PORTFOLIO OF INVESTMENTS – as of December 31, 2022 (Unaudited)
Loomis Sayles High Income Opportunities Fund
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – 91.9% of Net Assets | ||||||||||
Non-Convertible Bonds – 86.9% | ||||||||||
| ABS Car Loan – 0.5% |
| |||||||||
| $ | 297,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, 4.850%, 6/25/2026, 144A | $ | 261,257 | ||||||
| 325,000 | Hertz Vehicle Financing III LLC, Series 2022-3A, 6.310%, 3/25/2025, 144A | 309,871 | ||||||||
| 290,000 | Hertz Vehicle Financing LLC, Class D, Series 2022-4A, 6.560%, 9/25/2026, 144A | 267,310 | ||||||||
| 150,000 | Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026, 144A | 147,246 | ||||||||
|
| |||||||||
| 985,684 | ||||||||||
|
| |||||||||
| ABS Home Equity – 0.3% |
| |||||||||
| 90,153 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%, 4.999%, 9/19/2045(a) | 56,360 | ||||||||
| 489,391 | PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027, 144A(b) | 485,685 | ||||||||
|
| |||||||||
| 542,045 | ||||||||||
|
| |||||||||
| ABS Other – 0.1% |
| |||||||||
| 156,484 | S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A | 121,277 | ||||||||
|
| |||||||||
| Aerospace & Defense – 1.8% |
| |||||||||
| 310,000 | Bombardier, Inc., 6.000%, 2/15/2028, 144A | 286,663 | ||||||||
| 1,335,000 | Bombardier, Inc., 7.125%, 6/15/2026, 144A | 1,295,236 | ||||||||
| 70,000 | Moog, Inc., 4.250%, 12/15/2027, 144A | 64,750 | ||||||||
| 925,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | 746,848 | ||||||||
| 10,000 | TransDigm, Inc., 5.500%, 11/15/2027 | 9,390 | ||||||||
| 445,000 | TransDigm, Inc., 6.250%, 3/15/2026, 144A | 438,855 | ||||||||
| 600,000 | TransDigm, Inc., 8.000%, 12/15/2025, 144A | 608,874 | ||||||||
|
| |||||||||
| 3,450,616 | ||||||||||
|
| |||||||||
| Airlines – 1.2% |
| |||||||||
| 295,000 | Allegiant Travel Co., 7.250%, 8/15/2027, 144A | 280,593 | ||||||||
| 2,235,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A | 2,042,691 | ||||||||
|
| |||||||||
| 2,323,284 | ||||||||||
|
| |||||||||
| Automotive – 2.7% |
| |||||||||
| 45,000 | Allison Transmission, Inc., 4.750%, 10/01/2027, 144A | 41,730 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Automotive – continued |
| |||||||||
| $ | 1,170,000 | Ford Motor Co., 3.250%, 2/12/2032 | $ | 877,432 | ||||||
| 1,645,000 | Ford Motor Credit Co. LLC, 2.300%, 2/10/2025 | 1,501,688 | ||||||||
| 200,000 | Ford Motor Credit Co. LLC, 4.542%, 8/01/2026 | 184,281 | ||||||||
| 400,000 | Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026 | 372,584 | ||||||||
| 90,000 | General Motors Co., 6.125%, 10/01/2025 | 91,594 | ||||||||
| 180,000 | General Motors Co., 6.250%, 10/02/2043 | 166,415 | ||||||||
| 810,000 | General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(c) | 681,936 | ||||||||
| 485,000 | General Motors Financial Co., Inc., Series B, (fixed rate to 9/30/2028, variable rate thereafter), 6.500%(c) | 422,207 | ||||||||
| 320,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 | 318,499 | ||||||||
| 200,000 | Jaguar Land Rover Automotive PLC, 5.500%, 7/15/2029, 144A | 141,641 | ||||||||
| 220,000 | Jaguar Land Rover Automotive PLC, 5.875%, 1/15/2028, 144A | 167,299 | ||||||||
| 140,000 | Real Hero Merger Sub 2, Inc., 6.250%, 2/01/2029, 144A | 95,970 | ||||||||
| 190,000 | Wheel Pros, Inc., 6.500%, 5/15/2029, 144A | 71,256 | ||||||||
|
| |||||||||
| 5,134,532 | ||||||||||
|
| |||||||||
| Banking – 2.8% |
| |||||||||
| 200,000 | Banco Santander S.A, 5.147%, 8/18/2025 | 197,786 | ||||||||
| 595,000 | Bank of America Corp., (fixed rate to 3/05/2023, variable rate thereafter), 3.550%, 3/05/2024 | 592,760 | ||||||||
| 255,000 | Credit Suisse Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A | 261,086 | ||||||||
| 250,000 | Credit Suisse Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A | 213,523 | ||||||||
| 785,000 | Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A | 736,997 | ||||||||
| 500,000 | Credit Suisse Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A | 439,240 | ||||||||
| 410,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 291,172 | ||||||||
| 200,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 146,643 | ||||||||
| 1,235,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 1,032,236 | ||||||||
| 650,000 | Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A | 624,650 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Banking – continued |
| |||||||||
| $ | 960,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | $ | 779,950 | ||||||
|
| |||||||||
| 5,316,043 | ||||||||||
|
| |||||||||
| Brokerage – 0.2% |
| |||||||||
| 180,000 | Coinbase Global, Inc., 3.375%, 10/01/2028, 144A | 95,148 | ||||||||
| 140,000 | Coinbase Global, Inc., 3.625%, 10/01/2031, 144A | 67,425 | ||||||||
| 290,000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.000%, 8/15/2028, 144A | 236,562 | ||||||||
|
| |||||||||
| 399,135 | ||||||||||
|
| |||||||||
| Building Materials – 2.6% |
| |||||||||
| 300,000 | Advanced Drainage Systems, Inc., 6.375%, 6/15/2030, 144A | 291,498 | ||||||||
| 265,000 | Builders FirstSource, Inc., 4.250%, 2/01/2032, 144A | 214,843 | ||||||||
| 315,000 | Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A | 279,115 | ||||||||
| 1,950,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 1,645,868 | ||||||||
| 320,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(c) | 295,683 | ||||||||
| 265,000 | Cornerstone Building Brands, Inc., 6.125%, 1/15/2029, 144A | 186,624 | ||||||||
| 150,000 | CP Atlas Buyer, Inc., 7.000%, 12/01/2028, 144A | 111,400 | ||||||||
| 485,000 | Foundation Building Materials, Inc., 6.000%, 3/01/2029, 144A | 363,121 | ||||||||
| 195,000 | JELD-WEN, Inc., 4.625%, 12/15/2025, 144A | 163,273 | ||||||||
| 395,000 | LBM Acquisition LLC, 6.250%, 1/15/2029, 144A | 251,359 | ||||||||
| 255,000 | MIWD Holdco II LLC/MIWD Finance Corp., 5.500%, 2/01/2030, 144A | 203,018 | ||||||||
| 410,000 | Park River Holdings, Inc., 5.625%, 2/01/2029, 144A | 273,021 | ||||||||
| 275,000 | Patrick Industries, Inc., 4.750%, 5/01/2029, 144A | 228,250 | ||||||||
| 225,000 | Standard Industries, Inc., 4.375%, 7/15/2030, 144A | 183,358 | ||||||||
| 100,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A | 93,103 | ||||||||
| 355,000 | Victors Merger Corp., 6.375%, 5/15/2029, 144A | 195,250 | ||||||||
|
| |||||||||
| 4,978,784 | ||||||||||
|
| |||||||||
| Cable Satellite – 8.1% |
| |||||||||
| 665,000 | Altice Financing S.A., 5.000%, 1/15/2028, 144A | 535,325 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Cable Satellite – continued |
| |||||||||
| $ | 95,000 | Block Communications, Inc., 4.875%, 3/01/2028, 144A | $ | 82,888 | ||||||
| 435,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | 349,253 | ||||||||
| 2,370,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A | 2,043,924 | ||||||||
| 1,190,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.000%, 2/01/2028, 144A | 1,080,508 | ||||||||
| 1,050,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2027, 144A | 978,673 | ||||||||
| 95,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A | 91,970 | ||||||||
| 55,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.908%, 7/23/2025 | 53,906 | ||||||||
| 200,000 | CSC Holdings LLC, 3.375%, 2/15/2031, 144A | 130,427 | ||||||||
| 5,490,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 3,033,961 | ||||||||
| 585,000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A | 326,839 | ||||||||
| 400,000 | CSC Holdings LLC, 5.750%, 1/15/2030, 144A | 225,596 | ||||||||
| 280,000 | CSC Holdings LLC, 6.500%, 2/01/2029, 144A | 228,900 | ||||||||
| 1,250,000 | DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A | 1,118,325 | ||||||||
| 2,040,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 1,316,024 | ||||||||
| 185,000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A | 155,832 | ||||||||
| 150,000 | DISH DBS Corp., 5.750%, 12/01/2028, 144A | 119,719 | ||||||||
| 175,000 | DISH DBS Corp., 7.375%, 7/01/2028 | 123,812 | ||||||||
| 1,355,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 1,092,658 | ||||||||
| 529,903 | Ligado Networks LLC, 15.500% PIK, 11/01/2023, 144A(d) | 170,152 | ||||||||
| 209,057 | Ligado Networks LLC, 17.500% PIK, 5/01/2024, 144A(d) | 19,917 | ||||||||
| 480,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028, 144A | 201,127 | ||||||||
| 600,000 | Telenet Finance Luxembourg Notes S.a.r.l., 5.500%, 3/01/2028, 144A | 540,084 | ||||||||
| 275,000 | Telesat Canada/Telesat LLC, 5.625%, 12/06/2026, 144A | 126,506 | ||||||||
| 690,000 | UPC Broadband Finco B.V., 4.875%, 7/15/2031, 144A | 573,939 | ||||||||
| 260,000 | ViaSat, Inc., 6.500%, 7/15/2028, 144A | 195,058 | ||||||||
| 235,000 | Virgin Media Secured Finance PLC, 5.500%, 5/15/2029, 144A | 210,508 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Cable Satellite – continued |
| |||||||||
| $ | 305,000 | Ziggo Bond Co. BV, 6.000%, 1/15/2027, 144A | $ | 283,778 | ||||||
|
| |||||||||
| 15,409,609 | ||||||||||
|
| |||||||||
| Chemicals – 0.8% |
| |||||||||
| 330,000 | ASP Unifrax Holdings, Inc., 5.250%, 9/30/2028, 144A | 265,540 | ||||||||
| 175,000 | Chemours Co. (The), 5.375%, 5/15/2027 | 161,602 | ||||||||
| 150,000 | Consolidated Energy Finance S.A., 5.625%, 10/15/2028, 144A | 127,451 | ||||||||
| 805,000 | Hercules LLC, 6.500%, 6/30/2029 | 765,040 | ||||||||
| 200,000 | INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A | 183,750 | ||||||||
|
| |||||||||
| 1,503,383 | ||||||||||
|
| |||||||||
| Consumer Cyclical Services – 3.0% |
| |||||||||
| 1,120,000 | ADT Security Corp. (The), 4.125%, 8/01/2029, 144A | 952,511 | ||||||||
| 260,000 | ANGI Group LLC, 3.875%, 8/15/2028, 144A | 192,942 | ||||||||
| 110,000 | Arches Buyer, Inc., 6.125%, 12/01/2028, 144A | 88,275 | ||||||||
| 70,000 | Match Group Holdings II LLC, 3.625%, 10/01/2031, 144A | 53,680 | ||||||||
| 210,000 | Match Group Holdings II LLC, 5.000%, 12/15/2027, 144A | 193,200 | ||||||||
| 90,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.250%, 4/15/2030, 144A | 65,656 | ||||||||
| 545,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.750%, 1/15/2029, 144A | 412,233 | ||||||||
| 420,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 365,927 | ||||||||
| 355,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 340,800 | ||||||||
| 1,080,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 1,080,756 | ||||||||
| 1,845,000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A | 1,851,350 | ||||||||
|
| |||||||||
| 5,597,330 | ||||||||||
|
| |||||||||
| Consumer Products – 0.7% |
| |||||||||
| 240,000 | Coty, Inc., 5.000%, 4/15/2026, 144A | 227,585 | ||||||||
| 50,000 | Coty, Inc., 6.500%, 4/15/2026, 144A | 48,000 | ||||||||
| 540,000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.750%, 1/15/2029, 144A | 488,700 | ||||||||
| 435,000 | Energizer Holdings, Inc., 4.375%, 3/31/2029, 144A | 368,903 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Consumer Products – continued |
| |||||||||
| $ | 140,000 | Prestige Brands, Inc., 3.750%, 4/01/2031, 144A | $ | 115,454 | ||||||
|
| |||||||||
| 1,248,642 | ||||||||||
|
| |||||||||
| Diversified Manufacturing – 0.3% |
| |||||||||
| 215,000 | Chart Industries, Inc., 7.500%, 1/01/2030, 144A | 216,137 | ||||||||
| 285,000 | Madison IAQ LLC, 5.875%, 6/30/2029, 144A | 195,339 | ||||||||
| 265,000 | Resideo Funding, Inc., 4.000%, 9/01/2029, 144A | 214,266 | ||||||||
|
| |||||||||
| 625,742 | ||||||||||
|
| |||||||||
| Electric – 1.4% |
| |||||||||
| 1,365,000 | Calpine Corp., 5.125%, 3/15/2028, 144A | 1,217,980 | ||||||||
| 190,000 | NRG Energy, Inc., 3.875%, 2/15/2032, 144A | 142,699 | ||||||||
| 105,000 | NRG Energy, Inc., 5.250%, 6/15/2029, 144A | 92,688 | ||||||||
| 135,000 | NRG Energy, Inc., 5.750%, 1/15/2028 | 126,720 | ||||||||
| 320,000 | PG&E Corp., 5.000%, 7/01/2028 | 292,110 | ||||||||
| 70,000 | PG&E Corp., 5.250%, 7/01/2030 | 63,700 | ||||||||
| 750,000 | Vistra Operations Co. LLC, 3.550%, 7/15/2024, 144A | 719,295 | ||||||||
|
| |||||||||
| 2,655,192 | ||||||||||
|
| |||||||||
| Environmental – 0.2% |
| |||||||||
| 530,000 | GFL Environmental, Inc., 4.000%, 8/01/2028, 144A | 453,150 | ||||||||
|
| |||||||||
| Finance Companies – 3.9% |
| |||||||||
| 155,000 | Aircastle Ltd., Series A (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(c) | 119,350 | ||||||||
| 800,000 | Cobra AcquisitionCo LLC, 6.375%, 11/01/2029, 144A | 472,000 | ||||||||
| 490,000 | Freedom Mortgage Corp., 7.625%, 5/01/2026, 144A | 408,721 | ||||||||
| 331,600 | Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024, 144A(e) | 281,860 | ||||||||
| 255,000 | LFS Topco LLC, 5.875%, 10/15/2026, 144A | 205,467 | ||||||||
| 1,015,000 | Navient Corp., 4.875%, 3/15/2028 | 834,753 | ||||||||
| 620,000 | Navient Corp., 5.000%, 3/15/2027 | 542,756 | ||||||||
| 300,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 248,391 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Finance Companies – continued |
| |||||||||
| $ | 990,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | $ | 941,371 | ||||||
| 410,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A | 356,700 | ||||||||
| 910,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 780,018 | ||||||||
| 360,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 285,278 | ||||||||
| 925,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 706,030 | ||||||||
| 1,645,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 1,228,585 | ||||||||
|
| |||||||||
| 7,411,280 | ||||||||||
|
| |||||||||
| Financial Other – 1.8% |
| |||||||||
| 400,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 185,072 | ||||||||
| 200,000 | Central China Real Estate Ltd., 7.250%, 8/13/2024 | 55,962 | ||||||||
| 205,000 | Central China Real Estate Ltd., 7.650%, 8/27/2023 | 73,312 | ||||||||
| 400,000 | CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(f)(g) | 45,456 | ||||||||
| 200,000 | CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(f)(g) | 22,928 | ||||||||
| 205,000 | CFLD Cayman Investment Ltd., 8.750%, 9/28/2022(f)(g) | 24,374 | ||||||||
| 405,000 | China Aoyuan Group Ltd., 6.200%, 3/24/2026(f) | 33,117 | ||||||||
| 200,000 | China Evergrande Group, 8.750%, 6/28/2025(f) | 14,442 | ||||||||
| 200,000 | China Evergrande Group, 9.500%, 4/11/2022(f) | 14,294 | ||||||||
| 416,428 | Easy Tactic Ltd., 7.500% PIK or 6.500% Cash, 7/11/2027(e) | 86,392 | ||||||||
| 200,000 | Fantasia Holdings Group Co. Ltd., 11.875%, 6/01/2023(f) | 14,500 | ||||||||
| 1,435,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 1,313,886 | ||||||||
| 400,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(f) | 54,444 | ||||||||
| 400,000 | Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(f) | 54,152 | ||||||||
| 400,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(f) | 54,084 | ||||||||
| 610,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(f) | 82,734 | ||||||||
| 210,000 | KWG Group Holdings Ltd., 6.300%, 2/13/2026 | 81,955 | ||||||||
| 685,000 | Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027, 144A | 613,075 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Financial Other – continued |
| |||||||||
| $ | 205,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(f) | $ | 36,695 | ||||||
| 200,000 | Shimao Group Holdings Ltd., 4.750%, 7/03/2022(f) | 37,058 | ||||||||
| 200,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(f) | 37,336 | ||||||||
| 605,000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026(f) | 128,871 | ||||||||
| 200,000 | Sunac China Holdings Ltd., 6.650%, 8/03/2024(f) | 42,866 | ||||||||
| 205,000 | Times China Holdings Ltd., 5.750%, 1/14/2027 | 33,315 | ||||||||
| 630,000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 102,129 | ||||||||
| 800,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(f) | 73,888 | ||||||||
| 200,000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(f) | 18,528 | ||||||||
| 820,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(f) | 41,057 | ||||||||
| 210,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(f) | 10,349 | ||||||||
|
| |||||||||
| 3,386,271 | ||||||||||
|
| |||||||||
| Food & Beverage – 1.5% |
| |||||||||
| 80,000 | Aramark Services, Inc., 5.000%, 2/01/2028, 144A | 74,635 | ||||||||
| 335,000 | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A | 312,294 | ||||||||
| 65,000 | Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A | 63,537 | ||||||||
| 275,000 | HLF Financing S.a.r.l. LLC/Herbalife International, Inc., 4.875%, 6/01/2029, 144A | 189,412 | ||||||||
| 310,000 | MARB BondCo. PLC, 3.950%, 1/29/2031, 144A | 237,951 | ||||||||
| 325,000 | Performance Food Group, Inc., 4.250%, 8/01/2029, 144A | 281,651 | ||||||||
| 340,000 | Performance Food Group, Inc., 5.500%, 10/15/2027, 144A | 320,676 | ||||||||
| 555,000 | Post Holdings, Inc., 4.625%, 4/15/2030, 144A | 478,821 | ||||||||
| 15,000 | Post Holdings, Inc., 5.750%, 3/01/2027, 144A | 14,506 | ||||||||
| 260,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029, 144A | 211,654 | ||||||||
| 325,000 | TreeHouse Foods, Inc., 4.000%, 9/01/2028 | 276,250 | ||||||||
| 425,000 | US Foods, Inc., 4.750%, 2/15/2029, 144A | 377,366 | ||||||||
|
| |||||||||
| 2,838,753 | ||||||||||
|
| |||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Gaming – 3.7% |
| |||||||||
| $ | 370,000 | Boyd Gaming Corp., 4.750%, 12/01/2027 | $ | 344,611 | ||||||
| 350,000 | Boyd Gaming Corp., 4.750%, 6/15/2031, 144A | 304,500 | ||||||||
| 610,000 | Melco Resorts Finance Ltd., 5.375%, 12/04/2029, 144A | 487,750 | ||||||||
| 200,000 | Melco Resorts Finance Ltd., 5.750%, 7/21/2028, 144A | 166,544 | ||||||||
| 205,000 | Sands China Ltd., 3.350%, 3/08/2029 | 167,475 | ||||||||
| 1,070,000 | Sands China Ltd., 4.875%, 6/18/2030 | 940,294 | ||||||||
| 525,000 | Sands China Ltd., 5.900%, 8/08/2028 | 491,559 | ||||||||
| 865,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 825,132 | ||||||||
| 775,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 744,000 | ||||||||
| 540,000 | Studio City Finance Ltd., 6.500%, 1/15/2028, 144A | 419,320 | ||||||||
| 560,000 | VICI Properties LP, 4.375%, 5/15/2025 | 543,104 | ||||||||
| 170,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A | 158,597 | ||||||||
| 195,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A | 183,510 | ||||||||
| 165,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A | 158,194 | ||||||||
| 145,000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A | 143,588 | ||||||||
| 290,000 | Wynn Macau Ltd., 5.125%, 12/15/2029, 144A | 234,636 | ||||||||
| 415,000 | Wynn Macau Ltd., 5.625%, 8/26/2028, 144A | 354,447 | ||||||||
| 420,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A | 359,995 | ||||||||
|
| |||||||||
| 7,027,256 | ||||||||||
|
| |||||||||
| Government Owned - No Guarantee – 0.5% |
| |||||||||
| 205,000 | EcoPetrol S.A., 4.625%, 11/02/2031 | 156,587 | ||||||||
| 365,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 276,250 | ||||||||
| 285,000 | Petroleos Mexicanos, 6.625%, 6/15/2035 | 206,741 | ||||||||
| 465,000 | YPF S.A., 6.950%, 7/21/2027, 144A | 329,415 | ||||||||
|
| |||||||||
| 968,993 | ||||||||||
|
| |||||||||
| Health Insurance – 0.4% |
| |||||||||
| 675,000 | Centene Corp., 2.450%, 7/15/2028 | 569,734 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Health Insurance – continued |
| |||||||||
| $ | 115,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A | $ | 95,500 | ||||||
|
| |||||||||
| 665,234 | ||||||||||
|
| |||||||||
| Healthcare – 2.1% |
| |||||||||
| 220,000 | AdaptHealth LLC, 5.125%, 3/01/2030, 144A | 187,284 | ||||||||
| 255,000 | AHP Health Partners, Inc., 5.750%, 7/15/2029, 144A | 199,219 | ||||||||
| 1,360,000 | CHS/Community Health Systems, Inc., 5.250%, 5/15/2030, 144A | 1,025,491 | ||||||||
| 610,000 | DaVita, Inc., 3.750%, 2/15/2031, 144A | 455,273 | ||||||||
| 340,000 | Garden Spinco Corp., 8.625%, 7/20/2030, 144A | 360,400 | ||||||||
| 675,000 | LifePoint Health, Inc., 5.375%, 1/15/2029, 144A | 381,443 | ||||||||
| 460,000 | Medline Borrower LP, 5.250%, 10/01/2029, 144A | 365,364 | ||||||||
| 130,000 | ModivCare Escrow Issuer, Inc., 5.000%, 10/01/2029, 144A | 109,629 | ||||||||
| 185,000 | RP Escrow Issuer LLC, 5.250%, 12/15/2025, 144A | 141,275 | ||||||||
| 225,000 | Tenet Healthcare Corp., 5.125%, 11/01/2027, 144A | 209,304 | ||||||||
| 215,000 | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A | 192,494 | ||||||||
| 215,000 | Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A | 206,510 | ||||||||
| 190,000 | U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026, 144A | 168,610 | ||||||||
|
| |||||||||
| 4,002,296 | ||||||||||
|
| |||||||||
| Home Construction – 0.1% |
| |||||||||
| 255,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030, 144A | 198,817 | ||||||||
| 200,000 | Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(f)(h) | — | ||||||||
|
| |||||||||
| 198,817 | ||||||||||
|
| |||||||||
| Independent Energy – 6.9% |
| |||||||||
| 645,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026, 144A | 625,663 | ||||||||
| 625,000 | Baytex Energy Corp., 8.750%, 4/01/2027, 144A | 635,919 | ||||||||
| 210,000 | California Resources Corp., 7.125%, 2/01/2026, 144A | 201,818 | ||||||||
| 315,000 | Callon Petroleum Co., 8.000%, 8/01/2028, 144A | 300,284 | ||||||||
| 840,000 | Chesapeake Energy Corp., 5.500%, 2/01/2026, 144A | 810,579 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Independent Energy – continued |
| |||||||||
| $ | 275,000 | Chesapeake Energy Corp., 6.750%, 4/15/2029, 144A | $ | 267,740 | ||||||
| 135,000 | Chord Energy Corp., 6.375%, 6/01/2026, 144A | 131,481 | ||||||||
| 415,000 | CNX Resources Corp., 7.250%, 3/14/2027, 144A | 411,887 | ||||||||
| 220,000 | Colgate Energy Partners III LLC, 5.875%, 7/01/2029, 144A | 188,949 | ||||||||
| 255,000 | Comstock Resources, Inc., 6.750%, 3/01/2029, 144A | 230,137 | ||||||||
| 770,000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A | 570,330 | ||||||||
| 255,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 237,369 | ||||||||
| 320,000 | Crescent Energy Finance LLC, 7.250%, 5/01/2026, 144A | 301,549 | ||||||||
| 100,000 | Energean Israel Finance Ltd., 4.875%, 3/30/2026, 144A | 92,290 | ||||||||
| 200,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 179,000 | ||||||||
| 510,000 | EQT Corp., 3.900%, 10/01/2027 | 470,814 | ||||||||
| 60,000 | EQT Corp., 5.678%, 10/01/2025 | 59,708 | ||||||||
| 40,000 | EQT Corp., 5.700%, 4/01/2028 | 39,785 | ||||||||
| 300,000 | EQT Corp., 6.125%, 2/01/2025 | 300,705 | ||||||||
| 200,000 | Gulfport Energy Corp., 8.000%, 5/17/2026, 144A | 195,000 | ||||||||
| 505,000 | Matador Resources Co., 5.875%, 9/15/2026 | 485,537 | ||||||||
| 115,000 | MEG Energy Corp., 5.875%, 2/01/2029, 144A | 108,448 | ||||||||
| 300,000 | Murphy Oil Corp., 6.125%, 12/01/2042 | 234,000 | ||||||||
| 690,000 | Northern Oil & Gas, Inc., 8.125%, 3/01/2028, 144A | 662,534 | ||||||||
| 95,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 94,644 | ||||||||
| 395,000 | Occidental Petroleum Corp., 6.125%, 1/01/2031 | 398,630 | ||||||||
| 905,000 | Occidental Petroleum Corp., 6.600%, 3/15/2046 | 931,236 | ||||||||
| 330,000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 | 341,015 | ||||||||
| 110,000 | Occidental Petroleum Corp., 7.500%, 5/01/2031 | 117,532 | ||||||||
| 50,000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 | 55,200 | ||||||||
| 110,000 | Occidental Petroleum Corp., 8.500%, 7/15/2027 | 118,449 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Independent Energy – continued |
| |||||||||
| $ | 655,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 | $ | 739,498 | ||||||
| 830,000 | PDC Energy, Inc., 5.750%, 5/15/2026 | 792,293 | ||||||||
| 260,000 | Permian Resources Operating LLC, 6.875%, 4/01/2027, 144A | 244,982 | ||||||||
| 180,000 | Range Resources Corp., 8.250%, 1/15/2029 | 185,480 | ||||||||
| 240,000 | SM Energy Co., 5.625%, 6/01/2025 | 230,398 | ||||||||
| 230,000 | SM Energy Co., 6.750%, 9/15/2026 | 223,296 | ||||||||
| 195,000 | Southwestern Energy Co., 5.375%, 2/01/2029 | 180,777 | ||||||||
| 490,000 | Strathcona Resources Ltd., 6.875%, 8/01/2026, 144A | 357,634 | ||||||||
| 265,000 | Tap Rock Resources LLC, 7.000%, 10/01/2026, 144A | 246,476 | ||||||||
|
| |||||||||
| 12,999,066 | ||||||||||
|
| |||||||||
| Industrial Other – 0.2% |
| |||||||||
| 315,000 | Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026, 144A | 287,168 | ||||||||
| 150,000 | Installed Building Products, Inc., 5.750%, 2/01/2028, 144A | 134,872 | ||||||||
|
| |||||||||
| 422,040 | ||||||||||
|
| |||||||||
| Leisure – 3.3% |
| |||||||||
| 1,015,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | 724,751 | ||||||||
| 265,000 | Cinemark USA, Inc., 5.250%, 7/15/2028, 144A | 196,786 | ||||||||
| 265,000 | Live Nation Entertainment, Inc., 3.750%, 1/15/2028, 144A | 225,801 | ||||||||
| 535,000 | Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A | 476,324 | ||||||||
| 20,000 | NCL Corp. Ltd., 5.875%, 3/15/2026 | 15,709 | ||||||||
| 1,605,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 1,260,679 | ||||||||
| 165,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 121,807 | ||||||||
| 310,000 | Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028 | 227,850 | ||||||||
| 780,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A | 630,511 | ||||||||
| 1,495,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 1,193,077 | ||||||||
| 265,000 | SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029, 144A | 230,735 | ||||||||
| 335,000 | Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A | 297,266 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Leisure – continued |
| |||||||||
| $ | 550,000 | Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029, 144A | $ | 442,750 | ||||||
| 295,000 | VOC Escrow Ltd., 5.000%, 2/15/2028, 144A | 253,730 | ||||||||
|
| |||||||||
| 6,297,776 | ||||||||||
|
| |||||||||
| Lodging – 1.7% |
| |||||||||
| 380,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A | 310,138 | ||||||||
| 725,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 623,500 | ||||||||
| 205,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 170,073 | ||||||||
| 720,000 | Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028 | 626,963 | ||||||||
| 1,015,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 827,053 | ||||||||
| 345,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 286,098 | ||||||||
| 5,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 4,745 | ||||||||
| 365,000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 357,066 | ||||||||
|
| |||||||||
| 3,205,636 | ||||||||||
|
| |||||||||
| Media Entertainment – 2.1% |
| |||||||||
| 230,000 | Clear Channel International BV, 6.625%, 8/01/2025, 144A | 219,467 | ||||||||
| 200,000 | CMG Media Corp., 8.875%, 12/15/2027, 144A | 150,540 | ||||||||
| 270,000 | Deluxe Corp., 8.000%, 6/01/2029, 144A | 222,075 | ||||||||
| 555,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A | 65,213 | ||||||||
| 310,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027, 144A | 2,325 | ||||||||
| 840,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 684,046 | ||||||||
| 400,000 | iHeartCommunications, Inc., 6.375%, 5/01/2026 | 368,000 | ||||||||
| 690,000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 | 586,795 | ||||||||
| 45,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 41,967 | ||||||||
| 95,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 92,150 | ||||||||
| 305,000 | Netflix, Inc., 5.875%, 2/15/2025 | 308,843 | ||||||||
| 55,000 | Netflix, Inc., 6.375%, 5/15/2029 | 56,611 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Media Entertainment – continued |
| |||||||||
| $ | 115,000 | Nexstar Media, Inc., 5.625%, 7/15/2027, 144A | $ | 105,496 | ||||||
| 150,000 | Playtika Holding Corp., 4.250%, 3/15/2029, 144A | 117,742 | ||||||||
| 400,000 | Sinclair Television Group, Inc., 5.125%, 2/15/2027, 144A | 326,245 | ||||||||
| 265,000 | Stagwell Global LLC, 5.625%, 8/15/2029, 144A | 218,463 | ||||||||
| 280,000 | Warnermedia Holdings, Inc., 3.755%, 3/15/2027, 144A | 252,711 | ||||||||
| 145,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A | 119,555 | ||||||||
|
| |||||||||
| 3,938,244 | ||||||||||
|
| |||||||||
| Metals & Mining – 3.3% |
| |||||||||
| 405,000 | Alcoa Nederland Holding BV, 5.500%, 12/15/2027, 144A | 390,283 | ||||||||
| 270,000 | ATI, Inc., 4.875%, 10/01/2029 | 238,607 | ||||||||
| 325,000 | ATI, Inc., 5.875%, 12/01/2027 | 310,793 | ||||||||
| 305,000 | Cia de Minas Buenaventura SAA, 5.500%, 7/23/2026, 144A | 261,559 | ||||||||
| 565,000 | Cleveland-Cliffs, Inc., 6.750%, 3/15/2026, 144A | 566,412 | ||||||||
| 350,000 | Commercial Metals Co., 4.125%, 1/15/2030 | 309,700 | ||||||||
| 460,000 | First Quantum Minerals Ltd., 6.500%, 3/01/2024, 144A | 450,002 | ||||||||
| 2,605,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 2,466,991 | ||||||||
| 475,000 | Mineral Resources Ltd., 8.125%, 5/01/2027, 144A | 478,294 | ||||||||
| 785,000 | Novelis Corp., 4.750%, 1/30/2030, 144A | 695,954 | ||||||||
| 76,000 | United States Steel Corp., 6.875%, 3/01/2029 | 73,769 | ||||||||
| 90,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 77,539 | ||||||||
|
| |||||||||
| 6,319,903 | ||||||||||
|
| |||||||||
| Midstream – 4.7% |
| |||||||||
| 175,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.375%, 6/15/2029, 144A | 159,992 | ||||||||
| 285,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.875%, 5/15/2026, 144A | 288,496 | ||||||||
| 545,000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.625%, 12/15/2025, 144A | 540,942 | ||||||||
| 360,000 | Buckeye Partners LP, 4.500%, 3/01/2028, 144A | 316,438 | ||||||||
| 185,000 | Buckeye Partners LP, 5.600%, 10/15/2044 | 135,088 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Midstream – continued |
| |||||||||
| $ | 130,000 | Buckeye Partners LP, 5.850%, 11/15/2043 | $ | 96,860 | ||||||
| 360,000 | Cheniere Energy Partners LP, 4.000%, 3/01/2031 | 306,490 | ||||||||
| 260,000 | CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.500%, 6/15/2031, 144A | 227,113 | ||||||||
| 275,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.000%, 2/01/2029, 144A | 252,315 | ||||||||
| 50,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 41,357 | ||||||||
| 250,000 | DCP Midstream Operating LP, 5.375%, 7/15/2025 | 247,675 | ||||||||
| 540,000 | DCP Midstream Operating LP, 5.625%, 7/15/2027 | 536,501 | ||||||||
| 325,000 | EnLink Midstream LLC, 6.500%, 9/01/2030, 144A | 321,653 | ||||||||
| 15,000 | EnLink Midstream Partners LP, 5.050%, 4/01/2045 | 11,367 | ||||||||
| 320,000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044 | 263,925 | ||||||||
| 100,000 | EQM Midstream Partners LP, 5.500%, 7/15/2028 | 89,416 | ||||||||
| 167,000 | EQM Midstream Partners LP, 6.000%, 7/01/2025, 144A | 161,154 | ||||||||
| 470,000 | EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A | 449,202 | ||||||||
| 95,000 | EQM Midstream Partners LP, 6.500%, 7/15/2048 | 71,210 | ||||||||
| 575,000 | EQM Midstream Partners LP, 7.500%, 6/01/2027, 144A | 563,074 | ||||||||
| 135,000 | EQM Midstream Partners LP, 7.500%, 6/01/2030, 144A | 130,075 | ||||||||
| 275,000 | Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026, 144A | 250,153 | ||||||||
| 490,000 | Genesis Energy LP/Genesis Energy Finance Corp., 7.750%, 2/01/2028 | 451,035 | ||||||||
| 330,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A | 282,124 | ||||||||
| 245,000 | Holly Energy Partners LP/Holly Energy Finance Corp., 6.375%, 4/15/2027, 144A | 240,711 | ||||||||
| 330,000 | NuStar Logistics LP, 5.750%, 10/01/2025 | 317,240 | ||||||||
| 265,000 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031, 144A | 225,245 | ||||||||
| 220,000 | Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029 | 192,434 | ||||||||
| 495,000 | Targa Resources Corp., 5.200%, 7/01/2027 | 485,165 | ||||||||
| 70,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 63,207 | ||||||||
| 50,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2028 | 47,698 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Midstream – continued | ||||||||||
| $ | 365,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | $ | 343,436 | ||||||
| 80,000 | Western Midstream Operating LP, 4.500%, 3/01/2028 | 73,400 | ||||||||
| 275,000 | Western Midstream Operating LP, 4.750%, 8/15/2028 | 251,155 | ||||||||
| 270,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 222,001 | ||||||||
| 190,000 | Western Midstream Operating LP, 5.500%, 2/01/2050 | 156,522 | ||||||||
|
| |||||||||
| 8,811,869 | ||||||||||
|
| |||||||||
| Non-Agency Commercial Mortgage-Backed Securities – 2.4% | ||||||||||
| 96,223 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1-month LIBOR + 3.500%, 7.818%, 11/15/2031, 144A(a) | 80,577 | ||||||||
| 336,781 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1-month LIBOR + 4.500%, 8.818%, 11/15/2031, 144A(a) | 215,472 | ||||||||
| 590,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 4.941%, 5/10/2047, 144A(b) | 477,900 | ||||||||
| 405,000 | Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A | 351,619 | ||||||||
| 795,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A | 461,946 | ||||||||
| 110,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.154%, 8/10/2044, 144A(b) | 82,775 | ||||||||
| 935,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.154%, 8/10/2044, 144A(b) | 387,186 | ||||||||
| 100,000 | GS Mortgage Securities Trust, Series 2013-GC13, Class C, 4.078%, 7/10/2046, 144A(b) | 87,808 | ||||||||
| 170,000 | GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.686%, 6/10/2047, 144A(b) | 150,296 | ||||||||
| 465,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(b) | 433,843 | ||||||||
| 275,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.211%, 6/15/2044, 144A(b) | 206,061 | ||||||||
| 295,000 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.282%, 10/15/2030, 144A(b) | 212,548 | ||||||||
| 106,361 | Starwood Retail Property Trust, Series 2014-STAR, Class A, 1-month LIBOR + 1.470%, 5.788%, 11/15/2027, 144A(a) | 73,655 | ||||||||
| 320,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 7.818%, 11/15/2027, 144A(a)(h) | 86,063 | ||||||||
| 350,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 8.718%, 11/15/2027, 144A(a)(h) | 33,264 | ||||||||
| 325,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class C, 4.458%, 8/15/2050 | 200,699 | ||||||||
| 145,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.134%, 11/15/2059(b) | 110,353 | ||||||||
| 484,178 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.378%, 3/15/2044, 144A(b) | 192,993 | ||||||||
| 205,000 | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E, 4.844%, 6/15/2044, 144A(b) | 164,861 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Non-Agency Commercial Mortgage-Backed Securities – continued | ||||||||||
| $ | 530,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.357%, 12/15/2045(b) | $ | 474,209 | ||||||
| 96,513 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.651%, 6/15/2045, 144A(b) | 2,172 | ||||||||
|
| |||||||||
| 4,486,300 | ||||||||||
|
| |||||||||
| Oil Field Services – 1.1% | ||||||||||
| 260,000 | Nabors Industries, Inc., 7.375%, 5/15/2027, 144A | 254,758 | ||||||||
| 180,000 | Precision Drilling Corp., 6.875%, 1/15/2029, 144A | 167,581 | ||||||||
| 30,000 | Precision Drilling Corp., 7.125%, 1/15/2026, 144A | 29,025 | ||||||||
| 125,000 | Solaris Midstream Holdings LLC, 7.625%, 4/01/2026, 144A | 124,329 | ||||||||
| 434,000 | Transocean Pontus Ltd., 6.125%, 8/01/2025, 144A | 425,217 | ||||||||
| 708,750 | Transocean Poseidon Ltd., 6.875%, 2/01/2027, 144A | 689,699 | ||||||||
| 54,000 | Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A | 53,194 | ||||||||
| 395,000 | Weatherford International Ltd., 8.625%, 4/30/2030, 144A | 379,322 | ||||||||
| 15,000 | Weatherford International Ltd., 11.000%, 12/01/2024, 144A | 15,301 | ||||||||
|
| |||||||||
| 2,138,426 | ||||||||||
|
| |||||||||
| Packaging – 0.2% | ||||||||||
| 259,274 | ARD Finance S.A., 7.250% PIK or 6.500% Cash, 6/30/2027, 144A(e) | 180,334 | ||||||||
| 170,000 | Graham Packaging Co., Inc., 7.125%, 8/15/2028, 144A | 141,839 | ||||||||
|
| |||||||||
| 322,173 | ||||||||||
|
| |||||||||
| Pharmaceuticals – 3.6% | ||||||||||
| 1,945,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A | 1,237,101 | ||||||||
| 915,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 438,889 | ||||||||
| 285,000 | Bausch Health Cos., Inc., 6.125%, 2/01/2027, 144A | 196,545 | ||||||||
| 385,000 | Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028, 144A | 324,416 | ||||||||
| 445,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A(f) | 23,363 | ||||||||
| 65,000 | Endo Luxembourg Finance Co. I. S.a.r.l./Endo U.S., Inc., 6.125%, 4/01/2029, 144A | 49,311 | ||||||||
| 280,000 | Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A | 241,772 | ||||||||
| 490,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.125%, 4/30/2031, 144A | 424,281 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Pharmaceuticals – continued | ||||||||||
| $ | 485,000 | Perrigo Finance Unlimited Co., 4.400%, 6/15/2030 | $ | 413,228 | ||||||
| 230,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 202,185 | ||||||||
| 1,400,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 1,224,300 | ||||||||
| 3,200,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 1,956,561 | ||||||||
|
| |||||||||
| 6,731,952 | ||||||||||
|
| |||||||||
| Property & Casualty Insurance – 0.8% | ||||||||||
| 400,000 | Acrisure LLC/Acrisure Finance, Inc., 6.000%, 8/01/2029, 144A | 326,892 | ||||||||
| 440,000 | AmWINS Group, Inc., 4.875%, 6/30/2029, 144A | 373,185 | ||||||||
| 339,426 | Ardonagh Midco 2 PLC, 12.750% PIK or 11.500% Cash, 1/15/2027, 144A(e) | 320,656 | ||||||||
| 255,000 | AssuredPartners, Inc., 5.625%, 1/15/2029, 144A | 209,874 | ||||||||
| 275,000 | BroadStreet Partners, Inc., 5.875%, 4/15/2029, 144A | 234,047 | ||||||||
|
| |||||||||
| 1,464,654 | ||||||||||
|
| |||||||||
| Refining – 0.4% | ||||||||||
| 120,000 | Calumet Specialty Products Partners LP/Calumet Finance Corp., 11.000%, 4/15/2025, 144A | 125,075 | ||||||||
| 590,000 | CVR Energy, Inc., 5.250%, 2/15/2025, 144A | 542,800 | ||||||||
|
| |||||||||
| 667,875 | ||||||||||
|
| |||||||||
| REITs - Hotels – 0.3% | ||||||||||
| 380,000 | Service Properties Trust, 4.750%, 10/01/2026 | 299,041 | ||||||||
| 330,000 | Service Properties Trust, 7.500%, 9/15/2025 | 314,465 | ||||||||
|
| |||||||||
| 613,506 | ||||||||||
|
| |||||||||
| REITs - Mortgage – 0.2% | ||||||||||
| 185,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A | 155,406 | ||||||||
| 265,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A | 248,978 | ||||||||
|
| |||||||||
| 404,384 | ||||||||||
|
| |||||||||
| Restaurants – 0.8% | ||||||||||
| 875,000 | 1011778 B.C. ULC/New Red Finance, Inc., 3.875%, 1/15/2028, 144A | 782,727 | ||||||||
| 230,000 | Bloomin’ Brands, Inc./OSI Restaurant Partners LLC, 5.125%, 4/15/2029, 144A | 193,453 | ||||||||
| 415,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.750%, 6/01/2027, 144A | 398,400 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Restaurants – continued | ||||||||||
| $ | 205,000 | Papa John’s International, Inc., 3.875%, 9/15/2029, 144A | $ | 171,175 | ||||||
|
| |||||||||
| 1,545,755 | ||||||||||
|
| |||||||||
| Retailers – 1.8% | ||||||||||
| 306,000 | Asbury Automotive Group, Inc., 4.500%, 3/01/2028 | 269,402 | ||||||||
| 355,000 | Asbury Automotive Group, Inc., 4.625%, 11/15/2029, 144A | 299,137 | ||||||||
| 99,000 | Asbury Automotive Group, Inc., 4.750%, 3/01/2030 | 82,799 | ||||||||
| 145,000 | Bath & Body Works, Inc., 5.250%, 2/01/2028 | 134,654 | ||||||||
| 310,000 | Bath & Body Works, Inc., 6.875%, 11/01/2035 | 275,559 | ||||||||
| 275,000 | Carvana Co., 4.875%, 9/01/2029, 144A | 105,947 | ||||||||
| 480,000 | Carvana Co., 5.500%, 4/15/2027, 144A | 190,168 | ||||||||
| 480,000 | Dillard’s, Inc., 7.000%, 12/01/2028 | 475,104 | ||||||||
| 80,000 | Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A | 67,714 | ||||||||
| 130,000 | Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A | 108,749 | ||||||||
| 200,000 | Michaels Cos., Inc. (The), 7.875%, 5/01/2029, 144A | 133,634 | ||||||||
| 275,000 | NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026, 144A | 257,748 | ||||||||
| 310,000 | PetSmart, Inc./PetSmart Finance Corp., 7.750%, 2/15/2029, 144A | 291,150 | ||||||||
| 525,000 | Sonic Automotive, Inc., 4.625%, 11/15/2029, 144A | 420,372 | ||||||||
| 345,000 | Sonic Automotive, Inc., 4.875%, 11/15/2031, 144A | 271,234 | ||||||||
|
| |||||||||
| 3,383,371 | ||||||||||
|
| |||||||||
| Supermarkets – 0.2% | ||||||||||
| 335,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.625%, 1/15/2027, 144A | 311,171 | ||||||||
|
| |||||||||
| Technology – 5.4% | ||||||||||
| 575,000 | Broadcom, Inc., 4.300%, 11/15/2032 | 506,771 | ||||||||
| 445,000 | Clarivate Science Holdings Corp., 4.875%, 7/01/2029, 144A | 378,406 | ||||||||
| 135,000 | Cloud Software Group Holdings, Inc., 6.500%, 3/31/2029, 144A | 113,708 | ||||||||
| 435,000 | Coherent Corp., 5.000%, 12/15/2029, 144A | 375,157 | ||||||||
| 2,365,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 1,606,312 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Technology – continued | ||||||||||
| $ | 160,000 | Dun & Bradstreet Corp. (The), 5.000%, 12/15/2029, 144A | $ | 136,922 | ||||||
| 540,000 | Elastic NV, 4.125%, 7/15/2029, 144A | 436,158 | ||||||||
| 850,000 | Endurance International Group Holdings, Inc., 6.000%, 2/15/2029, 144A | 553,248 | ||||||||
| 140,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 120,255 | ||||||||
| 475,000 | Gen Digital, Inc., 6.750%, 9/30/2027, 144A | 465,500 | ||||||||
| 530,000 | Global Payments, Inc., 4.950%, 8/15/2027 | 514,101 | ||||||||
| 250,000 | GoTo Group, Inc., 5.500%, 9/01/2027, 144A | 134,455 | ||||||||
| 250,000 | Iron Mountain, Inc., 4.500%, 2/15/2031, 144A | 205,485 | ||||||||
| 740,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | 645,428 | ||||||||
| 730,000 | Micron Technology, Inc., 6.750%, 11/01/2029 | 741,517 | ||||||||
| 230,000 | NCR Corp., 5.000%, 10/01/2028, 144A | 196,083 | ||||||||
| 330,000 | NCR Corp., 5.125%, 4/15/2029, 144A | 275,987 | ||||||||
| 25,000 | NCR Corp., 5.250%, 10/01/2030, 144A | 20,625 | ||||||||
| 195,000 | NCR Corp., 5.750%, 9/01/2027, 144A | 186,600 | ||||||||
| 365,000 | Neptune Bidco U.S., Inc., 9.290%, 4/15/2029, 144A | 344,013 | ||||||||
| 755,000 | Open Text Corp., 3.875%, 12/01/2029, 144A | 607,162 | ||||||||
| 465,000 | Open Text Corp., 6.900%, 12/01/2027, 144A | 465,000 | ||||||||
| 130,000 | Presidio Holdings, Inc., 4.875%, 2/01/2027, 144A | 118,551 | ||||||||
| 130,000 | Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A | 120,520 | ||||||||
| 135,000 | Sabre GLBL, Inc., 11.250%, 12/15/2027, 144A | 139,013 | ||||||||
| 100,000 | Seagate HDD Cayman, 4.875%, 6/01/2027 | 93,221 | ||||||||
| 145,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A | 119,283 | ||||||||
| 80,000 | Sensata Technologies, Inc., 4.375%, 2/15/2030, 144A | 69,640 | ||||||||
| 170,000 | SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A | 159,187 | ||||||||
| 100,000 | Western Digital Corp., 3.100%, 2/01/2032 | 71,877 | ||||||||
| 130,000 | Western Digital Corp., 4.750%, 2/15/2026 | 122,424 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Non-Convertible Bonds – continued | ||||||||||
| Technology – continued | ||||||||||
| $ | 222,000 | Ziff Davis, Inc., 4.625%, 10/15/2030, 144A | $ | 187,852 | ||||||
|
| |||||||||
| 10,230,461 | ||||||||||
|
| |||||||||
| Treasuries – 2.7% | ||||||||||
| 2,840,000 | U.S. Treasury Note, 0.125%, 2/28/2023 | 2,821,055 | ||||||||
| 2,225,000 | U.S. Treasury Note, 0.125%, 3/31/2023 | 2,202,213 | ||||||||
|
| |||||||||
| 5,023,268 | ||||||||||
|
| |||||||||
| Wireless – 2.7% | ||||||||||
| 1,285,000 | Altice France S.A., 5.125%, 1/15/2029, 144A | 966,206 | ||||||||
| 610,000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A | 561,200 | ||||||||
| 315,000 | IHS Holding Ltd., 5.625%, 11/29/2026, 144A | 260,032 | ||||||||
| 300,000 | IHS Holding Ltd., 6.250%, 11/29/2028, 144A | 241,968 | ||||||||
| 225,000 | IHS Netherlands Holdco BV, 8.000%, 9/18/2027 | 197,833 | ||||||||
| 479,000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A | 454,274 | ||||||||
| 445,000 | SBA Communications Corp., 3.875%, 2/15/2027 | 402,064 | ||||||||
| 2,515,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 2,064,916 | ||||||||
|
| |||||||||
| 5,148,493 | ||||||||||
|
| |||||||||
| Wirelines – 1.4% | ||||||||||
| 220,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 191,930 | ||||||||
| 690,000 | Frontier Communications Holdings LLC, 5.875%, 10/15/2027, 144A | 640,713 | ||||||||
| 225,000 | Frontier Communications Holdings LLC, 8.750%, 5/15/2030, 144A | 228,769 | ||||||||
| 455,000 | Iliad Holding SASU, 6.500%, 10/15/2026, 144A | 421,991 | ||||||||
| 450,000 | Level 3 Financing, Inc., 3.625%, 1/15/2029, 144A | 329,508 | ||||||||
| 155,000 | Level 3 Financing, Inc., 4.250%, 7/01/2028, 144A | 122,094 | ||||||||
| 100,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 | 75,570 | ||||||||
| 265,000 | Telecom Italia Capital S.A., 7.200%, 7/18/2036 | 215,154 | ||||||||
| 475,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028, 144A | 380,000 | ||||||||
|
| |||||||||
| 2,605,729 | ||||||||||
|
| |||||||||
Total Non-Convertible Bonds (Identified Cost $194,862,690) | 164,315,400 | |||||||||
|
| |||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Convertible Bonds – 5.0% | ||||||||||
| Airlines – 0.6% | ||||||||||
| $ | 865,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | $ | 1,038,865 | ||||||
|
| |||||||||
| Cable Satellite – 1.5% | ||||||||||
| 240,000 | DISH Network Corp., Zero Coupon, 0.000%-9.514%, 12/15/2025(i) | 153,626 | ||||||||
| 4,345,000 | DISH Network Corp., 3.375%, 8/15/2026 | 2,722,143 | ||||||||
|
| |||||||||
| 2,875,769 | ||||||||||
|
| |||||||||
| Consumer Cyclical Services – 0.3% | ||||||||||
| 660,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(i) | 557,429 | ||||||||
| 55,000 | Zillow Group, Inc., 1.375%, 9/01/2026 | 55,413 | ||||||||
|
| |||||||||
| 612,842 | ||||||||||
|
| |||||||||
| Consumer Products – 0.0% | ||||||||||
| 50,000 | Beauty Health Co. (The), 1.250%, 10/01/2026, 144A | 37,800 | ||||||||
|
| |||||||||
| Gaming – 0.1% | ||||||||||
| 115,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | 169,510 | ||||||||
|
| |||||||||
| Healthcare – 0.8% | ||||||||||
| 225,000 | Lantheus Holdings, Inc., 2.625%, 12/15/2027, 144A | 226,553 | ||||||||
| 1,655,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 1,271,362 | ||||||||
|
| |||||||||
| 1,497,915 | ||||||||||
|
| |||||||||
| Leisure – 0.2% | ||||||||||
| 570,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 390,416 | ||||||||
|
| |||||||||
| Media Entertainment – 0.1% | ||||||||||
| 315,000 | Bilibili, Inc., 0.500%, 12/01/2026 | 231,525 | ||||||||
|
| |||||||||
| Pharmaceuticals – 1.2% | ||||||||||
| 335,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 355,535 | ||||||||
| 1,330,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 1,429,166 | ||||||||
| 495,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 433,313 | ||||||||
|
| |||||||||
| 2,218,014 | ||||||||||
|
| |||||||||
| Technology – 0.2% | ||||||||||
| 235,000 | RingCentral, Inc., Zero Coupon, 7.146%-8.016%, 3/15/2026(i) | 184,475 | ||||||||
Principal Amount | Description | Value (†) | ||||||||
Bonds and Notes – continued | ||||||||||
Convertible Bonds – continued | ||||||||||
| Technology – continued | ||||||||||
| $ | 195,000 | Unity Software, Inc., Zero Coupon, 7.449%-7.662%, 11/15/2026(i) | $ | 145,957 | ||||||
| 65,000 | Wolfspeed, Inc., 0.250%, 2/15/2028, 144A | 56,193 | ||||||||
| 85,000 | Wolfspeed, Inc., 1.875%, 12/01/2029, 144A | 76,543 | ||||||||
|
| |||||||||
| 463,168 | ||||||||||
|
| |||||||||
Total Convertible Bonds (Identified Cost $12,435,491) | 9,535,824 | |||||||||
|
| |||||||||
Total Bonds and Notes (Identified Cost $207,298,181) | 173,851,224 | |||||||||
|
| |||||||||
Collateralized Loan Obligations – 1.5% | ||||||||||
| 670,000 | AIG CLO LLC, Series 2021-2A, Class E, 3-month LIBOR + 6.500%, 10.743%, 7/20/2034, 144A(a) | 599,541 | ||||||||
| 250,000 | Battalion CLO XVI Ltd., Series 2019-16A, Class ER, 3-month LIBOR + 6.600%, 10.843%, 12/19/2032, 144A(a) | 216,512 | ||||||||
| 665,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 10.493%, 7/02/2035, 144A(a) | 601,756 | ||||||||
| 530,000 | Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 10.129%, 10/15/2034, 144A(a) | 477,280 | ||||||||
| 340,000 | Palmer Square CLO Ltd., Series 2021-3A, Class E, 3-month LIBOR + 6.150%, 10.229%, 1/15/2035, 144A(a) | 306,167 | ||||||||
| 275,000 | PPM CLO Ltd., Series 2021-5A, Class E, 3-month LIBOR + 6.500%, 10.694%, 10/18/2034, 144A(a) | 230,330 | ||||||||
| 320,000 | Whetstone Park CLO Ltd., Series 2021-1A, Class E, 3-month LIBOR + 6.150%, 10.393%, 1/20/2035, 144A(a) | 273,738 | ||||||||
|
| |||||||||
Total Collateralized Loan Obligations (Identified Cost $3,050,000) | 2,705,324 | |||||||||
|
| |||||||||
Shares | ||||||||||
Preferred Stocks – 0.7% | ||||||||||
Convertible Preferred Stocks – 0.7% | ||||||||||
| Technology – 0.2% | ||||||||||
| 11,038 | Clarivate PLC, Series A, 5.250% | 418,119 | ||||||||
|
| |||||||||
| Wireless – 0.5% | ||||||||||
| 778 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A | 890,048 | ||||||||
|
| |||||||||
Total Convertible Preferred Stocks (Identified Cost $1,713,063) | 1,308,167 | |||||||||
|
| |||||||||
Total Preferred Stocks (Identified Cost $1,713,063) | 1,308,167 | |||||||||
|
| |||||||||
Common Stocks – 0.2% | ||||||||||
| Energy Equipment & Services – 0.0% | ||||||||||
| 11,343 | McDermott International Ltd.(j) | 3,630 | ||||||||
|
| |||||||||
Shares | Description | Value (†) | ||||||||
Common Stocks – continued | ||||||||||
| Media – 0.2% | ||||||||||
| 68,328 | Altice USA, Inc., Class A(j) | $ | 314,309 | |||||||
|
| |||||||||
| Oil, Gas & Consumable Fuels – 0.0% | ||||||||||
| 2,801 | Battalion Oil Corp.(j) | 27,197 | ||||||||
|
| |||||||||
| Professional Services – 0.0% | ||||||||||
| 265 | Clarivate PLC(j) | 2,210 | ||||||||
|
| |||||||||
| Wireless Telecommunication Services – 0.0% | ||||||||||
| 485 | T-Mobile US, Inc.(j) | 67,900 | ||||||||
|
| |||||||||
Total Common Stocks (Identified Cost $1,640,699) | 415,246 | |||||||||
|
| |||||||||
Warrants – 0.0% | ||||||||||
| 35 | Guaranteed Rate, Inc., Expiration on 12/31/2060(h)(j) | — | ||||||||
| 22,710 | McDermott International Ltd., Tranche A, Expiration on 5/1/2024(h)(j) | 81 | ||||||||
| 25,233 | McDermott International Ltd., Tranche B, Expiration on 5/1/2024(h)(j) | 25 | ||||||||
|
| |||||||||
Total Warrants (Identified Cost $35,226) | 106 | |||||||||
|
| |||||||||
Principal Amount | ||||||||||
Short-Term Investments – 6.1% | ||||||||||
| $ | 7,651,311 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2022 at 1.800% to be repurchased at $7,652,841 on 1/03/2023 collateralized by $8,920,100 U.S. Treasury Note, 1.250% due 3/31/2028 valued at $7,804,392 including accrued interest(k) | 7,651,311 | |||||||
| 3,935,000 | U.S. Treasury Bills, 4.307%, 3/30/2023(l) | 3,894,690 | ||||||||
|
| |||||||||
Total Short-Term Investments (Identified Cost $11,545,824) | 11,546,001 | |||||||||
|
| |||||||||
Total Investments – 100.4% (Identified Cost $225,282,993) | 189,826,068 | |||||||||
| Other assets less liabilities – (0.4)% | (670,414 | ) | ||||||||
|
| |||||||||
| Net Assets – 100.0% | $ | 189,155,654 | ||||||||
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| (†) | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Fund’s Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight. |
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Shares of open-end investment companies are valued at net asset value per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and collateralized loan obligations where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Centrally cleared swap agreements are fair valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers.
The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s net asset value (“NAV”) is calculated. Fair valuation by the Fund’s valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
| (a) | Variable rate security. Rate as of December 31, 2022 is disclosed. |
| (b) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of December 31, 2022 is disclosed. |
| (c) | Perpetual bond with no specified maturity date. |
| (d) | Payment-in-kind security for which the issuer, at each interest payment date, makes interest payments in additional principal. |
| (e) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were made during the period. |
| (f) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
| (g) | Securities subject to restriction on resale. At December 31, 2022, the restricted securities held by the Fund are as follows: |
| Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||||
CFLD Cayman Investment Ltd. | 10/04/2021 | $ | 152,000 | $ | 45,456 | Less than 0.1 | % | |||||||||
CFLD Cayman Investment Ltd. | 3/11/2020 | 64,000 | 22,928 | Less than 0.1 | % | |||||||||||
CFLD Cayman Investment Ltd. | 10/06/2021 | 86,100 | 24,374 | Less than 0.1 | % | |||||||||||
| (h) | Level 3 security. Value has been determined using significant unobservable inputs. |
| (i) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields. |
| (j) | Non-income producing security. |
| (k) | 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 December 31, 2022, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
| (l) | 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 December 31, 2022, the value of Rule 144A holdings amounted to $117,125,617 or 61.9% of net assets. |
| ABS | Asset-Backed Securities |
| GMTN | Global Medium Term Note |
| LIBOR | London Interbank Offered Rate |
| PIK | Payment-in-Kind |
| REITs | Real Estate Investment Trusts |
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 Fund’s pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2022, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
Home Construction | $ | — | $ | 198,817 | $ | — | $ | 198,817 | ||||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 4,366,973 | 119,327 | 4,486,300 | ||||||||||||
All Other Non-Convertible Bonds* | — | 159,630,283 | — | 159,630,283 | ||||||||||||
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Total Non-Convertible Bonds | — | 164,196,073 | 119,327 | 164,315,400 | ||||||||||||
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Convertible Bonds* | — | 9,535,824 | — | 9,535,824 | ||||||||||||
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Total Bonds and Notes | — | 173,731,897 | 119,327 | 173,851,224 | ||||||||||||
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Collateralized Loan Obligations | — | 2,705,324 | — | 2,705,324 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Technology | 418,119 | — | — | 418,119 | ||||||||||||
Wireless | — | 890,048 | — | 890,048 | ||||||||||||
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Total Preferred Stocks | 418,119 | 890,048 | — | 1,308,167 | ||||||||||||
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Common Stocks* | 415,246 | — | — | 415,246 | ||||||||||||
Warrants | — | — | 106 | 106 | ||||||||||||
Short-Term Investments | — | 11,546,001 | — | 11,546,001 | ||||||||||||
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Total | 833,365 | 188,873,270 | 119,433 | 189,826,068 | ||||||||||||
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| * | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
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, 2022 and/or December 31, 2022:
Asset Valuation Inputs
Investments in | Balance as of September 30, 2022 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of December 31, 2022 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2022 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
Home Construction | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | 129,288 | — | — | (9,961 | ) | — | — | — | — | 119,327 | (9,961 | ) | ||||||||||||||||||||||||||||
Warrants | 107 | — | — | (1 | ) | — | — | — | — | 106 | (1 | ) | ||||||||||||||||||||||||||||
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Total | $ | 129,395 | $ | — | $ | — | $ | (9,962 | ) | $ | — | $ | — | $ | — | $ | — | $ | 119,433 | $ | (9,962 | ) | ||||||||||||||||||
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Industry Summary at December 31, 2022 (Unaudited)
Cable Satellite | 9.6 | % | ||
Independent Energy | 6.9 | |||
Technology | 5.8 | |||
Pharmaceuticals | 4.8 | |||
Midstream | 4.7 | |||
Finance Companies | 3.9 | |||
Gaming | 3.8 | |||
Leisure | 3.5 | |||
Metals & Mining | 3.3 | |||
Consumer Cyclical Services | 3.3 | |||
Wireless | 3.2 | |||
Healthcare | 2.9 | |||
Banking | 2.8 | |||
Automotive | 2.7 | |||
Treasuries | 2.7 | |||
Building Materials | 2.6 | |||
Non-Agency Commercial Mortgage-Backed Securities | 2.4 | |||
Media Entertainment | 2.2 | |||
Other Investments, less than 2% each | 21.7 | |||
Short-Term Investments | 6.1 | |||
Collateralized Loan Obligations | 1.5 | |||
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Total Investments | 100.4 | |||
Other assets less liabilities | (0.4 | ) | ||
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Net Assets | 100.0 | % | ||
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