PORTFOLIO OF INVESTMENTS – as of September 30, 2021 (Unaudited)
Loomis Sayles Strategic Alpha Fund
Principal | Description | Value (†) | ||||||
Bonds and Notes – 80.8% of Net Assets |
| |||||||
Non-Convertible Bonds – 77.0% |
| |||||||
ABS Car Loan – 4.0% |
| |||||||
$ 2,590,000 | American Credit Acceptance Receivables Trust, Series 2020-3, Class D, 2.400%, 6/15/2026, 144A(a) | $ | 2,648,573 | |||||
2,660,000 | American Credit Acceptance Receivables Trust, Series 2020-4, Class D, 1.770%, 12/14/2026, 144A(a) | 2,697,611 | ||||||
1,210,000 | Avid Automobile Receivables Trust, Series 2019-1, Class C, 3.140%, 7/15/2026, 144A(a) | 1,239,203 | ||||||
1,035,000 | Avid Automobile Receivables Trust, Series 2019-1, Class D, 4.030%, 7/15/2026, 144A | 1,060,925 | ||||||
330,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2018-1A, Class C, 4.730%, 9/20/2024, 144A(a) | 348,551 | ||||||
1,165,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class C, 4.240%, 9/22/2025, 144A | 1,244,536 | ||||||
1,565,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class B, 2.680%, 8/20/2026, 144A(a) | 1,628,311 | ||||||
1,200,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class B, 2.960%, 2/20/2027, 144A(a) | 1,264,130 | ||||||
1,800,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027, 144A | 1,948,533 | ||||||
1,785,000 | California Republic Auto Receivables Trust, Series 2018-1, Class D, 4.330%, 4/15/2025(a) | 1,842,488 | ||||||
135,000 | CarMax Auto Owner Trust, Series 2018-1, Class D, 3.370%, 7/15/2024(a) | 136,500 | ||||||
1,435,000 | CarMax Auto Owner Trust, Series 2018-2, Class D, 3.990%, 4/15/2025(a) | 1,467,294 | ||||||
1,125,000 | CarMax Auto Owner Trust, Series 2018-4, Class D, 4.150%, 4/15/2025(a) | 1,170,116 | ||||||
2,350,000 | CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025(a) | 2,445,967 | ||||||
4,745,000 | Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C, 3.940%, 6/15/2028, 144A(a) | 4,844,776 | ||||||
1,180,000 | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A(a) | 1,203,892 | ||||||
1,330,000 | Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026(a) | 1,369,560 | ||||||
1,655,000 | DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A(a) | 1,708,132 | ||||||
1,110,000 | DT Auto Owner Trust, Series 2020-3A, Class D, 1.840%, 6/15/2026, 144A | 1,128,705 | ||||||
1,265,000 | Exeter Automobile Receivables Trust, Series 2020-2A, Class D, 4.730%, 4/15/2026, 144A(a) | 1,343,909 | ||||||
800,000 | Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025(a) | 807,856 | ||||||
635,000 | First Investors Auto Owner Trust, Series 2019-2A, Class D, 2.800%, 12/15/2025, 144A(a) | 650,096 | ||||||
1,475,000 | First Investors Auto Owner Trust, Series 2019-2A, Class E, 3.880%, 1/15/2026, 144A | 1,522,740 | ||||||
3,305,000 | Flagship Credit Auto Trust, Series 2019-2, Class D, 3.530%, 5/15/2025, 144A(a) | 3,440,236 | ||||||
5,030,000 | GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A(a) | 5,180,508 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Car Loan – continued |
| |||||||
$ 4,540,000 | GLS Auto Receivables Trust, Series 2020-3A, Class C, 1.920%, 5/15/2025, 144A(a) | $ | 4,605,317 | |||||
910,000 | Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026, 144A | 933,397 | ||||||
985,000 | Prestige Auto Receivables Trust, Series 2020-1A, Class E, 3.670%, 2/15/2028, 144A | 1,014,546 | ||||||
4,140,000 | Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025(a) | 4,252,767 | ||||||
3,210,000 | Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028(a) | 3,445,759 | ||||||
1,140,000 | Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026(a) | 1,163,599 | ||||||
1,675,000 | Westlake Automobile Receivables Trust, Series 2020-3A, Class D, 1.650%, 2/17/2026, 144A(a) | 1,699,238 | ||||||
|
| |||||||
61,457,771 | ||||||||
|
| |||||||
ABS Credit Card – 0.7% |
| |||||||
775,000 | Brex Commercial Charge Card Master Trust, Series 2021-1, Class A, 2.090%, 7/15/2024, 144A(a) | 783,062 | ||||||
2,845,000 | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A, 1.540%, 3/20/2026, 144A(a) | 2,852,972 | ||||||
6,995,000 | World Financial Network Credit Card Master Trust, Series 2019-C, Class M, 2.710%, 7/15/2026(a) | 7,144,323 | ||||||
|
| |||||||
10,780,357 | ||||||||
|
| |||||||
ABS Home Equity – 5.8% |
| |||||||
166,880 | Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a) | 171,873 | ||||||
181,624 | Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a) | 186,858 | ||||||
300,426 | Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025 | 304,235 | ||||||
300,000 | American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(a) | 321,188 | ||||||
2,170,000 | American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a) | 2,380,964 | ||||||
1,200,000 | American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(a) | 1,328,239 | ||||||
3,138,000 | American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A(a) | 3,439,512 | ||||||
318,126 | Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033(a) | 330,840 | ||||||
368,828 | Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035(a) | 400,637 | ||||||
206,556 | Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034 | 205,883 | ||||||
2,752,098 | CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059, 144A(a)(b) | 2,762,382 | ||||||
1,750,271 | Citigroup Mortgage Loan Trust, Series 2019-B, Class A1, 3.258%, 4/25/2066, 144A(a)(b) | 1,763,367 | ||||||
3,485,516 | Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(a)(b) | 3,490,989 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Home Equity – continued |
| |||||||
$ 819,035 | Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2, 1-month LIBOR + 2.050%, 2.136%, 1/25/2040, 144A(c) | $ | 823,404 | |||||
1,830,000 | CoreVest American Finance Ltd., Series 2019-2, Class B, 3.424%, 6/15/2052, 144A(a) | 1,949,771 | ||||||
245,000 | CoreVest American Finance Trust, Series 2020-2, Class C, 4.861%, 5/15/2052, 144A(a)(b) | 277,323 | ||||||
1,340,000 | CoreVest American Finance Trust, Series 2020-4, Class C, 2.250%, 12/15/2052, 144A | 1,315,180 | ||||||
334,469 | Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a) | 348,399 | ||||||
529,103 | Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034 | 552,405 | ||||||
39,984 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.550%, 9/20/2034(a)(b) | 40,379 | ||||||
2,264,478 | Credit Suisse Mortgage Trust, Series 2019-RP10, Class A1, 2.986%, 12/26/2059, 144A(a)(b) | 2,277,741 | ||||||
1,572,212 | Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(a)(b) | 1,590,359 | ||||||
2,394,605 | Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a)(b) | 2,403,977 | ||||||
130,676 | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033(a) | 139,799 | ||||||
408,200 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%, 0.747%, 9/19/2045(c) | 309,355 | ||||||
1,064,771 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 2.286%, 1/25/2030(c) | 1,088,088 | ||||||
1,715,000 | FirstKey Homes Trust, Series 2020-SFR1, Class E, 2.791%, 8/17/2037, 144A | 1,740,188 | ||||||
4,165,000 | FirstKey Homes Trust, Series 2020-SFR2, Class E, 2.668%, 10/19/2037, 144A(a) | 4,221,592 | ||||||
109,660 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-DNA1, Class M2, 1-month LIBOR + 1.800%, 1.886%, 7/25/2030(c) | 110,547 | ||||||
3,210,941 | GCAT LLC, Series 2020-4, Class A1, 2.611%, 12/25/2025, 144A(a)(b) | 3,221,248 | ||||||
320,036 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a)(b) | 328,219 | ||||||
268,984 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/19/2041, 144A | 267,038 | ||||||
442,111 | IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 1.306%, 9/25/2034(c) | 425,487 | ||||||
1,952,385 | IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.420%, 0.506%, 2/25/2046(c) | 1,572,484 | ||||||
811,695 | JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034 | 851,947 | ||||||
183,484 | Legacy Mortgage Asset Trust, Series 2019-GS2, Class A1, 3.750%, 1/25/2059, 144A(a)(b) | 183,636 | ||||||
1,912,835 | Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(a)(b) | 1,925,734 | ||||||
2,152,766 | Legacy Mortgage Asset Trust, Series 2019-GS4, Class A1, 3.438%, 5/25/2059, 144A(a)(b) | 2,154,910 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Home Equity – continued |
| |||||||
$ 1,742,914 | Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(a)(b) | $ | 1,749,780 | |||||
1,171,280 | Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A(a) | 1,190,164 | ||||||
330,760 | Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.520%, 0.606%, 2/25/2046(c) | 306,456 | ||||||
181,107 | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 2.750%, 5/25/2034(a)(b) | 184,692 | ||||||
218,714 | MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(a) | 225,948 | ||||||
210,281 | MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(a) | 217,935 | ||||||
210,416 | MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(a) | 217,838 | ||||||
603,219 | MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034 | 623,711 | ||||||
32,803 | Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A, 2.068%, 5/25/2036(a)(b) | 33,638 | ||||||
245,000 | Mill City Mortgage Trust, Series 2021-NMR1, Class M2, 2.500%, 11/25/2060, 144A(a)(b) | 253,069 | ||||||
302,736 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035 | 256,963 | ||||||
596,973 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035 | 626,626 | ||||||
2,803,000 | Progress Residential Trust, Series 2019-SFR1, Class E, 4.466%, 8/17/2035, 144A(a) | 2,829,300 | ||||||
1,005,000 | Progress Residential Trust, Series 2019-SFR3, Class D, 2.871%, 9/17/2036, 144A(a) | 1,014,747 | ||||||
785,000 | Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A | 781,449 | ||||||
795,000 | Progress Residential Trust, Series 2021-SFR2, Class E2, 2.647%, 4/19/2038, 144A | 796,863 | ||||||
570,000 | Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A(a) | 569,304 | ||||||
470,000 | Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A | 470,440 | ||||||
930,000 | Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038, 144A | 921,397 | ||||||
400,000 | Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038, 144A | 394,893 | ||||||
585,000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A | 584,206 | ||||||
415,000 | Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A | 408,025 | ||||||
4,835,398 | PRPM LLC, Series 2020-5, Class A1, 3.104%, 11/25/2025, 144A(a)(b) | 4,864,819 | ||||||
1,420,089 | PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(a)(b) | 1,424,359 | ||||||
2,863,216 | PRPM LLC, Series 2021-3, Class A1, 1.867%, 4/25/2026, 144A(a)(b) | 2,890,869 | ||||||
3,710,153 | PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026, 144A(b) | 3,743,411 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Home Equity – continued |
| |||||||
$ 2,274,401 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 0.396%, 7/25/2035(c) | $ | 1,659,862 | |||||
655,000 | Towd Point Mortgage Trust, Series 2018-5, Class M1, 3.250%, 7/25/2058, 144A(a)(b) | 682,501 | ||||||
1,040,000 | Tricon American Homes, Series 2020-SFR1, Class E, 3.544%, 7/17/2038, 144A | 1,074,224 | ||||||
1,170,000 | Tricon American Homes Trust, Series 2020-SFR2, Class E1, 2.730%, 11/17/2039, 144A | 1,181,795 | ||||||
891,855 | VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(b) | 894,272 | ||||||
1,268,186 | VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(a)(b) | 1,268,213 | ||||||
3,473,538 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(a)(b) | 3,484,418 | ||||||
1,648,961 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(a)(b) | 1,650,476 | ||||||
2,228,309 | VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(a)(b) | 2,229,638 | ||||||
|
| |||||||
88,912,478 | ||||||||
|
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ABS Other – 4.1% |
| |||||||
610,744 | Accelerated Assets LLC, Series 2018-1, Class B, 4.510%, 12/02/2033, 144A(a) | 629,911 | ||||||
995,000 | Affirm Asset Securitization Trust, Series 2021-A, Class C, 1.660%, 8/15/2025, 144A | 999,834 | ||||||
2,218,114 | AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b) | 815,989 | ||||||
350,000 | Ascentium Equipment Receivables Trust, Series 2017-2A, Class C, 2.870%, 8/10/2022, 144A(a) | 351,367 | ||||||
884,730 | Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)(b) | 888,304 | ||||||
638,966 | Castlelake Aircraft Structured Trust, Series 2017-1R, Class A, 2.741%, 8/15/2041, 144A | 640,467 | ||||||
5,547,679 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A(a) | 5,476,404 | ||||||
206,001 | Diamond Resorts Owner Trust, Series 2017-1A, Class C, 6.070%, 10/22/2029, 144A | 208,542 | ||||||
782,366 | Diamond Resorts Owner Trust, Series 2018-1, Class C, 4.530%, 1/21/2031, 144A(a) | 803,096 | ||||||
1,016,806 | Diamond Resorts Owner Trust, Series 2019-1, Class B, 3.530%, 2/20/2032, 144A(a) | 1,044,254 | ||||||
305,000 | Freedom Financial Trust, Series 2021-2, Class C, 1.940%, 6/19/2028, 144A | 306,588 | ||||||
3,410,000 | GCA2014 Holdings Ltd., Series 2014-1, Class E, 1/05/2030, 144A(d)(e)(f)(g)(h) | 46,117 | ||||||
362,725 | Hilton Grand Vacations Trust, Series 2018-AA, Class C, 4.000%, 2/25/2032, 144A(a) | 377,170 | ||||||
975,000 | HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A(a) | 994,823 | ||||||
5,900,000 | HPEFS Equipment Trust, Series 2020-2A, Class D, 2.790%, 7/22/2030, 144A(a) | 6,088,108 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Other – continued |
| |||||||
$ 700,000 | HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A(a) | $ | 698,227 | |||||
2,047,720 | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A(a) | 2,036,805 | ||||||
1,070,558 | MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A(a) | 1,079,571 | ||||||
1,399,962 | MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A | 1,307,401 | ||||||
310,000 | Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031, 144A | 311,673 | ||||||
351,492 | MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A(a) | 371,331 | ||||||
319,160 | MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A(a) | 325,627 | ||||||
3,120,000 | OneMain Financial Issuance Trust, Series 2015-3A, Class B, 4.160%, 11/20/2028, 144A(a) | 3,124,650 | ||||||
3,230,000 | OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A(a) | 3,246,105 | ||||||
1,110,000 | OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A(a) | 1,153,833 | ||||||
1,020,000 | OneMain Financial Issuance Trust, Series 2020-2A, Class C, 2.760%, 9/14/2035, 144A(a) | 1,057,757 | ||||||
810,000 | OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036, 144A | 816,386 | ||||||
3,980,000 | Republic Finance Issuance Trust, Series 2019-A, Class A, 3.430%, 11/22/2027, 144A(a) | 4,013,845 | ||||||
3,818,409 | S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A(a) | 3,787,090 | ||||||
1,421,782 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C, 3.510%, 7/20/2037, 144A(a) | 1,458,493 | ||||||
1,063,152 | SLAM Ltd., Series 2021-1A, Class B, 3.422%, 6/15/2046, 144A | 1,076,909 | ||||||
257,764 | SoFi Consumer Loan Program Trust, Series 2018-1, Class B, 3.650%, 2/25/2027, 144A(a) | 260,370 | ||||||
458,224 | SoFi Consumer Loan Program Trust, Series 2018-2, Class B, 3.790%, 4/26/2027, 144A(a) | 460,888 | ||||||
793,921 | SoFi Consumer Loan Program Trust, Series 2018-4, Class C, 4.170%, 11/26/2027, 144A(a) | 805,177 | ||||||
2,886,199 | SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037, 144A(a) | 2,912,870 | ||||||
520,080 | Sprite Ltd., Series 2017-1, Class A, 4.250%, 12/15/2037, 144A(a) | 516,589 | ||||||
1,021,957 | Sprite Ltd., Series 2017-1, Class B, 5.750%, 12/15/2037, 144A | 906,694 | ||||||
390,542 | Textainer Marine Containers VII Ltd., Series 2020-1A, Class A, 2.730%, 8/21/2045, 144A(a) | 395,829 | ||||||
2,678,827 | Textainer Marine Containers VII Ltd., Series 2021-1A, Class A, 1.680%, 2/20/2046, 144A(a) | 2,637,481 | ||||||
4,101,542 | TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A(a) | 4,012,332 | ||||||
2,024,594 | Wave Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A(a) | 1,994,605 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Other – continued |
| |||||||
$ 592,669 | Willis Engine Structured Trust IV, Series 2018-A, Class A, 4.750%, 9/15/2043, 144A(a)(b) | $ | 593,667 | |||||
781,241 | Willis Engine Structured Trust V, Series 2020-A, Class A, 3.228%, 3/15/2045, 144A(a) | 775,507 | ||||||
|
| |||||||
61,808,686 | ||||||||
|
| |||||||
ABS Student Loan – 1.0% |
| |||||||
630,000 | Commonbond Student Loan Trust, Series 2021-AGS, Class B, 1.400%, 3/25/2052, 144A(a) | 630,106 | ||||||
1,754,499 | Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041, 144A(a) | 1,795,586 | ||||||
1,035,000 | Navient Private Education Refi Loan Trust, Series 2018-A, Class B, 3.680%, 2/18/2042, 144A(a) | 1,059,282 | ||||||
3,410,000 | Navient Private Education Refi Loan Trust, Series 2019-FA, Class B, 3.120%, 8/15/2068, 144A(a) | 3,497,088 | ||||||
695,000 | Navient Private Education Refi Loan Trust, Series 2019-GA, Class B, 3.080%, 10/15/2068, 144A(a) | 715,241 | ||||||
320,000 | Navient Private Education Refi Loan Trust, Series 2020-DA, Class B, 3.330%, 5/15/2069, 144A | 335,658 | ||||||
1,290,000 | Navient Private Education Refi Loan Trust, Series 2020-FA, Class B, 2.690%, 7/15/2069, 144A(a) | 1,327,896 | ||||||
518,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 3.585%, 6/15/2032(a)(c) | 518,191 | ||||||
1,507,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day ARS, 3.584%, 3/15/2033(a)(c) | 1,507,747 | ||||||
161,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 3.583%, 3/15/2033(a)(c) | 161,080 | ||||||
800,000 | SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A(a) | 834,000 | ||||||
751,937 | SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 0.834%, 10/15/2035, 144A(a)(c) | 754,729 | ||||||
190,000 | SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A(a) | 205,625 | ||||||
510,000 | SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A(a) | 540,763 | ||||||
400,049 | SoFi Professional Loan Program LLC, Series 2016-A, Class B, 3.570%, 1/26/2038, 144A(a) | 403,148 | ||||||
125,000 | SoFi Professional Loan Program LLC, Series 2016-C, Class B, 3.350%, 5/25/2037, 144A(a)(b) | 126,457 | ||||||
1,350,000 | SoFi Professional Loan Program Trust, Series 2020-A, Class BFX, 3.120%, 5/15/2046, 144A(a) | 1,381,933 | ||||||
|
| |||||||
15,794,530 | ||||||||
|
| |||||||
ABS Whole Business – 2.0% |
| |||||||
4,048,669 | Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A(a) | 4,260,232 | ||||||
975,150 | Arbys Funding LLC, Series 2020-1A, Class A2, 3.237%, 7/30/2050, 144A | 1,011,255 | ||||||
2,268,700 | DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A(a) | 2,464,516 | ||||||
2,927,810 | Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A(a) | 3,142,697 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
ABS Whole Business – continued |
| |||||||
$ 98,500 | Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A | $ | 105,841 | |||||
3,501,225 | Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A21, 2.662%, 4/25/2051, 144A(a) | 3,600,716 | ||||||
1,250,550 | Hardee’s Funding LLC, Series 2020-1A, Class A2, 3.981%, 12/20/2050, 144A(a) | 1,332,565 | ||||||
1,339,570 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2I, 4.262%, 9/05/2048, 144A | 1,340,439 | ||||||
3,021,188 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A | 3,070,805 | ||||||
2,542,575 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A(a) | 2,673,862 | ||||||
4,037,688 | Wendy’s Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A(a) | 4,267,008 | ||||||
1,007,100 | Wendy’s Funding LLC, Series 2019-1A, Class A2II, 4.080%, 6/15/2049, 144A(a) | 1,087,791 | ||||||
1,451,363 | Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A | 1,463,503 | ||||||
895,500 | Wingstop Funding LLC, Series 2020-1A, Class A2, 2.841%, 12/05/2050, 144A | 921,101 | ||||||
|
| |||||||
30,742,331 | ||||||||
|
| |||||||
Aerospace & Defense – 2.8% |
| |||||||
6,430,000 | Boeing Co. (The), 2.196%, 2/04/2026(a) | 6,477,401 | ||||||
1,635,000 | Boeing Co. (The), 2.250%, 6/15/2026(a) | 1,661,913 | ||||||
700,000 | Boeing Co. (The), 2.950%, 2/01/2030(a) | 713,722 | ||||||
70,000 | Boeing Co. (The), 3.100%, 5/01/2026 | 73,988 | ||||||
1,065,000 | Boeing Co. (The), 3.375%, 6/15/2046(a) | 1,025,499 | ||||||
90,000 | Boeing Co. (The), 3.625%, 3/01/2048 | 88,357 | ||||||
2,135,000 | Boeing Co. (The), 3.750%, 2/01/2050(a) | 2,164,570 | ||||||
375,000 | Boeing Co. (The), 3.825%, 3/01/2059(a) | 367,860 | ||||||
325,000 | Boeing Co. (The), 3.850%, 11/01/2048(a) | 331,152 | ||||||
1,420,000 | Boeing Co. (The), 3.900%, 5/01/2049(a) | 1,461,749 | ||||||
135,000 | Boeing Co. (The), 3.950%, 8/01/2059(a) | 138,550 | ||||||
1,870,000 | Boeing Co. (The), 5.150%, 5/01/2030(a) | 2,194,800 | ||||||
8,950,000 | Boeing Co. (The), 5.805%, 5/01/2050(a) | 11,930,085 | ||||||
1,220,000 | Boeing Co. (The), 5.930%, 5/01/2060(a) | 1,666,612 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Aerospace & Defense – continued |
| |||||||
$ 1,340,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 | $ | 1,410,350 | |||||
895,000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 | 952,065 | ||||||
2,550,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A(a) | 3,029,145 | ||||||
305,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 | 302,712 | ||||||
2,580,000 | Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A | 2,731,575 | ||||||
3,010,000 | TransDigm, Inc., 6.250%, 3/15/2026, 144A | 3,137,925 | ||||||
|
| |||||||
41,860,030 | ||||||||
|
| |||||||
Airlines – 0.7% |
| |||||||
640,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A | 672,800 | ||||||
735,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A | 791,963 | ||||||
6,225,716 | United Airlines Pass Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029(a) | 6,146,774 | ||||||
672,660 | United Airlines Pass Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027(a) | 711,701 | ||||||
585,000 | United Airlines, Inc., 4.375%, 4/15/2026, 144A | 600,356 | ||||||
880,000 | United Airlines, Inc., 4.625%, 4/15/2029, 144A | 909,436 | ||||||
|
| |||||||
9,833,030 | ||||||||
|
| |||||||
Automotive – 1.9% |
| |||||||
1,775,000 | Allison Transmission, Inc., 3.750%, 1/30/2031, 144A | 1,726,187 | ||||||
7,625,000 | American Honda Finance Corp., MTN, 0.750%, 8/09/2024 | 7,622,599 | ||||||
330,000 | General Motors Co., 5.200%, 4/01/2045(a) | 401,856 | ||||||
2,530,000 | General Motors Co., 5.400%, 4/01/2048(a) | 3,137,090 | ||||||
2,905,000 | General Motors Co., 5.950%, 4/01/2049(a) | 3,828,555 | ||||||
1,825,000 | General Motors Financial Co., Inc., 1.050%, 3/08/2024(a) | 1,832,905 | ||||||
1,455,000 | General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(i) | 1,589,529 | ||||||
470,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(i) | 541,088 | ||||||
7,600,000 | Toyota Motor Credit Corp., 0.625%, 9/13/2024 | 7,583,204 | ||||||
|
| |||||||
28,263,013 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Banking – 6.3% |
| |||||||
$ 345,000 | Ally Financial, Inc., 3.875%, 5/21/2024 | $ | 371,124 | |||||
2,000,000 | Ally Financial, Inc., 5.750%, 11/20/2025 | 2,286,896 | ||||||
3,520,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(i) | 3,663,792 | ||||||
2,400,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(i) | 2,508,000 | ||||||
44,570,000 | Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 38.125%, 11/07/2022, 144A, (ARS)(c) | 241,522 | ||||||
21,970,000 | Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS) | 98,403 | ||||||
1,200,000 | Banco Santander S.A., 2.749%, 12/03/2030(a) | 1,194,054 | ||||||
6,000,000 | Banco Santander S.A., (fixed rate to 6/30/2023, variable rate thereafter), 0.701%, 6/30/2024 | 6,010,973 | ||||||
7,280,000 | Bank of America Corp., MTN, (fixed rate to 6/14/2023, variable rate thereafter), 0.523%, 6/14/2024(a) | 7,276,924 | ||||||
7,290,000 | Bank of Nova Scotia (The), 0.650%, 7/31/2024 | 7,277,616 | ||||||
3,265,000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(i) | 3,262,715 | ||||||
4,460,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035(a) | 4,627,133 | ||||||
685,000 | BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A(a) | 688,733 | ||||||
215,000 | CFLD Cayman Investment Ltd., 6.920%, 6/16/2022(j) | 89,283 | ||||||
1,330,000 | Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025(a) | 1,334,307 | ||||||
1,430,000 | Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A(a) | 1,519,172 | ||||||
4,180,000 | Deutsche Bank AG, (fixed rate to 1/14/2031, variable rate thereafter), 3.729%, 1/14/2032 | 4,315,786 | ||||||
5,995,000 | Deutsche Bank AG, (fixed rate to 4/01/2024, variable rate thereafter), 1.447%, 4/01/2025(a) | 6,036,406 | ||||||
1,270,000 | Deutsche Bank AG, (fixed rate to 5/28/2031, variable rate thereafter), 3.035%, 5/28/2032 | 1,288,553 | ||||||
1,265,000 | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031(a) | 1,349,909 | ||||||
7,370,000 | JPMorgan Chase & Co., (fixed rate to 8/09/2024, variable rate thereafter), 0.768%, 8/09/2025 | 7,340,051 | ||||||
7,290,000 | KeyBank NA, (fixed rate to 6/14/2023, variable rate thereafter), 0.433%, 6/14/2024 | 7,286,363 | ||||||
7,275,000 | Morgan Stanley, GMTN, (fixed rate to 1/22/2024, variable rate thereafter), 0.791%, 1/22/2025 | 7,274,672 | ||||||
6,615,000 | Royal Bank of Canada, 1.200%, 4/27/2026(a) | 6,574,099 | ||||||
5,195,000 | Societe Generale S.A., (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A(a) | 5,383,437 | ||||||
3,550,000 | Standard Chartered PLC, (fixed rate to 11/18/2030, variable rate thereafter), 3.265%, 2/18/2036, 144A(a) | 3,521,966 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Banking – continued |
| |||||||
$ 1,100,000 | Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A(a) | $ | 1,268,850 | |||||
2,255,000 | UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A(a) | 2,292,760 | ||||||
|
| |||||||
96,383,499 | ||||||||
|
| |||||||
Brokerage – 0.1% |
| |||||||
1,415,000 | Owl Rock Technology Finance Corp., 2.500%, 1/15/2027 | 1,420,485 | ||||||
|
| |||||||
Building Materials – 1.1% |
| |||||||
1,712,000 | Builders FirstSource, Inc., 6.750%, 6/01/2027, 144A | 1,814,720 | ||||||
7,070,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 7,074,242 | ||||||
3,360,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A | 3,608,808 | ||||||
1,725,000 | Cemex SAB de CV, 5.450%, 11/19/2029, 144A | 1,869,469 | ||||||
1,720,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(i) | 1,751,837 | ||||||
|
| |||||||
16,119,076 | ||||||||
|
| |||||||
Cable Satellite – 2.6% |
| |||||||
5,670,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A | 5,767,297 | ||||||
1,805,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A | 1,788,078 | ||||||
1,585,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A | 1,635,276 | ||||||
1,050,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032 | 1,081,500 | ||||||
310,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A | 334,800 | ||||||
14,425,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.400%, 12/01/2061 | 15,001,423 | ||||||
1,610,000 | CSC Holdings LLC, 4.125%, 12/01/2030, 144A | 1,579,813 | ||||||
2,710,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 2,569,012 | ||||||
1,060,000 | CSC Holdings LLC, 6.500%, 2/01/2029, 144A | 1,147,927 | ||||||
2,155,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 2,111,447 | ||||||
1,355,000 | Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A | 1,415,975 | ||||||
110,000 | Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A | 118,938 | ||||||
1,660,000 | Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A | 1,702,289 | ||||||
1,725,000 | Ziggo BV, 4.875%, 1/15/2030, 144A | 1,777,526 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Cable Satellite – continued |
| |||||||
$ 1,372,000 | Ziggo BV, 5.500%, 1/15/2027, 144A | $ | 1,418,305 | |||||
|
| |||||||
39,449,606 | ||||||||
|
| |||||||
Chemicals – 0.8% |
| |||||||
1,045,000 | Alpek SAB de CV, 3.250%, 2/25/2031, 144A | 1,055,460 | ||||||
2,230,000 | Ashland LLC, 3.375%, 9/01/2031, 144A | 2,249,512 | ||||||
2,115,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A | 2,250,360 | ||||||
1,335,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A | 1,518,563 | ||||||
210,000 | INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A | 212,100 | ||||||
2,865,000 | Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A(a) | 2,886,316 | ||||||
730,000 | SPCM S.A., 3.125%, 3/15/2027, 144A | 730,876 | ||||||
645,000 | SPCM S.A., 3.375%, 3/15/2030, 144A | 644,500 | ||||||
|
| |||||||
11,547,687 | ||||||||
|
| |||||||
Construction Machinery – 0.8% |
| |||||||
3,670,000 | Caterpillar Financial Services Corp., MTN, 0.600%, 9/13/2024 | 3,668,781 | ||||||
2,730,000 | John Deere Capital Corp., MTN, 0.625%, 9/10/2024 | 2,731,249 | ||||||
5,460,000 | United Rentals North America, Inc., 4.000%, 7/15/2030 | 5,664,750 | ||||||
|
| |||||||
12,064,780 | ||||||||
|
| |||||||
Consumer Cyclical Services – 2.6% |
| |||||||
1,205,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 1,217,725 | ||||||
7,420,000 | Expedia Group, Inc., 3.250%, 2/15/2030(a) | 7,673,798 | ||||||
1,475,000 | Expedia Group, Inc., 3.800%, 2/15/2028 | 1,600,859 | ||||||
250,000 | Expedia Group, Inc., 4.625%, 8/01/2027 | 283,420 | ||||||
2,460,000 | Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.500%, 3/01/2029, 144A | 2,438,475 | ||||||
2,255,000 | TriNet Group, Inc., 3.500%, 3/01/2029, 144A | 2,260,638 | ||||||
515,000 | Uber Technologies, Inc., 7.500%, 5/15/2025, 144A | 548,990 | ||||||
11,700,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 11,780,437 | ||||||
680,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 729,293 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Consumer Cyclical Services – continued |
| |||||||
$ 5,440,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | $ | 5,939,800 | |||||
5,160,000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A | 5,453,475 | ||||||
|
| |||||||
39,926,910 | ||||||||
|
| |||||||
Consumer Products – 0.2% |
| |||||||
930,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A(a) | 926,931 | ||||||
1,605,000 | Natura Cosmeticos S.A., 4.125%, 5/03/2028, 144A | 1,624,661 | ||||||
|
| |||||||
2,551,592 | ||||||||
|
| |||||||
Diversified Manufacturing – 0.1% |
| |||||||
1,515,000 | General Electric Co., 3.625%, 5/01/2030(a) | 1,683,464 | ||||||
|
| |||||||
Electric – 1.4% |
| |||||||
5,295,000 | Calpine Corp., 3.750%, 3/01/2031, 144A | 5,096,438 | ||||||
1,165,000 | Calpine Corp., 5.125%, 3/15/2028, 144A | 1,179,835 | ||||||
5,205,000 | Edison International, Series A, (fixed rate to 3/15/2026, variable rate thereafter), 5.375%(i) | 5,382,230 | ||||||
480,000 | NRG Energy, Inc., 5.250%, 6/15/2029, 144A | 510,600 | ||||||
1,075,000 | NRG Energy, Inc., 5.750%, 1/15/2028 | 1,143,531 | ||||||
1,785,000 | Pacific Gas & Electric Co., 3.500%, 8/01/2050 | 1,623,342 | ||||||
2,135,000 | Pacific Gas & Electric Co., 4.300%, 3/15/2045 | 2,106,371 | ||||||
255,000 | Pacific Gas & Electric Co., 4.950%, 7/01/2050 | 271,287 | ||||||
605,000 | Southern California Edison Co., 3.650%, 2/01/2050(a) | 618,102 | ||||||
170,000 | Southern California Edison Co., 4.000%, 4/01/2047(a) | 182,299 | ||||||
215,000 | Southern California Edison Co., Series C, 4.125%, 3/01/2048(a) | 234,276 | ||||||
2,870,000 | Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A(a) | 3,026,671 | ||||||
|
| |||||||
21,374,982 | ||||||||
|
| |||||||
Finance Companies – 5.3% |
| |||||||
905,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027(a) | 961,315 | ||||||
2,430,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028(a) | 2,608,889 | ||||||
1,140,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.500%, 7/15/2025(a) | 1,321,718 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Finance Companies – continued |
| |||||||
$ 5,165,000 | Air Lease Corp., 3.125%, 12/01/2030(a) | $ | 5,291,338 | |||||
2,755,000 | Air Lease Corp., 3.375%, 7/01/2025(a) | 2,925,680 | ||||||
2,630,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(i) | 2,751,638 | ||||||
6,000,000 | Aircastle Ltd., 4.250%, 6/15/2026(a) | 6,559,021 | ||||||
855,000 | Aircastle Ltd., (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(i) | 874,922 | ||||||
5,555,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 5,627,317 | ||||||
875,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A(a) | 871,839 | ||||||
1,480,000 | Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A(a) | 1,658,726 | ||||||
5,205,000 | FS KKR Capital Corp., 3.400%, 1/15/2026(a) | 5,438,607 | ||||||
5,755,000 | GE Capital Funding LLC, 4.400%, 5/15/2030(a) | 6,668,431 | ||||||
1,170,000 | General Motors Financial Co., Inc., Series B, (fixed rate to 9/30/2028, variable rate thereafter), 6.500%(i) | 1,319,175 | ||||||
90,000 | Navient Corp., 5.875%, 10/25/2024 | 96,075 | ||||||
1,125,000 | Oaktree Specialty Lending Corp., 2.700%, 1/15/2027 | 1,128,572 | ||||||
5,000 | OneMain Finance Corp., 6.875%, 3/15/2025 | 5,619 | ||||||
1,595,000 | OneMain Finance Corp., 8.875%, 6/01/2025 | 1,730,575 | ||||||
4,160,000 | Owl Rock Capital Corp., 3.400%, 7/15/2026(a) | 4,332,359 | ||||||
2,840,000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 | 2,834,699 | ||||||
5,865,000 | Rocket Mortgage LLC, 5.250%, 1/15/2028, 144A | 6,319,537 | ||||||
7,610,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 7,436,492 | ||||||
2,575,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 2,603,969 | ||||||
4,810,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 4,852,088 | ||||||
5,080,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 5,041,900 | ||||||
|
| |||||||
81,260,501 | ||||||||
|
| |||||||
Financial Other – 1.7% |
| |||||||
540,000 | Agile Group Holdings Ltd., 5.500%, 4/21/2025 | 506,992 | ||||||
425,000 | Agile Group Holdings Ltd., 5.500%, 5/17/2026 | 392,104 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Financial Other – continued |
| |||||||
$ 430,000 | Agile Group Holdings Ltd., 5.750%, 1/02/2025 | $ | 404,038 | |||||
1,540,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 1,449,740 | ||||||
6,355,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027, 144A | 6,283,888 | ||||||
375,000 | CFLD Cayman Investment Ltd., 8.050%, 1/13/2025(j) | 156,319 | ||||||
225,000 | CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(j) | 93,600 | ||||||
375,000 | CFLD Cayman Investment Ltd., 8.750%, 9/28/2022(j) | 151,294 | ||||||
710,000 | China Aoyuan Group Ltd., 6.350%, 2/08/2024 | 610,958 | ||||||
645,000 | China Aoyuan Group Ltd., 7.950%, 2/19/2023 | 580,504 | ||||||
630,000 | China Evergrande Group, 8.250%, 3/23/2022 | 160,757 | ||||||
1,020,000 | China Evergrande Group, 8.750%, 6/28/2025 | 245,045 | ||||||
270,000 | China Evergrande Group, 9.500%, 4/11/2022 | 69,441 | ||||||
220,000 | China Evergrande Group, 9.500%, 3/29/2024 | 52,936 | ||||||
680,000 | CIFI Holdings Group Co. Ltd., 4.450%, 8/17/2026 | 645,099 | ||||||
580,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 579,275 | ||||||
2,595,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 | 2,698,800 | ||||||
2,525,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 | 2,619,688 | ||||||
485,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026 | 506,825 | ||||||
805,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024 | 609,938 | ||||||
1,625,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026 | 1,239,566 | ||||||
800,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025 | 610,142 | ||||||
1,610,000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026 | 1,292,083 | ||||||
210,000 | Times China Holdings Ltd., 5.750%, 1/14/2027 | 185,891 | ||||||
1,085,000 | Times China Holdings Ltd., 6.200%, 3/22/2026 | 980,053 | ||||||
3,100,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027 | 2,007,498 | ||||||
|
| |||||||
25,132,474 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Food & Beverage – 1.9% |
| |||||||
$ 3,805,000 | Becle SAB de CV, 2.500%, 10/14/2031, 144A | $ | 3,766,037 | |||||
3,256,000 | Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050(a) | 3,406,525 | ||||||
7,250,000 | Hormel Foods Corp., 0.650%, 6/03/2024 | 7,256,977 | ||||||
1,150,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A | 1,196,610 | ||||||
1,455,000 | Kraft Heinz Foods Co., 4.375%, 6/01/2046 | 1,660,140 | ||||||
2,305,000 | Kraft Heinz Foods Co., 4.875%, 10/01/2049 | 2,805,404 | ||||||
715,000 | Kraft Heinz Foods Co., 5.000%, 6/04/2042 | 877,369 | ||||||
680,000 | Lamb Weston Holdings, Inc., 4.875%, 5/15/2028, 144A | 747,490 | ||||||
3,300,000 | MARB BondCo. PLC, 3.950%, 1/29/2031, 144A | 3,152,391 | ||||||
2,785,000 | Pilgrim’s Pride Corp., 3.500%, 3/01/2032, 144A | 2,832,679 | ||||||
1,135,000 | Post Holdings, Inc., 5.750%, 3/01/2027, 144A | 1,179,520 | ||||||
385,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A(a) | 387,520 | ||||||
|
| |||||||
29,268,662 | ||||||||
|
| |||||||
Gaming – 0.8% |
| |||||||
3,420,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A(a) | 3,384,208 | ||||||
2,670,000 | MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 3.875%, 2/15/2029, 144A | 2,843,550 | ||||||
875,000 | Penn National Gaming, Inc., 4.125%, 7/01/2029, 144A | 864,850 | ||||||
2,940,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A | 3,171,525 | ||||||
1,090,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 1,224,765 | ||||||
|
| |||||||
11,488,898 | ||||||||
|
| |||||||
Government Owned - No Guarantee – 2.5% |
| |||||||
2,350,000 | Antares Holdings LP, 2.750%, 1/15/2027, 144A | 2,352,126 | ||||||
845,000 | Antares Holdings LP, 3.950%, 7/15/2026, 144A | 890,455 | ||||||
586,000,000 | Export-Import Bank of Korea, 4.890%, 8/09/2023, 144A, (INR) | 7,851,228 | ||||||
103,800,000 | Export-Import Bank of Korea, MTN, 6.750%, 8/09/2022, (INR)(a) | 1,423,093 | ||||||
4,801,000,000 | Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP) | 1,310,547 | ||||||
2,545,000 | Indian Railway Finance Corp. Ltd., 2.800%, 2/10/2031, 144A | 2,457,859 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Government Owned - No Guarantee – continued |
| |||||||
$ 12,050,000 | Petroleos Mexicanos, 5.950%, 1/28/2031(a) | $ | 11,681,270 | |||||
5,290,000 | Petroleos Mexicanos, 6.625%, 6/15/2035(a) | 5,018,887 | ||||||
4,075,000 | Saudi Arabian Oil Co., 3.250%, 11/24/2050, 144A(a) | 3,881,764 | ||||||
1,770,000 | YPF S.A., 6.950%, 7/21/2027, 144A | 1,305,375 | ||||||
|
| |||||||
38,172,604 | ||||||||
|
| |||||||
Health Insurance – 1.5% |
| |||||||
4,830,000 | Centene Corp., 2.500%, 3/01/2031(a) | 4,763,588 | ||||||
2,120,000 | Centene Corp., 2.625%, 8/01/2031 | 2,105,669 | ||||||
1,145,000 | Centene Corp., 3.000%, 10/15/2030 | 1,173,625 | ||||||
300,000 | Centene Corp., 4.625%, 12/15/2029 | 326,940 | ||||||
7,350,000 | Humana, Inc., 0.650%, 8/03/2023 | 7,354,777 | ||||||
7,210,000 | UnitedHealth Group, Inc., 0.550%, 5/15/2024 | 7,210,487 | ||||||
|
| |||||||
22,935,086 | ||||||||
|
| |||||||
Healthcare – 1.2% |
| |||||||
765,000 | Catalent Pharma Solutions, Inc., 3.125%, 2/15/2029, 144A | 751,192 | ||||||
475,000 | Charles River Laboratories International, Inc., 3.750%, 3/15/2029, 144A | 485,094 | ||||||
505,000 | Charles River Laboratories International, Inc., 4.000%, 3/15/2031, 144A | 529,104 | ||||||
380,000 | Encompass Health Corp., 4.750%, 2/01/2030 | 399,665 | ||||||
800,000 | Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A | 817,000 | ||||||
1,935,000 | HCA, Inc., 3.500%, 9/01/2030 | 2,049,920 | ||||||
3,240,000 | Hologic, Inc., 3.250%, 2/15/2029, 144A | 3,241,539 | ||||||
735,000 | IQVIA, Inc., 5.000%, 5/15/2027, 144A | 763,430 | ||||||
7,600,000 | PerkinElmer, Inc., 0.850%, 9/15/2024 | 7,600,723 | ||||||
890,000 | Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A | 922,182 | ||||||
340,000 | Tenet Healthcare Corp., 4.875%, 1/01/2026, 144A | 351,873 | ||||||
625,000 | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A | 656,547 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Healthcare – continued |
| |||||||
$ 255,000 | Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A | $ | 264,562 | |||||
|
| |||||||
18,832,831 | ||||||||
|
| |||||||
Home Construction – 0.2% |
| |||||||
845,000 | KWG Group Holdings Ltd., 6.300%, 2/13/2026 | 759,578 | ||||||
310,000 | Lennar Corp., 4.875%, 12/15/2023(a) | 334,422 | ||||||
415,000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025 | 304,832 | ||||||
200,000 | Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026 | 132,091 | ||||||
1,360,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026 | 1,148,299 | ||||||
210,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026 | 174,915 | ||||||
220,000 | Zhenro Properties Group Ltd., 7.350%, 2/05/2025 | 191,534 | ||||||
|
| |||||||
3,045,671 | ||||||||
|
| |||||||
Independent Energy – 1.6% |
| |||||||
4,360,000 | Aker BP ASA, 3.750%, 1/15/2030, 144A(a) | 4,668,018 | ||||||
1,670,000 | Aker BP ASA, 4.000%, 1/15/2031, 144A | 1,816,461 | ||||||
3,060,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A(a) | 3,698,775 | ||||||
1,515,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 1,550,466 | ||||||
1,985,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | 2,038,893 | ||||||
215,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 220,401 | ||||||
450,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 468,900 | ||||||
140,000 | EQT Corp., 5.000%, 1/15/2029 | 157,633 | ||||||
1,300,000 | Hess Corp., 5.600%, 2/15/2041 | 1,624,286 | ||||||
1,790,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A | 1,943,654 | ||||||
1,295,000 | Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A | 1,421,353 | ||||||
1,720,000 | Lundin Energy Finance BV, 3.100%, 7/15/2031, 144A | 1,743,986 | ||||||
75,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 | 83,250 | ||||||
320,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 431,577 | ||||||
140,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 192,578 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Independent Energy – continued |
| |||||||
$ 695,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | $ | 953,154 | |||||
90,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 120,775 | ||||||
85,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 115,299 | ||||||
385,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 529,668 | ||||||
|
| |||||||
23,779,127 | ||||||||
|
| |||||||
Industrial Other – 0.1% |
| |||||||
440,000 | CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(j) | 184,052 | ||||||
1,165,000 | TopBuild Corp., 4.125%, 2/15/2032, 144A | 1,176,650 | ||||||
|
| |||||||
1,360,702 | ||||||||
|
| |||||||
Leisure – 0.6% |
| |||||||
2,735,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | 2,827,306 | ||||||
1,560,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 1,599,000 | ||||||
570,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 591,375 | ||||||
240,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A | 235,092 | ||||||
3,090,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 3,160,480 | ||||||
|
| |||||||
8,413,253 | ||||||||
|
| |||||||
Life Insurance – 0.2% |
| |||||||
1,530,000 | Athene Holding Ltd., 3.500%, 1/15/2031(a) | 1,638,167 | ||||||
1,110,000 | Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A(a) | 1,219,012 | ||||||
|
| |||||||
2,857,179 | ||||||||
|
| |||||||
Local Authorities – 0.5% |
| |||||||
7,080,000 | Province of Ontario Canada, 1.050%, 4/14/2026(a) | 7,080,794 | ||||||
67,000,000 | Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.750% 37.896%, 4/12/2025, 144A, (ARS)(c) | 288,865 | ||||||
121,060,000 | Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.830% 37.989%, 5/31/2022, (ARS)(c) | 593,263 | ||||||
|
| |||||||
7,962,922 | ||||||||
|
| |||||||
Lodging – 0.7% |
| |||||||
590,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A | 581,150 | ||||||
2,055,000 | Hilton Domestic Operating Co., Inc., 4.000%, 5/01/2031, 144A | 2,094,744 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Lodging – continued |
| |||||||
$ 435,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A | $ | 436,631 | |||||
1,435,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 1,463,700 | ||||||
360,000 | Hyatt Hotels Corp., 5.375%, 4/23/2025 | 402,097 | ||||||
665,000 | Hyatt Hotels Corp., 5.750%, 4/23/2030 | 798,288 | ||||||
47,000 | Marriott International, Inc., Series EE, 5.750%, 5/01/2025 | 53,748 | ||||||
695,000 | Marriott International, Inc., Series FF, 4.625%, 6/15/2030 | 794,012 | ||||||
1,125,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 1,139,063 | ||||||
1,535,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 1,577,212 | ||||||
195,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 216,104 | ||||||
960,000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 1,093,219 | ||||||
|
| |||||||
10,649,968 | ||||||||
|
| |||||||
Media Entertainment – 1.6% |
| |||||||
1,240,000 | AMC Networks, Inc., 4.250%, 2/15/2029 | 1,233,800 | ||||||
2,745,000 | Clear Channel Worldwide Holdings, Inc., 5.125%, 8/15/2027, 144A | 2,840,553 | ||||||
2,830,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 2,916,315 | ||||||
2,400,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 2,493,744 | ||||||
750,000 | iHeartCommunications, Inc., 6.375%, 5/01/2026 | 791,363 | ||||||
3,150,000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 | 3,366,562 | ||||||
415,000 | Lamar Media Corp., 3.750%, 2/15/2028 | 426,861 | ||||||
825,000 | Lamar Media Corp., 4.000%, 2/15/2030 | 849,338 | ||||||
1,040,000 | Netflix, Inc., 4.875%, 4/15/2028 | 1,198,600 | ||||||
3,525,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 4,150,687 | ||||||
710,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 859,988 | ||||||
665,000 | Netflix, Inc., 5.875%, 11/15/2028 | 814,891 | ||||||
780,000 | Netflix, Inc., 6.375%, 5/15/2029 | 986,700 | ||||||
1,075,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A | 1,077,276 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Media Entertainment – continued |
| |||||||
$ 600,000 | Playtika Holding Corp., 4.250%, 3/15/2029, 144A | $ | 601,914 | |||||
|
| |||||||
24,608,592 | ||||||||
|
| |||||||
Metals & Mining – 1.9% |
| |||||||
2,655,000 | ABJA Investment Co. Pte Ltd., 5.450%, 1/24/2028 | 2,893,684 | ||||||
400,000 | ABJA Investment Co. Pte Ltd., 5.950%, 7/31/2024 | 432,000 | ||||||
690,000 | Antofagasta PLC, 2.375%, 10/14/2030, 144A(a) | 665,857 | ||||||
4,515,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 4,695,600 | ||||||
425,000 | First Quantum Minerals Ltd., 7.250%, 4/01/2023, 144A | 432,438 | ||||||
1,755,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 1,800,332 | ||||||
2,345,000 | FMG Resources August 2006 Pty Ltd., 4.375%, 4/01/2031, 144A | 2,423,206 | ||||||
1,270,000 | Freeport-McMoRan, Inc., 4.375%, 8/01/2028 | 1,328,737 | ||||||
885,000 | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 | 956,906 | ||||||
2,720,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/2034 | 3,267,400 | ||||||
735,000 | Freeport-McMoRan, Inc., 5.450%, 3/15/2043 | 904,969 | ||||||
6,035,000 | Glencore Funding LLC, 2.850%, 4/27/2031, 144A(a) | 6,071,090 | ||||||
1,815,000 | JSW Steel Ltd., 5.050%, 4/05/2032, 144A | 1,806,881 | ||||||
625,000 | Novelis Corp., 4.750%, 1/30/2030, 144A | 657,937 | ||||||
435,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 423,473 | ||||||
|
| |||||||
28,760,510 | ||||||||
|
| |||||||
Midstream – 1.0% |
| |||||||
5,460,000 | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029(a) | 5,925,191 | ||||||
3,335,000 | Galaxy Pipeline Assets Bidco Ltd., 2.940%, 9/30/2040, 144A(a) | 3,328,046 | ||||||
290,000 | Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A(a) | 305,682 | ||||||
695,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A | 702,819 | ||||||
3,745,000 | Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030(a) | 4,316,524 | ||||||
795,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032, 144A | 821,593 | ||||||
|
| |||||||
15,399,855 | ||||||||
|
|
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Natural Gas – 0.0% |
| |||||||
$ 645,000 | KWG Group Holdings Ltd., 6.000%, 8/14/2026 | $ | 571,880 | |||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 3.1% |
| |||||||
2,995,000 | Barclays Commercial Mortgage Securities, Series 2020-BID, Class B, 1-month LIBOR + 2.540%, 2.624%, 10/15/2037, 144A(a)(c) | 3,015,727 | ||||||
2,585,000 | Commercial Mortgage Trust, Series 2012-CR3, Class B, 3.922%, 10/15/2045, 144A | 2,561,417 | ||||||
140,000 | Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.700%, 12/10/2044(a)(b) | 131,267 | ||||||
632,000 | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 3.684%, 1/15/2034, 144A(c) | 624,313 | ||||||
560,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A | 532,915 | ||||||
5,680,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A | 5,105,914 | ||||||
750,000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034, 144A(b) | 775,116 | ||||||
611,817 | Extended Stay America Trust, Series 2021-ESH, Class D, 1-month LIBOR + 2.250%, 2.334%, 7/15/2038, 144A(c) | 619,401 | ||||||
3,195,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(b) | 2,741,531 | ||||||
540,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.303%, 8/10/2044, 144A(b) | 460,350 | ||||||
3,905,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.303%, 8/10/2044, 144A(b) | 1,952,500 | ||||||
845,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(b) | 837,404 | ||||||
300,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class C, 5.360%, 2/15/2046, 144A(a)(b) | 278,665 | ||||||
405,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C8, Class C, 4.780%, 10/15/2045, 144A(a)(b) | 409,669 | ||||||
2,435,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 4.508%, 12/15/2047, 144A(a)(b) | 2,472,644 | ||||||
1,216,488 | Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.385%, 6/15/2044, 144A(b) | 1,179,993 | ||||||
2,515,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.385%, 6/15/2044, 144A(b)(d)(k) | 2,071,377 | ||||||
1,350,000 | RBS Commercial Funding, Inc., Series 2013-GSP, Class A, 3.961%, 1/15/2032, 144A(a)(b) | 1,421,928 | ||||||
1,060,000 | Starwood Retail Property Trust, Series 2014-STAR, Class C, 1-month LIBOR + 2.750%, 2.834%, 11/15/2027, 144A(c)(d)(e)(g) | 457,042 | ||||||
4,243,654 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.584%, 11/15/2027, 144A(c)(d)(e)(g) | 1,076,496 | ||||||
3,575,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.484%, 11/15/2027, 144A(c)(d)(e)(g) | 318,817 | ||||||
1,370,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 5.043%, 5/10/2063, 144A(b)(d)(k) | 115,080 | ||||||
440,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.317%, 11/15/2059(a)(b) | 373,268 | ||||||
3,094,293 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.443%, 7/15/2046(b) | 3,097,814 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||
$ 1,690,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(a)(b) | $ | 1,675,649 | |||||
4,885,000 | Wells Fargo Commercial Mortgage Trust, Series 2019-JWDR, Class C, 3.139%, 9/15/2031, 144A(a)(b) | 4,887,882 | ||||||
3,504,376 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.513%, 3/15/2044, 144A(b) | 1,707,332 | ||||||
1,699,593 | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class E, 5.024%, 6/15/2044, 144A(b) | 1,156,421 | ||||||
2,245,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.495%, 12/15/2045(b) | 1,961,338 | ||||||
725,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.957%, 6/15/2045(b) | 548,137 | ||||||
1,909,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class D, 4.957%, 6/15/2045, 144A(b) | 1,371,803 | ||||||
975,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.957%, 6/15/2045, 144A(b)(d)(k) | 292,500 | ||||||
1,570,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047(a) | 1,631,198 | ||||||
|
| |||||||
47,862,908 | ||||||||
|
| |||||||
Paper – 0.2% |
| |||||||
2,235,000 | Suzano Austria GmbH, 3.750%, 1/15/2031 | 2,295,904 | ||||||
|
| |||||||
Pharmaceuticals – 1.2% |
| |||||||
555,000 | Jazz Securities DAC, 4.375%, 1/15/2029, 144A | 575,147 | ||||||
1,665,000 | Teva Pharmaceutical Finance Netherlands II BV, 6.000%, 1/31/2025, (EUR) | 2,083,138 | ||||||
5,970,000 | Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023 | 5,932,926 | ||||||
10,035,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 8,655,187 | ||||||
1,015,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025 | 1,110,156 | ||||||
|
| |||||||
18,356,554 | ||||||||
|
| |||||||
REITs - Health Care – 0.0% |
| |||||||
455,000 | National Health Investors, Inc., 3.000%, 2/01/2031 | 442,351 | ||||||
|
| |||||||
REITs - Mortgage – 0.1% |
| |||||||
1,630,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A | 1,613,700 | ||||||
390,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A | 394,846 | ||||||
|
| |||||||
2,008,546 | ||||||||
|
| |||||||
Restaurants – 0.8% |
| |||||||
435,000 | 1011778 B.C. ULC/New Red Finance, Inc., 3.875%, 1/15/2028, 144A | 439,285 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Restaurants – continued |
| |||||||
$ 5,765,000 | 1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A | $ | 5,852,686 | |||||
2,100,000 | Yum! Brands, Inc., 3.625%, 3/15/2031 | 2,111,214 | ||||||
2,680,000 | Yum! Brands, Inc., 4.625%, 1/31/2032 | 2,860,900 | ||||||
920,000 | Yum! Brands, Inc., 4.750%, 1/15/2030, 144A | 997,114 | ||||||
|
| |||||||
12,261,199 | ||||||||
|
| |||||||
Retailers – 0.3% |
| |||||||
1,325,000 | Carvana Co., 5.625%, 10/01/2025, 144A | 1,369,904 | ||||||
1,325,000 | Carvana Co., 5.875%, 10/01/2028, 144A | 1,369,003 | ||||||
1,070,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 1,112,607 | ||||||
420,000 | Lithia Motors, Inc., 4.375%, 1/15/2031, 144A | 448,350 | ||||||
570,000 | Murphy Oil USA, Inc., 3.750%, 2/15/2031, 144A | 573,563 | ||||||
|
| |||||||
4,873,427 | ||||||||
|
| |||||||
Sovereigns – 0.7% |
| |||||||
6,270,000 | Mexico Government International Bond, 3.771%, 5/24/2061(a) | 5,567,572 | ||||||
5,430,000 | Mexico Government International Bond, 4.280%, 8/14/2041(a) | 5,540,229 | ||||||
|
| |||||||
11,107,801 | ||||||||
|
| |||||||
Supermarkets – 0.0% |
| |||||||
402,000 | Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s LP/Albertson’s LLC, 5.750%, 3/15/2025 | 410,000 | ||||||
|
| |||||||
Supranational – 0.1% |
| |||||||
119,540,000 | International Finance Corp., 5.850%, 11/25/2022, (INR)(a) | 1,628,169 | ||||||
|
| |||||||
Technology – 3.4% |
| |||||||
370,000 | Broadcom, Inc., 3.187%, 11/15/2036, 144A | 368,925 | ||||||
6,185,000 | Broadcom, Inc., 4.300%, 11/15/2032(a) | 6,931,118 | ||||||
1,615,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 1,536,123 | ||||||
3,815,000 | CommScope, Inc., 7.125%, 7/01/2028, 144A | 3,893,093 | ||||||
330,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A | 338,144 | ||||||
1,365,000 | Gartner, Inc., 3.750%, 10/01/2030, 144A | 1,404,858 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Technology – continued |
| |||||||
$ 1,375,000 | Iron Mountain, Inc., 5.000%, 7/15/2028, 144A | $ | 1,433,162 | |||||
1,375,000 | Iron Mountain, Inc., 5.250%, 7/15/2030, 144A | 1,459,191 | ||||||
1,450,000 | Marvell Technology, Inc., 2.950%, 4/15/2031, 144A | 1,490,455 | ||||||
1,315,000 | Microchip Technology, Inc., 0.983%, 9/01/2024, 144A | 1,313,409 | ||||||
1,585,000 | Micron Technology, Inc., 4.663%, 2/15/2030 | 1,829,486 | ||||||
5,645,000 | Micron Technology, Inc., 5.327%, 2/06/2029(a) | 6,712,752 | ||||||
2,305,000 | MSCI, Inc., 3.625%, 9/01/2030, 144A | 2,382,794 | ||||||
1,660,000 | Nokia OYJ, EMTN, 2.000%, 3/11/2026, (EUR) | 2,019,173 | ||||||
330,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030, 144A(a) | 358,200 | ||||||
570,000 | Open Text Corp., 3.875%, 2/15/2028, 144A | 582,301 | ||||||
530,000 | Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A | 544,575 | ||||||
1,550,000 | Qorvo, Inc., 3.375%, 4/01/2031, 144A | 1,634,320 | ||||||
240,000 | Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A | 277,390 | ||||||
4,875,000 | salesforce.com, Inc., 0.625%, 7/15/2024 | 4,884,256 | ||||||
1,325,000 | Sensata Technologies BV, 4.000%, 4/15/2029, 144A | 1,348,784 | ||||||
1,545,000 | Square, Inc., 3.500%, 6/01/2031, 144A | 1,584,753 | ||||||
535,000 | SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A | 564,924 | ||||||
7,235,000 | VMware, Inc., 1.000%, 8/15/2024 | 7,259,162 | ||||||
|
| |||||||
52,151,348 | ||||||||
|
| |||||||
Transportation Services – 0.4% |
| |||||||
1,855,000 | Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A | 1,945,765 | ||||||
425,000 | GMR Hyderabad International Airport Ltd., 4.250%, 10/27/2027, 144A | 406,835 | ||||||
2,650,000 | GMR Hyderabad International Airport Ltd., 4.750%, 2/02/2026, 144A | 2,644,223 | ||||||
1,645,000 | GMR Hyderabad International Airport Ltd., 5.375%, 4/10/2024 | 1,682,687 | ||||||
|
| |||||||
6,679,510 | ||||||||
|
| |||||||
Treasuries – 2.1% |
| |||||||
35,003 | (†††) | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2025, (BRL) | 6,397,708 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Non-Convertible Bonds – continued |
| |||||||
Treasuries – continued |
| |||||||
1,346,875 | (††††) | Mexican Fixed Rate Bonds, 6.750%, 3/09/2023, (MXN)(a) | $ | 6,597,512 | ||||
338,660,000 | Republic of South Africa Government Bond, Series 2037, 8.500%, 1/31/2037, (ZAR) | 18,836,911 | ||||||
|
| |||||||
31,832,131 | ||||||||
|
| |||||||
Wireless – 2.2% |
| |||||||
1,480,000 | Bharti Airtel Ltd., 3.250%, 6/03/2031, 144A | 1,487,968 | ||||||
4,365,000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A | 4,583,250 | ||||||
3,769,000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A | 3,967,400 | ||||||
225,000 | Millicom International Cellular S.A., 4.500%, 4/27/2031, 144A | 235,238 | ||||||
657,000 | Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A | 682,951 | ||||||
3,680,000 | SBA Communications Corp., 3.125%, 2/01/2029, 144A | 3,555,800 | ||||||
330,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 422,400 | ||||||
6,780,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 7,073,235 | ||||||
3,350,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 3,533,026 | ||||||
6,435,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 7,105,283 | ||||||
|
| |||||||
32,646,551 | ||||||||
|
| |||||||
Wirelines – 0.1% |
| |||||||
470,000 | Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A | 483,536 | ||||||
1,140,000 | Verizon Communications, Inc., 2.850%, 9/03/2041 | 1,112,606 | ||||||
|
| |||||||
1,596,142 | ||||||||
|
| |||||||
Total Non-Convertible Bonds (Identified Cost $1,169,622,797) | 1,172,627,563 | |||||||
|
| |||||||
Convertible Bonds – 3.8% |
| |||||||
Airlines – 0.5% |
| |||||||
915,000 | JetBlue Airways Corp., 0.500%, 4/01/2026, 144A | 896,557 | ||||||
4,835,000 | Southwest Airlines Co., 1.250%, 5/01/2025(a) | 7,222,282 | ||||||
|
| |||||||
8,118,839 | ||||||||
|
| |||||||
Cable Satellite – 0.9% |
| |||||||
1,635,000 | DISH Network Corp., Zero Coupon, 0.000%, 12/15/2025, 144A(l) | 1,953,825 | ||||||
4,280,000 | DISH Network Corp., 2.375%, 3/15/2024 | 4,170,325 |
Principal | Description | Value (†) | ||||||
Bonds and Notes – continued |
| |||||||
Convertible Bonds – continued |
| |||||||
Cable Satellite – continued |
| |||||||
$ 7,230,000 | DISH Network Corp., 3.375%, 8/15/2026 | $ | 7,515,585 | |||||
|
| |||||||
13,639,735 | ||||||||
|
| |||||||
Consumer Cyclical Services – 0.3% |
| |||||||
1,250,000 | Expedia Group, Inc., Zero Coupon, 0.000%, 2/15/2026, 144A(l) | 1,349,564 | ||||||
1,385,000 | Peloton Interactive, Inc., Zero Coupon, 0.000%-1.734%, 2/15/2026, 144A(m) | 1,219,195 | ||||||
2,065,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.242%, 12/15/2025, 144A(m) | 2,008,482 | ||||||
|
| |||||||
4,577,241 | ||||||||
|
| |||||||
Gaming – 0.1% |
| |||||||
435,000 | Penn National Gaming, Inc., 2.750%, 5/15/2026 | 1,388,085 | ||||||
|
| |||||||
Healthcare – 0.3% |
| |||||||
4,145,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 4,163,389 | ||||||
|
| |||||||
Media Entertainment – 0.1% |
| |||||||
2,405,000 | Twitter, Inc., Zero Coupon, 0.000%-1.354%, 3/15/2026, 144A(m) | 2,232,657 | ||||||
|
| |||||||
Pharmaceuticals – 1.0% |
| |||||||
4,400,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 4,502,020 | ||||||
7,130,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 7,135,871 | ||||||
855,000 | Guardant Health, Inc., Zero Coupon, 0.000%, 11/15/2027, 144A(l) | 978,975 | ||||||
1,285,000 | Ionis Pharmaceuticals, Inc., Zero Coupon, 0.000%, 4/01/2026, 144A(l) | 1,167,728 | ||||||
760,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 1,004,028 | ||||||
|
| |||||||
14,788,622 | ||||||||
|
| |||||||
Technology – 0.6% |
| |||||||
4,730,000 | Palo Alto Networks, Inc., 0.375%, 6/01/2025 | 7,809,578 | ||||||
1,530,000 | Splunk, Inc., 1.125%, 6/15/2027 | 1,500,356 | ||||||
|
| |||||||
9,309,934 | ||||||||
|
| |||||||
Total Convertible Bonds (Identified Cost $55,991,082) | 58,218,502 | |||||||
|
| |||||||
Total Bonds and Notes (Identified Cost $1,225,613,879) | 1,230,846,065 | |||||||
|
|
Principal | Description | Value (†) | ||||||
Senior Loans – 1.1% |
| |||||||
Airlines – 0.1% |
| |||||||
$ 1,527,325 | United Airlines, Inc., 2021 Term Loan B, 3-month LIBOR + 3.750%, 4.500%, 4/21/2028(c) | $ | 1,536,703 | |||||
|
| |||||||
Cable Satellite – 0.2% |
| |||||||
725,000 | DirecTV Financing LLC, Term Loan, 7/22/2027(n) | 725,225 | ||||||
730,000 | DirecTV Financing LLC, Term Loan, 3-month LIBOR + 5.000%, 5.750%, 7/22/2027(c) | 730,226 | ||||||
1,930,000 | Ziggo BV, 2019 EUR Term Loan H, 6-month EURIBOR + 3.000%, 3.000%, 1/31/2029, (EUR)(c) | 2,210,040 | ||||||
|
| |||||||
3,665,491 | ||||||||
|
| |||||||
Consumer Products – 0.1% |
| |||||||
975,622 | Weber-Stephen Products LLC, Term Loan B, LIBOR + 3.250%, 4.000%, 10/30/2027(o) | 977,329 | ||||||
|
| |||||||
Gaming – 0.2% |
| |||||||
3,208,875 | Playtika Holding Corp., 2021 Term Loan, 1-month LIBOR + 2.750%, 2.834%, 3/13/2028(c) | 3,206,308 | ||||||
|
| |||||||
Healthcare – 0.1% |
| |||||||
1,350,000 | Medline Industries, Inc., USD Term Loan B, 9/20/2028(n) | 1,347,043 | ||||||
|
| |||||||
Lodging – 0.1% |
| |||||||
1,620,000 | Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 1-month LIBOR + 3.000%, 3.500%, 8/02/2028(c) | 1,623,645 | ||||||
650,000 | Motel 6, Term Loan B, 1-month LIBOR + 5.000%, 5.750%, 9/09/2026(c) | 651,625 | ||||||
|
| |||||||
2,275,270 | ||||||||
|
| |||||||
Pharmaceuticals – 0.1% |
| |||||||
1,341,638 | Jazz Financing Lux S.a.r.l., USD Term Loan, 1-month LIBOR + 3.500%, 4.000%, 5/05/2028(c) | 1,343,154 | ||||||
|
| |||||||
Property & Casualty Insurance – 0.0% |
| |||||||
620,144 | AmWINS Group, Inc., 2021 Term Loan B, 1-month LIBOR + 2.250%, 3.000%, 2/19/2028(c) | 616,194 | ||||||
|
| |||||||
Technology – 0.2% |
| |||||||
2,635,000 | CoreLogic, Inc., Term Loan, 1-month LIBOR + 3.500%, 4.000%, 6/02/2028(c) | 2,631,706 | ||||||
|
| |||||||
Total Senior Loans (Identified Cost $17,451,554) | 17,599,198 | |||||||
|
| |||||||
Collateralized Loan Obligations – 4.2% |
| |||||||
1,350,000 | AGL CLO 3 Ltd., Series 2020-3A, Class C, 3-month LIBOR + 2.150%, 2.276%, 1/15/2033, 144A(a)(c) | 1,350,411 | ||||||
1,740,000 | AGL CLO 3 Ltd., Series 2020-3A, Class D, 3-month LIBOR + 3.300%, 3.426%, 1/15/2033, 144A(c) | 1,740,253 | ||||||
1,155,000 | AIG CLO Ltd., Series 2019-1A, Class E, 3-month LIBOR + 6.620%, 6.746%, 4/15/2032, 144A(c) | 1,155,023 | ||||||
480,000 | Apidos CLO XX, Series 2015-20A, Class BRR, 3-month LIBOR + 1.950%, 2.076%, 7/16/2031, 144A(a)(c) | 480,035 |
Principal | Description | Value (†) | ||||||
Collateralized Loan Obligations – continued |
| |||||||
$ 3,175,000 | Apidos CLO XXIII, Series 2015-23A, Class CR, 3-month LIBOR + 2.000%, 2.126%, 4/15/2033, 144A(a)(c) | $ | 3,176,969 | |||||
500,000 | Ares LIX CLO Ltd., Series 2021-59A, Class E, 3-month LIBOR + 6.250%, 6.435%, 4/25/2034, 144A(c) | 498,838 | ||||||
1,105,000 | Atlas Senior Loan Fund Ltd., Series 2021-16A, Class D, 3-month LIBOR + 3.700%, 3.834%, 1/20/2034, 144A(c) | 1,107,833 | ||||||
400,000 | Ballyrock CLO Ltd., Series 2018-1A, Class C, 3-month LIBOR + 3.150%, 3.284%, 4/20/2031, 144A(c) | 397,193 | ||||||
850,000 | Barings CLO Ltd., Series 2019-4A, Class C, 3-month LIBOR + 2.800%, 2.926%, 1/15/2033, 144A(a)(c) | 852,184 | ||||||
1,830,000 | Basswood Park CLO Ltd., Series 2021-1A, Class D, 3-month LIBOR + 2.650%, 2.861%, 4/20/2034, 144A(c) | 1,829,964 | ||||||
2,145,000 | Battalion CLO XIV Ltd., Series 2019-14A, Class E, 3-month LIBOR + 6.680%, 6.814%, 4/20/2032, 144A(c) | 2,145,015 | ||||||
500,000 | Battalion CLO XVI Ltd., Series 2019-16A, Class D, 3-month LIBOR + 4.360%, 4.494%, 12/19/2032, 144A(c) | 501,501 | ||||||
915,000 | Bristol Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 2.076%, 4/15/2029, 144A(a)(c) | 914,542 | ||||||
455,000 | Burnham Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 2.150%, 2.284%, 10/20/2029, 144A(a)(c) | 455,039 | ||||||
400,000 | Carbone CLO Ltd., Series 2017-1A, Class B, 3-month LIBOR + 1.800%, 1.934%, 1/20/2031, 144A(a)(c) | 399,220 | ||||||
970,000 | CarVal CLO IV Ltd., Series 2021-1A, Class D, 3-month LIBOR + 3.250%, 3.880%, 7/20/2034, 144A(c) | 969,934 | ||||||
500,000 | Catamaran CLO Ltd., Series 2013-1A, Class CR, 3-month LIBOR + 1.800%, 1.929%, 1/27/2028, 144A(a)(c) | 500,196 | ||||||
730,000 | CIFC Funding II Ltd., Series 2013-2A, Class A3LR, 3-month LIBOR + 1.950%, 2.084%, 10/18/2030, 144A(a)(c) | 728,221 | ||||||
265,000 | CIFC Funding II Ltd., Series 2014-2RA, Class A3, 3-month LIBOR + 1.900%, 2.025%, 4/24/2030, 144A(a)(c) | 264,396 | ||||||
875,000 | Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER, 3-month LIBOR + 5.850%, 5.976%, 10/15/2030, 144A(c) | 861,920 | ||||||
250,000 | Dryden 64 CLO Ltd., Series 2018-64A, Class C, 3-month LIBOR + 1.750%, 1.884%, 4/18/2031, 144A(a)(c) | 249,251 | ||||||
615,000 | Dryden 80 CLO Ltd., Series 2019-80A, Class D1, 3-month LIBOR + 4.100%, 4.234%, 1/17/2033, 144A(c) | 617,920 | ||||||
300,000 | Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR, 3-month LIBOR + 1.850%, 1.976%, 4/15/2029, 144A(a)(c) | 299,639 | ||||||
1,405,000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class E, 3-month LIBOR + 5.850%, 5.981%, 11/22/2031, 144A(c) | 1,373,522 | ||||||
650,000 | Gilbert Park CLO Ltd., Series 2017-1A, Class D, 3-month LIBOR + 2.950%, 3.076%, 10/15/2030, 144A(c) | 650,009 | ||||||
320,000 | Goldentree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class C, 3-month LIBOR + 1.900%, 2.034%, 4/20/2030, 144A(a)(c) | 319,644 | ||||||
990,000 | Hayfin Kingsland XI Ltd., Series 2019-2A, Class E, 3-month LIBOR + 6.900%, 7.034%, 7/20/2032, 144A(c) | 970,275 | ||||||
310,000 | LCM 30 Ltd., Series 30A, Class CR, 3-month LIBOR + 3.000%, 3.134%, 4/20/2031, 144A(c) | 309,997 | ||||||
475,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class C, 3-month LIBOR + 2.150%, 2.288%, 1/23/2031, 144A(a)(c) | 475,062 | ||||||
300,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 3.138%, 1/23/2031, 144A(c) | 300,018 | ||||||
3,300,000 | Neuberger Berman CLO Ltd., Series 2013-14A, Class CR2, 3-month LIBOR + 1.900%, 2.032%, 1/28/2030, 144A(a)(c) | 3,300,075 | ||||||
2,100,000 | Oaktree CLO Ltd., Series 2019-4A, Class E, 3-month LIBOR + 7.230%, 7.364%, 10/20/2032, 144A(c) | 2,096,620 |
Principal | Description | Value (†) | ||||||
Collateralized Loan Obligations – continued |
| |||||||
$ 495,000 | Octagon Investment Partners 39 Ltd., Series 2018-3A, Class E, 3-month LIBOR + 5.750%, 5.884%, 10/20/2030, 144A(c) | $ | 483,976 | |||||
1,420,000 | Octagon Investment Partners 40 Ltd., Series 2019-1A, Class D, 3-month LIBOR + 3.800%, 3.934%, 4/20/2031, 144A(c) | 1,420,724 | ||||||
920,000 | Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, 3-month LIBOR + 1.900%, 2.038%, 1/22/2030, 144A(a)(c) | 917,674 | ||||||
445,000 | OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 6.494%, 4/21/2034, 144A(c) | 445,305 | ||||||
1,900,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 6.398%, 7/02/2035, 144A(c) | 1,885,940 | ||||||
1,585,000 | OHA Credit Funding 4 Ltd., Series 2019-4A, Class E, 3-month LIBOR + 6.100%, 6.284%, 10/22/2032, 144A(c) | 1,572,463 | ||||||
1,745,000 | OHA Credit Funding 5 Ltd., Series 2020-5A, Class C, 3-month LIBOR + 2.000%, 2.134%, 4/18/2033, 144A(a)(c) | 1,745,548 | ||||||
2,245,000 | OHA Loan Funding Ltd., Series 2013-1A, Class DR2, 3-month LIBOR + 3.050%, 3.188%, 7/23/2031, 144A(c) | 2,245,214 | ||||||
1,570,000 | OHA Loan Funding Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 2.084%, 1/20/2033, 144A(a)(c) | 1,569,987 | ||||||
2,050,000 | OZLM XXIII Ltd., Series 2019-23A, Class DR, 3-month LIBOR + 3.750%, 3.876%, 4/15/2034, 144A(c) | 2,057,750 | ||||||
300,000 | Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3-month LIBOR + 1.950%, 2.084%, 7/20/2030, 144A(a)(c) | 300,042 | ||||||
1,870,000 | Palmer Square CLO Ltd., Series 2018-3A, Class D, 3-month LIBOR + 4.400%, 4.525%, 8/15/2026, 144A(c) | 1,870,008 | ||||||
2,610,000 | Parallel Ltd., Series 2017-1A, Class CR, 3-month LIBOR + 2.000%, 2.134%, 7/20/2029, 144A(a)(c) | 2,599,278 | ||||||
1,645,000 | Parallel Ltd., Series 2018-2A, Class B, 3-month LIBOR + 2.150%, 2.284%, 10/20/2031, 144A(a)(c) | 1,635,221 | ||||||
1,045,000 | Pikes Peak CLO 1, Series 2018-1A, Class D, 3-month LIBOR + 3.150%, 3.275%, 7/24/2031, 144A(c) | 1,045,178 | ||||||
340,000 | Recette CLO Ltd., Series 2015-1A, Class DRR, 3-month LIBOR + 3.250%, 3.384%, 4/20/2034, 144A(c) | 341,821 | ||||||
920,000 | Regatta XIII Funding Ltd., Series 2018-2A, Class C, 3-month LIBOR + 3.100%, 3.226%, 7/15/2031, 144A(c) | 920,076 | ||||||
2,565,000 | Rockford Tower CLO Ltd., Series 2017-2A, Class CR, 3-month LIBOR + 1.900%, 2.026%, 10/15/2029, 144A(a)(c) | 2,564,841 | ||||||
920,000 | TCW CLO Ltd., Series 2018-1, Class D, 3-month LIBOR + 2.910%, 3.035%, 4/25/2031, 144A(c) | 919,995 | ||||||
1,030,000 | TICP CLO VII Ltd., Series 2017-7A, Class CR, 3-month LIBOR + 2.150%, 2.276%, 4/15/2033, 144A(a)(c) | 1,030,360 | ||||||
610,000 | TICP CLO XV Ltd., Series 2020-15A, Class C, 3-month LIBOR + 2.150%, 2.284%, 4/20/2033, 144A(a)(c) | 610,212 | ||||||
895,000 | TRESTLES CLO II Ltd., Series 2018-2A, Class D, 3-month LIBOR + 5.750%, 5.875%, 7/25/2031, 144A(c) | 879,181 | ||||||
695,000 | Voya CLO Ltd, Series 2019-3A, Class D, 3-month LIBOR + 3.850%, 3.984%, 10/17/2032, 144A(c) | 695,341 | ||||||
2,435,000 | York CLO-7 Ltd., Series 2019-2A, Class D, 3-month LIBOR + 3.800%, 3.938%, 1/22/2033, 144A(c) | 2,439,283 | ||||||
|
| |||||||
Total Collateralized Loan Obligations (Identified Cost $60,599,997) | 63,486,137 | |||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – 4.1% |
| |||||||
Air Freight & Logistics – 0.1% |
| |||||||
6,552 | Expeditors International of Washington, Inc. | $ | 780,540 | |||||
2,680 | United Parcel Service, Inc., Class B | 488,028 | ||||||
|
| |||||||
1,268,568 | ||||||||
|
| |||||||
Banks – 0.1% |
| |||||||
7,859 | Citigroup, Inc. | 551,545 | ||||||
3,531 | JPMorgan Chase & Co. | 577,989 | ||||||
9,474 | Truist Financial Corp. | 555,650 | ||||||
|
| |||||||
1,685,184 | ||||||||
|
| |||||||
Beverages – 0.1% |
| |||||||
9,567 | Coca-Cola Co. (The) | 501,981 | ||||||
3,374 | PepsiCo, Inc. | 507,483 | ||||||
|
| |||||||
1,009,464 | ||||||||
|
| |||||||
Capital Markets – 0.1% |
| |||||||
11,030 | Artisan Partners Asset Management, Inc., Class A | 539,588 | ||||||
4,834 | Blackstone, Inc. | 562,387 | ||||||
1,358 | Goldman Sachs Group, Inc. (The) | 513,365 | ||||||
5,366 | Morgan Stanley | 522,165 | ||||||
|
| |||||||
2,137,505 | ||||||||
|
| |||||||
Chemicals – 0.2% |
| |||||||
138,555 | Hexion Holdings Corp., Class B(f) | 2,932,794 | ||||||
5,144 | LyondellBasell Industries NV, Class A | 482,764 | ||||||
|
| |||||||
3,415,558 | ||||||||
|
| |||||||
Communications Equipment – 0.1% |
| |||||||
9,411 | Cisco Systems, Inc. | 512,241 | ||||||
1,500 | Motorola Solutions, Inc. | 348,480 | ||||||
|
| |||||||
860,721 | ||||||||
|
| |||||||
Construction Materials – 0.2% |
| |||||||
362,679 | Cemex SAB de CV, Sponsored ADR(f) | 2,600,408 | ||||||
|
| |||||||
Consumer Finance – 0.0% |
| |||||||
9,001 | OneMain Holdings, Inc. | 498,025 | ||||||
|
| |||||||
Diversified Telecommunication Services – 0.0% |
| |||||||
9,261 | Verizon Communications, Inc. | 500,187 | ||||||
|
| |||||||
Electric Utilities – 0.0% |
| |||||||
8,047 | Southern Co. (The) | 498,673 | ||||||
|
| |||||||
Entertainment – 0.0% |
| |||||||
6,342 | Activision Blizzard, Inc. | 490,807 | ||||||
|
| |||||||
Food & Staples Retailing – 0.0% |
| |||||||
1,182 | Costco Wholesale Corp. | 531,132 | ||||||
|
| |||||||
Food Products – 0.0% |
| |||||||
6,817 | Tyson Foods, Inc., Class A | 538,134 | ||||||
|
|
Shares | Description | Value (†) | ||||||
Common Stocks – continued |
| |||||||
Health Care Equipment & Supplies – 0.0% |
| |||||||
4,255 | Abbott Laboratories | $ | 502,643 | |||||
|
| |||||||
Health Care Providers & Services – 0.1% |
| |||||||
230 | Anthem, Inc. | 85,744 | ||||||
3,520 | Quest Diagnostics, Inc. | 511,491 | ||||||
1,404 | UnitedHealth Group, Inc. | 548,599 | ||||||
|
| |||||||
1,145,834 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.2% |
| |||||||
305 | Booking Holdings, Inc.(f) | 724,030 | ||||||
2,258 | McDonald’s Corp. | 544,427 | ||||||
11,312 | Starbucks Corp. | 1,247,827 | ||||||
|
| |||||||
2,516,284 | ||||||||
|
| |||||||
Household Products – 0.1% |
| |||||||
7,993 | Procter & Gamble Co. (The) | 1,117,421 | ||||||
|
| |||||||
Insurance – 0.0% |
| |||||||
11,600 | Fidelity National Financial, Inc. | 525,944 | ||||||
|
| |||||||
IT Services – 0.2% |
| |||||||
1,645 | Accenture PLC, Class A | 526,268 | ||||||
3,396 | MasterCard, Inc., Class A | 1,180,721 | ||||||
2,990 | Visa, Inc., Class A | 666,023 | ||||||
|
| |||||||
2,373,012 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.0% |
| |||||||
968 | Thermo Fisher Scientific, Inc. | 553,048 | ||||||
|
| |||||||
Machinery – 0.1% |
| |||||||
2,508 | Caterpillar, Inc. | 481,461 | ||||||
2,219 | Cummins, Inc. | 498,298 | ||||||
1,482 | Deere & Co. | 496,574 | ||||||
|
| |||||||
1,476,333 | ||||||||
|
| |||||||
Media – 0.1% |
| |||||||
9,847 | Comcast Corp., Class A | 550,743 | ||||||
14,108 | Fox Corp., Class A | 565,872 | ||||||
14,672 | Interpublic Group of Cos., Inc. (The) | 538,022 | ||||||
1,822 | Nexstar Media Group, Inc., Class A | 276,871 | ||||||
|
| |||||||
1,931,508 | ||||||||
|
| |||||||
Metals & Mining – 0.0% |
| |||||||
9,427 | Newmont Corp. | 511,886 | ||||||
|
| |||||||
Multiline Retail – 0.0% |
| |||||||
2,268 | Target Corp. | 518,850 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.3% |
| |||||||
14,685 | California Resources Corp.(f) | 602,085 | ||||||
5,742 | Chevron Corp. | 582,526 | ||||||
6,168 | ConocoPhillips | 418,005 | ||||||
38,528 | Energy Transfer LP | 369,098 |
Shares | Description | Value (†) | ||||||
Common Stocks – continued |
| |||||||
Oil, Gas & Consumable Fuels – continued |
| |||||||
8,457 | EOG Resources, Inc. | $ | 678,843 | |||||
29,062 | Whiting Petroleum Corp.(f) | 1,697,512 | ||||||
|
| |||||||
4,348,069 | ||||||||
|
| |||||||
Personal Products – 0.1% |
| |||||||
2,679 | Estee Lauder Cos., Inc. (The), Class A | 803,513 | ||||||
|
| |||||||
Pharmaceuticals – 0.2% |
| |||||||
7,618 | Bristol-Myers Squibb Co. | 450,757 | ||||||
11,393 | Johnson & Johnson | 1,839,969 | ||||||
10,779 | Pfizer, Inc. | 463,605 | ||||||
|
| |||||||
2,754,331 | ||||||||
|
| |||||||
Professional Services – 0.0% |
| |||||||
1,421 | Clarivate PLC(f) | 31,120 | ||||||
|
| |||||||
REITs - Diversified – 0.1% |
| |||||||
1,863 | American Tower Corp. | 494,459 | ||||||
6,003 | Gaming & Leisure Properties, Inc. | 278,059 | ||||||
|
| |||||||
772,518 | ||||||||
|
| |||||||
REITs - Health Care – 0.0% |
| |||||||
16,196 | Omega Healthcare Investors, Inc. | 485,232 | ||||||
|
| |||||||
REITs - Storage – 0.1% |
| |||||||
11,610 | Iron Mountain, Inc. | 504,454 | ||||||
1,068 | Public Storage | 317,303 | ||||||
|
| |||||||
821,757 | ||||||||
|
| |||||||
Road & Rail – 0.1% |
| |||||||
1,974 | Norfolk Southern Corp. | 472,280 | ||||||
7,082 | Ryder System, Inc. | 585,752 | ||||||
|
| |||||||
1,058,032 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 0.3% |
| |||||||
4,049 | Applied Materials, Inc. | 521,228 | ||||||
1,647 | KLA Corp. | 550,938 | ||||||
806 | Lam Research Corp. | 458,735 | ||||||
2,804 | NVIDIA Corp. | 580,877 | ||||||
2,657 | NXP Semiconductors NV | 520,426 | ||||||
3,904 | QUALCOMM, Inc. | 503,538 | ||||||
2,918 | Texas Instruments, Inc. | 560,869 | ||||||
|
| |||||||
3,696,611 | ||||||||
|
| |||||||
Software – 0.1% |
| |||||||
920 | Intuit, Inc. | 496,349 | ||||||
1,830 | Microsoft Corp. | 515,914 | ||||||
6,037 | Oracle Corp. | 526,004 | ||||||
|
| |||||||
1,538,267 | ||||||||
|
| |||||||
Specialty Retail – 0.1% |
| |||||||
1,613 | Home Depot, Inc. (The) | 529,484 |
Shares | Description | Value (†) | ||||||
Common Stocks – continued |
| |||||||
Specialty Retail – continued |
| |||||||
984 | Lowe’s Cos., Inc. | $ | 199,614 | |||||
4,492 | Ross Stores, Inc. | 488,954 | ||||||
7,337 | TJX Cos., Inc. (The) | 484,095 | ||||||
|
| |||||||
1,702,147 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.2% |
| |||||||
13,213 | Apple, Inc. | 1,869,640 | ||||||
18,395 | HP, Inc. | 503,287 | ||||||
6,795 | NetApp, Inc. | 609,919 | ||||||
|
| |||||||
2,982,846 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.1% |
| |||||||
1,234 | LVMH Moet Hennessy Louis Vuitton SE | 883,869 | ||||||
3,222 | NIKE, Inc., Class B | 467,931 | ||||||
|
| |||||||
1,351,800 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.7% |
| |||||||
82,246 | T-Mobile US, Inc.(f) | 10,507,749 | ||||||
|
| |||||||
Total Common Stocks (Identified Cost $56,976,637) | 62,061,121 | |||||||
|
| |||||||
Preferred Stocks – 1.3% |
| |||||||
Convertible Preferred Stocks – 1.3% |
| |||||||
Banking – 0.6% |
| |||||||
2,914 | Bank of America Corp., Series L, 7.250%(a) | 4,203,212 | ||||||
3,705 | Wells Fargo & Co., Class A, Series L, 7.500%(a) | 5,490,810 | ||||||
|
| |||||||
9,694,022 | ||||||||
|
| |||||||
Food & Beverage – 0.3% |
| |||||||
31,289 | Bunge Ltd., 4.875% | 3,721,587 | ||||||
|
| |||||||
Midstream – 0.0% |
| |||||||
2,329 | El Paso Energy Capital Trust I, 4.750% | 115,402 | ||||||
|
| |||||||
Technology – 0.2% |
| |||||||
30,745 | Clarivate PLC, Series A, 5.250% | 2,665,284 | ||||||
|
| |||||||
Wireless – 0.2% |
| |||||||
3,246 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A(d)(k) | 3,670,479 | ||||||
|
| |||||||
Total Convertible Preferred Stocks (Identified Cost $19,326,220) | 19,866,774 | |||||||
|
| |||||||
Total Preferred Stocks (Identified Cost $19,326,220) | 19,866,774 | |||||||
|
|
Shares | Description | Value (†) | ||||||
Other Investments – 0.1% |
| |||||||
Aircraft ABS – 0.1% |
| |||||||
900 | ECAF I Blocker Ltd.(d)(e)(g)(h) (Identified Cost $9,000,000) | $ | 1,149,480 | |||||
|
| |||||||
Principal | ||||||||
Short-Term Investments – 3.6% |
| |||||||
$ 14,876,117 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2021 at 0.000% to be repurchased at $14,876,117 on 10/01/2021 collateralized by $17,610,200 U.S. Treasury Bond, 1.125% due 8/15/2040 valued at $15,173,657 including accrued interest(p) | 14,876,117 | ||||||
17,410,000 | U.S. Treasury Bills, 0.056%, 3/24/2022(a)(q)(r) | 17,406,003 | ||||||
17,950,000 | U.S. Treasury Bills, 0.071%, 6/16/2022(q) | 17,941,960 | ||||||
4,670,000 | U.S. Treasury Bills, 0.105%, 11/04/2021(a)(q) | 4,669,669 | ||||||
|
| |||||||
Total Short-Term Investments (Identified Cost $54,891,808) | 54,893,749 | |||||||
|
| |||||||
Total Investments – 95.2% (Identified Cost $1,443,860,095) | 1,449,902,524 | |||||||
Other assets less liabilities – 4.8% | 72,493,474 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 1,522,395,998 | ||||||
|
|
Written Options – (0.0%)
Description | Expiration Date | Exercise Price | Shares(††) | Notional Amount | Premiums (Received) | Value (†) | ||||||||||||||||
Options on Securities – (0.0%) |
| |||||||||||||||||||||
Accenture PLC, Call | 10/15/2021 | 350.00 | (1,100 | ) | $ | (351,912 | ) | $ | (3,209 | ) | $ | (385 | ) | |||||||||
American Tower Corp., Call | 10/15/2021 | 300.00 | (900 | ) | (238,869 | ) | (2,580 | ) | (113 | ) | ||||||||||||
Apple, Inc., Call | 10/15/2021 | 160.00 | (2,500 | ) | (353,750 | ) | (4,168 | ) | (138 | ) | ||||||||||||
Applied Materials, Inc., Call | 10/15/2021 | 145.00 | (2,800 | ) | (360,444 | ) | (4,584 | ) | (644 | ) | ||||||||||||
Blackstone, Inc., Call | 10/15/2021 | 125.00 | (3,300 | ) | (383,922 | ) | (5,242 | ) | (1,997 | ) | ||||||||||||
Bristol-Myers Squibb Co., Call | 10/15/2021 | 70.00 | (3,800 | ) | (224,846 | ) | (4,169 | ) | (114 | ) | ||||||||||||
Comcast Corp., Call | 10/15/2021 | 62.50 | (4,900 | ) | (274,057 | ) | (3,171 | ) | (172 | ) | ||||||||||||
ConocoPhillips Co., Call | 10/15/2021 | 60.00 | (2,400 | ) | (162,648 | ) | (2,185 | ) | (19,680 | ) | ||||||||||||
Costco Wholesale Corp., Call | 10/15/2021 | 480.00 | (800 | ) | (359,480 | ) | (2,854 | ) | (516 | ) | ||||||||||||
Deere & Co., Call | 10/15/2021 | 390.00 | (1,000 | ) | (335,070 | ) | (5,300 | ) | (170 | ) | ||||||||||||
FOX Corp., Call | 10/15/2021 | 40.00 | (9,800 | ) | (393,078 | ) | (3,973 | ) | (10,290 | ) | ||||||||||||
Goldman Sachs Group, Inc. (The), Call | 10/15/2021 | 435.00 | (900 | ) | (340,227 | ) | (4,380 | ) | (234 | ) | ||||||||||||
Home Depot, Inc. (The), Call | 10/15/2021 | 345.00 | (1,400 | ) | (459,564 | ) | (3,286 | ) | (1,463 | ) | ||||||||||||
Intuit, Inc., Call | 10/15/2021 | 580.00 | (600 | ) | (323,706 | ) | (5,704 | ) | (795 | ) | ||||||||||||
Iron Mountain, Inc., Call | 10/15/2021 | 47.50 | (5,800 | ) | (252,010 | ) | (3,413 | ) | (435 | ) |
Description | Expiration Date | Exercise Price | Shares(††) | Notional Amount | Premiums (Received) | Value (†) | ||||||||||||||||||
JPMorgan Chase & Co., Call | 10/15/2021 | 165.00 | (2,400 | ) | $ | (392,856 | ) | $ | (5,225 | ) | $ | (6,696 | ) | |||||||||||
Lowe’s Cos., Inc., Call | 10/15/2021 | 220.00 | (700 | ) | (142,002 | ) | (1,074 | ) | (137 | ) | ||||||||||||||
Microsoft Corp., Call | 10/15/2021 | 320.00 | (900 | ) | (253,728 | ) | (2,220 | ) | (85 | ) | ||||||||||||||
Morgan Stanley, Call | 10/15/2021 | 110.00 | (4,200 | ) | (408,702 | ) | (6,582 | ) | (609 | ) | ||||||||||||||
NIKE, Inc., Call | 10/15/2021 | 180.00 | (2,500 | ) | (363,075 | ) | (7,394 | ) | (87 | ) | ||||||||||||||
NVIDIA Corp., Call | 10/15/2021 | 247.50 | (1,600 | ) | (331,456 | ) | (4,539 | ) | (304 | ) | ||||||||||||||
NXP Semiconductors NV, Call | 10/15/2021 | 230.00 | (1,800 | ) | (352,566 | ) | (6,061 | ) | (540 | ) | ||||||||||||||
Oracle Corp., Call | 10/15/2021 | 95.00 | (4,200 | ) | (365,946 | ) | (5,406 | ) | (336 | ) | ||||||||||||||
Pfizer, Inc., Call | 10/15/2021 | 55.00 | (5,300 | ) | (227,953 | ) | (3,377 | ) | (79 | ) | ||||||||||||||
Procter & Gamble Co. (The), Call | 10/15/2021 | 150.00 | (1,800 | ) | (251,640 | ) | (1,327 | ) | (189 | ) | ||||||||||||||
Ross Stores, Inc., Call | 10/15/2021 | 135.00 | (2,200 | ) | (239,470 | ) | (2,590 | ) | (110 | ) | ||||||||||||||
Target Corp., Call | 10/15/2021 | 270.00 | (1,100 | ) | (251,647 | ) | (2,109 | ) | (71 | ) | ||||||||||||||
Texas Instruments, Inc., Call | 10/15/2021 | 200.00 | (1,400 | ) | (269,094 | ) | (2,488 | ) | (1,554 | ) | ||||||||||||||
Thermo Fisher Scientific, Inc., Call | 10/15/2021 | 580.00 | (400 | ) | (228,532 | ) | (2,787 | ) | (3,340 | ) | ||||||||||||||
TJX Cos., Inc. (The), Call | 10/15/2021 | 80.00 | (3,600 | ) | (237,528 | ) | (3,842 | ) | (198 | ) | ||||||||||||||
UnitedHealth Group, Inc., Call | 10/15/2021 | 450.00 | (800 | ) | (312,592 | ) | (3,334 | ) | (112 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||||||
Total | $ | (118,573 | ) | $ | (51,593 | ) | ||||||||||||||||||
|
|
|
|
(†) | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans and collateralized loan obligations where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.
Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Centrally cleared swap agreements are valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers.
Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service.
Bilateral interest rate swaps are valued based on prices supplied by an independent pricing source.
Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively.
Option contracts on foreign indices are priced at the most recent settlement price.
Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively.
Over-the-counter (“OTC”) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available.
Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations obtained from broker-dealers.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.
As of September 30, 2021, securities held by the Funds were fair valued as follows:
Securities classified as fair valued | Percentage of Net Assets | Securities fair valued by the Fund’s adviser | Percentage of Net Assets | |||||||||||
$ | 6,149,436 | 0.4 | % | $ | 3,047,952 | 0.2 | % |
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/Par Value stated in U.S. dollars unless otherwise noted. |
(††) | Options on securities are expressed as shares. |
(†††) | 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) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
(b) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of September 30, 2021 is disclosed. |
(c) | Variable rate security. Rate as of September 30, 2021 is disclosed. |
(d) | Illiquid security. |
(e) | Level 3 security. Value has been determined using significant unobservable inputs. |
(f) | Non-income producing security. |
(g) | Fair valued by the Fund’s adviser. At September 30, 2021, the value of these securities amounted to $3,047,952 or 0.2% of net assets. |
(h) | Securities subject to restriction on resale. At September 30, 2021, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||||
ECAF I Blocker Ltd. | 6/18/2015 | $ | 9,000,000 | $ | 1,149,480 | 0.1 | % | |||||||||
GCA2014 Holdings Ltd., Series 2014-1, Class E | 12/18/2014 | 2,170,950 | 46,117 | Less than 0.1 | % |
(i) | Perpetual bond with no specified maturity date. |
(j) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(k) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2021, the value of these securities amounted to $6,149,436 or 0.4% of net assets. |
(l) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
(m) | 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. |
(n) | Position is unsettled. Contract rate was not determined at September 30, 2021 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(o) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at September 30, 2021. 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. |
(p) | 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 September 30, 2021, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
(q) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(r) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
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 September 30, 2021, the value of Rule 144A holdings amounted to $691,203,718 or 45.4% of net assets. |
ABS | Asset-Backed Securities |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
ARS | Auction Rate Security |
EMTN | Euro Medium Term Note |
EURIBOR | Euro Interbank Offered Rate |
GMTN | Global Medium Term Note |
JIBAR | Johannesburg Interbank Agreed Rate |
LIBOR | London Interbank Offered Rate |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
SAFEX | South African Futures Exchange |
SLM | Sallie Mae |
ARS | Argentine Peso |
BRL | Brazilian Real |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
INR | Indian Rupee |
MXN | Mexican Peso |
ZAR | South African Rand |
Swap Agreements
The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
Swap agreements are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.
At September 30, 2021, the Fund had the following open bilateral credit default swap agreements:
Buy Protection
Counterparty | Reference | (Pay)/ Receive Fixed Rate1 | Expiration Date | Notional Value(‡) | Unamortized Up Front Premium Paid/(Received) | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Barclays Bank PLC | United Mexican States | (1.00 | %) | 6/20/2026 | 21,525,000 | $ | 78,248 | $ | (144,934 | ) | $ | (223,182 | ) | |||||||||||||
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At September 30, 2021, the Fund had the following open centrally cleared interest rate swap agreements:
Notional Value | Currency | Expiration Date | Fund Pays1 | Fund Receives1 | Market Value | Unrealized Appreciation (Depreciation)2 | ||||||||||||||||||
330,000,000 | ZAR | 5/07/2030 | 7.580 | % | 3-month SAFEX-JIBAR | $ | (568,833 | ) | $ | (570,309 | ) | |||||||||||||
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At September 30, 2021, the Fund had the following open centrally cleared credit default swap agreements:
Buy Protection
Reference | (Pay)/ Receive Fixed Rate1 | Expiration Date | Notional Value(‡) | Unamortized Up Front Premium Paid/(Received) | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
CDX.NA HY* Series 37 500, 5-Year | (5.00 | %) | 12/20/2026 | 69,000,000 | $ | (6,524,004 | ) | $ | (6,449,208 | ) | $ | 74,796 | ||||||||||||
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(‡) | Notional value stated in U.S. dollars unless otherwise noted. |
1 | Payments are made quarterly. |
2 | Differences between unrealized appreciation (depreciation) and market value, if any, are due to interest booked as part of the initial trades. |
* | CDX.NA.HY is an index composed of North American high yield credit default swaps. |
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 September 30, 2021, 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. | 12/02/2021 | BRL S | 17,876,000 | $ | 3,350,263 | $ | 3,251,249 | $ | 99,014 | |||||||||||
Bank of America, N.A. | 10/26/2021 | EUR S | 1,665,000 | 1,971,477 | 1,929,444 | 42,033 | ||||||||||||||
Barclays Bank PLC | 10/26/2021 | EUR S | 1,955,000 | 2,314,074 | 2,265,503 | 48,571 | ||||||||||||||
Deutsche Bank AG | 10/29/2021 | GBP S | 1,400,000 | 1,941,247 | 1,886,419 | 54,828 | ||||||||||||||
HSBC Bank USA | 11/17/2021 | EUR S | 590,000 | 696,613 | 683,993 | 12,620 | ||||||||||||||
Morgan Stanley Capital Services, Inc. | 10/08/2021 | COP S | 5,186,874,000 | 1,378,369 | 1,361,838 | 16,531 |
Counterparty | Delivery Date | Currency Bought/ Sold (B/S) | Units of Currency | In Exchange for | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||||
Morgan Stanley Capital Services, Inc. | 10/29/2021 | EUR S | 1,480,000 | $ | 1,748,132 | $ | 1,715,159 | $ | 32,973 | |||||||||||
Morgan Stanley Capital Services, Inc. | 10/29/2021 | ZAR S | 315,790,000 | 21,014,420 | 20,900,746 | 113,674 | ||||||||||||||
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Total |
| $ | 420,244 | |||||||||||||||||
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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 September 30, 2021, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
30 Year U.S. Treasury Bond | 12/21/2021 | 556 | $ | 90,461,710 | $ | 88,525,625 | $ | 1,936,085 | ||||||||||||
Ultra 10 Year U.S. Treasury Note | 12/21/2021 | 517 | 76,248,393 | 75,094,250 | 1,154,143 | |||||||||||||||
Ultra Long U.S. Treasury Bond | 12/21/2021 | 353 | 69,168,665 | 67,445,062 | 1,723,603 | |||||||||||||||
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Total |
| $ | 4,813,831 | |||||||||||||||||
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Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• | Level 1 — quoted prices in active markets for identical assets or liabilities; |
• | Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
• | Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2021, at value:
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
ABS Other | $ | — | $ | 61,762,569 | $ | 46,117 | (a) | $ | 61,808,686 | |||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 46,010,553 | 1,852,355 | (a) | 47,862,908 | |||||||||||
All Other Non-Convertible Bonds* | — | 1,062,955,969 | — | 1,062,955,969 | ||||||||||||
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Total Non-Convertible Bonds | — | 1,170,729,091 | 1,898,472 | 1,172,627,563 | ||||||||||||
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Convertible Bonds* | — | 58,218,502 | — | 58,218,502 | ||||||||||||
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Total Bonds and Notes | — | 1,228,947,593 | 1,898,472 | 1,230,846,065 | ||||||||||||
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Senior Loans* | — | 17,599,198 | — | 17,599,198 | ||||||||||||
Collateralized Loan Obligations | — | 63,486,137 | — | 63,486,137 | ||||||||||||
Common Stocks | ||||||||||||||||
Chemicals | 482,764 | 2,932,794 | — | 3,415,558 | ||||||||||||
Textiles, Apparel & Luxury Goods | 467,931 | 883,869 | — | 1,351,800 | ||||||||||||
All Other Common Stocks* | 57,293,763 | — | — | 57,293,763 | ||||||||||||
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Total Common Stocks | 58,244,458 | 3,816,663 | — | 62,061,121 | ||||||||||||
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Preferred Stocks | ||||||||||||||||
Food & Beverage | — | 3,721,587 | — | 3,721,587 | ||||||||||||
Wireless | — | 3,670,479 | — | 3,670,479 | ||||||||||||
All Other Preferred Stocks* | 12,474,708 | — | — | 12,474,708 | ||||||||||||
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Total Preferred Stocks | 12,474,708 | 7,392,066 | — | 19,866,774 | ||||||||||||
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Other Investments* | — | — | 1,149,480 | (a) | 1,149,480 | |||||||||||
Short-Term Investments | — | 54,893,749 | — | 54,893,749 | ||||||||||||
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Total Investments | 70,719,166 | 1,376,135,406 | 3,047,952 | 1,449,902,524 | ||||||||||||
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Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) | — | 74,796 | — | 74,796 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | — | 420,244 | — | 420,244 | ||||||||||||
Futures Contracts (unrealized appreciation) | 4,813,831 | — | — | 4,813,831 | ||||||||||||
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Total | $ | 75,532,997 | $ | 1,376,630,446 | $ | 3,047,952 | $ | 1,455,211,395 | ||||||||
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Liability Valuation Inputs | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options* | $ | (51,593 | ) | $ | — | $ | — | $ | (51,593 | ) | ||||||
Bilateral Credit Default Swap Agreements (unrealized depreciation) | — | (223,182 | ) | — | (223,182 | ) | ||||||||||
Centrally Cleared Interest Rate Swap Agreements (unrealized depreciation) | — | (570,309 | ) | — | (570,309 | ) | ||||||||||
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Total | $ | (51,593 | ) | $ | (793,491 | ) | $ | — | $ | (845,084 | ) | |||||
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* | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
(a) | Fair valued by the Fund’s adviser. |
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2020 and/or September 30, 2021:
Asset Valuation Inputs
Investments in Securities | Balance as of December 31, 2020 | 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 September 30, 2021 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2021 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
ABS Other | $ | 1,475,243 | (a) | $ | — | $ | (5,298 | ) | $ | 3,017,223 | $ | 138,274 | $ | (4,579,325 | ) | $ | — | $ | — | $ | 46,117 | $ | 532,773 | |||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | 4,742,511 | — | — | (2,890,156 | ) | — | — | — | — | 1,852,355 | (2,890,156 | ) | ||||||||||||||||||||||||||||
Loan Participations | ||||||||||||||||||||||||||||||||||||||||
ABS Other | 580,841 | 46 | (410,923 | ) | 478,390 | 34,327 | (682,681 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Energy | — | (a) | — | (1,062,020 | ) | 1,062,020 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Other Investments | ||||||||||||||||||||||||||||||||||||||||
Aircraft ABS | 1,130,400 | — | — | 19,080 | — | — | — | — | 1,149,480 | 19,080 | ||||||||||||||||||||||||||||||
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Total | $ | 7,928,995 | $ | 46 | $ | (1,478,241 | ) | $ | 1,686,557 | $ | 172,601 | $ | (5,262,006 | ) | $ | — | $ | — | $ | 3,047,952 | $ | (2,338,303 | ) | |||||||||||||||||
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(a) | Includes a security fair valued at zero using level 3 inputs. |
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 during the period include forward foreign currency contracts, futures contracts, option contracts and swap agreements.
The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Fund may also use credit default swaps, as a protection seller, to gain investment exposure. During the period ended September 30, 2021, the Fund engaged in credit default swap agreements (as a protection buyer) to hedge its credit exposure.
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. During the period ended September 30, 2021, the Fund engaged in forward foreign currency contracts for hedging purposes 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 and interest rate swap agreements to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may also use futures contracts and interest rate swap agreements to gain investment exposure. During the period ended September 30, 2021, the Fund engaged in futures contracts and interest rate swap agreements for hedging purposes and to manage duration and interest rate swap agreements to gain investment exposure and yield curve management.
The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes and use futures and option contracts to gain investment exposure. During the period ended September 30, 2021, the Fund engaged in option contracts for hedging purposes.
The following is a summary of derivative instruments for the Fund, as of September 30, 2021:
Assets | Unrealized appreciation on forward foreign currency contracts | Unrealized appreciation on futures contracts | Total | |||||||||
Over-the-counter asset derivatives | ||||||||||||
Foreign exchange contracts | $ | 420,244 | $ | — | $ | 420,244 | ||||||
Exchange-traded/cleared asset derivatives | ||||||||||||
Interest rate contracts | $ | — | $ | 4,813,831 | $ | 4,813,831 | ||||||
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Total asset derivatives | $ | 420,244 | $ | 4,813,831 | $ | 5,234,075 | ||||||
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Liabilities | Options written at value | Swap agreements at value | Total | |||||||||
Over-the-counter liability derivatives | ||||||||||||
Credit contracts | $ | — | $ | (144,934 | ) | $ | (144,934 | ) | ||||
Exchange-traded/cleared liability derivatives |
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Interest rate contracts | $ | — | $ | (568,833 | ) | $ | (568,833 | ) | ||||
Credit contracts | — | (6,449,208 | ) | (6,449,208 | ) | |||||||
Equity contracts | (51,593 | ) | — | (51,593 | ) | |||||||
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Total exchange-traded/cleared liability derivatives | $ | (51,593 | ) | $ | (7,018,041 | ) | $ | (7,069,634 | ) | |||
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Total liability derivatives | $ | (51,593 | ) | $ | (7,162,975 | ) | $ | (7,214,568 | ) | |||
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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.
OTC derivatives, including forward foreign currency contracts and swap agreements, 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 September 30, 2021, 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 | ||||||
Barclays Bank | $ | (96,363 | ) | $ | — |
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The 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 (typically $250,000, depending on the counterparty). 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. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2021:
Maximum Amount of Loss - Gross | Maximum Amount of Loss - Net | |||||
$ | 21,275,109 | $ | 21,063,360 |
Net loss amount reflects cash received as collateral of $350,000.
Industry Summary at September 30, 2021 (Unaudited)
Banking | 6.9 | % | ||
ABS Home Equity | 5.8 | |||
Finance Companies | 5.3 | |||
Technology | 4.4 | |||
ABS Other | 4.1 | |||
ABS Car Loan | 4.0 | |||
Cable Satellite | 3.7 | |||
Non-Agency Commercial Mortgage-Backed Securities | 3.1 | |||
Consumer Cyclical Services | 2.9 | |||
Aerospace & Defense | 2.8 | |||
Government Owned - No Guarantee | 2.5 | |||
Pharmaceuticals | 2.5 | |||
Wireless | 2.4 | |||
Food & Beverage | 2.2 | |||
Treasuries | 2.1 | |||
ABS Whole Business | 2.0 | |||
Other Investments, less than 2% each | 30.7 | |||
Collateralized Loan Obligations | 4.2 | |||
Short-Term Investments | 3.6 | |||
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Total Investments | 95.2 | |||
Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts) | 4.8 | |||
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Net Assets | 100.0 | % | ||
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