PORTFOLIO OF INVESTMENTS as of September 30, 2020 (Unaudited)
Loomis Sayles Strategic Alpha Fund
Principal |
Description |
Value () | ||||||
Bonds and Notes 72.3% of Net Assets |
||||||||
Non-Convertible Bonds 70.8% |
||||||||
ABS Car Loan 7.4% |
| |||||||
$ 2,590,000 | American Credit Acceptance Receivables Trust, Series 2020-3, Class D, 2.400%, 6/15/2026, 144A |
$ | 2,655,532 | |||||
2,805,000 | AmeriCredit Automobile Receivables Trust, Series 2018-2, Class D, 4.010%, 7/18/2024(a) |
2,980,258 | ||||||
3,845,000 | AmeriCredit Automobile Receivables Trust, Series 2018-3, Class D, 4.040%, 11/18/2024(a) |
4,065,029 | ||||||
480,000 | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class D, 2.130%, 3/18/2026 |
486,290 | ||||||
1,210,000 | Avid Automobile Receivables Trust, Series 2019-1, Class C, 3.140%, 7/15/2026, 144A |
1,239,794 | ||||||
1,035,000 | Avid Automobile Receivables Trust, Series 2019-1, Class D, 4.030%, 7/15/2026, 144A |
1,051,376 | ||||||
845,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class B, 2.960%, 2/20/2027, 144A(a) |
872,219 | ||||||
1,785,000 | California Republic Auto Receivables Trust, Series 2018-1, Class D, 4.330%, 4/15/2025 |
1,851,126 | ||||||
135,000 | CarMax Auto Owner Trust, Series 2018-1, Class D, 3.370%, 7/15/2024(a) |
138,659 | ||||||
1,435,000 | CarMax Auto Owner Trust, Series 2018-2, Class D, 3.990%, 4/15/2025(a) |
1,494,400 | ||||||
137,353 | CarMax Auto Owner Trust, Series 2018-4, Class A2B, 1-month LIBOR + 0.200%, 0.352%, 2/15/2022(a)(b) |
137,357 | ||||||
1,125,000 | CarMax Auto Owner Trust, Series 2018-4, Class D, 4.150%, 4/15/2025 |
1,172,028 | ||||||
2,350,000 | CarMax Auto Owner Trust, Series 2019-1, Class D, 4.040%, 8/15/2025 |
2,416,643 | ||||||
525,000 | Credit Acceptance Auto Loan Trust, Series 2017-3A, Class C, 3.480%, 10/15/2026, 144A(a) |
530,599 | ||||||
1,205,000 | Credit Acceptance Auto Loan Trust, Series 2018-2A, Class C, 4.160%, 9/15/2027, 144A(a) |
1,244,855 | ||||||
4,745,000 | Credit Acceptance Auto Loan Trust, Series 2019-1A, Class C, 3.940%, 6/15/2028, 144A(a) |
4,961,437 | ||||||
2,653,079 | Drive Auto Receivables Trust, Series 2018-1, Class D, 3.810%, 5/15/2024(a) |
2,712,348 | ||||||
195,000 | Drive Auto Receivables Trust, Series 2018-3, Class D, 4.300%, 9/16/2024(a) |
203,711 | ||||||
2,395,000 | Drive Auto Receivables Trust, Series 2018-5, Class D, 4.300%, 4/15/2026(a) |
2,541,627 | ||||||
1,330,000 | Drive Auto Receivables Trust, Series 2019-1, Class D, 4.090%, 6/15/2026(a) |
1,396,215 | ||||||
1,390,000 | DT Auto Owner Trust, Series 2018-2A, Class D, 4.150%, 3/15/2024, 144A(a) |
1,434,926 | ||||||
1,655,000 | DT Auto Owner Trust, Series 2019-2A, Class D, 3.480%, 2/18/2025, 144A(a) |
1,718,464 | ||||||
240,000 | DT Auto Owner Trust, Series 2020-2A, Class D, 4.730%, 3/16/2026, 144A |
258,358 | ||||||
1,110,000 | DT Auto Owner Trust, Series 2020-3A, Class D, 1.840%, 6/15/2026, 144A |
1,114,315 | ||||||
1,265,000 | Exeter Automobile Receivables Trust, Series 2020-2A, Class D, 4.730%, 4/15/2026, 144A |
1,364,944 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
ABS Car Loan continued |
| |||||||
$ 800,000 | Exeter Automobile Receivables Trust, Series 2020-3A, Class C, 1.320%, 7/15/2025 |
$ | 801,813 | |||||
635,000 | First Investors Auto Owner Trust , Series 2019-2A, Class D, 2.800%, 12/15/2025, 144A |
651,681 | ||||||
1,475,000 | First Investors Auto Owner Trust , Series 2019-2A, Class E, 3.880%, 1/15/2026, 144A |
1,488,875 | ||||||
650,000 | Flagship Credit Auto Trust, Series 2016-3, Class D, 3.890%, 11/15/2022, 144A(a) |
661,555 | ||||||
3,305,000 | Flagship Credit Auto Trust, Series 2019-2, Class D, 3.530%, 5/15/2025, 144A(a) |
3,420,320 | ||||||
1,260,000 | GLS Auto Receivables Trust, Series 2018-3A, Class B, 3.780%, 8/15/2023, 144A(a) |
1,282,383 | ||||||
5,030,000 | GLS Auto Receivables Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A(a) |
5,216,923 | ||||||
4,375,000 | GLS Auto Receivables Trust, Series 2020-3A, Class C, 1.920%, 5/15/2025, 144A(a) |
4,448,102 | ||||||
4,355,000 | NextGear Floorplan Master Owner Trust, Series 2017-2A, Class A1, 1-month LIBOR + 0.680%, 0.832%, 10/17/2022, 144A(a)(b) |
4,354,600 | ||||||
2,590,000 | NextGear Floorplan Master Owner Trust, Series 2018-1A, Class A1, 1-month LIBOR + 0.640%, 0.792%, 2/15/2023, 144A(a)(b) |
2,591,216 | ||||||
2,820,000 | NextGear Floorplan Master Owner Trust, Series 2018-2A, Class A1, 1-month LIBOR + 0.600%, 0.752%, 10/15/2023, 144A(a)(b) |
2,827,123 | ||||||
2,018,061 | Prestige Auto Receivables Trust, Series 2016-1A, Class D, 5.150%, 11/15/2021, 144A(a) |
2,021,801 | ||||||
910,000 | Prestige Auto Receivables Trust, Series 2019-1A, Class E, 3.900%, 5/15/2026, 144A |
919,893 | ||||||
3,210,000 | Santander Drive Auto Receivables Trust, Series 2020-1, Class D, 5.350%, 3/15/2028(a) |
3,576,348 | ||||||
3,585,000 | Santander Drive Auto Receivables Trust, Series 2018-2, Class D, 3.880%, 2/15/2024(a) |
3,711,698 | ||||||
4,140,000 | Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025(a) |
4,277,228 | ||||||
1,140,000 | Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026(a) |
1,156,830 | ||||||
353,000 | Tidewater Auto Receivables Trust, Series 2018-AA, Class D, 4.300%, 11/15/2024, 144A(a) |
363,180 | ||||||
4,605,000 | Volvo Financial Equipment Master Owner Trust, Series 2018-A, Class A, 1-month LIBOR + 0.520%, 0.672%, 7/17/2023, 144A(a)(b) |
4,610,036 | ||||||
|
|
|||||||
88,424,115 | ||||||||
|
|
|||||||
ABS Credit Card 1.1% |
| |||||||
5,425,000 | Discover Card Execution Note Trust, Series 2018-A3, Class A3, 1-month LIBOR + 0.230%, 0.382%, 12/15/2023(a)(b) |
5,433,450 | ||||||
640,000 | Genesis Sales Finance Master Trust, Series 2019-AA, Class A, 4.680%, 8/20/2023, 144A(a) |
643,330 | ||||||
6,995,000 | World Financial Network Credit Card Master Trust, Series 2019-C, Class M, 2.710%, 7/15/2026(a) |
7,181,075 | ||||||
|
|
|||||||
13,257,855 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
ABS Home Equity 7.6% |
| |||||||
$ 1,016,252 | Ajax Mortgage Loan Trust, Series 2017-B, Class A, 3.163%, 9/25/2056, 144A(a)(c) |
$ | 1,013,473 | |||||
263,019 | Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034(a) |
271,669 | ||||||
279,797 | Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(a) |
289,267 | ||||||
444,623 | Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025(d)(e) |
450,091 | ||||||
300,000 | American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(a) |
331,416 | ||||||
2,170,000 | American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A(a) |
2,446,916 | ||||||
1,200,000 | American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A(a) |
1,352,394 | ||||||
3,138,000 | American Homes 4 Rent, Series 2015-SFR1, Class E, 5.639%, 4/17/2052, 144A(a) |
3,468,123 | ||||||
427,049 | Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 |
429,143 | ||||||
476,561 | Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035 |
517,477 | ||||||
313,715 | Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034(d)(e) |
309,573 | ||||||
1,615,000 | Bayview Opportunity Master Fund V Trust, Series 2020-RN3, Class A1, 3.105%, 9/25/2035, 144A(c) |
1,615,808 | ||||||
3,887,722 | Citigroup Mortgage Loan Trust, Series 2019-E, Class A1, 3.228%, 11/25/2070, 144A(a)(c) |
3,931,331 | ||||||
1,109,142 | Citigroup Mortgage Loan Trust, Series 2018-A, Class A1, 4.000%, 1/25/2068, 144A(c) |
1,114,084 | ||||||
2,644,070 | Citigroup Mortgage Loan Trust, Series 2018-C, Class A1, 4.125%, 3/25/2059, 144A(c) |
2,688,329 | ||||||
2,047,165 | Citigroup Mortgage Loan Trust, Series 2019-B, Class A1, 3.258%, 4/25/2066, 144A(c) |
2,070,402 | ||||||
2,200,000 | Colony American Finance Ltd., Series 2015-1, Class D, 5.649%, 10/15/2047, 144A |
2,212,267 | ||||||
1,065,000 | Colony American Finance Ltd., Series 2016-1, Class C, 4.638%, 6/15/2048, 144A(a)(c) |
1,065,970 | ||||||
1,304,000 | Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2, 1-month LIBOR + 2.050%, 2.198%, 1/25/2040, 144A(b) |
1,277,702 | ||||||
1,830,000 | CoreVest American Finance Ltd., Series 2019-2, Class B, 3.424%, 6/15/2052, 144A(a) |
1,873,164 | ||||||
401,801 | Countrywide Alternative Loan Trust, Series 2003-22CB, Class 1A1, 5.750%, 12/25/2033(a) |
417,818 | ||||||
716,668 | Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034 |
751,261 | ||||||
49,850 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.967%, 9/20/2034(a)(c)(d)(e) |
47,805 | ||||||
2,342,955 | Credit Suisse Mortgage Trust, Series 2018-RPL2, Class A1, 4.311%, 8/25/2062, 144A(a)(c) |
2,360,889 | ||||||
1,033,993 | Credit Suisse Mortgage Trust, Series 2018-RPL7, Class A1, 4.000%, 8/26/2058, 144A(a) |
1,050,075 | ||||||
4,055,000 | Credit Suisse Mortgage Trust, Series 2018-RPL8, Class A2, 4.167%, 7/25/2058, 144A(c) |
4,050,064 | ||||||
2,531,620 | Credit Suisse Mortgage Trust, Series 2019-RP10, Class A1, 3.120%, 12/26/2059, 144A(c) |
2,427,872 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
ABS Home Equity continued |
| |||||||
$ 1,895,000 | Credit Suisse Mortgage Trust, Series 2020-RPL3, Class A1, 2.691%, 3/25/2060, 144A(c) |
$ | 1,894,941 | |||||
173,630 | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-27, Class 4A4, 5.750%, 11/25/2033(a) |
182,758 | ||||||
464,100 | DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 0.486%, 9/19/2045(b) |
346,130 | ||||||
1,280,796 | Dukinfield II PLC, Series 2, Class A, GBP 3-month LIBOR + 1.250%, 1.307%, 12/20/2052, (GBP)(a)(b) |
1,655,817 | ||||||
1,108,327 | Federal National Mortgage Association Connecticut Avenue Securities, Series 2017-C05, Class 1M2, 1-month LIBOR + 2.200%, 2.348%, 1/25/2030(b) |
1,093,010 | ||||||
1,715,000 | FirstKey Homes Trust, Series 2020-SRF1, Class E, 2.791%, 8/17/2037, 144A |
1,754,155 | ||||||
113,359 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2018-DNA1, Class M2, 1-month LIBOR + 1.800%, 1.948%, 7/25/2030(b) |
111,377 | ||||||
677,704 | Grand Avenue Mortgage Loan Trust, Series 2017-RPL1, Class A1, 3.250%, 8/25/2064, 144A |
663,945 | ||||||
567,213 | IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A5, 1-month LIBOR + 1.220%, 1.368%, 9/25/2034(b) |
519,319 | ||||||
2,354,906 | IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 1-month LIBOR + 0.210%, 0.358%, 2/25/2046(b) |
1,884,353 | ||||||
2,614,643 | Invitation Homes Trust, Series 2018-SFR1, Class E, 1-month LIBOR + 2.000%, 2.151%, 3/17/2037, 144A(b) |
2,617,497 | ||||||
4,475,000 | Invitation Homes Trust, Series 2018-SFR2, Class E, 1-month LIBOR + 2.000%, 2.152%, 6/17/2037, 144A(b) |
4,479,901 | ||||||
1,106,013 | JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034 |
1,170,301 | ||||||
2,197,493 | Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, 3.750%, 4/25/2059, 144A(c) |
2,236,205 | ||||||
1,971,111 | Legacy Mortgage Asset Trust, Series 2020-GS1, Class A1, 2.882%, 10/25/2059, 144A(c) |
1,976,107 | ||||||
849,653 | Legacy Mortgage Asset Trust, Series 2020-GS5, Class A1, 3.250%, 6/25/2060, 144A |
855,059 | ||||||
415,830 | Lehman XS Trust, Series 2006-2N, Class 1A1, 1-month LIBOR + 0.260%, 0.408%, 2/25/2046(b) |
366,385 | ||||||
181,107 | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 3.375%, 5/25/2034(a)(c)(d)(e) |
178,605 | ||||||
271,561 | MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(a) |
279,978 | ||||||
237,222 | MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(a) |
244,163 | ||||||
298,500 | MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(a) |
310,111 | ||||||
836,803 | MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034 |
865,313 | ||||||
55,684 | Merrill Lynch Mortgage Investors Trust, Series 2006-2, Class 2A, 2.842%, 5/25/2036(a)(c)(d)(e) |
54,488 | ||||||
389,128 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035(d)(e) |
343,489 | ||||||
808,402 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(d)(e) |
792,463 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
ABS Home Equity continued |
| |||||||
$ 752,806 | New Residential Mortgage Loan Trust, Series 2020-NPL2, Class A1, 3.228%, 8/25/2060, 144A(c) |
$ | 752,722 | |||||
895,000 | Preston Ridge Partners Mortgage LLC, Series 2018-1A, Class A2, 5.000%, 4/25/2023, 144A(c) |
896,798 | ||||||
1,676,536 | Preston Ridge Partners Mortgage LLC, Series 2019-4A, Class A1, 3.351%, 11/25/2024, 144A(c) |
1,678,863 | ||||||
3,608,415 | Preston Ridge Partners Mortgage LLC, Series 2020-1A, Class A1, 2.981%, 2/25/2025, 144A(a)(c) |
3,595,390 | ||||||
1,005,000 | Progress Residential Trust, Series 2019-SFR3, Class D, 2.871%, 9/17/2036, 144A |
1,024,691 | ||||||
681,000 | Progress Residential Trust, Series 2017-SFR2, Class E, 4.142%, 12/17/2034, 144A |
684,033 | ||||||
564,000 | Progress Residential Trust, Series 2018-SFR2, Class E, 4.656%, 8/17/2035, 144A |
578,297 | ||||||
715,000 | Progress Residential Trust, Series 2018-SFR3, Class E, 4.873%, 10/17/2035, 144A |
735,210 | ||||||
2,398,000 | Progress Residential Trust, Series 2019-SFR1, Class E, 4.466%, 8/17/2035, 144A |
2,473,792 | ||||||
785,000 | Progress Residential Trust, Series 2020-SFR3, Class E, 2.296%, 10/17/2027, 144A |
785,080 | ||||||
27,601 | RCO V Mortgage LLC, Series 2019-1, Class A1, 3.721%, 5/24/2024, 144A(a)(c) |
27,818 | ||||||
1,535,000 | RCO V Mortgage LLC, Series 2020-1, Class A1, 3.105%, 9/25/2025, 144A(c) |
1,535,768 | ||||||
2,709,120 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 1-month LIBOR + 0.310%, 0.458%, 7/25/2035(b) |
1,957,832 | ||||||
859,944 | Towd Point Mortgage Trust, Series 2015-2, Class 1A13, 2.500%, 11/25/2060, 144A(a)(c) |
867,951 | ||||||
1,040,000 | Tricon American Homes, Series 2020-SFR1, Class E, 3.544%, 7/17/2038, 144A |
1,094,788 | ||||||
3,823,925 | Vericrest Opportunity Loan Trust, Series 2019-NPL5, Class A1A, 3.352%, 9/25/2049, 144A(c) |
3,828,305 | ||||||
1,229,218 | Vericrest Opportunity Loan Trust, Series 2019-NPL9, Class A1A, 3.327%, 11/26/2049, 144A(c) |
1,232,283 | ||||||
|
|
|||||||
90,459,874 | ||||||||
|
|
|||||||
ABS Other 5.2% |
| |||||||
670,201 | Accelerated Assets LLC, Series 2018-1, Class B, 4.510%, 12/02/2033, 144A |
677,954 | ||||||
2,218,114 | AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(c) |
735,746 | ||||||
350,000 | Ascentium Equipment Receivables Trust, Series 2017-2A, Class C, 2.870%, 8/10/2022, 144A(a) |
355,819 | ||||||
955,833 | Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(a)(c) |
850,615 | ||||||
1,283,438 | Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class B, 5.682%, 12/16/2041, 144A(a)(c) |
837,737 | ||||||
250,000 | CCG Receivables Trust, Series 2018-1, Class C, 3.420%, 6/16/2025, 144A(a) |
253,690 | ||||||
580,000 | Chesapeake Funding II LLC, Series 2017-2A, Class D, 3.710%, 5/15/2029, 144A |
583,635 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
ABS Other continued |
| |||||||
$ 775,000 | Chesapeake Funding II LLC, Series 2017-4A, Class D, 3.260%, 11/15/2029, 144A |
$ | 773,678 | |||||
790,000 | Chesapeake Funding II LLC, Series 2018-1A, Class C, 3.570%, 4/15/2030, 144A(a) |
805,950 | ||||||
2,125,000 | Chesapeake Funding II LLC, Series 2018-1A, Class D, 3.920%, 4/15/2030, 144A |
2,145,987 | ||||||
301,458 | Diamond Resorts Owner Trust, Series 2017-1A, Class C, 6.070%, 10/22/2029, 144A |
306,065 | ||||||
1,189,666 | Diamond Resorts Owner Trust, Series 2018-1, Class C, 4.530%, 1/21/2031, 144A |
1,202,159 | ||||||
1,636,223 | Diamond Resorts Owner Trust, Series 2019-1, Class B, 3.530%, 2/20/2032, 144A(a) |
1,655,050 | ||||||
3,100,000 | Fairstone Financial Issuance Trust I, Series 2019-1A, Class A, 3.948%, 3/21/2033, 144A, (CAD)(a) |
2,330,186 | ||||||
2,245,679 | GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(d)(e)(f)(g) |
756,434 | ||||||
1,009,036 | GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(d)(e)(f)(g) |
115,504 | ||||||
3,410,000 | GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(d)(e)(f)(g)(h) |
| ||||||
712,764 | Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(d)(f)(i) |
611,488 | ||||||
511,999 | Hilton Grand Vacations Trust, Series 2018-AA, Class C, 4.000%, 2/25/2032, 144A(a) |
522,939 | ||||||
4,460,362 | Horizon Aircraft Finance I Ltd., Series 2018-1, Class A, 4.458%, 12/15/2038, 144A(a) |
4,213,642 | ||||||
975,000 | HPEFS Equipment Trust, Series 2020-1A, Class D, 2.260%, 2/20/2030, 144A(a) |
980,431 | ||||||
5,900,000 | HPEFS Equipment Trust, Series 2020-2A, Class D, 2.790%, 7/22/2030, 144A(a) |
5,977,768 | ||||||
2,114,690 | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A, 4.250%, 12/15/2038, 144A(a) |
1,835,710 | ||||||
1,295,919 | MAPS Ltd., Series 2018-1A, Class A, 4.212%, 5/15/2043, 144A(a) |
1,192,502 | ||||||
1,726,248 | MAPS Ltd., Series 2018-1A, Class B, 5.193%, 5/15/2043, 144A |
1,030,699 | ||||||
329,095 | MVW LLC, Series 2020-1A, Class C, 4.210%, 10/20/2037, 144A |
341,927 | ||||||
536,386 | MVW Owner Trust, Series 2019-1A, Class C, 3.330%, 11/20/2036, 144A |
542,336 | ||||||
3,120,000 | OneMain Financial Issuance Trust, Series 2015-3A, Class B, 4.160%, 11/20/2028, 144A(a) |
3,153,168 | ||||||
3,230,000 | OneMain Financial Issuance Trust, Series 2019-1A, Class D, 4.220%, 2/14/2031, 144A(a) |
3,320,417 | ||||||
1,110,000 | OneMain Financial Issuance Trust, Series 2020-1A, Class B, 4.830%, 5/14/2032, 144A(a) |
1,194,307 | ||||||
1,020,000 | OneMain Financial Issuance Trust, Series 2020-2A, Class C, 2.760%, 9/14/2035, 144A |
1,029,314 | ||||||
810,000 | Oxford Finance Funding Trust, Series 2019-1A, Class A2, 4.459%, 2/15/2027, 144A(a) |
834,468 | ||||||
3,980,000 | Republic Finance Issuance Trust, Series 2019-A, Class A, 3.430%, 11/22/2027, 144A(a) |
4,046,164 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
ABS Other continued |
| |||||||
$ 4,079,743 | S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A(a) |
$ | 3,694,831 | |||||
3,718,000 | SCF Equipment Trust LLC, Series 2018-1A, Class C, 4.210%, 4/20/2027, 144A(a) |
3,808,742 | ||||||
589,477 | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class C, 3.510%, 7/20/2037, 144A |
594,309 | ||||||
580,000 | SoFi Consumer Loan Program Trust, Series 2018-1, Class B, 3.650%, 2/25/2027, 144A(a) |
596,197 | ||||||
1,690,000 | SoFi Consumer Loan Program Trust, Series 2018-2, Class B, 3.790%, 4/26/2027, 144A(a) |
1,733,155 | ||||||
1,010,000 | SoFi Consumer Loan Program Trust, Series 2018-4, Class C, 4.170%, 11/26/2027, 144A(a) |
1,034,636 | ||||||
4,130,000 | SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.970%, 9/25/2037, 144A |
4,146,433 | ||||||
1,021,957 | Sprite Ltd., Series 2017-1, Class B, 5.750%, 12/15/2037, 144A |
601,379 | ||||||
436,300 | Textainer Marine Containers VII Ltd., Series 2020-1A, Class A, 2.730%, 8/21/2045, 144A(a) |
446,925 | ||||||
1,037,652 | Wave LLC, Series 2017-1A, Class B, 5.682%, 11/15/2042, 144A |
745,366 | ||||||
|
|
|||||||
62,615,462 | ||||||||
|
|
|||||||
ABS Student Loan 1.4% |
| |||||||
2,659,781 | Education Funding Trust, Series 2020-A, Class A, 2.790%, 7/25/2041, 144A(a) |
2,771,906 | ||||||
3,410,000 | Navient Private Education Refi Loan Trust, Series 2019-FA, Class B, 3.120%, 8/15/2068, 144A(a) |
3,477,533 | ||||||
1,035,000 | Navient Private Education Refi Loan Trust, Series 2018-A, Class B, 3.680%, 2/18/2042, 144A(a) |
1,054,253 | ||||||
695,000 | Navient Private Education Refi Loan Trust, Series 2019-GA, Class B, 3.080%, 10/15/2068, 144A(a) |
702,758 | ||||||
840,000 | Navient Private Education Refi Loan Trust, Series 2020-FA, Class B, 2.690%, 7/15/2069, 144A(a) |
848,642 | ||||||
682,000 | SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 3.150%, 6/15/2032(a)(b) |
668,364 | ||||||
1,923,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A3, 28-day ARS, 3.180%, 3/15/2033(a)(b) |
1,884,346 | ||||||
208,000 | SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 3.200%, 3/15/2033(a)(b) |
203,819 | ||||||
800,000 | SMB Private Education Loan Trust, Series 2015-C, Class B, 3.500%, 9/15/2043, 144A(a) |
836,870 | ||||||
973,013 | SMB Private Education Loan Trust, Series 2017-B, Class A2B, 1-month LIBOR + 0.750%, 0.902%, 10/15/2035, 144A(a)(b) |
965,375 | ||||||
190,000 | SMB Private Education Loan Trust, Series 2018-B, Class B, 4.000%, 7/15/2042, 144A(a) |
190,041 | ||||||
510,000 | SMB Private Education Loan Trust, Series 2018-C, Class B, 4.000%, 11/17/2042, 144A(a) |
525,932 | ||||||
641,622 | SoFi Professional Loan Program LLC, Series 2016-A, Class B, 3.570%, 1/26/2038, 144A(a) |
652,488 | ||||||
125,000 | SoFi Professional Loan Program LLC, Series 2016-C, Class B, 3.350%, 5/25/2037, 144A(a)(c) |
127,618 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
ABS Student Loan continued |
| |||||||
$ 1,350,000 | SoFi Professional Loan Program Trust, Series 2020-A, Class BFX, 3.120%, 5/15/2046, 144A(a) |
$ | 1,405,238 | |||||
|
|
|||||||
16,315,183 | ||||||||
|
|
|||||||
ABS Whole Business 1.8% |
| |||||||
4,201,866 | Adams Outdoor Advertising LP, Series 2018-1, Class A, 4.810%, 11/15/2048, 144A(a) |
4,371,956 | ||||||
985,000 | Arbys Funding LLC, Series 2020-1A, Class A2, 3.237%, 7/30/2050, 144A |
1,014,442 | ||||||
3,270,150 | Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/2047, 144A |
3,102,712 | ||||||
495,000 | DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A |
538,634 | ||||||
2,829,003 | Dominos Pizza Master Issuer LLC, Series 2017-1A, Class A23, 4.118%, 7/25/2047, 144A(a) |
3,051,362 | ||||||
2,555,688 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A |
2,397,158 | ||||||
2,568,675 | Stack Infrastructure Issuer LLC, Series 2019-1A, Class A2, 4.540%, 2/25/2044, 144A(a) |
2,767,995 | ||||||
3,350,263 | Wendys Funding LLC, Series 2018-1A, Class A2II, 3.884%, 3/15/2048, 144A(a) |
3,526,620 | ||||||
718,463 | Wendys Funding LLC, Series 2019-1A, Class A2II, 4.080%, 6/15/2049, 144A |
771,788 | ||||||
|
|
|||||||
21,542,667 | ||||||||
|
|
|||||||
Aerospace & Defense 3.1% |
| |||||||
1,635,000 | Boeing Co. (The), 2.250%, 6/15/2026 |
1,591,472 | ||||||
700,000 | Boeing Co. (The), 2.950%, 2/01/2030 |
677,480 | ||||||
70,000 | Boeing Co. (The), 3.100%, 5/01/2026 |
69,828 | ||||||
290,000 | Boeing Co. (The), 3.250%, 2/01/2035 |
272,591 | ||||||
1,065,000 | Boeing Co. (The), 3.375%, 6/15/2046 |
912,755 | ||||||
30,000 | Boeing Co. (The), 3.550%, 3/01/2038 |
27,328 | ||||||
90,000 | Boeing Co. (The), 3.625%, 3/01/2048 |
79,092 | ||||||
295,000 | Boeing Co. (The), 3.650%, 3/01/2047 |
260,465 | ||||||
2,135,000 | Boeing Co. (The), 3.750%, 2/01/2050 |
1,948,209 | ||||||
375,000 | Boeing Co. (The), 3.825%, 3/01/2059 |
330,531 | ||||||
325,000 | Boeing Co. (The), 3.850%, 11/01/2048 |
297,807 | ||||||
1,420,000 | Boeing Co. (The), 3.900%, 5/01/2049 |
1,308,794 | ||||||
575,000 | Boeing Co. (The), 3.950%, 8/01/2059 |
520,526 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
Aerospace & Defense continued |
| |||||||
$ 3,185,000 | Boeing Co. (The), 5.150%, 5/01/2030(a) |
$ | 3,579,968 | |||||
1,105,000 | Boeing Co. (The), 5.705%, 5/01/2040 |
1,302,709 | ||||||
8,950,000 | Boeing Co. (The), 5.805%, 5/01/2050(a) |
10,827,532 | ||||||
1,685,000 | Boeing Co. (The), 5.930%, 5/01/2060 |
2,085,422 | ||||||
1,475,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 |
1,416,000 | ||||||
1,105,000 | Embraer Netherlands Finance BV, 5.400%, 2/01/2027 |
1,049,198 | ||||||
2,550,000 | Leonardo U.S. Holdings, Inc., 6.250%, 1/15/2040, 144A |
2,898,993 | ||||||
305,000 | Spirit AeroSystems, Inc., 4.600%, 6/15/2028 |
250,283 | ||||||
2,580,000 | Spirit AeroSystems, Inc., 7.500%, 4/15/2025, 144A |
2,615,449 | ||||||
3,010,000 | TransDigm, Inc., 6.250%, 3/15/2026, 144A |
3,143,328 | ||||||
|
|
|||||||
37,465,760 | ||||||||
|
|
|||||||
Airlines 0.4% |
| |||||||
6,950,000 | United Airlines Pass Through Trust, Series 2019-2, Class B, 3.500%, 11/01/2029(a) |
4,921,156 | ||||||
|
|
|||||||
Automotive 2.6% |
| |||||||
2,960,000 | FCE Bank PLC, EMTN, 0.869%, 9/13/2021, (EUR) |
3,398,092 | ||||||
370,000 | FCE Bank PLC, EMTN, 1.134%, 2/10/2022, (EUR) |
424,445 | ||||||
1,580,000 | FCE Bank PLC, EMTN, 1.875%, 6/24/2021, (EUR) |
1,833,687 | ||||||
1,530,000 | Ford Motor Co., 8.500%, 4/21/2023 |
1,667,700 | ||||||
1,800,000 | Ford Motor Co., 9.000%, 4/22/2025 |
2,063,718 | ||||||
400,000 | Ford Motor Co., 9.625%, 4/22/2030 |
516,500 | ||||||
655,000 | Ford Motor Credit Co. LLC, 1.514%, 2/17/2023, (EUR) |
728,190 | ||||||
1,625,000 | General Motors Co., 5.200%, 4/01/2045 |
1,750,393 | ||||||
5,875,000 | General Motors Co., 5.400%, 4/01/2048 |
6,501,637 | ||||||
7,050,000 | General Motors Co., 5.950%, 4/01/2049 |
8,260,737 | ||||||
925,000 | General Motors Co., 6.250%, 10/02/2043 |
1,096,184 | ||||||
510,000 | General Motors Co., 6.750%, 4/01/2046 |
627,798 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
Automotive continued |
| |||||||
$ 2,245,000 | Volkswagen Group of America Finance LLC, 3.350%, 5/13/2025, 144A(a) |
$ | 2,451,419 | |||||
|
|
|||||||
31,320,500 | ||||||||
|
|
|||||||
Banking 2.3% |
| |||||||
345,000 | Ally Financial, Inc., 3.875%, 5/21/2024 |
367,664 | ||||||
325,000 | Ally Financial, Inc., 4.625%, 3/30/2025 |
356,995 | ||||||
2,000,000 | Ally Financial, Inc., 5.750%, 11/20/2025 |
2,242,371 | ||||||
2,350,000 | Ally Financial, Inc., 5.800%, 5/01/2025 |
2,710,398 | ||||||
44,570,000 | Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 33.688%, 11/07/2022, 144A, (ARS)(b) |
309,389 | ||||||
21,970,000 | Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS) |
101,611 | ||||||
4,460,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 |
4,407,550 | ||||||
685,000 | BBVA Bancomer S.A., 1.875%, 9/18/2025, 144A |
669,245 | ||||||
1,430,000 | Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), 3.244%, 12/20/2025, 144A(a) |
1,517,659 | ||||||
1,875,000 | Deutsche Bank AG, (fixed rate to 9/18/2023, variable rate thereafter), 2.222%, 9/18/2024 |
1,888,031 | ||||||
1,265,000 | Deutsche Bank AG, (fixed rate to 9/18/2030, variable rate thereafter), 3.547%, 9/18/2031 |
1,278,205 | ||||||
6,690,000 | JPMorgan Chase & Co., (fixed rate to 3/24/2030, variable rate thereafter), 4.493%, 3/24/2031(a) |
8,164,091 | ||||||
1,100,000 | Standard Chartered PLC, (fixed rate to 4/01/2030, variable rate thereafter), 4.644%, 4/01/2031, 144A(a) |
1,266,190 | ||||||
2,255,000 | UniCredit SpA, (fixed rate to 9/22/2025, variable rate thereafter), 2.569%, 9/22/2026, 144A |
2,234,890 | ||||||
|
|
|||||||
27,514,289 | ||||||||
|
|
|||||||
Building Materials 0.9% |
| |||||||
1,915,000 | Builders FirstSource, Inc., 6.750%, 6/01/2027, 144A |
2,051,444 | ||||||
200,000 | CEMEX Finance LLC, 6.000%, 4/01/2024, 144A |
204,360 | ||||||
3,360,000 | Cemex SAB de CV, 5.200%, 9/17/2030, 144A |
3,376,464 | ||||||
1,725,000 | Cemex SAB de CV, 5.450%, 11/19/2029, 144A |
1,744,406 | ||||||
615,000 | Cemex SAB de CV, 5.700%, 1/11/2025, 144A |
627,893 | ||||||
210,000 | Cemex SAB de CV, 7.750%, 4/16/2026, 144A |
221,288 | ||||||
1,970,000 | Standard Industries, Inc., 4.375%, 7/15/2030, 144A |
2,019,772 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
Building Materials continued |
| |||||||
$ 805,000 | Vulcan Materials Co., 3.500%, 6/01/2030(a) |
$ | 901,537 | |||||
|
|
|||||||
11,147,164 | ||||||||
|
|
|||||||
Cable Satellite 1.8% |
| |||||||
5,670,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 2/01/2031, 144A |
5,860,569 | ||||||
1,585,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 8/15/2030, 144A |
1,664,321 | ||||||
175,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.500%, 5/01/2032, 144A |
182,656 | ||||||
310,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 6/01/2029, 144A |
335,963 | ||||||
1,610,000 | CSC Holdings LLC, 4.125%, 12/01/2030, 144A |
1,640,992 | ||||||
2,710,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A |
2,730,325 | ||||||
1,060,000 | CSC Holdings LLC, 6.500%, 2/01/2029, 144A |
1,175,275 | ||||||
265,000 | Sirius XM Radio, Inc., 4.625%, 7/15/2024, 144A |
274,109 | ||||||
1,355,000 | Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A |
1,412,587 | ||||||
485,000 | Sirius XM Radio, Inc., 5.375%, 7/15/2026, 144A |
504,740 | ||||||
110,000 | Sirius XM Radio, Inc., 5.500%, 7/01/2029, 144A |
117,975 | ||||||
1,660,000 | Virgin Media Finance PLC, 5.000%, 7/15/2030, 144A |
1,651,700 | ||||||
1,225,000 | Virgin Media Secured Finance PLC, 5.500%, 8/15/2026, 144A |
1,277,063 | ||||||
1,725,000 | Ziggo BV, 4.875%, 1/15/2030, 144A |
1,785,168 | ||||||
1,095,000 | Ziggo BV, 5.500%, 1/15/2027, 144A |
1,147,013 | ||||||
|
|
|||||||
21,760,456 | ||||||||
|
|
|||||||
Chemicals 0.3% |
| |||||||
1,540,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A |
1,437,975 | ||||||
2,305,000 | Nutrition & Biosciences, Inc., 2.300%, 11/01/2030, 144A |
2,324,401 | ||||||
|
|
|||||||
3,762,376 | ||||||||
|
|
|||||||
Construction Machinery 0.5% |
| |||||||
5,460,000 | United Rentals North America, Inc., 4.000%, 7/15/2030 |
5,596,500 | ||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
Consumer Cyclical Services 2.6% |
| |||||||
$ 2,045,000 | Booking Holdings, Inc., 4.500%, 4/13/2027(a) |
$ | 2,401,123 | |||||
3,325,000 | Booking Holdings, Inc., 4.625%, 4/13/2030(a) |
3,994,633 | ||||||
270,000 | eBay, Inc., 4.000%, 7/15/2042(a) |
301,753 | ||||||
5,190,000 | Expedia Group, Inc., 3.250%, 2/15/2030 |
5,000,619 | ||||||
1,375,000 | Expedia Group, Inc., 4.625%, 8/01/2027, 144A |
1,442,953 | ||||||
4,395,000 | Expedia Group, Inc., 6.250%, 5/01/2025, 144A |
4,847,285 | ||||||
2,250,000 | Expedia Group, Inc., 7.000%, 5/01/2025, 144A |
2,433,526 | ||||||
515,000 | Uber Technologies, Inc., 7.500%, 5/15/2025, 144A |
548,779 | ||||||
265,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A |
272,208 | ||||||
4,580,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A |
4,900,600 | ||||||
5,160,000 | Uber Technologies, Inc., 8.000%, 11/01/2026, 144A |
5,499,477 | ||||||
|
|
|||||||
31,642,956 | ||||||||
|
|
|||||||
Consumer Products 0.1% |
| |||||||
930,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A(a) |
946,526 | ||||||
|
|
|||||||
Diversified Manufacturing 0.2% |
| |||||||
1,515,000 | General Electric Co., 3.625%, 5/01/2030(a) |
1,568,954 | ||||||
720,000 | General Electric Co., 4.350%, 5/01/2050(a) |
734,120 | ||||||
|
|
|||||||
2,303,074 | ||||||||
|
|
|||||||
Electric 1.7% |
| |||||||
965,000 | AES Corp. (The), 3.950%, 7/15/2030, 144A |
1,066,286 | ||||||
985,000 | AES Corp. (The), 5.125%, 9/01/2027 |
1,049,124 | ||||||
325,000 | AES Corp. (The), 5.500%, 4/15/2025 |
335,030 | ||||||
115,000 | AES Corp. (The), 6.000%, 5/15/2026 |
120,799 | ||||||
1,165,000 | Calpine Corp., 5.125%, 3/15/2028, 144A |
1,205,775 | ||||||
1,210,000 | Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(a) |
1,412,288 | ||||||
270,000 | IPALCO Enterprises, Inc., 4.250%, 5/01/2030, 144A |
305,492 | ||||||
480,000 | NRG Energy, Inc., 5.250%, 6/15/2029, 144A |
522,000 | ||||||
1,075,000 | NRG Energy, Inc., 5.750%, 1/15/2028 |
1,159,656 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
Electric continued |
| |||||||
$ 1,785,000 | Pacific Gas & Electric Co., 3.500%, 8/01/2050 |
$ | 1,609,393 | |||||
10,765,000 | Vistra Operations Co. LLC, 3.700%, 1/30/2027, 144A(a) |
11,321,157 | ||||||
|
|
|||||||
20,107,000 | ||||||||
|
|
|||||||
Finance Companies 3.3% |
| |||||||
905,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.650%, 7/21/2027 |
828,972 | ||||||
2,430,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.875%, 1/23/2028 |
2,239,795 | ||||||
2,745,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.500%, 9/15/2023(a) |
2,828,862 | ||||||
1,140,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.500%, 7/15/2025 |
1,230,705 | ||||||
2,755,000 | Air Lease Corp., 3.375%, 7/01/2025(a) |
2,815,224 | ||||||
6,000,000 | Aircastle Ltd., 4.250%, 6/15/2026(a) |
5,549,280 | ||||||
1,480,000 | Aviation Capital Group LLC, 5.500%, 12/15/2024, 144A |
1,526,968 | ||||||
5,755,000 | GE Capital Funding LLC, 4.400%, 5/15/2030, 144A(a) |
6,180,345 | ||||||
90,000 | Navient Corp., 5.875%, 10/25/2024 |
89,494 | ||||||
280,000 | OneMain Finance Corp., 5.375%, 11/15/2029 |
291,200 | ||||||
190,000 | OneMain Finance Corp., 6.625%, 1/15/2028 |
210,862 | ||||||
5,000 | OneMain Finance Corp., 6.875%, 3/15/2025 |
5,548 | ||||||
3,218,000 | OneMain Finance Corp., 7.125%, 3/15/2026 |
3,595,150 | ||||||
1,855,000 | OneMain Finance Corp., 8.875%, 6/01/2025 |
2,054,412 | ||||||
5,865,000 | Quicken Loans LLC, 5.250%, 1/15/2028, 144A |
6,179,716 | ||||||
1,555,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.625%, 3/01/2029, 144A |
1,541,394 | ||||||
2,055,000 | Quicken Loans LLC/Quicken Loans Co-Issuer, Inc., 3.875%, 3/01/2031, 144A |
2,029,313 | ||||||
|
|
|||||||
39,197,240 | ||||||||
|
|
|||||||
Financial Other 0.5% |
| |||||||
2,595,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.750%, 9/15/2024 |
2,627,437 | ||||||
2,525,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.250%, 5/15/2027 |
2,630,545 | ||||||
485,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.250%, 5/15/2026 |
505,613 | ||||||
|
|
|||||||
5,763,595 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
Food & Beverage 0.9% |
| |||||||
$ 3,256,000 | Fomento Economico Mexicano SAB de CV, 3.500%, 1/16/2050(a) |
$ | 3,463,596 | |||||
1,455,000 | Kraft Heinz Foods Co., 4.375%, 6/01/2046 |
1,492,932 | ||||||
2,305,000 | Kraft Heinz Foods Co., 4.875%, 10/01/2049, 144A |
2,432,507 | ||||||
715,000 | Kraft Heinz Foods Co., 5.000%, 6/04/2042 |
783,013 | ||||||
680,000 | Lamb Weston Holdings, Inc., 4.875%, 5/15/2028, 144A |
734,400 | ||||||
1,300,000 | NBM U.S Holdings, Inc., 7.000%, 5/14/2026, 144A |
1,376,037 | ||||||
250,000 | Post Holdings, Inc., 5.750%, 3/01/2027, 144A |
262,812 | ||||||
385,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A |
385,831 | ||||||
|
|
|||||||
10,931,128 | ||||||||
|
|
|||||||
Government OwnedNo Guarantee 1.9% |
| |||||||
4,120,000 | Export-Import Bank of Korea, 3-month LIBOR + 0.525%, 0.750%, 6/25/2022(a)(b) |
4,136,288 | ||||||
9,393,000,000 | Financiera de Desarrollo Territorial S.A., 7.875%, 8/12/2024, 144A, (COP)(a) |
2,665,817 | ||||||
12,050,000 | Petroleos Mexicanos, 5.950%, 1/28/2031, 144A(a) |
10,176,225 | ||||||
5,290,000 | Petroleos Mexicanos, 6.625%, 6/15/2035(a) |
4,393,054 | ||||||
1,770,000 | YPF S.A., 6.950%, 7/21/2027, 144A |
1,181,475 | ||||||
|
|
|||||||
22,552,859 | ||||||||
|
|
|||||||
Government Sponsored 0.1% |
| |||||||
950,000 | Petrobras Global Finance BV, 7.250%, 3/17/2044 |
1,082,525 | ||||||
|
|
|||||||
Health Insurance 0.0% |
| |||||||
300,000 | Centene Corp., 4.625%, 12/15/2029 |
323,598 | ||||||
|
|
|||||||
Healthcare 0.5% |
| |||||||
380,000 | Encompass Health Corp., 4.750%, 2/01/2030 |
385,525 | ||||||
3,240,000 | Hologic, Inc., 3.250%, 2/15/2029, 144A |
3,260,250 | ||||||
735,000 | IQVIA, Inc., 5.000%, 5/15/2027, 144A |
770,699 | ||||||
890,000 | Tenet Healthcare Corp., 4.625%, 6/15/2028, 144A |
902,816 | ||||||
340,000 | Tenet Healthcare Corp., 4.875%, 1/01/2026, 144A |
346,174 | ||||||
135,000 | Tenet Healthcare Corp., 5.125%, 5/01/2025 |
136,256 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
Healthcare continued |
| |||||||
$ 235,000 | Tenet Healthcare Corp., 6.125%, 10/01/2028, 144A |
$ | 228,537 | |||||
255,000 | Tenet Healthcare Corp., 6.250%, 2/01/2027, 144A |
263,214 | ||||||
|
|
|||||||
6,293,471 | ||||||||
|
|
|||||||
Home Construction 0.2% |
| |||||||
1,361,000 | Lennar Corp., 4.750%, 11/29/2027 |
1,553,922 | ||||||
310,000 | Lennar Corp., 4.875%, 12/15/2023 |
333,637 | ||||||
30,000 | Lennar Corp., 5.000%, 6/15/2027 |
33,900 | ||||||
|
|
|||||||
1,921,459 | ||||||||
|
|
|||||||
Independent Energy 1.1% |
| |||||||
4,360,000 | Aker BP ASA, 3.750%, 1/15/2030, 144A |
4,228,382 | ||||||
1,520,000 | Aker BP ASA, 4.000%, 1/15/2031, 144A |
1,494,881 | ||||||
865,000 | Diamondback Energy, Inc., 3.500%, 12/01/2029 |
838,552 | ||||||
1,300,000 | Hess Corp., 5.600%, 2/15/2041 |
1,403,074 | ||||||
1,790,000 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A |
1,849,034 | ||||||
1,295,000 | Leviathan Bond Ltd., 6.500%, 6/30/2027, 144A |
1,342,578 | ||||||
585,000 | Occidental Petroleum Corp., 2.700%, 8/15/2022 |
546,606 | ||||||
127,000 | Occidental Petroleum Corp., 2.700%, 2/15/2023 |
116,205 | ||||||
885,000 | Occidental Petroleum Corp., 2.900%, 8/15/2024 |
750,861 | ||||||
340,000 | Occidental Petroleum Corp., 3.500%, 6/15/2025 |
282,200 | ||||||
75,000 | Occidental Petroleum Corp., 5.550%, 3/15/2026 |
67,943 | ||||||
|
|
|||||||
12,920,316 | ||||||||
|
|
|||||||
Industrial Other 0.4% |
| |||||||
4,365,000 | HTA Group Ltd. Co., 7.000%, 12/18/2025, 144A |
4,560,334 | ||||||
|
|
|||||||
Life Insurance 1.1% |
| |||||||
5,240,000 | American International Group, Inc., 4.375%, 6/30/2050(a) |
6,129,997 | ||||||
620,000 | Global Atlantic Finance Co., 4.400%, 10/15/2029, 144A |
645,954 | ||||||
6,780,000 | New York Life Global Funding, 3-month LIBOR + 0.320%, 0.569%, 8/06/2021, 144A(a)(b) |
6,797,105 | ||||||
|
|
|||||||
13,573,056 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
Local Authorities 0.1% |
| |||||||
67,000,000 | Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.750%, 33.381%, 4/12/2025, 144A, (ARS)(b) |
$ | 384,990 | |||||
216,360,000 | Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.830%, 33.504%, 5/31/2022, (ARS)(b) |
1,324,791 | ||||||
|
|
|||||||
1,709,781 | ||||||||
|
|
|||||||
Lodging 0.7% |
| |||||||
360,000 | Hyatt Hotels Corp., 5.375%, 4/23/2025 |
387,560 | ||||||
665,000 | Hyatt Hotels Corp., 5.750%, 4/23/2030 |
763,595 | ||||||
440,000 | Marriott International, Inc., Series EE, 5.750%, 5/01/2025 |
491,049 | ||||||
5,145,000 | Marriott International, Inc., 3-month LIBOR + 0.650%, 0.898%, 3/08/2021(b) |
5,124,119 | ||||||
695,000 | Marriott International, Inc., 4.625%, 6/15/2030 |
744,308 | ||||||
735,000 | Wyndham Destinations, Inc., 6.625%, 7/31/2026, 144A |
769,993 | ||||||
|
|
|||||||
8,280,624 | ||||||||
|
|
|||||||
Media Entertainment 1.5% |
| |||||||
2,745,000 | Clear Channel Worldwide Holdings, Inc., 5.125%, 8/15/2027, 144A |
2,635,886 | ||||||
2,830,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A |
2,667,126 | ||||||
2,400,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A |
2,340,000 | ||||||
750,000 | iHeartCommunications, Inc., 6.375%, 5/01/2026 |
781,331 | ||||||
3,150,000 | iHeartCommunications, Inc., 8.375%, 5/01/2027 |
3,102,750 | ||||||
415,000 | Lamar Media Corp., 3.750%, 2/15/2028, 144A |
412,925 | ||||||
825,000 | Lamar Media Corp., 4.000%, 2/15/2030, 144A |
825,000 | ||||||
615,000 | Netflix, Inc., 4.875%, 4/15/2028 |
687,263 | ||||||
2,030,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A |
2,314,200 | ||||||
490,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A |
577,539 | ||||||
1,075,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.625%, 3/15/2030, 144A |
1,032,000 | ||||||
|
|
|||||||
17,376,020 | ||||||||
|
|
|||||||
Metals & Mining 1.1% |
| |||||||
2,655,000 | ABJA Investment Co. Pte Ltd., 5.450%, 1/24/2028 |
2,567,412 | ||||||
400,000 | ABJA Investment Co. Pte Ltd., 5.950%, 7/31/2024 |
411,000 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
Metals & Mining continued |
| |||||||
$ 4,515,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A |
$ | 4,351,331 | |||||
425,000 | First Quantum Minerals Ltd., 7.250%, 4/01/2023, 144A |
424,469 | ||||||
1,755,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A |
1,735,888 | ||||||
1,270,000 | Freeport-McMoRan, Inc., 4.375%, 8/01/2028 |
1,313,123 | ||||||
885,000 | Freeport-McMoRan, Inc., 4.625%, 8/01/2030 |
930,533 | ||||||
1,155,000 | Newcrest Finance Pty Ltd., 3.250%, 5/13/2030, 144A |
1,259,871 | ||||||
300,000 | Novelis Corp., 4.750%, 1/30/2030, 144A |
294,666 | ||||||
360,000 | Reliance Steel & Aluminum Co., 2.150%, 8/15/2030 |
352,241 | ||||||
|
|
|||||||
13,640,534 | ||||||||
|
|
|||||||
Midstream 1.0% |
| |||||||
5,460,000 | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029, 144A |
5,675,032 | ||||||
290,000 | Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A |
296,306 | ||||||
300,000 | Kinder Morgan, Inc., 5.050%, 2/15/2046 |
338,694 | ||||||
3,745,000 | Sabine Pass Liquefaction LLC, 4.500%, 5/15/2030, 144A |
4,218,561 | ||||||
800,000 | Tennessee Gas Pipeline Co. LLC, 7.000%, 3/15/2027 |
986,837 | ||||||
|
|
|||||||
11,515,430 | ||||||||
|
|
|||||||
Non-Agency Commercial Mortgage-Backed Securities 3.2% |
| |||||||
4,565,000 | CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 6.292%, 4/15/2044, 144A(a)(c) |
4,472,462 | ||||||
140,000 | Commercial Mortgage Trust, Series 2012-LC4, Class C, 5.615%, 12/10/2044(a)(c) |
113,623 | ||||||
790,000 | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 1-month LIBOR + 3.600%, 3.752%, 1/15/2034, 144A(b) |
736,492 | ||||||
5,680,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A(f)(i) |
3,865,020 | ||||||
750,000 | DBUBS Mortgage Trust, Series 2017-BRBK, Class D, 3.648%, 10/10/2034, 144A(c) |
773,991 | ||||||
2,552,340 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.790%, 11/10/2046, 144A(a)(c) |
2,550,932 | ||||||
3,195,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class D, 3.668%, 3/05/2033, 144A(c) |
2,532,944 | ||||||
2,170,000 | GS Mortgage Securities Trust, Series 2011-GC5, Class D, 5.555%, 8/10/2044, 144A(c)(f)(i) |
1,727,551 | ||||||
1,606,402 | Hospitality Mortgage Trust, Series 2019-HIT, Class C, 1-month LIBOR + 1.600%, 1.752%, 11/15/2036, 144A(a)(b) |
1,513,745 | ||||||
1,570,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.661%, 6/15/2044, 144A(a)(c) |
1,261,148 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
Non-Agency Commercial Mortgage-Backed Securities continued |
| |||||||
$ 2,515,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.661%, 6/15/2044, 144A(c) |
$ | 1,448,372 | |||||
3,680,137 | Motel 6 Trust, Series 2017-M6MZ, Class M, 1-month LIBOR + 6.927%, 7.079%, 8/15/2024, 144A(b) |
3,107,353 | ||||||
1,060,000 | Starwood Retail Property Trust, Series 2014-STAR, Class C, 1-month LIBOR + 2.750%, 2.902%, 11/15/2027, 144A(b)(d)(e)(f) |
740,509 | ||||||
4,243,654 | Starwood Retail Property Trust, Series 2014-STAR, Class D, 1-month LIBOR + 3.500%, 3.652%, 11/15/2027, 144A(b)(d)(e)(f) |
2,622,611 | ||||||
3,575,000 | Starwood Retail Property Trust, Series 2014-STAR, Class E, 1-month LIBOR + 4.400%, 4.552%, 11/15/2027, 144A(b)(d)(e)(f) |
1,191,760 | ||||||
1,370,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, 5.046%, 5/10/2063, 144A(c)(f)(i) |
556,993 | ||||||
4,885,000 | Wells Fargo Commercial Mortgage Trust, Series 2019-JWDR, Class C, 3.139%, 9/15/2031, 144A(a)(c) |
4,609,106 | ||||||
2,987,500 | WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.856%, 2/15/2044, 144A(a)(c) |
2,963,021 | ||||||
1,809,189 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.853%, 3/15/2044, 144A(c) |
1,123,440 | ||||||
605,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class C, 4.965%, 6/15/2045(a)(c) |
441,444 | ||||||
975,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7, Class E, 4.965%, 6/15/2045, 144A(c) |
375,840 | ||||||
|
|
|||||||
38,728,357 | ||||||||
|
|
|||||||
Pharmaceuticals 1.4% |
| |||||||
1,105,000 | Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A |
1,136,559 | ||||||
645,000 | Perrigo Finance UnLtd. Co., 3.150%, 6/15/2030 |
666,007 | ||||||
1,665,000 | Teva Pharmaceutical Finance Netherlands II BV, 6.000%, 1/31/2025, (EUR) |
1,996,052 | ||||||
10,035,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 |
8,346,110 | ||||||
1,860,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025 |
1,953,000 | ||||||
2,445,000 | Upjohn, Inc., 4.000%, 6/22/2050, 144A |
2,609,516 | ||||||
|
|
|||||||
16,707,244 | ||||||||
|
|
|||||||
REITs - Mortgage 0.5% |
| |||||||
5,245,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.250%, 2/01/2027, 144A |
4,536,925 | ||||||
405,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 3/15/2022, 144A |
397,021 | ||||||
1,120,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A |
1,037,400 | ||||||
|
|
|||||||
5,971,346 | ||||||||
|
|
|||||||
REITs - Shopping Centers 0.5% |
| |||||||
6,000,000 | Scentre Group Trust 2, (fixed rate to 6/24/2030, variable rate thereafter), 5.125%, 9/24/2080, 144A |
5,887,440 | ||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
Restaurants 1.0% |
| |||||||
$ 435,000 | 1011778 B.C. ULC/New Red Finance, Inc., 3.875%, 1/15/2028, 144A |
$ | 443,178 | |||||
5,765,000 | 1011778 B.C. ULC/New Red Finance, Inc., 4.375%, 1/15/2028, 144A |
5,879,147 | ||||||
2,115,000 | McDonalds Corp., MTN, 3.625%, 9/01/2049(a) |
2,374,835 | ||||||
2,100,000 | Yum! Brands, Inc., 3.625%, 3/15/2031 |
2,100,000 | ||||||
920,000 | Yum! Brands, Inc., 4.750%, 1/15/2030, 144A |
993,600 | ||||||
|
|
|||||||
11,790,760 | ||||||||
|
|
|||||||
Retailers 0.5% |
| |||||||
525,000 | AutoNation, Inc., 4.750%, 6/01/2030 |
618,563 | ||||||
1,325,000 | Carvana Co., 5.625%, 10/01/2025, 144A |
1,307,192 | ||||||
1,325,000 | Carvana Co., 5.875%, 10/01/2028, 144A |
1,309,325 | ||||||
400,000 | Dollar General Corp., 3.500%, 4/03/2030 |
455,264 | ||||||
2,065,000 | Levi Strauss & Co., 5.000%, 5/01/2025 |
2,112,753 | ||||||
420,000 | Lithia Motors, Inc., 4.375%, 1/15/2031, 144A |
420,000 | ||||||
|
|
|||||||
6,223,097 | ||||||||
|
|
|||||||
Supermarkets 0.2% |
| |||||||
2,012,000 | Albertsons Cos. LLC/Safeway, Inc./New Albertsons LP/Albertsons LLC, 5.750%, 3/15/2025 |
2,075,479 | ||||||
|
|
|||||||
Technology 4.4% |
| |||||||
100,000 | Broadcom Corp./Broadcom Cayman Finance Ltd., 3.500%, 1/15/2028 |
108,046 | ||||||
475,000 | Broadcom, Inc., 4.150%, 11/15/2030 |
533,588 | ||||||
6,185,000 | Broadcom, Inc., 4.300%, 11/15/2032 |
7,065,688 | ||||||
6,220,000 | Broadcom, Inc., 4.750%, 4/15/2029 |
7,246,647 | ||||||
1,655,000 | Broadcom, Inc., 5.000%, 4/15/2030 |
1,952,233 | ||||||
1,650,000 | CDW LLC/CDW Finance Corp., 4.125%, 5/01/2025 |
1,703,625 | ||||||
1,020,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A |
979,200 | ||||||
2,070,000 | CommScope, Inc., 6.000%, 3/01/2026, 144A |
2,157,975 | ||||||
3,815,000 | CommScope, Inc., 7.125%, 7/01/2028, 144A |
3,919,912 | ||||||
3,610,000 | Equinix, Inc., 2.150%, 7/15/2030 |
3,654,674 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
Technology continued |
| |||||||
$ 375,000 | Equinix, Inc., 3.200%, 11/18/2029 |
$ | 413,281 | |||||
1,365,000 | Gartner, Inc., 3.750%, 10/01/2030, 144A |
1,380,766 | ||||||
1,375,000 | Iron Mountain, Inc., 5.000%, 7/15/2028, 144A |
1,409,348 | ||||||
1,375,000 | Iron Mountain, Inc., 5.250%, 7/15/2030, 144A |
1,433,438 | ||||||
1,550,000 | Micron Technology, Inc., 4.663%, 2/15/2030 |
1,820,332 | ||||||
5,645,000 | Micron Technology, Inc., 5.327%, 2/06/2029 |
6,788,981 | ||||||
2,305,000 | MSCI, Inc., 3.625%, 9/01/2030, 144A |
2,364,423 | ||||||
1,660,000 | Nokia OYJ, EMTN, 2.000%, 3/11/2026, (EUR) |
1,986,165 | ||||||
575,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.150%, 5/01/2027, 144A |
621,457 | ||||||
330,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.400%, 5/01/2030, 144A |
361,254 | ||||||
570,000 | Open Text Corp., 3.875%, 2/15/2028, 144A |
575,444 | ||||||
530,000 | Open Text Holdings, Inc., 4.125%, 2/15/2030, 144A |
545,073 | ||||||
1,550,000 | Qorvo, Inc., 3.375%, 4/01/2031, 144A |
1,575,187 | ||||||
240,000 | Sabre GLBL, Inc., 9.250%, 4/15/2025, 144A |
264,137 | ||||||
810,000 | Seagate HDD Cayman, 4.125%, 1/15/2031, 144A |
874,146 | ||||||
535,000 | SS&C Technologies, Inc., 5.500%, 9/30/2027, 144A |
568,555 | ||||||
|
|
|||||||
52,303,575 | ||||||||
|
|
|||||||
Transportation Services 0.3% |
| |||||||
1,855,000 | Adani Ports & Special Economic Zone Ltd., 4.200%, 8/04/2027, 144A |
1,862,167 | ||||||
1,645,000 | GMR Hyderabad International Airport Ltd., 5.375%, 4/10/2024 |
1,612,248 | ||||||
|
|
|||||||
3,474,415 | ||||||||
|
|
|||||||
Treasuries 1.3% |
| |||||||
338,660,000 | Republic of South Africa Government Bond, Series 2037, 8.500%, 1/31/2037, (ZAR) |
15,849,827 | ||||||
|
|
|||||||
Wireless 1.8% |
| |||||||
2,375,000 | American Tower Corp., 2.100%, 6/15/2030(a) |
2,390,389 | ||||||
5,430,000 | Crown Castle International Corp., 2.250%, 1/15/2031(a) |
5,488,322 | ||||||
3,769,000 | Kenbourne Invest S.A., 6.875%, 11/26/2024, 144A |
3,933,894 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
Wireless continued |
| |||||||
$ 730,000 | Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A |
$ | 757,988 | |||||
330,000 | Sprint Capital Corp., 6.875%, 11/15/2028 |
412,500 | ||||||
6,700,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030, 144A(a) |
7,601,954 | ||||||
550,000 | T-Mobile USA, Inc., 4.500%, 2/01/2026 |
566,720 | ||||||
|
|
|||||||
21,151,767 | ||||||||
|
|
|||||||
Wirelines 0.3% |
| |||||||
2,760,000 | AT&T, Inc., 3.650%, 6/01/2051(a) |
2,783,875 | ||||||
470,000 | Level 3 Financing, Inc., 4.625%, 9/15/2027, 144A |
482,925 | ||||||
|
|
|||||||
3,266,800 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $858,670,682) |
846,174,990 | |||||||
|
|
|||||||
Convertible Bonds 1.5% |
||||||||
Cable Satellite 0.8% |
| |||||||
4,280,000 | DISH Network Corp., 2.375%, 3/15/2024 |
3,851,785 | ||||||
6,680,000 | DISH Network Corp., 3.375%, 8/15/2026 |
6,132,217 | ||||||
|
|
|||||||
9,984,002 | ||||||||
|
|
|||||||
Diversified Manufacturing 0.1% |
| |||||||
600,000 | Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024 |
548,845 | ||||||
|
|
|||||||
Energy 0.0% |
| |||||||
1,280,000 | Chesapeake Energy Corp., 5.500%, 9/15/2026(f)(i)(j) |
42,880 | ||||||
|
|
|||||||
Industrial Other 0.0% |
| |||||||
530,000 | Chegg, Inc., Zero Coupon, 9/01/2026, 144A |
528,145 | ||||||
|
|
|||||||
Pharmaceuticals 0.6% |
| |||||||
1,580,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 |
1,657,978 | ||||||
5,470,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027, 144A |
5,349,612 | ||||||
|
|
|||||||
7,007,590 | ||||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $20,057,814) |
18,111,462 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $878,728,496) |
864,286,452 | |||||||
|
|
Principal |
Description |
Value () | ||||||
Senior Loans 0.2% |
||||||||
Cable Satellite 0.2% |
| |||||||
1,930,000 | Ziggo BV, 2019 EUR Term Loan H, 6-month EURIBOR + 3.000%, 3.000%, 1/31/2029, (EUR)(b) |
$ | 2,205,171 | |||||
|
|
|||||||
Independent Energy 0.0% |
| |||||||
811,000 | California Resources Corp., 2017 1st Lien Term Loan, 12/31/2022(j) |
291,733 | ||||||
3,740,000 | Gavilan Resources LLC, 2nd Lien Term Loan, 3/01/2024(j) |
9,350 | ||||||
|
|
|||||||
301,083 | ||||||||
|
|
|||||||
Total Senior Loans (Identified Cost $6,638,609) |
2,506,254 | |||||||
|
|
|||||||
Collateralized Loan Obligations 5.1% |
||||||||
1,740,000 | AGL CLO 3 Ltd., Series 2020-3A, Class D, 3-month LIBOR + 3.300%, 3.575%, 1/15/2033, 144A(b) |
1,680,974 | ||||||
1,350,000 | AGL CLO 3 Ltd., Series 2020-3A, Class C, 3-month LIBOR + 2.150%, 2.425%, 1/15/2033, 144A(a)(b) |
1,323,124 | ||||||
865,000 | Anchorage Capital CLO 9 Ltd., Series 2016-9A, Class DR, 3-month LIBOR + 4.000%, 4.275%, 7/15/2032, 144A(b) |
836,975 | ||||||
480,000 | Apidos CLO XX, Series 2015-20A, Class BRR, 3-month LIBOR + 1.950%, 2.221%, 7/16/2031, 144A(a)(b) |
452,191 | ||||||
3,175,000 | Apidos CLO XXIII, Series 2015-23A, Class CR, 3-month LIBOR + 2.000%, 3.601%, 4/15/2033, 144A(a)(b) |
3,065,632 | ||||||
475,000 | Apidos CLO XXXII, Series 2019-32A, Class D, 3-month LIBOR + 3.500%, 3.772%, 1/20/2033, 144A(b) |
466,201 | ||||||
400,000 | Ballyrock CLO Ltd., Series 2018-1A, Class C, 3-month LIBOR + 3.150%, 3.422%, 4/20/2031, 144A(b) |
377,970 | ||||||
850,000 | Barings CLO Ltd., Series 2019-4A, Class C, 3-month LIBOR + 2.800%, 3.075%, 1/15/2033, 144A(a)(b) |
840,414 | ||||||
560,000 | Battalion CLO XIV Ltd., Series 2019-14A, Class E, 3-month LIBOR + 6.680%, 6.952%, 4/20/2032, 144A(b) |
534,166 | ||||||
500,000 | Battalion CLO XVI Ltd., Series 2019-16A, Class D, 3-month LIBOR + 4.360%, 4.632%, 12/19/2032, 144A(b) |
489,720 | ||||||
1,915,000 | BlueMountain CLO XXIV Ltd., Series 2019-24A, Class C, 3-month LIBOR + 2.700%, 2.972%, 4/20/2031, 144A(a)(b) |
1,883,458 | ||||||
915,000 | Bristol Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 2.225%, 4/15/2029, 144A(a)(b) |
882,645 | ||||||
455,000 | Burnham Park CLO Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 2.150%, 2.422%, 10/20/2029, 144A(a)(b) |
429,514 | ||||||
400,000 | Carbone CLO Ltd., Series 2017-1A, Class B, 3-month LIBOR + 1.800%, 2.072%, 1/20/2031, 144A(a)(b) |
376,490 | ||||||
1,575,000 | Carlyle Global Market Strategies CLO Ltd., Series 2015-2A, Class CR, 3-month LIBOR + 2.250%, 2.495%, 4/27/2027, 144A(b) |
1,514,210 | ||||||
500,000 | Catamaran CLO Ltd., Series 2013-1A, Class CR, 3-month LIBOR + 1.800%, 2.045%, 1/27/2028, 144A(a)(b) |
477,333 | ||||||
265,000 | CIFC Funding II Ltd., Series 2014-2RA, Class A3, 3-month LIBOR + 1.900%, 2.164%, 4/24/2030, 144A(a)(b) |
256,377 | ||||||
730,000 | CIFC Funding II Ltd., Series 2013-2A, Class A3LR, 3-month LIBOR + 1.950%, 2.222%, 10/18/2030, 144A(a)(b) |
704,285 | ||||||
2,410,000 | Cole Park CLO Ltd., Series 2015-1A, Class DR, 3-month LIBOR + 3.150%, 3.422%, 10/20/2028, 144A(b) |
2,327,187 | ||||||
875,000 | Dryden 45 Senior Loan Fund, Series 2016-45A, Class ER, 3-month LIBOR + 5.850%, 6.125%, 10/15/2030, 144A(b) |
781,738 |
Principal |
Description |
Value () | ||||||
Collateralized Loan Obligations continued |
||||||||
$ 250,000 | Dryden 64 CLO Ltd., Series 2018-64A, Class C, 3-month LIBOR + 1.750%, 2.022%, 4/18/2031, 144A(a)(b) |
$ | 232,496 | |||||
615,000 | Dryden 80 CLO Ltd., Series 2019-80A, Class D1, 3-month LIBOR + 4.100%, 4.373%, 1/17/2033, 144A(b) |
609,495 | ||||||
300,000 | Dryden XXVI Senior Loan Fund, Series 2013-26A, Class CR, 3-month LIBOR + 1.850%, 2.125%, 4/15/2029, 144A(a)(b) |
281,356 | ||||||
220,710 | Galaxy XXIX CLO Ltd., Series 2018-29A, Class A, 3-month LIBOR + 0.790%, 1.070%, 11/15/2026, 144A(a)(b) |
219,663 | ||||||
330,000 | Galaxy XXIX CLO Ltd., Series 2018-29A, Class D, 3-month LIBOR + 2.400%, 2.680%, 11/15/2026, 144A(b) |
320,004 | ||||||
1,405,000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class E, 3-month LIBOR + 5.850%, 6.106%, 11/22/2031, 144A(b) |
1,224,336 | ||||||
650,000 | Gilbert Park CLO Ltd., Series 2017-1A, Class D, 3-month LIBOR + 2.950%, 3.225%, 10/15/2030, 144A(b) |
619,970 | ||||||
320,000 | Goldentree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class C, 3-month LIBOR + 1.900%, 2.172%, 4/20/2030, 144A(a)(b) |
306,565 | ||||||
990,000 | Hayfin Kingsland XI Ltd., Series 2019-2A, Class E, 3-month LIBOR + 6.900%, 7.172%, 7/20/2032, 144A(b) |
894,202 | ||||||
725,000 | Jamestown CLO IV Ltd., Series 2014-4A, Class CR, 3-month LIBOR + 2.650%, 2.925%, 7/15/2026, 144A(b) |
710,831 | ||||||
1,110,000 | LCM 30 Ltd., Series 30A, Class D, 3-month LIBOR + 3.750%, 4.022%, 4/20/2031, 144A(b) |
1,108,998 | ||||||
475,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class C, 3-month LIBOR + 2.150%, 2.406%, 1/23/2031, 144A(a)(b) |
447,626 | ||||||
300,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3-month LIBOR + 3.000%, 3.256%, 1/23/2031, 144A(b) |
285,143 | ||||||
3,300,000 | Neuberger Berman CLO Ltd., Series 2013-14A, Class CR2, 3-month LIBOR + 1.900%, 2.147%, 1/28/2030, 144A(a)(b) |
3,170,223 | ||||||
725,000 | Neuberger Berman Loan Advisers CLO Ltd., Series 2018-30A, Class E, 3-month LIBOR + 6.750%, 7.022%, 1/20/2031, 144A(b) |
657,926 | ||||||
495,000 | Octagon Investment Partners 39 Ltd., Series 2018-3A, Class E, 3-month LIBOR + 5.750%, 6.022%, 10/20/2030, 144A(b) |
448,058 | ||||||
1,420,000 | Octagon Investment Partners 40 Ltd., Series 2019-1A, Class D, 3-month LIBOR + 3.800%, 4.072%, 4/20/2031, 144A(b) |
1,425,645 | ||||||
920,000 | Octagon Investment Partners XXII Ltd., Series 2014-1A, Class CRR, 3-month LIBOR + 1.900%, 2.158%, 1/22/2030, 144A(a)(b) |
886,189 | ||||||
1,980,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class E1, 3-month LIBOR + 5.000%, 5.272%, 7/20/2032, 144A(b) |
1,814,169 | ||||||
1,745,000 | OHA Credit Funding 5 Ltd., Series 2020-5A, Class C, 3-month LIBOR + 2.000%, 3.306%, 4/18/2033, 144A(a)(b) |
1,657,823 | ||||||
2,245,000 | OHA Loan Funding Ltd., Series 2013-1A, Class DR2, 3-month LIBOR + 3.050%, 3.306%, 7/23/2031, 144A(b) |
2,105,183 | ||||||
1,570,000 | OHA Loan Funding Ltd., Series 2016-1A, Class CR, 3-month LIBOR + 1.950%, 2.222%, 1/20/2033, 144A(a)(b) |
1,485,782 | ||||||
247,294 | OZLM XIII Ltd., Series 2015-13A, Class A1R, 3-month LIBOR + 1.080%, 1.348%, 7/30/2027, 144A(a)(b) |
246,000 | ||||||
970,000 | OZLM XXIII Ltd., Series 2019-23A, Class E, 3-month LIBOR + 6.800%, 7.075%, 4/15/2032, 144A(b) |
897,772 | ||||||
325,000 | Palmer Square CLO Ltd., Series 2015-1A, Class CR2, 3-month LIBOR + 3.150%, 3.397%, 5/21/2029, 144A(b) |
312,596 | ||||||
300,000 | Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3-month LIBOR + 1.950%, 2.222%, 7/20/2030, 144A(a)(b) |
290,890 | ||||||
2,610,000 | Parallel Ltd., Series 2017-1A, Class CR, 3-month LIBOR + 2.000%, 2.272%, 7/20/2029, 144A(a)(b) |
2,515,437 | ||||||
1,645,000 | Parallel Ltd., Series 2018-2A, Class B, 3-month LIBOR + 2.150%, 2.422%, 10/20/2031, 144A(a)(b) |
1,564,999 |
Principal |
Description |
Value () | ||||||
Collateralized Loan Obligations continued |
||||||||
$ 1,045,000 | Pikes Peak CLO 1, Series 2018-1A, Class D, 3-month LIBOR + 3.150%, 3.414%, 7/24/2031, 144A(b) |
$ | 993,521 | |||||
2,155,000 | Pikes Peak CLO 3, Series 2019-3A, Class E, 3-month LIBOR + 6.860%, 7.105%, 4/25/2030, 144A(b) |
2,056,293 | ||||||
340,000 | Recette CLO LLC, Series 2015-1A, Class DR, 3-month LIBOR + 2.750%, 3.022%, 10/20/2027, 144A(a)(b) |
326,122 | ||||||
920,000 | Regatta XIII Funding Ltd., Series 2018-2A, Class C, 3-month LIBOR + 3.100%, 3.375%, 7/15/2031, 144A(b) |
876,571 | ||||||
2,565,000 | Rockford Tower CLO Ltd., Series 2017-2A, Class CR, 3-month LIBOR + 1.900%, 2.175%, 10/15/2029, 144A(a)(b) |
2,463,168 | ||||||
740,000 | Symphony CLO XX Ltd., Series 2018-20A, Class D, 3-month LIBOR + 3.860%, 4.131%, 1/16/2032, 144A(b) |
736,163 | ||||||
920,000 | TCW CLO Ltd., Series 2018-1, Class D, 3-month LIBOR + 2.910%, 3.155%, 4/25/2031, 144A(b) |
858,793 | ||||||
1,030,000 | TICP CLO VII Ltd., Series 2017-7A, Class CR, 3-month LIBOR + 2.150%, 2.425%, 4/15/2033, 144A(a)(b) |
972,608 | ||||||
610,000 | TICP CLO XV Ltd., Series 2020-15A, Class C, 3-month LIBOR + 2.150%, 3.785%, 4/20/2033, 144A(a)(b) |
586,433 | ||||||
895,000 | TRESTLES CLO II Ltd., Series 2018-2A, Class D, 3-month LIBOR + 5.750%, 5.995%, 7/25/2031, 144A(b) |
785,757 | ||||||
780,000 | VERDE CLO Ltd., Series 2019-1A, Class E, 3-month LIBOR + 6.900%, 7.175%, 4/15/2032, 144A(b) |
705,896 | ||||||
695,000 | Voya CLO Ltd, Series 2019-3A, Class D, 3-month LIBOR + 3.850%, 4.123%, 10/17/2032, 144A(b) |
691,672 | ||||||
2,435,000 | York CLO-7 Ltd., Series 2019-2A, Class D, 3-month LIBOR + 3.800%, 4.058%, 1/22/2033, 144A(b) |
2,421,709 | ||||||
|
|
|||||||
Total Collateralized Loan Obligations (Identified Cost $58,670,845) |
60,914,687 | |||||||
|
|
|||||||
Loan Participations 0.0% |
||||||||
ABS Other 0.0% |
| |||||||
1,061,479 | Harbour Aircraft Investments Ltd., Series 2017-1, Class C, 8.000%, 11/15/2037 (d) (Identified Cost $1,059,208) |
504,202 | ||||||
|
|
|||||||
Shares |
||||||||
Common Stocks 2.1% |
||||||||
Aerospace & Defense 0.0% |
| |||||||
486 | Lockheed Martin Corp. | 186,274 | ||||||
|
|
|||||||
Air Freight & Logistics 0.1% |
| |||||||
6,552 | Expeditors International of Washington, Inc. | 593,087 | ||||||
1,176 | United Parcel Service, Inc., Class B | 195,957 | ||||||
|
|
|||||||
789,044 | ||||||||
|
|
|||||||
Banks 0.0% |
| |||||||
3,788 | Citigroup, Inc. | 163,301 | ||||||
5,050 | Truist Financial Corp. | 192,152 | ||||||
|
|
|||||||
355,453 | ||||||||
|
|
|||||||
Biotechnology 0.0% |
| |||||||
1,974 | AbbVie, Inc. | 172,903 | ||||||
790 | Amgen, Inc. | 200,786 | ||||||
2,856 | Gilead Sciences, Inc. | 180,471 | ||||||
|
|
|||||||
554,160 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
Common Stocks continued |
||||||||
Building Products 0.0% |
| |||||||
2,801 | Masco Corp. | $ | 154,419 | |||||
|
|
|||||||
Capital Markets 0.0% |
| |||||||
539 | S&P Global, Inc. | 194,363 | ||||||
|
|
|||||||
Chemicals 0.1% |
| |||||||
138,555 | Hexion Holdings Corp., Class B(h) | 1,376,960 | ||||||
|
|
|||||||
Communications Equipment 0.0% |
| |||||||
4,450 | Cisco Systems, Inc. | 175,285 | ||||||
|
|
|||||||
Construction Materials 0.1% |
| |||||||
362,679 | Cemex SAB de CV, Sponsored ADR | 1,378,180 | ||||||
|
|
|||||||
Diversified Telecommunication Services 0.2% |
| |||||||
76,272 | AT&T, Inc. | 2,174,515 | ||||||
3,101 | Verizon Communications, Inc. | 184,478 | ||||||
|
|
|||||||
2,358,993 | ||||||||
|
|
|||||||
Entertainment 0.0% |
| |||||||
2,269 | Activision Blizzard, Inc. | 183,676 | ||||||
|
|
|||||||
Food & Staples Retailing 0.0% |
| |||||||
5,208 | Kroger Co. (The) | 176,603 | ||||||
1,443 | Walmart, Inc. | 201,890 | ||||||
|
|
|||||||
378,493 | ||||||||
|
|
|||||||
Health Care Providers & Services 0.1% |
| |||||||
665 | Anthem, Inc. | 178,612 | ||||||
1,046 | Cigna Corp. | 177,203 | ||||||
453 | Humana, Inc. | 187,492 | ||||||
575 | UnitedHealth Group, Inc. | 179,268 | ||||||
|
|
|||||||
722,575 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 0.1% |
| |||||||
444 | Dominos Pizza, Inc. | 188,824 | ||||||
928 | McDonalds Corp. | 203,687 | ||||||
6,587 | Starbucks Corp. | 565,955 | ||||||
1,505 | Yum! Brands, Inc. | 137,407 | ||||||
|
|
|||||||
1,095,873 | ||||||||
|
|
|||||||
Household Durables 0.0% |
| |||||||
2,302 | DR Horton, Inc. | 174,100 | ||||||
4,044 | PulteGroup, Inc. | 187,197 | ||||||
|
|
|||||||
361,297 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
Common Stocks continued |
||||||||
Household Products 0.0% |
| |||||||
1,158 | Kimberly-Clark Corp. | $ | 170,990 | |||||
1,478 | Procter & Gamble Co. (The) |
205,427 | ||||||
|
|
|||||||
376,417 | ||||||||
|
|
|||||||
Industrial Conglomerates 0.3% |
| |||||||
25,097 | 3M Co. |
4,020,037 | ||||||
673 | Honeywell International, Inc. |
110,783 | ||||||
|
|
|||||||
4,130,820 | ||||||||
|
|
|||||||
Insurance 0.1% |
| |||||||
1,163 | Aflac, Inc. |
42,275 | ||||||
1,983 | Allstate Corp. (The) |
186,680 | ||||||
4,577 | MetLife, Inc. |
170,127 | ||||||
2,006 | Progressive Corp. (The) |
189,908 | ||||||
|
|
|||||||
588,990 | ||||||||
|
|
|||||||
Internet & Direct Marketing Retail 0.1% |
| |||||||
305 | Booking Holdings, Inc.(h) |
521,757 | ||||||
3,267 | eBay, Inc. |
170,211 | ||||||
|
|
|||||||
691,968 | ||||||||
|
|
|||||||
IT Services 0.1% |
| |||||||
798 | Accenture PLC, Class A |
180,340 | ||||||
1,325 | Fidelity National Information Services, Inc. |
195,053 | ||||||
586 | MasterCard, Inc., Class A |
198,168 | ||||||
|
|
|||||||
573,561 | ||||||||
|
|
|||||||
Media 0.0% |
| |||||||
4,589 | Comcast Corp., Class A |
212,287 | ||||||
967 | Fox Corp., Class A |
26,912 | ||||||
2,043 | Nexstar Media Group, Inc., Class A |
183,727 | ||||||
|
|
|||||||
422,926 | ||||||||
|
|
|||||||
Metals & Mining 0.0% |
| |||||||
2,759 | Newmont Corp. |
175,059 | ||||||
|
|
|||||||
Multiline Retail 0.0% |
| |||||||
561 | Dollar General Corp. |
117,597 | ||||||
448 | Target Corp. |
70,524 | ||||||
|
|
|||||||
188,121 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.1% |
| |||||||
2,205 | Chevron Corp. |
158,760 | ||||||
1,884 | Dommo Energia S.A., Sponsored ADR(d)(e)(f)(h) |
3,824 | ||||||
10,397 | Enterprise Products Partners LP |
164,169 | ||||||
8,875 | Kinder Morgan, Inc. |
109,429 | ||||||
32,298 | Whiting Petroleum Corp.(h) |
558,432 | ||||||
9,018 | Williams Cos., Inc. (The) |
177,204 | ||||||
|
|
|||||||
1,171,818 | ||||||||
|
|
|||||||
Personal Products 0.1% |
| |||||||
2,679 | Estee Lauder Cos., Inc. (The), Class A |
584,692 | ||||||
|
|
Shares |
Description |
Value () | ||||||
Common Stocks continued |
||||||||
Pharmaceuticals 0.1% |
| |||||||
3,141 | Bristol-Myers Squibb Co. |
$ | 189,371 | |||||
1,240 | Eli Lilly & Co. |
183,545 | ||||||
1,221 | Johnson & Johnson |
181,782 | ||||||
2,323 | Merck & Co., Inc. |
192,693 | ||||||
|
|
|||||||
747,391 | ||||||||
|
|
|||||||
REITs - Diversified 0.0% |
| |||||||
760 | American Tower Corp. |
183,715 | ||||||
|
|
|||||||
REITs - Storage 0.0% |
| |||||||
6,197 | Iron Mountain, Inc. |
166,018 | ||||||
|
|
|||||||
Road & Rail 0.0% |
| |||||||
2,538 | CSX Corp. |
197,126 | ||||||
1,002 | Union Pacific Corp. |
197,264 | ||||||
|
|
|||||||
394,390 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.1% |
| |||||||
3,018 | Applied Materials, Inc. |
179,420 | ||||||
3,790 | Intel Corp. |
196,246 | ||||||
2,759 | KLA Corp. |
534,529 | ||||||
554 | Lam Research Corp. |
183,790 | ||||||
388 | NVIDIA Corp. |
209,993 | ||||||
1,931 | QUALCOMM, Inc. |
227,240 | ||||||
1,372 | Texas Instruments, Inc. |
195,908 | ||||||
|
|
|||||||
1,727,126 | ||||||||
|
|
|||||||
Software 0.1% |
| |||||||
588 | Citrix Systems, Inc. |
80,973 | ||||||
618 | Intuit, Inc. |
201,598 | ||||||
897 | Microsoft Corp. |
188,666 | ||||||
8,312 | NortonLifeLock, Inc. |
173,222 | ||||||
3,317 | Oracle Corp. |
198,025 | ||||||
|
|
|||||||
842,484 | ||||||||
|
|
|||||||
Specialty Retail 0.1% |
| |||||||
1,687 | Best Buy Co., Inc. |
187,746 | ||||||
705 | Home Depot, Inc. (The) |
195,786 | ||||||
1,190 | Lowes Cos., Inc. |
197,373 | ||||||
|
|
|||||||
580,905 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 0.1% |
| |||||||
6,320 | Apple, Inc. |
731,919 | ||||||
10,505 | HP, Inc. |
199,490 | ||||||
|
|
|||||||
931,409 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 0.1% |
| |||||||
1,234 | LVMH Moet Hennessy Louis Vuitton SE |
577,389 | ||||||
|
|
|||||||
Tobacco 0.0% |
| |||||||
4,256 | Altria Group, Inc. |
164,452 |
Shares |
Description |
Value () | ||||||
Common Stocks continued |
||||||||
Tobacco continued |
| |||||||
2,297 | Philip Morris International, Inc. |
$ | 172,252 | |||||
|
|
|||||||
336,704 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $38,892,695) |
25,656,948 | |||||||
|
|
|||||||
Preferred Stocks 1.0% |
||||||||
Convertible Preferred Stocks 0.7% |
||||||||
Banking 0.4% |
| |||||||
926 | Bank of America Corp., Series L, 7.250% |
1,377,888 | ||||||
2,053 | Wells Fargo & Co., Class A, Series L, 7.500% |
2,755,229 | ||||||
|
|
|||||||
4,133,117 | ||||||||
|
|
|||||||
Energy 0.0% |
| |||||||
1,714 | Chesapeake Energy Corp., 5.750%(d)(e)(f)(h) |
| ||||||
|
|
|||||||
Food & Beverage 0.3% |
| |||||||
42,272 | Bunge Ltd., 4.875% |
4,048,655 | ||||||
|
|
|||||||
Midstream 0.0% |
| |||||||
2,329 | El Paso Energy Capital Trust I, 4.750% |
108,927 | ||||||
|
|
|||||||
Total Convertible Preferred Stocks (Identified Cost $9,235,501) |
8,290,699 | |||||||
|
|
|||||||
Non-Convertible Preferred Stocks 0.3% |
||||||||
Cable Satellite 0.3% |
| |||||||
4,040,000 | NBCUniversal Enterprise, Inc., 5.250%, 144A(a) (Identified Cost $4,040,000) |
4,080,400 | ||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $13,275,501) |
12,371,099 | |||||||
|
|
|||||||
Principal |
||||||||
Other Investments 0.1% |
||||||||
Aircraft ABS 0.1% |
| |||||||
$ 900 | ECAF I Blocker Ltd.(d)(e)(f)(g) (Identified Cost $9,000,000) |
1,043,100 | ||||||
|
|
|||||||
Short-Term Investments 16.5% |
||||||||
62,671,620 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2020 at 0.000% to be repurchased at $62,671,620 on 10/01/2020 collateralized by $61,171,500 U.S. Treasury Note 0.250% due 9/30/2025 valued at $61,166,728; $2,690,300 U.S. Treasury Note 2.625% due 6/15/2021 valued at $2,758,446 including accrued interest(k) | 62,671,620 | ||||||
22,330,000 | U.S. Treasury Bills, 0.115%, 6/17/2021(a)(l) |
22,312,328 |
Principal |
Description |
Value () | ||||||
Short-Term Investments continued |
||||||||
$ 22,800,000 | U.S. Treasury Bills, 0.121%, 5/20/2021(l) |
$ | 22,785,004 | |||||
22,840,000 | U.S. Treasury Bills, 0.135%, 7/15/2021(l) |
22,821,336 | ||||||
23,500,000 | U.S. Treasury Bills, 0.136%, 8/12/2021(l) |
23,477,895 | ||||||
15,915,000 | U.S. Treasury Bills, 0.137%, 11/05/2020(l) |
15,913,646 | ||||||
15,915,000 | U.S. Treasury Bills, 0.141%, 10/13/2020(l) |
15,914,596 | ||||||
10,840,000 | U.S. Treasury Bills, 0.161%, 11/27/2020(l)(m) |
10,838,370 | ||||||
Total Short-Term Investments (Identified Cost $196,717,359) |
196,734,795 | |||||||
|
|
|||||||
Total Investments 97.3% (Identified Cost $1,202,982,713) |
1,164,017,537 | |||||||
Other assets less liabilities 2.7% | 32,112,548 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 1,196,130,085 | ||||||
|
|
|||||||
|
Written Options (0.0%)
|
|
Description |
Expiration Date |
Exercise Price |
Shares() | Notional Amount |
Premiums (Received) |
Value () | ||||||||||||||||||
Options on Securities (0.0%) |
| |||||||||||||||||||||||
AbbVie, Inc., Call |
10/16/2020 | 100.00 | (700 | ) | $ | (61,313 | ) | $ | (726 | ) | $ | (24 | ) | |||||||||||
Accenture PLC, Call |
10/16/2020 | 250.00 | (400 | ) | (90,396 | ) | (1,127 | ) | (60 | ) | ||||||||||||||
Activision Blizzard, Inc., Call |
10/16/2020 | 90.00 | (900 | ) | (72,855 | ) | (1,536 | ) | (167 | ) | ||||||||||||||
Aflac, Inc., Call |
10/16/2020 | 40.00 | (600 | ) | (21,810 | ) | (292 | ) | (45 | ) | ||||||||||||||
Allstate Corp. (The), Call |
10/16/2020 | 100.00 | (1,100 | ) | (103,554 | ) | (1,215 | ) | (330 | ) | ||||||||||||||
Altria Group, Inc., Call |
10/16/2020 | 45.00 | (1,700 | ) | (65,688 | ) | (1,083 | ) | (42 | ) | ||||||||||||||
American Tower Corp., Call |
10/16/2020 | 260.00 | (400 | ) | (96,692 | ) | (1,627 | ) | (190 | ) | ||||||||||||||
Amgen, Inc., Call |
10/16/2020 | 245.00 | (400 | ) | (101,664 | ) | (4,447 | ) | (4,720 | ) | ||||||||||||||
Anthem, Inc., Call |
10/16/2020 | 300.00 | (300 | ) | (80,577 | ) | (860 | ) | (75 | ) | ||||||||||||||
Apple, Inc., Call |
10/16/2020 | 143.75 | (800 | ) | (92,648 | ) | (2,033 | ) | (64 | ) | ||||||||||||||
Applied Materials, Inc., Call |
10/16/2020 | 70.00 | (1,800 | ) | (107,010 | ) | (2,083 | ) | (153 | ) | ||||||||||||||
AT&T, Inc., Call |
10/16/2020 | 31.00 | (3,100 | ) | (88,381 | ) | (1,076 | ) | (77 | ) | ||||||||||||||
Best Buy Co., Inc., Call |
10/16/2020 | 130.00 | (1,300 | ) | (144,677 | ) | (1,374 | ) | (117 | ) | ||||||||||||||
Bristol-Myers Squibb Co., Call |
10/16/2020 | 65.00 | (1,800 | ) | (108,522 | ) | (1,687 | ) | (153 | ) | ||||||||||||||
Chevron Corp., Call |
10/16/2020 | 97.50 | (1,500 | ) | (108,000 | ) | (1,001 | ) | (45 | ) | ||||||||||||||
Cigna Corp., Call |
10/16/2020 | 190.00 | (500 | ) | (84,705 | ) | (1,634 | ) | (153 | ) | ||||||||||||||
Citigroup, Inc., Call |
10/16/2020 | 55.00 | (1,500 | ) | (64,665 | ) | (2,036 | ) | (45 | ) | ||||||||||||||
Comcast Corp., Call |
10/16/2020 | 45.00 | (2,700 | ) | (124,902 | ) | (1,899 | ) | (4,415 | ) | ||||||||||||||
CSX Corp., Call |
10/16/2020 | 77.50 | (1,200 | ) | (93,204 | ) | (1,833 | ) | (2,112 | ) | ||||||||||||||
Dollar General Corp., Call |
10/16/2020 | 220.00 | (300 | ) | (62,886 | ) | (650 | ) | (165 | ) |
Description |
Expiration Date |
Exercise Price |
Shares() | Notional Amount |
Premiums (Received) |
Value () | ||||||||||||||||||
Dominos Pizza, Inc., Call |
10/16/2020 | 450.00 | (300 | ) | $ | (127,584 | ) | $ | (2,810 | ) | $ | (2,130 | ) | |||||||||||
DR Horton, Inc., Call |
10/16/2020 | 82.50 | (1,100 | ) | (83,193 | ) | (1,570 | ) | (506 | ) | ||||||||||||||
eBay, Inc., Call |
10/16/2020 | 65.00 | (1,900 | ) | (98,990 | ) | (1,572 | ) | (66 | ) | ||||||||||||||
Eli Lilly & Co., Call |
10/16/2020 | 160.00 | (600 | ) | (88,812 | ) | (1,330 | ) | (180 | ) | ||||||||||||||
Enterprise Products Partners LP, Call |
10/16/2020 | 20.00 | (6,200 | ) | (97,898 | ) | (912 | ) | (217 | ) | ||||||||||||||
Fidelity National Information Services, Inc., Call |
10/16/2020 | 150.00 | (700 | ) | (103,047 | ) | (1,587 | ) | (1,523 | ) | ||||||||||||||
Fox Corp., Call |
10/16/2020 | 30.00 | (500 | ) | (13,915 | ) | (169 | ) | (100 | ) | ||||||||||||||
Home Depot, Inc. (The), Call |
10/16/2020 | 300.00 | (200 | ) | (55,542 | ) | (773 | ) | (88 | ) | ||||||||||||||
HP, Inc., Call |
10/16/2020 | 20.00 | (4,200 | ) | (79,758 | ) | (2,424 | ) | (819 | ) | ||||||||||||||
Johnson & Johnson, Call |
10/16/2020 | 160.00 | (700 | ) | (104,216 | ) | (915 | ) | (151 | ) | ||||||||||||||
Kimberly-Clark Corp., Call |
10/16/2020 | 165.00 | (800 | ) | (118,128 | ) | (902 | ) | (80 | ) | ||||||||||||||
Kroger Co. (The), Call |
10/16/2020 | 39.00 | (3,100 | ) | (105,121 | ) | (1,603 | ) | (77 | ) | ||||||||||||||
Lowes Cos., Inc., Call |
10/16/2020 | 175.00 | (500 | ) | (82,930 | ) | (1,484 | ) | (518 | ) | ||||||||||||||
MasterCard, Inc., Call |
10/16/2020 | 360.00 | (200 | ) | (67,634 | ) | (1,473 | ) | (205 | ) | ||||||||||||||
McDonalds Corp., Call |
10/16/2020 | 220.00 | (300 | ) | (65,847 | ) | (878 | ) | (1,140 | ) | ||||||||||||||
Merck & Co., Inc., Call |
10/16/2020 | 90.00 | (1,300 | ) | (107,835 | ) | (1,127 | ) | (78 | ) | ||||||||||||||
MetLife, Inc., Call |
10/16/2020 | 42.50 | (2,700 | ) | (100,359 | ) | (1,243 | ) | (122 | ) | ||||||||||||||
Microsoft Corp., Call |
10/16/2020 | 230.00 | (400 | ) | (84,132 | ) | (1,707 | ) | (170 | ) | ||||||||||||||
Newmont Corp., Call |
10/16/2020 | 75.00 | (1,300 | ) | (82,485 | ) | (1,018 | ) | (97 | ) | ||||||||||||||
Nexstar Media Group, Inc., Call |
10/16/2020 | 105.00 | (1,000 | ) | (89,930 | ) | (1,679 | ) | (150 | ) | ||||||||||||||
NortonLifeLock, Inc., Call |
10/16/2020 | 25.00 | (4,100 | ) | (85,444 | ) | (2,572 | ) | (82 | ) | ||||||||||||||
NVIDIA Corp., Call |
10/16/2020 | 565.00 | (200 | ) | (108,244 | ) | (2,983 | ) | (2,335 | ) | ||||||||||||||
Oracle Corp., Call |
10/16/2020 | 60.00 | (1,600 | ) | (95,520 | ) | (1,525 | ) | (1,664 | ) | ||||||||||||||
Philip Morris International, Inc., Call |
10/16/2020 | 82.50 | (1,100 | ) | (82,489 | ) | (1,042 | ) | (49 | ) | ||||||||||||||
Procter & Gamble Co. (The), Call |
10/16/2020 | 145.00 | (1,100 | ) | (152,889 | ) | (1,152 | ) | (429 | ) | ||||||||||||||
Progressive Corp. (The), Call |
10/16/2020 | 95.00 | (1,200 | ) | (113,604 | ) | (2,601 | ) | (2,370 | ) | ||||||||||||||
PulteGroup, Inc., Call |
10/16/2020 | 50.00 | (2,000 | ) | (92,580 | ) | (2,854 | ) | (800 | ) | ||||||||||||||
QUALCOMM, Inc., Call |
10/16/2020 | 125.00 | (1,000 | ) | (117,680 | ) | (2,387 | ) | (1,110 | ) | ||||||||||||||
S&P Global, Inc., Call |
10/16/2020 | 380.00 | (200 | ) | (72,120 | ) | (933 | ) | (330 | ) | ||||||||||||||
Target Corp., Call |
10/16/2020 | 165.00 | (200 | ) | (31,484 | ) | (381 | ) | (171 | ) | ||||||||||||||
Texas Instruments, Inc., Call |
10/16/2020 | 150.00 | (600 | ) | (85,674 | ) | (1,288 | ) | (510 | ) | ||||||||||||||
Truist Financial Corp., Call |
10/16/2020 | 42.50 | (2,500 | ) | (95,125 | ) | (1,920 | ) | (250 | ) | ||||||||||||||
Union Pacific Corp., Call |
10/16/2020 | 200.00 | (500 | ) | (98,435 | ) | (2,012 | ) | (1,490 | ) |
Description |
Expiration Date |
Exercise Price |
Shares() | Notional Amount |
Premiums (Received) |
Value () | ||||||||||||||||||
United Parcel Service, Inc., Call |
10/16/2020 | 170.00 | (500 | ) | $ | (83,315 | ) | $ | (1,127 | ) | $ | (1,345 | ) | |||||||||||
UnitedHealth Group, Inc., Call |
10/16/2020 | 330.00 | (200 | ) | (62,354 | ) | (953 | ) | (334 | ) | ||||||||||||||
Walmart, Inc., Call |
10/16/2020 | 140.00 | (800 | ) | (111,928 | ) | (966 | ) | (2,300 | ) | ||||||||||||||
Williams Cos., Inc. (The), Call |
10/16/2020 | 23.00 | (3,600 | ) | (70,740 | ) | (917 | ) | (216 | ) | ||||||||||||||
Yum Brands, Inc., Call |
10/16/2020 | 100.00 | (600 | ) | (54,780 | ) | (1,066 | ) | (45 | ) | ||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total |
$ | (86,074 | ) | $ | (37,399 | ) | ||||||||||||||||||
|
|
|
|
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. |
Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans and collateralized loan obligations where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.
Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Centrally cleared swap agreements are valued at settlement prices of the 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 index and single name equity option contracts (including options on exchange-traded funds) are valued at the mean of the National Best Bid and Offer quotations as determined by the Options Price Reporting Authority. Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively.
Option contracts on foreign indices are priced at the most recent settlement price.
Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively.
Over-the-counter (OTC) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available.
Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on quotations obtained from broker-dealers.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers 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 Funds 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 Funds 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 Funds pricing policies and procedures.
As of September 30, 2020, securities and other investments of the funds included in net assets were fair valued as follows:
Securities classified as fair valued |
Percentage of Net Assets |
Securities fair valued by the Funds adviser |
Percentage of Net Assets |
|||||||||||
$ | 6,803,932 | 0.6 | % | $ | 8,650,256 | 0.7 | % |
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 Funds obligations under open derivative contracts. |
(b) | Variable rate security. Rate as of September 30, 2020 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, 2020 is disclosed. |
(d) | Level 3 security. Value has been determined using significant unobservable inputs. |
(e) | Fair valued by the Funds adviser. At September 30, 2020, the value of these securities amounted to $8,650,256 or 0.7% of net assets. |
(f) | Illiquid security. |
(g) | Securities subject to restriction on resale. At September 30, 2020, the restricted securities held by the Fund are as follows: |
Acquisition Date | Acquisition Cost | Value | % of Net Assets | |||||||||||||
ECAF I Blocker Ltd. |
6/18/2015 | $ | 9,000,000 | $ | 1,043,100 | 0.1 | % | |||||||||
GCA2014 Holdings Ltd., Series 2014-1, Class C |
12/18/2014 | 2,245,679 | 756,434 | 0.1 | % | |||||||||||
GCA2014 Holdings Ltd., Series 2014-1, Class D |
12/18/2014 | 1,009,036 | 115,504 | 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 Funds pricing policies and procedures. At September 30, 2020, the value of these securities amounted to $6,803,932 or 0.6% of net assets. | |||||||
(j) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |||||||
(k) | 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 Funds 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 Funds ability to dispose of the underlying securities. As of September 30, 2020, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. | |||||||
(l) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||||||
(m) | 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, 2020, the value of Rule 144A holdings amounted to $580,236,743 or 48.5% of net assets. | |||||||
ABS | Asset-Backed Securities | |||||||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | |||||||
ARS | Auction Rate Security | |||||||
EMTN | Euro Medium Term Note | |||||||
EURIBOR | Euro Interbank Offered Rate | |||||||
JIBAR | Johannesburg Interbank Agreed Rate | |||||||
LIBOR | London Interbank Offered Rate | |||||||
MTN | Medium Term Note | |||||||
REITs | Real Estate Investment Trusts | |||||||
SAFEX | South African Futures Exchange | |||||||
SLM | Sallie Mae | |||||||
ARS | Argentine Peso | |||||||
CAD | Canadian Dollar | |||||||
COP | Colombian Peso | |||||||
EUR | Euro | |||||||
GBP | British Pound | |||||||
ZAR | South African Rand |
Swap Agreements
The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the protection buyer and protection seller) to exchange the credit risk of an issuer (reference obligation) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (fees) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
Swap agreements are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swaps). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the CCP) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as variation margin, are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds 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, 2020, 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 | 550,000 EUR | $ | (175 | ) | $ | (11,880 | ) | $ | (11,705 | ) | ||||||||||||||
Barclyas Bank PLC |
United Mexican States | (1.00 | %) | 12/20/2025 | 21,525,000 | 336,661 | 532,052 | 195,391 | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
|
China Government International Bond |
|
(1.00 | %) | 12/20/2025 | 21,450,000 | $ | (643,301 | ) | $ | (564,930 | ) | $ | 78,371 | |||||||||||||
Morgan Stanley Capital Services, Inc. |
Enel SpA | (1.00 | %) | 12/20/2023 | 6,115,000 EUR | 26,489 | (143,617 | ) | (170,106 | ) | ||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||||
Total |
$ | (188,375 | ) | $ | 91,951 | |||||||||||||||||||||||
|
|
|
|
At September 30, 2020, the Fund had the following open centrally cleared interest rate swap agreements:
Notional |
Currency | Expiration Date |
Fund Pays1 | Fund Receives1 | Market Value | Unrealized Appreciation (Depreciation)2 |
||||||||||||||||||
330,000,000 |
ZAR | 5/07/2030 | 7.580 | % | |
3-month SAFEX-JIBAR |
|
$ | (1,054,299 | ) | $ | (1,055,774 | ) | |||||||||||
|
|
|
|
At September 30, 2020, the Fund had the following open centrally cleared credit default swap agreements:
Sell Protection
Reference |
(Pay)/ Receive Fixed Rate |
Expiration Date |
Implied Credit Spread^ |
Notional Value() |
Unamortized Up Front Premium Paid/(Received) |
Market Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
CDX.NA HY* Series 35 500, 5-Year |
5.00 | % | 12/20/2025 | 4.09 | % | $ | 98,520,000 | $ | 4,084,294 | $ | 4,173,592 | $ | 89,298 | |||||||||||||||
|
|
|
|
|
|
() | Notional value stated in U.S. dollars unless otherwise noted. |
1 | Payments are made quarterly. |
2 | Differences between unrealized appreciation (depreciation) and market value, if any, are due to interest booked as part of the initial trades. |
^ | Implied credit spreads, represented in absolute terms, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
* | CDX.NA.HY is an index composed of North American high yield credit default swaps. |
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 Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds or counterpartys net obligations under the contracts.
At September 30, 2020, 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. |
10/23/2020 | CAD | S | 3,020,000 | $ | 2,245,632 | $ | 2,268,187 | $ | (22,555 | ) | |||||||||||||||||
Bank of America, N.A. |
10/23/2020 | EUR | S | 1,665,000 | 1,909,640 | 1,952,975 | (43,335 | ) | ||||||||||||||||||||
Barclays Bank plc |
10/23/2020 | EUR | S | 1,955,000 | 2,242,385 | 2,293,133 | (50,748 | ) | ||||||||||||||||||||
Deutsche Bank AG |
10/30/2020 | GBP | S | 1,400,000 | 1,819,087 | 1,806,753 | 12,334 | |||||||||||||||||||||
HSBC Bank USA |
11/13/2020 | EUR | S | 590,000 | 695,861 | 692,346 | 3,515 | |||||||||||||||||||||
JPMorgan Chase Bank N.A. |
10/06/2020 | EUR | B | 4,900,000 | 5,764,921 | 5,745,480 | (19,441 | ) | ||||||||||||||||||||
JPMorgan Chase Bank N.A. |
10/06/2020 | EUR | S | 4,900,000 | 5,515,651 | 5,745,480 | (229,829 | ) | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
10/08/2020 | COP | B | 8,340,415,000 | 2,248,393 | 2,178,668 | (69,725 | ) | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
10/08/2020 | COP | S | 18,400,000,000 | 4,914,530 | 4,806,415 | 108,115 | |||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
12/16/2020 | EUR | B | 1,550,000 | 1,839,417 | 1,820,360 | (19,057 | ) | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
12/16/2020 | EUR | S | 1,550,000 | 1,845,154 | 1,820,360 | 24,794 | |||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
12/31/2020 | EUR | S | 1,480,000 | 1,730,898 | 1,738,938 | (8,040 | ) | ||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
10/30/2020 | ZAR | S | 315,790,000 | 18,950,205 | 18,790,341 | 159,864 | |||||||||||||||||||||
Standard Chartered Bank |
10/02/2020 | EUR | B | 5,280,000 | 6,177,336 | 6,190,535 | 13,199 | |||||||||||||||||||||
Standard Chartered Bank |
10/02/2020 | EUR | S | 5,280,000 | 5,936,700 | 6,190,535 | (253,835 | ) | ||||||||||||||||||||
Standard Chartered Bank |
1/04/2021 | EUR | S | 5,280,000 | 6,191,201 | 6,204,527 | (13,326 | ) | ||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Total |
$ | (408,070 | ) | |||||||||||||||||||||||||
|
|
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 Funds 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 Funds 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, 2020, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
Ultra Long U.S. Treasury Bond |
12/21/2020 | 78 | $ | 17,302,910 | $ | 17,301,375 | $ | 1,535 | ||||||||||||
|
|
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 Funds 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 Funds 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 Funds investments as of September 30, 2020, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
ABS Home Equity |
$ | | $ | 88,283,360 | $ | 2,176,514 | (a) | $ | 90,459,874 | |||||||
ABS Other |
| 61,132,036 | 1,483,426 | (b)(c) | 62,615,462 | |||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
| 34,173,477 | 4,554,880 | (a) | 38,728,357 | |||||||||||
All Other Non-Convertible Bonds* |
| 654,371,297 | | 654,371,297 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 837,960,170 | 8,214,820 | 846,174,990 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 18,111,462 | | 18,111,462 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 856,071,632 | 8,214,820 | 864,286,452 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 2,506,254 | | 2,506,254 | ||||||||||||
Collateralized Loan Obligations |
| 60,914,687 | | 60,914,687 | ||||||||||||
Loan Participations* |
| | 504,202 | (d) | 504,202 | |||||||||||
Common Stocks |
||||||||||||||||
Chemicals |
| 1,376,960 | | 1,376,960 | ||||||||||||
Oil, Gas & Consumable Fuels |
1,167,994 | | 3,824 | (a) | 1,171,818 | |||||||||||
Textiles, Apparel & Luxury Goods |
| 577,389 | | 577,389 | ||||||||||||
All Other Common Stocks* |
22,530,781 | | | 22,530,781 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
23,698,775 | 1,954,349 | 3,824 | 25,656,948 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks |
||||||||||||||||
Energy |
| | | (c) | | |||||||||||
Food & Beverage |
| 4,048,655 | | 4,048,655 | ||||||||||||
All Other Convertible Preferred Stocks* |
4,242,044 | | | 4,242,044 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
4,242,044 | 4,048,655 | | 8,290,699 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Non-Convertible Preferred Stocks* |
| 4,080,400 | | 4,080,400 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
4,242,044 | 8,129,055 | | 12,371,099 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Other Investments* |
| | 1,043,100 | (a) | 1,043,100 | |||||||||||
Short-Term Investments |
| 196,734,795 | | 196,734,795 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
27,940,819 | 1,126,310,772 | 9,765,946 | 1,164,017,537 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Bilateral Credit Default Swap Agreements (unrealized appreciation) |
| 273,762 | | 273,762 | ||||||||||||
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) |
| 89,298 | | 89,298 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 321,821 | | 321,821 | ||||||||||||
Futures Contracts (unrealized appreciation) |
1,535 | | | 1,535 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 27,942,354 | $ | 1,126,995,653 | $ | 9,765,946 | $ | 1,164,703,953 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs
|
| |||||||||||||||
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options* |
$ | (37,399 | ) | $ | | $ | | $ | (37,399 | ) | ||||||
Bilateral Credit Default Swap Agreements (unrealized depreciation) |
| (181,811 | ) | | (181,811 | ) | ||||||||||
Centrally Cleared Interest Rate Swap Agreements (unrealized depreciation) |
| (1,055,774 | ) | | (1,055,774 | ) | ||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
| (729,891 | ) | | (729,891 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (37,399 | ) | $ | (1,967,476 | ) | $ | | $ | (2,004,875 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Fair valued by the Funds adviser. |
(b) | Fair valued by the Funds adviser using a broker dealer bid price provided by a single market maker ($871,938) or valued using broker-dealer bid prices ($611,488). |
(c) | Includes securities fair valued at zero by the Funds adviser using level 3 inputs. |
(d) | Valued using broker-dealer bid prices. |
The Funds pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Funds adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds 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, 2019 and/or September 30, 2020:
Asset Valuation Inputs
Investments in |
Balance as of December 31, 2019 |
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, 2020 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2020 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
ABS Home Equity |
$ | 801,522 | $ | | $ | 15,597 | $ | (87,190 | ) | $ | | $ | (467,901 | ) | $ | 1,914,486 | $ | | $ | 2,176,514 | $ | (80,442 | ) | |||||||||||||||||
ABS Other |
2,337,230 | (a) | | 54 | (1,732,765 | ) | 176,688 | (160,320 | ) | 862,539 | | 1,483,426 | (a) | (1,732,765 | ) | |||||||||||||||||||||||||
Independent Energy |
523,200 | (a) | 22,686 | (1,472,185 | ) | 926,299 | | | | | | | ||||||||||||||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
2,770,066 | | | (2,870,455 | ) | | | 4,655,269 | | 4,554,880 | (2,870,455 | ) | ||||||||||||||||||||||||||||
Collateralized Loan Obligations |
475,000 | | | | | | | (475,000 | ) | | | |||||||||||||||||||||||||||||
Loan Participations |
||||||||||||||||||||||||||||||||||||||||
ABS Other |
| 113 | 14,430 | (574,292 | ) | | (3,939,608 | ) | 5,003,559 | | 504,202 | (574,292 | ) | |||||||||||||||||||||||||||
Common Stock |
||||||||||||||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels |
| (a) | | (439,290 | ) | 434,730 | | | 8,384 | | 3,824 | (4,559 | ) | |||||||||||||||||||||||||||
Preferred Stocks |
||||||||||||||||||||||||||||||||||||||||
Energy |
293,900 | | | (293,900 | ) | | | | | | (a) | (293,900 | ) | |||||||||||||||||||||||||||
Other Investments |
||||||||||||||||||||||||||||||||||||||||
Aircraft ABS |
7,776,000 | | | (6,732,900 | ) | | | | | 1,043,100 | (6,732,900 | ) | ||||||||||||||||||||||||||||
Equity Linked Notes |
688,113 | | 36,124 | (30,859 | ) | | (693,378 | ) | | | | | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 15,665,031 | $ | 22,799 | $ | (1,845,270 | ) | $ | (10,961,332 | ) | $ | 176,688 | $ | (5,261,207 | ) | $ | 12,444,237 | $ | (475,000 | ) | $ | 9,765,946 | $ | (12,289,313 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Includes securities fair valued at zero using level 3 inputs. |
Debt securities valued at $6,569,755 were transferred from Level 2 to Level 3 during the period ended September 30, 2020. At December 31, 2019, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies. At September 30, 2020, these securities were valued at fair value as determined in good faith by the Funds adviser as an independent pricing service did not provide a reliable price for the securities.
A debt security valued at $862,539 was transferred from Level 2 to Level 3 during the period ended September 30, 2020. At December 31, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies. At September 30, 2020, 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.
A debt security valued at $475,000 was transferred from Level 3 to Level 2 during the period ended September 30, 2020. At December 31, 2019, 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, 2020 this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies.
A debt security valued at $5,003,559 was transferred from Level 2 to Level 3 during the period ended September 30, 2020. At December 31, 2019, this security was valued at a bid price furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies. At September 30, 2020, 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.
A common stock valued at $8,384 was transferred from Level 1 to Level 3 during the period ended September 30, 2020. At December 31, 2019, this security was valued at the market price in the in accordance with the Funds valuation policies. At September 30, 2020, this security was valued at fair value as determined in good faith by the Funds investment adviser as an independent pricing service was unable to price the security.
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, 2020, the Fund used futures, forward foreign currency contracts, option contracts, interest rate swap agreements 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 Funds holdings of foreign securities. During the period ended September 30, 2020, the Fund engaged in forward foreign currency 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 seller, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. During the period ended September 30, 2020, the Fund engaged in credit default swap agreements (as a protection seller) to hedge its credit exposure.
The Fund is subject to the risk that changes in interest rates will affect the value of the Funds investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts and interest rate swap agreements to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended September 30, 2020, the Fund engaged in interest rate swap agreements for hedging purposes.
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, 2020, 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, 2020:
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 |
$ | 321,821 | $ | | $ | | $ | 321,821 | ||||||||
Credit contracts |
| | 532,052 | 532,052 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total over-the counter asset derivatives |
$ | 321,821 | $ | | $ | 532,052 | $ | 853,873 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Exchange-traded/cleared asset derivatives |
| |||||||||||||||
Interest rate contracts |
$ | | $ | 1,535 | $ | | $ | 1,535 | ||||||||
Credit contracts |
| | 4,173,592 | 4,173,592 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total exchange-traded/cleared asset derivatives |
$ | | $ | 1,535 | $ | 4,173,592 | $ | 4,175,127 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total asset derivatives |
$ | 321,821 | $ | 1,535 | $ | 4,705,644 | $ | 5,029,000 | ||||||||
|
|
|
|
|
|
|
|
Liabilities |
Options written at value |
Unrealized depreciation on forward foreign currency contracts |
Swap agreements at value |
Total | ||||||||||||
Over-the-counter liability derivatives |
||||||||||||||||
Foreign exchange contracts |
$ | | $ | (729,891 | ) | $ | | $ | (729,891 | ) | ||||||
Credit contracts |
| | (720,427 | ) | (720,427 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total over-the counter liability derivatives |
$ | | $ | (729,891 | ) | $ | (720,427 | ) | $ | (1,450,318 | ) | |||||
|
|
|
|
|
|
|
|
|||||||||
Exchange-traded/cleared liability derivatives |
| |||||||||||||||
Interest rate contracts |
$ | | $ | | $ | (1,054,299 | ) | $ | (1,054,299 | ) | ||||||
Equity contracts |
(37,399 | ) | | | (37,399 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total exchange-traded/cleared liability derivatives |
$ | (37,399 | ) | $ | | $ | (1,054,299 | ) | $ | (1,091,698 | ) | |||||
|
|
|
|
|
|
|
|
|||||||||
Total liability derivatives |
$ | (37,399 | ) | $ | (729,891 | ) | $ | (1,774,726 | ) | $ | (2,542,016 | ) | ||||
|
|
|
|
|
|
|
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The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
OTC derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (ISDA) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Funds 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, 2020, 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. |
$ | (77,770 | ) | $ | | |||
JPMorgan Chase Bank N.A. |
(249,270 | ) | | |||||
Morgan Stanley Capital Services, Inc. |
(512,596 | ) | 384,345 | |||||
Standard Chartered Bank |
(253,962 | ) | |
Counterparty risk is managed based on policies and procedures established by the Funds 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 Funds risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Funds 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 $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2020:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
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$ 24,400,437 |
$ | 23,209,372 |
Net loss amount reflects cash received as collateral of $450,000.
Industry Summary at September 30, 2020 (Unaudited) |
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ABS Home Equity |
7.6 | % | ||
ABS Car Loan |
7.4 | |||
ABS Other |
5.2 | |||
Technology |
4.4 | |||
Finance Companies |
3.3 | |||
Non-Agency Commercial Mortgage-Backed Securities |
3.2 | |||
Cable Satellite |
3.1 | |||
Aerospace & Defense |
3.1 | |||
Banking |
2.7 | |||
Consumer Cyclical Services |
2.6 | |||
Automotive |
2.6 | |||
Pharmaceuticals |
2.1 | |||
Other Investments, less than 2% each |
28.4 | |||
Short-Term Investments |
16.5 | |||
Collateralized Loan Obligations |
5.1 | |||
Total Investments |
97.3 | |||
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Other assets less liabilities (including open written options, swap agreements, forward foreign currency and futures contracts) |
2.7 | |||
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Net Assets |
100.0 | % | ||
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