PORTFOLIO OF INVESTMENTS – as of September 30, 2022 (Unaudited)
Loomis Sayles High Income Fund
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – 90.1% of Net Assets |
||||||||
| Non-Convertible Bonds – 85.2% |
||||||||
| ABS Home Equity – 0.1% |
| |||||||
| $ | 107,056 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.660%, 3.653%, 9/19/2045(a) |
$ | 69,261 | ||||
|
|
|
|||||||
| Aerospace & Defense – 2.2% |
| |||||||
| 100,000 | Bombardier, Inc., 6.000%, 2/15/2028, 144A |
83,667 | ||||||
| 850,000 | Bombardier, Inc., 7.125%, 6/15/2026, 144A |
779,594 | ||||||
| 263,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A |
241,381 | ||||||
| 60,000 | Moog, Inc., 4.250%, 12/15/2027, 144A |
53,129 | ||||||
| 615,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 |
444,461 | ||||||
| 190,000 | Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A |
179,024 | ||||||
| 215,000 | TransDigm, Inc., 4.875%, 5/01/2029 |
173,786 | ||||||
| 40,000 | TransDigm, Inc., 5.500%, 11/15/2027 |
34,788 | ||||||
| 270,000 | TransDigm, Inc., 6.250%, 3/15/2026, 144A |
261,900 | ||||||
| 360,000 | TransDigm, Inc., 8.000%, 12/15/2025, 144A |
365,116 | ||||||
|
|
|
|||||||
| 2,616,846 | ||||||||
|
|
|
|||||||
| Airlines – 1.2% |
| |||||||
| 180,000 | Allegiant Travel Co., 7.250%, 8/15/2027, 144A |
169,650 | ||||||
| 1,355,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A |
1,182,238 | ||||||
|
|
|
|||||||
| 1,351,888 | ||||||||
|
|
|
|||||||
| Automotive – 2.3% |
| |||||||
| 30,000 | Allison Transmission, Inc., 4.750%, 10/01/2027, 144A |
26,420 | ||||||
| 75,000 | Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A |
71,380 | ||||||
| 710,000 | Ford Motor Co., 3.250%, 2/12/2032 |
511,434 | ||||||
| 820,000 | Ford Motor Credit Co. LLC, 2.300%, 2/10/2025 |
726,764 | ||||||
| 635,000 | Ford Motor Credit Co. LLC, 4.063%, 11/01/2024 |
596,043 | ||||||
| 160,000 | General Motors Co., 6.250%, 10/02/2043 |
138,981 | ||||||
| 275,000 | Goodyear Tire & Rubber Co. (The), 4.875%, 3/15/2027 |
243,375 | ||||||
| 55,000 | Goodyear Tire & Rubber Co. (The), 5.000%, 7/15/2029 |
44,899 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Automotive – continued |
| |||||||
| $ | 300,000 | Jaguar Land Rover Automotive PLC, 5.875%, 1/15/2028 |
$ | 210,750 | ||||
| 65,000 | Real Hero Merger Sub 2, Inc., 6.250%, 2/01/2029, 144A |
46,936 | ||||||
| 40,000 | Tenneco, Inc., 7.875%, 1/15/2029, 144A |
38,937 | ||||||
| 85,000 | Wheel Pros, Inc., 6.500%, 5/15/2029, 144A |
38,888 | ||||||
|
|
|
|||||||
| 2,694,807 | ||||||||
|
|
|
|||||||
| Banking – 2.3% |
| |||||||
| 600,000 | Banco Santander S.A, 5.147%, 8/18/2025 |
582,171 | ||||||
| 475,000 | Credit Suisse Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A |
459,149 | ||||||
| 410,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 |
265,772 | ||||||
| 600,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 |
470,608 | ||||||
| 400,000 | Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A |
363,807 | ||||||
| 800,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A |
594,832 | ||||||
|
|
|
|||||||
| 2,736,339 | ||||||||
|
|
|
|||||||
| Brokerage – 0.2% |
| |||||||
| 130,000 | Coinbase Global, Inc., 3.375%, 10/01/2028, 144A |
81,309 | ||||||
| 60,000 | Coinbase Global, Inc., 3.625%, 10/01/2031, 144A |
33,268 | ||||||
| 200,000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.000%, 8/15/2028, 144A |
147,500 | ||||||
|
|
|
|||||||
| 262,077 | ||||||||
|
|
|
|||||||
| Building Materials – 2.2% |
| |||||||
| 90,000 | Builders FirstSource, Inc., 4.250%, 2/01/2032, 144A |
69,042 | ||||||
| 265,000 | Builders FirstSource, Inc., 5.000%, 3/01/2030, 144A |
225,250 | ||||||
| 1,060,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A |
835,257 | ||||||
| 285,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A |
246,169 | ||||||
| 205,000 | Cornerstone Building Brands, Inc., 6.125%, 1/15/2029, 144A |
114,390 | ||||||
| 50,000 | CP Atlas Buyer, Inc., 7.000%, 12/01/2028, 144A |
37,246 | ||||||
| 290,000 | Foundation Building Materials, Inc., 6.000%, 3/01/2029, 144A |
211,648 | ||||||
| 120,000 | JELD-WEN, Inc., 4.625%, 12/15/2025, 144A |
97,200 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Building Materials – continued |
| |||||||
| $ | 235,000 | LBM Acquisition LLC, 6.250%, 1/15/2029, 144A |
$ | 159,212 | ||||
| 130,000 | MIWD Holdco II LLC/MIWD Finance Corp., 5.500%, 2/01/2030, 144A |
96,281 | ||||||
| 250,000 | Park River Holdings, Inc., 5.625%, 2/01/2029, 144A |
162,234 | ||||||
| 125,000 | Patrick Industries, Inc., 4.750%, 5/01/2029, 144A |
93,170 | ||||||
| 105,000 | Standard Industries, Inc., 4.375%, 7/15/2030, 144A |
80,325 | ||||||
| 45,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A |
39,600 | ||||||
| 165,000 | Victors Merger Corp., 6.375%, 5/15/2029, 144A |
98,772 | ||||||
|
|
|
|||||||
| 2,565,796 | ||||||||
|
|
|
|||||||
| Cable Satellite – 8.6% |
| |||||||
| 410,000 | Altice Financing S.A., 5.000%, 1/15/2028, 144A |
315,815 | ||||||
| 80,000 | Block Communications, Inc., 4.875%, 3/01/2028, 144A |
69,200 | ||||||
| 550,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A |
425,491 | ||||||
| 610,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A |
436,626 | ||||||
| 305,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A |
241,206 | ||||||
| 75,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032 |
57,200 | ||||||
| 1,355,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 3/01/2030, 144A |
1,099,244 | ||||||
| 600,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.750%, 2/01/2032, 144A |
467,268 | ||||||
| 205,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.000%, 2/01/2028, 144A |
176,763 | ||||||
| 60,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.500%, 5/01/2026, 144A |
56,850 | ||||||
| 30,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.908%, 7/23/2025 |
29,255 | ||||||
| 2,720,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A |
1,849,600 | ||||||
| 555,000 | CSC Holdings LLC, 4.625%, 12/01/2030 |
377,400 | ||||||
| 405,000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A |
267,519 | ||||||
| 250,000 | CSC Holdings LLC, 5.750%, 1/15/2030 |
177,691 | ||||||
| 730,000 | DIRECTV Financing LLC/DIRECTV Financing Co-Obligor, Inc., 5.875%, 8/15/2027, 144A |
629,340 | ||||||
| 925,000 | DISH DBS Corp., 5.125%, 6/01/2029 |
543,437 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Cable Satellite – continued |
| |||||||
| $ | 150,000 | DISH DBS Corp., 7.375%, 7/01/2028 |
$ | 101,002 | ||||
| 980,000 | DISH DBS Corp., 7.750%, 7/01/2026 |
751,729 | ||||||
| 305,694 | Ligado Networks LLC, 15.500% PIK, 11/01/2023, 144A(b) |
139,091 | ||||||
| 100,350 | Ligado Networks LLC, 17.500% PIK, 5/01/2024, 144A(b) |
25,087 | ||||||
| 300,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.500%, 9/15/2028, 144A |
209,250 | ||||||
| 400,000 | Telenet Finance Luxembourg Notes S.a.r.l., 5.500%, 3/01/2028, 144A |
347,276 | ||||||
| 125,000 | Telesat Canada/Telesat LLC, 5.625%, 12/06/2026, 144A |
59,725 | ||||||
| 310,000 | UPC Broadband Finco B.V., 4.875%, 7/15/2031, 144A |
240,569 | ||||||
| 110,000 | ViaSat, Inc., 6.500%, 7/15/2028, 144A |
73,150 | ||||||
| 445,000 | Virgin Media Secured Finance PLC, 5.500%, 5/15/2029, 144A |
380,991 | ||||||
| 565,000 | Ziggo Bond Co. BV, 6.000%, 1/15/2027, 144A |
471,775 | ||||||
|
|
|
|||||||
| 10,019,550 | ||||||||
|
|
|
|||||||
| Chemicals – 0.5% |
| |||||||
| 150,000 | ASP Unifrax Holdings, Inc., 5.250%, 9/30/2028, 144A |
115,198 | ||||||
| 55,000 | Chemours Co. (The), 5.375%, 5/15/2027 |
47,871 | ||||||
| 150,000 | Consolidated Energy Finance S.A., 5.625%, 10/15/2028, 144A |
120,330 | ||||||
| 330,000 | Hercules LLC, 6.500%, 6/30/2029 |
318,120 | ||||||
|
|
|
|||||||
| 601,519 | ||||||||
|
|
|
|||||||
| Consumer Cyclical Services – 3.2% |
| |||||||
| 640,000 | ADT Security Corp. (The), 4.125%, 8/01/2029, 144A |
531,200 | ||||||
| 95,000 | ANGI Group LLC, 3.875%, 8/15/2028, 144A |
67,005 | ||||||
| 35,000 | Arches Buyer, Inc., 6.125%, 12/01/2028, 144A |
27,113 | ||||||
| 45,000 | Match Group Holdings II LLC, 3.625%, 10/01/2031, 144A |
33,975 | ||||||
| 125,000 | Match Group Holdings II LLC, 5.000%, 12/15/2027, 144A |
111,562 | ||||||
| 440,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.250%, 4/15/2030, 144A |
298,800 | ||||||
| 330,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 5.750%, 1/15/2029, 144A |
238,012 | ||||||
| 240,000 | Terminix Co. LLC (The), 7.450%, 8/15/2027 |
270,600 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Consumer Cyclical Services – continued |
| |||||||
| $ | 1,560,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A |
$ | 1,311,375 | ||||
| 760,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A |
706,800 | ||||||
| 115,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A |
112,700 | ||||||
| 30,000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A |
29,953 | ||||||
|
|
|
|||||||
| 3,739,095 | ||||||||
|
|
|
|||||||
| Consumer Products – 0.6% |
| |||||||
| 145,000 | Coty, Inc., 5.000%, 4/15/2026, 144A |
132,015 | ||||||
| 20,000 | Coty, Inc., 6.500%, 4/15/2026, 144A |
18,432 | ||||||
| 305,000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.750%, 1/15/2029, 144A |
258,027 | ||||||
| 250,000 | Energizer Holdings, Inc., 4.375%, 3/31/2029, 144A |
185,445 | ||||||
| 135,000 | Tempur Sealy International, Inc., 3.875%, 10/15/2031, 144A |
98,887 | ||||||
|
|
|
|||||||
| 692,806 | ||||||||
|
|
|
|||||||
| Diversified Manufacturing – 0.3% |
| |||||||
| 120,000 | Madison IAQ LLC, 5.875%, 6/30/2029, 144A |
83,587 | ||||||
| 120,000 | Resideo Funding, Inc., 4.000%, 9/01/2029, 144A |
96,718 | ||||||
| 200,000 | TK Elevator U.S. Newco, Inc., 5.250%, 7/15/2027, 144A |
170,042 | ||||||
|
|
|
|||||||
| 350,347 | ||||||||
|
|
|
|||||||
| Electric – 1.1% |
| |||||||
| 1,060,000 | Calpine Corp., 5.125%, 3/15/2028, 144A |
910,399 | ||||||
| 315,000 | NRG Energy, Inc., 3.625%, 2/15/2031, 144A |
245,700 | ||||||
| 40,000 | NRG Energy, Inc., 3.875%, 2/15/2032, 144A |
31,202 | ||||||
| 140,000 | PG&E Corp., 5.000%, 7/01/2028 |
120,394 | ||||||
| 25,000 | PG&E Corp., 5.250%, 7/01/2030 |
21,286 | ||||||
|
|
|
|||||||
| 1,328,981 | ||||||||
|
|
|
|||||||
| Environmental – 0.2% |
| |||||||
| 315,000 | GFL Environmental, Inc., 4.000%, 8/01/2028, 144A |
262,546 | ||||||
|
|
|
|||||||
| Finance Companies – 4.2% |
| |||||||
| 455,000 | Cobra AcquisitionCo LLC, 6.375%, 11/01/2029, 144A |
317,363 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Finance Companies – continued |
| |||||||
| $ | 295,000 | Freedom Mortgage Corp., 7.625%, 5/01/2026, 144A |
$ | 220,307 | ||||
| 155,437 | Global Aircraft Leasing Co. Ltd., 7.250% PIK or 6.500% Cash, 9/15/2024, 144A(c) |
116,966 | ||||||
| 115,000 | LFS Topco LLC, 5.875%, 10/15/2026, 144A |
91,426 | ||||||
| 655,000 | Navient Corp., 4.875%, 3/15/2028 |
500,309 | ||||||
| 500,000 | Navient Corp., 5.500%, 3/15/2029 |
380,074 | ||||||
| 95,000 | Navient Corp., 6.750%, 6/25/2025 |
88,935 | ||||||
| 385,000 | OneMain Finance Corp., 3.500%, 1/15/2027 |
299,905 | ||||||
| 800,000 | OneMain Finance Corp., 7.125%, 3/15/2026 |
721,122 | ||||||
| 275,000 | Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A |
249,906 | ||||||
| 285,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A |
233,700 | ||||||
| 25,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A |
19,241 | ||||||
| 380,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029 |
292,467 | ||||||
| 905,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A |
655,993 | ||||||
| 995,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A |
684,076 | ||||||
|
|
|
|||||||
| 4,871,790 | ||||||||
|
|
|
|||||||
| Financial Other – 1.6% |
| |||||||
| 210,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 |
59,052 | ||||||
| 200,000 | CFLD Cayman Investment Ltd., 6.900%, 1/13/2023(d) |
19,376 | ||||||
| 200,000 | CFLD Cayman Investment Ltd., 8.600%, 4/08/2024(d) |
18,864 | ||||||
| 200,000 | China Aoyuan Group Ltd., 6.200%, 3/24/2026(d) |
13,142 | ||||||
| 200,000 | China Evergrande Group, 8.750%, 6/28/2025(d) |
12,540 | ||||||
| 206,049 | Easy Tactic Ltd., 7.500% PIK or 6.500% Cash, 7/11/2027(e) |
30,359 | ||||||
| 220,000 | Fantasia Holdings Group Co. Ltd., 11.875%, 6/01/2023(d) |
19,789 | ||||||
| 85,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 |
68,415 | ||||||
| 1,130,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 |
989,326 | ||||||
| 200,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(d) |
21,598 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Financial Other – continued |
| |||||||
| $ | 200,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(d) |
$ | 21,270 | ||||
| 400,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(d) |
42,832 | ||||||
| 335,000 | Nationstar Mortgage Holdings, Inc., 5.750%, 11/15/2031, 144A |
245,681 | ||||||
| 120,000 | Nationstar Mortgage Holdings, Inc., 6.000%, 1/15/2027, 144A |
102,450 | ||||||
| 200,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d) |
24,784 | ||||||
| 200,000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026(d) |
28,450 | ||||||
| 200,000 | Sunac China Holdings Ltd., 6.650%, 8/03/2024(d) |
28,336 | ||||||
| 200,000 | Times China Holdings Ltd., 6.200%, 3/22/2026 |
22,144 | ||||||
| 400,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d) |
24,636 | ||||||
| 400,000 | Zhenro Properties Group Ltd., 6.630%, 1/07/2026(d) |
16,968 | ||||||
| 200,000 | Zhenro Properties Group Ltd., 6.700%, 8/04/2026(d) |
8,606 | ||||||
|
|
|
|||||||
| 1,818,618 | ||||||||
|
|
|
|||||||
| Food & Beverage – 1.9% |
| |||||||
| 65,000 | Aramark Services, Inc., 5.000%, 2/01/2028, 144A |
57,896 | ||||||
| 165,000 | Central American Bottling Corp./CBC Bottling Holdco SL/Beliv Holdco SL, 5.250%, 4/27/2029, 144A |
143,137 | ||||||
| 40,000 | Darling Ingredients, Inc., 6.000%, 6/15/2030, 144A |
38,068 | ||||||
| 165,000 | HLF Financing S.a.r.l. LLC/Herbalife International, Inc., 4.875%, 6/01/2029, 144A |
117,751 | ||||||
| 305,000 | MARB BondCo. PLC, 3.950%, 1/29/2031, 144A |
220,744 | ||||||
| 140,000 | Performance Food Group, Inc., 4.250%, 8/01/2029, 144A |
116,564 | ||||||
| 230,000 | Performance Food Group, Inc., 5.500%, 10/15/2027, 144A |
209,031 | ||||||
| 370,000 | Post Holdings, Inc., 4.500%, 9/15/2031, 144A |
297,850 | ||||||
| 645,000 | Post Holdings, Inc., 4.625%, 4/15/2030, 144A |
529,706 | ||||||
| 125,000 | Post Holdings, Inc., 5.750%, 3/01/2027, 144A |
119,226 | ||||||
| 105,000 | Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.625%, 3/01/2029, 144A |
85,838 | ||||||
| 120,000 | TreeHouse Foods, Inc., 4.000%, 9/01/2028 |
95,687 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Food & Beverage – continued |
| |||||||
| $ | 205,000 | US Foods, Inc., 4.750%, 2/15/2029, 144A |
$ | 175,480 | ||||
|
|
|
|||||||
| 2,206,978 | ||||||||
|
|
|
|||||||
| Gaming – 3.5% |
| |||||||
| 520,000 | Boyd Gaming Corp., 4.750%, 12/01/2027 |
460,205 | ||||||
| 165,000 | Boyd Gaming Corp., 4.750%, 6/15/2031, 144A |
133,601 | ||||||
| 220,000 | Caesars Entertainment, Inc., 6.250%, 7/01/2025, 144A |
212,025 | ||||||
| 400,000 | Melco Resorts Finance Ltd., 5.375%, 12/04/2029, 144A |
242,000 | ||||||
| 200,000 | MGM China Holdings Ltd., 4.750%, 2/01/2027, 144A |
155,420 | ||||||
| 25,000 | Mohegan Gaming & Entertainment, 8.000%, 2/01/2026, 144A |
20,866 | ||||||
| 200,000 | Sands China Ltd., 3.350%, 3/08/2029 |
148,562 | ||||||
| 605,000 | Sands China Ltd., 4.875%, 6/18/2030 |
473,393 | ||||||
| 575,000 | Scientific Games International, Inc., 7.000%, 5/15/2028, 144A |
542,139 | ||||||
| 415,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A |
386,245 | ||||||
| 200,000 | Studio City Finance Ltd., 5.000%, 1/15/2029, 144A |
89,630 | ||||||
| 230,000 | Studio City Finance Ltd., 6.500%, 1/15/2028, 144A |
112,176 | ||||||
| 135,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A |
121,850 | ||||||
| 140,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A |
127,852 | ||||||
| 205,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 1/15/2028, 144A |
181,873 | ||||||
| 125,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A |
117,628 | ||||||
| 105,000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A |
103,189 | ||||||
| 450,000 | Wynn Macau Ltd., 5.125%, 12/15/2029, 144A |
292,500 | ||||||
| 165,000 | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.125%, 10/01/2029, 144A |
133,353 | ||||||
|
|
|
|||||||
| 4,054,507 | ||||||||
|
|
|
|||||||
| Government Owned - No Guarantee – 0.4% |
| |||||||
| 135,000 | EcoPetrol S.A., 4.625%, 11/02/2031 |
94,500 | ||||||
| 340,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 |
229,636 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Government Owned - No Guarantee – continued |
| |||||||
| $ | 280,000 | YPF S.A., 6.950%, 7/21/2027, 144A |
$ | 163,660 | ||||
|
|
|
|||||||
| 487,796 | ||||||||
|
|
|
|||||||
| Health Insurance – 0.3% |
| |||||||
| 420,000 | Centene Corp., 2.450%, 7/15/2028 |
341,972 | ||||||
| 70,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A |
57,339 | ||||||
|
|
|
|||||||
| 399,311 | ||||||||
|
|
|
|||||||
| Healthcare – 3.8% |
| |||||||
| 100,000 | AdaptHealth LLC, 5.125%, 3/01/2030, 144A |
82,453 | ||||||
| 110,000 | AHP Health Partners, Inc., 5.750%, 7/15/2029, 144A |
85,250 | ||||||
| 710,000 | CHS/Community Health Systems, Inc., 5.250%, 5/15/2030, 144A |
494,337 | ||||||
| 220,000 | CHS/Community Health Systems, Inc., 6.125%, 4/01/2030, 144A |
103,752 | ||||||
| 65,000 | CHS/Community Health Systems, Inc., 6.875%, 4/15/2029, 144A |
31,397 | ||||||
| 235,000 | CHS/Community Health Systems, Inc., 8.000%, 3/15/2026, 144A |
203,460 | ||||||
| 400,000 | DaVita, Inc., 3.750%, 2/15/2031, 144A |
285,000 | ||||||
| 180,000 | DaVita, Inc., 4.625%, 6/01/2030, 144A |
139,275 | ||||||
| 155,000 | Encompass Health Corp., 4.500%, 2/01/2028 |
132,756 | ||||||
| 260,000 | Encompass Health Corp., 4.750%, 2/01/2030 |
213,896 | ||||||
| 205,000 | Garden Spinco Corp., 8.625%, 7/20/2030, 144A |
211,792 | ||||||
| 470,000 | LifePoint Health, Inc., 5.375%, 1/15/2029, 144A |
327,687 | ||||||
| 210,000 | Medline Borrower LP, 5.250%, 10/01/2029, 144A |
158,550 | ||||||
| 75,000 | ModivCare Escrow Issuer, Inc., 5.000%, 10/01/2029, 144A |
60,938 | ||||||
| 40,000 | ModivCare, Inc., 5.875%, 11/15/2025, 144A |
36,917 | ||||||
| 75,000 | RP Escrow Issuer LLC, 5.250%, 12/15/2025, 144A |
61,980 | ||||||
| 615,000 | Tenet Healthcare Corp., 4.375%, 1/15/2030, 144A |
512,928 | ||||||
| 100,000 | Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A |
87,397 | ||||||
| 135,000 | Tenet Healthcare Corp., 5.125%, 11/01/2027, 144A |
121,134 | ||||||
| 95,000 | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A |
83,228 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Healthcare – continued |
| |||||||
| $ | 505,000 | Tenet Healthcare Corp., 6.125%, 6/15/2030, 144A |
$ | 462,580 | ||||
| 490,000 | Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A |
457,243 | ||||||
| 80,000 | U.S. Acute Care Solutions LLC, 6.375%, 3/01/2026, 144A |
67,200 | ||||||
|
|
|
|||||||
| 4,421,150 | ||||||||
|
|
|
|||||||
| Home Construction – 0.2% |
| |||||||
| 155,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC, 4.875%, 2/15/2030, 144A |
114,753 | ||||||
| 1,200,000 | Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(d)(f) |
— | ||||||
| 100,000 | Empire Communities Corp., 7.000%, 12/15/2025, 144A |
82,979 | ||||||
|
|
|
|||||||
| 197,732 | ||||||||
|
|
|
|||||||
| Independent Energy – 6.6% |
| |||||||
| 215,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.000%, 11/01/2026, 144A |
207,289 | ||||||
| 390,000 | Baytex Energy Corp., 8.750%, 4/01/2027, 144A |
391,950 | ||||||
| 45,000 | California Resources Corp., 7.125%, 2/01/2026, 144A |
42,300 | ||||||
| 190,000 | Callon Petroleum Co., 8.000%, 8/01/2028, 144A |
175,275 | ||||||
| 580,000 | Chesapeake Energy Corp., 5.500%, 2/01/2026, 144A |
555,350 | ||||||
| 120,000 | Chesapeake Energy Corp., 6.750%, 4/15/2029, 144A |
115,034 | ||||||
| 65,000 | Chord Energy Corp., 6.375%, 6/01/2026, 144A |
61,750 | ||||||
| 255,000 | CNX Resources Corp., 7.250%, 3/14/2027, 144A |
248,018 | ||||||
| 135,000 | Colgate Energy Partners III LLC, 5.875%, 7/01/2029, 144A |
120,505 | ||||||
| 105,000 | Comstock Resources, Inc., 6.750%, 3/01/2029, 144A |
96,842 | ||||||
| 150,000 | Crescent Energy Finance LLC, 7.250%, 5/01/2026, 144A |
134,763 | ||||||
| 165,000 | Energean Israel Finance Ltd., 4.875%, 3/30/2026, 144A |
145,613 | ||||||
| 85,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A |
72,038 | ||||||
| 285,000 | EQT Corp., 3.900%, 10/01/2027 |
259,349 | ||||||
| 40,000 | EQT Corp., 5.678%, 10/01/2025 |
39,754 | ||||||
| 30,000 | EQT Corp., 5.700%, 4/01/2028 |
29,411 | ||||||
| 165,000 | EQT Corp., 6.125%, 2/01/2025 |
165,211 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Independent Energy – continued |
| |||||||
| $ | 125,000 | Gulfport Energy Corp., 8.000%, 5/17/2026, 144A |
$ | 124,375 | ||||
| 285,000 | Matador Resources Co., 5.875%, 9/15/2026 |
274,931 | ||||||
| 185,000 | MEG Energy Corp., 5.875%, 2/01/2029, 144A |
166,037 | ||||||
| 130,000 | Murphy Oil Corp., 6.125%, 12/01/2042 |
103,399 | ||||||
| 425,000 | Northern Oil & Gas, Inc., 8.125%, 3/01/2028, 144A |
398,437 | ||||||
| 70,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 |
70,080 | ||||||
| 260,000 | Occidental Petroleum Corp., 6.125%, 1/01/2031 |
256,100 | ||||||
| 80,000 | Occidental Petroleum Corp., 6.450%, 9/15/2036 |
80,000 | ||||||
| 470,000 | Occidental Petroleum Corp., 6.600%, 3/15/2046 |
484,100 | ||||||
| 345,000 | Occidental Petroleum Corp., 6.625%, 9/01/2030 |
350,175 | ||||||
| 85,000 | Occidental Petroleum Corp., 7.500%, 5/01/2031 |
88,825 | ||||||
| 40,000 | Occidental Petroleum Corp., 7.875%, 9/15/2031 |
42,700 | ||||||
| 45,000 | Occidental Petroleum Corp., 8.500%, 7/15/2027 |
48,159 | ||||||
| 780,000 | Occidental Petroleum Corp., 8.875%, 7/15/2030 |
868,374 | ||||||
| 470,000 | PDC Energy, Inc., 5.750%, 5/15/2026 |
434,816 | ||||||
| 115,000 | Permian Resources Operating LLC, 6.875%, 4/01/2027, 144A |
111,257 | ||||||
| 85,000 | Range Resources Corp., 8.250%, 1/15/2029 |
86,488 | ||||||
| 110,000 | SM Energy Co., 5.625%, 6/01/2025 |
105,600 | ||||||
| 170,000 | SM Energy Co., 6.500%, 7/15/2028 |
161,555 | ||||||
| 165,000 | SM Energy Co., 6.750%, 9/15/2026 |
158,813 | ||||||
| 125,000 | Southwestern Energy Co., 5.375%, 2/01/2029 |
113,350 | ||||||
| 250,000 | Strathcona Resources Ltd., 6.875%, 8/01/2026, 144A |
211,878 | ||||||
| 125,000 | Tap Rock Resources LLC, 7.000%, 10/01/2026, 144A |
114,272 | ||||||
|
|
|
|||||||
| 7,714,173 | ||||||||
|
|
|
|||||||
| Industrial Other – 0.3% |
| |||||||
| 220,000 | Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 2/01/2026, 144A |
198,550 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Industrial Other – continued |
| |||||||
| $ | 130,000 | Installed Building Products, Inc., 5.750%, 2/01/2028, 144A |
$ | 116,343 | ||||
|
|
|
|||||||
| 314,893 | ||||||||
|
|
|
|||||||
| Leisure – 3.0% |
| |||||||
| 650,000 | Carnival Corp., 5.750%, 3/01/2027, 144A |
455,357 | ||||||
| 125,000 | Cinemark USA, Inc., 5.250%, 7/15/2028, 144A |
96,136 | ||||||
| 110,000 | Live Nation Entertainment, Inc., 3.750%, 1/15/2028, 144A |
93,225 | ||||||
| 370,000 | Live Nation Entertainment, Inc., 4.750%, 10/15/2027, 144A |
321,228 | ||||||
| 950,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A |
722,703 | ||||||
| 10,000 | NCL Corp. Ltd., 5.875%, 3/15/2026 |
7,607 | ||||||
| 70,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A |
51,623 | ||||||
| 125,000 | Royal Caribbean Cruises Ltd., 3.700%, 3/15/2028 |
81,250 | ||||||
| 325,000 | Royal Caribbean Cruises Ltd., 4.250%, 7/01/2026, 144A |
238,903 | ||||||
| 1,065,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A |
746,182 | ||||||
| 30,000 | Royal Caribbean Cruises Ltd., 11.625%, 8/15/2027, 144A |
27,301 | ||||||
| 120,000 | SeaWorld Parks & Entertainment, Inc., 5.250%, 8/15/2029, 144A |
99,648 | ||||||
| 180,000 | Speedway Motorsports LLC/Speedway Funding II, Inc., 4.875%, 11/01/2027, 144A |
156,495 | ||||||
| 375,000 | Viking Ocean Cruises Ship VII Ltd., 5.625%, 2/15/2029, 144A |
291,563 | ||||||
| 110,000 | VOC Escrow Ltd., 5.000%, 2/15/2028, 144A |
89,470 | ||||||
|
|
|
|||||||
| 3,478,691 | ||||||||
|
|
|
|||||||
| Lodging – 1.6% |
| |||||||
| 370,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A |
298,627 | ||||||
| 100,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A |
79,030 | ||||||
| 605,000 | Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028 |
504,526 | ||||||
| 1,195,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A |
926,597 | ||||||
| 20,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A |
15,809 | ||||||
| 15,000 | Travel & Leisure Co., 6.000%, 4/01/2027 |
13,517 | ||||||
|
|
|
|||||||
| 1,838,106 | ||||||||
|
|
|
|||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Media Entertainment – 2.6% |
| |||||||
| $ | 200,000 | Audacy Capital Corp., 6.750%, 3/31/2029, 144A |
$ | 48,179 | ||||
| 170,000 | CMG Media Corp., 8.875%, 12/15/2027, 144A |
129,874 | ||||||
| 130,000 | Deluxe Corp., 8.000%, 6/01/2029, 144A |
105,586 | ||||||
| 310,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 5.375%, 8/15/2026, 144A |
61,706 | ||||||
| 140,000 | Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027, 144A |
9,800 | ||||||
| 170,000 | Gray Escrow II, Inc., 5.375%, 11/15/2031, 144A |
133,352 | ||||||
| 355,000 | Gray Television, Inc., 4.750%, 10/15/2030, 144A |
266,052 | ||||||
| 395,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A |
329,233 | ||||||
| 245,000 | iHeartCommunications, Inc., 6.375%, 5/01/2026 |
227,296 | ||||||
| 430,000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 |
361,593 | ||||||
| 310,000 | McGraw-Hill Education, Inc., 5.750%, 8/01/2028, 144A |
258,855 | ||||||
| 205,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A |
187,337 | ||||||
| 20,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A |
18,800 | ||||||
| 185,000 | Netflix, Inc., 5.875%, 2/15/2025 |
184,847 | ||||||
| 35,000 | Netflix, Inc., 6.375%, 5/15/2029 |
34,747 | ||||||
| 105,000 | Nexstar Media, Inc., 5.625%, 7/15/2027, 144A |
96,527 | ||||||
| 110,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 5.000%, 8/15/2027, 144A |
96,091 | ||||||
| 35,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 6.250%, 6/15/2025, 144A |
34,164 | ||||||
| 65,000 | Playtika Holding Corp., 4.250%, 3/15/2029, 144A |
51,983 | ||||||
| 120,000 | Scripps Escrow II, Inc., 5.375%, 1/15/2031, 144A |
90,902 | ||||||
| 185,000 | Sinclair Television Group, Inc., 5.125%, 2/15/2027, 144A |
153,015 | ||||||
| 120,000 | Stagwell Global LLC, 5.625%, 8/15/2029, 144A |
98,734 | ||||||
|
|
|
|||||||
| 2,978,673 | ||||||||
|
|
|
|||||||
| Metals & Mining – 3.7% |
| |||||||
| 200,000 | Alcoa Nederland Holding BV, 5.500%, 12/15/2027, 144A |
186,530 | ||||||
| 120,000 | ATI, Inc., 4.875%, 10/01/2029 |
99,632 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Metals & Mining – continued |
| |||||||
| $ | 205,000 | ATI, Inc., 5.875%, 12/01/2027 |
$ | 186,622 | ||||
| 200,000 | Cia de Minas Buenaventura SAA, 5.500%, 7/23/2026, 144A |
167,094 | ||||||
| 280,000 | Cleveland-Cliffs, Inc., 5.875%, 6/01/2027 |
251,971 | ||||||
| 175,000 | Commercial Metals Co., 4.125%, 1/15/2030 |
143,678 | ||||||
| 845,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A |
779,707 | ||||||
| 1,245,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A |
1,120,500 | ||||||
| 60,000 | GrafTech Finance, Inc., 4.625%, 12/15/2028, 144A |
44,850 | ||||||
| 210,000 | Mineral Resources Ltd., 8.000%, 11/01/2027, 144A |
202,123 | ||||||
| 575,000 | Mineral Resources Ltd., 8.125%, 5/01/2027, 144A |
557,224 | ||||||
| 525,000 | Novelis Corp., 4.750%, 1/30/2030, 144A |
430,500 | ||||||
| 50,000 | SunCoke Energy, Inc., 4.875%, 6/30/2029, 144A |
38,550 | ||||||
| 76,000 | United States Steel Corp., 6.875%, 3/01/2029 |
69,073 | ||||||
| 40,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A |
33,000 | ||||||
|
|
|
|||||||
| 4,311,054 | ||||||||
|
|
|
|||||||
| Midstream – 4.1% |
| |||||||
| 85,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.375%, 6/15/2029, 144A |
75,046 | ||||||
| 195,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.875%, 5/15/2026, 144A |
195,975 | ||||||
| 250,000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.625%, 12/15/2025, 144A |
240,000 | ||||||
| 185,000 | Buckeye Partners LP, 4.500%, 3/01/2028, 144A |
157,250 | ||||||
| 80,000 | Buckeye Partners LP, 5.600%, 10/15/2044 |
56,159 | ||||||
| 55,000 | Buckeye Partners LP, 5.850%, 11/15/2043 |
40,741 | ||||||
| 220,000 | Cheniere Energy Partners LP, 4.000%, 3/01/2031 |
184,466 | ||||||
| 115,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.000%, 2/01/2029, 144A |
102,925 | ||||||
| 30,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 |
23,716 | ||||||
| 175,000 | DCP Midstream Operating LP, 5.375%, 7/15/2025 |
169,950 | ||||||
| 230,000 | DCP Midstream Operating LP, 5.625%, 7/15/2027 |
222,286 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Midstream – continued |
| |||||||
| $ | 195,000 | EnLink Midstream LLC, 6.500%, 9/01/2030, 144A |
$ | 190,417 | ||||
| 170,000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044 |
129,318 | ||||||
| 41,000 | EQM Midstream Partners LP, 6.000%, 7/01/2025, 144A |
37,910 | ||||||
| 200,000 | EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A |
184,818 | ||||||
| 50,000 | EQM Midstream Partners LP, 6.500%, 7/15/2048 |
38,135 | ||||||
| 470,000 | EQM Midstream Partners LP, 7.500%, 6/01/2027, 144A |
447,966 | ||||||
| 80,000 | EQM Midstream Partners LP, 7.500%, 6/01/2030, 144A |
75,598 | ||||||
| 160,000 | EQM Midstream Partners LP, Series 10Y, 5.500%, 7/15/2028 |
136,757 | ||||||
| 115,000 | Ferrellgas LP/Ferrellgas Finance Corp., 5.375%, 4/01/2026, 144A |
101,200 | ||||||
| 300,000 | Genesis Energy LP/Genesis Energy Finance Corp., 7.750%, 2/01/2028 |
261,000 | ||||||
| 150,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A |
121,125 | ||||||
| 250,000 | Hess Midstream Operations LP, 5.625%, 2/15/2026, 144A |
237,314 | ||||||
| 150,000 | Holly Energy Partners LP/Holly Energy Finance Corp., 6.375%, 4/15/2027, 144A |
143,250 | ||||||
| 215,000 | New Fortress Energy, Inc., 6.750%, 9/15/2025, 144A |
203,648 | ||||||
| 145,000 | NuStar Logistics LP, 5.750%, 10/01/2025 |
134,382 | ||||||
| 125,000 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.000%, 6/01/2031, 144A |
102,600 | ||||||
| 135,000 | Sunoco LP/Sunoco Finance Corp., 4.500%, 5/15/2029 |
111,989 | ||||||
| 295,000 | Targa Resources Corp., 5.200%, 7/01/2027 |
283,783 | ||||||
| 40,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 |
34,400 | ||||||
| 30,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2028 |
27,751 | ||||||
| 50,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 |
44,875 | ||||||
| 50,000 | Western Midstream Operating LP, 4.500%, 3/01/2028 |
45,250 | ||||||
| 30,000 | Western Midstream Operating LP, 4.750%, 8/15/2028 |
27,300 | ||||||
| 160,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 |
131,600 | ||||||
| 120,000 | Western Midstream Operating LP, 5.500%, 2/01/2050 |
96,900 | ||||||
|
|
|
|||||||
| 4,817,800 | ||||||||
|
|
|
|||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Non-Agency Commercial Mortgage-Backed Securities – 1.6% |
| |||||||
| $ | 96,751 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL1, 1-month LIBOR + 3.500%, 6.318%, 11/15/2031, 144A(a) |
$ | 79,888 | ||||
| 217,691 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL2, Class COL2, 1-month LIBOR + 4.500%, 7.318%, 11/15/2031, 144A(a) |
159,676 | ||||||
| 260,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class D, 5.110%, 5/10/2047, 144A(g) |
232,798 | ||||||
| 1,020,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A |
752,765 | ||||||
| 45,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.302%, 8/10/2044, 144A(g) |
37,248 | ||||||
| 100,000 | GS Mortgage Securities Trust, Series 2014-GC22, Class D, 4.843%, 6/10/2047, 144A(g) |
89,082 | ||||||
| 100,000 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class C, 4.423%, 10/15/2030, 144A(g) |
80,995 | ||||||
| 380,000 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 6.318%, 11/15/2027, 144A(a)(f) |
109,888 | ||||||
| 420,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 7.218%, 11/15/2027, 144A(a)(f) |
44,100 | ||||||
| 145,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class C, 4.458%, 8/15/2050 |
89,815 | ||||||
| 60,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class C, 4.273%, 11/15/2059(g) |
46,619 | ||||||
| 99,910 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.420%, 3/15/2044, 144A(g) |
40,563 | ||||||
| 80,000 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class C, 4.469%, 12/15/2045(g) |
74,515 | ||||||
| 125,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.814%, 6/15/2045, 144A(g) |
11,250 | ||||||
|
|
|
|||||||
| 1,849,202 | ||||||||
|
|
|
|||||||
| Oil Field Services – 1.0% |
| |||||||
| 125,000 | Nabors Industries, Inc., 7.375%, 5/15/2027, 144A |
115,494 | ||||||
| 90,000 | Precision Drilling Corp., 6.875%, 1/15/2029, 144A |
79,461 | ||||||
| 10,000 | Precision Drilling Corp., 7.125%, 1/15/2026, 144A |
9,383 | ||||||
| 55,000 | Solaris Midstream Holdings LLC, 7.625%, 4/01/2026, 144A |
52,800 | ||||||
| 134,400 | Transocean Pontus Ltd., 6.125%, 8/01/2025, 144A |
125,664 | ||||||
| 656,250 | Transocean Poseidon Ltd., 6.875%, 2/01/2027, 144A |
600,469 | ||||||
| 42,750 | Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A |
40,185 | ||||||
| 180,000 | Weatherford International Ltd., 8.625%, 4/30/2030, 144A |
156,752 | ||||||
| 17,000 | Weatherford International Ltd., 11.000%, 12/01/2024, 144A |
17,298 | ||||||
|
|
|
|||||||
| 1,197,506 | ||||||||
|
|
|
|||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Packaging – 0.1% |
| |||||||
| $ | 75,000 | Graham Packaging Co., Inc., 7.125%, 8/15/2028, 144A |
$ | 60,293 | ||||
| 80,000 | Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.000%, 9/15/2028, 144A |
63,623 | ||||||
|
|
|
|||||||
| 123,916 | ||||||||
|
|
|
|||||||
| Pharmaceuticals – 3.3% |
| |||||||
| 445,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A |
286,891 | ||||||
| 785,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A |
293,183 | ||||||
| 785,000 | Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A |
295,199 | ||||||
| 185,000 | Bausch Health Cos., Inc., 6.125%, 2/01/2027, 144A |
128,049 | ||||||
| 200,000 | Cheplapharm Arzneimittel GmbH, 5.500%, 1/15/2028, 144A |
164,964 | ||||||
| 240,000 | Endo Dac/Endo Finance LLC/Endo Finco, Inc., 6.000%, 6/30/2028, 144A(d) |
13,200 | ||||||
| 30,000 | Endo Luxembourg Finance Co. I. S.a.r.l./Endo U.S., Inc., 6.125%, 4/01/2029, 144A |
23,682 | ||||||
| 200,000 | Grifols Escrow Issuer S.A., 4.750%, 10/15/2028, 144A |
154,454 | ||||||
| 335,000 | Organon & Co./Organon Foreign Debt Co-Issuer BV, 5.125%, 4/30/2031, 144A |
274,419 | ||||||
| 200,000 | Perrigo Finance Unlimited Co., 4.400%, 6/15/2030 |
162,946 | ||||||
| 325,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 |
267,665 | ||||||
| 385,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 |
315,892 | ||||||
| 2,360,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 |
1,410,291 | ||||||
|
|
|
|||||||
| 3,790,835 | ||||||||
|
|
|
|||||||
| Property & Casualty Insurance – 0.7% |
| |||||||
| 240,000 | Acrisure LLC/Acrisure Finance, Inc., 6.000%, 8/01/2029, 144A |
184,800 | ||||||
| 240,000 | AmWINS Group, Inc., 4.875%, 6/30/2029, 144A |
199,215 | ||||||
| 160,000 | AssuredPartners, Inc., 5.625%, 1/15/2029, 144A |
124,356 | ||||||
| 125,000 | BroadStreet Partners, Inc., 5.875%, 4/15/2029, 144A |
98,438 | ||||||
| 275,000 | USI, Inc., 6.875%, 5/01/2025, 144A |
264,352 | ||||||
|
|
|
|||||||
| 871,161 | ||||||||
|
|
|
|||||||
| Refining – 0.3% |
| |||||||
| 55,000 | Calumet Specialty Products Partners LP/Calumet Finance Corp., 11.000%, 4/15/2025, 144A |
56,338 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Refining – continued |
| |||||||
| $ | 370,000 | CVR Energy, Inc., 5.250%, 2/15/2025, 144A |
$ | 333,044 | ||||
|
|
|
|||||||
| 389,382 | ||||||||
|
|
|
|||||||
| REITs - Hotels – 0.3% |
| |||||||
| 395,000 | Service Properties Trust, 4.750%, 10/01/2026 |
298,103 | ||||||
| 70,000 | Service Properties Trust, 7.500%, 9/15/2025 |
65,450 | ||||||
|
|
|
|||||||
| 363,553 | ||||||||
|
|
|
|||||||
| REITs - Mortgage – 0.3% |
| |||||||
| 45,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A |
36,234 | ||||||
| 215,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A |
197,800 | ||||||
| 75,000 | Starwood Property Trust, Inc., 3.625%, 7/15/2026, 144A |
63,750 | ||||||
|
|
|
|||||||
| 297,784 | ||||||||
|
|
|
|||||||
| Restaurants – 0.8% |
| |||||||
| 770,000 | 1011778 B.C. ULC/New Red Finance, Inc., 3.875%, 1/15/2028, 144A |
670,061 | ||||||
| 100,000 | Bloomin’ Brands, Inc./OSI Restaurant Partners LLC, 5.125%, 4/15/2029, 144A |
83,340 | ||||||
| 180,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.750%, 6/01/2027, 144A |
167,214 | ||||||
| 90,000 | Papa John’s International, Inc., 3.875%, 9/15/2029, 144A |
71,940 | ||||||
|
|
|
|||||||
| 992,555 | ||||||||
|
|
|
|||||||
| Retailers – 1.5% |
| |||||||
| 160,000 | Asbury Automotive Group, Inc., 4.500%, 3/01/2028 |
135,200 | ||||||
| 225,000 | Asbury Automotive Group, Inc., 4.625%, 11/15/2029, 144A |
179,858 | ||||||
| 83,000 | Asbury Automotive Group, Inc., 4.750%, 3/01/2030 |
64,822 | ||||||
| 120,000 | Bath & Body Works, Inc., 5.250%, 2/01/2028 |
103,978 | ||||||
| 100,000 | Bath & Body Works, Inc., 6.750%, 7/01/2036 |
82,399 | ||||||
| 55,000 | Bath & Body Works, Inc., 6.875%, 11/01/2035 |
45,946 | ||||||
| 195,000 | Carvana Co., 4.875%, 9/01/2029, 144A |
95,063 | ||||||
| 255,000 | Carvana Co., 5.500%, 4/15/2027, 144A |
138,975 | ||||||
| 135,000 | Carvana Co., 5.625%, 10/01/2025, 144A |
94,034 | ||||||
| 35,000 | Group 1 Automotive, Inc., 4.000%, 8/15/2028, 144A |
28,182 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Retailers – continued |
| |||||||
| $ | 50,000 | Ken Garff Automotive LLC, 4.875%, 9/15/2028, 144A |
$ | 40,864 | ||||
| 85,000 | Michaels Cos., Inc. (The), 7.875%, 5/01/2029, 144A |
49,077 | ||||||
| 115,000 | NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.125%, 4/01/2026, 144A |
105,668 | ||||||
| 250,000 | PetSmart, Inc./PetSmart Finance Corp., 7.750%, 2/15/2029, 144A |
223,485 | ||||||
| 240,000 | Sonic Automotive, Inc., 4.625%, 11/15/2029, 144A |
188,400 | ||||||
| 245,000 | Sonic Automotive, Inc., 4.875%, 11/15/2031, 144A |
185,588 | ||||||
|
|
|
|||||||
| 1,761,539 | ||||||||
|
|
|
|||||||
| Supermarkets – 0.2% |
| |||||||
| 200,000 | Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 4.625%, 1/15/2027, 144A |
178,764 | ||||||
|
|
|
|||||||
| Technology – 4.6% |
| |||||||
| 185,000 | Block, Inc., 2.750%, 6/01/2026 |
159,000 | ||||||
| 215,000 | Clarivate Science Holdings Corp., 4.875%, 7/01/2029, 144A |
168,345 | ||||||
| 205,000 | Coherent Corp., 5.000%, 12/15/2029, 144A |
169,576 | ||||||
| 1,450,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A |
1,094,750 | ||||||
| 75,000 | Dun & Bradstreet Corp. (The), 5.000%, 12/15/2029, 144A |
61,875 | ||||||
| 320,000 | Elastic NV, 4.125%, 7/15/2029, 144A |
252,749 | ||||||
| 495,000 | Endurance International Group Holdings, Inc., 6.000%, 2/15/2029, 144A |
328,205 | ||||||
| 60,000 | Everi Holdings, Inc., 5.000%, 7/15/2029, 144A |
49,195 | ||||||
| 320,000 | Global Payments, Inc., 4.950%, 8/15/2027 |
304,877 | ||||||
| 95,000 | GoTo Group, Inc., 5.500%, 9/01/2027, 144A |
58,265 | ||||||
| 185,000 | Iron Mountain, Inc., 4.500%, 2/15/2031, 144A |
143,038 | ||||||
| 115,000 | Iron Mountain, Inc., 4.875%, 9/15/2027, 144A |
102,998 | ||||||
| 440,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A |
361,456 | ||||||
| 370,000 | NCR Corp., 5.000%, 10/01/2028, 144A |
291,108 | ||||||
| 65,000 | NCR Corp., 5.750%, 9/01/2027, 144A |
58,890 | ||||||
| 190,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.625%, 10/01/2028, 144A |
188,580 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Technology – continued |
| |||||||
| $ | 180,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.875%, 10/01/2030, 144A |
$ | 178,805 | ||||
| 290,000 | NortonLifeLock, Inc., 6.750%, 9/30/2027, 144A |
278,264 | ||||||
| 455,000 | Open Text Corp., 3.875%, 12/01/2029, 144A |
350,455 | ||||||
| 30,000 | Picard Midco, Inc., 6.500%, 3/31/2029, 144A |
25,341 | ||||||
| 110,000 | Presidio Holdings, Inc., 4.875%, 2/01/2027, 144A |
97,270 | ||||||
| 110,000 | Presidio Holdings, Inc., 8.250%, 2/01/2028, 144A |
94,791 | ||||||
| 90,000 | Rackspace Technology Global, Inc., 5.375%, 12/01/2028, 144A |
42,295 | ||||||
| 160,000 | Rocket Software, Inc., 6.500%, 2/15/2029, 144A |
118,400 | ||||||
| 65,000 | Seagate HDD Cayman, 4.875%, 6/01/2027 |
58,662 | ||||||
| 90,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A |
70,893 | ||||||
| 50,000 | Sensata Technologies, Inc., 4.375%, 2/15/2030, 144A |
41,776 | ||||||
| 105,000 | SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A |
95,780 | ||||||
| 70,000 | Ziff Davis, Inc., 4.625%, 10/15/2030, 144A |
57,400 | ||||||
|
|
|
|||||||
| 5,303,039 | ||||||||
|
|
|
|||||||
| Treasuries – 3.3% |
| |||||||
| 920,000 | U.S. Treasury Note, 0.125%, 2/28/2023 |
906,236 | ||||||
| 1,390,000 | U.S. Treasury Note, 0.125%, 3/31/2023 |
1,364,480 | ||||||
| 1,575,000 | U.S. Treasury Note, 0.125%, 7/15/2023 |
1,525,351 | ||||||
|
|
|
|||||||
| 3,796,067 | ||||||||
|
|
|
|||||||
| Wireless – 2.9% |
| |||||||
| 640,000 | Altice France S.A., 5.125%, 1/15/2029, 144A |
472,154 | ||||||
| 200,000 | Altice France S.A., 5.125%, 7/15/2029, 144A |
149,422 | ||||||
| 495,000 | HTA Group Ltd., 7.000%, 12/18/2025, 144A |
429,413 | ||||||
| 200,000 | IHS Holding Ltd., 5.625%, 11/29/2026, 144A |
157,500 | ||||||
| 400,000 | IHS Holding Ltd., 6.250%, 11/29/2028, 144A |
305,080 | ||||||
| 305,000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A |
283,918 | ||||||
| 275,000 | SBA Communications Corp., 3.875%, 2/15/2027 |
243,900 | ||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
| |||||||
| Wireless – continued |
| |||||||
| $ | 1,630,000 | SoftBank Group Corp., 4.625%, 7/06/2028 |
$ | 1,291,775 | ||||
|
|
|
|||||||
| 3,333,162 | ||||||||
|
|
|
|||||||
| Wirelines – 1.5% |
| |||||||
| 130,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 |
115,947 | ||||||
| 30,000 | Embarq Corp., 7.995%, 6/01/2036 |
15,000 | ||||||
| 430,000 | Frontier Communications Holdings LLC, 5.875%, 10/15/2027, 144A |
385,379 | ||||||
| 135,000 | Frontier Communications Holdings LLC, 8.750%, 5/15/2030, 144A |
135,086 | ||||||
| 210,000 | Iliad Holding SASU, 6.500%, 10/15/2026, 144A |
183,624 | ||||||
| 275,000 | Level 3 Financing, Inc., 3.625%, 1/15/2029, 144A |
203,607 | ||||||
| 95,000 | Level 3 Financing, Inc., 4.250%, 7/01/2028, 144A |
74,101 | ||||||
| 435,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 |
338,182 | ||||||
| 120,000 | Telecom Italia Capital S.A., 7.200%, 7/18/2036 |
94,042 | ||||||
| 210,000 | Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.750%, 4/15/2028, 144A |
165,894 | ||||||
|
|
|
|||||||
| 1,710,862 | ||||||||
|
|
|
|||||||
| Total Non-Convertible Bonds (Identified Cost $123,985,606) |
99,162,457 | |||||||
|
|
|
|||||||
| Convertible Bonds – 4.9% |
||||||||
| Airlines – 0.5% |
| |||||||
| 535,000 | Southwest Airlines Co., 1.250%, 5/01/2025 |
610,702 | ||||||
|
|
|
|||||||
| Cable Satellite – 1.9% |
| |||||||
| 3,185,000 | DISH Network Corp., 3.375%, 8/15/2026 |
2,191,280 | ||||||
| 40,000 | DISH Network Corp., Zero Coupon, 6.944%-9.514%, 12/15/2025(h) |
26,326 | ||||||
|
|
|
|||||||
| 2,217,606 | ||||||||
|
|
|
|||||||
| Consumer Cyclical Services – 0.2% |
| |||||||
| 310,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(h) |
256,919 | ||||||
| 30,000 | Zillow Group, Inc., 1.375%, 9/01/2026 |
28,995 | ||||||
|
|
|
|||||||
| 285,914 | ||||||||
|
|
|
|||||||
| Gaming – 0.1% |
| |||||||
| 60,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 |
83,970 | ||||||
|
|
|
|||||||
| Principal Amount |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Convertible Bonds – continued |
| |||||||
| Healthcare – 0.6% |
| |||||||
| $ | 990,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 |
$ | 723,987 | ||||
|
|
|
|||||||
| Leisure – 0.2% |
| |||||||
| 305,000 | NCL Corp. Ltd., 1.125%, 2/15/2027, 144A |
188,966 | ||||||
|
|
|
|||||||
| Media Entertainment – 0.1% |
| |||||||
| 175,000 | Bilibili, Inc., 0.500%, 12/01/2026, 144A |
111,125 | ||||||
|
|
|
|||||||
| Pharmaceuticals – 1.2% |
| |||||||
| 340,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 |
336,883 | ||||||
| 870,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 |
863,997 | ||||||
| 230,000 | Livongo Health, Inc., 0.875%, 6/01/2025 |
193,094 | ||||||
|
|
|
|||||||
| 1,393,974 | ||||||||
|
|
|
|||||||
| Technology – 0.1% |
| |||||||
| 145,000 | RingCentral, Inc., Zero Coupon, 7.146%-8.016%, 3/15/2026(h) |
111,505 | ||||||
| 5,000 | Unity Software, Inc., Zero Coupon, 7.592%, 11/15/2026, 144A(i) |
3,625 | ||||||
|
|
|
|||||||
| 115,130 | ||||||||
|
|
|
|||||||
| Total Convertible Bonds (Identified Cost $7,682,823) |
5,731,374 | |||||||
|
|
|
|||||||
| Total Bonds and Notes (Identified Cost $131,668,429) |
104,893,831 | |||||||
|
|
|
|||||||
| Collateralized Loan Obligations – 1.5% |
||||||||
| 295,000 | AIG CLO LLC, Series 2021-2A, Class E, 3-month LIBOR + 6.500%, 9.210%, 7/20/2034, 144A(a) |
246,269 | ||||||
| 250,000 | Battalion CLO XVI Ltd., Series 2019-16A, Class ER, 3-month LIBOR + 6.600%, 9.310%, 12/19/2032, 144A(a) |
210,710 | ||||||
| 250,000 | NYACK Park CLO Ltd., Series 2021-1A, Class E, 3-month LIBOR + 6.100%, 8.810%, 10/20/2034, 144A(a) |
212,111 | ||||||
| 250,000 | Octagon Investment Partners 44 Ltd., Series 2019-1A, Class ER, 3-month LIBOR + 6.750%, 9.262%, 10/15/2034, 144A(a) |
192,169 | ||||||
| 260,000 | OHA Credit Funding 2 Ltd., Series 2019-2A, Class ER, 3-month LIBOR + 6.360%, 9.092%, 4/21/2034, 144A(a) |
224,999 | ||||||
| 310,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class ER, 3-month LIBOR + 6.250%, 8.960%, 7/02/2035, 144A(a) |
266,750 | ||||||
| 260,000 | Palmer Square CLO Ltd., Series 2021-4A, Class E, 3-month LIBOR + 6.050%, 8.562%, 10/15/2034, 144A(a) |
222,826 | ||||||
| 250,000 | Palmer Square CLO Ltd., Series 2021-3A, Class E, 3-month LIBOR + 6.150%, 8.662%, 1/15/2035, 144A(a) |
214,909 | ||||||
|
|
|
|||||||
| Total Collateralized Loan Obligations (Identified Cost $2,122,374) |
1,790,743 | |||||||
|
|
|
|||||||
| Shares | Description |
Value (†) | ||||||
| Preferred Stocks – 1.5% |
||||||||
| Technology – 0.2% |
| |||||||
| 6,664 | Clarivate PLC, Series A, 5.250% |
$ | 284,153 | |||||
|
|
|
|||||||
| Wireless – 1.3% |
| |||||||
| 1,299 | 2020 Cash Mandatory Exchangeable Trust, 5.250%, 144A |
1,461,245 | ||||||
|
|
|
|||||||
| Total Preferred Stocks (Identified Cost $1,941,297) |
1,745,398 | |||||||
|
|
|
|||||||
| Common Stocks – 0.1% |
||||||||
| Energy Equipment & Services – 0.0% |
| |||||||
| 10,149 | McDermott International Ltd.(j) | 4,567 | ||||||
|
|
|
|||||||
| Media – 0.1% |
| |||||||
| 9,786 | iHeartMedia, Inc., Class A(j) | 71,731 | ||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels – 0.0% |
| |||||||
| 3,650 | Battalion Oil Corp.(j) | 43,435 | ||||||
|
|
|
|||||||
| Total Common Stocks (Identified Cost $841,517) |
119,733 | |||||||
|
|
|
|||||||
| Other Investments – 0.0% |
||||||||
| Aircraft ABS – 0.0% |
| |||||||
| 100 | ECAF I Blocker Ltd.(f)(k) (Identified Cost $1,000,000) |
8,510 | ||||||
|
|
|
|||||||
| Warrants – 0.0% |
||||||||
| 20,319 | McDermott International Ltd., Tranche A, Expiration on 5/1/2024(f)(j) | 73 | ||||||
| 22,577 | McDermott International Ltd., Tranche B, Expiration on 5/1/2024(f)(j) | 23 | ||||||
|
|
|
|||||||
| Total Warrants (Identified Cost $31,517) |
96 | |||||||
|
|
|
|||||||
| Exchange-Traded Funds – 1.6% |
||||||||
| 26,835 | iShares® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $2,304,298) |
1,915,751 | ||||||
|
|
|
|||||||
| Principal Amount |
||||||||
| Short-Term Investments – 3.8% |
||||||||
| $ | 1,834,832 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2022 at 1.100% to be repurchased at $1,835,000 on 10/03/2022 collateralized by $1,908,400 U.S. Treasury Note, 3.500% due 9/15/2025 valued at $1,871,574 including accrued interest(l) | 1,834,832 | |||||
| 2,575,000 | U.S. Treasury Bills, 3.101%-3.104%, 12/15/2022(m)(n) |
2,560,305 | ||||||
|
|
|
|||||||
| Total Short-Term Investments (Identified Cost $4,109,160) |
4,395,137 | |||||||
|
|
|
|||||||
| Description |
Value (†) | |||||
| Total Investments – 98.6% |
114,869,199 | |||||
| Other assets less liabilities – 1.4% |
1,580,008 | |||||
|
|
|
|||||
| Net Assets – 100.0% |
$ | 116,449,207 | ||||
|
|
|
|||||
| (†) | Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Fund’s Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight. |
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Shares of open-end investment companies are valued at net asset value per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and collateralized loan obligations where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Centrally cleared swap agreements are fair valued at settlement prices of the clearing house on which the contracts were traded or prices obtained from broker-dealers.
The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s net asset value (“NAV”) is calculated. Fair valuation by the Fund’s valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
| (a) | Variable rate security. Rate as of September 30, 2022 is disclosed. |
| (b) | Payment-in-kind security for which the issuer, at each interest payment date, makes interest payments in additional principal. |
| (c) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. For the period ended September 30, 2022, interest payments were made in cash and principal. |
| (d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
| (e) | Payment-in-kind security for which the issuer, at each interest payment date, may make interest payments in cash and/or additional principal. No payments were made during the period. |
| (f) | Level 3 security. Value has been determined using significant unobservable inputs. |
| (g) | 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, 2022 is disclosed. |
| (h) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields. |
| (i) | Interest rate represents annualized yield at time of purchase; not a coupon rate. |
| (j) | Non-income producing security. |
| (k) | Securities subject to restriction on resale. At September 30, 2022, the restricted securities held by the Fund are as follows: |
| Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||||
| ECAF I Blocker Ltd. |
12/20/2016 | $ | 1,000,000 | $ | 8,510 | Less than 0.1 | % | |||||||||
| (l) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 2022, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
| (m) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
| (n) | The Fund’s investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
| 144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022, the value of Rule 144A holdings amounted to $71,275,777 or 61.2% of net assets. |
| ABS | Asset-Backed Securities |
| ETF | Exchange-Traded Fund |
| LIBOR | London Interbank Offered Rate |
| PIK | Payment-in-Kind |
| REITs | Real Estate Investment Trusts |
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 over-the-counter (“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, 2022, the Fund had the following open centrally cleared credit default swap agreements:
Sell Protection
| Reference |
(Pay)/ Receive Fixed Rate |
Expiration Date |
Implied Credit Spread^ |
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 | 5.30 | 1,158,300 | $ | (11,318 | ) | $ | (9,755 | ) | $ | 1,563 | |||||||||||||||
|
|
|
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| (‡) | Notional value stated in U.S. dollars unless otherwise noted. |
| ^ | Implied credit spreads, represented in absolute terms, 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. |
| * | CDX.NA.HY is an index composed of North American high yield credit default swaps. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
| • | Level 1 — quoted prices in active markets for identical assets or liabilities; |
| • | Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| • | Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Fund’s pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2022, at value:
Asset Valuation Inputs
| Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Bonds and Notes |
||||||||||||||||
| Non-Convertible Bonds |
||||||||||||||||
| Home Construction |
$ | — | $ | 197,732 | $ | — | $ | 197,732 | ||||||||
| Non-Agency Commercial Mortgage-Backed Securities |
— | 1,695,214 | 153,988 | 1,849,202 | ||||||||||||
| All Other Non-Convertible Bonds* |
— | 97,115,523 | — | 97,115,523 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Non-Convertible Bonds |
— | 99,008,469 | 153,988 | 99,162,457 | ||||||||||||
|
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|
|
|
|
|
|
|
|||||||||
| Convertible Bonds* |
— | 5,731,374 | — | 5,731,374 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Bonds and Notes |
— | 104,739,843 | 153,988 | 104,893,831 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Collateralized Loan Obligations |
— | 1,790,743 | — | 1,790,743 | ||||||||||||
| Preferred Stocks |
||||||||||||||||
| Technology |
284,153 | — | — | 284,153 | ||||||||||||
| Wireless |
— | 1,461,245 | — | 1,461,245 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Preferred Stocks |
284,153 | 1,461,245 | — | 1,745,398 | ||||||||||||
|
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|
|
|
|
|
|
|
|||||||||
| Common Stocks* |
119,733 | — | — | 119,733 | ||||||||||||
| Other Investments* |
— | — | 8,510 | 8,510 | ||||||||||||
| Warrants |
— | — | 96 | 96 | ||||||||||||
| Exchange-Traded Funds |
1,915,751 | — | — | 1,915,751 | ||||||||||||
| Short-Term Investments |
— | 4,395,137 | — | 4,395,137 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
2,319,637 | 112,386,968 | 162,594 | 114,869,199 | ||||||||||||
|
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|
|
|
|
|
|
|
|||||||||
| Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) |
— | 1,563 | — | 1,563 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 2,319,637 | $ | 112,388,531 | $ | 162,594 | $ | 114,870,762 | ||||||||
|
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|
|
|
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| * | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2021 and/or September 30, 2022:
Asset Valuation Inputs
| Investments in Securities |
Balance as of December 31, 2021 |
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, 2022 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2022 |
||||||||||||||||||||||||||||||
| Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
| Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
| Home Construction |
$ | — | $ | 12,427 | $ | — | $ | (12,427 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (12,427 | ) | ||||||||||||||||||
| Non-Agency Commercial Mortgage-Backed Securities |
138,957 | — | — | 15,031 | — | — | — | — | 153,988 | 15,031 | ||||||||||||||||||||||||||||||
| Collateralized Loan Obligations |
250,000 | — | — | — | — | — | — | (250,000 | ) | — | — | |||||||||||||||||||||||||||||
| Other Investments |
||||||||||||||||||||||||||||||||||||||||
| Aircraft ABS |
87,030 | — | — | (78,520 | ) | — | — | — | — | 8,510 | (78,520 | ) | ||||||||||||||||||||||||||||
| Warrants |
1,264 | — | — | (1,168 | ) | — | — | — | — | 96 | (1,168 | ) | ||||||||||||||||||||||||||||
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| Total |
$ | 477,251 | $ | 12,427 | $ | — | $ | (77,084 | ) | $ | — | $ | — | $ | — | $ | (250,000 | ) | $ | 162,594 | $ | (77,084 | ) | |||||||||||||||||
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A debt security valued at $250,000 was transferred from Level 3 to Level 2 during the period ended September 30, 2022. At December 31, 2021, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At September 30, 2022, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include 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 seller, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. During the period ended September 30, 2022, the Fund engaged in credit default swap transactions (as a protection seller) to gain investment exposure.
The following is a summary of derivative instruments for the Fund, as of September 30, 2022:
| Liabilities |
Swap agreements at value |
|||
| Exchange-traded/cleared liability derivatives |
| |||
| Credit contracts |
$ | (9,755 | ) | |
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. 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, 2022:
| Maximum Amount |
Maximum Amount of Loss - Net |
|||||
| $ | — | $ | — | |||
Industry Summary at September 30, 2022 (Unaudited)
| Cable Satellite |
10.5 | % | ||
| Independent Energy |
6.6 | |||
| Technology |
4.9 | |||
| Pharmaceuticals |
4.5 | |||
| Healthcare |
4.4 | |||
| Finance Companies |
4.2 | |||
| Wireless |
4.2 | |||
| Midstream |
4.1 | |||
| Metals & Mining |
3.7 | |||
| Gaming |
3.6 | |||
| Consumer Cyclical Services |
3.4 | |||
| Treasuries |
3.3 | |||
| Leisure |
3.2 | |||
| Media Entertainment |
2.7 | |||
| Banking |
2.3 | |||
| Automotive |
2.3 | |||
| Aerospace & Defense |
2.2 | |||
| Building Materials |
2.2 | |||
| Other Investments, less than 2% each |
19.4 | |||
| Short-Term Investments |
3.8 | |||
| Exchange-Traded Funds |
1.6 | |||
| Collateralized Loan Obligations |
1.5 | |||
|
|
|
|||
| Total Investments |
98.6 | |||
| Other assets less liabilities (including swap agreements) |
1.4 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
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