PORTFOLIO OF INVESTMENTS – as of September 30, 2020 (Unaudited)
Loomis Sayles Investment Grade Bond Fund
Principal | Description | Value (†) | ||||||
Bonds and Notes – 94.5% of Net Assets | ||||||||
Non-Convertible Bonds – 93.6% | ||||||||
ABS Car Loan – 6.4% |
| |||||||
$ 16,590,000 | Ally Auto Receivables Trust, Series 2019-1, Class A3, 2.910%, 9/15/2023 | $ | 16,913,658 | |||||
7,865,000 | American Credit Acceptance Receivables Trust, Series 2019-3, Class D, 2.890%, 9/12/2025, 144A | 8,047,444 | ||||||
1,965,000 | AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024 | 2,087,775 | ||||||
10,515,000 | AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024 | 11,116,717 | ||||||
25,880,000 | AmeriCredit Automobile Receivables Trust, Series 2019-1, Class D, 3.620%, 3/18/2025 | 26,998,148 | ||||||
12,340,000 | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class D, 2.990%, 6/18/2025 | 12,984,709 | ||||||
1,395,000 | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026 | 1,413,280 | ||||||
4,800,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A | 4,841,880 | ||||||
3,650,000 | CarMax Auto Owner Trust, Series 2018-3, Class D, 3.910%, 1/15/2025 | 3,759,026 | ||||||
13,585,000 | CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025(a)(b) | 13,970,250 | ||||||
5,811,000 | CarMax Auto Owner Trust, Series 2019-2, Class D, 3.410%, 10/15/2025 | 5,945,447 | ||||||
2,315,000 | CarMax Auto Owner Trust, Series 2019-3, Class D, 2.850%, 1/15/2026 | 2,393,670 | ||||||
4,625,000 | CarMax Auto Owner Trust, Series 2020-1, Class D, 2.640%, 7/15/2026 | 4,710,031 | ||||||
1,800,000 | Credit Acceptance Auto Loan Trust, Series 2017-3A, Class C, 3.480%, 10/15/2026, 144A | 1,819,198 | ||||||
23,320,000 | Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C, 3.940%, 6/15/2028, 144A | 24,383,709 | ||||||
2,525,000 | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C, 2.730%, 11/15/2029, 144A | 2,563,385 | ||||||
6,555,000 | Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026 | 6,956,311 | ||||||
16,395,000 | Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026 | 17,211,233 | ||||||
3,700,000 | Drive Auto Receivables Trust, Series 2019-2, Class D, 3.690%, 8/17/2026 | 3,884,213 | ||||||
10,760,000 | DT Auto Owner Trust, Series 2019-1A, Class D, 3.870%, 11/15/2024, 144A | 11,151,395 | ||||||
3,950,000 | DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A | 4,101,471 | ||||||
3,400,000 | DT Auto Owner Trust, Series 2019-3A, Class D, 2.960%, 4/15/2025, 144A | 3,482,617 | ||||||
3,790,000 | First Investors Auto Owner Trust, Series 2019-1A, Class D, 3.550%, 4/15/2025, 144A | 3,952,827 | ||||||
4,610,000 | Flagship Credit Auto Trust, Series 2019-3, Class D, 2.860%, 12/15/2025, 144A | 4,717,677 | ||||||
170,195 | Ford Credit Auto Owner Trust, Series 2017-B, Class A3, 1.690%, 11/15/2021 | 170,320 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Car Loan – continued |
| |||||||
$ 30,600,000 | Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024 | $ | 30,747,339 | |||||
8,555,000 | GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A | 8,872,918 | ||||||
13,564,820 | GM Financial Consumer Automobile Receivables Trust, Series 2019-1, Class A3, 2.970%, 11/16/2023 | 13,832,857 | ||||||
6,255,000 | GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024 | 6,387,306 | ||||||
1,400,000 | GMF Floorplan Owner Revolving Trust, Series 2020-1, Class C, 1.480%, 8/15/2025, 144A | 1,399,453 | ||||||
132,713 | Honda Auto Receivables Owner Trust, Series 2017-2, Class A3, 1.680%, 8/16/2021 | 132,856 | ||||||
3,925,000 | Honda Auto Receivables Owner Trust, Series 2017-2, Class A4, 1.870%, 9/15/2023 | 3,936,414 | ||||||
5,925,000 | Honda Auto Receivables Owner Trust, Series 2019-1, Class A3, 2.830%, 3/20/2023 | 6,055,250 | ||||||
6,655,000 | Nissan Auto Receivables Owner Trust, Series 2019-C, Class A3, 1.930%, 7/15/2024 | 6,819,361 | ||||||
18,955,000 | Nissan Auto Receivables Owner Trust, Series 2020-B, Class A3, 0.550%, 7/15/2024 | 18,949,465 | ||||||
12,815,000 | Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028 | 14,277,537 | ||||||
27,665,000 | Santander Drive Auto Receivables Trust, Series 2019-1, Class D, 3.650%, 4/15/2025 | 28,760,905 | ||||||
6,995,000 | Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025 | 7,226,862 | ||||||
8,455,000 | Santander Drive Auto Receivables Trust, Series 2019-3, Class D, 2.680%, 10/15/2025 | 8,698,731 | ||||||
2,900,000 | Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026 | 2,942,813 | ||||||
86,779 | Toyota Auto Receivables Owner Trust, Series 2017-B, Class A3, 1.760%, 7/15/2021 | 86,823 | ||||||
15,495,000 | Westlake Automobile Receivables Trust, Series 2019-1A, Class D, 3.670%, 3/15/2024, 144A | 16,049,496 | ||||||
|
| |||||||
374,752,777 | ||||||||
|
| |||||||
ABS Credit Card – 0.4% |
| |||||||
939,000 | American Express Credit Account Master Trust, Series 2018-8, Class A, 3.180%, 4/15/2024 | 965,359 | ||||||
8,000,000 | American Express Credit Account Master Trust, Series 2019-1, Class A, 2.870%, 10/15/2024 | 8,307,991 | ||||||
11,730,000 | Capital One Multi-Asset Execution Trust, Series 2019-A1, Class A1, 2.840%, 12/15/2024 | 12,142,689 | ||||||
1,690,000 | Citibank Credit Card Issuance Trust, Series 2016-A2, Class A2, 2.190%, 11/20/2023 | 1,727,443 | ||||||
|
| |||||||
23,143,482 | ||||||||
|
| |||||||
ABS Home Equity – 5.4% |
| |||||||
15,451,000 | American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A | 17,076,473 | ||||||
2,838,267 | Bayview Opportunity Master Fund IVb Trust, Series 2019-RN4, Class A1, 3.278%, 10/28/2034, 144A(c) | 2,829,116 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Home Equity – continued |
| |||||||
$ 1,250,000 | Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class B2, 4.750%, 1/28/2055, 144A(c) | $ | 1,337,522 | |||||
3,990,000 | Bayview Opportunity Master Fund V Trust, Series 2020-RN3, Class A1, 3.105%, 9/25/2035, 144A(c) | 3,991,995 | ||||||
4,800,788 | Brass PLC, Series 8A, Class A1, 3-month LIBOR + 0.700%, 0.980%, 11/16/2066, 144A(d) | 4,812,637 | ||||||
1,903,709 | Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(c) | 1,925,062 | ||||||
445,439 | Citigroup Mortgage Loan Trust, Series 2018-A, Class A1, 4.000%, 1/25/2068, 144A(c) | 447,423 | ||||||
5,084,093 | Citigroup Mortgage Loan Trust, Series 2019-B, Class A1, 3.258%, 4/25/2066, 144A(c) | 5,141,800 | ||||||
6,741,203 | Citigroup Mortgage Loan Trust, Series 2019-RP1, Class A1, 3.500%, 1/25/2066, 144A(c) | 7,204,744 | ||||||
2,434,000 | CoreVest American Finance Trust, Series 2019-1, Class D, 4.818%, 3/15/2052, 144A | 2,577,219 | ||||||
5,454,017 | CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A | 5,656,832 | ||||||
2,929,000 | CoreVest American Finance Trust, Series 2019-3, Class B, 3.163%, 10/15/2052, 144A | 2,969,832 | ||||||
1,259,000 | CoreVest American Finance Trust, Series 2020-2, Class C, 4.845%, 5/15/2052, 144A(c) | 1,187,966 | ||||||
4,710,000 | Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(c) | 4,709,854 | ||||||
3,083,000 | FirstKey Homes Trust, Series 2020-SRF1, Class D, 2.241%, 9/17/2025, 144A | 3,102,753 | ||||||
1,515,000 | FirstKey Homes Trust, Series 2020-SRF1, Class E, 2.791%, 8/17/2037, 144A | 1,549,589 | ||||||
3,331,666 | GCAT LLC, Series 2019-3, Class A1, 3.352%, 10/25/2049, 144A(c) | 3,261,962 | ||||||
3,798,768 | GCAT LLC, Series 2020-1, Class A1, 2.981%, 1/26/2060, 144A(c) | 3,736,484 | ||||||
8,085,992 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(c) | 8,410,242 | ||||||
653,639 | Gosforth Funding PLC, Series 2018-1A, Class A1, 3-month LIBOR + 0.450%, 0.700%, 8/25/2060, 144A(d) | 653,522 | ||||||
1,725,496 | Grand Avenue Mortgage Loan Trust, Series 2017-RPL1, Class A1, 3.250%, 8/25/2064, 144A | 1,690,466 | ||||||
2,799,931 | Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/2039, 144A | 2,838,759 | ||||||
2,585,651 | Home Partners of America Trust, Series 2019-2, Class D, 3.121%, 10/19/2039, 144A | 2,689,532 | ||||||
3,050,000 | Invitation Homes Trust, Series 2018-SFR4, Class D, 1-month LIBOR + 1.650%, 1.801%, 1/17/2038, 144A(d) | 3,049,998 | ||||||
7,020,000 | Lanark Master Issuer PLC, Series 2019-2A, Class 1A, 2.710%, 12/22/2069, 144A(c) | 7,157,739 | ||||||
895,000 | Lanark Master Issuer PLC, Series 2020-1A, Class 1A, 2.277%, 12/22/2069, 144A(c) | 911,405 | ||||||
10,919,429 | Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 3.250%, 11/25/2059, 144A(c) | 10,919,506 | ||||||
3,816,385 | Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(c) | 3,883,615 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Home Equity – continued |
| |||||||
$ 7,921,759 | Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(c) | $ | 7,941,839 | |||||
2,037,181 | Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A | 2,050,141 | ||||||
1,467,786 | Mill City Mortgage Loan Trust, Series 2018-2, Class M1, 3.750%, 5/25/2058, 144A(c) | 1,569,043 | ||||||
2,744,944 | Mill City Mortgage Loan Trust, Series 2019-1, Class M1, 3.500%, 10/25/2069, 144A(c) | 3,014,385 | ||||||
4,405,374 | Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.250%, 10/25/2069, 144A(c) | 4,680,702 | ||||||
10,920,052 | Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1, 2.750%, 7/25/2059, 144A(c) | 11,409,780 | ||||||
1,671,816 | New Residential Mortgage Loan Trust, Series 2020-NPL2, Class A1, 3.228%, 8/25/2060, 144A(c) | 1,671,629 | ||||||
5,663,892 | OSW Structured Asset Trust, Series 2020-RPL1, Class A1, 3.072%, 12/26/2059, 144A(c) | 5,748,764 | ||||||
2,899,570 | Preston Ridge Partners Mortgage LLC, Series 2019-3A, Class A1, 3.351%, 7/25/2024, 144A(c) | 2,891,018 | ||||||
4,980,298 | Preston Ridge Partners Mortgage LLC, Series 2019-4A, Class A1, 3.351%, 11/25/2024, 144A(c) | 4,987,211 | ||||||
17,531,812 | Preston Ridge Partners Mortgage LLC, Series 2020-1A, Class A1, 2.981%, 2/25/2025, 144A(c) | 17,468,531 | ||||||
7,212,000 | Preston Ridge Partners Mortgage LLC, Series 2020-3, Class A1, 3.104%, 9/25/2025, 144A(c) | 7,211,879 | ||||||
3,708,000 | Progress Residential Trust, Series 2017-SFR2, Class E, 4.142%, 12/17/2034, 144A | 3,724,514 | ||||||
1,332,000 | Progress Residential Trust, Series 2018-SFR2, Class E, 4.656%, 8/17/2035, 144A | 1,365,764 | ||||||
2,290,000 | Progress Residential Trust, Series 2018-SFR3, Class D, 4.427%, 10/17/2035, 144A | 2,360,131 | ||||||
2,530,000 | Progress Residential Trust, Series 2018-SFR3, Class E, 4.873%, 10/17/2035, 144A | 2,601,511 | ||||||
2,830,000 | Progress Residential Trust, Series 2019-SFR1, Class D, 4.168%, 8/17/2035, 144A | 2,910,816 | ||||||
4,732,000 | Progress Residential Trust, Series 2019-SFR2, Class D, 3.794%, 5/17/2036, 144A | 4,889,342 | ||||||
1,690,000 | Progress Residential Trust, Series 2019-SFR2, Class E, 4.142%, 5/17/2036, 144A | 1,739,881 | ||||||
3,860,000 | Progress Residential Trust, Series 2019-SFR4, Class D, 3.136%, 10/17/2036, 144A | 3,960,643 | ||||||
155,000 | Progress Residential Trust, Series 2020-SFR2, Class C, 3.077%, 6/17/2037, 144A | 160,430 | ||||||
1,818,000 | Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A | 1,818,185 | ||||||
2,189,037 | PRPM LLC, Series 2020-2, Class A1, 3.671%, 8/25/2025, 144A(c) | 2,189,421 | ||||||
50,564 | RCO V Mortgage LLC, Series 2019-1, Class A1, 3.721%, 5/24/2024, 144A(c) | 50,961 | ||||||
3,751,000 | RCO V Mortgage LLC, Series 2020-1, Class A1, 3.105%, 9/25/2025, 144A(c) | 3,752,875 | ||||||
2,172,062 | Sequoia Mortgage Trust, Series 2017-CH2, Class A1, 4.000%, 12/25/2047, 144A(c) | 2,233,154 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Home Equity – continued |
| |||||||
$ 3,962,944 | Sequoia Mortgage Trust, Series 2019-CH2, Class A1, 4.500%, 8/25/2049, 144A(c) | $ | 4,077,220 | |||||
4,930,000 | Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(c) | 5,173,160 | ||||||
6,390,000 | Towd Point Mortgage Trust, Series 2017-5, Class M2, 1-month LIBOR + 1.500%, 1.648%, 2/25/2057, 144A(d) | 6,279,888 | ||||||
2,146,332 | Towd Point Mortgage Trust, Series 2015-2, Class 1A13, 2.500%, 11/25/2060, 144A(c) | 2,166,317 | ||||||
935,257 | Towd Point Mortgage Trust, Series 2016-1, Class A1B, 2.750%, 2/25/2055, 144A(c) | 949,387 | ||||||
1,775,000 | Towd Point Mortgage Trust, Series 2018-4, Class A2, 3.000%, 6/25/2058, 144A(c) | 1,870,923 | ||||||
1,943,340 | Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(c) | 1,979,153 | ||||||
17,610,000 | Towd Point Mortgage Trust, Series 2019-2, Class M1, 3.750%, 12/25/2058, 144A(c) | 18,936,116 | ||||||
9,650,777 | Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(c) | 10,224,143 | ||||||
3,325,000 | Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060, 144A(c) | 3,479,213 | ||||||
3,950,000 | Tricon American Homes, Series 2020-SFR1, Class D, 2.548%, 7/17/2038, 144A | 4,022,277 | ||||||
2,575,000 | Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038, 144A | 2,687,528 | ||||||
9,797,190 | Vericrest Opportunity Loan Trust, Series 2019-NPL8, Class A1A, 3.278%, 11/25/2049, 144A(c) | 9,806,030 | ||||||
9,791,512 | Vericrest Opportunity Loan Trust, Series 2019-NPL5, Class A1A, 3.352%, 9/25/2049, 144A(c) | 9,802,728 | ||||||
3,684,182 | Vericrest Opportunity Loan Trust, Series 2019-NPL9, Class A1A, 3.327%, 11/26/2049, 144A(c) | 3,693,368 | ||||||
7,625,660 | Vericrest Opportunity Loan Trust, Series 2020-NPL1, Class A1A, 3.228%, 1/25/2050, 144A(c) | 7,640,185 | ||||||
4,976,883 | Vericrest Opportunity Loan Trust, Series 2020-NPL2, Class A1A, 2.981%, 2/25/2050, 144A(c) | 4,976,883 | ||||||
245,189 | Vericrest Opportunity Loan Trust, Series 2020-NPL3, Class A1A, 2.981%, 2/25/2050, 144A(c) | 245,189 | ||||||
|
| |||||||
318,136,305 | ||||||||
|
| |||||||
ABS Other – 2.9% |
| |||||||
940,000 | Dell Equipment Finance Trust, Series 2020-2, Class C, 1.370%, 1/22/2024, 144A | 947,469 | ||||||
945,000 | Dell Equipment Finance Trust, Series 2020-2, Class D, 1.920%, 3/23/2026, 144A | 945,938 | ||||||
39,262,848 | FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(a)(b)(e) | 21,594,566 | ||||||
12,067,388 | Horizon Aircraft Finance I Ltd., Series 2018-1, Class A, 4.458%, 12/15/2038, 144A | 11,399,893 | ||||||
2,847,595 | Horizon Aircraft Finance II Ltd., Series 2019-1, Class A, 3.721%, 7/15/2039, 144A | 2,658,778 | ||||||
1,975,000 | HPEFS Equipment Trust, Series 2019-1A, Class C, 2.490%, 9/20/2029, 144A | 2,018,318 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Other – continued |
| |||||||
$ 3,645,000 | HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A | $ | 3,665,305 | |||||
1,980,000 | HPEFS Equipment Trust, Series 2020-2A, Class C, 2.000%, 7/22/2030, 144A | 2,022,396 | ||||||
7,572,934 | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A | 6,573,879 | ||||||
13,381,506 | MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A | 12,313,629 | ||||||
3,870,701 | MAPS Ltd., Series 2019-1A, Class A, 4.458%, 3/15/2044, 144A | 3,583,378 | ||||||
13,610,000 | Mariner Finance Issuance Trust, Series 2018-AA, Class A, 4.200%, 11/20/2030, 144A | 13,677,459 | ||||||
3,081,892 | Marlette Funding Trust, Series 2019-4A, Class A, 2.390%, 12/17/2029, 144A | 3,110,951 | ||||||
1,117,811 | Marlette Funding Trust, Series 2019-1A, Class A, 3.440%, 4/16/2029, 144A | 1,128,989 | ||||||
8,040,000 | OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A | 8,265,062 | ||||||
4,675,000 | OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A | 5,030,076 | ||||||
6,585,000 | OneMain Financial Issuance Trust, Series 2020-2A, Class A, 1.750%, 9/14/2035, 144A | 6,634,552 | ||||||
14,989,742 | S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A | 13,575,502 | ||||||
790,000 | SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28-day ARS, 3.652%, 9/15/2032(d) | 775,150 | ||||||
1,195,000 | SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28-day ARS, 3.230%, 9/15/2032(d) | 1,172,536 | ||||||
13,765,000 | SoFi Consumer Loan Program Trust, Series 2019-1, Class C, 3.730%, 2/25/2028, 144A | 14,046,714 | ||||||
3,659,000 | SoFi Consumer Loan Program Trust, Series 2018-1, Class B, 3.650%, 2/25/2027, 144A | 3,761,179 | ||||||
6,720,000 | SoFi Consumer Loan Program Trust, Series 2018-4, Class C, 4.170%, 11/26/2027, 144A | 6,883,916 | ||||||
6,805,000 | SoFi Consumer Loan Program Trust, Series 2019-2, Class C, 3.460%, 4/25/2028, 144A | 6,956,285 | ||||||
12,755,000 | SoFi Consumer Loan Program Trust, Series 2019-3, Class C, 3.350%, 5/25/2028, 144A | 13,147,395 | ||||||
7,370,000 | SoFi Consumer Loan Program Trust, Series 2019-4, Class C, 2.840%, 8/25/2028, 144A | 7,431,687 | ||||||
|
| |||||||
173,321,002 | ||||||||
|
| |||||||
ABS Student Loan – 0.9% |
| |||||||
8,015,799 | ELFI Graduate Loan Program LLC, Series 2019-A, Class A, 2.540%, 3/25/2044, 144A | 8,237,823 | ||||||
8,825,000 | Laurel Road Prime Student Loan Trust, Series 2020-A, Class A2FX, 1.400%, 11/25/2050, 144A | 8,852,137 | ||||||
656,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 3.150%, 6/15/2032(d) | 642,884 | ||||||
489,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, 28-day ARS, 3.170%, 6/15/2032(d) | 479,223 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Student Loan – continued |
| |||||||
$ 959,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day ARS, 3.180%, 3/15/2033(d) | $ | 939,723 | |||||
651,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 3.200%, 3/15/2033(d) | 637,914 | ||||||
2,500,000 | SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A | 2,615,217 | ||||||
565,000 | SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A | 565,121 | ||||||
1,525,000 | SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A | 1,572,641 | ||||||
10,385,000 | SMB Private Education Loan Trust, Series 2019-A, Class A2A, 3.440%, 7/15/2036, 144A | 10,937,986 | ||||||
16,265,000 | SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.840%, 6/15/2037, 144A | 17,138,819 | ||||||
|
| |||||||
52,619,488 | ||||||||
|
| |||||||
ABS Whole Business – 1.3% |
| |||||||
10,082,550 | Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A | 10,490,685 | ||||||
3,595,000 | Adams Outdoor Advertising LP, Series 2018-1, Class B, 5.653%, 11/15/2048, 144A | 3,636,805 | ||||||
25,977,375 | Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/2047, 144A | 24,647,284 | ||||||
7,224,030 | DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A | 7,860,828 | ||||||
2,549,895 | Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A | 2,750,317 | ||||||
5,204,780 | Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A | 5,663,425 | ||||||
4,084,138 | Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A | 4,341,152 | ||||||
739,413 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A | 693,547 | ||||||
17,449,275 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A | 18,803,273 | ||||||
|
| |||||||
78,887,316 | ||||||||
|
| |||||||
Aerospace & Defense – 4.8% |
| |||||||
13,620,000 | BAE Systems PLC, 3.400%, 4/15/2030, 144A | 15,221,869 | ||||||
3,780,000 | Boeing Co. (The), 2.250%, 6/15/2026 | 3,679,366 | ||||||
4,874,000 | Boeing Co. (The), 2.950%, 2/01/2030 | 4,717,196 | ||||||
655,000 | Boeing Co. (The), 3.100%, 5/01/2026 | 653,389 | ||||||
3,225,000 | Boeing Co. (The), 3.200%, 3/01/2029 | 3,176,118 | ||||||
2,036,000 | Boeing Co. (The), 3.250%, 2/01/2035 | 1,913,775 | ||||||
9,088,000 | Boeing Co. (The), 3.375%, 6/15/2046 | 7,788,844 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Aerospace & Defense – continued |
| |||||||
$ 1,427,000 | Boeing Co. (The), 3.500%, 3/01/2039 | $ | 1,296,301 | |||||
850,000 | Boeing Co. (The), 3.550%, 3/01/2038 | 774,298 | ||||||
3,564,000 | Boeing Co. (The), 3.625%, 3/01/2048 | 3,132,053 | ||||||
2,111,000 | Boeing Co. (The), 3.650%, 3/01/2047 | 1,863,869 | ||||||
14,352,000 | Boeing Co. (The), 3.750%, 2/01/2050 | 13,096,344 | ||||||
1,932,000 | Boeing Co. (The), 3.825%, 3/01/2059 | 1,702,898 | ||||||
3,241,000 | Boeing Co. (The), 3.850%, 11/01/2048 | 2,969,824 | ||||||
7,330,000 | Boeing Co. (The), 3.900%, 5/01/2049 | 6,755,955 | ||||||
4,795,000 | Boeing Co. (The), 3.950%, 8/01/2059 | 4,340,737 | ||||||
�� | 8,060,000 | Boeing Co. (The), 5.150%, 5/01/2030 | 9,059,510 | |||||
5,676,000 | Boeing Co. (The), 5.705%, 5/01/2040 | 6,691,563 | ||||||
37,793,000 | Boeing Co. (The), 5.805%, 5/01/2050 | 45,721,220 | ||||||
8,696,000 | Boeing Co. (The), 5.930%, 5/01/2060 | 10,762,512 | ||||||
4,910,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 | 4,713,600 | ||||||
5,385,000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 | 5,113,057 | ||||||
6,885,000 | Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025, 144A | 7,565,202 | ||||||
4,245,000 | Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030, 144A | 4,872,387 | ||||||
650,000 | Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039 | 807,177 | ||||||
1,335,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | 1,095,501 | ||||||
29,075,000 | Textron, Inc., 3.000%, 6/01/2030 | 30,623,385 | ||||||
78,795,000 | Textron, Inc., 5.950%, 9/21/2021 | 81,803,394 | ||||||
|
| |||||||
281,911,344 | ||||||||
|
| |||||||
Airlines – 0.9% |
| |||||||
2,610,811 | Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A | 2,346,310 | ||||||
7,001,850 | American Airlines Pass Through Certificates, Series 2016-1, Class B, 5.250%, 7/15/2025 | 4,836,797 | ||||||
13,114,780 | American Airlines Pass Through Certificates, Series 2016-3, Class A, 3.250%, 4/15/2030 | 10,239,484 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Airlines – continued |
| |||||||
$ 1,597,035 | American Airlines Pass Through Certificates, Series 2016-3, Class B, 3.750%, 4/15/2027 | $ | 1,107,719 | |||||
5,519,963 | American Airlines Pass Through Certificates, Series 2017-2, Class A, 3.600%, 4/15/2031 | 4,500,551 | ||||||
3,557,335 | American Airlines Pass Through Certificates, Series 2017-2, Class B, 3.700%, 4/15/2027 | 2,263,082 | ||||||
1,791,550 | American Airlines Pass Through Trust, Series 2015-2, Class B, 4.400%, 3/22/2025 | 1,270,048 | ||||||
21,871,211 | American Airlines Pass Through Trust, Series 2019-1, Class B, 3.850%, 8/15/2029 | 14,285,400 | ||||||
6,708,517 | British Airways Pass Through Trust, Series 2019-1, Class A, 3.350%, 12/15/2030, 144A | 5,529,830 | ||||||
324,173 | Continental Airlines Pass Through Certificates, Series 2001-1, Class A-1, 6.703%, 12/15/2022 | 310,626 | ||||||
924,352 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024 | 920,950 | ||||||
3,959,577 | Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 | 3,724,945 | ||||||
2,583,954 | United Airlines Pass Through Trust, Series 2018-1, Class A, 3.700%, 9/01/2031 | 2,140,437 | ||||||
|
| |||||||
53,476,179 | ||||||||
|
| |||||||
Automotive – 2.5% |
| |||||||
18,836,000 | Cummins, Inc., 5.650%, 3/01/2098 | 22,834,129 | ||||||
5,274,000 | Cummins, Inc., 6.750%, 2/15/2027 | 6,783,468 | ||||||
8,176,000 | General Motors Co., 5.200%, 4/01/2045 | 8,806,900 | ||||||
27,915,000 | General Motors Co., 5.400%, 4/01/2048 | 30,892,462 | ||||||
625,000 | General Motors Co., 5.950%, 4/01/2049 | 732,335 | ||||||
13,500,000 | General Motors Co., 6.250%, 10/02/2043 | 15,998,358 | ||||||
50,000 | General Motors Co., 6.750%, 4/01/2046 | 61,549 | ||||||
38,060,000 | Toyota Motor Credit Corp., MTN, 2.650%, 4/12/2022 | 39,366,076 | ||||||
4,750,000 | Volkswagen Group of America Finance LLC, 2.500%, 9/24/2021, 144A | 4,838,138 | ||||||
12,005,000 | Volkswagen Group of America Finance LLC, 2.700%, 9/26/2022, 144A | 12,444,975 | ||||||
2,895,000 | Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A | 3,161,184 | ||||||
|
| |||||||
145,919,574 | ||||||||
|
| |||||||
Banking – 8.2% |
| |||||||
300,000 | Ally Financial, Inc., 3.875%, 5/21/2024 | 319,708 | ||||||
39,613,000 | Ally Financial, Inc., 4.625%, 3/30/2025 | 43,512,763 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Banking – continued |
| |||||||
$ 2,835,000 | Ally Financial, Inc., 5.750%, 11/20/2025 | $ | 3,178,560 | |||||
1,468,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 1,954,922 | ||||||
10,155,000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A | 11,302,515 | ||||||
49,304,000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028 | 54,864,289 | ||||||
100,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026 | 115,793 | ||||||
25,627,000 | Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027 | 29,361,312 | ||||||
4,287,000 | Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030 | 4,802,138 | ||||||
18,255,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 18,040,321 | ||||||
3,335,000 | BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A | 3,258,295 | ||||||
22,500,000 | BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A | 25,066,517 | ||||||
460,000 | Capital One Financial Corp., 4.200%, 10/29/2025 | 510,614 | ||||||
1,230,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 1,416,731 | ||||||
7,155,000 | Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A | 7,848,176 | ||||||
14,200,000 | Danske Bank A/S, 5.375%, 1/12/2024, 144A | 15,972,216 | ||||||
3,390,000 | Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A | 3,597,807 | ||||||
13,075,000 | Danske Bank A/S, (fixed rate to 9/20/2021, variable rate thereafter), 3.001%, 9/20/2022, 144A | 13,323,161 | ||||||
2,640,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 2,513,993 | ||||||
9,260,000 | Deutsche Bank AG, (fixed rate to 9/18/2023, variable rate thereafter), 2.222%, 9/18/2024 | 9,324,357 | ||||||
6,235,000 | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031 | 6,300,084 | ||||||
70,245,000 | JPMorgan Chase & Co., 4.125%, 12/15/2026 | 81,618,843 | ||||||
28,715,000 | JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031 | 35,042,134 | ||||||
100,000 | KeyBank NA, 6.950%, 2/01/2028 | 129,544 | ||||||
5,900,000 | Morgan Stanley, 5.750%, 1/25/2021 | 6,000,816 | ||||||
1,845,000 | Morgan Stanley, GMTN, 4.350%, 9/08/2026 | 2,135,589 | ||||||
20,695,000 | Morgan Stanley, MTN, 4.100%, 5/22/2023 | 22,416,210 | ||||||
15,160,000 | Santander Holdings USA, Inc., 3.244%, 10/05/2026 | 16,222,412 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Banking – continued |
| |||||||
$ 20,295,000 | Societe Generale S.A., 4.250%, 4/14/2025, 144A | $ | 21,647,459 | |||||
21,340,000 | Standard Chartered PLC, 3-month LIBOR + 1.150%, 1.422%, 1/20/2023, 144A(d) | 21,400,606 | ||||||
7,090,000 | Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A | 8,161,170 | ||||||
7,580,000 | Synchrony Financial, 2.850%, 7/25/2022 | 7,800,943 | ||||||
3,865,000 | Synchrony Financial, 4.375%, 3/19/2024 | 4,182,110 | ||||||
|
| |||||||
483,342,108 | ||||||||
|
| |||||||
Brokerage – 0.6% |
| |||||||
19,498,000 | Jefferies Group LLC, 6.250%, 1/15/2036 | 24,163,312 | ||||||
8,760,000 | Jefferies Group LLC, 6.450%, 6/08/2027 | 10,679,495 | ||||||
|
| |||||||
34,842,807 | ||||||||
|
| |||||||
Building Materials – 1.1% |
| |||||||
835,000 | CEMEX Finance LLC, 6.000%, 4/01/2024, 144A | 853,203 | ||||||
16,180,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A | 16,259,282 | ||||||
5,955,000 | Cemex SAB de CV, 5.450%, 11/19/2029, 144A | 6,021,994 | ||||||
1,665,000 | Cemex SAB de CV, 5.700%, 1/11/2025, 144A | 1,699,906 | ||||||
460,000 | Cemex SAB de CV, 7.750%, 4/16/2026, 144A | 484,725 | ||||||
3,285,000 | Ferguson Finance PLC, 3.250%, 6/02/2030, 144A | 3,570,481 | ||||||
23,975,000 | Owens Corning, 7.000%, 12/01/2036 | 31,961,412 | ||||||
2,655,000 | Vulcan Materials Co., 3.500%, 6/01/2030 | 2,973,391 | ||||||
|
| |||||||
63,824,394 | ||||||||
|
| |||||||
Cable Satellite – 2.4% |
| |||||||
9,425,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | 9,741,774 | ||||||
2,826,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A | 2,967,427 | ||||||
315,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032, 144A | 328,781 | ||||||
550,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A | 596,063 | ||||||
30,810,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050 | 35,035,087 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Cable Satellite – continued |
| |||||||
$ 6,695,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.750%, 4/01/2048 | $ | 8,352,595 | |||||
10,320,000 | Cox Communications, Inc., 4.500%, 6/30/2043, 144A | 12,462,428 | ||||||
5,820,000 | Cox Communications, Inc., 4.700%, 12/15/2042, 144A | 7,204,157 | ||||||
240,000 | CSC Holdings LLC, 5.750%, 1/15/2030, 144A | 255,000 | ||||||
2,360,000 | CSC Holdings LLC, 6.500%, 2/01/2029, 144A | 2,616,650 | ||||||
470,000 | Sirius XM Radio, Inc., 4.625%, 7/15/2024, 144A | 486,156 | ||||||
2,416,000 | Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A | 2,518,680 | ||||||
865,000 | Sirius XM Radio, Inc., 5.375%, 7/15/2026, 144A | 900,206 | ||||||
200,000 | Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A | 214,500 | ||||||
13,630,000 | Time Warner Cable LLC, 4.125%, 2/15/2021 | 13,683,235 | ||||||
17,891,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 19,434,362 | ||||||
15,815,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 19,158,094 | ||||||
800,000 | Videotron Ltd., 5.000%, 7/15/2022 | 835,000 | ||||||
2,185,000 | Virgin Media Secured Finance PLC, 5.500%, 8/15/2026, 144A | 2,277,862 | ||||||
1,600,000 | Ziggo BV, 5.500%, 1/15/2027, 144A | 1,676,000 | ||||||
|
| |||||||
140,744,057 | ||||||||
|
| |||||||
Chemicals – 1.1% |
| |||||||
6,990,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A | 6,526,913 | ||||||
27,205,000 | CF Industries, Inc., 4.500%, 12/01/2026, 144A | 31,568,881 | ||||||
3,740,000 | FMC Corp., 3.450%, 10/01/2029 | 4,165,231 | ||||||
2,075,000 | FMC Corp., 4.500%, 10/01/2049 | 2,579,702 | ||||||
8,145,000 | LYB International Finance III LLC, 4.200%, 10/15/2049 | 8,970,275 | ||||||
11,480,000 | Nutrition & Biosciences, Inc., 2.300%, 11/01/2030, 144A | 11,576,628 | ||||||
|
| |||||||
65,387,630 | ||||||||
|
| |||||||
Consumer Cyclical Services – 1.8% |
| |||||||
20,300,000 | Amazon.com, Inc., 2.500%, 6/03/2050 | 20,706,393 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Consumer Cyclical Services – continued |
| |||||||
$ 9,850,000 | Booking Holdings, Inc., 4.500%, 4/13/2027 | $ | 11,565,313 | |||||
16,000,000 | Booking Holdings, Inc., 4.625%, 4/13/2030 | 19,222,294 | ||||||
1,205,000 | eBay, Inc., 4.000%, 7/15/2042 | 1,346,714 | ||||||
22,736,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 21,906,374 | ||||||
9,925,000 | Expedia Group, Inc., 4.625%, 8/01/2027, 144A | 10,415,493 | ||||||
5,385,000 | Expedia Group, Inc., 6.250%, 5/01/2025, 144A | 5,939,165 | ||||||
2,755,000 | Expedia Group, Inc., 7.000%, 5/01/2025, 144A | 2,979,718 | ||||||
4,402,000 | IHS Markit Ltd., 4.250%, 5/01/2029 | 5,106,672 | ||||||
6,030,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 6,194,016 | ||||||
|
| |||||||
105,382,152 | ||||||||
|
| |||||||
Consumer Products – 0.2% |
| |||||||
7,458,000 | Hasbro, Inc., 6.600%, 7/15/2028 | 8,807,326 | ||||||
4,580,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A | 4,661,387 | ||||||
|
| |||||||
13,468,713 | ||||||||
|
| |||||||
Diversified Manufacturing – 0.5% |
| |||||||
13,920,000 | Carrier Global Corp., 2.722%, 2/15/2030, 144A | 14,560,823 | ||||||
1,705,000 | Carrier Global Corp., 3.577%, 4/05/2050, 144A | 1,811,274 | ||||||
6,010,000 | General Electric Co., 3.625%, 5/01/2030 | 6,224,037 | ||||||
2,865,000 | General Electric Co., 4.350%, 5/01/2050 | 2,921,185 | ||||||
5,305,000 | General Electric Co., Series A, MTN, 3-month LIBOR + 0.300%, 0.575%, 5/13/2024(d) | 5,079,553 | ||||||
|
| |||||||
30,596,872 | ||||||||
|
| |||||||
Electric – 2.6% |
| |||||||
3,695,000 | AES Corp. (The), 3.950%, 7/15/2030, 144A | 4,082,827 | ||||||
1,850,000 | AES Corp. (The), 5.125%, 9/01/2027 | 1,970,435 | ||||||
585,000 | AES Corp. (The), 5.500%, 4/15/2025 | 603,053 | ||||||
200,000 | AES Corp. (The), 6.000%, 5/15/2026 | 210,085 | ||||||
18,590,691 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A | 22,593,079 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Electric – continued |
| |||||||
$ 13,025,000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A | $ | 17,706,832 | |||||
9,007,000 | Enel Finance International NV, 6.800%, 9/15/2037, 144A | 12,684,240 | ||||||
21,030,000 | FirstEnergy Corp., Series C, 3.400%, 3/01/2050 | 20,400,729 | ||||||
2,355,000 | IPALCO Enterprises, Inc., 4.250%, 5/01/2030, 144A | 2,664,572 | ||||||
9,641,000 | NRG Energy, Inc., 4.450%, 6/15/2029, 144A | 10,622,939 | ||||||
1,435,000 | NRG Energy, Inc., 5.250%, 6/15/2029, 144A | 1,560,563 | ||||||
4,437,000 | NRG Energy, Inc., 5.750%, 1/15/2028 | 4,786,414 | ||||||
8,915,000 | Pacific Gas & Electric Co., 3.500%, 8/01/2050 | 8,037,951 | ||||||
40,595,000 | Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A | 42,692,277 | ||||||
1,060,000 | Vistra Operations Co. LLC, 4.300%, 7/15/2029, 144A | 1,157,013 | ||||||
|
| |||||||
151,773,009 | ||||||||
|
| |||||||
Finance Companies – 1.7% |
| |||||||
1,245,000 | Air Lease Corp., 2.250%, 1/15/2023 | 1,252,899 | ||||||
2,235,000 | Air Lease Corp., 3.250%, 10/01/2029 | 2,120,053 | ||||||
10,270,000 | Air Lease Corp., 3.375%, 7/01/2025 | 10,494,502 | ||||||
345,000 | Air Lease Corp., 4.625%, 10/01/2028 | 356,570 | ||||||
8,426,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 | 7,846,654 | ||||||
12,430,000 | Aircastle Ltd., 4.125%, 5/01/2024 | 12,251,090 | ||||||
8,070,000 | Aircastle Ltd., 4.400%, 9/25/2023 | 7,983,247 | ||||||
8,160,000 | Aircastle Ltd., 5.000%, 4/01/2023 | 8,178,386 | ||||||
6,700,000 | Antares Holdings LP, 6.000%, 8/15/2023, 144A | 6,775,423 | ||||||
7,510,000 | Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A | 7,748,333 | ||||||
9,530,000 | GE Capital Funding LLC, 4.400%, 5/15/2030, 144A | 10,234,351 | ||||||
3,460,000 | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 | 3,652,233 | ||||||
3,425,000 | Navient Corp., 5.000%, 3/15/2027 | 3,216,178 | ||||||
50,000 | Navient Corp., 5.875%, 10/25/2024 | 49,719 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Finance Companies – continued |
| |||||||
$ 35,000 | Navient Corp., 6.500%, 6/15/2022 | $ | 35,700 | |||||
145,000 | Navient Corp., 6.750%, 6/15/2026 | 144,638 | ||||||
370,000 | Navient Corp., 7.250%, 9/25/2023 | 382,025 | ||||||
20,000 | Navient Corp., MTN, 6.125%, 3/25/2024 | 20,150 | ||||||
165,000 | Navient Corp., MTN, 7.250%, 1/25/2022 | 169,125 | ||||||
7,805,000 | Quicken Loans LLC, 5.250%, 1/15/2028, 144A | 8,223,816 | ||||||
2,980,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 2,953,925 | ||||||
2,975,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 2,937,812 | ||||||
|
| |||||||
97,026,829 | ||||||||
|
| |||||||
Financial Other – 0.1% |
| |||||||
2,415,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 | 2,445,187 | ||||||
3,182,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 3,315,008 | ||||||
|
| |||||||
5,760,195 | ||||||||
|
| |||||||
Food & Beverage – 2.9% |
| |||||||
2,040,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.900%, 2/01/2046 | 2,515,380 | ||||||
14,470,000 | Anheuser-Busch InBev Worldwide, Inc., 4.500%, 6/01/2050 | 17,343,107 | ||||||
6,002,000 | Anheuser-Busch InBev Worldwide, Inc., 4.600%, 4/15/2048 | 7,157,058 | ||||||
15,285,000 | Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050 | 16,259,541 | ||||||
8,595,000 | JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A | 8,859,726 | ||||||
4,910,000 | JBS USA LUX S.A./JBS USA Finance, Inc., 6.750%, 2/15/2028, 144A | 5,339,232 | ||||||
10,660,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030, 144A | 11,603,090 | ||||||
6,470,000 | NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A | 6,848,431 | ||||||
37,255,000 | Nestle Holdings, Inc., 0.375%, 1/15/2024, 144A | 37,107,834 | ||||||
9,535,000 | PepsiCo, Inc., 1.700%, 10/06/2021 | 9,651,957 | ||||||
45,980,000 | PepsiCo, Inc., 2.000%, 4/15/2021 | 46,340,003 | ||||||
1,920,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A | 1,924,147 | ||||||
|
| |||||||
170,949,506 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Government Owned - No Guarantee – 0.2% |
| |||||||
$ 4,000,000 | Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050, 144A | $ | 3,920,000 | |||||
8,080,000 | Equinor ASA, 3.700%, 4/06/2050 | 9,268,993 | ||||||
|
| |||||||
13,188,993 | ||||||||
|
| |||||||
Government Sponsored – 0.1% |
| |||||||
6,130,000 | Petrobras Global Finance BV, 6.900%, 3/19/2049 | 6,850,275 | ||||||
|
| |||||||
Health Insurance – 0.0% |
| |||||||
565,000 | Centene Corp., 4.625%, 12/15/2029 | 609,443 | ||||||
|
| |||||||
Healthcare – 1.9% |
| |||||||
19,420,000 | Cigna Corp., 4.375%, 10/15/2028 | 23,101,209 | ||||||
1,261,000 | Cigna Corp., 7.875%, 5/15/2027 | 1,712,314 | ||||||
7,210,000 | CVS Health Corp., 3.250%, 8/15/2029 | 7,931,060 | ||||||
3,306,000 | CVS Health Corp., 4.100%, 3/25/2025 | 3,734,557 | ||||||
685,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 694,960 | ||||||
8,810,000 | HCA, Inc., 4.125%, 6/15/2029 | 9,964,550 | ||||||
16,050,000 | HCA, Inc., 4.500%, 2/15/2027 | 18,027,252 | ||||||
22,730,000 | HCA, Inc., 5.250%, 6/15/2049 | 27,824,725 | ||||||
4,806,000 | HCA, Inc., 7.050%, 12/01/2027 | 5,611,005 | ||||||
1,592,000 | HCA, Inc., 7.500%, 11/06/2033 | 2,117,360 | ||||||
1,295,000 | HCA, Inc., 7.690%, 6/15/2025 | 1,521,625 | ||||||
2,480,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 | 2,957,400 | ||||||
3,068,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 3,911,700 | ||||||
|
| |||||||
109,109,717 | ||||||||
|
| |||||||
Home Construction – 0.1% |
| |||||||
2,450,000 | Lennar Corp., 4.750%, 11/29/2027 | 2,797,288 | ||||||
560,000 | Lennar Corp., 4.875%, 12/15/2023 | 602,700 | ||||||
55,000 | Lennar Corp., 5.000%, 6/15/2027 | 62,150 | ||||||
|
| |||||||
3,462,138 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Independent Energy – 1.5% |
| |||||||
$ 3,195,000 | Aker BP ASA, 3.000%, 1/15/2025, 144A | $ | 3,204,866 | |||||
9,925,000 | Aker BP ASA, 3.750%, 1/15/2030, 144A | 9,625,388 | ||||||
14,560,000 | Aker BP ASA, 4.000%, 1/15/2031, 144A | 14,319,385 | ||||||
9,310,000 | Continental Resources, Inc., 3.800%, 6/01/2024 | 8,588,475 | ||||||
19,490,000 | Diamondback Energy, Inc., 3.500%, 12/01/2029 | 18,894,085 | ||||||
10,475,000 | Hess Corp., 4.300%, 4/01/2027 | 10,940,903 | ||||||
4,675,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 4,829,182 | ||||||
13,690,000 | Newfield Exploration Co., 5.625%, 7/01/2024 | 13,279,995 | ||||||
6,090,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 5,516,992 | ||||||
|
| |||||||
89,199,271 | ||||||||
|
| |||||||
Integrated Energy – 0.9% |
| |||||||
52,303,000 | Shell International Finance BV, 1.875%, 5/10/2021 | 52,808,319 | ||||||
|
| |||||||
Life Insurance – 3.2% |
| |||||||
5,653,000 | American International Group, Inc., 4.200%, 4/01/2028 | 6,555,793 | ||||||
1,475,000 | American International Group, Inc., 4.875%, 6/01/2022 | 1,581,119 | ||||||
8,255,000 | CNO Financial Group, Inc., 5.250%, 5/30/2029 | 9,546,660 | ||||||
19,600,000 | Fidelity & Guaranty Life Holdings, Inc., 5.500%, 5/01/2025, 144A | 21,976,500 | ||||||
15,000,000 | Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A | 15,482,734 | ||||||
2,565,000 | Massachusetts Mutual Life Insurance Co., 3.375%, 4/15/2050, 144A | 2,618,587 | ||||||
5,895,000 | Metropolitan Life Global Funding I, 3-month LIBOR + 0.230%, 0.507%, 1/08/2021, 144A(d) | 5,898,314 | ||||||
30,030,000 | Metropolitan Life Global Funding I, 3.375%, 1/11/2022, 144A | 31,159,295 | ||||||
9,063,000 | Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A | 11,707,874 | ||||||
26,914,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A(a)(b) | 43,363,299 | ||||||
5,760,000 | New York Life Insurance Co., 3.750%, 5/15/2050, 144A | 6,493,950 | ||||||
6,440,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A(a)(b) | 8,473,494 | ||||||
2,872,000 | Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A | 3,754,894 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Life Insurance – continued |
| |||||||
$ 14,489,000 | Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A(a)(b) | $ | 20,683,577 | |||||
|
| |||||||
189,296,090 | ||||||||
|
| |||||||
Local Authorities – 0.2% |
| |||||||
14,455,000 | Province of Quebec Canada, 0.600%, 7/23/2025 | 14,481,088 | ||||||
|
| |||||||
Lodging – 0.0% |
| |||||||
1,795,000 | Marriott International, Inc., 4.625%, 6/15/2030 | 1,922,350 | ||||||
|
| |||||||
Media Entertainment – 1.2% |
| |||||||
23,830,000 | Discovery Communications LLC, 4.650%, 5/15/2050 | 27,316,655 | ||||||
3,225,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 3,144,375 | ||||||
1,530,000 | iHeartCommunications, Inc., 6.375%, 5/01/2026 | 1,593,916 | ||||||
4,640,000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 | 4,570,400 | ||||||
245,000 | Netflix, Inc., 4.875%, 4/15/2028 | 273,787 | ||||||
2,625,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 2,992,500 | ||||||
870,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 1,025,425 | ||||||
2,700,000 | ViacomCBS, Inc., 4.200%, 6/01/2029 | 3,122,931 | ||||||
3,010,000 | ViacomCBS, Inc., 4.200%, 5/19/2032 | 3,444,510 | ||||||
18,215,000 | ViacomCBS, Inc., 4.950%, 1/15/2031 | 21,902,777 | ||||||
|
| |||||||
69,387,276 | ||||||||
|
| |||||||
Metals & Mining – 4.0% |
| |||||||
550,000 | Anglo American Capital PLC, 2.625%, 9/10/2030, 144A | 548,504 | ||||||
6,260,000 | Anglo American Capital PLC, 4.000%, 9/11/2027, 144A | 6,911,094 | ||||||
34,334,000 | Anglo American Capital PLC, 4.500%, 3/15/2028, 144A | 39,276,387 | ||||||
8,785,000 | Anglo American Capital PLC, 4.750%, 4/10/2027, 144A | 10,093,806 | ||||||
46,515,000 | ArcelorMittal S.A., 7.000%, 3/01/2041 | 57,446,025 | ||||||
18,235,000 | ArcelorMittal S.A., 7.250%, 10/15/2039 | 23,015,322 | ||||||
5,890,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 5,676,487 | ||||||
2,930,000 | Freeport-McMoRan, Inc., 4.375%, 8/01/2028 | 3,029,488 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Metals & Mining – continued |
| |||||||
$ 1,975,000 | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 | $ | 2,076,614 | |||||
7,688,000 | Glencore Funding LLC, 3.875%, 10/27/2027, 144A | 8,397,602 | ||||||
39,092,000 | Glencore Funding LLC, 4.000%, 3/27/2027, 144A | 42,687,904 | ||||||
11,700,000 | Glencore Funding LLC, 4.125%, 3/12/2024, 144A | 12,678,005 | ||||||
4,280,000 | Newcrest Finance Pty Ltd., 3.250%, 5/13/2030, 144A | 4,668,612 | ||||||
1,855,000 | Reliance Steel & Aluminum Co., 2.150%, 8/15/2030 | 1,815,022 | ||||||
395,000 | Steel Dynamics, Inc., 3.250%, 1/15/2031 | 422,655 | ||||||
14,125,000 | Steel Dynamics, Inc., 3.450%, 4/15/2030 | 15,573,436 | ||||||
|
| |||||||
234,316,963 | ||||||||
|
| |||||||
Midstream – 2.5% |
| |||||||
22,495,000 | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029, 144A | 23,380,924 | ||||||
650,000 | DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A | 622,882 | ||||||
7,000,000 | Energy Transfer Operating LP, 4.950%, 6/15/2028 | 7,417,340 | ||||||
36,405,000 | Energy Transfer Operating LP, 5.250%, 4/15/2029 | 39,084,659 | ||||||
13,950,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | 8,788,500 | ||||||
7,695,000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044 | 4,944,037 | ||||||
1,435,000 | Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A | 1,466,204 | ||||||
14,660,000 | Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023 | 15,633,764 | ||||||
85,000 | Kinder Morgan Energy Partners LP, 5.000%, 8/15/2042 | 94,393 | ||||||
7,461,000 | Kinder Morgan Energy Partners LP, 5.800%, 3/01/2021 | 7,623,502 | ||||||
375,000 | Kinder Morgan, Inc., 5.050%, 2/15/2046 | 423,367 | ||||||
14,040,000 | MPLX LP, 4.250%, 12/01/2027 | 15,735,936 | ||||||
85,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 108,197 | ||||||
225,000 | Plains All American Pipeline LP/PAA Finance Corp., 2.850%, 1/31/2023 | 228,844 | ||||||
12,445,000 | Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030, 144A | 14,018,690 | ||||||
8,405,000 | Williams Cos., Inc. (The), 3.350%, 8/15/2022 | 8,719,209 | ||||||
|
| |||||||
148,290,448 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Mortgage Related – 0.0% |
| |||||||
$ 1,294 | FNMA, 6.000%, 7/01/2029 | $ | 1,467 | |||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 0.6% | ||||||||
405,000 | Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.615%, 12/10/2044(c) | 328,696 | ||||||
3,205,000 | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 3.752%, 1/15/2034, 144A(d) | 2,987,920 | ||||||
12,790,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A(a)(b) | 9,725,048 | ||||||
5,095,000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034, 144A(c) | 5,257,980 | ||||||
9,406,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(c) | 7,456,923 | ||||||
3,456,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.661%, 6/15/2044, 144A(c) | 1,990,288 | ||||||
6,706,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 5.046%, 5/10/2063, 144A(a)(b)(c) | 2,726,419 | ||||||
3,557,000 | WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.856%, 2/15/2044, 144A(c) | 3,527,855 | ||||||
2,125,000 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.853%, 3/15/2044, 144A(c) | 1,319,546 | ||||||
1,746,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.965%, 6/15/2045(c) | 1,273,986 | ||||||
865,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.965%, 6/15/2045, 144A(c) | 333,438 | ||||||
|
| |||||||
36,928,099 | ||||||||
|
| |||||||
Paper – 0.4% |
| |||||||
16,595,000 | Weyerhaeuser Co., 4.000%, 4/15/2030 | 19,621,326 | ||||||
2,745,000 | WRKCo, Inc., 3.000%, 6/15/2033 | 2,985,995 | ||||||
|
| |||||||
22,607,321 | ||||||||
|
| |||||||
Pharmaceuticals – 1.4% |
| |||||||
8,370,000 | Merck & Co., Inc., 2.450%, 6/24/2050 | 8,401,769 | ||||||
12,646,000 | Mylan NV, 5.250%, 6/15/2046 | 15,695,003 | ||||||
2,459,000 | Mylan, Inc., 5.200%, 4/15/2048 | 3,040,490 | ||||||
9,724,000 | Mylan, Inc., 5.400%, 11/29/2043 | 12,218,696 | ||||||
3,100,000 | Perrigo Finance UnLtd. Co., 3.150%, 6/15/2030 | 3,200,966 | ||||||
9,335,000 | Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023 | 8,922,020 | ||||||
15,105,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 13,325,782 | ||||||
4,475,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 3,721,857 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Pharmaceuticals – continued |
| |||||||
$ 11,805,000 | Upjohn, Inc., 4.000%, 6/22/2050, 144A | $ | 12,599,321 | |||||
|
| |||||||
81,125,904 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.4% |
| |||||||
16,635,000 | Fidelity National Financial, Inc., 3.400%, 6/15/2030 | 17,992,056 | ||||||
2,740,000 | Fidelity National Financial, Inc., 5.500%, 9/01/2022 | 2,973,847 | ||||||
3,159,000 | Sirius International Group Ltd., 4.600%, 11/01/2026, 144A | 3,047,519 | ||||||
1,605,000 | Travelers Cos., Inc. (The), 2.550%, 4/27/2050 | 1,575,081 | ||||||
|
| |||||||
25,588,503 | ||||||||
|
| |||||||
REITs - Health Care – 0.1% |
| |||||||
5,972,000 | Welltower, Inc., 6.500%, 3/15/2041 | 7,865,175 | ||||||
|
| |||||||
REITs - Mortgage – 0.3% |
| |||||||
12,311,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A | 10,649,015 | ||||||
8,565,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 3/15/2022, 144A | 8,396,269 | ||||||
|
| |||||||
19,045,284 | ||||||||
|
| |||||||
REITs - Regional Malls – 0.2% |
| |||||||
6,815,000 | Simon Property Group LP, 2.650%, 7/15/2030 | 6,867,426 | ||||||
4,945,000 | Simon Property Group LP, 3.800%, 7/15/2050 | 5,020,712 | ||||||
|
| |||||||
11,888,138 | ||||||||
|
| |||||||
REITs - Shopping Centers – 0.0% |
| |||||||
2,280,000 | Brixmor Operating Partnership LP, 4.050%, 7/01/2030 | 2,438,664 | ||||||
|
| |||||||
Restaurants – 0.1% |
| |||||||
2,375,000 | Yum! Brands, Inc., 4.750%, 1/15/2030, 144A | 2,565,000 | ||||||
1,890,000 | Yum! Brands, Inc., 7.750%, 4/01/2025, 144A | 2,096,105 | ||||||
|
| |||||||
4,661,105 | ||||||||
|
| |||||||
Retailers – 1.1% |
| |||||||
1,960,000 | AutoNation, Inc., 4.750%, 6/01/2030 | 2,309,301 | ||||||
9,720,000 | AutoZone, Inc., 3.625%, 4/15/2025 | 10,838,740 | ||||||
14,585,000 | AutoZone, Inc., 4.000%, 4/15/2030 | 17,298,459 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Retailers – continued |
| |||||||
$ 376,017 | CVS Pass-Through Trust, 5.773%, 1/10/2033, 144A | $ | 430,464 | |||||
401,894 | CVS Pass-Through Trust, 6.036%, 12/10/2028 | 457,536 | ||||||
11,267,542 | CVS Pass-Through Trust, Series 2013, 4.704%, 1/10/2036, 144A | 12,173,227 | ||||||
1,181,511 | CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A | 1,239,700 | ||||||
5,620,000 | Dollar General Corp., 3.500%, 4/03/2030 | 6,396,456 | ||||||
8,064,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A | 8,574,451 | ||||||
3,755,000 | PVH Corp., 7.750%, 11/15/2023 | 4,308,787 | ||||||
|
| |||||||
64,027,121 | ||||||||
|
| |||||||
Supermarkets – 0.0% |
| |||||||
325,000 | Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040 | 461,851 | ||||||
|
| |||||||
Supranational – 1.0% |
| |||||||
58,600,000 | European Investment Bank, 0.250%, 9/15/2023 | 58,577,268 | ||||||
|
| |||||||
Technology – 5.1% |
| |||||||
27,985,000 | Avnet, Inc., 4.625%, 4/15/2026 | 31,301,074 | ||||||
1,300,000 | Broadcom Corp./Broadcom Cayman Finance Ltd., 3.500%, 1/15/2028 | 1,404,598 | ||||||
10,158,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 11,410,926 | ||||||
17,895,000 | Broadcom, Inc., 4.300%, 11/15/2032 | 20,443,087 | ||||||
31,450,000 | Broadcom, Inc., 4.750%, 4/15/2029 | 36,641,006 | ||||||
12,400,000 | Broadcom, Inc., 5.000%, 4/15/2030 | 14,627,006 | ||||||
1,025,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 984,000 | ||||||
3,900,000 | CommScope, Inc., 6.000%, 3/01/2026, 144A | 4,065,750 | ||||||
3,950,000 | CommScope, Inc., 7.125%, 7/01/2028, 144A | 4,058,625 | ||||||
13,560,000 | Equifax, Inc., 3.600%, 8/15/2021 | 13,920,001 | ||||||
10,115,000 | Equinix, Inc., 2.150%, 7/15/2030 | 10,240,174 | ||||||
17,195,000 | Equinix, Inc., 3.200%, 11/18/2029 | 18,950,306 | ||||||
4,610,000 | Jabil, Inc., 3.000%, 1/15/2031 | 4,706,638 | ||||||
7,440,000 | Jabil, Inc., 4.700%, 9/15/2022 | 7,976,516 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Technology – continued |
| |||||||
$ 16,735,000 | KLA Corp., 5.650%, 11/01/2034 | $ | 22,359,275 | |||||
25,254,000 | Micron Technology, Inc., 4.663%, 2/15/2030 | 29,658,500 | ||||||
10,622,000 | Micron Technology, Inc., 5.327%, 2/06/2029 | 12,774,590 | ||||||
3,980,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027, 144A | 4,301,560 | ||||||
2,225,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030, 144A | 2,435,727 | ||||||
1,055,000 | Open Text Corp., 3.875%, 2/15/2028, 144A | 1,065,075 | ||||||
1,015,000 | Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A | 1,043,867 | ||||||
25,480,000 | Oracle Corp., 3.600%, 4/01/2050 | 28,720,272 | ||||||
2,675,000 | Seagate HDD Cayman, 4.125%, 1/15/2031, 144A | 2,886,839 | ||||||
970,000 | SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A | 1,030,838 | ||||||
9,135,000 | Verisk Analytics, Inc., 4.125%, 3/15/2029 | 10,772,830 | ||||||
|
| |||||||
297,779,080 | ||||||||
|
| |||||||
Transportation Services – 0.2% |
| |||||||
9,670,000 | Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A | 9,707,362 | ||||||
|
| |||||||
Treasuries – 14.1% | ||||||||
29,160,000 | U.S. Treasury Bond, 1.250%, 5/15/2050 | 27,720,225 | ||||||
27,405,000 | U.S. Treasury Bond, 2.000%, 2/15/2050 | 31,091,829 | ||||||
6,475,000 | U.S. Treasury Bond, 3.000%, 8/15/2048 | 8,845,710 | ||||||
267,555,000 | U.S. Treasury Note, 0.125%, 4/30/2022 | 267,565,451 | ||||||
173,275,000 | U.S. Treasury Note, 0.125%, 6/30/2022 | 173,275,000 | ||||||
209,930,000 | U.S. Treasury Note, 0.375%, 3/31/2022 | 210,692,636 | ||||||
42,565,000 | U.S. Treasury Note, 1.375%, 1/31/2022 | 43,271,645 | ||||||
67,000,000 | U.S. Treasury Note, 1.500%, 11/30/2021 | 68,052,109 | ||||||
|
| |||||||
830,514,605 | ||||||||
|
| |||||||
Wireless – 1.8% |
| |||||||
21,805,000 | American Tower Corp., 2.100%, 6/15/2030 | 21,946,286 | ||||||
2,295,000 | Crown Castle International Corp., 2.250%, 1/15/2031 | 2,319,650 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Wireless – continued |
| |||||||
$ 3,725,000 | Crown Castle International Corp., 3.300%, 7/01/2030 | $ | 4,073,558 | |||||
22,660,000 | Crown Castle International Corp., 3.650%, 9/01/2027 | 25,355,978 | ||||||
6,615,000 | Crown Castle International Corp., 4.000%, 3/01/2027 | 7,516,421 | ||||||
730,000 | Crown Castle International Corp., 4.150%, 7/01/2050 | 838,427 | ||||||
610,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 762,500 | ||||||
1,545,000 | Sprint Corp., 7.250%, 9/15/2021 | 1,616,456 | ||||||
36,385,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030, 144A | 41,283,149 | ||||||
980,000 | T-Mobile USA, Inc., 4.500%, 2/01/2026 | 1,009,792 | ||||||
|
| |||||||
106,722,217 | ||||||||
|
| |||||||
Wirelines – 2.3% |
| |||||||
9,487,000 | AT&T, Inc., 3.500%, 9/15/2053, 144A | 9,172,260 | ||||||
364,000 | AT&T, Inc., 3.550%, 9/15/2055, 144A | 352,779 | ||||||
20,495,000 | AT&T, Inc., 3.650%, 6/01/2051 | 20,672,289 | ||||||
515,000 | AT&T, Inc., 3.650%, 9/15/2059, 144A | 505,910 | ||||||
61,415,000 | AT&T, Inc., 4.300%, 2/15/2030 | 72,797,058 | ||||||
113,000 | AT&T, Inc., 4.350%, 6/15/2045 | 126,607 | ||||||
2,656,000 | AT&T, Inc., 4.500%, 3/09/2048 | 3,048,065 | ||||||
857,000 | Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A | 880,567 | ||||||
20,585,000 | Telefonica Emisiones S.A., 5.520%, 3/01/2049 | 25,654,674 | ||||||
|
| |||||||
133,210,209 | ||||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $5,163,937,706) | 5,511,337,483 | |||||||
|
| |||||||
Convertible Bonds – 0.8% | ||||||||
Cable Satellite – 0.3% |
| |||||||
9,050,000 | DISH Network Corp., 2.375%, 3/15/2024 | 8,144,545 | ||||||
11,855,000 | DISH Network Corp., 3.375%, 8/15/2026 | 10,882,849 | ||||||
|
| |||||||
19,027,394 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Convertible Bonds – continued |
| |||||||
Diversified Manufacturing – 0.1% |
| |||||||
$ 5,165,000 | Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024 | $ | 4,724,642 | |||||
|
| |||||||
Electric – 0.1% |
| |||||||
4,030,000 | NRG Energy, Inc., 2.750%, 6/01/2048 | 4,174,016 | ||||||
|
| |||||||
Energy – 0.0% |
| |||||||
6,390,000 | Chesapeake Energy Corp., 5.500%, 9/15/2026(a)(b)(f) | 214,065 | ||||||
|
| |||||||
Pharmaceuticals – 0.3% |
| |||||||
6,350,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 6,663,391 | ||||||
10,795,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027, 144A | 10,557,416 | ||||||
|
| |||||||
17,220,807 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $52,101,267) | 45,360,924 | |||||||
|
| |||||||
Municipals – 0.1% | ||||||||
Michigan – 0.0% |
| |||||||
1,515,000 | Michigan Tobacco Settlement Finance Authority, Series A, 7.309%, 6/01/2034 | 1,547,270 | ||||||
|
| |||||||
Virginia – 0.1% |
| |||||||
7,515,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 | 7,756,457 | ||||||
|
| |||||||
Total Municipals (Identified Cost $8,767,940) | 9,303,727 | |||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $5,224,806,913) | 5,566,002,134 | |||||||
|
| |||||||
Collateralized Loan Obligations – 2.5% | ||||||||
4,650,000 | Allegro CLO VIII Ltd., Series 2018-2A, Class B1, 3-month LIBOR + 1.670%, 1.945%, 7/15/2031, 144A(d) | 4,539,332 | ||||||
4,075,000 | Ares XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3-month LIBOR + 1.500%, 1.775%, 10/15/2030, 144A(d) | 3,963,742 | ||||||
2,872,200 | Atrium XII, Series 12A, Class AR, 3-month LIBOR + 0.830%, 1.088%, 4/22/2027, 144A(d) | 2,845,434 | ||||||
75,609 | Avery Point IV CLO Ltd., Series 2014-1A, Class AR, 3-month LIBOR + 1.100%, 1.345%, 4/25/2026, 144A(d) | 75,580 | ||||||
3,940,000 | Black Diamond CLO Ltd., Series 2013-1A, Class BR, 3-month LIBOR + 2.500%, 2.773%, 2/06/2026, 144A(d) | 3,912,223 | ||||||
2,525,000 | Canyon CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.700%, 1.975%, 7/15/2031, 144A(d) | 2,502,946 | ||||||
6,500,000 | CIFC Funding Ltd., Series 2014-5A, Class BR2, 3-month LIBOR + 1.800%, 2.073%, 10/17/2031, 144A(d) | 6,402,338 | ||||||
4,075,882 | CVP Cascade CLO Ltd., Series 2014-2A, Class A1R, 3-month LIBOR + 1.200%, 1.472%, 7/18/2026, 144A(d) | 4,075,235 | ||||||
3,335,000 | Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3-month LIBOR + 1.400%, 1.675%, 1/15/2031, 144A(d) | 3,246,840 |
Principal | Description | Value (†) | ||||||
Collateralized Loan Obligations – continued | ||||||||
$ 3,921,302 | Elevation CLO Ltd., Series 2015-4A, Class AR, 3-month LIBOR + 0.990%, 1.262%, 4/18/2027, 144A(d) | $ | 3,916,951 | |||||
1,275,384 | Flatiron CLO Ltd., Series 2015-1A, Class AR, 3-month LIBOR + 0.890%, 1.165%, 4/15/2027, 144A(d) | 1,273,385 | ||||||
180,910 | Galaxy XXIX CLO Ltd., Series 2018-29A, Class A, 3-month LIBOR + 0.790%, 1.070%, 11/15/2026, 144A(d) | 180,052 | ||||||
5,405,000 | Goldentree Loan Management U.S CLO 3 Ltd., Series 2018-3A, Class B1, 3-month LIBOR + 1.550%, 1.822%, 4/20/2030, 144A(d) | 5,258,079 | ||||||
5,490,000 | Halcyon Loan Advisors Funding Ltd., Series 2014-3A, Class B1R, 3-month LIBOR + 1.700%, 1.958%, 10/22/2025, 144A(d) | 5,456,614 | ||||||
13,735,000 | Hayfin Kingsland VIII Ltd., Series 2018-8A, Class B, 3-month LIBOR + 1.480%, 1.752%, 4/20/2031, 144A(d) | 13,471,430 | ||||||
1,000,000 | Jamestown CLO IX Ltd., Series 2016-9A, Class A2R, 3-month LIBOR + 1.850%, 2.122%, 10/20/2028, 144A(d) | 988,112 | ||||||
8,423,788 | Jamestown CLO VII Ltd., Series 2015-7A, Class A1R, 3-month LIBOR + 0.830%, 1.075%, 7/25/2027, 144A(d) | 8,382,708 | ||||||
486,520 | Limerock CLO III LLC, Series 2014-3A, Class A1R, 3-month LIBOR + 1.200%, 1.472%, 10/20/2026, 144A(d) | 485,561 | ||||||
4,475,000 | Madison Park Funding XII Ltd., Series 2014-12A, Class CR, 3-month LIBOR + 2.350%, 2.622%, 7/20/2026, 144A(d) | 4,402,631 | ||||||
2,770,000 | Madison Park Funding XVI Ltd., Series 2015-16A, Class A2R, 3-month LIBOR + 1.900%, 2.172%, 4/20/2026, 144A(d) | 2,750,189 | ||||||
1,450,000 | Marble Point CLO X Ltd., Series 2017-1A, Class B, 3-month LIBOR + 1.800%, 2.075%, 10/15/2030, 144A(d) | 1,424,036 | ||||||
7,275,000 | Marble Point CLO XIV Ltd., Series 2018-2A, Class A1, 3-month LIBOR + 1.330%, 1.602%, 1/20/2032, 144A(d) | 7,203,773 | ||||||
11,526,325 | Mountain View CLO X Ltd., Series 2015-10A, Class AR, 3-month LIBOR + 0.820%, 1.086%, 10/13/2027, 144A(d) | 11,455,728 | ||||||
10,226,644 | OCP CLO Ltd., Series 2015-10A, Class A1R, 3-month LIBOR + 0.820%, 1.065%, 10/26/2027, 144A(d) | 10,181,718 | ||||||
1,500,000 | Octagon Investment Partners XIX Ltd., Series 2014-1A, Class CR, 3-month LIBOR + 2.100%, 2.375%, 4/15/2026, 144A(d) | 1,502,661 | ||||||
270,141 | OFSI Fund VII Ltd., Series 2014-7A, Class AR, 3-month LIBOR + 0.900%, 1.172%, 10/18/2026, 144A(d) | 270,064 | ||||||
3,605,000 | OZLM XXIV Ltd., Series 2019-24A, Class A2A, 3-month LIBOR + 2.250%, 2.522%, 7/20/2032, 144A(d) | 3,604,974 | ||||||
8,410,321 | Parallel Ltd., Series 2015-1A, Class AR, 3-month LIBOR + 0.850%, 1.122%, 7/20/2027, 144A(d) | 8,335,670 | ||||||
4,376,594 | Recette CLO Ltd., Series 2015-1A, Class AR, 3-month LIBOR + 0.920%, 1.192%, 10/20/2027, 144A(d) | 4,369,410 | ||||||
1,000,000 | Recette CLO Ltd., Series 2015-1A, Class CR, 3-month LIBOR + 1.700%, 1.972%, 10/20/2027, 144A(d) | 981,780 | ||||||
1,015,000 | Regatta XV Funding Ltd., Series 2018-4A, Class A2, 3-month LIBOR + 1.850%, 2.095%, 10/25/2031, 144A(d) | 996,371 | ||||||
4,382,170 | Venture XII CLO Ltd., Series 2012-12A, Class ARR, 3-month LIBOR + 0.800%, 1.056%, 2/28/2026, 144A(d) | 4,349,572 | ||||||
2,826,040 | Venture XX CLO Ltd., Series 2015-20A, Class AR, 3-month LIBOR + 0.820%, 1.095%, 4/15/2027, 144A(d) | 2,817,065 | ||||||
6,365,873 | Venture XXI CLO Ltd., Series 2015-21A, Class AR, 3-month LIBOR + 0.880%, 1.155%, 7/15/2027, 144A(d) | 6,326,449 | ||||||
3,335,000 | Voya CLO Ltd., Series 2013-3A, Class A2RR, 3-month LIBOR + 1.700%, 1.972%, 10/18/2031, 144A(d) | 3,255,938 | ||||||
219,694 | Voya CLO Ltd., Series 2014-3A, Class A1R, 3-month LIBOR + 0.720%, 0.965%, 7/25/2026, 144A(d) | 218,719 | ||||||
2,379,378 | West CLO Ltd., Series 2014-1A, Class A1R, 3-month LIBOR + 0.920%, 1.192%, 7/18/2026, 144A(d) | 2,378,119 |
Principal | Description | Value (†) | ||||||
Collateralized Loan Obligations – continued | ||||||||
Total Collateralized Loan Obligations (Identified Cost $145,086,709) | 147,801,429 | |||||||
|
| |||||||
Shares | ||||||||
Preferred Stocks – 0.8% | ||||||||
Banking – 0.5% |
| |||||||
8,763 | Bank of America Corp., Series L, 7.250% | $ | 13,039,344 | |||||
10,730 | Wells Fargo & Co., Class A, Series L, 7.500% | 14,400,196 | ||||||
|
| |||||||
27,439,540 | ||||||||
|
| |||||||
Electric – 0.1% |
| |||||||
59,423 | NextEra Energy, Inc., 5.279% | 2,773,866 | ||||||
|
| |||||||
Energy – 0.0% |
| |||||||
40,860 | Chesapeake Energy Corp., 5.000%(a)(e)(g)(h) | — | ||||||
|
| |||||||
Food & Beverage – 0.2% |
| |||||||
138,889 | Bunge Ltd., 4.875% | 13,302,272 | ||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $46,462,032) | 43,515,678 | |||||||
|
| |||||||
Common Stocks – 0.0% | ||||||||
Oil, Gas & Consumable Fuels – 0.0% |
| |||||||
949 | Whiting Petroleum Corp.(h) (Identified Cost $54,311) | 16,408 | ||||||
|
| |||||||
Principal | ||||||||
Short-Term Investments – 1.8% | ||||||||
$107,699,342 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $107,699,342 on 10/01/2020 collateralized by $19,370,400 U.S. Treasury Note, 1.125% due 2/28/2025 valued at $20,162,520; $22,000,000 U.S. Treasury Note, 0.250% due 7/31/2025 valued at $22,015,981; $67,680,200 U.S. Treasury Note, 0.250% due 9/30/2025 valued at $67,674,921 including accrued interest (i) (Identified Cost $107,699,342) | 107,699,342 | ||||||
|
| |||||||
Total Investments – 99.6% (Identified Cost $5,524,109,307) | 5,865,034,991 | |||||||
Other assets less liabilities – 0.4% | 24,994,805 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 5,890,029,796 | ||||||
|
|
(†) | 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 of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. |
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. |
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans 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 September 30, 2020, securities held by the Fund were fair valued as follows: |
Securities classified as fair valued | Percentage of Net Assets | Securities fair valued by the Fund’s adviser | Percentage of Net Assets | |||||||||
$120,750,718 | 2.1 | % | — | 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.
(a) | Illiquid security. |
(b) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2020, the value of these securities amounted to $120,750,718 or 2.1% of net assets. |
(c) | 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 September 30, 2020 is disclosed. |
(d) | Variable rate security. Rate as of September 30, 2020 is disclosed. |
(e) | Level 3 security. Value has been determined using significant unobservable inputs. |
(f) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(g) | Fair valued by the Fund’s adviser. At September 30, 2020, the value of this security amounted to $0. |
(h) | Non-income producing security. | |
(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 are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 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 September 30, 2020, the value of Rule 144A holdings amounted to $2,021,386,581 or 34.3% 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 |
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 September 30, 2020, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
ABS Other | $ | — | $ | 151,726,436 | $ | 21,594,566 | (a) | $ | 173,321,002 | |||||||
All Other Non-Convertible Bonds* | — | 5,338,016,481 | — | 5,338,016,481 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Bonds | — | 5,489,742,917 | 21,594,566 | 5,511,337,483 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds* | — | 45,360,924 | — | 45,360,924 | ||||||||||||
Municipals* | — | 9,303,727 | — | 9,303,727 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 5,544,407,568 | 21,594,566 | 5,566,002,134 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Collateralized Loan Obligations* | — | 147,801,429 | — | 147,801,429 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Energy | — | — | — | (b) | — | |||||||||||
Food & Beverage | — | 13,302,272 | — | 13,302,272 | ||||||||||||
All Other Preferred Stocks* | 30,213,406 | — | — | 30,213,406 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 30,213,406 | 13,302,272 | — | 43,515,678 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks* | 16,408 | — | — | 16,408 | ||||||||||||
Short-Term Investments | — | 107,699,342 | — | 107,699,342 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 30,229,814 | $ | 5,813,210,611 | $ | 21,594,566 | $ | 5,865,034,991 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(a) | Valued using broker-dealer bid prices. |
(b) | Includes a security fair valued at zero by the Fund’s adviser using level 3 inputs. |
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 September 30, 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 September 30, 2020 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2020 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
ABS Other | $ | — | $ | — | $ | — | $ | (17,667,175 | ) | $ | — | $ | — | $ | 39,261,741 | $ | — | $ | 21,594,566 | $ | (17,667,175 | ) | ||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Energy | 721,179 | — | — | (721,179 | ) | — | — | — | — | — | (a) | (721,179 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 721,179 | $ | — | $ | — | $ | (18,388,354 | ) | $ | — | $ | — | $ | 39,261,741 | $ | — | $ | 21,594,566 | $ | (18,388,354 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes a security fair valued at zero using level 3 inputs. |
A debt security valued at $39,261,741 was transferred from Level 2 to Level 3 during the period ended September 30, 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 September 30, 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.
Industry Summary at September 30, 2020 (Unaudited)
Treasuries | 14.1 | % | ||
Banking | 8.7 | |||
ABS Car Loan | 6.4 | |||
ABS Home Equity | 5.4 | |||
Technology | 5.1 | |||
Aerospace & Defense | 4.8 | |||
Metals & Mining | 4.0 | |||
Life Insurance | 3.2 | |||
Food & Beverage | 3.1 | |||
ABS Other | 2.9 | |||
Electric | 2.8 | |||
Cable Satellite | 2.7 | |||
Midstream | 2.5 | |||
Automotive | 2.5 | |||
Wirelines | 2.3 | |||
Other Investments, less than 2% each | 24.8 | |||
Collateralized Loan Obligations | 2.5 | |||
Short-Term Investments | 1.8 | |||
|
| |||
Total Investments | 99.6 | |||
Other assets less liabilities | 0.4 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|