PORTFOLIO OF INVESTMENTS – as of September 30, 2022 (Unaudited)
Loomis Sayles Investment Grade Bond Fund
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – 82.1% of Net Assets | ||||||||
Non-Convertible Bonds – 80.9% | ||||||||
ABS Car Loan – 5.7% |
| |||||||
$ | 5,471,008 | American Credit Acceptance Receivables Trust, Series 2019-3, Class D, 2.890%, 9/12/2025, 144A | $ | 5,454,271 | ||||
3,200,000 | American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028, 144A | 2,911,817 | ||||||
1,965,000 | AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024 | 1,959,669 | ||||||
10,515,000 | AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024 | 10,429,346 | ||||||
25,880,000 | AmeriCredit Automobile Receivables Trust, Series 2019-1, Class D, 3.620%, 3/18/2025 | 25,530,535 | ||||||
12,340,000 | AmeriCredit Automobile Receivables Trust, Series 2019-2, Class D, 2.990%, 6/18/2025 | 12,025,094 | ||||||
1,395,000 | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026 | 1,309,530 | ||||||
11,000,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class D, 3.040%, 3/20/2025, 144A | 10,214,743 | ||||||
1,940,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A | 1,863,997 | ||||||
8,910,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A | 7,941,023 | ||||||
7,500,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class D, 4.080%, 2/20/2028, 144A | 5,971,583 | ||||||
13,585,000 | CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025 | 13,524,889 | ||||||
5,811,000 | CarMax Auto Owner Trust, Series 2019-2, Class D, 3.410%, 10/15/2025 | 5,626,111 | ||||||
2,315,000 | CarMax Auto Owner Trust, Series 2019-3, Class D, 2.850%, 1/15/2026 | 2,258,446 | ||||||
4,625,000 | CarMax Auto Owner Trust, Series 2020-1, Class D, 2.640%, 7/15/2026 | 4,418,785 | ||||||
2,550,000 | CarMax Auto Owner Trust, Series 2021-3, Class D, 1.500%, 1/18/2028 | 2,246,609 | ||||||
1,100,000 | CarMax Auto Owner Trust, Series 2022-1, Class D, 2.470%, 7/17/2028 | 992,603 | ||||||
2,525,000 | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C, 2.730%, 11/15/2029, 144A | 2,438,963 | ||||||
275,000 | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A | 256,907 | ||||||
4,172,413 | Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026 | 4,175,441 | ||||||
9,037,446 | Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026 | 9,013,615 | ||||||
3,260,071 | Drive Auto Receivables Trust, Series 2019-2, Class D, 3.690%, 8/17/2026 | 3,237,271 | ||||||
4,527,421 | DT Auto Owner Trust, Series 2019-1A, Class D, 3.870%, 11/15/2024, 144A | 4,525,283 | ||||||
3,024,653 | DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A | 3,004,334 | ||||||
3,205,742 | DT Auto Owner Trust, Series 2019-3A, Class D, 2.960%, 4/15/2025, 144A | 3,161,073 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Car Loan – continued |
| |||||||
$ | 10,500,000 | DT Auto Owner Trust, Series 2022-1A, Class D, 3.400%, 12/15/2027, 144A | $ | 9,636,257 | ||||
7,410,000 | Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026 | 7,004,362 | ||||||
2,685,000 | Exeter Automobile Receivables Trust, Series 2022-2A, Class D, 4.560%, 7/17/2028 | 2,524,877 | ||||||
3,790,000 | First Investors Auto Owner Trust, Series 2019-1A, Class D, 3.550%, 4/15/2025, 144A | 3,774,261 | ||||||
2,660,000 | First Investors Auto Owner Trust, Series 2022-1A, Class D, 3.790%, 6/15/2028, 144A | 2,409,017 | ||||||
4,610,000 | Flagship Credit Auto Trust, Series 2019-3, Class D, 2.860%, 12/15/2025, 144A | 4,446,719 | ||||||
12,823,157 | Ford Credit Auto Owner Trust, Series 2020-B, Class A3, 0.560%, 10/15/2024 | 12,659,668 | ||||||
13,159,928 | Ford Credit Auto Owner Trust, Series 2020-C, Class A3, 0.410%, 7/15/2025 | 12,825,692 | ||||||
25,131,597 | Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025 | 24,368,640 | ||||||
6,288,434 | GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A | 6,266,718 | ||||||
1,545,330 | GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024 | 1,536,403 | ||||||
8,457,917 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025 | 8,215,102 | ||||||
21,335,000 | GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026 | 20,481,075 | ||||||
1,400,000 | GMF Floorplan Owner Revolving Trust, Series 2020-1, Class C, 1.480%, 8/15/2025, 144A | 1,353,537 | ||||||
11,298,000 | Hertz Vehicle Financing III LLC, Series 2022-1 1A, Class D, 4.850%, 6/25/2026, 144A | 9,862,736 | ||||||
8,396,000 | Hertz Vehicle Financing III LLC, Series 2022-3 3A, Class D, 6.310%, 3/25/2025, 144A | 7,981,775 | ||||||
6,675,000 | Hertz Vehicle Financing LLC, Class D, Series 2022-4A, 6.560%, 9/25/2026, 144A | 6,026,043 | ||||||
14,160,395 | Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025 | 13,744,866 | ||||||
1,314,227 | JPMorgan Chase Bank NA, Series 2021-1, Class D, 1.174%, 9/25/2028, 144A | 1,264,743 | ||||||
1,475,591 | Nissan Auto Receivables Owner Trust, Series 2019-C, Class A3, 1.930%, 7/15/2024 | 1,470,034 | ||||||
6,591,484 | Nissan Auto Receivables Owner Trust, Series 2020-B, Class A3, 0.550%, 7/15/2024 | 6,521,410 | ||||||
4,350,000 | Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A | 4,262,887 | ||||||
9,375,543 | Santander Drive Auto Receivables Trust, Series 2019-1, Class D, 3.650%, 4/15/2025 | 9,377,267 | ||||||
4,950,879 | Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025 | 4,923,656 | ||||||
6,181,994 | Santander Drive Auto Receivables Trust, Series 2019-3, Class D, 2.680%, 10/15/2025 | 6,147,872 | ||||||
12,815,000 | Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028 | 12,853,383 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Car Loan – continued |
| |||||||
$ | 2,900,000 | Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026 | $ | 2,834,715 | ||||
1,227,829 | Westlake Automobile Receivables Trust, Series 2019-1A, Class D, 3.670%, 3/15/2024, 144A | 1,227,584 | ||||||
|
| |||||||
350,493,237 | ||||||||
|
| |||||||
ABS Credit Card – 0.3% |
| |||||||
3,460,000 | Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A | 3,393,731 | ||||||
6,355,000 | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A | 6,037,247 | ||||||
5,000,000 | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class C, 4.210%, 3/20/2026, 144A | 4,558,911 | ||||||
1,525,000 | Mission Lane Credit Card Master Trust, Series 2021-A, Class B, 2.240%, 9/15/2026, 144A | 1,471,366 | ||||||
|
| |||||||
15,461,255 | ||||||||
|
| |||||||
ABS Home Equity – 4.5% |
| |||||||
15,451,000 | American Homes 4 Rent Trust, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A | 15,207,185 | ||||||
1,133,053 | Brass PLC, Series 8A, Class A1, 3-month LIBOR + 0.700%, 3.622%, 11/16/2066, 144A(a) | 1,132,991 | ||||||
10,390,000 | CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(b) | 9,377,827 | ||||||
1,427,286 | Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(b) | 1,377,589 | ||||||
3,541,111 | Citigroup Mortgage Loan Trust, Series 2019-RP1, Class A1, 3.500%, 1/25/2066, 144A(b) | 3,352,797 | ||||||
2,434,000 | CoreVest American Finance Trust, Series 2019-1, Class D, 4.818%, 3/15/2052, 144A | 2,213,384 | ||||||
3,200,434 | CoreVest American Finance Trust, Series 2019-3, Class A, 2.705%, 10/15/2052, 144A | 3,017,984 | ||||||
2,929,000 | CoreVest American Finance Trust, Series 2019-3, Class B, 3.163%, 10/15/2052, 144A | 2,517,312 | ||||||
1,259,000 | CoreVest American Finance Trust, Series 2020-2, Class C, 4.751%, 5/15/2052, 144A(b) | 1,150,947 | ||||||
1,870,000 | CoreVest American Finance Trust, Series 2021-3, Class D, 3.469%, 10/15/2054, 144A | 1,446,716 | ||||||
3,172,300 | Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(b) | 3,056,876 | ||||||
5,250,003 | Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060, 144A(b) | 4,930,580 | ||||||
6,899,166 | Federal Home Loan Mortgage Corp., Series 2022-DNA3, Class M1A, 30-day Average SOFR + 2.000%, 4.281%, 4/25/2042, 144A(a) | 6,830,304 | ||||||
1,515,000 | FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A | 1,348,114 | ||||||
11,696,000 | FirstKey Homes Trust, Series 2020-SFR2, Class D, 1.968%, 10/19/2037, 144A | 10,402,731 | ||||||
3,083,000 | FirstKey Homes Trust, Series 2020-SRF1, Class D, 2.241%, 8/17/2037, 144A | 2,753,236 | ||||||
9,710,000 | FirstKey Homes Trust, Series 2022- SFR2, Class D, 4.500%, 7/17/2039, 144A | 8,893,641 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Home Equity – continued |
| |||||||
$ | 4,192,970 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(b) | $ | 3,954,706 | ||||
2,379,340 | Home Partners of America Trust, Series 2019-1, Class D, 3.406%, 9/17/2039, 144A | 2,059,283 | ||||||
2,440,805 | Home Partners of America Trust, Series 2019-2, Class D, 3.121%, 10/19/2039, 144A | 2,040,722 | ||||||
1,017,162 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A | 817,736 | ||||||
10,484,795 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A | 9,035,708 | ||||||
5,232,644 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A | 4,478,690 | ||||||
895,000 | Lanark Master Issuer PLC, Series 2020-1A, Class 1A, 2.277%, 12/22/2069, 144A(b) | 892,304 | ||||||
8,252,776 | Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 3.250%, 11/25/2059, 144A(b) | 8,245,134 | ||||||
5,757,399 | Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(b) | 5,719,922 | ||||||
1,547,257 | Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(b) | 1,508,329 | ||||||
2,143,993 | Legacy Mortgage Asset Trust, Series 2021-GS4, Class A1, 1.650%, 11/25/2060, 144A(b) | 1,959,677 | ||||||
1,467,786 | Mill City Mortgage Loan Trust, Series 2018-2, Class M1, 3.750%, 5/25/2058, 144A(b) | 1,394,224 | ||||||
2,484,590 | Mill City Mortgage Loan Trust, Series 2019-1, Class A1, 3.250%, 10/25/2069, 144A(b) | 2,345,300 | ||||||
2,744,944 | Mill City Mortgage Loan Trust, Series 2019-1, Class M1, 3.500%, 10/25/2069, 144A(b) | 2,403,666 | ||||||
5,368,364 | Mill City Mortgage Loan Trust, Series 2019-GS1, Class A1, 2.750%, 7/25/2059, 144A(b) | 5,137,938 | ||||||
3,860,000 | Progress Residential Trust, Series 2019-SFR4, Class D, 3.136%, 10/17/2036, 144A | 3,626,712 | ||||||
155,000 | Progress Residential Trust, Series 2020-SFR2, Class C, 3.077%, 6/17/2037, 144A | 142,522 | ||||||
295,000 | Progress Residential Trust, Series 2020-SFR3, Class B, 1.495%, 10/17/2027, 144A | 263,293 | ||||||
1,818,000 | Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A | 1,605,431 | ||||||
5,780,000 | Progress Residential Trust, Series 2021-SFR2, Class E1, 2.547%, 4/19/2038, 144A | 4,906,283 | ||||||
2,420,000 | Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A | 2,058,241 | ||||||
2,015,000 | Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A | 1,709,011 | ||||||
3,575,000 | Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038, 144A | 3,020,476 | ||||||
1,795,000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A | 1,502,972 | ||||||
1,400,000 | Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040, 144A | 1,089,514 | ||||||
960,000 | Progress Residential Trust, Series 2021-SFR9, Class E2, 3.010%, 11/17/2040, 144A | 741,682 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Home Equity – continued |
| |||||||
$ | 4,308,528 | PRPM LLC, Series 2020-4, Class A1, 2.951%, 10/25/2025, 144A(b) | $ | 4,138,731 | ||||
6,943,648 | PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026, 144A(b) | 6,442,485 | ||||||
5,970,334 | PRPM LLC, Series 2021-10, Class A1, 2.487%, 10/25/2026, 144A(b) | 5,441,189 | ||||||
251,870 | PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(b) | 234,261 | ||||||
6,198,464 | PRPM LLC, Series 2021-8, Class A1, 1.743%, 9/25/2026, 144A(b) | 5,659,770 | ||||||
15,330,000 | PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027, 144A(b) | 15,192,550 | ||||||
398,575 | Sequoia Mortgage Trust, Series 2017-CH2, Class A1, 4.000%, 12/25/2047, 144A(b) | 372,697 | ||||||
214,833 | Sequoia Mortgage Trust, Series 2019-CH2, Class A1, 4.500%, 8/25/2049, 144A(b) | 211,113 | ||||||
4,930,000 | Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(b) | 4,224,655 | ||||||
6,390,000 | Towd Point Mortgage Trust, Series 2017-5, Class M2, 1-month LIBOR + 1.500%, 3.277%, 2/25/2057, 144A(a) | 6,203,641 | ||||||
1,775,000 | Towd Point Mortgage Trust, Series 2018-4, Class A2, 3.000%, 6/25/2058, 144A(b) | 1,475,662 | ||||||
1,943,340 | Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(b) | 1,565,699 | ||||||
17,610,000 | Towd Point Mortgage Trust, Series 2019-2, Class M1, 3.750%, 12/25/2058, 144A(b) | 14,499,178 | ||||||
5,343,435 | Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(b) | 5,031,049 | ||||||
3,325,000 | Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060, 144A(b) | 2,825,759 | ||||||
3,950,000 | Tricon American Homes, Series 2020-SFR1, Class D, 2.548%, 7/17/2038, 144A | 3,388,496 | ||||||
2,575,000 | Tricon American Homes Trust, Series 2019-SFR1, Class D, 3.198%, 3/17/2038, 144A | 2,333,358 | ||||||
13,221,732 | VCAT Asset Securitization LLC, Series 2021-NPL6, Class A1, 1.917%, 9/25/2051, 144A(b) | 12,291,043 | ||||||
1,325,171 | VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b) | 1,268,795 | ||||||
8,189,162 | VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(b) | 7,492,918 | ||||||
2,815,915 | VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(b) | 2,556,433 | ||||||
7,109,460 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(b) | 6,599,417 | ||||||
6,236,540 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(b) | 5,783,244 | ||||||
4,483,096 | VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(b) | 4,111,284 | ||||||
8,888,744 | VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051, 144A(b) | 8,100,449 | ||||||
|
| |||||||
279,113,566 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Other – 2.0% |
| |||||||
$ | 5,984,097 | Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A | $ | 4,772,149 | ||||
11,270,000 | BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035, 144A | 9,707,117 | ||||||
4,110,174 | Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/2036, 144A | 3,608,539 | ||||||
7,262,500 | CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220%, 9/25/2045, 144A | 6,338,875 | ||||||
6,662,267 | CLI Funding VI LLC, Series 2020-3A, Class A, 2.070%, 10/18/2045, 144A | 5,794,833 | ||||||
3,836,950 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A | 3,284,798 | ||||||
940,000 | Dell Equipment Finance Trust, Series 2020-2, Class C, 1.370%, 1/22/2024, 144A | 917,780 | ||||||
945,000 | Dell Equipment Finance Trust, Series 2020-2, Class D, 1.920%, 3/23/2026, 144A | 924,448 | ||||||
2,482,812 | Horizon Aircraft Finance II Ltd., Series 2019-1, Class A, 3.721%, 7/15/2039, 144A | 2,074,503 | ||||||
3,645,000 | HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A | 3,588,978 | ||||||
1,980,000 | HPEFS Equipment Trust, Series 2020-2A, Class C, 2.000%, 7/22/2030, 144A | 1,964,309 | ||||||
2,795,000 | HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A | 2,635,911 | ||||||
3,135,000 | HPEFS Equipment Trust, Series 2022-1A, Class D, 2.400%, 11/20/2029, 144A | 2,860,667 | ||||||
6,903,066 | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A | 5,816,022 | ||||||
8,481,215 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046, 144A | 7,438,365 | ||||||
10,368,308 | MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A | 9,236,029 | ||||||
2,391,989 | MAPS Ltd., Series 2019-1A, Class A, 4.458%, 3/15/2044, 144A | 2,094,550 | ||||||
1,881,996 | Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(b) | 1,431,488 | ||||||
476,569 | MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A | 439,498 | ||||||
304,583 | MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A | 283,366 | ||||||
12,915,863 | Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046, 144A(b) | 10,975,633 | ||||||
4,675,000 | OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A | 4,624,005 | ||||||
6,585,000 | OneMain Financial Issuance Trust, Series 2020-2A, Class A, 1.750%, 9/14/2035, 144A | 5,797,248 | ||||||
8,040,000 | OneMain Financial Issuance Trust, Series 2022-S1, Class D, 5.200%, 5/14/2035, 144A | 7,342,168 | ||||||
12,419,116 | S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A | 9,984,845 | ||||||
530,000 | SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.930%, 9/20/2030, 144A | 467,141 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Other – continued |
| |||||||
$ | 2,555,000 | SCF Equipment Leasing LLC, Series 2022-1A, Class D, 3.790%, 11/20/2031, 144A | $ | 2,234,171 | ||||
865,862 | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037, 144A | 792,091 | ||||||
390,000 | SLM Private Credit Student Loan Trust, Series 2003-C, Class A3, 28-day Auction Rate Security, 6.283%, 9/15/2032(a) | 377,398 | ||||||
770,000 | SLM Private Credit Student Loan Trust, Series 2003-C, Class A4, 28-day Auction Rate Security, 6.514%, 9/15/2032(a) | 745,118 | ||||||
3,776,290 | SoFi Consumer Loan Program Trust, Series 2019-4, Class C, 2.840%, 8/25/2028, 144A | 3,757,499 | ||||||
|
| |||||||
122,309,542 | ||||||||
|
| |||||||
ABS Student Loan – 0.7% |
| |||||||
745,000 | College Ave Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051, 144A | 661,945 | ||||||
2,839,999 | Commonbond Student Loan Trust, Series 2020-1, Class A, 1.690%, 10/25/2051, 144A | 2,459,149 | ||||||
2,266,581 | EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.800%, 11/25/2045, 144A | 1,941,374 | ||||||
3,360,267 | ELFI Graduate Loan Program LLC, Series 2019-A, Class A, 2.540%, 3/25/2044, 144A | 3,063,233 | ||||||
5,091,407 | Laurel Road Prime Student Loan Trust, Series 2020-A, Class A2FX, 1.400%, 11/25/2050, 144A | 4,558,281 | ||||||
941,377 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A | 855,115 | ||||||
3,475,113 | Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069, 144A | 3,056,902 | ||||||
560,000 | Navient Private Education Refi Loan Trust, Series 2021-A, Class B, 2.240%, 5/15/2069, 144A | 467,808 | ||||||
2,105,000 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069, 144A | 1,417,728 | ||||||
4,790,000 | Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070, 144A | 3,306,500 | ||||||
389,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day Auction Rate Security, 6.205%, 6/15/2032(a) | 378,461 | ||||||
295,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A4, 28-day Auction Rate Security, 6.552%, 6/15/2032(a) | 287,007 | ||||||
594,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day Auction Rate Security, 6.514%, 3/15/2033(a) | 576,066 | ||||||
403,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day Auction Rate Security, 6.559%, 3/15/2033(a) | 390,833 | ||||||
2,500,000 | SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A | 2,346,490 | ||||||
565,000 | SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A | 498,888 | ||||||
1,525,000 | SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A | 1,390,588 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Student Loan – continued |
| |||||||
$ | 6,027,943 | SMB Private Education Loan Trust, Series 2019-A, Class A2A, 3.440%, 7/15/2036, 144A | $ | 5,744,393 | ||||
10,123,968 | SMB Private Education Loan Trust, Series 2019-B, Class A2A, 2.840%, 6/15/2037, 144A | 9,563,192 | ||||||
804,570 | SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037, 144A | 750,606 | ||||||
|
| |||||||
43,714,559 | ||||||||
|
| |||||||
ABS Whole Business – 1.1% |
| |||||||
9,206,212 | Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A | 8,709,451 | ||||||
3,595,000 | Adams Outdoor Advertising LP, Series 2018-1, Class B, 5.653%, 11/15/2048, 144A | 3,376,089 | ||||||
7,078,090 | DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A | 6,438,464 | ||||||
2,852,585 | Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A | 2,622,961 | ||||||
5,111,838 | Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A | 4,708,416 | ||||||
4,012,125 | Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A | 3,459,515 | ||||||
15,276,625 | Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 4/25/2051, 144A | 12,580,056 | ||||||
3,936,000 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A | 3,705,311 | ||||||
1,642,553 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A | 1,400,838 | ||||||
17,094,675 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A | 16,881,219 | ||||||
2,452,688 | Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A | 2,179,929 | ||||||
|
| |||||||
66,062,249 | ||||||||
|
| |||||||
Aerospace & Defense – 1.8% |
| |||||||
13,620,000 | BAE Systems PLC, 3.400%, 4/15/2030, 144A | 11,795,477 | ||||||
29,500,000 | Boeing Co. (The), 2.196%, 2/04/2026 | 26,179,407 | ||||||
3,780,000 | Boeing Co. (The), 2.250%, 6/15/2026 | 3,322,105 | ||||||
4,874,000 | Boeing Co. (The), 2.950%, 2/01/2030 | 3,918,374 | ||||||
655,000 | Boeing Co. (The), 3.100%, 5/01/2026 | 597,951 | ||||||
3,225,000 | Boeing Co. (The), 3.200%, 3/01/2029 | 2,692,713 | ||||||
9,088,000 | Boeing Co. (The), 3.375%, 6/15/2046 | 5,490,697 | ||||||
3,564,000 | Boeing Co. (The), 3.625%, 3/01/2048 | 2,216,459 | ||||||
10,129,000 | Boeing Co. (The), 3.750%, 2/01/2050 | 6,542,321 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Aerospace & Defense – continued |
| |||||||
$ | 2,501,000 | Boeing Co. (The), 3.850%, 11/01/2048 | $ | 1,618,791 | ||||
5,870,000 | Boeing Co. (The), 5.150%, 5/01/2030 | 5,430,030 | ||||||
4,465,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 | 4,247,331 | ||||||
4,350,000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 | 3,986,492 | ||||||
6,885,000 | Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025 | 6,597,901 | ||||||
4,245,000 | Huntington Ingalls Industries, Inc., 4.200%, 5/01/2030 | 3,745,622 | ||||||
650,000 | Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039 | 683,222 | ||||||
29,075,000 | Textron, Inc., 3.000%, 6/01/2030 | 23,939,606 | ||||||
|
| |||||||
113,004,499 | ||||||||
|
| |||||||
Airlines – 0.8% |
| |||||||
1,533,253 | American Airlines Pass Through Trust, Series 2015-2, Class B, 4.400%, 3/22/2025 | 1,455,655 | ||||||
5,512,474 | American Airlines Pass Through Trust, Series 2016-1, Class B, 5.250%, 7/15/2025 | 5,222,518 | ||||||
11,568,439 | American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030 | 8,987,143 | ||||||
1,234,662 | American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 1,068,909 | ||||||
4,971,370 | American Airlines Pass Through Trust, Series 2017-2, Class A, 3.600%, 4/15/2031 | 4,024,893 | ||||||
2,655,670 | American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 2,319,141 | ||||||
15,981,865 | American Airlines Pass Through Trust, Series 2019-1, Class B, 3.850%, 8/15/2029 | 12,839,671 | ||||||
5,180,340 | British Airways Pass Through Trust, Series 2019-1, Class A, 3.350%, 12/15/2030, 144A | 4,381,894 | ||||||
2,301,928 | United Airlines Pass Through Trust, Series 2018-1, Class A, 3.700%, 9/01/2031 | 1,806,156 | ||||||
5,419,215 | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029 | 5,196,431 | ||||||
|
| |||||||
47,302,411 | ||||||||
|
| |||||||
Automotive – 1.6% |
| |||||||
25,580,000 | American Honda Finance Corp., MTN, 0.550%, 7/12/2024 | 23,747,482 | ||||||
5,274,000 | Cummins, Inc., 6.750%, 2/15/2027 | 5,574,274 | ||||||
8,600,000 | Ford Motor Co., 3.250%, 2/12/2032 | 6,194,838 | ||||||
9,966,000 | General Motors Co., 5.200%, 4/01/2045 | 7,588,321 | ||||||
27,915,000 | General Motors Co., 5.400%, 4/01/2048 | 21,788,089 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Automotive – continued |
| |||||||
$ | 205,000 | General Motors Co., 5.950%, 4/01/2049 | $ | 170,997 | ||||
9,600,000 | General Motors Co., 6.250%, 10/02/2043 | 8,338,838 | ||||||
24,360,000 | Volkswagen Group of America Finance LLC, 0.875%, 11/22/2023, 144A | 23,189,489 | ||||||
2,895,000 | Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A | 2,745,972 | ||||||
|
| |||||||
99,338,300 | ||||||||
|
| |||||||
Banking – 10.7% |
| |||||||
5,125,000 | Ally Financial, Inc., 2.200%, 11/02/2028 | 3,959,416 | ||||||
36,788,000 | Ally Financial, Inc., 4.625%, 3/30/2025 | 35,957,793 | ||||||
8,800,000 | Ally Financial, Inc., 5.750%, 11/20/2025 | 8,535,081 | ||||||
1,468,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 1,533,047 | ||||||
10,155,000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 5.375%, 4/17/2025, 144A | 9,873,300 | ||||||
5,800,000 | Banco Santander S.A., 2.749%, 12/03/2030 | 4,101,094 | ||||||
49,304,000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028 | 43,776,969 | ||||||
8,846,000 | Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036 | 6,389,370 | ||||||
100,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026 | 95,002 | ||||||
25,627,000 | Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027 | 23,741,917 | ||||||
24,260,000 | Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027 | 20,318,255 | ||||||
4,287,000 | Barclays PLC, (fixed rate to 6/20/2029, variable rate thereafter), 5.088%, 6/20/2030 | 3,726,952 | ||||||
18,255,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 13,414,132 | ||||||
3,335,000 | BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A | 2,987,297 | ||||||
14,045,000 | BNP Paribas S.A., (fixed rate to 1/20/2027, variable rate thereafter), 2.591%, 1/20/2028, 144A | 11,994,100 | ||||||
22,500,000 | BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A | 19,420,196 | ||||||
460,000 | Capital One Financial Corp., 4.200%, 10/29/2025 | 442,298 | ||||||
1,230,000 | Citigroup, Inc., 4.125%, 7/25/2028 | 1,109,591 | ||||||
30,355,000 | Citigroup, Inc., (fixed rate to 9/29/2025, variable rate thereafter), 5.610%, 9/29/2026 | 30,187,531 | ||||||
7,155,000 | Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033, 144A | 6,142,997 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Banking – continued |
| |||||||
$ | 14,970,000 | Credit Suisse AG, 3.700%, 2/21/2025 | $ | 14,051,381 | ||||
11,685,000 | Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A | 11,295,072 | ||||||
11,410,000 | Credit Suisse Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A | 10,613,012 | ||||||
14,200,000 | Danske Bank A/S, 5.375%, 1/12/2024, 144A | 14,120,186 | ||||||
3,390,000 | Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A | 3,151,466 | ||||||
4,690,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 3,158,468 | ||||||
2,640,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 2,070,678 | ||||||
9,260,000 | Deutsche Bank AG, (fixed rate to 9/18/2023, variable rate thereafter), 2.222%, 9/18/2024 | 8,819,480 | ||||||
6,235,000 | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031 | 4,753,912 | ||||||
19,755,000 | Deutsche Bank AG, Series E, 0.962%, 11/08/2023 | 18,796,249 | ||||||
61,445,000 | Goldman Sachs Group, Inc. (The), (fixed rate to 8/23/2027, variable rate thereafter), 4.482%, 8/23/2028 | 57,665,922 | ||||||
70,245,000 | JPMorgan Chase & Co., 4.125%, 12/15/2026 | 66,284,371 | ||||||
28,715,000 | JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031 | 26,120,384 | ||||||
12,025,000 | JPMorgan Chase & Co., (fixed rate to 4/22/2026, variable rate thereafter), 1.578%, 4/22/2027 | 10,381,240 | ||||||
100,000 | KeyBank NA, 6.950%, 2/01/2028 | 103,045 | ||||||
30,210,000 | Morgan Stanley, (fixed rate to 1/25/2023, variable rate thereafter), MTN, 0.529%, 1/25/2024 | 29,717,646 | ||||||
15,150,000 | Morgan Stanley, MTN, 4.100%, 5/22/2023 | 15,099,854 | ||||||
25,560,000 | Nationwide Building Society, 0.550%, 1/22/2024, 144A | 24,000,329 | ||||||
7,340,000 | NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028 | 6,966,206 | ||||||
15,160,000 | Santander Holdings USA, Inc., 3.244%, 10/05/2026 | 13,565,682 | ||||||
20,295,000 | Societe Generale S.A., 4.250%, 4/14/2025, 144A | 19,298,921 | ||||||
11,950,000 | Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A | 9,035,647 | ||||||
16,790,000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A | 12,326,342 | ||||||
7,090,000 | Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A | 6,193,230 | ||||||
3,270,000 | Synchrony Bank, 5.400%, 8/22/2025 | 3,188,217 | ||||||
9,645,000 | Synchrony Bank, 5.625%, 8/23/2027 | 9,216,858 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Banking – continued |
| |||||||
$ | 3,865,000 | Synchrony Financial, 4.375%, 3/19/2024 | $ | 3,795,693 | ||||
5,578,000 | UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027, 144A | 4,552,322 | ||||||
1,820,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | 1,353,242 | ||||||
|
| |||||||
657,401,393 | ||||||||
|
| |||||||
Brokerage – 0.4% |
| |||||||
19,498,000 | Jefferies Group LLC, 6.250%, 1/15/2036 | 18,210,791 | ||||||
8,760,000 | Jefferies Group LLC, 6.450%, 6/08/2027 | 8,881,127 | ||||||
|
| |||||||
27,091,918 | ||||||||
|
| |||||||
Building Materials – 1.2% |
| |||||||
33,030,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 26,026,929 | ||||||
16,180,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A | 13,975,475 | ||||||
5,955,000 | Cemex SAB de CV, 5.450%, 11/19/2029, 144A | 5,322,281 | ||||||
3,285,000 | Ferguson Finance PLC, 3.250%, 6/02/2030, 144A | 2,700,382 | ||||||
23,975,000 | Owens Corning, 7.000%, 12/01/2036 | 24,711,399 | ||||||
2,655,000 | Vulcan Materials Co., 3.500%, 6/01/2030 | 2,270,982 | ||||||
|
| |||||||
75,007,448 | ||||||||
|
| |||||||
Cable Satellite – 1.7% |
| |||||||
1,110,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A | 794,516 | ||||||
1,360,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 971,161 | ||||||
8,340,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 6,304,605 | ||||||
1,790,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 1,482,240 | ||||||
24,760,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062 | 14,682,498 | ||||||
12,605,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061 | 8,030,301 | ||||||
28,090,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.800%, 3/01/2050 | 20,263,837 | ||||||
26,515,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 18,030,200 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Cable Satellite – continued |
| |||||||
$ | 1,115,000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A | $ | 736,503 | ||||
1,035,000 | CSC Holdings LLC, 5.750%, 1/15/2030, 144A | 735,642 | ||||||
930,000 | CSC Holdings LLC, 6.500%, 2/01/2029, 144A | 820,725 | ||||||
3,270,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 1,921,125 | ||||||
4,326,000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A | 3,544,062 | ||||||
2,416,000 | Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A | 2,216,680 | ||||||
200,000 | Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A | 179,896 | ||||||
17,891,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 12,352,056 | ||||||
15,815,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 12,413,431 | ||||||
|
| |||||||
105,479,478 | ||||||||
|
| |||||||
Chemicals – 0.9% |
| |||||||
4,330,000 | Alpek SAB de CV, 3.250%, 2/25/2031, 144A | 3,200,696 | ||||||
9,180,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A | 7,419,276 | ||||||
6,060,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A | 4,293,510 | ||||||
2,240,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 2,087,736 | ||||||
1,645,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 | 1,528,649 | ||||||
27,205,000 | CF Industries, Inc., 4.500%, 12/01/2026, 144A | 26,079,766 | ||||||
3,740,000 | FMC Corp., 3.450%, 10/01/2029 | 3,211,588 | ||||||
12,285,000 | Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A | 8,975,298 | ||||||
|
| |||||||
56,796,519 | ||||||||
|
| |||||||
Construction Machinery – 0.6% |
| |||||||
2,470,000 | Ashtead Capital, Inc., 5.500%, 8/11/2032, 144A | 2,292,444 | ||||||
23,395,000 | Caterpillar Financial Services Corp., MTN, 0.950%, 1/10/2024 | 22,405,980 | ||||||
5,730,000 | John Deere Capital Corp., MTN, 0.900%, 1/10/2024 | 5,472,603 | ||||||
8,900,000 | John Deere Capital Corp., MTN, 1.250%, 1/10/2025 | 8,259,212 | ||||||
|
| |||||||
38,430,239 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Consumer Cyclical Services – 0.9% |
| |||||||
$ | 8,365,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | $ | 6,489,385 | ||||
32,366,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 26,249,127 | ||||||
4,928,000 | Expedia Group, Inc., 3.800%, 2/15/2028 | 4,376,489 | ||||||
3,970,000 | Expedia Group, Inc., 4.625%, 8/01/2027 | 3,728,241 | ||||||
1,025,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 861,641 | ||||||
8,430,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 7,839,900 | ||||||
5,015,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 4,914,700 | ||||||
|
| |||||||
54,459,483 | ||||||||
|
| |||||||
Consumer Products – 0.2% |
| |||||||
7,458,000 | Hasbro, Inc., 6.600%, 7/15/2028 | 7,623,888 | ||||||
6,970,000 | Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A | 5,506,300 | ||||||
|
| |||||||
13,130,188 | ||||||||
|
| |||||||
Diversified Manufacturing – 0.1% |
| |||||||
7,675,000 | GE Capital Funding LLC, 4.550%, 5/15/2032 | 7,111,456 | ||||||
1,869,000 | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 | 1,674,477 | ||||||
|
| |||||||
8,785,933 | ||||||||
|
| |||||||
Electric – 1.5% |
| |||||||
7,435,000 | AES Corp. (The), 2.450%, 1/15/2031 | 5,687,822 | ||||||
3,695,000 | AES Corp. (The), 3.950%, 7/15/2030, 144A | 3,164,029 | ||||||
14,214,750 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A | 14,192,457 | ||||||
11,318,000 | Calpine Corp., 3.750%, 3/01/2031, 144A | 8,856,335 | ||||||
13,025,000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A | 11,246,825 | ||||||
9,007,000 | Enel Finance International NV, 6.800%, 9/15/2037, 144A | 8,581,605 | ||||||
2,355,000 | IPALCO Enterprises, Inc., 4.250%, 5/01/2030 | 2,043,168 | ||||||
9,641,000 | NRG Energy, Inc., 4.450%, 6/15/2029, 144A | 8,362,610 | ||||||
1,435,000 | NRG Energy, Inc., 5.250%, 6/15/2029, 144A | 1,255,625 | ||||||
4,437,000 | NRG Energy, Inc., 5.750%, 1/15/2028 | 4,094,823 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Electric – continued |
| |||||||
$ | 6,185,000 | Pacific Gas & Electric Co., 3.250%, 6/01/2031 | $ | 4,718,908 | ||||
2,300,000 | Pacific Gas & Electric Co., 3.500%, 8/01/2050 | 1,399,691 | ||||||
10,400,000 | Pacific Gas & Electric Co., 4.300%, 3/15/2045 | 6,902,036 | ||||||
1,250,000 | Pacific Gas & Electric Co., 4.950%, 7/01/2050 | 914,909 | ||||||
2,050,000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 | 1,931,116 | ||||||
10,835,000 | Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A | 9,596,116 | ||||||
|
| |||||||
92,948,075 | ||||||||
|
| |||||||
Finance Companies – 3.7% |
| |||||||
7,910,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 6,343,548 | ||||||
9,900,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 7,445,475 | ||||||
860,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027 | 751,017 | ||||||
23,900,000 | Air Lease Corp., 3.125%, 12/01/2030 | 18,818,200 | ||||||
2,235,000 | Air Lease Corp., 3.250%, 10/01/2029 | 1,819,125 | ||||||
10,270,000 | Air Lease Corp., 3.375%, 7/01/2025 | 9,568,924 | ||||||
345,000 | Air Lease Corp., 4.625%, 10/01/2028 | 309,686 | ||||||
8,426,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 | 6,672,675 | ||||||
12,430,000 | Aircastle Ltd., 4.125%, 5/01/2024 | 11,944,216 | ||||||
8,070,000 | Aircastle Ltd., 4.400%, 9/25/2023 | 7,921,351 | ||||||
8,160,000 | Aircastle Ltd., 5.000%, 4/01/2023 | 8,117,959 | ||||||
10,260,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 8,075,257 | ||||||
14,460,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 10,306,938 | ||||||
7,320,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A | 6,144,470 | ||||||
7,510,000 | Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A | 7,270,103 | ||||||
8,135,000 | Barings BDC, Inc., 3.300%, 11/23/2026, 144A | 6,747,473 | ||||||
27,825,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027 | 22,443,403 | ||||||
9,785,000 | FS KKR Capital Corp., 3.125%, 10/12/2028 | 7,598,413 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Finance Companies – continued |
| |||||||
$ | 7,275,000 | Oaktree Specialty Lending Corp., 2.700%, 1/15/2027 | $ | 6,125,864 | ||||
10,036,000 | Owl Rock Capital Corp., 2.625%, 1/15/2027 | 8,108,942 | ||||||
10,466,000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 | 7,970,356 | ||||||
13,940,000 | Owl Rock Technology Finance Corp., 2.500%, 1/15/2027 | 11,184,375 | ||||||
13,705,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 11,238,100 | ||||||
7,445,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 | 5,730,044 | ||||||
18,485,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 13,398,925 | ||||||
25,002,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 17,189,220 | ||||||
|
| |||||||
229,244,059 | ||||||||
|
| |||||||
Financial Other – 0.1% |
| |||||||
2,310,000 | CIFI Holdings Group Co. Ltd., 6.000%, 7/16/2025 | 501,866 | ||||||
720,000 | CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024 | 170,734 | ||||||
6,220,000 | Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031 | 1,745,705 | ||||||
1,110,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 893,417 | ||||||
2,050,000 | Logan Group Co. Ltd., 4.250%, 7/12/2025(c) | 337,204 | ||||||
3,445,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(c) | 564,980 | ||||||
6,065,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d) | 687,771 | ||||||
400,000 | Shimao Group Holdings Ltd., 4.600%, 7/13/2030(d) | 46,344 | ||||||
3,495,000 | Shimao Group Holdings Ltd., 4.750%, 7/03/2022(d) | 459,348 | ||||||
4,345,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d) | 512,449 | ||||||
3,780,000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026(d) | 457,607 | ||||||
1,265,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d) | 156,759 | ||||||
5,120,000 | Times China Holdings Ltd., 5.750%, 1/14/2027 | 508,109 | ||||||
1,835,000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 203,171 | ||||||
1,415,000 | Times China Holdings Ltd., 6.750%, 7/08/2025 | 175,927 | ||||||
|
| |||||||
7,421,391 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Food & Beverage – 0.6% |
| |||||||
$ | 4,895,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A | $ | 4,004,973 | ||||
3,625,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A | 2,901,957 | ||||||
10,660,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 5.500%, 1/15/2030, 144A | 9,847,175 | ||||||
6,470,000 | NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A | 6,243,676 | ||||||
13,590,000 | Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A | 10,249,850 | ||||||
2,065,000 | Pilgrim’s Pride Corp., 4.250%, 4/15/2031, 144A | 1,648,427 | ||||||
1,920,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A | 1,482,510 | ||||||
|
| |||||||
36,378,568 | ||||||||
|
| |||||||
Gaming – 0.7% |
| |||||||
14,625,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A | 10,013,338 | ||||||
4,880,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 3,668,399 | ||||||
9,470,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A | 8,547,565 | ||||||
7,785,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A | 7,109,459 | ||||||
6,760,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A | 6,361,348 | ||||||
5,560,000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A | 5,464,090 | ||||||
|
| |||||||
41,164,199 | ||||||||
|
| |||||||
Government Owned—No Guarantee – 0.5% |
| |||||||
8,755,000 | Antares Holdings LP, 2.750%, 1/15/2027, 144A | 6,970,731 | ||||||
12,655,000 | Antares Holdings LP, 3.750%, 7/15/2027, 144A | 10,216,195 | ||||||
6,700,000 | Antares Holdings LP, 6.000%, 8/15/2023, 144A | 6,630,953 | ||||||
4,000,000 | Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050, 144A | 2,245,721 | ||||||
2,185,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 8/05/2029 | 522,871 | ||||||
4,210,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030 | 1,007,495 | ||||||
|
| |||||||
27,593,966 | ||||||||
|
| |||||||
Health Insurance – 0.3% |
| |||||||
19,320,000 | Centene Corp., 2.500%, 3/01/2031 | 14,563,061 | ||||||
4,145,000 | Centene Corp., 2.625%, 8/01/2031 | 3,123,976 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Health Insurance – continued |
| |||||||
$ | 2,520,000 | Centene Corp., 3.000%, 10/15/2030 | $ | 1,995,689 | ||||
565,000 | Centene Corp., 4.625%, 12/15/2029 | 507,709 | ||||||
|
| |||||||
20,190,435 | ||||||||
|
| |||||||
Healthcare – 1.0% |
| |||||||
19,420,000 | Cigna Corp., 4.375%, 10/15/2028 | 18,337,270 | ||||||
1,261,000 | Cigna Corp., 7.875%, 5/15/2027 | 1,386,847 | ||||||
7,210,000 | CVS Health Corp., 3.250%, 8/15/2029 | 6,309,369 | ||||||
331,648 | CVS Pass-Through Trust, 5.773%, 1/10/2033, 144A | 319,178 | ||||||
320,406 | CVS Pass-Through Trust, 6.036%, 12/10/2028 | 318,301 | ||||||
10,215,298 | CVS Pass-Through Trust, Series 2013, 4.704%, 1/10/2036, 144A | 9,334,126 | ||||||
1,072,301 | CVS Pass-Through Trust, Series 2014, 4.163%, 8/11/2036, 144A | 920,259 | ||||||
685,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 563,533 | ||||||
2,671,000 | HCA, Inc., 3.500%, 9/01/2030 | 2,205,498 | ||||||
10,120,000 | HCA, Inc., 4.125%, 6/15/2029 | 8,875,137 | ||||||
16,050,000 | HCA, Inc., 4.500%, 2/15/2027 | 14,982,845 | ||||||
|
| |||||||
63,552,363 | ||||||||
|
| |||||||
Home Construction – 0.3% |
| |||||||
560,000 | Lennar Corp., 4.875%, 12/15/2023 | 557,799 | ||||||
5,370,000 | MDC Holdings, Inc., 3.966%, 8/06/2061 | 2,834,239 | ||||||
12,384,000 | MDC Holdings, Inc., 6.000%, 1/15/2043 | 9,292,295 | ||||||
6,130,000 | Meritage Homes Corp., 3.875%, 4/15/2029, 144A | 4,873,350 | ||||||
|
| |||||||
17,557,683 | ||||||||
|
| |||||||
Independent Energy – 2.4% |
| |||||||
10,085,000 | Aker BP ASA, 2.000%, 7/15/2026, 144A | 8,698,883 | ||||||
3,195,000 | Aker BP ASA, 3.000%, 1/15/2025, 144A | 2,992,772 | ||||||
7,360,000 | Aker BP ASA, 3.100%, 7/15/2031, 144A | 5,762,405 | ||||||
9,925,000 | Aker BP ASA, 3.750%, 1/15/2030, 144A | 8,436,722 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Independent Energy – continued |
| |||||||
$ | 16,455,000 | Aker BP ASA, 4.000%, 1/15/2031, 144A | $ | 13,963,745 | ||||
3,140,000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A | 2,299,406 | ||||||
24,997,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 22,593,753 | ||||||
4,685,000 | Diamondback Energy, Inc., 3.125%, 3/24/2031 | 3,800,151 | ||||||
6,910,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 5,856,225 | ||||||
9,035,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | 7,386,113 | ||||||
1,625,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 1,479,906 | ||||||
9,675,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 8,065,718 | ||||||
14,380,000 | EQT Corp., 3.900%, 10/01/2027 | 13,085,761 | ||||||
1,970,000 | EQT Corp., 5.000%, 1/15/2029 | 1,838,082 | ||||||
3,595,000 | EQT Corp., 5.678%, 10/01/2025 | 3,572,873 | ||||||
2,480,000 | EQT Corp., 5.700%, 4/01/2028 | 2,431,268 | ||||||
10,475,000 | Hess Corp., 4.300%, 4/01/2027 | 9,854,071 | ||||||
4,675,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 4,409,226 | ||||||
6,090,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 6,096,943 | ||||||
11,260,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 10,969,191 | ||||||
1,110,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 1,156,323 | ||||||
1,750,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 1,466,675 | ||||||
|
| |||||||
146,216,212 | ||||||||
|
| |||||||
Leisure – 0.1% |
| |||||||
1,985,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 1,510,069 | ||||||
6,665,000 | NCL Corp. Ltd., 5.875%, 2/15/2027, 144A | 5,549,412 | ||||||
2,750,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 1,926,760 | ||||||
|
| |||||||
8,986,241 | ||||||||
|
| |||||||
Life Insurance – 2.7% |
| |||||||
11,800,000 | Athene Global Funding, 1.608%, 6/29/2026, 144A | 10,034,838 | ||||||
18,770,000 | Athene Global Funding, 1.716%, 1/07/2025, 144A | 17,157,469 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Life Insurance – continued |
| |||||||
$ | 21,550,000 | Athene Global Funding, 2.550%, 11/19/2030, 144A | $ | 16,441,002 | ||||
7,385,000 | Athene Holding Ltd., 3.500%, 1/15/2031 | 5,914,400 | ||||||
8,255,000 | CNO Financial Group, Inc., 5.250%, 5/30/2029 | 7,674,261 | ||||||
19,600,000 | Fidelity & Guaranty Life Holdings, Inc., 5.500%, 5/01/2025, 144A | 19,250,637 | ||||||
9,063,000 | Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A | 9,305,527 | ||||||
26,914,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A | 35,883,898 | ||||||
23,335,000 | New York Life Global Funding, 0.850%, 1/15/2026, 144A | 20,511,416 | ||||||
6,440,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A | 7,132,429 | ||||||
2,872,000 | Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A | 2,869,704 | ||||||
14,489,000 | Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A | 15,760,236 | ||||||
|
| |||||||
167,935,817 | ||||||||
|
| |||||||
Local Authorities – 0.2% |
| |||||||
14,455,000 | Province of Quebec Canada, 0.600%, 7/23/2025 | 12,989,118 | ||||||
|
| |||||||
Lodging – 0.2% |
| |||||||
1,795,000 | Marriott International, Inc., Series FF, 4.625%, 6/15/2030 | 1,622,106 | ||||||
3,525,000 | Marriott International, Inc., Series HH, 2.850%, 4/15/2031 | 2,767,696 | ||||||
975,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 770,548 | ||||||
7,435,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 5,765,062 | ||||||
1,610,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 1,272,605 | ||||||
205,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 184,734 | ||||||
235,000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 220,134 | ||||||
|
| |||||||
12,602,885 | ||||||||
|
| |||||||
Media Entertainment – 1.5% |
| |||||||
2,610,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 2,175,435 | ||||||
3,925,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 3,352,927 | ||||||
3,105,000 | Netflix, Inc., 4.875%, 4/15/2028 | 2,906,016 | ||||||
22,100,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 20,195,809 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Media Entertainment – continued |
| |||||||
$ | 2,545,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | $ | 2,392,300 | ||||
11,295,000 | Netflix, Inc., 5.875%, 11/15/2028 | 11,021,435 | ||||||
16,970,000 | Netflix, Inc., 6.375%, 5/15/2029 | 16,847,290 | ||||||
2,700,000 | Paramount Global, 4.200%, 6/01/2029 | 2,380,552 | ||||||
10,855,000 | Paramount Global, 4.950%, 1/15/2031 | 9,575,557 | ||||||
11,520,000 | Warnermedia Holdings, Inc., 3.755%, 3/15/2027, 144A | 10,339,546 | ||||||
4,125,000 | Warnermedia Holdings, Inc., 4.054%, 3/15/2029, 144A | 3,567,836 | ||||||
6,335,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A | 5,215,986 | ||||||
|
| |||||||
89,970,689 | ||||||||
|
| |||||||
Metals & Mining – 2.7% |
| |||||||
3,220,000 | Alcoa Nederland Holding BV, 4.125%, 3/31/2029, 144A | 2,700,500 | ||||||
4,390,000 | Alcoa Nederland Holding BV, 6.125%, 5/15/2028, 144A | 4,147,746 | ||||||
550,000 | Anglo American Capital PLC, 2.625%, 9/10/2030, 144A | 423,355 | ||||||
1,325,000 | Anglo American Capital PLC, 2.875%, 3/17/2031, 144A | 1,026,464 | ||||||
6,260,000 | Anglo American Capital PLC, 4.000%, 9/11/2027, 144A | 5,725,195 | ||||||
34,334,000 | Anglo American Capital PLC, 4.500%, 3/15/2028, 144A | 31,414,668 | ||||||
8,785,000 | Anglo American Capital PLC, 4.750%, 4/10/2027, 144A | 8,306,730 | ||||||
11,405,000 | ArcelorMittal S.A., 6.750%, 3/01/2041 | 10,440,529 | ||||||
3,363,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 3,103,141 | ||||||
5,890,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 5,301,000 | ||||||
1,800,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 1,732,500 | ||||||
6,325,000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A | 4,855,437 | ||||||
7,820,000 | Freeport-McMoRan, Inc., 4.250%, 3/01/2030 | 6,687,038 | ||||||
2,930,000 | Freeport-McMoRan, Inc., 4.375%, 8/01/2028 | 2,638,346 | ||||||
12,350,000 | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 | 10,821,426 | ||||||
6,175,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 5,488,402 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Metals & Mining – continued |
| |||||||
$ | 7,820,000 | Glencore Funding LLC, 2.625%, 9/23/2031, 144A | $ | 5,861,121 | ||||
6,704,000 | Glencore Funding LLC, 2.850%, 4/27/2031, 144A | 5,186,856 | ||||||
7,688,000 | Glencore Funding LLC, 3.875%, 10/27/2027, 144A | 6,960,177 | ||||||
39,092,000 | Glencore Funding LLC, 4.000%, 3/27/2027, 144A | 36,413,568 | ||||||
4,280,000 | Newcrest Finance Pty Ltd., 3.250%, 5/13/2030, 144A | 3,566,482 | ||||||
1,855,000 | Reliance Steel & Aluminum Co., 2.150%, 8/15/2030 | 1,410,898 | ||||||
2,010,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 1,658,250 | ||||||
|
| |||||||
165,869,829 | ||||||||
|
| |||||||
Midstream – 1.8% |
| |||||||
22,495,000 | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029 | 19,508,010 | ||||||
13,555,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 10,715,470 | ||||||
3,045,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 2,853,252 | ||||||
650,000 | DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A | 593,845 | ||||||
7,000,000 | Energy Transfer LP, 4.950%, 6/15/2028 | 6,519,713 | ||||||
6,405,000 | Energy Transfer LP, 5.250%, 4/15/2029 | 6,023,617 | ||||||
1,435,000 | Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A | 1,268,841 | ||||||
14,660,000 | Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023 | 14,441,980 | ||||||
14,040,000 | MPLX LP, 4.250%, 12/01/2027 | 13,070,827 | ||||||
85,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 85,908 | ||||||
225,000 | Plains All American Pipeline LP/PAA Finance Corp., 2.850%, 1/31/2023 | 223,371 | ||||||
3,710,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 3,110,880 | ||||||
7,365,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043 | 4,953,515 | ||||||
620,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045 | 454,825 | ||||||
12,445,000 | Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030 | 11,337,015 | ||||||
810,000 | Targa Resources Corp., 5.200%, 7/01/2027 | 779,201 | ||||||
1,955,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 1,681,300 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Midstream – continued |
| |||||||
$ | 1,975,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | $ | 1,772,582 | ||||
2,170,000 | Western Midstream Operating LP, 4.300%, 2/01/2030 | 1,855,914 | ||||||
5,070,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 4,170,075 | ||||||
950,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 779,325 | ||||||
710,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 574,213 | ||||||
2,870,000 | Western Midstream Operating LP, 5.500%, 2/01/2050 | 2,317,525 | ||||||
|
| |||||||
109,091,204 | ||||||||
|
| |||||||
Mortgage Related – 0.0% |
| |||||||
698 | FNMA, 6.000%, 7/01/2029 | 723 | ||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 1.7% |
| |||||||
8,625,000 | BANK, Series 2021-BN35, Class AS, 2.457%, 6/15/2064 | 6,696,126 | ||||||
410,000 | BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A | 358,213 | ||||||
8,370,000 | BPR Trust, Series 2022-STAR, Class A, 1-month SOFR + 3.232%, 6.077%, 8/15/2024, 144A(a) | 8,266,116 | ||||||
1,410,000 | Commercial Mortgage Pass Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A | 1,402,914 | ||||||
785,000 | Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A | 737,898 | ||||||
633,409 | Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(b) | 632,323 | ||||||
2,010,000 | Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.454%, 12/10/2044(b) | 1,815,196 | ||||||
370,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A | 324,383 | ||||||
510,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class C, 4.336%, 9/15/2037, 144A | 430,516 | ||||||
12,790,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A | 10,142,551 | ||||||
5,095,000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034, 144A(b) | 4,623,307 | ||||||
3,523,316 | Extended Stay America Trust, Series 2021-ESH, Class C, 1-month LIBOR + 1.700%, 4.518%, 7/15/2038, 144A(a) | 3,386,466 | ||||||
2,390,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(b) | 2,179,553 | ||||||
9,406,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(b) | 7,307,392 | ||||||
6,079,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b) | 5,571,916 | ||||||
3,031,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class A5, 3.598%, 11/15/2048 | 2,850,397 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||
$ | 6,478,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.472%, 12/15/2047, 144A(b) | $ | 6,394,083 | ||||
340,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.472%, 12/15/2047, 144A(b) | 320,643 | ||||||
4,990,000 | MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%, 4.618%, 11/15/2038, 144A(a) | 4,752,471 | ||||||
943,573 | Morgan Stanley Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A | 901,069 | ||||||
5,050,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.295%, 8/15/2046(b) | 4,986,205 | ||||||
1,405,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 4.914%, 10/15/2046(b) | 1,327,989 | ||||||
3,456,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.385%, 6/15/2044, 144A(b) | 2,757,966 | ||||||
4,735,000 | RBS Commercial Funding Trust, Series 2013-GSP, Class A, 3.961%, 1/15/2032, 144A(b) | 4,572,128 | ||||||
965,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class BEC, 4.798%, 5/10/2063, 144A(b) | 913,845 | ||||||
6,706,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 4.870%, 5/10/2063, 144A(b) | 226,663 | ||||||
788,923 | UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A | 759,578 | ||||||
4,990,000 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.432%, 7/15/2046(b) | 4,683,613 | ||||||
4,030,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class AS, 3.419%, 11/15/2059 | 3,603,484 | ||||||
1,633,139 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.420%, 3/15/2044, 144A(b) | 663,054 | ||||||
1,565,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045 | 1,476,113 | ||||||
1,746,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.814%, 6/15/2045(b) | 1,239,654 | ||||||
865,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.814%, 6/15/2045, 144A(b) | 77,850 | ||||||
4,615,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 4,158,309 | ||||||
1,290,000 | WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(b) | 1,176,467 | ||||||
|
| |||||||
101,716,451 | ||||||||
|
| |||||||
Paper – 0.4% |
| |||||||
10,460,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 | 8,194,887 | ||||||
16,595,000 | Weyerhaeuser Co., 4.000%, 4/15/2030 | 14,675,372 | ||||||
2,515,000 | WRKCo, Inc., 4.000%, 3/15/2028 | 2,317,507 | ||||||
|
| |||||||
25,187,766 | ||||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Pharmaceuticals – 0.4% |
| |||||||
$ | 570,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A | $ | 367,479 | ||||
865,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A | 318,502 | ||||||
120,000 | Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A | 46,530 | ||||||
340,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 126,984 | ||||||
1,295,000 | Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A | 486,985 | ||||||
135,000 | Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A | 50,372 | ||||||
220,000 | Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A | 83,811 | ||||||
980,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 807,113 | ||||||
15,105,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 12,393,652 | ||||||
6,270,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 3,746,833 | ||||||
4,335,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 3,681,759 | ||||||
3,140,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 2,590,374 | ||||||
|
| |||||||
24,700,394 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.4% |
| |||||||
16,635,000 | Fidelity National Financial, Inc., 3.400%, 6/15/2030 | 13,560,882 | ||||||
3,159,000 | Sirius International Group Ltd., 4.600%, 11/01/2026, 144A | 2,716,740 | ||||||
14,195,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 10,941,257 | ||||||
|
| |||||||
27,218,879 | ||||||||
|
| |||||||
REITs - Apartments – 0.0% |
| |||||||
2,185,000 | American Homes 4 Rent, 2.375%, 7/15/2031 | 1,647,452 | ||||||
|
| |||||||
REITs - Health Care – 0.1% |
| |||||||
5,972,000 | Welltower, Inc., 6.500%, 3/15/2041 | 5,912,380 | ||||||
|
| |||||||
REITs - Office Property – 0.0% |
| |||||||
2,085,000 | Corporate Office Properties LP, 2.750%, 4/15/2031 | 1,532,851 | ||||||
|
| |||||||
REITs - Regional Malls – 0.1% |
| |||||||
6,815,000 | Simon Property Group LP, 2.650%, 7/15/2030 | 5,496,074 | ||||||
|
|
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
REITs - Shopping Centers – 0.1% |
| |||||||
$ | 1,600,000 | Brixmor Operating Partnership LP, 2.250%, 4/01/2028 | $ | 1,291,521 | ||||
2,280,000 | Brixmor Operating Partnership LP, 4.050%, 7/01/2030 | 1,920,771 | ||||||
|
| |||||||
3,212,292 | ||||||||
|
| |||||||
Restaurants – 0.0% |
| |||||||
2,375,000 | Yum! Brands, Inc., 4.750%, 1/15/2030, 144A | 2,075,536 | ||||||
|
| |||||||
Retailers – 1.1% |
| |||||||
21,520,000 | 7-Eleven, Inc., 0.800%, 2/10/2024, 144A | 20,343,148 | ||||||
1,960,000 | AutoNation, Inc., 4.750%, 6/01/2030 | 1,723,565 | ||||||
9,720,000 | AutoZone, Inc., 3.625%, 4/15/2025 | 9,351,824 | ||||||
14,585,000 | AutoZone, Inc., 4.000%, 4/15/2030 | 13,088,454 | ||||||
5,620,000 | Dollar General Corp., 3.500%, 4/03/2030 | 4,929,300 | ||||||
4,665,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 3,743,663 | ||||||
8,064,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A | 7,270,986 | ||||||
3,755,000 | PVH Corp., 7.750%, 11/15/2023 | 3,786,955 | ||||||
3,145,000 | Tapestry, Inc., 3.050%, 3/15/2032 | 2,346,408 | ||||||
|
| |||||||
66,584,303 | ||||||||
|
| |||||||
Supermarkets – 0.0% |
| |||||||
325,000 | Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040 | 320,231 | ||||||
|
| |||||||
Technology – 4.5% |
| |||||||
18,820,000 | Avnet, Inc., 4.625%, 4/15/2026 | 18,112,262 | ||||||
3,694,000 | Broadcom, Inc., 3.137%, 11/15/2035, 144A | 2,588,383 | ||||||
9,915,000 | Broadcom, Inc., 3.187%, 11/15/2036, 144A | 6,781,326 | ||||||
8,265,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 7,153,729 | ||||||
5,480,000 | Broadcom, Inc., 4.300%, 11/15/2032 | 4,601,199 | ||||||
2,755,000 | CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026 | 2,389,616 | ||||||
3,210,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 2,606,796 | ||||||
22,935,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 17,856,562 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Technology – continued |
| |||||||
$ | 745,000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | $ | 663,050 | ||||
1,620,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 1,223,100 | ||||||
3,095,000 | CommScope, Inc., 4.750%, 9/01/2029, 144A | 2,524,468 | ||||||
3,900,000 | CommScope, Inc., 6.000%, 3/01/2026, 144A | 3,590,808 | ||||||
3,950,000 | CommScope, Inc., 7.125%, 7/01/2028, 144A | 3,049,045 | ||||||
17,625,000 | Entegris Escrow Corp., 4.750%, 4/15/2029, 144A | 15,524,533 | ||||||
10,115,000 | Equinix, Inc., 2.150%, 7/15/2030 | 7,754,786 | ||||||
17,195,000 | Equinix, Inc., 3.200%, 11/18/2029 | 14,536,305 | ||||||
6,835,000 | Fidelity National Information Services, Inc., 5.100%, 7/15/2032 | 6,422,701 | ||||||
2,120,000 | Global Payments, Inc., 2.900%, 11/15/2031 | 1,620,888 | ||||||
3,705,000 | Global Payments, Inc., 5.300%, 8/15/2029 | 3,484,349 | ||||||
6,690,000 | Global Payments, Inc., 5.400%, 8/15/2032 | 6,208,126 | ||||||
5,320,000 | Jabil, Inc., 1.700%, 4/15/2026 | 4,621,648 | ||||||
4,610,000 | Jabil, Inc., 3.000%, 1/15/2031 | 3,637,155 | ||||||
16,735,000 | KLA Corp., 5.650%, 11/01/2034 | 16,610,205 | ||||||
7,480,000 | Marvell Technology, Inc., 2.450%, 4/15/2028 | 6,178,772 | ||||||
6,390,000 | Marvell Technology, Inc., 2.950%, 4/15/2031 | 4,957,192 | ||||||
11,425,000 | Microchip Technology, Inc., 0.983%, 9/01/2024 | 10,516,459 | ||||||
25,479,000 | Micron Technology, Inc., 4.663%, 2/15/2030 | 22,605,401 | ||||||
10,622,000 | Micron Technology, Inc., 5.327%, 2/06/2029 | 10,045,142 | ||||||
3,980,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027 | 3,545,112 | ||||||
2,225,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030 | 1,854,289 | ||||||
1,525,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027 | 1,438,518 | ||||||
1,055,000 | Open Text Corp., 3.875%, 2/15/2028, 144A | 868,719 | ||||||
1,015,000 | Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A | 810,589 | ||||||
25,480,000 | Oracle Corp., 3.600%, 4/01/2050 | 15,942,898 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Technology – continued |
| |||||||
$ | 4,402,000 | S&P Global, Inc., 4.250%, 5/01/2029, 144A | $ | 4,139,157 | ||||
1,770,000 | Skyworks Solutions, Inc., 1.800%, 6/01/2026 | 1,532,844 | ||||||
970,000 | SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A | 884,828 | ||||||
13,665,000 | TD SYNNEX Corp., 1.750%, 8/09/2026 | 11,614,090 | ||||||
9,135,000 | Verisk Analytics, Inc., 4.125%, 3/15/2029 | 8,333,040 | ||||||
12,910,000 | Western Digital Corp., 2.850%, 2/01/2029 | 10,032,880 | ||||||
955,000 | Western Digital Corp., 3.100%, 2/01/2032 | 649,295 | ||||||
8,330,000 | Western Digital Corp., 4.750%, 2/15/2026 | 7,713,413 | ||||||
|
| |||||||
277,223,678 | ||||||||
|
| |||||||
Transportation Services – 0.1% |
| |||||||
9,670,000 | Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A | 8,464,011 | ||||||
|
| |||||||
Treasuries – 15.1% |
| |||||||
142,940,000 | U.S. Treasury Bond, 2.000%, 11/15/2041 | 102,302,604 | ||||||
282,435,000 | U.S. Treasury Bond, 2.250%, 2/15/2052 | 205,206,680 | ||||||
46,205,000 | U.S. Treasury Bond, 2.875%, 5/15/2052 | 38,747,224 | ||||||
218,545,000 | U.S. Treasury Bond, 3.250%, 5/15/2042 | 193,958,687 | ||||||
119,815,000 | U.S. Treasury Note, 0.125%, 12/31/2022 | 118,838,924 | ||||||
79,165,000 | U.S. Treasury Note, 0.125%, 4/30/2023 | 77,393,065 | ||||||
200,000,000 | U.S. Treasury Note, 0.125%, 8/31/2023(e) | 192,585,938 | ||||||
|
| |||||||
929,033,122 | ||||||||
|
| |||||||
Wireless – 1.4% |
| |||||||
2,295,000 | Crown Castle, Inc., 2.250%, 1/15/2031 | 1,752,451 | ||||||
3,725,000 | Crown Castle, Inc., 3.300%, 7/01/2030 | 3,119,062 | ||||||
22,660,000 | Crown Castle, Inc., 3.650%, 9/01/2027 | 20,513,084 | ||||||
6,615,000 | Crown Castle, Inc., 4.000%, 3/01/2027 | 6,157,328 | ||||||
610,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 626,775 | ||||||
1,960,000 | T-Mobile USA, Inc., 2.400%, 3/15/2029 | 1,599,701 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Wireless – continued |
| |||||||
$ | 3,515,000 | T-Mobile USA, Inc., 2.700%, 3/15/2032 | $ | 2,743,342 | ||||
15,320,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 13,236,174 | ||||||
�� | 7,565,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 6,356,945 | |||||
36,385,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 32,274,065 | ||||||
|
| |||||||
88,378,927 | ||||||||
|
| |||||||
Wirelines – 0.0% |
| |||||||
857,000 | Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A | 709,236 | ||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $5,663,861,813) | 4,992,509,257 | |||||||
|
| |||||||
Convertible Bonds – 1.1% | ||||||||
Airlines – 0.1% |
| |||||||
5,165,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 5,895,847 | ||||||
|
| |||||||
Cable Satellite – 0.4% |
| |||||||
9,050,000 | DISH Network Corp., 2.375%, 3/15/2024 | 8,072,600 | ||||||
16,015,000 | DISH Network Corp., Zero Coupon, 3.375%, 8/15/2026 | 11,018,320 | ||||||
4,115,000 | DISH Network Corp., 6.944%-9.514%, 12/15/2025(f) | 2,708,246 | ||||||
|
| |||||||
21,799,166 | ||||||||
|
| |||||||
Consumer Cyclical Services – 0.1% |
| |||||||
1,095,000 | Peloton Interactive, Inc., Zero Coupon, 0.519%-0.799%, 2/15/2026(f) | 733,475 | ||||||
5,755,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(f) | 4,769,571 | ||||||
|
| |||||||
5,503,046 | ||||||||
|
| |||||||
Healthcare – 0.2% |
| |||||||
14,730,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 10,772,049 | ||||||
|
| |||||||
Media Entertainment – 0.0% |
| |||||||
1,405,000 | Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026(g) | 1,286,171 | ||||||
|
| |||||||
Pharmaceuticals – 0.3% |
| |||||||
5,120,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 5,073,062 | ||||||
13,985,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 13,888,504 |
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Convertible Bonds – continued | ||||||||
Pharmaceuticals – continued |
| |||||||
$ | 2,935,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | $ | 2,464,050 | ||||
|
| |||||||
21,425,616 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $81,598,027) | 66,681,895 | |||||||
|
| |||||||
Municipals – 0.1% | ||||||||
Virginia – 0.1% |
| |||||||
7,115,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $6,860,256) | 6,201,179 | ||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $5,752,320,096) | 5,065,392,331 | |||||||
|
| |||||||
Collateralized Loan Obligations – 3.1% | ||||||||
1,585,000 | 522 Funding CLO Ltd., Series 2021-7A, Class D, 3-month LIBOR + 2.900%, 5.683%, 4/23/2034, 144A(a) | 1,338,672 | ||||||
5,565,000 | AGL CLO 5 Ltd., Series 2020-5A, Class BR, 3-month LIBOR + 1.700%, 4.410%, 7/20/2034, 144A(a) | 5,187,114 | ||||||
14,785,000 | Alinea CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.650%, 4.360%, 7/20/2031, 144A(a) | 13,915,820 | ||||||
4,650,000 | Allegro CLO VIII Ltd., Series 2018-2A, Class B1, 3-month LIBOR + 1.670%, 4.182%, 7/15/2031, 144A(a) | 4,388,489 | ||||||
3,520,000 | ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%, 5.512%, 10/15/2034, 144A(a) | 3,130,399 | ||||||
4,075,000 | Ares XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3-month LIBOR + 1.500%, 4.012%, 10/15/2030, 144A(a) | 3,856,694 | ||||||
1,651,667 | Atrium XV, Series 15A, Class D, 3-month LIBOR + 3.000%, 5.783%, 1/23/2031, 144A(a) | 1,479,005 | ||||||
1,170,000 | Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3-month LIBOR + 1.400%, 4.384%, 11/20/2030, 144A(a) | 1,099,637 | ||||||
5,320,000 | Battalion CLO VIII Ltd., Series 2015-8A, Class A2R2, 3-month LIBOR + 1.550%, 4.290%, 7/18/2030, 144A(a) | 5,029,778 | ||||||
2,525,000 | Canyon CLO Ltd., Series 2018-1A, Class B, 3-month LIBOR + 1.700%, 4.212%, 7/15/2031, 144A(a) | 2,379,608 | ||||||
3,920,000 | Canyon CLO Ltd., Series 2021-4A, Class B, 3-month LIBOR + 1.700%, 4.212%, 10/15/2034, 144A(a) | 3,651,649 | ||||||
7,170,000 | Carlyle U.S. CLO Ltd., Series 2021-9A, Class B, 3-month LIBOR + 1.650%, 4.360%, 10/20/2034, 144A(a) | 6,709,808 | ||||||
6,500,000 | CIFC Funding Ltd., Series 2014-5A, Class BR2, 3-month LIBOR + 1.800%, 4.540%, 10/17/2031, 144A(a) | 6,196,905 | ||||||
4,415,000 | CIFC Funding Ltd., Series 2021-6A, Class B, 3-month LIBOR + 1.650%, 4.162%, 10/15/2034, 144A(a) | 4,136,970 | ||||||
3,335,000 | Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3-month LIBOR + 1.400%, 3.912%, 1/15/2031, 144A(a) | 3,156,954 | ||||||
1,250,000 | Galaxy XXV CLO Ltd., Series 2018-25A, Class B, 3-month LIBOR + 1.650%, 4.433%, 10/25/2031, 144A(a) | 1,176,711 | ||||||
4,465,000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 3-month LIBOR + 1.700%, 4.684%, 11/22/2031, 144A(a) | 4,209,031 | ||||||
5,405,000 | Goldentree Loan Management U.S CLO 3 Ltd., Series 2018-3A, Class B1, 3-month LIBOR + 1.550%, 4.260%, 4/20/2030, 144A(a) | 5,159,051 |
Principal Amount | Description | Value (†) | ||||||
Collateralized Loan Obligations – continued | ||||||||
$ | 13,735,000 | Hayfin U.S. XII Ltd., Series 2018-8A, Class B, 3-month LIBOR + 1.480%, 4.190%, 4/20/2031, 144A(a) | $ | 12,873,486 | ||||
3,545,000 | Invesco CLO Ltd., Series 2021-1A, Class D,, 3-month LIBOR + 3.050% 5.562%, 4/15/2034, 144A(a) | 3,088,659 | ||||||
13,180,000 | Madison Park Funding XIV Ltd., Series 2014-14A, Class BRR, 3-month LIBOR + 1.700%, 4.459%, 10/22/2030, 144A(a) | 12,564,165 | ||||||
2,945,000 | Magnetite XIV-R Ltd., Series 2015-14RA, Class B, 3-month LIBOR + 1.600%, 4.340%, 10/18/2031, 144A(a) | 2,794,678 | ||||||
13,895,000 | Morgan Stanley Eaton Vance CLO Ltd., Series 2022-16A, Class B, 3-month Term SOFR + 1.950%, 2.738%, 4/15/2035, 144A(a) | 13,080,934 | ||||||
2,105,000 | Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class DR, 3-month LIBOR + 2.900%, 5.412%, 4/15/2034, 144A(a) | 1,824,783 | ||||||
545,455 | Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class A2R2, 3-month LIBOR + 1.700%, 4.432%, 10/21/2030, 144A(a) | 517,973 | ||||||
6,205,000 | OCP CLO Ltd., Series 2016-12A, Class BR2, 3-month Term SOFR + 1.810%, 2.531%, 4/18/2033, 144A(a) | 5,864,792 | ||||||
14,755,000 | OCP CLO Ltd., Series 2020-8RA, Class A2, 3-month LIBOR + 1.550%, 4.290%, 1/17/2032, 144A(a) | 13,768,864 | ||||||
2,000,000 | Octagon Investment Partners 26 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.600%, 4.112%, 7/15/2030, 144A(a) | 1,889,228 | ||||||
1,986,282 | Octagon Investment Partners 28 Ltd., Series 2016-1A, Class BR, 3-month LIBOR + 1.800%, 4.583%, 10/24/2030, 144A(a) | 1,895,030 | ||||||
4,155,000 | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.300%, 5.812%, 7/15/2036, 144A(a) | 3,687,234 | ||||||
7,170,000 | Octagon Investment Partners Ltd., Series 2018-18A, Class A2, 3-month LIBOR + 1.470%, 4.210%, 4/16/2031, 144A(a) | 6,764,594 | ||||||
1,440,000 | Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 4.684%, 5/21/2034, 144A(a) | 1,354,958 | ||||||
12,875,000 | Post CLO Ltd., Series 2022-1A, Class B, 3-month SOFR + 1.900%, 2.613%, 4/20/2035, 144A(a) | 12,143,468 | ||||||
4,310,000 | Rad CLO Ltd., Series 2021-15A, Class B, 3-month LIBOR + 1.650%, 4.360%, 1/20/2034, 144A(a) | 4,012,274 | ||||||
1,730,000 | Recette CLO Ltd., Series 2015-1A, Class BRR, 3-month LIBOR + 1.400%, 4.110%, 4/20/2034, 144A(a) | 1,583,334 | ||||||
1,015,000 | Regatta XV Funding Ltd., Series 2018-4A, Class A2, 3-month LIBOR + 1.850%, 4.633%, 10/25/2031, 144A(a) | 949,494 | ||||||
6,680,000 | Rockford Tower CLO Ltd., Series 2017-1A, Class DR2A, 3-month LIBOR + 3.250%, 5.960%, 4/20/2034, 144A(a) | 5,811,326 | ||||||
1,830,000 | Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3-month LIBOR + 3.750%, 6.460%, 10/20/2034, 144A(a) | 1,576,444 | ||||||
3,335,000 | Voya CLO Ltd., Series 2013-3A, Class A2RR, 3-month LIBOR + 1.700%, 4.440%, 10/18/2031, 144A(a) | 3,154,180 | ||||||
1,610,000 | Voya CLO Ltd., Series 2016-3A, Class A3R, 3-month LIBOR + 1.750%, 4.490%, 10/18/2031, 144A(a) | 1,508,362 | ||||||
6,235,000 | Voya CLO Ltd., Series 2018-3A, Class B, 3-month LIBOR + 1.650%, 4.162%, 10/15/2031, 144A(a) | 5,833,391 | ||||||
|
| |||||||
Total Collateralized Loan Obligations (Identified Cost $205,514,257) | 194,743,946 | |||||||
|
|
Shares | Description | Value (†) | ||||||
Preferred Stocks – 1.1% | ||||||||
Convertible Preferred Stocks – 1.1% | ||||||||
Banking – 0.7% |
| |||||||
17,832 | Bank of America Corp., Series L,cv 7.250% | $ | 20,916,936 | |||||
18,269 | Wells Fargo & Co., Class A, Series L, 7.500% | 21,995,876 | ||||||
|
| |||||||
42,912,812 | ||||||||
|
| |||||||
Wireless – 0.4% |
| |||||||
20,896 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A | 23,505,910 | ||||||
|
| |||||||
Total Convertible Preferred Stocks (Identified Cost $74,382,303) | 66,418,722 | |||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $74,382,303) | 66,418,722 | |||||||
|
| |||||||
Principal Amount | ||||||||
Short-Term Investments – 12.8% | ||||||||
$ | 199,230,405 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2022 at 1.100% to be repurchased at $199,248,668 on 10/03/2022 collateralized by $1,351,600 U.S. Treasury Inflation Indexed Note, 0.375% due 7/15/2025 valued at $1,618,390; $208,368,700 U.S. Treasury Note, 3.000% due 7/15/2025 valued at $201,596,717 including accrued interest(h) | 199,230,405 | |||||
275,550,000 | U.S. Treasury Bills, 2.115%-2.120%, 10/13/2022(i)(j) | 275,350,799 | ||||||
252,665,000 | U.S. Treasury Bills, 2.355%-2.460%, 10/27/2022(i)(j) | 252,231,470 | ||||||
61,525,000 | U.S. Treasury Bills, 2.395%-2.405%, 10/20/2022(i)(j) | 61,450,805 | ||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $788,258,539) | 788,263,479 | |||||||
|
| |||||||
Total Investments – 99.1% (Identified Cost $6,820,475,195) | 6,114,818,478 | |||||||
Other assets less liabilities – 0.9% | 55,589,685 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 6,170,408,163 | ||||||
|
|
(†) | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Fund’s Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight. |
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair 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 fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and collateralized loan obligations where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Centrally cleared swap agreements are fair valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers.
The Fund may also fair value investments 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 a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s net asset value (“NAV”) is calculated. Fair valuation by the Fund’s valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Variable rate security. Rate as of September 30, 2022 is disclosed. |
(b) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of September 30, 2022 is disclosed. |
(c) | Non-income producing security. |
(d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(e) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(f) | 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. |
(g) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(h) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 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. |
(i) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(j) | The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022, the value of Rule 144A holdings amounted to $2,037,144,343 or 33.0% of net assets. |
ABS | Asset-Backed Securities |
FNMA | Federal National Mortgage Association |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
SLM | Sallie Mae |
SOFR | Secured Overnight Financing Rate |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At September 30, 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 | 12/20/2022 | 1,769 | $ | 221,958,253 | $ | 209,598,859 | $ | (12,359,394 | ) | |||||||||||
Ultra Long U.S. Treasury Bond | 12/20/2022 | 1,277 | 188,858,123 | 174,949,000 | (13,909,123 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | (26,268,517 | ) | ||||||||||||||||
|
|
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 Fund’s pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2022, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* | $ | — | $ | 5,065,392,331 | $ | — | $ | 5,065,392,331 | ||||||||
Collateralized Loan Obligations | — | 194,743,946 | — | 194,743,946 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Banking | 42,912,812 | — | — | 42,912,812 | ||||||||||||
Wireless | — | 23,505,910 | — | 23,505,910 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 42,912,812 | 23,505,910 | — | 66,418,722 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 788,263,479 | — | 788,263,479 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 42,912,812 | $ | 6,071,905,666 | $ | — | $ | 6,114,818,478 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liability Valuation Inputs |
| |||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) | $ | (26,268,517 | ) | $ | — | $ | — | $ | (26,268,517 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end include futures contracts.
The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may use futures contracts to gain investment exposure. As of September 30, 2022, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of September 30, 2022:
Liabilities | Unrealized depreciation on futures contracts | |||
Exchange-traded liability derivatives Interest rate contracts | $ | (26,268,517 | ) |
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s 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 the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of September 30, 2022:
Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | |||
$ 29,982,881 | $ | 29,982,881 |
Industry Summary at September 30, 2022 (Unaudited)
Treasuries | 15.1 | % | ||
Banking | 11.4 | |||
ABS Car Loan | 5.7 | |||
ABS Home Equity | 4.5 | |||
Technology | 4.5 | |||
Finance Companies | 3.7 | |||
Life Insurance | 2.7 | |||
Metals & Mining | 2.7 | |||
Independent Energy | 2.4 | |||
Cable Satellite | 2.1 | |||
ABS Other | 2.0 | |||
Other Investments, less than 2% each | 26.4 | |||
Short-Term Investments | 12.8 | |||
Collateralized Loan Obligations | 3.1 | |||
|
| |||
Total Investments | 99.1 | |||
Other assets less liabilities (including futures contracts) | 0.9 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|