PORTFOLIO OF INVESTMENTS – as of September 30, 2021 (Unaudited)
Loomis Sayles High Income Fund
Principal | Description | Value (†) | ||||||
Bonds and Notes – 90.3% of Net Assets |
| |||||||
Non-Convertible Bonds – 85.0% |
| |||||||
ABS Home Equity – 0.4% |
| |||||||
$ 126,252 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%, 0.747%, 9/19/2045(a) | $ | 95,681 | |||||
115,000 | Progress Residential Trust, Series 2021-SFR3, Class F, 3.436%, 5/17/2026, 144A | 115,882 | ||||||
225,000 | Progress Residential Trust, Series 2021-SFR4, Class F, 3.407%, 5/17/2038, 144A | 225,874 | ||||||
100,000 | VOLT XCVI LLC, Series 2021-NPL5, Class A2, 4.826%, 3/27/2051, 144A(b) | 99,979 | ||||||
|
| |||||||
537,416 | ||||||||
|
| |||||||
Aerospace & Defense – 2.3% |
| |||||||
100,000 | Bombardier, Inc., 6.000%, 2/15/2028, 144A | 101,125 | ||||||
635,000 | Bombardier, Inc., 7.125%, 6/15/2026, 144A | 666,750 | ||||||
95,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 | 99,988 | ||||||
140,000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 | 148,926 | ||||||
263,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A | 312,418 | ||||||
60,000 | Moog, Inc., 4.250%, 12/15/2027, 144A | 61,650 | ||||||
595,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | 590,537 | ||||||
190,000 | Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A | 201,163 | ||||||
235,000 | TransDigm, Inc., 4.625%, 1/15/2029 | 234,590 | ||||||
110,000 | TransDigm, Inc., 4.875%, 5/01/2029 | 110,205 | ||||||
100,000 | TransDigm, Inc., 5.500%, 11/15/2027 | 102,750 | ||||||
120,000 | Triumph Group, Inc., 6.250%, 9/15/2024, 144A | 119,936 | ||||||
|
| |||||||
2,750,038 | ||||||||
|
| |||||||
Airlines – 1.8% |
| |||||||
30,000 | American Airlines Group, Inc., 5.000%, 6/01/2022, 144A | 30,037 | ||||||
160,000 | American Airlines, Inc., 11.750%, 7/15/2025, 144A | 198,000 | ||||||
225,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A | 236,531 | ||||||
960,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A | 1,034,400 | ||||||
111,000 |
| Delta Air Lines, Inc., 7.375%, 1/15/2026 | 130,774 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Airlines – continued |
| |||||||
$ 260,000 | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.750%, 1/20/2026, 144A | $ | 272,025 | |||||
105,000 | United Airlines, Inc., 4.375%, 4/15/2026, 144A | 107,756 | ||||||
155,000 | United Airlines, Inc., 4.625%, 4/15/2029, 144A | 160,185 | ||||||
|
| |||||||
2,169,708 | ||||||||
|
| |||||||
Automotive – 2.4% |
| |||||||
105,000 | Clarios Global LP/Clarios U.S. Finance Co., 8.500%, 5/15/2027, 144A | 111,694 | ||||||
75,000 | Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A | 77,355 | ||||||
1,440,000 | Ford Motor Co., 9.000%, 4/22/2025 | 1,731,643 | ||||||
105,000 | Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027 | 113,269 | ||||||
115,000 | Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026 | 118,019 | ||||||
55,000 | Goodyear Tire & Rubber Co. (The), 5.000%, 7/15/2029, 144A | 58,369 | ||||||
180,000 | Goodyear Tire & Rubber Co. (The), 5.250%, 7/15/2031, 144A | 191,700 | ||||||
300,000 | Jaguar Land Rover Automotive PLC, 5.875%, 1/15/2028 | 301,140 | ||||||
40,000 | Meritor, Inc., 4.500%, 12/15/2028, 144A | 40,100 | ||||||
65,000 | Real Hero Merger Sub 2, Inc., 6.250%, 2/01/2029, 144A | 67,437 | ||||||
40,000 | Tenneco, Inc., 7.875%, 1/15/2029, 144A | 44,650 | ||||||
85,000 | Wheel Pros, Inc., 6.500%, 5/15/2029, 144A | 82,237 | ||||||
|
| |||||||
2,937,613 | ||||||||
|
| |||||||
Banking – 0.9% |
| |||||||
600,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 659,864 | ||||||
400,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | 441,298 | ||||||
|
| |||||||
1,101,162 | ||||||||
|
| |||||||
Brokerage – 0.2% |
| |||||||
60,000 | Coinbase Global, Inc., 3.625%, 10/01/2031, 144A | 57,037 | ||||||
200,000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.000%, 8/15/2028, 144A | 202,750 | ||||||
|
| |||||||
259,787 | ||||||||
|
| |||||||
Building Materials – 2.0% |
| |||||||
215,000 |
| Builders FirstSource, Inc., 4.250%, 2/01/2032, 144A | 219,837 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Building Materials – continued |
| |||||||
$ 265,000 | Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A | $ | 282,392 | |||||
270,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 270,162 | ||||||
285,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A | 306,104 | ||||||
125,000 | Cornerstone Building Brands, Inc., 6.125%, 1/15/2029, 144A | 132,872 | ||||||
50,000 | CP Atlas Buyer, Inc., 7.000%, 12/01/2028, 144A | 50,125 | ||||||
315,000 | Foundation Building Materials, Inc., 6.000%, 3/01/2029, 144A | 308,700 | ||||||
170,000 | LBM Acquisition LLC, 6.250%, 1/15/2029, 144A | 169,915 | ||||||
195,000 | Park River Holdings, Inc., 5.625%, 2/01/2029, 144A | 188,906 | ||||||
125,000 | Park River Holdings, Inc., 6.750%, 8/01/2029, 144A | 125,313 | ||||||
125,000 | Patrick Industries, Inc., 4.750%, 5/01/2029, 144A | 127,500 | ||||||
45,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A | 47,250 | ||||||
165,000 | Victors Merger Corp., 6.375%, 5/15/2029, 144A | 157,988 | ||||||
30,000 | White Cap Buyer LLC, 6.875%, 10/15/2028, 144A | 31,650 | ||||||
|
| |||||||
2,418,714 | ||||||||
|
| |||||||
Cable Satellite – 6.0% |
| |||||||
210,000 | Altice Financing S.A., 5.000%, 1/15/2028, 144A | 202,487 | ||||||
80,000 | Block Communications, Inc., 4.875%, 3/01/2028, 144A | 81,800 | ||||||
600,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | 610,296 | ||||||
610,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A | 604,281 | ||||||
1,005,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A | 1,050,702 | ||||||
205,000 | Connect Finco S.a.r.l./Connect U.S. Finco LLC, 6.750%, 10/01/2026, 144A | 214,481 | ||||||
435,000 | CSC Holdings LLC, 4.500%, 11/15/2031, 144A | 429,563 | ||||||
555,000 | CSC Holdings LLC, 4.625%, 12/01/2030 | 526,126 | ||||||
420,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 398,150 | ||||||
400,000 | DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.875%, 8/15/2027, 144A | 417,500 | ||||||
150,000 |
| DISH DBS Corp., 7.375%, 7/01/2028 | 159,071 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Cable Satellite – continued |
| |||||||
$ 675,000 | DISH DBS Corp., 7.750%, 7/01/2026 | $ | 762,227 | |||||
254,021 | Ligado Networks LLC, 15.500% PIK, 11/01/2023, 144A(c) | 246,431 | ||||||
76,397 | Ligado Networks LLC, 17.500% PIK, 5/01/2024, 144A(c) | 57,961 | ||||||
185,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028, 144A | 188,637 | ||||||
125,000 | Telesat Canada/Telesat LLC, 5.625%, 12/06/2026, 144A | 120,000 | ||||||
310,000 | UPC Broadband Finco B.V., 4.875%, 7/15/2031, 144A | 317,397 | ||||||
110,000 | ViaSat, Inc., 6.500%, 7/15/2028, 144A | 115,854 | ||||||
225,000 | Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A | 230,732 | ||||||
200,000 | Ziggo BV, 4.875%, 1/15/2030, 144A | 206,090 | ||||||
296,000 | Ziggo BV, 5.500%, 1/15/2027, 144A | 305,990 | ||||||
|
| |||||||
7,245,776 | ||||||||
|
| |||||||
Chemicals – 1.6% |
| |||||||
55,000 | Chemours Co. (The), 5.375%, 5/15/2027 | 59,309 | ||||||
150,000 | Consolidated Energy Finance S.A., 5.625%, 10/15/2028, 144A | 150,000 | ||||||
150,000 | Consolidated Energy Finance S.A., 6.500%, 5/15/2026, 144A | 155,250 | ||||||
70,000 | CVR Partners LP/CVR Nitrogen Finance Corp., 6.125%, 6/15/2028, 144A | 73,413 | ||||||
75,000 | Diamond BC BV, 4.625%, 10/01/2029, 144A | 76,127 | ||||||
330,000 | Hercules LLC, 6.500%, 6/30/2029 | 374,896 | ||||||
200,000 | Herens Holdco S.a.r.l., 4.750%, 5/15/2028, 144A | 201,000 | ||||||
140,000 | Hexion, Inc., 7.875%, 7/15/2027, 144A | 149,450 | ||||||
80,000 | Methanex Corp., 5.125%, 10/15/2027 | 86,500 | ||||||
20,000 | Methanex Corp., 5.250%, 12/15/2029 | 21,650 | ||||||
185,000 | Olin Corp., 5.000%, 2/01/2030 | 195,637 | ||||||
65,000 | Olin Corp., 5.125%, 9/15/2027 | 67,519 | ||||||
5,000 | Olin Corp., 5.625%, 8/01/2029 | 5,497 | ||||||
220,000 |
| Olympus Water U.S. Holding Corp., 4.250%, 10/01/2028, 144A | 216,804 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Chemicals – continued |
| |||||||
$ 150,000 | Unifrax Escrow Issuer Corp., 5.250%, 9/30/2028, 144A | $ | 151,875 | |||||
|
| |||||||
1,984,927 | ||||||||
|
| |||||||
Construction Machinery – 0.1% |
| |||||||
125,000 | Titan International, Inc., 7.000%, 4/30/2028, 144A | 131,719 | ||||||
|
| |||||||
Consumer Cyclical Services – 2.0% |
| |||||||
485,000 | ADT Security Corp. (The), 4.125%, 8/01/2029, 144A | 482,037 | ||||||
95,000 | ANGI Group LLC, 3.875%, 8/15/2028, 144A | 94,525 | ||||||
35,000 | Arches Buyer, Inc., 6.125%, 12/01/2028, 144A | 35,671 | ||||||
330,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.750%, 1/15/2029, 144A | 342,296 | ||||||
185,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 7.625%, 6/15/2025, 144A | 197,571 | ||||||
80,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 9.375%, 4/01/2027, 144A | 87,900 | ||||||
240,000 | Terminix Co. LLC (The), 7.450%, 8/15/2027 | 291,000 | ||||||
60,000 | TKC Holdings, Inc., 10.500%, 5/15/2029, 144A | 65,775 | ||||||
760,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 815,092 | ||||||
|
| |||||||
2,411,867 | ||||||||
|
| |||||||
Consumer Products – 0.4% |
| |||||||
160,000 | Energizer Holdings, Inc., 4.375%, 3/31/2029, 144A | 158,791 | ||||||
175,000 | Prestige Brands, Inc., 5.125%, 1/15/2028, 144A | 182,521 | ||||||
135,000 | Tempur Sealy International, Inc., 3.875%, 10/15/2031, 144A | 135,169 | ||||||
|
| |||||||
476,481 | ||||||||
|
| |||||||
Diversified Manufacturing – 0.4% |
| |||||||
120,000 | Madison IAQ LLC, 5.875%, 6/30/2029, 144A | 120,900 | ||||||
120,000 | Resideo Funding, Inc., 4.000%, 9/01/2029, 144A | 117,188 | ||||||
200,000 | TK Elevator U.S. Newco, Inc., 5.250%, 7/15/2027, 144A | 209,595 | ||||||
|
| |||||||
447,683 | ||||||||
|
| |||||||
Electric – 0.7% |
| |||||||
510,000 | Calpine Corp., 5.125%, 3/15/2028, 144A | 516,494 | ||||||
140,000 |
| PG&E Corp., 5.000%, 7/01/2028 | 142,625 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Electric – continued |
| |||||||
$ 25,000 | PG&E Corp., 5.250%, 7/01/2030 | $ | 25,594 | |||||
195,000 | Talen Energy Supply LLC, 7.625%, 6/01/2028, 144A | 182,813 | ||||||
|
| |||||||
867,526 | ||||||||
|
| |||||||
Environmental – 0.1% |
| |||||||
175,000 | GFL Environmental, Inc., 4.000%, 8/01/2028, 144A | 173,687 | ||||||
|
| |||||||
Finance Companies – 3.6% |
| |||||||
365,000 | Cobra AcquisitionCo LLC, 6.375%, 11/01/2029, 144A | 365,000 | ||||||
105,000 | Fortress Transportation & Infrastructure Investors LLC, 5.500%, 5/01/2028, 144A | 105,706 | ||||||
265,000 | Freedom Mortgage Corp., 7.625%, 5/01/2026, 144A | 269,985 | ||||||
150,000 | Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024, 144A(d) | 147,375 | ||||||
115,000 | LFS Topco LLC, 5.875%, 10/15/2026, 144A | 118,450 | ||||||
385,000 | Midcap Financial Issuer Trust, 6.500%, 5/01/2028, 144A | 402,159 | ||||||
655,000 | Navient Corp., 4.875%, 3/15/2028 | 660,325 | ||||||
170,000 | Navient Corp., 5.000%, 3/15/2027 | 175,100 | ||||||
95,000 | Navient Corp., 6.750%, 6/25/2025 | 103,788 | ||||||
170,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A | 172,975 | ||||||
150,000 | Rocket Mortgage LLC, 5.250%, 1/15/2028, 144A | 161,625 | ||||||
390,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 381,108 | ||||||
380,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 384,275 | ||||||
620,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 625,425 | ||||||
260,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 258,050 | ||||||
|
| |||||||
4,331,346 | ||||||||
|
| |||||||
Financial Other – 2.5% |
| |||||||
210,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 197,692 | ||||||
200,000 | China Evergrande Group, 8.750%, 6/28/2025 | 48,048 | ||||||
200,000 | Easy Tactic Ltd., 8.125%, 2/27/2023 | 145,386 | ||||||
200,000 |
| Greenland Global Investment Ltd., 5.875%, 7/03/2024 | 127,722 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Financial Other – continued |
| |||||||
$ 105,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | $ | 104,869 | |||||
1,130,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 1,172,375 | ||||||
200,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026 | 152,562 | ||||||
200,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025 | 152,535 | ||||||
225,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030, 144A | 225,497 | ||||||
120,000 | Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027, 144A | 125,616 | ||||||
200,000 | Sunac China Holdings Ltd., 6.650%, 8/03/2024 | 160,000 | ||||||
200,000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 180,655 | ||||||
400,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027 | 259,032 | ||||||
|
| |||||||
3,051,989 | ||||||||
|
| |||||||
Food & Beverage – 1.6% |
| |||||||
65,000 | Aramark Services, Inc., 5.000%, 2/01/2028, 144A | 66,788 | ||||||
324,000 | Kraft Heinz Foods Co., 3.000%, 6/01/2026 | 341,283 | ||||||
325,000 | MARB BondCo. PLC, 3.950%, 1/29/2031, 144A | 310,463 | ||||||
140,000 | Performance Food Group, Inc., 4.250%, 8/01/2029, 144A | 140,350 | ||||||
120,000 | Performance Food Group, Inc., 5.500%, 10/15/2027, 144A | 125,640 | ||||||
270,000 | Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A | 287,077 | ||||||
110,000 | Post Holdings, Inc., 5.500%, 12/15/2029, 144A | 116,600 | ||||||
140,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029, 144A | 141,050 | ||||||
120,000 | TreeHouse Foods, Inc., 4.000%, 9/01/2028 | 117,440 | ||||||
140,000 | Triton Water Holdings, Inc., 6.250%, 4/01/2029, 144A | 142,275 | ||||||
205,000 | US Foods, Inc., 4.750%, 2/15/2029, 144A | 210,381 | ||||||
|
| |||||||
1,999,347 | ||||||||
|
| |||||||
Gaming – 3.6% |
| |||||||
375,000 | Boyd Gaming Corp., 4.750%, 12/01/2027 | 386,509 | ||||||
165,000 |
| Boyd Gaming Corp., 4.750%, 6/15/2031, 144A | 170,156 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Gaming – continued |
| |||||||
$ 180,000 | Caesars Entertainment, Inc., 4.625%, 10/15/2029, 144A | $ | 182,250 | |||||
220,000 | Caesars Entertainment, Inc., 6.250%, 7/01/2025, 144A | 231,607 | ||||||
190,000 | Caesars Entertainment, Inc., 8.125%, 7/01/2027, 144A | 213,603 | ||||||
100,000 | Caesars Resort Collection LLC/CRC Finco, Inc., 5.750%, 7/01/2025, 144A | 105,423 | ||||||
220,000 | International Game Technology PLC, 5.250%, 1/15/2029, 144A | 235,129 | ||||||
200,000 | MGM China Holdings Ltd., 4.750%, 2/01/2027, 144A | 196,750 | ||||||
205,000 | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.500%, 1/15/2028 | 223,962 | ||||||
255,000 | MGM Resorts International, 5.500%, 4/15/2027 | 276,675 | ||||||
110,000 | Mohegan Gaming & Entertainment, 8.000%, 2/01/2026, 144A | 114,521 | ||||||
410,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 442,287 | ||||||
330,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 370,800 | ||||||
200,000 | Studio City Finance Ltd., 5.000%, 1/15/2029, 144A | 184,406 | ||||||
230,000 | Studio City Finance Ltd., 6.500%, 1/15/2028, 144A | 225,582 | ||||||
370,000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.500%, 3/01/2025, 144A | 377,400 | ||||||
250,000 | Wynn Macau Ltd., 5.125%, 12/15/2029, 144A | 235,000 | ||||||
165,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A | 166,238 | ||||||
|
| |||||||
4,338,298 | ||||||||
|
| |||||||
Government Owned - No Guarantee – 0.4% |
| |||||||
340,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 329,596 | ||||||
280,000 | YPF S.A., 6.950%, 7/21/2027, 144A | 206,500 | ||||||
|
| |||||||
536,096 | ||||||||
|
| |||||||
Healthcare – 4.5% |
| |||||||
100,000 | AdaptHealth LLC, 5.125%, 3/01/2030, 144A | 100,050 | ||||||
110,000 | AHP Health Partners, Inc., 5.750%, 7/15/2029, 144A | 111,100 | ||||||
435,000 | CHS/Community Health Systems, Inc., 5.625%, 3/15/2027, 144A | 455,502 | ||||||
270,000 | CHS/Community Health Systems, Inc., 6.125%, 4/01/2030, 144A | 262,366 | ||||||
195,000 |
| CHS/Community Health Systems, Inc., 6.875%, 4/15/2029, 144A | 195,458 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Healthcare – continued |
| |||||||
$ 235,000 | CHS/Community Health Systems, Inc., 8.000%, 3/15/2026, 144A | $ | 249,212 | |||||
240,000 | DaVita, Inc., 3.750%, 2/15/2031, 144A | 233,700 | ||||||
155,000 | Encompass Health Corp., 4.500%, 2/01/2028 | 160,038 | ||||||
300,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 315,525 | ||||||
200,000 | Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A | 204,250 | ||||||
160,000 | HCA, Inc., 7.050%, 12/01/2027 | 199,000 | ||||||
145,000 | HCA, Inc., 7.500%, 11/06/2033 | 207,350 | ||||||
115,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 162,150 | ||||||
270,000 | LifePoint Health, Inc., 5.375%, 1/15/2029, 144A | 262,575 | ||||||
75,000 | ModivCare Escrow Issuer, Inc., 5.000%, 10/01/2029, 144A | 77,741 | ||||||
40,000 | ModivCare, Inc., 5.875%, 11/15/2025, 144A | 42,300 | ||||||
210,000 | Mozart Debt Merger Sub, Inc., 5.250%, 10/01/2029, 144A | 210,000 | ||||||
230,000 | MPH Acquisition Holdings LLC, 5.750%, 11/01/2028, 144A | 216,655 | ||||||
75,000 | RP Escrow Issuer LLC, 5.250%, 12/15/2025, 144A | 77,156 | ||||||
75,000 | Select Medical Corp., 6.250%, 8/15/2026, 144A | 78,870 | ||||||
100,000 | Surgery Center Holdings, Inc., 6.750%, 7/01/2025, 144A | 101,750 | ||||||
100,000 | Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A | 103,616 | ||||||
920,000 | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A | 966,437 | ||||||
355,000 | Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A | 368,312 | ||||||
95,000 | U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026, 144A | 100,225 | ||||||
|
| |||||||
5,461,338 | ||||||||
|
| |||||||
Home Construction – 0.9% |
| |||||||
215,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030, 144A | 219,312 | ||||||
75,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 6.250%, 9/15/2027, 144A | 78,845 | ||||||
1,200,000 | Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(e)(f)(g) | — | ||||||
100,000 |
| Empire Communities Corp., 7.000%, 12/15/2025, 144A | 104,500 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Home Construction – continued |
| |||||||
$ 220,000 | Fantasia Holdings Group Co. Ltd., 11.875%, 6/01/2023(h) | $ | 70,308 | |||||
40,000 | Forestar Group, Inc., 3.850%, 5/15/2026, 144A | 39,950 | ||||||
230,000 | KB Home, 4.800%, 11/15/2029 | 250,700 | ||||||
165,000 | Mattamy Group Corp., 4.625%, 3/01/2030, 144A | 168,808 | ||||||
185,000 | Taylor Morrison Communities, Inc., 5.750%, 1/15/2028, 144A | 206,090 | ||||||
|
| |||||||
1,138,513 | ||||||||
|
| |||||||
Independent Energy – 6.7% |
| |||||||
100,000 | Antero Resources Corp., 7.625%, 2/01/2029, 144A | 111,800 | ||||||
190,000 | Apache Corp., 4.250%, 1/15/2030 | 204,729 | ||||||
25,000 | Apache Corp., 4.750%, 4/15/2043 | 27,068 | ||||||
190,000 | Apache Corp., 5.350%, 7/01/2049 | 211,033 | ||||||
130,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.875%, 6/30/2029, 144A | 132,824 | ||||||
115,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026, 144A | 118,879 | ||||||
155,000 | Baytex Energy Corp., 8.750%, 4/01/2027, 144A | 160,037 | ||||||
45,000 | California Resources Corp., 7.125%, 2/01/2026, 144A | 47,489 | ||||||
265,000 | Callon Petroleum Co., 8.000%, 8/01/2028, 144A | 261,687 | ||||||
115,000 | Centennial Resource Production LLC, 6.875%, 4/01/2027, 144A | 117,155 | ||||||
45,000 | Chesapeake Energy Corp., 5.500%, 2/01/2026, 144A | 47,025 | ||||||
105,000 | Comstock Resources, Inc., 6.750%, 3/01/2029, 144A | 113,400 | ||||||
30,000 | Continental Resources, Inc., 4.375%, 1/15/2028 | 33,188 | ||||||
160,000 | Continental Resources, Inc., 4.900%, 6/01/2044 | 179,200 | ||||||
50,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 60,438 | ||||||
30,000 | Endeavor Energy Resources LP/EER Finance, Inc., 5.500%, 1/30/2026, 144A | 31,272 | ||||||
50,000 | Endeavor Energy Resources LP/EER Finance, Inc., 6.625%, 7/15/2025, 144A | 52,688 | ||||||
165,000 | Energean Israel Finance Ltd., 4.875%, 3/30/2026, 144A | 169,211 | ||||||
85,000 |
| Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 86,990 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Independent Energy – continued |
| |||||||
$ 85,000 | Energy Ventures GoM LLC/EnVen Finance Corp., 11.750%, 4/15/2026, 144A | $ | 87,550 | |||||
20,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 20,502 | ||||||
40,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 41,680 | ||||||
5,000 | EQT Corp., 5.000%, 1/15/2029 | 5,630 | ||||||
55,000 | EQT Corp., 6.625%, 2/01/2025 | 62,950 | ||||||
225,000 | EQT Corp., 7.500%, 2/01/2030 | 289,620 | ||||||
150,000 | Independence Energy Finance LLC, 7.250%, 5/01/2026, 144A | 154,456 | ||||||
60,000 | Laredo Petroleum, Inc., 7.750%, 7/31/2029, 144A | 60,150 | ||||||
85,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 92,296 | ||||||
115,000 | Matador Resources Co., 5.875%, 9/15/2026 | 118,876 | ||||||
125,000 | MEG Energy Corp., 5.875%, 2/01/2029, 144A | 127,812 | ||||||
130,000 | MEG Energy Corp., 7.125%, 2/01/2027, 144A | 136,475 | ||||||
130,000 | Murphy Oil Corp., 6.375%, 12/01/2042 | 130,992 | ||||||
130,000 | Northern Oil & Gas, Inc., 8.125%, 3/01/2028, 144A | 138,872 | ||||||
65,000 | Oasis Petroleum, Inc., 6.375%, 6/01/2026, 144A | 68,088 | ||||||
40,000 | Occidental Petroleum Corp., 3.000%, 2/15/2027 | 39,969 | ||||||
155,000 | Occidental Petroleum Corp., 3.500%, 8/15/2029 | 157,654 | ||||||
300,000 | Occidental Petroleum Corp., 4.100%, 2/15/2047 | 285,270 | ||||||
210,000 | Occidental Petroleum Corp., 4.200%, 3/15/2048 | 201,075 | ||||||
50,000 | Occidental Petroleum Corp., 4.400%, 4/15/2046 | 49,868 | ||||||
145,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 160,950 | ||||||
225,000 | Occidental Petroleum Corp., 5.875%, 9/01/2025 | 252,169 | ||||||
340,000 | Occidental Petroleum Corp., 6.600%, 3/15/2046 | 426,702 | ||||||
85,000 | Occidental Petroleum Corp., 7.500%, 5/01/2031 | 110,521 | ||||||
40,000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 | 53,331 | ||||||
110,000 |
| Occidental Petroleum Corp., 8.500%, 7/15/2027 | 137,767 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Independent Energy – continued |
| |||||||
$ 215,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 | $ | 292,062 | |||||
220,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 296,709 | ||||||
10,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 13,756 | ||||||
90,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 123,430 | ||||||
95,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 127,484 | ||||||
45,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 61,040 | ||||||
35,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 48,152 | ||||||
120,000 | Penn Virginia Escrow LLC, 9.250%, 8/15/2026, 144A | 121,680 | ||||||
38,000 | Range Resources Corp., 5.000%, 3/15/2023 | 39,425 | ||||||
85,000 | Range Resources Corp., 8.250%, 1/15/2029, 144A | 95,629 | ||||||
135,000 | Range Resources Corp., 9.250%, 2/01/2026 | 147,157 | ||||||
110,000 | SM Energy Co., 5.625%, 6/01/2025 | 110,630 | ||||||
205,000 | SM Energy Co., 6.500%, 7/15/2028 | 212,241 | ||||||
105,000 | SM Energy Co., 6.750%, 9/15/2026 | 107,235 | ||||||
205,000 | Southwestern Energy Co., 5.375%, 2/01/2029, 144A | 219,311 | ||||||
140,000 | Southwestern Energy Co., 5.375%, 3/15/2030 | 151,091 | ||||||
20,000 | Southwestern Energy Co., 7.750%, 10/01/2027 | 21,606 | ||||||
115,000 | Strathcona Resources Ltd., 6.875%, 8/01/2026, 144A | 113,923 | ||||||
95,000 | Tap Rock Resources LLC, 7.000%, 10/01/2026, 144A | 97,256 | ||||||
120,000 | Vine Energy Holdings LLC, 6.750%, 4/15/2029, 144A | 129,526 | ||||||
|
| |||||||
8,106,681 | ||||||||
|
| |||||||
Industrial Other – 0.3% |
| |||||||
125,000 | Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026, 144A | 130,312 | ||||||
65,000 | Hillenbrand, Inc., 5.750%, 6/15/2025 | 68,575 | ||||||
130,000 | Installed Building Products, Inc., 5.750%, 2/01/2028, 144A | 136,175 | ||||||
|
| |||||||
| 335,062 | |||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Leisure – 3.3% |
| |||||||
$ 65,000 | AMC Entertainment Holdings, Inc., 10.500%, 4/15/2025, 144A | $ | 69,550 | |||||
80,000 | Boyne USA, Inc., 4.750%, 5/15/2029, 144A | 82,600 | ||||||
650,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | 671,937 | ||||||
145,000 | Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium OP, 6.500%, 10/01/2028 | 155,565 | ||||||
125,000 | Cinemark USA, Inc., 5.250%, 7/15/2028, 144A | 123,125 | ||||||
110,000 | Live Nation Entertainment, Inc., 3.750%, 1/15/2028, 144A | 109,347 | ||||||
220,000 | Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A | 223,572 | ||||||
505,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 517,625 | ||||||
10,000 | NCL Corp. Ltd., 5.875%, 3/15/2026 | 10,250 | ||||||
70,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 72,625 | ||||||
125,000 | Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028 | 119,689 | ||||||
325,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A | 318,354 | ||||||
690,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 705,738 | ||||||
120,000 | SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029, 144A | 122,775 | ||||||
180,000 | Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A | 183,600 | ||||||
115,000 | Viking Cruises Ltd., 5.875%, 9/15/2027, 144A | 111,262 | ||||||
255,000 | Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029, 144A | 255,000 | ||||||
110,000 | VOC Escrow Ltd., 5.000%, 2/15/2028, 144A | 108,537 | ||||||
|
| |||||||
3,961,151 | ||||||||
|
| |||||||
Lodging – 1.1% |
| |||||||
150,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A | 150,563 | ||||||
415,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 423,300 | ||||||
100,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 101,250 | ||||||
605,000 | Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028 | 617,100 | ||||||
20,000 |
| Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 20,550 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Lodging – continued |
| |||||||
$ 15,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | $ | 16,623 | |||||
|
| |||||||
1,329,386 | ||||||||
|
| |||||||
Media Entertainment – 4.2% |
| |||||||
305,000 | AMC Networks, Inc., 4.250%, 2/15/2029 | 303,475 | ||||||
290,000 | Audacy Capital Corp., 6.750%, 3/31/2029, 144A | 292,372 | ||||||
60,000 | Clear Channel Outdoor Holdings, Inc., 7.500%, 6/01/2029, 144A | 62,400 | ||||||
210,000 | Clear Channel Outdoor Holdings, Inc., 7.750%, 4/15/2028, 144A | 221,025 | ||||||
130,000 | Deluxe Corp., 8.000%, 6/01/2029, 144A | 135,850 | ||||||
240,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A | 158,400 | ||||||
140,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027, 144A | 61,250 | ||||||
265,000 | Gray Television, Inc., 4.750%, 10/15/2030, 144A | 260,363 | ||||||
260,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 267,930 | ||||||
591,125 | iHeartCommunications, Inc., 8.375%, 5/01/2027 | 631,765 | ||||||
160,000 | Lamar Media Corp., 3.750%, 2/15/2028 | 164,573 | ||||||
55,000 | Lions Gate Capital Holdings LLC, 5.500%, 4/15/2029, 144A | 56,857 | ||||||
175,000 | Mav Acquisition Corp., 5.750%, 8/01/2028, 144A | 171,938 | ||||||
175,000 | Mav Acquisition Corp., 8.000%, 8/01/2029, 144A | 167,174 | ||||||
120,000 | Midas OpCo Holdings LLC, 5.625%, 8/15/2029, 144A | 124,267 | ||||||
745,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 877,237 | ||||||
5,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 6,056 | ||||||
45,000 | Netflix, Inc., 5.875%, 11/15/2028 | 55,143 | ||||||
60,000 | Netflix, Inc., 6.375%, 5/15/2029 | 75,900 | ||||||
105,000 | Nexstar Media, Inc., 5.625%, 7/15/2027, 144A | 111,087 | ||||||
120,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A | 120,254 | ||||||
35,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 6.250%, 6/15/2025, 144A | 36,969 | ||||||
65,000 |
| Playtika Holding Corp., 4.250%, 3/15/2029, 144A | 65,207 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Media Entertainment – continued |
| |||||||
$ 120,000 | Scripps Escrow II, Inc., 5.375%, 1/15/2031, 144A | $ | 117,978 | |||||
185,000 | Sinclair Television Group, Inc., 5.125%, 2/15/2027, 144A | 183,613 | ||||||
170,000 | Terrier Media Buyer, Inc., 8.875%, 12/15/2027, 144A | 179,755 | ||||||
45,000 | Townsquare Media, Inc., 6.875%, 2/01/2026, 144A | 47,208 | ||||||
100,000 | Univision Communications, Inc., 6.625%, 6/01/2027, 144A | 108,625 | ||||||
|
| |||||||
5,064,671 | ||||||||
|
| |||||||
Metals & Mining – 3.8% |
| |||||||
405,000 | ABJA Investment Co. Pte Ltd., 5.450%, 1/24/2028 | 441,409 | ||||||
120,000 | Allegheny Technologies, Inc., 4.875%, 10/01/2029 | 120,450 | ||||||
125,000 | Allegheny Technologies, Inc., 5.125%, 10/01/2031 | 125,963 | ||||||
60,000 | Allegheny Technologies, Inc., 5.875%, 12/01/2027 | 63,450 | ||||||
25,000 | Carpenter Technology Corp., 6.375%, 7/15/2028 | 26,892 | ||||||
200,000 | Cia de Minas Buenaventura SAA, 5.500%, 7/23/2026, 144A | 197,710 | ||||||
220,000 | Cleveland-Cliffs, Inc., 4.625%, 3/01/2029, 144A | 224,675 | ||||||
180,000 | Cleveland-Cliffs, Inc., 4.875%, 3/01/2031, 144A | 185,850 | ||||||
139,000 | Cleveland-Cliffs, Inc., 9.875%, 10/17/2025, 144A | 159,502 | ||||||
120,000 | Eldorado Gold Corp., 6.250%, 9/01/2029, 144A | 118,937 | ||||||
845,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 878,800 | ||||||
455,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 481,162 | ||||||
210,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 215,424 | ||||||
340,000 | Freeport-McMoRan, Inc., 4.250%, 3/01/2030 | 359,975 | ||||||
20,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 24,025 | ||||||
60,000 | GrafTech Finance, Inc., 4.625%, 12/15/2028, 144A | 61,575 | ||||||
285,000 | Mineral Resources Ltd., 8.125%, 5/01/2027, 144A | 309,550 | ||||||
320,000 | Novelis Corp., 4.750%, 1/30/2030, 144A | 336,864 | ||||||
50,000 |
| SunCoke Energy, Inc., 4.875%, 6/30/2029, 144A | 49,813 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Metals & Mining – continued |
| |||||||
$ 48,000 | United States Steel Corp., 6.250%, 3/15/2026 | $ | 49,500 | |||||
100,000 | United States Steel Corp., 6.875%, 3/01/2029 | 106,622 | ||||||
40,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 38,940 | ||||||
|
| |||||||
4,577,088 | ||||||||
|
| |||||||
Midstream – 4.9% |
| |||||||
250,000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.625%, 12/15/2025, 144A | 270,312 | ||||||
185,000 | Buckeye Partners LP, 4.500%, 3/01/2028, 144A | 187,775 | ||||||
80,000 | Buckeye Partners LP, 5.600%, 10/15/2044 | 77,800 | ||||||
55,000 | Buckeye Partners LP, 5.850%, 11/15/2043 | 55,050 | ||||||
510,000 | CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.500%, 6/15/2031, 144A | 542,410 | ||||||
115,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.000%, 2/01/2029, 144A | 120,335 | ||||||
40,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 45,010 | ||||||
230,000 | DCP Midstream Operating LP, 5.625%, 7/15/2027 | 261,791 | ||||||
280,000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044 | 267,400 | ||||||
110,000 | EQM Midstream Partners LP, 6.000%, 7/01/2025, 144A | 120,582 | ||||||
200,000 | EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A | 224,950 | ||||||
180,000 | EQM Midstream Partners LP, 6.500%, 7/15/2048 | 204,750 | ||||||
160,000 | EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028 | 175,779 | ||||||
115,000 | Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026, 144A | 112,400 | ||||||
225,000 | Genesis Energy LP/Genesis Energy Finance Corp., 7.750%, 2/01/2028 | 224,789 | ||||||
120,000 | Harvest Midstream I LP, 7.500%, 9/01/2028, 144A | 127,818 | ||||||
150,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A | 151,688 | ||||||
665,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A | 689,937 | ||||||
220,000 | New Fortress Energy, Inc., 6.500%, 9/30/2026, 144A | 210,375 | ||||||
355,000 | New Fortress Energy, Inc., 6.750%, 9/15/2025, 144A | 341,687 | ||||||
105,000 |
| NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025 | 92,682 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Midstream – continued |
| |||||||
$ 145,000 | NuStar Logistics LP, 5.750%, 10/01/2025 | $ | 156,238 | |||||
125,000 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031, 144A | 129,688 | ||||||
130,000 | Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029 | 131,855 | ||||||
5,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.500%, 1/15/2028, 144A | 5,119 | ||||||
110,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.000%, 3/01/2027, 144A | 115,126 | ||||||
255,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | 278,827 | ||||||
155,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 167,206 | ||||||
200,000 | Western Midstream Operating LP, 5.300%, 2/01/2030 | 221,000 | ||||||
110,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 126,350 | ||||||
105,000 | Western Midstream Operating LP, 6.500%, 2/01/2050 | 123,562 | ||||||
|
| |||||||
5,960,291 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 2.0% |
| |||||||
98,817 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1-month LIBOR + 3.500%, 3.584%, 11/15/2031, 144A(a)(i)(j) | 85,150 | ||||||
222,337 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1-month LIBOR + 4.500%, 4.584%, 11/15/2031, 144A(a)(i)(j) | 188,031 | ||||||
260,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 5.109%, 5/10/2047, 144A(b) | 242,142 | ||||||
100,000 | Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A | 99,088 | ||||||
1,020,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A | 916,907 | ||||||
45,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.303%, 8/10/2044, 144A(b) | 38,363 | ||||||
100,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(b) | 92,888 | ||||||
250,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class D, 4.828%, 10/15/2045, 144A(b) | 246,517 | ||||||
100,000 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.425%, 10/15/2030, 144A(b) | 83,483 | ||||||
380,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.584%, 11/15/2027, 144A(a)(f)(g)(i) | 96,395 | ||||||
420,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.484%, 11/15/2027, 144A(a)(f)(g)(i) | 37,455 | ||||||
60,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.317%, 11/15/2059(b) | 50,900 | ||||||
145,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class C, 4.458%, 8/15/2050 | 88,450 | ||||||
121,836 |
| WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.513%, 3/15/2044, 144A(b) | 59,359 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||
$ 80,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.495%, 12/15/2045(b) | $ | 69,892 | |||||
125,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.957%, 6/15/2045, 144A(b)(i)(j) | 37,500 | ||||||
|
| |||||||
2,432,520 | ||||||||
|
| |||||||
Oil Field Services – 0.9% |
| |||||||
55,000 | Nabors Industries Ltd., 7.250%, 1/15/2026, 144A | 53,493 | ||||||
61,000 | Nabors Industries, Inc., 9.000%, 2/01/2025, 144A | 63,050 | ||||||
90,000 | Precision Drilling Corp., 6.875%, 1/15/2029, 144A | 94,000 | ||||||
10,000 | Precision Drilling Corp., 7.125%, 1/15/2026, 144A | 10,275 | ||||||
55,000 | Solaris Midstream Holdings LLC, 7.625%, 4/01/2026, 144A | 58,941 | ||||||
160,800 | Transocean Pontus Ltd., 6.125%, 8/01/2025, 144A | 160,800 | ||||||
225,000 | Transocean Poseidon Ltd., 6.875%, 2/01/2027, 144A | 223,859 | ||||||
52,250 | Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A | 52,250 | ||||||
140,000 | Transocean, Inc., 8.000%, 2/01/2027, 144A | 110,156 | ||||||
60,000 | Transocean, Inc., 11.500%, 1/30/2027, 144A | 61,800 | ||||||
149,000 | Weatherford International Ltd., 11.000%, 12/01/2024, 144A | 156,915 | ||||||
|
| |||||||
1,045,539 | ||||||||
|
| |||||||
Packaging – 1.3% |
| |||||||
570,000 | ARD Finance S.A., 7.250% PIK or 6.500% Cash, 6/30/2027, 144A(d) | 605,540 | ||||||
500,000 | Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.250%, 8/15/2027, 144A | 509,003 | ||||||
75,000 | Graham Packaging Co., Inc., 7.125%, 8/15/2028, 144A | 79,629 | ||||||
80,000 | Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.000%, 9/15/2028, 144A | 83,860 | ||||||
290,000 | Mauser Packaging Solutions Holding Co., 7.250%, 4/15/2025, 144A | 288,232 | ||||||
|
| |||||||
1,566,264 | ||||||||
|
| |||||||
Pharmaceuticals – 3.9% |
| |||||||
725,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 676,062 | ||||||
585,000 | Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A | 537,972 | ||||||
200,000 |
| Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028, 144A | 207,178 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Pharmaceuticals – continued |
| |||||||
$ 175,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A | $ | 125,125 | |||||
70,000 | Endo Luxembourg Finance Co. I. S.a.r.l/Endo U.S., Inc., 6.125%, 4/01/2029, 144A | 70,000 | ||||||
50,000 | HCRX Investments Holdco LP, 4.500%, 8/01/2029, 144A | 50,250 | ||||||
200,000 | Jazz Securities DAC, 4.375%, 1/15/2029, 144A | 207,260 | ||||||
335,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.125%, 4/30/2031, 144A | 351,867 | ||||||
107,000 | Par Pharmaceutical, Inc., 7.500%, 4/01/2027, 144A | 109,006 | ||||||
325,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 355,271 | ||||||
285,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 272,888 | ||||||
1,980,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 1,707,750 | ||||||
|
| |||||||
4,670,629 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.7% |
| |||||||
180,000 | Acrisure LLC/Acrisure Finance, Inc., 6.000%, 8/01/2029, 144A | 177,716 | ||||||
190,000 | AmWINS Group, Inc., 4.875%, 6/30/2029, 144A | 192,669 | ||||||
226,387 | Ardonagh Midco 2 PLC, 12.750% PIK or 11.500% Cash, 1/15/2027, 144A(k) | 247,328 | ||||||
105,000 | AssuredPartners, Inc., 5.625%, 1/15/2029, 144A | 105,651 | ||||||
125,000 | BroadStreet Partners, Inc., 5.875%, 4/15/2029, 144A | 124,531 | ||||||
|
| |||||||
847,895 | ||||||||
|
| |||||||
Refining – 0.5% |
| |||||||
55,000 | Calumet Specialty Products Partners LP/Calumet Finance Corp., 11.000%, 4/15/2025, 144A | 59,538 | ||||||
50,000 | CVR Energy, Inc., 5.250%, 2/15/2025, 144A | 49,500 | ||||||
395,000 | Parkland Corp., 5.875%, 7/15/2027, 144A | 418,700 | ||||||
65,000 | PBF Holding Co. LLC/PBF Finance Corp., 6.000%, 2/15/2028 | 41,481 | ||||||
80,000 | PBF Holding Co. LLC/PBF Finance Corp., 9.250%, 5/15/2025, 144A | 75,800 | ||||||
|
| |||||||
645,019 | ||||||||
|
| |||||||
REITs – Hotels – 0.3% |
| |||||||
240,000 | Service Properties Trust, 4.750%, 10/01/2026 | 237,600 | ||||||
135,000 | Service Properties Trust, 7.500%, 9/15/2025 | 151,570 | ||||||
|
| |||||||
| 389,170 | |||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
REITs - Mortgage – 0.3% |
| |||||||
$ 45,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A | $ | 44,550 | |||||
215,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A | 217,671 | ||||||
75,000 | Starwood Property Trust, Inc., 3.625%, 7/15/2026, 144A | 75,563 | ||||||
|
| |||||||
337,784 | ||||||||
|
| |||||||
Restaurants – 0.6% |
| |||||||
540,000 | 1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030, 144A | 534,600 | ||||||
100,000 | Bloomin’ Brands, Inc./OSI Restaurant Partners LLC, 5.125%, 4/15/2029, 144A | 104,036 | ||||||
90,000 | Papa John’s International, Inc., 3.875%, 9/15/2029, 144A | 89,550 | ||||||
|
| |||||||
728,186 | ||||||||
|
| |||||||
Retailers – 2.4% |
| |||||||
70,000 | Ambience Merger Sub, Inc., 4.875%, 7/15/2028, 144A | 70,000 | ||||||
130,000 | Ambience Merger Sub, Inc., 7.125%, 7/15/2029, 144A | 128,862 | ||||||
75,000 | Asbury Automotive Group, Inc., 4.500%, 3/01/2028 | 76,969 | ||||||
83,000 | Asbury Automotive Group, Inc., 4.750%, 3/01/2030 | 86,631 | ||||||
140,000 | Bath & Body Works, Inc., 5.250%, 2/01/2028 | 154,420 | ||||||
75,000 | Bath & Body Works, Inc., 6.625%, 10/01/2030, 144A | 85,125 | ||||||
105,000 | Bath & Body Works, Inc., 6.750%, 7/01/2036 | 130,200 | ||||||
55,000 | Bath & Body Works, Inc., 6.875%, 11/01/2035 | 69,025 | ||||||
90,000 | Carvana Co., 4.875%, 9/01/2029, 144A | 89,127 | ||||||
400,000 | Carvana Co., 5.500%, 4/15/2027, 144A | 408,280 | ||||||
105,000 | Carvana Co., 5.625%, 10/01/2025, 144A | 108,558 | ||||||
220,000 | Carvana Co., 5.875%, 10/01/2028, 144A | 227,306 | ||||||
35,000 | Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A | 35,613 | ||||||
50,000 | Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A | 51,375 | ||||||
90,000 | Lithia Motors, Inc., 4.375%, 1/15/2031, 144A | 96,075 | ||||||
85,000 | Michaels Cos., Inc. (The), 7.875%, 5/01/2029, 144A | 88,334 | ||||||
115,000 |
| NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026, 144A | 122,044 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Retailers – continued |
| |||||||
$ 250,000 | PetSmart, Inc./PetSmart Finance Corp., 4.750%, 2/15/2028, 144A | $ | 256,875 | |||||
250,000 | PetSmart, Inc./PetSmart Finance Corp., 7.750%, 2/15/2029, 144A | 272,812 | ||||||
10,000 | QVC, Inc., 4.450%, 2/15/2025 | 10,700 | ||||||
10,000 | QVC, Inc., 4.850%, 4/01/2024 | 10,800 | ||||||
115,000 | Rite Aid Corp., 7.500%, 7/01/2025, 144A | 114,974 | ||||||
180,000 | Victoria’s Secret & Co., 4.625%, 7/15/2029, 144A | 182,952 | ||||||
|
| |||||||
2,877,057 | ||||||||
|
| |||||||
Technology – 4.6% |
| |||||||
145,000 | Camelot Finance S.A., 4.500%, 11/01/2026, 144A | 150,619 | ||||||
215,000 | Clarivate Science Holdings Corp., 4.875%, 7/01/2029, 144A | 215,419 | ||||||
1,175,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 1,117,613 | ||||||
86,000 | CommScope Technologies LLC, 6.000%, 6/15/2025, 144A | 87,075 | ||||||
405,000 | CommScope, Inc., 7.125%, 7/01/2028, 144A | 413,290 | ||||||
235,000 | Elastic NV, 4.125%, 7/15/2029, 144A | 236,175 | ||||||
360,000 | Endure Digital, Inc., 6.000%, 2/15/2029, 144A | 342,000 | ||||||
60,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 61,481 | ||||||
465,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | 487,087 | ||||||
80,000 | J2 Global, Inc., 4.625%, 10/15/2030, 144A | 85,000 | ||||||
95,000 | LogMeIn, Inc., 5.500%, 9/01/2027, 144A | 96,663 | ||||||
60,000 | NCR Corp., 5.000%, 10/01/2028, 144A | 61,309 | ||||||
70,000 | NCR Corp., 5.250%, 10/01/2030, 144A | 73,397 | ||||||
190,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.625%, 10/01/2028, 144A | 197,125 | ||||||
180,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.875%, 10/01/2030, 144A | 189,391 | ||||||
175,000 | Pitney Bowes, Inc., 6.875%, 3/15/2027, 144A | 184,187 | ||||||
110,000 | Presidio Holdings, Inc., 4.875%, 2/01/2027, 144A | 113,575 | ||||||
110,000 |
| Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A | 118,388 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Technology – continued |
| |||||||
$ 90,000 | Rackspace Technology Global, Inc., 5.375%, 12/01/2028, 144A | $ | 88,425 | |||||
255,000 | Rocket Software, Inc., 6.500%, 2/15/2029, 144A | 252,450 | ||||||
65,000 | Sabre GLBL, Inc., 7.375%, 9/01/2025, 144A | 69,277 | ||||||
260,000 | Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A | 300,505 | ||||||
60,000 | Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.625%, 11/01/2026, 144A | 62,625 | ||||||
185,000 | Square, Inc., 2.750%, 6/01/2026, 144A | 187,525 | ||||||
105,000 | Veritas U.S., Inc./Veritas Bermuda Ltd., 7.500%, 9/01/2025, 144A | 109,200 | ||||||
105,000 | Xerox Holdings Corp., 5.000%, 8/15/2025, 144A | 110,329 | ||||||
105,000 | Xerox Holdings Corp., 5.500%, 8/15/2028, 144A | 108,703 | ||||||
|
| |||||||
5,518,833 | ||||||||
|
| |||||||
Transportation Services – 0.3% |
| |||||||
185,000 | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.750%, 7/15/2027, 144A | 192,863 | ||||||
115,000 | Seaspan Corp., 5.500%, 8/01/2029, 144A | 117,325 | ||||||
|
| |||||||
310,188 | ||||||||
|
| |||||||
Treasuries – 1.6% |
| |||||||
1,945,000 | U.S. Treasury Note, 0.125%, 12/15/2023 | 1,935,883 | ||||||
|
| |||||||
Wireless – 1.5% |
| |||||||
440,000 | Altice France S.A., 5.125%, 1/15/2029, 144A | 431,200 | ||||||
200,000 | Altice France S.A., 5.125%, 7/15/2029, 144A | 196,095 | ||||||
245,000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A | 257,250 | ||||||
305,000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A | 321,055 | ||||||
615,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 602,687 | ||||||
|
| |||||||
1,808,287 | ||||||||
|
| |||||||
Wirelines – 1.4% |
| |||||||
200,000 | Cablevision Lightpath LLC, 5.625%, 9/15/2028, 144A | 200,725 | ||||||
130,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 142,415 | ||||||
135,000 |
| Embarq Corp., 7.995%, 6/01/2036 | 144,773 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Wirelines – continued |
| |||||||
$ 25,000 | Lumen Technologies, Inc., 5.125%, 12/15/2026, 144A | $ | 25,938 | |||||
455,000 | Lumen Technologies, Inc., 5.375%, 6/15/2029, 144A | 464,264 | ||||||
225,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 | 261,832 | ||||||
120,000 | Telecom Italia Capital S.A., 7.200%, 7/18/2036 | 147,000 | ||||||
210,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028, 144A | 214,462 | ||||||
100,000 | Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.750%, 8/15/2028, 144A | 104,445 | ||||||
|
| |||||||
1,705,854 | ||||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $101,160,778) | 102,924,469 | |||||||
|
| |||||||
Convertible Bonds – 5.3% |
| |||||||
Airlines – 0.5% |
| |||||||
80,000 | JetBlue Airways Corp., 0.500%, 4/01/2026, 144A | 78,388 | ||||||
395,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 590,031 | ||||||
|
| |||||||
668,419 | ||||||||
|
| |||||||
Cable Satellite – 1.8% |
| |||||||
2,080,000 | DISH Network Corp., 3.375%, 8/15/2026 | 2,162,160 | ||||||
|
| |||||||
Consumer Cyclical Services – 0.3% |
| |||||||
70,000 | Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(l) | 75,576 | ||||||
120,000 | Peloton Interactive, Inc., Zero Coupon, 0.000%-1.735%, 2/15/2026, 144A(m) | 105,634 | ||||||
150,000 | Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(l) | 145,894 | ||||||
|
| |||||||
327,104 | ||||||||
|
| |||||||
Gaming – 0.1% |
| |||||||
35,000 | Penn National Gaming, Inc., 2.750%, 5/15/2026 | 111,685 | ||||||
|
| |||||||
Healthcare – 0.4% |
| |||||||
535,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 537,374 | ||||||
|
| |||||||
Media Entertainment – 0.2% |
| |||||||
175,000 | Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(l) | 162,459 | ||||||
40,000 | Zynga, Inc., Zero Coupon, 0.779%-0.859%, 12/15/2026, 144A(m) | 38,625 | ||||||
|
| |||||||
201,084 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Convertible Bonds – continued |
| |||||||
Pharmaceuticals – 1.4% |
| |||||||
$ 110,000 | Aerie Pharmaceuticals, Inc., 1.500%, 10/01/2024 | $ | 100,531 | |||||
340,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 347,883 | ||||||
970,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 970,799 | ||||||
115,000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(l) | 104,505 | ||||||
90,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 118,898 | ||||||
|
| |||||||
1,642,616 | ||||||||
|
| |||||||
Technology – 0.6% |
| |||||||
370,000 | Palo Alto Networks, Inc., 0.375%, 6/01/2025 | 610,897 | ||||||
180,000 | Splunk, Inc., 1.125%, 6/15/2027 | 176,513 | ||||||
|
| |||||||
787,410 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $6,468,919) | 6,437,852 | |||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $107,629,697) | 109,362,321 | |||||||
|
| |||||||
Collateralized Loan Obligations – 2.3% |
| |||||||
295,000 | AIG CLO Ltd., Series 2021-2A, Class E, 3-month LIBOR + 6.500%, 6.590%, 7/20/2034, 144A(a) | 294,978 | ||||||
260,000 | CIFC Funding Ltd., Series 2019-1A, Class DR, 3-month LIBOR + 3.100%, 3.234%, 4/20/2032, 144A(a) | 259,997 | ||||||
255,000 | Madison Park Funding XII Ltd., Series 2014-12A, Class E, 3-month LIBOR + 5.100%, 5.234%, 7/20/2026, 144A(a) | 254,499 | ||||||
250,000 | NYACK Park CLO Ltd., Series 2021-1A, Class E, 3-month LIBOR + 6.100%, 10/20/2034, 144A(a)(f)(g)(n) | 250,000 | ||||||
250,000 | Octagon Investment Partners 44 Ltd., Series 2019-1A, Class ER, 3-month LIBOR + 6.750%, 6.834%, 10/15/2034, 144A(a) | 251,197 | ||||||
260,000 | OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 6.494%, 4/21/2034, 144A(a) | 260,178 | ||||||
310,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 6.398%, 7/02/2035, 144A(a) | 307,706 | ||||||
370,000 | OZLM XXIII Ltd., Series 2019-23A, Class DR, 3-month LIBOR + 3.750%, 3.876%, 4/15/2034, 144A(a) | 371,399 | ||||||
250,000 | Palmer Square CLO Ltd., Series 2021-2A, Class D, 3-month LIBOR + 2.900%, 3.006%, 7/15/2034, 144A(a) | 249,997 | ||||||
260,000 | Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 6.186%, 10/15/2034, 144A(a)(f)(g) | 260,000 | ||||||
|
| |||||||
Total Collateralized Loan Obligations (Identified Cost $2,756,992) | 2,759,951 | |||||||
|
| |||||||
Senior Loans – 0.3% |
| |||||||
Airlines – 0.1% |
| |||||||
135,000 | United Airlines, Inc., 2021 Term Loan B, 3-month LIBOR + 3.750%, 4.500%, 4/21/2028(a) | 135,829 | ||||||
|
|
Principal | Description | Value (†) | ||||||
Senior Loans – continued |
| |||||||
Chemicals – 0.1% |
| |||||||
$ 155,000 | Lonza Group AG, USD Term Loan B, 3-month LIBOR + 4.000%, 4.750%, 7/03/2028(a) | $ | 155,416 | |||||
|
| |||||||
Pharmaceuticals – 0.1% |
| |||||||
115,710 | Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 5/05/2028(a) | 115,841 | ||||||
|
| |||||||
Total Senior Loans (Identified Cost $403,027) | 407,086 | |||||||
|
| |||||||
Shares | ||||||||
Preferred Stocks – 1.5% |
| |||||||
Convertible Preferred Stocks – 1.5% |
| |||||||
Food & Beverage – 0.6% |
| |||||||
5,985 | Bunge Ltd., 4.875% | 711,870 | ||||||
|
| |||||||
Wireless – 0.9% |
| |||||||
1,002 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(i)(j) | 1,133,032 | ||||||
|
| |||||||
Total Convertible Preferred Stocks (Identified Cost $1,855,077) | 1,844,902 | |||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $1,855,077) | 1,844,902 | |||||||
|
| |||||||
Common Stocks – 0.6% |
| |||||||
Chemicals – 0.2% |
| |||||||
12,177 | Hexion Holdings Corp., Class B(h) | 257,750 | ||||||
|
| |||||||
Energy Equipment & Services – 0.0% |
| |||||||
10,149 | McDermott International Ltd.(h) | 4,060 | ||||||
|
| |||||||
Media – 0.2% |
| |||||||
9,786 | iHeartMedia, Inc., Class A(h) | 244,846 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.2% |
| |||||||
3,650 | Battalion Oil Corp.(h) | 35,515 | ||||||
2,306 | Whiting Petroleum Corp.(h) | 134,693 | ||||||
|
| |||||||
170,208 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $1,259,025) | 676,864 | |||||||
|
| |||||||
Other Investments – 0.1% |
| |||||||
Aircraft ABS – 0.1% |
| |||||||
100 | ECAF I Blocker Ltd.(f)(g)(i)(o) (Identified Cost $1,000,000) | 127,720 | ||||||
|
| |||||||
Warrants – 0.0% |
| |||||||
20,319 | McDermott International Ltd., Tranche A, Expiration on 5/1/2024(f)(g)(h) | 1,423 |
Shares | Description | Value (†) | ||||||
Warrants – continued |
| |||||||
22,577 | McDermott International Ltd., Tranche B, Expiration on 5/1/2024(f)(g)(h) | $ | 677 | |||||
|
| |||||||
Total Warrants (Identified Cost $31,517) | 2,100 | |||||||
|
| |||||||
Exchange-Traded Funds – 0.9% |
| |||||||
13,000 | iShares® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $1,141,379) | 1,137,370 | ||||||
|
| |||||||
Principal | ||||||||
Short-Term Investments – 2.5% |
| |||||||
$2,980,742 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2021 at 0.000% to be repurchased at $2,980,742 on 10/01/2021 collateralized by $3,366,800 U.S. Treasury Bond, 1.375% due 11/15/2040 valued at $3,040,379 including accrued interest(p) (Identified Cost $2,980,742) | 2,980,742 | ||||||
|
| |||||||
Total Investments – 98.5% (Identified Cost $119,057,456) | 119,299,056 | |||||||
Other assets less liabilities – 1.5% | 1,758,208 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 121,057,264 | ||||||
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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.
Centrally cleared swap agreements are valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.
As of September 30, 2021, 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 | |||||||||
$ 1,443,713 | 1.2 | % | $ | 773,670 | 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. Rate as of September 30, 2021 is disclosed. | |
(b) | 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, 2021 is disclosed. | |
(c) | Payment-in-kind security for which the issuer, at each interest payment date, makes interest payments in additional principal. | |
(d) | 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, 2021, interest payments were made in cash. | |
(e) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |
(f) | Level 3 security. Value has been determined using significant unobservable inputs. | |
(g) | Fair valued by the Fund’s adviser. At September 30, 2021, the value of these securities amounted to $773,670 or 0.6% of net assets. |
(h) | Non-income producing security. | |
(i) | Illiquid security. | |
(j) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2021, the value of these securities amounted to $1,443,713 or 1.2% of net assets. | |
(k) | 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, 2021, interest payments were made in principal. | |
(l) | Interest rate represents annualized yield at time of purchase; not a coupon rate. | |
(m) | 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. | |
(n) | New issue unsettled as of September 30, 2021. Coupon rate does not take effect until settlement date. | |
(o) | Securities subject to restriction on resale. At September 30, 2021, 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 | $ | 127,720 | 0.1 | % |
(p) | 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, 2021, 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, 2021, the value of Rule 144A holdings amounted to $75,906,121 or 62.7% of net assets. | |
ABS | Asset-Backed Securities | |
ETF | Exchange-Traded Fund | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium Term Note | |
PIK | Payment-in-Kind | |
REITs | Real Estate Investment Trusts |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 — quoted prices in active markets for identical assets or liabilities; |
• | Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2021, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
Home Construction | $ | — | $ | 1,138,513 | $ | — | (a) | $ | 1,138,513 | |||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 2,298,670 | 133,850 | (b) | 2,432,520 | |||||||||||
All Other Non-Convertible Bonds* | — | 99,353,436 | — | 99,353,436 | ||||||||||||
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Total Non-Convertible Bonds | — | 102,790,619 | 133,850 | 102,924,469 | ||||||||||||
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Convertible Bonds* | — | 6,437,852 | — | 6,437,852 | ||||||||||||
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Total Bonds and Notes | — | 109,228,471 | 133,850 | 109,362,321 | ||||||||||||
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Collateralized Loan Obligations | — | 2,249,951 | 510,000 | (b) | 2,759,951 | |||||||||||
Senior Loans* | — | 407,086 | — | 407,086 | ||||||||||||
Preferred Stocks* | — | 1,844,902 | — | 1,844,902 | ||||||||||||
Common Stocks | ||||||||||||||||
Chemicals | — | 257,750 | — | 257,750 | ||||||||||||
All Other Common Stocks* | 419,114 | — | — | 419,114 | ||||||||||||
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Total Common Stocks | 419,114 | 257,750 | — | 676,864 | ||||||||||||
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Other Investments* | — | — | 127,720 | (b) | 127,720 | |||||||||||
Warrants | — | — | 2,100 | (b) | 2,100 | |||||||||||
Exchange-Traded Funds | 1,137,370 | — | — | 1,137,370 | ||||||||||||
Short-Term Investments | — | 2,980,742 | — | 2,980,742 | ||||||||||||
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Total | $ | 1,556,484 | $ | 116,968,902 | $ | 773,670 | $ | 119,299,056 | ||||||||
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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. |
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, 2020 and/or September 30, 2021:
Asset Valuation Inputs
Investments in Securities | Balance as of December 31, 2020 | 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, 2021 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2021 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
Home Construction | $ | — | (a) | $ | 34,807 | $ | — | $ | (34,807 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | (a) | $ | (34,807 | ) | ||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | 390,104 | — | — | (256,254 | ) | — | — | — | — | 133,850 | (256,254 | ) | ||||||||||||||||||||||||||||
Collateralized Loan Obligations | — | — | — | — | 510,000 | — | — | — | 510,000 | — | ||||||||||||||||||||||||||||||
Loan Participations | ||||||||||||||||||||||||||||||||||||||||
ABS Other | 161,345 | 3 | (114,111 | ) | 132,886 | 9,535 | (189,658 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Energy | — | (a) | — | (752,373 | ) | 752,373 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Other Investments | ||||||||||||||||||||||||||||||||||||||||
Aircraft ABS | 125,600 | — | — | 2,120 | — | — | — | — | 127,720 | 2,120 | ||||||||||||||||||||||||||||||
Warrants | 37,995 | — | — | (28,497 | ) | — | (7,398 | ) | — | — | 2,100 | (29,847 | ) | |||||||||||||||||||||||||||
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Total | $ | 715,044 | $ | 34,810 | $ | (866,484 | ) | $ | 567,821 | $519,535 | $ | (197,056 | ) | $ | — | $ | — | $ | 773,670 | $ | (318,788 | ) | ||||||||||||||||||
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(a) | Includes a security fair valued at zero using level 3 inputs. |
Industry Summary at September 30, 2021 (Unaudited)
Cable Satellite | 7.8 | % | ||
Independent Energy | 6.7 | |||
Pharmaceuticals | 5.4 | |||
Technology | 5.2 | |||
Healthcare | 4.9 | |||
Midstream | 4.9 | |||
Media Entertainment | 4.4 | |||
Metals & Mining | 3.8 | |||
Gaming | 3.7 | |||
Finance Companies | 3.6 | |||
Leisure | 3.3 | |||
Financial Other | 2.5 | |||
Airlines | 2.4 | |||
Wireless | 2.4 | |||
Automotive | 2.4 | |||
Retailers | 2.4 | |||
Aerospace & Defense | 2.3 | |||
Consumer Cyclical Services | 2.3 | |||
Food & Beverage | 2.2 | |||
Non-Agency Commercial Mortgage-Backed Securities | 2.0 | |||
Building Materials | 2.0 | |||
Other Investments, less than 2% each | 16.2 | |||
Short-Term Investments | 2.5 | |||
Collateralized Loan Obligations | 2.3 | |||
Exchange-Traded Funds | 0.9 | |||
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Total Investments | 98.5 | |||
Other assets less liabilities | 1.5 | |||
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Net Assets | 100.0 | % | ||
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