Portfolio of Investments – as of September 30, 2023 (Unaudited)
Loomis Sayles High Income Fund
Loomis Sayles High Income Fund
Principal Amount | Description | Value (†) |
Bonds and Notes — 91.0% of Net Assets | ||
Non-Convertible Bonds — 85.7% | ||
ABS Home Equity — 0.1% | ||
$103,070 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1 mo. USD SOFR + 0.774%, 6.102%, 9/19/2045(a) | $54,302 |
Aerospace & Defense — 1.3% | ||
100,000 | Bombardier, Inc., 6.000%, 2/15/2028(b) | 90,720 |
155,000 | Bombardier, Inc., 7.125%, 6/15/2026(b) | 150,173 |
135,000 | TransDigm, Inc., 6.750%, 8/15/2028(b) | 132,906 |
195,000 | TransDigm, Inc., 6.875%, 12/15/2030(b) | 191,206 |
565,005 | ||
Airlines — 1.1% | ||
70,000 | Allegiant Travel Co., 7.250%, 8/15/2027(b) | 65,888 |
465,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029(b) | 432,473 |
498,361 | ||
Automotive — 2.4% | ||
15,000 | Allison Transmission, Inc., 4.750%, 10/01/2027(b) | 13,843 |
55,000 | American Axle & Manufacturing, Inc., 5.000%, 10/01/2029 | 44,484 |
85,000 | Ford Motor Co., 3.250%, 2/12/2032 | 65,506 |
620,000 | Ford Motor Credit Co. LLC, 2.300%, 2/10/2025 | 581,540 |
200,000 | Ford Motor Credit Co. LLC, 6.950%, 6/10/2026 | 199,755 |
85,000 | Wheel Pros, Inc., 6.500%, 5/15/2029(b) | 28,471 |
150,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028(b) | 146,857 |
1,080,456 | ||
Banking — 2.3% | ||
365,000 | Barclays PLC, (fixed rate to 6/27/2033, variable rate thereafter), 7.119%, 6/27/2034 | 351,544 |
235,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 200,486 |
200,000 | Intesa Sanpaolo SpA, 6.625%, 6/20/2033(b) | 187,946 |
335,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(b) | 280,832 |
1,020,808 | ||
Brokerage — 0.5% | ||
35,000 | Coinbase Global, Inc., 3.375%, 10/01/2028(b) | 25,212 |
60,000 | Coinbase Global, Inc., 3.625%, 10/01/2031(b) | 39,811 |
10,000 | NFP Corp., 4.875%, 8/15/2028(b) | 8,803 |
80,000 | NFP Corp., 6.875%, 8/15/2028(b) | 68,534 |
65,000 | NFP Corp., 8.500%, 10/01/2031(b) | 65,099 |
207,459 | ||
Building Materials — 2.7% | ||
75,000 | ACProducts Holdings, Inc., 6.375%, 5/15/2029(b) | 49,500 |
115,000 | Beacon Roofing Supply, Inc., 6.500%, 8/01/2030(b) | 111,448 |
90,000 | Builders FirstSource, Inc., 4.250%, 2/01/2032(b) | 73,806 |
40,000 | Builders FirstSource, Inc., 5.000%, 3/01/2030(b) | 35,664 |
45,000 | Camelot Return Merger Sub, Inc., 8.750%, 8/01/2028(b) | 43,409 |
415,000 | Cemex SAB de CV, 3.875%, 7/11/2031(b) | 347,610 |
60,000 | Cornerstone Building Brands, Inc., 6.125%, 1/15/2029(b) | 45,486 |
190,000 | Foundation Building Materials, Inc., 6.000%, 3/01/2029(b) | 158,127 |
115,000 | LBM Acquisition LLC, 6.250%, 1/15/2029(b) | 94,300 |
60,000 | MIWD Holdco II LLC/MIWD Finance Corp., 5.500%, 2/01/2030(b) | 49,575 |
70,000 | Patrick Industries, Inc., 4.750%, 5/01/2029(b) | 58,450 |
Principal Amount | Description | Value (†) |
Building Materials — continued | ||
$115,000 | Specialty Building Products Holdings LLC/SBP Finance Corp., 6.375%, 9/30/2026(b) | $107,541 |
65,000 | Standard Industries, Inc., 4.375%, 7/15/2030(b) | 53,833 |
1,228,749 | ||
Cable Satellite — 11.4% | ||
210,000 | Altice Financing SA, 5.000%, 1/15/2028(b) | 179,315 |
240,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031(b) | 191,114 |
910,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(b) | 670,013 |
140,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 6/01/2033(b) | 107,120 |
175,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030(b) | 146,904 |
85,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.000%, 2/01/2028(b) | 77,192 |
20,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027(b) | 18,634 |
30,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026(b) | 28,978 |
200,000 | CSC Holdings LLC, 3.375%, 2/15/2031(b) | 136,287 |
2,155,000 | CSC Holdings LLC, 4.625%, 12/01/2030(b) | 1,145,713 |
405,000 | CSC Holdings LLC, 5.000%, 11/15/2031(b) | 217,070 |
250,000 | CSC Holdings LLC, 5.750%, 1/15/2030 | 140,074 |
355,000 | Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.875%, 8/15/2027(b) | 313,884 |
210,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 116,420 |
130,000 | DISH DBS Corp., 5.250%, 12/01/2026(b) | 110,481 |
150,000 | DISH DBS Corp., 5.750%, 12/01/2028(b) | 115,312 |
150,000 | DISH DBS Corp., 7.375%, 7/01/2028 | 94,513 |
420,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 315,000 |
135,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028(b) | 70,875 |
260,000 | Sirius XM Radio, Inc., 3.875%, 9/01/2031(b) | 196,940 |
85,000 | Telesat Canada/Telesat LLC, 5.625%, 12/06/2026(b) | 58,438 |
80,000 | Viasat, Inc., 6.500%, 7/15/2028(b) | 55,400 |
245,000 | Virgin Media Secured Finance PLC, 5.500%, 5/15/2029(b) | 218,267 |
380,000 | Ziggo Bond Co. BV, 6.000%, 1/15/2027(b) | 347,886 |
5,071,830 | ||
Chemicals — 1.0% | ||
110,000 | ASP Unifrax Holdings, Inc., 5.250%, 9/30/2028(b) | 78,336 |
200,000 | Braskem Netherlands Finance BV, 8.500%, 1/12/2031(b) | 198,190 |
170,000 | Hercules LLC, 6.500%, 6/30/2029 | 155,761 |
432,287 | ||
Consumer Cyclical Services — 3.0% | ||
245,000 | ADT Security Corp., 4.125%, 8/01/2029(b) | 207,150 |
60,000 | ANGI Group LLC, 3.875%, 8/15/2028(b) | 46,949 |
5,000 | Arches Buyer, Inc., 4.250%, 6/01/2028(b) | 4,263 |
35,000 | Arches Buyer, Inc., 6.125%, 12/01/2028(b) | 28,420 |
45,000 | Match Group Holdings II LLC, 3.625%, 10/01/2031(b) | 35,510 |
30,000 | Match Group Holdings II LLC, 5.000%, 12/15/2027(b) | 27,669 |
160,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.750%, 1/15/2029(b) | 115,672 |
885,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(b) | 791,063 |
65,000 | VT Topco, Inc., 8.500%, 8/15/2030(b) | 64,386 |
1,321,082 | ||
Consumer Products — 1.0% | ||
80,000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.750%, 1/15/2029(b) | 72,142 |
Principal Amount | Description | Value (†) |
Consumer Products — continued | ||
$100,000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 6.625%, 7/15/2030(b) | $97,634 |
205,000 | Energizer Holdings, Inc., 4.375%, 3/31/2029(b) | 171,083 |
40,000 | Prestige Brands, Inc., 3.750%, 4/01/2031(b) | 32,200 |
75,000 | Tempur Sealy International, Inc., 3.875%, 10/15/2031(b) | 57,859 |
430,918 | ||
Diversified Manufacturing — 0.4% | ||
55,000 | Chart Industries, Inc., 7.500%, 1/01/2030(b) | 55,301 |
80,000 | Madison IAQ LLC, 5.875%, 6/30/2029(b) | 64,419 |
80,000 | Resideo Funding, Inc., 4.000%, 9/01/2029(b) | 65,727 |
185,447 | ||
Electric — 0.8% | ||
125,000 | Calpine Corp., 4.500%, 2/15/2028(b) | 112,653 |
110,000 | NRG Energy, Inc., 3.625%, 2/15/2031(b) | 83,452 |
40,000 | NRG Energy, Inc., 3.875%, 2/15/2032(b) | 30,028 |
70,000 | PG&E Corp., 5.000%, 7/01/2028 | 63,405 |
25,000 | PG&E Corp., 5.250%, 7/01/2030 | 21,726 |
40,000 | Talen Energy Supply LLC, 8.625%, 6/01/2030(b) | 41,004 |
352,268 | ||
Environmental — 0.6% | ||
195,000 | Covanta Holding Corp., 4.875%, 12/01/2029(b) | 159,978 |
105,000 | GFL Environmental, Inc., 4.000%, 8/01/2028(b) | 91,746 |
251,724 | ||
Finance Companies — 5.4% | ||
70,000 | Aircastle Ltd., 6.500%, 7/18/2028(b) | 68,648 |
25,000 | Blackstone Secured Lending Fund, 2.750%, 9/16/2026 | 21,976 |
110,000 | Blackstone Secured Lending Fund, 3.625%, 1/15/2026 | 101,622 |
125,000 | Blue Owl Capital Corp., 3.400%, 7/15/2026 | 112,070 |
40,000 | Cobra AcquisitionCo LLC, 6.375%, 11/01/2029(b) | 29,600 |
80,437 | Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024(b)(c) | 76,616 |
80,000 | Nationstar Mortgage Holdings, Inc., 5.000%, 2/01/2026(b) | 74,728 |
100,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030(b) | 81,193 |
265,000 | Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031(b) | 219,214 |
300,000 | Navient Corp., 4.875%, 3/15/2028 | 254,250 |
120,000 | Navient Corp., 5.500%, 3/15/2029 | 100,801 |
30,000 | Navient Corp., 6.750%, 6/25/2025 | 29,553 |
210,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 179,813 |
60,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 45,021 |
20,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 16,750 |
145,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 142,010 |
115,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025(b) | 102,350 |
40,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(b) | 35,228 |
15,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026 | 13,210 |
75,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 | 62,005 |
20,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(b) | 16,535 |
230,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(b) | 183,395 |
595,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(b) | 449,334 |
2,415,922 |
Principal Amount | Description | Value (†) |
Financial Other — 1.5% | ||
$210,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | $22,980 |
175,600 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(b)(d) | 15,191 |
213,200 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(b)(d) | 6,430 |
21,792 | CFLD Cayman Investment Ltd., Zero Coupon, 0.000–9.990%, 1/31/2031(b)(e) | 218 |
200,000 | China Aoyuan Group Ltd., 6.200%, 3/24/2026(f) | 3,070 |
200,000 | China Evergrande Group, 8.750%, 6/28/2025(f) | 4,000 |
221,792 | Easy Tactic Ltd., 7.500% PIK or 6.500% Cash, 7/11/2027(g) | 12,148 |
220,000 | Fantasia Holdings Group Co. Ltd., 11.875%, 6/01/2023(f) | 6,600 |
5,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 | 4,816 |
495,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 435,095 |
5,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025 | 4,756 |
200,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(f) | 11,678 |
200,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(f) | 11,000 |
400,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(f) | 22,832 |
200,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(f) | 8,000 |
200,000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026(f) | 31,000 |
200,000 | Sunac China Holdings Ltd., 6.650%, 8/03/2024(f) | 25,012 |
200,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(f) | 6,000 |
400,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(f) | 24,176 |
400,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(f) | 2,100 |
200,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(f) | 1,688 |
658,790 | ||
Food & Beverage — 0.8% | ||
40,000 | Aramark Services, Inc., 5.000%, 2/01/2028(b) | 36,993 |
65,000 | HLF Financing Sarl LLC/Herbalife International, Inc., 4.875%, 6/01/2029(b) | 46,150 |
145,000 | Lamb Weston Holdings, Inc., 4.375%, 1/31/2032(b) | 121,472 |
90,000 | Post Holdings, Inc., 4.625%, 4/15/2030(b) | 77,065 |
35,000 | Post Holdings, Inc., 5.750%, 3/01/2027(b) | 33,617 |
65,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029(b) | 53,321 |
368,618 | ||
Gaming — 1.8% | ||
115,000 | Caesars Entertainment, Inc., 6.250%, 7/01/2025(b) | 113,426 |
225,000 | Light & Wonder International, Inc., 7.000%, 5/15/2028(b) | 221,155 |
40,000 | Light & Wonder International, Inc., 7.500%, 9/01/2031(b) | 39,534 |
200,000 | Melco Resorts Finance Ltd., 5.375%, 12/04/2029(b) | 164,056 |
250,000 | Wynn Macau Ltd., 5.125%, 12/15/2029(b) | 206,240 |
90,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029(b) | 78,671 |
823,082 | ||
Government Owned - No Guarantee — 0.2% | ||
125,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 89,469 |
Health Care REITs — 0.2% | ||
115,000 | MPT Operating Partnership LP/MPT Finance Corp., 3.500%, 3/15/2031 | 71,814 |
Health Insurance — 0.1% | ||
15,000 | Molina Healthcare, Inc., 3.875%, 11/15/2030(b) | 12,414 |
60,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032(b) | 48,119 |
60,533 |
Principal Amount | Description | Value (†) |
Healthcare — 2.8% | ||
$25,000 | AdaptHealth LLC, 4.625%, 8/01/2029(b) | $19,188 |
125,000 | AdaptHealth LLC, 5.125%, 3/01/2030(b) | 96,797 |
145,000 | Bausch & Lomb Escrow Corp., 8.375%, 10/01/2028(b) | 145,431 |
225,000 | CHS/Community Health Systems, Inc., 5.250%, 5/15/2030(b) | 171,040 |
205,000 | DaVita, Inc., 3.750%, 2/15/2031(b) | 155,751 |
100,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 88,469 |
20,000 | Fortrea Holdings, Inc., 7.500%, 7/01/2030(b) | 19,460 |
80,000 | Garden Spinco Corp., 8.625%, 7/20/2030(b) | 83,508 |
35,000 | Hologic, Inc., 3.250%, 2/15/2029(b) | 29,565 |
180,000 | LifePoint Health, Inc., 5.375%, 1/15/2029(b) | 125,662 |
105,000 | Medline Borrower LP, 3.875%, 4/01/2029(b) | 88,769 |
60,000 | RP Escrow Issuer LLC, 5.250%, 12/15/2025(b) | 43,523 |
160,000 | Star Parent, Inc., 9.000%, 10/01/2030(b) | 161,680 |
50,000 | U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026(b) | 43,000 |
1,271,843 | ||
Home Construction — 0.2% | ||
60,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030(b) | 48,809 |
1,200,000 | Corp. GEO SAB de CV, 8.875%, 3/27/2022(b)(f)(h) | — |
50,000 | Empire Communities Corp., 7.000%, 12/15/2025(b) | 47,638 |
96,447 | ||
Independent Energy — 6.3% | ||
45,000 | Antero Resources Corp., 5.375%, 3/01/2030(b) | 41,430 |
10,000 | Apache Corp., 4.750%, 4/15/2043 | 7,284 |
120,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026(b) | 117,200 |
45,000 | Baytex Energy Corp., 8.500%, 4/30/2030(b) | 45,532 |
135,000 | Baytex Energy Corp., 8.750%, 4/01/2027(b) | 137,109 |
95,000 | Chesapeake Energy Corp., 5.500%, 2/01/2026(b) | 91,925 |
120,000 | Chesapeake Energy Corp., 6.750%, 4/15/2029(b) | 117,432 |
155,000 | Civitas Resources, Inc., 8.375%, 7/01/2028(b) | 157,713 |
255,000 | Continental Resources, Inc., 2.875%, 4/01/2032(b) | 190,957 |
5,000 | Continental Resources, Inc., 4.900%, 6/01/2044 | 3,673 |
155,000 | Continental Resources, Inc., 5.750%, 1/15/2031(b) | 145,616 |
75,000 | Crescent Energy Finance LLC, 7.250%, 5/01/2026(b) | 73,500 |
80,000 | Crescent Energy Finance LLC, 9.250%, 2/15/2028(b) | 81,676 |
45,000 | Gulfport Energy Corp., 8.000%, 5/17/2026(b) | 45,056 |
170,000 | Leviathan Bond Ltd., 6.750%, 6/30/2030(b) | 156,244 |
150,000 | Matador Resources Co., 5.875%, 9/15/2026 | 144,769 |
40,000 | MEG Energy Corp., 5.875%, 2/01/2029(b) | 37,355 |
60,000 | Murphy Oil Corp., 5.875%, 12/01/2042 | 48,508 |
170,000 | Northern Oil & Gas, Inc., 8.125%, 3/01/2028(b) | 169,796 |
60,000 | Northern Oil & Gas, Inc., 8.750%, 6/15/2031(b) | 60,450 |
80,000 | Occidental Petroleum Corp., 6.450%, 9/15/2036 | 78,555 |
85,000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 | 86,126 |
60,000 | Occidental Petroleum Corp., 7.500%, 5/01/2031 | 63,675 |
40,000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 | 43,284 |
40,000 | Permian Resources Operating LLC, 5.375%, 1/15/2026(b) | 38,296 |
60,000 | Permian Resources Operating LLC, 5.875%, 7/01/2029(b) | 56,441 |
50,000 | Permian Resources Operating LLC, 6.875%, 4/01/2027(b) | 49,286 |
55,000 | Permian Resources Operating LLC, 7.000%, 1/15/2032(b) | 54,242 |
45,000 | Range Resources Corp., 8.250%, 1/15/2029 | 46,135 |
205,000 | Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.875%, 11/01/2028(b) | 205,512 |
15,000 | SM Energy Co., 5.625%, 6/01/2025 | 14,681 |
105,000 | SM Energy Co., 6.750%, 9/15/2026 | 103,070 |
Principal Amount | Description | Value (†) |
Independent Energy — continued | ||
$45,000 | Southwestern Energy Co., 5.375%, 2/01/2029 | $41,444 |
50,000 | Strathcona Resources Ltd., 6.875%, 8/01/2026(b) | 47,125 |
2,801,097 | ||
Industrial Other — 0.2% | ||
60,000 | Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026(b) | 57,073 |
50,000 | Installed Building Products, Inc., 5.750%, 2/01/2028(b) | 46,022 |
103,095 | ||
Leisure — 4.0% | ||
295,000 | Carnival Corp., 5.750%, 3/01/2027(b) | 267,041 |
15,000 | Carnival Corp., 7.000%, 8/15/2029(b) | 14,790 |
70,000 | Cinemark USA, Inc., 5.250%, 7/15/2028(b) | 62,136 |
410,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(b) | 378,530 |
10,000 | NCL Corp. Ltd., 5.875%, 3/15/2026 | 9,232 |
70,000 | NCL Finance Ltd., 6.125%, 3/15/2028(b) | 61,775 |
125,000 | Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028 | 105,767 |
170,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026(b) | 155,872 |
320,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(b) | 293,437 |
30,000 | Royal Caribbean Cruises Ltd., 11.625%, 8/15/2027(b) | 32,547 |
50,000 | SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029(b) | 43,920 |
85,000 | Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027(b) | 77,138 |
75,000 | Viking Cruises Ltd., 5.875%, 9/15/2027(b) | 68,453 |
35,000 | Viking Cruises Ltd., 7.000%, 2/15/2029(b) | 32,200 |
190,000 | Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029(b) | 171,950 |
1,774,788 | ||
Lodging — 1.6% | ||
235,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.875%, 7/01/2031(b) | 191,577 |
110,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.000%, 6/01/2029(b) | 95,419 |
315,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(b) | 263,938 |
185,000 | Travel & Leisure Co., 4.500%, 12/01/2029(b) | 155,169 |
15,000 | Travel & Leisure Co., 4.625%, 3/01/2030(b) | 12,623 |
718,726 | ||
Media Entertainment — 1.3% | ||
310,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026(b)(f) | 6,200 |
140,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027(b)(f) | 2,800 |
395,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028(b) | 301,969 |
80,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028 | 61,158 |
20,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027(b) | 15,850 |
60,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 5.000%, 8/15/2027(b) | 52,865 |
35,000 | Playtika Holding Corp., 4.250%, 3/15/2029(b) | 29,225 |
140,000 | Stagwell Global LLC, 5.625%, 8/15/2029(b) | 113,110 |
583,177 | ||
Metals & Mining — 3.1% | ||
120,000 | ATI, Inc., 4.875%, 10/01/2029 | 105,568 |
80,000 | ATI, Inc., 7.250%, 8/15/2030 | 79,400 |
80,000 | Commercial Metals Co., 4.125%, 1/15/2030 | 69,645 |
550,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027(b) | 527,658 |
35,000 | GrafTech Finance, Inc., 4.625%, 12/15/2028(b) | 27,065 |
70,000 | GrafTech Global Enterprises, Inc., 9.875%, 12/15/2028(b) | 66,394 |
Principal Amount | Description | Value (†) |
Metals & Mining — continued | ||
$50,000 | Mineral Resources Ltd., 8.000%, 11/01/2027(b) | $49,063 |
110,000 | Mineral Resources Ltd., 8.125%, 5/01/2027(b) | 108,513 |
95,000 | Mineral Resources Ltd., 9.250%, 10/01/2028(b) | 95,950 |
190,000 | Novelis Corp., 4.750%, 1/30/2030(b) | 164,435 |
76,000 | U.S. Steel Corp., 6.875%, 3/01/2029 | 74,712 |
40,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026(b) | 22,831 |
1,391,234 | ||
Midstream — 4.6% | ||
85,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.375%, 6/15/2029(b) | 77,825 |
25,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.875%, 5/15/2026(b) | 25,178 |
105,000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.625%, 12/15/2025(b) | 105,392 |
80,000 | Buckeye Partners LP, 5.600%, 10/15/2044 | 56,922 |
55,000 | Buckeye Partners LP, 5.850%, 11/15/2043 | 40,150 |
65,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.000%, 2/01/2029(b) | 62,744 |
125,000 | Energy Transfer LP, Series A, 3 mo. USD LIBOR + 4.028%, 9.654%(a)(i) | 116,847 |
80,000 | EnLink Midstream LLC, 6.500%, 9/01/2030(b) | 77,614 |
15,000 | EnLink Midstream Partners LP, 5.050%, 4/01/2045 | 11,264 |
30,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | 23,440 |
125,000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044 | 103,750 |
41,000 | EQM Midstream Partners LP, 6.000%, 7/01/2025(b) | 40,363 |
105,000 | EQM Midstream Partners LP, 6.500%, 7/01/2027(b) | 102,530 |
50,000 | EQM Midstream Partners LP, 6.500%, 7/15/2048 | 43,970 |
55,000 | EQM Midstream Partners LP, 7.500%, 6/01/2027(b) | 55,110 |
80,000 | EQM Midstream Partners LP, 7.500%, 6/01/2030(b) | 80,340 |
65,000 | EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028 | 61,000 |
80,000 | Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026(b) | 74,984 |
230,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030(b) | 193,945 |
5,000 | Hess Midstream Operations LP, 5.125%, 6/15/2028(b) | 4,599 |
5,000 | Holly Energy Partners LP/Holly Energy Finance Corp., 5.000%, 2/01/2028(b) | 4,600 |
50,000 | Holly Energy Partners LP/Holly Energy Finance Corp., 6.375%, 4/15/2027(b) | 49,089 |
105,000 | Kinetik Holdings LP, 5.875%, 6/15/2030(b) | 98,437 |
65,000 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031(b) | 54,257 |
50,000 | Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029 | 43,884 |
225,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(b) | 174,696 |
130,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(b) | 106,681 |
55,000 | Western Midstream Operating LP, 5.250%, 2/01/2050 | 42,847 |
160,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 124,887 |
5,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | 4,822 |
2,062,167 | ||
Non-Agency Commercial Mortgage-Backed Securities — 2.2% | ||
94,621 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1 mo. USD SOFR + 3.614%, 8.947%, 11/15/2031(a)(b) | 79,269 |
212,898 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1 mo. USD SOFR + 4.614%, 9.947%, 11/15/2031(a)(b) | 158,173 |
1,020,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037(b) | 543,880 |
Principal Amount | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$380,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, PRIME + 0.000%, 8.500%, 11/15/2027(a)(b)(d)(h) | $81,358 |
420,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, PRIME + 0.000%, 8.500%, 11/15/2027(a)(b)(d)(h) | 21,000 |
60,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.256%, 11/15/2059(j) | 40,884 |
32,729 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 6.050%, 3/15/2044(b)(j) | 9,347 |
80,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.484%, 12/15/2045(j) | 54,800 |
988,711 | ||
Oil Field Services — 1.7% | ||
60,000 | Diamond Foreign Asset Co./Diamond Finance LLC, 8.500%, 10/01/2030(b) | 60,008 |
25,000 | Oceaneering International, Inc., 6.000%, 2/01/2028(b) | 23,524 |
45,000 | Precision Drilling Corp., 6.875%, 1/15/2029(b) | 42,624 |
60,000 | Solaris Midstream Holdings LLC, 7.625%, 4/01/2026(b) | 57,903 |
60,000 | Transocean Aquila Ltd., 8.000%, 9/30/2028(b) | 60,000 |
333,750 | Transocean Poseidon Ltd., 6.875%, 2/01/2027(b) | 328,597 |
25,000 | Transocean Titan Financing Ltd., 8.375%, 2/01/2028(b) | 25,438 |
90,000 | Transocean, Inc., 7.500%, 1/15/2026(b) | 87,959 |
90,000 | Weatherford International Ltd., 8.625%, 4/30/2030(b) | 90,689 |
776,742 | ||
Other REITs — 0.4% | ||
145,000 | Service Properties Trust, 4.750%, 10/01/2026 | 124,353 |
40,000 | Service Properties Trust, 7.500%, 9/15/2025 | 39,297 |
163,650 | ||
Packaging — 0.2% | ||
45,000 | Graham Packaging Co., Inc., 7.125%, 8/15/2028(b) | 37,699 |
5,000 | LABL, Inc., 5.875%, 11/01/2028(b) | 4,488 |
55,000 | Sealed Air Corp./Sealed Air Corp. U.S., 6.125%, 2/01/2028(b) | 53,269 |
95,456 | ||
Pharmaceuticals — 4.5% | ||
275,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(b) | 156,389 |
565,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030(b) | 212,102 |
55,000 | Bausch Health Cos., Inc., 6.125%, 2/01/2027(b) | 34,208 |
200,000 | Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028(b) | 182,138 |
270,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.125%, 4/30/2031(b) | 216,365 |
200,000 | Perrigo Finance Unlimited Co., 4.650%, 6/15/2030 | 170,497 |
325,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 288,201 |
195,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 173,798 |
565,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 353,670 |
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 202,613 |
1,989,981 | ||
Property & Casualty Insurance — 1.2% | ||
40,000 | Acrisure LLC/Acrisure Finance, Inc., 4.250%, 2/15/2029(b) | 33,612 |
105,000 | Acrisure LLC/Acrisure Finance, Inc., 6.000%, 8/01/2029(b) | 88,236 |
100,000 | AmWINS Group, Inc., 4.875%, 6/30/2029(b) | 87,623 |
55,000 | AssuredPartners, Inc., 5.625%, 1/15/2029(b) | 47,615 |
Principal Amount | Description | Value (†) |
Property & Casualty Insurance — continued | ||
$65,000 | BroadStreet Partners, Inc., 5.875%, 4/15/2029(b) | $57,351 |
145,000 | HUB International Ltd., 7.250%, 6/15/2030(b) | 144,735 |
125,000 | Liberty Mutual Group, Inc., 4.300%, 2/01/2061(b) | 73,950 |
533,122 | ||
Refining — 0.4% | ||
125,000 | CVR Energy, Inc., 5.250%, 2/15/2025(b) | 121,941 |
5,000 | Parkland Corp., 4.500%, 10/01/2029(b) | 4,282 |
45,000 | PBF Holding Co. LLC/PBF Finance Corp., 7.875%, 9/15/2030(b) | 44,846 |
171,069 | ||
Restaurants — 1.1% | ||
405,000 | 1011778 BC ULC/New Red Finance, Inc., 3.875%, 1/15/2028(b) | 363,301 |
80,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.750%, 6/01/2027(b) | 76,000 |
65,000 | Papa John's International, Inc., 3.875%, 9/15/2029(b) | 53,654 |
492,955 | ||
Retailers — 1.4% | ||
15,000 | Asbury Automotive Group, Inc., 4.500%, 3/01/2028 | 13,428 |
90,000 | Asbury Automotive Group, Inc., 4.625%, 11/15/2029(b) | 77,299 |
128,000 | Asbury Automotive Group, Inc., 4.750%, 3/01/2030 | 109,391 |
25,000 | Bath & Body Works, Inc., 5.250%, 2/01/2028 | 23,136 |
40,000 | Bath & Body Works, Inc., 6.750%, 7/01/2036 | 35,046 |
55,000 | Bath & Body Works, Inc., 6.875%, 11/01/2035 | 49,120 |
40,000 | Ken Garff Automotive LLC, 4.875%, 9/15/2028(b) | 34,160 |
35,000 | Lithia Motors, Inc., 4.375%, 1/15/2031(b) | 28,956 |
65,000 | Michaels Cos., Inc., 7.875%, 5/01/2029(b) | 42,435 |
60,000 | NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026(b) | 56,287 |
85,000 | Sonic Automotive, Inc., 4.625%, 11/15/2029(b) | 70,461 |
120,000 | Sonic Automotive, Inc., 4.875%, 11/15/2031(b) | 95,542 |
635,261 | ||
Technology — 5.4% | ||
110,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 93,796 |
20,000 | CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028 | 17,255 |
5,000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | 4,558 |
70,000 | Cloud Software Group, Inc., 6.500%, 3/31/2029(b) | 61,903 |
665,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(b) | 377,421 |
10,000 | CommScope, Inc., 4.750%, 9/01/2029(b) | 7,355 |
35,000 | Dun & Bradstreet Corp., 5.000%, 12/15/2029(b) | 30,175 |
80,000 | Elastic NV, 4.125%, 7/15/2029(b) | 68,132 |
60,000 | Everi Holdings, Inc., 5.000%, 7/15/2029(b) | 51,641 |
5,000 | Gartner, Inc., 3.750%, 10/01/2030(b) | 4,196 |
160,000 | GoTo Group, Inc., 5.500%, 9/01/2027(b) | 88,912 |
213,000 | GTCR W-2 Merger Sub LLC, 7.500%, 1/15/2031(b) | 213,298 |
185,000 | Iron Mountain, Inc., 4.500%, 2/15/2031(b) | 152,156 |
110,000 | Iron Mountain, Inc., 4.875%, 9/15/2029(b) | 96,409 |
5,000 | Iron Mountain, Inc., 5.250%, 7/15/2030(b) | 4,368 |
145,000 | Micron Technology, Inc., 6.750%, 11/01/2029 | 147,327 |
160,000 | NCR Atleos Escrow Corp., 9.500%, 4/01/2029(b) | 154,752 |
125,000 | NCR Corp., 5.000%, 10/01/2028(b) | 111,887 |
45,000 | NCR Corp., 5.125%, 4/15/2029(b) | 39,648 |
95,000 | Neptune Bidco U.S., Inc., 9.290%, 4/15/2029(b) | 86,005 |
200,000 | Newfold Digital Holdings Group, Inc., 6.000%, 2/15/2029(b) | 151,004 |
5,000 | Paysafe Finance PLC/Paysafe Holdings U.S. Corp., 4.000%, 6/15/2029(b) | 4,196 |
70,000 | Presidio Holdings, Inc., 8.250%, 2/01/2028(b) | 66,899 |
70,000 | Rackspace Technology Global, Inc., 5.375%, 12/01/2028(b) | 23,956 |
40,000 | Sabre Global, Inc., 11.250%, 12/15/2027(b) | 36,704 |
Principal Amount | Description | Value (†) |
Technology — continued | ||
$5,000 | Seagate HDD Cayman, 4.091%, 6/01/2029 | $4,312 |
40,000 | Seagate HDD Cayman, 4.875%, 6/01/2027 | 37,779 |
90,000 | Seagate HDD Cayman, 8.250%, 12/15/2029(b) | 92,430 |
120,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(b) | 97,119 |
50,000 | Sensata Technologies, Inc., 4.375%, 2/15/2030(b) | 43,175 |
70,000 | Ziff Davis, Inc., 4.625%, 10/15/2030(b) | 59,265 |
2,428,033 | ||
Transportation Services — 0.6% | ||
305,000 | Rand Parent LLC, 8.500%, 2/15/2030(b) | 282,079 |
Wireless — 2.1% | ||
230,000 | Altice France SA, 5.125%, 1/15/2029(b) | 163,536 |
200,000 | Altice France SA, 8.125%, 2/01/2027(b) | 177,359 |
400,000 | IHS Holding Ltd., 6.250%, 11/29/2028(b) | 303,352 |
330,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 287,849 |
932,096 | ||
Wirelines — 1.8% | ||
55,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 45,575 |
165,000 | Frontier Communications Holdings LLC, 5.000%, 5/01/2028(b) | 140,881 |
215,000 | Frontier Communications Holdings LLC, 5.875%, 10/15/2027(b) | 195,536 |
65,000 | Level 3 Financing, Inc., 3.625%, 1/15/2029(b) | 36,400 |
95,000 | Level 3 Financing, Inc., 4.250%, 7/01/2028(b) | 59,188 |
65,000 | Lumen Technologies, Inc., 4.000%, 2/15/2027(b) | 42,799 |
225,000 | Telecom Italia Capital SA, 6.375%, 11/15/2033 | 195,091 |
120,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028(b) | 97,990 |
813,460 | ||
Total Non-Convertible Bonds (Identified Cost $49,348,300) | 38,294,113 | |
Convertible Bonds — 5.3% | ||
Airlines — 0.5% | ||
215,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 213,387 |
Cable Satellite — 1.8% | ||
1,265,000 | DISH Network Corp., 3.375%, 8/15/2026 | 760,265 |
80,000 | DISH Network Corp., Zero Coupon, 6.944%–33.164%, 12/15/2025(e) | 53,895 |
814,160 | ||
Consumer Cyclical Services — 0.1% | ||
20,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 23,830 |
Consumer Products — 0.1% | ||
85,000 | Beauty Health Co., 1.250%, 10/01/2026(b) | 66,088 |
Gaming — 0.1% | ||
40,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | 48,548 |
Healthcare — 1.0% | ||
125,000 | Envista Holdings Corp., 1.750%, 8/15/2028(b) | 115,125 |
60,000 | Lantheus Holdings, Inc., 2.625%, 12/15/2027(b) | 69,564 |
315,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 251,023 |
435,712 | ||
Independent Energy — 0.2% | ||
90,000 | Northern Oil & Gas, Inc., 3.625%, 4/15/2029(b) | 111,176 |
Leisure — 0.2% | ||
85,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 70,501 |
Pharmaceuticals — 1.0% | ||
325,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 321,945 |
150,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 136,995 |
458,940 |
Principal Amount | Description | Value (†) |
Technology — 0.3% | ||
$115,000 | Unity Software, Inc., Zero Coupon, 7.197%–7.449%, 11/15/2026(e) | $91,023 |
20,000 | Wolfspeed, Inc., 0.250%, 2/15/2028 | 13,480 |
40,000 | Wolfspeed, Inc., 1.875%, 12/01/2029(b) | 26,020 |
130,523 | ||
Total Convertible Bonds (Identified Cost $3,336,541) | 2,372,865 | |
Total Bonds and Notes (Identified Cost $52,684,841) | 40,666,978 | |
Collateralized Loan Obligations — 2.6% | ||
250,000 | Battalion CLO XVI Ltd., Series 2019-16A, Class ER, 3 mo. USD SOFR + 6.862%, 12.188%, 12/19/2032(a)(b) | 212,132 |
250,000 | NYACK Park CLO Ltd., Series 2021-1A, Class E, 3 mo. USD SOFR + 6.362%, 11.688%, 10/20/2034(a)(b) | 224,413 |
250,000 | Octagon Investment Partners 44 Ltd., Series 2019-1A, Class ER, 3 mo. USD SOFR + 7.012%, 12.320%, 10/15/2034(a)(b) | 217,611 |
250,000 | Palmer Square CLO Ltd., Series 2021-3A, Class E, 3 mo. USD SOFR + 6.412%, 11.720%, 1/15/2035(a)(b) | 240,353 |
260,000 | Palmer Square CLO Ltd., Series 2021-4A, Class E, 3 mo. USD SOFR + 6.312%, 11.620%, 10/15/2034(a)(b) | 246,791 |
Total Collateralized Loan Obligations (Identified Cost $1,260,000) | 1,141,300 | |
Senior Loans — 2.2% | ||
Chemicals — 0.2% | ||
79,000 | Chemours Co., 2023 USD Term Loan B, 1 mo. USD SOFR + 3.500%, 8.816%, 8/18/2028(a)(k) | 78,012 |
Electric — 0.1% | ||
28,928 | Talen Energy Supply LLC, 2023 Term Loan B, 3 mo. USD SOFR + 4.500%, 9.877%, 5/17/2030(a)(k) | 29,018 |
Healthcare — 0.1% | ||
70,000 | Star Parent, Inc., 2023 Term Loan B, 9/19/2030(l) | 68,357 |
Leisure — 0.5% | ||
54,709 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.681%, 10/18/2028(a)(m) | 54,367 |
83,034 | Carnival Corp., 2021 Incremental Term Loan B, 10/18/2028(l) | 82,515 |
8,745 | Carnival Corp., 2023 Term Loan B, 8/08/2027(l) | 8,712 |
77,696 | Carnival Corp., 2023 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.327%, 8/08/2027(a)(m) | 77,405 |
222,999 | ||
Media Entertainment — 0.5% | ||
246,609 | MH Sub I LLC, 2023 Term Loan, 1 mo. USD SOFR + 4.250%, 9.566%, 5/03/2028(a)(k) | 238,247 |
Property & Casualty Insurance — 0.2% | ||
16,000 | AssuredPartners, Inc., 2023 Term Loan B4, 2/12/2027(l) | 15,990 |
55,719 | USI, Inc., 2022 Incremental Term Loan, 3 mo. USD SOFR + 3.750%, 9.140%, 11/22/2029(a)(k) | 55,633 |
8,147 | USI, Inc., 2023 Acquisition Term Loan, 9/27/2030(l) | 8,124 |
5,432 | USI, Inc., 2023 Refi Term Loan, 9/27/2030(l) | 5,414 |
85,161 | ||
Restaurants — 0.2% | ||
68,680 | 1011778 BC Unlimited Liability Co., 2023 Term Loan B5, 1 mo. USD SOFR + 2.250%, 7.566%, 9/23/2030(n) | 68,380 |
Principal Amount | Description | Value (†) |
Technology — 0.4% | ||
$89,746 | Gen Digital, Inc., 2022 Term Loan B, 1 mo. USD SOFR + 2.000%, 7.416%, 9/12/2029(a)(k) | $89,387 |
104,120 | Neptune Bidco U.S., Inc., 2022 USD Term Loan B, 3 mo. USD SOFR + 5.000%, 10.399%, 4/11/2029(a)(k) | 93,492 |
182,879 | ||
Total Senior Loans (Identified Cost $976,002) | 973,053 |
Shares | ||
Preferred Stocks — 0.2% | ||
Convertible Preferred Stock — 0.2% | ||
Technology — 0.2% | ||
3,404 | Clarivate PLC, Series A, 5.250% (Identified Cost $159,721) | 99,499 |
Common Stocks— 0.1% | ||
Energy Equipment & Services — 0.0% | ||
10,149 | McDermott International Ltd.(d) | 2,537 |
Media — 0.1% | ||
9,786 | iHeartMedia, Inc., Class A(d) | 30,924 |
Oil, Gas & Consumable Fuels — 0.0% | ||
3,650 | Battalion Oil Corp.(d) | 22,557 |
Total Common Stocks (Identified Cost $841,517) | 56,018 | |
Warrants — 0.0% | ||
20,319 | McDermott International Ltd., Tranche A, Expiration on 5/1/2024, (d)(h) | — |
22,577 | McDermott International Ltd., Tranche B, Expiration on 5/1/2024, (d)(h) | — |
Total Warrants (Identified Cost $31,517) | — | |
Other Investments — 0.0% | ||
Aircraft ABS — 0.0% | ||
100 | ECAF I Blocker, Ltd.(h)(o) (Identified Cost $1,000,000) | — |
Principal Amount | Description | Value (†) |
Short-Term Investments — 4.4% | ||
$698,153 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2023 at 2.500% to be repurchased at $698,299 on 10/02/2023 collateralized by $784,600 U.S. Treasury Note, 1.375% due 8/31/2026 valued at $712,148 including accrued interest(p) | $698,153 |
345,000 | U.S. Treasury Bills, 5.170%–5.282%, 10/17/2023(q)(r) | 344,242 |
935,000 | U.S. Treasury Bills, 5.285%, 1/04/2024(r) | 922,049 |
Total Short-Term Investments (Identified Cost $1,964,310) | 1,964,444 | |
Total Investments — 100.5% (Identified Cost $58,917,908) | 44,901,292 | |
Other assets less liabilities — (0.5)% | (230,694 ) | |
Net Assets — 100.0% | $44,670,598 |
(†) | 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. 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, if any, 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, 2023 is disclosed. |
(b) | 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, 2023, the value of Rule 144A holdings amounted to $31,080,841 or 69.6% of net assets. |
(c) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended September 30, 2023, interest payments were made in cash. |
(d) | Non-income producing security. |
(e) | 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. |
(f) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(g) | Payment–in–kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended September 30, 2023, interest payments were made in principal. |
(h) | Level 3 security. Value has been determined using significant unobservable inputs. |
(i) | Perpetual bond with no specified maturity date. |
(j) | 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, 2023 is disclosed. |
(k) | 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 0.50%, to which the spread is added. |
(l) | Position is unsettled. Contract rate was not determined at September 30, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(m) | 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 0.75%, to which the spread is added. |
(n) | 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 0.00%, to which the spread is added. |
(o) | Securities subject to restriction on resale. At September 30, 2023, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |
ECAF I Blocker, Ltd. | 12/20/2016 | 1,000,000 | — | Less than 0.1% |
(p) | 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, 2023, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
(q) | 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. |
(r) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
ABS | Asset-Backed Securities |
LIBOR | London Interbank Offered Rate |
PIK | Payment-in-Kind |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
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 each 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 each 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, 2023, at value:
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Non-Convertible Bonds | ||||
Non-Agency Commercial Mortgage-Backed Securities | $— | $886,353 | $102,358 | $988,711 |
All Other Non-Convertible Bonds(a) | — | 37,305,402 | — | 37,305,402 |
Total Non-Convertible Bonds | — | 38,191,755 | 102,358 | 38,294,113 |
Convertible Bonds(a) | — | 2,372,865 | — | 2,372,865 |
Total Bonds and Notes | — | 40,564,620 | 102,358 | 40,666,978 |
Collateralized Loan Obligations | — | 1,141,300 | — | 1,141,300 |
Senior Loans(a) | — | 973,053 | — | 973,053 |
Preferred Stocks(a) | 99,499 | — | — | 99,499 |
Common Stocks(a) | 56,018 | — | — | 56,018 |
Other Investments(a) | — | — | — | — |
Warrants | — | — | — | — |
Short-Term Investments | — | 1,964,444 | — | 1,964,444 |
Total Investments | $155,517 | $44,643,417 | $102,358 | $44,901,292 |
(a) | 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, 2022 and/or September 30, 2023:
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of December 31, 2022 | 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, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2023 |
Bonds and Notes | ||||||||||
Non-Convertible Bonds | ||||||||||
Home Construction | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
Non-Agency Commercial Mortgage- Backed Securities | 142,115 | — | — | (39,757 ) | — | — | — | — | 102,358 | (39,757 ) |
Warrants | 95 | — | — | (95 ) | — | — | — | — | — | — |
Other Investments | ||||||||||
Aircraft ABS | 6,825 | — | — | (6,825 ) | — | — | — | — | — | — |
Total | $149,035 | $— | $— | $(46,677 ) | $— | $— | $— | $— | $102,358 | $(39,757 ) |
Industry Summary at September 30, 2023 (Unaudited) | |
Cable Satellite | 13.2% |
Independent Energy | 6.5 |
Technology | 6.3 |
Pharmaceuticals | 5.5 |
Finance Companies | 5.4 |
Leisure | 4.7 |
Midstream | 4.6 |
Healthcare | 3.9 |
Metals & Mining | 3.1 |
Consumer Cyclical Services | 3.1 |
Building Materials | 2.7 |
Automotive | 2.4 |
Banking | 2.3 |
Non-Agency Commercial Mortgage-Backed Securities | 2.2 |
Wireless | 2.1 |
Other Investments, less than 2% each | 25.5 |
Collateralized Loan Obligations | 2.6 |
Short-Term Investments | 4.4 |
Total Investments | 100.5 |
Other assets less liabilities | (0.5) |
Net Assets | 100.0% |