PORTFOLIO OF INVESTMENTS – as of September 30, 2022 (Unaudited)
Loomis Sayles Strategic Income Fund
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – 85.1% of Net Assets | ||||||||
Non-Convertible Bonds – 76.5% | ||||||||
ABS Car Loan – 0.7% |
| |||||||
$7,500,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class D, 3.040%, 9/22/2025, 144A | $ | 6,769,594 | |||||
5,000,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class D, 3.340%, 8/20/2026, 144A | 4,338,278 | ||||||
7,303,000 | Hertz Vehicle Financing III LLC, Series 2022-1 1A, Class D, 4.850%, 6/25/2026, 144A | 6,375,249 | ||||||
5,578,000 | Hertz Vehicle Financing III LLC, Series 2022-3 3A, Class D, 6.310%, 3/25/2025, 144A | 5,302,804 | ||||||
4,105,000 | Hertz Vehicle Financing LLC, Class D, Series 2022-4A, 6.560%, 9/25/2026, 144A | 3,705,904 | ||||||
|
| |||||||
26,491,829 | ||||||||
|
| |||||||
ABS Credit Card – 0.0% |
| |||||||
975,000 | Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A | 956,326 | ||||||
|
| |||||||
ABS Home Equity – 3.9% |
| |||||||
7,765,000 | 510 Asset Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061, 144A(a) | 7,053,741 | ||||||
8,555,000 | CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(a) | 7,721,589 | ||||||
5,350,000 | CoreVest American Finance, Series 2021-1, Class D, 3.247%, 4/15/2053, 144A | 4,193,806 | ||||||
1,510,000 | CoreVest American Finance Trust, Series 2021-3, Class D, 3.469%, 10/15/2054, 144A | 1,168,203 | ||||||
11,209,280 | Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a) | 10,304,220 | ||||||
2,510,000 | Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2, 3.125%, 10/25/2060, 144A | 1,897,124 | ||||||
7,660,000 | FirstKey Homes Trust, Series 2020-SFR1, Class F2, 4.284%, 8/17/2037, 144A | 6,840,205 | ||||||
1,965,000 | FirstKey Homes Trust, Series 2021-SFR1, Class F1, 3.238%, 8/17/2038, 144A | 1,646,081 | ||||||
2,419,000 | FRTKL, Series 2021-SFR1, Class F, 3.171%, 9/17/2038, 144A | 2,016,856 | ||||||
6,955,790 | Home Partners of America Trust, Series 2021-1, Class F, 3.325%, 9/17/2041, 144A | 5,531,103 | ||||||
8,426,849 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A | 7,262,188 | ||||||
4,213,425 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A | 3,606,326 | ||||||
4,025,000 | Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2, 3.500%, 4/25/2061, 144A(a) | 3,674,100 | ||||||
11,507,000 | Progress Residential Trust, Series 2021-SFR4, Class F, 3.407%, 5/17/2038, 144A | 9,855,611 | ||||||
3,623,000 | Progress Residential Trust, Series 2021-SFR5, Class F, 3.158%, 7/17/2038, 144A | 3,018,970 | ||||||
5,465,000 | Progress Residential Trust, Series 2021-SFR6, Class F, 3.422%, 7/17/2038, 144A | 4,695,204 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Home Equity – continued | ||||||||
$15,160,000 | Progress Residential Trust, Series 2021-SFR7, Class F, 3.834%, 8/17/2040, 144A | $ | 12,350,138 | |||||
8,197,133 | PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a) | 7,463,636 | ||||||
2,513,000 | PRPM LLC, Series 2021-4, Class A2, 3.474%, 4/25/2026, 144A(a) | 2,143,099 | ||||||
7,171,893 | PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(a) | 6,450,296 | ||||||
5,502,885 | PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(a) | 5,080,021 | ||||||
6,490,000 | PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027, 144A(a) | 6,431,810 | ||||||
8,130,000 | Toorak Mortgage Corp., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(a) | 7,713,061 | ||||||
1,120,000 | Towd Point Mortgage Trust, Series 2017-4, Class M2, 3.250%, 6/25/2057, 144A(a) | 959,759 | ||||||
795,000 | Towd Point Mortgage Trust, Series 2019-4, Class M1, 3.500%, 10/25/2059, 144A(a) | 659,981 | ||||||
7,865,000 | VCAT Asset Securitization LLC, Series 2021-NPL6, Class A2, 3.967%, 9/25/2051, 144A(a) | 7,116,806 | ||||||
3,970,000 | VCAT LLC, Series 2021-NPL5, Class A2, 3.844%, 8/25/2051, 144A(a) | 3,540,032 | ||||||
|
| |||||||
140,393,966 | ||||||||
|
| |||||||
ABS Other – 1.3% |
| |||||||
4,829,196 | Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A | 3,851,148 | ||||||
3,137,077 | Apollo Aviation Securitization Equity Trust, Series 2021-2A, Class B, 3.538%, 1/15/2047, 144A | 2,361,472 | ||||||
1,342,355 | Castlelake Aircraft Structured Trust, Series 2017-1R, Class A, 2.741%, 8/15/2041, 144A | 1,177,931 | ||||||
564,667 | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class C, 2.090%, 8/27/2035, 144A | 494,764 | ||||||
73,421 | HIN Timeshare Trust, Series 2020-A, Class C, 3.420%, 10/09/2039, 144A | 67,225 | ||||||
2,717,007 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class B, 3.432%, 10/15/2046, 144A | 2,327,633 | ||||||
14,126,394 | MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A | 11,772,880 | ||||||
13,897,879 | Navigator Aircraft ABS Ltd., Series 2021-1, Class B, 3.571%, 11/15/2046, 144A(a) | 10,243,358 | ||||||
10,233,090 | SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A | 8,378,240 | ||||||
8,882,535 | Willis Engine Structured Trust, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A | 7,132,632 | ||||||
|
| |||||||
47,807,283 | ||||||||
|
| |||||||
ABS Whole Business – 0.1% |
| |||||||
2,295,938 | Hardee’s Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051, 144A | 1,818,543 | ||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Aerospace & Defense – 0.9% |
| |||||||
$1,995,000 | Boeing Co. (The), 3.625%, 3/01/2048 | $ | 1,240,695 | |||||
2,385,000 | Boeing Co. (The), 3.750%, 2/01/2050 | 1,540,471 | ||||||
4,190,000 | Boeing Co. (The), 3.825%, 3/01/2059 | 2,523,970 | ||||||
415,000 | Boeing Co. (The), 3.850%, 11/01/2048 | 268,612 | ||||||
6,000,000 | Boeing Co. (The), 3.900%, 5/01/2049 | 3,918,916 | ||||||
3,230,000 | Boeing Co. (The), 5.150%, 5/01/2030 | 2,987,904 | ||||||
3,145,000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 | 2,882,188 | ||||||
9,576,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A | 8,788,853 | ||||||
8,815,000 | Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A | 9,265,535 | ||||||
|
| |||||||
33,417,144 | ||||||||
|
| |||||||
Airlines – 1.7% |
| |||||||
14,196,233 | Air Canada Pass Through Trust, Series 2020-2A, 5.250%, 10/01/2030, 144A | 13,309,536 | ||||||
1,234,662 | American Airlines Pass Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 1,068,909 | ||||||
695,632 | American Airlines Pass Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 607,481 | ||||||
25,626,250 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A | 25,082,461 | ||||||
20,534,895 | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029 | 19,690,705 | ||||||
2,527,300 | United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 | 2,325,823 | ||||||
|
| |||||||
62,084,915 | ||||||||
|
| |||||||
Automotive – 0.4% |
| |||||||
1,625,000 | Ford Motor Co., 3.250%, 2/12/2032 | 1,170,536 | ||||||
8,880,000 | Ford Motor Co., 4.750%, 1/15/2043 | 5,883,799 | ||||||
1,220,000 | Ford Motor Co., 6.625%, 2/15/2028 | 1,195,978 | ||||||
1,345,000 | Ford Motor Co., 7.500%, 8/01/2026 | 1,394,953 | ||||||
2,845,000 | General Motors Co., 5.200%, 4/01/2045 | 2,166,243 | ||||||
2,120,000 | General Motors Co., 6.250%, 10/02/2043 | 1,841,494 | ||||||
540,000 | General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(b) | 438,057 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Automotive – continued |
| |||||||
$865,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(b) | $ | 741,407 | |||||
|
| |||||||
14,832,467 | ||||||||
|
| |||||||
Banking – 2.6% |
| |||||||
6,000,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 6,290,144 | ||||||
8,200,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(b) | 6,391,979 | ||||||
7,500,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(b) | 5,343,750 | ||||||
11,885,000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(b) | 7,324,725 | ||||||
9,000,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 6,613,376 | ||||||
7,220,000 | Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A | 6,979,069 | ||||||
7,050,000 | Credit Suisse Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A | 6,557,558 | ||||||
2,945,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 1,909,019 | ||||||
16,322,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 10,992,009 | ||||||
1,709,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 1,340,450 | ||||||
14,965,000 | NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035 | 10,630,687 | ||||||
1,830,000 | NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028 | 1,736,806 | ||||||
2,890,000 | Synchrony Bank, 5.400%, 8/22/2025 | 2,817,721 | ||||||
5,875,000 | Synchrony Bank, 5.625%, 8/23/2027 | 5,614,209 | ||||||
14,800,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | 11,004,387 | ||||||
|
| |||||||
91,545,889 | ||||||||
|
| |||||||
Brokerage – 0.1% |
| |||||||
3,893,000 | Jefferies Group LLC, 6.250%, 1/15/2036 | 3,635,994 | ||||||
|
| |||||||
Building Materials – 1.5% |
| |||||||
39,615,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 31,215,767 | ||||||
2,395,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A | 2,068,681 | ||||||
6,090,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(b) | 4,879,643 | ||||||
1,265,000 | JELD-WEN, Inc., 4.875%, 12/15/2027, 144A | 904,475 | ||||||
1,859,000 | Masco Corp., 6.500%, 8/15/2032 | 1,865,381 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Building Materials – continued |
| |||||||
$1,226,000 | Masco Corp., 7.750%, 8/01/2029 | $ | 1,338,439 | |||||
10,800,000 | Owens Corning, 7.000%, 12/01/2036 | 11,131,725 | ||||||
|
| |||||||
53,404,111 | ||||||||
|
| |||||||
Cable Satellite – 5.0% |
| |||||||
34,275,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A | 24,533,359 | ||||||
16,130,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A | 12,561,721 | ||||||
7,180,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 5,127,158 | ||||||
17,890,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 13,523,908 | ||||||
4,025,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 3,332,970 | ||||||
16,530,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.700%, 4/01/2051 | 10,018,010 | ||||||
920,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.850%, 4/01/2061 | 537,097 | ||||||
31,240,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.950%, 6/30/2062 | 18,525,090 | ||||||
47,615,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 32,378,200 | ||||||
6,030,000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A | 3,983,059 | ||||||
16,340,000 | CSC Holdings LLC, 5.375%, 2/01/2028, 144A | 14,256,650 | ||||||
1,360,000 | CSC Holdings LLC, 5.750%, 1/15/2030, 144A | 966,640 | ||||||
3,705,000 | DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A | 3,194,118 | ||||||
6,470,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 3,801,125 | ||||||
22,190,000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A | 18,179,088 | ||||||
15,865,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 12,169,566 | ||||||
|
| |||||||
177,087,759 | ||||||||
|
| |||||||
Chemicals – 0.8% |
| |||||||
13,380,000 | Ashland LLC, 3.375%, 9/01/2031, 144A | 10,341,603 | ||||||
1,320,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A | 1,066,824 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Chemicals – continued |
| |||||||
$6,735,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A | $ | 4,771,747 | |||||
2,825,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 2,632,971 | ||||||
2,080,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 | 1,932,882 | ||||||
905,000 | INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A | 753,412 | ||||||
6,275,000 | Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A | 5,473,620 | ||||||
|
| |||||||
26,973,059 | ||||||||
|
| |||||||
Construction Machinery – 0.0% |
| |||||||
1,530,000 | Ashtead Capital, Inc., 5.500%, 8/11/2032, 144A | 1,420,016 | ||||||
|
| |||||||
Consumer Cyclical Services – 2.5% |
| |||||||
1,760,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 1,365,370 | ||||||
1,465,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 1,188,129 | ||||||
10,550,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A | 8,628,634 | ||||||
5,500,000 | Terminix Co. LLC (The), 7.450%, 8/15/2027 | 6,201,250 | ||||||
9,620,000 | TriNet Group, Inc., 3.500%, 3/01/2029, 144A | 7,835,490 | ||||||
8,665,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 7,284,015 | ||||||
18,350,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 17,065,500 | ||||||
38,025,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 37,264,500 | ||||||
1,125,000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A | 1,123,222 | ||||||
|
| |||||||
87,956,110 | ||||||||
|
| |||||||
Consumer Products – 0.5% |
| |||||||
11,880,000 | Avon Products, Inc., 8.450%, 3/15/2043 | 11,467,289 | ||||||
6,110,000 | Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A | 4,826,900 | ||||||
|
| |||||||
16,294,189 | ||||||||
|
| |||||||
Electric – 1.0% |
| |||||||
19,452,825 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A | 19,422,317 | ||||||
3,570,000 | Enel Generacion Chile S.A., 7.875%, 2/01/2027 | 3,703,875 | ||||||
9,050,000 | NRG Energy, Inc., 3.625%, 2/15/2031, 144A | 7,059,000 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Electric – continued |
| |||||||
$3,825,000 | NRG Energy, Inc., 3.875%, 2/15/2032, 144A | $ | 2,983,672 | |||||
2,475,000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 | 2,331,470 | ||||||
|
| |||||||
35,500,334 | ||||||||
|
| |||||||
Finance Companies – 4.6% |
| |||||||
10,600,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(b) | 8,849,720 | ||||||
3,585,000 | Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(b) | 2,689,087 | ||||||
11,555,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 8,236,285 | ||||||
2,005,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A | 1,683,014 | ||||||
5,955,000 | Barings BDC, Inc., 3.300%, 11/23/2026, 144A | 4,939,300 | ||||||
7,650,000 | FS KKR Capital Corp., 3.125%, 10/12/2028 | 5,940,507 | ||||||
7,005,000 | FS KKR Capital Corp., 3.400%, 1/15/2026 | 6,180,738 | ||||||
14,755,000 | Hercules Capital, Inc., 3.375%, 1/20/2027 | 12,235,753 | ||||||
135,000 | Navient Corp., 5.000%, 3/15/2027 | 110,418 | ||||||
3,030,000 | Navient Corp., 5.875%, 10/25/2024 | 2,871,119 | ||||||
950,000 | Navient Corp., 6.750%, 6/15/2026 | 862,315 | ||||||
5,355,000 | Navient Corp., MTN, 5.625%, 8/01/2033 | 3,599,524 | ||||||
4,774,000 | Navient Corp., MTN, 6.125%, 3/25/2024 | 4,648,682 | ||||||
1,796,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 1,399,035 | ||||||
8,855,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 6,213,642 | ||||||
4,075,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 3,673,213 | ||||||
7,175,000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 | 5,464,103 | ||||||
14,750,000 | Owl Rock Capital Corp., 4.250%, 1/15/2026 | 13,489,495 | ||||||
7,155,000 | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A | 6,440,433 | ||||||
25,975,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 21,299,500 | ||||||
13,540,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 10,421,061 | ||||||
37,540,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 27,211,017 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Finance Companies – continued |
| |||||||
$9,630,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | $ | 6,620,758 | |||||
|
| |||||||
165,078,719 | ||||||||
|
| |||||||
Financial Other – 1.5% |
| |||||||
1,650,000 | Agile Group Holdings Ltd., 5.500%, 4/21/2025 | 495,610 | ||||||
1,120,000 | Agile Group Holdings Ltd., 5.500%, 5/17/2026 | 306,600 | ||||||
1,225,000 | Agile Group Holdings Ltd., 5.750%, 1/02/2025 | 378,206 | ||||||
6,150,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 1,729,380 | ||||||
2,060,000 | Central China Real Estate Ltd., 7.250%, 4/24/2023 | 852,604 | ||||||
4,720,000 | Central China Real Estate Ltd., 7.250%, 7/16/2024 | 1,109,058 | ||||||
1,260,000 | Central China Real Estate Ltd., 7.250%, 8/13/2024 | 290,758 | ||||||
3,260,000 | Central China Real Estate Ltd., 7.500%, 7/14/2025 | 732,128 | ||||||
4,415,000 | Central China Real Estate Ltd., 7.650%, 8/27/2023 | 1,252,668 | ||||||
1,305,000 | Central China Real Estate Ltd., 7.750%, 5/24/2024 | 325,376 | ||||||
4,045,000 | CFLD Cayman Investment Ltd., 9.000%, 7/31/2023(c) | 347,870 | ||||||
2,370,000 | CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(c) | 229,606 | ||||||
800,000 | CFLD Cayman Investment Ltd., 7.125%, 4/08/2022(c) | 67,585 | ||||||
2,835,000 | CFLD Cayman Investment Ltd., 8.050%, 1/13/2025(c) | 266,944 | ||||||
2,520,000 | CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(c) | 237,686 | ||||||
2,955,000 | CFLD Cayman Investment Ltd., 8.750%, 9/28/2022(c) | 250,993 | ||||||
1,035,000 | China Aoyuan Group Ltd., 6.200%, 3/24/2026(c) | 68,010 | ||||||
2,400,000 | China Aoyuan Group Ltd., 6.350%, 2/08/2024(c) | 156,792 | ||||||
1,240,000 | China Aoyuan Group Ltd., 7.950%, 2/19/2023(c) | 81,542 | ||||||
1,800,000 | China Evergrande Group, 8.250%, 3/23/2022(c) | 115,560 | ||||||
4,045,000 | China Evergrande Group, 8.750%, 6/28/2025(c) | 253,621 | ||||||
1,405,000 | China Evergrande Group, 9.500%, 4/11/2022(c) | 87,279 | ||||||
335,000 | China Evergrande Group, 9.500%, 3/29/2024(c) | 21,664 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Financial Other – continued |
| |||||||
$4,060,000 | CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026 | $ | 820,242 | |||||
24,490,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 19,711,511 | ||||||
3,580,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 3,134,326 | ||||||
6,925,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(c) | 747,831 | ||||||
1,415,000 | Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(c) | 151,532 | ||||||
1,600,000 | Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(c) | 176,704 | ||||||
8,085,000 | Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(c) | 871,806 | ||||||
7,075,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(c) | 752,426 | ||||||
4,795,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(c) | 513,449 | ||||||
1,380,000 | KWG Group Holdings Ltd., 6.000%, 8/14/2026 | 215,680 | ||||||
3,760,000 | KWG Group Holdings Ltd., 6.300%, 2/13/2026 | 601,638 | ||||||
3,345,000 | Logan Group Co. Ltd., 4.250%, 7/12/2025(d) | 550,219 | ||||||
1,320,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(d) | 216,480 | ||||||
11,820,000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A | 9,281,592 | ||||||
2,880,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(c) | 326,592 | ||||||
400,000 | Shimao Group Holdings Ltd., 4.600%, 7/13/2030(c) | 46,344 | ||||||
1,830,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(c) | 215,830 | ||||||
280,000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026(c) | 33,897 | ||||||
1,970,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(c) | 244,122 | ||||||
425,000 | Sunac China Holdings Ltd., 5.950%, 4/26/2024(c) | 59,946 | ||||||
3,610,000 | Sunac China Holdings Ltd., 6.500%, 1/10/2025(c) | 512,620 | ||||||
8,570,000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026(c) | 1,219,082 | ||||||
290,000 | Sunac China Holdings Ltd., 6.650%, 8/03/2024(c) | 41,087 | ||||||
4,000,000 | Sunac China Holdings Ltd., 7.000%, 7/09/2025(c) | 568,680 | ||||||
720,000 | Times China Holdings Ltd., 5.750%, 1/14/2027 | 71,453 | ||||||
4,030,000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 446,202 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Financial Other – continued |
| |||||||
$23,285,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(c) | $ | 1,434,123 | |||||
1,245,000 | Yuzhou Group Holdings Co. Ltd., 7.375%, 1/13/2026(c) | 80,788 | ||||||
9,395,000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(c) | 588,879 | ||||||
5,345,000 | Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(c) | 339,889 | ||||||
3,155,000 | Yuzhou Group Holdings Co. Ltd., 8.300%, 5/27/2025(c) | 200,532 | ||||||
4,535,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(c) | 192,375 | ||||||
365,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(c) | 15,706 | ||||||
715,000 | Zhenro Properties Group Ltd., 7.350%, 2/05/2025(c) | 30,473 | ||||||
|
| |||||||
54,071,596 | ||||||||
|
| |||||||
Food & Beverage – 1.2% |
| |||||||
6,525,000 | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A | 5,660,437 | ||||||
635,000 | Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A | 604,323 | ||||||
27,125,000 | MARB BondCo. PLC, 3.950%, 1/29/2031, 144A | 19,631,719 | ||||||
11,860,000 | Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A | 8,945,049 | ||||||
10,455,000 | Post Holdings, Inc., 4.500%, 9/15/2031, 144A | 8,416,275 | ||||||
|
| |||||||
43,257,803 | ||||||||
|
| |||||||
Gaming – 1.2% |
| |||||||
12,960,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A | 8,873,358 | ||||||
3,845,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 2,890,368 | ||||||
12,590,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 11,870,481 | ||||||
740,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 688,725 | ||||||
6,885,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A | 6,214,359 | ||||||
5,680,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A | 5,187,120 | ||||||
4,920,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A | 4,629,857 | ||||||
4,050,000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A | 3,980,138 | ||||||
|
| |||||||
44,334,406 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Government Owned - No Guarantee – 1.2% |
| |||||||
$495,000 | Antares Holdings LP, 2.750%, 1/15/2027, 144A | $ | 394,119 | |||||
585,000 | Antares Holdings LP, 3.750%, 7/15/2027, 144A | 472,262 | ||||||
20,000,000 | Antares Holdings LP, 8.500%, 5/18/2025, 144A | 20,411,572 | ||||||
5,740,000 | EcoPetrol S.A., 4.625%, 11/02/2031 | 4,018,000 | ||||||
6,535,000 | Pertamina Persero PT, 6.450%, 5/30/2044, 144A | 6,086,704 | ||||||
6,586,000 | Petroleos Mexicanos, 6.625%, 6/15/2035 | 4,198,575 | ||||||
12,239,000 | Petroleos Mexicanos, 6.950%, 1/28/2060 | 6,773,063 | ||||||
|
| |||||||
42,354,295 | ||||||||
|
| |||||||
Health Insurance – 0.8% |
| |||||||
21,450,000 | Centene Corp., 2.500%, 3/01/2031 | 16,168,616 | ||||||
6,390,000 | Centene Corp., 2.625%, 8/01/2031 | 4,815,973 | ||||||
4,510,000 | Centene Corp., 3.000%, 10/15/2030 | 3,571,649 | ||||||
4,280,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A | 3,505,862 | ||||||
|
| |||||||
28,062,100 | ||||||||
|
| |||||||
Healthcare – 0.2% |
| |||||||
1,980,000 | Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A | 1,646,984 | ||||||
2,110,000 | Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A | 1,701,553 | ||||||
6,380,000 | HCA, Inc., 4.125%, 6/15/2029 | 5,595,195 | ||||||
|
| |||||||
8,943,732 | ||||||||
|
| |||||||
Home Construction – 0.6% |
| |||||||
23,546,000 | PulteGroup, Inc., 6.000%, 2/15/2035 | 21,177,262 | ||||||
|
| |||||||
Independent Energy – 3.9% |
| |||||||
12,155,000 | Aker BP ASA, 4.000%, 1/15/2031, 144A | 10,314,757 | ||||||
5,140,000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A | 3,763,996 | ||||||
32,631,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 29,493,810 | ||||||
6,210,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 5,262,975 | ||||||
8,120,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | 6,638,100 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Independent Energy – continued |
| |||||||
$1,765,000 | EQT Corp., 3.125%, 5/15/2026, 144A | $ | 1,607,405 | |||||
7,740,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 6,452,575 | ||||||
6,740,000 | EQT Corp., 3.900%, 10/01/2027 | 6,133,382 | ||||||
1,535,000 | EQT Corp., 5.000%, 1/15/2029 | 1,432,211 | ||||||
2,120,000 | EQT Corp., 5.678%, 10/01/2025 | 2,106,951 | ||||||
1,460,000 | EQT Corp., 5.700%, 4/01/2028 | 1,431,311 | ||||||
550,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 518,732 | ||||||
10,835,000 | Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A | 9,966,250 | ||||||
17,908,000 | Mesquite Energy, Inc., 6.125%, 1/15/2023(c)(e) | 358,160 | ||||||
9,520,000 | Mesquite Energy, Inc., 7.750%, 6/15/2021(c)(e) | 190,400 | ||||||
370,000 | Occidental Petroleum Corp., 6.125%, 1/01/2031 | 364,450 | ||||||
32,720,000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 | 33,210,800 | ||||||
590,000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 | 629,825 | ||||||
590,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 | 656,847 | ||||||
10,085,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 9,824,538 | ||||||
540,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 524,340 | ||||||
2,715,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 2,657,181 | ||||||
360,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 367,066 | ||||||
1,200,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 1,250,079 | ||||||
1,495,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 1,613,744 | ||||||
1,295,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 1,085,339 | ||||||
151,000 | Southwestern Energy Co., 5.700%, 1/23/2025 | 147,844 | ||||||
|
| |||||||
138,003,068 | ||||||||
|
| |||||||
Industrial Other – 0.1% |
| |||||||
3,985,000 | TopBuild Corp., 4.125%, 2/15/2032, 144A | 3,034,545 | ||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Leisure – 0.8% |
| |||||||
$8,710,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | $ | 6,101,790 | |||||
6,065,000 | Carnival Corp., 6.000%, 5/01/2029, 144A | 3,982,097 | ||||||
6,575,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 5,001,866 | ||||||
5,085,000 | NCL Corp. Ltd., 5.875%, 2/15/2027, 144A | 4,233,873 | ||||||
2,415,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 1,781,002 | ||||||
230,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A | 169,070 | ||||||
12,300,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 8,617,872 | ||||||
|
| |||||||
29,887,570 | ||||||||
|
| |||||||
Life Insurance – 1.1% |
| |||||||
3,965,000 | Athene Global Funding, 1.716%, 1/07/2025, 144A | 3,624,367 | ||||||
20,000,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A | 26,665,600 | ||||||
8,920,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A | 9,879,078 | ||||||
|
| |||||||
40,169,045 | ||||||||
|
| |||||||
Lodging – 0.9% |
| |||||||
7,620,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A | 5,836,148 | ||||||
1,745,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A | 1,332,412 | ||||||
5,385,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 4,346,234 | ||||||
4,155,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 3,283,720 | ||||||
13,945,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 10,812,883 | ||||||
7,670,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 6,062,658 | ||||||
970,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 874,106 | ||||||
1,120,000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 1,049,150 | ||||||
|
| |||||||
33,597,311 | ||||||||
|
| |||||||
Media Entertainment – 1.5% |
| |||||||
3,925,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 3,271,488 | ||||||
1,925,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 1,644,429 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Media Entertainment – continued |
| |||||||
$4,380,000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 | $ | 3,683,208 | |||||
1,325,000 | Netflix, Inc., 4.875%, 4/15/2028 | 1,240,088 | ||||||
14,565,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 13,310,043 | ||||||
1,805,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 1,696,700 | ||||||
8,735,000 | Netflix, Inc., 5.875%, 11/15/2028 | 8,523,438 | ||||||
11,900,000 | Netflix, Inc., 6.375%, 5/15/2029 | 11,813,951 | ||||||
3,070,000 | Warnermedia Holdings, Inc., 4.054%, 3/15/2029, 144A | 2,655,335 | ||||||
4,720,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A | 3,886,259 | ||||||
|
| |||||||
51,724,939 | ||||||||
|
| |||||||
Metals & Mining – 2.5% |
| |||||||
22,016,000 | ArcelorMittal S.A., 6.750%, 3/01/2041 | 20,154,204 | ||||||
2,630,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 2,426,780 | ||||||
35,930,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 32,337,000 | ||||||
1,810,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 1,742,125 | ||||||
9,590,000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A | 7,361,840 | ||||||
22,815,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 20,278,200 | ||||||
6,230,000 | JSW Steel Ltd., 5.050%, 4/05/2032, 144A | 4,435,903 | ||||||
1,900,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 1,567,500 | ||||||
|
| |||||||
90,303,552 | ||||||||
|
| |||||||
Midstream – 0.8% |
| |||||||
11,365,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 8,984,236 | ||||||
1,430,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 1,339,951 | ||||||
2,530,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A | 2,042,975 | ||||||
2,760,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A | 2,619,944 | ||||||
505,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 510,396 | ||||||
320,000 | Targa Resources Corp., 5.200%, 7/01/2027 | 307,833 | ||||||
3,515,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 | 2,905,323 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Midstream – continued |
| |||||||
$880,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | $ | 756,800 | |||||
885,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | 794,296 | ||||||
1,750,000 | Western Midstream Operating LP, 4.300%, 2/01/2030 | 1,496,705 | ||||||
4,055,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 3,335,237 | ||||||
745,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 611,155 | ||||||
560,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 452,900 | ||||||
2,310,000 | Western Midstream Operating LP, 5.500%, 2/01/2050 | 1,865,325 | ||||||
|
| |||||||
28,023,076 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 1.8% |
| |||||||
335,000 | BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A | 292,687 | ||||||
7,375,000 | BPR Trust, Series 2021-NRD, Class F, 1-month SOFR + 6.870%, 9.792%, 12/15/2023, 144A(f) | 6,857,241 | ||||||
10,565,000 | Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class C, 4.944%, 9/10/2045, 144A(a) | 10,352,986 | ||||||
125,000 | Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A | 117,500 | ||||||
523,459 | Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(a) | 522,561 | ||||||
2,925,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A | 2,564,383 | ||||||
1,690,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A | 1,340,181 | ||||||
7,680,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class C, 3.668%, 3/05/2033, 144A(a) | 6,319,339 | ||||||
2,535,000 | GS Mortgage Securities Trust, Series 2013-G1, Class B, 3.772%, 4/10/2031, 144A(a) | 2,458,859 | ||||||
5,785,000 | GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.843%, 6/10/2047, 144A(a) | 5,153,374 | ||||||
290,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 4.472%, 12/15/2047, 144A(a) | 273,490 | ||||||
3,110,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class C, 3.958%, 4/15/2046(a) | 2,929,434 | ||||||
4,010,000 | MedTrust, Series 2021-MDLN, Class C, 1-month LIBOR + 1.800%, 4.618%, 11/15/2038, 144A(f) | 3,819,120 | ||||||
1,135,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.495%, 8/15/2046(a) | 775,960 | ||||||
2,779,532 | Morgan Stanley Capital I Trust, Series 2012-C4, Class D, 5.336%, 3/15/2045, 144A(a) | 2,657,713 | ||||||
5,285,000 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.432%, 7/15/2046(a) | 4,960,500 | ||||||
4,340,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class B, 4.322%, 8/15/2050 | 3,753,802 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||
$1,315,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045 | $ | 1,240,312 | |||||
4,000,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.671%, 8/15/2046(a) | 3,797,060 | ||||||
2,612,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class C, 4.671%, 8/15/2046(a) | 2,296,704 | ||||||
940,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 846,980 | ||||||
|
| |||||||
63,330,186 | ||||||||
|
| |||||||
Paper – 0.4% |
| |||||||
3,725,000 | WestRock MWV LLC, 7.950%, 2/15/2031 | 4,192,117 | ||||||
8,750,000 | WestRock MWV LLC, 8.200%, 1/15/2030 | 9,824,551 | ||||||
|
| |||||||
14,016,668 | ||||||||
|
| |||||||
Pharmaceuticals – 1.5% |
| |||||||
1,945,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A | 1,253,942 | ||||||
14,285,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A | 5,259,880 | ||||||
425,000 | Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A | 164,794 | ||||||
3,045,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 1,137,250 | ||||||
9,810,000 | Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A | 3,689,053 | ||||||
465,000 | Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A | 173,503 | ||||||
765,000 | Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A | 291,434 | ||||||
1,309,000 | Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A | 1,010,901 | ||||||
7,750,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 6,382,780 | ||||||
3,295,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 2,703,547 | ||||||
21,480,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 12,836,039 | ||||||
12,705,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 10,790,484 | ||||||
8,725,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 7,197,776 | ||||||
|
| |||||||
52,891,383 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.3% |
| |||||||
12,510,000 | MBIA Insurance Corp., 3-month LIBOR + 11.260%, 13.772%, 1/15/2033, 144A(d)(e) | 1,532,475 | ||||||
10,900,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 8,401,529 | ||||||
|
| |||||||
9,934,004 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
REITs - Diversified – 0.1% |
| |||||||
$2,735,000 | EPR Properties, 3.600%, 11/15/2031 | $ | 1,954,046 | |||||
|
| |||||||
Restaurants – 0.5% |
| |||||||
19,175,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 16,072,101 | ||||||
|
| |||||||
Retailers – 0.4% |
| |||||||
3,325,000 | Dillard’s, Inc., 7.000%, 12/01/2028 | 3,388,341 | ||||||
1,500,000 | Dillard’s, Inc., 7.750%, 7/15/2026 | 1,555,860 | ||||||
3,975,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 3,189,938 | ||||||
6,365,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A | 5,739,066 | ||||||
|
| |||||||
13,873,205 | ||||||||
|
| |||||||
Supermarkets – 0.1% |
| |||||||
2,290,000 | Safeway, Inc., 7.250%, 2/01/2031 | 2,177,653 | ||||||
|
| |||||||
Technology – 3.5% |
| |||||||
10,205,000 | Avnet, Inc., 5.500%, 6/01/2032 | 9,266,094 | ||||||
5,770,000 | Block, Inc., 3.500%, 6/01/2031 | 4,473,568 | ||||||
2,140,000 | Broadcom, Inc., 3.137%, 11/15/2035, 144A | 1,499,496 | ||||||
8,435,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 7,300,871 | ||||||
1,480,000 | CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026 | 1,283,714 | ||||||
1,735,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 1,408,969 | ||||||
18,245,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 14,205,057 | ||||||
400,000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | 356,000 | ||||||
15,295,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 11,547,725 | ||||||
14,915,000 | CommScope, Inc., 4.750%, 9/01/2029, 144A | 12,165,569 | ||||||
13,035,000 | Entegris Escrow Corp., 4.750%, 4/15/2029, 144A | 11,481,549 | ||||||
1,215,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 996,208 | ||||||
1,230,000 | Global Payments, Inc., 2.900%, 11/15/2031 | 940,421 | ||||||
2,290,000 | Global Payments, Inc., 5.300%, 8/15/2029 | 2,153,619 | ||||||
4,135,000 | Global Payments, Inc., 5.400%, 8/15/2032 | 3,837,160 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Technology – continued |
| |||||||
$13,195,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | $ | 10,839,561 | |||||
5,050,000 | MSCI, Inc., 3.250%, 8/15/2033, 144A | 3,899,761 | ||||||
1,360,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027 | 1,282,875 | ||||||
12,565,000 | Oracle Corp., 3.950%, 3/25/2051 | 8,333,176 | ||||||
5,200,000 | Sensata Technologies BV, 4.000%, 4/15/2029, 144A | 4,302,946 | ||||||
8,610,000 | Western Digital Corp., 2.850%, 2/01/2029 | 6,691,177 | ||||||
750,000 | Western Digital Corp., 3.100%, 2/01/2032 | 509,918 | ||||||
6,225,000 | Western Digital Corp., 4.750%, 2/15/2026 | 5,764,225 | ||||||
|
| |||||||
124,539,659 | ||||||||
|
| |||||||
Transportation Services – 0.5% |
| |||||||
4,150,000 | Adani Ports & Special Economic Zone Ltd., 3.100%, 2/02/2031, 144A | 2,996,632 | ||||||
14,685,000 | Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A | 12,853,567 | ||||||
1,240,000 | GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A | 1,008,120 | ||||||
255,000 | GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A | 228,444 | ||||||
|
| |||||||
17,086,763 | ||||||||
|
| |||||||
Treasuries – 18.3% |
| |||||||
55,170,000 | U.S. Treasury Bond, 2.250%, 2/15/2052 | 40,084,453 | ||||||
23,325,000 | U.S. Treasury Bond, 3.250%, 5/15/2042 | 20,700,938 | ||||||
38,840,000 | U.S. Treasury Note, 0.125%, 12/31/2022 | 38,523,589 | ||||||
90,085,000 | U.S. Treasury Note, 0.125%, 1/31/2023 | 89,041,945 | ||||||
157,590,000 | U.S. Treasury Note, 0.125%, 2/28/2023 | 155,232,306 | ||||||
53,450,000 | U.S. Treasury Note, 0.125%, 4/30/2023 | 52,253,639 | ||||||
12,675,000 | U.S. Treasury Note, 0.250%, 9/30/2023 | 12,173,941 | ||||||
137,335,000 | U.S. Treasury Note, 0.500%, 11/30/2023 | 131,439,251 | ||||||
71,835,000 | U.S. Treasury Note, 0.875%, 1/31/2024(g) | 68,627,679 | ||||||
45,765,000 | U.S. Treasury Note, 1.500%, 2/29/2024 | 44,009,483 | ||||||
|
| |||||||
652,087,224 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Wireless – 2.9% |
| |||||||
$10,875,000 | CT Trust, 5.125%, 2/03/2032, 144A | $ | 8,186,156 | |||||
1,200,000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A | 1,041,000 | ||||||
20,720,000 | HTA Group Ltd., 7.000%, 12/18/2025 | 17,974,600 | ||||||
6,140,000 | IHS Holding Ltd., 5.625%, 11/29/2026, 144A | 4,835,250 | ||||||
6,140,000 | IHS Holding Ltd., 6.250%, 11/29/2028, 144A | 4,682,978 | ||||||
7,228,000 | IHS Netherlands Holdco BV, 8.000%, 9/18/2027, 144A | 6,089,735 | ||||||
2,580,000 | Kenbourne Invest S.A., 4.700%, 1/22/2028, 144A | 1,975,635 | ||||||
5,345,000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A | 4,975,554 | ||||||
1,903,500 | Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A | 1,586,296 | ||||||
4,225,500 | Millicom International Cellular S.A., 6.250%, 3/25/2029, 144A | 3,584,323 | ||||||
17,545,000 | SBA Communications Corp., 3.125%, 2/01/2029 | 14,110,917 | ||||||
8,849,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 7,012,832 | ||||||
4,091,000 | SoftBank Group Corp., 5.250%, 7/06/2031 | 3,047,795 | ||||||
27,610,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 23,854,488 | ||||||
|
| |||||||
102,957,559 | ||||||||
|
| |||||||
Wirelines – 0.3% |
| |||||||
350,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 312,165 | ||||||
490,000 | Liquid Telecommunications Financing PLC, 5.500%, 9/04/2026, 144A | 384,106 | ||||||
3,409,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 | 2,540,455 | ||||||
7,960,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 | 6,188,343 | ||||||
|
| |||||||
9,425,069 | ||||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $3,299,178,046) | 2,723,988,473 | |||||||
|
| |||||||
Convertible Bonds – 7.0% | ||||||||
Airlines – 0.5% |
| |||||||
16,795,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 19,171,493 | ||||||
|
| |||||||
Cable Satellite – 2.9% |
| |||||||
125,000 | Cable One, Inc., Zero Coupon, 6.042%, 3/15/2026(h) | 94,937 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Convertible Bonds – continued | ||||||||
Cable Satellite – continued |
| |||||||
$3,630,000 | DISH Network Corp., 2.375%, 3/15/2024 | $ | 3,237,960 | |||||
143,750,000 | DISH Network Corp., 3.375%, 8/15/2026 | 98,900,000 | ||||||
|
| |||||||
102,232,897 | ||||||||
|
| |||||||
Consumer Cyclical Services – 0.3% |
| |||||||
455,000 | Peloton Interactive, Inc., Zero Coupon, 0.519%-0.571%, 2/15/2026(i) | 304,777 | ||||||
13,205,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(i) | 10,943,908 | ||||||
1,200,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 1,159,800 | ||||||
|
| |||||||
12,408,485 | ||||||||
|
| |||||||
Gaming – 0.1% |
| |||||||
2,195,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | 3,071,903 | ||||||
|
| |||||||
Healthcare – 0.7% |
| |||||||
32,010,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 23,408,913 | ||||||
|
| |||||||
Leisure – 0.2% |
| |||||||
11,050,000 | NCL Corp. Ltd., 1.125%, 2/15/2027, 144A | 6,846,138 | ||||||
|
| |||||||
Media Entertainment – 0.4% |
| |||||||
5,925,000 | Bilibili, Inc., 0.500%, 12/01/2026, 144A | 3,762,375 | ||||||
5,645,000 | Snap, Inc., Zero Coupon, 6.697%-7.641%, 5/01/2027(i) | 3,892,228 | ||||||
5,100,000 | Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(i) | 4,003,500 | ||||||
1,655,000 | Twitter, Inc., Zero Coupon, 0.000%, 3/15/2026(h) | 1,515,027 | ||||||
|
| |||||||
13,173,130 | ||||||||
|
| |||||||
Pharmaceuticals – 1.3% |
| |||||||
8,280,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 8,204,093 | ||||||
27,195,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 27,007,354 | ||||||
5,015,000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026(h) | 4,955,447 | ||||||
9,665,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 8,114,154 | ||||||
|
| |||||||
48,281,048 | ||||||||
|
| |||||||
Technology – 0.6% |
| |||||||
315,000 | Bentley Systems, Inc., 0.375%, 7/01/2027 | 237,352 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Convertible Bonds – continued | ||||||||
Technology – continued |
| |||||||
$ | 5,380,000 | Nutanix, Inc., 0.250%, 10/01/2027, 144A | $ | 4,045,760 | ||||
4,545,000 | RingCentral, Inc., Zero Coupon, 7.146%-8.016%, 3/15/2026(i) | 3,495,105 | ||||||
11,790,000 | Splunk, Inc., 1.125%, 6/15/2027 | 9,276,094 | ||||||
4,020,000 | Unity Software, Inc., Zero Coupon, 7.085%-7.592%, 11/15/2026, 144A(i) | 2,914,500 | ||||||
|
| |||||||
19,968,811 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $333,757,802) | 248,562,818 | |||||||
|
| |||||||
Municipals – 1.6% | ||||||||
Virginia – 1.6% |
| |||||||
64,380,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $64,374,495) | 56,111,297 | ||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $3,697,310,343) | 3,028,662,588 | |||||||
|
| |||||||
Senior Loans – 0.4% | ||||||||
Independent Energy – 0.4% |
| |||||||
12,660,000 | Ascent Resources - Utica, 2020 Fixed 2nd Lien Term Loan, 3-month LIBOR + 9.000%, 11.455%, 11/01/2025(f)(j) | 13,271,858 | ||||||
|
| |||||||
Total Senior Loans (Identified Cost $12,660,906) | 13,271,858 | |||||||
|
| |||||||
Collateralized Loan Obligations – 3.5% | ||||||||
6,730,000 | 522 Funding CLO Ltd., Series 2018-3A, Class DR, 3-month LIBOR + 3.100%, 5.810%, 10/20/2031, 144A(f) | 5,881,946 | ||||||
4,475,000 | AGL CLO 12 Ltd., Series 2021-12A, Class B, 3-month LIBOR + 1.600%, 4.310%, 7/20/2034, 144A(f) | 4,157,758 | ||||||
4,955,000 | AGL CLO 12 Ltd., Series 2021-12A, Class D, 3-month LIBOR + 2.850%, 5.560%, 7/20/2034, 144A(f) | 4,300,861 | ||||||
1,245,000 | AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3-month LIBOR + 3.100%, 5.612%, 7/15/2034, 144A(f) | 1,094,894 | ||||||
4,390,000 | AIG CLO LLC, Series 2021-1A, Class D, 3-month LIBOR + 2.950%, 5.709%, 4/22/2034, 144A(f) | 3,768,569 | ||||||
3,780,000 | AIG CLO LLC, Series 2021-2A, Class D, 3-month LIBOR + 3.050%, 5.760%, 7/20/2034, 144A(f) | 3,250,876 | ||||||
2,675,000 | ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3-month LIBOR + 3.000%, 5.512%, 10/15/2034, 144A(f) | 2,378,926 | ||||||
3,025,000 | Bain Capital Credit CLO Ltd, Series 2017-2A, Class DR2, 3-month LIBOR + 3.100%, 5.883%, 7/25/2034, 144A(f) | 2,698,808 | ||||||
890,000 | Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3-month LIBOR + 1.400%, 4.384%, 11/20/2030, 144A(f) | 836,476 | ||||||
1,505,000 | Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3-month LIBOR + 3.000%, 5.740%, 1/17/2032, 144A(f) | 1,320,943 | ||||||
3,530,000 | CarVal CLO III Ltd., Series 2019-2A, Class DR, 3-month LIBOR + 2.950%, 5.660%, 7/20/2032, 144A(f) | 3,069,854 |
Principal Amount (‡) | Description | Value (†) | ||||||
Collateralized Loan Obligations – continued | ||||||||
$ | 3,095,000 | CIFC Funding Ltd., Series 2021-5A, Class D, 3-month LIBOR + 3.250%, 5.762%, 7/15/2034, 144A(f) | $ | 2,763,513 | ||||
4,775,000 | Crown City CLO I, Series 2020-1A, Class CR, 3-month LIBOR + 3.420%, 6.130%, 7/20/2034, 144A(f) | 4,022,345 | ||||||
5,230,000 | Elmwood CLO V Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.100%, 5.810%, 10/20/2034, 144A(f) | 4,677,869 | ||||||
2,890,000 | Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3-month LIBOR + 2.850%, 5.560%, 1/20/2034, 144A(f) | 2,548,463 | ||||||
980,000 | LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 2.000%, 4.710%, 4/20/2031, 144A(f) | 886,683 | ||||||
2,965,000 | LCM 30 Ltd., Series 30A, Class DR, 3-month LIBOR + 3.000%, 5.710%, 4/20/2031, 144A(f) | 2,559,367 | ||||||
10,665,000 | Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3-month LIBOR + 3.200%, 5.969%, 7/27/2031, 144A(f) | 9,637,257 | ||||||
990,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 5.783%, 1/23/2031, 144A(f) | 887,441 | ||||||
6,010,000 | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3-month LIBOR + 1.650%, 4.162%, 7/15/2034, 144A(f) | 5,635,222 | ||||||
8,055,000 | OCP CLO Ltd., Series 2019-17A, Class DR, 3-month LIBOR + 3.100%, 5.810%, 7/20/2032, 144A(f) | 6,980,978 | ||||||
7,155,000 | Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 3.150%, 5.662%, 7/15/2034, 144A(f) | 6,348,889 | ||||||
3,125,000 | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3-month LIBOR + 3.300%, 5.812%, 7/15/2036, 144A(f) | 2,773,191 | ||||||
8,250,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3-month LIBOR + 1.650%, 4.360%, 7/02/2035, 144A(f) | 7,751,040 | ||||||
6,450,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, 3-month LIBOR + 2.900%, 5.610%, 7/02/2035, 144A(f) | 5,659,662 | ||||||
9,695,000 | Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3-month LIBOR + 1.500%, 4.238%, 10/17/2031, 144A(f) | 9,152,565 | ||||||
970,000 | Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3-month LIBOR + 1.700%, 4.684%, 5/21/2034, 144A(f) | 912,715 | ||||||
7,615,000 | Palmer Square CLO Ltd., Series 2015-1A, Class CR4, 3-month LIBOR + 2.850%, 5.834%, 5/21/2034, 144A(f) | 6,668,250 | ||||||
12,510,000 | Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 8.562%, 10/15/2034, 144A(f) | 10,721,358 | ||||||
400,000 | THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3-month LIBOR + 2.950%, 5.660%, 1/20/2031, 144A(f) | 348,703 | ||||||
1,540,000 | Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3-month LIBOR + 3.750%, 6.460%, 10/20/2034, 144A(f) | 1,326,625 | ||||||
|
| |||||||
Total Collateralized Loan Obligations (Identified Cost $140,547,562) | 125,022,047 | |||||||
|
| |||||||
Shares | ||||||||
Common Stocks – 2.3% | ||||||||
Aerospace & Defense – 0.1% |
| |||||||
5,537 | Lockheed Martin Corp. | 2,138,888 | ||||||
|
| |||||||
Air Freight & Logistics – 0.1% |
| |||||||
10,370 | United Parcel Service, Inc., Class B | 1,675,170 | ||||||
|
| |||||||
Beverages – 0.0% |
| |||||||
25,703 | Coca-Cola Co. (The) | 1,439,882 | ||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Biotechnology – 0.1% | ||||||||
17,746 | AbbVie, Inc. | $ | 2,381,691 | |||||
|
| |||||||
Capital Markets – 0.1% | ||||||||
2,898 | BlackRock, Inc. | 1,594,711 | ||||||
16,710 | Morgan Stanley | 1,320,257 | ||||||
|
| |||||||
2,914,968 | ||||||||
|
| |||||||
Communications Equipment – 0.0% | ||||||||
18,695 | Cisco Systems, Inc. | 747,800 | ||||||
|
| |||||||
Containers & Packaging – 0.0% | ||||||||
6,017 | Packaging Corp. of America | 675,649 | ||||||
|
| |||||||
Electric Utilities – 0.1% | ||||||||
11,815 | Duke Energy Corp. | 1,099,031 | ||||||
20,099 | NextEra Energy, Inc. | 1,575,963 | ||||||
|
| |||||||
2,674,994 | ||||||||
|
| |||||||
Electrical Equipment – 0.0% | ||||||||
9,913 | Emerson Electric Co. | 725,830 | ||||||
|
| |||||||
Food & Staples Retailing – 0.1% | ||||||||
1,157 | Costco Wholesale Corp. | 546,416 | ||||||
13,834 | Walmart, Inc. | 1,794,270 | ||||||
|
| |||||||
2,340,686 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 0.0% | ||||||||
11,374 | Abbott Laboratories | 1,100,548 | ||||||
|
| |||||||
Health Care Providers & Services – 0.1% | ||||||||
3,080 | Elevance Health, Inc. | 1,399,059 | ||||||
2,923 | UnitedHealth Group, Inc. | 1,476,232 | ||||||
|
| |||||||
2,875,291 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.1% | ||||||||
19,843 | Starbucks Corp. | 1,671,971 | ||||||
|
| |||||||
Household Products – 0.1% | ||||||||
17,076 | Procter & Gamble Co. (The) | 2,155,845 | ||||||
|
| |||||||
IT Services – 0.0% | ||||||||
4,232 | Accenture PLC, Class A | 1,088,893 | ||||||
|
| |||||||
Life Sciences Tools & Services – 0.0% | ||||||||
1,413 | Thermo Fisher Scientific, Inc. | 716,659 | ||||||
|
| |||||||
Machinery – 0.1% | ||||||||
5,632 | Cummins, Inc. | 1,146,168 | ||||||
3,912 | Deere & Co. | 1,306,178 | ||||||
|
| |||||||
2,452,346 | ||||||||
|
| |||||||
Media – 0.3% | ||||||||
1,317,588 | Altice USA, Inc., Class A(d) | 7,681,538 | ||||||
22,301 | Comcast Corp., Class A | 654,088 | ||||||
461,939 | iHeartMedia, Inc., Class A(d) | 3,386,013 | ||||||
|
| |||||||
11,721,639 | ||||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Metals & Mining – 0.0% | ||||||||
23,389 | Newmont Corp. | $ | 983,040 | |||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.1% | ||||||||
9,229 | Battalion Oil Corp.(d) | 109,825 | ||||||
4,515 | Devon Energy Corp. | 271,487 | ||||||
7,967 | Pioneer Natural Resources Co. | 1,725,095 | ||||||
41,359 | Williams Cos., Inc. (The) | 1,184,108 | ||||||
|
| |||||||
3,290,515 | ||||||||
|
| |||||||
Pharmaceuticals – 0.1% | ||||||||
15,535 | Bristol-Myers Squibb Co. | 1,104,383 | ||||||
14,377 | Johnson & Johnson | 2,348,627 | ||||||
14,737 | Merck & Co., Inc. | 1,269,150 | ||||||
|
| |||||||
4,722,160 | ||||||||
|
| |||||||
Professional Services – 0.0% | ||||||||
5,336 | Clarivate PLC(d) | 50,105 | ||||||
|
| |||||||
REITs – Diversified – 0.1% | ||||||||
4,186 | American Tower Corp. | 898,734 | ||||||
170,849 | NexPoint Diversified Real Estate Trust | 2,144,155 | ||||||
|
| |||||||
3,042,889 | ||||||||
|
| |||||||
Road & Rail – 0.0% | ||||||||
7,674 | Union Pacific Corp. | 1,495,049 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 0.1% | ||||||||
2,898 | Broadcom, Inc. | 1,286,741 | ||||||
21,455 | Microchip Technology, Inc. | 1,309,399 | ||||||
13,927 | QUALCOMM, Inc. | 1,573,472 | ||||||
|
| |||||||
4,169,612 | ||||||||
|
| |||||||
Software – 0.1% | ||||||||
23,768 | iQor Holdings, Inc.(d) | 95,072 | ||||||
7,043 | Microsoft Corp. | 1,640,315 | ||||||
|
| |||||||
1,735,387 | ||||||||
|
| |||||||
Specialty Retail – 0.0% | ||||||||
4,134 | Home Depot, Inc. (The) | 1,140,736 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.0% | ||||||||
11,545 | Apple, Inc. | 1,595,519 | ||||||
|
| |||||||
Wireless Telecommunication Services – 0.5% | ||||||||
127,881 | T-Mobile US, Inc.(d) | 17,157,794 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $116,261,080) | 80,881,556 | |||||||
|
|
Shares | Description | Value (†) | ||||||
Preferred Stocks – 2.0% | ||||||||
Convertible Preferred Stocks – 1.7% | ||||||||
Banking – 0.6% |
| |||||||
11,789 | Bank of America Corp., Series L, 7.250% | $ | 13,828,497 | |||||
7,500 | Wells Fargo & Co., Class A, Series L, 7.500% | 9,030,000 | ||||||
|
| |||||||
22,858,497 | ||||||||
|
| |||||||
Midstream – 0.3% |
| |||||||
238,087 | El Paso Energy Capital Trust I, 4.750% | 10,921,051 | ||||||
|
| |||||||
Technology – 0.2% |
| |||||||
121,037 | Clarivate PLC, Series A, 5.250% | 5,161,017 | ||||||
|
| |||||||
Wireless – 0.6% |
| |||||||
17,902 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A | 20,137,960 | ||||||
|
| |||||||
Total Convertible Preferred Stocks (Identified Cost $68,517,393) | 59,078,525 | |||||||
|
| |||||||
Non-Convertible Preferred Stocks – 0.3% | ||||||||
Home Construction – 0.1% |
| |||||||
208,246 | Hovnanian Enterprises, Inc., 7.625% | 4,175,332 | ||||||
|
| |||||||
REITs - Diversified – 0.0% |
| |||||||
10,425 | iStar, Inc., Series G, 7.650% | 249,499 | ||||||
|
| |||||||
REITs - Office Property – 0.1% |
| |||||||
1,596 | Highwoods Properties, Inc., Series A, 8.625% | 1,875,300 | ||||||
|
| |||||||
REITs - Warehouse/Industrials – 0.1% |
| |||||||
116,192 | Prologis, Inc., Series Q, 8.540% | 6,390,560 | ||||||
|
| |||||||
Total Non-Convertible Preferred Stocks (Identified Cost $8,540,568) | 12,690,691 | |||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $77,057,961) | 71,769,216 | |||||||
|
| |||||||
Principal Amount (‡) | ||||||||
Short-Term Investments – 5.3% | ||||||||
$33,039,872 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2022 at 1.100% to be repurchased at $33,042,900 on 10/03/2022 collateralized by $34,363,800 U.S. Treasury Note, 3.500% due 9/15/2025 valued at $33,700,682 including accrued interest(k) | 33,039,872 | ||||||
58,420,000 | U.S. Treasury Bills, 2.395%-2.415%, 10/20/2022(l)(m) | 58,349,549 | ||||||
39,580,000 | U.S. Treasury Bills, 2.545%, 11/10/2022(l) | 39,467,040 |
Principal Amount (‡) | Description | Value (†) | ||||||
$19,865,000 | U.S. Treasury Bills, 2.580%, 11/17/2022(l) | $ | 19,794,231 | |||||
39,280,000 | U.S. Treasury Bills, 3.125%, 2/23/2023(l) | 38,728,379 | ||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $189,437,465) | 189,379,071 | |||||||
|
| |||||||
Total Investments – 98.6% (Identified Cost $4,233,275,317) | 3,508,986,336 | |||||||
|
| |||||||
Other assets less liabilities – 1.4% | 50,360,429 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 3,559,346,765 | ||||||
|
|
(†) | 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. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service. 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.
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
(a) | 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. |
(b) | Perpetual bond with no specified maturity date. |
(c) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(d) | Non-income producing security. |
(e) | Level 3 security. Value has been determined using significant unobservable inputs. |
(f) | Variable rate security. Rate as of September 30, 2022 is disclosed. |
(g) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(h) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(i) | 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. |
(j) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 1.00%, to which the spread is added. |
(k) | 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 investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. |
(l) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(m) | 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 $1,395,284,060 or 39.2% of net assets. |
ABS | Asset-Backed Securities |
LIBOR | London Interbank Offered Rate |
MBIA | Municipal Bond Investors Assurance Corp. |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
Swap Agreements
The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
Swap agreements are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the over-the-counter (“OTC”) market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.
At September 30, 2022, the Fund had the following open centrally cleared credit default swap agreements:
Sell Protection
Reference | (Pay)/ Receive Fixed Rate | Expiration Date | Implied Credit Spread^ | Notional Value(‡) | Unamortized Up Front Premium Paid/(Received) | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
CDX.NA HY* Series 37 500, 5-Year | 5.00 | % | 12/20/2026 | 5.30 | % | 35,244,000 | $ | (344,385 | ) | $ | (296,833 | ) | $ | 47,552 | ||||||||||||||
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(‡) | Notional value stated in U.S. dollars unless otherwise noted. |
^ | Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
* | CDX.NA.HY is an index composed of North American high yield credit default swaps. |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At September 30, 2022, open long futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Ultra Long U.S. Treasury Bond | 12/20/2022 | 914 | $ | 135,703,415 | $ | 125,218,000 | $ | (10,485,415 | ) | |||||||||||
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At September 30, 2022, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Ultra 10 Year U.S. Treasury Note | 12/20/2022 | 58 | $ | 7,277,075 | $ | 6,872,093 | $ | 404,982 | ||||||||||||
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Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 — quoted prices in active markets for identical assets or liabilities; |
• | Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The 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 | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
Independent Energy | $ | — | $ | 137,454,508 | $ | 548,560 | $ | 138,003,068 | ||||||||
Property & Casualty Insurance | — | 8,401,529 | 1,532,475 | 9,934,004 | ||||||||||||
All Other Non-Convertible Bonds* | — | 2,576,051,401 | — | 2,576,051,401 | ||||||||||||
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| |||||||||
Total Non-Convertible Bonds | — | 2,721,907,438 | 2,081,035 | 2,723,988,473 | ||||||||||||
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| |||||||||
Convertible Bonds* | — | 248,562,818 | — | 248,562,818 | ||||||||||||
Municipals* | — | 56,111,297 | — | 56,111,297 | ||||||||||||
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| |||||||||
Total Bonds and Notes | — | 3,026,581,553 | 2,081,035 | 3,028,662,588 | ||||||||||||
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| |||||||||
Senior Loans* | — | 13,271,858 | — | 13,271,858 | ||||||||||||
Collateralized Loan Obligations | — | 125,022,047 | — | 125,022,047 | ||||||||||||
Common Stocks | ||||||||||||||||
Software | 1,640,315 | 95,072 | — | 1,735,387 | ||||||||||||
All Other Common Stocks* | 79,146,169 | — | — | 79,146,169 | ||||||||||||
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| |||||||||
Total Common Stocks | 80,786,484 | 95,072 | — | 80,881,556 | ||||||||||||
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| |||||||||
Preferred Stocks | ||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Wireless | — | 20,137,960 | — | 20,137,960 | ||||||||||||
All Other Convertible Preferred Stocks* | 38,940,565 | — | — | 38,940,565 | ||||||||||||
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| |||||||||
Total Convertible Preferred Stocks | 38,940,565 | 20,137,960 | — | 59,078,525 | ||||||||||||
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| |||||||||
Non-Convertible Preferred Stocks | ||||||||||||||||
REITs - Office Property | — | 1,875,300 | — | 1,875,300 | ||||||||||||
REITs - Warehouse/Industrials | — | 6,390,560 | — | 6,390,560 | ||||||||||||
All Other Non-Convertible Preferred Stocks* | 4,424,831 | — | — | 4,424,831 | ||||||||||||
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| |||||||||
Total Non-Convertible Preferred Stocks | 4,424,831 | 8,265,860 | — | 12,690,691 | ||||||||||||
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| |||||||||
Total Preferred Stocks | 43,365,396 | 28,403,820 | — | 71,769,216 | ||||||||||||
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| |||||||||
Short-Term Investments | — | 189,379,071 | — | 189,379,071 | ||||||||||||
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|
|
| |||||||||
Total Investments | 124,151,880 | 3,382,753,421 | 2,081,035 | 3,508,986,336 | ||||||||||||
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| |||||||||
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) | — | 47,552 | — | 47,552 | ||||||||||||
Futures Contracts (unrealized appreciation) | 404,982 | — | — | 404,982 | ||||||||||||
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| |||||||||
Total | $ | 124,556,862 | $ | 3,382,800,973 | $ | 2,081,035 | $ | 3,509,438,870 | ||||||||
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Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) | $ | (10,485,415 | ) | $ | — | $ | — | $ | (10,485,415 | ) | ||||||
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* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2021 and/or September 30, 2022:
Asset Valuation Inputs
Investments in Securities | Balance as of December 31, 2021 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of September 30, 2022 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2022 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds Independent Energy | $ | 1,832,190 | $ | 194,063 | $ | — | $ | (1,477,693 | ) | $ | — | $ | ��� | $ | — | $ | — | $ | 548,560 | $ | (1,477,693 | ) | ||||||||||||||||||
Property & Casualty Insurance | 1,501,200 | 54,765 | — | (23,490 | ) | — | — | — | — | 1,532,475 | (23,490 | ) | ||||||||||||||||||||||||||||
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| |||||||||||||||||||||
Total | $ | 3,333,390 | $ | 248,828 | $ | — | $ | (1,501,183 | ) | $ | — | $ | — | $ | — | $ | — | $ | 2,081,035 | $ | (1,501,183 | ) | ||||||||||||||||||
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Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end include futures contracts and swap agreements.
The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Fund may also use credit default swaps, as a protection seller, to gain investment exposure. As of September 30, 2022, the Fund engaged in credit default swap agreements (as a protection seller) to gain investment exposure.
The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. 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:
Assets | Unrealized appreciation on futures contracts | |||
Exchange-traded/cleared asset derivatives | ||||
Interest rate contracts | $ | 404,982 | ||
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Liability | Unrealized depreciation on futures contracts | Swap agreements at value | ||||||
Exchange-traded/cleared liability derivatives Credit contracts | $ | — | $ | (296,833 | ) | |||
Interest rate contracts | (10,485,415 | ) | — | |||||
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The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, as of September 30, 2022:
Maximum Amount of | Maximum Amount of Loss - Net | |||
$ 55,149,566 | $ | 55,149,566 |
Industry Summary at September 30, 2022 (Unaudited)
Treasuries | 18.3 | % | ||
Cable Satellite | 7.9 | |||
Finance Companies | 4.6 | |||
Independent Energy | 4.3 | |||
Technology | 4.3 | |||
ABS Home Equity | 3.9 | |||
Wireless | 3.5 | |||
Banking | 3.2 | |||
Pharmaceuticals | 2.9 | |||
Consumer Cyclical Services | 2.8 | |||
Metals & Mining | 2.5 | |||
Airlines | 2.2 | |||
Other Investments, less than 2% each | 29.4 | |||
Short-Term Investments | 5.3 | |||
Collateralized Loan Obligations | 3.5 | |||
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Total Investments | 98.6 | |||
Other assets less liabilities (including swap agreements and futures contracts) | 1.4 | |||
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Net Assets | 100.0 | % | ||
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