PORTFOLIO OF INVESTMENTS – as of December 31, 2019 (Unaudited)
Loomis Sayles Core Plus Bond Fund
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – 94.3% of Net Assets | ||||||||||
Non-Convertible Bonds – 94.1% | ||||||||||
ABS Car Loan – 1.0% |
| |||||||||
$ | 1,320,703 | AmeriCredit Automobile Receivables Trust, Series2015-4, Class C, | $ | 1,321,662 | ||||||
17,833 | AmeriCredit Automobile Receivables Trust, Series2017-1, Class A3, | 17,831 | ||||||||
2,000,000 | Avis Budget Rental Car Funding AESOP LLC, Series2015-1A, Class A, | 2,002,353 | ||||||||
11,955,000 | Avis Budget Rental Car Funding AESOP LLC, Series2016-1A, Class A, | 12,081,770 | ||||||||
15,005,000 | Avis Budget Rental Car Funding AESOP LLC, Series2016-2A, Class A, | 15,099,970 | ||||||||
10,350,000 | Avis Budget Rental Car Funding AESOP LLC, Series2017-1A, Class A, | 10,527,176 | ||||||||
4,985,000 | Avis Budget Rental Car Funding AESOP LLC, Series2019-1A, Class A, | 5,100,224 | ||||||||
11,130,000 | CarMax Auto Owner Trust, Series2019-4, Class A2A, | 11,135,960 | ||||||||
105,939 | Credit Acceptance Auto Loan Trust, Series2017-1A, Class A, | 105,949 | ||||||||
7,435,000 | Credit Acceptance Auto Loan Trust, Series2017-3A, Class B, | 7,509,728 | ||||||||
229,131 | Drive Auto Receivables Trust, Series2017-AA, Class C, | 229,189 | ||||||||
4,108,142 | Santander Drive Auto Receivables Trust, Series2018-2, Class B, | 4,115,419 | ||||||||
4,140,000 | Santander Drive Auto Receivables Trust, Series2018-2, Class C, | 4,182,966 | ||||||||
2,475,000 | Santander Drive Auto Receivables Trust, Series2019-3, Class A3, | 2,478,652 | ||||||||
|
| |||||||||
75,908,849 | ||||||||||
|
| |||||||||
ABS Credit Card – 0.1% |
| |||||||||
11,115,000 | World Financial Network Credit Card Master Trust, Series2016-A, Class A, | 11,104,145 | ||||||||
|
| |||||||||
ABS Home Equity – 1.8% |
| |||||||||
2,888,235 | Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, | 2,945,926 | ||||||||
1,588,321 | Bayview Opportunity Master Fund IVa Trust, Series2017-RT1, Class A1, | 1,600,049 | ||||||||
8,753,365 | Bayview Opportunity Master Fund IVa Trust, Series2017-RT5, Class A, | 8,911,800 | ||||||||
4,793,787 | Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL1, Class A, | 4,905,326 | ||||||||
1,968,826 | Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL2, Class A, | 2,003,896 | ||||||||
2,178,610 | Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL3, Class A, | 2,230,267 | ||||||||
2,159,719 | Colony American Finance Ltd., Series2015-1, Class A, | 2,157,910 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
ABS Home Equity – continued |
| |||||||||
$ | 5,865,706 | Colony American Finance Ltd., Series2019-3, Class A, | $ | 5,862,883 | ||||||
34,932 | Countrywide Asset-Backed Certificates, Series2004-S1, Class A3, | 34,507 | ||||||||
25,129,537 | Invitation Homes Trust, Series 2018-SFR2, Class A, | 25,090,543 | ||||||||
8,320,000 | Lanark Master Issuer PLC, Series2019-1A, Class 1A1, | 8,342,572 | ||||||||
2,205,447 | Mill City Mortgage Loan Trust, Series2016-1, Class A1, | 2,201,341 | ||||||||
8,002,310 | Onslow Bay Financial LLC, Series 2018-EXP1, Class 1A3, | 8,117,712 | ||||||||
2,391,754 | Sequoia Mortgage Trust, Series2017-CH1, Class A1, | 2,448,717 | ||||||||
2,240,914 | Sequoia Mortgage Trust, Series2017-CH2, Class A10, | 2,253,712 | ||||||||
5,134,744 | Sequoia Mortgage Trust, Series2018-CH1, Class A1, | 5,214,291 | ||||||||
11,177,277 | Sequoia Mortgage Trust, Series2018-CH3, Class A2, | 11,384,055 | ||||||||
1,454,000 | Towd Point Mortgage Trust, Series2015-1, Class A5, | 1,497,357 | ||||||||
6,021,116 | Towd Point Mortgage Trust, Series2015-2, Class 1A12, | 6,026,319 | ||||||||
5,018,000 | Towd Point Mortgage Trust, Series2015-4, Class M2, | 5,215,595 | ||||||||
5,424,874 | Towd Point Mortgage Trust, Series2016-2, Class A1A, | 5,447,281 | ||||||||
6,017,000 | Towd Point Mortgage Trust, Series2016-2, Class M2, | 5,882,543 | ||||||||
12,198,418 | Towd Point Mortgage Trust, Series2018-3, Class A1, | 12,620,129 | ||||||||
|
| |||||||||
132,394,731 | ||||||||||
|
| |||||||||
ABS Other – 0.1% |
| |||||||||
2,123,859 | OneMain Financial Issuance Trust, Series2016-1A, Class A, | 2,128,077 | ||||||||
4,259,800 | TAL Advantage V LLC, Series2014-3A, Class A, | 4,261,552 | ||||||||
|
| |||||||||
6,389,629 | ||||||||||
|
| |||||||||
ABS Whole Business – 0.5% |
| |||||||||
19,100,250 | Coinstar Funding LLC, Series2017-1A, Class A2, | 19,595,781 | ||||||||
14,299,000 | Planet Fitness Master Issuer LLC, Series2018-1A, Class A2I, | 14,536,650 | ||||||||
|
| |||||||||
34,132,431 | ||||||||||
|
| |||||||||
Aerospace & Defense – 0.2% |
| |||||||||
921,000 | Bombardier, Inc., | 951,220 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Aerospace & Defense – continued |
| |||||||||
$ | 14,932,000 | Embraer Netherlands Finance BV, | $ | 16,369,355 | ||||||
|
| |||||||||
17,320,575 | ||||||||||
|
| |||||||||
Agency Commercial Mortgage-Backed Securities – 3.0% |
| |||||||||
15,165,000 | Federal National Mortgage Association, Series2015-M15, Class A2, | 15,657,271 | ||||||||
6,750,000 | Federal National Mortgage Association, Series2015-M17, Class A2, | 6,964,319 | ||||||||
10,975,000 | Federal National Mortgage Association, Series2016-M4, Class A2, | 11,137,498 | ||||||||
20,355,000 | Federal National Mortgage Association, Series2017-M14, Class A2, | 20,969,662 | ||||||||
1,660,000 | Federal National Mortgage Association, Series2017-M15, Class A2, | 1,729,429 | ||||||||
7,591,000 | Federal National Mortgage Association, Series2017-M3, Class A2, | 7,678,991 | ||||||||
6,538,096 | Federal National Mortgage Association, Series2017-M7, Class A2, | 6,786,983 | ||||||||
11,860,279 | Federal National Mortgage Association, Series2018-M1, Class A2, | 12,357,509 | ||||||||
2,460,000 | Federal National Mortgage Association, Series2018-M10, Class A2, | 2,628,117 | ||||||||
17,925,000 | Federal National Mortgage Association, Series2018-M7, Class A2, | 18,802,689 | ||||||||
4,665,000 | Federal National Mortgage Association, Series2018-M8, Class A2, | 4,961,673 | ||||||||
7,350,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K725, Class A2, | 7,591,079 | ||||||||
2,770,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K058, Class A2, | 2,838,328 | ||||||||
6,195,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K061, Class A2, | 6,599,305 | ||||||||
6,995,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K062, Class A2, | 7,481,609 | ||||||||
5,105,490 | FHLMC Multifamily Structured Pass Through Certificates, Series K063, Class A2, | 5,465,497 | ||||||||
915,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K069, Class A2, | 967,140 | ||||||||
1,310,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K071, Class A2, | 1,392,837 | ||||||||
8,045,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K072, Class A2, | 8,640,566 | ||||||||
2,550,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K073, Class A2, | 2,722,569 | ||||||||
21,680,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K081, Class A2, | 23,998,886 | ||||||||
7,205,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K082, Class A2, | 7,989,387 | ||||||||
10,465,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K084, Class A2, | 11,482,149 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Agency Commercial Mortgage-Backed Securities – continued |
| |||||||||
$ | 11,410,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K727, Class A2, | $ | 11,757,700 | ||||||
2,151,433 | FNMA, | 2,229,949 | ||||||||
6,485,000 | FNMA, | 6,703,168 | ||||||||
5,035,000 | FNMA, | 5,243,213 | ||||||||
1,823,611 | FNMA, | 1,907,316 | ||||||||
|
| |||||||||
224,684,839 | ||||||||||
|
| |||||||||
Airlines – 0.0% |
| |||||||||
2,217,826 | Continental Airlines Pass Through Certificates, Series2012-2, Class A, | 2,335,926 | ||||||||
505,079 | Continental Airlines Pass Through Trust, Series2010-1, Class A, | 515,888 | ||||||||
|
| |||||||||
2,851,814 | ||||||||||
|
| |||||||||
Automotive – 1.6% |
| |||||||||
12,010,000 | Ford Motor Credit Co. LLC, | 12,100,305 | ||||||||
27,688,000 | Ford Motor Credit Co. LLC, | 28,581,975 | ||||||||
16,412,000 | Ford Motor Credit Co. LLC, | 17,182,149 | ||||||||
18,701,000 | General Motors Co., | 19,331,638 | ||||||||
22,752,000 | Hyundai Capital America, | 22,893,461 | ||||||||
10,350,000 | Toyota Motor Corp., | 10,496,663 | ||||||||
8,370,000 | Volkswagen Group of America Finance LLC, | 8,584,404 | ||||||||
|
| |||||||||
119,170,595 | ||||||||||
|
| |||||||||
Banking – 9.3% |
| |||||||||
21,085,000 | American Express Co., | 21,331,708 | ||||||||
16,016,000 | Banco Santander Chile, | 16,500,100 | ||||||||
31,480,000 | Bangkok Bank PCL, | 33,352,116 | ||||||||
10,172,000 | Bank of America Corp., (fixed rate to 12/20/2022, variable rate thereafter), | 10,409,464 | ||||||||
45,265,000 | Bank of America Corp., (fixed rate to 4/23/2026, variable rate thereafter), MTN, | 47,847,523 | ||||||||
5,715,000 | Bank of America Corp., GMTN, | 5,767,360 | ||||||||
10,850,000 | Bank of Montreal, Series D, | 11,027,212 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Banking – continued |
| |||||||||
$ | 45,518,000 | Barclays PLC, | $ | 45,652,733 | ||||||
7,058,000 | Barclays PLC, | 7,153,763 | ||||||||
31,390,000 | BNP Paribas S.A., (fixed rate to 11/19/2024, variable rate thereafter), | 31,762,821 | ||||||||
14,545,000 | Capital One NA, | 14,569,693 | ||||||||
5,780,000 | Citigroup, Inc., | 5,811,549 | ||||||||
30,055,000 | Citigroup, Inc., | 31,412,264 | ||||||||
6,165,000 | Credit Suisse AG, | 6,194,177 | ||||||||
35,820,000 | DNB Bank ASA, | 35,993,128 | ||||||||
11,955,000 | Goldman Sachs Bank USA, | 11,960,832 | ||||||||
5,780,000 | Goldman Sachs Group, Inc. (The), | 5,787,527 | ||||||||
12,701,000 | Goldman Sachs Group, Inc. (The), | 13,228,457 | ||||||||
14,867,000 | Goldman Sachs Group, Inc. (The), | 15,959,951 | ||||||||
13,448,000 | Goldman Sachs Group, Inc. (The), | 18,681,004 | ||||||||
19,915,000 | Huntington Bancshares, Inc., | 20,199,537 | ||||||||
3,205,000 | JPMorgan Chase & Co., | 3,229,791 | ||||||||
10,919,000 | JPMorgan Chase & Co., | 11,268,886 | ||||||||
1,785,000 | JPMorgan Chase & Co., | 1,816,724 | ||||||||
10,223,000 | JPMorgan Chase & Co., | 10,616,798 | ||||||||
23,597,000 | JPMorgan Chase & Co., | 24,777,388 | ||||||||
33,445,000 | JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), | 33,449,886 | ||||||||
3,235,000 | Lloyds Banking Group PLC, | 3,287,161 | ||||||||
3,955,000 | Lloyds Banking Group PLC, | 4,017,376 | ||||||||
23,780,000 | Lloyds Banking Group PLC, | 25,749,530 | ||||||||
7,690,000 | Morgan Stanley, | 7,721,963 | ||||||||
19,598,000 | Morgan Stanley, | 20,353,897 | ||||||||
3,381,000 | Morgan Stanley, GMTN, | 3,591,650 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Banking – continued |
| |||||||||
$ | 12,550,000 | Morgan Stanley, GMTN, | $ | 13,220,532 | ||||||
21,770,000 | Morgan Stanley, Series F, | 23,143,208 | ||||||||
16,700,000 | Nationwide Building Society, (fixed rate to 4/26/2022, variable rate thereafter), | 17,178,766 | ||||||||
18,510,000 | PNC Bank NA, (fixed rate to 12/9/2021, variable rate thereafter), | 18,535,433 | ||||||||
9,123,000 | Santander UK Group Holdings PLC, | 11,277,437 | ||||||||
18,300,000 | Sumitomo Mitsui Financial Group, Inc., | 18,563,099 | ||||||||
14,405,000 | Sumitomo Mitsui Financial Group, Inc., | 14,699,968 | ||||||||
25,285,000 | Toronto Dominion Bank (The), MTN, | 25,901,769 | ||||||||
|
| |||||||||
703,004,181 | ||||||||||
|
| |||||||||
Building Materials – 0.1% |
| |||||||||
8,563,000 | Owens Corning, | 9,036,346 | ||||||||
|
| |||||||||
Cable Satellite – 0.4% |
| |||||||||
11,360,000 | Comcast Corp., | 11,408,667 | ||||||||
924,000 | Time Warner Cable LLC, | 1,032,207 | ||||||||
2,648,000 | Time Warner Cable LLC, | 3,039,301 | ||||||||
8,447,000 | Time Warner Cable LLC, | 10,362,310 | ||||||||
2,013,000 | Time Warner Cable LLC, | 2,543,425 | ||||||||
|
| |||||||||
28,385,910 | ||||||||||
|
| |||||||||
Chemicals – 1.4% |
| |||||||||
26,749,000 | Braskem America Finance Co., | 30,627,605 | ||||||||
3,680,000 | Koppers, Inc., | 3,854,800 | ||||||||
14,107,000 | Methanex Corp., | 14,829,832 | ||||||||
17,715,000 | Methanex Corp., | 18,306,210 | ||||||||
10,242,000 | Orbia Advance Corp. SAB de CV, | 10,792,610 | ||||||||
11,165,000 | Orbia Advance Corp. SAB de CV, | 12,881,730 | ||||||||
4,402,000 | RPM International, Inc., | 4,513,467 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Chemicals – continued |
| |||||||||
$ | 6,545,000 | Univar Solutions USA, Inc., | $ | 6,831,540 | ||||||
|
| |||||||||
102,637,794 | ||||||||||
|
| |||||||||
Collateralized Mortgage Obligations – 1.0% |
| |||||||||
21,449,098 | Federal Home Loan Mortgage Corp., Series 277, Class 30, | 21,652,615 | ||||||||
2,608,176 | Federal Home Loan Mortgage Corp., Series 353, Class 300, | 2,652,115 | ||||||||
5,000,000 | Federal Home Loan Mortgage Corp., Series 3654, Class DC, | 5,568,349 | ||||||||
500,207 | Government National Mortgage Association, Series2010-H20, Class AF, | 497,546 | ||||||||
412,874 | Government National Mortgage Association, Series2010-H24, Class FA, | 410,722 | ||||||||
323,385 | Government National Mortgage Association, Series2011-H06, Class FA, | 322,585 | ||||||||
3,505,522 | Government National Mortgage Association, Series2012-H12, Class FA, | 3,505,376 | ||||||||
450,350 | Government National Mortgage Association, Series2012-H18, Class NA, | 450,052 | ||||||||
3,679,443 | Government National Mortgage Association, Series2012-H27, Class FA, | 3,666,914 | ||||||||
904,811 | Government National Mortgage Association, Series2013-H01, Class FA, | 896,710 | ||||||||
1,647,321 | Government National Mortgage Association, Series2013-H03, Class HA, | 1,641,746 | ||||||||
2,265,062 | Government National Mortgage Association, Series2013-H04, Class BA, | 2,255,420 | ||||||||
5,833,960 | Government National Mortgage Association, Series2013-H07, Class DA, | 5,834,994 | ||||||||
9,554,641 | Government National Mortgage Association, Series2013-H10, Class PA, | 9,545,622 | ||||||||
12,153,066 | Government National Mortgage Association, Series2015-H10, Class JA, | 11,964,414 | ||||||||
6,008,116 | Government National Mortgage Association, Series2015-H13, Class FG, | 5,987,947 | ||||||||
116,690 | Government National Mortgage Association, Series2015-H13, Class FL, | 115,803 | ||||||||
|
| |||||||||
76,968,930 | ||||||||||
|
| |||||||||
Construction Machinery – 0.3% |
| |||||||||
7,060,000 | Caterpillar Financial Services Corp., MTN, | 7,088,762 | ||||||||
8,705,000 | CNH Industrial Capital LLC, | 9,087,498 | ||||||||
4,790,000 | John Deere Capital Corp., MTN, | 4,900,019 | ||||||||
|
| |||||||||
21,076,279 | ||||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Consumer Cyclical Services – 0.4% |
| |||||||||
$ | 25,600,000 | Amazon.com, Inc., | $ | 31,229,991 | ||||||
|
| |||||||||
Consumer Products – 0.3% |
| |||||||||
5,595,000 | Hasbro, Inc., | 5,634,308 | ||||||||
1,040,000 | Hasbro, Inc., | 1,047,543 | ||||||||
11,675,000 | Whirlpool Corp., | 13,008,690 | ||||||||
3,495,000 | Whirlpool Corp., MTN, | 3,624,468 | ||||||||
|
| |||||||||
23,315,009 | ||||||||||
|
| |||||||||
Diversified Manufacturing – 0.1% |
| |||||||||
1,158,000 | Crane Co., | 1,447,692 | ||||||||
2,770,000 | General Electric Co., | 2,857,890 | ||||||||
|
| |||||||||
4,305,582 | ||||||||||
|
| |||||||||
Electric – 1.2% |
| |||||||||
26,274,435 | Cometa Energia S.A. de CV, | 28,573,448 | ||||||||
3,315,000 | Enel Americas S.A., | 3,431,058 | ||||||||
3,364,000 | Enel Generacion Chile S.A., | 3,544,368 | ||||||||
17,805,000 | Florida Power & Light Co., | 18,010,127 | ||||||||
17,247,000 | National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), | 17,974,157 | ||||||||
5,930,000 | PPL Electric Utilities Corp., | 5,669,947 | ||||||||
8,413,000 | Transelec S.A., | 8,844,250 | ||||||||
4,380,000 | Transelec S.A., | 4,631,894 | ||||||||
3,050,000 | Virginia Electric & Power Co., Class A, | 3,125,492 | ||||||||
|
| |||||||||
93,804,741 | ||||||||||
|
| |||||||||
Finance Companies – 0.4% |
| |||||||||
1,534,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, | 1,572,507 | ||||||||
18,035,000 | Air Lease Corp., GMTN, | 18,857,733 | ||||||||
3,910,000 | International Lease Finance Corp., | 4,260,026 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Finance Companies – continued |
| |||||||||
$ | 4,840,000 | Navient LLC, MTN, | $ | 4,889,949 | ||||||
|
| |||||||||
29,580,215 | ||||||||||
|
| |||||||||
Financial Other – 0.1% |
| |||||||||
6,315,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., | 6,457,908 | ||||||||
|
| |||||||||
Food & Beverage – 0.4% |
| |||||||||
7,380,000 | Bacardi Ltd., | 8,340,273 | ||||||||
16,885,000 | Bacardi Ltd., | 19,618,315 | ||||||||
3,490,000 | Gruma SAB de CV, | 3,777,960 | ||||||||
|
| |||||||||
31,736,548 | ||||||||||
|
| |||||||||
Government Owned - No Guarantee – 2.6% |
| |||||||||
7,757,000 | CNPC General Capital Ltd., | 8,030,201 | ||||||||
17,981,000 | Dolphin Energy Ltd. LLC, | 19,014,368 | ||||||||
11,005,000 | Mexico City Airport Trust, | 11,349,016 | ||||||||
18,213,000 | OCP S.A., | 20,128,170 | ||||||||
7,355,000 | Ooredoo International Finance Ltd., | 7,493,200 | ||||||||
10,955,000 | Ooredoo International Finance Ltd., | 11,735,544 | ||||||||
11,250,000 | Saudi Arabian Oil Co., | 12,302,921 | ||||||||
18,945,000 | Syngenta Finance NV, | 19,004,608 | ||||||||
31,720,000 | Tennessee Valley Authority, | 41,290,119 | ||||||||
9,045,000 | Tennessee Valley Authority, | 12,415,394 | ||||||||
6,401,000 | Tennessee Valley Authority, | 8,792,309 | ||||||||
10,957,000 | Tennessee Valley Authority, | 15,101,662 | ||||||||
10,930,000 | Transportadora de Gas Internacional S.A. E.S.P., | 12,501,297 | ||||||||
|
| |||||||||
199,158,809 | ||||||||||
|
| |||||||||
Healthcare – 0.6% |
| |||||||||
7,470,000 | CVS Health Corp., | 8,160,536 | ||||||||
18,025,000 | CVS Health Corp., | 21,360,101 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Healthcare – continued |
| |||||||||
$ | 13,364,000 | Universal Health Services, Inc., | $ | 13,497,640 | ||||||
|
| |||||||||
43,018,277 | ||||||||||
|
| |||||||||
Hybrid ARMs – 0.0% |
| |||||||||
31,550 | FNMA, | 32,709 | ||||||||
|
| |||||||||
Independent Energy – 0.6% |
| |||||||||
14,785,000 | Occidental Petroleum Corp., | 14,894,406 | ||||||||
9,258,667 | Pan American Energy LLC, | 9,582,813 | ||||||||
985,000 | QEP Resources, Inc., | 975,150 | ||||||||
10,701,000 | Range Resources Corp., | 10,486,980 | ||||||||
12,316,000 | SM Energy Co., | 12,439,160 | ||||||||
|
| |||||||||
48,378,509 | ||||||||||
|
| |||||||||
Industrial Other – 0.4% |
| |||||||||
11,005,000 | CK Hutchison International 16 Ltd., | 10,915,163 | ||||||||
4,020,000 | Georgetown University (The), Class A, | 5,110,505 | ||||||||
3,750,000 | Georgetown University (The), Series B, | 4,444,612 | ||||||||
5,920,000 | University of Pennsylvania, | 6,069,000 | ||||||||
|
| |||||||||
26,539,280 | ||||||||||
|
| |||||||||
Life Insurance – 0.1% |
| |||||||||
9,158,000 | Northwestern Mutual Life Insurance Co. (The), | 9,184,900 | ||||||||
|
| |||||||||
Media Entertainment – 0.7% |
| |||||||||
63,720,000 | Grupo Televisa SAB, EMTN, | 2,494,036 | ||||||||
15,635,000 | Prosus NV, | 17,039,649 | ||||||||
32,599,000 | Prosus NV, | 33,123,583 | ||||||||
|
| |||||||||
52,657,268 | ||||||||||
|
| |||||||||
Metals & Mining – 0.3% |
| |||||||||
17,135,000 | Freeport-McMoRan, Inc., | 17,349,187 | ||||||||
1,990,000 | Steel Dynamics, Inc., | 2,013,640 | ||||||||
|
| |||||||||
19,362,827 | ||||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Midstream – 1.1% |
| |||||||||
$ | 670,000 | Energy Transfer Operating LP, | $ | 688,745 | ||||||
6,959,000 | Energy Transfer Operating LP, | 7,773,434 | ||||||||
10,082,000 | Energy Transfer Operating LP, | 11,992,578 | ||||||||
1,578,000 | Energy Transfer Operating LP, | 1,875,947 | ||||||||
13,236,000 | Energy Transfer Partners LP/Regency Energy Finance Corp., | 14,040,999 | ||||||||
2,745,000 | Energy Transfer Partners LP/Regency Energy Finance Corp., | 2,913,608 | ||||||||
2,555,000 | Kinder Morgan Energy Partners LP, | 2,709,725 | ||||||||
10,668,000 | Kinder Morgan Energy Partners LP, | �� | 11,402,011 | |||||||
4,861,000 | Kinder Morgan, Inc., | 4,998,903 | ||||||||
17,979,000 | Kinder Morgan, Inc., | 19,877,612 | ||||||||
2,080,000 | Sunoco Logistics Partners Operations LP, | 2,261,540 | ||||||||
|
| |||||||||
80,535,102 | ||||||||||
|
| |||||||||
Mortgage Related – 28.8% |
| |||||||||
63,446,718 | FHLMC, | 62,747,723 | ||||||||
31,193,368 | FHLMC, | 31,748,744 | ||||||||
94,109,614 | FHLMC, | 97,584,832 | ||||||||
32,093,790 | FHLMC, | 34,329,512 | ||||||||
196,874,603 | FHLMC, | 208,503,711 | ||||||||
28,667,919 | FHLMC, | 30,687,900 | ||||||||
10,231 | FHLMC, | 11,738 | ||||||||
199,803,936 | FNMA, | 197,704,588 | ||||||||
477,200,191 | FNMA, | 484,817,586 | ||||||||
413,814,428 | FNMA, | 426,149,723 | ||||||||
205,235,209 | FNMA, | 215,672,735 | ||||||||
181,972,800 | FNMA, | 192,297,225 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Mortgage Related – continued |
| |||||||||
$ | 29,553,147 | FNMA, | $ | 31,636,016 | ||||||
152,660 | FNMA, | 174,842 | ||||||||
12,950 | FNMA, | 14,375 | ||||||||
39,758 | FNMA, | 43,801 | ||||||||
20,093 | FNMA, | 22,571 | ||||||||
21,581,059 | GNMA, | 21,328,048 | ||||||||
140,475 | GNMA, | 141,097 | ||||||||
584,107 | GNMA, | 606,119 | ||||||||
69,836 | GNMA, | 70,470 | ||||||||
17,027 | GNMA, | 17,448 | ||||||||
77,959 | GNMA, | 78,250 | ||||||||
146,296 | GNMA, | 147,226 | ||||||||
76,615 | GNMA, | 77,482 | ||||||||
109,784 | GNMA, | 111,587 | ||||||||
17,471 | GNMA, | 17,618 | ||||||||
179,108 | GNMA, | 180,216 | ||||||||
163,333 | GNMA, | 169,821 | ||||||||
196,244 | GNMA, | 197,415 | ||||||||
10,092,890 | GNMA, | 11,007,613 | ||||||||
363,729 | GNMA, | 368,349 | ||||||||
5,517,968 | GNMA, | 5,967,247 | ||||||||
2,867,856 | GNMA, | 3,120,480 | ||||||||
3,950,383 | GNMA, | 4,274,983 | ||||||||
2,669,369 | GNMA, | 2,682,201 | ||||||||
510,905 | GNMA, | 512,235 | ||||||||
4,627,862 | GNMA, | 5,031,904 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Mortgage Related – continued |
| |||||||||
$ | 41,122 | GNMA, | $ | 41,634 | ||||||
305,389 | GNMA, | 306,928 | ||||||||
6,104,774 | GNMA, | 6,597,587 | ||||||||
4,805,757 | GNMA, | 5,118,206 | ||||||||
3,241,297 | GNMA, | 3,541,930 | ||||||||
4,021,221 | GNMA, | 4,263,015 | ||||||||
3,615,870 | GNMA, | 3,945,030 | ||||||||
11,178,060 | GNMA, | 12,250,175 | ||||||||
4,688,020 | GNMA, | 4,974,283 | ||||||||
3,835,459 | GNMA, | 4,083,952 | ||||||||
2,501,834 | GNMA, | 2,712,694 | ||||||||
6,354,306 | GNMA, | 6,740,755 | ||||||||
6,513,267 | GNMA, | 6,952,892 | ||||||||
2,346,067 | GNMA, | 2,495,638 | ||||||||
7,134,939 | GNMA, | 7,580,137 | ||||||||
4,299,424 | GNMA, | 4,646,470 | ||||||||
770,680 | GNMA, | 812,837 | ||||||||
2,840,032 | GNMA, | 3,005,116 | ||||||||
4,608,570 | GNMA, | 5,034,815 | ||||||||
229,541 | GNMA, | 232,528 | ||||||||
3,091,215 | GNMA, | 3,244,218 | ||||||||
5,232,597 | GNMA, | 5,572,662 | ||||||||
8 | GNMA, | 7 | ||||||||
3,761,151 | GNMA, | 3,999,692 | ||||||||
73,393 | GNMA, | 75,534 | ||||||||
2,299 | GNMA, | 2,337 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Mortgage Related – continued |
| |||||||||
$ | 228,167 | GNMA, | $ | 252,617 | ||||||
42,953 | GNMA, | 48,620 | ||||||||
37,729 | GNMA, | 41,620 | ||||||||
56,688 | GNMA, | 58,351 | ||||||||
7,069 | GNMA, | 7,683 | ||||||||
282 | GNMA, | 283 | ||||||||
|
| |||||||||
2,168,895,677 | ||||||||||
|
| |||||||||
Natural Gas – 0.0% |
| |||||||||
3,185,000 | Boston Gas Co., | 3,261,077 | ||||||||
|
| |||||||||
Non-Agency Commercial Mortgage-Backed Securities – 1.2% |
| |||||||||
14,975,000 | BANK, Series 2019-BN22, Class A4, | 15,379,243 | ||||||||
7,240,000 | BANK, Series 2019-BN24, Class A3, | 7,423,882 | ||||||||
16,725,000 | Citigroup Commercial Mortgage Trust, Series2019-C7, Class A4, | 17,261,254 | ||||||||
18,485,000 | Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A4, | 19,054,591 | ||||||||
1,025,000 | Commercial Mortgage Trust, Series2010-C1, Class D, | 1,040,020 | ||||||||
3,052,113 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, | 3,116,113 | ||||||||
6,637,000 | GS Mortgage Securities Trust, Series2011-GC5, Class C, | 6,834,302 | ||||||||
8,150,000 | UBS-Barclays Commercial Mortgage Trust, Series2013-C5, Class A4, | 8,359,775 | ||||||||
9,412,653 | Wells Fargo Commercial Mortgage Trust, Series2010-C1, Class D, | 9,551,482 | ||||||||
5,876,392 | WFRBS Commercial Mortgage Trust, Series2011-C4, Class D, | 5,987,221 | ||||||||
|
| |||||||||
94,007,883 | ||||||||||
|
| |||||||||
Oil Field Services – 0.7% |
| |||||||||
8,323,000 | Nabors Industries, Inc., | 7,481,794 | ||||||||
29,916,000 | Thaioil Treasury Center Co. Ltd., | 34,787,522 | ||||||||
8,770,950 | Transocean Guardian Ltd., | 8,968,296 | ||||||||
|
| |||||||||
51,237,612 | ||||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Paper – 0.3% |
| |||||||||
$ | 5,797,000 | Celulosa Arauco y Constitucion S.A., | $ | 6,072,415 | ||||||
10,350,000 | Klabin Austria GmbH, | 11,307,375 | ||||||||
1,989,000 | WestRock RKT LLC, | 2,095,596 | ||||||||
|
| |||||||||
19,475,386 | ||||||||||
|
| |||||||||
Pharmaceuticals – 0.4% |
| |||||||||
8,135,000 | Bausch Health Cos., Inc., | 8,349,682 | ||||||||
8,175,000 | Bausch Health Cos., Inc., | 8,477,475 | ||||||||
6,293,000 | Biogen, Inc., | 6,339,255 | ||||||||
8,950,000 | Teva Pharmaceutical Finance Netherlands III BV, | 9,193,440 | ||||||||
|
| |||||||||
32,359,852 | ||||||||||
|
| |||||||||
Property & Casualty Insurance – 0.2% |
| |||||||||
13,365,000 | Ardonagh Midco 3 PLC, | 13,264,762 | ||||||||
3,171,000 | Willis Towers Watson PLC, | 3,305,227 | ||||||||
|
| |||||||||
16,569,989 | ||||||||||
|
| |||||||||
Railroads – 0.3% |
| |||||||||
22,355,000 | Burlington Northern Santa Fe LLC, | 23,556,907 | ||||||||
|
| |||||||||
Refining – 0.1% |
| |||||||||
8,665,000 | Ultrapar International S.A., | 9,304,130 | ||||||||
|
| |||||||||
REITs - Diversified – 0.3% |
| |||||||||
19,465,000 | iStar, Inc., | 19,678,336 | ||||||||
1,495,000 | iStar, Inc., | 1,549,194 | ||||||||
|
| |||||||||
21,227,530 | ||||||||||
|
| |||||||||
Retailers – 0.6% |
| |||||||||
27,630,000 | El Puerto de Liverpool SAB de CV, | 28,182,876 | ||||||||
9,929,000 | SACI Falabella, | 10,115,011 | ||||||||
7,559,000 | SACI Falabella, | 7,880,054 | ||||||||
|
| |||||||||
46,177,941 | ||||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Sovereigns – 1.1% |
| |||||||||
$ | 32,145,000 | Kingdom of Saudi Arabia, | $ | 33,293,219 | ||||||
20,805,000 | Republic of Argentina, | 10,818,600 | ||||||||
19,040,000 | Republic of Argentina, | 9,567,600 | ||||||||
8,015,000 | Republic of Indonesia, | 8,235,493 | ||||||||
11,125,000 | Republic of Oman, | 11,266,176 | ||||||||
11,830,000 | State of Qatar, | 12,488,482 | ||||||||
|
| |||||||||
85,669,570 | ||||||||||
|
| |||||||||
Technology – 1.8% |
| |||||||||
18,770,000 | Apple, Inc., | 18,637,081 | ||||||||
18,765,000 | Apple, Inc., | 18,412,712 | ||||||||
17,895,000 | Corning, Inc., | 19,606,260 | ||||||||
3,000,000 | Equifax, Inc., | 3,088,098 | ||||||||
5,101,000 | Equifax, Inc., | 6,562,480 | ||||||||
15,427,000 | Hewlett Packard Enterprise Co., | 15,602,236 | ||||||||
17,176,000 | Hewlett Packard Enterprise Co., | 20,605,448 | ||||||||
7,515,000 | Microchip Technologies, Inc., | 7,939,214 | ||||||||
10,996,000 | Molex Electronic Technologies LLC, | 11,010,706 | ||||||||
7,255,000 | Molex Electronic Technologies LLC, | 7,489,456 | ||||||||
6,140,000 | Texas Instruments, Inc., | 6,062,693 | ||||||||
|
| |||||||||
135,016,384 | ||||||||||
|
| |||||||||
Tobacco – 0.6% |
| |||||||||
8,705,000 | Altria Group, Inc., | 9,463,607 | ||||||||
37,450,000 | BAT Capital Corp., | 37,633,291 | ||||||||
|
| |||||||||
47,096,898 | ||||||||||
|
| |||||||||
Transportation Services – 0.1% |
| |||||||||
10,960,000 | Ryder System, Inc., MTN, | 11,011,717 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Treasuries – 25.7% |
| |||||||||
10,976,000 | (††) | Mexican Fixed Rate Bonds, Series M, | $ | 54,997,553 | ||||||
7,931,400 | (††) | Mexican Fixed Rate Bonds, Series M, | 41,785,673 | |||||||
1,170,000 | (††) | Mexican Fixed Rate Bonds, Series M 20, | 6,887,453 | |||||||
496,730,000 | Republic of Uruguay, | 11,388,887 | ||||||||
294,989,000 | Republic of Uruguay, | 7,771,788 | ||||||||
5,960,000 | U.S. Treasury Bond, | 5,956,973 | ||||||||
10,350,000 | U.S. Treasury Bond, | 11,706,820 | ||||||||
40,130,000 | U.S. Treasury Bond, | 48,544,759 | ||||||||
122,873,643 | U.S. Treasury Inflation Indexed Bond, | 131,664,013 | ||||||||
119,679,404 | U.S. Treasury Inflation Indexed Bond, | 131,607,381 | ||||||||
106,582,570 | U.S. Treasury Inflation Indexed Bond, | 118,428,859 | ||||||||
61,842,185 | U.S. Treasury Inflation Indexed Note, | 62,210,382 | ||||||||
55,327,283 | U.S. Treasury Inflation Indexed Note, | 55,818,786 | ||||||||
66,896,510 | U.S. Treasury Inflation Indexed Note, | 68,312,620 | ||||||||
75,605,000 | U.S. Treasury Note, | 73,711,922 | ||||||||
23,395,000 | U.S. Treasury Note, | 23,469,023 | ||||||||
96,700,000 | U.S. Treasury Note, | 97,005,965 | ||||||||
48,325,000 | U.S. Treasury Note, | 48,096,589 | ||||||||
52,420,000 | U.S. Treasury Note, | 51,670,558 | ||||||||
95,545,000 | U.S. Treasury Note, | 99,377,997 | ||||||||
37,405,000 | U.S. Treasury Note, | 39,669,756 | ||||||||
53,565,000 | U.S. Treasury Note, | 57,770,689 | ||||||||
624,792,000 | U.S. Treasury Note, | 687,442,043 | ||||||||
|
| |||||||||
1,935,296,489 | ||||||||||
|
| |||||||||
Utility Other – 0.4% |
| |||||||||
25,420,000 | Acwa Power Management And Investments One Ltd., | 27,031,882 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Wireless – 0.4% |
| |||||||||
$ | 1,424,000 | American Tower Corp., | $ | 1,500,603 | ||||||
20,973,000 | Bharti Airtel Ltd., | 21,359,089 | ||||||||
3,960,000 | Millicom International Cellular S.A., | 4,384,908 | ||||||||
|
| |||||||||
27,244,600 | ||||||||||
|
| |||||||||
Wirelines – 1.0% |
| |||||||||
720,000 | AT&T, Inc., | 777,321 | ||||||||
6,549,000 | AT&T, Inc., | 7,235,323 | ||||||||
1,615,000 | AT&T, Inc., | 1,827,764 | ||||||||
7,715,000 | AT&T, Inc., | 9,217,758 | ||||||||
10,790,000 | AT&T, Inc., | 13,404,124 | ||||||||
11,187,000 | Colombia Telecomunicaciones S.A. E.S.P., | 11,271,014 | ||||||||
3,890,000 | Telefonica Emisiones S.A., | 3,926,829 | ||||||||
23,277,000 | Telefonica Emisiones S.A., | 24,159,157 | ||||||||
|
| |||||||||
71,819,290 | ||||||||||
|
| |||||||||
TotalNon-Convertible Bonds | 7,090,625,537 | |||||||||
|
| |||||||||
Municipals – 0.2% | ||||||||||
Local Authorities – 0.2% |
| |||||||||
17,415,000 | University of Virginia, Revenue Bond, Series A, | 16,147,014 | ||||||||
|
| |||||||||
Total Municipals | 16,147,014 | |||||||||
|
| |||||||||
Total Bonds and Notes | 7,106,772,551 | |||||||||
|
| |||||||||
Senior Loans – 2.3% | ||||||||||
Automotive – 0.2% | ||||||||||
8,874,604 | Dayco Products LLC, 2017 Term Loan B, | 7,720,905 | ||||||||
2,773,050 | KAR Auction Services, Inc., 2019 Term Loan B6, | 2,790,382 | ||||||||
1,487,781 | Visteon Corp., 2018 Term Loan B, | 1,487,781 | ||||||||
|
| |||||||||
11,999,068 | ||||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||||
Senior Loans – continued | ||||||||||
Chemicals – 0.1% |
| |||||||||
$ | 4,144,600 | Venator Materials Corp., Term Loan B, | $ | 4,106,594 | ||||||
|
| |||||||||
Consumer Cyclical Services – 0.0% |
| |||||||||
1,373,017 | FrontDoor, Inc., 2018 Term Loan B, | 1,385,031 | ||||||||
|
| |||||||||
Consumer Products – 0.3% |
| |||||||||
11,247,674 | Coty, Inc., 2018 USD Term Loan B, | 11,003,937 | ||||||||
1,392,600 | Energizer Holdings, Inc., 2018 Term Loan B, | 1,398,379 | ||||||||
1,232,123 | Resideo Funding, Inc., Term Loan B, | 1,222,882 | ||||||||
11,502,754 | Serta Simmons Bedding LLC, 1st Lien Term Loan, | 7,383,388 | ||||||||
|
| |||||||||
21,008,586 | ||||||||||
|
| |||||||||
Electric – 0.0% |
| |||||||||
545,323 | AES Corp., 2018 Term Loan B, | 545,323 | ||||||||
|
| |||||||||
Gaming – 0.1% |
| |||||||||
4,442,340 | Churchill Downs, Inc., 2017 Term Loan B, | 4,458,999 | ||||||||
|
| |||||||||
Industrial Other – 0.0% |
| |||||||||
3,028,284 | Altra Industrial Motion Corp., 2018 Term Loan B, | 3,034,582 | ||||||||
|
| |||||||||
Leisure – 0.1% |
| |||||||||
9,805,900 | AMC Entertainment Holdings, Inc., 2019 Term Loan B, | 9,874,149 | ||||||||
|
| |||||||||
Media Entertainment – 0.6% |
| |||||||||
10,696,380 | Entercom Media Corp., 2019 Term Loan, | 10,763,232 | ||||||||
3,468,383 | Lamar Media Corp., 2018 Term Loan B, | 3,482,464 | ||||||||
3,287,231 | Meredith Corp., 2018 Term Loan B, | 3,301,826 | ||||||||
18,253,197 | Nielsen Finance LLC, USD Term Loan B4, | 18,300,838 | ||||||||
6,034,875 | Sinclair Television Group, Inc., Term Loan B2B, | 6,049,962 | ||||||||
|
| |||||||||
41,898,322 | ||||||||||
|
| |||||||||
Packaging – 0.0% |
| |||||||||
2,702,788 | Plastipak Packaging, Inc., 2018 Term Loan B, | 2,696,598 | ||||||||
|
| |||||||||
Pharmaceuticals – 0.2% |
| |||||||||
5,494,871 | Bausch Health Cos., Inc., Term Loan B, | 5,520,312 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Senior Loans – continued | ||||||||||
Pharmaceuticals – continued |
| |||||||||
$ | 7,230,585 | Change Healthcare Holdings LLC, 2017 Term Loan B, | $ | 7,249,818 | ||||||
5,013,000 | Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, | 5,052,152 | ||||||||
|
| |||||||||
17,822,282 | ||||||||||
|
| |||||||||
Property & Casualty Insurance – 0.1% |
| |||||||||
2,707,675 | USI, Inc., 2017 Repriced Term Loan, | 2,704,967 | ||||||||
2,125,000 | USI, Inc., 2019 Incremental Term Loan B, | 2,136,518 | ||||||||
|
| |||||||||
4,841,485 | ||||||||||
|
| |||||||||
Restaurants – 0.2% |
| |||||||||
18,495,000 | 1011778 B.C. Unlimited Liability Co., Term Loan B4, | 18,513,310 | ||||||||
|
| |||||||||
Retailers – 0.0% |
| |||||||||
1,815,000 | Hanesbrands, Inc., 2017 Term Loan B, | 1,819,538 | ||||||||
|
| |||||||||
Technology – 0.3% |
| |||||||||
9,955,054 | Iron Mountain, Inc., 2018 Term Loan B, | 9,920,809 | ||||||||
1,959,853 | Sabre GLBL, Inc., 2018 Term Loan B, | 1,969,653 | ||||||||
9,715,405 | SS&C Technologies Inc., 2018 Term Loan B5, | 9,775,154 | ||||||||
|
| |||||||||
21,665,616 | ||||||||||
|
| |||||||||
Transportation Services – 0.1% |
| |||||||||
9,739,335 | Uber Technologies, Inc., 2018 Incremental Term Loan, | 9,709,728 | ||||||||
|
| |||||||||
Total Senior Loans | 175,379,211 | |||||||||
|
| |||||||||
Shares | ||||||||||
Preferred Stocks – 0.3% | ||||||||||
Cable Satellite – 0.3% |
| |||||||||
17,563,000 | NBCUniversal Enterprise, Inc., | 18,133,798 | ||||||||
|
| |||||||||
Common Stocks – 0.0% | ||||||||||
Oil, Gas & Consumable Fuels – 0.0% |
| |||||||||
77,870 | Paragon Offshore Ltd., Litigation Units, Class A(b)(c)(i)(j)(k) | 779 | ||||||||
116,806 | Paragon Offshore Ltd., Litigation Units, Class B(i)(k) | 1,732,583 | ||||||||
|
| |||||||||
Total Common Stocks | 1,733,362 | |||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||||
Short-Term Investments – 5.4% | ||||||||||
$ | 150,480,000 | Federal Home Loan Bank Discount Notes, | $ | 150,448,441 | ||||||
22,565,000 | Federal Home Loan Bank Discount Notes, | 22,552,696 | ||||||||
44,738,867 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $44,741,104 on 1/02/2020 collateralized by $845,000 U.S. Treasury Bond, 2.875% due 8/15/2045 valued at $940,408; $42,595,000 U.S. Treasury Note, 1.875% due 7/31/2022 valued at $43,225,065; $1,455,000 U.S. Treasury Note, 1.750% due 7/15/2022 valued at $1,472,040 including accrued interest(m) | 44,738,867 | ||||||||
30,000,000 | U.S. Treasury Bills, | 29,938,138 | ||||||||
162,370,000 | U.S. Treasury Bills, | 162,281,757 | ||||||||
|
| |||||||||
Total Short-Term Investments | 409,959,899 | |||||||||
|
| |||||||||
Total Investments – 102.3% | 7,711,978,821 | |||||||||
Other assets less liabilities – (2.3)% | (175,131,159 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 7,536,847,662 | ||||||||
|
| |||||||||
|
|
(†) | 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 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.
Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.
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.
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 stated in U.S. dollars unless otherwise noted. |
(††) | Amount shown represents units. One unit represents a principal amount of 100. |
(a) | 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 December 31, 2019 is disclosed. |
(b) | Fair valued by the Fund’s adviser. At December 31, 2019, the value of these securities amounted to $1,047,799 or less than 0.1% of net assets. |
(c) | Level 3 security. Value has been determined using significant unobservable inputs. |
(d) | Variable rate security. Rate as of December 31, 2019 is disclosed. |
(e) | The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. |
(f) | Treasury Inflation Protected Security (TIPS). |
(g) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at December 31, 2019. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. |
(h) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at December 31, 2019. |
(i) | Non-income producing security. |
(j) | Illiquid security. |
(k) | Securities subject to restriction on resale. At December 31, 2019, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||||
Paragon Offshore Ltd., Litigation Units, Class A | 7/18/2017 | $ | 429,948 | $ | 779 | Less than 0.1 | % | |||||||||
Paragon Offshore Ltd., Litigation Units, Class B | 7/18/2017 | 8,598,870 | 1,732,583 | Less than 0.1 | % |
(l) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |
(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 December 31, 2019, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. | |
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 December 31, 2019, the value of Rule 144A holdings amounted to $1,153,789,753 or 15.3% of net assets. | |
ABS | Asset-Backed Securities | |
ARMs | Adjustable Rate Mortgages | |
EMTN | Euro Medium Term Note | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GMTN | Global Medium Term Note | |
GNMA | Government National Mortgage Association | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium Term Note | |
REITs | Real Estate Investment Trusts | |
SOFR | Secured Overnight Financing Rate | |
MXN | Mexican Peso | |
UYU | Uruguayan Peso |
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 December 31, 2019, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
ABS Home Equity | $ | — | $ | 132,360,224 | $ | 34,507 | (a) | $ | 132,394,731 | |||||||
Collateralized Mortgage Obligations | — | 75,956,417 | 1,012,513 | (a) | 76,968,930 | |||||||||||
All OtherNon-Convertible Bonds* | — | 6,881,261,876 | — | 6,881,261,876 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TotalNon-Convertible Bonds | — | 7,089,578,517 | 1,047,020 | 7,090,625,537 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Municipals* | — | 16,147,014 | — | 16,147,014 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 7,105,725,531 | 1,047,020 | 7,106,772,551 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Senior Loans* | — | 175,379,211 | — | 175,379,211 | ||||||||||||
Preferred Stocks* | — | 18,133,798 | — | 18,133,798 | ||||||||||||
Common Stocks* | — | 1,732,583 | 779 | (a) | 1,733,362 | |||||||||||
Short-Term Investments | — | 409,959,899 | — | 409,959,899 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | — | $ | 7,710,931,022 | $ | 1,047,799 | $ | 7,711,978,821 | ||||||||
|
|
|
|
|
|
|
|
* | 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. |
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. 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. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. 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 September 30, 2019 and/or December 31, 2019:
Asset Valuation Inputs
Investments in Securities | Balance as of September 30, 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 December 31, 2019 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2019 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
ABS Home Equity | $ | 41,289 | $ | — | $ | — | $ | 36 | $ | — | $ | (6,818 | ) | $ | — | $ | — | $ | 34,507 | $ | (39 | ) | ||||||||||||||||||
Collateralized Mortgage Obligations | — | — | 1,294 | (3,943 | ) | — | (447,488 | ) | 1,462,650 | — | 1,012,513 | (3,943 | ) | |||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | 779 | — | — | — | — | — | — | — | 779 | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 42,068 | $ | — | $ | 1,294 | $ | (3,907 | ) | $ | — | $ | (454,306 | ) | $ | 1,462,650 | $ | — | $ | 1,047,799 | $ | (3,982 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities valued at $1,462,650 were transferred from Level 2 to Level 3 during the period ended December 31, 2019. At September 30, 2019, these securities were 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 December 31, 2019 these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.
All transfers are recognized as of the beginning of the reporting period.
Industry Summary at December 31, 2019 (Unaudited)
Mortgage Related | 28.8 | % | ||
Treasuries | 25.7 | |||
Banking | 9.3 | |||
Agency Commercial Mortgage-Backed Securities | 3.0 | |||
Government Owned - No Guarantee | 2.6 | |||
Technology | 2.1 | |||
Other Investments, less than 2% each | 25.4 | |||
Short-Term Investments | 5.4 | |||
|
| |||
Total Investments | 102.3 | |||
Other assets less liabilities | (2.3 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|