PORTFOLIO OF INVESTMENTS – as of June 30, 2023 (Unaudited)
Loomis Sayles Fixed Income Fund
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – 84.4% of Net Assets | ||||||||
Non-Convertible Bonds – 80.1% | ||||||||
ABS Car Loan – 4.0% |
| |||||||
$ 675,000 | American Credit Acceptance Receivables Trust, Series 2021-3, Class D, 1.340%, 11/15/2027, 144A | $ | 631,394 | |||||
125,000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029, 144A | 127,087 | ||||||
60,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2018-1A, Class C, 4.730%, 9/20/2024, 144A | 59,858 | ||||||
475,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class C, 3.150%, 3/20/2026, 144A | 439,749 | ||||||
210,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class B, 2.680%, 8/20/2026, 144A | 194,581 | ||||||
685,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A | 620,489 | ||||||
305,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class B, 2.960%, 2/20/2027, 144A | 280,403 | ||||||
630,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027, 144A | 585,867 | ||||||
145,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class C, 2.130%, 8/20/2027, 144A | 124,296 | ||||||
100,000 | CarMax Auto Owner Trust, Series 2022-1, Class D, 2.470%, 7/17/2028 | 90,302 | ||||||
200,000 | Carvana Auto Receivables Trust, 6.690%, 7/10/2029, 144A | 196,333 | ||||||
187,682 | Carvana Auto Receivables Trust, Series 2021-N3, Class C, 1.020%, 6/12/2028 | 176,090 | ||||||
420,000 | Carvana Auto Receivables Trust, Series 2021-P3, Class C, 1.930%, 10/12/2027 | 358,699 | ||||||
525,000 | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C, 2.730%, 11/15/2029, 144A | 517,953 | ||||||
900,000 | Credit Acceptance Auto Loan Trust, Series 2021-2A, Class C, 1.640%, 6/17/2030, 144A | 835,459 | ||||||
335,000 | Credit Acceptance Auto Loan Trust, Series 2021-3A, Class C, 1.630%, 9/16/2030, 144A | 309,055 | ||||||
305,000 | DT Auto Owner Trust, Series 2021-2A, Class D, 1.500%, 2/16/2027, 144A | 284,641 | ||||||
1,380,000 | DT Auto Owner Trust, Series 2021-3A, Class D, 1.310%, 5/17/2027, 144A | 1,243,961 | ||||||
815,000 | Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026 | 771,402 | ||||||
1,000,000 | Exeter Automobile Receivables Trust, Series 2021-3A, Class D, 1.550%, 6/15/2027 | 916,772 | ||||||
100,000 | Exeter Automobile Receivables Trust, Series 2022-2A, Class D, 4.560%, 7/17/2028 | 95,188 | ||||||
160,000 | Exeter Automobile Receivables Trust, Series 2022-6A, Class C, 6.320%, 5/15/2028 | 159,911 | ||||||
335,000 | Exeter Automobile Receivables Trust, Series 2023-2A, Class D, 6.320%, 8/15/2029 | 329,903 | ||||||
160,000 | Exeter Automobile Receivables Trust, Series 2023-3A, Class D, 6.680%, 4/16/2029 | 159,668 | ||||||
215,000 | First Investors Auto Owner Trust, Series 2022-2A, Class D, 8.710%, 10/16/2028, 144A | 219,049 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Car Loan – continued |
| |||||||
$435,000 | Flagship Credit Auto Trust, Series 2021-2, Class D, 1.590%, 6/15/2027, 144A | $ | 388,323 | |||||
335,000 | Foursight Capital Automobile Receivables Trust, Series 2021-2, Class D, 1.920%, 9/15/2027, 144A | 308,881 | ||||||
1,975,000 | GLS Auto Receivables Issuer Trust, Series 2021-1A, Class D, 1.680%, 1/15/2027, 144A | 1,860,889 | ||||||
725,000 | GLS Auto Receivables Issuer Trust, Series 2021-2A, Class D, 1.420%, 4/15/2027, 144A | 672,573 | ||||||
675,000 | GLS Auto Receivables Issuer Trust, Series 2021-3A, Class D, 1.480%, 7/15/2027, 144A | 616,561 | ||||||
255,000 | GLS Auto Receivables Issuer Trust, Series 2023-2A, Class D, 6.310%, 3/15/2029, 144A | 251,307 | ||||||
935,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026, 144A | 864,286 | ||||||
599,000 | Hertz Vehicle Financing III LLC, Series 2022-3A, Class D, 6.310%, 3/25/2025, 144A | 590,161 | ||||||
360,000 | Hertz Vehicle Financing III LLC, Series 2023-2A, Class D, 9.400%, 9/25/2029, 144A | 362,998 | ||||||
455,000 | Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026, 144A | 430,517 | ||||||
80,855 | JPMorgan Chase Bank N.A, Series 2021-1, Class D, 1.174%, 9/25/2028, 144A | 78,365 | ||||||
92,648 | JPMorgan Chase Bank N.A, Series 2021-3, Class D, 1.009%, 2/26/2029, 144A | 86,738 | ||||||
635,000 | Prestige Auto Receivables Trust, Series 2022-1A, Class D, 8.080%, 8/15/2028, 144A | 640,206 | ||||||
103,733 | Santander Bank N.A., Series 2021-1A, Class B, 1.833%, 12/15/2031, 144A | 100,312 | ||||||
200,000 | Westlake Automobile Receivables Trust, Series 2023-1A, Class D, 6.790%, 11/15/2028, 144A | 199,504 | ||||||
|
| |||||||
17,179,731 | ||||||||
|
| |||||||
ABS Home Equity – 4.6% |
| |||||||
745,002 | 510 Asset-Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061, 144A(a) | 687,224 | ||||||
630,000 | CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(a) | 574,370 | ||||||
400,656 | CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059, 144A(a) | 381,887 | ||||||
210,000 | CoreVest American Finance Ltd., Series 2021-1, Class C, 2.800%, 4/15/2053, 144A | 171,470 | ||||||
300,000 | CoreVest American Finance Ltd., Series 2021-2, Class C, 2.478%, 7/15/2054, 144A | 235,679 | ||||||
150,000 | CoreVest American Finance Ltd., Series 2021-3, Class D, 3.469%, 10/15/2054, 144A | 121,377 | ||||||
516,266 | Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060, 144A(a) | 474,212 | ||||||
1,239,219 | Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a) | 1,142,418 | ||||||
254,285 | Federal Home Loan Mortgage Corp., REMIC, Series 2022-DNA3, Class M1A, 30 day USD SOFR Average + 2.000%, 7.067%, 4/25/2042, 144A(b) | 254,999 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Home Equity – continued |
| |||||||
$675,000 | FirstKey Homes Trust, Series 2021-SFR1, Class E1, 2.389%, 8/17/2038, 144A | $ | 576,607 | |||||
315,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E1, 2.258%, 9/17/2038, 144A | 269,781 | ||||||
205,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E2, 2.358%, 9/17/2038, 144A | 175,102 | ||||||
300,000 | FirstKey Homes Trust, Series 2022- SFR2, Class D, 4.500%, 7/17/2039, 144A | 273,685 | ||||||
291,663 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a) | 272,176 | ||||||
580,000 | GITSIT Mortgage Loan Trust, Series 2023-NPL1, Class A1, 8.353%, 5/25/2053, 144A(a) | 577,104 | ||||||
86,421 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A | 70,492 | ||||||
800,446 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A | 690,689 | ||||||
414,689 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A | 357,383 | ||||||
130,296 | Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(a) | 127,799 | ||||||
1,215,000 | Legacy Mortgage Asset Trust, Series 2020-RPL1, Class A2, 3.250%, 9/25/2059, 144A(a) | 1,039,742 | ||||||
567,829 | Legacy Mortgage Asset Trust, Series 2021-GS2, Class A1, 1.750%, 4/25/2061, 144A(a) | 525,145 | ||||||
115,000 | Mill City Mortgage Loan Trust, Series 2019-GS1, Class M2, 3.250%, 7/25/2059, 144A(a) | 94,124 | ||||||
705,000 | Progress Residential Trust, Series 2021-SFR2, Class E1, 2.547%, 4/19/2038, 144A | 617,127 | ||||||
240,000 | Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A | 208,020 | ||||||
200,000 | Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A | 174,109 | ||||||
125,000 | Progress Residential Trust, Series 2021-SFR4, Class E1, 2.409%, 5/17/2038, 144A | 107,935 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR4, Class E2, 2.559%, 5/17/2038, 144A | 86,266 | ||||||
295,000 | Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038, 144A | 251,839 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038, 144A | 85,221 | ||||||
380,000 | Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038, 144A | 327,517 | ||||||
200,000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A | 171,697 | ||||||
340,000 | Progress Residential Trust, Series 2021-SFR7, Class E1, 2.591%, 8/17/2040, 144A | 272,511 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A | 79,259 | ||||||
832,130 | PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026, 144A(a) | 775,418 | ||||||
308,940 | PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(a) | 291,401 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Home Equity – continued |
| |||||||
$598,064 | PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a) | $ | 557,447 | |||||
167,525 | PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026, 144A(a) | 154,301 | ||||||
819,788 | PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(a) | 755,217 | ||||||
954,537 | PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027, 144A(a) | 939,074 | ||||||
1,030,000 | Toorak Mortgage Corp. Ltd., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(a) | 1,001,277 | ||||||
240,000 | Towd Point Mortgage Trust, Series 2016-3, Class M2, 4.000%, 4/25/2056, 144A(a) | 229,191 | ||||||
495,000 | Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(a) | 393,620 | ||||||
629,131 | Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(a) | 577,925 | ||||||
100,000 | Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060, 144A(a) | 83,799 | ||||||
174,115 | VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(a) | 166,816 | ||||||
248,145 | VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(a) | 224,100 | ||||||
671,940 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(a) | 607,413 | ||||||
569,945 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(a) | 523,719 | ||||||
381,744 | VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(a) | 357,333 | ||||||
882,359 | VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051, 144A(a) | 803,642 | ||||||
|
| |||||||
19,916,659 | ||||||||
|
| |||||||
ABS Other – 2.1% |
| |||||||
100,000 | Affirm Asset Securitization Trust, Series 2021-B, Class C, 1.400%, 8/17/2026, 144A | 93,612 | ||||||
160,000 | Aqua Finance Trust, Series 2021-A, Class B, 2.400%, 7/17/2046, 144A | 130,435 | ||||||
93,072 | Business Jet Securities LLC, Series 2021-1A, Class B, 2.918%, 4/15/2036, 144A | 81,069 | ||||||
716,444 | CAL Funding IV Ltd., Series 2020-1A, Class A, 2.220%, 9/25/2045, 144A | 623,718 | ||||||
808,817 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A | 689,167 | ||||||
88,251 | FREED ABS Trust, Series 2021-2, Class C, 1.940%, 6/19/2028, 144A | 86,535 | ||||||
370,000 | FREED ABS Trust, Series 2021-3FP, Class D, 2.370%, 11/20/2028, 144A | 343,630 | ||||||
300,000 | HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A | 289,474 | ||||||
1,433,143 | MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A | 1,231,957 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Other – continued |
| |||||||
$110,000 | Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031, 144A | $ | 103,567 | |||||
111,721 | Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(a) | 100,032 | ||||||
275,939 | OneMain Financial Issuance Trust, Series 2018-2A, Class A, 3.570%, 3/14/2033, 144A | 271,862 | ||||||
345,000 | OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036, 144A | 273,837 | ||||||
380,000 | OneMain Financial Issuance Trust, Series 2022-S1, Class D, 5.200%, 5/14/2035, 144A | 344,456 | ||||||
100,000 | SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.930%, 9/20/2030, 144A | 88,468 | ||||||
315,000 | SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032, 144A | 308,110 | ||||||
118,753 | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A | 99,829 | ||||||
112,893 | Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C, 3.120%, 5/20/2036, 144A | 108,403 | ||||||
73,776 | Sierra Timeshare Receivables Funding LLC, Series 2019-3A, Class C, 3.000%, 8/20/2036, 144A | 68,811 | ||||||
63,950 | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037, 144A | 58,619 | ||||||
1,238,125 | SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A | 1,061,841 | ||||||
100,000 | SoFi Consumer Loan Program Trust, Series 2021-1, Class D, 2.040%, 9/25/2030, 144A | 91,763 | ||||||
622,974 | Sunnova Helios X Issuer LLC, Series 2022-C, Class C, 6.000%, 11/22/2049, 144A | 530,521 | ||||||
616,075 | TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A | 509,255 | ||||||
230,000 | Towd Point Mortgage Trust, Series 2017-1, Class M1, 3.750%, 10/25/2056, 144A(a) | 215,108 | ||||||
534,483 | WAVE Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A | 424,936 | ||||||
1,133,218 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A | 898,090 | ||||||
|
| |||||||
9,127,105 | ||||||||
|
| |||||||
ABS Student Loan – 0.6% |
| |||||||
251,350 | College Ave Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051, 144A | 223,769 | ||||||
219,240 | EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.800%, 11/25/2045, 144A | 188,599 | ||||||
80,085 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A | 72,356 | ||||||
220,282 | Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069, 144A | 191,076 | ||||||
100,000 | Navient Private Education Refi Loan Trust, Series 2021-A, Class B, 2.240%, 5/15/2069, 144A | 72,153 | ||||||
170,000 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069, 144A | 113,375 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
ABS Student Loan – continued |
| |||||||
$385,000 | Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070, 144A | $ | 247,062 | |||||
160,327 | SMB Private Education Loan Trust, Series 2016-C, Class A2A, 2.340%, 9/15/2034, 144A | 154,361 | ||||||
60,784 | SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037, 144A | 55,713 | ||||||
757,616 | SMB Private Education Loan Trust, Series 2021-A, Class A2A2, 1 mo. USD LIBOR + 0.730%, 5.923%, 1/15/2053, 144A(b) | 738,951 | ||||||
475,000 | SMB Private Education Loan Trust, Series 2021-B, Class B, 2.650%, 7/17/2051, 144A | 388,786 | ||||||
|
| |||||||
2,446,201 | ||||||||
|
| |||||||
ABS Whole Business – 0.8% |
| |||||||
785,000 | Applebee’s Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053, 144A | 772,318 | ||||||
120,313 | DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A | 109,814 | ||||||
56,850 | Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A | 52,323 | ||||||
133,700 | Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A | 124,867 | ||||||
1,543,500 | Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 4/25/2051, 144A | 1,287,481 | ||||||
294,000 | Hardee’s Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051, 144A | 234,257 | ||||||
91,675 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A | 76,741 | ||||||
49,375 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051, 144A | 43,573 | ||||||
259,875 | Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A | 235,172 | ||||||
720,300 | Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A | 595,642 | ||||||
|
| |||||||
3,532,188 | ||||||||
|
| |||||||
Aerospace & Defense – 0.1% |
| |||||||
435,000 | TransDigm, Inc., 6.750%, 8/15/2028, 144A | 436,649 | ||||||
|
| |||||||
Airlines – 1.3% |
| |||||||
313,473 | American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 288,364 | ||||||
1,022,794 | American Airlines Pass-Through Trust, Series 2017-1B, Class B, 4.950%, 8/15/2026 | 976,763 | ||||||
642,810 | American Airlines Pass-Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 603,926 | ||||||
371,132 | U.S. Airways Pass-Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026 | 367,979 | ||||||
1,011,446 | U.S. Airways Pass-Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026 | 947,923 | ||||||
949,458 | United Airlines Pass-Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027 | 892,814 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Airlines – continued |
| |||||||
$452,771 | United Airlines Pass-Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029 | $ | 449,492 | |||||
1,075,000 | United Airlines Pass-Through Trust, Series 2023-1, 5.800%, 7/15/2037 | 1,095,318 | ||||||
|
| |||||||
5,622,579 | ||||||||
|
| |||||||
Automotive – 0.8% |
| |||||||
130,000 | General Motors Financial Co., Inc., 3.100%, 1/12/2032 | 105,144 | ||||||
2,270,000 | General Motors Financial Co., Inc., 3.600%, 6/21/2030 | 1,961,228 | ||||||
270,000 | General Motors Financial Co., Inc., 5.850%, 4/06/2030 | 267,641 | ||||||
135,000 | General Motors Financial Co., Inc., 6.000%, 1/09/2028 | 136,082 | ||||||
285,000 | General Motors Financial Co., Inc., 6.400%, 1/09/2033 | 289,686 | ||||||
60,000 | General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(c) | 48,825 | ||||||
100,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(c) | 87,784 | ||||||
285,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028, 144A | 289,098 | ||||||
300,000 | ZF North America Capital, Inc., 7.125%, 4/14/2030, 144A | 305,496 | ||||||
|
| |||||||
3,490,984 | ||||||||
|
| |||||||
Banking – 6.2% |
| |||||||
1,146,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 1,189,687 | ||||||
1,585,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(c) | 1,117,425 | ||||||
1,500,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(c) | 967,500 | ||||||
3,340,000 | Bank of America Corp., 6.110%, 1/29/2037 | 3,522,418 | ||||||
762,000 | Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036 | 582,954 | ||||||
915,000 | Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027 | 804,891 | ||||||
1,125,000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(c) | 764,325 | ||||||
980,000 | Barclays PLC, (fixed rate to 5/09/2033, variable rate thereafter), 6.224%, 5/09/2034 | 976,115 | ||||||
1,175,000 | BNP Paribas SA, (fixed rate to 1/20/2027, variable rate thereafter), 2.591%, 1/20/2028, 144A | 1,050,110 | ||||||
685,000 | Credit Agricole SA, 3.250%, 1/14/2030, 144A | 585,860 | ||||||
495,000 | Credit Agricole SA, (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033 | 440,703 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Banking – continued |
| |||||||
$370,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | $ | 271,347 | |||||
1,202,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 908,948 | ||||||
235,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 198,431 | ||||||
2,075,000 | Goldman Sachs Group, Inc., (fixed rate to 8/23/2027, variable rate thereafter), 4.482%, 8/23/2028 | 2,006,143 | ||||||
1,055,000 | HSBC Holdings PLC, (fixed rate to 3/09/2028, variable rate thereafter), 6.161%, 3/09/2029 | 1,063,978 | ||||||
355,000 | Intesa Sanpaolo SpA, 6.625%, 6/20/2033, 144A | 353,697 | ||||||
290,000 | Intesa Sanpaolo SpA, (fixed rate to 6/01/2031, variable rate thereafter), 4.198%, 6/01/2032, 144A | 216,007 | ||||||
1,465,000 | Morgan Stanley, (fixed rate to 1/19/2033, variable rate thereafter), 5.948%, 1/19/2038 | 1,446,016 | ||||||
1,495,000 | Morgan Stanley, (fixed rate to 1/21/2027, variable rate thereafter), 2.475%, 1/21/2028 | 1,349,139 | ||||||
530,000 | NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028 | 519,527 | ||||||
1,040,000 | Sumitomo Mitsui Financial Group, Inc., 5.464%, 1/13/2026 | 1,036,529 | ||||||
320,000 | Synchrony Bank, 5.400%, 8/22/2025 | 305,946 | ||||||
650,000 | Synchrony Bank, 5.625%, 8/23/2027 | 610,565 | ||||||
360,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A | 431,510 | ||||||
500,000 | UBS Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A | 458,484 | ||||||
1,390,000 | UBS Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A | 1,381,220 | ||||||
780,000 | UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A | 782,870 | ||||||
1,000,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A | 1,023,430 | ||||||
200,000 | UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027, 144A | 176,144 | ||||||
405,000 | UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032, 144A | 367,586 | ||||||
|
| |||||||
26,909,505 | ||||||||
|
| |||||||
Brokerage – 0.4% |
| |||||||
1,670,000 | Jefferies Financial Group, Inc., 6.250%, 1/15/2036 | 1,703,255 | ||||||
|
| |||||||
Building Materials – 1.6% |
| |||||||
4,500,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 3,788,570 | ||||||
1,195,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(c) | 1,063,483 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Building Materials – continued |
| |||||||
$140,000 | JELD-WEN, Inc., 4.875%, 12/15/2027, 144A | $ | 123,991 | |||||
213,000 | Masco Corp., 6.500%, 8/15/2032 | 219,578 | ||||||
380,000 | Masco Corp., 7.750%, 8/01/2029 | 415,295 | ||||||
1,188,000 | Owens Corning, 7.000%, 12/01/2036 | 1,299,467 | ||||||
|
| |||||||
6,910,384 | ||||||||
|
| |||||||
Cable Satellite – 3.7% |
| |||||||
375,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | 302,944 | ||||||
3,385,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A | 2,558,274 | ||||||
50,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 37,850 | ||||||
1,780,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 1,432,295 | ||||||
180,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.700%, 4/01/2051 | 113,738 | ||||||
2,625,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 | 1,614,990 | ||||||
230,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 201,884 | ||||||
1,095,000 | CSC Holdings LLC, 3.375%, 2/15/2031, 144A | 741,195 | ||||||
200,000 | CSC Holdings LLC, 4.500%, 11/15/2031, 144A | 139,443 | ||||||
2,710,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 1,205,780 | ||||||
1,750,000 | CSC Holdings LLC, 5.375%, 2/01/2028, 144A | 1,406,196 | ||||||
1,020,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 473,633 | ||||||
2,215,000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A | 1,776,812 | ||||||
2,710,000 | DISH DBS Corp., 5.750%, 12/01/2028, 144A | 2,015,653 | ||||||
270,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 165,501 | ||||||
375,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 280,497 | ||||||
1,500,000 | Time Warner Cable LLC, 6.550%, 5/01/2037 | 1,438,011 | ||||||
|
| |||||||
15,904,696 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Chemicals – 0.5% |
| |||||||
$775,000 | Ashland, Inc., 3.375%, 9/01/2031, 144A | $ | 619,023 | |||||
200,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A | 171,813 | ||||||
705,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A | 569,685 | ||||||
310,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 307,867 | ||||||
230,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 | 231,995 | ||||||
200,000 | INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A | 182,510 | ||||||
|
| |||||||
2,082,893 | ||||||||
|
| |||||||
Construction Machinery – 0.6% |
| |||||||
200,000 | Ashtead Capital, Inc., 5.500%, 8/11/2032, 144A | 193,373 | ||||||
275,000 | Ashtead Capital, Inc., 5.550%, 5/30/2033, 144A | 268,066 | ||||||
415,000 | John Deere Capital Corp., MTN, 0.900%, 1/10/2024 | 404,944 | ||||||
645,000 | John Deere Capital Corp., MTN, 1.250%, 1/10/2025 | 607,837 | ||||||
965,000 | Toro Co., 6.625%, 5/01/2037 | 975,837 | ||||||
|
| |||||||
2,450,057 | ||||||||
|
| |||||||
Consumer Cyclical Services – 1.6% |
| |||||||
700,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 589,859 | ||||||
735,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 639,707 | ||||||
1,010,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A | 865,411 | ||||||
2,965,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 2,728,981 | ||||||
1,420,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 1,412,985 | ||||||
390,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 398,913 | ||||||
120,000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A | 122,294 | ||||||
|
| |||||||
6,758,150 | ||||||||
|
| |||||||
Consumer Products – 0.4% |
| |||||||
880,000 | Avon Products, Inc., 8.450%, 3/15/2043 | 950,400 | ||||||
730,000 | Natura Cosmeticos SA, 4.125%, 5/03/2028, 144A | 631,503 | ||||||
|
| |||||||
1,581,903 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Diversified Manufacturing – 0.0% |
| |||||||
$204,000 | GE Capital Funding LLC, 4.550%, 5/15/2032 | $ | 198,066 | |||||
|
| |||||||
Electric – 0.3% |
| |||||||
1,092,233 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A | 998,377 | ||||||
100,000 | Enel Finance International NV, 6.800%, 9/15/2037, 144A | 105,255 | ||||||
265,000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 | 257,714 | ||||||
|
| |||||||
1,361,346 | ||||||||
|
| |||||||
Finance Companies – 4.6% |
| |||||||
1,406,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 1,215,702 | ||||||
795,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 650,389 | ||||||
190,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.750%, 6/06/2028 | 188,428 | ||||||
300,000 | AGFC Capital Trust I, 3 mo. USD LIBOR + 1.750%, 7.010%, 1/15/2067, 144A(b) | 153,582 | ||||||
612,000 | Air Lease Corp., 4.625%, 10/01/2028 | 575,210 | ||||||
985,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(c) | 822,042 | ||||||
460,000 | Aircastle Ltd., Series A (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(c) | 321,034 | ||||||
2,290,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 1,755,432 | ||||||
240,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A | 213,760 | ||||||
590,000 | Aviation Capital Group LLC, 6.250%, 4/15/2028, 144A | 588,254 | ||||||
955,000 | Aviation Capital Group LLC, 6.375%, 7/15/2030, 144A | 946,993 | ||||||
655,000 | Barings BDC, Inc., 3.300%, 11/23/2026 | 570,596 | ||||||
229,000 | FS KKR Capital Corp., 3.125%, 10/12/2028 | 186,422 | ||||||
1,100,000 | GATX Corp., 5.450%, 9/15/2033 | 1,082,286 | ||||||
1,315,000 | Navient Corp., Series A, MTN, 5.625%, 8/01/2033 | 988,880 | ||||||
70,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 60,056 | ||||||
80,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 61,600 | ||||||
175,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 148,776 | ||||||
590,000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 | 480,739 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Finance Companies – continued |
| |||||||
$1,490,000 | Owl Rock Capital Corp., 4.250%, 1/15/2026 | $ | 1,378,406 | |||||
2,135,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 1,889,475 | ||||||
1,345,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 1,130,429 | ||||||
3,345,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 2,712,318 | ||||||
1,080,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 844,819 | ||||||
655,000 | SMBC Aviation Capital Finance DAC, 5.450%, 5/03/2028, 144A | 646,090 | ||||||
|
| |||||||
19,611,718 | ||||||||
|
| |||||||
Financial Other – 0.9% |
| |||||||
630,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 149,430 | ||||||
205,000 | Central China Real Estate Ltd., 7.250%, 7/16/2024(d) | 18,503 | ||||||
200,000 | Central China Real Estate Ltd., 7.250%, 8/13/2024(d) | 16,940 | ||||||
200,000 | Central China Real Estate Ltd., 7.250%, 4/28/2025(d) | 16,100 | ||||||
200,000 | Central China Real Estate Ltd., 7.500%, 7/14/2025(d) | 15,588 | ||||||
200,000 | CIFI Holdings Group Co. Ltd., 6.000%, 7/16/2025(e) | 22,094 | ||||||
200,000 | CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024(e) | 22,464 | ||||||
600,000 | Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031 | 164,262 | ||||||
2,510,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 1,972,107 | ||||||
10,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 | 9,555 | ||||||
40,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 34,496 | ||||||
5,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.375%, 12/15/2025 | 4,648 | ||||||
1,285,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(d) | 87,457 | ||||||
200,000 | Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(d) | 13,490 | ||||||
200,000 | Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(d) | 12,986 | ||||||
1,810,000 | Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(d) | 117,813 | ||||||
400,000 | Logan Group Co. Ltd., 4.250%, 7/12/2025(d) | 37,850 | ||||||
400,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(d) | 37,851 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Financial Other – continued |
| |||||||
$155,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030, 144A | $ | 125,736 | |||||
685,000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A | 600,022 | ||||||
405,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d) | 39,848 | ||||||
425,000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026(d) | 42,428 | ||||||
200,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d) | 14,524 | ||||||
410,000 | Sunac China Holdings Ltd., 6.500%, 1/10/2025(d) | 66,162 | ||||||
230,000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026(d) | 33,630 | ||||||
445,000 | Sunac China Holdings Ltd., 7.000%, 7/09/2025(d) | 72,384 | ||||||
200,000 | Times China Holdings Ltd., 5.750%, 1/14/2027(d) | 13,263 | ||||||
400,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(d) | 26,527 | ||||||
400,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d) | 16,673 | ||||||
370,000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(d) | 15,423 | ||||||
225,000 | Yuzhou Group Holdings Co. Ltd., 8.300%, 5/27/2025(d) | 9,379 | ||||||
|
| |||||||
3,829,633 | ||||||||
|
| |||||||
Food & Beverage – 0.6% |
| |||||||
995,000 | Bacardi Ltd./Bacardi-Martini BV, 5.400%, 6/15/2033, 144A | 986,202 | ||||||
350,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A | 296,804 | ||||||
1,230,000 | Pilgrim’s Pride Corp., 3.500%, 3/01/2032 | 972,438 | ||||||
280,000 | Pilgrim’s Pride Corp., 4.250%, 4/15/2031 | 240,114 | ||||||
|
| |||||||
2,495,558 | ||||||||
|
| |||||||
Gaming – 1.1% |
| |||||||
925,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A | 747,964 | ||||||
385,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 310,854 | ||||||
1,460,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 1,452,205 | ||||||
30,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 30,037 | ||||||
710,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A | 664,192 | ||||||
575,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A | 543,214 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Gaming – continued |
| |||||||
$505,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A | $ | 487,954 | |||||
415,000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A | 412,442 | ||||||
|
| |||||||
4,648,862 | ||||||||
|
| |||||||
Government Owned - No Guarantee – 0.4% |
| |||||||
730,000 | Antares Holdings LP, 3.750%, 7/15/2027, 144A | 610,741 | ||||||
870,000 | Pertamina Persero PT, 6.450%, 5/30/2044, 144A | 898,131 | ||||||
200,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 8/05/2029 | 40,968 | ||||||
400,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030 | 81,596 | ||||||
|
| |||||||
1,631,436 | ||||||||
|
| |||||||
Health Insurance – 0.7% |
| |||||||
25,000 | Centene Corp., 2.450%, 7/15/2028 | 21,369 | ||||||
2,490,000 | Centene Corp., 2.500%, 3/01/2031 | 1,985,700 | ||||||
625,000 | Centene Corp., 2.625%, 8/01/2031 | 498,050 | ||||||
430,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A | 360,490 | ||||||
|
| |||||||
2,865,609 | ||||||||
|
| |||||||
Healthcare – 0.8% |
| |||||||
395,000 | Alcon Finance Corp., 5.375%, 12/06/2032, 144A | 400,261 | ||||||
700,000 | HCA, Inc., 4.125%, 6/15/2029 | 647,772 | ||||||
2,605,000 | HCA, Inc., 5.500%, 6/01/2033 | 2,600,576 | ||||||
|
| |||||||
3,648,609 | ||||||||
|
| |||||||
Home Construction – 0.2% |
| |||||||
1,010,000 | PulteGroup, Inc., 6.375%, 5/15/2033 | 1,045,301 | ||||||
|
| |||||||
Independent Energy – 3.5% |
| |||||||
1,385,000 | Aker BP ASA, 3.750%, 1/15/2030, 144A | 1,230,963 | ||||||
675,000 | Aker BP ASA, 5.600%, 6/13/2028, 144A | 670,087 | ||||||
1,060,000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A | 814,402 | ||||||
3,840,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 3,650,524 | ||||||
740,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 667,850 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Independent Energy – continued |
| |||||||
$965,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | $ | 843,169 | |||||
50,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 45,970 | ||||||
840,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 722,478 | ||||||
1,125,000 | EQT Corp., 3.900%, 10/01/2027 | 1,040,085 | ||||||
160,000 | EQT Corp., 5.000%, 1/15/2029 | 150,638 | ||||||
160,000 | EQT Corp., 5.700%, 4/01/2028 | 157,915 | ||||||
975,000 | EQT Corp., 7.000%, 2/01/2030 | 1,020,854 | ||||||
175,000 | Matador Resources Co., 6.875%, 4/15/2028, 144A | 173,214 | ||||||
45,000 | Occidental Petroleum Corp., 6.125%, 1/01/2031 | 45,693 | ||||||
65,000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 | 72,462 | ||||||
975,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 | 1,120,645 | ||||||
1,040,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 1,042,240 | ||||||
65,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 63,726 | ||||||
310,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 305,984 | ||||||
40,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 41,974 | ||||||
125,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 134,050 | ||||||
130,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 114,574 | ||||||
355,000 | Var Energi ASA, 7.500%, 1/15/2028, 144A | 364,844 | ||||||
705,000 | Var Energi ASA, 8.000%, 11/15/2032, 144A | 745,897 | ||||||
|
| |||||||
15,240,238 | ||||||||
|
| |||||||
Industrial Other – 0.1% |
| |||||||
395,000 | TopBuild Corp., 4.125%, 2/15/2032, 144A | 336,506 | ||||||
|
| |||||||
Leisure – 0.8% |
| |||||||
620,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | 570,766 | ||||||
395,000 | Carnival Corp., 6.000%, 5/01/2029, 144A | 352,670 | ||||||
770,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 720,384 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Leisure – continued |
| |||||||
$485,000 | NCL Corp. Ltd., 5.875%, 2/15/2027, 144A | $ | 471,580 | |||||
280,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 252,005 | ||||||
140,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A | 128,513 | ||||||
1,195,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 1,114,385 | ||||||
|
| |||||||
3,610,303 | ||||||||
|
| |||||||
Life Insurance – 2.1% |
| |||||||
1,860,000 | Athene Global Funding, 1.716%, 1/07/2025, 144A | 1,721,253 | ||||||
434,000 | Brighthouse Financial, Inc., 4.700%, 6/22/2047 | 332,138 | ||||||
1,745,000 | Brighthouse Financial, Inc., 5.625%, 5/15/2030 | 1,682,027 | ||||||
2,270,000 | MetLife, Inc., 9.250%, 4/08/2068, 144A | 2,631,664 | ||||||
1,115,000 | MetLife, Inc., 10.750%, 8/01/2069 | 1,439,130 | ||||||
1,165,000 | Penn Mutual Life Insurance Co., 6.650%, 6/15/2034, 144A | 1,196,519 | ||||||
|
| |||||||
9,002,731 | ||||||||
|
| |||||||
Lodging – 0.8% |
| |||||||
855,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A | 712,845 | ||||||
200,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A | 167,787 | ||||||
685,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 607,903 | ||||||
530,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 457,425 | ||||||
620,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 527,512 | ||||||
815,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 689,694 | ||||||
110,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 106,777 | ||||||
55,000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 54,582 | ||||||
|
| |||||||
3,324,525 | ||||||||
|
| |||||||
Media Entertainment – 1.4% |
| |||||||
540,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 407,099 | ||||||
550,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 420,585 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Media Entertainment – continued |
| |||||||
$1,510,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | $ | 1,485,981 | |||||
200,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 200,741 | ||||||
915,000 | Netflix, Inc., 5.875%, 11/15/2028 | 945,014 | ||||||
1,185,000 | Netflix, Inc., 6.375%, 5/15/2029 | 1,253,730 | ||||||
300,000 | Warnermedia Holdings, Inc., 4.054%, 3/15/2029 | 274,236 | ||||||
1,235,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032 | 1,095,291 | ||||||
|
| |||||||
6,082,677 | ||||||||
|
| |||||||
Metals & Mining – 2.4% |
| |||||||
1,910,000 | Anglo American Capital PLC, 2.875%, 3/17/2031, 144A | 1,577,007 | ||||||
940,000 | Anglo American Capital PLC, 5.500%, 5/02/2033, 144A | 918,374 | ||||||
1,430,000 | ArcelorMittal SA, 6.800%, 11/29/2032 | 1,468,120 | ||||||
2,680,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 2,614,340 | ||||||
477,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 476,406 | ||||||
430,000 | FMG Resources August 2006 Pty. Ltd., 4.375%, 4/01/2031, 144A | 367,139 | ||||||
5,000 | Freeport-McMoRan, Inc., 4.250%, 3/01/2030 | 4,608 | ||||||
2,905,000 | Glencore Funding LLC, 2.850%, 4/27/2031, 144A | 2,397,896 | ||||||
370,000 | Glencore Funding LLC, 5.700%, 5/08/2033, 144A | 367,105 | ||||||
215,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 159,895 | ||||||
|
| |||||||
10,350,890 | ||||||||
|
| |||||||
Midstream – 2.1% |
| |||||||
295,000 | Cheniere Energy Partners LP, 3.250%, 1/31/2032 | 242,682 | ||||||
1,450,000 | Cheniere Energy Partners LP, 4.000%, 3/01/2031 | 1,276,710 | ||||||
165,000 | Cheniere Energy Partners LP, 4.500%, 10/01/2029 | 151,430 | ||||||
535,000 | Cheniere Energy Partners LP, 5.950%, 6/30/2033, 144A | 536,557 | ||||||
530,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 448,586 | ||||||
10,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 9,782 | ||||||
575,000 | DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A | 590,437 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Midstream – continued |
| |||||||
$ 1,320,000 | Enbridge, Inc., 5.700%, 3/08/2033 | $ | 1,338,126 | |||||
1,040,000 | Energy Transfer LP, 5.000%, 5/15/2044 | 875,430 | ||||||
715,000 | Energy Transfer LP, 5.750%, 2/15/2033 | 719,680 | ||||||
95,000 | EnLink Midstream LLC, 6.500%, 9/01/2030, 144A | 94,895 | ||||||
550,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A | 479,875 | ||||||
285,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A | 280,369 | ||||||
95,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 101,272 | ||||||
35,000 | Targa Resources Corp., 5.200%, 7/01/2027 | 34,362 | ||||||
460,000 | Targa Resources Corp., 6.125%, 3/15/2033 | 470,023 | ||||||
395,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 | 342,568 | ||||||
100,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 92,414 | ||||||
105,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | 101,049 | ||||||
170,000 | Western Midstream Operating LP, 4.300%, 2/01/2030 | 152,634 | ||||||
405,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 338,064 | ||||||
80,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 67,582 | ||||||
55,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 45,994 | ||||||
230,000 | Western Midstream Operating LP, 5.500%, 2/01/2050 | 188,386 | ||||||
100,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | 100,789 | ||||||
|
| |||||||
9,079,696 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 1.8% |
| |||||||
710,000 | BANK, Series 2021-BN35, Class AS, 2.457%, 6/15/2064 | 548,427 | ||||||
740,000 | BPR Trust, Series 2021-NRD, Class F, 1 mo. USD SOFR + 6.870%, 11.972%, 12/15/2038, 144A(b) | 656,031 | ||||||
570,000 | BPR Trust, Series 2022-STAR, Class A, 1 mo. USD SOFR + 3.232%, 8.379%, 8/15/2024, 144A(b) | 564,968 | ||||||
122,602 | Commercial Mortgage Pass-Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A | 111,262 | ||||||
95,444 | Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A | 78,980 | ||||||
137,202 | Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(a) | 128,900 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||
$185,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A | $ | 148,981 | |||||
100,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class C, 4.336%, 9/15/2037, 144A | 76,757 | ||||||
200,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A | 144,538 | ||||||
250,572 | Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD LIBOR + 2.250%, 7.444%, 7/15/2038, 144A(b) | 243,497 | ||||||
295,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(a) | 248,464 | ||||||
315,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class B, 3.668%, 3/05/2033, 144A(a) | 273,844 | ||||||
255,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(a) | 209,499 | ||||||
1,024,102 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 3.910%, 12/15/2047, 144A(a) | 957,536 | ||||||
100,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 3.910%, 12/15/2047, 144A(a) | 88,732 | ||||||
149,284 | Med Trust, Series 2021-MDLN, Class B, 1 mo. USD LIBOR + 1.450%, 6.644%, 11/15/2038, 144A(b) | 144,040 | ||||||
398,089 | Med Trust, Series 2021-MDLN, Class C, 1 mo. USD LIBOR + 1.800%, 6.994%, 11/15/2038, 144A(b) | 383,608 | ||||||
194,069 | Med Trust, Series 2021-MDLN, Class D, 1 mo. USD LIBOR + 2.000%, 7.194%, 11/15/2038, 144A(b) | 184,940 | ||||||
535,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.284%, 8/15/2046(a) | 533,084 | ||||||
100,958 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A | 78,747 | ||||||
800,000 | RBS Commercial Funding, Inc. Trust, Series 2013-GSP, Class A, 3.961%, 1/15/2032, 144A(a) | 772,420 | ||||||
149,176 | UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A | 139,101 | ||||||
285,000 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.435%, 7/15/2046(a) | 222,515 | ||||||
275,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(a) | 228,781 | ||||||
420,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.584%, 8/15/2046(a) | 348,897 | ||||||
390,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 285,610 | ||||||
|
| |||||||
7,802,159 | ||||||||
|
| |||||||
Other REITs – 0.1% |
| |||||||
270,000 | EPR Properties, 3.600%, 11/15/2031 | 210,562 | ||||||
|
| |||||||
Paper – 0.4% |
| |||||||
350,000 | WestRock MWV LLC, 7.950%, 2/15/2031 | 396,406 | ||||||
1,035,000 | WestRock MWV LLC, 8.200%, 1/15/2030 | 1,186,763 | ||||||
|
| |||||||
1,583,169 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Pharmaceuticals – 2.0% |
| |||||||
$895,000 | Astrazeneca Finance LLC, 4.875%, 3/03/2028 | $ | 894,485 | |||||
580,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A | 345,216 | ||||||
355,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A | 150,875 | ||||||
35,000 | Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A | 14,432 | ||||||
290,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 120,350 | ||||||
390,000 | Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A | 162,973 | ||||||
40,000 | Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A | 17,000 | ||||||
65,000 | Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A | 28,105 | ||||||
915,000 | Pfizer Investment Enterprises Pte. Ltd., 4.750%, 5/19/2033 | 911,553 | ||||||
620,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 550,975 | ||||||
610,000 | Teva Pharmaceutical Finance Netherlands II BV, 7.375%, 9/15/2029, (EUR) | 677,267 | ||||||
520,000 | Teva Pharmaceutical Finance Netherlands II BV, 7.875%, 9/15/2031, (EUR) | 586,133 | ||||||
340,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 304,656 | ||||||
1,710,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 1,124,031 | ||||||
1,160,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 1,073,084 | ||||||
695,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 630,435 | ||||||
645,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 664,693 | ||||||
460,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 482,117 | ||||||
|
| |||||||
8,738,380 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.2% |
| |||||||
1,630,000 | MBIA Insurance Corp., 3 mo. USD LIBOR + 11.260%, 16.520%, 1/15/2033, 144A(b)(e) | 48,900 | ||||||
1,135,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 871,433 | ||||||
|
| |||||||
920,333 | ||||||||
|
| |||||||
Retailers – 0.5% |
| |||||||
1,025,000 | Dillard’s, Inc., 7.750%, 7/15/2026 | 1,043,604 | ||||||
1,250,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 1,089,412 | ||||||
|
| |||||||
2,133,016 | ||||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Technology – 5.8% |
| |||||||
$710,000 | Arrow Electronics, Inc., 6.125%, 3/01/2026 | $ | 708,319 | |||||
1,070,000 | Avnet, Inc., 5.500%, 6/01/2032 | 1,015,961 | ||||||
735,000 | Block, Inc., 3.500%, 6/01/2031 | 608,743 | ||||||
550,000 | Broadcom, Inc., 2.600%, 2/15/2033, 144A | 429,821 | ||||||
425,000 | Broadcom, Inc., 3.137%, 11/15/2035, 144A | 325,994 | ||||||
715,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 657,835 | ||||||
180,000 | CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026 | 161,618 | ||||||
220,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 188,503 | ||||||
70,000 | CDW LLC/CDW Finance Corp., 3.276%, 12/01/2028 | 60,819 | ||||||
1,855,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 1,565,286 | ||||||
130,000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | 119,227 | ||||||
1,820,000 | CommScope, Inc., 4.750%, 9/01/2029, 144A | 1,434,889 | ||||||
1,295,000 | Entegris Escrow Corp., 4.750%, 4/15/2029, 144A | 1,202,182 | ||||||
435,000 | Global Payments, Inc., 2.900%, 5/15/2030 | 368,696 | ||||||
530,000 | Global Payments, Inc., 2.900%, 11/15/2031 | 431,162 | ||||||
255,000 | Global Payments, Inc., 5.300%, 8/15/2029 | 248,435 | ||||||
545,000 | Global Payments, Inc., 5.400%, 8/15/2032 | 531,068 | ||||||
1,215,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | 1,087,591 | ||||||
850,000 | Leidos, Inc., 5.750%, 3/15/2033 | 844,427 | ||||||
1,320,000 | Micron Technology, Inc., 5.875%, 2/09/2033 | 1,313,404 | ||||||
3,560,000 | Micron Technology, Inc., 5.875%, 9/15/2033 | 3,527,722 | ||||||
1,480,000 | Micron Technology, Inc., 6.750%, 11/01/2029 | 1,538,447 | ||||||
290,000 | MSCI, Inc., 3.250%, 8/15/2033, 144A | 233,554 | ||||||
145,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027 | 140,170 | ||||||
315,000 | Open Text Corp., 6.900%, 12/01/2027, 144A | 320,680 | ||||||
1,270,000 | Oracle Corp., 3.950%, 3/25/2051 | 960,275 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Technology – continued |
| |||||||
$505,000 | Oracle Corp., 6.150%, 11/09/2029 | $ | 525,992 | |||||
615,000 | Sensata Technologies BV, 4.000%, 4/15/2029, 144A | 547,525 | ||||||
205,000 | SK Hynix, Inc., 6.375%, 1/17/2028, 144A | 205,858 | ||||||
995,000 | Trimble, Inc., 6.100%, 3/15/2033 | 1,008,164 | ||||||
680,000 | Verisk Analytics, Inc., 5.750%, 4/01/2033 | 711,888 | ||||||
830,000 | VMware, Inc., 2.200%, 8/15/2031 | 652,214 | ||||||
490,000 | Western Digital Corp., 2.850%, 2/01/2029 | 391,495 | ||||||
810,000 | Western Digital Corp., 4.750%, 2/15/2026 | 771,539 | ||||||
|
| |||||||
24,839,503 | ||||||||
|
| |||||||
Transportation Services – 0.2% |
| |||||||
945,000 | ERAC USA Finance LLC, 4.900%, 5/01/2033, 144A | 923,408 | ||||||
65,000 | Rand Parent LLC, 8.500%, 2/15/2030, 144A | 58,853 | ||||||
|
| |||||||
982,261 | ||||||||
|
| |||||||
Treasuries – 13.9% |
| |||||||
16,104,000,000 | Indonesia Treasury Bonds, Series FR95, 6.375%, 8/15/2028, (IDR) | 1,094,718 | ||||||
22,800,000 | Republic of South Africa Government Bonds, Series 2035, 8.875%, 2/28/2035, (ZAR) | 990,922 | ||||||
16,275,000 | U.S. Treasury Bonds, 3.250%, 5/15/2042 | 14,522,895 | ||||||
15,495,000 | U.S. Treasury Notes, 0.125%, 7/31/2023 | 15,434,936 | ||||||
9,340,000 | U.S. Treasury Notes, 0.500%, 11/30/2023 | 9,156,119 | ||||||
12,585,000 | U.S. Treasury Notes, 0.875%, 1/31/2024(f) | 12,260,051 | ||||||
6,710,000 | U.S. Treasury Notes, 1.500%, 2/29/2024 | 6,537,532 | ||||||
|
| |||||||
59,997,173 | ||||||||
|
| |||||||
Wireless – 3.1% |
| |||||||
775,000 | American Tower Corp., 5.500%, 3/15/2028 | 769,608 | ||||||
1,440,000 | Crown Castle, Inc., 5.100%, 5/01/2033 | 1,415,066 | ||||||
585,000 | IHS Holding Ltd., 5.625%, 11/29/2026, 144A | 509,184 | ||||||
935,000 | SBA Communications Corp., 3.125%, 2/01/2029 | 792,558 |
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Convertible Bonds – continued | ||||||||
Wireless – continued |
| |||||||
$600,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | $ | 518,520 | |||||
210,000 | SoftBank Group Corp., 5.250%, 7/06/2031 | 180,150 | ||||||
1,305,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 1,577,232 | ||||||
150,000 | T-Mobile USA, Inc., 2.400%, 3/15/2029 | 128,926 | ||||||
265,000 | T-Mobile USA, Inc., 2.700%, 3/15/2032 | 218,898 | ||||||
3,275,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 2,957,482 | ||||||
1,620,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 1,429,485 | ||||||
2,965,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 2,731,561 | ||||||
|
| |||||||
13,228,670 | ||||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $383,732,864) | 344,851,869 | |||||||
|
| |||||||
Convertible Bonds – 3.5% | ||||||||
Airlines – 0.3% |
| |||||||
245,000 | JetBlue Airways Corp., 0.500%, 4/01/2026 | 201,207 | ||||||
1,160,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 1,329,940 | ||||||
|
| |||||||
1,531,147 | ||||||||
|
| |||||||
Cable Satellite – 0.7% |
| |||||||
1,055,000 | DISH Network Corp., 2.375%, 3/15/2024 | 934,994 | ||||||
4,105,000 | DISH Network Corp., 3.375%, 8/15/2026 | 2,083,287 | ||||||
90,000 | DISH Network Corp., Zero Coupon, 6.944%-33.164%, 12/15/2025(g) | 47,816 | ||||||
|
| |||||||
3,066,097 | ||||||||
|
| |||||||
Consumer Cyclical Services – 0.3% |
| |||||||
90,000 | Peloton Interactive, Inc., Zero Coupon, 0.519%-0.799%, 2/15/2026(g) | 68,253 | ||||||
1,270,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-5.582%, 12/15/2025(g) | 1,164,222 | ||||||
|
| |||||||
1,232,475 | ||||||||
|
| |||||||
Electric – 0.2% |
| |||||||
1,010,000 | PPL Capital Funding, Inc., 2.875%, 3/15/2028, 144A | 964,550 | ||||||
|
| |||||||
Gaming – 0.1% |
| |||||||
215,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | 266,385 | ||||||
|
|
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Convertible Bonds – continued | ||||||||
Healthcare – 0.4% |
| |||||||
$2,405,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | $ | 1,911,975 | |||||
|
| |||||||
Leisure – 0.2% |
| |||||||
750,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 689,760 | ||||||
|
| |||||||
Media Entertainment – 0.2% |
| |||||||
605,000 | Snap, Inc., Zero Coupon, 6.697%-7.641%, 5/01/2027(g) | 447,700 | ||||||
540,000 | Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(g) | 458,730 | ||||||
|
| |||||||
906,430 | ||||||||
|
| |||||||
Pharmaceuticals – 0.8% |
| |||||||
820,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 805,460 | ||||||
2,205,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 2,216,697 | ||||||
485,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 438,149 | ||||||
|
| |||||||
3,460,306 | ||||||||
|
| |||||||
Technology – 0.3% |
| |||||||
465,000 | Splunk, Inc., 1.125%, 6/15/2027 | 401,063 | ||||||
910,000 | Unity Software, Inc., Zero Coupon, 7.084%-8.213%, 11/15/2026(g) | 726,635 | ||||||
|
| |||||||
1,127,698 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $19,273,236) | 15,156,823 | |||||||
|
| |||||||
Municipals – 0.8% | ||||||||
Virginia – 0.8% |
| |||||||
3,780,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $3,763,669) | 3,577,547 | ||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $406,769,769) | 363,586,239 | |||||||
|
| |||||||
Senior Loans – 0.3% | ||||||||
Consumer Cyclical Services – 0.1% |
| |||||||
528,675 | Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 2.750%, 8.009%, 3/03/2030(h)(i) | 528,252 | ||||||
|
| |||||||
Leisure – 0.1% |
| |||||||
159,192 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.467%, 10/18/2028(b)(j) | 157,600 |
Principal Amount (‡) | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Leisure – continued |
| |||||||
$213,897 | Carnival Corp., USD Term Loan B, 1 mo. USD SOFR + 3.000%, 8.217%, 6/30/2025(b)(j) | $ | 213,429 | |||||
|
| |||||||
371,029 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.1% |
| |||||||
320,000 | HUB International Ltd., 2023 Term Loan B, 6/20/2030(k) | 320,579 | ||||||
|
| |||||||
Total Senior Loans (Identified Cost $1,212,576) | 1,219,860 | |||||||
|
| |||||||
Collateralized Loan Obligations – 3.7% | ||||||||
555,000 | 522 Funding CLO Ltd., Series 2021-7A, Class D, 3 mo. USD LIBOR + 2.900%, 8.173%, 4/23/2034, 144A(b) | 496,959 | ||||||
1,090,000 | AIG CLO LLC, Series 2021-1A, Class D, 3 mo. USD LIBOR + 2.950%, 8.223%, 4/22/2034, 144A(b) | 1,009,094 | ||||||
1,005,000 | AIMCO CLO, Series 2017-AA, Class DR, 3 mo. USD LIBOR + 3.150%, 8.400%, 4/20/2034, 144A(b) | 931,817 | ||||||
605,000 | AIMCO CLO 12 Ltd., Series 2020-12A, Class AR, 3 mo. USD SOFR + 1.170%, 6.156%, 1/17/2032, 144A(b) | 598,724 | ||||||
1,940,000 | AIMCO CLO 14 Ltd., Series 2021-14A, Class D, 3 mo. USD LIBOR + 2.900%, 8.150%, 4/20/2034, 144A(b) | 1,797,583 | ||||||
2,100,000 | ARES XLII CLO Ltd., Series 2017-42A, Class BR, 3 mo. USD LIBOR + 1.500%, 6.773%, 1/22/2028, 144A(b) | 2,072,765 | ||||||
255,000 | Atrium XV, Series 15A, Class D, 3 mo. USD LIBOR + 3.000%, 8.273%, 1/23/2031, 144A(b) | 246,141 | ||||||
450,000 | Carlyle U.S. CLO Ltd., Series 2016-4A, Class A2R, 3 mo. USD LIBOR + 1.450%, 6.700%, 10/20/2027, 144A(b) | 445,534 | ||||||
370,000 | Carlyle U.S. CLO Ltd., Series 2018-4A, Class C, 3 mo. USD LIBOR + 2.900%, 8.150%, 1/20/2031, 144A(b) | 347,763 | ||||||
305,000 | CarVal CLO I Ltd., Series 2018-1A, Class D, 3 mo. USD LIBOR + 2.890%, 8.150%, 7/16/2031, 144A(b) | 286,025 | ||||||
503,000 | CIFC Funding Ltd., Series 2018-1A, Class D, 3 mo. USD LIBOR + 2.650%, 7.912%, 4/18/2031, 144A(b) | 468,447 | ||||||
340,000 | Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3 mo. USD LIBOR + 2.850%, 8.100%, 1/20/2034, 144A(b) | 327,421 | ||||||
365,000 | Invesco CLO Ltd., Series 2021-1A, Class D, 3 mo. USD LIBOR + 3.050% 8.310%, 4/15/2034, 144A(b) | 340,606 | ||||||
500,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3 mo. USD LIBOR + 3.000%, 8.273%, 1/23/2031, 144A(b) | 483,519 | ||||||
1,930,000 | Oaktree CLO Ltd., Series 2019-2A, Class BR, 3 mo. USD LIBOR + 2.700%, 7.960%, 4/15/2031, 144A(b) | 1,846,008 | ||||||
255,000 | OCP CLO Ltd., Series 2018-15A, Class C, 3 mo. USD LIBOR + 2.950%, 8.200%, 7/20/2031, 144A(b) | 236,338 | ||||||
1,835,000 | OZLM XXIII Ltd., Series 2019-23A, Class DR, 3 mo. USD LIBOR + 3.750%, 9.010%, 4/15/2034, 144A(b) | 1,681,700 | ||||||
250,000 | Recette CLO Ltd., Series 2015-1A, Class DRR, 3 mo. USD LIBOR + 3.250%, 8.500%, 4/20/2034, 144A(b) | 227,634 | ||||||
895,000 | Rockford Tower CLO Ltd., Series 2018-1A, Class A, 3 mo. USD LIBOR + 1.100%, 6.479%, 5/20/2031, 144A(b) | 884,924 | ||||||
470,000 | Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, 3 mo. USD LIBOR + 1.160%, 6.420%, 4/17/2034, 144A(b) | 461,143 | ||||||
575,000 | Sixth Street CLO XVIII Ltd., Series 2021-18A, Class D, 3 mo. USD LIBOR + 2.900%, 8.150%, 4/20/2034, 144A(b) | 535,152 |
Principal Amount (‡) | Description | Value (†) | ||||||
Collateralized Loan Obligations – continued | ||||||||
$410,000 | Verde CLO Ltd., Series 2019-1A, Class AR, 3 mo. USD LIBOR + 1.100%, 6.360%, 4/15/2032, 144A(b) | $ | 404,263 | |||||
|
| |||||||
Total Collateralized Loan Obligations (Identified Cost $16,943,523) | 16,129,560 | |||||||
|
| |||||||
Shares |
| |||||||
Common Stocks – 1.6% | ||||||||
Aerospace & Defense – 0.0% |
| |||||||
302 | Lockheed Martin Corp. | 139,035 | ||||||
|
| |||||||
Air Freight & Logistics – 0.1% |
| |||||||
959 | United Parcel Service, Inc., Class B | 171,901 | ||||||
|
| |||||||
Banks – 0.0% |
| |||||||
477 | JPMorgan Chase & Co. | 69,375 | ||||||
|
| |||||||
Beverages – 0.0% |
| |||||||
2,316 | Coca-Cola Co. | 139,470 | ||||||
|
| |||||||
Biotechnology – 0.1% |
| |||||||
1,247 | AbbVie, Inc. | 168,008 | ||||||
|
| |||||||
Capital Markets – 0.1% |
| |||||||
106 | BlackRock, Inc. | 73,261 | ||||||
1,195 | Morgan Stanley | 102,053 | ||||||
|
| |||||||
175,314 | ||||||||
|
| |||||||
Chemicals – 0.0% |
| |||||||
178 | Linde PLC | 67,832 | ||||||
|
| |||||||
Communications Equipment – 0.0% |
| |||||||
948 | Cisco Systems, Inc. | 49,050 | ||||||
|
| |||||||
Consumer Staples Distribution & Retail – 0.1% |
| |||||||
126 | Costco Wholesale Corp. | 67,836 | ||||||
712 | Walmart, Inc. | 111,912 | ||||||
|
| |||||||
179,748 | ||||||||
|
| |||||||
Containers & Packaging – 0.0% |
| |||||||
360 | Packaging Corp. of America | 47,578 | ||||||
|
| |||||||
Electric Utilities – 0.0% |
| |||||||
882 | Duke Energy Corp. | 79,151 | ||||||
308 | NextEra Energy, Inc. | 22,853 | ||||||
|
| |||||||
102,004 | ||||||||
|
| |||||||
Electrical Equipment – 0.0% |
| |||||||
684 | Emerson Electric Co. | 61,827 | ||||||
|
| |||||||
Financial Services – 0.0% |
| |||||||
173 | Mastercard, Inc., Class A | 68,041 | ||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Ground Transportation – 0.0% |
| |||||||
464 | Union Pacific Corp. | $ | 94,944 | |||||
|
| |||||||
Health Care Equipment & Supplies – 0.0% |
| |||||||
1,043 | Abbott Laboratories | 113,708 | ||||||
|
| |||||||
Health Care Providers & Services – 0.1% |
| |||||||
286 | Elevance Health, Inc. | 127,067 | ||||||
266 | UnitedHealth Group, Inc. | 127,850 | ||||||
|
| |||||||
254,917 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.0% |
| |||||||
1,438 | Starbucks Corp. | 142,448 | ||||||
|
| |||||||
Household Products – 0.0% |
| |||||||
976 | Procter & Gamble Co. | 148,098 | ||||||
|
| |||||||
IT Services – 0.0% |
| |||||||
332 | Accenture PLC, Class A | 102,449 | ||||||
|
| |||||||
Life Sciences Tools & Services – 0.0% |
| |||||||
174 | Thermo Fisher Scientific, Inc. | 90,784 | ||||||
|
| |||||||
Machinery – 0.1% |
| |||||||
270 | Cummins, Inc. | 66,193 | ||||||
306 | Deere & Co. | 123,988 | ||||||
|
| |||||||
190,181 | ||||||||
|
| |||||||
Media – 0.2% |
| |||||||
138,910 | Altice USA, Inc., Class A(e) | 419,508 | ||||||
4,012 | Comcast Corp., Class A | 166,699 | ||||||
34,625 | iHeartMedia, Inc., Class A(e) | 126,035 | ||||||
|
| |||||||
712,242 | ||||||||
|
| |||||||
Metals & Mining – 0.0% |
| |||||||
2,726 | Newmont Corp. | 116,291 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.5% |
| |||||||
939 | Battalion Oil Corp.(e) | 5,362 | ||||||
10,661 | Canadian Natural Resources Ltd. | 599,788 | ||||||
360 | Devon Energy Corp. | 17,402 | ||||||
5,695 | Diamondback Energy, Inc. | 748,095 | ||||||
3,445 | EOG Resources, Inc. | 394,246 | ||||||
1,569 | Pioneer Natural Resources Co. | 325,065 | ||||||
2,846 | Williams Cos., Inc. | 92,865 | ||||||
|
| |||||||
2,182,823 | ||||||||
|
| |||||||
Pharmaceuticals – 0.1% |
| |||||||
1,848 | Bristol-Myers Squibb Co. | 118,180 | ||||||
795 | Johnson & Johnson | 131,588 | ||||||
169 | Merck & Co., Inc. | 19,501 | ||||||
|
| |||||||
269,269 | ||||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Professional Services – 0.0% | ||||||||
456 | Clarivate PLC(e) | $ | 4,346 | |||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 0.1% | ||||||||
235 | Broadcom, Inc. | 203,846 | ||||||
1,719 | Microchip Technology, Inc. | 154,005 | ||||||
1,256 | QUALCOMM, Inc. | 149,514 | ||||||
|
| |||||||
507,365 | ||||||||
|
| |||||||
Software – 0.1% |
| |||||||
610 | Microsoft Corp. | 207,729 | ||||||
|
| |||||||
Specialized REITs – 0.0% |
| |||||||
609 | American Tower Corp. | 118,109 | ||||||
|
| |||||||
Specialty Retail – 0.0% |
| |||||||
391 | Home Depot, Inc. | 121,460 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.0% |
| |||||||
800 | Apple, Inc. | 155,176 | ||||||
|
| |||||||
Trading Companies & Distributors – 0.0% |
| |||||||
1,207 | Fastenal Co. | 71,201 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $9,611,183) | 7,042,723 | |||||||
|
| |||||||
Preferred Stocks – 0.7% | ||||||||
Convertible Preferred Stocks – 0.7% | ||||||||
Banking – 0.5% |
| |||||||
1,109 | Bank of America Corp., Series L, 7.250% | 1,299,549 | ||||||
834 | Wells Fargo & Co., Series L, Class A, 7.500% | 960,768 | ||||||
|
| |||||||
2,260,317 | ||||||||
|
| |||||||
Midstream – 0.1% |
| |||||||
5,333 | El Paso Energy Capital Trust I, 4.750% | 247,718 | ||||||
|
| |||||||
Technology – 0.1% |
| |||||||
8,046 | Clarivate PLC, Series A, 5.250% | 330,288 | ||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $3,751,063) | 2,838,323 | |||||||
|
| |||||||
Principal Amount (‡) | ||||||||
Short-Term Investments – 8.3% | ||||||||
$9,714,866 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $9,716,728 on 7/03/2023 collateralized by $11,460,700 U.S. Treasury Note, 0.500% due 5/31/2027 valued at $9,909,249 including accrued interest(l) | 9,714,866 | ||||||
13,345,000 | U.S. Treasury Bills, 5.205%-5.223%, 11/30/2023(m)(n) | 13,055,932 |
Principal Amount | Description | Value (†) | ||||||
$4,390,000 | U.S. Treasury Bills, 5.209%, 10/24/2023(m) | $ | 4,318,208 | |||||
8,870,000 | U.S. Treasury Bills, 5.263%, 12/28/2023(m) | 8,640,353 | ||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $35,719,470) | 35,729,359 | |||||||
|
| |||||||
Total Investments – 99.0% (Identified Cost $474,007,584) | 426,546,064 | |||||||
Other assets less liabilities – 1.0% | 4,168,973 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 430,715,037 | ||||||
|
|
(†) | 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. | ||||
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. | |||
(a) | 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 June 30, 2023 is disclosed. | |||
(b) | Variable rate security. Rate as of June 30, 2023 is disclosed. | |||
(c) | Perpetual bond with no specified maturity date. | |||
(d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |||
(e) | Non-income producing security. | |||
(f) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(g) | 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. | |||
(h) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2023. Interest rates on contracts are primarily redetermined either weekly, monthly or quarterly by reference to the indicated base lending rate and spread and the reset period. | |||
(i) | 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 0.00%, to which the spread is added. | |||
(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) | Position is unsettled. Contract rate was not determined at June 30, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. | |||
(l) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of June 30, 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. | |||
(m) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||
(n) | 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 June 30, 2023, the value of Rule 144A holdings amounted to $167,222,511 or 38.8% of net assets. | |||
ABS | Asset-Backed Securities | |||
LIBOR | London Interbank Offered Rate | |||
MTN | Medium Term Note | |||
REITs | Real Estate Investment Trusts | |||
REMIC | Real Estate Mortgage Investment Conduit | |||
SOFR | Secured Overnight Financing Rate | |||
EUR | Euro | |||
IDR | Indonesian Rupiah | |||
ZAR | South African Rand |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.
At June 30, 2023, the Fund had the following open forward foreign currency contracts:
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Bank of America N.A. | 9/20/2023 | EUR | S1,063,000 | $ | 1,151,303 | $ | 1,164,381 | $ | (13,078 | ) | ||||||||||||||
|
|
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 June 30, 2023, open long futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
CBOT 2 Year U.S. Treasury Notes Futures | 9/29/2023 | 165 | $ | 33,905,063 | $ | 33,551,719 | $ | (353,344 | ) | |||||||||||
CBOT 5 Year U.S. Treasury Notes Futures | 9/29/2023 | 306 | 33,239,990 | 32,770,688 | (469,302 | ) | ||||||||||||||
CBOT 10 Year U.S. Treasury Notes Futures | 9/20/2023 | 70 | 7,950,612 | 7,858,594 | (92,018 | ) | ||||||||||||||
CBOT U.S. Long Bond Futures | 9/20/2023 | 192 | 24,202,202 | 24,366,000 | 163,798 | |||||||||||||||
CME Ultra Long Term U.S. Treasury Bond Futures | 9/20/2023 | 229 | 30,676,052 | 31,194,094 | 518,042 | |||||||||||||||
|
| |||||||||||||||||||
Total | $ | (232,824 | ) | |||||||||||||||||
|
|
At June 30, 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 Notes Futures | 9/20/2023 | 120 | $ | 14,270,582 | $ | 14,212,500 | $ | 58,082 | ||||||||||||
|
|
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 June 30, 2023, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* | $ | — | $ | 363,586,239 | $ | — | $ | 363,586,239 | ||||||||
Senior Loans* | — | 1,219,860 | — | 1,219,860 | ||||||||||||
Collateralized Loan Obligations | — | 16,129,560 | — | 16,129,560 | ||||||||||||
Common Stocks* | 7,042,723 | — | — | 7,042,723 | ||||||||||||
Preferred Stocks* | 2,838,323 | — | — | 2,838,323 | ||||||||||||
Short-Term Investments | — | 35,729,359 | — | 35,729,359 | ||||||||||||
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Total Investments | 9,881,046 | 416,665,018 | — | 426,546,064 | ||||||||||||
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Futures Contracts (unrealized appreciation) | 739,922 | — | — | 739,922 | ||||||||||||
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Total | $ | 10,620,968 | $ | 416,665,018 | $ | — | $ | 427,285,986 | ||||||||
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Liability Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (13,078 | ) | $ | — | $ | (13,078 | ) | ||||||
Futures Contracts (unrealized depreciation) | (914,664 | ) | — | — | (914,664 | ) | ||||||||||
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Total | $ | (914,664 | ) | $ | (13,078 | ) | $ | — | $ | (927,742 | ) | |||||
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* Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
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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 June 30, 2023:
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 June 30, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2023 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
Property & Casualty Insurance | $ | 199,675 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (199,675 | ) | $ | — | $ | (199,675 | ) | ||||||||||||||||||
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A debt security valued at $199,675 was transferred from Level 3 to Level 2 during the period ended June 30, 2023. At September 30, 2022, this security was fair valued as determined by the Fund’s valuation designee as an independent pricing service did not provide a reliable price for the security. At June 30, 2023, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.
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 forward foreign currency contracts and futures contracts.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. As of June 30, 2023, the Fund engaged in forward foreign currency contracts for hedging purposes.
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. As of June 30, 2023, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of June 30, 2023:
Assets | Unrealized appreciation on futures contracts | |||
Exchange-traded asset derivatives Interest rate contracts | $ | 739,922 |
Liabilities | Unrealized depreciation on forward foreign currency contracts | Unrealized depreciation on futures contracts | ||||||
Over-the-counter liability derivatives | ||||||||
Foreign exchange contracts | $ | (13,078 | ) | $ | — | |||
Exchange-traded liability derivatives | ||||||||
Interest rate contracts | — | (914,664 | ) | |||||
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Total liability derivatives | $ | (13,078 | ) | $ | (914,664 | ) | ||
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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.
Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of June 30, 2023, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty: | Derivatives | Collateral Pledged | ||||||
Bank of America N.A. | $ | (13,078 | ) | $ | — |
Counterparty risk is managed based on policies and procedures established by each 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. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount. 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 June 30, 2023 (Unaudited)
Treasuries | 13.9 | % | ||
Banking | 6.7 | |||
Technology | 6.2 | |||
ABS Home Equity | 4.6 | |||
Finance Companies | 4.6 | |||
Cable Satellite | 4.4 | |||
ABS Car Loan | 4.0 | |||
Independent Energy | 3.5 | |||
Wireless | 3.1 | |||
Pharmaceuticals | 2.9 | |||
Metals & Mining | 2.4 | |||
Midstream | 2.2 | |||
ABS Other | 2.1 | |||
Life Insurance | 2.1 | |||
Consumer Cyclical Services | 2.0 | |||
Other Investments, less than 2% each | 22.3 | |||
Short-Term Investments | 8.3 | |||
Collateralized Loan Obligations | 3.7 | |||
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Total Investments | 99.0 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) | 1.0 | |||
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Net Assets | 100.0 | % | ||
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