PORTFOLIO OF INVESTMENTS – as of December 31, 2019 (Unaudited)
Loomis Sayles Strategic Income Fund
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – 72.3% of Net Assets | ||||||||||
Non-Convertible Bonds – 65.5% | ||||||||||
ABS Other – 0.5% |
| |||||||||
$ | 22,081,373 | GCA2014 Holdings Ltd., Series2014-1, Class C, | $ | 18,391,576 | ||||||
9,746,953 | GCA2014 Holdings Ltd., Series2014-1, Class D, | 5,775,069 | ||||||||
42,000,000 | GCA2014 Holdings Ltd., Series2014-1, Class E, | — | ||||||||
7,445,212 | Global Container Assets Ltd., Series2015-1A, Class B, | 7,355,291 | ||||||||
|
| |||||||||
31,521,936 | ||||||||||
|
| |||||||||
Aerospace & Defense – 1.3% |
| |||||||||
620,000 | Bombardier, Inc., | 461,814 | ||||||||
10,225,000 | Bombardier, Inc., | 10,225,000 | ||||||||
6,765,000 | Bombardier, Inc., | 6,959,494 | ||||||||
3,145,000 | Embraer Netherlands Finance BV, | 3,539,729 | ||||||||
9,576,000 | Leonardo U.S. Holdings, Inc., | 10,509,851 | ||||||||
8,815,000 | Leonardo U.S. Holdings, Inc., | 10,951,756 | ||||||||
5,310,000 | Textron Financial Corp., | 4,221,450 | ||||||||
24,513,000 | TransDigm, Inc., | 25,281,483 | ||||||||
17,765,000 | TransDigm, Inc., | 18,475,600 | ||||||||
|
| |||||||||
90,626,177 | ||||||||||
|
| |||||||||
Airlines – 0.5% |
| |||||||||
20,000,000 | American Airlines Group, Inc., | 20,925,000 | ||||||||
1,687,628 | American Airlines Pass Through Certificates, Series2016-3, Class B, | 1,706,646 | ||||||||
990,862 | American Airlines Pass Through Certificates, Series2017-2, Class B, | 1,001,647 | ||||||||
8,502,577 | American Airlines Pass Through Certificates, Series2013-1, Class A, | 8,944,711 | ||||||||
1,358,005 | Continental Airlines Pass Through Certificates, Series2012-1, Class B, | 1,370,309 | ||||||||
1,492,491 | Continental Airlines Pass Through Certificates, Series2012-2, Class B, | 1,517,535 | ||||||||
930 | Continental Airlines Pass Through Trust, Series1999-2, Class B, | 932 | ||||||||
193,163 | Continental Airlines Pass Through Trust, Series2001-1,Class A-1, | 203,516 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Airlines – continued |
| |||||||||
$ | 285,732 | Northwest Airlines Pass Through Trust, Series2002-1, Class G2, (MBIA Insured), | $ | 294,360 | ||||||
|
| |||||||||
35,964,656 | ||||||||||
|
| |||||||||
Automotive – 1.2% |
| |||||||||
1,210,000 | Allison Transmission, Inc., | 1,255,375 | ||||||||
18,750,000 | Delphi Technologies PLC, | 17,343,750 | ||||||||
1,220,000 | Ford Motor Co., | 1,321,187 | ||||||||
1,345,000 | Ford Motor Co., | 1,563,807 | ||||||||
18,565,000 | Ford Motor Credit Co. LLC, | 19,565,346 | ||||||||
9,545,000 | Goodyear Tire & Rubber Co. (The), | 9,879,075 | ||||||||
4,977,000 | Goodyear Tire & Rubber Co. (The), | 5,583,597 | ||||||||
26,055,000 | Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., | 23,775,187 | ||||||||
|
| |||||||||
80,287,324 | ||||||||||
|
| |||||||||
Banking – 4.9% |
| |||||||||
6,000,000 | Ally Financial, Inc., | 8,328,600 | ||||||||
983,000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), | 1,032,291 | ||||||||
265,000 | Bank of America Corp., MTN, | 289,065 | ||||||||
7,045,000 | Bank of America Corp., Series L, MTN, | 7,639,928 | ||||||||
3,450,000 | Cooperatieve Rabobank UA, | 3,607,342 | ||||||||
1,709,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), | 1,610,732 | ||||||||
25,000,000 | Goldman Sachs Group, Inc. (The), Series MPLE, | 19,524,277 | ||||||||
19,245,000 | Intesa Sanpaolo SpA, | 20,222,159 | ||||||||
36,195,000 | Morgan Stanley, GMTN, | 39,593,122 | ||||||||
185,000,000 | Morgan Stanley, GMTN, | 137,101,984 | ||||||||
46,735,000 | Morgan Stanley, MTN, | 49,350,270 | ||||||||
10,000,000 | Morgan Stanley, MTN, | 12,180,328 | ||||||||
53,095,000 | Morgan Stanley, Series MPLE, | 41,462,389 | ||||||||
|
| |||||||||
341,942,487 | ||||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Brokerage – 1.2% |
| |||||||||
$ | 1,675,000 | Jefferies Finance LLC/JFINCo-Issuer Corp., | $ | 1,725,250 | ||||||
43,025,000 | Jefferies Group LLC, | 46,466,081 | ||||||||
14,755,000 | Jefferies Group LLC, | 17,628,264 | ||||||||
15,215,000 | Jefferies Group LLC, | 17,849,090 | ||||||||
|
| |||||||||
83,668,685 | ||||||||||
|
| |||||||||
Building Materials – 0.4% |
| |||||||||
5,565,000 | American Woodmark Corp., | 5,704,125 | ||||||||
3,255,000 | JELD-WEN, Inc., | 3,328,237 | ||||||||
1,859,000 | Masco Corp., | 2,282,312 | ||||||||
1,226,000 | Masco Corp., | 1,591,156 | ||||||||
10,800,000 | Owens Corning, | 13,455,305 | ||||||||
|
| |||||||||
26,361,135 | ||||||||||
|
| |||||||||
Cable Satellite – 1.3% |
| |||||||||
850,000 | CCO Holdings LLC/CCO Holdings Capital Corp., | 867,536 | ||||||||
975,000 | CCO Holdings LLC/CCO Holdings Capital Corp., | 1,006,688 | ||||||||
497,000 | CCO Holdings LLC/CCO Holdings Capital Corp., | 505,698 | ||||||||
4,360,000 | CCO Holdings LLC/CCO Holdings Capital Corp., | 4,610,700 | ||||||||
17,880,000 | CSC Holdings LLC, | 19,064,550 | ||||||||
17,679,000 | DISH DBS Corp., | 18,065,728 | ||||||||
4,865,000 | DISH DBS Corp., | 5,153,932 | ||||||||
4,835,000 | Time Warner Cable LLC, | 4,943,200 | ||||||||
135,000 | Time Warner Cable LLC, | 154,949 | ||||||||
11,275,000 | Videotron Ltd., | 9,330,930 | ||||||||
18,245,000 | VTR Finance BV, | 18,655,512 | ||||||||
6,150,000 | Ziggo BV, | 6,534,375 | ||||||||
|
| |||||||||
88,893,798 | ||||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Chemicals – 0.5% |
| |||||||||
$ | 19,810,000 | Aruba Investments, Inc., | $ | 19,710,950 | ||||||
18,254,000 | Consolidated Energy Finance S.A., | 17,113,125 | ||||||||
|
| |||||||||
36,824,075 | ||||||||||
|
| |||||||||
Construction Machinery – 0.1% |
| |||||||||
1,310,000 | United Rentals North America, Inc., | 1,364,011 | ||||||||
3,850,000 | United Rentals North America, Inc., | 4,231,391 | ||||||||
|
| |||||||||
5,595,402 | ||||||||||
|
| |||||||||
Consumer Cyclical Services – 0.1% |
| |||||||||
5,500,000 | ServiceMaster Co. LLC (The), | 6,215,000 | ||||||||
|
| |||||||||
Consumer Products – 0.2% |
| |||||||||
11,880,000 | Avon Products, Inc., | 14,790,600 | ||||||||
|
| |||||||||
Electric – 1.1% |
| |||||||||
4,379,000 | AES Corp. (The), | 4,444,685 | ||||||||
9,371,000 | AES Corp. (The), | 9,689,146 | ||||||||
27,802,939 | Alta Wind Holdings LLC, | 31,012,349 | ||||||||
29,959,000 | EDP Finance BV, | 29,926,524 | ||||||||
3,570,000 | Empresa Nacional de Electricidad S.A., | 4,147,754 | ||||||||
|
| |||||||||
79,220,458 | ||||||||||
|
| |||||||||
Finance Companies – 3.8% |
| |||||||||
1,020,000 | Antares Holdings LP, | 1,073,173 | ||||||||
22,945,000 | Navient Corp., | 24,493,787 | ||||||||
2,260,000 | Navient Corp., | 2,418,200 | ||||||||
109,950 | (††) | Navient Corp., | 2,632,570 | |||||||
53,465,000 | Navient Corp., MTN, | 45,979,900 | ||||||||
47,944,000 | Navient Corp., MTN, | 52,019,240 | ||||||||
6,490,000 | Navient Corp., MTN, | 7,050,996 | ||||||||
4,360,000 | Quicken Loans, Inc., | 4,512,600 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Finance Companies – continued |
| |||||||||
$ | 23,115,000 | Springleaf Finance Corp., | $ | 26,293,312 | ||||||
4,075,000 | Springleaf Finance Corp., | 4,711,515 | ||||||||
26,970,000 | Springleaf Finance Corp., | 29,296,162 | ||||||||
55,015,000 | Springleaf Finance Corp., | 64,092,475 | ||||||||
|
| |||||||||
264,573,930 | ||||||||||
|
| |||||||||
Financial Other – 0.4% |
| |||||||||
25,465,000 | Nationstar Mortgage Holdings, Inc., | 28,202,488 | ||||||||
|
| |||||||||
Gaming – 0.1% |
| |||||||||
5,475,000 | International Game Technology PLC, | 6,159,375 | ||||||||
|
| |||||||||
Government Owned - No Guarantee – 0.1% |
| |||||||||
6,535,000 | Pertamina Persero PT, | 8,389,867 | ||||||||
|
| |||||||||
Healthcare – 4.4% |
| |||||||||
40,686,000 | HCA, Inc., | 44,964,540 | ||||||||
14,620,000 | HCA, Inc., | 17,324,700 | ||||||||
20,447,000 | HCA, Inc., | 23,156,227 | ||||||||
24,215,000 | HCA, Inc., | 30,510,900 | ||||||||
14,056,000 | HCA, Inc., | 16,937,480 | ||||||||
32,745,000 | HCA, Inc., | 39,785,175 | ||||||||
10,815,000 | HCA, Inc., MTN, | 12,923,925 | ||||||||
9,492,000 | HCA, Inc., MTN, | 11,295,480 | ||||||||
18,365,000 | Tenet Healthcare Corp., | 18,915,950 | ||||||||
40,800,000 | Tenet Healthcare Corp., | 44,827,368 | ||||||||
43,749,000 | Tenet Healthcare Corp., | 44,623,980 | ||||||||
990,000 | Tenet Healthcare Corp., | 1,095,188 | ||||||||
|
| |||||||||
306,360,913 | ||||||||||
|
| |||||||||
Home Construction – 1.0% |
| |||||||||
47,260,000 | PulteGroup, Inc., | 52,694,900 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Home Construction – continued |
| |||||||||
$ | 13,190,000 | PulteGroup, Inc., | $ | 15,399,325 | ||||||
195,000 | TRI Pointe Group, Inc./TRI Pointe Homes, Inc., | 212,063 | ||||||||
|
| |||||||||
68,306,288 | ||||||||||
|
| |||||||||
Independent Energy – 3.9% |
| |||||||||
4,810,000 | Antero Resources Corp., | 3,860,025 | ||||||||
18,736,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., | 18,635,388 | ||||||||
8,145,000 | Baytex Energy Corp., | 8,063,550 | ||||||||
8,225,000 | Baytex Energy Corp., | 7,484,750 | ||||||||
5,989,000 | Bellatrix Exploration Ltd., | 3,593,400 | ||||||||
6,526,000 | Bellatrix Exploration Ltd., | — | ||||||||
8,645,000 | California Resources Corp., | 4,063,150 | ||||||||
1,188,000 | California Resources Corp., | 356,400 | ||||||||
67,805,000 | California Resources Corp., | 30,313,581 | ||||||||
1,310,000 | Chesapeake Energy Corp., | 1,034,900 | ||||||||
21,335,000 | Chesapeake Energy Corp., | 12,694,752 | ||||||||
55,365,000 | Chesapeake Energy Corp., | 34,326,300 | ||||||||
15,215,000 | Continental Resources, Inc., | 15,736,684 | ||||||||
5,450,000 | Continental Resources, Inc., | 5,694,404 | ||||||||
302,000 | Continental Resources, Inc., | 304,166 | ||||||||
15,580,000 | Lonestar Resources America, Inc., | 10,633,350 | ||||||||
180,000 | MEG Energy Corp., | 180,450 | ||||||||
12,740,000 | MEG Energy Corp., | 12,819,625 | ||||||||
19,290,000 | Montage Resources Corp., | 17,795,025 | ||||||||
1,065,000 | Oasis Petroleum, Inc., | 1,041,038 | ||||||||
540,000 | Occidental Petroleum Corp., | 545,561 | ||||||||
4,780,000 | Pan American Energy LLC, | 4,947,348 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Independent Energy – continued |
| |||||||||
$ | 2,055,000 | QEP Resources, Inc., | $ | 2,034,450 | ||||||
17,908,000 | Sanchez Energy Corp., | 833,438 | ||||||||
9,520,000 | Sanchez Energy Corp., | 444,679 | ||||||||
8,241,000 | SM Energy Co., | 7,849,552 | ||||||||
15,904,000 | SM Energy Co., | 16,063,040 | ||||||||
5,710,000 | SM Energy Co., | 5,612,102 | ||||||||
95,000 | SM Energy Co., | 93,100 | ||||||||
1,110,000 | Southwestern Energy Co., | 1,018,092 | ||||||||
14,955,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., | 7,327,950 | ||||||||
2,530,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., | 1,265,000 | ||||||||
19,960,000 | Whiting Petroleum Corp., | 18,882,160 | ||||||||
3,550,000 | Whiting Petroleum Corp., | 2,987,999 | ||||||||
21,785,000 | Whiting Petroleum Corp., | 14,846,042 | ||||||||
|
| |||||||||
273,381,451 | ||||||||||
|
| |||||||||
Life Insurance – 0.9% |
| |||||||||
3,575,000 | Brighthouse Financial, Inc., | 3,312,631 | ||||||||
15,000,000 | Global Atlantic Fin Co., | 16,032,410 | ||||||||
20,000,000 | National Life Insurance Co., | 33,008,427 | ||||||||
8,920,000 | NLV Financial Corp., | 12,030,963 | ||||||||
|
| |||||||||
64,384,431 | ||||||||||
|
| |||||||||
Local Authorities – 1.0% |
| |||||||||
95,480,000 | New South Wales Treasury Corp., | 69,497,178 | ||||||||
|
| |||||||||
Media Entertainment – 0.1% |
| |||||||||
111,590,000 | Grupo Televisa SAB, EMTN, | 4,367,694 | ||||||||
|
| |||||||||
Metals & Mining – 1.0% |
| |||||||||
25,271,000 | ArcelorMittal S.A., | 30,101,610 | ||||||||
1,970,000 | Barrick North America Finance LLC, | 2,508,411 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Metals & Mining – continued |
| |||||||||
$ | 12,315,000 | First Quantum Minerals Ltd., | $ | 12,372,880 | ||||||
1,810,000 | First Quantum Minerals Ltd., | 1,850,725 | ||||||||
16,135,000 | Russel Metals, Inc., | 12,518,588 | ||||||||
10,158,000 | United States Steel Corp., | 8,227,980 | ||||||||
|
| |||||||||
67,580,194 | ||||||||||
|
| |||||||||
Midstream – 0.5% |
| |||||||||
8,935,000 | IFM U.S. Colonial Pipeline 2 LLC, | 9,342,174 | ||||||||
13,667,000 | NGL Energy Partners LP/NGL Energy Finance Corp., | 12,881,148 | ||||||||
8,125,000 | NGL Energy Partners LP/NGL Energy Finance Corp., | 8,125,000 | ||||||||
505,000 | NGPL PipeCo LLC, | 652,047 | ||||||||
11,980,000 | Summit Midstream Partners LP, Series A, (fixed rate to 12/15/2022, variable rate thereafter), | 6,000,303 | ||||||||
|
| |||||||||
37,000,672 | ||||||||||
|
| |||||||||
Oil Field Services – 2.6% |
| |||||||||
7,120,000 | Global Marine, Inc., | 6,309,744 | ||||||||
1,765,000 | Noble Holding International Ltd., | 951,370 | ||||||||
19,385,000 | Noble Holding International Ltd., | 14,054,125 | ||||||||
18,385,000 | Pioneer Energy Services Corp., | 4,228,550 | ||||||||
12,020,000 | Precision Drilling Corp., | 11,028,350 | ||||||||
219,836 | Precision Drilling Corp., | 219,287 | ||||||||
2,080,000 | Shelf Drilling Holdings Ltd., | 1,981,200 | ||||||||
62,443,500 | Transocean Proteus Ltd., | 64,316,805 | ||||||||
39,300,000 | Transocean, Inc., | 37,924,500 | ||||||||
46,390,000 | Transocean, Inc., | 32,936,900 | ||||||||
2,770,000 | Transocean, Inc., | 2,146,750 | ||||||||
11,165,000 | Valaris PLC, | 6,304,541 | ||||||||
|
| |||||||||
182,402,122 | ||||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Paper – 0.6% |
| |||||||||
$ | 15,225,000 | Georgia-Pacific LLC, | $ | 21,553,702 | ||||||
4,865,000 | WestRock MWV LLC, | 6,711,415 | ||||||||
8,750,000 | WestRock MWV LLC, | 12,071,705 | ||||||||
2,840,000 | Weyerhaeuser Co., | 3,582,513 | ||||||||
|
| |||||||||
43,919,335 | ||||||||||
|
| |||||||||
Property & Casualty Insurance – 0.1% |
| |||||||||
12,510,000 | MBIA Insurance Corp., | 8,560,656 | ||||||||
|
| |||||||||
Retailers – 0.7% |
| |||||||||
3,325,000 | Dillard’s, Inc., | 3,741,157 | ||||||||
1,500,000 | Dillard’s, Inc., | 1,701,825 | ||||||||
27,224,000 | J.C. Penney Corp., Inc., | 8,987,459 | ||||||||
2,510,000 | J.C. Penney Corp., Inc., | 677,700 | ||||||||
6,365,000 | Marks & Spencer PLC, | 7,189,802 | ||||||||
28,455,000 | Michaels Stores, Inc., | 27,174,525 | ||||||||
|
| |||||||||
49,472,468 | ||||||||||
|
| |||||||||
Supermarkets – 0.4% |
| |||||||||
11,495,000 | Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC, | 11,897,325 | ||||||||
9,465,000 | Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC, | 9,906,637 | ||||||||
2,290,000 | Safeway, Inc., | 2,404,500 | ||||||||
|
| |||||||||
24,208,462 | ||||||||||
|
| |||||||||
Technology – 0.7% |
| |||||||||
23,345,000 | Iron Mountain, Inc., | 23,713,851 | ||||||||
15,170,000 | KLA Corp., | 18,183,247 | ||||||||
3,970,000 | Micron Technology, Inc., | 4,407,975 | ||||||||
120,000 | Samsung Electronics Co. Ltd., | 141,845 | ||||||||
3,355,000 | Seagate HDD Cayman, | 3,565,482 | ||||||||
|
| |||||||||
50,012,400 | ||||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Transportation Services – 0.1% |
| |||||||||
$ | 10,503,000 | APL Ltd., | $ | 9,348,720 | ||||||
|
| |||||||||
Treasuries – 26.3% |
| |||||||||
312,000,000 | Canadian Government Bond, | 238,667,806 | ||||||||
453,855,000 | Central Bank of Iceland, | 4,141,912 | ||||||||
10,000,000 | (†††) | Mexican Fixed Rate Bonds, Series M, | 50,107,100 | |||||||
4,568,039 | (†††) | Mexican Fixed Rate Bonds, Series M, | 24,066,191 | |||||||
4,250,000 | (†††) | Mexican Fixed Rate Bonds, Series M, | 23,978,249 | |||||||
27,224,481 | (†††) | Mexican Fixed Rate Bonds, Series M, | 149,976,185 | |||||||
7,740,000 | (†††) | Mexican Fixed Rate Bonds, SeriesM-20, | 42,513,406 | |||||||
3,035,000 | (†††) | Mexican Fixed Rate Bonds, SeriesM-20, | 17,866,170 | |||||||
21,700,000 | (†††) | Mexican Fixed Rate Bonds, SeriesM-20, | 130,261,975 | |||||||
175,365,000 | New Zealand Government Bond, Series 0521, | 125,775,143 | ||||||||
458,725,000 | Norway Government Bond, Series 474, | 53,985,474 | ||||||||
162,850,000 | Republic of Brazil, | 43,316,553 | ||||||||
55,925,000 | Republic of Brazil, | 16,349,864 | ||||||||
144,325,000 | U.S. Treasury Bond, | 162,957,583 | ||||||||
50,000,000 | U.S. Treasury Note, | 49,921,875 | ||||||||
70,000,000 | U.S. Treasury Note, | 69,893,359 | ||||||||
486,665,000 | U.S. Treasury Note, | 485,999,636 | ||||||||
145,000,000 | U.S. Treasury Note, | 144,807,423 | ||||||||
|
| |||||||||
1,834,585,904 | ||||||||||
|
| |||||||||
Wireless – 1.3% |
| |||||||||
293,000,000 | America Movil SAB de CV, | 15,012,231 | ||||||||
134,600,000 | America Movil SAB de CV, | 6,994,069 | ||||||||
49,955,000 | Sprint Capital Corp., | 53,826,512 | ||||||||
6,260,000 | Sprint Capital Corp., | 7,598,075 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Wireless – continued |
| |||||||||
$ | 8,200,000 | Sprint Corp., | $ | 8,845,750 | ||||||
|
| |||||||||
92,276,637 | ||||||||||
|
| |||||||||
Wirelines – 2.2% |
| |||||||||
11,140,000 | AT&T, Inc., | 12,307,452 | ||||||||
14,095,000 | AT&T, Inc., | 15,652,706 | ||||||||
7,545,000 | Bell Canada, Inc., MTN, | 7,435,011 | ||||||||
4,370,000 | Bell Canada, Inc., MTN, | 4,242,893 | ||||||||
1,240,000 | CenturyLink, Inc., | 1,317,562 | ||||||||
28,385,000 | CenturyLink, Inc., Series S, | 29,711,999 | ||||||||
7,940,000 | CenturyLink, Inc., Series W, | 8,863,025 | ||||||||
350,000 | Cincinnati Bell Telephone Co. LLC, | 359,306 | ||||||||
2,160,000 | Cincinnati Bell, Inc., | 2,289,600 | ||||||||
30,646,000 | Telecom Italia Capital S.A., | 32,867,835 | ||||||||
16,440,000 | Telecom Italia Capital S.A., | 18,248,400 | ||||||||
14,223,000 | Verizon Communications, Inc., | 16,148,367 | ||||||||
6,309,000 | Windstream Services LLC/Windstream Finance Corp., | 2,397,420 | ||||||||
8,865,000 | Windstream Services LLC/Windstream Finance Corp., | 3,457,350 | ||||||||
|
| |||||||||
155,298,926 | ||||||||||
|
| |||||||||
TotalNon-Convertible Bonds | 4,570,201,844 | |||||||||
|
| |||||||||
Convertible Bonds – 4.9% | ||||||||||
Cable Satellite – 2.1% |
| |||||||||
14,660,000 | DISH Network Corp., | 13,386,046 | ||||||||
139,495,000 | DISH Network Corp., | 134,180,240 | ||||||||
|
| |||||||||
147,566,286 | ||||||||||
|
| |||||||||
Independent Energy – 0.5% |
| |||||||||
43,802,000 | Chesapeake Energy Corp., | 20,866,573 | ||||||||
10,955,000 | SM Energy Co., | 10,370,968 |
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Convertible Bonds – continued | ||||||||||
Independent Energy – continued |
| |||||||||
$ | 2,827,000 | Whiting Petroleum Corp., | $ | 2,759,402 | ||||||
|
| |||||||||
33,996,943 | ||||||||||
|
| |||||||||
Leisure – 0.4% |
| |||||||||
27,795,000 | Rovi Corp., | 27,339,996 | ||||||||
|
| |||||||||
Pharmaceuticals – 0.0% |
| |||||||||
870,000 | BioMarin Pharmaceutical, Inc., | 919,154 | ||||||||
715,000 | BioMarin Pharmaceutical, Inc., | 776,709 | ||||||||
|
| |||||||||
1,695,863 | ||||||||||
|
| |||||||||
REITs - Diversified – 0.2% |
| |||||||||
14,245,000 | iStar, Inc., | 15,973,286 | ||||||||
|
| |||||||||
Technology – 1.7% |
| |||||||||
10,415,000 | Booking Holdings, Inc., | 12,001,980 | ||||||||
8,835,000 | Evolent Health, Inc., | 7,918,916 | ||||||||
23,990,000 | Nuance Communications, Inc., | 24,197,513 | ||||||||
11,265,000 | Nuance Communications, Inc., | 12,508,318 | ||||||||
39,710,000 | Nuance Communications, Inc., | 41,851,768 | ||||||||
17,000,000 | Western Digital Corp., | 16,649,375 | ||||||||
|
| |||||||||
115,127,870 | ||||||||||
|
| |||||||||
Total Convertible Bonds | 341,700,244 | |||||||||
|
| |||||||||
Municipals – 1.9% | ||||||||||
Illinois – 0.3% |
| |||||||||
17,570,000 | State of Illinois, | 18,940,987 | ||||||||
|
| |||||||||
Michigan – 0.1% |
| |||||||||
8,470,000 | Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, | 8,766,535 | ||||||||
|
| |||||||||
Puerto Rico – 0.6% |
| |||||||||
63,900,000 | Commonwealth of Puerto Rico, GO, Refunding, Series A, | 40,656,375 | ||||||||
|
| |||||||||
Virginia – 0.9% |
| |||||||||
68,715,000 | Tobacco Settlement Financing Corp., SeriesA-1, | 66,182,852 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Municipals – continued | ||||||||||
Total Municipals | $ | 134,546,749 | ||||||||
|
| |||||||||
Total Bonds and Notes | 5,046,448,837 | |||||||||
|
| |||||||||
Senior Loans – 0.9% | ||||||||||
Construction Machinery – 0.5% | ||||||||||
$ | 15,562,263 | Onsite Rental Group Pty Ltd., Term Loan B, | 15,173,206 | |||||||
21,276,992 | Onsite Rental Group Pty Ltd., Note, | 18,936,523 | ||||||||
|
| |||||||||
34,109,729 | ||||||||||
|
| |||||||||
Media Entertainment – 0.2% |
| |||||||||
16,465,115 | iHeartCommunications, Inc., Exit Term Loan, | 16,581,688 | ||||||||
|
| |||||||||
Oil Field Services – 0.1% |
| |||||||||
2,820,657 | PetroleumGeo-Services ASA, New Term Loan B, | 2,654,238 | ||||||||
|
| |||||||||
Technology – 0.1% |
| |||||||||
9,507,380 | IQOR U.S., Inc., 2nd Lien Term Loan, | 5,829,260 | ||||||||
|
| |||||||||
Total Senior Loans | 59,174,915 | |||||||||
|
| |||||||||
Shares | ||||||||||
Common Stocks – 11.3% | ||||||||||
Chemicals – 0.1% | ||||||||||
664,252 | Hexion Holdings Corp., Class B(e) | 8,469,213 | ||||||||
|
| |||||||||
Diversified Telecommunication Services – 4.4% | ||||||||||
7,868,481 | AT&T, Inc. | 307,500,237 | ||||||||
|
| |||||||||
Electronic Equipment, Instruments & Components – 1.0% | ||||||||||
2,511,351 | Corning, Inc. | 73,105,428 | ||||||||
|
| |||||||||
Media – 0.2% | ||||||||||
2,500,188 | Clear Channel Outdoor Holdings, Inc.(e) | 7,150,537 | ||||||||
279,162 | iHeartMedia, Inc., Class A(e) | 4,717,838 | ||||||||
110,654 | Thryv Holdings, Inc.(b)(c)(e)(f) | 733,083 | ||||||||
|
| |||||||||
12,601,458 | ||||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels – 0.1% |
| |||||||||
2,400,565 | Bellatrix Exploration Ltd.(a)(b)(c)(d)(e)(h) | — | ||||||||
846,398 | Chesapeake Energy Corp.(e) | 698,786 | ||||||||
5,886 | Frontera Energy Corp. | 44,421 | ||||||||
9,229 | Halcon Resources Corp.(a)(c)(d)(e) | 132,252 | ||||||||
156,902 | Paragon Offshore Ltd., Litigation Units, Class A(a)(b)(c)(d)(e) | 1,569 | ||||||||
225,503 | Paragon Offshore Ltd., Litigation Units, Class B(b)(e) | 3,344,886 |
Shares | Description | Value (†) | ||||||||
Common Stocks – continued | ||||||||||
Oil, Gas & Consumable Fuels – continued |
| |||||||||
1,514 | Southcross Holdings Group LLC(b)(e) | $ | — | |||||||
1,514 | Southcross Holdings LP, Class A(b) | 102,952 | ||||||||
|
| |||||||||
4,324,866 | ||||||||||
|
| |||||||||
Pharmaceuticals – 5.2% |
| |||||||||
5,651,190 | Bristol-Myers Squibb Co. | 362,749,886 | ||||||||
|
| |||||||||
REITs - Diversified – 0.3% |
| |||||||||
1,341,478 | iStar, Inc. | 19,464,846 | ||||||||
|
| |||||||||
Specialty Retail – 0.0% |
| |||||||||
11,662,687 | Onsite Rental Group Pty Ltd.(a)(b)(c)(d)(e) | — | ||||||||
|
| |||||||||
Total Common Stocks | 788,215,934 | |||||||||
|
| |||||||||
Preferred Stocks – 0.9% | ||||||||||
Convertible Preferred Stocks – 0.7% | ||||||||||
Banking – 0.2% |
| |||||||||
8,447 | Bank of America Corp., Series L, | 12,239,703 | ||||||||
|
| |||||||||
Communications – 0.0% |
| |||||||||
3,704 | Cincinnati Bell, Inc., Series B, | 175,940 | ||||||||
|
| |||||||||
Independent Energy – 0.2% |
| |||||||||
172,972 | Chesapeake Energy Corp., | 3,545,926 | ||||||||
240,916 | Chesapeake Energy Corp., | 4,252,167 | ||||||||
32,522 | Chesapeake Energy Corp., Series A, | 5,580,450 | ||||||||
|
| |||||||||
13,378,543 | ||||||||||
|
| |||||||||
Midstream – 0.3% |
| |||||||||
43,178 | Chesapeake Energy Corp., | 7,403,732 | ||||||||
6,017 | Chesapeake Energy Corp., | 1,031,735 | ||||||||
23,928 | Chesapeake Energy Corp., | 4,105,805 | ||||||||
242,297 | El Paso Energy Capital Trust I, | 12,468,604 | ||||||||
|
| |||||||||
25,009,876 | ||||||||||
|
| |||||||||
Total Convertible Preferred Stocks | 50,804,062 | |||||||||
|
| |||||||||
Non-Convertible Preferred Stocks – 0.2% | ||||||||||
Finance Companies – 0.0% |
| |||||||||
10,425 | iStar, Inc., Series G, | 266,046 | ||||||||
|
|
Shares | Description | Value (†) | ||||||||
Preferred Stocks – continued | ||||||||||
Non-Convertible Preferred Stocks – continued | ||||||||||
Home Construction – 0.0% |
| |||||||||
208,246 | Hovnanian Enterprises, Inc., | $ | 1,093,292 | |||||||
|
| |||||||||
REITs - Office Property – 0.1% |
| |||||||||
1,596 | Highwoods Properties, Inc., Series A, | 1,995,000 | ||||||||
|
| |||||||||
REITs - Warehouse/Industrials – 0.1% |
| |||||||||
116,192 | Prologis, Inc., Series Q, | 8,249,632 | ||||||||
|
| |||||||||
TotalNon-Convertible Preferred Stocks | 11,603,970 | |||||||||
|
| |||||||||
Total Preferred Stocks | 62,408,032 | |||||||||
|
| |||||||||
Closed-End Investment Companies – 0.0% | ||||||||||
170,282 | NexPoint Strategic Opportunities Fund | 3,015,694 | ||||||||
|
| |||||||||
Warrants – 0.2% | ||||||||||
751,946 | iHeartMedia, Inc., Expiration on 5/1/2039(e) | 11,067,893 | ||||||||
|
| |||||||||
Principal Amount (‡) | ||||||||||
Short-Term Investments – 14.0% | ||||||||||
$ | 10,070,157,559 | Central Bank of Iceland, | 83,221,004 | |||||||
159,066,696 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $159,074,649 on 1/02/2020 collateralized by $31,345,000 U.S. Treasury Note, 1.875% due 7/31/2022 valued at $31,808,655; $29,590,000 U.S. Treasury Note, 2.500% due 3/31/2023 valued at $30,601,712; $94,925,000 U.S. Treasury Note, 2.875% due 9/30/2023 valued at $99,839,267 including accrued interest(m) | 159,066,696 | ||||||||
150,000,000 | U.S. Treasury Bills, | 149,421,771 | ||||||||
70,870,000 | U.S. Treasury Bills, | 70,575,743 | ||||||||
215,435,000 | U.S. Treasury Bills, | 214,677,082 | ||||||||
300,000,000 | U.S. Treasury Bills, | 299,295,333 | ||||||||
|
| |||||||||
Total Short-Term Investments | 976,257,629 | |||||||||
|
| |||||||||
Total Investments – 99.6% | 6,946,588,934 | |||||||||
Other assets less liabilities – 0.4% | 30,156,871 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 6,976,745,805 | ||||||||
|
|
(†) | 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.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.
As of December 31, 2019, securities held by the Fund were fair valued as follows:
Securities classified as fair valued | Percentage of Net Assets | Securities fair valued by the Fund’s adviser | Percentage of Net Assets | |||
$321,570,028 | 4.6% | $27,893,866 | 0.4% |
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 25. |
(†††) | Amount shown represents units. One unit represents a principal amount of 100. |
(a) | Level 3 security. Value has been determined using significant unobservable inputs. |
(b) | 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 | |||||||||||||
Bellatrix Exploration Ltd., 8.500% | 6/04/2019 | $ | 5,869,220 | $ | 3,593,400 | 0.1 | % | |||||||||
Bellatrix Exploration Ltd., 12.500% (9.500% PIK, 3.000% Cash) | 6/04/2019 | 4,307,160 | — | — | ||||||||||||
Bellatrix Exploration Ltd. | 6/04/2019 | 3,016,862 | — | — | ||||||||||||
GCA2014 Holdings Ltd., Series2014-1, Class C | 12/18/2014 | 22,081,373 | 18,391,576 | 0.3 | % | |||||||||||
GCA2014 Holdings Ltd., Series2014-1, Class D | 12/18/2014 | 9,746,953 | 5,775,069 | 0.1 | % | |||||||||||
GCA2014 Holdings Ltd., Series2014-1, Class E | 12/18/2014 | 32,732,982 | — | — | ||||||||||||
Onsite Rental Group Pty Ltd. | 10/26/2017 | — | — | — |
Onsite Rental Group Pty Ltd., Note | 10/26/2017 | 15,532,204 | 18,936,523 | 0.3 | % | |||||||||||
Paragon Offshore Ltd., Litigation Units, Class B | 7/18/2017 | 22,768,653 | 3,344,886 | Less than 0.1 | % | |||||||||||
Paragon Offshore Ltd., Litigation Units, Class A | 7/18/2017 | 1,167,146 | 1,569 | Less than 0.1 | % | |||||||||||
Southcross Holdings Group LLC | 4/29/2016 | — | — | — | ||||||||||||
Southcross Holdings LP, Class A | 4/29/2016 | 2,215,133 | 102,952 | Less than 0.1 | % | |||||||||||
Thryv Holdings, Inc. | 8/12/2016 | 539,031 | 733,083 | Less than 0.1 | % |
(c) | Illiquid security. |
(d) | Fair valued by the Fund’s adviser. At December 31, 2019, the value of these securities amounted to $27,893,866 or 0.4% of net assets. |
(e) | Non-income producing security. |
(f) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2019, the value of these securities amounted to $321,570,028 or 4.6% of net assets. |
(g) | Variable rate security. Rate as of December 31, 2019 is disclosed. |
(h) | Affiliated issuer. |
(i) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(j) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were made during the period. |
(k) | Perpetual bond with no specified maturity date. |
(l) | Security callable by issuer at any time. No specified maturity date. |
(m) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements aretri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of 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. |
(n) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(o) | The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
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 $808,705,071 or 11.6% of net assets. | |
ABS | Asset-Backed Securities | |
EMTN | Euro Medium Term Note | |
GMTN | Global Medium Term Note | |
GO | General Obligation | |
LIBOR | London Interbank Offered Rate | |
MBIA | Municipal Bond Investors Assurance Corp. | |
MTN | Medium Term Note | |
PIK | Payment-in-Kind | |
REITs | Real Estate Investment Trusts | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
ISK | Icelandic Krona | |
MXN | Mexican Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar |
As a result of a business restructuring, the Fund received common stock shares of Bellatrix Exploration Ltd. (the “Company”) which constitutes more than 5% of the voting securities of the Company. As such, the Company is considered to be an affiliate. A summary of affiliated transactions for the period ended December 31, 2019, is as follows:
Beginning Value | Purchase Cost | Sales Proceeds | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Ending Value | Investment Income | |||||||||||||||||||||||||
Bellatrix Exploration Ltd., 8.500% | $ | 3,593,400 | $ | — | $ | — | $ | 6,105 | $ | — | $ | (6,105 | ) | $ | 3,593,400 | $ | — | |||||||||||||||
Bellatrix Exploration Ltd., 12.500% (9.500% PIK, 3.000% Cash) | — | — | — | 74,408 | — | (74,408 | ) | — | — | |||||||||||||||||||||||
Bellatrix Exploration Ltd. | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
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|
|
|
|
|
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|
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| |||||||||||||||||
$ | 3,593,400 | $ | — | $ | — | $ | 80,513 | $ | — | $ | (80,513 | ) | $ | 3,593,400 | $ | — | ||||||||||||||||
|
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|
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 — quoted prices in active markets for identical assets or liabilities; |
• | Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
ABS Other | $ | — | $ | 7,355,291 | $ | 24,166,645 | (a)(b) | $ | 31,521,936 | |||||||
Finance Companies | 2,632,570 | 261,941,360 | — | 264,573,930 | ||||||||||||
Independent Energy | — | 269,788,051 | 3,593,400 | (b)(c) | 273,381,451 | |||||||||||
All OtherNon-Convertible Bonds* | — | 4,000,724,527 | — | 4,000,724,527 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TotalNon-Convertible Bonds | 2,632,570 | 4,539,809,229 | 27,760,045 | 4,570,201,844 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds* | — | 341,700,244 | — | 341,700,244 | ||||||||||||
Municipals* | — | 134,546,749 | — | 134,546,749 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | 2,632,570 | 5,016,056,222 | 27,760,045 | 5,046,448,837 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Senior Loans* | — | 59,174,915 | — | 59,174,915 | ||||||||||||
Common Stocks | ||||||||||||||||
Chemicals | — | 8,469,213 | — | 8,469,213 | ||||||||||||
Media | 11,868,375 | 733,083 | — | 12,601,458 | ||||||||||||
Oil, Gas & Consumable Fuels | 743,207 | 3,447,838 | 133,821 | (b)(c) | 4,324,866 | |||||||||||
Specialty Retail | — | — | — | (b)(c) | — | |||||||||||
All Other Common Stocks* | 762,820,397 | — | — | 762,820,397 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 775,431,979 | 12,650,134 | 133,821 | 788,215,934 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Independent Energy | 3,545,926 | — | 9,832,617 | (d) | 13,378,543 | |||||||||||
Midstream | 12,468,604 | — | 12,541,272 | (d) | 25,009,876 | |||||||||||
All Other Convertible Preferred Stocks* | 12,415,643 | — | — | 12,415,643 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Convertible Preferred Stocks | 28,430,173 | — | 22,373,889 | 50,804,062 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Non-Convertible Preferred Stocks | ||||||||||||||||
REITs - Office Property | — | 1,995,000 | — | 1,995,000 | ||||||||||||
REITs - Warehouse/Industrials | — | 8,249,632 | — | 8,249,632 | ||||||||||||
All OtherNon-Convertible Preferred Stocks* | 1,359,338 | — | — | 1,359,338 | ||||||||||||
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TotalNon-Convertible Preferred Stocks | 1,359,338 | 10,244,632 | — | 11,603,970 | ||||||||||||
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Total Preferred Stocks | 29,789,511 | 10,244,632 | 22,373,889 | 62,408,032 | ||||||||||||
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Closed-End Investment Companies | 3,015,694 | — | — | 3,015,694 | ||||||||||||
Warrants | — | 11,067,893 | — | 11,067,893 | ||||||||||||
Short-Term Investments | — | 976,257,629 | — | 976,257,629 | ||||||||||||
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Total | $ | 810,869,754 | $ | 6,085,451,425 | $ | 50,267,755 | $ | 6,946,588,934 | ||||||||
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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 using a broker-dealer bid price provided by a single market maker. |
(b) | Includes a security fair valued at zero by the Fund’s adviser using Level 3 inputs. |
(c) | Fair valued by the Fund’s adviser. |
(d) | Valued using broker-dealer bid prices. |
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. 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 Other | $ | 23,351,916 | (a) | $ | — | $ | — | $ | 880,970 | $ | 64,549 | $ | (130,790 | ) | $ | — | $ | — | $ | 24,166,645 | (a) | $ | 856,381 | |||||||||||||||||
Independent Energy | 3,593,400 | (a) | 80,514 | — | (80,514 | ) | — | — | — | — | 3,593,400 | (a) | (80,513 | ) | ||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | 1,569 | (a) | — | (150 | ) | (1,361,155 | ) | 1,493,557 | — | — | — | 133,821 | (a) | (1,361,155 | ) | |||||||||||||||||||||||||
Specialty Retail | — | (a) | — | — | — | — | — | — | — | — | (a) | — | ||||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Independent Energy | 11,391,481 | — | — | (10,713,672 | ) | — | — | 9,154,808 | — | 9,832,617 | (10,713,672 | ) | ||||||||||||||||||||||||||||
Midstream | 25,613,285 | — | — | (13,072,013 | ) | — | — | — | — | 12,541,272 | (13,072,013 | ) | ||||||||||||||||||||||||||||
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Total | $ | 63,951,651 | $ | 80,514 | $ | (150 | ) | $ | (24,346,384 | ) | $ | 1,558,106 | $ | (130,790 | ) | $ | 9,154,808 | $ | — | $ | 50,267,755 | $ | (24,370,972 | ) | ||||||||||||||||
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(a) | Includes a security fair valued at zero by the Fund’s adviser using Level 3 Inputs. |
A preferred stock valued at $9,154,808 was transferred from Level 2 to Level 3 during the period ended December 31, 2019. At September 30, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2019, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.
All transfers are recognized as of the beginning of the reporting period.
Industry Summary at December 31, 2019 (Unaudited)
Treasuries | 26.3 | % | ||
Pharmaceuticals | 5.2 | |||
Banking | 5.1 | |||
Independent Energy | 4.6 | |||
Diversified Telecommunication Services | 4.4 | |||
Healthcare | 4.4 | |||
Finance Companies | 3.8 | |||
Cable Satellite | 3.4 | |||
Oil Field Services | 2.7 | |||
Technology | 2.5 | |||
Wirelines | 2.2 | |||
Other Investments, less than 2% each | 21.0 | |||
Short-Term Investments | 14.0 | |||
Closed-End Investment Companies | 0.0 | * | ||
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Total Investments | 99.6 | |||
Other assets less liabilities | 0.4 | |||
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Net Assets | 100.0 | % | ||
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* | Less than 0.1% |
Currency Exposure Summary at December 31, 2019 (Unaudited)
United States Dollar | 80.5 | % | ||
Mexican Peso | 6.7 | |||
Canadian Dollar | 4.8 | |||
Australian Dollar | 2.9 | |||
Other, less than 2% each | 4.7 | |||
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Total Investments | 99.6 | |||
Other assets less liabilities | 0.4 | |||
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Net Assets | 100.0 | % | ||
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