PORTFOLIO OF INVESTMENTS – as of June 30, 2021 (Unaudited)
Loomis Sayles Core Plus Bond Fund
Principal | Description | Value (†) | ||||||||
Bonds and Notes – 89.7% of Net Assets | ||||||||||
Non-Convertible Bonds – 89.5% | ||||||||||
ABS Car Loan – 0.7% |
| |||||||||
$ | 10,601,667 | Avis Budget Rental Car Funding AESOP LLC, Series 2016-2A, Class A, 2.720%, 11/20/2022, 144A | $ | 10,658,927 | ||||||
8,775,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A, 3.070%, 9/20/2023, 144A | 9,018,594 | ||||||||
4,226,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-1A, Class A, 3.450%, 3/20/2023, 144A | 4,293,701 | ||||||||
6,444,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A | 6,911,012 | ||||||||
7,064,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A | 7,272,254 | ||||||||
1,408,360 | CarMax Auto Owner Trust, Series 2019-4, Class A2A, 2.010%, 3/15/2023 | 1,411,182 | ||||||||
2,380,502 | Exeter Automobile Receivables Trust, Series 2020-1A, Class B, 2.260%, 4/15/2024, 144A | 2,392,014 | ||||||||
2,460,000 | Exeter Automobile Receivables Trust, Series 2021-2A, Class B, 0.570%, 9/15/2025 | 2,461,146 | ||||||||
3,525,000 | Exeter Automobile Receivables Trust, Series 2021-2A, Class C, 0.980%, 6/15/2026 | 3,532,002 | ||||||||
253,468 | Santander Drive Auto Receivables Trust, Series 2018-2, Class C, 3.350%, 7/17/2023 | 253,790 | ||||||||
8,181,000 | Santander Drive Auto Receivables Trust, Series 2021-1, Class C, 0.750%, 2/17/2026 | 8,176,653 | ||||||||
8,315,000 | Santander Drive Auto Receivables Trust, Series 2021-2, Class C, 0.900%, 6/15/2026 | 8,328,390 | ||||||||
|
| |||||||||
64,709,665 | ||||||||||
|
| |||||||||
ABS Home Equity – 0.8% |
| |||||||||
1,175,604 | Bayview Koitere Fund Trust, Series 2017-SPL3, Class A, 4.000%, 11/28/2053, 144A(a) | 1,201,477 | ||||||||
1,345,998 | Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A | 1,376,906 | ||||||||
743,564 | Bayview Opportunity Master Fund IVa Trust, Series 2017-RT1, Class A1, 3.000%, 3/28/2057, 144A(a) | 754,266 | ||||||||
4,316,160 | Bayview Opportunity Master Fund IVa Trust, Series 2017-RT5, Class A, 3.500%, 5/28/2069, 144A(a) | 4,408,680 | ||||||||
2,723,152 | Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL1, Class A, 4.000%, 10/28/2064, 144A(a) | 2,780,534 | ||||||||
1,079,782 | Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL2, Class A, 4.000%, 6/28/2054, 144A(a) | 1,106,041 | ||||||||
3,927,265 | CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A | 4,109,750 | ||||||||
17,993 | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(a) | 17,973 | ||||||||
20,212,776 | Invitation Homes Trust, Series 2018-SFR2, Class A, 1-month LIBOR + 0.900%, 0.973%, 6/17/2037, 144A(b) | 20,259,389 | ||||||||
4,069,500 | Lanark Master Issuer PLC, Series 2019-1A, Class 1A1, 3-month LIBOR + 0.770%, 0.920%, 12/22/2069, 144A(b) | 4,071,995 | ||||||||
556,433 | Mill City Mortgage Loan Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(a) | 559,361 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
ABS Home Equity – continued |
| |||||||||
$ | 2,761,479 | Onslow Bay Financial LLC, Series 2018-EXP1, Class 1A3, 4.000%, 4/25/2048, 144A(a) | $ | 2,816,774 | ||||||
590,261 | Sequoia Mortgage Trust, Series 2017-CH1, Class A1, 4.000%, 8/25/2047, 144A(a) | 598,928 | ||||||||
1,401,344 | Sequoia Mortgage Trust, Series 2018-CH1, Class A1, 4.000%, 2/25/2048, 144A(a) | 1,420,692 | ||||||||
2,750,789 | Sequoia Mortgage Trust, Series 2018-CH3, Class A2, 4.000%, 8/25/2048, 144A(a) | 2,806,221 | ||||||||
1,298,545 | Towd Point Mortgage Trust, Series 2015-1, Class A5, 3.241%, 10/25/2053, 144A(a) | 1,367,942 | ||||||||
4,254,377 | Towd Point Mortgage Trust, Series 2015-4, Class M2, 3.750%, 4/25/2055, 144A(a) | 4,446,575 | ||||||||
1,601,984 | Towd Point Mortgage Trust, Series 2016-2, Class A1A, 2.750%, 8/25/2055, 144A(a) | 1,616,061 | ||||||||
5,101,352 | Towd Point Mortgage Trust, Series 2016-2, Class M2, 3.000%, 8/25/2055, 144A(a) | 5,396,128 | ||||||||
7,366,411 | Towd Point Mortgage Trust, Series 2018-3, Class A1, 3.750%, 5/25/2058, 144A(a) | 7,764,604 | ||||||||
|
| |||||||||
68,880,297 | ||||||||||
|
| |||||||||
ABS Other – 1.0% |
| |||||||||
21,725,815 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A | 21,535,901 | ||||||||
11,628,000 | Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034, 144A | 11,641,835 | ||||||||
7,094,000 | OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.840%, 5/14/2032, 144A | 7,458,731 | ||||||||
13,500,000 | OneMain Financial Issuance Trust, Series 2021-1A, Class A2, 30-day Average SOFR + 0.760%, 0.770%, 6/16/2036, 144A(b) | 13,613,522 | ||||||||
10,874,080 | Textainer Marine Containers VII Ltd., Series 2021-1A, Class A, 1.680%, 2/20/2046, 144A | 10,755,712 | ||||||||
9,499,967 | Textainer Marine Containers VIII Ltd., Series 2020-2A, Class A, 2.100%, 9/20/2045, 144A | 9,565,843 | ||||||||
11,739,128 | Triton Container Finance VIII LLC, Series 2021-1A, Class A, 1.860%, 3/20/2046, 144A | 11,664,265 | ||||||||
|
| |||||||||
86,235,809 | ||||||||||
|
| |||||||||
ABS Student Loan – 0.4% |
| |||||||||
7,652,294 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A | 7,703,175 | ||||||||
14,725,000 | Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.060%, 10/15/2069, 144A | 14,762,519 | ||||||||
5,691,580 | SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.070%, 1/15/2053, 144A | 5,605,944 | ||||||||
3,777,000 | SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX, 2.540%, 5/15/2046, 144A | 3,902,341 | ||||||||
|
| |||||||||
31,973,979 | ||||||||||
|
| |||||||||
ABS Whole Business – 0.2% |
| |||||||||
5,519,000 | Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A21, 2.662%, 4/25/2051, 144A | 5,710,454 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
ABS Whole Business – continued |
| |||||||||
$ | 11,938,410 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I, 4.262%, 9/05/2048, 144A | $ | 11,982,582 | ||||||
|
| |||||||||
17,693,036 | ||||||||||
|
| |||||||||
Aerospace & Defense – 1.4% |
| |||||||||
22,001,000 | Boeing Co. (The), 1.433%, 2/04/2024 | 22,059,223 | ||||||||
16,774,000 | Boeing Co. (The), 5.705%, 5/01/2040 | 21,602,949 | ||||||||
20,949,000 | Boeing Co. (The), 5.805%, 5/01/2050 | 28,210,574 | ||||||||
3,211,000 | Boeing Co. (The), 5.930%, 5/01/2060 | 4,433,937 | ||||||||
12,659,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 | 13,369,803 | ||||||||
29,847,000 | Textron, Inc., 3.000%, 6/01/2030 | 31,394,242 | ||||||||
|
| |||||||||
121,070,728 | ||||||||||
|
| |||||||||
Airlines – 0.8% |
| |||||||||
7,734,112 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A | 8,188,491 | ||||||||
8,850,467 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A | 9,569,567 | ||||||||
1,681,114 | Continental Airlines Pass Through Trust, Series 2012-2, Class A, 4.000%, 4/29/2026 | 1,777,611 | ||||||||
16,151,433 | Delta Air Lines, Inc./SkyMiles IP Ltd., 4.750%, 10/20/2028, 144A | 17,956,480 | ||||||||
15,602,000 | Southwest Airlines Co., 5.125%, 6/15/2027 | 18,355,308 | ||||||||
4,770,978 | United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 | 5,059,765 | ||||||||
4,381,000 | United Airlines, Inc., 4.375%, 4/15/2026, 144A | 4,535,124 | ||||||||
6,533,000 | United Airlines, Inc., 4.625%, 4/15/2029, 144A | 6,761,655 | ||||||||
|
| |||||||||
72,204,001 | ||||||||||
|
| |||||||||
Automotive – 2.3% |
| |||||||||
9,280,000 | Dana, Inc., 4.250%, 9/01/2030 | 9,546,800 | ||||||||
16,276,000 | Ford Motor Credit Co. LLC, 2.900%, 2/16/2028 | 16,198,852 | ||||||||
13,914,000 | Ford Motor Credit Co. LLC, 5.875%, 8/02/2021 | 13,984,961 | ||||||||
20,142,000 | General Motors Co., 5.000%, 4/01/2035 | 24,328,941 | ||||||||
7,067,000 | General Motors Financial Co., Inc., 2.900%, 2/26/2025 | 7,480,690 | ||||||||
23,341,000 | Goodyear Tire & Rubber Co. (The), 5.625%, 4/30/2033 | 24,617,753 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Automotive – continued |
| |||||||||
$ | 7,091,000 | Hyundai Capital America, 2.375%, 10/15/2027, 144A | $ | 7,249,453 | ||||||
10,356,000 | Hyundai Capital America, 2.650%, 2/10/2025, 144A | 10,832,144 | ||||||||
7,453,000 | Hyundai Capital America, 3.000%, 2/10/2027, 144A | 7,895,748 | ||||||||
16,811,000 | Lear Corp., 5.250%, 5/15/2049 | 21,206,515 | ||||||||
7,676,000 | Nissan Motor Co. Ltd., 3.043%, 9/15/2023, 144A | 8,005,835 | ||||||||
15,593,000 | Nissan Motor Co. Ltd., 3.522%, 9/17/2025, 144A | 16,650,600 | ||||||||
9,825,000 | Toyota Motor Corp., 2.358%, 7/02/2024 | 10,349,261 | ||||||||
16,490,000 | Toyota Motor Credit Corp., MTN, 1.800%, 2/13/2025 | 17,023,919 | ||||||||
7,096,000 | Volkswagen Group of America Finance LLC, 3.200%, 9/26/2026, 144A | 7,672,440 | ||||||||
|
| |||||||||
203,043,912 | ||||||||||
|
| |||||||||
Banking – 9.6% |
| |||||||||
27,986,000 | Ally Financial, Inc., 3.050%, 6/05/2023 | 29,204,554 | ||||||||
17,876,000 | American Express Co., 2.500%, 7/30/2024 | 18,834,933 | ||||||||
10,051,000 | Banco Santander Chile, 2.700%, 1/10/2025, 144A | 10,492,339 | ||||||||
13,578,000 | Banco Santander Chile, 3.875%, 9/20/2022, 144A | 14,134,019 | ||||||||
14,000,000 | Banco Santander S.A., 1.849%, 3/25/2026 | 14,149,314 | ||||||||
3,200,000 | Banco Santander S.A., 2.958%, 3/25/2031 | 3,297,184 | ||||||||
28,476,000 | Bangkok Bank PCL, 4.050%, 3/19/2024, 144A | 30,837,799 | ||||||||
8,624,000 | Bank of America Corp., (fixed rate to 12/20/2022, variable rate thereafter), 3.004%, 12/20/2023 | 8,937,466 | ||||||||
31,146,000 | Bank of America Corp., (fixed rate to 4/22/2024, variable rate thereafter), 0.976%, 4/22/2025 | 31,245,809 | ||||||||
37,210,000 | Bank of America Corp., (fixed rate to 4/23/2026, variable rate thereafter), MTN, 3.559%, 4/23/2027 | 40,753,273 | ||||||||
5,984,000 | Barclays PLC, 3.200%, 8/10/2021 | 6,002,537 | ||||||||
22,064,000 | Barclays PLC, (fixed rate to 3/10/2041, variable rate thereafter), 3.811%, 3/10/2042 | 23,277,166 | ||||||||
7,864,000 | BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A | 7,953,256 | ||||||||
17,513,000 | BNP Paribas S.A., (fixed rate to 1/13/2026, variable rate thereafter), 1.323%, 1/13/2027, 144A | 17,300,833 | ||||||||
26,613,000 | BNP Paribas S.A., (fixed rate to 11/19/2024, variable rate thereafter), 2.819%, 11/19/2025, 144A | 28,000,639 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Banking – continued |
| |||||||||
$ | 5,935,000 | Citigroup, Inc., 4.000%, 8/05/2024 | $ | 6,464,319 | ||||||
25,481,000 | Citigroup, Inc., 4.050%, 7/30/2022 | 26,473,494 | ||||||||
9,645,000 | Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter), 4.412%, 3/31/2031 | 11,262,152 | ||||||||
8,154,000 | Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025 | 8,173,405 | ||||||||
16,361,000 | Credit Agricole S.A., 2.811%, 1/11/2041, 144A | 15,523,394 | ||||||||
5,227,000 | Credit Suisse AG, 2.100%, 11/12/2021 | 5,262,764 | ||||||||
9,780,000 | Deutsche Bank AG, 0.898%, 5/28/2024 | 9,735,468 | ||||||||
10,038,000 | Deutsche Bank AG, 1.686%, 3/19/2026 | 10,133,222 | ||||||||
9,382,000 | Deutsche Bank AG, (fixed rate to 1/14/2031, variable rate thereafter), 3.729%, 1/14/2032 | 9,547,422 | ||||||||
11,985,000 | Deutsche Bank AG, (fixed rate to 11/24/2025, variable rate thereafter), 2.129%, 11/24/2026 | 12,161,265 | ||||||||
30,369,000 | DNB Bank ASA, 2.150%, 12/02/2022, 144A | 31,161,492 | ||||||||
10,768,000 | Goldman Sachs Group, Inc. (The), 3.625%, 1/22/2023 | 11,304,338 | ||||||||
15,206,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 | 22,142,560 | ||||||||
5,359,000 | Goldman Sachs Group, Inc. (The), (fixed rate to 6/05/2027, variable rate thereafter), 3.691%, 6/05/2028 | 5,916,918 | ||||||||
2,326,000 | HSBC Holdings PLC, 4.950%, 3/31/2030 | 2,807,043 | ||||||||
13,610,000 | HSBC Holdings PLC, (fixed rate to 5/24/2024, variable rate thereafter), 0.976%, 5/24/2025 | 13,598,569 | ||||||||
16,885,000 | Huntington Bancshares, Inc., 2.625%, 8/06/2024 | 17,819,239 | ||||||||
4,740,000 | Intesa Sanpaolo SpA, 4.198%, 6/01/2032, 144A | 4,867,459 | ||||||||
12,576,000 | JPMorgan Chase & Co., (fixed rate to 5/13/2030, variable rate thereafter), 2.956%, 5/13/2031 | 13,211,172 | ||||||||
9,258,000 | JPMorgan Chase & Co., 3.200%, 1/25/2023 | 9,670,524 | ||||||||
8,667,000 | JPMorgan Chase & Co., 4.350%, 8/15/2021 | 8,709,640 | ||||||||
20,006,000 | JPMorgan Chase & Co., 4.500%, 1/24/2022 | 20,486,966 | ||||||||
28,355,000 | JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030 | 29,676,516 | ||||||||
2,889,000 | Lloyds Banking Group PLC, 3.000%, 1/11/2022 | 2,931,116 | ||||||||
3,354,000 | Lloyds Banking Group PLC, 3.100%, 7/06/2021 | 3,355,073 | ||||||||
23,028,000 | Morgan Stanley, (fixed rate to 4/05/2023, variable rate thereafter), 0.731%, 4/05/2024 | 23,076,245 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Banking – continued |
| |||||||||
$ | 8,931,000 | Morgan Stanley, (fixed rate to 7/22/2027, variable rate thereafter), 3.591%, 7/22/2028 | $ | 9,893,328 | ||||||
2,867,000 | Morgan Stanley, GMTN, 3.700%, 10/23/2024 | 3,127,896 | ||||||||
10,640,000 | Morgan Stanley, GMTN, 5.500%, 7/28/2021 | 10,680,790 | ||||||||
18,457,000 | Morgan Stanley, Series F, 3.875%, 4/29/2024 | 20,074,266 | ||||||||
14,159,000 | Nationwide Building Society, (fixed rate to 4/26/2022, variable rate thereafter), 3.622%, 4/26/2023, 144A | 14,519,083 | ||||||||
15,693,000 | PNC Bank NA, (fixed rate to 12/09/2021, variable rate thereafter), 2.028%, 12/09/2022 | 15,806,510 | ||||||||
9,780,000 | Santander UK Group Holdings PLC, 5.625%, 9/15/2045, 144A | 12,657,344 | ||||||||
26,503,000 | Societe Generale S.A., 2.625%, 1/22/2025, 144A | 27,648,352 | ||||||||
24,346,000 | Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026, 144A | 25,552,014 | ||||||||
14,566,000 | Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 | 14,709,120 | ||||||||
18,720,000 | Sumitomo Mitsui Financial Group, Inc., 2.696%, 7/16/2024 | 19,789,421 | ||||||||
12,213,000 | Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029 | 13,106,861 | ||||||||
21,438,000 | Toronto-Dominion Bank (The), MTN, 2.650%, 6/12/2024 | 22,691,546 | ||||||||
17,630,000 | UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027, 144A | 17,564,082 | ||||||||
|
| |||||||||
847,713,509 | ||||||||||
|
| |||||||||
Brokerage – 0.1% |
| |||||||||
11,958,000 | Owl Rock Technology Finance Corp., 3.750%, 6/17/2026, 144A | 12,573,879 | ||||||||
|
| |||||||||
Building Materials – 0.7% |
| |||||||||
19,920,000 | American Builders & Contractors Supply Co., Inc., 3.875%, 11/15/2029, 144A | 19,790,720 | ||||||||
10,762,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 10,939,573 | ||||||||
19,521,000 | Mohawk Industries, Inc., 3.625%, 5/15/2030 | 21,438,743 | ||||||||
7,260,000 | Owens Corning, 4.200%, 12/01/2024 | 7,953,750 | ||||||||
1,112,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A | 1,181,422 | ||||||||
|
| |||||||||
61,304,208 | ||||||||||
|
| |||||||||
Cable Satellite – 0.7% |
| |||||||||
24,448,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | 24,917,157 | ||||||||
14,725,000 | Sirius XM Radio, Inc., 4.000%, 7/15/2028, 144A | 15,166,750 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Cable Satellite – continued |
| |||||||||
$ | 6,180,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | $ | 6,869,358 | ||||||
783,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 970,513 | ||||||||
2,245,000 | Time Warner Cable LLC, 5.875%, 11/15/2040 | 2,904,017 | ||||||||
7,162,000 | Time Warner Cable LLC, 6.550%, 5/01/2037 | 9,756,296 | ||||||||
1,707,000 | Time Warner Cable LLC, 6.750%, 6/15/2039 | 2,376,342 | ||||||||
|
| |||||||||
62,960,433 | ||||||||||
|
| |||||||||
Chemicals – 1.0% |
| |||||||||
1,610,000 | Alpek SAB de CV, 3.250%, 2/25/2031, 144A | 1,629,336 | ||||||||
25,853,000 | Braskem America Finance Co., 7.125%, 7/22/2041, 144A | 32,148,464 | ||||||||
8,792,000 | Koppers, Inc., 6.000%, 2/15/2025, 144A | 9,073,344 | ||||||||
11,671,000 | Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044, 144A | 14,151,204 | ||||||||
9,466,000 | Orbia Advance Corp. SAB de CV, 6.750%, 9/19/2042, 144A | 12,424,220 | ||||||||
3,732,000 | RPM International, Inc., 3.450%, 11/15/2022 | 3,848,744 | ||||||||
11,424,000 | Sociedad Quimica y Minera de Chile S.A., 4.250%, 1/22/2050, 144A | 12,391,270 | ||||||||
5,549,000 | Univar Solutions USA, Inc., 5.125%, 12/01/2027, 144A | 5,833,386 | ||||||||
|
| |||||||||
91,499,968 | ||||||||||
|
| |||||||||
Collateralized Mortgage Obligations – 0.2% |
| |||||||||
4,239,116 | Federal Home Loan Mortgage Corp., REMIC, Series 3654, Class DC, 5.000%, 4/15/2030 | 4,796,215 | ||||||||
321,402 | Government National Mortgage Association, Series 2010-H24, Class FA, 1-month LIBOR + 0.350%, 0.457%, 10/20/2060(b) | 321,965 | ||||||||
266,428 | Government National Mortgage Association, Series 2012-H18, Class NA, 1-month LIBOR + 0.520%, 0.627%, 8/20/2062(b) | 267,831 | ||||||||
77,956 | Government National Mortgage Association, Series 2013-H01, Class FA, 1.650%, 1/20/2063(c)(d) | 77,329 | ||||||||
78,444 | Government National Mortgage Association, Series 2013-H03, Class HA, 1.750%, 12/20/2062(c)(d) | 77,674 | ||||||||
135,899 | Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(c)(d) | 135,932 | ||||||||
231,595 | Government National Mortgage Association, Series 2013-H07, Class DA, 2.500%, 3/20/2063(c)(d) | 231,260 | ||||||||
1,033,704 | Government National Mortgage Association, Series 2013-H10, Class PA, 2.500%, 4/20/2063 | 1,047,341 | ||||||||
9,239,521 | Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 | 9,487,923 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Collateralized Mortgage Obligations – continued |
| |||||||||
$ | 17,528 | Government National Mortgage Association, Series 2015-H13, Class FL, 1-month LIBOR + 0.280%, 0.387%, 5/20/2063(b)(c)(d) | $ | 17,442 | ||||||
|
| |||||||||
16,460,912 | ||||||||||
|
| |||||||||
Construction Machinery – 0.3% |
| |||||||||
5,985,000 | Caterpillar Financial Services Corp., MTN, 2.150%, 11/08/2024 | 6,275,150 | ||||||||
5,805,000 | CNH Industrial Capital LLC, 1.950%, 7/02/2023 | 5,950,769 | ||||||||
7,380,000 | CNH Industrial Capital LLC, 4.375%, 4/05/2022 | 7,591,757 | ||||||||
4,061,000 | John Deere Capital Corp., MTN, 2.600%, 3/07/2024 | 4,280,888 | ||||||||
|
| |||||||||
24,098,564 | ||||||||||
|
| |||||||||
Consumer Cyclical Services – 0.2% |
| |||||||||
7,466,000 | Expedia Group, Inc., 3.600%, 12/15/2023 | 7,934,595 | ||||||||
5,734,000 | Expedia Group, Inc., 4.625%, 8/01/2027 | 6,480,253 | ||||||||
1,791,000 | Expedia Group, Inc., 6.250%, 5/01/2025, 144A | 2,083,389 | ||||||||
3,523,000 | MercadoLibre, Inc., 2.375%, 1/14/2026 | 3,545,935 | ||||||||
|
| |||||||||
20,044,172 | ||||||||||
|
| |||||||||
Consumer Products – 0.4% |
| |||||||||
4,646,000 | Hasbro, Inc., 3.550%, 11/19/2026 | 5,092,553 | ||||||||
881,000 | Hasbro, Inc., 3.900%, 11/19/2029 | 979,567 | ||||||||
2,157,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A | 2,135,624 | ||||||||
11,615,000 | Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A | 11,905,375 | ||||||||
2,823,000 | Newell Brands, Inc., 4.875%, 6/01/2025 | 3,122,944 | ||||||||
7,940,000 | Valvoline, Inc., 3.625%, 6/15/2031, 144A | 7,940,000 | ||||||||
2,535,000 | Valvoline, Inc., 4.250%, 2/15/2030, 144A | 2,617,337 | ||||||||
|
| |||||||||
33,793,400 | ||||||||||
|
| |||||||||
Diversified Manufacturing – 0.3% |
| |||||||||
2,755,000 | Clark Equipment Co., 5.875%, 6/01/2025, 144A | 2,913,413 | ||||||||
14,817,000 | General Electric Co., 4.250%, 5/01/2040 | 17,315,137 | ||||||||
5,319,000 | General Electric Co., 4.350%, 5/01/2050 | 6,432,202 | ||||||||
|
| |||||||||
26,660,752 | ||||||||||
|
|
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Electric – 1.9% |
| |||||||||
$ | 3,587,000 | AES Corp. (The), 3.300%, 7/15/2025, 144A | $ | 3,827,688 | ||||||
3,609,000 | AES Corp. (The), 3.950%, 7/15/2030, 144A | 3,946,442 | ||||||||
13,678,000 | Calpine Corp., 3.750%, 3/01/2031, 144A | 13,026,243 | ||||||||
14,879,000 | Calpine Corp., 5.000%, 2/01/2031, 144A | 14,804,605 | ||||||||
13,220,000 | CenterPoint Energy, Inc., SOFR + 0.650%, 0.684%, 5/13/2024(b) | 13,275,127 | ||||||||
18,219,000 | Clearway Energy Operating LLC, 3.750%, 2/15/2031, 144A | 18,127,905 | ||||||||
26,317,716 | Cometa Energia S.A. de CV, 6.375%, 4/24/2035, 144A | 30,199,579 | ||||||||
3,408,000 | DPL, Inc., 4.125%, 7/01/2025 | 3,655,080 | ||||||||
852,000 | Edison International, 4.950%, 4/15/2025 | 943,279 | ||||||||
2,811,000 | Enel Americas S.A., 4.000%, 10/25/2026 | 3,061,179 | ||||||||
2,853,000 | Enel Generacion Chile S.A., 4.250%, 4/15/2024 | 3,051,921 | ||||||||
6,711,000 | Entergy Corp., 2.800%, 6/15/2030 | 6,984,506 | ||||||||
14,622,000 | National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043 | 15,306,216 | ||||||||
9,234,000 | Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.500%, 8/15/2028, 144A | 9,559,037 | ||||||||
11,619,000 | PG&E Corp., 5.000%, 7/01/2028 | 11,748,203 | ||||||||
8,950,000 | PG&E Corp., 5.250%, 7/01/2030 | 9,035,025 | ||||||||
7,133,000 | Transelec S.A., 4.250%, 1/14/2025, 144A | 7,742,943 | ||||||||
3,713,000 | Transelec S.A., 4.625%, 7/26/2023, 144A | 3,961,400 | ||||||||
|
| |||||||||
172,256,378 | ||||||||||
|
| |||||||||
Finance Companies – 2.1% |
| |||||||||
1,370,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/23/2023 | 1,420,900 | ||||||||
19,050,000 | Air Lease Corp., GMTN, 3.750%, 6/01/2026 | 20,845,461 | ||||||||
24,287,000 | Aircastle Ltd., 2.850%, 1/26/2028, 144A | 24,407,055 | ||||||||
28,047,000 | Ares Capital Corp., 2.150%, 7/15/2026 | 27,890,572 | ||||||||
21,425,000 | Avolon Holdings Funding Ltd., 2.750%, 2/21/2028, 144A | 21,198,947 | ||||||||
18,929,000 | FS KKR Capital Corp., 3.400%, 1/15/2026 | 19,572,937 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Finance Companies – continued |
| |||||||||
$ | 4,133,000 | GATX Corp., 4.000%, 6/30/2030 | $ | 4,657,915 | ||||||
3,315,000 | International Lease Finance Corp., 5.875%, 8/15/2022 | 3,508,015 | ||||||||
15,720,000 | Navient Corp., 5.000%, 3/15/2027 | 16,266,270 | ||||||||
907,000 | Navient Corp., 5.875%, 10/25/2024 | 978,426 | ||||||||
954,000 | Navient Corp., 6.750%, 6/15/2026 | 1,064,903 | ||||||||
7,547,000 | Navient Corp., MTN, 6.125%, 3/25/2024 | 8,145,175 | ||||||||
15,397,000 | Owl Rock Capital Corp., 3.400%, 7/15/2026 | 16,047,209 | ||||||||
4,537,000 | Owl Rock Capital Corp., 2.625%, 1/15/2027 | 4,548,684 | ||||||||
3,702,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 3,655,725 | ||||||||
12,169,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 12,260,146 | ||||||||
|
| |||||||||
186,468,340 | ||||||||||
|
| |||||||||
Financial Other – 0.2% |
| |||||||||
12,588,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029, 144A | 12,525,060 | ||||||||
5,354,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 5,527,978 | ||||||||
|
| |||||||||
18,053,038 | ||||||||||
|
| |||||||||
Food & Beverage – 2.2% |
| |||||||||
22,778,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.900%, 2/01/2046 | 28,831,254 | ||||||||
12,823,000 | Anheuser-Busch InBev Worldwide, Inc., 4.350%, 6/01/2040 | 15,262,447 | ||||||||
15,493,000 | Anheuser-Busch InBev Worldwide, Inc., 4.600%, 6/01/2060 | 19,071,426 | ||||||||
6,257,000 | Bacardi Ltd., 5.150%, 5/15/2038, 144A | 7,743,117 | ||||||||
16,995,000 | Bacardi Ltd., 5.300%, 5/15/2048, 144A | 22,088,572 | ||||||||
17,808,000 | BRF S.A., 5.750%, 9/21/2050, 144A | 18,323,186 | ||||||||
26,218,000 | Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050 | 27,575,044 | ||||||||
3,117,000 | Gruma SAB de CV, 4.875%, 12/01/2024, 144A | 3,465,356 | ||||||||
9,885,000 | Kraft Heinz Foods Co., 3.875%, 5/15/2027 | 10,861,375 | ||||||||
21,099,000 | Post Holdings, Inc., 4.500%, 9/15/2031, 144A | 21,064,187 | ||||||||
18,264,000 | Post Holdings, Inc., 4.625%, 4/15/2030, 144A | 18,571,383 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Food & Beverage – continued |
| |||||||||
$ | 1,599,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A | $ | 1,612,154 | ||||||
|
| |||||||||
194,469,501 | ||||||||||
|
| |||||||||
Government Owned - No Guarantee – 3.2% |
| |||||||||
6,872,000 | Antares Holdings LP, 3.950%, 7/15/2026, 144A | 7,151,158 | ||||||||
18,141,000 | BOC Aviation USA Corp., 1.625%, 4/29/2024, 144A | 18,283,732 | ||||||||
6,577,000 | CNPC General Capital Ltd., 3.950%, 4/19/2022, 144A | 6,729,258 | ||||||||
15,245,000 | Dolphin Energy Ltd. LLC, 5.500%, 12/15/2021, 144A | 15,569,109 | ||||||||
3,903,000 | Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050, 144A | 3,368,913 | ||||||||
19,956,000 | NBN Co. Ltd., 1.450%, 5/05/2026, 144A | 20,000,901 | ||||||||
7,985,000 | OCP S.A., 3.750%, 6/23/2031, 144A | 8,060,858 | ||||||||
19,460,000 | OCP S.A., 5.625%, 4/25/2024, 144A | 21,369,026 | ||||||||
16,491,000 | Ooredoo International Finance Ltd., 2.625%, 4/08/2031, 144A | 16,684,275 | ||||||||
6,236,000 | Ooredoo International Finance Ltd., 3.250%, 2/21/2023, 144A | 6,495,729 | ||||||||
9,288,000 | Ooredoo International Finance Ltd., 3.875%, 1/31/2028, 144A | 10,425,780 | ||||||||
14,555,000 | Qatar Petroleum, 3.125%, 7/12/2041, 144A | 14,501,292 | ||||||||
8,035,000 | SA Global Sukuk Ltd., 0.946%, 6/17/2024, 144A | 8,024,715 | ||||||||
12,588,000 | Saudi Arabian Oil Co., 3.500%, 11/24/2070, 144A | 12,209,378 | ||||||||
10,431,000 | Saudi Arabian Oil Co., 4.375%, 4/16/2049, 144A | 12,009,210 | ||||||||
39,731,000 | Tennessee Valley Authority, 4.250%, 9/15/2065 | 55,727,735 | ||||||||
7,669,000 | Tennessee Valley Authority, 4.625%, 9/15/2060 | 11,272,769 | ||||||||
5,427,000 | Tennessee Valley Authority, 4.875%, 1/15/2048 | 7,876,656 | ||||||||
9,290,000 | Tennessee Valley Authority, 5.250%, 9/15/2039 | 13,296,313 | ||||||||
9,267,000 | Transportadora de Gas Internacional S.A. E.S.P., 5.550%, 11/01/2028, 144A | 10,332,798 | ||||||||
|
| |||||||||
279,389,605 | ||||||||||
|
| |||||||||
Health Insurance – 0.4% |
| |||||||||
21,336,000 | Centene Corp., 2.500%, 3/01/2031 | 21,042,630 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Health Insurance – continued |
| |||||||||
$ | 10,179,000 | Centene Corp., 3.375%, 2/15/2030 | $ | 10,640,312 | ||||||
|
| |||||||||
31,682,942 | ||||||||||
|
| |||||||||
Healthcare – 0.4% |
| |||||||||
18,009,000 | CVS Health Corp., 5.050%, 3/25/2048 | 23,391,453 | ||||||||
15,396,000 | DaVita, Inc., 4.625%, 6/01/2030, 144A | 15,830,475 | ||||||||
|
| |||||||||
39,221,928 | ||||||||||
|
| |||||||||
Home Construction – 0.3% |
| |||||||||
7,881,000 | Forestar Group, Inc., 3.850%, 5/15/2026, 144A | 7,952,323 | ||||||||
246,000 | Lennar Corp., 4.500%, 4/30/2024 | 269,063 | ||||||||
1,153,000 | Lennar Corp., 4.750%, 11/15/2022 | 1,206,326 | ||||||||
13,255,000 | NVR, Inc., 3.000%, 5/15/2030 | 14,053,168 | ||||||||
|
| |||||||||
23,480,880 | ||||||||||
|
| |||||||||
Hybrid ARMs – 0.0% |
| |||||||||
8,007 | FNMA, 6-month LIBOR + 1.460%, 1.710%, 2/01/2037(b) | 8,188 | ||||||||
|
| |||||||||
Independent Energy – 0.9% |
| |||||||||
2,626,000 | Aker BP ASA, 3.000%, 1/15/2025, 144A | 2,756,322 | ||||||||
2,639,000 | Chesapeake Energy Corp., 5.875%, 2/01/2029, 144A | 2,856,599 | ||||||||
10,277,000 | Devon Energy Corp., 4.500%, 1/15/2030, 144A | 11,298,502 | ||||||||
8,296,000 | Diamondback Energy, Inc., 4.750%, 5/31/2025 | 9,340,836 | ||||||||
11,391,292 | Energean Israel Finance Ltd., 4.500%, 3/30/2024, 144A | 11,643,837 | ||||||||
1,765,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 1,808,613 | ||||||||
1,371,000 | EQT Corp., 5.000%, 1/15/2029 | 1,528,624 | ||||||||
9,078,204 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 9,966,234 | ||||||||
17,482,000 | Occidental Petroleum Corp., 5.875%, 9/01/2025 | 19,448,725 | ||||||||
2,152,000 | Occidental Petroleum Corp., 8.000%, 7/15/2025 | 2,577,020 | ||||||||
8,181,000 | Pan American Energy LLC, 9.125%, 4/30/2027, 144A | 9,003,272 | ||||||||
|
| |||||||||
82,228,584 | ||||||||||
|
|
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Industrial Other – 0.2% |
| |||||||||
$ | 6,370,000 | CK Hutchison International 16 Ltd., 2.750%, 10/03/2026, 144A | $ | 6,758,145 | ||||||
8,410,000 | CK Hutchison International 20 Ltd., 2.500%, 5/08/2030, 144A | 8,590,647 | ||||||||
3,408,000 | Georgetown University (The), Class A, 5.215%, 10/01/2118 | 5,120,793 | ||||||||
|
| |||||||||
20,469,585 | ||||||||||
|
| |||||||||
Life Insurance – 0.5% |
| |||||||||
24,716,000 | Athene Global Funding, 2.450%, 8/20/2027, 144A | 25,502,940 | ||||||||
15,491,000 | Brighthouse Financial, Inc., 5.625%, 5/15/2030 | 18,848,479 | ||||||||
3,077,000 | OneAmerica Financial Partners, Inc., 4.250%, 10/15/2050, 144A | 3,213,865 | ||||||||
|
| |||||||||
47,565,284 | ||||||||||
|
| |||||||||
Lodging – 0.4% |
| |||||||||
14,012,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A | 13,836,850 | ||||||||
21,403,000 | Marriott International, Inc., 3.500%, 10/15/2032 | 22,736,452 | ||||||||
|
| |||||||||
36,573,302 | ||||||||||
|
| |||||||||
Media Entertainment – 1.0% |
| |||||||||
19,514,000 | AMC Networks, Inc., 4.250%, 2/15/2029 | 19,684,748 | ||||||||
54,020,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) | 1,976,307 | ||||||||
9,132,000 | Lamar Media Corp., 3.625%, 1/15/2031, 144A | 8,926,530 | ||||||||
4,899,000 | Lamar Media Corp., 4.000%, 2/15/2030 | 4,958,327 | ||||||||
12,633,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.250%, 1/15/2029, 144A | 12,711,956 | ||||||||
15,950,000 | Prosus NV, 3.832%, 2/08/2051, 144A | 14,842,778 | ||||||||
13,803,000 | Prosus NV, 3.680%, 1/21/2030, 144A | 14,740,347 | ||||||||
13,256,000 | Prosus NV, 4.850%, 7/06/2027, 144A | 15,097,391 | ||||||||
|
| |||||||||
92,938,384 | ||||||||||
|
| |||||||||
Metals & Mining – 1.1% |
| |||||||||
1,835,000 | Anglo American Capital PLC, 2.250%, 3/17/2028, 144A | 1,855,322 | ||||||||
2,286,000 | Anglo American Capital PLC, 2.625%, 9/10/2030, 144A | 2,294,647 | ||||||||
3,322,000 | Anglo American Capital PLC, 3.950%, 9/10/2050, 144A | 3,597,493 | ||||||||
8,696,000 | Anglo American Capital PLC, 5.625%, 4/01/2030, 144A | 10,639,772 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Metals & Mining – continued |
| |||||||||
$ | 15,187,000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A | $ | 16,247,508 | ||||||
16,183,000 | Fresnillo PLC, 4.250%, 10/02/2050, 144A | 16,368,457 | ||||||||
31,977,000 | Glencore Funding LLC, 2.500%, 9/01/2030, 144A | 31,857,086 | ||||||||
6,210,000 | SunCoke Energy, Inc., 4.875%, 6/30/2029, 144A | 6,202,238 | ||||||||
8,882,000 | Vale Overseas Ltd., 3.750%, 7/08/2030 | 9,456,665 | ||||||||
|
| |||||||||
98,519,188 | ||||||||||
|
| |||||||||
Midstream – 1.8% |
| |||||||||
568,000 | Energy Transfer LP, 5.150%, 2/01/2043 | 640,910 | ||||||||
4,890,000 | Energy Transfer LP, 5.400%, 10/01/2047 | 5,793,414 | ||||||||
5,900,000 | Energy Transfer LP, 5.950%, 10/01/2043 | 7,360,670 | ||||||||
8,548,000 | Energy Transfer LP, 6.500%, 2/01/2042 | 11,098,087 | ||||||||
1,338,000 | Energy Transfer LP, 6.625%, 10/15/2036 | 1,776,819 | ||||||||
11,222,000 | Energy Transfer LP/Regency Energy Finance Corp., 5.000%, 10/01/2022 | 11,698,450 | ||||||||
2,327,000 | Energy Transfer LP/Regency Energy Finance Corp., 5.875%, 3/01/2022 | 2,376,781 | ||||||||
11,798,000 | EQM Midstream Partners LP, 4.500%, 1/15/2029, 144A | 12,003,022 | ||||||||
3,485,000 | EQM Midstream Partners LP, 4.750%, 7/15/2023 | 3,637,469 | ||||||||
5,575,000 | EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A | 6,216,125 | ||||||||
2,014,000 | Gray Oak Pipeline LLC, 2.600%, 10/15/2025, 144A | 2,068,879 | ||||||||
982,000 | Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A | 1,032,114 | ||||||||
3,060,000 | Kinder Morgan Energy Partners LP, 4.150%, 2/01/2024 | 3,304,094 | ||||||||
10,503,000 | Kinder Morgan Energy Partners LP, 4.300%, 5/01/2024 | 11,444,453 | ||||||||
15,243,000 | Kinder Morgan, Inc., 5.625%, 11/15/2023, 144A | 16,791,673 | ||||||||
5,653,000 | New Fortress Energy, Inc., 6.500%, 9/30/2026, 144A | 5,776,235 | ||||||||
15,687,000 | New Fortress Energy, Inc., 6.750%, 9/15/2025, 144A | 16,059,566 | ||||||||
2,800,000 | ONEOK, Inc., 5.850%, 1/15/2026 | 3,310,332 | ||||||||
6,694,000 | Rattler Midstream LP, 5.625%, 7/15/2025, 144A | 7,037,068 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Midstream – continued |
| |||||||||
$ | 6,783,000 | Southern Natural Gas Co. LLC, 0.625%, 4/28/2023, 144A | $ | 6,789,376 | ||||||
3,310,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.500%, 7/15/2027 | 3,587,113 | ||||||||
19,358,000 | Williams Cos., Inc. (The), 3.500%, 11/15/2030 | 21,128,005 | ||||||||
|
| |||||||||
160,930,655 | ||||||||||
|
| |||||||||
Mortgage Related – 26.0% |
| |||||||||
67,136,458 | FHLMC, 1.500%, with various maturities from 2050 to 2051(e) | 65,087,673 | ||||||||
169,986,658 | FHLMC, 2.000%, with various maturities from 2050 to 2051(e)(f) | 171,710,486 | ||||||||
34,038,176 | FHLMC, 2.500%, with various maturities in 2050(e) | 35,117,746 | ||||||||
24,635,716 | FHLMC, 3.000%, with various maturities from 2042 to 2050(e)(f) | 25,941,085 | ||||||||
15,717,542 | FHLMC, 3.500%, with various maturities from 2043 to 2050(e) | 16,882,264 | ||||||||
3,695,781 | FHLMC, 4.000%, with various maturities from 2044 to 2048(e) | 3,993,918 | ||||||||
86,630,512 | FHLMC, 4.500%, with various maturities from 2041 to 2049(e)(f) | 93,205,022 | ||||||||
202,004,752 | FHLMC, 5.000%, with various maturities from 2048 to 2050(e)(f) | 221,598,635 | ||||||||
6,027 | FHLMC, 6.000%, 6/01/2035 | 7,152 | ||||||||
46,451,485 | FNMA, 1.500%, with various maturities in 2051(e) | 45,492,987 | ||||||||
207,776,402 | FNMA, 2.000%, with various maturities from 2050 to 2051(e) | 209,973,282 | ||||||||
75,129,131 | FNMA, 2.500%, with various maturities from 2045 to 2051(e)(f) | 77,819,152 | ||||||||
71,724,450 | FNMA, 3.000%, with various maturities from 2045 to 2050(e)(f) | 75,194,372 | ||||||||
57,545,909 | FNMA, 3.500%, with various maturities from 2043 to 2050(e)(f) | 60,696,898 | ||||||||
215,450,674 | FNMA, 4.000%, with various maturities from 2041 to 2050(e)(f) | 229,691,531 | ||||||||
207,209,488 | FNMA, 4.500%, with various maturities from 2043 to 2050(e)(f) | 223,280,994 | ||||||||
44,129,293 | FNMA, 5.000%, with various maturities from 2048 to 2050(e)(f) | 48,415,077 | ||||||||
6,860,397 | FNMA, 5.500%, 4/01/2050 | 7,632,478 | ||||||||
5,595,642 | FNMA, 6.000%, with various maturities from 2034 to 2049(e) | 6,310,131 | ||||||||
7,872 | FNMA, 6.500%, with various maturities from 2029 to 2031(e) | 8,871 | ||||||||
21,249 | FNMA, 7.000%, with various maturities in 2030(e) | 23,033 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Mortgage Related – continued |
| |||||||||
$ | 12,868 | FNMA, 7.500%, with various maturities from 2024 to 2032(e) | $ | 14,598 | ||||||
14,072 | GNMA, 3.796%, 7/20/2063(a) | 14,855 | ||||||||
4,360 | GNMA, 3.852%, 11/20/2062(a) | 4,443 | ||||||||
3,360 | GNMA, 3.890%, 12/20/2062(a) | 3,493 | ||||||||
58,869 | GNMA, 3.891%, 11/20/2062(a) | 59,703 | ||||||||
2,135 | GNMA, 4.004%, 1/20/2063(a) | 2,182 | ||||||||
8,062 | GNMA, 4.085%, 5/20/2063(a) | 8,431 | ||||||||
27,826 | GNMA, 4.126%, 7/20/2063(a) | 28,610 | ||||||||
5,017 | GNMA, 4.327%, 8/20/2061(a) | 5,515 | ||||||||
7,462 | GNMA, 4.390%, 10/20/2062(a) | 7,468 | ||||||||
7,358,172 | GNMA, 4.392%, 12/20/2066(a) | 8,249,712 | ||||||||
4,505,678 | GNMA, 4.407%, 11/20/2066(a) | 4,971,465 | ||||||||
2,084 | GNMA, 4.422%, 5/20/2063(a) | 2,240 | ||||||||
2,299,431 | GNMA, 4.443%, 10/20/2066(a) | 2,562,721 | ||||||||
1,379,855 | GNMA, 4.446%, 2/20/2066(a) | 1,532,405 | ||||||||
3,087,060 | GNMA, 4.458%, 2/20/2066(a) | 3,412,612 | ||||||||
3,664,540 | GNMA, 4.528%, 12/20/2064(a) | 3,969,436 | ||||||||
3,528,635 | GNMA, 4.531%, 6/20/2066(a) | 3,907,080 | ||||||||
3,153,802 | GNMA, 4.541%, 2/20/2065(a) | 3,420,654 | ||||||||
2,694,978 | GNMA, 4.543%, 12/20/2063(a) | 2,871,872 | ||||||||
2,779,873 | GNMA, 4.545%, 6/20/2066(a) | 3,072,779 | ||||||||
2,260,391 | GNMA, 4.547%, 9/20/2066(a) | 2,519,677 | ||||||||
3,397,103 | GNMA, 4.574%, with various maturities from 2065 to 2066(a)(e) | 3,703,947 | ||||||||
5,326,852 | GNMA, 4.585%, 12/20/2064(a) | 5,768,700 | ||||||||
5,041,507 | GNMA, 4.591%, with various maturities from 2064 to 2066(a)(e) | 5,517,123 | ||||||||
4,578,872 | GNMA, 4.596%, 2/20/2065(a) | 5,011,225 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Mortgage Related – continued |
| |||||||||
$ | 4,219,237 | GNMA, 4.614%, 10/20/2064(a) | $ | 4,603,155 | ||||||
3,209,782 | GNMA, 4.622%, 3/20/2066(a) | 3,606,472 | ||||||||
2,184,663 | GNMA, 4.630%, with various maturities from 2061 to 2065(a)(e) | 2,377,611 | ||||||||
630,286 | GNMA, 4.636%, 1/20/2064(a) | 667,156 | ||||||||
10,544,721 | GNMA, 4.649%, with various maturities from 2065 to 2066(a)(e) | 11,746,893 | ||||||||
2,517,945 | GNMA, 4.666%, 1/20/2064(a) | 2,671,166 | ||||||||
4,033,357 | GNMA, 4.671%, 6/20/2064(a) | 4,347,692 | ||||||||
44,330 | GNMA, 4.700%, with various maturities in 2062(a)(e) | 45,996 | ||||||||
3,036,099 | GNMA, 4.714%, 1/20/2064(a) | 3,262,803 | ||||||||
125,434 | GNMA, 5.500%, 4/15/2038 | 145,822 | ||||||||
26,999 | GNMA, 6.000%, with various maturities from 2029 to 2038(e) | 31,763 | ||||||||
26,435 | GNMA, 6.500%, with various maturities from 2029 to 2032(e) | 29,472 | ||||||||
36,438 | GNMA, 7.000%, 9/15/2025 | 37,709 | ||||||||
3,417 | GNMA, 7.500%, with various maturities from 2025 to 2030(e) | 3,612 | ||||||||
49 | GNMA, 8.500%, 10/15/2022 | 50 | ||||||||
182,520,000 | UMBS® (TBA), 2.000%, 9/01/2051(g) | 183,553,806 | ||||||||
397,235,000 | UMBS® (TBA), 2.500%, 9/01/2051(g) | 409,198,602 | ||||||||
|
| |||||||||
2,305,055,513 | ||||||||||
|
| |||||||||
Natural Gas – 0.2% |
| |||||||||
11,262,000 | Atmos Energy Corp., 0.625%, 3/09/2023 | 11,265,462 | ||||||||
2,701,000 | Boston Gas Co., 3.001%, 8/01/2029, 144A | 2,842,568 | ||||||||
|
| |||||||||
14,108,030 | ||||||||||
|
| |||||||||
Non-Agency Commercial Mortgage-Backed Securities – 1.4% |
| |||||||||
12,696,152 | BANK, Series 2019-BN22, Class A4, 2.978%, 11/15/2062 | 13,699,044 | ||||||||
1,531,640 | BANK, Series 2019-BN16, Class A4, 4.005%, 2/15/2052 | 1,754,528 | ||||||||
3,409,380 | BANK, Series 2019-BN20, Class A3, 3.011%, 9/15/2062 | 3,682,638 | ||||||||
6,138,240 | BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062 | 6,607,326 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||||
$ | 14,179,842 | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072(f) | $ | 15,416,310 | ||||||
18,570,071 | Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A4, 3.038%, 11/10/2052(f) | 20,078,637 | ||||||||
9,877,514 | Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class A5, 2.717%, 2/15/2053 | 10,422,476 | ||||||||
915,412 | Commercial Mortgage Trust, Series 2010-C1, Class D, 5.937%, 7/10/2046, 144A(a) | 931,859 | ||||||||
10,077,000 | Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A | 10,856,631 | ||||||||
6,400,000 | Extended Stay America Trust, Series 2021-ESH, Class A, 1-month LIBOR + 1.080%, 1.155%, 7/15/2038, 144A(b) | 6,412,595 | ||||||||
1,485,000 | Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 2.325%, 7/15/2038, 144A(b) | 1,491,391 | ||||||||
5,627,003 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.428%, 8/10/2044, 144A(a) | 4,671,205 | ||||||||
2,317,554 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(a) | 2,271,511 | ||||||||
6,596,065 | GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053 | 7,059,762 | ||||||||
775,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.296%, 8/15/2046(a) | 811,171 | ||||||||
6,909,759 | UBS-Barclays Commercial Mortgage Trust, Series 2013-C5, Class A4, 3.185%, 3/10/2046 | 7,123,007 | ||||||||
4,982,141 | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class D, 5.266%, 6/15/2044, 144A(a) | 4,464,754 | ||||||||
5,245,978 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class AS, 4.176%, 5/15/2047 | 5,611,492 | ||||||||
|
| |||||||||
123,366,337 | ||||||||||
|
| |||||||||
Oil Field Services – 0.3% |
| |||||||||
25,364,000 | Thaioil Treasury Center Co. Ltd., 4.875%, 1/23/2043, 144A | 28,085,304 | ||||||||
|
| |||||||||
Paper – 0.5% |
| |||||||||
4,915,000 | Celulosa Arauco y Constitucion S.A., 4.500%, 8/01/2024 | 5,299,894 | ||||||||
13,075,000 | Klabin Austria GmbH, 7.000%, 4/03/2049, 144A | 16,637,937 | ||||||||
8,445,000 | Suzano Austria GmbH, 3.125%, 1/15/2032 | 8,363,675 | ||||||||
8,529,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 | 8,944,789 | ||||||||
1,686,000 | WestRock RKT LLC, 4.900%, 3/01/2022 | 1,734,574 | ||||||||
|
| |||||||||
40,980,869 | ||||||||||
|
| |||||||||
Pharmaceuticals – 0.5% |
| |||||||||
8,429,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A | 7,997,014 | ||||||||
9,325,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 8,672,250 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Pharmaceuticals – continued |
| |||||||||
$ | 3,863,000 | Jazz Securities DAC, 4.375%, 1/15/2029, 144A | $ | 4,005,158 | ||||||
12,284,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 11,685,155 | ||||||||
7,588,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025 | 8,365,770 | ||||||||
2,903,000 | Viatris, Inc., 4.000%, 6/22/2050, 144A | 3,070,007 | ||||||||
|
| |||||||||
43,795,354 | ||||||||||
|
| |||||||||
Property & Casualty Insurance – 0.1% |
| |||||||||
2,585,000 | Ascot Group Ltd., 4.250%, 12/15/2030, 144A | 2,720,712 | ||||||||
7,865,000 | Liberty Mutual Group, Inc., 3.950%, 5/15/2060, 144A | 8,641,601 | ||||||||
|
| |||||||||
11,362,313 | ||||||||||
|
| |||||||||
Refining – 0.2% |
| |||||||||
12,089,000 | Ultrapar International S.A., 5.250%, 10/06/2026, 144A | 13,297,900 | ||||||||
|
| |||||||||
REITs - Apartments – 0.0% |
| |||||||||
1,220,000 | American Homes 4 Rent, 2.375%, 7/15/2031 | 1,201,859 | ||||||||
1,715,000 | American Homes 4 Rent, 3.375%, 7/15/2051 | 1,680,048 | ||||||||
|
| |||||||||
2,881,907 | ||||||||||
|
| |||||||||
REITs - Diversified – 0.2% |
| |||||||||
16,503,000 | iStar, Inc., 4.250%, 8/01/2025 | 16,977,461 | ||||||||
1,267,000 | iStar, Inc., 4.750%, 10/01/2024 | 1,333,518 | ||||||||
|
| |||||||||
18,310,979 | ||||||||||
|
| |||||||||
REITs - Health Care – 0.1% |
| |||||||||
5,434,000 | Welltower, Inc., 2.750%, 1/15/2031 | 5,599,635 | ||||||||
|
| |||||||||
REITs - Shopping Centers – 0.0% |
| |||||||||
2,026,000 | Brixmor Operating Partnership LP, 4.050%, 7/01/2030 | 2,266,806 | ||||||||
|
| |||||||||
Retailers – 1.0% |
| |||||||||
4,081,000 | Alibaba Group Holding Ltd., 3.250%, 2/09/2061 | 3,951,189 | ||||||||
1,942,000 | Asbury Automotive Group, Inc., 4.500%, 3/01/2028 | 1,995,405 | ||||||||
1,942,000 | Asbury Automotive Group, Inc., 4.750%, 3/01/2030 | 2,029,390 | ||||||||
27,444,000 | El Puerto de Liverpool SAB de CV, 3.875%, 10/06/2026, 144A | 29,433,964 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Retailers – continued |
| |||||||||
$ | 8,418,000 | Falabella S.A., 3.750%, 4/30/2023, 144A | $ | 8,760,613 | ||||||
6,409,000 | Falabella S.A., 4.375%, 1/27/2025, 144A | 6,889,675 | ||||||||
5,300,000 | Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A | 5,392,750 | ||||||||
856,000 | Hanesbrands, Inc., 4.625%, 5/15/2024, 144A | 907,360 | ||||||||
4,042,000 | Hanesbrands, Inc., 4.875%, 5/15/2026, 144A | 4,365,360 | ||||||||
5,024,000 | Hanesbrands, Inc., 5.375%, 5/15/2025, 144A | 5,319,160 | ||||||||
3,889,000 | Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A | 3,966,780 | ||||||||
3,280,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 3,397,260 | ||||||||
10,257,000 | Lithia Motors, Inc., 4.375%, 1/15/2031, 144A | 10,986,375 | ||||||||
4,582,000 | MercadoLibre, Inc., 3.125%, 1/14/2031 | 4,490,543 | ||||||||
|
| |||||||||
91,885,824 | ||||||||||
|
| |||||||||
Sovereigns – 3.3% |
| |||||||||
13,213,000 | Colombia Government International Bond, 4.125%, 5/15/2051 | 12,517,203 | ||||||||
23,769,000 | Dominican Republic, 4.875%, 9/23/2032, 144A | 24,482,070 | ||||||||
11,070,000 | Dominican Republic, 5.300%, 1/21/2041, 144A | 11,042,436 | ||||||||
16,076,000 | Egypt Government International Bond, 5.875%, 2/16/2031, 144A | 15,609,796 | ||||||||
6,795,000 | Indonesia Government International Bond, 3.700%, 1/08/2022, 144A | 6,907,389 | ||||||||
8,600,000 | Kenya Government International Bond, 6.300%, 1/23/2034, 144A | 8,612,900 | ||||||||
27,253,000 | Kingdom of Saudi Arabia, 3.250%, 10/26/2026, 144A | 29,686,366 | ||||||||
17,866,000 | Mexico Government International Bond, 3.771%, 5/24/2061 | 16,647,717 | ||||||||
14,611,000 | Morocco Government International Bond, 4.000%, 12/15/2050, 144A | 13,515,175 | ||||||||
6,285,000 | Oman Sovereign Sukuk Co., 4.875%, 6/15/2030, 144A | 6,446,964 | ||||||||
2,980,000 | Peruvian Government International Bond, 2.392%, 1/23/2026 | 3,075,539 | ||||||||
7,473,000 | Qatar Government International Bond, 4.400%, 4/16/2050, 144A | 9,095,747 | ||||||||
2,657,000 | Republic of Ghana, 7.750%, 4/07/2029, 144A | 2,713,461 | ||||||||
9,432,000 | Republic of Oman, 3.875%, 3/08/2022, 144A | 9,555,559 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Sovereigns – continued |
| |||||||||
$ | 10,029,000 | State of Qatar, 3.875%, 4/23/2023, 144A | $ | 10,645,824 | ||||||
18,089,000 | Ukraine Government International Bond, 7.253%, 3/15/2033, 144A | 18,814,912 | ||||||||
4,000,460,000 | Uruguay Government International Bond, 8.250%, 5/21/2031, (UYU) | 93,417,114 | ||||||||
|
| |||||||||
292,786,172 | ||||||||||
|
| |||||||||
Supermarkets – 0.3% |
| |||||||||
12,271,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 3.500%, 3/15/2029, 144A | 12,132,951 | ||||||||
15,901,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 3.250%, 3/15/2026, 144A | 16,127,590 | ||||||||
|
| |||||||||
28,260,541 | ||||||||||
|
| |||||||||
Technology – 3.4% |
| |||||||||
3,425,000 | Baidu, Inc., 2.375%, 10/09/2030 | 3,436,337 | ||||||||
4,515,000 | Baidu, Inc., 3.075%, 4/07/2025 | 4,781,340 | ||||||||
4,890,000 | Broadcom, Inc., 3.150%, 11/15/2025 | 5,241,006 | ||||||||
29,588,000 | Broadcom, Inc., 3.419%, 4/15/2033, 144A | 31,072,260 | ||||||||
15,446,000 | Broadcom, Inc., 3.750%, 2/15/2051, 144A | 16,124,216 | ||||||||
18,789,000 | Corning, Inc., 5.450%, 11/15/2079 | 26,305,415 | ||||||||
6,803,000 | DXC Technology Co., 4.125%, 4/15/2025 | 7,476,802 | ||||||||
3,133,000 | Equifax, Inc., 2.600%, 12/15/2025 | 3,297,236 | ||||||||
2,544,000 | Equifax, Inc., 3.300%, 12/15/2022 | 2,631,926 | ||||||||
4,324,000 | Equifax, Inc., 7.000%, 7/01/2037 | 6,098,712 | ||||||||
13,320,000 | HCL America, Inc., 1.375%, 3/10/2026, 144A | 13,214,772 | ||||||||
7,756,000 | Hewlett Packard Enterprise Co., 4.450%, 10/02/2023 | 8,387,702 | ||||||||
4,916,000 | Hewlett Packard Enterprise Co., 4.650%, 10/01/2024 | 5,465,504 | ||||||||
17,421,000 | Hewlett Packard Enterprise Co., 6.200%, 10/15/2035 | 23,627,592 | ||||||||
16,919,000 | Iron Mountain, Inc., 4.500%, 2/15/2031, 144A | 17,130,488 | ||||||||
21,206,000 | J2 Global, Inc., 4.625%, 10/15/2030, 144A | 21,954,572 | ||||||||
6,975,000 | Jabil, Inc., 3.000%, 1/15/2031 | 7,179,696 | ||||||||
13,294,000 | Microchip Technology, Inc., 2.670%, 9/01/2023 | 13,845,961 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Technology – continued |
| |||||||||
$ | 6,371,000 | Microchip Technology, Inc., 4.333%, 6/01/2023 | $ | 6,794,048 | ||||||
13,101,000 | Micron Technology, Inc., 2.497%, 4/24/2023 | 13,541,457 | ||||||||
6,151,000 | Molex Electronic Technologies LLC, 3.900%, 4/15/2025, 144A | 6,311,779 | ||||||||
17,571,000 | Oracle Corp., 4.100%, 3/25/2061 | 19,480,853 | ||||||||
5,778,000 | Sabre GLBL, Inc., 7.375%, 9/01/2025, 144A | 6,283,575 | ||||||||
1,475,000 | Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A | 1,753,524 | ||||||||
1,374,000 | Science Applications International Corp., 4.875%, 4/01/2028, 144A | 1,440,983 | ||||||||
2,060,000 | Seagate HDD Cayman, 4.125%, 1/15/2031, 144A | 2,101,200 | ||||||||
5,644,000 | Sensata Technologies BV, 4.000%, 4/15/2029, 144A | 5,729,130 | ||||||||
7,989,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A | 7,899,763 | ||||||||
16,293,000 | Tencent Holdings Ltd., 3.290%, 6/03/2060, 144A | 15,861,341 | ||||||||
|
| |||||||||
304,469,190 | ||||||||||
|
| |||||||||
Tobacco – 0.4% |
| |||||||||
3,362,000 | Altria Group, Inc., 2.350%, 5/06/2025 | 3,514,890 | ||||||||
31,751,000 | BAT Capital Corp., 2.789%, 9/06/2024 | 33,353,278 | ||||||||
|
| |||||||||
36,868,168 | ||||||||||
|
| |||||||||
Transportation Services – 0.1% |
| |||||||||
9,293,000 | Ryder System, Inc., MTN, 2.500%, 9/01/2024 | 9,727,010 | ||||||||
|
| |||||||||
Treasuries – 11.7% |
| |||||||||
9,838,100 | (††) | Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN) | 47,983,317 | |||||||
25,562,431 | (††) | Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN) | 141,071,688 | |||||||
468,727,000 | Republic of Uruguay, 8.500%, 3/15/2028, 144A, (UYU) | 11,140,941 | ||||||||
250,098,000 | Republic of Uruguay, 9.875%, 6/20/2022, 144A, (UYU) | 5,882,433 | ||||||||
15,614,000 | U.S. Treasury Bond, 1.875%, 2/15/2041 | 15,284,642 | ||||||||
50,200,000 | U.S. Treasury Bond, 2.375%, 5/15/2051 | 53,596,344 | ||||||||
250,425,000 | U.S. Treasury Note, 0.125%, 9/15/2023 | 249,505,469 | ||||||||
38,381,800 | U.S. Treasury Note, 0.250%, 5/31/2025(f) | 37,737,106 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Treasuries – continued |
| |||||||||
$ | 35,580,500 | U.S. Treasury Note, 0.750%, 3/31/2026 | $ | 35,420,666 | ||||||
114,930,000 | U.S. Treasury Note, 0.875%, 6/30/2026 | 114,876,127 | ||||||||
180,555,000 | U.S. Treasury Note, 1.625%, 10/31/2023 | 186,042,178 | ||||||||
19,720,000 | U.S. Treasury Note, 1.625%, 5/15/2031 | 20,021,963 | ||||||||
4,267,700 | U.S. Treasury Note, 2.375%, 5/15/2029 | 4,605,282 | ||||||||
20,372,800 | U.S. Treasury Note, 2.625%, 2/15/2029 | 22,340,048 | ||||||||
81,104,600 | U.S. Treasury Note, 3.125%, 11/15/2028(f) | 91,752,747 | ||||||||
93,095,000 | Uruguay Government International Bond, 8.500%, 3/15/2028, (UYU) | 2,212,729 | ||||||||
|
| |||||||||
1,039,473,680 | ||||||||||
|
| |||||||||
Utility Other – 0.3% |
| |||||||||
25,543,639 | Acwa Power Management & Investments One Ltd., 5.950%, 12/15/2039, 144A | 30,334,604 | ||||||||
|
| |||||||||
Wireless – 1.1% |
| |||||||||
13,487,000 | America Movil SAB de CV, 2.875%, 5/07/2030 | 14,215,251 | ||||||||
1,207,000 | American Tower Corp., 4.700%, 3/15/2022 | 1,244,551 | ||||||||
19,567,000 | Bharti Airtel Ltd., 4.375%, 6/10/2025, 144A | 21,346,179 | ||||||||
983,000 | Crown Castle International Corp., 4.150%, 7/01/2050 | 1,121,908 | ||||||||
7,180,000 | Kenbourne Invest S.A., 4.700%, 1/22/2028, 144A | 7,217,982 | ||||||||
2,376,000 | Millicom International Cellular S.A., 4.500%, 4/27/2031, 144A | 2,459,160 | ||||||||
3,021,300 | Millicom International Cellular S.A., 6.625%, 10/15/2026, 144A | 3,195,025 | ||||||||
17,920,000 | SBA Communications Corp., 3.125%, 2/01/2029, 144A | 17,276,064 | ||||||||
3,350,000 | Sprint Corp., 7.250%, 9/15/2021 | 3,399,513 | ||||||||
20,429,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 22,835,945 | ||||||||
|
| |||||||||
94,311,578 | ||||||||||
|
| |||||||||
Wirelines – 0.7% |
| |||||||||
22,028,000 | AT&T, Inc., 1.700%, 3/25/2026 | 22,260,764 | ||||||||
7,956,000 | AT&T, Inc., 3.500%, 9/15/2053, 144A | 7,993,159 | ||||||||
2,128,000 | AT&T, Inc., 3.550%, 9/15/2055, 144A | 2,135,135 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Wirelines – continued |
| |||||||||
$ | 3,863,000 | AT&T, Inc., 3.650%, 6/01/2051 | $ | 4,010,379 | ||||||
15,891,000 | AT&T, Inc., 3.650%, 9/15/2059, 144A | 16,115,041 | ||||||||
7,539,000 | AT&T, Inc., 3.800%, 12/01/2057, 144A | 7,854,752 | ||||||||
|
| |||||||||
60,369,230 | ||||||||||
|
| |||||||||
Total Non-Convertible Bonds (Identified Cost $7,739,560,861) | 7,944,773,950 | |||||||||
|
| |||||||||
Municipals – 0.2% | ||||||||||
Virginia – 0.2% |
| |||||||||
14,765,000 | University of Virginia, Revenue Bond, Series A, 3.227%, 9/01/2119 | 14,234,635 | ||||||||
|
| |||||||||
Total Municipals (Identified Cost $14,765,000) | 14,234,635 | |||||||||
|
| |||||||||
Total Bonds and Notes (Identified Cost $7,754,325,861) | 7,959,008,585 | |||||||||
|
| |||||||||
Senior Loans – 5.0% | ||||||||||
Aerospace & Defense – 0.2% |
| |||||||||
12,850,028 | TransDigm, Inc., 2020 Term Loan F, 1-month LIBOR + 2.250%, 2.354%, 12/09/2025(b) | 12,650,339 | ||||||||
6,344,624 | TransDigm, Inc., 2020 Term Loan G, 1-month LIBOR + 2.250%, 2.354%, 8/22/2024(b) | 6,261,065 | ||||||||
|
| |||||||||
18,911,404 | ||||||||||
|
| |||||||||
Automotive – 0.1% |
| |||||||||
2,731,350 | KAR Auction Services, Inc., 2019 Term Loan B6, 1-month LIBOR + 2.250%, 2.375%, 9/19/2026(b) | 2,690,380 | ||||||||
1,487,781 | Visteon Corp., 2018 Term Loan B, LIBOR + 1.750%, 1.859%, 3/25/2024(a) | 1,474,138 | ||||||||
|
| |||||||||
4,164,518 | ||||||||||
|
| |||||||||
Brokerage – 0.2% |
| |||||||||
10,182,794 | Citadel Securities LP, 2021 Term Loan B, 1-month LIBOR + 2.500%, 2.604%, 2/02/2028(b) | 10,070,376 | ||||||||
6,231,250 | Zebra Buyer LLC, Term Loan B, 4/21/2028(h) | 6,245,707 | ||||||||
|
| |||||||||
16,316,083 | ||||||||||
|
| |||||||||
Building Materials – 0.8% |
| |||||||||
19,640,051 | American Builders & Contractors Supply Co., Inc., 2019 Term Loan, 1-month LIBOR + 2.000%, 2.104%, 1/15/2027(b) | 19,487,840 | ||||||||
15,329,231 | Beacon Roofing Supply, Inc., 2021 Term Loan B, 1-month LIBOR + 2.500%, 2.604%, 4/23/2028(b) | 15,235,569 | ||||||||
10,158,434 | Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 1-month LIBOR + 2.500%, 2.604%, 2/01/2027(b) | 10,059,999 | ||||||||
7,323,510 | Quikrete Holdings, Inc., 2021 Term Loan B1, 5/12/2028(h) | 7,261,700 |
Principal | Description | Value (†) | ||||||||
Senior Loans – continued | ||||||||||
Building Materials – continued |
| |||||||||
$ | 18,007,826 | Summit Materials Cos. I, LLC, 2017 Term Loan B, 1-month LIBOR + 2.000%, 2.104%, 11/21/2024(b) | $ | 17,932,734 | ||||||
|
| |||||||||
69,977,842 | ||||||||||
|
| |||||||||
Cable Satellite – 0.4% |
| |||||||||
12,277,113 | CSC Holdings LLC, 2017 Term Loan B1, 1-month LIBOR + 2.250%, 2.323%, 7/17/2025(b) | 12,092,957 | ||||||||
4,217,424 | Telenet Financing USD LLC, 2020 USD Term Loan AR, 1-month LIBOR + 2.000%, 2.073%, 4/30/2028(b) | 4,156,271 | ||||||||
9,994,764 | UPC Broadband Holding BV, 2020 USD Term Loan AT, 1-month LIBOR + 2.250%, 2.323%, 4/30/2028(b) | 9,865,631 | ||||||||
12,405,000 | Virgin Media Bristol LLC, USD Term Loan N, 1-month LIBOR + 2.500%, 2.573%, 1/31/2028(b) | 12,287,897 | ||||||||
|
| |||||||||
38,402,756 | ||||||||||
|
| |||||||||
Chemicals – 0.1% |
| |||||||||
4,081,000 | Venator Materials Corp., Term Loan B, 1-month LIBOR + 3.000%, 3.104%, 8/08/2024(b) | 4,040,190 | ||||||||
|
| |||||||||
Consumer Cyclical Services – 0.2% |
| |||||||||
431,454 | FrontDoor, Inc., 2021 Term Loan B, 3-month LIBOR + 2.250%, 2.354%, 5/20/2028(b) | 431,454 | ||||||||
4,345,687 | RE/MAX International, Inc., 2016 Term Loan B, 3-month LIBOR + 2.750%, 3.500%, 12/15/2023(b) | 4,340,254 | ||||||||
4,355,000 | RE/MAX International, Inc., 2021 Term Loan B, 6/24/2028(h) | 4,344,112 | ||||||||
11,087,415 | Trans Union LLC, 2019 Term Loan B5, 1-month LIBOR + 1.750%, 1.854%, 11/16/2026(b) | 11,005,812 | ||||||||
|
| |||||||||
20,121,632 | ||||||||||
|
| |||||||||
Consumer Products – 0.1% |
| |||||||||
6,915,603 | Coty, Inc., 2018 USD Term Loan B, 1-month LIBOR + 2.250%, 2.331%, 4/07/2025(b) | 6,648,177 | ||||||||
5,044,829 | SRAM LLC, 2021 Term Loan B, LIBOR + 2.750%, 3.250%, 5/12/2028(a) | 5,019,604 | ||||||||
|
| |||||||||
11,667,781 | ||||||||||
|
| |||||||||
Electric – 0.2% |
| |||||||||
5,786,372 | Calpine Corp., 2019 Term Loan B10, 1-month LIBOR + 2.000%, 2.104%, 8/12/2026(b) | 5,705,710 | ||||||||
4,371,875 | Calpine Corp., Term Loan B9, 1-month LIBOR + 2.000%, 2.110%, 4/05/2026(b) | 4,312,243 | ||||||||
9,929,700 | Pacific Gas & Electric Co., 2020 Term Loan, 3-month LIBOR + 3.000%, 3.500%, 6/23/2025(b) | 9,787,010 | ||||||||
|
| |||||||||
19,804,963 | ||||||||||
|
| |||||||||
Food & Beverage – 0.1% |
| |||||||||
10,173,002 | Aramark Services, Inc., 2021 Term Loan B, 1-month LIBOR + 2.500%, 2.604%, 4/06/2028(b) | 10,117,050 | ||||||||
|
| |||||||||
Gaming – 0.2% |
| |||||||||
4,374,345 | Churchill Downs, Inc., 2017 Term Loan B, 1-month LIBOR + 2.000%, 2.110%, 12/27/2024(b) | 4,337,426 |
Principal | Description | Value (†) | ||||||||
Senior Loans – continued | ||||||||||
Gaming – continued |
| |||||||||
$ | 10,087,761 | Churchill Downs, Inc., 2021 Incremental Term Loan B1, 1-month LIBOR + 2.000%, 2.110%, 3/10/2028(b) | $ | 9,986,883 | ||||||
|
| |||||||||
14,324,309 | ||||||||||
|
| |||||||||
Industrial Other – 0.1% |
| |||||||||
7,810,000 | AECOM Technology Corp., 2021 Term Loan B, 1-month LIBOR + 1.750%, 1.854%, 4/13/2028(b) | 7,800,237 | ||||||||
2,493,881 | Altra Industrial Motion Corp., 2018 Term Loan B, 1-month LIBOR + 2.000%, 2.104%, 10/01/2025(b) | 2,477,521 | ||||||||
|
| |||||||||
10,277,758 | ||||||||||
|
| |||||||||
Media Entertainment – 0.6% |
| |||||||||
5,380,525 | E.W. Scripps Co. (The), 2020 Term Loan B3, 1-month LIBOR + 3.000%, 3.750%, 1/07/2028(b) | 5,373,799 | ||||||||
9,400,342 | Entercom Media Corp., 2019 Term Loan, 1-month LIBOR + 2.500%, 2.595%, 11/18/2024(b) | 9,299,288 | ||||||||
3,468,383 | Lamar Media Corp., 2020 Term Loan B, 1-month LIBOR + 1.500%, 1.577%, 2/05/2027(b) | 3,407,686 | ||||||||
12,965,920 | Meredith Corp., 2020 Term Loan B2, 1-month LIBOR + 2.500%, 2.604%, 1/31/2025(b) | 12,904,332 | ||||||||
12,900,777 | Nielsen Finance LLC, USD Term Loan B4, 1-month LIBOR + 2.000%, 2.081%, 10/04/2023(b) | 12,884,652 | ||||||||
5,944,125 | Sinclair Television Group, Inc., Term Loan B2B, 1-month LIBOR + 2.500%, 2.610%, 9/30/2026(b) | 5,856,806 | ||||||||
6,690,750 | WMG Acquisition Corp., 2021 Term Loan G, 1-month LIBOR + 2.125%, 2.229%, 1/20/2028(b) | 6,633,410 | ||||||||
|
| |||||||||
56,359,973 | ||||||||||
|
| |||||||||
Midstream – 0.1% |
| |||||||||
7,466,667 | DT Midstream, Inc., Term Loan B, 6/12/2028(h) | 7,473,312 | ||||||||
|
| |||||||||
Packaging – 0.0% |
| |||||||||
2,474,305 | Plastipak Packaging, Inc., 2018 Term Loan B, 1-month LIBOR + 2.500%, 2.610%, 10/14/2024(b) | 2,463,690 | ||||||||
|
| |||||||||
Pharmaceuticals – 0.4% |
| |||||||||
4,848,416 | Bausch Health Cos., Inc., Term Loan B, 1-month LIBOR + 2.750%, 2.854%, 11/27/2025(b) | 4,809,774 | ||||||||
6,572,105 | Change Healthcare Holdings LLC, 2017 Term Loan B, 1-month LIBOR + 2.500%, 3.500%, 3/01/2024(b) | 6,563,561 | ||||||||
19,624,306 | Elanco Animal Health, Inc., Term Loan B, 1-month LIBOR + 1.750%, 1.842%, 8/02/2027(b) | 19,313,654 | ||||||||
4,937,805 | Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 1 week LIBOR + 2.000%, 2.088%, 11/15/2027(b) | 4,887,192 | ||||||||
|
| |||||||||
35,574,181 | ||||||||||
|
| |||||||||
Property & Casualty Insurance – 0.1% |
| |||||||||
2,666,125 | USI, Inc., 2017 Repriced Term Loan, 3-month LIBOR + 3.000%, 3.147%, 5/16/2024(b) | 2,639,890 | ||||||||
2,093,142 | USI, Inc., 2019 Incremental Term Loan B, 3-month LIBOR + 3.250%, 3.397%, 12/02/2026(b) | 2,072,588 | ||||||||
|
| |||||||||
4,712,478 | ||||||||||
|
|
Principal | Description | Value (†) | ||||||||
Senior Loans – continued | ||||||||||
Restaurants – 0.2% |
| |||||||||
$ | 18,217,575 | 1011778 B.C. Unlimited Liability Co., Term Loan B4, 1-month LIBOR + 1.750%, 1.854%, 11/19/2026(b) | $ | 17,952,874 | ||||||
|
| |||||||||
Technology – 0.5% |
| |||||||||
9,803,069 | Iron Mountain, Inc., 2018 Term Loan B, 1-month LIBOR + 1.750%, 1.854%, 1/02/2026(b) | 9,607,007 | ||||||||
19,723,580 | ON Semiconductor Corp., 2019 Term Loan B, 1-month LIBOR + 2.000%, 2.104%, 9/19/2026(b) | 19,640,347 | ||||||||
1,929,856 | Sabre GLBL, Inc., 2018 Term Loan B, 1-month LIBOR + 2.000%, 2.104%, 2/22/2024(b) | 1,898,496 | ||||||||
2,527,300 | Sabre GLBL, Inc., 2020 Term Loan B, 1-month LIBOR + 4.000%, 4.750%, 12/17/2027(b) | 2,539,936 | ||||||||
9,611,857 | SS&C Technologies Inc., 2018 Term Loan B5, 1-month LIBOR + 1.750%, 1.854%, 4/16/2025(b) | 9,496,227 | ||||||||
|
| |||||||||
43,182,013 | ||||||||||
|
| |||||||||
Transportation Services – 0.2% |
| |||||||||
10,416,240 | Uber Technologies, Inc., 2021 Term Loan B, 1-month LIBOR + 3.500%, 3.604%, 2/25/2027(b) | 10,406,449 | ||||||||
4,684,935 | WEX Inc., 2021 Term Loan, 1-month LIBOR + 2.250%, 2.354%, 3/31/2028(b) | 4,646,893 | ||||||||
|
| |||||||||
15,053,342 | ||||||||||
|
| |||||||||
Wireless – 0.2% |
| |||||||||
2,767,410 | Asurion LLC, 2018 Term Loan B6, 1-month LIBOR + 3.000%, 3.104%, 11/03/2023(b) | 2,751,858 | ||||||||
15,737,782 | Asurion LLC, 2020 Term Loan B8, 1-month LIBOR + 3.250%, 3.354%, 12/23/2026(b) | 15,550,974 | ||||||||
|
| |||||||||
18,302,832 | ||||||||||
|
| |||||||||
Total Senior Loans (Identified Cost $441,134,608) | 439,200,981 | |||||||||
|
| |||||||||
Shares | ||||||||||
Common Stocks – 0.0% | ||||||||||
Oil, Gas & Consumable Fuels – 0.0% |
| |||||||||
116,806 | Paragon Offshore Ltd., Litigation Units, Class B(c)(d)(i)(j) (Identified Cost $8,598,870) | 912,255 | ||||||||
|
|
Principal | Description | Value (†) | ||||||||
Short-Term Investments – 12.1% | ||||||||||
$ | 732,758,335 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2021 at 0.000% to be repurchased at $732,758,335 on 7/01/2021 collateralized by $30,918,900 U.S. Treasury Bond, 4.375% due 2/15/2038 valued at $42,426,543; $500,000,000 U.S. Treasury Bond, 4.500% due 5/15/2038 valued at $695,995,998; $6,518,700 U.S. Treasury Bond, 4.250% due 5/15/2039 valued at $8,888,352; $119,400 U.S. Treasury Bond, 1.125% due 8/15/2040 valued at $102,756 including accrued interest(k) | $ | 732,758,335 | ||||||
97,040,000 | U.S. Treasury Bills, 0.010%, 7/06/2021(l) | 97,039,512 | ||||||||
88,580,000 | U.S. Treasury Bills, 0.015%, 7/15/2021(l) | 88,578,450 | ||||||||
68,995,000 | U.S. Treasury Bills, 0.020%, 7/13/2021(l) | 68,994,022 | ||||||||
88,350,000 | U.S. Treasury Bills, 0.040%, 12/09/2021(l) | 88,329,586 | ||||||||
|
| |||||||||
Total Short-Term Investments (Identified Cost $1,075,706,419) | 1,075,699,905 | |||||||||
|
| |||||||||
Total Investments – 106.8% (Identified Cost $9,279,765,758) | 9,474,821,726 | |||||||||
Other assets less liabilities – (6.8)% | (600,989,683 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 8,873,832,043 | ||||||||
|
|
(†) | 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. |
Short sales of debt securities are valued based on an evaluated ask price furnished to the Fund by an independent pricing service. |
Listed equity securities (including shares of closed-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 June 30, 2021 is disclosed. |
(b) | Variable rate security. Rate as of June 30, 2021 is disclosed. |
(c) | Level 3 security. Value has been determined using significant unobservable inputs. |
(d) | Fair valued by the Fund’s adviser. At June 30, 2021, the value of these securities amounted to $1,451,892 or less than 0.1% of net assets. |
(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) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open TBA transactions. |
(g) | When-issued/delayed delivery. The Fund may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Fund at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Fund take delivery of the security. No interest accrues to the Fund until the transaction settles. Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Fund or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Fund covers its net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities. Purchases of when-issued or delayed delivery securities may have a similar effect on the Fund’s NAV as if the Fund’s had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities. |
(h) | Position is unsettled. Contract rate was not determined at June 30, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(i) | Non-income producing security. |
(j) | Securities subject to restriction on resale. At June 30, 2021, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||||
Paragon Offshore Ltd., Litigation Units, Class B | 7/18/2017 | $ | 8,598,870 | $ | 912,255 | Less than 0.1 | % |
(k) | 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 are tri-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 June 30, 2021, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
(l) | 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 June 30, 2021, the value of Rule 144A holdings amounted to $2,313,593,625 or 26.1% 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 |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced |
UMBS® | Uniform Mortgage-Backed Securities |
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 June 30, 2021, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
Collateralized Mortgage Obligations | $ | — | $ | 15,921,275 | $ | 539,637 | (a) | $ | 16,460,912 | |||||||
All Other Non-Convertible Bonds* | — | 7,928,313,038 | — | 7,928,313,038 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Bonds | — | 7,944,234,313 | 539,637 | 7,944,773,950 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Municipals* | — | 14,234,635 | — | 14,234,635 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 7,958,468,948 | 539,637 | 7,959,008,585 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Senior Loans* | — | 439,200,981 | — | 439,200,981 | ||||||||||||
Common Stocks* | — | — | 912,255 | (a) | 912,255 | |||||||||||
Short-Term Investments | — | 1,075,699,905 | — | 1,075,699,905 | ||||||||||||
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Total | $ | — | $ | 9,473,369,834 | $ | 1,451,892 | $ | 9,474,821,726 | ||||||||
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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. |
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 September 30, 2020 and/or June 30, 2021:
Asset Valuation Inputs
Investments in | Balance as of September 30, 2020 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of June 30, 2021 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2021 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
ABS Home Equity | $ | 27,065 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (27,065 | ) | $ | — | $ | — | |||||||||||||||||||
Collateralized Mortgage Obligations | 2,280,311 | — | (14,004 | ) | 18,447 | 725 | (1,745,842 | ) | — | — | 539,637 | (607 | ) | |||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | — | (a) | — | (429,948 | ) | 758,173 | — | — | 584,030 | — | 912,255 | 328,225 | ||||||||||||||||||||||||||||
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Total | $ | 2,307,376 | $ | — | $ | (443,952 | ) | $ | 776,620 | $ | 725 | $ | (1,745,842 | ) | $ | 584,030 | $ | (27,065 | ) | $ | 1,451,892 | $ | 327,618 | |||||||||||||||||
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(a) | Includes a security fair valued at zero by the Fund’s adviser using Level 3 Inputs. |
A debt security valued at $27,065 was transferred from Level 3 to Level 2 during the period ended June 30, 2021. At September 30, 2020, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the security. At June 30, 2021, 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 common stock valued at $584,030 was transferred from Level 2 to Level 3 during the period ended June 30, 2021. At September 30, 2020, this security was valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2021, 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.
Industry Summary at June 30, 2021 (Unaudited)
Mortgage Related | 26.0 | % | ||
Treasuries | 11.7 | |||
Banking | 9.6 | |||
Technology | 3.9 | |||
Sovereigns | 3.3 | |||
Government Owned - No Guarantee | 3.2 | |||
Automotive | 2.4 | |||
Food & Beverage | 2.3 | |||
Electric | 2.1 | |||
Finance Companies | 2.1 | |||
Other Investments, less than 2% each | 28.1 | |||
Short-Term Investments | 12.1 | |||
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Total Investments | 106.8 | |||
Other assets less liabilities | (6.8 | ) | ||
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Net Assets | 100.0 | % | ||
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