PORTFOLIO OF INVESTMENTS – as of March 31, 2020 (Unaudited)
Loomis Sayles Investment Grade Bond Fund
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – 89.2% of Net Assets | ||||||||
Non-Convertible Bonds – 88.1% | ||||||||
ABS Car Loan – 7.2% |
| |||||||
$ 3,418,847 | Ally Auto Receivables Trust, Series2017-3, Class A3, | $ | 3,415,882 | |||||
16,590,000 | Ally Auto Receivables Trust, Series2019-1, Class A3, | 16,872,644 | ||||||
13,085,000 | Ally Auto Receivables Trust, Series2019-4, Class A3, | 13,162,162 | ||||||
7,865,000 | American Credit Acceptance Receivables Trust, Series2019-3, Class D, | 7,394,762 | ||||||
1,965,000 | AmeriCredit Automobile Receivables Trust, Series2018-2, Class D, | 1,594,022 | ||||||
10,515,000 | AmeriCredit Automobile Receivables Trust, Series2018-3, Class D, | 10,611,263 | ||||||
25,880,000 | AmeriCredit Automobile Receivables Trust, Series2019-1, Class D, | 25,760,753 | ||||||
12,340,000 | AmeriCredit Automobile Receivables Trust, Series2019-2, Class D, | 12,042,606 | ||||||
3,650,000 | CarMax Auto Owner Trust, Series2018-3, Class D, | 3,675,032 | ||||||
13,585,000 | CarMax Auto Owner Trust, Series2019-1, Class D, | 13,839,163 | ||||||
5,811,000 | CarMax Auto Owner Trust, Series2019-2, Class D, | 5,821,825 | ||||||
2,315,000 | CarMax Auto Owner Trust, Series2019-3, Class D, | 2,300,961 | ||||||
4,625,000 | CarMax Auto Owner Trust, Series2020-1, Class D, | 4,228,184 | ||||||
1,800,000 | Credit Acceptance Auto Loan Trust, Series2017-3A, Class C, | 1,788,317 | ||||||
23,320,000 | Credit Acceptance Auto Loan Trust, Series2019-1A, Class C, | 22,805,521 | ||||||
6,555,000 | Drive Auto Receivables Trust, Series2018-5, Class D, | 6,479,007 | ||||||
16,395,000 | Drive Auto Receivables Trust, Series2019-1, Class D, | 16,243,687 | ||||||
3,700,000 | Drive Auto Receivables Trust, Series2019-2, Class D, | 3,550,294 | ||||||
10,760,000 | DT Auto Owner Trust, Series2019-1A, Class D, | 10,627,707 | ||||||
3,950,000 | DT Auto Owner Trust, Series2019-2A, Class D, | 3,682,364 | ||||||
3,400,000 | DT Auto Owner Trust, Series2019-3A, Class D, | 3,274,212 | ||||||
3,790,000 | First Investors Auto Owner Trust, Series2019-1A, Class D, | 3,613,157 | ||||||
4,610,000 | Flagship Credit Auto Trust, Series2019-3, Class D, | 4,101,680 | ||||||
1,039,126 | Ford Credit Auto Owner Trust, Series2017-B, Class A3, | 1,033,832 | ||||||
12,537,696 | Ford Credit Auto Owner Trust, Series2018-A, Class A3, | 12,535,896 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Car Loan – continued |
| |||||||
$ 8,555,000 | GLS Auto Receivables Trust, Series2019-A, Class C, | $ | 7,406,160 | |||||
2,000,000 | GM Financial Consumer Automobile Receivables Trust, Series2018-3, Class A3, | 2,023,791 | ||||||
15,645,000 | GM Financial Consumer Automobile Receivables Trust, Series2019-1, Class A3, | 15,772,613 | ||||||
6,255,000 | GM Financial Consumer Automobile Receivables Trust, Series2020-1, Class A3, | 6,256,176 | ||||||
587,718 | Honda Auto Receivables Owner Trust, Series2017-2, Class A3, | 586,287 | ||||||
3,925,000 | Honda Auto Receivables Owner Trust, Series2017-2, Class A4, | 3,919,464 | ||||||
18,000,000 | Honda Auto Receivables Owner Trust, Series2018-4, Class A3, | 18,283,163 | ||||||
5,925,000 | Honda Auto Receivables Owner Trust, Series2019-1, Class A3, | 6,020,392 | ||||||
6,655,000 | Nissan Auto Receivables Owner Trust, Series2019-C, Class A3, | 6,720,635 | ||||||
27,665,000 | Santander Drive Auto Receivables Trust, Series2019-1, Class D, | 26,103,427 | ||||||
6,995,000 | Santander Drive Auto Receivables Trust, Series2019-2, Class D, | 6,913,821 | ||||||
8,455,000 | Santander Drive Auto Receivables Trust, Series2019-3, Class D, | 8,035,699 | ||||||
3,139,029 | Toyota Auto Receivables Owner Trust, Series2017-B, Class A3, | 3,135,605 | ||||||
9,447,185 | Toyota Auto Receivables Owner Trust, Series2017-D, Class A3, | 9,443,843 | ||||||
20,139,404 | Toyota Auto Receivables Owner Trust, Series2018-A, Class A3, | 20,173,420 | ||||||
1,224,441 | Toyota Auto Receivables Owner Trust, Series2018-C, Class A2A, | 1,225,527 | ||||||
15,495,000 | Westlake Automobile Receivables Trust, Series2019-1A, Class D, | 13,723,111 | ||||||
|
| |||||||
366,198,067 | ||||||||
|
| |||||||
ABS Credit Card – 0.8% |
| |||||||
8,000,000 | American Express Credit Account Master Trust, Series2019-1, Class A, | 8,243,024 | ||||||
5,945,000 | Capital One Multi-Asset Execution Trust, Series2015-A2, Class A2, | 5,941,089 | ||||||
6,170,000 | Capital One Multi-Asset Execution Trust, Series2017-A4, Class A4, | 6,173,701 | ||||||
11,730,000 | Capital One Multi-Asset Execution Trust, Series2019-A1, Class A1, | 12,062,329 | ||||||
7,915,000 | Chase Issuance Trust, Series2015-A4, Class A4, | 7,908,665 | ||||||
|
| |||||||
40,328,808 | ||||||||
|
| |||||||
ABS Home Equity – 5.5% |
| |||||||
15,451,000 | American Homes 4 Rent, Series 2015-SFR1, Class E, | 14,140,684 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Home Equity – continued |
| |||||||
$ 503,435 | Bayview Opportunity Master Fund IVa Trust, Series2019-RN2, Class A1, | $ | 500,963 | |||||
3,035,727 | Bayview Opportunity Master Fund IVb Trust, Series2019-RN4, Class A1, | 2,644,679 | ||||||
5,544,209 | Brass PLC, Series 8A, Class A1, | 5,473,005 | ||||||
5,330,825 | Citigroup Mortgage Loan Trust, Series2019-B, Class A1, | 5,255,359 | ||||||
7,603,824 | Citigroup Mortgage Loan Trust, Series2019-RP1, Class A1, | 7,704,267 | ||||||
2,929,000 | Colony American Finance Ltd., Series2019-3, Class B, | 2,289,764 | ||||||
2,434,000 | CoreVest American Finance Trust, Series2019-1, Class D, | 2,057,081 | ||||||
5,493,184 | Corevest American Finance Trust, Series2019-3, Class A, | 5,212,081 | ||||||
5,667,527 | GCAT LLC, Series2020-1, Class A1, | 5,568,572 | ||||||
6,002,886 | GCAT Trust, Series2019-3, Class A1, | 5,952,770 | ||||||
8,699,787 | GCAT Trust, Series 2019-RPL1, Class A1, | 8,576,557 | ||||||
846,762 | Gosforth Funding PLC, Series2018-1A, Class A1, | 829,304 | ||||||
1,803,632 | Grand Avenue Mortgage Loan Trust, Series 2017-RPL1, Class A1, | 1,695,324 | ||||||
2,864,668 | Home Partners of America Trust, Series2019-1, Class D, | 2,649,586 | ||||||
2,621,863 | Home Partners of America Trust, Series2019-2, Class D, | 2,320,233 | ||||||
13,693,714 | Invitation Homes Trust, Series 2018-SFR3, Class A, | 12,700,325 | ||||||
3,050,000 | Invitation Homes Trust, Series 2018-SFR4, Class D, | 2,511,731 | ||||||
3,792,500 | Lanark Master Issuer PLC, Series2019-1A, Class 1A1, | 3,765,497 | ||||||
7,020,000 | Lanark Master Issuer PLC, Series2019-2A, Class 1A, | 7,171,730 | ||||||
895,000 | Lanark Master Issuer PLC, Series2020-1A, Class 1A, | 908,870 | ||||||
9,354,127 | Legacy Mortgage Asset Trust, Series2019-GS7, Class A1, | 9,441,082 | ||||||
4,010,879 | Legacy Mortgage Asset Trust, Series2019-GS3, Class A1, | 3,918,087 | ||||||
8,187,346 | Legacy Mortgage Asset Trust, Series2020-GS1, Class A1, | 7,830,706 | ||||||
4,821,070 | Mill City Mortgage Loan Trust, Series2019-1, Class A1, | 4,863,791 | ||||||
11,745,847 | Mill City Mortgage Loan Trust, Series2019-GS1, Class A1, | 11,421,575 | ||||||
6,002,876 | Onslow Bay Financial LLC , Series 2019-EXP3, Class 1A8, | 5,930,080 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Home Equity – continued |
| |||||||
$ 5,894,231 | OSW Structured Asset Trust, Series 2020-RPL1, Class A1, | $ | 5,635,020 | |||||
3,148,745 | Preston Ridge Partners Mortgage LLC, Series2019-3A, Class A1, | 3,107,508 | ||||||
5,373,401 | Preston Ridge Partners Mortgage LLC, Series2019-4A, Class A1, | 5,198,959 | ||||||
12,731,201 | Preston Ridge Partners Mortgage LLC, Series2020-1A, Class A1, | 10,061,304 | ||||||
3,708,000 | Progress Residential Trust, Series 2017-SFR2, Class E, | 3,434,046 | ||||||
1,332,000 | Progress Residential Trust, Series 2018-SFR2, Class E, | 1,198,310 | ||||||
2,290,000 | Progress Residential Trust, Series 2018-SFR3, Class D, | 2,198,264 | ||||||
2,830,000 | Progress Residential Trust, Series 2019-SFR1, Class D, | 2,678,899 | ||||||
4,732,000 | Progress Residential Trust, Series 2019-SFR2, Class D, | 4,405,050 | ||||||
3,860,000 | Progress Residential Trust, Series 2019-SFR4, Class D, | 3,467,520 | ||||||
5,372,094 | RCO V Mortgage LLC, Series2019-1, Class A1, | 5,107,911 | ||||||
2,910,109 | Sequoia Mortgage Trust, Series2017-CH2, Class A1, | 2,912,997 | ||||||
5,708,904 | Sequoia Mortgage Trust, Series2019-CH2, Class A1, | 5,683,717 | ||||||
4,930,000 | Towd Point Mortgage Trust, Series2017-4, Class M2, | 4,333,707 | ||||||
3,428,024 | Towd Point Mortgage Trust, Series2015-2, Class 1A13, | 3,402,594 | ||||||
1,321,638 | Towd Point Mortgage Trust, Series2016-1, Class A1B, | 1,316,308 | ||||||
1,775,000 | Towd Point Mortgage Trust, Series2018-4, Class A2, | 1,522,744 | ||||||
12,015,000 | Towd Point Mortgage Trust, Series2019-2, Class M1, | 10,191,850 | ||||||
10,522,454 | Towd Point Mortgage Trust, Series2019-4, Class A1, | 10,294,447 | ||||||
3,325,000 | Towd Point Mortgage Trust, Series2020-1, Class A2B, | 3,084,360 | ||||||
2,575,000 | Tricon American Homes Trust, Series 2019-SFR1, Class D, | 2,132,002 | ||||||
11,797,820 | Vericrest Opportunity Loan Trust, Series 2019-NPL8, Class A1A, | 10,497,532 | ||||||
11,969,906 | Vericrest Opportunity Loan Trust, Series 2019-NPL5, Class A1A, | 10,087,699 | ||||||
4,428,257 | Vericrest Opportunity Loan Trust, Series 2019-NPL9, Class A1A, | 3,917,473 | ||||||
8,964,755 | Vericrest Opportunity Loan Trust, Series 2020-NPL1, Class A1A, | 7,897,643 | ||||||
5,670,801 | Vericrest Opportunity Loan Trust, Series 2020-NPL2, Class A1A, | 4,658,971 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Home Equity – continued |
| |||||||
$ 11,020,646 | Vericrest Opportunity Loan Trust, Series 2020-NPL3, Class A1A, | $ | 10,071,691 | |||||
|
| |||||||
281,832,229 | ||||||||
|
| |||||||
ABS Other – 3.3% |
| |||||||
39,262,848 | FAN Engine Securitization Ltd., Series2013-1A, Class 1A, | 37,909,065 | ||||||
12,086,475 | Horizon Aircraft Finance I Ltd., Series2018-1, Class A, | 8,848,530 | ||||||
2,865,128 | Horizon Aircraft Finance II Ltd., Series2019-1, Class A, | 2,004,252 | ||||||
1,975,000 | HPEFS Equipment Trust, Series2019-1A, Class C, | 1,935,228 | ||||||
2,975,000 | HPEFS Equipment Trust, Series2020-1A, Class D, | 2,704,721 | ||||||
7,871,786 | Kestrel Aircraft Funding Ltd., Series2018-1A, Class A, | 5,751,567 | ||||||
13,778,016 | MAPS Ltd., Series2018-1A, Class A, | 10,357,336 | ||||||
4,008,315 | MAPS Ltd., Series2019-1A, Class A, | 2,925,257 | ||||||
13,610,000 | Mariner Finance Issuance Trust, Series2018-AA, Class A, | 12,722,286 | ||||||
4,452,366 | Marlette Funding Trust, Series2019-4A, Class A, | 4,292,931 | ||||||
1,928,690 | Marlette Funding Trust, Series2019-1A, Class A, | 1,862,206 | ||||||
8,040,000 | OneMain Financial Issuance Trust, Series2019-1A, Class D, | 6,802,310 | ||||||
15,292,303 | S-Jets Ltd., Series2017-1, Class A, | 10,770,805 | ||||||
890,000 | SLM Private Credit Student Loan Trust, Series2003-C, Class A3, | 809,900 | ||||||
1,395,000 | SLM Private Credit Student Loan Trust, Series2003-C, Class A4, | 1,367,602 | ||||||
13,765,000 | SoFi Consumer Loan Program Trust, Series2019-1, Class C, | 12,099,915 | ||||||
3,659,000 | SoFi Consumer Loan Program Trust, Series2018-1, Class B, | 3,065,835 | ||||||
6,720,000 | SoFi Consumer Loan Program Trust, Series2018-4, Class C, | 6,055,154 | ||||||
918,185 | SoFi Consumer Loan Program Trust, Series2019-2, Class A, | 890,658 | ||||||
6,805,000 | SoFi Consumer Loan Program Trust, Series2019-2, Class C, | 5,247,482 | ||||||
2,836,660 | SoFi Consumer Loan Program Trust, Series2019-3, Class A, | 2,748,242 | ||||||
12,755,000 | SoFi Consumer Loan Program Trust, Series2019-3, Class C, | 10,696,201 | ||||||
7,370,000 | SoFi Consumer Loan Program Trust, Series2019-4, Class C, | 5,984,166 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Other – continued |
| |||||||
$ 12,318,464 | SpringCastle Funding Asset-Backed Notes, Series2019-AA, Class A, | $ | 11,542,172 | |||||
|
| |||||||
169,393,821 | ||||||||
|
| |||||||
ABS Student Loan – 1.5% |
| |||||||
10,620,275 | ELFI Graduate Loan Program LLC, Series2019-A, Class A, | 10,717,303 | ||||||
9,415,000 | Navient Private Education Refi Loan Trust, Series2019-CA, Class A2, | 9,268,774 | ||||||
6,910,000 | Navient Student Loan Trust, Series2018-EA, Class A2, | 7,149,351 | ||||||
744,000 | SLM Private Credit Student Loan Trust, Series2003-A, Class A3, | 688,142 | ||||||
549,000 | SLM Private Credit Student Loan Trust, Series2003-A, Class A4, | 536,483 | ||||||
1,081,000 | SLM Private Credit Student Loan Trust, Series2003-B, Class A3, | 1,072,488 | ||||||
741,000 | SLM Private Credit Student Loan Trust, Series2003-B, Class A4, | 674,310 | ||||||
2,500,000 | SMB Private Education Loan Trust, Series2015-C, Class B, | 2,590,572 | ||||||
565,000 | SMB Private Education Loan Trust, Series2018-B, Class B, | 524,324 | ||||||
1,525,000 | SMB Private Education Loan Trust, Series2018-C, Class B, | 1,620,579 | ||||||
10,385,000 | SMB Private Education Loan Trust, Series2019-A, Class A2A, | 9,846,901 | ||||||
16,265,000 | SMB Private Education Loan Trust, Series2019-B, Class A2A, | 15,370,947 | ||||||
771,176 | SoFi Professional Loan Program LLC, Series2018-C, Class A1FX, | 767,820 | ||||||
9,075,000 | SoFi Professional Loan Program LLC, Series2019-A, Class A2FX, | 8,782,196 | ||||||
8,217,000 | SoFi Professional Loan Program LLC, Series2019-C, Class A2FX, | 8,209,824 | ||||||
|
| |||||||
77,820,014 | ||||||||
|
| |||||||
ABS Whole Business – 2.0% |
| |||||||
10,213,257 | Adams Outdoor Advertising LP, Series2018-1, Class A, | 10,184,671 | ||||||
3,595,000 | Adams Outdoor Advertising LP, Series2018-1, Class B, | 3,465,529 | ||||||
26,111,625 | Coinstar Funding LLC, Series2017-1A, Class A2, | 24,594,059 | ||||||
7,242,273 | DB Master Finance LLC, Series2019-1A, Class A23, | 6,883,273 | ||||||
2,377,280 | Domino’s Pizza Master Issuer LLC, Series2017-1A, Class A23, | 2,301,492 | ||||||
132,975 | Domino’s Pizza Master Issuer LLC, Series2018-1A, Class A2I, | 128,390 | ||||||
5,231,335 | Domino’s Pizza Master Issuer LLC, Series2018-1A, Class A2II, | 4,951,092 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Whole Business – continued |
| |||||||
$ 4,024,913 | Domino’s Pizza Master Issuer LLC, Series2019-1A, Class A2, | $ | 3,589,498 | |||||
1,233,038 | Driven Brands Funding LLC, Series2018-1A, Class A2, | 1,192,853 | ||||||
3,450,150 | Driven Brands Funding LLC, Series2019-1A, Class A2, | 3,300,621 | ||||||
4,962,500 | Five Guys Funding LLC, Series2017-1A, Class A2, | 5,181,402 | ||||||
743,138 | Planet Fitness Master Issuer LLC, Series2019-1A, Class A2, | 673,353 | ||||||
17,537,925 | Stack Infrastructure Issuer LLC, Series2019-1A, Class A2, | 17,180,585 | ||||||
13,425,063 | Taco Bell Funding LLC, Series2018-1A, Class A2I, | 13,089,570 | ||||||
3,663,000 | Wingstop Funding LLC, Series2018-1, Class A2, | 3,522,084 | ||||||
|
| |||||||
100,238,472 | ||||||||
|
| |||||||
Aerospace & Defense – 3.0% |
| |||||||
3,780,000 | Boeing Co. (The), | 3,330,376 | ||||||
4,874,000 | Boeing Co. (The), | 4,568,113 | ||||||
655,000 | Boeing Co. (The), | 602,562 | ||||||
3,225,000 | Boeing Co. (The), | 2,971,118 | ||||||
235,000 | Boeing Co. (The), | 205,936 | ||||||
115,000 | Boeing Co. (The), | 99,949 | ||||||
4,535,000 | Boeing Co. (The), | 4,138,711 | ||||||
2,981,000 | Boeing Co. (The), | 2,684,334 | ||||||
4,795,000 | Boeing Co. (The), | 4,303,460 | ||||||
5,825,000 | Embraer Netherlands Finance BV, | 5,140,562 | ||||||
1,020,000 | Embraer Netherlands Finance BV, | 898,630 | ||||||
6,885,000 | Huntington Ingalls Industries, Inc., | 7,087,856 | ||||||
4,245,000 | Huntington Ingalls Industries, Inc., | 4,400,006 | ||||||
650,000 | Leonardo U.S. Holdings, Inc., | 747,500 | ||||||
1,335,000 | Spirit AeroSystems, Inc., | 1,134,486 | ||||||
29,075,000 | Textron, Inc., | 27,179,381 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Aerospace & Defense – continued |
| |||||||
$ 78,795,000 | Textron, Inc., | $ | 80,738,065 | |||||
225,000 | TransDigm, Inc., | 201,937 | ||||||
2,705,000 | TransDigm, Inc., | 2,694,856 | ||||||
|
| |||||||
153,127,838 | ||||||||
|
| |||||||
Airlines – 1.7% |
| |||||||
2,811,133 | Air Canada Pass Through Trust, Series2013-1, Class B, | 2,849,707 | ||||||
7,501,343 | American Airlines Pass Through Certificates, Series2016-1, Class B, | 7,541,609 | ||||||
1,687,628 | American Airlines Pass Through Certificates, Series2016-3, Class B, | 1,348,603 | ||||||
3,782,751 | American Airlines Pass Through Certificates, Series2017-2, Class B, | 3,226,147 | ||||||
1,882,463 | American Airlines Pass Through Trust, Series2015-2, Class B, | 1,593,584 | ||||||
22,651,757 | American Airlines Pass Through Trust, Series2019-1, Class B, | 17,101,171 | ||||||
6,855,000 | British Airways Pass Through Trust, Series2019-1, Class A, | 7,013,076 | ||||||
1,045,800 | Continental Airlines Pass Through Certificates, Series2012-1, Class B, | 1,041,366 | ||||||
324,173 | Continental Airlines Pass Through Trust, Series2001-1,Class A-1, | 333,502 | ||||||
999,864 | Delta Air Lines Pass Through Trust, Series2007-1, Class A, | 1,053,021 | ||||||
4,442,801 | Delta Air Lines Pass Through Trust, Series2007-1, Class B, | 4,552,066 | ||||||
858,872 | Latam Airlines Pass Through Trust, Series2015-1, Class B, | 558,267 | ||||||
12,013,843 | UAL Pass Through Trust, Series2007-1, Class A, | 11,565,246 | ||||||
24,981,273 | United Airlines Pass Through Trust, Series2016-2, Class B, | 22,030,485 | ||||||
2,654,461 | United Airlines Pass Through Trust, Series2018-1, Class A, | 2,539,071 | ||||||
|
| |||||||
84,346,921 | ||||||||
|
| |||||||
Automotive – 2.1% |
| |||||||
18,836,000 | Cummins, Inc., | 24,194,654 | ||||||
5,274,000 | Cummins, Inc., | 6,394,283 | ||||||
14,000,000 | Toyota Motor Credit Corp., | 13,996,929 | ||||||
38,060,000 | Toyota Motor Credit Corp., MTN, | 38,417,189 | ||||||
4,750,000 | Volkswagen Group of America Finance LLC, | 4,641,881 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Automotive – continued |
| |||||||
$ 12,005,000 | Volkswagen Group of America Finance LLC, | $ | 11,611,240 | |||||
7,565,000 | ZF North America Capital, Inc., | 6,345,031 | ||||||
|
| |||||||
105,601,207 | ||||||||
|
| |||||||
Banking – 10.0% |
| |||||||
70,000 | Ally Financial, Inc., | 63,000 | ||||||
39,613,000 | Ally Financial, Inc., | 37,859,332 | ||||||
2,355,000 | Ally Financial, Inc., | 2,303,661 | ||||||
1,468,000 | Ally Financial, Inc., | 1,662,510 | ||||||
49,304,000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), | 50,858,952 | ||||||
100,000 | Bank of America Corp., MTN, | 106,290 | ||||||
25,627,000 | Bank of America Corp., Series L, MTN, | 26,489,684 | ||||||
4,287,000 | Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), | 4,479,921 | ||||||
22,500,000 | BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), | 24,605,673 | ||||||
460,000 | Capital One Financial Corp., | 454,715 | ||||||
1,510,000 | CIT Group, Inc., | 1,487,350 | ||||||
1,110,000 | CIT Group, Inc., | 1,067,942 | ||||||
491,000 | CIT Group, Inc., | 478,725 | ||||||
17,000,000 | Citigroup, Inc., | 17,263,917 | ||||||
1,230,000 | Citigroup, Inc., | 1,258,599 | ||||||
1,660,000 | Citigroup, Inc., | 1,723,356 | ||||||
7,155,000 | Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), | 7,200,506 | ||||||
17,940,000 | Danske Bank A/S, | 18,421,461 | ||||||
14,200,000 | Danske Bank A/S, | 14,640,931 | ||||||
3,390,000 | Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), | 3,150,658 | ||||||
13,075,000 | Danske Bank A/S, (fixed rate to 9/20/2021, variable rate thereafter), | 13,016,231 | ||||||
2,640,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), | 2,164,800 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Banking – continued |
| |||||||
$ 4,820,000 | HSBC Holdings PLC, | $ | 5,263,432 | |||||
70,245,000 | JPMorgan Chase & Co., | 75,542,574 | ||||||
28,715,000 | JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), | 33,194,489 | ||||||
100,000 | KeyBank NA, | 120,055 | ||||||
5,900,000 | Morgan Stanley, | 6,055,885 | ||||||
36,905,000 | Morgan Stanley, (fixed rate to 3/24/2050, variable rate thereafter), | 51,183,513 | ||||||
1,845,000 | Morgan Stanley, GMTN, | 1,954,355 | ||||||
20,695,000 | Morgan Stanley, MTN, | 21,123,330 | ||||||
15,160,000 | Santander Holdings USA, Inc., | 13,435,939 | ||||||
20,295,000 | Societe Generale S.A., | 19,741,149 | ||||||
21,340,000 | Standard Chartered PLC, | 20,584,351 | ||||||
5,900,000 | Standard Chartered PLC, (fixed rate to 1/20/2022, variable rate thereafter), | 5,925,606 | ||||||
11,595,000 | Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), | 11,882,440 | ||||||
7,580,000 | Synchrony Financial, | 7,196,929 | ||||||
3,865,000 | Synchrony Financial, | 3,802,085 | ||||||
|
| |||||||
507,764,346 | ||||||||
|
| |||||||
Brokerage – 1.5% |
| |||||||
50,270,000 | Jefferies Group LLC, | 51,181,272 | ||||||
19,498,000 | Jefferies Group LLC, | 17,253,547 | ||||||
8,760,000 | Jefferies Group LLC, | 8,946,134 | ||||||
|
| |||||||
77,380,953 | ||||||||
|
| |||||||
Building Materials – 0.6% |
| |||||||
4,185,000 | Cemex SAB de CV, | 3,414,960 | ||||||
200,000 | Cemex SAB de CV, | 169,002 | ||||||
23,975,000 | Owens Corning, | 27,259,891 | ||||||
|
| |||||||
30,843,853 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Cable Satellite – 2.0% |
| |||||||
$ 2,826,000 | CCO Holdings LLC/CCO Holdings Capital Corp., | $ | 2,769,480 | |||||
315,000 | CCO Holdings LLC/CCO Holdings Capital Corp., | 307,188 | ||||||
550,000 | CCO Holdings LLC/CCO Holdings Capital Corp., | 565,180 | ||||||
2,281,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, | 2,291,511 | ||||||
567,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, | 579,831 | ||||||
860,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, | 929,660 | ||||||
18,335,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., | 19,078,913 | ||||||
6,695,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., | 7,591,346 | ||||||
10,320,000 | Cox Communications, Inc., | 10,013,891 | ||||||
5,820,000 | Cox Communications, Inc., | 5,724,283 | ||||||
240,000 | CSC Holdings LLC, | 242,030 | ||||||
2,360,000 | CSC Holdings LLC, | 2,545,236 | ||||||
745,000 | CSC Holdings LLC, | 774,800 | ||||||
470,000 | Sirius XM Radio, Inc., | 477,017 | ||||||
2,416,000 | Sirius XM Radio, Inc., | 2,451,998 | ||||||
455,000 | Sirius XM Radio, Inc., | 459,546 | ||||||
865,000 | Sirius XM Radio, Inc., | 882,214 | ||||||
200,000 | Sirius XM Radio, Inc., | 204,000 | ||||||
13,630,000 | Time Warner Cable LLC, | 13,670,290 | ||||||
10,391,000 | Time Warner Cable LLC, | 9,756,795 | ||||||
15,815,000 | Time Warner Cable LLC, | 16,520,012 | ||||||
800,000 | Videotron Ltd., | 798,000 | ||||||
2,185,000 | Virgin Media Secured Finance PLC, | 2,217,775 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Cable Satellite – continued |
| |||||||
$ 1,600,000 | Ziggo BV, | $ | 1,600,000 | |||||
|
| |||||||
102,450,996 | ||||||||
|
| |||||||
Chemicals – 0.8% |
| |||||||
27,205,000 | CF Industries, Inc., | 28,599,602 | ||||||
3,740,000 | FMC Corp., | 3,532,353 | ||||||
2,075,000 | FMC Corp., | 2,003,172 | ||||||
8,145,000 | LYB International Finance III LLC, | 7,987,205 | ||||||
|
| |||||||
42,122,332 | ||||||||
|
| |||||||
Consumer Cyclical Services – 0.0% |
| |||||||
1,205,000 | eBay, Inc., | 1,130,499 | ||||||
103,000 | IHS Markit Ltd., | 103,510 | ||||||
|
| |||||||
1,234,009 | ||||||||
|
| |||||||
Consumer Products – 0.2% |
| |||||||
7,458,000 | Hasbro, Inc., | 8,116,132 | ||||||
|
| |||||||
Diversified Manufacturing – 0.1% |
| |||||||
895,000 | Carrier Global Corp., | 824,683 | ||||||
590,000 | Carrier Global Corp., | 505,374 | ||||||
5,305,000 | General Electric Co., Series A, MTN, | 4,579,974 | ||||||
|
| |||||||
5,910,031 | ||||||||
|
| |||||||
Electric – 2.4% |
| |||||||
35,000 | AES Corp. (The), | 34,300 | ||||||
195,000 | AES Corp. (The), | 187,685 | ||||||
1,850,000 | AES Corp. (The), | 1,854,588 | ||||||
585,000 | AES Corp. (The), | 571,627 | ||||||
200,000 | AES Corp. (The), | 197,000 | ||||||
20,316,424 | Alta Wind Holdings LLC, | 23,762,118 | ||||||
13,025,000 | Enel Finance International NV, | 14,020,602 | ||||||
9,007,000 | Enel Finance International NV, | 10,819,268 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Electric – continued |
| |||||||
$ 21,030,000 | FirstEnergy Corp., Series C, | $ | 19,851,583 | |||||
8,056,000 | NRG Energy, Inc., | 8,150,515 | ||||||
1,435,000 | NRG Energy, Inc., | 1,478,050 | ||||||
4,437,000 | NRG Energy, Inc., | 4,525,740 | ||||||
40,460,000 | Vistra Operations Co. LLC, | 36,017,364 | ||||||
|
| |||||||
121,470,440 | ||||||||
|
| |||||||
Finance Companies – 1.6% |
| |||||||
815,000 | Air Lease Corp., | 652,849 | ||||||
1,576,000 | Air Lease Corp., MTN, | 1,138,200 | ||||||
12,430,000 | Aircastle Ltd., | 10,905,847 | ||||||
20,595,000 | Aircastle Ltd., | 19,695,299 | ||||||
8,160,000 | Aircastle Ltd., | 7,966,627 | ||||||
6,700,000 | Antares Holdings LP, | 6,901,017 | ||||||
3,460,000 | GE Capital International Funding Co. Unlimited Co., | 3,692,099 | ||||||
18,830,000 | International Lease Finance Corp., | 17,384,074 | ||||||
155,000 | Navient Corp., | 133,253 | ||||||
35,000 | Navient Corp., | 34,265 | ||||||
370,000 | Navient Corp., | 358,922 | ||||||
165,000 | Navient Corp., MTN, | 159,113 | ||||||
7,805,000 | Quicken Loans, Inc., | 7,631,729 | ||||||
6,392,000 | Quicken Loans, Inc., | 6,360,040 | ||||||
|
| |||||||
83,013,334 | ||||||||
|
| |||||||
Financial Other – 0.1% |
| |||||||
2,415,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., | 2,221,100 | ||||||
3,182,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., | 2,939,372 | ||||||
|
| |||||||
5,160,472 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Food & Beverage – 2.2% |
| |||||||
$ 2,040,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., | $ | 2,221,894 | |||||
6,002,000 | Anheuser-Busch InBev Worldwide, Inc., | 6,349,842 | ||||||
13,750,000 | General Mills, Inc., | 13,853,292 | ||||||
8,595,000 | JBS USA LUX S.A./JBS USA Finance, Inc., | 8,680,950 | ||||||
4,910,000 | JBS USA LUX S.A./JBS USA Finance, Inc., | 5,241,425 | ||||||
10,660,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., | 11,006,450 | ||||||
10,465,000 | NBM U.S Holdings, Inc., | 9,496,988 | ||||||
9,535,000 | PepsiCo, Inc., | 9,763,126 | ||||||
45,980,000 | PepsiCo, Inc., | 46,077,110 | ||||||
|
| |||||||
112,691,077 | ||||||||
|
| |||||||
Government Owned - No Guarantee – 0.1% |
| |||||||
6,130,000 | Petrobras Global Finance BV, | 5,953,763 | ||||||
|
| |||||||
Health Insurance – 0.5% |
| |||||||
27,570,000 | Anthem, Inc., | 27,470,569 | ||||||
565,000 | Centene Corp., | 567,825 | ||||||
|
| |||||||
28,038,394 | ||||||||
|
| |||||||
Healthcare – 3.0% |
| |||||||
19,420,000 | Cigna Corp., | 20,841,440 | ||||||
1,261,000 | Cigna Corp., | 1,591,975 | ||||||
7,210,000 | CVS Health Corp., | 7,014,595 | ||||||
10,120,000 | CVS Health Corp., | 10,420,110 | ||||||
13,765,000 | CVS Health Corp., | 14,561,063 | ||||||
685,000 | Encompass Health Corp., | 671,300 | ||||||
23,120,000 | HCA, Inc., | 23,787,212 | ||||||
24,240,000 | HCA, Inc., | 25,422,221 | ||||||
4,580,000 | HCA, Inc., | 4,803,360 | ||||||
17,055,000 | HCA, Inc., | 18,183,072 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Healthcare – continued |
| |||||||
$ 4,806,000 | HCA, Inc., | $ | 4,950,180 | |||||
1,592,000 | HCA, Inc., | 1,592,000 | ||||||
1,295,000 | HCA, Inc., | 1,333,850 | ||||||
2,480,000 | HCA, Inc., MTN, | 2,554,400 | ||||||
3,068,000 | HCA, Inc., MTN, | 3,068,000 | ||||||
13,275,000 | Rede D’or Finance S.a.r.l., | 11,516,062 | ||||||
|
| |||||||
152,310,840 | ||||||||
|
| |||||||
Home Construction – 0.1% |
| |||||||
2,450,000 | Lennar Corp., | 2,443,875 | ||||||
560,000 | Lennar Corp., | 548,800 | ||||||
55,000 | Lennar Corp., | 50,325 | ||||||
|
| |||||||
3,043,000 | ||||||||
|
| |||||||
Independent Energy – 1.6% |
| |||||||
3,195,000 | Aker BP ASA, | 2,536,187 | ||||||
9,925,000 | Aker BP ASA, | 7,420,787 | ||||||
27,295,000 | Continental Resources, Inc., | 14,040,501 | ||||||
15,575,000 | Continental Resources, Inc., | 7,199,351 | ||||||
20,900,000 | Diamondback Energy, Inc., | 14,210,383 | ||||||
10,475,000 | Hess Corp., | 7,586,113 | ||||||
21,000,000 | Newfield Exploration Co., | 11,269,483 | ||||||
6,090,000 | Occidental Petroleum Corp., | 3,221,041 | ||||||
21,620,000 | Seven Generations Energy Ltd., | 12,053,150 | ||||||
1,885,000 | Viper Energy Partners LP, | 1,583,400 | ||||||
60,000 | Whiting Petroleum Corp., | 5,210 | ||||||
|
| |||||||
81,125,606 | ||||||||
|
| |||||||
Integrated Energy – 2.9% |
| |||||||
55,470,000 | Chevron Corp., | 55,488,302 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Integrated Energy – continued |
| |||||||
$ 32,490,000 | Exxon Mobil Corp., | $ | 39,767,165 | |||||
52,303,000 | Shell International Finance BV, | 52,072,147 | ||||||
|
| |||||||
147,327,614 | ||||||||
|
| |||||||
Life Insurance – 3.3% |
| |||||||
6,330,000 | AIA Group Ltd., | 6,357,634 | ||||||
5,653,000 | American International Group, Inc., | 5,824,931 | ||||||
1,475,000 | American International Group, Inc., | 1,513,957 | ||||||
8,255,000 | CNO Financial Group, Inc., | 8,009,666 | ||||||
15,000,000 | Global Atlantic Fin Co., | 15,978,686 | ||||||
5,895,000 | Metropolitan Life Global Funding I, | 5,832,336 | ||||||
30,030,000 | Metropolitan Life Global Funding I, | 30,494,053 | ||||||
9,063,000 | Mutual of Omaha Insurance Co., | 12,649,608 | ||||||
26,914,000 | National Life Insurance Co., | 47,890,255 | ||||||
6,440,000 | NLV Financial Corp., | 9,248,706 | ||||||
2,872,000 | Penn Mutual Life Insurance Co. (The), | 4,149,966 | ||||||
14,489,000 | Penn Mutual Life Insurance Co. (The), | 22,771,269 | ||||||
|
| |||||||
170,721,067 | ||||||||
|
| |||||||
Media Entertainment – 1.5% |
| |||||||
3,115,000 | Fox Corp., | 3,110,141 | ||||||
5,045,000 | Fox Corp., | 5,034,860 | ||||||
245,000 | Netflix, Inc., | 252,350 | ||||||
2,625,000 | Netflix, Inc., | 2,664,769 | ||||||
870,000 | Netflix, Inc., | 902,755 | ||||||
2,700,000 | ViacomCBS, Inc., | 2,594,369 | ||||||
4,275,000 | ViacomCBS, Inc., | 3,788,582 | ||||||
24,070,000 | ViacomCBS, Inc., | 24,182,382 | ||||||
1,180,000 | ViacomCBS, Inc., | 1,046,908 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Media Entertainment – continued |
| |||||||
$ 18,215,000 | ViacomCBS, Inc., | $ | 17,927,818 | |||||
1,180,000 | ViacomCBS, Inc., | 1,209,012 | ||||||
9,345,000 | Walt Disney Co. (The), | 12,211,647 | ||||||
|
| |||||||
74,925,593 | ||||||||
|
| |||||||
Metals & Mining – 3.5% |
| |||||||
34,334,000 | Anglo American Capital PLC, | 34,008,621 | ||||||
8,785,000 | Anglo American Capital PLC, | 8,576,025 | ||||||
47,920,000 | ArcelorMittal S.A., | 47,140,399 | ||||||
19,365,000 | ArcelorMittal S.A., | 19,688,207 | ||||||
7,688,000 | Glencore Funding LLC, | 6,966,635 | ||||||
39,092,000 | Glencore Funding LLC, | 35,630,613 | ||||||
11,700,000 | Glencore Funding LLC, | 10,755,420 | ||||||
7,375,000 | Minera Mexico S.A. de CV, | 6,264,620 | ||||||
8,986,000 | Steel Dynamics, Inc., | 8,131,966 | ||||||
|
| |||||||
177,162,506 | ||||||||
|
| |||||||
Midstream – 3.2% |
| |||||||
22,495,000 | Cheniere Corpus Christi Holdings LLC, | 16,804,886 | ||||||
650,000 | DCP Midstream Operating LP, | 311,805 | ||||||
7,000,000 | Energy Transfer Operating LP, | 5,790,115 | ||||||
36,405,000 | Energy Transfer Operating LP, | 30,189,380 | ||||||
3,115,000 | EnLink Midstream Partners LP, | 1,136,041 | ||||||
35,850,000 | EnLink Midstream Partners LP, | 11,823,330 | ||||||
7,695,000 | EnLink Midstream Partners LP, | 2,597,062 | ||||||
26,650,000 | EQM Midstream Partners LP, Series 10Y, | 14,809,405 | ||||||
14,660,000 | Kinder Morgan Energy Partners LP, | 14,512,117 | ||||||
85,000 | Kinder Morgan Energy Partners LP, | 79,189 | ||||||
3,105,000 | Kinder Morgan Energy Partners LP, | 3,095,576 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Midstream – continued |
| |||||||
$ 7,461,000 | Kinder Morgan Energy Partners LP, | $ | 7,511,696 | |||||
375,000 | Kinder Morgan, Inc., | 358,530 | ||||||
14,040,000 | MPLX LP, | 11,340,773 | ||||||
85,000 | NGPL PipeCo LLC, | 84,619 | ||||||
225,000 | Plains All American Pipeline LP/PAA Finance Corp., | 193,443 | ||||||
40,610,000 | Sunoco Logistics Partners Operations LP, | 32,024,136 | ||||||
8,405,000 | Williams Cos., Inc. (The), | 8,044,736 | ||||||
|
| |||||||
160,706,839 | ||||||||
|
| |||||||
Mortgage Related – 0.0% |
| |||||||
1,446 | FNMA, | 1,628 | ||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 0.8% |
| |||||||
405,000 | Commercial Mortgage Trust, Series2012-LC4, Class C, | 388,956 | ||||||
3,205,000 | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, | 2,745,543 | ||||||
12,790,000 | Credit Suisse Mortgage Trust, Series2014-USA, Class D, | 10,386,071 | ||||||
5,095,000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, | 4,168,578 | ||||||
9,406,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, | 7,102,561 | ||||||
3,456,000 | Morgan Stanley Capital I Trust, Series2011-C2, Class E, | 2,419,200 | ||||||
6,706,000 | UBS-Barclays Commercial Mortgage Trust, Series2012-C2, Class E, | 5,624,558 | ||||||
3,557,000 | WFRBS Commercial Mortgage Trust, Series2011-C2, Class D, | 3,438,816 | ||||||
2,125,000 | WFRBS Commercial Mortgage Trust, Series2011-C3, Class D, | 1,692,692 | ||||||
1,746,000 | WFRBS Commercial Mortgage Trust, Series2012-C7, Class C, | 1,637,066 | ||||||
865,000 | WFRBS Commercial Mortgage Trust, Series2012-C7, Class E, | 635,196 | ||||||
|
| |||||||
40,239,237 | ||||||||
|
| |||||||
Paper – 0.3% |
| |||||||
16,595,000 | Weyerhaeuser Co., | 16,685,442 | ||||||
|
| |||||||
Pharmaceuticals – 1.2% |
| |||||||
27,550,000 | Gilead Science, Inc., | 27,632,140 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Pharmaceuticals – continued |
| |||||||
$ 12,646,000 | Mylan NV, | $ | 12,067,851 | |||||
2,459,000 | Mylan, Inc., | 2,204,780 | ||||||
2,764,000 | Mylan, Inc., | 2,755,762 | ||||||
9,335,000 | Teva Pharmaceutical Finance Netherlands III BV, | 8,596,415 | ||||||
8,000,000 | Teva Pharmaceutical Finance Netherlands III BV, | 6,738,800 | ||||||
1,025,000 | Teva Pharmaceutical Finance Netherlands III BV, | 735,438 | ||||||
|
| |||||||
60,731,186 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.1% |
| |||||||
2,740,000 | Fidelity National Financial, Inc., | 3,007,736 | ||||||
3,159,000 | Sirius International Group Ltd., | 3,119,007 | ||||||
|
| |||||||
6,126,743 | ||||||||
|
| |||||||
REITs - Health Care – 0.1% |
| |||||||
5,972,000 | Welltower, Inc., | 7,071,966 | ||||||
|
| |||||||
REITs - Mortgage – 0.3% |
| |||||||
12,311,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., | 9,725,690 | ||||||
8,565,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., | 7,665,675 | ||||||
|
| |||||||
17,391,365 | ||||||||
|
| |||||||
Restaurants – 0.4% |
| |||||||
5,800,000 | McDonald’s Corp., MTN, | 6,089,599 | ||||||
8,695,000 | McDonald’s Corp., MTN, | 8,772,783 | ||||||
2,065,000 | Yum! Brands, Inc., | 1,941,100 | ||||||
1,890,000 | Yum! Brands, Inc., | 1,984,500 | ||||||
|
| |||||||
18,787,982 | ||||||||
|
| |||||||
Retailers – 1.2% |
| |||||||
9,720,000 | AutoZone, Inc., | 9,853,134 | ||||||
14,585,000 | AutoZone, Inc., | 14,906,464 | ||||||
1,207,424 | CVS Pass Through Trust, Series 2014, | 1,299,116 | ||||||
386,333 | CVS Pass-Through Trust, | 440,949 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Retailers – continued |
| |||||||
$ 420,778 | CVS Pass-Through Trust, | $ | 470,746 | |||||
11,515,525 | CVS Pass-Through Trust, Series 2013, | 13,105,473 | ||||||
8,320,000 | Lowe’s Cos., Inc., | 9,168,847 | ||||||
2,190,000 | Lowe’s Cos., Inc., | 2,644,091 | ||||||
8,064,000 | Marks & Spencer PLC, | 7,773,938 | ||||||
3,755,000 | PVH Corp., | 3,905,200 | ||||||
|
| |||||||
63,567,958 | ||||||||
|
| |||||||
Supermarkets – 0.0% |
| |||||||
325,000 | Koninklijke Ahold Delhaize NV, | 414,429 | ||||||
|
| |||||||
Technology – 4.5% |
| |||||||
27,985,000 | Avnet, Inc., | 27,874,509 | ||||||
26,185,000 | Broadcom Corp./Broadcom Cayman Finance Ltd., | 25,893,561 | ||||||
2,646,000 | Broadcom Corp./Broadcom Cayman Finance Ltd., | 2,527,905 | ||||||
3,465,000 | Broadcom, Inc., | 3,406,466 | ||||||
30,750,000 | Broadcom, Inc., | 31,191,342 | ||||||
27,558,000 | Cisco Systems, Inc., | 27,745,477 | ||||||
2,455,000 | CommScope, Inc., | 2,451,318 | ||||||
13,560,000 | Equifax, Inc., | 13,521,095 | ||||||
17,195,000 | Equinix, Inc., | 15,989,630 | ||||||
7,440,000 | Jabil, Inc., | 7,418,848 | ||||||
16,735,000 | KLA Corp., | 19,359,587 | ||||||
14,428,000 | Micron Technology, Inc., | 15,068,968 | ||||||
10,622,000 | Micron Technology, Inc., | 11,601,043 | ||||||
435,000 | Open Text Corp., | 410,679 | ||||||
1,015,000 | Open Text Holdings, Inc., | 954,354 | ||||||
5,000,000 | Oracle Corp., | 5,072,203 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Technology – continued |
| |||||||
$ 9,875,000 | Oracle Corp., | $ | 9,875,249 | |||||
970,000 | SS&C Technologies, Inc., | 1,010,944 | ||||||
9,135,000 | Verisk Analytics, Inc., | 9,633,359 | ||||||
|
| |||||||
231,006,537 | ||||||||
|
| |||||||
Transportation Services – 0.2% |
| |||||||
6,875,000 | United Parcel Service, Inc., | 9,006,634 | ||||||
|
| |||||||
Treasuries – 7.5% |
| |||||||
1,500,000 | U.S. Treasury Bond, | 1,868,789 | ||||||
81,575,000 | U.S. Treasury Bond, | 113,312,774 | ||||||
111,500,000 | U.S. Treasury Bond, | 155,346,504 | ||||||
42,565,000 | U.S. Treasury Note, | 43,469,506 | ||||||
67,000,000 | U.S. Treasury Note, | 68,431,602 | ||||||
|
| |||||||
382,429,175 | ||||||||
|
| |||||||
Wireless – 0.8% |
| |||||||
375,000 | Bharti Airtel Ltd., | 346,951 | ||||||
3,725,000 | Crown Castle International Corp., | 3,694,418 | ||||||
22,660,000 | Crown Castle International Corp., | 22,949,170 | ||||||
6,615,000 | Crown Castle International Corp., | 6,812,105 | ||||||
730,000 | Crown Castle International Corp., | 721,970 | ||||||
610,000 | Sprint Capital Corp., | 696,742 | ||||||
1,030,000 | Sprint Communications, Inc., | 1,030,618 | ||||||
1,545,000 | Sprint Corp., | 1,592,431 | ||||||
980,000 | T-Mobile USA, Inc., | 1,002,050 | ||||||
|
| |||||||
38,846,455 | ||||||||
|
| |||||||
Wirelines – 2.4% |
| |||||||
61,415,000 | AT&T, Inc., | 65,952,412 | ||||||
435,000 | AT&T, Inc., | 459,379 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Wirelines – continued |
| |||||||
$ 3,105,000 | AT&T, Inc., | $ | 3,362,481 | |||||
7,980,000 | AT&T, Inc., | 8,949,453 | ||||||
857,000 | Level 3 Financing, Inc., | 851,772 | ||||||
2,070,000 | Level 3 Financing, Inc., | 2,080,350 | ||||||
2,095,000 | Telecom Italia Capital S.A., | 2,074,050 | ||||||
952,000 | Telecom Italia Capital S.A., | 985,320 | ||||||
27,220,000 | Telefonica Emisiones S.A., | 32,518,373 | ||||||
3,880,000 | Verizon Communications, Inc., | 4,588,626 | ||||||
|
| |||||||
121,822,216 | ||||||||
|
| |||||||
TotalNon-Convertible Bonds | 4,492,489,527 | |||||||
|
| |||||||
Convertible Bonds – 0.9% | ||||||||
Cable Satellite – 0.3% |
| |||||||
9,050,000 | DISH Network Corp., | 7,172,125 | ||||||
6,995,000 | DISH Network Corp., | 5,678,901 | ||||||
|
| |||||||
12,851,026 | ||||||||
|
| |||||||
Diversified Manufacturing – 0.1% |
| |||||||
5,165,000 | Greenbrier Cos., Inc. (The), | 3,938,312 | ||||||
|
| |||||||
Electric – 0.0% |
| |||||||
2,035,000 | NRG Energy, Inc., | 1,938,338 | ||||||
|
| |||||||
Healthcare – 0.1% |
| |||||||
3,270,000 | Illumina, Inc., | 3,129,587 | ||||||
|
| |||||||
Independent Energy – 0.0% |
| |||||||
6,390,000 | Chesapeake Energy Corp., | 191,700 | ||||||
|
| |||||||
Pharmaceuticals – 0.3% |
| |||||||
14,075,000 | BioMarin Pharmaceutical, Inc., | 14,749,651 | ||||||
|
| |||||||
Technology – 0.1% |
| |||||||
1,210,000 | Akamai Technologies, Inc., | 1,205,103 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Convertible Bonds – continued |
| |||||||
Technology – continued |
| |||||||
$ 1,690,000 | Microchip Technology, Inc., | $ | 1,734,521 | |||||
3,875,000 | Palo Alto Networks, Inc., | 3,740,124 | ||||||
733,000 | Proofpoint, Inc., | 688,103 | ||||||
|
| |||||||
7,367,851 | ||||||||
|
| |||||||
Total Convertible Bonds | 44,166,465 | |||||||
Municipals – 0.2% | ||||||||
Michigan – 0.1% |
| |||||||
1,575,000 | Michigan Tobacco Settlement Finance Authority, Series A, | 1,557,029 | ||||||
|
| |||||||
Virginia – 0.1% |
| |||||||
7,595,000 | Tobacco Settlement Financing Corp., SeriesA-1, | 6,561,549 | ||||||
|
| |||||||
Total Municipals | 8,118,578 | |||||||
|
| |||||||
Total Bonds and Notes | 4,544,774,570 | |||||||
|
| |||||||
Collateralized Loan Obligations – 2.1% | ||||||||
2,905,000 | Atrium XII, Series 12A, Class AR, | 2,845,976 | ||||||
125,670 | Avery Point IV CLO Ltd., Series2014-1A, Class AR, | 124,781 | ||||||
7,164,023 | CVP Cascade CLO Ltd., Series2014-2A, Class A1R, | 7,102,744 | ||||||
6,715,989 | Elevation CLO Ltd., Series2015-4A, Class AR, | 6,648,817 | ||||||
1,583,709 | Flatiron CLO Ltd., Series2015-1A, Class AR, | 1,543,562 | ||||||
196,347 | Galaxy XXIX CLO Ltd., Series2018-29A, Class A, | 189,860 | ||||||
5,490,000 | Halcyon Loan Advisors Funding, Series2014-3A, Class B1R, | 4,827,918 | ||||||
3,255,922 | Halcyon Loan Advisors Funding Ltd., Series2014-2A, Class A1BR, | 3,252,533 | ||||||
10,107,539 | Jamestown CLO VII Ltd., Series2015-7A, Class A1R, | 9,784,560 | ||||||
716,840 | Limerock CLO III LLC, Series2014-3A, Class A1R, | 711,238 | ||||||
7,275,000 | Marble Point CLO XIV Ltd., Series2018-2A, Class A1, | 6,743,043 | ||||||
13,008,422 | Mountain View CLO X Ltd., Series2015-10A, Class AR, | 12,593,314 | ||||||
12,403,407 | OCP CLO Ltd., Series2015-10A, Class A1R, | 12,018,113 |
Principal Amount (‡) | Description | Value (†) | ||||||
Collateralized Loan Obligations – continued | ||||||||
$ 1,935,054 | OFSI Fund VII Ltd., Series2014-7A, Class AR, | $ | 1,928,549 | |||||
11,214,564 | Parallel Ltd., Series2015-1A, Class AR, | 10,867,176 | ||||||
5,082,250 | Recette CLO Ltd., Series2015-1A, Class AR, | 4,928,789 | ||||||
4,921,878 | Venture XII CLO Ltd., Series2012-12A, Class ARR, | 4,760,226 | ||||||
3,451,336 | Venture XX CLO Ltd., Series2015-20A, Class AR, | 3,343,455 | ||||||
7,468,430 | Venture XXI CLO Ltd., Series2015-21A, Class AR, | 7,249,033 | ||||||
352,021 | Voya CLO Ltd., Series2014-3A, Class A1R, | 346,845 | ||||||
5,865,554 | West CLO Ltd., Series2014-1A, Class A1R, | 5,825,881 | ||||||
Total Collateralized Loan Obligations | 107,636,413 | |||||||
|
| |||||||
Shares | ||||||||
Preferred Stocks – 0.3% | ||||||||
Electric – 0.1% |
| |||||||
49,278 | NextEra Energy, Inc., | 2,172,667 | ||||||
|
| |||||||
Food & Beverage – 0.2% |
| |||||||
138,889 | Bunge Ltd., | 12,119,454 | ||||||
|
| |||||||
Independent Energy – 0.0% |
| |||||||
40,860 | Chesapeake Energy Corp., | 196,124 | ||||||
|
| |||||||
Total Preferred Stocks | 14,488,245 | |||||||
|
| |||||||
Principal Amount (‡) | ||||||||
Short-Term Investments – 8.3% | ||||||||
2,690,358,211 | Central Bank of Iceland, | 18,981,608 | ||||||
405,986,692 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $405,986,692 on 4/01/2020 collateralized by $1,445,000 U.S. Treasury Inflation Indexed Note, 3.875% due 4/15/2029 valued at $3,105,384; $93,195,000 U.S. Treasury Inflation Indexed Note, 2.500% due 1/15/2029 valued at $138,940,325; $153,790,000 U.S. Treasury Inflation Indexed Note, 0.625% due 4/15/2023 valued at $161,784,773; $50,000,000 U.S. Treasury Note, 2.500% due 5/15/2024 valued at $54,880,150; $50,000,000 U.S. Treasury Note, 2.125% due 5/15/2025 valued at $54,724,200; $640,000 U.S. Treasury Note, 1.500% due 9/30/2024 valued at $672,600 including accrued interest(i) | 405,986,692 | ||||||
|
| |||||||
Total Short-Term Investments | 424,968,300 | |||||||
|
| |||||||
Total Investments – 99.9% | 5,091,867,528 | |||||||
Other assets less liabilities – 0.1% | 4,115,307 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 5,095,982,835 | ||||||
|
|
(†) | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. |
Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including shares ofclosed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans and collateralized loan obligations 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.
Centrally cleared swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.
As of March 31, 2020, securities held by the Fund were fair valued as follows:
Securities classified as fair valued | Percentage of Net Assets | Securities fair valued by | Percentage of | |||
$140,599,517 | 2.8% | $ 2,419,200 | Less than 0.1% |
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. |
(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 March 31, 2020 is disclosed. |
(b) | Variable rate security. Rate as of March 31, 2020 is disclosed. |
(c) | Illiquid security. |
(d) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2020, the value of these securities amounted to $140,599,517 or 2.8% of net assets. |
(e) | Non-income producing security. |
(f) | Level 3 security. Value has been determined using significant unobservable inputs. |
(g) | Fair valued by the Fund’s adviser. At March 31, 2020, the value of this security amounted to $2,419,200 or less than 0.1% of net assets. |
(h) | Security callable by issuer at any time. No specified maturity date. |
(i) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements aretri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of March 31, 2020, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020, the value of Rule 144A holdings amounted to $1,664,910,570 or 32.7% of net assets. | |
ABS | Asset-Backed Securities | |
ARS | Auction Rate Security | |
FNMA | Federal National Mortgage Association | |
GMTN | Global Medium Term Note | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium Term Note | |
REITs | Real Estate Investment Trusts | |
SLM | Sallie Mae | |
ISK | Icelandic Krona |
Swap Agreements
The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
Swap agreements are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as receivable or payable. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.
At March 31, 2020, the Fund had the following open centrally cleared credit default swap agreements:
Sell Protection
Reference | (Pay)/ Receive Fixed Rate | Expiration Date | Implied Credit Spread^ | Notional Value(‡) | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
CDX.HY Series 34 500,5-Year | 5.00 | % | 6/20/2025 | 6.56 | 131,700,000 | $ | (8,029,562 | ) | $ | (267,407 | ) | |||||||||||||
CDX.HY Series 34 500,5-Year | 5.00 | % | 6/20/2025 | 6.56 | 111,300,000 | (7,145,460 | ) | (2,261,073 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||||
Total |
| $ | (15,175,022 | ) | $ | (2,528,480 | ) | |||||||||||||||||
|
|
|
|
(‡) | Notional value stated in U.S. dollars unless otherwise noted. |
^ | Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 — quoted prices in active markets for identical assets or liabilities; |
• | Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2020, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | $ | — | $ | 37,820,037 | $ | 2,419,200 | (a) | $ | 40,239,237 | |||||||
All OtherNon-Convertible Bonds* | — | 4,452,250,290 | — | 4,452,250,290 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TotalNon-Convertible Bonds | — | 4,490,070,327 | 2,419,200 | 4,492,489,527 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds | ||||||||||||||||
Independent Energy | — | — | 191,700 | (b) | 191,700 | |||||||||||
All Other Convertible Bonds* | — | 43,974,765 | — | 43,974,765 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Convertible Bonds | — | 43,974,765 | 191,700 | 44,166,465 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Municipals* | — | 8,118,578 | — | 8,118,578 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 4,542,163,670 | 2,610,900 | 4,544,774,570 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Collateralized Loan Obligations* | 107,636,413 | 107,636,413 | ||||||||||||||
Preferred Stocks | ||||||||||||||||
Food & Beverage | — | 12,119,454 | — | 12,119,454 | ||||||||||||
Independent Energy | — | 196,124 | — | 196,124 | ||||||||||||
Electric | 2,172,667 | — | — | 2,172,667 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 2,172,667 | 12,315,578 | — | 14,488,245 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 424,968,300 | — | 424,968,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,172,667 | $ | 5,087,083,961 | $ | 2,610,900 | $ | 5,091,867,528 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation) | $ | — | $ | (2,528,480 | ) | $ | — | $ | (2,528,480 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(a) | Fair valued by the Fund’s adviser. |
(b) | Valued using broker-dealer bid prices. |
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2019 and/or March 31, 2020:
Asset Valuation Inputs
Investments in Securities | Balance as of December 31, 2019 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of March 31, 2020 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2020 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | $ | — | $ | — | $ | — | $ | (940,599 | ) | $ | — | $ | — | $ | 3,359,799 | $ | — | $ | 2,419,200 | $ | (940,599 | ) | ||||||||||||||||||
Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
Independent Energy | — | 7,625 | — | (2,860,019 | ) | — | — | 3,044,094 | — | 191,700 | (2,860,019 | ) | ||||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Independent Energy | 721,179 | — | — | — | — | — | — | (721,179 | ) | — | — | |||||||||||||||||||||||||||||
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Total | $ | 721,179 | $ | 7,625 | $ | — | $ | (3,800,618 | ) | $ | — | $ | — | $ | 6,403,893 | $ | (721,179 | ) | $ | 2,610,900 | $ | (3,800,618 | ) | |||||||||||||||||
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A debt security valued at $3,359,799 was transferred from Level 2 to Level 3 during the period ended March 31, 2020. At December 31, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the security.
A debt security valued at $3,044,094 was transferred from Level 2 to Level 3 during the period ended March 31, 2020. At December 31, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2020, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.
A preferred stock valued at $721,179 was transferred from Level 3 to Level 2 during the period ended March 31, 2020. At December 31, 2019, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security. At March 31, 2020, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include swap agreements.
The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. During the period ended March 31, 2020, the Fund engaged in credit default swap transactions (as a protection buyer) to hedge its credit exposure.
The following is a summary of derivative instruments for the Fund, as of March 31, 2020:
Liabilities | Swap agreements at value | |||
Exchange-traded/cleared liability derivatives | ||||
Credit contracts | $ | (15,175,022 | ) |
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to benon-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of March 31, 2020:
Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | |||
$23,751,157 | $ | 23,751,157 |
Industry Summary at March 31, 2020 (Unaudited)
Banking | 10.0 | % | ||
Treasuries | 7.5 | |||
ABS Car Loan | 7.2 | |||
ABS Home Equity | 5.5 | |||
Technology | 4.6 | |||
Metals & Mining | 3.5 | |||
Life Insurance | 3.3 | |||
ABS Other | 3.3 | |||
Midstream | 3.2 | |||
Healthcare | 3.1 | |||
Aerospace & Defense | 3.0 | |||
Integrated Energy | 2.9 | |||
Electric | 2.5 | |||
Food & Beverage | 2.4 | |||
Wirelines | 2.4 | |||
Cable Satellite | 2.3 | |||
Automotive | 2.1 | |||
ABS Whole Business | 2.0 | |||
Other Investments, less than 2% each | 18.7 | |||
Short-Term Investments | 8.3 | |||
Collateralized Loan Obligations | 2.1 | |||
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Total Investments | 99.9 | |||
Other assets less liabilities (including swap agreements) | 0.1 | |||
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Net Assets | 100.0 | % | ||
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