PORTFOLIO OF INVESTMENTS – as of June 30, 2022 (Unaudited)
Loomis Sayles Credit Income Fund
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – 90.7% of Net Assets | ||||||||
Non-Convertible Bonds – 85.9% | ||||||||
Aerospace & Defense – 3.2% |
| |||||||
$ | 125,000 | Boeing Co. (The), 2.196%, 2/04/2026 | $ | 112,671 | ||||
20,000 | Boeing Co. (The), 2.250%, 6/15/2026 | 17,874 | ||||||
20,000 | Boeing Co. (The), 2.950%, 2/01/2030 | 16,642 | ||||||
5,000 | Boeing Co. (The), 3.100%, 5/01/2026 | 4,656 | ||||||
10,000 | Boeing Co. (The), 3.200%, 3/01/2029 | 8,653 | ||||||
5,000 | Boeing Co. (The), 3.250%, 2/01/2035 | 3,783 | ||||||
5,000 | Boeing Co. (The), 3.375%, 6/15/2046 | 3,308 | ||||||
5,000 | Boeing Co. (The), 3.500%, 3/01/2039 | 3,576 | ||||||
15,000 | Boeing Co. (The), 3.550%, 3/01/2038 | 10,924 | ||||||
220,000 | Boeing Co. (The), 3.625%, 2/01/2031 | 189,895 | ||||||
5,000 | Boeing Co. (The), 3.625%, 3/01/2048 | 3,349 | ||||||
35,000 | Boeing Co. (The), 3.750%, 2/01/2050 | 24,680 | ||||||
15,000 | Boeing Co. (The), 3.825%, 3/01/2059 | 9,664 | ||||||
10,000 | Boeing Co. (The), 3.850%, 11/01/2048 | 7,061 | ||||||
15,000 | Boeing Co. (The), 3.900%, 5/01/2049 | 10,642 | ||||||
30,000 | Boeing Co. (The), 3.950%, 8/01/2059 | 20,195 | ||||||
45,000 | Boeing Co. (The), 5.150%, 5/01/2030 | 43,195 | ||||||
10,000 | Boeing Co. (The), 5.805%, 5/01/2050 | 9,185 | ||||||
30,000 | Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 29,538 | ||||||
20,000 | Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030 | 18,845 | ||||||
5,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | 3,692 | ||||||
125,000 | Textron, Inc., 3.000%, 6/01/2030 | 108,728 | ||||||
20,000 | TransDigm, Inc., 6.250%, 3/15/2026, 144A | 19,275 | ||||||
|
| |||||||
680,031 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Airlines – 0.5% |
| |||||||
$ | 70,949 | American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030 | $ | 59,268 | ||||
15,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A | 13,782 | ||||||
15,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A | 12,806 | ||||||
12,450 | United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 | 11,782 | ||||||
|
| |||||||
97,638 | ||||||||
|
| |||||||
Automotive – 1.4% |
| |||||||
60,000 | Allison Transmission, Inc., 3.750%, 1/30/2031, 144A | 48,086 | ||||||
40,000 | Ford Motor Co., 3.250%, 2/12/2032 | 29,916 | ||||||
40,000 | Ford Motor Co., 9.000%, 4/22/2025 | 42,895 | ||||||
170,000 | General Motors Co., 5.200%, 4/01/2045 | 142,791 | ||||||
40,000 | General Motors Co., 6.250%, 10/02/2043 | 38,108 | ||||||
5,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(a) | 4,350 | ||||||
|
| |||||||
306,146 | ||||||||
|
| |||||||
Banking – 11.0% |
| |||||||
40,000 | Ally Financial, Inc., 2.200%, 11/02/2028 | 32,574 | ||||||
65,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(a) | 51,546 | ||||||
50,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(a) | 36,888 | ||||||
270,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026(b) | 266,195 | ||||||
200,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 164,890 | ||||||
215,000 | Citigroup, Inc., 4.450%, 9/29/2027 | 210,556 | ||||||
250,000 | Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A | 228,770 | ||||||
150,000 | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031 | 125,564 | ||||||
120,000 | Goldman Sachs Group, Inc. (The), (fixed rate to 1/24/2024, variable rate thereafter), 1.757%, 1/24/2025 | 115,357 | ||||||
390,000 | Morgan Stanley, 3.625%, 1/20/2027(b) | 377,738 | ||||||
80,000 | Morgan Stanley, (fixed rate to 1/21/2027, variable rate thereafter), 2.475%, 1/21/2028 | 72,723 | ||||||
200,000 | NatWest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter), 1.642%, 6/14/2027(b) | 175,350 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Banking – continued |
| |||||||
$ | 115,000 | Santander Holdings USA, Inc., 3.244%, 10/05/2026 | $ | 107,844 | ||||
200,000 | Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A | 162,954 | ||||||
200,000 | Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A(b) | 190,611 | ||||||
|
| |||||||
2,319,560 | ||||||||
|
| |||||||
Brokerage – 0.9% |
| |||||||
15,000 | Jefferies Group LLC, 6.250%, 1/15/2036 | 15,082 | ||||||
180,000 | Jefferies Group LLC, 6.500%, 1/20/2043 | 177,944 | ||||||
|
| |||||||
193,026 | ||||||||
|
| |||||||
Cable Satellite – 5.2% |
| |||||||
125,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | 102,649 | ||||||
120,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A | 99,633 | ||||||
35,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A | 28,658 | ||||||
25,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A | 23,594 | ||||||
10,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A | 9,757 | ||||||
5,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 3,783 | ||||||
20,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 16,017 | ||||||
5,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 4,464 | ||||||
90,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062 | 60,123 | ||||||
150,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050 | 118,854 | ||||||
200,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 133,748 | ||||||
200,000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A | 134,808 | ||||||
15,000 | DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A | 12,796 | ||||||
125,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 75,955 | ||||||
165,000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A | 129,334 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Cable Satellite – continued |
| |||||||
$ | 200,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | $ | 156,124 | ||||
|
| |||||||
1,110,297 | ||||||||
|
| |||||||
Chemicals – 1.4% |
| |||||||
70,000 | CF Industries, Inc., 4.500%, 12/01/2026, 144A | 69,716 | ||||||
15,000 | FMC Corp., 3.450%, 10/01/2029 | 13,607 | ||||||
60,000 | Hercules LLC, 6.500%, 6/30/2029 | 58,425 | ||||||
200,000 | Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A | 160,170 | ||||||
|
| |||||||
301,918 | ||||||||
|
| |||||||
Construction Machinery – 0.7% |
| |||||||
90,000 | Caterpillar Financial Services Corp., MTN, 0.950%, 1/10/2024 | 86,915 | ||||||
20,000 | John Deere Capital Corp., MTN, 0.900%, 1/10/2024 | 19,305 | ||||||
35,000 | John Deere Capital Corp., MTN, 1.250%, 1/10/2025 | 33,189 | ||||||
|
| |||||||
139,409 | ||||||||
|
| |||||||
Consumer Cyclical Services – 2.4% |
| |||||||
10,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 7,954 | ||||||
195,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 162,626 | ||||||
50,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A | 42,154 | ||||||
325,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 267,312 | ||||||
25,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 24,220 | ||||||
|
| |||||||
504,266 | ||||||||
|
| |||||||
Electric – 1.2% |
| |||||||
15,000 | AES Corp. (The), 2.450%, 1/15/2031 | 12,064 | ||||||
5,000 | AES Corp. (The), 3.950%, 7/15/2030, 144A | 4,508 | ||||||
85,000 | Calpine Corp., 3.750%, 3/01/2031, 144A | 69,139 | ||||||
40,000 | Calpine Corp., 5.125%, 3/15/2028, 144A | 35,212 | ||||||
20,000 | IPALCO Enterprises, Inc., 4.250%, 5/01/2030 | 18,569 | ||||||
35,000 | NRG Energy, Inc., 4.450%, 6/15/2029, 144A | 31,350 | ||||||
35,000 | NRG Energy, Inc., 5.250%, 6/15/2029, 144A | 31,237 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Electric – continued |
| |||||||
$ | 35,000 | Pacific Gas & Electric Co., 3.500%, 8/01/2050 | $ | 23,378 | ||||
15,000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 | 14,516 | ||||||
20,000 | Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A | 18,410 | ||||||
|
| |||||||
258,383 | ||||||||
|
| |||||||
Finance Companies – 6.9% |
| |||||||
150,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028 | 135,388 | ||||||
105,000 | Air Lease Corp., 3.125%, 12/01/2030 | 85,820 | ||||||
205,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 | 167,293 | ||||||
40,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(a) | 33,216 | ||||||
125,000 | Aircastle Ltd., 4.125%, 5/01/2024 | 121,462 | ||||||
15,000 | Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(a) | 12,380 | ||||||
40,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 31,690 | ||||||
60,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 43,596 | ||||||
25,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A | 21,745 | ||||||
30,000 | Barings BDC, Inc., 3.300%, 11/23/2026, 144A | 26,023 | ||||||
115,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027 | 96,169 | ||||||
40,000 | FS KKR Capital Corp., 3.125%, 10/12/2028 | 31,903 | ||||||
35,000 | FS KKR Capital Corp., 3.400%, 1/15/2026 | 31,064 | ||||||
75,000 | Hercules Capital, Inc., 3.375%, 1/20/2027 | 65,660 | ||||||
75,000 | Navient Corp., 5.000%, 3/15/2027 | 61,690 | ||||||
30,000 | Oaktree Specialty Lending Corp., 2.700%, 1/15/2027 | 25,980 | ||||||
10,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 9,242 | ||||||
50,000 | Owl Rock Capital Corp., 2.625%, 1/15/2027 | 41,892 | ||||||
50,000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 | 39,263 | ||||||
60,000 | Owl Rock Technology Finance Corp., 2.500%, 1/15/2027 | 50,627 | ||||||
140,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 115,697 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Finance Companies – continued |
| |||||||
$ | 75,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | $ | 58,974 | ||||
160,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 119,886 | ||||||
60,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 42,600 | ||||||
|
| |||||||
1,469,260 | ||||||||
|
| |||||||
Financial Other – 0.9% |
| |||||||
30,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 24,245 | ||||||
115,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 101,872 | ||||||
35,000 | Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031, 144A | 26,799 | ||||||
200,000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 28,970 | ||||||
|
| |||||||
181,886 | ||||||||
|
| |||||||
Food & Beverage – 1.6% |
| |||||||
30,000 | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A | 26,175 | ||||||
5,000 | Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A | 4,983 | ||||||
20,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A | 16,894 | ||||||
30,000 | Kraft Heinz Foods Co., 4.375%, 6/01/2046 | 24,992 | ||||||
10,000 | Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A | 7,840 | ||||||
50,000 | Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A | 47,875 | ||||||
60,000 | Post Holdings, Inc., 4.625%, 4/15/2030, 144A | 50,626 | ||||||
190,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A | 157,510 | ||||||
|
| |||||||
336,895 | ||||||||
|
| |||||||
Gaming – 0.9% |
| |||||||
20,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 16,030 | ||||||
15,000 | Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A | 11,382 | ||||||
55,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 51,614 | ||||||
5,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 4,689 | ||||||
85,000 | VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029, 144A | 73,106 | ||||||
20,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A | 18,266 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Gaming – continued |
| |||||||
$ | 5,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A | $ | 4,600 | ||||
5,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A | 4,756 | ||||||
10,000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A | 9,875 | ||||||
|
| |||||||
194,318 | ||||||||
|
| |||||||
Government Owned - No Guarantee – 0.1% |
| |||||||
25,000 | EcoPetrol S.A., 4.625%, 11/02/2031 | 18,937 | ||||||
|
| |||||||
Health Insurance – 0.7% |
| |||||||
90,000 | Centene Corp., 2.500%, 3/01/2031 | 71,438 | ||||||
35,000 | Centene Corp., 2.625%, 8/01/2031 | 27,842 | ||||||
20,000 | Centene Corp., 3.000%, 10/15/2030 | 16,575 | ||||||
5,000 | Centene Corp., 4.625%, 12/15/2029 | 4,663 | ||||||
25,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A | 20,965 | ||||||
|
| |||||||
141,483 | ||||||||
|
| |||||||
Healthcare – 1.8% |
| |||||||
25,000 | Avantor Funding, Inc., 3.875%, 11/01/2029, 144A | 21,866 | ||||||
15,000 | Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A | 12,307 | ||||||
75,000 | Cigna Corp., 4.375%, 10/15/2028 | 74,421 | ||||||
89,114 | CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A | 87,648 | ||||||
5,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 4,190 | ||||||
165,000 | HCA, Inc., 4.125%, 6/15/2029 | 150,445 | ||||||
25,000 | Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A | 21,769 | ||||||
10,000 | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A | 8,558 | ||||||
|
| |||||||
381,204 | ||||||||
|
| |||||||
Home Construction – 0.9% |
| |||||||
90,000 | Lennar Corp., 4.750%, 11/29/2027 | 87,378 | ||||||
75,000 | MDC Holdings, Inc., 3.966%, 8/06/2061 | 43,153 | ||||||
70,000 | PulteGroup, Inc., 6.000%, 2/15/2035 | 68,626 | ||||||
|
| |||||||
199,157 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Independent Energy – 3.0% |
| |||||||
$ | 150,000 | Aker BP ASA, 4.000%, 1/15/2031, 144A | $ | 134,736 | ||||
80,000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A | 62,474 | ||||||
100,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 96,694 | ||||||
10,000 | Coterra Energy, Inc., 4.375%, 6/01/2024, 144A | 9,995 | ||||||
20,000 | Diamondback Energy, Inc., 3.125%, 3/24/2031 | 17,419 | ||||||
25,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 21,157 | ||||||
40,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | 32,500 | ||||||
10,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 9,363 | ||||||
30,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 25,922 | ||||||
35,000 | EQT Corp., 3.900%, 10/01/2027 | 32,571 | ||||||
10,000 | EQT Corp., 5.000%, 1/15/2029 | 9,681 | ||||||
55,000 | Hess Corp., 4.300%, 4/01/2027 | 53,613 | ||||||
30,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 29,791 | ||||||
5,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 | 5,740 | ||||||
45,000 | Ovintiv Exploration, Inc., 5.375%, 1/01/2026 | 45,498 | ||||||
50,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 52,187 | ||||||
5,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 4,273 | ||||||
|
| |||||||
643,614 | ||||||||
|
| |||||||
Industrial Other – 0.1% |
| |||||||
20,000 | TopBuild Corp., 4.125%, 2/15/2032, 144A | 15,397 | ||||||
|
| |||||||
Leisure – 0.7% |
| |||||||
40,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | 28,891 | ||||||
30,000 | Carnival Corp., 6.000%, 5/01/2029, 144A | 21,078 | ||||||
30,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 23,547 | ||||||
25,000 | NCL Corp. Ltd., 5.875%, 2/15/2027, 144A | 21,375 | ||||||
10,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 7,275 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Leisure – continued |
| |||||||
$ | 60,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | $ | 41,700 | ||||
|
| |||||||
143,866 | ||||||||
|
| |||||||
Life Insurance – 1.1% |
| |||||||
50,000 | Athene Global Funding, 1.608%, 6/29/2026, 144A | 43,625 | ||||||
55,000 | Athene Global Funding, 1.716%, 1/07/2025, 144A | 51,321 | ||||||
95,000 | Athene Global Funding, 2.550%, 11/19/2030, 144A | 76,810 | ||||||
30,000 | Athene Holding Ltd., 3.500%, 1/15/2031 | 25,398 | ||||||
30,000 | CNO Financial Group, Inc., 5.250%, 5/30/2029 | 28,986 | ||||||
|
| |||||||
226,140 | ||||||||
|
| |||||||
Lodging – 1.3% |
| |||||||
60,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A | 47,662 | ||||||
40,000 | Hilton Domestic Operating Co., Inc., 4.000%, 5/01/2031, 144A | 33,220 | ||||||
10,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A | 7,633 | ||||||
25,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 20,250 | ||||||
5,000 | Hyatt Hotels Corp., (Step to 5.625% on 4/23/2022), 5.625%, 4/23/2025 | 5,064 | ||||||
3,000 | Marriott International, Inc., Series EE, 5.750%, 5/01/2025 | 3,112 | ||||||
25,000 | Marriott International, Inc., Series FF, 4.625%, 6/15/2030 | 23,967 | ||||||
20,000 | Marriott International, Inc., Series HH, 2.850%, 4/15/2031 | 16,586 | ||||||
20,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 16,634 | ||||||
45,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 34,812 | ||||||
75,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 58,125 | ||||||
|
| |||||||
267,065 | ||||||||
|
| |||||||
Media Entertainment – 1.9% |
| |||||||
60,000 | Clear Channel Outdoor Holdings, Inc., 5.125%, 8/15/2027, 144A | 50,660 | ||||||
85,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 70,047 | ||||||
75,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 64,187 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Media Entertainment – continued |
| |||||||
$ | 20,000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 | $ | 15,894 | ||||
15,000 | Magallanes, Inc., 4.054%, 3/15/2029, 144A | 13,751 | ||||||
25,000 | Magallanes, Inc., 4.279%, 3/15/2032, 144A | 22,335 | ||||||
10,000 | Netflix, Inc., 4.875%, 4/15/2028 | 9,410 | ||||||
135,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 123,558 | ||||||
5,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 4,725 | ||||||
5,000 | Netflix, Inc., 5.875%, 11/15/2028 | 4,889 | ||||||
15,000 | Netflix, Inc., 6.375%, 5/15/2029 | 15,149 | ||||||
|
| |||||||
394,605 | ||||||||
|
| |||||||
Metals & Mining – 3.5% |
| |||||||
25,000 | Allegheny Technologies, Inc., 5.875%, 12/01/2027 | 22,137 | ||||||
200,000 | Anglo American Capital PLC, 4.500%, 3/15/2028, 144A | 194,185 | ||||||
35,000 | ArcelorMittal S.A., 7.000%, 10/15/2039 | 35,306 | ||||||
200,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 178,812 | ||||||
45,000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A | 36,727 | ||||||
15,000 | Freeport-McMoRan, Inc., 4.250%, 3/01/2030 | 13,649 | ||||||
45,000 | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 | 41,750 | ||||||
40,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 39,037 | ||||||
135,000 | Glencore Funding LLC, 3.875%, 10/27/2027, 144A | 128,098 | ||||||
20,000 | Glencore Funding LLC, 4.000%, 3/27/2027, 144A | 19,231 | ||||||
35,000 | Novelis Corp., 4.750%, 1/30/2030, 144A | 29,091 | ||||||
10,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 8,705 | ||||||
|
| |||||||
746,728 | ||||||||
|
| |||||||
Midstream – 2.5% |
| |||||||
115,000 | Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027 | 115,424 | ||||||
55,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 43,141 | ||||||
10,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 9,000 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Midstream – continued |
| |||||||
$ | 55,000 | Energy Transfer LP, 4.000%, 10/01/2027 | �� | $ | 52,054 | |||
30,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | 21,232 | ||||||
35,000 | EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028 | 30,218 | ||||||
15,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A | 12,562 | ||||||
15,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A | 14,287 | ||||||
80,000 | NGPL PipeCo LLC, 4.875%, 8/15/2027, 144A | 79,147 | ||||||
15,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 13,259 | ||||||
35,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043 | 26,372 | ||||||
15,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 | 12,864 | ||||||
5,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 4,558 | ||||||
60,000 | Valero Energy Partners LP, 4.500%, 3/15/2028 | 59,134 | ||||||
10,000 | Western Midstream Operating LP, 4.550%, 2/01/2030 | 8,650 | ||||||
20,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 16,123 | ||||||
5,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 4,156 | ||||||
10,000 | Western Midstream Operating LP, 5.750%, 2/01/2050 | 8,031 | ||||||
|
| |||||||
530,212 | ||||||||
|
| |||||||
Paper – 0.2% |
| |||||||
45,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 | 36,338 | ||||||
|
| |||||||
Pharmaceuticals – 1.6% |
| |||||||
10,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A | 7,825 | ||||||
65,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A | 34,613 | ||||||
10,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 5,167 | ||||||
50,000 | Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A | 25,589 | ||||||
5,000 | Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A | 2,661 | ||||||
5,000 | Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A | 2,863 | ||||||
50,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 41,800 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Pharmaceuticals – continued |
| |||||||
$ | 85,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | $ | 69,700 | ||||
250,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 155,687 | ||||||
|
| |||||||
345,905 | ||||||||
|
| |||||||
Property & Casualty Insurance – 1.2% |
| |||||||
175,000 | Fidelity National Financial, Inc., 2.450%, 3/15/2031 | 139,274 | ||||||
65,000 | Sirius International Group Ltd., 4.600%, 11/01/2026, 144A | 60,669 | ||||||
55,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 45,620 | ||||||
|
| |||||||
245,563 | ||||||||
|
| |||||||
REITs - Apartments – 0.0% |
| |||||||
10,000 | American Homes 4 Rent, 2.375%, 7/15/2031 | 7,974 | ||||||
|
| |||||||
REITs - Diversified – 0.1% |
| |||||||
15,000 | EPR Properties, 3.600%, 11/15/2031 | 11,857 | ||||||
|
| |||||||
REITs - Mortgage – 0.1% |
| |||||||
15,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A | 12,110 | ||||||
|
| |||||||
REITs - Office Property – 0.0% |
| |||||||
10,000 | Corporate Office Properties LP, 2.750%, 4/15/2031 | 8,085 | ||||||
|
| |||||||
REITs - Shopping Centers – 0.8% |
| |||||||
115,000 | Brixmor Operating Partnership LP, 4.050%, 7/01/2030 | 103,761 | ||||||
75,000 | SITE Centers Corp., 3.625%, 2/01/2025 | 72,896 | ||||||
|
| |||||||
176,657 | ||||||||
|
| |||||||
Restaurants – 0.7% |
| |||||||
125,000 | 1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A | 109,287 | ||||||
45,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 39,758 | ||||||
|
| |||||||
149,045 | ||||||||
|
| |||||||
Retailers – 0.2% |
| |||||||
20,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 17,023 | ||||||
10,000 | Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A | 8,498 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Retailers – continued |
| |||||||
$ | 10,000 | Tapestry, Inc., 3.050%, 3/15/2032 | $ | 8,147 | ||||
|
| |||||||
33,668 | ||||||||
|
| |||||||
Technology – 5.7% |
| |||||||
85,000 | Avnet, Inc., 4.625%, 4/15/2026 | 85,467 | ||||||
20,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 18,324 | ||||||
55,000 | Broadcom, Inc., 4.300%, 11/15/2032 | 49,953 | ||||||
5,000 | CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026 | 4,455 | ||||||
10,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 8,432 | ||||||
90,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 74,355 | ||||||
130,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 96,109 | ||||||
60,000 | CommScope, Inc., 4.750%, 9/01/2029, 144A | 48,402 | ||||||
65,000 | Entegris Escrow Corp., 4.750%, 4/15/2029, 144A | 60,530 | ||||||
5,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 4,225 | ||||||
5,000 | Gartner, Inc., 3.625%, 6/15/2029, 144A | 4,332 | ||||||
60,000 | Iron Mountain, Inc., 5.250%, 7/15/2030, 144A | 52,164 | ||||||
35,000 | Jabil, Inc., 1.700%, 4/15/2026 | 31,339 | ||||||
30,000 | Marvell Technology, Inc., 2.450%, 4/15/2028 | 26,178 | ||||||
25,000 | Marvell Technology, Inc., 2.950%, 4/15/2031 | 20,964 | ||||||
265,000 | Micron Technology, Inc., 4.663%, 2/15/2030 | 254,124 | ||||||
25,000 | MSCI, Inc., 3.250%, 8/15/2033, 144A | 19,927 | ||||||
5,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027 | 4,922 | ||||||
60,000 | Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A | 51,903 | ||||||
60,000 | Oracle Corp., 3.950%, 3/25/2051 | 44,070 | ||||||
60,000 | Qorvo, Inc., 3.375%, 4/01/2031, 144A | 47,180 | ||||||
55,000 | S&P Global, Inc., 4.250%, 5/01/2029, 144A | 54,476 | ||||||
5,000 | Seagate HDD Cayman, 4.091%, 6/01/2029 | 4,273 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Technology – continued |
| |||||||
$ | 60,000 | TD SYNNEX Corp., 1.750%, 8/09/2026, 144A | $ | 52,856 | ||||
35,000 | Verisk Analytics, Inc., 4.125%, 3/15/2029 | 33,724 | ||||||
35,000 | Western Digital Corp., 2.850%, 2/01/2029 | 28,497 | ||||||
5,000 | Western Digital Corp., 3.100%, 2/01/2032 | 3,834 | ||||||
30,000 | Western Digital Corp., 4.750%, 2/15/2026 | 28,623 | ||||||
|
| |||||||
1,213,638 | ||||||||
|
| |||||||
Treasuries – 17.0% |
| |||||||
135,000 | U.S. Treasury Bond, 1.125%, 8/15/2040 | 93,266 | ||||||
255,000 | U.S. Treasury Bond, 1.875%, 2/15/2051 | 191,280 | ||||||
155,000 | U.S. Treasury Bond, 2.250%, 2/15/2052 | 127,560 | ||||||
1,450,000 | U.S. Treasury Note, 0.125%, 1/31/2023(b)(c) | 1,429,553 | ||||||
780,000 | U.S. Treasury Note, 0.125%, 4/30/2023(b) | 762,450 | ||||||
805,000 | U.S. Treasury Note, 0.250%, 9/30/2023(b) | 778,460 | ||||||
230,000 | U.S. Treasury Note, 1.500%, 2/29/2024 | 224,582 | ||||||
|
| |||||||
3,607,151 | ||||||||
|
| |||||||
Wireless – 2.5% |
| |||||||
80,000 | Crown Castle International Corp., 2.500%, 7/15/2031 | 65,463 | ||||||
70,000 | SBA Communications Corp., 3.125%, 2/01/2029 | 57,295 | ||||||
130,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 113,750 | ||||||
65,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 56,123 | ||||||
265,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 247,313 | ||||||
|
| |||||||
539,944 | ||||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $21,200,486) | 18,189,376 | |||||||
|
| |||||||
Convertible Bonds – 4.8% | ||||||||
Airlines – 0.5% |
| |||||||
20,000 | JetBlue Airways Corp., 0.500%, 4/01/2026 | 14,710 | ||||||
85,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 100,087 | ||||||
|
| |||||||
114,797 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Convertible Bonds – continued | ||||||||
Cable Satellite – 1.2% |
| |||||||
$ | 40,000 | DISH Network Corp., Zero Coupon, 0.000%-8.380%, 12/15/2025(d) | $ | 28,097 | ||||
350,000 | DISH Network Corp., 3.375%, 8/15/2026 | 236,425 | ||||||
|
| |||||||
264,522 | ||||||||
|
| |||||||
Consumer Cyclical Services – 0.3% |
| |||||||
5,000 | Peloton Interactive, Inc., Zero Coupon, 0.799%, 2/15/2026(e) | 3,207 | ||||||
65,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-5.152%, 12/15/2025(d) | 51,943 | ||||||
|
| |||||||
55,150 | ||||||||
|
| |||||||
Gaming – 0.1% |
| |||||||
10,000 | Penn National Gaming, Inc., 2.750%, 5/15/2026 | 14,813 | ||||||
|
| |||||||
Healthcare – 0.5% |
| |||||||
140,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 102,550 | ||||||
|
| |||||||
Leisure – 0.2% |
| |||||||
60,000 | NCL Corp. Ltd., 1.125%, 2/15/2027, 144A | 38,490 | ||||||
|
| |||||||
Media Entertainment – 0.3% |
| |||||||
30,000 | Bilibili, Inc., 0.500%, 12/01/2026, 144A | 21,105 | ||||||
30,000 | Snap, Inc., Zero Coupon, 6.709%-6.955%, 5/01/2027(d) | 20,775 | ||||||
25,000 | Spotify USA, Inc., Zero Coupon, 5.189%-5.777%, 3/15/2026(d) | 19,725 | ||||||
10,000 | Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026(e) | 8,851 | ||||||
|
| |||||||
70,456 | ||||||||
|
| |||||||
Pharmaceuticals – 1.4% |
| |||||||
240,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 238,512 | ||||||
15,000 | Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027(e) | 9,263 | ||||||
25,000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026(e) | 22,732 | ||||||
40,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 33,904 | ||||||
|
| |||||||
304,411 | ||||||||
|
| |||||||
Technology – 0.3% |
| |||||||
25,000 | Nutanix, Inc., 0.250%, 10/01/2027, 144A | 17,283 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Convertible Bonds – continued | ||||||||
Technology – continued |
| |||||||
$ | 60,000 | Splunk, Inc., 1.125%, 6/15/2027 | $ | 49,500 | ||||
|
| |||||||
66,783 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $1,314,592) | 1,031,972 | |||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $22,515,078) | 19,221,348 | |||||||
|
| |||||||
Collateralized Loan Obligations – 3.1% | ||||||||
250,000 | AIMCO CLO Ltd., Series 2021-14A, Class D, 3-month LIBOR + 2.900%, 3.963%, 4/20/2034, 144A(f) | 218,172 | ||||||
250,000 | Fillmore Park CLO Ltd., Series 2018-1A, Class D, 3-month LIBOR + 2.900%, 3.944%, 7/15/2030, 144A(f) | 232,829 | ||||||
250,000 | Recette CLO Ltd., Series 2015-1A, Class DRR, 3-month LIBOR + 3.250%, 4.313%, 4/20/2034, 144A(f) | 217,245 | ||||||
|
| |||||||
Total Collateralized Loan Obligations (Identified Cost $750,000) | 668,246 | |||||||
|
| |||||||
Shares | ||||||||
Preferred Stocks – 2.5% | ||||||||
Convertible Preferred Stocks – 2.5% | ||||||||
Banking – 1.0% |
| |||||||
97 | Bank of America Corp., Series L, 7.250% | 116,837 | ||||||
83 | Wells Fargo & Co., Class A, Series L, 7.500% | 100,887 | ||||||
|
| |||||||
217,724 | ||||||||
|
| |||||||
Technology – 0.1% |
| |||||||
273 | Clarivate PLC, Series A, 5.250% | 15,619 | ||||||
|
| |||||||
Wireless – 1.4% |
| |||||||
250 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(g)(h) | 286,650 | ||||||
|
| |||||||
Total Convertible Preferred Stocks (Identified Cost $591,278) | 519,993 | |||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $591,278) | 519,993 | |||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments – 2.8% | ||||||||
$ | 41,239 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $41,239 on 7/01/2022 collateralized by $41,900 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $42,090 including accrued interest(i) | 41,239 | |||||
225,000 | U.S. Treasury Bills, 0.800%-0.805%, 7/21/2022(j)(k) | 224,873 |
Principal Amount | Description | Value (†) | ||||||
$ | 220,000 | U.S. Treasury Bills, 0.803%, 8/04/2022(j) | $ | 219,754 | ||||
105,000 | U.S. Treasury Bills, 0.884%, 8/11/2022(j) | 104,846 | ||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $590,866) | 590,712 | |||||||
|
| |||||||
Total Investments – 99.1% (Identified Cost $24,447,222) | 21,000,299 | |||||||
Other assets less liabilities – 0.9% | 181,640 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 21,181,939 | ||||||
|
|
(†) | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and collateralized loan obligations where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
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.
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) | Perpetual bond with no specified maturity date. |
(b) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
(c) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(d) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields. |
(e) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(f) | Variable rate security. Rate as of June 30, 2022 is disclosed. |
(g) | Illiquid security. |
(h) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2022, the value of this security amounted to $286,650 or 1.4% of net assets. |
(i) | 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 June 30, 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. |
(j) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(k) | The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2022, the value of Rule 144A holdings amounted to $6,994,584 or 33.0% of net assets. |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
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 June 30, 2022, 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 38 500, 5-Year | 5.00 | % | 6/20/2027 | 5.78 | % | 115,508 | $ | (3,618 | ) | $ | (3,318 | ) | $ | 300 | ||||||||||||
CDX.NA HY* Series 38 500, 5-Year | 5.00 | % | 6/20/2027 | 5.78 | % | 97,322 | (2,758 | ) | (2,796 | ) | (38 | ) | ||||||||||||||
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Total |
| $ | (6,114 | ) | $ | 262 | ||||||||||||||||||||
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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. |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At June 30, 2022, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Ultra 10 Year U.S. Treasury Note | 9/21/2022 | 4 | $ | 518,631 | $ | 509,500 | $ | 9,131 | ||||||||||||
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Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 – quoted prices in active markets for identical assets or liabilities; |
• | Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2022, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* | $ | — | $ | 19,221,348 | $ | — | $ | 19,221,348 | ||||||||
Collateralized Loan Obligations | — | 668,246 | — | 668,246 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Wireless | — | 286,650 | — | 286,650 | ||||||||||||
All Other Preferred Stocks* | 233,343 | — | — | 233,343 | ||||||||||||
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Total Preferred Stocks | 233,343 | 286,650 | — | 519,993 | ||||||||||||
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Short-Term Investments | — | 590,712 | — | 590,712 | ||||||||||||
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Total Investments | 233,343 | 20,766,956 | — | 21,000,299 | ||||||||||||
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Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) | — | 300 | — | 300 | ||||||||||||
Futures Contracts (unrealized appreciation) | 9,131 | — | — | 9,131 | ||||||||||||
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Total | $ | 242,474 | $ | 20,767,256 | $ | — | $ | 21,009,730 | ||||||||
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Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation) | $ | — | $ | (38 | ) | $ | — | $ | (38 | ) | ||||||
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* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end include 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. As of June 30, 2022, 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 interest rates will affect the value of the Fund’s investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may use futures contracts to gain investment exposure. As of June 30, 2022, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of June 30, 2022:
Assets | Unrealized appreciation futures contracts | |||
Exchange-traded/cleared asset derivatives | ||||
Interest rate contracts | $ | 9,131 | ||
Liabilities | swap agreements at value | |||
Exchange-traded/cleared liability derivatives | ||||
Credit contracts | $ | (6,114 | ) |
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of June 30, 2022:
Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | |||||
$ | 49,295 | $ | 49,295 |
Industry Summary at June 30, 2022 (Unaudited)
Treasuries | 17.0 | % | ||
Banking | 12.0 | |||
Finance Companies | 6.9 | |||
Cable Satellite | 6.4 | |||
Technology | 6.1 | |||
Wireless | 3.9 | |||
Metals & Mining | 3.5 | |||
Aerospace & Defense | 3.2 | |||
Pharmaceuticals | 3.0 | |||
Independent Energy | 3.0 | |||
Consumer Cyclical Services | 2.7 | |||
Midstream | 2.5 | |||
Healthcare | 2.3 | |||
Media Entertainment | 2.2 | |||
Other Investments, less than 2% each | 18.5 | |||
Collateralized Loan Obligations | 3.1 | |||
Short-Term Investments | 2.8 | |||
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Total Investments | 99.1 | |||
Other assets less liabilities (including swap agreements and futures contracts) | 0.9 | |||
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Net Assets | 100.0 | % | ||
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