PORTFOLIO OF INVESTMENTS – as of September 30, 2019 (Unaudited)
Loomis Sayles Strategic Alpha Fund
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – 82.8% of Net Assets |
||||||||
| Non-Convertible Bonds – 81.7% |
||||||||
| ABS Car Loan – 12.4% |
| |||||||
| $ | 112,249 | ACC Trust, Series 2018-1, Class A, |
$ | 112,389 | ||||
| 7,250,000 | Ally Auto Receivables Trust, Series 2019-1, Class A3,
|
7,356,163 | ||||||
| 2,805,000 | AmeriCredit Automobile Receivables Trust, Series 2018-2,
Class D, |
2,921,394 | ||||||
| 2,487,313 | AmeriCredit Automobile Receivables Trust, Series 2018-3,
Class A2B, |
2,486,703 | ||||||
| 3,845,000 | AmeriCredit Automobile Receivables Trust, Series 2018-3,
Class D, |
4,025,031 | ||||||
| 2,500,000 | AmeriCredit Automobile Receivables Trust, Series 2019-3,
Class A3, |
2,501,928 | ||||||
| 100,943 | BMW Vehicle Owner Trust, Series 2018-A, Class A2B,
|
100,933 | ||||||
| 1,785,000 | California Republic Auto Receivables Trust, Series 2018-1,
Class D, |
1,858,347 | ||||||
| 244,099 | CarMax Auto Owner Trust, Series 2018-1, Class A2B,
|
244,055 | ||||||
| 135,000 | CarMax Auto Owner Trust, Series 2018-1, Class D,
|
137,310 | ||||||
| 1,435,000 | CarMax Auto Owner Trust, Series 2018-2, Class D,
|
1,485,218 | ||||||
| 3,550,425 | CarMax Auto Owner Trust, Series 2018-3, Class A2B,
|
3,551,727 | ||||||
| 3,740,955 | CarMax Auto Owner Trust, Series 2018-4, Class A2B,
|
3,741,677 | ||||||
| 1,125,000 | CarMax Auto Owner Trust, Series 2018-4, Class D,
|
1,176,684 | ||||||
| 7,285,000 | CarMax Auto Owner Trust, Series 2019-1, Class A3,
|
7,433,481 | ||||||
| 2,350,000 | CarMax Auto Owner Trust, Series 2019-1, Class D,
|
2,458,966 | ||||||
| 127,789 | CIG Auto Receivables Trust, Series 2017-1A, Class A,
|
127,922 | ||||||
| 815,000 | CPS Auto Receivables Trust, Series 2017-D, Class D,
|
826,996 | ||||||
| 230,000 | CPS Auto Receivables Trust, Series 2018-A, Class C,
|
231,087 | ||||||
| 1,795,000 | CPS Auto Receivables Trust, Series 2018-D, Class C,
|
1,835,112 | ||||||
| 830,000 | CPS Auto Receivables Trust, Series 2019-A, Class D,
|
862,296 | ||||||
| 525,000 | Credit Acceptance Auto Loan Trust, Series 2017-3A,
Class C, |
532,987 | ||||||
| 1,205,000 | Credit Acceptance Auto Loan Trust, Series 2018-2A,
Class C, |
1,250,680 | ||||||
| 4,745,000 | Credit Acceptance Auto Loan Trust, Series 2019-1A,
Class C, |
4,917,754 | ||||||
| 264,335 | Drive Auto Receivables Trust, Series 2016-CA,
Class C, |
264,513 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Car Loan – continued | ||||||||
| $ | 2,955,000 | Drive Auto Receivables Trust, Series 2018-1, Class D,
|
$ | 3,008,960 | ||||
| 283,256 | Drive Auto Receivables Trust, Series 2018-5,
Class A2B, |
283,281 | ||||||
| 2,395,000 | Drive Auto Receivables Trust, Series 2018-5, Class D,
|
2,481,698 | ||||||
| 1,330,000 | Drive Auto Receivables Trust, Series 2019-1, Class D,
|
1,377,310 | ||||||
| 2,365,000 | Drive Auto Receivables Trust, Series 2019-3,
Class A3, |
2,379,105 | ||||||
| 2,155,000 | DT Auto Owner Trust, Series 2018-3A, Class C,
|
2,200,846 | ||||||
| 2,319,036 | DT Auto Owner Trust, Series 2016-1A, Class D,
|
2,330,449 | ||||||
| 2,040,519 | DT Auto Owner Trust, Series 2016-2A, Class D,
|
2,063,039 | ||||||
| 1,390,000 | DT Auto Owner Trust, Series 2018-2A, Class D,
|
1,432,506 | ||||||
| 1,655,000 | DT Auto Owner Trust, Series 2019-2A, Class D,
|
1,691,269 | ||||||
| 345,000 | First Investors Auto Owner Trust, Series 2015-1A,
Class D, |
345,170 | ||||||
| 1,710,000 | First Investors Auto Owner Trust, Series 2015-2A,
Class D, |
1,725,731 | ||||||
| 220,000 | First Investors Auto Owner Trust, Series 2016-2A,
Class D, |
222,398 | ||||||
| 357,611 | Flagship Credit Auto Trust, Series 2015-1, Class C,
|
358,259 | ||||||
| 650,000 | Flagship Credit Auto Trust, Series 2016-3, Class D,
|
661,941 | ||||||
| 3,305,000 | Flagship Credit Auto Trust, Series 2019-2, Class D,
|
3,391,776 | ||||||
| 2,722,912 | Ford Credit Auto Lease Trust, Series 2018-B,
Class A2B, |
2,722,268 | ||||||
| 1,260,000 | GLS Auto Receivables Trust, Series 2018-3A, Class B,
|
1,281,977 | ||||||
| 5,030,000 | GLS Auto Receivables Trust, Series 2019-A, Class C,
|
5,131,273 | ||||||
| 2,093,234 | GM Financial Automobile Leasing Trust, Series 2018-3,
Class A2B, |
2,093,449 | ||||||
| 2,376,949 | GM Financial Consumer Automobile Receivables Trust, Series
2018-3, Class A2B, |
2,376,303 | ||||||
| 1,362,000 | Hertz Vehicle Financing II LP, Series 2017-2A,
Class A, |
1,393,202 | ||||||
| 3,135,000 | Honda Auto Receivables Owner Trust, Series 2019-1,
Class A3, |
3,190,298 | ||||||
| 3,045,000 | NextGear Floorplan Master Owner Trust, Series 2017-1A,
Class A1, |
3,052,268 | ||||||
| 4,355,000 | NextGear Floorplan Master Owner Trust, Series 2017-2A,
Class A1, |
4,367,397 | ||||||
| 2,590,000 | NextGear Floorplan Master Owner Trust, Series 2018-1A,
Class A1, |
2,595,057 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Car Loan – continued |
| |||||||
| $ | 2,820,000 | NextGear Floorplan Master Owner Trust, Series 2018-2A,
Class A1, |
$ | 2,823,607 | ||||
| 8,095,000 | Nissan Auto Receivables Owner Trust, Series 2019-A,
Class A3, |
8,226,604 | ||||||
| 791,889 | Nissan Auto Receivables Owner Trust, Series 2017-A,
Class A3, |
790,684 | ||||||
| 3,220,000 | Nissan Auto Receivables Owner Trust, Series 2018-A,
Class A3, |
3,235,223 | ||||||
| 1,889,630 | Nissan Auto Receivables Owner Trust, Series 2018-B,
Class A2B, |
1,889,570 | ||||||
| 3,045,000 | Prestige Auto Receivables Trust, Series 2016-1A,
Class D, |
3,101,327 | ||||||
| 910,000 | Prestige Auto Receivables Trust, Series 2019-1A,
Class E, |
921,576 | ||||||
| 3,585,000 | Santander Drive Auto Receivables Trust, Series 2018-2,
Class D, |
3,650,098 | ||||||
| 1,178,187 | Santander Drive Auto Receivables Trust, Series 2018-5,
Class A2B, |
1,178,249 | ||||||
| 2,720,000 | Santander Drive Auto Receivables Trust, Series 2018-5,
Class C, |
2,769,813 | ||||||
| 4,140,000 | Santander Drive Auto Receivables Trust, Series 2019-2,
Class D, |
4,220,568 | ||||||
| 353,000 | Tidewater Auto Receivables Trust, Series 2018-AA,
Class D, |
360,933 | ||||||
| 3,081,681 | Toyota Auto Receivables Owner Trust, Series 2018-C,
Class A2B, |
3,081,789 | ||||||
| 9,550,000 | Toyota Auto Receivables Owner Trust, Series 2019-A,
Class A3, |
9,706,375 | ||||||
| 3,025,000 | United Auto Credit Securitization Trust, Series 2019-1,
Class C, |
3,041,368 | ||||||
| 55,089 | Veros Automobile Receivables Trust, Series 2017-1,
Class A, |
55,084 | ||||||
| 1,727,590 | Volkswagen Auto Loan Enhanced Trust, Series 2018-1,
Class A2B, |
1,727,674 | ||||||
| 4,605,000 | Volvo Financial Equipment Master Owner Trust, Series
2018-A, Class A, |
4,611,668 | ||||||
| 595,000 | Westlake Automobile Receivables Trust, Series 2017-1A,
Class D, |
598,591 | ||||||
| 740,000 | Westlake Automobile Receivables Trust, Series 2018-1A,
Class D, |
747,548 | ||||||
| 3,252,204 | Westlake Automobile Receivables Trust, Series 2018-3A,
Class A2B, |
3,250,883 | ||||||
| 1,140,000 | Westlake Automobile Receivables Trust, Series 2018-3A,
Class D, |
1,170,505 | ||||||
| 3,104,050 | World Omni Automobile Lease Securitization Trust, Series
18-B, Class A2B, |
3,103,123 | ||||||
|
|
|
|||||||
| 170,861,443 | ||||||||
|
|
|
|||||||
| ABS Credit Card – 4.5% |
| |||||||
| 3,790,000 | American Express Credit Account Master Trust, Series
2018-8, Class A, |
3,886,014 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Credit Card – continued |
| |||||||
| $ | 2,385,000 | American Express Credit Account Master Trust, Series
2019-1, Class A, |
$ | 2,443,561 | ||||
| 4,385,000 | Bank of America Credit Card Trust, Series 2017-A1,
Class A1, |
4,382,358 | ||||||
| 5,875,000 | Bank of America Credit Card Trust, Series 2018-A1,
Class A1, |
5,938,449 | ||||||
| 2,585,000 | Capital One Multi-Asset Execution Trust, Series 2017-A1,
Class A1, |
2,584,192 | ||||||
| 3,440,000 | Capital One Multi-Asset Execution Trust, Series 2019-A1,
Class A1, |
3,517,931 | ||||||
| 3,500,000 | Chase Issuance Trust, Series 2015-A4, Class A4,
|
3,496,246 | ||||||
| 5,800,000 | Citibank Credit Card Issuance Trust, Series 2016-A1,
Class A1, |
5,797,099 | ||||||
| 6,025,000 | Citibank Credit Card Issuance Trust, Series 2018-A1,
Class A1, |
6,069,325 | ||||||
| 6,880,000 | Discover Card Execution Note Trust, Series 2018-A5,
Class A5, |
7,070,141 | ||||||
| 5,425,000 | Discover Card Execution Note Trust, Series 2018-A3,
Class A3, |
5,420,390 | ||||||
| 3,190,000 | Discover Card Execution Note Trust, Series 2019-A1,
Class A1, |
3,273,607 | ||||||
| 640,000 | Genesis Sales Finance Master Trust, Series 2019-AA,
Class A, |
653,397 | ||||||
| 6,995,000 | World Financial Network Credit Card Master Trust, Series
2019-C, Class M, |
6,989,411 | ||||||
|
|
|
|||||||
| 61,522,121 | ||||||||
|
|
|
|||||||
| ABS Home Equity – 9.7% |
| |||||||
| 457,715 | Adjustable Rate Mortgage Trust, Series 2004-4,
Class 3A1, |
466,472 | ||||||
| 870,824 | Adjustable Rate Mortgage Trust, Series 2005-1,
Class 3A1, |
896,929 | ||||||
| 277,801 | Ajax Mortgage Loan Trust, Series 2017-A, Class A,
|
277,822 | ||||||
| 1,225,612 | Ajax Mortgage Loan Trust, Series 2017-B, Class A,
|
1,227,808 | ||||||
| 354,919 | Alternative Loan Trust, Series 2004-16CB, Class 1A1, |
370,313 | ||||||
| 382,555 | Alternative Loan Trust, Series 2004-16CB, Class 3A1, |
398,402 | ||||||
| 240,122 | Alternative Loan Trust, Series 2004-28CB, Class 5A1, |
243,156 | ||||||
| 595,903 | Alternative Loan Trust, Series 2005-J1, Class 2A1,
|
610,668 | ||||||
| 165,545 | American Home Mortgage Investment Trust, Series 2004-2,
Class 5A, |
169,547 | ||||||
| 300,000 | American Homes 4 Rent, Series 2014-SFR2, Class D, |
326,027 | ||||||
| 2,170,000 | American Homes 4 Rent, Series 2014-SFR2, Class E, |
2,415,694 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Home Equity – continued |
| |||||||
| $ | 1,200,000 | American Homes 4 Rent, Series 2014-SFR3, Class E, |
$ | 1,350,558 | ||||
| 3,138,000 | American Homes 4 Rent, Series 2015-SFR1, Class E, |
3,425,461 | ||||||
| 537,714 | Banc of America Alternative Loan Trust, Series 2003-8,
Class 1CB1, |
566,966 | ||||||
| 287,541 | Banc of America Funding Trust, Series 2005-5,
Class 1A1, |
315,100 | ||||||
| 596,210 | Banc of America Funding Trust, Series 2005-7,
Class 3A1, |
644,670 | ||||||
| 416,917 | Banc of America Funding Trust, Series 2007-4,
Class 5A1, |
419,055 | ||||||
| 884,496 | Banc of America Mortgage Trust, Series 2005-I,
Class 4A1, |
853,434 | ||||||
| 929,829 | Bayview Opportunity Master Fund IVb Trust, Series
2018-RN9, Class A1, |
932,583 | ||||||
| 191,710 | Bayview Opportunity Master Fund Trust, Series 2018-RN8,
Class A1, |
192,383 | ||||||
| 1,480,873 | Bayview Opportunity Master Fund Trust, Series 2019-RN1,
Class A1, |
1,490,143 | ||||||
| 1,791,536 | Bayview Opportunity Master Fund Trust, Series 2019-RN2,
Class A1, |
1,801,051 | ||||||
| 292,109 | BCAP LLC Trust, Series 2007-AA2, Class 22A1,
|
287,492 | ||||||
| 24,743 | CAM Mortgage Trust, Series 2018-1, Class A1,
|
24,732 | ||||||
| 325,738 | CHL Mortgage Pass-Through Trust, Series 2004-12,
Class 8A1, |
322,324 | ||||||
| 899,474 | Citigroup Mortgage Loan Trust, Series 2005-3,
Class 2A3, |
892,233 | ||||||
| 1,190,502 | Citigroup Mortgage Loan Trust, Series 2018-A,
Class A1, |
1,191,856 | ||||||
| 2,865,175 | Citigroup Mortgage Loan Trust, Series 2018-C,
Class A1, |
2,881,324 | ||||||
| 2,243,106 | Citigroup Mortgage Loan Trust, Series 2019-B,
Class A1, |
2,242,974 | ||||||
| 2,200,000 | Colony American Finance Ltd., Series 2015-1, Class D,
|
2,241,272 | ||||||
| 1,065,000 | Colony American Finance Ltd., Series 2016-1, Class C,
|
1,072,698 | ||||||
| 1,830,000 | Colony American Finance Ltd., Series 2019-2, Class B,
|
1,885,508 | ||||||
| 523,594 | Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, |
543,895 | ||||||
| 474,724 | Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, |
483,799 | ||||||
| 936,554 | Countrywide Alternative Loan Trust, Series 2004-J10,
Class 2CB1, |
1,000,815 | ||||||
| 412,718 | Countrywide Alternative Loan Trust, Series 2004-J3,
Class 1A1, |
424,740 | ||||||
| 64,598 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, |
63,408 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Home Equity – continued |
| |||||||
| $ | 490,142 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1,
|
$ | 507,074 | ||||
| 245,080 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1,
|
250,112 | ||||||
| 2,622,024 | Credit Suisse Mortgage Trust, Series 2018-RPL2, Class A1, |
2,635,523 | ||||||
| 1,131,335 | Credit Suisse Mortgage Trust, Series 2018-RPL7, Class A1, |
1,143,486 | ||||||
| 189,143 | CSFB Mortgage-Backed Pass-Through Certificates, Series
2003-27, Class 4A4, |
197,759 | ||||||
| 675,905 | Deutsche Mortgage Securities, Inc., Series 2004-4,
Class 7AR1, |
671,406 | ||||||
| 538,482 | DSLA Mortgage Loan Trust, Series 2005-AR5,
Class 2A1A, |
443,967 | ||||||
| 1,439,497 | Dukinfield II PLC, Series 2, Class A, |
1,783,529 | ||||||
| 494,670 | Eurosail PLC, Series 2007-2X, Class A3C, |
593,862 | ||||||
| 1,505,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C05, Class 1M2, |
1,524,570 | ||||||
| 320,000 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C07, Class 1M2, |
323,781 | ||||||
| 943,274 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series
2014-DN1, Class M2, |
954,302 | ||||||
| 399,129 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series
2014-DN2, Class M2, |
400,390 | ||||||
| 1,443,981 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, |
1,453,375 | ||||||
| 130,000 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-DNA1, Class M2, |
130,000 | ||||||
| 473,227 | GCAT LLC, Series 2018-1, Class A1, |
473,875 | ||||||
| 3,174,758 | GCAT Trust, Series 2019-RPL1, Class A, |
3,180,436 | ||||||
| 871,711 | GMACM Mortgage Loan Trust, Series 2005-AR1, Class 3A,
|
882,184 | ||||||
| 1,473,271 | Gosforth Funding PLC, Series 2018-1A, Class A1, |
1,470,609 | ||||||
| 735,064 | Grand Avenue Mortgage Loan Trust, Series 2017-RPL1, Class A1, |
730,985 | ||||||
| 147,359 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1,
|
145,974 | ||||||
| 1,115,000 | Home Partners of America Trust, Series 2016-2,
Class E, |
1,114,995 | ||||||
| 1,123,000 | Home Partners of America Trust, Series 2016-2,
Class F, |
1,121,424 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Home Equity – continued |
| |||||||
| $ | 2,104,325 | IndyMac Index Mortgage Loan Trust, Series 2004-AR6,
Class 4A, |
$ | 2,143,235 | ||||
| 635,542 | IndyMac Index Mortgage Loan Trust, Series 2004-AR7,
Class A5, |
598,539 | ||||||
| 2,786,379 | IndyMac Index Mortgage Loan Trust, Series 2006-AR2,
Class 2A1, |
2,386,622 | ||||||
| 2,614,643 | Invitation Homes Trust, Series 2018-SFR1, Class E,
|
2,614,635 | ||||||
| 4,475,000 | Invitation Homes Trust, Series 2018-SFR2, Class E,
|
4,482,003 | ||||||
| 371,002 | JPMorgan Mortgage Trust, Series 2003-A2, Class 3A1,
|
382,493 | ||||||
| 1,283,631 | JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1,
|
1,367,662 | ||||||
| 807,532 | JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2,
|
826,514 | ||||||
| 133,271 | JPMorgan Mortgage Trust, Series 2005-A3, Class 4A1,
|
136,372 | ||||||
| 1,614,667 | Lanark Master Issuer PLC, Series 2019-1A, Class 1A1,
|
1,618,222 | ||||||
| 2,440,593 | Legacy Mortgage Asset Trust, Series 2019-GS3,
Class A1, |
2,470,849 | ||||||
| 502,166 | Lehman XS Trust, Series 2006-2N, Class 1A1, |
465,103 | ||||||
| 451,662 | Ludgate Funding PLC, Series 2007-1, Class A2B, |
465,830 | ||||||
| 1,657,320 | Ludgate Funding PLC, Series 2008-W1X, Class A1,
|
1,972,206 | ||||||
| 262,742 | MASTR Adjustable Rate Mortgages Trust, Series 2004-4,
Class 5A1, |
262,601 | ||||||
| 998,107 | MASTR Adjustable Rate Mortgages Trust, Series 2004-7,
Class 3A1, |
997,120 | ||||||
| 176,621 | MASTR Adjustable Rate Mortgages Trust, Series 2006-2,
Class 1A1, |
179,698 | ||||||
| 331,111 | MASTR Alternative Loan Trust, Series 2003-9,
Class 4A1, |
348,281 | ||||||
| 315,384 | MASTR Alternative Loan Trust, Series 2004-5,
Class 1A1, |
328,890 | ||||||
| 386,124 | MASTR Alternative Loan Trust, Series 2004-5,
Class 2A1, |
405,768 | ||||||
| 1,112,004 | MASTR Alternative Loan Trust, Series 2004-8,
Class 2A1, |
1,190,788 | ||||||
| 98,185 | Merrill Lynch Mortgage Investors Trust, Series 2006-2,
Class 2A, |
99,423 | ||||||
| 449,130 | Morgan Stanley Mortgage Loan Trust, Series 2005-7,
Class 4A2, |
411,095 | ||||||
| 926,086 | Morgan Stanley Mortgage Loan Trust, Series 2005-7,
Class 7A5, |
968,833 | ||||||
| 652,128 | Newgate Funding PLC, Series 2007-3X, Class A2B, |
687,087 | ||||||
| 87,475 | Oak Hill Advisors Residential Loan Trust, Series 2017-NPL1, Class A1, |
87,470 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Home Equity – continued |
| |||||||
| $ | 258,682 | Oak Hill Advisors Residential Loan Trust, Series 2017-NPL2, Class A1, |
$ | 258,491 | ||||
| 1,839,396 | Preston Ridge Partners Mortgage LLC, Series 2017-2A,
Class A1, |
1,842,293 | ||||||
| 1,165,000 | Preston Ridge Partners Mortgage LLC, Series 2017-2A,
Class A2, |
1,167,988 | ||||||
| 836,399 | Preston Ridge Partners Mortgage LLC, Series 2017-3A,
Class A1, |
836,612 | ||||||
| 405,000 | Preston Ridge Partners Mortgage LLC, Series 2017-3A,
Class A2, |
402,238 | ||||||
| 895,000 | Preston Ridge Partners Mortgage LLC, Series 2018-1A,
Class A2, |
890,485 | ||||||
| 2,477,862 | Prime Mortgage Trust, |
2,508,458 | ||||||
| 681,000 | Progress Residential Trust, Series 2017-SFR2, Class E, |
689,564 | ||||||
| 564,000 | Progress Residential Trust, Series 2018-SFR2, Class E, |
581,436 | ||||||
| 2,398,000 | Progress Residential Trust, Series 2019-SFR1, Class E, |
2,480,270 | ||||||
| 471,630 | RCO V Mortgage LLC, Series 2018-1, Class A1,
|
472,756 | ||||||
| 3,491,518 | RCO V Mortgage LLC, Series 2019-1, Class A1,
|
3,506,046 | ||||||
| 1,231,384 | Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, |
1,070,045 | ||||||
| 1,179,003 | Residential Funding Mortgage Securities, Series 2006-SA2,
Class 3A1, |
1,090,661 | ||||||
| 368,132 | RMAC Securities No. 1 PLC, Series 2006-NS1X, Class A2C, |
385,746 | ||||||
| 279,013 | RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2A, |
321,635 | ||||||
| 1,210,620 | Sequoia Mortgage Trust, Series 2018-CH1, Class A1,
|
1,238,782 | ||||||
| 3,106,633 | Structured Adjustable Rate Mortgage Loan Trust, Series
2005-14, Class A1, |
2,477,848 | ||||||
| 1,895,830 | Towd Point Mortgage Trust, Series 2015-2, Class 1A13,
|
1,890,323 | ||||||
| 1,135,620 | Towd Point Mortgage Trust, Series 2017-6, Class A1,
|
1,146,448 | ||||||
| 1,660,000 | Tricon American Homes Trust, Series 2019-SFR1, Class A, |
1,660,100 | ||||||
| 2,477,349 | Vericrest Opportunity Loan Trust, Series 2019-NPL3, Class A1, |
2,491,192 | ||||||
| 1,562,896 | VOLT LXX LLC, Series 2018-NPL6, Class A1A, |
1,567,428 | ||||||
| 894,468 | VOLT LXXI LLC, Series 2018-NPL7, Class A1A, |
898,776 | ||||||
| 7,880,467 | VOLT LXXII LLC, Series 2018-NPL8, Class A1A, |
7,907,864 | ||||||
| 3,320,407 | VOLT LXXV LLC, Series 2019-NPL1, Class A1A, |
3,343,087 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Home Equity – continued |
| |||||||
| $ | 1,054,790 | Wells Fargo Mortgage Backed Securities Trust, Series
2004-I, Class 2A1, |
$ | 1,096,040 | ||||
| 187,210 | Wells Fargo Mortgage Backed Securities Trust, Series
2004-O, Class A1, |
191,162 | ||||||
| 105,619 | Wells Fargo Mortgage Backed Securities Trust, Series
2005-11, Class 2A3, |
106,391 | ||||||
| 542,395 | Wells Fargo Mortgage Backed Securities Trust, Series
2005-16, Class A18, |
547,547 | ||||||
| 236,139 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, |
245,834 | ||||||
| 309,140 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR12, Class 2A5, |
320,987 | ||||||
| 530,353 | Wells Fargo Mortgage Backed Securities Trust, Series
2005-AR2, Class 3A1, |
545,960 | ||||||
| 1,636,047 | Wells Fargo Mortgage Backed Securities Trust, Series
2006-3, Class A11, |
1,661,816 | ||||||
|
|
|
|||||||
| 132,826,578 | ||||||||
|
|
|
|||||||
| ABS Other – 5.3% |
| |||||||
| 845,847 | Accelerated Assets LLC, Series 18-1, Class B,
|
869,040 | ||||||
| 2,402,858 | AIM Aviation Finance Ltd., Series 2015-1A, Class B1,
|
2,424,515 | ||||||
| 350,000 | Ascentium Equipment Receivables Trust, Series 2017-2A,
Class C, |
353,211 | ||||||
| 1,033,333 | Blackbird Capital Aircraft Lease Securitization Ltd., Series
2016-1A, Class A, |
1,065,771 | ||||||
| 1,387,500 | Blackbird Capital Aircraft Lease Securitization Ltd., Series
2016-1A, Class B, |
1,451,245 | ||||||
| 1,228,664 | Castlelake Aircraft Securitization Trust, Series 18-1,
Class B, |
1,261,261 | ||||||
| 250,000 | CCG Receivables Trust, Series 2018-1, Class C,
|
253,415 | ||||||
| 580,000 | Chesapeake Funding II LLC, Series 2017-2A, Class D,
|
584,864 | ||||||
| 775,000 | Chesapeake Funding II LLC, Series 2017-4A, Class D,
|
780,511 | ||||||
| 790,000 | Chesapeake Funding II LLC, Series 2018-1A, Class C,
|
811,652 | ||||||
| 2,125,000 | Chesapeake Funding II LLC, Series 2018-1A, Class D,
|
2,179,136 | ||||||
| 419,402 | Diamond Resorts Owner Trust, Series 2017-1A, Class C,
|
430,788 | ||||||
| 1,724,455 | Diamond Resorts Owner Trust, Series 2018-1, Class C,
|
1,764,482 | ||||||
| 2,452,203 | Diamond Resorts Owner Trust, Series 2019-1, Class B,
|
2,452,825 | ||||||
| 3,100,000 | Fairstone Financial Issuance Trust, Series 2019-1A,
Class A, |
2,357,975 | ||||||
| 2,148,676 | GCA2014 Holdings Ltd., Series 2014-1, Class C,
|
1,744,725 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Other – continued |
| |||||||
| $ | 935,764 | GCA2014 Holdings Ltd., Series 2014-1, Class D,
|
$ | 513,734 | ||||
| 3,410,000 | GCA2014 Holdings Ltd., Series 2014-1, Class E,
|
— | ||||||
| 930,460 | Global Container Assets Ltd., Series 2015-1A,
Class B, |
918,581 | ||||||
| 4,682,627 | Horizon Aircraft Finance I Ltd., Series 2018-1,
Class A, |
4,863,707 | ||||||
| 2,293,026 | Kestrel Aircraft Funding Ltd., Series 2018-1A,
Class A, |
2,347,947 | ||||||
| 1,394,415 | MAPS Ltd., Series 2018-1A, Class A, |
1,430,210 | ||||||
| 1,817,640 | MAPS Ltd., Series 2018-1A, Class B, |
1,863,147 | ||||||
| 1,161,156 | Marlette Funding Trust, Series 2019-1A, Class A,
|
1,169,519 | ||||||
| 3,124,478 | Marlette Funding Trust, Series 2019-3A, Class A,
|
3,132,131 | ||||||
| 714,481 | MVW Owner Trust, Series 2019-1A, Class C, |
725,424 | ||||||
| 1,100,000 | Navistar Financial Dealer Note Master Owner Trust II, Series
2018-1, Class A, |
1,101,355 | ||||||
| 3,120,000 | OneMain Financial Issuance Trust, Series 2015-3A,
Class B, |
3,204,613 | ||||||
| 3,100,000 | OneMain Financial Issuance Trust, Series 2016-1A,
Class C, |
3,170,052 | ||||||
| 3,230,000 | OneMain Financial Issuance Trust, Series 2019-1A,
Class D, |
3,364,981 | ||||||
| 810,000 | Oxford Finance Funding Trust, Series 2019-1A,
Class A2, |
830,563 | ||||||
| 4,329,802 | S-Jets Ltd., Series
2017-1, Class A, |
4,459,873 | ||||||
| 3,718,000 | SCF Equipment Trust LLC, Series 2018-1A, Class C,
|
3,922,055 | ||||||
| 747,468 | Shenton Aircraft Investment I Ltd., Series 2015-1A,
Class A, |
764,610 | ||||||
| 580,000 | SoFi Consumer Loan Program Trust, Series 2018-1,
Class B, |
593,713 | ||||||
| 1,410,000 | SoFi Consumer Loan Program Trust, Series 2018-2,
Class A2, |
1,421,971 | ||||||
| 1,690,000 | SoFi Consumer Loan Program Trust, Series 2018-2,
Class B, |
1,732,355 | ||||||
| 1,010,000 | SoFi Consumer Loan Program Trust, Series 2018-4,
Class C, |
1,051,330 | ||||||
| 1,097,643 | Sprite Ltd., Series 2017-1, Class B, |
1,122,407 | ||||||
| 1,545,833 | TAL Advantage V LLC, Series 2013-2A, Class A,
|
1,555,687 | ||||||
| 5,770,000 | Verizon Owner Trust, Series 2017-3A, Class A1B, |
5,771,153 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Other – continued |
| |||||||
| $ | 1,086,342 | Wave LLC, Series 2017-1A, Class B, |
$ | 1,124,048 | ||||
|
|
|
|||||||
| 72,940,582 | ||||||||
|
|
|
|||||||
| ABS Student Loan – 0.8% |
| |||||||
| 3,185,340 | Massachusetts Educational Financing Authority, Series
2018-A, Class A, |
3,263,668 | ||||||
| 803,217 | Navient Student Loan Trust, Series 18-4A, Class A1,
|
802,305 | ||||||
| 884,000 | SLM Private Credit Student Loan Trust, Series 2003-A,
Class A3, |
883,735 | ||||||
| 2,458,000 | SLM Private Credit Student Loan Trust, Series 2003-B,
Class A3, |
2,457,263 | ||||||
| 267,000 | SLM Private Credit Student Loan Trust, Series 2003-B,
Class A4, |
266,920 | ||||||
| 738,066 | SMB Private Education Loan Trust, Series 18-C,
Class A1, |
737,935 | ||||||
| 1,308,489 | SMB Private Education Loan Trust, Series 2017-B,
Class A2B, |
1,308,787 | ||||||
| 73,553 | SoFi Professional Loan Program LLC, Series 2014-B,
Class A1, |
73,707 | ||||||
| 326,491 | SoFi Professional Loan Program LLC, Series 2015-A,
Class A1, |
327,841 | ||||||
| 1,011,899 | SoFi Professional Loan Program LLC, Series 2016-A,
Class B, |
1,018,353 | ||||||
|
|
|
|||||||
| 11,140,514 | ||||||||
|
|
|
|||||||
| ABS Whole Business – 1.8% |
| |||||||
| 4,303,044 | Adams Outdoor Advertising LP, Series 2018-1, Class A,
|
4,465,718 | ||||||
| 3,435,913 | Coinstar Funding LLC, Series 2017-1A, Class A2,
|
3,538,626 | ||||||
| 317,520 | Domino’s Pizza Master Issuer LLC, Series 2017-1A,
Class A23, |
332,189 | ||||||
| 1,491,125 | Driven Brands Funding LLC, Series 2018-1A, Class A2,
|
1,562,550 | ||||||
| 2,168,613 | Five Guys Funding LLC, Series 2017-1A, Class A2,
|
2,278,565 | ||||||
| 2,994,750 | Planet Fitness Master Issuer LLC, Series 2018-1A,
Class A2I, |
3,061,743 | ||||||
| 2,594,775 | Stack Infrastructure Issuer LLC, Series 2019-1A,
Class A2, |
2,719,674 | ||||||
| 5,558,000 | Taco Bell Funding LLC, Series 2018-1A, Class A2I,
|
5,756,754 | ||||||
| 895,500 | Wingstop Funding LLC, Series 2018-1, Class A2,
|
929,941 | ||||||
|
|
|
|||||||
| 24,645,760 | ||||||||
|
|
|
|||||||
| Aerospace & Defense – 1.6% |
| |||||||
| 7,380,000 | Boeing Co.(The), |
7,524,582 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Aerospace & Defense – continued |
| |||||||
| $ | 3,425,000 | General Dynamics Corp., |
$ | 3,437,279 | ||||
| 2,550,000 | Leonardo U.S. Holdings, Inc., |
2,811,885 | ||||||
| 8,700,000 | Rolls-Royce PLC, |
8,708,004 | ||||||
|
|
|
|||||||
| 22,481,750 | ||||||||
|
|
|
|||||||
| Agency Commercial Mortgage-Backed Securities – 0.1% |
| |||||||
| 46,586,752 | Government National Mortgage Association, Series 2012-135,
Class IO, |
1,665,448 | ||||||
|
|
|
|||||||
| Airlines – 0.8% |
| |||||||
| 3,882,065 | Latam Airlines Pass Through Trust, Series 2015-1,
Class B, |
3,878,572 | ||||||
| 6,950,000 | United Airlines Pass Through Trust, Series 2019-2,
Class B, |
6,944,231 | ||||||
|
|
|
|||||||
| 10,822,803 | ||||||||
|
|
|
|||||||
| Automotive – 3.9% |
| |||||||
| 5,985,000 | BMW U.S. Capital LLC, |
5,989,113 | ||||||
| 3,135,000 | Daimler Finance North America LLC, |
3,153,122 | ||||||
| 4,780,000 | Daimler Finance North America LLC, |
4,890,000 | ||||||
| 3,585,000 | General Motors Financial Co., Inc., |
3,582,770 | ||||||
| 7,750,000 | Hyundai Capital America, |
7,964,196 | ||||||
| 6,865,000 | Nissan Motor Acceptance Corp., |
7,022,766 | ||||||
| 7,925,000 | Toyota Industries Corp., |
8,070,805 | ||||||
| 12,395,000 | Toyota Motor Credit Corp., MTN, |
12,410,413 | ||||||
|
|
|
|||||||
| 53,083,185 | ||||||||
|
|
|
|||||||
| Banking – 7.1% |
| |||||||
| 4,910,000 | American Express Co., |
4,938,635 | ||||||
| 3,375,000 | American Express Co., |
3,418,485 | ||||||
| 29,944,965 | Banco Hipotecario S.A., |
312,363 | ||||||
| 44,570,000 | Banco Hipotecario S.A., |
252,209 | ||||||
| 21,970,000 | Banco Macro S.A., |
143,409 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Banking – continued |
| |||||||
| 46,000,000 | Banco Supervielle S.A., |
$ | 496,363 | |||||
| 7,325,000 | Bank of New York Mellon Corp. (The), |
7,326,990 | ||||||
| 7,540,000 | Capital One NA, |
7,532,614 | ||||||
| 5,245,000 | Citibank NA, (fixed rate to 2/19/2021, variable rate thereafter), |
5,313,963 | ||||||
| 4,885,000 | Citigroup, Inc., |
4,905,293 | ||||||
| 7,975,000 | Citizens Bank NA, |
8,169,024 | ||||||
| 1,430,000 | Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), |
1,441,491 | ||||||
| 6,860,000 | HSBC Holdings PLC, |
6,869,370 | ||||||
| 2,550,000 | JPMorgan Chase & Co., |
2,555,559 | ||||||
| 3,960,000 | JPMorgan Chase Bank NA, (fixed rate to 4/26/2020, variable rate thereafter), |
3,979,484 | ||||||
| 6,280,000 | KeyBank NA, |
6,459,451 | ||||||
| 6,720,000 | Mitsubishi UFJ Financial Group, Inc., |
6,742,718 | ||||||
| 8,035,000 | PNC Bank NA, |
8,037,330 | ||||||
| 3,460,000 | Standard Chartered PLC, |
3,473,217 | ||||||
| 3,460,000 | Standard Chartered PLC, (fixed rate to 1/20/2022, variable rate thereafter), |
3,582,138 | ||||||
| 8,070,000 | Sumitomo Mitsui Financial Group, Inc., |
8,179,406 | ||||||
| 3,510,000 | Wells Fargo Bank NA, |
3,611,657 | ||||||
|
|
|
|||||||
| 97,741,169 | ||||||||
|
|
|
|||||||
| Brokerage – 0.2% |
| |||||||
| 3,140,000 | Ameriprise Financial, Inc., |
3,198,221 | ||||||
|
|
|
|||||||
| Chemicals – 1.1% |
| |||||||
| 1,870,000 | FMC Corp., |
1,899,854 | ||||||
| 1,040,000 | FMC Corp., |
1,082,320 | ||||||
| 2,015,000 | LYB International Finance III LLC, |
1,996,212 | ||||||
| 9,875,000 | Methanex Corp., |
9,914,893 | ||||||
|
|
|
|||||||
| 14,893,279 | ||||||||
|
|
|
|||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Commercial Mortgage-Backed Securities – 0.3% |
| |||||||
| $ | 3,396,933 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 6A3, |
$ | 3,477,316 | ||||
|
|
|
|||||||
| Construction Machinery – 1.4% |
| |||||||
| 3,050,000 | Caterpillar Financial Services Corp., GMTN, |
3,053,876 | ||||||
| 2,400,000 | Caterpillar Financial Services Corp., MTN, |
2,449,651 | ||||||
| 6,350,000 | John Deere Capital Corp., MTN, |
6,347,786 | ||||||
| 6,875,000 | John Deere Capital Corp., MTN, |
7,027,271 | ||||||
|
|
|
|||||||
| 18,878,584 | ||||||||
|
|
|
|||||||
| Consumer Cyclical Services – 1.4% |
| |||||||
| 8,135,000 | Uber Technologies, Inc., |
8,196,012 | ||||||
| 6,205,000 | Uber Technologies, Inc., |
6,189,488 | ||||||
| 4,810,000 | Uber Technologies, Inc., |
4,870,125 | ||||||
|
|
|
|||||||
| 19,255,625 | ||||||||
|
|
|
|||||||
| Consumer Products – 0.5% |
| |||||||
| 7,040,000 | Unilever Capital Corp., |
7,215,578 | ||||||
|
|
|
|||||||
| Diversified Manufacturing – 0.6% |
| |||||||
| 7,945,000 | 3M Co., MTN, |
8,139,783 | ||||||
|
|
|
|||||||
| Electric – 1.1% |
| |||||||
| 6,455,000 | Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), |
7,560,419 | ||||||
| 8,230,000 | Florida Power & Light Co., |
8,232,261 | ||||||
|
|
|
|||||||
| 15,792,680 | ||||||||
|
|
|
|||||||
| Finance Companies – 0.7% |
| |||||||
| 6,000,000 | Aircastle Ltd., |
6,146,215 | ||||||
| 3,535,000 | USSA Capital Corp., MTN, |
3,572,562 | ||||||
|
|
|
|||||||
| 9,718,777 | ||||||||
|
|
|
|||||||
| Financial Other – 0.5% |
| |||||||
| 6,550,000 | Mitsubishi UFJ Lease & Finance Co. Ltd., |
6,689,253 | ||||||
| 370,000 | Yanlord Land (HK) Co. Ltd., |
376,086 | ||||||
|
|
|
|||||||
| 7,065,339 | ||||||||
|
|
|
|||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Food & Beverage – 1.5% |
| |||||||
| $ | 4,415,000 | BRF S.A., |
$ | 4,359,813 | ||||
| 3,065,000 | Campbell Soup Co., |
3,065,129 | ||||||
| 3,925,000 | General Mills, Inc., |
3,985,171 | ||||||
| 2,870,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., |
3,042,143 | ||||||
| 6,390,000 | NBM U.S Holdings, Inc., |
6,701,512 | ||||||
|
|
|
|||||||
| 21,153,768 | ||||||||
|
|
|
|||||||
| Gaming – 0.1% |
| |||||||
| 1,645,000 | Melco Resorts Finance Ltd., |
1,707,048 | ||||||
|
|
|
|||||||
| Government Owned - No Guarantee – 1.4% |
| |||||||
| 4,120,000 | Export-Import Bank of Korea, |
4,128,307 | ||||||
| 18,670,000,000 | Financiera de Desarrollo Territorial S.A., |
5,686,839 | ||||||
| 4,935,000 | Petrobras Global Finance BV, |
5,442,713 | ||||||
| 950,000 | Petrobras Global Finance BV, |
1,137,150 | ||||||
| 3,525,000 | YPF S.A., |
2,691,161 | ||||||
| 1,930,000 | YPF S.A., |
344,151 | ||||||
|
|
|
|||||||
| 19,430,321 | ||||||||
|
|
|
|||||||
| Health Insurance – 0.7% |
| |||||||
| 6,900,000 | Cigna Corp., Series WI, |
6,900,242 | ||||||
| 3,125,000 | Humana, Inc., |
3,132,122 | ||||||
|
|
|
|||||||
| 10,032,364 | ||||||||
|
|
|
|||||||
| Healthcare – 0.6% |
| |||||||
| 6,065,000 | CVS Health Corp., |
6,094,249 | ||||||
| 2,300,000 | Polaris Intermediate Corp., |
1,955,000 | ||||||
|
|
|
|||||||
| 8,049,249 | ||||||||
|
|
|
|||||||
| Home Construction – 0.2% |
| |||||||
| 370,000 | CIFI Holdings Group Co. Ltd., |
366,467 | ||||||
| 740,000 | Shimao Property Holdings Ltd., |
753,319 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Home Construction – continued |
| |||||||
| $ | 370,000 | Sunac China Holdings Ltd., |
$ | 370,245 | ||||
| 760,000 | Sunac China Holdings Ltd., |
775,187 | ||||||
|
|
|
|||||||
| 2,265,218 | ||||||||
|
|
|
|||||||
| Independent Energy – 1.0% |
| |||||||
| 872,000 | Bellatrix Exploration Ltd., |
523,200 | ||||||
| 950,000 | Bellatrix Exploration Ltd., |
— | ||||||
| 4,155,000 | Bruin E&P Partners LLC, |
3,105,862 | ||||||
| 5,895,000 | California Resources Corp., |
2,918,025 | ||||||
| 2,075,000 | Gulfport Energy Corp., |
1,500,951 | ||||||
| 3,080,000 | Gulfport Energy Corp., |
2,186,800 | ||||||
| 3,620,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., |
1,647,100 | ||||||
| 3,465,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., |
1,619,888 | ||||||
|
|
|
|||||||
| 13,501,826 | ||||||||
|
|
|
|||||||
| Industrial Other – 0.1% |
| |||||||
| 740,000 | CFLD Cayman Investment Ltd., |
740,907 | ||||||
|
|
|
|||||||
| Life Insurance – 2.1% |
| |||||||
| 4,545,000 | AEGON Funding Co. LLC, |
4,740,275 | ||||||
| 2,770,000 | AIA Group Ltd., |
2,767,230 | ||||||
| 7,735,000 | Jackson National Life Global Funding, |
7,930,693 | ||||||
| 2,420,000 | MassMutual Global Funding II, |
2,449,202 | ||||||
| 4,270,000 | Metropolitan Life Global Funding I, |
4,392,794 | ||||||
| 6,780,000 | New York Life Global Funding, |
6,795,949 | ||||||
|
|
|
|||||||
| 29,076,143 | ||||||||
|
|
|
|||||||
| Local Authorities – 0.2% |
| |||||||
| 2,280,000 | Provincia de Buenos Aires, |
798,000 | ||||||
| 67,000,000 | Provincia de Buenos Aires, |
452,828 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Local Authorities – continued |
| |||||||
| 216,360,000 | Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.830%, 54.806%, 5/31/2022, (ARS)(b)(f)(i) |
$ | 1,374,145 | |||||
|
|
|
|||||||
| 2,624,973 | ||||||||
|
|
|
|||||||
| Lodging – 0.4% |
| |||||||
| 5,145,000 | Marriott International, Inc., |
5,163,796 | ||||||
|
|
|
|||||||
| Media Entertainment – 1.3% |
| |||||||
| 4,710,000 | Fox Corp., |
4,863,084 | ||||||
| 13,585,000 | Walt Disney Co. (The), |
13,629,722 | ||||||
|
|
|
|||||||
| 18,492,806 | ||||||||
|
|
|
|||||||
| Metals & Mining – 0.3% |
| |||||||
| 3,665,000 | Minera Mexico S.A. de CV, |
3,606,287 | ||||||
|
|
|
|||||||
| Midstream – 1.0% |
| |||||||
| 4,960,000 | Midwest Connector Capital Co. LLC, |
5,088,022 | ||||||
| 5,940,000 | Phillips 66 Partners LP, |
5,853,670 | ||||||
| 800,000 | Tennessee Gas Pipeline Co. LLC, |
988,108 | ||||||
| 2,160,000 | Transportadora de Gas del Sur S.A., |
1,896,264 | ||||||
|
|
|
|||||||
| 13,826,064 | ||||||||
|
|
|
|||||||
| Non-Agency Commercial Mortgage-Backed Securities – 3.4% |
| |||||||
| 4,565,000 | CFCRE Commercial Mortgage Trust, Series 2011-C1,
Class D, |
4,769,763 | ||||||
| 790,000 | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, |
795,419 | ||||||
| 5,680,000 | Credit Suisse Mortgage Trust, Series 2014-USA,
Class E, |
5,452,515 | ||||||
| 2,552,340 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, |
2,644,235 | ||||||
| 2,170,000 | GS Mortgage Securities Trust, Series 2011-GC5,
Class D, |
2,160,743 | ||||||
| 1,940,166 | Hospitality Mortagage Trust, Series 2019-HIT,
Class C, |
1,940,162 | ||||||
| 109,307 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, |
108,905 | ||||||
| 1,570,000 | Morgan Stanley Capital I Trust, Series 2011-C2,
Class D, |
1,586,393 | ||||||
| 2,515,000 | Morgan Stanley Capital I Trust, Series 2011-C2,
Class E, |
2,497,081 | ||||||
| 5,090,619 | Motel 6 Trust, Series 2017-M6MZ, Class M, |
5,142,911 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||
| $ | 1,060,000 | Starwood Retail Property Trust, Series 2014-STAR, Class C,
|
$ | 1,056,739 | ||||
| 4,243,654 | Starwood Retail Property Trust, Series 2014-STAR, Class D,
|
3,676,336 | ||||||
| 3,575,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E,
|
2,782,348 | ||||||
| 1,370,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, |
1,128,302 | ||||||
| 4,885,000 | Wells Fargo Commercial Mortgage Trust, Series 2019-JWDR, Class C, |
4,875,832 | ||||||
| 2,987,500 | WFRBS Commercial Mortgage Trust, Series 2011-C2,
Class D, |
3,061,575 | ||||||
| 1,809,189 | WFRBS Commercial Mortgage Trust, Series 2011-C3,
Class D, |
1,571,331 | ||||||
| 450,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7,
Class C, |
462,186 | ||||||
| 950,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7,
Class E, |
852,976 | ||||||
|
|
|
|||||||
| 46,565,752 | ||||||||
|
|
|
|||||||
| Pharmaceuticals – 2.7% |
| |||||||
| 8,040,000 | Bristol-Myers Squibb Co., |
8,150,965 | ||||||
| 4,020,000 | Celgene Corp., |
4,020,159 | ||||||
| 4,010,000 | Celgene Corp., |
4,032,116 | ||||||
| 4,890,000 | Mylan NV, |
5,210,348 | ||||||
| 830,000 | Mylan, Inc., |
878,642 | ||||||
| 1,650,000 | Mylan, Inc., |
1,735,916 | ||||||
| 6,860,000 | Pfizer, Inc., |
6,998,897 | ||||||
| 10,035,000 | Teva Pharmaceutical Finance Netherlands III BV, |
6,296,963 | ||||||
|
|
|
|||||||
| 37,324,006 | ||||||||
|
|
|
|||||||
| Property & Casualty Insurance – 0.8% |
| |||||||
| 6,000,000 | Berkshire Hathaway Finance Corp., |
6,006,472 | ||||||
| 5,520,000 | Marsh & McLennan Cos., Inc., |
5,608,097 | ||||||
|
|
|
|||||||
| 11,614,569 | ||||||||
|
|
|
|||||||
| Railroads – 0.3% |
| |||||||
| 4,675,000 | Union Pacific Corp., |
4,784,278 | ||||||
|
|
|
|||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Real Estate Operations/Development – 0.1% |
| |||||||
| $ | 600,000 | Easy Tactic Ltd., |
$ | 593,974 | ||||
| 370,000 | Logan Property Holdings Co. Ltd., |
356,505 | ||||||
|
|
|
|||||||
| 950,479 | ||||||||
|
|
|
|||||||
| Retailers – 0.9% |
| |||||||
| 5,955,000 | Home Depot, Inc. (The), |
5,962,675 | ||||||
| 6,635,000 | Walmart, Inc., |
6,654,988 | ||||||
|
|
|
|||||||
| 12,617,663 | ||||||||
|
|
|
|||||||
| Sovereigns – 0.2% |
| |||||||
| 2,615,000 | Abu Dhabi Government International Bond, |
2,533,281 | ||||||
| 29,460,000 | Argentina Politica Monetaria, Argentina Central Bank 7-day
Repo Reference Rate, |
238,850 | ||||||
|
|
|
|||||||
| 2,772,131 | ||||||||
|
|
|
|||||||
| Technology – 2.3% |
| |||||||
| 6,045,000 | Apple, Inc., |
6,045,857 | ||||||
| 12,555,000 | Broadcom, Inc., |
13,272,790 | ||||||
| 4,920,000 | CDW LLC/CDM Finance Corp., |
5,018,892 | ||||||
| 4,075,000 | CommScope Technologies LLC, |
3,361,875 | ||||||
| 230,000 | CommScope Technologies LLC, |
208,150 | ||||||
| 3,250,000 | Hewlett Packard Enterprise Co., |
3,291,852 | ||||||
|
|
|
|||||||
| 31,199,416 | ||||||||
|
|
|
|||||||
| Tobacco – 1.0% |
| |||||||
| 13,990,000 | BAT Capital Corp., |
13,736,151 | ||||||
|
|
|
|||||||
| Transportation Services – 0.8% |
| |||||||
| 5,050,000 | FedEx Corp., |
5,177,866 | ||||||
| 5,805,000 | Penske Truck Leasing Co. LP/PTL Finance Corp., |
5,939,572 | ||||||
|
|
|
|||||||
| 11,117,438 | ||||||||
|
|
|
|||||||
| Treasuries – 1.5% |
| |||||||
| 338,660,000 | Republic of South Africa Government Bond, |
20,053,032 | ||||||
|
|
|
|||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Wireless – 0.2% |
| |||||||
| $ | 1,985,000 | IHS Netherlands Holdco BV, |
$ | 2,017,455 | ||||
| 1,130,000 | Millicom International Cellular S.A., |
1,178,138 | ||||||
|
|
|
|||||||
| 3,195,593 | ||||||||
|
|
|
|||||||
| Wirelines – 0.8% |
| |||||||
| 4,070,000 | AT&T, Inc., |
4,153,183 | ||||||
| 1,200,000 | AT&T, Inc., |
1,224,870 | ||||||
| 1,245,000 | AT&T, Inc., |
1,275,364 | ||||||
| 4,670,000 | AT&T, Inc., |
4,847,870 | ||||||
|
|
|
|||||||
| 11,501,287 | ||||||||
|
|
|
|||||||
| Total Non-Convertible Bonds |
1,124,469,100 | |||||||
|
|
|
|||||||
| Convertible Bonds – 1.1% |
||||||||
| Cable Satellite – 0.5% |
| |||||||
| 4,280,000 | DISH Network Corp., |
3,760,941 | ||||||
| 3,625,000 | DISH Network Corp., |
3,321,246 | ||||||
|
|
|
|||||||
| 7,082,187 | ||||||||
|
|
|
|||||||
| Diversified Manufacturing – 0.0% |
| |||||||
| 600,000 | Greenbrier Cos., Inc. (The), |
569,163 | ||||||
|
|
|
|||||||
| Independent Energy – 0.1% |
| |||||||
| 1,280,000 | Chesapeake Energy Corp., |
764,800 | ||||||
|
|
|
|||||||
| Oil Field Services – 0.1% |
| |||||||
| 1,205,000 | Nabors Industries, Inc., |
770,477 | ||||||
|
|
|
|||||||
| Pharmaceuticals – 0.3% |
| |||||||
| 2,915,000 | BioMarin Pharmaceutical, Inc., |
2,865,436 | ||||||
| 710,000 | Flexion Therapeutics, Inc., |
635,780 | ||||||
|
|
|
|||||||
| 3,501,216 | ||||||||
|
|
|
|||||||
| Technology – 0.1% |
| |||||||
| 2,590,000 | CalAmp Corp., |
2,108,908 | ||||||
|
|
|
|||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Convertible Bonds – continued |
||||||||
| Total Convertible Bonds |
14,796,751 | |||||||
|
|
|
|||||||
| Total Bonds and Notes |
1,139,265,851 | |||||||
|
|
|
|||||||
| Senior Loans – 3.0% |
||||||||
| Aerospace & Defense – 0.2% |
| |||||||
| $ | 2,275,673 | Science Applications International Corp., 2018 Term Loan B,
|
$ | 2,274,262 | ||||
|
|
|
|||||||
| Building Materials – 0.8% |
| |||||||
| 2,330,319 | American Builders & Contractors Supply Co., Inc., 2018 Term Loan B, |
2,328,128 | ||||||
| 3,270,223 | Hamilton Holdco LLC, 2018 Term Loan B, |
3,278,399 | ||||||
| 5,127,740 | Jeld-Wen, Inc., 2017 1st Lien Term Loan, |
5,123,894 | ||||||
|
|
|
|||||||
| 10,730,421 | ||||||||
|
|
|
|||||||
| Cable Satellite – 0.3% |
| |||||||
| 152,193 | CSC Holdings LLC, 2019 Delayed Draw Term Loan, |
152,193 | ||||||
| 767,336 | CSC Holdings LLC, 2019 Term Loan B5, |
768,295 | ||||||
| 2,979,034 | Ziggo Secured Finance Partnership, USD Term Loan E,
|
2,971,467 | ||||||
|
|
|
|||||||
| 3,891,955 | ||||||||
|
|
|
|||||||
| Chemicals – 0.2% |
| |||||||
| 3,355,768 | Axalta Coating Systems US Holdings, Inc., USD Term Loan B3,
|
3,355,231 | ||||||
|
|
|
|||||||
| Electric – 0.0% |
| |||||||
| 207,820 | AES Corp., 2018 Term Loan B, |
207,776 | ||||||
|
|
|
|||||||
| Food & Beverage – 0.3% |
| |||||||
| 4,474,701 | Aramark Services, Inc., 2018 Term Loan B3, |
4,476,581 | ||||||
|
|
|
|||||||
| Healthcare – 0.4% |
| |||||||
| 1,117,200 | IQVIA, Inc., 2017 USD Term Loan B2, |
1,121,110 | ||||||
| 4,684,462 | IQVIA, Inc., 2018 USD Term Loan B3, |
4,687,414 | ||||||
|
|
|
|||||||
| 5,808,524 | ||||||||
|
|
|
|||||||
| Independent Energy – 0.2% |
| |||||||
| 811,000 | California Resources Corp., 2017 1st Lien Term Loan,
|
718,408 | ||||||
| 3,740,000 | Gavilan Resources LLC, 2nd Lien Term Loan, |
1,614,446 | ||||||
|
|
|
|||||||
| 2,332,854 | ||||||||
|
|
|
|||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Senior Loans – continued |
||||||||
| Restaurants – 0.1% |
| |||||||
| $ | 2,050,783 | 1011778 B.C. Unlimited Liability Co., Term Loan B3,
|
$ | 2,056,935 | ||||
|
|
|
|||||||
| Technology – 0.3% |
| |||||||
| 4,592,600 | Iron Mountain, Inc., 2018 Term Loan B, |
4,546,674 | ||||||
|
|
|
|||||||
| Transportation Services – 0.2% |
| |||||||
| 2,440,690 | Uber Technologies, Inc., 2018 Incremental Term Loan,
|
2,419,847 | ||||||
|
|
|
|||||||
| Total Senior Loans |
42,101,060 | |||||||
|
|
|
|||||||
| Collateralized Loan Obligations – 2.0% |
||||||||
| 4,268,917 | CVP Cascade CLO Ltd., Series 2014-2A, Class A1R, |
4,269,225 | ||||||
| 7,243,598 | Elevation CLO Ltd., Series 2015-4A, Class AR, |
7,244,283 | ||||||
| 3,316,029 | Halcyon Loan Advisors Funding Ltd., Series 2014-2A,
Class A1BR, |
3,317,706 | ||||||
| 76,017 | Halcyon Loan Advisors Funding Ltd., Series 2013-1A,
Class A1, |
76,019 | ||||||
| 3,685,000 | Jamestown CLO VII Ltd., Series 2015-7A, Class A1R,
|
3,668,906 | ||||||
| 504,563 | Limerock CLO III LLC, Series 2014-3A, Class A1R, |
504,491 | ||||||
| 1,175,000 | Madison Park Funding Ltd., Series 2014-12A,
Class B1R, |
1,174,973 | ||||||
| 4,085,000 | Mountain View CLO X Ltd., Series 2015-10A, Class AR,
|
4,066,748 | ||||||
| 3,965,000 | Parallel Ltd., Series 2015-1A, Class AR, |
3,960,906 | ||||||
|
|
|
|||||||
| Total Collateralized Loan Obligations |
28,283,257 | |||||||
|
|
|
|||||||
| Loan Participations – 0.4% |
||||||||
| ABS Other – 0.4% |
| |||||||
| 5,079,994 | Harbour Aircraft Investments Ltd., Series 2017-1,
Class C, |
5,125,639 | ||||||
|
|
|
|||||||
| Shares | ||||||||
| Common Stocks – 3.8% |
||||||||
| Aerospace & Defense – 0.0% |
| |||||||
| 250 | Lockheed Martin Corp. |
97,515 | ||||||
|
|
|
|||||||
| Airlines – 0.0% |
| |||||||
| 1,672 | Delta Air Lines, Inc. |
96,307 | ||||||
|
|
|
|||||||
| Banks – 0.1% |
| |||||||
| 10,361 | Citigroup, Inc. |
715,738 | ||||||
|
|
|
|||||||
| Shares | Description |
Value (†) | ||||||
| Common Stocks – continued |
||||||||
| Biotechnology – 0.1% |
| |||||||
| 10,154 | AbbVie, Inc. |
$ | 768,861 | |||||
| 3,435 | Amgen, Inc. |
664,707 | ||||||
| 10,896 | Gilead Sciences, Inc. |
690,588 | ||||||
|
|
|
|||||||
| 2,124,156 | ||||||||
|
|
|
|||||||
| Capital Markets – 0.1% |
| |||||||
| 8,576 | LPL Financial Holdings, Inc. |
702,374 | ||||||
|
|
|
|||||||
| Chemicals – 0.2% |
| |||||||
| 14,326 | CF Industries Holdings, Inc. |
704,839 | ||||||
| 138,555 | Hexion Holdings Corp., Class B(h) |
1,701,456 | ||||||
| 8,145 | LyondellBasell Industries NV, Class A |
728,733 | ||||||
|
|
|
|||||||
| 3,135,028 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies – 0.0% |
| |||||||
| 4,090 | Waste Management, Inc. |
470,350 | ||||||
|
|
|
|||||||
| Communications Equipment – 0.0% |
| |||||||
| 10,629 | Cisco Systems, Inc. |
525,179 | ||||||
|
|
|
|||||||
| Construction Materials – 0.2% |
| |||||||
| 673,076 | Cemex SAB de CV, Sponsored ADR |
2,638,458 | ||||||
|
|
|
|||||||
| Consumer Finance – 0.1% |
| |||||||
| 21,206 | Synchrony Financial |
722,913 | ||||||
|
|
|
|||||||
| Diversified Telecommunication Services – 0.1% |
| |||||||
| 2,604 | AT&T, Inc. |
98,535 | ||||||
| 10,452 | Verizon Communications, Inc. |
630,883 | ||||||
|
|
|
|||||||
| 729,418 | ||||||||
|
|
|
|||||||
| Electric Utilities – 0.0% |
| |||||||
| 9,108 | FirstEnergy Corp. |
439,279 | ||||||
| 7,367 | PPL Corp. |
231,987 | ||||||
|
|
|
|||||||
| 671,266 | ||||||||
|
|
|
|||||||
| Electrical Equipment – 0.1% |
| |||||||
| 8,554 | Eaton Corp. PLC |
711,265 | ||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components – 0.1% |
| |||||||
| 5,988 | CDW Corp. |
737,961 | ||||||
|
|
|
|||||||
| Food & Staples Retailing – 0.1% |
| |||||||
| 12,963 | Walgreens Boots Alliance, Inc. |
716,984 | ||||||
|
|
|
|||||||
| Food Products – 0.0% |
| |||||||
| 12,442 | General Mills, Inc. |
685,803 | ||||||
|
|
|
|||||||
| Health Care Equipment & Supplies – 0.0% |
| |||||||
| 5,191 | Medtronic PLC |
563,846 | ||||||
|
|
|
|||||||
| Health Care Providers & Services – 0.1% |
| |||||||
| 8,673 | AmerisourceBergen Corp. |
714,048 | ||||||
| 4,750 | McKesson Corp. |
649,135 | ||||||
| Shares | Description |
Value (†) | ||||||
| Common Stocks – continued |
||||||||
| Health Care Providers & Services – continued |
| |||||||
| 3,117 | UnitedHealth Group, Inc. |
$ | 677,386 | |||||
|
|
|
|||||||
| 2,040,569 | ||||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure – 0.2% |
| |||||||
| 6,016 | Darden Restaurants, Inc. |
711,211 | ||||||
| 3,180 | McDonald’s Corp. |
682,778 | ||||||
| 7,935 | Starbucks Corp. |
701,613 | ||||||
| 6,349 | Yum! Brands, Inc. |
720,167 | ||||||
|
|
|
|||||||
| 2,815,769 | ||||||||
|
|
|
|||||||
| Household Durables – 0.1% |
| |||||||
| 8,412 | Garmin Ltd. |
712,412 | ||||||
|
|
|
|||||||
| Industrial Conglomerates – 0.1% |
| |||||||
| 4,240 | Honeywell International, Inc. |
717,408 | ||||||
|
|
|
|||||||
| Insurance – 0.2% |
| |||||||
| 12,241 | Aflac, Inc. |
640,449 | ||||||
| 15,796 | Fidelity National Financial, Inc. |
701,500 | ||||||
| 15,241 | MetLife, Inc. |
718,766 | ||||||
| 9,584 | Progressive Corp. (The) |
740,364 | ||||||
| 6,943 | Prudential Financial, Inc. |
624,523 | ||||||
|
|
|
|||||||
| 3,425,602 | ||||||||
|
|
|
|||||||
| Internet & Direct Marketing Retail – 0.1% |
| |||||||
| 5,349 | Expedia Group, Inc. |
718,959 | ||||||
|
|
|
|||||||
| IT Services – 0.3% |
| |||||||
| 3,634 | Accenture PLC, Class A |
699,000 | ||||||
| 4,147 | Automatic Data Processing, Inc. |
669,409 | ||||||
| 6,814 | Booz Allen Hamilton Holding Corp. |
483,930 | ||||||
| 8,285 | Leidos Holdings, Inc. |
711,516 | ||||||
| 2,617 | MasterCard, Inc., Class A |
710,699 | ||||||
| 8,543 | Paychex, Inc. |
707,104 | ||||||
| 3,346 | Visa, Inc., Class A |
575,545 | ||||||
|
|
|
|||||||
| 4,557,203 | ||||||||
|
|
|
|||||||
| Machinery – 0.2% |
| |||||||
| 5,560 | Caterpillar, Inc. |
702,284 | ||||||
| 4,461 | Cummins, Inc. |
725,671 | ||||||
| 4,580 | Illinois Tool Works, Inc. |
716,724 | ||||||
| 10,192 | PACCAR, Inc. |
713,542 | ||||||
|
|
|
|||||||
| 2,858,221 | ||||||||
|
|
|
|||||||
| Media – 0.2% |
| |||||||
| 15,452 | Comcast Corp., Class A |
696,576 | ||||||
| 7,147 | Nexstar Media Group, Inc., Class A |
731,209 | ||||||
| 9,243 | Omnicom Group, Inc. |
723,727 | ||||||
| 16,186 | Sinclair Broadcast Group, Inc., Class A |
691,790 | ||||||
|
|
|
|||||||
| 2,843,302 | ||||||||
|
|
|
|||||||
| Shares | Description |
Value (†) | ||||||
| Common Stocks – continued |
||||||||
| Multiline Retail – 0.1% |
| |||||||
| 6,771 | Target Corp. |
$ | 723,888 | |||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels – 0.1% |
| |||||||
| 349,549 | Bellatrix Exploration Ltd.(d)(e)(g)(h) |
— | ||||||
| 15,961 | CVR Energy, Inc. |
702,763 | ||||||
| 1,884 | Dommo Energia S.A., Sponsored ADR(h) |
8,308 | ||||||
| 25,000 | Enterprise Products Partners LP |
714,500 | ||||||
| 73,856 | Whiting Petroleum Corp.(h) |
593,064 | ||||||
|
|
|
|||||||
| 2,018,635 | ||||||||
|
|
|
|||||||
| Pharmaceuticals – 0.1% |
| |||||||
| 14,415 | Bristol-Myers Squibb Co. |
730,985 | ||||||
| 2,785 | Eli Lilly & Co. |
311,446 | ||||||
| 5,291 | Johnson & Johnson |
684,550 | ||||||
| 8,280 | Merck & Co., Inc. |
697,010 | ||||||
|
|
|
|||||||
| 2,423,991 | ||||||||
|
|
|
|||||||
| Professional Services – 0.1% |
| |||||||
| 7,189 | Insperity, Inc. |
708,979 | ||||||
|
|
|
|||||||
| REITs - Diversified – 0.1% |
| |||||||
| 38,089 | CoreCivic, Inc. |
658,178 | ||||||
| 18,646 | Gaming and Leisure Properties, Inc. |
713,023 | ||||||
|
|
|
|||||||
| 1,371,201 | ||||||||
|
|
|
|||||||
| REITs - Storage – 0.1% |
| |||||||
| 22,256 | Iron Mountain, Inc. |
720,872 | ||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment – 0.1% |
| |||||||
| 2,507 | Broadcom, Inc. |
692,107 | ||||||
| 14,013 | Intel Corp. |
722,090 | ||||||
| 4,595 | KLA Corp. |
732,673 | ||||||
| 2,546 | Texas Instruments, Inc. |
329,045 | ||||||
|
|
|
|||||||
| 2,475,915 | ||||||||
|
|
|
|||||||
| Software – 0.1% |
| |||||||
| 2,558 | Intuit, Inc. |
680,275 | ||||||
| 5,096 | Microsoft Corp. |
708,497 | ||||||
| 12,906 | Oracle Corp. |
710,217 | ||||||
|
|
|
|||||||
| 2,098,989 | ||||||||
|
|
|
|||||||
| Specialty Retail – 0.1% |
| |||||||
| 8,685 | Best Buy Co., Inc. |
599,178 | ||||||
| 3,147 | Home Depot, Inc. (The) |
730,167 | ||||||
|
|
|
|||||||
| 1,329,345 | ||||||||
|
|
|
|||||||
| Technology Hardware, Storage & Peripherals – 0.1% |
| |||||||
| 844 | Apple, Inc. |
189,031 | ||||||
| 48,682 | Hewlett Packard Enterprise Co. |
738,506 | ||||||
| 36,600 | HP, Inc. |
692,472 | ||||||
|
|
|
|||||||
| 1,620,009 | ||||||||
|
|
|
|||||||
| Shares | Description |
Value (†) | ||||||
| Common Stocks – continued |
||||||||
| Tobacco – 0.1% |
| |||||||
| 10,114 | Philip Morris International, Inc. |
$ | 767,956 | |||||
|
|
|
|||||||
| Total Common Stocks |
52,993,786 | |||||||
|
|
|
|||||||
| Preferred Stocks – 0.7% |
||||||||
| Convertible Preferred Stocks – 0.4% |
||||||||
| Food & Beverage – 0.3% |
| |||||||
| 42,272 | Bunge Ltd., |
4,338,951 | ||||||
|
|
|
|||||||
| Midstream – 0.1% |
| |||||||
| 1,714 | Chesapeake Energy Corp., |
600,380 | ||||||
| 2,329 | El Paso Energy Capital Trust I, |
122,202 | ||||||
|
|
|
|||||||
| 722,582 | ||||||||
|
|
|
|||||||
| Total Convertible Preferred Stocks |
5,061,533 | |||||||
|
|
|
|||||||
| Non-Convertible Preferred Stocks – 0.3% |
||||||||
| Cable Satellite – 0.3% |
| |||||||
| 4,040,000 | NBCUniversal Enterprise, Inc., |
4,161,200 | ||||||
|
|
|
|||||||
| Total Preferred Stocks |
9,222,733 | |||||||
|
|
|
|||||||
| Principal Amount (‡) |
||||||||
| Other Investments – 0.6% |
||||||||
| Aircraft ABS – 0.6% |
| |||||||
| $ | 900 | ECAF I Blocker Ltd.(d)(e)(f)(g) |
7,776,000 | |||||
|
|
|
|||||||
| Short-Term Investments – 4.7% |
||||||||
| 53,862,706 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2019 at 1.100% to be repurchased at $53,864,352 on 10/01/2019 collateralized by $48,935,000 U.S. Treasury Note, 2.125% due 5/15/2025 valued at $50,720,002; $4,150,000 U.S. Treasury Note, 2.250% due 4/30/2021 valued at $4,222,567 including accrued interest(p) |
53,862,706 | ||||||
| 5,755,000 | U.S. Treasury Bills, |
5,681,441 | ||||||
| 5,020,000 | U.S. Treasury Bills, |
5,003,819 | ||||||
|
|
|
|||||||
| Total Short-Term Investments |
$ | 64,547,966 | ||||||
|
|
|
|||||||
| Description | Value (†) | |||||||||||||||||||||||
| |
Total Investments – 98.0% |
1,349,316,292 | ||||||||||||||||||||||
| Other assets less liabilities – 2.0% |
27,123,143 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Net Assets – 100.0% |
$ | 1,376,439,435 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Written Options – (0.0)% |
||||||||||||||||||||||||
| Description |
Expiration Date |
Exercise Price |
Shares(†††) | Notional Amount |
Premiums (Received) |
Value (†) | ||||||||||||||||||
| Options on Securities – (0.0%) |
||||||||||||||||||||||||
| AbbVie, Inc., Call |
10/18/2019 | 75.00 | (3,200 | ) | $ | (242,304 | ) | $ | (3,127 | ) | $ | (5,120 | ) | |||||||||||
| Accenture PLC, Call |
10/18/2019 | 200.00 | (1,100 | ) | (211,585 | ) | (2,538 | ) | (522 | ) | ||||||||||||||
| AmerisourceBergen Corp., Call |
10/18/2019 | 90.00 | (5,700 | ) | (469,281 | ) | (2,777 | ) | (997 | ) | ||||||||||||||
| Apple, Inc., Call |
10/18/2019 | 235.00 | (200 | ) | (44,794 | ) | (111 | ) | (173 | ) | ||||||||||||||
| Apple, Inc., Call |
10/18/2019 | 220.00 | (200 | ) | (44,794 | ) | (713 | ) | (1,450 | ) | ||||||||||||||
| Apple, Inc., Call |
12/20/2019 | 240.00 | (200 | ) | (44,794 | ) | (633 | ) | (870 | ) | ||||||||||||||
| Automatic Data Processing, Inc., Call |
10/18/2019 | 165.00 | (4,100 | ) | (661,822 | ) | (4,785 | ) | (5,740 | ) | ||||||||||||||
| Best Buy Co., Inc., Call |
10/18/2019 | 70.00 | (700 | ) | (48,293 | ) | (1,741 | ) | (976 | ) | ||||||||||||||
| Best Buy Co., Inc., Call |
10/18/2019 | 72.50 | (5,700 | ) | (393,243 | ) | (3,575 | ) | (3,078 | ) | ||||||||||||||
| Booz Allen Hamilton Holding Corp., Call |
10/18/2019 | 75.00 | (3,300 | ) | (234,366 | ) | (783 | ) | (990 | ) | ||||||||||||||
| Booz Allen Hamilton Holding Corp., Call |
12/20/2019 | 80.00 | (3,400 | ) | (241,468 | ) | (1,588 | ) | (2,295 | ) | ||||||||||||||
| Bristol Myers Squibb Co., Call |
10/18/2019 | 52.50 | (4,700 | ) | (238,337 | ) | (1,631 | ) | (1,105 | ) | ||||||||||||||
| Bristol-Myers Squibb Co., Call |
12/20/2019 | 49.00 | (4,700 | ) | (238,337 | ) | (8,779 | ) | (14,688 | ) | ||||||||||||||
| Bristol-Myers Squibb Co., Call |
12/20/2019 | 50.00 | (4,700 | ) | (238,337 | ) | (6,962 | ) | (12,079 | ) | ||||||||||||||
| Broadcom Inc., Call |
10/18/2019 | 310.00 | (1,600 | ) | (441,712 | ) | (1,195 | ) | (240 | ) | ||||||||||||||
| Broadcom, Inc., Call |
10/18/2019 | 300.00 | (800 | ) | (220,856 | ) | (4,638 | ) | (400 | ) | ||||||||||||||
| Caterpillar, Inc., Call |
10/18/2019 | 125.00 | (1,800 | ) | (227,358 | ) | (3,693 | ) | (6,390 | ) | ||||||||||||||
| Caterpillar, Inc., Call |
10/18/2019 | 135.00 | (1,800 | ) | (227,358 | ) | (1,263 | ) | (513 | ) | ||||||||||||||
| CDW Corp., Call |
10/18/2019 | 130.00 | (2,900 | ) | (357,396 | ) | (1,210 | ) | (1,958 | ) | ||||||||||||||
| CDW Corp., Call |
12/20/2019 | 135.00 | (2,900 | ) | (357,396 | ) | (4,864 | ) | (7,178 | ) | ||||||||||||||
| Cisco Systems, Inc., Call |
10/18/2019 | 52.50 | (4,800 | ) | (237,168 | ) | (1,618 | ) | (360 | ) | ||||||||||||||
| Citigroup, Inc., Call |
10/18/2019 | 75.00 | (3,400 | ) | (234,872 | ) | (534 | ) | (357 | ) | ||||||||||||||
| Citigroup, Inc., Call |
10/18/2019 | 67.50 | (3,400 | ) | (234,872 | ) | (4,886 | ) | (9,333 | ) | ||||||||||||||
| Citigroup, Inc., Call |
12/20/2019 | 75.00 | (3,400 | ) | (234,872 | ) | (3,390 | ) | (3,128 | ) | ||||||||||||||
| CoreCivic, Inc., Call |
10/18/2019 | 18.00 | (19,000 | ) | (328,320 | ) | (2,795 | ) | (3,800 | ) | ||||||||||||||
| CoreCivic, Inc., Call |
12/20/2019 | 19.00 | (18,600 | ) | (321,408 | ) | (6,555 | ) | (10,230 | ) | ||||||||||||||
| Cummins, Inc., Call |
10/18/2019 | 170.00 | (3,300 | ) | (536,811 | ) | (3,026 | ) | (2,640 | ) | ||||||||||||||
| Cummins, Inc., Call |
12/20/2019 | 160.00 | (1,100 | ) | (178,937 | ) | (4,562 | ) | (10,285 | ) | ||||||||||||||
| Darden Restaurants, Inc., Call |
10/18/2019 | 135.00 | (2,900 | ) | (342,838 | ) | (5,708 | ) | (72 | ) | ||||||||||||||
| Description |
Expiration Date |
Exercise Price |
Shares(†††) | Notional Amount |
Premiums (Received) |
Value (†) | ||||||||||||||||||
| Options on Securities – continued |
||||||||||||||||||||||||
| Darden Restaurants, Inc., Call |
10/18/2019 | 130.00 | (2,900 | ) | $ | (342,838 | ) | $ | (8,749 | ) | $ | (72 | ) | |||||||||||
| Delta Air Lines, Inc., Call |
10/18/2019 | 62.50 | (1,000 | ) | (57,600 | ) | (1,067 | ) | (195 | ) | ||||||||||||||
| Delta Air Lines, Inc., Call |
12/20/2019 | 62.50 | (500 | ) | (28,800 | ) | (534 | ) | (462 | ) | ||||||||||||||
| Eaton Corp. PLC, Call |
10/18/2019 | 90.00 | (2,600 | ) | (216,190 | ) | (2,321 | ) | (195 | ) | ||||||||||||||
| Eaton Corp. PLC, Call |
10/18/2019 | 87.50 | (2,600 | ) | (216,190 | ) | (3,894 | ) | (520 | ) | ||||||||||||||
| Eli Lilly & Co., Call |
10/18/2019 | 120.00 | (1,800 | ) | (201,294 | ) | (1,217 | ) | (333 | ) | ||||||||||||||
| Enterprise Products Partners LP, Call |
10/18/2019 | 30.00 | (24,700 | ) | (705,926 | ) | (3,881 | ) | (1,235 | ) | ||||||||||||||
| Expedia Group, Inc., Call |
10/18/2019 | 140.00 | (2,600 | ) | (349,466 | ) | (1,578 | ) | (1,755 | ) | ||||||||||||||
| Fidelity National Financial, Inc., Call |
10/18/2019 | 45.00 | (5,200 | ) | (230,932 | ) | (1,961 | ) | (2,470 | ) | ||||||||||||||
| Fidelity National Financial, Inc., Call |
12/20/2019 | 46.00 | (5,200 | ) | (230,932 | ) | (3,885 | ) | (5,200 | ) | ||||||||||||||
| Fidelity National Financial, Inc., Call |
12/20/2019 | 47.00 | (5,200 | ) | (230,932 | ) | (2,273 | ) | (3,250 | ) | ||||||||||||||
| FirstEnergy Corp., Call |
10/18/2019 | 47.00 | (4,400 | ) | (212,212 | ) | (913 | ) | (7,150 | ) | ||||||||||||||
| FirstEnergy Corp., Call |
10/18/2019 | 46.00 | (4,500 | ) | (217,035 | ) | (1,877 | ) | (11,025 | ) | ||||||||||||||
| General Mills, Inc., Call |
10/18/2019 | 57.50 | (5,000 | ) | (275,600 | ) | (2,186 | ) | (525 | ) | ||||||||||||||
| Home Depot, Inc. (The), Call |
10/18/2019 | 235.00 | (1,000 | ) | (232,020 | ) | (1,187 | ) | (2,400 | ) | ||||||||||||||
| Home Depot, Inc. (The), Call |
12/20/2019 | 240.00 | (1,000 | ) | (232,020 | ) | (3,437 | ) | (5,375 | ) | ||||||||||||||
| Honeywell International, Inc., Call |
10/18/2019 | 175.00 | (2,700 | ) | (456,840 | ) | (2,260 | ) | (2,741 | ) | ||||||||||||||
| Honeywell International, Inc., Call |
12/20/2019 | 175.00 | (1,300 | ) | (219,960 | ) | (4,585 | ) | (4,290 | ) | ||||||||||||||
| Illinois Tool Works, Inc., Call |
12/20/2019 | 170.00 | (3,000 | ) | (469,470 | ) | (3,915 | ) | (6,150 | ) | ||||||||||||||
| Insperity, Inc., Call |
10/18/2019 | 105.00 | (2,300 | ) | (226,826 | ) | (2,270 | ) | (1,380 | ) | ||||||||||||||
| Insperity, Inc., Call |
12/20/2019 | 110.00 | (4,700 | ) | (463,514 | ) | (14,180 | ) | (13,983 | ) | ||||||||||||||
| Intel Corp., Call |
10/18/2019 | 49.00 | (4,600 | ) | (237,038 | ) | (5,773 | ) | (13,639 | ) | ||||||||||||||
| Iron Mountain, Inc., Call |
12/20/2019 | 35.00 | (22,000 | ) | (712,580 | ) | (5,957 | ) | (9,900 | ) | ||||||||||||||
| Johnson & Johnson, Call |
10/18/2019 | 135.00 | (3,400 | ) | (439,892 | ) | (3,084 | ) | (1,360 | ) | ||||||||||||||
| KLA Corp., Call |
10/18/2019 | 165.00 | (2,200 | ) | (350,790 | ) | (3,805 | ) | (4,015 | ) | ||||||||||||||
| KLA Corp., Call |
10/18/2019 | 170.00 | (2,200 | ) | (350,790 | ) | (1,668 | ) | (1,430 | ) | ||||||||||||||
| Leidos Holdings, Inc., Call |
10/18/2019 | 90.00 | (4,100 | ) | (352,108 | ) | (1,792 | ) | (1,128 | ) | ||||||||||||||
| Lockheed Martin Corp., Call |
10/18/2019 | 405.00 | (100 | ) | (39,006 | ) | (138 | ) | (105 | ) | ||||||||||||||
| LPL Financial Holdings, Inc., Call |
10/18/2019 | 90.00 | (4,200 | ) | (343,980 | ) | (1,206 | ) | (525 | ) | ||||||||||||||
| LPL Financial Holdings, Inc., Call |
12/20/2019 | 80.00 | (800 | ) | (65,520 | ) | (2,174 | ) | (4,960 | ) | ||||||||||||||
| Description |
Expiration Date |
Exercise Price |
Shares(†††) | Notional Amount |
Premiums (Received) |
Value (†) | ||||||||||||||||||
| Options on Securities – continued |
||||||||||||||||||||||||
| LyondellBasell Industries NV, Call |
10/18/2019 | 95.00 | (5,300 | ) | $ | (474,191 | ) | $ | (2,794 | ) | $ | (2,783 | ) | |||||||||||
| LyondellBasell Industries NV, Call |
12/20/2019 | 80.00 | (2,600 | ) | (232,622 | ) | (6,518 | ) | (30,030 | ) | ||||||||||||||
| MasterCard, Inc., Call |
10/18/2019 | 295.00 | (800 | ) | (217,256 | ) | (2,934 | ) | (168 | ) | ||||||||||||||
| MasterCard, Inc., Call |
10/18/2019 | 290.00 | (1,700 | ) | (461,669 | ) | (1,474 | ) | (748 | ) | ||||||||||||||
| McDonald’s Corp., Call |
12/20/2019 | 220.00 | (1,500 | ) | (322,065 | ) | (5,231 | ) | (6,525 | ) | ||||||||||||||
| McKesson Corp., Call |
10/18/2019 | 155.00 | (4,700 | ) | (642,302 | ) | (1,819 | ) | (705 | ) | ||||||||||||||
| Merck & Co., Inc., Call |
10/18/2019 | 87.50 | (5,400 | ) | (454,572 | ) | (2,846 | ) | (1,566 | ) | ||||||||||||||
| MetLife, Inc., Call |
12/20/2019 | 50.00 | (11,400 | ) | (537,624 | ) | (9,937 | ) | (8,892 | ) | ||||||||||||||
| Microsoft Corp., Call |
10/18/2019 | 145.00 | (3,200 | ) | (444,896 | ) | (4,679 | ) | (1,552 | ) | ||||||||||||||
| Nexstar Media Group, Inc., Call |
10/18/2019 | 110.00 | (4,700 | ) | (480,857 | ) | (11,830 | ) | (4,230 | ) | ||||||||||||||
| Omnicom Group, Inc., Call |
10/18/2019 | 80.00 | (2,900 | ) | (227,070 | ) | (4,398 | ) | (3,335 | ) | ||||||||||||||
| Omnicom Group, Inc., Call |
10/18/2019 | 82.50 | (3,000 | ) | (234,900 | ) | (1,161 | ) | (1,050 | ) | ||||||||||||||
| Omnicom Group, Inc., Call |
10/18/2019 | 85.00 | (2,900 | ) | (227,070 | ) | (3,544 | ) | (290 | ) | ||||||||||||||
| Oracle Corp., Call |
10/18/2019 | 55.00 | (4,200 | ) | (231,126 | ) | (1,542 | ) | (3,738 | ) | ||||||||||||||
| Oracle Corp., Call |
12/20/2019 | 57.50 | (8,500 | ) | (467,755 | ) | (6,010 | ) | (10,923 | ) | ||||||||||||||
| PACCAR, Inc., Call |
12/20/2019 | 75.00 | (4,900 | ) | (343,049 | ) | (7,483 | ) | (7,105 | ) | ||||||||||||||
| Paychex, Inc., Call |
10/18/2019 | 85.00 | (2,800 | ) | (231,756 | ) | (2,378 | ) | (2,380 | ) | ||||||||||||||
| Paychex, Inc., Call |
12/20/2019 | 87.50 | (2,800 | ) | (231,756 | ) | (4,416 | ) | (3,220 | ) | ||||||||||||||
| Philip Morris International, Inc., Call |
10/18/2019 | 77.50 | (10,000 | ) | (759,300 | ) | (4,757 | ) | (12,050 | ) | ||||||||||||||
| Progressive Corp. (The), Call |
10/18/2019 | 80.00 | (4,600 | ) | (355,350 | ) | (1,781 | ) | (2,875 | ) | ||||||||||||||
| Prudential Financial, Inc., Call |
10/18/2019 | 95.00 | (4,500 | ) | (404,775 | ) | (1,544 | ) | (1,193 | ) | ||||||||||||||
| Prudential Financial, Inc., Call |
12/20/2019 | 97.50 | (2,200 | ) | (197,890 | ) | (2,826 | ) | (2,926 | ) | ||||||||||||||
| Sinclair Broadcast Group, Inc., Call |
10/18/2019 | 48.00 | (10,600 | ) | (453,044 | ) | (7,257 | ) | (4,240 | ) | ||||||||||||||
| Synchrony Financial, Call |
12/20/2019 | 37.00 | (13,900 | ) | (473,851 | ) | (6,910 | ) | (6,950 | ) | ||||||||||||||
| Synchrony Financial, Call |
12/20/2019 | 36.00 | (6,900 | ) | (235,221 | ) | (5,500 | ) | (5,348 | ) | ||||||||||||||
| Target Corp., Call |
10/18/2019 | 95.00 | (2,200 | ) | (235,202 | ) | (3,338 | ) | (26,785 | ) | ||||||||||||||
| Target Corp., Call |
10/18/2019 | 115.00 | (4,400 | ) | (470,404 | ) | (3,419 | ) | (660 | ) | ||||||||||||||
| Texas Instruments, Inc., Call |
10/18/2019 | 135.00 | (800 | ) | (103,392 | ) | (406 | ) | (504 | ) | ||||||||||||||
| UnitedHealth Group, Inc. |
10/18/2019 | 260.00 | (900 | ) | (195,588 | ) | (2,742 | ) | (31 | ) | ||||||||||||||
| UnitedHealth Group, Inc., Call |
10/18/2019 | 250.00 | (1,000 | ) | (217,320 | ) | (777 | ) | (120 | ) | ||||||||||||||
| UnitedHealth Group, Inc., Call |
12/20/2019 | 250.00 | (1,000 | ) | (217,320 | ) | (3,667 | ) | (1,370 | ) | ||||||||||||||
| Verizon Communications, Inc., Call |
10/18/2019 | 60.00 | (7,600 | ) | (458,736 | ) | (3,626 | ) | (6,308 | ) | ||||||||||||||
| Visa, Inc., Call |
10/18/2019 | 190.00 | (2,100 | ) | (361,221 | ) | (4,491 | ) | (94 | ) | ||||||||||||||
| Description |
Expiration Date |
Exercise Price |
Shares(†††) | Notional Amount |
Premiums (Received) |
Value (†) | ||||||||||||||||||
| Options on Securities – continued |
|
|||||||||||||||||||||||
| Visa, Inc., Call |
10/18/2019 | 185.00 | (1,100 | ) | $ | (189,211 | ) | $ | (448 | ) | $ | (192 | ) | |||||||||||
| Walgreens Boots Alliance, Inc., Call |
10/18/2019 | 57.50 | (8,200 | ) | (453,542 | ) | (5,388 | ) | (2,952 | ) | ||||||||||||||
| Walgreens Boots Alliance, Inc., Call |
10/18/2019 | 60.00 | (4,100 | ) | (226,771 | ) | (1,963 | ) | (348 | ) | ||||||||||||||
| Waste Management, Inc., Call |
10/18/2019 | 120.00 | (2,600 | ) | (299,000 | ) | (1,010 | ) | (585 | ) | ||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | (326,291 | ) | $ | (379,506 | ) | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| (†) | 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, 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 clearinghouse 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 domestic indices are valued at the average of the closing bid and ask quotations as of the close of trading on the Chicago Board Options Exchange (“Cboe®”).
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, 2019, securities held by the Fund 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 |
|||||||||||
| $ | 12,330,224 | 0.9 | % | $ | 14,108,515 | 1.0 | % | |||||||
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. | |
| (a) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. | |
| (b) | Variable rate security. Rate as of September 30, 2019 is disclosed. | |
| (c) | 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, 2019 is disclosed. | |
| (d) | Level 3 security. Value has been determined using significant unobservable inputs. | |
| (e) | Fair valued by the Fund’s adviser. At September 30, 2019, the value of these securities amounted to $14,108,515 or 1.0% of net assets. | |
| (f) | Illiquid security. | |
| (g) | Securities subject to restriction on resale. At September 30, 2019, the restricted securities held by the Fund are as follows: |
| Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||||
| Bellatrix Exploration Ltd., 8.500% |
6/04/2019 | $ | 854,560 | $ | 523,200 | 0.1 | % | |||||||||
| Bellatrix Exploration Ltd., 9.500% PIK or 3.000% Cash |
6/04/2019 | 627,000 | — | — | ||||||||||||
| Bellatrix Exploration Ltd. |
6/04/2019 | 439,289 | — | — | ||||||||||||
| ECAF I Blocker Ltd. |
6/18/2015 | 9,000,000 | 7,776,000 | 0.6 | % | |||||||||||
| GCA2014 Holdings Ltd., Series 2014-1, Class C |
12/18/2014 | 2,148,676 | 1,744,725 | 0.1 | % | |||||||||||
| GCA2014 Holdings Ltd., Series 2014-1, Class D |
12/18/2014 | 935,764 | 513,734 | Less than 0.1 | % | |||||||||||
| GCA2014 Holdings Ltd., Series 2014-1, Class E |
12/18/2014 | 2,657,606 | — | — | ||||||||||||
| (h) | Non-income producing security. | |
| (i) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2019, the value of these securities amounted to $12,330,224 or 0.9% of net assets. | |
| (j) | Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period. | |
| (k) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. For the period ended September 30, 2019, interest payments were made in cash. | |
| (l) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. No payments were made during the period. | |
| (m) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |
| (n) | Unfunded loan commitment. An unfunded loan commitment is a contractual obligation for future funding at the option of the Borrower. The Fund receives a stated coupon rate until the borrower draws on the loan commitment, at which time the rate will become the stated rate in the loan agreement. | |
| (o) | Position is unsettled. Contract rate was not determined at September 30, 2019 and does not take effect until settlement date. Maturity date is not finalized until settlement date. | |
| (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, 2019, 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, 2019, the value of Rule 144A holdings amounted to $539,103,815 or 39.2% 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 | |
| EURIBOR | Euro Interbank Offered Rate | |
| GMTN | Global Medium Term Note | |
| LIBOR | London Interbank Offered Rate | |
| MTN | Medium Term Note |
| PIK | Payment-in-Kind | |
| REITs | Real Estate Investment Trusts | |
| SLM | Sallie Mae | |
| ARS | Argentine Peso | |
| CAD | Canadian Dollar | |
| COP | Colombian Peso | |
| EUR | Euro | |
| GBP | British Pound | |
| HUF | Hungarian Forint | |
| MYR | Malaysian Ringgit | |
| NOK | Norwegian Krone | |
| SGD | Singapore Dollar | |
| THB | Thai Baht | |
| USD | U.S. Dollar | |
| 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.
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 receivable or payable. 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, 2019, the Fund had the following open bilateral credit default swap agreements:
Buy Protection
| Counterparty |
Reference Obligation |
(Pay)/ Receive Fixed Rate1 |
Expiration Date |
Notional Value(‡) |
Unamortized Up Front Premium Paid/(Received) |
Market Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| Bank of America, N.A. |
Enel SpA | (1.00 | %) | 6/20/2023 | 6,100,000 EUR | $ | (2,617 | ) | $ | (140,654 | ) | $ | (138,037 | ) | ||||||||||||
| Counterparty |
Reference Obligation |
(Pay)/ Receive Fixed Rate1 |
Expiration Date |
Notional Value(‡) |
Unamortized Up Front Premium Paid/(Received) |
Market Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| Bilateral credit default swap agreements – continued |
|
|||||||||||||||||||||||||
| Buy Protection – continued |
||||||||||||||||||||||||||
| Morgan Stanley Capital Services, Inc. |
CDX.EM Series 32 100, 5-Year | (1.00 | %) | 12/20/2024 | 27,730,000 | $ | 1,518,807 | $ | 1,459,792 | $ | (59,015 | ) | ||||||||||||||
| Morgan Stanley Capital Services, Inc. |
Enel SpA | (1.00 | %) | 12/20/2023 | 6,115,000 EUR | 35,639 | (140,295 | ) | (175,934 | ) | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| Total |
$ | 1,178,843 | $ | (372,986 | ) | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
At September 30, 2019, the Fund had the following open centrally cleared credit default swap agreements:
Buy Protection
| Reference Obligation |
(Pay)/ Receive Fixed Rate1 |
Expiration Date |
Notional Value(‡) |
Unamortized Up Front Premium Paid/(Received) |
Market Value |
Unrealized Appreciation (Depreciation) |
Fees Receivable/ (Payable) |
|||||||||||||||||||||
| CDX.NA. HY Series |
(5.00 | %) | 12/20/2024 | 27,800,000 | $ | (1,839,395 | ) | $ | (1,854,390 | ) | $ | (14,995 | ) | $ | (42,472 | ) | ||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (‡) | Notional value stated in U.S. dollars unless otherwise noted. |
| 1 | Payments are made quarterly. |
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 gain or loss. 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. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.
At September 30, 2019, 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. |
10/18/2019 | CAD | S | 3,020,000 | $ | 2,319,633 | $ | 2,280,144 | $ | 39,489 | ||||||||||||||||||
| Bank of America, N.A. |
10/15/2019 | NOK | B | 130,790,000 | 15,320,532 | 14,379,755 | (940,777 | ) | ||||||||||||||||||||
| Citibank N.A. |
11/15/2019 | SGD | S | 45,150,000 | 32,537,023 | 32,682,924 | (145,901 | ) | ||||||||||||||||||||
| Credit Suisse International |
10/02/2019 | COP | B | 18,400,000,000 | 5,317,919 | 5,287,356 | (30,563 | ) | ||||||||||||||||||||
| Credit Suisse International |
10/02/2019 | COP | S | 18,400,000,000 | 5,758,818 | 5,287,356 | 471,462 | |||||||||||||||||||||
| Counterparty |
Delivery Date |
Currency Bought/ Sold (B/S) |
Units of Currency |
In Exchange for | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| Credit Suisse International |
1/02/2020 | COP | S | 18,400,000,000 | $ | 5,295,574 | $ | 5,264,664 | $ | 30,910 | ||||||||||||||||||
| Deutsche Bank AG |
10/31/2019 | EUR | S | 2,000,000 | 2,244,380 | 2,184,664 | 59,716 | |||||||||||||||||||||
| Deutsche Bank AG |
10/31/2019 | GBP | S | 5,095,000 | 6,258,433 | 6,271,949 | (13,516 | ) | ||||||||||||||||||||
| HSBC Bank USA |
10/22/2019 | AUD | B | 10,885,000 | 7,687,096 | 7,352,055 | (335,041 | ) | ||||||||||||||||||||
| Morgan Stanley Capital Services, Inc. |
12/31/2019 | GBP | S | 1,225,000 | 1,517,670 | 1,511,974 | 5,696 | |||||||||||||||||||||
| Morgan Stanley Capital Services, Inc. |
10/31/2019 | ZAR | S | 315,790,000 | 22,017,779 | 20,772,438 | 1,245,341 | |||||||||||||||||||||
| UBS AG |
10/15/2019 | HUF | B | 1,679,870,000 | 5,835,516 | 5,472,162 | (363,354 | ) | ||||||||||||||||||||
| UBS AG |
10/15/2019 | MYR | B | 62,755,000 | 15,247,746 | 14,985,512 | (262,234 | ) | ||||||||||||||||||||
| UBS AG |
10/22/2019 | THB | S | 471,555,000 | 15,310,227 | 15,422,894 | (112,667 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total |
$ | (351,439 | ) | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
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, 2019, open short futures contracts were as follows:
| Financial Futures |
Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
| E-mini S&P 500® |
12/20/2019 | 266 | $ | 39,896,176 | $ | 39,614,050 | $ | 282,126 | ||||||||||||
| Ultra 10 Year U.S. Treasury Note |
12/19/2019 | 278 | 39,588,384 | 39,588,937 | (553 | ) | ||||||||||||||
| Ultra Long U.S. Treasury Bond |
12/19/2019 | 97 | 18,621,305 | 18,614,906 | 6,399 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Total |
$ | 287,972 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
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, 2019, at value:
Asset Valuation Inputs
| Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Bonds and Notes |
||||||||||||||||
| Non-Convertible Bonds |
||||||||||||||||
| ABS Home Equity |
$ | — | $ | 127,615,622 | $ | 5,210,956 | (a) | $ | 132,826,578 | |||||||
| ABS Other |
— | 70,682,123 | 2,258,459 | (b)(c) | 72,940,582 | |||||||||||
| ABS Student Loan |
— | 7,532,596 | 3,607,918 | (d) | 11,140,514 | |||||||||||
| Banking |
— | 97,488,960 | 252,209 | (d) | 97,741,169 | |||||||||||
| Independent Energy |
— | 12,978,626 | 523,200 | (c)(e) | 13,501,826 | |||||||||||
| Non-Agency Commercial Mortgage-Backed Securities |
— | 45,712,776 | 852,976 | (d) | 46,565,752 | |||||||||||
| All Other Non-Convertible Bonds* |
— | 749,752,679 | — | 749,752,679 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Non-Convertible Bonds |
— | 1,111,763,382 | 12,705,718 | 1,124,469,100 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Convertible Bonds* |
— | 14,796,751 | — | 14,796,751 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Bonds and Notes |
— | 1,126,560,133 | 12,705,718 | 1,139,265,851 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Senior Loans* |
— | 42,101,060 | — | 42,101,060 | ||||||||||||
| Collateralized Loan Obligations |
— | 28,283,257 | — | 28,283,257 | ||||||||||||
| Loan Participations* |
— | — | 5,125,639 | (d) | 5,125,639 | |||||||||||
| Common Stocks |
||||||||||||||||
| Chemicals |
1,433,572 | 1,701,456 | — | 3,135,028 | ||||||||||||
| Oil, Gas & Consumable Fuels |
2,018,635 | — | — | (c) | 2,018,635 | |||||||||||
| All Other Common Stocks* |
47,840,123 | — | — | 47,840,123 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
51,292,330 | 1,701,456 | — | 52,993,786 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks |
||||||||||||||||
| Convertible Preferred Stocks |
||||||||||||||||
| Food & Beverage |
— | 4,338,951 | — | 4,338,951 | ||||||||||||
| Midstream |
122,202 | — | 600,380 | (d) | 722,582 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Convertible Preferred Stocks |
122,202 | 4,338,951 | 600,380 | 5,061,533 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Non-Convertible Preferred Stocks* |
— | 4,161,200 | — | 4,161,200 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Preferred Stocks |
122,202 | 8,500,151 | 600,380 | 9,222,733 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Investments* |
— | — | 7,776,000 | (f) | 7,776,000 | |||||||||||
| Short-Term Investments |
— | 64,547,966 | — | 64,547,966 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
51,414,532 | 1,271,694,023 | 26,207,737 | 1,349,316,292 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Forward Foreign Currency Contracts (unrealized appreciation) |
— | 1,852,614 | — | 1,852,614 | ||||||||||||
| Futures Contracts (unrealized appreciation) |
288,525 | — | — | 288,525 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 51,703,057 | $ | 1,273,546,637 | $ | 26,207,737 | $ | 1,351,457,431 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Liability Valuation Inputs |
| |||||||||||||||
| Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Written Options* |
$ | (379,506 | ) | $ | — | $ | — | $ | (379,506 | ) | ||||||
| Bilateral Credit Default Swap Agreements (unrealized depreciation) |
— | (372,986 | ) | — | (372,986 | ) | ||||||||||
| Centrally Cleared Credit Default Swap Agreements (unrealized depreciation) |
— | (14,995 | ) | — | (14,995 | ) | ||||||||||
| Forward Foreign Currency Contracts (unrealized depreciation) |
— | (2,204,053 | ) | — | (2,204,053 | ) | ||||||||||
| Futures Contracts (unrealized depreciation) |
(553 | ) | — | — | (553 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (380,059 | ) | $ | (2,592,034 | ) | $ | — | $ | (2,972,093 | ) | |||||
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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 ($3,550,856) or valued using broker-dealer bid prices ($1,660,100). |
| (b) | Fair valued by the Fund’s adviser using broker dealer bid prices for which inputs are unobservable to the Fund ($1,744,725) or fair valued by the Fund’s adviser ($513,734). |
| (c) | Includes securities fair valued at zero using level 3 inputs. |
| (d) | Valued using broker-dealer bid prices. |
| (e) | Fair valued by the Fund’s adviser. |
| (f) | Fair valued by the Fund’s adviser using broker dealer bid prices for which inputs are unobservable to the Fund. |
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. 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. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. 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, 2018 and/or September 30, 2019:
Asset Valuation Inputs
| Investments in |
Balance as of December 31, 2018 |
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, 2019 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2019 |
||||||||||||||||||||||||||||||
| Bonds and Notes |
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| Non-Convertible Bonds |
|
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| ABS Home Equity |
$ | 1 | $ | — | $ | 40,231 | $ | (22,369 | ) | $ | 1,659,940 | $ | (927,830 | ) | $ | 4,460,983 | $ | — | $ | 5,210,956 | $ | (22,369 | ) | |||||||||||||||||
| ABS Other |
4,468,825 | — | — | 145,546 | 84,030 | (73,807 | ) | — | (2,366,135 | ) | 2,258,459 | (a) | 135,937 | |||||||||||||||||||||||||||
| ABS Student Loan |
4,307,138 | — | 814 | (1,034 | ) | — | (699,000 | ) | — | — | 3,607,918 | (360 | ) | |||||||||||||||||||||||||||
| Banking |
— | — | — | (894,918 | ) | — | — | 1,147,127 | — | 252,209 | (894,918 | ) | ||||||||||||||||||||||||||||
| Independent Energy |
— | (a) | (91,634 | ) | (10,990,659 | ) | 10,123,933 | 1,481,560 | — | — | — | 523,200 | (a) | (973,161 | ) | |||||||||||||||||||||||||
| Non-Agency Commercial Mortgage-Backed Securities |
— | — | — | 62,022 | — | — | 790,954 | — | 852,976 | 62,022 | ||||||||||||||||||||||||||||||
| Loan Participations |
6,733,310 | 322 | (10,120 | ) | 99,014 | — | (1,696,887 | ) | — | — | 5,125,639 | 46,292 | ||||||||||||||||||||||||||||
| Common Stocks |
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| Oil, Gas & Consumable Fuels |
— | — | 1 | (439,289 | ) | 439,289 | (1 | ) | — | — | — | (a) | (439,289 | ) | ||||||||||||||||||||||||||
| Preferred Stocks |
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| Convertible Preferred Stocks |
|
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| Midstream |
— | — | — | (283,790 | ) | — | — | 884,170 | — | 600,380 | (283,790 | ) | ||||||||||||||||||||||||||||
| Other Investments |
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| Aircraft ABS |
7,790,625 | — | — | (14,625 | ) | — | — | — | — | 7,776,000 | (14,625 | ) | ||||||||||||||||||||||||||||
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| Total |
$ | 23,299,899 | $ | (91,312 | ) | $ | (10,959,733 | ) | $ | 8,774,490 | $ | 3,664,819 | $ | (3,397,525 | ) | $ | 7,283,234 | $ | (2,366,135 | ) | $ | 26,207,737 | $ | (2,384,261 | ) | |||||||||||||||
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| (a) | Includes securities fair valued at zero using level 3 inputs. |
Debt securities valued at $4,460,983 were transferred from Level 2 to Level 3 during the period ended September 30, 2019. At December 31, 2018, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2019 these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.
A debt security valued at $2,366,135 was transferred from Level 3 to Level 2 during the period ended September 30, 2019. At December 31, 2018, 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, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.
Debt securities valued at $1,938,081 were transferred from Level 2 to Level 3 during the period ended September 30, 2019. At December 31, 2018, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2019, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the securities.
A preferred stock valued at $884,170 was transferred from Level 2 to Level 3 during the period ended September 30, 2019. At December 31, 2018, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At September 30, 2019, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.
All transfers are recognized as of the beginning of the reporting period.
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 seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap agreements. During the period ended September 30, 2019, the Fund used futures, forward foreign currency contracts, option contracts and credit default swap agreements (as a protection seller) to gain investment exposures in accordance with its objective.
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 and option contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the period ended September 30, 2019, the Fund engaged in forward foreign currency and option contracts for hedging purposes.
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. During the period ended September 30, 2019, the Fund engaged in credit default swap transactions (as a protection buyer) to hedge its credit exposure.
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. During the period ended September 30, 2019, the Fund engaged in futures and option contracts for hedging purposes.
The following is a summary of derivative instruments for the Fund, as of September 30, 2019:
| Assets |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
Swap agreements at value |
Total | ||||||||||||||||
|
Over-the-counter asset derivatives |
| |||||||||||||||||||
| Foreign exchange contracts |
$ | 1,852,614 | $ | — | $ | — | $ | 1,852,614 | ||||||||||||
| Credit contracts |
— | — | 1,459,792 | 1,459,792 | ||||||||||||||||
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| Total over-the-counter asset derivatives |
$ | 1,852,614 | $ | — | $ | 1,459,792 | $ | 3,312,406 | ||||||||||||
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| Exchange-traded/cleared asset derivatives |
| |||||||||||||||||||
| Interest rate contracts |
$ | — | $ | 6,399 | $ | — | $ | 6,399 | ||||||||||||
| Equity contracts |
— | 282,126 | — | 282,126 | ||||||||||||||||
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| Total exchange-traded/cleared asset derivatives |
$ | — | $ | 288,525 | $ | — | $ | 288,525 | ||||||||||||
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| Total asset derivatives |
$ | 1,852,614 | $ | 288,525 | $ | 1,459,792 | $ | 3,600,931 | ||||||||||||
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| Liabilities |
Options written at value |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
Swap agreements at value |
Total | |||||||||||||||
| Over-the-counter liability derivatives |
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| Foreign exchange contracts |
$ | — | $ | (2,204,053 | ) | $ | — | $ | — | $ | (2,204,053 | ) | ||||||||
| Credit contracts |
— | — | — | (280,949 | ) | (280,949 | ) | |||||||||||||
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| Total over-the-counter liability derivatives |
$ | — | $ | (2,204,053 | ) | $ | — | $ | (280,949 | ) | $ | (2,485,002 | ) | |||||||
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| Exchange-traded/cleared liability derivatives |
| |||||||||||||||||||
| Interest rate contracts |
$ | — | $ | — | $ | (553 | ) | $ | — | $ | (553 | ) | ||||||||
| Credit contracts |
— | — | — | (1,854,390 | ) | (1,854,390 | ) | |||||||||||||
| Equity contracts |
(379,506 | ) | — | — | — | (379,506 | ) | |||||||||||||
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| Total exchange-traded/cleared liability derivatives |
$ | (379,506 | ) | $ | — | $ | (553 | ) | $ | (1,854,390 | ) | $ | (2,234,449 | ) | ||||||
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| Total liability derivatives |
$ | (379,506 | ) | $ | (2,204,053 | ) | $ | (553 | ) | $ | (2,135,339 | ) | $ | (4,719,451 | ) | |||||
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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, options 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, 2019, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
| Counterparty: |
Derivatives | Collateral Pledged | ||||||
| Bank of America, N.A. |
$ | (1,041,942 | ) | $ | 900,000 | |||
| Citibank, N.A. |
(145,901 | ) | 170,000 | |||||
| HSBC Bank USA |
(335,041 | ) | 280,000 | |||||
| UBS AG |
(738,255 | ) | 730,000 | |||||
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 clearinghouse, 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 are required to segregate customer margin 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 clients, 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, 2019:
| Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net | |
| $22,958,948 | $19,543,184 |
Net loss amount reflects cash received as collateral of $1,136,000.
Industry Summary at September 30, 2019 (Unaudited)
| ABS Car Loan |
12.4 | % | ||
| ABS Home Equity |
9.7 | |||
| Banking |
7.1 | |||
| ABS Other |
5.7 | |||
| ABS Credit Card |
4.5 | |||
| Automotive |
3.9 | |||
| Non-Agency Commercial Mortgage-Backed Securities |
3.4 | |||
| Pharmaceuticals |
3.1 | |||
| Technology |
2.7 | |||
| Food & Beverage |
2.1 | |||
| Life Insurance |
2.1 | |||
| Other Investments, less than 2% each |
34.6 | |||
| Short-Term Investments |
4.7 | |||
| Collateralized Loan Obligations |
2.0 | |||
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| Total Investments |
98.0 | |||
| Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts) |
2.0 | |||
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| Net Assets |
100.0 | % | ||
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