PORTFOLIO OF INVESTMENTS – as of March 31, 2020 (Unaudited)
Loomis Sayles Strategic Alpha Fund
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – 78.0% of Net Assets | ||||||||
Non-Convertible Bonds – 76.7% | ||||||||
ABS Car Loan – 10.0% |
| |||||||
$ 2,805,000 | AmeriCredit Automobile Receivables Trust, Series2018-2, Class D, | $ | 2,275,436 | |||||
782,935 | AmeriCredit Automobile Receivables Trust, Series2018-3, Class A2B, | 780,222 | ||||||
3,845,000 | AmeriCredit Automobile Receivables Trust, Series2018-3, Class D, | 3,880,200 | ||||||
2,500,000 | AmeriCredit Automobile Receivables Trust, Series2019-3, Class A3, | 2,537,117 | ||||||
1,210,000 | Avid Automobile Receivables Trust, Series2019-1, Class C, | 1,157,195 | ||||||
1,035,000 | Avid Automobile Receivables Trust, Series2019-1, Class D, | 992,031 | ||||||
1,785,000 | California Republic Auto Receivables Trust, Series2018-1, Class D, | 1,822,779 | ||||||
135,000 | CarMax Auto Owner Trust, Series2018-1, Class D, | 124,533 | ||||||
1,435,000 | CarMax Auto Owner Trust, Series2018-2, Class D, | 1,459,467 | ||||||
1,038,250 | CarMax Auto Owner Trust, Series2018-3, Class A2B, | 1,037,969 | ||||||
1,817,517 | CarMax Auto Owner Trust, Series2018-4, Class A2B, | 1,810,267 | ||||||
1,125,000 | CarMax Auto Owner Trust, Series2018-4, Class D, | 1,038,628 | ||||||
7,285,000 | CarMax Auto Owner Trust, Series2019-1, Class A3, | 7,407,360 | ||||||
2,350,000 | CarMax Auto Owner Trust, Series2019-1, Class D, | 2,393,966 | ||||||
53,373 | CIG Auto Receivables Trust, Series2017-1A, Class A, | 53,202 | ||||||
815,000 | CPS Auto Receivables Trust, Series2017-D, Class D, | 803,582 | ||||||
230,000 | CPS Auto Receivables Trust, Series2018-A, Class C, | 226,295 | ||||||
1,795,000 | CPS Auto Receivables Trust, Series2018-D, Class C, | 1,788,151 | ||||||
525,000 | Credit Acceptance Auto Loan Trust, Series2017-3A, Class C, | 521,593 | ||||||
1,205,000 | Credit Acceptance Auto Loan Trust, Series2018-2A, Class C, | 1,180,750 | ||||||
4,745,000 | Credit Acceptance Auto Loan Trust, Series2019-1A, Class C, | 4,640,317 | ||||||
2,955,000 | Drive Auto Receivables Trust, Series2018-1, Class D, | 2,949,861 | ||||||
195,000 | Drive Auto Receivables Trust, Series2018-3, Class D, | 193,534 | ||||||
2,395,000 | Drive Auto Receivables Trust, Series2018-5, Class D, | 2,367,234 | ||||||
1,330,000 | Drive Auto Receivables Trust, Series2019-1, Class D, | 1,317,725 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Car Loan – continued |
| |||||||
$ 2,365,000 | Drive Auto Receivables Trust, Series2019-3, Class A3, | $ | 2,344,815 | |||||
2,155,000 | DT Auto Owner Trust, Series2018-3A, Class C, | 2,117,054 | ||||||
1,390,000 | DT Auto Owner Trust, Series2018-2A, Class D, | 1,382,060 | ||||||
1,655,000 | DT Auto Owner Trust, Series2019-2A, Class D, | 1,542,864 | ||||||
635,000 | First Investors Auto Owner Trust , Series2019-2A, Class D, | 604,161 | ||||||
1,475,000 | First Investors Auto Owner Trust , Series2019-2A, Class E, | 1,355,248 | ||||||
220,000 | First Investors Auto Owner Trust, Series2016-2A, Class D, | 218,449 | ||||||
650,000 | Flagship Credit Auto Trust, Series2016-3, Class D, | 649,837 | ||||||
3,305,000 | Flagship Credit Auto Trust, Series2019-2, Class D, | 3,229,004 | ||||||
317,034 | Ford Credit Auto Lease Trust, Series2018-B, Class A2B, | 317,029 | ||||||
1,260,000 | GLS Auto Receivables Trust, Series2018-3A, Class B, | 1,234,732 | ||||||
5,030,000 | GLS Auto Receivables Trust, Series2019-A, Class C, | 4,354,528 | ||||||
213,996 | GM Financial Consumer Automobile Receivables Trust, Series2018-3, Class A2B, | 213,931 | ||||||
1,362,000 | Hertz Vehicle Financing II LP, Series2017-2A, Class A, | 1,310,090 | ||||||
3,045,000 | NextGear Floorplan Master Owner Trust, Series2017-1A, Class A1, | 3,042,793 | ||||||
4,355,000 | NextGear Floorplan Master Owner Trust, Series2017-2A, Class A1, | 4,132,949 | ||||||
2,590,000 | NextGear Floorplan Master Owner Trust, Series2018-1A, Class A1, | 2,460,326 | ||||||
2,820,000 | NextGear Floorplan Master Owner Trust, Series2018-2A, Class A1, | 2,562,951 | ||||||
341,017 | Nissan Auto Receivables Owner Trust, Series2017-A, Class A3, | 340,546 | ||||||
544,135 | Nissan Auto Receivables Owner Trust, Series2018-B, Class A2B, | 543,181 | ||||||
3,045,000 | Prestige Auto Receivables Trust, Series2016-1A, Class D, | 3,050,612 | ||||||
910,000 | Prestige Auto Receivables Trust, Series2019-1A, Class E, | 820,282 | ||||||
3,585,000 | Santander Drive Auto Receivables Trust, Series2018-2, Class D, | 3,569,516 | ||||||
2,720,000 | Santander Drive Auto Receivables Trust, Series2018-5, Class C, | 2,687,016 | ||||||
4,140,000 | Santander Drive Auto Receivables Trust, Series2019-2, Class D, | 4,091,954 | ||||||
353,000 | Tidewater Auto Receivables Trust, Series2018-AA, Class D, | 328,672 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Car Loan – continued |
| |||||||
$ 1,352,327 | Toyota Auto Receivables Owner Trust, Series2018-C, Class A2B, | $ | 1,350,909 | |||||
3,025,000 | United Auto Credit Securitization Trust, Series2019-1, Class C, | 2,922,328 | ||||||
530,034 | Volkswagen Auto Loan Enhanced Trust, Series2018-1, Class A2B, | 528,849 | ||||||
4,605,000 | Volvo Financial Equipment Master Owner Trust, Series2018-A, Class A, | 4,551,845 | ||||||
740,000 | Westlake Automobile Receivables Trust, Series2018-1A, Class D, | 707,771 | ||||||
1,175,957 | Westlake Automobile Receivables Trust, Series2018-3A, Class A2B, | 1,171,931 | ||||||
1,140,000 | Westlake Automobile Receivables Trust, Series2018-3A, Class D, | 1,138,906 | ||||||
1,606,149 | World Omni Automobile Lease Securitization Trust, Series18-B, Class A2B, | 1,602,193 | ||||||
|
| |||||||
107,238,746 | ||||||||
|
| |||||||
ABS Credit Card – 1.2% |
| |||||||
5,425,000 | Discover Card Execution Note Trust, Series2018-A3, Class A3, | 5,358,384 | ||||||
640,000 | Genesis Sales Finance Master Trust, Series2019-AA, Class A, | 571,271 | ||||||
6,995,000 | World Financial Network Credit Card Master Trust, Series2019-C, Class M, | 6,754,316 | ||||||
|
| |||||||
12,683,971 | ||||||||
|
| |||||||
ABS Home Equity – 9.0% |
| |||||||
1,119,799 | Ajax Mortgage Loan Trust, Series2017-B, Class A, | 1,096,191 | ||||||
298,968 | Alternative Loan Trust, Series 2004-16CB, Class 1A1, | 305,123 | ||||||
328,001 | Alternative Loan Trust, Series 2004-16CB, Class 3A1, | 334,974 | ||||||
540,059 | Alternative Loan Trust, Series2005-J1, Class 2A1, | 529,908 | ||||||
300,000 | American Homes 4 Rent, Series 2014-SFR2, Class D, | 291,649 | ||||||
2,170,000 | American Homes 4 Rent, Series 2014-SFR2, Class E, | 2,057,180 | ||||||
1,200,000 | American Homes 4 Rent, Series 2014-SFR3, Class E, | 996,445 | ||||||
3,138,000 | American Homes 4 Rent, Series 2015-SFR1, Class E, | 2,871,883 | ||||||
1,281,000 | AMSR Trust, Series 2019-SFR1, Class B, | 1,211,420 | ||||||
482,435 | Banc of America Alternative Loan Trust, Series2003-8, Class 1CB1, | 477,060 | ||||||
550,054 | Banc of America Funding Trust, Series2005-7, Class 3A1, | 551,324 | ||||||
372,136 | Banc of America Funding Trust, Series2007-4, Class 5A1, | 345,412 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Home Equity – continued |
| |||||||
$ 296,843 | Bayview Opportunity Master Fund IVa Trust, Series2019-RN2, Class A1, | $ | 295,385 | |||||
4,004,626 | Citigroup Mortgage Loan Trust, Series2019-E, Class A1, | 3,872,938 | ||||||
1,157,717 | Citigroup Mortgage Loan Trust, Series2018-A, Class A1, | 1,066,768 | ||||||
2,767,554 | Citigroup Mortgage Loan Trust, Series2018-C, Class A1, | 2,530,181 | ||||||
2,146,515 | Citigroup Mortgage Loan Trust, Series2019-B, Class A1, | 2,116,128 | ||||||
2,200,000 | Colony American Finance Ltd., Series2015-1, Class D, | 2,207,694 | ||||||
1,065,000 | Colony American Finance Ltd., Series2016-1, Class C, | 1,051,769 | ||||||
1,830,000 | CoreVest American Finance Ltd., Series2019-2, Class B, | 1,528,307 | ||||||
459,277 | Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, | 470,420 | ||||||
872,266 | Countrywide Alternative Loan Trust, Series2004-J10, Class 2CB1, | 898,450 | ||||||
61,934 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, | 53,064 | ||||||
2,443,830 | Credit Suisse Mortgage Trust, Series 2018-RPL2, Class A1, | 2,236,295 | ||||||
1,087,494 | Credit Suisse Mortgage Trust, Series 2018-RPL7, Class A1, | 1,126,380 | ||||||
2,579,723 | Credit Suisse Mortgage Trust, Series 2019-RP10, Class A1, | 2,443,295 | ||||||
182,531 | CSFB Mortgage-Backed Pass-Through Certificates, Series2003-27, Class 4A4, | 187,566 | ||||||
488,596 | DSLA Mortgage Loan Trust, Series2005-AR5, Class 2A1A, | 332,009 | ||||||
1,357,342 | Dukinfield II PLC, Series 2, Class A, | 1,634,818 | ||||||
1,421,609 | Federal National Mortgage Association Connecticut Avenue Securities, Series2017-C05, Class 1M2, | 1,256,103 | ||||||
320,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series2017-C07, Class 1M2, | 284,735 | ||||||
698,325 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series2014-DN1, Class M2, | 693,498 | ||||||
183,855 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series2014-DN2, Class M2, | 180,531 | ||||||
948,348 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, | 923,686 | ||||||
130,000 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-DNA1, Class M2, | 106,600 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Home Equity – continued |
| |||||||
$ 2,968,975 | GCAT Trust, Series 2019-RPL1, Class A1, | $ | 2,926,920 | |||||
1,183,107 | Gosforth Funding PLC, Series2018-1A, Class A1, | 1,158,714 | ||||||
708,393 | Grand Avenue Mortgage Loan Trust, Series 2017-RPL1, Class A1, | 665,854 | ||||||
591,370 | IndyMac Index Mortgage Loan Trust, Series2004-AR7, Class A5, | 481,975 | ||||||
2,505,665 | IndyMac Index Mortgage Loan Trust, Series2006-AR2, Class 2A1, | 1,810,998 | ||||||
2,614,643 | Invitation Homes Trust, Series 2018-SFR1, Class E, | 2,036,478 | ||||||
4,475,000 | Invitation Homes Trust, Series 2018-SFR2, Class E, | 3,529,798 | ||||||
1,224,764 | JPMorgan Mortgage Trust, Series2004-S1, Class 2A1, | 1,266,106 | ||||||
1,418,600 | Lanark Master Issuer PLC, Series2019-1A, Class 1A1, | 1,408,500 | ||||||
2,309,484 | Legacy Mortgage Asset Trust, Series2019-GS3, Class A1, | 2,256,054 | ||||||
2,037,195 | Legacy Mortgage Asset Trust, Series2020-GS1, Class A1, | 1,948,454 | ||||||
1,935 | Lehman XS Trust, Series2006-12N, Class A2A1, | 1,877 | ||||||
446,562 | Lehman XS Trust, Series2006-2N, Class 1A1, | 348,435 | ||||||
262,742 | MASTR Adjustable Rate Mortgages Trust, Series2004-4, Class 5A1, | 247,828 | ||||||
295,430 | MASTR Alternative Loan Trust, Series2003-9, Class 4A1, | 300,223 | ||||||
278,108 | MASTR Alternative Loan Trust, Series2004-5, Class 1A1, | 283,534 | ||||||
341,531 | MASTR Alternative Loan Trust, Series2004-5, Class 2A1, | 350,862 | ||||||
1,036,994 | MASTR Alternative Loan Trust, Series2004-8, Class 2A1, | 1,078,049 | ||||||
68,530 | Merrill Lynch Mortgage Investors Trust, Series2006-2, Class 2A, | 60,751 | ||||||
425,953 | Morgan Stanley Mortgage Loan Trust, Series2005-7, Class 4A2, | 364,552 | ||||||
879,156 | Morgan Stanley Mortgage Loan Trust, Series2005-7, Class 7A5, | 855,555 | ||||||
2,076,309 | Onslow Bay Financial LLC , Series 2019-EXP3, Class 1A8, | 2,051,129 | ||||||
895,000 | Preston Ridge Partners Mortgage LLC, Series2018-1A, Class A2, | 929,691 | ||||||
1,808,868 | Preston Ridge Partners Mortgage LLC, Series2019-4A, Class A1, | 1,750,145 | ||||||
3,989,596 | Preston Ridge Partners Mortgage LLC, Series2020-1A, Class A1, | 3,152,926 | ||||||
1,005,000 | Progress Residential Trust, Series 2019-SFR3, Class D, | 894,189 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Home Equity – continued |
| |||||||
$ 681,000 | Progress Residential Trust, Series 2017-SFR2, Class E, | $ | 630,686 | |||||
564,000 | Progress Residential Trust, Series 2018-SFR2, Class E, | 507,393 | ||||||
2,398,000 | Progress Residential Trust, Series 2019-SFR1, Class E, | 2,119,876 | ||||||
3,186,688 | RCO V Mortgage LLC, Series2019-1, Class A1, | 3,029,976 | ||||||
1,189,960 | Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, | 906,166 | ||||||
960,528 | Sequoia Mortgage Trust, Series2018-CH1, Class A1, | 956,876 | ||||||
3,339,282 | Sequoia Mortgage Trust, Series2019-CH1, Class A1, | 3,333,449 | ||||||
2,767,388 | Structured Adjustable Rate Mortgage Loan Trust, Series2005-14, Class A1, | 1,871,544 | ||||||
1,373,463 | Towd Point Mortgage Trust, Series2015-2, Class 1A13, | 1,363,275 | ||||||
1,029,757 | Towd Point Mortgage Trust, Series2017-6, Class A1, | 1,030,560 | ||||||
1,660,000 | Tricon American Homes Trust, Series 2019-SFR1, Class A, | 1,557,819 | ||||||
4,674,663 | Vericrest Opportunity Loan Trust, Series 2019-NPL5, Class A1A, | 3,939,596 | ||||||
1,507,310 | Vericrest Opportunity Loan Trust, Series 2019-NPL9, Class A1A, | 1,333,447 | ||||||
3,849,016 | Vericrest Opportunity Loan Trust, Series 2020-NPL3, Class A1A, | 3,517,589 | ||||||
|
| |||||||
96,823,038 | ||||||||
|
| |||||||
ABS Other – 5.6% |
| |||||||
754,920 | Accelerated Assets LLC, Series2018-1, Class B, | 751,032 | ||||||
2,235,621 | AIM Aviation Finance Ltd., Series2015-1A, Class B1, | 1,822,741 | ||||||
350,000 | Ascentium Equipment Receivables Trust, Series2017-2A, Class C, | 349,178 | ||||||
994,583 | Blackbird Capital Aircraft Lease Securitization Ltd., Series2016-1A, Class A, | 727,745 | ||||||
1,335,469 | Blackbird Capital Aircraft Lease Securitization Ltd., Series2016-1A, Class B, | 909,028 | ||||||
250,000 | CCG Receivables Trust, Series2018-1, Class C, | 250,013 | ||||||
580,000 | Chesapeake Funding II LLC, Series2017-2A, Class D, | 579,547 | ||||||
775,000 | Chesapeake Funding II LLC, Series2017-4A, Class D, | 743,817 | ||||||
790,000 | Chesapeake Funding II LLC, Series2018-1A, Class C, | 793,119 | ||||||
2,125,000 | Chesapeake Funding II LLC, Series2018-1A, Class D, | 2,144,458 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Other – continued |
| |||||||
$ 345,855 | Diamond Resorts Owner Trust, Series2017-1A, Class C, | $ | 346,482 | |||||
1,372,751 | Diamond Resorts Owner Trust, Series2018-1, Class C, | 1,363,630 | ||||||
1,945,657 | Diamond Resorts Owner Trust, Series2019-1, Class B, | 1,871,641 | ||||||
3,100,000 | Fairstone Financial Issuance Trust I, Series2019-1A, Class A, | 2,201,654 | ||||||
2,167,551 | GCA2014 Holdings Ltd., Series2014-1, Class C, | 1,791,264 | ||||||
965,374 | GCA2014 Holdings Ltd., Series2014-1, Class D, | 552,966 | ||||||
3,410,000 | GCA2014 Holdings Ltd., Series2014-1, Class E, | — | ||||||
817,388 | Global Container Assets Ltd., Series2015-1A, Class B, | 790,749 | ||||||
4,467,417 | Horizon Aircraft Finance I Ltd., Series2018-1, Class A, | 3,270,604 | ||||||
975,000 | HPEFS Equipment Trust, Series2020-1A, Class D, | 886,421 | ||||||
2,198,142 | Kestrel Aircraft Funding Ltd., Series2018-1A, Class A, | 1,606,086 | ||||||
1,334,319 | MAPS Ltd., Series2018-1A, Class A, | 1,003,046 | ||||||
1,739,304 | MAPS Ltd., Series2018-1A, Class B, | 1,202,434 | ||||||
770,054 | Marlette Funding Trust, Series2019-1A, Class A, | 743,510 | ||||||
2,171,349 | Marlette Funding Trust, Series2019-3A, Class A, | 2,101,168 | ||||||
650,960 | MVW Owner Trust, Series2019-1A, Class C, | 595,279 | ||||||
1,100,000 | Navistar Financial Dealer Note Master Owner Trust II, Series2018-1, Class A, | 1,066,974 | ||||||
3,120,000 | OneMain Financial Issuance Trust, Series2015-3A, Class B, | 2,873,829 | ||||||
3,100,000 | OneMain Financial Issuance Trust, Series2016-1A, Class C, | 2,985,113 | ||||||
3,230,000 | OneMain Financial Issuance Trust, Series2019-1A, Class D, | 2,732,769 | ||||||
810,000 | Oxford Finance Funding Trust, Series2019-1A, Class A2, | 817,197 | ||||||
3,980,000 | Republic Finance Issuance Trust, Series2019-A, Class A, | 3,470,053 | ||||||
4,162,091 | S-Jets Ltd., Series2017-1, Class A, | 2,931,479 | ||||||
3,718,000 | SCF Equipment Trust LLC, Series2018-1A, Class C, | 3,634,833 | ||||||
580,000 | SoFi Consumer Loan Program Trust, Series2018-1, Class B, | 485,976 | ||||||
1,094,221 | SoFi Consumer Loan Program Trust, Series2018-2, Class A2, | 1,084,053 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Other – continued |
| |||||||
$ 1,690,000 | SoFi Consumer Loan Program Trust, Series2018-2, Class B, | $ | 1,610,046 | |||||
1,010,000 | SoFi Consumer Loan Program Trust, Series2018-4, Class C, | 910,075 | ||||||
1,047,076 | Sprite Ltd., Series2017-1, Class B, | 736,844 | ||||||
1,360,333 | TAL Advantage V LLC, Series2013-2A, Class A, | 1,316,699 | ||||||
2,941,391 | Verizon Owner Trust, Series2017-3A, Class A1B, | 2,929,774 | ||||||
1,037,652 | Wave LLC, Series2017-1A, Class B, | 748,069 | ||||||
|
| |||||||
59,731,395 | ||||||||
|
| |||||||
ABS Student Loan – 1.8% |
| |||||||
3,279,840 | Education Funding Trust, Series2020-A, Class A, | 3,244,660 | ||||||
2,762,601 | Massachusetts Educational Financing Authority, Series2018-A, Class A, | 2,881,752 | ||||||
3,410,000 | Navient Private Education Refi Loan Trust, Series2019-FA, Class B, | 3,438,700 | ||||||
1,035,000 | Navient Private Education Refi Loan Trust, Series2018-A, Class B, | 1,064,346 | ||||||
695,000 | Navient Student Loan Trust, Series2019-GA, Class B, | 627,999 | ||||||
774,000 | SLM Private Credit Student Loan Trust, Series2003-A, Class A3, | 715,890 | ||||||
2,169,000 | SLM Private Credit Student Loan Trust, Series2003-B, Class A3, | 2,151,921 | ||||||
236,000 | SLM Private Credit Student Loan Trust, Series2003-B, Class A4, | 214,760 | ||||||
800,000 | SMB Private Education Loan Trust, Series2015-C, Class B, | 828,983 | ||||||
1,079,341 | SMB Private Education Loan Trust, Series2017-B, Class A2B, | 1,022,699 | ||||||
190,000 | SMB Private Education Loan Trust, Series2018-B, Class B, | 176,321 | ||||||
169,549 | SMB Private Education Loan Trust, Series2018-C, Class A1, | 169,375 | ||||||
510,000 | SMB Private Education Loan Trust, Series2018-C, Class B, | 541,964 | ||||||
802,936 | SoFi Professional Loan Program LLC, Series2016-A, Class B, | 816,894 | ||||||
125,000 | SoFi Professional Loan Program LLC, Series2016-C, Class B, | 127,107 | ||||||
1,350,000 | SoFi Professional Loan Program Trust, Series2020-A, Class BFX, | 1,216,583 | ||||||
|
| |||||||
19,239,954 | ||||||||
|
| |||||||
ABS Whole Business – 3.0% |
| |||||||
4,256,338 | Adams Outdoor Advertising LP, Series2018-1, Class A, | 4,244,425 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Whole Business – continued |
| |||||||
$ 3,287,050 | Coinstar Funding LLC, Series2017-1A, Class A2, | $ | 3,096,012 | |||||
496,250 | DB Master Finance LLC, Series2019-1A, Class A23, | 471,651 | ||||||
2,843,548 | Domino’s Pizza Master Issuer LLC, Series2017-1A, Class A23, | 2,752,895 | ||||||
211,775 | Domino’s Pizza Master Issuer LLC, Series2018-1A, Class A2I, | 204,473 | ||||||
1,483,575 | Driven Brands Funding LLC, Series2018-1A, Class A2, | 1,435,225 | ||||||
2,168,613 | Five Guys Funding LLC, Series2017-1A, Class A2, | 2,264,273 | ||||||
2,979,625 | Planet Fitness Master Issuer LLC, Series2018-1A, Class A2I, | 2,808,088 | ||||||
2,423,925 | Planet Fitness Master Issuer LLC, Series2019-1A, Class A2, | 2,196,306 | ||||||
2,581,725 | Stack Infrastructure Issuer LLC, Series2019-1A, Class A2, | 2,529,122 | ||||||
5,530,000 | Taco Bell Funding LLC, Series2018-1A, Class A2I, | 5,391,805 | ||||||
3,367,488 | Wendy’s Funding LLC, Series2018-1A, Class A2II, | 3,048,485 | ||||||
725,813 | Wendy’s Funding LLC, Series2019-1A, Class A2II, | 640,922 | ||||||
891,000 | Wingstop Funding LLC, Series2018-1, Class A2, | 856,723 | ||||||
|
| |||||||
31,940,405 | ||||||||
|
| |||||||
Aerospace & Defense – 1.8% |
| |||||||
1,635,000 | Boeing Co. (The), | 1,440,520 | ||||||
7,380,000 | Boeing Co. (The), | 6,984,570 | ||||||
700,000 | Boeing Co. (The), | 656,069 | ||||||
70,000 | Boeing Co. (The), | 64,396 | ||||||
25,000 | Boeing Co. (The), | 21,908 | ||||||
15,000 | Boeing Co. (The), | 13,037 | ||||||
375,000 | Boeing Co. (The), | 342,231 | ||||||
325,000 | Boeing Co. (The), | 292,656 | ||||||
575,000 | Boeing Co. (The), | 516,056 | ||||||
1,260,000 | Embraer Netherlands Finance BV, | 1,111,950 | ||||||
220,000 | Embraer Netherlands Finance BV, | 193,822 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Aerospace & Defense – continued |
| |||||||
$ 3,425,000 | General Dynamics Corp., | $ | 3,343,689 | |||||
2,550,000 | Leonardo U.S. Holdings, Inc., | 2,565,555 | ||||||
305,000 | Spirit AeroSystems, Inc., | 259,190 | ||||||
125,000 | TransDigm, Inc., | 112,187 | ||||||
1,510,000 | TransDigm, Inc., | 1,504,337 | ||||||
|
| |||||||
19,422,173 | ||||||||
|
| |||||||
Airlines – 0.7% |
| |||||||
3,570,329 | Latam Airlines Pass Through Trust, Series2015-1, Class B, | 2,320,714 | ||||||
6,950,000 | United Airlines Pass Through Trust, Series2019-2, Class B, | 5,391,601 | ||||||
|
| |||||||
7,712,315 | ||||||||
|
| |||||||
Automotive – 3.1% |
| |||||||
640,000 | American Honda Finance Corp., | 630,730 | ||||||
4,780,000 | Daimler Finance North America LLC, | 4,646,326 | ||||||
3,585,000 | General Motors Financial Co., Inc., | 3,227,452 | ||||||
2,625,000 | Hyundai Capital America, | 2,474,827 | ||||||
7,750,000 | Hyundai Capital America, | 7,811,023 | ||||||
6,865,000 | Nissan Motor Acceptance Corp., | 6,725,367 | ||||||
7,925,000 | Toyota Industries Corp., | 8,013,829 | ||||||
|
| |||||||
33,529,554 | ||||||||
|
| |||||||
Banking – 4.6% |
| |||||||
155,000 | Ally Financial, Inc., | 139,500 | ||||||
505,000 | Ally Financial, Inc., | 493,991 | ||||||
4,910,000 | American Express Co., | 4,833,011 | ||||||
44,570,000 | Banco Hipotecario S.A., | 505,320 | ||||||
21,970,000 | Banco Macro S.A., | 140,195 | ||||||
23,000,000 | Banco Supervielle S.A., | 257,635 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Banking – continued |
| |||||||
$ 735,000 | CIT Group, Inc., | $ | 723,975 | |||||
620,000 | CIT Group, Inc., | 596,508 | ||||||
275,000 | CIT Group, Inc., | 268,125 | ||||||
1,430,000 | Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), | 1,329,039 | ||||||
2,550,000 | JPMorgan Chase & Co., | 2,518,559 | ||||||
6,690,000 | JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), | 7,733,628 | ||||||
6,720,000 | Mitsubishi UFJ Financial Group, Inc., | 6,440,360 | ||||||
8,450,000 | Morgan Stanley, (fixed rate to 3/24/2050, variable rate thereafter), | 11,719,298 | ||||||
5,370,000 | PNC Bank NA, | 5,070,394 | ||||||
3,460,000 | Standard Chartered PLC, (fixed rate to 1/20/2022, variable rate thereafter), | 3,475,016 | ||||||
2,490,000 | Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), | 2,551,727 | ||||||
|
| |||||||
48,796,281 | ||||||||
|
| |||||||
Building Materials – 0.1% |
| |||||||
1,115,000 | Cemex SAB de CV, | 909,840 | ||||||
200,000 | Cemex SAB de CV, | 169,002 | ||||||
|
| |||||||
1,078,842 | ||||||||
|
| |||||||
Cable Satellite – 0.9% |
| |||||||
1,585,000 | CCO Holdings LLC/CCO Holdings Capital Corp., | 1,553,300 | ||||||
175,000 | CCO Holdings LLC/CCO Holdings Capital Corp., | 170,660 | ||||||
310,000 | CCO Holdings LLC/CCO Holdings Capital Corp., | 318,556 | ||||||
1,060,000 | CSC Holdings LLC, | 1,143,199 | ||||||
265,000 | Sirius XM Radio, Inc., | 268,956 | ||||||
1,355,000 | Sirius XM Radio, Inc., | 1,375,190 | ||||||
255,000 | Sirius XM Radio, Inc., | 257,547 | ||||||
485,000 | Sirius XM Radio, Inc., | 494,652 | ||||||
110,000 | Sirius XM Radio, Inc., | 112,200 | ||||||
445,000 | Videotron Ltd., | 443,888 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Cable Satellite – continued |
| |||||||
$ 1,225,000 | Virgin Media Secured Finance PLC, | $ | 1,243,375 | |||||
1,725,000 | Ziggo BV, | 1,696,503 | ||||||
900,000 | Ziggo BV, | 900,000 | ||||||
|
| |||||||
9,978,026 | ||||||||
|
| |||||||
Chemicals – 0.1% |
| |||||||
2,870,000 | SASOL Financing USA LLC, | 1,204,855 | ||||||
|
| |||||||
Construction Machinery – 0.5% |
| |||||||
5,460,000 | United Rentals North America, Inc., | 4,886,700 | ||||||
|
| |||||||
Consumer Cyclical Services – 0.9% |
| |||||||
270,000 | eBay, Inc., | 253,307 | ||||||
4,440,000 | Uber Technologies, Inc., | 4,383,168 | ||||||
5,160,000 | Uber Technologies, Inc., | 5,121,300 | ||||||
|
| |||||||
9,757,775 | ||||||||
|
| |||||||
Diversified Manufacturing – 0.1% |
| |||||||
905,000 | Carrier Global Corp., | 890,960 | ||||||
|
| |||||||
Electric – 1.9% |
| |||||||
20,000 | AES Corp. (The), | 19,600 | ||||||
105,000 | AES Corp. (The), | 101,061 | ||||||
985,000 | AES Corp. (The), | 987,443 | ||||||
325,000 | AES Corp. (The), | 317,570 | ||||||
115,000 | AES Corp. (The), | 113,275 | ||||||
2,855,000 | Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), | 3,012,025 | ||||||
4,405,000 | Florida Power & Light Co., | 4,154,143 | ||||||
480,000 | NRG Energy, Inc., | 494,400 | ||||||
1,075,000 | NRG Energy, Inc., | 1,096,500 | ||||||
10,765,000 | Vistra Operations Co. LLC, | 9,582,969 | ||||||
|
| |||||||
19,878,986 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Finance Companies – 2.4% |
| |||||||
$ 905,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, | $ | 700,778 | |||||
2,430,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, | 1,851,256 | ||||||
6,000,000 | Aircastle Ltd., | 5,194,098 | ||||||
6,525,000 | Ares Capital Corp., | 5,178,623 | ||||||
90,000 | Navient Corp., | 82,800 | ||||||
4,270,000 | Quicken Loans, Inc., | 4,175,206 | ||||||
875,000 | Quicken Loans, Inc., | 870,625 | ||||||
1,805,000 | Shriram Transport Finance Co. Ltd., | 1,263,337 | ||||||
230,000 | Shriram Transport Finance Co. Ltd., | 178,028 | ||||||
10,000 | Springleaf Finance Corp., | 9,150 | ||||||
10,000 | Springleaf Finance Corp., | 9,450 | ||||||
5,000 | Springleaf Finance Corp., | 5,036 | ||||||
3,203,000 | Springleaf Finance Corp., | 3,170,970 | ||||||
3,535,000 | USAA Capital Corp., MTN, | 3,516,067 | ||||||
|
| |||||||
26,205,424 | ||||||||
|
| |||||||
Financial Other – 0.8% |
| |||||||
1,730,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., | 1,598,088 | ||||||
6,550,000 | Mitsubishi UFJ Lease & Finance Co. Ltd., | 6,674,122 | ||||||
370,000 | Yanlord Land (HK) Co. Ltd., | 351,130 | ||||||
|
| |||||||
8,623,340 | ||||||||
|
| |||||||
Food & Beverage – 2.1% |
| |||||||
5,290,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., | 5,761,677 | ||||||
990,000 | Anheuser-Busch InBev Worldwide, Inc., | 1,047,375 | ||||||
1,000,000 | BRF S.A., | 840,950 | ||||||
1,910,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., | 1,972,075 | ||||||
1,455,000 | Kraft Heinz Foods Co., | 1,320,602 | ||||||
2,305,000 | Kraft Heinz Foods Co., | 2,095,854 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Food & Beverage – continued |
| |||||||
$ 715,000 | Kraft Heinz Foods Co., | $ | 676,952 | |||||
630,000 | NBM U.S Holdings, Inc., | 565,362 | ||||||
8,725,000 | NBM U.S Holdings, Inc., | 7,917,937 | ||||||
|
| |||||||
22,198,784 | ||||||||
|
| |||||||
Gaming – 0.3% |
| |||||||
3,825,000 | Boyd Gaming Corp., | 3,155,625 | ||||||
|
| |||||||
Government Owned - No Guarantee – 1.0% |
| |||||||
4,120,000 | Export-Import Bank of Korea, | 4,032,267 | ||||||
18,670,000,000 | Financiera de Desarrollo Territorial S.A., | 4,734,146 | ||||||
950,000 | Petrobras Global Finance BV, | 960,260 | ||||||
1,770,000 | YPF S.A., | 912,081 | ||||||
1,930,000 | YPF S.A., | 347,773 | ||||||
|
| |||||||
10,986,527 | ||||||||
|
| |||||||
Health Insurance – 0.3% |
| |||||||
300,000 | Centene Corp., | 301,500 | ||||||
3,125,000 | Humana, Inc., | 3,110,999 | ||||||
|
| |||||||
3,412,499 | ||||||||
|
| |||||||
Healthcare – 0.8% |
| |||||||
1,840,000 | CVS Health Corp., | 1,894,565 | ||||||
380,000 | Encompass Health Corp., | 372,400 | ||||||
735,000 | IQVIA, Inc., | 751,538 | ||||||
5,990,000 | Rede D’or Finance S.a.r.l., | 5,196,325 | ||||||
|
| |||||||
8,214,828 | ||||||||
|
| |||||||
Home Construction – 1.3% |
| |||||||
370,000 | CIFI Holdings Group Co. Ltd., | 347,830 | ||||||
2,280,000 | Country Garden Holdings Co. Ltd., | 2,172,097 | ||||||
2,585,000 | Greenland Global Investment Ltd., | 2,119,084 | ||||||
515,000 | Greenland Global Investment Ltd., EMTN, | 455,803 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Home Construction – continued |
| |||||||
$ 2,320,000 | Kaisa Group Holding Ltd., | $ | 2,001,232 | |||||
1,361,000 | Lennar Corp., | 1,357,597 | ||||||
310,000 | Lennar Corp., | 303,800 | ||||||
30,000 | Lennar Corp., | 27,450 | ||||||
740,000 | Shimao Property Holdings Ltd., | 727,109 | ||||||
405,000 | Sunac China Holdings Ltd., | 356,339 | ||||||
1,330,000 | Sunac China Holdings Ltd., | 1,250,225 | ||||||
355,000 | Sunac China Holdings Ltd., | 321,509 | ||||||
2,525,000 | Yuzhou Properties Co. Ltd., | 2,109,360 | ||||||
|
| |||||||
13,549,435 | ||||||||
|
| |||||||
Independent Energy – 0.7% |
| |||||||
4,360,000 | Aker BP ASA, | 3,259,912 | ||||||
872,000 | Bellatrix Exploration Ltd., | 41,507 | ||||||
950,000 | Bellatrix Exploration Ltd., | — | ||||||
4,155,000 | Bruin E&P Partners LLC, | 290,850 | ||||||
5,895,000 | California Resources Corp., | 88,425 | ||||||
515,000 | Diamondback Energy, Inc., | 350,160 | ||||||
3,080,000 | Gulfport Energy Corp., | 746,900 | ||||||
1,300,000 | Hess Corp., | 887,781 | ||||||
640,000 | Occidental Petroleum Corp., | 456,349 | ||||||
140,000 | Occidental Petroleum Corp., | 82,909 | ||||||
885,000 | Occidental Petroleum Corp., | 484,383 | ||||||
340,000 | Occidental Petroleum Corp., | 173,966 | ||||||
75,000 | Occidental Petroleum Corp., | 39,668 | ||||||
2,075,000 | Whiting Petroleum Corp., | 140,063 | ||||||
|
| |||||||
7,042,873 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Industrial Other – 0.2% |
| |||||||
$ 740,000 | CFLD Cayman Investment Ltd., | $ | 703,008 | |||||
1,715,000 | CFLD Cayman Investment Ltd., | 1,394,089 | ||||||
|
| |||||||
2,097,097 | ||||||||
|
| |||||||
Integrated Energy – 0.3% |
| |||||||
2,410,000 | Exxon Mobil Corp., | 2,949,796 | ||||||
|
| |||||||
Life Insurance – 1.4% |
| |||||||
2,770,000 | AIA Group Ltd., | 2,745,596 | ||||||
2,420,000 | MassMutual Global Funding II, | 2,437,876 | ||||||
6,780,000 | New York Life Global Funding, | 6,588,933 | ||||||
3,115,000 | Reliance Standard Life Global Funding II, | 3,041,586 | ||||||
|
| |||||||
14,813,991 | ||||||||
|
| |||||||
Local Authorities – 0.2% |
| |||||||
216,360,000 | Provincia de Buenos Aires, | 1,374,610 | ||||||
67,000,000 | Provincia de Buenos Aires, | 420,019 | ||||||
|
| |||||||
1,794,629 | ||||||||
|
| |||||||
Lodging – 0.4% |
| |||||||
5,145,000 | Marriott International, Inc., | 4,398,081 | ||||||
|
| |||||||
Media Entertainment – 2.4% |
| |||||||
1,405,000 | Cable Onda S.A., | 1,236,400 | ||||||
2,830,000 | iHeartCommunications, Inc., | 2,547,000 | ||||||
3,150,000 | iHeartCommunications, Inc., | 2,742,453 | ||||||
415,000 | Lamar Media Corp., | 389,013 | ||||||
825,000 | Lamar Media Corp., | 767,250 | ||||||
855,000 | Lamar Media Corp., | 846,450 | ||||||
135,000 | Netflix, Inc., | 139,050 | ||||||
1,470,000 | Netflix, Inc., | 1,492,270 | ||||||
490,000 | Netflix, Inc., | 508,449 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Media Entertainment – continued |
| |||||||
$1,075,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., | $ | 956,750 | |||||
610,000 | ViacomCBS, Inc., | 586,135 | ||||||
935,000 | ViacomCBS, Inc., | 828,614 | ||||||
5,330,000 | ViacomCBS, Inc., | 5,354,886 | ||||||
270,000 | ViacomCBS, Inc., | 239,547 | ||||||
4,030,000 | ViacomCBS, Inc., | 3,966,462 | ||||||
270,000 | ViacomCBS, Inc., | 276,638 | ||||||
2,125,000 | Walt Disney Co. (The), | 2,776,859 | ||||||
|
| |||||||
25,654,226 | ||||||||
|
| |||||||
Metals & Mining – 1.4% |
| |||||||
995,000 | ABJA Investment Co. Pte Ltd., | 719,136 | ||||||
3,515,000 | First Quantum Minerals Ltd., | 2,820,788 | ||||||
425,000 | First Quantum Minerals Ltd., | 357,797 | ||||||
1,755,000 | First Quantum Minerals Ltd., | 1,460,493 | ||||||
3,665,000 | Minera Mexico S.A. de CV, | 3,113,198 | ||||||
6,730,000 | POSCO, | 6,748,373 | ||||||
|
| |||||||
15,219,785 | ||||||||
|
| |||||||
Midstream – 0.9% |
| |||||||
5,460,000 | Cheniere Corpus Christi Holdings LLC, | 4,078,892 | ||||||
300,000 | Kinder Morgan, Inc., | 286,824 | ||||||
4,960,000 | Midwest Connector Capital Co. LLC, | 4,765,927 | ||||||
800,000 | Tennessee Gas Pipeline Co. LLC, | 895,269 | ||||||
|
| |||||||
10,026,912 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 3.8% |
| |||||||
4,565,000 | CFCRE Commercial Mortgage Trust, Series2011-C1, Class D, | 4,404,672 | ||||||
140,000 | Commercial Mortgage Trust, Series2012-LC4, Class C, | 134,454 | ||||||
790,000 | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, | 676,748 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||
$ 5,680,000 | Credit Suisse Mortgage Trust, Series2014-USA, Class E, | $ | 4,150,983 | |||||
750,000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, | 613,628 | ||||||
2,552,340 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, | 2,423,199 | ||||||
3,195,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, | 2,412,575 | ||||||
2,170,000 | GS Mortgage Securities Trust, Series2011-GC5, Class D, | 2,063,272 | ||||||
1,695,967 | Hospitality Mortgage Trust, Series2019-HIT, Class C, | 1,315,342 | ||||||
1,570,000 | Morgan Stanley Capital I Trust, Series2011-C2, Class D, | 1,412,078 | ||||||
2,515,000 | Morgan Stanley Capital I Trust, Series2011-C2, Class E, | 1,760,500 | ||||||
3,973,729 | Motel 6 Trust, Series 2017-M6MZ, Class M, | 2,892,187 | ||||||
1,060,000 | Starwood Retail Property Trust, Series 2014-STAR, Class C, | 858,600 | ||||||
4,243,654 | Starwood Retail Property Trust, Series 2014-STAR, Class D, | 3,097,866 | ||||||
3,575,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, | 2,073,779 | ||||||
1,370,000 | UBS-Barclays Commercial Mortgage Trust, Series2012-C2, Class E, | 1,149,067 | ||||||
4,885,000 | Wells Fargo Commercial Mortgage Trust, Series 2019-JWDR, Class C, | 3,540,215 | ||||||
2,987,500 | WFRBS Commercial Mortgage Trust, Series2011-C2, Class D, | 2,888,238 | ||||||
1,809,189 | WFRBS Commercial Mortgage Trust, Series2011-C3, Class D, | 1,441,130 | ||||||
605,000 | WFRBS Commercial Mortgage Trust, Series2012-C7, Class C, | 567,254 | ||||||
950,000 | WFRBS Commercial Mortgage Trust, Series2012-C7, Class E, | 697,615 | ||||||
|
| |||||||
40,573,402 | ||||||||
|
| |||||||
Oil Field Services – 0.1% |
| |||||||
548,000 | Yingde Gases Investment Ltd., | 502,160 | ||||||
|
| |||||||
Pharmaceuticals – 1.9% |
| |||||||
2,320,000 | Bausch Health Cos., Inc., | 2,448,497 | ||||||
6,860,000 | Pfizer, Inc., | 7,030,770 | ||||||
1,665,000 | Teva Pharmaceutical Finance Netherlands II BV, | 1,785,322 | ||||||
10,035,000 | Teva Pharmaceutical Finance Netherlands III BV, | 7,200,112 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Pharmaceuticals – continued |
| |||||||
$ 1,860,000 | Teva Pharmaceutical Finance Netherlands III BV, | $ | 1,841,400 | |||||
|
| |||||||
20,306,101 | ||||||||
|
| |||||||
Railroads – 0.4% |
| |||||||
4,675,000 | Union Pacific Corp., | 4,762,719 | ||||||
|
| |||||||
Real Estate Operations/Development – 0.2% |
| |||||||
400,000 | Easy Tactic Ltd., | 328,784 | ||||||
2,175,000 | Easy Tactic Ltd., | 1,859,761 | ||||||
370,000 | Logan Property Holdings Co. Ltd., | 340,378 | ||||||
|
| |||||||
2,528,923 | ||||||||
|
| |||||||
REITs - Mortgage – 0.3% |
| |||||||
3,470,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., | 2,741,300 | ||||||
|
| |||||||
Restaurants – 0.8% |
| |||||||
435,000 | 1011778 B.C. ULC/New Red Finance, Inc., | 413,250 | ||||||
5,765,000 | 1011778 B.C. ULC/New Red Finance, Inc., | 5,326,283 | ||||||
2,115,000 | McDonald’s Corp., MTN, | 2,133,920 | ||||||
920,000 | Yum! Brands, Inc., | 864,800 | ||||||
|
| |||||||
8,738,253 | ||||||||
|
| |||||||
Retailers – 1.2% |
| |||||||
5,955,000 | Home Depot, Inc. (The), | 5,784,540 | ||||||
6,635,000 | Walmart, Inc., | 6,538,045 | ||||||
|
| |||||||
12,322,585 | ||||||||
|
| |||||||
Sovereigns – 0.0% |
| |||||||
29,460,000 | Argentina Politica Monetaria, Argentina Central Bank7-day Repo Reference Rate, | 233,450 | ||||||
|
| |||||||
Supermarkets – 0.2% |
| |||||||
2,515,000 | Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC, | 2,541,156 | ||||||
|
| |||||||
Technology – 1.9% |
| |||||||
170,000 | Broadcom Corp./Broadcom Cayman Finance Ltd., | 162,413 | ||||||
6,155,000 | Broadcom, Inc., | 6,243,340 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Technology – continued |
| |||||||
$ 1,305,000 | CommScope, Inc., | $ | 1,303,042 | |||||
5,645,000 | Micron Technology, Inc., | 6,165,307 | ||||||
2,305,000 | MSCI, Inc., | 2,186,869 | ||||||
1,325,000 | MSCI, Inc., | 1,316,228 | ||||||
1,660,000 | Nokia OYJ, EMTN, | 1,631,254 | ||||||
230,000 | Open Text Corp., | 217,141 | ||||||
530,000 | Open Text Holdings, Inc., | 498,333 | ||||||
535,000 | SS&C Technologies, Inc., | 557,582 | ||||||
|
| |||||||
20,281,509 | ||||||||
|
| |||||||
Transportation Services – 1.3% |
| |||||||
5,050,000 | FedEx Corp., | 5,079,103 | ||||||
1,645,000 | GMR Hyderabad International Airport Ltd., | 1,387,738 | ||||||
5,805,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., | 5,877,071 | ||||||
1,560,000 | United Parcel Service, Inc., | 2,043,687 | ||||||
|
| |||||||
14,387,599 | ||||||||
|
| |||||||
Treasuries – 1.3% |
| |||||||
338,660,000 | Republic of South Africa Government Bond, Series 2037, | 14,311,766 | ||||||
|
| |||||||
Wireless – 0.8% |
| |||||||
860,000 | Bharti Airtel Ltd., | 795,675 | ||||||
1,985,000 | IHS Netherlands Holdco BV, | 1,627,402 | ||||||
3,170,000 | Kenbourne Invest S.A., | 2,425,652 | ||||||
1,130,000 | Millicom International Cellular S.A., | 983,100 | ||||||
330,000 | Sprint Capital Corp., | 376,926 | ||||||
575,000 | Sprint Communications, Inc., | 575,345 | ||||||
855,000 | Sprint Corp., | 881,249 | ||||||
550,000 | T-Mobile USA, Inc., | 562,375 | ||||||
|
| |||||||
8,227,724 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Wirelines – 0.3% |
| |||||||
$ 470,000 | Level 3 Financing, Inc., | $ | 467,133 | |||||
1,150,000 | Level 3 Financing, Inc., | 1,155,750 | ||||||
1,175,000 | Telecom Italia Capital S.A., | 1,163,250 | ||||||
530,000 | Telecom Italia Capital S.A., | 548,550 | ||||||
290,000 | Verizon Communications, Inc., | 342,964 | ||||||
|
| |||||||
3,677,647 | ||||||||
|
| |||||||
TotalNon-Convertible Bonds | 821,274,122 | |||||||
|
| |||||||
Convertible Bonds – 1.3% | ||||||||
Cable Satellite – 0.6% |
| |||||||
4,280,000 | DISH Network Corp., | 3,391,900 | ||||||
4,060,000 | DISH Network Corp., | 3,296,117 | ||||||
|
| |||||||
6,688,017 | ||||||||
|
| |||||||
Diversified Manufacturing – 0.1% |
| |||||||
600,000 | Greenbrier Cos., Inc. (The), | 457,500 | ||||||
|
| |||||||
Independent Energy – 0.0% |
| |||||||
1,280,000 | Chesapeake Energy Corp., | 38,400 | ||||||
|
| |||||||
Pharmaceuticals – 0.3% |
| |||||||
3,460,000 | BioMarin Pharmaceutical, Inc., | 3,625,847 | ||||||
|
| |||||||
Technology – 0.3% |
| |||||||
2,590,000 | CalAmp Corp., | 1,686,090 | ||||||
910,000 | Microchip Technology, Inc., | 933,972 | ||||||
630,000 | Palo Alto Networks, Inc., | 608,072 | ||||||
|
| |||||||
3,228,134 | ||||||||
|
| |||||||
Total Convertible Bonds | 14,037,898 | |||||||
|
| |||||||
Total Bonds and Notes | 835,312,020 | |||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Senior Loans – 1.6% | ||||||||
Automotive – 0.1% |
| |||||||
$ 606,335 | KAR Auction Services, Inc., 2019 Term Loan B6, | $ | 557,828 | |||||
|
| |||||||
Building Materials – 0.3% |
| |||||||
302,408 | American Builders & Contractors Supply Co., Inc., 2019 Term Loan, | 284,263 | ||||||
2,588,073 | Jeld-Wen, Inc., 2017 1st Lien Term Loan, | 2,269,093 | ||||||
1,336,650 | Quikrete Holdings, Inc., 2016 1st Lien Term Loan, | 1,229,718 | ||||||
|
| |||||||
3,783,074 | ||||||||
|
| |||||||
Cable Satellite – 0.2% |
| |||||||
1,930,000 | Ziggo BV, 2019 EUR Term Loan H, | 1,962,863 | ||||||
|
| |||||||
Independent Energy – 0.0% |
| |||||||
811,000 | California Resources Corp., 2017 1st Lien Term Loan, | 178,420 | ||||||
3,740,000 | Gavilan Resources LLC, 2nd Lien Term Loan, | 336,600 | ||||||
|
| |||||||
515,020 | ||||||||
|
| |||||||
Industrial Other – 0.1% |
| |||||||
975,000 | Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, | 911,625 | ||||||
|
| |||||||
Media Entertainment – 0.1% |
| |||||||
784,983 | Lamar Media Corp., 2020 Term Loan B, | 743,772 | ||||||
|
| |||||||
Packaging – 0.1% |
| |||||||
780,000 | Reynolds Consumer Products, Inc., Term Loan, | 730,860 | ||||||
|
| |||||||
Pharmaceuticals – 0.1% |
| |||||||
1,545,000 | Elanco Animal Health, Inc., Term Loan B, | 1,460,025 | ||||||
|
| |||||||
Technology – 0.4% |
| |||||||
4,569,287 | Iron Mountain, Inc., 2018 Term Loan B, | 4,295,130 | ||||||
|
| |||||||
Transportation Services – 0.2% |
| |||||||
2,429,578 | Uber Technologies, Inc., 2018 Incremental Term Loan, | 2,254,649 | ||||||
|
| |||||||
Total Senior Loans | 17,214,846 | |||||||
|
| |||||||
Collateralized Loan Obligations – 5.2% | ||||||||
1,740,000 | AGL CLO 3 Ltd., Series2020-3A, Class D, | 1,163,835 | ||||||
2,140,000 | AGL CLO 3 Ltd., Series2020-3A, Class C, | 1,758,628 |
Principal Amount (‡) | Description | Value (†) | ||||||
Collateralized Loan Obligations – continued | ||||||||
$ 3,175,000 | Apidos CLO, Series2015-23A, Class CR, | $ | 2,608,913 | |||||
480,000 | Apidos CLO XX, Series2015-20A, Class BRR, | 393,221 | ||||||
475,000 | Apidos CLO XXXII, Series2019-32A, Class D, | 324,602 | ||||||
915,000 | Bristol Park CLO Ltd., Series2016-1A, Class CR, | 750,908 | ||||||
1,225,000 | Burnham Park CLO Ltd., Series2016-1A, Class CR, | 1,003,827 | ||||||
400,000 | Carbone CLO Ltd., Series2017-1A, Class B, | 322,452 | ||||||
500,000 | Catamaran CLO Ltd., Series2013-1A, Class CR, | 412,924 | ||||||
265,000 | CIFC Funding II Ltd., Series2014-2RA, Class A3, | 219,391 | ||||||
730,000 | CIFC Funding II Ltd., Series2013-2A, Class A3LR, | 601,853 | ||||||
250,000 | Cook Park CLO Ltd., Series2018-1A, Class C, | 202,448 | ||||||
2,365,519 | CVP Cascade CLO Ltd., Series2014-2A, Class A1R, | 2,345,285 | ||||||
875,000 | Dryden 45 Senior Loan Fund, Series2016-45A, Class ER, | 514,519 | ||||||
250,000 | Dryden Senior Loan Fund, Series2018-64A, Class C, | 200,211 | ||||||
300,000 | Dryden XXVI Senior Loan Fund, Series2013-26A, Class CR, | 246,444 | ||||||
3,894,450 | Elevation CLO Ltd., Series2015-4A, Class AR, | 3,855,499 | ||||||
239,543 | Galaxy XXIX CLO Ltd., Series2018-29A, Class A, | 231,629 | ||||||
1,405,000 | Galaxy XXVI CLO Ltd., Series2018-26A, Class E, | 784,224 | ||||||
320,000 | Goldentree Loan Management U.S. CLO 3 Ltd., Series2018-3A, Class C, | 259,522 | ||||||
971,659 | Halcyon Loan Advisors Funding Ltd., Series2014-2A, Class A1BR, | 970,648 | ||||||
2,996,483 | Jamestown CLO VII Ltd., Series2015-7A, Class A1R, | 2,900,732 | ||||||
259,725 | Limerock CLO III LLC, Series2014-3A, Class A1R, | 257,695 | ||||||
1,175,000 | Madison Park Funding XII Ltd., Series2014-12A, Class B1R, | 1,035,189 | ||||||
475,000 | Madison Park Funding XXXI Ltd., Series2018-31A, Class C, | 387,343 | ||||||
300,000 | Madison Park Funding XXXI Ltd., Series2018-31A, Class D, | 206,848 | ||||||
680,000 | Milso CLO Ltd., Series2017-1A, Class CR, | 558,642 | ||||||
3,883,040 | Mountain View CLO X Ltd., Series2015-10A, Class AR, | 3,759,130 | ||||||
3,300,000 | Neuberger Berman CLO Ltd., Series2013-14A, Class CR2, | 2,710,900 | ||||||
500,000 | Neuberger Berman CLO Ltd., Series2017-26A, Class C, | 405,576 |
Principal Amount (‡) | Description | Value (†) | ||||||
Collateralized Loan Obligations – continued | ||||||||
$ 2,909,746 | OCP CLO Ltd., Series2015-10A, Class A1R, | $ | 2,819,358 | |||||
495,000 | Octagon Investment Partners 39 Ltd., Series2018-3A, Class E, | 284,837 | ||||||
600,000 | Octagon Investment Partners XXIII Ltd., Series2015-1A, Class A1R, | 564,124 | ||||||
3,605,000 | OHA Credit Funding 5 Ltd., Series2020-5A, Class C, | 2,936,272 | ||||||
3,125,000 | OHA Loan Funding Ltd., Series2016-1A, Class CR, | 2,568,172 | ||||||
250,000 | OZLM XIII Ltd., Series2015-13A, Class A1R, | 242,342 | ||||||
300,000 | Palmer Square CLO Ltd., Series2015-2A, Class BR2, | 246,455 | ||||||
2,610,000 | Parallel Ltd., Series2017-1A, Class CR, | 2,138,525 | ||||||
3,366,067 | Parallel Ltd., Series2015-1A, Class AR, | 3,261,798 | ||||||
1,645,000 | Parallel Ltd., Series2018-2A, Class B, | 1,296,618 | ||||||
340,000 | Recette CLO LLC, Series2015-1A, Class DR, | 269,609 | ||||||
292,424 | Recette CLO Ltd., Series2015-1A, Class AR, | 283,594 | ||||||
2,565,000 | Rockford Tower CLO Ltd., Series2017-2A, Class CR, | 2,221,119 | ||||||
250,000 | Sound Point CLO XIV Ltd., Series2016-3A, Class AR, | 240,633 | ||||||
1,030,000 | TICP CLO VII Ltd., Series2017-7A, Class CR, | 846,434 | ||||||
610,000 | TICP CLO XV Ltd., Series2020-15A, Class C, | 501,278 | ||||||
895,000 | TRESTLES CLO II Ltd., Series2018-2A, Class D, | 498,220 | ||||||
160,426 | Venture XII CLO Ltd., Series2012-12A, Class ARR, | 155,157 | ||||||
1,114,088 | Venture XX CLO Ltd., Series2015-20A, Class AR, | 1,079,264 | ||||||
140,809 | Voya CLO Ltd., Series2014-3A, Class A1R, | 138,738 | ||||||
1,984,411 | West CLO Ltd., Series2014-1A, Class A1R, | 1,970,989 | ||||||
|
| |||||||
Total Collateralized Loan Obligations | 55,956,574 | |||||||
|
| |||||||
Loan Participations – 0.1% | ||||||||
ABS Other – 0.1% |
| |||||||
1,061,479 | Harbour Aircraft Investments Ltd., Series2017-1, Class C, | 977,924 | ||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – 1.9% | ||||||||
Aerospace & Defense – 0.0% |
| |||||||
464 | Lockheed Martin Corp. | $ | 157,273 | |||||
218 | Northrop Grumman Corp. | 65,956 | ||||||
|
| |||||||
223,229 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.1% |
| |||||||
8,781 | Expeditors International of Washington, Inc. | 585,868 | ||||||
|
| |||||||
Banks – 0.0% |
| |||||||
2,534 | Citigroup, Inc. | 106,732 | ||||||
2,283 | Citizens Financial Group, Inc. | 42,943 | ||||||
|
| |||||||
149,675 | ||||||||
|
| |||||||
Beverages – 0.0% |
| |||||||
628 | PepsiCo, Inc. | 75,423 | ||||||
|
| |||||||
Biotechnology – 0.0% |
| |||||||
2,228 | AbbVie, Inc. | 169,751 | ||||||
821 | Amgen, Inc. | 166,442 | ||||||
|
| |||||||
336,193 | ||||||||
|
| |||||||
Building Products – 0.0% |
| |||||||
4,821 | Johnson Controls International PLC | 129,974 | ||||||
|
| |||||||
Capital Markets – 0.1% |
| |||||||
2,774 | Blackstone Group, Inc. (The), Class A | 126,411 | ||||||
539 | S&P Global, Inc. | 132,082 | ||||||
1,460 | T. Rowe Price Group, Inc. | 142,569 | ||||||
|
| |||||||
401,062 | ||||||||
|
| |||||||
Chemicals – 0.1% |
| |||||||
138,555 | Hexion Holdings Corp., Class B(f)(h)(i) | 1,402,869 | ||||||
|
| |||||||
Communications Equipment – 0.0% |
| |||||||
4,253 | Cisco Systems, Inc. | 167,185 | ||||||
|
| |||||||
Construction Materials – 0.1% |
| |||||||
673,076 | Cemex SAB de CV, Sponsored ADR | 1,426,921 | ||||||
|
| |||||||
Diversified Telecommunication Services – 0.2% |
| |||||||
75,171 | AT&T, Inc. | 2,191,235 | ||||||
3,300 | Verizon Communications, Inc. | 177,309 | ||||||
|
| |||||||
2,368,544 | ||||||||
|
| |||||||
Electric Utilities – 0.1% |
| |||||||
1,925 | Duke Energy Corp. | 155,694 | ||||||
619 | Entergy Corp. | 58,167 | ||||||
2,751 | Evergy, Inc. | 151,443 | ||||||
2,507 | FirstEnergy Corp. | 100,455 | ||||||
|
| |||||||
465,759 | ||||||||
|
| |||||||
Electrical Equipment – 0.0% |
| |||||||
1,935 | Eaton Corp. PLC | 150,330 | ||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Food Products – 0.0% |
| |||||||
2,179 | Tyson Foods, Inc., Class A | $ | 126,099 | |||||
|
| |||||||
Health Care Equipment & Supplies – 0.0% |
| |||||||
1,739 | Medtronic PLC | 156,823 | ||||||
|
| |||||||
Health Care Providers & Services – 0.1% |
| |||||||
2,137 | AmerisourceBergen Corp. | 189,125 | ||||||
486 | Anthem, Inc. | 110,341 | ||||||
541 | Humana, Inc. | 169,885 | ||||||
669 | UnitedHealth Group, Inc. | 166,835 | ||||||
|
| |||||||
636,186 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.2% |
| |||||||
488 | Domino’s Pizza, Inc. | 158,146 | ||||||
875 | McDonald’s Corp. | 144,681 | ||||||
8,882 | Starbucks Corp. | 583,903 | ||||||
15,079 | Yum China Holdings, Inc. | 642,818 | ||||||
1,505 | Yum! Brands, Inc. | 103,138 | ||||||
|
| |||||||
1,632,686 | ||||||||
|
| |||||||
Household Durables – 0.0% |
| |||||||
3,265 | DR Horton, Inc. | 111,010 | ||||||
1,876 | Garmin Ltd. | 140,625 | ||||||
|
| |||||||
251,635 | ||||||||
|
| |||||||
Household Products – 0.0% |
| |||||||
1,592 | Procter & Gamble Co. (The) | 175,120 | ||||||
|
| |||||||
Independent Power & Renewable Electricity Producers – 0.0% |
| |||||||
7,233 | AES Corp. (The) | 98,369 | ||||||
|
| |||||||
Industrial Conglomerates – 0.0% |
| |||||||
1,087 | Honeywell International, Inc. | 145,430 | ||||||
|
| |||||||
Insurance – 0.1% |
| |||||||
1,629 | Allstate Corp. (The) | 149,428 | ||||||
4,605 | Fidelity National Financial, Inc. | 114,572 | ||||||
3,903 | MetLife, Inc. | 119,315 | ||||||
|
| |||||||
383,315 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.1% |
| |||||||
337 | Booking Holdings, Inc.(h) | 453,373 | ||||||
|
| |||||||
IT Services – 0.1% |
| |||||||
788 | Accenture PLC, Class A | 128,649 | ||||||
1,291 | Fidelity National Information Services, Inc. | 157,037 | ||||||
1,656 | Leidos Holdings, Inc. | 151,773 | ||||||
586 | MasterCard, Inc., Class A | 141,554 | ||||||
2,351 | Paychex, Inc. | 147,925 | ||||||
345 | Visa, Inc., Class A | 55,586 | ||||||
|
| |||||||
782,524 | ||||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Machinery – 0.0% |
| |||||||
1,354 | Caterpillar, Inc. | $ | 157,118 | |||||
1,109 | Illinois Tool Works, Inc. | 157,611 | ||||||
|
| |||||||
314,729 | ||||||||
|
| |||||||
Media – 0.0% |
| |||||||
4,589 | Comcast Corp., Class A | 157,770 | ||||||
2,113 | Interpublic Group of Cos., Inc. (The) | 34,209 | ||||||
2,544 | Omnicom Group, Inc. | 139,666 | ||||||
|
| |||||||
331,645 | ||||||||
|
| |||||||
Multi-Utilities – 0.0% |
| |||||||
2,294 | Dominion Energy, Inc. | 165,604 | ||||||
|
| |||||||
Multiline Retail – 0.0% |
| |||||||
1,729 | Target Corp. | 160,745 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.0% |
| |||||||
349,549 | Bellatrix Exploration Ltd.(d)(e)(f)(g)(h) | — | ||||||
1,884 | Dommo Energia S.A., Sponsored ADR(h) | 678 | ||||||
73,856 | Whiting Petroleum Corp.(h) | 49,513 | ||||||
|
| |||||||
50,191 | ||||||||
|
| |||||||
Personal Products – 0.1% |
| |||||||
3,082 | Estee Lauder Cos., Inc. (The), Class A | 491,086 | ||||||
|
| |||||||
Pharmaceuticals – 0.1% |
| |||||||
3,152 | Bristol-Myers Squibb Co. | 175,693 | ||||||
1,197 | Eli Lilly & Co. | 166,048 | ||||||
1,317 | Johnson & Johnson | 172,698 | ||||||
2,336 | Merck & Co., Inc. | 179,732 | ||||||
1,433 | Pfizer, Inc. | 46,773 | ||||||
|
| |||||||
740,944 | ||||||||
|
| |||||||
REITs - Storage – 0.0% |
| |||||||
6,125 | Iron Mountain, Inc. | 145,775 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 0.2% |
| |||||||
3,018 | Applied Materials, Inc. | 138,285 | ||||||
608 | Broadcom, Inc. | 144,157 | ||||||
3,056 | Intel Corp. | 165,391 | ||||||
3,478 | KLA Corp. | 499,927 | ||||||
609 | Lam Research Corp. | 146,160 | ||||||
652 | NVIDIA Corp. | 171,867 | ||||||
8,795 | QUALCOMM, Inc. | 594,982 | ||||||
1,512 | Texas Instruments, Inc. | 151,094 | ||||||
|
| |||||||
2,011,863 | ||||||||
|
| |||||||
Software – 0.0% |
| |||||||
1,083 | Microsoft Corp. | 170,800 | ||||||
3,552 | Oracle Corp. | 171,668 | ||||||
|
| |||||||
342,468 | ||||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Specialty Retail – 0.0% |
| |||||||
2,264 | Best Buy Co., Inc. | $ | 129,048 | |||||
844 | Home Depot, Inc. (The) | 157,583 | ||||||
|
| |||||||
286,631 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.1% |
| |||||||
2,802 | Apple, Inc. | 712,521 | ||||||
9,079 | HP, Inc. | 157,611 | ||||||
|
| |||||||
870,132 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.1% |
| |||||||
1,414 | LVMH Moet Hennessy Louis Vuitton SE | 518,586 | ||||||
6,477 | NIKE, Inc., Class B | 535,907 | ||||||
|
| |||||||
1,054,493 | ||||||||
|
| |||||||
Tobacco – 0.0% |
| |||||||
4,471 | Altria Group, Inc. | 172,894 | ||||||
2,297 | Philip Morris International, Inc. | 167,589 | ||||||
|
| |||||||
340,483 | ||||||||
|
| |||||||
Total Common Stocks | 20,031,381 | |||||||
|
| |||||||
Preferred Stocks – 0.8% | ||||||||
Convertible Preferred Stocks – 0.4% | ||||||||
Food & Beverage – 0.3% |
| |||||||
42,272 | Bunge Ltd., | 3,688,655 | ||||||
|
| |||||||
Midstream – 0.0% |
| |||||||
1,714 | Chesapeake Energy Corp., | 48,816 | ||||||
2,329 | El Paso Energy Capital Trust I, | 100,147 | ||||||
|
| |||||||
148,963 | ||||||||
|
| |||||||
Technology – 0.1% |
| |||||||
710 | Broadcom, Inc., Series A, | 663,395 | ||||||
|
| |||||||
Total Convertible Preferred Stocks | 4,501,013 | |||||||
|
| |||||||
Non-Convertible Preferred Stocks – 0.4% | ||||||||
Cable Satellite – 0.4% |
| |||||||
4,040,000 | NBCUniversal Enterprise, Inc., | 4,040,000 | ||||||
|
| |||||||
Total Preferred Stocks | 8,541,013 | |||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Other Investments – 0.1% | ||||||||
Aircraft ABS – 0.1% | ||||||||
$ 900 | ECAF I Blocker Ltd.(d)(e)(f)(g) | $ | 1,020,600 | |||||
|
| |||||||
Short-Term Investments – 4.1% | ||||||||
38,482,254 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $38,482,254 on 4/01/2020 collateralized by $38,600,000 U.S. Treasury Note 0.500% due 3/15/2023 valued at $38,851,981; $395,000 U.S. Treasury Note 1.750% due 11/30/2021 valued at $407,367 including accrued interest(m) | 38,482,254 | ||||||
5,755,000 | U.S. Treasury Bills, | 5,753,843 | ||||||
|
| |||||||
Total Short-Term Investments | 44,236,097 | |||||||
|
| |||||||
Total Investments – 91.8% | 983,290,455 | |||||||
Other assets less liabilities – 8.2% | 88,221,685 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,071,512,140 | ||||||
|
|
Written Options – (0.0%)
Description | Expiration Date | Exercise Price | Shares(††) | Notional Amount | Premiums (Received) | Value (†) | ||||||||||||||||||
Options on Securities – (0.0%) | ||||||||||||||||||||||||
Allstate Corp. (The), Call | 4/17/2020 | 125.00 | (600 | ) | $ | (55,038 | ) | $ | (880 | ) | $ | (126 | ) | |||||||||||
Amgen, Inc., Call | 4/17/2020 | 230.00 | (400 | ) | (81,092 | ) | (1,047 | ) | (180 | ) | ||||||||||||||
Applied Materials, Inc., Call | 4/17/2020 | 70.00 | (1,500 | ) | (68,730 | ) | (1,256 | ) | (113 | ) | ||||||||||||||
AT&T, Inc., Call | 4/17/2020 | 39.00 | (3,600 | ) | (104,940 | ) | (2,330 | ) | (108 | ) | ||||||||||||||
Bristol-Myers Squibb Co., Call | 4/17/2020 | 67.50 | (3,100 | ) | (172,794 | ) | (2,750 | ) | (46 | ) | ||||||||||||||
Broadcom, Inc., Call | 4/17/2020 | 330.00 | (400 | ) | (94,840 | ) | (1,085 | ) | (10 | ) | ||||||||||||||
Citigroup, Inc., Call | 4/17/2020 | 80.00 | (1,200 | ) | (50,544 | ) | (813 | ) | (72 | ) | ||||||||||||||
Comcast Corp., Call | 4/17/2020 | 47.50 | (3,200 | ) | (110,016 | ) | (1,431 | ) | (80 | ) | ||||||||||||||
Eaton Corp. PLC, Call | 4/17/2020 | 110.00 | (1,300 | ) | (100,997 | ) | (802 | ) | (130 | ) | ||||||||||||||
Fidelity National Information Services, Inc., Call | 4/17/2020 | 160.00 | (600 | ) | (72,984 | ) | (1,138 | ) | (600 | ) | ||||||||||||||
Garmin Ltd., Call | 4/17/2020 | 105.00 | (1,300 | ) | (97,448 | ) | (529 | ) | (65 | ) | ||||||||||||||
Home Depot, Inc. (The), Call | 4/17/2020 | 260.00 | (500 | ) | (93,355 | ) | (939 | ) | (50 | ) | ||||||||||||||
Intel Corp., Call | 4/17/2020 | 67.50 | (2,100 | ) | (113,652 | ) | (1,737 | ) | (84 | ) | ||||||||||||||
Interpublic Group of Cos., Inc. (The), Call | 4/17/2020 | 25.00 | (1,000 | ) | (16,190 | ) | (297 | ) | (100 | ) | ||||||||||||||
Iron Mountain, Inc., Call | 4/17/2020 | 35.00 | (3,000 | ) | (71,400 | ) | (891 | ) | (75 | ) | ||||||||||||||
Johnson & Johnson, Call | 4/17/2020 | 150.00 | (600 | ) | (78,678 | ) | (1,720 | ) | (240 | ) | ||||||||||||||
Johnson Controls, Inc., Call | 4/17/2020 | 44.00 | (2,400 | ) | (64,704 | ) | (833 | ) | (288 | ) | ||||||||||||||
MasterCard, Inc., Call | 4/17/2020 | 355.00 | (200 | ) | (48,312 | ) | (663 | ) | (55 | ) |
Description | Expiration Date | Exercise Price | Shares(††) | Notional Amount | Premiums (Received) | Value (†) | ||||||||||||||||||
McDonald’s Corp., Call | 4/17/2020 | 220.00 | (400 | ) | $ | (66,140 | ) | $ | (991 | ) | $ | (14 | ) | |||||||||||
MetLife, Inc., Call | 4/17/2020 | 52.50 | (3,100 | ) | (94,767 | ) | (1,510 | ) | (155 | ) | ||||||||||||||
Microsoft Corp., Call | 4/17/2020 | 190.00 | (700 | ) | (110,397 | ) | (1,342 | ) | (126 | ) | ||||||||||||||
NVIDIA Corp., Call | 4/17/2020 | 330.00 | (500 | ) | (131,800 | ) | (1,644 | ) | (148 | ) | ||||||||||||||
Omnicom Group, Inc., Call | 4/17/2020 | 80.00 | (1,700 | ) | (93,330 | ) | (1,338 | ) | (255 | ) | ||||||||||||||
Oracle Corp. Call | 4/17/2020 | 57.50 | (2,400 | ) | (115,992 | ) | (1,177 | ) | (156 | ) | ||||||||||||||
QUALCOMM, Inc., Call | 4/17/2020 | 95.00 | (1,500 | ) | (101,475 | ) | (1,226 | ) | (67 | ) | ||||||||||||||
T Rowe Price Group, Inc., Call | 4/17/2020 | 140.00 | (500 | ) | (48,825 | ) | (789 | ) | (188 | ) | ||||||||||||||
Target Corp., Call | 4/17/2020 | 125.00 | (1,200 | ) | (111,564 | ) | (1,976 | ) | (42 | ) | ||||||||||||||
Texas Instruments, Inc., Call | 4/17/2020 | 135.00 | (700 | ) | (69,951 | ) | (677 | ) | (3 | ) | ||||||||||||||
Verizon Communications, Inc., Call | 4/17/2020 | 60.00 | (1,300 | ) | (69,849 | ) | (932 | ) | (98 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | (34,743 | ) | $ | (3,674 | ) | ||||||||||||||||||
|
|
|
|
(†) | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including shares ofclosed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Centrally cleared swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers.
Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service.
Bilateral interest rate swaps are valued based on prices supplied by an independent pricing source.
Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations.
Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively.
Option contracts on domestic indices are valued at the average of the closing bid and ask quotations as of the close of trading on the Chicago Board Options Exchange (“Cboe”). |
Option contracts on foreign indices are priced at the most recent settlement price.
Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively.
Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available.
Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations obtained from broker-dealers.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.
As of March 31, 2020, securities and other investments of the funds included in net assets were fair valued as follows: |
Securities classified as fair valued | Percentage of Net Assets | Securities fair valued by the Fund’s adviser | Percentage of Net Assets | |||
$ 8,309,025 | 0.8% | $ 10,904,960 | 1.0% |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(‡) | Principal Amount/Par Value stated in U.S. dollars unless otherwise noted. | |
(††) | Options on securities are expressed as shares. | |
(a) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. | |
(b) | Variable rate security. Rate as of March 31, 2020 is disclosed. | |
(c) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of March 31, 2020 is disclosed. | |
(d) | Level 3 security. Value has been determined using significant unobservable inputs. | |
(e) | Fair valued by the Fund’s adviser. At March 31, 2020, the value of these securities amounted to $10,904,960 or 1.0% of net assets. | |
(f) | Illiquid security. | |
(g) | Securities subject to restriction on resale. At March 31, 2020, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||||
Bellatrix Exploration Ltd., 8.500% | 6/04/2019 | $ | 854,560 | $ | 41,507 | Less than 0.1 | % | |||||||||
Bellatrix Exploration Ltd., 12.500% (9.500% PIK, 3.000% Cash) | 6/04/2019 | 627,000 | — | — | ||||||||||||
Bellatrix Exploration Ltd. | 6/04/2019 | 439,289 | — | — | ||||||||||||
ECAF I Blocker Ltd. | 6/18/2015 | 9,000,000 | 1,020,600 | 0.1 | % | |||||||||||
GCA2014 Holdings Ltd., Series2014-1, Class C | 12/18/2014 | 2,167,551 | 1,791,264 | 0.1 | % | |||||||||||
GCA2014 Holdings Ltd., Series2014-1, Class D | 12/18/2014 | 965,374 | 552,966 | 0.1 | % | |||||||||||
GCA2014 Holdings Ltd., Series2014-1, Class E | 12/18/2014 | 2,657,606 | — | — |
(h) | Non-income producing security. | |
(i) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2020, the value of these securities amounted to $8,309,025 or 0.8% of net assets. | |
(j) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |
(k) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were made during the period. | |
(l) | Position is unsettled. Contract rate was not determined at March 31, 2020 and does not take effect until settlement date. Maturity date is not finalized until settlement date. | |
(m) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements aretri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of March 31, 2020, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. | |
(n) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. | |
(o) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |
144A | 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 March 31, 2020, the value of Rule 144A holdings amounted to $549,463,926 or 51.2% of net assets. | |
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. | |
ARS | Auction Rate Security | |
EMTN | Euro Medium Term Note | |
EURIBOR | Euro Interbank Offered Rate | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium Term Note | |
PIK | Payment-in-Kind | |
REITs | Real Estate Investment Trusts | |
SLM | Sallie Mae | |
ARS | Argentine Peso | |
AUD | Australian Dollar | |
BRL | Brazilian Real |
CAD | Canadian Dollar | |
COP | Colombian Peso | |
EUR | Euro | |
GBP | British Pound | |
HUF | Hungarian Forint | |
IDR | Indonesian Rupiah | |
JPY | Japanese Yen | |
MXN | Mexican Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PLN | Polish Zloty | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
THB | Thai Baht | |
USD | U.S. Dollar | |
ZAR | South African Rand |
Swap Agreements
The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads 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.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
Swap agreements are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as receivable or payable. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.
At March 31, 2020, the Fund had the following open bilateral credit default swap agreements:
Buy Protection
Counterparty | Reference Obligation | (Pay)/ Receive Fixed Rate1 | Expiration Date | Notional Value(‡) | Unamortized Up Front Premium Paid/(Received) | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Bank of America, N.A. | Enel SpA | (1.00 | %) | 6/20/2023 | 550,000 | EUR | $ | (206 | ) | $ | (8,333 | ) | $ | (9,864 | ) |
Counterparty | Reference Obligation | (Pay)/ Receive Fixed Rate1 | Expiration Date | Notional Value(‡) | Unamortized Up Front Premium Paid/(Received) | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Buy Protection – continued |
| |||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Enel SpA | (1.00 | %) | 12/20/2023 | 6,115,000 | EUR | $ | 30,505 | $ | (80,347 | ) | $ | (130,169 | ) | ||||||||||||||
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|
|
| |||||||||||||||||||||||||
Total | $ | (88,680 | ) | $ | (140,033 | ) | ||||||||||||||||||||||
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|
|
|
At March 31, 2020, the Fund had the following open centrally cleared credit default swap agreements: |
Sell Protection
Reference | (Pay)/ Receive Fixed Rate | Expiration Date | Implied Credit Spread^ | Notional Value(‡) | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
CDX.HY Series 34 500,5-Year | 5.00 | % | 06/20/2025 | 6.56 | % | 99,220,000 | $ | (6,369,923 | ) | $ | (1,047,822 | ) | ||||||||||||
|
|
|
|
(‡) | Notional value stated in U.S. dollars unless otherwise noted. |
1 | Payments are made quarterly. |
^ | 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. |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are tradedover-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.
At March 31, 2020, the Fund had the following open forward foreign currency contracts:
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Bank of America, N.A. | 4/23/2020 | CAD | S | 3,020,000 | $ | 2,092,848 | $ | 2,146,534 | $ | (53,686 | ) | |||||||||||||||||
Bank of America, N.A. | 4/23/2020 | EUR | S | 1,665,000 | 1,793,688 | 1,837,756 | (44,068 | ) | ||||||||||||||||||||
Bank of America, N.A. | 4/14/2020 | IDR | B | 89,661,180,000 | 6,479,345 | 5,491,421 | (987,924 | ) | ||||||||||||||||||||
Bank of America, N.A. | 4/14/2020 | IDR | S | 89,661,180,000 | 6,474,199 | 5,491,421 | 982,778 |
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Bank of America, N.A. | 4/15/2020 | JPY | B | 2,853,120,000 | $ | 26,186,848 | $ | 26,547,913 | $ | 361,065 | ||||||||||||||||||
Bank of America, N.A. | 4/15/2020 | JPY | S | 2,853,120,000 | 26,085,908 | 26,547,914 | (462,006 | ) | ||||||||||||||||||||
Bank of America, N.A. | 4/15/2020 | NOK | B | 130,790,000 | 14,694,713 | 12,581,192 | (2,113,521 | ) | ||||||||||||||||||||
Bank of America, N.A. | 4/15/2020 | NOK | S | 130,790,000 | 14,082,308 | 12,581,192 | 1,501,116 | |||||||||||||||||||||
Bank of America, N.A. | 4/15/2020 | PLN | B | 24,805,000 | 6,513,576 | 5,995,764 | (517,812 | ) | ||||||||||||||||||||
Bank of America, N.A. | 4/15/2020 | PLN | S | 24,805,000 | 6,358,300 | 5,995,764 | 362,536 | |||||||||||||||||||||
Barclays Bank PLC | 4/14/2020 | EUR | B | 11,720,000 | 13,108,000 | 12,931,230 | (176,770 | ) | ||||||||||||||||||||
Barclays Bank PLC | 4/14/2020 | EUR | S | 11,720,000 | 12,857,191 | 12,931,229 | (74,038 | ) | ||||||||||||||||||||
Barclays Bank PLC | 4/23/2020 | EUR | S | 1,955,000 | 2,099,768 | 2,157,846 | (58,078 | ) | ||||||||||||||||||||
Citibank N.A. | 4/30/2020 | BRL | B | 27,615,000 | 6,515,738 | 5,304,935 | (1,210,803 | ) | ||||||||||||||||||||
Citibank N.A. | 4/30/2020 | BRL | S | 27,615,000 | 6,368,038 | 5,304,935 | 1,063,103 | |||||||||||||||||||||
Deutsche Bank AG | 4/30/2020 | GBP | S | 1,400,000 | 1,826,462 | 1,739,988 | 86,474 | |||||||||||||||||||||
Goldman Sachs & Co. | 4/14/2020 | MXN | B | 122,235,000 | 6,421,929 | 5,143,875 | (1,278,054 | ) | ||||||||||||||||||||
Goldman Sachs & Co. | 4/14/2020 | MXN | S | 122,235,000 | 6,384,863 | 5,143,875 | 1,240,988 | |||||||||||||||||||||
HSBC Bank USA | 4/22/2020 | AUD | B | 19,130,000 | 13,197,557 | 11,768,140 | (1,429,417 | ) | ||||||||||||||||||||
HSBC Bank USA | 4/22/2020 | AUD | S | 19,130,000 | 12,798,257 | 11,768,140 | 1,030,117 | |||||||||||||||||||||
HSBC Bank USA | 4/13/2020 | CAD | B | 16,995,000 | 13,027,681 | 12,077,977 | (949,704 | ) | ||||||||||||||||||||
HSBC Bank USA | 4/13/2020 | CAD | S | 16,995,000 | 12,773,202 | 12,077,977 | 695,225 | |||||||||||||||||||||
HSBC Bank USA | 5/13/2020 | EUR | S | 590,000 | 647,834 | 651,740 | (3,906 | ) | ||||||||||||||||||||
HSBC Bank USA | 4/15/2020 | SEK | B | 61,835,000 | 6,545,950 | 6,252,576 | (293,374 | ) | ||||||||||||||||||||
HSBC Bank USA | 4/15/2020 | SEK | S | 61,835,000 | 6,408,602 | 6,252,576 | 156,026 | |||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 4/07/2020 | COP | S | 18,400,000,000 | 5,507,498 | 4,528,706 | 978,792 | |||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 6/16/2020 | EUR | S | 1,175,000 | 1,313,293 | 1,299,625 | 13,668 | |||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 6/16/2020 | EUR | S | 375,000 | 409,831 | 414,774 | (4,943 | ) | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 6/30/2020 | EUR | S | 1,480,000 | 1,641,302 | 1,637,810 | 3,492 | |||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 4/14/2020 | NZD | B | 9,810,000 | 6,518,451 | 5,852,862 | (665,589 | ) | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 4/14/2020 | NZD | S | 9,810,000 | 6,433,790 | 5,852,862 | 580,928 | |||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 4/30/2020 | ZAR | S | 315,790,000 | 21,369,939 | 17,581,908 | 3,788,031 | |||||||||||||||||||||
UBS AG | 4/22/2020 | THB | S | 471,555,000 | $ | 15,518,824 | $ | 14,369,460 | $ | 1,149,364 | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total | $ | 3,670,010 | ||||||||||||||||||||||||||
|
|
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At March 31, 2020, open long futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
E-mini S&P 500® | 6/19/2020 | 53 | $ | 7,105,573 | $ | 6,809,705 | $ | (295,868 | ) | |||||||||||
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At March 31, 2020, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Ultra Long U.S. Treasury Bond | 6/19/2020 | 147 | $ | 32,860,932 | $ | 32,615,625 | $ | 245,307 | ||||||||||||
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Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 — quoted prices in active markets for identical assets or liabilities; |
• | Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2020, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
ABS Home Equity | $ | — | $ | 96,094,966 | $ | 728,072 | (a) | $ | 96,823,038 | |||||||
ABS Other | — | 57,387,165 | 2,344,230 | (b)(c) | 59,731,395 | |||||||||||
Independent Energy | — | 7,001,366 | 41,507 | (a)(c) | 7,042,873 | |||||||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 36,739,123 | 3,834,279 | (a) | 40,573,402 | |||||||||||
All OtherNon-Convertible Bonds* | — | 617,103,414 | — | 617,103,414 | ||||||||||||
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TotalNon-Convertible Bonds | — | 814,326,034 | 6,948,088 | 821,274,122 | ||||||||||||
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Convertible Bonds | ||||||||||||||||
Independent Energy | — | — | 38,400 | (d) | 38,400 | |||||||||||
All Other Convertible Bonds* | — | 13,999,498 | — | 13,999,498 | ||||||||||||
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Total Convertible Bonds | — | 13,999,498 | 38,400 | 14,037,898 | ||||||||||||
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Total Bonds and Notes | — | 828,325,532 | 6,986,488 | 835,312,020 | ||||||||||||
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Senior Loans* | — | 17,214,846 | — | 17,214,846 | ||||||||||||
Collateralized Loan Obligations | — | 53,020,302 | 2,936,272 | (a) | 55,956,574 | |||||||||||
Loan Participations* | — | 977,924 | — | 977,924 | ||||||||||||
Common Stocks | ||||||||||||||||
Chemicals | — | 1,402,869 | — | 1,402,869 | ||||||||||||
Oil, Gas & Consumable Fuels | 50,191 | — | — | (c) | 50,191 | |||||||||||
Textiles, Apparel & Luxury Goods | 535,907 | 518,586 | — | 1,054,493 | ||||||||||||
All Other Common Stocks* | 17,523,828 | — | — | 17,523,828 | ||||||||||||
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Total Common Stocks | 18,109,926 | 1,921,455 | — | 20,031,381 | ||||||||||||
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Preferred Stocks | ||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Food & Beverage | — | 3,688,655 | — | 3,688,655 | ||||||||||||
Midstream | 100,147 | 48,816 | — | 148,963 | ||||||||||||
Technology | 663,395 | — | — | 663,395 | ||||||||||||
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Total Convertible Preferred Stocks | 763,542 | 3,737,471 | 4,501,013 | |||||||||||||
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Non-Convertible Preferred Stocks* | — | 4,040,000 | — | 4,040,000 | ||||||||||||
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Total Preferred Stocks | 763,542 | 7,777,471 | — | 8,541,013 | ||||||||||||
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Other Investments* | — | — | 1,020,600 | (a) | 1,020,600 | |||||||||||
Short-Term Investments | — | 44,236,097 | — | 44,236,097 | ||||||||||||
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Total Investments | 18,873,468 | 953,473,627 | 10,943,360 | 983,290,455 | ||||||||||||
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Forward Foreign Currency Contracts (unrealized appreciation) | — | 13,993,703 | — | 13,993,703 | ||||||||||||
Futures Contracts (unrealized appreciation) | 245,307 | — | — | 245,307 | ||||||||||||
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Total | $ | 19,118,775 | $ | 967,467,330 | $ | 10,943,360 | $ | 997,529,465 | ||||||||
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Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options* | $ | (3,674 | ) | $ | — | $ | — | $ | (3,674 | ) | ||||||
Bilateral Credit Default Swap Agreements (unrealized depreciation) | — | (140,033 | ) | — | (140,033 | ) | ||||||||||
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation) | — | (1,047,822 | ) | — | (1,047,822 | ) | ||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | — | (10,323,693 | ) | — | (10,323,693 | ) | ||||||||||
Futures Contracts (unrealized depreciation) | (295,868 | ) | — | — | (295,868 | ) | ||||||||||
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Total | $ | (299,542 | ) | $ | (11,511,548 | ) | $ | — | $ | (11,811,090 | ) | |||||
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* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(a) | Fair valued by the Fund’s adviser. |
(b) | Fair valued by the Fund’s adviser using a broker dealer bid price provided by a single market maker. |
(c) | Includes securities fair valued at zero by the Fund’s adviser using level 3 inputs. |
(d) | Valued using broker-dealer bid prices. |
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2019 and/or March 31, 2020:
Asset Valuation Inputs
Investments in Securities | Balance as of December 31, 2019 | 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 March 31, 2020 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2020 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
ABS Home Equity | $ | 801,522 | $ | — | $ | 2,314 | $ | (51,006 | ) | $ | — | $ | (24,758 | ) | $ | — | $ | — | $ | 728,072 | $ | (49,943 | ) | |||||||||||||||||
ABS Other | 2,337,230(a | ) | — | — | (47,899 | ) | 54,899 | — | — | — | 2,344,230(a | ) | (47,899 | ) | ||||||||||||||||||||||||||
Independent Energy | 523,200(a | ) | 13,046 | — | (494,739 | ) | — | — | — | — | 41,507(a | ) | (494,739 | ) | ||||||||||||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | 2,770,066 | — | — | (1,380,779 | ) | — | — | 2,444,992 | — | 3,834,279 | (1,380,779 | ) | ||||||||||||||||||||||||||||
Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
Independent Energy | — | 240 | — | (571,612 | ) | — | — | 609,772 | — | 38,400 | (571,612 | ) | ||||||||||||||||||||||||||||
Collateralized Loan Obligations | 475,000 | — | — | (668,728 | ) | 3,605,000 | — | — | (475,000 | ) | 2,936,272 | (668,728 | ) | |||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | — (a | ) | — | — | — | — | — | — | — | — (a | ) | — | ||||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Midstream | 293,900 | — | — | — | — | — | — | (293,900 | ) | — | — | |||||||||||||||||||||||||||||
Other Investments | ||||||||||||||||||||||||||||||||||||||||
Aircraft ABS | 7,776,000 | — | — | (6,755,400 | ) | — | — | — | — | 1,020,600 | (6,755,400 | ) | ||||||||||||||||||||||||||||
Equity Linked Notes | 688,113 | — | 36,124 | (30,859 | ) | — | (693,378 | ) | — | — | — | — | ||||||||||||||||||||||||||||
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Total | $ | 15,665,031 | $ | 13,286 | $ | 38,438 | $ | (10,001,022 | ) | $ | 3,659,899 | $ | (718,136 | ) | $ | 3,054,764 | $ | (768,900 | ) | $ | 10,943,360 | $ | (9,969,100 | ) | ||||||||||||||||
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(a) | Includes securities fair valued at zero using level 3 inputs. |
A debt security valued at $2,444,992 was transferred from Level 2 to Level 3 during the period ended March 31, 2020. At December 31, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the security.
A debt security valued at $609,772 was transferred from Level 2 to Level 3 during the period ended March 31, 2020. At December 31, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2020, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.
A debt security valued at $475,000 was transferred from Level 3 to Level 2 during the period ended March 31, 2020. At December 31, 2019, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At March 31, 2020 this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.
A preferred stock valued at $293,900 was transferred from Level 3 to Level 2 during the period ended March 31, 2020. At December 31, 2019, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security. At March 31, 2020, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements.
The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap agreements. During the period ended March 31, 2020, the Fund used futures, forward foreign currency contracts, option contracts, interest rate swap agreements and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the period ended March 31, 2020, the Fund engaged in forward foreign currency and option contracts for hedging purposes.
The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. During the period ended March 31, 2020, the Fund engaged in credit default swap transactions (as a protection buyer) to hedge its credit exposure.
The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes. During the period ended March 31, 2020, the Fund engaged in futures and option contracts for hedging purposes.
The following is a summary of derivative instruments for the Fund, as of March 31, 2020:
Assets | Unrealized appreciation on forward foreign currency contracts | Unrealized appreciation on futures contracts | Total | |||||||||
Over-the-counter asset derivatives | ||||||||||||
Foreign exchange contracts | $ | 13,993,703 | $ | — | $ | 13,993,703 | ||||||
Exchange-traded/cleared asset derivatives |
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Interest rate contracts | — | 245,307 | 245,307 | |||||||||
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Total asset derivatives | $ | 13,993,703 | $ | 245,307 | $ | 14,239,010 | ||||||
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Liabilities | Options written at value | Unrealized depreciation on forward foreign currency contracts | Unrealized depreciation on futures contracts | Swap agreements at value | Total | |||||||||||||||
Over-the-counter liability derivatives | ||||||||||||||||||||
Foreign exchange contracts | $ | — | $ | (10,323,693 | ) | $ | — | $ | — | $ | (10,323,693 | ) | ||||||||
Credit contracts | — | — | — | (88,680 | ) | (88,680 | ) | |||||||||||||
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Totalover-the counter liability derivatives | $ | — | $ | (10,323,693 | ) | $ | — | $ | (88,680 | ) | $ | (10,412,373 | ) | |||||||
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Exchange-traded/cleared liability derivatives |
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Equity contracts | $ | (3,674 | ) | $ | — | $ | (295,868 | ) | $ | — | $ | (299,542 | ) | |||||||
Credit contracts | — | — | — | (6,369,923 | ) | (6,369,923 | ) | |||||||||||||
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Total exchange-traded/cleared liability derivatives | $ | (3,674 | ) | $ | — | $ | (295,868 | ) | $ | (6,369,923 | ) | $ | (6,669,465 | ) | ||||||
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Total liability derivatives | $ | (3,674 | ) | $ | (10,323,693 | ) | $ | (295,868 | ) | $ | (6,458,603 | ) | $ | (17,081,838 | ) | |||||
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The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to benon-hedge transactions for the purpose of this disclosure.
OTC derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the netmark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of March 31, 2020, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty: | Derivatives | Collateral Pledged | ||||||
Bank of America, N.A. | $ | (979,855 | ) | $ | 980,000 | |||
Barclays Bank PLC | (308,886 | ) | 310,000 | |||||
Citibank N.A. | (147,700 | ) | 150,000 | |||||
Goldman Sachs & Co. | (37,066 | ) | — | |||||
HSBC Bank USA | (795,033 | ) | 620,000 |
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk onover-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements atpre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of March 31, 2020:
Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | |||||
$ | 50,962,543 | $ | 35,917,896 |
Net loss amount reflects cash and securities received as collateral of $4,844,373. Securities received as collateral are valued in accordance with the Fund’s valuation policies.
Industry Summary at March 31, 2020 (Unaudited)
ABS Car Loan | 10.0 | % | ||
ABS Home Equity | 9.0 | |||
ABS Other | 5.7 | |||
Banking | 4.6 | |||
Non-Agency Commercial Mortgage-Backed Securities | 3.8 | |||
Automotive | 3.2 | |||
ABS Whole Business | 3.0 | |||
Technology | 2.7 | |||
Media Entertainment | 2.5 | |||
Finance Companies | 2.4 | |||
Pharmaceuticals | 2.4 | |||
Food & Beverage | 2.4 | |||
Cable Satellite | 2.1 | |||
Other Investments, less than 2% each | 28.7 | |||
Collateralized Loan Obligations | 5.2 | |||
Short-Term Investments | 4.1 | |||
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Total Investments | 91.8 | |||
Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts) | 8.2 | |||
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Net Assets | 100.0 | % | ||
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