PORTFOLIO OF INVESTMENTS – as of March 31, 2022 (Unaudited)
Loomis Sayles High Income Fund
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – 90.1% of Net Assets | ||||||||
Non-Convertible Bonds – 84.8% | ||||||||
ABS Home Equity – 0.1% |
| |||||||
$ 113,670 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%, 1.109%, 9/19/2045(a) | $ | 81,724 | |||||
100,000 | VOLT XCVI LLC, Series 2021-NPL5, Class A2, 4.826%, 3/27/2051, 144A(b) | 95,833 | ||||||
|
| |||||||
177,557 | ||||||||
|
| |||||||
Aerospace & Defense – 2.1% |
| |||||||
100,000 | Bombardier, Inc., 6.000%, 2/15/2028, 144A | 93,724 | ||||||
850,000 | Bombardier, Inc., 7.125%, 6/15/2026, 144A | 833,000 | ||||||
95,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 | 95,951 | ||||||
140,000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 | 142,276 | ||||||
263,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A | 299,036 | ||||||
60,000 | Moog, Inc., 4.250%, 12/15/2027, 144A | 58,275 | ||||||
615,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | 577,279 | ||||||
190,000 | Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A | 196,851 | ||||||
235,000 | TransDigm, Inc., 4.625%, 1/15/2029 | 219,718 | ||||||
460,000 | TransDigm, Inc., 4.875%, 5/01/2029 | 431,144 | ||||||
100,000 | TransDigm, Inc., 5.500%, 11/15/2027 | 99,250 | ||||||
|
| |||||||
3,046,504 | ||||||||
|
| |||||||
Airlines – 1.5% |
| |||||||
225,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A | 226,688 | ||||||
1,810,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A | 1,803,212 | ||||||
260,000 | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.750%, 1/20/2026, 144A | 260,148 | ||||||
|
| |||||||
2,290,048 | ||||||||
|
| |||||||
Automotive – 2.4% |
| |||||||
105,000 | Clarios Global LP/Clarios U.S. Finance Co., 8.500%, 5/15/2027, 144A | 108,938 | ||||||
75,000 | Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A | 75,725 | ||||||
815,000 | Ford Motor Co., 3.250%, 2/12/2032 | 727,901 | ||||||
820,000 | Ford Motor Co., 9.000%, 4/22/2025 | 938,998 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Automotive – continued |
| |||||||
$ 820,000 | Ford Motor Credit Co. LLC, 2.300%, 2/10/2025 | $ | 778,358 | |||||
105,000 | Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027 | 101,939 | ||||||
115,000 | Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026 | 114,138 | ||||||
55,000 | Goodyear Tire & Rubber Co. (The), 5.000%, 7/15/2029, 144A | 51,236 | ||||||
180,000 | Goodyear Tire & Rubber Co. (The), 5.250%, 7/15/2031, 144A | 166,446 | ||||||
300,000 | Jaguar Land Rover Automotive PLC, 5.875%, 1/15/2028 | 275,423 | ||||||
40,000 | Meritor, Inc., 4.500%, 12/15/2028, 144A | 40,102 | ||||||
65,000 | Real Hero Merger Sub 2, Inc., 6.250%, 2/01/2029, 144A | 59,223 | ||||||
40,000 | Tenneco, Inc., 7.875%, 1/15/2029, 144A | 42,150 | ||||||
85,000 | Wheel Pros, Inc., 6.500%, 5/15/2029, 144A | 74,481 | ||||||
|
| |||||||
3,555,058 | ||||||||
|
| |||||||
Banking – 1.2% |
| |||||||
410,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 362,358 | ||||||
600,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 575,964 | ||||||
800,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | 764,437 | ||||||
|
| |||||||
1,702,759 | ||||||||
|
| |||||||
Brokerage – 0.2% |
| |||||||
60,000 | Coinbase Global, Inc., 3.625%, 10/01/2031, 144A | 51,150 | ||||||
200,000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.000%, 8/15/2028, 144A | 191,496 | ||||||
|
| |||||||
242,646 | ||||||||
|
| |||||||
Building Materials – 2.3% |
| |||||||
385,000 | Builders FirstSource, Inc., 4.250%, 2/01/2032, 144A | 358,531 | ||||||
265,000 | Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A | 260,659 | ||||||
1,060,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 967,261 | ||||||
285,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A | 283,575 | ||||||
290,000 | Cornerstone Building Brands, Inc., 6.125%, 1/15/2029, 144A | 269,134 | ||||||
50,000 | CP Atlas Buyer, Inc., 7.000%, 12/01/2028, 144A | 42,632 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Building Materials – continued |
| |||||||
$ 375,000 | Foundation Building Materials, Inc., 6.000%, 3/01/2029, 144A | $ | 337,500 | |||||
235,000 | LBM Acquisition LLC, 6.250%, 1/15/2029, 144A | 220,115 | ||||||
130,000 | MIWD Holdco II LLC/MIWD Finance Corp., 5.500%, 2/01/2030, 144A | 121,388 | ||||||
250,000 | Park River Holdings, Inc., 5.625%, 2/01/2029, 144A | 201,933 | ||||||
125,000 | Patrick Industries, Inc., 4.750%, 5/01/2029, 144A | 107,500 | ||||||
105,000 | Standard Industries, Inc., 4.375%, 7/15/2030, 144A | 96,175 | ||||||
45,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A | 44,438 | ||||||
165,000 | Victors Merger Corp., 6.375%, 5/15/2029, 144A | 135,067 | ||||||
|
| |||||||
3,445,908 | ||||||||
|
| |||||||
Cable Satellite – 8.4% |
| |||||||
410,000 | Altice Financing S.A., 5.000%, 1/15/2028, 144A | 367,504 | ||||||
80,000 | Block Communications, Inc., 4.875%, 3/01/2028, 144A | 77,200 | ||||||
725,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | 660,823 | ||||||
610,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A | 529,782 | ||||||
305,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A | 286,179 | ||||||
1,355,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A | 1,301,125 | ||||||
620,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A | 577,369 | ||||||
205,000 | Connect Finco S.a.r.l./Connect U.S. Finco LLC, 6.750%, 10/01/2026, 144A | 208,565 | ||||||
435,000 | CSC Holdings LLC, 4.500%, 11/15/2031, 144A | 389,877 | ||||||
555,000 | CSC Holdings LLC, 4.625%, 12/01/2030 | 464,141 | ||||||
2,720,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 2,274,709 | ||||||
205,000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A | 171,761 | ||||||
250,000 | CSC Holdings LLC, 5.750%, 1/15/2030 | 222,500 | ||||||
730,000 | DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A | 718,137 | ||||||
680,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 579,081 | ||||||
150,000 | DISH DBS Corp., 7.375%, 7/01/2028 | 142,125 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Cable Satellite – continued |
| |||||||
$ 675,000 | DISH DBS Corp., 7.750%, 7/01/2026 | $ | 670,612 | |||||
283,707 | Ligado Networks LLC, 15.500% PIK, 11/01/2023, 144A(c) | 215,314 | ||||||
93,081 | Ligado Networks LLC, 17.500% PIK, 5/01/2024, 144A(c) | 43,076 | ||||||
300,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028, 144A | 283,688 | ||||||
800,000 | Telenet Finance Luxembourg Notes S.a.r.l., 5.500%, 3/01/2028, 144A | 782,488 | ||||||
125,000 | Telesat Canada/Telesat LLC, 5.625%, 12/06/2026, 144A | 95,450 | ||||||
310,000 | UPC Broadband Finco B.V., 4.875%, 7/15/2031, 144A | 291,050 | ||||||
110,000 | ViaSat, Inc., 6.500%, 7/15/2028, 144A | 105,600 | ||||||
475,000 | Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A | 448,635 | ||||||
600,000 | Ziggo BV, 4.875%, 1/15/2030, 144A | 564,810 | ||||||
|
| |||||||
12,471,601 | ||||||||
|
| |||||||
Chemicals – 1.1% |
| |||||||
150,000 | ASP Unifrax Holdings, Inc., 5.250%, 9/30/2028, 144A | 139,340 | ||||||
55,000 | Chemours Co. (The), 5.375%, 5/15/2027 | 54,863 | ||||||
150,000 | Consolidated Energy Finance S.A., 5.625%, 10/15/2028, 144A | 138,750 | ||||||
150,000 | Consolidated Energy Finance S.A., 6.500%, 5/15/2026, 144A | 153,101 | ||||||
75,000 | Diamond BC BV, 4.625%, 10/01/2029, 144A | 67,123 | ||||||
330,000 | Hercules LLC, 6.500%, 6/30/2029 | 350,674 | ||||||
80,000 | Methanex Corp., 5.125%, 10/15/2027 | 80,400 | ||||||
20,000 | Methanex Corp., 5.250%, 12/15/2029 | 20,300 | ||||||
185,000 | Olin Corp., 5.000%, 2/01/2030 | 183,150 | ||||||
65,000 | Olin Corp., 5.125%, 9/15/2027 | 64,791 | ||||||
5,000 | Olin Corp., 5.625%, 8/01/2029 | 5,062 | ||||||
465,000 | Olympus Water U.S. Holding Corp., 4.250%, 10/01/2028, 144A | 422,306 | ||||||
|
| |||||||
1,679,860 | ||||||||
|
| |||||||
Construction Machinery – 0.1% |
| |||||||
75,000 | Ritchie Bros Holdings, Inc., 4.750%, 12/15/2031, 144A | 73,133 | ||||||
125,000 | Titan International, Inc., 7.000%, 4/30/2028 | 125,402 | ||||||
|
| |||||||
198,535 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Consumer Cyclical Services – 2.9% |
| |||||||
$ 640,000 | ADT Security Corp. (The), 4.125%, 8/01/2029, 144A | $ | 594,400 | |||||
200,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.000%, 6/01/2029, 144A | 176,433 | ||||||
95,000 | ANGI Group LLC, 3.875%, 8/15/2028, 144A | 80,478 | ||||||
35,000 | Arches Buyer, Inc., 6.125%, 12/01/2028, 144A | 32,352 | ||||||
45,000 | Match Group Holdings II LLC, 3.625%, 10/01/2031, 144A | 40,250 | ||||||
440,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.250%, 4/15/2030, 144A | 404,800 | ||||||
330,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.750%, 1/15/2029, 144A | 311,025 | ||||||
240,000 | Terminix Co. LLC (The), 7.450%, 8/15/2027 | 271,680 | ||||||
60,000 | TKC Holdings, Inc., 10.500%, 5/15/2029, 144A | 61,200 | ||||||
1,555,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 1,457,813 | ||||||
760,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 785,794 | ||||||
|
| |||||||
4,216,225 | ||||||||
|
| |||||||
Consumer Products – 0.6% |
| |||||||
20,000 | Coty, Inc., 6.500%, 4/15/2026, 144A | 19,886 | ||||||
305,000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.750%, 1/15/2029, 144A | 284,600 | ||||||
250,000 | Energizer Holdings, Inc., 4.375%, 3/31/2029, 144A | 218,871 | ||||||
175,000 | Prestige Brands, Inc., 5.125%, 1/15/2028, 144A | 173,687 | ||||||
135,000 | Tempur Sealy International, Inc., 3.875%, 10/15/2031, 144A | 115,763 | ||||||
|
| |||||||
812,807 | ||||||||
|
| |||||||
Diversified Manufacturing – 0.3% |
| |||||||
120,000 | Madison IAQ LLC, 5.875%, 6/30/2029, 144A | 107,700 | ||||||
120,000 | Resideo Funding, Inc., 4.000%, 9/01/2029, 144A | 109,206 | ||||||
200,000 | TK Elevator U.S. Newco, Inc., 5.250%, 7/15/2027, 144A | 197,806 | ||||||
|
| |||||||
414,712 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Electric – 1.1% |
| |||||||
$ 1,060,000 | Calpine Corp., 5.125%, 3/15/2028, 144A | $ | 1,009,735 | |||||
315,000 | NRG Energy, Inc., 3.625%, 2/15/2031, 144A | 277,071 | ||||||
40,000 | NRG Energy, Inc., 3.875%, 2/15/2032, 144A | 35,200 | ||||||
140,000 | PG&E Corp., 5.000%, 7/01/2028 | 135,324 | ||||||
25,000 | PG&E Corp., 5.250%, 7/01/2030 | 24,247 | ||||||
150,000 | Talen Energy Supply LLC, 7.625%, 6/01/2028, 144A | 138,945 | ||||||
|
| |||||||
1,620,522 | ||||||||
|
| |||||||
Environmental – 0.2% |
| |||||||
315,000 | GFL Environmental, Inc., 4.000%, 8/01/2028, 144A | 289,800 | ||||||
|
| |||||||
Finance Companies – 4.7% |
| |||||||
455,000 | Cobra AcquisitionCo LLC, 6.375%, 11/01/2029, 144A | 390,162 | ||||||
105,000 | Fortress Transportation & Infrastructure Investors LLC, 5.500%, 5/01/2028, 144A | 95,461 | ||||||
375,000 | Freedom Mortgage Corp., 7.625%, 5/01/2026, 144A | 358,125 | ||||||
150,000 | Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024, 144A(d) | 136,280 | ||||||
115,000 | LFS Topco LLC, 5.875%, 10/15/2026, 144A | 107,813 | ||||||
385,000 | Midcap Financial Issuer Trust, 6.500%, 5/01/2028, 144A | 362,100 | ||||||
655,000 | Navient Corp., 4.875%, 3/15/2028 | 602,376 | ||||||
170,000 | Navient Corp., 5.000%, 3/15/2027 | 161,925 | ||||||
840,000 | Navient Corp., 5.500%, 3/15/2029 | 782,250 | ||||||
95,000 | Navient Corp., 6.750%, 6/25/2025 | 97,596 | ||||||
785,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 692,762 | ||||||
190,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 184,598 | ||||||
365,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 390,145 | ||||||
220,000 | Oxford Finance LLC/Oxford Finance Co-Issuer II, Inc., 6.375%, 2/01/2027, 144A | 224,231 | ||||||
275,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A | 270,397 | ||||||
115,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 105,587 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Finance Companies – continued |
| |||||||
$ 380,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 | $ | 347,263 | |||||
890,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 805,450 | ||||||
975,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 854,002 | ||||||
|
| |||||||
6,968,523 | ||||||||
|
| |||||||
Financial Other – 2.5% |
| |||||||
210,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 66,725 | ||||||
200,000 | CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(e)(f)(g) | 29,136 | ||||||
200,000 | CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(e) | 28,898 | ||||||
200,000 | China Aoyuan Group Ltd., 6.200%, 3/24/2026(e) | 34,456 | ||||||
200,000 | China Evergrande Group, 8.750%, 6/28/2025(e) | 24,836 | ||||||
200,000 | Easy Tactic Ltd., 8.125%, 2/27/2023 | 41,770 | ||||||
105,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 96,338 | ||||||
1,970,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 1,933,407 | ||||||
70,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026 | 71,400 | ||||||
200,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(e) | 37,750 | ||||||
200,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(e) | 37,994 | ||||||
400,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(e) | 75,068 | ||||||
225,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030, 144A | 208,125 | ||||||
620,000 | Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031, 144A | 591,300 | ||||||
120,000 | Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027, 144A | 122,112 | ||||||
200,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(f)(g) | 57,980 | ||||||
200,000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026 | 47,538 | ||||||
200,000 | Sunac China Holdings Ltd., 6.650%, 8/03/2024(f)(g) | 50,726 | ||||||
200,000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 75,834 | ||||||
400,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(e)(f)(g) | 52,060 | ||||||
|
| |||||||
3,683,453 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Food & Beverage – 2.0% |
| |||||||
$ 65,000 | Aramark Services, Inc., 5.000%, 2/01/2028, 144A | $ | 63,050 | |||||
165,000 | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A | 164,175 | ||||||
925,000 | MARB BondCo PLC, 3.950%, 1/29/2031, 144A | 820,937 | ||||||
140,000 | Performance Food Group, Inc., 4.250%, 8/01/2029, 144A | 127,575 | ||||||
230,000 | Performance Food Group, Inc., 5.500%, 10/15/2027, 144A | 228,896 | ||||||
370,000 | Post Holdings, Inc., 4.500%, 9/15/2031, 144A | 327,816 | ||||||
645,000 | Post Holdings, Inc., 4.625%, 4/15/2030, 144A | 580,790 | ||||||
135,000 | Post Holdings, Inc., 5.500%, 12/15/2029, 144A | 129,894 | ||||||
105,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029, 144A | 98,438 | ||||||
120,000 | TreeHouse Foods, Inc., 4.000%, 9/01/2028 | 101,607 | ||||||
140,000 | Triton Water Holdings, Inc., 6.250%, 4/01/2029, 144A | 119,363 | ||||||
205,000 | US Foods, Inc., 4.750%, 2/15/2029, 144A | 195,519 | ||||||
|
| |||||||
2,958,060 | ||||||||
|
| |||||||
Gaming – 3.1% |
| |||||||
520,000 | Boyd Gaming Corp., 4.750%, 12/01/2027 | 517,400 | ||||||
165,000 | Boyd Gaming Corp., 4.750%, 6/15/2031, 144A | 159,019 | ||||||
330,000 | Caesars Entertainment, Inc., 4.625%, 10/15/2029, 144A | 308,550 | ||||||
220,000 | Caesars Entertainment, Inc., 6.250%, 7/01/2025, 144A | 227,137 | ||||||
190,000 | Caesars Entertainment, Inc., 8.125%, 7/01/2027, 144A | 203,576 | ||||||
100,000 | Caesars Resort Collection LLC/CRC Finco, Inc., 5.750%, 7/01/2025, 144A | 102,059 | ||||||
220,000 | International Game Technology PLC, 5.250%, 1/15/2029, 144A | 219,450 | ||||||
400,000 | Melco Resorts Finance Ltd., 5.375%, 12/04/2029, 144A | 339,000 | ||||||
200,000 | MGM China Holdings Ltd., 4.750%, 2/01/2027, 144A | 175,922 | ||||||
205,000 | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.500%, 1/15/2028 | 206,537 | ||||||
255,000 | MGM Resorts International, 5.500%, 4/15/2027 | 257,550 | ||||||
110,000 | Mohegan Gaming & Entertainment, 8.000%, 2/01/2026, 144A | 109,312 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Gaming – continued |
| |||||||
$ 575,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | $ | 595,985 | |||||
330,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 345,675 | ||||||
200,000 | Studio City Finance Ltd., 5.000%, 1/15/2029, 144A | 154,568 | ||||||
230,000 | Studio City Finance Ltd., 6.500%, 1/15/2028, 144A | 198,950 | ||||||
450,000 | Wynn Macau Ltd., 5.125%, 12/15/2029, 144A | 381,375 | ||||||
165,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A | 155,306 | ||||||
|
| |||||||
4,657,371 | ||||||||
|
| |||||||
Government Owned - No Guarantee – 0.4% |
| |||||||
135,000 | EcoPetrol S.A., 4.625%, 11/02/2031 | 122,175 | ||||||
340,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 313,824 | ||||||
280,000 | YPF S.A., 6.950%, 7/21/2027, 144A | 209,623 | ||||||
|
| |||||||
645,622 | ||||||||
|
| |||||||
Healthcare – 3.8% |
| |||||||
100,000 | AdaptHealth LLC, 5.125%, 3/01/2030, 144A | 92,875 | ||||||
110,000 | AHP Health Partners, Inc., 5.750%, 7/15/2029, 144A | 102,300 | ||||||
710,000 | CHS/Community Health Systems, Inc., 5.250%, 5/15/2030, 144A | 681,451 | ||||||
270,000 | CHS/Community Health Systems, Inc., 6.125%, 4/01/2030, 144A | 251,227 | ||||||
65,000 | CHS/Community Health Systems, Inc., 6.875%, 4/15/2029, 144A | 63,863 | ||||||
235,000 | CHS/Community Health Systems, Inc., 8.000%, 3/15/2026, 144A | 244,734 | ||||||
400,000 | DaVita, Inc., 3.750%, 2/15/2031, 144A | 350,000 | ||||||
180,000 | DaVita, Inc., 4.625%, 6/01/2030, 144A | 168,084 | ||||||
155,000 | Encompass Health Corp., 4.500%, 2/01/2028 | 151,900 | ||||||
300,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 288,000 | ||||||
310,000 | HCA, Inc., 7.050%, 12/01/2027 | 348,362 | ||||||
145,000 | HCA, Inc., 7.500%, 11/06/2033 | 181,975 | ||||||
115,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 144,612 | ||||||
470,000 | LifePoint Health, Inc., 5.375%, 1/15/2029, 144A | 444,095 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Healthcare – continued |
| |||||||
$ 75,000 | ModivCare Escrow Issuer, Inc., 5.000%, 10/01/2029, 144A | $ | 69,916 | |||||
40,000 | ModivCare, Inc., 5.875%, 11/15/2025, 144A | 40,387 | ||||||
210,000 | Mozart Debt Merger Sub, Inc., 5.250%, 10/01/2029, 144A | 195,231 | ||||||
325,000 | MPH Acquisition Holdings LLC, 5.750%, 11/01/2028, 144A | 293,452 | ||||||
75,000 | RP Escrow Issuer LLC, 5.250%, 12/15/2025, 144A | 73,236 | ||||||
615,000 | Tenet Healthcare Corp., 4.375%, 1/15/2030, 144A | 590,874 | ||||||
100,000 | Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A | 98,125 | ||||||
345,000 | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A | 350,606 | ||||||
355,000 | Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A | 364,441 | ||||||
95,000 | U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026, 144A | 93,812 | ||||||
|
| |||||||
5,683,558 | ||||||||
|
| |||||||
Home Construction – 0.6% |
| |||||||
215,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030, 144A | 192,289 | ||||||
1,200,000 | Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(e)(h)(i) | — | ||||||
100,000 | Empire Communities Corp., 7.000%, 12/15/2025, 144A | 98,800 | ||||||
220,000 | Fantasia Holdings Group Co. Ltd., 11.875%, 6/01/2023(e) | 31,579 | ||||||
40,000 | Forestar Group, Inc., 3.850%, 5/15/2026, 144A | 37,300 | ||||||
230,000 | KB Home, 4.800%, 11/15/2029 | 222,010 | ||||||
185,000 | Taylor Morrison Communities, Inc., 5.750%, 1/15/2028, 144A | 190,550 | ||||||
400,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(f)(g) | 45,280 | ||||||
200,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(f)(g) | 21,838 | ||||||
|
| |||||||
839,646 | ||||||||
|
| |||||||
Independent Energy – 5.7% |
| |||||||
85,000 | Antero Resources Corp., 5.375%, 3/01/2030, 144A | 86,806 | ||||||
120,000 | Apache Corp., 5.350%, 7/01/2049 | 115,500 | ||||||
220,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.875%, 6/30/2029, 144A | 217,380 | ||||||
215,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026, 144A | 220,480 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Independent Energy – continued |
| |||||||
$ 230,000 | Baytex Energy Corp., 8.750%, 4/01/2027, 144A | $ | 246,675 | |||||
45,000 | California Resources Corp., 7.125%, 2/01/2026, 144A | 46,790 | ||||||
435,000 | Callon Petroleum Co., 8.000%, 8/01/2028, 144A | 458,564 | ||||||
115,000 | Centennial Resource Production LLC, 6.875%, 4/01/2027, 144A | 115,587 | ||||||
240,000 | Chesapeake Energy Corp., 5.500%, 2/01/2026, 144A | 245,780 | ||||||
120,000 | Chesapeake Energy Corp., 6.750%, 4/15/2029, 144A | 127,096 | ||||||
105,000 | Comstock Resources, Inc., 6.750%, 3/01/2029, 144A | 108,316 | ||||||
150,000 | Crescent Energy Finance LLC, 7.250%, 5/01/2026, 144A | 150,699 | ||||||
165,000 | Energean Israel Finance Ltd., 4.875%, 3/30/2026, 144A | 159,225 | ||||||
85,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 81,728 | ||||||
81,000 | Energy Ventures GoM LLC/EnVen Finance Corp., 11.750%, 4/15/2026, 144A | 83,217 | ||||||
20,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 19,425 | ||||||
40,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 38,200 | ||||||
5,000 | EQT Corp., 5.000%, 1/15/2029 | 5,162 | ||||||
55,000 | EQT Corp., 6.625%, 2/01/2025 | 58,095 | ||||||
225,000 | EQT Corp., 7.500%, 2/01/2030 | 260,719 | ||||||
60,000 | Laredo Petroleum, Inc., 7.750%, 7/31/2029, 144A | 60,377 | ||||||
85,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 86,458 | ||||||
285,000 | Matador Resources Co., 5.875%, 9/15/2026 | 290,216 | ||||||
125,000 | MEG Energy Corp., 5.875%, 2/01/2029, 144A | 126,719 | ||||||
345,000 | MEG Energy Corp., 7.125%, 2/01/2027, 144A | 361,215 | ||||||
130,000 | Murphy Oil Corp., 6.375%, 12/01/2042 | 124,600 | ||||||
425,000 | Northern Oil & Gas, Inc., 8.125%, 3/01/2028, 144A | 442,773 | ||||||
65,000 | Oasis Petroleum, Inc., 6.375%, 6/01/2026, 144A | 66,625 | ||||||
40,000 | Occidental Petroleum Corp., 3.000%, 2/15/2027 | 39,100 | ||||||
155,000 | Occidental Petroleum Corp., 3.500%, 8/15/2029 | 152,675 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Independent Energy – continued |
| |||||||
$ 300,000 | Occidental Petroleum Corp., 4.100%, 2/15/2047 | $ | 277,500 | |||||
210,000 | Occidental Petroleum Corp., 4.200%, 3/15/2048 | 196,350 | ||||||
50,000 | Occidental Petroleum Corp., 4.400%, 4/15/2046 | 47,500 | ||||||
145,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 153,700 | ||||||
340,000 | Occidental Petroleum Corp., 6.600%, 3/15/2046 | 399,500 | ||||||
85,000 | Occidental Petroleum Corp., 7.500%, 5/01/2031 | 103,700 | ||||||
40,000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 | 49,900 | ||||||
110,000 | Occidental Petroleum Corp., 8.500%, 7/15/2027 | 130,209 | ||||||
605,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 | 775,912 | ||||||
115,000 | PDC Energy, Inc., 5.750%, 5/15/2026 | 116,580 | ||||||
120,000 | Penn Virginia Holdings LLC, 9.250%, 8/15/2026, 144A | 126,576 | ||||||
38,000 | Range Resources Corp., 5.000%, 3/15/2023 | 38,266 | ||||||
85,000 | Range Resources Corp., 8.250%, 1/15/2029 | 93,152 | ||||||
110,000 | SM Energy Co., 5.625%, 6/01/2025 | 109,863 | ||||||
285,000 | SM Energy Co., 6.500%, 7/15/2028 | 294,100 | ||||||
165,000 | SM Energy Co., 6.750%, 9/15/2026 | 169,665 | ||||||
25,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 24,969 | ||||||
290,000 | Southwestern Energy Co., 5.375%, 2/01/2029 | 293,625 | ||||||
140,000 | Southwestern Energy Co., 5.375%, 3/15/2030 | 142,269 | ||||||
20,000 | Southwestern Energy Co., 7.750%, 10/01/2027 | 21,175 | ||||||
115,000 | Strathcona Resources Ltd., 6.875%, 8/01/2026, 144A | 115,863 | ||||||
95,000 | Tap Rock Resources LLC, 7.000%, 10/01/2026, 144A | 98,336 | ||||||
|
| |||||||
8,374,912 | ||||||||
|
| |||||||
Industrial Other – 0.2% |
| |||||||
220,000 | Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026, 144A | 211,801 | ||||||
130,000 | Installed Building Products, Inc., 5.750%, 2/01/2028, 144A | 126,750 | ||||||
|
| |||||||
338,551 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Leisure – 3.5% |
| |||||||
$ 80,000 | Boyne USA, Inc., 4.750%, 5/15/2029, 144A | $ | 76,800 | |||||
875,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | 834,457 | ||||||
260,000 | Carnival Corp., 6.000%, 5/01/2029, 144A | 245,008 | ||||||
210,000 | Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium OP, 6.500%, 10/01/2028 | 213,675 | ||||||
125,000 | Cinemark USA, Inc., 5.250%, 7/15/2028, 144A | 116,735 | ||||||
110,000 | Live Nation Entertainment, Inc., 3.750%, 1/15/2028, 144A | 103,387 | ||||||
370,000 | Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A | 360,750 | ||||||
655,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 622,355 | ||||||
10,000 | NCL Corp. Ltd., 5.875%, 3/15/2026 | 9,502 | ||||||
285,000 | NCL Corp. Ltd., 7.750%, 2/15/2029, 144A | 288,674 | ||||||
70,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 64,914 | ||||||
125,000 | Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028 | 111,421 | ||||||
325,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A | 302,312 | ||||||
1,065,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 1,015,275 | ||||||
120,000 | SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029, 144A | 114,449 | ||||||
180,000 | Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A | 175,050 | ||||||
115,000 | Viking Cruises Ltd., 5.875%, 9/15/2027, 144A | 104,813 | ||||||
375,000 | Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029, 144A | 342,282 | ||||||
110,000 | VOC Escrow Ltd., 5.000%, 2/15/2028, 144A | 102,299 | ||||||
|
| |||||||
5,204,158 | ||||||||
|
| |||||||
Lodging – 1.5% |
| |||||||
370,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 353,089 | ||||||
100,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 94,250 | ||||||
605,000 | Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028 | 582,313 | ||||||
1,195,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 1,108,147 | ||||||
20,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 18,600 | ||||||
15,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 15,450 | ||||||
|
| |||||||
2,171,849 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Media Entertainment – 2.7% |
| |||||||
$ 305,000 | AMC Networks, Inc., 4.250%, 2/15/2029 | $ | 284,624 | |||||
390,000 | Audacy Capital Corp., 6.750%, 3/31/2029, 144A | 364,198 | ||||||
130,000 | Deluxe Corp., 8.000%, 6/01/2029, 144A | 132,040 | ||||||
310,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A | 120,125 | ||||||
140,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027, 144A | 28,833 | ||||||
170,000 | Gray Escrow II, Inc., 5.375%, 11/15/2031, 144A | 162,557 | ||||||
355,000 | Gray Television, Inc., 4.750%, 10/15/2030, 144A | 329,706 | ||||||
395,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 377,225 | ||||||
160,000 | Lamar Media Corp., 3.750%, 2/15/2028 | 151,927 | ||||||
55,000 | Lions Gate Capital Holdings LLC, 5.500%, 4/15/2029, 144A | 53,006 | ||||||
310,000 | McGraw-Hill Education, Inc., 5.750%, 8/01/2028, 144A | 295,669 | ||||||
175,000 | McGraw-Hill Education, Inc., 8.000%, 8/01/2029, 144A | 165,392 | ||||||
80,000 | Netflix, Inc., 4.875%, 4/15/2028 | 83,900 | ||||||
205,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 218,673 | ||||||
5,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 5,413 | ||||||
45,000 | Netflix, Inc., 5.875%, 11/15/2028 | 49,604 | ||||||
60,000 | Netflix, Inc., 6.375%, 5/15/2029 | 67,847 | ||||||
105,000 | Nexstar Media, Inc., 5.625%, 7/15/2027, 144A | 106,281 | ||||||
120,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A | 112,950 | ||||||
35,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 6.250%, 6/15/2025, 144A | 35,919 | ||||||
65,000 | Playtika Holding Corp., 4.250%, 3/15/2029, 144A | 59,963 | ||||||
120,000 | Scripps Escrow II, Inc., 5.375%, 1/15/2031, 144A | 114,900 | ||||||
185,000 | Sinclair Television Group, Inc., 5.125%, 2/15/2027, 144A | 167,887 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Media Entertainment – continued |
| |||||||
$ 120,000 | Stagwell Global LLC, 5.625%, 8/15/2029, 144A | $ | 113,269 | |||||
170,000 | Terrier Media Buyer, Inc., 8.875%, 12/15/2027, 144A | 172,975 | ||||||
45,000 | Townsquare Media, Inc., 6.875%, 2/01/2026, 144A | 46,343 | ||||||
100,000 | Univision Communications, Inc., 6.625%, 6/01/2027, 144A | 104,750 | ||||||
|
| |||||||
3,925,976 | ||||||||
|
| |||||||
Metals & Mining – 3.4% |
| |||||||
120,000 | Allegheny Technologies, Inc., 4.875%, 10/01/2029 | 113,723 | ||||||
160,000 | Allegheny Technologies, Inc., 5.125%, 10/01/2031 | 150,037 | ||||||
60,000 | Allegheny Technologies, Inc., 5.875%, 12/01/2027 | 59,958 | ||||||
25,000 | Carpenter Technology Corp., 6.375%, 7/15/2028 | 25,101 | ||||||
200,000 | Cia de Minas Buenaventura SAA, 5.500%, 7/23/2026, 144A | 196,752 | ||||||
300,000 | Cleveland-Cliffs, Inc., 4.625%, 3/01/2029, 144A | 295,889 | ||||||
139,000 | Cleveland-Cliffs, Inc., 9.875%, 10/17/2025, 144A | 154,985 | ||||||
175,000 | Commercial Metals Co., 4.125%, 1/15/2030 | 163,406 | ||||||
845,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 868,533 | ||||||
1,245,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 1,304,137 | ||||||
340,000 | Freeport-McMoRan, Inc., 4.250%, 3/01/2030 | 342,268 | ||||||
20,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 22,201 | ||||||
60,000 | GrafTech Finance, Inc., 4.625%, 12/15/2028, 144A | 55,795 | ||||||
480,000 | Mineral Resources Ltd., 8.125%, 5/01/2027, 144A | 496,200 | ||||||
525,000 | Novelis Corp., 4.750%, 1/30/2030, 144A | 509,704 | ||||||
50,000 | SunCoke Energy, Inc., 4.875%, 6/30/2029, 144A | 47,139 | ||||||
210,000 | United States Steel Corp., 6.875%, 3/01/2029 | 218,400 | ||||||
40,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 38,300 | ||||||
|
| |||||||
5,062,528 | ||||||||
|
| |||||||
Midstream – 3.4% |
| |||||||
85,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.375%, 6/15/2029, 144A | 84,913 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Midstream – continued |
| |||||||
$ 250,000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.625%, 12/15/2025, 144A | $ | 261,402 | |||||
185,000 | Buckeye Partners LP, 4.500%, 3/01/2028, 144A | 177,223 | ||||||
80,000 | Buckeye Partners LP, 5.600%, 10/15/2044 | 67,063 | ||||||
55,000 | Buckeye Partners LP, 5.850%, 11/15/2043 | 46,884 | ||||||
115,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.000%, 2/01/2029, 144A | 114,569 | ||||||
180,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 185,128 | ||||||
230,000 | DCP Midstream Operating LP, 5.625%, 7/15/2027 | 241,164 | ||||||
130,000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044 | 112,125 | ||||||
110,000 | EQM Midstream Partners LP, 6.000%, 7/01/2025, 144A | 112,205 | ||||||
200,000 | EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A | 208,908 | ||||||
105,000 | EQM Midstream Partners LP, 6.500%, 7/15/2048 | 101,325 | ||||||
160,000 | EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028 | 160,626 | ||||||
115,000 | Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026, 144A | 108,590 | ||||||
300,000 | Genesis Energy LP/Genesis Energy Finance Corp., 7.750%, 2/01/2028 | 301,591 | ||||||
120,000 | Harvest Midstream I LP, 7.500%, 9/01/2028, 144A | 122,566 | ||||||
150,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A | 141,540 | ||||||
665,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A | 682,257 | ||||||
50,000 | New Fortress Energy, Inc., 6.500%, 9/30/2026, 144A | 49,539 | ||||||
265,000 | New Fortress Energy, Inc., 6.750%, 9/15/2025, 144A | 266,566 | ||||||
145,000 | NuStar Logistics LP, 5.750%, 10/01/2025 | 147,719 | ||||||
125,000 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031, 144A | 117,188 | ||||||
155,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 156,550 | ||||||
410,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | 425,801 | ||||||
100,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 101,376 | ||||||
475,000 | Western Midstream Operating LP, 5.750%, 2/01/2050 | 463,125 | ||||||
|
| |||||||
4,957,943 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Non-Agency Commercial Mortgage-Backed Securities – 1.7% |
| |||||||
$ 97,780 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1-month LIBOR + 3.500%, 3.897%, 11/15/2031, 144A(a)(f)(g) | $ | 79,104 | |||||
220,004 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1-month LIBOR + 4.500%, 4.897%, 11/15/2031, 144A(a)(f)(g) | 169,997 | ||||||
260,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 4.947%, 5/10/2047, 144A(b) | 244,053 | ||||||
100,000 | Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A | 97,615 | ||||||
1,020,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A | 861,948 | ||||||
45,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.163%, 8/10/2044, 144A(b) | 37,199 | ||||||
100,000 | GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.688%, 6/10/2047, 144A(b) | 90,551 | ||||||
245,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(b) | 234,807 | ||||||
250,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class D, 4.675%, 10/15/2045, 144A(b) | 246,301 | ||||||
100,000 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.282%, 10/15/2030, 144A(b) | 91,058 | ||||||
380,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.897%, 11/15/2027, 144A(a)(g)(h)(i) | 102,021 | ||||||
420,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.797%, 11/15/2027, 144A(a)(g)(h)(i) | 40,753 | ||||||
145,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class C, 4.458%, 8/15/2050 | 90,176 | ||||||
60,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.172%, 11/15/2059(b) | 51,403 | ||||||
100,338 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.294%, 3/15/2044, 144A(b) | 43,647 | ||||||
80,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.347%, 12/15/2045(b) | 73,351 | ||||||
125,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.779%, 6/15/2045, 144A(b)(f)(g) | 18,437 | ||||||
|
| |||||||
2,572,421 | ||||||||
|
| |||||||
Oil Field Services – 0.8% |
| |||||||
125,000 | Nabors Industries, Inc., 7.375%, 5/15/2027, 144A | 129,849 | ||||||
90,000 | Precision Drilling Corp., 6.875%, 1/15/2029, 144A | 91,350 | ||||||
10,000 | Precision Drilling Corp., 7.125%, 1/15/2026, 144A | 10,200 | ||||||
55,000 | Solaris Midstream Holdings LLC, 7.625%, 4/01/2026, 144A | 56,788 | ||||||
147,600 | Transocean Pontus Ltd., 6.125%, 8/01/2025, 144A | 146,751 | ||||||
384,375 | Transocean Poseidon Ltd., 6.875%, 2/01/2027, 144A | 380,531 | ||||||
47,500 | Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A | 47,144 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Oil Field Services – continued |
| |||||||
$ 140,000 | Transocean, Inc., 8.000%, 2/01/2027, 144A | $ | 118,580 | |||||
60,000 | Transocean, Inc., 11.500%, 1/30/2027, 144A | 61,950 | ||||||
180,000 | Weatherford International Ltd., 8.625%, 4/30/2030, 144A | 182,763 | ||||||
20,000 | Weatherford International Ltd., 11.000%, 12/01/2024, 144A | 20,700 | ||||||
|
| |||||||
1,246,606 | ||||||||
|
| |||||||
Packaging – 0.6% |
| |||||||
370,000 | ARD Finance S.A., 7.250% PIK or 6.500% Cash, 6/30/2027, 144A(d) | 338,319 | ||||||
500,000 | Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.250%, 8/15/2027, 144A | 462,187 | ||||||
75,000 | Graham Packaging Co., Inc., 7.125%, 8/15/2028, 144A | 68,063 | ||||||
80,000 | Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.000%, 9/15/2028, 144A | 78,800 | ||||||
|
| |||||||
947,369 | ||||||||
|
| |||||||
Pharmaceuticals – 3.9% |
| |||||||
1,170,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A | 963,577 | ||||||
10,000 | Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A | 7,790 | ||||||
785,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 616,649 | ||||||
785,000 | Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A | 611,012 | ||||||
15,000 | Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A | 12,300 | ||||||
45,000 | Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A | 40,288 | ||||||
200,000 | Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028, 144A | 194,406 | ||||||
240,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A | 135,600 | ||||||
70,000 | Endo Luxembourg Finance Co. I. S.a.r.l./Endo U.S., Inc., 6.125%, 4/01/2029, 144A | 63,875 | ||||||
200,000 | Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A | 188,250 | ||||||
335,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.125%, 4/30/2031, 144A | 323,275 | ||||||
107,000 | Par Pharmaceutical, Inc., 7.500%, 4/01/2027, 144A | 99,847 | ||||||
325,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 328,250 | ||||||
285,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 258,036 | ||||||
2,360,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 1,852,600 | ||||||
|
| |||||||
5,695,755 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Property & Casualty Insurance – 0.5% |
| |||||||
$ 240,000 | Acrisure LLC/Acrisure Finance, Inc., 6.000%, 8/01/2029, 144A | $ | 221,911 | |||||
240,000 | AmWINS Group, Inc., 4.875%, 6/30/2029, 144A | 230,405 | ||||||
160,000 | AssuredPartners, Inc., 5.625%, 1/15/2029, 144A | 147,264 | ||||||
125,000 | BroadStreet Partners, Inc., 5.875%, 4/15/2029, 144A | 116,562 | ||||||
|
| |||||||
716,142 | ||||||||
|
| |||||||
Refining – 0.5% |
| |||||||
55,000 | Calumet Specialty Products Partners LP/Calumet Finance Corp., 11.000%, 4/15/2025, 144A | 57,036 | ||||||
50,000 | CVR Energy, Inc., 5.250%, 2/15/2025, 144A | 48,529 | ||||||
395,000 | Parkland Corp., 5.875%, 7/15/2027, 144A | 394,012 | ||||||
115,000 | PBF Holding Co. LLC/PBF Finance Corp., 6.000%, 2/15/2028 | 92,406 | ||||||
80,000 | PBF Holding Co. LLC/PBF Finance Corp., 9.250%, 5/15/2025, 144A | 82,418 | ||||||
|
| |||||||
674,401 | ||||||||
|
| |||||||
REITs - Hotels – 0.3% |
| |||||||
395,000 | Service Properties Trust, 4.750%, 10/01/2026 | 361,425 | ||||||
70,000 | Service Properties Trust, 7.500%, 9/15/2025 | 73,434 | ||||||
|
| |||||||
434,859 | ||||||||
|
| |||||||
REITs - Mortgage – 0.2% |
| |||||||
45,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A | 43,126 | ||||||
215,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A | 214,194 | ||||||
75,000 | Starwood Property Trust, Inc., 3.625%, 7/15/2026, 144A | 71,615 | ||||||
|
| |||||||
328,935 | ||||||||
|
| |||||||
Restaurants – 0.7% |
| |||||||
795,000 | 1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030, 144A | 717,118 | ||||||
100,000 | Bloomin’ Brands, Inc./OSI Restaurant Partners LLC, 5.125%, 4/15/2029, 144A | 94,356 | ||||||
90,000 | Papa John’s International, Inc., 3.875%, 9/15/2029, 144A | 82,613 | ||||||
125,000 | Yum! Brands, Inc., 3.625%, 3/15/2031 | 113,980 | ||||||
|
| |||||||
1,008,067 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Retailers – 2.2% |
| |||||||
$ 75,000 | Asbury Automotive Group, Inc., 4.500%, 3/01/2028 | $ | 72,045 | |||||
225,000 | Asbury Automotive Group, Inc., 4.625%, 11/15/2029, 144A | 209,531 | ||||||
83,000 | Asbury Automotive Group, Inc., 4.750%, 3/01/2030 | 78,331 | ||||||
90,000 | Asbury Automotive Group, Inc., 5.000%, 2/15/2032, 144A | 83,659 | ||||||
70,000 | At Home Group, Inc., 4.875%, 7/15/2028, 144A | 62,300 | ||||||
190,000 | At Home Group, Inc., 7.125%, 7/15/2029, 144A | 164,350 | ||||||
140,000 | Bath & Body Works, Inc., 5.250%, 2/01/2028 | 140,825 | ||||||
75,000 | Bath & Body Works, Inc., 6.625%, 10/01/2030, 144A | 78,750 | ||||||
100,000 | Bath & Body Works, Inc., 6.750%, 7/01/2036 | 101,839 | ||||||
55,000 | Bath & Body Works, Inc., 6.875%, 11/01/2035 | 56,650 | ||||||
480,000 | Carvana Co., 4.875%, 9/01/2029, 144A | 396,401 | ||||||
255,000 | Carvana Co., 5.500%, 4/15/2027, 144A | 227,587 | ||||||
95,000 | Carvana Co., 5.875%, 10/01/2028, 144A | 84,596 | ||||||
35,000 | Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A | 32,594 | ||||||
50,000 | Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A | 47,000 | ||||||
90,000 | Lithia Motors, Inc., 4.375%, 1/15/2031, 144A | 86,963 | ||||||
85,000 | Michaels Cos., Inc. (The), 7.875%, 5/01/2029, 144A | 72,781 | ||||||
115,000 | NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026, 144A | 118,105 | ||||||
250,000 | PetSmart, Inc./PetSmart Finance Corp., 4.750%, 2/15/2028, 144A | 241,601 | ||||||
250,000 | PetSmart, Inc./PetSmart Finance Corp., 7.750%, 2/15/2029, 144A | 258,125 | ||||||
115,000 | Rite Aid Corp., 7.500%, 7/01/2025, 144A | 107,256 | ||||||
240,000 | Sonic Automotive, Inc., 4.625%, 11/15/2029, 144A | 216,000 | ||||||
245,000 | Sonic Automotive, Inc., 4.875%, 11/15/2031, 144A | 217,437 | ||||||
180,000 | Victoria’s Secret & Co., 4.625%, 7/15/2029, 144A | 162,173 | ||||||
|
| |||||||
3,316,899 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Technology – 4.8% |
| |||||||
$ 185,000 | Block, Inc., 2.750%, 6/01/2026, 144A | $ | 174,866 | |||||
145,000 | Camelot Finance S.A., 4.500%, 11/01/2026, 144A | 141,013 | ||||||
215,000 | Clarivate Science Holdings Corp., 4.875%, 7/01/2029, 144A | 202,274 | ||||||
1,830,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 1,589,492 | ||||||
86,000 | CommScope Technologies LLC, 6.000%, 6/15/2025, 144A | 81,451 | ||||||
760,000 | CommScope, Inc., 7.125%, 7/01/2028, 144A | 686,565 | ||||||
75,000 | Dun & Bradstreet Corp. (The), 5.000%, 12/15/2029, 144A | 70,500 | ||||||
320,000 | Elastic NV, 4.125%, 7/15/2029, 144A | 297,587 | ||||||
495,000 | Endurance International Group Holdings, Inc., 6.000%, 2/15/2029, 144A | 426,952 | ||||||
60,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 56,850 | ||||||
205,000 | II-VI, Inc., 5.000%, 12/15/2029, 144A | 200,387 | ||||||
185,000 | Iron Mountain, Inc., 4.500%, 2/15/2031, 144A | 170,849 | ||||||
465,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | 442,620 | ||||||
120,000 | Iron Mountain, Inc., 5.250%, 7/15/2030, 144A | 117,600 | ||||||
95,000 | LogMeIn, Inc., 5.500%, 9/01/2027, 144A | 88,669 | ||||||
370,000 | NCR Corp., 5.000%, 10/01/2028, 144A | 354,275 | ||||||
70,000 | NCR Corp., 5.250%, 10/01/2030, 144A | 66,357 | ||||||
190,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.625%, 10/01/2028, 144A | 191,368 | ||||||
180,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.875%, 10/01/2030, 144A | 180,416 | ||||||
455,000 | Open Text Corp., 3.875%, 12/01/2029, 144A | 432,250 | ||||||
175,000 | Pitney Bowes, Inc., 6.875%, 3/15/2027, 144A | 165,519 | ||||||
110,000 | Presidio Holdings, Inc., 4.875%, 2/01/2027, 144A | 108,350 | ||||||
110,000 | Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A | 112,200 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Technology – continued |
| |||||||
$ 90,000 | Rackspace Technology Global, Inc., 5.375%, 12/01/2028, 144A | $ | 78,089 | |||||
175,000 | Rocket Software, Inc., 6.500%, 2/15/2029, 144A | 158,813 | ||||||
65,000 | Sabre GLBL, Inc., 7.375%, 9/01/2025, 144A | 67,875 | ||||||
260,000 | Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A | 288,245 | ||||||
60,000 | Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.625%, 11/01/2026, 144A | 58,350 | ||||||
65,000 | Xerox Holdings Corp., 5.000%, 8/15/2025, 144A | 65,731 | ||||||
70,000 | Ziff Davis, Inc., 4.625%, 10/15/2030, 144A | 66,656 | ||||||
|
| |||||||
7,142,169 | ||||||||
|
| |||||||
Transportation Services – 0.2% |
| |||||||
100,000 | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.750%, 7/15/2027, 144A | 100,054 | ||||||
190,000 | Hertz Corp. (The), 4.625%, 12/01/2026, 144A | 177,427 | ||||||
|
| |||||||
277,481 | ||||||||
|
| |||||||
Treasuries – 2.9% |
| |||||||
2,925,000 | U.S. Treasury Note, 0.125%, 2/28/2023 | 2,885,695 | ||||||
1,390,000 | U.S. Treasury Note, 0.125%, 3/31/2023 | 1,368,336 | ||||||
|
| |||||||
4,254,031 | ||||||||
|
| |||||||
Wireless – 2.4% |
| |||||||
640,000 | Altice France S.A., 5.125%, 1/15/2029, 144A | 573,331 | ||||||
200,000 | Altice France S.A., 5.125%, 7/15/2029, 144A | 179,250 | ||||||
495,000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A | 489,456 | ||||||
200,000 | IHS Holding Ltd., 5.625%, 11/29/2026, 144A | 189,300 | ||||||
400,000 | IHS Holding Ltd., 6.250%, 11/29/2028, 144A | 375,200 | ||||||
305,000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A | 299,425 | ||||||
1,630,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 1,455,590 | ||||||
|
| |||||||
3,561,552 | ||||||||
|
| |||||||
Wirelines – 1.1% |
| |||||||
200,000 | Cablevision Lightpath LLC, 5.625%, 9/15/2028, 144A | 182,500 | ||||||
130,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 128,995 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Wirelines – continued |
| |||||||
$ 135,000 | Embarq Corp., 7.995%, 6/01/2036 | $ | 130,056 | |||||
210,000 | Iliad Holding SASU, 6.500%, 10/15/2026, 144A | 210,567 | ||||||
25,000 | Lumen Technologies, Inc., 5.125%, 12/15/2026, 144A | 23,812 | ||||||
150,000 | Lumen Technologies, Inc., 5.375%, 6/15/2029, 144A | 133,594 | ||||||
435,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 | 415,743 | ||||||
120,000 | Telecom Italia Capital S.A., 7.200%, 7/18/2036 | 116,700 | ||||||
210,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028, 144A | 198,190 | ||||||
100,000 | Windstream Escrow LLC/Windstream Escrow Finance Corp., 7.750%, 8/15/2028, 144A | 101,858 | ||||||
|
| |||||||
1,642,015 | ||||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $134,717,808) | 125,455,394 | |||||||
|
| |||||||
Convertible Bonds – 5.3% | ||||||||
Airlines – 0.5% |
| |||||||
590,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 800,630 | ||||||
|
| |||||||
Cable Satellite – 1.9% |
| |||||||
3,065,000 | DISH Network Corp., 3.375%, 8/15/2026 | 2,756,967 | ||||||
|
| |||||||
Consumer Cyclical Services – 0.2% |
| |||||||
310,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(j) | 277,874 | ||||||
30,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 39,694 | ||||||
|
| |||||||
317,568 | ||||||||
|
| |||||||
Gaming – 0.1% |
| |||||||
60,000 | Penn National Gaming, Inc., 2.750%, 5/15/2026 | 120,660 | ||||||
|
| |||||||
Healthcare – 0.6% |
| |||||||
990,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 835,065 | ||||||
|
| |||||||
Leisure – 0.2% |
| |||||||
305,000 | NCL Corp. Ltd., 1.125%, 2/15/2027, 144A | 279,359 | ||||||
|
| |||||||
Media Entertainment – 0.2% |
| |||||||
175,000 | Bilibili, Inc., 0.500%, 12/01/2026, 144A | 128,188 | ||||||
170,000 | Twitter, Inc., Zero Coupon, 0.000%-2.963%, 3/15/2026(j) | 142,715 | ||||||
|
| |||||||
270,903 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Convertible Bonds – continued | ||||||||
Pharmaceuticals – 1.3% |
| |||||||
$ 340,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | $ | 339,830 | |||||
1,255,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 1,256,613 | ||||||
115,000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(k) | 106,962 | ||||||
225,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 227,925 | ||||||
|
| |||||||
1,931,330 | ||||||||
|
| |||||||
Technology – 0.3% |
| |||||||
175,000 | Nutanix, Inc., 0.250%, 10/01/2027, 144A | 145,797 | ||||||
380,000 | Splunk, Inc., 1.125%, 6/15/2027 | 362,900 | ||||||
|
| |||||||
508,697 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $8,445,736) | 7,821,179 | |||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $143,163,544) | 133,276,573 | |||||||
|
| |||||||
Collateralized Loan Obligations – 1.4% | ||||||||
295,000 | AIG CLO LLC, Series 2021-2A, Class E, 3-month LIBOR + 6.500%, 6.754%, 7/20/2034, 144A(a) | 279,149 | ||||||
250,000 | Battalion CLO XVI Ltd., Series 2019-16A, Class ER, 3-month LIBOR + 6.750%, 7.004%, 12/19/2032, 144A(a) | 241,256 | ||||||
250,000 | NYACK Park CLO Ltd., Series 2021-1A, Class E, 3-month LIBOR + 6.100%, 6.224%, 10/20/2034, 144A(a) | 243,151 | ||||||
250,000 | Octagon Investment Partners 44 Ltd., Series 2019-1A, Class ER, 3-month LIBOR + 6.750%, 6.991%, 10/15/2034, 144A(a) | 242,459 | ||||||
260,000 | OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 6.615%, 4/21/2034, 144A(a) | 251,098 | ||||||
310,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 6.504%, 7/02/2035, 144A(a) | 302,236 | ||||||
260,000 | Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 6.186%, 10/15/2034, 144A(a) | 251,521 | ||||||
250,000 | Palmer Square CLO Ltd., Series 2021-3A, Class E, 3-month LIBOR + 6.150%, 6.383%, 1/15/2035, 144A(a) | 242,322 | ||||||
|
| |||||||
Total Collateralized Loan Obligations (Identified Cost $2,122,374) | 2,053,192 | |||||||
|
| |||||||
Senior Loans – 0.0% | ||||||||
Pharmaceuticals – 0.0% |
| |||||||
66,853 | Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 5/05/2028 (a)(l) (Identified Cost $66,506) | 66,545 | ||||||
|
|
Shares | Description | Value (†) | ||||||
Preferred Stocks – 1.4% | ||||||||
Convertible Preferred Stocks – 1.4% | ||||||||
Technology – 0.2% |
| |||||||
3,797 | Clarivate PLC, Series A, 5.250% | $ | 257,702 | |||||
|
| |||||||
Wireless – 1.2% |
| |||||||
1,607 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(f)(g) | 1,791,805 | ||||||
|
| |||||||
Total Convertible Preferred Stocks (Identified Cost $2,177,650) | 2,049,507 | |||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $2,177,650) | 2,049,507 | |||||||
|
| |||||||
Common Stocks – 0.2% | ||||||||
Energy Equipment & Services – 0.0% |
| |||||||
10,149 | McDermott International Ltd.(m) | 6,698 | ||||||
|
| |||||||
Media – 0.1% |
| |||||||
9,786 | iHeartMedia, Inc., Class A(m) | 185,249 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.1% |
| |||||||
3,650 | Battalion Oil Corp.(m) | 67,817 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $841,517) | 259,764 | |||||||
|
| |||||||
Other Investments – 0.0% | ||||||||
Aircraft ABS – 0.0% |
| |||||||
100 | ECAF I Blocker Ltd.(g)(h)(i)(n) (Identified Cost $1,000,000) | 65,920 | ||||||
|
| |||||||
Warrants – 0.0% | ||||||||
20,319 | McDermott International Ltd., Tranche A, Expiration on 5/1/2024(h)(i)(m) | 203 | ||||||
22,577 | McDermott International Ltd., Tranche B, Expiration on 5/1/2024(h)(i)(m) | 226 | ||||||
|
| |||||||
Total Warrants (Identified Cost $31,517) | 429 | |||||||
|
| |||||||
Exchange-Traded Funds – 1.5% | ||||||||
26,835 | iShares® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $2,304,298) | 2,208,252 | ||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments – 1.8% | ||||||||
$ 2,686,640 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2022 at 0.000% to be repurchased at $2,686,640 on 4/01/2022 collateralized by $3,045,700 U.S. Treasury Bond, 2.000% due 8/15/2051 valued at $2,740,445 including accrued interest(o) (Identified Cost $2,686,640) | 2,686,640 | ||||||
|
|
Description | Value (†) | |||||||
| |
| Total Investments – 96.4% (Identified Cost $154,394,046) | $ | 142,666,822 | |||
Other assets less liabilities – 3.6% | 5,326,382 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 147,993,204 | ||||||
|
|
(†) | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans and collateralized loan obligations where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.
Centrally cleared swap agreements are valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.
As of March 31, 2022, 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 | |||||||||
$ 2,316,363 | 1.6 | % | $ | 209,123 | 0.1 | % |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Variable rate security. Rate as of March 31, 2022 is disclosed. |
(b) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of March 31, 2022 is disclosed. |
(c) | Payment-in-kind security for which the issuer, at each interest payment date, makes interest payments in additional principal. |
(d) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended March 31, 2022, interest payments were made in cash. |
(e) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(f) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2022, the value of these securities amounted to $2,316,363 or 1.6% of net assets. |
(g) | Illiquid security. |
(h) | Level 3 security. Value has been determined using significant unobservable inputs. |
(i) | Fair valued by the Fund’s adviser. At March 31, 2022, the value of these securities amounted to $209,123 or 0.1% of net assets. |
(j) | 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. |
(k) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(l) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark rate (LIBOR floor) of 0.50%, to which the spread is added. |
(m) | Non-income producing security. |
(n) | Securities subject to restriction on resale. At March 31, 2022, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||||
ECAF I Blocker Ltd. | 12/20/2016 | $ | 1,000,000 | $ | 65,920 | Less than 0.1 | % |
(o) | 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 March 31, 2022, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2022, the value of Rule 144A holdings amounted to $92,162,742 or 62.3% of net assets. | |
ABS | Asset-Backed Securities | |
ETF | Exchange-Traded Fund | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium Term Note | |
PIK | Payment-in-Kind | |
REITs | Real Estate Investment Trusts |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 — quoted prices in active markets for identical assets or liabilities; |
• | Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2022, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
Home Construction | $ | — | $ | 839,646 | $ | — | (a) | $ | 839,646 | |||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 2,429,647 | 142,774 | (b) | 2,572,421 | |||||||||||
All Other Non-Convertible Bonds* | — | 122,043,327 | — | 122,043,327 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Bonds | — | 125,312,620 | 142,774 | 125,455,394 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds* | — | 7,821,179 | — | 7,821,179 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 133,133,799 | 142,774 | 133,276,573 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Collateralized Loan Obligations | — | 2,053,192 | — | 2,053,192 | ||||||||||||
Senior Loans* | — | 66,545 | — | 66,545 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Technology | 257,702 | — | — | 257,702 | ||||||||||||
Wireless | — | 1,791,805 | — | 1,791,805 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 257,702 | 1,791,805 | — | 2,049,507 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Common Stocks* | 259,764 | — | — | 259,764 | ||||||||||||
Other Investments* | — | — | 65,920 | (b) | 65,920 | |||||||||||
Warrants | — | — | 429 | (b) | 429 | |||||||||||
Exchange-Traded Funds | 2,208,252 | — | — | 2,208,252 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 2,686,640 | — | 2,686,640 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,725,718 | $ | 139,731,981 | $ | 209,123 | $ | 142,666,822 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(a) | Includes a security fair valued at zero by the Fund’s adviser using Level 3 inputs. |
(b) | Fair valued by the Fund’s adviser. |
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2021 and/or March 31, 2022:
Asset Valuation Inputs
Investments in Securities | Balance as of December 31, 2021 | 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 March 31, 2022 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2022 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
Home Construction | $ | — | (a) | $ | 12,427 | $ | — | $ | (12,427 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | (a) | $ | (12,427 | ) | ||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | 138,957 | — | — | 3,817 | — | — | — | — | 142,774 | 3,817 | ||||||||||||||||||||||||||||||
Collateralized Loan Obligations | 250,000 | — | — | — | — | — | — | (250,000 | ) | — | — | |||||||||||||||||||||||||||||
Other Investments | ||||||||||||||||||||||||||||||||||||||||
Aircraft ABS | 87,030 | — | — | (21,110 | ) | — | — | — | — | 65,920 | (21,110 | ) | ||||||||||||||||||||||||||||
Warrants | 1,264 | — | — | (835 | ) | — | — | — | — | 429 | (835 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 477,251 | $ | 12,427 | $ | — | $ | (30,555 | ) | $ | — | $ | — | $ | — | $ | (250,000 | ) | $ | 209,123 | $ | (30,555 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes a security fair valued at zero using level 3 inputs. |
A debt security valued at $250,000 was transferred from Level 3 to Level 2 during the period ended March 31, 2022. At December 31, 2021, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At March 31, 2022, 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.
Industry Summary at March 31, 2022 (Unaudited)
Cable Satellite | 10.3 | % | ||
Independent Energy | 5.7 | |||
Technology | 5.3 | |||
Pharmaceuticals | 5.2 | |||
Finance Companies | 4.7 | |||
Healthcare | 4.4 | |||
Leisure | 3.7 | |||
Wireless | 3.6 | |||
Metals & Mining | 3.4 | |||
Midstream | 3.4 | |||
Gaming | 3.2 | |||
Consumer Cyclical Services | 3.1 | |||
Treasuries | 2.9 | |||
Media Entertainment | 2.9 | |||
Financial Other | 2.5 | |||
Automotive | 2.4 | |||
Building Materials | 2.3 | |||
Retailers | 2.2 | |||
Aerospace & Defense | 2.1 | |||
Airlines | 2.0 | |||
Food & Beverage | 2.0 | |||
Other Investments, less than 2% each | 14.4 | |||
Short-Term Investments | 1.8 | |||
Exchange-Traded Funds | 1.5 | |||
Collateralized Loan Obligations | 1.4 | |||
|
| |||
Total Investments | 96.4 | |||
Other assets less liabilities | 3.6 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|