Loomis Sayles Funds I NPORT-P Loomis Sayles Bond Fund (Jun 2020 report)

PORTFOLIO OF INVESTMENTS – as of June 30, 2020 (Unaudited)

Loomis Sayles Bond Fund

Principal         Amount  (‡)		Description	Value (†)
	Bonds and Notes – 84.7% of Net Assets
	Non-Convertible Bonds – 79.7%
		ABS Other – 0.3%
$	21,324,711	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(a)(b)(c)	$	14,287,557
	20,406,608	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(a)(b)(d)(e)		6,300,744
	9,140,499	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(a)(b)(d)(e)		933,611
	32,585,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(a)(b)(d)(e)(f)		—
	8,689,623	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(a)(b)(c)		6,876,359
				28,398,271
		Aerospace & Defense – 1.6%
	260,000	Boeing Co. (The), 3.100%, 5/01/2026		264,936
	560,000	Boeing Co. (The), 3.250%, 2/01/2035		510,609
	3,715,000	Boeing Co. (The), 3.550%, 3/01/2038		3,383,247
	45,000	Boeing Co. (The), 3.625%, 3/01/2048		39,543
	2,050,000	Boeing Co. (The), 3.750%, 2/01/2050		1,840,593
	1,200,000	Boeing Co. (The), 3.850%, 11/01/2048		1,073,010
	7,515,000	Boeing Co. (The), 3.950%, 8/01/2059		6,585,547
	26,680,000	Bombardier, Inc., 6.000%, 10/15/2022, 144A		18,676,000
	1,510,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		722,722
	11,844,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		7,224,840
	10,075,000	Bombardier, Inc., 7.875%, 4/15/2027, 144A		6,599,125
	4,055,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		3,588,675
	10,576,000	Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A		12,252,084
	10,821,000	Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039, 144A		13,624,396
	328,000	Leonardo U.S. Holdings, Inc., 7.375%, 7/15/2039		412,975
	6,995,000	Textron Financial Corp., 3-month LIBOR + 1.735%, 2.127%, 2/15/2067, 144A(g)		4,351,240
	9,030,000	TransDigm, Inc., 5.500%, 11/15/2027		7,880,481
	25,941,000	TransDigm, Inc., 6.500%, 7/15/2024		24,768,207

Principal         Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Aerospace & Defense – continued
$	400,000	TransDigm, Inc., 7.500%, 3/15/2027	$	383,800
	29,130,000	TransDigm, Inc., 8.000%, 12/15/2025, 144A		30,615,339
				144,797,369
		Airlines – 1.0%
	345,000	American Airlines Group, Inc., 3.750%, 3/01/2025, 144A		160,387
	29,295,000	American Airlines Group, Inc., 5.000%, 6/01/2022, 144A		16,991,100
	4,062,700	American Airlines Pass Through Certificates, Series 2016-3, Class B, 3.750%, 4/15/2027		2,847,912
	3,913,148	American Airlines Pass Through Certificates, Series 2017-2, Class B, 3.700%, 4/15/2027		2,718,042
	18,745,000	American Airlines, Inc., 11.750%, 7/15/2025, 144A		17,755,077
	2,027,265	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		1,945,444
	284,489	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		286,393
	41,995,000	Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A		42,099,987
	5,005,001	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		4,591,333
				89,395,675
		Automotive – 2.4%
	3,641,000	Allison Transmission, Inc., 4.750%, 10/01/2027, 144A		3,613,692
	3,172,000	Cummins, Inc., 6.750%, 2/15/2027		4,034,404
	1,000,000	Dana, Inc., 5.625%, 6/15/2028		992,700
	22,650,000	Ford Motor Co., 4.750%, 1/15/2043		17,843,670
	1,560,000	Ford Motor Co., 6.625%, 2/15/2028		1,540,313
	1,580,000	Ford Motor Co., 7.500%, 8/01/2026		1,649,125
	6,430,000	Ford Motor Credit Co. LLC, 5.125%, 6/16/2025		6,432,572
	26,145,000	Ford Motor Credit Co. LLC, 5.596%, 1/07/2022		26,341,087
	3,505,000	General Motors Co., 5.200%, 4/01/2045		3,394,869
	3,170,000	General Motors Co., 6.250%, 10/02/2043		3,368,673
	88,950,000	General Motors Financial Co., Inc., 3.600%, 6/21/2030		86,571,858
	37,875,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		38,898,761

Principal         Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Automotive – continued
$	17,724,000	Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027	$	16,235,184
	6,201,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		6,158,709
				217,075,617
		Banking – 5.6%
	4,423,000	Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028		4,926,568
	59,285,000	Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027		67,849,182
	22,200,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(h)		23,976,000
	7,340,000	Citigroup, Inc., 4.500%, 1/14/2022		7,778,963
	4,045,000	Cooperatieve Rabobank UA, 3.950%, 11/09/2022		4,279,692
	2,275,000	Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032		2,113,452
	27,405,000	Goldman Sachs Group, Inc. (The), Series MPLE, 3.550%, 2/12/2021, (CAD)		20,492,585
	26,445,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		27,097,191
	6,600,000	Morgan Stanley, 3.950%, 4/23/2027		7,428,165
	47,205,000	Morgan Stanley, GMTN, 4.350%, 9/08/2026		54,431,163
	75,000,000	Morgan Stanley, GMTN, 5.000%, 9/30/2021, (AUD)		54,141,518
	139,740,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		151,019,542
	15,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		19,196,819
	68,800,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		51,780,413
	2,250,000	National Australia Bank Ltd., 5.000%, 3/11/2024, (AUD)		1,785,392
	15,445,000	UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A		15,570,576
				513,867,221
		Brokerage – 1.2%
	2,010,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.250%, 8/15/2024, 144A		1,768,800
	51,270,000	Jefferies Group LLC, 5.125%, 1/20/2023		55,639,250
	21,725,000	Jefferies Group LLC, 6.250%, 1/15/2036		24,890,032
	22,428,000	Jefferies Group LLC, 6.450%, 6/08/2027		26,318,620
				108,616,702

Principal         Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Building Materials – 0.3%
$	7,794,000	American Woodmark Corp., 4.875%, 3/15/2026, 144A	$	7,618,635
	4,835,000	JELD-WEN, Inc., 4.875%, 12/15/2027, 144A		4,641,600
	4,057,000	Masco Corp., 6.500%, 8/15/2032		4,929,819
	4,534,000	Masco Corp., 7.750%, 8/01/2029		5,816,139
	650,000	Owens Corning, 4.400%, 1/30/2048		676,686
	6,344,000	Owens Corning, 7.000%, 12/01/2036		8,106,088
				31,788,967
		Cable Satellite – 0.9%
	24,710,000	CSC Holdings LLC, 5.375%, 2/01/2028, 144A		25,821,950
	9,330,000	DISH DBS Corp., 5.000%, 3/15/2023		9,307,608
	8,654,000	DISH DBS Corp., 7.750%, 7/01/2026		9,173,240
	6,190,000	Time Warner Cable LLC, 4.500%, 9/15/2042		6,590,506
	535,000	Time Warner Cable LLC, 5.875%, 11/15/2040		660,177
	15,800,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		12,276,656
	17,637,000	Ziggo BV, 5.500%, 1/15/2027, 144A		17,858,521
				81,688,658
		Chemicals – 0.3%
	18,254,000	Consolidated Energy Finance S.A., 6.500%, 5/15/2026, 144A		15,333,360
	9,275,000	Minerals Technologies, Inc., 5.000%, 7/01/2028, 144A		9,413,940
				24,747,300
		Construction Machinery – 0.5%
	27,030,000	Toro Co. (The), 6.625%, 5/01/2037(a)(c)		33,087,423
	3,280,000	United Rentals North America, Inc., 4.875%, 1/15/2028		3,362,000
	9,505,000	United Rentals North America, Inc., 6.500%, 12/15/2026		9,980,250
				46,429,673
		Consumer Cyclical Services – 0.1%
	8,919,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		9,652,142

Principal         Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Consumer Products – 0.2%
$	15,473,000	Avon Products, Inc., 8.950%, 3/15/2043	$	17,484,490
	3,435,000	Whirlpool Corp., 4.600%, 5/15/2050		3,910,661
				21,395,151
		Diversified Manufacturing – 0.2%
	8,950,000	General Electric Co., 4.500%, 3/11/2044		8,950,251
	11,695,000	General Electric Co., Series A, MTN, 3-month LIBOR + 0.300%, 1.519%, 5/13/2024(g)		10,920,435
	2,080,000	General Electric Co., Series D, (fixed rate to 1/21/2021, variable rate thereafter), 5.000%(h)		1,624,646
				21,495,332
		Electric – 0.6%
	36,874,232	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		44,619,831
	1,230,000	Edison International, 4.950%, 4/15/2025		1,347,869
	8,663,000	Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		9,888,259
				55,855,959
		Finance Companies – 4.9%
	3,100,000	AGFC Capital Trust I, 3-month LIBOR + 1.750%, 2.969%, 1/15/2067, 144A(a)(b)(e)(g)		824,973
	15,585,000	Antares Holdings LP, 6.000%, 8/15/2023, 144A		14,948,993
	27,210,000	Antares Holdings LP, 8.500%, 5/18/2025, 144A		27,171,648
	42,435,000	GE Capital Funding LLC, 4.550%, 5/15/2032, 144A		43,812,907
	445,000	Navient Corp., 5.000%, 3/15/2027		373,800
	27,420,000	Navient Corp., 5.500%, 1/25/2023		26,288,925
	5,365,000	Navient Corp., 5.875%, 10/25/2024		5,039,774
	150,996(††)	Navient Corp., 6.000%, 12/15/2043		3,046,722
	38,431,000	Navient Corp., 6.750%, 6/15/2026		35,548,675
	58,523,000	Navient Corp., MTN, 5.625%, 8/01/2033		45,062,710
	75,452,000	Navient Corp., MTN, 6.125%, 3/25/2024		71,679,400
	2,950,000	Navient Corp., MTN, 7.250%, 1/25/2022		2,957,375
	10,870,000	Quicken Loans LLC, 5.250%, 1/15/2028, 144A		11,216,536

Principal         Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Finance Companies – continued
$	31,410,000	Springleaf Finance Corp., 6.875%, 3/15/2025	$	32,224,697
	10,145,000	Springleaf Finance Corp., 7.125%, 3/15/2026		10,499,973
	36,085,000	Springleaf Finance Corp., 7.750%, 10/01/2021		37,544,638
	77,845,000	Springleaf Finance Corp., 8.250%, 10/01/2023		83,294,150
				451,535,896
		Financial Other – 0.4%
	35,775,000	Nationstar Mortgage Holdings, Inc., 9.125%, 7/15/2026, 144A		37,809,524
		Food & Beverage – 0.3%
	1,500,000	Fonterra Co-operative Group Ltd., MTN, 4.500%, 6/30/2021, (AUD)		1,069,287
	23,500,000	Kraft Heinz Foods Co., 4.375%, 6/01/2046		23,056,790
				24,126,077
		Gaming – 0.2%
	17,635,000	International Game Technology PLC, 6.250%, 1/15/2027, 144A		18,075,875
		Government Owned - No Guarantee – 0.1%
	8,465,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		10,794,231
		Healthcare – 3.2%
	3,000,000	CHS/Community Health Systems, Inc., 6.625%, 2/15/2025, 144A		2,820,000
	5,175,000	HCA, Inc., 5.375%, 9/01/2026		5,622,224
	27,204,000	HCA, Inc., 7.050%, 12/01/2027		30,468,480
	27,545,000	HCA, Inc., 7.500%, 11/06/2033		33,467,175
	45,324,000	HCA, Inc., 8.360%, 4/15/2024		52,122,600
	6,944,000	HCA, Inc., MTN, 7.580%, 9/15/2025		7,985,600
	12,446,000	HCA, Inc., MTN, 7.750%, 7/15/2036		14,624,050
	46,555,000	Tenet Healthcare Corp., 5.125%, 5/01/2025		44,935,352
	54,975,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		54,562,687
	49,062,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		43,419,870
	990,000	Tenet Healthcare Corp., 8.125%, 4/01/2022		1,039,500
	690,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		690,000
				291,757,538

Principal         Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Home Construction – 0.7%
$	8,225,000	Beazer Homes USA, Inc., 7.250%, 10/15/2029	$	7,978,250
	52,605,000	PulteGroup, Inc., 6.000%, 2/15/2035		60,548,355
				68,526,605
		Independent Energy – 2.2%
	6,177,000	Aker BP ASA, 3.750%, 1/15/2030, 144A		5,801,586
	24,372,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		20,777,130
	6,507,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		3,969,270
	11,379,000	California Resources Corp., 5.500%, 9/15/2021(a)(c)(f)		113,790
	1,709,000	California Resources Corp., 6.000%, 11/15/2024(a)(c)(i)		17,090
	103,250,000	California Resources Corp., 8.000%, 12/15/2022, 144A(a)(c)(i)		4,064,952
	1,835,000	Chesapeake Energy Corp., 4.875%, 4/15/2022(a)(c)(i)		45,875
	24,610,000	Chesapeake Energy Corp., 8.000%, 1/15/2025(a)(c)(i)		553,725
	64,710,000	Chesapeake Energy Corp., 8.000%, 6/15/2027(a)(c)(i)		1,455,975
	19,891,000	Continental Resources, Inc., 3.800%, 6/01/2024		18,598,483
	8,832,000	Continental Resources, Inc., 4.500%, 4/15/2023		8,453,990
	418,000	Continental Resources, Inc., 5.000%, 9/15/2022		410,685
	3,480,000	Diamondback Energy, Inc., 3.500%, 12/01/2029		3,370,624
	20,735,000	Lonestar Resources America, Inc., 11.250%, 1/01/2023, 144A(a)(c)		1,969,825
	10,098,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		8,659,035
	2,000,000	Montage Resources Corp., 8.875%, 7/15/2023		1,580,000
	2,660,000	Oasis Petroleum, Inc., 6.875%, 1/15/2023(a)(c)		448,370
	2,770,000	Occidental Petroleum Corp., 4.500%, 7/15/2044		1,931,909
	30,495,000	Occidental Petroleum Corp., 8.875%, 7/15/2030		30,456,881
	93,333	Pan American Energy LLC, 7.875%, 5/07/2021, 144A		92,867

Principal         Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Independent Energy – continued
$	7,215,000	Parsley Energy LLC/Parsley Finance Corp., 4.125%, 2/15/2028, 144A	$	6,529,575
	4,270,000	QEP Resources, Inc., 5.250%, 5/01/2023		2,818,200
	190,000	Range Resources Corp., 4.875%, 5/15/2025		143,450
	27,050,000	Sanchez Energy Corp., 6.125%, 1/15/2023(a)(c)(i)		67,625
	12,420,000	Sanchez Energy Corp., 7.750%, 6/15/2021(a)(c)(i)		31,050
	46,032,000	SM Energy Co., 10.000%, 1/15/2025, 144A		43,731,781
	25,660,000	Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 8.750%, 4/15/2023, 144A		15,396,000
	3,615,000	Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., 9.750%, 4/15/2023, 144A		2,187,075
	38,670,000	Whiting Petroleum Corp., 5.750%, 3/15/2021(a)(c)(i)		7,443,975
	7,005,000	Whiting Petroleum Corp., 6.250%, 4/01/2023(a)(c)(i)		1,215,858
	33,205,000	Whiting Petroleum Corp., 6.625%, 1/15/2026(a)(c)(i)		5,893,887
	9,140,000	WPX Energy, Inc., 4.500%, 1/15/2030		8,043,200
				206,273,738
		Life Insurance – 3.4%
	6,212,000	American International Group, Inc., 4.875%, 6/01/2022		6,704,943
	67,930,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(h)		87,290,050
	7,878,000	Brighthouse Financial, Inc., 4.700%, 6/22/2047		7,160,820
	20,335,000	Brighthouse Financial, Inc., 5.625%, 5/15/2030		22,571,806
	15,000,000	Global Atlantic Fin Co., 8.625%, 4/15/2021, 144A		15,696,352
	2,030,000	MetLife, Inc., 9.250%, 4/08/2068, 144A		2,836,925
	10,175,000	MetLife, Inc., 10.750%, 8/01/2069		15,692,902
	57,985,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		73,665,860
	38,476,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(a)(c)		62,130,275
	12,950,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(a)(c)		16,736,321
	2,500,000	Prudential Financial, Inc., MTN, 3.700%, 3/13/2051		2,743,625
				313,229,879

Principal         Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Local Authorities – 0.8%
$	99,500,000	New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)	$	70,627,497
	1,507,000	Ontario Hydro, 6.042%, 11/27/2020, (CAD)(j)		1,108,360
				71,735,857
		Media Entertainment – 0.5%
	164,410,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		5,274,396
	33,670,000	ViacomCBS, Inc., 4.950%, 5/19/2050		37,502,576
				42,776,972
		Metals & Mining – 1.2%
	35,180,000	ArcelorMittal S.A., 7.000%, 3/01/2041		41,144,769
	3,635,000	ArcelorMittal S.A., 7.250%, 10/15/2039		4,343,825
	3,950,000	Barrick Gold Corp., Series A, 5.800%, 11/15/2034		4,887,127
	5,370,000	Barrick North America Finance LLC, 5.750%, 5/01/2043		7,586,244
	12,096,000	Commercial Metals Co., 5.375%, 7/15/2027		12,247,200
	5,000,000	First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A		4,737,500
	16,650,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		16,300,350
	1,445,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		1,383,588
	2,570,000	Kaiser Aluminum Corp., 6.500%, 5/01/2025, 144A		2,656,738
	11,965,000	Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		8,703,180
	11,640,000	United States Steel Corp., 6.650%, 6/01/2037		7,566,000
				111,556,521
		Midstream – 0.7%
	755,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022, 144A		751,225
	9,050,000	DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A		8,145,000
	7,325,000	Energy Transfer Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		7,863,847
	1,455,000	Energy Transfer Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		1,548,968
	17,922,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025		13,531,110
	11,555,000	NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023		9,590,650

Principal         Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Midstream – continued
$	205,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A	$	250,202
	16,100,000	Summit Midstream Partners LP, Series A, (fixed rate to 12/15/2022, variable rate thereafter), 9.500%(a)(c)(h)		2,092,195
	18,753,000	Williams Cos., Inc. (The), 3.350%, 8/15/2022		19,505,735
				63,278,932
		Mortgage Related – 0.0%
	28,039	FHLMC, 5.000%, 12/01/2031		30,825
		Oil Field Services – 0.9%
	8,997,000	Global Marine, Inc., 7.000%, 6/01/2028		4,138,620
	13,165,000	Noble Holding International Ltd., 7.875%, 2/01/2026, 144A		3,140,906
	10,000	Precision Drilling Corp., 5.250%, 11/15/2024		6,680
	2,680	Precision Drilling Corp., 6.500%, 12/15/2021		2,492
	2,710,000	Shelf Drilling Holdings Ltd., 8.250%, 2/15/2025, 144A		1,219,500
	23,959,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		21,802,690
	51,710,000	Transocean, Inc., 5.800%, 10/15/2022(a)(c)		27,664,850
	69,157,000	Transocean, Inc., 6.800%, 3/15/2038(a)(c)		19,878,488
	4,030,000	Transocean, Inc., 7.500%, 4/15/2031(a)(c)		1,128,400
	15,500,000	Valaris PLC, 7.750%, 2/01/2026(a)(c)		1,158,470
				80,141,096
		Packaging – 0.1%
	12,925,000	Owens-Brockway Glass Container, Inc., 6.625%, 5/13/2027, 144A		13,442,000
		Paper – 1.6%
	38,882,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		58,036,022
	9,625,000	International Paper Co., 8.700%, 6/15/2038		14,751,519
	8,214,000	WestRock MWV LLC, 7.950%, 2/15/2031		11,679,895
	25,138,000	WestRock MWV LLC, 8.200%, 1/15/2030		35,554,135
	4,127,000	Weyerhaeuser Co., 6.950%, 10/01/2027		4,993,556
	14,035,000	Weyerhaeuser Co., 7.375%, 3/15/2032		19,414,552
				144,429,679

Principal         Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Property & Casualty Insurance – 0.8%
$	13,985,000	MBIA Insurance Corp., 3-month LIBOR + 11.260%, 12.479%, 1/15/2033, 144A(f)(g)	$	5,594,000
	80,000	MBIA Insurance Corp., 3-month LIBOR + 11.260%, 12.479%, 1/15/2033(f)(g)		32,000
	28,955,000	Nationwide Mutual Insurance Co., 4.350%, 4/30/2050, 144A		30,881,121
	4,810,000	Radian Group, Inc., 4.500%, 10/01/2024		4,641,650
	2,825,000	Radian Group, Inc., 4.875%, 3/15/2027		2,655,500
	33,290,000	Radian Group, Inc., 6.625%, 3/15/2025		34,122,250
				77,926,521
		REITs - Hotels – 0.2%
	821,000	Service Properties Trust, 3.950%, 1/15/2028		661,112
	8,807,000	Service Properties Trust, 4.350%, 10/01/2024		7,937,781
	2,507,000	Service Properties Trust, 4.500%, 6/15/2023		2,400,280
	1,400,000	Service Properties Trust, 4.650%, 3/15/2024		1,265,195
	1,146,000	Service Properties Trust, 4.750%, 10/01/2026		1,013,875
	4,085,000	Service Properties Trust, 4.950%, 2/15/2027		3,585,049
				16,863,292
		Retailers – 0.7%
	4,680,000	Dillard’s, Inc., 7.000%, 12/01/2028		4,671,710
	7,182,000	Dillard’s, Inc., 7.750%, 7/15/2026		7,195,215
	2,250,000	Dillard’s, Inc., 7.750%, 5/15/2027		2,374,757
	1,795,000	Hanesbrands, Inc., 5.375%, 5/15/2025, 144A		1,815,194
	36,970,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036(a)(c)(i)		184,850
	3,515,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097(a)(c)(i)		37,154
	9,245,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		9,134,152
	41,870,000	Michaels Stores, Inc., 8.000%, 7/15/2027, 144A		36,426,900
				61,839,932

Principal         Amount  (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Supermarkets – 0.3%
$	14,985,000		Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC, 5.750%, 3/15/2025	$	15,312,872
	6,795,000		Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC, 6.625%, 6/15/2024		6,964,875
	2,705,000		Safeway, Inc., 7.250%, 2/01/2031		2,880,825
					25,158,572
			Supranational – 0.1%
	18,525,000		European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		12,854,348
			Technology – 1.5%
	49,820,000		Iron Mountain, Inc., 4.875%, 9/15/2029, 144A		48,449,950
	35,206,000		KLA Corp., 4.650%, 11/01/2024		40,353,341
	12,970,000		KLA Corp., 5.650%, 11/01/2034		16,880,084
	5,205,000		Micron Technology, Inc., 4.975%, 2/06/2026		5,971,955
	2,024,000		Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		2,449,222
	9,561,000		Seagate HDD Cayman, 4.091%, 6/01/2029, 144A		9,979,389
	8,816,000		Seagate HDD Cayman, 4.875%, 6/01/2027		9,561,164
					133,645,105
			Transportation Services – 0.5%
	20,994,000		Fenix Marine Service Holdings Ltd., 8.000%, 1/15/2024(a)(c)		15,558,864
	31,370,000		Penske Truck Leasing Co. LP/PTL Finance Corp., 4.000%, 7/15/2025, 144A		34,311,171
					49,870,035
			Treasuries – 34.2%
	545,500,000		Canadian Government Bond, 0.750%, 9/01/2020, (CAD)		402,173,652
	8,600,000	(†††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)		38,407,683
	4,579,595	(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		22,515,919
	39,547,655	(†††)	Mexican Fixed Rate Bonds, Series M, 8.000%, 12/07/2023, (MXN)		189,545,529
	10,160,320	(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		49,234,750
	3,288,446	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		16,935,043
	34,470,000	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		180,440,166

Principal         Amount  (‡)			Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
			Treasuries – continued
$	113,749	(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)	$	595,442
	128,565,000		New Zealand Government Bond, Series 0521, 6.000%, 5/15/2021, (NZD)		87,109,475
	764,599,000		Norway Government Bond, Series 474, 3.750%, 5/25/2021, 144A, (NOK)		82,016,774
	253,010,000		Republic of Brazil, 8.500%, 1/05/2024, (BRL)		50,712,731
	97,345,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		20,898,896
	848,230,000		U.S. Treasury Bond, 1.250%, 5/15/2050		814,996,612
	55,870,000		U.S. Treasury Bond, 2.000%, 2/15/2050		63,984,245
	203,945,000		U.S. Treasury Bond, 3.000%, 8/15/2048		280,472,176
	80,000,000		U.S. Treasury Note, 1.500%, 9/30/2021		81,318,750
	468,275,000		U.S. Treasury Note, 1.500%, 10/31/2021		476,542,980
	279,500,000		U.S. Treasury Note, 1.500%, 11/30/2021		284,740,625
					3,142,641,448
			Wireless – 0.2%
	281,500,000		America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		12,353,691
	143,600,000		America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		6,372,412
					18,726,103
			Wirelines – 4.8%
	137,303,000		AT&T, Inc., 4.300%, 2/15/2030		160,912,092
	15,760,000		AT&T, Inc., 4.500%, 3/09/2048		18,629,579
	19,930,000		AT&T, Inc., 4.550%, 3/09/2049		23,497,880
	10,946,000		Bell Canada, Inc., MTN, 6.100%, 3/16/2035, 144A, (CAD)		10,801,032
	5,790,000		Bell Canada, Inc., MTN, 6.550%, 5/01/2029, 144A, (CAD)		5,708,711
	3,695,000		Bell Canada, Inc., MTN, 7.300%, 2/23/2032, 144A, (CAD)		3,884,350
	1,875,000		CenturyLink, Inc., 5.625%, 4/01/2025		1,938,750
	1,700,000		CenturyLink, Inc., Series S, 6.450%, 6/15/2021		1,738,590
	11,795,000		CenturyLink, Inc., Series W, 6.750%, 12/01/2023		12,677,148
	3,825,000		Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		3,688,754

Principal         Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Non-Convertible Bonds – continued
		Wirelines – continued
$	3,036,000	Cincinnati Bell, Inc., 8.000%, 10/15/2025, 144A	$	3,168,825
	8,990,000	Qwest Corp., 7.250%, 9/15/2025		10,198,479
	49,543,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		53,853,241
	23,485,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		26,479,337
	13,590,000	Telefonica Emisiones S.A., EMTN, 5.375%, 2/02/2026, (GBP)		20,391,643
	71,128,000	Verizon Communications, Inc., 4.329%, 9/21/2028		85,758,318
				443,326,729
		Total Non-Convertible Bonds (Identified Cost $8,021,045,103)		7,327,577,367
	Convertible Bonds – 3.6%
		Cable Satellite – 2.3%
	48,505,000	DISH Network Corp., 2.375%, 3/15/2024		43,404,530
	184,765,000	DISH Network Corp., 3.375%, 8/15/2026		169,727,837
				213,132,367
		Independent Energy – 0.0%
	92,990,000	Chesapeake Energy Corp., 5.500%, 9/15/2026(a)(c)(i)		2,453,076
	3,269,000	Whiting Petroleum Corp., 1.250%, 4/01/2020(a)(b)(c)(i)		629,283
				3,082,359
		Pharmaceuticals – 0.1%
	4,102,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		5,012,886
	1,263,000	BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027, 144A		1,469,844
				6,482,730
		REITs - Diversified – 0.2%
	18,765,000	iStar, Inc., 3.125%, 9/15/2022		19,972,997
		Technology – 1.0%
	13,345,000	Booking Holdings, Inc., 0.900%, 9/15/2021		14,178,880
	2,185,000	Evolent Health, Inc., 2.000%, 12/01/2021		1,902,316
	26,148,000	Nuance Communications, Inc., 1.000%, 12/15/2035		30,855,686
	14,263,000	Nuance Communications, Inc., 1.250%, 4/01/2025		19,894,175

Principal         Amount  (‡)		Description	Value (†)
	Bonds and Notes – continued
	Convertible Bonds – continued
		Technology – continued
$	1,363,000	Nuance Communications, Inc., 1.500%, 11/01/2035	$	1,763,596
	23,950,000	Western Digital Corp., 1.500%, 2/01/2024		22,513,816
				91,108,469
		Total Convertible Bonds (Identified Cost $412,369,343)		333,778,922
	Municipals – 1.4%
		Illinois – 0.3%
	25,725,000	State of Illinois, 5.100%, 6/01/2033		26,096,726
		Michigan – 0.1%
	12,215,000	Michigan Tobacco Settlement Finance Authority, Series A, 7.309%, 6/01/2034		12,234,544
		Virginia – 1.0%
	94,480,000	Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		90,465,545
		Total Municipals (Identified Cost $126,813,684)		128,796,815
		Total Bonds and Notes (Identified Cost $8,560,228,130)		7,790,153,104
	Senior Loans – 0.0%
		Technology – 0.0%
	7,048,927	IQOR U.S., Inc., 2nd Lien Term Loan, 10.183%, 4/01/2022 (a)(c)(g) (Identified Cost $6,911,644)		1,594,820
Shares
	Common Stocks – 10.1%
		Automobiles – 1.4%
	21,480,222	Ford Motor Co.		130,599,750
		Chemicals – 0.1%
	733,495	Hexion Holdings Corp., Class B(f)		5,180,675
		Diversified Telecommunication Services – 3.7%
	11,115,698	AT&T, Inc.		336,027,551
		Electronic Equipment, Instruments & Components – 1.2%
	4,304,382	Corning, Inc.		111,483,494
		Media – 0.0%
	1,740,413	Clear Channel Outdoor Holdings, Inc.(f)		1,810,030
	83,772	iHeartMedia, Inc., Class A(f)		699,496
				2,509,526

Shares		Description	Value (†)
	Common Stocks – continued
		Oil, Gas & Consumable Fuels – 0.0%
	93,585	Battalion Oil Corp.(f)	$	889,058
	5,167	Chesapeake Energy Corp.(b)(e)(f)		—
	2,354	Frontera Energy Corp.		5,895
	209,391	Paragon Offshore Ltd., Litigation Units, Class A(a)(b)(d)(e)(f)		—
	299,302	Paragon Offshore Ltd., Litigation Units, Class B(d)(f)		897,906
	2,021	Southcross Holdings Group LLC(d)(f)		—
	2,021	Southcross Holdings LP, Class A(a)(b)(d)(e)		133,992
				1,926,851
		Pharmaceuticals – 3.7%
	5,822,378	Bristol-Myers Squibb Co.		342,355,826
		Total Common Stocks (Identified Cost $1,040,623,347)		930,083,673
	Preferred Stocks – 0.6%
	Convertible Preferred Stocks – 0.4%
		Banking – 0.2%
	11,443	Bank of America Corp., Series L, 7.250%		15,358,795
		Communications – 0.0%
	4,982	Cincinnati Bell, Inc., Series B, 6.750%		237,890
		Independent Energy – 0.0%
	257,387	Chesapeake Energy Corp., 4.500%(a)(b)(e)		—
	503,052	Chesapeake Energy Corp., 5.000%(a)(b)(e)		—
	16,454	Chesapeake Energy Corp., 5.750%, 144A(a)(b)(e)		—
				—
		Midstream – 0.2%
	3,044	Chesapeake Energy Corp., 5.750%(a)(b)(e)		—
	50,481	Chesapeake Energy Corp., 5.750%(a)(b)(e)		—
	39,322	Chesapeake Energy Corp., 5.750%, 144A(a)(b)(e)		—
	433,942	El Paso Energy Capital Trust I, 4.750%		19,293,061
				19,293,061
		Total Convertible Preferred Stocks (Identified Cost $174,382,771)		34,889,746
	Non-Convertible Preferred Stocks – 0.2%
		Electric – 0.0%
	2,925	Connecticut Light & Power Co. (The), Series 1947, 1.900%		139,669

Shares		Description	Value (†)
	Preferred Stocks – continued
	Non-Convertible Preferred Stocks – continued
		Electric – continued
	50,100	Southern California Edison Co., 4.780%	$	1,203,402
				1,343,071
		Home Construction – 0.0%
	52,867	Hovnanian Enterprises, Inc., 7.625%(f)		201,952
		REITs - Diversified – 0.0%
	16,004	iStar, Inc., Series G, 7.650%		389,857
		REITs - Office Property – 0.1%
	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%		11,365,721
		Total Non-Convertible Preferred Stocks (Identified Cost $11,892,010)		16,198,101
		Total Preferred Stocks (Identified Cost $186,274,781)		51,087,847
	Closed-End Investment Companies – 0.0%
	170,002	NexPoint Strategic Opportunities Fund (Identified Cost $9,807,937)		1,788,421
	Warrants – 0.1%
	629,465	iHeartMedia, Inc., Expiration on 5/1/2039(f)		5,507,819
	2,721,374	SM Energy Co., Expiration on 6/30/2023(a)(b)(e)(f)		506,992
		Total Warrants (Identified Cost $15,358,279)		6,014,811
Principal Amount (‡)
	Short-Term Investments – 4.2%
$	16,704,156,763	Central Bank of Iceland, 0.000%, (ISK)(g)(k)		120,790,779
	81,189,541	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2020 at 0.000% to be repurchased at $81,189,541 on 7/01/2020 collateralized by $82,878,100 U.S.Treasury Notes, 0.125% due 6/30/2022 valued at $82,813,373 including accrued interest(l)		81,189,541
	183,335,000	U.S. Treasury Bills, 0.120%, 1/28/2021(m)		183,157,700
		Total Short-Term Investments (Identified Cost $400,356,500)		385,138,020

Description	Value (†)
Total Investments – 99.7% (Identified Cost $10,219,560,618)	$	9,165,860,696
Other assets less liabilities – 0.3%		29,877,241
Net Assets – 100.0%	$	9,195,737,937

(†) 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 and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available.

Listed equity securities (including shares of closed-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 June 30, 2020, 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
$	228,820,382		2.5	%	$	8,700,312		0.1	%

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

(c) Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At June 30, 2020, the value of these securities amounted to $228,820,382 or 2.5% of net assets.

(d) Securities subject to restriction on resale. At June 30, 2020, the restricted securities held by the Fund are as follows:

	Acquisition Date		Acquisition Cost		Value		% of Net Assets
GCA2014 Holdings Ltd., Series 2014-1, Class C		12/18/2014	$	20,406,608	$	6,300,744		0.1	%
GCA2014 Holdings Ltd., Series 2014-1, Class D		12/18/2014		9,140,499		933,611		Less than 0.1	%
GCA2014 Holdings Ltd., Series 2014-1, Class E		12/18/2014		25,395,339		—		—
Paragon Offshore Ltd., Litigation Units, Class A		7/18/2017		1,451,033		—		—
Paragon Offshore Ltd., Litigation Units, Class B		7/18/2017		28,157,326		897,906		Less than 0.1	%
Southcross Holdings Group LLC		4/29/2016		—		—		—
Southcross Holdings LP, Class A		4/29/2016		2,950,992		133,992		Less than 0.1	%

(e) Fair valued by the Fund’s adviser. At June 30, 2020, the value of these securities amounted to $8,700,312 or 0.1% of net assets.

(f) Non-income producing security.

(g) Variable rate security. Rate as of June 30, 2020 is disclosed.

(h) Perpetual bond with no specified maturity date.

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

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

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

(l) The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of June 30, 2020, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

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

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 June 30, 2020, the value of Rule 144A holdings amounted to $1,317,404,400 or 14.3% of net assets.

ABS Asset-Backed Securities

EMTN Euro Medium Term Note

FHLMC Federal Home Loan Mortgage Corp.

GMTN Global Medium Term Note

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

Affiliated Holdings

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 was considered to be an affiliate at September 30, 2019. These securities were sold during the period ended June 30, 2020. A summary of affiliated transactions for the period ended June 30, 2020, 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	$	—	$	—	$	21,266	$	(7,405,404	)	$	2,869,138	$	—	$	—
Bellatrix Exploration Ltd., 12.500% (9.500% PIK, 3.000% Cash)		—		—		—		272,639		(5,802,080	)		5,529,441		—		—
Bellatrix Exploration Ltd.		—		—		—		—		(3,790,394	)		3,790,394		—		—
		$4,515,000	$	—	$	—	$	293,905	$	(16,997,878	)	$	12,188,973	$	—	$	—

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 June 30, 2020, at value:

Asset Valuation Inputs

Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—	$	28,398,271	(a)(b)	$	28,398,271
Finance Companies		3,046,722		447,664,201		824,973	(c)		451,535,896
All Other Non-Convertible Bonds*		—		6,847,643,200		—			6,847,643,200
Total Non-Convertible Bonds		3,046,722		7,295,307,401		29,223,244			7,327,577,367
Convertible Bonds
Independent Energy		—		2,453,076		629,283	(d)		3,082,359
All Other Convertible Bonds*		—		330,696,563		—			330,696,563
Total Convertible Bonds		—		333,149,639		629,283			333,778,922
Municipals*		—		128,796,815		—			128,796,815
Total Bonds and Notes		3,046,722		7,757,253,855		29,852,527			7,790,153,104
Senior Loans*		—		1,594,820		—			1,594,820
Common Stocks
Chemicals		—		5,180,675		—			5,180,675
Oil, Gas & Consumable Fuels		894,953		897,906		133,992	(b)(c)		1,926,851
All Other Common Stocks*		922,976,147		—		—			922,976,147
Total Common Stocks		923,871,100		6,078,581		133,992			930,083,673
Preferred Stocks
Convertible Preferred Stocks
Independent Energy		—		—		—	(b)		—
Midstream		19,293,061		—		—	(b)		19,293,061
All Other Convertible Preferred Stocks*		15,596,685		—		—			15,596,685
Total Convertible Preferred Stocks		34,889,746		—		—			34,889,746
Non-Convertible Preferred Stocks
Electric		1,203,402		139,669		—			1,343,071
REITs - Office Property		—		2,897,500		—			2,897,500
REITs - Warehouse/Industrials		—		11,365,721		—			11,365,721
All Other Non-Convertible Preferred Stocks*		591,809		—		—			591,809
Total Non-Convertible Preferred Stocks		1,795,211		14,402,890		—			16,198,101
Total Preferred Stocks		36,684,957		14,402,890		—			51,087,847
Closed-End Investment Companies		1,788,421		—		—			1,788,421
Warrants		—		5,507,819		506,992	(c)		6,014,811
Short-Term Investments		—		385,138,020		—			385,138,020
Total	$	965,391,200	$	8,169,975,985	$	30,493,511		$	9,165,860,696

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

(a) Valued using broker-dealer bid prices ($21,163,916) or fair valued by the Fund’s adviser using a broker-dealer bid price provided by a single market maker ($7,234,355).

(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. 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 June 30, 2020:

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 June 30, 2020			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2020
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	43,042,193	(a)	$	—	$	2,339		$	(22,241,429	)	$	1,192,476	$	(3,678,858	)	$	10,081,550	$	—	$	28,398,271	(a)	$	(22,233,059	)
Finance Companies		1,511,802			1,133		—			(687,962	)		—		—			—		—		824,973			(687,962	)
Independent Energy		4,515,000	(a)		293,905		(13,207,484	)		8,398,579			—		—			—		—		—			—
Convertible Bonds
Independent Energy		—			197,391		—			(2,622,160	)		1,216,663		—			1,837,389		—		629,283			(2,622,160	)
Common Stocks
Oil, Gas & Consumable Fuels		2,094	(a)		—		(3,795,786	)		(32,354,954	)		35,373,199		(11	)		909,450		—		133,992	(a)		(36,145,348	)
Preferred Stocks
Convertible Preferred Stocks
Independent Energy		5,763,342			—		—			(35,931,516	)		—		—			30,168,174		—		—	(a)		(35,931,516	)
Midstream		32,521,942			—		—			(32,521,942	)		—		—			—		—		—	(a)		(32,521,942	)
Warrants		—			—		—			425,079			81,913		—			—		—		506,992			425,079
Total	$	87,356,373		$	492,429	$	(17,000,931	)	$	(117,536,305	)	$	37,864,251	$	(3,678,869	)	$	42,996,563	$	—	$	30,493,511		$	(129,716,908	)

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

Debt securities valued at $11,918,939 were transferred from Level 2 to Level 3 during the period ended June 30, 2020. At September 30, 2019, these securities were 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 June 30, 2020, these securities were 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 securities.

A common stock valued at $909,450 was transferred from Level 2 to Level 3 during the period ended June 30, 2020. 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 June 30, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service was unable to price the security.

A preferred stock valued at $11,052,198 was transferred from Level 1 to Level 3 during the period ended June 30, 2020. At September 30, 2019, this security was valued at the closing bid quotation in accordance with the Fund’s valuation policies. At June 30, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.

A preferred stock valued at $19,115,976 was transferred from Level 2 to Level 3 during the period ended June 30, 2020. 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 June 30, 2020, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.

Industry Summary at June 30, 2020 (Unaudited)

Treasuries	34.2	%
Banking	5.8
Finance Companies	4.9
Wirelines	4.8
Pharmaceuticals	3.8
Diversified Telecommunication Services	3.7
Life Insurance	3.4
Cable Satellite	3.2
Healthcare	3.2
Technology	2.5
Automotive	2.4
Independent Energy	2.2
Other Investments, less than 2% each	21.4
Short-Term Investments	4.2
Closed-End Investment Companies	0.0	*
Total Investments	99.7
Other assets less liabilities	0.3
Net Assets	100.0	%

* Less than 0.1%

Currency Exposure Summary at June 30, 2020 (Unaudited)

United States Dollar	82.7	%
Mexican Peso	5.7
Canadian Dollar	5.7
Other, less than 2% each	5.6
Total Investments	99.7
Other assets less liabilities	0.3
Net Assets	100.0	%