UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-08282
Loomis Sayles Funds I
(Exact name of Registrant as specified in charter)
888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197
(Address of principal executive offices) (Zip code)
Susan McWhan Tobin, Esq.
Natixis Distribution, LLC
888 Boylston Street, Suite 800
Boston, Massachusetts 02199-8197
(Name and address of agent for service)
Registrant’s telephone number, including area code: (617) 449-2139
Date of fiscal year end: December 31
Date of reporting period: December 31, 2023
Item 1. Reports to Stockholders.
(a) The Registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
Loomis Sayles Bond Fund |
Loomis Sayles Investment Grade Fixed Income Fund |
Managers |
Matthew J. Eagan, CFA® |
Brian P. Kennedy |
Elaine M. Stokes* |
Symbols | |
Institutional Class | LSBDX |
Retail Class | LSBRX |
Admin Class | LBFAX |
Class N | LSBNX |
* | Effective December 31, 2023, Elaine M. Stokes no longer serves as portfolio manager of the Fund. |
Investment Objective
Hypothetical Growth of $100,000 Investment in Institutional Class Shares1 |
December 31, 2013 through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | |||||
1 Year | 5 Years | 10 Years | Expense Ratios3 | ||
Gross | Net | ||||
Institutional Class | 8.05 % | 2.15 % | 2.10 % | 0.68 % | 0.66 % |
Retail Class | 7.83 | 1.90 | 1.85 | 0.93 | 0.91 |
Admin Class | 7.50 | 1.66 | 1.59 | 1.14 | 1.14 |
Class N | 8.12 | 2.22 | 2.17 | 0.60 | 0.60 |
Comparative Performance | |||||
Bloomberg U.S. Government/Credit Bond Index2 | 5.72 | 1.41 | 1.97 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Bloomberg U.S. Government/Credit Bond Index is the non-securitized component of the Bloomberg U.S. Aggregate Bond Index. The Index includes investment grade, U.S. dollar-denominated, fixed rate Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and corporate securities. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
Managers |
Matthew J. Eagan, CFA® |
Brian P. Kennedy |
Elaine M. Stokes* |
Symbol | |
Institutional Class | LSIGX |
* | Effective December 31, 2023, Elaine M. Stokes no longer serves as portfolio manager of the Fund. |
Investment Objective
Hypothetical Growth of $3,000,000 Investment in Institutional Class Shares1 |
December 31, 2013 through December 31, 2023 |
Average Annual Total Returns —December 31, 20231 | |||||
1 Year | 5 Years | 10 Years | Expense Ratios3 | ||
Gross | Net | ||||
Institutional Class | 8.00 % | 2.35 % | 2.39 % | 0.52 % | 0.52 % |
Comparative Performance | |||||
Bloomberg U.S. Government/Credit Bond Index2 | 5.72 | 1.41 | 1.97 |
1 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
2 | Bloomberg U.S. Government/Credit Bond Index is the non-securitized component of the Bloomberg U.S. Aggregate Bond Index. The Index includes investment grade, U.S. dollar-denominated, fixed rate Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and corporate securities. |
3 | Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense limitations set to expire on 4/30/25. When a Fund’s expenses are below the limitation, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense limitations. |
Loomis Sayles Bond Fund | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Institutional Class | |||
Actual | $1,000.00 | $1,053.00 | $3.42 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.88 | $3.36 |
Retail Class | |||
Actual | $1,000.00 | $1,052.00 | $4.71 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.62 | $4.63 |
Admin Class | |||
Actual | $1,000.00 | $1,049.90 | $5.99 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.36 | $5.90 |
Class N | |||
Actual | $1,000.00 | $1,053.40 | $3.16 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.13 | $3.11 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement): 0.66%, 0.91%, 1.16% and 0.61% for Institutional Class, Retail Class, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (184), divided by 365 (to reflect the half–year period). |
Loomis Sayles Investment Grade Fixed Income Fund | Beginning Account Value 7/1/2023 | Ending Account Value 12/31/2023 | Expenses Paid During Period* 7/1/2023 – 12/31/2023 |
Institutional Class | |||
Actual | $1,000.00 | $1,050.10 | $2.74 |
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.53 | $2.70 |
* | Expenses are equal to the Fund's annualized expense ratio (after waiver/reimbursement) of 0.53%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half–year (184), divided by 365 (to reflect the half–year period). |
Principal Amount (‡) | Description | Value (†) |
Bonds and Notes — 87.3% of Net Assets | ||
Non-Convertible Bonds — 79.9% | ||
ABS Car Loan — 3.3% | ||
$3,685,000 | American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028(a) | $3,544,778 |
1,470,000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029(a) | 1,488,257 |
6,500,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class D, 3.040%, 3/20/2025(a) | 6,434,630 |
3,880,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027(a) | 3,687,262 |
1,745,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class C, 2.130%, 8/20/2027(a) | 1,560,057 |
3,470,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class C, 2.350%, 2/20/2028(a) | 3,073,911 |
1,320,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-8A, Class C, 7.340%, 2/20/2030(a) | 1,346,478 |
1,255,000 | CarMax Auto Owner Trust, Series 2022-1, Class D, 2.470%, 7/17/2028 | 1,150,935 |
1,633,651 | Carvana Auto Receivables Trust, Series 2021-N3, Class C, 1.020%, 6/12/2028 | 1,528,437 |
680,659 | Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028 | 641,612 |
5,832,630 | Carvana Auto Receivables Trust, Series 2021-N4, Class D, 2.300%, 9/11/2028 | 5,659,267 |
7,430,000 | Carvana Auto Receivables Trust, Series 2021-P3, Class C, 1.930%, 10/12/2027 | 6,528,719 |
3,032,000 | Carvana Auto Receivables Trust, Series 2021-P4, Class C, 2.330%, 2/10/2028 | 2,688,413 |
1,000,000 | Carvana Auto Receivables Trust, Series 2023-N4, Class D, 7.220%, 2/11/2030(a) | 1,021,781 |
4,020,000 | Credit Acceptance Auto Loan Trust, Series 2021-3A, Class C, 1.630%, 9/16/2030(a) | 3,825,452 |
8,080,000 | Credit Acceptance Auto Loan Trust, Series 2021-4, Class C, 1.940%, 2/18/2031(a) | 7,580,039 |
2,010,000 | Exeter Automobile Receivables Trust, Series 2022-6A, Class C, 6.320%, 5/15/2028 | 2,019,594 |
Principal Amount (‡) | Description | Value (†) |
ABS Car Loan — continued | ||
$3,820,000 | Exeter Automobile Receivables Trust, Series 2023-2A, Class D, 6.320%, 8/15/2029 | $3,846,816 |
2,820,000 | First Investors Auto Owner Trust, Series 2022-2A, Class D, 8.710%, 10/16/2028(a) | 2,969,765 |
2,155,000 | Ford Credit Auto Lease Trust, Series 2023-B, Class D, 6.970%, 6/15/2028 | 2,193,853 |
5,260,000 | Foursight Capital Automobile Receivables Trust, Series 2021-2, Class D, 1.920%, 9/15/2027(a) | 4,957,070 |
10,265,000 | GLS Auto Receivables Issuer Trust, Series 2021-3A, Class D, 1.480%, 7/15/2027(a) | 9,609,652 |
16,820,000 | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D, 2.480%, 10/15/2027(a) | 15,732,871 |
2,915,000 | GLS Auto Receivables Issuer Trust, Series 2023-2A, Class D, 6.310%, 3/15/2029(a) | 2,935,236 |
11,029,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026(a) | 10,450,611 |
2,746,000 | Hertz Vehicle Financing III LLC, Series 2022-3A, Class D, 6.310%, 3/25/2025(a) | 2,734,033 |
2,020,000 | Hertz Vehicle Financing III LLC, Series 2023-1A, Class D2, 9.130%, 6/25/2027(a) | 2,029,771 |
3,090,000 | Hertz Vehicle Financing III LLC, Series 2023-2A, Class D, 9.400%, 9/25/2029(a) | 3,140,196 |
6,495,000 | Hertz Vehicle Financing LLC, Series 2022-2A, Class D, 5.160%, 6/26/2028(a) | 5,826,792 |
6,205,000 | Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026(a) | 5,984,722 |
882,468 | JPMorgan Chase Bank N.A, Series 2021-3, Class D, 1.009%, 2/26/2029(a) | 850,816 |
8,375,000 | Prestige Auto Receivables Trust, Series 2022-1A, Class D, 8.080%, 8/15/2028(a) | 8,582,390 |
944,809 | Santander Bank Auto Credit-Linked Notes, Series 2021-1A, Class B, 1.833%, 12/15/2031(a) | 920,462 |
5,940,000 | Westlake Automobile Receivables Trust, Series 2021-3A, Class D, 2.120%, 1/15/2027(a) | 5,658,135 |
6,320,000 | Westlake Automobile Receivables Trust, Series 2023-4A, Class D, 7.190%, 7/16/2029(a) | 6,443,117 |
148,645,930 |
Principal Amount (‡) | Description | Value (†) |
ABS Credit Card — 0.1% | ||
$4,035,000 | Mission Lane Credit Card Master Trust, Series 2023-B, Class A, 7.690%, 11/15/2028(a) | $4,077,013 |
ABS Home Equity — 4.0% | ||
7,610,653 | 510 Asset-Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061(a)(b) | 7,223,283 |
2,715,000 | CoreVest American Finance Ltd., Series 2021-1, Class C, 2.800%, 4/15/2053(a) | 2,178,476 |
4,647,000 | CoreVest American Finance Ltd., Series 2021-2, Class C, 2.478%, 7/15/2054(a) | 3,717,130 |
2,280,000 | CoreVest American Finance Ltd., Series 2021-3, Class D, 3.469%, 10/15/2054(a) | 1,887,714 |
5,175,000 | CoreVest American Finance Ltd., Series 2023-RTL1, Class A1, 7.553%, 12/28/2030(a)(b) | 5,185,324 |
3,716,673 | Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2, 3.125%, 10/25/2060(a) | 2,732,924 |
7,995,000 | FirstKey Homes Trust, Series 2021-SFR1, Class E1, 2.389%, 8/17/2038(a) | 7,136,021 |
5,272,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E1, 2.258%, 9/17/2038(a) | 4,645,683 |
3,120,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E2, 2.358%, 9/17/2038(a) | 2,742,937 |
3,131,808 | GITSIT Mortgage Loan Trust, Series 2023-NPL1, Class A1, 8.353%, 5/25/2053(a)(b) | 3,163,195 |
1,251,805 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041(a) | 1,010,478 |
12,557,221 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026(a) | 11,111,883 |
6,283,422 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026(a) | 5,553,993 |
7,004,366 | Legacy Mortgage Asset Trust, Series 2021-GS2, Class A1, 1.750%, 4/25/2061(a)(b) | 6,762,062 |
2,318,145 | Legacy Mortgage Asset Trust, Series 2021-GS4, Class A1, 1.650%, 11/25/2060(a)(b) | 2,204,692 |
1,720,000 | Mill City Mortgage Loan Trust, Series 2019-GS1, Class M2, 3.250%, 7/25/2059(a)(b) | 1,437,361 |
1,635,000 | Progress Residential Trust, Series 2021-SFR4, Class E1, 2.409%, 5/17/2038(a) | 1,473,351 |
Principal Amount (‡) | Description | Value (†) |
ABS Home Equity — continued | ||
$1,145,000 | Progress Residential Trust, Series 2021-SFR4, Class E2, 2.559%, 5/17/2038(a) | $1,029,720 |
3,535,000 | Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038(a) | 3,127,665 |
925,000 | Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038(a) | 818,505 |
4,495,000 | Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038(a) | 3,994,424 |
2,300,000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038(a) | 2,041,801 |
5,280,000 | Progress Residential Trust, Series 2021-SFR7, Class E1, 2.591%, 8/17/2040(a) | 4,423,156 |
1,445,000 | Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040(a) | 1,185,640 |
1,705,000 | Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040(a) | 1,410,689 |
1,175,000 | Progress Residential Trust, Series 2021-SFR9, Class E2, 3.010%, 11/17/2040(a) | 971,519 |
625,000 | Progress Residential Trust, Series 2023-SFR2, Class B, 4.500%, 10/17/2028(a) | 591,799 |
5,884,677 | PRPM LLC, Series 2021-10, Class A1, 2.487%, 10/25/2026(a)(b) | 5,664,738 |
10,182,290 | PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026(a)(b) | 9,945,398 |
9,113,254 | PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026(a)(b) | 8,876,758 |
6,262,587 | PRPM LLC, Series 2021-8, Class A1, 1.743%, 9/25/2026(a)(b) | 6,031,355 |
6,608,409 | PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026(a)(b) | 6,403,037 |
9,500,995 | PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027(a)(b) | 9,512,895 |
1,272,798 | Redwood Funding Trust, Series 2023-1, Class A, 7.500%, 7/25/2059(a)(b) | 1,257,516 |
6,652,105 | Toorak Mortgage Corp. Ltd., Series 2021-1, Class A1, 3.240%, 6/25/2024(a)(b) | 6,515,490 |
99,640 | Towd Point Mortgage Trust, Series 2015-4, Class M2, 3.750%, 4/25/2055(a)(b) | 97,929 |
3,660,000 | Towd Point Mortgage Trust, Series 2016-3, Class M2, 4.000%, 4/25/2056(a)(b) | 3,558,103 |
Principal Amount (‡) | Description | Value (†) |
ABS Home Equity — continued | ||
$430,000 | Towd Point Mortgage Trust, Series 2017-3, Class A2, 3.000%, 7/25/2057(a)(b) | $410,725 |
1,195,000 | Towd Point Mortgage Trust, Series 2019-4, Class M1, 3.500%, 10/25/2059(a)(b) | 1,016,854 |
905,000 | Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060(a)(b) | 766,150 |
495,000 | Towd Point Mortgage Trust, Series 2020-2, Class A2B, 3.000%, 4/25/2060(a)(b) | 402,950 |
2,015,000 | Tricon Residential Trust, Series 2021-SFR1, Class E1, 2.794%, 7/17/2038(a) | 1,822,656 |
5,360,000 | Tricon Residential Trust, Series 2021-SFR1, Class E2, 2.894%, 7/17/2038(a) | 4,837,591 |
136,286 | VCAT LLC, Series 2021-NPL1, Class A1, 5.289%, 12/26/2050(a)(b) | 135,675 |
7,687,799 | VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051(a)(b) | 7,544,375 |
12,837,741 | VCAT LLC, Series 2021-NPL6, Class A1, 1.917%, 9/25/2051(a)(b) | 12,548,336 |
6,187,366 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051(a)(b) | 6,029,599 |
183,139,555 | ||
ABS Other — 3.0% | ||
4,045,000 | Affirm Asset Securitization Trust, Series 2023-B, Class A, 6.820%, 9/15/2028(a) | 4,108,636 |
1,590,708 | Aqua Finance Trust, Series 2019-A, Class C, 4.010%, 7/16/2040(a) | 1,465,356 |
2,410,000 | Aqua Finance Trust, Series 2021-A, Class B, 2.400%, 7/17/2046(a) | 1,984,426 |
13,505,000 | BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035(a) | 12,485,556 |
2,554,057 | Castlelake Aircraft Securitization Trust, Series 2018-1, Class B, 5.300%, 6/15/2043(a) | 1,961,830 |
1,115,031 | Castlelake Aircraft Structured Trust, Series 2019-1A, Class A, 3.967%, 4/15/2039(a) | 971,539 |
519,167 | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class C, 2.090%, 8/27/2035(a) | 473,695 |
1,210,000 | Foundation Finance Trust, Series 2023-2A, Class B, 6.970%, 6/15/2049(a) | 1,253,720 |
534,194 | FREED ABS Trust, Series 2021-2, Class C, 1.940%, 6/19/2028(a) | 528,896 |
3,495,000 | FREED ABS Trust, Series 2021-3FP, Class D, 2.370%, 11/20/2028(a) | 3,356,738 |
Principal Amount (‡) | Description | Value (†) |
ABS Other — continued | ||
$3,565,000 | FREED ABS Trust, Series 2022-1FP, Class D, 3.350%, 3/19/2029(a) | $3,418,152 |
16,445,000 | Frontier Issuer LLC, Series 2023-1, Class A2, 6.600%, 8/20/2053(a) | 16,378,891 |
48,891 | HIN Timeshare Trust, Series 2020-A, Class C, 3.420%, 10/09/2039(a) | 46,107 |
3,645,000 | HPEFS Equipment Trust, Series 2022-1A, Class D, 2.400%, 11/20/2029(a) | 3,475,810 |
1,215,000 | HPEFS Equipment Trust, Series 2023-2A, Class D, 6.970%, 7/21/2031(a) | 1,238,678 |
2,761,900 | Jack in the Box Funding LLC, Series 2019-1A, Class A2II, 4.476%, 8/25/2049(a) | 2,623,866 |
6,742,373 | JOL Air Ltd., Series 2019-1, Class A, 3.967%, 4/15/2044(a) | 6,134,566 |
10,531,289 | MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046(a) | 9,394,342 |
1,733,000 | Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031(a) | 1,697,699 |
3,210,000 | Marlette Funding Trust, Series 2021-3A, Class C, 1.810%, 12/15/2031(a) | 3,045,840 |
8,066,467 | MVW LLC, Series 2021-2A, Class C, 2.230%, 5/20/2039(a) | 7,337,461 |
14,166,355 | Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046(a)(b) | 12,505,605 |
3,250,000 | Nelnet Student Loan Trust, Series 2021-A, Class B2, 2.850%, 4/20/2062(a) | 2,650,666 |
5,485,000 | OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036(a) | 4,613,837 |
800,000 | Republic Finance Issuance Trust, Series 2021-A, Class C, 3.530%, 12/22/2031(a) | 717,564 |
725,000 | SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.930%, 9/20/2030(a) | 669,744 |
4,060,000 | SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032(a) | 4,052,444 |
1,003,025 | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042(a) | 862,856 |
13,929,487 | Slam Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046(a) | 12,226,301 |
1,440,000 | SoFi Consumer Loan Program Trust, Series 2021-1, Class D, 2.040%, 9/25/2030(a) | 1,344,701 |
Principal Amount (‡) | Description | Value (†) |
ABS Other — continued | ||
$2,513,447 | WAVE Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042(a) | $2,121,636 |
11,868,386 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 5/15/2046(a) | 9,962,644 |
135,109,802 | ||
ABS Student Loan — 0.5% | ||
1,808,741 | College Avenue Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051(a) | 1,636,473 |
2,157,000 | College Avenue Student Loans LLC, Series 2021-C, Class D, 4.110%, 7/26/2055(a) | 1,898,464 |
1,750,000 | College Avenue Student Loans LLC, Series 2023-B, Class C, 7.580%, 6/25/2054(a) | 1,804,948 |
654,029 | ELFI Graduate Loan Program LLC, Series 2021-A, Class B, 2.090%, 12/26/2046(a)(b) | 541,958 |
2,565,000 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069(a) | 1,736,730 |
5,895,000 | Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070(a) | 3,848,644 |
2,120,000 | Nelnet Student Loan Trust, Series 2021-DA, Class C, 3.500%, 4/20/2062(a) | 1,679,487 |
863,000 | Nelnet Student Loan Trust, Series 2021-DA, Class D, 4.380%, 4/20/2062(a) | 671,988 |
5,735,000 | SMB Private Education Loan Trust, Series 2021-B, Class B, 2.650%, 7/17/2051(a) | 4,725,649 |
7,070,000 | SMB Private Education Loan Trust, Series 2021-E, Class B, 2.490%, 2/15/2051(a) | 5,708,335 |
24,252,676 | ||
ABS Whole Business — 0.4% | ||
9,470,000 | Applebee's Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053(a) | 9,709,117 |
2,180,000 | FOCUS Brands Funding, Series 2023-2, Class A2, 8.241%, 10/30/2053(a) | 2,283,158 |
3,388,125 | Hardee's Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051(a) | 2,798,171 |
Principal Amount (‡) | Description | Value (†) |
ABS Whole Business — continued | ||
$1,132,800 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049(a) | $1,002,049 |
201,412 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051(a) | 186,604 |
15,979,099 | ||
Aerospace & Defense — 0.5% | ||
9,435,000 | Embraer Netherlands Finance BV, 7.000%, 7/28/2030(a) | 9,897,277 |
1,605,000 | RTX Corp., 2.375%, 3/15/2032 | 1,337,526 |
12,710,000 | RTX Corp., 5.150%, 2/27/2033 | 12,953,332 |
24,188,135 | ||
Airlines — 0.1% | ||
2,449,480 | American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 2,285,561 |
2,177,407 | American Airlines Pass-Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 2,048,371 |
4,333,932 | ||
Automotive — 1.1% | ||
4,310,000 | General Motors Financial Co., Inc., 3.100%, 1/12/2032 | 3,669,391 |
30,275,000 | General Motors Financial Co., Inc., 3.600%, 6/21/2030 | 27,476,052 |
1,345,000 | General Motors Financial Co., Inc., 5.850%, 4/06/2030 | 1,387,037 |
10,060,000 | General Motors Financial Co., Inc., 6.400%, 1/09/2033 | 10,704,873 |
815,000 | General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(c) | 722,905 |
1,305,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(c) | 1,205,155 |
3,305,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028(a) | 3,435,944 |
3,490,000 | ZF North America Capital, Inc., 7.125%, 4/14/2030(a) | 3,707,567 |
52,308,924 | ||
Banking — 5.7% | ||
2,160,000 | AIB Group PLC, (fixed rate to 9/13/2028, variable rate thereafter), 6.608%, 9/13/2029(a) | 2,275,457 |
20,700,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(c) | 15,526,277 |
15,605,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(c) | 10,587,328 |
Principal Amount (‡) | Description | Value (†) |
Banking — continued | ||
$21,890,000 | Bank of America Corp., (fixed rate to 9/15/2033, variable rate thereafter), 5.872%, 9/15/2034 | $22,913,799 |
17,805,000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(c) | 13,841,705 |
47,298,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 40,549,348 |
14,253,000 | BNP Paribas SA, (fixed rate to 8/12/2030, variable rate thereafter), 2.588%, 8/12/2035(a) | 11,653,965 |
6,210,000 | CaixaBank SA, (fixed rate to 9/13/2033, variable rate thereafter), 6.840%, 9/13/2034(a) | 6,554,096 |
4,195,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 3,443,737 |
25,209,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 21,129,188 |
2,275,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 2,121,052 |
3,125,000 | ING Groep NV, (fixed rate to 9/11/2033, variable rate thereafter), 6.114%, 9/11/2034 | 3,277,396 |
7,940,000 | Intesa Sanpaolo SpA, 7.200%, 11/28/2033(a) | 8,473,806 |
3,380,000 | Intesa Sanpaolo SpA, (fixed rate to 6/1/2031, variable rate thereafter), 4.198%, 6/01/2032(a) | 2,785,864 |
17,675,000 | Morgan Stanley, (fixed rate to 1/19/2033, variable rate thereafter), 5.948%, 1/19/2038 | 17,874,626 |
22,550,000 | NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035 | 18,761,375 |
8,885,000 | Synchrony Bank, 5.625%, 8/23/2027 | 8,739,730 |
605,000 | UBS Group AG, (fixed rate to 1/12/2028, variable rate thereafter), 3.869%, 1/12/2029(a) | 570,312 |
5,470,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(a) | 6,723,918 |
510,000 | UBS Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032(a) | 434,350 |
11,645,000 | UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028(a) | 12,080,756 |
Principal Amount (‡) | Description | Value (†) |
Banking — continued | ||
$8,545,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033(a) | $9,113,328 |
22,400,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(a) | 21,066,703 |
260,498,116 | ||
Brokerage — 0.1% | ||
5,731,000 | Jefferies Financial Group, Inc., 6.250%, 1/15/2036 | 6,023,704 |
Building Materials — 1.3% | ||
45,994,000 | Cemex SAB de CV, 3.875%, 7/11/2031(a) | 41,135,470 |
305,000 | Cemex SAB de CV, (fixed rate to 3/14/2028, variable rate thereafter), 9.125%(a)(c) | 324,825 |
15,360,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%(a)(c) | 14,566,828 |
4,057,000 | Masco Corp., 6.500%, 8/15/2032 | 4,423,305 |
60,450,428 | ||
Cable Satellite — 5.1% | ||
36,985,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034(a) | 30,055,010 |
11,015,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 8,765,559 |
35,342,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 29,809,645 |
24,940,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.700%, 4/01/2051 | 16,221,715 |
1,438,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.850%, 4/01/2061 | 896,324 |
46,770,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 | 29,423,589 |
6,805,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 6,280,220 |
5,935,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.125%, 7/01/2049 | 4,820,102 |
7,940,000 | CSC Holdings LLC, 3.375%, 2/15/2031(a) | 5,792,813 |
Principal Amount (‡) | Description | Value (†) |
Cable Satellite — continued | ||
$950,000 | CSC Holdings LLC, 4.125%, 12/01/2030(a) | $722,712 |
815,000 | CSC Holdings LLC, 4.500%, 11/15/2031(a) | 616,202 |
46,092,000 | CSC Holdings LLC, 4.625%, 12/01/2030(a) | 27,752,933 |
1,665,000 | CSC Holdings LLC, 5.000%, 11/15/2031(a) | 1,007,325 |
19,355,000 | CSC Holdings LLC, 5.375%, 2/01/2028(a) | 17,096,916 |
1,390,000 | CSC Holdings LLC, 5.750%, 1/15/2030(a) | 865,275 |
9,430,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 4,860,128 |
26,600,000 | DISH DBS Corp., 5.250%, 12/01/2026(a) | 22,789,550 |
10,570,000 | DISH DBS Corp., 5.750%, 12/01/2028(a) | 8,430,632 |
14,719,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 10,251,931 |
6,190,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 4,857,514 |
535,000 | Time Warner Cable LLC, 5.875%, 11/15/2040 | 484,281 |
231,800,376 | ||
Chemicals — 0.8% | ||
1,995,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030(a) | 1,548,446 |
10,170,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050(a) | 7,047,034 |
4,685,000 | Braskem Netherlands Finance BV, 8.500%, 1/12/2031(a) | 4,357,050 |
705,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 739,032 |
4,425,000 | Celanese U.S. Holdings LLC, 6.550%, 11/15/2030 | 4,677,786 |
17,680,000 | Celanese U.S. Holdings LLC, 6.700%, 11/15/2033 | 19,175,695 |
37,545,043 | ||
Construction Machinery — 0.1% | ||
2,300,000 | Ashtead Capital, Inc., 5.500%, 8/11/2032(a) | 2,271,996 |
3,425,000 | Ashtead Capital, Inc., 5.550%, 5/30/2033(a) | 3,388,873 |
5,660,869 | ||
Consumer Cyclical Services — 1.3% | ||
5,655,000 | TriNet Group, Inc., 3.500%, 3/01/2029(a) | 5,058,933 |
33,255,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(a) | 31,724,156 |
20,723,000 | Uber Technologies, Inc., 6.250%, 1/15/2028(a) | 20,774,966 |
57,558,055 |
Principal Amount (‡) | Description | Value (†) |
Consumer Products — 0.0% | ||
$1,094,000 | Natura Cosmeticos SA, 4.125%, 5/03/2028(a) | $989,316 |
Diversified Manufacturing — 0.4% | ||
1,305,000 | Ingersoll Rand, Inc., 5.700%, 8/14/2033 | 1,380,692 |
1,955,000 | Nordson Corp., 5.800%, 9/15/2033 | 2,075,152 |
12,205,000 | Veralto Corp., 5.450%, 9/18/2033(a) | 12,641,557 |
16,097,401 | ||
Electric — 0.7% | ||
26,600,240 | Alta Wind Holdings LLC, 7.000%, 6/30/2035(a) | 22,941,633 |
4,323,000 | Enel Generacion Chile SA, 7.875%, 2/01/2027 | 4,517,535 |
5,385,000 | Southern Co., 5.700%, 3/15/2034 | 5,662,453 |
33,121,621 | ||
Finance Companies — 6.5% | ||
12,526,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 11,436,094 |
19,290,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 16,788,659 |
4,305,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.400%, 10/29/2033 | 3,696,585 |
6,395,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.150%, 9/30/2030 | 6,734,503 |
3,100,000 | AGFC Capital Trust I, 3 mo. USD SOFR + 2.012%, 7.406%, 1/15/2067(a)(b) | 1,600,220 |
17,166,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(c) | 15,411,563 |
5,325,000 | Aircastle Ltd., Series A, (fixed rate to 6/15/2026, variable rate thereafter), 5.250%(a)(c) | 4,565,183 |
12,465,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 11,043,154 |
17,495,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 14,631,356 |
3,260,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026(a) | 3,021,499 |
6,740,000 | Aviation Capital Group LLC, 6.250%, 4/15/2028(a) | 6,863,881 |
13,520,000 | Aviation Capital Group LLC, 6.750%, 10/25/2028(a) | 14,113,941 |
9,175,000 | Barings BDC, Inc., 3.300%, 11/23/2026 | 8,365,795 |
22,260,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027 | 19,777,402 |
615,000 | Blue Owl Capital Corp., 2.625%, 1/15/2027 | 554,154 |
Principal Amount (‡) | Description | Value (†) |
Finance Companies — continued | ||
$12,710,000 | Blue Owl Capital Corp., 2.875%, 6/11/2028 | $11,156,773 |
14,750,000 | Blue Owl Capital Corp., 4.250%, 1/15/2026 | 14,251,569 |
12,680,000 | GATX Corp., 5.450%, 9/15/2033 | 12,758,138 |
545,000 | GATX Corp., 6.050%, 3/15/2034 | 565,972 |
4,615,000 | Nationstar Mortgage Holdings, Inc., 5.000%, 2/01/2026(a) | 4,513,277 |
2,635,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030(a) | 2,382,388 |
11,480,000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028(a) | 11,038,921 |
799,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 739,430 |
880,000 | OneMain Finance Corp., 3.875%, 9/15/2028 | 778,584 |
2,415,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 2,066,649 |
3,215,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 3,010,521 |
10,145,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 10,335,614 |
30,029,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(a) | 27,701,752 |
19,614,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(a) | 17,752,365 |
28,741,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(a) | 25,277,596 |
15,738,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(a) | 13,369,879 |
296,303,417 | ||
Financial Other — 0.8% | ||
9,560,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 1,153,223 |
3,680,000 | Central China Real Estate Ltd., 7.250%, 7/16/2024(d) | 168,360 |
1,455,000 | Central China Real Estate Ltd., 7.250%, 8/13/2024(d) | 67,032 |
2,565,000 | Central China Real Estate Ltd., 7.250%, 4/28/2025(d) | 113,706 |
3,675,000 | Central China Real Estate Ltd., 7.500%, 7/14/2025(d) | 161,186 |
945,000 | Central China Real Estate Ltd., 7.650%, 8/27/2025(d) | 42,960 |
730,000 | Central China Real Estate Ltd., 7.750%, 5/24/2024(d) | 32,565 |
2,815,000 | CIFI Holdings Group Co. Ltd., 6.000%, 7/16/2025(d) | 182,975 |
990,000 | CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024(d) | 64,350 |
Principal Amount (‡) | Description | Value (†) |
Financial Other — continued | ||
$7,770,000 | Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031(d) | $624,941 |
36,625,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 30,584,072 |
19,485,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(d) | 631,119 |
1,845,000 | Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(d) | 67,822 |
2,400,000 | Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(d) | 78,504 |
24,005,000 | Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(d) | 690,144 |
1,305,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(d) | 37,519 |
1,735,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(d) | 56,041 |
5,965,000 | Logan Group Co. Ltd., 4.250%, 7/12/2025(d) | 387,725 |
5,148,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(d) | 334,620 |
6,195,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d) | 232,313 |
400,000 | Shimao Group Holdings Ltd., 4.600%, 7/13/2030(d) | 14,556 |
1,515,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d) | 48,889 |
4,675,000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026(d) | 181,016 |
1,465,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d) | 58,600 |
1,529,014 | Sunac China Holdings Ltd., 6.000% PIK or 5.000% Cash, 9/30/2026(a)(e) | 186,998 |
1,529,014 | Sunac China Holdings Ltd., 6.250% PIK or 5.250% Cash, 9/30/2027(a)(e) | 162,335 |
3,058,031 | Sunac China Holdings Ltd., 6.500% PIK or 5.500% Cash, 9/30/2027(a)(e) | 285,467 |
4,587,047 | Sunac China Holdings Ltd., 6.750% PIK or 5.750% Cash, 9/30/2028(a)(e) | 363,569 |
4,587,047 | Sunac China Holdings Ltd., 7.000% PIK or 6.000% Cash, 9/30/2029(a)(e) | 340,818 |
2,154,725 | Sunac China Holdings Ltd., 7.250% PIK or 6.250% Cash, 9/30/2030(a)(e) | 137,342 |
1,120,000 | Times China Holdings Ltd., 5.750%, 1/14/2027(d) | 22,490 |
7,485,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(d) | 168,413 |
440,000 | Times China Holdings Ltd., 6.750%, 7/08/2025(d) | 8,910 |
3,175,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d) | 196,279 |
6,250,000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(d) | 389,312 |
Principal Amount (‡) | Description | Value (†) |
Financial Other — continued | ||
$1,585,000 | Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(d) | $101,091 |
4,025,000 | Yuzhou Group Holdings Co. Ltd., 8.300%, 5/27/2025(d) | 241,500 |
38,618,762 | ||
Food & Beverage — 0.5% | ||
5,695,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029 | 5,009,290 |
17,905,000 | Pilgrim's Pride Corp., 3.500%, 3/01/2032 | 15,137,245 |
995,000 | Pilgrim's Pride Corp., 4.250%, 4/15/2031 | 898,706 |
21,045,241 | ||
Gaming — 0.8% | ||
19,755,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031(a) | 16,853,291 |
5,810,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 4,905,106 |
4,670,000 | Light & Wonder International, Inc., 7.000%, 5/15/2028(a) | 4,717,523 |
415,000 | Light & Wonder International, Inc., 7.250%, 11/15/2029(a) | 424,923 |
2,325,000 | Light & Wonder International, Inc., 7.500%, 9/01/2031(a) | 2,425,105 |
8,621,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026(a) | 8,344,473 |
37,670,421 | ||
Government Owned - No Guarantee — 0.5% | ||
28,145,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 22,473,782 |
2,735,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 8/05/2029(d) | 210,349 |
5,250,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030(d) | 425,828 |
23,109,959 | ||
Health Insurance — 0.9% | ||
810,000 | Centene Corp., 2.500%, 3/01/2031 | 674,861 |
8,940,000 | Centene Corp., 2.625%, 8/01/2031 | 7,417,717 |
9,506,000 | Centene Corp., 3.000%, 10/15/2030 | 8,232,609 |
5,870,000 | Centene Corp., 3.375%, 2/15/2030 | 5,266,741 |
13,295,000 | Centene Corp., 4.625%, 12/15/2029 | 12,746,281 |
6,470,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032(a) | 5,653,252 |
39,991,461 | ||
Healthcare — 0.6% | ||
135,000 | Bausch & Lomb Escrow Corp., 8.375%, 10/01/2028(a) | 142,417 |
28,490,000 | HCA, Inc., 5.500%, 6/01/2033 | 28,937,369 |
29,079,786 |
Principal Amount (‡) | Description | Value (†) |
Home Construction — 0.3% | ||
$12,840,000 | PulteGroup, Inc., 6.000%, 2/15/2035 | $13,482,745 |
Independent Energy — 3.3% | ||
17,555,000 | Aker BP ASA, 4.000%, 1/15/2031(a) | 16,118,973 |
1,925,000 | Civitas Resources, Inc., 8.625%, 11/01/2030(a) | 2,041,890 |
14,715,000 | Continental Resources, Inc., 2.875%, 4/01/2032(a) | 11,937,330 |
45,285,000 | Continental Resources, Inc., 5.750%, 1/15/2031(a) | 45,079,371 |
12,510,000 | Energian Israel Finance Ltd., 5.875%, 3/30/2031(a) | 10,542,152 |
11,721,000 | EQT Corp., 3.625%, 5/15/2031(a) | 10,467,674 |
2,329,000 | EQT Corp., 5.000%, 1/15/2029 | 2,307,158 |
10,210,000 | EQT Corp., 7.000%, 2/01/2030 | 10,957,780 |
2,040,000 | Matador Resources Co., 6.875%, 4/15/2028(a) | 2,069,204 |
6,591,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 7,006,680 |
828,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 854,017 |
4,156,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 4,302,764 |
553,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 600,083 |
1,815,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 1,999,384 |
2,285,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 2,570,564 |
27,050,000 | Sanchez Energy Corp., 6.125%, 1/15/2023(d) | 1,825,875 |
12,420,000 | Sanchez Energy Corp., 7.750%, 6/15/2021(d) | 838,350 |
2,150,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 1,989,206 |
10,345,000 | Var Energi ASA, 8.000%, 11/15/2032(a) | 11,582,262 |
3,125,000 | Viper Energy, Inc., 7.375%, 11/01/2031(a) | 3,234,375 |
148,325,092 | ||
Industrial Other — 0.1% | ||
5,995,000 | TopBuild Corp., 4.125%, 2/15/2032(a) | 5,333,045 |
Leisure — 1.4% | ||
13,160,000 | Carnival Corp., 5.750%, 3/01/2027(a) | 12,836,705 |
3,415,000 | Carnival Corp., 6.000%, 5/01/2029(a) | 3,285,932 |
1,660,000 | Carnival Corp., 7.000%, 8/15/2029(a) | 1,733,239 |
10,030,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(a) | 9,800,891 |
7,630,000 | NCL Corp. Ltd., 5.875%, 2/15/2027(a) | 7,538,669 |
7,820,000 | NCL Corp. Ltd., 8.125%, 1/15/2029(a) | 8,168,631 |
3,695,000 | NCL Finance Ltd., 6.125%, 3/15/2028(a) | 3,536,972 |
18,780,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(a) | 18,540,720 |
65,441,759 |
Principal Amount (‡) | Description | Value (†) |
Life Insurance — 3.6% | ||
$6,099,000 | Brighthouse Financial, Inc., 4.700%, 6/22/2047 | $4,847,500 |
20,335,000 | Brighthouse Financial, Inc., 5.625%, 5/15/2030 | 20,593,494 |
2,030,000 | MetLife, Inc., 9.250%, 4/08/2068(a) | 2,279,782 |
10,175,000 | MetLife, Inc., 10.750%, 8/01/2069 | 13,604,209 |
57,985,000 | Mutual of Omaha Insurance Co., 6.800%, 6/15/2036(a) | 61,442,247 |
38,476,000 | National Life Insurance Co., 10.500%, 9/15/2039(a) | 49,983,787 |
12,950,000 | NLV Financial Corp., 7.500%, 8/15/2033(a) | 13,544,146 |
166,295,165 | ||
Lodging — 1.0% | ||
11,490,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032(a) | 10,027,424 |
2,475,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 4.875%, 7/01/2031(a) | 2,190,875 |
8,090,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc., 5.000%, 6/01/2029(a) | 7,463,396 |
6,155,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(a) | 5,423,849 |
10,440,000 | Travel & Leisure Co., 4.500%, 12/01/2029(a) | 9,349,907 |
10,574,000 | Travel & Leisure Co., 4.625%, 3/01/2030(a) | 9,456,328 |
43,911,779 | ||
Media Entertainment — 1.6% | ||
5,896,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028(a) | 4,535,822 |
8,005,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027(a) | 6,360,573 |
22,040,000 | Netflix, Inc., 4.875%, 6/15/2030(a) | 22,316,624 |
2,757,000 | Netflix, Inc., 5.375%, 11/15/2029(a) | 2,848,309 |
17,879,000 | Netflix, Inc., 6.375%, 5/15/2029 | 19,439,068 |
1,280,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 7.375%, 2/15/2031(a) | 1,344,179 |
16,368,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032 | 14,980,059 |
71,824,634 | ||
Metals & Mining — 3.8% | ||
19,906,000 | ArcelorMittal SA, 6.750%, 3/01/2041 | 21,047,105 |
470,000 | ArcelorMittal SA, 7.000%, 10/15/2039 | 508,405 |
7,370,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026(a) | 6,597,149 |
31,810,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027(a) | 27,033,569 |
Principal Amount (‡) | Description | Value (†) |
Metals & Mining — continued | ||
$7,157,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025(a) | $6,824,165 |
23,837,000 | Glencore Funding LLC, 2.500%, 9/01/2030(a) | 20,408,048 |
18,511,000 | Glencore Funding LLC, 5.700%, 5/08/2033(a) | 19,205,509 |
15,720,000 | Glencore Funding LLC, 6.125%, 10/06/2028(a) | 16,468,439 |
15,080,000 | Glencore Funding LLC, 6.375%, 10/06/2030(a) | 16,189,941 |
33,380,000 | Glencore Funding LLC, 6.500%, 10/06/2033(a) | 36,391,485 |
2,865,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026(a) | 1,780,061 |
172,453,876 | ||
Midstream — 1.0% | ||
3,435,000 | Cheniere Energy Partners LP, 3.250%, 1/31/2032 | 2,926,729 |
2,290,000 | Cheniere Energy Partners LP, 4.000%, 3/01/2031 | 2,081,937 |
1,955,000 | Cheniere Energy Partners LP, 4.500%, 10/01/2029 | 1,869,893 |
9,050,000 | DCP Midstream Operating LP, 6.450%, 11/03/2036(a) | 9,623,082 |
3,745,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030(a) | 3,445,400 |
205,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037(a) | 227,991 |
5,300,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 | 4,829,572 |
1,365,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 1,325,975 |
2,635,000 | Western Midstream Operating LP, 4.050%, 2/01/2030 | 2,464,095 |
3,495,000 | Western Midstream Operating LP, 5.250%, 2/01/2050 | 3,133,479 |
6,105,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 5,312,730 |
1,130,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 1,022,994 |
840,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 749,116 |
1,090,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | 1,132,366 |
3,795,000 | Western Midstream Operating LP, 6.350%, 1/15/2029 | 3,963,536 |
44,108,895 | ||
Mortgage Related — 0.0% | ||
3,552 | Federal Home Loan Mortgage Corp., 5.000%, 12/01/2031 | 3,576 |
Principal Amount (‡) | Description | Value (†) |
Natural Gas — 0.1% | ||
$2,620,000 | Southern Co. Gas Capital Corp., 5.750%, 9/15/2033 | $2,750,991 |
Non-Agency Commercial Mortgage-Backed Securities — 1.6% | ||
505,000 | BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036(a) | 360,717 |
11,095,000 | BPR Trust, Series 2021-NRD, Class F, 1 mo. USD SOFR + 6.870%, 12.232%, 12/15/2038(a)(b) | 9,951,617 |
7,790,000 | BPR Trust, Series 2022-STAR, Class A, 1 mo. USD SOFR + 3.232%, 8.594%, 8/15/2024(a)(b) | 7,755,783 |
110,891 | Commercial Mortgage Pass-Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045(a) | 98,692 |
149,526 | Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030(a) | 130,170 |
6,710,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037(a) | 5,426,444 |
630,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class C, 4.336%, 9/15/2037(a) | 441,394 |
2,530,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037(a) | 1,470,963 |
5,850,000 | DC Commercial Mortgage Trust, Series 2023-DC, Class C, 7.141%, 9/12/2040(a)(b) | 5,995,788 |
4,032,461 | Extended Stay America Trust, Series 2021-ESH, Class C, 1 mo. USD SOFR + 1.814%, 7.177%, 7/15/2038(a)(b) | 3,966,618 |
2,898,331 | Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD SOFR + 2.364%, 7.727%, 7/15/2038(a)(b) | 2,847,368 |
2,014,382 | GS Mortgage Securities Corp. Trust, Series 2013-G1, Class B, 3.721%, 4/10/2031(a)(b) | 1,774,953 |
3,760,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class B, 3.550%, 3/05/2033(a)(b) | 2,683,181 |
435,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 3.784%, 12/15/2047(a)(b) | 350,951 |
6,031,056 | Med Trust, Series 2021-MDLN, Class C, 1 mo. USD SOFR + 1.914%, 7.277%, 11/15/2038(a)(b) | 5,902,362 |
2,488,059 | Med Trust, Series 2021-MDLN, Class D, 1 mo. USD SOFR + 2.114%, 7.477%, 11/15/2038(a)(b) | 2,422,478 |
Principal Amount (‡) | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$1,705,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.077%, 8/15/2046(b) | $992,310 |
1,295,490 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030(a) | 1,114,679 |
6,581,966 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 3.954%, 7/15/2046(b) | 5,722,589 |
4,970,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(b) | 4,208,454 |
1,456,305 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045 | 1,256,590 |
7,750,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.204%, 8/15/2046(b) | 6,310,930 |
2,915,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 2,258,542 |
73,443,573 | ||
Other REITs — 0.1% | ||
4,125,000 | EPR Properties, 3.600%, 11/15/2031 | 3,421,140 |
Pharmaceuticals — 2.1% | ||
22,455,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(a) | 13,523,369 |
9,370,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 8,967,015 |
7,475,000 | Teva Pharmaceutical Finance Netherlands II BV, 7.375%, 9/15/2029, (EUR) | 9,012,864 |
6,270,000 | Teva Pharmaceutical Finance Netherlands II BV, 7.875%, 9/15/2031, (EUR) | 7,830,941 |
5,031,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 4,658,201 |
25,967,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 17,575,714 |
15,545,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 14,884,335 |
10,545,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 10,070,964 |
5,520,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 5,949,241 |
3,965,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 4,324,154 |
96,796,798 |
Principal Amount (‡) | Description | Value (†) |
Property & Casualty Insurance — 0.3% | ||
$80,000 | MBIA Insurance Corp., 3 mo. USD SOFR + 11.522%, 16.853%, 1/15/2033(f) | $2,800 |
13,985,000 | MBIA Insurance Corp., 3 mo. USD SOFR + 11.522%, 16.916%, 1/15/2033(a)(f) | 489,475 |
17,110,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 13,327,399 |
13,819,674 | ||
Retailers — 0.8% | ||
4,680,000 | Dillard's, Inc., 7.000%, 12/01/2028 | 4,870,148 |
7,182,000 | Dillard's, Inc., 7.750%, 7/15/2026 | 7,494,489 |
2,250,000 | Dillard's, Inc., 7.750%, 5/15/2027 | 2,358,720 |
15,105,000 | Lithia Motors, Inc., 3.875%, 6/01/2029(a) | 13,696,005 |
9,245,000 | Marks & Spencer PLC, 7.125%, 12/01/2037(a) | 9,283,552 |
37,702,914 | ||
Sovereigns — 0.1% | ||
3,840,000 | Republic of Uzbekistan International Bonds, 7.850%, 10/12/2028(a) | 4,010,419 |
Technology — 6.2% | ||
15,580,000 | Avnet, Inc., 5.500%, 6/01/2032 | 15,414,302 |
8,675,000 | Block, Inc., 3.500%, 6/01/2031 | 7,702,975 |
4,335,000 | Broadcom, Inc., 2.450%, 2/15/2031(a) | 3,706,698 |
3,950,000 | Broadcom, Inc., 2.600%, 2/15/2033(a) | 3,254,204 |
11,215,000 | Broadcom, Inc., 3.137%, 11/15/2035(a) | 9,207,334 |
7,070,000 | Broadcom, Inc., 3.419%, 4/15/2033(a) | 6,209,630 |
10,988,000 | Broadcom, Inc., 3.469%, 4/15/2034(a) | 9,559,615 |
13,741,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 13,125,134 |
3,450,000 | Broadcom, Inc., 4.150%, 4/15/2032(a) | 3,252,225 |
8,626,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 7,887,571 |
1,945,000 | CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028 | 1,782,340 |
19,353,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 17,152,951 |
3,178,000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | 3,043,504 |
9,935,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(a) | 4,135,444 |
22,085,000 | CommScope, Inc., 4.750%, 9/01/2029(a) | 14,827,991 |
19,780,000 | Entegris Escrow Corp., 4.750%, 4/15/2029(a) | 19,056,325 |
5,235,000 | Gartner, Inc., 3.625%, 6/15/2029(a) | 4,725,025 |
920,000 | Gartner, Inc., 3.750%, 10/01/2030(a) | 813,253 |
Principal Amount (‡) | Description | Value (†) |
Technology — continued | ||
$6,145,000 | Global Payments, Inc., 2.900%, 11/15/2031 | $5,256,366 |
7,515,000 | Global Payments, Inc., 5.400%, 8/15/2032 | 7,588,252 |
3,815,000 | GTCR W-2 Merger Sub LLC, 7.500%, 1/15/2031(a) | 4,031,396 |
13,265,000 | Iron Mountain, Inc., 4.875%, 9/15/2029(a) | 12,563,063 |
10,470,000 | Leidos, Inc., 5.750%, 3/15/2033 | 10,917,885 |
8,630,000 | Marvell Technology, Inc., 2.950%, 4/15/2031 | 7,541,462 |
915,000 | Marvell Technology, Inc., 5.950%, 9/15/2033 | 970,257 |
15,190,000 | Micron Technology, Inc., 5.875%, 2/09/2033 | 15,788,284 |
39,785,000 | Micron Technology, Inc., 5.875%, 9/15/2033 | 41,379,675 |
845,000 | Seagate HDD Cayman, 4.091%, 6/01/2029 | 783,011 |
615,825 | Seagate HDD Cayman, 9.625%, 12/01/2032 | 704,196 |
1,035,000 | Sensata Technologies BV, 5.875%, 9/01/2030(a) | 1,028,289 |
945,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(a) | 832,290 |
13,318,000 | VMware LLC, 2.200%, 8/15/2031 | 11,035,460 |
6,775,000 | Western Digital Corp., 2.850%, 2/01/2029 | 5,832,435 |
10,601,000 | Western Digital Corp., 4.750%, 2/15/2026 | 10,399,775 |
281,508,617 | ||
Transportation Services — 0.1% | ||
3,580,000 | Rand Parent LLC, 8.500%, 2/15/2030(a) | 3,424,091 |
Treasuries — 12.0% | ||
160,163(g ) | Brazil Notas do Tesouro Nacional, Series NTNF, 10.000%, 1/01/2029, (BRL) | 32,892,229 |
151,482,000,000 | Indonesia Treasury Bonds, Series 101, 6.875%, 4/15/2029, (IDR) | 9,972,435 |
187,857,000,000 | Indonesia Treasury Bonds, Series FR95, 6.375%, 8/15/2028, (IDR) | 12,159,156 |
4,153,011(h ) | Mexico Bonos, Series M, 7.500%, 5/26/2033, (MXN) | 22,149,311 |
487,970,000 | Republic of South Africa Government Bonds, Series 2035, 8.875%, 2/28/2035, (ZAR) | 22,501,173 |
222,380,000 | U.S. Treasury Bonds, 3.250%, 5/15/2042(i) | 195,103,703 |
250,075,000 | U.S. Treasury Notes, 4.625%, 6/30/2025 | 250,670,881 |
545,448,888 |
Principal Amount (‡) | Description | Value (†) |
Wireless — 1.2% | ||
$16,680,000 | American Tower Corp., 5.900%, 11/15/2033 | $17,659,525 |
8,585,000 | IHS Holding Ltd., 5.625%, 11/29/2026(a) | 7,449,548 |
7,160,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 6,531,066 |
15,080,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 18,612,686 |
5,595,000 | T-Mobile USA, Inc., 5.750%, 1/15/2034 | 5,934,292 |
56,187,117 | ||
Wirelines — 0.1% | ||
3,825,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 3,190,356 |
Total Non-Convertible Bonds (Identified Cost $4,039,870,006) | 3,640,484,186 | |
Convertible Bonds — 5.8% | ||
Airlines — 0.4% | ||
20,089,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 20,299,935 |
Cable Satellite — 2.1% | ||
184,765,000 | DISH Network Corp., 3.375%, 8/15/2026 | 97,925,450 |
Consumer Cyclical Services — 0.4% | ||
18,940,000 | Uber Technologies, Inc., Zero Coupon, 0.000%–5.582%, 12/15/2025(j) | 19,259,306 |
Electric — 0.3% | ||
13,060,000 | PPL Capital Funding, Inc., 2.875%, 3/15/2028(a) | 12,648,610 |
Financial Other — 0.0% | ||
1,890,065 | Sunac China Holdings Ltd., 7.800% PIK or 7.800% Cash, 9/30/2032(a)(e) | 141,755 |
Gaming — 0.1% | ||
3,339,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | 4,324,005 |
Healthcare — 0.7% | ||
36,387,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 29,906,475 |
Leisure — 0.2% | ||
9,795,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 9,005,327 |
Media Entertainment — 0.2% | ||
7,780,000 | Spotify USA, Inc., Zero Coupon, 5.189%–5.873%, 3/15/2026(j) | 6,846,400 |
Pharmaceuticals — 1.1% | ||
13,963,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 13,761,933 |
Principal Amount (‡) | Description | Value (†) |
Pharmaceuticals — continued | ||
$27,688,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | $28,432,807 |
6,370,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 5,955,440 |
48,150,180 | ||
Retailers — 0.2% | ||
2,540,000 | Etsy, Inc., 0.125%, 9/01/2027 | 2,160,524 |
7,875,000 | Etsy, Inc., 0.250%, 6/15/2028 | 6,304,725 |
8,465,249 | ||
Technology — 0.1% | ||
7,845,000 | Unity Software, Inc., Zero Coupon, 7.084%–8.213%, 11/15/2026(j) | 6,519,195 |
Total Convertible Bonds (Identified Cost $379,036,131) | 263,491,887 | |
Municipals — 1.6% | ||
Virginia — 1.6% | ||
86,930,000 | Tobacco Settlement Financing Corp., 6.706%, 6/01/2046 (Identified Cost $86,294,794) | 74,680,850 |
Total Bonds and Notes (Identified Cost $4,505,200,931) | 3,978,656,923 | |
Collateralized Loan Obligations — 4.3% | ||
9,977,000 | 522 Funding CLO Ltd., Series 2018-3A, Class DR, 3 mo. USD SOFR + 3.362%, 8.777%, 10/20/2031(a)(b) | 9,964,479 |
7,140,000 | AGL CLO 12 Ltd., Series 2021-12A, Class B, 3 mo. USD SOFR + 1.862%, 7.277%, 7/20/2034(a)(b) | 7,108,870 |
7,240,000 | AGL CLO 12 Ltd., Series 2021-12A, Class D, 3 mo. USD SOFR + 3.112%, 8.527%, 7/20/2034(a)(b) | 7,063,631 |
1,805,000 | AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3 mo. USD SOFR + 3.362%, 8.756%, 7/15/2034(a)(b) | 1,791,121 |
7,810,000 | AIMCO CLO 12 Ltd., Series 2020-12A, Class AR, 3 mo. USD SOFR + 1.170%, 6.573%, 1/17/2032(a)(b) | 7,801,761 |
3,955,000 | ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3 mo. USD SOFR + 3.262%, 8.656%, 10/15/2034(a)(b) | 3,900,615 |
5,225,000 | Bain Capital Credit CLO Ltd., Series 2017-2A, Class DR2, 3 mo. USD SOFR + 3.362%, 8.740%, 7/25/2034(a)(b) | 5,224,587 |
1,340,000 | Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3 mo. USD SOFR + 1.662%, 7.029%, 11/20/2030(a)(b) | 1,333,812 |
Principal Amount (‡) | Description | Value (†) |
$2,245,000 | Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3 mo. USD SOFR + 3.262%, 8.664%, 1/17/2032(a)(b) | $2,229,464 |
5,790,000 | Carlyle U.S. CLO Ltd., Series 2016-4A, Class A2R, 3 mo. USD SOFR + 1.712%, 7.127%, 10/20/2027(a)(b) | 5,785,646 |
5,225,000 | CarVal CLO III Ltd., Series 2019-2A, Class DR, 3 mo. USD SOFR + 3.212%, 8.627%, 7/20/2032(a)(b) | 5,123,480 |
10,050,000 | Clover CLO LLC, Series 2021-1A, Class D, 3 mo. USD SOFR + 3.212%, 8.624%, 4/22/2034(a)(b) | 9,995,559 |
5,605,000 | Clover CLO LLC, Series 2021-2A, Class D, 3 mo. USD SOFR + 3.312%, 8.727%, 7/20/2034(a)(b) | 5,592,512 |
6,075,000 | Crown City CLO I, Series 2020-1A, Class CR, 3 mo. USD SOFR + 3.682%, 9.097%, 7/20/2034(a)(b) | 5,895,399 |
4,085,000 | Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3 mo. USD SOFR + 3.112%, 8.527%, 1/20/2034(a)(b) | 4,060,305 |
8,760,000 | LCM 30 Ltd., Series 30A, Class BR, 3 mo. USD SOFR + 1.762%, 7.177%, 4/20/2031(a)(b) | 8,577,941 |
1,470,000 | LCM 30 Ltd., Series 30A, Class CR, 3 mo. USD SOFR + 2.262%, 7.677%, 4/20/2031(a)(b) | 1,425,909 |
4,215,000 | LCM 30 Ltd., Series 30A, Class DR, 3 mo. USD SOFR + 3.262%, 8.677%, 4/20/2031(a)(b) | 4,041,261 |
15,835,000 | Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3 mo. USD SOFR + 3.462%, 8.849%, 7/27/2031(a)(b) | 15,838,531 |
1,260,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3 mo. USD SOFR + 3.262%, 8.674%, 1/23/2031(a)(b) | 1,240,131 |
9,225,000 | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3 mo. USD SOFR + 1.912%, 7.306%, 7/15/2034(a)(b) | 9,224,502 |
11,920,000 | OCP CLO Ltd., Series 2019-17A, Class DR, 3 mo. USD SOFR + 3.362%, 8.777%, 7/20/2032(a)(b) | 11,704,343 |
10,585,000 | Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3 mo. USD SOFR + 3.412%, 8.806%, 7/15/2034(a)(b) | 10,513,382 |
4,920,000 | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3 mo. USD SOFR + 3.562%, 8.956%, 7/15/2036(a)(b) | 4,663,053 |
Principal Amount (‡) | Description | Value (†) |
$12,430,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3 mo. USD SOFR + 1.912%, 7.327%, 7/02/2035(a)(b) | $12,417,980 |
5,120,000 | Palmer Square CLO Ltd., Series 2013-2A, Class CR3, 3 mo. USD SOFR + 2.962%, 8.364%, 10/17/2031(a)(b) | 5,051,172 |
2,970,000 | Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3 mo. USD SOFR + 1.962%, 7.329%, 5/21/2034(a)(b) | 2,968,539 |
10,855,507 | Rockford Tower CLO Ltd., Series 2018-1A, Class A, 3 mo. USD SOFR + 1.362%, 6.729%, 5/20/2031(a)(b) | 10,855,876 |
6,075,000 | Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, 3 mo. USD SOFR + 1.422%, 6.824%, 4/17/2034(a)(b) | 6,074,800 |
700,000 | THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3 mo. USD SOFR + 3.212%, 8.627%, 1/20/2031(a)(b) | 676,705 |
5,300,000 | Verde CLO Ltd., Series 2019-1A, Class AR, 3 mo. USD SOFR + 1.362%, 6.756%, 4/15/2032(a)(b) | 5,294,790 |
2,135,000 | Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3 mo. USD SOFR + 4.012%, 9.427%, 10/20/2034(a)(b) | 2,107,890 |
Total Collateralized Loan Obligations (Identified Cost $196,773,310) | 195,548,046 |
Shares | ||
Common Stocks— 1.9% | ||
Aerospace & Defense — 0.1% | ||
5,197 | Lockheed Martin Corp. | 2,355,488 |
Air Freight & Logistics — 0.1% | ||
11,101 | United Parcel Service, Inc., Class B | 1,745,410 |
Banks — 0.0% | ||
8,236 | JPMorgan Chase & Co. | 1,400,944 |
Beverages — 0.1% | ||
37,856 | Coca-Cola Co. | 2,230,854 |
Biotechnology — 0.2% | ||
62,041 | AbbVie, Inc. | 9,614,494 |
Capital Markets — 0.0% | ||
783 | BlackRock, Inc. | 635,640 |
6,437 | Morgan Stanley | 600,250 |
1,235,890 |
Shares | Description | Value (†) |
Chemicals — 0.0% | ||
2,072 | Linde PLC | $850,991 |
Communications Equipment — 0.0% | ||
10,881 | Cisco Systems, Inc. | 549,708 |
Consumer Staples Distribution & Retail — 0.1% | ||
2,689 | Costco Wholesale Corp. | 1,774,955 |
8,476 | Walmart, Inc. | 1,336,242 |
3,111,197 | ||
Containers & Packaging — 0.0% | ||
4,119 | Packaging Corp. of America | 671,026 |
Diversified REITs — 0.0% | ||
172,539 | NexPoint Diversified Real Estate Trust | 1,371,685 |
Electric Utilities — 0.0% | ||
10,137 | Duke Energy Corp. | 983,695 |
Electrical Equipment — 0.0% | ||
7,852 | Emerson Electric Co. | 764,235 |
Financial Services — 0.0% | ||
2,030 | Mastercard, Inc., Class A | 865,815 |
Ground Transportation — 0.0% | ||
5,321 | Union Pacific Corp. | 1,306,944 |
Health Care Equipment & Supplies — 0.1% | ||
14,794 | Abbott Laboratories | 1,628,376 |
Health Care Providers & Services — 0.1% | ||
4,484 | Elevance Health, Inc. | 2,114,475 |
3,002 | UnitedHealth Group, Inc. | 1,580,463 |
3,694,938 | ||
Hotels, Restaurants & Leisure — 0.0% | ||
16,518 | Starbucks Corp. | 1,585,893 |
Household Products — 0.1% | ||
11,342 | Procter & Gamble Co. | 1,662,057 |
IT Services — 0.0% | ||
942 | Accenture PLC, Class A | 330,557 |
Life Sciences Tools & Services — 0.0% | ||
1,849 | Thermo Fisher Scientific, Inc. | 981,431 |
Machinery — 0.0% | ||
3,438 | Deere & Co. | 1,374,753 |
Media — 0.2% | ||
2,006,877 | Altice USA, Inc., Class A(f) | 6,522,350 |
34,294 | Comcast Corp., Class A | 1,503,792 |
705,779 | iHeartMedia, Inc., Class A(f) | 1,884,430 |
9,910,572 | ||
Metals & Mining — 0.0% | ||
31,332 | Newmont Corp. | 1,296,832 |
Oil, Gas & Consumable Fuels — 0.4% | ||
93,585 | Battalion Oil Corp.(f) | 899,352 |
130,858 | Canadian Natural Resources Ltd. | 8,573,816 |
Shares | Description | Value (†) |
Oil, Gas & Consumable Fuels — continued | ||
43,710 | Diamondback Energy, Inc. | $6,778,547 |
6,752 | Pioneer Natural Resources Co. | 1,518,390 |
32,108 | Williams Cos., Inc. | 1,118,321 |
18,888,426 | ||
Pharmaceuticals — 0.1% | ||
26,886 | Bristol-Myers Squibb Co. | 1,379,520 |
9,051 | Johnson & Johnson | 1,418,654 |
9,800 | Merck & Co., Inc. | 1,068,396 |
3,866,570 | ||
Professional Services — 0.0% | ||
7,905 | Clarivate PLC(f) | 73,200 |
Semiconductors & Semiconductor Equipment — 0.1% | ||
1,975 | Broadcom, Inc. | 2,204,594 |
19,437 | Microchip Technology, Inc. | 1,752,828 |
14,192 | QUALCOMM, Inc. | 2,052,589 |
6,010,011 | ||
Software — 0.1% | ||
5,485 | Microsoft Corp. | 2,062,579 |
Specialized REITs — 0.0% | ||
7,071 | American Tower Corp. | 1,526,488 |
Specialty Retail — 0.0% | ||
4,428 | Home Depot, Inc. | 1,534,523 |
Technology Hardware, Storage & Peripherals — 0.1% | ||
9,899 | Apple, Inc. | 1,905,854 |
17,622 | IQOR US, Inc.(f) | 14,873 |
1,920,727 | ||
Trading Companies & Distributors — 0.0% | ||
14,097 | Fastenal Co. | 913,063 |
Total Common Stocks (Identified Cost $143,779,309) | 88,319,372 |
Principal Amount (‡) | ||
Senior Loans — 0.9% | ||
Aerospace & Defense — 0.0% | ||
$1,025,000 | TransDigm, Inc., 2023 Term Loan J, 2/14/2031(k) | 1,028,844 |
Building Materials — 0.1% | ||
4,595,000 | Summit Materials LLC, 2023 Incremental Term Loan B, 11/30/2028(k) | 4,609,382 |
Consumer Cyclical Services — 0.1% | ||
5,885,961 | Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 2.750%, 8.135%, 3/03/2030(b)(l) | 5,900,088 |
Principal Amount (‡) | Description | Value (†) |
Healthcare — 0.1% | ||
$7,061,873 | Star Parent, Inc., Term Loan B, 3 mo. USD SOFR + 4.000%, 9.348%, 9/27/2030(b)(l) | $6,970,634 |
Leisure — 0.3% | ||
8,754,290 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.720%, 10/18/2028(b)(l) | 8,757,967 |
2,957,271 | Carnival Corp., 2023 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.357%, 8/08/2027(b)(l) | 2,959,725 |
11,717,692 | ||
Property & Casualty Insurance — 0.1% | ||
3,600,000 | HUB International Ltd., 2023 Term Loan B, 3 mo. USD SOFR + 4.250%, 9.662%, 6/20/2030(b)(l) | 3,613,572 |
Restaurants — 0.1% | ||
6,385,154 | 1011778 B.C. Unlimited Liability Co., 2023 Term Loan B5, 1 mo. USD SOFR + 2.250%, 7.606%, 9/20/2030(b)(l) | 6,382,855 |
Technology — 0.1% | ||
3,714,000 | GTCR W Merger Sub LLC, USD Term Loan B, 9/20/2030(k) | 3,727,927 |
Total Senior Loans (Identified Cost $43,737,719) | 43,950,994 |
Shares | ||
Preferred Stocks — 0.9% | ||
Convertible Preferred Stocks — 0.6% | ||
Banking — 0.5% | ||
11,325 | Bank of America Corp., Series L, 7.250% | 13,649,796 |
5,865 | Wells Fargo & Co., Series L, Class A, 7.500% | 7,012,311 |
20,662,107 | ||
Technology — 0.1% | ||
170,945 | Clarivate PLC, Series A, 5.250% | 6,547,194 |
Total Convertible Preferred Stocks (Identified Cost $41,807,482) | 27,209,301 | |
Non-Convertible Preferred Stocks — 0.3% | ||
Home Construction — 0.0% | ||
52,867 | Hovnanian Enterprises, Inc., 7.625% | 978,040 |
Office REITs — 0.1% | ||
2,318 | Highwoods Properties, Inc., Series A, 8.625%(m) | 2,294,242 |
Shares | Description | Value (†) |
Other REITs — 0.2% | ||
169,007 | Prologis, Inc., Series Q, 8.540% | $9,295,385 |
Total Non-Convertible Preferred Stocks (Identified Cost $10,716,140) | 12,567,667 | |
Total Preferred Stocks (Identified Cost $52,523,622) | 39,776,968 |
Principal Amount (‡) | ||
Short-Term Investments — 3.8% | ||
$60,588,748 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $60,605,578 on 1/02/2024 collateralized by $64,170,900 U.S. Treasury Note, 2.500% due 3/31/2027 valued at $61,800,530 including accrued interest (Note 2 of Notes to Financial Statements) | 60,588,748 |
22,620,000 | U.S. Treasury Bills, 5.242%, 5/02/2024(n) | 22,227,903 |
45,065,000 | U.S. Treasury Bills, 5.262%, 5/09/2024(n) | 44,241,706 |
45,575,000 | U.S. Treasury Bills, 5.266%–5.270%, 1/25/2024(n)(o) | 45,421,471 |
Total Short-Term Investments (Identified Cost $172,437,146) | 172,479,828 | |
Total Investments — 99.1% (Identified Cost $5,114,452,037) | 4,518,732,131 | |
Other assets less liabilities — 0.9% | 38,869,301 | |
Net Assets — 100.0% | $4,557,601,432 |
(†) | See Note 2 of Notes to Financial Statements. |
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
(a) | 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 December 31, 2023, the value of Rule 144A holdings amounted to $2,006,580,570 or 44.0% of net assets. |
(b) | Variable rate security. Rate as of December 31, 2023 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. |
(c) | Perpetual bond with no specified maturity date. |
(d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(e) | 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. |
(f) | Non-income producing security. |
(g) | Amount shown represents units. One unit represents a principal amount of 1,000. |
(h) | Amount shown represents units. One unit represents a principal amount of 100. |
(i) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(j) | 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. |
(k) | Position is unsettled. Contract rate was not determined at December 31, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(l) | 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 2.50%, to which the spread is added. |
(m) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
(n) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(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. |
ABS | Asset-Backed Securities |
PIK | Payment-in-Kind |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
BRL | Brazilian Real |
EUR | Euro |
IDR | Indonesian Rupiah |
MXN | Mexican Peso |
ZAR | South African Rand |
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | |
Bank of America N.A. | 3/20/2024 | EUR | S | 12,884,000 | $14,124,214 | $14,267,024 | $(142,810 ) |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 10 Year U.S. Treasury Notes Futures | 3/19/2024 | 3,676 | $402,931,377 | $414,985,937 | $12,054,560 |
CBOT 2 Year U.S. Treasury Notes Futures | 3/28/2024 | 2,816 | 574,766,720 | 579,853,999 | 5,087,279 |
CBOT 5 Year U.S. Treasury Notes Futures | 3/28/2024 | 8,851 | 948,086,684 | 962,753,700 | 14,667,016 |
CBOT U.S. Long Bond Futures | 3/19/2024 | 2,666 | 318,433,483 | 333,083,375 | 14,649,892 |
CME Ultra Long Term U.S. Treasury Bond Futures | 3/19/2024 | 1,219 | 150,483,025 | 162,850,781 | 12,367,756 |
Total | $58,826,503 |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
Ultra 10-Year U.S. Treasury Notes Futures | 3/19/2024 | 8,198 | $943,531,418 | $967,492,094 | $(23,960,676 ) |
Treasuries | 12.0 % |
Cable Satellite | 7.2 |
Finance Companies | 6.5 |
Technology | 6.5 |
Banking | 6.2 |
ABS Home Equity | 4.0 |
Metals & Mining | 3.8 |
Life Insurance | 3.6 |
Pharmaceuticals | 3.3 |
ABS Car Loan | 3.3 |
Independent Energy | 3.3 |
ABS Other | 3.0 |
Other Investments, less than 2% each | 28.3 |
Collateralized Loan Obligations | 4.3 |
Short-Term Investments | 3.8 |
Total Investments | 99.1 |
Other assets less liabilities (including forward foreign currency and futures contracts) | 0.9 |
Net Assets | 100.0 % |
Principal Amount (‡) | Description | Value (†) |
Bonds and Notes — 87.7% of Net Assets | ||
Non-Convertible Bonds — 85.7% | ||
ABS Car Loan — 5.5% | ||
$70,936 | American Credit Acceptance Receivables Trust, Series 2020-3, Class D, 2.400%, 6/15/2026(a) | $70,772 |
100,000 | American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028(a) | 96,195 |
60,000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029(a) | 60,745 |
330,000 | American Credit Acceptance Receivables Trust, Series 2023-2, Class C, 5.960%, 8/13/2029(a) | 329,499 |
105,000 | American Credit Acceptance Receivables Trust, Series 2023-3, Class D, 6.820%, 10/12/2029(a) | 106,941 |
200,000 | American Credit Acceptance Receivables Trust, Series 2023-4, Class D, 7.650%, 9/12/2030(a) | 206,147 |
600,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027(a) | 559,705 |
190,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-4A, Class C, 7.240%, 6/20/2029(a) | 194,014 |
100,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-8A, Class C, 7.340%, 2/20/2030(a) | 102,006 |
445,000 | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class D, 7.840%, 8/15/2029 | 462,089 |
100,000 | CarMax Auto Owner Trust, Series 2021-3, Class D, 1.500%, 1/18/2028 | 92,259 |
100,000 | CarMax Auto Owner Trust, Series 2022-1, Class D, 2.470%, 7/17/2028 | 91,708 |
40,000 | CarMax Auto Owner Trust, Series 2023-2, Class D, 6.550%, 10/15/2029 | 40,254 |
65,000 | CarMax Auto Owner Trust, Series 2023-4, Class D, 7.160%, 4/15/2030 | 66,846 |
250,000 | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030(a) | 248,061 |
260,000 | Credit Acceptance Auto Loan Trust, Series 2021-2A, Class C, 1.640%, 6/17/2030(a) | 253,113 |
250,000 | Credit Acceptance Auto Loan Trust, Series 2021-3A, Class C, 1.630%, 9/16/2030(a) | 237,901 |
340,000 | Drive Auto Receivables Trust, Series 2021-1, Class D, 1.450%, 1/16/2029 | 326,139 |
690,000 | DT Auto Owner Trust, Series 2021-3A, Class D, 1.310%, 5/17/2027(a) | 640,607 |
265,000 | DT Auto Owner Trust, Series 2023-2A, Class D, 6.620%, 2/15/2029(a) | 265,868 |
Principal Amount (‡) | Description | Value (†) |
ABS Car Loan — continued | ||
$84,646 | Exeter Automobile Receivables Trust, Series 2019-4A, Class D, 2.580%, 9/15/2025(a) | $83,791 |
150,000 | Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026 | 145,109 |
495,000 | Exeter Automobile Receivables Trust, Series 2021-3A, Class D, 1.550%, 6/15/2027 | 461,552 |
105,000 | Exeter Automobile Receivables Trust, Series 2022-2A, Class D, 4.560%, 7/17/2028 | 101,833 |
75,000 | Exeter Automobile Receivables Trust, Series 2022-6A, Class C, 6.320%, 5/15/2028 | 75,358 |
70,000 | Exeter Automobile Receivables Trust, Series 2023-3A, Class D, 6.680%, 4/16/2029 | 70,590 |
285,000 | Exeter Automobile Receivables Trust, Series 2023-5A, Class D, 7.130%, 2/15/2030 | 293,006 |
285,000 | First Investors Auto Owner Trust, Series 2021-1A, Class D, 1.620%, 3/15/2027(a) | 273,178 |
165,000 | Flagship Credit Auto Trust, Series 2021-1, Class D, 1.270%, 3/15/2027(a) | 153,427 |
175,000 | Flagship Credit Auto Trust, Series 2021-2, Class D, 1.590%, 6/15/2027(a) | 159,273 |
210,000 | Flagship Credit Auto Trust, Series 2021-3, Class D, 1.650%, 9/15/2027(a) | 186,847 |
275,000 | Flagship Credit Auto Trust, Series 2023-2, Class D, 6.620%, 5/15/2029(a) | 276,863 |
40,000 | Flagship Credit Auto Trust, Series 2023-3, Class D, 6.580%, 8/15/2029(a) | 39,832 |
90,000 | Ford Credit Auto Lease Trust, Series 2023-B, Class D, 6.970%, 6/15/2028 | 91,623 |
260,634 | Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025 | 256,951 |
270,000 | Foursight Capital Automobile Receivables Trust, Series 2021-1, Class D, 1.320%, 3/15/2027(a) | 263,063 |
170,000 | Foursight Capital Automobile Receivables Trust, Series 2021-2, Class D, 1.920%, 9/15/2027(a) | 160,209 |
80,000 | GLS Auto Receivables Issuer Trust, Series 2023-3A, Class D, 6.440%, 5/15/2029(a) | 80,277 |
100,000 | GLS Auto Receivables Issuer Trust, Series 2023-4A, Class D, 7.180%, 8/15/2029(a) | 102,716 |
87,479 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025 | 86,311 |
Principal Amount (‡) | Description | Value (†) |
ABS Car Loan — continued | ||
$342,463 | GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026 | $334,613 |
548,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026(a) | 519,261 |
152,500 | Hertz Vehicle Financing III LLC, Series 2022-3A, Class D, 6.310%, 3/25/2025(a) | 151,835 |
250,000 | Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026(a) | 241,125 |
111,428 | Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025 | 110,075 |
110,565 | Honda Auto Receivables Owner Trust, Series 2021-2, Class A3, 0.330%, 8/15/2025 | 108,481 |
28,163 | JPMorgan Chase Bank N.A, Series 2021-1, Class D, 1.174%, 9/25/2028(a) | 27,665 |
120,000 | LAD Auto Receivables Trust, Series 2023-3A, Class C, 6.430%, 12/15/2028(a) | 122,418 |
50,000 | LAD Auto Receivables Trust, Series 2023-4A, Class C, 6.760%, 3/15/2029(a) | 50,985 |
140,000 | Prestige Auto Receivables Trust, Series 2023-1A, Class D, 6.330%, 4/16/2029(a) | 139,673 |
7,287 | Santander Drive Auto Receivables Trust, Series 2020-1, Class C, 4.110%, 12/15/2025 | 7,280 |
45,000 | Santander Drive Auto Receivables Trust, Series 2021-3, Class D, 1.330%, 9/15/2027 | 42,991 |
125,000 | Westlake Automobile Receivables Trust, Series 2020-3A, Class D, 1.650%, 2/17/2026(a) | 123,010 |
185,000 | Westlake Automobile Receivables Trust, Series 2023-3A, Class D, 6.470%, 3/15/2029(a) | 186,695 |
270,000 | Westlake Automobile Receivables Trust, Series 2023-4A, Class D, 7.190%, 7/16/2029(a) | 275,260 |
515,333 | World Omni Auto Receivables Trust, Series 2021-B, Class A3, 0.420%, 6/15/2026 | 501,801 |
10,755,846 | ||
ABS Credit Card — 0.2% | ||
100,000 | Mission Lane Credit Card Master Trust, Series 2023-A, Class A, 7.230%, 7/17/2028(a) | 100,086 |
180,000 | Mission Lane Credit Card Master Trust, Series 2023-B, Class A, 7.690%, 11/15/2028(a) | 181,874 |
281,960 |
Principal Amount (‡) | Description | Value (†) |
ABS Home Equity — 5.0% | ||
$300,000 | BINOM Securitization Trust, Series 2022-RPL1, Class M1, 3.000%, 2/25/2061(a)(b) | $226,711 |
243,948 | CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059(a)(b) | 240,269 |
491,255 | COLT Mortgage Loan Trust, Series 2021-6, Class A1, 1.907%, 12/25/2066(a)(b) | 423,353 |
100,000 | CoreVest American Finance Ltd., Series 2021-1, Class C, 2.800%, 4/15/2053(a) | 80,238 |
160,000 | CoreVest American Finance Ltd., Series 2021-2, Class C, 2.478%, 7/15/2054(a) | 127,984 |
100,000 | CoreVest American Finance Ltd., Series 2021-3, Class D, 3.469%, 10/15/2054(a) | 82,794 |
280,000 | CoreVest American Finance Ltd., Series 2021-RTL1, Class A1, 2.239%, 3/28/2029(a)(b) | 263,480 |
210,000 | CoreVest American Finance Ltd., Series 2023-RTL1, Class A1, 7.553%, 12/28/2030(a)(b) | 210,419 |
184,958 | Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060(a)(b) | 179,543 |
100,000 | Credit Suisse Mortgage Trust, Series 2021-RPL3, Class M2, 3.750%, 1/25/2060(a) | 76,831 |
482,295 | Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060(a)(b) | 468,761 |
192,352 | Federal Home Loan Mortgage Corp., Series 2022-DNA3, Class M1A, REMICS, 30 day USD SOFR Average + 2.000%, 7.337%, 4/25/2042(a)(b) | 194,100 |
119,711 | Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2023-DNA2, Class M1A, 30 day USD SOFR Average + 2.100%, 7.437%, 4/25/2043(a)(b) | 121,579 |
260,000 | FirstKey Homes Trust, Series 2021-SFR1, Class E1, 2.389%, 8/17/2038(a) | 232,066 |
205,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E1, 2.258%, 9/17/2038(a) | 180,646 |
105,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E2, 2.358%, 9/17/2038(a) | 92,310 |
360,000 | FirstKey Homes Trust, Series 2022-SFR2, Class D, 4.500%, 7/17/2039(a) | 333,157 |
124,156 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068(a)(b) | 117,775 |
124,127 | GITSIT Mortgage Loan Trust, Series 2023-NPL1, Class A1, 8.353%, 5/25/2053(a)(b) | 125,370 |
85,157 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041(a) | 68,740 |
Principal Amount (‡) | Description | Value (†) |
ABS Home Equity — continued | ||
$399,329 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026(a) | $353,366 |
206,881 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026(a) | 182,865 |
79,270 | Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 7.250%, 11/25/2059(a)(b) | 79,247 |
485,000 | Legacy Mortgage Asset Trust, Series 2020-RPL1, Class A2, 3.250%, 9/25/2059(a)(b) | 432,171 |
207,537 | Legacy Mortgage Asset Trust, Series 2021-GS2, Class A1, 1.750%, 4/25/2061(a)(b) | 200,357 |
3,916 | Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 6.123%, 7/25/2035(b)(c) | 3,330 |
265,000 | NLT Trust, Series 2023-1, Class A1, 3.200%, 10/25/2062(a)(b) | 236,242 |
133,055 | OBX Trust, Series 2021-NQM3, Class A1, 1.054%, 7/25/2061(a)(b) | 101,673 |
235,000 | Progress Residential Trust, Series 2021-SFR2, Class E1, 2.547%, 4/19/2038(a) | 211,714 |
100,000 | Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026(a) | 90,007 |
100,000 | Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026(a) | 89,627 |
100,000 | Progress Residential Trust, Series 2021-SFR4, Class E1, 2.409%, 5/17/2038(a) | 90,113 |
100,000 | Progress Residential Trust, Series 2021-SFR4, Class E2, 2.559%, 5/17/2038(a) | 89,932 |
120,000 | Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038(a) | 106,172 |
150,000 | Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038(a) | 133,296 |
100,000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038(a) | 88,774 |
165,000 | Progress Residential Trust, Series 2021-SFR7, Class E1, 2.591%, 8/17/2040(a) | 138,224 |
100,000 | Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040(a) | 82,051 |
100,000 | Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040(a) | 82,738 |
Principal Amount (‡) | Description | Value (†) |
ABS Home Equity — continued | ||
$282,617 | PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026(a)(b) | $281,632 |
101,443 | PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026(a)(b) | 100,313 |
87,941 | PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026(a)(b) | 85,895 |
312,024 | PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026(a)(b) | 303,927 |
476,411 | PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027(a)(b) | 477,008 |
143,066 | Redwood Funding Trust, Series 2023-1, Class A, 7.500%, 7/25/2059(a)(b) | 141,349 |
215,296 | Toorak Mortgage Corp. Ltd., Series 2021-1, Class A1, 3.240%, 6/25/2024(a)(b) | 210,875 |
120,000 | Towd Point Mortgage Trust, Series 2016-3, Class M2, 4.000%, 4/25/2056(a)(b) | 116,659 |
220,887 | Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059(a)(b) | 207,437 |
55,438 | VCAT LLC, Series 2021-NPL1, Class A1, 5.289%, 12/26/2050(a)(b) | 55,190 |
249,367 | VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051(a)(b) | 244,715 |
241,974 | Verus Securitization Trust, Series 2021-3, Class A1, 1.046%, 6/25/2066(a)(b) | 201,189 |
71,180 | VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051(a)(b) | 68,854 |
200,637 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051(a)(b) | 193,994 |
178,207 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051(a)(b) | 173,664 |
117,435 | VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051(a)(b) | 114,172 |
249,062 | VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051(a)(b) | 240,199 |
9,855,097 | ||
ABS Other — 3.6% | ||
203,462 | AASET Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041(a) | 183,315 |
180,000 | Affirm Asset Securitization Trust, Series 2023-B, Class A, 6.820%, 9/15/2028(a) | 182,832 |
120,000 | Affirm Asset Securitization Trust, Series 2023-X1, Class A, 7.110%, 11/15/2028(a) | 120,386 |
100,000 | Aqua Finance Trust, Series 2021-A, Class B, 2.400%, 7/17/2046(a) | 82,341 |
100,000 | Auxilior Term Funding LLC, Series 2023-1A, Class A2, 6.180%, 12/15/2028(a) | 100,493 |
430,000 | BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035(a) | 397,541 |
175,000 | BHG Securitization Trust, Series 2023-B, Class B, 7.450%, 12/17/2036(a) | 179,969 |
92,465 | Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/2036(a) | 85,533 |
Principal Amount (‡) | Description | Value (†) |
ABS Other — continued | ||
$156,304 | Foundation Finance Trust, Series 2023-2A, Class A, 6.530%, 6/15/2049(a) | $159,167 |
32,773 | FREED ABS Trust, Series 2021-2, Class C, 1.940%, 6/19/2028(a) | 32,448 |
215,000 | FREED ABS Trust, Series 2021-3FP, Class D, 2.370%, 11/20/2028(a) | 206,495 |
1,150,000 | Frontier Issuer LLC, Series 2023-1, Class A2, 6.600%, 8/20/2053(a) | 1,145,377 |
146,863 | Hardee's Funding LLC, Series 2018-1A, Class A2II, 4.959%, 6/20/2048(a) | 140,646 |
97,250 | Jack in the Box Funding LLC, Series 2019-1A, Class A2II, 4.476%, 8/25/2049(a) | 92,390 |
295,743 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046(a) | 257,647 |
100,000 | Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031(a) | 97,963 |
105,000 | Marlette Funding Trust, Series 2021-3A, Class C, 1.810%, 12/15/2031(a) | 99,630 |
125,000 | Marlette Funding Trust, Series 2023-2A, Class B, 6.540%, 6/15/2033(a) | 125,870 |
32,983 | Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032(a)(b) | 30,719 |
37,537 | MVW LLC, Series 2021-1WA, Class C, 1.940%, 1/22/2041(a) | 34,396 |
145,000 | OneMain Financial Issuance Trust, Series 2018-2A, Class B, 3.890%, 3/14/2033(a) | 142,034 |
240,000 | OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036(a) | 201,882 |
310,000 | OneMain Financial Issuance Trust, Series 2022-S1, Class D, 5.200%, 5/14/2035(a) | 293,430 |
100,000 | SCF Equipment Leasing LLC, Series 2022-1A, Class D, 3.790%, 11/20/2031(a) | 91,242 |
115,000 | SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032(a) | 114,786 |
50,488 | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042(a) | 43,432 |
33,488 | Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C, 3.120%, 5/20/2036(a) | 32,792 |
22,550 | Sierra Timeshare Receivables Funding LLC, Series 2019-3A, Class C, 3.000%, 8/20/2036(a) | 21,574 |
23,636 | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037(a) | 22,258 |
Principal Amount (‡) | Description | Value (†) |
ABS Other — continued | ||
$132,100 | Sierra Timeshare Receivables Funding LLC, Series 2023-3A, Class C, 7.120%, 9/20/2040(a) | $132,919 |
459,816 | Slam Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046(a) | 403,594 |
337,300 | Sunnova Helios X Issuer LLC, Series 2022-C, Class A, 5.300%, 11/22/2049(a) | 330,078 |
97,620 | Sunnova Helios XII Issuer LLC, Series 2023-B, Class B, 5.600%, 8/22/2050(a) | 94,814 |
204,933 | Textainer Marine Containers VII Ltd., Series 2021-1A, Class A, 1.680%, 2/20/2046(a) | 179,620 |
330,400 | Textainer Marine Containers VII Ltd., Series 2021-2A, Class A, 2.230%, 4/20/2046(a) | 294,799 |
223,119 | TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046(a) | 191,546 |
142,175 | WAVE Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042(a) | 120,012 |
481,326 | Willis Engine Structured Trust VII, Series 2023-A, Class A, 8.000%, 10/15/2048(a) | 494,875 |
6,960,845 | ||
ABS Student Loan — 0.8% | ||
65,534 | College Avenue Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051(a) | 59,292 |
100,000 | College Avenue Student Loans LLC, Series 2023-B, Class C, 7.580%, 6/25/2054(a) | 103,140 |
27,636 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069(a) | 25,295 |
155,886 | Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069(a) | 137,322 |
135,000 | Navient Private Education Refi Loan Trust, Series 2021-A, Class B, 2.240%, 5/15/2069(a) | 102,576 |
100,000 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069(a) | 67,709 |
195,000 | Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070(a) | 127,309 |
120,000 | Navient Student Loan Trust, Series 2023-BA, Class B, 7.230%, 3/15/2072(a) | 125,786 |
91,428 | SMB Private Education Loan Trust, Series 2018-C, Class A2A, 3.630%, 11/15/2035(a) | 88,507 |
Principal Amount (‡) | Description | Value (†) |
ABS Student Loan — continued | ||
$356,415 | SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037(a) | $330,898 |
133,245 | SMB Private Education Loan Trust, Series 2021-A, Class A2A2, 1 mo. USD SOFR + 0.844%, 6.206%, 1/15/2053(a)(b) | 130,746 |
210,000 | SMB Private Education Loan Trust, Series 2021-B, Class B, 2.650%, 7/17/2051(a) | 173,040 |
100,000 | SMB Private Education Loan Trust, Series 2023-C, Class B, 6.360%, 11/15/2052(a) | 101,404 |
1,573,024 | ||
ABS Whole Business — 0.5% | ||
355,000 | Applebee's Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053(a) | 363,964 |
235,625 | DB Master Finance LLC, Series 2017-1A, Class A2II, 4.030%, 11/20/2047(a) | 223,358 |
160,550 | Domino's Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048(a) | 154,632 |
97,500 | Hardee's Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051(a) | 80,523 |
189,500 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048(a) | 184,887 |
1,007,364 | ||
Aerospace & Defense — 1.1% | ||
390,000 | Embraer Netherlands Finance BV, 7.000%, 7/28/2030(a) | 409,108 |
70,000 | RTX Corp., 2.375%, 3/15/2032 | 58,335 |
560,000 | RTX Corp., 5.150%, 2/27/2033 | 570,721 |
50,000 | Textron, Inc., 2.450%, 3/15/2031 | 42,602 |
1,125,000 | Textron, Inc., 3.000%, 6/01/2030 | 1,007,245 |
2,088,011 | ||
Airlines — 0.4% | ||
32,879 | American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 30,679 |
342,665 | U.S. Airways Pass-Through Trust, Series 2012-2, Class A, 4.625%, 12/03/2026 | 333,122 |
170,139 | United Airlines Pass-Through Trust, Series 2016-2, Class B, 3.650%, 4/07/2027 | 165,620 |
329,962 | United Airlines Pass-Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029 | 333,469 |
862,890 | ||
Apartment REITs — 0.0% | ||
85,000 | American Homes 4 Rent LP, 2.375%, 7/15/2031 | 70,116 |
Principal Amount (‡) | Description | Value (†) |
Automotive — 0.8% | ||
$50,000 | Aptiv PLC/Aptiv Corp., 3.250%, 3/01/2032 | $44,170 |
280,000 | Daimler Truck Finance North America LLC, 5.500%, 9/20/2033(a) | 285,267 |
14,000 | General Motors Co., 5.200%, 4/01/2045 | 12,599 |
45,000 | General Motors Co., 5.600%, 10/15/2032 | 46,010 |
130,000 | General Motors Co., 6.250%, 10/02/2043 | 132,616 |
80,000 | General Motors Financial Co., Inc., 5.850%, 4/06/2030 | 82,500 |
825,000 | General Motors Financial Co., Inc., 6.000%, 1/09/2028 | 852,988 |
1,456,150 | ||
Banking — 11.2% | ||
200,000 | Ally Financial, Inc., 2.200%, 11/02/2028 | 170,027 |
1,244,000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028 | 1,171,759 |
375,000 | Bank of America Corp., (fixed rate to 3/08/2032, variable rate thereafter), 3.846%, 3/08/2037 | 329,252 |
335,000 | Bank of America Corp., (fixed rate to 4/29/2030, variable rate thereafter), 2.592%, 4/29/2031 | 288,700 |
611,000 | Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036 | 483,954 |
370,000 | Bank of America Corp., MTN, (fixed rate to 10/24/2030, variable rate thereafter), 1.922%, 10/24/2031 | 300,385 |
45,000 | Bank of America Corp., MTN, (fixed rate to 7/22/2032, variable rate thereafter), 5.015%, 7/22/2033 | 44,515 |
235,000 | Bank of America Corp., MTN, (fixed rate to 7/23/2030, variable rate thereafter), 1.898%, 7/23/2031 | 192,245 |
536,000 | Bank of America Corp., Series L, 4.183%, 11/25/2027 | 520,906 |
950,000 | Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027 | 872,869 |
555,000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(d) | 431,460 |
200,000 | Barclays PLC, (fixed rate to 5/09/2033, variable rate thereafter), 6.224%, 5/09/2034 | 207,435 |
1,245,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 1,067,359 |
1,145,000 | BNP Paribas SA, 2.824%, 1/26/2041(a) | 794,641 |
415,000 | BNP Paribas SA, (fixed rate to 1/20/2027, variable rate thereafter), 2.591%, 1/20/2028(a) | 383,895 |
1,040,000 | BNP Paribas SA, (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033(a) | 973,425 |
Principal Amount (‡) | Description | Value (†) |
Banking — continued | ||
$285,000 | CaixaBank SA, (fixed rate to 9/13/2033, variable rate thereafter), 6.840%, 9/13/2034(a) | $300,792 |
1,060,000 | Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter), 4.412%, 3/31/2031 | 1,013,832 |
80,000 | Citigroup, Inc., (fixed rate to 6/03/2030, variable rate thereafter), 2.572%, 6/03/2031 | 68,337 |
640,000 | Credit Agricole SA, 2.811%, 1/11/2041(a) | 440,250 |
250,000 | Credit Agricole SA, (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033 | 232,572 |
265,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 217,542 |
400,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 335,264 |
200,000 | Deutsche Bank AG, (fixed rate to 11/20/2028, variable rate thereafter), 6.819%, 11/20/2029 | 210,569 |
50,000 | Goldman Sachs Group, Inc., (fixed rate to 2/24/2032, variable rate thereafter), 3.102%, 2/24/2033 | 42,921 |
2,125,000 | Goldman Sachs Group, Inc., (fixed rate to 8/23/2027, variable rate thereafter), 4.482%, 8/23/2028 | 2,087,484 |
470,000 | HSBC Holdings PLC, (fixed rate to 3/09/2028, variable rate thereafter), 6.161%, 3/09/2029 | 485,316 |
200,000 | ING Groep NV, (fixed rate to 9/11/2033, variable rate thereafter), 6.114%, 9/11/2034 | 209,753 |
265,000 | Intesa Sanpaolo SpA, 7.200%, 11/28/2033(a) | 282,816 |
220,000 | JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030 | 195,607 |
45,000 | JPMorgan Chase & Co., (fixed rate to 7/25/2032, variable rate thereafter), 4.912%, 7/25/2033 | 44,493 |
61,000 | Morgan Stanley, 3.950%, 4/23/2027 | 59,213 |
150,000 | Morgan Stanley, (fixed rate to 1/19/2033, variable rate thereafter), 5.948%, 1/19/2038 | 151,694 |
290,000 | Morgan Stanley, (fixed rate to 10/18/2032, variable rate thereafter), 6.342%, 10/18/2033 | 312,707 |
460,000 | Morgan Stanley, (fixed rate to 4/20/2032, variable rate thereafter), 5.297%, 4/20/2037 | 447,625 |
820,000 | Morgan Stanley, (fixed rate to 9/16/2031, variable rate thereafter), 2.484%, 9/16/2036 | 649,922 |
1,205,000 | Morgan Stanley, MTN, (fixed rate to 2/13/2031, variable rate thereafter), 1.794%, 2/13/2032 | 962,220 |
655,000 | NatWest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter), 1.642%, 6/14/2027 | 598,074 |
Principal Amount (‡) | Description | Value (†) |
Banking — continued | ||
$200,000 | NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028 | $201,061 |
1,685,000 | Societe Generale SA, (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035(a) | 1,418,928 |
255,000 | Synchrony Bank, 5.400%, 8/22/2025 | 251,185 |
330,000 | Synchrony Bank, 5.625%, 8/23/2027 | 324,604 |
250,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033(a) | 307,309 |
250,000 | UBS Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026(a) | 237,746 |
395,000 | UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028(a) | 409,781 |
500,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033(a) | 533,255 |
540,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035(a) | 507,858 |
21,773,557 | ||
Brokerage — 0.5% | ||
110,000 | Jefferies Financial Group, Inc., 5.875%, 7/21/2028 | 112,794 |
733,000 | Jefferies Financial Group, Inc., 6.250%, 1/15/2036 | 770,437 |
883,231 | ||
Building Materials — 1.2% | ||
1,045,000 | Cemex SAB de CV, 3.875%, 7/11/2031(a) | 934,612 |
310,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%(a)(d) | 293,992 |
211,000 | Masco Corp., 6.500%, 8/15/2032 | 230,051 |
778,000 | Owens Corning, 7.000%, 12/01/2036 | 892,366 |
2,351,021 | ||
Cable Satellite — 2.4% | ||
325,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 258,630 |
1,285,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 1,083,849 |
890,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.700%, 4/01/2051 | 578,882 |
30,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.850%, 4/01/2061 | 18,699 |
1,580,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 | 993,998 |
Principal Amount (‡) | Description | Value (†) |
Cable Satellite — continued | ||
$220,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | $203,034 |
165,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.125%, 7/01/2049 | 134,005 |
400,000 | CSC Holdings LLC, 3.375%, 2/15/2031(a) | 291,829 |
200,000 | CSC Holdings LLC, 4.125%, 12/01/2030(a) | 152,150 |
800,000 | CSC Holdings LLC, 4.625%, 12/01/2030(a) | 481,696 |
125,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 64,424 |
170,000 | DISH DBS Corp., 5.250%, 12/01/2026(a) | 145,648 |
265,000 | DISH DBS Corp., 5.750%, 12/01/2028(a) | 211,364 |
145,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 125,437 |
4,743,645 | ||
Chemicals — 0.8% | ||
200,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030(a) | 155,233 |
400,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050(a) | 277,169 |
110,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 115,310 |
60,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 | 63,425 |
175,000 | Celanese U.S. Holdings LLC, 6.550%, 11/15/2030 | 184,997 |
645,000 | Celanese U.S. Holdings LLC, 6.700%, 11/15/2033 | 699,566 |
1,495,700 | ||
Collateralized Mortgage Obligations — 0.1% | ||
118,015 | Federal Home Loan Mortgage Corp., Series 2912, Class EH, REMICS, 5.500%, 1/15/2035 | 120,065 |
Construction Machinery — 0.7% | ||
200,000 | Ashtead Capital, Inc., 5.500%, 8/11/2032(a) | 197,565 |
200,000 | Ashtead Capital, Inc., 5.950%, 10/15/2033(a) | 203,760 |
970,000 | Caterpillar Financial Services Corp., MTN, 0.450%, 5/17/2024 | 952,172 |
1,353,497 | ||
Consumer Cyclical Services — 1.1% | ||
330,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 290,433 |
1,245,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 1,141,300 |
295,000 | Uber Technologies, Inc., 4.500%, 8/15/2029(a) | 281,420 |
375,000 | Uber Technologies, Inc., 7.500%, 9/15/2027(a) | 388,361 |
2,101,514 |
Principal Amount (‡) | Description | Value (†) |
Diversified Manufacturing — 0.8% | ||
$85,000 | Carrier Global Corp., 5.900%, 3/15/2034(a) | $91,935 |
555,000 | Ingersoll Rand, Inc., 5.700%, 8/14/2033 | 587,191 |
85,000 | Nordson Corp., 5.800%, 9/15/2033 | 90,224 |
705,000 | Veralto Corp., 5.450%, 9/18/2033(a) | 730,217 |
1,499,567 | ||
Electric — 0.3% | ||
140,000 | Pacific Gas & Electric Co., 3.250%, 6/01/2031 | 121,242 |
200,000 | Pacific Gas & Electric Co., 4.300%, 3/15/2045 | 156,497 |
45,000 | Pacific Gas & Electric Co., 4.550%, 7/01/2030 | 42,857 |
100,000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 | 100,806 |
230,000 | Southern Co., 5.700%, 3/15/2034 | 241,850 |
663,252 | ||
Finance Companies — 5.0% | ||
465,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 424,540 |
550,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 478,681 |
150,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.400%, 10/29/2033 | 128,801 |
200,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.750%, 6/06/2028 | 204,688 |
265,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.150%, 9/30/2030 | 279,068 |
225,000 | Air Lease Corp., 3.125%, 12/01/2030 | 196,797 |
191,000 | Air Lease Corp., 4.625%, 10/01/2028 | 186,606 |
125,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 | 110,896 |
420,000 | Aircastle Ltd., 6.500%, 7/18/2028(a) | 428,281 |
395,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 349,943 |
565,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 472,519 |
350,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026(a) | 324,394 |
170,000 | Aviation Capital Group LLC, 6.250%, 4/15/2028(a) | 173,125 |
550,000 | Aviation Capital Group LLC, 6.750%, 10/25/2028(a) | 574,162 |
290,000 | Barings BDC, Inc., 3.300%, 11/23/2026 | 264,423 |
1,110,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027 | 986,205 |
20,000 | Blue Owl Capital Corp., 2.625%, 1/15/2027 | 18,021 |
575,000 | Blue Owl Capital Corp., 2.875%, 6/11/2028 | 504,732 |
490,000 | Blue Owl Capital Corp., 4.250%, 1/15/2026 | 473,442 |
110,000 | Blue Owl Technology Finance Corp., 2.500%, 1/15/2027 | 96,013 |
495,000 | GATX Corp., 5.450%, 9/15/2033 | 498,050 |
30,000 | GATX Corp., 6.050%, 3/15/2034 | 31,154 |
60,000 | Oaktree Specialty Lending Corp., 2.700%, 1/15/2027 | 53,633 |
Principal Amount (‡) | Description | Value (†) |
Finance Companies — continued | ||
$375,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026(a) | $345,937 |
330,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029(a) | 298,678 |
995,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031(a) | 875,099 |
865,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033(a) | 734,842 |
300,000 | SMBC Aviation Capital Finance DAC, 5.450%, 5/03/2028(a) | 301,658 |
9,814,388 | ||
Financial Other — 0.0% | ||
200,000 | CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024(e) | 13,000 |
200,000 | Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031(e) | 16,086 |
200,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(e) | 13,000 |
200,000 | Shimao Group Holdings Ltd., 4.750%, 7/03/2022(e) | 7,920 |
200,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(e) | 6,454 |
200,000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026(e) | 7,744 |
200,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(e) | 8,000 |
200,000 | Times China Holdings Ltd., 5.750%, 1/14/2027(e) | 4,016 |
200,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(e) | 4,500 |
80,720 | ||
Food & Beverage — 0.3% | ||
185,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029 | 162,725 |
225,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031 | 193,871 |
300,000 | Pilgrim's Pride Corp., 3.500%, 3/01/2032 | 253,626 |
5,000 | Pilgrim's Pride Corp., 4.250%, 4/15/2031 | 4,516 |
614,738 | ||
Gaming — 0.8% | ||
425,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031(a) | 362,574 |
190,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 160,408 |
50,000 | GLP Capital LP/GLP Financing II, Inc., 6.750%, 12/01/2033 | 53,942 |
45,000 | VICI Properties LP, 5.125%, 5/15/2032 | 43,866 |
80,000 | VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029(a) | 73,490 |
365,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026(a) | 351,261 |
Principal Amount (‡) | Description | Value (†) |
Gaming — continued | ||
$295,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026(a) | $285,538 |
265,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025(a) | 260,296 |
1,591,375 | ||
Government Owned - No Guarantee — 0.9% | ||
955,000 | Antares Holdings LP, 3.750%, 7/15/2027(a) | 860,447 |
780,000 | Pertamina Persero PT, 6.450%, 5/30/2044(a) | 850,460 |
200,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030(e) | 16,222 |
1,727,129 | ||
Health Insurance — 0.8% | ||
20,000 | Centene Corp., 2.450%, 7/15/2028 | 17,812 |
885,000 | Centene Corp., 2.500%, 3/01/2031 | 737,348 |
155,000 | Centene Corp., 2.625%, 8/01/2031 | 128,607 |
180,000 | Centene Corp., 3.000%, 10/15/2030 | 155,888 |
155,000 | Centene Corp., 3.375%, 2/15/2030 | 139,071 |
350,000 | Centene Corp., 4.625%, 12/15/2029 | 335,554 |
1,514,280 | ||
Healthcare — 0.3% | ||
200,000 | Alcon Finance Corp., 5.375%, 12/06/2032(a) | 206,287 |
105,000 | CVS Health Corp., 5.250%, 1/30/2031 | 107,708 |
55,000 | HCA, Inc., 2.375%, 7/15/2031 | 45,318 |
195,000 | HCA, Inc., 3.500%, 9/01/2030 | 176,772 |
75,000 | HCA, Inc., 5.500%, 6/01/2033 | 76,178 |
612,263 | ||
Home Construction — 1.0% | ||
195,000 | MDC Holdings, Inc., 3.966%, 8/06/2061 | 127,000 |
510,000 | MDC Holdings, Inc., 6.000%, 1/15/2043 | 474,097 |
260,000 | Meritage Homes Corp., 3.875%, 4/15/2029(a) | 238,925 |
981,000 | PulteGroup, Inc., 6.000%, 2/15/2035 | 1,030,107 |
1,870,129 | ||
Hybrid ARMs — 0.0% | ||
6,565 | Federal National Mortgage Association, 1 yr. RFUCC Treasury + 1.810%, 6.040%, 9/01/2036(b) | 6,754 |
1,592 | Federal National Mortgage Association, 6 mo. RFUCC Treasury + 1.460%, 7.161%, 2/01/2037(b) | 1,615 |
8,369 | ||
Independent Energy — 3.0% | ||
1,160,000 | Aker BP ASA, 3.750%, 1/15/2030(a) | 1,065,063 |
995,000 | Continental Resources, Inc., 2.875%, 4/01/2032(a) | 807,179 |
1,280,000 | Continental Resources, Inc., 5.750%, 1/15/2031(a) | 1,274,188 |
280,000 | Energian Israel Finance Ltd., 5.375%, 3/30/2028(a) | 245,770 |
Principal Amount (‡) | Description | Value (†) |
Independent Energy — continued | ||
$370,000 | Energian Israel Finance Ltd., 5.875%, 3/30/2031(a) | $311,798 |
385,000 | EQT Corp., 3.625%, 5/15/2031(a) | 343,832 |
165,000 | EQT Corp., 5.000%, 1/15/2029 | 163,453 |
100,000 | EQT Corp., 7.000%, 2/01/2030 | 107,324 |
40,000 | Marathon Oil Corp., 6.800%, 3/15/2032 | 43,334 |
200,000 | Occidental Petroleum Corp., 6.125%, 1/01/2031 | 207,638 |
130,000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 | 138,256 |
120,000 | Occidental Petroleum Corp., 7.500%, 5/01/2031 | 134,561 |
440,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 467,750 |
40,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 44,064 |
65,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 60,139 |
385,000 | Var Energi ASA, 8.000%, 11/15/2032(a) | 431,046 |
95,000 | Viper Energy, Inc., 7.375%, 11/01/2031(a) | 98,325 |
5,943,720 | ||
Industrial Other — 0.3% | ||
500,000 | Jacobs Engineering Group, Inc., 6.350%, 8/18/2028 | 522,198 |
Leisure — 0.6% | ||
280,000 | Carnival Corp., 4.000%, 8/01/2028(a) | 260,327 |
70,000 | Carnival Corp., 7.000%, 8/15/2029(a) | 73,088 |
80,000 | NCL Corp. Ltd., 5.875%, 3/15/2026(a) | 78,173 |
250,000 | NCL Corp. Ltd., 5.875%, 2/15/2027(a) | 247,007 |
400,000 | NCL Corp. Ltd., 8.125%, 1/15/2029(a) | 417,833 |
110,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028(a) | 108,598 |
1,185,026 | ||
Life Insurance — 2.1% | ||
490,000 | Athene Global Funding, 1.608%, 6/29/2026(a) | 443,248 |
159,000 | Brighthouse Financial, Inc., 4.700%, 6/22/2047 | 126,374 |
1,488,000 | National Life Insurance Co., 10.500%, 9/15/2039(a) | 1,933,046 |
1,560,000 | NLV Financial Corp., 7.500%, 8/15/2033(a) | 1,631,573 |
4,134,241 | ||
Lodging — 0.2% | ||
165,000 | Marriott International, Inc., Series HH, 2.850%, 4/15/2031 | 142,803 |
40,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029(a) | 35,248 |
65,000 | Travel & Leisure Co., 4.500%, 12/01/2029(a) | 58,213 |
55,000 | Travel & Leisure Co., 4.625%, 3/01/2030(a) | 49,187 |
Principal Amount (‡) | Description | Value (†) |
Lodging — continued | ||
$10,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | $9,944 |
10,000 | Travel & Leisure Co., 6.625%, 7/31/2026(a) | 10,088 |
305,483 | ||
Media Entertainment — 1.4% | ||
55,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028(a) | 42,312 |
25,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027(a) | 19,864 |
935,000 | Netflix, Inc., 4.875%, 6/15/2030(a) | 946,735 |
60,000 | Netflix, Inc., 5.375%, 11/15/2029(a) | 61,987 |
425,000 | Netflix, Inc., 5.875%, 11/15/2028 | 447,433 |
645,000 | Netflix, Inc., 6.375%, 5/15/2029 | 701,281 |
155,000 | Warnermedia Holdings, Inc., 4.054%, 3/15/2029 | 147,063 |
480,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032 | 439,298 |
2,805,973 | ||
Metals & Mining — 3.4% | ||
735,000 | Anglo American Capital PLC, 2.875%, 3/17/2031(a) | 625,074 |
465,000 | Anglo American Capital PLC, 5.500%, 5/02/2033(a) | 469,746 |
640,000 | ArcelorMittal SA, 6.800%, 11/29/2032 | 692,101 |
200,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027(a) | 169,969 |
1,360,000 | Glencore Funding LLC, 2.500%, 9/01/2030(a) | 1,164,364 |
645,000 | Glencore Funding LLC, 2.850%, 4/27/2031(a) | 556,184 |
205,000 | Glencore Funding LLC, 5.700%, 5/08/2033(a) | 212,691 |
680,000 | Glencore Funding LLC, 6.125%, 10/06/2028(a) | 712,375 |
650,000 | Glencore Funding LLC, 6.375%, 10/06/2030(a) | 697,842 |
1,255,000 | Glencore Funding LLC, 6.500%, 10/06/2033(a) | 1,368,224 |
85,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026(a) | 52,812 |
6,721,382 | ||
Midstream — 3.1% | ||
205,000 | Cheniere Energy Partners LP, 3.250%, 1/31/2032 | 174,667 |
810,000 | Cheniere Energy Partners LP, 4.000%, 3/01/2031 | 736,406 |
75,000 | Cheniere Energy Partners LP, 4.500%, 10/01/2029 | 71,735 |
240,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 208,107 |
50,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 49,971 |
125,000 | DCP Midstream Operating LP, 6.450%, 11/03/2036(a) | 132,916 |
Principal Amount (‡) | Description | Value (†) |
Midstream — continued | ||
$625,000 | Enbridge, Inc., 5.700%, 3/08/2033 | $649,623 |
588,000 | Energy Transfer LP, 5.000%, 5/15/2044 | 516,746 |
370,000 | Energy Transfer LP, 5.750%, 2/15/2033 | 381,462 |
150,000 | Energy Transfer LP, 6.550%, 12/01/2033 | 162,795 |
145,000 | EnLink Midstream LLC, 6.500%, 9/01/2030(a) | 147,988 |
45,000 | MPLX LP, 5.000%, 3/01/2033 | 44,082 |
43,000 | ONEOK Partners LP, 6.200%, 9/15/2043 | 44,938 |
230,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.550%, 12/15/2029 | 211,754 |
380,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 349,673 |
5,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043 | 3,969 |
420,000 | Targa Resources Corp., 6.125%, 3/15/2033 | 442,192 |
175,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 | 159,467 |
70,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 67,999 |
150,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | 149,973 |
165,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033(a) | 139,829 |
75,000 | Venture Global Calcasieu Pass LLC, 6.250%, 1/15/2030(a) | 74,594 |
85,000 | Western Midstream Operating LP, 4.050%, 2/01/2030 | 79,487 |
120,000 | Western Midstream Operating LP, 5.250%, 2/01/2050 | 107,587 |
195,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 169,694 |
35,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 31,686 |
25,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 22,295 |
340,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | 353,215 |
215,000 | Western Midstream Operating LP, 6.350%, 1/15/2029 | 224,548 |
45,000 | Williams Cos., Inc., 4.650%, 8/15/2032 | 43,866 |
5,953,264 | ||
Natural Gas — 0.1% | ||
115,000 | Southern Co. Gas Capital Corp., 5.750%, 9/15/2033 | 120,750 |
Non-Agency Commercial Mortgage-Backed Securities — 2.1% | ||
34,922 | BB-UBS Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030(a) | 30,792 |
95,000 | BPR Trust, Series 2021-NRD, Class B, 1 mo. USD SOFR + 2.124%, 7.486%, 12/15/2038(a)(b) | 89,797 |
Principal Amount (‡) | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$105,000 | BPR Trust, Series 2021-NRD, Class C, 1 mo. USD SOFR + 2.424%, 7.786%, 12/15/2038(a)(b) | $98,864 |
65,000 | BPR Trust, Series 2021-NRD, Class D, 1 mo. USD SOFR + 3.723%, 9.085%, 12/15/2038(a)(b) | 60,867 |
290,000 | BPR Trust, Series 2022-STAR, Class A, 1 mo. USD SOFR + 3.232%, 8.594%, 8/15/2024(a)(b) | 288,726 |
6,861 | Commercial Mortgage Pass-Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045(a) | 6,106 |
100,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037(a) | 80,871 |
205,000 | DC Commercial Mortgage Trust, Series 2023-DC, Class B, 6.804%, 9/12/2040(a) | 210,158 |
116,680 | Extended Stay America Trust, Series 2021-ESH, Class B, 1 mo. USD SOFR + 1.494%, 6.857%, 7/15/2038(a)(b) | 114,848 |
130,682 | Extended Stay America Trust, Series 2021-ESH, Class C, 1 mo. USD SOFR + 1.814%, 7.177%, 7/15/2038(a)(b) | 128,548 |
93,344 | Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD SOFR + 2.364%, 7.727%, 7/15/2038(a)(b) | 91,703 |
105,000 | GS Mortgage Securities Corp. Trust, Series 2012-BWTR, Class A, 2.954%, 11/05/2034(a) | 77,796 |
115,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(a)(b) | 88,304 |
125,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class B, 3.550%, 3/05/2033(a)(b) | 89,202 |
92,484 | GS Mortgage Securities Trust, Series 2014-GC18, Class AS, 4.383%, 1/10/2047 | 90,364 |
115,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b) | 107,149 |
346,117 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 3.784%, 12/15/2047(a)(b) | 306,659 |
105,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class A5, 3.598%, 11/15/2048 | 99,898 |
223,925 | Med Trust, Series 2021-MDLN, Class B, 1 mo. USD SOFR + 1.564%, 6.927%, 11/15/2038(a)(b) | 219,428 |
199,045 | Med Trust, Series 2021-MDLN, Class C, 1 mo. USD SOFR + 1.914%, 7.277%, 11/15/2038(a)(b) | 194,798 |
Principal Amount (‡) | Description | Value (†) |
Non-Agency Commercial Mortgage-Backed Securities — continued | ||
$99,522 | Med Trust, Series 2021-MDLN, Class D, 1 mo. USD SOFR + 2.114%, 7.477%, 11/15/2038(a)(b) | $96,899 |
55,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 7.432%, 10/15/2046(b) | 51,451 |
495,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class C, 4.087%, 9/15/2049(b) | 355,735 |
91,554 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030(a) | 78,776 |
79,766 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 3.954%, 7/15/2046(b) | 69,351 |
155,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class AS, 4.020%, 8/15/2050 | 151,900 |
23,890 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.855%, 3/15/2044(a)(b) | 6,923 |
145,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.204%, 8/15/2046(b) | 118,076 |
175,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 135,590 |
655,000 | WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(b) | 569,511 |
4,109,090 | ||
Office REITs — 0.0% | ||
85,000 | Corporate Office Properties LP, 2.750%, 4/15/2031 | 68,705 |
Other REITs — 0.2% | ||
350,000 | Extra Space Storage LP, 5.900%, 1/15/2031 | 365,303 |
Paper — 0.1% | ||
137,000 | WestRock MWV LLC, 7.550%, 3/01/2047 | 161,341 |
104,000 | WestRock MWV LLC, 8.200%, 1/15/2030 | 119,782 |
281,123 | ||
Pharmaceuticals — 1.0% | ||
100,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028(a) | 60,224 |
200,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 191,399 |
895,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 605,779 |
240,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 229,800 |
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 191,009 |
Principal Amount (‡) | Description | Value (†) |
Pharmaceuticals — continued | ||
$400,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | $431,105 |
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 218,116 |
1,927,432 | ||
Property & Casualty Insurance — 0.2% | ||
555,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 432,303 |
Retail REITs — 0.0% | ||
70,000 | Brixmor Operating Partnership LP, 2.250%, 4/01/2028 | 62,160 |
Retailers — 1.4% | ||
2,680,000 | Amazon.com, Inc., 0.450%, 5/12/2024 | 2,632,640 |
50,000 | AutoNation, Inc., 3.850%, 3/01/2032 | 44,428 |
50,000 | Dollar Tree, Inc., 2.650%, 12/01/2031 | 42,484 |
125,000 | Tapestry, Inc., 3.050%, 3/15/2032 | 101,686 |
2,821,238 | ||
Technology — 6.2% | ||
50,000 | Arrow Electronics, Inc., 2.950%, 2/15/2032 | 42,261 |
165,000 | Broadcom, Inc., 2.450%, 2/15/2031(a) | 141,085 |
145,000 | Broadcom, Inc., 2.600%, 2/15/2033(a) | 119,458 |
465,000 | Broadcom, Inc., 3.137%, 11/15/2035(a) | 381,758 |
240,000 | Broadcom, Inc., 3.187%, 11/15/2036(a) | 194,485 |
260,000 | Broadcom, Inc., 3.419%, 4/15/2033(a) | 228,360 |
400,000 | Broadcom, Inc., 3.469%, 4/15/2034(a) | 348,002 |
380,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 362,969 |
130,000 | Broadcom, Inc., 4.150%, 4/15/2032(a) | 122,548 |
85,000 | Broadcom, Inc., 4.300%, 11/15/2032 | 81,546 |
255,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 233,171 |
40,000 | CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028 | 36,655 |
1,045,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 926,204 |
130,000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | 124,498 |
125,000 | CommScope Technologies LLC, 5.000%, 3/15/2027(a) | 52,031 |
295,000 | CommScope, Inc., 4.750%, 9/01/2029(a) | 198,065 |
45,000 | Dell International LLC/EMC Corp., 5.750%, 2/01/2033 | 47,407 |
715,000 | Entegris Escrow Corp., 4.750%, 4/15/2029(a) | 688,841 |
1,175,000 | Equinix, Inc., 2.150%, 7/15/2030 | 995,496 |
765,000 | Fiserv, Inc., 5.625%, 8/21/2033 | 801,397 |
170,000 | Flex Ltd., 6.000%, 1/15/2028 | 175,532 |
185,000 | Global Payments, Inc., 2.900%, 5/15/2030 | 162,722 |
235,000 | Global Payments, Inc., 2.900%, 11/15/2031 | 201,016 |
130,000 | Global Payments, Inc., 5.300%, 8/15/2029 | 130,850 |
280,000 | Global Payments, Inc., 5.400%, 8/15/2032 | 282,729 |
375,000 | Jabil, Inc., 3.600%, 1/15/2030 | 339,492 |
125,000 | Leidos, Inc., 2.300%, 2/15/2031 | 104,626 |
55,000 | Leidos, Inc., 4.375%, 5/15/2030 | 52,656 |
Principal Amount (‡) | Description | Value (†) |
Technology — continued | ||
$490,000 | Leidos, Inc., 5.750%, 3/15/2033 | $510,961 |
250,000 | Marvell Technology, Inc., 2.950%, 4/15/2031 | 218,466 |
5,000 | Marvell Technology, Inc., 5.950%, 9/15/2033 | 5,302 |
55,000 | Micron Technology, Inc., 2.703%, 4/15/2032 | 46,191 |
120,000 | Micron Technology, Inc., 4.663%, 2/15/2030 | 117,118 |
425,000 | Micron Technology, Inc., 5.875%, 2/09/2033 | 441,739 |
1,050,000 | Micron Technology, Inc., 5.875%, 9/15/2033 | 1,092,086 |
40,000 | Motorola Solutions, Inc., 5.600%, 6/01/2032 | 41,264 |
50,000 | Oracle Corp., 2.950%, 4/01/2030 | 45,127 |
600,000 | Oracle Corp., 3.950%, 3/25/2051 | 469,839 |
140,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031(a) | 123,302 |
200,000 | SK Hynix, Inc., 6.375%, 1/17/2028(a) | 206,453 |
450,000 | Trimble, Inc., 6.100%, 3/15/2033 | 481,591 |
460,000 | VMware LLC, 2.200%, 8/15/2031 | 381,162 |
140,000 | Western Digital Corp., 2.850%, 2/01/2029 | 120,523 |
310,000 | Western Digital Corp., 4.750%, 2/15/2026 | 304,116 |
12,181,100 | ||
Transportation Services — 0.3% | ||
562,000 | ERAC USA Finance LLC, 6.700%, 6/01/2034(a) | 634,553 |
Treasuries — 12.3% | ||
6,775(f ) | Brazil Notas do Tesouro Nacional, Series NTNF, 10.000%, 1/01/2029, (BRL) | 1,391,363 |
175,689(g ) | Mexico Bonos, Series M, 7.500%, 5/26/2033, (MXN) | 937,005 |
20,790,000 | Republic of South Africa Government Bonds, Series 2035, 8.875%, 2/28/2035, (ZAR) | 958,664 |
2,485,000 | U.S. Treasury Bonds, 2.250%, 2/15/2052 | 1,722,610 |
7,125,000 | U.S. Treasury Bonds, 3.250%, 5/15/2042 | 6,251,074 |
1,550,000 | U.S. Treasury Bonds, 4.125%, 8/15/2053 | 1,566,711 |
11,110,000 | U.S. Treasury Notes, 4.625%, 6/30/2025 | 11,136,473 |
23,963,900 | ||
Wireless — 1.6% | ||
555,000 | American Tower Corp., 5.900%, 11/15/2033 | 587,592 |
585,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 722,044 |
100,000 | T-Mobile USA, Inc., 2.400%, 3/15/2029 | 89,744 |
230,000 | T-Mobile USA, Inc., 2.700%, 3/15/2032 | 196,006 |
305,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 278,828 |
1,120,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 1,062,098 |
225,000 | T-Mobile USA, Inc., 5.750%, 1/15/2034 | 238,645 |
3,174,957 |
Principal Amount (‡) | Description | Value (†) |
Wirelines — 0.0% | ||
$55,000 | Verizon Communications, Inc., 2.355%, 3/15/2032 | $45,747 |
Total Non-Convertible Bonds (Identified Cost $177,640,983) | 167,489,391 | |
Convertible Bonds — 1.7% | ||
Airlines — 0.2% | ||
305,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 308,203 |
Cable Satellite — 0.3% | ||
965,000 | DISH Network Corp., 3.375%, 8/15/2026 | 511,450 |
180,000 | DISH Network Corp., Zero Coupon, 6.944%–9.514%, 12/15/2025(h) | 111,600 |
623,050 | ||
Consumer Cyclical Services — 0.1% | ||
245,000 | Uber Technologies, Inc., Zero Coupon, 0.000%–1.922%, 12/15/2025(h) | 249,130 |
Electric — 0.2% | ||
490,000 | PPL Capital Funding, Inc., 2.875%, 3/15/2028(a) | 474,565 |
Healthcare — 0.3% | ||
600,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 493,140 |
Pharmaceuticals — 0.4% | ||
150,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 147,840 |
465,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 477,508 |
130,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 121,540 |
746,888 | ||
Retailers — 0.2% | ||
110,000 | Etsy, Inc., 0.125%, 9/01/2027 | 93,566 |
335,000 | Etsy, Inc., 0.250%, 6/15/2028 | 268,201 |
361,767 | ||
Total Convertible Bonds (Identified Cost $4,010,441) | 3,256,743 | |
Municipals — 0.3% | ||
Virginia — 0.3% | ||
805,000 | Tobacco Settlement Financing Corp., 6.706%, 6/01/2046 (Identified Cost $797,100) | 691,569 |
Total Bonds and Notes (Identified Cost $182,448,524) | 171,437,703 | |
Collateralized Loan Obligations — 3.9% | ||
395,000 | 522 Funding CLO Ltd., Series 2021-7A, Class D, 3 mo. USD SOFR + 3.162%, 8.574%, 4/23/2034(a)(b) | 377,172 |
Principal Amount (‡) | Description | Value (†) |
$250,000 | AGL CLO 5 Ltd., Series 2020-5A, Class BR, 3 mo. USD SOFR + 1.962%, 7.377%, 7/20/2034(a)(b) | $249,387 |
600,000 | Alinea CLO Ltd., Series 2018-1A, Class B, 3 mo. USD SOFR + 1.912%, 7.327%, 7/20/2031(a)(b) | 599,959 |
250,000 | Battalion CLO VIII Ltd., Series 2015-8A, Class A2R2, 3 mo. USD SOFR + 1.812%, 7.207%, 7/18/2030(a)(b) | 249,563 |
250,000 | Canyon CLO Ltd., Series 2021-4A, Class B, 3 mo. USD SOFR + 1.962%, 7.356%, 10/15/2034(a)(b) | 248,132 |
270,000 | Carlyle U.S. CLO Ltd., Series 2021-9A, Class B, 3 mo. USD SOFR + 1.912%, 7.327%, 10/20/2034(a)(b) | 268,315 |
250,000 | CIFC Funding Ltd., Series 2021-6A, Class B, 3 mo. USD SOFR + 1.912%, 7.306%, 10/15/2034(a)(b) | 248,719 |
455,000 | Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3 mo. USD SOFR + 1.662%, 7.056%, 1/15/2031(a)(b) | 452,342 |
275,000 | Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3 mo. USD SOFR + 3.112%, 8.527%, 1/20/2034(a)(b) | 273,338 |
250,000 | Galaxy XXV CLO Ltd., Series 2018-25A, Class B, 3 mo. USD SOFR + 1.912%, 7.290%, 10/25/2031(a)(b) | 249,490 |
250,000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 3 mo. USD SOFR + 1.962%, 7.333%, 11/22/2031(a)(b) | 249,984 |
255,000 | Invesco CLO Ltd., Series 2021-1A, Class D, 3 mo. USD SOFR + 3.312%, 8.706%, 4/15/2034(a)(b) | 252,786 |
250,000 | Madison Park Funding XXIV Ltd., Series 2016-24A, Class BR, 3 mo. USD SOFR + 2.012%, 7.427%, 10/20/2029(a)(b) | 250,009 |
301,450 | Madison Park Funding XXV Ltd., Series 2017-25A, Class A1R, 3 mo. USD SOFR + 1.232%, 6.610%, 4/25/2029(a)(b) | 301,399 |
250,000 | Magnetite XIV-R Ltd., Series 2015-14RA, Class B, 3 mo. USD SOFR + 1.862%, 7.257%, 10/18/2031(a)(b) | 249,987 |
248,595 | Magnetite XV Ltd., Series 2015-15A, Class AR, 3 mo. USD SOFR + 1.272%, 6.650%, 7/25/2031(a)(b) | 247,851 |
530,000 | Morgan Stanley Eaton Vance CLO Ltd., Series 2022-16A, Class B, 3 mo. USD SOFR + 1.950%, 7.344%, 4/15/2035(a)(b) | 529,373 |
250,000 | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3 mo. USD SOFR + 1.912%, 7.306%, 7/15/2034(a)(b) | 249,987 |
300,000 | Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A2, 3 mo. USD SOFR + 1.732%, 7.126%, 4/16/2031(a)(b) | 298,189 |
274,918 | Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR, 3 mo. USD SOFR + 1.232%, 6.628%, 7/19/2030(a)(b) | 274,576 |
Principal Amount (‡) | Description | Value (†) |
$250,000 | OHA Credit Partners XVI, Series 2021-16A, Class A, 3 mo. USD SOFR + 1.412%, 6.807%, 10/18/2034(a)(b) | $250,113 |
96,533 | Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, 3 mo. USD SOFR + 1.062%, 6.477%, 7/20/2029(a)(b) | 96,352 |
250,000 | Rad CLO 15 Ltd., Series 2021-15A, Class B, 3 mo. USD SOFR + 1.912%, 7.327%, 1/20/2034(a)(b) | 248,595 |
360,000 | Recette CLO Ltd., Series 2015-1A, Class BRR, 3 mo. USD SOFR + 1.662%, 7.077%, 4/20/2034(a)(b) | 355,370 |
310,000 | Sixth Street CLO XVIII Ltd., Series 2021-18A, Class D, 3 mo. USD SOFR + 3.162%, 8.577%, 4/20/2034(a)(b) | 308,968 |
255,000 | Voya CLO Ltd., Series 2018-3A, Class B, 3 mo. USD SOFR + 1.912%, 7.306%, 10/15/2031(a)(b) | 253,838 |
Total Collateralized Loan Obligations (Identified Cost $7,646,533) | 7,633,794 |
Shares | ||
Preferred Stocks — 0.8% | ||
Convertible Preferred Stocks — 0.8% | ||
Banking — 0.5% | ||
590 | Bank of America Corp., Series L, 7.250% | 711,115 |
162 | Wells Fargo & Co., Series L, Class A, 7.500% | 193,691 |
904,806 | ||
Midstream — 0.3% | ||
12,375 | El Paso Energy Capital Trust I, 4.750% | 582,862 |
Total Convertible Preferred Stocks (Identified Cost $1,471,432) | 1,487,668 | |
Total Preferred Stocks (Identified Cost $1,471,432) | 1,487,668 |
Principal Amount (‡) | ||
Senior Loans — 0.4% | ||
Building Materials — 0.1% | ||
$190,000 | Summit Materials LLC, 2023 Incremental Term Loan B, 11/30/2028(i) | 190,595 |
Principal Amount (‡) | Description | Value (†) |
Leisure — 0.1% | ||
$89,021 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.720%, 10/18/2028(b)(j) | $89,058 |
79,188 | Carnival Corp., 2023 Term Loan B, 1 mo. USD SOFR + 3.000%, 8.357%, 8/08/2027(b)(j) | 79,254 |
168,312 | ||
Technology — 0.2% | ||
420,000 | GTCR W Merger Sub LLC, USD Term Loan B, 9/20/2030(i) | 421,575 |
Total Senior Loans (Identified Cost $775,994) | 780,482 |
Shares | ||
Common Stocks— 0.3% | ||
Biotechnology — 0.2% | ||
1,979 | AbbVie, Inc. | 306,685 |
Oil, Gas & Consumable Fuels — 0.1% | ||
2,357 | Canadian Natural Resources Ltd. | 154,431 |
879 | Diamondback Energy, Inc. | 136,315 |
290,746 | ||
Total Common Stocks (Identified Cost $563,043) | 597,431 |
Principal Amount (‡) | ||
Short-Term Investments — 6.5% | ||
$4,362,993 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/29/2023 at 2.500% to be repurchased at $4,364,205 on 1/02/2024 collateralized by $4,621,000 U.S. Treasury Note, 2.500% due 3/31/2027 valued at $4,450,308 including accrued interest (Note 2 of Notes to Financial Statements) | 4,362,993 |
Principal Amount (‡) | Description | Value (†) |
$500,000 | U.S. Treasury Bills, 5.043%, 6/27/2024(k) | $487,602 |
7,975,000 | U.S. Treasury Bills, 5.262%, 5/09/2024(k)(l) | 7,829,304 |
Total Short-Term Investments (Identified Cost $12,675,229) | 12,679,899 | |
Total Investments — 99.6% (Identified Cost $205,580,755) | 194,616,977 | |
Other assets less liabilities — 0.4% | 757,552 | |
Net Assets — 100.0% | $195,374,529 |
(†) | See Note 2 of Notes to Financial Statements. |
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
(a) | 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 December 31, 2023, the value of Rule 144A holdings amounted to $77,817,338 or 39.8% of net assets. |
(b) | Variable rate security. Rate as of December 31, 2023 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. |
(c) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. |
(d) | Perpetual bond with no specified maturity date. |
(e) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(f) | Amount shown represents units. One unit represents a principal amount of 1,000. |
(g) | Amount shown represents units. One unit represents a principal amount of 100. |
(h) | 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. |
(i) | Position is unsettled. Contract rate was not determined at December 31, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(j) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate which may range from 0.00% to 2.50%, to which the spread is added. |
(k) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(l) | 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. |
ABS | Asset-Backed Securities |
ARMs | Adjustable Rate Mortgages |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
REMICS | Real Estate Mortgage Investment Conduits |
SOFR | Secured Overnight Financing Rate |
BRL | Brazilian Real |
MXN | Mexican Peso |
ZAR | South African Rand |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
CBOT 10 Year U.S. Treasury Notes Futures | 3/19/2024 | 195 | $21,374,216 | $22,013,672 | $639,456 |
CBOT 2 Year U.S. Treasury Notes Futures | 3/28/2024 | 153 | 31,246,484 | 31,504,851 | 258,367 |
CBOT 5 Year U.S. Treasury Notes Futures | 3/28/2024 | 338 | 36,225,840 | 36,765,422 | 539,582 |
CBOT U.S. Long Bond Futures | 3/19/2024 | 163 | 19,266,479 | 20,364,813 | 1,098,334 |
CME Ultra Long Term U.S. Treasury Bond Futures | 3/19/2024 | 5 | 621,573 | 667,969 | 46,396 |
Total | $2,582,135 |
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) |
Ultra 10-Year U.S. Treasury Notes Futures | 3/19/2024 | 390 | $44,819,169 | $46,026,094 | $(1,206,925 ) |
Treasuries | 12.3 % |
Banking | 11.7 |
Technology | 6.4 |
ABS Car Loan | 5.5 |
ABS Home Equity | 5.0 |
Finance Companies | 5.0 |
ABS Other | 3.6 |
Metals & Mining | 3.4 |
Midstream | 3.4 |
Independent Energy | 3.0 |
Cable Satellite | 2.7 |
Life Insurance | 2.1 |
Non-Agency Commercial Mortgage-Backed Securities | 2.1 |
Other Investments, less than 2% each | 23.0 |
Collateralized Loan Obligations | 3.9 |
Short-Term Investments | 6.5 |
Total Investments | 99.6 |
Other assets less liabilities (including futures contracts) | 0.4 |
Net Assets | 100.0 % |
Bond Fund | Investment Grade Fixed Income Fund | |
ASSETS | ||
Investments at cost | $5,114,452,037 | $205,580,755 |
Net unrealized depreciation | (595,719,906 ) | (10,963,778 ) |
Investments at value | 4,518,732,131 | 194,616,977 |
Cash | 83,145 | 3,288 |
Due from brokers (Note 2) | 280,000 | — |
Foreign currency at value (identified cost $1,542 and $15, respectively) | 1,553 | 15 |
Receivable for Fund shares sold | 7,113,979 | — |
Dividends and interest receivable | 56,007,325 | 2,146,959 |
Receivable for variation margin on futures contracts (Note 2) | 733,799 | 51,533 |
Prepaid expenses (Note 8) | 1,818 | 634 |
TOTAL ASSETS | 4,582,953,750 | 196,819,406 |
LIABILITIES | ||
Payable for securities purchased | 9,303,943 | 1,097,079 |
Payable for Fund shares redeemed | 10,908,236 | — |
Unrealized depreciation on forward foreign currency contracts (Note 2) | 142,810 | — |
Foreign taxes payable (Note 2) | 5,645 | — |
Management fees payable (Note 6) | 1,809,670 | 51,589 |
Deferred Trustees’ fees (Note 6) | 2,552,502 | 209,241 |
Administrative fees payable (Note 6) | 176,646 | 7,524 |
Payable to distributor (Note 6d) | 35,951 | — |
Audit and tax services fees payable | 68,445 | 62,038 |
Other accounts payable and accrued expenses | 348,470 | 17,406 |
TOTAL LIABILITIES | 25,352,318 | 1,444,877 |
COMMITMENTS AND CONTINGENCIES(a) | — | — |
NET ASSETS | $4,557,601,432 | $195,374,529 |
NET ASSETS CONSIST OF: | ||
Paid-in capital | $5,778,319,804 | $217,735,790 |
Accumulated loss | (1,220,718,372 ) | (22,361,261 ) |
NET ASSETS | $4,557,601,432 | $195,374,529 |
Bond Fund | Investment Grade Fixed Income Fund | |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: | ||
Institutional Class: | ||
Net assets | $3,386,079,240 | $195,374,529 |
Shares of beneficial interest | 290,792,893 | 18,778,961 |
Net asset value, offering and redemption price per share | $11.64 | $10.40 |
Retail Class: | ||
Net assets | $740,591,675 | $— |
Shares of beneficial interest | 63,998,447 | — |
Net asset value, offering and redemption price per share | $11.57 | $— |
Admin Class shares: | ||
Net assets | $30,521,866 | $— |
Shares of beneficial interest | 2,647,790 | — |
Net asset value, offering and redemption price per share | $11.53 | $— |
Class N shares: | ||
Net assets | $400,408,651 | $— |
Shares of beneficial interest | 34,438,175 | — |
Net asset value, offering and redemption price per share | $11.63 | $— |
(a) | As disclosed in the Notes to Financial Statements, if applicable. |
Bond Fund | Investment Grade Fixed Income Fund | |
INVESTMENT INCOME | ||
Interest | $253,525,805 | $8,447,019 |
Dividends | 6,893,525 | 143,171 |
Less net foreign taxes withheld | (113,713 ) | (704 ) |
260,305,617 | 8,589,486 | |
Expenses | ||
Management fees (Note 6) | 26,785,779 | 768,537 |
Service and distribution fees (Note 6) | 2,135,109 | — |
Administrative fees (Note 6) | 2,224,676 | 88,993 |
Trustees' fees and expenses (Note 6) | 401,139 | 39,861 |
Transfer agent fees and expenses (Notes 6 and 7) | 3,592,274 | 3,972 |
Audit and tax services fees | 70,227 | 62,039 |
Custodian fees and expenses | 132,804 | 15,811 |
Legal fees | 178,702 | 7,134 |
Registration fees | 115,050 | 24,374 |
Shareholder reporting expenses | 256,744 | 9,284 |
Miscellaneous expenses | 164,841 | 40,799 |
Total expenses | 36,057,345 | 1,060,804 |
Less waiver and/or expense reimbursement (Note 6) | (2,180,132 ) | (26,193 ) |
Net expenses | 33,877,213 | 1,034,611 |
Net investment income | 226,428,404 | 7,554,875 |
Net realized and unrealized gain (loss) on Investments, Futures contracts, Forward foreign currency contracts and Foreign currency transactions | ||
Net realized gain (loss) on: | ||
Investments | (129,145,737 ) | (5,197,778 ) |
Futures contracts | (66,161,097 ) | (3,393,932 ) |
Forward foreign currency contracts (Note 2d) | (102,750 ) | — |
Foreign currency transactions (Note 2c) | (186,235 ) | 1,304 |
Net change in unrealized appreciation (depreciation) on: | ||
Investments | 288,656,764 | 13,651,964 |
Futures contracts | 41,321,604 | 1,588,762 |
Forward foreign currency contracts (Note 2d) | (142,810 ) | — |
Foreign currency translations (Note 2c) | 32,777 | 948 |
Net realized and unrealized gain on Investments, Futures contracts, Forward foreign currency contracts and Foreign currency transactions | 134,272,516 | 6,651,268 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $360,700,920 | $14,206,143 |
Bond Fund | Investment Grade Fixed Income Fund | |||
Year Ended December 31,2023 | Year Ended December 31,2022 | Year Ended December 31,2023 | Year Ended December 31,2022 | |
FROM OPERATIONS: | ||||
Net investment income | $226,428,404 | $209,190,346 | $7,554,875 | $5,974,235 |
Net realized loss on investments, futures contracts, forward foreign currency contracts and foreign currency transactions | (195,595,819 ) | (19,390,917 ) | (8,590,406 ) | (3,052,456 ) |
Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations | 329,868,335 | (1,098,662,865 ) | 15,241,674 | (32,276,734 ) |
Net increase (decrease) in net assets resulting from operations | 360,700,920 | (908,863,436 ) | 14,206,143 | (29,354,955 ) |
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Institutional Class | (182,875,915 ) | (211,847,206 ) | (8,002,821 ) | (8,575,864 ) |
Retail Class | (39,121,456 ) | (44,765,024 ) | — | — |
Admin Class | (1,430,991 ) | (1,526,364 ) | — | — |
Class N | (21,698,797 ) | (22,836,367 ) | — | — |
Total distributions | (245,127,159 ) | (280,974,961 ) | (8,002,821 ) | (8,575,864 ) |
NET DECREASE IN NET ASSETS FROM CAPITAL SHARES TRANSACTIONS (Note 11) | (649,160,041 ) | (1,308,389,706 ) | (4,317,378 ) | (12,070,679 ) |
Net increase (decrease) in net assets | (533,586,280 ) | (2,498,228,103 ) | 1,885,944 | (50,001,498 ) |
NET ASSETS | ||||
Beginning of the year | 5,091,187,712 | 7,589,415,815 | 193,488,585 | 243,490,083 |
End of the year | $4,557,601,432 | $5,091,187,712 | $195,374,529 | $193,488,585 |
Bond Fund – Institutional Class | ||||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $11.35 | $13.62 | $13.58 | $13.10 | $13.66 | $13.57 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.54 | 0.42 | 0.34 | 0.10 | 0.48 | 0.55 |
Net realized and unrealized gain (loss) | 0.34 | (2.11 ) | 0.09 | 0.59 | (0.57 ) | 0.08 |
Total from Investment Operations | 0.88 | (1.69 ) | 0.43 | 0.69 | (0.09 ) | 0.63 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.59 ) | (0.58 ) | (0.39 ) | (0.14 ) | (0.45 ) | (0.50 ) |
Net realized capital gains | — | — | — | (0.07 ) | (0.02 ) | (0.04 ) |
Total Distributions | (0.59 ) | (0.58 ) | (0.39 ) | (0.21 ) | (0.47 ) | (0.54 ) |
Net asset value, end of the period | $11.64 | $11.35 | $13.62 | $13.58 | $13.10 | $13.66 |
Total return | 8.05 %(b) | (12.49 )%(b) | 3.23 %(b) | 5.35 %(c) | (0.73 )% | 4.88 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $3,386,079 | $3,759,888 | $5,776,109 | $6,630,032 | $6,668,481 | $8,071,961 |
Net expenses | 0.67 %(d)(e) | 0.67 %(d) | 0.67 %(d) | 0.67 %(f) | 0.67 % | 0.67 % |
Gross expenses | 0.71 % | 0.69 % | 0.68 % | 0.67 %(f) | 0.67 % | 0.67 % |
Net investment income | 4.75 % | 3.44 % | 2.47 % | 3.02 %(f) | 3.65 % | 4.12 % |
Portfolio turnover rate | 30 % | 23 % | 87 %(g) | 26 %(h) | 25 % | 17 % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2023, the expense limit decreased from 0.67% to 0.66%. See Note 6 of Notes to Financial Statements. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(h) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
Bond Fund – Retail Class | ||||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $11.28 | $13.55 | $13.51 | $13.03 | $13.59 | $13.49 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.51 | 0.39 | 0.30 | 0.09 | 0.45 | 0.52 |
Net realized and unrealized gain (loss) | 0.34 | (2.11 ) | 0.10 | 0.59 | (0.57 ) | 0.08 |
Total from Investment Operations | 0.85 | (1.72 ) | 0.40 | 0.68 | (0.12 ) | 0.60 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.56 ) | (0.55 ) | (0.36 ) | (0.13 ) | (0.42 ) | (0.46 ) |
Net realized capital gains | — | — | — | (0.07 ) | (0.02 ) | (0.04 ) |
Total Distributions | (0.56 ) | (0.55 ) | (0.36 ) | (0.20 ) | (0.44 ) | (0.50 ) |
Net asset value, end of the period | $11.57 | $11.28 | $13.55 | $13.51 | $13.03 | $13.59 |
Total return | 7.83 %(b) | (12.78 )%(b) | 2.98 %(b) | 5.31 %(c) | (0.99 )% | 4.72 %(b) |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $740,592 | $861,223 | $1,248,925 | $1,469,489 | $1,474,316 | $2,019,828 |
Net expenses | 0.92 %(d)(e) | 0.92 %(d) | 0.92 %(d) | 0.92 %(f) | 0.92 % | 0.91 %(g) |
Gross expenses | 0.96 % | 0.94 % | 0.93 % | 0.92 %(f) | 0.92 % | 0.92 % |
Net investment income | 4.50 % | 3.20 % | 2.22 % | 2.77 %(f) | 3.41 % | 3.88 % |
Portfolio turnover rate | 30 % | 23 % | 87 %(h) | 26 %(i) | 25 % | 17 % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2023, the expense limit decreased from 0.92% to 0.91%. See Note 6 of Notes to Financial Statements. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(h) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(i) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
Bond Fund– Admin Class | ||||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the year | $11.24 | $13.49 | $13.45 | $12.97 | $13.53 | $13.44 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.49 | 0.36 | 0.27 | 0.08 | 0.42 | 0.48 |
Net realized and unrealized gain (loss) | 0.34 | (2.09 ) | 0.09 | 0.60 | (0.58 ) | 0.08 |
Total from Investment Operations | 0.83 | (1.73 ) | 0.36 | 0.68 | (0.16 ) | 0.56 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.54 ) | (0.52 ) | (0.32 ) | (0.13 ) | (0.38 ) | (0.43 ) |
Net realized capital gains | — | — | — | (0.07 ) | (0.02 ) | (0.04 ) |
Total Distributions | (0.54 ) | (0.52 ) | (0.32 ) | (0.20 ) | (0.40 ) | (0.47 ) |
Net asset value, end of the period | $11.53 | $11.24 | $13.49 | $13.45 | $12.97 | $13.53 |
Total return | 7.50 %(b) | (12.91 )%(b) | 2.74 %(b) | 5.26 %(c) | (1.24 )% | 4.40 %(b) |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $30,522 | $30,678 | $44,562 | $50,062 | $51,040 | $84,028 |
Net expenses | 1.13 %(d)(e)(f) | 1.13 %(d)(g) | 1.15 %(d)(h) | 1.17 %(i) | 1.17 % | 1.16 %(j) |
Gross expenses | 1.17 %(e) | 1.15 %(g) | 1.16 %(h) | 1.17 %(i) | 1.17 % | 1.17 % |
Net investment income | 4.31 % | 2.99 % | 1.99 % | 2.52 %(i) | 3.19 % | 3.63 % |
Portfolio turnover rate | 30 % | 23 % | 87 %(k) | 26 %(l) | 25 % | 17 % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Includes refund of prior year service fee of 0.04%. See Note 6b of Notes to Financial Statements. |
(f) | Effective July 1, 2023, the expense limit decreased from 1.17% to 1.16%. See Note 6 of Notes to Financial Statements. |
(g) | Includes refund of prior year service fee of 0.04%. |
(h) | Includes refund of prior year service fee of 0.02%. |
(i) | Computed on an annualized basis for periods less than one year. |
(j) | The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(k) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(l) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
Bond Fund– Class N | ||||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $11.33 | $13.60 | $13.57 | $13.08 | $13.64 | $13.55 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.55 | 0.43 | 0.35 | 0.10 | 0.48 | 0.56 |
Net realized and unrealized gain (loss) | 0.35 | (2.11 ) | 0.08 | 0.61 | (0.56 ) | 0.08 |
Total from Investment Operations | 0.90 | (1.68 ) | 0.43 | 0.71 | (0.08 ) | 0.64 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.60 ) | (0.59 ) | (0.40 ) | (0.15 ) | (0.46 ) | (0.51 ) |
Net realized capital gains | — | — | — | (0.07 ) | (0.02 ) | (0.04 ) |
Total Distributions | (0.60 ) | (0.59 ) | (0.40 ) | (0.22 ) | (0.48 ) | (0.55 ) |
Net asset value, end of the period | $11.63 | $11.33 | $13.60 | $13.57 | $13.08 | $13.64 |
Total return | 8.12 %(b) | (12.46 )% | 3.22 % | 5.45 %(c) | (0.66 )% | 4.97 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $400,409 | $439,999 | $519,821 | $903,844 | $853,559 | $469,234 |
Net expenses | 0.62 %(d)(e) | 0.61 % | 0.61 % | 0.60 %(f) | 0.60 % | 0.59 % |
Gross expenses | 0.63 % | 0.61 % | 0.61 % | 0.60 %(f) | 0.60 % | 0.59 % |
Net investment income | 4.81 % | 3.54 % | 2.56 % | 3.08 %(f) | 3.65 % | 4.20 % |
Portfolio turnover rate | 30 % | 23 % | 87 %(g) | 26 %(h) | 25 % | 17 % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2023, the expense limit decreased from 0.62% to 0.61%. See Note 6 of Notes to Financial Statements. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(h) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
Investment Grade Fixed Income Fund – Institutional Class | ||||||
Year Ended December 31, 2023 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | |
Net asset value, beginning of the period | $10.04 | $11.86 | $12.47 | $12.48 | $12.30 | $12.20 |
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||
Net investment income(a) | 0.40 | 0.29 | 0.29 | 0.08 | 0.36 | 0.39 |
Net realized and unrealized gain (loss) | 0.38 | (1.70 ) | (0.19 ) | 0.46 | 0.18 | 0.14 |
Total from Investment Operations | 0.78 | (1.41 ) | 0.10 | 0.54 | 0.54 | 0.53 |
LESS DISTRIBUTIONS FROM: | ||||||
Net investment income | (0.42 ) | (0.31 ) | (0.30 ) | (0.12 ) | (0.32 ) | (0.24 ) |
Net realized capital gains | — | (0.10 ) | (0.41 ) | (0.43 ) | (0.04 ) | (0.19 ) |
Total Distributions | (0.42 ) | (0.41 ) | (0.71 ) | (0.55 ) | (0.36 ) | (0.43 ) |
Net asset value, end of the period | $10.40 | $10.04 | $11.86 | $12.47 | $12.48 | $12.30 |
Total return | 8.00 %(b) | (11.98 )% | 0.80 % | 4.38 %(b)(c) | 4.53 % | 4.46 % |
RATIOS TO AVERAGE NET ASSETS: | ||||||
Net assets, end of the period (000's) | $195,375 | $193,489 | $243,490 | $252,690 | $229,129 | $289,056 |
Net expenses | 0.54 %(d)(e) | 0.52 % | 0.52 % | 0.55 %(d)(f) | 0.52 % | 0.50 % |
Gross expenses | 0.55 % | 0.52 % | 0.52 % | 0.67 %(f) | 0.52 % | 0.50 % |
Net investment income | 3.93 % | 2.72 % | 2.33 % | 2.53 %(f) | 2.93 % | 3.26 % |
Portfolio turnover rate | 41 % | 35 % | 85 %(g) | 30 %(h) | 29 % | 11 % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Effective July 1, 2023, the expense limit decreased from 0.55% to 0.53%. See Note 6 of Notes to Financial Statements. |
(f) | Computed on an annualized basis for periods less than one year. |
(g) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(h) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
Loomis Sayles Investment Grade Fixed Income Fund ("Investment Grade Fixed Income Fund")
available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.
2023 Distributions | 2022 Distributions | |||||
Fund | Ordinary Income | Long-Term Capital Gains | Total | Ordinary Income | Long-Term Capital Gains | Total |
Bond Fund | $245,127,159 | $— | $245,127,159 | $280,974,961 | $— | $280,974,961 |
Investment Grade Fixed Income Fund | 8,002,821 | — | 8,002,821 | 6,401,061 | 2,174,803 | 8,575,864 |
Bond Fund | Investment Grade Fixed Income Fund | |
Undistributed ordinary income | $497,267 | $34,088 |
Capital loss carryforward: | ||
Short-term: | ||
No expiration date | (48,552,039 ) | (3,146,776 ) |
Long-term: | ||
No expiration date | (522,093,443 ) | (7,249,529 ) |
Total capital loss carryforward | (570,645,482 ) | (10,396,305 ) |
Unrealized depreciation | (609,711,413 ) | (11,643,480 ) |
Total accumulated losses | $(1,179,859,628 ) | $(22,005,697 ) |
Bond Fund | Investment Grade Fixed Income Fund | |
Federal tax cost | $5,128,470,676 | $206,261,405 |
Gross tax appreciation | $89,753,615 | $4,097,321 |
Gross tax depreciation | (699,492,160 ) | (15,741,749 ) |
Net tax depreciation | $(609,738,545 ) | $(11,644,428 ) |
Bond Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Non-Convertible Bonds(a) | $— | $3,640,484,186 | $— | $3,640,484,186 |
Convertible Bonds(a) | — | 263,491,887 | — | 263,491,887 |
Municipals(a) | — | 74,680,850 | — | 74,680,850 |
Total Bonds and Notes | — | 3,978,656,923 | — | 3,978,656,923 |
Collateralized Loan Obligations | — | 195,548,046 | — | 195,548,046 |
Common Stocks | ||||
Technology Hardware, Storage & Peripherals | 1,905,854 | 14,873 | — | 1,920,727 |
All Other Common Stocks(a) | 86,398,645 | — | — | 86,398,645 |
Total Common Stocks | 88,304,499 | 14,873 | — | 88,319,372 |
Senior Loans(a) | — | 43,950,994 | — | 43,950,994 |
Preferred Stocks | ||||
Convertible Preferred Stocks(a) | 27,209,301 | — | — | 27,209,301 |
Non-Convertible Preferred Stocks | ||||
Office REITs | — | — | 2,294,242 | 2,294,242 |
Other REITs | — | 9,295,385 | — | 9,295,385 |
All Other Non-Convertible Preferred Stocks(a) | 978,040 | — | — | 978,040 |
Total Non-Convertible Preferred Stocks | 978,040 | 9,295,385 | 2,294,242 | 12,567,667 |
Total Preferred Stocks | 28,187,341 | 9,295,385 | 2,294,242 | 39,776,968 |
Short-Term Investments | — | 172,479,828 | — | 172,479,828 |
Total Investments | 116,491,840 | 4,399,946,049 | 2,294,242 | 4,518,732,131 |
Futures Contracts (unrealized appreciation) | 58,826,503 | — | — | 58,826,503 |
Total | $175,318,343 | $4,399,946,049 | $2,294,242 | $4,577,558,634 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Forward Foreign Currency Contracts (unrealized depreciation) | $— | $(142,810 ) | $— | $(142,810 ) |
Futures Contracts (unrealized depreciation) | (23,960,676 ) | — | — | (23,960,676 ) |
Total | $(23,960,676 ) | $(142,810 ) | $— | $(24,103,486 ) |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Investment Grade Fixed Income Fund | ||||
Asset Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Bonds and Notes | ||||
Non-Convertible Bonds | ||||
ABS Home Equity | $— | $9,851,767 | $3,330 | $9,855,097 |
All Other Non-Convertible Bonds(a) | — | 157,634,294 | — | 157,634,294 |
Total Non-Convertible Bonds | — | 167,486,061 | 3,330 | 167,489,391 |
Convertible Bonds(a) | — | 3,256,743 | — | 3,256,743 |
Municipals(a) | — | 691,569 | — | 691,569 |
Total Bonds and Notes | — | 171,434,373 | 3,330 | 171,437,703 |
Collateralized Loan Obligations | — | 7,633,794 | — | 7,633,794 |
Preferred Stocks(a) | 1,487,668 | — | — | 1,487,668 |
Senior Loans(a) | — | 780,482 | — | 780,482 |
Common Stocks(a) | 597,431 | — | — | 597,431 |
Short-Term Investments | — | 12,679,899 | — | 12,679,899 |
Total Investments | 2,085,099 | 192,528,548 | 3,330 | 194,616,977 |
Futures Contracts (unrealized appreciation) | 2,582,135 | — | — | 2,582,135 |
Total | $4,667,234 | $192,528,548 | $3,330 | $197,199,112 |
Liability Valuation Inputs | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Futures Contracts (unrealized depreciation) | $(1,206,925 ) | $— | $— | $(1,206,925 ) |
(a) | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
Bond Fund | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of December 31, 2022 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2023 |
Bonds and Notes | ||||||||||
Non-Convertible Bonds | ||||||||||
Property & Casualty Insurance | $1,406,500 | $— | $— | $— | $— | $— | $— | $(1,406,500 ) | $— | $— |
Preferred Stocks | ||||||||||
Non-Convertible Preferred Stocks | ||||||||||
Office REITs | 2,398,869 | — | — | (104,627 ) | — | — | — | — | 2,294,242 | (104,627 ) |
Total | $3,805,369 | $— | $— | $(104,627 ) | $— | $— | $— | $(1,406,500 ) | $2,294,242 | $(104,627 ) |
Investment Grade Fixed Income Fund | ||||||||||
Asset Valuation Inputs | ||||||||||
Investments in Securities | Balance as of December 31, 2022 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2023 |
Bonds and Notes | ||||||||||
Non-Convertible Bonds | ||||||||||
ABS Home Equity | $3,824 | $— | $12 | $68 | $— | $(574 ) | $— | $— | $3,330 | $(5 ) |
Assets | Unrealized appreciation on futures contracts1 |
Exchange-traded asset derivatives | |
Interest rate contracts | $58,826,503 |
1 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Liabilities | Unrealized depreciation on forward foreign currency contracts | Unrealized depreciation on futures contracts1 | Total |
Over-the-counter liability derivatives | |||
Foreign exchange contracts | $(142,810 ) | $— | $(142,810 ) |
Exchange-traded liability derivatives | |||
Interest rate contracts | — | (23,960,676 ) | (23,960,676 ) |
Total liability derivatives | $(142,810 ) | $(23,960,676 ) | $(24,103,486 ) |
1 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Net Realized Gain (Loss) on: | Forward foreign currency contracts | Futures contracts |
Interest rate contracts | $— | $(66,161,097 ) |
Foreign exchange contracts | (102,750 ) | — |
Total | $(102,750 ) | $(66,161,097 ) |
Net Change in Unrealized Appreciation (Depreciation) on: | Forward foreign currency contracts | Futures contracts |
Interest rate contracts | $— | $41,321,604 |
Foreign exchange contracts | (142,810 ) | — |
Total | $(142,810 ) | $41,321,604 |
Assets | Unrealized appreciation on futures contracts1 |
Exchange-traded asset derivatives | |
Interest rate contracts | $2,582,135 |
1 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Liabilities | Unrealized depreciation on futures contracts1 |
Exchange-traded liability derivatives | |
Interest rate contracts | $(1,206,925 ) |
1 | Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable. |
Net Realized Gain (Loss) on: | Futures contracts |
Interest rate contracts | $(3,393,932 ) |
Net Change in Unrealized Appreciation (Depreciation) on: | Futures contracts |
Interest rate contracts | $1,588,762 |
Bond Fund | Forwards | Futures |
Average Notional Amount Outstanding | 0.22 % | 37.50 % |
Highest Notional Amount Outstanding | 0.32 % | 75.06 % |
Lowest Notional Amount Outstanding | 0.00 % | 13.28 % |
Notional Amount Outstanding as of December 31, 2023 | 0.31 % | 75.06 % |
Investment Grade Fixed Income Fund | Futures |
Average Notional Amount Outstanding | 49.15 % |
Highest Notional Amount Outstanding | 80.53 % |
Lowest Notional Amount Outstanding | 32.54 % |
Notional Amount Outstanding as of December 31, 2023 | 80.53 % |
Bond Fund | |||||
Counterparty | Gross Amounts of Liabilities | Offset Amount | Net Liability Balance | Collateral (Received)/ Pledged | Net Amount |
Bank of America N.A. | $(142,810 ) | $— | $(142,810 ) | $142,810 | $— |
U.S. Government/ Agency Securities | Other Securities | |||
Fund | Purchases | Sales | Purchases | Sales |
Bond Fund | $249,258,412 | $610,698,545 | $1,107,459,504 | $1,631,972,210 |
Investment Grade Fixed Income Fund | 16,412,103 | 31,519,547 | 57,002,483 | 58,731,427 |
Percentage of Average Daily Net Assets | |||
Fund | First $3 billion | Next $22 billion | Over $25 billion |
Bond Fund | 0.59 % | 0.49 % | 0.48 % |
Investment Grade Fixed Income Fund | 0.40 % | 0.40 % | 0.40 % |
Percentage of Average Daily Net Assets | ||||
Fund | First $3 billion | Next $12 billion | Next $10 billion | Over $25 billion |
Bond Fund | 0.60% | 0.50% | 0.49% | 0.48% |
Expense Limit as a Percentage of Average Daily Net Assets | ||||
Fund | Institutional Class | Retail Class | Admin Class | Class N |
Bond Fund | 0.66 % | 0.91 % | 1.16 % | 0.61 % |
Investment Grade Fixed Income Fund | 0.53 % | — % | — % | — % |
Expense Limit as a Percentage of Average Daily Net Assets | ||||
Fund | Institutional Class | Retail Class | Admin Class | Class N |
Bond Fund | 0.67 % | 0.92 % | 1.17 % | 0.62 % |
Investment Grade Fixed Income Fund | 0.55 % | — % | — % | — % |
Gross Management Fees | Contractual Waivers of Management Fees1 | Net Management Fees | Percentage of Average Daily Net Assets | ||
Fund | Gross | Net | |||
Bond Fund | $26,785,779 | $2,180,132 | $24,605,647 | 0.56 % | 0.51 % |
Investment Grade Fixed Income Fund | 768,537 | 26,193 | 742,344 | 0.40 % | 0.39 % |
1 | Management fee waivers are subject to possible recovery until December 31, 2024. |
Service Fees | Distribution Fees | |||
Fund | Admin Class | Retail Class | Admin Class | |
Bond Fund | $63,679 | $1,995,815 | $75,615 |
Fund | Administrative Fees |
Bond Fund | $2,224,676 |
Investment Grade Fixed Income Fund | 88,993 |
Transfer Agent Fees and Expenses | ||||
Fund | Institutional Class | Retail Class | Admin Class | Class N |
Bond Fund | $2,907,411 | $652,621 | $24,720 | $7,522 |
December 31, 2023, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling
Fund | Number of 5% Account Holders | Percentage of Ownership |
Bond Fund | 1 | 5.70 % |
Investment Grade Fixed Income Fund | 6 | 78.55 % |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Bond Fund | Shares | Amount | Shares | Amount |
Institutional Class | ||||
Issued from the sale of shares | 50,324,349 | $572,079,568 | 60,178,494 | $731,035,905 |
Issued in connection with the reinvestment of distributions | 14,718,168 | 166,822,204 | 16,400,210 | 195,503,283 |
Redeemed | (105,495,327 ) | (1,198,121,685 ) | (169,323,595 ) | (2,042,242,993 ) |
Net change | (40,452,810 ) | $(459,219,913 ) | (92,744,891 ) | $(1,115,703,805 ) |
Retail Class | ||||
Issued from the sale of shares | 3,830,489 | $43,552,873 | 4,320,525 | $52,713,946 |
Issued in connection with the reinvestment of distributions | 3,338,052 | 37,605,069 | 3,642,478 | 43,087,038 |
Redeemed | (19,496,929 ) | (220,503,523 ) | (23,840,273 ) | (288,995,987 ) |
Net change | (12,328,388 ) | $(139,345,581 ) | (15,877,270 ) | $(193,195,003 ) |
Admin Class | ||||
Issued from the sale of shares | 653,955 | $7,381,089 | 787,529 | $9,363,411 |
Issued in connection with the reinvestment of distributions | 126,131 | 1,414,552 | 128,111 | 1,508,431 |
Redeemed | (862,132 ) | (9,730,973 ) | (1,489,367 ) | (17,743,200 ) |
Net change | (82,046 ) | $(935,332 ) | (573,727 ) | $(6,871,358 ) |
Class N | ||||
Issued from the sale of shares | 7,722,130 | $87,543,184 | 8,276,717 | $101,606,037 |
Issued in connection with the reinvestment of distributions | 1,802,180 | 20,393,987 | 1,841,516 | 21,847,127 |
Redeemed | (13,854,165 ) | (157,596,386 ) | (9,561,799 ) | (116,072,704 ) |
Net change | (4,329,855 ) | $(49,659,215 ) | 556,434 | $7,380,460 |
Decrease from capital share transactions | (57,193,099 ) | $(649,160,041 ) | (108,639,454 ) | $(1,308,389,706 ) |
Year Ended December 31, 2023 | Year Ended December 31, 2022 | |||
Investment Grade Fixed Income Fund | Shares | Amount | Shares | Amount |
Institutional Class | ||||
Issued from the sale of shares | 1,513,480 | $15,266,091 | 582,596 | $6,328,414 |
Issued in connection with the reinvestment of distributions | 783,647 | 7,903,454 | 799,752 | 8,493,158 |
Redeemed | (2,781,565 ) | (27,486,923 ) | (2,641,549 ) | (26,892,251 ) |
Net change | (484,438 ) | $(4,317,378 ) | (1,259,201 ) | $(12,070,679 ) |
Decrease from capital share transactions | (484,438 ) | $(4,317,378 ) | (1,259,201 ) | $(12,070,679 ) |
Boston, Massachusetts
February 22, 2024
Fund | Qualifying Percentage |
Bond Fund | 1.93% |
Investment Grade Fixed Income Fund | 1.71% |
Fund | Qualifying Percentage |
Bond Fund | 2.76% |
Investment Grade Fixed Income Fund | 3.22% |
Name and Year of Birth | Position(s) Held with the Trust, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees | ||||
Edmond J. English (1953) | Trustee since 2013 Contract Review Committee Member | Executive Chairman of Bob’s Discount Furniture (retail) | 51 Director, Burlington Stores, Inc. (retail); Director, Rue La La (e-commerce retail) | Significant experience on the Board and on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company) |
Richard A. Goglia (1951) | Trustee since 2015 Chairperson of the Audit Committee | Retired | 51 Formerly, Director of Triumph Group (aerospace industry) | Significant experience on the Board and executive experience (including his role as Vice President and treasurer of a defense company and experience at a financial services company) |
Martin T. Meehan (1956) | Trustee since 2012 Chairperson of the Governance Committee and Contract Review Committee Member | President, University of Massachusetts | 51 None | Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience |
Maureen B. Mitchell (1951) | Trustee since 2017 Chairperson of the Contract Review Committee | Retired | 51 Director, Sterling Bancorp (bank) | Significant experience on the Board; financial services industry and executive experience (including role as President of global sales and marketing at a financial services company) |
Name and Year of Birth | Position(s) Held with the Trust, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Independent Trustees − continued | ||||
James P. Palermo (1955) | Trustee since 2016 Audit Committee Member and Governance Committee Member | Founding Partner, Breton Capital Management, LLC (private equity); formerly, Partner, STEP Partners, LLC (private equity) | 51 Director, Candidly (chemicals and biofuels) | Significant experience on the Board; financial services industry and executive experience (including roles as Chief Executive Officer of client management and asset servicing for a banking and financial services company) |
Erik R. Sirri (1958) | Chairperson of the Board of Trustees since 2021 Trustee since 2009 Ex Officio Member of the Audit Committee, Contract Review Committee and Governance Committee | Retired; formerly, Professor of Finance at Babson College | 51 None | Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist |
Peter J. Smail (1952) | Trustee since 2009 Contract Review Committee Member | Retired | 51 None | Significant experience on the Board; mutual fund industry and executive experience (including roles as President and Chief Executive Officer for an investment adviser) |
Kirk A. Sykes (1958) | Trustee since 2019 Audit Committee Member and Governance Committee Member | Managing Director of Accordia Partners, LLC (real estate development); President of Primary Corporation (real estate development); Managing Principal of Merrick Capital Partners (infrastructure finance) | 51 Advisor/Risk Management Committee, Eastern Bank (bank); Director, Apartment Investment and Management Company (real estate investment trust); formerly, Director, Ares Commercial Real Estate Corporation (real estate investment trust) | Experience on the Board and significant experience on the boards of other business organizations (including real estate companies and banks) |
Cynthia L. Walker (1956) | Trustee since 2005 Audit Committee and Governance Committee Member | Retired; formerly, Deputy Dean for Finance and Administration, Yale University School of Medicine | 51 None | Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration) |
Name and Year of Birth | Position(s) Held with the Trust, Length of Time Served and Term of Office1 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen2and Other Directorships Held During Past 5 Years | Experience, Qualifications, Attributes, Skills for Board Membership |
Interested Trustees | ||||
Kevin P. Charleston3 (1965) One Financial Center Boston, MA 02111 | Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015 | President, Chief Executive Officer and Chairman of the Board of Directors, Loomis, Sayles & Company, L.P. | 51 None | Significant experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
David L. Giunta4 (1965) | Trustee since 2011 Executive Vice President of Loomis Sayles Funds I since 2008 | President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC | 51 None | Significant experience on the Board; experience as President and Chief Executive Officer of Natixis Advisors, LLC and Natixis Distribution, LLC |
1 | Each Trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. |
2 | The Trustees of the Trust serve as Trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust, Loomis Sayles Funds I, Loomis Sayles Funds II, Natixis ETF Trust and Natixis ETF Trust II (collectively, the “Fund Complex”). |
3 | Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P. |
4 | Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer, Natixis Advisors, LLC and Natixis Distribution, LLC. |
Name and Year of Birth | Position(s) Held with the Trust | Term of Office1 and Length of Time Served | Principal Occupation(s) During Past 5 Years2 |
Officers of the Trusts | |||
Matthew J. Block (1981) | Treasurer, Principal Financial and Accounting Officer | Since 2022 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; Assistant Treasurer of the Fund Complex |
Susan McWhan Tobin (1963) | Secretary and Chief Legal Officer | Since 2022 | Executive Vice President, General Counsel and Secretary, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Executive Vice President and Chief Compliance Officer of Natixis Investment Managers (March 2019 – May 2022) and Senior Vice President and Head of Compliance, U.S. for Natixis Investment Managers (July 2011 – March 2019) |
Natalie R. Wagner (1979) | Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer | Since 2021 | Senior Vice President, Natixis Advisors, LLC and Natixis Distribution, LLC; formerly, Vice President, Head of Corporate Compliance, Global Atlantic Financial Group |
1 | Each officer of the Trust serves for an indefinite term in accordance with the Trust's current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified. |
2 | Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Previous positions during the past five years with Natixis Distribution, LLC, Natixis Advisors, LLC or Loomis, Sayles & Company, L.P. are omitted, if not materially different from an officer’s current position with such entity. |
Natixis Advisors, LLC
888 Boylston Street, Suite 800
Boston, MA 02199-8197
secretaryofthefunds@natixis.com
Communications regarding recommendations for Trustee candidates may not be submitted by e-mail.Please note: Unlike written correspondence, e-mail is not secure. Please do NOT include your account number, social security number, PIN, or any other non-public, personal information in an e-mail communication because this information may be viewed by others.
(b) Not Applicable.
Item 2. Code of Ethics.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the Registrant has established an audit committee. Mr. Richard A. Goglia, Mr. James P. Palermo, Mr. Kirk A Sykes and Ms. Cynthia L. Walker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.
Item 4. Principal Accountant Fees and Services.
Fees billed by the Principal Accountant for services rendered to the Registrant.
The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services reported as a part of (a) through (c) of this Item.
Audit fees | Audit-related fees1 | Tax fees2 | All other fees | |||||||||||||||||||||||||||||
10/1/22- 12/31/22 | 1/1/23- 12/31/23 | 10/1/22- 12/31/22 | 1/1/23- 12/31/23 | 10/1/22- 12/31/22 | 1/1/23- 12/31/23 | 10/1/22- 12/31/22 | 1/1/23- 12/31/23 | |||||||||||||||||||||||||
Loomis Sayles Bond Fund and Loomis Sayles Investment Grade Fixed Income Fund | $ | 109,483 | $ | 112,768 | $ | 1,220 | $ | 1,303 | $ | 17,180 | $ | 19,946 | $ | — | $ | — |
1. | Audit-related fees consist of: |
2022 & 2023 – performance of agreed-upon procedures related to the Registrant’s deferred compensation plan.
2. | Tax fees consist of: |
2022 & 2023 – review of the Registrant’s tax returns (2022 & 2023) and consulting services related to a portfolio investment (2023).
Aggregate fees billed to the Registrant for non-audit services during 2022 and 2023 were $18,400 and $21,249, respectively.
Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.
The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. (“Loomis Sayles”) and entities controlling, controlled by or under common control with Loomis Sayles (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.
Audit-related fees | Tax fees | All other fees | ||||||||||||||||||||||
10/1/22- 12/31/22 | 1/1/23- 12/31/23 | 10/1/22- 12/31/22 | 1/1/23- 12/31/23 | 10/1/22- 12/31/22 | 1/1/23- 12/31/23 | |||||||||||||||||||
Control Affiliates | $ | — | $ | — | $ | — | $ | — | $ | 50,000 | $ | — |
The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis Sayles and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.
Aggregate Non-Audit Fees | ||||||||
10/1/22-12/31/22 | 1/1/23-12/31/23 | |||||||
Control Affiliates | $ | 50,000 | $ | 110,000 |
None of the services described above were approved pursuant to paragraph (c)(7)(i)(C) of Regulation S-X.
Audit Committee Pre Approval Policies.
Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Registrant and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.
If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Trustee of the Registrant is authorized to pre-approve the engagement, but only for engagements to provide audit, audit-related and tax services. This approval is subject to review by the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 14. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Loomis Sayles Funds I | ||
By: | /s/ Kevin Charleston | |
Name: | Kevin Charleston | |
Title: | President and Chief Executive Officer | |
Date: | February 22, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Kevin Charleston | |
Name: | Kevin Charleston | |
Title: | President and Chief Executive Officer | |
Date: | February 22, 2024 | |
By: | /s/ Matthew Block | |
Name: | Matthew Block | |
Title: | Treasurer and Principal Financial and Accounting Officer | |
Date: | February 22, 2024 |