PORTFOLIO OF INVESTMENTS – as of June 30, 2023 (Unaudited)
Loomis Sayles Global Bond Fund
| | | | | | | | |
Principal
Amount (‡) | | | Description | | Value (†) | |
| | Bonds and Notes – 96.2% of Net Assets | |
| | | | Australia – 2.9% | |
| | 1,820,000 | | | Australia Government Bonds, Series 164,
0.500%, 9/21/2026, (AUD) | | $ | 1,084,606 | |
| | 1,080,000 | | | Glencore Funding LLC,
2.500%, 9/01/2030, 144A | | | 884,315 | |
| | 280,000 | | | Glencore Funding LLC,
2.625%, 9/23/2031, 144A | | | 225,411 | |
| | 4,845,000 | | | New South Wales Treasury Corp., Series 26,
4.000%, 5/20/2026, (AUD) | | | 3,197,397 | |
| | 8,485,000 | | | Queensland Treasury Corp., Series 27,
2.750%, 8/20/2027, 144A, (AUD) | | | 5,328,987 | |
| | 2,720,000 | | | Rio Tinto Finance USA PLC,
5.000%, 3/09/2033 | | | 2,743,919 | |
| | | | | | | | |
| | | | | | | 13,464,635 | |
| | | | | | | | |
| | | | Belgium – 0.5% | |
| | 305,000 | | | Anheuser-Busch InBev Finance, Inc.,
4.700%, 2/01/2036 | | | 296,647 | |
| | 2,485,000 | | | Kingdom of Belgium Government Bonds, Series 88,
1.700%, 6/22/2050, 144A, (EUR) | | | 1,924,446 | |
| | | | | | | | |
| | | | | | | 2,221,093 | |
| | | | | | | | |
| | | | Brazil – 1.4% | |
| | 1,020,000 | | | Banco Santander SA,
4.625%, 1/15/2025, 144A | | | 993,698 | |
| | 22,836(††) | | | Brazil Notas do Tesouro Nacional, Series NTNF,
10.000%, 1/01/2027, (BRL) | | | 4,741,767 | |
| | 4,600(††) | | | Brazil Notas do Tesouro Nacional, Series NTNF,
10.000%, 1/01/2029, (BRL) | | | 940,648 | |
| | | | | | | | |
| | | | | | | 6,676,113 | |
| | | | | | | | |
| | | | Canada – 2.2% | |
| | 10,060,000 | | | Canada Government Bonds,
0.500%, 12/01/2030, (CAD) | | | 6,169,956 | |
| | 1,825,000 | | | Canada Government Bonds,
1.500%, 9/01/2024, (CAD) | | | 1,325,365 | |
| | 340,983 | | | CNH Capital Canada Receivables Trust, Series 2021-1A, Class A2,
1.001%, 11/16/2026, 144A, (CAD) | | | 247,240 | |
| | 5,245,000 | | | Province of Ontario, CN,
1.900%, 12/02/2051, (CAD) | | | 2,548,324 | |
| | | | | | | | |
| | | | | | | 10,290,885 | |
| | | | | | | | |
| | | | China – 5.9% | |
| | 42,910,000 | | | China Development Bank, Series 2103,
3.300%, 3/03/2026, (CNY) | | | 6,037,550 | |
| | 41,870,000 | | | China Development Bank, Series 2115,
3.120%, 9/13/2031, (CNY) | | | 5,855,347 | |
| | 38,870,000 | | | China Government Bonds, Series INBK,
1.990%, 4/09/2025, (CNY) | | | 5,326,093 | |
| | 30,390,000 | | | China Government Bonds, Series INBK,
3.270%, 11/19/2030, (CNY) | | | 4,378,714 | |
| | | | | | | | |
Principal
Amount (‡) | | | Description | | Value (†) | |
| | Bonds and Notes – continued | |
| | | | China – continued | |
| | 17,610,000 | | | China Government Bonds, Series INBK,
3.320%, 4/15/2052, (CNY) | | $ | 2,522,506 | |
| | 20,670,000 | | | China Government Bonds, Series INBK,
3.720%, 4/12/2051, (CNY) | | | 3,167,357 | |
| | | | | | | | |
| | | | | | | 27,287,567 | |
| | | | | | | | |
| | | | Colombia – 0.3% | |
| | 1,300,000 | | | Colombia Government International Bonds,
7.500%, 2/02/2034 | | | 1,270,651 | |
| | | | | | | | |
| | | | France – 2.1% | |
| | 300,000 | | | Electricite de France SA,
5.000%, 9/21/2048, 144A | | | 247,727 | |
| | 300,000 | | | Electricite de France SA, EMTN,
2.000%, 12/09/2049, (EUR) | | | 195,520 | |
| | 300,000 | | | Electricite de France SA, EMTN,
5.125%, 9/22/2050, (GBP) | | | 304,251 | |
| | 3,275,000 | | | French Republic Government Bonds OAT,
0.500%, 6/25/2044, 144A, (EUR) | | | 2,113,718 | |
| | 6,685,000 | | | French Republic Government Bonds OAT, Zero Coupon,
2.371%, 5/25/2032, (EUR)(a) | | | 5,669,567 | |
| | 1,600,000 | | | Mutuelle Assurance Des Commercants et Industriels de France et Des Cadres et Sal, (fixed rate to 3/21/2032, variable rate thereafter),
2.125%, 6/21/2052, (EUR) | | | 1,201,804 | |
| | | | | | | | |
| | | | | | | 9,732,587 | |
| | | | | | | | |
| | | | Germany – 13.0% | |
| | 7,675,000 | | | Bundesrepublik Deutschland Bundesanleihe,
Zero Coupon, 0.000%-1.110%, 8/15/2026, (EUR)(b) | | | 7,680,042 | |
| | 13,400,000 | | | Bundesrepublik Deutschland Bundesanleihe,
0.250%, 8/15/2028, (EUR) | | | 13,044,362 | |
| | 4,835,000 | | | Bundesrepublik Deutschland Bundesanleihe,
0.500%, 8/15/2027, (EUR) | | | 4,841,547 | |
| | 11,665,000 | | | Bundesrepublik Deutschland Bundesanleihe,
1.000%, 8/15/2024, (EUR) | | | 12,401,389 | |
| | 1,005,000 | | | Bundesrepublik Deutschland Bundesanleihe,
1.000%, 8/15/2025, (EUR) | | | 1,049,566 | |
| | 2,345,000 | | | Bundesrepublik Deutschland Bundesanleihe,
1.250%, 8/15/2048, (EUR) | | | 2,030,193 | |
| | 11,685,000 | | | Bundesrepublik Deutschland Bundesanleihe,Zero Coupon,
1.755%-2.224%, 2/15/2030, (EUR)(b) | | | 10,881,835 | |
| | 555,000 | | | Bundesrepublik Deutschland Bundesanleihe, Series 8,
4.750%, 7/04/2040, (EUR) | | | 791,967 | |
| | 2,660,000 | | | Bundesrepublik Deutschland Bundesanleihe, Zero Coupon,
0.308%, 8/15/2050, (EUR)(a) | | | 1,557,137 | |
| | 1,680,000 | | | Bundesrepublik Deutschland Bundesanleihe, Zero Coupon,
1.365%, 8/15/2052, (EUR)(a) | | | 937,720 | |
| | 1,805,000 | | | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter),
3.742%, 1/07/2033 | | | 1,323,733 | |
| | 815,000 | | | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter),
3.729%, 1/14/2032 | | | 616,300 | |
| | 400,000 | | | Deutsche Bank AG, EMTN, (fixed rate to 3/24/2027, variable rate thereafter),
4.000%, 6/24/2032, (EUR) | | | 382,976 | |
| | | | | | | | |
Principal
Amount (‡) | | | Description | | Value (†) | |
| | Bonds and Notes – continued | |
| | | | Germany – continued | |
| | 32,680,000 | | | Kreditanstalt fuer Wiederaufbau, EMTN,
1.250%, 8/28/2023, (NOK) | | $ | 3,029,817 | |
| | | | | | | | |
| | | | | | | 60,568,584 | |
| | | | | | | | |
| | | | Indonesia – 1.6% | |
| | 18,722,000,000 | | | Indonesia Treasury Bonds, Series FR78,
8.250%, 5/15/2029, (IDR) | | | 1,375,700 | |
| | 38,485,000,000 | | | Indonesia Treasury Bonds, Series FR87,
6.500%, 2/15/2031, (IDR) | | | 2,586,315 | |
| | 50,865,000,000 | | | Indonesia Treasury Bonds, Series FR96,
7.000%, 2/15/2033, (IDR) | | | 3,564,163 | |
| | | | | | | | |
| | | | | | | 7,526,178 | |
| | | | | | | | |
| | | | Ireland – 1.4% | |
| | 1,055,000 | | | AIB Group PLC, (fixed rate to 2/16/2028, variable rate thereafter),
5.750%, 2/16/2029, (EUR) | | | 1,185,005 | |
| | 650,000 | | | AIB Group PLC, EMTN, (fixed rate to 7/23/2028, variable rate thereafter),
4.625%, 7/23/2029, (EUR) | | | 695,855 | |
| | 400,000 | | | Bank of Ireland Group PLC, (fixed rate to 9/30/2026, variable rate thereafter),
2.029%, 9/30/2027, 144A | | | 345,754 | |
| | 1,310,000 | | | Ireland Government Bonds, Zero Coupon,
0.029%, 10/18/2031, (EUR)(a) | | | 1,136,145 | |
| | 3,205,000 | | | Ireland Government Bonds,
1.000%, 5/15/2026, (EUR) | | | 3,302,914 | |
| | | | | | | | |
| | | | | | | 6,665,673 | |
| | | | | | | | |
| | | | Israel – 0.2% | |
| | 3,425,000 | | | Israel Government Bonds, Series 330,
1.000%, 3/31/2030, (ILS) | | | 775,009 | |
| | | | | | | | |
| | | | Italy – 2.7% | |
| | 1,600,000 | | | Enel Finance International NV,
6.000%, 10/07/2039, 144A | | | 1,571,492 | |
| | 535,000 | | | Intesa Sanpaolo SpA,
6.625%, 6/20/2033, 144A | | | 533,037 | |
| | 1,260,000 | | | Intesa Sanpaolo SpA, (fixed rate to 11/21/2032, variable rate thereafter),
8.248%, 11/21/2033, 144A | | | 1,321,753 | |
| | 1,110,000 | | | Intesa Sanpaolo SpA, EMTN, (fixed rate to 3/14/2028, variable rate thereafter),
6.500%, 3/14/2029, (GBP) | | | 1,324,170 | |
| | 6,085,000 | | | Italy Buoni Poliennali Del Tesoro, Series 11Y,
1.350%, 4/01/2030, (EUR) | | | 5,682,034 | |
| | 210,000 | | | UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter),
7.296%, 4/02/2034, 144A | | | 197,867 | |
| | 370,000 | | | UniCredit SpA, (fixed rate to 6/03/2031, variable rate thereafter),
3.127%, 6/03/2032, 144A | | | 291,782 | |
| | 200,000 | | | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter),
5.459%, 6/30/2035, 144A | | | 169,730 | |
| | 1,535,000 | | | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter),
5.459%, 6/30/2035 | | | 1,302,677 | |
| | | | | | | | |
| | | | | | | 12,394,542 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount (‡) | | | Description | | Value (†) | |
| | Bonds and Notes – continued | |
| | | | Japan – 4.6% | |
| | 435,950,000 | | | Japan Government Five Year Bonds, Series 139,
0.100%, 3/20/2024, (JPY) | | $ | 3,026,347 | |
| | 389,700,000 | | | Japan Government Thirty Year Bonds, Series 26,
2.400%, 3/20/2037, (JPY) | | | 3,307,784 | |
| | 468,600,000 | | | Japan Government Thirty Year Bonds, Series 41,
1.700%, 12/20/2043, (JPY) | | | 3,649,264 | |
| | 164,800,000 | | | Japan Government Thirty Year Bonds, Series 51,
0.300%, 6/20/2046, (JPY) | | | 960,727 | |
| | 646,500,000 | | | Japan Government Thirty Year Bonds, Series 62,
0.500%, 3/20/2049, (JPY) | | | 3,801,534 | |
| | 997,300,000 | | | Japan Government Two Year Bonds, Series 436,
0.005%, 5/01/2024, (JPY) | | | 6,920,037 | |
| | | | | | | | |
| | | | | | | 21,665,693 | |
| | | | | | | | |
| | | | Korea – 2.1% | |
| | 8,400,000,000 | | | Korea Treasury Bonds, Series 3006,
1.375%, 6/10/2030, (KRW) | | | 5,469,652 | |
| | 5,200,000,000 | | | Korea Treasury Bonds, Series 3212,
4.250%, 12/10/2032, (KRW) | | | 4,132,113 | |
| | | | | | | | |
| | | | | | | 9,601,765 | |
| | | | | | | | |
| | | | Luxembourg – 1.3% | |
| | 345,000 | | | Blackstone Property Partners Europe Holdings Sarl,
3.625%, 10/29/2029, (EUR) | | | 306,822 | |
| | 1,180,000 | | | Blackstone Property Partners Europe Holdings Sarl, EMTN,
1.000%, 5/04/2028, (EUR) | | | 963,773 | |
| | 1,435,000 | | | Blackstone Property Partners Europe Holdings Sarl, EMTN,
1.750%, 3/12/2029, (EUR) | | | 1,161,448 | |
| | 1,810,000 | | | Logicor Financing Sarl, EMTN,
0.875%, 1/14/2031, (EUR) | | | 1,317,927 | |
| | 2,785,000 | | | Logicor Financing Sarl, EMTN,
1.625%, 1/17/2030, (EUR) | | | 2,238,705 | |
| | 100,000 | | | Logicor Financing Sarl, EMTN,
2.000%, 1/17/2034, (EUR) | | | 71,846 | |
| | | | | | | | |
| | | | | | | 6,060,521 | |
| | | | | | | | |
| | | | Malaysia – 0.4% | |
| | 7,770,000 | | | Malaysia Government Bonds, Series 119,
3.906%, 7/15/2026, (MYR) | | | 1,683,980 | |
| | | | | | | | |
| | | | Mexico – 1.6% | |
| | 405,000 | | | America Movil SAB de CV,
2.875%, 5/07/2030 | | | 351,975 | |
| | 996,320(†††) | | | Mexico Bonos, Series M 20,
8.500%, 5/31/2029, (MXN) | | | 5,758,540 | |
| | 1,450,000 | | | Mexico Government International Bonds,
3.500%, 2/12/2034 | | | 1,214,476 | |
| | | | | | | | |
| | | | | | | 7,324,991 | |
| | | | | | | | |
| | | | New Zealand – 1.2% | |
| | 8,975,000 | | | New Zealand Government Bonds, Series 427,
4.500%, 4/15/2027, (NZD) | | | 5,469,621 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount (‡) | | | Description | | Value (†) | |
| | Bonds and Notes – continued | |
| | | | Norway – 0.5% | |
| | $ 320,000 | | | Aker BP ASA,
3.750%, 1/15/2030, 144A | | $ | 284,410 | |
| | 1,235,000 | | | Aker BP ASA,
4.000%, 1/15/2031, 144A | | | 1,098,295 | |
| | 655,000 | | | Aker BP ASA,
6.000%, 6/13/2033, 144A | | | 655,233 | |
| | 2,000,000 | | | City of Oslo, NO,
2.300%, 3/14/2024, (NOK) | | | 182,902 | |
| | 2,000,000 | | | City of Oslo, NO,
2.350%, 9/04/2024, (NOK) | | | 180,504 | |
| | 1,000,000 | | | City of Oslo, NO,
3.650%, 11/08/2023, (NOK) | | | 92,815 | |
| | | | | | | | |
| | | | | | | 2,494,159 | |
| | | | | | | | |
| | | | Portugal – 0.1% | |
| | 435,000 | | | EDP Finance BV,
1.710%, 1/24/2028, 144A | | | 372,490 | |
| | 230,000 | | | EDP Finance BV, EMTN,
0.375%, 9/16/2026, (EUR) | | | 224,762 | |
| | | | | | | | |
| | | | | | | 597,252 | |
| | | | | | | | |
| | | | Singapore – 0.4% | |
| | 2,780,000 | | | Singapore Government Bonds,
2.125%, 6/01/2026, (SGD) | | | 1,983,659 | |
| | | | | | | | |
| | | | South Africa – 2.2% | |
| | 400,000 | | | Anglo American Capital PLC,
2.875%, 3/17/2031, 144A | | | 330,263 | |
| | 440,000 | | | Anglo American Capital PLC,
5.625%, 4/01/2030, 144A | | | 437,988 | |
| | 224,595,000 | | | Republic of South Africa Government Bonds, Series R213,
7.000%, 2/28/2031, (ZAR) | | | 9,545,250 | |
| | | | | | | | |
| | | | | | | 10,313,501 | |
| | | | | | | | |
| | | | Spain – 1.9% | |
| | 400,000 | | | Banco Santander SA,
4.250%, 4/11/2027 | | | 378,609 | |
| | 2,600,000 | | | Banco Santander SA,
5.179%, 11/19/2025 | | | 2,525,484 | |
| | 2,460,000 | | | Spain Government Bonds,
1.950%, 7/30/2030, 144A, (EUR) | | | 2,466,813 | |
| | 2,835,000 | | | Spain Government Bonds,
4.200%, 1/31/2037, 144A, (EUR) | | | 3,292,895 | |
| | | | | | | | |
| | | | | | | 8,663,801 | |
| | | | | | | | |
| | | | Supranationals – 1.1% | |
| | 2,665,000 | | | Inter-American Development Bank, Series 112,
4.400%, 1/26/2026, (CAD) | | | 1,999,831 | |
| | 36,080,000 | | | Nordic Investment Bank, EMTN,
1.500%, 3/13/2025, (NOK) | | | 3,199,320 | |
| | | | | | | | |
| | | | | | | 5,199,151 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount (‡) | | | Description | | Value (†) | |
| | Bonds and Notes – continued | |
| | | | Sweden – 0.6% | |
| | 190,000 | | | Heimstaden Bostad Treasury BV, EMTN,
1.625%, 10/13/2031, (EUR) | | $ | 120,250 | |
| | 9,900,000 | | | Kommuninvest I Sverige AB, Series 2505,
1.000%, 5/12/2025, (SEK) | | | 868,671 | |
| | 18,000,000 | | | Sweden Government Bonds, Series 1058,
2.500%, 5/12/2025, (SEK) | | | 1,640,408 | |
| | | | | | | | |
| | | | | | | 2,629,329 | |
| | | | | | | | |
| | | | Switzerland – 0.7% | |
| | 715,000 | | | UBS Group AG, (fixed rate to 5/14/2031, variable rate thereafter),
3.091%, 5/14/2032, 144A | | | 578,382 | |
| | 1,620,000 | | | UBS Group AG, EMTN,
0.650%, 9/10/2029, (EUR) | | | 1,382,878 | |
| | 460,000 | | | UBS Group AG, EMTN, (fixed rate to 4/02/2025, variable rate thereafter),
3.250%, 4/02/2026, (EUR) | | | 483,742 | |
| | 195,000 | | | UBS Group AG, EMTN,(fixed rate to 1/14/2027, variable rate thereafter),
0.650%, 1/14/2028, (EUR) | | | 182,654 | |
| | 655,000 | | | Zurich Finance Ireland Designated Activity Co., EMTN, (fixed rate to 8/23/2032, variable rate thereafter),
5.125%, 11/23/2052, (GBP) | | | 718,558 | |
| | | | | | | | |
| | | | | | | 3,346,214 | |
| | | | | | | | |
| | | | Thailand – 0.3% | |
| | 54,870,000 | | | Thailand Government Bonds,
1.600%, 12/17/2029, (THB) | | | 1,468,112 | |
| | | | | | | | |
| | | | United Kingdom – 4.0% | |
| | 1,050,000 | | | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter),
3.564%, 9/23/2035 | | | 830,876 | |
| | 92,215 | | | Brass PLC, Series 8A, Class A1,
3 mo. USD LIBOR + 0.700%, 6.018%, 11/16/2066, 144A(c) | | | 92,202 | |
| | 1,055,000 | | | Channel Link Enterprises Finance PLC, Series A8, (fixed rate to 6/20/2027, variable rate thereafter),
2.706%, 6/30/2050, (EUR) | | | 1,044,004 | |
| | 3,350,000 | | | CK Hutchison International 19 Ltd.,
3.625%, 4/11/2029, 144A | | | 3,113,417 | |
| | 95,000 | | | Lanark Master Issuer PLC, Series 2020-1A, Class 2A,
SONIA Index + 0.570%, 5.319%, 12/22/2069, 144A, (GBP)(c) | | | 120,734 | |
| | 710,000 | | | Legal & General Group PLC, (fixed rate to 11/01/2030, variable rate thereafter),
4.500%, 11/01/2050, (GBP) | | | 752,499 | |
| | 490,000 | | | Legal & General Group PLC, EMTN, (fixed rate to 11/26/2029, variable rate thereafter),
3.750%, 11/26/2049, (GBP) | | | 501,340 | |
| | 885,000 | | | National Grid Electricity Distribution South Wales PLC, EMTN,
1.625%, 10/07/2035, (GBP) | | | 706,699 | |
| | 135,000 | | | National Grid Electricity Distribution West Midlands PLC, EMTN,
5.750%, 4/16/2032, (GBP) | | | 167,262 | |
| | 630,000 | | | National Grid Electricity Transmission PLC, EMTN,
2.750%, 2/06/2035, (GBP) | | | 581,256 | |
| | 920,000 | | | U.K. Gilts,
4.250%, 6/07/2032, (GBP) | | | 1,162,224 | |
| | 2,930,000 | | | U.K. Gilts,
4.250%, 12/07/2055, (GBP) | | | 3,655,056 | |
| | | | | | | | |
Principal
Amount (‡) | | | Description | | Value (†) | |
| | Bonds and Notes – continued | |
| | | | United Kingdom – continued | |
| | 4,155,000 | | | U.K. Gilts,
4.750%, 12/07/2030, (GBP) | | $ | 5,393,571 | |
| | 205,000 | | | Virgin Money U.K. PLC, GMTN, (fixed rate to 10/29/2027, variable rate thereafter),
4.625%, 10/29/2028, (EUR) | | | 209,614 | |
| | 390,000 | | | Virgin Money U.K. PLC, GMTN, (fixed rate to 9/03/2026, variable rate thereafter),
4.000%, 9/03/2027, (GBP) | | | 432,623 | |
| | | | | | | | |
| | | | | | | 18,763,377 | |
| | | | | | | | |
| | | | United States – 39.0% | |
| | 750,000 | | | AES Corp.,
3.950%, 7/15/2030, 144A | | | 672,388 | |
| | 290,000,000 | | | Aflac, Inc.,
0.932%, 1/25/2027, (JPY) | | | 2,023,981 | |
| | 390,000,000 | | | Aflac, Inc., (fixed rate to 10/23/2027, variable rate thereafter),
2.108%, 10/23/2047, (JPY) | | | 2,741,608 | |
| | 275,000 | | | Ally Financial, Inc.,
3.875%, 5/21/2024 | | | 268,593 | |
| | 310,000 | | | Ally Financial, Inc.,
4.625%, 3/30/2025 | | | 298,427 | |
| | 105,000 | | | Ally Financial, Inc.,
5.800%, 5/01/2025 | | | 103,214 | |
| | 2,860,000 | | | Amgen, Inc.,
5.250%, 3/02/2033 | | | 2,863,648 | |
| | 1,185,000 | | | Amgen, Inc.,
5.650%, 3/02/2053 | | | 1,200,056 | |
| | 1,680,399 | | | Apollo Aviation Securitization Equity Trust, Series 2021-2A, Class A,
2.798%, 1/15/2047, 144A | | | 1,425,818 | |
| | 4,125,000 | | | AT&T, Inc.,
2.250%, 2/01/2032 | | | 3,276,485 | |
| | 2,325,000 | | | AT&T, Inc.,
3.650%, 6/01/2051 | | | 1,706,829 | |
| | 700,000 | | | AT&T, Inc.,
5.400%, 2/15/2034 | | | 701,202 | |
| | 165,000 | | | Boeing Co.,
2.196%, 2/04/2026 | | | 151,438 | |
| | 85,000 | | | Boeing Co.,
2.250%, 6/15/2026 | | | 77,328 | |
| | 10,000 | | | Boeing Co.,
3.250%, 2/01/2035 | | | 8,108 | |
| | 120,000 | | | Boeing Co.,
3.550%, 3/01/2038 | | | 93,353 | |
| | 40,000 | | | Boeing Co.,
3.625%, 3/01/2048 | | | 28,383 | |
| | 210,000 | | | Boeing Co.,
3.750%, 2/01/2050 | | | 157,689 | |
| | 195,000 | | | Boeing Co.,
3.825%, 3/01/2059 | | | 139,256 | |
| | 235,000 | | | Boeing Co.,
3.850%, 11/01/2048 | | | 173,257 | |
| | 390,000 | | | Boeing Co.,
3.900%, 5/01/2049 | | | 298,116 | |
| | 175,000 | | | Boeing Co.,
3.950%, 8/01/2059 | | | 129,242 | |
| | | | | | | | |
Principal
Amount (‡) | | | Description | | Value (†) | |
| | Bonds and Notes – continued | |
| | | | United States – continued | |
| | $ 1,385,000 | | | BPR Trust, Series 2022-OANA, Class A,
1 mo. USD SOFR + 1.898%, 7.045%, 4/15/2037, 144A(c) | | $ | 1,343,453 | |
| | 803,000 | | | Broadcom, Inc.,
2.450%, 2/15/2031, 144A | | | 653,081 | |
| | 479,000 | | | Broadcom, Inc.,
3.187%, 11/15/2036, 144A | | | 362,006 | |
| | 410,000 | | | Broadcom, Inc.,
3.419%, 4/15/2033, 144A | | | 342,866 | |
| | 215,000 | | | Centene Corp.,
2.450%, 7/15/2028 | | | 183,773 | |
| | 2,870,000 | | | Centene Corp.,
2.500%, 3/01/2031 | | | 2,288,739 | |
| | 2,566,000 | | | Centene Corp.,
4.625%, 12/15/2029 | | | 2,361,841 | |
| | 135,000 | | | CF Industries, Inc.,
4.950%, 6/01/2043 | | | 116,864 | |
| | 380,000 | | | CF Industries, Inc.,
5.150%, 3/15/2034 | | | 363,526 | |
| | 285,000 | | | CF Industries, Inc.,
5.375%, 3/15/2044 | | | 259,509 | |
| | 155,000 | | | Charter Communications Operating LLC/Charter Communications Operating Capital,
2.300%, 2/01/2032 | | | 117,335 | |
| | 2,000,000 | | | Charter Communications Operating LLC/Charter Communications Operating Capital,
2.800%, 4/01/2031 | | | 1,609,321 | |
| | 210,000 | | | Charter Communications Operating LLC/Charter Communications Operating Capital,
4.800%, 3/01/2050 | | | 158,445 | |
| | 1,440,000 | | | Charter Communications Operating LLC/Charter Communications Operating Capital,
5.050%, 3/30/2029 | | | 1,373,137 | |
| | 2,930,000 | | | Citigroup, Inc., Series MPLE,
4.090%, 6/09/2025, (CAD) | | | 2,135,146 | |
| | 120,000 | | | Comcast Corp.,
4.250%, 1/15/2033 | | | 113,996 | |
| | 505,000 | | | Comcast Corp.,
4.650%, 2/15/2033 | | | 501,321 | |
| | 1,100,000 | | | Continental Resources, Inc.,
2.875%, 4/01/2032, 144A | | | 845,135 | |
| | 947,000 | | | Continental Resources, Inc.,
4.375%, 1/15/2028 | | | 889,318 | |
| | 580,000 | | | Continental Resources, Inc.,
5.750%, 1/15/2031, 144A | | | 551,381 | |
| | 600,000,000 | | | Corning, Inc.,
0.698%, 8/09/2024, (JPY) | | | 4,150,830 | |
| | 2,840,000 | | | CVS Health Corp.,
5.300%, 6/01/2033 | | | 2,835,589 | |
| | 1,690,000 | | | Digital Dutch Finco BV,
1.000%, 1/15/2032, (EUR) | | | 1,299,742 | |
| | 865,000 | | | Energy Transfer LP,
5.300%, 4/15/2047 | | | 752,351 | |
| | 830,000 | | | EQT Corp.,
3.625%, 5/15/2031, 144A | | | 713,877 | |
| | | | | | | | |
Principal
Amount (‡) | | | Description | | Value (†) | |
| | Bonds and Notes – continued | |
| | | | United States – continued | |
| | $ 580,000 | | | EQT Corp.,
5.000%, 1/15/2029 | | $ | 546,064 | |
| | 6,421,625 | | | Federal Home Loan Mortgage Corp.,
2.500%, 12/01/2051 | | | 5,453,739 | |
| | 23,063,989 | | | Federal National Mortgage Association,
2.000%, with various maturities from 2051 to 2052(d) | | | 18,855,779 | |
| | 5,050,836 | | | Federal National Mortgage Association,
2.500%, 5/01/2052 | | | 4,288,109 | |
| | 9,291,416 | | | Federal National Mortgage Association,
3.000%, with various maturities from 2046 to 2051(d) | | | 8,185,877 | |
| | 4,970,193 | | | Federal National Mortgage Association,
3.500%, with various maturities from 2045 to 2052(d) | | | 4,547,574 | |
| | 5,934,998 | | | Federal National Mortgage Association,
4.000%, with various maturities from 2048 to 2050(d) | | | 5,646,256 | |
| | 8,105,163 | | | Federal National Mortgage Association,
4.500%, with various maturities from 2043 to 2052(d) | | | 7,808,201 | |
| | 2,897,653 | | | Federal National Mortgage Association,
5.000%, 8/01/2052 | | | 2,846,636 | |
| | 585,000 | | | Ferguson Finance PLC,
3.250%, 6/02/2030, 144A | | | 507,627 | |
| | 980,000 | | | Ford Motor Credit Co. LLC,
7.200%, 6/10/2030 | | | 989,026 | |
| | 270,000 | | | Freeport-McMoRan, Inc.,
4.250%, 3/01/2030 | | | 248,815 | |
| | 65,000 | | | HCA, Inc.,
3.625%, 3/15/2032, 144A | | | 56,420 | |
| | 5,060,000 | | | HCA, Inc.,
2.375%, 7/15/2031 | | | 4,046,669 | |
| | 805,000 | | | HCA, Inc.,
5.500%, 6/01/2033 | | | 803,633 | |
| | 1,709,519 | | | Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1,
6.250%, 11/25/2059, 144A(e) | | | 1,695,354 | |
| | 1,462,809 | | | Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1,
5.882%, 10/25/2059, 144A(e) | | | 1,436,212 | |
| | 55,000 | | | Lennar Corp.,
4.750%, 5/30/2025 | | | 53,739 | |
| | 420,000 | | | Lennar Corp.,
5.000%, 6/15/2027 | | | 411,490 | |
| | 2,211,354 | | | Navigator Aircraft ABS Ltd., Series 2021-1, Class A,
2.771%, 11/15/2046, 144A(e) | | | 1,920,428 | |
| | 1,310,000 | | | Oracle Corp.,
5.550%, 2/06/2053 | | | 1,268,529 | |
| | 145,000 | | | Ovintiv, Inc.,
6.250%, 7/15/2033 | | | 143,018 | |
| | 472,000 | | | Ovintiv, Inc.,
6.500%, 8/15/2034 | | | 473,016 | |
| | 265,000 | | | Ovintiv, Inc.,
6.500%, 2/01/2038 | | | 259,804 | |
| | 195,000 | | | Ovintiv, Inc.,
7.200%, 11/01/2031 | | | 204,621 | |
| | 932,000 | | | Ovintiv, Inc.,
7.375%, 11/01/2031 | | | 999,479 | |
| | 1,475,000 | | | Pfizer Investment Enterprises Pte. Ltd.,
4.750%, 5/19/2033 | | | 1,469,443 | |
| | | | | | | | |
Principal
Amount (‡) | | | Description | | Value (†) | |
| | Bonds and Notes – continued | |
| | | | United States – continued | |
| | $ 1,365,000 | | | Pfizer Investment Enterprises Pte. Ltd.,
5.300%, 5/19/2053 | | $ | 1,419,165 | |
| | 530,000,000 | | | Prologis Yen Finance LLC,
0.972%, 9/25/2028, (JPY) | | | 3,636,925 | |
| | 1,533,039 | | | PRPM LLC, Series 2021-1, Class A1,
2.115%, 1/25/2026, 144A(e) | | | 1,428,559 | |
| | 881,806 | | | PRPM LLC, Series 2021-10, Class A1,
2.487%, 10/25/2026, 144A(e) | | | 821,198 | |
| | 593,000 | | | PulteGroup, Inc.,
5.000%, 1/15/2027 | | | 584,223 | |
| | 305,000 | | | Santander Holdings USA, Inc.,
3.244%, 10/05/2026 | | | 274,607 | |
| | 625,000 | | | T-Mobile USA, Inc.,
3.300%, 2/15/2051 | | | 438,431 | |
| | 350,000 | | | T-Mobile USA, Inc.,
3.400%, 10/15/2052 | | | 249,780 | |
| | 2,020,000 | | | T-Mobile USA, Inc.,
3.875%, 4/15/2030 | | | 1,860,963 | |
| | 840,000 | | | T-Mobile USA, Inc.,
4.375%, 4/15/2040 | | | 741,798 | |
| | 2,570,000 | | | T-Mobile USA, Inc.,
5.050%, 7/15/2033 | | | 2,523,479 | |
| | 1,585,000 | | | Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A,
1 mo. USD SOFR + 2.186%, 7.333%, 5/15/2037, 144A(c) | | | 1,539,441 | |
| | 5,774,000 | | | U.S. Treasury Bonds,
1.625%, 11/15/2050 | | | 3,585,744 | |
| | 6,510,000 | | | U.S. Treasury Bonds,
1.875%, 2/15/2041 | | | 4,727,633 | |
| | 8,075,000 | | | U.S. Treasury Bonds,
2.875%, 5/15/2043(f) | | | 6,754,296 | |
| | 11,780,750 | | | U.S. Treasury Inflation-Indexed Notes,
0.625%, 7/15/2032(g) | | | 10,824,945 | |
| | 2,900,000 | | | U.S. Treasury Notes,
3.500%, 2/15/2033 | | | 2,824,781 | |
| | 3,525,000 | | | U.S. Treasury Notes,
3.625%, 5/31/2028 | | | 3,447,891 | |
| | 731,852 | | | United Airlines Pass-Through Trust, Series 2016-1, Class B,
3.650%, 7/07/2027 | | | 673,669 | |
| | 864,809 | | | United Airlines Pass-Through Trust, Series 2016-2, Class B,
3.650%, 4/07/2027 | | | 803,459 | |
| | 6,030,000 | | | UnitedHealth Group, Inc.,
4.500%, 4/15/2033 | | | 5,873,238 | |
| | 2,568,028 | | | Vericrest Opportunity Loan Transferee, Series 2021-NP11, Class A1,
1.868%, 8/25/2051, 144A(e) | | | 2,326,997 | |
| | 350,000 | | | Verizon Communications, Inc.,
2.850%, 9/03/2041 | | | 248,929 | |
| | 1,885,000 | | | VMware, Inc.,
2.200%, 8/15/2031 | | | 1,481,233 | |
| | 2,251,589 | | | VOLT XCIII LLC, Series 2021-NPL2, Class A1,
1.893%, 2/27/2051, 144A(e) | | | 2,035,365 | |
| | 988,242 | | | VOLT XCVII LLC, Series 2021-NPL6, Class A1,
2.240%, 4/25/2051, 144A(e) | | | 900,079 | |
| | | | | | | | |
| | | | | | | 182,053,387 | |
| | | | | | | | |
| | | | Total Bonds and Notes
(Identified Cost $505,173,842) | | | 448,192,030 | |
| | | | | | | | |
| | | | | | | | |
Principal
Amount (‡) | |
| | Short-Term Investments – 1.2% | |
| | $5,680,537 | | | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $5,681,625 on 7/03/2023 collateralized by $6,104,500 U.S. Treasury Note, 2.750% due 4/30/2027 valued at $5,794,195 including accrued interest(h)
(Identified Cost $5,680,537) | | $ | 5,680,537 | |
| | | | | | | | |
| | | | Total Investments – 97.4%
(Identified Cost $510,854,379) | | | 453,872,567 | |
| | | | Other assets less liabilities – 2.6% | | | 12,308,801 | |
| | | | | | | | |
| | | | Net Assets – 100.0% | | $ | 466,181,367 | |
| | | | | | | | |
| | |
| (†) | | 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. Broker-dealer bid prices may be used to fair value debt and unlisted equities 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, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. |
| (‡) | | Principal Amount stated in U.S. dollars unless otherwise noted. |
| (††) | | Amount shown represents units. One unit represents a principal amount of 1,000. |
| (†††) | | Amount shown represents units. One unit represents a principal amount of 100. |
| (a) | | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
| (b) | | 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. |
| | |
| (c) | | Variable rate security. Rate as of June 30, 2023 is disclosed. |
| (d) | | The Fund’s investment in mortgage related securities of Federal National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. |
| (e) | | 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. |
| (f) | | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
| (g) | | Treasury Inflation Protected Security (TIPS). |
| (h) | | 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. |
| |
| 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 $50,817,764 or 10.9% of net assets. |
| |
| ABS | | Asset-Backed Securities |
| EMTN | | Euro Medium Term Note |
| GMTN | | Global Medium Term Note |
| LIBOR | | London Interbank Offered Rate |
| SOFR | | Secured Overnight Financing Rate |
| SONIA | | Sterling Overnight Index |
| AUD | | Australian Dollar |
| BRL | | Brazilian Real |
| CAD | | Canadian Dollar |
| CHF | | Swiss Franc |
| CNH | | Chinese Yuan Renminbi Offshore |
| CNY | | Chinese Yuan Renminbi |
| EUR | | Euro |
| GBP | | British Pound |
| IDR | | Indonesian Rupiah |
| ILS | | Israeli Shekel |
| JPY | | Japanese Yen |
| KRW | | South Korean Won |
| MXN | | Mexican Peso |
| MYR | | Malaysian Ringgit |
| NOK | | Norwegian Krone |
| NZD | | New Zealand Dollar |
| PLN | | Polish Zloty |
| SEK | | Swedish Krona |
| SGD | | Singapore Dollar |
| THB | | Thai Baht |
| 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. | | | 9/05/2023 | | | BRL | | S | | | 25,224,000 | | | $ | 4,962,424 | | | $ | 5,209,310 | | | $ | (246,886 | ) |
Bank of America N.A. | | | 9/20/2023 | | | KRW | | S | | | 6,336,197,000 | | | | 4,952,668 | | | | 4,828,406 | | | | 124,262 | |
Barclays Bank PLC | | | 9/21/2023 | | | SGD | | S | | | 1,520,000 | | | | 1,133,837 | | | | 1,127,224 | | | | 6,613 | |
BNP Paribas SA | | | 9/20/2023 | | | CNH | | B | | | 24,106,000 | | | | 3,401,631 | | | | 3,336,490 | | | | (65,141 | ) |
BNP Paribas SA | | | 9/20/2023 | | | GBP | | S | | | 3,795,000 | | | | 4,822,580 | | | | 4,820,674 | | | | 1,906 | |
BNP Paribas SA | | | 7/27/2023 | | | NZD | | S | | | 8,127,000 | | | | 5,020,576 | | | | 4,987,077 | | | | 33,499 | |
Citibank N.A. | | | 9/20/2023 | | | ZAR | | S | | | 118,801,000 | | | | 6,404,194 | | | | 6,263,369 | | | | 140,825 | |
Goldman Sachs Bank USA | | | 9/20/2023 | | | MXN | | S | | | 72,882,000 | | | | 4,161,309 | | | | 4,196,392 | | | | (35,083 | ) |
HSBC Bank USA N.A. | | | 9/20/2023 | | | CAD | | B | | | 5,511,000 | | | | 4,153,415 | | | | 4,165,020 | | | | 11,605 | |
HSBC Bank USA N.A. | | | 9/20/2023 | | | CAD | | S | | | 5,511,000 | | | | 4,195,820 | | | | 4,165,020 | | | | 30,800 | |
HSBC Bank USA N.A. | | | 9/21/2023 | | | CAD | | S | | | 2,542,000 | | | | 1,935,376 | | | | 1,921,183 | | | | 14,193 | |
HSBC Bank USA N.A. | | | 9/20/2023 | | | SGD | | B | | | 1,834,000 | | | | 1,376,123 | | | | 1,360,030 | | | | (16,093 | ) |
HSBC Bank USA N.A. | | | 9/20/2023 | | | SGD | | S | | | 1,834,000 | | | | 1,368,167 | | | | 1,360,030 | | | | 8,137 | |
Morgan Stanley Capital Services LLC | | | 9/20/2023 | | | JPY | | B | | | 3,285,152,000 | | | | 23,962,770 | | | | 23,039,890 | | | | (922,880 | ) |
Standard Chartered Bank | | | 9/20/2023 | | | EUR | | S | | | 10,574,000 | | | | 11,456,030 | | | | 11,582,471 | | | | (126,441 | ) |
UBS AG | | | 9/20/2023 | | | AUD | | S | | | 5,290,000 | | | | 3,583,287 | | | | 3,531,535 | | | | 51,752 | |
UBS AG | | | 9/20/2023 | | | CHF | | B | | | 2,330,000 | | | | 2,614,928 | | | | 2,624,243 | | | | 9,315 | |
UBS AG | | | 9/20/2023 | | | IDR | | S | | | 82,626,616,000 | | | | 5,546,900 | | | | 5,507,707 | | | | 39,193 | |
UBS AG | | | 9/20/2023 | | | SEK | | S | | | 7,374,000 | | | | 694,685 | | | | 686,212 | | | | 8,473 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | | | | $ | (931,951 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
At June 30, 2023, the Fund had the following open forward cross currency contracts: | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Settlement
Date | | | Deliver/Units
of Currency | | | Receive/Units
of Currency | | | Notional
Value | | | Unrealized
Appreciation
(Depreciation) | |
Barclays Bank PLC | | | 9/20/2023 | | | | EUR | | | | 1,214,503 | | | | PLN | | | | 5,502,000 | | | $ | 1,348,108 | | | $ | 17,775 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Settlement
Date | | | Deliver/Units
of Currency | | | Receive/Units
of Currency | | | Notional
Value | | | Unrealized
Appreciation
(Depreciation) | |
HSBC Bank USA N.A. | | | 9/20/2023 | | | | NOK | | | | 70,143,000 | | | | EUR | | | | 6,076,038 | | | $ | 6,655,526 | | | $ | 103,137 | |
UBS AG | | | 9/20/2023 | | | | ZAR | | | | 24,015,000 | | | | EUR | | | | 1,184,960 | | | | 1,297,973 | | | | 31,866 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | | | | | | | | | $ | 152,778 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | | 94 | | | $ | 19,334,421 | | | $ | 19,114,312 | | | $ | (220,109 | ) |
CBOT 5 Year U.S. Treasury Notes Futures | | | 9/29/2023 | | | | 173 | | | | 18,794,149 | | | | 18,527,219 | | | | (266,930 | ) |
CBOT 10 Year U.S. Treasury Notes Futures | | | 9/20/2023 | | | | 23 | | | | 2,612,344 | | | | 2,582,109 | | | | (30,235 | ) |
CME Ultra Long Term U.S. Treasury Bond Futures | | | 9/20/2023 | | | | 50 | | | | 6,697,828 | | | | 6,810,938 | | | | 113,110 | |
Eurex 10 Year Euro BUND Futures | | | 9/07/2023 | | | | 42 | | | | 6,150,963 | | | | 6,129,360 | | | | (21,603 | ) |
Eurex 30 Year Euro BUXL Futures | | | 9/07/2023 | | | | 4 | | | | 594,317 | | | | 609,326 | | | | 15,009 | |
Long Gilt Futures | | | 9/27/2023 | | | | 13 | | | | 1,581,511 | | | | 1,573,402 | | | | (8,109 | ) |
Ultra 10 Year U.S. Treasury Notes Futures | | | 9/20/2023 | | | | 29 | | | | 3,440,349 | | | | 3,434,688 | | | | (5,661 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | $ | (424,528 | ) |
| | | | | | | | | | | | | | | | | | | | |
|
At June 30, 2023, open short futures contracts were as follows: | |
| | | | | | | | | | | | | | | | | | | | |
Financial Futures | | Expiration
Date | | | Contracts | | | Notional
Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
CBOT U.S. Long Bond Futures | | | 9/20/2023 | | | | 89 | | | $ | 11,228,080 | | | $ | 11,294,656 | | | $ | (66,576 | ) |
Eurex 5 Year Euro BOBL Futures | | | 9/07/2023 | | | | 83 | | | | 10,612,825 | | | | 10,479,812 | | | | 133,013 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | | | | | | $ | 66,437 | |
| | | | | | | | | | | | | | | | | | | | |
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* | | $ | — | | | $ | 448,192,030 | | | $ | — | | | $ | 448,192,030 | |
Short-Term Investments | | | — | | | | 5,680,537 | | | | — | | | | 5,680,537 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | — | | | | 453,872,567 | | | | — | | | | 453,872,567 | |
| | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts (unrealized appreciation) | | | — | | | | 633,351 | | | | — | | | | 633,351 | |
Futures Contracts (unrealized appreciation) | | | 261,132 | | | | — | | | | — | | | | 261,132 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 261,132 | | | $ | 454,505,918 | | | $ | — | | | $ | 454,767,050 | |
| | | | | | | | | | | | | | | | |
|
Liability Valuation Inputs | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Forward Foreign Currency Contracts (unrealized depreciation) | | $ | — | | | $ | (1,412,524 | ) | | $ | — | | | $ | (1,412,524 | ) |
Futures Contracts (unrealized depreciation) | | | (619,223 | ) | | | — | | | | — | | | | (619,223 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (619,223 | ) | | $ | (1,412,524 | ) | | $ | — | | | $ | (2,031,747 | ) |
| | | | | | | | | | | | | | | | |
| * | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
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 and to gain exposure to foreign currencies.
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 forward foreign currency contracts | | | Unrealized
appreciation
on futures contracts | |
Over-the-counter asset derivatives | | | | | | | | |
Foreign exchange contracts | | $ | 633,351 | | | $ | — | |
Exchange-traded asset derivatives | | | | | | | | |
Interest rate contracts | | | — | | | | 261,132 | |
| | | | | | | | |
Total asset derivatives | | $ | 633,351 | | | $ | 261,132 | |
| | | | | | | | |
| | |
Liabilities | | Unrealized depreciation on forward foreign currency contracts | | | Unrealized
depreciation
on futures contracts | |
Over-the-counter liability derivatives | | | | | | | | |
Foreign exchange contracts | | $ | (1,412,524 | ) | | $ | — | |
Exchange-traded liability derivatives | | | | | | | | |
Interest rate contracts | | | — | | | | (619,223 | ) |
| | | | | | | | |
Total liability derivatives | | $ | (1,412,524 | ) | | $ | (619,223 | ) |
| | | | | | | | |
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. | | $ | (122,624 | ) | | $ | 300,000 | |
BNP Paribas SA | | | (29,736 | ) | | | — | |
Goldman Sachs Bank USA | | | (35,083 | ) | | | — | |
Morgan Stanley Capital Services LLC | | | (922,880 | ) | | | 752,955 | |
Standard Chartered Bank | | | (126,441 | ) | | | 310,000 | |
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 | | | 46.8 | % |
Mortgage Related | | | 12.3 | |
Banking | | | 4.5 | |
Government Owned—No Guarantee | | | 3.8 | |
Local Authorities | | | 2.5 | |
ABS Home Equity | | | 2.3 | |
Health Insurance | | | 2.3 | |
Other Investments, less than 2% each | | | 21.7 | |
Short-Term Investments | | | 1.2 | |
| | | | |
Total Investments | | | 97.4 | |
Other assets less liabilities (including forward foreign currency and futures contracts) | | | 2.6 | |
| | | | |
Net Assets | | | 100.0 | % |
| | | | |
Currency Exposure Summary at June 30, 2023 (Unaudited)
| | | | |
United States Dollar | | | 42.9 | % |
Euro | | | 20.1 | |
Japanese Yen | | | 7.3 | |
Yuan Renminbi | | | 5.9 | |
British Pound | | | 3.5 | |
Canadian Dollar | | | 3.1 | |
South Korean Won | | | 2.1 | |
Australian Dollar | | | 2.0 | |
South African Rand | | | 2.0 | |
Other, less than 2% each | | | 8.5 | |
| | | | |
Total Investments | | | 97.4 | |
Other assets less liabilities (including forward foreign currency and futures contracts) | | | 2.6 | |
| | | | |
Net Assets | | | 100.0 | % |
| | | | |
