Loomis Sayles Funds I NPORT-P Loomis Sayles Bond Fund (Dec 2019 report)

PORTFOLIO OF INVESTMENTS – as of December 31, 2019 (Unaudited)

Loomis Sayles Bond Fund

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – 71.1% of Net Assets
Non-Convertible Bonds – 65.2%
		ABS Other – 0.5%
$	21,324,711	FAN Engine Securitization Ltd., Series2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(a)(b)	$	21,324,110
	19,712,578	GCA2014 Holdings Ltd., Series2014-1, Class C, 6.000%, 1/05/2030, 144A(a)(c)(d)(e)		16,418,606
	8,699,668	GCA2014 Holdings Ltd., Series2014-1, Class D, 7.500%, 1/05/2030, 144A(a)(c)(d)(e)		5,154,553
	32,585,000	GCA2014 Holdings Ltd., Series2014-1, Class E, Zero Coupon, 1/05/2030, 144A(a)(c)(d)(e)(f)		—
	9,582,210	Global Container Assets Ltd., Series2015-1A, Class B, 4.500%, 2/05/2030, 144A(a)(b)		9,466,479
				52,363,748
		Aerospace & Defense – 1.4%
	26,680,000	Bombardier, Inc., 6.000%, 10/15/2022, 144A		26,671,996
	1,510,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		1,124,741
	11,844,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		11,844,000
	10,075,000	Bombardier, Inc., 7.875%, 4/15/2027, 144A		10,364,656
	4,055,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		4,563,943
	10,576,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A		11,607,372
	10,821,000	Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A		13,444,010
	328,000	Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039		407,507
	6,995,000	Textron Financial Corp., 3-month LIBOR + 1.735%, 3.645%, 2/15/2067, 144A(g)		5,561,025
	23,658,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		31,735,054
	25,941,000	TransDigm, Inc., 6.500%, 7/15/2024		26,754,250
				144,078,554
		Airlines – 0.5%
	29,295,000	American Airlines Group, Inc., 5.000%, 6/01/2022, 144A		30,649,894
	4,293,160	American Airlines Pass Through Certificates, Series2016-3, Class B, 3.750%, 4/15/2027		4,341,541
	4,161,111	American Airlines Pass Through Certificates, Series2017-2, Class B, 3.700%, 4/15/2027		4,206,404
	2,018,241	Continental Airlines Pass Through Certificates, Series2012-1, Class B, 6.250%, 10/11/2021		2,036,526
	2,250,112	Continental Airlines Pass Through Certificates, Series2012-2, Class B, 5.500%, 4/29/2022		2,287,869

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Airlines – continued
$	1,207	Continental Airlines Pass Through Trust, Series1999-2, Class B, 7.566%, 9/15/2021	$	1,208
	284,489	Continental Airlines Pass Through Trust, Series2001-1,Class A-1, 6.703%, 12/15/2022		299,738
	5,193,125	United Airlines Pass Through Trust, Series2014-1, Class A, 4.000%, 10/11/2027		5,520,948
				49,344,128
		Automotive – 1.3%
	3,641,000	Allison Transmission, Inc., 4.750%, 10/01/2027, 144A		3,777,537
	3,172,000	Cummins, Inc., 6.750%, 2/15/2027		3,914,821
	27,560,000	Delphi Technologies PLC, 5.000%, 10/01/2025, 144A		25,493,000
	1,560,000	Ford Motor Co., 6.625%, 2/15/2028		1,689,386
	1,580,000	Ford Motor Co., 7.500%, 8/01/2026		1,837,038
	26,145,000	Ford Motor Credit Co. LLC, 5.596%, 1/07/2022		27,553,782
	37,875,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		39,245,213
	17,724,000	Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027		18,344,340
	6,201,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		6,956,778
	9,660,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		8,814,750
				137,626,645
		Banking – 5.1%
	4,423,000	Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028		4,644,786
	59,285,000	Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027		64,291,432
	54,910,000	Bank of Nova Scotia (The), 2.130%, 6/15/2020, (CAD)		42,316,495
	22,200,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(h)		24,642,000
	7,340,000	Citigroup, Inc., 4.500%, 1/14/2022		7,695,902
	4,045,000	Cooperatieve Rabobank UA, 3.950%, 11/09/2022		4,229,477
	2,275,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		2,144,188
	4,065,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		4,092,543
	27,405,000	Goldman Sachs Group, Inc. (The), Series MPLE, 3.550%, 2/12/2021, (CAD)		21,402,513
	26,445,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		27,787,737

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Banking – continued
$	6,600,000	Morgan Stanley, 3.950%, 4/23/2027	$	7,081,182
	47,205,000	Morgan Stanley, GMTN, 4.350%, 9/08/2026		51,636,782
	75,000,000	Morgan Stanley, GMTN, 5.000%, 9/30/2021, (AUD)		55,581,885
	139,740,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		147,559,790
	15,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		18,270,492
	68,800,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		53,726,572
	2,250,000	National Australia Bank Ltd., 5.000%, 3/11/2024, (AUD)		1,789,702
				538,893,478
		Brokerage – 1.0%
	2,010,000	Jefferies Finance LLC/JFINCo-Issuer Corp., 7.250%, 8/15/2024, 144A		2,070,300
	51,270,000	Jefferies Group LLC, 5.125%, 1/20/2023		55,370,504
	21,725,000	Jefferies Group LLC, 6.250%, 1/15/2036		25,955,543
	22,428,000	Jefferies Group LLC, 6.450%, 6/08/2027		26,310,838
				109,707,185
		Building Materials – 0.3%
	7,794,000	American Woodmark Corp., 4.875%, 3/15/2026, 144A		7,988,850
	4,835,000	JELD-WEN, Inc., 4.875%, 12/15/2027, 144A		4,943,788
	4,057,000	Masco Corp., 6.500%, 8/15/2032		4,980,817
	4,534,000	Masco Corp., 7.750%, 8/01/2029		5,884,422
	650,000	Owens Corning, 4.400%, 1/30/2048		628,793
	6,344,000	Owens Corning, 7.000%, 12/01/2036		7,903,746
				32,330,416
		Cable Satellite – 0.8%
	24,710,000	CSC Holdings LLC, 5.375%, 2/01/2028, 144A		26,347,037
	9,330,000	DISH DBS Corp., 5.000%, 3/15/2023		9,571,181
	8,654,000	DISH DBS Corp., 7.750%, 7/01/2026		9,167,961
	6,190,000	Time Warner Cable LLC, 4.500%, 9/15/2042		6,328,523

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Cable Satellite – continued
$	535,000	Time Warner Cable LLC, 5.875%, 11/15/2040	$	614,058
	15,800,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		13,075,715
	19,615,000	Ziggo BV, 5.500%, 1/15/2027, 144A		20,840,938
				85,945,413
		Chemicals – 0.2%
	18,254,000	Consolidated Energy Finance S.A., 6.500%, 5/15/2026, 144A		17,113,125
		Construction Machinery – 0.5%
	27,030,000	Toro Co. (The), 6.625%, 5/01/2037(a)(b)		34,695,837
	3,280,000	United Rentals North America, Inc., 4.875%, 1/15/2028		3,415,234
	9,505,000	United Rentals North America, Inc., 6.500%, 12/15/2026		10,446,589
				48,557,660
		Consumer Cyclical Services – 0.1%
	8,919,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		10,078,470
		Consumer Products – 0.2%
	15,473,000	Avon Products, Inc., 8.950%, 3/15/2043		19,263,885
		Diversified Manufacturing – 0.2%
	8,950,000	General Electric Co., 4.500%, 3/11/2044		9,806,284
	11,695,000	General Electric Co., Series A, MTN, 3-month LIBOR + 0.300%, 2.301%, 5/13/2024(g)		11,247,485
	2,080,000	General Electric Co., Series D, (fixed rate to 1/21/2021, variable rate thereafter), 5.000%(h)		2,037,277
				23,091,046
		Electric – 1.0%
	2,644,000	AES Corp. (The), 4.875%, 5/15/2023		2,683,660
	40,297,185	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		44,948,859
	38,973,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		38,930,753
	8,663,000	Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		10,064,983
	12,250,000	Vistra Energy Corp., 5.875%, 6/01/2023		12,532,240
				109,160,495

Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Finance Companies – 3.9%
$	3,100,000		AGFC Capital Trust I, 3-month LIBOR + 1.750%, 3.751%, 1/15/2067, 144A(a)(c)(d)(g)	$	1,481,848
	15,585,000		Antares Holdings LP, 6.000%, 8/15/2023, 144A		16,397,449
	27,420,000		Navient Corp., 5.500%, 1/25/2023		29,270,850
	2,830,000		Navient Corp., 5.875%, 10/25/2024		3,028,100
	150,996	(††)	Navient Corp., 6.000%, 12/15/2043		3,615,347
	35,296,000		Navient Corp., 6.750%, 6/15/2026		38,793,834
	53,763,000		Navient Corp., MTN, 5.625%, 8/01/2033		46,236,180
	75,327,000		Navient Corp., MTN, 6.125%, 3/25/2024		81,729,795
	2,950,000		Navient Corp., MTN, 7.250%, 1/25/2022		3,204,998
	10,870,000		Quicken Loans, Inc., 5.250%, 1/15/2028, 144A		11,250,450
	31,410,000		Springleaf Finance Corp., 6.875%, 3/15/2025		35,728,875
	10,145,000		Springleaf Finance Corp., 7.125%, 3/15/2026		11,729,649
	36,085,000		Springleaf Finance Corp., 7.750%, 10/01/2021		39,197,331
	77,845,000		Springleaf Finance Corp., 8.250%, 10/01/2023		90,689,425
					412,354,131
			Financial Other – 0.4%
	35,775,000		Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/2026, 144A		39,620,813
			Food & Beverage – 0.0%
	1,500,000		FonterraCo-operative Group Ltd., MTN, 4.500%, 6/30/2021, (AUD)		1,098,779
			Gaming – 0.2%
	17,635,000		International Game Technology PLC, 6.250%, 1/15/2027, 144A		19,839,375
			Government Owned - No Guarantee – 0.1%
	8,465,000		Pertamina Persero PT, 6.450%, 5/30/2044, 144A		10,867,671
			Healthcare – 2.9%
	5,175,000		HCA, Inc., 5.375%, 9/01/2026		5,763,656
	27,204,000		HCA, Inc., 7.050%, 12/01/2027		32,236,740
	27,545,000		HCA, Inc., 7.500%, 11/06/2033		34,706,700

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Healthcare – continued
$	45,324,000	HCA, Inc., 8.360%, 4/15/2024	$	55,068,660
	6,944,000	HCA, Inc., MTN, 7.580%, 9/15/2025		8,298,080
	12,446,000	HCA, Inc., MTN, 7.750%, 7/15/2036		14,810,740
	45,135,000	Tenet Healthcare Corp., 5.125%, 5/01/2025		46,489,050
	54,975,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		60,401,582
	49,062,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		50,043,240
	990,000	Tenet Healthcare Corp., 8.125%, 4/01/2022		1,095,188
	690,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		696,900
				309,610,536
		Home Construction – 0.6%
	8,225,000	Beazer Homes USA, Inc., 7.250%, 10/15/2029, 144A		8,780,187
	52,605,000	PulteGroup, Inc., 6.000%, 2/15/2035		58,654,575
				67,434,762
		Independent Energy – 3.5%
	24,372,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		24,241,122
	7,440,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		7,365,600
	6,507,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		5,921,370
	7,525,000	Bellatrix Exploration Ltd., 8.500%, 9/11/2023(a)(c)(d)(e)(i)(j)		4,515,000
	7,469,526	Bellatrix Exploration Ltd., 12.500%, (9.500% PIK, 3.000% Cash), 12/15/2023(a)(c)(d)(e)(i)(j)(k)		—
	11,379,000	California Resources Corp., 5.500%, 9/15/2021(a)(b)		5,348,130
	1,709,000	California Resources Corp., 6.000%, 11/15/2024(a)(b)		512,700
	103,250,000	California Resources Corp., 8.000%, 12/15/2022, 144A(a)(b)		46,159,978
	1,835,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		1,449,650
	24,610,000	Chesapeake Energy Corp., 8.000%, 1/15/2025(a)(b)		14,643,442
	64,710,000	Chesapeake Energy Corp., 8.000%, 6/15/2027(a)(b)		40,120,200
	19,891,000	Continental Resources, Inc., 3.800%, 6/01/2024		20,573,012
	8,832,000	Continental Resources, Inc., 4.500%, 4/15/2023		9,228,069

Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Independent Energy – continued
$	418,000		Continental Resources, Inc., 5.000%, 9/15/2022	$	420,998
	1,500,000		Denbury Resources, Inc., 7.750%, 2/15/2024, 144A		1,327,500
	20,735,000		Lonestar Resources America, Inc., 11.250%, 1/01/2023, 144A(a)(b)		14,151,638
	145,000		MEG Energy Corp., 6.375%, 1/30/2023, 144A		145,363
	16,830,000		MEG Energy Corp., 7.000%, 3/31/2024, 144A		16,935,188
	2,000,000		Montage Resources Corp., 8.875%, 7/15/2023		1,845,000
	2,660,000		Oasis Petroleum, Inc., 6.875%, 1/15/2023		2,600,150
	2,770,000		Occidental Petroleum Corp., 4.500%, 7/15/2044		2,798,524
	186,667	��	Pan American Energy LLC, 7.875%, 5/07/2021, 144A		193,202
	4,270,000		QEP Resources, Inc., 5.250%, 5/01/2023		4,227,300
	27,050,000		Sanchez Energy Corp., 6.125%, 1/15/2023(a)(b)(j)		1,258,907
	12,420,000		Sanchez Energy Corp., 7.750%, 6/15/2021(a)(b)(j)		580,138
	4,915,000		SM Energy Co., 5.000%, 1/15/2024		4,681,538
	9,235,000		SM Energy Co., 5.625%, 6/01/2025		8,765,585
	17,818,000		SM Energy Co., 6.125%, 11/15/2022		17,996,180
	13,772,000		SM Energy Co., 6.625%, 1/15/2027		13,535,879
	11,777,000		SM Energy Co., 6.750%, 9/15/2026		11,541,460
	25,660,000		Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 8.750%, 4/15/2023, 144A		12,573,400
	3,615,000		Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A		1,807,500
	38,670,000		Whiting Petroleum Corp., 5.750%, 3/15/2021		36,581,820
	7,005,000		Whiting Petroleum Corp., 6.250%, 4/01/2023		5,896,038
	33,205,000		Whiting Petroleum Corp., 6.625%, 1/15/2026		22,628,543
					362,570,124
			Life Insurance – 2.7%
	6,212,000		American International Group, Inc., 4.875%, 6/01/2022		6,632,076
	67,930,000		AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(h)		82,096,801

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Life Insurance – continued
$	7,878,000	Brighthouse Financial, Inc., 4.700%, 6/22/2047	$	7,299,834
	15,000,000	Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A		16,032,411
	10,175,000	MetLife, Inc., 10.750%, 8/01/2069		16,992,250
	2,030,000	MetLife, Inc., (fixed rate to 4/08/2038, variable rate thereafter), 9.250%, 4/08/2068, 144A		2,989,175
	57,985,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		75,751,759
	38,476,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(a)(b)		63,501,613
	12,950,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(a)(b)		17,466,476
				288,762,395
		Local Authorities – 0.7%
	99,500,000	New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)		72,423,222
	1,507,000	Ontario Hydro, 6.042%, 11/27/2020, (CAD)(l)		1,138,951
				73,562,173
		Media Entertainment – 0.1%
	164,410,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		6,435,098
		Metals & Mining – 1.1%
	35,180,000	ArcelorMittal S.A., 6.750%, 3/01/2041		41,904,738
	3,635,000	ArcelorMittal S.A., 7.000%, 10/15/2039		4,430,800
	3,950,000	Barrick Gold Corp., Series A, 5.800%, 11/15/2034		4,520,082
	5,370,000	Barrick North America Finance LLC, 5.750%, 5/01/2043		6,837,648
	12,096,000	Commercial Metals Co., 5.375%, 7/15/2027		12,700,800
	5,000,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		5,062,500
	27,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		27,068
	16,650,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		16,728,255
	1,445,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		1,477,512
	11,965,000	Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		9,283,229
	13,525,000	United States Steel Corp., 6.650%, 6/01/2037		10,955,250
				113,927,882

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Midstream – 1.0%
$	755,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022, 144A	$	739,900
	9,050,000	DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A		9,502,500
	7,325,000	Energy Transfer Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		7,761,237
	1,455,000	Energy Transfer Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		1,543,492
	31,400,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		32,830,921
	17,922,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025		16,891,485
	11,555,000	NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023		11,555,000
	205,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		264,692
	16,100,000	Summit Midstream Partners LP, Series A, (fixed rate to 12/15/2022, variable rate thereafter), 9.500%(a)(b)(h)		8,063,846
	18,753,000	Williams Cos., Inc., 3.350%, 8/15/2022		19,214,908
				108,367,981
		Mortgage Related – 0.0%
	29,519	FHLMC, 5.000%, 12/01/2031		31,774
		Oil Field Services – 1.6%
	8,997,000	Global Marine, Inc., 7.000%, 6/01/2028		7,973,141
	15,000,000	Nabors Industries, Inc., 5.100%, 9/15/2023		13,483,950
	13,165,000	Noble Holding International Ltd., 7.875%, 2/01/2026, 144A		9,544,625
	10,000	Precision Drilling Corp., 5.250%, 11/15/2024		9,175
	3,701	Precision Drilling Corp., 6.500%, 12/15/2021		3,692
	2,710,000	Shelf Drilling Holdings Ltd., 8.250%, 2/15/2025, 144A		2,581,275
	25,802,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		26,576,060
	51,710,000	Transocean, Inc., 5.800%, 10/15/2022		49,900,150
	69,157,000	Transocean, Inc., 6.800%, 3/15/2038		49,101,470
	4,030,000	Transocean, Inc., 7.500%, 4/15/2031		3,123,250
	15,500,000	Valaris PLC, 7.750%, 2/01/2026		8,752,385
				171,049,173

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Paper – 1.3%
$	38,882,000	Georgia-Pacific LLC, 7.750%, 11/15/2029	$	55,044,404
	9,625,000	International Paper Co., 8.700%, 6/15/2038		14,240,895
	8,214,000	WestRock MWV LLC, 7.950%, 2/15/2031		11,331,461
	25,138,000	WestRock MWV LLC, 8.200%, 1/15/2030		34,680,973
	4,127,000	Weyerhaeuser Co., 6.950%, 10/01/2027		5,205,997
	14,035,000	Weyerhaeuser Co., 7.375%, 3/15/2032		19,408,720
				139,912,450
		Property & Casualty Insurance – 0.2%
	13,985,000	MBIA Insurance Corp., 3-month LIBOR + 11.260%, 13.261%, 1/15/2033, 144A(f)(g)		9,570,005
	80,000	MBIA Insurance Corp., 3-month LIBOR + 11.260%, 13.261%, 1/15/2033(f)(g)		54,744
	4,810,000	Radian Group, Inc., 4.500%, 10/01/2024		5,086,575
	2,825,000	Radian Group, Inc., 4.875%, 3/15/2027		2,973,313
				17,684,637
		Retailers – 0.8%
	4,680,000	Dillard’s, Inc., 7.000%, 12/01/2028		5,265,749
	7,182,000	Dillard’s, Inc., 7.750%, 7/15/2026		8,148,338
	2,250,000	Dillard’s, Inc., 7.750%, 5/15/2027		2,574,222
	36,970,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036(a)(b)		12,204,906
	3,515,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		949,050
	9,245,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		10,443,004
	41,870,000	Michaels Stores, Inc., 8.000%, 7/15/2027, 144A		39,985,850
				79,571,119
		Supermarkets – 0.2%
	14,985,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC, 5.750%, 3/15/2025		15,509,475
	6,795,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC, 6.625%, 6/15/2024		7,112,055
	2,705,000	Safeway, Inc., 7.250%, 2/01/2031		2,840,250
				25,461,780

Principal Amount (‡)			Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
			Supranational – 0.1%
	18,525,000		European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)	$	13,371,785
			Technology – 1.3%
	49,820,000		Iron Mountain, Inc., 4.875%, 9/15/2029, 144A		50,607,156
	35,206,000		KLA Corp., 4.650%, 11/01/2024		38,643,982
	12,970,000		KLA Corp., 5.650%, 11/01/2034		15,546,257
	5,205,000		Micron Technology, Inc., 4.975%, 2/06/2026		5,779,221
	2,024,000		Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		2,392,449
	17,527,000		Seagate HDD Cayman, 4.875%, 6/01/2027		18,626,590
					131,595,655
			Transportation Services – 0.2%
	20,994,000		APL Ltd., 8.000%, 1/15/2024(a)(b)		18,686,759
			Treasuries – 24.1%
	545,500,000		Canadian Government Bond, 0.750%, 9/01/2020, (CAD)		417,286,181
	659,085,000		Central Bank of Iceland, 7.250%, 10/26/2022, (ISK)		6,014,855
	8,600,000	(†††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)		43,092,106
	3,764,100	(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		19,830,730
	4,579,595	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		25,837,805
	39,547,655	(†††)	Mexican Fixed Rate Bonds, Series M, 8.000%, 12/07/2023, (MXN)		217,862,975
	10,160,320	(†††)	Mexican Fixed Rate Bonds, SeriesM-20, 7.500%, 6/03/2027, (MXN)		55,807,469
	3,288,446	(†††)	Mexican Fixed Rate Bonds, SeriesM-20, 8.500%, 5/31/2029, (MXN)		19,358,133
	34,470,000	(†††)	Mexican Fixed Rate Bonds, SeriesM-20, 10.000%, 12/05/2024, (MXN)		206,918,447
	113,749	(†††)	Mexican Fixed Rate Bonds, SeriesM-20, 10.000%, 12/05/2024, (MXN)		682,819
	128,565,000		New Zealand Government Bond, Series 0521, 6.000%, 5/15/2021, (NZD)		92,209,285
	83,000,000		New Zealand Government Bond, Series 420, 3.000%, 4/15/2020, (NZD)		56,181,531
	764,599,000		Norway Government Bond, Series 474, 3.750%, 5/25/2021, 144A, (NOK)		89,982,537
	253,010,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		67,298,257
	97,345,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		28,459,141

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Treasuries – continued
$	203,945,000	U.S. Treasury Bond, 3.000%, 8/15/2048	$	230,274,618
	80,000,000	U.S. Treasury Note, 1.500%, 9/30/2021		79,878,125
	653,275,000	U.S. Treasury Note, 1.500%, 10/31/2021		652,381,849
	229,500,000	U.S. Treasury Note, 1.500%, 11/30/2021		229,195,196
				2,538,552,059
		Wireless – 1.0%
	281,500,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		14,423,013
	143,600,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		7,461,726
	53,182,000	Sprint Capital Corp., 6.875%, 11/15/2028		57,303,605
	8,400,000	Sprint Capital Corp., 8.750%, 3/15/2032		10,195,500
	10,853,000	Sprint Corp., 7.125%, 6/15/2024		11,707,674
				101,091,518
		Wirelines – 4.1%
	137,303,000	AT&T, Inc., 4.300%, 2/15/2030		152,569,858
	15,760,000	AT&T, Inc., 4.500%, 3/09/2048		17,411,619
	19,930,000	AT&T, Inc., 4.550%, 3/09/2049		22,132,560
	10,946,000	Bell Canada, Inc., MTN, 6.100%, 3/16/2035, 144A, (CAD)		10,786,432
	5,790,000	Bell Canada, Inc., MTN, 6.550%, 5/01/2029, 144A, (CAD)		5,621,590
	3,695,000	Bell Canada, Inc., MTN, 7.300%, 2/23/2032, 144A, (CAD)		3,858,416
	1,875,000	CenturyLink, Inc., 5.625%, 4/01/2025		1,992,281
	1,700,000	CenturyLink, Inc., Series S, 6.450%, 6/15/2021		1,779,475
	11,795,000	CenturyLink, Inc., Series W, 6.750%, 12/01/2023		13,166,169
	3,825,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		3,926,707
	3,036,000	Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A		3,218,160
	8,990,000	Qwest Corp., 7.250%, 9/15/2025		10,343,454
	49,543,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		53,134,868
	23,485,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		26,068,350

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Non-Convertible Bonds – continued
		Wirelines – continued
	13,590,000	Telefonica Emisiones S.A., EMTN, 5.375%, 2/02/2026, (GBP)	$	21,555,418
	71,128,000	Verizon Communications, Inc., 4.329%, 9/21/2028		80,756,597
	5,495,000	Windstream Services LLC/Windstream Finance Corp., 9.000%, 6/30/2025, 144A(j)		2,088,100
	12,552,000	Windstream Services LLC/Windstream Finance Corp., 10.500%, 6/30/2024, 144A(j)		4,895,280
				435,305,334
		TotalNon-Convertible Bonds (Identified Cost $7,099,090,967)		6,864,320,011
Convertible Bonds – 4.1%
		Cable Satellite – 2.0%
	48,505,000	DISH Network Corp., 2.375%, 3/15/2024		44,289,916
	179,420,000	DISH Network Corp., 3.375%, 8/15/2026		172,584,098
				216,874,014
		Independent Energy – 0.6%
	92,990,000	Chesapeake Energy Corp., 5.500%, 9/15/2026		44,298,951
	14,628,000	SM Energy Co., 1.500%, 7/01/2021		13,848,153
	1,884,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		1,838,950
				59,986,054
		Leisure – 0.3%
	35,626,000	Rovi Corp., 0.500%, 3/01/2020		35,042,802
		Pharmaceuticals – 0.1%
	4,102,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		4,333,758
	1,263,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		1,372,005
				5,705,763
		REITs - Diversified – 0.2%
	18,765,000	iStar, Inc., 3.125%, 9/15/2022		21,041,679
		Technology – 0.9%
	13,345,000	Booking Holdings, Inc., 0.900%, 9/15/2021		15,378,437
	6,420,000	Evolent Health, Inc., 2.000%, 12/01/2021		5,754,322
	27,117,000	Nuance Communications, Inc., 1.000%, 12/15/2035		27,351,562

Principal Amount (‡)		Description	Value (†)
Bonds and Notes – continued
Convertible Bonds – continued
		Technology – continued
$	16,613,000	Nuance Communications, Inc., 1.250%, 4/01/2025	$	18,446,577
	1,566,000	Nuance Communications, Inc., 1.500%, 11/01/2035		1,650,463
	23,950,000	Western Digital Corp., 1.500%, 2/01/2024		23,456,031
				92,037,392
		Total Convertible Bonds (Identified Cost $462,038,877)		430,687,704
Municipals – 1.8%
		Illinois – 0.3%
	25,725,000	State of Illinois, 5.100%, 6/01/2033		27,732,322
		Michigan – 0.1%
	12,705,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		13,149,802
		Virginia – 0.9%
	95,465,000	Tobacco Settlement Financing Corp., SeriesA-1, 6.706%, 6/01/2046		91,947,115
		Puerto Rico – 0.5%
	85,210,000	Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035(j)		54,214,862
		Total Municipals (Identified Cost $200,552,102)		187,044,101
		Total Bonds and Notes (Identified Cost $7,761,681,946)		7,482,051,816
Senior Loans – 0.2%
		Media Entertainment – 0.1%
	11,388,950	iHeartCommunications, Inc., Exit Term Loan, 1-month LIBOR + 4.000%, 5.691%, 5/01/2026(g)		11,469,583
		Oil Field Services – 0.0%
	3,675,146	PetroleumGeo-Services ASA, New Term Loan B, 3-month LIBOR + 2.500%, 4.445%, 3/19/2021(g)		3,458,312
		Technology – 0.1%
	7,048,927	IQOR U.S., Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.750%, 10.849%, 4/01/2022(a)(b)(g)		4,321,909
		Total Senior Loans (Identified Cost $25,655,063)		19,249,804

Shares		Description	Value (†)
Common Stocks – 11.0%
		Automobiles – 1.9%
	21,480,222	Ford Motor Co.	$	199,766,065
		Chemicals – 0.1%
	733,495	Hexion Holdings Corp., Class B(f)		9,352,061
		Diversified Telecommunication Services – 4.1%
	11,115,698	AT&T, Inc.		434,401,478
		Electronic Equipment, Instruments & Components – 1.2%
	4,304,382	Corning, Inc.		125,300,560
		Media – 0.1%
	1,740,413	Clear Channel Outdoor Holdings, Inc.(f)		4,977,581
	83,772	iHeartMedia, Inc., Class A(f)		1,415,747
	204,160	Thryv Holdings, Inc.(a)(b)(e)(f)		1,352,560
				7,745,888
		Oil, Gas & Consumable Fuels – 0.1%
	3,016,077	Bellatrix Exploration Ltd.(a)(c)(d)(e)(f)(i)		—
	1,033,462	Chesapeake Energy Corp.(f)		853,226
	2,354	Frontera Energy Corp.		17,765
	93,585	Halcon Resources Corp.(a)(c)(d)(f)		1,341,073
	209,391	Paragon Offshore Ltd., Litigation Units, Class A(a)(c)(d)(e)(f)		2,094
	299,302	Paragon Offshore Ltd., Litigation Units, Class B(e)(f)		4,439,547
	2,021	Southcross Holdings Group LLC(e)(f)		—
	2,021	Southcross Holdings LP, Class A(e)		137,428
				6,791,133
		Pharmaceuticals – 3.5%
	5,822,378	Bristol-Myers Squibb Co.		373,738,444
		Total Common Stocks (Identified Cost $1,045,379,902)		1,157,095,629
Preferred Stocks – 0.8%
Convertible Preferred Stocks – 0.7%
		Banking – 0.1%
	11,443	Bank of America Corp., Series L, 7.250%		16,580,907
		Communications – 0.0%
	4,982	Cincinnati Bell, Inc., Series B, 6.750%		236,645
		Independent Energy – 0.2%
	257,387	Chesapeake Energy Corp., 4.500%		5,276,433
	503,052	Chesapeake Energy Corp., 5.000%(a)(b)(d)		8,878,868
	16,454	Chesapeake Energy Corp., Series A, 5.750%, 144A(a)(b)(d)		2,823,342
				16,978,643

Shares		Description	Value (†)
Preferred Stocks – continued
Convertible Preferred Stocks – continued
		Midstream – 0.4%
	3,044	Chesapeake Energy Corp., 5.750%(a)(b)(d)	$	521,955
	50,481	Chesapeake Energy Corp., 5.750%(a)(b)(d)		8,662,035
	39,322	Chesapeake Energy Corp., 5.750%, 144A(a)(b)(d)		6,742,543
	433,942	El Paso Energy Capital Trust I, 4.750%		22,330,655
				38,257,188
		Total Convertible Preferred Stocks (Identified Cost $174,382,771)		72,053,383
Non-Convertible Preferred Stocks – 0.1%
		Electric – 0.0%
	2,925	Connecticut Light & Power Co. (The), Series 1947, 1.900%		136,496
	50,100	Southern California Edison Co., 4.780%		1,231,458
				1,367,954
		Finance Companies – 0.0%
	16,004	iStar, Inc., Series G, 7.650%		408,422
		Home Construction – 0.0%
	52,867	Hovnanian Enterprises, Inc., 7.625%(f)		277,552
		REITs - Office Property – 0.0%
	2,318	Highwoods Properties, Inc., Series A, 8.625%		2,897,500
		REITs - Warehouse/Industrials – 0.1%
	169,007	Prologis, Inc., Series Q, 8.540%		11,999,497
		TotalNon-Convertible Preferred Stocks (Identified Cost $11,892,010)		16,950,925
		Total Preferred Stocks (Identified Cost $186,274,781)		89,004,308
Closed-End Investment Companies – 0.0%
	170,002	NexPoint Strategic Opportunities Fund (Identified Cost $9,807,937)		3,010,735
Warrants – 0.1%
	629,465	iHeartMedia, Inc., Expiration on 5/1/2039(f) (Identified Cost $15,276,366)		9,265,095

Principal Amount (‡)		Description	Value (†)
Short-Term Investments – 16.3%
	16,704,156,763	Central Bank of Iceland, 0.000%, (ISK)(a)(b)(g)(m)	$	138,045,178
	195,668,456	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $195,678,239 on 1/02/2020 collateralized by $188,960,000 U.S. Treasury Note, 2.875% due 9/30/2023 valued at $198,742,459; $800,000 U.S. Treasury Note, 2.875% due 10/31/2023 valued at $840,170 including accrued interest(n)		195,668,456
	316,855,000	U.S. Treasury Bills, 1.605%-1.615%, 4/02/2020(o)(p)		315,633,568
	158,500,000	U.S. Treasury Bills, 1.615%, 4/09/2020(o)		157,841,897
	320,000,000	U.S. Treasury Bills, 1.765%-1.825%, 3/05/2020(o)(p)		319,158,599
	213,185,000	U.S. Treasury Bills, 1.815%, 3/26/2020(o)		212,434,998
	375,000,000	U.S. Treasury Bills, 1.830%-1.837%, 2/27/2020(o)(p)		374,119,166
		Total Short-Term Investments (Identified Cost $1,710,132,032)		1,712,901,862
		Total Investments – 99.5% (Identified Cost $10,754,208,027)		10,472,579,249
		Other assets less liabilities – 0.5%		54,190,180
		Net Assets – 100.0%	$	10,526,769,429

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.

Senior loans are valued at bid prices supplied by an independent pricing service, if available.

Listed equity securities (including shares ofclosed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.

As of December 31, 2019, securities held by the Fund were fair valued as follows:

Securities classified as fair valued	Percentage of Net Assets	Securities fair valued by the Fund’s adviser	Percentage of Net Assets
$479,533,549	4.6%	$28,913,174	0.3%

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(‡) Principal Amount stated in U.S. dollars unless otherwise noted.

(††) Amount shown represents units. One unit represents a principal amount of 25.

(†††) Amount shown represents units. One unit represents a principal amount of 100.

(a) Illiquid security.

(b) Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2019, the value of these securities amounted to $479,533,549 or 4.6% of net assets.

(c) Fair valued by the Fund’s adviser. At December 31, 2019, the value of these securities amounted to $28,913,174 or 0.3% of net assets.

(d) Level 3 security. Value has been determined using significant unobservable inputs.

(e) Securities subject to restriction on resale. At December 31, 2019, the restricted securities held by the Fund are as follows:

	Acquisition Date		Acquisition Cost		Value		% of Net Assets
Bellatrix Exploration Ltd., 8.500%		6/04/2019	$	7,374,500	$	4,515,000		Less than 0.1	%
Bellatrix Exploration Ltd., 12.500% (9.500% PIK, 3.000% Cash)		6/04/2019		4,929,887		—		—
Bellatrix Exploration Ltd.		6/04/2019		3,790,394		—		—

GCA2014 Holdings Ltd., Series2014-1, Class C	12/18/2014	19,712,578	16,418,606	0.2	%
GCA2014 Holdings Ltd., Series2014-1, Class D	12/18/2014	8,699,668	5,154,553	Less than 0.1	%
GCA2014 Holdings Ltd., Series2014-1, Class E	12/18/2014	25,395,339	—	—
Paragon Offshore Ltd., Litigation Units, Class A	7/18/2017	1,451,033	2,094	Less than 0.1	%
Paragon Offshore Ltd., Litigation Units, Class B	7/18/2017	28,157,326	4,439,547	Less than 0.1	%
Southcross Holdings Group LLC	4/29/2016	—	—	—
Southcross Holdings LP, Class A	4/29/2016	2,950,992	137,428	Less than 0.1	%
Thryv Holdings, Inc.	8/12/2016	960,757	1,352,560	Less than 0.1	%

(f) Non-income producing security.

(g) Variable rate security. Rate as of December 31, 2019 is disclosed.

(h) Perpetual bond with no specified maturity date.

(i) Affiliated issuer.

(j) The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.

(k) 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 made during the period.

(l) Interest rate represents annualized yield at time of purchase; not a coupon rate.

(m) Security callable by issuer at any time. No specified maturity date.

(n) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements aretri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of December 31, 2019, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

(o) Interest rate represents discount rate at time of purchase; not a coupon rate.

(p) The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the value of Rule 144A holdings amounted to $1,285,634,021 or 12.2% of net assets.
ABS	Asset-Backed Securities
EMTN	Euro Medium Term Note
FHLMC	Federal Home Loan Mortgage Corp.
GMTN	Global Medium Term Note
GO	General Obligation
LIBOR	London Interbank Offered Rate
MTN	Medium Term Note
PIK	Payment-in-Kind
REITs	Real Estate Investment Trusts
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
GBP	British Pound
ISK	Icelandic Krona
MXN	Mexican Peso
NOK	Norwegian Krone
NZD	New Zealand Dollar

As a result of a business restructuring, the Fund received common stock shares of Bellatrix Exploration Ltd. (the “Company”) which constitutes more than 5% of the voting securities of the Company. As such, the Company is considered to be an affiliate. A summary of affiliated transactions for the period ended December 31, 2019, is as follows:

	Beginning Value		Purchase Cost		Sales Proceeds		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Gain (Loss)			Ending Value		Investment Income
Bellatrix Exploration Ltd., 8.500%	$	4,515,000	$	—	$	—	$	7,670	$	—	$	(7,670	)	$	4,515,000	$	—
Bellatrix Exploration Ltd., 12.500% (9.500% PIK, 3.000% Cash)		—		—		—		90,465		—		(90,465	)		—		—
Bellatrix Exploration Ltd.		—		—		—		—		—		—			—		—
	$	4,515,000	$	—	$	—	$	98,135	$	—	$	(98,135	)	$	4,515,000	$	—

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

• Level 1 — quoted prices in active markets for identical assets or liabilities;

• Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

• Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2019, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	30,790,589	$	21,573,159	(a)(b)	$	52,363,748
Finance Companies		3,615,347		407,256,936		1,481,848	(c)		412,354,131
Independent Energy		—		358,055,124		4,515,000	(b)(c)		362,570,124
All OtherNon-Convertible Bonds*		—		6,037,032,008		—			6,037,032,008
TotalNon-Convertible Bonds		3,615,347		6,833,134,657		27,570,007			6,864,320,011
Convertible Bonds*		—		430,687,704		—			430,687,704
Municipals*		—		187,044,101		—			187,044,101
Total Bonds and Notes		3,615,347		7,450,866,462		27,570,007			7,482,051,816
Senior Loans*		—		19,249,804		—			19,249,804
Common Stocks
Chemicals		—		9,352,061		—			9,352,061
Media		6,393,328		1,352,560		—			7,745,888
Oil, Gas & Consumable Fuels		870,991		4,576,975		1,343,167	(b)(c)		6,791,133
All Other Common Stocks*		1,133,206,547		—		—			1,133,206,547
Total Common Stocks		1,140,470,866		15,281,596		1,343,167			1,157,095,629
Preferred Stocks
Convertible Preferred Stocks
Independent Energy		5,276,433		—		11,702,210	(d)		16,978,643
Midstream		22,330,655		—		15,926,533	(d)		38,257,188
All Other Convertible Preferred Stocks*		16,817,552		—		—			16,817,552
Total Convertible Preferred Stocks		44,424,640		—		27,628,743			72,053,383
Non-Convertible Preferred Stocks
Electric		1,231,458		136,496		—			1,367,954
REITs – Office Property		—		2,897,500		—			2,897,500
REITs – Warehouse/Industrials		—		11,999,497		—			11,999,497
All OtherNon-Convertible Preferred Stocks*		685,974		—		—			685,974
TotalNon-Convertible Preferred Stocks		1,917,432		15,033,493		—			16,950,925
Total Preferred Stocks		46,342,072		15,033,493		27,628,743			89,004,308
Closed-End Investment Companies		3,010,735		—		—			3,010,735
Warrants		—		9,265,095		—			9,265,095
Short-Term Investments		—		1,712,901,862		—			1,712,901,862
Total	$	1,193,439,020	$	9,222,598,312	$	56,541,917		$	10,472,579,249

* Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

(a) Fair valued by the Fund’s adviser using a broker-dealer bid price provided by a single market maker.

(b) Includes a security fair valued at zero by the Fund’s adviser using Level 3 inputs.

(c) Fair valued by the Fund’s adviser.

(d) Valued using broker-dealer bid prices.

The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2019 and/or December 31, 2019:

Asset Valuation Inputs

Investments in Securities	Balance as of September 30, 2019			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, 2019			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2019
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	43,042,193	(a)	$	—	$	—		$	786,395		$	57,614	$	(116,760	)	$	—	$	(22,196,283	)	$	21,573,159	(a)	$	764,444
Finance Companies		1,511,802			368		—			(30,322	)		—		—			—		—			1,481,848			(30,322	)
Independent Energy		4,515,000	(a)		98,137		(497,261	)		399,124			—		—			—		—			4,515,000	(a)		399,124
Common Stocks
Oil, Gas & Consumable Fuels		2,094	(a)		—		(1	)		(12,294,601	)		13,635,675		—			—		—			1,343,167	(a)		(12,294,601	)
Preferred Stocks
Convertible Preferred Stocks
Independent Energy		5,763,342			—		—			(13,177,108	)		—		—			19,115,976		—			11,702,210			(13,177,108	)
Midstream		32,521,942			—		—			(16,595,409	)		—		—			—		—			15,926,533			(16,595,409	)
Total	$	87,356,373		$	98,505	$	(497,262	)	$	(40,911,921	)	$	13,693,289	$	(116,760	)	$	19,115,976	$	(22,196,283	)	$	56,541,917		$	(40,933,872	)

(a) Includes a security fair valued at zero by the Fund’s adviser using Level 3 Inputs.

A debt security valued at $22,196,283 was transferred from Level 3 to Level 2 during the period ended December 31, 2019. At September 30, 2019, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the security . At December 31, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A preferred stock valued at $19,115,976 was transferred from Level 2 to Level 3 during the period ended December 31, 2019. At September 30, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At December 31, 2019, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

All transfers are recognized as of the beginning of the reporting period.

Industry Summary at December 31, 2019 (Unaudited)

Treasuries	24.1	%
Banking	5.2
Independent Energy	4.3
Wirelines	4.1
Diversified Telecommunication Services	4.1
Finance Companies	3.9
Pharmaceuticals	3.6
Healthcare	2.9
Cable Satellite	2.8
Life Insurance	2.7
Technology	2.3
Other Investments, less than 2% each	23.2
Short-Term Investments	16.3
Closed-End Investment Companies	0.0	*
Total Investments	99.5
Other assets less liabilities	0.5
Net Assets	100.0	%

* Less than 0.1%

Currency Exposure Summary at December 31, 2019 (Unaudited)

United States Dollar	81.8	%
Mexican Peso	5.9
Canadian Dollar	5.5
Other, less than 2% each	6.3
Total Investments	99.5
Other assets less liabilities	0.5
Net Assets	100.0	%