PORTFOLIO OF INVESTMENTS – as of March 31, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – 85.7% of Net Assets | ||||||||
Non-Convertible Bonds – 84.1% | ||||||||
ABS Car Loan – 7.3% |
| |||||||
$ | 100,000 | American Credit Acceptance Receivables Trust, Series 2020-3, Class D, 2.400%, 6/15/2026, 144A | $ | 97,608 | ||||
100,000 | American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028, 144A | 93,017 | ||||||
60,000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029, 144A | 62,100 | ||||||
230,000 | AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024 | 229,185 | ||||||
235,000 | AmeriCredit Automobile Receivables Trust, Series 2021-1, Class D, 1.210%, 12/18/2026 | 213,114 | ||||||
100,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A | 97,273 | ||||||
600,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A | 551,211 | ||||||
190,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-4A, Class C, 6.950%, 6/20/2029, 144A(a) | 189,975 | ||||||
100,000 | CarMax Auto Owner Trust, Series 2021-3, Class D, 1.500%, 1/18/2028 | 88,994 | ||||||
100,000 | CarMax Auto Owner Trust, Series 2022-1, Class D, 2.470%, 7/17/2028 | 86,507 | ||||||
31,987 | CPS Auto Receivables Trust, Series 2020-C, Class C, 1.710%, 8/17/2026, 144A | 31,928 | ||||||
370,000 | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C, 2.730%, 11/15/2029, 144A | 357,890 | ||||||
250,000 | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A | 236,405 | ||||||
260,000 | Credit Acceptance Auto Loan Trust, Series 2021-2A, Class C, 1.640%, 6/17/2030, 144A | 241,939 | ||||||
250,000 | Credit Acceptance Auto Loan Trust, Series 2021-3A, Class C, 1.630%, 9/16/2030, 144A | 230,098 | ||||||
340,000 | Drive Auto Receivables Trust, Series 2021-1, Class D, 1.450%, 1/16/2029 | 319,766 | ||||||
690,000 | Drive Auto Receivables Trust, Series 2021-2, Class D, 1.390%, 3/15/2029 | 642,388 | ||||||
115,000 | DT Auto Owner Trust, Series 2021-2A, Class D, 1.500%, 2/16/2027, 144A | 106,920 | ||||||
690,000 | DT Auto Owner Trust, Series 2021-3A, Class D, 1.310%, 5/17/2027, 144A | 624,250 | ||||||
204,648 | Exeter Automobile Receivables Trust, Series 2019-4A, Class D, 2.580%, 9/15/2025, 144A | 200,794 | ||||||
150,000 | Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026 | 141,332 | ||||||
495,000 | Exeter Automobile Receivables Trust, Series 2021-3A, Class D, 1.550%, 6/15/2027 | 455,974 | ||||||
105,000 | Exeter Automobile Receivables Trust, Series 2022-2A, Class D, 4.560%, 7/17/2028 | 100,317 | ||||||
75,000 | Exeter Automobile Receivables Trust, Series 2022-6A, Class C, 6.320%, 5/15/2028 | 76,312 | ||||||
132,616 | First Investors Auto Owner Trust, Series 2019-1A, Class D, 3.550%, 4/15/2025, 144A | 132,438 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Car Loan – continued |
| |||||||
$ 285,000 | First Investors Auto Owner Trust, Series 2021-1A, Class D, 1.620%, 3/15/2027, 144A | $ | 259,424 | |||||
165,000 | Flagship Credit Auto Trust, Series 2021-1, Class D, 1.270%, 3/15/2027, 144A | 150,976 | ||||||
175,000 | Flagship Credit Auto Trust, Series 2021-2, Class D, 1.590%, 6/15/2027, 144A | 155,509 | ||||||
210,000 | Flagship Credit Auto Trust, Series 2021-3, Class D, 1.650%, 9/15/2027, 144A | 186,347 | ||||||
701,282 | Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025 | 682,108 | ||||||
270,000 | Foursight Capital Automobile Receivables Trust, Series 2021-1, Class D, 1.320%, 3/15/2027, 144A | 251,936 | ||||||
170,000 | Foursight Capital Automobile Receivables Trust, Series 2021-2, Class D, 1.920%, 9/15/2027, 144A | 155,734 | ||||||
87,122 | GLS Auto Receivables Issuer Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A | 86,688 | ||||||
81,672 | GM Financial Consumer Automobile Receivables Trust, Series 2020-1, Class A3, 1.840%, 9/16/2024 | 81,344 | ||||||
238,497 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025 | 232,090 | ||||||
682,049 | GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026 | 656,670 | ||||||
548,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026, 144A | 496,958 | ||||||
305,000 | Hertz Vehicle Financing III LLC, Series 2022-3A, Class D, 6.310%, 3/25/2025, 144A | 300,135 | ||||||
250,000 | Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026, 144A | 238,124 | ||||||
1,300,000 | Honda Auto Receivables Owner Trust, Series 2020-1, Class A4, 1.630%, 10/21/2026 | 1,288,996 | ||||||
368,027 | Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025 | 357,984 | ||||||
259,499 | Honda Auto Receivables Owner Trust, Series 2021-2, Class A3, 0.330%, 8/15/2025 | 251,354 | ||||||
73,574 | JPMorgan Chase Bank N.A, Series 2021-1, Class D, 1.174%, 9/25/2028, 144A | 71,182 | ||||||
151,192 | Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025 | 150,386 | ||||||
93,836 | Santander Drive Auto Receivables Trust, Series 2020-1, Class C, 4.110%, 12/15/2025 | 93,366 | ||||||
225,000 | Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026 | 219,779 | ||||||
315,000 | Santander Drive Auto Receivables Trust, Series 2021-1, Class D, 1.130%, 11/16/2026 | 299,598 | ||||||
485,000 | Santander Drive Auto Receivables Trust, Series 2021-3, Class D, 1.330%, 9/15/2027 | 456,270 | ||||||
56,122 | Toyota Auto Receivables Owner Trust, Series 2020-A, Class A3, 1.660%, 5/15/2024 | 55,978 | ||||||
125,000 | Westlake Automobile Receivables Trust, Series 2020-3A, Class D, 1.650%, 2/17/2026, 144A | 118,939 | ||||||
275,000 | Westlake Automobile Receivables Trust, Series 2021-2A, Class D, 1.230%, 12/15/2026, 144A | 255,794 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Car Loan – continued |
| |||||||
$ 952,643 | World Omni Auto Receivables Trust, Series 2021-B, Class A3, 0.420%, 6/15/2026 | $ | 908,321 | |||||
|
| |||||||
14,069,725 | ||||||||
|
| |||||||
ABS Home Equity – 4.9% |
| |||||||
300,000 | BINOM Securitization Trust, Series 2022-RPL1, Class M1, 3.000%, 2/25/2061, 144A(b) | 220,870 | ||||||
314,364 | CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059, 144A(b) | 299,458 | ||||||
561,900 | COLT Mortgage Loan Trust, Series 2021-6, Class A1, 1.907%, 12/25/2066, 144A(b) | 480,441 | ||||||
100,000 | CoreVest American Finance Ltd., Series 2021-1, Class C, 2.800%, 4/15/2053, 144A | 83,210 | ||||||
160,000 | CoreVest American Finance Ltd., Series 2021-2, Class C, 2.478%, 7/15/2054, 144A | 128,064 | ||||||
100,000 | CoreVest American Finance Ltd., Series 2021-3, Class D, 3.469%, 10/15/2054, 144A | 81,265 | ||||||
203,085 | Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060, 144A(b) | 193,639 | ||||||
100,000 | Credit Suisse Mortgage Trust, Series 2021-RPL3, Class M2, 3.750%, 1/25/2060, 144A | 74,488 | ||||||
521,473 | Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(b) | 481,255 | ||||||
235,140 | Federal Home Loan Mortgage Corp., Series 2022-DNA3, Class M1A, 30 day USD SOFR Average + 2.000%, 6.560%, 4/25/2042, 144A(c) | 235,140 | ||||||
260,000 | FirstKey Homes Trust, Series 2021-SFR1, Class E1, 2.389%, 8/17/2038, 144A | 221,162 | ||||||
205,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E1, 2.258%, 9/17/2038, 144A | 175,252 | ||||||
105,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E2, 2.358%, 9/17/2038, 144A | 89,362 | ||||||
360,000 | FirstKey Homes Trust, Series 2022- SFR2, Class D, 4.500%, 7/17/2039, 144A | 331,375 | ||||||
100,000 | FRTKL Group, Inc., Series 2021-SFR1, Class E1, 2.372%, 9/17/2038, 144A | 84,471 | ||||||
100,000 | FRTKL Group, Inc., Series 2021-SFR1, Class E2, 2.522%, 9/17/2038, 144A | 83,944 | ||||||
147,802 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(b) | 138,984 | ||||||
86,806 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A | 68,891 | ||||||
401,823 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A | 350,897 | ||||||
208,173 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A | 181,842 | ||||||
85,376 | Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 6.250%, 11/25/2059, 144A(b) | 85,250 | ||||||
485,000 | Legacy Mortgage Asset Trust, Series 2020-RPL1, Class A2, 3.250%, 9/25/2059, 144A(b) | 421,171 | ||||||
228,185 | Legacy Mortgage Asset Trust, Series 2021-GS2, Class A1, 1.750%, 4/25/2061, 144A(b) | 212,960 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Home Equity – continued |
| |||||||
$ 4,490 | Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 4.287%, 7/25/2035(a)(b) | $ | 3,814 | |||||
144,029 | OBX Trust, Series 2021-NQM3, Class A1, 1.054%, 7/25/2061, 144A(b) | 109,514 | ||||||
235,000 | Progress Residential Trust, Series 2021-SFR2, Class E1, 2.547%, 4/19/2038, 144A | 204,386 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A | 87,033 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A | 87,193 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR4, Class E1, 2.409%, 5/17/2038, 144A | 87,101 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR4, Class E2, 2.559%, 5/17/2038, 144A | 86,839 | ||||||
120,000 | Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038, 144A | 102,315 | ||||||
150,000 | Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038, 144A | 128,826 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A | 87,098 | ||||||
165,000 | Progress Residential Trust, Series 2021-SFR7, Class E1, 2.591%, 8/17/2040, 144A | 137,610 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A | 82,817 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040, 144A | 82,357 | ||||||
329,387 | PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026, 144A(b) | 309,712 | ||||||
123,589 | PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(b) | 116,606 | ||||||
97,530 | PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026, 144A(b) | 92,830 | ||||||
349,475 | PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(b) | 324,636 | ||||||
514,825 | PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027, 144A(b) | 512,495 | ||||||
390,000 | Toorak Mortgage Corp. Ltd., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(b) | 367,374 | ||||||
120,000 | Towd Point Mortgage Trust, Series 2016-3, Class M2, 4.000%, 4/25/2056, 144A(b) | 115,550 | ||||||
249,909 | Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(b) | 232,928 | ||||||
90,282 | VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b) | 86,143 | ||||||
296,199 | VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(b) | 273,355 | ||||||
107,874 | VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(b) | 98,634 | ||||||
270,599 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(b) | 248,680 | ||||||
243,545 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(b) | 227,908 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Home Equity – continued |
| |||||||
$ 166,724 | VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(b) | $ | 156,586 | |||||
335,599 | VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051, 144A(b) | 308,348 | ||||||
|
| |||||||
9,482,079 | ||||||||
|
| |||||||
ABS Other – 2.6% |
| |||||||
100,000 | Affirm Asset Securitization Trust, Series 2021-B, Class C, 1.400%, 8/17/2026, 144A | 92,140 | ||||||
221,853 | Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A | 199,894 | ||||||
100,000 | Aqua Finance Trust, Series 2021-A, Class B, 2.400%, 7/17/2046, 144A | 83,030 | ||||||
430,000 | BHG Securitization Trust, Series 2022-A, Class��B, 2.700%, 2/20/2035, 144A | 384,050 | ||||||
120,593 | Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/2036, 144A | 112,755 | ||||||
350,563 | DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051, 144A | 297,594 | ||||||
155,000 | Dell Equipment Finance Trust, Series 2020-2, Class D, 1.920%, 3/23/2026, 144A | 154,170 | ||||||
87,809 | FREED ABS Trust, Series 2021-2, Class C, 1.940%, 6/19/2028, 144A | 85,986 | ||||||
215,000 | FREED ABS Trust, Series 2021-3FP, Class D, 2.370%, 11/20/2028, 144A | 197,753 | ||||||
148,025 | Hardee’s Funding LLC, Series 2018-1A, Class A2II, 4.959%, 6/20/2048, 144A | 140,519 | ||||||
115,000 | HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A | 110,004 | ||||||
313,315 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046, 144A | 273,644 | ||||||
100,000 | Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031, 144A | 93,424 | ||||||
105,000 | Marlette Funding Trust, Series 2021-3A, Class C, 1.810%, 12/15/2031, 144A | 95,538 | ||||||
79,411 | Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(b) | 68,035 | ||||||
50,612 | MVW LLC, Series 2021-1WA, Class C, 1.940%, 1/22/2041, 144A | 45,578 | ||||||
145,000 | OneMain Financial Issuance Trust, Series 2018-2A, Class B, 3.890%, 3/14/2033, 144A | 139,831 | ||||||
240,000 | OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036, 144A | 189,002 | ||||||
310,000 | OneMain Financial Issuance Trust, Series 2022-S1, Class D, 5.200%, 5/14/2035, 144A | 287,161 | ||||||
100,000 | SCF Equipment Leasing LLC, Series 2022-1A, Class D, 3.790%, 11/20/2031, 144A | 89,745 | ||||||
115,000 | SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032, 144A | 114,859 | ||||||
57,226 | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A | 46,927 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Other – continued |
| |||||||
$ 48,250 | Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C, 3.120%, 5/20/2036, 144A | $ | 45,559 | |||||
32,109 | Sierra Timeshare Receivables Funding LLC, Series 2019-3A, Class C, 3.000%, 8/20/2036, 144A | 30,381 | ||||||
33,615 | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037, 144A | 30,985 | ||||||
485,377 | SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A | 419,998 | ||||||
351,078 | Sunnova Helios X Issuer LLC, Series 2022-C, Class A, 5.300%, 11/22/2049, 144A | 342,284 | ||||||
220,833 | Textainer Marine Containers VII Ltd., Series 2021-1A, Class A, 1.680%, 2/20/2046, 144A | 188,926 | ||||||
355,600 | Textainer Marine Containers VII Ltd., Series 2021-2A, Class A, 2.230%, 4/20/2046, 144A | 307,946 | ||||||
241,063 | TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A | 203,202 | ||||||
155,311 | WAVE Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A | 123,296 | ||||||
|
| |||||||
4,994,216 | ||||||||
|
| |||||||
ABS Student Loan – 0.8% |
| |||||||
92,393 | College Ave Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051, 144A | 82,280 | ||||||
88,092 | Commonbond Student Loan Trust, Series 2019-AGS, Class B, 3.040%, 1/25/2047, 144A | 74,528 | ||||||
34,968 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A | 32,082 | ||||||
182,209 | Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069, 144A | 159,315 | ||||||
135,000 | Navient Private Education Refi Loan Trust, Series 2021-A, Class B, 2.240%, 5/15/2069, 144A | 97,857 | ||||||
100,000 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069, 144A | 65,404 | ||||||
195,000 | Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070, 144A | 128,009 | ||||||
121,796 | SMB Private Education Loan Trust, Series 2018-C, Class A2A, 3.630%, 11/15/2035, 144A | 116,581 | ||||||
430,729 | SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037, 144A | 397,759 | ||||||
155,290 | SMB Private Education Loan Trust, Series 2021-A, Class A2A2, 1 mo. USD LIBOR + 0.730%, 5.414%, 1/15/2053, 144A(c) | 149,526 | ||||||
210,000 | SMB Private Education Loan Trust, Series 2021-B, Class B, 2.650%, 7/17/2051, 144A | 170,669 | ||||||
100,000 | SoFi Professional Loan Program LLC, Series 2017-A, Class C, 4.430%, 3/26/2040, 144A(b) |
| 93,024 |
| ||||
|
| |||||||
1,567,034 | ||||||||
|
| |||||||
ABS Whole Business – 1.2% |
| |||||||
355,000 | Applebee’s Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053, 144A(a) | 359,146 | ||||||
237,500 | DB Master Finance LLC, Series 2017-1A, Class A2II, 4.030%, 11/20/2047, 144A | 221,159 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Whole Business – continued |
| |||||||
$ 57,900 | DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A | $ | 54,613 | |||||
161,818 | Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A | 153,416 | ||||||
97,000 | Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A | 86,293 | ||||||
599,325 | Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 4/25/2051, 144A | 512,631 | ||||||
98,250 | Hardee’s Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051, 144A | 79,314 | ||||||
191,000 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A | 185,027 | ||||||
454,250 | Taco Bell Funding LLC, Series 2021-1A, Class A2II, 2.294%, 8/25/2051, 144A | 379,313 | ||||||
260,363 | Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A | 218,397 | ||||||
|
| |||||||
2,249,309 | ||||||||
|
| |||||||
Aerospace & Defense – 1.2% |
| |||||||
600,000 | Boeing Co., 2.196%, 2/04/2026 | 556,703 | ||||||
85,000 | Boeing Co., 3.100%, 5/01/2026 | 80,508 | ||||||
560,000 | Boeing Co., 3.625%, 2/01/2031 | 513,134 | ||||||
115,000 | Boeing Co., 5.150%, 5/01/2030 | 115,719 | ||||||
43,000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 | 41,796 | ||||||
50,000 | Textron, Inc., 2.450%, 3/15/2031 | 42,166 | ||||||
1,125,000 | Textron, Inc., 3.000%, 6/01/2030 | 1,005,031 | ||||||
|
| |||||||
2,355,057 | ||||||||
|
| |||||||
Airlines – 1.3% |
| |||||||
1,115,404 | Air Canada Pass-Through Trust, Series 2020-2A, Class A, 5.250%, 10/01/2030, 144A | 1,088,746 | ||||||
39,066 | American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 36,096 | ||||||
386,750 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A | 385,505 | ||||||
164,465 | U.S. Airways Pass-Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025 | 166,327 | ||||||
380,845 | U.S. Airways Pass-Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026 | 359,791 | ||||||
200,116 | United Airlines Pass-Through Trust, Series 2016-2, Class B, 3.650%, 4/07/2027 | 186,684 | ||||||
384,812 | United Airlines Pass-Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029 | 382,288 | ||||||
|
| |||||||
2,605,437 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Apartment REITs – 0.0% |
| |||||||
$ 85,000 | American Homes 4 Rent LP, 2.375%, 7/15/2031 | $ | 67,738 | |||||
|
| |||||||
Automotive – 0.8% |
| |||||||
50,000 | Aptiv PLC/Aptiv Corp., 3.250%, 3/01/2032 | 43,546 | ||||||
14,000 | General Motors Co., 5.200%, 4/01/2045 | 11,793 | ||||||
45,000 | General Motors Co., 5.600%, 10/15/2032 | 44,059 | ||||||
250,000 | General Motors Co., 6.250%, 10/02/2043 | 240,297 | ||||||
315,000 | General Motors Financial Co., Inc., 1.050%, 3/08/2024 | 301,266 | ||||||
825,000 | General Motors Financial Co., Inc., 6.000%, 1/09/2028 | 844,400 | ||||||
|
| |||||||
1,485,361 | ||||||||
|
| |||||||
Banking – 11.3% |
| |||||||
200,000 | Ally Financial, Inc., 2.200%, 11/02/2028 | 159,258 | ||||||
245,000 | Ally Financial, Inc., 5.750%, 11/20/2025 | 230,370 | ||||||
385,000 | American Express Co., 5.850%, 11/05/2027 | 403,930 | ||||||
45,000 | American Express Co., (fixed rate to 8/03/2032, variable rate thereafter), 4.420%, 8/03/2033 | 43,022 | ||||||
420,000 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.375%, 4/17/2025, 144A | 417,690 | ||||||
370,000 | Bank of America Corp., (fixed rate to 10/24/2030, variable rate thereafter), MTN, 1.922%, 10/24/2031 | 295,106 | ||||||
1,244,000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028 | 1,155,816 | ||||||
335,000 | Bank of America Corp., (fixed rate to 4/29/2030, variable rate thereafter), 2.592%, 4/29/2031 | 283,699 | ||||||
45,000 | Bank of America Corp., (fixed rate to 7/22/2032, variable rate thereafter), 5.015%, 7/22/2033 | 44,502 | ||||||
235,000 | Bank of America Corp., (fixed rate to 7/23/2030, variable rate thereafter), MTN, 1.898%, 7/23/2031 | 188,458 | ||||||
391,000 | Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036 | 296,936 | ||||||
536,000 | Bank of America Corp., Series L, 4.183%, 11/25/2027 | 517,966 | ||||||
950,000 | Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027 | 834,335 | ||||||
555,000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(d) | 379,405 | ||||||
1,245,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 976,524 | ||||||
1,145,000 | BNP Paribas SA, 2.824%, 1/26/2041, 144A | 761,058 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Banking – continued |
| |||||||
$ 415,000 | BNP Paribas SA, (fixed rate to 1/20/2027, variable rate thereafter), 2.591%, 1/20/2028, 144A | $ | 372,605 | |||||
1,040,000 | BNP Paribas SA, (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A | 947,343 | ||||||
1,060,000 | Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter), 4.412%, 3/31/2031 | 1,006,651 | ||||||
80,000 | Citigroup, Inc., (fixed rate to 6/03/2030, variable rate thereafter), 2.572%, 6/03/2031 | 67,497 | ||||||
640,000 | Credit Agricole SA, 2.811%, 1/11/2041, 144A | 427,165 | ||||||
250,000 | Credit Agricole SA, (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033 | 226,205 | ||||||
250,000 | Credit Suisse Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A | 296,225 | ||||||
250,000 | Credit Suisse Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A | 222,551 | ||||||
405,000 | Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A | 391,390 | ||||||
395,000 | Credit Suisse Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A | 392,468 | ||||||
500,000 | Credit Suisse Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A | 514,940 | ||||||
265,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 191,730 | ||||||
400,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 298,316 | ||||||
50,000 | Goldman Sachs Group, Inc., (fixed rate to 2/24/2032, variable rate thereafter), 3.102%, 2/24/2033 | 42,938 | ||||||
2,125,000 | Goldman Sachs Group, Inc., (fixed rate to 8/23/2027, variable rate thereafter), 4.482%, 8/23/2028 | 2,078,360 | ||||||
470,000 | HSBC Holdings PLC, (fixed rate to 3/09/2028, variable rate thereafter), 6.161%, 3/09/2029 | 483,207 | ||||||
220,000 | JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030 | 192,053 | ||||||
740,000 | JPMorgan Chase & Co., (fixed rate to 11/19/2030, variable rate thereafter), 1.764%, 11/19/2031 | 587,309 | ||||||
45,000 | JPMorgan Chase & Co., (fixed rate to 7/25/2032, variable rate thereafter), 4.912%, 7/25/2033 | 44,727 | ||||||
177,000 | Morgan Stanley, 3.950%, 4/23/2027 | 171,118 | ||||||
45,000 | Morgan Stanley, (fixed rate to 1/19/2033, variable rate thereafter), 5.948%, 1/19/2038 | 44,749 | ||||||
40,000 | Morgan Stanley, (fixed rate to 10/18/2032, variable rate thereafter), 6.342%, 10/18/2033 | 43,688 | ||||||
1,205,000 | Morgan Stanley, (fixed rate to 2/13/2031, variable rate thereafter), MTN, 1.794%, 2/13/2032 | 945,997 | ||||||
533,000 | Morgan Stanley, GMTN, 4.350%, 9/08/2026 | 519,172 | ||||||
867,000 | Morgan Stanley, MTN, 6.250%, 8/09/2026 | 897,943 | ||||||
655,000 | NatWest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter), 1.642%, 6/14/2027 | 577,504 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Banking – continued |
| |||||||
$ 200,000 | NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028 | $ | 198,168 | |||||
1,685,000 | Societe Generale SA, (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A | 1,319,526 | ||||||
470,000 | Sumitomo Mitsui Financial Group, Inc., 5.464%, 1/13/2026 | 474,519 | ||||||
255,000 | Synchrony Bank, 5.400%, 8/22/2025 | 239,106 | ||||||
330,000 | Synchrony Bank, 5.625%, 8/23/2027 | 303,263 | ||||||
540,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | 444,833 | ||||||
|
| |||||||
21,951,341 | ||||||||
|
| |||||||
Brokerage – 0.4% |
| |||||||
733,000 | Jefferies Financial Group, Inc., 6.250%, 1/15/2036 | 754,142 | ||||||
|
| |||||||
Building Materials – 1.2% |
| |||||||
1,045,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 870,604 | ||||||
310,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(d) | 277,589 | ||||||
211,000 | Masco Corp., 6.500%, 8/15/2032 | 224,089 | ||||||
104,000 | Masco Corp., 7.750%, 8/01/2029 | 116,400 | ||||||
778,000 | Owens Corning, 7.000%, 12/01/2036 | 866,009 | ||||||
|
| |||||||
2,354,691 | ||||||||
|
| |||||||
Cable Satellite – 2.1% |
| |||||||
325,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 247,630 | ||||||
1,285,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 1,034,378 | ||||||
890,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.700%, 4/01/2051 | 569,580 | ||||||
30,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.850%, 4/01/2061 | 18,705 | ||||||
1,580,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 | 1,001,139 | ||||||
220,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 195,231 | ||||||
165,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.125%, 7/01/2049 | 130,608 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Cable Satellite – continued |
| |||||||
$ 200,000 | CSC Holdings LLC, 4.125%, 12/01/2030, 144A | $ | 143,638 | |||||
800,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 394,480 | ||||||
125,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 66,563 | ||||||
170,000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A | 135,642 | ||||||
145,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 125,286 | ||||||
|
| |||||||
4,062,880 | ||||||||
|
| |||||||
Chemicals – 0.5% |
| |||||||
200,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A | 169,858 | ||||||
400,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A | 300,394 | ||||||
80,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 80,881 | ||||||
60,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 | 60,821 | ||||||
525,000 | Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A | 412,986 | ||||||
|
| |||||||
1,024,940 | ||||||||
|
| |||||||
Collateralized Mortgage Obligations – 0.1% |
| |||||||
131,185 | Federal Home Loan Mortgage Corp., Series 2912, Class EH, 5.500%, 1/15/2035 | 135,445 | ||||||
|
| |||||||
Construction Machinery – 0.6% |
| |||||||
200,000 | Ashtead Capital, Inc., 5.500%, 8/11/2032, 144A | 196,472 | ||||||
970,000 | Caterpillar Financial Services Corp., MTN, 0.450%, 5/17/2024 | 925,849 | ||||||
|
| |||||||
1,122,321 | ||||||||
|
| |||||||
Consumer Cyclical Services – 1.0% |
| |||||||
330,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 275,366 | ||||||
1,230,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 1,065,916 | ||||||
210,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 191,363 | ||||||
375,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 386,666 | ||||||
|
| |||||||
1,919,311 | ||||||||
|
| |||||||
Consumer Products – 0.1% |
| |||||||
300,000 | Natura Cosmeticos SA, 4.125%, 5/03/2028, 144A | 244,268 | ||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Electric – 0.4% |
| |||||||
$ 95,000 | Edison International, 4.950%, 4/15/2025 | $ | 94,272 | |||||
140,000 | Pacific Gas & Electric Co., 3.250%, 6/01/2031 | 118,610 | ||||||
200,000 | Pacific Gas & Electric Co., 4.300%, 3/15/2045 | 150,461 | ||||||
45,000 | Pacific Gas & Electric Co., 4.550%, 7/01/2030 | 42,169 | ||||||
100,000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 | 98,948 | ||||||
195,000 | Southern California Edison Co., 5.300%, 3/01/2028 | 199,892 | ||||||
|
| |||||||
704,352 | ||||||||
|
| |||||||
Finance Companies – 3.7% |
| |||||||
465,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 405,955 | ||||||
400,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 331,371 | ||||||
225,000 | Air Lease Corp., 3.125%, 12/01/2030 | 190,887 | ||||||
191,000 | Air Lease Corp., 4.625%, 10/01/2028 | 181,232 | ||||||
125,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 | 106,927 | ||||||
395,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 324,813 | ||||||
565,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 430,803 | ||||||
350,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A | 311,242 | ||||||
170,000 | Aviation Capital Group LLC, 6.250%, 4/15/2028, 144A | 170,153 | ||||||
310,000 | Barings BDC, Inc., 3.300%, 11/23/2026 | 274,362 | ||||||
1,110,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027 | 925,928 | ||||||
390,000 | FS KKR Capital Corp., 3.125%, 10/12/2028 | 319,137 | ||||||
155,000 | Oaktree Specialty Lending Corp., 2.700%, 1/15/2027 | 132,441 | ||||||
440,000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 | 356,769 | ||||||
490,000 | Owl Rock Capital Corp., 4.250%, 1/15/2026 | 450,083 | ||||||
110,000 | Owl Rock Technology Finance Corp., 2.500%, 1/15/2027 | 91,188 | ||||||
375,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 335,625 | ||||||
330,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 283,321 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Finance Companies – continued |
| |||||||
$ 995,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | $ | 824,994 | |||||
865,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 686,680 | ||||||
|
| |||||||
7,133,911 | ||||||||
|
| |||||||
Financial Other – 0.2% |
| |||||||
200,000 | CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024(e) | 41,972 | ||||||
200,000 | Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031 | 92,202 | ||||||
200,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(f) | 46,032 | ||||||
200,000 | Shimao Group Holdings Ltd., 4.750%, 7/03/2022(f) | 30,062 | ||||||
200,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(f) | 28,409 | ||||||
200,000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026(f) | 29,210 | ||||||
200,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(f) | 29,404 | ||||||
200,000 | Times China Holdings Ltd., 5.750%, 1/14/2027(f) | 30,102 | ||||||
200,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(f) | 30,044 | ||||||
|
| |||||||
357,437 | ||||||||
|
| |||||||
Food & Beverage – 0.3% |
| |||||||
185,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A | 157,592 | ||||||
225,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A | 185,808 | ||||||
300,000 | Pilgrim’s Pride Corp., 3.500%, 3/01/2032 | 244,140 | ||||||
5,000 | Pilgrim’s Pride Corp., 4.250%, 4/15/2031 | 4,410 | ||||||
|
| |||||||
591,950 | ||||||||
|
| |||||||
Gaming – 0.8% |
| |||||||
425,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A | 330,213 | ||||||
190,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 154,158 | ||||||
45,000 | VICI Properties LP, 5.125%, 5/15/2032 | 42,396 | ||||||
365,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A | 340,551 | ||||||
295,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A | 277,494 | ||||||
265,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A | 256,206 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Gaming – continued |
| |||||||
$ 215,000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A | $ | 213,120 | |||||
|
| |||||||
1,614,138 | ||||||||
|
| |||||||
Government Owned—No Guarantee – 0.9% |
| |||||||
955,000 | Antares Holdings LP, 3.750%, 7/15/2027, 144A | 807,443 | ||||||
780,000 | Pertamina Persero PT, 6.450%, 5/30/2044, 144A | 797,473 | ||||||
200,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030 | 75,452 | ||||||
|
| |||||||
1,680,368 | ||||||||
|
| |||||||
Health Insurance – 0.5% |
| |||||||
20,000 | Centene Corp., 2.450%, 7/15/2028 | 17,400 | ||||||
865,000 | Centene Corp., 2.500%, 3/01/2031 | 700,477 | ||||||
155,000 | Centene Corp., 2.625%, 8/01/2031 | 125,598 | ||||||
110,000 | Centene Corp., 3.000%, 10/15/2030 | 92,629 | ||||||
45,000 | Elevance Health, Inc., 4.100%, 5/15/2032 | 43,011 | ||||||
|
| |||||||
979,115 | ||||||||
|
| |||||||
Healthcare – 0.9% |
| |||||||
200,000 | Alcon Finance Corp., 5.375%, 12/06/2032, 144A | 205,908 | ||||||
10,000 | Cigna Group, 7.875%, 5/15/2027 | 11,198 | ||||||
55,000 | CVS Health Corp., 1.750%, 8/21/2030 | 44,712 | ||||||
55,000 | HCA, Inc., 2.375%, 7/15/2031 | 44,384 | ||||||
195,000 | HCA, Inc., 3.500%, 9/01/2030 | 173,684 | ||||||
1,192,000 | HCA, Inc., 4.500%, 2/15/2027 | 1,163,921 | ||||||
|
| |||||||
1,643,807 | ||||||||
|
| |||||||
Home Construction – 0.9% |
| |||||||
195,000 | MDC Holdings, Inc., 3.966%, 8/06/2061 | 117,057 | ||||||
510,000 | MDC Holdings, Inc., 6.000%, 1/15/2043 | 442,855 | ||||||
260,000 | Meritage Homes Corp., 3.875%, 4/15/2029, 144A | 230,872 | ||||||
981,000 | PulteGroup, Inc., 6.000%, 2/15/2035 | 992,577 | ||||||
|
| |||||||
1,783,361 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Hybrid ARMs – 0.0% |
| |||||||
$ 6,838 | Federal National Mortgage Association, 1 yr. USD LIBOR + 1.810%, 4.041%, 9/01/2036(c) | $ | 6,967 | |||||
1,651 | Federal National Mortgage Association, 6 mo. USD LIBOR + 1.460%, 5.737%, 2/01/2037(c) | 1,670 | ||||||
|
| |||||||
8,637 | ||||||||
|
| |||||||
Independent Energy – 3.2% |
| |||||||
1,160,000 | Aker BP ASA, 3.750%, 1/15/2030, 144A | 1,046,543 | ||||||
850,000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A | 660,021 | ||||||
13,000 | Continental Resources, Inc., 4.500%, 4/15/2023 | 12,984 | ||||||
1,015,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 975,398 | ||||||
190,000 | Diamondback Energy, Inc., 3.125%, 3/24/2031 | 164,757 | ||||||
40,000 | Diamondback Energy, Inc., 6.250%, 3/15/2033 | 42,271 | ||||||
280,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 249,900 | ||||||
370,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | 323,287 | ||||||
100,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 92,495 | ||||||
385,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 333,723 | ||||||
430,000 | EQT Corp., 3.900%, 10/01/2027 | 404,166 | ||||||
165,000 | EQT Corp., 5.000%, 1/15/2029 | 156,449 | ||||||
125,000 | EQT Corp., 5.678%, 10/01/2025 | 124,625 | ||||||
85,000 | EQT Corp., 5.700%, 4/01/2028 | 84,908 | ||||||
95,000 | EQT Corp., 6.125%, 2/01/2025 | 95,565 | ||||||
100,000 | EQT Corp., 7.000%, 2/01/2030 | 104,668 | ||||||
45,000 | Hess Corp., 4.300%, 4/01/2027 | 43,926 | ||||||
40,000 | Marathon Oil Corp., 6.800%, 3/15/2032 | 42,153 | ||||||
440,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 444,820 | ||||||
40,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 43,092 | ||||||
65,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 57,394 | ||||||
220,000 | Var Energi ASA, 7.500%, 1/15/2028, 144A | 227,764 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Independent Energy – continued |
| |||||||
$ 385,000 | Var Energi ASA, 8.000%, 11/15/2032, 144A | $ | 409,752 | |||||
|
| |||||||
6,140,661 | ||||||||
|
| |||||||
Leisure – 0.2% |
| |||||||
80,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 68,086 | ||||||
250,000 | NCL Corp. Ltd., 5.875%, 2/15/2027, 144A | 233,108 | ||||||
110,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 97,117 | ||||||
|
| |||||||
398,311 | ||||||||
|
| |||||||
Life Insurance – 2.7% |
| |||||||
490,000 | Athene Global Funding, 1.608%, 6/29/2026, 144A | 423,189 | ||||||
975,000 | Athene Global Funding, 1.716%, 1/07/2025, 144A | 906,099 | ||||||
159,000 | Brighthouse Financial, Inc., 4.700%, 6/22/2047 | 116,153 | ||||||
1,488,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A | 1,988,385 | ||||||
1,560,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A | 1,737,107 | ||||||
|
| |||||||
5,170,933 | ||||||||
|
| |||||||
Lodging – 0.2% |
| |||||||
165,000 | Marriott International, Inc., Series HH, 2.850%, 4/15/2031 | 140,548 | ||||||
40,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 34,050 | ||||||
190,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 164,767 | ||||||
65,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 55,627 | ||||||
10,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 9,920 | ||||||
10,000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 10,039 | ||||||
|
| |||||||
414,951 | ||||||||
|
| |||||||
Media Entertainment – 1.8% |
| |||||||
55,000 | Electronic Arts, Inc., 1.850%, 2/15/2031 | 45,367 | ||||||
55,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 43,450 | ||||||
25,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 20,438 | ||||||
110,000 | Netflix, Inc., 4.875%, 4/15/2028 | 109,450 | ||||||
935,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 930,835 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Media Entertainment – continued |
| |||||||
$ 60,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | $ | 60,956 | |||||
425,000 | Netflix, Inc., 5.875%, 11/15/2028 | 446,611 | ||||||
645,000 | Netflix, Inc., 6.375%, 5/15/2029 | 690,602 | ||||||
415,000 | Warnermedia Holdings, Inc., 3.755%, 3/15/2027, 144A | 390,963 | ||||||
155,000 | Warnermedia Holdings, Inc., 4.054%, 3/15/2029, 144A | 144,139 | ||||||
480,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032, 144A | 428,294 | ||||||
255,000 | Warnermedia Holdings, Inc., 6.412%, 3/15/2026 | 256,287 | ||||||
|
| |||||||
3,567,392 | ||||||||
|
| |||||||
Metals & Mining – 1.3% |
| |||||||
735,000 | Anglo American Capital PLC, 2.875%, 3/17/2031, 144A | 615,178 | ||||||
40,000 | ArcelorMittal SA, 6.800%, 11/29/2032 | 41,959 | ||||||
200,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 192,806 | ||||||
1,300,000 | Glencore Funding LLC, 2.500%, 9/01/2030, 144A | 1,088,815 | ||||||
645,000 | Glencore Funding LLC, 2.850%, 4/27/2031, 144A | 542,257 | ||||||
50,000 | Steel Dynamics, Inc., 3.250%, 1/15/2031 | 44,508 | ||||||
85,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 70,346 | ||||||
|
| |||||||
2,595,869 | ||||||||
|
| |||||||
Midstream – 1.6% |
| |||||||
75,000 | Cheniere Energy Partners LP, 4.500%, 10/01/2029 | 69,676 | ||||||
240,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 202,375 | ||||||
50,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 49,219 | ||||||
125,000 | DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A | 129,643 | ||||||
625,000 | Enbridge, Inc., 5.700%, 3/08/2033 | 650,090 | ||||||
588,000 | Energy Transfer LP, 5.000%, 5/15/2044 | 505,163 | ||||||
370,000 | Energy Transfer LP, 5.750%, 2/15/2033 | 378,947 | ||||||
40,000 | EnLink Midstream LLC, 6.500%, 9/01/2030, 144A | 40,448 | ||||||
40,000 | Enterprise Products Operating LLC, 5.350%, 1/31/2033 | 41,443 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Midstream – continued |
| |||||||
$ 45,000 | MPLX LP, 5.000%, 3/01/2033 | $ | 44,036 | |||||
43,000 | ONEOK Partners LP, 6.200%, 9/15/2043 | 41,994 | ||||||
55,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 49,012 | ||||||
5,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043 | 3,729 | ||||||
25,000 | Targa Resources Corp., 5.200%, 7/01/2027 | 24,791 | ||||||
250,000 | Targa Resources Corp., 6.125%, 3/15/2033 | 258,879 | ||||||
50,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 | 43,725 | ||||||
70,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 65,498 | ||||||
80,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | 78,178 | ||||||
85,000 | Western Midstream Operating LP, 4.300%, 2/01/2030 | 77,375 | ||||||
195,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 165,225 | ||||||
35,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 30,521 | ||||||
25,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 21,529 | ||||||
120,000 | Western Midstream Operating LP, 5.500%, 2/01/2050 | 101,820 | ||||||
40,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | 40,542 | ||||||
45,000 | Williams Cos., Inc., 4.650%, 8/15/2032 | 43,374 | ||||||
|
| |||||||
3,157,232 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 2.1% |
| |||||||
95,000 | BPR Trust, Series 2021-NRD, Class B, 1 mo. USD SOFR + 2.124%, 6.784%, 12/15/2038, 144A(c) | 87,654 | ||||||
105,000 | BPR Trust, Series 2021-NRD, Class C, 1 mo. USD SOFR + 2.424%, 7.084%, 12/15/2038, 144A(c) | 96,452 | ||||||
65,000 | BPR Trust, Series 2021-NRD, Class D, 1 mo. USD SOFR + 3.723%, 8.383%, 12/15/2038, 144A(c) | 59,355 | ||||||
290,000 | BPR Trust, Series 2022-STAR, Class A, 1 mo. USD SOFR + 3.232%, 8.059%, 8/15/2024, 144A(c) | 289,239 | ||||||
111,373 | Commercial Mortgage Pass-Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A | 99,957 | ||||||
100,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A | 86,261 | ||||||
136,667 | Extended Stay America Trust, Series 2021-ESH, Class C, 1 mo. USD LIBOR + 1.700%, 6.385%, 7/15/2038, 144A(c) | 132,354 | ||||||
97,619 | Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD LIBOR + 2.250%, 6.935%, 7/15/2038, 144A(c) | 92,967 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||
$ 115,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(b) | $ | 96,048 | |||||
125,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class B, 3.550%, 3/05/2033, 144A(b) | 108,128 | ||||||
125,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class AS, 4.383%, 1/10/2047 | 120,699 | ||||||
185,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b) | 153,130 | ||||||
105,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class A5, 3.598%, 11/15/2048 | 99,217 | ||||||
420,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 3.784%, 12/15/2047, 144A(b) | 396,799 | ||||||
99,704 | MedTrust, Series 2021-MDLN, Class B, 1 mo. USD LIBOR + 1.450%, 6.135%, 11/15/2038, 144A(c) | 95,315 | ||||||
199,408 | MedTrust, Series 2021-MDLN, Class C, 1 mo. USD LIBOR + 1.800%, 6.485%, 11/15/2038, 144A(c) | 190,136 | ||||||
99,704 | MedTrust, Series 2021-MDLN, Class D, 1 mo. USD LIBOR + 2.000%, 6.685%, 11/15/2038, 144A(c) | 94,882 | ||||||
55,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 4.938%, 10/15/2046(b) | 52,104 | ||||||
495,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class C, 4.093%, 9/15/2049(b) | 418,981 | ||||||
96,982 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A | 77,203 | ||||||
38,238 | UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A | 34,992 | ||||||
110,000 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.364%, 7/15/2046(b) | 82,083 | ||||||
155,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class AS, 4.020%, 8/15/2050 | 148,964 | ||||||
72,926 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.379%, 3/15/2044, 144A(b) | 23,519 | ||||||
145,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.511%, 8/15/2046(b) | 128,355 | ||||||
175,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 139,139 | ||||||
655,000 | WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(b) | 602,817 | ||||||
|
| |||||||
4,006,750 | ||||||||
|
| |||||||
Office REITs – 0.0% |
| |||||||
85,000 | Corporate Office Properties LP, 2.750%, 4/15/2031 | 62,975 | ||||||
|
| |||||||
Paper – 0.5% |
| |||||||
552,000 | Georgia-Pacific LLC, 7.250%, 6/01/2028 | 617,572 | ||||||
137,000 | WestRock MWV LLC, 7.550%, 3/01/2047 | 161,639 | ||||||
104,000 | WestRock MWV LLC, 8.200%, 1/15/2030 | 121,335 | ||||||
|
| |||||||
900,546 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Pharmaceuticals – 1.4% |
| |||||||
$ 40,000 | Amgen, Inc., 5.250%, 3/02/2033 | $ | 41,096 | |||||
1,420,000 | Astrazeneca Finance LLC, 4.875%, 3/03/2028 | 1,460,894 | ||||||
100,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A | 59,000 | ||||||
150,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 136,205 | ||||||
425,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 283,175 | ||||||
240,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 224,023 | ||||||
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 181,142 | ||||||
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 209,250 | ||||||
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 209,940 | ||||||
|
| |||||||
2,804,725 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.2% |
| |||||||
555,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 436,371 | ||||||
|
| |||||||
Restaurants – 0.0% |
| |||||||
50,000 | Starbucks Corp., 3.000%, 2/14/2032 | 44,332 | ||||||
|
| |||||||
Retail REITs – 0.0% |
| |||||||
70,000 | Brixmor Operating Partnership LP, 2.250%, 4/01/2028 | 60,022 | ||||||
|
| |||||||
Retailers – 1.7% |
| |||||||
2,680,000 | Amazon.com, Inc., 0.450%, 5/12/2024 | 2,568,559 | ||||||
50,000 | AutoNation, Inc., 3.850%, 3/01/2032 | 42,581 | ||||||
650,000 | AutoZone, Inc., 4.000%, 4/15/2030 | 617,440 | ||||||
50,000 | Dollar Tree, Inc., 2.650%, 12/01/2031 | 41,889 | ||||||
125,000 | Tapestry, Inc., 3.050%, 3/15/2032 | 101,547 | ||||||
|
| |||||||
3,372,016 | ||||||||
|
| |||||||
Technology – 6.6% |
| |||||||
50,000 | Arrow Electronics, Inc., 2.950%, 2/15/2032 | 41,680 | ||||||
380,000 | Arrow Electronics, Inc., 6.125%, 3/01/2026 | 380,874 | ||||||
950,000 | Avnet, Inc., 6.250%, 3/15/2028 | 966,985 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Technology – continued |
| |||||||
$ 280,000 | Broadcom, Inc., 3.137%, 11/15/2035, 144A | $ | 215,337 | |||||
240,000 | Broadcom, Inc., 3.187%, 11/15/2036, 144A | 181,876 | ||||||
380,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 352,416 | ||||||
85,000 | Broadcom, Inc., 4.300%, 11/15/2032 | 78,314 | ||||||
105,000 | CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026 | 94,449 | ||||||
125,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 109,936 | ||||||
940,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 808,522 | ||||||
60,000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | 55,914 | ||||||
155,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 113,331 | ||||||
250,000 | CommScope, Inc., 4.750%, 9/01/2029, 144A | 208,380 | ||||||
45,000 | Dell International LLC/EMC Corp., 5.750%, 2/01/2033 | 45,277 | ||||||
715,000 | Entegris Escrow Corp., 4.750%, 4/15/2029, 144A | 675,963 | ||||||
430,000 | Equinix, Inc., 2.000%, 5/15/2028 | 367,746 | ||||||
1,175,000 | Equinix, Inc., 2.150%, 7/15/2030 | 960,744 | ||||||
170,000 | Flex Ltd., 6.000%, 1/15/2028 | 174,184 | ||||||
185,000 | Global Payments, Inc., 2.900%, 5/15/2030 | 156,654 | ||||||
205,000 | Global Payments, Inc., 2.900%, 11/15/2031 | 167,882 | ||||||
130,000 | Global Payments, Inc., 5.300%, 8/15/2029 | 128,376 | ||||||
280,000 | Global Payments, Inc., 5.400%, 8/15/2032 | 274,533 | ||||||
130,000 | Jabil, Inc., 1.700%, 4/15/2026 | 116,719 | ||||||
375,000 | Jabil, Inc., 3.600%, 1/15/2030 | 338,597 | ||||||
330,000 | Jabil, Inc., 3.950%, 1/12/2028 | 310,582 | ||||||
375,000 | Leidos, Inc., 5.750%, 3/15/2033 | 383,265 | ||||||
295,000 | Marvell Technology, Inc., 2.450%, 4/15/2028 | 258,359 | ||||||
250,000 | Marvell Technology, Inc., 2.950%, 4/15/2031 | 208,763 | ||||||
295,000 | Microchip Technology, Inc., 0.983%, 9/01/2024 | 278,466 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Technology – continued |
| |||||||
$ 55,000 | Micron Technology, Inc., 2.703%, 4/15/2032 | $ | 44,034 | |||||
120,000 | Micron Technology, Inc., 4.663%, 2/15/2030 | 115,212 | ||||||
155,000 | Micron Technology, Inc., 5.327%, 2/06/2029 | 155,929 | ||||||
425,000 | Micron Technology, Inc., 5.875%, 2/09/2033 | 429,697 | ||||||
580,000 | Micron Technology, Inc., 6.750%, 11/01/2029 | 616,146 | ||||||
40,000 | Motorola Solutions, Inc., 5.600%, 6/01/2032 | 40,233 | ||||||
55,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 2.650%, 2/15/2032 | 45,097 | ||||||
75,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027 | 74,094 | ||||||
165,000 | Open Text Corp., 6.900%, 12/01/2027, 144A | 170,214 | ||||||
50,000 | Oracle Corp., 2.950%, 4/01/2030 | 44,148 | ||||||
600,000 | Oracle Corp., 3.950%, 3/25/2051 | 451,487 | ||||||
275,000 | Oracle Corp., 6.150%, 11/09/2029 | 292,910 | ||||||
200,000 | SK Hynix, Inc., 6.375%, 1/17/2028, 144A | 201,147 | ||||||
545,000 | TD SYNNEX Corp., 1.750%, 8/09/2026 | 477,455 | ||||||
450,000 | Trimble, Inc., 6.100%, 3/15/2033 | 454,273 | ||||||
310,000 | Verisk Analytics, Inc., 5.750%, 4/01/2033 | 325,425 | ||||||
140,000 | Western Digital Corp., 2.850%, 2/01/2029 | 113,742 | ||||||
310,000 | Western Digital Corp., 4.750%, 2/15/2026 | 297,431 | ||||||
|
| |||||||
12,802,798 | ||||||||
|
| |||||||
Transportation Services – 0.3% |
| |||||||
562,000 | ERAC USA Finance LLC, 6.700%, 6/01/2034, 144A | 636,003 | ||||||
|
| |||||||
Treasuries – 12.0% |
| |||||||
2,485,000 | U.S. Treasury Bonds, 2.250%, 2/15/2052 | 1,853,072 | ||||||
7,125,000 | U.S. Treasury Bonds, 3.250%, 5/15/2042 | 6,573,091 | ||||||
15,220,000 | U.S. Treasury Notes, 1.500%, 2/29/2024(g) | 14,793,721 | ||||||
|
| |||||||
23,219,884 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Wireless – 2.2% |
| |||||||
$ 870,000 | American Tower Corp., 5.500%, 3/15/2028 | $ | 886,993 | |||||
1,415,000 | Crown Castle, Inc., 2.250%, 1/15/2031 | 1,172,718 | ||||||
50,000 | Crown Castle, Inc., 2.500%, 7/15/2031 | 42,024 | ||||||
100,000 | T-Mobile USA, Inc., 2.400%, 3/15/2029 | 87,121 | ||||||
230,000 | T-Mobile USA, Inc., 2.700%, 3/15/2032 | 193,741 | ||||||
620,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 565,246 | ||||||
305,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 274,247 | ||||||
1,120,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 1,050,911 | ||||||
|
| |||||||
4,273,001 | ||||||||
|
| |||||||
Wirelines – 0.1% |
| |||||||
55,000 | AT&T, Inc., 2.250%, 2/01/2032 | 44,964 | ||||||
55,000 | Verizon Communications, Inc., 2.355%, 3/15/2032 | 45,122 | ||||||
|
| |||||||
90,086 | ||||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $179,563,457) | 163,097,229 | |||||||
|
| |||||||
Convertible Bonds – 1.2% | ||||||||
Airlines – 0.1% |
| |||||||
210,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 238,560 | ||||||
|
| |||||||
Cable Satellite – 0.3% |
| |||||||
965,000 | DISH Network Corp., 3.375%, 8/15/2026 | 496,975 | ||||||
180,000 | DISH Network Corp., Zero Coupon, 6.944%-9.514%, 12/15/2025(h) | 95,139 | ||||||
|
| |||||||
592,114 | ||||||||
|
| |||||||
Consumer Cyclical Services – 0.1% |
| |||||||
45,000 | Peloton Interactive, Inc., Zero Coupon, 0.519%-0.798%, 2/15/2026(h) | 34,011 | ||||||
245,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(h) | 215,198 | ||||||
|
| |||||||
249,209 | ||||||||
|
| |||||||
Electric – 0.0% |
| |||||||
65,000 | PPL Capital Funding, Inc., 2.875%, 3/15/2028, 144A | 65,240 | ||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Convertible Bonds – continued | ||||||||
Healthcare – 0.3% |
| |||||||
$ | 600,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | $ | 462,776 | ||||
|
| |||||||
Pharmaceuticals – 0.4% |
| |||||||
150,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 153,897 | ||||||
465,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 484,998 | ||||||
130,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 115,511 | ||||||
|
| |||||||
754,406 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $3,178,564) | 2,362,305 | |||||||
|
| |||||||
Municipals – 0.4% | ||||||||
Virginia – 0.4% |
| |||||||
825,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $816,987) | 764,660 | ||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $183,559,008) | 166,224,194 | |||||||
|
| |||||||
Senior Loans – 0.1% | ||||||||
Leisure – 0.1% |
| |||||||
55,000 | Carnival Corp., 2021 Incremental Term Loan B, 10/18/2028(i) | 53,642 | ||||||
19,949 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD LIBOR + 3.250%, 8.090%, 10/18/2028(c)(j) | 19,457 | ||||||
94,756 | Carnival Corp., USD Term Loan B, 1 mo. USD LIBOR + 3.000%, 7.840%, 6/30/2025(c)(j) | 93,311 | ||||||
|
| |||||||
166,410 | ||||||||
|
| |||||||
Total Senior Loans (Identified Cost $167,365) | 166,410 | |||||||
|
| |||||||
Collateralized Loan Obligations – 3.8% | ||||||||
395,000 | 522 Funding CLO Ltd., Series 2021-7A, Class D, 3 mo. USD LIBOR + 2.900%, 7.715%, 4/23/2034, 144A(c) | 351,725 | ||||||
250,000 | AGL CLO 5 Ltd., Series 2020-5A, Class BR, 3 mo. USD LIBOR + 1.700%, 6.508%, 7/20/2034, 144A(c) | 242,426 | ||||||
600,000 | Alinea CLO Ltd., Series 2018-1A, Class B, 3 mo. USD LIBOR + 1.650%, 6.458%, 7/20/2031, 144A(c) | 584,063 | ||||||
250,000 | Battalion CLO VIII Ltd., Series 2015-8A, Class A2R2, 3 mo. USD LIBOR + 1.550%, 6.345%, 7/18/2030, 144A(c) | 241,205 | ||||||
250,000 | Canyon CLO Ltd., Series 2021-4A, Class B, 3 mo. USD LIBOR + 1.700%, 6.492%, 10/15/2034, 144A(c) | 239,445 | ||||||
270,000 | Carlyle U.S. CLO Ltd., Series 2021-9A, Class B, 3 mo. USD LIBOR + 1.650%, 6.458%, 10/20/2034, 144A(c) | 261,030 | ||||||
250,000 | CIFC Funding Ltd., Series 2021-6A, Class B, 3 mo. USD LIBOR + 1.650%, 6.442%, 10/15/2034, 144A(c) | 242,577 | ||||||
455,000 | Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3 mo. USD LIBOR + 1.400%, 6.192%, 1/15/2031, 144A(c) | 439,683 |
Principal | Description | Value (†) | ||||||
Collateralized Loan Obligations – continued | ||||||||
$ 275,000 | Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3 mo. USD LIBOR + 2.850%, 7.658%, 1/20/2034, 144A(c) | $ | 259,833 | |||||
250,000 | Galaxy XXV CLO Ltd., Series 2018-25A, Class B, 3 mo. USD LIBOR + 1.650%, 6.468%, 10/25/2031, 144A(c) | 241,165 | ||||||
250,000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 3 mo. USD LIBOR + 1.700%, 6.609%, 11/22/2031, 144A(c) | 241,692 | ||||||
255,000 | Invesco CLO Ltd., Series 2021-1A, Class D,, 3 mo. USD LIBOR + 3.050% 7.842%, 4/15/2034, 144A(c) | 236,013 | ||||||
308,956 | Madison Park Funding XXV Ltd., Series 2017-25A, Class A1R, 3 mo. USD LIBOR + 0.970%, 5.788%, 4/25/2029, 144A(c) | 305,665 | ||||||
250,000 | Magnetite XIV-R Ltd., Series 2015-14RA, Class B, 3 mo. USD LIBOR + 1.600%, 6.395%, 10/18/2031, 144A(c) | 244,773 | ||||||
250,000 | Magnetite XV Ltd., Series 2015-15A, Class AR, 3 mo. USD SOFR + 1.272%, 5.931%, 7/25/2031, 144A(c) | 247,105 | ||||||
530,000 | Morgan Stanley Eaton Vance CLO Ltd., Series 2022-16A, Class B, 3 mo. USD SOFR + 1.950%, 6.608%, 4/15/2035, 144A(c) | 504,791 | ||||||
250,000 | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3 mo. USD LIBOR + 1.650%, 6.442%, 7/15/2034, 144A(c) | 242,228 | ||||||
300,000 | Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A2, 3 mo. USD LIBOR + 1.470%, 6.262%, 4/16/2031, 144A(c) | 289,055 | ||||||
304,996 | Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR, 3 mo. USD LIBOR + 0.970%, 5.768%, 7/19/2030, 144A(c) | 302,239 | ||||||
250,000 | OHA Credit Partners XVI, Series 2021-16A, Class A, 3 mo. USD LIBOR + 1.150%, 5.945%, 10/18/2034, 144A(c) | 244,490 | ||||||
250,000 | Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3 mo. USD LIBOR + 1.500%, 6.292%, 10/17/2031, 144A(c) | 242,454 | ||||||
128,749 | Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, 3 mo. USD LIBOR + 0.800%, 5.608%, 7/20/2029, 144A(c) | 127,258 | ||||||
250,000 | Rad CLO 15 Ltd., Series 2021-15A, Class B, 3 mo. USD LIBOR + 1.650%, 6.458%, 1/20/2034, 144A(c) | 240,966 | ||||||
360,000 | Recette CLO Ltd., Series 2015-1A, Class BRR, 3 mo. USD LIBOR + 1.400%, 6.208%, 4/20/2034, 144A(c) | 342,426 | ||||||
310,000 | Sixth Street CLO XVIII Ltd., Series 2021-18A, Class D, 3 mo. USD LIBOR + 2.900%, 7.708%, 4/20/2034, 144A(c) | 292,580 | ||||||
255,000 | Voya CLO Ltd., Series 2018-3A, Class B, 3 mo. USD LIBOR + 1.650%, 6.442%, 10/15/2031, 144A(c) | 244,292 | ||||||
|
| |||||||
Total Collateralized Loan Obligations (Identified Cost $7,717,741) | 7,451,179 | |||||||
|
| |||||||
Shares | ||||||||
Common Stocks – 0.3% | ||||||||
Oil, Gas & Consumable Fuels – 0.2% |
| |||||||
1,633 | Canadian Natural Resources Ltd. | 90,387 | ||||||
1,569 | Devon Energy Corp. | 79,407 | ||||||
1,032 | Diamondback Energy, Inc. | 139,495 | ||||||
762 | EOG Resources, Inc. | 87,348 | ||||||
216 | Pioneer Natural Resources Co. | 44,116 | ||||||
|
| |||||||
440,753 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.1% |
| |||||||
1,641 | T-Mobile U.S., Inc.(e) | 237,682 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $690,540) | 678,435 | |||||||
|
|
Shares | Description | Value (†) | ||||||
Preferred Stocks – 1.3% | ||||||||
Convertible Preferred Stocks – 1.3% | ||||||||
Banking – 0.9% |
| |||||||
1,095 | Bank of America Corp., Series L, 7.250% | $ | 1,278,697 | |||||
317 | Wells Fargo & Co., Class A, Series L, 7.500% | 372,871 | ||||||
|
| |||||||
1,651,568 | ||||||||
|
| |||||||
Midstream – 0.3% |
| |||||||
12,375 | El Paso Energy Capital Trust I, 4.750% | 568,879 | ||||||
|
| |||||||
Wireless – 0.1% | ||||||||
250 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A | 290,688 | ||||||
|
| |||||||
Total Convertible Preferred Stocks (Identified Cost $2,382,327) | 2,511,135 | |||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $2,382,327) | 2,511,135 | |||||||
|
| |||||||
Principal | ||||||||
Short-Term Investments – 8.8% | ||||||||
$1,941,902 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2023 at 2.100% to be repurchased at $1,942,242 on 4/03/2023 collateralized by $2,031,800 U.S. Treasury Note, 2.875% due 6/15/2025 valued at $1,980,767 including accrued interest(k) | 1,941,902 | ||||||
1,925,000 | U.S. Treasury Bills, 4.462%, 4/04/2023(l) | 1,924,755 | ||||||
5,645,000 | U.S. Treasury Bills, 4.563%, 4/13/2023(l) | 5,637,758 | ||||||
5,715,000 | U.S. Treasury Bills, 4.692%-4.695%, 7/13/2023(l)(m) | 5,639,998 | ||||||
1,920,000 | U.S. Treasury Bills, 4.713%, 5/25/2023(l) | 1,907,201 | ||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $17,047,288) | 17,051,614 | |||||||
|
| |||||||
Total Investments – 100.0% (Identified Cost $211,564,269) | 194,082,967 | |||||||
Other assets less liabilities – (0.0)% | (95,148 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 193,987,819 | ||||||
|
|
(†) | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Fund’s Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight. |
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value 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. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service.
The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s 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) | Level 3 security. Value has been determined using significant unobservable inputs. |
(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 March 31, 2023 is disclosed. |
(c) | Variable rate security. Rate as of March 31, 2023 is disclosed. |
(d) | Perpetual bond with no specified maturity date. |
(e) | Non-income producing security. |
(f) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(g) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(h) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields. |
(i) | Position is unsettled. Contract rate was not determined at March 31, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(j) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.75%, to which the spread is added. |
(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 March 31, 2023, 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. |
(m) | The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2023, the value of Rule 144A holdings amounted to $69,455,760 or 35.8% of net assets. |
ABS | Asset-Backed Securities |
ARMs | Adjustable Rate Mortgages |
GMTN | Global Medium Term Note |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
SOFR | Secured Overnight Financing Rate |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At March 31, 2023, open long futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
10 Year U.S. Treasury Note | 6/21/2023 | 267 | $ | 29,829,438 | $ | 30,684,141 | $ | 854,703 | ||||||||||||
2 Year U.S. Treasury Note | 6/30/2023 | 50 | 10,315,572 | 10,322,656 | 7,084 | |||||||||||||||
30 Year U.S. Treasury Bond | 6/21/2023 | 86 | 11,140,278 | 11,279,437 | 139,159 | |||||||||||||||
5 Year U.S. Treasury Note | 6/30/2023 | 23 | 2,515,249 | 2,518,680 | 3,431 | |||||||||||||||
Ultra Long U.S. Treasury Bond | 6/21/2023 | 96 | 13,080,382 | 13,548,000 | 467,618 | |||||||||||||||
|
| |||||||||||||||||||
Total | $ | 1,471,995 | ||||||||||||||||||
|
|
At March 31, 2023, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Ultra 10 Year U.S. Treasury Note | 6/21/2023 | 158$ | 18,774,816 | $ | 19,140,219 | $ | (365,403 | ) | ||||||||||||
|
|
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 March 31, 2023, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
ABS Car Loan | $ | — | $ | 13,879,750 | $ | 189,975 | (a) | $ | 14,069,725 | |||||||
ABS Home Equity | — | 9,478,265 | 3,814 | 9,482,079 | ||||||||||||
ABS Whole Business | — | 1,890,163 | 359,146 | 2,249,309 | ||||||||||||
All Other Non-Convertible Bonds* | — | 137,296,116 | — | 137,296,116 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Bonds | — | 162,544,294 | 552,935 | 163,097,229 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds* | — | 2,362,305 | — | 2,362,305 | ||||||||||||
Municipals* | — | 764,660 | — | 764,660 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 165,671,259 | 552,935 | 166,224,194 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Senior Loans* | — | 166,410 | — | 166,410 | ||||||||||||
Collateralized Loan Obligations | — | 7,451,179 | — | 7,451,179 | ||||||||||||
Common Stocks* | 678,435 | — | — | 678,435 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||
Wireless | — | 290,688 | — | 290,688 | ||||||||||||
All Other Convertible Preferred Stocks* | 2,220,447 | — | — | 2,220,447 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Convertible Preferred Stocks | 2,220,447 | 290,688 | — | 2,511,135 | ||||||||||||
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| |||||||||
Total Preferred Stocks | 2,220,447 | 290,688 | — | 2,511,135 | ||||||||||||
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| |||||||||
Short-Term Investments | — | 17,051,614 | — | 17,051,614 | ||||||||||||
|
|
|
|
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|
|
| |||||||||
Total Investments | $ | 2,898,882 | $ | 190,631,150 | $ | 552,935 | $ | 194,082,967 | ||||||||
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|
|
|
|
|
| |||||||||
Futures Contracts (unrealized appreciation) | 1,471,995 | — | — | 1,471,995 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 4,370,877 | $ | 190,631,150 | $ | 552,935 | $ | 195,554,962 | ||||||||
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Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) | $ | (365,403 | ) | $ | — | $ | — | $ | (365,403 | ) | ||||||
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* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(a) | 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 December 31, 2022 and/or March 31, 2023:
Asset Valuation Inputs
Investments in Securities | Balance as of December 31, 2022 | Accrued Discounts (Premiums) | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Purchases | Sales | Transfers into Level 3 | Transfers out of Level 3 | Balance as of March 31, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2023 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
ABS Car Loan | $ | — | $ | — | $ | — | $ | — | $ | 189,975 | $ | — | $ | — | $ | — | $ | 189,975 | $ | — | ||||||||||||||||||||
ABS Home | 3,824 | — | — | (10 | ) | — | — | — | — | 3,814 | (10 | ) | ||||||||||||||||||||||||||||
ABS Whole | — | — | — | 4,146 | 355,000 | — | — | — | 359,146 | 4,146 | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||
Total | $ | 3,824 | $ | — | $ | — | $ | 4,136 | $ | 544,975 | $ | — | $ | — | $ | — | $ | 552,935 | $ | 4,136 | ||||||||||||||||||||
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Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end include futures contracts.
The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The fund may also use futures contracts to gain investment exposure. As of March 31, 2023, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of March 31, 2023:
Assets | Unrealized appreciation on futures contracts | |||
Exchange-traded asset derivatives | ||||
Interest rate contracts | $ | 1,471,995 | ||
Liabilities | Unrealized depreciation on futures contracts | |||
Exchange-traded liability derivatives | ||||
Interest rate contracts | $ | (365,403 | ) |
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund.
Industry Summary at March 31, 2023 (Unaudited)
Banking | 12.2 | % | ||
Treasuries | 12.0 | |||
ABS Car Loan | 7.3 | |||
Technology | 6.6 | |||
ABS Home Equity | 4.9 | |||
Finance Companies | 3.7 | |||
Independent Energy | 3.2 | |||
Life Insurance | 2.7 | |||
ABS Other | 2.6 | |||
Cable Satellite | 2.4 | |||
Wireless | 2.3 | |||
Non-Agency Commercial Mortgage-Backed Securities | 2.1 | |||
Other Investments, less than 2% each | 25.4 | |||
Short-Term Investments | 8.8 | |||
Collateralized Loan Obligations | 3.8 | |||
|
| |||
Total Investments | 100.0 | |||
Other assets less liabilities (including futures contracts) | (0.0 | )* | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
* | Less than 0.1% |