PORTFOLIO OF INVESTMENTS – as of September 30, 2021 (Unaudited)
Loomis Sayles Strategic Income Fund
Principal | Description | Value (†) | ||||||
Bonds and Notes – 81.9% of Net Assets |
| |||||||
Non-Convertible Bonds – 73.9% |
| |||||||
ABS Car Loan – 0.2% |
| |||||||
$ 7,500,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class D, 3.040%, 9/22/2025, 144A | $ | 7,531,058 | |||||
5,000,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026, 144A | 5,076,840 | ||||||
|
| |||||||
12,607,898 | ||||||||
|
| |||||||
ABS Credit Card – 0.0% |
| |||||||
975,000 | Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A(a) | 985,142 | ||||||
|
| |||||||
ABS Home Equity – 3.2% |
| |||||||
10,247,680 | 510 Asset Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061, 144A(b) | 10,237,279 | ||||||
8,555,000 | CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/26/2029, 144A(b) | 8,548,926 | ||||||
5,350,000 | CoreVest American Finance, Series 2021-1, Class D, 3.247%, 4/15/2053, 144A | 5,468,524 | ||||||
3,140,000 | CoreVest American Finance Trust, Series 2021-2, Class C, 2.478%, 7/15/2054, 144A(a) | 3,077,064 | ||||||
13,063,636 | Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(b) | 13,114,767 | ||||||
2,510,000 | Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2, 3.125%, 10/25/2060, 144A(a) | 2,673,680 | ||||||
7,660,000 | FirstKey Homes Trust, Series 2020-SFR1, Class F2, 4.284%, 8/17/2037, 144A | 7,862,751 | ||||||
1,965,000 | FirstKey Homes Trust, Series 2021-SFR1, Class F1, 3.238%, 8/17/2038, 144A | 1,958,798 | ||||||
4,290,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E1, 2.258%, 9/17/2038, 144A | 4,285,294 | ||||||
2,105,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E2, 2.358%, 9/17/2038, 144A | 2,102,605 | ||||||
2,419,000 | FRTKL, Series 2021-SFR1, Class F, 3.171%, 9/17/2038, 144A | 2,417,846 | ||||||
7,800,531 | Home Partners of America Trust, Series 2021-1, Class F, 3.325%, 9/19/2041, 144A | 7,745,054 | ||||||
1,974,690 | Invitation Homes Trust, Series 2018-SFR2, Class B, 1-month LIBOR + 1.080%, 1.164%, 6/17/2037, 144A(a)(c) | 1,977,410 | ||||||
959,911 | Invitation Homes Trust, Series 2018-SFR3, Class B, 1-month LIBOR + 1.150%, 1.234%, 7/17/2037, 144A(a)(c) | 961,513 | ||||||
518,133 | Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(b) | 521,627 | ||||||
4,025,000 | Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2, 3.500%, 4/25/2061, 144A(b) | 4,065,206 | ||||||
11,507,000 | Progress Residential Trust, Series 2021-SFR4, Class F, 3.407%, 5/17/2038, 144A | 11,551,723 | ||||||
3,623,000 | Progress Residential Trust, Series 2021-SFR5, Class F, 3.158%, 7/17/2038, 144A | 3,601,309 | ||||||
5,465,000 | Progress Residential Trust, Series 2021-SFR6, Class F, 3.422%, 7/17/2038, 144A | 5,457,380 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Home Equity – continued |
| |||||||
$ 4,645,000 | Progress Residential Trust, Series 2021-SFR7, Class E1, 2.591%, 8/17/2040, 144A | $ | 4,567,027 | |||||
975,000 | Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A | 958,612 | ||||||
15,160,000 | Progress Residential Trust, Series 2021-SFR7, Class F, 3.834%, 8/17/2040, 144A | 14,960,913 | ||||||
2,513,000 | PRPM LLC, Series 2021-4, Class A2, 3.474%, 4/25/2026, 144A(b) | 2,534,132 | ||||||
10,044,346 | PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(b) | 10,141,354 | ||||||
8,214,854 | PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(b) | 8,195,557 | ||||||
6,850,000 | PRPM LLC, Series 2021-8, Class A1, 1.743%, 9/25/2026, 144A(b) | 6,845,500 | ||||||
8,130,000 | Toorak Mortgage Corp., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(b) | 8,134,169 | ||||||
7,865,000 | VCAT Asset Securitization LLC, Series 2021-NPL6, Class A2, 3.967%, 9/25/2051, 144A(b) | 7,864,512 | ||||||
338,144 | VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b) | 339,061 | ||||||
3,970,000 | VCAT LLC, Series 2021-NPL5, Class A2, 3.844%, 8/25/2061, 144A(b) | 3,959,428 | ||||||
|
| |||||||
166,129,021 | ||||||||
|
| |||||||
ABS Other – 0.8% |
| |||||||
2,028,234 | Castlelake Aircraft Structured Trust, Series 2017-1R, Class A, 2.741%, 8/15/2041, 144A(a) | 2,032,999 | ||||||
3,906,408 | Castlelake Aircraft Structured Trust, Series 2017-1R, Class B, 3.924%, 8/15/2041, 144A | 3,902,685 | ||||||
42,000,000 | GCA2014 Holdings Ltd., Series 2014-1, Class E, 1/05/2030, 144A(d)(e)(g)(h)(i) | 568,008 | ||||||
15,329,904 | MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A(a) | 15,448,895 | ||||||
10,926,840 | SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A(a) | 10,934,379 | ||||||
9,247,755 | Willis Engine Structured Trust, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A(a) | 9,162,953 | ||||||
|
| |||||||
42,049,919 | ||||||||
|
| |||||||
ABS Whole Business – 0.2% |
| |||||||
2,319,188 | Hardee’s Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051, 144A | 2,323,808 | ||||||
9,300,000 | Taco Bell Funding LLC, Series 2021-1A, Class A2II, 2.294%, 8/25/2051, 144A | 9,306,891 | ||||||
|
| |||||||
11,630,699 | ||||||||
|
| |||||||
Aerospace & Defense – 2.4% |
| |||||||
14,845,000 | Boeing Co. (The), 3.625%, 2/01/2031 | 15,891,700 | ||||||
1,995,000 | Boeing Co. (The), 3.625%, 3/01/2048 | 1,958,578 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Aerospace & Defense – continued |
| |||||||
$ 2,660,000 | Boeing Co. (The), 3.750%, 2/01/2050 | $ | 2,696,841 | |||||
4,190,000 | Boeing Co. (The), 3.825%, 3/01/2059 | 4,110,227 | ||||||
415,000 | Boeing Co. (The), 3.850%, 11/01/2048 | 422,856 | ||||||
6,000,000 | Boeing Co. (The), 3.900%, 5/01/2049 | 6,176,403 | ||||||
4,124,000 | Boeing Co. (The), 3.950%, 8/01/2059 | 4,232,450 | ||||||
2,795,000 | Boeing Co. (The), 5.150%, 5/01/2030 | 3,280,464 | ||||||
39,862,000 | Boeing Co. (The), 5.805%, 5/01/2050(a) | 53,134,864 | ||||||
3,145,000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 | 3,345,525 | ||||||
9,576,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A | 11,375,330 | ||||||
8,815,000 | Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A | 11,516,974 | ||||||
6,485,000 | TransDigm, Inc., 5.500%, 11/15/2027 | 6,663,338 | ||||||
370,000 | TransDigm, Inc., 7.500%, 3/15/2027 | 387,575 | ||||||
|
| |||||||
125,193,125 | ||||||||
|
| |||||||
Airlines – 2.0% |
| |||||||
16,395,411 | Air Canada Pass Through Trust, Series 2020-2A, 5.250%, 10/01/2030, 144A(a) | 17,716,061 | ||||||
240,000 | American Airlines Group, Inc., 3.750%, 3/01/2025, 144A | 216,264 | ||||||
13,220,000 | American Airlines Group, Inc., 5.000%, 6/01/2022, 144A | 13,236,525 | ||||||
1,415,848 | American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 1,363,150 | ||||||
813,724 | American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 786,493 | ||||||
2,655,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A | 2,791,069 | ||||||
3,055,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A | 3,291,763 | ||||||
26,975,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A | 29,333,154 | ||||||
120,264 | Northwest Airlines Pass Through Trust, Series 2002-1, Class G2, (MBIA Insured), 6.264%, 5/20/2023(a) | 120,518 | ||||||
23,265,710 | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029(a) | 25,945,455 | ||||||
2,966,244 | United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 | 3,138,405 | ||||||
2,280,000 | United Airlines, Inc., 4.375%, 4/15/2026, 144A | 2,339,850 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Airlines – continued |
| |||||||
$ 3,415,000 | United Airlines, Inc., 4.625%, 4/15/2029, 144A | $ | 3,529,232 | |||||
|
| |||||||
103,807,939 | ||||||||
|
| |||||||
Automotive – 1.3% |
| |||||||
1,210,000 | Allison Transmission, Inc., 4.750%, 10/01/2027, 144A | 1,258,400 | ||||||
18,505,000 | Ford Motor Co., 4.750%, 1/15/2043 | 19,395,646 | ||||||
1,220,000 | Ford Motor Co., 6.625%, 2/15/2028 | 1,435,550 | ||||||
1,345,000 | Ford Motor Co., 7.500%, 8/01/2026 | 1,596,488 | ||||||
1,500,000 | Ford Motor Credit Co. LLC, 5.113%, 5/03/2029 | 1,676,250 | ||||||
2,845,000 | General Motors Co., 5.200%, 4/01/2045 | 3,464,485 | ||||||
2,120,000 | General Motors Co., 6.250%, 10/02/2043 | 2,855,528 | ||||||
29,835,000 | General Motors Financial Co., Inc., 3.600%, 6/21/2030(a) | 32,001,957 | ||||||
540,000 | General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(j) | 589,928 | ||||||
865,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(j) | 995,831 | ||||||
|
| |||||||
65,270,063 | ||||||||
|
| |||||||
Banking – 4.6% |
| |||||||
6,000,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 8,653,972 | ||||||
13,515,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(j) | 14,067,088 | ||||||
10,840,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(j) | 11,327,800 | ||||||
13,200,000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A(a) | 14,753,640 | ||||||
8,355,000 | Bank of America Corp., (fixed rate to 4/29/2030, variable rate thereafter), 2.592%, 4/29/2031(a) | 8,527,347 | ||||||
5,895,000 | Bank of America Corp., (fixed rate to 7/23/2030, variable rate thereafter), MTN, 1.898%, 7/23/2031(a) | 5,684,411 | ||||||
11,885,000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(j) | 11,876,681 | ||||||
31,380,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035(a) | 32,555,928 | ||||||
9,940,000 | BNP Paribas S.A., 2.824%, 1/26/2041, 144A(a) | 9,427,991 | ||||||
9,462,000 | BNP Paribas S.A., (fixed rate to 8/12/2030, variable rate thereafter), 2.588%, 8/12/2035, 144A(a) | 9,167,637 | ||||||
520,000 | CFLD Cayman Investment Ltd., 6.920%, 6/16/2022(k) | 215,940 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Banking – continued |
| |||||||
$ 26,680,000 | Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter), 4.412%, 3/31/2031(a) | $ | 30,806,260 | |||||
5,670,000 | Credit Agricole S.A., 2.811%, 1/11/2041, 144A(a) | 5,410,583 | ||||||
6,740,000 | Credit Agricole S.A., 3.250%, 1/14/2030, 144A(a) | 7,074,034 | ||||||
5,325,000 | Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), EMTN, 4.000%, 1/10/2033(a) | 5,752,825 | ||||||
3,795,000 | Deutsche Bank AG, (fixed rate to 1/14/2031, variable rate thereafter), 3.729%, 1/14/2032 | 3,918,279 | ||||||
1,709,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 1,879,513 | ||||||
6,610,000 | Deutsche Bank AG, (fixed rate to 5/28/2031, variable rate thereafter), 3.035%, 5/28/2032(a) | 6,706,561 | ||||||
9,180,000 | JPMorgan Chase & Co., (fixed rate to 11/19/2030, variable rate thereafter), 1.764%, 11/19/2031(a) | 8,765,982 | ||||||
13,160,000 | JPMorgan Chase & Co., (fixed rate to 2/04/2031, variable rate thereafter), 1.953%, 2/04/2032(a) | 12,695,733 | ||||||
14,965,000 | NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035(a) | 14,989,992 | ||||||
13,520,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | 14,915,867 | ||||||
|
| |||||||
239,174,064 | ||||||||
|
| |||||||
Brokerage – 0.5% |
| |||||||
14,755,000 | Jefferies Group LLC, 6.250%, 1/15/2036 | 19,819,724 | ||||||
7,155,000 | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A | 7,821,470 | ||||||
|
| |||||||
27,641,194 | ||||||||
|
| |||||||
Building Materials – 1.4% |
| |||||||
39,005,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 39,028,403 | ||||||
2,395,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A | 2,572,350 | ||||||
6,090,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(j) | 6,202,726 | ||||||
3,255,000 | JELD-WEN, Inc., 4.875%, 12/15/2027, 144A | 3,391,840 | ||||||
1,859,000 | Masco Corp., 6.500%, 8/15/2032 | 2,456,842 | ||||||
1,226,000 | Masco Corp., 7.750%, 8/01/2029 | 1,649,987 | ||||||
10,800,000 | Owens Corning, 7.000%, 12/01/2036 | 15,531,281 | ||||||
|
| |||||||
70,833,429 | ||||||||
|
| |||||||
Cable Satellite – 4.1% |
| |||||||
34,275,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A | 33,953,672 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Cable Satellite – continued |
| |||||||
$ 3,905,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 2.800%, 4/01/2031 | $ | 3,913,821 | |||||
59,580,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.700%, 4/01/2051 | 58,008,502 | ||||||
9,570,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.850%, 4/01/2061 | 9,126,839 | ||||||
4,940,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.900%, 6/01/2052 | 4,920,606 | ||||||
31,570,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062 | 30,455,271 | ||||||
3,900,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.125%, 7/01/2049 | 4,587,365 | ||||||
17,880,000 | CSC Holdings LLC, 5.375%, 2/01/2028, 144A | 18,684,600 | ||||||
3,705,000 | DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.875%, 8/15/2027, 144A | 3,867,094 | ||||||
6,470,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 6,339,241 | ||||||
6,568,000 | DISH DBS Corp., 5.875%, 11/15/2024 | 7,062,439 | ||||||
15,865,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 17,915,155 | ||||||
4,835,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 5,291,139 | ||||||
135,000 | Time Warner Cable LLC, 5.875%, 11/15/2040 | 170,289 | ||||||
4,915,000 | Ziggo BV, 5.500%, 1/15/2027, 144A | 5,080,881 | ||||||
|
| |||||||
209,376,914 | ||||||||
|
| |||||||
Chemicals – 1.0% |
| |||||||
4,205,000 | Alpek SAB de CV, 3.250%, 2/25/2031, 144A | 4,247,092 | ||||||
13,380,000 | Ashland LLC, 3.375%, 9/01/2031, 144A | 13,497,075 | ||||||
1,320,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A | 1,404,480 | ||||||
6,735,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A | 7,661,062 | ||||||
905,000 | INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A | 914,050 | ||||||
6,275,000 | Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A | 6,509,811 | ||||||
10,239,000 | Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A | 10,315,178 | ||||||
2,295,000 | SPCM S.A., 3.125%, 3/15/2027, 144A | 2,297,754 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Chemicals – continued |
| |||||||
$ 2,125,000 | SPCM S.A., 3.375%, 3/15/2030, 144A | $ | 2,123,353 | |||||
|
| |||||||
48,969,855 | ||||||||
|
| |||||||
Consumer Cyclical Services – 2.6% |
| |||||||
3,430,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 3,466,221 | ||||||
28,355,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 29,324,872 | ||||||
6,720,000 | Expedia Group, Inc., 3.800%, 2/15/2028 | 7,293,403 | ||||||
10,550,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A | 10,457,688 | ||||||
5,500,000 | Terminix Co. LLC (The), 7.450%, 8/15/2027 | 6,668,750 | ||||||
9,620,000 | TriNet Group, Inc., 3.500%, 3/01/2029, 144A | 9,644,050 | ||||||
8,505,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 8,563,472 | ||||||
18,350,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 19,680,191 | ||||||
34,335,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 37,489,528 | ||||||
|
| |||||||
132,588,175 | ||||||||
|
| |||||||
Consumer Products – 0.4% |
| |||||||
11,880,000 | Avon Products, Inc., 8.450%, 3/15/2043 | 15,028,200 | ||||||
6,110,000 | Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A | 6,184,848 | ||||||
|
| |||||||
21,213,048 | ||||||||
|
| |||||||
Electric – 1.1% |
| |||||||
21,956,057 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A | 25,785,088 | ||||||
3,570,000 | Enel Generacion Chile S.A., 7.875%, 2/01/2027(a) | 4,388,330 | ||||||
1,635,000 | Pacific Gas & Electric Co., 3.250%, 6/01/2031 | 1,629,059 | ||||||
4,365,000 | Pacific Gas & Electric Co., 3.500%, 8/01/2050 | 3,969,685 | ||||||
5,515,000 | Pacific Gas & Electric Co., 4.250%, 3/15/2046 | 5,421,309 | ||||||
7,435,000 | Pacific Gas & Electric Co., 4.300%, 3/15/2045 | 7,335,301 | ||||||
7,860,000 | Pacific Gas & Electric Co., 4.750%, 2/15/2044 | 8,004,140 | ||||||
|
| |||||||
56,532,912 | ||||||||
|
| |||||||
Finance Companies – 5.3% |
| |||||||
780,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027 | 828,537 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Finance Companies – continued |
| |||||||
$ 6,980,000 | Air Lease Corp., 3.125%, 12/01/2030 | $ | 7,150,734 | |||||
4,298,000 | Air Lease Corp., 4.625%, 10/01/2028 | 4,827,608 | ||||||
2,645,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 | 2,683,897 | ||||||
11,210,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(j) | 11,728,462 | ||||||
3,585,000 | Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(j) | 3,668,531 | ||||||
1,020,000 | Antares Holdings LP, 6.000%, 8/15/2023, 144A | 1,103,461 | ||||||
20,000,000 | Antares Holdings LP, 8.500%, 5/18/2025, 144A | 23,857,260 | ||||||
20,380,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 20,645,316 | ||||||
5,315,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A | 5,295,799 | ||||||
7,225,000 | FS KKR Capital Corp., 3.400%, 1/15/2026 | 7,549,267 | ||||||
40,505,000 | GE Capital Funding LLC, 4.550%, 5/15/2032(a) | 47,966,667 | ||||||
11,150,000 | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035(a) | 13,380,583 | ||||||
135,000 | Navient Corp., 5.000%, 3/15/2027 | 139,050 | ||||||
3,030,000 | Navient Corp., 5.875%, 10/25/2024 | 3,234,525 | ||||||
950,000 | Navient Corp., 6.750%, 6/15/2026 | 1,048,449 | ||||||
5,355,000 | Navient Corp., MTN, 5.625%, 8/01/2033 | 5,093,944 | ||||||
4,774,000 | Navient Corp., MTN, 6.125%, 3/25/2024 | 5,111,760 | ||||||
4,075,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 4,721,906 | ||||||
8,425,000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 | 8,409,275 | ||||||
14,750,000 | Owl Rock Capital Corp., 4.250%, 1/15/2026 | 15,831,216 | ||||||
4,360,000 | Rocket Mortgage LLC, 5.250%, 1/15/2028, 144A | 4,697,900 | ||||||
13,535,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 13,226,402 | ||||||
12,520,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 12,660,850 | ||||||
37,150,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 37,475,062 | ||||||
9,030,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 8,962,275 | ||||||
|
| |||||||
271,298,736 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Financial Other – 1.9% |
| |||||||
$ 1,650,000 | Agile Group Holdings Ltd., 5.500%, 4/21/2025 | $ | 1,549,143 | |||||
695,000 | Agile Group Holdings Ltd., 5.500%, 5/17/2026 | 641,205 | ||||||
1,225,000 | Agile Group Holdings Ltd., 5.750%, 1/02/2025 | 1,151,037 | ||||||
5,580,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 5,252,953 | ||||||
17,835,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027, 144A | 17,635,428 | ||||||
1,275,000 | CFLD Cayman Investment Ltd., 8.050%, 1/13/2025(k) | 531,484 | ||||||
525,000 | CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(k) | 218,400 | ||||||
1,275,000 | CFLD Cayman Investment Ltd., 8.750%, 9/28/2022(k) | 514,399 | ||||||
220,000 | China Aoyuan Group Ltd., 6.200%, 3/24/2026 | 168,339 | ||||||
2,400,000 | China Aoyuan Group Ltd., 6.350%, 2/08/2024 | 2,065,209 | ||||||
1,240,000 | China Aoyuan Group Ltd., 7.950%, 2/19/2023 | 1,116,008 | ||||||
1,800,000 | China Evergrande Group, 8.250%, 3/23/2022 | 459,306 | ||||||
4,045,000 | China Evergrande Group, 8.750%, 6/28/2025 | 971,771 | ||||||
1,405,000 | China Evergrande Group, 9.500%, 4/11/2022 | 361,352 | ||||||
335,000 | China Evergrande Group, 9.500%, 3/29/2024 | 80,608 | ||||||
2,190,000 | CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026 | 2,077,599 | ||||||
24,490,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 24,459,387 | ||||||
3,580,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 3,714,250 | ||||||
2,430,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024 | 1,841,180 | ||||||
6,550,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026 | 4,996,406 | ||||||
2,140,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025 | 1,632,129 | ||||||
11,820,000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A | 12,174,600 | ||||||
5,405,000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026 | 4,337,709 | ||||||
720,000 | Times China Holdings Ltd., 5.750%, 1/14/2027 | 637,341 | ||||||
3,690,000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 3,333,085 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Financial Other – continued |
| |||||||
$ 11,950,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027 | $ | 7,738,581 | |||||
|
| |||||||
99,658,909 | ||||||||
|
| |||||||
Food & Beverage – 1.6% |
| |||||||
4,310,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A | 4,484,684 | ||||||
45,450,000 | Kraft Heinz Foods Co., 4.375%, 6/01/2046 | 51,857,996 | ||||||
14,805,000 | MARB BondCo. PLC, 3.950%, 1/29/2031, 144A | 14,142,772 | ||||||
9,895,000 | Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A | 10,064,403 | ||||||
|
| |||||||
80,549,855 | ||||||||
|
| |||||||
Gaming – 0.7% |
| |||||||
12,960,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A | 12,824,368 | ||||||
5,475,000 | International Game Technology PLC, 6.250%, 1/15/2027, 144A | 6,186,750 | ||||||
3,265,000 | Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A | 3,227,126 | ||||||
12,590,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 13,581,462 | ||||||
740,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 831,492 | ||||||
|
| |||||||
36,651,198 | ||||||||
|
| |||||||
Government Owned - No Guarantee – 1.7% |
| |||||||
495,000 | Antares Holdings LP, 2.750%, 1/15/2027, 144A | 495,448 | ||||||
1,999,900,000 | Export-Import Bank of Korea, 4.890%, 8/09/2023, 144A, (INR)(a) | 26,794,659 | ||||||
455,800,000 | Export-Import Bank of Korea, MTN, 6.750%, 8/09/2022, (INR)(a) | 6,248,995 | ||||||
6,535,000 | Pertamina Persero PT, 6.450%, 5/30/2044, 144A | 8,514,780 | ||||||
6,586,000 | Petroleos Mexicanos, 6.625%, 6/15/2035 | 6,248,467 | ||||||
12,239,000 | Petroleos Mexicanos, 6.950%, 1/28/2060 | 10,695,662 | ||||||
30,245,000 | Saudi Arabian Oil Co., 3.250%, 11/24/2050, 144A(a) | 28,810,782 | ||||||
|
| |||||||
87,808,793 | ||||||||
|
| |||||||
Health Insurance – 0.6% |
| |||||||
21,450,000 | Centene Corp., 2.500%, 3/01/2031 | 21,155,062 | ||||||
6,390,000 | Centene Corp., 2.625%, 8/01/2031 | 6,346,804 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Health Insurance – continued |
| |||||||
$ 4,510,000 | Centene Corp., 3.000%, 10/15/2030 | $ | 4,622,750 | |||||
|
| |||||||
32,124,616 | ||||||||
|
| |||||||
Healthcare – 1.2% |
| |||||||
3,285,000 | Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A | 3,225,706 | ||||||
1,980,000 | Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A | 2,022,075 | ||||||
2,110,000 | Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A | 2,210,710 | ||||||
2,655,000 | Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A | 2,711,419 | ||||||
16,025,000 | HCA, Inc., 5.250%, 6/15/2049 | 20,453,498 | ||||||
28,194,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 | 32,352,615 | ||||||
|
| |||||||
62,976,023 | ||||||||
|
| |||||||
Home Construction – 1.3% |
| |||||||
3,760,000 | KWG Group Holdings Ltd., 6.300%, 2/13/2026 | 3,379,897 | ||||||
29,870,000 | PulteGroup, Inc., 6.000%, 2/15/2035(a) | 38,606,975 | ||||||
13,190,000 | PulteGroup, Inc., 6.375%, 5/15/2033 | 17,331,660 | ||||||
1,080,000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025 | 793,297 | ||||||
395,000 | Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026 | 260,879 | ||||||
4,535,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026 | 3,829,071 | ||||||
365,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026 | 304,019 | ||||||
715,000 | Zhenro Properties Group Ltd., 7.350%, 2/05/2025 | 622,487 | ||||||
|
| |||||||
65,128,285 | ||||||||
|
| |||||||
Independent Energy – 3.3% |
| |||||||
9,350,000 | Aker BP ASA, 3.750%, 1/15/2030, 144A | 10,010,544 | ||||||
17,065,000 | Aker BP ASA, 4.000%, 1/15/2031, 144A | 18,561,627 | ||||||
6,638,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 9.000%, 11/01/2027, 144A | 9,094,060 | ||||||
9,380,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 11,338,075 | ||||||
2,678,000 | Devon Energy Corp., 4.500%, 1/15/2030, 144A | 2,918,718 | ||||||
3,575,000 | Diamondback Energy, Inc., 3.125%, 3/24/2031 | 3,712,159 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Independent Energy – continued |
| |||||||
$ 2,340,000 | Diamondback Energy, Inc., 3.500%, 12/01/2029 | $ | 2,502,482 | |||||
6,210,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 6,355,376 | ||||||
8,120,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | 8,340,458 | ||||||
810,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 830,347 | ||||||
1,720,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 1,792,240 | ||||||
12,640,000 | Hess Corp., 5.600%, 2/15/2041 | 15,793,060 | ||||||
550,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 597,212 | ||||||
10,835,000 | Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A | 11,892,171 | ||||||
8,530,000 | Lundin Energy Finance BV, 2.000%, 7/15/2026, 144A | 8,581,460 | ||||||
6,160,000 | Lundin Energy Finance BV, 3.100%, 7/15/2031, 144A | 6,245,905 | ||||||
17,908,000 | Mesquite Energy, Inc., 6.125%, 1/15/2023(d)(e)(i)(k) | 716,320 | ||||||
9,520,000 | Mesquite Energy, Inc., 7.750%, 6/15/2021(d)(e)(i)(k) | 380,800 | ||||||
540,000 | Occidental Petroleum Corp., 4.500%, 7/15/2044 | 542,209 | ||||||
32,720,000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 | 40,327,400 | ||||||
1,245,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 1,679,105 | ||||||
540,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 742,799 | ||||||
2,715,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 3,723,472 | ||||||
360,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 483,099 | ||||||
325,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 440,848 | ||||||
1,495,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 2,056,761 | ||||||
597,000 | Southwestern Energy Co., 6.450%, 1/23/2025 | 657,339 | ||||||
|
| |||||||
170,316,046 | ||||||||
|
| |||||||
Industrial Other – 0.1% |
| |||||||
610,000 | CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(k) | 255,163 | ||||||
3,985,000 | TopBuild Corp., 4.125%, 2/15/2032, 144A | 4,024,850 | ||||||
|
| |||||||
4,280,013 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Leisure – 0.7% |
| |||||||
$ 11,785,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | $ | 12,182,744 | |||||
6,575,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 6,739,375 | ||||||
2,415,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 2,505,562 | ||||||
230,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A | 225,296 | ||||||
12,300,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 12,580,551 | ||||||
|
| |||||||
34,233,528 | ||||||||
|
| |||||||
Life Insurance – 1.5% |
| |||||||
9,880,000 | Athene Global Funding, 1.608%, 6/29/2026, 144A(a) | 9,872,842 | ||||||
3,575,000 | Brighthouse Financial, Inc., 4.700%, 6/22/2047(a) | 4,042,532 | ||||||
13,830,000 | Brighthouse Financial, Inc., 5.625%, 5/15/2030(a) | 16,695,172 | ||||||
20,000,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A(e)(l) | 32,591,000 | ||||||
8,920,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A(e)(l) | 11,685,111 | ||||||
|
| |||||||
74,886,657 | ||||||||
|
| |||||||
Lodging – 0.7% |
| |||||||
7,620,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A | 7,505,700 | ||||||
1,745,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A | 1,751,544 | ||||||
5,385,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 5,492,700 | ||||||
7,440,000 | Marriott International, Inc., Series HH, 2.850%, 4/15/2031 | 7,535,095 | ||||||
4,155,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 4,206,937 | ||||||
7,670,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 7,880,925 | ||||||
970,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 1,074,978 | ||||||
1,120,000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 1,275,422 | ||||||
|
| |||||||
36,723,301 | ||||||||
|
| |||||||
Media Entertainment – 1.3% |
| |||||||
5,500,000 | AMC Networks, Inc., 4.250%, 2/15/2029 | 5,472,500 | ||||||
3,925,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 4,044,712 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Media Entertainment – continued |
| |||||||
$ 1,925,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | $ | 2,000,191 | |||||
4,635,000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 | 4,953,656 | ||||||
1,325,000 | Netflix, Inc., 4.875%, 4/15/2028 | 1,527,063 | ||||||
11,680,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 13,753,200 | ||||||
1,305,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 1,580,681 | ||||||
6,520,000 | Netflix, Inc., 5.875%, 11/15/2028 | 7,989,608 | ||||||
7,670,000 | Netflix, Inc., 6.375%, 5/15/2029 | 9,702,550 | ||||||
3,956,000 | ViacomCBS, Inc., 4.375%, 3/15/2043 | 4,525,506 | ||||||
4,469,000 | ViacomCBS, Inc., 4.900%, 8/15/2044 | 5,470,748 | ||||||
4,600,000 | ViacomCBS, Inc., 4.950%, 5/19/2050 | 5,759,053 | ||||||
|
| |||||||
66,779,468 | ||||||||
|
| |||||||
Metals & Mining – 3.5% |
| |||||||
8,090,000 | Anglo American Capital PLC, 2.625%, 9/10/2030, 144A | 8,035,882 | ||||||
13,790,000 | Anglo American Capital PLC, 2.875%, 3/17/2031, 144A | 13,836,887 | ||||||
22,016,000 | ArcelorMittal S.A., 6.750%, 3/01/2041 | 30,258,240 | ||||||
2,630,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 2,735,200 | ||||||
35,930,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 37,995,975 | ||||||
1,810,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 1,856,752 | ||||||
9,590,000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A | 9,909,826 | ||||||
22,815,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 27,406,519 | ||||||
12,330,000 | Glencore Funding LLC, 2.500%, 9/01/2030, 144A(a) | 12,099,306 | ||||||
29,695,000 | Glencore Funding LLC, 2.850%, 4/27/2031, 144A(a) | 29,872,581 | ||||||
6,230,000 | JSW Steel Ltd., 5.050%, 4/05/2032, 144A | 6,202,131 | ||||||
1,900,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 1,849,650 | ||||||
|
| |||||||
182,058,949 | ||||||||
|
| |||||||
Midstream – 0.7% |
| |||||||
14,530,000 | Galaxy Pipeline Assets Bidco Ltd., 2.940%, 9/30/2040, 144A(a) | 14,499,703 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Midstream – continued |
| |||||||
$ 2,530,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A | $ | 2,558,462 | |||||
505,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 723,725 | ||||||
1,425,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 1,521,322 | ||||||
185,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043 | 189,967 | ||||||
11,340,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.700%, 6/15/2044 | 12,170,089 | ||||||
1,180,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045 | 1,271,671 | ||||||
3,515,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032, 144A | 3,632,577 | ||||||
|
| |||||||
36,567,516 | ||||||||
|
| |||||||
Natural Gas – 0.0% |
| |||||||
1,380,000 | KWG Group Holdings Ltd., 6.000%, 8/14/2026 | 1,223,558 | ||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 1.0% |
| |||||||
335,000 | BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A | 345,004 | ||||||
10,565,000 | Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C, 5.038%, 9/10/2045, 144A(b) | 10,642,296 | ||||||
125,000 | Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A(a) | 124,377 | ||||||
1,095,000 | Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(a)(b) | 1,096,397 | ||||||
305,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A(a) | 309,915 | ||||||
1,690,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A | 1,608,263 | ||||||
4,100,452 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class D, 5.752%, 8/15/2046, 144A(b) | 4,062,010 | ||||||
3,980,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C5, Class E, 4.000%, 8/15/2046, 144A(b) | 3,224,994 | ||||||
10,664,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class D, 4.828%, 10/15/2045, 144A(a)(b) | 10,515,407 | ||||||
290,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.508%, 12/15/2047, 144A(a)(b) | 284,704 | ||||||
3,110,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C, 3.958%, 4/15/2046(b) | 3,065,975 | ||||||
4,901,000 | Morgan Stanley Capital I Trust, Series 2012-C4, Class D, 5.539%, 3/15/2045, 144A(b) | 4,646,272 | ||||||
5,285,000 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.443%, 7/15/2046(b) | 5,291,013 | ||||||
1,315,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045(a) | 1,304,490 | ||||||
4,000,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.650%, 8/15/2046(a)(b) | 3,991,028 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||
$ 940,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047(a) | $ | 976,641 | |||||
|
| |||||||
51,488,786 | ||||||||
|
| |||||||
Paper – 0.9% |
| |||||||
15,225,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029(a) | 21,593,253 | ||||||
4,865,000 | WestRock MWV LLC, 7.950%, 2/15/2031 | 6,912,639 | ||||||
8,750,000 | WestRock MWV LLC, 8.200%, 1/15/2030 | 12,259,796 | ||||||
2,840,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 | 3,629,841 | ||||||
|
| |||||||
44,395,529 | ||||||||
|
| |||||||
Pharmaceuticals – 0.0% |
| |||||||
1,995,000 | Jazz Securities DAC, 4.375%, 1/15/2029, 144A | 2,067,419 | ||||||
|
| |||||||
Property & Casualty Insurance – 0.0% |
| |||||||
12,510,000 | MBIA Insurance Corp., 3-month LIBOR + 11.260%, 11.386%, 1/15/2033, 144A(c)(d)(e)(h)(i) | 2,157,975 | ||||||
|
| |||||||
Restaurants – 0.4% |
| |||||||
19,175,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 20,469,313 | ||||||
|
| |||||||
Retailers – 0.7% |
| |||||||
3,665,000 | Carvana Co., 5.500%, 4/15/2027, 144A | 3,740,866 | ||||||
3,250,000 | Carvana Co., 5.625%, 10/01/2025, 144A | 3,360,143 | ||||||
6,245,000 | Carvana Co., 5.875%, 10/01/2028, 144A | 6,452,396 | ||||||
3,325,000 | Dillard’s, Inc., 7.000%, 12/01/2028 | 3,926,758 | ||||||
1,500,000 | Dillard’s, Inc., 7.750%, 7/15/2026 | 1,791,180 | ||||||
3,975,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 4,133,284 | ||||||
6,365,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A | 7,801,453 | ||||||
2,555,000 | Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A | 2,570,969 | ||||||
|
| |||||||
33,777,049 | ||||||||
|
| |||||||
Sovereigns – 0.9% |
| |||||||
30,640,000 | Mexico Government International Bond, 3.771%, 5/24/2061(a) | 27,207,401 | ||||||
20,885,000 | Mexico Government International Bond, 4.280%, 8/14/2041(a) | 21,308,965 | ||||||
|
| |||||||
48,516,366 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Supermarkets – 0.1% |
| |||||||
$ 2,290,000 | Safeway, Inc., 7.250%, 2/01/2031 | $ | 2,736,550 | |||||
|
| |||||||
Supranational – 0.1% |
| |||||||
525,240,000 | International Finance Corp., 5.850%, 11/25/2022, (INR)(a) | 7,153,921 | ||||||
|
| |||||||
Technology – 2.5% |
| |||||||
1,025,000 | Broadcom, Inc., 3.187%, 11/15/2036, 144A | 1,022,023 | ||||||
23,110,000 | Broadcom, Inc., 4.300%, 11/15/2032 | 25,897,838 | ||||||
15,295,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 14,547,992 | ||||||
14,915,000 | CommScope, Inc., 4.750%, 9/01/2029, 144A | 14,896,356 | ||||||
1,215,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 1,244,986 | ||||||
13,195,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | 13,821,762 | ||||||
4,070,000 | Jabil, Inc., 3.950%, 1/12/2028 | 4,489,230 | ||||||
15,170,000 | KLA Corp., 5.650%, 11/01/2034(a) | 19,600,556 | ||||||
5,655,000 | Marvell Technology, Inc., 2.950%, 4/15/2031, 144A | 5,812,774 | ||||||
5,050,000 | MSCI, Inc., 3.250%, 8/15/2033, 144A | 5,107,873 | ||||||
5,200,000 | Sensata Technologies BV, 4.000%, 4/15/2029, 144A | 5,293,340 | ||||||
5,770,000 | Square, Inc., 3.500%, 6/01/2031, 144A | 5,918,462 | ||||||
11,540,000 | SYNNEX Corp., 1.750%, 8/09/2026, 144A | 11,416,467 | ||||||
|
| |||||||
129,069,659 | ||||||||
|
| |||||||
Transportation Services – 0.4% |
| |||||||
4,150,000 | Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A | 3,961,466 | ||||||
14,685,000 | Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A | 15,403,537 | ||||||
1,234,000 | Fenix Marine Service Holdings Ltd., 8.000%, 1/15/2024 | 1,351,526 | ||||||
1,240,000 | GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A | 1,187,000 | ||||||
255,000 | GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A | 254,444 | ||||||
|
| |||||||
22,157,973 | ||||||||
|
| |||||||
Treasuries – 11.5% |
| |||||||
142,342 | (††) | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL) | 26,016,700 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Treasuries – continued |
| |||||||
5,454,785 | (†††) | Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN)(a) | $ | 26,719,633 | ||||
26,390,000 | U.S. Treasury Note, 0.125%, 11/30/2022(a) | 26,385,877 | ||||||
109,525,000 | U.S. Treasury Note, 0.125%, 12/31/2022(m) | 109,490,773 | ||||||
117,000,000 | U.S. Treasury Note, 0.125%, 1/31/2023(a) | 116,940,586 | ||||||
208,955,000 | U.S. Treasury Note, 0.125%, 2/28/2023(a) | 208,799,916 | ||||||
53,450,000 | U.S. Treasury Note, 0.125%, 4/30/2023(a) | 53,379,012 | ||||||
26,005,000 | U.S. Treasury Note, 0.250%, 9/30/2023 | 25,984,684 | ||||||
|
| |||||||
593,717,181 | ||||||||
|
| |||||||
Wireless – 2.7% |
| |||||||
6,300,000 | Bharti Airtel Ltd., 3.250%, 6/03/2031, 144A | 6,333,918 | ||||||
1,200,000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A | 1,260,000 | ||||||
20,720,000 | HTA Group Ltd., 7.000%, 12/18/2025 | 21,756,000 | ||||||
7,228,000 | IHS Netherlands Holdco BV, 8.000%, 9/18/2027, 144A | 7,725,648 | ||||||
2,580,000 | Kenbourne Invest S.A., 4.700%, 1/22/2028, 144A | 2,594,551 | ||||||
5,345,000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A | 5,626,361 | ||||||
490,000 | Liquid Telecommunications Financing PLC, 5.500%, 9/04/2026, 144A | 505,430 | ||||||
1,903,500 | Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A | 1,978,688 | ||||||
4,225,500 | Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A | 4,626,923 | ||||||
16,600,000 | SBA Communications Corp., 3.125%, 2/01/2029, 144A | 16,039,750 | ||||||
27,610,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 28,804,132 | ||||||
13,640,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 14,385,217 | ||||||
25,025,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 27,631,656 | ||||||
|
| |||||||
139,268,274 | ||||||||
|
| |||||||
Wirelines – 0.8% |
| |||||||
8,920,000 | AT&T, Inc., 3.500%, 9/15/2053(a) | 8,828,302 | ||||||
350,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 383,425 | ||||||
2,160,000 | Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A | 2,251,152 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Wirelines – continued |
| |||||||
$ 1,240,000 | Lumen Technologies, Inc., 5.625%, 4/01/2025 | $ | 1,348,500 | |||||
6,071,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 | 6,814,698 | ||||||
16,440,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 | 19,131,228 | ||||||
3,945,000 | Verizon Communications, Inc., 2.850%, 9/03/2041(a) | 3,850,202 | ||||||
|
| |||||||
42,607,507 | ||||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $3,720,721,272) | 3,816,852,350 | |||||||
|
| |||||||
Convertible Bonds – 6.7% |
| |||||||
Airlines – 0.6% |
| |||||||
3,695,000 | JetBlue Airways Corp., 0.500%, 4/01/2026, 144A | 3,620,523 | ||||||
18,060,000 | Southwest Airlines Co., 1.250%, 5/01/2025(a) | 26,977,125 | ||||||
|
| |||||||
30,597,648 | ||||||||
|
| |||||||
Cable Satellite – 3.2% |
| |||||||
14,660,000 | DISH Network Corp., 2.375%, 3/15/2024 | 14,284,337 | ||||||
143,750,000 | DISH Network Corp., 3.375%, 8/15/2026 | 149,428,125 | ||||||
|
| |||||||
163,712,462 | ||||||||
|
| |||||||
Consumer Cyclical Services – 0.3% |
| |||||||
5,370,000 | Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(f) | 5,797,726 | ||||||
5,830,000 | Peloton Interactive, Inc., Zero Coupon, 0.000%-1.734%, 2/15/2026, 144A(n) | 5,132,065 | ||||||
7,860,000 | Uber Technologies, Inc., Zero Coupon, 0.000%, 12/15/2025, 144A(f) | 7,644,876 | ||||||
|
| |||||||
18,574,667 | ||||||||
|
| |||||||
Gaming – 0.1% |
| |||||||
1,610,000 | Penn National Gaming, Inc., 2.750%, 5/15/2026 | 5,137,510 | ||||||
|
| |||||||
Healthcare – 0.5% |
| |||||||
25,010,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 25,120,957 | ||||||
|
| |||||||
Media Entertainment – 0.2% |
| |||||||
8,280,000 | Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026, 144A(f) | 7,686,653 | ||||||
1,730,000 | Zynga, Inc., Zero Coupon, 0.779%-0.859%, 12/15/2026, 144A(a)(n) | 1,670,531 | ||||||
|
| |||||||
9,357,184 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Convertible Bonds – continued |
| |||||||
Oil Field Services – 0.2% |
| |||||||
$ 10,424,449 | Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash, 11/15/2025, 144A(d)(e)(g)(i)(o)(q) | $ | 10,233,682 | |||||
|
| |||||||
Pharmaceuticals – 0.9% |
| |||||||
8,280,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 8,471,982 | ||||||
27,195,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 27,217,392 | ||||||
5,015,000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(f) | 4,557,318 | ||||||
4,250,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 5,614,633 | ||||||
|
| |||||||
45,861,325 | ||||||||
|
| |||||||
Technology – 0.7% |
| |||||||
16,485,000 | Palo Alto Networks, Inc., 0.375%, 6/01/2025 | 27,217,948 | ||||||
8,585,000 | Splunk, Inc., 1.125%, 6/15/2027 | 8,418,666 | ||||||
|
| |||||||
35,636,614 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $339,263,535) | 344,232,049 | |||||||
|
| |||||||
Municipals – 1.3% |
| |||||||
Virginia – 1.3% |
| |||||||
66,375,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $66,369,229) | 69,308,715 | ||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $4,126,354,036) | 4,230,393,114 | |||||||
|
| |||||||
Senior Loans – 0.9% |
| |||||||
Airlines – 0.1% |
| |||||||
5,883,921 | United Airlines, Inc., 2021 Term Loan B, 3-month LIBOR + 3.750%, 4.500%, 4/21/2028(c) | 5,920,048 | ||||||
|
| |||||||
Chemicals – 0.1% |
| |||||||
7,037,600 | Aruba Investments, Inc., 2020 2nd Lien Term Loan, 3-month LIBOR + 7.750%, 8.500%, 11/24/2028(c) | 7,055,194 | ||||||
|
| |||||||
Healthcare – 0.1% |
| |||||||
4,651,489 | Medline Industries, Inc., USD Term Loan B, 9/20/2028(p) | 4,641,302 | ||||||
|
| |||||||
Independent Energy – 0.3% |
| |||||||
12,660,000 | Ascent Resources - Utica, 2020 Fixed 2nd Lien Term Loan, 3-month LIBOR + 9.000%, 10.000%, 11/01/2025(c) | 13,841,558 | ||||||
|
| |||||||
Lodging – 0.2% |
| |||||||
6,025,787 | Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 1-month LIBOR + 3.000%, 3.500%, 8/02/2028(c) | 6,039,345 |
Principal | Description | Value (†) | ||||||
Senior Loans – continued |
| |||||||
Lodging – continued |
| |||||||
$ 2,375,000 | Motel 6, Term Loan B, 9/09/2026(p) | $ | 2,380,937 | |||||
|
| |||||||
8,420,282 | ||||||||
|
| |||||||
Pharmaceuticals – 0.1% |
| |||||||
5,196,975 | Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 5/05/2028(c) | 5,202,848 | ||||||
|
| |||||||
Total Senior Loans (Identified Cost $43,607,554) | 45,081,232 | |||||||
|
| |||||||
Collateralized Loan Obligations – 2.7% |
| |||||||
4,475,000 | AGL CLO 12 Ltd., Series 2021-12A, Class B, 3-month LIBOR + 1.600%, 1.730%, 7/20/2034, 144A(a)(c) | 4,458,973 | ||||||
4,955,000 | AGL CLO 12 Ltd., Series 2021-12A, Class D, 3-month LIBOR + 2.850%, 2.980%, 7/20/2034, 144A(c) | 4,954,477 | ||||||
1,245,000 | AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3-month LIBOR + 3.100%, 3.226%, 7/15/2034, 144A(c) | 1,244,988 | ||||||
4,390,000 | AIG CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.950%, 3.134%, 4/22/2034, 144A(c) | 4,385,802 | ||||||
3,780,000 | AIG CLO Ltd., Series 2021-2A, Class D, 3-month LIBOR + 3.050%, 3.140%, 7/20/2034, 144A(c) | 3,761,111 | ||||||
2,675,000 | ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%, 3.116%, 10/15/2034, 144A(c) | 2,680,303 | ||||||
6,730,000 | Assurant CLO Ltd., Series 2018-3A, Class DR, 3-month LIBOR + 3.100%, 3.234%, 10/20/2031, 144A(c) | 6,729,922 | ||||||
3,025,000 | Bain Capital Credit CLO Ltd, Series 2017-2A, Class DR2, 3-month LIBOR + 3.100%, 3.235%, 7/25/2034, 144A(c)(d) | 3,025,000 | ||||||
1,505,000 | Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3-month LIBOR + 3.000%, 3.134%, 1/17/2032, 144A(c) | 1,504,985 | ||||||
3,530,000 | CarVal CLO III Ltd., Series 2019-2A, Class DR, 3-month LIBOR + 2.950%, 5.216%, 7/20/2032, 144A(c) | 3,526,507 | ||||||
3,095,000 | CIFC Funding Ltd., Series 2021-5A, Class D, 3-month LIBOR + 3.250%, 3.397%, 7/15/2034, 144A(c) | 3,103,122 | ||||||
4,775,000 | Crown City CLO I, Series 2021-1A, Class CR, 3-month LIBOR + 3.420%, 3.566%, 7/20/2034, 144A(c) | 4,774,940 | ||||||
5,230,000 | Elmwood CLO V Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.100%, 3.217%, 10/20/2034, 144A(c) | 5,250,920 | ||||||
2,890,000 | Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3-month LIBOR + 2.850%, 2.984%, 1/20/2034, 144A(c) | 2,887,163 | ||||||
980,000 | LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 2.000%, 2.134%, 4/20/2031, 144A(a)(c) | 979,032 | ||||||
2,965,000 | LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 3.000%, 3.134%, 4/20/2031, 144A(c) | 2,964,968 | ||||||
10,665,000 | Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3-month LIBOR + 3.200%, 3.329%, 7/27/2031, 144A(c) | 10,675,433 | ||||||
990,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 3.138%, 1/23/2031, 144A(c) | 990,060 | ||||||
6,010,000 | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3-month LIBOR + 1.650%, 1.788%, 7/15/2034, 144A(a)(c) | 6,009,980 | ||||||
8,055,000 | OCP CLO Ltd., Series 2019-17A, Class DR, 3-month LIBOR + 3.100%, 3.234%, 7/20/2032, 144A(c) | 8,054,907 | ||||||
7,155,000 | Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 3.150%, 3.276%, 7/15/2034, 144A(c) | 7,174,195 |
Principal | Description | Value (†) | ||||||
Collateralized Loan Obligations – continued |
| |||||||
$ 3,125,000 | Octagon Investment Partners 46 Ltd., Series 2020-A2, Class DR, 3-month LIBOR + 3.300%, 3.409%, 7/15/2036, 144A(c) | $ | 3,141,794 | |||||
8,250,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3-month LIBOR + 1.650%, 1.798%, 7/02/2035, 144A(a)(c) | 8,257,586 | ||||||
6,450,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 2.900%, 3.048%, 7/02/2035, 144A(c) | 6,449,917 | ||||||
9,695,000 | Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3-month LIBOR + 1.500%, 1.634%, 10/17/2031, 144A(a)(c) | 9,695,622 | ||||||
970,000 | Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 1.831%, 5/21/2034, 144A(a)(c) | 974,799 | ||||||
7,615,000 | Palmer Square CLO Ltd., Series 2015-1A, Class CR4, 3-month LIBOR + 2.850%, 2.981%, 5/21/2034, 144A(c) | 7,614,895 | ||||||
9,760,000 | Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 6.186%, 10/15/2034, 144A(c)(d)(i) | 9,760,000 | ||||||
400,000 | THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3-month LIBOR + 2.950%, 3.084%, 1/20/2031, 144A(c) | 400,008 | ||||||
1,540,000 | Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3-month LIBOR + 3.750%, 3.893%, 10/20/2034, 144A(c) | 1,555,344 | ||||||
|
| |||||||
Total Collateralized Loan Obligations (Identified Cost $136,925,139) | 136,986,753 | |||||||
|
| |||||||
Shares | ||||||||
Common Stocks – 10.3% |
| |||||||
Aerospace & Defense – 0.3% |
| |||||||
43,186 | Lockheed Martin Corp. | 14,903,488 | ||||||
|
| |||||||
Air Freight & Logistics – 0.3% |
| |||||||
83,921 | United Parcel Service, Inc., Class B | 15,282,014 | ||||||
|
| |||||||
Beverages – 0.3% |
| |||||||
281,946 | Coca-Cola Co. (The) | 14,793,707 | ||||||
|
| |||||||
Capital Markets – 0.6% |
| |||||||
18,508 | BlackRock, Inc. | 15,521,919 | ||||||
165,876 | Morgan Stanley | 16,141,394 | ||||||
|
| |||||||
31,663,313 | ||||||||
|
| |||||||
Chemicals – 0.3% |
| |||||||
664,252 | Hexion Holdings Corp., Class B(h) | 14,060,222 | ||||||
|
| |||||||
Communications Equipment – 0.3% |
| |||||||
292,009 | Cisco Systems, Inc. | 15,894,050 | ||||||
|
| |||||||
Electric Utilities – 0.6% |
| |||||||
152,196 | Duke Energy Corp. | 14,852,808 | ||||||
205,783 | NextEra Energy, Inc. | 16,158,081 | ||||||
|
| |||||||
31,010,889 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.2% |
| |||||||
363,031 | Corning, Inc. | 13,247,001 | ||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – continued |
| |||||||
Energy Equipment & Services – 0.0% |
| |||||||
60,638 | Pioneer Energy Services Corp.(d)(e)(g)(h)(i)(q) | $ | 792,539 | |||||
|
| |||||||
Food & Staples Retailing – 0.3% |
| |||||||
113,057 | Walmart, Inc. | 15,757,885 | ||||||
|
| |||||||
Health Care Equipment & Supplies – 0.3% |
| |||||||
132,375 | Abbott Laboratories | 15,637,459 | ||||||
|
| |||||||
Health Care Providers & Services – 0.6% |
| |||||||
41,860 | Anthem, Inc. | 15,605,408 | ||||||
39,038 | UnitedHealth Group, Inc. | 15,253,708 | ||||||
|
| |||||||
30,859,116 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.3% |
| |||||||
131,438 | Starbucks Corp. | 14,498,926 | ||||||
|
| |||||||
Household Products – 0.3% |
| |||||||
114,431 | Procter & Gamble Co. (The) | 15,997,454 | ||||||
|
| |||||||
IT Services – 0.5% |
| |||||||
50,383 | Accenture PLC, Class A | 16,118,529 | ||||||
37,851 | Automatic Data Processing, Inc. | 7,567,172 | ||||||
|
| |||||||
23,685,701 | ||||||||
|
| |||||||
Machinery – 0.4% |
| |||||||
34,614 | Cummins, Inc. | 7,772,920 | ||||||
44,613 | Deere & Co. | 14,948,478 | ||||||
|
| |||||||
22,721,398 | ||||||||
|
| |||||||
Media – 0.5% |
| |||||||
276,609 | Comcast Corp., Class A | 15,470,741 | ||||||
461,939 | iHeartMedia, Inc., Class A(h) | 11,557,714 | ||||||
|
| |||||||
27,028,455 | ||||||||
|
| |||||||
Metals & Mining – 0.3% |
| |||||||
256,528 | Newmont Corp. | 13,929,470 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.8% |
| |||||||
9,229 | Battalion Oil Corp.(h) | 89,798 | ||||||
157,065 | Chevron Corp. | 15,934,244 | ||||||
500,544 | Lonestar Resources U.S., Inc.(d)(e)(g)(h)(i)(q) | 5,355,821 | ||||||
99,587 | Whiting Petroleum Corp.(h) | 5,816,877 | ||||||
632,778 | Williams Cos., Inc. (The) | 16,414,261 | ||||||
|
| |||||||
43,611,001 | ||||||||
|
| |||||||
Pharmaceuticals – 0.8% |
| |||||||
213,017 | Bristol-Myers Squibb Co. | 12,604,216 | ||||||
93,408 | Johnson & Johnson | 15,085,392 | ||||||
209,035 | Merck & Co., Inc. | 15,700,619 | ||||||
|
| |||||||
43,390,227 | ||||||||
|
| |||||||
Professional Services – 0.0% |
| |||||||
5,336 | Clarivate PLC(h) | 116,858 | ||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – continued |
| |||||||
REITs - Diversified – 0.3% |
| |||||||
56,854 | American Tower Corp. | $ | 15,089,620 | |||||
|
| |||||||
Road & Rail – 0.3% |
| |||||||
73,981 | Union Pacific Corp. | 14,501,016 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 0.2% |
| |||||||
43,317 | Texas Instruments, Inc. | 8,325,960 | ||||||
|
| |||||||
Software – 0.3% |
| |||||||
23,768 | iQor Holdings, Inc.(e)(h)(l) | 280,772 | ||||||
56,133 | Microsoft Corp. | 15,825,015 | ||||||
|
| |||||||
16,105,787 | ||||||||
|
| |||||||
Specialty Retail – 0.2% |
| |||||||
24,839 | Home Depot, Inc. (The) | 8,153,650 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.3% |
| |||||||
110,424 | Apple, Inc. | 15,624,996 | ||||||
|
| |||||||
Wireless Telecommunication Services – 0.7% |
| |||||||
279,468 | T-Mobile US, Inc.(h) | 35,704,832 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $557,934,095) | 532,387,034 | |||||||
|
| |||||||
Preferred Stocks – 1.8% |
| |||||||
Convertible Preferred Stocks – 1.5% |
| |||||||
Banking – 0.7% |
| |||||||
19,083 | Bank of America Corp., Series L, 7.250%(a) | 27,525,701 | ||||||
7,500 | Wells Fargo & Co., Class A, Series L, 7.500% | 11,115,000 | ||||||
|
| |||||||
38,640,701 | ||||||||
|
| |||||||
Food & Beverage – 0.1% |
| |||||||
37,280 | Bunge Ltd., 4.875% | 4,434,170 | ||||||
|
| |||||||
Midstream – 0.2% |
| |||||||
242,297 | El Paso Energy Capital Trust I, 4.750% | 12,005,816 | ||||||
|
| |||||||
Technology – 0.2% |
| |||||||
115,400 | Clarivate PLC, Series A, 5.250% | 10,004,026 | ||||||
|
| |||||||
Wireless – 0.3% |
| |||||||
11,832 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(e)(l) | 13,379,271 | ||||||
|
| |||||||
Total Convertible Preferred Stocks (Identified Cost $72,982,071) | 78,463,984 | |||||||
|
|
Shares | Description | Value (†) | ||||||
Preferred Stocks – continued |
| |||||||
Non-Convertible Preferred Stocks – 0.3% |
| |||||||
Finance Companies – 0.0% |
| |||||||
10,425 | iStar, Inc., Series G, 7.650% | $ | 268,548 | |||||
|
| |||||||
Home Construction – 0.1% |
| |||||||
208,246 | Hovnanian Enterprises, Inc., 7.625%(h) | 3,644,305 | ||||||
|
| |||||||
REITs - Office Property – 0.0% |
| |||||||
1,596 | Highwoods Properties, Inc., Series A, 8.625% | 1,995,000 | ||||||
|
| |||||||
REITs - Warehouse/Industrials – 0.2% |
| |||||||
116,192 | Prologis, Inc., Series Q, 8.540% | 8,133,440 | ||||||
|
| |||||||
Total Non-Convertible Preferred Stocks (Identified Cost $8,540,568) | 14,041,293 | |||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $81,522,639) | 92,505,277 | |||||||
|
| |||||||
Closed-End Investment Companies – 0.0% |
| |||||||
170,849 | NexPoint Strategic Opportunities Fund (Identified Cost $10,238,824) | 2,376,510 | ||||||
|
| |||||||
Principal | ||||||||
Short-Term Investments – 1.4% |
| |||||||
$ 72,932,318 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2021 at 0.000% to be repurchased at $72,932,318 on 10/01/2021 collateralized by $86,336,500 U.S. Treasury Bond, 1.125% due 8/15/2040 valued at $74,391,004 including accrued interest(r) (Identified Cost $72,932,318) | 72,932,318 | ||||||
|
| |||||||
Total Investments – 99.0% (Identified Cost $5,029,514,605) | 5,112,662,238 | |||||||
Other assets less liabilities – 1.0% | 53,970,432 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 5,166,632,670 | ||||||
|
|
(†) | 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.
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.
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 | |||||||||||
$ | 57,936,154 | 1.1 | % | $ | 29,965,145 | 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.
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
(††) | Amount shown represents units. One unit represents a principal amount of 1,000. |
(†††) | Amount shown represents units. One unit represents a principal amount of 100. |
(a) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
(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) | Variable rate security. Rate as of September 30, 2021 is disclosed. |
(d) | Level 3 security. Value has been determined using significant unobservable inputs. |
(e) | Illiquid security. |
(f) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(g) | 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 | |||||||||||
GCA2014 Holdings Ltd., Series 2014-1, Class E | 12/18/2014 | $ | 26,738,973 | $ | 568,008 | Less than 0.1% | ||||||||
Lonestar Resources U.S., Inc. | 12/01/2020 | 3,473,775 | * | 5,355,821 | 0.1% | |||||||||
Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash | 5/29/2020 | 9,688,450 | 10,233,682 | 0.2% | ||||||||||
Pioneer Energy Services Corp. | 5/29/2020 | 17,677,239 | ** | 792,539 | Less than 0.1% |
* | Represents basis assigned upon receipt in a taxable restructuring. |
** | Represents basis carried over in a non-taxable restructuring. |
(h) | Non-income producing security. |
(i) | Fair valued by the Fund’s adviser. At September 30, 2021, the value of these securities amounted to $29,965,145 or 0.6% of net assets. |
(j) | Perpetual bond with no specified maturity date. |
(k) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(l) | 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 $57,936,154 or 1.1% of net assets. |
(m) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(n) | 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. |
(o) | 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. |
(p) | Position is unsettled. Contract rate was not determined at September 30, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(q) | Affiliated issuer. |
(r) | 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 investments in repurchase agreements 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 $1,756,875,254 or 34.0% of net assets. |
ABS | Asset-Backed Securities |
EMTN | Euro Medium Term Note |
LIBOR | London Interbank Offered Rate |
MBIA | Municipal Bond Investors Assurance Corp. |
MTN | Medium Term Note |
PIK | Payment-in-Kind |
REITs | Real Estate Investment Trusts |
BRL | Brazilian Real |
INR | Indian Rupee |
MXN | Mexican Peso |
Swap Agreements
The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
Swap agreements are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the over-the-counter (“OTC”) market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.
At September 30, 2021, the Fund had the following open centrally cleared credit default swap agreements:
Sell Protection
Reference Obligation | (Pay)/ Receive Fixed Rate | Expiration Date | Implied Credit Spread^ | Notional Value(‡) | Unamortized Up Front Premium Paid/(Received) | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CDX.NA HY* Series 37 500, 5-Year | 5.00 | % | 12/20/2026 | 3.02 | % | 266,000,000 | $ | 25,143,866 | $ | 24,862,163 | $ | (281,703 | ) | |||||||||||||||
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|
(‡) | Notional value stated in U.S. dollars unless otherwise noted. |
^ | Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
* | CDX.NA.HY is an index composed of North American high yield credit default swaps. |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.
At September 30, 2021, the Fund had the following open forward foreign currency contracts:
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Bank of America, N.A. | 12/02/2021 | BRL | S | 75,391,000 | $ | 14,129,543 | $ | 13,711,958 | $ | 417,585 | ||||||||||||||||||
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|
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 September 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 | 12/21/2021 | 5,261 | $ | 776,233,037 | $ | 764,160,250 | $ | 12,072,787 | ||||||||||||
Ultra Long U.S. Treasury Bond | 12/21/2021 | 69 | 13,520,221 | 13,183,312 | 336,909 | |||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | 12,409,696 | |||||||||||||||||
|
|
Affiliated Transactions
As a result of a business restructuring, the Fund received common shares of Pioneer Energy Services Corp. (the “Company”) and Lonestar Resources U.S., Inc. (the “Company”) constituting more than 5% of the voting securities of the Company. As such, the Company was considered to be an affiliate at September 30, 2021. A summary of affiliated transactions for the period ended September 30, 2021, is as follows:
Beginning Value | Purchase Cost | Sales Proceeds | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Ending Value | Investment Income | |||||||||||||||||||||||||
Pioneer Energy Services Corp., 5.000% PIK or 5.000% Cash | $ | 6,330,947 | $ | 254,256 | * | $ | — | $ | 89,330 | $ | — | $ | 3,559,149 | $ | 10,233,682 | $ | 386,185 | |||||||||||||||
Pioneer Energy Services Corp. | — | — | — | — | — | 792,539 | 792,539 | — | ||||||||||||||||||||||||
Lonestar Resources U.S., Inc. | 3,473,775 | — | — | — | — | 1,882,046 | 5,355,821 | — | ||||||||||||||||||||||||
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$ | 9,804,722 | $ | 254,256 | $ | — | $ | 89,330 | $ | — | $ | 6,233,734 | $ | 16,382,042 | $ | 386,185 | |||||||||||||||||
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* | Represents interest paid in additional principal. |
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 | ||||||||||||||||
ABS Other | $ | — | $ | 41,481,911 | $ | 568,008 | (a) | $ | 42,049,919 | |||||||
Independent Energy | — | 169,218,926 | 1,097,120 | (a) | 170,316,046 | |||||||||||
Property & Casualty Insurance | — | — | 2,157,975 | (a) | 2,157,975 | |||||||||||
All Other Non-Convertible Bonds* | — | 3,602,328,410 | — | 3,602,328,410 | ||||||||||||
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| |||||||||
Total Non-Convertible Bonds | — | 3,813,029,247 | 3,823,103 | 3,816,852,350 | ||||||||||||
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| |||||||||
Convertible Bonds | ||||||||||||||||
Oil Field Services | — | — | 10,233,682 | (a) | 10,233,682 | |||||||||||
All Other Convertible Bonds* | — | 333,998,367 | — | 333,998,367 | ||||||||||||
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| |||||||||
Total Convertible Bonds | — | 333,998,367 | 10,233,682 | 344,232,049 | ||||||||||||
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| |||||||||
Municipals* | — | 69,308,715 | — | 69,308,715 | ||||||||||||
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|
| |||||||||
Total Bonds and Notes | — | 4,216,336,329 | 14,056,785 | 4,230,393,114 | ||||||||||||
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| |||||||||
Senior Loans* | — | 45,081,232 | — | 45,081,232 | ||||||||||||
Collateralized Loan Obligations | — | 124,201,753 | 12,785,000 | (b) | 136,986,753 | |||||||||||
Common Stocks | ||||||||||||||||
Chemicals | — | 14,060,222 | — | 14,060,222 | ||||||||||||
Energy Equipment & Services | — | — | 792,539 | (a) | 792,539 | |||||||||||
Oil, Gas & Consumable Fuels | 38,255,180 | — | 5,355,821 | (a) | 43,611,001 | |||||||||||
Software | 15,825,015 | 280,772 | — | 16,105,787 | ||||||||||||
All Other Common Stocks* | 457,817,485 | — | — | 457,817,485 | ||||||||||||
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|
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|
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| |||||||||
Total Common Stocks | 511,897,680 | 14,340,994 | 6,148,360 | 532,387,034 | ||||||||||||
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| |||||||||
Preferred Stocks | ||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Food & Beverage | — | 4,434,170 | — | 4,434,170 | ||||||||||||
Wireless | — | 13,379,271 | — | 13,379,271 | ||||||||||||
All Other Convertible Preferred Stocks* | 60,650,543 | — | — | 60,650,543 | ||||||||||||
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|
|
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| |||||||||
Total Convertible Preferred Stocks | 60,650,543 | 17,813,441 | — | 78,463,984 | ||||||||||||
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Non-Convertible Preferred Stocks | ||||||||||||||||
REITs - Office Property | — | 1,995,000 | — | 1,995,000 | ||||||||||||
REITs - Warehouse/Industrials | — | 8,133,440 | — | 8,133,440 | ||||||||||||
All Other Non-Convertible Preferred Stocks* | 3,912,853 | — | — | 3,912,853 | ||||||||||||
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Total Non-Convertible Preferred Stocks | 3,912,853 | 10,128,440 | — | 14,041,293 | ||||||||||||
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Total Preferred Stocks | 64,563,396 | 27,941,881 | — | 92,505,277 | ||||||||||||
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Closed-End Investment Companies | 2,376,510 | — | — | 2,376,510 | ||||||||||||
Short-Term Investments | — | 72,932,318 | — | 72,932,318 | ||||||||||||
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Total Investments | 578,837,586 | 4,500,834,507 | 32,990,145 | 5,112,662,238 | ||||||||||||
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Forward Foreign Currency Contracts (unrealized appreciation) | — | 417,585 | — | 417,585 | ||||||||||||
Futures Contracts (unrealized appreciation) | 12,409,696 | — | — | 12,409,696 | ||||||||||||
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Total | $ | 591,247,282 | $ | 4,501,252,092 | $32,990,145 | $ | 5,125,489,519 | |||||||||
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Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation) | $ | — | $ | (281,703 | ) | $ | — | $ | (281,703 | ) | ||||||
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* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(a) | Fair valued by the Fund’s adviser. |
(b) | Fair valued by the Fund’s adviser ($9,760,000) or valued using broker-dealer bid prices ($3,025,000). |
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 | ||||||||||||||||||||||||||||||||||||||||
ABS Other | $ | 14,217,962 | (a) | $ | — | $ | (55,189 | ) | $ | 32,094,204 | $ | 1,429,861 | $ | (47,118,830 | ) | $ | — | $ | — | $ | 568,008 | $ | 6,562,017 | |||||||||||||||||
Independent Energy | — | 224,011 | — | 781,647 | — | — | 91,462 | — | 1,097,120 | 781,647 | ||||||||||||||||||||||||||||||
Property & Casualty Insurance | — | 42,483 | — | (2,263,008 | ) | — | — | 4,378,500 | — | 2,157,975 | (2,263,008 | ) | ||||||||||||||||||||||||||||
Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
Oil Field Services | 6,330,947 | 89,331 | — | 3,559,149 | 254,255 | — | — | — | 10,233,682 | 3,559,149 | ||||||||||||||||||||||||||||||
Senior Loans | ||||||||||||||||||||||||||||||||||||||||
Construction Machinery | 9,862,216 | 436,973 | (6,497,335 | ) | 6,069,631 | — | (9,871,485 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Collateralized Loan Obligations | — | — | — | — | 12,785,000 | — | — | — | 12,785,000 | — | ||||||||||||||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||||||||||||||||||
Energy Equipment & Services | — | (a) | — | — | 792,539 | — | — | — | — | 792,539 | 792,539 | |||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | 3,473,775 | (a) | — | (1,167,146 | ) | 3049,192 | — | — | — | — | 5,355,821 | 1,882,046 | ||||||||||||||||||||||||||||
Specialty Retail | — | (a) | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Energy | — | (a) | — | (122,532,800 | ) | 122,532,800 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Warrants | 9,760,259 | — | — | 8,285,057 | — | (18,045,316 | ) | — | — | — | — | |||||||||||||||||||||||||||||
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Total | $ | 43,645,159 | $ | 792,798 | $ | (130,252,470 | ) | $ | 174,901,211 | $ | 14,469,116 | $ | (75,035,631 | ) | $ | 4,469,962 | $ | — | $ | 32,990,145 | $ | 11,314,390 | ||||||||||||||||||
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(a) | Includes a security fair valued at zero using Level 3 inputs. |
Debt securities valued at $91,462 were transferred from Level 2 to Level 3 during the period ended September 30, 2021. At December 31, 2020, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2021, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the securities.
A debt security valued at $4,738,500 was transferred from Level 2 to Level 3 during the period ended September 30, 2021. At December 31, 2020, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2021, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.
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 forward foreign currency contracts, futures contracts and swap agreements.
The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Fund may also use credit default swaps, as a protection seller, to gain investment exposure. During the period ended September 30, 2021, the Fund engaged in credit default swap agreements (as a protection seller) to gain investment exposure.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended September 30, 2021, the Fund engaged in forward foreign currency contracts for hedging purposes and to gain exposure to foreign currencies.
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. During the period ended September 30, 2021, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of September 30, 2021:
Assets | Unrealized appreciation on forward foreign currency contracts | Swap agreements at value | Unrealized appreciation on futures contracts | |||||||||
Over-the-counter asset derivatives | ||||||||||||
Foreign exchange contracts | $ | 417,585 | $ | — | $ | — | ||||||
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Exchange-traded/cleared asset derivatives | ||||||||||||
Interest rate contracts | $ | — | $ | — | $ | 12,409,696 | ||||||
Credit contracts | — | 24,862,163 | — | |||||||||
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Total exchange-traded assets derivatives | $ | — | $ | 24,862,163 | $ | 12,409,696 | ||||||
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Total asset derivatives | $ | 417,585 | $ | 24,862,163 | $ | 12,409,696 | ||||||
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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.
OTC derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2021, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.
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. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). 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 (i) 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 OTC derivative counterparties and 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, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2021:
Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | |
$49,430,949 | $49,020,949 |
Industry Summary at September 30, 2021 (Unaudited)
Treasuries | 11.5 | % | ||
Cable Satellite | 7.3 | |||
Banking | 5.3 | |||
Finance Companies | 5.3 | |||
Metals & Mining | 3.8 | |||
Independent Energy | 3.6 | |||
Technology | 3.4 | |||
ABS Home Equity | 3.2 | |||
Wireless | 3.0 | |||
Consumer Cyclical Services | 2.9 | |||
Airlines | 2.7 | |||
Aerospace & Defense | 2.7 | |||
Other Investments, less than 2% each | 40.2 | |||
Collateralized Loan Obligations | 2.7 | |||
Short-Term Investments | 1.4 | |||
Closed-End Investment Companies | 0.0 | * | ||
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Total Investments | 99.0 | |||
Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts) | 1.0 | |||
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Net Assets | 100.0 | % | ||
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* | Less than 0.1% |