PORTFOLIO OF INVESTMENTS – as of September 30, 2020 (Unaudited)
Loomis Sayles High Income Fund
Principal | Description | Value (†) | ||||||
Bonds and Notes – 93.9% of Net Assets | ||||||||
Non-Convertible Bonds – 90.7% | ||||||||
ABS Home Equity – 0.4% |
| |||||||
$205,000 | Credit Suisse Mortgage Trust, Series 2018-RPL8, Class A2, 4.167%, 7/25/2058, 144A(a) | $ | 204,750 | |||||
143,542 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 0.486%, 9/19/2045(b) | 107,055 | ||||||
|
| |||||||
311,805 | ||||||||
|
| |||||||
Aerospace & Defense – 5.0% |
| |||||||
30,000 | Boeing Co. (The), 3.250%, 2/01/2035 | 28,199 | ||||||
155,000 | Boeing Co. (The), 3.375%, 6/15/2046 | 132,842 | ||||||
45,000 | Boeing Co. (The), 3.500%, 3/01/2039 | 40,878 | ||||||
20,000 | Boeing Co. (The), 3.550%, 3/01/2038 | 18,219 | ||||||
105,000 | Boeing Co. (The), 3.625%, 3/01/2048 | 92,274 | ||||||
30,000 | Boeing Co. (The), 3.650%, 3/01/2047 | 26,488 | ||||||
60,000 | Boeing Co. (The), 3.750%, 2/01/2050 | 54,751 | ||||||
5,000 | Boeing Co. (The), 3.825%, 3/01/2059 | 4,407 | ||||||
10,000 | Boeing Co. (The), 3.850%, 11/01/2048 | 9,163 | ||||||
15,000 | Boeing Co. (The), 3.900%, 5/01/2049 | 13,825 | ||||||
535,000 | Boeing Co. (The), 5.150%, 5/01/2030 | 601,345 | ||||||
10,000 | Boeing Co. (The), 5.705%, 5/01/2040 | 11,789 | ||||||
630,000 | Boeing Co. (The), 5.805%, 5/01/2050 | 762,162 | ||||||
50,000 | Boeing Co. (The), 5.930%, 5/01/2060 | 61,882 | ||||||
260,000 | Bombardier, Inc., 6.000%, 10/15/2022, 144A | 241,150 | ||||||
370,000 | Bombardier, Inc., 6.125%, 1/15/2023, 144A | 316,350 | ||||||
105,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 | 100,800 | ||||||
25,000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 | 23,738 | ||||||
263,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A | 298,994 | ||||||
60,000 | Moog, Inc., 4.250%, 12/15/2027, 144A | 61,353 | ||||||
295,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | 242,077 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Aerospace & Defense – continued |
| |||||||
$270,000 | Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A | $ | 273,710 | |||||
100,000 | TransDigm, Inc., 5.500%, 11/15/2027 | 96,105 | ||||||
450,000 | TransDigm, Inc., 6.250%, 3/15/2026, 144A | 469,933 | ||||||
205,000 | TransDigm, Inc., 6.500%, 5/15/2025 | 204,359 | ||||||
70,000 | Wolverine Escrow LLC, 9.000%, 11/15/2026, 144A | 57,750 | ||||||
|
| |||||||
4,244,543 | ||||||||
|
| |||||||
Airlines – 0.5% |
| |||||||
30,000 | American Airlines Group, Inc., 5.000%, 6/01/2022, 144A | 20,400 | ||||||
160,000 | American Airlines, Inc., 11.750%, 7/15/2025, 144A | 154,400 | ||||||
200,000 | Delta Air Lines, Inc., 7.375%, 1/15/2026 | 209,669 | ||||||
|
| |||||||
384,469 | ||||||||
|
| |||||||
Automotive – 4.3% |
| |||||||
200,000 | Clarios Global LP/Clarios U.S. Finance Co., 8.500%, 5/15/2027, 144A | 206,500 | ||||||
75,000 | Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A | 76,687 | ||||||
1,510,000 | Ford Motor Co., 9.000%, 4/22/2025 | 1,731,230 | ||||||
70,000 | General Motors Co., 5.150%, 4/01/2038 | 74,338 | ||||||
565,000 | General Motors Co., 5.200%, 4/01/2045 | 608,598 | ||||||
450,000 | General Motors Co., 6.250%, 10/02/2043 | 533,279 | ||||||
150,000 | General Motors Co., 6.750%, 4/01/2046 | 184,647 | ||||||
115,000 | Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026 | 111,736 | ||||||
100,000 | PM General Purchaser LLC, 9.500%, 10/01/2028, 144A | 103,720 | ||||||
|
| |||||||
3,630,735 | ||||||||
|
| |||||||
Banking – 0.8% |
| |||||||
200,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 190,454 | ||||||
265,000 | Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A | 288,921 | ||||||
200,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | 203,750 | ||||||
|
| |||||||
683,125 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Building Materials – 1.9% |
| |||||||
$20,000 | Boise Cascade Co., 4.875%, 7/01/2030, 144A | $ | 21,500 | |||||
265,000 | Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A | 274,275 | ||||||
285,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A | 286,397 | ||||||
230,000 | Cemex SAB de CV, 5.700%, 1/11/2025, 144A | 234,822 | ||||||
125,000 | Cornerstone Building Brands, Inc., 6.125%, 1/15/2029, 144A | 126,611 | ||||||
240,000 | James Hardie International Finance DAC, 5.000%, 1/15/2028, 144A | 250,200 | ||||||
45,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A | 46,856 | ||||||
165,000 | U.S. Concrete, Inc., 5.125%, 3/01/2029, 144A | 165,413 | ||||||
189,000 | U.S. Concrete, Inc., 6.375%, 6/01/2024 | 194,906 | ||||||
|
| |||||||
1,600,980 | ||||||||
|
| |||||||
Cable Satellite – 6.4% |
| |||||||
80,000 | Block Communications, Inc., 4.875%, 3/01/2028, 144A | 81,600 | ||||||
1,310,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | 1,354,029 | ||||||
165,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032, 144A | 172,219 | ||||||
300,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A | 317,625 | ||||||
205,000 | Connect Finco S.a.r.l./Connect U.S. Finco LLC, 6.750%, 10/01/2026, 144A | 205,646 | ||||||
605,000 | CSC Holdings LLC, 4.125%, 12/01/2030, 144A | 616,646 | ||||||
450,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 453,375 | ||||||
150,000 | DISH DBS Corp., 7.375%, 7/01/2028 | 154,500 | ||||||
290,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 318,814 | ||||||
185,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028, 144A | 189,581 | ||||||
40,000 | Sirius XM Radio, Inc., 4.125%, 7/01/2030, 144A | 40,750 | ||||||
800,000 | Telenet Finance Luxembourg Notes S.a.r.l., 5.500%, 3/01/2028, 144A | 838,032 | ||||||
235,000 | ViaSat, Inc., 6.500%, 7/15/2028, 144A | 235,341 | ||||||
225,000 | Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A | 223,875 | ||||||
201,000 | Ziggo BV, 5.500%, 1/15/2027, 144A | 210,547 | ||||||
|
| |||||||
5,412,580 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Chemicals – 1.6% |
| |||||||
$250,000 | Chemours Co. (The), 5.375%, 5/15/2027 | $ | 247,500 | |||||
50,000 | Chemours Co. (The), 7.000%, 5/15/2025 | 50,625 | ||||||
575,000 | Hercules LLC, 6.500%, 6/30/2029 | 576,570 | ||||||
140,000 | Hexion, Inc., 7.875%, 7/15/2027, 144A | 139,958 | ||||||
20,000 | Methanex Corp., 5.250%, 12/15/2029 | 19,775 | ||||||
85,000 | Methanex Corp., 5.650%, 12/01/2044 | 76,713 | ||||||
185,000 | Olin Corp., 5.000%, 2/01/2030 | 173,900 | ||||||
65,000 | Olin Corp., 5.125%, 9/15/2027 | 64,350 | ||||||
5,000 | Olin Corp., 5.625%, 8/01/2029 | 4,912 | ||||||
|
| |||||||
1,354,303 | ||||||||
|
| |||||||
Consumer Cyclical Services – 5.6% |
| |||||||
130,000 | ANGI Group LLC, 3.875%, 8/15/2028, 144A | 128,700 | ||||||
520,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 501,026 | ||||||
170,000 | Expedia Group, Inc., 4.625%, 8/01/2027, 144A | 178,401 | ||||||
405,000 | Expedia Group, Inc., 6.250%, 5/01/2025, 144A | 446,678 | ||||||
205,000 | Expedia Group, Inc., 7.000%, 5/01/2025, 144A | 221,721 | ||||||
420,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.250%, 1/15/2028, 144A | 425,250 | ||||||
10,000 | QVC, Inc., 4.450%, 2/15/2025 | 10,275 | ||||||
10,000 | QVC, Inc., 4.850%, 4/01/2024 | 10,451 | ||||||
185,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 7.625%, 6/15/2025, 144A | 193,788 | ||||||
240,000 | ServiceMaster Co. LLC (The), 7.450%, 8/15/2027 | 261,900 | ||||||
200,000 | Staples, Inc., 7.500%, 4/15/2026, 144A | 184,832 | ||||||
155,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 159,216 | ||||||
410,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 438,700 | ||||||
1,485,000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A | 1,582,698 | ||||||
|
| |||||||
4,743,636 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Consumer Products – 0.7% |
| |||||||
$160,000 | Energizer Holdings, Inc., 4.375%, 3/31/2029, 144A | $ | 161,600 | |||||
115,000 | Mattel, Inc., 5.875%, 12/15/2027, 144A | 123,769 | ||||||
65,000 | Newell Brands, Inc., 4.875%, 6/01/2025 | 70,119 | ||||||
175,000 | Prestige Brands, Inc., 5.125%, 1/15/2028, 144A | 180,687 | ||||||
85,000 | Valvoline, Inc., 4.375%, 8/15/2025 | 87,444 | ||||||
|
| |||||||
623,619 | ||||||||
|
| |||||||
Diversified Manufacturing – 0.5% |
| |||||||
200,000 | Vertical U.S. Newco, Inc., 5.250%, 7/15/2027, 144A | 207,853 | ||||||
215,000 | WESCO Distribution, Inc., 7.250%, 6/15/2028, 144A | 235,570 | ||||||
|
| |||||||
443,423 | ||||||||
|
| |||||||
Electric – 1.0% |
| |||||||
405,000 | Calpine Corp., 5.125%, 3/15/2028, 144A | 419,175 | ||||||
35,000 | NRG Energy, Inc., 5.250%, 6/15/2029, 144A | 38,063 | ||||||
140,000 | PG&E Corp., 5.000%, 7/01/2028 | 135,800 | ||||||
135,000 | PG&E Corp., 5.250%, 7/01/2030 | 130,612 | ||||||
110,000 | Talen Energy Supply LLC, 10.500%, 1/15/2026, 144A | 83,600 | ||||||
|
| |||||||
807,250 | ||||||||
|
| |||||||
Finance Companies – 3.9% |
| |||||||
180,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.500%, 7/15/2025 | 194,322 | ||||||
210,000 | Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A | 216,664 | ||||||
120,000 | Navient Corp., 5.000%, 3/15/2027 | 112,684 | ||||||
250,000 | Navient Corp., 6.500%, 6/15/2022 | 255,000 | ||||||
320,000 | Navient Corp., 6.750%, 6/25/2025 | 324,000 | ||||||
15,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 15,600 | ||||||
10,000 | OneMain Finance Corp., 6.625%, 1/15/2028 | 11,098 | ||||||
445,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 497,154 | ||||||
315,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A | 304,763 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Finance Companies – continued |
| |||||||
$490,000 | Quicken Loans LLC, 5.250%, 1/15/2028, 144A | $ | 516,293 | |||||
325,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 322,156 | ||||||
330,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 325,875 | ||||||
205,000 | Unifin Financiera SAB de CV, 7.250%, 9/27/2023, 144A | 176,487 | ||||||
|
| |||||||
3,272,096 | ||||||||
|
| |||||||
Financial Other – 1.5% |
| |||||||
930,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 968,874 | ||||||
120,000 | Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027, 144A | 122,323 | ||||||
125,000 | Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/2026, 144A | 134,063 | ||||||
|
| |||||||
1,225,260 | ||||||||
|
| |||||||
Food & Beverage – 2.9% |
| |||||||
45,000 | Aramark Services, Inc., 4.750%, 6/01/2026 | 45,531 | ||||||
65,000 | Aramark Services, Inc., 5.000%, 2/01/2028, 144A | 65,487 | ||||||
230,000 | Aramark Services, Inc., 6.375%, 5/01/2025, 144A | 239,585 | ||||||
495,000 | Kraft Heinz Foods Co., 4.375%, 6/01/2046 | 507,905 | ||||||
320,000 | Kraft Heinz Foods Co., 4.875%, 10/01/2049, 144A | 337,702 | ||||||
180,000 | Kraft Heinz Foods Co., 5.000%, 6/04/2042 | 197,122 | ||||||
10,000 | Kraft Heinz Foods Co., 5.200%, 7/15/2045 | 10,932 | ||||||
75,000 | Kraft Heinz Foods Co., 5.500%, 6/01/2050, 144A | 85,954 | ||||||
225,000 | Performance Food Group, Inc., 5.500%, 10/15/2027, 144A | 231,750 | ||||||
270,000 | Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A | 278,775 | ||||||
15,000 | Post Holdings, Inc., 5.500%, 12/15/2029, 144A | 16,050 | ||||||
335,000 | Post Holdings, Inc., 5.750%, 3/01/2027, 144A | 352,169 | ||||||
120,000 | TreeHouse Foods, Inc., 4.000%, 9/01/2028 | 121,366 | ||||||
|
| |||||||
2,490,328 | ||||||||
|
| |||||||
Gaming – 3.6% |
| |||||||
375,000 | Boyd Gaming Corp., 4.750%, 12/01/2027 | 367,969 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Gaming – continued |
| |||||||
$220,000 | Caesars Entertainment, Inc., 6.250%, 7/01/2025, 144A | $ | 229,954 | |||||
45,000 | Caesars Entertainment, Inc., 8.125%, 7/01/2027, 144A | 47,700 | ||||||
140,000 | Caesars Resort Collection LLC/CRC Finco, Inc., 5.250%, 10/15/2025, 144A | 135,450 | ||||||
100,000 | Caesars Resort Collection LLC/CRC Finco, Inc., 5.750%, 7/01/2025, 144A | 103,125 | ||||||
290,000 | International Game Technology PLC, 5.250%, 1/15/2029, 144A | 293,262 | ||||||
205,000 | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.500%, 1/15/2028 | 208,844 | ||||||
255,000 | MGM Resorts International, 5.500%, 4/15/2027 | 266,475 | ||||||
115,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 115,281 | ||||||
115,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 116,725 | ||||||
230,000 | Studio City Finance Ltd., 6.500%, 1/15/2028, 144A | 240,350 | ||||||
155,000 | VICI Properties LP/VICI Note Co., Inc., 4.125%, 8/15/2030, 144A | 152,481 | ||||||
370,000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.500%, 3/01/2025, 144A | 349,187 | ||||||
250,000 | Wynn Macau Ltd., 5.125%, 12/15/2029, 144A | 239,869 | ||||||
165,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A | 157,163 | ||||||
|
| |||||||
3,023,835 | ||||||||
|
| |||||||
Government Owned—No Guarantee – 0.5% |
| |||||||
260,000 | Petroleos Mexicanos, 5.950%, 1/28/2031, 144A | 219,570 | ||||||
280,000 | YPF S.A., 6.950%, 7/21/2027, 144A | 186,900 | ||||||
|
| |||||||
406,470 | ||||||||
|
| |||||||
Healthcare – 5.2% |
| |||||||
65,000 | CHS/Community Health Systems, Inc., 6.250%, 3/31/2023 | 63,538 | ||||||
745,000 | CHS/Community Health Systems, Inc., 6.625%, 2/15/2025, 144A | 720,787 | ||||||
300,000 | CHS/Community Health Systems, Inc., 8.000%, 3/15/2026, 144A | 294,900 | ||||||
240,000 | DaVita, Inc., 3.750%, 2/15/2031, 144A | 231,252 | ||||||
155,000 | Encompass Health Corp., 4.500%, 2/01/2028 | 155,775 | ||||||
170,000 | HCA, Inc., 7.050%, 12/01/2027 | 198,475 | ||||||
145,000 | HCA, Inc., 7.500%, 11/06/2033 | 192,850 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Healthcare – continued |
| |||||||
$480,000 | HCA, Inc., 8.360%, 4/15/2024 | $ | 565,200 | |||||
515,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 656,625 | ||||||
290,000 | MPH Acquisition Holdings LLC, 7.125%, 6/01/2024, 144A | 297,931 | ||||||
125,000 | Polaris Intermediate Corp., 9.250% PIK or 8.500% Cash, 12/01/2022, 144A(c) | 127,188 | ||||||
100,000 | Surgery Center Holdings, Inc., 6.750%, 7/01/2025, 144A | 99,500 | ||||||
100,000 | Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A | 101,440 | ||||||
690,000 | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A | 671,025 | ||||||
|
| |||||||
4,376,486 | ||||||||
|
| |||||||
Home Construction – 1.4% |
| |||||||
215,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S Corp., 4.875%, 2/15/2030, 144A | 201,254 | ||||||
1,200,000 | Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(d)(e)(f)(g) | — | ||||||
230,000 | KB Home, 4.800%, 11/15/2029 | 253,575 | ||||||
245,000 | Mattamy Group Corp., 4.625%, 3/01/2030, 144A | 247,592 | ||||||
195,000 | Taylor Morrison Communities, Inc., 5.125%, 8/01/2030, 144A | 207,675 | ||||||
185,000 | Taylor Morrison Communities, Inc., 5.750%, 1/15/2028, 144A | 201,188 | ||||||
90,000 | TRI Pointe Group, Inc., 5.700%, 6/15/2028 | 98,550 | ||||||
|
| |||||||
1,209,834 | ||||||||
|
| |||||||
Independent Energy – 6.5% |
| |||||||
190,000 | Apache Corp., 4.250%, 1/15/2030 | 171,176 | ||||||
45,000 | Apache Corp., 4.250%, 1/15/2044 | 38,250 | ||||||
195,000 | Centennial Resource Production LLC, 8.000%, 6/01/2025, 144A | 158,059 | ||||||
130,000 | Comstock Resources, Inc., 9.750%, 8/15/2026 | 133,276 | ||||||
185,000 | Continental Resources, Inc., 3.800%, 6/01/2024 | 170,662 | ||||||
200,000 | Continental Resources, Inc., 4.375%, 1/15/2028 | 173,250 | ||||||
160,000 | Continental Resources, Inc., 4.900%, 6/01/2044 | 120,507 | ||||||
30,000 | Endeavor Energy Resources LP/EER Finance, Inc., 5.500%, 1/30/2026, 144A | 29,775 | ||||||
50,000 | Endeavor Energy Resources LP/EER Finance, Inc., 6.625%, 7/15/2025, 144A | 51,375 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Independent Energy – continued |
| |||||||
$55,000 | EQT Corp., 7.875%, 2/01/2025 | $ | 60,965 | |||||
225,000 | EQT Corp., 8.750%, 2/01/2030 | 265,500 | ||||||
85,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 87,803 | ||||||
125,000 | Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A | 129,593 | ||||||
130,000 | MEG Energy Corp., 7.125%, 2/01/2027, 144A | 116,588 | ||||||
95,000 | Montage Resources Corp., 8.875%, 7/15/2023 | 96,544 | ||||||
130,000 | Murphy Oil Corp., 6.375%, 12/01/2042 | 102,050 | ||||||
175,000 | Newfield Exploration Co., 5.375%, 1/01/2026 | 164,348 | ||||||
590,000 | Occidental Petroleum Corp., 2.900%, 8/15/2024 | 500,574 | ||||||
40,000 | Occidental Petroleum Corp., 3.000%, 2/15/2027 | 31,370 | ||||||
20,000 | Occidental Petroleum Corp., 3.400%, 4/15/2026 | 15,950 | ||||||
620,000 | Occidental Petroleum Corp., 3.500%, 6/15/2025 | 514,600 | ||||||
70,000 | Occidental Petroleum Corp., 3.500%, 8/15/2029 | 53,634 | ||||||
50,000 | Occidental Petroleum Corp., 4.100%, 2/15/2047 | 33,755 | ||||||
60,000 | Occidental Petroleum Corp., 4.200%, 3/15/2048 | 41,250 | ||||||
200,000 | Occidental Petroleum Corp., 4.400%, 8/15/2049 | 140,021 | ||||||
145,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 131,357 | ||||||
225,000 | Occidental Petroleum Corp., 5.875%, 9/01/2025 | 206,203 | ||||||
110,000 | Occidental Petroleum Corp., 8.500%, 7/15/2027 | 110,848 | ||||||
100,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 | 103,000 | ||||||
150,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 139,683 | ||||||
30,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 27,437 | ||||||
110,000 | Parsley Energy LLC/Parsley Finance Corp., 5.375%, 1/15/2025, 144A | 109,725 | ||||||
265,000 | Parsley Energy LLC/Parsley Finance Corp., 5.625%, 10/15/2027, 144A | 263,675 | ||||||
38,000 | Range Resources Corp., 5.000%, 3/15/2023 | 36,100 | ||||||
135,000 | Range Resources Corp., 9.250%, 2/01/2026, 144A | 138,712 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Independent Energy – continued |
| |||||||
$270,000 | Seven Generations Energy Ltd., 5.375%, 9/30/2025, 144A | $ | 255,825 | |||||
86,000 | SM Energy Co., 10.000%, 1/15/2025, 144A | 82,071 | ||||||
200,000 | Southwestern Energy Co., 6.450%, 1/23/2025 | 193,750 | ||||||
30,000 | Southwestern Energy Co., 7.500%, 4/01/2026 | 29,325 | ||||||
20,000 | Southwestern Energy Co., 7.750%, 10/01/2027 | 19,450 | ||||||
115,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A | 78,200 | ||||||
60,000 | WPX Energy, Inc., 5.250%, 10/15/2027 | 60,900 | ||||||
100,000 | WPX Energy, Inc., 5.875%, 6/15/2028 | 104,500 | ||||||
|
| |||||||
5,491,636 | ||||||||
|
| |||||||
Industrial Other – 0.5% |
| |||||||
65,000 | Hillenbrand, Inc., 5.750%, 6/15/2025 | 69,306 | ||||||
245,000 | HTA Group Ltd. Co., 7.000%, 12/18/2025, 144A | 255,964 | ||||||
130,000 | Installed Building Products, Inc., 5.750%, 2/01/2028, 144A | 136,825 | ||||||
|
| |||||||
462,095 | ||||||||
|
| |||||||
Integrated Energy – 0.6% |
| |||||||
30,000 | Cenovus Energy, Inc., 4.250%, 4/15/2027 | 27,122 | ||||||
20,000 | Cenovus Energy, Inc., 5.250%, 6/15/2037 | 17,251 | ||||||
110,000 | Cenovus Energy, Inc., 5.375%, 7/15/2025 | 105,868 | ||||||
200,000 | Cenovus Energy, Inc., 5.400%, 6/15/2047 | 168,970 | ||||||
200,000 | Geopark Ltd., 6.500%, 9/21/2024, 144A | 188,840 | ||||||
|
| |||||||
508,051 | ||||||||
|
| |||||||
Leisure – 1.2% |
| |||||||
135,000 | Carnival Corp., 9.875%, 8/01/2027, 144A | 143,045 | ||||||
120,000 | Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp., 5.375%, 6/01/2024 | 114,825 | ||||||
330,000 | Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A | 309,065 | ||||||
125,000 | Royal Caribbean Cruises Ltd., 11.500%, 6/01/2025, 144A | 145,007 | ||||||
120,000 | Six Flags Entertainment Corp., 4.875%, 7/31/2024, 144A | 112,880 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Leisure – continued |
| |||||||
$180,000 | Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A | $ | 172,746 | |||||
|
| |||||||
997,568 | ||||||||
|
| |||||||
Lodging – 1.8% |
| |||||||
605,000 | Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028 | 568,700 | ||||||
10,000 | Marriott Ownership Resorts, Inc., 6.125%, 9/15/2025, 144A | 10,300 | ||||||
130,000 | Marriott Ownership Resorts, Inc./ILG LLC, 6.500%, 9/15/2026 | 133,474 | ||||||
20,000 | Wyndham Destinations, Inc., 3.900%, 3/01/2023 | 19,600 | ||||||
570,000 | Wyndham Destinations, Inc., 4.625%, 3/01/2030, 144A | 550,050 | ||||||
235,000 | Wyndham Destinations, Inc., 6.625%, 7/31/2026, 144A | 246,188 | ||||||
|
| |||||||
1,528,312 | ||||||||
|
| |||||||
Media Entertainment – 4.3% |
| |||||||
160,000 | Clear Channel Worldwide Holdings, Inc., 9.250%, 2/15/2024 | 155,104 | ||||||
305,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A | 215,788 | ||||||
135,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027, 144A | 70,284 | ||||||
1,011,125 | iHeartCommunications, Inc., 8.375%, 5/01/2027 | 995,958 | ||||||
335,000 | Lamar Media Corp., 3.750%, 2/15/2028, 144A | 333,325 | ||||||
235,000 | Meredith Corp., 6.875%, 2/01/2026 | 196,225 | ||||||
675,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 769,500 | ||||||
105,000 | Nexstar Broadcasting, Inc., 5.625%, 7/15/2027, 144A | 110,290 | ||||||
190,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.625%, 10/01/2028, 144A | 196,517 | ||||||
180,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.875%, 10/01/2030, 144A | 187,130 | ||||||
120,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A | 115,200 | ||||||
35,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 6.250%, 6/15/2025, 144A | 36,050 | ||||||
170,000 | Terrier Media Buyer, Inc., 8.875%, 12/15/2027, 144A | 171,275 | ||||||
100,000 | Univision Communications, Inc., 6.625%, 6/01/2027, 144A | 97,625 | ||||||
|
| |||||||
3,650,271 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Metals & Mining – 4.5% |
| |||||||
$205,000 | ABJA Investment Co. Pte Ltd., 5.450%, 1/24/2028 | $ | 198,237 | |||||
210,000 | Alcoa Nederland Holding BV, 5.500%, 12/15/2027, 144A | 218,862 | ||||||
60,000 | Allegheny Technologies, Inc., 5.875%, 12/01/2027 | 57,657 | ||||||
240,000 | ArcelorMittal S.A., 7.000%, 3/01/2041 | 296,400 | ||||||
25,000 | Carpenter Technology Corp., 6.375%, 7/15/2028 | 26,166 | ||||||
285,000 | Cleveland-Cliffs, Inc., 9.875%, 10/17/2025, 144A | 318,131 | ||||||
265,000 | First Quantum Minerals Ltd., 6.500%, 3/01/2024, 144A | 254,069 | ||||||
845,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 814,369 | ||||||
210,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 207,713 | ||||||
190,000 | Freeport-McMoRan, Inc., 4.125%, 3/01/2028 | 192,375 | ||||||
340,000 | Freeport-McMoRan, Inc., 4.250%, 3/01/2030 | 348,500 | ||||||
350,000 | Mineral Resources Ltd., 8.125%, 5/01/2027, 144A | 379,823 | ||||||
315,000 | Novelis Corp., 4.750%, 1/30/2030, 144A | 309,399 | ||||||
125,000 | United States Steel Corp., 6.250%, 3/15/2026 | 84,688 | ||||||
75,000 | United States Steel Corp., 6.875%, 8/15/2025 | 55,130 | ||||||
|
| |||||||
3,761,519 | ||||||||
|
| |||||||
Midstream – 4.7% |
| |||||||
80,000 | Buckeye Partners LP, 5.600%, 10/15/2044 | 70,957 | ||||||
55,000 | Buckeye Partners LP, 5.850%, 11/15/2043 | 50,949 | ||||||
40,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 39,400 | ||||||
230,000 | DCP Midstream Operating LP, 5.625%, 7/15/2027 | 234,612 | ||||||
75,000 | Enable Midstream Partners LP, 4.400%, 3/15/2027 | 71,878 | ||||||
160,000 | Enable Midstream Partners LP, 4.950%, 5/15/2028 | 156,212 | ||||||
185,000 | Energy Transfer Operating LP, 5.000%, 5/15/2050 | 171,293 | ||||||
435,000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044 | 279,487 | ||||||
110,000 | EQM Midstream Partners LP, 6.000%, 7/01/2025, 144A | 113,438 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Midstream – continued |
| |||||||
$200,000 | EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A | $ | 212,004 | |||||
80,000 | EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028 | 80,564 | ||||||
200,000 | Genesis Energy LP/Genesis Energy Finance Corp., 7.750%, 2/01/2028 | 173,770 | ||||||
105,000 | Harvest Midstream I LP, 7.500%, 9/01/2028, 144A | 104,475 | ||||||
665,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A | 677,455 | ||||||
205,000 | New Fortress Energy, Inc., 6.750%, 9/15/2025, 144A | 214,328 | ||||||
105,000 | NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025 | 62,475 | ||||||
145,000 | NuStar Logistics LP, 5.750%, 10/01/2025 | 149,756 | ||||||
115,000 | Sunoco Logistics Partners Operations LP, 5.400%, 10/01/2047 | 108,579 | ||||||
5,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.500%, 9/15/2024, 144A | 4,700 | ||||||
5,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.500%, 1/15/2028, 144A | 4,500 | ||||||
335,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.000%, 3/01/2027, 144A | 306,525 | ||||||
95,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023 | 94,050 | ||||||
155,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031, 144A | 150,106 | ||||||
255,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030, 144A | 255,268 | ||||||
200,000 | Western Midstream Operating LP, 5.050%, 2/01/2030 | 194,653 | ||||||
20,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 17,100 | ||||||
5,000 | Western Midstream Operating LP, 6.250%, 2/01/2050 | 4,631 | ||||||
|
| |||||||
4,003,165 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 1.6% |
| |||||||
100,000 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1-month LIBOR + 3.500%, 3.652%, 11/15/2031, 144A(b)(g)(h) | 70,337 | ||||||
225,000 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1-month LIBOR + 4.500%, 4.652%, 11/15/2031, 144A(b)(g)(h) | 142,276 | ||||||
1,020,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A(g)(h) | 694,070 | ||||||
380,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.652%, 11/15/2027, 144A(b)(e)(f)(g) | 234,843 | ||||||
420,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.552%, 11/15/2027, 144A(b)(e)(f)(g) | 140,011 | ||||||
125,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.965%, 6/15/2045, 144A(a) | 48,185 | ||||||
|
| |||||||
1,329,722 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Oil Field Services – 0.4% |
| |||||||
$465,000 | Shelf Drilling Holdings Ltd., 8.250%, 2/15/2025, 144A | $ | 183,675 | |||||
198,900 | Transocean Guardian Ltd., 5.875%, 1/15/2024, 144A | 128,290 | ||||||
61,750 | Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A | 55,112 | ||||||
|
| |||||||
367,077 | ||||||||
|
| |||||||
Packaging – 1.5% |
| |||||||
570,000 | ARD Finance S.A., 7.250% PIK or 6.500% Cash, 6/30/2027, 144A(c) | 567,036 | ||||||
300,000 | Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.250%, 8/15/2027, 144A | 305,700 | ||||||
75,000 | Graham Packaging Co., Inc., 7.125%, 8/15/2028, 144A | 78,094 | ||||||
80,000 | Intelligent Packaging Ltd Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.000%, 9/15/2028, 144A | 81,124 | ||||||
290,000 | Mauser Packaging Solutions Holding Co., 7.250%, 4/15/2025, 144A | 272,962 | ||||||
|
| |||||||
1,304,916 | ||||||||
|
| |||||||
Pharmaceuticals – 4.3% |
| |||||||
910,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 896,350 | ||||||
420,000 | Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A | 431,995 | ||||||
155,000 | Catalent Pharma Solutions, Inc., 4.875%, 1/15/2026, 144A | 158,100 | ||||||
205,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A | 150,675 | ||||||
206,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.500%, 7/31/2027, 144A | 215,270 | ||||||
170,000 | Jaguar Holding Co. II/PPD Development LP, 5.000%, 6/15/2028, 144A | 177,438 | ||||||
77,000 | Par Pharmaceutical, Inc., 7.500%, 4/01/2027, 144A | 80,671 | ||||||
320,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 282,307 | ||||||
1,535,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 1,276,660 | ||||||
|
| |||||||
3,669,466 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.1% |
| |||||||
80,000 | AmWINS Group, Inc., 7.750%, 7/01/2026, 144A | 85,600 | ||||||
|
| |||||||
Refining – 0.3% |
| |||||||
205,000 | Parkland Corp., 5.875%, 7/15/2027, 144A | 215,506 | ||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
REITs - Hotels – 0.5% |
| |||||||
$165,000 | Host Hotels & Resorts LP, 3.500%, 9/15/2030 | $ | 157,940 | |||||
105,000 | Service Properties Trust, 4.350%, 10/01/2024 | 95,025 | ||||||
5,000 | Service Properties Trust, 4.500%, 6/15/2023 | 4,903 | ||||||
5,000 | Service Properties Trust, 4.650%, 3/15/2024 | 4,650 | ||||||
175,000 | Service Properties Trust, 4.750%, 10/01/2026 | 155,631 | ||||||
30,000 | Service Properties Trust, 7.500%, 9/15/2025 | 31,881 | ||||||
|
| |||||||
450,030 | ||||||||
|
| |||||||
REITs - Mortgage – 1.2% |
| |||||||
285,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A | 246,525 | ||||||
10,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 3/15/2022, 144A | 9,803 | ||||||
725,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A | 671,531 | ||||||
55,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A | 54,931 | ||||||
|
| |||||||
982,790 | ||||||||
|
| |||||||
REITs - Regional Malls – 0.2% |
| |||||||
220,000 | Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 5.750%, 5/15/2026, 144A | 173,375 | ||||||
|
| |||||||
Restaurants – 0.4% |
| |||||||
350,000 | Yum! Brands, Inc., 3.625%, 3/15/2031 | 350,000 | ||||||
|
| |||||||
Retailers – 2.0% |
| |||||||
75,000 | Asbury Automotive Group, Inc., 4.500%, 3/01/2028, 144A | 75,469 | ||||||
83,000 | Asbury Automotive Group, Inc., 4.750%, 3/01/2030, 144A | 83,622 | ||||||
370,000 | Carvana Co., 5.625%, 10/01/2025, 144A | 365,027 | ||||||
370,000 | Carvana Co., 5.875%, 10/01/2028, 144A | 365,623 | ||||||
35,000 | Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A | 34,388 | ||||||
50,000 | Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A | 49,188 | ||||||
140,000 | L Brands, Inc., 5.250%, 2/01/2028 | 135,450 | ||||||
75,000 | L Brands, Inc., 6.625%, 10/01/2030, 144A | 76,312 | ||||||
105,000 | L Brands, Inc., 6.750%, 7/01/2036 | 102,900 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Retailers – continued |
| |||||||
$55,000 | L Brands, Inc., 6.875%, 11/01/2035 | $ | 54,192 | |||||
90,000 | Lithia Motors, Inc., 4.375%, 1/15/2031, 144A | 90,000 | ||||||
200,000 | PetSmart, Inc., 7.125%, 3/15/2023, 144A | 201,750 | ||||||
40,000 | PetSmart, Inc., 8.875%, 6/01/2025, 144A | 41,498 | ||||||
|
| |||||||
1,675,419 | ||||||||
|
| |||||||
Technology – 3.8% |
| |||||||
110,000 | BY Crown Parent LLC/BY Bond Finance, Inc., 4.250%, 1/31/2026, 144A | 111,994 | ||||||
145,000 | Camelot Finance S.A., 4.500%, 11/01/2026, 144A | 147,900 | ||||||
935,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 897,600 | ||||||
93,000 | CommScope Technologies LLC, 6.000%, 6/15/2025, 144A | 94,260 | ||||||
405,000 | CommScope, Inc., 7.125%, 7/01/2028, 144A | 416,137 | ||||||
245,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | 249,288 | ||||||
95,000 | Logan Merger Sub, Inc., 5.500%, 9/01/2027, 144A | 96,097 | ||||||
60,000 | NCR Corp., 5.000%, 10/01/2028, 144A | 60,048 | ||||||
70,000 | NCR Corp., 5.250%, 10/01/2030, 144A | 70,000 | ||||||
50,000 | NCR Corp., 8.125%, 4/15/2025, 144A | 55,263 | ||||||
110,000 | Presidio Holdings, Inc., 4.875%, 2/01/2027, 144A | 111,100 | ||||||
110,000 | Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A | 115,225 | ||||||
65,000 | Sabre GLBL, Inc., 7.375%, 9/01/2025, 144A | 65,650 | ||||||
260,000 | Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A | 286,148 | ||||||
15,000 | Science Applications International Corp., 4.875%, 4/01/2028, 144A | 15,229 | ||||||
90,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A | 89,438 | ||||||
100,000 | Veritas U.S., Inc./Veritas Bermuda Ltd., 7.500%, 9/01/2025, 144A | 103,125 | ||||||
105,000 | Xerox Holdings Corp., 5.000%, 8/15/2025, 144A | 103,768 | ||||||
105,000 | Xerox Holdings Corp., 5.500%, 8/15/2028, 144A | 103,449 | ||||||
|
| |||||||
3,191,719 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued |
| |||||||
Transportation Services – 0.2% |
| |||||||
$185,000 | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.750%, 7/15/2027, 144A | $ | 166,539 | |||||
|
| |||||||
Wireless – 1.5% |
| |||||||
510,000 | Altice France Holding S.A., 10.500%, 5/15/2027, 144A | 566,860 | ||||||
200,000 | Altice France S.A., 5.125%, 1/15/2029, 144A | 199,250 | ||||||
380,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 475,000 | ||||||
|
| |||||||
1,241,110 | ||||||||
|
| |||||||
Wirelines – 0.9% |
| |||||||
25,000 | CenturyLink, Inc., 5.125%, 12/15/2026, 144A | 25,685 | ||||||
130,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 132,440 | ||||||
120,000 | Telecom Italia Capital S.A., 7.200%, 7/18/2036 | 151,344 | ||||||
130,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.875%, 2/15/2025, 144A | 137,761 | ||||||
235,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.250%, 10/15/2023 | 231,475 | ||||||
100,000 | Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.750%, 8/15/2028, 144A | 98,250 | ||||||
|
| |||||||
776,955 | ||||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $75,450,415) | 76,627,618 | |||||||
|
| |||||||
Convertible Bonds – 3.2% | ||||||||
Cable Satellite – 1.5% |
| |||||||
1,365,000 | DISH Network Corp., 3.375%, 8/15/2026 | 1,253,065 | ||||||
|
| |||||||
Diversified Manufacturing – 0.2% |
| |||||||
160,000 | Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024 | 146,359 | ||||||
|
| |||||||
Healthcare – 0.1% |
| |||||||
150,000 | Integra LifeSciences Holdings Corp., 0.500%, 8/15/2025, 144A | 141,433 | ||||||
|
| |||||||
Independent Energy – 0.0% |
| |||||||
645,000 | Chesapeake Energy Corp., 5.500%, 9/15/2026(d)(g)(h) | 21,608 | ||||||
|
| |||||||
Industrial Other – 0.1% |
| |||||||
45,000 | Chegg, Inc., Zero Coupon, 9/01/2026, 144A | 44,843 | ||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Convertible Bonds – continued |
| |||||||
Oil Field Services – 0.1% |
| |||||||
$175,000 | Nabors Industries, Inc., 0.750%, 1/15/2024 | $ | 39,316 | |||||
150,000 | Oil States International, Inc., 1.500%, 2/15/2023 | 85,072 | ||||||
|
| |||||||
124,388 | ||||||||
|
| |||||||
Pharmaceuticals – 1.2% |
| |||||||
145,000 | Aerie Pharmaceuticals, Inc., 1.500%, 10/01/2024 | 116,764 | ||||||
100,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 104,935 | ||||||
710,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027, 144A | 694,374 | ||||||
130,000 | Flexion Therapeutics, Inc., 3.375%, 5/01/2024 | 102,825 | ||||||
|
| |||||||
1,018,898 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $3,858,716) | 2,750,594 | |||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $79,309,131) | 79,378,212 | |||||||
|
| |||||||
Collateralized Loan Obligations – 0.3% | ||||||||
250,000 | Carlyle Global Market Strategies CLO Ltd., Series 2015-2A, Class CR, (Identified Cost $220,000) | 240,351 | ||||||
|
| |||||||
Loan Participations – 0.2% | ||||||||
ABS Other – 0.2% |
| |||||||
294,855 | Harbour Aircraft Investments Ltd., Series 2017-1, Class C, 8.000%, 11/15/2037 (e) (Identified Cost $294,224) | 140,056 | ||||||
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| |||||||
Shares | ||||||||
Preferred Stocks – 1.9% | ||||||||
Banking – 0.5% |
| |||||||
95 | Bank of America Corp., Series L, 7.250% | 141,360 | ||||||
197 | Wells Fargo & Co., Class A, Series L, 7.500% | 264,384 | ||||||
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| |||||||
405,744 | ||||||||
|
| |||||||
Energy – 0.0% |
| |||||||
988 | Chesapeake Energy Corp., 5.750%(e)(f)(g)(i) | — | ||||||
20 | Chesapeake Energy Corp., 5.750%, 144A(e)(f)(g)(i) | — | ||||||
137 | Chesapeake Energy Corp., 5.750%(e)(f)(g)(i) | — | ||||||
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| |||||||
— | ||||||||
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|
Shares | Description | Value (†) | ||||||
Preferred Stocks – continued | ||||||||
Food & Beverage – 1.4% |
| |||||||
12,436 | Bunge Ltd., 4.875% | $ | 1,191,074 | |||||
|
| |||||||
Total Preferred Stocks (Identified Cost $2,421,061) | 1,596,818 | |||||||
|
| |||||||
Common Stocks – 0.8% | ||||||||
Chemicals – 0.2% |
| |||||||
12,177 | Hexion Holdings Corp., Class B(i) | 121,015 | ||||||
|
| |||||||
Energy Equipment & Services – 0.0% |
| |||||||
10,149 | McDermott International Ltd.(i) | 24,358 | ||||||
|
| |||||||
Media – 0.2% |
| |||||||
41,970 | Clear Channel Outdoor Holdings, Inc.(i) | 41,970 | ||||||
17,204 | iHeartMedia, Inc., Class A(i) | 139,696 | ||||||
|
| |||||||
181,666 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.4% |
| |||||||
3,650 | Battalion Oil Corp.(i) | 28,835 | ||||||
19,554 | Whiting Petroleum Corp.(i) | 338,089 | ||||||
|
| |||||||
366,924 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $2,705,072) | 693,963 | |||||||
|
| |||||||
Other Investments – 0.1% | ||||||||
Aircraft ABS – 0.1% |
| |||||||
100 | ECAF I Blocker Ltd.(e)(f)(g)(j) (Identified Cost $1,000,000) | 115,900 | ||||||
|
| |||||||
Warrants – 0.0% | ||||||||
20,319 | McDermott International Ltd., Expiration on 5/1/2024(e)(f)(i) | 19,100 | ||||||
22,577 | McDermott International Ltd., Expiration on 5/1/2024(e)(f)(i) | 12,417 | ||||||
466 | iHeartMedia, Inc., Expiration on 5/1/2039(i) | 3,670 | ||||||
|
| |||||||
Total Warrants (Identified Cost $38,915) | 35,187 | |||||||
|
| |||||||
Principal | ||||||||
Short-Term Investments – 3.2% | ||||||||
$2,669,884 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $2,669,884 on 10/01/2020 collateralized by $2,723,500 U.S. Treasury Note, 0.250% due 9/30/2025 valued at $2,723,288 including accrued interest (k) (Identified Cost $2,669,884) | 2,669,884 | ||||||
|
| |||||||
Total Investments – 100.4% (Identified Cost $88,658,287) | 84,870,371 | |||||||
Other assets less liabilities – (0.4)% | (373,796 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 84,496,575 | ||||||
|
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(†) | 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.
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 | |||||||||
$ 928,291 | 1.1 | % | $ | 522,271 | 0.6 | % |
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. 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. |
(b) | Variable rate security. Rate as of September 30, 2020 is disclosed. |
(c) | 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 September 30, 2020, interest payments were made in cash. |
(d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(e) | Level 3 security. Value has been determined using significant unobservable inputs. |
(f) | Fair valued by the Fund’s adviser. At September 30, 2020, the value of these securities amounted to $522,271 or 0.6% of net assets. |
(g) | Illiquid security. |
(h) | 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 $928,291 or 1.1% of net assets. |
(i) | Non-income producing security. |
(j) | Securities subject to restriction on resale. At September 30, 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 | $ | 115,900 | 0.1 | % |
(k) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of 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 $48,668,699 or 57.6% of net assets. | |
ABS | Asset-BackedSecurities | |
LIBOR | LondonInterbank Offered Rate | |
MTN | MediumTerm 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 September 30, 2020, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
Home Construction | $ | — | $ | 1,209,834 | $ | — | (a) | $ | 1,209,834 | |||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 954,868 | 374,854 | (b) | 1,329,722 | |||||||||||
All Other Non-Convertible Bonds* | — | 74,088,062 | — | 74,088,062 | ||||||||||||
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|
|
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| |||||||||
Total Non-Convertible Bonds | — | 76,252,764 | 374,854 | 76,627,618 | ||||||||||||
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| |||||||||
Convertible Bonds* | — | 2,750,594 | — | 2,750,594 | ||||||||||||
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|
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| |||||||||
Total Bonds and Notes | — | 79,003,358 | 374,854 | 79,378,212 | ||||||||||||
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| |||||||||
Collateralized Loan Obligations | — | 240,351 | — | 240,351 | ||||||||||||
Loan Participations* | — | — | 140,056 | (c) | 140,056 | |||||||||||
Preferred Stocks | ||||||||||||||||
Banking | 405,744 | — | — | 405,744 | ||||||||||||
Energy | — | — | — | (a) | — | |||||||||||
Food & Beverage | — | 1,191,074 | — | 1,191,074 | ||||||||||||
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| |||||||||
Total Preferred Stocks | 405,744 | 1,191,074 | — | 1,596,818 | ||||||||||||
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Common Stocks | ||||||||||||||||
Chemicals | — | 121,015 | — | 121,015 | ||||||||||||
All Other Common Stocks* | 572,948 | — | — | 572,948 | ||||||||||||
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| |||||||||
Total Common Stocks | 572,948 | 121,015 | — | 693,963 | ||||||||||||
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Other Investments* | — | — | 115,900 | (b) | 115,900 | |||||||||||
Warrants | — | 3,670 | 31,517 | (b) | 35,187 | |||||||||||
Short-Term Investments | — | 2,669,884 | — | 2,669,884 | ||||||||||||
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| |||||||||
Total | $ | 978,692 | $ | 83,229,352 | $ | 662,327 | $ | 84,870,371 | ||||||||
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* | 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 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 | ||||||||||||||||||||||||||||||||||||||||
Home Construction | $ | — | (a) | $ | 77,793 | $ | 1,050,446 | $ | (1,128,239 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | (a) | $ | (1,128,239 | ) | ||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | 325,435 | — | — | (273,492 | ) | — | — | 322,911 | — | 374,854 | (273,492 | ) | ||||||||||||||||||||||||||||
Loan Participations | ||||||||||||||||||||||||||||||||||||||||
ABS Other | — | 19 | 226 | (155,704 | ) | — | (102,858 | ) | 398,373 | — | 140,056 | (155,704 | ) | |||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Energy | 196,350 | — | — | (196,350 | ) | — | — | — | — | — | (a) | (196,350 | ) | |||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | 52,304 | — | — | — | — | — | — | (52,304 | ) | — | — | |||||||||||||||||||||||||||||
Other Investments | ||||||||||||||||||||||||||||||||||||||||
Aircraft ABS | 864,000 | — | — | (748,100 | ) | — | — | — | — | 115,900 | (748,100 | ) | ||||||||||||||||||||||||||||
Warrants | — | — | — | — | 31,517 | — | — | — | 31,517 | — | ||||||||||||||||||||||||||||||
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Total | $ | 1,438,089 | $ | 77,812 | $ | 1,050,672 | $ | (2,501,885 | ) | $ | 31,517 | $ | (102,858 | ) | $ | 721,284 | $ | (52,304 | ) | $ | 662,327 | $ | (2,501,885 | ) | ||||||||||||||||
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(a) | Includes a security fair valued at zero using level 3 inputs. |
A debt security valued at $322,911 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 at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.
A debt security valued at $398,373 was transferred from Level 2 to Level 3 during the period ended September 30, 2020. At December 31, 2019, this security was valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At 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.
A common stock valued at $52,304 was transferred from Level 3 to Level 1 during the period ended September 30, 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 was unable to price the security. At September 30, 2020, this security was valued at the market price in the in accordance with the Fund’s valuation policies.
Industry Summary at September 30, 2020 (Unaudited) | ||||
Cable Satellite | 7.9 | % | ||
Independent Energy | 6.5 | |||
Consumer Cyclical Services | 5.6 | |||
Pharmaceuticals | 5.5 | |||
Healthcare | 5.3 | |||
Aerospace & Defense | 5.0 | |||
Midstream | 4.7 | |||
Metals & Mining | 4.5 | |||
Food & Beverage | 4.3 | |||
Media Entertainment | 4.3 | |||
Automotive | 4.3 | |||
Finance Companies | 3.9 | |||
Technology | 3.8 | |||
Gaming | 3.6 | |||
Retailers | 2.0 | |||
Other Investments, less than 2% each | 25.7 | |||
Short-Term Investments | 3.2 | |||
Collateralized Loan Obligations | 0.3 | |||
|
| |||
Total Investments | 100.4 | |||
Other assets less liabilities | (0.4 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|