,608 | $3,920,635 | $3,704,948 | $3,118,505 |
Net expenses(c) | 0.49 % | 0.49 %(d) | 0.50 % | 0.51 %(e) | 0.52 %(f) |
Gross expenses | 0.56 % | 0.55 % | 0.54 % | 0.55 % | 0.56 % |
Net investment income | 4.33 % | 3.01 % | 2.49 % | 2.98 % | 3.35 % |
Portfolio turnover rate | 25 % | 31 % | 27 % | 70 %(g) | 44 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(d) | Effective July 1, 2022, the expense limit decreased from 0.50% to 0.49%. |
(e) | Effective July 1, 2020, the expense limit decreased from 0.51% to 0.50%. |
(f) | Effective July 1, 2019, the expense limit decreased from 0.53% to 0.51%. |
(g) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility. |
Investment Grade Bond Fund—Admin Class | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the year | $9.60 | $11.18 | $11.62 | $11.30 | $10.75 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.36 | 0.25 | 0.23 | 0.29 | 0.32 |
Net realized and unrealized gain (loss) | 0.29 | (1.56 ) | (0.26 ) | 0.94 | 0.58 |
Total from Investment Operations | 0.65 | (1.31 ) | (0.03 ) | 1.23 | 0.90 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.37 ) | (0.26 ) | (0.24 ) | (0.29 ) | (0.34 ) |
Net realized capital gains | — | (0.01 ) | (0.17 ) | (0.62 ) | (0.01 ) |
Total Distributions | (0.37 ) | (0.27 ) | (0.41 ) | (0.91 ) | (0.35 ) |
Net asset value, end of the period | $9.88 | $9.60 | $11.18 | $11.62 | $11.30 |
Total return(b) | 6.99 % | (11.80 )% | (0.26 )% | 11.17 % | 8.43 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $142,689 | $122,710 | $139,169 | $125,460 | $111,439 |
Net expenses(c) | 0.99 % | 1.00 %(d) | 1.00 % | 1.01 %(e) | 1.02 %(f) |
Gross expenses | 1.06 % | 1.05 % | 1.04 % | 1.05 % | 1.06 % |
Net investment income | 3.79 % | 2.47 % | 1.98 % | 2.48 % | 2.85 % |
Portfolio turnover rate | 25 % | 31 % | 27 % | 70 %(g) | 44 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(d) | Effective July 1, 2022, the expense limit decreased from 1.00% to 0.99%. |
(e) | Effective July 1, 2020, the expense limit decreased from 1.01% to 1.00%. |
(f) | Effective July 1, 2019, the expense limit decreased from 1.03% to 1.01%. |
(g) | The variation in the Fund’s turnover rate from 2019 to 2020 was primarily due to a significant repositioning of the portfolio as a result of increased market volatility. |
Strategic Alpha Fund—Class A | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $9.14 | $10.34 | $10.43 | $9.69 | $9.62 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.42 | 0.34 | 0.26 | 0.28 | 0.30 |
Net realized and unrealized gain (loss) | 0.27 | (1.20 ) | (0.15 ) | 0.67 | 0.04 |
Total from Investment Operations | 0.69 | (0.86 ) | 0.11 | 0.95 | 0.34 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.49 ) | (0.34 ) | (0.20 ) | (0.21 ) | (0.27 ) |
Net asset value, end of the period | $9.34 | $9.14 | $10.34 | $10.43 | $9.69 |
Total return(b) | 7.70 %(c) | (8.29 )% | 1.07 % | 9.97 % | 3.58 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $17,891 | $29,797 | $41,765 | $36,067 | $48,815 |
Net expenses | 1.00 %(d) | 1.00 % | 0.97 % | 0.99 % | 0.99 % |
Gross expenses | 1.03 % | 1.00 % | 0.97 % | 0.99 % | 0.99 % |
Net investment income | 4.51 % | 3.59 % | 2.45 % | 2.81 % | 3.10 % |
Portfolio turnover rate | 38 % | 46 %(e) | 218 %(e) | 498 % | 414 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022. |
Strategic Alpha Fund—Class C | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $9.13 | $10.32 | $10.40 | $9.66 | $9.58 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.35 | 0.27 | 0.18 | 0.21 | 0.23 |
Net realized and unrealized gain (loss) | 0.26 | (1.19 ) | (0.15 ) | 0.66 | 0.04 |
Total from Investment Operations | 0.61 | (0.92 ) | 0.03 | 0.87 | 0.27 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.41 ) | (0.27 ) | (0.11 ) | (0.13 ) | (0.19 ) |
Net asset value, end of the period | $9.33 | $9.13 | $10.32 | $10.40 | $9.66 |
Total return(b) | 6.77 %(c) | (8.90 )% | 0.30 % | 9.12 % | 2.87 %(c) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $2,531 | $3,309 | $4,266 | $8,962 | $16,337 |
Net expenses | 1.75 %(d) | 1.75 % | 1.73 % | 1.74 % | 1.73 %(e) |
Gross expenses | 1.78 % | 1.75 % | 1.73 % | 1.74 % | 1.74 % |
Net investment income | 3.81 % | 2.84 % | 1.68 % | 2.14 % | 2.33 % |
Portfolio turnover rate | 38 % | 46 %(f) | 218 %(f) | 498 % | 414 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022. |
Strategic Alpha Fund—Class N | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $9.12 | $10.32 | $10.41 | $9.67 | $9.60 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.44 | 0.37 | 0.29 | 0.31 | 0.33 |
Net realized and unrealized gain (loss) | 0.27 | (1.19 ) | (0.15 ) | 0.67 | 0.04 |
Total from Investment Operations | 0.71 | (0.82 ) | 0.14 | 0.98 | 0.37 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.51 ) | (0.38 ) | (0.23 ) | (0.24 ) | (0.30 ) |
Net asset value, end of the period | $9.32 | $9.12 | $10.32 | $10.41 | $9.67 |
Total return | 7.94 %(b) | (8.00 )% | 1.38 % | 10.36 % | 3.92 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $105,702 | $164,264 | $484,005 | $527,494 | $297,300 |
Net expenses | 0.70 %(c) | 0.69 % | 0.67 % | 0.68 % | 0.67 % |
Gross expenses | 0.71 % | 0.69 % | 0.67 % | 0.68 % | 0.67 % |
Net investment income | 4.83 % | 3.81 % | 2.74 % | 3.13 % | 3.39 % |
Portfolio turnover rate | 38 % | 46 %(d) | 218 %(d) | 498 % | 414 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(d) | The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022. |
Strategic Alpha Fund—Class Y | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $9.12 | $10.31 | $10.41 | $9.67 | $9.59 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.44 | 0.37 | 0.28 | 0.30 | 0.32 |
Net realized and unrealized gain (loss) | 0.26 | (1.19 ) | (0.15 ) | 0.68 | 0.06 |
Total from Investment Operations | 0.70 | (0.82 ) | 0.13 | 0.98 | 0.38 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.51 ) | (0.37 ) | (0.23 ) | (0.24 ) | (0.30 ) |
Net asset value, end of the period | $9.31 | $9.12 | $10.31 | $10.41 | $9.67 |
Total return | 7.90 %(b) | (7.97 )% | 1.32 % | 10.19 % | 3.96 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $476,304 | $650,242 | $930,815 | $742,493 | $938,271 |
Net expenses | 0.75 %(c) | 0.75 % | 0.72 % | 0.74 % | 0.74 % |
Gross expenses | 0.78 % | 0.75 % | 0.72 % | 0.74 % | 0.74 % |
Net investment income | 4.80 % | 3.83 % | 2.70 % | 3.05 % | 3.33 % |
Portfolio turnover rate | 38 % | 46 %(d) | 218 %(d) | 498 % | 414 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(d) | The variation in the Fund’s turnover rate from 2020 to 2021 was primarily due to a decrease in trading volume and shareholder flows which has continued through 2022. |
Strategic Income Fund—Class A | ||||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the year | $11.65 | $14.19 | $14.03 | $13.58 | $14.25 | $14.39 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.57 | 0.44 | 0.26 | 0.10 | 0.47 | 0.57 |
Net realized and unrealized gain (loss) | 0.34 | (2.24 ) | 0.27 | 0.63 | (0.66 ) | (0.16 ) |
Total from Investment Operations | 0.91 | (1.80 ) | 0.53 | 0.73 | (0.19 ) | 0.41 |
LESS DISTRIBUTIONS FROM: | ||||||
Net iNet investment income | (0.64 ) | (0.74 ) | (0.37 ) | (0.16 ) | (0.45 ) | (0.48 ) |
Net realized capital gains | — | — | — | (0.12 ) | (0.03 ) | (0.07 ) |
Total Distributions | (0.64 ) | (0.74 ) | (0.37 ) | (0.28 ) | (0.48 ) | (0.55 ) |
Net asset value, end of the period | $11.92 | $11.65 | $14.19 | $14.03 | $13.58 | $14.25 |
Total return(b) | 8.02 %(c) | (12.80 )%(c) | 3.85 %(c) | 5.37 %(d) | (1.39 )% | 3.02 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $946,579 | $1,067,151 | $1,512,939 | $1,682,562 | $1,683,547 | $1,835,813 |
Net expenses | 0.94 %(e)(f) | 0.95 %(e)(g) | 0.96 %(e)(h) | 0.97 %(i) | 0.97 %(j) | 0.96 % |
Gross expenses | 1.00 % | 0.98 % | 0.97 % | 0.97 %(i) | 0.97 % | 0.96 % |
Net investment income | 4.89 % | 3.45 % | 1.85 % | 2.78 %(i) | 3.42 % | 4.03 % |
Portfolio turnover rate | 39 % | 23 % | 99 %(k) | 30 %(l) | 30 % | 13 % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Effective July 1, 2023, the expense limit decreased from 0.94% to 0.93%. See Note 6 of Notes to Financial Statements. |
(g) | Effective July 1, 2022, the expense limit decreased from 0.95% to 0.94%. |
(h) | Effective July 1, 2021, the expense limit decreased from 1.00% to 0.95%. |
(i) | Computed on an annualized basis for periods less than one year. |
(j) | Effective July 1, 2020, the expense limit decreased from 1.25% to 1.00%. |
(k) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(l) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
Strategic Income Fund—Class C | ||||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the year | $11.80 | $14.36 | $14.18 | $13.72 | $14.39 | $14.52 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.48 | 0.34 | 0.16 | 0.07 | 0.38 | 0.47 |
Net realized and unrealized gain (loss) | 0.35 | (2.26 ) | 0.28 | 0.64 | (0.68 ) | (0.16 ) |
Total from Investment Operations | 0.83 | (1.92 ) | 0.44 | 0.71 | (0.30 ) | 0.31 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.55 ) | (0.64 ) | (0.26 ) | (0.13 ) | (0.34 ) | (0.37 ) |
Net realized capital gains | — | — | — | (0.12 ) | (0.03 ) | (0.07 ) |
Total Distributions | (0.55 ) | (0.64 ) | (0.26 ) | (0.25 ) | (0.37 ) | (0.44 ) |
Net asset value, end of the period | $12.08 | $11.80 | $14.36 | $14.18 | $13.72 | $14.39 |
Total return(b) | 7.26 %(c) | (13.48 )%(c) | 3.13 %(c) | 5.17 %(d) | (2.18 )% | 2.27 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $34,212 | $52,977 | $120,091 | $259,780 | $277,896 | $676,602 |
Net expenses | 1.69 %(e)(f) | 1.70 %(e)(g) | 1.71 %(e)(h) | 1.72 %(i) | 1.72 %(j) | 1.71 % |
Gross expenses | 1.75 % | 1.73 % | 1.72 % | 1.72 %(i) | 1.72 % | 1.71 % |
Net investment income | 4.09 % | 2.62 % | 1.12 % | 2.04 %(i) | 2.75 % | 3.30 % |
Portfolio turnover rate | 39 % | 23 % | 99 %(k) | 30 %(l) | 30 % | 13 % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Effective July 1, 2023, the expense limit decreased from 1.69% to 1.68%. See Note 6 of Notes to Financial Statements. |
(g) | Effective July 1, 2022, the expense limit decreased from 1.70% to 1.69%. |
(h) | Effective July 1, 2021, the expense limit decreased from 1.75% to 1.70%. |
(i) | Computed on an annualized basis for periods less than one year. |
(j) | Effective July 1, 2020, the expense limit decreased from 2.00% to 1.75%. |
(k) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(l) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
Strategic Income Fund—Class N | ||||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the year | $11.63 | $14.17 | $14.01 | $13.57 | $14.24 | $14.38 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.60 | 0.47 | 0.31 | 0.11 | 0.52 | 0.61 |
Net realized and unrealized gain (loss) | 0.34 | (2.23 ) | 0.27 | 0.62 | (0.66 ) | (0.16 ) |
Total from Investment Operations | 0.94 | (1.76 ) | 0.58 | 0.73 | (0.14 ) | 0.45 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.67 ) | (0.78 ) | (0.42 ) | (0.17 ) | (0.50 ) | (0.52 ) |
Net realized capital gains | — | — | — | (0.12 ) | (0.03 ) | (0.07 ) |
Total Distributions | (0.67 ) | (0.78 ) | (0.42 ) | (0.29 ) | (0.53 ) | (0.59 ) |
Net asset value, end of the period | $11.90 | $11.63 | $14.17 | $14.01 | $13.57 | $14.24 |
Total return | 8.45 %(b) | (12.55 )% | 4.19 % | 5.39 %(c) | (1.06 )% | 3.37 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $220,360 | $220,229 | $280,661 | $247,697 | $212,804 | $202,989 |
Net expenses | 0.64 %(d)(e) | 0.64 %(f) | 0.65 %(g) | 0.65 %(h) | 0.64 %(i) | 0.63 % |
Gross expenses | 0.66 % | 0.64 % | 0.65 % | 0.65 %(h) | 0.64 % | 0.63 % |
Net investment income | 5.20 % | 3.77 % | 2.17 % | 3.13 %(h) | 3.77 % | 4.36 % |
Portfolio turnover rate | 39 % | 23 % | 99 %(j) | 30 %(k) | 30 % | 13 % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2023, the expense limit decreased from 0.64% to 0.63%. See Note 6 of Notes to Financial Statements. |
(f) | Effective July 1, 2022, the expense limit decreased from 0.65% to 0.64%. |
(g) | Effective July 1, 2021, the expense limit decreased from 0.70% to 0.65%. |
(h) | Computed on an annualized basis for periods less than one year. |
(i) | Effective July 1, 2020, the expense limit decreased from 0.95% to 0.70%. |
(j) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(k) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
Strategic Income Fund—Class Y | ||||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the year | $11.63 | $14.17 | $14.01 | $13.56 | $14.23 | $14.38 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.60 | 0.47 | 0.30 | 0.11 | 0.51 | 0.60 |
Net realized and unrealized gain (loss) | 0.34 | (2.24 ) | 0.27 | 0.62 | (0.66 ) | (0.17 ) |
Total from Investment Operations | 0.94 | (1.77 ) | 0.57 | 0.73 | (0.15 ) | 0.43 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.67 ) | (0.77 ) | (0.41 ) | (0.16 ) | (0.49 ) | (0.51 ) |
Net realized capital gains | — | — | — | (0.12 ) | (0.03 ) | (0.07 ) |
Total Distributions | (0.67 ) | (0.77 ) | (0.41 ) | (0.28 ) | (0.52 ) | (0.58 ) |
Net asset value, end of the period | $11.90 | $11.63 | $14.17 | $14.01 | $13.56 | $14.23 |
Total return | 8.30 %(b) | (12.60 )%(b) | 4.12 %(b) | 5.44 %(c) | (1.14 )% | 3.22 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $1,586,092 | $1,816,763 | $3,058,635 | $3,693,954 | $3,774,113 | $4,316,010 |
Net expenses | 0.69 %(d)(e) | 0.70 %(d)(f) | 0.71 %(d)(g) | 0.72 %(h) | 0.72 %(i) | 0.71 % |
Gross expenses | 0.75 % | 0.73 % | 0.72 % | 0.72 %(h) | 0.72 % | 0.71 % |
Net investment income | 5.13 % | 3.68 % | 2.10 % | 3.03 %(h) | 3.68 % | 4.28 % |
Portfolio turnover rate | 39 % | 23 % | 99 %(j) | 30 %(k) | 30 % | 13 % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2023, the expense limit decreased from 0.69% to 0.68%. See Note 6 of Notes to Financial Statements. |
(f) | Effective July 1, 2022, the expense limit decreased from 0.70% to 0.69%. |
(g) | Effective July 1, 2021, the expense limit decreased from 0.75% to 0.70%. |
(h) | Computed on an annualized basis for periods less than one year. |
(i) | Effective July 1, 2020, the expense limit decreased from 1.00% to 0.75%. |
(j) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(k) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
Strategic Income Fund—Admin Class | ||||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the year | $11.60 | $14.14 | $13.97 | $13.53 | $14.20 | $14.34 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.54 | 0.40 | 0.23 | 0.09 | 0.44 | 0.53 |
Net realized and unrealized gain (loss) | 0.34 | (2.23 ) | 0.28 | 0.62 | (0.66 ) | (0.16 ) |
Total from Investment Operations | 0.88 | (1.83 ) | 0.51 | 0.71 | (0.22 ) | 0.37 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.61 ) | (0.71 ) | (0.34 ) | (0.15 ) | (0.42 ) | (0.44 ) |
Net realized capital gains | — | — | — | (0.12 ) | (0.03 ) | (0.07 ) |
Total Distributions | (0.61 ) | (0.71 ) | (0.34 ) | (0.27 ) | (0.45 ) | (0.51 ) |
Net asset value, end of the period | $11.87 | $11.60 | $14.14 | $13.97 | $13.53 | $14.20 |
Total return | 7.78 %(b) | (13.07 )%(b) | 3.68 %(b) | 5.24 %(c) | (1.64 )% | 2.78 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $66,181 | $68,788 | $95,250 | $105,172 | $103,197 | $121,903 |
Net expenses | 1.19 %(d)(e) | 1.20 %(d)(f) | 1.21 %(d)(g) | 1.22 %(h) | 1.22 %(i) | 1.20 %(j) |
Gross expenses | 1.25 % | 1.23 % | 1.22 % | 1.22 %(h) | 1.22 % | 1.20 %(j) |
Net investment income | 4.65 % | 3.20 % | 1.60 % | 2.53 %(h) | 3.19 % | 3.80 % |
Portfolio turnover rate | 39 % | 23 % | 99 %(k) | 30 %(l) | 30 % | 13 % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2023, the expense limit decreased from 1.19% to 1.18%. See Note 6 of Notes to Financial Statements. |
(f) | Effective July 1, 2022, the expense limit decreased from 1.20% to 1.19%. |
(g) | Effective July 1, 2021, the expense limit decreased from 1.25% to 1.20%. |
(h) | Computed on an annualized basis for periods less than one year. |
(i) | Effective July 1, 2020, the expense limit decreased from 1.50% to 1.25%. |
(j) | Includes refund of prior year service fee of 0.01%. |
(k) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(l) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
Strategic Alpha Fund | $4,501,178 |
Strategic Income Fund | 309,532 |
2023 Distributions | 2022 Distributions | |||||
Fund | Ordinary Income | Long-Term Capital Gains | Total | Ordinary Income | Long-Term Capital Gains | Total |
High Income Fund | $4,118,403 | $— | $4,118,403 | $7,407,552 | $— | $7,407,552 |
Investment Grade Bond Fund | 379,102,057 | — | 379,102,057 | 188,970,523 | 7,848,660 | 196,819,183 |
Strategic Alpha Fund | 38,213,893 | — | 38,213,893 | 39,676,475 | — | 39,676,475 |
Strategic Income Fund | 167,988,200 | — | 167,988,200 | 228,733,887 | — | 228,733,887 |
High Income Fund | Investment Grade Bond Fund | Strategic Alpha Fund | Strategic Income Fund | |
Undistributed ordinary income | $8,418 | $1,957,722 | $— | $2,082,987 |
Capital loss carryforward: | ||||
Short-term: | ||||
No expiration date | (3,170,351 ) | (53,411,433 ) | (8,887,335 ) | (45,797,214 ) |
Long-term: | ||||
No expiration date | (19,193,055 ) | (120,401,285 ) | (46,273,687 ) | (378,057,263 ) |
Total capital loss carryforward | (22,363,406 ) | (173,812,718 ) | (55,161,022 ) | (423,854,477 ) |
Late-year ordinary and post-October capital loss deferrals* | — | — | (186,191 ) | — |
Unrealized depreciation | (11,582,407 ) | (238,392,962 ) | (107,832,783 ) | (459,223,009 ) |
Total accumulated losses | $(33,937,395 ) | $(410,247,958 ) | $(163,179,996 ) | $(880,994,499 ) |
* | Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Strategic Alpha Fund is deferring foreign currency losses. |
High Income Fund | Investment Grade Bond Fund | Strategic Alpha Fund | Strategic Income Fund | |
Unrealized appreciation (depreciation) | ||||
Investments | $(11,582,412 ) | $(238,392,962 ) | $(95,598,515 ) | $(459,398,073 ) |
Foreign currency translations | 5 | — | (12,234,268 ) | 175,064 |
Total unrealized depreciation | (11,582,407 ) | (238,392,962 ) | (107,832,783 ) | (459,223,009 ) |
High Income Fund | Investment Grade Bond Fund | Strategic Alpha Fund | Strategic Income Fund | |
Federal tax cost | $56,996,459 | $10,547,437,660 | $691,687,648 | $3,291,864,724 |
Gross tax appreciation | $661,611 | $174,984,686 | $11,328,801 | $60,804,465 |
Gross tax depreciation | (12,244,023 ) | (413,377,648 ) | (119,183,030 ) | (520,047,198 ) |
Net tax depreciation | $(11,582,412 ) | $(238,392,962 ) | $(107,854,229 ) | $(459,242,733 ) |
High Income Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Non-Convertible Bonds | ||||
Home Construction | $— | $102,528 | $— | $102,528 |
Non-Agency Commercial Mortgage-Backed Securities | — | 708,624 | 107,108 | 815,732 |
All Other Non-Convertible Bonds(a) | — | 39,225,545 | — | 39,225,545 |
Total Non-Convertible Bonds | — | 40,036,697 | 107,108 | 40,143,805 |
Convertible Bonds(a) | — | 1,716,901 | — | 1,716,901 |
Total Bonds and Notes | — | 41,753,598 | 107,108 | 41,860,706 |
Senior Loans(a) | — | 1,365,205 | — | 1,365,205 |
Collateralized Loan Obligations | — | 469,289 | — | 469,289 |
Preferred Stocks(a) | 143,165 | — | — | 143,165 |
Common Stocks(a) | 62,119 | — | — | 62,119 |
Warrants | — | — | — | — |
Other Investments(a) | — | — | — | — |
Short-Term Investments | — | 1,483,400 | — | 1,483,400 |
Total Investments | 205,284 | 45,071,492 | 107,108 | 45,383,884 |
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) | — | 30,163 | — | 30,163 |
Total | $205,284 | $45,101,655 | $107,108 | $45,414,047 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Investment Grade Bond Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes(a) | $— | $7,768,772,611 | $— | $7,768,772,611 |
Collateralized Loan Obligations | — | 315,890,526 | — | 315,890,526 |
Senior Loans(a) | — | 35,935,485 | — | 35,935,485 |
Preferred Stocks(a) | 22,905,426 | — | — | 22,905,426 |
Short-Term Investments | — | 2,165,540,650 | — | 2,165,540,650 |
Total Investments | 22,905,426 | 10,286,139,272 | — | 10,309,044,698 |
Futures Contracts (unrealized appreciation) | 168,027,113 | — | — | 168,027,113 |
Total | $190,932,539 | $10,286,139,272 | $— | $10,477,071,811 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts (unrealized depreciation) | $(55,488,913 ) | $— | $— | $(55,488,913 ) |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Strategic Alpha Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Non-Convertible Bonds | ||||
ABS Home Equity | $— | $36,881,245 | $40,417 | $36,921,662 |
Non-Agency Commercial Mortgage-Backed Securities | — | 32,955,504 | 1,528,640 | 34,484,144 |
All Other Non-Convertible Bonds(a) | — | 390,587,154 | — | 390,587,154 |
Total Non-Convertible Bonds | — | 460,423,903 | 1,569,057 | 461,992,960 |
Convertible Bonds(a) | — | 26,016,130 | — | 26,016,130 |
Total Bonds and Notes | — | 486,440,033 | 1,569,057 | 488,009,090 |
Collateralized Loan Obligations | — | 54,639,531 | — | 54,639,531 |
Senior Loans(a) | — | 20,640,810 | — | 20,640,810 |
Common Stocks(a) | 12,783,448 | — | — | 12,783,448 |
Preferred Stocks(a) | 1,412,355 | — | — | 1,412,355 |
Other Investments(a) | — | — | — | — |
Short-Term Investments | — | 9,120,320 | — | 9,120,320 |
Purchased Options(a) | 86,774 | — | — | 86,774 |
Total Investments | 14,282,577 | 570,840,694 | 1,569,057 | 586,692,328 |
Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation) | — | 731,048 | — | 731,048 |
Forward Foreign Currency Contracts (unrealized appreciation) | — | 14,693 | — | 14,693 |
Futures Contracts (unrealized appreciation) | 4,340,885 | — | — | 4,340,885 |
Total | $18,623,462 | $571,586,435 | $1,569,057 | $591,778,954 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Written Options(a) | $(219,398 ) | $— | $— | $(219,398 ) |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation) | $— | $(2,975,977 ) | $— | $(2,975,977 ) |
Forward Foreign Currency Contracts (unrealized depreciation) | — | (312,173 ) | — | (312,173 ) |
Futures Contracts (unrealized depreciation) | (4,379,864 ) | — | — | (4,379,864 ) |
Total | $(4,599,262 ) | $(3,288,150 ) | $— | $(7,887,412 ) |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Strategic Income Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Non-Convertible Bonds(a) | $— | $2,231,364,543 | $— | $2,231,364,543 |
Convertible Bonds(a) | — | 205,307,925 | — | 205,307,925 |
Municipals(a) | — | 53,740,488 | — | 53,740,488 |
Total Bonds and Notes | — | 2,490,412,956 | — | 2,490,412,956 |
Common Stocks | ||||
Technology Hardware, Storage & Peripherals | 2,843,861 | 20,060 | — | 2,863,921 |
All Other Common Stocks(a) | 108,512,357 | — | — | 108,512,357 |
Total Common Stocks | 111,356,218 | 20,060 | — | 111,376,278 |
Collateralized Loan Obligations | — | 110,343,825 | — | 110,343,825 |
Preferred Stocks | ||||
Convertible Preferred Stocks(a) | 28,965,970 | — | — | 28,965,970 |
Non-Convertible Preferred Stocks | ||||
Office REITs | — | — | 1,579,642 | 1,579,642 |
Other REITs | — | 6,390,560 | — | 6,390,560 |
All Other Non-Convertible Preferred Stocks(a) | 3,852,551 | — | — | 3,852,551 |
Total Non-Convertible Preferred Stocks | 3,852,551 | 6,390,560 | 1,579,642 | 11,822,753 |
Total Preferred Stocks | 32,818,521 | 6,390,560 | 1,579,642 | 40,788,723 |
Senior Loans(a) | — | 40,697,464 | — | 40,697,464 |
Short-Term Investments | — | 39,002,745 | — | 39,002,745 |
Total Investments | 144,174,739 | 2,686,867,610 | 1,579,642 | 2,832,621,991 |
Futures Contracts (unrealized appreciation) | 47,687,257 | — | — | 47,687,257 |
Total | $191,861,996 | $2,686,867,610 | $1,579,642 | $2,880,309,248 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Forward Foreign Currency Contracts (unrealized depreciation) | $— | $(90,326 ) | $— | $(90,326 ) |
Futures Contracts (unrealized depreciation) | (19,876,872 ) | — | — | (19,876,872 ) |
Total | $(19,876,872 ) | $(90,326 ) | $— | $(19,967,198 ) |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
High Income Fund | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of December 31, 2022 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2023 |
Bonds and Notes | ||||||||||
Non-Convertible Bonds | ||||||||||
Home Construction | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
Non-Agency Commercial Mortgage- Backed Securities | 142,115 | — | — | (35,007 ) | — | — | — | — | 107,108 | (35,007 ) |
Warrants | 95 | — | — | (95 ) | — | — | — | — | — | (95 ) |
Other Investments | ||||||||||
Aircraft ABS | 6,825 | — | — | (6,825 ) | — | — | — | — | — | (6,825 ) |
Total | $149,035 | $— | $— | $(41,927 ) | $— | $— | $— | $— | $107,108 | $(41,927 ) |
Strategic Alpha Fund | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of December 31, 2022 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2023 |
Bonds and Notes | ||||||||||
Non-Convertible Bonds | ||||||||||
ABS Home Equity | $— | $— | $(3,072 ) | $6,770 | $— | $(131,055 ) | $167,774 | $— | $40,417 | $6,770 |
Non-Agency Commercial Mortgage- Backed Securities | 1,992,567 | — | — | (463,927 ) | — | — | — | — | 1,528,640 | (463,927 ) |
Other Investments | ||||||||||
Aircraft ABS | 61,425 | — | — | (61,425 ) | — | — | — | — | — | (61,425 ) |
Total | $2,053,992 | $— | $(3,072 ) | $(518,582 ) | $— | $(131,055 ) | $167,774 | $— | $1,569,057 | $(518,582 ) |
Strategic Income Fund | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of December 31, 2022 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2023 |
Bonds and Notes | ||||||||||
Non-Convertible Bonds | ||||||||||
Property & Casualty Insurance | $1,251,000 | $— | $— | $— | $— | $— | $— | $(1,251,000 ) | $— | $— |
Preferred Stocks | ||||||||||
Non-Convertible Preferred Stocks | ||||||||||
Office REITs | 1,651,680 | — | — | (72,038 ) | — | — | — | — | 1,579,642 | (72,038 ) |
Total | $2,902,680 | $— | $— | $(72,038 ) | $— | $— | $— | $(1,251,000 ) | $1,579,642 | $(72,038 ) |
Assets | Swap agreements at value1 |
Exchange-traded/cleared asset derivatives | |
Credit contracts | $25,242 |
1 | Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities. Only the current day’s variation margin on centrally cleared swap agreements is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Net Realized Gain (Loss) on: | Swap agreements |
Credit contracts | $90,932 |
Net Change in Unrealized Appreciation (Depreciation) on: | Swap agreements |
Credit contracts | $(16,136 ) |
Assets | Unrealized appreciation on futures contracts1 |
Exchange-traded asset derivatives | |
Interest rate contracts | $168,027,113 |
Liabilities | Unrealized depreciation on futures contracts1 |
Exchange-traded liability derivatives | |
Interest rate contracts | $(55,488,913 ) |
1 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Net Realized Gain (Loss) on: | Futures contracts |
Interest rate contracts | $(160,953,007 ) |
Net Change in Unrealized Appreciation (Depreciation) on: | Futures contracts |
Interest rate contracts | $121,060,854 |
Assets | Investments at value1 | Unrealized appreciation on forward foreign currency contracts | Unrealized appreciation on futures contracts2 | Swap agreements at value3 | Total |
Over-the-counter asset derivatives | |||||
Foreign exchange contracts | $— | $14,693 | $— | $— | $14,693 |
Exchange-traded/cleared asset derivatives | |||||
Interest rate contracts | 86,774 | — | 4,340,885 | 732,523 | 5,160,182 |
Total asset derivatives | $86,774 | $14,693 | $4,340,885 | $732,523 | $5,174,875 |
Liabilities | Options written at value | Unrealized depreciation on forward foreign currency contracts | Unrealized depreciation on futures contracts2 | Swap agreements at value3 | Total |
Over-the-counter liability derivatives | |||||
Foreign exchange contracts | $— | $(312,173 ) | $— | $— | $(312,173 ) |
Exchange-traded/cleared liability derivatives | |||||
Interest rate contracts | (182,524 ) | — | (4,379,864 ) | — | (4,562,388 ) |
Credit contracts | — | — | — | (3,642,320 ) | (3,642,320 ) |
Equity contracts | (36,874 ) | — | — | — | (36,874 ) |
Total exchange-traded/cleared liability derivatives | $(219,398 ) | $— | $(4,379,864 ) | $(3,642,320 ) | $(8,241,582 ) |
Total liability derivatives | $(219,398 ) | $(312,173 ) | $(4,379,864 ) | $(3,642,320 ) | $(8,553,755 ) |
1 | Represents purchased options, at value. |
2 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
3 | Represents swap agreements, at value. Market value of swap agreements is reported in the Portfolio of Investments along with the unamortized upfront premium paid (received), if any, and unrealized appreciation (depreciation) on each individual contract. Unrealized appreciation (depreciation) and upfront premiums paid (received) for bilateral swap agreements are reported within the Statements of Assets and Liabilities. Only the current day’s variation margin on centrally cleared swap agreements is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Net Realized Gain (Loss) on: | Investments1 | Forward foreign currency contracts | Futures contracts | Options written | Swap agreements |
Interest rate contracts | $— | $— | $4,372,628 | $137,686 | $(12,218 ) |
Foreign exchange contracts | — | (176,365 ) | — | — | — |
Credit contracts | — | — | — | — | (5,236,375 ) |
Equity contracts | 1,701,612 | — | — | (1,014,272 ) | — |
Total | $1,701,612 | $(176,365 ) | $4,372,628 | $(876,586 ) | $(5,248,593 ) |
Net Change in Unrealized Appreciation (Depreciation) on: | Investments1 | Forward foreign currency contracts | Futures contracts | Options written | Swap agreements |
Interest rate contracts | $(45,683 ) | $— | $(379,831 ) | $— | $(516,890 ) |
Foreign exchange contracts | — | 88,128 | — | — | — |
Credit contracts | — | — | — | — | (771,487 ) |
Equity contracts | — | — | — | (24,399 ) | — |
Total | $(45,683 ) | $88,128 | $(379,831 ) | $(24,399 ) | $(1,288,377 ) |
1 | Represents realized gain and change in unrealized appreciation (depreciation), respectively, for purchased options during the period. |
Assets | Unrealized appreciation on futures contracts1 |
Exchange-traded asset derivatives | |
Interest rate contracts | $47,687,257 |
Liabilities | Unrealized depreciation on forward foreign currency contracts | Unrealized depreciation on futures contracts1 | Total |
Over-the-counter liability derivatives | |||
Foreign exchange contracts | $(90,326 ) | $— | $(90,326 ) |
Exchange-traded liability derivatives | |||
Interest rate contracts | — | (19,876,872 ) | (19,876,872 ) |
Total liability derivatives | $(90,326 ) | $(19,876,872 ) | $(19,967,198 ) |
1 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Net Realized Gain (Loss) on: | Forward foreign currency contracts | Futures contracts | Swap agreements |
Interest rate contracts | $— | $(38,830,084 ) | $— |
Foreign exchange contracts | (64,988 ) | — | — |
Credit contracts | — | — | 1,521,476 |
Total | $(64,988 ) | $(38,830,084 ) | $1,521,476 |
Net Change in Unrealized Appreciation (Depreciation) on: | Forward foreign currency contracts | Futures contracts | Swap agreements |
Interest rate contracts | $— | $29,780,422 | $— |
Foreign exchange contracts | (90,326 ) | — | — |
Credit contracts | — | — | (1,408,729 ) |
Total | $(90,326 ) | $29,780,422 | $(1,408,729 ) |
High Income Fund | Credit Default Swaps |
Average Notional Amount Outstanding | 0.42 % |
Highest Notional Amount Outstanding | 2.02 % |
Lowest Notional Amount Outstanding | 0.00 % |
Notional Amount Outstanding as of December 31, 2023 | 0.93 % |
Investment Grade Bond Fund | Futures |
Average Notional Amount Outstanding | 49.71 % |
Highest Notional Amount Outstanding | 84.89 % |
Lowest Notional Amount Outstanding | 31.06 % |
Notional Amount Outstanding as of December 31, 2023 | 84.89 % |
Strategic Alpha Fund | Forwards | Futures | Credit Default Swaps | Interest Rate Swaps |
Average Notional Amount Outstanding | 3.85 % | 51.26 % | 9.58 % | 2.44 % |
Highest Notional Amount Outstanding | 7.27 % | 135.80 % | 12.65 % | 2.99 % |
Lowest Notional Amount Outstanding | 2.65 % | 22.92 % | 7.62 % | 2.17 % |
Notional Amount Outstanding as of December 31, 2023 | 3.61 % | 91.25 % | 10.08 % | 2.99 % |
Strategic Income Fund | Forwards | Futures | Credit Default Swaps |
Average Notional Amount Outstanding | 0.23 % | 35.02 % | 0.09 % |
Highest Notional Amount Outstanding | 0.32 % | 80.38 % | 0.00 % |
Lowest Notional Amount Outstanding | 0.00 % | 9.06 % | 0.00 % |
Notional Amount Outstanding as of December 31, 2023 | 0.32 % | 80.38 % | 0.00 % |
Strategic Alpha Fund | Call Options Written* | Put Options Purchased* | Put Options Written* |
Average Market Value of Underlying Instruments | 1.89 % | 5.80 % | 5.36 % |
Highest Market Value of Underlying Instruments | 12.08 % | 67.38 % | 67.38 % |
Lowest Market Value of Underlying Instruments | 0.39 % | 0.00 % | 0.00 % |
Market Value of Underlying Instruments as of December 31, 2023 | 7.42 % | 6.92 % | 0.00 % |
* | Market value of underlying instruments is determined by multiplying option shares by the price of the option’s underlying security. |
Strategic Alpha Fund | |||||
Counterparty | Gross Amounts of Assets | Offset Amount | Net Asset Balance | Collateral (Received)/ Pledged | Net Amount |
Goldman Sachs International | $14,693 | $(14,693 ) | $— | $— | $— |
Counterparty | Gross Amounts of Liabilities | Offset Amount | Net Liability Balance | Collateral (Received)/ Pledged | Net Amount |
Bank of America N.A. | $(64,722 ) | $— | $(64,722 ) | $— | $(64,722 ) |
Barclays Bank PLC | (82,968 ) | — | (82,968 ) | — | (82,968 ) |
BNP Paribas SA | (137,853 ) | — | (137,853 ) | — | (137,853 ) |
Goldman Sachs International | (26,630 ) | 14,693 | (11,937 ) | — | (11,937 ) |
$(312,173 ) | $14,693 | $(297,480 ) | $— | $(297,480 ) |
Strategic Income Fund | |||||
Counterparty | Gross Amounts of Liabilities | Offset Amount | Net Liability Balance | Collateral (Received)/ Pledged | Net Amount |
Bank of America N.A. | $(90,326 ) | $— | $(90,326 ) | $— | $(90,326 ) |
U.S. Government/ Agency Securities | Other Securities | |||
Fund | Purchases | Sales | Purchases | Sales |
High Income Fund | $913,650 | $2,299,402 | $22,091,509 | $90,902,580 |
Investment Grade Bond Fund | 323,457,420 | 421,912,750 | 3,709,679,766 | 1,250,651,273 |
Strategic Alpha Fund | 72,749,950 | 92,515,652 | 190,734,900 | 404,209,481 |
Strategic Income Fund | 279,589,857 | 497,613,751 | 849,964,205 | 1,112,977,683 |
Percentage of Average Daily Net Assets | ||||||
Fund | First $200 million | Next $1.05 billion | Next $750 million | Next $13 billion | Next $10 billion | Over $25 billion |
High Income Fund | 0.55 % | 0.55 % | 0.55 % | 0.55 % | 0.55 % | 0.55 % |
Investment Grade Bond Fund | 0.40 % | 0.40 % | 0.40 % | 0.40 % | 0.38 % | 0.38 % |
Strategic Alpha Fund | 0.60 % | 0.60 % | 0.55 % | 0.55 % | 0.55 % | 0.55 % |
Strategic Income Fund | 0.64 % | 0.59 % | 0.59 % | 0.54 % | 0.54 % | 0.53 % |
Percentage of Average Daily Net Assets | ||||||
Fund | First $200 million | Next $1.05 billion | Next $750 million | Next $13 billion | Next $10 billion | Over $25 billion |
High Income Fund | 0.60 % | 0.60 % | 0.60 % | 0.60 % | 0.60 % | 0.60 % |
Strategic Income Fund | 0.65 % | 0.60 % | 0.60 % | 0.55 % | 0.54 % | 0.53 % |
Expense Limit as a Percentage of Average Daily Net Assets | |||||
Fund | Class A | Class C | Class N | Class Y | Admin Class |
High Income Fund | 0.95 % | 1.70 % | 0.65 % | 0.70 % | — % |
Investment Grade Bond Fund | 0.74 % | 1.49 % | 0.44 % | 0.49 % | 0.99 % |
Strategic Alpha Fund | 1.00 % | 1.75 % | 0.70 % | 0.75 % | — % |
Strategic Income Fund | 0.93 % | 1.68 % | 0.63 % | 0.68 % | 1.18 % |
Expense Limit as a Percentage of Average Daily Net Assets | |||||
Fund | Class A | Class C | Class N | Class Y | Admin Class |
High Income Fund | 1.00 % | 1.75 % | 0.70 % | 0.75 % | — % |
Strategic Income Fund | 0.94 % | 1.69 % | 0.64 % | 0.69 % | 1.19 % |
Gross Management Fees | Contractual Waivers of Management Fees1 | Net Management Fees | Percentage of Average Daily Net Assets | ||
Fund | Gross | Net | |||
High Income Fund | $332,827 | $244,170 | $88,657 | 0.58 % | 0.15 % |
Investment Grade Bond Fund | 34,166,102 | 5,251,753 | 28,914,349 | 0.40 % | 0.34 % |
Strategic Alpha Fund | 4,429,769 | 213,189 | 4,216,580 | 0.60 % | 0.57 % |
Strategic Income Fund | 17,579,531 | 1,897,037 | 15,682,494 | 0.58 % | 0.52 % |
1 | Management fee waivers are subject to possible recovery until December 31, 2024. |
Service Fees | Distribution Fees | |||||
Fund | Class A | Class C | Admin Class | Class C | Admin Class | |
High Income Fund | $42,422 | $2,518 | $— | $7,555 | $— | |
Investment Grade Bond Fund | 1,688,026 | 155,727 | 320,477 | 467,181 | 320,477 | |
Strategic Alpha Fund | 60,591 | 6,774 | — | 20,321 | — | |
Strategic Income Fund | 2,520,093 | 105,221 | 166,275 | 315,663 | 166,275 |
Fund | Administrative Fees |
High Income Fund | $26,568 |
Investment Grade Bond Fund | 3,956,030 |
Strategic Alpha Fund | 341,981 |
Strategic Income Fund | 1,400,053 |
Fund | Sub-Transfer Agent Fees |
High Income Fund | $35,252 |
Investment Grade Bond Fund | 5,602,002 |
Strategic Alpha Fund | 437,123 |
Strategic Income Fund | 2,320,154 |
Fund | Reimbursements of Sub-Transfer Agent Fees |
High Income Fund | $270 |
Investment Grade Bond Fund | 67,542 |
Strategic Alpha Fund | 4,780 |
Strategic Income Fund | 25,656 |
Fund | Commissions |
High Income Fund | $624 |
Investment Grade Bond Fund | 68,355 |
Strategic Alpha Fund | 2,371 |
Strategic Income Fund | 18,306 |
Natixis | Retirement Plan | |
High Income Fund | 7.27 % | — % |
Investment Grade Bond Fund | — % | 0.08 % |
Transfer Agent Fees and Expenses | |||||
Fund | Class A | Class C | Class N | Class Y | Admin Class |
High Income Fund | $16,501 | $997 | $1,047 | $41,424 | $— |
Investment Grade Bond Fund | 552,476 | 50,996 | 7,914 | 5,277,318 | 104,916 |
Strategic Alpha Fund | 19,199 | 2,142 | 2,089 | 459,801 | — |
Strategic Income Fund | 904,591 | 37,835 | 2,743 | 1,515,890 | 59,661 |
Fund | Number of 5% Non-Affiliated Account Holders | Percentage of Non-Affiliated Ownership | Percentage of Affiliated Ownership (Note 6h) | Total Percentage of Ownership |
High Income Fund | 1 | 29.42 % | 7.27 % | 36.69 % |
Strategic Alpha Fund | 2 | 19.75 % | — | 19.75 % |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
High Income Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 306,032 | $1,067,932 | 1,722,338 | $6,259,813 |
Issued in connection with the reinvestment of distributions | 321,597 | 1,120,237 | 236,475 | 869,986 |
Redeemed | (1,580,015 ) | (5,494,862 ) | (1,262,111 ) | (4,688,427 ) |
Net change | (952,386 ) | $(3,306,693 ) | 696,702 | $2,441,372 |
Class C | ||||
Issued from the sale of shares | 16,682 | $58,103 | 81,001 | $295,199 |
Issued in connection with the reinvestment of distributions | 13,573 | 47,529 | 11,401 | 42,287 |
Redeemed | (155,457 ) | (547,251 ) | (172,520 ) | (656,278 ) |
Net change | (125,202 ) | $(441,619 ) | (80,118 ) | $(318,792 ) |
Class N | ||||
Issued from the sale of shares | 8,277 | $29,269 | 11,783 | $43,666 |
Issued in connection with the reinvestment of distributions | 3,146 | 10,957 | 1,742 | 6,400 |
Redeemed | (617 ) | (2,157 ) | (317 ) | (1,187 ) |
Net change | 10,806 | $38,069 | 13,208 | $48,879 |
Class Y | ||||
Issued from the sale of shares | 1,888,911 | $6,708,806 | 15,154,075 | $60,435,670 |
Issued in connection with the reinvestment of distributions | 682,486 | 2,379,629 | 982,330 | 3,614,206 |
Redeemed | (22,464,868 ) | (80,345,925 ) | (12,813,646 ) | (48,643,668 ) |
Net change | (19,893,471 ) | $(71,257,490 ) | 3,322,759 | $15,406,208 |
Increase (decrease) from capital share transactions | (20,960,253 ) | $(74,967,733 ) | 3,952,551 | $17,577,667 |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Investment Grade Bond Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 25,396,146 | $246,567,507 | 15,784,832 | $157,415,568 |
Issued in connection with the reinvestment of distributions | 2,264,608 | 21,815,546 | 1,516,060 | 15,218,475 |
Redeemed | (21,822,384 ) | (209,544,718 ) | (21,470,097 ) | (218,163,158 ) |
Net change | 5,838,370 | $58,838,335 | (4,169,205 ) | $(45,529,115 ) |
Class C | ||||
Issued from the sale of shares | 3,184,655 | $30,498,673 | 2,006,302 | $19,429,909 |
Issued in connection with the reinvestment of distributions | 209,731 | 1,993,258 | 124,380 | 1,234,946 |
Redeemed | (2,302,311 ) | (21,957,456 ) | (3,420,390 ) | (34,069,845 ) |
Net change | 1,092,075 | $10,534,475 | (1,289,708 ) | $(13,404,990 ) |
Class N | ||||
Issued from the sale of shares | 91,924,554 | $885,815,955 | 48,529,515 | $490,256,225 |
Issued in connection with the reinvestment of distributions | 5,076,986 | 48,937,064 | 4,084,214 | 40,970,231 |
Redeemed | (86,022,542 ) | (837,693,684 ) | (43,974,606 ) | (443,131,271 ) |
Net change | 10,978,998 | $97,059,335 | 8,639,123 | $88,095,185 |
Class Y | ||||
Issued from the sale of shares | 467,964,100 | $4,536,504,200 | 312,218,522 | $3,118,482,571 |
Issued in connection with the reinvestment of distributions | 25,929,745 | 249,724,582 | 10,979,300 | 109,867,774 |
Redeemed | (194,903,390 ) | (1,871,622,848 ) | (171,175,077 ) | (1,725,580,019 ) |
Net change | 298,990,455 | $2,914,605,934 | 152,022,745 | $1,502,770,326 |
Admin Class | ||||
Issued from the sale of shares | 2,991,834 | $29,088,850 | 1,308,463 | $13,205,817 |
Issued in connection with the reinvestment of distributions | 515,315 | 4,946,804 | 336,224 | 3,362,150 |
Redeemed | (1,847,534 ) | (17,617,451 ) | (1,315,130 ) | (13,241,065 ) |
Net change | 1,659,615 | $16,418,203 | 329,557 | $3,326,902 |
Increase from capital share transactions | 318,559,513 | $3,097,456,282 | 155,532,512 | $1,535,258,308 |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Strategic Alpha Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 456,338 | $4,209,477 | 790,735 | $7,604,611 |
Issued in connection with the reinvestment of distributions | 99,309 | 909,163 | 113,177 | 1,055,866 |
Redeemed | (1,899,495 ) | (17,465,791 ) | (1,683,281 ) | (15,940,481 ) |
Net change | (1,343,848 ) | $(12,347,151 ) | (779,369 ) | $(7,280,004 ) |
Class C | ||||
Issued from the sale of shares | 45,444 | $418,841 | 118,937 | $1,122,473 |
Issued in connection with the reinvestment of distributions | 11,120 | 101,827 | 8,630 | 80,131 |
Redeemed | (147,682 ) | (1,359,697 ) | (178,261 ) | (1,704,999 ) |
Net change | (91,118 ) | $(839,029 ) | (50,694 ) | $(502,395 ) |
Class N | ||||
Issued from the sale of shares | 1,364,528 | $12,543,692 | 7,829,851 | $75,848,874 |
Issued in connection with the reinvestment of distributions | 302,868 | 2,768,620 | 307,854 | 2,864,537 |
Redeemed | (8,330,688 ) | (76,590,983 ) | (37,027,196 ) | (360,872,876 ) |
Net change | (6,663,292 ) | $(61,278,671 ) | (28,889,491 ) | $(282,159,465 ) |
Class Y | ||||
Issued from the sale of shares | 15,287,147 | $140,821,294 | 34,791,067 | $332,916,955 |
Issued in connection with the reinvestment of distributions | 2,964,920 | 27,064,532 | 2,762,887 | 25,702,413 |
Redeemed | (38,425,804 ) | (352,610,278 ) | (56,471,363 ) | (535,510,682 ) |
Net change | (20,173,737 ) | $(184,724,452 ) | (18,917,409 ) | $(176,891,314 ) |
Decrease from capital share transactions | (28,271,995 ) | $(259,189,303 ) | (48,636,963 ) | $(466,833,178 ) |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Strategic Income Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 5,396,144 | $63,165,985 | 8,678,765 | $109,989,319 |
Issued in connection with the reinvestment of distributions | 3,339,258 | 38,694,621 | 4,093,782 | 49,939,363 |
Redeemed | (20,930,624 ) | (243,186,741 ) | (27,767,324 ) | (347,469,778 ) |
Net change | (12,195,222 ) | $(141,326,135 ) | (14,994,777 ) | $(187,541,096 ) |
Class C | ||||
Issued from the sale of shares | 344,723 | $4,070,984 | 619,032 | $7,749,499 |
Issued in connection with the reinvestment of distributions | 133,724 | 1,571,614 | 230,317 | 2,856,357 |
Redeemed | (2,137,792 ) | (25,254,269 ) | (4,723,388 ) | (60,569,472 ) |
Net change | (1,659,345 ) | $(19,611,671 ) | (3,874,039 ) | $(49,963,616 ) |
Class N | ||||
Issued from the sale of shares | 2,056,873 | $24,053,872 | 1,623,182 | $20,719,348 |
Issued in connection with the reinvestment of distributions | 1,023,850 | 11,845,636 | 1,134,602 | 13,826,399 |
Redeemed | (3,497,513 ) | (40,734,619 ) | (3,626,974 ) | (45,975,564 ) |
Net change | (416,790 ) | $(4,835,111 ) | (869,190 ) | $(11,429,817 ) |
Class Y | ||||
Issued from the sale of shares | 24,750,383 | $288,798,152 | 33,766,614 | $425,134,342 |
Issued in connection with the reinvestment of distributions | 5,940,532 | 68,749,953 | 8,220,421 | 100,514,524 |
Redeemed | (53,605,076 ) | (622,978,815 ) | (101,610,881 ) | (1,269,402,412 ) |
Net change | (22,914,161 ) | $(265,430,710 ) | (59,623,846 ) | $(743,753,546 ) |
Admin Class | ||||
Issued from the sale of shares | 244,917 | $2,861,871 | 213,005 | $2,734,769 |
Issued in connection with the reinvestment of distributions | 296,316 | 3,419,495 | 343,699 | 4,173,218 |
Redeemed | (894,094 ) | (10,337,583 ) | (1,365,053 ) | (17,168,997 ) |
Net change | (352,861 ) | $(4,056,217 ) | (808,349 ) | $(10,261,010 ) |
Decrease from capital share transactions | (37,538,379 ) | $(435,259,844 ) | (80,170,201 ) | $(1,002,949,085 ) |
Boston, Massachusetts
February 22, 2024
Fund | Qualifying Percentage |
High Income Fund | 0.08 % |
Investment Grade Bond Fund | 0.65 % |
Strategic Alpha Fund | 1.00 % |
Strategic Income Fund | 2.81 % |
Fund | Qualifying Percentage |
High Income Fund | 0.65 % |
Investment Grade Bond Fund | 0.63 % |
Strategic Alpha Fund | 1.79 % |
Strategic Income Fund | 3.76 % |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees | ||||
Edmond J. English (1953) | Trustee since 2013 Contract Review Committee Member | Executive Chairman of Bob’s Discount Furniture (retail) | 51 Director, Burlington Stores, Inc. (retail); Director, Rue La La (e-commerce retail) | Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) |
Richard A. Goglia (1951) | Trustee since 2015 Chairperson of the Audit Committee | Retired | 51 Formerly, Director of Triumph Group (aerospace industry) | Significant experience on the Board and executive experience (including his role as Vice President and treasurer of a defense company and experience at a financial services company) |
Martin T. Meehan (1956) | Trustee since 2012 Chairperson of the Governance Committee and Contract Review Committee Member | President, University of Massachusetts | 51 None | Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience |
Maureen B. Mitchell (1951) | Trustee since 2017 Chairperson of the Contract Review Committee | Retired | 51 Director, Sterling Bancorp (bank) | Significant experience on the Board; financial services industry and executive experience (including role as President of global sales and marketing at a financial services company) |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees − continued | ||||
James P. Palermo (1955) | Trustee since 2016 Audit Committee Member and Governance Committee Member | Founding Partner, Breton Capital Management, LLC (private equity); formerly, Partner, STEP Partners, LLC (private equity) | 51 Director, Candidly (chemicals and biofuels) | Significant experience on the Board; financial services industry and executive experience (including roles as Chief Executive Officer of client management and asset servicing for a banking and financial services company) |
Erik R. Sirri (1958) | Chairperson of the Board of Trustees since 2021 Trustee since 2009 Ex Officio Member of the Audit Committee, Contract Review Committee and Governance Committee | Retired; formerly, Professor of Finance at Babson College | 51 None | Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist |
Peter J. Smail (1952) | Trustee since 2009 Contract Review Committee Member | Retired | 51 None | Significant experience on the Board; mutual fund industry and executive experience (including roles as President and Chief Executive Officer for an investment adviser) |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees − continued | ||||
Kirk A. Sykes (1958) | Trustee since 2019 Audit Committee Member and Governance Committee Member | Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance) | 51 Advisor/Risk Management Committee, Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust); formerly, Director, Ares Commercial Real Estate Corporation (real estate investment trust) | Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) |
Cynthia L. Walker (1956) | Trustee since 2005 Audit Committee and Governance Committee Member | Retired; formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine | 51 None | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) |
Interested Trustees | ||||
Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 | Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015 | President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P. | 51 None | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Interested Trustees − continued | ||||
David L. Giunta4 (1965) | Trustee since 2011 President and Chief Executive Officer of Natixis Funds Trust I and Natixis Funds Trust II since 2008; President of Loomis Sayles Funds II since 2008; Chief Executive Officer of Loomis Sayles Funds II since 2015 | President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC | 51 None | Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC |
1 | Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. |
2 | The Trustees of the Trusts serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”). |
3 | Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
4 | Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC. |
Name and Year of Birth | Position(s) Held with the Trusts | Term of Office1 and Length of Time Served | Principal Occupation(s) During Past 5 Years2 |
Officers of the Trusts | |||
Matthew J. Block (1981) | Treasurer, Principal Financial and Accounting Officer | Since 2022 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Assistant Treasurer of the Fund Complex |
Susan McWhan Tobin (1963) | Secretary and Chief Legal Officer | Since 2022 | Executive Vice President, General Counsel and Secretary, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Executive Vice President and Chief Compliance Officer of Natixis Investment Managers (March 2019 – May 2022) and Senior Vice President and Head of Compliance, U.S. for Natixis Investment Managers (July 2011 – March 2019) |
Natalie R. Wagner (1979) | Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer | Since 2021 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group |
1 | Each officer of the Trusts serves for an indefinite term in accordance with the Trusts' current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC, Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity. |
Visit: im.natixis.com Call: 800-225-5478
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
Exp. 3/1/20256255538.1.1IF58A-1223
Loomis Sayles International Growth Fund |
Natixis Oakmark Fund |
Natixis Oakmark International Fund |
Natixis U.S. Equity Opportunities Fund |
Vaughan Nelson Mid Cap Fund |
Vaughan Nelson Small Cap Value Fund |
Managers |
Aziz V. Hamzaogullari, CFA® |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | LIGGX |
Class C | LIGCX |
Class N | LIGNX |
Class Y | LIGYX |
Investment Goal
Top Ten Holdings as of December 31, 2023 | |
Security Name | % of Net Assets |
1 Novo Nordisk AS, Class B | 6.88% |
2 MercadoLibre, Inc. | 6.70 |
3 Adyen NV | 5.62 |
4 WiseTech Global Ltd. | 4.39 |
5 Tesla, Inc. | 3.82 |
6 Tencent Holdings Ltd. | 3.70 |
7 Ambev SA | 3.52 |
8 Trip.com Group Ltd. | 3.50 |
9 SAP SE | 3.46 |
10 Shopify, Inc., Class A | 3.39 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Hypothetical Growth of $100,000 Investment in Class Y Shares1 |
December 15, 2020 (inception) through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | ||||
1 Year | Life of Fund | Expense Ratios3 | ||
Gross | Net | |||
Class Y (Inception 12/15/20) | ||||
NAV | 20.81 % | -0.93 % | 1.80 % | 0.95 % |
Class A (Inception 12/15/20) | ||||
NAV | 20.56 | -1.17 | 2.05 | 1.20 |
With 5.75% Maximum Sales Charge | 13.60 | -3.08 | ||
Class C (Inception 12/15/20) | ||||
NAV | 19.56 | -1.93 | 2.79 | 1.95 |
With CDSC4 | 18.56 | -1.93 | ||
Class N (Inception 12/15/20) | ||||
NAV | 20.99 | -0.85 | 1.67 | 0.90 |
Comparative Performance | ||||
MSCI ACWI ex USA Index (Net)2 | 15.62 | 2.31 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | The MSCI ACWI ex USA Index captures large and mid cap representation across 22 of 23 Developed Markets (DM) countries (excluding the US) and 24 Emerging Markets (EM) countries. With 2,311 constituents, the index covers approximately 85% of the global equity opportunity set outside the US. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase. |
Managers |
Robert F. Bierig |
Michael J. Mangan, CFA® |
Michael A. Nicolas, CFA® |
William C. Nygren, CFA® |
Harris Associates L.P. |
Symbols | |
Class A | NEFOX |
Class C | NECOX |
Class N | NOANX |
Class Y | NEOYX |
Investment Goal
Top Ten Holdings as of December 31, 2023 | |
Security Name | % of Net Assets |
1 Alphabet, Inc., Class A | 3.29% |
2 Capital One Financial Corp. | 2.83 |
3 Intercontinental Exchange, Inc. | 2.78 |
4 Wells Fargo & Co. | 2.59 |
5 ConocoPhillips | 2.58 |
6 KKR & Co., Inc. | 2.55 |
7 IQVIA Holdings, Inc. | 2.44 |
8 Comcast Corp., Class A | 2.39 |
9 American International Group, Inc. | 2.38 |
10 Fiserv, Inc. | 2.34 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Hypothetical Growth of $100,000 Investment in Class Y Shares1 |
December 31, 2013 through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | ||||||
1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios3 | ||
Gross | Net | |||||
Class Y | ||||||
NAV | 31.28 % | 17.15 % | 11.36 % | — % | 0.85 % | 0.80 % |
Class A | ||||||
NAV | 30.96 | 16.86 | 11.08 | — | 1.10 | 1.05 |
With 5.75% Maximum Sales Charge | 23.45 | 15.48 | 10.42 | — | ||
Class C | ||||||
NAV | 29.99 | 15.98 | 10.42 | — | 1.85 | 1.80 |
With CDSC4 | 28.99 | 15.98 | 10.42 | — | ||
Class N (Inception 5/1/17) | ||||||
NAV | 31.35 | 17.25 | — | 12.83 | 0.93 | 0.75 |
Comparative Performance | ||||||
S&P 500® Index2 | 26.29 | 15.69 | 12.03 | 12.88 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the U.S. equities market. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
Managers |
David G. Herro, CFA® |
Eric Liu, CFA®* |
Michael L. Manelli, CFA® |
Harris Associates L.P. |
Symbols | |
Class A | NOIAX |
Class C | NOICX |
Class N | NIONX |
Class Y | NOIYX |
* | Effective August 31, 2023, Eric Liu serves as portfolio manager of the Fund. |
Investment Goal
Top Ten Holdings as of December 31, 2023 | |
Security Name | % of Net Assets |
1 CNH Industrial NV | 3.59% |
2 Lloyds Banking Group PLC | 3.52 |
3 BNP Paribas SA | 3.11 |
4 Mercedes-Benz Group AG | 2.71 |
5 Bayer AG | 2.57 |
6 Kering SA | 2.56 |
7 Prudential PLC | 2.53 |
8 Continental AG | 2.52 |
9 Fresenius Medical Care AG | 2.45 |
10 Intesa Sanpaolo SpA | 2.37 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Hypothetical Growth of $100,000 Investment in Class Y Shares1, 2 |
December 31, 2013 through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | ||||||
1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios4 | ||
Gross | Net | |||||
Class Y (Inception 5/1/17) | ||||||
NAV2 | 19.26 % | 7.33 % | 3.07 % | — % | 1.13 % | 0.90 % |
Class A | ||||||
NAV | 18.94 | 7.07 | 2.90 | — | 1.38 | 1.15 |
With 5.75% Maximum Sales Charge | 12.14 | 5.81 | 2.29 | — | ||
Class C | ||||||
NAV | 18.01 | 6.28 | 2.28 | — | 2.13 | 1.90 |
With CDSC5 | 17.01 | 6.28 | 2.28 | — | ||
Class N (Inception 5/1/17) | ||||||
NAV | 19.30 | 7.40 | — | 3.13 | 1.02 | 0.85 |
Comparative Performance | ||||||
MSCI World ex USA Index (Net)3 | 17.94 | 8.45 | 4.32 | 5.86 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Prior to the inception of Class Y shares (5/1/2017), performance is that of Class A shares and reflects the higher net expenses of that share class. |
3 | MSCI World ex USA Index (Net) is an unmanaged index that is designed to measure the equity market performance of developed markets, excluding the United States. |
4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
5 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
Managers |
Robert F. Bierig |
Michael J. Mangan, CFA®, CPA |
Michael A. Nicolas, CFA® |
William C. Nygren, CFA® |
Harris Associates L.P. |
Aziz V. Hamzaogullari, CFA® |
Loomis, Sayles & Company, L.P. |
Symbols | |
Class A | NEFSX |
Class C | NECCX |
Class N | NESNX |
Class Y | NESYX |
Investment Goal
Top Ten Holdings as of December 31, 2023 | |
Security Name | % of Net Assets |
1 Alphabet, Inc., Class A | 4.57% |
2 Amazon.com, Inc. | 4.06 |
3 Meta Platforms, Inc., Class A | 3.49 |
4 NVIDIA Corp. | 3.39 |
5 Capital One Financial Corp. | 2.87 |
6 KKR & Co., Inc. | 2.77 |
7 Salesforce, Inc. | 2.69 |
8 Oracle Corp. | 2.63 |
9 Bank of America Corp. | 2.52 |
10 Boeing Co. | 2.36 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Hypothetical Growth of $100,000 Investment in Class Y Shares1 |
December 31, 2013 through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | ||||||
1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios4 | ||
Gross | Net | |||||
Class Y | ||||||
NAV | 37.35 % | 16.60 % | 13.17 % | — % | 0.81 % | 0.81 % |
Class A | ||||||
NAV | 37.01 | 16.30 | 12.89 | — | 1.06 | 1.06 |
With 5.75% Maximum Sales Charge | 29.13 | 14.94 | 12.22 | — | ||
Class C | ||||||
NAV | 35.98 | 15.43 | 12.22 | — | 1.81 | 1.81 |
With CDSC5 | 34.98 | 15.43 | 12.22 | — | ||
Class N (Inception 5/1/17) | ||||||
NAV | 37.44 | 16.68 | — | 13.82 | 1.28 | 0.75 |
Comparative Performance | ||||||
S&P 500® Index2 | 26.29 | 15.69 | 12.03 | 12.88 | ||
Russell 1000® Index3 | 26.53 | 15.52 | 11.80 | 12.67 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | S&P 500® Index is a widely recognized measure of U.S. stock market performance. It is an unmanaged index of 500 common stocks chosen for market size, liquidity, and industry group representation, among other factors. It also measures the performance of the large cap segment of the U.S. equities market. |
3 | Russell 1000® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index represents approximately 92% of the U.S. market and is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected. |
4 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
5 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
Managers |
Dennis G. Alff, CFA® |
Chad D. Fargason |
Chris D. Wallis, CFA® |
Vaughan Nelson Investment Management, L.P. |
Symbols | |
Class A | VNVAX |
Class C | VNVCX |
Class N | VNVNX |
Class Y | VNVYX |
Investment Goal
Top Ten Holdings as of December 31, 2023 | |
Security Name | % of Net Assets |
1 Extra Space Storage, Inc. | 4.20% |
2 EastGroup Properties, Inc. | 3.44 |
3 Monolithic Power Systems, Inc. | 2.98 |
4 Constellium SE | 2.69 |
5 IQVIA Holdings, Inc. | 2.66 |
6 Diamondback Energy, Inc. | 2.48 |
7 ON Semiconductor Corp. | 2.47 |
8 Marvell Technology, Inc. | 2.46 |
9 Skechers USA, Inc., Class A | 2.45 |
10 Vulcan Materials Co. | 2.42 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Hypothetical Growth of $100,000 Investment in Class Y Shares1 |
December 31, 2013 through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | |||||
1 Year | 5 Years | 10 Years | Expense Ratios3 | ||
Gross | Net | ||||
Class Y | |||||
NAV | 16.52 % | 12.88 % | 7.12 % | 0.96 % | 0.90 % |
Class A | |||||
NAV | 16.26 | 12.59 | 6.85 | 1.21 | 1.15 |
With 5.75% Maximum Sales Charge | 9.57 | 11.27 | 6.22 | ||
Class C | |||||
NAV | 15.38 | 11.75 | 6.21 | 1.96 | 1.90 |
With CDSC4 | 14.38 | 11.75 | 6.21 | ||
Class N | |||||
NAV | 16.56 | 12.94 | 7.19 | 0.87 | 0.85 |
Comparative Performance | |||||
Russell Midcap® Value Index2 | 12.71 | 11.16 | 8.26 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Russell Midcap® Value Index is an unmanaged index that measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with lower price-to-book ratios and lower forecasted growth values. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
Managers |
James Eisenman, CFA® |
Chris D. Wallis, CFA® |
Vaughan Nelson Investment Management, L.P. |
Symbols | |
Class A | NEFJX |
Class C | NEJCX |
Class N | VSCNX |
Class Y | NEJYX |
Investment Goal
Top Ten Holdings as of December 31, 2023 | |
Security Name | % of Net Assets |
1 Insight Enterprises, Inc. | 3.57% |
2 Element Solutions, Inc. | 3.42 |
3 First American Financial Corp. | 2.28 |
4 Western Alliance Bancorp | 2.24 |
5 Core & Main, Inc., Class A | 2.22 |
6 Installed Building Products, Inc. | 2.20 |
7 Comerica, Inc. | 2.17 |
8 Fabrinet | 2.00 |
9 Beacon Roofing Supply, Inc. | 1.90 |
10 Zions Bancorp NA | 1.88 |
The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments, are presented on an individual security basis and do not represent holdings of the issuer. |
Hypothetical Growth of $100,000 Investment in Class Y Shares1 |
December 31, 2013 through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | ||||||
1 Year | 5 Years | 10 Years | Life of Class N | Expense Ratios3 | ||
Gross | Net | |||||
Class Y | ||||||
NAV | 25.10 % | 14.94 % | 9.14 % | — % | 1.12 % | 1.00 % |
Class A | ||||||
NAV | 24.82 | 14.66 | 8.87 | — | 1.37 | 1.25 |
With 5.75% Maximum Sales Charge | 17.61 | 13.31 | 8.23 | — | ||
Class C | ||||||
NAV | 23.93 | 13.80 | 8.22 | — | 2.12 | 2.00 |
With CDSC4 | 22.93 | 13.80 | 8.22 | — | ||
Class N (Inception 5/1/17) | ||||||
NAV | 25.24 | 15.03 | — | 9.63 | 1.10 | 0.95 |
Comparative Performance | ||||||
Russell 2000® Value Index2 | 14.65 | 10.00 | 6.76 | 6.28 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Russell 2000® Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/24. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
4 | Performance for Class C shares assumes a 1.00% contingent deferred sales charge (“CDSC”) applied when you sell shares within one year of purchase, and includes automatic conversion to Class A shares after eight years. |
Loomis Sayles International Growth Fund | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Class A | |||
Actual | $1,000.00 | $1,027.40 | $6.13 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.16 | $6.11 |
Class C | |||
Actual | $1,000.00 | $1,023.10 | $9.94 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.38 | $9.91 |
Class N | |||
Actual | $1,000.00 | $1,030.10 | $4.61 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | $4.58 |
Class Y | |||
Actual | $1,000.00 | $1,028.60 | $4.86 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.42 | $4.84 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.20%, 1.95%, 0.90% and 0.95% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
Natixis Oakmark Fund | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Class A | |||
Actual | $1,000.00 | $1,115.00 | $5.60 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.91 | $5.35 |
Class C | |||
Actual | $1,000.00 | $1,110.80 | $9.58 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.13 | $9.15 |
Class N | |||
Actual | $1,000.00 | $1,116.60 | $4.00 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.43 | $3.82 |
Class Y | |||
Actual | $1,000.00 | $1,116.30 | $4.27 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.17 | $4.08 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.05%, 1.80%, 0.75% and 0.80% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
Natixis Oakmark International Fund | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Class A | |||
Actual | $1,000.00 | $1,010.30 | $5.83 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.41 | $5.85 |
Class C | |||
Actual | $1,000.00 | $1,006.00 | $9.61 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.63 | $9.65 |
Class N | |||
Actual | $1,000.00 | $1,011.20 | $4.31 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | $4.33 |
Class Y | |||
Actual | $1,000.00 | $1,011.40 | $4.56 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | $4.58 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90%, 0.85% and 0.90% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
Natixis U.S. Equity Opportunities Fund | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Class A | |||
Actual | $1,000.00 | $1,104.10 | $5.67 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.81 | $5.45 |
Class C | |||
Actual | $1,000.00 | $1,099.50 | $9.63 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,016.03 | $9.25 |
Class N | |||
Actual | $1,000.00 | $1,106.10 | $4.03 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.37 | $3.87 |
Class Y | |||
Actual | $1,000.00 | $1,105.70 | $4.35 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.07 | $4.18 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.07%, 1.82%, 0.76% and 0.82% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
Vaughan Nelson Mid Cap Fund | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Class A | |||
Actual | $1,000.00 | $1,105.20 | $6.10 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.41 | $5.85 |
Class C | |||
Actual | $1,000.00 | $1,101.10 | $10.06 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.63 | $9.65 |
Class N | |||
Actual | $1,000.00 | $1,106.30 | $4.51 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.92 | $4.33 |
Class Y | |||
Actual | $1,000.00 | $1,106.60 | $4.78 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.67 | $4.58 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.15%, 1.90%, 0.85% and 0.90% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
Vaughan Nelson Small Cap Value Fund | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Class A | |||
Actual | $1,000.00 | $1,089.40 | $6.58 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,018.90 | $6.36 |
Class C | |||
Actual | $1,000.00 | $1,085.70 | $10.51 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,015.12 | $10.16 |
Class N | |||
Actual | $1,000.00 | $1,091.60 | $5.01 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.42 | $4.84 |
Class Y | |||
Actual | $1,000.00 | $1,090.90 | $5.27 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.16 | $5.09 |
* | Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.25%, 2.00%, 0.95% and 1.00% for Class A, C, N and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), divided by 365 (to reflect the half-year period). |
Shares | Description | Value (†) |
Common Stocks — 97.5% of Net Assets | ||
Australia — 4.4% | ||
26,340 | WiseTech Global Ltd. | $1,350,044 |
Belgium — 2.1% | ||
9,955 | Anheuser-Busch InBev SA | 642,576 |
Brazil — 10.2% | ||
385,863 | Ambev SA, ADR | 1,080,416 |
1,310 | MercadoLibre, Inc.(a) | 2,058,718 |
3,139,134 | ||
Canada — 3.4% | ||
13,356 | Shopify, Inc., Class A(a) | 1,040,433 |
China — 22.2% | ||
4,219 | Alibaba Group Holding Ltd., ADR(b) | 327,015 |
5,158 | Baidu, Inc., ADR(a)(b) | 614,266 |
70,200 | Budweiser Brewing Co. APAC Ltd. | 131,604 |
4,000 | Kweichow Moutai Co. Ltd., Class A | 969,117 |
4,467 | NXP Semiconductors NV | 1,025,981 |
30,100 | Tencent Holdings Ltd.(b) | 1,136,421 |
29,855 | Trip.com Group Ltd., ADR(a)(b) | 1,075,078 |
50,135 | Vipshop Holdings Ltd., ADR(a)(b) | 890,398 |
15,129 | Yum China Holdings, Inc. | 641,923 |
6,811,803 | ||
Denmark — 6.9% | ||
20,383 | Novo Nordisk AS, Class B | 2,112,314 |
France — 4.8% | ||
3,068 | EssilorLuxottica SA | 616,051 |
7,813 | Sodexo SA | 860,120 |
1,476,171 | ||
Germany — 3.4% | ||
6,916 | SAP SE | 1,064,521 |
Japan — 3.6% | ||
30,200 | FANUC Corp. | 886,343 |
6,400 | Unicharm Corp. | 231,471 |
1,117,814 | ||
Macau — 0.8% | ||
44,000 | Galaxy Entertainment Group Ltd. | 246,438 |
Netherlands — 5.6% | ||
1,337 | Adyen NV(a) | 1,725,988 |
Switzerland — 5.0% | ||
8,070 | CRISPR Therapeutics AG(a) | 505,182 |
9,500 | Novartis AG, (Registered) | 959,600 |
1,900 | Sandoz Group AG(a) | 61,131 |
1,525,913 | ||
United Kingdom — 5.5% | ||
8,068 | Diageo PLC | 292,829 |
11,825 | Reckitt Benckiser Group PLC | 815,965 |
11,982 | Unilever PLC | 580,737 |
1,689,531 | ||
United States — 19.6% | ||
11,515 | ARM Holdings PLC, ADR(a) | 865,295 |
9,083 | Block, Inc.(a) | 702,570 |
17,146 | Doximity, Inc., Class A(a) | 480,774 |
22,214 | Experian PLC | 906,227 |
8,434 | Nestle SA, (Registered) | 977,668 |
Shares | Description | Value (†) |
United States — continued | ||
3,185 | Roche Holding AG | $925,859 |
4,723 | Tesla, Inc.(a) | 1,173,571 |
6,031,964 | ||
Total Common Stocks (Identified Cost $30,378,194) | 29,974,644 |
Principal Amount | ||
Short-Term Investments — 1.6% | ||
$483,572 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $483,707 on 1/02/2024 collateralized by $512,200 U.S. Treasury Note, 2.500% due 3/31/2027 valued at $493,280 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $483,572) | 483,572 |
Total Investments — 99.1% (Identified Cost $30,861,766) | 30,458,216 | |
Other assets less liabilities — 0.9% | 265,796 | |
Net Assets — 100.0% | $30,724,012 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
(b) | Security invests in variable interest entities based in China. See Note 8 of Notes to Financial Statements. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Pharmaceuticals | 13.2 % |
Broadline Retail | 10.7 |
Beverages | 10.1 |
Hotels, Restaurants & Leisure | 9.2 |
Financial Services | 7.9 |
Software | 7.8 |
Semiconductors & Semiconductor Equipment | 6.1 |
Interactive Media & Services | 5.7 |
Automobiles | 3.8 |
Household Products | 3.4 |
IT Services | 3.4 |
Food Products | 3.2 |
Professional Services | 2.9 |
Machinery | 2.9 |
Health Care Equipment & Supplies | 2.0 |
Other Investments, less than 2% each | 5.2 |
Short-Term Investments | 1.6 |
Total Investments | 99.1 |
Other assets less liabilities | 0.9 |
Net Assets | 100.0 % |
United States Dollar | 42.3 % |
Euro | 17.8 |
Swiss Franc | 9.5 |
Danish Krone | 6.9 |
British Pound | 6.5 |
Hong Kong Dollar | 4.9 |
Australian Dollar | 4.4 |
Japanese Yen | 3.6 |
Yuan Renminbi | 3.2 |
Total Investments | 99.1 |
Other assets less liabilities | 0.9 |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 94.7% of Net Assets | ||
Automobile Components — 2.8% | ||
212,967 | BorgWarner, Inc. | $7,634,867 |
155,200 | Magna International, Inc. | 9,169,216 |
38,911 | Phinia, Inc. | 1,178,614 |
17,982,697 | ||
Automobiles — 2.1% | ||
381,760 | General Motors Co. | 13,712,819 |
Banks — 9.5% | ||
413,536 | Bank of America Corp. | 13,923,757 |
225,918 | Citigroup, Inc. | 11,621,222 |
6,240 | First Citizens BancShares, Inc., Class A | 8,854,373 |
259,600 | Truist Financial Corp. | 9,584,432 |
335,804 | Wells Fargo & Co. | 16,528,273 |
60,512,057 | ||
Broadline Retail — 2.1% | ||
50,200 | Amazon.com, Inc.(a) | 7,627,388 |
140,365 | eBay, Inc. | 6,122,721 |
13,750,109 | ||
Building Products — 3.2% | ||
120,600 | Fortune Brands Innovations, Inc. | 9,182,484 |
167,600 | Masco Corp. | 11,225,848 |
20,408,332 | ||
Capital Markets — 14.6% | ||
222,482 | Bank of New York Mellon Corp. | 11,580,188 |
9,075 | BlackRock, Inc. | 7,367,085 |
194,339 | Charles Schwab Corp. | 13,370,523 |
24,298 | Goldman Sachs Group, Inc. | 9,373,440 |
137,766 | Intercontinental Exchange, Inc. | 17,693,287 |
196,010 | KKR & Co., Inc. | 16,239,429 |
14,221 | Moody's Corp. | 5,554,154 |
151,866 | State Street Corp. | 11,763,540 |
92,941,646 | ||
Chemicals — 2.7% | ||
50,566 | Celanese Corp. | 7,856,439 |
195,200 | Corteva, Inc. | 9,353,984 |
17,210,423 | ||
Communications Equipment — 0.9% | ||
114,500 | Cisco Systems, Inc. | 5,784,540 |
Consumer Finance — 7.3% | ||
396,054 | Ally Financial, Inc. | 13,830,205 |
79,473 | American Express Co. | 14,888,472 |
137,406 | Capital One Financial Corp. | 18,016,675 |
46,735,352 | ||
Consumer Staples Distribution & Retail — 2.1% | ||
296,100 | Kroger Co. | 13,534,731 |
Electronic Equipment, Instruments & Components — 0.9% | ||
40,065 | TE Connectivity Ltd. | 5,629,132 |
Entertainment — 2.3% | ||
57,800 | Walt Disney Co. | 5,218,762 |
810,200 | Warner Bros Discovery, Inc.(a) | 9,220,076 |
14,438,838 | ||
Financial Services — 3.7% | ||
112,269 | Fiserv, Inc.(a) | 14,913,814 |
67,700 | Global Payments, Inc. | 8,597,900 |
23,511,714 |
Shares | Description | Value (†) |
Health Care Equipment & Supplies — 1.0% | ||
171,800 | Baxter International, Inc. | $6,641,788 |
Health Care Providers & Services — 4.0% | ||
151,480 | Centene Corp.(a) | 11,241,331 |
84,300 | CVS Health Corp. | 6,656,328 |
28,219 | HCA Healthcare, Inc. | 7,638,319 |
25,535,978 | ||
Hotels, Restaurants & Leisure — 0.9% | ||
30,928 | Hilton Worldwide Holdings, Inc. | 5,631,680 |
Insurance — 5.1% | ||
224,335 | American International Group, Inc. | 15,198,696 |
30,437 | Reinsurance Group of America, Inc. | 4,924,098 |
51,963 | Willis Towers Watson PLC | 12,533,476 |
32,656,270 | ||
Interactive Media & Services — 4.5% | ||
150,020 | Alphabet, Inc., Class A(a) | 20,956,294 |
21,266 | Meta Platforms, Inc., Class A(a) | 7,527,313 |
28,483,607 | ||
Life Sciences Tools & Services — 3.3% | ||
23,100 | Danaher Corp. | 5,343,954 |
67,100 | IQVIA Holdings, Inc.(a) | 15,525,598 |
20,869,552 | ||
Media — 5.1% | ||
30,074 | Charter Communications, Inc., Class A(a) | 11,689,162 |
347,542 | Comcast Corp., Class A | 15,239,717 |
66,700 | Liberty Broadband Corp., Class C(a) | 5,375,353 |
32,304,232 | ||
Oil, Gas & Consumable Fuels — 8.6% | ||
350,472 | APA Corp. | 12,574,935 |
141,830 | ConocoPhillips | 16,462,208 |
113,260 | EOG Resources, Inc. | 13,698,797 |
91,100 | Phillips 66 | 12,129,054 |
54,864,994 | ||
Professional Services — 1.1% | ||
27,400 | Equifax, Inc. | 6,775,746 |
Real Estate Management & Development — 2.3% | ||
157,318 | CBRE Group, Inc., Class A(a) | 14,644,733 |
Software — 2.9% | ||
70,300 | Oracle Corp. | 7,411,729 |
41,900 | Salesforce, Inc.(a) | 11,025,566 |
18,437,295 | ||
Tobacco — 1.7% | ||
264,414 | Altria Group, Inc. | 10,666,461 |
Total Common Stocks (Identified Cost $520,726,283) | 603,664,726 |
Principal Amount | Description | Value (†) |
Short-Term Investments — 5.0% | ||
$32,116,607 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $32,125,528 on 1/02/2024 collateralized by $36,628,200 U.S. Treasury Note, 0.500% due 4/30/2027 valued at $32,758,985 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $32,116,607) | $32,116,607 |
Total Investments — 99.7% (Identified Cost $552,842,890) | 635,781,333 | |
Other assets less liabilities — 0.3% | 1,710,302 | |
Net Assets — 100.0% | $637,491,635 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
Capital Markets | 14.6 % |
Banks | 9.5 |
Oil, Gas & Consumable Fuels | 8.6 |
Consumer Finance | 7.3 |
Insurance | 5.1 |
Media | 5.1 |
Interactive Media & Services | 4.5 |
Health Care Providers & Services | 4.0 |
Financial Services | 3.7 |
Life Sciences Tools & Services | 3.3 |
Building Products | 3.2 |
Software | 2.9 |
Automobile Components | 2.8 |
Chemicals | 2.7 |
Real Estate Management & Development | 2.3 |
Entertainment | 2.3 |
Broadline Retail | 2.1 |
Automobiles | 2.1 |
Consumer Staples Distribution & Retail | 2.1 |
Other Investments, less than 2% each | 6.5 |
Short-Term Investments | 5.0 |
Total Investments | 99.7 |
Other assets less liabilities | 0.3 |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 94.5% of Net Assets | ||
Belgium — 1.3% | ||
80,500 | Anheuser-Busch InBev SA | $5,196,122 |
Canada — 1.7% | ||
160,800 | Open Text Corp. | 6,758,199 |
China — 1.4% | ||
545,300 | Alibaba Group Holding Ltd. | 5,252,621 |
Denmark — 1.2% | ||
26,000 | DSV AS | 4,568,374 |
France — 16.4% | ||
186,205 | Accor SA | 7,127,199 |
173,991 | BNP Paribas SA | 12,082,920 |
29,300 | Capgemini SE | 6,123,452 |
72,600 | Danone SA | 4,710,180 |
75,463 | Edenred SE | 4,516,062 |
85,500 | Eurofins Scientific SE | 5,577,371 |
22,440 | Kering SA | 9,938,638 |
45,198 | Publicis Groupe SA | 4,199,428 |
293,325 | Valeo SE | 4,533,519 |
282,151 | Worldline SA(a) | 4,906,604 |
63,715,373 | ||
Germany — 25.7% | ||
22,900 | adidas AG | 4,653,433 |
29,710 | Allianz SE | 7,939,737 |
268,730 | Bayer AG | 9,970,931 |
76,900 | Bayerische Motoren Werke AG | 8,556,792 |
54,100 | Brenntag SE | 4,972,195 |
115,173 | Continental AG | 9,781,802 |
213,207 | Daimler Truck Holding AG | 8,008,918 |
227,600 | Fresenius Medical Care AG | 9,515,561 |
265,700 | Fresenius SE & Co. KGaA | 8,235,514 |
55,842 | Henkel AG & Co. KGaA | 4,006,585 |
152,414 | Mercedes-Benz Group AG, (Registered) | 10,516,232 |
28,300 | SAP SE | 4,355,979 |
35,600 | Siemens AG | 6,678,890 |
385,000 | thyssenkrupp AG | 2,678,232 |
99,870,801 | ||
India — 0.7% | ||
195,475 | Axis Bank Ltd. | 2,586,988 |
Indonesia — 0.2% | ||
1,482,900 | Bank Mandiri Persero Tbk. PT | 582,539 |
Ireland — 1.6% | ||
47,238 | Ryanair Holdings PLC, ADR(a) | 6,299,660 |
Italy — 2.4% | ||
3,150,700 | Intesa Sanpaolo SpA | 9,220,187 |
Japan — 3.4% | ||
36,200 | Fujitsu Ltd. | 5,447,869 |
141,600 | Komatsu Ltd. | 3,684,905 |
93,400 | Recruit Holdings Co. Ltd. | 3,905,158 |
13,037,932 | ||
Korea — 1.9% | ||
43,232 | NAVER Corp. | 7,480,010 |
Netherlands — 4.7% | ||
45,500 | Akzo Nobel NV | 3,767,708 |
64,644 | EXOR NV | 6,470,710 |
267,896 | Prosus NV | 7,973,736 |
18,212,154 |
Shares | Description | Value (†) |
Spain — 1.4% | ||
76,630 | Amadeus IT Group SA | $5,503,685 |
Sweden — 3.8% | ||
139,500 | Sandvik AB | 3,030,685 |
311,703 | SKF AB, Class B | 6,246,699 |
210,600 | Volvo AB, Class B | 5,479,812 |
14,757,196 | ||
Switzerland — 8.0% | ||
26,400 | Cie Financiere Richemont SA, Class A | 3,646,475 |
1,070,980 | Glencore PLC | 6,437,709 |
57,021 | Holcim AG | 4,478,508 |
38,400 | Novartis AG, (Registered) | 3,878,803 |
17,090 | Roche Holding AG | 4,967,952 |
13,200 | Schindler Holding AG | 3,304,685 |
16,599 | Swatch Group AG | 4,516,424 |
31,230,556 | ||
United Kingdom — 18.7% | ||
69,600 | Ashtead Group PLC | 4,837,697 |
19,800 | Bunzl PLC | 804,583 |
1,139,492 | CNH Industrial NV | 13,973,668 |
97,200 | Compass Group PLC | 2,659,715 |
253,377 | Informa PLC | 2,520,190 |
218,963 | Liberty Global Ltd., Class A(a) | 3,890,972 |
22,560,100 | Lloyds Banking Group PLC | 13,683,510 |
871,000 | Prudential PLC | 9,827,219 |
61,300 | Reckitt Benckiser Group PLC | 4,229,909 |
1,369,682 | Schroders PLC | 7,489,090 |
96,200 | Smiths Group PLC | 2,159,249 |
699,200 | WPP PLC | 6,678,675 |
72,754,477 | ||
Total Common Stocks (Identified Cost $335,101,987) | 367,026,874 | |
Preferred Stocks — 1.7% | ||
Korea — 1.7% | ||
140,000 | Samsung Electronics Co. Ltd., 2.319%, (KRW) (Identified Cost $7,538,747) | 6,746,111 |
Principal Amount | ||
Short-Term Investments — 2.5% | ||
$9,624,351 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $9,627,025 on 1/02/2024 collateralized by $10,976,400 U.S. Treasury Note, 0.500% due 4/30/2027 valued at $9,816,909 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $9,624,351) | 9,624,351 |
Total Investments — 98.7% (Identified Cost $352,265,085) | 383,397,336 | |
Other assets less liabilities — 1.3% | 5,234,982 | |
Net Assets — 100.0% | $388,632,318 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
KRW | South Korean Won |
Machinery | 11.3 % |
Banks | 9.9 |
Textiles, Apparel & Luxury Goods | 5.8 |
Automobiles | 4.9 |
Pharmaceuticals | 4.9 |
Health Care Providers & Services | 4.6 |
Insurance | 4.5 |
Financial Services | 4.2 |
Hotels, Restaurants & Leisure | 3.9 |
Automobile Components | 3.7 |
Media | 3.5 |
Broadline Retail | 3.4 |
IT Services | 3.0 |
Software | 2.8 |
Trading Companies & Distributors | 2.7 |
Metals & Mining | 2.4 |
Industrial Conglomerates | 2.3 |
Household Products | 2.1 |
Other Investments, less than 2% each | 16.3 |
Short-Term Investments | 2.5 |
Total Investments | 98.7 |
Other assets less liabilities | 1.3 |
Net Assets | 100.0 % |
Euro | 55.5 % |
British Pound | 15.8 |
Swiss Franc | 6.3 |
United States Dollar | 5.1 |
Swedish Krona | 3.8 |
South Korean Won | 3.6 |
Japanese Yen | 3.4 |
Other, less than 2% each | 5.2 |
Total Investments | 98.7 |
Other assets less liabilities | 1.3 |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 97.6% of Net Assets | ||
Aerospace & Defense — 2.4% | ||
87,555 | Boeing Co.(a) | $22,822,086 |
Air Freight & Logistics — 0.6% | ||
45,126 | Expeditors International of Washington, Inc. | 5,740,027 |
Automobile Components — 1.9% | ||
391,300 | BorgWarner, Inc. | 14,028,105 |
96,655 | Mobileye Global, Inc., Class A(a) | 4,187,095 |
18,215,200 | ||
Automobiles — 1.8% | ||
5,000 | General Motors Co. | 179,600 |
69,146 | Tesla, Inc.(a) | 17,181,398 |
17,360,998 | ||
Banks — 4.6% | ||
721,300 | Bank of America Corp. | 24,286,171 |
69,800 | Citigroup, Inc. | 3,590,512 |
330,000 | Wells Fargo & Co. | 16,242,600 |
44,119,283 | ||
Beverages — 2.2% | ||
12,379 | Boston Beer Co., Inc., Class A(a) | 4,278,059 |
291,915 | Monster Beverage Corp.(a) | 16,817,223 |
21,095,282 | ||
Biotechnology — 2.5% | ||
51,541 | Alnylam Pharmaceuticals, Inc.(a) | 9,865,463 |
58,302 | CRISPR Therapeutics AG(a) | 3,649,705 |
11,925 | Regeneron Pharmaceuticals, Inc.(a) | 10,473,608 |
23,988,776 | ||
Broadline Retail — 4.4% | ||
46,779 | Alibaba Group Holding Ltd., ADR | 3,625,840 |
258,252 | Amazon.com, Inc.(a) | 39,238,809 |
42,864,649 | ||
Building Products — 1.5% | ||
214,800 | Masco Corp. | 14,387,304 |
Capital Markets — 12.2% | ||
294,100 | Bank of New York Mellon Corp. | 15,307,905 |
291,345 | Charles Schwab Corp. | 20,044,536 |
14,248 | FactSet Research Systems, Inc. | 6,797,009 |
36,400 | Goldman Sachs Group, Inc. | 14,042,028 |
175,800 | Intercontinental Exchange, Inc. | 22,577,994 |
322,800 | KKR & Co., Inc. | 26,743,980 |
11,788 | MSCI, Inc. | 6,667,882 |
88,933 | SEI Investments Co. | 5,651,692 |
117,833,026 | ||
Consumer Finance — 5.8% | ||
369,700 | Ally Financial, Inc. | 12,909,924 |
82,400 | American Express Co. | 15,436,816 |
210,985 | Capital One Financial Corp. | 27,664,353 |
56,011,093 | ||
Consumer Staples Distribution & Retail — 1.6% | ||
342,500 | Kroger Co. | 15,655,675 |
Entertainment — 4.3% | ||
40,821 | Netflix, Inc.(a) | 19,874,929 |
116,005 | Walt Disney Co. | 10,474,091 |
990,500 | Warner Bros Discovery, Inc.(a) | 11,271,890 |
41,620,910 |
Shares | Description | Value (†) |
Financial Services — 4.5% | ||
68,566 | Block, Inc.(a) | $5,303,580 |
119,100 | Fiserv, Inc.(a) | 15,821,244 |
64,032 | PayPal Holdings, Inc.(a) | 3,932,205 |
69,844 | Visa, Inc., Class A | 18,183,886 |
43,240,915 | ||
Health Care Equipment & Supplies — 1.2% | ||
194,600 | Baxter International, Inc. | 7,523,236 |
13,411 | Intuitive Surgical, Inc.(a) | 4,524,335 |
12,047,571 | ||
Health Care Providers & Services — 0.8% | ||
28,000 | HCA Healthcare, Inc. | 7,579,040 |
Health Care Technology — 1.4% | ||
217,289 | Doximity, Inc., Class A(a) | 6,092,784 |
38,833 | Veeva Systems, Inc., Class A(a) | 7,476,129 |
13,568,913 | ||
Hotels, Restaurants & Leisure — 1.6% | ||
76,220 | Starbucks Corp. | 7,317,882 |
96,037 | Yum China Holdings, Inc. | 4,074,850 |
30,307 | Yum! Brands, Inc. | 3,959,913 |
15,352,645 | ||
Insurance — 1.7% | ||
69,500 | Willis Towers Watson PLC | 16,763,400 |
Interactive Media & Services — 8.6% | ||
315,765 | Alphabet, Inc., Class A(a) | 44,109,213 |
37,751 | Alphabet, Inc., Class C(a) | 5,320,248 |
95,260 | Meta Platforms, Inc., Class A(a) | 33,718,230 |
83,147,691 | ||
IT Services — 0.8% | ||
93,926 | Shopify, Inc., Class A(a) | 7,316,835 |
Life Sciences Tools & Services — 2.5% | ||
38,556 | Illumina, Inc.(a) | 5,368,537 |
81,700 | IQVIA Holdings, Inc.(a) | 18,903,746 |
24,272,283 | ||
Machinery — 0.3% | ||
7,413 | Deere & Co. | 2,964,236 |
Media — 4.2% | ||
57,710 | Charter Communications, Inc., Class A(a) | 22,430,723 |
401,980 | Comcast Corp., Class A | 17,626,823 |
40,057,546 | ||
Oil, Gas & Consumable Fuels — 5.0% | ||
340,941 | APA Corp. | 12,232,963 |
167,900 | ConocoPhillips | 19,488,153 |
133,538 | EOG Resources, Inc. | 16,151,421 |
47,872,537 | ||
Pharmaceuticals — 1.6% | ||
36,085 | Novartis AG, ADR | 3,643,502 |
73,405 | Novo Nordisk AS, ADR | 7,593,747 |
109,073 | Roche Holding AG, ADR | 3,951,715 |
7,348 | Sandoz Group AG, ADR(a) | 235,210 |
15,424,174 | ||
Real Estate Management & Development — 1.9% | ||
200,000 | CBRE Group, Inc., Class A(a) | 18,618,000 |
Semiconductors & Semiconductor Equipment — 4.9% | ||
92,608 | ARM Holdings PLC, ADR(a) | 6,959,028 |
Shares | Description | Value (†) |
Semiconductors & Semiconductor Equipment — continued | ||
66,100 | NVIDIA Corp. | $32,734,042 |
54,454 | QUALCOMM, Inc. | 7,875,682 |
47,568,752 | ||
Software — 9.2% | ||
55,910 | Autodesk, Inc.(a) | 13,612,967 |
37,254 | Microsoft Corp. | 14,008,994 |
240,582 | Oracle Corp. | 25,364,560 |
98,736 | Salesforce, Inc.(a) | 25,981,391 |
35,974 | Workday, Inc., Class A(a) | 9,930,983 |
88,898,895 | ||
Textiles, Apparel & Luxury Goods — 0.3% | ||
358,058 | Under Armour, Inc., Class A(a) | 3,147,330 |
Tobacco — 1.3% | ||
306,400 | Altria Group, Inc. | 12,360,176 |
Total Common Stocks (Identified Cost $627,240,002) | 941,915,248 |
Principal Amount | ||
Short-Term Investments — 2.3% | ||
$22,287,241 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $22,293,432 on 1/02/2024 collateralized by $19,483,300 U.S. Treasury Note, 0.500% due 4/30/2027 valued at $17,425,184; $5,213,500 U.S. Treasury Note, 4.125% due 9/30/2027 valued at $5,307,928 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $22,287,241) | 22,287,241 |
Total Investments — 99.9% (Identified Cost $649,527,243) | 964,202,489 | |
Other assets less liabilities — 0.1% | 1,258,783 | |
Net Assets — 100.0% | $965,461,272 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Capital Markets | 12.2 % |
Software | 9.2 |
Interactive Media & Services | 8.6 |
Consumer Finance | 5.8 |
Oil, Gas & Consumable Fuels | 5.0 |
Semiconductors & Semiconductor Equipment | 4.9 |
Banks | 4.6 |
Financial Services | 4.5 |
Broadline Retail | 4.4 |
Entertainment | 4.3 |
Media | 4.2 |
Life Sciences Tools & Services | 2.5 |
Biotechnology | 2.5 |
Aerospace & Defense | 2.4 |
Beverages | 2.2 |
Other Investments, less than 2% each | 20.3 |
Short-Term Investments | 2.3 |
Total Investments | 99.9 |
Other assets less liabilities | 0.1 |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 98.7% of Net Assets | ||
Aerospace & Defense — 1.4% | ||
13,580 | Axon Enterprise, Inc.(a) | $3,508,121 |
Banks — 7.7% | ||
88,845 | Bank of NT Butterfield & Son Ltd. | 2,843,929 |
98,920 | Comerica, Inc. | 5,520,725 |
83,790 | Western Alliance Bancorp | 5,512,544 |
122,870 | Zions Bancorp NA | 5,390,307 |
19,267,505 | ||
Building Products — 2.1% | ||
31,530 | Allegion PLC | 3,994,535 |
33,855 | AZEK Co., Inc.(a) | 1,294,954 |
5,289,489 | ||
Capital Markets — 6.1% | ||
20,475 | Ares Management Corp., Class A | 2,434,887 |
9,675 | MSCI, Inc. | 5,472,664 |
44,305 | Nasdaq, Inc. | 2,575,892 |
43,542 | Raymond James Financial, Inc. | 4,854,933 |
15,338,376 | ||
Chemicals — 1.5% | ||
108,855 | Axalta Coating Systems Ltd.(a) | 3,697,804 |
Commercial Services & Supplies — 0.5% | ||
7,580 | Republic Services, Inc. | 1,250,018 |
Communications Equipment — 0.9% | ||
7,265 | Motorola Solutions, Inc. | 2,274,599 |
Construction & Engineering — 2.3% | ||
130,535 | WillScot Mobile Mini Holdings Corp.(a) | 5,808,808 |
Construction Materials — 2.4% | ||
26,675 | Vulcan Materials Co. | 6,055,492 |
Consumer Staples Distribution & Retail — 1.0% | ||
37,585 | Performance Food Group Co.(a) | 2,599,003 |
Containers & Packaging — 2.2% | ||
21,105 | Avery Dennison Corp. | 4,266,587 |
13,010 | Crown Holdings, Inc. | 1,198,091 |
5,464,678 | ||
Electrical Equipment — 5.1% | ||
18,320 | AMETEK, Inc. | 3,020,785 |
3,905 | Hubbell, Inc. | 1,284,472 |
47,750 | nVent Electric PLC | 2,821,547 |
116,295 | Vertiv Holdings Co. | 5,585,649 |
12,712,453 | ||
Electronic Equipment, Instruments & Components — 2.4% | ||
18,605 | CDW Corp. | 4,229,288 |
9,130 | Fabrinet(a) | 1,737,713 |
5,967,001 | ||
Energy Equipment & Services — 2.0% | ||
245,740 | TechnipFMC PLC | 4,949,204 |
Financial Services — 0.9% | ||
24,032 | Apollo Global Management, Inc. | 2,239,542 |
Ground Transportation — 1.0% | ||
5,945 | Saia, Inc.(a) | 2,605,218 |
Health Care Providers & Services — 1.5% | ||
6,115 | Cencora, Inc. | 1,255,899 |
10,510 | Laboratory Corp. of America Holdings | 2,388,818 |
3,644,717 |
Shares | Description | Value (†) |
Independent Power & Renewable Electricity Producers — 1.9% | ||
125,195 | Vistra Corp. | $4,822,511 |
Industrial REITs — 3.4% | ||
46,950 | EastGroup Properties, Inc. | 8,617,203 |
Insurance — 4.0% | ||
16,625 | Allstate Corp. | 2,327,167 |
4,795 | Arthur J Gallagher & Co. | 1,078,300 |
20,015 | First American Financial Corp. | 1,289,766 |
32,560 | Reinsurance Group of America, Inc. | 5,267,557 |
9,962,790 | ||
IT Services — 2.3% | ||
14,355 | MongoDB, Inc.(a) | 5,869,042 |
Life Sciences Tools & Services — 6.5% | ||
21,995 | Agilent Technologies, Inc. | 3,057,965 |
152,505 | Avantor, Inc.(a) | 3,481,689 |
40,920 | Bruker Corp. | 3,006,802 |
28,777 | IQVIA Holdings, Inc.(a) | 6,658,422 |
16,204,878 | ||
Machinery — 2.4% | ||
21,190 | Crane Co. | 2,503,386 |
39,110 | Otis Worldwide Corp. | 3,499,172 |
6,002,558 | ||
Media — 0.4% | ||
7,120 | Nexstar Media Group, Inc. | 1,116,060 |
Metals & Mining — 2.7% | ||
338,115 | Constellium SE(a) | 6,748,775 |
Mortgage Real Estate Investment Trusts (REITs) — 1.7% | ||
402,060 | Rithm Capital Corp. | 4,294,001 |
Oil, Gas & Consumable Fuels — 4.0% | ||
40,055 | Diamondback Energy, Inc. | 6,211,729 |
121,145 | Range Resources Corp. | 3,687,654 |
9,899,383 | ||
Professional Services — 5.3% | ||
15,475 | CACI International, Inc., Class A(a) | 5,011,734 |
10,135 | Equifax, Inc. | 2,506,284 |
69,775 | Maximus, Inc. | 5,851,331 |
13,369,349 | ||
Semiconductors & Semiconductor Equipment — 7.9% | ||
102,110 | Marvell Technology, Inc. | 6,158,254 |
11,860 | Monolithic Power Systems, Inc. | 7,481,051 |
74,140 | ON Semiconductor Corp.(a) | 6,192,914 |
19,832,219 | ||
Software — 1.8% | ||
10,565 | Tyler Technologies, Inc.(a) | 4,417,438 |
Specialized REITs — 4.2% | ||
65,670 | Extra Space Storage, Inc. | 10,528,871 |
Specialty Retail — 4.6% | ||
1,057 | AutoZone, Inc.(a) | 2,732,990 |
49,190 | Floor & Decor Holdings, Inc., Class A(a) | 5,487,636 |
6,950 | Ulta Beauty, Inc.(a) | 3,405,431 |
11,626,057 | ||
Textiles, Apparel & Luxury Goods — 2.4% | ||
98,460 | Skechers USA, Inc., Class A(a) | 6,137,996 |
Shares | Description | Value (†) |
Trading Companies & Distributors — 2.2% | ||
33,225 | SiteOne Landscape Supply, Inc.(a) | $5,399,063 |
Total Common Stocks (Identified Cost $194,166,623) | 247,520,222 |
Principal Amount | ||
Short-Term Investments — 0.7% | ||
$1,751,872 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $1,752,359 on 1/02/2024 collateralized by $1,998,000 U.S. Treasury Note, 0.500% due 4/30/2027 valued at $1,786,942 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,751,872) | 1,751,872 |
Total Investments — 99.4% (Identified Cost $195,918,495) | 249,272,094 | |
Other assets less liabilities — 0.6% | 1,382,155 | |
Net Assets — 100.0% | $250,654,249 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
REITs | Real Estate Investment Trusts |
Semiconductors & Semiconductor Equipment | 7.9 % |
Banks | 7.7 |
Life Sciences Tools & Services | 6.5 |
Capital Markets | 6.1 |
Professional Services | 5.3 |
Electrical Equipment | 5.1 |
Specialty Retail | 4.6 |
Specialized REITs | 4.2 |
Insurance | 4.0 |
Oil, Gas & Consumable Fuels | 4.0 |
Industrial REITs | 3.4 |
Metals & Mining | 2.7 |
Textiles, Apparel & Luxury Goods | 2.4 |
Construction Materials | 2.4 |
Machinery | 2.4 |
Electronic Equipment, Instruments & Components | 2.4 |
IT Services | 2.3 |
Construction & Engineering | 2.3 |
Containers & Packaging | 2.2 |
Trading Companies & Distributors | 2.2 |
Building Products | 2.1 |
Energy Equipment & Services | 2.0 |
Other Investments, less than 2% each | 14.5 |
Short-Term Investments | 0.7 |
Total Investments | 99.4 |
Other assets less liabilities | 0.6 |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 96.1% of Net Assets | ||
Banks — 11.5% | ||
330,155 | Cadence Bank | $9,769,287 |
253,055 | Comerica, Inc. | 14,123,000 |
302,815 | Old National Bancorp | 5,114,545 |
147,025 | Prosperity Bancshares, Inc. | 9,958,003 |
245,585 | United Bankshares, Inc. | 9,221,717 |
222,490 | Western Alliance Bancorp | 14,637,617 |
279,105 | Zions Bancorp NA | 12,244,336 |
75,068,505 | ||
Beverages — 1.3% | ||
9,380 | Coca-Cola Consolidated, Inc. | 8,708,392 |
Building Products — 4.2% | ||
66,080 | AAON, Inc. | 4,881,330 |
74,080 | Advanced Drainage Systems, Inc. | 10,418,611 |
922,530 | Janus International Group, Inc.(a) | 12,039,016 |
27,338,957 | ||
Capital Markets — 2.8% | ||
202,365 | Artisan Partners Asset Management, Inc., Class A | 8,940,486 |
162,465 | Moelis & Co., Class A | 9,119,160 |
18,059,646 | ||
Chemicals — 6.9% | ||
282,280 | Axalta Coating Systems Ltd.(a) | 9,589,051 |
297,805 | Chemours Co. | 9,392,770 |
963,045 | Element Solutions, Inc. | 22,284,861 |
241,725 | Mativ Holdings, Inc. | 3,700,810 |
44,967,492 | ||
Construction & Engineering — 0.7% | ||
20,705 | Valmont Industries, Inc. | 4,834,825 |
Electronic Equipment, Instruments & Components — 7.1% | ||
90,970 | Advanced Energy Industries, Inc. | 9,908,452 |
68,520 | Fabrinet(a) | 13,041,412 |
131,230 | Insight Enterprises, Inc.(a) | 23,252,644 |
46,202,508 | ||
Energy Equipment & Services — 0.9% | ||
573,895 | Patterson-UTI Energy, Inc. | 6,198,066 |
Gas Utilities — 1.6% | ||
164,390 | Spire, Inc. | 10,248,073 |
Ground Transportation — 3.1% | ||
59,780 | Landstar System, Inc. | 11,576,397 |
19,645 | Saia, Inc.(a) | 8,608,832 |
20,185,229 | ||
Health Care Equipment & Supplies — 1.3% | ||
158,320 | Globus Medical, Inc., Class A(a) | 8,436,873 |
Health Care Providers & Services — 1.7% | ||
66,795 | Acadia Healthcare Co., Inc.(a) | 5,193,979 |
61,490 | Amedisys, Inc.(a) | 5,845,240 |
11,039,219 | ||
Hotels, Restaurants & Leisure — 2.6% | ||
301,849 | International Game Technology PLC | 8,273,681 |
160,995 | Red Rock Resorts, Inc., Class A | 8,585,863 |
16,859,544 | ||
Household Durables — 3.8% | ||
78,475 | Installed Building Products, Inc. | 14,346,799 |
143,265 | Skyline Champion Corp.(a) | 10,638,859 |
24,985,658 |
Shares | Description | Value (†) |
Industrial REITs — 1.8% | ||
300,810 | STAG Industrial, Inc. | $11,809,801 |
Insurance — 3.7% | ||
231,170 | First American Financial Corp. | 14,896,595 |
93,445 | Selective Insurance Group, Inc. | 9,295,908 |
24,192,503 | ||
Life Sciences Tools & Services — 1.0% | ||
275,280 | Avantor, Inc.(a) | 6,284,642 |
Machinery — 4.1% | ||
54,440 | Alamo Group, Inc. | 11,442,744 |
72,710 | Federal Signal Corp. | 5,579,765 |
63,630 | Franklin Electric Co., Inc. | 6,149,840 |
16,265 | Watts Water Technologies, Inc., Class A | 3,388,650 |
26,560,999 | ||
Marine Transportation — 1.9% | ||
154,345 | Kirby Corp.(a) | 12,112,996 |
Metals & Mining — 1.0% | ||
51,590 | Materion Corp. | 6,713,407 |
Mortgage Real Estate Investment Trusts (REITs) — 3.1% | ||
845,830 | AGNC Investment Corp. | 8,297,592 |
595,665 | MFA Financial, Inc. | 6,713,145 |
338,125 | PennyMac Mortgage Investment Trust | 5,054,969 |
20,065,706 | ||
Office REITs — 1.0% | ||
350,315 | Equity Commonwealth | 6,726,048 |
Oil, Gas & Consumable Fuels — 5.9% | ||
157,030 | Antero Resources Corp.(a) | 3,561,440 |
49,935 | Chord Energy Corp. | 8,300,695 |
131,520 | Comstock Resources, Inc. | 1,163,952 |
132,640 | Matador Resources Co. | 7,541,911 |
197,900 | Murphy Oil Corp. | 8,442,414 |
673,350 | Permian Resources Corp. | 9,157,560 |
38,167,972 | ||
Personal Care Products — 0.7% | ||
382,805 | Coty, Inc., Class A(a) | 4,754,438 |
Professional Services — 2.9% | ||
102,225 | ASGN, Inc.(a) | 9,830,978 |
133,095 | Kforce, Inc. | 8,991,898 |
18,822,876 | ||
Real Estate Management & Development — 0.3% | ||
174,020 | Cushman & Wakefield PLC(a) | 1,879,416 |
Retail REITs — 1.7% | ||
251,520 | NNN REIT, Inc. | 10,840,512 |
Semiconductors & Semiconductor Equipment — 2.4% | ||
168,105 | Rambus, Inc.(a) | 11,473,166 |
118,780 | Ultra Clean Holdings, Inc.(a) | 4,055,149 |
15,528,315 | ||
Specialized REITs — 1.6% | ||
256,635 | National Storage Affiliates Trust | 10,642,653 |
Specialty Retail — 4.5% | ||
84,480 | Academy Sports & Outdoors, Inc. | 5,575,680 |
143,045 | Foot Locker, Inc. | 4,455,852 |
12,080 | Restoration Hardware, Inc.(a) | 3,521,078 |
84,815 | Signet Jewelers Ltd. | 9,097,257 |
178,350 | Valvoline, Inc.(a) | 6,702,393 |
29,352,260 |
Shares | Description | Value (†) |
Textiles, Apparel & Luxury Goods — 1.1% | ||
224,090 | Gildan Activewear, Inc. | $7,408,415 |
Trading Companies & Distributors — 7.9% | ||
142,630 | Beacon Roofing Supply, Inc.(a) | 12,411,662 |
357,565 | Core & Main, Inc., Class A(a) | 14,449,202 |
89,685 | GATX Corp. | 10,781,931 |
45,515 | McGrath RentCorp | 5,444,504 |
169,142 | Rush Enterprises, Inc., Class A | 8,507,843 |
51,595,142 | ||
Total Common Stocks (Identified Cost $524,545,604) | 626,591,088 |
Principal Amount | ||
Short-Term Investments — 3.4% | ||
$22,593,629 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $22,599,905 on 1/02/2024 collateralized by $22,635,600 U.S. Treasury Note, 4.125% due 9/30/2027 valued at $23,045,580 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $22,593,629) | 22,593,629 |
Total Investments — 99.5% (Identified Cost $547,139,233) | 649,184,717 | |
Other assets less liabilities — 0.5% | 2,947,482 | |
Net Assets — 100.0% | $652,132,199 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
REITs | Real Estate Investment Trusts |
Banks | 11.5 % |
Trading Companies & Distributors | 7.9 |
Electronic Equipment, Instruments & Components | 7.1 |
Chemicals | 6.9 |
Oil, Gas & Consumable Fuels | 5.9 |
Specialty Retail | 4.5 |
Building Products | 4.2 |
Machinery | 4.1 |
Household Durables | 3.8 |
Insurance | 3.7 |
Ground Transportation | 3.1 |
Mortgage Real Estate Investment Trusts (REITs) | 3.1 |
Professional Services | 2.9 |
Capital Markets | 2.8 |
Hotels, Restaurants & Leisure | 2.6 |
Semiconductors & Semiconductor Equipment | 2.4 |
Other Investments, less than 2% each | 19.6 |
Short-Term Investments | 3.4 |
Total Investments | 99.5 |
Other assets less liabilities | 0.5 |
Net Assets | 100.0 % |
Loomis Sayles International Growth Fund | Natixis Oakmark Fund | Natixis Oakmark International Fund | Natixis U.S. Equity Opportunities Fund | |
ASSETS | ||||
Investments at cost | $30,861,766 | $552,842,890 | $352,265,085 | $649,527,243 |
Net unrealized appreciation (depreciation) | (403,550 ) | 82,938,443 | 31,132,251 | 314,675,246 |
Investments at value | 30,458,216 | 635,781,333 | 383,397,336 | 964,202,489 |
Cash | — | — | — | 10,827 |
Foreign currency at value (identified cost $45,561, $0, $836,111 and $51,248, respectively) | 46,094 | — | 834,305 | 51,811 |
Receivable for Fund shares sold | — | 5,092,103 | 920,281 | 1,759,297 |
Receivable for securities sold | 163,098 | — | 425,425 | — |
Dividends and interest receivable | 58,903 | 477,207 | 73,935 | 498,074 |
Tax reclaims receivable | 79,077 | — | 4,399,338 | 411,213 |
Prepaid expenses (Note 7) | 597 | 680 | 681 | 776 |
TOTAL ASSETS | 30,805,985 | 641,351,323 | 390,051,301 | 966,934,487 |
LIABILITIES | ||||
Payable for securities purchased | — | 644,667 | 594,400 | — |
Payable for Fund shares redeemed | — | 1,807,541 | 222,875 | 176,260 |
Foreign taxes payable (Note 2) | — | — | 107,255 | — |
Management fees payable (Note 5) | 12,426 | 246,860 | 127,696 | 539,376 |
Deferred Trustees’ fees (Note 5) | 9,775 | 1,024,399 | 142,334 | 556,155 |
Administrative fees payable (Note 5) | 1,177 | 23,739 | 14,832 | 36,949 |
Payable to distributor (Note 5d) | 40 | 2,925 | 6,453 | 3,642 |
Audit and tax services fees payable | 46,162 | 44,839 | 46,166 | 45,692 |
Other accounts payable and accrued expenses | 12,393 | 64,718 | 156,972 | 115,141 |
TOTAL LIABILITIES | 81,973 | 3,859,688 | 1,418,983 | 1,473,215 |
COMMITMENTS AND CONTINGENCIES(a) | — | — | — | — |
NET ASSETS | $30,724,012 | $637,491,635 | $388,632,318 | $965,461,272 |
NET ASSETS CONSIST OF: | ||||
Paid-in capital | $31,676,318 | $556,982,038 | $501,942,152 | $676,466,555 |
Accumulated earnings (loss) | (952,306 ) | 80,509,597 | (113,309,834 ) | 288,994,717 |
NET ASSETS | $30,724,012 | $637,491,635 | $388,632,318 | $965,461,272 |
Loomis Sayles International Growth Fund | Natixis Oakmark Fund | Natixis Oakmark International Fund | Natixis U.S. Equity Opportunities Fund | |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||||
Class A shares: | ||||
Net assets | $151,029 | $257,097,523 | $142,825,208 | $612,652,913 |
Shares of beneficial interest | 16,025 | 9,438,008 | 9,758,815 | 16,678,300 |
Net asset value and redemption price per share | $9.42 | $27.24 | $14.64 | $36.73 |
Offering price per share (100/94.25 of net asset value) (Note 1) | $9.99 | $28.90 | $15.53 | $38.97 |
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||
Net assets | $943 | $55,880,350 | $28,597,569 | $30,479,092 |
Shares of beneficial interest | 101 | 2,670,897 | 1,983,627 | 2,256,874 |
Net asset value and offering price per share | $9.29 * | $20.92 | $14.42 | $13.51 |
Class N shares: | ||||
Net assets | $25,660,904 | $646,858 | $347,798 | $223,740 |
Shares of beneficial interest | 2,719,459 | 21,830 | 23,873 | 4,594 |
Net asset value, offering and redemption price per share | $9.44 | $29.63 | $14.57 | $48.71 * |
Class Y shares: | ||||
Net assets | $4,911,136 | $323,866,904 | $216,861,743 | $322,105,527 |
Shares of beneficial interest | 520,516 | 10,966,619 | 14,894,215 | 6,635,618 |
Net asset value, offering and redemption price per share | $9.44 | $29.53 | $14.56 | $48.54 |
* | Net asset value calculations have been determined utilizing fractional share and penny amounts. |
(a) | As disclosed in the Notes to Financial Statements, if applicable. |
Vaughan Nelson Mid Cap Fund | Vaughan Nelson Small Cap Value Fund | |
ASSETS | ||
Investments at cost | $195,918,495 | $547,139,233 |
Net unrealized appreciation | 53,353,599 | 102,045,484 |
Investments at value | 249,272,094 | 649,184,717 |
Cash | 18 | 22 |
Receivable for Fund shares sold | 36,995 | 7,867,698 |
Receivable for securities sold | 1,608,967 | — |
Dividends and interest receivable | 296,332 | 1,116,483 |
Prepaid expenses (Note 7) | 651 | 642 |
TOTAL ASSETS | 251,215,057 | 658,169,562 |
LIABILITIES | ||
Payable for securities purchased | — | 4,810,718 |
Payable for Fund shares redeemed | 41,500 | 469,342 |
Management fees payable (Note 5) | 114,069 | 391,104 |
Deferred Trustees’ fees (Note 5) | 309,125 | 244,840 |
Administrative fees payable (Note 5) | 9,640 | 23,400 |
Payable to distributor (Note 5d) | 1,636 | 3,560 |
Audit and tax services fees payable | 45,820 | 44,853 |
Other accounts payable and accrued expenses | 39,018 | 49,546 |
TOTAL LIABILITIES | 560,808 | 6,037,363 |
COMMITMENTS AND CONTINGENCIES(a) | — | — |
NET ASSETS | $250,654,249 | $652,132,199 |
NET ASSETS CONSIST OF: | ||
Paid-in capital | $203,132,962 | $562,435,070 |
Accumulated earnings | 47,521,287 | 89,697,129 |
NET ASSETS | $250,654,249 | $652,132,199 |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||
Class A shares: | ||
Net assets | $38,863,910 | $111,267,651 |
Shares of beneficial interest | 1,707,633 | 5,892,672 |
Net asset value and redemption price per share | $22.76 | $18.88 |
Offering price per share (100/94.25 of net asset value) (Note 1) | $24.15 | $20.03 |
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||
Net assets | $3,650,295 | $7,987,882 |
Shares of beneficial interest | 178,279 | 1,226,614 |
Net asset value and offering price per share | $20.48 | $6.51 |
Class N shares: | ||
Net assets | $63,893,516 | $2,505,673 |
Shares of beneficial interest | 2,763,094 | 124,428 |
Net asset value, offering and redemption price per share | $23.12 | $20.14 |
Class Y shares: | ||
Net assets | $144,246,528 | $530,370,993 |
Shares of beneficial interest | 6,225,637 | 26,372,637 |
Net asset value, offering and redemption price per share | $23.17 | $20.11 |
(a) | As disclosed in the Notes to Financial Statements, if applicable. |
Loomis Sayles International Growth Fund | Natixis Oakmark Fund | Natixis Oakmark International Fund | Natixis U.S. Equity Opportunities Fund | |
INVESTMENT INCOME | ||||
Dividends | $407,463 | $7,869,918 | $12,142,241 | $9,737,327 |
Interest | 15,960 | 636,279 | 289,704 | 561,873 |
Tax reclaims (Note 2e) | — | — | 383,108 | — |
Less net foreign taxes withheld | (51,017 ) | (25,171 ) | (1,335,640 ) | (72,221 ) |
372,406 | 8,481,026 | 11,479,413 | 10,226,979 | |
Expenses | ||||
Management fees (Note 5) | 214,448 | 3,011,450 | 3,024,746 | 5,769,710 |
Service and distribution fees (Note 5) | 356 | 1,069,144 | 695,561 | 1,708,637 |
Administrative fees (Note 5) | 13,245 | 207,874 | 177,532 | 390,705 |
Trustees' fees and expenses (Note 5) | 18,036 | 101,358 | 42,439 | 94,135 |
Transfer agent fees and expenses (Notes 5 and 6) | 8,230 | 371,693 | 656,349 | 568,282 |
Audit and tax services fees | 46,174 | 44,918 | 46,287 | 45,962 |
Custodian fees and expenses | 11,147 | 17,776 | 99,509 | 37,819 |
Legal fees | 1,073 | 15,099 | 13,884 | 29,104 |
Registration fees | 72,710 | 169,767 | 84,515 | 94,080 |
Shareholder reporting expenses | 3,488 | 45,344 | 52,604 | 56,010 |
Tax reclaim professional fees (Note 2e) | — | — | 56,292 | — |
Miscellaneous expenses | 39,265 | 45,249 | 58,391 | 62,188 |
Total expenses | 428,172 | 5,099,672 | 5,008,109 | 8,856,632 |
Less waiver and/or expense reimbursement (Note 5) | (168,153 ) | (439,690 ) | (862,983 ) | (1,225 ) |
Net expenses | 260,019 | 4,659,982 | 4,145,126 | 8,855,407 |
Net investment income | 112,387 | 3,821,044 | 7,334,287 | 1,371,572 |
Net realized and unrealized gain (loss) on Investments and Foreign currency transactions | ||||
Net realized gain (loss) on: | ||||
Investments | 175,783 | 27,353,836 | (7,735,040 ) | 50,772,729 |
Foreign currency transactions (Note 2c) | (356 ) | — | (110,426 ) | (4,268 ) |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 4,973,188 | 89,789,474 | 65,895,034 | 211,746,563 |
Foreign currency translations (Note 2c) | 6,008 | — | 216,425 | 7,060 |
Net realized and unrealized gain on Investments and Foreign currency transactions | 5,154,623 | 117,143,310 | 58,265,993 | 262,522,084 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $5,267,010 | $120,964,354 | $65,600,280 | $263,893,656 |
Vaughan Nelson Mid Cap Fund | Vaughan Nelson Small Cap Value Fund | |
INVESTMENT INCOME | ||
Dividends | $3,203,592 | $6,047,298 |
Interest | 269,434 | 521,605 |
3,473,026 | 6,568,903 | |
Expenses | ||
Management fees (Note 5) | 1,868,542 | 2,975,008 |
Service and distribution fees (Note 5) | 143,949 | 255,499 |
Administrative fees (Note 5) | 115,399 | 162,073 |
Trustees' fees and expenses (Note 5) | 46,293 | 49,765 |
Transfer agent fees and expenses (Notes 5 and 6) | 185,733 | 383,891 |
Audit and tax services fees | 45,834 | 44,901 |
Custodian fees and expenses | 14,282 | 30,986 |
Legal fees | 9,464 | 10,527 |
Registration fees | 66,334 | 169,176 |
Shareholder reporting expenses | 25,070 | 38,344 |
Miscellaneous expenses | 38,654 | 41,281 |
Total expenses | 2,559,554 | 4,161,451 |
Less waiver and/or expense reimbursement (Note 5) | (205,610 ) | (405,973 ) |
Net expenses | 2,353,944 | 3,755,478 |
Net investment income | 1,119,082 | 2,813,425 |
Net realized and unrealized gain (loss) on Investments | ||
Net realized gain (loss) on: | ||
Investments | 19,749,361 | (9,629,084 ) |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 16,342,125 | 96,818,512 |
Net realized and unrealized gain on Investments | 36,091,486 | 87,189,428 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $37,210,568 | $90,002,853 |
Loomis Sayles International Growth Fund | Natixis Oakmark Fund | |||
Year Ended December 31,2023 | Year Ended December 31,2022 | Year Ended December 31,2023 | Year Ended December 31,2022 | |
FROM OPERATIONS: | ||||
Net investment income | $112,387 | $132,158 | $3,821,044 | $2,868,356 |
Net realized gain (loss) on investments and foreign currency transactions | 175,427 | (90,706 ) | 27,353,836 | 42,131,981 |
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | 4,979,196 | (4,318,331 ) | 89,789,474 | (116,959,779 ) |
Net increase (decrease) in net assets resulting from operations | 5,267,010 | (4,276,879 ) | 120,964,354 | (71,959,442 ) |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (506 ) | (565 ) | (8,928,576 ) | (28,746,130 ) |
Class C | — | — | (2,146,898 ) | (9,213,071 ) |
Class N | (157,071 ) | (155,851 ) | (22,322 ) | (73,284 ) |
Class Y | (27,691 ) | (21,469 ) | (11,189,568 ) | (15,943,567 ) |
Total distributions | (185,268 ) | (177,885 ) | (22,287,364 ) | (53,976,052 ) |
NET INCREASE IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 10) | 1,061,444 | 5,709,899 | 190,347,088 | 102,236,626 |
Net increase (decrease) in net assets | 6,143,186 | 1,255,135 | 289,024,078 | (23,698,868 ) |
NET ASSETS | ||||
Beginning of the year | 24,580,826 | 23,325,691 | 348,467,557 | 372,166,425 |
End of the year | $30,724,012 | $24,580,826 | $637,491,635 | $348,467,557 |
Natixis Oakmark International Fund | Natixis U.S. Equity Opportunities Fund | |||
Year Ended December 31,2023 | Year Ended December 31,2022 | Year Ended December 31,2023 | Year Ended December 31,2022 | |
FROM OPERATIONS: | ||||
Net investment income | $7,334,287 | $6,273,158 | $1,371,572 | $1,128,941 |
Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions | (7,845,466 ) | (25,614,988 ) | 50,768,461 | 79,629,441 |
Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and foreign currency translations | 66,111,459 | (63,395,171 ) | 211,753,623 | (306,110,093 ) |
Net increase (decrease) in net assets resulting from operations | 65,600,280 | (82,737,001 ) | 263,893,656 | (225,351,711 ) |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (2,424,146 ) | (2,112,696 ) | (46,461,965 ) | (85,070,822 ) |
Class C | (211,014 ) | (316,972 ) | (5,579,179 ) | (10,955,220 ) |
Class N | (6,886 ) | (4,576 ) | (13,778 ) | (20,693 ) |
Class Y | (4,204,232 ) | (4,025,613 ) | (19,320,721 ) | (26,488,550 ) |
Total distributions | (6,846,278 ) | (6,459,857 ) | (71,375,643 ) | (122,535,285 ) |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 10) | (30,035,491 ) | (86,758,283 ) | 39,116,768 | 5,882,691 |
Net increase (decrease) in net assets | 28,718,511 | (175,955,141 ) | 231,634,781 | (342,004,305 ) |
NET ASSETS | ||||
Beginning of the year | 359,913,807 | 535,868,948 | 733,826,491 | 1,075,830,796 |
End of the year | $388,632,318 | $359,913,807 | $965,461,272 | $733,826,491 |
Vaughan Nelson Mid Cap Fund | Vaughan Nelson Small Cap Value Fund | |||
Year Ended December 31,2023 | Year Ended December 31,2022 | Year Ended December 31,2023 | Year Ended December 31,2022 | |
FROM OPERATIONS: | ||||
Net investment income | $1,119,082 | $2,267,209 | $2,813,425 | $82,819 |
Net realized gain (loss) on investments | 19,749,361 | (21,324,989 ) | (9,629,084 ) | 4,298,905 |
Net change in unrealized appreciation (depreciation) on investments | 16,342,125 | (18,052,025 ) | 96,818,512 | (19,344,302 ) |
Net increase (decrease) in net assets resulting from operations | 37,210,568 | (37,109,805 ) | 90,002,853 | (14,962,578 ) |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (125,295 ) | (1,087,431 ) | (318,831 ) | (3,939,067 ) |
Class C | — | (262,976 ) | (67,551 ) | (240,247 ) |
Class N | (367,799 ) | (2,652,401 ) | (12,034 ) | (77,738 ) |
Class Y | (766,274 ) | (5,985,855 ) | (2,375,163 ) | (5,400,412 ) |
Total distributions | (1,259,368 ) | (9,988,663 ) | (2,773,579 ) | (9,657,464 ) |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 10) | (47,517,639 ) | (58,219,497 ) | 374,368,392 | 65,258,561 |
Net increase (decrease) in net assets | (11,566,439 ) | (105,317,965 ) | 461,597,666 | 40,638,519 |
NET ASSETS | ||||
Beginning of the year | 262,220,688 | 367,538,653 | 190,534,533 | 149,896,014 |
End of the year | $250,654,249 | $262,220,688 | $652,132,199 | $190,534,533 |
Loomis Sayles International Growth Fund—Class A | ||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | |
Net asset value, beginning of the period | $7.84 | $9.57 | $10.13 | $10.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||
Net investment income (loss)(a) | 0.01 | 0.02 | (0.01 ) | 0.01 |
Net realized and unrealized gain (loss) | 1.60 | (1.71 ) | (0.41 ) | 0.13 |
Total from Investment Operations | 1.61 | (1.69 ) | (0.42 ) | 0.14 |
LESS DISTRIBUTIONS FROM: | ||||
Net investment income | (0.03 ) | (0.04 ) | (0.01 ) | (0.01 ) |
Net realized capital gains | — | — | (0.13 ) | — |
Total Distributions | (0.03 ) | (0.04 ) | (0.14 ) | (0.01 ) |
Net asset value, end of the period | $9.42 | $7.84 | $9.57 | $10.13 |
Total return(b)(c) | 20.56 % | (17.71 )% | (4.07 )% | 1.37 %(d) |
RATIOS TO AVERAGE NET ASSETS: | ||||
Net assets, end of the period (000's) | $151 | $125 | $113 | $1 |
Net expenses(e) | 1.20 % | 1.20 % | 1.20 % | 1.20 %(f) |
Gross expenses | 1.87 % | 2.05 % | 2.71 % | 13.05 %(f) |
Net investment income (loss) | 0.12 % | 0.26 % | (0.07 )% | 1.28 %(f) |
Portfolio turnover rate | 5 % | 11 % | 9 % | 1 % |
* | From commencement of operations on December 15, 2020 through December 31, 2020. |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Periods less than one year are not annualized. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Computed on an annualized basis for periods less than one year. |
Loomis Sayles International Growth Fund—Class C | ||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | |
Net asset value, beginning of the period | $7.77 | $9.51 | $10.13 | $10.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||
Net investment income (loss)(a) | (0.06 ) | 0.02 | (0.09 ) | 0.00 (b) |
Net realized and unrealized gain (loss) | 1.58 | (1.76 ) | (0.40 ) | 0.13 |
Total from Investment Operations | 1.52 | (1.74 ) | (0.49 ) | 0.13 |
LESS DISTRIBUTIONS FROM: | ||||
Net investment income | — | — | (0.00 )(b) | (0.00 )(b) |
Net realized capital gains | — | — | (0.13 ) | — |
Total Distributions | — | — | (0.13 ) | (0.00 ) |
Net asset value, end of the period | $9.29 | $7.77 | $9.51 | $10.13 |
Total return(c)(d) | 19.56 % | (18.30 )% | (4.79 )% | 1.33 %(e) |
RATIOS TO AVERAGE NET ASSETS: | ||||
Net assets, end of the period (000's) | $1 | $1 | $38 | $1 |
Net expenses(f) | 1.95 % | 1.95 % | 1.95 % | 1.95 %(g) |
Gross expenses | 2.53 % | 2.79 % | 3.46 % | 13.78 %(g) |
Net investment income (loss) | (0.68 )% | 0.21 % | (0.90 )% | 0.55 %(g) |
Portfolio turnover rate | 5 % | 11 % | 9 % | 1 % |
* | From commencement of operations on December 15, 2020 through December 31, 2020. |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | Periods less than one year are not annualized. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Computed on an annualized basis for periods less than one year. |
Loomis Sayles International Growth Fund—Class N | ||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | |
Net asset value, beginning of the period | $7.85 | $9.58 | $10.13 | $10.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||
Net investment income(a) | 0.04 | 0.05 | 0.03 | 0.01 |
Net realized and unrealized gain (loss) | 1.61 | (1.72 ) | (0.42 ) | 0.13 |
Total from Investment Operations | 1.65 | (1.67 ) | (0.39 ) | 0.14 |
LESS DISTRIBUTIONS FROM: | ||||
Net investment income | (0.06 ) | (0.06 ) | (0.03 ) | (0.01 ) |
Net realized capital gains | — | — | (0.13 ) | — |
Total Distributions | (0.06 ) | (0.06 ) | (0.16 ) | (0.01 ) |
Net asset value, end of the period | $9.44 | $7.85 | $9.58 | $10.13 |
Total return(b) | 20.99 % | (17.47 )% | (3.77 )% | 1.38 %(c) |
RATIOS TO AVERAGE NET ASSETS: | ||||
Net assets, end of the period (000's) | $25,661 | $21,331 | $22,953 | $15,206 |
Net expenses(d) | 0.90 % | 0.90 % | 0.90 % | 0.90 %(e) |
Gross expenses | 1.47 % | 1.67 % | 1.58 % | 6.48 %(e) |
Net investment income | 0.41 % | 0.62 % | 0.29 % | 1.43 %(e) |
Portfolio turnover rate | 5 % | 11 % | 9 % | 1 % |
* | From commencement of operations on December 15, 2020 through December 31, 2020. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
Loomis Sayles International Growth Fund—Class Y | ||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | |
Net asset value, beginning of the period | $7.85 | $9.58 | $10.13 | $10.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||
Net investment income(a) | 0.03 | 0.04 | 0.02 | 0.01 |
Net realized and unrealized gain (loss) | 1.61 | (1.72 ) | (0.41 ) | 0.13 |
Total from Investment Operations | 1.64 | (1.68 ) | (0.39 ) | 0.14 |
LESS DISTRIBUTIONS FROM: | ||||
Net investment income | (0.05 ) | (0.05 ) | (0.03 ) | (0.01 ) |
Net realized capital gains | — | — | (0.13 ) | — |
Total Distributions | (0.05 ) | (0.05 ) | (0.16 ) | (0.01 ) |
Net asset value, end of the period | $9.44 | $7.85 | $9.58 | $10.13 |
Total return(b) | 20.81 % | (17.50 )% | (3.81 )% | 1.38 %(c) |
RATIOS TO AVERAGE NET ASSETS: | ||||
Net assets, end of the period (000's) | $4,911 | $3,124 | $222 | $12 |
Net expenses(d) | 0.95 % | 0.95 % | 0.95 % | 0.95 %(e) |
Gross expenses | 1.62 % | 1.80 % | 2.46 % | 12.58 %(e) |
Net investment income | 0.32 % | 0.47 % | 0.19 % | 1.63 %(e) |
Portfolio turnover rate | 5 % | 11 % | 9 % | 1 % |
* | From commencement of operations on December 15, 2020 through December 31, 2020. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
Natixis Oakmark Fund—Class A | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $21.55 | $29.04 | $23.20 | $22.45 | $19.44 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.20 | 0.17 | 0.07 | 0.11 (b) | 0.18 (c) |
Net realized and unrealized gain (loss) | 6.48 | (4.00 ) | 7.81 | 2.78 | 4.93 |
Total from Investment Operations | 6.68 | (3.83 ) | 7.88 | 2.89 | 5.11 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.16 ) | (0.20 ) | (0.05 ) | (0.12 ) | (0.21 ) |
Net realized capital gains | (0.83 ) | (3.46 ) | (1.99 ) | (2.02 ) | (1.89 ) |
Total Distributions | (0.99 ) | (3.66 ) | (2.04 ) | (2.14 ) | (2.10 ) |
Net asset value, end of the period | $27.24 | $21.55 | $29.04 | $23.20 | $22.45 |
Total return(d) | 30.96 %(e) | (13.30 )%(e) | 33.97 %(e) | 13.01 %(b) | 26.77 %(c) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $257,098 | $192,750 | $222,435 | $170,702 | $181,417 |
Net expenses | 1.05 %(f) | 1.05 %(f) | 1.12 %(f)(g) | 1.20 %(h) | 1.17 % |
Gross expenses | 1.15 % | 1.10 % | 1.14 % | 1.20 %(h) | 1.17 % |
Net investment income | 0.81 % | 0.65 % | 0.25 % | 0.53 %(b) | 0.85 %(c) |
Portfolio turnover rate | 40 % | 69 % | 23 % | 22 % | 15 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.05, total return would have been 12.72% and the ratio of net investment income to average net assets would have been 0.27%. |
(c) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.13, total return would have been 26.50% and the ratio of net investment income to average net assets would have been 0.62%. |
(d) | A sales charge for Class A shares is not reflected in total return calculations. |
(e) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Effective July 1, 2021, the expense limit decreased from 1.30% to 1.05%. |
(h) | Includes refund of prior year service fee of 0.01%. |
Natixis Oakmark Fund—Class C | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $16.74 | $23.50 | $19.17 | $18.92 | $16.66 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income (loss)(a) | 0.01 | (0.02 ) | (0.12 ) | (0.04 )(b) | 0.02 (c) |
Net realized and unrealized gain (loss) | 5.01 | (3.23 ) | 6.44 | 2.31 | 4.20 |
Total from Investment Operations | 5.02 | (3.25 ) | 6.32 | 2.27 | 4.22 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.01 ) | (0.05 ) | (0.00 )(d) | — | (0.07 ) |
Net realized capital gains | (0.83 ) | (3.46 ) | (1.99 ) | (2.02 ) | (1.89 ) |
Total Distributions | (0.84 ) | (3.51 ) | (1.99 ) | (2.02 ) | (1.96 ) |
Net asset value, end of the period | $20.92 | $16.74 | $23.50 | $19.17 | $18.92 |
Total return(e) | 29.99 %(f) | (13.97 )%(f) | 32.99 %(f) | 12.15 %(b) | 25.82 %(c) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $55,880 | $51,987 | $50,042 | $35,940 | $54,384 |
Net expenses | 1.80 %(g) | 1.80 %(g) | 1.87 %(g)(h) | 1.95 % | 1.92 % |
Gross expenses | 1.90 % | 1.85 % | 1.89 % | 1.95 % | 1.92 % |
Net investment income (loss) | 0.05 % | (0.10 )% | (0.49 )% | (0.23 )%(b) | 0.12 %(c) |
Portfolio turnover rate | 40 % | 69 % | 23 % | 22 % | 15 % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.08), total return would have been 11.85% and the ratio of net investment loss to average net assets would have been (0.46)%. |
(c) | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.02), total return would have been 25.50% and the ratio of net investment loss to average net assets would have been (0.12)%. |
(d) | Amount rounds to less than $0.01 per share. |
(e) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(f) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(g) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(h) | Effective July 1, 2021, the expense limit decreased from 2.05% to 1.80%. |
Natixis Oakmark Fund—Class N | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $23.36 | $31.13 | $24.72 | $23.78 | $20.49 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.30 | 0.26 | 0.23 | 0.18 (b) | 0.22 (c) |
Net realized and unrealized gain (loss) | 7.03 | (4.29 ) | 8.31 | 2.98 | 5.25 |
Total from Investment Operations | 7.33 | (4.03 ) | 8.54 | 3.16 | 5.47 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.23 ) | (0.28 ) | (0.14 ) | (0.20 ) | (0.29 ) |
Net realized capital gains | (0.83 ) | (3.46 ) | (1.99 ) | (2.02 ) | (1.89 ) |
Total Distributions | (1.06 ) | (3.74 ) | (2.13 ) | (2.22 ) | (2.18 ) |
Net asset value, end of the period | $29.63 | $23.36 | $31.13 | $24.72 | $23.78 |
Total return(d) | 31.35 % | (13.06 )% | 34.54 % | 13.41 %(b) | 27.16 %(c) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $647 | $517 | $682 | $364 | $801 |
Net expenses(e) | 0.75 % | 0.75 % | 0.80 %(f) | 0.86 % | 0.83 % |
Gross expenses | 1.03 % | 0.93 % | 1.55 % | 1.05 % | 1.25 % |
Net investment income | 1.11 % | 0.93 % | 0.79 % | 0.85 %(b) | 0.93 %(c) |
Portfolio turnover rate | 40 % | 69 % | 23 % | 22 % | 15 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.14, total return would have been 13.13% and the ratio of net investment income to average net assets would have been 0.67%. |
(c) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.22, total return would have been 26.90% and the ratio of net investment income to average net assets would have been 0.92%. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Effective July 1, 2021, the expense limit decreased from 1.00% to 0.75%. |
Natixis Oakmark Fund—Class Y | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $23.29 | $31.04 | $24.68 | $23.75 | $20.46 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.31 | 0.25 | 0.17 | 0.17 (b) | 0.27 (c) |
Net realized and unrealized gain (loss) | 6.98 | (4.28 ) | 8.31 | 2.95 | 5.17 |
Total from Investment Operations | 7.29 | (4.03 ) | 8.48 | 3.12 | 5.44 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.22 ) | (0.26 ) | (0.13 ) | (0.17 ) | (0.26 ) |
Net realized capital gains | (0.83 ) | (3.46 ) | (1.99 ) | (2.02 ) | (1.89 ) |
Total Distributions | (1.05 ) | (3.72 ) | (2.12 ) | (2.19 ) | (2.15 ) |
Net asset value, end of the period | $29.53 | $23.29 | $31.04 | $24.68 | $23.75 |
Total return | 31.28 %(d) | (13.10 )%(d) | 34.35 %(d) | 13.28 %(b) | 27.06 %(c)(d) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $323,867 | $103,213 | $99,008 | $37,595 | $46,836 |
Net expenses | 0.80 %(e) | 0.80 %(e) | 0.86 %(e)(f) | 0.95 % | 0.91 %(e) |
Gross expenses | 0.90 % | 0.85 % | 0.89 % | 0.95 % | 0.92 % |
Net investment income | 1.13 % | 0.89 % | 0.56 % | 0.79 %(b) | 1.16 %(c) |
Portfolio turnover rate | 40 % | 69 % | 23 % | 22 % | 15 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.12, total return would have been 13.00% and the ratio of net investment income to average net assets would have been 0.55%. |
(c) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.20, total return would have been 26.80% and the ratio of net investment income to average net assets would have been 0.90%. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Effective July 1, 2021, the expense limit decreased from 1.05% to 0.80%. |
Natixis Oakmark International Fund—Class A | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $12.52 | $15.15 | $14.15 | $13.63 | $11.29 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income (loss)(a) | 0.26 (b) | 0.19 | 0.27 (c) | (0.00 )(d) | 0.37 (e) |
Net realized and unrealized gain (loss) | 2.11 | (2.60 ) | 0.96 | 0.55 (f) | 2.38 |
Total from Investment Operations | 2.37 | (2.41 ) | 1.23 | 0.55 | 2.75 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.25 ) | (0.22 ) | (0.23 ) | (0.03 ) | (0.41 ) |
Net asset value, end of the period | $14.64 | $12.52 | $15.15 | $14.15 | $13.63 |
Total return(g) | 18.94 %(b)(h) | (15.91 )%(h) | 8.73 %(c)(h) | 4.06 %(h) | 24.35 %(e) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $142,825 | $120,316 | $152,900 | $131,630 | $172,906 |
Net expenses | 1.15 %(i) | 1.15 %(i) | 1.17 %(i)(j) | 1.29 %(i)(k) | 1.29 % |
Gross expenses | 1.37 % | 1.38 % | 1.34 % | 1.36 % | 1.29 % |
Net investment income (loss) | 1.84 %(b) | 1.48 % | 1.73 %(c) | (0.03 )% | 2.91 %(e) |
Portfolio turnover rate | 26 % | 33 % | 37 % | 63 % | 28 % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Includes tax reclaims. Without these, net investment income per share would have been $0.25, total return would have been 18.78% and the ratio of net investment income to average net assets would have been 1.74%. |
(c) | Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.13, total return would have been 7.74% and the ratio of net investment income to average net assets would have been 0.84%. |
(d) | Amount rounds to less than $0.01 per share. |
(e) | Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.29, total return would have been 23.55% and the ratio of net investment income to average net assets would have been 2.26%. |
(f) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(g) | A sales charge for Class A shares is not reflected in total return calculations. |
(h) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(i) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(j) | Effective July 1, 2021, the expense limit decreased from 1.20% to 1.15%. |
(k) | Effective July 1, 2020, the expense limit decreased from 1.37% to 1.20%. |
Natixis Oakmark International Fund—Class C | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $12.31 | $14.86 | $13.85 | $13.41 | $11.11 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income (loss)(a) | 0.16 (b) | 0.10 | 0.13 (c) | (0.08 ) | 0.26 (d) |
Net realized and unrealized gain (loss) | 2.06 | (2.55 ) | 0.97 | 0.52 (e) | 2.34 |
Total from Investment Operations | 2.22 | (2.45 ) | 1.10 | 0.44 | 2.60 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.11 ) | (0.10 ) | (0.09 ) | — | (0.30 ) |
Net asset value, end of the period | $14.42 | $12.31 | $14.86 | $13.85 | $13.41 |
Total return(f) | 18.01 %(b)(g) | (16.50 )%(g) | 7.92 %(c)(g) | 3.28 %(g) | 23.44 %(d) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $28,598 | $39,202 | $69,335 | $96,772 | $179,533 |
Net expenses | 1.90 %(h) | 1.90 %(h) | 1.93 %(h)(i) | 2.05 %(h)(j) | 2.04 % |
Gross expenses | 2.12 % | 2.13 % | 2.09 % | 2.11 % | 2.04 % |
Net investment income (loss) | 1.18 %(b) | 0.78 % | 0.85 %(c) | (0.76 )% | 2.09 %(d) |
Portfolio turnover rate | 26 % | 33 % | 37 % | 63 % | 28 % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Includes tax reclaims. Without these, net investment income per share would have been $0.15, total return would have been 17.85% and the ratio of net investment income to average net assets would have been 1.10%. |
(c) | Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.02, total return would have been 6.98% and the ratio of net investment income to average net assets would have been 0.13%. |
(d) | Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.18, total return would have been 22.63% and the ratio of net investment income to average net assets would have been 1.43%. |
(e) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(f) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(g) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(h) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(i) | Effective July 1, 2021, the expense limit decreased from 1.95% to 1.90%. |
(j) | Effective July 1, 2020, the expense limit decreased from 2.12% to 1.95%. |
Natixis Oakmark International Fund—Class N | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $12.46 | $15.08 | $14.09 | $13.56 | $11.25 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.29 (b) | 0.32 | 0.38 (c) | 0.04 | 0.33 (d) |
Net realized and unrealized gain (loss) | 2.11 | (2.68 ) | 0.89 | 0.56 (e) | 2.45 |
Total from Investment Operations | 2.40 | (2.36 ) | 1.27 | 0.60 | 2.78 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.29 ) | (0.26 ) | (0.28 ) | (0.07 ) | (0.47 ) |
Net asset value, end of the period | $14.57 | $12.46 | $15.08 | $14.09 | $13.56 |
Total return(f) | 19.30 %(b) | (15.65 )% | 9.01 %(c) | 4.44 % | 24.75 %(d) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $348 | $222 | $704 | $290 | $811 |
Net expenses(g) | 0.85 % | 0.85 % | 0.87 %(h) | 0.92 %(i) | 0.94 % |
Gross expenses | 1.44 % | 1.01 % | 1.25 % | 1.17 % | 1.08 % |
Net investment income | 2.08 %(b) | 2.56 % | 2.49 %(c) | 0.37 % | 2.56 %(d) |
Portfolio turnover rate | 26 % | 33 % | 37 % | 63 % | 28 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes tax reclaims. Without these, net investment income per share would have been $0.27, total return would have been 19.14% and the ratio of net investment income to average net assets would have been 1.95%. |
(c) | Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.11, total return would have been 8.09% and the ratio of net investment income to average net assets would have been 0.70%. |
(d) | Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.27, total return would have been 23.94% and the ratio of net investment income to average net assets would have been 2.15%. |
(e) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(f) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(g) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(h) | Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%. |
(i) | Effective July 1, 2020, the expense limit decreased from 1.07% to 0.90%. |
Natixis Oakmark International Fund—Class Y | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $12.45 | $15.07 | $14.08 | $13.56 | $11.25 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.29 (b) | 0.22 | 0.30 (c) | 0.04 | 0.37 (d) |
Net realized and unrealized gain (loss) | 2.11 | (2.58 ) | 0.96 | 0.55 (e) | 2.40 |
Total from Investment Operations | 2.40 | (2.36 ) | 1.26 | 0.59 | 2.77 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.29 ) | (0.26 ) | (0.27 ) | (0.07 ) | (0.46 ) |
Net asset value, end of the period | $14.56 | $12.45 | $15.07 | $14.08 | $13.56 |
Total return | 19.26 %(b)(f) | (15.71 )%(f) | 8.97 %(c)(f) | 4.32 %(f) | 24.64 %(d) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $216,862 | $200,175 | $312,930 | $275,468 | $244,586 |
Net expenses | 0.90 %(g) | 0.90 %(g) | 0.92 %(g)(h) | 1.03 %(g)(i) | 1.04 % |
Gross expenses | 1.12 % | 1.13 % | 1.09 % | 1.11 % | 1.04 % |
Net investment income | 2.08 %(b) | 1.66 % | 1.96 %(c) | 0.41 % | 2.91 %(d) |
Portfolio turnover rate | 26 % | 33 % | 37 % | 63 % | 28 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes tax reclaims. Without these, net investment income per share would have been $0.28, total return would have been 19.18% and the ratio of net investment income to average net assets would have been 1.98%. |
(c) | Includes a non-recurring dividend and tax reclaims. Without these, net investment income per share would have been $0.17, total return would have been 8.04% and the ratio of net investment income to average net assets would have been 1.07%. |
(d) | Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.29, total return would have been 23.84% and the ratio of net investment income to average net assets would have been 2.29%. |
(e) | The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund. |
(f) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(g) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(h) | Effective July 1, 2021, the expense limit decreased from 0.95% to 0.90%. |
(i) | Effective July 1, 2020, the expense limit decreased from 1.12% to 0.95%. |
Natixis U.S. Equity Opportunities Fund—Class A | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $29.01 | $43.12 | $39.04 | $36.53 | $31.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income (loss)(a) | 0.04 | 0.03 | (0.11 ) | (0.05 ) | 0.15 (b) |
Net realized and unrealized gain (loss) | 10.66 | (8.89 ) | 8.99 | 7.66 | 9.34 |
Total from Investment Operations | 10.70 | (8.86 ) | 8.88 | 7.61 | 9.49 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.03 ) | (0.03 ) | — | — | (0.17 ) |
Net realized capital gains | (2.95 ) | (5.22 ) | (4.80 ) | (5.10 ) | (3.79 ) |
Total Distributions | (2.98 ) | (5.25 ) | (4.80 ) | (5.10 ) | (3.96 ) |
Net asset value, end of the period | $36.73 | $29.01 | $43.12 | $39.04 | $36.53 |
Total return(c) | 37.01 % | (21.15 )% | 23.14 % | 22.09 % | 31.03 %(b) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $612,653 | $512,392 | $733,423 | $649,754 | $616,922 |
Net expenses | 1.10 % | 1.12 % | 1.14 % | 1.17 % | 1.17 % |
Gross expenses | 1.10 % | 1.12 % | 1.14 % | 1.17 % | 1.17 % |
Net investment income (loss) | 0.11 % | 0.09 % | (0.25 )% | (0.14 )% | 0.42 %(b) |
Portfolio turnover rate | 36 % | 46 % | 18 % | 26 % | 12 % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.09, total return would have been 30.87% and the ratio of net investment income to average net assets would have been 0.26%. |
(c) | A sales charge for Class A shares is not reflected in total return calculations. |
Natixis U.S. Equity Opportunities Fund—Class C | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $12.12 | $21.82 | $21.89 | $22.65 | $20.42 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment loss(a) | (0.09 ) | (0.12 ) | (0.24 ) | (0.19 ) | (0.07 )(b) |
Net realized and unrealized gain (loss) | 4.43 | (4.36 ) | 4.97 | 4.53 | 6.10 |
Total from Investment Operations | 4.34 | (4.48 ) | 4.73 | 4.34 | 6.03 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | — | — | — | — | (0.01 ) |
Net realized capital gains | (2.95 ) | (5.22 ) | (4.80 ) | (5.10 ) | (3.79 ) |
Total Distributions | (2.95 ) | (5.22 ) | (4.80 ) | (5.10 ) | (3.80 ) |
Net asset value, end of the period | $13.51 | $12.12 | $21.82 | $21.89 | $22.65 |
Total return(c) | 35.98 % | (21.77 )% | 22.27 % | 21.15 % | 30.06 %(b) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $30,479 | $29,356 | $57,492 | $63,126 | $77,924 |
Net expenses | 1.85 % | 1.87 % | 1.89 % | 1.92 % | 1.92 % |
Gross expenses | 1.85 % | 1.87 % | 1.89 % | 1.92 % | 1.92 % |
Net investment loss | (0.64 )% | (0.66 )% | (0.99 )% | (0.87 )% | (0.31 )%(b) |
Portfolio turnover rate | 36 % | 46 % | 18 % | 26 % | 12 % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Includes non-recurring dividends. Without this dividend, net investment loss per share would have been $(0.11), total return would have been 29.85% and the ratio of net investment loss to average net assets would have been (0.48)%. |
(c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
Natixis U.S. Equity Opportunities Fund—Class N | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $37.72 | $54.14 | $47.84 | $43.61 | $36.37 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.20 | 0.18 | 0.03 | 0.13 | 0.19 (b) |
Net realized and unrealized gain (loss) | 13.89 | (11.23 ) | 11.07 | 9.20 | 11.14 |
Total from Investment Operations | 14.09 | (11.05 ) | 11.10 | 9.33 | 11.33 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.15 ) | (0.15 ) | — | — | (0.30 ) |
Net realized capital gains | (2.95 ) | (5.22 ) | (4.80 ) | (5.10 ) | (3.79 ) |
Total Distributions | (3.10 ) | (5.37 ) | (4.80 ) | (5.10 ) | (4.09 ) |
Net asset value, end of the period | $48.71 | $37.72 | $54.14 | $47.84 | $43.61 |
Total return(c) | 37.44 % | (20.88 )% | 23.53 % | 22.48 % | 31.44 %(b) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $224 | $167 | $177 | $172 | $654 |
Net expenses(d) | 0.78 % | 0.81 % | 0.83 % | 0.84 % | 0.83 % |
Gross expenses | 1.39 % | 1.34 % | 1.38 % | 1.13 % | 1.42 % |
Net investment income | 0.43 % | 0.41 % | 0.06 % | 0.31 % | 0.44 %(b) |
Portfolio turnover rate | 36 % | 46 % | 18 % | 26 % | 12 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.19, total return would have been 31.27% and the ratio of net investment income to average net assets would have been 0.44%. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
Natixis U.S. Equity Opportunities Fund—Class Y | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $37.60 | $53.99 | $47.74 | $43.56 | $36.33 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.17 | 0.15 | 0.00 (b) | 0.05 | 0.29 (c) |
Net realized and unrealized gain (loss) | 13.84 | (11.20 ) | 11.05 | 9.23 | 10.99 |
Total from Investment Operations | 14.01 | (11.05 ) | 11.05 | 9.28 | 11.28 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.12 ) | (0.12 ) | — | — | (0.26 ) |
Net realized capital gains | (2.95 ) | (5.22 ) | (4.80 ) | (5.10 ) | (3.79 ) |
Total Distributions | (3.07 ) | (5.34 ) | (4.80 ) | (5.10 ) | (4.05 ) |
Net asset value, end of the period | $48.54 | $37.60 | $53.99 | $47.74 | $43.56 |
Total return | 37.35 % | (20.95 )% | 23.48 % | 22.36 % | 31.36 %(c)(d) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $322,106 | $191,912 | $284,738 | $243,302 | $283,864 |
Net expenses | 0.85 % | 0.87 % | 0.89 % | 0.92 % | 0.91 %(e) |
Gross expenses | 0.85 % | 0.87 % | 0.89 % | 0.92 % | 0.92 % |
Net investment income | 0.37 % | 0.35 % | 0.00 (f) | 0.13 % | 0.69 %(c) |
Portfolio turnover rate | 36 % | 46 % | 18 % | 26 % | 12 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | Includes non-recurring dividends. Without this dividend, net investment income per share would have been $0.22, total return would have been 31.16% and the ratio of net investment income to average net assets would have been 0.53%. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Amount rounds to less than 0.01%. |
Vaughan Nelson Mid Cap Fund—Class A | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $19.64 | $22.70 | $21.79 | $22.42 | $17.37 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.05 | 0.11 | 0.05 | 0.07 | 0.03 |
Net realized and unrealized gain (loss) | 3.14 | (2.53 ) | 4.52 | 1.96 | 5.21 |
Total from Investment Operations | 3.19 | (2.42 ) | 4.57 | 2.03 | 5.24 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.07 ) | (0.13 ) | (0.04 ) | (0.04 ) | (0.02 ) |
Net realized capital gains | — | (0.51 ) | (3.62 ) | (2.62 ) | (0.17 ) |
Total Distributions | (0.07 ) | (0.64 ) | (3.66 ) | (2.66 ) | (0.19 ) |
Net asset value, end of the period | $22.76 | $19.64 | $22.70 | $21.79 | $22.42 |
Total return(b)(c) | 16.26 % | (10.80 )% | 21.32 % | 10.46 % | 30.21 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $38,864 | $33,507 | $37,849 | $30,567 | $33,434 |
Net expenses(d) | 1.15 % | 1.15 % | 1.17 %(e) | 1.20 % | 1.25 %(f)(g) |
Gross expenses | 1.25 % | 1.21 % | 1.23 % | 1.29 % | 1.28 %(g) |
Net investment income | 0.25 % | 0.55 % | 0.22 % | 0.35 % | 0.16 % |
Portfolio turnover rate | 94 % | 53 % | 71 % | 52 % | 52 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | A sales charge for Class A shares is not reflected in total return calculations. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2021, the expense limit decreased from 1.20% to 1.15%. |
(f) | Effective July 1, 2019, the expense limit decreased from 1.40% to 1.20%. |
(g) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.23% and the ratio of gross expenses would have been 1.26%. |
Vaughan Nelson Mid Cap Fund—Class C | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $17.75 | $20.58 | $20.15 | $21.06 | $16.43 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment loss(a) | (0.10 ) | (0.04 ) | (0.13 ) | (0.08 ) | (0.10 ) |
Net realized and unrealized gain (loss) | 2.83 | (2.28 ) | 4.18 | 1.79 | 4.90 |
Total from Investment Operations | 2.73 | (2.32 ) | 4.05 | 1.71 | 4.80 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | — | — | (0.00 )(b) | — | (0.00 )(b) |
Net realized capital gains | — | (0.51 ) | (3.62 ) | (2.62 ) | (0.17 ) |
Total Distributions | — | (0.51 ) | (3.62 ) | (2.62 ) | (0.17 ) |
Net asset value, end of the period | $20.48 | $17.75 | $20.58 | $20.15 | $21.06 |
Total return(c)(d) | 15.38 % | (11.46 )% | 20.44 % | 9.60 % | 29.25 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $3,650 | $7,405 | $11,436 | $14,023 | $21,932 |
Net expenses(e) | 1.90 % | 1.90 % | 1.93 %(f) | 1.95 % | 1.99 %(g)(h) |
Gross expenses | 2.00 % | 1.96 % | 1.98 % | 2.04 % | 2.02 %(h) |
Net investment loss | (0.55 )% | (0.22 )% | (0.56 )% | (0.42 )% | (0.50 )% |
Portfolio turnover rate | 94 % | 53 % | 71 % | 52 % | 52 % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(d) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | Effective July 1, 2021, the expense limit decreased from 1.95% to 1.90%. |
(g) | Effective July 1, 2019, the expense limit decreased from 2.15% to 1.95%. |
(h) | Includes interest expense. Without this expense the ratio of net expenses would have been 1.98% and the ratio of gross expenses would have been 2.01%. |
Vaughan Nelson Mid Cap Fund—Class N | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $19.95 | $23.05 | $22.07 | $22.66 | $17.54 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.11 | 0.17 | 0.14 | 0.13 | 0.11 |
Net realized and unrealized gain (loss) | 3.19 | (2.57 ) | 4.58 | 2.00 | 5.27 |
Total from Investment Operations | 3.30 | (2.40 ) | 4.72 | 2.13 | 5.38 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.13 ) | (0.19 ) | (0.12 ) | (0.10 ) | (0.09 ) |
Net realized capital gains | — | (0.51 ) | (3.62 ) | (2.62 ) | (0.17 ) |
Total Distributions | (0.13 ) | (0.70 ) | (3.74 ) | (2.72 ) | (0.26 ) |
Net asset value, end of the period | $23.12 | $19.95 | $23.05 | $22.07 | $22.66 |
Total return(b) | 16.56 % | (10.54 )% | 21.70 % | 10.83 % | 30.67 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $63,894 | $72,804 | $91,416 | $17,965 | $18,262 |
Net expenses(c) | 0.85 % | 0.85 % | 0.86 %(d) | 0.90 % | 0.92 %(e)(f) |
Gross expenses | 0.90 % | 0.87 % | 0.89 % | 0.94 % | 0.93 %(f) |
Net investment income | 0.55 % | 0.84 % | 0.55 % | 0.65 % | 0.51 % |
Portfolio turnover rate | 94 % | 53 % | 71 % | 52 % | 52 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(d) | Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%. |
(e) | Effective July 1, 2019, the expense limit decreased from 1.10% to 0.90%. |
(f) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.91% and the ratio of gross expenses would have been 0.91%. |
Vaughan Nelson Mid Cap Fund—Class Y | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $19.99 | $23.09 | $22.10 | $22.69 | $17.57 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.10 | 0.16 | 0.11 | 0.12 | 0.10 |
Net realized and unrealized gain (loss) | 3.20 | (2.57 ) | 4.60 | 2.00 | 5.26 |
Total from Investment Operations | 3.30 | (2.41 ) | 4.71 | 2.12 | 5.36 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.12 ) | (0.18 ) | (0.10 ) | (0.09 ) | (0.07 ) |
Net realized capital gains | — | (0.51 ) | (3.62 ) | (2.62 ) | (0.17 ) |
Total Distributions | (0.12 ) | (0.69 ) | (3.72 ) | (2.71 ) | (0.24 ) |
Net asset value, end of the period | $23.17 | $19.99 | $23.09 | $22.10 | $22.69 |
Total return(b) | 16.52 % | (10.58 )% | 21.65 % | 10.76 % | 30.52 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $144,247 | $148,505 | $226,838 | $227,501 | $298,705 |
Net expenses(c) | 0.90 % | 0.90 % | 0.93 %(d) | 0.95 % | 1.00 %(e)(f) |
Gross expenses | 1.00 % | 0.96 % | 0.98 % | 1.04 % | 1.02 %(f) |
Net investment income | 0.49 % | 0.78 % | 0.45 % | 0.60 % | 0.48 % |
Portfolio turnover rate | 94 % | 53 % | 71 % | 52 % | 52 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(d) | Effective July 1, 2021, the expense limit decreased from 0.95% to 0.90%. |
(e) | Effective July 1, 2019, the expense limit decreased from 1.15% to 0.95%. |
(f) | Includes interest expense. Without this expense the ratio of net expenses would have been 0.98% and the ratio of gross expenses would have been 1.01%. |
Vaughan Nelson Small Cap Value Fund—Class A | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $15.17 | $17.87 | $16.69 | $15.45 | $12.48 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income (loss)(a) | 0.09 | (0.02 ) | 0.00 (b)(c) | 0.00 (b) | 0.02 |
Net realized and unrealized gain (loss) | 3.67 | (1.78 ) | 4.98 | 1.33 | 3.06 |
Total from Investment Operations | 3.76 | (1.80 ) | 4.98 | 1.33 | 3.08 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.05 ) | — | (0.01 ) | (0.00 )(b) | (0.03 ) |
Net realized capital gains | — | (0.90 ) | (3.79 ) | (0.09 ) | (0.08 ) |
Total Distributions | (0.05 ) | (0.90 ) | (3.80 ) | (0.09 ) | (0.11 ) |
Net asset value, end of the period | $18.88 | $15.17 | $17.87 | $16.69 | $15.45 |
Total return(d)(e) | 24.82 % | (10.19 )% | 30.24 %(c) | 8.91 % | 24.66 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $111,268 | $66,339 | $81,493 | $61,571 | $67,525 |
Net expenses(f) | 1.25 % | 1.25 % | 1.27 %(g) | 1.32 %(h) | 1.40 %(i) |
Gross expenses | 1.37 % | 1.37 % | 1.43 % | 1.53 % | 1.47 % |
Net investment income (loss) | 0.53 % | (0.12 )% | 0.01 %(c) | 0.02 % | 0.12 % |
Portfolio turnover rate | 72 % | 63 % | 92 % | 105 % | 61 % |
(a) | Per share net investment income (loss) has been calculated using the average shares outstanding during the period. |
(b) | Amount rounds to less than $0.01 per share. |
(c) | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.05), total return would have been 29.95% and the ratio of net investment loss to average net assets would have been (0.25)%. |
(d) | A sales charge for Class A shares is not reflected in total return calculations. |
(e) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Effective July 1, 2021, the expense limit decreased from 1.30% to 1.25%. |
(h) | Effective July 1, 2020, the expense limit decreased from 1.34% to 1.30%. |
(i) | Effective July 1, 2019, the expense limit decreased from 1.45% to 1.34%. |
Vaughan Nelson Small Cap Value Fund—Class C | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $5.30 | $6.94 | $8.34 | $7.84 | $6.41 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment loss(a) | (0.01 ) | (0.04 ) | (0.06 )(b) | (0.05 ) | (0.05 ) |
Net realized and unrealized gain (loss) | 1.28 | (0.70 ) | 2.45 | 0.64 | 1.57 |
Total from Investment Operations | 1.27 | (0.74 ) | 2.39 | 0.59 | 1.52 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.06 ) | — | — | (0.00 )(c) | (0.01 ) |
Net realized capital gains | — | (0.90 ) | (3.79 ) | (0.09 ) | (0.08 ) |
Total Distributions | (0.06 ) | (0.90 ) | (3.79 ) | (0.09 ) | (0.09 ) |
Net asset value, end of the period | $6.51 | $5.30 | $6.94 | $8.34 | $7.84 |
Total return(d)(e) | 23.93 % | (11.01 )% | 29.45 %(b) | 8.08 % | 23.69 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $7,988 | $2,118 | $966 | $983 | $1,450 |
Net expenses(f) | 2.00 % | 2.00 % | 2.03 %(g) | 2.07 %(h) | 2.16 %(i) |
Gross expenses | 2.12 % | 2.12 % | 2.19 % | 2.28 % | 2.23 % |
Net investment loss | (0.14 )% | (0.74 )% | (0.67 )%(b) | (0.71 )% | (0.68 )% |
Portfolio turnover rate | 72 % | 63 % | 92 % | 105 % | 61 % |
(a) | Per share net investment loss has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.10), total return would have been 29.09% and the ratio of net investment loss to average net assets would have been (0.99)%. |
(c) | Amount rounds to less than $0.01 per share. |
(d) | A contingent deferred sales charge for Class C shares is not reflected in total return calculations. |
(e) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(f) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | Effective July 1, 2021, the expense limit decreased from 2.05% to 2.00%. |
(h) | Effective July 1, 2020, the expense limit decreased from 2.09% to 2.05%. |
(i) | Effective July 1, 2019, the expense limit decreased from 2.20% to 2.09%. |
Vaughan Nelson Small Cap Value Fund—Class N | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $16.16 | $18.96 | $17.52 | $16.20 | $13.08 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.15 | 0.04 | 0.01 (b) | 0.04 | 0.08 |
Net realized and unrealized gain (loss) | 3.93 | (1.91 ) | 5.29 | 1.42 | 3.20 |
Total from Investment Operations | 4.08 | (1.87 ) | 5.30 | 1.46 | 3.28 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.10 ) | (0.03 ) | (0.07 ) | (0.05 ) | (0.08 ) |
Net realized capital gains | — | (0.90 ) | (3.79 ) | (0.09 ) | (0.08 ) |
Total Distributions | (0.10 ) | (0.93 ) | (3.86 ) | (0.14 ) | (0.16 ) |
Net asset value, end of the period | $20.14 | $16.16 | $18.96 | $17.52 | $16.20 |
Total return(c) | 25.24 % | (9.95 )% | 30.64 %(b) | 9.27 % | 25.08 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $2,506 | $1,493 | $1,383 | $23 | $21 |
Net expenses(d) | 0.95 % | 0.95 % | 0.97 %(e) | 1.02 %(f) | 1.03 %(g) |
Gross expenses | 1.08 % | 1.10 % | 1.19 % | 6.54 % | 11.80 % |
Net investment income | 0.84 % | 0.22 % | 0.03 %(b) | 0.31 % | 0.52 % |
Portfolio turnover rate | 72 % | 63 % | 92 % | 105 % | 61 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.01, total return would have been 30.37% and the ratio of net investment income to average net assets would have been 0.03%. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2021, the expense limit decreased from 1.00% to 0.95%. |
(f) | Effective July 1, 2020, the expense limit decreased from 1.04% to 1.00%. |
(g) | Effective July 1, 2019, the expense limit decreased from 1.15% to 1.04%. |
Vaughan Nelson Small Cap Value Fund—Class Y | |||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | |
Net asset value, beginning of the period | $16.15 | $18.95 | $17.51 | $16.19 | $13.08 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.16 | 0.04 | 0.06 (b) | 0.04 | 0.05 |
Net realized and unrealized gain (loss) | 3.89 | (1.91 ) | 5.23 | 1.41 | 3.21 |
Total from Investment Operations | 4.05 | (1.87 ) | 5.29 | 1.45 | 3.26 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.09 ) | (0.03 ) | (0.06 ) | (0.04 ) | (0.07 ) |
Net realized capital gains | — | (0.90 ) | (3.79 ) | (0.09 ) | (0.08 ) |
Total Distributions | (0.09 ) | (0.93 ) | (3.85 ) | (0.13 ) | (0.15 ) |
Net asset value, end of the period | $20.11 | $16.15 | $18.95 | $17.51 | $16.19 |
Total return(c) | 25.10 % | (9.98 )% | 30.61 %(b) | 9.23 % | 24.88 % |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $530,371 | $120,585 | $66,054 | $49,315 | $44,482 |
Net expenses(d) | 1.00 % | 1.00 % | 1.02 %(e) | 1.07 %(f) | 1.15 %(g) |
Gross expenses | 1.12 % | 1.12 % | 1.18 % | 1.28 % | 1.23 % |
Net investment income | 0.91 % | 0.22 % | 0.28 %(b) | 0.26 % | 0.35 % |
Portfolio turnover rate | 72 % | 63 % | 92 % | 105 % | 61 % |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.00, total return would have been 30.26% and the ratio of net investment income to average net assets would have been 0.01%. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2021, the expense limit decreased from 1.05% to 1.00%. |
(f) | Effective July 1, 2020, the expense limit decreased from 1.09% to 1.05%. |
(g) | Effective July 1, 2019, the expense limit decreased from 1.20% to 1.09%. |
Loomis Sayles International Growth Fund (“International Growth Fund”)
Natixis Oakmark International Fund
Natixis U.S. Equity Opportunities Fund (“U.S. Equity Opportunities Fund”)
Vaughan Nelson Small Cap Value Fund (“Small Cap Value Fund”)
Natixis Oakmark Fund
Vaughan Nelson Mid Cap Fund (“Mid Cap Fund”)
2023 Distributions | 2022 Distributions | |||||
Fund | Ordinary Income | Long-Term Capital Gains | Total | Ordinary Income | Long-Term Capital Gains | Total |
International Growth Fund | $185,268 | $— | $185,268 | $177,885 | $— | $177,885 |
Natixis Oakmark Fund | 3,814,121 | 18,473,243 | 22,287,364 | 2,835,653 | 51,140,399 | 53,976,052 |
Natixis Oakmark International Fund | 6,846,278 | — | 6,846,278 | 6,459,857 | — | 6,459,857 |
U.S. Equity Opportunities Fund | 26,791,709 | 44,583,934 | 71,375,643 | 1,935,796 | 120,599,489 | 122,535,285 |
Mid Cap Fund | 1,259,368 | — | 1,259,368 | 2,282,950 | 7,705,713 | 9,988,663 |
Small Cap Value Fund | 2,773,579 | — | 2,773,579 | 2,901,818 | 6,755,646 | 9,657,464 |
International Growth Fund | Natixis Oakmark Fund | Natixis Oakmark International Fund | U.S. Equity Opportunities Fund | |
Undistributed ordinary income | $7,408 | $76,898 | $404,419 | $172,594 |
Undistributed long-term capital gains | — | 4,561,834 | — | — |
Total undistributed earnings | 7,408 | 4,638,732 | 404,419 | 172,594 |
Capital loss carryforward: | ||||
Short-term: | ||||
No expiration date | (113,821 ) | — | (9,746,895 ) | — |
Long-term: | ||||
No expiration date | — | — | (125,804,223 ) | — |
Total capital loss carryforward | (113,821 ) | — | (135,551,118 ) | — |
Late-year ordinary and post-October capital loss deferrals* | — | — | — | (17,046,776 ) |
Unrealized appreciation (depreciation) | (836,118 ) | 76,895,264 | 21,979,199 | 306,425,054 |
Total accumulated earnings (losses) | $(942,531 ) | $81,533,996 | $(113,167,500 ) | $289,550,872 |
Mid Cap Fund | Small Cap Value Fund | |
Undistributed ordinary income | $11,282 | $62,501 |
Capital loss carryforward: | ||
Short-term: | ||
No expiration date | (4,503,728 ) | (5,119,417 ) |
Long-term: | ||
No expiration date | — | (3,896,979 ) |
Total capital loss carryforward | (4,503,728 ) | (9,016,396 ) |
Unrealized appreciation | 52,322,858 | 98,895,864 |
Total accumulated earnings | $47,830,412 | $89,941,969 |
* | Under current tax law, net operating losses, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. U.S. Equity Opportunities Fund is deferring capital losses. |
International Growth Fund | Natixis Oakmark Fund | Natixis Oakmark International Fund | U.S. Equity Opportunities Fund | Mid Cap Fund | Small Cap Value Fund | |
Federal tax cost | $31,300,954 | $558,886,069 | $361,130,920 | $657,777,360 | $196,949,236 | $550,288,853 |
Gross tax appreciation | $4,096,930 | $83,242,546 | $56,353,974 | $331,568,527 | $52,638,403 | $102,896,222 |
Gross tax depreciation | (4,939,611 ) | (6,347,282 ) | (34,086,888 ) | (25,143,398 ) | (315,545 ) | (4,000,358 ) |
Net tax appreciation (depreciation) | $(842,681 ) | $76,895,264 | $22,267,086 | $306,425,129 | $52,322,858 | $98,895,864 |
International Growth Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
Australia | $— | $1,350,044 | $— | $1,350,044 |
Belgium | — | 642,576 | — | 642,576 |
China | 4,574,661 | 2,237,142 | — | 6,811,803 |
Denmark | — | 2,112,314 | — | 2,112,314 |
France | — | 1,476,171 | — | 1,476,171 |
Germany | — | 1,064,521 | — | 1,064,521 |
Japan | — | 1,117,814 | — | 1,117,814 |
Macau | — | 246,438 | — | 246,438 |
Netherlands | — | 1,725,988 | — | 1,725,988 |
Switzerland | 566,313 | 959,600 | — | 1,525,913 |
United Kingdom | — | 1,689,531 | — | 1,689,531 |
United States | 3,222,210 | 2,809,754 | — | 6,031,964 |
All Other Common Stocks(a) | 4,179,567 | — | — | 4,179,567 |
Total Common Stocks | 12,542,751 | 17,431,893 | — | 29,974,644 |
Short-Term Investments | — | 483,572 | — | 483,572 |
Total Investments | $12,542,751 | $17,915,465 | $— | $30,458,216 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Natixis Oakmark Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $603,664,726 | $— | $— | $603,664,726 |
Short-Term Investments | — | 32,116,607 | — | 32,116,607 |
Total Investments | $603,664,726 | $32,116,607 | $— | $635,781,333 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Natixis Oakmark International Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
Belgium | $— | $5,196,122 | $— | $5,196,122 |
China | — | 5,252,621 | — | 5,252,621 |
Denmark | — | 4,568,374 | — | 4,568,374 |
France | — | 63,715,373 | — | 63,715,373 |
Germany | — | 99,870,801 | — | 99,870,801 |
India | — | 2,586,988 | — | 2,586,988 |
Indonesia | — | 582,539 | — | 582,539 |
Italy | — | 9,220,187 | — | 9,220,187 |
Japan | — | 13,037,932 | — | 13,037,932 |
Korea | — | 7,480,010 | — | 7,480,010 |
Netherlands | — | 18,212,154 | — | 18,212,154 |
Spain | — | 5,503,685 | — | 5,503,685 |
Sweden | — | 14,757,196 | — | 14,757,196 |
Switzerland | — | 31,230,556 | — | 31,230,556 |
United Kingdom | 3,890,972 | 68,863,505 | — | 72,754,477 |
All Other Common Stocks(a) | 13,057,859 | — | — | 13,057,859 |
Total Common Stocks | 16,948,831 | 350,078,043 | — | 367,026,874 |
Preferred Stocks(a) | — | 6,746,111 | — | 6,746,111 |
Short-Term Investments | — | 9,624,351 | — | 9,624,351 |
Total Investments | $16,948,831 | $366,448,505 | $— | $383,397,336 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
U.S. Equity Opportunities Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $941,915,248 | $— | $— | $941,915,248 |
Short-Term Investments | — | 22,287,241 | — | 22,287,241 |
Total Investments | $941,915,248 | $22,287,241 | $— | $964,202,489 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Mid Cap Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $247,520,222 | $— | $— | $247,520,222 |
Short-Term Investments | — | 1,751,872 | — | 1,751,872 |
Total Investments | $247,520,222 | $1,751,872 | $— | $249,272,094 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Small Cap Value Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks(a) | $626,591,088 | $— | $— | $626,591,088 |
Short-Term Investments | — | 22,593,629 | — | 22,593,629 |
Total Investments | $626,591,088 | $22,593,629 | $— | $649,184,717 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Fund | Purchases | Sales |
International Growth Fund | $2,394,395 | $1,519,247 |
Natixis Oakmark Fund | 320,776,587 | 170,887,787 |
Natixis Oakmark International Fund | 97,104,753 | 130,320,440 |
U.S. Equity Opportunities Fund | 292,596,770 | 342,594,599 |
Mid Cap Fund | 223,902,210 | 268,498,381 |
Small Cap Value Fund | 604,428,522 | 240,083,388 |
Under the terms of the management agreement, International Growth Fund pays a management fee at the annual rate of 0.75%, calculated daily and payable monthly, based on the Fund’s average daily net assets.
Natixis Advisors, LLC (“Natixis Advisors”) serves as investment adviser to Natixis Oakmark Fund, Natixis Oakmark International Fund, U.S. Equity Opportunities Fund, Mid Cap Fund and Small Cap Value Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:
Percentage of Average Daily Net Assets | ||||||
Fund | First $150 million | Next $50 million | Next $300 million | Next $500 million | Next $500 million | Over $1.5 billion |
Natixis Oakmark Fund | 0.70 % | 0.70 % | 0.65 % | 0.60 % | 0.60 % | 0.60 % |
Natixis Oakmark International Fund | 0.85 % | 0.75 % | 0.75 % | 0.75 % | 0.70 % | 0.70 % |
U.S. Equity Opportunities Fund | 0.67 % | 0.67 % | 0.67 % | 0.67 % | 0.67 % | 0.67 % |
Mid Cap Fund | 0.75 % | 0.75 % | 0.75 % | 0.75 % | 0.75 % | 0.70 % |
Small Cap Value Fund | 0.85 % | 0.85 % | 0.85 % | 0.85 % | 0.85 % | 0.85 % |
Natixis Oakmark Fund | Harris Associates L.P. (“Harris”) |
Natixis Oakmark International Fund | Harris |
U.S. Equity Opportunities Fund | Harris Loomis Sayles |
Mid Cap Fund | Vaughan Nelson Investment Management, L.P. (“Vaughan Nelson”) |
Small Cap Value Fund | Vaughan Nelson |
Percentage of Average Daily Net Assets | ||||||
Fund | Subadviser | First $150 million | Next $50 million | Next $800 million | Next $500 million | Over $1.5 billion |
Natixis Oakmark Fund | Harris | 0.52 % | 0.52 % | 0.50 % | 0.50 % | 0.50 % |
Natixis Oakmark International Fund | Harris | 0.60 % | 0.50 % | 0.50 % | 0.45 % | 0.45 % |
U.S. Equity Opportunities Fund | ||||||
Large Cap Value Segment | Harris | 0.51 % | 0.51 % | 0.51 % | 0.51 % | 0.51 % |
All Cap Growth Segment | Loomis Sayles | 0.35 % | 0.35 % | 0.35 % | 0.35 % | 0.35 % |
Mid Cap Fund | Vaughan Nelson | 0.47 % | 0.47 % | 0.47 % | 0.47 % | 0.44 % |
Small Cap Value Fund | Vaughan Nelson | 0.52 % | 0.52 % | 0.52 % | 0.52 % | 0.52 % |
Percentage of Average Daily Net Assets | ||||||
Fund | Subadviser | First $150 million | Next $50 million | Next $800 million | Next $500 million | Over $1.5 billion |
U.S. Equity Opportunities Fund | ||||||
Large Cap Value Segment | Harris | 0.52 % | 0.52 % | 0.52 % | 0.52 % | 0.52 % |
Expense Limit as a Percentage of Average Daily Net Assets | ||||
Fund | Class A | Class C | Class N | Class Y |
International Growth Fund | 1.20 % | 1.95 % | 0.90 % | 0.95 % |
Natixis Oakmark Fund | 1.05 % | 1.80 % | 0.75 % | 0.80 % |
Natixis Oakmark International Fund | 1.15 % | 1.90 % | 0.85 % | 0.90 % |
U.S. Equity Opportunities Fund | 1.12 % | 1.87 % | 0.82 % | 0.87 % |
Mid Cap Fund | 1.15 % | 1.90 % | 0.85 % | 0.90 % |
Small Cap Value Fund | 1.25 % | 2.00 % | 0.95 % | 1.00 % |
Expense Limit as a Percentage of Average Daily Net Assets | ||||
Fund | Class A | Class C | Class N | Class Y |
U.S. Equity Opportunities Fund | 1.15 % | 1.90 % | 0.85 % | 0.90 % |
Gross Management Fees | Contractual Waivers of Management Fees1 | Net Management Fees | Percentage of Average Daily Net Assets | ||
Fund | Gross | Net | |||
International Growth Fund | $214,448 | $166,923 | $47,525 | 0.75 % | 0.17 % |
Natixis Oakmark Fund | 3,011,450 | 438,455 | 2,572,995 | 0.67 % | 0.57 % |
Natixis Oakmark International Fund | 3,024,746 | 861,715 | 2,163,031 | 0.79 % | 0.56 % |
U.S. Equity Opportunities Fund | 5,769,710 | — | 5,769,710 | 0.68 % | 0.68 % |
Mid Cap Fund | 1,868,542 | 204,159 | 1,664,383 | 0.75 % | 0.67 % |
Small Cap Value Fund | 2,975,008 | 404,650 | 2,570,358 | 0.85 % | 0.73 % |
1 | Management fee waivers are subject to possible recovery until December 31, 2024. |
Service Fees | Distribution Fees | |||
Fund | Class A | Class C | Class C | |
International Growth Fund | $348 | $2 | $6 | |
Natixis Oakmark Fund | 548,432 | 130,178 | 390,534 | |
Natixis Oakmark International Fund | 343,505 | 88,014 | 264,042 | |
U.S. Equity Opportunities Fund | 1,409,846 | 74,698 | 224,093 | |
Mid Cap Fund | 85,732 | 14,555 | 43,662 | |
Small Cap Value Fund | 211,518 | 10,995 | 32,986 |
Fund | Administrative Fees |
International Growth Fund | $13,245 |
Natixis Oakmark Fund | 207,874 |
Natixis Oakmark International Fund | 177,532 |
U.S. Equity Opportunities Fund | 390,705 |
Mid Cap Fund | 115,399 |
Small Cap Value Fund | 162,073 |
Fund | Sub-Transfer Agent Fees |
International Growth Fund | $3,313 |
Natixis Oakmark Fund | 242,490 |
Natixis Oakmark International Fund | 622,046 |
U.S. Equity Opportunities Fund | 309,326 |
Mid Cap Fund | 163,466 |
Small Cap Value Fund | 307,272 |
Fund | Reimbursements of Sub-Transfer Agent Fees |
International Growth Fund | $40 |
Natixis Oakmark Fund | 2,925 |
Natixis Oakmark International Fund | 6,453 |
U.S. Equity Opportunities Fund | 3,642 |
Mid Cap Fund | 1,636 |
Small Cap Value Fund | 3,560 |
Fund | Commissions |
Natixis Oakmark Fund | $54,583 |
Natixis Oakmark International Fund | 6,519 |
U.S. Equity Opportunities Fund | 15,650 |
Mid Cap Fund | 929 |
Small Cap Value Fund | 9,098 |
Reimbursement of Transfer Agency Expenses | |
Fund | Class N |
International Growth Fund | $1,230 |
Natixis Oakmark Fund | 1,235 |
Natixis Oakmark International Fund | 1,268 |
U.S. Equity Opportunities Fund | 1,225 |
Mid Cap Fund | 1,451 |
Small Cap Value Fund | 1,323 |
Transfer Agent Fees and Expenses | ||||
Fund | Class A | Class C | Class N | Class Y |
International Growth Fund | $209 | $1 | $1,230 | $6,790 |
Natixis Oakmark Fund | 182,383 | 43,516 | 1,235 | 144,559 |
Natixis Oakmark International Fund | 235,089 | 60,050 | 1,268 | 359,942 |
U.S. Equity Opportunities Fund | 380,369 | 20,209 | 1,225 | 166,479 |
Mid Cap Fund | 34,484 | 5,850 | 1,451 | 143,948 |
Small Cap Value Fund | 91,425 | 4,845 | 1,323 | 286,298 |
Fund | Number of 5% Account Holders | Percentage of Ownership |
Natixis Oakmark Fund | 1 | 6.68 % |
Natixis Oakmark International Fund | 1 | 23.83 % |
U.S. Equity Opportunities Fund | 1 | 6.59 % |
Mid Cap Fund | 2 | 23.77 % |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
International Growth Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 2,503 | $21,700 | 4,118 | $33,249 |
Issued in connection with the reinvestment of distributions | 54 | 506 | 71 | 565 |
Redeemed | (2,485 ) | (22,346 ) | — | — |
Net change | 72 | $(140 ) | 4,189 | $33,814 |
Class C | ||||
Redeemed | — | $— | (3,928 ) | $(33,853 ) |
Net change | — | $— | (3,928 ) | $(33,853 ) |
Class N | ||||
Issued from the sale of shares | — | $— | 319,693 | $2,500,000 |
Issued in connection with the reinvestment of distributions | 1,970 | 18,612 | 2,314 | 18,351 |
Net change | 1,970 | $18,612 | 322,007 | $2,518,351 |
Class Y | ||||
Issued from the sale of shares | 119,836 | $1,017,450 | 374,914 | $3,190,418 |
Issued in connection with the reinvestment of distributions | 2,930 | 27,691 | 2,707 | 21,469 |
Redeemed | (246 ) | (2,169 ) | (2,822 ) | (20,300 ) |
Net change | 122,520 | $1,042,972 | 374,799 | $3,191,587 |
Increase from capital share transactions | 124,562 | $1,061,444 | 697,067 | $5,709,899 |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Natixis Oakmark Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 1,386,710 | $35,188,050 | 1,251,455 | $32,636,811 |
Issued in connection with the reinvestment of distributions | 293,448 | 8,029,053 | 1,168,653 | 25,751,399 |
Redeemed | (1,187,356 ) | (29,357,878 ) | (1,134,294 ) | (28,656,218 ) |
Net change | 492,802 | $13,859,225 | 1,285,814 | $29,731,992 |
Class C | ||||
Issued from the sale of shares | 528,152 | $10,385,091 | 1,217,488 | $26,738,602 |
Issued in connection with the reinvestment of distributions | 93,146 | 1,956,916 | 492,676 | 8,476,261 |
Redeemed | (1,055,818 ) | (19,902,093 ) | (734,433 ) | (14,940,011 ) |
Net change | (434,520 ) | $(7,560,086 ) | 975,731 | $20,274,852 |
Class N | ||||
Issued from the sale of shares | 288 | $7,742 | 58 | $1,547 |
Issued in connection with the reinvestment of distributions | 750 | 22,322 | 3,064 | 73,284 |
Redeemed | (1,348 ) | (36,140 ) | (2,888 ) | (81,794 ) |
Net change | (310 ) | $(6,076 ) | 234 | $(6,963 ) |
Class Y | ||||
Issued from the sale of shares | 9,451,057 | $262,547,873 | 6,361,056 | $191,465,914 |
Issued in connection with the reinvestment of distributions | 365,614 | 10,843,953 | 638,488 | 15,388,143 |
Redeemed | (3,282,300 ) | (89,337,801 ) | (5,757,253 ) | (154,617,312 ) |
Net change | 6,534,371 | $184,054,025 | 1,242,291 | $52,236,745 |
Increase from capital share transactions | 6,592,343 | $190,347,088 | 3,504,070 | $102,236,626 |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Natixis Oakmark International Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 1,688,085 | $24,175,449 | 2,081,450 | $27,188,627 |
Issued in connection with the reinvestment of distributions | 108,110 | 1,581,529 | 108,247 | 1,369,329 |
Redeemed | (1,648,201 ) | (23,381,209 ) | (2,674,538 ) | (34,233,303 ) |
Net change | 147,994 | $2,375,769 | (484,841 ) | $(5,675,347 ) |
Class C | ||||
Issued from the sale of shares | 71,240 | $1,010,015 | 146,028 | $1,872,215 |
Issued in connection with the reinvestment of distributions | 13,933 | 200,718 | 23,961 | 297,840 |
Redeemed | (1,287,224 ) | (17,896,948 ) | (1,650,271 ) | (21,038,433 ) |
Net change | (1,202,051 ) | $(16,686,215 ) | (1,480,282 ) | $(18,868,378 ) |
Class N | ||||
Issued from the sale of shares | 11,185 | $143,685 | 145,580 | $2,017,090 |
Issued in connection with the reinvestment of distributions | 470 | 6,845 | 363 | 4,576 |
Redeemed | (5,566 ) | (78,203 ) | (174,806 ) | (2,201,343 ) |
Net change | 6,089 | $72,327 | (28,863 ) | $(179,677 ) |
Class Y | ||||
Issued from the sale of shares | 3,217,650 | $45,697,023 | 7,667,504 | $104,077,801 |
Issued in connection with the reinvestment of distributions | 275,316 | 4,005,582 | 303,265 | 3,815,073 |
Redeemed | (4,671,698 ) | (65,499,977 ) | (12,663,967 ) | (169,927,755 ) |
Net change | (1,178,732 ) | $(15,797,372 ) | (4,693,198 ) | $(62,034,881 ) |
Decrease from capital share transactions | (2,226,700 ) | $(30,035,491 ) | (6,687,184 ) | $(86,758,283 ) |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
U.S. Equity Opportunities Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 678,253 | $23,509,035 | 682,513 | $23,765,153 |
Issued in connection with the reinvestment of distributions | 1,204,004 | 43,870,647 | 2,458,392 | 77,467,012 |
Redeemed | (2,864,385 ) | (97,156,248 ) | (2,488,264 ) | (85,464,740 ) |
Net change | (982,128 ) | $(29,776,566 ) | 652,641 | $15,767,425 |
Class C | ||||
Issued from the sale of shares | 227,231 | $3,297,014 | 188,655 | $3,147,013 |
Issued in connection with the reinvestment of distributions | 391,003 | 5,254,512 | 731,774 | 10,169,356 |
Redeemed | (782,585 ) | (11,000,049 ) | (1,134,470 ) | (19,010,339 ) |
Net change | (164,351 ) | $(2,448,523 ) | (214,041 ) | $(5,693,970 ) |
Class N | ||||
Issued from the sale of shares | — | $— | 721 | $30,208 |
Issued in connection with the reinvestment of distributions | 285 | 13,778 | 516 | 20,693 |
Redeemed | (129 ) | (6,250 ) | (72 ) | (2,729 ) |
Net change | 156 | $7,528 | 1,165 | $48,172 |
Class Y | ||||
Issued from the sale of shares | 2,819,571 | $126,397,035 | 1,826,215 | $81,090,815 |
Issued in connection with the reinvestment of distributions | 289,349 | 13,935,793 | 558,904 | 22,817,734 |
Redeemed | (1,576,769 ) | (68,998,499 ) | (2,555,340 ) | (108,147,485 ) |
Net change | 1,532,151 | $71,334,329 | (170,221 ) | $(4,238,936 ) |
Increase from capital share transactions | 385,828 | $39,116,768 | 269,544 | $5,882,691 |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Mid Cap Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 258,724 | $5,272,975 | 254,188 | $5,207,282 |
Issued in connection with the reinvestment of distributions | 5,113 | 115,653 | 47,991 | 1,002,920 |
Redeemed | (262,211 ) | (5,316,615 ) | (263,346 ) | (5,258,953 ) |
Net change | 1,626 | $72,013 | 38,833 | $951,249 |
Class C | ||||
Issued from the sale of shares | 9,970 | $179,835 | 41,957 | $749,400 |
Issued in connection with the reinvestment of distributions | — | — | 13,437 | 257,591 |
Redeemed | (248,936 ) | (4,556,274 ) | (193,780 ) | (3,552,548 ) |
Net change | (238,966 ) | $(4,376,439 ) | (138,386 ) | $(2,545,557 ) |
Class N | ||||
Issued from the sale of shares | 187,046 | $3,875,585 | 157,734 | $3,317,147 |
Issued in connection with the reinvestment of distributions | 15,982 | 367,265 | 125,027 | 2,643,594 |
Redeemed | (1,089,884 ) | (22,347,940 ) | (599,530 ) | (12,583,501 ) |
Net change | (886,856 ) | $(18,105,090 ) | (316,769 ) | $(6,622,760 ) |
Class Y | ||||
Issued from the sale of shares | 829,941 | $17,124,756 | 994,932 | $20,936,431 |
Issued in connection with the reinvestment of distributions | 32,188 | 741,295 | 271,832 | 5,776,106 |
Redeemed | (2,066,677 ) | (42,974,174 ) | (3,661,665 ) | (76,714,966 ) |
Net change | (1,204,548 ) | $(25,108,123 ) | (2,394,901 ) | $(50,002,429 ) |
Decrease from capital share transactions | (2,328,744 ) | $(47,517,639 ) | (2,811,223 ) | $(58,219,497 ) |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Small Cap Value Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 2,230,090 | $37,758,332 | 294,742 | $4,937,363 |
Issued in connection with the reinvestment of distributions | 16,125 | 304,663 | 238,814 | 3,785,851 |
Redeemed | (725,916 ) | (11,990,865 ) | (720,255 ) | (11,602,583 ) |
Net change | 1,520,299 | $26,072,130 | (186,699 ) | $(2,879,369 ) |
Class C | ||||
Issued from the sale of shares | 928,672 | $5,506,114 | 269,996 | $1,616,908 |
Issued in connection with the reinvestment of distributions | 10,392 | 67,551 | 43,643 | 240,247 |
Redeemed | (111,787 ) | (644,754 ) | (53,628 ) | (323,660 ) |
Net change | 827,277 | $4,928,911 | 260,011 | $1,533,495 |
Class N | ||||
Issued from the sale of shares | 34,826 | $619,155 | 16,766 | $293,058 |
Issued in connection with the reinvestment of distributions | 599 | 12,034 | 4,642 | 77,738 |
Redeemed | (3,357 ) | (58,720 ) | (1,959 ) | (31,168 ) |
Net change | 32,068 | $572,469 | 19,449 | $339,628 |
Class Y | ||||
Issued from the sale of shares | 23,399,247 | $422,571,046 | 5,751,752 | $96,719,232 |
Issued in connection with the reinvestment of distributions | 114,571 | 2,299,448 | 313,912 | 5,212,202 |
Redeemed | (4,609,145 ) | (82,075,612 ) | (2,083,989 ) | (35,666,627 ) |
Net change | 18,904,673 | $342,794,882 | 3,981,675 | $66,264,807 |
Increase from capital share transactions | 21,284,317 | $374,368,392 | 4,074,436 | $65,258,561 |
Boston, Massachusetts
February 22, 2024
Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:
Fund | Qualifying Percentage |
International Growth Fund | 4.26 % |
Natixis Oakmark Fund | 100.00 % |
U.S. Equity Opportunities Fund | 33.79 % |
Mid Cap Fund | 100.00 % |
Small Cap Value Fund | 100.00 % |
Fund | Qualifying Percentage |
International Growth Fund | 100.00 % |
Natixis Oakmark Fund | 100.00 % |
Natixis Oakmark International Fund | 100.00 % |
U.S. Equity Opportunities Fund | 34.61 % |
Mid Cap Fund | 100.00 % |
Small Cap Value Fund | 100.00 % |
Fund | Amount |
Natixis Oakmark Fund | $18,473,243 |
U.S. Equity Opportunities Fund | 44,583,934 |
Fund | Foreign-Tax Credit Pass-Through | Foreign Source Income |
International Growth Fund | $45,364 | $470,047 |
Natixis Oakmark International Fund | 212,801 | 12,142,241 |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees | ||||
Edmond J. English (1953) | Trustee since 2013 Contract Review Committee Member | Executive Chairman of Bob’s Discount Furniture (retail) | 51 Director, Burlington Stores, Inc. (retail); Director, Rue La La (e-commerce retail) | Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) |
Richard A. Goglia (1951) | Trustee since 2015 Chairperson of the Audit Committee | Retired | 51 Formerly, Director of Triumph Group (aerospace industry) | Significant experience on the Board and executive experience (including his role as Vice President and treasurer of a defense company and experience at a financial services company) |
Martin T. Meehan (1956) | Trustee since 2012 Chairperson of the Governance Committee and Contract Review Committee Member | President, University of Massachusetts | 51 None | Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience |
Maureen B. Mitchell (1951) | Trustee since 2017 Chairperson of the Contract Review Committee | Retired | 51 Director, Sterling Bancorp (bank) | Significant experience on the Board; financial services industry and executive experience (including role as President of global sales and marketing at a financial services company) |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees − continued | ||||
James P. Palermo (1955) | Trustee since 2016 Audit Committee Member and Governance Committee Member | Founding Partner, Breton Capital Management, LLC (private equity); formerly, Partner, STEP Partners, LLC (private equity) | 51 Director, Candidly (chemicals and biofuels) | Significant experience on the Board; financial services industry and executive experience (including roles as Chief Executive Officer of client management and asset servicing for a banking and financial services company) |
Erik R. Sirri (1958) | Chairperson of the Board of Trustees since 2021 Trustee since 2009 Ex Officio Member of the Audit Committee, Contract Review Committee and Governance Committee | Retired; formerly, Professor of Finance at Babson College | 51 None | Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist |
Peter J. Smail (1952) | Trustee since 2009 Contract Review Committee Member | Retired | 51 None | Significant experience on the Board; mutual fund industry and executive experience (including roles as President and Chief Executive Officer for an investment adviser) |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees − continued | ||||
Kirk A. Sykes (1958) | Trustee since 2019 Audit Committee Member and Governance Committee Member | Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance) | 51 Advisor/Risk Management Committee, Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust); formerly, Director, Ares Commercial Real Estate Corporation (real estate investment trust) | Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) |
Cynthia L. Walker (1956) | Trustee since 2005 Audit Committee and Governance Committee Member | Retired; formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine | 51 None | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) |
Interested Trustees | ||||
Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 | Trustee since 2015 | President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P. | 51 None | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
Name and Year of Birth | Position(s) Held with the Trusts, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Interested Trustees − continued | ||||
David L. Giunta4 (1965) | Trustee since 2011 President and Chief Executive Officer of Natixis Funds Trust I and Natixis Funds Trust II since 2008; President of Loomis Sayles Funds II since 2008; Chief Executive Officer of Loomis Sayles Funds II since 2015 | President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC | 51 None | Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC |
1 | Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. |
2 | The Trustees of the Trusts serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”). |
3 | Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
4 | Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC. |
Name and Year of Birth | Position(s) Held with the Trusts | Term of Office1 and Length of Time Served | Principal Occupation(s) During Past 5 Years2 |
Officers of the Trusts | |||
Matthew J. Block (1981) | Treasurer, Principal Financial and Accounting Officer | Since 2022 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Assistant Treasurer of the Fund Complex |
Susan McWhan Tobin (1963) | Secretary and Chief Legal Officer | Since 2022 | Executive Vice President, General Counsel and Secretary, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Executive Vice President and Chief Compliance Officer of Natixis Investment Managers (March 2019 – May 2022) and Senior Vice President and Head of Compliance, U.S. for Natixis Investment Managers (July 2011 – March 2019) |
Natalie R. Wagner (1979) | Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer | Since 2021 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group |
1 | Each officer of the Trusts serves for an indefinite term in accordance with the Trusts' current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC, Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity. |
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Natixis Advisors, LLC
888 Boylston Street, Suite 800
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Exp. 3/1/20256255481.1.1EF58A-1223
(b) | Not Applicable. |
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the Registrant has established an audit committee. Mr. Richard A. Goglia, Mr. James P. Palermo, Mr. Kirk A. Sykes and Ms. Cynthia L. Walker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.
Item 4. Principal Accountant Fees and Services.
Fees billed by the Principal Accountant for services rendered to the Registrant.
The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services reported as a part of (a) through (c) of this Item.
Audit fees | Audit-related fees1 | Tax fees2 | All other fees | |||||||||||||||||||||||||||||
1/1/22- 12/31/22 | 1/1/23- 12/31/23 | 1/1/22- 12/31/22 | 1/1/23- 12/31/23 | 1/1/22- 12/31/22 | 1/1/23- 12/31/23 | 1/1/22- 12/31/22 | 1/1/23- 12/31/23 | |||||||||||||||||||||||||
Natixis Funds Trust II (except Loomis Sayles Global Growth Fund, Loomis Sayles Senior Floating Rate and Fixed Income Fund and Vaughan Nelson Select Fund) | $ | 278,606 | $ | 155,379 | $ | 1,166 | $ | 29,017 | $ | 79,885 | $ | 30,482 | $ | — | $ | — |
1. | Audit-related fees consist of: |
2022 & 2023 – performance of agreed-upon procedures related to the Registrant’s deferred compensation (2022 & 2023) and review of Form N-14 and related SAS 100 procedures (2023).
2. | Tax fees consist of: |
2022 & 2023 – review of the Registrant’s tax returns.
Aggregate fees billed to the Registrant for non-audit services during 2022 and 2023 were $81,051 and $59,499, respectively.
Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.
The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to AlphaSimplex Group, LLC (“AlphaSimplex”), Loomis, Sayles & Company, L.P. (“Loomis”), Natixis Advisors, LLC (“Natixis Advisors”), and entities controlling, controlled by or under common control with AlphaSimplex, Loomis, and Natixis Advisors (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.
Audit-related fees | Tax fees | All other fees | ||||||||||||||||||||||
1/1/22- 12/31/22 | 1/1/23- 12/31/23 | 1/1/22- 12/31/22 | 1/1/23- 12/31/23 | 1/1/22- 12/31/22 | 1/1/23- 12/31/23 | |||||||||||||||||||
Control Affiliates | $ | — | $ | — | $ | 28,621 | $ | 17,898 | $ | 50,000 | $ | — |
The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to AlphaSimplex, Loomis, Natixis Advisors and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.
Aggregate Non-Audit Fees | ||||||||
1/1/22- 12/31/22 | 1/1/23- 12/31/23 | |||||||
Control Affiliates | $ | 341,351 | $ | 289,793 |
None of the services described above were approved pursuant to paragraph (c)(7)(i)(C) of Regulation S-X.
Audit Committee Pre Approval Policies.
Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Registrant and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.
If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an Iindependent Trustee of the Registrant is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review by the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 14. Exhibits.
(a) (1) | Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1). |
(a) (2) |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Natixis Funds Trust II | ||
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | February 22, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ David L. Giunta | |
Name: | David L. Giunta | |
Title: | President and Chief Executive Officer | |
Date: | February 22, 2024 | |
By: | /s/ Matthew Block | |
Name: | Matthew Block | |
Title: | Treasurer and Principal Financial and | |
Accounting Officer | ||
Date: | February 22, 2024 |