PORTFOLIO OF INVESTMENTS – as of June 30, 2021 (Unaudited)
Loomis Sayles Credit Income Fund
Principal | Description | Value (†) | ||||||||
Bonds and Notes – 91.6% of Net Assets | ||||||||||
Non-Convertible Bonds – 87.1% | ||||||||||
Aerospace & Defense – 3.8% | ||||||||||
$ | 125,000 | Boeing Co. (The), 2.196%, 2/04/2026 | $ | 126,195 | ||||||
20,000 | Boeing Co. (The), 2.250%, 6/15/2026 | 20,418 | ||||||||
20,000 | Boeing Co. (The), 2.950%, 2/01/2030 | 20,478 | ||||||||
5,000 | Boeing Co. (The), 3.100%, 5/01/2026 | 5,286 | ||||||||
10,000 | Boeing Co. (The), 3.200%, 3/01/2029 | 10,495 | ||||||||
5,000 | Boeing Co. (The), 3.250%, 2/01/2035 | 5,055 | ||||||||
5,000 | Boeing Co. (The), 3.375%, 6/15/2046 | 4,817 | ||||||||
5,000 | Boeing Co. (The), 3.500%, 3/01/2039 | 5,011 | ||||||||
15,000 | Boeing Co. (The), 3.550%, 3/01/2038 | 15,406 | ||||||||
220,000 | Boeing Co. (The), 3.625%, 2/01/2031 | 236,616 | ||||||||
5,000 | Boeing Co. (The), 3.625%, 3/01/2048 | 4,996 | ||||||||
40,000 | Boeing Co. (The), 3.750%, 2/01/2050 | 41,262 | ||||||||
15,000 | Boeing Co. (The), 3.825%, 3/01/2059 | 15,306 | ||||||||
10,000 | Boeing Co. (The), 3.850%, 11/01/2048 | 10,262 | ||||||||
15,000 | Boeing Co. (The), 3.900%, 5/01/2049 | 15,796 | ||||||||
30,000 | Boeing Co. (The), 3.950%, 8/01/2059 | 31,387 | ||||||||
40,000 | Boeing Co. (The), 5.150%, 5/01/2030 | 47,366 | ||||||||
20,000 | Boeing Co. (The), 5.805%, 5/01/2050 | 26,932 | ||||||||
30,000 | Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 32,692 | ||||||||
20,000 | Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030 | 22,842 | ||||||||
125,000 | Raytheon Technologies Corp., 2.800%, 3/15/2022(a) | 126,977 | ||||||||
5,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | 4,900 | ||||||||
30,000 | Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A | 32,025 | ||||||||
125,000 | Textron, Inc., 3.000%, 6/01/2030 | 131,480 | ||||||||
|
| |||||||||
994,000 | ||||||||||
|
|
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Airlines – 0.6% |
| |||||||||
$ | 75,745 | American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030 | $ | 73,603 | ||||||
15,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A | 15,881 | ||||||||
15,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A | 16,219 | ||||||||
14,558 | United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 | 15,438 | ||||||||
10,000 | United Airlines, Inc., 4.375%, 4/15/2026, 144A | 10,352 | ||||||||
15,000 | United Airlines, Inc., 4.625%, 4/15/2029, 144A | 15,525 | ||||||||
|
| |||||||||
147,018 | ||||||||||
|
| |||||||||
Automotive – 1.6% |
| |||||||||
60,000 | Allison Transmission, Inc., 3.750%, 1/30/2031, 144A | 58,972 | ||||||||
40,000 | Ford Motor Co., 9.000%, 4/22/2025 | 49,315 | ||||||||
30,000 | Ford Motor Co., 9.625%, 4/22/2030 | 43,050 | ||||||||
170,000 | General Motors Co., 5.200%, 4/01/2045 | 210,115 | ||||||||
40,000 | General Motors Co., 6.250%, 10/02/2043 | 55,220 | ||||||||
5,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(b) | 5,600 | ||||||||
|
| |||||||||
422,272 | ||||||||||
|
| |||||||||
Banking – 12.7% |
| |||||||||
165,000 | Ally Financial, Inc., 5.125%, 9/30/2024 | 185,885 | ||||||||
65,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(b) | 67,321 | ||||||||
50,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(b) | 50,640 | ||||||||
200,000 | Banco Santander S.A., (fixed rate to 6/30/2023, variable rate thereafter), 0.701%, 6/30/2024 | 200,399 | ||||||||
270,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026(a) | 304,874 | ||||||||
200,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 208,368 | ||||||||
215,000 | Citigroup, Inc., 4.450%, 9/29/2027(a) | 245,637 | ||||||||
250,000 | Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A(a) | 271,795 | ||||||||
150,000 | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031 | 159,670 | ||||||||
210,000 | Goldman Sachs Group, Inc. (The), 4.250%, 10/21/2025(a) | 234,761 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued |
| |||||||||
Non-Convertible Bonds – continued | ||||||||||
Banking – continued |
| |||||||||
$ | 50,000 | JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027 | $ | 50,259 | ||||||
390,000 | Morgan Stanley, 3.625%, 1/20/2027(a) | 432,440 | ||||||||
200,000 | Natwest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter), 1.642%, 6/14/2027 | 199,975 | ||||||||
115,000 | Santander Holdings USA, Inc., 3.244%, 10/05/2026 | 122,834 | ||||||||
30,000 | Santander Holdings USA, Inc., 3.500%, 6/07/2024 | 32,091 | ||||||||
200,000 | Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A | 207,520 | ||||||||
200,000 | Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A(a) | 233,891 | ||||||||
115,000 | Synchrony Financial, 4.375%, 3/19/2024 | 125,166 | ||||||||
|
| |||||||||
3,333,526 | ||||||||||
|
| |||||||||
Brokerage – 1.2% |
| |||||||||
15,000 | Jefferies Group LLC, 6.250%, 1/15/2036 | 20,047 | ||||||||
180,000 | Jefferies Group LLC, 6.500%, 1/20/2043 | 248,266 | ||||||||
60,000 | Owl Rock Technology Finance Corp., 2.500%, 1/15/2027 | 59,236 | ||||||||
|
| |||||||||
327,549 | ||||||||||
|
| |||||||||
Building Materials – 0.4% |
| |||||||||
40,000 | Builders FirstSource, Inc., 6.750%, 6/01/2027, 144A | 42,850 | ||||||||
55,000 | JELD-WEN, Inc., 4.875%, 12/15/2027, 144A | 57,157 | ||||||||
|
| |||||||||
100,007 | ||||||||||
|
| |||||||||
Cable Satellite – 2.9% |
| |||||||||
120,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | 122,303 | ||||||||
120,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A | 124,946 | ||||||||
220,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050 | 252,681 | ||||||||
40,000 | DISH DBS Corp., 5.125%, 6/01/2029, 144A | 39,497 | ||||||||
5,000 | Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A | 5,448 | ||||||||
200,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 222,309 | ||||||||
|
| |||||||||
767,184 | ||||||||||
|
|
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Chemicals – 1.5% |
| |||||||||
$ | 70,000 | CF Industries, Inc., 4.500%, 12/01/2026, 144A | $ | 80,348 | ||||||
15,000 | FMC Corp., 3.450%, 10/01/2029 | 16,307 | ||||||||
60,000 | Hercules LLC, 6.500%, 6/30/2029 | 66,141 | ||||||||
200,000 | Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A | 201,250 | ||||||||
30,000 | Westlake Chemical Corp., 3.600%, 8/15/2026 | 32,696 | ||||||||
|
| |||||||||
396,742 | ||||||||||
|
| |||||||||
Construction Machinery – 0.3% |
| |||||||||
75,000 | John Deere Capital Corp., MTN, 2.000%, 6/17/2031 | 75,809 | ||||||||
|
| |||||||||
Consumer Cyclical Services – 2.2% |
| |||||||||
30,000 | CBRE Services, Inc., 4.875%, 3/01/2026 | 34,686 | ||||||||
185,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 193,241 | ||||||||
50,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A | 49,675 | ||||||||
45,000 | TriNet Group, Inc., 3.500%, 3/01/2029, 144A | 44,370 | ||||||||
115,000 | Uber Technologies, Inc., 7.500%, 5/15/2025, 144A | 124,108 | ||||||||
5,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 5,495 | ||||||||
115,000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A | 123,913 | ||||||||
|
| |||||||||
575,488 | ||||||||||
|
| |||||||||
Electric – 1.6% |
| |||||||||
15,000 | AES Corp. (The), 2.450%, 1/15/2031, 144A | 14,855 | ||||||||
5,000 | AES Corp. (The), 3.950%, 7/15/2030, 144A | 5,467 | ||||||||
85,000 | Calpine Corp., 3.750%, 3/01/2031, 144A | 80,950 | ||||||||
40,000 | Calpine Corp., 5.125%, 3/15/2028, 144A | 40,700 | ||||||||
20,000 | IPALCO Enterprises, Inc., 4.250%, 5/01/2030 | 22,461 | ||||||||
35,000 | NRG Energy, Inc., 4.450%, 6/15/2029, 144A | 38,632 | ||||||||
35,000 | NRG Energy, Inc., 5.250%, 6/15/2029, 144A | 37,231 | ||||||||
140,000 | Pacific Gas & Electric Co., 3.500%, 8/01/2050 | 124,777 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Electric – continued |
| |||||||||
$ | 50,000 | Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A | $ | 53,421 | ||||||
|
| |||||||||
418,494 | ||||||||||
|
| |||||||||
Finance Companies – 5.8% |
| |||||||||
150,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028 | 160,555 | ||||||||
105,000 | Air Lease Corp., 3.125%, 12/01/2030 | 106,670 | ||||||||
205,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 | 207,937 | ||||||||
40,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(b) | 41,450 | ||||||||
125,000 | Aircastle Ltd., 4.125%, 5/01/2024 | 133,281 | ||||||||
15,000 | Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(b) | 15,150 | ||||||||
100,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 101,502 | ||||||||
25,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A | 25,007 | ||||||||
35,000 | FS KKR Capital Corp., 3.400%, 1/15/2026 | 36,191 | ||||||||
200,000 | GE Capital Funding LLC, 4.400%, 5/15/2030 | 233,066 | ||||||||
75,000 | Navient Corp., 5.000%, 3/15/2027 | 77,606 | ||||||||
35,000 | Oaktree Specialty Lending Corp., 2.700%, 1/15/2027 | 35,014 | ||||||||
10,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 11,647 | ||||||||
50,000 | Owl Rock Capital Corp., 2.625%, 1/15/2027 | 50,129 | ||||||||
50,000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 | 49,625 | ||||||||
75,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 74,062 | ||||||||
155,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 156,161 | ||||||||
|
| |||||||||
1,515,053 | ||||||||||
|
| |||||||||
Financial Other – 0.6% |
| |||||||||
45,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029, 144A | 44,775 | ||||||||
115,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 118,737 | ||||||||
|
| |||||||||
163,512 | ||||||||||
|
| |||||||||
Food & Beverage – 3.8% |
| |||||||||
240,000 | Coca-Cola Co. (The), 1.750%, 9/06/2024(a) | 249,510 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Food & Beverage – continued |
| |||||||||
$ | 150,000 | Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050(a) | $ | 157,764 | ||||||
145,000 | Kraft Heinz Foods Co., 4.375%, 6/01/2046 | 164,331 | ||||||||
95,000 | Kraft Heinz Foods Co., 4.875%, 10/01/2049 | 115,325 | ||||||||
50,000 | Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A | 53,250 | ||||||||
60,000 | Post Holdings, Inc., 4.625%, 4/15/2030, 144A | 61,010 | ||||||||
190,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A | 191,563 | ||||||||
|
| |||||||||
992,753 | ||||||||||
|
| |||||||||
Gaming – 0.6% |
| |||||||||
85,000 | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 3.875%, 2/15/2029, 144A | 86,324 | ||||||||
15,000 | Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A | 14,981 | ||||||||
55,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 60,071 | ||||||||
5,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 5,640 | ||||||||
|
| |||||||||
167,016 | ||||||||||
|
| |||||||||
Health Insurance – 0.4% |
| |||||||||
90,000 | Centene Corp., 2.500%, 3/01/2031 | 88,762 | ||||||||
20,000 | Centene Corp., 3.000%, 10/15/2030 | 20,546 | ||||||||
5,000 | Centene Corp., 4.625%, 12/15/2029 | 5,499 | ||||||||
|
| |||||||||
114,807 | ||||||||||
|
| |||||||||
Healthcare – 2.2% |
| |||||||||
15,000 | Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A | 14,526 | ||||||||
10,000 | Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A | 10,138 | ||||||||
75,000 | Cigna Corp., 4.375%, 10/15/2028 | 87,227 | ||||||||
5,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 5,313 | ||||||||
165,000 | HCA, Inc., 4.125%, 6/15/2029 | 185,803 | ||||||||
100,000 | HCA, Inc., 5.250%, 6/15/2049 | 127,469 | ||||||||
90,000 | Hologic, Inc., 3.250%, 2/15/2029, 144A | 89,212 | ||||||||
25,000 | Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A | 25,730 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Healthcare – continued |
| |||||||||
$ | 30,000 | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A | $ | 31,969 | ||||||
|
| |||||||||
577,387 | ||||||||||
|
| |||||||||
Home Construction – 0.7% |
| |||||||||
90,000 | Lennar Corp., 4.750%, 11/29/2027 | 104,028 | ||||||||
70,000 | PulteGroup, Inc., 6.000%, 2/15/2035 | 91,870 | ||||||||
|
| |||||||||
195,898 | ||||||||||
|
| |||||||||
Independent Energy – 2.4% |
| |||||||||
150,000 | Aker BP ASA, 4.000%, 1/15/2031, 144A | 164,758 | ||||||||
10,000 | Cimarex Energy Co., 4.375%, 6/01/2024 | 10,884 | ||||||||
20,000 | Continental Resources, Inc., 3.800%, 6/01/2024 | 21,150 | ||||||||
40,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 47,900 | ||||||||
20,000 | Diamondback Energy, Inc., 3.125%, 3/24/2031 | 20,727 | ||||||||
25,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 25,680 | ||||||||
40,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | 41,182 | ||||||||
5,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 5,124 | ||||||||
10,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 10,425 | ||||||||
5,000 | EQT Corp., 5.000%, 1/15/2029 | 5,575 | ||||||||
55,000 | Hess Corp., 4.300%, 4/01/2027 | 61,213 | ||||||||
60,000 | Hess Corp., 5.600%, 2/15/2041 | 74,897 | ||||||||
15,000 | Occidental Petroleum Corp., 2.900%, 8/15/2024 | 15,337 | ||||||||
10,000 | Occidental Petroleum Corp., 3.500%, 6/15/2025 | 10,225 | ||||||||
30,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 33,150 | ||||||||
45,000 | Ovintiv Exploration, Inc., 5.375%, 1/01/2026 | 50,713 | ||||||||
20,000 | Ovintiv Exploration, Inc., 5.625%, 7/01/2024 | 22,268 | ||||||||
|
| |||||||||
621,208 | ||||||||||
|
| |||||||||
Leisure – 0.6% |
| |||||||||
55,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | 57,612 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Leisure – continued |
| |||||||||
$ | 30,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | $ | 31,425 | ||||||
10,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 10,480 | ||||||||
60,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 62,838 | ||||||||
|
| |||||||||
162,355 | ||||||||||
|
| |||||||||
Life Insurance – 1.1% |
| |||||||||
65,000 | AIG Global Funding, 0.650%, 6/17/2024, 144A | 64,815 | ||||||||
50,000 | Athene Global Funding, 1.608%, 6/29/2026, 144A | 50,006 | ||||||||
95,000 | Athene Global Funding, 2.550%, 11/19/2030, 144A | 95,525 | ||||||||
30,000 | Athene Holding Ltd., 3.500%, 1/15/2031 | 31,984 | ||||||||
30,000 | CNO Financial Group, Inc., 5.250%, 5/30/2029 | 35,731 | ||||||||
|
| |||||||||
278,061 | ||||||||||
|
| |||||||||
Lodging – 1.2% |
| |||||||||
60,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A | 59,250 | ||||||||
40,000 | Hilton Domestic Operating Co., Inc., 4.000%, 5/01/2031, 144A | 40,395 | ||||||||
10,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A | 9,974 | ||||||||
25,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 25,563 | ||||||||
5,000 | Hyatt Hotels Corp., 5.375%, 4/23/2025 | 5,645 | ||||||||
15,000 | Hyatt Hotels Corp., 5.750%, 4/23/2030 | 18,208 | ||||||||
20,000 | Marriott International, Inc., Series EE, 5.750%, 5/01/2025 | 23,086 | ||||||||
25,000 | Marriott International, Inc., Series FF, 4.625%, 6/15/2030 | 28,793 | ||||||||
20,000 | Marriott International, Inc., Series HH, 2.850%, 4/15/2031 | 20,310 | ||||||||
20,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 20,275 | ||||||||
75,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 77,302 | ||||||||
|
| |||||||||
328,801 | ||||||||||
|
| |||||||||
Media Entertainment – 2.4% |
| |||||||||
25,000 | AMC Networks, Inc., 4.250%, 2/15/2029 | 25,219 |
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Media Entertainment – continued |
| |||||||||
$ | 60,000 | Clear Channel Worldwide Holdings, Inc., 5.125%, 8/15/2027, 144A | $ | 61,513 | ||||||
85,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 87,444 | ||||||||
75,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 78,405 | ||||||||
35,000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 | 37,494 | ||||||||
25,000 | Lamar Media Corp., 3.750%, 2/15/2028 | 25,437 | ||||||||
30,000 | Lamar Media Corp., 4.000%, 2/15/2030 | 30,363 | ||||||||
10,000 | Netflix, Inc., 4.875%, 4/15/2028 | 11,625 | ||||||||
120,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 142,716 | ||||||||
115,000 | ViacomCBS, Inc., 4.375%, 3/15/2043 | 133,062 | ||||||||
|
| |||||||||
633,278 | ||||||||||
|
| |||||||||
Metals & Mining – 4.2% |
| |||||||||
45,000 | Allegheny Technologies, Inc., 5.875%, 12/01/2027 | 47,138 | ||||||||
200,000 | Anglo American Capital PLC, 4.500%, 3/15/2028, 144A | 228,565 | ||||||||
35,000 | ArcelorMittal S.A., 7.250%, 10/15/2039 | 49,442 | ||||||||
200,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 217,940 | ||||||||
45,000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A | 48,142 | ||||||||
60,000 | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 | 65,700 | ||||||||
40,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 48,312 | ||||||||
10,000 | Freeport-McMoRan, Inc., 5.450%, 3/15/2043 | 12,223 | ||||||||
135,000 | Glencore Funding LLC, 3.875%, 10/27/2027, 144A | 148,720 | ||||||||
20,000 | Glencore Funding LLC, 4.000%, 3/27/2027, 144A | 22,167 | ||||||||
45,000 | Glencore Funding LLC, 4.125%, 3/12/2024, 144A | 48,512 | ||||||||
115,000 | Glencore Funding LLC, 4.625%, 4/29/2024, 144A | 126,052 | ||||||||
35,000 | Novelis Corp., 4.750%, 1/30/2030, 144A | 36,750 | ||||||||
10,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 9,900 | ||||||||
|
| |||||||||
1,109,563 | ||||||||||
|
|
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Midstream – 2.2% |
| |||||||||
$ | 115,000 | Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027 | $ | 133,720 | ||||||
55,000 | Energy Transfer LP, 4.000%, 10/01/2027 | 60,510 | ||||||||
30,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | 26,625 | ||||||||
35,000 | EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028 | 37,820 | ||||||||
50,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A | 52,150 | ||||||||
80,000 | NGPL PipeCo LLC, 4.875%, 8/15/2027, 144A | 91,627 | ||||||||
15,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 16,051 | ||||||||
35,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043 | 35,357 | ||||||||
35,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.700%, 6/15/2044 | 37,079 | ||||||||
15,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032, 144A | 15,430 | ||||||||
60,000 | Valero Energy Partners LP, 4.500%, 3/15/2028 | 68,254 | ||||||||
|
| |||||||||
574,623 | ||||||||||
|
| |||||||||
Paper – 0.2% |
| |||||||||
45,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 | 47,194 | ||||||||
|
| |||||||||
Pharmaceuticals – 3.4% |
| |||||||||
230,000 | GlaxoSmithKline Capital PLC, 3.000%, 6/01/2024(a) | 245,055 | ||||||||
245,000 | Merck & Co., Inc., 2.350%, 2/10/2022(a) | 248,195 | ||||||||
50,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 55,000 | ||||||||
70,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 66,588 | ||||||||
250,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 219,062 | ||||||||
20,000 | Utah Acquisition Sub, Inc., 5.250%, 6/15/2046 | 24,358 | ||||||||
25,000 | Viatris, Inc., 4.000%, 6/22/2050, 144A | 26,438 | ||||||||
|
| |||||||||
884,696 | ||||||||||
|
| |||||||||
Property & Casualty Insurance – 0.9% |
| |||||||||
175,000 | Fidelity National Financial, Inc., 2.450%, 3/15/2031 | 174,253 | ||||||||
65,000 | Sirius International Group Ltd., 4.600%, 11/01/2026, 144A | 66,131 | ||||||||
|
| |||||||||
240,384 | ||||||||||
|
|
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
REITs - Apartments – 0.0% |
| |||||||||
$ | 10,000 | American Homes 4 Rent, 2.375%, 7/15/2031 | $ | 9,851 | ||||||
|
| |||||||||
REITs - Health Care – 0.5% |
| |||||||||
110,000 | Welltower, Inc., 4.250%, 4/01/2026 | 124,060 | ||||||||
|
| |||||||||
REITs - Mortgage – 0.2% |
| |||||||||
15,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A | 14,979 | ||||||||
25,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A | 25,437 | ||||||||
|
| |||||||||
40,416 | ||||||||||
|
| |||||||||
REITs - Office Property – 0.0% |
| |||||||||
10,000 | Corporate Office Properties LP, 2.750%, 4/15/2031 | 10,076 | ||||||||
|
| |||||||||
REITs - Shopping Centers – 0.8% |
| |||||||||
115,000 | Brixmor Operating Partnership LP, 4.050%, 7/01/2030 | 128,669 | ||||||||
75,000 | SITE Centers Corp., 3.625%, 2/01/2025 | 79,235 | ||||||||
|
| |||||||||
207,904 | ||||||||||
|
| |||||||||
Restaurants – 0.9% |
| |||||||||
125,000 | 1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A | 126,719 | ||||||||
45,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 47,250 | ||||||||
60,000 | Yum! Brands, Inc., 4.750%, 1/15/2030, 144A | 64,950 | ||||||||
|
| |||||||||
238,919 | ||||||||||
|
| |||||||||
Retailers – 0.9% |
| |||||||||
45,000 | AutoZone, Inc., 3.625%, 4/15/2025 | 49,249 | ||||||||
55,000 | Carvana Co., 5.625%, 10/01/2025, 144A | 57,181 | ||||||||
93,639 | CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A | 103,045 | ||||||||
20,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 20,715 | ||||||||
10,000 | Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A | 9,885 | ||||||||
|
| |||||||||
240,075 | ||||||||||
|
| |||||||||
Sovereigns – 0.8% |
| |||||||||
200,000 | Mexico Government International Bond, 4.280%, 8/14/2041 | 209,928 | ||||||||
|
|
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Technology – 5.2% |
| |||||||||
$ | 85,000 | Avnet, Inc., 4.625%, 4/15/2026 | $ | 95,541 | ||||||
115,000 | Broadcom, Inc., 4.300%, 11/15/2032 | 130,954 | ||||||||
130,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 133,088 | ||||||||
5,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 5,000 | ||||||||
55,000 | IHS Markit Ltd., 4.250%, 5/01/2029 | 63,646 | ||||||||
60,000 | Iron Mountain, Inc., 5.250%, 7/15/2030, 144A | 63,515 | ||||||||
35,000 | Jabil, Inc., 1.700%, 4/15/2026 | 35,259 | ||||||||
30,000 | Marvell Technology, Inc., 2.450%, 4/15/2028, 144A | 30,576 | ||||||||
25,000 | Marvell Technology, Inc., 2.950%, 4/15/2031, 144A | 25,909 | ||||||||
20,000 | Microchip Technology, Inc., 0.983%, 9/01/2024, 144A | 19,903 | ||||||||
145,000 | Microchip Technology, Inc., 4.333%, 6/01/2023 | 154,628 | ||||||||
265,000 | Micron Technology, Inc., 4.663%, 2/15/2030 | 308,023 | ||||||||
115,000 | NVIDIA Corp., 0.584%, 6/14/2024 | 115,026 | ||||||||
60,000 | Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A | 61,188 | ||||||||
60,000 | Qorvo, Inc., 3.375%, 4/01/2031, 144A | 62,533 | ||||||||
10,000 | Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A | 11,888 | ||||||||
5,000 | Skyworks Solutions, Inc., 1.800%, 6/01/2026 | 5,063 | ||||||||
35,000 | Verisk Analytics, Inc., 4.125%, 3/15/2029 | 39,699 | ||||||||
|
| |||||||||
1,361,439 | ||||||||||
|
| |||||||||
Transportation Services – 0.4% |
| |||||||||
115,000 | United Parcel Service, Inc., 2.500%, 4/01/2023 | 119,165 | ||||||||
|
| |||||||||
Treasuries – 11.8% |
| |||||||||
135,000 | U.S. Treasury Bond, 1.125%, 8/15/2040 | 116,142 | ||||||||
430,000 | U.S. Treasury Bond, 1.875%, 2/15/2051 | 410,381 | ||||||||
1,805,000 | U.S. Treasury Note, 0.125%, 1/31/2023(a)(c) | 1,803,237 | ||||||||
780,000 | U.S. Treasury Note, 0.125%, 4/30/2023 | 778,538 | ||||||||
|
| |||||||||
3,108,298 | ||||||||||
|
|
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
Wireless – 2.6% |
| |||||||||
$ | 80,000 | Crown Castle International Corp., 2.500%, 7/15/2031 | $ | 80,569 | ||||||
70,000 | SBA Communications Corp., 3.125%, 2/01/2029, 144A | 67,485 | ||||||||
30,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 38,475 | ||||||||
130,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 134,159 | ||||||||
65,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 67,246 | ||||||||
265,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 296,222 | ||||||||
|
| |||||||||
684,156 | ||||||||||
|
| |||||||||
Wirelines – 1.5% |
| |||||||||
130,000 | AT&T, Inc., 3.650%, 6/01/2051(a) | 134,960 | ||||||||
150,000 | Telefonica Emisiones S.A., 5.520%, 3/01/2049 | 194,932 | ||||||||
70,000 | Verizon Communications, Inc., 3.550%, 3/22/2051 | 74,786 | ||||||||
|
| |||||||||
404,678 | ||||||||||
|
| |||||||||
Total Non-Convertible Bonds (Identified Cost $22,352,474) | 22,923,643 | |||||||||
|
| |||||||||
Convertible Bonds – 4.5% | ||||||||||
Airlines – 0.3% |
| |||||||||
20,000 | JetBlue Airways Corp., 0.500%, 4/01/2026, 144A | 19,930 | ||||||||
40,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 60,575 | ||||||||
|
| |||||||||
80,505 | ||||||||||
|
| |||||||||
Cable Satellite – 1.6% |
| |||||||||
25,000 | DISH Network Corp., Zero Coupon, 0.000%, 12/15/2025, 144A(d) | 29,113 | ||||||||
340,000 | DISH Network Corp., 3.375%, 8/15/2026 | 346,970 | ||||||||
35,000 | Liberty Media Corp., 0.500%, 12/01/2050, 144A | 40,267 | ||||||||
|
| |||||||||
416,350 | ||||||||||
|
| |||||||||
Consumer Cyclical Services – 0.3% |
| |||||||||
25,000 | Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(d) | 27,000 | ||||||||
25,000 | Peloton Interactive, Inc., Zero Coupon, 0.000%-1.003%, 2/15/2026, 144A(e) | 24,172 | ||||||||
35,000 | Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(d) | 35,490 | ||||||||
|
| |||||||||
86,662 | ||||||||||
|
|
Principal | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Convertible Bonds – continued | ||||||||||
Healthcare – 0.5% |
| |||||||||
$ | 120,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | $ | 134,328 | ||||||
|
| |||||||||
Media Entertainment – 0.1% |
| |||||||||
35,000 | Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(d) | 33,381 | ||||||||
|
| |||||||||
Pharmaceuticals – 1.2% |
| |||||||||
240,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 240,463 | ||||||||
15,000 | Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027, 144A(d) | 17,072 | ||||||||
25,000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(d) | 24,492 | ||||||||
10,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 15,886 | ||||||||
15,000 | Neurocrine Biosciences, Inc., 2.250%, 5/15/2024 | 20,053 | ||||||||
|
| |||||||||
317,966 | ||||||||||
|
| |||||||||
Technology – 0.5% |
| |||||||||
80,000 | Palo Alto Networks, Inc., 0.375%, 6/01/2025 | 108,800 | ||||||||
10,000 | Splunk, Inc., 1.125%, 6/15/2027 | 9,744 | ||||||||
|
| |||||||||
118,544 | ||||||||||
|
| |||||||||
Total Convertible Bonds (Identified Cost $1,133,664) | 1,187,736 | |||||||||
|
| |||||||||
Total Bonds and Notes (Identified Cost $23,486,138) | 24,111,379 | |||||||||
|
| |||||||||
Collateralized Loan Obligations – 2.8% | ||||||||||
250,000 | AIMCO CLO Ltd., Series 2021-14A, Class D, 3-month LIBOR + 2.900%, 3.088%, 4/20/2034, 144A(f) | 249,983 | ||||||||
250,000 | Fillmore Park CLO Ltd., Series 2018-1A, Class D, 3-month LIBOR + 2.900%, 3.084%, 7/15/2030, 144A(f) | 249,998 | ||||||||
250,000 | Recette CLO Ltd., Series 2015-1A, Class DRR, 3-month LIBOR + 3.250%, 3.438%, 4/20/2034, 144A(f) | 251,579 | ||||||||
|
| |||||||||
Total Collateralized Loan Obligations (Identified Cost $750,000) | 751,560 | |||||||||
|
|
Shares | Description | Value (†) | ||||||||
Preferred Stocks – 3.2% | ||||||||||
Convertible Preferred Stocks – 3.2% | ||||||||||
Banking – 1.0% |
| |||||||||
97 | Bank of America Corp., Series L, 7.250% | $ | 137,352 | |||||||
83 | Wells Fargo & Co., Class A, Series L, 7.500% | 126,675 | ||||||||
|
| |||||||||
264,027 | ||||||||||
|
| |||||||||
Food & Beverage – 0.7% |
| |||||||||
1,492 | Bunge Ltd., 4.875% | 173,162 | ||||||||
|
| |||||||||
Healthcare – 0.1% |
| |||||||||
234 | Boston Scientific Corp., Series A, 5.500% | 27,158 | ||||||||
|
| |||||||||
Technology – 0.2% |
| |||||||||
560 | Clarivate PLC, Series A, 5.250% | 58,632 | ||||||||
|
| |||||||||
Wireless – 1.2% |
| |||||||||
250 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(g)(h) | 315,020 | ||||||||
|
| |||||||||
Total Convertible Preferred Stocks (Identified Cost $793,492) | 837,999 | |||||||||
|
| |||||||||
Total Preferred Stocks (Identified Cost $793,492) | 837,999 | |||||||||
|
| |||||||||
Total Investments – 97.6% (Identified Cost $25,029,630) | 25,700,938 | |||||||||
Other assets less liabilities – 2.4% | 620,649 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 26,321,587 | ||||||||
|
|
(†) | 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. 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 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.
Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
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.
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) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. | |
(b) | Perpetual bond with no specified maturity date. | |
(c) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. | |
(d) | Interest rate represents annualized yield at time of purchase; not a coupon rate. | |
(e) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields. | |
(f) | Variable rate security. Rate as of June 30, 2021 is disclosed. | |
(g) | Illiquid security. | |
(h) | Security classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2021, the value of this security amounted to $315,020 or 1.2% of net assets. | |
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 June 30, 2021, the value of Rule 144A holdings amounted to $7,744,989 or 29.4% of net assets. | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium Term Note | |
REITs | Real Estate Investment Trusts |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At June 30, 2021, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Ultra 10 Year U.S. Treasury Note | 9/21/2021 | 2 | $ | 290,080 | $ | 294,406 | $ | (4,326 | ) | |||||||||||
|
|
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 June 30, 2021, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* | $ | — | $ | 24,111,379 | $ | — | $ | 24,111,379 | ||||||||
Collateralized Loan Obligations | — | 751,560 | — | 751,560 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Food & Beverage | — | 173,162 | — | 173,162 | ||||||||||||
Wireless | — | 315,020 | — | 315,020 | ||||||||||||
All Other Preferred Stocks* | 349,817 | — | — | 349,817 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 349,817 | 488,182 | — | 837,999 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 349,817 | $ | 25,351,121 | $ | — | $ | 25,700,938 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) | $ (4,326 | ) | $ | — | $ | — | $ | (4,326 | ) | |||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include futures contracts.
The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may use futures contracts to gain investment exposure. During the period ended June 30, 2021, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of June 30, 2021:
Liabilities | Unrealized depreciation on futures contracts | |||
Exchange-traded liability derivatives Interest rate contracts | $ | (4,326 | ) |
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of June 30, 2021:
Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | |
$ 19,980 | $ 19,980 |
Industry Summary at June 30, 2021 (Unaudited)
Banking | 13.7 | % | ||
Treasuries | 11.8 | |||
Technology | 5.9 | |||
Finance Companies | 5.8 | |||
Pharmaceuticals | 4.6 | |||
Cable Satellite | 4.5 | |||
Food & Beverage | 4.5 | |||
Metals & Mining | 4.2 | |||
Wireless | 3.8 | |||
Aerospace & Defense | 3.8 | |||
Healthcare | 2.8 | |||
Media Entertainment | 2.5 | |||
Consumer Cyclical Services | 2.5 | |||
Independent Energy | 2.4 | |||
Midstream | 2.2 | |||
Other Investments, less than 2% each | 19.8 | |||
Collateralized Loan Obligations | 2.8 | |||
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Total Investments | 97.6 | |||
Other assets less liabilities (including futures contracts) | 2.4 | |||
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Net Assets | 100.0 | % | ||
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