NPORT-EX 2 NPORT_IAH3_95453881_0923.htm EDGAR HTML
Portfolio of Investments – as of September 30, 2023 (Unaudited)
Loomis Sayles Strategic Alpha Fund
 
Principal
Amount (‡)
Description
Value (†)
Bonds and Notes — 82.0% of Net Assets
Non-Convertible Bonds — 77.4%
ABS Car Loan — 5.2%
$2,660,000
American Credit Acceptance Receivables
Trust, Series 2020-4, Class D,
1.770%, 12/14/2026(a)
$2,605,206
405,000
American Credit Acceptance Receivables
Trust, Series 2023-3, Class D,
6.820%, 10/12/2029(a)
404,601
126,966
Avid Automobile Receivables Trust,
Series 2019-1, Class C, 3.140%, 7/15/2026(a)
126,841
1,035,000
Avid Automobile Receivables Trust,
Series 2019-1, Class D, 4.030%, 7/15/2026(a)
1,028,949
2,360,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2020-1A, Class C, 3.020%, 8/20/2026(a)
2,192,657
1,800,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2020-2A, Class C, 4.250%, 2/20/2027(a)
1,683,268
220,000
Avis Budget Rental Car Funding AESOP LLC,
Series 2023-8A, Class C, 7.340%, 2/20/2030(a)
218,633
610,000
Carvana Auto Receivables Trust,
Series 2021-N4, Class D, 2.300%, 9/11/2028
580,261
260,000
Carvana Auto Receivables Trust,
Series 2023-N1, Class D, 6.690%, 7/10/2029(a)
254,173
1,180,000
Credit Acceptance Auto Loan Trust,
Series 2020-3A, Class C, 2.280%, 2/15/2030(a)
1,159,550
1,110,000
DT Auto Owner Trust, Series 2020-3A, Class D,
1.840%, 6/15/2026(a)
1,055,807
2,290,000
DT Auto Owner Trust, Series 2022-2A, Class D,
5.460%, 3/15/2028(a)
2,216,499
665,000
DT Auto Owner Trust, Series 2023-3A, Class D,
7.120%, 5/15/2029(a)
669,447
870,597
Exeter Automobile Receivables Trust,
Series 2020-2A, Class D, 4.730%, 4/15/2026(a)
865,813
498,426
First Investors Auto Owner Trust,
Series 2019-2A, Class D, 2.800%, 12/15/2025(a)
495,641
1,475,000
First Investors Auto Owner Trust,
Series 2019-2A, Class E, 3.880%, 1/15/2026(a)
1,465,862
2,211,830
Flagship Credit Auto Trust, Series 2019-2,
Class D, 3.530%, 5/15/2025(a)
2,185,206
105,000
Flagship Credit Auto Trust, Series 2023-3,
Class D, 6.580%, 8/15/2029(a)
104,102
285,000
Ford Credit Auto Lease Trust, Series 2023-B,
Class D, 6.970%, 6/15/2028
283,706
460,000
Ford Credit Auto Owner Trust, Series 2023-2,
Class D, 6.600%, 2/15/2036(a)
466,167
3,120,000
GLS Auto Receivables Issuer Trust,
Series 2021-4A, Class D, 2.480%, 10/15/2027(a)
2,879,016
230,000
GLS Auto Receivables Issuer Trust,
Series 2023-3A, Class D, 6.440%, 5/15/2029(a)
227,294
1,889,000
Hertz Vehicle Financing III LLC, Series 2022-1A,
Class D, 4.850%, 6/25/2026(a)
1,767,381
1,493,000
Hertz Vehicle Financing III LLC, Series 2022-3A,
Class D, 6.310%, 3/25/2025(a)
1,481,001
360,000
Hertz Vehicle Financing III LLC, Series 2023-1A,
Class D2, 9.130%, 6/25/2027(a)
355,357
740,000
Hertz Vehicle Financing III LLC, Series 2023-2A,
Class D, 9.400%, 9/25/2029(a)
744,221
990,000
Hertz Vehicle Financing LLC, Series 2022-2A,
Class D, 5.160%, 6/26/2028(a)
855,232
1,050,000
Hertz Vehicle Financing LLC, Series 2022-4A,
Class D, 6.560%, 9/25/2026(a)
1,002,475
Principal
Amount (‡)
Description
Value (†)
ABS Car Loan — continued
$910,000
Prestige Auto Receivables Trust,
Series 2019-1A, Class E, 3.900%, 5/15/2026(a)
$904,508
1,675,000
Westlake Automobile Receivables Trust,
Series 2020-3A, Class D, 1.650%, 2/17/2026(a)
1,625,947
1,920,000
Westlake Automobile Receivables Trust,
Series 2022-2A, Class D, 5.480%, 9/15/2027(a)
1,888,381
635,000
Westlake Automobile Receivables Trust,
Series 2023-3A, Class D, 6.470%, 3/15/2029(a)
628,009
 
34,421,211
ABS Credit Card — 0.2%
625,000
Mission Lane Credit Card Master Trust,
7.690%, 11/15/2028(a)
624,911
420,000
Mission Lane Credit Card Master Trust,
Series 2023-A, Class A, 7.230%, 7/17/2028(a)
416,718
 
1,041,629
ABS Home Equity — 7.4%
300,000
American Homes 4 Rent Trust,
Series 2014-SFR2, Class D,
5.149%, 10/17/2036(a)
294,647
2,170,000
American Homes 4 Rent Trust,
Series 2014-SFR2, Class E,
6.231%, 10/17/2036(a)
2,147,426
1,200,000
American Homes 4 Rent Trust,
Series 2014-SFR3, Class E,
6.418%, 12/17/2036(a)
1,189,828
198,256
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1, 5.500%, 10/25/2033
187,394
173,918
Banc of America Funding Trust, Series 2005-7,
Class 3A1, 5.750%, 11/25/2035
165,901
90,859
Banc of America Funding Trust, Series 2007-4,
Class 5A1, 5.500%, 11/25/2034
75,254
2,315,000
BINOM Securitization Trust, Series 2022-RPL1,
Class M1, 3.000%, 2/25/2061(a)(b)
1,612,062
28,860
CHL Mortgage Pass-Through Trust,
Series 2004-HYB4, Class 2A1,
5.192%, 9/20/2034(b)(c)
24,861
1,445,579
CIM Trust, Series 2021-NR2, Class A1,
2.568%, 7/25/2059(a)(b)
1,390,951
1,830,000
CoreVest American Finance Ltd., Series 2019-2,
Class B, 3.424%, 6/15/2052(a)
1,647,014
245,000
CoreVest American Finance Ltd., Series 2020-2,
Class C, 4.750%, 5/15/2052(a)(b)
222,888
1,340,000
CoreVest American Finance Ltd., Series 2020-4,
Class C, 2.250%, 12/15/2052(a)
1,054,890
242,350
Countrywide Alternative Loan Trust,
Series 2003-22CB, Class 1A1,
5.750%, 12/25/2033
233,694
110,514
Countrywide Alternative Loan Trust,
Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034
104,921
116,861
Countrywide Alternative Loan Trust,
Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034
111,242
215,833
Countrywide Alternative Loan Trust,
Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034
208,258
2,351
Countrywide Alternative Loan Trust,
Series 2005-J1, Class 2A1, 5.500%, 2/25/2025(c)
2,191
1,125,420
Credit Suisse Mortgage Trust,
Series 2020-RPL3, Class A1,
2.691%, 3/25/2060(a)(b)
1,049,039
1,853,094
Credit Suisse Mortgage Trust,
Series 2021-RPL4, Class A1,
1.796%, 12/27/2060(a)(b)
1,725,247
Principal
Amount (‡)
Description
Value (†)
ABS Home Equity — continued
$103,869
CSFB Mortgage-Backed Pass-Through
Certificates, Series 2003-27, Class 4A4,
5.750%, 11/25/2033
$98,864
333,247
DSLA Mortgage Loan Trust, Series 2005-AR5,
Class 2A1A, 1 mo. USD SOFR + 0.774%,
6.102%, 9/19/2045(d)
175,570
844,799
Federal Home Loan Mortgage Corp.,
Series 2022-DNA4, Class M1A, REMIC, 30 day
USD SOFR Average + 2.200%,
7.515%, 5/25/2042(a)(d)
853,711
312,060
Federal National Mortgage Association
Connecticut Avenue Securities,
Series 2020-R01, Class 1M2, 30 day USD SOFR
Average + 2.164%, 7.479%, 1/25/2040(a)(d)
313,037
1,118,866
Federal National Mortgage Association
Connecticut Avenue Securities,
Series 2022-R06, Class 1M1, 30 day USD SOFR
Average + 2.750%, 8.065%, 5/25/2042(a)(d)
1,146,881
255,000
Federal National Mortgage Association
Connecticut Avenue Securities,
Series 2023-R06, Class 1M2, 30 day USD SOFR
Average + 2.700%, 8.015%, 7/25/2043(a)(d)
256,912
1,715,000
FirstKey Homes Trust, Series 2020-SFR1,
Class E, 2.791%, 8/17/2037(a)
1,575,917
4,165,000
FirstKey Homes Trust, Series 2020-SFR2,
Class E, 2.668%, 10/19/2037(a)
3,790,969
182,482
GCAT Trust, Series 2019-RPL1, Class A1,
2.650%, 10/25/2068(a)(b)
169,853
648,999
GITSIT Mortgage Loan Trust,
Series 2023-NPL1, Class A1,
8.353%, 5/25/2053(a)(b)
646,281
231,584
Home Partners of America Trust, Series 2021-1,
Class E, 2.577%, 9/17/2041(a)
178,847
362,785
IndyMac INDX Mortgage Loan Trust,
Series 2004-AR7, Class A5, 1 mo. USD SOFR +
1.334%, 6.654%, 9/25/2034(d)
285,636
567,305
JP Morgan Mortgage Trust, Series 2004-S1,
Class 2A1, 6.000%, 9/25/2034
538,525
1,258,077
Legacy Mortgage Asset Trust,
Series 2020-GS1, Class A1,
5.882%, 10/25/2059(a)(b)
1,250,546
255,712
Lehman XS Trust, Series 2006-2N, Class 1A1,
1 mo. USD SOFR + 0.634%, 5.954%, 2/25/2046(d)
198,195
181,107
MASTR Adjustable Rate Mortgages Trust,
Series 2004-4, Class 5A1, 5.750%, 5/25/2034(b)
171,390
136,347
MASTR Alternative Loan Trust, Series 2003-9,
Class 4A1, 5.250%, 11/25/2033
128,334
104,736
MASTR Alternative Loan Trust, Series 2004-5,
Class 1A1, 5.500%, 6/25/2034
100,262
124,329
MASTR Alternative Loan Trust, Series 2004-5,
Class 2A1, 6.000%, 6/25/2034
120,612
382,274
MASTR Alternative Loan Trust, Series 2004-8,
Class 2A1, 6.000%, 9/25/2034
359,490
17,811
Merrill Lynch Mortgage Investors Trust,
Series 2006-2, Class 2A, 5.007%, 5/25/2036(b)(c)
16,340
245,000
Mill City Mortgage Loan Trust,
Series 2021-NMR1, Class M2,
2.500%, 11/25/2060(a)(b)
190,733
252,760
Morgan Stanley Mortgage Loan Trust,
Series 2005-7, Class 4A2, 5.500%, 11/25/2035
161,767
483,775
Morgan Stanley Mortgage Loan Trust,
Series 2005-7, Class 7A5, 5.500%, 11/25/2035
425,534
Principal
Amount (‡)
Description
Value (†)
ABS Home Equity — continued
$1,005,000
Progress Residential Trust, Series 2019-SFR3,
Class D, 2.871%, 9/17/2036(a)
$966,270
785,000
Progress Residential Trust, Series 2020-SFR3,
Class E, 2.296%, 10/17/2027(a)
711,324
795,000
Progress Residential Trust, Series 2021-SFR2,
Class E2, 2.647%, 4/19/2038(a)
695,687
570,000
Progress Residential Trust, Series 2021-SFR3,
Class E1, 2.538%, 5/17/2026(a)
497,351
470,000
Progress Residential Trust, Series 2021-SFR3,
Class E2, 2.688%, 5/17/2026(a)
409,231
930,000
Progress Residential Trust, Series 2021-SFR5,
Class E1, 2.209%, 7/17/2038(a)
798,134
400,000
Progress Residential Trust, Series 2021-SFR5,
Class E2, 2.359%, 7/17/2038(a)
343,357
585,000
Progress Residential Trust, Series 2021-SFR6,
Class E2, 2.525%, 7/17/2038(a)
505,291
415,000
Progress Residential Trust, Series 2021-SFR7,
Class E2, 2.640%, 8/17/2040(a)
326,435
235,000
Progress Residential Trust, Series 2023-SFR2,
Class D, 4.500%, 10/17/2028(a)
210,116
810,386
PRPM LLC, Series 2021-2, Class A1,
2.115%, 3/25/2026(a)(b)
777,272
2,605,176
PRPM LLC, Series 2021-4, Class A1,
1.867%, 4/25/2026(a)(b)
2,394,399
1,521,919
PRPM LLC, Series 2021-9, Class A1,
2.363%, 10/25/2026(a)(b)
1,418,311
1,683,472
Structured Adjustable Rate Mortgage Loan
Trust, Series 2005-14, Class A1, 1 mo. USD
SOFR + 0.424%, 5.744%, 7/25/2035(d)
1,014,858
3,313,664
Towd Point Mortgage Trust, Series 2019-4,
Class A1, 2.900%, 10/25/2059(a)(b)
3,036,221
1,040,000
Tricon American Homes, Series 2020-SFR1,
Class E, 3.544%, 7/17/2038(a)
950,363
1,170,000
Tricon American Homes Trust,
Series 2020-SFR2, Class E1,
2.730%, 11/17/2039(a)
988,157
280,251
VCAT LLC, Series 2021-NPL1, Class A1,
2.289%, 12/26/2050(a)(b)
271,171
829,070
VCAT LLC, Series 2021-NPL5, Class A1,
1.868%, 8/25/2051(a)(b)
781,048
844,024
VOLT XCII LLC, Series 2021-NPL1, Class A1,
1.893%, 2/27/2051(a)(b)
793,350
2,361,144
VOLT XCIII LLC, Series 2021-NPL2, Class A1,
1.893%, 2/27/2051(a)(b)
2,193,543
1,280,380
VOLT XCIV LLC, Series 2021-NPL3, Class A1,
2.240%, 2/27/2051(a)(b)
1,206,435
1,384,353
VOLT XCVI LLC, Series 2021-NPL5, Class A1,
2.116%, 3/27/2051(a)(b)
1,310,005
 
49,200,243
ABS Other — 3.9%
1,598,142
AASET Trust, Series 2021-1A, Class A,
2.950%, 11/16/2041(a)
1,406,397
318,172
Accelerated Assets LLC, Series 2018-1,
Class B, 4.510%, 12/02/2033(a)
307,181
625,000
Affirm Asset Securitization Trust,
Series 2023-B, Class A, 6.820%, 9/15/2028(a)
624,189
2,218,114
AIM Aviation Finance Ltd., Series 2015-1A,
Class B1, 7.072%, 2/15/2040(a)(b)
330,759
260,875
Aqua Finance Trust, Series 2019-A, Class C,
4.010%, 7/16/2040(a)
235,932
2,340,000
BHG Securitization Trust, Series 2022-A,
Class B, 2.700%, 2/20/2035(a)
2,109,353
Principal
Amount (‡)
Description
Value (†)
ABS Other — continued
$779,828
Blackbird Capital Aircraft Lease Securitization
Ltd., Series 2016-1A, Class A,
4.213%, 12/16/2041(a)(b)
$717,965
335,067
Castlelake Aircraft Structured Trust,
Series 2018-1, Class B, 5.300%, 6/15/2043(a)
245,015
354,786
Diamond Resorts Owner Trust, Series 2019-1A,
Class B, 3.530%, 2/20/2032(a)
345,838
140,000
Foundation Finance Trust, Series 2023-2A,
Class D, 9.100%, 6/15/2049(a)
139,971
145,499
FREED ABS Trust, Series 2021-2, Class C,
1.940%, 6/19/2028(a)
143,387
2,800,000
Frontier Issuer LLC, Series 2023-1, Class A2,
6.600%, 8/20/2053(a)
2,675,428
168,462
Hilton Grand Vacations Trust, Series 2018-AA,
Class C, 4.000%, 2/25/2032(a)
161,150
374,444
Horizon Aircraft Finance I Ltd., Series 2018-1,
Class A, 4.458%, 12/15/2038(a)
320,632
834,705
Horizon Aircraft Finance III Ltd., Series 2019-2,
Class A, 3.425%, 11/15/2039(a)
659,066
150,000
HPEFS Equipment Trust, Series 2023-2A,
Class D, 6.970%, 7/21/2031(a)
150,390
1,394,000
Kestrel Aircraft Funding Ltd., Series 2018-1A,
Class A, 4.250%, 12/15/2038(a)
1,205,071
715,569
MAPS Ltd., Series 2018-1A, Class A,
4.212%, 5/15/2043(a)
643,863
1,087,378
MAPS Ltd., Series 2018-1A, Class B,
5.193%, 5/15/2043(a)
813,461
310,000
Marlette Funding Trust, Series 2021-2A,
Class C, 1.500%, 9/15/2031(a)
298,869
84,315
Merlin Aviation Holdings DAC, Series 2016-1,
Class A, 4.500%, 12/15/2032(a)(b)
73,475
153,095
MVW LLC, Series 2020-1A, Class C,
4.210%, 10/20/2037(a)
144,677
147,586
MVW Owner Trust, Series 2019-1A, Class C,
3.330%, 11/20/2036(a)
139,124
730,000
Navient Private Education Refi Loan Trust,
Series 2020-HA, Class B, 2.780%, 1/15/2069(a)
576,987
1,110,000
OneMain Financial Issuance Trust,
Series 2020-1A, Class B, 4.830%, 5/14/2032(a)
1,103,072
1,020,000
OneMain Financial Issuance Trust,
Series 2020-2A, Class C, 2.760%, 9/14/2035(a)
879,289
810,000
OneMain Financial Issuance Trust,
Series 2021-1A, Class D, 2.470%, 6/16/2036(a)
646,885
547,384
Sierra Timeshare Receivables Funding LLC,
Series 2020-2A, Class C, 3.510%, 7/20/2037(a)
519,029
187,326
Sierra Timeshare Receivables Funding LLC,
Series 2023-1A, Class C, 7.000%, 1/20/2040(a)
184,389
172,368
Sierra Timeshare Receivables Funding LLC,
Series 2023-2A, Class C, 7.300%, 4/20/2040(a)
170,604
928,152
Slam Ltd., Series 2021-1A, Class B,
3.422%, 6/15/2046(a)
775,025
1,458,040
SpringCastle America Funding LLC,
Series 2020-AA, Class A, 1.970%, 9/25/2037(a)
1,320,863
192,131
Sunnova Helios XII Issuer LLC, Series 2023-B,
Class B, 5.600%, 8/22/2050(a)
178,955
289,671
Textainer Marine Containers VII Ltd.,
Series 2020-1A, Class A, 2.730%, 8/21/2045(a)
263,113
3,416,750
TIF Funding II LLC, Series 2021-1A, Class A,
1.650%, 2/20/2046(a)
2,828,148
1,712,903
WAVE Trust, Series 2017-1A, Class A,
3.844%, 11/15/2042(a)
1,376,952
499,165
Willis Engine Structured Trust IV,
Series 2018-A, Class A, 4.750%, 9/15/2043(a)(b)
420,566
Principal
Amount (‡)
Description
Value (†)
ABS Other — continued
$693,051
Willis Engine Structured Trust V, Series 2020-A,
Class A, 3.228%, 3/15/2045(a)
$587,098
229,097
Willis Engine Structured Trust VI,
Series 2021-A, Class A, 3.104%, 5/15/2046(a)
183,715
 
25,905,883
ABS Student Loan — 2.0%
614,765
College Avenue Student Loans LLC,
Series 2021-A, Class D, 4.120%, 7/25/2051(a)
567,292
156,265
Commonbond Student Loan Trust,
Series 2021-AGS, Class B, 1.400%, 3/25/2052(a)
120,189
911,525
Education Funding Trust, Series 2020-A,
Class A, 2.790%, 7/25/2041(a)
835,608
1,013,971
Navient Private Education Refi Loan Trust,
Series 2018-A, Class B, 3.680%, 2/18/2042(a)
957,150
1,775,000
Navient Private Education Refi Loan Trust,
Series 2018-CA, Class B, 4.220%, 6/16/2042(a)
1,642,745
3,410,000
Navient Private Education Refi Loan Trust,
Series 2019-FA, Class B, 3.120%, 8/15/2068(a)
2,719,800
695,000
Navient Private Education Refi Loan Trust,
Series 2019-GA, Class B, 3.080%, 10/15/2068(a)
551,669
320,000
Navient Private Education Refi Loan Trust,
Series 2020-DA, Class B, 3.330%, 5/15/2069(a)
251,698
1,290,000
Navient Private Education Refi Loan Trust,
Series 2020-FA, Class B, 2.690%, 7/15/2069(a)
991,845
810,000
Nelnet Student Loan Trust, Series 2021-DA,
Class B, 2.900%, 4/20/2062(a)
646,397
316,000
SLM Private Credit Student Loan Trust,
Series 2003-A, Class A3, 28 day Auction Rate
Security, 8.941%, 6/15/2032(d)
308,890
960,000
SLM Private Credit Student Loan Trust,
Series 2003-B, Class A3, 28 day Auction Rate
Security, 8.942%, 3/15/2033(d)
951,431
100,000
SLM Private Credit Student Loan Trust,
Series 2003-B, Class A4, 28 day Auction Rate
Security, 8.938%, 3/15/2033(d)
97,515
766,361
SMB Private Education Loan Trust,
Series 2015-C, Class B, 3.500%, 9/15/2043(a)
734,707
359,092
SMB Private Education Loan Trust,
Series 2017-B, Class A2B, 1 mo. USD SOFR +
0.864%, 6.197%, 10/15/2035(a)(d)
356,237
190,000
SMB Private Education Loan Trust,
Series 2018-B, Class B, 4.000%, 7/15/2042(a)
170,697
510,000
SMB Private Education Loan Trust,
Series 2018-C, Class B, 4.000%, 11/17/2042(a)
459,372
1,350,000
SoFi Professional Loan Program LLC,
Series 2020-A, Class BFX, 3.120%, 5/15/2046(a)
1,039,290
 
13,402,532
ABS Whole Business — 0.9%
1,510,000
Applebee's Funding LLC/IHOP Funding LLC,
Series 2023-1A, Class A2, 7.824%, 3/05/2053(a)
1,488,602
2,959,688
Planet Fitness Master Issuer LLC,
Series 2019-1A, Class A2, 3.858%, 12/05/2049(a)
2,486,368
966,777
Stack Infrastructure Issuer LLC,
Series 2019-1A, Class A2, 4.540%, 2/25/2044(a)
957,344
974,700
Wendy's Funding LLC, Series 2019-1A,
Class A2II, 4.080%, 6/15/2049(a)
855,869
 
5,788,183
Aerospace & Defense — 0.2%
1,470,000
Embraer Netherlands Finance BV,
7.000%, 7/28/2030(a)
1,458,175
Principal
Amount (‡)
Description
Value (†)
Airlines — 0.7%
$4,552,155
United Airlines Pass-Through Trust,
Series 2019-2, Class B, 3.500%, 11/01/2029
$4,122,659
465,480
United Airlines Pass-Through Trust,
Series 2020-1, Class B, 4.875%, 7/15/2027
447,797
 
4,570,456
Automotive — 1.9%
4,935,000
Aptiv PLC/Aptiv Corp., 2.396%, 2/18/2025
4,695,557
330,000
General Motors Co., 5.200%, 4/01/2045
256,580
2,530,000
General Motors Co., 5.400%, 4/01/2048
1,998,339
655,000
General Motors Co., 5.950%, 4/01/2049
555,551
1,365,000
General Motors Financial Co., Inc.,
1.200%, 10/15/2024
1,297,354
1,455,000
General Motors Financial Co., Inc., Series A,
(fixed rate to 9/30/2027, variable rate
thereafter), 5.750%(e)
1,171,697
1,170,000
General Motors Financial Co., Inc., Series B,
(fixed rate to 9/30/2028, variable rate
thereafter), 6.500%(e)
995,943
470,000
General Motors Financial Co., Inc., Series C,
(fixed rate to 9/30/2030, variable rate
thereafter), 5.700%(e)
401,666
510,000
ZF North America Capital, Inc.,
6.875%, 4/14/2028(a)
499,315
560,000
ZF North America Capital, Inc.,
7.125%, 4/14/2030(a)
549,136
 
12,421,138
Banking — 7.9%
2,530,000
Ally Financial, Inc., Series B, (fixed rate to
5/15/2026, variable rate thereafter), 4.700%(e)
1,736,188
2,400,000
Ally Financial, Inc., Series C, (fixed rate to
5/15/2028, variable rate thereafter), 4.700%(e)
1,502,871
2,200,000
Banco Santander SA, 5.147%, 8/18/2025
2,153,807
3,495,000
Bank of America Corp., (fixed rate to 9/15/2033,
variable rate thereafter), 5.872%, 9/15/2034
3,401,266
1,735,000
Barclays PLC, (fixed rate to 3/15/2028, variable
rate thereafter), 4.375%(e)
1,204,163
4,460,000
Barclays PLC, (fixed rate to 9/23/2030, variable
rate thereafter), 3.564%, 9/23/2035
3,443,616
6,580,000
Citigroup, Inc., (fixed rate to 1/25/2025, variable
rate thereafter), 2.014%, 1/25/2026
6,213,506
1,330,000
Citigroup, Inc., (fixed rate to 5/01/2024, variable
rate thereafter), 0.981%, 5/01/2025
1,287,191
1,345,000
Deutsche Bank AG, (fixed rate to 10/07/2031,
variable rate thereafter), 3.742%, 1/07/2033
965,164
5,280,000
Deutsche Bank AG, (fixed rate to 10/14/2030,
variable rate thereafter), 3.729%, 1/14/2032
3,930,400
7,575,000
Morgan Stanley, MTN, (fixed rate to 10/21/2024,
variable rate thereafter), 1.164%, 10/21/2025
7,150,573
6,595,000
Morgan Stanley, MTN, (fixed rate to 2/18/2025,
variable rate thereafter), 2.630%, 2/18/2026
6,277,315
3,550,000
Standard Chartered PLC, (fixed rate to
11/18/2030, variable rate thereafter),
3.265%, 2/18/2036(a)
2,695,273
1,030,000
UBS Group AG, (fixed rate to 11/15/2032,
variable rate thereafter), 9.016%, 11/15/2033(a)
1,189,459
375,000
UBS Group AG, (fixed rate to 5/14/2031,
variable rate thereafter), 3.091%, 5/14/2032(a)
296,193
4,570,000
UBS Group AG, (fixed rate to 6/05/2025,
variable rate thereafter), 2.193%, 6/05/2026(a)
4,250,371
740,000
UBS Group AG, (fixed rate to 8/11/2027,
variable rate thereafter), 6.442%, 8/11/2028(a)
738,587
Principal
Amount (‡)
Description
Value (†)
Banking — continued
$1,500,000
UBS Group AG, (fixed rate to 8/12/2032,
variable rate thereafter), 6.537%, 8/12/2033(a)
$1,485,900
2,255,000
UniCredit SpA, (fixed rate to 9/22/2025, variable
rate thereafter), 2.569%, 9/22/2026(a)
2,065,756
 
51,987,599
Building Materials — 1.2%
3,145,000
Cemex SAB de CV, 3.875%, 7/11/2031(a)
2,634,300
1,825,000
Cemex SAB de CV, 5.200%, 9/17/2030(a)
1,677,323
1,725,000
Cemex SAB de CV, 5.450%, 11/19/2029(a)
1,634,118
2,330,000
Cemex SAB de CV, (fixed rate to 6/08/2026,
variable rate thereafter), 5.125%(a)(e)
2,181,329
 
8,127,070
Cable Satellite — 4.6%
8,305,000
CCO Holdings LLC/CCO Holdings Capital Corp.,
5.125%, 5/01/2027(a)
7,737,903
520,000
CCO Holdings LLC/CCO Holdings Capital Corp.,
5.500%, 5/01/2026(a)
502,279
225,000
Charter Communications
Operating LLC/Charter Communications
Operating Capital, 2.300%, 2/01/2032
163,974
645,000
Charter Communications
Operating LLC/Charter Communications
Operating Capital, 2.800%, 4/01/2031
503,008
330,000
Charter Communications
Operating LLC/Charter Communications
Operating Capital, 4.400%, 4/01/2033
280,678
6,565,000
Charter Communications
Operating LLC/Charter Communications
Operating Capital, 4.400%, 12/01/2061
4,044,683
2,200,000
CSC Holdings LLC, 3.375%, 2/15/2031(a)
1,499,162
400,000
CSC Holdings LLC, 4.500%, 11/15/2031(a)
283,112
9,810,000
CSC Holdings LLC, 4.625%, 12/01/2030(a)
5,215,518
405,000
CSC Holdings LLC, 5.000%, 11/15/2031(a)
217,070
405,000
CSC Holdings LLC, 5.750%, 1/15/2030(a)
226,920
3,210,000
DISH DBS Corp., 5.125%, 6/01/2029
1,779,560
6,305,000
DISH DBS Corp., 5.250%, 12/01/2026(a)
5,358,309
1,770,000
DISH DBS Corp., 5.750%, 12/01/2028(a)
1,360,687
1,410,000
Ziggo Bond Co. BV, 6.000%, 1/15/2027(a)
1,290,842
 
30,463,705
Chemicals — 0.5%
1,045,000
Ashland, Inc., 3.375%, 9/01/2031(a)
812,630
1,915,000
Braskem Netherlands Finance BV,
4.500%, 1/31/2030(a)
1,560,779
595,000
Braskem Netherlands Finance BV,
8.500%, 1/12/2031(a)
589,615
595,000
Celanese U.S. Holdings LLC, 6.700%, 11/15/2033
579,181
 
3,542,205
Consumer Cyclical Services — 1.4%
1,080,000
Go Daddy Operating Co. LLC/GD Finance Co.,
Inc., 5.250%, 12/01/2027(a)
1,018,758
8,055,000
Uber Technologies, Inc., 4.500%, 8/15/2029(a)
7,200,016
680,000
Uber Technologies, Inc., 6.250%, 1/15/2028(a)
664,948
320,000
Uber Technologies, Inc., 8.000%, 11/01/2026(a)
323,762
 
9,207,484
Diversified Manufacturing — 0.2%
225,000
Nordson Corp., 5.600%, 9/15/2028
222,840
300,000
Nordson Corp., 5.800%, 9/15/2033
293,039
990,000
Veralto Corp., 5.450%, 9/18/2033(a)
957,844
 
1,473,723
Principal
Amount (‡)
Description
Value (†)
Electric — 0.6%
$2,585,000
Edison International, Series A, (fixed rate to
3/15/2026, variable rate thereafter), 5.375%(e)
$2,280,530
1,490,000
Pacific Gas & Electric Co., 4.300%, 3/15/2045
1,008,278
685,000
Pacific Gas & Electric Co., 5.450%, 6/15/2027
659,265
 
3,948,073
Finance Companies — 4.6%
1,670,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 3.000%, 10/29/2028
1,431,988
1,040,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 3.300%, 1/30/2032
826,708
865,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 3.400%, 10/29/2033
669,096
1,295,000
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, 6.150%, 9/30/2030
1,275,524
1,190,000
Aircastle Ltd., 6.500%, 7/18/2028(a)
1,167,007
855,000
Aircastle Ltd., Series A, (fixed rate to 6/15/2026,
variable rate thereafter), 5.250%(a)(e)
672,327
1,530,000
Ares Capital Corp., 2.875%, 6/15/2028
1,279,680
3,400,000
Ares Capital Corp., 3.200%, 11/15/2031
2,601,491
1,870,000
Barings BDC, Inc., 3.300%, 11/23/2026
1,640,712
2,535,000
Blackstone Secured Lending Fund,
2.125%, 2/15/2027
2,149,260
2,415,000
Blue Owl Capital Corp., 2.875%, 6/11/2028
1,985,794
1,415,000
Blue Owl Technology Finance Corp.,
2.500%, 1/15/2027
1,188,006
520,000
Oaktree Specialty Lending Corp.,
2.700%, 1/15/2027
447,767
2,125,000
OneMain Finance Corp., 3.500%, 1/15/2027
1,819,531
140,000
OneMain Finance Corp., 4.000%, 9/15/2030
105,050
300,000
OneMain Finance Corp., 5.375%, 11/15/2029
251,250
5,000
OneMain Finance Corp., 6.875%, 3/15/2025
4,960
5,485,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 2.875%, 10/15/2026(a)
4,830,585
2,865,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 3.625%, 3/01/2029(a)
2,368,597
105,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 3.875%, 3/01/2031(a)
83,724
5,245,000
Rocket Mortgage LLC/Rocket Mortgage
Co-Issuer, Inc., 4.000%, 10/15/2033(a)
3,960,935
 
30,759,992
Financial Other — 0.8%
540,000
Agile Group Holdings Ltd., 5.500%, 4/21/2025
69,509
425,000
Agile Group Holdings Ltd., 5.500%, 5/17/2026
41,735
430,000
Agile Group Holdings Ltd., 5.750%, 1/02/2025
62,341
1,540,000
Agile Group Holdings Ltd., 6.050%, 10/13/2025
168,522
485,000
Central China Real Estate Ltd.,
7.250%, 7/16/2024(f)
19,827
410,000
Central China Real Estate Ltd.,
7.250%, 8/13/2024(f)
16,634
1,000,000
Central China Real Estate Ltd.,
7.650%, 8/27/2025(f)
36,410
625,000
Central China Real Estate Ltd.,
7.750%, 5/24/2024(f)
25,163
1,960,135
CFLD Cayman Investment Ltd.,
2.500%, 1/31/2031(a)(g)
169,571
2,379,845
CFLD Cayman Investment Ltd.,
2.500%, 1/31/2031(a)(g)
71,776
239,712
CFLD Cayman Investment Ltd., Zero Coupon,
0.000%–36.271%, 1/31/2031(a)(h)
2,397
710,000
China Aoyuan Group Ltd., 6.350%, 2/08/2024(f)
9,294
645,000
China Aoyuan Group Ltd., 7.950%, 2/19/2023(f)
6,450
630,000
China Evergrande Group, 8.250%, 3/23/2022(f)
12,600
Principal
Amount (‡)
Description
Value (†)
Financial Other — continued
$1,020,000
China Evergrande Group, 8.750%, 6/28/2025(f)
$20,400
270,000
China Evergrande Group, 9.500%, 4/11/2022(f)
5,400
220,000
China Evergrande Group, 9.500%, 3/29/2024(f)
5,031
1,110,000
CIFI Holdings Group Co. Ltd.,
4.450%, 8/17/2026(f)
77,700
480,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 4.375%, 2/01/2029
383,837
745,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 4.750%, 9/15/2024
717,559
945,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 5.250%, 5/15/2027
830,636
125,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 6.250%, 5/15/2026
116,130
600,000
Icahn Enterprises LP/Icahn Enterprises
Finance Corp., 6.375%, 12/15/2025
570,760
1,875,000
Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(f)
109,481
205,000
Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(f)
12,001
855,000
Kaisa Group Holdings Ltd.,
10.500%, 1/15/2025(f)
49,958
4,525,000
Kaisa Group Holdings Ltd.,
11.250%, 4/16/2025(f)
259,961
2,045,000
Kaisa Group Holdings Ltd.,
11.650%, 6/01/2026(f)
112,475
2,125,000
Kaisa Group Holdings Ltd.,
11.700%, 11/11/2025(f)
121,295
645,000
KWG Group Holdings Ltd., 6.000%, 8/14/2026(f)
51,600
845,000
KWG Group Holdings Ltd., 6.300%, 2/13/2026(f)
67,600
400,000
Logan Group Co. Ltd., 4.250%, 7/12/2025(f)
20,000
230,000
Logan Group Co. Ltd., 4.850%, 12/14/2026(f)
11,500
825,000
Shimao Group Holdings Ltd.,
3.450%, 1/11/2031(f)
33,000
725,000
Shimao Group Holdings Ltd.,
5.200%, 1/16/2027(f)
21,750
610,000
Shimao Group Holdings Ltd.,
6.125%, 2/21/2024(f)
24,400
410,000
Sunac China Holdings Ltd., 6.500%, 1/10/2025(f)
63,550
2,620,000
Sunac China Holdings Ltd., 6.500%, 1/26/2026(f)
406,100
205,000
Sunac China Holdings Ltd., 6.650%, 8/03/2024(f)
25,637
1,090,000
Sunac China Holdings Ltd., 7.000%, 7/09/2025(f)
168,950
210,000
Times China Holdings Ltd., 5.750%, 1/14/2027(f)
6,300
1,085,000
Times China Holdings Ltd., 6.200%, 3/22/2026(f)
32,550
4,400,000
Yuzhou Group Holdings Co. Ltd.,
6.350%, 1/13/2027(f)
265,936
325,000
Yuzhou Group Holdings Co. Ltd.,
7.375%, 1/13/2026(f)
18,470
415,000
Yuzhou Group Holdings Co. Ltd.,
7.700%, 2/20/2025(f)
27,183
555,000
Yuzhou Group Holdings Co. Ltd.,
7.850%, 8/12/2026(f)
33,700
1,360,000
Zhenro Properties Group Ltd.,
6.630%, 1/07/2026(f)
7,140
210,000
Zhenro Properties Group Ltd.,
6.700%, 8/04/2026(f)
1,772
220,000
Zhenro Properties Group Ltd.,
7.350%, 2/05/2025(f)
825
 
5,392,816
Food & Beverage — 0.4%
1,440,000
Aramark Services, Inc., 6.375%, 5/01/2025(a)
1,462,954
1,015,000
JBS USA LUX SA/JBS USA Food Co./JBS USA
Finance, Inc., 3.000%, 2/02/2029
851,775
 
2,314,729
Principal
Amount (‡)
Description
Value (†)
Gaming — 1.3%
$1,810,000
Genm Capital Labuan Ltd., 3.882%, 4/19/2031(a)
$1,416,240
1,140,000
Light & Wonder International, Inc.,
7.000%, 5/15/2028(a)
1,120,517
910,000
Light & Wonder International, Inc.,
7.250%, 11/15/2029(a)
891,800
355,000
Light & Wonder International, Inc.,
7.500%, 9/01/2031(a)
350,865
2,670,000
VICI Properties LP/VICI Note Co., Inc.,
3.875%, 2/15/2029(a)
2,307,183
1,375,000
VICI Properties LP/VICI Note Co., Inc.,
4.250%, 12/01/2026(a)
1,281,158
1,140,000
VICI Properties LP/VICI Note Co., Inc.,
4.500%, 9/01/2026(a)
1,070,978
5,000
VICI Properties LP/VICI Note Co., Inc.,
4.625%, 6/15/2025(a)
4,828
 
8,443,569
Government Owned - No Guarantee — 0.8%
2,350,000
Antares Holdings LP, 2.750%, 1/15/2027(a)
1,989,974
2,790,000
Antares Holdings LP, 3.750%, 7/15/2027(a)
2,403,587
845,000
Antares Holdings LP, 3.950%, 7/15/2026(a)
760,441
 
5,154,002
Health Care REITs — 0.1%
455,000
National Health Investors, Inc.,
3.000%, 2/01/2031
332,659
Health Insurance — 0.4%
1,260,000
Centene Corp., 3.375%, 2/15/2030
1,050,931
1,030,000
Centene Corp., 4.625%, 12/15/2029
927,649
740,000
Molina Healthcare, Inc., 4.375%, 6/15/2028(a)
663,075
 
2,641,655
Independent Energy — 2.5%
1,670,000
Aker BP ASA, 4.000%, 1/15/2031(a)
1,434,573
1,905,000
Continental Resources, Inc.,
2.875%, 4/01/2032(a)
1,426,558
6,710,000
Continental Resources, Inc.,
5.750%, 1/15/2031(a)
6,303,745
1,190,000
Energian Israel Finance Ltd.,
5.375%, 3/30/2028(a)
1,067,251
25,000
EQT Corp., 3.625%, 5/15/2031(a)
21,149
585,000
EQT Corp., 5.000%, 1/15/2029
549,906
745,000
Leviathan Bond Ltd., 6.125%, 6/30/2025(a)
724,594
740,000
Leviathan Bond Ltd., 6.500%, 6/30/2027(a)
701,720
315,000
Matador Resources Co., 6.875%, 4/15/2028(a)
309,280
180,000
Occidental Petroleum Corp., 7.875%, 9/15/2031
194,778
180,000
Occidental Petroleum Corp., 8.875%, 7/15/2030
202,376
320,000
Ovintiv, Inc., 6.500%, 8/15/2034
315,159
140,000
Ovintiv, Inc., 6.500%, 2/01/2038
133,708
695,000
Ovintiv, Inc., 6.625%, 8/15/2037
666,744
90,000
Ovintiv, Inc., 7.200%, 11/01/2031
92,643
85,000
Ovintiv, Inc., 7.375%, 11/01/2031
89,064
385,000
Ovintiv, Inc., 8.125%, 9/15/2030
418,446
380,000
Southwestern Energy Co., 4.750%, 2/01/2032
326,150
870,000
Var Energi ASA, 7.500%, 1/15/2028(a)
892,741
410,000
Var Energi ASA, 8.000%, 11/15/2032(a)
430,213
 
16,300,798
Leisure — 1.2%
1,880,000
Carnival Corp., 5.750%, 3/01/2027(a)
1,701,822
580,000
Carnival Corp., 6.000%, 5/01/2029(a)
494,730
280,000
Carnival Corp., 7.000%, 8/15/2029(a)
276,087
1,560,000
NCL Corp. Ltd., 5.875%, 3/15/2026(a)
1,440,259
890,000
NCL Corp. Ltd., 5.875%, 2/15/2027(a)
845,295
570,000
NCL Finance Ltd., 6.125%, 3/15/2028(a)
503,025
Principal
Amount (‡)
Description
Value (†)
Leisure — continued
$240,000
Royal Caribbean Cruises Ltd.,
4.250%, 7/01/2026(a)
$220,054
1,725,000
Royal Caribbean Cruises Ltd.,
5.500%, 4/01/2028(a)
1,581,811
1,260,000
VOC Escrow Ltd., 5.000%, 2/15/2028(a)
1,145,980
 
8,209,063
Life Insurance — 0.1%
1,110,000
Global Atlantic Fin Co., 4.400%, 10/15/2029(a)
919,962
Local Authorities — 0.0%
67,000,000
Provincia de Buenos Aires/Government Bonds,
Argentina Deposit Rates Badlar Pvt Banks +
3.750%, 105.742%, 4/12/2025, (ARS)(a)
71,062
Lodging — 0.6%
435,000
Hilton Grand Vacations Borrower
Escrow LLC/Hilton Grand Vacations Borrower
Escrow, Inc., 4.875%, 7/01/2031(a)
354,621
585,000
Hilton Grand Vacations Borrower
Escrow LLC/Hilton Grand Vacations Borrower
Escrow, Inc., 5.000%, 6/01/2029(a)
507,456
20,000
Marriott International, Inc., 5.550%, 10/15/2028
19,776
805,000
Marriott Ownership Resorts, Inc.,
4.500%, 6/15/2029(a)
674,510
1,000,000
Travel & Leisure Co., 4.500%, 12/01/2029(a)
838,750
1,330,000
Travel & Leisure Co., 4.625%, 3/01/2030(a)
1,119,222
195,000
Travel & Leisure Co., 6.000%, 4/01/2027
185,523
160,000
Travel & Leisure Co., 6.625%, 7/31/2026(a)
155,680
 
3,855,538
Media Entertainment — 2.1%
1,220,000
iHeartCommunications, Inc.,
4.750%, 1/15/2028(a)
932,662
3,330,000
iHeartCommunications, Inc.,
5.250%, 8/15/2027(a)
2,639,081
1,040,000
Netflix, Inc., 4.875%, 4/15/2028
1,007,674
1,430,000
Netflix, Inc., 4.875%, 6/15/2030(a)
1,353,792
860,000
Netflix, Inc., 5.375%, 11/15/2029(a)
839,129
1,325,000
Netflix, Inc., 5.875%, 11/15/2028
1,332,501
1,705,000
Netflix, Inc., 6.375%, 5/15/2029
1,760,510
1,025,000
Outfront Media Capital LLC/Outfront Media
Capital Corp., 5.000%, 8/15/2027(a)
903,108
600,000
Playtika Holding Corp., 4.250%, 3/15/2029(a)
501,000
855,000
Warnermedia Holdings, Inc., 4.054%, 3/15/2029
761,772
2,555,000
Warnermedia Holdings, Inc., 4.279%, 3/15/2032
2,168,731
 
14,199,960
Metals & Mining — 3.3%
1,885,000
ArcelorMittal SA, 6.800%, 11/29/2032
1,872,076
4,180,000
First Quantum Minerals Ltd.,
6.875%, 3/01/2026(a)
4,057,467
2,015,000
First Quantum Minerals Ltd.,
7.500%, 4/01/2025(a)
2,011,041
1,040,000
FMG Resources August 2006 Pty. Ltd.,
4.500%, 9/15/2027(a)
941,200
2,375,000
Glencore Funding LLC, 6.125%, 10/06/2028(a)
2,370,923
2,275,000
Glencore Funding LLC, 6.375%, 10/06/2030(a)
2,268,875
8,595,000
Glencore Funding LLC, 6.500%, 10/06/2033(a)
8,579,835
 
22,101,417
Midstream — 0.8%
165,000
EnLink Midstream LLC, 6.500%, 9/01/2030(a)
160,078
490,000
Hess Midstream Operations LP,
4.250%, 2/15/2030(a)
413,187
555,000
Targa Resources Corp., 6.125%, 3/15/2033
544,067
Principal
Amount (‡)
Description
Value (†)
Midstream — continued
$1,460,000
Targa Resources Partners LP/Targa Resources
Partners Finance Corp., 4.875%, 2/01/2031
$1,307,648
1,535,000
Venture Global Calcasieu Pass LLC,
3.875%, 11/01/2033(a)
1,191,813
815,000
Venture Global Calcasieu Pass LLC,
4.125%, 8/15/2031(a)
668,806
15,000
Western Midstream Operating LP,
6.150%, 4/01/2033
14,466
1,310,000
Western Midstream Operating LP,
6.350%, 1/15/2029
1,312,701
 
5,612,766
Non-Agency Commercial Mortgage-Backed
Securities — 6.0%
2,995,000
BBCMS Mortgage Trust, Series 2020-BID,
Class B, 1 mo. USD SOFR + 2.654%,
7.988%, 10/15/2037(a)(d)
2,800,757
2,155,000
BPR Trust, Series 2021-NRD, Class F, 1 mo. USD
SOFR + 6.870%, 12.203%, 12/15/2038(a)(d)
1,930,817
2,040,000
Citigroup Commercial Mortgage Trust,
Series 2014-GC21, Class D,
5.105%, 5/10/2047(a)(b)
1,256,849
2,585,000
Commercial Mortgage Trust, Series 2012-CR3,
Class B, 3.922%, 10/15/2045(a)
2,065,415
140,000
Commercial Mortgage Trust, Series 2012-LC4,
Class C, 5.476%, 12/10/2044(b)
113,295
1,890,000
Credit Suisse Mortgage Trust,
Series 2014-USA, Class D, 4.373%, 9/15/2037(a)
1,450,730
5,680,000
Credit Suisse Mortgage Trust,
Series 2014-USA, Class E, 4.373%, 9/15/2037(a)
3,028,668
750,000
DBUBS Mortgage Trust, Series 2017-BRBK,
Class D, 3.648%, 10/10/2034(a)(b)
603,729
920,000
DC Commercial Mortgage Trust,
Series 2023-DC, Class C,
7.379%, 9/12/2040(a)(b)
916,572
584,550
Extended Stay America Trust, Series 2021-ESH,
Class D, 1 mo. USD SOFR + 2.364%,
7.697%, 7/15/2038(a)(d)
575,009
475,000
GS Mortgage Securities Corp. Trust,
Series 2012-BWTR, Class A,
2.954%, 11/05/2034(a)
347,826
773,617
GS Mortgage Securities Corp. Trust,
Series 2013-G1, Class B, 3.845%, 4/10/2031(a)(b)
681,209
3,195,000
GS Mortgage Securities Corportation Trust,
Series 2013-PEMB, Class D,
3.668%, 3/05/2033(a)(b)
1,853,101
540,000
GS Mortgage Securities Trust,
Series 2011-GC5, Class C,
5.299%, 8/10/2044(a)(b)
378,010
3,905,000
GS Mortgage Securities Trust,
Series 2011-GC5, Class D,
5.299%, 8/10/2044(a)(b)
1,153,683
845,000
GS Mortgage Securities Trust,
Series 2014-GC18, Class B, 4.885%, 1/10/2047(b)
702,808
1,945,000
JP Morgan Chase Commercial Mortgage
Securities Trust, Series 2011-C3, Class C,
5.360%, 2/15/2046(a)(b)
1,634,527
2,340,259
JP Morgan Chase Commercial Mortgage
Securities Trust, Series 2012-LC9, Class C,
3.910%, 12/15/2047(a)(b)
2,090,102
876,346
Morgan Stanley Capital I Trust, Series 2011-C2,
Class D, 5.385%, 6/15/2044(a)(b)
788,711
2,515,000
Morgan Stanley Capital I Trust, Series 2011-C2,
Class E, 5.385%, 6/15/2044(a)(b)
1,757,159
Principal
Amount (‡)
Description
Value (†)
Non-Agency Commercial Mortgage-Backed
Securities — continued
$1,060,000
Starwood Retail Property Trust,
Series 2014-STAR, Class C, PRIME + 0.000%,
8.500%, 11/15/2027(a)(c)(d)(g)
$369,834
4,243,654
Starwood Retail Property Trust,
Series 2014-STAR, Class D, PRIME + 0.000%,
8.500%, 11/15/2027(a)(c)(d)(g)
908,566
3,575,000
Starwood Retail Property Trust,
Series 2014-STAR, Class E, PRIME + 0.000%,
8.500%, 11/15/2027(a)(c)(d)(g)
178,750
2,301,223
Wells Fargo Commercial Mortgage Trust,
Series 2013-LC12, Class B, 4.087%, 7/15/2046(b)
1,869,744
1,690,000
Wells Fargo Commercial Mortgage Trust,
Series 2016-C36, Class B, 3.671%, 11/15/2059(b)
1,385,383
440,000
Wells Fargo Commercial Mortgage Trust,
Series 2016-C36, Class C, 4.256%, 11/15/2059(b)
299,813
4,885,000
Wells Fargo Commercial Mortgage Trust,
Series 2019-JWDR, Class C,
3.139%, 9/15/2031(a)(b)
4,349,616
941,396
WFRBS Commercial Mortgage Trust,
Series 2011-C3, Class D, 6.050%, 3/15/2044(a)(b)
268,853
1,699,593
WFRBS Commercial Mortgage Trust,
Series 2011-C4, Class E, 4.993%, 6/15/2044(a)(b)
1,169,520
2,245,000
WFRBS Commercial Mortgage Trust,
Series 2012-C10, Class C, 4.484%, 12/15/2045(b)
1,537,813
1,570,000
WFRBS Commercial Mortgage Trust,
Series 2014-C20, Class B, 4.378%, 5/15/2047
1,209,371
 
39,676,240
Pharmaceuticals — 1.9%
2,530,000
Bausch Health Cos., Inc., 4.875%, 6/01/2028(a)
1,438,776
490,000
Bausch Health Cos., Inc., 5.000%, 1/30/2028(a)
199,533
145,000
Bausch Health Cos., Inc., 5.000%, 2/15/2029(a)
55,100
685,000
Bausch Health Cos., Inc., 5.250%, 1/30/2030(a)
257,150
165,000
Bausch Health Cos., Inc., 6.250%, 2/15/2029(a)
65,175
930,000
Teva Pharmaceutical Finance Netherlands II
BV, 4.375%, 5/09/2030, (EUR)
838,608
1,225,000
Teva Pharmaceutical Finance Netherlands II
BV, 7.375%, 9/15/2029, (EUR)
1,314,714
1,030,000
Teva Pharmaceutical Finance Netherlands II
BV, 7.875%, 9/15/2031, (EUR)
1,125,720
920,000
Teva Pharmaceutical Finance Netherlands III
BV, 3.150%, 10/01/2026
819,969
7,380,000
Teva Pharmaceutical Finance Netherlands III
BV, 4.100%, 10/01/2046
4,619,626
200,000
Teva Pharmaceutical Finance Netherlands III
BV, 4.750%, 5/09/2027
183,507
635,000
Teva Pharmaceutical Finance Netherlands III
BV, 5.125%, 5/09/2029
574,040
435,000
Teva Pharmaceutical Finance Netherlands III
BV, 7.875%, 9/15/2029
440,683
305,000
Teva Pharmaceutical Finance Netherlands III
BV, 8.125%, 9/15/2031
315,538
 
12,248,139
Restaurants — 0.3%
1,960,000
1011778 BC ULC/New Red Finance, Inc.,
4.375%, 1/15/2028(a)
1,766,642
Retailers — 0.3%
2,085,000
Lithia Motors, Inc., 3.875%, 6/01/2029(a)
1,756,216
Technology — 3.6%
535,000
Broadcom, Inc., 2.450%, 2/15/2031(a)
418,159
490,000
Broadcom, Inc., 2.600%, 2/15/2033(a)
365,385
1,020,000
Broadcom, Inc., 3.137%, 11/15/2035(a)
743,663
Principal
Amount (‡)
Description
Value (†)
Technology — continued
$880,000
Broadcom, Inc., 3.419%, 4/15/2033(a)
$703,874
995,000
Broadcom, Inc., 3.469%, 4/15/2034(a)
781,484
2,865,000
Broadcom, Inc., 4.150%, 11/15/2030
2,537,624
430,000
Broadcom, Inc., 4.150%, 4/15/2032(a)
373,160
20,000
CDW LLC/CDW Finance Corp.,
3.250%, 2/15/2029
17,054
1,115,000
CDW LLC/CDW Finance Corp.,
3.276%, 12/01/2028
961,988
485,000
CDW LLC/CDW Finance Corp.,
3.569%, 12/01/2031
399,465
1,615,000
CommScope Technologies LLC,
5.000%, 3/15/2027(a)
916,594
1,445,000
CommScope, Inc., 4.750%, 9/01/2029(a)
1,062,862
1,450,000
CommScope, Inc., 7.125%, 7/01/2028(a)
867,549
330,000
Everi Holdings, Inc., 5.000%, 7/15/2029(a)
284,026
395,000
Global Payments, Inc., 2.900%, 11/15/2031
309,866
225,000
Global Payments, Inc., 5.400%, 8/15/2032
210,904
10,000
Leidos, Inc., 5.750%, 3/15/2033
9,584
340,000
Micron Technology, Inc., 5.875%, 2/09/2033
324,789
1,595,000
Micron Technology, Inc., 5.875%, 9/15/2033
1,519,165
3,560,000
Micron Technology, Inc., 6.750%, 11/01/2029
3,617,120
10,000
Open Text Corp., 6.900%, 12/01/2027(a)
10,023
655,000
S&P Global, Inc., 5.250%, 9/15/2033(a)
638,448
1,000,000
SK Hynix, Inc., 6.500%, 1/17/2033(a)
976,911
1,980,000
Trimble, Inc., 6.100%, 3/15/2033
1,939,862
1,735,000
VMware, Inc., 2.200%, 8/15/2031
1,309,285
1,240,000
Western Digital Corp., 2.850%, 2/01/2029
995,522
1,780,000
Western Digital Corp., 4.750%, 2/15/2026
1,696,070
 
23,990,436
Transportation Services — 0.2%
1,680,000
Rand Parent LLC, 8.500%, 2/15/2030(a)
1,553,748
Treasuries — 6.6%
17,174(i
)
Brazil Notas do Tesouro Nacional,
Series NTNF, 10.000%, 1/01/2029, (BRL)
3,248,440
697,300,000
Hungary Government Bonds, Series 23/A,
6.000%, 11/24/2023, (HUF)
1,882,994
29,901,000,000
Indonesia Treasury Bonds, Series FR95,
6.375%, 8/15/2028, (IDR)
1,920,900
336,381(j
)
Mexico Bonos, Series M, 7.500%, 5/26/2033,
(MXN)
1,639,161
338,660,000
Republic of South Africa Government Bonds,
Series 2037, 8.500%, 1/31/2037, (ZAR)
13,084,032
21,905,000
U.S. Treasury Notes, 4.500%, 11/30/2024(k)
21,685,094
 
43,460,621
Wireless — 0.7%
10,000
American Tower Corp., 5.900%, 11/15/2033
9,763
1,695,000
IHS Holding Ltd., 5.625%, 11/29/2026(a)
1,394,680
1,040,000
IHS Holding Ltd., 6.250%, 11/29/2028(a)
788,715
1,555,000
SBA Communications Corp., 3.875%, 2/15/2027
1,424,809
970,000
SoftBank Group Corp., 4.625%, 7/06/2028
846,102
 
4,464,069
Total Non-Convertible Bonds
(Identified Cost $628,721,764)
512,185,408
Convertible Bonds — 4.6%
Airlines — 0.6%
550,000
JetBlue Airways Corp., 0.500%, 4/01/2026
425,205
3,680,000
Southwest Airlines Co., 1.250%, 5/01/2025
3,652,400
 
4,077,605
Principal
Amount (‡)
Description
Value (†)
Cable Satellite — 1.0%
$1,170,000
DISH Network Corp., 2.375%, 3/15/2024
$1,123,200
8,125,000
DISH Network Corp., 3.375%, 8/15/2026
4,883,125
615,000
DISH Network Corp., Zero Coupon,
7.761%–33.747%, 12/15/2025(h)
414,319
 
6,420,644
Consumer Cyclical Services — 0.3%
2,310,000
Uber Technologies, Inc., Zero Coupon,
0.000%–5.582%, 12/15/2025(h)
2,157,101
Consumer Products — 0.1%
745,000
Beauty Health Co., 1.250%, 10/01/2026(a)
579,238
Gaming — 0.1%
340,000
Penn Entertainment, Inc., 2.750%, 5/15/2026
412,658
Healthcare — 0.7%
1,865,000
Envista Holdings Corp., 1.750%, 8/15/2028(a)
1,717,665
3,680,000
Teladoc Health, Inc., 1.250%, 6/01/2027
2,932,592
 
4,650,257
Leisure — 0.2%
1,340,000
NCL Corp. Ltd., 1.125%, 2/15/2027
1,111,423
Media Entertainment — 0.2%
875,000
Snap, Inc., Zero Coupon,
6.697%–7.641%, 5/01/2027(h)
648,375
1,160,000
Spotify USA, Inc., Zero Coupon,
5.189%–5.777%, 3/15/2026(h)
986,580
 
1,634,955
Pharmaceuticals — 1.0%
2,240,000
BioMarin Pharmaceutical, Inc.,
0.599%, 8/01/2024
2,172,800
3,745,000
BioMarin Pharmaceutical, Inc.,
1.250%, 5/15/2027
3,709,797
855,000
Guardant Health, Inc., Zero Coupon,
0.000%, 11/15/2027(l)
587,812
505,000
Livongo Health, Inc., 0.875%, 6/01/2025
461,217
 
6,931,626
Retailers — 0.1%
110,000
Etsy, Inc., 0.125%, 9/01/2027
88,000
675,000
Etsy, Inc., 0.250%, 6/15/2028
509,963
 
597,963
Technology — 0.3%
725,000
Splunk, Inc., 1.125%, 6/15/2027
684,037
1,830,000
Unity Software, Inc., Zero Coupon,
7.084%–8.213%, 11/15/2026(h)
1,448,445
 
2,132,482
Total Convertible Bonds
(Identified Cost $37,775,210)
30,705,952
Total Bonds and Notes
(Identified Cost $666,496,974)
542,891,360
Collateralized Loan Obligations — 10.7%
1,740,000
AGL CLO 3 Ltd., Series 2020-3A, Class D, 3 mo.
USD SOFR + 3.562%, 8.870%, 1/15/2033(a)(d)
1,673,177
3,460,000
AIMCO CLO 11 Ltd., Series 2020-11A, Class DR,
3 mo. USD SOFR + 3.262%,
8.570%, 10/17/2034(a)(d)
3,394,097
1,325,000
AIMCO CLO 12 Ltd., Series 2020-12A, Class AR,
3 mo. USD SOFR + 1.170%,
6.478%, 1/17/2032(a)(d)
1,317,553
480,000
Apidos CLO XX Ltd., Series 2015-20A,
Class BRR, 3 mo. USD SOFR + 2.212%,
7.520%, 7/16/2031(a)(d)
471,433
Principal
Amount (‡)
Description
Value (†)
$3,175,000
Apidos CLO XXIII Ltd., Series 2015-23A,
Class CR, 3 mo. USD SOFR + 2.262%,
7.570%, 4/15/2033(a)(d)
$3,133,766
500,000
ARES LIX CLO Ltd., Series 2021-59A, Class E,
3 mo. USD SOFR + 6.512%,
11.863%, 4/25/2034(a)(d)
464,255
1,105,000
Atlas Senior Loan Fund Ltd., Series 2021-16A,
Class D, 3 mo. USD SOFR + 3.962%,
9.288%, 1/20/2034(a)(d)
1,025,170
400,000
Ballyrock CLO Ltd., Series 2018-1A, Class C,
3 mo. USD SOFR + 3.412%,
8.738%, 4/20/2031(a)(d)
391,766
850,000
Barings CLO Ltd., Series 2019-4A, Class C,
3 mo. USD SOFR + 3.062%,
8.370%, 1/15/2033(a)(d)
849,943
1,830,000
Basswood Park CLO Ltd., Series 2021-1A,
Class D, 3 mo. USD SOFR + 2.912%,
8.238%, 4/20/2034(a)(d)
1,722,138
445,000
Battalion CLO XVI Ltd., Series 2019-16A,
Class DR, 3 mo. USD SOFR + 3.512%,
8.838%, 12/19/2032(a)(d)
408,254
915,000
Bristol Park CLO Ltd., Series 2016-1A, Class CR,
3 mo. USD SOFR + 2.212%,
7.520%, 4/15/2029(a)(d)
888,670
455,000
Burnham Park CLO Ltd., Series 2016-1A,
Class CR, 3 mo. USD SOFR + 2.412%,
7.738%, 10/20/2029(a)(d)
453,274
400,000
Carbone CLO Ltd., Series 2017-1A, Class B,
3 mo. USD SOFR + 2.062%,
7.388%, 1/20/2031(a)(d)
392,161
980,000
Carlyle U.S. CLO Ltd., Series 2016-4A,
Class A2R, 3 mo. USD SOFR + 1.712%,
7.038%, 10/20/2027(a)(d)
976,110
970,000
CarVal CLO IV Ltd., Series 2021-1A, Class D,
3 mo. USD SOFR + 3.512%,
8.838%, 7/20/2034(a)(d)
933,597
730,000
CIFC Funding Ltd., Series 2013-2A, Class A3LR,
3 mo. USD SOFR + 2.212%,
7.522%, 10/18/2030(a)(d)
703,684
265,000
CIFC Funding Ltd., Series 2014-2RA, Class A3,
3 mo. USD SOFR + 2.162%,
7.507%, 4/24/2030(a)(d)
261,034
395,000
Clover CLO LLC, Series 2021-2A, Class A, 3 mo.
USD SOFR + 1.432%, 6.758%, 7/20/2034(a)(d)
391,823
875,000
Dryden 45 Senior Loan Fund, Series 2016-45A,
Class ER, 3 mo. USD SOFR + 6.112%,
11.420%, 10/15/2030(a)(d)
752,406
250,000
Dryden 64 CLO Ltd., Series 2018-64A, Class C,
3 mo. USD SOFR + 2.012%,
7.322%, 4/18/2031(a)(d)
242,144
300,000
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class CR, 3 mo. USD SOFR +
2.112%, 7.420%, 4/15/2029(a)(d)
294,018
1,405,000
Galaxy XXVI CLO Ltd., Series 2018-26A, Class E,
3 mo. USD SOFR + 6.112%,
11.495%, 11/22/2031(a)(d)
1,301,307
2,435,000
Generate CLO 7 Ltd., Series 7A, Class D, 3 mo.
USD SOFR + 4.062%, 9.407%, 1/22/2033(a)(d)
2,434,737
650,000
Gilbert Park CLO Ltd., Series 2017-1A, Class D,
3 mo. USD SOFR + 3.212%,
8.520%, 10/15/2030(a)(d)
638,075
320,000
GoldenTree Loan Management U.S. CLO 3 Ltd.,
Series 2018-3A, Class C, 3 mo. USD SOFR +
2.162%, 7.488%, 4/20/2030(a)(d)
315,241
Principal
Amount (‡)
Description
Value (†)
$435,000
Golub Capital Partners CLO 41B-R Ltd.,
Series 2019-41A, Class AR, 3 mo. USD SOFR +
1.582%, 6.908%, 1/20/2034(a)(d)
$434,445
1,640,000
Greystone CRE Notes Ltd., Series 2021-HC2,
Class A, 1 mo. USD SOFR + 1.914%,
7.247%, 12/15/2039(a)(d)
1,604,955
1,550,000
Hayfin U.S. XII Ltd., Series 2020-12A, Class D,
3 mo. USD SOFR + 4.422%,
9.748%, 1/20/2034(a)(d)
1,528,746
310,000
LCM 30 Ltd., Series 30A, Class DR, 3 mo. USD
SOFR + 3.262%, 8.588%, 4/20/2031(a)(d)
288,135
475,000
Madison Park Funding XXXI Ltd.,
Series 2018-31A, Class C, 3 mo. USD SOFR +
2.412%, 7.757%, 1/23/2031(a)(d)
470,084
300,000
Madison Park Funding XXXI Ltd.,
Series 2018-31A, Class D, 3 mo. USD SOFR +
3.262%, 8.607%, 1/23/2031(a)(d)
292,028
3,300,000
Neuberger Berman CLO XIV Ltd.,
Series 2013-14A, Class CR2, 3 mo. USD SOFR +
2.162%, 7.527%, 1/28/2030(a)(d)
3,261,977
575,000
Neuberger Berman Loan Advisers CLO 45 Ltd.,
Series 2021-45A, Class A, 3 mo. USD SOFR +
1.392%, 6.703%, 10/14/2035(a)(d)
569,933
2,100,000
Oaktree CLO Ltd., Series 2019-4A, Class E,
3 mo. USD SOFR + 7.492%,
12.818%, 10/20/2032(a)(d)
1,986,674
495,000
Octagon Investment Partners 39 Ltd.,
Series 2018-3A, Class E, 3 mo. USD SOFR +
6.012%, 11.338%, 10/20/2030(a)(d)
444,890
920,000
Octagon Investment Partners XXII Ltd.,
Series 2014-1A, Class CRR, 3 mo. USD SOFR +
2.162%, 7.507%, 1/22/2030(a)(d)
896,773
445,000
OHA Credit Funding 2 Ltd., Series 2019-2A,
Class ER, 3 mo. USD LIBOR + 6.360%,
11.955%, 4/21/2034(a)(d)
441,315
1,900,000
OHA Credit Funding 3 Ltd., Series 2019-3A,
Class ER, 3 mo. USD SOFR + 6.512%,
11.838%, 7/02/2035(a)(d)
1,871,187
5,105,000
OHA Credit Funding 4 Ltd., Series 2019-4A,
Class ER, 3 mo. USD SOFR + 6.662%,
12.007%, 10/22/2036(a)(d)
5,028,951
1,745,000
OHA Credit Funding 5 Ltd., Series 2020-5A,
Class C, 3 mo. USD SOFR + 2.262%,
7.572%, 4/18/2033(a)(d)
1,727,716
1,095,000
OHA Credit Partners XVI, Series 2021-16A,
Class A, 3 mo. USD SOFR + 1.412%,
6.722%, 10/18/2034(a)(d)
1,092,163
2,245,000
OHA Loan Funding Ltd., Series 2013-1A,
Class DR2, 3 mo. USD SOFR + 3.312%,
8.657%, 7/23/2031(a)(d)
2,190,655
1,570,000
OHA Loan Funding Ltd., Series 2016-1A,
Class CR, 3 mo. USD SOFR + 2.212%,
7.538%, 1/20/2033(a)(d)
1,555,543
2,050,000
OZLM XXIII Ltd., Series 2019-23A, Class DR,
3 mo. USD SOFR + 4.012%,
9.320%, 4/15/2034(a)(d)
1,983,437
300,000
Palmer Square CLO Ltd., Series 2015-2A,
Class BR2, 3 mo. USD SOFR + 2.212%,
7.538%, 7/20/2030(a)(d)
296,843
2,610,000
Parallel Ltd., Series 2017-1A, Class CR, 3 mo.
USD SOFR + 2.262%, 7.588%, 7/20/2029(a)(d)
2,560,778
1,045,000
Pikes Peak CLO 1, Series 2018-1A, Class D,
3 mo. USD SOFR + 3.412%,
8.757%, 7/24/2031(a)(d)
1,036,848
Principal
Amount (‡)
Description
Value (†)
$1,190,000
Point Au Roche Park CLO Ltd., Series 2021-1A,
Class D, 3 mo. USD SOFR + 3.062%,
8.388%, 7/20/2034(a)(d)
$1,123,083
2,110,000
Post CLO Ltd., Series 2023-1A, Class A, 3 mo.
USD SOFR + 1.950%, 6.829%, 4/20/2036(a)(d)
2,115,589
340,000
Recette CLO Ltd., Series 2015-1A, Class DRR,
3 mo. USD SOFR + 3.512%,
8.838%, 4/20/2034(a)(d)
322,439
2,565,000
Rockford Tower CLO Ltd., Series 2017-2A,
Class CR, 3 mo. USD SOFR + 2.162%,
7.470%, 10/15/2029(a)(d)
2,532,940
1,935,313
Rockford Tower CLO Ltd., Series 2018-1A,
Class A, 3 mo. USD SOFR + 1.362%,
6.741%, 5/20/2031(a)(d)
1,929,075
1,030,000
Signal Peak CLO 1 Ltd., Series 2014-1A,
Class AR3, 3 mo. USD SOFR + 1.422%,
6.730%, 4/17/2034(a)(d)
1,021,414
920,000
TCW CLO Ltd., Series 2018-1A, Class D, 3 mo.
USD SOFR + 3.172%, 8.523%, 4/25/2031(a)(d)
887,412
1,030,000
TICP CLO VII Ltd., Series 2017-7A, Class CR,
3 mo. USD SOFR + 2.412%,
7.720%, 4/15/2033(a)(d)
1,018,731
610,000
TICP CLO XV Ltd., Series 2020-15A, Class C,
3 mo. USD SOFR + 2.412%,
7.738%, 4/20/2033(a)(d)
606,990
895,000
TRESTLES CLO II Ltd., Series 2018-2A, Class D,
3 mo. USD SOFR + 6.012%,
11.363%, 7/25/2031(a)(d)
821,602
895,000
Verde CLO Ltd., Series 2019-1A, Class AR, 3 mo.
USD SOFR + 1.362%, 6.670%, 4/15/2032(a)(d)
890,063
Total Collateralized Loan Obligations
(Identified Cost $70,135,280)
70,663,247
Senior Loans — 2.8%
Cable Satellite — 0.3%
1,930,000
Ziggo BV, 2019 EUR Term Loan H, 6 mo.
EURIBOR + 3.000%, 6.928%, 1/31/2029,
(EUR)(d)(m)
1,962,117
Consumer Cyclical Services — 0.3%
2,032,138
Uber Technologies, Inc., 2023 Term Loan B,
3 mo. USD SOFR + 2.750%,
8.159%, 3/03/2030(d)(m)
2,030,288
Healthcare — 0.4%
1,058,000
Bausch & Lomb Corp., 2023 Incremental Term
Loan, 9/14/2028(n)
1,043,453
1,800,000
Star Parent, Inc., 2023 Term Loan B,
9/19/2030(n)
1,757,754
 
2,801,207
Leisure — 0.4%
1,187,886
Carnival Corp., 2021 Incremental Term Loan B,
1 mo. USD SOFR + 3.250%,
8.681%, 10/18/2028(d)(o)
1,180,811
420,222
Carnival Corp., 2021 Incremental Term Loan B,
10/18/2028(n)
417,719
137,633
Carnival Corp., 2023 Term Loan B, 8/08/2027(n)
137,157
1,044,671
Carnival Corp., 2023 Term Loan B, 1 mo. USD
SOFR + 3.000%, 8.327%, 8/08/2027(d)(o)
1,041,057
 
2,776,744
Principal
Amount (‡)
Description
Value (†)
Media Entertainment — 0.6%
$2,014,950
MH Sub I LLC, 2023 Term Loan, 1 mo. USD
SOFR + 4.250%, 9.566%, 5/03/2028(d)(p)
$1,946,623
2,199,560
Playtika Holding Corp., 2021 Term Loan, 1 mo.
USD SOFR + 2.750%, 8.181%, 3/13/2028(d)(m)
2,195,447
 
4,142,070
Property & Casualty Insurance — 0.1%
243,163
AmWINS Group, Inc., 2023 Incremental Term
Loan B, 1 mo. USD SOFR + 2.750%,
8.181%, 2/19/2028(d)(m)
242,708
560,000
HUB International Ltd., 2023 Term Loan B, 3 mo.
USD SOFR + 4.250%, 9.584%, 6/20/2030(d)(o)
560,935
 
803,643
Restaurants — 0.2%
990,000
1011778 BC Unlimited Liability Co., 2023 Term
Loan B5, 1 mo. USD SOFR + 2.250%,
7.566%, 9/23/2030(m)
985,674
Technology — 0.4%
1,375,000
GTCR W Merger Sub LLC, USD Term Loan B,
9/20/2030(n)
1,373,996
967,688
Open Text Corp., 2023 Term Loan B, 1 mo. USD
SOFR + 2.750%, 8.166%, 1/31/2030(d)(p)
967,252
 
2,341,248
Transportation Services — 0.1%
552,225
Rand Parent LLC, 2023 Term Loan B, 3 mo. USD
SOFR + 4.250%, 9.640%, 3/17/2030(d)(m)
534,510
Total Senior Loans
(Identified Cost $18,593,306)
18,377,501
 

 
Shares
 
 
Common Stocks— 1.8%
Aerospace & Defense — 0.0%
473
Lockheed Martin Corp.
193,438
Air Freight & Logistics — 0.1%
1,505
United Parcel Service, Inc., Class B
234,584
Banks — 0.0%
749
JPMorgan Chase & Co.
108,620
Beverages — 0.0%
3,631
Coca-Cola Co.
203,263
Biotechnology — 0.2%
8,729
AbbVie, Inc.
1,301,145
Capital Markets — 0.1%
167
BlackRock, Inc.
107,964
1,876
Morgan Stanley
153,213
 
261,177
Chemicals — 0.0%
279
Linde PLC
103,886
Communications Equipment — 0.0%
1,487
Cisco Systems, Inc.
79,941
Construction Materials — 0.2%
200,026
Cemex SAB de CV, ADR(g)
1,300,169
Consumer Staples Distribution & Retail — 0.1%
198
Costco Wholesale Corp.
111,862
1,118
Walmart, Inc.
178,802
 
290,664
Containers & Packaging — 0.0%
564
Packaging Corp. of America
86,602
 
Shares
Description
Value (†)
Electric Utilities — 0.0%
1,384
Duke Energy Corp.
$122,152
480
NextEra Energy, Inc.
27,499
 
149,651
Electrical Equipment — 0.0%
320
Emerson Electric Co.
30,902
Financial Services — 0.0%
271
Mastercard, Inc., Class A
107,292
Ground Transportation — 0.0%
735
Union Pacific Corp.
149,668
Health Care Equipment & Supplies — 0.0%
1,636
Abbott Laboratories
158,447
Health Care Providers & Services — 0.1%
449
Elevance Health, Inc.
195,504
418
UnitedHealth Group, Inc.
210,751
 
406,255
Hotels, Restaurants & Leisure — 0.0%
2,254
Starbucks Corp.
205,723
Household Products — 0.0%
1,529
Procter & Gamble Co.
223,020
IT Services — 0.0%
521
Accenture PLC, Class A
160,004
Life Sciences Tools & Services — 0.0%
273
Thermo Fisher Scientific, Inc.
138,184
Machinery — 0.1%
424
Cummins, Inc.
96,867
479
Deere & Co.
180,765
 
277,632
Media — 0.2%
232,738
Altice USA, Inc., Class A(g)
761,053
6,294
Comcast Corp., Class A
279,076
 
1,040,129
Metals & Mining — 0.0%
4,265
Newmont Corp.
157,592
Oil, Gas & Consumable Fuels — 0.4%
17,620
Canadian Natural Resources Ltd.
1,139,486
567
Devon Energy Corp.
27,046
6,226
Diamondback Energy, Inc.
964,283
935
Pioneer Natural Resources Co.
214,629
4,471
Williams Cos., Inc.
150,628
 
2,496,072
Pharmaceuticals — 0.1%
2,896
Bristol-Myers Squibb Co.
168,084
1,246
Johnson & Johnson
194,064
266
Merck & Co., Inc.
27,385
 
389,533
Semiconductors & Semiconductor Equipment — 0.1%
368
Broadcom, Inc.
305,653
2,693
Microchip Technology, Inc.
210,189
1,969
QUALCOMM, Inc.
218,677
 
734,519
 
Shares
Description
Value (†)
Software — 0.1%
954
Microsoft Corp.
$301,226
Specialized REITs — 0.0%
956
American Tower Corp.
157,214
Specialty Retail — 0.0%
615
Home Depot, Inc.
185,828
Technology Hardware, Storage & Peripherals — 0.0%
1,254
Apple, Inc.
214,697
Trading Companies & Distributors — 0.0%
1,896
Fastenal Co.
103,598
Total Common Stocks
(Identified Cost $14,338,132)
11,950,675
Preferred Stocks — 0.1%
Convertible Preferred Stocks — 0.1%
Midstream — 0.0%
2,329
El Paso Energy Capital Trust I, 4.750%
105,760
Technology — 0.1%
29,023
Clarivate PLC, Series A, 5.250%
848,342
Total Convertible Preferred Stocks
(Identified Cost $2,238,547)
954,102
Total Preferred Stocks
(Identified Cost $2,238,547)
954,102
Other Investments — 0.0%
Aircraft ABS — 0.0%
900
ECAF I Blocker, Ltd.(c)(q)
(Identified Cost $9,000,000)
—
 
Principal
Amount (‡)
 
 
Short-Term Investments — 3.5%
$23,310,869
Tri-Party Repurchase Agreement with Fixed
Income Clearing Corporation, dated 9/29/2023
at 2.500% to be repurchased at $23,315,726
on 10/02/2023  collateralized by $26,702,600
U.S. Treasury Note, 0.750% due 8/31/2026
valued at $23,777,097 including accrued
interest(r)
(Identified Cost $23,310,869)
23,310,869
Total Investments — 100.9%
(Identified Cost $804,113,108)
668,147,754
Other assets less liabilities — (0.9)%
(6,222,696
)
Net Assets — 100.0%
$661,925,058
 
Written Options — (0.0%)
Description
Expiration
Date
Exercise
Price
Shares(††)
Notional
Amount
Premiums
(Received)
Value (†)
Options on Securities — (0.0%)
Abbott Laboratories, Call
10/20/2023
110.00
(1,200
)
$(116,220
)
$(1,941
)
$(84
)
AbbVie, Inc., Call
10/20/2023
155.00
(1,600
)
(238,496
)
(1,916
)
(816
)
Accenture PLC, Call
10/20/2023
325.00
(400
)
(122,844
)
(2,467
)
(320
)
Apple, Inc., Call
10/20/2023
195.00
(600
)
(102,726
)
(1,630
)
(21
)
 
Description
Expiration
Date
Exercise
Price
Shares(††)
Notional
Amount
Premiums
(Received)
Value (†)
BlackRock, Inc., Call
10/20/2023
730.00
(100
)
$(64,649
)
$(877
)
$(53
)
Bristol-Myers Squibb Co., Call
10/20/2023
65.00
(2,100
)
(121,884
)
(897
)
(53
)
Broadcom, Inc., Call
10/20/2023
950.00
(300
)
(249,174
)
(5,360
)
(210
)
Cisco Systems, Inc., Call
10/20/2023
57.50
(900
)
(48,384
)
(601
)
(23
)
Comcast Corp., Call
10/20/2023
47.50
(5,300
)
(235,002
)
(3,377
)
(530
)
Costco Wholesale Corp., Call
10/20/2023
575.00
(100
)
(56,496
)
(596
)
(582
)
Deere & Co., Call
10/20/2023
420.00
(300
)
(113,214
)
(1,205
)
(153
)
Duke Energy Corp., Call
10/20/2023
95.00
(700
)
(61,782
)
(663
)
(88
)
Elevance Health, Inc., Call
10/20/2023
500.00
(300
)
(130,626
)
(1,790
)
(165
)
Emerson Electric Co., Call
10/20/2023
100.00
(200
)
(19,314
)
(285
)
(125
)
Fastenal Co., Call
10/20/2023
60.00
(1,000
)
(54,640
)
(937
)
(100
)
Home Depot, Inc., Call
10/20/2023
340.00
(500
)
(151,080
)
(2,051
)
(30
)
JPMorgan Chase & Co., Call
10/20/2023
155.00
(500
)
(72,510
)
(1,024
)
(200
)
Linde PLC, Call
10/20/2023
395.00
(200
)
(74,470
)
(1,113
)
(110
)
Lockheed Martin Corp., Call
10/20/2023
470.00
(300
)
(122,688
)
(1,670
)
(60
)
Mastercard, Inc., Call
10/20/2023
415.00
(200
)
(79,182
)
(1,243
)
(200
)
Merck & Co., Inc., Call
10/20/2023
115.00
(100
)
(10,295
)
(94
)
(4
)
Microchip Technology, Inc., Call
10/20/2023
90.00
(1,900
)
(148,295
)
(1,952
)
(142
)
Microsoft Corp., Call
10/20/2023
350.00
(700
)
(221,025
)
(3,092
)
(143
)
Morgan Stanley, Call
10/20/2023
90.00
(1,300
)
(106,171
)
(1,465
)
(266
)
Packaging Corp. of America, Call
10/20/2023
155.00
(400
)
(61,420
)
(437
)
(920
)
Pioneer Natural Resources Co., Call
10/20/2023
255.00
(600
)
(137,730
)
(1,904
)
(165
)
Procter & Gamble Co., Call
10/20/2023
160.00
(1,100
)
(160,446
)
(1,295
)
(105
)
Starbucks Corp., Call
10/20/2023
105.00
(1,600
)
(146,032
)
(1,452
)
(40
)
Thermo Fisher Scientific, Inc., Call
10/20/2023
570.00
(200
)
(101,234
)
(993
)
(130
)
Union Pacific Corp., Call
10/20/2023
235.00
(600
)
(122,178
)
(1,450
)
(60
)
United Parcel Service, Inc., Call
10/20/2023
180.00
(1,100
)
(171,457
)
(1,713
)
(39
)
UnitedHealth Group, Inc., Call
10/20/2023
520.00
(300
)
(151,257
)
(2,150
)
(1,672
)
Walmart, Inc., Call
10/20/2023
160.00
(500
)
(79,965
)
(1,329
)
(1,302
)
Williams Cos., Inc., Call
10/20/2023
36.00
(2,300
)
(77,487
)
(1,144
)
(172
)
Total
 
 
$(52,113
)
$(9,083
)
 
(†)
Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. The Fund
obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are
not available are priced at fair value pursuant to the Fund's Valuation Procedures. The Board of Trustees has approved a valuation designee who is
subject to the Board's oversight.
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment
companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures
contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most
extensively. 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. Shares of open-end investment companies are valued at net asset value per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an
independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair valued at the last sale price quoted in the
market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent
pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be fair valued using evaluated bids
furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Fund by an independent pricing
service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations are fair valued at bid prices supplied by an
independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and collateralized
loan obligations where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a
reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information
provided by an independent pricing service.Bilateral credit default swaps are fair valued based on mid prices (between the bid price and the ask
price) supplied by an independent pricing service. Bilateral interest rate swaps are fair valued based on prices supplied by an independent pricing
source. Centrally cleared swap agreements are fair valued at settlement prices of the clearing house on which the contracts were traded or prices
obtained from broker-dealers.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.
The Fund may also fair value investments in other circumstances such as when extraordinary events occur after the close of a foreign market, but
prior to the close of the New York Stock Exchange. This may include situations relating to a single issuer (such as a declaration of bankruptcy or a
delisting of the issuer's security from the primary market on which it has traded) as well as events affecting the securities markets in general (such
as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Fund's investments, the valuation
designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or
other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund's net asset value
("NAV") is calculated. Fair valuation by the Fund's valuation designee may require subjective determinations about the value of the investment, and
fair values used to determine a Fund's NAV may differ from quoted or published prices, or from prices that are used by others, for the same
investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in
currencies other than U.S. dollars, if any, are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
 
(‡)
Principal Amount stated in U.S. dollars unless otherwise noted.
(††)
Options on securities are expressed as shares.
(a)
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, 2023, the value of Rule 144A holdings amounted to
$390,784,876 or 59.0% of net assets.
(b)
Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of
assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier
and/or subject to certain floors or caps. Rate as of September 30, 2023 is disclosed.
(c)
Level 3 security. Value has been determined using significant unobservable inputs.
(d)
Variable rate security. Rate as of September 30, 2023 is disclosed.
(e)
Perpetual bond with no specified maturity date.
(f)
The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(g)
Non-income producing security.
(h)
Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots
with differing annualized yields.
(i)
Amount shown represents units. One unit represents a principal amount of 1,000.
(j)
Amount shown represents units. One unit represents a principal amount of 100.
(k)
Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
(l)
Interest rate represents annualized yield at time of purchase; not a coupon rate.
(m)
Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate
of 0.00%, to which the spread is added.
(n)
Position is unsettled. Contract rate was not determined at September 30, 2023 and does not take effect until settlement date. Maturity date is not
finalized until settlement date.
(o)
Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate
of 0.75%, to which the spread is added.
(p)
Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate
of 0.50%, to which the spread is added.
(q)
Securities subject to restriction on resale. At September 30, 2023, 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
 —
Less than 0.1%
 
(r)
The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as
collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund's policy that the market value of the
collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-
party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase
agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the
Fund's ability to dispose of the underlying securities. As of September 30, 2023, the Fund had an investment in a repurchase agreement for which the
value of the related collateral exceeded the value of the repurchase agreement.
 
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.
EURIBOR
Euro Interbank Offered Rate
JIBAR
Johannesburg Interbank Agreed Rate
LIBOR
London Interbank Offered Rate
MTN
Medium Term Note
REITs
Real Estate Investment Trusts
REMIC
Real Estate Mortgage Investment Conduit
SAFEX
South African Futures Exchange
SLM
Sallie Mae
SOFR
Secured Overnight Financing Rate
 
ARS
Argentine Peso
BRL
Brazilian Real
COP
Colombian Peso
EUR
Euro
HUF
Hungarian Forint
IDR
Indonesian Rupiah
MXN
Mexican Peso
ZAR
South African Rand
Swap Agreements
The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the "protection buyer" and "protection seller") to exchange the credit risk of an issuer ("reference obligation") for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments ("fees") over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
Swap agreements are valued daily and fluctuations in the value are recorded as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded as part of unrealized appreciation (depreciation) on swap agreements. When received or paid, fees are recorded as realized gain or loss. Upfront premiums paid or received by the Fund are recorded as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Fund as a result of a credit event or termination of the agreement are recorded as realized gain or loss.
Swap agreements are privately negotiated in the over-the-counter ("OTC") market and may be entered into as a bilateral contract or centrally cleared ("centrally cleared swaps"). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the "CCP") and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as "variation margin," are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund's counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty.  
At September 30, 2023, the Fund had the following open centrally cleared interest rate swap agreements:
Notional
Value
Currency
Expiration Date
Fund Pays1
Fund Receives1
Market Value
Unrealized
Appreciation
(Depreciation)2
330,000,000
ZAR
5/07/2030
7.58
%
3 mo. SAFEX - JIBAR
$1,477,232
$1,475,757
 
At September 30, 2023, the Fund had the following open centrally cleared credit default swap agreements:
 
Buy Protection
 
Reference Obligation
(Pay)/
Receive
Fixed Rate
Expiration
Date
Notional
Value(‡)
Unamortized
Up Front Premium
Paid/(Received)
Market
Value
Unrealized
Appreciation
(Depreciation)
CDX.NA.HY* .S41
(5.00%)
12/20/2028
37,805,000
$(435,962
)
$(262,926
)
$173,036
CDX.NA.HY* .S41
(5.00%)
12/20/2028
23,520,000
(271,229
)
(163,576
)
107,653
Total
 
 
$(426,502
)
$280,689
 
(‡)
Notional value stated in U.S. dollars unless otherwise noted.
1
Payments are made quarterly.
2
Differences between unrealized appreciation (depreciation) and market value, if any, are due to interest booked as part of the initial trades.
*
CDX.NA.HY is an index composed of North American high yield credit default swaps.
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund's investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation). The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts. 
At September 30, 2023, the Fund had the following open forward foreign currency contracts:
Counterparty
Delivery
Date
Currency
Bought/
Sold (B/S)
Units
of
Currency
In Exchange
for
Notional
Value
Unrealized
Appreciation
(Depreciation)
Bank of America N.A.
10/31/2023
EUR
S
800,000
$884,128
$846,774
$37,354
Bank of America N.A.
12/05/2023
EUR
S
2,255,000
2,456,710
2,390,503
66,207
Barclays Bank PLC
10/31/2023
EUR
S
1,955,000
2,162,810
2,069,302
93,508
BNP Paribas SA
11/16/2023
ZAR
S
225,060,000
11,686,511
11,841,039
(154,528
)
Goldman Sachs International
11/20/2023
EUR
S
1,795,000
1,965,877
1,901,584
64,293
Morgan Stanley Capital Services LLC
10/11/2023
COP
B
2,363,405,000
585,581
578,135
(7,446
)
Morgan Stanley Capital Services LLC
10/11/2023
COP
S
2,363,405,000
560,447
578,135
(17,688
)
Total
 
 
$81,700
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as "initial margin." As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as "variation margin," are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund's ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund's claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court. 
At September 30, 2023, open long futures contracts were as follows:
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CBOT 2 Year U.S. Treasury Notes Futures
12/29/2023
2,350
$477,599,096
$476,370,704
$(1,228,392
)
CBOT 5 Year U.S. Treasury Notes Futures
12/29/2023
923
98,117,088
97,246,703
(870,385
)
CBOT U.S. Long Bond Futures
12/19/2023
825
98,579,405
93,869,531
(4,709,874
)
Total
 
 
$(6,808,651
)
 
At September 30, 2023, open short futures contracts were as follows:
Financial Futures
Expiration
Date
Contracts
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
CME Ultra Long Term U.S. Treasury Bond Futures
12/19/2023
882
$111,374,712
$104,682,375
$6,692,337
Ultra 10 Year U.S. Treasury Notes Futures
12/19/2023
1,136
130,290,908
126,735,000
3,555,908
Total
 
 
$10,248,245
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 each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:
• Level 1 — quoted prices in active markets for identical assets or liabilities;
• Level 2 — prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and
• Level 3 — prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Fund's pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Fund has knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Fund's investments as of September 30, 2023, at value: 
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity
$—
$49,156,851
$43,392
$49,200,243
Asset Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Non-Agency Commercial Mortgage-Backed Securities
$—
$38,219,090
$1,457,150
$39,676,240
All Other Non-Convertible Bonds(a)
—
423,308,925
—
423,308,925
Total Non-Convertible Bonds
—
510,684,866
1,500,542
512,185,408
Convertible Bonds(a)
—
30,705,952
—
30,705,952
Total Bonds and Notes
—
541,390,818
1,500,542
542,891,360
Collateralized Loan Obligations
—
70,663,247
—
70,663,247
Senior Loans(a)
—
18,377,501
—
18,377,501
Common Stocks(a)
11,950,675
—
—
11,950,675
Preferred Stocks(a)
954,102
—
—
954,102
Other Investments(a)
—
—
—
—
Short-Term Investments
—
23,310,869
—
23,310,869
Total Investments
12,904,777
653,742,435
1,500,542
668,147,754
Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation)
—
1,475,757
—
1,475,757
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation)
—
280,689
—
280,689
Forward Foreign Currency Contracts (unrealized appreciation)
—
261,362
—
261,362
Futures Contracts (unrealized appreciation)
10,248,245
—
—
10,248,245
Total
$23,153,022
$655,760,243
$1,500,542
$680,413,807
 
Liability Valuation Inputs
Description
Level 1
Level 2
Level 3
Total
Written Options(a)
$(9,083
)
$—
$—
$(9,083
)
Forward Foreign Currency Contracts (unrealized depreciation)
—
(179,662
)
—
(179,662
)
Futures Contracts (unrealized depreciation)
(6,808,651
)
—
—
(6,808,651
)
Total
$(6,817,734
)
$(179,662
)
$—
$(6,997,396
)
 
(a)
Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Fund’s adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2022 and/or September 30, 2023: 
 
Asset Valuation Inputs
Investments in Securities
Balance as of
December 31,
2022
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,
2023
Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
September 30,
2023
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity
$—
$—
$(3,519
)
$6,485
$—
$(127,348
)
$167,774
$—
$43,392
$6,485
Non-Agency Commercial Mortgage-
Backed Securities
1,992,567
—
—
(535,417
)
—
—
—
—
1,457,150
(535,417
)
Other Investments
Aircraft ABS
61,425
—
—
(61,425
)
—
—
—
—
—
—
Total
$2,053,992
$—
$(3,519
)
$(590,357
)
$—
$(127,348
)
$167,774
$—
$1,500,542
$(528,932
)
Debt securities valued at $167,774 were transferred from Level 2 to Level 3 during the period ended September 30, 2023. At December 31, 2022, this security was (these securities were) fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund's valuation policies. At September 30, 2023, these securities were fair valued as determined by the Fund's valuation designee as an independent pricing service did not provide a reliable price for the securities.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used at period end include forward foreign currency contracts, futures contracts, option contracts and swap agreements.
The Fund is subject to the risk that companies in which the Fund invests will fail financially or otherwise be unwilling or unable to meet their obligations to the Fund. The Fund may use credit default swaps, as a protection buyer, to hedge its credit exposure to issuers of bonds it holds without having to sell the bonds. The Fund may also use credit default swaps, as a protection seller, to gain investment exposure. As of September 30, 2023, the Fund engaged in credit default swap agreements (as a protection buyer) to hedge its credit exposure.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. As of September 30, 2023, the Fund engaged in forward foreign currency contracts for hedging purposes to gain exposure to foreign currencies.
The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts and interest rate swap agreements to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Fund may also use futures contracts and interest rate swap agreements to gain investment exposure. As of September 30, 2023, the Fund engaged in futures contracts and interest rate swap agreements for hedging purposes, to manage duration and yield curve management.
The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts, purchased put options and written call options to hedge against a decline in value of an equity security that it owns. The Fund may also write put options to offset the cost of options used for hedging purposes and use futures and option contracts to gain investment exposure. As of September 30, 2023, the Fund engaged in option contracts for hedging purposes and investment exposure.
The following is a summary of derivative instruments for the Fund, as of September 30, 2023: 
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
$261,362
$—
$—
$261,362
Exchange-traded/cleared asset derivatives
Interest rate contracts
—
10,248,245
1,477,232
11,725,477
Total asset derivatives
$261,362
$10,248,245
$1,477,232
$11,986,839
 
Liabilities
Options
written at
value
Unrealized
depreciation
on forward
foreign
currency
contracts
Unrealized
depreciation
on futures
contracts
Swap
agreements
at value
Total
Over-the-counter liability derivatives
Foreign exchange contracts
$—
$(179,662
)
$—
$—
$(179,662
)
Exchange-traded/cleared liability derivatives
Interest rate contracts
—
—
(6,808,651
)
—
(6,808,651
)
Credit contracts
—
—
—
(426,502
)
(426,502
)
Equity contracts
(9,083
)
—
—
—
(9,083
)
Total exchange-traded/cleared liability derivatives
$(9,083
)
$—
$(6,808,651
)
$(426,502
)
$(7,244,236
)
Total liability derivatives
$(9,083
)
$(179,662
)
$(6,808,651
)
$(426,502
)
$(7,423,898
)
The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
OTC derivatives, including forward foreign currency contracts and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market
exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2023, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows: 
Counterparty:
Derivatives
Collateral Pledged
BNP Paribas SA
$(154,528
)
$260,000
Morgan Stanley Capital Services LLC
(25,134
)
—
Counterparty risk is managed based on policies and procedures established by each Fund's adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund's risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund's aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange's clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker's customer accounts. While brokers typically are required to segregate customer margin for exchange-traded derivatives from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker's customers, potentially resulting in losses to the Fund. 
Industry Summary at September 30, 2023 (Unaudited)
Banking
7.9%
ABS Home Equity
7.4
Treasuries
6.6
Non-Agency Commercial Mortgage-Backed Securities
6.0
Cable Satellite
5.9
ABS Car Loan
5.2
Finance Companies
4.6
Technology
4.4
ABS Other
3.9
Metals & Mining
3.3
Pharmaceuticals
3.0
Media Entertainment
2.9
Independent Energy
2.5
ABS Student Loan
2.0
Consumer Cyclical Services
2.0
Other Investments, less than 2% each
19.1
Collateralized Loan Obligations
10.7
Short-Term Investments
3.5
Total Investments
100.9
Other assets less liabilities (Including open written options, swap agreements, forward foreign currency and futures contracts)
(0.9)
Net Assets
100.0%