PORTFOLIO OF INVESTMENTS – as of March 31, 2020 (Unaudited)
Loomis Sayles High Income Fund
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – 93.9% of Net Assets | ||||||||
Non-Convertible Bonds – 88.6% | ||||||||
ABS Home Equity – 0.1% |
| |||||||
$ | 151,118 | DSLA Mortgage Loan Trust, Series2005-AR5, Class 2A1A, | $ | 102,688 | ||||
|
| |||||||
Aerospace & Defense – 3.1% |
| |||||||
815,000 | Bombardier, Inc., | 611,250 | ||||||
360,000 | Bombardier, Inc., | 253,800 | ||||||
460,000 | Bombardier, Inc., | 306,981 | ||||||
120,000 | Bombardier, Inc., | 99,750 | ||||||
135,000 | Embraer Netherlands Finance BV, | 119,137 | ||||||
25,000 | Embraer Netherlands Finance BV, | 22,025 | ||||||
638,000 | Leonardo U.S. Holdings, Inc., | 641,892 | ||||||
383,000 | Leonardo U.S. Holdings, Inc., | 440,450 | ||||||
60,000 | Moog, Inc., | 54,150 | ||||||
365,000 | Signature Aviation U.S. Holdings, Inc., | 329,522 | ||||||
295,000 | Spirit AeroSystems, Inc., | 250,692 | ||||||
70,000 | Wolverine Escrow LLC, | 56,875 | ||||||
|
| |||||||
3,186,524 | ||||||||
|
| |||||||
Airlines – 0.3% |
| |||||||
30,000 | American Airlines Group, Inc., | 24,075 | ||||||
535,000 | Latam Finance Ltd., | 237,834 | ||||||
200,000 | Latam Finance Ltd., | 91,104 | ||||||
|
| |||||||
353,013 | ||||||||
|
| |||||||
Automotive – 2.9% |
| |||||||
510,000 | Allison Transmission, Inc., | 479,400 | ||||||
145,000 | American Axle & Manufacturing, Inc., | 119,625 | ||||||
285,000 | Dana Financing Luxembourg S.a.r.l., | 247,950 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Automotive – continued |
| |||||||
$ | 255,000 | Delphi Technologies PLC, | $ | 203,362 | ||||
200,000 | Ford Motor Credit Co. LLC, | 186,500 | ||||||
200,000 | Ford Motor Credit Co. LLC, | 186,000 | ||||||
200,000 | Ford Motor Credit Co. LLC, | 175,000 | ||||||
200,000 | Ford Motor Credit Co. LLC, | 173,375 | ||||||
200,000 | Ford Motor Credit Co. LLC, GMTN, | 175,000 | ||||||
185,000 | General Motors Financial Co., Inc., | 174,054 | ||||||
95,000 | General Motors Financial Co., Inc., | 88,343 | ||||||
150,000 | General Motors Financial Co., Inc., | 134,923 | ||||||
180,000 | General Motors Financial Co., Inc., | 163,115 | ||||||
10,000 | General Motors Financial Co., Inc., | 9,043 | ||||||
115,000 | Goodyear Tire & Rubber Co. (The), | 106,088 | ||||||
240,000 | Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., | 153,600 | ||||||
260,000 | Panther BF Aggregator 2 LP/Panther Finance Co., Inc., | 226,824 | ||||||
|
| |||||||
3,002,202 | ||||||||
|
| |||||||
Banking – 1.3% |
| |||||||
485,000 | Ally Financial, Inc., | 474,427 | ||||||
200,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), | 164,000 | ||||||
470,000 | Intesa Sanpaolo SpA, | 460,364 | ||||||
265,000 | Intesa Sanpaolo SpA, | 258,129 | ||||||
|
| |||||||
1,356,920 | ||||||||
|
| |||||||
Building Materials – 2.1% |
| |||||||
280,000 | American Builders & Contractors Supply Co., Inc., | 254,800 | ||||||
265,000 | Builders FirstSource, Inc., | 238,500 | ||||||
230,000 | Cemex SAB de CV, | 194,352 | ||||||
445,000 | James Hardie International Finance DAC, | 420,525 | ||||||
360,000 | JELD-WEN, Inc., | 316,800 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Building Materials – continued |
| |||||||
$ 160,000 | JELD-WEN, Inc., | $ | 141,200 | |||||
685,000 | U.S. Concrete, Inc., | 618,213 | ||||||
|
| |||||||
2,184,390 | ||||||||
|
| |||||||
Cable Satellite – 5.7% |
| |||||||
350,000 | Altice Financing S.A., | 309,750 | ||||||
80,000 | Block Communications, Inc., | 74,400 | ||||||
230,000 | CCO Holdings LLC/CCO Holdings Capital Corp., | 225,400 | ||||||
165,000 | CCO Holdings LLC/CCO Holdings Capital Corp., | 160,908 | ||||||
315,000 | CCO Holdings LLC/CCO Holdings Capital Corp., | 313,425 | ||||||
405,000 | CCO Holdings LLC/CCO Holdings Capital Corp., | 416,178 | ||||||
205,000 | Connect Finco S.a.r.l./Connect U.S. Finco LLC, | 169,381 | ||||||
505,000 | CSC Holdings LLC, | 522,624 | ||||||
390,000 | CSC Holdings LLC, | 420,611 | ||||||
415,000 | DISH DBS Corp., | 426,413 | ||||||
140,000 | Intelsat Connect Finance S.A., | 51,800 | ||||||
70,000 | Intelsat Jackson Holdings S.A., | 45,850 | ||||||
195,000 | Intelsat Jackson Holdings S.A., | 122,792 | ||||||
430,000 | Intelsat Jackson Holdings S.A., | 283,800 | ||||||
1,400,000 | Telenet Finance Luxembourg Notes S.a.r.l., | 1,365,616 | ||||||
1,046,000 | Ziggo BV, | 1,046,000 | ||||||
|
| |||||||
5,954,948 | ||||||||
|
| |||||||
Chemicals – 1.7% |
| |||||||
210,000 | Chemours Co. (The), | 160,619 | ||||||
50,000 | Chemours Co. (The), | 41,625 | ||||||
1,510,000 | Hercules LLC, | 1,221,031 | ||||||
140,000 | Hexion, Inc., | 119,000 | ||||||
160,000 | Olin Corp., | 137,424 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Chemicals – continued |
| |||||||
$ 60,000 | Olin Corp., | $ | 53,100 | |||||
|
| |||||||
1,732,799 | ||||||||
|
| |||||||
Construction Machinery – 0.8% |
| |||||||
615,000 | United Rentals North America, Inc., | 590,400 | ||||||
15,000 | United Rentals North America, Inc., | 15,139 | ||||||
235,000 | United Rentals North America, Inc., | 238,008 | ||||||
|
| |||||||
843,547 | ||||||||
|
| |||||||
Consumer Cyclical Services – 3.6% |
| |||||||
625,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., | 539,062 | ||||||
350,000 | ServiceMaster Co. LLC (The), | 306,250 | ||||||
350,000 | Staples, Inc., | 309,313 | ||||||
355,000 | Uber Technologies, Inc., | 350,456 | ||||||
2,315,000 | Uber Technologies, Inc., | 2,297,637 | ||||||
|
| |||||||
3,802,718 | ||||||||
|
| |||||||
Consumer Products – 0.3% |
| |||||||
115,000 | Mattel, Inc., | 118,197 | ||||||
175,000 | Prestige Brands, Inc., | 173,302 | ||||||
|
| |||||||
291,499 | ||||||||
|
| |||||||
Electric – 2.1% |
| |||||||
125,000 | AES Corp. (The), | 125,310 | ||||||
150,000 | AES Corp. (The), | 147,750 | ||||||
1,105,000 | Calpine Corp., | 1,016,600 | ||||||
602,000 | Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), | 635,110 | ||||||
35,000 | NRG Energy, Inc., | 36,050 | ||||||
80,000 | NRG Energy, Inc., | 81,600 | ||||||
160,000 | Talen Energy Supply LLC, | 115,200 | ||||||
|
| |||||||
2,157,620 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Finance Companies – 3.1% |
| |||||||
$ 120,000 | Navient Corp., | $ | 103,164 | |||||
820,000 | Navient Corp., | 802,780 | ||||||
315,000 | Provident Funding Associates LP/PFG Finance Corp., | 264,600 | ||||||
805,000 | Quicken Loans, Inc., | 787,129 | ||||||
200,000 | Shriram Transport Finance Co. Ltd., | 139,982 | ||||||
185,000 | Springleaf Finance Corp., | 186,317 | ||||||
700,000 | Springleaf Finance Corp., | 693,000 | ||||||
405,000 | Unifin Financiera SAB de CV, | 283,788 | ||||||
|
| |||||||
3,260,760 | ||||||||
|
| |||||||
Financial Other – 1.8% |
| |||||||
755,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., | 694,381 | ||||||
645,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., | 595,819 | ||||||
110,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., | 103,950 | ||||||
50,000 | Nationstar Mortgage Holdings, Inc., | 42,500 | ||||||
175,000 | Nationstar Mortgage Holdings, Inc., | 171,115 | ||||||
330,000 | Nationstar Mortgage Holdings, Inc., | 298,650 | ||||||
|
| |||||||
1,906,415 | ||||||||
|
| |||||||
Food & Beverage – 3.1% |
| |||||||
45,000 | Aramark Services, Inc., | 42,403 | ||||||
65,000 | Aramark Services, Inc., | 60,490 | ||||||
330,000 | JBS USA LUX S.A./JBS USA Finance, Inc., | 333,300 | ||||||
190,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., | 196,175 | ||||||
190,000 | Kraft Heinz Foods Co., | 172,450 | ||||||
505,000 | Kraft Heinz Foods Co., | 459,178 | ||||||
250,000 | Kraft Heinz Foods Co., | 236,697 | ||||||
200,000 | NBM U.S Holdings, Inc., | 179,480 | ||||||
200,000 | NBM U.S Holdings, Inc., | 181,500 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Food & Beverage – continued |
| |||||||
$ 225,000 | Performance Food Group, Inc., | $ | 208,687 | |||||
280,000 | Pilgrim’s Pride Corp., | 282,100 | ||||||
540,000 | Pilgrim’s Pride Corp., | 538,056 | ||||||
15,000 | Post Holdings, Inc., | 15,560 | ||||||
335,000 | Post Holdings, Inc., | 343,278 | ||||||
|
| |||||||
3,249,354 | ||||||||
|
| |||||||
Gaming – 2.6% |
| |||||||
375,000 | Boyd Gaming Corp., | 309,375 | ||||||
175,000 | Boyd Gaming Corp., | 151,375 | ||||||
210,000 | MGM Growth Properties Operating Partnership LP/MGP FinanceCo-Issuer, Inc., | 178,500 | ||||||
345,000 | MGM Growth Properties Operating Partnership LP/MGP FinanceCo-Issuer, Inc., | 300,150 | ||||||
155,000 | Scientific Games International, Inc., | 95,325 | ||||||
160,000 | Scientific Games International, Inc., | 100,000 | ||||||
195,000 | VICI Properties LP/VICI Note Co., Inc., | 181,838 | ||||||
265,000 | VICI Properties LP/VICI Note Co., Inc., | 249,762 | ||||||
270,000 | VICI Properties LP/VICI Note Co., Inc., | 252,787 | ||||||
575,000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | 534,750 | ||||||
250,000 | Wynn Macau Ltd., | 210,000 | ||||||
215,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., | 195,650 | ||||||
|
| |||||||
2,759,512 | ||||||||
|
| |||||||
Government Owned - No Guarantee – 0.4% |
| |||||||
710,000 | YPF S.A., | 365,863 | ||||||
|
| |||||||
Health Insurance – 0.5% |
| |||||||
290,000 | Centene Corp., | 291,450 | ||||||
210,000 | Centene Corp., | 210,523 | ||||||
|
| |||||||
501,973 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Healthcare – 8.6% |
| |||||||
$ 65,000 | CHS/Community Health Systems, Inc., | $ | 61,709 | |||||
745,000 | CHS/Community Health Systems, Inc., | 689,125 | ||||||
730,000 | CHS/Community Health Systems, Inc., | 693,500 | ||||||
350,000 | Encompass Health Corp., | 343,000 | ||||||
365,000 | Encompass Health Corp., | 357,700 | ||||||
170,000 | HCA, Inc., | 175,100 | ||||||
655,000 | HCA, Inc., | 661,550 | ||||||
145,000 | HCA, Inc., | 145,000 | ||||||
590,000 | HCA, Inc., | 607,700 | ||||||
480,000 | HCA, Inc., | 494,400 | ||||||
820,000 | HCA, Inc., MTN, | 844,600 | ||||||
515,000 | HCA, Inc., MTN, | 515,000 | ||||||
140,000 | Hologic, Inc., | 140,350 | ||||||
200,000 | IQVIA, Inc., | 204,000 | ||||||
575,000 | MPH Acquisition Holdings LLC, | 500,285 | ||||||
850,000 | Polaris Intermediate Corp., | 658,750 | ||||||
655,000 | Rede D’or Finance S.a.r.l., | 568,212 | ||||||
90,000 | Select Medical Corp., | 90,000 | ||||||
725,000 | Tenet Healthcare Corp., | 692,375 | ||||||
390,000 | Tenet Healthcare Corp., | 372,450 | ||||||
210,000 | Tenet Healthcare Corp., | 193,725 | ||||||
|
| |||||||
9,008,531 | ||||||||
|
| |||||||
Home Construction – 1.2% |
| |||||||
215,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S Corp., | 163,348 | ||||||
1,200,000 | Corporacion GEO SAB de CV, | — | ||||||
210,000 | Greenland Global Investment Ltd., EMTN, | 185,861 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Home Construction – continued |
| |||||||
$ 230,000 | KB Home, | $ | 193,200 | |||||
245,000 | Mattamy Group Corp., | 212,959 | ||||||
200,000 | Sunac China Holdings Ltd., | 175,970 | ||||||
185,000 | Taylor Morrison Communities, Inc., | 165,189 | ||||||
200,000 | Yuzhou Properties Co. Ltd., | 167,078 | ||||||
|
| |||||||
1,263,605 | ||||||||
|
| |||||||
Independent Energy – 3.6% |
| |||||||
460,000 | Aker BP ASA, | 407,029 | ||||||
685,000 | Baytex Energy Corp., | 253,450 | ||||||
1,025,000 | Bruin E&P Partners LLC, | 71,750 | ||||||
90,000 | California Resources Corp., | 8,775 | ||||||
41,000 | California Resources Corp., | 820 | ||||||
950,000 | California Resources Corp., | 14,250 | ||||||
425,000 | Centennial Resource Production LLC, | 104,125 | ||||||
195,000 | Denbury Resources, Inc., | 29,289 | ||||||
25,000 | Diamondback Energy, Inc., | 16,998 | ||||||
25,000 | EQT Corp., | 19,253 | ||||||
375,000 | Gulfport Energy Corp., | 91,875 | ||||||
595,000 | Gulfport Energy Corp., | 144,287 | ||||||
365,000 | Gulfport Energy Corp., | 71,326 | ||||||
200,000 | Hess Corp., | 136,582 | ||||||
610,000 | Montage Resources Corp., | 411,750 | ||||||
302,000 | Oasis Petroleum, Inc., | 59,645 | ||||||
215,000 | Occidental Petroleum Corp., | 153,305 | ||||||
240,000 | Occidental Petroleum Corp., | 142,130 | ||||||
730,000 | Occidental Petroleum Corp., | 399,547 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Independent Energy – continued |
| |||||||
$ 570,000 | Occidental Petroleum Corp., | $ | 291,649 | |||||
130,000 | Occidental Petroleum Corp., | 68,758 | ||||||
685,000 | Seven Generations Energy Ltd., | 381,887 | ||||||
175,000 | Seven Generations Energy Ltd., | 119,875 | ||||||
320,000 | SM Energy Co., | 102,384 | ||||||
425,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., | 100,406 | ||||||
50,000 | Viper Energy Partners LP, | 42,000 | ||||||
405,000 | Whiting Petroleum Corp., | 27,216 | ||||||
50,000 | Whiting Petroleum Corp., | 4,342 | ||||||
805,000 | Whiting Petroleum Corp., | 54,338 | ||||||
|
| |||||||
3,729,041 | ||||||||
|
| |||||||
Industrial Other – 0.5% |
| |||||||
275,000 | CFLD Cayman Investment Ltd., | 223,542 | ||||||
130,000 | Installed Building Products, Inc., | 123,825 | ||||||
200,000 | Kaisa Group Holdings Ltd., | 152,998 | ||||||
|
| |||||||
500,365 | ||||||||
|
| |||||||
Integrated Energy – 0.1% |
| |||||||
200,000 | Geopark Ltd., | 113,484 | ||||||
|
| |||||||
Leisure – 0.5% |
| |||||||
330,000 | Live Nation Entertainment, Inc., | 293,700 | ||||||
300,000 | Speedway Motorsports LLC/Speedway Funding II, Inc., | 270,000 | ||||||
|
| |||||||
563,700 | ||||||||
|
| |||||||
Lodging – 1.5% |
| |||||||
150,000 | Hilton Domestic Operating Co., Inc., | 140,250 | ||||||
755,000 | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., | 702,150 | ||||||
565,000 | Marriott Ownership Resorts, Inc., | 423,750 | ||||||
60,000 | Marriott Ownership Resorts, Inc./ILG LLC, | 52,200 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Lodging – continued |
| |||||||
$ 255,000 | Wyndham Destinations, Inc., | $ | 196,350 | |||||
|
| |||||||
1,514,700 | ||||||||
|
| |||||||
Media Entertainment – 3.4% |
| |||||||
160,000 | Clear Channel Worldwide Holdings, Inc., | 137,200 | ||||||
720,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., | 585,014 | ||||||
120,000 | Gray Television, Inc., | 117,300 | ||||||
275,000 | iHeartCommunications, Inc., | 247,500 | ||||||
99,931 | iHeartCommunications, Inc., | 94,560 | ||||||
716,125 | iHeartCommunications, Inc., | 623,473 | ||||||
335,000 | Lamar Media Corp., | 314,022 | ||||||
125,000 | Lamar Media Corp., | 116,250 | ||||||
305,000 | Meredith Corp., | 267,577 | ||||||
105,000 | Nexstar Broadcasting, Inc., | 102,638 | ||||||
805,000 | Nielsen Finance LLC/Nielsen Finance Co., | 742,065 | ||||||
120,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., | 106,800 | ||||||
170,000 | Terrier Media Buyer, Inc., | 143,650 | ||||||
|
| |||||||
3,598,049 | ||||||||
|
| |||||||
Metals & Mining – 3.9% |
| |||||||
60,000 | Allegheny Technologies, Inc., | 49,950 | ||||||
190,000 | Commercial Metals Co., | 179,075 | ||||||
465,000 | First Quantum Minerals Ltd., | 385,950 | ||||||
1,035,000 | First Quantum Minerals Ltd., | 830,587 | ||||||
200,000 | First Quantum Minerals Ltd., | 168,375 | ||||||
210,000 | First Quantum Minerals Ltd., | 174,760 | ||||||
370,000 | FMG Resources (August 2006) Pty Ltd., | 364,450 | ||||||
470,000 | Freeport-McMoRan, Inc., | 410,075 | ||||||
555,000 | Freeport-McMoRan, Inc., | 482,850 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Metals & Mining – continued |
| |||||||
$ 150,000 | Freeport-McMoRan, Inc., | $ | 139,268 | |||||
435,000 | Mineral Resources Ltd., | 407,538 | ||||||
440,000 | Novelis Corp., | 391,600 | ||||||
125,000 | United States Steel Corp., | 78,750 | ||||||
75,000 | United States Steel Corp., | 52,298 | ||||||
|
| |||||||
4,115,526 | ||||||||
|
| |||||||
Midstream – 2.7% |
| |||||||
385,000 | EnLink Midstream Partners LP, | 140,409 | ||||||
205,000 | EnLink Midstream Partners LP, | 67,609 | ||||||
435,000 | EnLink Midstream Partners LP, | 146,812 | ||||||
80,000 | EQM Midstream Partners LP, Series 10Y, | 44,456 | ||||||
320,000 | Genesis Energy LP/Genesis Energy Finance Corp., | 222,784 | ||||||
1,265,000 | Hess Midstream Operations LP, | 907,372 | ||||||
105,000 | NGL Energy Partners LP/NGL Energy Finance Corp., | 35,700 | ||||||
935,000 | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., | 168,300 | ||||||
335,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., | 177,550 | ||||||
95,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., | 81,767 | ||||||
640,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., | 550,400 | ||||||
255,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., | 196,962 | ||||||
175,000 | Western Midstream Operating LP, | 76,185 | ||||||
|
| |||||||
2,816,306 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 1.6% |
| |||||||
100,000 | CG-CCRE Commercial Mortgage Trust, Series2014-FL2, Class COL1, | 99,724 | ||||||
225,000 | CG-CCRE Commercial Mortgage Trust, Series2014-FL2, Class COL2, | 223,829 | ||||||
1,020,000 | Credit Suisse Mortgage Trust, Series2014-USA, Class E, | 745,423 | ||||||
380,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, | 277,400 | ||||||
420,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, | 243,633 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||
$ 125,000 | WFRBS Commercial Mortgage Trust, Series2012-C7, Class E, | $ | 91,791 | |||||
|
| |||||||
1,681,800 | ||||||||
|
| |||||||
Oil Field Services – 1.6% |
| |||||||
935,000 | McDermott Technology Americas, Inc./McDermott Technology U.S., Inc., | 65,384 | ||||||
160,000 | Noble Holding International Ltd., | 9,882 | ||||||
765,000 | Shelf Drilling Holdings Ltd., | 365,670 | ||||||
338,175 | Transocean Guardian Ltd., | 270,540 | ||||||
20,875 | Transocean Pontus Ltd., | 16,909 | ||||||
196,000 | Transocean Proteus Ltd., | 156,800 | ||||||
695,000 | Transocean Sentry Ltd., | 583,800 | ||||||
175,000 | Transocean, Inc., | 82,250 | ||||||
490,000 | Valaris PLC, | 106,575 | ||||||
|
| |||||||
1,657,810 | ||||||||
|
| |||||||
Packaging – 0.7% |
| |||||||
570,000 | ARD Finance S.A., | 489,573 | ||||||
290,000 | Mauser Packaging Solutions Holding Co., | 230,550 | ||||||
|
| |||||||
720,123 | ||||||||
|
| |||||||
Pharmaceuticals – 4.0% |
| |||||||
30,000 | Bausch Health Americas, Inc., | 31,350 | ||||||
400,000 | Bausch Health Cos., Inc., | 378,680 | ||||||
395,000 | Bausch Health Cos., Inc., | 373,496 | ||||||
40,000 | Bausch Health Cos., Inc., | 39,200 | ||||||
36,000 | Bausch Health Cos., Inc., | 35,820 | ||||||
220,000 | Bausch Health Cos., Inc., | 216,700 | ||||||
145,000 | Bausch Health Cos., Inc., | 150,481 | ||||||
170,000 | Bausch Health Cos., Inc., | 179,214 | ||||||
280,000 | Catalent Pharma Solutions, Inc., | 271,600 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Pharmaceuticals – continued |
| |||||||
$ 600,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., | $ | 408,000 | |||||
225,000 | Teva Pharmaceutical Finance Netherlands III BV, | 207,198 | ||||||
180,000 | Teva Pharmaceutical Finance Netherlands III BV, | 151,623 | ||||||
2,170,000 | Teva Pharmaceutical Finance Netherlands III BV, | 1,556,975 | ||||||
200,000 | Teva Pharmaceutical Finance Netherlands III BV, | 198,000 | ||||||
|
| |||||||
4,198,337 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.7% |
| |||||||
45,000 | AmWINS Group, Inc., | 44,100 | ||||||
780,000 | Ardonagh Midco 3 PLC, | 694,200 | ||||||
|
| |||||||
738,300 | ||||||||
|
| |||||||
Real Estate Operations/Development – 0.2% |
| |||||||
200,000 | Easy Tactic Ltd., | 164,392 | ||||||
|
| |||||||
Refining – 0.9% |
| |||||||
405,000 | Parkland Fuel Corp., | 379,647 | ||||||
635,000 | Parkland Fuel Corp., | 590,550 | ||||||
|
| |||||||
970,197 | ||||||||
|
| |||||||
REITs - Hotels – 0.2% |
| |||||||
290,000 | Service Properties Trust, | 219,940 | ||||||
|
| |||||||
REITs - Mortgage – 1.0% |
| |||||||
285,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., | 225,150 | ||||||
720,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., | 592,416 | ||||||
255,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., | 214,200 | ||||||
|
| |||||||
1,031,766 | ||||||||
|
| |||||||
REITs - Regional Malls – 0.5% |
| |||||||
695,000 | Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, | 563,909 | ||||||
|
| |||||||
Restaurants – 1.3% |
| |||||||
400,000 | 1011778 B.C. ULC/New Red Finance, Inc., | 369,560 | ||||||
890,000 | 1011778 B.C. ULC/New Red Finance, Inc., | 849,941 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Restaurants – continued |
| |||||||
$ 110,000 | Yum! Brands, Inc., | $ | 103,400 | |||||
|
| |||||||
1,322,901 | ||||||||
|
| |||||||
Retailers – 1.9% |
| |||||||
75,000 | Asbury Automotive Group, Inc., | 63,750 | ||||||
83,000 | Asbury Automotive Group, Inc., | 70,550 | ||||||
480,000 | Hanesbrands, Inc., | 470,453 | ||||||
140,000 | L Brands, Inc., | 106,946 | ||||||
105,000 | L Brands, Inc., | 75,600 | ||||||
390,000 | L Brands, Inc., | 288,600 | ||||||
105,000 | Murphy Oil USA, Inc., | 98,438 | ||||||
695,000 | PetSmart, Inc., | 647,219 | ||||||
40,000 | PetSmart, Inc., | 36,200 | ||||||
125,000 | William Carter Co. (The), | 120,937 | ||||||
|
| |||||||
1,978,693 | ||||||||
|
| |||||||
Supermarkets – 1.0% |
| |||||||
345,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, | 339,653 | ||||||
365,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, | 363,175 | ||||||
365,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, | 364,087 | ||||||
|
| |||||||
1,066,915 | ||||||||
|
| |||||||
Technology – 6.5% |
| |||||||
335,000 | Camelot Finance S.A., | 324,950 | ||||||
120,000 | CDK Global, Inc., | 122,400 | ||||||
290,000 | CDW LLC/CDM Finance Corp., | 291,450 | ||||||
825,000 | CommScope Technologies LLC, | 715,687 | ||||||
100,000 | CommScope Technologies LLC, | 91,520 | ||||||
1,455,000 | CommScope, Inc., | 1,472,460 | ||||||
620,000 | Dun & Bradstreet Corp. (The), | 644,800 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Technology – continued |
| |||||||
$ 690,000 | Iron Mountain, Inc., | $ | 648,172 | |||||
530,000 | Nokia OYJ, | 514,100 | ||||||
190,000 | Open Text Corp., | 199,291 | ||||||
110,000 | Presidio Holdings, Inc., | 98,450 | ||||||
110,000 | Presidio Holdings, Inc., | 96,938 | ||||||
170,000 | PTC, Inc., | 158,950 | ||||||
245,000 | PTC, Inc., | 235,274 | ||||||
275,000 | Sabre GLBL, Inc., | 250,250 | ||||||
15,000 | Science Applications International Corp., | 14,400 | ||||||
900,000 | Western Digital Corp., | 913,500 | ||||||
|
| |||||||
6,792,592 | ||||||||
|
| |||||||
Transportation Services – 0.2% |
| |||||||
275,000 | APL Ltd., | 110,000 | ||||||
100,000 | Hertz Corp. (The), | 52,971 | ||||||
|
| |||||||
162,971 | ||||||||
|
| |||||||
Wireless – 3.0% |
| |||||||
1,000,000 | Altice France Holding S.A., | 1,056,990 | ||||||
345,000 | Kenbourne Invest S.A., | 263,991 | ||||||
200,000 | Millicom International Cellular S.A., | 174,000 | ||||||
550,000 | Sprint Capital Corp., | 628,210 | ||||||
890,000 | Sprint Corp., | 976,908 | ||||||
|
| |||||||
3,100,099 | ||||||||
|
| |||||||
Wirelines – 1.8% |
| |||||||
25,000 | CenturyLink, Inc., | 25,000 | ||||||
130,000 | Cincinnati Bell Telephone Co. LLC, | 126,126 | ||||||
670,000 | Frontier Communications Corp., | 660,808 | ||||||
755,000 | Level 3 Financing, Inc., | 750,394 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Wirelines – continued |
| |||||||
$ 120,000 | Telecom Italia Capital S.A., | $ | 124,200 | |||||
235,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, | 179,775 | ||||||
505,000 | Windstream Services LLC/Windstream Finance Corp., | 20,200 | ||||||
|
| |||||||
1,886,503 | ||||||||
|
| |||||||
TotalNon-Convertible Bonds | 92,493,300 | |||||||
|
| |||||||
Convertible Bonds – 5.3% | ||||||||
Cable Satellite – 1.7% |
| |||||||
850,000 | DISH Network Corp., | 673,625 | ||||||
1,365,000 | DISH Network Corp., | 1,108,177 | ||||||
|
| |||||||
1,781,802 | ||||||||
|
| |||||||
Diversified Manufacturing – 0.6% |
| |||||||
755,000 | Greenbrier Cos., Inc. (The), | 575,687 | ||||||
|
| |||||||
Healthcare – 0.3% |
| |||||||
315,000 | Integra LifeSciences Holdings Corp., | 271,984 | ||||||
|
| |||||||
Independent Energy – 0.2% |
| |||||||
645,000 | Chesapeake Energy Corp., | 19,350 | ||||||
215,000 | PDC Energy, Inc., | 175,365 | ||||||
|
| |||||||
194,715 | ||||||||
|
| |||||||
Oil Field Services – 0.3% |
| |||||||
315,000 | Nabors Industries, Inc., | 53,692 | ||||||
395,000 | Oil States International, Inc., | 308,347 | ||||||
|
| |||||||
362,039 | ||||||||
|
| |||||||
Pharmaceuticals – 1.1% |
| |||||||
145,000 | Aerie Pharmaceuticals, Inc., | 129,879 | ||||||
490,000 | BioMarin Pharmaceutical, Inc., | 513,487 | ||||||
130,000 | Flexion Therapeutics, Inc., | 99,713 | ||||||
215,000 | Intercept Pharmaceuticals, Inc., | 172,010 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Convertible Bonds – continued |
| |||||||
Pharmaceuticals – continued |
| |||||||
$ 240,000 | PTC Therapeutics, Inc., | $ | 268,461 | |||||
|
| |||||||
1,183,550 | ||||||||
|
| |||||||
Technology – 1.1% |
| |||||||
425,000 | Avaya Holdings Corp., | 324,917 | ||||||
655,000 | CalAmp Corp., | 426,405 | ||||||
120,000 | Microchip Technology, Inc., | 123,161 | ||||||
340,000 | Pure Storage, Inc., | 292,772 | ||||||
|
| |||||||
1,167,255 | ||||||||
|
| |||||||
Total Convertible Bonds | 5,537,032 | |||||||
|
| |||||||
Total Bonds and Notes | 98,030,332 | |||||||
|
| |||||||
Senior Loans – 0.1% | ||||||||
Retailers – 0.1% |
| |||||||
401,903 | J.C. Penney Corp., Inc., 2016 Term Loan B, | 158,080 | ||||||
|
| |||||||
Loan Participations – 0.3% | ||||||||
ABS Other – 0.3% |
| |||||||
294,855 | Harbour Aircraft Investments Ltd., Series2017-1, Class C, | 271,646 | ||||||
|
| |||||||
Shares | ||||||||
Preferred Stocks – 2.1% | ||||||||
Food & Beverage – 1.8% |
| |||||||
21,381 | Bunge Ltd., | 1,865,706 | ||||||
|
| |||||||
Healthcare – 0.1% |
| |||||||
127 | Danaher Corp., Series A, | 131,210 | ||||||
|
| |||||||
Midstream – 0.0% |
| |||||||
988 | Chesapeake Energy Corp., | 28,139 | ||||||
20 | Chesapeake Energy Corp., | 569 |
Shares | Description | Value (†) | ||||||
Preferred Stocks – continued | ||||||||
Midstream – continued |
| |||||||
137 | Chesapeake Energy Corp., | $ | 3,902 | |||||
|
| |||||||
32,610 | ||||||||
|
| |||||||
Technology – 0.2% |
| |||||||
190 | Broadcom, Inc., Series A, | 177,529 | ||||||
|
| |||||||
Total Preferred Stocks | 2,207,055 | |||||||
|
| |||||||
Common Stocks – 0.3% | ||||||||
Chemicals – 0.1% |
| |||||||
12,177 | Hexion Holdings Corp., Class B(e)(g)(h) | 123,292 | ||||||
|
| |||||||
Media – 0.2% |
| |||||||
41,970 | Clear Channel Outdoor Holdings, Inc.(h) | 26,861 | ||||||
17,204 | iHeartMedia, Inc., Class A(h) | 125,761 | ||||||
|
| |||||||
152,622 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.0% |
| |||||||
3,650 | Battalion Oil Corp.(h) | 17,064 | ||||||
|
| |||||||
Total Common Stocks | 292,978 | |||||||
|
| |||||||
Other Investments – 0.1% | ||||||||
Aircraft ABS – 0.1% |
| |||||||
100 | ECAF I Blocker Ltd.(c)(e)(f)(j) | 113,400 | ||||||
|
| |||||||
Warrants – 0.0% | ||||||||
466 | iHeartMedia, Inc., Expiration on 5/1/2039(h) | 2,971 | ||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments – 20.6% | ||||||||
$ 21,493,895 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2020 at 0.000% to be repurchased at $21,493,895 on 4/01/2020 collateralized by $20,460,000 U.S. Treasury Note, 2.500% due 3/31/2023 valued at $21,809,889; $115,000 U.S. Treasury Note, 1.750% due 11/30/2021 valued at $118,600 including accrued interest(k) | 21,493,895 | ||||||
|
| |||||||
Total Investments – 117.4% | 122,570,357 | |||||||
Other assets less liabilities – (17.4)% | (18,156,705 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 104,413,652 | ||||||
|
|
(†) | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. |
Senior loans are valued at bid prices supplied by an independent pricing service, if available. |
Listed equity securities (including shares ofclosed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.
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 Net Assets | |||
$2,041,597 | 2.0% | $357,033 | 0.3% |
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.
(a) | Variable rate security. Rate as of March 31, 2020 is disclosed. |
(b) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended March 31, 2020, interest payments were made in cash. |
(c) | Level 3 security. Value has been determined using significant unobservable inputs. |
(d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(e) | Illiquid security. |
(f) | Fair valued by the Fund’s adviser. At March 31, 2020, the value of these securities amounted to $357,033 or 0.3% of net assets. |
(g) | 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 $2,041,597 or 2.0% of net assets. |
(h) | Non-income producing security. |
(i) | 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. |
(j) | Securities subject to restriction on resale. At March 31, 2020, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||
ECAF I Blocker Ltd. | 12/20/2016 | $1,000,000 | $113,400 | 0.1% |
(k) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements 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. |
(k) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements 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 $61,176,705 or 58.6% of net assets. | |||||||
ABS | Asset-Backed Securities | |||||||
EMTN | Euro Medium Term Note | |||||||
GMTN | Global Medium Term Note | |||||||
LIBOR | London Interbank Offered Rate | |||||||
MTN | Medium Term Note | |||||||
PIK | Payment-in-Kind | |||||||
REITs | Real Estate Investment Trusts |
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 | ||||||||||||||||
Home Construction | $ | — | $ | 1,263,605 | $ | — | (a) | $ | 1,263,605 | |||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 1,438,167 | 243,633 | (b) | 1,681,800 | |||||||||||
All OtherNon-Convertible Bonds* | — | 89,547,895 | — | 89,547,895 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TotalNon-Convertible Bonds | — | 92,249,667 | 243,633 | 92,493,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds | ||||||||||||||||
Independent Energy | — | 175,365 | 19,350 | (c) | 194,715 | |||||||||||
All Other Convertible Bonds* | — | 5,342,317 | — | 5,342,317 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Convertible Bonds | — | 5,517,682 | 19,350 | 5,537,032 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 97,767,349 | 262,983 | 98,030,332 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Senior Loans* | — | 158,080 | — | 158,080 | ||||||||||||
Loan Participations* | — | 271,646 | — | 271,646 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Food & Beverage | — | 1,865,706 | — | 1,865,706 | ||||||||||||
Midstream | — | 32,610 | — | 32,610 | ||||||||||||
All Other Preferred Stocks* | 308,739 | — | — | 308,739 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 308,739 | 1,898,316 | — | 2,207,055 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks | ||||||||||||||||
Chemicals | — | 123,292 | — | 123,292 | ||||||||||||
All Other Common Stocks* | 169,686 | — | — | 169,686 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 169,686 | 123,292 | — | 292,978 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Other Investments* | — | — | 113,400 | (b) | 113,400 | |||||||||||
Warrants | — | 2,971 | — | 2,971 | ||||||||||||
Short-Term Investments | — | 21,493,895 | — | 21,493,895 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 478,425 | $ | 121,715,549 | $376,383 | $ | 122,570,357 | |||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(a) | Includes a security fair valued at zero by the Fund’s adviser using Level 3 inputs. |
(b) | Fair valued by the Fund’s adviser. |
(c) | 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 | ||||||||||||||||||||||||||||||||||||||||
Home Construction | $ | — | (a) | $ | 58,097 | $ | 1,050,446 | $ | (1,108,543 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | (a) | $ | (1,108,543 | ) | ||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | 325,435 | — | — | (81,802 | ) | — | — | — | — | 243,633 | (81,802 | ) | ||||||||||||||||||||||||||||
Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
Independent Energy | — | 24 | — | (287,942 | ) | — | — | 307,268 | — | 19,350 | (287,942 | ) | ||||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Midstream | 196,350 | — | — | — | — | — | — | (196,350 | ) | — | — | |||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | 52,304 | — | — | — | — | — | — | (52,304 | ) | — | — | |||||||||||||||||||||||||||||
Other Investments | ||||||||||||||||||||||||||||||||||||||||
Aircraft ABS | 864,000 | — | — | (750,600 | ) | — | — | — | — | 113,400 | (750,600 | ) | ||||||||||||||||||||||||||||
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Total | $ | 1,438,089 | $ | 58,121 | $ | 1,050,446 | $ | (2,228,887 | ) | $ | — | $ | — | $ | 307,268 | $ | (248,654 | ) | $ | 376,383 | $ | (2,228,887 | ) | |||||||||||||||||
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(a) | Includes a security fair valued at zero using level 3 inputs. |
A debt security valued at $307,268 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.
Preferred stocks valued at $196,350 were transferred from Level 3 to Level 2 during the period ended March 31, 2020. At December 31, 2019, these securities were 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 securities. At March 31, 2020, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.
A common stock valued at $52,304 was transferred from Level 3 to Level 1 during the period ended March 31, 2020. At December 31, 2019, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the security. At March 31, 2020, this security was valued at the market price in the in accordance with the Fund’s valuation policies.
Industry Summary at March 31, 2020 (Unaudited)
Healthcare | 9.0 | % | ||
Technology | 7.8 | |||
Cable Satellite | 7.4 | |||
Pharmaceuticals | 5.1 | |||
Food & Beverage | 4.9 | |||
Metals & Mining | 3.9 | |||
Independent Energy | 3.8 | |||
Consumer Cyclical Services | 3.6 | |||
Media Entertainment | 3.4 | |||
Finance Companies | 3.1 | |||
Aerospace & Defense | 3.1 | |||
Wireless | 3.0 | |||
Automotive | 2.9 | |||
Midstream | 2.7 | |||
Gaming | 2.6 | |||
Building Materials | 2.1 | |||
Electric | 2.1 | |||
Retailers | 2.0 | |||
Other Investments, less than 2% each | 24.3 | |||
Short-Term Investments | 20.6 | |||
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Total Investments | 117.4 | |||
Other assets less liabilities | (17.4 | ) | ||
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Net Assets | 100.0 | % | ||
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