Portfolio of Investments – as of March 31, 2024 (Unaudited)Loomis Sayles High Income Fund
Principal Amount | Description | Value (†) |
Bonds and Notes — 90.2% of Net Assets | ||
Non-Convertible Bonds — 86.2% | ||
ABS Home Equity — 0.1% | ||
$102,858 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1 mo. USD SOFR + 0.774%, 6.101%, 9/19/2045(a) | $55,663 |
Aerospace & Defense — 2.1% | ||
100,000 | Bombardier, Inc., 6.000%, 2/15/2028(b) | 98,367 |
155,000 | Bombardier, Inc., 7.125%, 6/15/2026(b) | 157,231 |
105,000 | Bombardier, Inc., 7.250%, 7/01/2031(b) | 105,214 |
45,000 | Bombardier, Inc., 8.750%, 11/15/2030(b) | 48,050 |
25,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | 23,436 |
40,000 | Spirit AeroSystems, Inc., 9.750%, 11/15/2030(b) | 44,743 |
85,000 | TransDigm, Inc., 6.375%, 3/01/2029(b) | 85,265 |
145,000 | TransDigm, Inc., 6.625%, 3/01/2032(b) | 146,492 |
10,000 | TransDigm, Inc., 6.750%, 8/15/2028(b) | 10,132 |
195,000 | TransDigm, Inc., 6.875%, 12/15/2030(b) | 198,782 |
917,712 | ||
Airlines — 1.2% | ||
70,000 | Allegiant Travel Co., 7.250%, 8/15/2027(b) | 69,627 |
415,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029(b) | 407,927 |
55,000 | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.750%, 1/20/2026(b) | 51,615 |
529,169 | ||
Automotive — 0.7% | ||
15,000 | Allison Transmission, Inc., 4.750%, 10/01/2027(b) | 14,435 |
85,000 | Ford Motor Co., 3.250%, 2/12/2032 | 70,703 |
45,000 | Tenneco, Inc., 8.000%, 11/17/2028(b) | 41,060 |
85,000 | Wheel Pros, Inc., 6.500%, 5/15/2029(b) | 25,925 |
150,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028(b) | 155,651 |
307,774 | ||
Banking — 2.6% | ||
365,000 | Barclays PLC, (fixed rate to 6/27/2033, variable rate thereafter), 7.119%, 6/27/2034 | 388,993 |
235,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 220,474 |
200,000 | Intesa Sanpaolo SpA, 6.625%, 6/20/2033(b) | 207,524 |
335,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(b) | 314,583 |
1,131,574 | ||
Brokerage — 0.6% | ||
35,000 | Coinbase Global, Inc., 3.375%, 10/01/2028(b) | 29,989 |
60,000 | Coinbase Global, Inc., 3.625%, 10/01/2031(b) | 48,453 |
30,000 | NFP Corp., 4.875%, 8/15/2028(b) | 30,068 |
80,000 | NFP Corp., 6.875%, 8/15/2028(b) | 81,021 |
65,000 | NFP Corp., 8.500%, 10/01/2031(b) | 71,536 |
261,067 | ||
Building Materials — 2.1% | ||
115,000 | Beacon Roofing Supply, Inc., 6.500%, 8/01/2030(b) | 116,694 |
90,000 | Builders FirstSource, Inc., 4.250%, 2/01/2032(b) | 80,718 |
40,000 | Builders FirstSource, Inc., 5.000%, 3/01/2030(b) | 38,167 |
45,000 | Camelot Return Merger Sub, Inc., 8.750%, 8/01/2028(b) | 46,227 |
60,000 | Cornerstone Building Brands, Inc., 6.125%, 1/15/2029(b) | 53,481 |
120,000 | Foundation Building Materials, Inc., 6.000%, 3/01/2029(b) | 110,350 |
115,000 | LBM Acquisition LLC, 6.250%, 1/15/2029(b) | 107,820 |
Principal Amount | Description | Value (†) |
Building Materials — continued | ||
$60,000 | MIWD Holdco II LLC/MIWD Finance Corp., 5.500%, 2/01/2030(b) | $55,218 |
25,000 | Park River Holdings, Inc., 5.625%, 2/01/2029(b) | 21,256 |
70,000 | Patrick Industries, Inc., 4.750%, 5/01/2029(b) | 65,389 |
115,000 | Specialty Building Products Holdings LLC/SBP Finance Corp., 6.375%, 9/30/2026(b) | 114,229 |
65,000 | Standard Industries, Inc., 4.375%, 7/15/2030(b) | 58,406 |
65,000 | Summit Materials LLC/Summit Materials Finance Corp., 7.250%, 1/15/2031(b) | 67,560 |
935,515 | ||
Cable Satellite — 10.8% | ||
210,000 | Altice Financing SA, 5.000%, 1/15/2028(b) | 172,839 |
240,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031(b) | 195,346 |
1,095,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(b) | 826,565 |
140,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 6/01/2033(b) | 109,357 |
175,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030(b) | 150,262 |
200,000 | CSC Holdings LLC, 3.375%, 2/15/2031(b) | 135,939 |
2,155,000 | CSC Holdings LLC, 4.625%, 12/01/2030(b) | 1,094,340 |
405,000 | CSC Holdings LLC, 5.750%, 1/15/2030(b) | 214,396 |
390,000 | Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.875%, 8/15/2027(b) | 368,954 |
210,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 87,589 |
130,000 | DISH DBS Corp., 5.250%, 12/01/2026(b) | 102,363 |
150,000 | DISH DBS Corp., 5.750%, 12/01/2028(b) | 103,088 |
150,000 | DISH DBS Corp., 7.375%, 7/01/2028 | 72,214 |
420,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 281,210 |
40,000 | DISH Network Corp., 11.750%, 11/15/2027(b) | 40,837 |
135,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028(b) | 64,386 |
45,000 | Sirius XM Radio, Inc., 3.875%, 9/01/2031(b) | 37,522 |
85,000 | Telesat Canada/Telesat LLC, 5.625%, 12/06/2026(b) | 42,500 |
80,000 | Viasat, Inc., 6.500%, 7/15/2028(b) | 61,777 |
245,000 | Virgin Media Secured Finance PLC, 5.500%, 5/15/2029(b) | 226,519 |
380,000 | Ziggo Bond Co. BV, 6.000%, 1/15/2027(b) | 374,517 |
4,762,520 | ||
Chemicals — 1.0% | ||
60,000 | ASP Unifrax Holdings, Inc., 5.250%, 9/30/2028(b) | 38,693 |
15,000 | Chemours Co., 4.625%, 11/15/2029(b) | 12,931 |
170,000 | Hercules LLC, 6.500%, 6/30/2029 | 169,291 |
200,000 | Olympus Water U.S. Holding Corp., 9.750%, 11/15/2028(b) | 213,043 |
433,958 | ||
Consumer Cyclical Services — 2.9% | ||
195,000 | ADT Security Corp., 4.125%, 8/01/2029(b) | 178,653 |
60,000 | ANGI Group LLC, 3.875%, 8/15/2028(b) | 52,081 |
5,000 | Arches Buyer, Inc., 4.250%, 6/01/2028(b) | 4,400 |
35,000 | Arches Buyer, Inc., 6.125%, 12/01/2028(b) | 29,319 |
125,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.750%, 1/15/2029(b) | 88,518 |
90,000 | Staples, Inc., 7.500%, 4/15/2026(b) | 87,837 |
790,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(b) | 749,566 |
65,000 | VT Topco, Inc., 8.500%, 8/15/2030(b) | 68,613 |
1,258,987 | ||
Consumer Products — 1.0% | ||
145,000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.750%, 1/15/2029(b) | 137,215 |
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) | $101,549 |
205,000 | Energizer Holdings, Inc., 4.375%, 3/31/2029(b) | 183,693 |
40,000 | Prestige Brands, Inc., 3.750%, 4/01/2031(b) | 34,826 |
457,283 | ||
Diversified Manufacturing — 0.5% | ||
70,000 | Esab Corp., 6.250%, 4/15/2029(b) | 70,328 |
80,000 | Madison IAQ LLC, 5.875%, 6/30/2029(b) | 73,190 |
80,000 | Resideo Funding, Inc., 4.000%, 9/01/2029(b) | 71,531 |
215,049 | ||
Electric — 0.5% | ||
110,000 | NRG Energy, Inc., 3.625%, 2/15/2031(b) | 94,925 |
4,000 | NRG Energy, Inc., 3.875%, 2/15/2032(b) | 3,428 |
70,000 | PG&E Corp., 5.000%, 7/01/2028 | 67,414 |
25,000 | PG&E Corp., 5.250%, 7/01/2030 | 23,756 |
40,000 | Talen Energy Supply LLC, 8.625%, 6/01/2030(b) | 42,774 |
232,297 | ||
Environmental — 0.6% | ||
120,000 | Covanta Holding Corp., 4.875%, 12/01/2029(b) | 107,550 |
105,000 | GFL Environmental, Inc., 4.000%, 8/01/2028(b) | 96,776 |
40,000 | GFL Environmental, Inc., 6.750%, 1/15/2031(b) | 40,993 |
245,319 | ||
Finance Companies — 5.4% | ||
25,000 | Blackstone Secured Lending Fund, 2.750%, 9/16/2026 | 23,044 |
110,000 | Blackstone Secured Lending Fund, 3.625%, 1/15/2026 | 105,204 |
125,000 | Blue Owl Capital Corp., 3.400%, 7/15/2026 | 117,764 |
40,000 | Freedom Mortgage Holdings LLC, 9.250%, 2/01/2029(b) | 40,938 |
75,000 | GGAM Finance Ltd., 6.875%, 4/15/2029(b) | 75,281 |
2,915 | Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024(b)(c) | 2,773 |
15,000 | Macquarie Airfinance Holdings Ltd., 6.400%, 3/26/2029(b) | 15,237 |
30,000 | Macquarie Airfinance Holdings Ltd., 6.500%, 3/26/2031(b) | 30,535 |
80,000 | Nationstar Mortgage Holdings, Inc., 5.000%, 2/01/2026(b) | 78,288 |
100,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030(b) | 90,728 |
130,000 | Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031(b) | 119,906 |
250,000 | Navient Corp., 4.875%, 3/15/2028 | 233,014 |
30,000 | Navient Corp., 6.750%, 6/25/2025 | 30,228 |
210,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 194,943 |
10,000 | OneMain Finance Corp., 3.875%, 9/15/2028 | 8,921 |
75,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 64,188 |
30,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 28,206 |
145,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 147,631 |
90,000 | PennyMac Financial Services, Inc., 7.875%, 12/15/2029(b) | 92,479 |
115,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025(b) | 110,295 |
40,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(b) | 36,957 |
15,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026 | 13,859 |
75,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 | 67,466 |
20,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(b) | 17,991 |
Principal Amount | Description | Value (†) |
Finance Companies — continued | ||
$230,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(b) | $200,376 |
490,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(b) | 415,075 |
2,361,327 | ||
Financial Other — 1.4% | ||
210,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 29,196 |
175,600 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(b)(d) | 6,571 |
213,200 | CFLD Cayman Investment Ltd., 2.500%, 1/31/2031(b)(d) | 5,085 |
21,792 | CFLD Cayman Investment Ltd., Zero Coupon, 0.000%–27.988%, 1/31/2031(b)(e) | 223 |
200,000 | China Aoyuan Group Ltd., 6.200%, 3/24/2026(f) | 3,000 |
200,000 | China Evergrande Group, 8.750%, 6/28/2025(f) | 1,800 |
230,109 | Easy Tactic Ltd., 7.500% PIK or 6.500% Cash, 7/11/2027(c) | 6,972 |
220,000 | Fantasia Holdings Group Co. Ltd., 11.875%, 6/01/2023(f) | 4,950 |
5,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 | 4,977 |
495,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 447,352 |
5,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025 | 4,959 |
200,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(f) | 6,156 |
200,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(f) | 4,000 |
400,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(f) | 8,492 |
200,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(f) | 6,994 |
35,100 | Sunac China Holdings Ltd., 6.000% PIK or 5.000% Cash, 9/30/2026(b)(g) | 4,101 |
35,100 | Sunac China Holdings Ltd., 6.250% PIK or 5.250% Cash, 9/30/2027(b)(g) | 3,549 |
70,201 | Sunac China Holdings Ltd., 6.500% PIK or 5.500% Cash, 9/30/2027(b)(g) | 6,376 |
105,302 | Sunac China Holdings Ltd., 6.750% PIK or 5.750% Cash, 9/30/2028(b)(g) | 8,499 |
105,302 | Sunac China Holdings Ltd., 7.000% PIK or 6.000% Cash, 9/30/2029(b)(g) | 7,506 |
49,473 | Sunac China Holdings Ltd., 7.250% PIK or 6.250% Cash, 9/30/2030(b)(g) | 3,057 |
200,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(f) | 5,250 |
400,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(f) | 20,300 |
400,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(f) | 4,104 |
200,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(f) | 2,006 |
605,475 | ||
Food & Beverage — 0.9% | ||
90,000 | Fiesta Purchaser, Inc., 7.875%, 3/01/2031(b) | 92,943 |
65,000 | HLF Financing SARL LLC/Herbalife International, Inc., 4.875%, 6/01/2029(b) | 45,175 |
100,000 | Lamb Weston Holdings, Inc., 4.375%, 1/31/2032(b) | 89,672 |
105,000 | Post Holdings, Inc., 6.250%, 2/15/2032(b) | 105,732 |
65,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029(b) | 57,441 |
390,963 | ||
Gaming — 1.5% | ||
65,000 | Light & Wonder International, Inc., 7.000%, 5/15/2028(b) | 65,479 |
40,000 | Light & Wonder International, Inc., 7.500%, 9/01/2031(b) | 41,596 |
200,000 | Melco Resorts Finance Ltd., 5.375%, 12/04/2029(b) | 182,430 |
Principal Amount | Description | Value (†) |
Gaming — continued | ||
$40,000 | Mohegan Tribal Gaming Authority, 8.000%, 2/01/2026(b) | $39,140 |
55,000 | Premier Entertainment Sub LLC/Premier Entertainment Finance Corp., 5.625%, 9/01/2029(b) | 41,989 |
250,000 | Wynn Macau Ltd., 5.125%, 12/15/2029(b) | 228,300 |
90,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029(b) | 85,262 |
684,196 | ||
Government Owned - No Guarantee — 0.4% | ||
55,000 | Ecopetrol SA, 8.375%, 1/19/2036 | 55,518 |
125,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 100,251 |
155,769 | ||
Health Care REITs — 0.2% | ||
115,000 | MPT Operating Partnership LP/MPT Finance Corp., 3.500%, 3/15/2031 | 78,961 |
Health Insurance — 0.1% | ||
15,000 | Molina Healthcare, Inc., 3.875%, 11/15/2030(b) | 13,336 |
60,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032(b) | 52,244 |
65,580 | ||
Healthcare — 3.0% | ||
25,000 | AdaptHealth LLC, 4.625%, 8/01/2029(b) | 21,513 |
125,000 | AdaptHealth LLC, 5.125%, 3/01/2030(b) | 109,017 |
225,000 | CHS/Community Health Systems, Inc., 5.250%, 5/15/2030(b) | 183,468 |
205,000 | DaVita, Inc., 3.750%, 2/15/2031(b) | 171,639 |
100,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 93,696 |
20,000 | Fortrea Holdings, Inc., 7.500%, 7/01/2030(b) | 20,646 |
35,000 | Hologic, Inc., 3.250%, 2/15/2029(b) | 31,367 |
180,000 | LifePoint Health, Inc., 5.375%, 1/15/2029(b) | 148,311 |
105,000 | Medline Borrower LP, 3.875%, 4/01/2029(b) | 95,572 |
120,000 | Medline Borrower LP/Medline Co-Issuer, Inc., 6.250%, 4/01/2029(b) | 120,537 |
75,000 | MPH Acquisition Holdings LLC, 5.500%, 9/01/2028(b) | 63,779 |
80,000 | Neogen Food Safety Corp., 8.625%, 7/20/2030(b) | 86,180 |
53,784 | Radiology Partners, Inc., 3.500% PIK or 5.000% Cash, 1/31/2029(b)(g) | 49,901 |
80,000 | Star Parent, Inc., 9.000%, 10/01/2030(b) | 84,664 |
50,000 | U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026(b) | 48,139 |
1,328,429 | ||
Home Construction — 0.2% | ||
60,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030(b) | 53,828 |
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) | 50,202 |
104,030 | ||
Independent Energy — 5.6% | ||
45,000 | Antero Resources Corp., 5.375%, 3/01/2030(b) | 43,217 |
120,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026(b) | 120,300 |
80,000 | Baytex Energy Corp., 8.500%, 4/30/2030(b) | 83,535 |
135,000 | Baytex Energy Corp., 8.750%, 4/01/2027(b) | 140,906 |
120,000 | Chesapeake Energy Corp., 6.750%, 4/15/2029(b) | 121,286 |
155,000 | Civitas Resources, Inc., 8.375%, 7/01/2028(b) | 163,170 |
50,000 | Civitas Resources, Inc., 8.625%, 11/01/2030(b) | 53,689 |
75,000 | Crescent Energy Finance LLC, 7.250%, 5/01/2026(b) | 76,443 |
105,000 | Crescent Energy Finance LLC, 9.250%, 2/15/2028(b) | 110,868 |
45,000 | Gulfport Energy Corp., 8.000%, 5/17/2026(b) | 45,670 |
170,000 | Leviathan Bond Ltd., 6.750%, 6/30/2030 | 157,296 |
150,000 | Matador Resources Co., 5.875%, 9/15/2026 | 150,016 |
150,000 | Matador Resources Co., 6.500%, 4/15/2032(b) | 150,182 |
40,000 | MEG Energy Corp., 5.875%, 2/01/2029(b) | 39,305 |
Principal Amount | Description | Value (†) |
Independent Energy — continued | ||
$60,000 | Murphy Oil Corp., 5.875%, 12/01/2042 | $53,836 |
170,000 | Northern Oil & Gas, Inc., 8.125%, 3/01/2028(b) | 172,548 |
60,000 | Northern Oil & Gas, Inc., 8.750%, 6/15/2031(b) | 63,358 |
40,000 | Permian Resources Operating LLC, 5.375%, 1/15/2026(b) | 39,545 |
60,000 | Permian Resources Operating LLC, 5.875%, 7/01/2029(b) | 59,001 |
50,000 | Permian Resources Operating LLC, 6.875%, 4/01/2027(b) | 50,019 |
45,000 | Permian Resources Operating LLC, 7.000%, 1/15/2032(b) | 46,684 |
45,000 | Range Resources Corp., 8.250%, 1/15/2029 | 46,809 |
230,000 | Sitio Royalties Operating Partnership LP/Sitio Finance Corp., 7.875%, 11/01/2028(b) | 237,889 |
15,000 | SM Energy Co., 5.625%, 6/01/2025 | 14,929 |
75,000 | SM Energy Co., 6.750%, 9/15/2026 | 75,075 |
45,000 | Southwestern Energy Co., 5.375%, 2/01/2029 | 43,706 |
50,000 | Strathcona Resources Ltd., 6.875%, 8/01/2026(b) | 50,087 |
70,000 | Vital Energy, Inc., 7.875%, 4/15/2032(b) | 71,111 |
2,480,480 | ||
Industrial Other — 0.2% | ||
60,000 | Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026(b) | 59,257 |
50,000 | Installed Building Products, Inc., 5.750%, 2/01/2028(b) | 48,664 |
107,921 | ||
Leisure — 4.7% | ||
295,000 | Carnival Corp., 5.750%, 3/01/2027(b) | 291,972 |
185,000 | Carnival Corp., 6.000%, 5/01/2029(b) | 182,541 |
15,000 | Carnival Corp., 7.000%, 8/15/2029(b) | 15,645 |
410,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(b) | 404,732 |
10,000 | NCL Corp. Ltd., 5.875%, 3/15/2026 | 9,872 |
90,000 | NCL Corp. Ltd., 8.125%, 1/15/2029(b) | 95,237 |
70,000 | NCL Finance Ltd., 6.125%, 3/15/2028(b) | 69,126 |
125,000 | Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028 | 116,341 |
170,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026(b) | 164,057 |
320,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(b) | 316,289 |
50,000 | SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029(b) | 47,092 |
85,000 | Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027(b) | 80,919 |
75,000 | Viking Cruises Ltd., 5.875%, 9/15/2027(b) | 73,584 |
35,000 | Viking Cruises Ltd., 7.000%, 2/15/2029(b) | 35,151 |
165,000 | Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029(b) | 160,575 |
2,063,133 | ||
Lodging — 2.1% | ||
295,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.875%, 7/01/2031(b) | 264,124 |
110,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.000%, 6/01/2029(b) | 102,586 |
95,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 6.625%, 1/15/2032(b) | 95,384 |
245,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(b) | 224,114 |
70,000 | Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028 | 65,606 |
185,000 | Travel & Leisure Co., 4.500%, 12/01/2029(b) | 170,114 |
15,000 | Travel & Leisure Co., 4.625%, 3/01/2030(b) | 13,696 |
935,624 |
Principal Amount | Description | Value (†) |
Media Entertainment — 1.0% | ||
$120,000 | Advantage Sales & Marketing, Inc., 6.500%, 11/15/2028(b) | $113,064 |
35,000 | AMC Networks, Inc., 10.250%, 1/15/2029(b) | 35,254 |
210,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028(b) | 147,505 |
80,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028 | 56,192 |
95,000 | Stagwell Global LLC, 5.625%, 8/15/2029(b) | 86,355 |
438,370 | ||
Metals & Mining — 2.5% | ||
120,000 | ATI, Inc., 4.875%, 10/01/2029 | 112,920 |
130,000 | Cleveland-Cliffs, Inc., 7.000%, 3/15/2032(b) | 131,716 |
80,000 | Commercial Metals Co., 4.125%, 1/15/2030 | 73,659 |
225,000 | First Quantum Minerals Ltd., 9.375%, 3/01/2029(b) | 233,081 |
65,000 | GrafTech Finance, Inc., 4.625%, 12/15/2028(b) | 41,800 |
100,000 | GrafTech Global Enterprises, Inc., 9.875%, 12/15/2028(b) | 74,422 |
50,000 | Mineral Resources Ltd., 8.000%, 11/01/2027(b) | 50,965 |
110,000 | Mineral Resources Ltd., 8.125%, 5/01/2027(b) | 111,278 |
95,000 | Mineral Resources Ltd., 9.250%, 10/01/2028(b) | 100,054 |
190,000 | Novelis Corp., 4.750%, 1/30/2030(b) | 175,298 |
1,105,193 | ||
Midstream — 5.5% | ||
45,000 | AmeriGas Partners LP/AmeriGas Finance Corp., 9.375%, 6/01/2028(b) | 46,598 |
85,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.375%, 6/15/2029(b) | 81,741 |
110,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 6.625%, 2/01/2032(b) | 110,480 |
25,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.875%, 5/15/2026(b) | 25,523 |
80,000 | Buckeye Partners LP, 5.600%, 10/15/2044 | 63,938 |
55,000 | Buckeye Partners LP, 5.850%, 11/15/2043 | 46,859 |
90,000 | Delek Logistics Partners LP/Delek Logistics Finance Corp., 8.625%, 3/15/2029(b) | 91,905 |
210,000 | Energy Transfer LP, (fixed rate to 2/15/2029, variable rate thereafter), 8.000%, 5/15/2054 | 220,263 |
125,000 | Energy Transfer LP, Series A, 3 mo. USD SOFR + 4.290%, 9.597%(a)(i) | 124,468 |
80,000 | EnLink Midstream LLC, 6.500%, 9/01/2030(b) | 82,279 |
15,000 | EnLink Midstream Partners LP, 5.050%, 4/01/2045 | 12,387 |
30,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | 26,108 |
125,000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044 | 111,294 |
45,000 | EQM Midstream Partners LP, 4.750%, 1/15/2031(b) | 41,848 |
65,000 | EQM Midstream Partners LP, 5.500%, 7/15/2028 | 64,108 |
105,000 | EQM Midstream Partners LP, 6.500%, 7/01/2027(b) | 105,929 |
50,000 | EQM Midstream Partners LP, 6.500%, 7/15/2048 | 50,150 |
20,000 | EQM Midstream Partners LP, 7.500%, 6/01/2027(b) | 20,508 |
80,000 | EQM Midstream Partners LP, 7.500%, 6/01/2030(b) | 85,516 |
80,000 | Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026(b) | 78,267 |
45,000 | Global Partners LP/GLP Finance Corp., 8.250%, 1/15/2032(b) | 46,667 |
50,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030(b) | 45,945 |
5,000 | Hess Midstream Operations LP, 5.125%, 6/15/2028(b) | 4,838 |
30,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026(b) | 29,760 |
20,000 | ITT Holdings LLC, 6.500%, 8/01/2029(b) | 18,252 |
105,000 | Kinetik Holdings LP, 5.875%, 6/15/2030(b) | 102,703 |
130,000 | Kinetik Holdings LP, 6.625%, 12/15/2028(b) | 132,308 |
90,000 | New Fortress Energy, Inc., 6.500%, 9/30/2026(b) | 86,656 |
50,000 | Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029 | 46,476 |
225,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(b) | 191,161 |
Principal Amount | Description | Value (†) |
Midstream — continued | ||
$130,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(b) | $115,596 |
110,000 | Venture Global LNG, Inc., 8.375%, 6/01/2031(b) | 113,440 |
2,423,971 | ||
Non-Agency Commercial Mortgage-Backed Securities — 1.9% | ||
93,545 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1 mo. USD SOFR + 3.614%, 8.940%, 11/15/2031(a)(b) | 45,911 |
210,476 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1 mo. USD SOFR + 4.614%, 9.940%, 11/15/2031(a)(b) | 88,469 |
1,020,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037(b) | 521,587 |
380,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, Prime + 0.000%, 8.500%, 11/15/2027(a)(b)(d)(h) | 30,552 |
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, 4.115%, 11/15/2059(a) | 47,789 |
32,729 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.855%, 3/15/2044(a)(b) | 9,727 |
80,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.331%, 12/15/2045(a) | 61,911 |
826,946 | ||
Office REITs — 0.1% | ||
50,000 | Hudson Pacific Properties LP, 3.950%, 11/01/2027 | 44,297 |
Oil Field Services — 1.6% | ||
60,000 | Diamond Foreign Asset Co./Diamond Finance LLC, 8.500%, 10/01/2030(b) | 63,324 |
25,000 | Oceaneering International, Inc., 6.000%, 2/01/2028 | 24,631 |
60,000 | Solaris Midstream Holdings LLC, 7.625%, 4/01/2026(b) | 60,652 |
60,000 | Transocean Aquila Ltd., 8.000%, 9/30/2028(b) | 61,584 |
155,250 | Transocean Poseidon Ltd., 6.875%, 2/01/2027(b) | 155,428 |
90,000 | Transocean, Inc., 7.500%, 1/15/2026(b) | 89,378 |
115,000 | Transocean, Inc., 8.000%, 2/01/2027(b) | 114,146 |
65,000 | USA Compression Partners LP/USA Compression Finance Corp., 7.125%, 3/15/2029(b) | 65,810 |
70,000 | Weatherford International Ltd., 8.625%, 4/30/2030(b) | 73,078 |
708,031 | ||
Other REITs — 0.8% | ||
145,000 | Service Properties Trust, 4.750%, 10/01/2026 | 135,151 |
40,000 | Service Properties Trust, 7.500%, 9/15/2025 | 40,539 |
120,000 | Service Properties Trust, 8.625%, 11/15/2031(b) | 127,972 |
60,000 | Starwood Property Trust, Inc., 7.250%, 4/01/2029(b) | 60,478 |
364,140 | ||
Packaging — 0.4% | ||
40,000 | Clydesdale Acquisition Holdings, Inc., 8.750%, 4/15/2030(b) | 39,301 |
45,000 | Graham Packaging Co., Inc., 7.125%, 8/15/2028(b) | 40,801 |
35,000 | LABL, Inc., 10.500%, 7/15/2027(b) | 34,705 |
45,000 | Mauser Packaging Solutions Holding Co., 9.250%, 4/15/2027(b) | 44,642 |
159,449 | ||
Pharmaceuticals — 3.6% | ||
275,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(b) | 150,069 |
565,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030(b) | 233,089 |
55,000 | Bausch Health Cos., Inc., 6.125%, 2/01/2027(b) | 34,270 |
Principal Amount | Description | Value (†) |
Pharmaceuticals — continued | ||
$200,000 | Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028(b) | $191,746 |
325,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 316,238 |
75,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 70,117 |
565,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 389,512 |
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 214,682 |
1,599,723 | ||
Property & Casualty Insurance — 3.7% | ||
40,000 | Acrisure LLC/Acrisure Finance, Inc., 4.250%, 2/15/2029(b) | 36,112 |
110,000 | Acrisure LLC/Acrisure Finance, Inc., 8.250%, 2/01/2029(b) | 110,494 |
70,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.750%, 10/15/2027(b) | 68,966 |
110,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 7.000%, 1/15/2031(b) | 111,102 |
100,000 | AmWINS Group, Inc., 4.875%, 6/30/2029(b) | 93,338 |
100,000 | AmWINS Group, Inc., 6.375%, 2/15/2029(b) | 100,540 |
200,000 | Ardonagh Finco Ltd., 7.750%, 2/15/2031(b) | 199,097 |
200,000 | Ardonagh Group Finance Ltd., 8.875%, 2/15/2032(b) | 197,464 |
55,000 | AssuredPartners, Inc., 5.625%, 1/15/2029(b) | 50,670 |
65,000 | BroadStreet Partners, Inc., 5.875%, 4/15/2029(b) | 60,162 |
360,000 | HUB International Ltd., 7.250%, 6/15/2030(b) | 369,971 |
125,000 | Liberty Mutual Group, Inc., 4.300%, 2/01/2061(b) | 79,968 |
145,000 | Panther Escrow Issuer LLC, 7.125%, 6/01/2031(b) | 147,423 |
1,625,307 | ||
Refining — 0.4% | ||
120,000 | CVR Energy, Inc., 8.500%, 1/15/2029(b) | 121,503 |
45,000 | PBF Holding Co. LLC/PBF Finance Corp., 7.875%, 9/15/2030(b) | 46,631 |
168,134 | ||
Restaurants — 0.9% | ||
330,000 | 1011778 BC ULC/New Red Finance, Inc., 3.875%, 1/15/2028(b) | 310,139 |
65,000 | Papa John's International, Inc., 3.875%, 9/15/2029(b) | 57,643 |
15,000 | Yum! Brands, Inc., 3.625%, 3/15/2031 | 13,274 |
35,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 32,299 |
413,355 | ||
Retailers — 1.2% | ||
15,000 | Asbury Automotive Group, Inc., 4.500%, 3/01/2028 | 14,281 |
70,000 | Asbury Automotive Group, Inc., 4.625%, 11/15/2029(b) | 64,598 |
58,000 | Asbury Automotive Group, Inc., 4.750%, 3/01/2030 | 53,416 |
25,000 | Bath & Body Works, Inc., 5.250%, 2/01/2028 | 24,484 |
40,000 | Bath & Body Works, Inc., 6.750%, 7/01/2036 | 40,400 |
55,000 | Bath & Body Works, Inc., 6.875%, 11/01/2035 | 56,241 |
20,000 | Hanesbrands, Inc., 9.000%, 2/15/2031(b) | 20,549 |
40,000 | Ken Garff Automotive LLC, 4.875%, 9/15/2028(b) | 36,996 |
35,000 | Lithia Motors, Inc., 4.375%, 1/15/2031(b) | 31,350 |
65,000 | Michaels Cos., Inc., 7.875%, 5/01/2029(b) | 48,765 |
60,000 | NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026(b) | 58,756 |
5,000 | Parkland Corp., 4.500%, 10/01/2029(b) | 4,625 |
85,000 | Sonic Automotive, Inc., 4.625%, 11/15/2029(b) | 76,228 |
15,000 | Sonic Automotive, Inc., 4.875%, 11/15/2031(b) | 13,131 |
543,820 | ||
Technology — 5.7% | ||
80,000 | AthenaHealth Group, Inc., 6.500%, 2/15/2030(b) | 73,170 |
Principal Amount | Description | Value (†) |
Technology — continued | ||
$213,000 | Boost Newco Borrower LLC, 7.500%, 1/15/2031(b) | $222,971 |
70,000 | Cloud Software Group, Inc., 6.500%, 3/31/2029(b) | 66,427 |
445,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(b) | 171,877 |
70,000 | CommScope, Inc., 4.750%, 9/01/2029(b) | 50,567 |
50,000 | CommScope, Inc., 6.000%, 3/01/2026(b) | 45,750 |
80,000 | Elastic NV, 4.125%, 7/15/2029(b) | 71,992 |
60,000 | Everi Holdings, Inc., 5.000%, 7/15/2029(b) | 59,442 |
71,456 | GoTo Group, Inc., 5.500%, 5/01/2028(b) | 47,966 |
51,744 | GoTo Group, Inc., 5.500%, 5/01/2028(b) | 44,823 |
185,000 | Iron Mountain, Inc., 4.500%, 2/15/2031(b) | 166,914 |
110,000 | Iron Mountain, Inc., 4.875%, 9/15/2029(b) | 103,201 |
5,000 | Iron Mountain, Inc., 5.250%, 7/15/2030(b) | 4,730 |
70,000 | McAfee Corp., 7.375%, 2/15/2030(b) | 64,193 |
140,000 | NCR Atleos Corp., 9.500%, 4/01/2029(b) | 149,745 |
160,000 | NCR Voyix Corp., 5.000%, 10/01/2028(b) | 149,148 |
35,000 | NCR Voyix Corp., 5.125%, 4/15/2029(b) | 32,461 |
95,000 | Neptune Bidco U.S., Inc., 9.290%, 4/15/2029(b) | 89,830 |
105,000 | Newfold Digital Holdings Group, Inc., 11.750%, 10/15/2028(b) | 113,654 |
5,000 | Paysafe Finance PLC/Paysafe Holdings U.S. Corp., 4.000%, 6/15/2029(b) | 4,455 |
25,000 | Pitney Bowes, Inc., 6.875%, 3/15/2027(b) | 22,828 |
70,000 | Presidio Holdings, Inc., 8.250%, 2/01/2028(b) | 69,811 |
70,000 | Rackspace Technology Global, Inc., 5.375%, 12/01/2028(b) | 18,289 |
20,000 | Sabre Global, Inc., 8.625%, 6/01/2027(b) | 17,550 |
95,000 | Sabre Global, Inc., 11.250%, 12/15/2027(b) | 89,158 |
5,000 | Seagate HDD Cayman, 4.091%, 6/01/2029 | 4,619 |
40,000 | Seagate HDD Cayman, 4.875%, 6/01/2027 | 38,931 |
90,000 | Seagate HDD Cayman, 8.250%, 12/15/2029(b) | 96,702 |
120,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(b) | 103,800 |
50,000 | Sensata Technologies, Inc., 4.375%, 2/15/2030(b) | 45,507 |
150,000 | UKG, Inc., 6.875%, 2/01/2031(b) | 152,809 |
45,000 | Western Digital Corp., 2.850%, 2/01/2029 | 39,152 |
70,000 | Ziff Davis, Inc., 4.625%, 10/15/2030(b) | 63,105 |
2,495,577 | ||
Transportation Services — 0.5% | ||
225,000 | Rand Parent LLC, 8.500%, 2/15/2030(b) | 222,617 |
Treasuries — 0.7% | ||
310,000 | U.S. Treasury Notes, 4.500%, 3/31/2026 | 309,225 |
Wireless — 1.4% | ||
230,000 | Altice France SA, 5.125%, 1/15/2029(b) | 157,505 |
200,000 | Altice France SA, 8.125%, 2/01/2027(b) | 156,332 |
330,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 306,788 |
620,625 | ||
Wirelines — 1.9% | ||
55,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 50,311 |
165,000 | Frontier Communications Holdings LLC, 5.000%, 5/01/2028(b) | 153,155 |
215,000 | Frontier Communications Holdings LLC, 5.875%, 10/15/2027(b) | 208,149 |
65,000 | Level 3 Financing, Inc., 3.625%, 1/15/2029(b) | 29,079 |
95,000 | Level 3 Financing, Inc., 4.250%, 7/01/2028(b) | 44,650 |
65,000 | Lumen Technologies, Inc., 4.000%, 2/15/2027(b) | 40,135 |
225,000 | Telecom Italia Capital SA, 6.375%, 11/15/2033 | 212,865 |
120,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028(b) | 104,775 |
843,119 | ||
Total Non-Convertible Bonds (Identified Cost $46,249,402) | 38,017,674 | |
Principal Amount | Description | Value (†) |
Convertible Bonds — 4.0% | ||
Cable Satellite — 2.0% | ||
$1,265,000 | DISH Network Corp., 3.375%, 8/15/2026 | $787,462 |
120,000 | DISH Network Corp., Zero Coupon, 6.944%–33.530%, 12/15/2025(e) | 87,600 |
875,062 | ||
Consumer Cyclical Services — 0.1% | ||
10,000 | Booking Holdings, Inc., 0.750%, 5/01/2025 | 19,300 |
15,000 | Uber Technologies, Inc., Series 2028, 0.875%, 12/01/2028(b) | 18,555 |
20,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 24,638 |
62,493 | ||
Electric — 0.1% | ||
20,000 | Evergy, Inc., 4.500%, 12/15/2027(b) | 20,330 |
15,000 | NRG Energy, Inc., 2.750%, 6/01/2048 | 24,818 |
45,148 | ||
Financial Other — 0.0% | ||
43,605 | Sunac China Holdings Ltd., 1.000% PIK or 0.000% Cash, 9/30/2032(b)(c) | 2,616 |
Healthcare — 0.1% | ||
40,000 | Envista Holdings Corp., 1.750%, 8/15/2028(b) | 35,175 |
Independent Energy — 0.2% | ||
90,000 | Northern Oil & Gas, Inc., 3.625%, 4/15/2029 | 109,575 |
Leisure — 0.3% | ||
55,000 | Carnival Corp., 5.750%, 12/01/2027 | 82,775 |
15,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 14,177 |
10,000 | Royal Caribbean Cruises Ltd., 6.000%, 8/15/2025 | 28,420 |
125,372 | ||
Pharmaceuticals — 0.7% | ||
290,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 286,027 |
Technology — 0.5% | ||
15,000 | Datadog, Inc., 0.125%, 6/15/2025 | 21,135 |
15,000 | Nutanix, Inc., 0.250%, 10/01/2027 | 18,375 |
20,000 | ON Semiconductor Corp., 0.500%, 3/01/2029 | 19,680 |
5,000 | Palo Alto Networks, Inc., 0.375%, 6/01/2025 | 14,270 |
10,000 | Shift4 Payments, Inc., 0.500%, 8/01/2027 | 9,275 |
15,000 | Shift4 Payments, Inc., Zero Coupon, 0.000%, 12/15/2025(j) | 16,050 |
20,000 | Wolfspeed, Inc., 0.250%, 2/15/2028 | 11,670 |
175,000 | Wolfspeed, Inc., 1.875%, 12/01/2029 | 97,667 |
15,000 | Zscaler, Inc., 0.125%, 7/01/2025 | 20,437 |
228,559 | ||
Total Convertible Bonds (Identified Cost $2,357,933) | 1,770,027 | |
Total Bonds and Notes (Identified Cost $48,607,335) | 39,787,701 | |
Senior Loans — 5.2% | ||
Aerospace & Defense — 0.4% | ||
154,612 | TransDigm, Inc., 2023 Term Loan J, 3 mo. USD SOFR + 3.250%, 8.598%, 2/28/2031(a)(k) | 155,330 |
19,528 | TransDigm, Inc., 2024 Term Loan I, 8/24/2028(l) | 19,589 |
174,919 | ||
Brokerage — 0.5% | ||
39,834 | Edelman Financial Center LLC, 2021 Term Loan B, 4/07/2028(l) | 39,824 |
24,872 | Edelman Financial Center LLC, 2021 Term Loan B, 1 mo. USD SOFR + 3.500%, 8.945%, 4/07/2028(a)(k) | 24,866 |
Principal Amount | Description | Value (†) |
Brokerage — continued | ||
$67,000 | Eisner Advisory Group LLC, 2024 Term Loan B, 1 mo. USD SOFR + 4.000%, 2/28/2031(l) | $67,167 |
66,829 | HighTower Holdings LLC, 2021 Term Loan B, 3 mo. USD SOFR + 4.000%, 9.586%, 4/21/2028(l) | 66,829 |
198,686 | ||
Building Materials — 0.1% | ||
56,451 | MI Windows & Doors LLC, 2024 Term Loan B2, 3/21/2031(l) | 56,663 |
Chemicals — 0.2% | ||
78,605 | Chemours Co., 2023 USD Term Loan B, 1 mo. USD SOFR + 3.500%, 8.830%, 8/18/2028(a)(k) | 78,212 |
Consumer Cyclical Services — 0.1% | ||
58,197 | PUG LLC, 2024 Extended Term Loan B, 1 mo. USD SOFR + 4.750%, 10.075%, 3/15/2030(a)(k) | 58,173 |
Electric — 0.1% | ||
28,783 | Talen Energy Supply LLC, 2023 Term Loan B, 3 mo. USD SOFR + 4.500%, 9.826%, 5/17/2030(a)(k) | 28,870 |
Food & Beverage — 0.2% | ||
94,762 | Chobani LLC, 2023 Incremental Term Loan, 1 mo. USD SOFR + 3.750%, 9.075%, 10/25/2027(a)(k) | 95,236 |
Healthcare — 0.8% | ||
111,669 | Bausch & Lomb Corp., Term Loan, 5/10/2027(l) | 110,217 |
111,834 | Inception Holdco SARL, 2024 USD Term Loan B, 3/14/2031(l) | 111,694 |
16,958 | IVC Acquisition Ltd., 2023 USD Term Loan B, 3 mo. USD SOFR + 5.500%, 10.809%, 12/12/2028(a)(k) | 16,963 |
126,820 | Star Parent, Inc., Term Loan B, 3 mo. USD SOFR + 4.000%, 9.309%, 9/27/2030(a)(k) | 125,964 |
364,838 | ||
Leisure — 0.6% | ||
179,963 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.695%, 10/18/2028(a)(k) | 180,001 |
72,568 | Carnival Corp., 2023 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.319%, 8/08/2027(a)(k) | 72,614 |
252,615 | ||
Media Entertainment — 0.3% | ||
47,322 | MH Sub I LLC, 2023 Term Loan, 1 mo. USD SOFR + 4.250%, 9.580%, 5/03/2028(a)(k) | 46,989 |
88,000 | Wood Mackenzie Ltd., 2024 Term Loan B, 3 mo. USD SOFR + 3.500%, 8.814%, 1/31/2031(a)(k) | 88,264 |
135,253 | ||
Property & Casualty Insurance — 0.8% | ||
124,235 | Acrisure LLC, 2020 Term Loan B, 1 mo. USD LIBOR + 3.500%, 8.945%, 2/15/2027(a)(k) | 123,969 |
15,914 | AssuredPartners, Inc., 2023 Term Loan B4, 1 mo. USD SOFR + 3.750%, 9.077%, 2/12/2027(a)(k) | 15,921 |
112,000 | Asurion LLC, 2023 Term Loan B11, 1 mo. USD SOFR + 4.250%, 8/19/2028(l) | 107,912 |
55,821 | Truist Insurance Holdings LLC, 2nd Lien Term Loan, 3/08/2032(l) | 56,100 |
13,512 | USI, Inc., 2023 Acquisition Term Loan, 3 mo. USD SOFR + 3.250%, 8.552%, 9/27/2030(a)(k) | 13,516 |
55,440 | USI, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 3.000%, 8.302%, 11/22/2029(a)(k) | 55,432 |
372,850 | ||
Technology — 0.9% | ||
113,000 | Cotiviti Corp., 2024 Term Loan, 2/21/2031(l) | 112,718 |
119,096 | CT Technologies Intermediate Holdings, Inc., 2021 Term Loan B, 1 mo. USD SOFR + 4.250%, 12/16/2025(l) | 118,649 |
Principal Amount | Description | Value (†) |
Technology — continued | ||
$54,862 | Iron Mountain, Inc., 2023 Term Loan B, 1 mo. USD SOFR + 2.250%, 7.580%, 1/31/2031(a)(k) | $54,359 |
103,598 | Neptune Bidco U.S., Inc., 2022 USD Term Loan B, 3 mo. USD SOFR + 5.000%, 10.423%, 4/11/2029(a)(k) | 95,381 |
381,107 | ||
Transportation Services — 0.2% | ||
79,042 | PODS LLC, 2021 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.329%, 3/31/2028(a)(k) | 77,667 |
Total Senior Loans (Identified Cost $2,266,963) | 2,275,089 | |
Collateralized Loan Obligations — 1.1% | ||
250,000 | Battalion CLO XVI Ltd., Series 2019-16A, Class ER, 3 mo. USD SOFR + 6.862%, 12.179%, 12/19/2032(a)(b) | 242,086 |
250,000 | NYACK Park CLO Ltd., Series 2021-1A, Class E, 3 mo. USD SOFR + 6.362%, 11.679%, 10/20/2034(a)(b) | 248,479 |
Total Collateralized Loan Obligations (Identified Cost $500,000) | 490,565 |
Shares | ||
Preferred Stocks — 0.1% | ||
Convertible Preferred Stock — 0.1% | ||
Technology — 0.1% | ||
1,987 | Clarivate PLC, Series A, 5.250% (Identified Cost $88,826) | 59,054 |
Common Stocks— 0.1% | ||
Energy Equipment & Services — 0.0% | ||
10,149 | McDermott International Ltd.(d) | 2,030 |
Media — 0.0% | ||
9,786 | iHeartMedia, Inc., Class A(d) | 20,452 |
Oil, Gas & Consumable Fuels — 0.1% | ||
3,650 | Battalion Oil Corp.(d) | 20,659 |
Total Common Stocks (Identified Cost $841,517) | 43,141 | |
Shares | Description | Value (†) |
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)(m) (Identified Cost $1,000,000) | — |
Principal Amount | ||
Short-Term Investments — 5.9% | ||
$2,152,342 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/2024 at 3.500% to be repurchased at $2,153,179 on 4/01/2024 collateralized by $2,272,000 U.S. Treasury Note, 2.375% due 4/30/2026 valued at $2,195,398 including accrued interest(n) | 2,152,342 |
440,000 | U.S. Treasury Bills, 5.170%–5.238%, 4/09/2024(o)(p) | 439,488 |
Total Short-Term Investments (Identified Cost $2,591,833) | 2,591,830 | |
Total Investments — 102.6% (Identified Cost $55,927,991) | 45,247,380 | |
Other assets less liabilities — (2.6)% | (1,161,359 ) | |
Net Assets — 100.0% | $44,086,021 |
(†) | 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 ("NAV") 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 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 March 31, 2024 is disclosed. Issuers comprised of various lots with differing coupon rates have been aggregated for the purpose of presentation in the Portfolio of Investments and show a weighted average rate. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and/or spread in their description. |
(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 March 31, 2024, the value of Rule 144A holdings amounted to $30,917,309 or 70.1% 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 March 31, 2024, interest payments were made in principal. |
(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. No payments were received during the period. |
(h) | Level 3 security. Value has been determined using significant unobservable inputs. |
(i) | Perpetual bond with no specified maturity date. |
(j) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(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 which may range from 0.00% to 1.00%, to which the spread is added. |
(l) | Position is unsettled. Contract rate was not determined at March 31, 2024 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(m) | Securities subject to restriction on resale. At March 31, 2024, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |
ECAF I Blocker, Ltd. | 6/18/2015 | $1,000,000 | $ — | 0.0% |
(n) | 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 March 31, 2024, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
(o) | 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. |
(p) | 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 March 31, 2024, at value:
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Non-Convertible Bonds | ||||
Home Construction | $ — | $104,030 | $ — | $104,030 |
Non-Agency Commercial Mortgage-Backed Securities | — | 775,394 | 51,552 | 826,946 |
All Other Non-Convertible Bonds(a) | — | 37,086,698 | — | 37,086,698 |
Total Non-Convertible Bonds | — | 37,966,122 | 51,552 | 38,017,674 |
Convertible Bonds(a) | — | 1,770,027 | — | 1,770,027 |
Total Bonds and Notes | — | 39,736,149 | 51,552 | 39,787,701 |
Senior Loans(a) | — | 2,275,089 | — | 2,275,089 |
Collateralized Loan Obligations | — | 490,565 | — | 490,565 |
Preferred Stocks | 59,054 | — | — | 59,054 |
Common Stocks | 43,141 | — | — | 43,141 |
Warrants | — | — | — | — |
Other Investments(a) | — | — | — | — |
Short-Term Investments | — | 2,591,830 | — | 2,591,830 |
Total Investments | $102,195 | $45,093,633 | $51,552 | $45,247,380 |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2023 and/or March 31, 2024:
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of December 31, 2023 | 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 March 31, 2024 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2024 |
Bonds and Notes | ||||||||||
Non-Convertible Bonds | ||||||||||
Home Construction | $ — | $ — | $ — | $ — | $ — | $ — | $ — | $ — | $ — | $ — |
Non-Agency Commercial Mortgage- Backed Securities | 107,108 | — | — | (55,556 ) | — | — | — | — | 51,552 | (55,556 ) |
Total | $107,108 | $ — | $ — | $(55,556 ) | $ — | $ — | $ — | $ — | $51,552 | $(55,556 ) |
Industry Summary at March 31, 2024 (Unaudited) | |
Cable Satellite | 12.8% |
Technology | 7.2 |
Independent Energy | 5.8 |
Leisure | 5.6 |
Midstream | 5.5 |
Finance Companies | 5.4 |
Property & Casualty Insurance | 4.5 |
Pharmaceuticals | 4.3 |
Healthcare | 3.9 |
Consumer Cyclical Services | 3.1 |
Banking | 2.6 |
Metals & Mining | 2.5 |
Aerospace & Defense | 2.5 |
Building Materials | 2.2 |
Lodging | 2.1 |
Other Investments, less than 2% each | 25.6 |
Collateralized Loan Obligations | 1.1 |
Short-Term Investments | 5.9 |
Total Investments | 102.6 |
Other assets less liabilities | (2.6) |
Net Assets | 100.0% |