PORTFOLIO OF INVESTMENTS – as of June 30, 2022 (Unaudited)
Loomis Sayles Global Allocation Fund
Shares | Description | Value (†) | ||||||
Common Stocks – 64.8% of Net Assets | ||||||||
France – 3.2% |
| |||||||
553,882 | Dassault Systemes SE | $ | 20,516,267 | |||||
101,005 | LVMH Moet Hennessy Louis Vuitton SE | 61,903,703 | ||||||
284,011 | Vinci S.A. | 25,493,230 | ||||||
|
| |||||||
107,913,200 | ||||||||
|
| |||||||
Hong Kong – 0.9% |
| |||||||
2,774,200 | AIA Group Ltd. | 30,312,474 | ||||||
|
| |||||||
India – 0.6% |
| |||||||
1,307,359 | HDFC Bank Ltd. | 22,393,898 | ||||||
|
| |||||||
Japan – 1.4% |
| |||||||
1,788,961 | Nomura Research Institute Ltd. | 48,009,495 | ||||||
|
| |||||||
Netherlands – 2.7% |
| |||||||
196,020 | ASML Holding NV | 92,607,283 | ||||||
|
| |||||||
Sweden – 1.4% |
| |||||||
4,955,858 | Atlas Copco AB, Class A | 46,387,051 | ||||||
|
| |||||||
Taiwan – 1.8% |
| |||||||
3,791,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 60,755,872 | ||||||
|
| |||||||
United Kingdom – 3.4% |
| |||||||
727,269 | Halma PLC | 17,856,008 | ||||||
333,916 | Linde PLC | 96,010,868 | ||||||
|
| |||||||
113,866,876 | ||||||||
|
| |||||||
United States – 49.4% |
| |||||||
325,891 | Accenture PLC, Class A | 90,483,636 | ||||||
107,458 | Adobe, Inc.(a) | 39,336,076 | ||||||
793,903 | Airbnb, Inc., Class A(a) | 70,720,879 | ||||||
5,168 | Alphabet, Inc., Class C(a) | 11,304,742 | ||||||
47,983 | Alphabet, Inc., Class A(a) | 104,567,433 | ||||||
856,997 | Amazon.com, Inc.(a) | 91,021,651 | ||||||
80,358 | Azenta, Inc. | 5,793,812 | ||||||
148,579 | Costco Wholesale Corp. | 71,210,943 | ||||||
449,007 | Cummins, Inc. | 86,896,325 | ||||||
399,521 | Danaher Corp. | 101,286,564 | ||||||
705,291 | Dropbox, Inc., Class A(a) | 14,804,058 | ||||||
206,287 | Estee Lauder Cos., Inc. (The), Class A | 52,535,110 | ||||||
248,666 | Goldman Sachs Group, Inc. (The) | 73,858,775 | ||||||
274,018 | Home Depot, Inc. (The) | 75,154,917 | ||||||
415,821 | IQVIA Holdings, Inc.(a) | 90,228,999 | ||||||
428,166 | JPMorgan Chase & Co. | 48,215,773 | ||||||
308,589 | Mastercard, Inc., Class A | 97,353,658 | ||||||
43,759 | Mettler-Toledo International, Inc.(a) | 50,269,026 | ||||||
403,867 | NVIDIA Corp. | 61,222,199 | ||||||
162,102 | Roper Technologies, Inc. | 63,973,554 |
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
United States – continued |
| |||||||
291,671 | S&P Global, Inc. | $ | 98,310,627 | |||||
583,348 | Salesforce, Inc.(a) | 96,275,754 | ||||||
228,814 | Sherwin-Williams Co. (The) | 51,233,743 | ||||||
213,748 | Texas Instruments, Inc. | 32,842,380 | ||||||
180,848 | UnitedHealth Group, Inc. | 92,888,958 | ||||||
|
| |||||||
1,671,789,592 | ||||||||
|
| |||||||
Total Common Stocks (Identified Cost $2,076,495,972) | 2,194,035,741 | |||||||
|
| |||||||
Principal Amount (‡) | ||||||||
Bonds and Notes – 32.0% | ||||||||
Non-Convertible Bonds – 29.6% | ||||||||
Australia – 0.8% |
| |||||||
$ 3,010,000 | Australia Government Bond, Series 133, 5.500%, 4/21/2023, (AUD)(b) | 2,128,347 | ||||||
10,700,000 | Australia Government Bond, Series 164, 0.500%, 9/21/2026, (AUD)(b) | 6,574,333 | ||||||
800,000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A | 652,912 | ||||||
670,000 | GAIF Bond Issuer Pty Ltd., 3.400%, 9/30/2026, 144A | 645,023 | ||||||
3,560,000 | Glencore Funding LLC, 1.625%, 9/01/2025, 144A | 3,262,242 | ||||||
5,000,000 | Macquarie Group Ltd., (fixed rate to 1/14/2032, variable rate thereafter), 2.871%, 1/14/2033, 144A(b) | 4,078,591 | ||||||
4,000,000 | Macquarie Group Ltd., (fixed rate to 9/23/2026, variable rate thereafter), 1.629%, 9/23/2027, 144A(b) | 3,475,251 | ||||||
11,610,000 | New South Wales Treasury Corp., 2.000%, 3/08/2033, (AUD)(b) | 6,412,220 | ||||||
95,000 | Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A | 92,260 | ||||||
1,370,000 | Westpac Banking Corp., 1.953%, 11/20/2028(b) | 1,195,414 | ||||||
|
| |||||||
28,516,593 | ||||||||
|
| |||||||
Belgium – 0.1% |
| |||||||
2,745,000 | Anheuser-Busch InBev S.A., EMTN, 2.000%, 1/23/2035, (EUR) | 2,392,113 | ||||||
1,690,000 | Anheuser-Busch InBev Worldwide, Inc., 4.750%, 1/23/2029 | 1,719,345 | ||||||
|
| |||||||
4,111,458 | ||||||||
|
| |||||||
Brazil – 0.7% |
| |||||||
1,035,000 | Braskem Netherlands Finance BV, 4.500%, 1/10/2028 | 938,874 | ||||||
1,785,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030 | 1,522,391 | ||||||
53,329 | (††) | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2031, (BRL) | 8,692,300 | |||||
2,685,000 | Brazilian Government International Bond, 4.500%, 5/30/2029 | 2,400,173 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Brazil – continued |
| |||||||
$ 1,085,000 | Brazilian Government International Bond, 4.625%, 1/13/2028 | $ | 1,012,796 | |||||
2,980,000 | BRF S.A., 4.875%, 1/24/2030 | 2,360,935 | ||||||
650,000 | Centrais Eletricas Brasileiras S.A., 4.625%, 2/04/2030, 144A | 550,745 | ||||||
400,000 | Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A | 398,000 | ||||||
1,100,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 | 1,064,250 | ||||||
575,000 | Raizen Fuels Finance S.A., 5.300%, 1/20/2027, 144A | 560,556 | ||||||
2,515,000 | Suzano Austria GmbH, 2.500%, 9/15/2028 | 2,043,438 | ||||||
1,185,000 | Suzano Austria GmbH, 3.125%, 1/15/2032 | 892,116 | ||||||
550,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 | 444,125 | ||||||
|
| |||||||
22,880,699 | ||||||||
|
| |||||||
Canada – 2.1% |
| |||||||
790,000 | 1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030, 144A | 633,975 | ||||||
351,782 | Air Canada Pass Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029, 144A | 314,950 | ||||||
734,616 | Air Canada Pass Through Trust, Series 2017-1, Class AA, 3.300%, 7/15/2031, 144A(b) | 655,498 | ||||||
505,000 | Antares Holdings LP, 3.750%, 7/15/2027, 144A | 424,577 | ||||||
1,210,000 | Antares Holdings LP, 3.950%, 7/15/2026, 144A | 1,050,330 | ||||||
1,010,000 | Antares Holdings LP, 6.000%, 8/15/2023, 144A | 1,019,766 | ||||||
2,675,000 | Bank of Nova Scotia (The), 1.050%, 3/02/2026(b) | 2,394,471 | ||||||
2,525,000 | Bank of Nova Scotia (The), 1.300%, 9/15/2026(b) | 2,242,148 | ||||||
2,835,000 | Bell Telephone Co. of Canada/Bell Canada (The), MTN, 3.600%, 9/29/2027, (CAD) | 2,087,487 | ||||||
1,735,000 | Brookfield Finance I UK PLC, 2.340%, 1/30/2032(b) | 1,394,346 | ||||||
1,015,000 | Brookfield Finance, Inc., 3.900%, 1/25/2028 | 969,834 | ||||||
2,715,000 | Brookfield Renewable Partners ULC, MTN, 4.250%, 1/15/2029, (CAD) | 2,039,140 | ||||||
10,845,000 | Canada Government Bonds, 1.000%, 6/01/2027, (CAD)(b) | 7,627,981 | ||||||
1,220,000 | Canada Housing Trust No. 1, 1.550%, 12/15/2026, 144A, (CAD)(b) | 875,562 | ||||||
5,835,000 | Canadian Government Bond, 0.500%, 9/01/2025, (CAD)(b) | 4,184,228 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Canada – continued |
| |||||||
$ 2,465,000 | Canadian Pacific Railway Co., 1.750%, 12/02/2026 | $ | 2,230,767 | |||||
800,000 | CPPIB Capital, Inc., 0.375%, 6/20/2024, 144A, (EUR)(b) | 823,655 | ||||||
4,695,000 | Enbridge Gas, Inc., MTN, 2.900%, 4/01/2030, (CAD)(b) | 3,254,804 | ||||||
430,000 | Enbridge, Inc., 2.900%, 7/15/2022 | 429,970 | ||||||
4,770,000 | Enbridge, Inc., MTN, 2.990%, 10/03/2029, (CAD) | 3,221,047 | ||||||
2,965,000 | Federation des Caisses Desjardins du Quebec, (fixed rate to 5/26/2025, variable rate thereafter), 2.856%, 5/26/2030, (CAD)(b) | 2,171,047 | ||||||
175,116 | Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD)(b) | 133,905 | ||||||
4,670,000 | Ontario Power Generation, Inc., MTN, 2.977%, 9/13/2029, (CAD)(b) | 3,267,113 | ||||||
5,000,000 | Province of British Columbia Canada, Series 10, 1.750%, 9/27/2024(b) | 4,851,873 | ||||||
2,355,000 | Province of Quebec Canada, 2.300%, 9/01/2029, (CAD)(b) | 1,661,069 | ||||||
2,725,000 | Royal Bank of Canada, 0.875%, 1/20/2026(b) | 2,439,567 | ||||||
2,040,000 | Royal Bank of Canada, 1.200%, 4/27/2026(b) | 1,832,628 | ||||||
2,475,000 | Royal Bank of Canada, GMTN, 2.250%, 11/01/2024(b) | 2,388,868 | ||||||
2,960,000 | Shaw Communications, Inc., 3.300%, 12/10/2029, (CAD) | 2,031,022 | ||||||
7,170,000 | Toronto-Dominion Bank (The), 1.950%, 1/12/2027(b) | 6,485,920 | ||||||
2,500,000 | Toronto-Dominion Bank (The), 2.100%, 7/15/2022, 144A(b) | 2,500,111 | ||||||
1,675,000 | Toronto-Dominion Bank (The), MTN, 1.150%, 6/12/2025(b) | 1,545,369 | ||||||
1,580,000 | Videotron Ltd., 5.125%, 4/15/2027, 144A | 1,470,443 | ||||||
|
| |||||||
70,653,471 | ||||||||
|
| |||||||
Chile – 0.6% |
| |||||||
715,000 | Banco de Chile, 2.990%, 12/09/2031, 144A(b) | 600,285 | ||||||
2,525,000 | Banco Santander Chile, 3.177%, 10/26/2031, 144A(b) | 2,145,493 | ||||||
950,000 | Celulosa Arauco y Constitucion S.A., 4.500%, 8/01/2024 | 942,400 | ||||||
1,500,000 | Chile Government International Bond, 2.450%, 1/31/2031(b) | 1,278,986 | ||||||
1,005,000 | Chile Government International Bond, 2.550%, 1/27/2032(b) | 853,207 | ||||||
2,580,000 | Colbun S.A., 3.150%, 3/06/2030 | 2,153,625 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Chile – continued |
| |||||||
$ 1,960,000 | Corp. Nacional del Cobre de Chile, 3.000%, 9/30/2029, 144A(b) | $ | 1,707,195 | |||||
2,075,000 | Corp. Nacional del Cobre de Chile, 3.750%, 1/15/2031(b) | 1,858,499 | ||||||
570,000 | Corp. Nacional del Cobre de Chile, 3.750%, 1/15/2031, 144A(b) | 510,527 | ||||||
595,000 | Empresa Nacional de Telecomunicaciones S.A., 3.050%, 9/14/2032, 144A | 476,744 | ||||||
1,980,000 | Empresa Nacional del Petroleo, 3.450%, 9/16/2031, 144A(b) | 1,604,731 | ||||||
525,000 | Enel Chile S.A., 4.875%, 6/12/2028 | 501,375 | ||||||
2,690,000 | Engie Energia Chile S.A., 3.400%, 1/28/2030 | 2,283,137 | ||||||
800,000 | Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A | 802,472 | ||||||
1,120,000 | Transelec S.A., 4.250%, 1/14/2025, 144A | 1,093,400 | ||||||
|
| |||||||
18,812,076 | ||||||||
|
| |||||||
China – 0.3% |
| |||||||
920,000 | Alibaba Group Holding Ltd., 3.400%, 12/06/2027(b) | 878,966 | ||||||
795,000 | Baidu, Inc., 3.875%, 9/29/2023(b) | 797,623 | ||||||
2,600,000 | Country Garden Holdings Co. Ltd., 2.700%, 7/12/2026 | 1,214,850 | ||||||
2,800,000 | Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031 | 1,151,976 | ||||||
2,435,000 | Country Garden Holdings Co. Ltd., 8.000%, 1/27/2024 | 1,601,646 | ||||||
905,000 | Industrial & Commercial Bank of China Ltd., 2.957%, 11/08/2022(b) | 904,140 | ||||||
2,750,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(c)(d) | 283,773 | ||||||
2,750,000 | Sunac China Holdings Ltd., 5.950%, 4/26/2024(e) | 418,578 | ||||||
625,000 | Tencent Holdings Ltd., 2.880%, 4/22/2031, 144A(b) | 536,875 | ||||||
500,000 | Tencent Holdings Ltd., 2.985%, 1/19/2023, 144A(b) | 498,970 | ||||||
1,175,000 | Tencent Holdings Ltd., 3.280%, 4/11/2024, 144A(b) | 1,164,730 | ||||||
1,270,000 | Weibo Corp., 3.500%, 7/05/2024 | 1,236,039 | ||||||
|
| |||||||
10,688,166 | ||||||||
|
| |||||||
Colombia – 0.4% |
| |||||||
1,395,000 | Colombia Government International Bond, 3.125%, 4/15/2031 | 1,028,524 | ||||||
2,536,000 | Ecopetrol S.A., 5.875%, 5/28/2045 | 1,722,793 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Colombia – continued |
| |||||||
$ 1,300,000 | Empresas Publicas de Medellin ESP, 4.250%, 7/18/2029, 144A | $ | 1,013,729 | |||||
1,026,000 | Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A | 892,620 | ||||||
1,035,000 | Millicom International Cellular S.A., 6.625%, 10/15/2026 | 984,391 | ||||||
575,000 | Republic of Colombia, 3.875%, 4/25/2027 | 508,294 | ||||||
7,073,300,000 | Republic of Colombia, Series B, 6.250%, 11/26/2025, (COP) | 1,495,090 | ||||||
29,559,900,000 | Titulos De Tesoreria, Series B, 7.500%, 8/26/2026, (COP) | 6,351,091 | ||||||
870,000 | Transportadora de Gas Internacional S.A. E.S.P., 5.550%, 11/01/2028, 144A | 797,364 | ||||||
|
| |||||||
14,793,896 | ||||||||
|
| |||||||
Denmark – 0.1% |
| |||||||
2,055,000 | Orsted A/S, EMTN, 2.125%, 5/17/2027, (GBP) | 2,370,108 | ||||||
|
| |||||||
Dominican Republic – 0.1% |
| |||||||
2,160,000 | Dominican Republic, 4.500%, 1/30/2030, 144A | 1,729,227 | ||||||
1,155,000 | Dominican Republic, 4.875%, 9/23/2032, 144A | 888,700 | ||||||
590,000 | Dominican Republic, 5.950%, 1/25/2027, 144A | 565,898 | ||||||
995,000 | Dominican Republic, 6.000%, 7/19/2028, 144A | 925,340 | ||||||
425,000 | Dominican Republic, 8.625%, 4/20/2027, 144A | 441,526 | ||||||
|
| |||||||
4,550,691 | ||||||||
|
| |||||||
Ecuador – 0.1% |
| |||||||
4,275,000 | Ecuador Government International Bond, (Step to 5.500% on 7/31/2022), 5.000%, 7/31/2030 | 2,752,124 | ||||||
|
| |||||||
Egypt – 0.1% |
| |||||||
1,515,000 | Egypt Government International Bond, 5.250%, 10/06/2025 | 1,238,470 | ||||||
1,435,000 | Egypt Government International Bond, 7.625%, 5/29/2032 | 936,840 | ||||||
|
| |||||||
2,175,310 | ||||||||
|
| |||||||
Finland – 0.2% |
| |||||||
3,575,000 | Nordea Bank Abp, 0.750%, 8/28/2025, 144A(b) | 3,244,528 | ||||||
1,925,000 | Nordea Bank Abp, 3.600%, 6/06/2025, 144A(b) | 1,905,230 | ||||||
|
| |||||||
5,149,758 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
France – 0.3% |
| |||||||
$ 205,000 | BNP Paribas S.A., 4.375%, 5/12/2026, 144A | $ | 200,585 | |||||
890,000 | BNP Paribas S.A., (fixed rate to 6/09/2025, variable rate thereafter), 2.219%, 6/09/2026, 144A(b) | 821,624 | ||||||
250,000 | Credit Agricole S.A., 3.250%, 10/04/2024, 144A | 243,732 | ||||||
4,500,000 | Credit Agricole S.A., (fixed rate to 1/26/2026, variable rate thereafter), 1.247%, 1/26/2027, 144A(b) | 3,961,371 | ||||||
1,300,000 | Edenred, 1.875%, 3/06/2026, (EUR) | 1,332,078 | ||||||
1,400,000 | Engie S.A., 1.250%, 10/24/2041, (EUR) | 906,023 | ||||||
500,000 | Holding d’Infrastructures de Transport SASU, EMTN, 0.625%, 3/27/2023, (EUR) | 519,191 | ||||||
500,000 | Holding d’Infrastructures de Transport SASU, EMTN, 1.625%, 11/27/2027, (EUR) | 469,822 | ||||||
1,015,000 | Societe Generale S.A., 4.750%, 11/24/2025, 144A | 998,959 | ||||||
230,000 | SPCM S.A., 3.125%, 3/15/2027, 144A | 193,738 | ||||||
215,000 | SPCM S.A., 3.375%, 3/15/2030, 144A | 168,238 | ||||||
|
| |||||||
9,815,361 | ||||||||
|
| |||||||
Germany – 0.3% |
| |||||||
1,395,000 | BMW U.S. Capital LLC, 4.150%, 4/09/2030, 144A(b) | 1,366,992 | ||||||
1,635,000 | Deutsche Bank AG, (fixed rate to 1/07/2027, variable rate thereafter), 2.552%, 1/07/2028 | 1,415,271 | ||||||
305,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 222,011 | ||||||
2,255,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 1,695,283 | ||||||
3,220,000 | Fraport AG Frankfurt Airport Services Worldwide, 1.875%, 3/31/2028, (EUR) | 2,948,550 | ||||||
3,790,000 | Kreditanstalt fuer Wiederaufbau, EMTN, 1.250%, 8/28/2023, (NOK)(b) | 378,352 | ||||||
1,450,000 | Siemens Financieringsmaatschappij NV, 2.350%, 10/15/2026, 144A(b) | 1,352,179 | ||||||
490,000 | Volkswagen Group of America Finance LLC, 1.625%, 11/24/2027, 144A | 418,641 | ||||||
420,000 | Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A | 405,935 | ||||||
730,000 | Volkswagen Group of America Finance LLC, 4.350%, 6/08/2027, 144A | 715,577 | ||||||
|
| |||||||
10,918,791 | ||||||||
|
| |||||||
Guatemala – 0.0% |
| |||||||
1,050,000 | CT Trust, 5.125%, 2/03/2032, 144A | 841,313 | ||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Hong Kong – 0.1% |
| |||||||
$ | 355,000 | AIA Group Ltd., 3.200%, 3/11/2025, 144A | $ | 349,784 | ||||
1,405,000 | AIA Group Ltd., 3.600%, 4/09/2029(b) | 1,352,614 | ||||||
1,135,000 | AIA Group Ltd., 3.900%, 4/06/2028, 144A(b) | 1,123,729 | ||||||
|
| |||||||
2,826,127 | ||||||||
|
| |||||||
India – 0.4% |
| |||||||
1,195,000 | Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A | 930,248 | ||||||
2,480,000 | Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027 | 2,309,029 | ||||||
2,940,000 | Bharti Airtel Ltd., 3.250%, 6/03/2031 | 2,458,940 | ||||||
2,790,000 | Export-Import Bank of India, 2.250%, 1/13/2031, 144A | 2,189,420 | ||||||
1,230,000 | ICICI Bank Ltd., EMTN, 3.250%, 9/09/2022 | 1,228,831 | ||||||
1,250,000 | Power Finance Corp. Ltd., 3.950%, 4/23/2030, 144A | 1,105,013 | ||||||
2,400,000 | Shriram Transport Finance Co. Ltd., 4.150%, 7/18/2025, 144A | 2,097,259 | ||||||
2,420,000 | Shriram Transport Finance Co. Ltd., 4.400%, 3/13/2024 | 2,230,182 | ||||||
|
| |||||||
14,548,922 | ||||||||
|
| |||||||
Indonesia – 0.2% |
| |||||||
300,000 | Indonesia Government International Bond, 4.125%, 1/15/2025, 144A | 298,489 | ||||||
50,092,000,000 | Indonesia Treasury Bond, Series FR75, 7.500%, 5/15/2038, (IDR) | 3,332,181 | ||||||
43,840,000,000 | Indonesia Treasury Bond, Series FR82, 7.000%, 9/15/2030, (IDR) | 2,916,291 | ||||||
1,475,000 | Republic of Indonesia, 2.850%, 2/14/2030 | 1,313,355 | ||||||
|
| |||||||
7,860,316 | ||||||||
|
| |||||||
Ireland – 0.2% |
| |||||||
645,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 543,296 | ||||||
3,245,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 2,597,594 | ||||||
1,250,000 | Bank of Ireland Group PLC, 4.500%, 11/25/2023, 144A | 1,246,997 | ||||||
375,000 | Ireland Government Bond, 3.400%, 3/18/2024, (EUR)(b) | 410,772 | ||||||
3,710,000 | Ireland Government Bond, Zero Coupon, 0.029%, 10/18/2031, (EUR)(b)(f) | 3,249,347 | ||||||
|
| |||||||
8,048,006 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Israel – 0.8% |
| |||||||
10,950,000 | State of Israel, 1.000%, 3/31/2030, (ILS)(b) | $ | 2,788,189 | |||||
2,750,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 2,299,027 | ||||||
4,515,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 3,702,300 | ||||||
20,421,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 12,717,178 | ||||||
4,475,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 3,822,179 | ||||||
510,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 420,112 | ||||||
|
| |||||||
25,748,985 | ||||||||
|
| |||||||
Italy – 0.5% |
| |||||||
200,000 | Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A | 190,510 | ||||||
530,000 | Intesa Sanpaolo SpA, EMTN, 3.928%, 9/15/2026, (EUR) | 547,060 | ||||||
6,965,000 | Italy Buoni Poliennali Del Tesoro, 1.350%, 4/01/2030, (EUR) | 6,485,706 | ||||||
3,305,000 | Italy Buoni Poliennali Del Tesoro, 2.000%, 2/01/2028, (EUR) | 3,364,641 | ||||||
1,975,000 | Italy Government International Bond, 2.375%, 10/17/2024 | 1,909,031 | ||||||
3,335,000 | Republic of Italy, 2.500%, 11/15/2025, (EUR) | 3,553,264 | ||||||
630,000 | UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), 7.296%, 4/02/2034, 144A | 578,929 | ||||||
840,000 | UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032, 144A | 742,308 | ||||||
200,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | 161,637 | ||||||
|
| |||||||
17,533,086 | ||||||||
|
| |||||||
Japan – 0.8% |
| |||||||
1,006,969,600 | (†††) | Japan Government CPI Linked Bond, Series 23, 0.100%, 3/10/2028, (JPY)(b) | 7,808,445 | |||||
2,375,000 | Mitsubishi UFJ Financial Group, Inc., (fixed rate to 1/19/2027, variable rate thereafter), 2.341%, 1/19/2028(b) | 2,140,717 | ||||||
3,000,000 | Mitsubishi UFJ Financial Group, Inc., (fixed rate to 10/13/2026, variable rate thereafter), 1.640%, 10/13/2027(b) | 2,644,252 | ||||||
2,020,000 | Mizuho Financial Group, Inc., 2.564%, 9/13/2031(b) | 1,611,829 | ||||||
2,000,000 | Mizuho Financial Group, Inc., (fixed rate to 7/10/2023, variable rate thereafter), 1.241%, 7/10/2024(b) | 1,944,267 | ||||||
2,000,000 | Nomura Holdings, Inc., 1.851%, 7/16/2025(b) | 1,831,271 | ||||||
2,385,000 | Nomura Holdings, Inc., 2.710%, 1/22/2029 | 2,035,872 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Japan – continued |
| |||||||
$ 3,050,000 | Sumitomo Mitsui Financial Group, Inc., 1.402%, 9/17/2026(b) | $ | 2,692,512 | |||||
1,445,000 | Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029(b) | 1,286,504 | ||||||
2,790,000 | Toyota Motor Corp., 2.362%, 3/25/2031(b) | 2,448,152 | ||||||
|
| |||||||
26,443,821 | ||||||||
|
| |||||||
Korea – 1.0% |
| |||||||
765,000 | Export-Import Bank of Korea, 3.000%, 11/01/2022(b) | 764,855 | ||||||
1,100,000 | Hyundai Capital Services, Inc., 3.750%, 3/05/2023, 144A | 1,098,787 | ||||||
1,650,000 | Kia Corp., 1.750%, 10/16/2026, 144A | 1,491,237 | ||||||
1,060,000 | Kia Corp., 2.750%, 2/14/2027, 144A | 993,665 | ||||||
1,575,000 | Kia Corp., 3.000%, 4/25/2023, 144A | 1,568,637 | ||||||
2,720,000 | Kookmin Bank, 1.375%, 5/06/2026, 144A(b) | 2,489,262 | ||||||
1,515,000 | Korea East-West Power Co. Ltd., 1.750%, 5/06/2025, 144A(b) | 1,428,562 | ||||||
910,000 | Korea Gas Corp., 2.750%, 7/20/2022, 144A(b) | 909,827 | ||||||
2,400,000 | Korea National Oil Corp., 2.125%, 4/18/2027, 144A(b) | 2,202,512 | ||||||
670,000 | KT Corp., 2.500%, 7/18/2026, 144A(b) | 633,284 | ||||||
1,180,000 | LG Chem Ltd., 3.250%, 10/15/2024, 144A | 1,165,533 | ||||||
4,500,000,000 | Republic of Korea, 0.875%, 12/10/2023, (KRW)(b) | 3,343,671 | ||||||
4,500,000,000 | Republic of Korea, 1.125%, 9/10/2025, (KRW)(b) | 3,206,832 | ||||||
13,130,550,000 | Republic of Korea, 1.500%, 12/10/2030, (KRW)(b) | 8,557,794 | ||||||
1,440,000,000 | Republic of Korea, Series 2209, 2.000%, 9/10/2022, (KRW)(b) | 1,108,950 | ||||||
770,000 | Shinhan Bank Co. Ltd., 3.875%, 3/24/2026, 144A | 756,371 | ||||||
2,765,000 | SK Hynix, Inc., 2.375%, 1/19/2031, 144A | 2,177,690 | ||||||
140,000 | SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A | 156,044 | ||||||
|
| |||||||
34,053,513 | ||||||||
|
| |||||||
Luxembourg – 0.0% |
| |||||||
920,000 | ArcelorMittal S.A., 6.750%, 3/01/2041 | 910,196 | ||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Malaysia – 0.2% |
| |||||||
28,570,000 | Malaysia Government Bond, 3.480%, 3/15/2023, (MYR)(b) | $ | 6,506,404 | |||||
|
| |||||||
Mexico – 1.3% | ||||||||
620,000 | Alfa SAB de CV, 6.875%, 3/25/2044 | 603,725 | ||||||
770,000 | America Movil SAB de CV, 2.125%, 3/10/2028, (EUR) | 769,076 | ||||||
860,000 | America Movil SAB de CV, 2.875%, 5/07/2030 | 769,642 | ||||||
10,000,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) | 489,818 | ||||||
730,000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A | 732,402 | ||||||
1,905,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 1,428,750 | ||||||
855,000 | Cemex SAB de CV, 5.450%, 11/19/2029 | 760,095 | ||||||
400,000 | Cemex SAB de CV, 7.375%, 6/05/2027, 144A | 396,404 | ||||||
1,775,000 | Coca-Cola Femsa SAB de CV, 2.750%, 1/22/2030(b) | 1,585,714 | ||||||
800,000 | Gruma SAB de CV, 4.875%, 12/01/2024 | 806,000 | ||||||
10,000,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) | 296,238 | ||||||
840,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A(b) | 697,872 | ||||||
1,707,184 | (††††) | Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)(b) | 7,549,404 | |||||
1,294,043 | (††††) | Mexican Fixed Rate Bonds, Series M 20, 8.500%, 5/31/2029, (MXN)(b) | 6,252,938 | |||||
637,836 | (††††) | Mexican Fixed Rate Bonds, Series M 30, 8.500%, 11/18/2038, (MXN) | 3,007,324 | |||||
724,558 | (††††) | Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN) | 3,367,098 | |||||
2,665,000 | Mexico Government International Bond, 3.250%, 4/16/2030 | 2,345,129 | ||||||
1,880,000 | Mexico Government International Bond, 3.500%, 2/12/2034 | 1,552,860 | ||||||
196,000 | Mexico Government International Bond, 4.000%, 3/15/2115, (EUR) | 144,005 | ||||||
1,850,000 | Orbia Advance Corp. SAB de CV, 1.875%, 5/11/2026, 144A | 1,641,042 | ||||||
1,240,000 | Orbia Advance Corp. SAB de CV, 4.000%, 10/04/2027 | 1,160,032 | ||||||
3,505,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 2,563,487 | ||||||
100,000 | Sigma Alimentos S.A. de CV, 2.625%, 2/07/2024, 144A, (EUR) | 103,740 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Mexico – continued |
| |||||||
$ | 835,000 | Sigma Alimentos S.A. de CV, 4.125%, 5/02/2026 | $ | 786,712 | ||||
2,090,000 | Sigma Finance Netherlands BV, 4.875%, 3/27/2028 | 1,935,163 | ||||||
1,010,000 | Unifin Financiera SAB de CV, 7.250%, 9/27/2023 | 755,793 | ||||||
2,195,000 | Unifin Financiera SAB de CV, 9.875%, 1/28/2029 | 1,433,357 | ||||||
|
| |||||||
43,933,820 | ||||||||
|
| |||||||
Netherlands – 0.1% | ||||||||
870,000 | Cooperatieve Rabobank U.A., 4.375%, 8/04/2025 | 861,578 | ||||||
1,725,000 | ING Groep NV, (fixed rate to 7/01/2025, variable rate thereafter), 1.400%, 7/01/2026, 144A(b) | 1,566,949 | ||||||
|
| |||||||
2,428,527 | ||||||||
|
| |||||||
New Zealand – 0.6% | ||||||||
3,495,000 | ANZ New Zealand International Ltd., 1.250%, 6/22/2026, 144A(b) | 3,119,154 | ||||||
2,200,000 | Bank of New Zealand, 1.000%, 3/03/2026, 144A(b) | 1,967,247 | ||||||
5,000,000 | Fonterra Co-operative Group Ltd., MTN, 5.500%, 2/26/2024, (AUD)(b) | 3,526,644 | ||||||
10,700,000 | New Zealand Government Bond, 0.500%, 5/15/2024, (NZD)(b) | 6,326,698 | ||||||
6,310,000 | New Zealand Government Bond, 1.500%, 5/15/2031, (NZD)(b) | 3,252,788 | ||||||
3,575,000 | New Zealand Government Bond, 3.000%, 4/20/2029, (NZD)(b) | 2,128,540 | ||||||
|
| |||||||
20,321,071 | ||||||||
|
| |||||||
Nigeria – 0.0% | ||||||||
1,975,000 | Nigeria Government International Bond, 6.125%, 9/28/2028, 144A | 1,396,602 | ||||||
|
| |||||||
Norway – 0.6% | ||||||||
3,660,000 | DNB Bank ASA, (fixed rate to 5/25/2026, variable rate thereafter), 1.535%, 5/25/2027, 144A(b) | 3,265,364 | ||||||
2,790,000 | Equinor ASA, 3.625%, 4/06/2040(b) | 2,446,597 | ||||||
41,750,000 | Norway Government Bond, 1.750%, 2/17/2027, 144A, (NOK)(b) | 4,010,284 | ||||||
16,500,000 | Norway Government Bond, Series 478, 1.500%, 2/19/2026, 144A, (NOK)(b) | 1,589,295 | ||||||
36,610,000 | Norway Government Bond, Series 480, 2.000%, 4/26/2028, 144A, (NOK) | 3,515,187 | ||||||
46,500,000 | Norway Government Bond, Series 482, 1.375%, 8/19/2030, 144A, (NOK)(b) | 4,158,237 | ||||||
|
| |||||||
18,984,964 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Panama – 0.0% |
| |||||||
$ | 1,485,000 | Cable Onda S.A., 4.500%, 1/30/2030, 144A | $ | 1,246,479 | ||||
|
| |||||||
Paraguay – 0.1% | ||||||||
1,420,000 | Paraguay Government International Bond, 4.950%, 4/28/2031, 144A | 1,310,642 | ||||||
800,000 | Republic of Paraguay, 5.000%, 4/15/2026, 144A | 784,134 | ||||||
|
| |||||||
2,094,776 | ||||||||
|
| |||||||
Peru – 0.2% | ||||||||
3,220,000 | Corp. Financiera de Desarrollo S.A., 2.400%, 9/28/2027, 144A | 2,715,780 | ||||||
2,005,000 | Peruvian Government International Bond, 2.392%, 1/23/2026 | 1,862,111 | ||||||
2,455,000 | Peruvian Government International Bond, 3.000%, 1/15/2034 | 2,013,849 | ||||||
1,050,000 | Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A | 991,998 | ||||||
|
| |||||||
7,583,738 | ||||||||
|
| |||||||
Philippines – 0.0% | ||||||||
1,060,000 | Philippine Government International Bond, 2.457%, 5/05/2030 | 924,458 | ||||||
|
| |||||||
Poland – 0.2% | ||||||||
26,400,000 | Republic of Poland Government Bond, 1.250%, 10/25/2030, (PLN)(b) | 3,839,764 | ||||||
12,970,000 | Republic of Poland Government Bond, 3.250%, 7/25/2025, (PLN)(b) | 2,572,641 | ||||||
|
| |||||||
6,412,405 | ||||||||
|
| |||||||
Portugal – 0.1% | ||||||||
3,590,000 | EDP Finance BV, 1.710%, 1/24/2028, 144A | 3,066,829 | ||||||
|
| |||||||
Qatar – 0.1% | ||||||||
1,770,000 | Ooredoo International Finance Ltd., 2.625%, 4/08/2031, 144A(b) | 1,535,096 | ||||||
1,600,000 | Qatar Energy, 2.250%, 7/12/2031, 144A(b) | 1,366,000 | ||||||
|
| |||||||
2,901,096 | ||||||||
|
| |||||||
Romania – 0.0% | ||||||||
1,100,000 | Romania Government International Bond, 2.000%, 4/14/2033, 144A, (EUR) | 745,376 | ||||||
|
| |||||||
Singapore – 0.4% | ||||||||
785,000 | BOC Aviation Ltd., 2.750%, 9/18/2022, 144A | 783,831 | ||||||
1,450,000 | BOC Aviation Ltd., 3.250%, 4/29/2025, 144A(b) | 1,413,839 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Singapore – continued |
| |||||||
$ | 860,000 | BOC Aviation USA Corp., 1.625%, 4/29/2024, 144A | $ | 823,820 | ||||
345,000 | DBS Group Holdings Ltd., (fixed rate to 12/11/2023, variable rate thereafter), 4.520%, 12/11/2028, 144A(b) | 347,512 | ||||||
4,510,000 | Republic of Singapore, 2.750%, 7/01/2023, (SGD)(b) | 3,257,619 | ||||||
10,055,000 | Singapore Government Bond, 2.125%, 6/01/2026, (SGD)(b) | 7,060,140 | ||||||
|
| |||||||
13,686,761 | ||||||||
|
| |||||||
South Africa – 0.6% | ||||||||
1,400,000 | Anglo American Capital PLC, 2.625%, 9/10/2030, 144A | 1,152,098 | ||||||
1,400,000 | Anglo American Capital PLC, 5.625%, 4/01/2030, 144A | 1,409,790 | ||||||
2,990,000 | AngloGold Ashanti Holdings PLC, 3.375%, 11/01/2028 | 2,531,417 | ||||||
1,420,000 | MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024 | 1,378,110 | ||||||
930,000 | MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A | 902,565 | ||||||
116,835,000 | Republic of South Africa, Series 2035, 8.875%, 2/28/2035, (ZAR) | 6,018,865 | ||||||
39,185,000 | Republic of South Africa, Series R213, 7.000%, 2/28/2031, (ZAR) | 1,892,682 | ||||||
7,585,000 | South Africa Government International Bond, 5.750%, 9/30/2049 | 5,173,046 | ||||||
|
| |||||||
20,458,573 | ||||||||
|
| |||||||
Spain – 0.4% | ||||||||
2,000,000 | Banco Santander S.A., (fixed rate to 9/14/2026, variable rate thereafter), 1.722%, 9/14/2027(b) | 1,735,955 | ||||||
600,000 | CaixaBank S.A., (fixed rate to 4/17/2025, variable rate thereafter), EMTN, 2.250%, 4/17/2030, (EUR) | 584,281 | ||||||
500,000 | CaixaBank S.A., (fixed rate to 7/14/2023, variable rate thereafter), EMTN, 2.750%, 7/14/2028, (EUR) | 516,796 | ||||||
3,700,000 | Cellnex Telecom S.A., EMTN, 1.750%, 10/23/2030, (EUR) | 2,759,021 | ||||||
270,000 | Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A | 234,166 | ||||||
700,000 | Naturgy Finance BV, EMTN, 1.500%, 1/29/2028, (EUR) | 676,518 | ||||||
430,000 | Spain Government Bond, 1.600%, 4/30/2025, 144A, (EUR) | 454,184 | ||||||
2,525,000 | Spain Government Bond, 1.950%, 7/30/2030, 144A, (EUR)(b) | 2,604,763 | ||||||
2,565,000 | Spain Government Bond, 4.400%, 10/31/2023, 144A, (EUR)(b) | 2,812,930 | ||||||
|
| |||||||
12,378,614 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Supranationals – 0.4% |
| |||||||
$ | 1,495,000 | Corporacion Andina de Fomento, 2.375%, 5/12/2023(b) | $ | 1,484,614 | ||||
3,360,000 | European Investment Bank, 1.750%, 7/30/2024, 144A, (CAD)(b) | 2,531,694 | ||||||
2,560,000 | International Bank for Reconstruction & Development, 0.250%, 12/23/2022, (SEK)(b) | 249,155 | ||||||
10,030,000 | International Bank for Reconstruction & Development, 1.200%, 7/22/2026, (CAD)(b) | 7,131,336 | ||||||
16,750,000 | Nordic Investment Bank, EMTN, 1.500%, 3/13/2025, (NOK)(b) | 1,628,646 | ||||||
|
| |||||||
13,025,445 | ||||||||
|
| |||||||
Sweden – 0.2% | ||||||||
1,675,000 | Svenska Handelsbanken AB, 0.625%, 6/30/2023, 144A(b) | 1,627,196 | ||||||
38,000,000 | Sweden Government Bond, 0.125%, 5/12/2031, 144A, (SEK)(b) | 3,229,046 | ||||||
|
| |||||||
4,856,242 | ||||||||
|
| |||||||
Switzerland – 0.2% | ||||||||
930,000 | Credit Suisse AG, 2.950%, 4/09/2025(b) | 890,081 | ||||||
3,855,000 | Credit Suisse Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032, 144A(b) | 3,067,780 | ||||||
1,375,000 | Novartis Capital Corp., 2.000%, 2/14/2027(b) | 1,280,366 | ||||||
340,000 | Willow No. 2 (Ireland) PLC for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/01/2025, variable rate thereafter), 4.250%, 10/01/2045 | 320,875 | ||||||
|
| |||||||
5,559,102 | ||||||||
|
| |||||||
Taiwan – 0.1% | ||||||||
1,925,000 | TSMC Arizona Corp., 2.500%, 10/25/2031(b) | 1,650,621 | ||||||
3,180,000 | TSMC Arizona Corp., 4.125%, 4/22/2029(b) | 3,171,465 | ||||||
|
| |||||||
4,822,086 | ||||||||
|
| |||||||
Tanzania – 0.0% | ||||||||
985,000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A | 840,993 | ||||||
|
| |||||||
Thailand – 0.1% | ||||||||
1,570,000 | Kasikornbank PCL, EMTN, 3.256%, 7/12/2023 | 1,565,510 | ||||||
950,000 | Thaioil Treasury Center Co. Ltd., 3.625%, 1/23/2023, 144A | 947,796 | ||||||
|
| |||||||
2,513,306 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Trinidad And Tobago – 0.0% |
| |||||||
$ | 415,000 | Trinidad Generation Unlimited, 5.250%, 11/04/2027, 144A | $ | 397,881 | ||||
|
| |||||||
Turkey – 0.4% | ||||||||
2,045,000 | Aydem Yenilenebilir Enerji A/S, 7.750%, 2/02/2027, 144A | 1,477,512 | ||||||
2,250,000 | TC Ziraat Bankasi A/S, 5.375%, 3/02/2026, 144A | 1,901,025 | ||||||
2,830,000 | Turk Telekomunikasyon AS, 6.875%, 2/28/2025 | 2,525,775 | ||||||
525,000 | Turk Telekomunikasyon AS, 6.875%, 2/28/2025, 144A | 468,563 | ||||||
2,875,000 | Turkcell Iletisim Hizmetleri AS, 5.800%, 4/11/2028 | 2,256,737 | ||||||
6,970,000 | Turkey Government International Bond, 5.250%, 3/13/2030 | 4,966,055 | ||||||
1,345,000 | Turkey Government International Bond, 7.625%, 4/26/2029 | 1,131,656 | ||||||
|
| |||||||
14,727,323 | ||||||||
|
| |||||||
United Arab Emirates – 0.1% | ||||||||
1,610,000 | Abu Dhabi Crude Oil Pipeline LLC, 3.650%, 11/02/2029(b) | 1,545,375 | ||||||
1,295,000 | Abu Dhabi Government International Bond, 3.125%, 4/16/2030, 144A(b) | 1,228,048 | ||||||
|
| |||||||
2,773,423 | ||||||||
|
| |||||||
United Kingdom – 0.4% | ||||||||
95,000 | Avon Products, Inc., 8.450%, 3/15/2043 | 91,675 | ||||||
1,350,000 | CK Hutchison International 19 Ltd., 3.625%, 4/11/2029, 144A(b) | 1,296,303 | ||||||
1,420,000 | Diageo Capital PLC, 2.125%, 4/29/2032 | 1,184,289 | ||||||
1,125,000 | Lloyds Banking Group PLC, (fixed rate to 7/09/2024, variable rate thereafter), 3.870%, 7/09/2025(b) | 1,110,995 | ||||||
1,395,000 | Nationwide Building Society, (fixed rate to 7/18/2029, variable rate thereafter), 3.960%, 7/18/2030, 144A(b) | 1,293,680 | ||||||
1,190,000 | NatWest Markets PLC, 0.800%, 8/12/2024, 144A(b) | 1,104,605 | ||||||
235,000 | Network Rail Infrastructure Finance PLC, EMTN, 4.750%, 1/22/2024, (GBP)(b) | 296,505 | ||||||
955,000 | Santander U.K. Group Holdings PLC, (fixed rate to 1/11/2027, variable rate thereafter), 2.469%, 1/11/2028(b) | 843,820 | ||||||
1,455,000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A | 1,175,311 | ||||||
2,200,000 | Standard Chartered PLC, (fixed rate to 3/30/2025, variable rate thereafter), 3.971%, 3/30/2026, 144A(b) | 2,149,245 | ||||||
250,000 | Standard Chartered PLC, EMTN, 3.125%, 11/19/2024, (EUR) | 259,821 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
United Kingdom – continued |
| |||||||
1,035,000 | United Kingdom Gilt, 2.750%, 9/07/2024, (GBP)(b) | $ | 1,280,691 | |||||
1,660,000 | Vodafone Group PLC, 4.375%, 5/30/2028 | 1,652,336 | ||||||
|
| |||||||
13,739,276 | ||||||||
|
| |||||||
United States – 12.5% | ||||||||
165,000 | AES Corp. (The), 3.950%, 7/15/2030, 144A | 148,781 | ||||||
315,000 | Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(g) | 259,979 | ||||||
1,915,000 | Albemarle Corp., 5.050%, 6/01/2032 | 1,870,152 | ||||||
480,000 | Allison Transmission, Inc., 4.750%, 10/01/2027, 144A | 439,046 | ||||||
1,145,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(g) | 908,002 | ||||||
965,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(g) | 711,929 | ||||||
1,364,551 | American Airlines Pass Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025 | 1,274,914 | ||||||
1,053,980 | American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 913,642 | ||||||
311,216 | American Airlines Pass Through Trust, Series 2017-1B, Class B, 4.950%, 8/15/2026 | 288,066 | ||||||
375,212 | American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 333,960 | ||||||
220,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A | 202,133 | ||||||
255,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A | 217,709 | ||||||
3,975,000 | Apple, Inc., Series MPLE, 2.513%, 8/19/2024, (CAD)(b) | 3,012,625 | ||||||
260,000 | Aptiv PLC, 1.600%, 9/15/2028, (EUR) | 233,957 | ||||||
2,330,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 1,692,993 | ||||||
1,300,000 | Ashland LLC, 3.375%, 9/01/2031, 144A | 1,057,386 | ||||||
945,000 | Athene Global Funding, 1.608%, 6/29/2026, 144A(b) | 824,510 | ||||||
2,410,000 | Athene Global Funding, 1.716%, 1/07/2025, 144A(b) | 2,248,795 | ||||||
980,000 | Avantor Funding, Inc., 3.875%, 11/01/2029, 144A | 857,157 | ||||||
2,865,000 | Bank of America Corp., (fixed rate to 9/15/2026, variable rate thereafter), 1.978%, 9/15/2027, (CAD)(b) | 1,981,729 | ||||||
665,000 | Barings BDC, Inc., 3.300%, 11/23/2026, 144A | 576,836 | ||||||
950,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A | 743,413 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
United States – continued |
| |||||||
$ | 7,660,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A | $ | 4,078,950 | ||||
205,000 | Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A | 106,600 | ||||||
1,215,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 627,765 | ||||||
4,007,000 | Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A | 2,050,682 | ||||||
228,000 | Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A | 121,342 | ||||||
370,000 | Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A | 211,825 | ||||||
1,140,000 | Beazer Homes USA, Inc., 7.250%, 10/15/2029 | 902,781 | ||||||
500,000 | Block, Inc., 3.500%, 6/01/2031, 144A | 398,430 | ||||||
140,000 | Boeing Co. (The), 3.100%, 5/01/2026 | 130,376 | ||||||
25,000 | Boeing Co. (The), 3.250%, 2/01/2035 | 18,917 | ||||||
165,000 | Boeing Co. (The), 3.550%, 3/01/2038 | 120,166 | ||||||
25,000 | Boeing Co. (The), 3.625%, 3/01/2048 | 16,744 | ||||||
80,000 | Boeing Co. (The), 3.750%, 2/01/2050 | 56,411 | ||||||
635,000 | Boeing Co. (The), 3.850%, 11/01/2048 | 448,373 | ||||||
640,000 | Boeing Co. (The), 3.950%, 8/01/2059 | 430,825 | ||||||
30,000 | Boeing Co. (The), 5.150%, 5/01/2030 | 28,796 | ||||||
875,000 | BPR Trust, Series 2021-NRD, Class F, 1-month Term SOFR + 6.870%, 8.204%, 12/15/2023, 144A(h) | 822,521 | ||||||
690,000 | Broadcom, Inc., 3.187%, 11/15/2036, 144A | 524,521 | ||||||
545,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | 393,643 | ||||||
260,000 | Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A | 213,313 | ||||||
12,500,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | 10,264,875 | ||||||
3,810,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A | 2,943,225 | ||||||
1,575,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A | 1,289,610 | ||||||
595,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A | 561,531 | ||||||
240,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A | 234,170 | ||||||
2,510,000 | Centene Corp., 2.500%, 3/01/2031 | 1,992,338 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
United States – continued | ||||||||
$ | 160,000 | Centene Corp., 2.625%, 8/01/2031 | $ | 127,280 | ||||
975,000 | Centene Corp., 3.000%, 10/15/2030 | 808,031 | ||||||
165,000 | Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A | 143,195 | ||||||
175,000 | Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A | 149,178 | ||||||
120,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 90,795 | ||||||
360,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 288,309 | ||||||
180,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 160,711 | ||||||
1,085,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062 | 724,817 | ||||||
6,405,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061 | 4,606,528 | ||||||
1,240,000 | Clear Channel Outdoor Holdings, Inc., 5.125%, 8/15/2027, 144A | 1,046,969 | ||||||
5,315,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 3,929,365 | ||||||
7,265,000 | CommScope, Inc., 4.750%, 9/01/2029, 144A | 5,860,639 | ||||||
1,565,000 | CommScope, Inc., 7.125%, 7/01/2028, 144A | 1,189,525 | ||||||
905,000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A | 706,733 | ||||||
1,295,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 1,252,187 | ||||||
770,000 | Covanta Holding Corp., 4.875%, 12/01/2029, 144A | 626,564 | ||||||
22,445,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 15,009,869 | ||||||
2,060,000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A | 1,388,517 | ||||||
595,000 | CSC Holdings LLC, 5.375%, 2/01/2028, 144A | 514,675 | ||||||
495,000 | CSC Holdings LLC, 5.750%, 1/15/2030, 144A | 360,127 | ||||||
1,115,000 | CSC Holdings LLC, 6.500%, 2/01/2029, 144A | 1,006,990 | ||||||
490,000 | Dana, Inc., 5.375%, 11/15/2027 | 424,579 | ||||||
80,000 | Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A | 79,732 | ||||||
2,235,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 1,753,089 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
United States – continued | ||||||||
$ | 380,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | $ | 342,000 | ||||
940,000 | DH Europe Finance II S.a.r.l., 0.750%, 9/18/2031, (EUR) | 796,175 | ||||||
50,000 | Dillard’s, Inc., 7.000%, 12/01/2028 | 52,688 | ||||||
8,000 | Dillard’s, Inc., 7.750%, 7/15/2026 | 8,152 | ||||||
355,000 | DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A | 302,840 | ||||||
1,720,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 1,045,141 | ||||||
3,775,000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A | 2,958,996 | ||||||
3,035,000 | DISH DBS Corp., 5.875%, 11/15/2024 | 2,556,987 | ||||||
1,960,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 1,527,820 | ||||||
160,000 | Edison International, 4.950%, 4/15/2025 | 160,402 | ||||||
575,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | 406,950 | ||||||
280,000 | EPR Properties, 3.600%, 11/15/2031 | 221,333 | ||||||
70,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 65,542 | ||||||
1,555,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 1,343,613 | ||||||
515,000 | EQT Corp., 3.900%, 10/01/2027 | 479,254 | ||||||
360,000 | EQT Corp., 5.000%, 1/15/2029 | 348,509 | ||||||
115,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 97,175 | ||||||
3,780,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 3,006,606 | ||||||
575,000 | Ford Motor Co., 3.250%, 2/12/2032 | 430,042 | ||||||
2,105,000 | Ford Motor Co., 6.625%, 10/01/2028 | 2,076,056 | ||||||
2,710,000 | Freeport-McMoRan, Inc., 4.375%, 8/01/2028 | 2,531,051 | ||||||
6,640,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 6,480,042 | ||||||
2,710,000 | General Motors Co., 5.200%, 4/01/2045 | 2,276,254 | ||||||
405,000 | General Motors Co., 6.250%, 10/02/2043 | 385,838 | ||||||
100,000 | General Motors Financial Co., Inc., EMTN, 0.955%, 9/07/2023, (EUR) | 103,249 | ||||||
635,000 | General Motors Financial Co., Inc., EMTN, 2.250%, 9/06/2024, (GBP) | 741,054 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
United States – continued |
| |||||||
770,000 | General Motors Financial of Canada Ltd., Series 5, 3.250%, 11/07/2023, (CAD) | $ | 588,184 | |||||
315,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031(b) | 414,662 | ||||||
460,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 368,676 | ||||||
855,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A | 720,842 | ||||||
975,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 | 971,509 | ||||||
830,000 | HCA, Inc., 3.500%, 9/01/2030 | 706,089 | ||||||
245,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A | 205,179 | ||||||
350,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A | 333,375 | ||||||
660,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A | 503,770 | ||||||
470,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 380,700 | ||||||
3,065,000 | Hyundai Capital America, 0.875%, 6/14/2024, 144A | 2,865,302 | ||||||
1,000,000 | Hyundai Capital America, 2.650%, 2/10/2025 | 953,873 | ||||||
835,000 | Hyundai Capital America, 2.650%, 2/10/2025, 144A | 796,484 | ||||||
1,585,000 | Hyundai Capital America, 2.750%, 9/27/2026, 144A | 1,461,396 | ||||||
1,395,000 | Hyundai Capital America, 6.375%, 4/08/2030, 144A | 1,486,046 | ||||||
11,250,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 9,091,800 | ||||||
1,180,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 1,045,291 | ||||||
1,085,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 894,127 | ||||||
620,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 530,615 | ||||||
1,980,000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 | 1,573,466 | ||||||
1,135,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | 964,671 | ||||||
200,000 | Jazz Securities DAC, 4.375%, 1/15/2029, 144A | 177,903 | ||||||
795,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A | 652,208 | ||||||
1,875,000 | JELD-WEN, Inc., 4.875%, 12/15/2027, 144A | 1,462,500 | ||||||
1,135,000 | John Deere Capital Corp., MTN, 0.450%, 6/07/2024(b) | 1,072,375 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
United States – continued |
| |||||||
3,185,000 | John Deere Financial, Inc., 1.340%, 9/08/2027, (CAD)(b) | $ | 2,120,653 | |||||
580,000 | Kraft Heinz Foods Co., 4.375%, 6/01/2046 | 483,181 | ||||||
760,000 | Level 3 Financing, Inc., 5.375%, 5/01/2025 | 736,113 | ||||||
345,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 293,647 | ||||||
870,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 723,560 | ||||||
44,000 | Masco Corp., 6.500%, 8/15/2032 | 47,342 | ||||||
615,000 | Medtronic Global Holdings SCA, 1.125%, 3/07/2027, (EUR)(b) | 606,619 | ||||||
2,355,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A | 2,314,494 | ||||||
1,025,000 | Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A | 892,519 | ||||||
435,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A | 364,785 | ||||||
490,000 | MSCI, Inc., 3.250%, 8/15/2033, 144A | 390,574 | ||||||
2,135,000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A | 1,712,566 | ||||||
3,550,000 | Nationwide Mutual Insurance Co., 4.350%, 4/30/2050, 144A(b) | 2,951,389 | ||||||
1,370,000 | Navient Corp., 5.000%, 3/15/2027 | 1,126,866 | ||||||
421,000 | Navient Corp., MTN, 5.625%, 8/01/2033 | 292,177 | ||||||
4,600,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 3,610,494 | ||||||
615,000 | NCL Corp. Ltd., 5.875%, 2/15/2027, 144A | 525,831 | ||||||
790,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 574,725 | ||||||
835,000 | Netflix, Inc., 4.875%, 4/15/2028 | 785,777 | ||||||
2,620,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 2,397,942 | ||||||
310,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 292,950 | ||||||
280,000 | Netflix, Inc., 5.875%, 11/15/2028 | 273,759 | ||||||
530,000 | Netflix, Inc., 6.375%, 5/15/2029 | 535,273 | ||||||
20,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 21,765 | ||||||
475,000 | Novelis Corp., 4.750%, 1/30/2030, 144A | 394,810 | ||||||
1,865,000 | NRG Energy, Inc., 3.625%, 2/15/2031, 144A | 1,462,141 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
United States – continued |
| |||||||
$ | 455,000 | NRG Energy, Inc., 3.875%, 2/15/2032, 144A | $ | 361,399 | ||||
30,000 | Occidental Petroleum Corp., 6.125%, 1/01/2031 | 30,403 | ||||||
2,355,000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 | 2,425,650 | ||||||
50,000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 | 54,875 | ||||||
1,845,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 | 2,118,203 | ||||||
420,000 | Old Republic International Corp., 4.875%, 10/01/2024 | 426,504 | ||||||
1,170,000 | OneMain Finance Corp., 5.625%, 3/15/2023 | 1,154,453 | ||||||
860,000 | OneMain Finance Corp., 6.875%, 3/15/2025 | 815,074 | ||||||
2,310,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 2,134,971 | ||||||
130,000 | OneMain Finance Corp., 8.250%, 10/01/2023 | 129,923 | ||||||
1,490,000 | Oracle Corp., 3.950%, 3/25/2051 | 1,094,400 | ||||||
1,000,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 1,043,733 | ||||||
45,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 46,438 | ||||||
230,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 241,303 | ||||||
30,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 32,801 | ||||||
115,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 126,423 | ||||||
130,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 149,337 | ||||||
8,630,000 | Owl Rock Capital Corp., 4.250%, 1/15/2026 | 7,938,322 | ||||||
1,550,000 | Owl Rock Technology Finance Corp., 2.500%, 1/15/2027 | 1,307,868 | ||||||
2,120,000 | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A | 1,992,774 | ||||||
325,000 | Pacific Gas & Electric Co., 3.500%, 8/01/2050 | 217,085 | ||||||
320,000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 | 309,673 | ||||||
310,000 | Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A | 235,228 | ||||||
1,205,000 | Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A | 944,684 | ||||||
70,000 | Pilgrim’s Pride Corp., 4.250%, 4/15/2031, 144A | 58,414 | ||||||
1,060,000 | Post Holdings, Inc., 4.500%, 9/15/2031, 144A | 866,921 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
United States – continued |
| |||||||
2,165,000 | Prologis Euro Finance LLC, 0.250%, 9/10/2027, (EUR)(b) | $ | 1,943,351 | |||||
1,530,000 | Prologis Euro Finance LLC, 0.375%, 2/06/2028, (EUR)(b) | 1,369,802 | ||||||
365,000 | Prologis LP, 2.250%, 6/30/2029, (GBP) | 400,279 | ||||||
890,000 | Range Resources Corp., 4.875%, 5/15/2025 | 868,106 | ||||||
165,000 | Range Resources Corp., 5.000%, 3/15/2023 | 163,763 | ||||||
1,100,000 | Realty Income Corp., EMTN, 1.625%, 12/15/2030, (GBP) | 1,108,289 | ||||||
5,850,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 4,834,498 | ||||||
6,794,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 | 5,342,258 | ||||||
130,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 102,222 | ||||||
12,301,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 9,217,016 | ||||||
4,510,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 3,202,100 | ||||||
2,175,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A | 1,545,033 | ||||||
4,130,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 2,870,350 | ||||||
810,000 | Santander Holdings USA, Inc., 3.450%, 6/02/2025 | 778,904 | ||||||
1,605,000 | SBA Communications Corp., 3.125%, 2/01/2029 | 1,313,692 | ||||||
1,020,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 957,199 | ||||||
525,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 492,350 | ||||||
435,000 | Sensata Technologies BV, 4.000%, 4/15/2029, 144A | 368,915 | ||||||
140,000 | Silgan Holdings, Inc., 3.250%, 3/15/2025, (EUR) | 138,264 | ||||||
315,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 269,175 | ||||||
2,785,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A | 2,429,912 | ||||||
410,000 | T-Mobile USA, Inc., 2.400%, 3/15/2029 | 354,065 | ||||||
735,000 | T-Mobile USA, Inc., 2.700%, 3/15/2032 | 616,655 | ||||||
6,900,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 6,037,500 | ||||||
5,840,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 5,042,431 | ||||||
2,805,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 2,617,783 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
United States – continued |
| |||||||
$ 255,000 | Tapestry, Inc., 3.050%, 3/15/2032 | $ | 207,752 | |||||
165,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 150,414 | ||||||
165,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | 157,440 | ||||||
420,000 | Terminix Co. LLC (The), 7.450%, 8/15/2027 | 468,300 | ||||||
100,000 | Thermo Fisher Scientific, Inc., EMTN, 1.500%, 10/01/2039, (EUR) | 75,378 | ||||||
245,000 | Thermo Fisher Scientific, Inc., EMTN, 1.875%, 10/01/2049, (EUR) | 175,256 | ||||||
90,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 70,256 | ||||||
85,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 74,198 | ||||||
400,000 | TopBuild Corp., 4.125%, 2/15/2032, 144A | 307,936 | ||||||
11,330,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 8,764,779 | ||||||
615,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 476,625 | ||||||
75,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 67,929 | ||||||
90,000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 85,332 | ||||||
5,000 | TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024 | 4,865 | ||||||
775,000 | TriNet Group, Inc., 3.500%, 3/01/2029, 144A | 638,344 | ||||||
59,537 | U.S. Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026 | 59,343 | ||||||
238,969 | U.S. Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026 | 219,684 | ||||||
5,320,000 | U.S. Treasury Bond, 2.250%, 2/15/2052(b) | 4,378,194 | ||||||
4,667,557 | U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2027(b)(i) | 4,650,601 | ||||||
13,225,564 | U.S. Treasury Inflation Indexed Note, 0.625%, 4/15/2023(b)(i) | 13,451,329 | ||||||
32,370,000 | U.S. Treasury Note, 0.125%, 1/31/2023(b)(j) | 31,913,532 | ||||||
5,310,000 | U.S. Treasury Note, 0.125%, 3/31/2023(b) | 5,206,911 | ||||||
7,860,000 | U.S. Treasury Note, 0.125%, 4/30/2023(b) | 7,683,150 | ||||||
14,775,000 | U.S. Treasury Note, 0.500%, 11/30/2023(b) | 14,272,881 | ||||||
2,910,000 | U.S. Treasury Note, 0.875%, 1/31/2024(b) | 2,815,880 | ||||||
14,450,000 | U.S. Treasury Note, 1.750%, 3/15/2025 | 13,969,650 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
United States – continued |
| |||||||
$ 17,750,000 | U.S. Treasury Note, 2.250%, 3/31/2024 | $ | 17,526,738 | |||||
13,115,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 10,787,087 | ||||||
10,745,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 9,937,406 | ||||||
1,555,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 1,506,453 | ||||||
140,000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A | 139,370 | ||||||
313,438 | United Airlines Pass Through Trust, Series 2016-2, Class B, 3.650%, 4/07/2027 | 276,844 | ||||||
2,134,041 | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029(b) | 2,097,335 | ||||||
770,000 | United Rentals North America, Inc., 3.750%, 1/15/2032 | 632,205 | ||||||
710,000 | United Rentals North America, Inc., 3.875%, 2/15/2031 | 598,947 | ||||||
3,095,000 | Verizon Communications, Inc., Series MPLE, 2.500%, 5/16/2030, (CAD)(b) | 2,015,838 | ||||||
860,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A | 785,447 | ||||||
740,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A | 680,800 | ||||||
640,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A | 608,800 | ||||||
525,000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A | 518,437 | ||||||
130,000 | Western Digital Corp., 2.850%, 2/01/2029 | 105,845 | ||||||
90,000 | Western Digital Corp., 3.100%, 2/01/2032 | 69,012 | ||||||
360,000 | Western Midstream Operating LP, 4.550%, 2/01/2030 | 311,400 | ||||||
820,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 661,043 | ||||||
150,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 124,671 | ||||||
115,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 93,725 | ||||||
475,000 | Western Midstream Operating LP, 5.750%, 2/01/2050 | 381,453 | ||||||
60,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 | 66,001 | ||||||
89,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 | 102,948 | ||||||
1,595,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 1,409,182 | ||||||
|
| |||||||
421,355,329 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Uruguay – 0.1% |
| |||||||
$ | 1,415,000 | Uruguay Government International Bond, 4.375%, 1/23/2031 | $ | 1,429,592 | ||||
86,955,000 | Uruguay Government International Bond, 8.250%, 5/21/2031, (UYU) | 1,870,139 | ||||||
|
| |||||||
3,299,731 | ||||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $1,159,720,810) | 999,983,417 | |||||||
|
| |||||||
Convertible Bonds – 2.4% | ||||||||
United States – 2.4% |
| |||||||
40,000 | Bentley Systems, Inc., 0.375%, 7/01/2027, 144A | 31,000 | ||||||
14,785,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 14,693,333 | ||||||
8,470,000 | DISH Network Corp., Zero Coupon, 0.000%-9.514%, 12/15/2025(k) | 5,949,582 | ||||||
545,000 | DISH Network Corp., 2.375%, 3/15/2024 | 479,600 | ||||||
26,970,000 | DISH Network Corp., 3.375%, 8/15/2026 | 18,218,235 | ||||||
805,000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%-0.979%, 4/01/2026(k) | 731,986 | ||||||
305,000 | JetBlue Airways Corp., 0.500%, 4/01/2026 | 224,328 | ||||||
5,340,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 4,526,184 | ||||||
6,630,000 | NCL Corp. Ltd., 1.125%, 2/15/2027, 144A | 4,253,145 | ||||||
550,000 | Nutanix, Inc., 0.250%, 10/01/2027, 144A | 380,215 | ||||||
135,000 | Peloton Interactive, Inc., Zero Coupon, 1.146%, 2/15/2026(f) | 86,597 | ||||||
230,000 | Penn National Gaming, Inc., 2.750%, 5/15/2026 | 340,699 | ||||||
115,000 | RingCentral, Inc., Zero Coupon, 7.146%-7.470%, 3/15/2026(k) | 86,365 | ||||||
695,000 | Snap, Inc., Zero Coupon, 6.697%-7.114%, 5/01/2027(k) | 481,287 | ||||||
8,160,000 | Southwest Airlines Co., 1.250%, 5/01/2025(b) | 9,608,400 | ||||||
1,340,000 | Splunk, Inc., 1.125%, 6/15/2027 | 1,105,500 | ||||||
655,000 | Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(k) | 516,795 | ||||||
17,320,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 12,686,900 | ||||||
250,000 | Twitter, Inc., Zero Coupon, 1.483%, 3/15/2026(f) | 221,266 | ||||||
8,113,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-5.582%, 12/15/2025(k) | 6,483,261 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Convertible Bonds – continued | ||||||||
United States – continued |
| |||||||
$ 120,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | $ | 119,880 | |||||
|
| |||||||
Total Convertible Bonds (Identified Cost $104,840,506) | 81,224,558 | |||||||
|
| |||||||
Municipals – 0.0% | ||||||||
United States – 0.0% |
| |||||||
120,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $119,990) | 111,463 | ||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $1,264,681,306) | 1,081,319,438 | |||||||
|
| |||||||
Shares | ||||||||
Preferred Stocks – 0.2% | ||||||||
Convertible Preferred Stocks – 0.2% | ||||||||
United States – 0.2% |
| |||||||
5,415 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(c)(d) | 6,208,839 | ||||||
38,952 | El Paso Energy Capital Trust I, 4.750% | 1,809,321 | ||||||
|
| |||||||
8,018,160 | ||||||||
|
| |||||||
Total Convertible Preferred Stocks (Identified Cost $7,306,436) | 8,018,160 | |||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $7,306,436) | 8,018,160 | |||||||
|
| |||||||
Principal Amount (‡) | ||||||||
Short-Term Investments – 2.1% | ||||||||
$ 70,026,300 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2022 at 0.350% to be repurchased at $70,026,981 on 7/01/2022 collateralized by $71,104,700 U.S. Treasury Note, 3.250% due 6/30/2027 valued at $71,426,875 including accrued interest(l) (Identified Cost $70,026,300) | 70,026,300 | ||||||
|
| |||||||
Total Investments – 99.1% (Identified Cost $3,418,510,014) | 3,353,399,639 | |||||||
Other assets less liabilities – 0.9% | 30,560,145 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 3,383,959,784 | ||||||
|
|
(†) | 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: |
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.
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.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.
Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Centrally cleared swap agreements are valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.
As of June 30, 2022, securities held by the Fund were fair valued as follows:
Equity securities1 | Percentage of Net Assets | Securities classified as fair valued | Percentage of Net Assets | |||||||||||
$ | 426,235,281 | 12.6 | % | $ | 6,492,612 | 0.2 | % |
1 | Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of foreign market were believed to materially affect the value of those securities. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
(††) | Amount shown represents units. One unit represents a principal amount of 1,000. |
(†††) | Amount shown represents principal amount including inflation adjustments. |
(††††) | Amount shown represents units. One unit represents a principal amount of 100. |
(a) | Non-income producing security. |
(b) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
(c) | Illiquid security. |
(d) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2022, the value of these securities amounted to $6,492,612 or 0.2% of net assets. |
(e) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(f) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(g) | Perpetual bond with no specified maturity date. |
(h) | Variable rate security. Rate as of June 30, 2022 is disclosed. |
(i) | Treasury Inflation Protected Security (TIPS). |
(j) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(k) | 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. |
(l) | 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. |
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 $347,365,112 or 10.3% of net assets. | |
CPI | Consumer Price Index | |
EMTN | Euro Medium Term Note | |
GMTN | Global Medium Term Note | |
MTN | Medium Term Note | |
SOFR | Secured Overnight Financing Rate | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
COP | Colombian Peso | |
EUR | Euro | |
GBP | British Pound | |
IDR | Indonesian Rupiah | |
ILS | Israeli Shekel | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
MXN | Mexican Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PLN | Polish Zloty | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
UYU | Uruguayan Peso | |
ZAR | South African Rand |
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 | % | 2,752,200 | $ | (60,587 | ) | $ | (79,068 | ) | $ | (18,481 | ) | |||||||||||||
CDX.NA HY* Series 38 500, 5-Year | 5.00 | % | 6/20/2027 | 5.78 | % | 1,148,400 | (29,854 | ) | (32,992 | ) | (3,138 | ) | ||||||||||||||||
CDX.NA HY* Series 38 500, 5-Year | 5.00 | % | 6/20/2027 | 5.78 | % | 1,148,400 | (26,882 | ) | (32,993 | ) | (6,111 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
Total |
| $ | (145,053 | ) | $ | (27,730 | ) | |||||||||||||||||||||
|
|
|
|
(‡) | Notional value stated in U.S. dollars unless otherwise noted. |
^ | Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
* | CDX.NA.HY is an index composed of North American high yield credit default swaps. |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.
At June 30, 2022, the Fund had the following open forward foreign currency contracts:
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||||
Bank of America, N.A. | 9/21/2022 | MXN | S | 256,059,000 | $ | 12,817,305 | $ | 12,551,394 | $ | 265,911 | ||||||||||
Bank of America, N.A. | 9/21/2022 | KRW | B | 5,850,000,000 | 4,668,795 | 4,514,057 | (154,738 | ) | ||||||||||||
Credit Suisse International | 9/21/2022 | CAD | B | 53,700,000 | 41,705,499 | 41,724,536 | 19,037 | |||||||||||||
Credit Suisse International | 9/21/2022 | CAD | S | 97,769,000 | 77,800,616 | 75,965,850 | 1,834,766 | |||||||||||||
Credit Suisse International | 9/21/2022 | COP | S | 35,586,490,000 | 9,225,512 | 8,461,069 | 764,443 | |||||||||||||
Credit Suisse International | 9/21/2022 | GBP | B | 12,371,000 | 15,306,700 | 15,081,751 | (224,949 | ) | ||||||||||||
Credit Suisse International | 9/21/2022 | JPY | B | 10,347,483,000 | 78,372,804 | 76,680,760 | (1,692,044 | ) | ||||||||||||
HSBC Bank USA | 9/21/2022 | AUD | B | 18,075,000 | 13,069,020 | 12,484,400 | (584,620 | ) | ||||||||||||
Morgan Stanley Capital Services, Inc. | 9/21/2022 | EUR | B | 147,481,000 | 158,927,885 | 155,412,844 | (3,515,041 | ) | ||||||||||||
Morgan Stanley Capital Services, Inc. | 9/21/2022 | EUR | S | 13,239,000 | 14,033,446 | 13,951,022 | 82,424 | |||||||||||||
Morgan Stanley Capital Services, Inc. | 9/21/2022 | NZD | S | 6,003,000 | 3,909,742 | 3,745,841 | 163,901 | |||||||||||||
UBS AG | 9/21/2022 | IDR | S | 105,333,420,000 | 7,208,515 | 7,060,288 | 148,227 | |||||||||||||
UBS AG | 9/21/2022 | SEK | B | 7,350,000 | 755,475 | 720,848 | (34,627 | ) | ||||||||||||
|
| |||||||||||||||||||
Total |
| $ | (2,927,310 | ) | ||||||||||||||||
|
|
At June 30, 2022, the Fund had the following open forward cross currency contracts:
Counterparty | Settlement Date | Deliver/Units of Currency | Receive/Units of Currency | Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 9/21/2022 | NOK | 30,959,000 | EUR | 3,051,590 | $ | 3,215,712 | $ | 67,135 | |||||||||||||||
|
|
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 long 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 | 88 | $ | 10,788,455 | $ | 11,209,000 | $ | 420,545 | ||||||||||
Ultra Long U.S. Treasury Bond | 9/21/2022 | 31 | 4,913,093 | 4,784,656 | (128,437 | ) | ||||||||||||
|
| |||||||||||||||||
Total |
| $ | 292,108 | |||||||||||||||
|
|
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 | ||||||||||||
Common Stocks | ||||||||||||||||
France | $ | — | $ | 107,913,200 | $ | — | $ | 107,913,200 | ||||||||
Hong Kong | — | 30,312,474 | — | 30,312,474 | ||||||||||||
India | — | 22,393,898 | — | 22,393,898 | ||||||||||||
Japan | — | 48,009,495 | — | 48,009,495 | ||||||||||||
Netherlands | — | 92,607,283 | — | 92,607,283 | ||||||||||||
Sweden | — | 46,387,051 | — | 46,387,051 | ||||||||||||
Taiwan | — | 60,755,872 | — | 60,755,872 | ||||||||||||
United Kingdom | 96,010,868 | 17,856,008 | — | 113,866,876 | ||||||||||||
All Other Common Stocks* | 1,671,789,592 | — | — | 1,671,789,592 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 1,767,800,460 | 426,235,281 | — | 2,194,035,741 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Bonds and Notes* | — | 1,081,319,438 | — | 1,081,319,438 | ||||||||||||
Preferred Stocks* | 1,809,321 | 6,208,839 | — | 8,018,160 | ||||||||||||
Short-Term Investments | — | 70,026,300 | — | 70,026,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 1,769,609,781 | 1,583,789,858 | — | 3,353,399,639 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 3,345,844 | — | 3,345,844 | ||||||||||||
Futures Contracts (unrealized appreciation) | 420,545 | — | — | 420,545 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,770,030,326 | $ | 1,587,135,702 | $ | — | $ | 3,357,166,028 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs |
| |||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation) | $ | — | $ | (27,730 | ) | $ | — | $ | (27,730 | ) | ||||||
Forward Foreign Currency Contracts (unrealized depreciation) | — | (6,206,019 | ) | — | (6,206,019 | ) | ||||||||||
Futures Contracts (unrealized depreciation) | (128,437 | ) | — | — | (128,437 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (128,437 | ) | $ | (6,233,749 | ) | $ | — | $ | (6,362,186 | ) | |||||
|
|
|
|
|
|
|
|
* | 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 swap agreements, forward foreign currency contracts and futures contracts.
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 foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. As of June 30, 2022, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.
The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may also 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 on forward foreign currency contracts | Unrealized appreciation on futures contracts | ||||||
Over-the-counter asset derivatives | ||||||||
Foreign exchange contracts | $ | 3,345,844 | $ | — | ||||
Exchange-traded/ asset derivatives | ||||||||
Interest rate contracts | — | 420,545 | ||||||
|
|
|
| |||||
Total asset derivatives | $ | 3,345,844 | $ | 420,545 | ||||
|
|
|
|
Liabilities | Swap agreements at value | Unrealized depreciation on forward foreign currency contracts | Unrealized depreciation on futures contracts | |||||||||
Over-the-counter liability derivatives | ||||||||||||
Foreign exchange contracts | $ | — | $ | (6,206,019 | ) | $ | — | |||||
Exchange-traded/cleared liability derivatives | ||||||||||||
Interest rate contracts | — | — | (128,437 | ) | ||||||||
Credit Contracts | (145,053 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total liability derivatives | $ | (145,053 | ) | $ | (6,206,019 | ) | $ | (128,437 | ) | |||
|
|
|
|
|
|
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.
Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of June 30, 2022, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty: | Derivatives | Collateral Pledged | ||||||
HSBC Bank USA | $ | (584,620 | ) | $ | 490,000 | |||
Morgan Stanley Capital Services, Inc. | (3,201,581 | ) | 3,100,999 |
Timing differences may exist between when contracts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2022:
Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | |||||||
$ | 8,638,094 | $ | 2,372,504 |
Net loss amount reflects cash received as collateral of $410,000.
Industry Summary at June 30, 2022 (Unaudited)
Treasuries | 8.8 | % | ||
Life Sciences Tools & Services | 7.4 | |||
Semiconductors & Semiconductor Equipment | 7.3 | |||
IT Services | 7.0 | |||
Software | 6.9 | |||
Capital Markets | 5.1 | |||
Chemicals | 4.7 | |||
Machinery | 4.0 | |||
Interactive Media & Services | 3.4 | |||
Banking | 3.4 | |||
Health Care Providers & Services | 2.7 | |||
Internet & Direct Marketing Retail | 2.7 | |||
Cable Satellite | 2.4 | |||
Specialty Retail | 2.2 | |||
Food & Staples Retailing | 2.1 | |||
Hotels, Restaurants & Leisure | 2.1 | |||
Banks | 2.0 | |||
Other Investments, less than 2% each | 22.8 | |||
Short-Term Investments | 2.1 | |||
|
| |||
Total Investments | 99.1 | |||
Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts) | 0.9 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
Currency Exposure Summary at June 30, 2022 (Unaudited)
United States Dollar | 78.7 | % | ||
Euro | 7.2 | |||
Other, less than 2% each | 13.2 | |||
|
| |||
Total Investments | 99.1 | |||
Other assets less liabilities (including swap agreements, forward foreign currency and futures contracts) | 0.9 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|