Portfolio of Investments – as of June 30, 2024 (Unaudited)Loomis Sayles Global Allocation Fund
Shares | Description | Value (†) |
Common Stocks — 66.6% of Net Assets | ||
Canada — 0.9% | ||
275,500 | CGI, Inc.(a) | $27,498,648 |
France — 1.6% | ||
60,178 | LVMH Moet Hennessy Louis Vuitton SE | 46,204,115 |
Japan — 1.6% | ||
1,719,161 | Nomura Research Institute Ltd. | 48,589,869 |
Netherlands — 2.4% | ||
71,312 | ASML Holding NV | 72,678,755 |
Sweden — 2.6% | ||
4,111,132 | Atlas Copco AB, Class A | 77,191,600 |
Taiwan — 2.3% | ||
2,305,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 68,291,648 |
United Kingdom — 2.2% | ||
954,281 | Halma PLC | 32,527,185 |
275,591 | London Stock Exchange Group PLC | 32,679,115 |
65,206,300 | ||
United States — 53.0% | ||
133,193 | Accenture PLC, Class A | 40,412,088 |
63,090 | Adobe, Inc.(a) | 35,049,019 |
461,448 | Airbnb, Inc., Class A(a) | 69,969,360 |
547,625 | Alphabet, Inc., Class A | 99,749,894 |
532,215 | Amazon.com, Inc.(a) | 102,850,549 |
64,551 | BlackRock, Inc. | 50,822,293 |
74,916 | Costco Wholesale Corp. | 63,677,851 |
148,288 | Cummins, Inc. | 41,065,396 |
208,030 | Danaher Corp. | 51,976,295 |
161,775 | Diamondback Energy, Inc. | 32,385,737 |
81,834 | Goldman Sachs Group, Inc. | 37,015,155 |
171,744 | Home Depot, Inc. | 59,121,155 |
168,637 | IQVIA Holdings, Inc.(a) | 35,656,607 |
244,865 | JPMorgan Chase & Co. | 49,526,395 |
172,795 | Linde PLC | 75,824,174 |
171,273 | Mastercard, Inc., Class A | 75,558,797 |
45,719 | Mettler-Toledo International, Inc.(a) | 63,896,417 |
838,475 | NVIDIA Corp. | 103,585,201 |
61,998 | O'Reilly Automotive, Inc.(a) | 65,473,608 |
109,616 | Parker-Hannifin Corp. | 55,444,869 |
113,595 | Roper Technologies, Inc. | 64,028,958 |
227,032 | S&P Global, Inc. | 101,256,272 |
157,831 | Salesforce, Inc. | 40,578,350 |
133,546 | Schneider Electric SE | 32,017,089 |
149,384 | Texas Instruments, Inc. | 29,059,669 |
79,019 | Trane Technologies PLC | 25,991,720 |
138,227 | UnitedHealth Group, Inc. | 70,393,482 |
69,467 | Veralto Corp. | 6,632,014 |
1,579,018,414 | ||
Total Common Stocks (Identified Cost $1,414,872,780) | 1,984,679,349 |
Principal Amount (‡) | Description | Value (†) |
Bonds and Notes — 30.3% | ||
Non-Convertible Bonds — 28.5% | ||
Australia — 1.4% | ||
$2,990,000 | AngloGold Ashanti Holdings PLC, 3.375%, 11/01/2028 | $2,686,744 |
5,325,000 | Australia Government Bonds, Series 164, 0.500%, 9/21/2026, (AUD) | 3,281,490 |
5,540,000 | Australia Government Bonds, Series 166, 3.000%, 11/21/2033, (AUD) | 3,325,843 |
670,000 | GAIF Bond Issuer Pty. Ltd., 3.400%, 9/30/2026(b) | 641,173 |
16,470,000 | Glencore Funding LLC, 6.500%, 10/06/2033(b) | 17,156,472 |
5,000,000 | Macquarie Group Ltd., (fixed rate to 1/14/2032, variable rate thereafter), 2.871%, 1/14/2033(b) | 4,132,020 |
4,000,000 | Macquarie Group Ltd., (fixed rate to 9/23/2026, variable rate thereafter), 1.629%, 9/23/2027(b) | 3,670,470 |
11,610,000 | New South Wales Treasury Corp., 2.000%, 3/08/2033, (AUD) | 6,164,264 |
95,000 | Sydney Airport Finance Co. Pty. Ltd., 3.375%, 4/30/2025(b) | 93,224 |
41,151,700 | ||
Belgium — 0.1% | ||
2,745,000 | Anheuser-Busch InBev SA, EMTN, 2.000%, 1/23/2035, (EUR) | 2,542,950 |
Brazil — 0.7% | ||
2,600,000 | Brazil Government International Bonds, 6.000%, 10/20/2033 | 2,498,613 |
53,329 (c) | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2031, (BRL) | 8,609,145 |
25,149 (c) | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2035, (BRL) | 3,935,572 |
650,000 | Centrais Eletricas Brasileiras SA, 4.625%, 2/04/2030(b) | 584,263 |
575,000 | Raizen Fuels Finance SA, 5.300%, 1/20/2027(b) | 565,355 |
2,515,000 | Suzano Austria GmbH, 2.500%, 9/15/2028 | 2,207,874 |
550,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 | 479,205 |
1,185,000 | Suzano Austria GmbH, Series DM3N, 3.125%, 1/15/2032 | 969,987 |
19,850,014 | ||
Canada — 2.0% | ||
1,235,000 | 1011778 BC ULC/New Red Finance, Inc., 4.000%, 10/15/2030(b) | 1,087,171 |
304,043 | Air Canada Pass-Through Trust, Series 2015-2, Class A, 4.125%, 6/15/2029(b) | 283,982 |
642,968 | Air Canada Pass-Through Trust, Series 2017-1, Class AA, 3.300%, 7/15/2031(b) | 587,686 |
505,000 | Antares Holdings LP, 3.750%, 7/15/2027(b) | 462,145 |
1,210,000 | Antares Holdings LP, 3.950%, 7/15/2026(b) | 1,143,801 |
305,000 | Antares Holdings LP, 7.950%, 8/11/2028(b) | 316,010 |
2,835,000 | Bell Telephone Co. of Canada or Bell Canada, MTN, 3.600%, 9/29/2027, (CAD) | 2,010,953 |
1,735,000 | Brookfield Finance I U.K. PLC/Brookfield Finance, Inc., 2.340%, 1/30/2032 | 1,391,730 |
1,015,000 | Brookfield Finance, Inc., 3.900%, 1/25/2028 | 968,657 |
2,715,000 | Brookfield Renewable Partners ULC, MTN, 4.250%, 1/15/2029, (CAD) | 1,952,863 |
Principal Amount (‡) | Description | Value (†) |
Canada — continued | ||
16,650,000 | Canada Government Bonds, 0.500%, 9/01/2025, (CAD) | $11,663,824 |
20,700,000 | Canada Government Bonds, 4.500%, 2/01/2026, (CAD) | 15,217,575 |
4,695,000 | Enbridge Gas, Inc., MTN, 2.900%, 4/01/2030, (CAD) | 3,167,259 |
4,770,000 | Enbridge, Inc., MTN, 2.990%, 10/03/2029, (CAD) | 3,221,201 |
2,965,000 | Federation des Caisses Desjardins du Quebec, (fixed rate to 5/26/2025, variable rate thereafter), 2.856%, 5/26/2030, (CAD) | 2,124,774 |
4,670,000 | Ontario Power Generation, Inc., MTN, 2.977%, 9/13/2029, (CAD) | 3,192,142 |
2,350,000 | Province of Quebec, 4.500%, 9/08/2033 | 2,304,022 |
2,960,000 | Rogers Communications, Inc., 3.300%, 12/10/2029, (CAD) | 2,013,700 |
1,675,000 | Toronto-Dominion Bank, MTN, 1.150%, 6/12/2025 | 1,608,870 |
2,735,000 | Toronto-Dominion Bank, Series FXD, 1.950%, 1/12/2027 | 2,538,274 |
1,580,000 | Videotron Ltd., 5.125%, 4/15/2027(b) | 1,555,643 |
58,812,282 | ||
Chile — 0.6% | ||
575,000 | Antofagasta PLC, 2.375%, 10/14/2030 | 480,867 |
975,000 | Antofagasta PLC, 5.625%, 5/13/2032 | 975,860 |
510,000 | Antofagasta PLC, 6.250%, 5/02/2034(b) | 528,207 |
2,525,000 | Banco Santander Chile, 3.177%, 10/26/2031(b) | 2,187,155 |
950,000 | Celulosa Arauco y Constitucion SA, 4.500%, 8/01/2024 | 947,266 |
1,005,000 | Chile Government International Bonds, 2.550%, 1/27/2032 | 842,841 |
2,580,000 | Colbun SA, 3.150%, 3/06/2030 | 2,272,173 |
1,960,000 | Corp. Nacional del Cobre de Chile, 3.000%, 9/30/2029(b) | 1,734,107 |
275,000 | Corp. Nacional del Cobre de Chile, 6.300%, 9/08/2053(b) | 272,519 |
595,000 | Empresa Nacional de Telecomunicaciones SA, 3.050%, 9/14/2032(b) | 480,134 |
1,980,000 | Empresa Nacional del Petroleo, 3.450%, 9/16/2031(b) | 1,677,614 |
525,000 | Enel Chile SA, 4.875%, 6/12/2028 | 507,516 |
2,690,000 | Engie Energia Chile SA, 3.400%, 1/28/2030 | 2,341,432 |
1,075,000 | Engie Energia Chile SA, 6.375%, 4/17/2034(b) | 1,087,244 |
870,000 | Sociedad Quimica y Minera de Chile SA, 6.500%, 11/07/2033(b) | 905,183 |
1,120,000 | Transelec SA, 4.250%, 1/14/2025(b) | 1,109,065 |
18,349,183 | ||
China — 0.0% | ||
625,000 | Tencent Holdings Ltd., 2.880%, 4/22/2031(b) | 543,237 |
Colombia — 0.5% | ||
1,395,000 | Colombia Government International Bonds, 3.125%, 4/15/2031 | 1,097,933 |
575,000 | Colombia Government International Bonds, 3.875%, 4/25/2027 | 540,573 |
1,280,000 | Colombia Government International Bonds, 7.500%, 2/02/2034 | 1,280,434 |
7,073,300,000 | Colombia TES, Series B, 6.250%, 11/26/2025, (COP) | 1,654,417 |
29,559,900,000 | Colombia TES, Series B, 7.500%, 8/26/2026, (COP) | 6,855,703 |
Principal Amount (‡) | Description | Value (†) |
Colombia — continued | ||
$2,536,000 | Ecopetrol SA, 5.875%, 5/28/2045 | $1,818,011 |
1,300,000 | Empresas Publicas de Medellin ESP, 4.250%, 7/18/2029(b) | 1,116,375 |
14,363,446 | ||
Czech Republic — 0.1% | ||
1,525,000 | CEZ AS, EMTN, 0.875%, 12/02/2026, (EUR) | 1,524,118 |
1,120,000 | CEZ AS, EMTN, 3.000%, 6/05/2028, (EUR) | 1,166,704 |
2,690,822 | ||
Denmark — 0.2% | ||
2,135,000 | Danske Bank AS, EMTN, (fixed rate to 6/21/2029, variable rate thereafter), 4.750%, 6/21/2030, (EUR) | 2,379,553 |
2,055,000 | Orsted AS, EMTN, 2.125%, 5/17/2027, (GBP) | 2,380,217 |
4,759,770 | ||
Dominican Republic — 0.2% | ||
2,160,000 | Dominican Republic International Bonds, 4.500%, 1/30/2030(b) | 1,960,244 |
1,155,000 | Dominican Republic International Bonds, 4.875%, 9/23/2032(b) | 1,033,298 |
590,000 | Dominican Republic International Bonds, 5.950%, 1/25/2027(b) | 587,097 |
995,000 | Dominican Republic International Bonds, 6.000%, 7/19/2028(b) | 987,717 |
425,000 | Dominican Republic International Bonds, 8.625%, 4/20/2027(b) | 438,674 |
5,007,030 | ||
France — 0.2% | ||
205,000 | BNP Paribas SA, 4.375%, 5/12/2026(b) | 199,454 |
1,190,000 | BNP Paribas SA, (fixed rate to 1/09/2029, variable rate thereafter), 5.176%, 1/09/2030(b) | 1,177,536 |
890,000 | BNP Paribas SA, (fixed rate to 6/09/2025, variable rate thereafter), 2.219%, 6/09/2026(b) | 860,342 |
1,410,000 | Electricite de France SA, 4.875%, 9/21/2038(b) | 1,262,882 |
1,400,000 | Engie SA, 1.250%, 10/24/2041, (EUR) | 960,042 |
1,015,000 | Societe Generale SA, 4.750%, 11/24/2025(b) | 994,771 |
1,485,000 | Societe Generale SA, (fixed rate to 1/19/2034, variable rate thereafter), 6.066%, 1/19/2035(b) | 1,470,138 |
6,925,165 | ||
Germany — 0.3% | ||
1,635,000 | Deutsche Bank AG, (fixed rate to 1/07/2027, variable rate thereafter), 2.552%, 1/07/2028 | 1,511,956 |
870,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 715,599 |
2,255,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 1,901,248 |
3,220,000 | Fraport AG Frankfurt Airport Services Worldwide, 1.875%, 3/31/2028, (EUR) | 3,234,049 |
1,450,000 | Siemens Financieringsmaatschappij NV, 2.350%, 10/15/2026(b) | 1,365,495 |
340,000 | ZF North America Capital, Inc., 6.750%, 4/23/2030(b) | 346,270 |
250,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028(b) | 254,968 |
Principal Amount (‡) | Description | Value (†) |
Germany — continued | ||
$690,000 | ZF North America Capital, Inc., 6.875%, 4/23/2032(b) | $713,360 |
265,000 | ZF North America Capital, Inc., 7.125%, 4/14/2030(b) | 274,172 |
10,317,117 | ||
Guatemala — 0.0% | ||
1,050,000 | CT Trust, 5.125%, 2/03/2032(b) | 924,000 |
India — 0.3% | ||
2,940,000 | Bharti Airtel Ltd., 3.250%, 6/03/2031 | 2,583,112 |
2,790,000 | Export-Import Bank of India, 2.250%, 1/13/2031(b) | 2,314,012 |
1,250,000 | Power Finance Corp. Ltd., 3.950%, 4/23/2030(b) | 1,147,600 |
2,400,000 | Shriram Finance Ltd., 4.150%, 7/18/2025(b) | 2,338,608 |
8,383,332 | ||
Indonesia — 0.2% | ||
50,092,000,000 | Indonesia Treasury Bonds, Series FR75, 7.500%, 5/15/2038, (IDR) | 3,149,373 |
43,840,000,000 | Indonesia Treasury Bonds, Series FR82, 7.000%, 9/15/2030, (IDR) | 2,674,387 |
5,823,760 | ||
Ireland — 0.3% | ||
3,245,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 2,788,157 |
2,325,000 | AIB Group PLC, (fixed rate to 9/13/2028, variable rate thereafter), 6.608%, 9/13/2029(b) | 2,399,916 |
3,710,000 | Ireland Government Bonds, Zero Coupon, 0.029%, 10/18/2031, (EUR)(d) | 3,242,661 |
8,430,734 | ||
Israel — 1.1% | ||
1,405,000 | Israel Electric Corp. Ltd., GMTN, 3.750%, 2/22/2032 | 1,154,383 |
2,750,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 2,698,989 |
4,570,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 4,289,116 |
17,791,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 12,426,204 |
2,700,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 2,601,876 |
510,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 490,604 |
4,415,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 4,742,002 |
3,170,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 3,524,591 |
31,927,765 | ||
Italy — 0.6% | ||
200,000 | Intesa Sanpaolo SpA, 5.710%, 1/15/2026(b) | 198,099 |
2,225,000 | Intesa Sanpaolo SpA, 6.625%, 6/20/2033(b) | 2,293,617 |
3,305,000 | Italy Buoni Poliennali Del Tesoro, Series 10Y, 2.000%, 2/01/2028, (EUR) | 3,373,850 |
6,965,000 | Italy Buoni Poliennali Del Tesoro, Series 11Y, 1.350%, 4/01/2030, (EUR) | 6,593,966 |
2,370,000 | Italy Buoni Poliennali Del Tesoro, Series 7Y, 2.500%, 11/15/2025, (EUR) | 2,507,187 |
Principal Amount (‡) | Description | Value (†) |
Italy — continued | ||
$830,000 | UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), 7.296%, 4/02/2034(b) | $846,915 |
1,460,000 | UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032(b) | 1,426,829 |
200,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(b) | 187,355 |
545,000 | UniCredit SpA, EMTN, (fixed rate to 7/22/2026, variable rate thereafter), 2.200%, 7/22/2027, (EUR) | 564,493 |
17,992,311 | ||
Japan — 0.7% | ||
1,064,338,800 (e) | Japan Government CPI-Linked Bonds, Series 23, 0.100%, 3/10/2028, (JPY) | 6,924,244 |
693,300,000 | Japan Government Ten Year Bonds, Series 371, 0.400%, 6/20/2033, (JPY) | 4,104,169 |
2,375,000 | Mitsubishi UFJ Financial Group, Inc., (fixed rate to 1/19/2027, variable rate thereafter), 2.341%, 1/19/2028 | 2,206,798 |
2,020,000 | Mizuho Financial Group, Inc., 2.564%, 9/13/2031 | 1,643,605 |
2,000,000 | Nomura Holdings, Inc., 1.851%, 7/16/2025 | 1,921,447 |
2,385,000 | Nomura Holdings, Inc., 2.710%, 1/22/2029 | 2,122,578 |
1,200,000 | Sumitomo Mitsui Financial Group, Inc., 5.766%, 1/13/2033 | 1,232,220 |
20,155,061 | ||
Korea — 0.8% | ||
1,060,000 | Kia Corp., 2.750%, 2/14/2027(b) | 991,757 |
1,515,000 | Korea East-West Power Co. Ltd., 1.750%, 5/06/2025(b) | 1,468,501 |
2,400,000 | Korea National Oil Corp., 2.125%, 4/18/2027(b) | 2,209,968 |
4,500,000,000 | Korea Treasury Bonds, Series 2509, 1.125%, 9/10/2025, (KRW) | 3,189,158 |
4,450,000,000 | Korea Treasury Bonds, Series 2809, 3.500%, 9/10/2028, (KRW) | 3,266,750 |
13,130,550,000 | Korea Treasury Bonds, Series 3012, 1.500%, 12/10/2030, (KRW) | 8,530,586 |
770,000 | Shinhan Bank Co. Ltd., 3.875%, 3/24/2026(b) | 747,216 |
2,765,000 | SK Hynix, Inc., 2.375%, 1/19/2031(b) | 2,277,170 |
200,000 | SK Hynix, Inc., 6.375%, 1/17/2028(b) | 205,777 |
140,000 | SK Telecom Co. Ltd., 6.625%, 7/20/2027(b) | 145,256 |
23,032,139 | ||
Luxembourg — 0.2% | ||
920,000 | ArcelorMittal SA, 6.750%, 3/01/2041 | 938,399 |
1,905,000 | Blackstone Property Partners Europe Holdings SARL, EMTN, 1.625%, 4/20/2030, (EUR) | 1,739,263 |
280,000 | Logicor Financing SARL, EMTN, 0.875%, 1/14/2031, (EUR) | 236,751 |
1,490,000 | Logicor Financing SARL, EMTN, 1.625%, 1/17/2030, (EUR) | 1,370,848 |
955,000 | Logicor Financing SARL, EMTN, 2.000%, 1/17/2034, (EUR) | 807,907 |
5,093,168 | ||
Mexico — 1.5% | ||
620,000 | Alfa SAB de CV, 6.875%, 3/25/2044 | 635,892 |
770,000 | America Movil SAB de CV, 2.125%, 3/10/2028, (EUR) | 784,678 |
Principal Amount (‡) | Description | Value (†) |
Mexico — continued | ||
$860,000 | America Movil SAB de CV, 2.875%, 5/07/2030 | $757,828 |
730,000 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.375%, 4/17/2025(b) | 726,839 |
1,950,000 | Cemex SAB de CV, 3.875%, 7/11/2031(b) | 1,719,238 |
1,990,000 | Cemex SAB de CV, 5.200%, 9/17/2030(b) | 1,922,014 |
855,000 | Cemex SAB de CV, 5.450%, 11/19/2029 | 840,080 |
810,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%(b)(f) | 778,406 |
1,775,000 | Coca-Cola Femsa SAB de CV, 2.750%, 1/22/2030 | 1,576,485 |
10,000,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) | 329,112 |
1,515,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031 | 1,284,776 |
840,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031(b) | 712,351 |
1,707,184 (g) | Mexico Bonos, Series M, 5.750%, 3/05/2026, (MXN) | 8,623,915 |
724,558 (g) | Mexico Bonos, Series M 20, 7.500%, 6/03/2027, (MXN) | 3,682,711 |
1,064,466 (g) | Mexico Bonos, Series M 20, 8.500%, 5/31/2029, (MXN) | 5,485,535 |
637,836 (g) | Mexico Bonos, Series M 30, 8.500%, 11/18/2038, (MXN) | 3,088,842 |
2,665,000 | Mexico Government International Bonds, 3.250%, 4/16/2030 | 2,343,628 |
1,880,000 | Mexico Government International Bonds, 3.500%, 2/12/2034 | 1,527,373 |
196,000 | Mexico Government International Bonds, 4.000%, 3/15/2115, (EUR) | 154,348 |
810,000 | Mexico Government International Bonds, 4.875%, 5/19/2033 | 746,234 |
750,000 | Mexico Government International Bonds, 6.000%, 5/07/2036 | 730,187 |
350,000 | Mexico Government International Bonds, 6.338%, 5/04/2053 | 329,998 |
1,850,000 | Orbia Advance Corp. SAB de CV, 1.875%, 5/11/2026(b) | 1,722,739 |
1,240,000 | Orbia Advance Corp. SAB de CV, 4.000%, 10/04/2027 | 1,173,719 |
2,090,000 | Sigma Finance Netherlands BV, 4.875%, 3/27/2028 | 2,048,055 |
43,724,983 | ||
Morocco — 0.1% | ||
3,310,000 | OCP SA, 6.750%, 5/02/2034(b) | 3,392,551 |
Netherlands — 0.1% | ||
870,000 | Cooperatieve Rabobank UA, 4.375%, 8/04/2025 | 856,532 |
1,725,000 | ING Groep NV, (fixed rate to 7/01/2025, variable rate thereafter), 1.400%, 7/01/2026(b) | 1,652,179 |
1,800,000 | Netherlands Government Bonds, Zero Coupon, 2.523%, 1/15/2029, (EUR)(d) | 1,707,420 |
4,216,131 | ||
New Zealand — 0.5% | ||
4,200,000 | Fonterra Co.-operative Group Ltd., MTN, 3.750%, 6/16/2026, (AUD) | 2,735,020 |
700,000 | Fonterra Co.-operative Group Ltd., MTN, 4.000%, 11/02/2027, (AUD) | 450,580 |
Principal Amount (‡) | Description | Value (†) |
New Zealand — continued | ||
15,075,000 | New Zealand Government Bonds, Series 429, 3.000%, 4/20/2029, (NZD) | $8,580,196 |
6,310,000 | New Zealand Government Bonds, Series 531, 1.500%, 5/15/2031, (NZD) | 3,153,680 |
14,919,476 | ||
Norway — 0.6% | ||
3,660,000 | DNB Bank ASA, (fixed rate to 5/25/2026, variable rate thereafter), 1.535%, 5/25/2027(b) | 3,392,997 |
2,790,000 | Equinor ASA, 3.625%, 4/06/2040 | 2,259,164 |
16,500,000 | Norway Government Bonds, Series 478, 1.500%, 2/19/2026, (NOK) | 1,484,953 |
41,750,000 | Norway Government Bonds, Series 479, 1.750%, 2/17/2027, (NOK) | 3,718,311 |
36,610,000 | Norway Government Bonds, Series 480, 2.000%, 4/26/2028, (NOK) | 3,231,576 |
46,500,000 | Norway Government Bonds, Series 482, 1.375%, 8/19/2030, (NOK) | 3,818,209 |
455,000 | Var Energi ASA, 8.000%, 11/15/2032(b) | 509,352 |
18,414,562 | ||
Paraguay — 0.1% | ||
1,420,000 | Paraguay Government International Bonds, 4.950%, 4/28/2031(b) | 1,357,542 |
615,000 | Paraguay Government International Bonds, 5.000%, 4/15/2026(b) | 605,603 |
1,963,145 | ||
Peru — 0.1% | ||
3,220,000 | Corp. Financiera de Desarrollo SA, 2.400%, 9/28/2027(b) | 2,887,374 |
840,000 | Transportadora de Gas del Peru SA, 4.250%, 4/30/2028(b) | 810,428 |
3,697,802 | ||
Poland — 0.3% | ||
26,400,000 | Republic of Poland Government Bonds, Series 1030, 1.250%, 10/25/2030, (PLN) | 5,095,387 |
12,970,000 | Republic of Poland Government Bonds, Series 725, 3.250%, 7/25/2025, (PLN) | 3,165,684 |
8,261,071 | ||
Portugal — 0.1% | ||
3,590,000 | EDP Finance BV, 1.710%, 1/24/2028(b) | 3,174,422 |
Qatar — 0.1% | ||
1,770,000 | Ooredoo International Finance Ltd., 2.625%, 4/08/2031(b) | 1,523,749 |
1,600,000 | QatarEnergy, 2.250%, 7/12/2031(b) | 1,336,168 |
2,859,917 | ||
Romania — 0.0% | ||
1,100,000 | Romania Government International Bonds, 2.000%, 4/14/2033, (EUR)(b) | 883,534 |
Singapore — 0.2% | ||
10,055,000 | Singapore Government Bonds, 2.125%, 6/01/2026, (SGD) | 7,236,486 |
South Africa — 0.5% | ||
1,400,000 | Anglo American Capital PLC, 2.625%, 9/10/2030(b) | 1,194,484 |
1,400,000 | Anglo American Capital PLC, 5.625%, 4/01/2030(b) | 1,409,056 |
116,835,000 | Republic of South Africa Government Bonds, Series 2035, 8.875%, 2/28/2035, (ZAR) | 5,408,365 |
Principal Amount (‡) | Description | Value (†) |
South Africa — continued | ||
39,185,000 | Republic of South Africa Government Bonds, Series R213, 7.000%, 2/28/2031, (ZAR) | $1,804,852 |
7,585,000 | Republic of South Africa Government International Bonds, 5.750%, 9/30/2049 | 5,717,308 |
15,534,065 | ||
Spain — 0.4% | ||
800,000 | Banco Santander SA, 6.938%, 11/07/2033 | 873,806 |
2,000,000 | Banco Santander SA, (fixed rate to 9/14/2026, variable rate thereafter), 1.722%, 9/14/2027 | 1,834,044 |
1,260,000 | CaixaBank SA, (fixed rate to 1/18/2028, variable rate thereafter), 6.208%, 1/18/2029(b) | 1,279,837 |
1,000,000 | CaixaBank SA, EMTN, (fixed rate to 11/23/2027, variable rate thereafter), 6.250%, 2/23/2033, (EUR) | 1,126,593 |
3,700,000 | Cellnex Telecom SA, EMTN, 1.750%, 10/23/2030, (EUR) | 3,474,479 |
700,000 | Naturgy Finance Iberia SA, EMTN, 1.500%, 1/29/2028, (EUR) | 700,272 |
2,525,000 | Spain Government Bonds, 1.950%, 7/30/2030, (EUR) | 2,538,818 |
11,827,849 | ||
Supranationals — 0.3% | ||
10,030,000 | International Bank for Reconstruction & Development, 1.200%, 7/22/2026, (CAD) | 6,916,561 |
16,750,000 | Nordic Investment Bank, EMTN, 1.500%, 3/13/2025, (NOK) | 1,533,997 |
8,450,558 | ||
Sweden — 0.1% | ||
1,200,000 | Swedbank AB, 6.136%, 9/12/2026(b) | 1,214,837 |
2,560,000 | Sweden Government Bonds, Series 1058, 2.500%, 5/12/2025, (SEK) | 240,194 |
38,000,000 | Sweden Government Bonds, Series 1062, 0.125%, 5/12/2031, (SEK) | 3,126,370 |
4,581,401 | ||
Switzerland — 0.2% | ||
1,375,000 | Novartis Capital Corp., 2.000%, 2/14/2027 | 1,280,505 |
325,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(b) | 391,709 |
2,960,000 | UBS Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032(b) | 2,524,896 |
750,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033(b) | 787,372 |
340,000 | Willow No. 2 Ireland PLC for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/01/2025, variable rate thereafter), 4.250%, 10/01/2045 | 329,032 |
5,313,514 | ||
Taiwan — 0.0% | ||
1,925,000 | TSMC Arizona Corp., 2.500%, 10/25/2031 | 1,629,556 |
Trinidad And Tobago — 0.0% | ||
415,000 | Trinidad Generation UnLtd, 5.250%, 11/04/2027(b) | 404,348 |
Turkey — 0.2% | ||
1,120,000 | TC Ziraat Bankasi AS, 5.375%, 3/02/2026(b) | 1,089,760 |
Principal Amount (‡) | Description | Value (†) |
Turkey — continued | ||
$1,415,000 | Turkcell Iletisim Hizmetleri AS, 5.800%, 4/11/2028 | $1,356,979 |
3,480,000 | Turkiye Government International Bonds, 5.250%, 3/13/2030 | 3,177,101 |
680,000 | Turkiye Government International Bonds, 7.625%, 4/26/2029 | 693,635 |
6,317,475 | ||
United Arab Emirates — 0.0% | ||
1,295,000 | Abu Dhabi Government International Bonds, 3.125%, 4/16/2030(b) | 1,184,920 |
United Kingdom — 0.7% | ||
200,000 | BAE Systems PLC, 5.250%, 3/26/2031(b) | 199,434 |
1,695,000 | BAE Systems PLC, 5.300%, 3/26/2034(b) | 1,677,203 |
6,370,000 | Barclays PLC, (fixed rate to 5/09/2033, variable rate thereafter), 6.224%, 5/09/2034 | 6,526,895 |
1,350,000 | CK Hutchison International 19 Ltd., 3.625%, 4/11/2029(b) | 1,264,788 |
1,420,000 | Diageo Capital PLC, 2.125%, 4/29/2032 | 1,151,471 |
65,000 | Macquarie Airfinance Holdings Ltd., 6.400%, 3/26/2029(b) | 66,100 |
135,000 | Macquarie Airfinance Holdings Ltd., 6.500%, 3/26/2031(b) | 138,822 |
1,395,000 | Nationwide Building Society, (fixed rate to 7/18/2029, variable rate thereafter), 3.960%, 7/18/2030(b) | 1,290,408 |
955,000 | Santander U.K. Group Holdings PLC, (fixed rate to 1/11/2027, variable rate thereafter), 2.469%, 1/11/2028 | 881,052 |
1,455,000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036(b) | 1,224,874 |
2,200,000 | Standard Chartered PLC, (fixed rate to 3/30/2025, variable rate thereafter), 3.971%, 3/30/2026(b) | 2,168,637 |
250,000 | Standard Chartered PLC, EMTN, 3.125%, 11/19/2024, (EUR) | 266,606 |
235,000 | U.K. Gilts, 0.250%, 1/31/2025, (GBP) | 290,078 |
2,065,000 | U.K. Gilts, 3.250%, 1/31/2033, (GBP) | 2,446,314 |
19,592,682 | ||
United States — 11.8% | ||
165,000 | AES Corp., 3.950%, 7/15/2030(b) | 150,865 |
315,000 | Aircastle Ltd., Series A, (fixed rate to 6/15/2026, variable rate thereafter), 5.250%(b)(f) | 303,704 |
1,915,000 | Albemarle Corp., 5.050%, 6/01/2032 | 1,838,499 |
744,638 | American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 716,267 |
210,761 | American Airlines Pass-Through Trust, Series 2017-1, Class B, 4.950%, 8/15/2026 | 208,528 |
247,819 | American Airlines Pass-Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 241,174 |
3,975,000 | Apple, Inc., Series MPLE, 2.513%, 8/19/2024, (CAD) | 2,896,385 |
260,000 | Aptiv PLC, 1.600%, 9/15/2028, (EUR) | 257,124 |
2,330,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 1,921,510 |
290,000 | Asbury Automotive Group, Inc., 4.625%, 11/15/2029(b) | 268,038 |
425,000 | Ashland, Inc., 3.375%, 9/01/2031(b) | 357,628 |
800,000 | Bank of America Corp., (fixed rate to 3/08/2032, variable rate thereafter), 3.846%, 3/08/2037 | 701,094 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$1,370,000 | Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036 | $1,091,983 |
2,865,000 | Bank of America Corp., Series MPLE, (fixed rate to 9/15/2026, variable rate thereafter), 1.978%, 9/15/2027, (CAD) | 1,976,170 |
10,000 | Bausch & Lomb Corp., 8.375%, 10/01/2028(b) | 10,238 |
11,400,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(b) | 8,531,304 |
500,000 | Block, Inc., 3.500%, 6/01/2031 | 431,328 |
4,840,000 | Blue Owl Capital Corp., 4.250%, 1/15/2026 | 4,694,532 |
1,220,000 | Blue Owl Finance LLC, 6.250%, 4/18/2034(b) | 1,223,221 |
1,550,000 | Blue Owl Technology Finance Corp., 2.500%, 1/15/2027 | 1,393,912 |
2,585,000 | Blue Owl Technology Finance Corp., 4.750%, 12/15/2025(b) | 2,502,927 |
1,261,000 | Boeing Co., 3.625%, 2/01/2031 | 1,103,659 |
1,000,000 | Boeing Co., 5.150%, 5/01/2030 | 960,286 |
899,000 | Boeing Co., 5.705%, 5/01/2040 | 828,846 |
4,830,000 | Boeing Co., 5.805%, 5/01/2050 | 4,352,796 |
60,000 | Boeing Co., 5.930%, 5/01/2060 | 53,643 |
1,855,000 | Boeing Co., 6.528%, 5/01/2034(b) | 1,899,334 |
8,415,000 | Boeing Co., 6.858%, 5/01/2054(b) | 8,635,236 |
1,105,000 | Boeing Co., 7.008%, 5/01/2064(b) | 1,131,376 |
1,400,000 | Boost Newco Borrower LLC, 7.500%, 1/15/2031(b) | 1,459,713 |
875,000 | BPR Trust, Series 2021-NRD, Class F, 1 mo. USD SOFR + 6.870%, 12.199%, 12/15/2038(b)(h) | 831,191 |
3,120,000 | Broadcom, Inc., 2.450%, 2/15/2031(b) | 2,627,385 |
5,205,000 | Broadcom, Inc., 2.600%, 2/15/2033(b) | 4,218,162 |
690,000 | Broadcom, Inc., 3.187%, 11/15/2036(b) | 546,042 |
5,095,000 | Broadcom, Inc., 3.419%, 4/15/2033(b) | 4,392,647 |
4,670,000 | Broadcom, Inc., 3.469%, 4/15/2034(b) | 3,981,147 |
2,485,000 | Broadcom, Inc., 4.150%, 4/15/2032(b) | 2,292,739 |
695,000 | Carnival Corp., 5.750%, 3/01/2027(b) | 686,606 |
150,000 | Carnival Corp., 7.000%, 8/15/2029(b) | 155,488 |
10,570,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031(b) | 8,627,445 |
6,265,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(b) | 4,755,496 |
1,575,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032(b) | 1,289,879 |
370,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 380,542 |
270,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 | 277,447 |
195,000 | Celanese U.S. Holdings LLC, 6.700%, 11/15/2033 | 204,916 |
2,385,000 | Centene Corp., 2.500%, 3/01/2031 | 1,957,324 |
1,480,000 | Centene Corp., 3.000%, 10/15/2030 | 1,265,502 |
1,075,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 | 636,876 |
895,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 788,981 |
4,945,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 12/01/2061 | 3,225,497 |
265,000 | Civitas Resources, Inc., 8.625%, 11/01/2030(b) | 284,138 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$2,570,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(b) | $1,061,127 |
1,440,000 | CommScope, Inc., 4.750%, 9/01/2029(b) | 998,208 |
2,663,000 | Continental Resources, Inc., 2.875%, 4/01/2032(b) | 2,150,444 |
4,662,000 | Continental Resources, Inc., 5.750%, 1/15/2031(b) | 4,584,026 |
13,550,000 | CSC Holdings LLC, 3.375%, 2/15/2031(b) | 8,456,417 |
2,400,000 | CSC Holdings LLC, 4.125%, 12/01/2030(b) | 1,551,228 |
2,395,000 | CSC Holdings LLC, 4.500%, 11/15/2031(b) | 1,545,304 |
20,310,000 | CSC Holdings LLC, 4.625%, 12/01/2030(b) | 7,396,945 |
1,850,000 | CSC Holdings LLC, 5.000%, 11/15/2031(b) | 670,643 |
595,000 | CSC Holdings LLC, 5.375%, 2/01/2028(b) | 452,063 |
495,000 | CSC Holdings LLC, 5.750%, 1/15/2030(b) | 186,837 |
1,115,000 | CSC Holdings LLC, 6.500%, 2/01/2029(b) | 813,819 |
940,000 | DH Europe Finance II SARL, 0.750%, 9/18/2031, (EUR) | 834,230 |
50,000 | Dillard's, Inc., 7.000%, 12/01/2028 | 51,665 |
8,000 | Dillard's, Inc., 7.750%, 7/15/2026 | 8,274 |
355,000 | Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.875%, 8/15/2027(b) | 333,908 |
3,550,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 1,405,837 |
4,115,000 | DISH DBS Corp., 5.250%, 12/01/2026(b) | 3,245,880 |
795,000 | DISH DBS Corp., 5.750%, 12/01/2028(b) | 551,184 |
1,960,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 1,216,701 |
80,000 | EnLink Midstream LLC, 6.500%, 9/01/2030(b) | 81,816 |
575,000 | EnLink Midstream Partners LP, 5.450%, 6/01/2047 | 498,844 |
280,000 | EPR Properties, 3.600%, 11/15/2031 | 233,430 |
1,230,000 | EQT Corp., 3.625%, 5/15/2031(b) | 1,085,096 |
115,000 | Everi Holdings, Inc., 5.000%, 7/15/2029(b) | 113,133 |
2,570,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 2,221,870 |
2,710,000 | Freeport-McMoRan, Inc., 4.375%, 8/01/2028 | 2,617,559 |
4,795,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 4,716,230 |
390,000 | Gartner, Inc., 3.625%, 6/15/2029(b) | 357,151 |
85,000 | Gartner, Inc., 3.750%, 10/01/2030(b) | 76,231 |
570,000 | General Motors Financial Co., Inc., 3.100%, 1/12/2032 | 479,064 |
760,000 | General Motors Financial Co., Inc., 6.400%, 1/09/2033 | 788,768 |
460,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 386,557 |
960,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030(b) | 881,193 |
475,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.875%, 7/01/2031(b) | 420,499 |
470,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.000%, 6/01/2029(b) | 438,251 |
1,235,000 | Hologic, Inc., 3.250%, 2/15/2029(b) | 1,107,930 |
320,000 | Hyundai Capital America, 5.400%, 6/24/2031(b) | 317,320 |
1,395,000 | Hyundai Capital America, 6.375%, 4/08/2030(b) | 1,456,309 |
7,770,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 6,643,672 |
3,555,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 3,336,805 |
1,840,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027(b) | 976,950 |
1,055,000 | Ingersoll Rand, Inc., 5.700%, 8/14/2033 | 1,078,534 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$1,310,000 | Iron Mountain, Inc., 4.875%, 9/15/2029(b) | $1,234,463 |
795,000 | JBS USA Holding Lux SARL/JBS USA Food Co./JBS Lux Co. SARL, 3.750%, 12/01/2031 | 696,055 |
1,620,000 | Jefferies Financial Group, Inc., 6.200%, 4/14/2034 | 1,640,767 |
730,000 | JELD-WEN, Inc., 4.875%, 12/15/2027(b) | 689,442 |
225,000 | Lamb Weston Holdings, Inc., 4.875%, 5/15/2028, 144A(b) | 217,904 |
1,440,000 | Light & Wonder International, Inc., 7.000%, 5/15/2028(b) | 1,447,441 |
525,000 | Light & Wonder International, Inc., 7.250%, 11/15/2029(b) | 536,185 |
210,000 | Light & Wonder International, Inc., 7.500%, 9/01/2031(b) | 216,976 |
1,300,000 | Lithia Motors, Inc., 3.875%, 6/01/2029(b) | 1,168,986 |
120,000 | Lithia Motors, Inc., 4.375%, 1/15/2031(b) | 106,829 |
995,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(b) | 914,261 |
155,000 | Matador Resources Co., 6.875%, 4/15/2028(b) | 157,331 |
580,000 | Medline Borrower LP/Medline Co-Issuer, Inc., 6.250%, 4/01/2029(b) | 586,564 |
615,000 | Medtronic Global Holdings SCA, 1.125%, 3/07/2027, (EUR) | 620,598 |
6,240,000 | Micron Technology, Inc., 5.875%, 2/09/2033 | 6,374,506 |
655,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032(b) | 567,555 |
435,000 | Molina Healthcare, Inc., 4.375%, 6/15/2028(b) | 409,438 |
1,415,000 | Morgan Stanley, (fixed rate to 9/16/2031, variable rate thereafter), 2.484%, 9/16/2036 | 1,119,436 |
345,000 | MSCI, Inc., 3.250%, 8/15/2033(b) | 285,016 |
420,000 | Nationstar Mortgage Holdings, Inc., 5.000%, 2/01/2026(b) | 411,081 |
520,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030(b) | 476,835 |
1,095,000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028(b) | 1,052,210 |
4,600,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(b) | 4,547,666 |
615,000 | NCL Corp. Ltd., 5.875%, 2/15/2027(b) | 607,085 |
715,000 | NCL Corp. Ltd., 8.125%, 1/15/2029(b) | 749,143 |
1,960,000 | NCL Finance Ltd., 6.125%, 3/15/2028(b) | 1,935,567 |
2,020,000 | Netflix, Inc., 4.875%, 6/15/2030(b) | 1,988,237 |
20,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037(b) | 23,080 |
70,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 65,586 |
85,000 | OneMain Finance Corp., 3.875%, 9/15/2028 | 76,213 |
215,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 184,522 |
290,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 271,978 |
1,705,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 1,732,541 |
400,000 | Ovintiv, Inc., 6.250%, 7/15/2033 | 412,312 |
1,000,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 1,045,928 |
45,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 46,271 |
230,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 239,437 |
30,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 32,336 |
115,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 125,284 |
130,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 146,851 |
1,265,000 | Pilgrim's Pride Corp., 3.500%, 3/01/2032 | 1,075,807 |
315,000 | Pilgrim's Pride Corp., 4.250%, 4/15/2031 | 286,692 |
480,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.550%, 12/15/2029 | 438,292 |
690,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 630,282 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$745,000 | Post Holdings, Inc., 4.500%, 9/15/2031(b) | $667,778 |
2,165,000 | Prologis Euro Finance LLC, 0.250%, 9/10/2027, (EUR) | 2,082,666 |
1,450,000 | Prologis Euro Finance LLC, 1.875%, 1/05/2029, (EUR) | 1,434,886 |
365,000 | Prologis LP, 2.250%, 6/30/2029, (GBP) | 406,813 |
1,310,000 | Rand Parent LLC, 8.500%, 2/15/2030(b) | 1,325,013 |
430,000 | Realty Income Corp., 5.125%, 7/06/2034, (EUR) | 495,968 |
1,100,000 | Realty Income Corp., EMTN, 1.625%, 12/15/2030, (GBP) | 1,111,963 |
7,695,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(b) | 7,186,259 |
6,794,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 | 6,163,011 |
2,540,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(b) | 2,304,099 |
7,011,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(b) | 6,109,967 |
4,510,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(b) | 3,800,527 |
2,945,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026(b) | 2,850,162 |
3,280,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(b) | 3,238,159 |
400,000 | Royal Caribbean Cruises Ltd., 6.250%, 3/15/2032(b) | 403,360 |
435,000 | Sensata Technologies BV, 4.000%, 4/15/2029(b) | 399,374 |
105,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(b) | 91,518 |
910,000 | Sensata Technologies, Inc., 6.625%, 7/15/2032(b) | 916,509 |
140,000 | Silgan Holdings, Inc., 3.250%, 3/15/2025, (EUR) | 148,420 |
315,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 289,776 |
255,000 | Tapestry, Inc., Series ., 3.050%, 3/15/2032 | 205,633 |
875,000 | Targa Resources Corp., 6.125%, 3/15/2033 | 898,613 |
265,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 | 238,023 |
165,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 157,452 |
665,000 | TD SYNNEX Corp., 6.100%, 4/12/2034 | 666,850 |
245,000 | Thermo Fisher Scientific Finance I BV, 2.000%, 10/18/2051, (EUR) | 178,663 |
100,000 | Thermo Fisher Scientific, Inc., EMTN, 1.500%, 10/01/2039, (EUR) | 78,504 |
90,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 65,871 |
85,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 70,787 |
2,805,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 2,622,189 |
400,000 | TopBuild Corp., 4.125%, 2/15/2032(b) | 352,246 |
405,000 | TransDigm, Inc., 6.750%, 8/15/2028(b) | 410,362 |
4,075,000 | Travel & Leisure Co., 4.500%, 12/01/2029(b) | 3,754,333 |
530,000 | Travel & Leisure Co., 4.625%, 3/01/2030(b) | 482,329 |
240,000 | TriNet Group, Inc., 3.500%, 3/01/2029(b) | 213,624 |
193,343 | U.S. Airways Pass-Through Trust, Series 2012-2, Class A, 4.625%, 12/03/2026 | 191,147 |
12,440,000 | U.S. Treasury Bonds, 2.250%, 2/15/2052 | 7,924,669 |
5,210,000 | U.S. Treasury Bonds, 3.625%, 5/15/2053 | 4,433,588 |
9,980,000 | U.S. Treasury Bonds, 4.125%, 8/15/2053 | 9,293,485 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$5,120,059 | U.S. Treasury Inflation-Indexed Notes, 1.375%, 7/15/2033(i) | $4,834,470 |
5,275,000 | U.S. Treasury Notes, 4.000%, 2/15/2034 | 5,120,047 |
20,450,000 | U.S. Treasury Notes, 4.500%, 3/31/2026(j) | 20,342,957 |
10,905,000 | U.S. Treasury Notes, 4.625%, 2/28/2026 | 10,865,810 |
13,115,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(b) | 12,495,837 |
8,655,000 | Uber Technologies, Inc., 6.250%, 1/15/2028(b) | 8,665,170 |
1,555,000 | Uber Technologies, Inc., 7.500%, 9/15/2027(b) | 1,585,508 |
140,000 | Uber Technologies, Inc., 8.000%, 11/01/2026(b) | 141,214 |
645,000 | UKG, Inc., 6.875%, 2/01/2031(b) | 653,082 |
226,076 | United Airlines Pass-Through Trust, Series 16-2, Class B, 3.650%, 4/07/2027 | 217,472 |
1,090,000 | United Rentals North America, Inc., 6.125%, 3/15/2034(b) | 1,086,024 |
895,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(b) | 762,635 |
1,130,000 | Venture Global Calcasieu Pass LLC, 4.125%, 8/15/2031(b) | 1,014,023 |
175,000 | Venture Global Calcasieu Pass LLC, 6.250%, 1/15/2030(b) | 177,607 |
3,095,000 | Verizon Communications, Inc., Series MPLE, 2.500%, 5/16/2030, (CAD) | 2,014,097 |
895,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026(b) | 863,128 |
285,000 | Viper Energy, Inc., 7.375%, 11/01/2031(b) | 295,171 |
1,945,000 | VMware LLC, 2.200%, 8/15/2031 | 1,580,400 |
130,000 | Western Digital Corp., 2.850%, 2/01/2029 | 112,817 |
90,000 | Western Digital Corp., 3.100%, 2/01/2032 | 73,173 |
360,000 | Western Midstream Operating LP, 4.050%, 2/01/2030 | 334,817 |
475,000 | Western Midstream Operating LP, 5.250%, 2/01/2050 | 416,336 |
470,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 405,806 |
150,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 135,171 |
115,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 99,960 |
640,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | 656,068 |
1,695,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 1,558,861 |
351,157,968 | ||
Uruguay — 0.1% | ||
86,955,000 | Uruguay Government International Bonds, 8.250%, 5/21/2031, (UYU) | 2,043,073 |
Total Non-Convertible Bonds (Identified Cost $935,313,125) | 847,856,475 | |
Convertible Bonds — 1.8% | ||
United States — 1.8% | ||
12,590,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 12,019,899 |
3,160,000 | Carnival Corp., 5.750%, 12/01/2027 | 5,153,960 |
23,580,000 | DISH Network Corp., 3.375%, 8/15/2026 | 14,623,376 |
6,285,000 | DISH Network Corp., Zero Coupon, 0.000%-9.514%, 12/15/2025(k) | 4,620,121 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$320,000 | Etsy, Inc., 0.125%, 9/01/2027 | $267,272 |
745,000 | Etsy, Inc., 0.250%, 6/15/2028 | 585,900 |
345,000 | Northern Oil & Gas, Inc., 3.625%, 4/15/2029 | 397,095 |
6,890,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 6,896,890 |
655,000 | Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(k) | 623,232 |
9,635,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 7,984,496 |
930,000 | Uber Technologies, Inc., Series 2028, 0.875%, 12/01/2028(b) | 1,105,770 |
360,000 | Unity Software, Inc., Zero Coupon, 7.197%-7.334%, 11/15/2026(k) | 310,140 |
120,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 144,673 |
Total Convertible Bonds (Identified Cost $68,058,780) | 54,732,824 | |
Municipals — 0.0% | ||
United States — 0.0% | ||
115,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%-, 6/01/2046 (Identified cost $114,991) | 97,263 |
Total Bonds and Notes (Identified Cost $1,003,486,896) | 902,686,562 | |
Senior Loans — 0.6% | ||
United States — 0.6% | ||
1,110,000 | Asplundh Tree Expert LLC, 2024 Incremental Term Loan B, 5/23/2031(l) | 1,108,613 |
1,871,087 | Carnival Corp., 2024 Term Loan B1, 1 mo. USD SOFR + 2.750%, 8.094%, 10/18/2028(h)(m) | 1,873,426 |
1,266,442 | Carnival Corp., 2024 Term Loan B2, 1 mo. USD SOFR + 2.750%, 8.094%, 8/08/2027(h)(m) | 1,270,406 |
245,000 | Cedar Fair LP, 2024 Term Loan B, 5/01/2031(l) | 244,236 |
208,066 | Foundation Building Materials Holding Co. LLC, 2024 Term Loan B2, 3 mo. USD SOFR + 4.000%, 9.330%, 1/29/2031(h)(m) | 206,853 |
341,000 | GTCR W Merger Sub LLC, 2024 USD Term Loan B, 1/31/2031(l) | 340,952 |
341,000 | GTCR W Merger Sub LLC, USD Term Loan B, 3 mo. USD SOFR + 3.000%, 8.335%, 1/31/2031(h)(m) | 340,952 |
322,895 | Hilton Domestic Operating Co., Inc., 2023 Term Loan B4, 11/08/2030(l) | 323,118 |
385,867 | Hilton Domestic Operating Co., Inc., 2024 Term Loan B4, 11/08/2030(l) | 386,134 |
29,923 | Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 8/02/2028(l) | 29,897 |
1,926,470 | Hilton Grand Vacations Borrower LLC, 2024 1st Lien Term Loan B, 1/17/2031(l) | 1,925,025 |
1,007,475 | Hilton Grand Vacations Borrower LLC, 2024 Incremental Term Loan B, 1 mo. USD SOFR + 2.750%, 8.094%, 1/17/2031(h)(m) | 1,006,719 |
269,325 | HUB International Ltd., 2024 Term Loan B, 3 mo. USD SOFR + 3.250%, 8.575%, 6/20/2030(h)(m) | 269,796 |
99,750 | Light & Wonder International, Inc., 2024 Term Loan, 1 mo. USD SOFR + 2.750%, 8.070%, 4/14/2029(h)(m) | 99,679 |
99,750 | Light & Wonder International, Inc., 2024 Term Loan B2, 4/14/2029(l) | 99,679 |
Principal Amount (‡) | Description | Value (†) |
United States — continued | ||
$665,000 | Resideo Funding, Inc., 2024 M&A Term Loan B, 5/21/2031(l) | $662,925 |
390,000 | Resideo Funding, Inc., 2024 M&A Term Loan B, 1 mo. USD SOFR + 2.000%, 7.339%, 5/21/2031(h)(m) | 388,783 |
109,871 | Resideo Funding, Inc., 2024 Term Loan B, 2/11/2028(l) | 109,871 |
384,008 | Resideo Funding, Inc., 2024 Term Loan B, USD SOFR + 2.000%, 7.338%, 2/11/2028(h)(m) | 384,008 |
1,078,488 | Star Parent, Inc., Term Loan B, 3 mo. USD SOFR + 3.750%, 9.085%, 9/27/2030(h)(m) | 1,076,891 |
842,888 | Summit Materials LLC, 2023 Incremental Term Loan B, 3 mo. USD SOFR + 2.500%, 7.799%, 1/12/2029(h)(m) | 848,156 |
1,855,338 | Trans Union LLC, 2024 Term Loan B8, 6/24/2031(l) | 1,850,236 |
94,763 | TransDigm, Inc., 2023 Term Loan J, 3 mo. USD SOFR + 2.500%, 7.843%, 2/28/2031(h)(m) | 94,952 |
163,202 | TransDigm, Inc., 2024 Term Loan I, 3 mo. USD SOFR + 2.750%, 8.085%, 8/24/2028(h)(m) | 163,440 |
595,000 | Truist Insurance Holdings LLC, 1st Lien Term Loan, 3 mo. USD SOFR + 3.250%, 8.585%, 5/06/2031(h)(m) | 595,530 |
444,465 | Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 2.750%, 8.089%, 3/03/2030(h)(m) | 446,234 |
2,080,000 | Wyndham Hotels & Resorts, Inc., 2024 Term Loan, 5/24/2030(l) | 2,080,291 |
Total Senior Loans (Identified Cost $18,214,271) | 18,226,802 |
Shares | Description | Value (†) |
Preferred Stocks — 0.0% | ||
United States — 0.0% | ||
23,356 | El Paso Energy Capital Trust I, 4.750%, 3/31/2028 (Identified Cost $1,076,192) | $1,105,673 |
Principal Amount (‡) | ||
Short-Term Investments — 1.0% | ||
$28,079,743 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2024 at 3.500% to be repurchased at $28,087,933 on 7/01/2024 collateralized by $30,765,200 U.S. Treasury Note, 0.750% due 4/30/2026 valued at $28,641,499 including accrued interest(n) (Identified Cost$28,079,743) | 28,079,743 |
Total Investments — 98.5% (Identified Cost $2,465,729,882) | 2,934,778,129 | |
Other assets less liabilities — 1.5% | 45,824,942 | |
Net Assets — 100.0% | $2,980,603,071 |
(†) | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Fund's Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board's oversight. Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value ("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 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 and senior loans where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service. 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. |
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
(a) | Non-income producing security. |
(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 June 30, 2024, the value of Rule 144A holdings amounted to $314,740,184 or 10.6% of net assets. |
(c) | Amount shown represents units. One unit represents a principal amount of 1,000. |
(d) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(e) | Amount shown represents principal amount including inflation adjustments. |
(f) | Perpetual bond with no specified maturity date. |
(g) | Amount shown represents units. One unit represents a principal amount of 100. |
(h) | Variable rate security. Rate as of June 30, 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. |
(i) | Treasury Inflation Protected Security (TIPS). |
(j) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(k) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields. |
(l) | Position is unsettled. Contract rate was not determined at June 30, 2024 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 which may range from 0.00% to 1.00%, to which the spread is added. |
(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 June 30, 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. |
CPI | Consumer Price Index |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
MTN | Medium Term Note |
SOFR | Secured Overnight Financing Rate |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
UYU | Uruguayan Peso |
ZAR | South African Rand |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund's investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund's or counterparty's net obligations under the contracts.
At June 30, 2024, the Fund had the following open forward foreign currency contracts: | |||||||
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | |
Bank of America N.A. | 9/04/2024 | BRL | S | 55,000,000 | $9,905,448 | $9,770,031 | $135,417 |
Bank of America N.A. | 9/18/2024 | GBP | B | 12,366,000 | 15,767,763 | 15,640,766 | (126,997 ) |
Bank of America N.A. | 9/18/2024 | JPY | B | 5,864,309,000 | 38,177,604 | 36,881,227 | (1,296,377 ) |
Bank of America N.A. | 9/19/2024 | KRW | S | 19,047,379,000 | 13,874,940 | 13,899,383 | (24,443 ) |
Bank of America N.A. | 9/18/2024 | MXN | B | 13,000,000 | 698,257 | 702,092 | 3,835 |
Bank of America N.A. | 9/18/2024 | MXN | S | 336,885,000 | 17,839,847 | 18,194,149 | (354,302 ) |
Bank of America N.A. | 9/18/2024 | ZAR | S | 137,000,000 | 7,524,165 | 7,486,027 | 38,138 |
HSBC Bank USA N.A. | 9/18/2024 | AUD | B | 450,000 | 299,775 | 300,796 | 1,021 |
HSBC Bank USA N.A. | 9/18/2024 | AUD | S | 13,800,000 | 9,134,703 | 9,224,423 | (89,720 ) |
HSBC Bank USA N.A. | 9/18/2024 | CAD | S | 62,229,000 | 45,266,179 | 45,570,595 | (304,416 ) |
HSBC Bank USA N.A. | 9/18/2024 | IDR | S | 100,000,000,000 | 6,135,158 | 6,099,081 | 36,077 |
Morgan Stanley Capital Services LLC | 9/18/2024 | EUR | B | 78,408,000 | 85,291,438 | 84,284,252 | (1,007,186 ) |
Morgan Stanley Capital Services LLC | 9/18/2024 | EUR | B | 1,200,000 | 1,289,180 | 1,289,933 | 753 |
Morgan Stanley Capital Services LLC | 9/18/2024 | NZD | S | 6,003,000 | 3,680,199 | 3,656,394 | 23,805 |
UBS AG | 9/18/2024 | COP | S | 30,469,789,000 | 7,634,434 | 7,253,360 | 381,074 |
Total | $(2,583,321 ) |
At June 30, 2024, the Fund had the following open forward cross currency contracts: | |||||||
Counterparty | Settlement Date | Deliver/Units of Currency | Receive/Units of Currency | Notional Value | Unrealized Appreciation (Depreciation) | ||
Morgan Stanley Capital Services LLC | 9/18/2024 | NOK | 30,959,000 | EUR | 2,679,828 | $2,880,666 | $(24,497 ) |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as "initial margin." As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as "variation margin," are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund's ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund's claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At June 30, 2024, open long futures contracts were as follows: | |||||
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 10 Year U.S. Treasury Notes Futures | 9/19/2024 | 549 | $59,853,289 | $60,381,422 | $528,133 |
CBOT 2 Year U.S. Treasury Notes Futures | 9/30/2024 | 4 | 813,538 | 816,875 | 3,337 |
CBOT U.S. Long Bond Futures | 9/19/2024 | 719 | 83,958,210 | 85,066,688 | 1,108,478 |
CBOT Ultra Long Term U.S. Treasury Bond Futures | 9/19/2024 | 161 | 19,909,152 | 20,180,344 | 271,192 |
Total | $1,911,140 |
At June 30, 2024, open short futures contracts were as follows: | |||||
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 5 Year U.S. Treasury Notes Futures | 9/30/2024 | 445 | $47,033,782 | $47,427,266 | $(393,484 ) |
Ultra 10-Year U.S. Treasury Notes Futures | 9/19/2024 | 560 | 62,903,690 | 63,577,500 | (673,810 ) |
Total | $(1,067,294 ) |
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 June 30, 2024, at value:
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | ||||
Canada | $27,498,648 | $ — | $ — | $27,498,648 |
France | — | 46,204,115 | — | 46,204,115 |
Japan | — | 48,589,869 | — | 48,589,869 |
Netherlands | — | 72,678,755 | — | 72,678,755 |
Sweden | — | 77,191,600 | — | 77,191,600 |
Taiwan | — | 68,291,648 | — | 68,291,648 |
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
United Kingdom | $ — | $65,206,300 | $ — | $65,206,300 |
United States | 1,547,001,325 | 32,017,089 | — | 1,579,018,414 |
Total Common Stocks | 1,574,499,973 | 410,179,376 | — | 1,984,679,349 |
Bonds and Notes(a) | — | 902,686,562 | — | 902,686,562 |
Senior Loans(a) | — | 18,226,802 | — | 18,226,802 |
Preferred Stocks(a) | 1,105,673 | — | — | 1,105,673 |
Short-Term Investments | — | 28,079,743 | — | 28,079,743 |
Total Investments | 1,575,605,646 | 1,359,172,483 | — | 2,934,778,129 |
Forward Foreign Currency Contracts (unrealized appreciation) | — | 620,120 | — | 620,120 |
Futures Contracts (unrealized appreciation) | 1,911,140 | — | — | 1,911,140 |
Total | $1,577,516,786 | $1,359,792,603 | $ — | $2,937,309,389 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Forward Foreign Currency Contracts (unrealized depreciation) | $ — | $(3,227,938 ) | $ — | $(3,227,938 ) |
Futures Contracts (unrealized depreciation) | (1,067,294 ) | — | — | (1,067,294 ) |
Total | $(1,067,294 ) | $(3,227,938 ) | $ — | $(4,295,232 ) |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end include forward foreign currency contracts and futures contracts.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. As of June 30, 2024, the Fund engaged in forward foreign currency contracts for hedging purposes to gain exposure to foreign currencies.
The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may also use futures contracts to gain investment exposure. As of June 30, 2024, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of June 30, 2024:
Assets | Unrealized appreciation on forward foreign currency contracts | Unrealized appreciation on futures contracts | Total |
Over-the-counter asset derivatives | |||
Foreign exchange contracts | $620,120 | $ — | $620,120 |
Exchange-traded asset derivatives | |||
Interest rate contracts | — | 1,911,140 | 1,911,140 |
Total asset derivatives | $620,120 | $1,911,140 | $2,531,260 |
Liabilities | Unrealized depreciation on forward foreign currency contracts | Unrealized depreciation on futures contracts | Total |
Over-the-counter liability derivatives | |||
Foreign exchange contracts | $(3,227,938 ) | $ — | $(3,227,938 ) |
Liabilities | Unrealized depreciation on forward foreign currency contracts | Unrealized depreciation on futures contracts | Total |
Exchange-traded liability derivatives | |||
Interest rate contracts | $ — | $(1,067,294 ) | $(1,067,294 ) |
Total liability derivatives | $(3,227,938 ) | $(1,067,294 ) | $(4,295,232 ) |
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
OTC derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of June 30, 2024, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty: | Derivatives | Collateral Pledged |
Bank of America N.A. | $ (1,624,729 ) | $1,390,000 |
HSBC Bank USA N.A. | (357,038 ) | 280,000 |
Morgan Stanley Capital Services LLC | (1,007,125 ) | 1,197,364 |
Counterparty risk is managed based on policies and procedures established by the Fund's adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund's risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund's aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange's clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker's customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker's customers, potentially resulting in losses to the Fund.
Industry Summary at June 30, 2024 (Unaudited) | |
Semiconductors & Semiconductor Equipment | 9.2% |
Treasuries | 8.4 |
Capital Markets | 7.4 |
Machinery | 5.9 |
Life Sciences Tools & Services | 5.0 |
Software | 4.7 |
Specialty Retail | 4.2 |
IT Services | 3.9 |
Broadline Retail | 3.5 |
Interactive Media & Services | 3.3 |
Chemicals | 2.7 |
Cable Satellite | 2.6 |
Financial Services | 2.5 |
Banking | 2.5 |
Health Care Providers & Services | 2.4 |
Hotels, Restaurants & Leisure | 2.3 |
Consumer Staples Distribution & Retail | 2.1 |
Other Investments, less than 2% each | 24.9 |
Short-Term Investments | 1.0 |
Total Investments | 98.5 |
Other assets less liabilities (including forward foreign currency and futures contracts) | 1.5 |
Net Assets | 100.0% |
Currency Exposure Summary at June 30, 2024 (Unaudited) | |
United States Dollar | 75.1% |
Euro | 6.7 |
Canadian Dollar | 3.0 |
Swedish Krona | 2.7 |
British Pound | 2.4 |
New Taiwan Dollar | 2.3 |
Other, less than 2% each | 6.3 |
Total Investments | 98.5 |
Other assets less liabilities (including forward foreign currency and futures contracts) | 1.5 |
Net Assets | 100.0% |