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: June 30, 2024
Item 1. Reports to Stockholders.
(a) | The Registrant’s Tailored Shareholder Reports transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 are as follows: |
Class A
LABAX
Loomis Sayles Strategic Alpha Fund
Semi-annual Shareholder Report - June 30, 2024
This semi-annual shareholder report contains important information about Loomis Sayles Strategic Alpha Fund for the period of January 1, 2024 to June 30, 2024. You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly. This report describes changes to the Fund that occurred during the reporting period.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
Class Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Class A | $50 | 1.00% |
Key Fund Statistics
Total Net Assets | $547,044,122 |
# of Portfolio Holdings (including overnight repurchase agreements and derivatives) | 604 |
Portfolio Turnover Rate | 40% |
Total Advisory Fees Paid | $1,571,059 |
What did the Fund invest in? (% of Net Assets)
Industry Summary
Value | Value |
---|---|
Other investments less than 3% of net assetsFootnote Reference* | 38.2% |
Finance Companies | 3.3% |
Technology | 3.4% |
Cable Satellite | 4.0% |
ABS Car Loan | 4.2% |
Banking | 4.7% |
ABS Other | 5.2% |
ABS Home Equity | 5.9% |
Non-Agency Commercial Mortgage-Backed Securities | 7.0% |
Collateralized Loan Obligations | 9.4% |
Treasuries | 14.7% |
Footnote | Description |
Footnote* | Net of other assets less liabilities (including open written options, swap agreement, forward foreign currency, and futures contracts) |
Credit QualityFootnote Reference†
Value | Value |
---|---|
Cash & equivalents | 3.7 |
US Treasury | 10.4 |
Not rated | 25.9 |
CC | 0.8 |
CCC | 2.5 |
B | 3.8 |
BB | 16.6 |
BBB | 22.9 |
A | 8.4 |
AA | 3.0 |
AAA | 2.0 |
Footnote | Description |
Footnote† | Credit ratings are by S&P Global Ratings. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations except for those debt obligations that are only privately rated. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Material Fund Changes
Effective July 1, 2024, the Fund had the following material changes, which were reported in a supplement to the Fund's prospectus. For more information, you may review the Fund's prospectus at im.natixis.com/funddocuments or upon request at 800-225-5478 or through your financial intermediary.
Expenses:The expense limit as a percentage of average daily net assets was reduced to 0.98% from 1.00%.
There were no changes in or disagreements with Accountants during the period.
Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: secretaryofthefunds@natixis.com
Class A
LABAX
Loomis Sayles Strategic Alpha Fund
Semi-annual Shareholder Report
June 30, 2024
TLA88A-0624
Class C
LABCX
Loomis Sayles Strategic Alpha Fund
Semi-annual Shareholder Report - June 30, 2024
This semi-annual shareholder report contains important information about Loomis Sayles Strategic Alpha Fund for the period of January 1, 2024 to June 30, 2024. You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly. This report describes changes to the Fund that occurred during the reporting period.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
Class Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Class C | $88 | 1.75% |
Key Fund Statistics
Total Net Assets | $547,044,122 |
# of Portfolio Holdings (including overnight repurchase agreements and derivatives) | 604 |
Portfolio Turnover Rate | 40% |
Total Advisory Fees Paid | $1,571,059 |
What did the Fund invest in? (% of Net Assets)
Industry Summary
Value | Value |
---|---|
Other investments less than 3% of net assetsFootnote Reference* | 38.2% |
Finance Companies | 3.3% |
Technology | 3.4% |
Cable Satellite | 4.0% |
ABS Car Loan | 4.2% |
Banking | 4.7% |
ABS Other | 5.2% |
ABS Home Equity | 5.9% |
Non-Agency Commercial Mortgage-Backed Securities | 7.0% |
Collateralized Loan Obligations | 9.4% |
Treasuries | 14.7% |
Footnote | Description |
Footnote* | Net of other assets less liabilities (including open written options, swap agreement, forward foreign currency, and futures contracts) |
Credit QualityFootnote Reference†
Value | Value |
---|---|
Cash & equivalents | 3.7 |
US Treasury | 10.4 |
Not rated | 25.9 |
CC | 0.8 |
CCC | 2.5 |
B | 3.8 |
BB | 16.6 |
BBB | 22.9 |
A | 8.4 |
AA | 3.0 |
AAA | 2.0 |
Footnote | Description |
Footnote† | Credit ratings are by S&P Global Ratings. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations except for those debt obligations that are only privately rated. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Material Fund Changes
Effective July 1, 2024, the Fund had the following material changes, which were reported in a supplement to the Fund's prospectus. For more information, you may review the Fund's prospectus at im.natixis.com/funddocuments or upon request at 800-225-5478 or through your financial intermediary.
Expenses:The expense limit as a percentage of average daily net assets was reduced to 1.73% from 1.75%.
There were no changes in or disagreements with Accountants during the period.
Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: secretaryofthefunds@natixis.com
Class C
LABCX
Loomis Sayles Strategic Alpha Fund
Semi-annual Shareholder Report
June 30, 2024
TLA88C-0624
Class N
LASNX
Loomis Sayles Strategic Alpha Fund
Semi-annual Shareholder Report - June 30, 2024
This semi-annual shareholder report contains important information about Loomis Sayles Strategic Alpha Fund for the period of January 1, 2024 to June 30, 2024. You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly. This report describes changes to the Fund that occurred during the reporting period.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
Class Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Class N | $35 | 0.70% |
Key Fund Statistics
Total Net Assets | $547,044,122 |
# of Portfolio Holdings (including overnight repurchase agreements and derivatives) | 604 |
Portfolio Turnover Rate | 40% |
Total Advisory Fees Paid | $1,571,059 |
What did the Fund invest in? (% of Net Assets)
Industry Summary
Value | Value |
---|---|
Other investments less than 3% of net assetsFootnote Reference* | 38.2% |
Finance Companies | 3.3% |
Technology | 3.4% |
Cable Satellite | 4.0% |
ABS Car Loan | 4.2% |
Banking | 4.7% |
ABS Other | 5.2% |
ABS Home Equity | 5.9% |
Non-Agency Commercial Mortgage-Backed Securities | 7.0% |
Collateralized Loan Obligations | 9.4% |
Treasuries | 14.7% |
Footnote | Description |
Footnote* | Net of other assets less liabilities (including open written options, swap agreement, forward foreign currency, and futures contracts) |
Credit QualityFootnote Reference†
Value | Value |
---|---|
Cash & equivalents | 3.7 |
US Treasury | 10.4 |
Not rated | 25.9 |
CC | 0.8 |
CCC | 2.5 |
B | 3.8 |
BB | 16.6 |
BBB | 22.9 |
A | 8.4 |
AA | 3.0 |
AAA | 2.0 |
Footnote | Description |
Footnote† | Credit ratings are by S&P Global Ratings. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations except for those debt obligations that are only privately rated. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Material Fund Changes
Effective July 1, 2024, the Fund had the following material changes, which were reported in a supplement to the Fund's prospectus. For more information, you may review the Fund's prospectus at im.natixis.com/funddocuments or upon request at 800-225-5478 or through your financial intermediary.
Expenses:The expense limit as a percentage of average daily net assets was reduced to 0.68% from 0.70%.
There were no changes in or disagreements with Accountants during the period.
Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: secretaryofthefunds@natixis.com
Class N
LASNX
Loomis Sayles Strategic Alpha Fund
Semi-annual Shareholder Report
June 30, 2024
TLA88N-0624
Class Y
LASYX
Loomis Sayles Strategic Alpha Fund
Semi-annual Shareholder Report - June 30, 2024
This semi-annual shareholder report contains important information about Loomis Sayles Strategic Alpha Fund for the period of January 1, 2024 to June 30, 2024. You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly. This report describes changes to the Fund that occurred during the reporting period.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
Class Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Class Y | $38 | 0.75% |
Key Fund Statistics
Total Net Assets | $547,044,122 |
# of Portfolio Holdings (including overnight repurchase agreements and derivatives) | 604 |
Portfolio Turnover Rate | 40% |
Total Advisory Fees Paid | $1,571,059 |
What did the Fund invest in? (% of Net Assets)
Industry Summary
Value | Value |
---|---|
Other investments less than 3% of net assetsFootnote Reference* | 38.2% |
Finance Companies | 3.3% |
Technology | 3.4% |
Cable Satellite | 4.0% |
ABS Car Loan | 4.2% |
Banking | 4.7% |
ABS Other | 5.2% |
ABS Home Equity | 5.9% |
Non-Agency Commercial Mortgage-Backed Securities | 7.0% |
Collateralized Loan Obligations | 9.4% |
Treasuries | 14.7% |
Footnote | Description |
Footnote* | Net of other assets less liabilities (including open written options, swap agreement, forward foreign currency, and futures contracts) |
Credit QualityFootnote Reference†
Value | Value |
---|---|
Cash & equivalents | 3.7 |
US Treasury | 10.4 |
Not rated | 25.9 |
CC | 0.8 |
CCC | 2.5 |
B | 3.8 |
BB | 16.6 |
BBB | 22.9 |
A | 8.4 |
AA | 3.0 |
AAA | 2.0 |
Footnote | Description |
Footnote† | Credit ratings are by S&P Global Ratings. A credit rating is an assessment provided by a nationally recognized statistical rating organization (NRSRO) of the creditworthiness of an issuer with respect to debt obligations except for those debt obligations that are only privately rated. Ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). The credit ratings shown relate to the creditworthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change. |
Material Fund Changes
Effective July 1, 2024, the Fund had the following material changes, which were reported in a supplement to the Fund's prospectus. For more information, you may review the Fund's prospectus at im.natixis.com/funddocuments or upon request at 800-225-5478 or through your financial intermediary.
Expenses:The expense limit as a percentage of average daily net assets was reduced to 0.73% from 0.75%.
There were no changes in or disagreements with Accountants during the period.
Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: secretaryofthefunds@natixis.com
Class Y
LASYX
Loomis Sayles Strategic Alpha Fund
Semi-annual Shareholder Report
June 30, 2024
TLA88Y-0624
Class A
NEFOX
Natixis Oakmark Fund
Semi-annual Shareholder Report - June 30, 2024
This semi-annual shareholder report contains important information about Natixis Oakmark Fund for the period of January 1, 2024 to June 30, 2024. You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly. This report describes changes to the Fund that occurred during the reporting period.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
Class Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Class A | $54 | 1.05% |
Key Fund Statistics
Total Net Assets | $842,210,989 |
# of Portfolio Holdings (including overnight repurchase agreements) | 55 |
Portfolio Turnover Rate | 21% |
Total Advisory Fees Paid | $2,332,525 |
What did the Fund invest in? (% of Net Assets)
Industry Summary
Value | Value |
---|---|
Other investments less than 3% of net assetsFootnote Reference* | 31.7% |
Short-Term Investments | 4.7% |
Health Care Providers & Services | 3.1% |
Chemicals | 3.2% |
Interactive Media & Services | 3.7% |
Financial Services | 4.8% |
Media | 4.9% |
Consumer Finance | 5.1% |
Insurance | 5.5% |
Oil, Gas & Consumable Fuels | 9.1% |
Banks | 11.4% |
Capital Markets | 12.8% |
Footnote | Description |
Footnote* | Net of other assets less liabilities |
Top Ten Holdings
Alphabet, Inc., Class A | 3.7% |
Citigroup, Inc. | 3.1% |
General Motors Co. | 2.9% |
Charles Schwab Corp. | 2.9% |
Wells Fargo & Co. | 2.8% |
Fiserv, Inc. | 2.8% |
Deere & Co. | 2.7% |
IQVIA Holdings, Inc. | 2.6% |
ConocoPhillips | 2.6% |
Intercontinental Exchange, Inc. | 2.5% |
Material Fund Changes
Effective July 1, 2024, the Fund had the following material changes, which were reported in a supplement to the Fund's prospectus. For more information, you may review the Fund's prospectus at im.natixis.com/funddocuments or upon request at 800-225-5478 or through your financial intermediary.
Expenses: The expense limit as a percentage of average daily net assets was reduced to 1.03% from 1.05%.
There were no changes in or disagreements with Accountants during the period.
Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: secretaryofthefunds@natixis.com
THLCV88A-0624
Class C
NECOX
Natixis Oakmark Fund
Semi-annual Shareholder Report - June 30, 2024
This semi-annual shareholder report contains important information about Natixis Oakmark Fund for the period of January 1, 2024 to June 30, 2024. You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly. This report describes changes to the Fund that occurred during the reporting period.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
Class Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Class C | $92 | 1.80% |
Key Fund Statistics
Total Net Assets | $842,210,989 |
# of Portfolio Holdings (including overnight repurchase agreements) | 55 |
Portfolio Turnover Rate | 21% |
Total Advisory Fees Paid | $2,332,525 |
What did the Fund invest in? (% of Net Assets)
Industry Summary
Value | Value |
---|---|
Other investments less than 3% of net assetsFootnote Reference* | 31.7% |
Short-Term Investments | 4.7% |
Health Care Providers & Services | 3.1% |
Chemicals | 3.2% |
Interactive Media & Services | 3.7% |
Financial Services | 4.8% |
Media | 4.9% |
Consumer Finance | 5.1% |
Insurance | 5.5% |
Oil, Gas & Consumable Fuels | 9.1% |
Banks | 11.4% |
Capital Markets | 12.8% |
Footnote | Description |
Footnote* | Net of other assets less liabilities |
Top Ten Holdings
Alphabet, Inc., Class A | 3.7% |
Citigroup, Inc. | 3.1% |
General Motors Co. | 2.9% |
Charles Schwab Corp. | 2.9% |
Wells Fargo & Co. | 2.8% |
Fiserv, Inc. | 2.8% |
Deere & Co. | 2.7% |
IQVIA Holdings, Inc. | 2.6% |
ConocoPhillips | 2.6% |
Intercontinental Exchange, Inc. | 2.5% |
Material Fund Changes
Effective July 1, 2024, the Fund had the following material changes, which were reported in a supplement to the Fund's prospectus. For more information, you may review the Fund's prospectus at im.natixis.com/funddocuments or upon request at 800-225-5478 or through your financial intermediary.
Expenses: The expense limit as a percentage of average daily net assets was reduced to 1.78% from 1.80%.
There were no changes in or disagreements with Accountants during the period.
Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: secretaryofthefunds@natixis.com
THLCV88C-0624
Class N
NOANX
Natixis Oakmark Fund
Semi-annual Shareholder Report - June 30, 2024
This semi-annual shareholder report contains important information about Natixis Oakmark Fund for the period of January 1, 2024 to June 30, 2024. You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly. This report describes changes to the Fund that occurred during the reporting period.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
Class Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Class N | $38 | 0.75% |
Key Fund Statistics
Total Net Assets | $842,210,989 |
# of Portfolio Holdings (including overnight repurchase agreements) | 55 |
Portfolio Turnover Rate | 21% |
Total Advisory Fees Paid | $2,332,525 |
What did the Fund invest in? (% of Net Assets)
Industry Summary
Value | Value |
---|---|
Other investments less than 3% of net assetsFootnote Reference* | 31.7% |
Short-Term Investments | 4.7% |
Health Care Providers & Services | 3.1% |
Chemicals | 3.2% |
Interactive Media & Services | 3.7% |
Financial Services | 4.8% |
Media | 4.9% |
Consumer Finance | 5.1% |
Insurance | 5.5% |
Oil, Gas & Consumable Fuels | 9.1% |
Banks | 11.4% |
Capital Markets | 12.8% |
Footnote | Description |
Footnote* | Net of other assets less liabilities |
Top Ten Holdings
Alphabet, Inc., Class A | 3.7% |
Citigroup, Inc. | 3.1% |
General Motors Co. | 2.9% |
Charles Schwab Corp. | 2.9% |
Wells Fargo & Co. | 2.8% |
Fiserv, Inc. | 2.8% |
Deere & Co. | 2.7% |
IQVIA Holdings, Inc. | 2.6% |
ConocoPhillips | 2.6% |
Intercontinental Exchange, Inc. | 2.5% |
Material Fund Changes
Effective July 1, 2024, the Fund had the following material changes, which were reported in a supplement to the Fund's prospectus. For more information, you may review the Fund's prospectus at im.natixis.com/funddocuments or upon request at 800-225-5478 or through your financial intermediary.
Expenses: The expense limit as a percentage of average daily net assets was reduced to 0.73% from 0.75%.
There were no changes in or disagreements with Accountants during the period.
Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: secretaryofthefunds@natixis.com
THLCV88N-0624
Class Y
NEOYX
Natixis Oakmark Fund
Semi-annual Shareholder Report - June 30, 2024
This semi-annual shareholder report contains important information about Natixis Oakmark Fund for the period of January 1, 2024 to June 30, 2024. You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly. This report describes changes to the Fund that occurred during the reporting period.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
Class Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Class Y | $41 | 0.80% |
Key Fund Statistics
Total Net Assets | $842,210,989 |
# of Portfolio Holdings (including overnight repurchase agreements) | 55 |
Portfolio Turnover Rate | 21% |
Total Advisory Fees Paid | $2,332,525 |
What did the Fund invest in? (% of Net Assets)
Industry Summary
Value | Value |
---|---|
Other investments less than 3% of net assetsFootnote Reference* | 31.7% |
Short-Term Investments | 4.7% |
Health Care Providers & Services | 3.1% |
Chemicals | 3.2% |
Interactive Media & Services | 3.7% |
Financial Services | 4.8% |
Media | 4.9% |
Consumer Finance | 5.1% |
Insurance | 5.5% |
Oil, Gas & Consumable Fuels | 9.1% |
Banks | 11.4% |
Capital Markets | 12.8% |
Footnote | Description |
Footnote* | Net of other assets less liabilities |
Top Ten Holdings
Alphabet, Inc., Class A | 3.7% |
Citigroup, Inc. | 3.1% |
General Motors Co. | 2.9% |
Charles Schwab Corp. | 2.9% |
Wells Fargo & Co. | 2.8% |
Fiserv, Inc. | 2.8% |
Deere & Co. | 2.7% |
IQVIA Holdings, Inc. | 2.6% |
ConocoPhillips | 2.6% |
Intercontinental Exchange, Inc. | 2.5% |
Material Fund Changes
Effective July 1, 2024, the Fund had the following material changes, which were reported in a supplement to the Fund's prospectus. For more information, you may review the Fund's prospectus at im.natixis.com/funddocuments or upon request at 800-225-5478 or through your financial intermediary.
Expenses: The expense limit as a percentage of average daily net assets was reduced to 0.78% from 0.80%.
There were no changes in or disagreements with Accountants during the period.
Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: secretaryofthefunds@natixis.com
THLCV88Y-0624
Class A
VNVAX
Vaughan Nelson Mid Cap Fund
Semi-annual Shareholder Report - June 30, 2024
This semi-annual shareholder report contains important information about Vaughan Nelson Mid Cap Fund for the period of January 1, 2024 to June 30, 2024. You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
Class Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Class A | $59 | 1.15% |
Key Fund Statistics
Total Net Assets | $248,815,838 |
# of Portfolio Holdings (including overnight repurchase agreements) | 59 |
Portfolio Turnover Rate | 57% |
Total Advisory Fees Paid | $797,120 |
What did the Fund invest in? (% of Net Assets)
Industry Summary
Value | Value |
---|---|
Other investments less than 3% of net assetsFootnote Reference* | 31.7% |
Software | 3.0% |
Metals & Mining | 3.1% |
Specialty Retail | 3.2% |
Machinery | 3.5% |
Banks | 3.6% |
Insurance | 4.0% |
Oil, Gas & Consumable Fuels | 4.2% |
Ground Transportation | 4.5% |
Electrical Equipment | 4.6% |
Building Products | 5.9% |
Capital Markets | 6.5% |
Life Sciences Tools & Services | 7.1% |
Hotels, Restaurants & Leisure | 7.4% |
Semiconductors & Semiconductor Equipment | 7.7% |
Footnote | Description |
Footnote* | Net of other assets less liabilities |
Top Ten Holdings
Royal Caribbean Cruises Ltd. | 3.9% |
Monolithic Power Systems, Inc. | 3.7% |
Constellium SE | 3.1% |
Nasdaq, Inc. | 3.0% |
Tyler Technologies, Inc. | 3.0% |
Corteva, Inc. | 2.9% |
Saia, Inc. | 2.6% |
IQVIA Holdings, Inc. | 2.6% |
Vulcan Materials Co. | 2.6% |
Marvell Technology, Inc. | 2.4% |
Material Fund Changes
There were no material fund changes during the period.
There were no changes in or disagreements with Accountants during the period.
Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: secretaryofthefunds@natixis.com
TVO88A-0624
Class C
VNVCX
Vaughan Nelson Mid Cap Fund
Semi-annual Shareholder Report - June 30, 2024
This semi-annual shareholder report contains important information about Vaughan Nelson Mid Cap Fund for the period of January 1, 2024 to June 30, 2024. You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
Class Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Class C | $97 | 1.90% |
Key Fund Statistics
Total Net Assets | $248,815,838 |
# of Portfolio Holdings (including overnight repurchase agreements) | 59 |
Portfolio Turnover Rate | 57% |
Total Advisory Fees Paid | $797,120 |
What did the Fund invest in? (% of Net Assets)
Industry Summary
Value | Value |
---|---|
Other investments less than 3% of net assetsFootnote Reference* | 31.7% |
Software | 3.0% |
Metals & Mining | 3.1% |
Specialty Retail | 3.2% |
Machinery | 3.5% |
Banks | 3.6% |
Insurance | 4.0% |
Oil, Gas & Consumable Fuels | 4.2% |
Ground Transportation | 4.5% |
Electrical Equipment | 4.6% |
Building Products | 5.9% |
Capital Markets | 6.5% |
Life Sciences Tools & Services | 7.1% |
Hotels, Restaurants & Leisure | 7.4% |
Semiconductors & Semiconductor Equipment | 7.7% |
Footnote | Description |
Footnote* | Net of other assets less liabilities |
Top Ten Holdings
Royal Caribbean Cruises Ltd. | 3.9% |
Monolithic Power Systems, Inc. | 3.7% |
Constellium SE | 3.1% |
Nasdaq, Inc. | 3.0% |
Tyler Technologies, Inc. | 3.0% |
Corteva, Inc. | 2.9% |
Saia, Inc. | 2.6% |
IQVIA Holdings, Inc. | 2.6% |
Vulcan Materials Co. | 2.6% |
Marvell Technology, Inc. | 2.4% |
Material Fund Changes
There were no material fund changes during the period.
There were no changes in or disagreements with Accountants during the period.
Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: secretaryofthefunds@natixis.com
TVO88C-0624
Class N
VNVNX
Vaughan Nelson Mid Cap Fund
Semi-annual Shareholder Report - June 30, 2024
This semi-annual shareholder report contains important information about Vaughan Nelson Mid Cap Fund for the period of January 1, 2024 to June 30, 2024. You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
Class Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Class N | $44 | 0.85% |
Key Fund Statistics
Total Net Assets | $248,815,838 |
# of Portfolio Holdings (including overnight repurchase agreements) | 59 |
Portfolio Turnover Rate | 57% |
Total Advisory Fees Paid | $797,120 |
What did the Fund invest in? (% of Net Assets)
Industry Summary
Value | Value |
---|---|
Other investments less than 3% of net assetsFootnote Reference* | 31.7% |
Software | 3.0% |
Metals & Mining | 3.1% |
Specialty Retail | 3.2% |
Machinery | 3.5% |
Banks | 3.6% |
Insurance | 4.0% |
Oil, Gas & Consumable Fuels | 4.2% |
Ground Transportation | 4.5% |
Electrical Equipment | 4.6% |
Building Products | 5.9% |
Capital Markets | 6.5% |
Life Sciences Tools & Services | 7.1% |
Hotels, Restaurants & Leisure | 7.4% |
Semiconductors & Semiconductor Equipment | 7.7% |
Footnote | Description |
Footnote* | Net of other assets less liabilities |
Top Ten Holdings
Royal Caribbean Cruises Ltd. | 3.9% |
Monolithic Power Systems, Inc. | 3.7% |
Constellium SE | 3.1% |
Nasdaq, Inc. | 3.0% |
Tyler Technologies, Inc. | 3.0% |
Corteva, Inc. | 2.9% |
Saia, Inc. | 2.6% |
IQVIA Holdings, Inc. | 2.6% |
Vulcan Materials Co. | 2.6% |
Marvell Technology, Inc. | 2.4% |
Material Fund Changes
There were no material fund changes during the period.
There were no changes in or disagreements with Accountants during the period.
Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: secretaryofthefunds@natixis.com
TVO88N-0624
Class Y
VNVYX
Vaughan Nelson Mid Cap Fund
Semi-annual Shareholder Report - June 30, 2024
This semi-annual shareholder report contains important information about Vaughan Nelson Mid Cap Fund for the period of January 1, 2024 to June 30, 2024. You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly.
What were the fund costs for the last six months? (based on a hypothetical $10,000 investment)
Class Name | Cost of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
---|---|---|
Class Y | $46 | 0.90% |
Key Fund Statistics
Total Net Assets | $248,815,838 |
# of Portfolio Holdings (including overnight repurchase agreements) | 59 |
Portfolio Turnover Rate | 57% |
Total Advisory Fees Paid | $797,120 |
What did the Fund invest in? (% of Net Assets)
Industry Summary
Value | Value |
---|---|
Other investments less than 3% of net assetsFootnote Reference* | 31.7% |
Software | 3.0% |
Metals & Mining | 3.1% |
Specialty Retail | 3.2% |
Machinery | 3.5% |
Banks | 3.6% |
Insurance | 4.0% |
Oil, Gas & Consumable Fuels | 4.2% |
Ground Transportation | 4.5% |
Electrical Equipment | 4.6% |
Building Products | 5.9% |
Capital Markets | 6.5% |
Life Sciences Tools & Services | 7.1% |
Hotels, Restaurants & Leisure | 7.4% |
Semiconductors & Semiconductor Equipment | 7.7% |
Footnote | Description |
Footnote* | Net of other assets less liabilities |
Top Ten Holdings
Royal Caribbean Cruises Ltd. | 3.9% |
Monolithic Power Systems, Inc. | 3.7% |
Constellium SE | 3.1% |
Nasdaq, Inc. | 3.0% |
Tyler Technologies, Inc. | 3.0% |
Corteva, Inc. | 2.9% |
Saia, Inc. | 2.6% |
IQVIA Holdings, Inc. | 2.6% |
Vulcan Materials Co. | 2.6% |
Marvell Technology, Inc. | 2.4% |
Material Fund Changes
There were no material fund changes during the period.
There were no changes in or disagreements with Accountants during the period.
Additional Information
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: secretaryofthefunds@natixis.com
TVO88Y-0624
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
The Schedule of Investments are incorporated by reference as part of the Financial Statements and Other Important Information for Open-End Management Investment Companies filed as Item 7 herewith.
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
The Registrant’s Financial Statements and Other Important Information are as follows:
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 |
Shares | Description | Value (†) |
Common Stocks — 98.7% of Net Assets | ||
Australia — 5.3% | ||
30,412 | WiseTech Global Ltd. | $2,021,754 |
Belgium — 1.8% | ||
11,571 | Anheuser-Busch InBev SA | 671,763 |
Brazil — 9.1% | ||
447,628 | Ambev SA, ADR | 917,638 |
1,523 | MercadoLibre, Inc.(a) | 2,502,898 |
3,420,536 | ||
Canada — 3.0% | ||
17,017 | Shopify, Inc., Class A(a) | 1,123,973 |
China — 20.8% | ||
4,903 | Alibaba Group Holding Ltd., ADR(b) | 353,016 |
5,995 | Baidu, Inc., ADR(a)(b) | 518,448 |
83,600 | Budweiser Brewing Co. APAC Ltd. | 98,396 |
4,600 | Kweichow Moutai Co. Ltd., Class A | 922,456 |
5,191 | NXP Semiconductors NV | 1,396,846 |
34,800 | Tencent Holdings Ltd.(b) | 1,650,923 |
34,699 | Trip.com Group Ltd., ADR(a)(b) | 1,630,853 |
58,253 | Vipshop Holdings Ltd., ADR(b) | 758,454 |
17,584 | Yum China Holdings, Inc. | 542,291 |
7,871,683 | ||
Denmark — 9.0% | ||
23,690 | Novo Nordisk AS, Class B | 3,389,678 |
France — 4.2% | ||
3,566 | EssilorLuxottica SA | 766,275 |
9,081 | Sodexo SA | 818,025 |
1,584,300 | ||
Germany — 4.2% | ||
7,982 | SAP SE | 1,603,389 |
Japan — 3.2% | ||
34,800 | FANUC Corp. | 955,354 |
7,400 | Unicharm Corp. | 237,801 |
1,193,155 | ||
Macau — 0.6% | ||
51,000 | Galaxy Entertainment Group Ltd. | 237,350 |
Netherlands — 5.6% | ||
1,554 | Adyen NV(a) | 1,845,648 |
9,081 | Pluxee NV(a) | 255,699 |
2,101,347 | ||
Switzerland — 4.5% | ||
9,378 | CRISPR Therapeutics AG(a) | 506,506 |
11,042 | Novartis AG, (Registered) | 1,175,659 |
1,682,165 | ||
United Kingdom — 4.7% | ||
9,282 | Diageo PLC | 291,399 |
13,647 | Reckitt Benckiser Group PLC | 738,291 |
13,927 | Unilever PLC | 763,983 |
1,793,673 | ||
United States — 22.7% | ||
13,382 | ARM Holdings PLC, ADR(a) | 2,189,563 |
10,558 | Block, Inc.(a) | 680,885 |
19,929 | Doximity, Inc., Class A(a) | 557,414 |
25,636 | Experian PLC | 1,190,965 |
9,802 | Nestle SA, (Registered) | 1,000,532 |
Shares | Description | Value (†) |
United States — continued | ||
3,702 | Roche Holding AG | $1,025,671 |
9,676 | Tesla, Inc.(a) | 1,914,687 |
8,559,717 | ||
Total Common Stocks (Identified Cost $36,286,544) | 37,254,483 |
Principal Amount | ||
Short-Term Investments — 1.0% | ||
$398,899 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2024 at 3.500% to be repurchased at $399,016 on 7/01/2024 collateralized by $411,000 U.S. Treasury Note, 4.125% due 6/15/2026 valued at $406,887 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $398,899) | 398,899 |
Total Investments — 99.7% (Identified Cost $36,685,443) | 37,653,382 | |
Other assets less liabilities — 0.3% | 94,838 | |
Net Assets — 100.0% | $37,748,220 |
(†) | 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 9 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 | 14.8 % |
Software | 9.5 |
Broadline Retail | 9.5 |
Semiconductors & Semiconductor Equipment | 9.5 |
Hotels, Restaurants & Leisure | 8.5 |
Beverages | 7.8 |
Financial Services | 6.7 |
Interactive Media & Services | 5.8 |
Automobiles | 5.1 |
Professional Services | 3.2 |
IT Services | 3.0 |
Food Products | 2.6 |
Machinery | 2.6 |
Household Products | 2.5 |
Health Care Equipment & Supplies | 2.0 |
Personal Care Products | 2.0 |
Other Investments, less than 2% each | 3.6 |
Short-Term Investments | 1.0 |
Total Investments | 99.7 |
Other assets less liabilities | 0.3 |
Net Assets | 100.0 % |
United States Dollar | 42.4 % |
Euro | 17.8 |
Danish Krone | 9.0 |
Swiss Franc | 8.4 |
British Pound | 5.9 |
Australian Dollar | 5.3 |
Hong Kong Dollar | 5.3 |
Japanese Yen | 3.2 |
Yuan Renminbi | 2.4 |
Total Investments | 99.7 |
Other assets less liabilities | 0.3 |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 95.7% of Net Assets | ||
Automobile Components — 2.0% | ||
262,367 | BorgWarner, Inc. | $8,458,712 |
206,600 | Magna International, Inc. | 8,656,540 |
17,115,252 | ||
Automobiles — 2.9% | ||
519,460 | General Motors Co. | 24,134,111 |
Banks — 11.4% | ||
495,036 | Bank of America Corp. | 19,687,582 |
410,118 | Citigroup, Inc. | 26,026,088 |
8,730 | First Citizens BancShares, Inc., Class A | 14,697,915 |
309,600 | Truist Financial Corp. | 12,027,960 |
401,704 | Wells Fargo & Co. | 23,857,201 |
96,296,746 | ||
Broadline Retail — 1.1% | ||
167,465 | eBay, Inc. | 8,996,220 |
Building Products — 2.5% | ||
165,500 | Fortune Brands Innovations, Inc. | 10,747,570 |
152,500 | Masco Corp. | 10,167,175 |
20,914,745 | ||
Capital Markets — 12.8% | ||
283,482 | Bank of New York Mellon Corp. | 16,977,737 |
10,830 | BlackRock, Inc. | 8,526,676 |
326,639 | Charles Schwab Corp. | 24,070,028 |
17,098 | Goldman Sachs Group, Inc. | 7,733,767 |
153,166 | Intercontinental Exchange, Inc. | 20,966,894 |
6,921 | Moody's Corp. | 2,913,256 |
203,238 | Nasdaq, Inc. | 12,247,122 |
192,766 | State Street Corp. | 14,264,684 |
107,700,164 | ||
Chemicals — 3.2% | ||
59,966 | Celanese Corp. | 8,088,814 |
343,200 | Corteva, Inc. | 18,512,208 |
26,601,022 | ||
Communications Equipment — 0.8% | ||
149,100 | Cisco Systems, Inc. | 7,083,741 |
Consumer Finance — 5.1% | ||
472,654 | Ally Financial, Inc. | 18,750,184 |
17,373 | American Express Co. | 4,022,718 |
144,606 | Capital One Financial Corp. | 20,020,701 |
42,793,603 | ||
Consumer Staples Distribution & Retail — 2.2% | ||
378,800 | Kroger Co. | 18,913,484 |
Electronic Equipment, Instruments & Components — 0.9% | ||
47,865 | TE Connectivity Ltd. | 7,200,332 |
Entertainment — 2.2% | ||
36,700 | Walt Disney Co. | 3,643,943 |
1,953,252 | Warner Bros. Discovery, Inc.(a) | 14,532,195 |
18,176,138 | ||
Financial Services — 4.8% | ||
294,600 | Corebridge Financial, Inc. | 8,578,752 |
156,169 | Fiserv, Inc.(a) | 23,275,428 |
88,900 | Global Payments, Inc. | 8,596,630 |
40,450,810 | ||
Health Care Equipment & Supplies — 1.0% | ||
253,900 | Baxter International, Inc. | 8,492,955 |
Shares | Description | Value (†) |
Health Care Providers & Services — 3.1% | ||
288,200 | Centene Corp.(a) | $19,107,660 |
115,100 | CVS Health Corp. | 6,797,806 |
25,905,466 | ||
Insurance — 5.5% | ||
277,935 | American International Group, Inc. | 20,633,894 |
46,037 | Reinsurance Group of America, Inc. | 9,450,015 |
63,163 | Willis Towers Watson PLC | 16,557,549 |
46,641,458 | ||
Interactive Media & Services — 3.7% | ||
168,820 | Alphabet, Inc., Class A | 30,750,563 |
Life Sciences Tools & Services — 2.6% | ||
102,400 | IQVIA Holdings, Inc.(a) | 21,651,456 |
Machinery — 2.6% | ||
59,700 | Deere & Co. | 22,305,711 |
Media — 4.9% | ||
62,445 | Charter Communications, Inc., Class A(a) | 18,668,557 |
459,842 | Comcast Corp., Class A | 18,007,413 |
79,500 | Liberty Broadband Corp., Class C(a) | 4,358,190 |
41,034,160 | ||
Oil, Gas & Consumable Fuels — 9.1% | ||
534,572 | APA Corp. | 15,737,800 |
188,030 | ConocoPhillips | 21,506,871 |
163,460 | EOG Resources, Inc. | 20,574,710 |
135,900 | Phillips 66 | 19,185,003 |
77,004,384 | ||
Passenger Airlines — 1.7% | ||
307,600 | Delta Air Lines, Inc. | 14,592,544 |
Personal Care Products — 1.6% | ||
735,900 | Kenvue, Inc. | 13,378,662 |
Professional Services — 1.6% | ||
56,000 | Equifax, Inc. | 13,577,760 |
Real Estate Management & Development — 2.3% | ||
218,718 | CBRE Group, Inc., Class A(a) | 19,489,961 |
Software — 2.2% | ||
73,500 | Salesforce, Inc. | 18,896,850 |
Tobacco — 1.9% | ||
345,514 | Altria Group, Inc. | 15,738,163 |
Total Common Stocks (Identified Cost $723,354,274) | 805,836,461 |
Principal Amount | Description | Value (†) |
Short-Term Investments — 4.7% | ||
$39,853,053 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2024 at 3.500% to be repurchased at $39,864,677 on 7/01/2024 collateralized by $32,538,100 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2026 valued at $40,650,251 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $39,853,053) | $39,853,053 |
Total Investments — 100.4% (Identified Cost $763,207,327) | 845,689,514 | |
Other assets less liabilities — (0.4)% | (3,478,525 ) | |
Net Assets — 100.0% | $842,210,989 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
Capital Markets | 12.8 % |
Banks | 11.4 |
Oil, Gas & Consumable Fuels | 9.1 |
Insurance | 5.5 |
Consumer Finance | 5.1 |
Media | 4.9 |
Financial Services | 4.8 |
Interactive Media & Services | 3.7 |
Chemicals | 3.2 |
Health Care Providers & Services | 3.1 |
Automobiles | 2.9 |
Machinery | 2.6 |
Life Sciences Tools & Services | 2.6 |
Building Products | 2.5 |
Real Estate Management & Development | 2.3 |
Consumer Staples Distribution & Retail | 2.2 |
Software | 2.2 |
Entertainment | 2.2 |
Automobile Components | 2.0 |
Other Investments, less than 2% each | 10.6 |
Short-Term Investments | 4.7 |
Total Investments | 100.4 |
Other assets less liabilities | (0.4 ) |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 95.0% of Net Assets | ||
Australia — 0.7% | ||
265,200 | Brambles Ltd. | $2,559,160 |
Belgium — 1.1% | ||
70,100 | Anheuser-Busch InBev SA | 4,069,709 |
Canada — 1.6% | ||
191,100 | Open Text Corp. | 5,738,378 |
China — 1.8% | ||
705,400 | Alibaba Group Holding Ltd. | 6,357,656 |
Denmark — 1.7% | ||
40,100 | DSV AS | 6,155,272 |
France — 16.0% | ||
126,675 | Accor SA | 5,183,415 |
29,500 | Airbus SE | 4,048,776 |
193,591 | BNP Paribas SA | 12,380,548 |
19,166 | Capgemini SE | 3,807,085 |
70,900 | Danone SA | 4,342,610 |
144,910 | Edenred SE | 6,145,898 |
88,600 | Eurofins Scientific SE | 4,436,109 |
29,215 | Kering SA | 10,626,808 |
18,092 | Publicis Groupe SA | 1,921,715 |
73,964 | Valeo SE | 790,922 |
300,651 | Worldline SA(a) | 3,276,386 |
56,960,272 | ||
Germany — 25.1% | ||
17,000 | adidas AG | 4,059,031 |
26,561 | Allianz SE | 7,376,813 |
432,330 | Bayer AG | 12,186,527 |
87,200 | Bayerische Motoren Werke AG | 8,248,374 |
60,522 | Brenntag SE | 4,082,811 |
155,873 | Continental AG | 8,828,209 |
142,281 | Daimler Truck Holding AG | 5,674,613 |
229,500 | Fresenius Medical Care AG | 8,770,748 |
280,600 | Fresenius SE & Co. KGaA(a) | 8,382,723 |
36,742 | Henkel AG & Co. KGaA | 2,890,755 |
138,014 | Mercedes-Benz Group AG, (Registered) | 9,552,156 |
12,989 | SAP SE | 2,609,173 |
28,400 | Siemens AG | 5,285,965 |
385,000 | thyssenkrupp AG | 1,666,776 |
89,614,674 | ||
India — 0.7% | ||
172,175 | Axis Bank Ltd. | 2,609,279 |
Indonesia — 0.5% | ||
5,095,900 | Bank Mandiri Persero Tbk. PT | 1,906,446 |
Ireland — 2.2% | ||
47,626 | Ryanair Holdings PLC, ADR | 5,545,572 |
52,800 | Smurfit Kappa Group PLC | 2,355,019 |
7,900,591 | ||
Italy — 2.0% | ||
1,945,135 | Intesa Sanpaolo SpA | 7,228,926 |
Japan — 2.3% | ||
319,900 | Fujitsu Ltd. | 5,017,145 |
112,200 | Komatsu Ltd. | 3,277,309 |
8,294,454 | ||
Korea — 1.7% | ||
49,532 | NAVER Corp. | 5,960,365 |
Netherlands — 6.2% | ||
73,900 | Akzo Nobel NV | 4,504,151 |
Shares | Description | Value (†) |
Netherlands — continued | ||
50,435 | EXOR NV | $5,268,290 |
102,300 | Koninklijke Ahold Delhaize NV | 3,010,391 |
260,396 | Prosus NV | 9,259,285 |
22,042,117 | ||
Spain — 1.2% | ||
61,594 | Amadeus IT Group SA | 4,098,736 |
Sweden — 3.0% | ||
134,700 | Sandvik AB | 2,706,704 |
213,403 | SKF AB, Class B | 4,288,812 |
138,900 | Volvo AB, Class B | 3,568,955 |
10,564,471 | ||
Switzerland — 7.9% | ||
16,383 | Cie Financiere Richemont SA, Class A | 2,560,383 |
1,219,180 | Glencore PLC | 6,937,462 |
27,753 | Holcim AG | 2,453,145 |
35,462 | Novartis AG, (Registered) | 3,775,697 |
22,290 | Roche Holding AG | 6,175,639 |
6,573 | Schindler Holding AG | 1,649,189 |
22,399 | Swatch Group AG | 4,589,049 |
28,140,564 | ||
United Kingdom — 16.1% | ||
64,500 | Ashtead Group PLC | 4,300,450 |
19,800 | Bunzl PLC | 752,283 |
89,300 | Compass Group PLC | 2,432,827 |
52,177 | Informa PLC | 563,091 |
182,693 | Liberty Global Ltd., Class A(a) | 3,184,339 |
16,985,900 | Lloyds Banking Group PLC | 11,715,416 |
1,110,800 | Prudential PLC | 10,071,639 |
104,700 | Reckitt Benckiser Group PLC | 5,664,184 |
1,455,782 | Schroders PLC | 6,662,431 |
293,500 | Smith & Nephew PLC | 3,637,140 |
110,900 | Smiths Group PLC | 2,386,191 |
655,740 | WPP PLC | 6,004,394 |
57,374,385 | ||
United States — 3.2% | ||
1,118,392 | CNH Industrial NV | 11,329,311 |
Total Common Stocks (Identified Cost $340,978,457) | 338,904,766 | |
Preferred Stocks — 1.6% | ||
Korea — 1.6% | ||
123,000 | Samsung Electronics Co. Ltd., 1.704%, (KRW) (Identified Cost $6,487,208) | 5,647,760 |
Principal Amount | Description | Value (†) |
Short-Term Investments — 2.1% | ||
$7,721,804 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2024 at 3.500% to be repurchased at $7,724,056 on 7/01/2024 collateralized by $6,304,500 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2026 valued at $7,876,313 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,721,804) | $7,721,804 |
Total Investments — 98.7% (Identified Cost $355,187,469) | 352,274,330 | |
Other assets less liabilities — 1.3% | 4,493,976 | |
Net Assets — 100.0% | $356,768,306 |
(†) | 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 |
Banks | 10.0 % |
Machinery | 9.2 |
Pharmaceuticals | 6.2 |
Textiles, Apparel & Luxury Goods | 6.1 |
Automobiles | 5.0 |
Insurance | 4.9 |
Health Care Providers & Services | 4.8 |
Broadline Retail | 4.4 |
Financial Services | 4.1 |
Hotels, Restaurants & Leisure | 3.4 |
Automobile Components | 2.7 |
Trading Companies & Distributors | 2.5 |
IT Services | 2.5 |
Metals & Mining | 2.4 |
Household Products | 2.4 |
Media | 2.3 |
Software | 2.3 |
Industrial Conglomerates | 2.2 |
Other Investments, less than 2% each | 19.2 |
Short-Term Investments | 2.1 |
Total Investments | 98.7 |
Other assets less liabilities | 1.3 |
Net Assets | 100.0 % |
Euro | 52.3 % |
British Pound | 17.1 |
United States Dollar | 7.7 |
Swiss Franc | 6.0 |
South Korean Won | 3.3 |
Swedish Krona | 3.0 |
Japanese Yen | 2.3 |
Other, less than 2% each | 7.0 |
Total Investments | 98.7 |
Other assets less liabilities | 1.3 |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 96.8% of Net Assets | ||
Aerospace & Defense — 2.1% | ||
118,354 | Boeing Co.(a) | $21,541,612 |
Air Freight & Logistics — 0.5% | ||
44,131 | Expeditors International of Washington, Inc. | 5,507,107 |
Automobile Components — 0.4% | ||
130,025 | Mobileye Global, Inc., Class A(a) | 3,651,752 |
Automobiles — 4.5% | ||
479,700 | General Motors Co. | 22,286,862 |
124,786 | Tesla, Inc.(a) | 24,692,654 |
46,979,516 | ||
Banks — 7.5% | ||
721,300 | Bank of America Corp. | 28,686,101 |
271,800 | Citigroup, Inc. | 17,248,428 |
7,910 | First Citizens BancShares, Inc., Class A | 13,317,355 |
330,000 | Wells Fargo & Co. | 19,598,700 |
78,850,584 | ||
Beverages — 1.7% | ||
12,106 | Boston Beer Co., Inc., Class A(a) | 3,692,935 |
285,483 | Monster Beverage Corp.(a) | 14,259,876 |
17,952,811 | ||
Biotechnology — 2.6% | ||
50,406 | Alnylam Pharmaceuticals, Inc.(a) | 12,248,658 |
57,026 | CRISPR Therapeutics AG(a) | 3,079,974 |
6,285 | GRAIL, Inc.(a) | 96,593 |
11,662 | Regeneron Pharmaceuticals, Inc.(a) | 12,257,112 |
27,682,337 | ||
Broadline Retail — 3.3% | ||
45,748 | Alibaba Group Holding Ltd., ADR | 3,293,856 |
162,393 | Amazon.com, Inc.(a) | 31,382,447 |
34,676,303 | ||
Building Products — 1.0% | ||
156,600 | Masco Corp. | 10,440,522 |
Capital Markets — 6.9% | ||
294,100 | Bank of New York Mellon Corp. | 17,613,649 |
231,645 | Charles Schwab Corp. | 17,069,920 |
13,934 | FactSet Research Systems, Inc. | 5,688,834 |
153,400 | Intercontinental Exchange, Inc. | 20,998,926 |
11,528 | MSCI, Inc. | 5,553,614 |
86,973 | SEI Investments Co. | 5,626,284 |
72,551,227 | ||
Chemicals — 1.5% | ||
291,300 | Corteva, Inc. | 15,712,722 |
Consumer Finance — 3.5% | ||
369,700 | Ally Financial, Inc. | 14,665,999 |
154,785 | Capital One Financial Corp. | 21,429,983 |
36,095,982 | ||
Consumer Staples Distribution & Retail — 1.6% | ||
342,500 | Kroger Co. | 17,101,025 |
Entertainment — 4.9% | ||
39,922 | Netflix, Inc.(a) | 26,942,559 |
119,597 | Walt Disney Co. | 11,874,786 |
1,710,700 | Warner Bros. Discovery, Inc.(a) | 12,727,608 |
51,544,953 | ||
Financial Services — 4.2% | ||
67,055 | Block, Inc.(a) | 4,324,377 |
Shares | Description | Value (†) |
Financial Services — continued | ||
119,100 | Fiserv, Inc.(a) | $17,750,664 |
62,621 | PayPal Holdings, Inc.(a) | 3,633,897 |
68,305 | Visa, Inc., Class A | 17,928,013 |
43,636,951 | ||
Health Care Equipment & Supplies — 0.6% | ||
13,116 | Intuitive Surgical, Inc.(a) | 5,834,653 |
Health Care Providers & Services — 1.6% | ||
256,300 | Centene Corp.(a) | 16,992,690 |
Health Care Technology — 1.3% | ||
212,501 | Doximity, Inc., Class A(a) | 5,943,653 |
43,362 | Veeva Systems, Inc., Class A(a) | 7,935,680 |
13,879,333 | ||
Hotels, Restaurants & Leisure — 1.3% | ||
89,301 | Starbucks Corp. | 6,952,083 |
93,921 | Yum China Holdings, Inc. | 2,896,523 |
29,639 | Yum! Brands, Inc. | 3,925,982 |
13,774,588 | ||
Insurance — 1.6% | ||
61,900 | Willis Towers Watson PLC | 16,226,466 |
Interactive Media & Services — 8.8% | ||
271,365 | Alphabet, Inc., Class A | 49,429,135 |
34,220 | Alphabet, Inc., Class C | 6,276,632 |
72,632 | Meta Platforms, Inc., Class A | 36,622,507 |
92,328,274 | ||
IT Services — 0.7% | ||
110,668 | Shopify, Inc., Class A(a) | 7,309,621 |
Life Sciences Tools & Services — 2.2% | ||
37,707 | Illumina, Inc.(a) | 3,935,857 |
90,100 | IQVIA Holdings, Inc.(a) | 19,050,744 |
22,986,601 | ||
Machinery — 2.1% | ||
59,850 | Deere & Co. | 22,361,756 |
Media — 3.1% | ||
54,100 | Charter Communications, Inc., Class A(a) | 16,173,736 |
414,780 | Comcast Corp., Class A | 16,242,785 |
32,416,521 | ||
Oil, Gas & Consumable Fuels — 5.9% | ||
340,941 | APA Corp. | 10,037,303 |
167,900 | ConocoPhillips | 19,204,402 |
133,538 | EOG Resources, Inc. | 16,808,428 |
108,800 | Phillips 66 | 15,359,296 |
61,409,429 | ||
Passenger Airlines — 1.2% | ||
262,500 | Delta Air Lines, Inc. | 12,453,000 |
Pharmaceuticals — 1.7% | ||
35,289 | Novartis AG, ADR | 3,756,867 |
71,788 | Novo Nordisk AS, ADR | 10,247,019 |
106,670 | Roche Holding AG, ADR | 3,698,249 |
17,702,135 | ||
Real Estate Management & Development — 1.7% | ||
200,000 | CBRE Group, Inc., Class A(a) | 17,822,000 |
Semiconductors & Semiconductor Equipment — 7.1% | ||
90,523 | ARM Holdings PLC, ADR(a) | 14,811,373 |
Shares | Description | Value (†) |
Semiconductors & Semiconductor Equipment — continued | ||
400,541 | NVIDIA Corp. | $49,482,835 |
53,254 | QUALCOMM, Inc. | 10,607,132 |
74,901,340 | ||
Software — 8.2% | ||
54,678 | Autodesk, Inc.(a) | 13,530,071 |
36,433 | Microsoft Corp. | 16,283,729 |
158,217 | Oracle Corp. | 22,340,241 |
102,292 | Salesforce, Inc. | 26,299,273 |
35,182 | Workday, Inc., Class A(a) | 7,865,288 |
86,318,602 | ||
Textiles, Apparel & Luxury Goods — 0.2% | ||
350,168 | Under Armour, Inc., Class A(a) | 2,335,621 |
Tobacco — 1.3% | ||
306,400 | Altria Group, Inc. | 13,956,520 |
Total Common Stocks (Identified Cost $667,931,140) | 1,014,934,554 |
Principal Amount | ||
Short-Term Investments — 3.3% | ||
$34,915,969 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2024 at 3.500% to be repurchased at $34,926,153 on 7/01/2024 collateralized by $19,225,500 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2026 valued at $24,018,676; $12,140,000 U.S. Treasury Note, 1.875% due 6/30/2026 valued at $11,595,802 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $34,915,969) | 34,915,969 |
Total Investments — 100.1% (Identified Cost $702,847,109) | 1,049,850,523 | |
Other assets less liabilities — (0.1)% | (921,091 ) | |
Net Assets — 100.0% | $1,048,929,432 |
(†) | 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. |
Interactive Media & Services | 8.8 % |
Software | 8.2 |
Banks | 7.5 |
Semiconductors & Semiconductor Equipment | 7.1 |
Capital Markets | 6.9 |
Oil, Gas & Consumable Fuels | 5.9 |
Entertainment | 4.9 |
Automobiles | 4.5 |
Financial Services | 4.2 |
Consumer Finance | 3.5 |
Broadline Retail | 3.3 |
Media | 3.1 |
Biotechnology | 2.6 |
Life Sciences Tools & Services | 2.2 |
Machinery | 2.1 |
Aerospace & Defense | 2.1 |
Other Investments, less than 2% each | 19.9 |
Short-Term Investments | 3.3 |
Total Investments | 100.1 |
Other assets less liabilities | (0.1 ) |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 96.4% of Net Assets | ||
Aerospace & Defense — 2.3% | ||
19,440 | Axon Enterprise, Inc.(a) | $5,720,026 |
Banks — 3.6% | ||
56,615 | Comerica, Inc. | 2,889,630 |
47,775 | Western Alliance Bancorp | 3,001,225 |
71,215 | Zions Bancorp NA | 3,088,595 |
8,979,450 | ||
Building Products — 5.9% | ||
54,945 | AAON, Inc. | 4,793,402 |
34,655 | Allegion PLC | 4,094,488 |
90,580 | AZEK Co., Inc.(a) | 3,816,135 |
13,900 | Builders FirstSource, Inc.(a) | 1,923,899 |
14,627,924 | ||
Capital Markets — 6.5% | ||
23,780 | ARES Management Corp., Class A | 3,169,398 |
6,440 | MSCI, Inc. | 3,102,470 |
123,315 | Nasdaq, Inc. | 7,430,962 |
20,192 | Raymond James Financial, Inc. | 2,495,933 |
16,198,763 | ||
Chemicals — 2.9% | ||
134,510 | Corteva, Inc. | 7,255,469 |
Communications Equipment — 1.0% | ||
6,680 | Motorola Solutions, Inc. | 2,578,814 |
Construction Materials — 2.5% | ||
25,580 | Vulcan Materials Co. | 6,361,234 |
Consumer Staples Distribution & Retail — 1.7% | ||
62,450 | Performance Food Group Co.(a) | 4,128,570 |
Containers & Packaging — 0.5% | ||
5,545 | Avery Dennison Corp. | 1,212,414 |
Electrical Equipment — 4.6% | ||
14,625 | AMETEK, Inc. | 2,438,134 |
7,950 | Hubbell, Inc. | 2,905,566 |
63,795 | nVent Electric PLC | 4,887,335 |
15,105 | Vertiv Holdings Co. | 1,307,640 |
11,538,675 | ||
Electronic Equipment, Instruments & Components — 1.7% | ||
18,910 | CDW Corp. | 4,232,814 |
Energy Equipment & Services — 1.5% | ||
141,265 | TechnipFMC PLC | 3,694,080 |
Financial Services — 2.1% | ||
45,292 | Apollo Global Management, Inc. | 5,347,626 |
Ground Transportation — 4.5% | ||
13,700 | Saia, Inc.(a) | 6,497,773 |
32,545 | TFI International, Inc. | 4,724,232 |
11,222,005 | ||
Health Care Providers & Services — 1.5% | ||
16,340 | Cencora, Inc. | 3,681,402 |
Hotels, Restaurants & Leisure — 7.4% | ||
205,755 | Carnival Corp.(a) | 3,851,734 |
43,335 | DoorDash, Inc., Class A(a) | 4,713,981 |
61,525 | Royal Caribbean Cruises Ltd.(a) | 9,808,931 |
18,374,646 | ||
Independent Power & Renewable Electricity Producers — 0.7% | ||
19,460 | Vistra Corp. | 1,673,171 |
Shares | Description | Value (†) |
Industrial REITs — 2.4% | ||
34,685 | EastGroup Properties, Inc. | $5,899,919 |
Insurance — 4.0% | ||
11,290 | Allstate Corp. | 1,802,561 |
77,045 | Kemper Corp. | 4,571,080 |
17,960 | Reinsurance Group of America, Inc. | 3,686,649 |
10,060,290 | ||
Life Sciences Tools & Services — 7.1% | ||
25,895 | Agilent Technologies, Inc. | 3,356,769 |
146,385 | Avantor, Inc.(a) | 3,103,362 |
73,455 | Bruker Corp. | 4,687,163 |
30,332 | IQVIA Holdings, Inc.(a) | 6,413,398 |
17,560,692 | ||
Machinery — 3.5% | ||
19,480 | Crane Co. | 2,824,211 |
95,260 | Flowserve Corp. | 4,582,006 |
12,590 | Otis Worldwide Corp. | 1,211,913 |
8,618,130 | ||
Metals & Mining — 3.1% | ||
414,295 | Constellium SE(a) | 7,809,461 |
Oil, Gas & Consumable Fuels — 4.2% | ||
6,175 | Diamondback Energy, Inc. | 1,236,173 |
784,535 | Kosmos Energy Ltd.(a) | 4,346,324 |
143,640 | Range Resources Corp. | 4,816,249 |
10,398,746 | ||
Professional Services — 2.7% | ||
9,370 | CACI International, Inc., Class A(a) | 4,030,318 |
11,060 | Equifax, Inc. | 2,681,608 |
6,711,926 | ||
Semiconductors & Semiconductor Equipment — 7.7% | ||
86,415 | Marvell Technology, Inc. | 6,040,408 |
11,060 | Monolithic Power Systems, Inc. | 9,087,781 |
60,630 | ON Semiconductor Corp.(a) | 4,156,187 |
19,284,376 | ||
Software — 3.0% | ||
14,735 | Tyler Technologies, Inc.(a) | 7,408,463 |
Specialized REITs — 2.1% | ||
33,520 | Extra Space Storage, Inc. | 5,209,343 |
Specialty Retail — 3.2% | ||
1,241 | AutoZone, Inc.(a) | 3,678,448 |
33,295 | Best Buy Co., Inc. | 2,806,436 |
15,390 | Floor & Decor Holdings, Inc., Class A(a) | 1,529,920 |
8,014,804 | ||
Textiles, Apparel & Luxury Goods — 1.3% | ||
45,850 | Skechers USA, Inc., Class A(a) | 3,169,152 |
Trading Companies & Distributors — 1.2% | ||
24,495 | SiteOne Landscape Supply, Inc.(a) | 2,973,938 |
Total Common Stocks (Identified Cost $196,646,868) | 239,946,323 |
Principal Amount | Description | Value (†) |
Short-Term Investments — 1.6% | ||
$3,881,231 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2024 at 3.500% to be repurchased at $3,882,363 on 7/01/2024 collateralized by $4,249,100 U.S. Treasury Note, 0.875% due 6/30/2026 valued at $3,959,000 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $3,881,231) | $3,881,231 |
Total Investments — 98.0% (Identified Cost $200,528,099) | 243,827,554 | |
Other assets less liabilities — 2.0% | 4,988,284 | |
Net Assets — 100.0% | $248,815,838 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
REITs | Real Estate Investment Trusts |
Semiconductors & Semiconductor Equipment | 7.7 % |
Hotels, Restaurants & Leisure | 7.4 |
Life Sciences Tools & Services | 7.1 |
Capital Markets | 6.5 |
Building Products | 5.9 |
Electrical Equipment | 4.6 |
Ground Transportation | 4.5 |
Oil, Gas & Consumable Fuels | 4.2 |
Insurance | 4.0 |
Banks | 3.6 |
Machinery | 3.5 |
Specialty Retail | 3.2 |
Metals & Mining | 3.1 |
Software | 3.0 |
Chemicals | 2.9 |
Professional Services | 2.7 |
Construction Materials | 2.5 |
Industrial REITs | 2.4 |
Aerospace & Defense | 2.3 |
Financial Services | 2.1 |
Specialized REITs | 2.1 |
Other Investments, less than 2% each | 11.1 |
Short-Term Investments | 1.6 |
Total Investments | 98.0 |
Other assets less liabilities | 2.0 |
Net Assets | 100.0 % |
Shares | Description | Value (†) |
Common Stocks — 95.6% of Net Assets | ||
Aerospace & Defense — 1.2% | ||
133,800 | BWX Technologies, Inc. | $12,711,000 |
Banks — 9.8% | ||
534,105 | Cadence Bank | 15,104,489 |
409,360 | Comerica, Inc. | 20,893,734 |
237,840 | Prosperity Bancshares, Inc. | 14,541,538 |
397,285 | United Bankshares, Inc. | 12,887,925 |
359,930 | Western Alliance Bancorp | 22,610,803 |
451,500 | Zions Bancorp NA | 19,581,555 |
105,620,044 | ||
Beverages — 1.8% | ||
18,096 | Coca-Cola Consolidated, Inc. | 19,634,160 |
Building Products — 3.9% | ||
184,785 | AAON, Inc. | 16,120,643 |
1,667,955 | Janus International Group, Inc.(a) | 21,066,272 |
382,125 | JELD-WEN Holding, Inc.(a) | 5,147,224 |
42,334,139 | ||
Capital Markets — 3.4% | ||
408,590 | Artisan Partners Asset Management, Inc., Class A | 16,862,509 |
95,490 | Evercore, Inc., Class A | 19,902,981 |
36,765,490 | ||
Chemicals — 7.4% | ||
488,785 | Axalta Coating Systems Ltd.(a) | 16,701,784 |
810,920 | Chemours Co. | 18,302,464 |
1,390,290 | Element Solutions, Inc. | 37,704,665 |
439,775 | Mativ Holdings, Inc. | 7,458,584 |
80,167,497 | ||
Construction & Engineering — 1.3% | ||
52,780 | Valmont Industries, Inc. | 14,485,471 |
Diversified Consumer Services — 1.2% | ||
176,965 | Stride, Inc.(a) | 12,476,033 |
Electric Utilities — 0.8% | ||
209,305 | Portland General Electric Co. | 9,050,348 |
Electrical Equipment — 0.5% | ||
37,925 | Atkore, Inc. | 5,117,220 |
Electronic Equipment, Instruments & Components — 4.4% | ||
77,180 | Fabrinet(a) | 18,892,892 |
99,980 | Insight Enterprises, Inc.(a) | 19,832,033 |
173,935 | Napco Security Technologies, Inc. | 9,035,923 |
47,760,848 | ||
Energy Equipment & Services — 0.9% | ||
928,395 | Patterson-UTI Energy, Inc. | 9,618,172 |
Ground Transportation — 2.7% | ||
466,655 | RXO, Inc.(a) | 12,203,029 |
36,280 | Saia, Inc.(a) | 17,207,241 |
29,410,270 | ||
Health Care Equipment & Supplies — 3.0% | ||
313,505 | Globus Medical, Inc., Class A(a) | 21,471,957 |
75,390 | TransMedics Group, Inc.(a) | 11,355,242 |
32,827,199 | ||
Health Care Providers & Services — 4.1% | ||
218,150 | Acadia Healthcare Co., Inc.(a) | 14,733,851 |
Shares | Description | Value (†) |
Health Care Providers & Services — continued | ||
263,980 | AMN Healthcare Services, Inc.(a) | $13,523,695 |
183,620 | HealthEquity, Inc.(a) | 15,828,044 |
44,085,590 | ||
Hotels, Restaurants & Leisure — 1.8% | ||
350,380 | Red Rock Resorts, Inc., Class A | 19,246,373 |
Household Durables — 3.1% | ||
84,920 | Installed Building Products, Inc. | 17,466,345 |
231,765 | Skyline Champion Corp.(a) | 15,702,079 |
33,168,424 | ||
Industrial REITs — 1.6% | ||
486,630 | STAG Industrial, Inc. | 17,547,878 |
Insurance — 3.5% | ||
406,470 | First American Financial Corp. | 21,929,057 |
168,000 | Selective Insurance Group, Inc. | 15,763,440 |
37,692,497 | ||
IT Services — 1.4% | ||
165,360 | ASGN, Inc.(a) | 14,579,791 |
Machinery — 3.5% | ||
101,930 | Alamo Group, Inc. | 17,633,890 |
117,625 | Federal Signal Corp. | 9,841,684 |
102,940 | Franklin Electric Co., Inc. | 9,915,181 |
37,390,755 | ||
Marine Transportation — 2.0% | ||
180,465 | Kirby Corp.(a) | 21,607,075 |
Metals & Mining — 1.5% | ||
152,945 | Materion Corp. | 16,537,943 |
Mortgage Real Estate Investment Trusts (REITs) — 2.2% | ||
1,368,310 | AGNC Investment Corp. | 13,053,678 |
963,605 | MFA Financial, Inc. | 10,252,757 |
23,306,435 | ||
Oil, Gas & Consumable Fuels — 5.7% | ||
308,625 | Antero Resources Corp.(a) | 10,070,434 |
81,635 | Chord Energy Corp. | 13,688,557 |
181,705 | Matador Resources Co. | 10,829,618 |
266,695 | Murphy Oil Corp. | 10,998,502 |
966,725 | Permian Resources Corp. | 15,612,608 |
61,199,719 | ||
Personal Care Products — 1.1% | ||
1,133,065 | Coty, Inc., Class A(a) | 11,353,311 |
Professional Services — 1.2% | ||
215,315 | Kforce, Inc. | 13,377,521 |
Real Estate Management & Development — 1.6% | ||
1,695,485 | Cushman & Wakefield PLC(a) | 17,633,044 |
Retail REITs — 1.6% | ||
406,875 | NNN REIT, Inc. | 17,332,875 |
Semiconductors & Semiconductor Equipment — 4.0% | ||
58,045 | Onto Innovation, Inc.(a) | 12,744,360 |
303,120 | Rambus, Inc.(a) | 17,811,331 |
245,125 | Ultra Clean Holdings, Inc.(a) | 12,011,125 |
42,566,816 | ||
Specialty Retail — 4.7% | ||
231,320 | Academy Sports & Outdoors, Inc. | 12,317,790 |
150,735 | Signet Jewelers Ltd. | 13,502,841 |
Shares | Description | Value (†) |
Specialty Retail — continued | ||
321,980 | Valvoline, Inc.(a) | $13,909,536 |
666,435 | Warby Parker, Inc., Class A(a) | 10,702,946 |
50,433,113 | ||
Textiles, Apparel & Luxury Goods — 1.6% | ||
451,110 | Gildan Activewear, Inc. | 17,106,091 |
Trading Companies & Distributors — 7.1% | ||
230,740 | Beacon Roofing Supply, Inc.(a) | 20,881,970 |
315,245 | Core & Main, Inc., Class A(a) | 15,428,090 |
98,935 | GATX Corp. | 13,095,037 |
139,410 | McGrath RentCorp | 14,854,136 |
298,422 | Rush Enterprises, Inc., Class A | 12,494,929 |
76,754,162 | ||
Total Common Stocks (Identified Cost $922,461,626) | 1,030,897,304 |
Principal Amount | ||
Short-Term Investments — 5.1% | ||
$55,123,759 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2024 at 3.500% to be repurchased at $55,139,837 on 7/01/2024 collateralized by $58,865,200 U.S. Treasury Note, 1.875% due 6/30/2026 valued at $56,226,361 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $55,123,759) | 55,123,759 |
Total Investments — 100.7% (Identified Cost $977,585,385) | 1,086,021,063 | |
Other assets less liabilities — (0.7)% | (7,726,942 ) | |
Net Assets — 100.0% | $1,078,294,121 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Non-income producing security. |
REITs | Real Estate Investment Trusts |
Banks | 9.8 % |
Chemicals | 7.4 |
Trading Companies & Distributors | 7.1 |
Oil, Gas & Consumable Fuels | 5.7 |
Specialty Retail | 4.7 |
Electronic Equipment, Instruments & Components | 4.4 |
Health Care Providers & Services | 4.1 |
Semiconductors & Semiconductor Equipment | 4.0 |
Building Products | 3.9 |
Insurance | 3.5 |
Machinery | 3.5 |
Capital Markets | 3.4 |
Household Durables | 3.1 |
Health Care Equipment & Supplies | 3.0 |
Ground Transportation | 2.7 |
Mortgage Real Estate Investment Trusts (REITs) | 2.2 |
Marine Transportation | 2.0 |
Other Investments, less than 2% each | 21.1 |
Short-Term Investments | 5.1 |
Total Investments | 100.7 |
Other assets less liabilities | (0.7 ) |
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 | $36,685,443 | $763,207,327 | $355,187,469 | $702,847,109 |
Net unrealized appreciation (depreciation) | 967,939 | 82,482,187 | (2,913,139 ) | 347,003,414 |
Investments at value | 37,653,382 | 845,689,514 | 352,274,330 | 1,049,850,523 |
Cash | — | 18 | — | 10,802 |
Foreign currency at value (identified cost $30,499, $0, $143,748 and $51,461, respectively) | 30,471 | — | 143,801 | 50,472 |
Receivable for Fund shares sold | — | 1,164,996 | 345,784 | 260,699 |
Receivable for securities sold | — | 717,656 | 1,462,619 | — |
Dividends and interest receivable | 24,022 | 555,818 | 395,383 | 529,248 |
Tax reclaims receivable | 104,093 | — | 4,267,634 | 383,933 |
Prepaid expenses | 311 | 312 | 312 | 312 |
TOTAL ASSETS | 37,812,279 | 848,128,314 | 358,889,863 | 1,051,085,989 |
LIABILITIES | ||||
Payable for securities purchased | — | 4,166,007 | 1,222,041 | 666,914 |
Payable for Fund shares redeemed | — | 345,949 | 333,016 | 261,210 |
Foreign taxes payable (Note 2) | — | — | 133,827 | — |
Management fees payable (Note 5) | 7,038 | 407,342 | 170,722 | 570,709 |
Deferred Trustees’ fees (Note 5) | 9,840 | 876,638 | 127,650 | 493,877 |
Administrative fees payable (Note 5) | 1,385 | 30,384 | 13,364 | 37,700 |
Payable to distributor (Note 5d) | 85 | 5,760 | 6,146 | 5,232 |
Audit and tax services fees payable | 27,386 | 26,067 | 27,378 | 26,910 |
Other accounts payable and accrued expenses | 18,325 | 59,178 | 87,413 | 94,005 |
TOTAL LIABILITIES | 64,059 | 5,917,325 | 2,121,557 | 2,156,557 |
COMMITMENTS AND CONTINGENCIES(a) | — | — | — | — |
NET ASSETS | $37,748,220 | $842,210,989 | $356,768,306 | $1,048,929,432 |
NET ASSETS CONSIST OF: | ||||
Paid-in capital | $37,176,077 | $722,749,262 | $487,137,265 | $654,239,618 |
Accumulated earnings (loss) | 572,143 | 119,461,727 | (130,368,959 ) | 394,689,814 |
NET ASSETS | $37,748,220 | $842,210,989 | $356,768,306 | $1,048,929,432 |
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 | $154,330 | $272,802,639 | $128,175,234 | $651,680,131 |
Shares of beneficial interest | 15,595 | 9,518,942 | 9,169,609 | 15,982,475 |
Net asset value and redemption price per share | $9.90 | $28.66 | $13.98 | $40.77 |
Offering price per share (100/94.25 of net asset value) (Note 1) | $10.50 | $30.41 | $14.83 | $43.26 |
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||
Net assets | $986 | $57,226,215 | $21,754,723 | $31,005,934 |
Shares of beneficial interest | 101 | 2,614,251 | 1,585,888 | 2,076,691 |
Net asset value and offering price per share | $9.72 * | $21.89 | $13.72 | $14.93 |
Class N shares: | ||||
Net assets | $26,985,687 | $835,163 | $405,595 | $1,691,091 |
Shares of beneficial interest | 2,719,526 | 26,737 | 29,107 | 31,231 |
Net asset value, offering and redemption price per share | $9.92 | $31.24 | $13.93 | $54.15 |
Class Y shares: | ||||
Net assets | $10,607,217 | $511,346,972 | $206,432,754 | $364,552,276 |
Shares of beneficial interest | 1,069,310 | 16,429,921 | 14,826,155 | 6,757,063 |
Net asset value, offering and redemption price per share | $9.92 | $31.12 | $13.92 | $53.95 |
* | 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 | $200,528,099 | $977,585,385 |
Net unrealized appreciation | 43,299,455 | 108,435,678 |
Investments at value | 243,827,554 | 1,086,021,063 |
Cash | — | 34,549 |
Receivable for Fund shares sold | 5,364,838 | 2,339,367 |
Dividends and interest receivable | 187,442 | 1,411,828 |
Prepaid expenses | 312 | 312 |
TOTAL ASSETS | 249,380,146 | 1,089,807,119 |
LIABILITIES | ||
Payable for securities purchased | — | 9,759,705 |
Payable for Fund shares redeemed | 93,175 | 710,520 |
Management fees payable (Note 5) | 126,467 | 686,018 |
Deferred Trustees’ fees (Note 5) | 265,449 | 219,553 |
Administrative fees payable (Note 5) | 8,870 | 38,354 |
Payable to distributor (Note 5d) | 2,067 | 10,119 |
Audit and tax services fees payable | 27,038 | 26,061 |
Other accounts payable and accrued expenses | 41,242 | 62,668 |
TOTAL LIABILITIES | 564,308 | 11,512,998 |
COMMITMENTS AND CONTINGENCIES(a) | — | — |
NET ASSETS | $248,815,838 | $1,078,294,121 |
NET ASSETS CONSIST OF: | ||
Paid-in capital | $187,105,420 | $966,576,792 |
Accumulated earnings | 61,710,418 | 111,717,329 |
NET ASSETS | $248,815,838 | $1,078,294,121 |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||
Class A shares: | ||
Net assets | $40,151,155 | $109,761,879 |
Shares of beneficial interest | 1,667,972 | 5,678,827 |
Net asset value and redemption price per share | $24.07 | $19.33 |
Offering price per share (100/94.25 of net asset value) (Note 1) | $25.54 | $20.51 |
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||
Net assets | $2,453,640 | $11,869,539 |
Shares of beneficial interest | 113,728 | 1,787,279 |
Net asset value and offering price per share | $21.57 | $6.64 |
Class N shares: | ||
Net assets | $67,788,371 | $90,532,117 |
Shares of beneficial interest | 2,767,561 | 4,385,016 |
Net asset value, offering and redemption price per share | $24.49 | $20.65 |
Class Y shares: | ||
Net assets | $138,422,672 | $866,130,586 |
Shares of beneficial interest | 5,641,453 | 42,022,144 |
Net asset value, offering and redemption price per share | $24.54 | $20.61 |
(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 | $332,215 | $6,910,963 | $9,256,224 | $5,842,586 |
Interest | 11,147 | 756,628 | 167,326 | 653,054 |
Less net foreign taxes withheld | (23,122 ) | (26,199 ) | (792,153 ) | (50,858 ) |
320,240 | 7,641,392 | 8,631,397 | 6,444,782 | |
Expenses | ||||
Management fees (Note 5) | 131,992 | 2,517,271 | 1,453,145 | 3,384,357 |
Service and distribution fees (Note 5) | 198 | 620,676 | 294,007 | 945,474 |
Administrative fees (Note 5) | 7,928 | 175,893 | 82,858 | 227,633 |
Trustees' fees and expenses (Note 5) | 10,399 | 112,786 | 28,577 | 78,516 |
Transfer agent fees and expenses (Notes 5, 6 and 7) | 5,629 | 311,258 | 325,015 | 312,516 |
Audit and tax services fees | 22,958 | 22,294 | 22,979 | 22,774 |
Custodian fees and expenses | 6,301 | 14,619 | 42,689 | 15,688 |
Legal fees | 710 | 13,442 | 8,564 | 21,064 |
Registration fees | 31,719 | 103,974 | 40,645 | 66,637 |
Shareholder reporting expenses | 4,556 | 29,330 | 34,125 | 30,326 |
Miscellaneous expenses | 26,315 | 27,722 | 38,065 | 42,103 |
Total expenses | 248,705 | 3,949,265 | 2,370,669 | 5,147,088 |
Less waiver and/or expense reimbursement (Note 5) | (87,868 ) | (185,324 ) | (418,960 ) | (576 ) |
Less expense offset (Note 7) | (29 ) | (19,136 ) | (3,514 ) | (26,025 ) |
Net expenses | 160,808 | 3,744,805 | 1,948,195 | 5,120,487 |
Net investment income | 159,432 | 3,896,587 | 6,683,202 | 1,324,295 |
Net realized and unrealized gain (loss) on Investments and Foreign currency transactions | ||||
Net realized gain (loss) on: | ||||
Investments | 10,312 | 40,154,519 | 10,907,526 | 72,219,803 |
Foreign currency transactions (Note 2c) | (3,501 ) | — | (46,088 ) | — |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,371,489 | (456,256 ) | (34,065,767 ) | 32,328,168 |
Foreign currency translations (Note 2c) | (5,667 ) | — | (131,255 ) | (2,863 ) |
Net realized and unrealized gain (loss) on Investments and Foreign currency transactions | 1,372,633 | 39,698,263 | (23,335,584 ) | 104,545,108 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $1,532,065 | $43,594,850 | $(16,652,382 ) | $105,869,403 |
Vaughan Nelson Mid Cap Fund | Vaughan Nelson Small Cap Value Fund | |
INVESTMENT INCOME | ||
Dividends | $1,439,439 | $8,898,133 |
Interest | 43,113 | 717,809 |
Less net foreign taxes withheld | (3,925 ) | (22,345 ) |
1,478,627 | 9,593,597 | |
Expenses | ||
Management fees (Note 5) | 921,352 | 3,785,765 |
Service and distribution fees (Note 5) | 65,548 | 189,390 |
Administrative fees (Note 5) | 55,375 | 200,445 |
Trustees' fees and expenses (Note 5) | 40,292 | 48,421 |
Transfer agent fees and expenses (Notes 5, 6 and 7) | 95,529 | 478,765 |
Audit and tax services fees | 22,763 | 22,308 |
Custodian fees and expenses | 10,804 | 26,056 |
Legal fees | 5,619 | 12,977 |
Registration fees | 31,086 | 96,197 |
Shareholder reporting expenses | 14,833 | 47,262 |
Miscellaneous expenses | 23,102 | 29,003 |
Total expenses | 1,286,303 | 4,936,589 |
Less waiver and/or expense reimbursement (Note 5) | (125,601 ) | (285,733 ) |
Less expense offset (Note 7) | (2,530 ) | (17,888 ) |
Net expenses | 1,158,172 | 4,632,968 |
Net investment income | 320,455 | 4,960,629 |
Net realized and unrealized gain (loss) on Investments | ||
Net realized gain on: | ||
Investments | 23,964,816 | 10,669,377 |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | (10,054,144 ) | 6,390,194 |
Net realized and unrealized gain on Investments | 13,910,672 | 17,059,571 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $14,231,127 | $22,020,200 |
Loomis Sayles International Growth Fund | Natixis Oakmark Fund | |||
Six Months Ended June 30,2024 (Unaudited) | Year Ended December 31,2023 | Six Months Ended June 30,2024 (Unaudited) | Year Ended December 31,2023 | |
FROM OPERATIONS: | ||||
Net investment income | $159,432 | $112,387 | $3,896,587 | $3,821,044 |
Net realized gain on investments and foreign currency transactions | 6,811 | 175,427 | 40,154,519 | 27,353,836 |
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | 1,365,822 | 4,979,196 | (456,256 ) | 89,789,474 |
Net increase in net assets resulting from operations | 1,532,065 | 5,267,010 | 43,594,850 | 120,964,354 |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (32 ) | (506 ) | (1,620,344 ) | (8,928,576 ) |
Class C | — | — | (443,036 ) | (2,146,898 ) |
Class N | (5,439 ) | (157,071 ) | (3,728 ) | (22,322 ) |
Class Y | (2,145 ) | (27,691 ) | (2,575,612 ) | (11,189,568 ) |
Total distributions | (7,616 ) | (185,268 ) | (4,642,720 ) | (22,287,364 ) |
NET INCREASE IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 11) | 5,499,759 | 1,061,444 | 165,767,224 | 190,347,088 |
Net increase in net assets | 7,024,208 | 6,143,186 | 204,719,354 | 289,024,078 |
NET ASSETS | ||||
Beginning of the period | 30,724,012 | 24,580,826 | 637,491,635 | 348,467,557 |
End of the period | $37,748,220 | $30,724,012 | $842,210,989 | $637,491,635 |
Natixis Oakmark International Fund | Natixis U.S. Equity Opportunities Fund | |||
Six Months Ended June 30,2024 (Unaudited) | Year Ended December 31,2023 | Six Months Ended June 30,2024 (Unaudited) | Year Ended December 31,2023 | |
FROM OPERATIONS: | ||||
Net investment income | $6,683,202 | $7,334,287 | $1,324,295 | $1,371,572 |
Net realized gain (loss) on investments and foreign currency transactions | 10,861,438 | (7,845,466 ) | 72,219,803 | 50,768,461 |
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | (34,197,022 ) | 66,111,459 | 32,325,305 | 211,753,623 |
Net increase (decrease) in net assets resulting from operations | (16,652,382 ) | 65,600,280 | 105,869,403 | 263,893,656 |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (153,536 ) | (2,424,146 ) | (111,955 ) | (46,461,965 ) |
Class C | (27,494 ) | (211,014 ) | (15,181 ) | (5,579,179 ) |
Class N | (330 ) | (6,886 ) | (203 ) | (13,778 ) |
Class Y | (225,383 ) | (4,204,232 ) | (46,967 ) | (19,320,721 ) |
Total distributions | (406,743 ) | (6,846,278 ) | (174,306 ) | (71,375,643 ) |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 11) | (14,804,887 ) | (30,035,491 ) | (22,226,937 ) | 39,116,768 |
Net increase (decrease) in net assets | (31,864,012 ) | 28,718,511 | 83,468,160 | 231,634,781 |
NET ASSETS | ||||
Beginning of the period | 388,632,318 | 359,913,807 | 965,461,272 | 733,826,491 |
End of the period | $356,768,306 | $388,632,318 | $1,048,929,432 | $965,461,272 |
Vaughan Nelson Mid Cap Fund | Vaughan Nelson Small Cap Value Fund | |||
Six Months Ended June 30,2024 (Unaudited) | Year Ended December 31,2023 | Six Months Ended June 30,2024 (Unaudited) | Year Ended December 31,2023 | |
FROM OPERATIONS: | ||||
Net investment income | $320,455 | $1,119,082 | $4,960,629 | $2,813,425 |
Net realized gain (loss) on investments | 23,964,816 | 19,749,361 | 10,669,377 | (9,629,084 ) |
Net change in unrealized appreciation (depreciation) on investments | (10,054,144 ) | 16,342,125 | 6,390,194 | 96,818,512 |
Net increase in net assets resulting from operations | 14,231,127 | 37,210,568 | 22,020,200 | 90,002,853 |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (7,025 ) | (125,295 ) | — | (318,831 ) |
Class C | (602 ) | — | — | (67,551 ) |
Class N | (10,935 ) | (367,799 ) | — | (12,034 ) |
Class Y | (23,434 ) | (766,274 ) | — | (2,375,163 ) |
Total distributions | (41,996 ) | (1,259,368 ) | — | (2,773,579 ) |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 11) | (16,027,542 ) | (47,517,639 ) | 404,141,722 | 374,368,392 |
Net increase (decrease) in net assets | (1,838,411 ) | (11,566,439 ) | 426,161,922 | 461,597,666 |
NET ASSETS | ||||
Beginning of the period | 250,654,249 | 262,220,688 | 652,132,199 | 190,534,533 |
End of the period | $248,815,838 | $250,654,249 | $1,078,294,121 | $652,132,199 |
Loomis Sayles International Growth Fund—Class A | |||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $9.42 | $7.84 | $9.57 | $10.13 | $10.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income (loss)(a) | 0.03 | 0.01 | 0.02 | (0.01 ) | 0.01 |
Net realized and unrealized gain (loss) | 0.45 | 1.60 | (1.71 ) | (0.41 ) | 0.13 |
Total from Investment Operations | 0.48 | 1.61 | (1.69 ) | (0.42 ) | 0.14 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.00 )(b) | (0.03 ) | (0.04 ) | (0.01 ) | (0.01 ) |
Net realized capital gains | — | — | — | (0.13 ) | — |
Total Distributions | (0.00 ) | (0.03 ) | (0.04 ) | (0.14 ) | (0.01 ) |
Net asset value, end of the period | $9.90 | $9.42 | $7.84 | $9.57 | $10.13 |
Total return(c)(d) | 5.12 %(e) | 20.56 % | (17.71 )% | (4.07 )% | 1.37 %(e) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $154 | $151 | $125 | $113 | $1 |
Net expenses(f) | 1.20 %(g) | 1.20 % | 1.20 % | 1.20 % | 1.20 %(g) |
Gross expenses | 1.75 %(g)(h) | 1.87 % | 2.05 % | 2.71 % | 13.05 %(g) |
Net investment income (loss) | 0.56 %(g) | 0.12 % | 0.26 % | (0.07 )% | 1.28 %(g) |
Portfolio turnover rate | 0 % | 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 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) | 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. |
(h) | Includes transfer agent fees and expenses before expense offset. Without these expenses the ratio of gross expenses would have been 1.74%. See Note 7 of Notes to Financial Statements. |
Loomis Sayles International Growth Fund—Class C | |||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $9.29 | $7.77 | $9.51 | $10.13 | $10.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income (loss)(a) | (0.01 ) | (0.06 ) | 0.02 | (0.09 ) | 0.00 (b) |
Net realized and unrealized gain (loss) | 0.44 | 1.58 | (1.76 ) | (0.40 ) | 0.13 |
Total from Investment Operations | 0.43 | 1.52 | (1.74 ) | (0.49 ) | 0.13 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.00 )(b) | — | — | (0.00 )(b) | (0.00 )(b) |
Net realized capital gains | — | — | — | (0.13 ) | — |
Total Distributions | (0.00 ) | — | — | (0.13 ) | (0.00 ) |
Net asset value, end of the period | $9.72 | $9.29 | $7.77 | $9.51 | $10.13 |
Total return(c)(d) | 4.65 %(e) | 19.56 % | (18.30 )% | (4.79 )% | 1.33 %(e) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $1 | $1 | $1 | $38 | $1 |
Net expenses(f) | 1.95 %(g) | 1.95 % | 1.95 % | 1.95 % | 1.95 %(g) |
Gross expenses | 3.17 %(g)(h) | 2.53 % | 2.79 % | 3.46 % | 13.78 %(g) |
Net investment income (loss) | (0.22 )%(g) | (0.68 )% | 0.21 % | (0.90 )% | 0.55 %(g) |
Portfolio turnover rate | 0 % | 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. |
(h) | Includes transfer agent fees and expenses before expense offset. Without these expenses the ratio of gross expenses would have been 2.61%. See Note 7 of Notes to Financial Statements. |
Loomis Sayles International Growth Fund—Class N | |||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $9.44 | $7.85 | $9.58 | $10.13 | $10.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.04 | 0.04 | 0.05 | 0.03 | 0.01 |
Net realized and unrealized gain (loss) | 0.44 | 1.61 | (1.72 ) | (0.42 ) | 0.13 |
Total from Investment Operations | 0.48 | 1.65 | (1.67 ) | (0.39 ) | 0.14 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.00 )(b) | (0.06 ) | (0.06 ) | (0.03 ) | (0.01 ) |
Net realized capital gains | — | — | — | (0.13 ) | — |
Total Distributions | (0.00 ) | (0.06 ) | (0.06 ) | (0.16 ) | (0.01 ) |
Net asset value, end of the period | $9.92 | $9.44 | $7.85 | $9.58 | $10.13 |
Total return(c) | 5.11 %(d) | 20.99 % | (17.47 )% | (3.77 )% | 1.38 %(d) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $26,986 | $25,661 | $21,331 | $22,953 | $15,206 |
Net expenses(e) | 0.90 %(f) | 0.90 % | 0.90 % | 0.90 % | 0.90 %(f) |
Gross expenses | 1.39 %(f) | 1.47 % | 1.67 % | 1.58 % | 6.48 %(f) |
Net investment income | 0.86 %(f) | 0.41 % | 0.62 % | 0.29 % | 1.43 %(f) |
Portfolio turnover rate | 0 % | 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) | Amount rounds to less than $0.01 per share. |
(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 Y | |||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $9.44 | $7.85 | $9.58 | $10.13 | $10.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||
Net investment income(a) | 0.05 | 0.03 | 0.04 | 0.02 | 0.01 |
Net realized and unrealized gain (loss) | 0.43 | 1.61 | (1.72 ) | (0.41 ) | 0.13 |
Total from Investment Operations | 0.48 | 1.64 | (1.68 ) | (0.39 ) | 0.14 |
LESS DISTRIBUTIONS FROM: | |||||
Net investment income | (0.00 )(b) | (0.05 ) | (0.05 ) | (0.03 ) | (0.01 ) |
Net realized capital gains | — | — | — | (0.13 ) | — |
Total Distributions | (0.00 ) | (0.05 ) | (0.05 ) | (0.16 ) | (0.01 ) |
Net asset value, end of the period | $9.92 | $9.44 | $7.85 | $9.58 | $10.13 |
Total return(c) | 5.22 %(d) | 20.81 % | (17.50 )% | (3.81 )% | 1.38 %(d) |
RATIOS TO AVERAGE NET ASSETS: | |||||
Net assets, end of the period (000's) | $10,607 | $4,911 | $3,124 | $222 | $12 |
Net expenses(e) | 0.95 %(f) | 0.95 % | 0.95 % | 0.95 % | 0.95 %(f) |
Gross expenses | 1.49 %(f) | 1.62 % | 1.80 % | 2.46 % | 12.58 %(f) |
Net investment income | 1.06 %(f) | 0.32 % | 0.47 % | 0.19 % | 1.63 %(f) |
Portfolio turnover rate | 0 % | 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) | Amount rounds to less than $0.01 per share. |
(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. |
Natixis Oakmark Fund—Class A | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $27.24 | $21.55 | $29.04 | $23.20 | $22.45 | $19.44 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.13 | 0.20 | 0.17 | 0.07 | 0.11 (b) | 0.18 (c) |
Net realized and unrealized gain (loss) | 1.46 | 6.48 | (4.00 ) | 7.81 | 2.78 | 4.93 |
Total from Investment Operations | 1.59 | 6.68 | (3.83 ) | 7.88 | 2.89 | 5.11 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.00 )(d) | (0.16 ) | (0.20 ) | (0.05 ) | (0.12 ) | (0.21 ) |
Net realized capital gains | (0.17 ) | (0.83 ) | (3.46 ) | (1.99 ) | (2.02 ) | (1.89 ) |
Total Distributions | (0.17 ) | (0.99 ) | (3.66 ) | (2.04 ) | (2.14 ) | (2.10 ) |
Net asset value, end of the period | $28.66 | $27.24 | $21.55 | $29.04 | $23.20 | $22.45 |
Total return(e) | 5.83 %(f)(g) | 30.96 %(f) | (13.30 )%(f) | 33.97 %(f) | 13.01 %(b) | 26.77 %(c) |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $272,803 | $257,098 | $192,750 | $222,435 | $170,702 | $181,417 |
Net expenses | 1.05 %(h)(i) | 1.05 %(h) | 1.05 %(h) | 1.12 %(h)(j) | 1.20 %(k) | 1.17 % |
Gross expenses | 1.10 %(i) | 1.15 % | 1.10 % | 1.14 % | 1.20 %(k) | 1.17 % |
Net investment income | 0.90 %(i) | 0.81 % | 0.65 % | 0.25 % | 0.53 %(b) | 0.85 %(c) |
Portfolio turnover rate | 21 % | 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) | Amount rounds to less than $0.01 per share. |
(e) | A sales charge for Class A 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) | Periods less than one year are not annualized. |
(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) | Computed on an annualized basis for periods less than one year. |
(j) | Effective July 1, 2021, the expense limit decreased from 1.30% to 1.05%. |
(k) | Includes refund of prior year service fee of 0.01%. |
Natixis Oakmark Fund—Class C | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $20.92 | $16.74 | $23.50 | $19.17 | $18.92 | $16.66 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income (loss)(a) | 0.02 | 0.01 | (0.02 ) | (0.12 ) | (0.04 )(b) | 0.02 (c) |
Net realized and unrealized gain (loss) | 1.12 | 5.01 | (3.23 ) | 6.44 | 2.31 | 4.20 |
Total from Investment Operations | 1.14 | 5.02 | (3.25 ) | 6.32 | 2.27 | 4.22 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.00 )(d) | (0.01 ) | (0.05 ) | (0.00 )(d) | — | (0.07 ) |
Net realized capital gains | (0.17 ) | (0.83 ) | (3.46 ) | (1.99 ) | (2.02 ) | (1.89 ) |
Total Distributions | (0.17 ) | (0.84 ) | (3.51 ) | (1.99 ) | (2.02 ) | (1.96 ) |
Net asset value, end of the period | $21.89 | $20.92 | $16.74 | $23.50 | $19.17 | $18.92 |
Total return(e) | 5.44 %(f)(g) | 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) | $57,226 | $55,880 | $51,987 | $50,042 | $35,940 | $54,384 |
Net expenses | 1.80 %(h)(i) | 1.80 %(h) | 1.80 %(h) | 1.87 %(h)(j) | 1.95 % | 1.92 % |
Gross expenses | 1.85 %(i) | 1.90 % | 1.85 % | 1.89 % | 1.95 % | 1.92 % |
Net investment income (loss) | 0.15 %(i) | 0.05 % | (0.10 )% | (0.49 )% | (0.23 )%(b) | 0.12 %(c) |
Portfolio turnover rate | 21 % | 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) | Periods less than one year are not annualized. |
(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) | Computed on an annualized basis for periods less than one year. |
(j) | Effective July 1, 2021, the expense limit decreased from 2.05% to 1.80%. |
Natixis Oakmark Fund—Class N | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $29.63 | $23.36 | $31.13 | $24.72 | $23.78 | $20.49 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.18 | 0.30 | 0.26 | 0.23 | 0.18 (b) | 0.22 (c) |
Net realized and unrealized gain (loss) | 1.60 | 7.03 | (4.29 ) | 8.31 | 2.98 | 5.25 |
Total from Investment Operations | 1.78 | 7.33 | (4.03 ) | 8.54 | 3.16 | 5.47 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.00 )(d) | (0.23 ) | (0.28 ) | (0.14 ) | (0.20 ) | (0.29 ) |
Net realized capital gains | (0.17 ) | (0.83 ) | (3.46 ) | (1.99 ) | (2.02 ) | (1.89 ) |
Total Distributions | (0.17 ) | (1.06 ) | (3.74 ) | (2.13 ) | (2.22 ) | (2.18 ) |
Net asset value, end of the period | $31.24 | $29.63 | $23.36 | $31.13 | $24.72 | $23.78 |
Total return(e) | 6.00 %(f) | 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) | $835 | $647 | $517 | $682 | $364 | $801 |
Net expenses(g) | 0.75 %(h) | 0.75 % | 0.75 % | 0.80 %(i) | 0.86 % | 0.83 % |
Gross expenses | 0.95 %(h) | 1.03 % | 0.93 % | 1.55 % | 1.05 % | 1.25 % |
Net investment income | 1.20 %(h) | 1.11 % | 0.93 % | 0.79 % | 0.85 %(b) | 0.93 %(c) |
Portfolio turnover rate | 21 % | 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) | Amount rounds to less than $0.01 per share. |
(e) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(f) | Periods less than one year are not annualized. |
(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) | Computed on an annualized basis for periods less than one year. |
(i) | Effective July 1, 2021, the expense limit decreased from 1.00% to 0.75%. |
Natixis Oakmark Fund—Class Y | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $29.53 | $23.29 | $31.04 | $24.68 | $23.75 | $20.46 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.18 | 0.31 | 0.25 | 0.17 | 0.17 (b) | 0.27 (c) |
Net realized and unrealized gain (loss) | 1.58 | 6.98 | (4.28 ) | 8.31 | 2.95 | 5.17 |
Total from Investment Operations | 1.76 | 7.29 | (4.03 ) | 8.48 | 3.12 | 5.44 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.00 )(d) | (0.22 ) | (0.26 ) | (0.13 ) | (0.17 ) | (0.26 ) |
Net realized capital gains | (0.17 ) | (0.83 ) | (3.46 ) | (1.99 ) | (2.02 ) | (1.89 ) |
Total Distributions | (0.17 ) | (1.05 ) | (3.72 ) | (2.12 ) | (2.19 ) | (2.15 ) |
Net asset value, end of the period | $31.12 | $29.53 | $23.29 | $31.04 | $24.68 | $23.75 |
Total return | 5.95 %(e)(f) | 31.28 %(e) | (13.10 )%(e) | 34.35 %(e) | 13.28 %(b) | 27.06 %(c)(e) |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $511,347 | $323,867 | $103,213 | $99,008 | $37,595 | $46,836 |
Net expenses | 0.80 %(g)(h) | 0.80 %(g) | 0.80 %(g) | 0.86 %(g)(i) | 0.95 % | 0.91 %(g) |
Gross expenses | 0.85 %(h) | 0.90 % | 0.85 % | 0.89 % | 0.95 % | 0.92 % |
Net investment income | 1.16 %(h) | 1.13 % | 0.89 % | 0.56 % | 0.79 %(b) | 1.16 %(c) |
Portfolio turnover rate | 21 % | 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) | Amount rounds to less than $0.01 per share. |
(e) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(f) | Periods less than one year are not annualized. |
(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) | Computed on an annualized basis for periods less than one year. |
(i) | Effective July 1, 2021, the expense limit decreased from 1.05% to 0.80%. |
Natixis Oakmark International Fund—Class A | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $14.64 | $12.52 | $15.15 | $14.15 | $13.63 | $11.29 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income (loss)(a) | 0.25 | 0.26 (b) | 0.19 | 0.27 (c) | (0.00 )(d) | 0.37 (e) |
Net realized and unrealized gain (loss) | (0.89 ) | 2.11 | (2.60 ) | 0.96 | 0.55 (f) | 2.38 |
Total from Investment Operations | (0.64 ) | 2.37 | (2.41 ) | 1.23 | 0.55 | 2.75 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.02 ) | (0.25 ) | (0.22 ) | (0.23 ) | (0.03 ) | (0.41 ) |
Net asset value, end of the period | $13.98 | $14.64 | $12.52 | $15.15 | $14.15 | $13.63 |
Total return(g) | (4.40 )%(h)(i) | 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) | $128,175 | $142,825 | $120,316 | $152,900 | $131,630 | $172,906 |
Net expenses | 1.15 %(j)(k) | 1.15 %(j) | 1.15 %(j) | 1.17 %(j)(l) | 1.29 %(j)(m) | 1.29 % |
Gross expenses | 1.38 %(k) | 1.37 % | 1.38 % | 1.34 % | 1.36 % | 1.29 % |
Net investment income (loss) | 3.53 %(k) | 1.84 %(b) | 1.48 % | 1.73 %(c) | (0.03 )% | 2.91 %(e) |
Portfolio turnover rate | 19 % | 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) | Periods less than one year are not annualized. |
(j) | 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. |
(k) | Computed on an annualized basis for periods less than one year. |
(l) | Effective July 1, 2021, the expense limit decreased from 1.20% to 1.15%. |
(m) | Effective July 1, 2020, the expense limit decreased from 1.37% to 1.20%. |
Natixis Oakmark International Fund—Class C | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $14.42 | $12.31 | $14.86 | $13.85 | $13.41 | $11.11 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income (loss)(a) | 0.19 | 0.16 (b) | 0.10 | 0.13 (c) | (0.08 ) | 0.26 (d) |
Net realized and unrealized gain (loss) | (0.87 ) | 2.06 | (2.55 ) | 0.97 | 0.52 (e) | 2.34 |
Total from Investment Operations | (0.68 ) | 2.22 | (2.45 ) | 1.10 | 0.44 | 2.60 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.02 ) | (0.11 ) | (0.10 ) | (0.09 ) | — | (0.30 ) |
Net asset value, end of the period | $13.72 | $14.42 | $12.31 | $14.86 | $13.85 | $13.41 |
Total return(f) | (4.75 )%(g)(h) | 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) | $21,755 | $28,598 | $39,202 | $69,335 | $96,772 | $179,533 |
Net expenses | 1.90 %(i)(j) | 1.90 %(i) | 1.90 %(i) | 1.93 %(i)(k) | 2.05 %(i)(l) | 2.04 % |
Gross expenses | 2.13 %(j) | 2.12 % | 2.13 % | 2.09 % | 2.11 % | 2.04 % |
Net investment income (loss) | 2.64 %(j) | 1.18 %(b) | 0.78 % | 0.85 %(c) | (0.76 )% | 2.09 %(d) |
Portfolio turnover rate | 19 % | 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) | Periods less than one year are not annualized. |
(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) | Computed on an annualized basis for periods less than one year. |
(k) | Effective July 1, 2021, the expense limit decreased from 1.95% to 1.90%. |
(l) | Effective July 1, 2020, the expense limit decreased from 2.12% to 1.95%. |
Natixis Oakmark International Fund—Class N | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $14.57 | $12.46 | $15.08 | $14.09 | $13.56 | $11.25 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.26 | 0.29 (b) | 0.32 | 0.38 (c) | 0.04 | 0.33 (d) |
Net realized and unrealized gain (loss) | (0.88 ) | 2.11 | (2.68 ) | 0.89 | 0.56 (e) | 2.45 |
Total from Investment Operations | (0.62 ) | 2.40 | (2.36 ) | 1.27 | 0.60 | 2.78 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.02 ) | (0.29 ) | (0.26 ) | (0.28 ) | (0.07 ) | (0.47 ) |
Net asset value, end of the period | $13.93 | $14.57 | $12.46 | $15.08 | $14.09 | $13.56 |
Total return(f) | (4.29 )%(g) | 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) | $406 | $348 | $222 | $704 | $290 | $811 |
Net expenses(h) | 0.85 %(i) | 0.85 % | 0.85 % | 0.87 %(j) | 0.92 %(k) | 0.94 % |
Gross expenses | 1.34 %(i)(l) | 1.44 % | 1.01 % | 1.25 % | 1.17 % | 1.08 % |
Net investment income | 3.62 %(i) | 2.08 %(b) | 2.56 % | 2.49 %(c) | 0.37 % | 2.56 %(d) |
Portfolio turnover rate | 19 % | 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) | Periods less than one year are not annualized. |
(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) | Computed on an annualized basis for periods less than one year. |
(j) | Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%. |
(k) | Effective July 1, 2020, the expense limit decreased from 1.07% to 0.90%. |
(l) | Includes transfer agent fees and expenses before expense offset. Without these expenses the ratio of gross expenses would have been 1.32%. See Note 7 of Notes to Financial Statements. |
Natixis Oakmark International Fund—Class Y | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $14.56 | $12.45 | $15.07 | $14.08 | $13.56 | $11.25 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.27 | 0.29 (b) | 0.22 | 0.30 (c) | 0.04 | 0.37 (d) |
Net realized and unrealized gain (loss) | (0.89 ) | 2.11 | (2.58 ) | 0.96 | 0.55 (e) | 2.40 |
Total from Investment Operations | (0.62 ) | 2.40 | (2.36 ) | 1.26 | 0.59 | 2.77 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.02 ) | (0.29 ) | (0.26 ) | (0.27 ) | (0.07 ) | (0.46 ) |
Net asset value, end of the period | $13.92 | $14.56 | $12.45 | $15.07 | $14.08 | $13.56 |
Total return | (4.29 )%(f)(g) | 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) | $206,433 | $216,862 | $200,175 | $312,930 | $275,468 | $244,586 |
Net expenses | 0.90 %(h)(i) | 0.90 %(h) | 0.90 %(h) | 0.92 %(h)(j) | 1.03 %(h)(k) | 1.04 % |
Gross expenses | 1.13 %(i) | 1.12 % | 1.13 % | 1.09 % | 1.11 % | 1.04 % |
Net investment income | 3.83 %(i) | 2.08 %(b) | 1.66 % | 1.96 %(c) | 0.41 % | 2.91 %(d) |
Portfolio turnover rate | 19 % | 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) | Periods less than one year are not annualized. |
(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) | Computed on an annualized basis for periods less than one year. |
(j) | Effective July 1, 2021, the expense limit decreased from 0.95% to 0.90%. |
(k) | Effective July 1, 2020, the expense limit decreased from 1.12% to 0.95%. |
Natixis U.S. Equity Opportunities Fund—Class A | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $36.73 | $29.01 | $43.12 | $39.04 | $36.53 | $31.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income (loss)(a) | 0.04 | 0.04 | 0.03 | (0.11 ) | (0.05 ) | 0.15 (b) |
Net realized and unrealized gain (loss) | 4.01 | 10.66 | (8.89 ) | 8.99 | 7.66 | 9.34 |
Total from Investment Operations | 4.05 | 10.70 | (8.86 ) | 8.88 | 7.61 | 9.49 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.01 ) | (0.03 ) | (0.03 ) | — | — | (0.17 ) |
Net realized capital gains | — | (2.95 ) | (5.22 ) | (4.80 ) | (5.10 ) | (3.79 ) |
Total Distributions | (0.01 ) | (2.98 ) | (5.25 ) | (4.80 ) | (5.10 ) | (3.96 ) |
Net asset value, end of the period | $40.77 | $36.73 | $29.01 | $43.12 | $39.04 | $36.53 |
Total return(c) | 11.02 %(d) | 37.01 % | (21.15 )% | 23.14 % | 22.09 % | 31.03 %(b) |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $651,680 | $612,653 | $512,392 | $733,423 | $649,754 | $616,922 |
Net expenses | 1.08 %(e) | 1.10 % | 1.12 % | 1.14 % | 1.17 % | 1.17 % |
Gross expenses | 1.08 %(e) | 1.10 % | 1.12 % | 1.14 % | 1.17 % | 1.17 % |
Net investment income (loss) | 0.20 %(e) | 0.11 % | 0.09 % | (0.25 )% | (0.14 )% | 0.42 %(b) |
Portfolio turnover rate | 19 % | 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. |
(d) | Periods less than one year are not annualized. |
(e) | Computed on an annualized basis for periods less than one year. |
Natixis U.S. Equity Opportunities Fund—Class C | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $13.51 | $12.12 | $21.82 | $21.89 | $22.65 | $20.42 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment loss(a) | (0.04 ) | (0.09 ) | (0.12 ) | (0.24 ) | (0.19 ) | (0.07 )(b) |
Net realized and unrealized gain (loss) | 1.47 | 4.43 | (4.36 ) | 4.97 | 4.53 | 6.10 |
Total from Investment Operations | 1.43 | 4.34 | (4.48 ) | 4.73 | 4.34 | 6.03 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.01 ) | — | — | — | — | (0.01 ) |
Net realized capital gains | — | (2.95 ) | (5.22 ) | (4.80 ) | (5.10 ) | (3.79 ) |
Total Distributions | (0.01 ) | (2.95 ) | (5.22 ) | (4.80 ) | (5.10 ) | (3.80 ) |
Net asset value, end of the period | $14.93 | $13.51 | $12.12 | $21.82 | $21.89 | $22.65 |
Total return(c) | 10.64 %(d) | 35.98 % | (21.77 )% | 22.27 % | 21.15 % | 30.06 %(b) |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $31,006 | $30,479 | $29,356 | $57,492 | $63,126 | $77,924 |
Net expenses | 1.83 %(e) | 1.85 % | 1.87 % | 1.89 % | 1.92 % | 1.92 % |
Gross expenses | 1.83 %(e) | 1.85 % | 1.87 % | 1.89 % | 1.92 % | 1.92 % |
Net investment loss | (0.55 )%(e) | (0.64 )% | (0.66 )% | (0.99 )% | (0.87 )% | (0.31 )%(b) |
Portfolio turnover rate | 19 % | 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. |
(d) | Periods less than one year are not annualized. |
(e) | Computed on an annualized basis for periods less than one year. |
Natixis U.S. Equity Opportunities Fund—Class N | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $48.71 | $37.72 | $54.14 | $47.84 | $43.61 | $36.37 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.12 | 0.20 | 0.18 | 0.03 | 0.13 | 0.19 (b) |
Net realized and unrealized gain (loss) | 5.33 | 13.89 | (11.23 ) | 11.07 | 9.20 | 11.14 |
Total from Investment Operations | 5.45 | 14.09 | (11.05 ) | 11.10 | 9.33 | 11.33 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.01 ) | (0.15 ) | (0.15 ) | — | — | (0.30 ) |
Net realized capital gains | — | (2.95 ) | (5.22 ) | (4.80 ) | (5.10 ) | (3.79 ) |
Total Distributions | (0.01 ) | (3.10 ) | (5.37 ) | (4.80 ) | (5.10 ) | (4.09 ) |
Net asset value, end of the period | $54.15 | $48.71 | $37.72 | $54.14 | $47.84 | $43.61 |
Total return(c) | 11.18 %(d) | 37.44 % | (20.88 )% | 23.53 % | 22.48 % | 31.44 %(b) |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $1,691 | $224 | $167 | $177 | $172 | $654 |
Net expenses(e) | 0.77 %(f) | 0.78 % | 0.81 % | 0.83 % | 0.84 % | 0.83 % |
Gross expenses | 0.87 %(f) | 1.39 % | 1.34 % | 1.38 % | 1.13 % | 1.42 % |
Net investment income | 0.45 %(f) | 0.43 % | 0.41 % | 0.06 % | 0.31 % | 0.44 %(b) |
Portfolio turnover rate | 19 % | 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) | 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. |
Natixis U.S. Equity Opportunities Fund—Class Y | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $48.54 | $37.60 | $53.99 | $47.74 | $43.56 | $36.33 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.12 | 0.17 | 0.15 | 0.00 (b) | 0.05 | 0.29 (c) |
Net realized and unrealized gain (loss) | 5.30 | 13.84 | (11.20 ) | 11.05 | 9.23 | 10.99 |
Total from Investment Operations | 5.42 | 14.01 | (11.05 ) | 11.05 | 9.28 | 11.28 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.01 ) | (0.12 ) | (0.12 ) | — | — | (0.26 ) |
Net realized capital gains | — | (2.95 ) | (5.22 ) | (4.80 ) | (5.10 ) | (3.79 ) |
Total Distributions | (0.01 ) | (3.07 ) | (5.34 ) | (4.80 ) | (5.10 ) | (4.05 ) |
Net asset value, end of the period | $53.95 | $48.54 | $37.60 | $53.99 | $47.74 | $43.56 |
Total return | 11.16 %(d) | 37.35 % | (20.95 )% | 23.48 % | 22.36 % | 31.36 %(c)(e) |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $364,552 | $322,106 | $191,912 | $284,738 | $243,302 | $283,864 |
Net expenses | 0.83 %(f) | 0.85 % | 0.87 % | 0.89 % | 0.92 % | 0.91 %(g) |
Gross expenses | 0.83 %(f) | 0.85 % | 0.87 % | 0.89 % | 0.92 % | 0.92 % |
Net investment income | 0.45 %(f) | 0.37 % | 0.35 % | 0.00 (h) | 0.13 % | 0.69 %(c) |
Portfolio turnover rate | 19 % | 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) | Periods less than one year are not annualized. |
(e) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | 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. |
(h) | Amount rounds to less than 0.01%. |
Vaughan Nelson Mid Cap Fund—Class A | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $22.76 | $19.64 | $22.70 | $21.79 | $22.42 | $17.37 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.01 | 0.05 | 0.11 | 0.05 | 0.07 | 0.03 |
Net realized and unrealized gain (loss) | 1.30 | 3.14 | (2.53 ) | 4.52 | 1.96 | 5.21 |
Total from Investment Operations | 1.31 | 3.19 | (2.42 ) | 4.57 | 2.03 | 5.24 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.00 )(b) | (0.07 ) | (0.13 ) | (0.04 ) | (0.04 ) | (0.02 ) |
Net realized capital gains | — | — | (0.51 ) | (3.62 ) | (2.62 ) | (0.17 ) |
Total Distributions | (0.00 ) | (0.07 ) | (0.64 ) | (3.66 ) | (2.66 ) | (0.19 ) |
Net asset value, end of the period | $24.07 | $22.76 | $19.64 | $22.70 | $21.79 | $22.42 |
Total return(c)(d) | 5.77 %(e) | 16.26 % | (10.80 )% | 21.32 % | 10.46 % | 30.21 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $40,151 | $38,864 | $33,507 | $37,849 | $30,567 | $33,434 |
Net expenses(f) | 1.15 %(g) | 1.15 % | 1.15 % | 1.17 %(h) | 1.20 % | 1.25 %(i)(j) |
Gross expenses | 1.27 %(g) | 1.25 % | 1.21 % | 1.23 % | 1.29 % | 1.28 %(j) |
Net investment income | 0.06 %(g) | 0.25 % | 0.55 % | 0.22 % | 0.35 % | 0.16 % |
Portfolio turnover rate | 57 % | 94 % | 53 % | 71 % | 52 % | 52 % |
(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) | 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. |
(h) | Effective July 1, 2021, the expense limit decreased from 1.20% to 1.15%. |
(i) | Effective July 1, 2019, the expense limit decreased from 1.40% to 1.20%. |
(j) | 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 | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $20.48 | $17.75 | $20.58 | $20.15 | $21.06 | $16.43 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment loss(a) | (0.08 ) | (0.10 ) | (0.04 ) | (0.13 ) | (0.08 ) | (0.10 ) |
Net realized and unrealized gain (loss) | 1.17 | 2.83 | (2.28 ) | 4.18 | 1.79 | 4.90 |
Total from Investment Operations | 1.09 | 2.73 | (2.32 ) | 4.05 | 1.71 | 4.80 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.00 )(b) | — | — | (0.00 )(b) | — | (0.00 )(b) |
Net realized capital gains | — | — | (0.51 ) | (3.62 ) | (2.62 ) | (0.17 ) |
Total Distributions | (0.00 ) | — | (0.51 ) | (3.62 ) | (2.62 ) | (0.17 ) |
Net asset value, end of the period | $21.57 | $20.48 | $17.75 | $20.58 | $20.15 | $21.06 |
Total return(c)(d) | 5.34 %(e) | 15.38 % | (11.46 )% | 20.44 % | 9.60 % | 29.25 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $2,454 | $3,650 | $7,405 | $11,436 | $14,023 | $21,932 |
Net expenses(f) | 1.90 %(g) | 1.90 % | 1.90 % | 1.93 %(h) | 1.95 % | 1.99 %(i)(j) |
Gross expenses | 2.02 %(g) | 2.00 % | 1.96 % | 1.98 % | 2.04 % | 2.02 %(j) |
Net investment loss | (0.73 )%(g) | (0.55 )% | (0.22 )% | (0.56 )% | (0.42 )% | (0.50 )% |
Portfolio turnover rate | 57 % | 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) | 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. |
(h) | Effective July 1, 2021, the expense limit decreased from 1.95% to 1.90%. |
(i) | Effective July 1, 2019, the expense limit decreased from 2.15% to 1.95%. |
(j) | 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 | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $23.12 | $19.95 | $23.05 | $22.07 | $22.66 | $17.54 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.04 | 0.11 | 0.17 | 0.14 | 0.13 | 0.11 |
Net realized and unrealized gain (loss) | 1.33 | 3.19 | (2.57 ) | 4.58 | 2.00 | 5.27 |
Total from Investment Operations | 1.37 | 3.30 | (2.40 ) | 4.72 | 2.13 | 5.38 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.00 )(b) | (0.13 ) | (0.19 ) | (0.12 ) | (0.10 ) | (0.09 ) |
Net realized capital gains | — | — | (0.51 ) | (3.62 ) | (2.62 ) | (0.17 ) |
Total Distributions | (0.00 ) | (0.13 ) | (0.70 ) | (3.74 ) | (2.72 ) | (0.26 ) |
Net asset value, end of the period | $24.49 | $23.12 | $19.95 | $23.05 | $22.07 | $22.66 |
Total return(c) | 5.94 %(d) | 16.56 % | (10.54 )% | 21.70 % | 10.83 % | 30.67 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $67,788 | $63,894 | $72,804 | $91,416 | $17,965 | $18,262 |
Net expenses(e) | 0.85 %(f) | 0.85 % | 0.85 % | 0.86 %(g) | 0.90 % | 0.92 %(h)(i) |
Gross expenses | 0.92 %(f) | 0.90 % | 0.87 % | 0.89 % | 0.94 % | 0.93 %(i) |
Net investment income | 0.35 %(f) | 0.55 % | 0.84 % | 0.55 % | 0.65 % | 0.51 % |
Portfolio turnover rate | 57 % | 94 % | 53 % | 71 % | 52 % | 52 % |
(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) | 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. |
(g) | Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%. |
(h) | Effective July 1, 2019, the expense limit decreased from 1.10% to 0.90%. |
(i) | 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 | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $23.17 | $19.99 | $23.09 | $22.10 | $22.69 | $17.57 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.04 | 0.10 | 0.16 | 0.11 | 0.12 | 0.10 |
Net realized and unrealized gain (loss) | 1.33 | 3.20 | (2.57 ) | 4.60 | 2.00 | 5.26 |
Total from Investment Operations | 1.37 | 3.30 | (2.41 ) | 4.71 | 2.12 | 5.36 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.00 )(b) | (0.12 ) | (0.18 ) | (0.10 ) | (0.09 ) | (0.07 ) |
Net realized capital gains | — | — | (0.51 ) | (3.62 ) | (2.62 ) | (0.17 ) |
Total Distributions | (0.00 ) | (0.12 ) | (0.69 ) | (3.72 ) | (2.71 ) | (0.24 ) |
Net asset value, end of the period | $24.54 | $23.17 | $19.99 | $23.09 | $22.10 | $22.69 |
Total return(c) | 5.93 %(d) | 16.52 % | (10.58 )% | 21.65 % | 10.76 % | 30.52 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $138,423 | $144,247 | $148,505 | $226,838 | $227,501 | $298,705 |
Net expenses(e) | 0.90 %(f) | 0.90 % | 0.90 % | 0.93 %(g) | 0.95 % | 1.00 %(h)(i) |
Gross expenses | 1.02 %(f) | 1.00 % | 0.96 % | 0.98 % | 1.04 % | 1.02 %(i) |
Net investment income | 0.30 %(f) | 0.49 % | 0.78 % | 0.45 % | 0.60 % | 0.48 % |
Portfolio turnover rate | 57 % | 94 % | 53 % | 71 % | 52 % | 52 % |
(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) | 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. |
(g) | Effective July 1, 2021, the expense limit decreased from 0.95% to 0.90%. |
(h) | Effective July 1, 2019, the expense limit decreased from 1.15% to 0.95%. |
(i) | 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 | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $18.88 | $15.17 | $17.87 | $16.69 | $15.45 | $12.48 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income (loss)(a) | 0.08 | 0.09 | (0.02 ) | 0.00 (b)(c) | 0.00 (b) | 0.02 |
Net realized and unrealized gain (loss) | 0.37 | 3.67 | (1.78 ) | 4.98 | 1.33 | 3.06 |
Total from Investment Operations | 0.45 | 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 | $19.33 | $18.88 | $15.17 | $17.87 | $16.69 | $15.45 |
Total return(d)(e) | 2.38 %(f) | 24.82 % | (10.19 )% | 30.24 %(c) | 8.91 % | 24.66 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $109,762 | $111,268 | $66,339 | $81,493 | $61,571 | $67,525 |
Net expenses(g) | 1.25 %(h) | 1.25 % | 1.25 % | 1.27 %(i) | 1.32 %(j) | 1.40 %(k) |
Gross expenses | 1.32 %(h) | 1.37 % | 1.37 % | 1.43 % | 1.53 % | 1.47 % |
Net investment income (loss) | 0.86 %(h) | 0.53 % | (0.12 )% | 0.01 %(c) | 0.02 % | 0.12 % |
Portfolio turnover rate | 28 % | 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) | Periods less than one year are not annualized. |
(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) | Computed on an annualized basis for periods less than one year. |
(i) | Effective July 1, 2021, the expense limit decreased from 1.30% to 1.25%. |
(j) | Effective July 1, 2020, the expense limit decreased from 1.34% to 1.30%. |
(k) | Effective July 1, 2019, the expense limit decreased from 1.45% to 1.34%. |
Vaughan Nelson Small Cap Value Fund—Class C | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $6.51 | $5.30 | $6.94 | $8.34 | $7.84 | $6.41 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income (loss)(a) | 0.00 (b) | (0.01 ) | (0.04 ) | (0.06 )(c) | (0.05 ) | (0.05 ) |
Net realized and unrealized gain (loss) | 0.13 | 1.28 | (0.70 ) | 2.45 | 0.64 | 1.57 |
Total from Investment Operations | 0.13 | 1.27 | (0.74 ) | 2.39 | 0.59 | 1.52 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | — | (0.06 ) | — | — | (0.00 )(b) | (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 | $6.64 | $6.51 | $5.30 | $6.94 | $8.34 | $7.84 |
Total return(d)(e) | 2.00 %(f) | 23.93 % | (11.01 )% | 29.45 %(c) | 8.08 % | 23.69 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $11,870 | $7,988 | $2,118 | $966 | $983 | $1,450 |
Net expenses(g) | 2.00 %(h) | 2.00 % | 2.00 % | 2.03 %(i) | 2.07 %(j) | 2.16 %(k) |
Gross expenses | 2.07 %(h) | 2.12 % | 2.12 % | 2.19 % | 2.28 % | 2.23 % |
Net investment income (loss) | 0.14 %(h) | (0.14 )% | (0.74 )% | (0.67 )%(c) | (0.71 )% | (0.68 )% |
Portfolio turnover rate | 28 % | 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 $(0.10), total return would have been 29.09% and the ratio of net investment loss to average net assets would have been (0.99)%. |
(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) | Periods less than one year are not annualized. |
(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) | Computed on an annualized basis for periods less than one year. |
(i) | Effective July 1, 2021, the expense limit decreased from 2.05% to 2.00%. |
(j) | Effective July 1, 2020, the expense limit decreased from 2.09% to 2.05%. |
(k) | Effective July 1, 2019, the expense limit decreased from 2.20% to 2.09%. |
Vaughan Nelson Small Cap Value Fund—Class N | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $20.14 | $16.16 | $18.96 | $17.52 | $16.20 | $13.08 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.12 | 0.15 | 0.04 | 0.01 (b) | 0.04 | 0.08 |
Net realized and unrealized gain (loss) | 0.39 | 3.93 | (1.91 ) | 5.29 | 1.42 | 3.20 |
Total from Investment Operations | 0.51 | 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 | $20.65 | $20.14 | $16.16 | $18.96 | $17.52 | $16.20 |
Total return(c) | 2.53 %(d) | 25.24 % | (9.95 )% | 30.64 %(b) | 9.27 % | 25.08 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $90,532 | $2,506 | $1,493 | $1,383 | $23 | $21 |
Net expenses(e) | 0.95 %(f) | 0.95 % | 0.95 % | 0.97 %(g) | 1.02 %(h) | 1.03 %(i) |
Gross expenses | 0.96 %(f) | 1.08 % | 1.10 % | 1.19 % | 6.54 % | 11.80 % |
Net investment income | 1.20 %(f) | 0.84 % | 0.22 % | 0.03 %(b) | 0.31 % | 0.52 % |
Portfolio turnover rate | 28 % | 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) | 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. |
(g) | Effective July 1, 2021, the expense limit decreased from 1.00% to 0.95%. |
(h) | Effective July 1, 2020, the expense limit decreased from 1.04% to 1.00%. |
(i) | Effective July 1, 2019, the expense limit decreased from 1.15% to 1.04%. |
Vaughan Nelson Small Cap Value Fund—Class Y | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $20.11 | $16.15 | $18.95 | $17.51 | $16.19 | $13.08 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.12 | 0.16 | 0.04 | 0.06 (b) | 0.04 | 0.05 |
Net realized and unrealized gain (loss) | 0.38 | 3.89 | (1.91 ) | 5.23 | 1.41 | 3.21 |
Total from Investment Operations | 0.50 | 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 | $20.61 | $20.11 | $16.15 | $18.95 | $17.51 | $16.19 |
Total return(c) | 2.49 %(d) | 25.10 % | (9.98 )% | 30.61 %(b) | 9.23 % | 24.88 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $866,131 | $530,371 | $120,585 | $66,054 | $49,315 | $44,482 |
Net expenses(e) | 1.00 %(f) | 1.00 % | 1.00 % | 1.02 %(g) | 1.07 %(h) | 1.15 %(i) |
Gross expenses | 1.07 %(f) | 1.12 % | 1.12 % | 1.18 % | 1.28 % | 1.23 % |
Net investment income | 1.16 %(f) | 0.91 % | 0.22 % | 0.28 %(b) | 0.26 % | 0.35 % |
Portfolio turnover rate | 28 % | 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) | 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. |
(g) | Effective July 1, 2021, the expense limit decreased from 1.05% to 1.00%. |
(h) | Effective July 1, 2020, the expense limit decreased from 1.09% to 1.05%. |
(i) | 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 | |||
Fund | Ordinary Income | Long-Term Capital Gains | Total |
International Growth Fund | $185,268 | $ — | $185,268 |
Natixis Oakmark Fund | 3,814,121 | 18,473,243 | 22,287,364 |
Natixis Oakmark International Fund | 6,846,278 | — | 6,846,278 |
U.S. Equity Opportunities Fund | 26,791,709 | 44,583,934 | 71,375,643 |
Mid Cap Fund | 1,259,368 | — | 1,259,368 |
Small Cap Value Fund | 2,773,579 | — | 2,773,579 |
International Growth Fund | Natixis Oakmark Fund | Natixis Oakmark International Fund | U.S. Equity Opportunities Fund | |
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 ) |
Mid Cap Fund | Small Cap Value Fund | |
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 ) |
* | 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 | $36,685,443 | $763,207,327 | $355,187,469 | $702,847,109 | $200,528,099 | $977,585,385 |
Gross tax appreciation | $7,376,659 | $103,056,252 | $51,158,632 | $384,347,395 | $45,784,933 | $130,239,007 |
Gross tax depreciation | (6,408,720 ) | (20,574,065 ) | (54,071,771 ) | (37,343,981 ) | (2,485,478 ) | (21,803,329 ) |
Net tax appreciation (depreciation) | $967,939 | $82,482,187 | $(2,913,139 ) | $347,003,414 | $43,299,455 | $108,435,678 |
International Growth Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
Australia | $ — | $2,021,754 | $ — | $2,021,754 |
Belgium | — | 671,763 | — | 671,763 |
China | 5,199,908 | 2,671,775 | — | 7,871,683 |
Denmark | — | 3,389,678 | — | 3,389,678 |
France | — | 1,584,300 | — | 1,584,300 |
Germany | — | 1,603,389 | — | 1,603,389 |
Japan | — | 1,193,155 | — | 1,193,155 |
Macau | — | 237,350 | — | 237,350 |
Netherlands | — | 2,101,347 | — | 2,101,347 |
Switzerland | 506,506 | 1,175,659 | — | 1,682,165 |
United Kingdom | — | 1,793,673 | — | 1,793,673 |
United States | 5,342,549 | 3,217,168 | — | 8,559,717 |
All Other Common Stocks(a) | 4,544,509 | — | — | 4,544,509 |
Total Common Stocks | 15,593,472 | 21,661,011 | — | 37,254,483 |
Short-Term Investments | — | 398,899 | — | 398,899 |
Total Investments | $15,593,472 | $22,059,910 | $— | $37,653,382 |
(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) | $805,836,461 | $ — | $ — | $805,836,461 |
Short-Term Investments | — | 39,853,053 | — | 39,853,053 |
Total Investments | $805,836,461 | $39,853,053 | $— | $845,689,514 |
(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 | ||||
Australia | $ — | $2,559,160 | $ — | $2,559,160 |
Belgium | — | 4,069,709 | — | 4,069,709 |
China | — | 6,357,656 | — | 6,357,656 |
Denmark | — | 6,155,272 | — | 6,155,272 |
France | — | 56,960,272 | — | 56,960,272 |
Germany | — | 89,614,674 | — | 89,614,674 |
India | — | 2,609,279 | — | 2,609,279 |
Indonesia | — | 1,906,446 | — | 1,906,446 |
Ireland | 5,545,572 | 2,355,019 | — | 7,900,591 |
Italy | — | 7,228,926 | — | 7,228,926 |
Japan | — | 8,294,454 | — | 8,294,454 |
Korea | — | 5,960,365 | — | 5,960,365 |
Netherlands | — | 22,042,117 | — | 22,042,117 |
Spain | — | 4,098,736 | — | 4,098,736 |
Sweden | — | 10,564,471 | — | 10,564,471 |
Switzerland | — | 28,140,564 | — | 28,140,564 |
United Kingdom | 3,184,339 | 54,190,046 | — | 57,374,385 |
All Other Common Stocks(a) | 17,067,689 | — | — | 17,067,689 |
Total Common Stocks | 25,797,600 | 313,107,166 | — | 338,904,766 |
Preferred Stocks(a) | — | 5,647,760 | — | 5,647,760 |
Short-Term Investments | — | 7,721,804 | — | 7,721,804 |
Total Investments | $25,797,600 | $326,476,730 | $— | $352,274,330 |
(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) | $1,014,934,554 | $ — | $ — | $1,014,934,554 |
Short-Term Investments | — | 34,915,969 | — | 34,915,969 |
Total Investments | $1,014,934,554 | $34,915,969 | $— | $1,049,850,523 |
(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) | $239,946,323 | $ — | $ — | $239,946,323 |
Short-Term Investments | — | 3,881,231 | — | 3,881,231 |
Total Investments | $239,946,323 | $3,881,231 | $— | $243,827,554 |
(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) | $1,030,897,304 | $ — | $ — | $1,030,897,304 |
Short-Term Investments | — | 55,123,759 | — | 55,123,759 |
Total Investments | $1,030,897,304 | $55,123,759 | $— | $1,086,021,063 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Fund | Purchases | Sales |
International Growth Fund | $6,009,739 | $111,700 |
Natixis Oakmark Fund | 316,161,393 | 153,666,484 |
Natixis Oakmark International Fund | 67,416,172 | 73,474,033 |
U.S. Equity Opportunities Fund | 182,620,848 | 214,136,032 |
Mid Cap Fund | 139,961,758 | 161,604,389 |
Small Cap Value Fund | 627,580,686 | 240,333,975 |
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 % |
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 |
Natixis Oakmark Fund | 1.03 % | 1.78 % | 0.73 % | 0.78 % |
U.S. Equity Opportunities Fund | 1.08 % | 1.83 % | 0.78 % | 0.83 % |
Gross Management Fees | Contractual Waivers of Management Fees1 | Net Management Fees | Percentage of Average Daily Net Assets | ||
Fund | Gross | Net | |||
International Growth Fund | $131,992 | $86,956 | $45,036 | 0.75 % | 0.26 % |
Natixis Oakmark Fund | 2,517,271 | 184,746 | 2,332,525 | 0.64 % | 0.60 % |
Natixis Oakmark International Fund | 1,453,145 | 418,387 | 1,034,758 | 0.79 % | 0.56 % |
U.S. Equity Opportunities Fund | 3,384,357 | — | 3,384,357 | 0.67 % | 0.67 % |
Mid Cap Fund | 921,352 | 124,232 | 797,120 | 0.75 % | 0.65 % |
Small Cap Value Fund | 3,785,765 | 284,889 | 3,500,876 | 0.85 % | 0.79 % |
1 | Management fee waivers are subject to possible recovery until December 31, 2025. |
Service Fees | Distribution Fees | |||
Fund | Class A | Class C | Class C | |
International Growth Fund | $192 | $2 | $4 | |
Natixis Oakmark Fund | 336,570 | 71,027 | 213,079 | |
Natixis Oakmark International Fund | 171,330 | 30,669 | 92,008 | |
U.S. Equity Opportunities Fund | 789,470 | 39,001 | 117,003 | |
Mid Cap Fund | 50,328 | 3,805 | 11,415 | |
Small Cap Value Fund | 137,586 | 12,951 | 38,853 |
Fund | Administrative Fees |
International Growth Fund | $7,928 |
Natixis Oakmark Fund | 175,893 |
Natixis Oakmark International Fund | 82,858 |
U.S. Equity Opportunities Fund | 227,633 |
Mid Cap Fund | 55,375 |
Small Cap Value Fund | 200,445 |
Fund | Sub-Transfer Agent Fees |
International Growth Fund | $2,951 |
Natixis Oakmark Fund | 251,766 |
Natixis Oakmark International Fund | 311,251 |
U.S. Equity Opportunities Fund | 197,888 |
Mid Cap Fund | 86,386 |
Small Cap Value Fund | 429,648 |
Fund | Reimbursements of Sub-Transfer Agent Fees |
International Growth Fund | $85 |
Natixis Oakmark Fund | 5,760 |
Natixis Oakmark International Fund | 6,146 |
U.S. Equity Opportunities Fund | 5,232 |
Mid Cap Fund | 2,067 |
Small Cap Value Fund | 10,119 |
Fund | Commissions |
Natixis Oakmark Fund | $36,769 |
Natixis Oakmark International Fund | 3,467 |
U.S. Equity Opportunities Fund | 7,658 |
Mid Cap Fund | 956 |
Small Cap Value Fund | 7,721 |
Reimbursement of Transfer Agency Expenses | |
Fund | Class N |
International Growth Fund | $912 |
Natixis Oakmark Fund | 578 |
Natixis Oakmark International Fund | 573 |
U.S. Equity Opportunities Fund | 576 |
Mid Cap Fund | 1,369 |
Small Cap Value Fund | 844 |
Transfer Agent Fees and Expenses | ||||
Fund | Class A | Class C | Class N | Class Y |
International Growth Fund | $81 | $1 | $912 | $4,606 |
Natixis Oakmark Fund | 100,036 | 21,109 | 578 | 170,399 |
Natixis Oakmark International Fund | 119,784 | 21,461 | 573 | 179,683 |
U.S. Equity Opportunities Fund | 178,972 | 8,837 | 576 | 98,106 |
Mid Cap Fund | 20,225 | 1,528 | 1,369 | 69,877 |
Small Cap Value Fund | 58,877 | 5,605 | 844 | 395,551 |
Fund | Number of 5% Account Holders | Percentage of Ownership |
Natixis Oakmark Fund | 1 | 5.86 % |
Natixis Oakmark International Fund | 1 | 28.55 % |
U.S. Equity Opportunities Fund | 1 | 6.73 % |
Mid Cap Fund | 3 | 31.99 % |
Small Cap Value Fund | 1 | 7.18 % |
Six Months Ended June 30, 2024 | Year Ended December 31, 2023 | |||
International Growth Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 78 | $750 | 2,503 | $21,700 |
Issued in connection with the reinvestment of distributions | 3 | 32 | 54 | 506 |
Redeemed | (511 ) | (5,028 ) | (2,485 ) | (22,346 ) |
Net change | (430 ) | $(4,246 ) | 72 | $(140 ) |
Class N | ||||
Issued from the sale of shares | 101 | $1,000 | — | $ — |
Issued in connection with the reinvestment of distributions | 67 | 648 | 1,970 | 18,612 |
Redeemed | (101 ) | (1,005 ) | — | — |
Net change | 67 | $643 | 1,970 | $18,612 |
Class Y | ||||
Issued from the sale of shares | 551,935 | $5,534,692 | 119,836 | $1,017,450 |
Issued in connection with the reinvestment of distributions | 223 | 2,145 | 2,930 | 27,691 |
Redeemed | (3,364 ) | (33,475 ) | (246 ) | (2,169 ) |
Net change | 548,794 | $5,503,362 | 122,520 | $1,042,972 |
Increase from capital share transactions | 548,431 | $5,499,759 | 124,562 | $1,061,444 |
Six Months Ended June 30, 2024 | Year Ended December 31, 2023 | |||
Natixis Oakmark Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 591,813 | $16,700,765 | 1,386,710 | $35,188,050 |
Issued in connection with the reinvestment of distributions | 50,065 | 1,455,442 | 293,448 | 8,029,053 |
Redeemed | (560,944 ) | (15,861,369 ) | (1,187,356 ) | (29,357,878 ) |
Net change | 80,934 | $2,294,838 | 492,802 | $13,859,225 |
Class C | ||||
Issued from the sale of shares | 348,267 | $7,573,908 | 528,152 | $10,385,091 |
Issued in connection with the reinvestment of distributions | 18,415 | 409,553 | 93,146 | 1,956,916 |
Redeemed | (423,328 ) | (9,176,394 ) | (1,055,818 ) | (19,902,093 ) |
Net change | (56,646 ) | $(1,192,933 ) | (434,520 ) | $(7,560,086 ) |
Class N | ||||
Issued from the sale of shares | 4,790 | $150,379 | 288 | $7,742 |
Issued in connection with the reinvestment of distributions | 118 | 3,728 | 750 | 22,322 |
Redeemed | (1 ) | (38 ) | (1,348 ) | (36,140 ) |
Net change | 4,907 | $154,069 | (310 ) | $(6,076 ) |
Class Y | ||||
Issued from the sale of shares | 7,949,712 | $241,069,027 | 9,451,057 | $262,547,873 |
Issued in connection with the reinvestment of distributions | 79,456 | 2,506,833 | 365,614 | 10,843,953 |
Redeemed | (2,565,866 ) | (79,064,610 ) | (3,282,300 ) | (89,337,801 ) |
Net change | 5,463,302 | $164,511,250 | 6,534,371 | $184,054,025 |
Increase from capital share transactions | 5,492,497 | $165,767,224 | 6,592,343 | $190,347,088 |
Six Months Ended June 30, 2024 | Year Ended December 31, 2023 | |||
Natixis Oakmark International Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 433,481 | $6,209,006 | 1,688,085 | $24,175,449 |
Issued in connection with the reinvestment of distributions | 6,933 | 100,462 | 108,110 | 1,581,529 |
Redeemed | (1,029,620 ) | (14,753,063 ) | (1,648,201 ) | (23,381,209 ) |
Net change | (589,206 ) | $(8,443,595 ) | 147,994 | $2,375,769 |
Class C | ||||
Issued from the sale of shares | 23,601 | $332,113 | 71,240 | $1,010,015 |
Issued in connection with the reinvestment of distributions | 1,829 | 26,057 | 13,933 | 200,718 |
Redeemed | (423,169 ) | (5,959,762 ) | (1,287,224 ) | (17,896,948 ) |
Net change | (397,739 ) | $(5,601,592 ) | (1,202,051 ) | $(16,686,215 ) |
Class N | ||||
Issued from the sale of shares | 9,068 | $127,761 | 11,185 | $143,685 |
Issued in connection with the reinvestment of distributions | 23 | 328 | 470 | 6,845 |
Redeemed | (3,857 ) | (53,970 ) | (5,566 ) | (78,203 ) |
Net change | 5,234 | $74,119 | 6,089 | $72,327 |
Class Y | ||||
Issued from the sale of shares | 2,197,839 | $31,391,209 | 3,217,650 | $45,697,023 |
Issued in connection with the reinvestment of distributions | 14,846 | 214,225 | 275,316 | 4,005,582 |
Redeemed | (2,280,745 ) | (32,439,253 ) | (4,671,698 ) | (65,499,977 ) |
Net change | (68,060 ) | $(833,819 ) | (1,178,732 ) | $(15,797,372 ) |
Decrease from capital share transactions | (1,049,771 ) | $(14,804,887 ) | (2,226,700 ) | $(30,035,491 ) |
Six Months Ended June 30, 2024 | Year Ended December 31, 2023 | |||
U.S. Equity Opportunities Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 289,331 | $11,200,828 | 678,253 | $23,509,035 |
Issued in connection with the reinvestment of distributions | 2,648 | 105,591 | 1,204,004 | 43,870,647 |
Redeemed | (987,804 ) | (38,248,815 ) | (2,864,385 ) | (97,156,248 ) |
Net change | (695,825 ) | $(26,942,396 ) | (982,128 ) | $(29,776,566 ) |
Class C | ||||
Issued from the sale of shares | 169,989 | $2,419,718 | 227,231 | $3,297,014 |
Issued in connection with the reinvestment of distributions | 977 | 14,296 | 391,003 | 5,254,512 |
Redeemed | (351,149 ) | (5,049,588 ) | (782,585 ) | (11,000,049 ) |
Net change | (180,183 ) | $(2,615,574 ) | (164,351 ) | $(2,448,523 ) |
Class N | ||||
Issued from the sale of shares | 26,702 | $1,387,170 | — | $ — |
Issued in connection with the reinvestment of distributions | 4 | 198 | 285 | 13,778 |
Redeemed | (69 ) | (3,676 ) | (129 ) | (6,250 ) |
Net change | 26,637 | $1,383,692 | 156 | $7,528 |
Class Y | ||||
Issued from the sale of shares | 840,777 | $42,897,686 | 2,819,571 | $126,397,035 |
Issued in connection with the reinvestment of distributions | 662 | 34,919 | 289,349 | 13,935,793 |
Redeemed | (719,994 ) | (36,985,264 ) | (1,576,769 ) | (68,998,499 ) |
Net change | 121,445 | $5,947,341 | 1,532,151 | $71,334,329 |
Increase (decrease) from capital share transactions | (727,926 ) | $(22,226,937 ) | 385,828 | $39,116,768 |
Six Months Ended June 30, 2024 | Year Ended December 31, 2023 | |||
Mid Cap Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 99,364 | $2,405,955 | 258,724 | $5,272,975 |
Issued in connection with the reinvestment of distributions | 266 | 6,582 | 5,113 | 115,653 |
Redeemed | (139,291 ) | (3,328,586 ) | (262,211 ) | (5,316,615 ) |
Net change | (39,661 ) | $(916,049 ) | 1,626 | $72,013 |
Class C | ||||
Issued from the sale of shares | 2,625 | $57,978 | 9,970 | $179,835 |
Issued in connection with the reinvestment of distributions | 27 | 598 | — | — |
Redeemed | (67,203 ) | (1,440,478 ) | (248,936 ) | (4,556,274 ) |
Net change | (64,551 ) | $(1,381,902 ) | (238,966 ) | $(4,376,439 ) |
Class N | ||||
Issued from the sale of shares | 261,794 | $6,427,638 | 187,046 | $3,875,585 |
Issued in connection with the reinvestment of distributions | 434 | 10,918 | 15,982 | 367,265 |
Redeemed | (257,761 ) | (6,298,891 ) | (1,089,884 ) | (22,347,940 ) |
Net change | 4,467 | $139,665 | (886,856 ) | $(18,105,090 ) |
Class Y | ||||
Issued from the sale of shares | 647,588 | $16,043,494 | 829,941 | $17,124,756 |
Issued in connection with the reinvestment of distributions | 898 | 22,648 | 32,188 | 741,295 |
Redeemed | (1,232,670 ) | (29,935,398 ) | (2,066,677 ) | (42,974,174 ) |
Net change | (584,184 ) | $(13,869,256 ) | (1,204,548 ) | $(25,108,123 ) |
Decrease from capital share transactions | (683,929 ) | $(16,027,542 ) | (2,328,744 ) | $(47,517,639 ) |
Six Months Ended June 30, 2024 | Year Ended December 31, 2023 | |||
Small Cap Value Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 435,898 | $8,290,920 | 2,230,090 | $37,758,332 |
Issued in connection with the reinvestment of distributions | — | — | 16,125 | 304,663 |
Redeemed | (649,743 ) | (12,516,923 ) | (725,916 ) | (11,990,865 ) |
Net change | (213,845 ) | $(4,226,003 ) | 1,520,299 | $26,072,130 |
Class C | ||||
Issued from the sale of shares | 596,620 | $3,911,269 | 928,672 | $5,506,114 |
Issued in connection with the reinvestment of distributions | — | — | 10,392 | 67,551 |
Redeemed | (35,955 ) | (236,442 ) | (111,787 ) | (644,754 ) |
Net change | 560,665 | $3,674,827 | 827,277 | $4,928,911 |
Class N | ||||
Issued from the sale of shares | 4,353,466 | $90,708,932 | 34,826 | $619,155 |
Issued in connection with the reinvestment of distributions | — | — | 599 | 12,034 |
Redeemed | (92,878 ) | (1,906,840 ) | (3,357 ) | (58,720 ) |
Net change | 4,260,588 | $88,802,092 | 32,068 | $572,469 |
Class Y | ||||
Issued from the sale of shares | 21,186,676 | $428,605,651 | 23,399,247 | $422,571,046 |
Issued in connection with the reinvestment of distributions | — | — | 114,571 | 2,299,448 |
Redeemed | (5,537,169 ) | (112,714,845 ) | (4,609,145 ) | (82,075,612 ) |
Net change | 15,649,507 | $315,890,806 | 18,904,673 | $342,794,882 |
Increase from capital share transactions | 20,256,915 | $404,141,722 | 21,284,317 | $374,368,392 |
One-Year | Three-Year | Five-Year | |
Loomis Sayles International Growth Fund | 12% | 45% | N/A |
Natixis Oakmark Fund | 2% | 4% | 1% |
Natixis Oakmark International Fund | 32% | 87% | 61% |
Natixis U.S. Equity Opportunities Fund | 2% | 29% | 11% |
Vaughan Nelson Mid Cap Fund | 40% | 33% | 31% |
Vaughan Nelson Small Cap Value Fund | 4% | 4% | 6% |
Visit: im.natixis.com Call: 800-225-5478
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
Exp. 8/30/20255861145.2.1EF58SA-0624
Loomis Sayles High Income Fund |
Loomis Sayles Investment Grade Bond Fund |
Loomis Sayles Strategic Alpha Fund |
Loomis Sayles Strategic Income Fund |
Principal Amount | Description | Value (†) |
Bonds and Notes — 90.6% of Net Assets | ||
Non-Convertible Bonds — 81.5% | ||
ABS Home Equity — 0.1% | ||
$101,125 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1 mo. USD SOFR + 0.774%, 6.113%, 9/19/2045(a) | $53,938 |
Aerospace & Defense — 3.3% | ||
75,000 | Boeing Co., 3.625%, 2/01/2031 | 65,642 |
130,000 | Boeing Co., 5.150%, 5/01/2030 | 124,837 |
15,000 | Boeing Co., 5.705%, 5/01/2040 | 13,829 |
235,000 | Boeing Co., 5.805%, 5/01/2050 | 211,782 |
5,000 | Boeing Co., 5.930%, 5/01/2060 | 4,470 |
30,000 | Boeing Co., 6.388%, 5/01/2031(b) | 30,542 |
10,000 | Boeing Co., 6.528%, 5/01/2034(b) | 10,239 |
5,000 | Boeing Co., 6.858%, 5/01/2054(b) | 5,131 |
210,000 | Bombardier, Inc., 6.000%, 2/15/2028(b) | 207,584 |
25,000 | Bombardier, Inc., 7.000%, 6/01/2032(b) | 25,347 |
51,000 | Bombardier, Inc., 7.125%, 6/15/2026(b) | 51,736 |
105,000 | Bombardier, Inc., 7.250%, 7/01/2031(b) | 107,806 |
45,000 | Bombardier, Inc., 8.750%, 11/15/2030(b) | 48,635 |
25,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | 23,414 |
40,000 | Spirit AeroSystems, Inc., 9.750%, 11/15/2030(b) | 44,125 |
85,000 | TransDigm, Inc., 6.375%, 3/01/2029(b) | 85,429 |
145,000 | TransDigm, Inc., 6.625%, 3/01/2032(b) | 146,459 |
10,000 | TransDigm, Inc., 6.750%, 8/15/2028(b) | 10,132 |
195,000 | TransDigm, Inc., 6.875%, 12/15/2030(b) | 199,066 |
1,416,205 | ||
Airlines — 0.8% | ||
285,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029(b) | 277,268 |
55,000 | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.750%, 1/20/2026(b) | 52,330 |
329,598 | ||
Automotive — 0.8% | ||
15,000 | Allison Transmission, Inc., 4.750%, 10/01/2027(b) | 14,489 |
85,000 | Wheel Pros, Inc., 6.500%, 5/15/2029(b) | 15,340 |
150,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028(b) | 152,980 |
170,000 | ZF North America Capital, Inc., 6.875%, 4/23/2032(b) | 175,755 |
358,564 | ||
Banking — 0.7% | ||
335,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(b) | 313,820 |
Brokerage — 0.2% | ||
35,000 | Coinbase Global, Inc., 3.375%, 10/01/2028(b) | 30,007 |
60,000 | Coinbase Global, Inc., 3.625%, 10/01/2031(b) | 48,108 |
78,115 | ||
Building Materials — 1.4% | ||
40,000 | Advanced Drainage Systems, Inc., 6.375%, 6/15/2030(b) | 40,145 |
115,000 | Beacon Roofing Supply, Inc., 6.500%, 8/01/2030(b) | 116,048 |
90,000 | Builders FirstSource, Inc., 4.250%, 2/01/2032(b) | 79,553 |
40,000 | Builders FirstSource, Inc., 5.000%, 3/01/2030(b) | 37,839 |
45,000 | Camelot Return Merger Sub, Inc., 8.750%, 8/01/2028(b) | 44,118 |
30,000 | Foundation Building Materials, Inc., 6.000%, 3/01/2029(b) | 26,623 |
115,000 | Specialty Building Products Holdings LLC/SBP Finance Corp., 6.375%, 9/30/2026(b) | 112,991 |
Principal Amount | Description | Value (†) |
Building Materials — continued | ||
$65,000 | Standard Industries, Inc., 4.375%, 7/15/2030(b) | $58,729 |
65,000 | Summit Materials LLC/Summit Materials Finance Corp., 7.250%, 1/15/2031(b) | 67,317 |
583,363 | ||
Cable Satellite — 9.5% | ||
210,000 | Altice Financing SA, 5.000%, 1/15/2028(b) | 159,690 |
240,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031(b) | 195,893 |
1,095,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(b) | 831,168 |
140,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 6/01/2033(b) | 110,197 |
175,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030(b) | 151,572 |
200,000 | CSC Holdings LLC, 3.375%, 2/15/2031(b) | 124,818 |
2,155,000 | CSC Holdings LLC, 4.625%, 12/01/2030(b) | 784,856 |
405,000 | CSC Holdings LLC, 5.750%, 1/15/2030(b) | 152,866 |
455,000 | Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.875%, 8/15/2027(b) | 427,967 |
210,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 83,162 |
130,000 | DISH DBS Corp., 5.250%, 12/01/2026(b) | 102,543 |
150,000 | DISH DBS Corp., 5.750%, 12/01/2028(b) | 103,997 |
150,000 | DISH DBS Corp., 7.375%, 7/01/2028 | 63,792 |
420,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 260,722 |
40,000 | DISH Network Corp., 11.750%, 11/15/2027(b) | 39,220 |
245,000 | Virgin Media Secured Finance PLC, 5.500%, 5/15/2029(b) | 223,967 |
230,000 | Ziggo Bond Co. BV, 6.000%, 1/15/2027(b) | 225,593 |
4,042,023 | ||
Chemicals — 1.3% | ||
25,000 | Ashland, Inc., 3.375%, 9/01/2031(b) | 21,037 |
60,000 | ASP Unifrax Holdings, Inc., 5.250%, 9/30/2028(b) | 32,850 |
15,000 | Chemours Co., 4.625%, 11/15/2029(b) | 12,915 |
125,000 | Chemours Co., 5.750%, 11/15/2028(b) | 115,406 |
170,000 | Hercules LLC, 6.500%, 6/30/2029 | 167,591 |
200,000 | Olympus Water U.S. Holding Corp., 9.750%, 11/15/2028(b) | 211,594 |
561,393 | ||
Consumer Cyclical Services — 1.8% | ||
5,000 | Arches Buyer, Inc., 4.250%, 6/01/2028(b) | 4,464 |
790,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(b) | 752,704 |
757,168 | ||
Consumer Products — 1.2% | ||
215,000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.750%, 1/15/2029(b) | 204,341 |
100,000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 6.625%, 7/15/2030(b) | 101,480 |
205,000 | Energizer Holdings, Inc., 4.375%, 3/31/2029(b) | 185,453 |
491,274 | ||
Diversified Manufacturing — 0.5% | ||
90,000 | EMRLD Borrower LP / Emerald Co-Issuer, Inc., 6.750%, 7/15/2031(b) | 91,125 |
70,000 | Esab Corp., 6.250%, 4/15/2029(b) | 70,420 |
80,000 | Resideo Funding, Inc., 4.000%, 9/01/2029(b) | 70,509 |
232,054 | ||
Electric — 0.5% | ||
110,000 | NRG Energy, Inc., 3.625%, 2/15/2031(b) | 94,336 |
4,000 | NRG Energy, Inc., 3.875%, 2/15/2032(b) | 3,434 |
Principal Amount | Description | Value (†) |
Electric — continued | ||
$70,000 | PG&E Corp., 5.000%, 7/01/2028 | $67,350 |
25,000 | PG&E Corp., 5.250%, 7/01/2030 | 23,876 |
40,000 | Talen Energy Supply LLC, 8.625%, 6/01/2030(b) | 42,649 |
231,645 | ||
Environmental — 0.7% | ||
45,000 | Clean Harbors, Inc., 6.375%, 2/01/2031(b) | 45,117 |
105,000 | GFL Environmental, Inc., 4.000%, 8/01/2028(b) | 97,588 |
40,000 | GFL Environmental, Inc., 6.750%, 1/15/2031(b) | 40,808 |
120,000 | Reworld Holding Corp., 4.875%, 12/01/2029(b) | 109,527 |
293,040 | ||
Finance Companies — 4.6% | ||
40,000 | Freedom Mortgage Holdings LLC, 9.125%, 5/15/2031(b) | 38,924 |
40,000 | Freedom Mortgage Holdings LLC, 9.250%, 2/01/2029(b) | 39,974 |
75,000 | GGAM Finance Ltd., 6.875%, 4/15/2029(b) | 76,312 |
15,000 | Macquarie Airfinance Holdings Ltd., 6.400%, 3/26/2029(b) | 15,254 |
140,000 | Macquarie Airfinance Holdings Ltd., 6.500%, 3/26/2031(b) | 143,964 |
80,000 | Nationstar Mortgage Holdings, Inc., 5.000%, 2/01/2026(b) | 78,301 |
100,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030(b) | 91,699 |
130,000 | Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031(b) | 122,189 |
85,000 | Navient Corp., 4.875%, 3/15/2028 | 78,006 |
30,000 | Navient Corp., 6.750%, 6/25/2025 | 29,986 |
265,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 248,291 |
10,000 | OneMain Finance Corp., 3.875%, 9/15/2028 | 8,966 |
15,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 12,874 |
30,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 28,136 |
145,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 147,342 |
55,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025(b) | 53,433 |
40,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(b) | 37,355 |
15,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026 | 14,008 |
75,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 | 68,034 |
20,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(b) | 18,143 |
230,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(b) | 200,441 |
490,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(b) | 412,918 |
1,964,550 | ||
Financial Other — 1.4% | ||
31,943 | Add Hero Holdings Ltd., Series IAI, 8.500% PIK or 7.500% Cash, 9/30/2029(c) | 1,517 |
24,631 | Add Hero Holdings Ltd., Series IAI, 9.000% PIK or 8.000% Cash, 9/30/2030(c) | 521 |
32,142 | Add Hero Holdings Ltd., Series IAI, 9.800% PIK or 8.800% Cash, 9/30/2031(c) | 680 |
210,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025(d) | 13,652 |
175,600 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(b)(e) | 6,215 |
213,200 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(b)(e) | 5,927 |
Principal Amount | Description | Value (†) |
Financial Other — continued | ||
$21,792 | CFLD Cayman Investment Ltd., Zero Coupon, 0.000%–28.181%, 1/31/2031(b)(f) | $436 |
18,351 | China Aoyuan Group Ltd., Series IAI, 5.500% PIK or 0.000% Cash, 9/30/2031(c) | 156 |
48,702 | China Aoyuan Group Ltd., Series IAI, Zero Coupon, 1.334%(g)(h) | 347 |
200,000 | China Evergrande Group, 8.750%, 6/28/2025(d) | 2,500 |
230,109 | Easy Tactic Ltd., 7.500% PIK or 6.500% Cash, 7/11/2027(c) | 5,921 |
220,000 | Fantasia Holdings Group Co. Ltd., 11.875%, 6/01/2023(d) | 3,005 |
495,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 464,618 |
200,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(d) | 6,500 |
200,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(d) | 6,500 |
400,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(d) | 12,520 |
200,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d) | 9,612 |
36,153 | Sunac China Holdings Ltd., 6.000% PIK or 5.000% Cash, 9/30/2026(b)(c) | 4,679 |
36,197 | Sunac China Holdings Ltd., 6.250% PIK or 5.250% Cash, 9/30/2027(b)(c) | 4,187 |
72,483 | Sunac China Holdings Ltd., 6.500% PIK or 5.500% Cash, 9/30/2027(b)(c) | 7,678 |
108,856 | Sunac China Holdings Ltd., 6.750% PIK or 5.750% Cash, 9/30/2028(b)(c) | 11,050 |
108,988 | Sunac China Holdings Ltd., 7.000% PIK or 6.000% Cash, 9/30/2029(b)(c) | 9,536 |
51,266 | Sunac China Holdings Ltd., 7.250% PIK or 6.250% Cash, 9/30/2030(b)(c) | 4,264 |
200,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(d) | 4,242 |
400,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d) | 22,680 |
400,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(d) | 3,240 |
200,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(d) | 1,546 |
613,729 | ||
Food & Beverage — 0.9% | ||
90,000 | Fiesta Purchaser, Inc., 7.875%, 3/01/2031(b) | 92,996 |
65,000 | HLF Financing SARL LLC/Herbalife International, Inc., 4.875%, 6/01/2029(b) | 45,033 |
120,000 | Lamb Weston Holdings, Inc., 4.375%, 1/31/2032(b) | 107,024 |
15,000 | Post Holdings, Inc., 5.500%, 12/15/2029(b) | 14,474 |
105,000 | Post Holdings, Inc., 6.250%, 2/15/2032(b) | 105,268 |
364,795 | ||
Gaming — 1.2% | ||
65,000 | Light & Wonder International, Inc., 7.000%, 5/15/2028(b) | 65,336 |
40,000 | Light & Wonder International, Inc., 7.500%, 9/01/2031(b) | 41,329 |
200,000 | MGM China Holdings Ltd., 4.750%, 2/01/2027(b) | 190,524 |
250,000 | Wynn Macau Ltd., 5.125%, 12/15/2029(b) | 226,450 |
523,639 | ||
Government Owned - No Guarantee — 0.6% | ||
150,000 | Ecopetrol SA, 8.375%, 1/19/2036 | 147,337 |
125,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 100,733 |
248,070 | ||
Health Care REITs — 0.2% | ||
115,000 | MPT Operating Partnership LP/MPT Finance Corp., 3.500%, 3/15/2031 | 74,936 |
Principal Amount | Description | Value (†) |
Health Insurance — 0.2% | ||
$15,000 | Molina Healthcare, Inc., 3.875%, 11/15/2030(b) | $13,335 |
60,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032(b) | 51,990 |
65,325 | ||
Healthcare — 2.4% | ||
225,000 | CHS/Community Health Systems, Inc., 5.250%, 5/15/2030(b) | 185,511 |
115,000 | Concentra Escrow Issuer Corp., 6.875%, 7/15/2032(b) | 116,513 |
105,000 | DaVita, Inc., 3.750%, 2/15/2031(b) | 89,561 |
100,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 93,570 |
35,000 | Hologic, Inc., 3.250%, 2/15/2029(b) | 31,399 |
105,000 | Medline Borrower LP, 3.875%, 4/01/2029(b) | 96,695 |
185,000 | Medline Borrower LP/Medline Co-Issuer, Inc., 6.250%, 4/01/2029(b) | 187,094 |
80,000 | Neogen Food Safety Corp., 8.625%, 7/20/2030(b) | 86,367 |
54,374 | Radiology Partners, Inc., 3.500% PIK or 4.275% Cash, 1/31/2029(b)(c) | 50,975 |
80,000 | Star Parent, Inc., 9.000%, 10/01/2030(b) | 83,992 |
1,021,677 | ||
Home Construction — 0.0% | ||
1,200,000 | Corp. GEO SAB de CV, 8.875%, 3/27/2022(b)(d)(i) | — |
Independent Energy — 4.8% | ||
45,000 | Antero Resources Corp., 5.375%, 3/01/2030(b) | 43,549 |
40,000 | Chesapeake Energy Corp., 5.875%, 2/01/2029(b) | 39,598 |
120,000 | Chesapeake Energy Corp., 6.750%, 4/15/2029(b) | 120,231 |
155,000 | Civitas Resources, Inc., 8.375%, 7/01/2028(b) | 162,413 |
50,000 | Civitas Resources, Inc., 8.625%, 11/01/2030(b) | 53,611 |
70,000 | Crescent Energy Finance LLC, 7.375%, 1/15/2033(b) | 70,151 |
105,000 | Crescent Energy Finance LLC, 9.250%, 2/15/2028(b) | 110,936 |
45,000 | Gulfport Energy Corp., 8.000%, 5/17/2026(b) | 45,505 |
170,000 | Leviathan Bond Ltd., 6.750%, 6/30/2030 | 151,555 |
150,000 | Matador Resources Co., 5.875%, 9/15/2026 | 149,764 |
150,000 | Matador Resources Co., 6.500%, 4/15/2032(b) | 150,011 |
40,000 | MEG Energy Corp., 5.875%, 2/01/2029(b) | 38,909 |
170,000 | Northern Oil & Gas, Inc., 8.125%, 3/01/2028(b) | 171,918 |
60,000 | Northern Oil & Gas, Inc., 8.750%, 6/15/2031(b) | 62,957 |
40,000 | Permian Resources Operating LLC, 5.375%, 1/15/2026(b) | 39,551 |
170,000 | Permian Resources Operating LLC, 5.875%, 7/01/2029(b) | 167,397 |
45,000 | Permian Resources Operating LLC, 7.000%, 1/15/2032(b) | 46,227 |
45,000 | Range Resources Corp., 8.250%, 1/15/2029 | 46,631 |
230,000 | Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.875%, 11/01/2028(b) | 237,813 |
15,000 | SM Energy Co., 5.625%, 6/01/2025 | 14,936 |
75,000 | SM Energy Co., 6.750%, 9/15/2026 | 75,025 |
70,000 | Vital Energy, Inc., 7.875%, 4/15/2032(b) | 71,161 |
2,069,849 | ||
Industrial Other — 0.1% | ||
50,000 | Installed Building Products, Inc., 5.750%, 2/01/2028(b) | 48,898 |
Leisure — 4.2% | ||
295,000 | Carnival Corp., 5.750%, 3/01/2027(b) | 291,437 |
185,000 | Carnival Corp., 6.000%, 5/01/2029(b) | 182,747 |
15,000 | Carnival Corp., 7.000%, 8/15/2029(b) | 15,549 |
320,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(b) | 316,359 |
10,000 | NCL Corp. Ltd., 5.875%, 3/15/2026 | 9,886 |
125,000 | Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028 | 116,814 |
170,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026(b) | 164,526 |
320,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(b) | 315,918 |
Principal Amount | Description | Value (†) |
Leisure — continued | ||
$50,000 | SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029(b) | $47,244 |
85,000 | Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027(b) | 80,870 |
75,000 | Viking Cruises Ltd., 5.875%, 9/15/2027(b) | 74,224 |
35,000 | Viking Cruises Ltd., 7.000%, 2/15/2029(b) | 35,186 |
165,000 | Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029(b) | 161,297 |
1,812,057 | ||
Lodging — 2.2% | ||
55,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.875%, 7/01/2031(b) | 48,689 |
405,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 6.625%, 1/15/2032(b) | 406,896 |
315,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(b) | 289,440 |
185,000 | Travel & Leisure Co., 4.500%, 12/01/2029(b) | 170,442 |
15,000 | Travel & Leisure Co., 4.625%, 3/01/2030(b) | 13,651 |
929,118 | ||
Media Entertainment — 0.5% | ||
120,000 | Advantage Sales & Marketing, Inc., 6.500%, 11/15/2028(b) | 108,579 |
70,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028(b) | 35,456 |
95,000 | Stagwell Global LLC, 5.625%, 8/15/2029(b) | 87,787 |
231,822 | ||
Metals & Mining — 2.8% | ||
120,000 | ATI, Inc., 4.875%, 10/01/2029 | 112,173 |
130,000 | Cleveland-Cliffs, Inc., 7.000%, 3/15/2032(b) | 128,529 |
80,000 | Commercial Metals Co., 4.125%, 1/15/2030 | 73,130 |
90,000 | Commercial Metals Co., 4.375%, 3/15/2032 | 81,142 |
225,000 | First Quantum Minerals Ltd., 9.375%, 3/01/2029(b) | 235,097 |
65,000 | GrafTech Finance, Inc., 4.625%, 12/15/2028(b) | 41,203 |
100,000 | GrafTech Global Enterprises, Inc., 9.875%, 12/15/2028(b) | 73,602 |
30,000 | Mineral Resources Ltd., 8.000%, 11/01/2027(b) | 30,607 |
110,000 | Mineral Resources Ltd., 8.125%, 5/01/2027(b) | 110,858 |
115,000 | Mineral Resources Ltd., 9.250%, 10/01/2028(b) | 120,696 |
190,000 | Novelis Corp., 4.750%, 1/30/2030(b) | 176,264 |
1,183,301 | ||
Midstream — 6.7% | ||
15,000 | AmeriGas Partners LP/AmeriGas Finance Corp., 9.375%, 6/01/2028(b) | 15,397 |
85,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.375%, 6/15/2029(b) | 82,395 |
190,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.750%, 3/01/2027(b) | 188,465 |
110,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 6.625%, 2/01/2032(b) | 110,990 |
85,000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.000%, 7/15/2029(b) | 86,563 |
250,000 | CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.500%, 6/15/2031(b) | 236,982 |
90,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 8.625%, 3/15/2029(b) | 92,615 |
210,000 | Energy Transfer LP, (fixed rate to 2/15/2029, variable rate thereafter), 8.000%, 5/15/2054 | 219,658 |
Principal Amount | Description | Value (†) |
Midstream — continued | ||
$160,000 | Enterprise Products Operating LLC, Series E, (fixed rate to 8/16/2027, variable rate thereafter), 5.250%, 8/16/2077 | $153,011 |
45,000 | EQM Midstream Partners LP, 4.750%, 1/15/2031(b) | 42,077 |
65,000 | EQM Midstream Partners LP, 5.500%, 7/15/2028 | 64,008 |
105,000 | EQM Midstream Partners LP, 6.500%, 7/01/2027(b) | 106,127 |
50,000 | EQM Midstream Partners LP, 6.500%, 7/15/2048 | 50,479 |
20,000 | EQM Midstream Partners LP, 7.500%, 6/01/2027(b) | 20,424 |
80,000 | EQM Midstream Partners LP, 7.500%, 6/01/2030(b) | 85,375 |
80,000 | Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026(b) | 78,263 |
45,000 | Global Partners LP/GLP Finance Corp., 8.250%, 1/15/2032(b) | 46,252 |
50,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030(b) | 45,896 |
160,000 | Hess Midstream Operations LP, 5.125%, 6/15/2028(b) | 154,921 |
65,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026(b) | 64,510 |
135,000 | Hess Midstream Operations LP, 6.500%, 6/01/2029(b) | 136,858 |
105,000 | Kinetik Holdings LP, 5.875%, 6/15/2030(b) | 103,468 |
130,000 | Kinetik Holdings LP, 6.625%, 12/15/2028(b) | 132,075 |
90,000 | New Fortress Energy, Inc., 6.500%, 9/30/2026(b) | 82,801 |
50,000 | Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029 | 46,761 |
225,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(b) | 191,724 |
130,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(b) | 116,658 |
110,000 | Venture Global LNG, Inc., 8.375%, 6/01/2031(b) | 114,095 |
2,868,848 | ||
Non-Agency Commercial Mortgage-Backed Securities — 2.1% | ||
93,013 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1 mo. USD SOFR + 3.614%, 8.943%, 11/15/2031(a)(b) | 44,846 |
209,280 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1 mo. USD SOFR + 4.614%, 9.943%, 11/15/2031(a)(b) | 86,043 |
1,020,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037(b) | 578,671 |
380,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, Prime + 0.000%, 8.500%, 11/15/2027(a)(b)(e)(i) | 31,502 |
420,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, Prime + 0.000%, 8.500%, 11/15/2027(a)(b)(e)(i) | 21,000 |
60,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.254%, 11/15/2059(a) | 50,421 |
32,730 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 6.050%, 3/15/2044(a)(b) | 12,503 |
80,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.477%, 12/15/2045(a) | 62,840 |
887,826 | ||
Office REITs — 0.1% | ||
50,000 | Hudson Pacific Properties LP, 3.950%, 11/01/2027 | 41,812 |
Oil Field Services — 1.3% | ||
60,000 | Diamond Foreign Asset Co./Diamond Finance LLC, 8.500%, 10/01/2030(b) | 62,980 |
25,000 | Oceaneering International, Inc., 6.000%, 2/01/2028 | 24,714 |
60,000 | Transocean Aquila Ltd., 8.000%, 9/30/2028(b) | 60,934 |
155,250 | Transocean Poseidon Ltd., 6.875%, 2/01/2027(b) | 155,055 |
99,000 | Transocean, Inc., 8.000%, 2/01/2027(b) | 98,657 |
Principal Amount | Description | Value (†) |
Oil Field Services — continued | ||
$65,000 | USA Compression Partners LP/USA Compression Finance Corp., 7.125%, 3/15/2029(b) | $65,494 |
70,000 | Weatherford International Ltd., 8.625%, 4/30/2030(b) | 72,537 |
540,371 | ||
Other REITs — 0.6% | ||
145,000 | Service Properties Trust, 4.750%, 10/01/2026 | 135,865 |
120,000 | Service Properties Trust, 8.625%, 11/15/2031(b) | 125,078 |
260,943 | ||
Pharmaceuticals — 3.4% | ||
275,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(b) | 205,799 |
55,000 | Bausch Health Cos., Inc., 6.125%, 2/01/2027(b) | 45,788 |
200,000 | Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028(b) | 185,974 |
325,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 318,971 |
75,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 70,390 |
565,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 394,627 |
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 214,813 |
1,436,362 | ||
Property & Casualty Insurance — 3.9% | ||
40,000 | Acrisure LLC/Acrisure Finance, Inc., 4.250%, 2/15/2029(b) | 36,336 |
70,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.750%, 10/15/2027(b) | 69,045 |
170,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 7.000%, 1/15/2031(b) | 171,738 |
190,000 | AmWINS Group, Inc., 6.375%, 2/15/2029(b) | 190,518 |
200,000 | Ardonagh Finco Ltd., 7.750%, 2/15/2031(b) | 197,713 |
200,000 | Ardonagh Group Finance Ltd., 8.875%, 2/15/2032(b) | 195,342 |
195,000 | Baldwin Insurance Group Holdings LLC/Baldwin Insurance Group Holdings Finance, 7.125%, 5/15/2031(b) | 197,266 |
360,000 | HUB International Ltd., 7.250%, 6/15/2030(b) | 369,047 |
125,000 | Liberty Mutual Group, Inc., 4.300%, 2/01/2061(b) | 77,860 |
145,000 | Panther Escrow Issuer LLC, 7.125%, 6/01/2031(b) | 146,658 |
1,651,523 | ||
Refining — 0.3% | ||
120,000 | CVR Energy, Inc., 8.500%, 1/15/2029(b) | 120,494 |
Restaurants — 1.5% | ||
330,000 | 1011778 BC ULC/New Red Finance, Inc., 3.875%, 1/15/2028(b) | 309,076 |
50,000 | 1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030(b) | 44,015 |
205,000 | 1011778 BC ULC/New Red Finance, Inc., 6.125%, 6/15/2029(b) | 205,743 |
65,000 | Papa John's International, Inc., 3.875%, 9/15/2029(b) | 57,531 |
15,000 | Yum! Brands, Inc., 3.625%, 3/15/2031 | 13,238 |
35,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 32,189 |
661,792 | ||
Retailers — 0.4% | ||
15,000 | Asbury Automotive Group, Inc., 4.500%, 3/01/2028 | 14,212 |
70,000 | Asbury Automotive Group, Inc., 4.625%, 11/15/2029(b) | 64,699 |
33,000 | Asbury Automotive Group, Inc., 4.750%, 3/01/2030 | 30,580 |
25,000 | Bath & Body Works, Inc., 5.250%, 2/01/2028 | 24,269 |
Principal Amount | Description | Value (†) |
Retailers — continued | ||
$5,000 | Parkland Corp., 4.500%, 10/01/2029(b) | $4,576 |
45,000 | Parkland Corp., 5.875%, 7/15/2027(b) | 44,410 |
182,746 | ||
Technology — 6.2% | ||
320,000 | Block, Inc., 6.500%, 5/15/2032(b) | 324,285 |
70,000 | Cloud Software Group, Inc., 6.500%, 3/31/2029(b) | 67,222 |
180,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(b) | 74,320 |
70,000 | CommScope, Inc., 4.750%, 9/01/2029(b) | 48,524 |
50,000 | CommScope, Inc., 6.000%, 3/01/2026(b) | 43,878 |
80,000 | Elastic NV, 4.125%, 7/15/2029(b) | 73,045 |
51,744 | GoTo Group, Inc., 5.500%, 5/01/2028(b) | 40,892 |
185,000 | Iron Mountain, Inc., 4.500%, 2/15/2031(b) | 166,995 |
110,000 | Iron Mountain, Inc., 4.875%, 9/15/2029(b) | 103,657 |
5,000 | Iron Mountain, Inc., 5.250%, 7/15/2030(b) | 4,752 |
50,000 | Iron Mountain, Inc., 7.000%, 2/15/2029(b) | 50,880 |
140,000 | NCR Atleos Corp., 9.500%, 4/01/2029(b) | 151,304 |
130,000 | NCR Voyix Corp., 5.000%, 10/01/2028(b) | 122,744 |
35,000 | NCR Voyix Corp., 5.125%, 4/15/2029(b) | 32,961 |
195,000 | Neptune Bidco U.S., Inc., 9.290%, 4/15/2029(b) | 187,156 |
25,000 | Pitney Bowes, Inc., 6.875%, 3/15/2027(b) | 23,614 |
70,000 | Rackspace Technology Global, Inc., 5.375%, 12/01/2028(b) | 19,128 |
20,000 | Sabre Global, Inc., 8.625%, 6/01/2027(b) | 18,425 |
95,000 | Sabre Global, Inc., 11.250%, 12/15/2027(b) | 92,348 |
5,000 | Seagate HDD Cayman, 4.091%, 6/01/2029 | 4,628 |
40,000 | Seagate HDD Cayman, 4.875%, 6/01/2027 | 39,098 |
90,000 | Seagate HDD Cayman, 8.250%, 12/15/2029 | 96,525 |
120,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(b) | 104,592 |
50,000 | Sensata Technologies, Inc., 4.375%, 2/15/2030(b) | 45,920 |
200,000 | Sensata Technologies, Inc., 6.625%, 7/15/2032(b) | 201,431 |
150,000 | UKG, Inc., 6.875%, 2/01/2031(b) | 151,880 |
45,000 | Western Digital Corp., 2.850%, 2/01/2029 | 39,052 |
250,000 | Zebra Technologies Corp., 6.500%, 6/01/2032(b) | 252,815 |
70,000 | Ziff Davis, Inc., 4.625%, 10/15/2030(b) | 63,290 |
2,645,361 | ||
Transportation Services — 0.5% | ||
225,000 | Rand Parent LLC, 8.500%, 2/15/2030(b) | 227,578 |
Treasuries — 2.5% | ||
1,065,000 | U.S. Treasury Notes, 4.875%, 4/30/2026 | 1,066,581 |
Wireless — 1.4% | ||
230,000 | Altice France SA, 5.125%, 1/15/2029(b) | 150,074 |
200,000 | Altice France SA, 8.125%, 2/01/2027(b) | 149,987 |
330,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 306,075 |
606,136 | ||
Wirelines — 1.7% | ||
165,000 | Frontier Communications Holdings LLC, 5.000%, 5/01/2028(b) | 155,446 |
215,000 | Frontier Communications Holdings LLC, 5.875%, 10/15/2027(b) | 209,906 |
27,625 | Lumen Technologies, Inc., 4.125%, 4/15/2029(b) | 17,958 |
27,625 | Lumen Technologies, Inc., 4.125%, 4/15/2030(b) | 17,268 |
225,000 | Telecom Italia Capital SA, 6.375%, 11/15/2033(b) | 220,109 |
120,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028(b) | 98,118 |
718,805 | ||
Total Non-Convertible Bonds (Identified Cost $42,669,479) | 34,811,144 | |
Principal Amount | Description | Value (†) |
Convertible Bonds — 9.1% | ||
Aerospace & Defense — 0.2% | ||
$50,000 | Axon Enterprise, Inc., 0.500%, 12/15/2027 | $68,604 |
Cable Satellite — 2.3% | ||
1,265,000 | DISH Network Corp., 3.375%, 8/15/2026 | 784,503 |
120,000 | DISH Network Corp., Zero Coupon, 6.944%–33.530%, 12/15/2025(f) | 88,212 |
110,000 | Liberty Media Corp., 3.750%, 3/15/2028 | 114,400 |
987,115 | ||
Consumer Cyclical Services — 0.8% | ||
60,000 | Booking Holdings, Inc., 0.750%, 5/01/2025 | 126,187 |
95,000 | Uber Technologies, Inc., Series 2028, 0.875%, 12/01/2028(b) | 112,955 |
80,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 96,449 |
335,591 | ||
Diversified Manufacturing — 0.2% | ||
85,000 | Middleby Corp., 1.000%, 9/01/2025 | 90,511 |
Electric — 0.6% | ||
100,000 | Evergy, Inc., 4.500%, 12/15/2027(b) | 100,800 |
25,000 | NRG Energy, Inc., 2.750%, 6/01/2048 | 47,937 |
120,000 | PG&E Corp., 4.250%, 12/01/2027(b) | 121,020 |
269,757 | ||
Financial Other — 0.0% | ||
4,352 | China Aoyuan Group Ltd., Series IAI, Zero Coupon, 33.034%, 9/30/2028(h) | 49 |
43,605 | Sunac China Holdings Ltd., 1.000% PIK or 0.000% Cash, 9/30/2032(b)(c) | 2,616 |
2,665 | ||
Healthcare — 0.2% | ||
75,000 | Insulet Corp., 0.375%, 9/01/2026 | 81,788 |
Independent Energy — 0.3% | ||
90,000 | Northern Oil & Gas, Inc., 3.625%, 4/15/2029 | 103,590 |
15,000 | Permian Resources Operating LLC, 3.250%, 4/01/2028 | 41,307 |
144,897 | ||
Leisure — 0.5% | ||
100,000 | Carnival Corp., 5.750%, 12/01/2027 | 163,100 |
15,000 | Royal Caribbean Cruises Ltd., 6.000%, 8/15/2025 | 48,382 |
211,482 | ||
Media Entertainment — 0.2% | ||
100,000 | Liberty Media Corp.-Liberty Formula One, 2.250%, 8/15/2027 | 106,129 |
Metals & Mining — 0.2% | ||
23,000 | U.S. Steel Corp., 5.000%, 11/01/2026 | 65,412 |
Pharmaceuticals — 0.7% | ||
300,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 286,415 |
Technology — 2.9% | ||
70,000 | Akamai Technologies, Inc., 1.125%, 2/15/2029(b) | 66,182 |
35,000 | CyberArk Software Ltd., Zero Coupon, 0.000%, 11/15/2024(h) | 60,795 |
85,000 | Datadog, Inc., 0.125%, 6/15/2025 | 123,037 |
50,000 | Dropbox, Inc., Zero Coupon, 1.968%–2.732%, 3/01/2028(f) | 45,469 |
28,000 | Insight Enterprises, Inc., 0.750%, 2/15/2025 | 81,298 |
90,000 | Nutanix, Inc., 0.250%, 10/01/2027 | 104,940 |
105,000 | ON Semiconductor Corp., 0.500%, 3/01/2029 | 100,590 |
20,000 | Palo Alto Networks, Inc., 0.375%, 6/01/2025 | 68,144 |
95,000 | Seagate HDD Cayman, 3.500%, 6/01/2028(b) | 129,627 |
Principal Amount | Description | Value (†) |
Technology — continued | ||
$65,000 | Shift4 Payments, Inc., 0.500%, 8/01/2027 | $61,393 |
60,000 | Super Micro Computer, Inc., Zero Coupon, 0.000%, 3/01/2029(b)(h) | 60,099 |
80,000 | Vertex, Inc., 0.750%, 5/01/2029(b) | 95,309 |
20,000 | Wolfspeed, Inc., 0.250%, 2/15/2028 | 11,790 |
175,000 | Wolfspeed, Inc., 1.875%, 12/01/2029 | 96,425 |
85,000 | Zscaler, Inc., 0.125%, 7/01/2025 | 114,108 |
1,219,206 | ||
Total Convertible Bonds (Identified Cost $4,416,977) | 3,869,572 | |
Total Bonds and Notes (Identified Cost $47,086,456) | 38,680,716 | |
Senior Loans — 7.2% | ||
Aerospace & Defense — 0.4% | ||
154,612 | TransDigm, Inc., 2023 Term Loan J, 3 mo. USD SOFR + 2.500%, 7.843%, 2/28/2031(a)(j) | 154,922 |
19,479 | TransDigm, Inc., 2024 Term Loan I, 3 mo. USD SOFR + 2.750%, 8.085%, 8/24/2028(a)(j) | 19,507 |
174,429 | ||
Brokerage — 0.6% | ||
39,795 | Edelman Financial Center LLC, 2024 Term Loan B, 4/07/2028(k) | 39,833 |
77,698 | Edelman Financial Center LLC, 2024 Term Loan B, 1 mo. USD SOFR + 3.250%, 8.594%, 4/07/2028(a)(j) | 77,771 |
66,665 | Eisner Advisory Group LLC, 2024 Term Loan B, 2/28/2031(k) | 67,193 |
66,657 | HighTower Holdings LLC, 2021 Term Loan B, 3 mo. USD SOFR + 4.000%, 9.586%, 4/21/2028(a)(j) | 66,720 |
251,517 | ||
Chemicals — 0.2% | ||
78,408 | Chemours Co., 2023 USD Term Loan B, 1 mo. USD SOFR + 3.500%, 8.844%, 8/18/2028(a)(j) | 78,015 |
Consumer Cyclical Services — 0.6% | ||
41,124 | Grant Thornton Advisors LLC, Term Loan B, 6/02/2031(k) | 41,227 |
70,213 | Grant Thornton Advisors LLC, Term Loan B, 3 mo. USD SOFR + 3.250%, 8.597%, 6/02/2031(a)(j) | 70,390 |
57,336 | PUG LLC, 2024 Extended Term Loan B, 1 mo. USD SOFR + 4.750%, 10.094%, 3/15/2030(a) | 57,246 |
37,689 | Ryan LLC, Term Loan, 1 mo. USD SOFR + 3.500%, 8.844%, 11/14/2030(a)(j) | 37,793 |
42,069 | VT Topco, Inc., 2024 Term Loan B, 1 mo. USD SOFR + 3.500%, 8.844%, 8/09/2030(a)(j) | 42,205 |
248,861 | ||
Electric — 0.1% | ||
19,360 | Talen Energy Supply LLC, 2023 Term Loan B, 3 mo. USD SOFR + 3.500%, 8.827%, 5/17/2030(a)(j) | 19,547 |
9,374 | Talen Energy Supply LLC, 2023 Term Loan C, 3 mo. USD SOFR + 3.500%, 8.827%, 5/17/2030(a)(j) | 9,464 |
29,011 | ||
Food & Beverage — 0.2% | ||
94,525 | Chobani LLC, 2023 Incremental Term Loan, 1 mo. USD SOFR + 3.750%, 9.081%, 10/25/2027(a)(j) | 94,879 |
Healthcare — 1.3% | ||
216,731 | Bausch & Lomb Corp., Term Loan, 1 mo. USD SOFR + 3.250%, 8.689%, 5/10/2027(a) | 214,238 |
67,967 | Inception Holdco SARL, 2024 USD Term Loan B, 4/18/2031(k) | 68,350 |
Principal Amount | Description | Value (†) |
Healthcare — continued | ||
$43,867 | Inception Holdco SARL, 2024 USD Term Loan B, 3 mo. USD SOFR + 4.500%, 9.835%, 4/18/2031(a)(j) | $44,114 |
92,392 | IVC Acquisition Ltd., 2023 USD Term Loan B, 12/12/2028(k) | 92,468 |
16,957 | IVC Acquisition Ltd., 2024 USD Term Loan B, 12/12/2028(k) | 16,972 |
126,503 | Star Parent, Inc., Term Loan B, 3 mo. USD SOFR + 3.750%, 9.085%, 9/27/2030(a)(j) | 126,316 |
562,458 | ||
Leisure — 0.5% | ||
144,933 | Carnival Corp., 2024 Term Loan B1, 1 mo. USD SOFR + 2.750%, 8.094%, 10/18/2028(a)(j) | 145,115 |
60,692 | Carnival Corp., 2024 Term Loan B2, 1 mo. USD SOFR + 2.750%, 8.094%, 8/08/2027(a)(j) | 60,881 |
205,996 | ||
Media Entertainment — 1.0% | ||
151,620 | Cengage Learning, Inc., 2024 Term Loan B, 6 mo. USD SOFR + 4.250%, 9.538%, 3/22/2031(a)(j) | 151,905 |
151,619 | Creative Artists Agency LLC, 2024 Term Loan B, 1 mo. USD SOFR + 3.250%, 8.594%, 11/27/2028(a)(j) | 152,200 |
47,203 | MH Sub I LLC, 2023 Term Loan, 1 mo. USD SOFR + 4.250%, 9.594%, 5/03/2028(a)(j) | 47,124 |
88,000 | Wood Mackenzie Ltd., 2024 Term Loan B, 3 mo. USD SOFR + 3.500%, 8.823%, 2/07/2031(a)(j) | 88,528 |
439,757 | ||
Property & Casualty Insurance — 1.4% | ||
212,980 | Acrisure LLC, 2024 Term Loan B6, 11/06/2030(k) | 212,582 |
147,359 | Amynta Agency Borrower, Inc., 2024 Term Loan B, 2/28/2028(k) | 147,570 |
111,436 | Asurion LLC, 2023 Term Loan B11, 1 mo. USD SOFR + 4.250%, 9.694%, 8/19/2028(a) | 110,476 |
55,821 | Truist Insurance Holdings LLC, 2nd Lien Term Loan, 3 mo. USD SOFR + 4.750%, 10.085%, 5/06/2032(a)(j) | 56,821 |
55,440 | USI, Inc., 2024 Term Loan (2029), 11/22/2029(k) | 55,406 |
13,477 | USI, Inc., 2024 Term Loan (2030), 3 mo. USD SOFR + 2.750%, 8.085%, 9/27/2030(a)(j) | 13,472 |
596,327 | ||
Technology — 0.9% | ||
112,718 | Cotiviti Corp., 2024 Term Loan, 1 mo. USD SOFR + 3.250%, 8.579%, 5/01/2031(a)(j) | 112,013 |
38,334 | CT Technologies Intermediate Holdings, Inc., 2021 Term Loan B, 1 mo. USD SOFR + 4.250%, 9.708%, 12/16/2025(a)(j) | 38,322 |
216,535 | Fortress Intermediate 3, Inc., Term Loan B, 6/27/2031(k) | 216,535 |
26,000 | UKG, Inc., 2024 Term Loan B, 1 mo. USD SOFR + 3.250%, 8.576%, 2/10/2031(a)(j) | 26,085 |
392,955 | ||
Total Senior Loans (Identified Cost $3,069,545) | 3,074,205 | |
Collateralized Loan Obligations — 0.6% | ||
250,000 | NYACK Park CLO Ltd., Series 2021-1A, Class E, 3 mo. USD SOFR + 6.362%, 11.686%, 10/20/2034(a)(b) | 250,002 |
Shares | Description | Value (†) |
Preferred Stocks — 0.4% | ||
Convertible Preferred Stocks — 0.4% | ||
Brokerage — 0.3% | ||
1,742 | Apollo Global Management, Inc., 6.750% | $114,293 |
Electric — 0.1% | ||
900 | NextEra Energy, Inc., 7.299% | 44,541 |
Total Convertible Preferred Stocks (Identified Cost $154,498) | 158,834 | |
Total Preferred Stocks (Identified Cost $154,498) | 158,834 | |
Common Stocks— 0.0% | ||
Energy Equipment & Services — 0.0% | ||
10,149 | Mcdermott International Ltd.(e) | 2,943 |
Media — 0.0% | ||
9,786 | iHeartMedia, Inc., Class A(e) | 10,667 |
Oil, Gas & Consumable Fuels — 0.0% | ||
3,650 | Battalion Oil Corp.(e) | 12,191 |
Real Estate Management & Development — 0.0% | ||
12,176 | China Aoyuan Group Ltd.(e) | 233 |
Total Common Stocks (Identified Cost $858,751) | 26,034 | |
Warrants — 0.0% | ||
20,319 | McDermott International Ltd., Tranche A, Expiration on 6/30/2027, (e)(i) | — |
22,577 | McDermott International Ltd., Tranche A, Expiration on 6/30/2027, (e)(i) | — |
Total Warrants (Identified Cost $31,517) | — | |
Other Investments — 0.0% | ||
Aircraft ABS — 0.0% | ||
100 | ECAF I Blocker, Ltd.(i)(l) (Identified Cost $1,000,000) | — |
Principal Amount | ||
Short-Term Investments — 3.2% | ||
$1,352,292 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2024 at 3.500% to be repurchased at $1,352,687 on 7/01/2024 collateralized by $1,104,100 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2026 valued at $1,379,389 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,352,292) | 1,352,292 |
Total Investments — 102.0% (Identified Cost $53,803,059) | 43,542,083 | |
Other assets less liabilities — (2.0)% | (834,356 ) | |
Net Assets — 100.0% | $42,707,727 |
(†) | See Note 2 of Notes to Financial Statements. |
(a) | Variable rate security. Rate as of June 30, 2024 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 June 30, 2024, the value of Rule 144A holdings amounted to $28,627,500 or 67.0% 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 June 30, 2024, interest payments were made in principal. |
(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) | Perpetual bond with no specified maturity date. |
(h) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(i) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
(j) | 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 1.00%, to which the spread is added. |
(k) | Position is unsettled. Contract rate was not determined at June 30, 2024 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(l) | Securities subject to restriction on resale. At June 30, 2024, 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% |
ABS | Asset-Backed Securities |
PIK | Payment-in-Kind |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
Cable Satellite | 11.8 % |
Technology | 10.0 |
Midstream | 6.7 |
Property & Casualty Insurance | 5.3 |
Leisure | 5.2 |
Independent Energy | 5.1 |
Finance Companies | 4.6 |
Pharmaceuticals | 4.1 |
Healthcare | 3.9 |
Aerospace & Defense | 3.9 |
Consumer Cyclical Services | 3.2 |
Metals & Mining | 3.0 |
Treasuries | 2.5 |
Lodging | 2.2 |
Non-Agency Commercial Mortgage-Backed Securities | 2.1 |
Other Investments, less than 2% each | 24.6 |
Collateralized Loan Obligations | 0.6 |
Short-Term Investments | 3.2 |
Total Investments | 102.0 |
Other assets less liabilities | (2.0 ) |
Net Assets | 100.0 % |
Principal Amount | Description | Value (†) |
Bonds and Notes — 92.7% of Net Assets | ||
Non-Convertible Bonds — 91.6% | ||
ABS Car Loan — 4.4% | ||
$3,200,000 | American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028(a) | $3,140,256 |
1,377,689 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029(a) | 1,387,590 |
13,370,000 | American Credit Acceptance Receivables Trust, Series 2023-2, Class C, 5.960%, 8/13/2029(a) | 13,366,591 |
4,795,000 | American Credit Acceptance Receivables Trust, Series 2023-3, Class D, 6.820%, 10/12/2029(a) | 4,853,469 |
11,365,000 | American Credit Acceptance Receivables Trust, Series 2023-4, Class D, 7.650%, 9/12/2030(a) | 11,772,593 |
1,395,000 | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026 | 1,378,249 |
8,910,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027(a) | 8,458,295 |
2,540,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027(a) | 2,461,869 |
19,105,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class D, 4.080%, 2/20/2028(a) | 17,071,762 |
7,985,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-4A, Class C, 7.240%, 6/20/2029(a) | 8,232,717 |
2,810,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-8A, Class C, 7.340%, 2/20/2030(a) | 2,920,673 |
750,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class C, 6.480%, 6/20/2030(a) | 755,475 |
17,240,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2024-2A, Class A, 5.130%, 10/20/2028(a) | 17,086,719 |
4,965,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2024-3A, Class C, 6.110%, 12/20/2030(a) | 4,930,756 |
21,010,000 | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class D, 7.840%, 8/15/2029 | 21,941,178 |
8,930,000 | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class C, 6.070%, 2/15/2030 | 9,047,760 |
9,890,000 | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class D, 6.300%, 2/15/2030 | 10,016,810 |
2,550,000 | CarMax Auto Owner Trust, Series 2021-3, Class D, 1.500%, 1/18/2028 | 2,411,005 |
1,100,000 | CarMax Auto Owner Trust, Series 2022-1, Class D, 2.470%, 7/17/2028 | 1,034,795 |
11,965,000 | CarMax Auto Owner Trust, Series 2023-1, Class D, 6.270%, 11/15/2029 | 12,079,784 |
1,540,000 | CarMax Auto Owner Trust, Series 2023-2, Class D, 6.550%, 10/15/2029 | 1,561,274 |
3,035,000 | CarMax Auto Owner Trust, Series 2023-4, Class D, 7.160%, 4/15/2030 | 3,128,493 |
4,250,000 | CarMax Auto Owner Trust, Series 2024-1, Class D, 6.000%, 7/15/2030 | 4,240,374 |
11,525,000 | CarMax Auto Owner Trust, Series 2024-2, Class B, 5.690%, 11/15/2029 | 11,603,716 |
390,000 | CarMax Auto Owner Trust, Series 2024-2, Class D, 6.420%, 10/15/2030 | 393,152 |
3,810,000 | Carvana Auto Receivables Trust, Series 2023-N1, Class D, 6.690%, 7/10/2029(a) | 3,833,644 |
Principal Amount | Description | Value (†) |
ABS Car Loan — continued | ||
$1,860,000 | Carvana Auto Receivables Trust, Series 2023-N4, Class D, 7.220%, 2/11/2030(a) | $1,905,047 |
2,535,000 | Carvana Auto Receivables Trust, Series 2024-N1, Class D, 6.300%, 5/10/2030(a) | 2,531,599 |
7,375,000 | Carvana Auto Receivables Trust, Series 2024-N1, Class C, 5.800%, 5/10/2030(a) | 7,406,771 |
3,432,000 | Carvana Auto Receivables Trust, Series 2024-N2, Class D, 6.440%, 9/10/2030(a) | 3,444,112 |
12,997,000 | Carvana Auto Receivables Trust, Series 2024-P1, Class A4, 5.080%, 3/11/2030(a) | 12,896,507 |
2,970,000 | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class C, 7.710%, 7/15/2033(a) | 3,060,105 |
4,835,000 | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class C, 7.150%, 9/15/2033(a) | 4,877,703 |
2,035,000 | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class C, 7.620%, 12/15/2033(a) | 2,085,291 |
3,460,000 | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class C, 6.710%, 7/17/2034(a) | 3,507,001 |
13,290,000 | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class A, 5.950%, 6/15/2034(a) | 13,263,407 |
6,260,000 | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class C, 6.700%, 10/16/2034(a) | 6,288,658 |
21,060,000 | Drive Auto Receivables Trust, Series 2024-1, Class C, 5.430%, 11/17/2031 | 20,921,025 |
10,500,000 | DT Auto Owner Trust, Series 2022-1A, Class D, 3.400%, 12/15/2027(a) | 10,151,148 |
9,695,000 | DT Auto Owner Trust, Series 2023-1A, Class D, 6.440%, 11/15/2028(a) | 9,742,804 |
10,700,000 | DT Auto Owner Trust, Series 2023-2A, Class D, 6.620%, 2/15/2029(a) | 10,843,812 |
7,695,000 | DT Auto Owner Trust, Series 2023-3A, Class D, 7.120%, 5/15/2029(a) | 7,840,228 |
4,691,958 | Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026 | 4,596,341 |
2,685,000 | Exeter Automobile Receivables Trust, Series 2022-2A, Class D, 4.560%, 7/17/2028 | 2,627,449 |
4,130,000 | Exeter Automobile Receivables Trust, Series 2022-3A, Class D, 6.760%, 9/15/2028 | 4,153,783 |
2,575,000 | Exeter Automobile Receivables Trust, Series 2022-6A, Class C, 6.320%, 5/15/2028 | 2,581,856 |
2,675,000 | Exeter Automobile Receivables Trust, Series 2023-1A, Class D, 6.690%, 6/15/2029 | 2,703,102 |
6,035,000 | Exeter Automobile Receivables Trust, Series 2023-2A, Class D, 6.320%, 8/15/2029 | 6,080,226 |
3,100,000 | Exeter Automobile Receivables Trust, Series 2023-3A, Class D, 6.680%, 4/16/2029 | 3,147,117 |
14,145,000 | Exeter Automobile Receivables Trust, Series 2023-5A, Class D, 7.130%, 2/15/2030 | 14,562,292 |
1,145,000 | Exeter Automobile Receivables Trust, Series 2024-3A, Class C, 5.700%, 7/16/2029 | 1,148,505 |
2,690,000 | Exeter Automobile Receivables Trust, Series 2024-3A, Class D, 5.980%, 9/16/2030 | 2,714,336 |
2,660,000 | First Investors Auto Owner Trust, Series 2022-1A, Class D, 3.790%, 6/15/2028(a) | 2,533,485 |
1,910,000 | First Investors Auto Owner Trust, Series 2022-2A, Class D, 8.710%, 10/16/2028(a) | 1,992,807 |
1,115,145 | Flagship Credit Auto Trust, Series 2019-3, Class D, 2.860%, 12/15/2025(a) | 1,109,605 |
2,520,000 | Flagship Credit Auto Trust, Series 2023-1, Class D, 6.460%, 5/15/2029(a) | 2,525,592 |
11,331,000 | Flagship Credit Auto Trust, Series 2023-2, Class D, 6.620%, 5/15/2029(a) | 11,459,376 |
Principal Amount | Description | Value (†) |
ABS Car Loan — continued | ||
$1,800,000 | Flagship Credit Auto Trust, Series 2023-3, Class D, 6.580%, 8/15/2029(a) | $1,817,754 |
4,225,000 | Ford Credit Auto Lease Trust, Series 2023-B, Class D, 6.970%, 6/15/2028 | 4,308,262 |
747,038 | Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025 | 745,186 |
4,580,000 | GLS Auto Receivables Issuer Trust, Series 2023-2A, Class D, 6.310%, 3/15/2029(a) | 4,612,133 |
3,550,000 | GLS Auto Receivables Issuer Trust, Series 2023-3A, Class D, 6.440%, 5/15/2029(a) | 3,579,607 |
6,440,000 | GLS Auto Receivables Issuer Trust, Series 2023-4A, Class D, 7.180%, 8/15/2029(a) | 6,640,470 |
4,140,000 | GLS Auto Receivables Issuer Trust, Series 2024-1A, Class D, 5.950%, 12/17/2029(a) | 4,118,840 |
1,441,000 | GLS Auto Receivables Issuer Trust, Series 2024-2A, Class D, 6.190%, 2/15/2030(a) | 1,462,830 |
3,900,000 | GLS Auto Select Receivables Trust, Series 2024-3A, Class C, 5.920%, 8/15/2030(a) | 3,904,621 |
6,289,000 | GLS Auto Select Receivables Trust, Series 2024-3A, Class D, 6.340%, 8/15/2031(a) | 6,298,232 |
111,221 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025 | 110,936 |
3,929,603 | GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026 | 3,882,254 |
11,298,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026(a) | 10,907,437 |
3,850,000 | Hertz Vehicle Financing III LLC, Series 2023-1A, Class 1D, 9.130%, 6/25/2027(a) | 3,839,561 |
3,870,000 | Hertz Vehicle Financing LLC, Series 2022-2A, Class D, 5.160%, 6/26/2028(a) | 3,467,883 |
6,675,000 | Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026(a) | 6,492,145 |
48,485 | JPMorgan Chase Bank NA, Series 2021-1, Class D, 1.174%, 9/25/2028(a) | 48,286 |
5,370,000 | LAD Auto Receivables Trust, Series 2023-3A, Class C, 6.430%, 12/15/2028(a) | 5,449,073 |
2,715,000 | LAD Auto Receivables Trust, Series 2023-4A, Class C, 6.760%, 3/15/2029(a) | 2,777,115 |
1,460,000 | LAD Auto Receivables Trust, Series 2023-4A, Class D, 7.370%, 4/15/2031(a) | 1,515,083 |
790,000 | LAD Auto Receivables Trust, Series 2024-1A, Class B, 5.330%, 2/15/2029(a) | 783,841 |
295,000 | LAD Auto Receivables Trust, Series 2024-1A, Class C, 5.640%, 6/15/2029(a) | 293,199 |
1,555,000 | OneMain Direct Auto Receivables Trust, Series 2023-1A, Class D, 7.070%, 2/14/2033(a) | 1,583,494 |
4,350,000 | Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028(a) | 4,274,849 |
4,970,000 | Prestige Auto Receivables Trust, Series 2023-1A, Class D, 6.330%, 4/16/2029(a) | 4,973,330 |
4,500,000 | Prestige Auto Receivables Trust, Series 2023-2A, Class C, 7.120%, 8/15/2029(a) | 4,603,561 |
2,725,000 | Prestige Auto Receivables Trust, Series 2023-2A, Class D, 7.710%, 8/15/2029(a) | 2,810,730 |
645,000 | Santander Drive Auto Receivables Trust, Series 2024-2, Class C, 5.840%, 6/17/2030 | 652,550 |
780,000 | Santander Drive Auto Receivables Trust, Series 2024-2, Class D, 6.280%, 8/15/2031 | 794,566 |
21,205,000 | Santander Drive Auto Receivables Trust, Series 2024-3, Class D, 5.970%, 10/15/2031 | 21,274,255 |
Principal Amount | Description | Value (†) |
ABS Car Loan — continued | ||
$475,000 | SBNA Auto Receivables Trust, Series 2024-A, Class C, 5.590%, 1/15/2030(a) | $475,143 |
716,000 | SBNA Auto Receivables Trust, Series 2024-A, Class D, 6.040%, 4/15/2030(a) | 718,703 |
2,730,000 | SFS Auto Receivables Securitization Trust, Series 2023-1A, Class C, 5.970%, 2/20/2031(a) | 2,769,251 |
2,230,000 | VStrong Auto Receivables Trust, Series 2024-A, Class B, 5.770%, 7/15/2030(a) | 2,247,450 |
565,000 | VStrong Auto Receivables Trust, Series 2024-A, Class D, 7.290%, 7/15/2030(a) | 582,408 |
3,055,000 | Westlake Automobile Receivables Trust, Series 2023-1A, Class D, 6.790%, 11/15/2028(a) | 3,104,140 |
7,350,000 | Westlake Automobile Receivables Trust, Series 2023-2A, Class D, 7.010%, 11/15/2028(a) | 7,452,125 |
8,400,000 | Westlake Automobile Receivables Trust, Series 2023-3A, Class D, 6.470%, 3/15/2029(a) | 8,473,786 |
13,315,000 | Westlake Automobile Receivables Trust, Series 2023-4A, Class D, 7.190%, 7/16/2029(a) | 13,670,604 |
19,730,000 | Westlake Automobile Receivables Trust, Series 2024-1A, Class C, 5.650%, 2/15/2029(a) | 19,745,389 |
14,870,000 | Westlake Automobile Receivables Trust, Series 2024-1A, Class D, 6.020%, 10/15/2029(a) | 14,983,190 |
4,990,000 | Westlake Flooring Master Trust, Series 2024-1A, Class A, 5.430%, 2/15/2028(a) | 4,987,784 |
561,042,145 | ||
ABS Credit Card — 0.3% | ||
4,007,000 | Mission Lane Credit Card Master Trust, Series 2023-A, Class A, 7.230%, 7/17/2028(a) | 4,029,180 |
8,286,000 | Mission Lane Credit Card Master Trust, Series 2023-B, Class A, 7.690%, 11/15/2028(a) | 8,385,018 |
6,575,000 | Mission Lane Credit Card Master Trust, Series 2024-A, Class A1, 6.200%, 8/15/2029(a) | 6,622,951 |
19,300,000 | World Financial Network Credit Card Master Trust, Series 2024-A, Class A, 5.470%, 2/17/2031 | 19,411,650 |
38,448,799 | ||
ABS Home Equity — 4.1% | ||
15,451,000 | American Homes 4 Rent Trust, Series 2015-SFR1, Class E, 5.639%, 4/17/2052(a) | 15,367,973 |
2,351,162 | Citigroup Mortgage Loan Trust, Inc., Series 2019-RP1, Class A1, 3.500%, 1/25/2066(a)(b) | 2,244,082 |
18,292,688 | COLT Mortgage Loan Trust, Series 2021-6, Class A1, 1.907%, 12/25/2066(a)(b) | 15,867,863 |
2,434,000 | CoreVest American Finance Ltd., Series 2019-1, Class D, 4.818%, 3/15/2052(a) | 2,315,841 |
2,185,465 | CoreVest American Finance Ltd., Series 2019-3, Class A, 2.705%, 10/15/2052(a) | 2,149,965 |
2,929,000 | CoreVest American Finance Ltd., Series 2019-3, Class B, 3.163%, 10/15/2052(a) | 2,621,170 |
1,259,000 | CoreVest American Finance Ltd., Series 2020-2, Class C, 4.752%, 5/15/2052(a)(b) | 1,177,070 |
1,870,000 | CoreVest American Finance Ltd., Series 2021-3, Class D, 3.469%, 10/15/2054(a) | 1,533,955 |
13,916,045 | CoreVest American Finance Ltd., Series 2021-RTL1, Class A1, 2.239%, 3/28/2029(a)(b) | 13,560,943 |
10,565,000 | CoreVest American Finance Ltd., Series 2023-RTL1, Class A1, 7.553%, 12/28/2030(a)(b) | 10,605,855 |
Principal Amount | Description | Value (†) |
ABS Home Equity — continued | ||
$2,594,643 | Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 4.080%, 3/25/2060(a)(b) | $2,584,827 |
4,181,207 | Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 4.055%, 9/27/2060(a)(b) | 4,091,655 |
5,120,887 | Deephaven Residential Mortgage Trust, Series 2021-2, Class A1, 0.899%, 4/25/2066(a)(b) | 4,412,898 |
4,393,388 | Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2022-DNA3, Class M1A, REMICS, 30 day USD SOFR Average + 2.000%, 7.335%, 4/25/2042(a)(b) | 4,458,941 |
4,547,639 | Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2023-DNA2, Class M1A, REMICS, 30 day USD SOFR Average + 2.100%, 7.435%, 4/25/2043(a)(b) | 4,653,791 |
3,054,001 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2022-R06, Class 1M1, 30 day USD SOFR Average + 2.750%, 8.085%, 5/25/2042(a)(b) | 3,139,818 |
7,863,542 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2023-R02, Class 1M1, 30 day USD SOFR Average + 2.300%, 7.635%, 1/25/2043(a)(b) | 8,064,401 |
2,247,997 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2023-R08, Class 1M1, 30 day USD SOFR Average + 1.500%, 6.835%, 10/25/2043(a)(b) | 2,262,047 |
9,110,250 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2024-R02, Class 1M1, 30 day USD SOFR Average + 1.100%, 6.435%, 2/25/2044(a)(b) | 9,121,638 |
3,083,000 | FirstKey Homes Trust, Series 2020-SFR1, Class D, 2.241%, 8/17/2037(a) | 2,937,212 |
1,515,000 | FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037(a) | 1,451,229 |
13,696,000 | FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.968%, 10/19/2037(a) | 12,928,535 |
6,000,000 | FirstKey Homes Trust, Series 2021-SFR2, Class B, 1.607%, 9/17/2038(a) | 5,472,334 |
10,000,000 | FirstKey Homes Trust, Series 2021-SFR3, Class B, 2.435%, 12/17/2038(a) | 9,226,348 |
9,710,000 | FirstKey Homes Trust, Series 2022-SFR2, Class D, 4.500%, 7/17/2039(a) | 9,211,216 |
2,838,794 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068(a)(b) | 2,682,897 |
25,636,000 | GITSIT Mortgage Loan Trust, Series 2024-NPL1, Class A1, 7.466%, 6/25/2054(a)(b) | 25,643,537 |
2,232,831 | Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/2039(a) | 2,068,989 |
2,413,445 | Home Partners of America Trust, Series 2019-2, Class D, 3.121%, 10/19/2039(a) | 2,213,422 |
970,913 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041(a) | 793,229 |
Principal Amount | Description | Value (†) |
ABS Home Equity — continued | ||
$10,330,875 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026(a) | $9,388,079 |
5,155,827 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026(a) | 4,682,800 |
1,744,507 | Legacy Mortgage Asset Trust, Series 2021-GS4, Class A1, 1.650%, 11/25/2060(a)(b) | 1,699,579 |
1,467,786 | Mill City Mortgage Loan Trust, Series 2018-2, Class M1, 3.750%, 5/25/2058(a)(b) | 1,405,100 |
1,695,000 | Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.250%, 10/25/2069(a)(b) | 1,624,004 |
2,744,944 | Mill City Mortgage Loan Trust, Series 2019-1, Class M1, 3.500%, 10/25/2069(a)(b) | 2,521,568 |
3,500,154 | Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1, 2.750%, 7/25/2059(a)(b) | 3,340,889 |
540,000 | Mill City Mortgage Loan Trust, Series 2021-NMR1, Class M1, 1.850%, 11/25/2060(a)(b) | 466,261 |
1,750,000 | Mill City Mortgage Loan Trust, Series 2021-NMR1, Class M2, 2.500%, 11/25/2060(a)(b) | 1,462,414 |
27,489,601 | New Residential Mortgage Loan Trust, Series 2024-RPL1, Class A, 3.800%, 1/25/2064(a)(b) | 25,536,328 |
15,130,000 | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1, 6.664%, 3/25/2039(a)(b) | 15,139,169 |
12,897,320 | NLT Trust, Series 2023-1, Class A1, 3.200%, 10/25/2062(a)(b) | 11,706,859 |
12,865,000 | NYMT Loan Trust, Series 2024-BPL2, Class A1, 6.509%, 5/25/2039(a)(b) | 12,940,839 |
20,597,398 | NYMT Loan Trust, Series 2024-CP1, Class A1, 3.750%, 2/25/2068(a)(b) | 18,970,636 |
5,251,578 | OBX Trust, Series 2021-NQM3, Class A1, 1.054%, 7/25/2061(a)(b) | 4,105,283 |
155,000 | Progress Residential Trust, Series 2020-SFR2, Class C, 3.077%, 6/17/2037(a) | 153,709 |
295,000 | Progress Residential Trust, Series 2020-SFR3, Class B, 1.495%, 10/17/2027(a) | 279,889 |
1,770,000 | Progress Residential Trust, Series 2020-SFR3, Class D, 1.896%, 10/17/2027(a) | 1,676,339 |
1,818,000 | Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027(a) | 1,726,254 |
5,780,000 | Progress Residential Trust, Series 2021-SFR2, Class E1, 2.547%, 4/19/2038(a) | 5,389,623 |
8,750,000 | Progress Residential Trust, Series 2021-SFR3, Class C, 2.088%, 5/17/2026(a) | 8,123,254 |
2,420,000 | Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026(a) | 2,250,488 |
2,015,000 | Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026(a) | 1,857,456 |
3,575,000 | Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038(a) | 3,290,552 |
1,795,000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038(a) | 1,646,585 |
1,400,000 | Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040(a) | 1,222,956 |
960,000 | Progress Residential Trust, Series 2021-SFR9, Class E2, 3.010%, 11/17/2040(a) | 837,496 |
1,260,000 | Progress Residential Trust, Series 2023-SFR1, Class C, 4.650%, 3/17/2040(a) | 1,199,618 |
Principal Amount | Description | Value (†) |
ABS Home Equity — continued | ||
$1,935,000 | Progress Residential Trust, Series 2023-SFR1, Class D, 4.650%, 3/17/2040(a) | $1,830,088 |
1,285,000 | Progress Residential Trust, Series 2023-SFR2, Class B, 4.500%, 10/17/2040(a) | 1,214,441 |
3,420,794 | PRPM LLC, Series 2020-4, Class A1, 5.610%, 10/25/2025(a)(b) | 3,418,467 |
4,434,931 | PRPM LLC, Series 2021-10, Class A1, 2.487%, 10/25/2026(a)(b) | 4,388,592 |
4,570,633 | PRPM LLC, Series 2021-8, Class A1, 1.743%, 9/25/2026(a)(b) | 4,436,699 |
1,103,675 | PRPM LLC, Series 2023-RCF2, Class A1, 4.000%, 11/25/2053(a)(b) | 1,061,170 |
10,805,508 | PRPM LLC, Series 2024-1, Class A1, 6.959%, 2/25/2029(a)(b) | 10,773,059 |
8,921,217 | PRPM LLC, Series 2024-2, Class A1, 7.026%, 3/25/2029(a)(b) | 8,941,781 |
2,442,955 | PRPM LLC, Series 2024-RCF1, Class A1, 4.000%, 1/25/2054(a)(b) | 2,329,245 |
9,515,901 | PRPM LLC, Series 2024-RCF2, Class A1, 3.750%, 3/25/2054(a)(b) | 9,095,669 |
20,021,430 | PRPM LLC, Series 2024-RPL1, Class A1, 4.200%, 12/25/2064(a)(b) | 19,161,830 |
5,455,210 | RCO VII Mortgage LLC, Series 2024-1, Class A1, 7.021%, 1/25/2029(a)(b) | 5,426,150 |
6,405,578 | Redwood Funding Trust, Series 2023-1, Class A, 7.500%, 7/25/2059(a)(b) | 6,284,410 |
282,692 | Sequoia Mortgage Trust, Series 2017-CH2, Class A1, 4.000%, 12/25/2047(a)(b) | 257,803 |
5,790,000 | Toorak Mortgage Trust, Series 2024-RRTL1, Class A1, 6.597%, 2/25/2039(a)(b) | 5,784,586 |
4,930,000 | Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057(a)(b) | 4,194,731 |
1,775,000 | Towd Point Mortgage Trust, Series 2018-4, Class A2, 3.000%, 6/25/2058(a)(b) | 1,471,299 |
1,943,340 | Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058(a)(b) | 1,617,075 |
4,495,000 | Towd Point Mortgage Trust, Series 2019-2, Class A2, 3.750%, 12/25/2058(a)(b) | 4,007,074 |
17,610,000 | Towd Point Mortgage Trust, Series 2019-2, Class M1, 3.750%, 12/25/2058(a)(b) | 15,009,767 |
3,985,359 | Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059(a)(b) | 3,724,849 |
3,325,000 | Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060(a)(b) | 2,793,479 |
1,505,000 | Tricon American Homes, Series 2020-SFR1, Class B, 2.049%, 7/17/2038(a) | 1,401,759 |
3,950,000 | Tricon American Homes, Series 2020-SFR1, Class D, 2.548%, 7/17/2038(a) | 3,705,481 |
2,575,000 | Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038(a) | 2,453,606 |
438,947 | VCAT LLC, Series 2021-NPL1, Class A1, 5.289%, 12/26/2050(a)(b) | 436,711 |
5,511,559 | VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051(a)(b) | 5,424,696 |
15,157,642 | VCAT LLC, Series 2021-NPL6, Class A1, 1.917%, 9/25/2051(a)(b) | 14,832,178 |
11,274,474 | Verus Securitization Trust, Series 2021-3, Class A1, 1.046%, 6/25/2066(a)(b) | 9,455,958 |
12,487,167 | Verus Securitization Trust, Series 2021-7, Class A1, 1.829%, 10/25/2066(a)(b) | 10,919,418 |
Principal Amount | Description | Value (†) |
ABS Home Equity — continued | ||
$1,064,277 | VOLT XCII LLC, Series 2021-NPL1, Class A1, 4.893%, 2/27/2051(a)(b) | $1,047,751 |
4,634,159 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, 4.893%, 2/27/2051(a)(b) | 4,565,616 |
5,050,662 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 5.240%, 2/27/2051(a)(b) | 4,995,933 |
2,016,487 | VOLT XCVI LLC, Series 2021-NPL5, Class A1, 5.116%, 3/27/2051(a)(b) | 1,998,771 |
4,573,008 | VOLT XCVII LLC, Series 2021-NPL6, Class A1, 5.240%, 4/25/2051(a)(b) | 4,546,860 |
512,514,710 | ||
ABS Other — 4.6% | ||
2,338,872 | AASET LLC, Series 2022-1A, Class A, 6.000%, 5/16/2047(a) | 2,296,665 |
4,654,791 | AASET Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041(a) | 4,289,995 |
8,710,000 | Affirm Asset Securitization Trust, Series 2023-A, Class A, 6.610%, 1/18/2028(a) | 8,742,196 |
8,060,000 | Affirm Asset Securitization Trust, Series 2023-B, Class A, 6.820%, 9/15/2028(a) | 8,150,417 |
2,825,773 | Affirm Asset Securitization Trust, Series 2023-X1, Class A, 7.110%, 11/15/2028(a) | 2,837,582 |
16,955,000 | Affirm Asset Securitization Trust, Series 2024-A, Class 1A, 5.610%, 2/15/2029(a) | 16,899,744 |
975,000 | Affirm Asset Securitization Trust, Series 2024-A, Class 1D, 6.890%, 2/15/2029(a) | 975,271 |
5,520,000 | Affirm Asset Securitization Trust, Series 2024-A, Class A, 5.610%, 2/15/2029(a) | 5,498,676 |
3,730,000 | Auxilior Term Funding LLC, Series 2023-1A, Class A2, 6.180%, 12/15/2028(a) | 3,747,039 |
11,270,000 | BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035(a) | 10,838,297 |
8,750,000 | BHG Securitization Trust, Series 2023-B, Class B, 7.450%, 12/17/2036(a) | 9,018,476 |
8,521,356 | BHG Securitization Trust, Series 2024-1CON, Class A, 5.810%, 4/17/2035(a) | 8,544,389 |
9,490,000 | BHG Securitization Trust, Series 2024-1CON, Class B, 6.490%, 4/17/2035(a) | 9,544,311 |
1,998,303 | Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/2036(a) | 1,892,305 |
5,265,109 | Business Jet Securities LLC, Series 2024-1A, Class A, 6.197%, 5/15/2039(a) | 5,312,890 |
5,960,938 | CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220%, 9/25/2045(a) | 5,421,203 |
2,423,067 | Castlelake Aircraft Structured Trust, Series 2019-1A, Class A, 3.967%, 4/15/2039(a) | 2,181,379 |
880,000 | Chesapeake Funding II LLC, Series 2023-1A, Class D, 6.690%, 5/15/2035(a) | 877,560 |
5,082,850 | CLI Funding VI LLC, Series 2020-3A, Class A, 2.070%, 10/18/2045(a) | 4,593,298 |
2,971,915 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046(a) | 2,640,669 |
7,294,184 | Clsec Holdings 22t LLC, Series 2021-1, Class B, 3.464%, 5/11/2037(a) | 6,327,033 |
7,788,046 | EverBright Solar Trust, Series 2024-A, Class A, 6.430%, 6/22/2054(a) | 7,717,782 |
6,067,670 | Foundation Finance Trust, Series 2023-2A, Class A, 6.530%, 6/15/2049(a) | 6,127,454 |
2,375,000 | Foundation Finance Trust, Series 2023-2A, Class B, 6.970%, 6/15/2049(a) | 2,421,465 |
Principal Amount | Description | Value (†) |
ABS Other — continued | ||
$51,030,000 | Frontier Issuer LLC, Series 2023-1, Class A2, 6.600%, 8/20/2053(a) | $51,439,873 |
17,740,000 | Frontier Issuer LLC, Series 2024-1, Class A2, 6.190%, 6/20/2054(a) | 17,749,615 |
353,216 | Hilton Grand Vacations Trust, Series 2022-1D, Class C, 4.690%, 6/20/2034(a) | 341,363 |
719,922 | Hilton Grand Vacations Trust, Series 2023-1A, Class C, 6.940%, 1/25/2038(a) | 732,552 |
3,232,676 | Hilton Grand Vacations Trust, Series 2024-2A, Class C, 5.990%, 3/25/2038(a) | 3,236,775 |
5,384,049 | HINNT LLC, Series 2024-A, Class A, 5.490%, 3/15/2043(a) | 5,373,679 |
2,655,088 | Horizon Aircraft Finance I Ltd., Series 2018-1, Class A, 4.458%, 12/15/2038(a) | 2,415,037 |
1,792,865 | Horizon Aircraft Finance II Ltd., Series 2019-1, Class A, 3.721%, 7/15/2039(a) | 1,648,488 |
2,194,571 | Horizon Aircraft Finance III Ltd., Series 2019-2, Class A, 3.425%, 11/15/2039(a) | 1,906,281 |
3,135,000 | HPEFS Equipment Trust, Series 2022-1A, Class D, 2.400%, 11/20/2029(a) | 3,041,955 |
2,395,000 | HPEFS Equipment Trust, Series 2023-2A, Class D, 6.970%, 7/21/2031(a) | 2,429,854 |
5,863,050 | Jack in the Box Funding LLC, Series 2019-1A, Class A2II, 4.476%, 8/25/2049(a) | 5,648,731 |
100,275 | Jack in the Box Funding LLC, Series 2022-1A, Class A2I, 3.445%, 2/26/2052(a) | 93,391 |
4,086,058 | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038(a) | 3,841,098 |
7,410,604 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046(a) | 6,623,746 |
2,531,801 | MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043(a) | 2,463,886 |
1,135,395 | MAPS Ltd., Series 2019-1A, Class A, 4.458%, 3/15/2044(a) | 1,035,378 |
3,802,245 | MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046(a) | 3,423,009 |
5,024,000 | Marlette Funding Trust, Series 2023-2A, Class B, 6.540%, 6/15/2033(a) | 5,035,817 |
17,787,488 | Merchants Fleet Funding LLC, Series 2023-1A, Class A, 7.210%, 5/20/2036(a) | 17,880,303 |
5,260,000 | Merchants Fleet Funding LLC, Series 2023-1A, Class D, 8.200%, 5/20/2036(a) | 5,344,065 |
16,315,000 | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A, 6.560%, 7/20/2029(a) | 16,365,381 |
1,795,000 | MetroNet Infrastructure Issuer LLC, Series 2024-1A, Class A2, 6.230%, 4/20/2054(a) | 1,814,023 |
41,968,948 | Mosaic Solar Loan Trust, Series 2024-2A, Class A, 5.600%, 4/22/2052(a) | 40,472,000 |
3,586,244 | Mosaic Solar Loans LLC, Series 2024-1A, Class A, 5.500%, 9/20/2049(a) | 3,555,427 |
255,810 | MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037(a) | 246,172 |
10,581,122 | MVW LLC, Series 2024-1A, Class A, 5.320%, 2/20/2043(a) | 10,596,084 |
3,720,594 | MVW LLC, Series 2024-1A, Class C, 6.200%, 2/20/2043(a) | 3,739,539 |
158,246 | MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036(a) | 153,203 |
11,184,625 | Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046(a)(b) | 10,055,078 |
17,135,000 | Octane Receivables Trust, Series 2024-1A, Class A2, 5.680%, 5/20/2030(a) | 17,124,188 |
Principal Amount | Description | Value (†) |
ABS Other — continued | ||
$7,119,000 | Octane Receivables Trust, Series 2024-2A, Class C, 5.900%, 7/20/2032(a) | $7,122,794 |
8,040,000 | OneMain Financial Issuance Trust, Series 2022-S1, Class D, 5.200%, 5/14/2035(a) | 7,701,399 |
5,615,000 | PK Alift Loan Funding 3 LP, Series 2024-1, Class A1, 5.842%, 9/15/2039(a) | 5,616,376 |
530,000 | SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.930%, 9/20/2030(a) | 502,256 |
2,555,000 | SCF Equipment Leasing LLC, Series 2022-1A, Class D, 3.790%, 11/20/2031(a) | 2,430,943 |
3,365,000 | SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032(a) | 3,412,342 |
6,179,513 | SEB Funding LLC, Series 2021-1A, Class A2, 4.969%, 1/30/2052(a) | 5,898,090 |
12,125,000 | SEB Funding LLC, Series 2024-1A, Class A2, 7.386%, 4/30/2054(a) | 12,312,731 |
1,943,700 | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042(a) | 1,837,224 |
371,015 | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037(a) | 353,257 |
1,028,595 | Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class C, 7.000%, 1/20/2040(a) | 1,035,495 |
1,269,633 | Sierra Timeshare Receivables Funding LLC, Series 2023-2A, Class C, 7.300%, 4/20/2040(a) | 1,287,472 |
4,550,969 | Sierra Timeshare Receivables Funding LLC, Series 2023-3A, Class C, 7.120%, 9/20/2040(a) | 4,589,584 |
190,000 | SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28 day Auction Rate Security, 7.960%, 9/15/2032(b) | 189,733 |
457,000 | SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28 day Auction Rate Security, 7.930%, 9/15/2032(b) | 455,600 |
1,725,000 | Stream Innovations Issuer Trust, Series 2024-1A, Class A, 6.270%, 7/15/2044(a) | 1,723,365 |
5,646,601 | Sunnova Helios X Issuer LLC, Series 2022-C, Class A, 5.300%, 11/22/2049(a) | 5,403,339 |
24,581,406 | Sunnova Helios XIII Issuer LLC, Series 2024-A, Class A, 5.300%, 2/20/2051(a) | 23,678,064 |
8,818,465 | TIC Home Improvement Trust, Series 2024-A, Class A, 6.670%, 10/15/2046(a) | 8,835,890 |
16,180,812 | TIF Funding III LLC, Series 2024-1A, Class A, 5.480%, 4/20/2049(a) | 16,096,420 |
3,753,281 | TIF Funding III LLC, Series 2024-1A, Class C, 6.310%, 4/20/2049(a) | 3,769,008 |
31,890,000 | Trafigura Securitisation Finance PLC, Series 2024-1A, Class A1, SOFR + 1.400%, 6.737%, 11/15/2027(a)(b) | 32,135,808 |
2,717,881 | WAVE Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042(a) | 2,451,763 |
4,310,000 | Westlake Automobile Receivables Trust, Series 2024-2A, Class D, 5.910%, 4/15/2030(a) | 4,304,587 |
3,040,193 | Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 9/15/2043(a)(b) | 2,930,025 |
958,065 | Willis Engine Structured Trust IV, Series 2018-A, Class B, 5.438%, 9/15/2043(a)(b) | 884,802 |
3,057,744 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 5/15/2046(a) | 2,715,323 |
2,400,391 | Willis Engine Structured Trust VI, Series 2021-A, Class B, 5.438%, 5/15/2046(a) | 2,026,523 |
Principal Amount | Description | Value (†) |
ABS Other — continued | ||
$20,763,309 | Willis Engine Structured Trust VII, Series 2023-A, Class A, 8.000%, 10/15/2048(a) | $21,931,640 |
15,445,000 | Ziply Fiber Issuer LLC, Series 2024-1A, Class A2, 6.640%, 4/20/2054(a) | 15,721,852 |
582,075,792 | ||
ABS Student Loan — 1.2% | ||
866,862 | Ascent Education Funding Trust, Series 2024-A, Class A, 6.140%, 10/25/2050(a) | 872,691 |
27,875,000 | College Ave Student Loans LLC, Series 2024-B, Class A1A, 5.690%, 8/25/2054(a) | 27,939,363 |
7,925,000 | College Ave Student Loans LLC, Series 2024-B, Class B, 6.080%, 8/25/2054(a) | 7,939,939 |
443,571 | College Avenue Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051(a) | 400,897 |
3,510,000 | College Avenue Student Loans LLC, Series 2023-B, Class C, 7.580%, 6/25/2054(a) | 3,557,754 |
1,894,039 | Commonbond Student Loan Trust, Series 2020-1, Class A, 1.690%, 10/25/2051(a) | 1,638,444 |
2,520,752 | ELFI Graduate Loan Program LLC, Series 2019-A, Class A, 2.540%, 3/25/2044(a) | 2,276,695 |
3,299,427 | Laurel Road Prime Student Loan Trust, Series 2020-A, Class A2FX, 1.400%, 11/25/2050(a) | 2,982,949 |
535,477 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069(a) | 493,059 |
2,394,720 | Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069(a) | 2,115,785 |
560,000 | Navient Private Education Refi Loan Trust, Series 2021-A, Class B, 2.240%, 5/15/2069(a) | 425,126 |
2,105,000 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069(a) | 1,396,730 |
4,790,000 | Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070(a) | 3,410,169 |
5,525,000 | Navient Student Loan Trust, Series 2023-BA, Class B, 7.230%, 3/15/2072(a) | 5,763,498 |
6,710,000 | Nelnet Student Loan Trust, Series 2021-BA, Class B, 2.680%, 4/20/2062(a) | 5,555,995 |
244,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28 day Auction Rate Security, 5.245%, 6/15/2032(b) | 242,498 |
227,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, 28 day Auction Rate Security, 7.940%, 6/15/2032(b) | 225,602 |
408,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28 day Auction Rate Security, 5.260%, 3/15/2033(b) | 405,020 |
273,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28 day Auction Rate Security, 7.870%, 3/15/2033(b) | 271,006 |
1,422,085 | SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043(a) | 1,393,552 |
215,000 | SMB Private Education Loan Trust, Series 2018-A, Class B, 3.960%, 7/15/2042(a) | 200,754 |
1,605,000 | SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042(a) | 1,496,260 |
1,525,000 | SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042(a) | 1,413,968 |
Principal Amount | Description | Value (†) |
ABS Student Loan — continued | ||
$3,374,721 | SMB Private Education Loan Trust, Series 2019-A, Class A2A, 3.440%, 7/15/2036(a) | $3,255,943 |
6,158,607 | SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.840%, 6/15/2037(a) | 5,893,356 |
520,306 | SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037(a) | 488,979 |
3,545,348 | SMB Private Education Loan Trust, Series 2021-B, Class A, 1.310%, 7/17/2051(a) | 3,223,075 |
4,205,000 | SMB Private Education Loan Trust, Series 2023-C, Class B, 6.360%, 11/15/2052(a) | 4,282,425 |
26,862,830 | SMB Private Education Loan Trust, Series 2024-A, Class A1A, 5.240%, 3/15/2056(a) | 26,769,186 |
17,513,000 | SMB Private Education Loan Trust, Series 2024-A, Class B, 5.880%, 3/15/2056(a) | 17,599,672 |
8,542,889 | SMB Private Education Loan Trust, Series 2024-C, Class A1A, 5.500%, 6/17/2052(a) | 8,617,452 |
2,605,000 | SMB Private Education Loan Trust, Series 2024-C, Class B, 6.060%, 6/17/2052(a) | 2,654,401 |
145,202,243 | ||
ABS Whole Business — 1.2% | ||
30,940,000 | Applebee's Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053(a) | 31,988,343 |
2,807,780 | Domino's Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047(a) | 2,686,310 |
5,032,173 | Domino's Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048(a) | 4,838,879 |
11,926,600 | EWC Master Issuer LLC, Series 2022-1A, Class A2, 5.500%, 3/15/2052(a) | 11,350,606 |
4,860,575 | FOCUS Brands Funding, Series 2023-2, Class A2, 8.241%, 10/30/2053(a) | 5,144,474 |
4,089,750 | Hardee's Funding LLC, Series 2024-1A, Class A2, 7.253%, 3/20/2054(a) | 4,186,019 |
6,746,120 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049(a) | 6,185,126 |
17,262,650 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051(a) | 16,201,781 |
2,199,375 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2II, 4.008%, 12/05/2051(a) | 1,944,045 |
30,720,000 | Planet Fitness Master Issuer LLC, Series 2024-1A, Class A2I, 5.765%, 6/05/2054(a) | 30,725,652 |
34,575,000 | Subway Funding LLC, Series 2024-1A, Class A2I, 6.028%, 7/30/2054(a) | 34,872,622 |
1,210,706 | Wendy's Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048(a) | 1,138,233 |
151,262,090 | ||
Aerospace & Defense — 3.0% | ||
13,620,000 | BAE Systems PLC, 3.400%, 4/15/2030(a) | 12,335,314 |
2,685,000 | BAE Systems PLC, 5.250%, 3/26/2031(a) | 2,677,401 |
39,270,000 | BAE Systems PLC, 5.300%, 3/26/2034(a) | 38,857,665 |
32,338,000 | Boeing Co., 3.625%, 2/01/2031 | 28,303,040 |
Principal Amount | Description | Value (†) |
Aerospace & Defense — continued | ||
$26,030,000 | Boeing Co., 5.150%, 5/01/2030 | $24,996,245 |
23,082,000 | Boeing Co., 5.705%, 5/01/2040 | 21,280,790 |
62,860,000 | Boeing Co., 5.805%, 5/01/2050 | 56,649,432 |
1,525,000 | Boeing Co., 5.930%, 5/01/2060 | 1,363,428 |
6,685,000 | Boeing Co., 6.388%, 5/01/2031(a) | 6,805,710 |
6,430,000 | Boeing Co., 6.528%, 5/01/2034(a) | 6,583,674 |
23,875,000 | Boeing Co., 6.858%, 5/01/2054(a) | 24,499,853 |
10,340,000 | Boeing Co., 7.008%, 5/01/2064(a) | 10,586,815 |
17,165,000 | Embraer Netherlands Finance BV, 7.000%, 7/28/2030(a) | 17,912,090 |
4,113,000 | GE Capital Funding LLC, 4.550%, 5/15/2032 | 3,925,998 |
6,885,000 | Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 6,774,995 |
4,245,000 | Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030 | 3,991,345 |
10,115,000 | L3Harris Technologies, Inc., 5.350%, 6/01/2034 | 10,042,849 |
3,335,000 | RTX Corp., 2.375%, 3/15/2032 | 2,733,470 |
26,330,000 | RTX Corp., 5.150%, 2/27/2033 | 26,056,525 |
21,030,000 | RTX Corp., 6.100%, 3/15/2034 | 22,136,341 |
5,005,000 | Textron, Inc., 2.450%, 3/15/2031 | 4,192,956 |
29,075,000 | Textron, Inc., 3.000%, 6/01/2030 | 25,596,678 |
25,175,000 | Textron, Inc., 6.100%, 11/15/2033 | 26,082,727 |
384,385,341 | ||
Airlines — 0.5% | ||
10,033,395 | American Airlines Pass-Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030 | 9,125,658 |
872,290 | American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 839,056 |
4,284,554 | American Airlines Pass-Through Trust, Series 2017-2, Class A, 3.600%, 4/15/2031 | 3,879,906 |
1,754,005 | American Airlines Pass-Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 1,706,978 |
12,966,814 | American Airlines Pass-Through Trust, Series 2019-1, Class B, 3.850%, 8/15/2029 | 12,054,339 |
3,837,289 | British Airways Pass-Through Trust, Series 2019-1, Class A, 3.350%, 12/15/2030(a) | 3,572,976 |
3,647,344 | United Airlines Pass-Through Trust, Series 20-1, Class A, 5.875%, 4/15/2029 | 3,657,156 |
2,090,409 | United Airlines Pass-Through Trust, Series 2018-1, Class A, 3.700%, 9/01/2031 | 1,896,925 |
20,665,000 | United Airlines Pass-Through Trust, Series 2023-1, Class A, 5.800%, 7/15/2037 | 20,983,241 |
57,716,235 | ||
Apartment REITs — 0.0% | ||
2,185,000 | American Homes 4 Rent LP, 2.375%, 7/15/2031 | 1,775,276 |
Automotive — 1.0% | ||
25,580,000 | American Honda Finance Corp., MTN, 0.550%, 7/12/2024 | 25,540,296 |
4,895,000 | Aptiv PLC/Aptiv Corp., 3.250%, 3/01/2032 | 4,244,091 |
5,274,000 | Cummins, Inc., 6.750%, 2/15/2027 | 5,485,059 |
13,060,000 | Daimler Truck Finance North America LLC, 5.500%, 9/20/2033(a) | 13,096,597 |
2,025,000 | General Motors Financial Co., Inc., 3.100%, 1/12/2032 | 1,701,936 |
360,000 | General Motors Financial Co., Inc., 5.850%, 4/06/2030 | 364,405 |
31,570,000 | General Motors Financial Co., Inc., 6.000%, 1/09/2028 | 32,087,558 |
19,180,000 | General Motors Financial Co., Inc., 6.100%, 1/07/2034 | 19,387,437 |
Principal Amount | Description | Value (†) |
Automotive — continued | ||
$4,480,000 | General Motors Financial Co., Inc., 6.400%, 1/09/2033 | $4,649,578 |
2,895,000 | Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025(a) | 2,839,143 |
8,820,000 | ZF North America Capital, Inc., 6.750%, 4/23/2030(a) | 8,982,650 |
13,340,000 | ZF North America Capital, Inc., 6.875%, 4/23/2032(a) | 13,791,626 |
132,170,376 | ||
Banking — 9.4% | ||
4,425,000 | AIB Group PLC, (fixed rate to 9/13/2028, variable rate thereafter), 6.608%, 9/13/2029(a) | 4,567,582 |
11,790,000 | American Express Co., 5.850%, 11/05/2027 | 12,075,991 |
4,360,000 | American Express Co., (fixed rate to 8/03/2032, variable rate thereafter), 4.420%, 8/03/2033 | 4,113,413 |
10,155,000 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.375%, 4/17/2025(a) | 10,111,029 |
5,800,000 | Banco Santander SA, 2.749%, 12/03/2030 | 4,826,098 |
49,304,000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028 | 46,361,719 |
17,700,000 | Bank of America Corp., (fixed rate to 3/08/2032, variable rate thereafter), 3.846%, 3/08/2037 | 15,511,708 |
58,160,000 | Bank of America Corp., (fixed rate to 9/15/2033, variable rate thereafter), 5.872%, 9/15/2034 | 59,828,909 |
21,297,000 | Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036 | 16,975,154 |
100,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026 | 97,518 |
4,210,000 | Bank of America Corp., MTN, (fixed rate to 7/22/2032, variable rate thereafter), 5.015%, 7/22/2033 | 4,114,943 |
25,627,000 | Bank of America Corp., Series L, 4.183%, 11/25/2027 | 24,740,003 |
24,260,000 | Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027 | 22,474,562 |
13,685,000 | Barclays PLC, (fixed rate to 5/09/2033, variable rate thereafter), 6.224%, 5/09/2034 | 14,022,065 |
4,287,000 | Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030 | 4,098,583 |
10,000,000 | Barclays PLC, (fixed rate to 6/27/2033, variable rate thereafter), 7.119%, 6/27/2034 | 10,609,437 |
50,385,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 43,282,936 |
3,335,000 | BBVA Bancomer SA, 1.875%, 9/18/2025(a) | 3,181,763 |
25,795,000 | BNP Paribas SA, (fixed rate to 1/09/2029, variable rate thereafter), 5.176%, 1/09/2030(a) | 25,524,822 |
14,045,000 | BNP Paribas SA, (fixed rate to 1/20/2027, variable rate thereafter), 2.591%, 1/20/2028(a) | 13,055,767 |
22,500,000 | BNP Paribas SA, (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033(a) | 21,235,707 |
12,845,000 | CaixaBank SA, (fixed rate to 9/13/2033, variable rate thereafter), 6.840%, 9/13/2034(a) | 13,568,687 |
7,155,000 | Credit Agricole SA, (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033(a) | 6,642,273 |
Principal Amount | Description | Value (†) |
Banking — continued | ||
$92,100,000 | Credit Agricole SA, (fixed rate to 1/10/2034, variable rate thereafter), 6.251%, 1/10/2035(a) | $92,653,270 |
3,390,000 | Danske Bank AS, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025(a) | 3,345,098 |
4,690,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 3,954,259 |
16,655,000 | Deutsche Bank AG, (fixed rate to 11/20/2028, variable rate thereafter), 6.819%, 11/20/2029 | 17,320,985 |
2,640,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 2,482,816 |
6,235,000 | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031 | 5,488,444 |
4,980,000 | Goldman Sachs Group, Inc., (fixed rate to 2/24/2032, variable rate thereafter), 3.102%, 2/24/2033 | 4,253,232 |
61,445,000 | Goldman Sachs Group, Inc., (fixed rate to 8/23/2027, variable rate thereafter), 4.482%, 8/23/2028 | 60,051,104 |
11,115,000 | Goldman Sachs Group, Inc., (fixed rate to 9/10/2026, variable rate thereafter), 1.542%, 9/10/2027 | 10,206,349 |
19,485,000 | HSBC Holdings PLC, (fixed rate to 3/09/2028, variable rate thereafter), 6.161%, 3/09/2029 | 19,931,404 |
6,325,000 | ING Groep NV, (fixed rate to 9/11/2033, variable rate thereafter), 6.114%, 9/11/2034 | 6,521,056 |
8,460,000 | Intesa Sanpaolo SpA, 6.625%, 6/20/2033(a) | 8,720,901 |
15,785,000 | Intesa Sanpaolo SpA, 7.200%, 11/28/2033(a) | 16,921,836 |
70,245,000 | JPMorgan Chase & Co., 4.125%, 12/15/2026 | 68,437,088 |
28,715,000 | JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031 | 27,659,084 |
12,025,000 | JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027 | 11,221,831 |
4,230,000 | JPMorgan Chase & Co., (fixed rate to 7/25/2032, variable rate thereafter), 4.912%, 7/25/2033 | 4,108,332 |
25,937,000 | Mitsubishi UFJ Financial Group, Inc., 3.850%, 3/01/2026 | 25,283,170 |
21,470,000 | Morgan Stanley, (fixed rate to 1/19/2033, variable rate thereafter), 5.948%, 1/19/2038 | 21,344,918 |
21,570,000 | Morgan Stanley, (fixed rate to 10/18/2032, variable rate thereafter), 6.342%, 10/18/2033 | 22,896,331 |
36,610,000 | Morgan Stanley, (fixed rate to 2/01/2028, variable rate thereafter), 5.123%, 2/01/2029 | 36,465,266 |
8,205,000 | Morgan Stanley, (fixed rate to 2/07/2034, variable rate thereafter), 5.942%, 2/07/2039 | 8,114,710 |
23,020,000 | Morgan Stanley, (fixed rate to 4/19/2034, variable rate thereafter), 5.831%, 4/19/2035 | 23,597,226 |
24,855,000 | Morgan Stanley, (fixed rate to 4/20/2032, variable rate thereafter), 5.297%, 4/20/2037 | 23,799,051 |
11,262,000 | Morgan Stanley, (fixed rate to 4/28/2025, variable rate thereafter), 2.188%, 4/28/2026 | 10,937,026 |
41,690,000 | Morgan Stanley, (fixed rate to 9/16/2031, variable rate thereafter), 2.484%, 9/16/2036 | 32,981,842 |
6,640,000 | Morgan Stanley, MTN, (fixed rate to 7/21/2033, variable rate thereafter), 5.424%, 7/21/2034 | 6,606,554 |
7,340,000 | NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028 | 7,342,508 |
20,295,000 | Societe Generale SA, 4.250%, 4/14/2025(a) | 19,944,708 |
Principal Amount | Description | Value (†) |
Banking — continued | ||
$21,590,000 | Societe Generale SA, (fixed rate to 1/19/2034, variable rate thereafter), 6.066%, 1/19/2035(a) | $21,373,918 |
11,950,000 | Societe Generale SA, (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035(a) | 10,065,061 |
46,970,000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036(a) | 39,541,104 |
11,923,000 | Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | 11,446,207 |
13,965,000 | Sumitomo Mitsui Financial Group, Inc., 5.464%, 1/13/2026 | 13,963,562 |
3,270,000 | Synchrony Bank, 5.400%, 8/22/2025 | 3,245,148 |
250,000 | UBS Group AG, (fixed rate to 1/12/2028, variable rate thereafter), 3.869%, 1/12/2029(a) | 235,977 |
8,810,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(a) | 10,618,315 |
20,095,000 | UBS Group AG, (fixed rate to 2/08/2034, variable rate thereafter), 5.699%, 2/08/2035(a) | 20,074,507 |
12,730,000 | UBS Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026(a) | 12,791,593 |
11,410,000 | UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028(a) | 11,699,928 |
24,120,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033(a) | 25,321,900 |
18,980,000 | UBS Group AG, (fixed rate to 9/13/2029, variable rate thereafter), 5.617%, 9/13/2030(a) | 19,060,868 |
5,578,000 | UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027(a) | 5,200,292 |
4,125,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(a) | 3,864,196 |
1,192,113,644 | ||
Brokerage — 0.7% | ||
32,990,000 | Blue Owl Finance LLC, 6.250%, 4/18/2034(a) | 33,077,096 |
6,810,000 | Jefferies Financial Group, Inc., 5.875%, 7/21/2028 | 6,878,388 |
15,760,000 | Jefferies Financial Group, Inc., 6.200%, 4/14/2034 | 15,962,033 |
19,498,000 | Jefferies Financial Group, Inc., 6.250%, 1/15/2036 | 19,689,221 |
8,760,000 | Jefferies Financial Group, Inc., 6.450%, 6/08/2027 | 8,968,064 |
84,574,802 | ||
Building Materials — 1.3% | ||
68,715,000 | Cemex SAB de CV, 3.875%, 7/11/2031(a) | 60,583,315 |
13,050,000 | Cemex SAB de CV, 3.875%, 7/11/2031 | 11,505,672 |
16,180,000 | Cemex SAB de CV, 5.200%, 9/17/2030(a) | 15,627,231 |
11,565,000 | Cemex SAB de CV, 5.450%, 11/19/2029(a) | 11,363,184 |
4,345,000 | Cemex SAB de CV, 5.450%, 11/19/2029 | 4,269,177 |
11,320,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%(a)(c) | 10,878,470 |
3,285,000 | Ferguson Finance PLC, 3.250%, 6/02/2030(a) | 2,963,736 |
25,240,000 | Owens Corning, 5.700%, 6/15/2034 | 25,472,300 |
23,975,000 | Owens Corning, 7.000%, 12/01/2036 | 26,662,723 |
169,325,808 | ||
Cable Satellite — 1.5% | ||
8,680,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(a) | 6,588,620 |
18,915,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032 | 15,234,546 |
Principal Amount | Description | Value (†) |
Cable Satellite — continued | ||
$6,970,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | $5,375,363 |
24,760,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 | 14,668,885 |
1,790,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 1,577,962 |
12,605,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 12/01/2061 | 8,221,919 |
28,090,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.800%, 3/01/2050 | 20,606,484 |
46,005,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 6.550%, 6/01/2034 | 46,020,299 |
19,240,000 | CSC Holdings LLC, 3.375%, 2/15/2031(a) | 12,007,488 |
4,204,000 | CSC Holdings LLC, 4.125%, 12/01/2030(a) | 2,717,234 |
2,275,000 | CSC Holdings LLC, 4.500%, 11/15/2031(a) | 1,467,877 |
38,005,000 | CSC Holdings LLC, 4.625%, 12/01/2030(a) | 13,841,501 |
910,000 | CSC Holdings LLC, 5.000%, 11/15/2031(a) | 329,884 |
1,035,000 | CSC Holdings LLC, 5.750%, 1/15/2030(a) | 390,658 |
1,534,000 | CSC Holdings LLC, 6.500%, 2/01/2029(a) | 1,119,639 |
3,270,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 1,294,954 |
9,616,000 | DISH DBS Corp., 5.250%, 12/01/2026(a) | 7,585,026 |
6,160,000 | DISH DBS Corp., 5.750%, 12/01/2028(a) | 4,270,811 |
17,891,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 13,094,430 |
15,815,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 13,170,498 |
189,584,078 | ||
Chemicals — 0.7% | ||
9,180,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030(a) | 7,762,322 |
6,060,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050(a) | 4,477,092 |
3,619,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 3,722,117 |
1,645,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 | 1,690,374 |
8,600,000 | Celanese U.S. Holdings LLC, 6.550%, 11/15/2030 | 8,986,941 |
31,921,000 | Celanese U.S. Holdings LLC, 6.700%, 11/15/2033 | 33,544,170 |
27,205,000 | CF Industries, Inc., 4.500%, 12/01/2026(a) | 26,557,202 |
3,740,000 | FMC Corp., 3.450%, 10/01/2029 | 3,363,081 |
90,103,299 | ||
Collateralized Mortgage Obligations — 0.4% | ||
40,454,278 | Federal Home Loan Mortgage Corp., Series 406, Class F4, 30 day USD SOFR Average + 0.900%, 6.235%, 10/25/2053(b) | 40,219,185 |
7,268,224 | Verus Securitization Trust, Series 2021-5, Class A1, 1.013%, 9/25/2066(a)(b) | 6,043,936 |
46,263,121 | ||
Construction Machinery — 0.5% | ||
2,470,000 | Ashtead Capital, Inc., 5.500%, 8/11/2032(a) | 2,409,728 |
5,305,000 | Ashtead Capital, Inc., 5.550%, 5/30/2033(a) | 5,168,999 |
10,740,000 | Ashtead Capital, Inc., 5.800%, 4/15/2034(a) | 10,658,353 |
5,270,000 | Ashtead Capital, Inc., 5.950%, 10/15/2033(a) | 5,279,949 |
Principal Amount | Description | Value (†) |
Construction Machinery — continued | ||
$8,900,000 | John Deere Capital Corp., MTN, 1.250%, 1/10/2025 | $8,704,392 |
27,620,000 | United Rentals North America, Inc., 6.125%, 3/15/2034(a) | 27,519,262 |
59,740,683 | ||
Consumer Cyclical Services — 0.9% | ||
26,845,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 23,208,597 |
34,931,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 31,486,164 |
34,100,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(a) | 32,490,129 |
8,430,000 | Uber Technologies, Inc., 6.250%, 1/15/2028(a) | 8,439,905 |
5,015,000 | Uber Technologies, Inc., 7.500%, 9/15/2027(a) | 5,113,389 |
7,805,000 | Uber Technologies, Inc., 8.000%, 11/01/2026(a) | 7,872,693 |
108,610,877 | ||
Consumer Products — 0.1% | ||
7,458,000 | Hasbro, Inc., 6.600%, 7/15/2028 | 7,650,823 |
Diversified Manufacturing — 0.8% | ||
3,809,000 | Amphenol Corp., 2.200%, 9/15/2031 | 3,127,061 |
7,110,000 | Amphenol Corp., 5.250%, 4/05/2034 | 7,087,716 |
4,290,000 | Carrier Global Corp., 5.900%, 3/15/2034 | 4,477,339 |
25,811,000 | Ingersoll Rand, Inc., 5.700%, 8/14/2033 | 26,386,776 |
2,965,000 | Nordson Corp., 5.600%, 9/15/2028 | 3,000,480 |
20,385,000 | Nordson Corp., 5.800%, 9/15/2033 | 20,913,101 |
33,300,000 | Veralto Corp., 5.450%, 9/18/2033(a) | 33,236,538 |
98,229,011 | ||
Electric — 1.3% | ||
7,435,000 | AES Corp., 2.450%, 1/15/2031 | 6,121,312 |
8,015,000 | AES Corp., 3.950%, 7/15/2030(a) | 7,328,377 |
13,410,906 | Alta Wind Holdings LLC, 7.000%, 6/30/2035(a) | 13,330,540 |
20,060,000 | Duke Energy Corp., 5.450%, 6/15/2034 | 19,827,477 |
13,025,000 | Enel Finance International NV, 6.000%, 10/07/2039(a) | 12,830,009 |
9,007,000 | Enel Finance International NV, 6.800%, 9/15/2037(a) | 9,597,694 |
2,355,000 | IPALCO Enterprises, Inc., 4.250%, 5/01/2030 | 2,185,895 |
30,821,000 | NRG Energy, Inc., 4.450%, 6/15/2029(a) | 29,102,318 |
19,745,000 | Pacific Gas & Electric Co., 3.250%, 6/01/2031 | 16,976,982 |
7,265,000 | Pacific Gas & Electric Co., 4.300%, 3/15/2045 | 5,584,490 |
4,540,000 | Pacific Gas & Electric Co., 4.550%, 7/01/2030 | 4,302,319 |
2,050,000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 | 2,051,044 |
9,000,000 | Southern California Edison Co., 5.300%, 3/01/2028 | 9,015,910 |
20,425,000 | Southern Co., 5.700%, 3/15/2034 | 20,765,835 |
159,020,202 | ||
Finance Companies — 3.3% | ||
26,609,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 24,181,476 |
50,438,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 43,337,156 |
9,102,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.400%, 10/29/2033 | 7,634,659 |
860,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027 | 816,261 |
6,084,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.750%, 6/06/2028 | 6,147,454 |
13,515,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.150%, 9/30/2030 | 13,972,246 |
4,995,000 | Air Lease Corp., 3.125%, 12/01/2030 | 4,364,459 |
2,235,000 | Air Lease Corp., 3.250%, 10/01/2029 | 2,022,242 |
10,270,000 | Air Lease Corp., 3.375%, 7/01/2025 | 10,035,286 |
Principal Amount | Description | Value (†) |
Finance Companies — continued | ||
$340,000 | Air Lease Corp., 4.625%, 10/01/2028 | $329,692 |
6,791,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 | 6,014,478 |
4,660,000 | Aircastle Ltd., 5.950%, 2/15/2029(a) | 4,658,661 |
18,295,000 | Aircastle Ltd., 6.500%, 7/18/2028(a) | 18,637,919 |
10,260,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 9,088,316 |
14,460,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 11,924,908 |
7,560,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026(a) | 7,113,792 |
3,670,000 | Aviation Capital Group LLC, 5.375%, 7/15/2029(a) | 3,627,239 |
7,510,000 | Aviation Capital Group LLC, 5.500%, 12/15/2024(a) | 7,490,281 |
6,475,000 | Aviation Capital Group LLC, 6.250%, 4/15/2028(a) | 6,604,435 |
14,460,000 | Aviation Capital Group LLC, 6.375%, 7/15/2030(a) | 14,947,481 |
18,470,000 | Aviation Capital Group LLC, 6.750%, 10/25/2028(a) | 19,248,652 |
27,825,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027 | 25,127,588 |
11,779,000 | Blue Owl Capital Corp., 2.625%, 1/15/2027 | 10,762,746 |
32,846,000 | Blue Owl Capital Corp., 2.875%, 6/11/2028 | 29,053,372 |
13,940,000 | Blue Owl Technology Finance Corp., 2.500%, 1/15/2027 | 12,536,214 |
29,600,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(a) | 27,643,049 |
28,350,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(a) | 25,717,008 |
7,445,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 | 6,753,549 |
29,285,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(a) | 25,521,377 |
25,002,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(a) | 21,068,910 |
12,180,000 | SMBC Aviation Capital Finance DAC, 5.450%, 5/03/2028(a) | 12,186,744 |
418,567,650 | ||
Financial Other — 0.0% | ||
2,310,000 | CIFI Holdings Group Co. Ltd., 6.000%, 7/16/2025(d) | 243,335 |
720,000 | CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024(d) | 76,421 |
6,220,000 | Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031(d) | 528,887 |
6,065,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d) | 276,746 |
400,000 | Shimao Group Holdings Ltd., 4.600%, 7/13/2030(d) | 20,200 |
3,495,000 | Shimao Group Holdings Ltd., 4.750%, 7/03/2022(d) | 157,275 |
4,345,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d) | 192,266 |
3,780,000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026(d) | 172,179 |
1,265,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d) | 60,796 |
5,120,000 | Times China Holdings Ltd., 5.750%, 1/14/2027(d) | 117,504 |
Principal Amount | Description | Value (†) |
Financial Other — continued | ||
$1,835,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(d) | $38,920 |
1,415,000 | Times China Holdings Ltd., 6.750%, 7/08/2025(d) | 29,715 |
1,914,244 | ||
Food & Beverage — 0.7% | ||
19,005,000 | Bacardi Ltd./Bacardi-Martini BV, 5.400%, 6/15/2033(a) | 18,529,228 |
4,895,000 | JBS USA Holding Lux SARL/JBS USA Food Co./JBS Lux Co. SARL, 3.000%, 2/02/2029 | 4,367,008 |
10,465,000 | JBS USA Holding Lux SARL/JBS USA Food Co./JBS Lux Co. SARL, 3.000%, 5/15/2032 | 8,615,032 |
3,625,000 | JBS USA Holding Lux SARL/JBS USA Food Co./JBS Lux Co. SARL, 3.750%, 12/01/2031 | 3,173,836 |
10,660,000 | JBS USA Holding Lux SARL/JBS USA Food Co./JBS Lux Co. SARL, 5.500%, 1/15/2030 | 10,497,548 |
6,173,000 | JBS USA Holding Lux SARL/JBS USA Food Co./JBS Lux Co. SARL, 5.750%, 4/01/2033 | 6,158,255 |
33,215,000 | Pilgrim's Pride Corp., 3.500%, 3/01/2032 | 28,247,365 |
2,065,000 | Pilgrim's Pride Corp., 4.250%, 4/15/2031 | 1,879,427 |
3,000,000 | Smithfield Foods, Inc., 2.625%, 9/13/2031(a) | 2,400,106 |
1,920,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030(a) | 1,630,141 |
85,497,946 | ||
Gaming — 0.7% | ||
4,880,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 4,100,869 |
3,365,000 | GLP Capital LP/GLP Financing II, Inc., 6.750%, 12/01/2033 | 3,535,511 |
39,385,000 | VICI Properties LP, 5.125%, 5/15/2032 | 37,523,491 |
5,278,000 | VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029(a) | 4,878,571 |
21,330,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026(a) | 20,570,409 |
7,785,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026(a) | 7,565,205 |
6,760,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025(a) | 6,671,623 |
84,845,679 | ||
Government Owned - No Guarantee — 0.4% | ||
23,729,000 | Antares Holdings LP, 2.750%, 1/15/2027(a) | 21,557,349 |
12,655,000 | Antares Holdings LP, 3.750%, 7/15/2027(a) | 11,581,083 |
21,876,000 | Antares Holdings LP, 7.950%, 8/11/2028(a) | 22,665,699 |
2,185,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 8/05/2029(d) | 146,701 |
4,210,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030(d) | 280,386 |
56,231,218 | ||
Health Care REITs — 0.1% | ||
5,972,000 | Welltower OP LLC, 6.500%, 3/15/2041 | 6,442,269 |
Health Insurance — 0.7% | ||
1,370,000 | Centene Corp., 2.450%, 7/15/2028 | 1,216,327 |
10,105,000 | Centene Corp., 2.500%, 3/01/2031 | 8,292,979 |
14,615,000 | Centene Corp., 3.000%, 10/15/2030 | 12,496,832 |
16,405,000 | Centene Corp., 3.375%, 2/15/2030 | 14,561,301 |
51,155,000 | Centene Corp., 4.625%, 12/15/2029 | 48,383,688 |
4,380,000 | Elevance Health, Inc., 4.100%, 5/15/2032 | 4,063,524 |
89,014,651 | ||
Healthcare — 1.2% | ||
6,325,000 | Alcon Finance Corp., 5.375%, 12/06/2032(a) | 6,337,370 |
Principal Amount | Description | Value (†) |
Healthcare — continued | ||
$19,420,000 | Cigna Group, 4.375%, 10/15/2028 | $18,858,203 |
288,404 | CVS Pass-Through Trust, 5.773%, 1/10/2033(a) | 284,770 |
239,653 | CVS Pass-Through Trust, 6.036%, 12/10/2028 | 236,993 |
9,209,948 | CVS Pass-Through Trust, Series 2013, 4.704%, 1/10/2036(a) | 8,356,830 |
969,004 | CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036(a) | 842,729 |
5,280,000 | HCA, Inc., 2.375%, 7/15/2031 | 4,335,578 |
2,671,000 | HCA, Inc., 3.500%, 9/01/2030 | 2,409,340 |
10,120,000 | HCA, Inc., 4.125%, 6/15/2029 | 9,582,719 |
16,050,000 | HCA, Inc., 4.500%, 2/15/2027 | 15,683,386 |
31,710,000 | HCA, Inc., 5.500%, 6/01/2033 | 31,450,475 |
15,245,000 | HCA, Inc., 5.600%, 4/01/2034 | 15,153,079 |
3,750,000 | Icon Investments Six DAC, Series 2021-3, 6.000%, 5/08/2034 | 3,830,883 |
16,115,000 | Quest Diagnostics, Inc., 6.400%, 11/30/2033 | 17,249,738 |
12,760,000 | Solventum Corp., 5.900%, 4/30/2054(a) | 12,196,769 |
146,808,862 | ||
Home Construction — 0.2% | ||
5,370,000 | MDC Holdings, Inc., 3.966%, 8/06/2061 | 4,574,565 |
12,384,000 | MDC Holdings, Inc., 6.000%, 1/15/2043 | 13,024,681 |
12,374,000 | Meritage Homes Corp., 3.875%, 4/15/2029(a) | 11,385,200 |
28,984,446 | ||
Independent Energy — 3.0% | ||
6,782,000 | Aker BP ASA, 2.000%, 7/15/2026(a) | 6,309,777 |
7,360,000 | Aker BP ASA, 3.100%, 7/15/2031(a) | 6,261,428 |
9,925,000 | Aker BP ASA, 3.750%, 1/15/2030(a) | 9,089,539 |
64,141,000 | Aker BP ASA, 4.000%, 1/15/2031(a) | 58,216,361 |
11,000,000 | Aker BP ASA, 6.000%, 6/13/2033(a) | 11,113,104 |
55,543,000 | Continental Resources, Inc., 2.875%, 4/01/2032(a) | 44,852,466 |
4,049,000 | Continental Resources, Inc., 4.375%, 1/15/2028 | 3,892,705 |
90,040,000 | Continental Resources, Inc., 5.750%, 1/15/2031(a) | 88,534,035 |
12,935,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028 | 11,460,410 |
15,340,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031 | 12,999,116 |
9,675,000 | EQT Corp., 3.625%, 5/15/2031(a) | 8,535,207 |
1,970,000 | EQT Corp., 5.000%, 1/15/2029 | 1,932,730 |
16,975,000 | EQT Corp., 5.700%, 4/01/2028 | 17,140,251 |
14,690,000 | Hess Corp., 4.300%, 4/01/2027 | 14,323,288 |
11,170,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025 | 10,802,172 |
940,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 938,220 |
11,157,000 | Occidental Petroleum Corp., 6.125%, 1/01/2031 | 11,419,524 |
5,933,000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 | 6,222,062 |
5,515,000 | Occidental Petroleum Corp., 7.500%, 5/01/2031 | 6,084,319 |
11,260,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 11,777,153 |
1,110,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 1,209,267 |
6,015,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 5,533,348 |
5,600,000 | Var Energi ASA, 7.500%, 1/15/2028(a) | 5,889,010 |
13,015,000 | Var Energi ASA, 8.000%, 11/15/2032(a) | 14,569,707 |
2,000,000 | Viper Energy, Inc., 5.375%, 11/01/2027(a) | 1,962,356 |
6,975,000 | Viper Energy, Inc., 7.375%, 11/01/2031(a) | 7,223,924 |
378,291,479 |
Principal Amount | Description | Value (†) |
Industrial Other — 0.2% | ||
$22,510,000 | Jacobs Engineering Group, Inc., 6.350%, 8/18/2028 | $23,219,846 |
Leisure — 0.7% | ||
8,000,000 | Carnival Corp., 4.000%, 8/01/2028(a) | 7,512,941 |
11,905,000 | Carnival Corp., 5.750%, 3/01/2027(a) | 11,761,222 |
3,075,000 | Carnival Corp., 7.000%, 8/15/2029(a) | 3,187,508 |
10,505,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(a) | 10,385,485 |
17,900,000 | NCL Corp. Ltd., 5.875%, 2/15/2027(a) | 17,669,627 |
18,615,000 | NCL Corp. Ltd., 8.125%, 1/15/2029(a) | 19,503,912 |
11,000,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(a) | 10,859,681 |
10,265,000 | Royal Caribbean Cruises Ltd., 6.250%, 3/15/2032(a) | 10,351,236 |
91,231,612 | ||
Life Insurance — 1.1% | ||
11,800,000 | Athene Global Funding, 1.608%, 6/29/2026(a) | 10,925,225 |
18,770,000 | Athene Global Funding, 1.716%, 1/07/2025(a) | 18,367,281 |
21,550,000 | Athene Global Funding, 2.550%, 11/19/2030(a) | 17,991,698 |
7,385,000 | Athene Holding Ltd., 3.500%, 1/15/2031 | 6,536,466 |
8,255,000 | CNO Financial Group, Inc., 5.250%, 5/30/2029 | 8,003,057 |
6,183,000 | Fidelity & Guaranty Life Holdings, Inc., 5.500%, 5/01/2025(a) | 6,146,376 |
9,063,000 | Mutual of Omaha Insurance Co., 6.800%, 6/15/2036(a) | 9,517,587 |
26,914,000 | National Life Insurance Co., 10.500%, 9/15/2039(a) | 33,671,029 |
6,440,000 | NLV Financial Corp., 7.500%, 8/15/2033(a) | 6,841,276 |
2,872,000 | Penn Mutual Life Insurance Co., 6.650%, 6/15/2034(a) | 2,978,339 |
14,489,000 | Penn Mutual Life Insurance Co., 7.625%, 6/15/2040(a) | 16,156,580 |
137,134,914 | ||
Local Authorities — 0.1% | ||
14,455,000 | Province of Quebec, 0.600%, 7/23/2025 | 13,773,919 |
Lodging — 0.4% | ||
5,810,000 | Choice Hotels International, Inc., 5.850%, 8/01/2034 | 5,726,384 |
11,480,000 | Marriott International, Inc., 5.300%, 5/15/2034 | 11,271,442 |
5,595,000 | Marriott International, Inc., Series HH, 2.850%, 4/15/2031 | 4,791,813 |
10,685,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(a) | 9,817,973 |
3,215,000 | Travel & Leisure Co., 4.500%, 12/01/2029(a) | 2,962,008 |
14,787,000 | Travel & Leisure Co., 4.625%, 3/01/2030(a) | 13,456,991 |
1,795,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 1,791,204 |
235,000 | Travel & Leisure Co., 6.625%, 7/31/2026(a) | 236,775 |
50,054,590 | ||
Media Entertainment — 0.8% | ||
5,195,000 | Electronic Arts, Inc., 1.850%, 2/15/2031 | 4,244,997 |
27,080,000 | Meta Platforms, Inc., 4.950%, 5/15/2033 | 27,215,616 |
3,105,000 | Netflix, Inc., 4.875%, 4/15/2028 | 3,089,157 |
27,310,000 | Netflix, Inc., 4.875%, 6/15/2030(a) | 26,880,564 |
15,315,000 | Netflix, Inc., 5.375%, 11/15/2029(a) | 15,464,525 |
11,295,000 | Netflix, Inc., 5.875%, 11/15/2028 | 11,637,448 |
16,970,000 | Netflix, Inc., 6.375%, 5/15/2029 | 17,876,568 |
106,408,875 | ||
Metals & Mining — 2.7% | ||
550,000 | Anglo American Capital PLC, 2.625%, 9/10/2030(a) | 469,262 |
Principal Amount | Description | Value (†) |
Metals & Mining — continued | ||
$8,914,000 | Anglo American Capital PLC, 4.500%, 3/15/2028(a) | $8,641,038 |
4,155,000 | Anglo American Capital PLC, 5.500%, 5/02/2033(a) | 4,067,452 |
11,405,000 | ArcelorMittal SA, 6.750%, 3/01/2041 | 11,633,082 |
26,520,000 | ArcelorMittal SA, 6.800%, 11/29/2032 | 27,937,851 |
13,145,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027(a) | 12,842,090 |
16,934,000 | First Quantum Minerals Ltd., 9.375%, 3/01/2029(a) | 17,693,920 |
4,740,000 | Freeport-McMoRan, Inc., 4.250%, 3/01/2030 | 4,475,749 |
2,080,000 | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 | 2,000,984 |
5,155,000 | Glencore Funding LLC, 2.500%, 9/01/2030(a) | 4,360,202 |
7,820,000 | Glencore Funding LLC, 2.625%, 9/23/2031(a) | 6,416,434 |
6,704,000 | Glencore Funding LLC, 2.850%, 4/27/2031(a) | 5,645,366 |
5,443,000 | Glencore Funding LLC, 3.875%, 10/27/2027(a) | 5,185,328 |
39,092,000 | Glencore Funding LLC, 4.000%, 3/27/2027(a) | 37,683,169 |
20,925,000 | Glencore Funding LLC, 5.700%, 5/08/2033(a) | 20,846,338 |
25,345,000 | Glencore Funding LLC, 6.125%, 10/06/2028(a) | 25,944,115 |
30,235,000 | Glencore Funding LLC, 6.375%, 10/06/2030(a) | 31,514,202 |
89,221,000 | Glencore Funding LLC, 6.500%, 10/06/2033(a) | 92,939,742 |
1,855,000 | Reliance, Inc., 2.150%, 8/15/2030 | 1,551,796 |
19,952,000 | Steel Dynamics, Inc., 5.375%, 8/15/2034 | 19,610,556 |
341,458,676 | ||
Midstream — 3.7% | ||
8,432,000 | Cheniere Energy Partners LP, 3.250%, 1/31/2032 | 7,196,922 |
33,645,000 | Cheniere Energy Partners LP, 4.000%, 3/01/2031 | 30,596,803 |
3,122,000 | Cheniere Energy Partners LP, 4.500%, 10/01/2029 | 2,974,149 |
15,530,000 | Cheniere Energy Partners LP, 5.950%, 6/30/2033 | 15,746,550 |
13,555,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 11,611,110 |
3,045,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 3,030,235 |
650,000 | DCP Midstream Operating LP, 6.450%, 11/03/2036(a) | 684,076 |
7,000,000 | Energy Transfer LP, 4.950%, 6/15/2028 | 6,907,515 |
6,405,000 | Energy Transfer LP, 5.250%, 4/15/2029 | 6,379,649 |
5,160,000 | Energy Transfer LP, 5.550%, 5/15/2034 | 5,106,756 |
125,000 | Energy Transfer LP, 5.600%, 9/01/2034 | 124,172 |
47,780,000 | Energy Transfer LP, 5.750%, 2/15/2033 | 48,272,086 |
51,565,000 | Energy Transfer LP, 6.550%, 12/01/2033 | 54,647,401 |
12,955,000 | EnLink Midstream LLC, 6.500%, 9/01/2030(a) | 13,249,078 |
4,080,000 | Enterprise Products Operating LLC, 5.350%, 1/31/2033 | 4,114,250 |
1,435,000 | Gray Oak Pipeline LLC, 3.450%, 10/15/2027(a) | 1,349,989 |
14,040,000 | MPLX LP, 4.250%, 12/01/2027 | 13,585,407 |
4,355,000 | MPLX LP, 5.000%, 3/01/2033 | 4,160,713 |
85,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037(a) | 98,092 |
10,657,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.550%, 12/15/2029 | 9,730,998 |
18,993,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 17,349,198 |
1,385,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043 | 1,092,544 |
12,445,000 | Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030 | 11,938,878 |
810,000 | Targa Resources Corp., 5.200%, 7/01/2027 | 808,439 |
Principal Amount | Description | Value (†) |
Midstream — continued | ||
$43,560,000 | Targa Resources Corp., 6.125%, 3/15/2033 | $44,735,503 |
24,520,000 | Targa Resources Corp., 6.500%, 3/30/2034 | 25,964,998 |
10,710,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 | 9,619,722 |
1,955,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 1,865,565 |
5,205,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | 5,173,038 |
7,095,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(a) | 6,045,696 |
15,365,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(a) | 13,788,024 |
3,175,000 | Venture Global Calcasieu Pass LLC, 6.250%, 1/15/2030(a) | 3,222,295 |
2,170,000 | Western Midstream Operating LP, 4.050%, 2/01/2030 | 2,018,204 |
2,870,000 | Western Midstream Operating LP, 5.250%, 2/01/2050 | 2,515,548 |
5,070,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 4,377,528 |
5,140,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 4,631,845 |
710,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 617,141 |
15,915,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | 16,314,562 |
11,620,000 | Western Midstream Operating LP, 6.350%, 1/15/2029 | 11,984,833 |
4,385,000 | Williams Cos., Inc., 4.650%, 8/15/2032 | 4,165,057 |
47,080,000 | Williams Cos., Inc., 5.150%, 3/15/2034 | 45,932,512 |
473,727,081 | ||
Mortgage Related — 0.0% | ||
397 | Federal National Mortgage Association, 6.000%, 7/01/2029 | 405 |
Natural Gas — 0.0% | ||
5,225,000 | Southern Co. Gas Capital Corp., 5.750%, 9/15/2033 | 5,354,229 |
Non-Agency Commercial Mortgage-Backed Securities — 1.2% | ||
8,625,000 | Bank, Series 2021-BN35, Class AS, 2.457%, 6/15/2064 | 7,015,453 |
410,000 | BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036(a) | 305,269 |
670,816 | BB-UBS Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030(a) | 621,846 |
4,400,000 | BPR Trust, Series 2022-SSP, Class A, 1 mo. USD SOFR + 3.000%, 8.329%, 5/15/2039(a)(b) | 4,431,976 |
8,370,000 | BPR Trust, Series 2022-STAR, Class A, 1 mo. USD SOFR + 3.232%, 8.561%, 8/15/2039(a)(b) | 8,377,374 |
4,470,000 | BX Trust, Series 2024-VLT4, Class A, 1 mo. USD SOFR + 1.491%, 6.811%, 7/15/2029(a)(b) | 4,464,538 |
570,407 | Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a) | 548,764 |
366,569 | Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(b) | 340,907 |
2,010,000 | Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.468%, 12/10/2044(b) | 1,776,835 |
Principal Amount | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$2,470,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037(a) | $2,196,433 |
370,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037(a) | 310,150 |
510,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class C, 4.336%, 9/15/2037(a) | 403,082 |
12,790,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037(a) | 9,721,830 |
5,095,000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034(a)(b) | 4,432,512 |
9,295,000 | DC Commercial Mortgage Trust, Series 2023-DC, Class B, 6.804%, 9/12/2040(a) | 9,431,386 |
6,214,761 | Extended Stay America Trust, Series 2021-ESH, Class B, 1 mo. USD SOFR + 1.494%, 6.824%, 7/15/2038(a)(b) | 6,189,606 |
4,879,395 | Extended Stay America Trust, Series 2021-ESH, Class C, 1 mo. USD SOFR + 1.814%, 7.144%, 7/15/2038(a)(b) | 4,867,239 |
15,919,084 | Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD SOFR + 2.364%, 7.694%, 7/15/2038(a)(b) | 15,909,157 |
8,184,293 | GS Mortgage Securities Corp. Trust, Series 2012-BWTR, Class A, 2.954%, 11/05/2034(a) | 6,378,560 |
4,375,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033(a)(b) | 3,741,198 |
9,406,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033(a)(b) | 4,997,752 |
967,779 | Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034(a) | 954,193 |
3,625,760 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 3.686%, 12/15/2047(a)(b) | 3,339,292 |
340,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 3.686%, 12/15/2047(a)(b) | 294,214 |
3,031,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class A5, 3.598%, 11/15/2048 | 2,917,470 |
9,434,721 | Med Trust, Series 2021-MDLN, Class B, 1 mo. USD SOFR + 1.564%, 6.894%, 11/15/2038(a)(b) | 9,419,985 |
7,957,809 | Med Trust, Series 2021-MDLN, Class C, 1 mo. USD SOFR + 1.914%, 7.244%, 11/15/2038(a)(b) | 7,955,307 |
5,720,546 | Med Trust, Series 2021-MDLN, Class D, 1 mo. USD SOFR + 2.114%, 7.444%, 11/15/2038(a)(b) | 5,716,970 |
1,248,741 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 4.965%, 10/15/2046(b) | 1,146,333 |
3,456,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.385%, 6/15/2044(a)(b) | 2,729,345 |
824,868 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030(a) | 750,630 |
Principal Amount | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$7,345,000 | SCOTT Trust, Series 2023-SFS, Class A, 5.910%, 3/10/2040(a) | $7,380,836 |
3,440,165 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.083%, 7/15/2046(b) | 3,158,041 |
4,030,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class AS, 3.419%, 11/15/2059 | 3,752,855 |
535,000 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 6.050%, 3/15/2044(a)(b) | 204,370 |
921,891 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045 | 873,057 |
4,615,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 4,027,488 |
1,290,000 | WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(b) | 1,205,204 |
152,287,457 | ||
Office REITs — 0.0% | ||
2,085,000 | COPT Defense Properties LP, 2.750%, 4/15/2031 | 1,723,856 |
Other REITs — 0.1% | ||
6,150,000 | Extra Space Storage LP, 2.350%, 3/15/2032 | 4,899,028 |
12,900,000 | Extra Space Storage LP, 5.900%, 1/15/2031 | 13,173,877 |
18,072,905 | ||
Paper — 0.2% | ||
10,460,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 | 9,113,616 |
16,595,000 | Weyerhaeuser Co., 4.000%, 4/15/2030 | 15,488,844 |
2,515,000 | WRKCo, Inc., 4.000%, 3/15/2028 | 2,408,270 |
27,010,730 | ||
Pharmaceuticals — 1.5% | ||
4,130,000 | Amgen, Inc., 5.250%, 3/02/2033 | 4,117,964 |
2,935,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(a) | 2,196,437 |
17,300,000 | Pfizer Investment Enterprises Pte. Ltd., 4.750%, 5/19/2033 | 16,855,727 |
32,845,000 | Roche Holdings, Inc., 4.985%, 3/08/2034(a) | 32,570,531 |
43,200,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 42,398,666 |
23,155,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 21,731,833 |
54,516,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 38,076,945 |
6,835,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 6,586,602 |
3,140,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 3,020,581 |
4,495,000 | Teva Pharmaceutical Finance Netherlands III BV, 6.750%, 3/01/2028 | 4,601,554 |
13,080,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 14,048,783 |
4,885,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 5,431,428 |
191,637,051 | ||
Property & Casualty Insurance — 0.4% | ||
6,095,000 | Arthur J Gallagher & Co., 5.450%, 7/15/2034 | 6,045,114 |
4,720,000 | CNA Financial Corp., 5.125%, 2/15/2034 | 4,569,681 |
Principal Amount | Description | Value (†) |
Property & Casualty Insurance — continued | ||
$26,635,000 | Fidelity National Financial, Inc., 3.400%, 6/15/2030 | $23,622,928 |
16,415,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 13,570,651 |
47,808,374 | ||
Restaurants — 0.2% | ||
14,805,000 | 1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030(a) | 13,032,843 |
1,430,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.750%, 6/01/2027(a) | 1,394,099 |
4,800,000 | Starbucks Corp., 3.000%, 2/14/2032 | 4,160,584 |
7,056,000 | Yum! Brands, Inc., 4.750%, 1/15/2030(a) | 6,720,565 |
25,308,091 | ||
Retail REITs — 0.1% | ||
1,600,000 | Brixmor Operating Partnership LP, 2.250%, 4/01/2028 | 1,427,568 |
2,280,000 | Brixmor Operating Partnership LP, 4.050%, 7/01/2030 | 2,115,892 |
8,420,000 | Brixmor Operating Partnership LP, 5.750%, 2/15/2035 | 8,398,904 |
6,815,000 | Simon Property Group LP, 2.650%, 7/15/2030 | 5,936,326 |
17,878,690 | ||
Retailers — 0.5% | ||
4,890,000 | AutoNation, Inc., 3.850%, 3/01/2032 | 4,343,010 |
1,960,000 | AutoNation, Inc., 4.750%, 6/01/2030 | 1,873,128 |
14,585,000 | AutoZone, Inc., 4.000%, 4/15/2030 | 13,714,517 |
5,620,000 | Dollar General Corp., 3.500%, 4/03/2030 | 5,133,351 |
5,070,000 | Dollar Tree, Inc., 2.650%, 12/01/2031 | 4,211,840 |
9,550,000 | Home Depot, Inc., 4.950%, 6/25/2034 | 9,450,455 |
15,815,000 | Lithia Motors, Inc., 3.875%, 6/01/2029(a) | 14,221,164 |
8,064,000 | Marks & Spencer PLC, 7.125%, 12/01/2037(a) | 8,568,565 |
3,145,000 | Tapestry, Inc., Series ., 3.050%, 3/15/2032 | 2,536,140 |
64,052,170 | ||
Sovereigns — 2.9% | ||
24,900,000 | Chile Government International Bonds, 3.500%, 1/31/2034 | 21,572,233 |
18,380,000 | Chile Government International Bonds, 3.500%, 1/25/2050 | 13,194,005 |
15,960,000 | Colombia Government International Bonds, 7.500%, 2/02/2034 | 15,965,406 |
38,390,000 | Colombia Government International Bonds, 8.000%, 11/14/2035 | 39,467,324 |
21,760,000 | Dominican Republic International Bonds, 4.875%, 9/23/2032 | 19,467,157 |
12,850,000 | Paraguay Government International Bonds, 6.000%, 2/09/2036(a) | 12,844,475 |
17,125,000 | Philippines Government International Bonds, 2.650%, 12/10/2045 | 11,229,205 |
21,935,000 | Philippines Government International Bonds, 2.950%, 5/05/2045 | 15,189,988 |
19,675,000 | Qatar Government International Bonds, 5.103%, 4/23/2048 | 19,158,531 |
12,155,000 | Republic of Poland Government International Bonds, 5.500%, 4/04/2053 | 11,914,392 |
58,315,000 | Republic of Poland Government International Bonds, 5.500%, 3/18/2054 | 56,450,086 |
10,115,000 | Republic of South Africa Government International Bonds, 4.850%, 9/30/2029 | 9,258,057 |
27,595,000 | Republic of South Africa Government International Bonds, 5.875%, 4/20/2032 | 25,571,735 |
Principal Amount | Description | Value (†) |
Sovereigns — continued | ||
$1,785,000 | Republic of Uzbekistan International Bonds, 3.700%, 11/25/2030 | $1,465,962 |
5,815,000 | Republic of Uzbekistan International Bonds, 3.900%, 10/19/2031 | 4,722,141 |
510,000 | Republic of Uzbekistan International Bonds, 5.375%, 2/20/2029 | 475,514 |
40,345,000 | Republic of Uzbekistan International Bonds, 6.900%, 2/28/2032(a) | 39,110,846 |
17,108,000 | Romania Government International Bonds, 6.375%, 1/30/2034(a) | 17,157,784 |
8,398,000 | Romania Government International Bonds, 7.125%, 1/17/2033 | 8,843,245 |
20,995,000 | Serbia International Bonds, 6.000%, 6/12/2034(a) | 20,644,593 |
363,702,679 | ||
Supermarkets — 0.0% | ||
325,000 | Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040 | 325,252 |
Technology — 8.0% | ||
5,095,000 | Arrow Electronics, Inc., 2.950%, 2/15/2032 | 4,262,712 |
15,000,000 | Arrow Electronics, Inc., 5.875%, 4/10/2034 | 14,848,179 |
21,490,000 | Atlassian Corp., 5.250%, 5/15/2029 | 21,490,941 |
36,891,000 | Atlassian Corp., 5.500%, 5/15/2034 | 36,553,313 |
4,625,000 | Broadcom, Inc., 2.450%, 2/15/2031(a) | 3,894,762 |
4,210,000 | Broadcom, Inc., 2.600%, 2/15/2033(a) | 3,411,808 |
11,996,000 | Broadcom, Inc., 3.137%, 11/15/2035(a) | 9,606,248 |
49,825,000 | Broadcom, Inc., 3.187%, 11/15/2036(a) | 39,429,776 |
7,555,000 | Broadcom, Inc., 3.419%, 4/15/2033(a) | 6,513,533 |
6,925,000 | Broadcom, Inc., 3.469%, 4/15/2034(a) | 5,903,520 |
8,265,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 7,805,853 |
3,685,000 | Broadcom, Inc., 4.150%, 4/15/2032(a) | 3,399,896 |
40,885,000 | Broadcom, Inc., 4.300%, 11/15/2032 | 38,213,969 |
2,755,000 | CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026 | 2,573,586 |
8,890,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 8,030,969 |
20,942,000 | CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028 | 19,071,670 |
37,630,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 32,866,475 |
10,970,000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | 10,471,648 |
1,325,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(a) | 547,079 |
3,565,000 | CommScope, Inc., 4.750%, 9/01/2029(a) | 2,471,258 |
3,900,000 | CommScope, Inc., 6.000%, 3/01/2026(a) | 3,422,445 |
5,825,000 | CommScope, Inc., 7.125%, 7/01/2028(a) | 2,392,380 |
4,210,000 | Dell International LLC/EMC Corp., 5.750%, 2/01/2033 | 4,328,347 |
41,995,000 | Entegris, Inc., 4.750%, 4/15/2029(a) | 40,179,027 |
52,560,000 | Equinix, Inc., 2.150%, 7/15/2030 | 44,067,661 |
17,195,000 | Equinix, Inc., 3.200%, 11/18/2029 | 15,492,962 |
34,695,000 | Fiserv, Inc., 5.625%, 8/21/2033 | 34,987,406 |
5,730,000 | Flex Ltd., 6.000%, 1/15/2028 | 5,805,829 |
8,249,000 | Gartner, Inc., 3.625%, 6/15/2029(a) | 7,554,191 |
9,873,000 | Global Payments, Inc., 2.900%, 5/15/2030 | 8,595,001 |
35,914,000 | Global Payments, Inc., 2.900%, 11/15/2031 | 30,071,571 |
3,705,000 | Global Payments, Inc., 5.300%, 8/15/2029 | 3,679,291 |
34,120,000 | Global Payments, Inc., 5.400%, 8/15/2032 | 33,431,004 |
5,320,000 | Jabil, Inc., 1.700%, 4/15/2026 | 4,969,596 |
5,680,000 | Jabil, Inc., 3.000%, 1/15/2031 | 4,831,053 |
Principal Amount | Description | Value (†) |
Technology — continued | ||
$16,735,000 | KLA Corp., 5.650%, 11/01/2034 | $17,448,819 |
14,147,000 | Leidos, Inc., 2.300%, 2/15/2031 | 11,655,909 |
2,555,000 | Leidos, Inc., 4.375%, 5/15/2030 | 2,415,411 |
28,278,000 | Leidos, Inc., 5.750%, 3/15/2033 | 28,524,754 |
7,480,000 | Marvell Technology, Inc., 2.450%, 4/15/2028 | 6,750,628 |
6,390,000 | Marvell Technology, Inc., 2.950%, 4/15/2031 | 5,511,734 |
2,330,000 | Marvell Technology, Inc., 5.950%, 9/15/2033 | 2,406,537 |
11,425,000 | Microchip Technology, Inc., 0.983%, 9/01/2024 | 11,328,179 |
21,420,000 | Microchip Technology, Inc., 5.050%, 3/15/2029 | 21,248,400 |
14,735,000 | Micron Technology, Inc., 2.703%, 4/15/2032 | 12,200,585 |
25,479,000 | Micron Technology, Inc., 4.663%, 2/15/2030 | 24,694,027 |
31,410,000 | Micron Technology, Inc., 5.300%, 1/15/2031 | 31,339,223 |
10,622,000 | Micron Technology, Inc., 5.327%, 2/06/2029 | 10,672,044 |
44,875,000 | Micron Technology, Inc., 5.875%, 2/09/2033 | 45,842,303 |
37,860,000 | Micron Technology, Inc., 5.875%, 9/15/2033 | 38,742,688 |
28,065,000 | Motorola Solutions, Inc., 5.400%, 4/15/2034 | 27,822,652 |
4,135,000 | Motorola Solutions, Inc., 5.600%, 6/01/2032 | 4,181,171 |
16,645,000 | Open Text Corp., 6.900%, 12/01/2027(a) | 17,275,080 |
4,780,000 | Oracle Corp., 2.950%, 4/01/2030 | 4,251,078 |
45,370,000 | Oracle Corp., 3.600%, 4/01/2050 | 31,753,296 |
6,765,000 | Oracle Corp., 6.150%, 11/09/2029 | 7,075,570 |
10,585,000 | Oracle Corp., 6.250%, 11/09/2032 | 11,203,278 |
4,402,000 | S&P Global, Inc., 4.250%, 5/01/2029 | 4,272,694 |
8,685,000 | S&P Global, Inc., 5.250%, 9/15/2033(a) | 8,766,489 |
2,460,000 | Sensata Technologies BV, 5.875%, 9/01/2030(a) | 2,409,060 |
7,435,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(a) | 6,480,336 |
7,248,000 | Sensata Technologies, Inc., 4.375%, 2/15/2030(a) | 6,656,574 |
3,555,000 | SK Hynix, Inc., 6.375%, 1/17/2028(a) | 3,657,679 |
1,770,000 | Skyworks Solutions, Inc., 1.800%, 6/01/2026 | 1,645,998 |
13,665,000 | TD SYNNEX Corp., 1.750%, 8/09/2026 | 12,606,318 |
14,567,000 | TD SYNNEX Corp., 6.100%, 4/12/2034 | 14,607,521 |
20,470,000 | Trimble, Inc., 6.100%, 3/15/2033 | 21,196,845 |
9,945,000 | Verisk Analytics, Inc., 5.750%, 4/01/2033 | 10,208,254 |
21,925,000 | VMware LLC, 2.200%, 8/15/2031 | 17,815,047 |
5,450,000 | Western Digital Corp., 2.850%, 2/01/2029 | 4,729,619 |
8,330,000 | Western Digital Corp., 4.750%, 2/15/2026 | 8,155,411 |
1,012,726,170 | ||
Transportation Services — 0.3% | ||
17,545,000 | ERAC USA Finance LLC, 4.900%, 5/01/2033(a) | 17,075,655 |
16,610,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., 6.050%, 8/01/2028(a) | 17,011,729 |
34,087,384 | ||
Treasuries — 16.0% | ||
170,890,000 | U.S. Treasury Bonds, 2.250%, 2/15/2052(e) | 108,862,270 |
163,885,000 | U.S. Treasury Notes, 4.500%, 3/31/2026 | 163,027,164 |
199,245,000 | U.S. Treasury Notes, 4.625%, 6/30/2025 | 198,279,907 |
1,305,145,000 | U.S. Treasury Notes, 4.625%, 2/28/2026 | 1,300,454,635 |
122,555,000 | U.S. Treasury Notes, 4.875%, 11/30/2025 | 122,416,169 |
125,445,000 | U.S. Treasury Notes, 4.875%, 5/31/2026 | 125,699,810 |
2,018,739,955 | ||
Wireless — 2.3% | ||
9,655,000 | American Tower Corp., 5.450%, 2/15/2034 | 9,570,655 |
36,125,000 | American Tower Corp., 5.500%, 3/15/2028 | 36,338,209 |
23,805,000 | American Tower Corp., 5.900%, 11/15/2033 | 24,375,701 |
610,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 646,662 |
33,985,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 40,877,574 |
1,960,000 | T-Mobile USA, Inc., 2.400%, 3/15/2029 | 1,733,242 |
Principal Amount | Description | Value (†) |
Wireless — continued | ||
$8,560,000 | T-Mobile USA, Inc., 2.700%, 3/15/2032 | $7,161,513 |
15,320,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 14,147,613 |
7,565,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 6,796,518 |
52,295,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 48,886,760 |
53,355,000 | T-Mobile USA, Inc., 5.150%, 4/15/2034 | 52,440,700 |
44,475,000 | T-Mobile USA, Inc., 5.750%, 1/15/2034 | 45,722,088 |
288,697,235 | ||
Wirelines — 0.0% | ||
857,000 | Level 3 Financing, Inc., 4.625%, 9/15/2027(a) | 443,047 |
5,200,000 | Verizon Communications, Inc., 2.355%, 3/15/2032 | 4,250,877 |
4,693,924 | ||
Total Non-Convertible Bonds (Identified Cost $11,781,256,169) | 11,579,523,869 | |
Convertible Bonds — 1.0% | ||
Airlines — 0.1% | ||
12,240,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 12,252,240 |
Cable Satellite — 0.2% | ||
35,520,000 | DISH Network Corp., 3.375%, 8/15/2026 | 22,028,087 |
4,115,000 | DISH Network Corp., Zero Coupon, 6.944%–9.514%, 12/15/2025(f) | 3,024,948 |
25,053,035 | ||
Electric — 0.2% | ||
20,265,000 | PPL Capital Funding, Inc., 2.875%, 3/15/2028 | 19,383,473 |
Healthcare — 0.1% | ||
17,870,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 14,808,816 |
Leisure — 0.1% | ||
3,835,000 | Carnival Corp., 5.750%, 12/01/2027 | 6,254,885 |
Pharmaceuticals — 0.2% | ||
31,865,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 30,422,088 |
Retailers — 0.1% | ||
6,820,000 | Etsy, Inc., 0.125%, 9/01/2027 | 5,696,230 |
16,065,000 | Etsy, Inc., 0.250%, 6/15/2028 | 12,634,216 |
18,330,446 | ||
Total Convertible Bonds (Identified Cost $140,599,278) | 126,504,983 | |
Municipals — 0.1% | ||
Virginia — 0.1% | ||
6,830,000 | Tobacco Settlement Financing Corp., 6.706%, 6/01/2046 (Identified Cost $6,582,662) | 5,776,552 |
Total Bonds and Notes (Identified Cost $11,928,438,109) | 11,711,805,404 | |
Collateralized Loan Obligations — 2.6% | ||
2,588,464 | 522 Funding CLO Ltd., Series 2018-3A, Class AR, 3 mo. USD SOFR + 1.302%, 6.626%, 10/20/2031(a)(b) | 2,589,155 |
1,585,000 | 522 Funding CLO Ltd., Series 2021-7A, Class D, 3 mo. USD SOFR + 3.162%, 8.488%, 4/23/2034(a)(b) | 1,585,824 |
5,565,000 | AGL CLO 5 Ltd., Series 2020-5A, Class BR, 3 mo. USD SOFR + 1.962%, 7.286%, 7/20/2034(a)(b) | 5,573,420 |
Principal Amount | Description | Value (†) |
$2,488,917 | AIMCO CLO 12 Ltd., Series 2020-12A, Class AR, 3 mo. USD SOFR + 1.170%, 6.487%, 1/17/2032(a)(b) | $2,494,533 |
14,785,000 | Alinea CLO Ltd., Series 2018-1A, Class B, 3 mo. USD SOFR + 1.912%, 7.236%, 7/20/2031(a)(b) | 14,797,612 |
4,650,000 | Allegro CLO VIII Ltd., Series 2018-2A, Class B1, 3 mo. USD SOFR + 1.932%, 7.260%, 7/15/2031(a)(b) | 4,666,177 |
7,655,000 | Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class AR2, 3 mo. USD SOFR + 1.402%, 6.730%, 7/15/2032(a)(b) | 7,662,923 |
3,520,000 | ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3 mo. USD SOFR + 3.262%, 8.590%, 10/15/2034(a)(b) | 3,530,979 |
1,665,000 | Atrium XV, Series 15A, Class D1R, 3 mo. USD SOFR + 3.300%, 7.788%, 7/16/2037(a)(b) | 1,665,000 |
1,651,667 | Atrium XV, Series 15A, Class D, 3 mo. USD SOFR + 3.262%, 8.588%, 1/23/2031(a)(b) | 1,653,176 |
1,150,000 | Ballyrock CLO Ltd., Series 2019-2A, Class A2RR, 3 mo. USD SOFR + 2.000%, 7.319%, 2/20/2036(a)(b) | 1,151,701 |
5,320,000 | Battalion CLO VIII Ltd., Series 2015-8A, Class A2R2, 3 mo. USD SOFR + 1.812%, 7.139%, 7/18/2030(a)(b) | 5,326,905 |
2,525,000 | Canyon CLO Ltd., Series 2018-1A, Class B, 3 mo. USD SOFR + 1.962%, 7.290%, 7/15/2031(a)(b) | 2,526,462 |
3,920,000 | Canyon CLO Ltd., Series 2021-4A, Class B, 3 mo. USD SOFR + 1.962%, 7.290%, 10/15/2034(a)(b) | 3,934,747 |
7,170,000 | Carlyle U.S. CLO Ltd., Series 2021-9A, Class B, 3 mo. USD SOFR + 1.912%, 7.236%, 10/20/2034(a)(b) | 7,173,628 |
6,500,000 | CIFC Funding Ltd., Series 2014-5A, Class BR3, 3 mo. USD SOFR + 1.750%, 7.379%, 7/17/2037(a)(b) | 6,500,000 |
6,500,000 | CIFC Funding Ltd., Series 2014-5A, Class BR2, 3 mo. USD SOFR + 2.062%, 7.379%, 10/17/2031(a)(b) | 6,515,444 |
4,415,000 | CIFC Funding Ltd., Series 2021-6A, Class B, 3 mo. USD SOFR + 1.912%, 7.240%, 10/15/2034(a)(b) | 4,425,852 |
8,720,000 | Clover CLO LLC, Series 2018-1A, Class A1RR, 3 mo. USD SOFR + 1.530%, 6.854%, 4/20/2037(a)(b) | 8,740,867 |
3,620,000 | Clover CLO LLC, Series 2021-2A, Class A, 3 mo. USD SOFR + 1.432%, 6.756%, 7/20/2034(a)(b) | 3,621,296 |
3,335,000 | Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3 mo. USD SOFR + 1.662%, 6.990%, 1/15/2031(a)(b) | 3,338,668 |
5,405,000 | GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class B1, 3 mo. USD SOFR + 1.812%, 7.136%, 4/20/2030(a)(b) | 5,406,897 |
3,990,000 | Golub Capital Partners CLO 41B-R Ltd., Series 2019-41A, Class AR, 3 mo. USD SOFR + 1.582%, 6.906%, 1/20/2034(a)(b) | 3,996,623 |
13,735,000 | Hayfin U.S. XII Ltd., Series 2018-8A, Class B, 3 mo. USD SOFR + 1.742%, 7.066%, 4/20/2031(a)(b) | 13,729,715 |
Principal Amount | Description | Value (†) |
$3,545,000 | Invesco CLO Ltd., Series 2021-1A, Class D, 3 mo. USD SOFR + 3.312%, 8.640%, 4/15/2034(a)(b) | $3,520,075 |
13,180,000 | Madison Park Funding XIV Ltd., Series 2014-14A, Class BR3, 3 mo. USD SOFR + 1.800%, 7.125%, 10/22/2030(a)(b) | 13,186,419 |
2,420,000 | Madison Park Funding XXXVII Ltd., Series 2019-37A, Class AR2, 3 mo. USD SOFR + 1.530%, 6.852%, 4/15/2037(a)(b) | 2,436,328 |
4,445,484 | Magnetite XV Ltd., Series 2015-15A, Class AR, 3 mo. USD SOFR + 1.272%, 6.595%, 7/25/2031(a)(b) | 4,445,760 |
13,895,000 | Morgan Stanley Eaton Vance CLO Ltd., Series 2022-16A, Class B, 3 mo. USD SOFR + 1.950%, 7.279%, 4/15/2035(a)(b) | 13,957,762 |
545,455 | Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class A2R2, 3 mo. USD SOFR + 1.962%, 7.286%, 10/21/2030(a)(b) | 545,472 |
2,105,000 | Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR, 3 mo. USD SOFR + 3.162%, 8.490%, 4/15/2034(a)(b) | 2,098,199 |
4,395,000 | Neuberger Berman Loan Advisers CLO 45 Ltd., Series 2021-45A, Class A, 3 mo. USD SOFR + 1.392%, 6.720%, 10/14/2035(a)(b) | 4,398,503 |
6,205,000 | OCP CLO Ltd., Series 2016-12A, Class BR2, 3 mo. USD SOFR + 1.810%, 7.137%, 4/18/2033(a)(b) | 6,223,614 |
14,755,000 | OCP CLO Ltd., Series 2020-8RA, Class A2, 3 mo. USD SOFR + 1.812%, 7.129%, 1/17/2032(a)(b) | 14,761,005 |
7,170,000 | Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A2, 3 mo. USD SOFR + 1.732%, 7.059%, 4/16/2031(a)(b) | 7,179,519 |
2,000,000 | Octagon Investment Partners 26 Ltd., Series 2016-1A, Class BR, 3 mo. USD SOFR + 1.862%, 7.190%, 7/15/2030(a)(b) | 2,002,772 |
4,155,000 | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3 mo. USD SOFR + 3.562%, 8.890%, 7/15/2036(a)(b) | 4,068,547 |
6,559,097 | Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR, 3 mo. USD SOFR + 1.232%, 6.558%, 7/19/2030(a)(b) | 6,563,393 |
10,050,000 | OHA Credit Partners XVI, Series 2021-16A, Class A, 3 mo. USD SOFR + 1.412%, 6.739%, 10/18/2034(a)(b) | 10,058,181 |
40,470,000 | Palmer Square BDC CLO 1 Ltd., Series 1A, Class A, 3 mo. USD SOFR + 1.600%, 6.925%, 7/15/2037(a)(b) | 40,462,392 |
1,440,000 | Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3 mo. USD SOFR + 1.962%, 7.287%, 5/21/2034(a)(b) | 1,443,505 |
8,844,000 | Palmer Square CLO Ltd., Series 2021-2A, Class A, 3 mo. USD SOFR + 1.412%, 6.740%, 7/15/2034(a)(b) | 8,859,477 |
1,842,384 | Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, 3 mo. USD SOFR + 1.062%, 6.386%, 7/20/2029(a)(b) | 1,842,385 |
12,875,000 | Post CLO Ltd., Series 2022-1A, Class B, 3 mo. USD SOFR + 1.900%, 7.225%, 4/20/2035(a)(b) | 12,888,815 |
19,620,000 | Post CLO Ltd., Series 2023-1A, Class A, 3 mo. USD SOFR + 1.950%, 7.275%, 4/20/2036(a)(b) | 19,779,256 |
Principal Amount | Description | Value (†) |
$4,310,000 | Rad CLO 15 Ltd., Series 2021-15A, Class B, 3 mo. USD SOFR + 1.912%, 7.236%, 1/20/2034(a)(b) | $4,312,724 |
1,730,000 | Recette CLO Ltd., Series 2015-1A, Class BRR, 3 mo. USD SOFR + 1.662%, 6.986%, 4/20/2034(a)(b) | 1,729,963 |
6,110,000 | Regatta XV Funding Ltd., Series 2018-4A, Class A2R, 3 mo. USD SOFR + 1.550%, 6.873%, 10/25/2031(a)(b) | 6,112,248 |
6,680,000 | Rockford Tower CLO Ltd., Series 2017-1A, Class DR2A, 3 mo. USD SOFR + 3.512%, 8.836%, 4/20/2034(a)(b) | 6,711,089 |
2,067,017 | Venture XXIX CLO Ltd., Series 2017-29A, Class AR, 3 mo. USD SOFR + 1.252%, 6.574%, 9/07/2030(a)(b) | 2,067,310 |
1,830,000 | Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3 mo. USD SOFR + 4.012%, 9.336%, 10/20/2034(a)(b) | 1,834,024 |
3,335,000 | Voya CLO Ltd., Series 2013-3A, Class A2RR, 3 mo. USD SOFR + 1.961%, 7.288%, 10/18/2031(a)(b) | 3,340,212 |
Total Collateralized Loan Obligations (Identified Cost $325,340,878) | 329,436,553 | |
Senior Loans — 2.5% | ||
Building Materials — 0.1% | ||
9,760,538 | Summit Materials LLC, 2023 Incremental Term Loan B, 3 mo. USD SOFR + 2.500%, 7.799%, 1/12/2029(b)(g) | 9,821,541 |
Diversified Manufacturing — 0.3% | ||
18,395,000 | Resideo Funding, Inc., 2024 M&A Term Loan B, 5/21/2031(h) | 18,337,607 |
9,765,000 | Resideo Funding, Inc., 2024 M&A Term Loan B, 1 mo. USD SOFR + 2.000%, 7.339%, 5/21/2031(b)(g) | 9,734,533 |
3,091,998 | Resideo Funding, Inc., 2024 Term Loan B, 2/11/2028(h) | 3,091,998 |
10,507,897 | Resideo Funding, Inc., 2024 Term Loan B, USD SOFR + 2.000%, 7.338%, 2/11/2028(b)(g) | 10,507,897 |
41,672,035 | ||
Financial Other — 0.4% | ||
51,170,126 | Trans Union LLC, 2024 Term Loan B8, 6/24/2031(h) | 51,029,408 |
Leisure — 0.1% | ||
2,714,496 | Carnival Corp., 2024 Term Loan B1, 1 mo. USD SOFR + 2.750%, 8.094%, 10/18/2028(b)(g) | 2,717,890 |
2,861,738 | Carnival Corp., 2024 Term Loan B2, 1 mo. USD SOFR + 2.750%, 8.094%, 8/08/2027(b)(g) | 2,870,695 |
6,355,000 | Cedar Fair LP, 2024 Term Loan B, 1 mo. USD SOFR + 2.000%, 7.329%, 5/01/2031(b)(g) | 6,335,172 |
11,923,757 | ||
Lodging — 1.1% | ||
8,947,769 | Hilton Domestic Operating Co., Inc., 2023 Term Loan B4, 11/08/2030(h) | 8,953,943 |
10,606,038 | Hilton Domestic Operating Co., Inc., 2024 Term Loan B4, 11/08/2030(h) | 10,613,356 |
1,231,833 | Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 8/02/2028(h) | 1,230,737 |
48,802,732 | Hilton Grand Vacations Borrower LLC, 2024 1st Lien Term Loan B, 1/17/2031(h) | 48,766,130 |
Principal Amount | Description | Value (†) |
Lodging — continued | ||
$12,309,150 | Hilton Grand Vacations Borrower LLC, 2024 Incremental Term Loan B, 1 mo. USD SOFR + 2.750%, 8.094%, 1/17/2031(b)(g) | $12,299,918 |
55,935,000 | Wyndham Hotels & Resorts, Inc., 2024 Term Loan, 5/24/2030(h) | 55,942,831 |
137,806,915 | ||
Paper — 0.2% | ||
30,145,000 | Asplundh Tree Expert LLC, 2024 Incremental Term Loan B, 5/23/2031(h) | 30,107,319 |
Technology — 0.2% | ||
19,355,000 | GTCR W Merger Sub LLC, USD Term Loan B, 3 mo. USD SOFR + 3.000%, 8.335%, 1/31/2031(b)(g) | 19,352,290 |
Wireless — 0.1% | ||
10,897,687 | SBA Senior Finance II LLC, 2024 Term Loan B, 1 mo. USD SOFR + 2.000%, 7.350%, 1/25/2031(b)(g) | 10,904,553 |
Total Senior Loans (Identified Cost $313,002,666) | 312,617,818 |
Shares | ||
Preferred Stocks — 0.0% | ||
Convertible Preferred Stocks — 0.0% | ||
Banking — 0.0% | ||
4,003 | Bank of America Corp., Series L, 7.250% | 4,788,228 |
43 | Wells Fargo & Co., Series L, Class A, 7.500% | 51,126 |
4,839,354 | ||
Total Preferred Stocks (Identified Cost $5,793,487) | 4,839,354 |
Principal Amount | ||
Short-Term Investments — 3.4% | ||
$438,110,604 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2024 at 3.500% to be repurchased at 438,238,386 on 7/01/2024 collateralized by $478,160,600 U.S. Treasury Note, 0.875% due 6/30/2026 valued at $445,506,927; $1,379,800 U.S. Treasury Note, 4.125% due 6/15/2026 valued at $1,365,976 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $438,110,604) | 438,110,604 |
Total Investments — 101.2% (Identified Cost $13,010,685,744) | 12,796,809,733 | |
Other assets less liabilities — (1.2)% | (155,760,784 ) | |
Net Assets — 100.0% | $12,641,048,949 |
(†) | 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 June 30, 2024, the value of Rule 144A holdings amounted to $4,857,677,992 or 38.4% of net assets. |
(b) | Variable rate security. Rate as of June 30, 2024 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) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(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) | 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 0.75%, to which the spread is added. |
(h) | Position is unsettled. Contract rate was not determined at June 30, 2024 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
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 | 9/19/2024 | 10,694 | $1,165,885,374 | $1,176,172,906 | $10,287,532 |
CBOT U.S. Long Bond Futures | 9/19/2024 | 22,442 | 2,620,570,428 | 2,655,169,125 | 34,598,697 |
CBOT Ultra Long Term U.S. Treasury Bond Futures | 9/19/2024 | 4,612 | 570,316,812 | 578,085,375 | 7,768,563 |
Total | $52,654,792 |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 5 Year U.S. Treasury Notes Futures | 9/30/2024 | 5,724 | $605,606,383 | $610,053,187 | $(4,446,804 ) |
Ultra 10-Year U.S. Treasury Notes Futures | 9/19/2024 | 24,193 | 2,717,551,739 | 2,746,661,531 | (29,109,792 ) |
Total | $(33,556,596 ) |
Treasuries | 16.0 % |
Banking | 9.4 |
Technology | 8.2 |
ABS Other | 4.6 |
ABS Car Loan | 4.4 |
ABS Home Equity | 4.1 |
Midstream | 3.7 |
Finance Companies | 3.3 |
Aerospace & Defense | 3.0 |
Independent Energy | 3.0 |
Sovereigns | 2.9 |
Metals & Mining | 2.7 |
Wireless | 2.4 |
Other Investments, less than 2% each | 27.5 |
Collateralized Loan Obligations | 2.6 |
Short-Term Investments | 3.4 |
Total Investments | 101.2 |
Other assets less liabilities (including futures contracts) | (1.2 ) |
Net Assets | 100.0 % |
Principal Amount (‡) | Description | Value (†) |
Bonds and Notes — 81.3% of Net Assets | ||
Non-Convertible Bonds — 77.8% | ||
ABS Car Loan — 4.2% | ||
$405,000 | American Credit Acceptance Receivables Trust, Series 2023-3, Class D, 6.820%, 10/12/2029(a) | $409,938 |
730,000 | American Credit Acceptance Receivables Trust, Series 2023-4, Class D, 7.650%, 9/12/2030(a) | 756,181 |
1,800,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027(a) | 1,744,632 |
940,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2024-3A, Class B, 5.580%, 12/20/2030(a) | 931,761 |
105,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2024-3A, Class C, 6.110%, 12/20/2030(a) | 104,276 |
875,000 | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class D, 6.300%, 2/15/2030 | 886,219 |
260,000 | Carvana Auto Receivables Trust, Series 2023-N1, Class D, 6.690%, 7/10/2029(a) | 261,613 |
120,000 | Carvana Auto Receivables Trust, Series 2023-N4, Class D, 7.220%, 2/11/2030(a) | 122,906 |
100,000 | Carvana Auto Receivables Trust, Series 2024-N1, Class C, 5.800%, 5/10/2030(a) | 100,431 |
209,000 | Carvana Auto Receivables Trust, Series 2024-P1, Class D, 6.250%, 3/10/2031(a) | 207,405 |
100,000 | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class C, 6.710%, 7/17/2034(a) | 101,358 |
290,000 | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class C, 6.700%, 10/16/2034(a) | 291,328 |
255,000 | Drive Auto Receivables Trust, Series 2024-1, Class C, 5.430%, 11/17/2031 | 253,317 |
1,069,786 | DT Auto Owner Trust, Series 2020-3A, Class D, 1.840%, 6/15/2026(a) | 1,051,707 |
2,290,000 | DT Auto Owner Trust, Series 2022-2A, Class D, 5.460%, 3/15/2028(a) | 2,264,727 |
665,000 | DT Auto Owner Trust, Series 2023-3A, Class D, 7.120%, 5/15/2029(a) | 677,551 |
960,000 | Exeter Automobile Receivables Trust, Series 2023-5A, Class D, 7.130%, 2/15/2030 | 988,321 |
105,000 | Flagship Credit Auto Trust, Series 2023-3, Class D, 6.580%, 8/15/2029(a) | 106,036 |
285,000 | Ford Credit Auto Lease Trust, Series 2023-B, Class D, 6.970%, 6/15/2028 | 290,616 |
460,000 | Ford Credit Auto Owner Trust, Series 2023-2, Class D, 6.600%, 2/15/2036(a) | 465,416 |
2,065,000 | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D, 2.480%, 10/15/2027(a) | 1,972,897 |
230,000 | GLS Auto Receivables Issuer Trust, Series 2023-3A, Class D, 6.440%, 5/15/2029(a) | 231,918 |
190,000 | GLS Auto Receivables Issuer Trust, Series 2024-1A, Class D, 5.950%, 12/17/2029(a) | 189,029 |
105,000 | GLS Auto Select Receivables Trust, Series 2024-2A, Class C, 5.930%, 6/17/2030(a) | 105,678 |
100,000 | GLS Auto Select Receivables Trust, Series 2024-2A, Class D, 6.370%, 8/15/2031(a) | 100,960 |
1,889,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026(a) | 1,823,699 |
1,050,000 | Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026(a) | 1,021,236 |
210,000 | Prestige Auto Receivables Trust, Series 2023-2A, Class D, 7.710%, 8/15/2029(a) | 216,607 |
955,000 | Santander Drive Auto Receivables Trust, Series 2024-3, Class D, 5.970%, 10/15/2031 | 958,119 |
Principal Amount (‡) | Description | Value (†) |
ABS Car Loan — continued | ||
$100,000 | SBNA Auto Receivables Trust, Series 2024-A, Class D, 6.040%, 4/15/2030(a) | $100,377 |
1,920,000 | Westlake Automobile Receivables Trust, Series 2022-2A, Class D, 5.480%, 9/15/2027(a) | 1,903,392 |
635,000 | Westlake Automobile Receivables Trust, Series 2023-3A, Class D, 6.470%, 3/15/2029(a) | 640,578 |
815,000 | Westlake Automobile Receivables Trust, Series 2023-4A, Class D, 7.190%, 7/16/2029(a) | 836,766 |
290,000 | Westlake Automobile Receivables Trust, Series 2024-1A, Class C, 5.650%, 2/15/2029(a) | 290,226 |
720,000 | Westlake Automobile Receivables Trust, Series 2024-1A, Class D, 6.020%, 10/15/2029(a) | 725,481 |
23,132,702 | ||
ABS Credit Card — 0.4% | ||
1,100,000 | Fortiva Retail Credit Master Note Business Trust, Series 2024-ONE, Class B, 9.700%, 11/15/2029(a) | 1,102,892 |
420,000 | Mission Lane Credit Card Master Trust, Series 2023-A, Class A, 7.230%, 7/17/2028(a) | 422,325 |
625,000 | Mission Lane Credit Card Master Trust, Series 2023-B, Class A, 7.690%, 11/15/2028(a) | 632,468 |
2,157,685 | ||
ABS Home Equity — 5.9% | ||
176,904 | Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033(b) | 168,087 |
140,897 | Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035(b) | 134,700 |
80,238 | Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034(b) | 66,219 |
2,315,000 | BINOM Securitization Trust, Series 2022-RPL1, Class M1, 3.000%, 2/25/2061(a)(c) | 1,810,312 |
23,629 | CHL Mortgage Pass-Through Trust, Series 2004-HYB4, Class 2A1, 5.381%, 9/20/2034(b)(c) | 20,113 |
1,097,634 | CIM Trust, Series 2021-NR2, Class A1, 5.568%, 7/25/2059(a)(c) | 1,087,538 |
1,789,901 | CoreVest American Finance Ltd., Series 2019-2, Class B, 3.424%, 6/15/2052(a) | 1,657,859 |
245,000 | CoreVest American Finance Ltd., Series 2020-2, Class C, 4.752%, 5/15/2052(a)(c) | 229,056 |
1,340,000 | CoreVest American Finance Ltd., Series 2020-4, Class C, 2.250%, 12/15/2052(a) | 1,120,336 |
730,000 | CoreVest American Finance Ltd., Series 2023-RTL1, Class A1, 7.553%, 12/28/2030(a)(c) | 732,823 |
211,172 | Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033 | 206,269 |
103,531 | Countrywide Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034 | 99,893 |
92,347 | Countrywide Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034 | 89,415 |
117,520 | Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034(b) | 113,076 |
162 | Countrywide Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025(b) | 153 |
1,043,917 | Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 4.080%, 3/25/2060(a)(c) | 1,039,968 |
Principal Amount (‡) | Description | Value (†) |
ABS Home Equity — continued | ||
$1,703,148 | Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 4.052%, 12/27/2060(a)(c) | $1,669,980 |
93,954 | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033 | 91,204 |
326,958 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1 mo. USD SOFR + 0.774%, 6.113%, 9/19/2045(c) | 174,393 |
689,499 | Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2022-DNA4, Class M1A, REMICS, 30 day USD SOFR Average + 2.200%, 7.535%, 5/25/2042(a)(c) | 701,299 |
947,363 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2022-R06, Class 1M1, 30 day USD SOFR Average + 2.750%, 8.085%, 5/25/2042(a)(c) | 973,984 |
255,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2023-R06, Class 1M2, 30 day USD SOFR Average + 2.700%, 8.035%, 7/25/2043(a)(c) | 266,438 |
45,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2023-R08, Class 1M2, 30 day USD SOFR Average + 2.500%, 7.835%, 10/25/2043(a)(c) | 46,392 |
151,703 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068(a)(c) | 143,372 |
1,125,000 | GITSIT Mortgage Loan Trust, Series 2024-NPL1, Class A1, 7.466%, 6/25/2054(a)(c) | 1,125,331 |
228,949 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041(a) | 187,050 |
332,055 | IndyMac INDX Mortgage Loan Trust, Series 2004-AR7, Class A5, 1 mo. USD SOFR + 1.334%, 6.680%, 9/25/2034(b)(c) | 260,293 |
512,639 | JP Morgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034 | 497,991 |
244,052 | Lehman XS Trust, Series 2006-2N, Class 1A1, 1 mo. USD SOFR + 0.634%, 5.980%, 2/25/2046(b)(c) | 187,005 |
181,107 | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 6.750%, 5/25/2034(b)(c) | 171,175 |
122,937 | MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(b) | 116,489 |
94,912 | MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(b) | 90,687 |
113,806 | MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(b) | 110,499 |
335,738 | MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034 | 321,610 |
13,605 | Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A, 6.196%, 5/25/2036(b)(c) | 12,385 |
245,000 | Mill City Mortgage Loan Trust, Series 2021-NMR1, Class M2, 2.500%, 11/25/2060(a)(c) | 204,738 |
234,322 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035(b) | 143,369 |
455,591 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(b) | 402,462 |
Principal Amount (‡) | Description | Value (†) |
ABS Home Equity — continued | ||
$785,000 | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1, 6.664%, 3/25/2039(a)(c) | $785,476 |
819,404 | NLT Trust, Series 2023-1, Class A1, 3.200%, 10/25/2062(a)(c) | 743,770 |
720,000 | NYMT Loan Trust, Series 2024-BPL2, Class A1, 6.509%, 5/25/2039(a)(c) | 724,244 |
419,863 | NYMT Loan Trust, Series 2024-CP1, Class A1, 3.750%, 2/25/2068(a)(c) | 386,702 |
795,000 | Progress Residential Trust, Series 2021-SFR2, Class E2, 2.647%, 4/19/2038(a) | 735,691 |
570,000 | Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026(a) | 530,074 |
470,000 | Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026(a) | 433,253 |
930,000 | Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038(a) | 854,733 |
400,000 | Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038(a) | 366,255 |
585,000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038(a) | 536,631 |
415,000 | Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040(a) | 351,468 |
235,000 | Progress Residential Trust, Series 2023-SFR2, Class D, 4.500%, 10/17/2040(a) | 217,935 |
1,322,091 | PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026(a)(c) | 1,301,145 |
89,366 | PRPM LLC, Series 2023-RCF2, Class A1, 4.000%, 11/25/2053(a)(c) | 85,925 |
604,016 | PRPM LLC, Series 2024-2, Class A1, 7.026%, 3/25/2029(a)(c) | 605,408 |
100,004 | PRPM LLC, Series 2024-RCF1, Class A1, 4.000%, 1/25/2054(a)(c) | 95,349 |
399,376 | RCO VII Mortgage LLC, Series 2024-1, Class A1, 7.021%, 1/25/2029(a)(c) | 397,248 |
428,844 | Redwood Funding Trust, Series 2023-1, Class A, 7.500%, 7/25/2059(a)(c) | 420,732 |
1,628,915 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1 mo. USD SOFR + 0.424%, 5.770%, 7/25/2035(c) | 956,679 |
1,040,000 | Tricon American Homes, Series 2020-SFR1, Class E, 3.544%, 7/17/2038(a) | 993,399 |
1,170,000 | Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.730%, 11/17/2039(a) | 1,041,462 |
692,974 | VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051(a)(c) | 682,052 |
453,992 | VOLT XCII LLC, Series 2021-NPL1, Class A1, 4.893%, 2/27/2051(a)(c) | 446,943 |
1,454,241 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, 4.893%, 2/27/2051(a)(c) | 1,432,732 |
811,625 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 5.240%, 2/27/2051(a)(c) | 802,830 |
32,402,099 | ||
ABS Other — 5.2% | ||
1,420,726 | AASET Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041(a) | 1,309,384 |
235,773 | Accelerated Assets LLC, Series 2018-1, Class B, 4.510%, 12/02/2033(a) | 233,573 |
625,000 | Affirm Asset Securitization Trust, Series 2023-B, Class A, 6.820%, 9/15/2028(a) | 632,011 |
Principal Amount (‡) | Description | Value (†) |
ABS Other — continued | ||
$167,052 | Affirm Asset Securitization Trust, Series 2023-X1, Class A, 7.110%, 11/15/2028(a) | $167,750 |
100,000 | Affirm Asset Securitization Trust, Series 2024-A, Class 1D, 6.890%, 2/15/2029(a) | 100,028 |
240,000 | Affirm Asset Securitization Trust, Series 2024-A, Class A, 5.610%, 2/15/2029(a) | 239,073 |
225,000 | Affirm Asset Securitization Trust, Series 2024-A, Class B, 5.930%, 2/15/2029(a) | 224,572 |
2,218,114 | AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040(a)(c) | 776,340 |
210,111 | Aqua Finance Trust, Series 2019-A, Class C, 4.010%, 7/16/2040(a) | 194,246 |
2,340,000 | BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035(a) | 2,250,365 |
550,000 | BHG Securitization Trust, Series 2023-B, Class B, 7.450%, 12/17/2036(a) | 566,876 |
195,000 | BHG Securitization Trust, Series 2024-1CON, Class B, 6.490%, 4/17/2035(a) | 196,116 |
427,821 | Business Jet Securities LLC, Series 2024-1A, Class A, 6.197%, 5/15/2039(a) | 431,703 |
102,094 | Business Jet Securities LLC, Series 2024-1A, Class B, 6.924%, 5/15/2039(a) | 103,407 |
335,067 | Castlelake Aircraft Securitization Trust, Series 2018-1, Class B, 5.300%, 6/15/2043(a) | 265,055 |
139,999 | Castlelake Aircraft Structured Trust, Series 2019-1A, Class A, 3.967%, 4/15/2039(a) | 126,035 |
435,599 | EverBright Solar Trust, Series 2024-A, Class A, 6.430%, 6/22/2054(a) | 431,669 |
140,000 | Foundation Finance Trust, Series 2023-2A, Class D, 9.100%, 6/15/2049(a) | 144,243 |
29,087 | FREED ABS Trust, Series 2021-2, Class C, 1.940%, 6/19/2028(a) | 29,025 |
2,800,000 | Frontier Issuer LLC, Series 2023-1, Class A2, 6.600%, 8/20/2053(a) | 2,822,490 |
122,735 | Hilton Grand Vacations Trust, Series 2018-AA, Class C, 4.000%, 2/25/2032(a) | 120,160 |
59,198 | Hilton Grand Vacations Trust, Series 2022-1D, Class C, 4.690%, 6/20/2034(a) | 57,212 |
320,163 | Horizon Aircraft Finance I Ltd., Series 2018-1, Class A, 4.458%, 12/15/2038(a) | 291,216 |
247,388 | Horizon Aircraft Finance III Ltd., Series 2019-2, Class A, 3.425%, 11/15/2039(a) | 214,890 |
150,000 | HPEFS Equipment Trust, Series 2023-2A, Class D, 6.970%, 7/21/2031(a) | 152,183 |
1,141,004 | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038(a) | 1,072,600 |
1,981,866 | Labrador Aviation Finance Ltd., Series 2016-1A, Class A1, 4.300%, 1/15/2042(a) | 1,813,959 |
276,821 | MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043(a) | 269,395 |
297,409 | MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043(a) | 269,408 |
90,207 | Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031(a) | 89,579 |
695,000 | Marlette Funding Trust, Series 2023-4A, Class B, 8.150%, 12/15/2033(a) | 715,954 |
110,000 | MetroNet Infrastructure Issuer LLC, Series 2024-1A, Class A2, 6.230%, 4/20/2054(a) | 111,166 |
117,718 | MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037(a) | 113,283 |
111,190 | MVW LLC, Series 2024-1A, Class C, 6.200%, 2/20/2043(a) | 111,756 |
Principal Amount (‡) | Description | Value (†) |
ABS Other — continued | ||
$110,555 | MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036(a) | $107,032 |
730,000 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class B, 2.780%, 1/15/2069(a) | 608,168 |
1,020,000 | OneMain Financial Issuance Trust, Series 2020-2A, Class C, 2.760%, 9/14/2035(a) | 927,500 |
810,000 | OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036(a) | 689,563 |
285,000 | PK Alift Loan Funding 3 LP, Series 2024-1, Class A1, 5.842%, 9/15/2039(a) | 285,070 |
105,000 | SCF Equipment Leasing LLC, Series 2024-1A, Class C, 5.820%, 9/20/2032(a) | 106,118 |
100,000 | SCF Equipment Leasing LLC, Series 2024-1A, Class D, 6.580%, 6/21/2033(a) | 100,540 |
535,000 | SEB Funding LLC, Series 2024-1A, Class A2, 7.386%, 4/30/2054(a) | 543,283 |
389,345 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C, 3.510%, 7/20/2037(a) | 379,666 |
129,220 | Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class C, 7.000%, 1/20/2040(a) | 130,087 |
114,327 | Sierra Timeshare Receivables Funding LLC, Series 2023-2A, Class C, 7.300%, 4/20/2040(a) | 115,933 |
877,500 | Slam Ltd., Series 2021-1A, Class B, 3.422%, 6/15/2046(a) | 759,162 |
1,166,189 | SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037(a) | 1,064,998 |
347,034 | Sunnova Helios XIII Issuer LLC, Series 2024-A, Class A, 5.300%, 2/20/2051(a) | 334,281 |
480,813 | TIF Funding III LLC, Series 2024-1A, Class A, 5.480%, 4/20/2049(a) | 478,305 |
950,000 | Trafigura Securitisation Finance PLC, Series 2024-1A, Class A1, SOFR + 1.400%, 6.737%, 11/15/2027(a)(c) | 957,323 |
335,000 | Trafigura Securitisation Finance PLC, Series 2024-1A, Class B, 7.290%, 11/15/2027(a) | 337,242 |
1,560,529 | WAVE Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042(a) | 1,407,731 |
195,000 | Westlake Automobile Receivables Trust, Series 2024-2A, Class D, 5.910%, 4/15/2030(a) | 194,755 |
472,200 | Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 9/15/2043(a)(c) | 455,089 |
659,330 | Willis Engine Structured Trust V, Series 2020-A, Class A, 3.228%, 3/15/2045(a) | 600,870 |
222,673 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 5/15/2046(a) | 197,737 |
765,000 | Ziply Fiber Issuer LLC, Series 2024-1A, Class A2, 6.640%, 4/20/2054(a) | 778,713 |
28,205,888 | ||
ABS Student Loan — 2.4% | ||
160,181 | Ascent Education Funding Trust, Series 2024-A, Class A, 6.140%, 10/25/2050(a) | 161,258 |
105,000 | Ascent Education Funding Trust, Series 2024-A, Class C, 8.010%, 10/25/2050(a) | 104,305 |
376,633 | College Avenue Student Loans LLC, Series 2021-A, Class D, 4.120%, 7/25/2051(a) | 338,706 |
757,469 | Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041(a) | 688,733 |
779,278 | Navient Private Education Refi Loan Trust, Series 2018-A, Class B, 3.680%, 2/18/2042(a) | 746,021 |
1,775,000 | Navient Private Education Refi Loan Trust, Series 2018-CA, Class B, 4.220%, 6/16/2042(a) | 1,693,011 |
Principal Amount (‡) | Description | Value (†) |
ABS Student Loan — continued | ||
$3,410,000 | Navient Private Education Refi Loan Trust, Series 2019-FA, Class B, 3.120%, 8/15/2068(a) | $2,853,857 |
695,000 | Navient Private Education Refi Loan Trust, Series 2019-GA, Class B, 3.080%, 10/15/2068(a) | 586,279 |
320,000 | Navient Private Education Refi Loan Trust, Series 2020-DA, Class B, 3.330%, 5/15/2069(a) | 270,625 |
1,290,000 | Navient Private Education Refi Loan Trust, Series 2020-FA, Class B, 2.690%, 7/15/2069(a) | 1,018,106 |
810,000 | Nelnet Student Loan Trust, Series 2021-DA, Class B, 2.900%, 4/20/2062(a) | 674,385 |
254,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28 day Auction Rate Security, 5.245%, 6/15/2032(c) | 252,436 |
820,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28 day Auction Rate Security, 5.260%, 3/15/2033(c) | 814,012 |
83,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28 day Auction Rate Security, 7.870%, 3/15/2033(c) | 82,394 |
455,067 | SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043(a) | 445,937 |
230,663 | SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1 mo. USD SOFR + 0.864%, 6.193%, 10/15/2035(a)(c) | 230,263 |
190,000 | SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042(a) | 177,127 |
510,000 | SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042(a) | 472,868 |
230,000 | SMB Private Education Loan Trust, Series 2024-A, Class B, 5.880%, 3/15/2056(a) | 231,138 |
1,350,000 | SoFi Professional Loan Program LLC, Series 2020-A, Class BFX, 3.120%, 5/15/2046(a) | 1,124,204 |
12,965,665 | ||
ABS Whole Business — 1.4% | ||
1,510,000 | Applebee's Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053(a) | 1,561,164 |
248,750 | FOCUS Brands Funding, Series 2023-2, Class A2, 8.241%, 10/30/2053(a) | 263,279 |
144,638 | Hardee's Funding LLC, Series 2024-1A, Class A2, 7.253%, 3/20/2054(a) | 148,042 |
2,936,625 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049(a) | 2,692,421 |
1,385,000 | Planet Fitness Master Issuer LLC, Series 2024-1A, Class A2I, 5.765%, 6/05/2054(a) | 1,385,255 |
1,595,000 | Subway Funding LLC, Series 2024-1A, Class A2I, 6.028%, 7/30/2054(a) | 1,608,730 |
7,658,891 | ||
Aerospace & Defense — 2.3% | ||
2,230,000 | BAE Systems PLC, 5.300%, 3/26/2034(a) | 2,206,585 |
1,630,000 | Boeing Co., 3.625%, 2/01/2031 | 1,426,617 |
1,265,000 | Boeing Co., 5.150%, 5/01/2030 | 1,214,762 |
1,170,000 | Boeing Co., 5.705%, 5/01/2040 | 1,078,699 |
2,980,000 | Boeing Co., 5.805%, 5/01/2050 | 2,685,576 |
70,000 | Boeing Co., 5.930%, 5/01/2060 | 62,583 |
330,000 | Boeing Co., 6.388%, 5/01/2031(a) | 335,959 |
320,000 | Boeing Co., 6.528%, 5/01/2034(a) | 327,648 |
795,000 | Boeing Co., 6.858%, 5/01/2054(a) | 815,807 |
485,000 | Boeing Co., 7.008%, 5/01/2064(a) | 496,577 |
Principal Amount (‡) | Description | Value (†) |
Aerospace & Defense — continued | ||
$1,055,000 | Embraer Netherlands Finance BV, 7.000%, 7/28/2030(a) | $1,100,918 |
1,050,000 | RTX Corp., 6.100%, 3/15/2034 | 1,105,238 |
12,856,969 | ||
Airlines — 0.3% | ||
1,758,789 | United Airlines Pass-Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029 | 1,635,462 |
Automotive — 0.6% | ||
1,365,000 | General Motors Financial Co., Inc., 1.200%, 10/15/2024 | 1,347,227 |
360,000 | ZF North America Capital, Inc., 6.750%, 4/23/2030(a) | 366,639 |
315,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028(a) | 321,259 |
535,000 | ZF North America Capital, Inc., 6.875%, 4/23/2032(a) | 553,112 |
560,000 | ZF North America Capital, Inc., 7.125%, 4/14/2030(a) | 579,382 |
3,167,619 | ||
Banking — 4.7% | ||
2,200,000 | Banco Santander SA, 5.147%, 8/18/2025 | 2,182,885 |
50,000 | Bank of America Corp., (fixed rate to 3/08/2032, variable rate thereafter), 3.846%, 3/08/2037 | 43,818 |
4,460,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 3,831,337 |
1,260,000 | Credit Agricole SA, (fixed rate to 1/10/2034, variable rate thereafter), 6.251%, 1/10/2035(a) | 1,267,569 |
1,620,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 1,365,864 |
1,490,000 | Intesa Sanpaolo SpA, 7.200%, 11/28/2033(a) | 1,597,310 |
7,575,000 | Morgan Stanley, MTN, (fixed rate to 10/21/2024, variable rate thereafter), 1.164%, 10/21/2025 | 7,466,147 |
1,770,000 | Societe Generale SA, (fixed rate to 1/19/2034, variable rate thereafter), 6.066%, 1/19/2035(a) | 1,752,285 |
1,630,000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036(a) | 1,372,195 |
1,030,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(a) | 1,241,415 |
865,000 | UBS Group AG, (fixed rate to 2/08/2034, variable rate thereafter), 5.699%, 2/08/2035(a) | 864,118 |
375,000 | UBS Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032(a) | 319,877 |
740,000 | UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028(a) | 758,803 |
1,500,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033(a) | 1,574,745 |
25,638,368 | ||
Brokerage — 0.6% | ||
1,525,000 | Blue Owl Finance LLC, 6.250%, 4/18/2034(a) | 1,529,026 |
2,015,000 | Jefferies Financial Group, Inc., 6.200%, 4/14/2034 | 2,040,831 |
3,569,857 | ||
Building Materials — 1.0% | ||
3,145,000 | Cemex SAB de CV, 3.875%, 7/11/2031(a) | 2,772,823 |
Principal Amount (‡) | Description | Value (†) |
Building Materials — continued | ||
$200,000 | Cemex SAB de CV, (fixed rate to 3/14/2028, variable rate thereafter), 9.125%(a)(d) | $213,358 |
2,330,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%(a)(d) | 2,239,120 |
5,225,301 | ||
Cable Satellite — 3.3% | ||
7,390,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027(a) | 7,095,479 |
520,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026(a) | 513,882 |
225,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 173,523 |
645,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 527,170 |
330,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 290,909 |
2,180,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 12/01/2061 | 1,421,958 |
2,200,000 | CSC Holdings LLC, 3.375%, 2/15/2031(a) | 1,372,998 |
400,000 | CSC Holdings LLC, 4.500%, 11/15/2031(a) | 258,088 |
4,965,000 | CSC Holdings LLC, 4.625%, 12/01/2030(a) | 1,808,263 |
1,295,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 512,834 |
4,420,000 | DISH DBS Corp., 5.250%, 12/01/2026(a) | 3,486,462 |
975,000 | DISH DBS Corp., 5.750%, 12/01/2028(a) | 675,981 |
18,137,547 | ||
Chemicals — 0.4% | ||
1,100,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030(a) | 930,126 |
1,375,000 | Celanese U.S. Holdings LLC, 6.700%, 11/15/2033 | 1,444,918 |
2,375,044 | ||
Construction Machinery — 0.3% | ||
1,475,000 | United Rentals North America, Inc., 6.125%, 3/15/2034(a) | 1,469,620 |
Consumer Cyclical Services — 1.3% | ||
7,735,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(a) | 7,369,828 |
Electric — 0.3% | ||
830,000 | Pacific Gas & Electric Co., 6.400%, 6/15/2033 | 857,223 |
780,000 | Southern Co., 5.700%, 3/15/2034 | 793,016 |
1,650,239 | ||
Finance Companies — 3.3% | ||
1,670,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 1,434,891 |
1,015,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.400%, 10/29/2033 | 851,371 |
405,000 | Aircastle Ltd., 5.950%, 2/15/2029(a) | 404,884 |
1,190,000 | Aircastle Ltd., 6.500%, 7/18/2028(a) | 1,212,305 |
3,400,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 2,803,920 |
1,855,000 | Blue Owl Capital Corp., 2.875%, 6/11/2028 | 1,640,809 |
1,200,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 1,124,336 |
125,000 | OneMain Finance Corp., 3.875%, 9/15/2028 | 112,078 |
365,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 313,258 |
485,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 454,860 |
2,750,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(a) | 2,568,189 |
Principal Amount (‡) | Description | Value (†) |
Finance Companies — continued | ||
$2,135,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(a) | $1,936,713 |
105,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(a) | 91,506 |
3,720,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(a) | 3,134,803 |
18,083,923 | ||
Financial Other — 0.6% | ||
221,481 | Add Hero Holdings Ltd., Series IAI, 8.500% PIK or 7.500% Cash, 9/30/2029(e) | 10,520 |
170,778 | Add Hero Holdings Ltd., Series IAI, 9.000% PIK or 8.000% Cash, 9/30/2030(e) | 3,612 |
222,862 | Add Hero Holdings Ltd., Series IAI, 9.800% PIK or 8.800% Cash, 9/30/2031(e) | 4,714 |
540,000 | Agile Group Holdings Ltd., 5.500%, 4/21/2025(f) | 36,385 |
425,000 | Agile Group Holdings Ltd., 5.500%, 5/17/2026(f) | 28,084 |
430,000 | Agile Group Holdings Ltd., 5.750%, 1/02/2025(f) | 29,012 |
1,540,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025(f) | 100,115 |
485,000 | Central China Real Estate Ltd., 7.250%, 7/16/2024(f) | 11,315 |
410,000 | Central China Real Estate Ltd., 7.250%, 8/13/2024(f) | 10,250 |
1,000,000 | Central China Real Estate Ltd., 7.650%, 8/27/2025(f) | 25,000 |
625,000 | Central China Real Estate Ltd., 7.750%, 5/24/2024(f) | 14,063 |
1,960,135 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(a)(g) | 69,369 |
2,379,845 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(a)(g) | 66,160 |
239,712 | CFLD Cayman Investment Ltd., Zero Coupon, 0.000%–28.181%, 1/31/2031(a)(h) | 4,794 |
127,248 | China Aoyuan Group Ltd., Series IAI, 5.500% PIK or 0.000% Cash, 9/30/2031(e) | 1,083 |
337,685 | China Aoyuan Group Ltd., Series IAI, Zero Coupon, 0.661%–1.009%(d)(h) | 2,404 |
630,000 | China Evergrande Group, 8.250%, 3/23/2022(f) | 12,146 |
1,020,000 | China Evergrande Group, 8.750%, 6/28/2025(f) | 12,750 |
270,000 | China Evergrande Group, 9.500%, 4/11/2022(f) | 4,096 |
220,000 | China Evergrande Group, 9.500%, 3/29/2024(f) | 2,750 |
1,110,000 | CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026(f) | 119,325 |
480,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 410,420 |
945,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 886,999 |
125,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026 | 124,013 |
1,875,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(f) | 60,937 |
205,000 | Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(f) | 6,269 |
855,000 | Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(f) | 27,788 |
4,525,000 | Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(f) | 147,062 |
2,045,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(f) | 66,462 |
2,125,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(f) | 66,512 |
645,000 | KWG Group Holdings Ltd., 6.000%, 8/14/2026(f) | 38,990 |
845,000 | KWG Group Holdings Ltd., 6.300%, 2/13/2026(f) | 43,568 |
400,000 | Logan Group Co. Ltd., 4.250%, 7/12/2025(f) | 34,248 |
Principal Amount (‡) | Description | Value (†) |
Financial Other — continued | ||
$230,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(f) | $19,134 |
825,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(f) | 37,645 |
725,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(f) | 32,081 |
610,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(f) | 29,317 |
391,856 | Sunac China Holdings Ltd., 6.000% PIK or 5.000% Cash, 9/30/2026(a)(e) | 50,710 |
392,332 | Sunac China Holdings Ltd., 6.250% PIK or 5.250% Cash, 9/30/2027(a)(e) | 45,385 |
785,616 | Sunac China Holdings Ltd., 6.500% PIK or 5.500% Cash, 9/30/2027(a)(e) | 83,220 |
1,179,850 | Sunac China Holdings Ltd., 6.750% PIK or 5.750% Cash, 9/30/2028(a)(e) | 119,767 |
1,181,276 | Sunac China Holdings Ltd., 7.000% PIK or 6.000% Cash, 9/30/2029(a)(e) | 103,362 |
555,570 | Sunac China Holdings Ltd., 7.250% PIK or 6.250% Cash, 9/30/2030(a)(e) | 46,207 |
210,000 | Times China Holdings Ltd., 5.750%, 1/14/2027(f) | 4,820 |
1,085,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(f) | 23,013 |
4,400,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(f) | 249,480 |
325,000 | Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(f) | 18,545 |
415,000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(f) | 23,452 |
555,000 | Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(f) | 31,191 |
1,360,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(f) | 11,016 |
210,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(f) | 1,623 |
220,000 | Zhenro Properties Group Ltd., 7.350%, 2/05/2025(f) | 275 |
3,411,458 | ||
Gaming — 0.2% | ||
245,000 | GLP Capital LP/GLP Financing II, Inc., 6.750%, 12/01/2033 | 257,415 |
1,180,000 | VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029(a) | 1,090,700 |
5,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025(a) | 4,934 |
1,353,049 | ||
Government Owned - No Guarantee — 0.7% | ||
465,000 | Antares Holdings LP, 2.750%, 1/15/2027(a) | 422,444 |
2,790,000 | Antares Holdings LP, 3.750%, 7/15/2027(a) | 2,553,237 |
735,000 | Ecopetrol SA, 8.375%, 1/19/2036 | 721,951 |
3,697,632 | ||
Health Care REITs — 0.1% | ||
455,000 | National Health Investors, Inc., 3.000%, 2/01/2031 | 371,712 |
Health Insurance — 0.6% | ||
1,040,000 | Centene Corp., 3.375%, 2/15/2030 | 923,118 |
2,150,000 | Centene Corp., 4.625%, 12/15/2029 | 2,033,524 |
585,000 | Molina Healthcare, Inc., 4.375%, 6/15/2028(a) | 550,623 |
3,507,265 | ||
Healthcare — 0.5% | ||
2,520,000 | HCA, Inc., 5.600%, 4/01/2034 | 2,504,805 |
Principal Amount (‡) | Description | Value (†) |
Independent Energy — 1.9% | ||
$1,595,000 | Continental Resources, Inc., 2.875%, 4/01/2032(a) | $1,288,005 |
4,195,000 | Continental Resources, Inc., 5.750%, 1/15/2031(a) | 4,124,836 |
920,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028 | 815,120 |
25,000 | EQT Corp., 3.625%, 5/15/2031(a) | 22,055 |
745,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025 | 720,467 |
740,000 | Leviathan Bond Ltd., 6.500%, 6/30/2027 | 690,820 |
320,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 334,697 |
140,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 143,954 |
695,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 723,517 |
90,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 97,009 |
85,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 92,602 |
385,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 434,903 |
410,000 | Var Energi ASA, 8.000%, 11/15/2032(a) | 458,977 |
455,000 | Viper Energy, Inc., 7.375%, 11/01/2031(a) | 471,238 |
10,418,200 | ||
Leisure — 1.8% | ||
1,880,000 | Carnival Corp., 5.750%, 3/01/2027(a) | 1,857,295 |
580,000 | Carnival Corp., 6.000%, 5/01/2029(a) | 572,935 |
2,685,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(a) | 2,654,453 |
890,000 | NCL Corp. Ltd., 5.875%, 2/15/2027(a) | 878,546 |
335,000 | NCL Finance Ltd., 6.125%, 3/15/2028(a) | 330,824 |
240,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026(a) | 232,271 |
1,725,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(a) | 1,702,995 |
560,000 | Royal Caribbean Cruises Ltd., 6.250%, 3/15/2032(a) | 564,705 |
845,000 | VOC Escrow Ltd., 5.000%, 2/15/2028(a) | 819,131 |
9,613,155 | ||
Life Insurance — 0.2% | ||
780,000 | Global Atlantic Fin Co., 3.125%, 6/15/2031(a) | 645,120 |
425,000 | Global Atlantic Fin Co., 4.400%, 10/15/2029(a) | 395,764 |
1,040,884 | ||
Lodging — 0.2% | ||
255,000 | Choice Hotels International, Inc., 5.850%, 8/01/2034 | 251,330 |
690,000 | Marriott International, Inc., 5.300%, 5/15/2034 | 677,465 |
928,795 | ||
Media Entertainment — 1.3% | ||
1,230,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027(a) | 653,070 |
1,430,000 | Netflix, Inc., 4.875%, 6/15/2030(a) | 1,407,514 |
860,000 | Netflix, Inc., 5.375%, 11/15/2029(a) | 868,397 |
365,000 | Netflix, Inc., 5.875%, 11/15/2028 | 376,066 |
2,145,000 | Paramount Global, 4.375%, 3/15/2043 | 1,422,044 |
570,000 | Paramount Global, 5.850%, 9/01/2043 | 448,247 |
1,815,000 | Paramount Global, 6.875%, 4/30/2036 | 1,699,632 |
6,874,970 | ||
Metals & Mining — 1.9% | ||
1,360,000 | ArcelorMittal SA, 6.800%, 11/29/2032 | 1,432,711 |
3,120,000 | First Quantum Minerals Ltd., 9.375%, 3/01/2029(a) | 3,260,011 |
5,245,000 | Glencore Funding LLC, 6.500%, 10/06/2033(a) | 5,463,612 |
10,156,334 | ||
Midstream — 1.3% | ||
485,000 | Cheniere Energy Partners LP, 5.950%, 6/30/2033 | 491,763 |
Principal Amount (‡) | Description | Value (†) |
Midstream — continued | ||
$25,000 | Targa Resources Corp., 6.125%, 3/15/2033 | $25,675 |
3,900,000 | Targa Resources Corp., 6.500%, 3/30/2034 | 4,129,832 |
950,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(a) | 809,501 |
815,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(a) | 731,353 |
1,045,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | 1,071,236 |
7,259,360 | ||
Non-Agency Commercial Mortgage-Backed Securities — 7.0% | ||
2,995,000 | BBCMS Mortgage Trust, Series 2020-BID, Class B, 1 mo. USD SOFR + 2.654%, 7.984%, 10/15/2037(a)(c) | 2,972,577 |
2,155,000 | BPR Trust, Series 2021-NRD, Class F, 1 mo. USD SOFR + 6.870%, 12.199%, 12/15/2038(a)(c) | 2,047,104 |
1,925,000 | BPR Trust, Series 2022-SSP, Class A, 1 mo. USD SOFR + 3.000%, 8.329%, 5/15/2039(a)(c) | 1,938,990 |
395,000 | BX Trust, Series 2024-VLT4, Class A, 1 mo. USD SOFR + 1.491%, 6.811%, 7/15/2029(a)(c) | 394,517 |
2,040,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 4.968%, 5/10/2047(a)(c) | 1,586,099 |
2,487,524 | Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045(a) | 2,341,696 |
140,000 | Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.468%, 12/10/2044(c) | 123,760 |
1,890,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037(a) | 1,436,611 |
5,680,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037(a) | 3,222,400 |
750,000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034(a)(c) | 652,480 |
920,000 | DC Commercial Mortgage Trust, Series 2023-DC, Class C, 7.379%, 9/12/2040(a)(c) | 937,117 |
558,294 | Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD SOFR + 2.364%, 7.694%, 7/15/2038(a)(c) | 557,946 |
473,225 | GS Mortgage Securities Corp. Trust, Series 2012-BWTR, Class A, 2.954%, 11/05/2034(a) | 368,815 |
701,683 | GS Mortgage Securities Corp. Trust, Series 2013-G1, Class B, 3.845%, 4/10/2031(a)(c) | 646,119 |
3,195,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033(a)(c) | 1,697,620 |
540,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.296%, 8/10/2044(a)(c) | 415,816 |
3,905,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.296%, 8/10/2044(a)(c) | 1,855,218 |
1,945,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046(a)(c) | 1,703,164 |
1,362,878 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 3.686%, 12/15/2047(a)(c) | 1,255,199 |
741,913 | Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.385%, 6/15/2044(a)(c) | 711,999 |
Principal Amount (‡) | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$2,515,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.385%, 6/15/2044(a)(c) | $1,986,198 |
1,060,000 | Starwood Retail Property Trust, Series 2014-STAR, Class C, Prime + 0.000%, 8.500%, 11/15/2027(a)(b)(c)(g) | 357,856 |
4,243,654 | Starwood Retail Property Trust, Series 2014-STAR, Class D, Prime + 0.000%, 8.500%, 11/15/2027(a)(b)(c)(g) | 351,799 |
3,575,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, Prime + 0.000%, 8.500%, 11/15/2027(a)(b)(c)(g) | 178,750 |
2,133,242 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.083%, 7/15/2046(c) | 1,958,297 |
1,690,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(c) | 1,456,624 |
440,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.254%, 11/15/2059(c) | 369,757 |
941,396 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 6.050%, 3/15/2044(a)(c) | 359,613 |
1,699,593 | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E, 5.144%, 6/15/2044(a)(c) | 1,338,427 |
2,245,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.477%, 12/15/2045(c) | 1,763,444 |
1,570,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 1,370,131 |
38,356,143 | ||
Pharmaceuticals — 2.2% | ||
3,000,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(a) | 2,245,080 |
930,000 | Teva Pharmaceutical Finance Netherlands II BV, 4.375%, 5/09/2030, (EUR) | 964,082 |
685,000 | Teva Pharmaceutical Finance Netherlands II BV, 7.375%, 9/15/2029, (EUR) | 811,546 |
570,000 | Teva Pharmaceutical Finance Netherlands II BV, 7.875%, 9/15/2031, (EUR) | 702,649 |
920,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 863,454 |
7,575,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 5,290,793 |
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 192,732 |
435,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 467,219 |
305,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 339,117 |
11,876,672 | ||
Restaurants — 0.2% | ||
1,575,000 | 1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030(a) | 1,386,473 |
Retailers — 0.3% | ||
1,950,000 | Lithia Motors, Inc., 3.875%, 6/01/2029(a) | 1,753,479 |
Sovereigns — 2.3% | ||
805,000 | Chile Government International Bonds, 3.500%, 1/31/2034 | 697,416 |
645,000 | Chile Government International Bonds, 3.500%, 1/25/2050 | 463,011 |
1,215,000 | Colombia Government International Bonds, 8.000%, 11/14/2035 | 1,249,096 |
600,000 | Dominican Republic International Bonds, 4.875%, 9/23/2032 | 536,778 |
Principal Amount (‡) | Description | Value (†) |
Sovereigns — continued | ||
$230,000 | Dominican Republic International Bonds, 6.600%, 6/01/2036(a) | $228,784 |
200,000 | Paraguay Government International Bonds, 6.000%, 2/09/2036(a) | 199,914 |
760,000 | Philippines Government International Bonds, 2.650%, 12/10/2045 | 498,347 |
385,000 | Philippines Government International Bonds, 2.950%, 5/05/2045 | 266,613 |
650,000 | Qatar Government International Bonds, 5.103%, 4/23/2048 | 632,938 |
1,405,000 | Republic of Poland Government International Bonds, 5.500%, 3/18/2054 | 1,360,068 |
200,000 | Republic of South Africa Government International Bonds, 4.850%, 9/30/2029 | 183,056 |
600,000 | Republic of South Africa Government International Bonds, 5.875%, 4/20/2032 | 556,008 |
200,000 | Republic of Uzbekistan International Bonds, 3.700%, 11/25/2030 | 164,253 |
470,000 | Republic of Uzbekistan International Bonds, 5.375%, 5/29/2027, (EUR)(a) | 502,149 |
520,000 | Republic of Uzbekistan International Bonds, 6.900%, 2/28/2032(a) | 504,093 |
220,000 | Republic of Uzbekistan International Bonds, 7.850%, 10/12/2028(a) | 226,923 |
1,356,000 | Romania Government International Bonds, 6.375%, 1/30/2034(a) | 1,359,946 |
480,000 | Serbia International Bonds, 6.000%, 6/12/2034(a) | 471,989 |
915,000 | Turkiye Government International Bonds, 5.875%, 5/21/2030, (EUR) | 981,194 |
1,290,000 | UAE International Government Bonds, 4.857%, 7/02/2034(a) | 1,286,305 |
12,368,881 | ||
Technology — 1.9% | ||
1,740,000 | Broadcom, Inc., 3.137%, 11/15/2035(a) | 1,393,370 |
1,400,000 | Broadcom, Inc., 3.469%, 4/15/2034(a) | 1,193,492 |
20,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 18,067 |
1,010,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(a) | 417,019 |
170,000 | CommScope, Inc., 4.750%, 9/01/2029(a) | 117,844 |
1,450,000 | CommScope, Inc., 7.125%, 7/01/2028(a) | 595,528 |
10,000 | Leidos, Inc., 5.750%, 3/15/2033 | 10,087 |
340,000 | Micron Technology, Inc., 5.875%, 2/09/2033 | 347,329 |
1,595,000 | Micron Technology, Inc., 5.875%, 9/15/2033 | 1,632,187 |
1,390,000 | Motorola Solutions, Inc., 5.400%, 4/15/2034 | 1,377,997 |
10,000 | Open Text Corp., 6.900%, 12/01/2027(a) | 10,379 |
855,000 | TD SYNNEX Corp., 6.100%, 4/12/2034 | 857,378 |
1,415,000 | Trimble, Inc., 6.100%, 3/15/2033 | 1,465,244 |
1,240,000 | Western Digital Corp., 2.850%, 2/01/2029 | 1,076,097 |
10,512,018 | ||
Treasuries — 14.7% | ||
9,499(i ) | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2029, (BRL) | 1,578,383 |
22,064,000,000 | Indonesia Treasury Bonds, Series 101, 6.875%, 4/15/2029, (IDR) | 1,342,542 |
243,781(j ) | Mexico Bonos, Series M, 7.500%, 5/26/2033, (MXN) | 1,146,390 |
2,470,000 | New Zealand Government Bonds, Series 433, 3.500%, 4/14/2033, (NZD) | 1,380,839 |
Principal Amount (‡) | Description | Value (†) |
Treasuries — continued | ||
14,555,000 | Norway Government Bonds, Series 477, 1.750%, 3/13/2025, (NOK) | $1,338,169 |
338,660,000 | Republic of South Africa Government Bonds, Series 2037, 8.500%, 1/31/2037, (ZAR) | 14,617,641 |
1,565,000 | U.K. Gilts, 0.250%, 1/31/2025, (GBP) | 1,931,795 |
18,060,000 | U.S. Treasury Notes, 3.750%, 4/15/2026(k) | 17,736,895 |
2,700,000 | U.S. Treasury Notes, 4.250%, 1/31/2026 | 2,674,055 |
4,295,000 | U.S. Treasury Notes, 4.500%, 11/30/2024(k) | 4,280,697 |
27,660,000 | U.S. Treasury Notes, 4.500%, 3/31/2026 | 27,515,217 |
4,000,000 | U.S. Treasury Notes, 4.875%, 5/31/2026 | 4,008,125 |
27,735,000 | Uruguay Government International Bonds, 8.250%, 5/21/2031, (UYU) | 651,655 |
80,202,403 | ||
Total Non-Convertible Bonds (Identified Cost $499,121,276) | 425,296,395 | |
Convertible Bonds — 3.5% | ||
Airlines — 0.3% | ||
1,625,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 1,626,625 |
Cable Satellite — 0.7% | ||
6,650,000 | DISH Network Corp., 3.375%, 8/15/2026 | 4,124,065 |
Consumer Cyclical Services — 0.2% | ||
160,000 | Booking Holdings, Inc., 0.750%, 5/01/2025 | 336,498 |
450,000 | Uber Technologies, Inc., Series 2028, 0.875%, 12/01/2028(a) | 535,050 |
871,548 | ||
Electric — 0.1% | ||
290,000 | Evergy, Inc., 4.500%, 12/15/2027(a) | 292,320 |
200,000 | NRG Energy, Inc., 2.750%, 6/01/2048 | 383,500 |
675,820 | ||
Financial Other — 0.0% | ||
30,180 | China Aoyuan Group Ltd., Series IAI, Zero Coupon, 28.891%–30.735%, 9/30/2028(h) | 337 |
472,629 | Sunac China Holdings Ltd., 1.000% PIK or 0.000% Cash, 9/30/2032(a)(e) | 28,358 |
28,695 | ||
Healthcare — 0.3% | ||
1,715,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 1,421,215 |
Leisure — 0.4% | ||
1,100,000 | Carnival Corp., 5.750%, 12/01/2027 | 1,794,100 |
115,000 | Royal Caribbean Cruises Ltd., 6.000%, 8/15/2025 | 370,933 |
2,165,033 | ||
Media Entertainment — 0.2% | ||
280,000 | Liberty Media Corp.-Liberty Formula One, 2.250%, 8/15/2027 | 297,160 |
770,000 | Spotify USA, Inc., Zero Coupon, 0.000%, 3/15/2026(l) | 732,655 |
1,029,815 | ||
Pharmaceuticals — 0.5% | ||
2,950,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 2,816,418 |
200,000 | Jazz Investments I Ltd., 2.000%, 6/15/2026 | 192,100 |
3,008,518 | ||
Retailers — 0.3% | ||
525,000 | Etsy, Inc., 0.125%, 9/01/2027 | 438,493 |
1,230,000 | Etsy, Inc., 0.250%, 6/15/2028 | 967,325 |
1,405,818 |
Principal Amount (‡) | Description | Value (†) |
Technology — 0.5% | ||
$170,000 | Datadog, Inc., 0.125%, 6/15/2025 | $246,075 |
190,000 | Nutanix, Inc., 0.250%, 10/01/2027 | 221,540 |
580,000 | ON Semiconductor Corp., 0.500%, 3/01/2029 | 555,640 |
85,000 | Palo Alto Networks, Inc., 0.375%, 6/01/2025 | 289,612 |
320,000 | Shift4 Payments, Inc., 0.500%, 8/01/2027 | 302,240 |
1,295,000 | Unity Software, Inc., Zero Coupon, 7.173%–8.213%, 11/15/2026(h) | 1,115,643 |
170,000 | Zscaler, Inc., 0.125%, 7/01/2025 | 228,216 |
2,958,966 | ||
Total Convertible Bonds (Identified Cost $22,639,734) | 19,316,118 | |
Total Bonds and Notes (Identified Cost $521,761,010) | 444,612,513 | |
Collateralized Loan Obligations — 9.4% | ||
975,000 | 720 East CLO V Ltd., Series 2024-2A, Class C, 3 mo. USD SOFR + 2.200%, 7.533%, 7/20/2037(a)(c) | 975,861 |
1,316,493 | AIMCO CLO 12 Ltd., Series 2020-12A, Class AR, 3 mo. USD SOFR + 1.170%, 6.487%, 1/17/2032(a)(c) | 1,319,464 |
700,000 | AIMCO CLO 16 Ltd., Series 2021-16A, Class BR, 3 mo. USD SOFR + 1.650%, 7.229%, 7/17/2037(a)(c) | 700,000 |
480,000 | Apidos CLO XX Ltd., Series 2015-20A, Class BRR, 3 mo. USD SOFR + 2.212%, 7.539%, 7/16/2031(a)(c) | 481,029 |
3,175,000 | Apidos CLO XXIII Ltd., Series 2015-23A, Class CR, 3 mo. USD SOFR + 2.262%, 7.590%, 4/15/2033(a)(c) | 3,178,623 |
1,660,000 | Ares XXXIX CLO Ltd., Series 2016-39A, Class BR3, 3 mo. USD SOFR + 1.750%, 7.080%, 7/18/2037(a)(c) | 1,659,987 |
1,045,000 | Bain Capital Credit CLO Ltd., Series 2020-1A, Class C1R, 3 mo. USD SOFR + 2.350%, 7.673%, 4/18/2033(a)(c) | 1,046,782 |
915,000 | Bristol Park CLO Ltd., Series 2016-1A, Class CR, 3 mo. USD SOFR + 2.212%, 7.540%, 4/15/2029(a)(c) | 915,854 |
400,000 | Carbone CLO Ltd., Series 2017-1A, Class B, 3 mo. USD SOFR + 2.062%, 7.386%, 1/20/2031(a)(c) | 400,751 |
1,925,000 | Carval CLO X-C Ltd., Series 2024-2A, Class B, 3 mo. USD SOFR + 1.800%, 7.336%, 7/20/2037(a)(c) | 1,925,000 |
730,000 | CIFC Funding Ltd., Series 2013-2A, Class A3LR, 3 mo. USD SOFR + 2.212%, 7.539%, 10/18/2030(a)(c) | 730,249 |
265,000 | CIFC Funding Ltd., Series 2014-2RA, Class A3, 3 mo. USD SOFR + 2.162%, 7.485%, 4/24/2030(a)(c) | 265,624 |
1,750,000 | CIFC Funding Ltd., Series 2017-5A, Class BR, 3 mo. USD SOFR + 1.700%, 7.032%, 7/17/2037(a)(c) | 1,750,000 |
395,000 | Clover CLO LLC, Series 2021-2A, Class A, 3 mo. USD SOFR + 1.432%, 6.756%, 7/20/2034(a)(c) | 395,141 |
250,000 | Dryden 64 CLO Ltd., Series 2018-64A, Class C, 3 mo. USD SOFR + 2.012%, 7.339%, 4/18/2031(a)(c) | 250,270 |
300,000 | Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR, 3 mo. USD SOFR + 2.112%, 7.440%, 4/15/2029(a)(c) | 300,285 |
Principal Amount (‡) | Description | Value (†) |
$1,030,000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class BR, 3 mo. USD SOFR + 2.600%, 7.927%, 11/22/2031(a)(c) | $1,030,967 |
320,000 | GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class C, 3 mo. USD SOFR + 2.162%, 7.486%, 4/20/2030(a)(c) | 320,030 |
435,000 | Golub Capital Partners CLO 41B-R Ltd., Series 2019-41A, Class AR, 3 mo. USD SOFR + 1.582%, 6.906%, 1/20/2034(a)(c) | 435,722 |
815,000 | Golub Capital Partners CLO 74 B Ltd., Series 2024-74A, Class B, 3 mo. USD SOFR + 1.850%, 7.165%, 7/25/2037(a)(c) | 815,711 |
470,000 | Golub Capital Partners CLO 74 B Ltd., Series 2024-74A, Class C, 3 mo. USD SOFR + 2.200%, 7.515%, 7/25/2037(a)(c) | 470,408 |
1,900,000 | Madison Park Funding LIX Ltd., Series 2021-59A, Class CR, 3 mo. USD SOFR + 2.250%, 7.584%, 4/18/2037(a)(c) | 1,907,020 |
600,000 | MidOcean Credit CLO XV Ltd., Series 2024-15A, Class B, 3 mo. USD SOFR + 1.950%, 7.292%, 7/21/2037(a)(c) | 600,593 |
3,300,000 | Neuberger Berman CLO XIV Ltd., Series 2013-14A, Class CR2, 3 mo. USD SOFR + 2.162%, 7.487%, 1/28/2030(a)(c) | 3,298,911 |
575,000 | Neuberger Berman Loan Advisers CLO 45 Ltd., Series 2021-45A, Class A, 3 mo. USD SOFR + 1.392%, 6.720%, 10/14/2035(a)(c) | 575,458 |
920,000 | Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, 3 mo. USD SOFR + 2.162%, 7.486%, 1/22/2030(a)(c) | 920,058 |
1,745,000 | OHA Credit Funding 5 Ltd., Series 2020-5A, Class C, 3 mo. USD SOFR + 2.262%, 7.589%, 4/18/2033(a)(c) | 1,749,021 |
485,000 | OHA Credit Partners XI Ltd., Series 2015-11A, Class B1R2, 3 mo. USD SOFR + 1.800%, 7.125%, 4/20/2037(a)(c) | 485,821 |
1,090,000 | OHA Credit Partners XI Ltd., Series 2015-11A, Class CR2, 3 mo. USD SOFR + 2.200%, 7.525%, 4/20/2037(a)(c) | 1,096,064 |
1,095,000 | OHA Credit Partners XVI, Series 2021-16A, Class A, 3 mo. USD SOFR + 1.412%, 6.739%, 10/18/2034(a)(c) | 1,095,891 |
885,000 | OHA Loan Funding Ltd., Series 2013-1A, Class CR3, 3 mo. USD SOFR + 2.350%, 7.673%, 4/23/2037(a)(c) | 891,814 |
1,535,000 | OHA Loan Funding Ltd., Series 2016-1A, Class CR2, 3 mo. USD SOFR + 2.100%, 7.435%, 7/20/2037(a)(c) | 1,537,970 |
1,945,000 | Palmer Square BDC CLO 1 Ltd., Series 1A, Class B1, 3 mo. USD SOFR + 2.150%, 7.475%, 7/15/2037(a)(c) | 1,965,936 |
300,000 | Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3 mo. USD SOFR + 2.212%, 7.536%, 7/20/2030(a)(c) | 300,103 |
1,650,000 | Palmer Square CLO Ltd., Series 2024-2A, Class B, 3 mo. USD SOFR + 1.650%, 7.605%, 7/20/2037(a)(c) | 1,650,000 |
2,610,000 | Parallel Ltd., Series 2017-1A, Class CR, 3 mo. USD SOFR + 2.262%, 7.586%, 7/20/2029(a)(c) | 2,610,481 |
2,110,000 | Post CLO Ltd., Series 2023-1A, Class A, 3 mo. USD SOFR + 1.950%, 7.275%, 4/20/2036(a)(c) | 2,127,127 |
Principal Amount (‡) | Description | Value (†) |
$2,565,000 | Rockford Tower CLO Ltd., Series 2017-2A, Class CR, 3 mo. USD SOFR + 2.162%, 7.490%, 10/15/2029(a)(c) | $2,565,073 |
1,399,063 | Rockford Tower CLO Ltd., Series 2018-1A, Class A, 3 mo. USD SOFR + 1.362%, 6.687%, 5/20/2031(a)(c) | 1,399,328 |
1,030,000 | Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, 3 mo. USD SOFR + 1.422%, 6.739%, 4/17/2034(a)(c) | 1,031,397 |
1,030,000 | TICP CLO VII Ltd., Series 2017-7A, Class CR, 3 mo. USD SOFR + 2.412%, 7.740%, 4/15/2033(a)(c) | 1,034,241 |
610,000 | TICP CLO XV Ltd., Series 2020-15A, Class C, 3 mo. USD SOFR + 2.412%, 7.736%, 4/20/2033(a)(c) | 611,071 |
895,000 | Verde CLO Ltd., Series 2019-1A, Class AR, 3 mo. USD SOFR + 1.362%, 6.690%, 4/15/2032(a)(c) | 896,513 |
1,055,000 | Wellfleet CLO Ltd., Series 2024-1A, Class B, 3 mo. USD SOFR + 2.050%, 7.372%, 7/18/2037(a)(c) | 1,056,024 |
565,000 | Wellfleet CLO Ltd., Series 2024-1A, Class C, 3 mo. USD SOFR + 2.450%, 7.772%, 7/18/2037(a)(c) | 565,547 |
Total Collateralized Loan Obligations (Identified Cost $50,971,897) | 51,339,220 | |
Senior Loans — 3.0% | ||
Building Materials — 0.2% | ||
299,494 | Foundation Building Materials Holding Co. LLC, 2024 Term Loan B2, 3 mo. USD SOFR + 4.000%, 9.330%, 1/29/2031(c)(m) | 297,748 |
638,400 | Summit Materials LLC, 2023 Incremental Term Loan B, 3 mo. USD SOFR + 2.500%, 7.799%, 1/12/2029(c)(m) | 642,390 |
940,138 | ||
Consumer Cyclical Services — 0.2% | ||
1,330,805 | Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 2.750%, 8.089%, 3/03/2030(c)(m) | 1,336,102 |
Gaming — 0.0% | ||
119,116 | Light & Wonder International, Inc., 2024 Term Loan, 1 mo. USD SOFR + 2.750%, 8.070%, 4/14/2029(c)(m) | 119,031 |
119,116 | Light & Wonder International, Inc., 2024 Term Loan B2, 4/14/2029(n) | 119,032 |
238,063 | ||
Healthcare — 0.4% | ||
914,417 | Bausch & Lomb Corp., 2023 Incremental Term Loan, 1 mo. USD SOFR + 4.000%, 9.344%, 9/29/2028(c)(m) | 911,564 |
1,346,156 | Star Parent, Inc., Term Loan B, 3 mo. USD SOFR + 3.750%, 9.085%, 9/27/2030(c)(m) | 1,344,163 |
2,255,727 | ||
Leisure — 0.3% | ||
1,082,250 | Carnival Corp., 2024 Term Loan B1, 1 mo. USD SOFR + 2.750%, 8.094%, 10/18/2028(c)(m) | 1,083,603 |
514,047 | Carnival Corp., 2024 Term Loan B2, 1 mo. USD SOFR + 2.750%, 8.094%, 8/08/2027(c)(m) | 515,656 |
1,599,259 |
Principal Amount (‡) | Description | Value (†) |
Lodging — 0.2% | ||
$589,989 | Hilton Grand Vacations Borrower LLC, 2024 1st Lien Term Loan B, 1/17/2031(n) | $589,547 |
589,989 | Hilton Grand Vacations Borrower LLC, 2024 Incremental Term Loan B, 1 mo. USD SOFR + 2.750%, 8.094%, 1/17/2031(c)(m) | 589,547 |
1,179,094 | ||
Media Entertainment — 0.1% | ||
539,289 | MH Sub I LLC, 2023 Term Loan, 1 mo. USD SOFR + 4.250%, 9.594%, 5/03/2028(c)(m) | 538,388 |
Property & Casualty Insurance — 0.3% | ||
194,893 | AmWINS Group, Inc., 2021 Term Loan B, 1 mo. USD SOFR + 2.250%, 7.594%, 2/19/2028(c) | 194,636 |
372,067 | HUB International Ltd., 2024 Term Loan B, 3 mo. USD SOFR + 3.250%, 8.575%, 6/20/2030(c)(m) | 372,718 |
777,000 | Truist Insurance Holdings LLC, 1st Lien Term Loan, 3 mo. USD SOFR + 3.250%, 8.585%, 5/06/2031(c)(m) | 777,692 |
1,345,046 | ||
Technology — 1.0% | ||
2,420,000 | GTCR W Merger Sub LLC, 2024 USD Term Loan B, 1/31/2031(n) | 2,419,661 |
2,418,835 | GTCR W Merger Sub LLC, USD Term Loan B, 3 mo. USD SOFR + 3.000%, 8.335%, 1/31/2031(c)(m) | 2,418,497 |
389,198 | Open Text Corp., 2023 Term Loan B, 1 mo. USD SOFR + 2.250%, 7.594%, 1/31/2030(c) | 390,707 |
5,228,865 | ||
Transportation Services — 0.3% | ||
320,813 | Rand Parent LLC, 2023 Term Loan B, 3 mo. USD SOFR + 4.250%, 9.585%, 3/17/2030(c)(m) | 320,999 |
1,521,600 | Rand Parent LLC, 2024 Term Loan B, 3/18/2030(n) | 1,522,482 |
1,843,481 | ||
Total Senior Loans (Identified Cost $16,453,842) | 16,504,163 |
Shares | ||
Common Stocks— 2.2% | ||
Aerospace & Defense — 0.2% | ||
1,838 | Lockheed Martin Corp. | 858,530 |
Air Freight & Logistics — 0.0% | ||
1,267 | United Parcel Service, Inc., Class B | 173,389 |
Banks — 0.1% | ||
933 | JPMorgan Chase & Co. | 188,709 |
Beverages — 0.0% | ||
2,545 | Coca-Cola Co. | 161,989 |
Biotechnology — 0.4% | ||
6,161 | AbbVie, Inc. | 1,056,735 |
11,700 | BioMarin Pharmaceutical, Inc.(g) | 963,261 |
2,019,996 | ||
Capital Markets — 0.0% | ||
81 | BlackRock, Inc. | 63,773 |
695 | Morgan Stanley | 67,547 |
131,320 |
Shares | Description | Value (†) |
Chemicals — 0.0% | ||
196 | Linde PLC | $86,007 |
Communications Equipment — 0.0% | ||
2,934 | Cisco Systems, Inc. | 139,394 |
Construction Materials — 0.3% | ||
257,099 | Cemex SAB de CV, ADR | 1,642,863 |
Consumer Staples Distribution & Retail — 0.1% | ||
163 | Costco Wholesale Corp. | 138,548 |
1,971 | Walmart, Inc. | 133,457 |
272,005 | ||
Containers & Packaging — 0.0% | ||
327 | Packaging Corp. of America | 59,697 |
Electric Utilities — 0.0% | ||
1,735 | Duke Energy Corp. | 173,899 |
Electrical Equipment — 0.0% | ||
733 | Emerson Electric Co. | 80,747 |
Financial Services — 0.0% | ||
288 | Mastercard, Inc., Class A | 127,054 |
Ground Transportation — 0.0% | ||
453 | Union Pacific Corp. | 102,496 |
Health Care Equipment & Supplies — 0.0% | ||
1,447 | Abbott Laboratories | 150,358 |
Health Care Providers & Services — 0.2% | ||
1,658 | Elevance Health, Inc. | 898,404 |
481 | UnitedHealth Group, Inc. | 244,954 |
1,143,358 | ||
Hotels, Restaurants & Leisure — 0.1% | ||
2,457 | Starbucks Corp. | 191,277 |
Household Products — 0.1% | ||
1,184 | Procter & Gamble Co. | 195,265 |
IT Services — 0.0% | ||
106 | Accenture PLC, Class A | 32,161 |
Life Sciences Tools & Services — 0.0% | ||
199 | Thermo Fisher Scientific, Inc. | 110,047 |
Machinery — 0.0% | ||
367 | Deere & Co. | 137,122 |
Media — 0.3% | ||
184,712 | Altice USA, Inc., Class A(g) | 376,812 |
6,473 | Comcast Corp., Class A | 253,483 |
105,953 | Paramount Global, Class B | 1,100,852 |
1,731,147 | ||
Oil, Gas & Consumable Fuels — 0.1% | ||
1,414 | Exxon Mobil Corp. | 162,780 |
3,093 | Williams Cos., Inc. | 131,452 |
294,232 | ||
Pharmaceuticals — 0.1% | ||
4,507 | Bristol-Myers Squibb Co. | 187,176 |
1,406 | Johnson & Johnson | 205,501 |
1,563 | Merck & Co., Inc. | 193,499 |
586,176 | ||
Real Estate Management & Development — 0.0% | ||
84,422 | China Aoyuan Group Ltd.(g) | 1,616 |
Shares | Description | Value (†) |
Semiconductors & Semiconductor Equipment — 0.1% | ||
119 | Broadcom, Inc. | $191,058 |
1,044 | Microchip Technology, Inc. | 95,526 |
1,106 | QUALCOMM, Inc. | 220,293 |
506,877 | ||
Software — 0.0% | ||
421 | Microsoft Corp. | 188,166 |
Specialized REITs — 0.0% | ||
444 | American Tower Corp. | 86,305 |
Specialty Retail — 0.0% | ||
438 | Home Depot, Inc. | 150,777 |
Technology Hardware, Storage & Peripherals — 0.1% | ||
1,530 | Apple, Inc. | 322,249 |
Trading Companies & Distributors — 0.0% | ||
1,340 | Fastenal Co. | 84,206 |
Total Common Stocks (Identified Cost $13,500,220) | 12,129,434 | |
Preferred Stocks — 0.1% | ||
Convertible Preferred Stocks — 0.1% | ||
Brokerage — 0.1% | ||
4,486 | Apollo Global Management, Inc., 6.750% | 294,326 |
Midstream — 0.0% | ||
2,232 | El Paso Energy Capital Trust I, 4.750% | 105,663 |
Total Convertible Preferred Stocks (Identified Cost $381,987) | 399,989 | |
Total Preferred Stocks (Identified Cost $381,987) | 399,989 | |
Other Investments — 0.0% | ||
Aircraft ABS — 0.0% | ||
900 | ECAF I Blocker, Ltd.(b)(o) (Identified Cost $9,000,000) | — |
Total Purchased Options — 0.1% (Identified Cost $1,465,839) (see details below) | 696,681 |
Principal Amount (‡) | ||
Short-Term Investments — 1.4% | ||
$7,783,295 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2024 at 3.500% to be repurchased at $7,785,565 on 7/01/2024 collateralized by $6,354,700 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2026 valued at $7,939,023 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,783,295) | 7,783,295 |
Total Investments — 97.5% (Identified Cost $621,318,090) | 533,465,295 | |
Other assets less liabilities — 2.5% | 13,578,827 | |
Net Assets — 100.0% | $547,044,122 |
Description | Expiration Date | Exercise Price | Contracts | Notional Amount | Cost | Value (†) |
Options on Futures — 0.1% | ||||||
CBOT 5 Year U.S. Treasury Notes, Call | 8/23/2024 | 107.75 | 1,025,000 | $109,242,578 | $570,545 | $304,297 |
CBOT 5 Year U.S. Treasury Notes, Call | 8/23/2024 | 115.25 | 1,025,000 | 109,242,578 | 18,158 | 8,008 |
CBOT 5 Year U.S. Treasury Notes, Put | 8/23/2024 | 99 | 1,025,000 | 109,242,578 | 10,150 | 8,008 |
CBOT 5 Year U.S. Treasury Notes, Put | 8/23/2024 | 105.75 | 1,025,000 | 109,242,578 | 866,986 | 376,368 |
Total | $1,465,839 | $696,681 |
Description | Expiration Date | Exercise Price | Shares/ Contracts (†††) | Notional Amount | Premiums (Received) | Value (†) |
Options on Futures — (0.1%) | ||||||
CBOT 5 Year U.S. Treasury Notes, Call | 8/23/2024 | 108.75 | (2,050,000 ) | $(218,485,156 ) | $(604,309 ) | $(288,281 ) |
CBOT 5 Year U.S. Treasury Notes, Put | 8/23/2024 | 104.75 | (2,050,000 ) | (218,485,156 ) | (908,607 ) | (304,298 ) |
Total | $(1,512,916 ) | $(592,579 ) |
(†) | 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 June 30, 2024, the value of Rule 144A holdings amounted to $289,324,352 or 52.9% of net assets. |
(b) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
(c) | Variable rate security. Rate as of June 30, 2024 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. |
(d) | Perpetual bond with no specified maturity date. |
(e) | 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 June 30, 2024, interest payments were made in principal. |
(f) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(g) | Non-income producing security. |
(h) | 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. |
(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) | 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 0.75%, to which the spread is added. |
(n) | Position is unsettled. Contract rate was not determined at June 30, 2024 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(o) | Securities subject to restriction on resale. At June 30, 2024, 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. |
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 |
BRL | Brazilian Real |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
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 | $699,176 | $697,700 |
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* .S42 | (5.00 %) | 6/20/2029 | 8,185,000 | $(559,425 ) | $(525,909 ) | $33,516 |
CDX.NA.HY* .S42 | (5.00 %) | 6/20/2029 | 23,520,000 | (1,607,535 ) | (1,511,225 ) | 96,310 |
Total | $(2,037,134 ) | $129,826 |
(‡) | 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. | 7/31/2024 | EUR | B | 800,000 | $867,184 | $857,929 | $(9,255 ) |
Bank of America N.A. | 7/31/2024 | EUR | S | 800,000 | 860,616 | 857,929 | 2,687 |
Bank of America N.A. | 9/05/2024 | EUR | S | 2,255,000 | 2,455,830 | 2,422,469 | 33,361 |
Barclays Bank PLC | 7/31/2024 | EUR | B | 1,955,000 | 2,128,296 | 2,096,565 | (31,731 ) |
Barclays Bank PLC | 7/31/2024 | EUR | S | 1,955,000 | 2,104,821 | 2,096,565 | 8,256 |
BNP Paribas SA | 8/16/2024 | ZAR | S | 254,060,000 | 13,685,348 | 13,917,191 | (231,843 ) |
Total | $(228,525 ) |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 2 Year U.S. Treasury Notes Futures | 9/30/2024 | 1,693 | $344,536,654 | $345,742,344 | $1,205,690 |
CBOT 5 Year U.S. Treasury Notes Futures | 9/30/2024 | 326 | 34,490,397 | 34,744,469 | 254,072 |
Total | $1,459,762 |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT U.S. Long Bond Futures | 9/19/2024 | 159 | $18,565,414 | $18,811,688 | $(246,274 ) |
CBOT Ultra Long Term U.S. Treasury Bond Futures | 9/19/2024 | 49 | 6,059,053 | 6,141,844 | (82,791 ) |
Ultra 10-Year U.S. Treasury Notes Futures | 9/19/2024 | 441 | 49,536,656 | 50,067,281 | (530,625 ) |
Total | $(859,690 ) |
Treasuries | 14.7 % |
Non-Agency Commercial Mortgage-Backed Securities | 7.0 |
ABS Home Equity | 5.9 |
ABS Other | 5.2 |
Banking | 4.7 |
ABS Car Loan | 4.2 |
Cable Satellite | 4.0 |
Technology | 3.4 |
Finance Companies | 3.3 |
Pharmaceuticals | 2.8 |
Aerospace & Defense | 2.5 |
Leisure | 2.5 |
ABS Student Loan | 2.4 |
Sovereigns | 2.3 |
Other Investments, less than 2% each | 21.8 |
Collateralized Loan Obligations | 9.4 |
Short-Term Investments | 1.4 |
Total Investments | 97.5 |
Other assets less liabilities (Including open written options, swap agreements, forward foreign currency and futures contracts) | 2.5 |
Net Assets | 100.0 % |
Principal Amount (‡) | Description | Value (†) |
Bonds and Notes — 79.6% of Net Assets | ||
Non-Convertible Bonds — 72.2% | ||
ABS Car Loan — 1.1% | ||
$490,102 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029(a) | $493,625 |
3,750,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class D, 3.040%, 9/22/2025(a) | 3,729,518 |
5,000,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026(a) | 4,801,456 |
715,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class C, 6.480%, 6/20/2030(a) | 720,219 |
1,030,000 | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class C, 6.710%, 7/17/2034(a) | 1,043,992 |
940,000 | First Investors Auto Owner Trust, Series 2022-2A, Class D, 8.710%, 10/16/2028(a) | 980,753 |
7,303,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026(a) | 7,050,541 |
1,295,000 | Hertz Vehicle Financing III LLC, Series 2023-1A, Class 1D, 9.130%, 6/25/2027(a) | 1,291,489 |
1,250,000 | Hertz Vehicle Financing LLC, Series 2022-2A, Class D, 5.160%, 6/26/2028(a) | 1,120,117 |
4,105,000 | Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026(a) | 3,992,548 |
2,810,000 | Prestige Auto Receivables Trust, Series 2022-1A, Class D, 8.080%, 8/15/2028(a) | 2,874,737 |
175,000 | SBNA Auto Receivables Trust, Series 2024-A, Class C, 5.590%, 1/15/2030(a) | 175,053 |
240,000 | SBNA Auto Receivables Trust, Series 2024-A, Class D, 6.040%, 4/15/2030(a) | 240,906 |
200,000 | VStrong Auto Receivables Trust, Series 2024-A, Class D, 7.290%, 7/15/2030(a) | 206,162 |
1,540,000 | Westlake Automobile Receivables Trust, Series 2023-1A, Class D, 6.790%, 11/15/2028(a) | 1,564,771 |
30,285,887 | ||
ABS Credit Card — 0.2% | ||
4,910,000 | Fortiva Retail Credit Master Note Business Trust, Series 2024-ONE, Class B, 9.700%, 11/15/2029(a) | 4,922,908 |
ABS Home Equity — 2.4% | ||
4,389,436 | 510 Asset-Backed Trust, Series 2021-NPL1, Class A1, 5.240%, 6/25/2061(a)(b) | 4,323,843 |
5,350,000 | CoreVest American Finance Ltd., Series 2021-1, Class D, 3.247%, 4/15/2053(a) | 4,371,320 |
1,510,000 | CoreVest American Finance Ltd., Series 2021-3, Class D, 3.469%, 10/15/2054(a) | 1,238,648 |
3,245,000 | CoreVest American Finance Ltd., Series 2023-RTL1, Class A1, 7.553%, 12/28/2030(a)(b) | 3,257,549 |
2,510,000 | Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2, 3.125%, 10/25/2060(a) | 1,905,357 |
Principal Amount (‡) | Description | Value (†) |
ABS Home Equity — continued | ||
$7,660,000 | FirstKey Homes Trust, Series 2020-SFR1, Class F2, 4.284%, 8/17/2037(a) | $7,405,501 |
5,405,000 | GITSIT Mortgage Loan Trust, Series 2024-NPL1, Class A1, 7.466%, 6/25/2054(a)(b) | 5,406,589 |
8,303,141 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026(a) | 7,545,396 |
4,151,570 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026(a) | 3,770,680 |
2,547,542 | PRPM LLC, Series 2021-4, Class A2, 6.474%, 4/25/2026(a)(b) | 2,447,963 |
3,935,463 | PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026(a)(b) | 3,873,111 |
2,885,853 | PRPM LLC, Series 2024-2, Class A1, 7.026%, 3/25/2029(a)(b) | 2,892,505 |
1,843,273 | RCO VII Mortgage LLC, Series 2024-1, Class A1, 7.021%, 1/25/2029(a)(b) | 1,833,454 |
731,292 | Redwood Funding Trust, Series 2023-1, Class A, 7.500%, 7/25/2059(a)(b) | 717,459 |
800,000 | Toorak Mortgage Trust, Series 2024-RRTL1, Class A1, 6.597%, 2/25/2039(a)(b) | 799,252 |
1,120,000 | Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057(a)(b) | 952,961 |
795,000 | Towd Point Mortgage Trust, Series 2019-4, Class M1, 3.500%, 10/25/2059(a)(b) | 682,949 |
3,970,000 | VCAT LLC, Series 2021-NPL5, Class A2, 3.844%, 8/25/2051(a)(b) | 3,703,430 |
7,865,000 | VCAT LLC, Series 2021-NPL6, Class A2, 3.967%, 9/25/2051(a)(b) | 7,316,125 |
64,444,092 | ||
ABS Other — 3.1% | ||
2,575,424 | AASET Trust, Series 2021-2A, Class B, 3.538%, 1/15/2047(a) | 2,268,317 |
1,215,000 | BHG Securitization Trust, Series 2024-1CON, Class B, 6.490%, 4/17/2035(a) | 1,221,953 |
330,000 | BHG Securitization Trust, Series 2024-1CON, Class C, 6.860%, 4/17/2035(a) | 332,007 |
1,640,065 | Castlelake Aircraft Securitization Trust, Series 2018-1, Class B, 5.300%, 6/15/2043(a) | 1,297,373 |
6,289,722 | Clsec Holdings 22t LLC, Series 2021-1, Class C, 6.171%, 5/11/2037(a) | 5,602,186 |
284,586 | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class C, 2.090%, 8/27/2035(a) | 262,507 |
550,000 | Foundation Finance Trust, Series 2023-2A, Class D, 9.100%, 6/15/2049(a) | 566,671 |
10,435,000 | Frontier Issuer LLC, Series 2023-1, Class A2, 6.600%, 8/20/2053(a) | 10,518,814 |
9,250,000 | Frontier Issuer LLC, Series 2024-1, Class C, 11.160%, 6/20/2054(a) | 9,233,017 |
733,699 | Hilton Grand Vacations Trust, Series 2024-1B, Class D, 8.850%, 9/15/2039(a) | 746,158 |
44,851 | HIN Timeshare Trust, Series 2020-A, Class C, 3.420%, 10/09/2039(a) | 41,970 |
2,392,114 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B, 3.432%, 10/15/2046(a) | 2,115,537 |
5,564,522 | MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046(a) | 5,009,517 |
Principal Amount (‡) | Description | Value (†) |
ABS Other — continued | ||
$690,000 | Marlette Funding Trust, Series 2024-1A, Class B, 6.070%, 7/17/2034(a) | $694,273 |
4,285,000 | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A, 6.560%, 7/20/2029(a) | 4,298,232 |
505,000 | MetroNet Infrastructure Issuer LLC, Series 2024-1A, Class A2, 6.230%, 4/20/2054(a) | 510,352 |
12,045,104 | Navigator Aircraft ABS Ltd., Series 2021-1, Class B, 3.571%, 11/15/2046(a)(b) | 10,830,115 |
1,930,000 | SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032(a) | 1,957,153 |
440,000 | SCF Equipment Leasing LLC, Series 2024-1A, Class C, 5.820%, 9/20/2032(a) | 444,683 |
435,000 | SCF Equipment Leasing LLC, Series 2024-1A, Class D, 6.580%, 6/21/2033(a) | 437,349 |
3,000,000 | SEB Funding LLC, Series 2024-1A, Class A2, 7.386%, 4/30/2054(a) | 3,046,449 |
685,737 | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042(a) | 648,173 |
9,018,750 | Slam Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046(a) | 8,083,722 |
375,000 | Stream Innovations Issuer Trust, Series 2024-1A, Class A, 6.270%, 7/15/2044(a) | 374,645 |
2,605,000 | Trafigura Securitisation Finance PLC, Series 2024-1A, Class B, 7.290%, 11/15/2027(a) | 2,622,438 |
8,319,059 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 5/15/2046(a) | 7,387,449 |
3,900,000 | Ziply Fiber Issuer LLC, Series 2024-1A, Class A2, 6.640%, 4/20/2054(a) | 3,969,908 |
84,520,968 | ||
ABS Student Loan — 0.2% | ||
805,616 | Ascent Education Funding Trust, Series 2024-A, Class A, 6.140%, 10/25/2050(a) | 811,033 |
495,000 | Ascent Education Funding Trust, Series 2024-A, Class C, 8.010%, 10/25/2050(a) | 491,724 |
3,835,000 | College Ave Student Loans LLC, Series 2024-B, Class B, 6.080%, 8/25/2054(a) | 3,842,229 |
5,144,986 | ||
ABS Whole Business — 1.0% | ||
5,925,000 | Applebee's Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053(a) | 6,125,757 |
1,492,500 | FOCUS Brands Funding, Series 2023-2, Class A2, 8.241%, 10/30/2053(a) | 1,579,675 |
2,255,250 | Hardee's Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051(a) | 1,937,164 |
1,017,450 | Hardee's Funding LLC, Series 2024-1A, Class A2, 7.253%, 3/20/2054(a) | 1,041,400 |
749,675 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049(a) | 687,333 |
131,963 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051(a) | 123,853 |
Principal Amount (‡) | Description | Value (†) |
ABS Whole Business — continued | ||
$6,760,000 | Planet Fitness Master Issuer LLC, Series 2024-1A, Class A2I, 5.765%, 6/05/2054(a) | $6,761,244 |
7,855,000 | Subway Funding LLC, Series 2024-1A, Class A2I, 6.028%, 7/30/2054(a) | 7,922,616 |
26,179,042 | ||
Aerospace & Defense — 1.5% | ||
7,895,000 | Boeing Co., 3.625%, 2/01/2031 | 6,909,905 |
6,165,000 | Boeing Co., 5.150%, 5/01/2030 | 5,920,163 |
5,645,000 | Boeing Co., 5.705%, 5/01/2040 | 5,204,491 |
14,665,000 | Boeing Co., 5.805%, 5/01/2050 | 13,216,098 |
345,000 | Boeing Co., 5.930%, 5/01/2060 | 308,448 |
1,585,000 | Boeing Co., 6.388%, 5/01/2031(a) | 1,613,620 |
1,480,000 | Boeing Co., 6.528%, 5/01/2034(a) | 1,515,371 |
4,425,000 | Boeing Co., 6.858%, 5/01/2054(a) | 4,540,811 |
2,360,000 | Boeing Co., 7.008%, 5/01/2064(a) | 2,416,333 |
41,645,240 | ||
Airlines — 0.0% | ||
872,290 | American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 839,055 |
459,448 | American Airlines Pass-Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 447,130 |
1,286,185 | ||
Automotive — 0.6% | ||
6,445,000 | General Motors Financial Co., Inc., 6.400%, 1/09/2033 | 6,688,957 |
2,080,000 | ZF North America Capital, Inc., 6.750%, 4/23/2030(a) | 2,118,357 |
2,055,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028(a) | 2,095,833 |
3,165,000 | ZF North America Capital, Inc., 6.875%, 4/23/2032(a) | 3,272,151 |
2,170,000 | ZF North America Capital, Inc., 7.125%, 4/14/2030(a) | 2,245,104 |
16,420,402 | ||
Banking — 3.7% | ||
11,885,000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(c) | 9,979,882 |
9,000,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 7,731,397 |
14,295,000 | Credit Agricole SA, (fixed rate to 1/10/2034, variable rate thereafter), 6.251%, 1/10/2035(a) | 14,380,874 |
8,240,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 6,777,631 |
16,322,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 13,761,497 |
1,709,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 1,607,247 |
5,690,000 | Intesa Sanpaolo SpA, 7.200%, 11/28/2033(a) | 6,099,794 |
11,025,000 | Morgan Stanley, (fixed rate to 1/19/2033, variable rate thereafter), 5.948%, 1/19/2038 | 10,960,769 |
3,695,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(a) | 4,453,425 |
5,405,000 | UBS Group AG, (fixed rate to 2/08/2034, variable rate thereafter), 5.699%, 2/08/2035(a) | 5,399,488 |
Principal Amount (‡) | Description | Value (†) |
Banking — continued | ||
$325,000 | UBS Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032(a) | $277,227 |
5,370,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033(a) | 5,637,587 |
14,800,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(a) | 13,864,267 |
100,931,085 | ||
Brokerage — 0.4% | ||
7,080,000 | Jefferies Financial Group, Inc., 6.200%, 4/14/2034 | 7,170,761 |
3,893,000 | Jefferies Financial Group, Inc., 6.250%, 1/15/2036 | 3,931,180 |
11,101,941 | ||
Building Materials — 1.4% | ||
29,325,000 | Cemex SAB de CV, 3.875%, 7/11/2031(a) | 25,854,700 |
1,985,000 | Cemex SAB de CV, (fixed rate to 3/14/2028, variable rate thereafter), 9.125%(a)(c) | 2,117,578 |
10,470,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%(a)(c) | 10,061,624 |
38,033,902 | ||
Cable Satellite — 5.8% | ||
34,275,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(a) | 26,016,700 |
6,555,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032(a) | 5,368,352 |
7,180,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 5,537,318 |
17,890,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 14,621,822 |
16,530,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.700%, 4/01/2051 | 10,051,762 |
920,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.850%, 4/01/2061 | 537,205 |
31,240,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 | 18,507,914 |
4,025,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 3,548,210 |
6,425,000 | CSC Holdings LLC, 3.375%, 2/15/2031(a) | 4,009,777 |
1,075,000 | CSC Holdings LLC, 4.125%, 12/01/2030(a) | 694,821 |
415,000 | CSC Holdings LLC, 4.500%, 11/15/2031(a) | 267,767 |
48,110,000 | CSC Holdings LLC, 4.625%, 12/01/2030(a) | 17,521,763 |
5,540,000 | CSC Holdings LLC, 5.000%, 11/15/2031(a) | 2,008,304 |
14,005,000 | CSC Holdings LLC, 5.375%, 2/01/2028(a) | 10,640,584 |
1,360,000 | CSC Holdings LLC, 5.750%, 1/15/2030(a) | 513,329 |
3,705,000 | Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.875%, 8/15/2027(a) | 3,484,873 |
6,470,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 2,562,188 |
22,190,000 | DISH DBS Corp., 5.250%, 12/01/2026(a) | 17,503,299 |
6,575,000 | DISH DBS Corp., 5.750%, 12/01/2028(a) | 4,558,536 |
15,865,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 9,848,446 |
157,802,970 |
Principal Amount (‡) | Description | Value (†) |
Chemicals — 0.9% | ||
$10,887,000 | Ashland, Inc., 3.375%, 9/01/2031(a) | $9,161,164 |
1,320,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030(a) | 1,116,151 |
4,275,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050(a) | 3,158,345 |
11,235,000 | Celanese U.S. Holdings LLC, 6.700%, 11/15/2033 | 11,806,295 |
25,241,955 | ||
Construction Machinery — 0.5% | ||
1,530,000 | Ashtead Capital, Inc., 5.500%, 8/11/2032(a) | 1,492,666 |
2,140,000 | Ashtead Capital, Inc., 5.550%, 5/30/2033(a) | 2,085,138 |
2,870,000 | Ashtead Capital, Inc., 5.800%, 4/15/2034(a) | 2,848,182 |
6,985,000 | United Rentals North America, Inc., 6.125%, 3/15/2034(a) | 6,959,523 |
13,385,509 | ||
Consumer Cyclical Services — 0.8% | ||
2,145,000 | TriNet Group, Inc., 3.500%, 3/01/2029(a) | 1,909,261 |
8,665,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(a) | 8,255,923 |
10,815,000 | Uber Technologies, Inc., 6.250%, 1/15/2028(a) | 10,827,708 |
20,992,892 | ||
Diversified Manufacturing — 0.2% | ||
5,730,000 | EMRLD Borrower LP / Emerald Co-Issuer, Inc., 6.750%, 7/15/2031(a) | 5,801,625 |
Electric — 0.8% | ||
18,352,767 | Alta Wind Holdings LLC, 7.000%, 6/30/2035(a) | 18,242,786 |
3,375,000 | Duke Energy Corp., 5.450%, 6/15/2034 | 3,335,879 |
21,578,665 | ||
Finance Companies — 4.6% | ||
4,030,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 3,462,642 |
2,395,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.400%, 10/29/2033 | 2,008,900 |
3,555,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.150%, 9/30/2030 | 3,675,275 |
10,600,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(c) | 10,061,717 |
2,570,000 | Aircastle Ltd., 5.950%, 2/15/2029(a) | 2,569,261 |
3,585,000 | Aircastle Ltd., Series A, (fixed rate to 6/15/2026, variable rate thereafter), 5.250%(a)(c) | 3,456,446 |
4,150,000 | Aviation Capital Group LLC, 6.250%, 4/15/2028(a) | 4,232,959 |
8,650,000 | Aviation Capital Group LLC, 6.750%, 10/25/2028(a) | 9,014,664 |
7,175,000 | Blue Owl Capital Corp., 2.875%, 6/11/2028 | 6,346,524 |
400,000 | Macquarie Airfinance Holdings Ltd., 6.400%, 3/26/2029(a) | 406,766 |
860,000 | Macquarie Airfinance Holdings Ltd., 6.500%, 3/26/2031(a) | 884,350 |
2,920,000 | Nationstar Mortgage Holdings, Inc., 5.000%, 2/01/2026(a) | 2,857,988 |
2,210,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030(a) | 2,026,550 |
4,855,000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028(a) | 4,665,280 |
Principal Amount (‡) | Description | Value (†) |
Finance Companies — continued | ||
$2,301,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | $2,155,915 |
555,000 | OneMain Finance Corp., 3.875%, 9/15/2028 | 497,626 |
4,720,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 4,050,901 |
2,025,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 1,899,157 |
4,075,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 4,140,824 |
11,740,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(a) | 10,963,831 |
8,865,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(a) | 8,041,668 |
33,040,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(a) | 28,793,795 |
9,630,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(a) | 8,115,095 |
124,328,134 | ||
Financial Other — 1.1% | ||
758,051 | Add Hero Holdings Ltd., Series IAI, 8.500% PIK or 7.500% Cash, 9/30/2029(d) | 36,007 |
584,513 | Add Hero Holdings Ltd., Series IAI, 9.000% PIK or 8.000% Cash, 9/30/2030(d) | 12,362 |
762,777 | Add Hero Holdings Ltd., Series IAI, 9.800% PIK or 8.800% Cash, 9/30/2031(d) | 16,133 |
1,650,000 | Agile Group Holdings Ltd., 5.500%, 4/21/2025(e) | 111,177 |
1,120,000 | Agile Group Holdings Ltd., 5.500%, 5/17/2026(e) | 74,010 |
1,225,000 | Agile Group Holdings Ltd., 5.750%, 1/02/2025(e) | 82,651 |
6,150,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025(e) | 399,811 |
4,720,000 | Central China Real Estate Ltd., 7.250%, 7/16/2024(e) | 110,118 |
1,260,000 | Central China Real Estate Ltd., 7.250%, 8/13/2024(e) | 31,500 |
1,957,000 | Central China Real Estate Ltd., 7.250%, 4/28/2025(e) | 48,925 |
3,260,000 | Central China Real Estate Ltd., 7.500%, 7/14/2025(e) | 81,500 |
4,415,000 | Central China Real Estate Ltd., 7.650%, 8/27/2025(e) | 110,375 |
1,305,000 | Central China Real Estate Ltd., 7.750%, 5/24/2024(e) | 29,363 |
6,815,475 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(a)(f) | 241,200 |
8,274,825 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(a)(f) | 230,040 |
833,252 | CFLD Cayman Investment Ltd., Zero Coupon, 0.000%–28.181%, 1/31/2031(a)(g) | 16,665 |
435,525 | China Aoyuan Group Ltd., Series IAI, 5.500% PIK or 0.000% Cash, 9/30/2031(d) | 3,706 |
1,155,773 | China Aoyuan Group Ltd., Series IAI, Zero Coupon, 0.000%–1.370%(c)(g) | 8,229 |
1,800,000 | China Evergrande Group, 8.250%, 3/23/2022(e) | 34,704 |
4,045,000 | China Evergrande Group, 8.750%, 6/28/2025(e) | 50,563 |
1,405,000 | China Evergrande Group, 9.500%, 4/11/2022(e) | 21,314 |
335,000 | China Evergrande Group, 9.500%, 3/29/2024(e) | 4,188 |
4,060,000 | CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026(e) | 436,450 |
Principal Amount (‡) | Description | Value (†) |
Financial Other — continued | ||
$24,490,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | $20,939,966 |
895,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 840,068 |
6,925,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(e) | 225,062 |
1,415,000 | Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(e) | 43,271 |
1,600,000 | Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(e) | 52,000 |
8,085,000 | Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(e) | 262,762 |
7,075,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(e) | 229,937 |
4,795,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(e) | 150,084 |
1,380,000 | KWG Group Holdings Ltd., 6.000%, 8/14/2026(e) | 83,421 |
3,760,000 | KWG Group Holdings Ltd., 6.300%, 2/13/2026(e) | 193,866 |
3,345,000 | Logan Group Co. Ltd., 4.250%, 7/12/2025(e) | 286,399 |
1,320,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(e) | 109,811 |
2,880,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(e) | 131,414 |
400,000 | Shimao Group Holdings Ltd., 4.600%, 7/13/2030(e) | 20,200 |
1,830,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(e) | 80,978 |
280,000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026(e) | 12,754 |
1,970,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(e) | 94,678 |
1,531,104 | Sunac China Holdings Ltd., 6.000% PIK or 5.000% Cash, 9/30/2026(a)(d) | 198,140 |
1,532,962 | Sunac China Holdings Ltd., 6.250% PIK or 5.250% Cash, 9/30/2027(a)(d) | 177,333 |
3,069,643 | Sunac China Holdings Ltd., 6.500% PIK or 5.500% Cash, 9/30/2027(a)(d) | 325,167 |
4,610,042 | Sunac China Holdings Ltd., 6.750% PIK or 5.750% Cash, 9/30/2028(a)(d) | 467,965 |
4,615,617 | Sunac China Holdings Ltd., 7.000% PIK or 6.000% Cash, 9/30/2029(a)(d) | 403,866 |
2,170,762 | Sunac China Holdings Ltd., 7.250% PIK or 6.250% Cash, 9/30/2030(a)(d) | 180,542 |
720,000 | Times China Holdings Ltd., 5.750%, 1/14/2027(e) | 16,524 |
4,030,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(e) | 85,476 |
23,285,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(e) | 1,320,259 |
1,245,000 | Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(e) | 71,040 |
9,395,000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(e) | 530,911 |
5,345,000 | Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(e) | 300,389 |
3,155,000 | Yuzhou Group Holdings Co. Ltd., 8.300%, 5/27/2025(e) | 181,413 |
4,535,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(e) | 36,734 |
Principal Amount (‡) | Description | Value (†) |
Financial Other — continued | ||
$365,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(e) | $2,821 |
715,000 | Zhenro Properties Group Ltd., 7.350%, 2/05/2025(e) | 894 |
30,247,136 | ||
Food & Beverage — 0.6% | ||
11,860,000 | Pilgrim's Pride Corp., 3.500%, 3/01/2032 | 10,086,219 |
7,245,000 | Post Holdings, Inc., 4.500%, 9/15/2031(a) | 6,494,033 |
16,580,252 | ||
Gaming — 0.5% | ||
3,845,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 3,231,115 |
9,165,000 | Light & Wonder International, Inc., 7.000%, 5/15/2028(a) | 9,212,355 |
12,443,470 | ||
Government Owned - No Guarantee — 0.7% | ||
495,000 | Antares Holdings LP, 2.750%, 1/15/2027(a) | 449,698 |
585,000 | Antares Holdings LP, 3.750%, 7/15/2027(a) | 535,356 |
3,530,000 | Ecopetrol SA, 8.375%, 1/19/2036 | 3,467,330 |
6,586,000 | Petroleos Mexicanos, 6.625%, 6/15/2035 | 5,007,415 |
12,239,000 | Petroleos Mexicanos, 6.950%, 1/28/2060 | 8,096,772 |
17,556,571 | ||
Health Insurance — 0.2% | ||
880,000 | Molina Healthcare, Inc., 3.875%, 11/15/2030(a) | 782,324 |
4,280,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032(a) | 3,708,602 |
4,490,926 | ||
Healthcare — 0.1% | ||
2,800,000 | Bausch & Lomb Corp., 8.375%, 10/01/2028(a) | 2,866,500 |
Independent Energy — 2.5% | ||
1,835,000 | Civitas Resources, Inc., 8.625%, 11/01/2030(a) | 1,967,524 |
11,400,000 | Continental Resources, Inc., 2.875%, 4/01/2032(a) | 9,205,807 |
24,431,000 | Continental Resources, Inc., 5.750%, 1/15/2031(a) | 24,022,379 |
6,210,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028 | 5,502,060 |
8,120,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031 | 6,880,888 |
550,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025 | 531,888 |
5,050,000 | Leviathan Bond Ltd., 6.500%, 6/30/2027 | 4,714,377 |
2,715,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 2,826,400 |
1,200,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 1,307,316 |
6,800,000 | Permian Resources Operating LLC, 5.875%, 7/01/2029(a) | 6,695,878 |
17,908,000 | Sanchez Energy Corp., 6.125%, 1/15/2023(e) | 761,090 |
9,520,000 | Sanchez Energy Corp., 7.750%, 6/15/2021(e) | 404,600 |
1,295,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 1,191,303 |
1,990,000 | Viper Energy, Inc., 7.375%, 11/01/2031(a) | 2,061,019 |
68,072,529 | ||
Leisure — 2.0% | ||
8,710,000 | Carnival Corp., 5.750%, 3/01/2027(a) | 8,604,809 |
6,065,000 | Carnival Corp., 6.000%, 5/01/2029(a) | 5,991,127 |
1,050,000 | Carnival Corp., 7.000%, 8/15/2029(a) | 1,088,417 |
6,575,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(a) | 6,500,196 |
5,085,000 | NCL Corp. Ltd., 5.875%, 2/15/2027(a) | 5,019,556 |
Principal Amount (‡) | Description | Value (†) |
Leisure — continued | ||
$4,990,000 | NCL Corp. Ltd., 8.125%, 1/15/2029(a) | $5,228,285 |
2,415,000 | NCL Finance Ltd., 6.125%, 3/15/2028(a) | 2,384,895 |
230,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026(a) | 222,593 |
12,300,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(a) | 12,143,098 |
2,570,000 | Royal Caribbean Cruises Ltd., 6.250%, 3/15/2032(a) | 2,591,591 |
4,960,000 | VOC Escrow Ltd., 5.000%, 2/15/2028(a) | 4,808,154 |
54,582,721 | ||
Life Insurance — 1.3% | ||
20,000,000 | National Life Insurance Co., 10.500%, 9/15/2039(a) | 25,021,200 |
8,920,000 | NLV Financial Corp., 7.500%, 8/15/2033(a) | 9,475,805 |
34,497,005 | ||
Lodging — 0.9% | ||
1,245,000 | Choice Hotels International, Inc., 5.850%, 8/01/2034 | 1,227,082 |
1,745,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.875%, 7/01/2031(a) | 1,544,779 |
5,385,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.000%, 6/01/2029(a) | 5,021,238 |
4,155,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(a) | 3,817,845 |
12,700,000 | Travel & Leisure Co., 4.500%, 12/01/2029(a) | 11,700,622 |
23,311,566 | ||
Media Entertainment — 1.3% | ||
1,550,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028(a) | 785,102 |
5,275,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027(a) | 2,800,768 |
14,565,000 | Netflix, Inc., 4.875%, 6/15/2030(a) | 14,335,973 |
10,269,000 | Paramount Global, 4.375%, 3/15/2043 | 6,807,912 |
2,741,000 | Paramount Global, 5.850%, 9/01/2043 | 2,155,519 |
8,715,000 | Paramount Global, 6.875%, 4/30/2036 | 8,161,040 |
35,046,314 | ||
Metals & Mining — 3.2% | ||
555,000 | Anglo American Capital PLC, 5.500%, 5/02/2033(a) | 543,306 |
14,335,000 | ArcelorMittal SA, 6.750%, 3/01/2041 | 14,621,677 |
21,335,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027(a) | 20,843,363 |
17,930,000 | Glencore Funding LLC, 5.700%, 5/08/2033(a) | 17,862,597 |
25,185,000 | Glencore Funding LLC, 6.500%, 10/06/2033(a) | 26,234,714 |
6,230,000 | JSW Steel Ltd., 5.050%, 4/05/2032(a) | 5,477,945 |
85,583,602 | ||
Midstream — 1.1% | ||
2,300,000 | Cheniere Energy Partners LP, 3.250%, 1/31/2032 | 1,963,107 |
1,530,000 | Cheniere Energy Partners LP, 4.000%, 3/01/2031 | 1,391,384 |
3,185,000 | Cheniere Energy Partners LP, 5.950%, 6/30/2033 | 3,229,411 |
14,185,000 | CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.500%, 6/15/2031(a) | 13,446,329 |
2,530,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030(a) | 2,322,311 |
Principal Amount (‡) | Description | Value (†) |
Midstream — continued | ||
$6,105,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(a) | $5,202,111 |
3,215,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(a) | 2,885,031 |
30,439,684 | ||
Non-Agency Commercial Mortgage-Backed Securities — 2.0% | ||
335,000 | BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036(a) | 249,427 |
7,375,000 | BPR Trust, Series 2021-NRD, Class F, 1 mo. USD SOFR + 6.870%, 12.199%, 12/15/2038(a)(b) | 7,005,748 |
8,597,541 | Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C, 5.107%, 9/10/2045(a)(b) | 7,737,760 |
90,829 | Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a) | 87,383 |
2,925,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037(a) | 2,451,858 |
1,690,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037(a) | 1,284,589 |
3,755,000 | DC Commercial Mortgage Trust, Series 2023-DC, Class C, 7.379%, 9/12/2040(a)(b) | 3,824,862 |
1,252,652 | GS Mortgage Securities Corp. Trust, Series 2013-G1, Class B, 3.845%, 4/10/2031(a)(b) | 1,153,459 |
7,680,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class C, 3.668%, 3/05/2033(a)(b) | 5,173,001 |
5,785,000 | GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.790%, 6/10/2047(a)(b) | 1,726,039 |
290,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 3.686%, 12/15/2047(a)(b) | 250,948 |
3,110,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C, 3.958%, 4/15/2046(b) | 2,182,908 |
3,990,847 | Med Trust, Series 2021-MDLN, Class C, 1 mo. USD SOFR + 1.914%, 7.244%, 11/15/2038(a)(b) | 3,989,593 |
1,135,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.213%, 8/15/2046(b) | 693,479 |
1,917,007 | Morgan Stanley Capital I Trust, Series 2012-C4, Class D, 5.336%, 3/15/2045(a)(b) | 1,777,624 |
3,643,541 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.083%, 7/15/2046(b) | 3,344,739 |
3,459,438 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class B, 4.322%, 8/15/2050 | 3,224,160 |
774,624 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045 | 733,591 |
4,000,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.328%, 8/15/2046(b) | 3,502,148 |
Principal Amount (‡) | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$2,612,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C, 4.328%, 8/15/2046(b) | $2,026,909 |
940,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 820,333 |
53,240,558 | ||
Other REITs — 0.1% | ||
2,735,000 | EPR Properties, 3.600%, 11/15/2031 | 2,280,113 |
Pharmaceuticals — 3.0% | ||
24,015,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(a) | 17,971,865 |
7,750,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 7,606,242 |
4,695,000 | Teva Pharmaceutical Finance Netherlands II BV, 7.375%, 9/15/2029, (EUR) | 5,562,349 |
3,990,000 | Teva Pharmaceutical Finance Netherlands II BV, 7.875%, 9/15/2031, (EUR) | 4,918,543 |
22,790,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 15,917,778 |
7,360,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 7,092,522 |
8,725,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 8,393,176 |
7,055,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 7,577,536 |
5,070,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 5,637,122 |
80,677,133 | ||
Property & Casualty Insurance — 0.0% | ||
12,510,000 | MBIA Insurance Corp., 3 mo. USD SOFR + 11.522%, 16.850%, 1/15/2033(a)(f) | 625,500 |
Retailers — 0.4% | ||
3,325,000 | Dillard's, Inc., 7.000%, 12/01/2028 | 3,435,689 |
1,500,000 | Dillard's, Inc., 7.750%, 7/15/2026 | 1,551,330 |
7,580,000 | Lithia Motors, Inc., 3.875%, 6/01/2029(a) | 6,816,088 |
11,803,107 | ||
Sovereigns — 4.6% | ||
6,865,000 | Chile Government International Bonds, 3.500%, 1/31/2034 | 5,947,525 |
4,875,000 | Chile Government International Bonds, 3.500%, 1/25/2050 | 3,499,498 |
4,330,000 | Colombia Government International Bonds, 7.500%, 2/02/2034 | 4,331,467 |
8,875,000 | Colombia Government International Bonds, 8.000%, 11/14/2035 | 9,124,056 |
5,890,000 | Dominican Republic International Bonds, 4.875%, 9/23/2032 | 5,269,373 |
2,900,000 | Dominican Republic International Bonds, 6.600%, 6/01/2036(a) | 2,884,671 |
3,190,000 | Paraguay Government International Bonds, 6.000%, 2/09/2036(a) | 3,188,628 |
4,410,000 | Philippines Government International Bonds, 2.650%, 12/10/2045 | 2,891,725 |
5,650,000 | Philippines Government International Bonds, 2.950%, 5/05/2045 | 3,912,625 |
5,080,000 | Qatar Government International Bonds, 5.103%, 4/23/2048 | 4,946,650 |
3,480,000 | Republic of Poland Government International Bonds, 5.500%, 4/04/2053 | 3,411,113 |
Principal Amount (‡) | Description | Value (†) |
Sovereigns — continued | ||
$14,355,000 | Republic of Poland Government International Bonds, 5.500%, 3/18/2054 | $13,895,927 |
2,260,000 | Republic of South Africa Government International Bonds, 4.850%, 9/30/2029 | 2,068,533 |
6,270,000 | Republic of South Africa Government International Bonds, 5.875%, 4/20/2032 | 5,810,284 |
695,000 | Republic of Uzbekistan International Bonds, 3.700%, 11/25/2030 | 570,781 |
1,540,000 | Republic of Uzbekistan International Bonds, 3.900%, 10/19/2031 | 1,250,575 |
4,575,000 | Republic of Uzbekistan International Bonds, 5.375%, 5/29/2027, (EUR)(a) | 4,887,937 |
200,000 | Republic of Uzbekistan International Bonds, 5.375%, 2/20/2029 | 186,476 |
4,395,000 | Republic of Uzbekistan International Bonds, 6.900%, 2/28/2032(a) | 4,260,557 |
2,210,000 | Republic of Uzbekistan International Bonds, 7.850%, 10/12/2028(a) | 2,279,549 |
9,190,000 | Romania Government International Bonds, 6.375%, 1/30/2034(a) | 9,216,743 |
4,596,000 | Romania Government International Bonds, 7.125%, 1/17/2033 | 4,839,671 |
4,610,000 | Serbia International Bonds, 6.000%, 6/12/2034(a) | 4,533,059 |
9,700,000 | Turkiye Government International Bonds, 5.875%, 5/21/2030, (EUR) | 10,401,724 |
12,225,000 | UAE International Government Bonds, 4.857%, 7/02/2034(a) | 12,189,988 |
125,799,135 | ||
Technology — 2.6% | ||
3,195,000 | Block, Inc., 3.500%, 6/01/2031 | 2,756,184 |
6,895,000 | Broadcom, Inc., 3.137%, 11/15/2035(a) | 5,521,430 |
1,255,000 | Broadcom, Inc., 3.419%, 4/15/2033(a) | 1,081,997 |
6,790,000 | Broadcom, Inc., 3.469%, 4/15/2034(a) | 5,788,434 |
7,825,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 6,834,445 |
9,205,000 | CommScope, Inc., 4.750%, 9/01/2029(a) | 6,380,906 |
1,215,000 | Everi Holdings, Inc., 5.000%, 7/15/2029(a) | 1,195,276 |
8,790,000 | Iron Mountain, Inc., 4.875%, 9/15/2029(a) | 8,283,150 |
13,040,000 | Micron Technology, Inc., 5.875%, 9/15/2033 | 13,344,021 |
5,200,000 | Sensata Technologies BV, 4.000%, 4/15/2029(a) | 4,774,122 |
655,000 | Sensata Technologies BV, 5.875%, 9/01/2030(a) | 641,437 |
600,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(a) | 522,959 |
7,740,000 | Sensata Technologies, Inc., 6.625%, 7/15/2032(a) | 7,795,364 |
4,340,000 | UKG, Inc., 6.875%, 2/01/2031(a) | 4,394,380 |
69,314,105 | ||
Transportation Services — 0.3% | ||
8,440,000 | Rand Parent LLC, 8.500%, 2/15/2030(a) | 8,536,722 |
Treasuries — 14.2% | ||
100,917(h ) | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2029, (BRL) | 16,768,679 |
218,221,000,000 | Indonesia Treasury Bonds, Series 101, 6.875%, 4/15/2029, (IDR) | 13,278,232 |
2,195,947(i ) | Mexico Bonos, Series M, 7.500%, 5/26/2033, (MXN) | 10,326,532 |
25,290,000 | New Zealand Government Bonds, Series 433, 3.500%, 4/14/2033, (NZD) | 14,138,223 |
Principal Amount (‡) | Description | Value (†) |
Treasuries — continued | ||
150,645,000 | Norway Government Bonds, Series 477, 1.750%, 3/13/2025, (NOK) | $13,850,113 |
203,840,000 | Republic of South Africa Government Bonds, Series 2035, 8.875%, 2/28/2035, (ZAR) | 9,435,880 |
15,505,000 | U.K. Gilts, 0.250%, 1/31/2025, (GBP) | 19,138,967 |
45,695,000 | U.S. Treasury Bonds, 2.250%, 2/15/2052(j) | 29,109,143 |
23,325,000 | U.S. Treasury Bonds, 3.250%, 5/15/2042 | 19,396,195 |
26,205,000 | U.S. Treasury Bonds, 3.875%, 2/15/2043(j) | 23,686,863 |
162,675,000 | U.S. Treasury Notes, 4.375%, 5/15/2034 | 162,725,836 |
5,425,000 | U.S. Treasury Notes, 4.500%, 5/31/2029 | 5,461,873 |
13,350,000 | U.S. Treasury Notes, 4.625%, 6/30/2025 | 13,285,336 |
27,285,000 | U.S. Treasury Notes, 4.875%, 4/30/2026 | 27,325,501 |
263,285,000 | Uruguay Government International Bonds, 8.250%, 5/21/2031, (UYU) | 6,186,080 |
384,113,453 | ||
Wireless — 0.1% | ||
4,309,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 3,996,598 |
Wirelines — 0.2% | ||
2,258,000 | Telecom Italia Capital SA, 6.000%, 9/30/2034(a) | 2,136,938 |
4,405,000 | Telecom Italia Capital SA, 6.375%, 11/15/2033(a) | 4,309,235 |
6,446,173 | ||
Total Non-Convertible Bonds (Identified Cost $2,285,268,838) | 1,956,599,261 | |
Convertible Bonds — 6.0% | ||
Airlines — 0.6% | ||
16,165,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 16,181,165 |
Cable Satellite — 2.9% | ||
125,670,000 | DISH Network Corp., 3.375%, 8/15/2026 | 77,935,522 |
Consumer Cyclical Services — 0.2% | ||
760,000 | Booking Holdings, Inc., 0.750%, 5/01/2025 | 1,598,365 |
2,795,000 | Uber Technologies, Inc., Series 2028, 0.875%, 12/01/2028(a) | 3,323,255 |
1,200,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 1,446,734 |
6,368,354 | ||
Electric — 0.1% | ||
1,385,000 | Evergy, Inc., 4.500%, 12/15/2027(a) | 1,396,080 |
955,000 | NRG Energy, Inc., 2.750%, 6/01/2048 | 1,831,212 |
3,227,292 | ||
Financial Other — 0.0% | ||
103,296 | China Aoyuan Group Ltd., Series IAI, Zero Coupon, 0.000%–34.161%, 9/30/2028(g) | 1,156 |
1,846,712 | Sunac China Holdings Ltd., 1.000% PIK or 0.000% Cash, 9/30/2032(a)(d) | 110,803 |
111,959 | ||
Healthcare — 0.7% | ||
21,575,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 17,879,139 |
Leisure — 0.5% | ||
6,520,000 | Carnival Corp., 5.750%, 12/01/2027 | 10,634,120 |
540,000 | Royal Caribbean Cruises Ltd., 6.000%, 8/15/2025 | 1,741,770 |
12,375,890 | ||
Media Entertainment — 0.0% | ||
1,345,000 | Liberty Media Corp.-Liberty Formula One, 2.250%, 8/15/2027 | 1,427,431 |
Principal Amount (‡) | Description | Value (†) |
Pharmaceuticals — 0.6% | ||
$14,620,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | $13,957,977 |
1,460,000 | Jazz Investments I Ltd., 2.000%, 6/15/2026 | 1,402,330 |
15,360,307 | ||
Technology — 0.4% | ||
815,000 | Datadog, Inc., 0.125%, 6/15/2025 | 1,179,712 |
910,000 | Nutanix, Inc., 0.250%, 10/01/2027 | 1,061,060 |
2,815,000 | ON Semiconductor Corp., 0.500%, 3/01/2029 | 2,696,770 |
400,000 | Palo Alto Networks, Inc., 0.375%, 6/01/2025 | 1,362,879 |
1,555,000 | Shift4 Payments, Inc., 0.500%, 8/01/2027 | 1,468,697 |
1,215,000 | Wolfspeed, Inc., 0.250%, 2/15/2028 | 716,243 |
2,350,000 | Wolfspeed, Inc., 1.875%, 12/01/2029 | 1,294,850 |
810,000 | Zscaler, Inc., 0.125%, 7/01/2025 | 1,087,384 |
10,867,595 | ||
Total Convertible Bonds (Identified Cost $226,989,570) | 161,734,654 | |
Municipals — 1.4% | ||
Virginia — 1.4% | ||
45,065,000 | Tobacco Settlement Financing Corp., 6.706%, 6/01/2046 (Identified Cost $45,061,271) | 38,114,247 |
Total Bonds and Notes (Identified Cost $2,557,319,679) | 2,156,448,162 |
Shares | ||
Common Stocks— 6.3% | ||
Aerospace & Defense — 0.4% | ||
23,912 | Lockheed Martin Corp. | 11,169,295 |
Air Freight & Logistics — 0.1% | ||
29,174 | United Parcel Service, Inc., Class B | 3,992,462 |
Banks — 0.2% | ||
21,542 | JPMorgan Chase & Co. | 4,357,085 |
Beverages — 0.1% | ||
58,668 | Coca-Cola Co. | 3,734,218 |
Biotechnology — 0.6% | ||
61,803 | AbbVie, Inc. | 10,600,450 |
57,899 | BioMarin Pharmaceutical, Inc.(f) | 4,766,825 |
15,367,275 | ||
Capital Markets — 0.1% | ||
1,874 | BlackRock, Inc. | 1,475,438 |
16,000 | Morgan Stanley | 1,555,040 |
3,030,478 | ||
Chemicals — 0.1% | ||
4,521 | Linde PLC | 1,983,860 |
Communications Equipment — 0.1% | ||
67,585 | Cisco Systems, Inc. | 3,210,963 |
Construction Materials — 0.1% | ||
534,052 | Cemex SAB de CV, ADR | 3,412,592 |
Consumer Staples Distribution & Retail — 0.2% | ||
3,747 | Costco Wholesale Corp. | 3,184,913 |
45,362 | Walmart, Inc. | 3,071,461 |
6,256,374 | ||
Containers & Packaging — 0.1% | ||
7,520 | Packaging Corp. of America | 1,372,851 |
Shares | Description | Value (†) |
Diversified REITs — 0.0% | ||
182,381 | NexPoint Diversified Real Estate Trust | $1,008,567 |
Electric Utilities — 0.1% | ||
39,937 | Duke Energy Corp. | 4,002,885 |
Electrical Equipment — 0.1% | ||
16,886 | Emerson Electric Co. | 1,860,162 |
Financial Services — 0.1% | ||
6,631 | Mastercard, Inc., Class A | 2,925,332 |
Ground Transportation — 0.1% | ||
10,451 | Union Pacific Corp. | 2,364,643 |
Health Care Equipment & Supplies — 0.1% | ||
33,337 | Abbott Laboratories | 3,464,048 |
Health Care Providers & Services — 0.6% | ||
17,302 | Elevance Health, Inc. | 9,375,262 |
11,230 | UnitedHealth Group, Inc. | 5,718,990 |
15,094,252 | ||
Hotels, Restaurants & Leisure — 0.2% | ||
56,644 | Starbucks Corp. | 4,409,735 |
Household Products — 0.2% | ||
27,299 | Procter & Gamble Co. | 4,502,151 |
IT Services — 0.0% | ||
2,428 | Accenture PLC, Class A | 736,679 |
Life Sciences Tools & Services — 0.1% | ||
4,605 | Thermo Fisher Scientific, Inc. | 2,546,565 |
Machinery — 0.1% | ||
8,462 | Deere & Co. | 3,161,657 |
Media — 0.5% | ||
1,317,588 | Altice USA, Inc., Class A(f) | 2,687,880 |
148,882 | Comcast Corp., Class A | 5,830,219 |
461,939 | iHeartMedia, Inc., Class A(f) | 503,513 |
546,648 | Paramount Global, Class B | 5,679,673 |
14,701,285 | ||
Oil, Gas & Consumable Fuels — 0.3% | ||
9,229 | Battalion Oil Corp.(f) | 30,825 |
32,590 | Exxon Mobil Corp. | 3,751,761 |
71,571 | Williams Cos., Inc. | 3,041,767 |
6,824,353 | ||
Pharmaceuticals — 0.5% | ||
103,933 | Bristol-Myers Squibb Co. | 4,316,337 |
32,342 | Johnson & Johnson | 4,727,107 |
36,000 | Merck & Co., Inc. | 4,456,800 |
13,500,244 | ||
Real Estate Management & Development — 0.0% | ||
288,943 | China Aoyuan Group Ltd.(f) | 5,531 |
Semiconductors & Semiconductor Equipment — 0.4% | ||
2,743 | Broadcom, Inc. | 4,403,969 |
23,856 | Microchip Technology, Inc. | 2,182,824 |
25,549 | QUALCOMM, Inc. | 5,088,850 |
11,675,643 | ||
Software — 0.2% | ||
9,696 | Microsoft Corp. | 4,333,627 |
Specialized REITs — 0.1% | ||
19,481 | American Tower Corp. | 3,786,717 |
Specialty Retail — 0.1% | ||
10,091 | Home Depot, Inc. | 3,473,726 |
Shares | Description | Value (†) |
Technology Hardware, Storage & Peripherals — 0.3% | ||
35,051 | Apple, Inc. | $7,382,442 |
23,768 | IQOR US, Inc.(f) | 54,975 |
7,437,417 | ||
Trading Companies & Distributors — 0.1% | ||
30,863 | Fastenal Co. | 1,939,431 |
Total Common Stocks (Identified Cost $202,206,819) | 171,642,103 |
Principal Amount (‡) | ||
Senior Loans — 6.3% | ||
Aerospace & Defense — 0.1% | ||
$643,388 | TransDigm, Inc., 2023 Term Loan J, 3 mo. USD SOFR + 2.500%, 7.843%, 2/28/2031(b)(k) | 644,674 |
1,032,141 | TransDigm, Inc., 2024 Term Loan I, 3 mo. USD SOFR + 2.750%, 8.085%, 8/24/2028(b)(k) | 1,033,649 |
1,678,323 | ||
Brokerage — 0.4% | ||
1,805,000 | Assetmark Financial Holdings, Inc., 2024 Term Loan, 6/03/2031(l) | 1,805,000 |
4,941,164 | Edelman Financial Center LLC, 2024 Term Loan B, 4/07/2028(l) | 4,945,808 |
4,523,836 | Edelman Financial Center LLC, 2024 Term Loan B, 1 mo. USD SOFR + 3.250%, 8.594%, 4/07/2028(b)(k) | 4,528,089 |
11,278,897 | ||
Building Materials — 0.3% | ||
1,412,830 | Foundation Building Materials Holding Co. LLC, 2024 Term Loan B2, 3 mo. USD SOFR + 4.000%, 9.330%, 1/29/2031(b)(k) | 1,404,593 |
5,770,537 | Summit Materials LLC, 2023 Incremental Term Loan B, 3 mo. USD SOFR + 2.500%, 7.799%, 1/12/2029(b)(k) | 5,806,604 |
7,211,197 | ||
Consumer Cyclical Services — 0.2% | ||
2,374,210 | Ryan LLC, Term Loan, 1 mo. USD SOFR + 3.500%, 8.844%, 11/14/2030(b)(k) | 2,380,740 |
3,693,341 | Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 2.750%, 8.089%, 3/03/2030(b)(k) | 3,708,040 |
6,088,780 | ||
Diversified Manufacturing — 0.4% | ||
4,133,560 | Resideo Funding, Inc., 2024 M&A Term Loan B, 5/21/2031(l) | 4,120,663 |
2,420,000 | Resideo Funding, Inc., 2024 M&A Term Loan B, 1 mo. USD SOFR + 2.000%, 7.339%, 5/21/2031(b)(k) | 2,412,450 |
697,094 | Resideo Funding, Inc., 2024 Term Loan B, 2/11/2028(l) | 697,094 |
2,358,949 | Resideo Funding, Inc., 2024 Term Loan B, USD SOFR + 2.000%, 7.338%, 2/11/2028(b)(k) | 2,358,949 |
9,589,156 | ||
Financial Other — 0.4% | ||
11,423,100 | Trans Union LLC, 2024 Term Loan B8, 6/24/2031(l) | 11,391,686 |
Principal Amount (‡) | Description | Value (†) |
Gaming — 0.0% | ||
$653,362 | Light & Wonder International, Inc., 2024 Term Loan, 1 mo. USD SOFR + 2.750%, 8.070%, 4/14/2029(b)(k) | $652,898 |
653,363 | Light & Wonder International, Inc., 2024 Term Loan B2, 4/14/2029(l) | 652,899 |
1,305,797 | ||
Healthcare — 1.0% | ||
1,670,192 | Bausch & Lomb Corp., 2023 Incremental Term Loan, 1 mo. USD SOFR + 4.000%, 9.344%, 9/29/2028(b)(k) | 1,664,981 |
13,660,152 | Bausch & Lomb Corp., Term Loan, 5/10/2027(l) | 13,503,061 |
5,060,000 | Medline Borrower LP, 2024 USD Add-on Term Loan B, 10/23/2028(l) | 5,060,000 |
7,486,684 | Star Parent, Inc., Term Loan B, 3 mo. USD SOFR + 3.750%, 9.085%, 9/27/2030(b)(k) | 7,475,603 |
27,703,645 | ||
Leisure — 0.4% | ||
6,077,586 | Carnival Corp., 2024 Term Loan B1, 1 mo. USD SOFR + 2.750%, 8.094%, 10/18/2028(b)(k) | 6,085,183 |
3,731,386 | Carnival Corp., 2024 Term Loan B2, 1 mo. USD SOFR + 2.750%, 8.094%, 8/08/2027(b)(k) | 3,743,065 |
1,500,000 | Cedar Fair LP, 2024 Term Loan B, 1 mo. USD SOFR + 2.000%, 7.329%, 5/01/2031(b)(k) | 1,495,320 |
11,323,568 | ||
Lodging — 0.9% | ||
1,992,793 | Hilton Domestic Operating Co., Inc., 2023 Term Loan B4, 11/08/2030(l) | 1,994,168 |
2,358,308 | Hilton Domestic Operating Co., Inc., 2024 Term Loan B4, 11/08/2030(l) | 2,359,936 |
179,539 | Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 8/02/2028(l) | 179,379 |
12,079,283 | Hilton Grand Vacations Borrower LLC, 2024 1st Lien Term Loan B, 1/17/2031(l) | 12,070,224 |
6,768,038 | Hilton Grand Vacations Borrower LLC, 2024 Incremental Term Loan B, 1 mo. USD SOFR + 2.750%, 8.094%, 1/17/2031(b)(k) | 6,762,961 |
23,366,668 | ||
Media Entertainment — 0.4% | ||
1,461,338 | Cengage Learning, Inc., 2024 Term Loan B, 3/22/2031(l) | 1,464,085 |
7,980,000 | Cengage Learning, Inc., 2024 Term Loan B, 6 mo. USD SOFR + 4.250%, 9.538%, 3/22/2031(b)(k) | 7,995,002 |
9,459,087 | ||
Paper — 0.3% | ||
6,885,000 | Asplundh Tree Expert LLC, 2024 Incremental Term Loan B, 5/23/2031(l) | 6,876,394 |
Property & Casualty Insurance — 0.7% | ||
13,450,000 | Amynta Agency Borrower, Inc., 2024 Term Loan B, 2/28/2028(l) | 13,469,233 |
2,223,839 | HUB International Ltd., 2024 Term Loan B, 3 mo. USD SOFR + 3.250%, 8.575%, 6/20/2030(b)(k) | 2,227,731 |
3,815,000 | Truist Insurance Holdings LLC, 1st Lien Term Loan, 3 mo. USD SOFR + 3.250%, 8.585%, 5/06/2031(b)(k) | 3,818,395 |
19,515,359 |
Principal Amount (‡) | Description | Value (†) |
Technology — 0.7% | ||
$13,570,000 | Fortress Intermediate 3, Inc., Term Loan B, 6/27/2031(l) | $13,570,000 |
3,315,000 | GTCR W Merger Sub LLC, 2024 USD Term Loan B, 1/31/2031(l) | 3,314,536 |
3,315,000 | GTCR W Merger Sub LLC, USD Term Loan B, 3 mo. USD SOFR + 3.000%, 8.335%, 1/31/2031(b)(k) | 3,314,536 |
20,199,072 | ||
Wireless — 0.1% | ||
2,967,563 | SBA Senior Finance II LLC, 2024 Term Loan B, 1 mo. USD SOFR + 2.000%, 7.350%, 1/25/2031(b)(k) | 2,969,432 |
Total Senior Loans (Identified Cost $170,079,707) | 169,957,061 | |
Collateralized Loan Obligations — 4.0% | ||
6,730,000 | 522 Funding CLO Ltd., Series 2018-3A, Class DR, 3 mo. USD SOFR + 3.362%, 8.686%, 10/20/2031(a)(b) | 6,749,490 |
4,475,000 | AGL CLO 12 Ltd., Series 2021-12A, Class B, 3 mo. USD SOFR + 1.862%, 7.186%, 7/20/2034(a)(b) | 4,477,694 |
4,955,000 | AGL CLO 12 Ltd., Series 2021-12A, Class D, 3 mo. USD SOFR + 3.112%, 8.436%, 7/20/2034(a)(b) | 4,965,901 |
1,245,000 | AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3 mo. USD SOFR + 3.362%, 8.690%, 7/15/2034(a)(b) | 1,248,620 |
2,675,000 | ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3 mo. USD SOFR + 3.262%, 8.590%, 10/15/2034(a)(b) | 2,683,343 |
3,025,000 | Bain Capital Credit CLO Ltd., Series 2017-2A, Class DR2, 3 mo. USD SOFR + 3.362%, 8.685%, 7/25/2034(a)(b) | 3,029,326 |
850,000 | Ballyrock CLO Ltd., Series 2019-2A, Class A2RR, 3 mo. USD SOFR + 2.000%, 7.319%, 2/20/2036(a)(b) | 851,257 |
1,505,000 | Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3 mo. USD SOFR + 3.262%, 8.579%, 1/17/2032(a)(b) | 1,505,892 |
3,530,000 | CarVal CLO III Ltd., Series 2019-2A, Class DR, 3 mo. USD SOFR + 3.212%, 8.536%, 7/20/2032(a)(b) | 3,537,681 |
3,095,000 | CIFC Funding Ltd., Series 2021-5A, Class D, 3 mo. USD SOFR + 3.512%, 8.840%, 7/15/2034(a)(b) | 3,103,991 |
4,390,000 | Clover CLO LLC, Series 2021-1A, Class D, 3 mo. USD SOFR + 3.212%, 8.536%, 4/22/2034(a)(b) | 4,405,390 |
3,780,000 | Clover CLO LLC, Series 2021-2A, Class D, 3 mo. USD SOFR + 3.312%, 8.636%, 7/20/2034(a)(b) | 3,794,644 |
4,775,000 | Crown City CLO I, Series 2020-1A, Class CR, 3 mo. USD SOFR + 3.682%, 9.006%, 7/20/2034(a)(b) | 4,737,163 |
2,885,000 | Elmwood CLO VIII Ltd., Series 2021-1A, Class DR, 3 mo. USD SOFR + 3.800%, 9.128%, 4/20/2037(a)(b) | 2,932,614 |
980,000 | LCM 30 Ltd., Series 30A, Class CR, 3 mo. USD SOFR + 2.262%, 7.586%, 4/20/2031(a)(b) | 976,133 |
2,965,000 | LCM 30 Ltd., Series 30A, Class DR, 3 mo. USD SOFR + 3.262%, 8.586%, 4/20/2031(a)(b) | 2,925,376 |
Principal Amount (‡) | Description | Value (†) |
$990,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D1R, 3 mo. USD SOFR + 3.300%, 8.639%, 7/23/2037(a)(b) | $990,000 |
6,010,000 | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3 mo. USD SOFR + 1.912%, 7.240%, 7/15/2034(a)(b) | 6,021,737 |
8,055,000 | OCP CLO Ltd., Series 2019-17A, Class DR, 3 mo. USD SOFR + 3.362%, 8.686%, 7/20/2032(a)(b) | 8,069,201 |
7,155,000 | Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3 mo. USD SOFR + 3.412%, 8.740%, 7/15/2034(a)(b) | 7,162,370 |
3,125,000 | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3 mo. USD SOFR + 3.562%, 8.890%, 7/15/2036(a)(b) | 3,059,978 |
8,250,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3 mo. USD SOFR + 1.912%, 7.236%, 7/02/2035(a)(b) | 8,259,603 |
6,530,000 | Palmer Square BDC CLO 1 Ltd., Series 1A, Class B1, 3 mo. USD SOFR + 2.150%, 7.475%, 7/15/2037(a)(b) | 6,600,289 |
970,000 | Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3 mo. USD SOFR + 1.962%, 7.287%, 5/21/2034(a)(b) | 972,361 |
12,510,000 | Palmer Square CLO Ltd., Series 2021-4A, Class E, 3 mo. USD SOFR + 6.312%, 11.640%, 10/15/2034(a)(b) | 12,590,051 |
400,000 | THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3 mo. USD SOFR + 3.212%, 8.536%, 1/20/2031(a)(b) | 400,230 |
1,540,000 | Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3 mo. USD SOFR + 4.012%, 9.336%, 10/20/2034(a)(b) | 1,543,387 |
Total Collateralized Loan Obligations (Identified Cost $107,380,250) | 107,593,722 |
Shares | ||
Preferred Stocks — 0.6% | ||
Convertible Preferred Stocks — 0.2% | ||
Banking — 0.1% | ||
2,644 | Bank of America Corp., Series L, 7.250% | 3,162,647 |
18 | Wells Fargo & Co., Series L, Class A, 7.500% | 21,401 |
3,184,048 | ||
Brokerage — 0.1% | ||
21,739 | Apollo Global Management, Inc., 6.750% | 1,426,296 |
Total Convertible Preferred Stocks (Identified Cost $5,382,110) | 4,610,344 | |
Non-Convertible Preferred Stocks — 0.4% | ||
Home Construction — 0.1% | ||
208,246 | Hovnanian Enterprises, Inc., 7.625% | 3,806,737 |
Office REITs — 0.1% | ||
1,596 | Highwoods Properties, Inc., Series A, 8.625%(m) | 1,631,875 |
Shares | Description | Value (†) |
Other REITs — 0.2% | ||
115,797 | Prologis, Inc., Series Q, 8.540% | $6,310,937 |
Total Non-Convertible Preferred Stocks (Identified Cost $8,314,041) | 11,749,549 | |
Total Preferred Stocks (Identified Cost $13,696,151) | 16,359,893 |
Principal Amount (‡) | ||
Short-Term Investments — 6.7% | ||
$182,614,633 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2024 at 3.500% to be repurchased at $182,667,896 on 7/01/2024 collateralized by $149,095,900 U.S. Treasury Inflation Indexed Note, 0.125% due 7/15/2026 valued at $186,267,149 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $182,614,633) | 182,614,633 |
Total Investments — 103.5% (Identified Cost $3,233,297,239) | 2,804,615,574 | |
Other assets less liabilities — (3.5)% | (95,795,220 ) | |
Net Assets — 100.0% | $2,708,820,354 |
(†) | 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 June 30, 2024, the value of Rule 144A holdings amounted to $1,147,436,496 or 42.4% of net assets. |
(b) | Variable rate security. Rate as of June 30, 2024 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) | 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 June 30, 2024, interest payments were made in principal. |
(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) | 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) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(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 1.00%, to which the spread is added. |
(l) | Position is unsettled. Contract rate was not determined at June 30, 2024 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(m) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
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. |
PIK | Payment-in-Kind |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
BRL | Brazilian Real |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
UYU | Uruguayan Peso |
ZAR | South African Rand |
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* .S42 | 5.00 % | 6/20/2029 | 3.44 % | 40,000,000 | $2,478,149 | $2,570,111 | $91,962 |
(‡) | 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. |
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | |
Bank of America N.A. | 9/18/2024 | EUR | S | 8,149,000 | $8,878,580 | $8,759,723 | $118,857 |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 2 Year U.S. Treasury Notes Futures | 9/30/2024 | 1,115 | $227,023,022 | $227,703,906 | $680,884 |
CBOT 5 Year U.S. Treasury Notes Futures | 9/30/2024 | 989 | 104,634,979 | 105,405,766 | 770,787 |
CBOT U.S. Long Bond Futures | 9/19/2024 | 4,366 | 509,821,339 | 516,552,375 | 6,731,036 |
CBOT Ultra Long Term U.S. Treasury Bond Futures | 9/19/2024 | 553 | 68,383,608 | 69,315,094 | 931,486 |
Total | $9,114,193 |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
Ultra 10-Year U.S. Treasury Notes Futures | 9/19/2024 | 3,967 | $445,605,248 | $450,378,469 | $(4,773,221 ) |
Treasuries | 14.2 % |
Cable Satellite | 8.7 |
Finance Companies | 4.6 |
Sovereigns | 4.6 |
Pharmaceuticals | 4.1 |
Banking | 3.8 |
Technology | 3.7 |
Metals & Mining | 3.2 |
ABS Other | 3.1 |
Leisure | 2.9 |
Independent Energy | 2.5 |
ABS Home Equity | 2.4 |
Non-Agency Commercial Mortgage-Backed Securities | 2.0 |
Aerospace & Defense | 2.0 |
Other Investments, less than 2% each | 31.0 |
Collateralized Loan Obligations | 4.0 |
Short-Term Investments | 6.7 |
Total Investments | 103.5 |
Other assets less liabilities (Including swap agreements, forward foreign currency and futures contracts) | (3.5 ) |
Net Assets | 100.0 % |
High Income Fund | Investment Grade Bond Fund | Strategic Alpha Fund | Strategic Income Fund | |
ASSETS | ||||
Investments at cost | $53,803,059 | $13,010,685,744 | $621,318,090 | $3,233,297,239 |
Net unrealized depreciation | (10,260,976 ) | (213,876,011 ) | (87,852,795 ) | (428,681,665 ) |
Investments at value | 43,542,083 | 12,796,809,733 | 533,465,295 | 2,804,615,574 |
Cash | 79,455 | 3,787,877 | 465,645 | 216,757 |
Due from brokers (Note 2) | — | — | 11,445,000 | 3,400,000 |
Foreign currency at value (identified cost $285, $1,029, $5,275,728 and $397, respectively) | 282 | 1,023 | 5,260,427 | 396 |
Receivable for Fund shares sold | 65,598 | 43,273,152 | 648,949 | 3,414,287 |
Receivable from investment adviser (Note 6) | 2,504 | — | — | — |
Receivable for securities sold | 156,534 | 7,057,266 | 3,085,760 | 5,072,101 |
Dividends and interest receivable | 660,317 | 143,089,579 | 5,476,722 | 31,700,585 |
Unrealized appreciation on forward foreign currency contracts (Note 2) | — | — | 44,304 | 118,857 |
Tax reclaims receivable | — | — | — | 41,580 |
Receivable for variation margin on futures contracts (Note 2) | — | — | 376,926 | — |
Prepaid expenses | 312 | 312 | 312 | 312 |
TOTAL ASSETS | 44,507,085 | 12,994,018,942 | 560,269,340 | 2,848,580,449 |
LIABILITIES | ||||
Options written, at value (premiums received $0, $0, $1,512,916 and $0, respectively) (Note 2) | — | — | 592,579 | — |
Payable for securities purchased | 1,479,429 | 318,768,458 | 11,231,575 | 130,672,616 |
Payable for Fund shares redeemed | 65,090 | 7,650,174 | 378,931 | 2,269,376 |
Payable for variation margin on centrally cleared swap agreements (Note 2) | — | — | 42,987 | 12,614 |
Payable for variation margin on futures contracts (Note 2) | — | 20,576,564 | — | 3,494,617 |
Unrealized depreciation on forward foreign currency contracts (Note 2) | — | — | 272,829 | — |
Foreign taxes payable (Note 2) | — | — | 371 | 3,965 |
Management fees payable (Note 6) | — | 3,565,709 | 244,583 | 1,127,819 |
Deferred Trustees’ fees (Note 6) | 194,509 | 1,167,958 | 313,008 | 1,772,907 |
Administrative fees payable (Note 6) | 1,568 | 453,840 | 20,077 | 99,600 |
Payable to distributor (Note 6d) | 246 | 97,188 | 4,242 | 25,678 |
Audit and tax services fees payable | 33,020 | 38,758 | 54,947 | 38,518 |
Other accounts payable and accrued expenses | 25,496 | 651,344 | 69,089 | 242,385 |
TOTAL LIABILITIES | 1,799,358 | 352,969,993 | 13,225,218 | 139,760,095 |
COMMITMENTS AND CONTINGENCIES(a) | — | — | — | — |
NET ASSETS | $42,707,727 | $12,641,048,949 | $547,044,122 | $2,708,820,354 |
NET ASSETS CONSIST OF: | ||||
Paid-in capital | $78,426,612 | $13,230,735,479 | $719,130,160 | $3,678,762,446 |
Accumulated loss | (35,718,885 ) | (589,686,530 ) | (172,086,038 ) | (969,942,092 ) |
NET ASSETS | $42,707,727 | $12,641,048,949 | $547,044,122 | $2,708,820,354 |
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 | $16,150,008 | $732,260,660 | $16,820,859 | $871,825,574 |
Shares of beneficial interest | 4,638,747 | 75,087,128 | 1,804,595 | 74,419,738 |
Net asset value and redemption price per share | $3.48 | $9.75 | $9.32 | $11.71 |
Offering price per share (100/95.75 of net asset value) (Note 1) | $3.63 | $10.18 | $9.73 | $12.23 |
Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1) | ||||
Net assets | $578,043 | $71,513,092 | $2,557,510 | $28,348,208 |
Shares of beneficial interest | 165,139 | 7,437,107 | 274,942 | 2,386,335 |
Net asset value and offering price per share | $3.50 | $9.62 | $9.30 | $11.88 |
Class N shares: | ||||
Net assets | $177,992 | $2,080,926,868 | $99,614,379 | $213,359,698 |
Shares of beneficial interest | 51,084 | 213,377,981 | 10,720,541 | 18,237,663 |
Net asset value, offering and redemption price per share | $3.48 | $9.75 | $9.29 | $11.70 |
Class Y shares: | ||||
Net assets | $25,801,684 | $9,652,664,774 | $428,051,374 | $1,532,448,047 |
Shares of beneficial interest | 7,420,988 | 989,070,807 | 46,088,997 | 131,019,412 |
Net asset value, offering and redemption price per share | $3.48 | $9.76 | $9.29 | $11.70 |
Admin Class shares: | ||||
Net assets | $— | $103,683,555 | $— | $62,838,827 |
Shares of beneficial interest | — | 10,666,558 | — | 5,387,169 |
Net asset value, offering and redemption price per share | $— | $9.72 | $— | $11.66 |
(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 | $1,729,125 | $302,201,360 | $18,681,012 | $84,362,238 |
Dividends | 5,742 | 358,632 | 181,591 | 2,330,973 |
Less net foreign taxes withheld | — | — | (3,284 ) | (26,146 ) |
1,734,867 | 302,559,992 | 18,859,319 | 86,667,065 | |
Expenses | ||||
Management fees (Note 6) | 119,871 | 22,694,543 | 1,709,423 | 8,002,317 |
Service and distribution fees (Note 6) | 23,609 | 1,523,906 | 34,191 | 1,436,897 |
Administrative fees (Note 6) | 9,826 | 2,555,836 | 128,461 | 622,408 |
Trustees' fees and expenses (Note 6) | 30,038 | 335,540 | 50,747 | 244,567 |
Transfer agent fees and expenses (Notes 6, 7 and 8) | 15,826 | 3,767,135 | 177,867 | 1,119,248 |
Audit and tax services fees | 28,566 | 34,032 | 47,383 | 34,068 |
Custodian fees and expenses | 6,890 | 164,398 | 26,515 | 59,018 |
Legal fees | 972 | 226,400 | 14,402 | 64,979 |
Registration fees | 33,866 | 491,038 | 38,718 | 76,955 |
Shareholder reporting expenses | 11,532 | 308,407 | 33,312 | 103,689 |
Miscellaneous expenses | 19,109 | 208,536 | 28,346 | 63,876 |
Total expenses | 300,105 | 32,309,771 | 2,289,365 | 11,828,022 |
Less waiver and/or expense reimbursement (Note 6) | (122,495 ) | (3,326,000 ) | (138,364 ) | (1,030,529 ) |
Less expense offset (Note 8) | (1,481 ) | (97,899 ) | (5,490 ) | (26,080 ) |
Net expenses | 176,129 | 28,885,872 | 2,145,511 | 10,771,413 |
Net investment income | 1,558,738 | 273,674,120 | 16,713,808 | 75,895,652 |
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 | (1,777,468 ) | (108,178,834 ) | (17,748,392 ) | (44,219,297 ) |
Futures contracts | — | 3,852,166 | (1,436,154 ) | 3,061,166 |
Options written | — | — | 157,845 | — |
Swap agreements | 29,856 | — | (4,614,353 ) | 4,679 |
Forward foreign currency contracts (Note 2d) | — | — | (181,343 ) | 125,651 |
Foreign currency transactions (Note 2c) | — | — | (42,246 ) | (91,567 ) |
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 887,516 | 13,110,401 | 16,014,129 | 17,767,226 |
Futures contracts | — | (93,440,004 ) | 639,051 | (23,469,413 ) |
Options written | — | — | 943,315 | — |
Swap agreements | (30,163 ) | — | 3,072,455 | 91,962 |
Forward foreign currency contracts (Note 2d) | — | — | 68,955 | 209,183 |
Foreign currency translations (Note 2c) | (9 ) | (6 ) | (33,583 ) | (17,455 ) |
Net realized and unrealized loss on Investments, Futures contracts, Options written, Swap agreements, Forward foreign currency contracts and Foreign currency transactions | (890,268 ) | (184,656,277 ) | (3,160,321 ) | (46,537,865 ) |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $668,470 | $89,017,843 | $13,553,487 | $29,357,787 |
High Income Fund | Investment Grade Bond Fund | |||
Six Months Ended June 30,2024 (Unaudited) | Year Ended December 31,2023 | Six Months Ended June 30,2024 (Unaudited) | Year Ended December 31,2023 | |
FROM OPERATIONS: | ||||
Net investment income | $1,558,738 | $3,519,792 | $273,674,120 | $366,489,702 |
Net realized loss on investments, futures contracts and swap agreements | (1,747,612 ) | (9,750,420 ) | (104,326,668 ) | (236,353,424 ) |
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swap agreements and foreign currency translations | 857,344 | 12,942,631 | (80,329,609 ) | 517,618,724 |
Net increase in net assets resulting from operations | 668,470 | 6,712,003 | 89,017,843 | 647,755,002 |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (557,628 ) | (1,271,536 ) | (15,891,846 ) | (27,787,284 ) |
Class C | (21,802 ) | (65,853 ) | (1,303,435 ) | (2,155,422 ) |
Class N | (6,256 ) | (10,957 ) | (41,782,414 ) | (55,036,030 ) |
Class Y | (953,825 ) | (2,770,057 ) | (202,815,147 ) | (289,143,363 ) |
Admin Class | — | — | (2,106,707 ) | (4,979,958 ) |
Total distributions | (1,539,511 ) | (4,118,403 ) | (263,899,549 ) | (379,102,057 ) |
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 12) | (1,528,216 ) | (74,967,733 ) | 2,447,051,729 | 3,097,456,282 |
Net increase (decrease) in net assets | (2,399,257 ) | (72,374,133 ) | 2,272,170,023 | 3,366,109,227 |
NET ASSETS | ||||
Beginning of the period | 45,106,984 | 117,481,117 | 10,368,878,926 | 7,002,769,699 |
End of the period | $42,707,727 | $45,106,984 | $12,641,048,949 | $10,368,878,926 |
Strategic Alpha Fund | Strategic Income Fund | |||
Six Months Ended June 30,2024 (Unaudited) | Year Ended December 31,2023 | Six Months Ended June 30,2024 (Unaudited) | Year Ended December 31,2023 | |
FROM OPERATIONS: | ||||
Net investment income | $16,713,808 | $35,365,630 | $75,895,652 | $152,017,606 |
Net realized loss on investments, futures contracts, swap agreements, written options, forward foreign currency contracts and foreign currency transactions | (23,864,643 ) | (34,349,013 ) | (41,119,368 ) | (147,749,923 ) |
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swap agreements, written options, forward foreign currency contracts and foreign currency translations | 20,704,322 | 51,201,795 | (5,418,497 ) | 226,496,538 |
Net increase in net assets resulting from operations | 13,553,487 | 52,218,412 | 29,357,787 | 230,764,221 |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Class A | (426,565 ) | (1,153,596 ) | (24,537,719 ) | (54,554,721 ) |
Class C | (56,239 ) | (114,987 ) | (701,135 ) | (1,860,184 ) |
Class N | (2,737,540 ) | (6,742,335 ) | (6,180,667 ) | (12,487,496 ) |
Class Y | (11,864,655 ) | (30,202,975 ) | (44,462,523 ) | (95,610,490 ) |
Admin Class | — | — | (1,673,325 ) | (3,475,309 ) |
Total distributions | (15,084,999 ) | (38,213,893 ) | (77,555,369 ) | (167,988,200 ) |
NET DECREASE IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 12) | (53,851,570 ) | (259,189,303 ) | (96,406,491 ) | (435,259,844 ) |
Net decrease in net assets | (55,383,082 ) | (245,184,784 ) | (144,604,073 ) | (372,483,823 ) |
NET ASSETS | ||||
Beginning of the period | 602,427,204 | 847,611,988 | 2,853,424,427 | 3,225,908,250 |
End of the period | $547,044,122 | $602,427,204 | $2,708,820,354 | $2,853,424,427 |
High Income Fund—Class A | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $3.55 | $3.50 | $4.29 | $4.35 | $4.25 | $3.99 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.12 | 0.21 | 0.19 | 0.17 | 0.20 | 0.20 |
Net realized and unrealized gain (loss) | (0.07 ) | 0.11 | (0.77 ) | (0.05 ) | 0.12 (b) | 0.27 |
Total from Investment Operations | 0.05 | 0.32 | (0.58 ) | 0.12 | 0.32 | 0.47 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.12 ) | (0.27 ) | (0.21 ) | (0.18 ) | (0.22 ) | (0.21 ) |
Net asset value, end of the period | $3.48 | $3.55 | $3.50 | $4.29 | $4.35 | $4.25 |
Total return(c)(d) | 1.48 %(e) | 9.53 % | (13.66 )% | 2.87 % | 8.16 % | 11.94 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $16,150 | $16,031 | $19,108 | $20,470 | $41,547 | $23,199 |
Net expenses(f) | 0.95 %(g) | 0.98 %(h) | 1.00 % | 1.00 % | 1.00 % | 1.03 %(i) |
Gross expenses | 1.52 %(g)(j) | 1.40 % | 1.18 % | 1.19 % | 1.22 % | 1.18 % |
Net investment income | 7.01 %(g) | 6.10 % | 5.13 % | 3.83 % | 4.91 % | 4.84 % |
Portfolio turnover rate | 45 % | 40 % | 53 % | 67 % | 99 %(k) | 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) | 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. |
(h) | Effective July 1, 2023, the expense limit decreased from 1.00% to 0.95%. |
(i) | Effective July 1, 2019, the expense limit decreased from 1.05% to 1.00%. |
(j) | Includes transfer agent fees and expenses before expense offset. Without these expenses the ratio of gross expenses would have been 1.51%. See Note 8 of Notes to Financial Statements. |
(k) | 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 | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $3.57 | $3.51 | $4.31 | $4.37 | $4.27 | $4.00 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.11 | 0.19 | 0.16 | 0.14 | 0.17 | 0.17 |
Net realized and unrealized gain (loss) | (0.07 ) | 0.11 | (0.78 ) | (0.05 ) | 0.12 (b) | 0.28 |
Total from Investment Operations | 0.04 | 0.30 | (0.62 ) | 0.09 | 0.29 | 0.45 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.11 ) | (0.24 ) | (0.18 ) | (0.15 ) | (0.19 ) | (0.18 ) |
Net asset value, end of the period | $3.50 | $3.57 | $3.51 | $4.31 | $4.37 | $4.27 |
Total return(c)(d) | 1.09 %(e) | 8.94 % | (14.50 )% | 2.07 % | 7.30 % | 11.32 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $578 | $754 | $1,182 | $1,795 | $2,933 | $3,836 |
Net expenses(f) | 1.70 %(g) | 1.73 %(h) | 1.75 % | 1.75 % | 1.75 % | 1.78 %(i) |
Gross expenses | 2.28 %(g)(j) | 2.15 % | 1.93 % | 1.94 % | 1.97 % | 1.93 % |
Net investment income | 6.26 %(g) | 5.28 % | 4.34 % | 3.14 % | 4.24 % | 4.11 % |
Portfolio turnover rate | 45 % | 40 % | 53 % | 67 % | 99 %(k) | 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) | 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. |
(h) | Effective July 1, 2023, the expense limit decreased from 1.75% to 1.70%. |
(i) | Effective July 1, 2019, the expense limit decreased from 1.80% to 1.75%. |
(j) | Includes transfer agent fees and expenses before expense offset. Without these expenses the ratio of gross expenses would have been 2.26%. See Note 8 of Notes to Financial Statements. |
(k) | 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 | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $3.55 | $3.50 | $4.29 | $4.36 | $4.25 | $3.99 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.13 | 0.23 | 0.20 | 0.18 | 0.21 | 0.22 |
Net realized and unrealized gain (loss) | (0.07 ) | 0.10 | (0.77 ) | (0.05 ) | 0.14 (b) | 0.26 |
Total from Investment Operations | 0.06 | 0.33 | (0.57 ) | 0.13 | 0.35 | 0.48 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.13 ) | (0.28 ) | (0.22 ) | (0.20 ) | (0.24 ) | (0.22 ) |
Net asset value, end of the period | $3.48 | $3.55 | $3.50 | $4.29 | $4.36 | $4.25 |
Total return(c) | 1.62 %(d) | 9.85 % | (13.40 )% | 2.95 % | 8.73 % | 12.28 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $178 | $173 | $132 | $105 | $14,783 | $11,977 |
Net expenses(e) | 0.65 %(f) | 0.67 %(g) | 0.70 % | 0.70 % | 0.70 % | 0.72 %(h) |
Gross expenses | 2.10 %(f)(i) | 1.82 % | 1.80 % | 0.86 % | 0.88 % | 0.82 % |
Net investment income | 7.31 %(f) | 6.47 % | 5.46 % | 4.10 % | 5.28 % | 5.13 % |
Portfolio turnover rate | 45 % | 40 % | 53 % | 67 % | 99 %(j) | 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) | 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. |
(g) | Effective July 1, 2023, the expense limit decreased from 0.70% to 0.65%. |
(h) | Effective July 1, 2019, the expense limit decreased from 0.75% to 0.70%. |
(i) | Includes transfer agent fees and expenses before expense offset. Without these expenses the ratio of gross expenses would have been 2.08%. See Note 8 of Notes to Financial Statements. |
(j) | 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 | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $3.55 | $3.49 | $4.28 | $4.34 | $4.25 | $3.98 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.13 | 0.22 | 0.20 | 0.18 | 0.22 | 0.21 |
Net realized and unrealized gain (loss) | (0.07 ) | 0.12 | (0.77 ) | (0.05 ) | 0.10 (b) | 0.28 |
Total from Investment Operations | 0.06 | 0.34 | (0.57 ) | 0.13 | 0.32 | 0.49 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.13 ) | (0.28 ) | (0.22 ) | (0.19 ) | (0.23 ) | (0.22 ) |
Net asset value, end of the period | $3.48 | $3.55 | $3.49 | $4.28 | $4.34 | $4.25 |
Total return(c) | 1.60 %(d) | 10.13 % | (13.47 )% | 3.15 % | 8.19 % | 12.52 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $25,802 | $28,150 | $97,059 | $104,957 | $53,456 | $108,315 |
Net expenses(e) | 0.70 %(f) | 0.73 %(g) | 0.75 % | 0.75 % | 0.75 % | 0.77 %(h) |
Gross expenses | 1.26 %(f) | 1.16 % | 0.93 % | 0.95 % | 0.98 % | 0.93 % |
Net investment income | 7.26 %(f) | 6.17 % | 5.39 % | 4.16 % | 5.32 % | 5.07 % |
Portfolio turnover rate | 45 % | 40 % | 53 % | 67 % | 99 %(i) | 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) | 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. |
(g) | Effective July 1, 2023, the expense limit decreased from 0.75% to 0.70%. |
(h) | Effective July 1, 2019, the expense limit decreased from 0.80% to 0.75%. |
(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 A | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $9.92 | $9.63 | $11.22 | $11.65 | $11.33 | $10.77 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.22 | 0.39 | 0.28 | 0.26 | 0.32 | 0.35 |
Net realized and unrealized gain (loss) | (0.18 ) | 0.30 | (1.58 ) | (0.26 ) | 0.94 | 0.58 |
Total from Investment Operations | 0.04 | 0.69 | (1.30 ) | 0.00 (b) | 1.26 | 0.93 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.21 ) | (0.40 ) | (0.28 ) | (0.26 ) | (0.32 ) | (0.36 ) |
Net realized capital gains | — | — | (0.01 ) | (0.17 ) | (0.62 ) | (0.01 ) |
Total Distributions | (0.21 ) | (0.40 ) | (0.29 ) | (0.43 ) | (0.94 ) | (0.37 ) |
Net asset value, end of the period | $9.75 | $9.92 | $9.63 | $11.22 | $11.65 | $11.33 |
Total return(c)(d) | 0.44 %(e) | 7.34 % | (11.62 )% | 0.07 % | 11.41 % | 8.78 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $732,261 | $717,999 | $641,311 | $793,271 | $872,976 | $772,485 |
Net expenses(f) | 0.74 %(g) | 0.74 % | 0.75 %(h) | 0.75 % | 0.76 %(i) | 0.77 %(j) |
Gross expenses | 0.80 %(g) | 0.81 % | 0.80 % | 0.79 % | 0.80 % | 0.81 % |
Net investment income | 4.58 %(g) | 4.04 % | 2.71 % | 2.24 % | 2.73 % | 3.10 % |
Portfolio turnover rate | 18 % | 25 % | 31 % | 27 % | 70 %(k) | 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) | 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. |
(h) | Effective July 1, 2022, the expense limit decreased from 0.75% to 0.74%. |
(i) | Effective July 1, 2020, the expense limit decreased from 0.76% to 0.75%. |
(j) | Effective July 1, 2019, the expense limit decreased from 0.78% to 0.76%. |
(k) | 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 | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $9.78 | $9.51 | $11.07 | $11.51 | $11.20 | $10.65 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.18 | 0.31 | 0.20 | 0.17 | 0.23 | 0.26 |
Net realized and unrealized gain (loss) | (0.16 ) | 0.29 | (1.55 ) | (0.26 ) | 0.93 | 0.58 |
Total from Investment Operations | 0.02 | 0.60 | (1.35 ) | (0.09 ) | 1.16 | 0.84 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.18 ) | (0.33 ) | (0.20 ) | (0.18 ) | (0.23 ) | (0.28 ) |
Net realized capital gains | — | — | (0.01 ) | (0.17 ) | (0.62 ) | (0.01 ) |
Total Distributions | (0.18 ) | (0.33 ) | (0.21 ) | (0.35 ) | (0.85 ) | (0.29 ) |
Net asset value, end of the period | $9.62 | $9.78 | $9.51 | $11.07 | $11.51 | $11.20 |
Total return(b)(c) | 0.20 %(d) | 6.43 % | (12.26 )% | (0.70 )% | 10.61 % | 7.94 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $71,513 | $68,821 | $56,520 | $80,099 | $132,606 | $204,395 |
Net expenses(e) | 1.49 %(f) | 1.49 % | 1.50 %(g) | 1.50 % | 1.51 %(h) | 1.52 %(i) |
Gross expenses | 1.55 %(f) | 1.56 % | 1.55 % | 1.54 % | 1.55 % | 1.56 % |
Net investment income | 3.83 %(f) | 3.29 % | 1.94 % | 1.50 % | 2.01 % | 2.35 % |
Portfolio turnover rate | 18 % | 25 % | 31 % | 27 % | 70 %(j) | 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) | 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. |
(g) | Effective July 1, 2022, the expense limit decreased from 1.50% to 1.49%. |
(h) | Effective July 1, 2020, the expense limit decreased from 1.51% to 1.50%. |
(i) | Effective July 1, 2019, the expense limit decreased from 1.53% to 1.51%. |
(j) | 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 | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $9.92 | $9.64 | $11.22 | $11.65 | $11.33 | $10.78 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.24 | 0.42 | 0.31 | 0.29 | 0.35 | 0.38 |
Net realized and unrealized gain (loss) | (0.18 ) | 0.29 | (1.57 ) | (0.25 ) | 0.94 | 0.58 |
Total from Investment Operations | 0.06 | 0.71 | (1.26 ) | 0.04 | 1.29 | 0.96 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.23 ) | (0.43 ) | (0.31 ) | (0.30 ) | (0.35 ) | (0.40 ) |
Net realized capital gains | — | — | (0.01 ) | (0.17 ) | (0.62 ) | (0.01 ) |
Total Distributions | (0.23 ) | (0.43 ) | (0.32 ) | (0.47 ) | (0.97 ) | (0.41 ) |
Net asset value, end of the period | $9.75 | $9.92 | $9.64 | $11.22 | $11.65 | $11.33 |
Total return | 0.59 %(b)(c) | 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) | $2,080,927 | $1,496,893 | $1,348,621 | $1,473,020 | $1,188,772 | $1,367,172 |
Net expenses | 0.44 %(d)(e) | 0.44 %(d) | 0.45 %(d)(f) | 0.45 %(d) | 0.46 %(d)(g) | 0.47 %(h) |
Gross expenses | 0.48 %(e) | 0.47 % | 0.47 % | 0.47 % | 0.47 % | 0.47 % |
Net investment income | 4.90 %(e) | 4.32 % | 3.02 % | 2.53 % | 3.04 % | 3.40 % |
Portfolio turnover rate | 18 % | 25 % | 31 % | 27 % | 70 %(i) | 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) | 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. |
(f) | Effective July 1, 2022, the expense limit decreased from 0.45% to 0.44%. |
(g) | Effective July 1, 2020, the expense limit decreased from 0.46% to 0.45%. |
(h) | Effective July 1, 2019, the expense limit decreased from 0.48% to 0.46%. |
(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 Y | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $9.92 | $9.64 | $11.22 | $11.66 | $11.34 | $10.78 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.24 | 0.42 | 0.30 | 0.29 | 0.35 | 0.37 |
Net realized and unrealized gain (loss) | (0.18 ) | 0.28 | (1.56 ) | (0.27 ) | 0.94 | 0.59 |
Total from Investment Operations | 0.06 | 0.70 | (1.26 ) | 0.02 | 1.29 | 0.96 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.22 ) | (0.42 ) | (0.31 ) | (0.29 ) | (0.35 ) | (0.39 ) |
Net realized capital gains | — | — | (0.01 ) | (0.17 ) | (0.62 ) | (0.01 ) |
Total Distributions | (0.22 ) | (0.42 ) | (0.32 ) | (0.46 ) | (0.97 ) | (0.40 ) |
Net asset value, end of the period | $9.76 | $9.92 | $9.64 | $11.22 | $11.66 | $11.34 |
Total return(b) | 0.67 %(c) | 7.50 % | (11.31 )% | 0.24 % | 11.68 % | 9.04 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $9,652,665 | $7,942,477 | $4,833,608 | $3,920,635 | $3,704,948 | $3,118,505 |
Net expenses(d) | 0.49 %(e) | 0.49 % | 0.49 %(f) | 0.50 % | 0.51 %(g) | 0.52 %(h) |
Gross expenses | 0.55 %(e) | 0.56 % | 0.55 % | 0.54 % | 0.55 % | 0.56 % |
Net investment income | 4.84 %(e) | 4.33 % | 3.01 % | 2.49 % | 2.98 % | 3.35 % |
Portfolio turnover rate | 18 % | 25 % | 31 % | 27 % | 70 %(i) | 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) | 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. |
(f) | Effective July 1, 2022, the expense limit decreased from 0.50% to 0.49%. |
(g) | Effective July 1, 2020, the expense limit decreased from 0.51% to 0.50%. |
(h) | Effective July 1, 2019, the expense limit decreased from 0.53% to 0.51%. |
(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—Admin Class | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $9.88 | $9.60 | $11.18 | $11.62 | $11.30 | $10.75 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.21 | 0.36 | 0.25 | 0.23 | 0.29 | 0.32 |
Net realized and unrealized gain (loss) | (0.17 ) | 0.29 | (1.56 ) | (0.26 ) | 0.94 | 0.58 |
Total from Investment Operations | 0.04 | 0.65 | (1.31 ) | (0.03 ) | 1.23 | 0.90 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.20 ) | (0.37 ) | (0.26 ) | (0.24 ) | (0.29 ) | (0.34 ) |
Net realized capital gains | — | — | (0.01 ) | (0.17 ) | (0.62 ) | (0.01 ) |
Total Distributions | (0.20 ) | (0.37 ) | (0.27 ) | (0.41 ) | (0.91 ) | (0.35 ) |
Net asset value, end of the period | $9.72 | $9.88 | $9.60 | $11.18 | $11.62 | $11.30 |
Total return(b) | 0.42 %(c) | 6.99 % | (11.80 )% | (0.26 )% | 11.17 % | 8.43 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $103,684 | $142,689 | $122,710 | $139,169 | $125,460 | $111,439 |
Net expenses(d) | 0.99 %(e) | 0.99 % | 1.00 %(f) | 1.00 % | 1.01 %(g) | 1.02 %(h) |
Gross expenses | 1.05 %(e) | 1.06 % | 1.05 % | 1.04 % | 1.05 % | 1.06 % |
Net investment income | 4.29 %(e) | 3.79 % | 2.47 % | 1.98 % | 2.48 % | 2.85 % |
Portfolio turnover rate | 18 % | 25 % | 31 % | 27 % | 70 %(i) | 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) | 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. |
(f) | Effective July 1, 2022, the expense limit decreased from 1.00% to 0.99%. |
(g) | Effective July 1, 2020, the expense limit decreased from 1.01% to 1.00%. |
(h) | Effective July 1, 2019, the expense limit decreased from 1.03% to 1.01%. |
(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. |
Strategic Alpha Fund—Class A | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $9.34 | $9.14 | $10.34 | $10.43 | $9.69 | $9.62 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.26 | 0.42 | 0.34 | 0.26 | 0.28 | 0.30 |
Net realized and unrealized gain (loss) | (0.04 ) | 0.27 | (1.20 ) | (0.15 ) | 0.67 | 0.04 |
Total from Investment Operations | 0.22 | 0.69 | (0.86 ) | 0.11 | 0.95 | 0.34 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.24 ) | (0.49 ) | (0.34 ) | (0.20 ) | (0.21 ) | (0.27 ) |
Net asset value, end of the period | $9.32 | $9.34 | $9.14 | $10.34 | $10.43 | $9.69 |
Total return(b) | 2.35 %(c)(d) | 7.70 %(c) | (8.29 )% | 1.07 % | 9.97 % | 3.58 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $16,821 | $17,891 | $29,797 | $41,765 | $36,067 | $48,815 |
Net expenses | 1.00 %(e)(f) | 1.00 %(e) | 1.00 % | 0.97 % | 0.99 % | 0.99 % |
Gross expenses | 1.05 %(f) | 1.03 % | 1.00 % | 0.97 % | 0.99 % | 0.99 % |
Net investment income | 5.62 %(f) | 4.51 % | 3.59 % | 2.45 % | 2.81 % | 3.10 % |
Portfolio turnover rate | 40 % | 38 % | 46 %(g) | 218 %(g) | 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) | 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. |
(g) | 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 | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $9.33 | $9.13 | $10.32 | $10.40 | $9.66 | $9.58 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.23 | 0.35 | 0.27 | 0.18 | 0.21 | 0.23 |
Net realized and unrealized gain (loss) | (0.06 ) | 0.26 | (1.19 ) | (0.15 ) | 0.66 | 0.04 |
Total from Investment Operations | 0.17 | 0.61 | (0.92 ) | 0.03 | 0.87 | 0.27 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.20 ) | (0.41 ) | (0.27 ) | (0.11 ) | (0.13 ) | (0.19 ) |
Net asset value, end of the period | $9.30 | $9.33 | $9.13 | $10.32 | $10.40 | $9.66 |
Total return(b) | 1.98 %(c)(d) | 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) | $2,558 | $2,531 | $3,309 | $4,266 | $8,962 | $16,337 |
Net expenses | 1.75 %(e)(f) | 1.75 %(e) | 1.75 % | 1.73 % | 1.74 % | 1.73 %(g) |
Gross expenses | 1.80 %(f) | 1.78 % | 1.75 % | 1.73 % | 1.74 % | 1.74 % |
Net investment income | 4.87 %(f) | 3.81 % | 2.84 % | 1.68 % | 2.14 % | 2.33 % |
Portfolio turnover rate | 40 % | 38 % | 46 %(h) | 218 %(h) | 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) | 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. |
(g) | 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. |
(h) | 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 | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $9.32 | $9.12 | $10.32 | $10.41 | $9.67 | $9.60 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.27 | 0.44 | 0.37 | 0.29 | 0.31 | 0.33 |
Net realized and unrealized gain (loss) | (0.05 ) | 0.27 | (1.19 ) | (0.15 ) | 0.67 | 0.04 |
Total from Investment Operations | 0.22 | 0.71 | (0.82 ) | 0.14 | 0.98 | 0.37 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.25 ) | (0.51 ) | (0.38 ) | (0.23 ) | (0.24 ) | (0.30 ) |
Net asset value, end of the period | $9.29 | $9.32 | $9.12 | $10.32 | $10.41 | $9.67 |
Total return | 2.51 %(b)(c) | 7.94 %(b) | (8.00 )% | 1.38 % | 10.36 % | 3.92 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $99,614 | $105,702 | $164,264 | $484,005 | $527,494 | $297,300 |
Net expenses | 0.70 %(d)(e) | 0.70 %(d) | 0.69 % | 0.67 % | 0.68 % | 0.67 % |
Gross expenses | 0.73 %(e) | 0.71 % | 0.69 % | 0.67 % | 0.68 % | 0.67 % |
Net investment income | 5.92 %(e) | 4.83 % | 3.81 % | 2.74 % | 3.13 % | 3.39 % |
Portfolio turnover rate | 40 % | 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) | 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. |
(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 Y | ||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 | $9.31 | $9.12 | $10.31 | $10.41 | $9.67 | $9.59 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.27 | 0.44 | 0.37 | 0.28 | 0.30 | 0.32 |
Net realized and unrealized gain (loss) | (0.04 ) | 0.26 | (1.19 ) | (0.15 ) | 0.68 | 0.06 |
Total from Investment Operations | 0.23 | 0.70 | (0.82 ) | 0.13 | 0.98 | 0.38 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.25 ) | (0.51 ) | (0.37 ) | (0.23 ) | (0.24 ) | (0.30 ) |
Net asset value, end of the period | $9.29 | $9.31 | $9.12 | $10.31 | $10.41 | $9.67 |
Total return | 2.48 %(b)(c) | 7.90 %(b) | (7.97 )% | 1.32 % | 10.19 % | 3.96 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $428,051 | $476,304 | $650,242 | $930,815 | $742,493 | $938,271 |
Net expenses | 0.75 %(d)(e) | 0.75 %(d) | 0.75 % | 0.72 % | 0.74 % | 0.74 % |
Gross expenses | 0.80 %(e) | 0.78 % | 0.75 % | 0.72 % | 0.74 % | 0.74 % |
Net investment income | 5.87 %(e) | 4.80 % | 3.83 % | 2.70 % | 3.05 % | 3.33 % |
Portfolio turnover rate | 40 % | 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) | 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. |
(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 Income Fund—Class A | |||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 period | $11.92 | $11.65 | $14.19 | $14.03 | $13.58 | $14.25 | $14.39 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||||
Net investment income(a) | 0.31 | 0.57 | 0.44 | 0.26 | 0.10 | 0.47 | 0.57 |
Net realized and unrealized gain (loss) | (0.20 ) | 0.34 | (2.24 ) | 0.27 | 0.63 | (0.66 ) | (0.16 ) |
Total from Investment Operations | 0.11 | 0.91 | (1.80 ) | 0.53 | 0.73 | (0.19 ) | 0.41 |
LESS DISTRIBUTIONS FROM: | |||||||
Net iNet investment income | (0.32 ) | (0.64 ) | (0.74 ) | (0.37 ) | (0.16 ) | (0.45 ) | (0.48 ) |
Net realized capital gains | — | — | — | — | (0.12 ) | (0.03 ) | (0.07 ) |
Total Distributions | (0.32 ) | (0.64 ) | (0.74 ) | (0.37 ) | (0.28 ) | (0.48 ) | (0.55 ) |
Net asset value, end of the period | $11.71 | $11.92 | $11.65 | $14.19 | $14.03 | $13.58 | $14.25 |
Total return(b) | 1.13 %(c)(d) | 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) | $871,826 | $946,579 | $1,067,151 | $1,512,939 | $1,682,562 | $1,683,547 | $1,835,813 |
Net expenses | 0.93 %(e)(f) | 0.94 %(e)(g) | 0.95 %(e)(h) | 0.96 %(e)(i) | 0.97 %(f) | 0.97 %(j) | 0.96 % |
Gross expenses | 1.01 %(f) | 1.00 % | 0.98 % | 0.97 % | 0.97 %(f) | 0.97 % | 0.96 % |
Net investment income | 5.34 %(f) | 4.89 % | 3.45 % | 1.85 % | 2.78 %(f) | 3.42 % | 4.03 % |
Portfolio turnover rate | 39 % | 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) | Computed on an annualized basis for periods less than one year. |
(g) | Effective July 1, 2023, the expense limit decreased from 0.94% to 0.93%. |
(h) | Effective July 1, 2022, the expense limit decreased from 0.95% to 0.94%. |
(i) | Effective July 1, 2021, the expense limit decreased from 1.00% to 0.95%. |
(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 | |||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 period | $12.08 | $11.80 | $14.36 | $14.18 | $13.72 | $14.39 | $14.52 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||||
Net investment income(a) | 0.27 | 0.48 | 0.34 | 0.16 | 0.07 | 0.38 | 0.47 |
Net realized and unrealized gain (loss) | (0.19 ) | 0.35 | (2.26 ) | 0.28 | 0.64 | (0.68 ) | (0.16 ) |
Total from Investment Operations | 0.08 | 0.83 | (1.92 ) | 0.44 | 0.71 | (0.30 ) | 0.31 |
LESS DISTRIBUTIONS FROM: | |||||||
Net investment income | (0.28 ) | (0.55 ) | (0.64 ) | (0.26 ) | (0.13 ) | (0.34 ) | (0.37 ) |
Net realized capital gains | — | — | — | — | (0.12 ) | (0.03 ) | (0.07 ) |
Total Distributions | (0.28 ) | (0.55 ) | (0.64 ) | (0.26 ) | (0.25 ) | (0.37 ) | (0.44 ) |
Net asset value, end of the period | $11.88 | $12.08 | $11.80 | $14.36 | $14.18 | $13.72 | $14.39 |
Total return(b) | 0.65 %(c)(d) | 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) | $28,348 | $34,212 | $52,977 | $120,091 | $259,780 | $277,896 | $676,602 |
Net expenses | 1.68 %(e)(f) | 1.69 %(e)(g) | 1.70 %(e)(h) | 1.71 %(e)(i) | 1.72 %(f) | 1.72 %(j) | 1.71 % |
Gross expenses | 1.76 %(f) | 1.75 % | 1.73 % | 1.72 % | 1.72 %(f) | 1.72 % | 1.71 % |
Net investment income | 4.58 %(f) | 4.09 % | 2.62 % | 1.12 % | 2.04 %(f) | 2.75 % | 3.30 % |
Portfolio turnover rate | 39 % | 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) | Computed on an annualized basis for periods less than one year. |
(g) | Effective July 1, 2023, the expense limit decreased from 1.69% to 1.68%. |
(h) | Effective July 1, 2022, the expense limit decreased from 1.70% to 1.69%. |
(i) | Effective July 1, 2021, the expense limit decreased from 1.75% to 1.70%. |
(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 | |||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 period | $11.90 | $11.63 | $14.17 | $14.01 | $13.57 | $14.24 | $14.38 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||||
Net investment income(a) | 0.33 | 0.60 | 0.47 | 0.31 | 0.11 | 0.52 | 0.61 |
Net realized and unrealized gain (loss) | (0.19 ) | 0.34 | (2.23 ) | 0.27 | 0.62 | (0.66 ) | (0.16 ) |
Total from Investment Operations | 0.14 | 0.94 | (1.76 ) | 0.58 | 0.73 | (0.14 ) | 0.45 |
LESS DISTRIBUTIONS FROM: | |||||||
Net investment income | (0.34 ) | (0.67 ) | (0.78 ) | (0.42 ) | (0.17 ) | (0.50 ) | (0.52 ) |
Net realized capital gains | — | — | — | — | (0.12 ) | (0.03 ) | (0.07 ) |
Total Distributions | (0.34 ) | (0.67 ) | (0.78 ) | (0.42 ) | (0.29 ) | (0.53 ) | (0.59 ) |
Net asset value, end of the period | $11.70 | $11.90 | $11.63 | $14.17 | $14.01 | $13.57 | $14.24 |
Total return | 1.20 %(b)(c) | 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) | $213,360 | $220,360 | $220,229 | $280,661 | $247,697 | $212,804 | $202,989 |
Net expenses | 0.63 %(d)(e) | 0.64 %(d)(f) | 0.64 %(g) | 0.65 %(h) | 0.65 %(e) | 0.64 %(i) | 0.63 % |
Gross expenses | 0.68 %(e) | 0.66 % | 0.64 % | 0.65 % | 0.65 %(e) | 0.64 % | 0.63 % |
Net investment income | 5.65 %(e) | 5.20 % | 3.77 % | 2.17 % | 3.13 %(e) | 3.77 % | 4.36 % |
Portfolio turnover rate | 39 % | 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) | Computed on an annualized basis for periods less than one year. |
(f) | Effective July 1, 2023, the expense limit decreased from 0.64% to 0.63%. |
(g) | Effective July 1, 2022, the expense limit decreased from 0.65% to 0.64%. |
(h) | Effective July 1, 2021, the expense limit decreased from 0.70% to 0.65%. |
(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 | |||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 period | $11.90 | $11.63 | $14.17 | $14.01 | $13.56 | $14.23 | $14.38 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||||
Net investment income(a) | 0.33 | 0.60 | 0.47 | 0.30 | 0.11 | 0.51 | 0.60 |
Net realized and unrealized gain (loss) | (0.19 ) | 0.34 | (2.24 ) | 0.27 | 0.62 | (0.66 ) | (0.17 ) |
Total from Investment Operations | 0.14 | 0.94 | (1.77 ) | 0.57 | 0.73 | (0.15 ) | 0.43 |
LESS DISTRIBUTIONS FROM: | |||||||
Net investment income | (0.34 ) | (0.67 ) | (0.77 ) | (0.41 ) | (0.16 ) | (0.49 ) | (0.51 ) |
Net realized capital gains | — | — | — | — | (0.12 ) | (0.03 ) | (0.07 ) |
Total Distributions | (0.34 ) | (0.67 ) | (0.77 ) | (0.41 ) | (0.28 ) | (0.52 ) | (0.58 ) |
Net asset value, end of the period | $11.70 | $11.90 | $11.63 | $14.17 | $14.01 | $13.56 | $14.23 |
Total return | 1.26 %(b)(c) | 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) | $1,532,448 | $1,586,092 | $1,816,763 | $3,058,635 | $3,693,954 | $3,774,113 | $4,316,010 |
Net expenses | 0.68 %(d)(e) | 0.69 %(d)(f) | 0.70 %(d)(g) | 0.71 %(d)(h) | 0.72 %(e) | 0.72 %(i) | 0.71 % |
Gross expenses | 0.76 %(e) | 0.75 % | 0.73 % | 0.72 % | 0.72 %(e) | 0.72 % | 0.71 % |
Net investment income | 5.60 %(e) | 5.13 % | 3.68 % | 2.10 % | 3.03 %(e) | 3.68 % | 4.28 % |
Portfolio turnover rate | 39 % | 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) | Computed on an annualized basis for periods less than one year. |
(f) | Effective July 1, 2023, the expense limit decreased from 0.69% to 0.68%. |
(g) | Effective July 1, 2022, the expense limit decreased from 0.70% to 0.69%. |
(h) | Effective July 1, 2021, the expense limit decreased from 0.75% to 0.70%. |
(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 | |||||||
Six Months Ended June 30, 2024 (Unaudited) | 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 period | $11.87 | $11.60 | $14.14 | $13.97 | $13.53 | $14.20 | $14.34 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | |||||||
Net investment income(a) | 0.30 | 0.54 | 0.40 | 0.23 | 0.09 | 0.44 | 0.53 |
Net realized and unrealized gain (loss) | (0.20 ) | 0.34 | (2.23 ) | 0.28 | 0.62 | (0.66 ) | (0.16 ) |
Total from Investment Operations | 0.10 | 0.88 | (1.83 ) | 0.51 | 0.71 | (0.22 ) | 0.37 |
LESS DISTRIBUTIONS FROM: | |||||||
Net investment income | (0.31 ) | (0.61 ) | (0.71 ) | (0.34 ) | (0.15 ) | (0.42 ) | (0.44 ) |
Net realized capital gains | — | — | — | — | (0.12 ) | (0.03 ) | (0.07 ) |
Total Distributions | (0.31 ) | (0.61 ) | (0.71 ) | (0.34 ) | (0.27 ) | (0.45 ) | (0.51 ) |
Net asset value, end of the period | $11.66 | $11.87 | $11.60 | $14.14 | $13.97 | $13.53 | $14.20 |
Total return | 0.93 %(b)(c) | 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) | $62,839 | $66,181 | $68,788 | $95,250 | $105,172 | $103,197 | $121,903 |
Net expenses | 1.18 %(d)(e) | 1.19 %(d)(f) | 1.20 %(d)(g) | 1.21 %(d)(h) | 1.22 %(e) | 1.22 %(i) | 1.20 %(j) |
Gross expenses | 1.26 %(e) | 1.25 % | 1.23 % | 1.22 % | 1.22 %(e) | 1.22 % | 1.20 %(j) |
Net investment income | 5.10 %(e) | 4.65 % | 3.20 % | 1.60 % | 2.53 %(e) | 3.19 % | 3.80 % |
Portfolio turnover rate | 39 % | 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) | Computed on an annualized basis for periods less than one year. |
(f) | Effective July 1, 2023, the expense limit decreased from 1.19% to 1.18%. |
(g) | Effective July 1, 2022, the expense limit decreased from 1.20% to 1.19%. |
(h) | Effective July 1, 2021, the expense limit decreased from 1.25% to 1.20%. |
(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. |
2023 Distributions | |||
Fund | Ordinary Income | Long-Term Capital Gains | Total |
High Income Fund | $4,118,403 | $ — | $4,118,403 |
Investment Grade Bond Fund | 379,102,057 | — | 379,102,057 |
Strategic Alpha Fund | 38,213,893 | — | 38,213,893 |
Strategic Income Fund | 167,988,200 | — | 167,988,200 |
High Income Fund | Investment Grade Bond Fund | Strategic Alpha Fund | Strategic Income Fund | |
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 ) | $ — |
* | 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 | $ — | $ — | $ — | $ — |
Foreign currency translations | — | — | — | — |
Total unrealized appreciation | — | — | — | — |
High Income Fund | Investment Grade Bond Fund | Strategic Alpha Fund | Strategic Income Fund | |
Federal tax cost | $53,890,639 | $13,021,545,926 | $621,636,947 | $3,239,293,203 |
Gross tax appreciation | $529,636 | $188,007,180 | $10,412,213 | $52,378,226 |
Gross tax depreciation | (10,878,192 ) | (393,645,177 ) | (96,464,455 ) | (482,504,064 ) |
Net tax depreciation | $(10,348,556 ) | $(205,637,997 ) | $(86,052,242 ) | $(430,125,838 ) |
High Income Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Non-Convertible Bonds | ||||
Home Construction | $ — | $ — | $ — | $ — |
Non-Agency Commercial Mortgage-Backed Securities | — | 835,324 | 52,502 | 887,826 |
All Other Non-Convertible Bonds(a) | — | 33,923,318 | — | 33,923,318 |
Total Non-Convertible Bonds | — | 34,758,642 | 52,502 | 34,811,144 |
Convertible Bonds(a) | — | 3,869,572 | — | 3,869,572 |
Total Bonds and Notes | — | 38,628,214 | 52,502 | 38,680,716 |
Senior Loans(a) | — | 3,074,205 | — | 3,074,205 |
Collateralized Loan Obligations | — | 250,002 | — | 250,002 |
Preferred Stocks(a) | 158,834 | — | — | 158,834 |
Common Stocks | ||||
Real Estate Management & Development | — | 233 | — | 233 |
All Other Common Stocks(a) | 25,801 | — | — | 25,801 |
Total Common Stocks | 25,801 | 233 | — | 26,034 |
Warrants | — | — | — | — |
Other Investments(a) | — | — | — | — |
Short-Term Investments | — | 1,352,292 | — | 1,352,292 |
Total Investments | $184,635 | $43,304,946 | $52,502 | $43,542,083 |
(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) | $ — | $11,711,805,404 | $ — | $11,711,805,404 |
Collateralized Loan Obligations | — | 329,436,553 | — | 329,436,553 |
Senior Loans(a) | — | 312,617,818 | — | 312,617,818 |
Preferred Stocks(a) | 4,839,354 | — | — | 4,839,354 |
Short-Term Investments | — | 438,110,604 | — | 438,110,604 |
Total Investments | 4,839,354 | 12,791,970,379 | — | 12,796,809,733 |
Futures Contracts (unrealized appreciation) | 52,654,792 | — | — | 52,654,792 |
Total | $57,494,146 | $12,791,970,379 | $ — | $12,849,464,525 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts (unrealized depreciation) | $(33,556,596 ) | $ — | $ — | $(33,556,596 ) |
(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 | $ — | $30,405,387 | $1,996,712 | $32,402,099 |
Non-Agency Commercial Mortgage-Backed Securities | — | 37,467,738 | 888,405 | 38,356,143 |
All Other Non-Convertible Bonds(a) | — | 354,538,153 | — | 354,538,153 |
Total Non-Convertible Bonds | — | 422,411,278 | 2,885,117 | 425,296,395 |
Convertible Bonds(a) | — | 19,316,118 | — | 19,316,118 |
Total Bonds and Notes | — | 441,727,396 | 2,885,117 | 444,612,513 |
Collateralized Loan Obligations | — | 51,339,220 | — | 51,339,220 |
Senior Loans(a) | — | 16,504,163 | — | 16,504,163 |
Common Stocks | ||||
Real Estate Management & Development | — | 1,616 | — | 1,616 |
All Other Common Stocks(a) | 12,127,818 | — | — | 12,127,818 |
Total Common Stocks | 12,127,818 | 1,616 | — | 12,129,434 |
Preferred Stocks(a) | 399,989 | — | — | 399,989 |
Other Investments(a) | — | — | — | — |
Short-Term Investments | — | 7,783,295 | — | 7,783,295 |
Purchased Options(a) | 696,681 | — | — | 696,681 |
Total Investments | 13,224,488 | 517,355,690 | 2,885,117 | 533,465,295 |
Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation) | — | 697,700 | — | 697,700 |
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) | — | 129,826 | — | 129,826 |
Forward Foreign Currency Contracts (unrealized appreciation) | — | 44,304 | — | 44,304 |
Futures Contracts (unrealized appreciation) | 1,459,762 | — | — | 1,459,762 |
Total | $14,684,250 | $518,227,520 | $2,885,117 | $535,796,887 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Written Options(a) | $(592,579 ) | $ — | $ — | $(592,579 ) |
Forward Foreign Currency Contracts (unrealized depreciation) | — | (272,829 ) | — | (272,829 ) |
Futures Contracts (unrealized depreciation) | (859,690 ) | — | — | (859,690 ) |
Total | $(1,452,269 ) | $(272,829 ) | $ — | $(1,725,098 ) |
(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(a) | $ — | $2,156,448,162 | $ — | $2,156,448,162 |
Common Stocks | ||||
Real Estate Management & Development | — | 5,531 | — | 5,531 |
Technology Hardware, Storage & Peripherals | 7,382,442 | 54,975 | — | 7,437,417 |
All Other Common Stocks(a) | 164,199,155 | — | — | 164,199,155 |
Total Common Stocks | 171,581,597 | 60,506 | — | 171,642,103 |
Senior Loans(a) | — | 169,957,061 | — | 169,957,061 |
Collateralized Loan Obligations | — | 107,593,722 | — | 107,593,722 |
Preferred Stocks | ||||
Convertible Preferred Stocks(a) | 4,610,344 | — | — | 4,610,344 |
Non-Convertible Preferred Stocks | ||||
Home Construction | 3,806,737 | — | — | 3,806,737 |
Office REITs | — | — | 1,631,875 | 1,631,875 |
Other REITs | — | 6,310,937 | — | 6,310,937 |
Total Non-Convertible Preferred Stocks | 3,806,737 | 6,310,937 | 1,631,875 | 11,749,549 |
Total Preferred Stocks | 8,417,081 | 6,310,937 | 1,631,875 | 16,359,893 |
Short-Term Investments | — | 182,614,633 | — | 182,614,633 |
Total Investments | 179,998,678 | 2,622,985,021 | 1,631,875 | 2,804,615,574 |
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) | — | 91,962 | — | 91,962 |
Forward Foreign Currency Contracts (unrealized appreciation) | — | 118,857 | — | 118,857 |
Futures Contracts (unrealized appreciation) | 9,114,193 | — | — | 9,114,193 |
Total | $189,112,871 | $2,623,195,840 | $1,631,875 | $2,813,940,586 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts (unrealized depreciation) | $(4,773,221 ) | $ — | $ — | $(4,773,221 ) |
(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, 2023 | 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 June 30, 2024 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2024 |
Bonds and Notes | ||||||||||
Non-Convertible Bonds | ||||||||||
Home Construction | $ — | $ — | $ — | $ — | $ — | $ — | $ — | $ — | $ — | $ — |
High Income Fund | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of December 31, 2023 | 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 June 30, 2024 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2024 |
Non-Agency Commercial Mortgage- Backed Securities | $107,108 | $ — | $ — | $(54,606 ) | $ — | $ — | $ — | $ — | $52,502 | $(54,606 ) |
Warrants | — | — | — | — | — | — | — | — | — | — |
Other Investments | ||||||||||
Aircraft ABS | — | — | — | — | — | — | — | — | — | — |
Total | $107,108 | $ — | $ — | $(54,606 ) | $ — | $ — | $ — | $ — | $52,502 | $(54,606 ) |
Strategic Alpha Fund | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of December 31, 2023 | 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 June 30, 2024 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2024 |
Bonds and Notes | ||||||||||
Non-Convertible Bonds | ||||||||||
ABS Home Equity | $40,417 | $ — | $429 | $(36,133 ) | $ — | $(192,724 ) | $2,184,723 | $ — | $1,996,712 | $(36,066 ) |
Non-Agency Commercial Mortgage- Backed Securities | 1,528,640 | — | — | (640,235 ) | — | — | — | — | 888,405 | (640,235 ) |
Other Investments | ||||||||||
Aircraft ABS | — | — | — | — | — | — | — | — | — | — |
Total | $1,569,057 | $ — | $429 | $(676,368 ) | $ — | $(192,724 ) | $2,184,723 | $ — | $2,885,117 | $(676,301 ) |
Strategic Income Fund | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of December 31, 2023 | 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 June 30, 2024 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2024 |
Preferred Stocks | ||||||||||
Non-Convertible Preferred Stocks | ||||||||||
Office REITs | $1,579,642 | $ — | $ — | $52,233 | $ — | $ — | $ — | $ — | $1,631,875 | $52,233 |
Net Realized Gain (Loss) on: | Swap agreements |
Credit contracts | $29,856 |
Net Change in Unrealized Appreciation (Depreciation) on: | Swap agreements |
Credit contracts | $(30,163 ) |
Assets | Unrealized appreciation on futures contracts1 |
Exchange-traded asset derivatives | |
Interest rate contracts | $52,654,792 |
Liabilities | Unrealized depreciation on futures contracts1 |
Exchange-traded liability derivatives | |
Interest rate contracts | $(33,556,596 ) |
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 | $3,852,166 |
Net Change in Unrealized Appreciation (Depreciation) on: | Futures contracts |
Interest rate contracts | $(93,440,004 ) |
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 | $ — | $44,304 | $ — | $ — | $44,304 |
Exchange-traded/cleared asset derivatives | |||||
Interest rate contracts | 696,681 | — | 1,459,762 | 699,176 | 2,855,619 |
Total asset derivatives | $696,681 | $44,304 | $1,459,762 | $699,176 | $2,899,923 |
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 | $ — | $(272,829 ) | $ — | $ — | $(272,829 ) |
Exchange-traded/cleared liability derivatives | |||||
Interest rate contracts | (592,579 ) | — | (859,690 ) | — | (1,452,269 ) |
Credit contracts | — | — | — | (2,037,134 ) | (2,037,134 ) |
Total exchange-traded/cleared liability derivatives | $(592,579 ) | $— | $(859,690 ) | $(2,037,134 ) | $(3,489,403 ) |
Total liability derivatives | $(592,579 ) | $(272,829 ) | $(859,690 ) | $(2,037,134 ) | $(3,762,232 ) |
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 | $(51,889 ) | $ — | $(1,436,154 ) | $141,570 | $61,664 |
Foreign exchange contracts | — | (181,343 ) | — | — | — |
Credit contracts | — | — | — | — | (4,676,017 ) |
Equity contracts | — | — | — | 16,275 | — |
Total | $(51,889 ) | $(181,343 ) | $(1,436,154 ) | $157,845 | $(4,614,353 ) |
Net Change in Unrealized Appreciation (Depreciation) on: | Investments1 | Forward foreign currency contracts | Futures contracts | Options written | Swap agreements |
Interest rate contracts | $(723,475 ) | $ — | $639,051 | $ — | $(33,348 ) |
Foreign exchange contracts | — | 68,955 | — | — | — |
Credit contracts | — | — | — | — | 3,105,803 |
Equity contracts | — | — | — | 943,315 | — |
Total | $(723,475 ) | $68,955 | $639,051 | $943,315 | $3,072,455 |
1 | Represents realized gain and change in unrealized appreciation (depreciation), respectively, for purchased options during the period. |
Assets | Unrealized appreciation on forward foreign currency contracts | Unrealized appreciation on futures contracts1 | Swap agreements at value2 | Total |
Over-the-counter asset derivatives | ||||
Foreign exchange contracts | $118,857 | $ — | $ — | $118,857 |
Exchange-traded/cleared asset derivatives | ||||
Interest rate contracts | — | 9,114,193 | — | 9,114,193 |
Credit contracts | — | — | 2,570,111 | 2,570,111 |
Total exchange-traded/cleared asset derivatives | $— | $9,114,193 | $2,570,111 | $11,684,304 |
Total asset derivatives | $118,857 | $9,114,193 | $2,570,111 | $11,803,161 |
Liabilities | Unrealized depreciation on futures contracts1 |
Exchange-traded liability derivatives | |
Interest rate contracts | $(4,773,221 ) |
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. |
2 | 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: | Forward foreign currency contracts | Futures contracts | Swap agreements |
Interest rate contracts | $ — | $3,061,166 | $ — |
Foreign exchange contracts | 125,651 | — | — |
Credit contracts | — | — | 4,679 |
Total | $125,651 | $3,061,166 | $4,679 |
Net Change in Unrealized Appreciation (Depreciation) on: | Forward foreign currency contracts | Futures contracts | Swap agreements |
Interest rate contracts | $ — | $(23,469,413 ) | $ — |
Foreign exchange contracts | 209,183 | — | — |
Credit contracts | — | — | 91,962 |
Total | $209,183 | $(23,469,413 ) | $91,962 |
Investment Grade Bond Fund | Futures |
Average Notional Amount Outstanding | 63.67 % |
Highest Notional Amount Outstanding | 62.93 % |
Lowest Notional Amount Outstanding | 57.14 % |
Notional Amount Outstanding as of June 30, 2024 | 61.44 % |
Strategic Alpha Fund | Forwards | Futures | Credit Default Swaps | Interest Rate Swaps |
Average Notional Amount Outstanding | 3.46 % | 85.46 % | 8.89 % | 3.08 % |
Highest Notional Amount Outstanding | 4.07 % | 100.47 % | 10.55 % | 3.32 % |
Lowest Notional Amount Outstanding | 2.90 % | 69.85 % | 5.80 % | 2.92 % |
Notional Amount Outstanding as of June 30, 2024 | 4.07 % | 83.27 % | 5.80 % | 3.32 % |
Strategic Income Fund | Forwards | Futures | Credit Default Swaps |
Average Notional Amount Outstanding | 0.32 % | 58.91 % | 0.21 % |
Highest Notional Amount Outstanding | 0.32 % | 70.27 % | 1.48 % |
Lowest Notional Amount Outstanding | 0.31 % | 49.88 % | 0.00 % |
Notional Amount Outstanding as of June 30, 2024 | 0.32 % | 50.55 % | 1.48 % |
Strategic Alpha Fund | Call Options Purchased* | Call Options Written* | Put Options Purchased* | Put Options Written* |
Average Market Value of Underlying Instruments | 5.45 % | 7.86 % | 12.92 % | 10.85 % |
Highest Market Value of Underlying Instruments | 39.94 % | 39.94 % | 39.94 % | 39.94 % |
Lowest Market Value of Underlying Instruments | 0.00 % | 0.00 % | 0.00 % | 0.00 % |
Market Value of Underlying Instruments as of June 30, 2024 | 39.94 % | 39.94 % | 39.94 % | 39.94 % |
* | 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 |
Bank of America N.A. | $36,048 | $(9,255 ) | $26,793 | $ — | $26,793 |
Barclays Bank PLC | 8,256 | (8,256 ) | — | — | — |
$44,304 | $(17,511 ) | $26,793 | $ — | $26,793 |
Counterparty | Gross Amounts of Liabilities | Offset Amount | Net Liability Balance | Collateral (Received)/ Pledged | Net Amount |
Bank of America N.A. | $(9,255 ) | $9,255 | $ — | $ — | $ — |
Barclays Bank PLC | (31,731 ) | 8,256 | (23,475 ) | — | (23,475 ) |
BNP Paribas SA | (231,843 ) | — | (231,843 ) | 30,000 | (201,843 ) |
$(272,829 ) | $17,511 | $(255,318 ) | $30,000 | $(225,318 ) |
Strategic Income Fund | |||||
Counterparty | Gross Amounts of Assets | Offset Amount | Net Asset Balance | Collateral (Received)/ Pledged | Net Amount |
Bank of America N.A. | $118,857 | $ — | $118,857 | $ — | $118,857 |
U.S. Government/ Agency Securities | Other Securities | |||
Fund | Purchases | Sales | Purchases | Sales |
High Income Fund | $1,936,451 | $869,619 | $17,090,165 | $18,528,439 |
Investment Grade Bond Fund | 2,255,525,135 | 848,137,027 | 3,973,394,870 | 1,091,502,620 |
Strategic Alpha Fund | 68,493,011 | 32,411,167 | 149,836,377 | 243,453,771 |
Strategic Income Fund | 251,795,747 | 217,752,129 | 797,838,424 | 1,006,383,955 |
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 % |
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 |
Strategic Alpha Fund | 0.98 % | 1.73 % | 0.68 % | 0.73 % | — % |
Strategic Income Fund | 0.92 % | 1.67 % | 0.62 % | 0.67 % | 1.17 % |
Gross Management Fees | Contractual Waivers of Management Fees1 | Net Management Fees | Percentage of Average Daily Net Assets | ||
Fund | Gross | Net | |||
High Income Fund | $119,871 | $119,871 | $ — | 0.55 % | — % |
Investment Grade Bond Fund | 22,694,543 | 3,326,000 | 19,368,543 | 0.40 % | 0.34 % |
Strategic Alpha Fund | 1,709,423 | 138,364 | 1,571,059 | 0.60 % | 0.55 % |
Strategic Income Fund | 8,002,317 | 1,030,529 | 6,971,788 | 0.58 % | 0.50 % |
1 | Management fee waivers are subject to possible recovery until December 31, 2025. |
Service Fees | Distribution Fees | |||||
Fund | Class A | Class C | Admin Class | Class C | Admin Class | |
High Income Fund | $20,024 | $896 | $ — | $2,689 | $ — | |
Investment Grade Bond Fund | 909,291 | 87,674 | 131,960 | 263,021 | 131,960 | |
Strategic Alpha Fund | 21,264 | 3,232 | — | 9,695 | — | |
Strategic Income Fund | 1,124,357 | 38,218 | 79,833 | 114,656 | 79,833 |
Fund | Administrative Fees |
High Income Fund | $9,826 |
Investment Grade Bond Fund | 2,555,836 |
Strategic Alpha Fund | 128,461 |
Strategic Income Fund | 622,408 |
Fund | Sub-Transfer Agent Fees |
High Income Fund | $8,502 |
Investment Grade Bond Fund | 3,503,618 |
Strategic Alpha Fund | 163,540 |
Strategic Income Fund | 1,034,716 |
Fund | Reimbursements of Sub-Transfer Agent Fees |
High Income Fund | $246 |
Investment Grade Bond Fund | 97,188 |
Strategic Alpha Fund | 4,242 |
Strategic Income Fund | 25,678 |
Fund | Commissions |
High Income Fund | $807 |
Investment Grade Bond Fund | 39,010 |
Strategic Alpha Fund | 1,220 |
Strategic Income Fund | 5,170 |
Percentage of Net Assets | |
High Income Fund | |
Natixis and Affiliates | 7.80 % |
Investment Grade Bond Fund | |
Loomis Sayles Employees’ Profit Sharing Retirement Plan | 0.07 % |
Transfer Agent Fees and Expenses | |||||
Fund | Class A | Class C | Class N | Class Y | Admin Class |
High Income Fund | $5,002 | $218 | $768 | $8,357 | $ — |
Investment Grade Bond Fund | 276,207 | 26,645 | 21,552 | 3,304,748 | 40,084 |
Strategic Alpha Fund | 6,202 | 942 | 1,882 | 163,351 | — |
Strategic Income Fund | 384,938 | 13,087 | 3,388 | 664,423 | 27,332 |
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 | 31.57 % | 7.80 % | 39.37 % |
Strategic Alpha Fund | 2 | 19.55 % | — | 19.55 % |
Six Months Ended June 30, 2024 | Year Ended December 31, 2023 | |||
High Income Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 261,019 | $914,566 | 306,032 | $1,067,932 |
Issued in connection with the reinvestment of distributions | 142,786 | 498,711 | 321,597 | 1,120,237 |
Redeemed | (278,947 ) | (975,624 ) | (1,580,015 ) | (5,494,862 ) |
Net change | 124,858 | $437,653 | (952,386 ) | $(3,306,693 ) |
Class C | ||||
Issued from the sale of shares | 26,227 | $92,991 | 16,682 | $58,103 |
Issued in connection with the reinvestment of distributions | 4,527 | 15,903 | 13,573 | 47,529 |
Redeemed | (76,812 ) | (269,771 ) | (155,457 ) | (547,251 ) |
Net change | (46,058 ) | $(160,877 ) | (125,202 ) | $(441,619 ) |
Class N | ||||
Issued from the sale of shares | 996 | $3,500 | 8,277 | $29,269 |
Issued in connection with the reinvestment of distributions | 1,791 | 6,256 | 3,146 | 10,957 |
Redeemed | (280 ) | (980 ) | (617 ) | (2,157 ) |
Net change | 2,507 | $8,776 | 10,806 | $38,069 |
Class Y | ||||
Issued from the sale of shares | 52,921 | $185,534 | 1,888,911 | $6,708,806 |
Issued in connection with the reinvestment of distributions | 263,344 | 918,555 | 682,486 | 2,379,629 |
Redeemed | (832,012 ) | (2,917,857 ) | (22,464,868 ) | (80,345,925 ) |
Net change | (515,747 ) | $(1,813,768 ) | (19,893,471 ) | $(71,257,490 ) |
Decrease from capital share transactions | (434,440 ) | $(1,528,216 ) | (20,960,253 ) | $(74,967,733 ) |
Six Months Ended June 30, 2024 | Year Ended December 31, 2023 | |||
Investment Grade Bond Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 11,648,918 | $113,987,794 | 25,396,146 | $246,567,507 |
Issued in connection with the reinvestment of distributions | 1,266,393 | 12,328,958 | 2,264,608 | 21,815,546 |
Redeemed | (10,229,114 ) | (99,934,468 ) | (21,822,384 ) | (209,544,718 ) |
Net change | 2,686,197 | $26,382,284 | 5,838,370 | $58,838,335 |
Class C | ||||
Issued from the sale of shares | 1,431,466 | $13,810,484 | 3,184,655 | $30,498,673 |
Issued in connection with the reinvestment of distributions | 126,125 | 1,210,803 | 209,731 | 1,993,258 |
Redeemed | (1,155,296 ) | (11,130,770 ) | (2,302,311 ) | (21,957,456 ) |
Net change | 402,295 | $3,890,517 | 1,092,075 | $10,534,475 |
Class N | ||||
Issued from the sale of shares | 76,218,630 | $744,284,882 | 91,924,554 | $885,815,955 |
Issued in connection with the reinvestment of distributions | 3,885,455 | 37,812,970 | 5,076,986 | 48,937,064 |
Redeemed | (17,674,336 ) | (172,439,194 ) | (86,022,542 ) | (837,693,684 ) |
Net change | 62,429,749 | $609,658,658 | 10,978,998 | $97,059,335 |
Class Y | ||||
Issued from the sale of shares | 286,844,078 | $2,804,395,608 | 467,964,100 | $4,536,504,200 |
Issued in connection with the reinvestment of distributions | 18,009,877 | 175,457,763 | 25,929,745 | 249,724,582 |
Redeemed | (116,126,670 ) | (1,135,484,301 ) | (194,903,390 ) | (1,871,622,848 ) |
Net change | 188,727,285 | $1,844,369,070 | 298,990,455 | $2,914,605,934 |
Admin Class | ||||
Issued from the sale of shares | 741,120 | $7,225,736 | 2,991,834 | $29,088,850 |
Issued in connection with the reinvestment of distributions | 214,990 | 2,086,320 | 515,315 | 4,946,804 |
Redeemed | (4,725,567 ) | (46,560,856 ) | (1,847,534 ) | (17,617,451 ) |
Net change | (3,769,457 ) | $(37,248,800 ) | 1,659,615 | $16,418,203 |
Increase from capital share transactions | 250,476,069 | $2,447,051,729 | 318,559,513 | $3,097,456,282 |
Six Months Ended June 30, 2024 | Year Ended December 31, 2023 | |||
Strategic Alpha Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 100,084 | $932,877 | 456,338 | $4,209,477 |
Issued in connection with the reinvestment of distributions | 33,469 | 312,093 | 99,309 | 909,163 |
Redeemed | (243,464 ) | (2,279,603 ) | (1,899,495 ) | (17,465,791 ) |
Net change | (109,911 ) | $(1,034,633 ) | (1,343,848 ) | $(12,347,151 ) |
Class C | ||||
Issued from the sale of shares | 23,027 | $214,879 | 45,444 | $418,841 |
Issued in connection with the reinvestment of distributions | 5,407 | 50,340 | 11,120 | 101,827 |
Redeemed | (24,835 ) | (232,589 ) | (147,682 ) | (1,359,697 ) |
Net change | 3,599 | $32,630 | (91,118 ) | $(839,029 ) |
Class N | ||||
Issued from the sale of shares | 1,060,757 | $9,885,813 | 1,364,528 | $12,543,692 |
Issued in connection with the reinvestment of distributions | 144,064 | 1,339,727 | 302,868 | 2,768,620 |
Redeemed | (1,830,191 ) | (17,072,499 ) | (8,330,688 ) | (76,590,983 ) |
Net change | (625,370 ) | $(5,846,959 ) | (6,663,292 ) | $(61,278,671 ) |
Class Y | ||||
Issued from the sale of shares | 5,519,674 | $51,437,096 | 15,287,147 | $140,821,294 |
Issued in connection with the reinvestment of distributions | 1,125,401 | 10,455,208 | 2,964,920 | 27,064,532 |
Redeemed | (11,707,500 ) | (108,894,912 ) | (38,425,804 ) | (352,610,278 ) |
Net change | (5,062,425 ) | $(47,002,608 ) | (20,173,737 ) | $(184,724,452 ) |
Decrease from capital share transactions | (5,794,107 ) | $(53,851,570 ) | (28,271,995 ) | $(259,189,303 ) |
Six Months Ended June 30, 2024 | Year Ended December 31, 2023 | |||
Strategic Income Fund | Shares | Amount | Shares | Amount |
Class A | ||||
Issued from the sale of shares | 2,237,894 | $26,286,655 | 5,396,144 | $63,165,985 |
Issued in connection with the reinvestment of distributions | 1,507,399 | 17,657,837 | 3,339,258 | 38,694,621 |
Redeemed | (8,750,904 ) | (102,852,842 ) | (20,930,624 ) | (243,186,741 ) |
Net change | (5,005,611 ) | $(58,908,350 ) | (12,195,222 ) | $(141,326,135 ) |
Class C | ||||
Issued from the sale of shares | 111,106 | $1,326,110 | 344,723 | $4,070,984 |
Issued in connection with the reinvestment of distributions | 50,124 | 595,381 | 133,724 | 1,571,614 |
Redeemed | (606,909 ) | (7,234,660 ) | (2,137,792 ) | (25,254,269 ) |
Net change | (445,679 ) | $(5,313,169 ) | (1,659,345 ) | $(19,611,671 ) |
Class N | ||||
Issued from the sale of shares | 1,254,988 | $14,660,309 | 2,056,873 | $24,053,872 |
Issued in connection with the reinvestment of distributions | 498,447 | 5,831,549 | 1,023,850 | 11,845,636 |
Redeemed | (2,031,051 ) | (23,777,397 ) | (3,497,513 ) | (40,734,619 ) |
Net change | (277,616 ) | $(3,285,539 ) | (416,790 ) | $(4,835,111 ) |
Class Y | ||||
Issued from the sale of shares | 12,726,827 | $149,509,114 | 24,750,383 | $288,798,152 |
Issued in connection with the reinvestment of distributions | 2,698,994 | 31,562,109 | 5,940,532 | 68,749,953 |
Redeemed | (17,700,285 ) | (207,757,711 ) | (53,605,076 ) | (622,978,815 ) |
Net change | (2,274,464 ) | $(26,686,488 ) | (22,914,161 ) | $(265,430,710 ) |
Admin Class | ||||
Issued from the sale of shares | 189,036 | $2,221,133 | 244,917 | $2,861,871 |
Issued in connection with the reinvestment of distributions | 141,294 | 1,648,053 | 296,316 | 3,419,495 |
Redeemed | (519,453 ) | (6,082,131 ) | (894,094 ) | (10,337,583 ) |
Net change | (189,123 ) | $(2,212,945 ) | (352,861 ) | $(4,056,217 ) |
Decrease from capital share transactions | (8,192,493 ) | $(96,406,491 ) | (37,538,379 ) | $(435,259,844 ) |
One-Year | Three-Year | Five-Year | |
Loomis Sayles High Income Fund | 90% | 99% | 94% |
Loomis Sayles Investment Grade Bond Fund | 12% | 10% | 5% |
Loomis Sayles Strategic Alpha Fund | 39% | 59% | 49% |
Loomis Sayles Strategic Income Fund | 66% | 78% | 91% |
Visit: im.natixis.com Call: 800-225-5478
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
Exp. 8/30/20255890148.2.1IF58SA-0624
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Not applicable.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
The remuneration paid to Directors and Officers are incorporated by reference as part of the Financial Statements and Other Important Information for Open-End Management Investment Companies filed as Item 7 herewith.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
The statements regarding basis for approval of investment advisory contracts are incorporated by reference as part of the Financial Statements and Other Important Information for Open-End Management Investment Companies filed as Item 7 herewith.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 15. 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 16. 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 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 19. Exhibits.
| (a) | (1) | Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. Not Applicable. | |||
(a) | (2) | Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act by the registered national securities exchange or registered national securities association upon which the registrants securities are listed. Not Applicable. | ||||
(a) | (3) | |||||
(a) | (3)(1) | Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not Applicable | ||||
(a) | (3)(2) | Changes in the registrant’s independent public accountant. Not Applicable | ||||
(b) | ||||||
(101) | Inline Interactive Data File-the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the inline XBRL document. |
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: | August 21, 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: | August 21, 2024 | |
By: /s/ Matthew J. Block | ||
Name: | Matthew J. Block | |
Title: | Treasurer and Principal Financial and Accounting Officer | |
Date: | August 21, 2024 |