N-Q 1 d441581dnq.htm NATIXIS FUNDS TRUST I Natixis Funds Trust I

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-04323

 

 

Natixis Funds Trust I

(Exact name of registrant as specified in charter)

 

 

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

 

 

Russell L. Kane, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (617) 449-2822

Date of fiscal year end: September 30

Date of reporting period: June 30, 2017

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS

PORTFOLIO OF INVESTMENTS – as of June 30, 2017 (Unaudited)

Loomis Sayles Core Plus Bond Fund

 

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – 92.4% of Net Assets

  
   ABS Car Loan – 3.4%  
$ 110,315     

AmeriCredit Automobile Receivables Trust, Series 2013-2, Class C,

1.790%, 3/08/2019

    $ 110,323  
  3,060,000     

AmeriCredit Automobile Receivables Trust, Series 2014-2, Class C, 2.

180%, 6/08/2020

      3,071,088  
  1,969,000     

AmeriCredit Automobile Receivables Trust, Series 2014-3, Class B,

1.920%, 11/08/2019

      1,971,328  
  4,262,000     

AmeriCredit Automobile Receivables Trust, Series 2014-3, Class C,

2.580%, 9/08/2020

      4,291,920  
  2,438,000     

AmeriCredit Automobile Receivables Trust, Series 2014-4, Class C,

2.470%, 11/09/2020

      2,456,431  
    16,421,000     

AmeriCredit Automobile Receivables Trust, Series 2015-1, Class C,

2.510%, 1/08/2021

           16,566,153  
  7,135,000     

AmeriCredit Automobile Receivables Trust, Series 2015-4, Class B,

2.110%, 1/08/2021

      7,157,316  
  4,495,000     

AmeriCredit Automobile Receivables Trust, Series 2015-4, Class C,

2.880%, 7/08/2021

      4,535,946  
  485,000     

AmeriCredit Automobile Receivables Trust, Series 2017-1, Class A3,

1.870%, 8/18/2021

      484,842  
  1,950,000     

Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A,

2.100%, 3/20/2019, 144A

      1,953,581  
  1,535,000     

Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class B,

2.620%, 9/20/2019, 144A

      1,539,119  
  3,900,000     

Avis Budget Rental Car Funding AESOP LLC, Series 2013-2A, Class A,

2.970%, 2/20/2020, 144A

      3,939,725  
  2,000,000     

Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A,

2.500%, 7/20/2021, 144A

      1,991,021  
  11,955,000     

Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A,

2.990%, 6/20/2022, 144A

      12,025,182  
  15,005,000     

Avis Budget Rental Car Funding AESOP LLC, Series 2016-2A, Class A,

2.720%, 11/20/2022, 144A

      14,865,365  
  10,350,000     

Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A,

3.070%, 9/20/2023, 144A

      10,337,835  
  4,470,213     

CPS Auto Receivables Trust, Series 2015-A, Class A,

1.530%, 7/15/2019, 144A

      4,467,976  
  3,982,617     

CPS Auto Receivables Trust, Series 2015-B, Class A,

1.650%, 11/15/2019, 144A

      3,984,373  
  14,384,000     

CPS Auto Receivables Trust, Series 2015-C, Class C,

3.420%, 8/16/2021, 144A

      14,535,054  
  10,986,000     

Credit Acceptance Auto Loan Trust, Series 2014-2A, Class B,

2.670%, 9/15/2022, 144A

      11,016,704  
  908,544     

Credit Acceptance Auto Loan Trust, Series 2015-1A, Class A,

2.000%, 7/15/2022, 144A

      908,935  
  7,515,000     

Credit Acceptance Auto Loan Trust, Series 2016-2A, Class A,

2.420%, 11/15/2023, 144A

      7,541,660  
  8,230,000     

Credit Acceptance Auto Loan Trust, Series 2016-3A, Class A,

2.150%, 4/15/2024, 144A

      8,212,867  
  3,600,000     

Credit Acceptance Auto Loan Trust, Series 2017-1A, Class A,

2.560%, 10/15/2025, 144A

      3,610,924  
  3,500,000     

Drive Auto Receivables Trust, Series 2016-BA, Class B,

2.560%, 6/15/2020, 144A

      3,511,481  
  7,260,000     

Drive Auto Receivables Trust, Series 2016-BA, Class C,

3.190%, 7/15/2022, 144A

      7,338,889  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   ABS Car Loan – continued  
$ 3,185,000     

Drive Auto Receivables Trust, Series 2017-1, Class B,

2.360%, 3/15/2021

    $ 3,183,485  
  2,595,000     

Drive Auto Receivables Trust, Series 2017-AA, Class B,

2.510%, 1/15/2021, 144A

      2,604,744  
  3,625,000     

Drive Auto Receivables Trust, Series 2017-AA, Class C,

2.980%, 1/18/2022, 144A

      3,651,330  
  1,325,000     

Drive Auto Receivables Trust, Series 2017-BA, Class B,

2.200%, 5/15/2020, 144A

      1,325,538  
  4,630,092     

DT Auto Owner Trust, Series 2014-3A, Class C,

3.040%, 9/15/2020, 144A

      4,645,896  
  3,511,569     

DT Auto Owner Trust, Series 2017-1A, Class A,

1.560%, 6/15/2020, 144A

      3,507,913  
  4,254,484     

DT Auto Owner Trust, Series 2017-2A, Class A,

1.720%, 5/15/2020, 144A

      4,254,570  
  2,565,037     

Exeter Automobile Receivables Trust, Series 2014-3A, Class B,

2.770%, 11/15/2019, 144A

      2,570,669  
  2,120,326     

Exeter Automobile Receivables Trust, Series 2016-1A, Class A,

2.350%, 7/15/2020, 144A

      2,123,215  
  4,279,412     

Exeter Automobile Receivables Trust, Series 2017-1A, Class A,

1.960%, 3/15/2021, 144A

      4,271,563  
  3,999,131     

First Investors Auto Owner Trust, Series 2014-3A, Class A3,

1.670%, 11/16/2020, 144A

      3,999,649  
  2,115,529     

First Investors Auto Owner Trust, Series 2017-1A, Class A1,

1.690%, 4/15/2021, 144A

      2,113,309  
  321,703     

Flagship Credit Auto Trust, Series 2014-2, Class A,

1.430%, 12/16/2019, 144A

      321,719  
  6,839,454     

Flagship Credit Auto Trust, Series 2016-1, Class A,

2.770%, 12/15/2020, 144A

      6,892,235  
  7,415,569     

Santander Drive Auto Receivables Trust, Series 2014-2, Class C,

2.330%, 11/15/2019

      7,438,233  
  1,866,789     

Santander Drive Auto Receivables Trust, Series 2014-3, Class C,

2.130%, 8/17/2020

      1,870,044  
  3,088,811     

Santander Drive Auto Receivables Trust, Series 2014-4, Class C,

2.600%, 11/16/2020

      3,102,786  
  6,922,000     

Santander Drive Auto Receivables Trust, Series 2014-5, Class C,

2.460%, 6/15/2020

      6,952,370  
  4,440,000     

Santander Drive Auto Receivables Trust, Series 2017-2, Class B,

2.210%, 10/15/2021

      4,439,545  
     

 

 

  
           221,694,851  
     

 

 

  
   ABS Credit Card – 0.4%  
  463,000     

World Financial Network Credit Card Master Trust, Series 2012-A, Class A,

3.140%, 1/17/2023

      473,146  
    11,115,000     

World Financial Network Credit Card Master Trust, Series 2016-A, Class A,

2.030%, 4/15/2025

      10,984,108  
  12,265,000     

World Financial Network Credit Card Master Trust, Series 2016-C, Class A,

1.720%, 8/15/2023

      12,191,606  
     

 

 

  
        23,648,860  
     

 

 

  
   ABS Home Equity – 1.7%  
  3,675,884     

Bayview Koitere Fund Trust, Series 2017-SPL3, Class A,

4.000%, 11/28/2053, 144A(b)

      3,837,920  
  5,641,391     

Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A,

4.000%, 4/28/2055, 144A

      5,858,132  
  3,047,910     

Bayview Opportunity Master Fund IVa Trust, Series 2017-RT1, Class A1,

3.000%, 3/28/2057, 144A(b)

      3,083,947  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   ABS Home Equity – continued  
$ 7,821,236     

Bayview Opportunity Master Fund IVa Trust, Series 2017-SPL1, Class A,

4.000%, 10/28/2064, 144A(b)

    $ 8,168,447  
  3,308,514     

Bayview Opportunity Master Fund Trust, Series 2017-SPL2, Class A,

4.000%, 6/28/2054, 144A(b)

      3,457,116  
    17,990,147     

Colony American Finance Ltd., Series 2015-1, Class A,

2.896%, 10/15/2047, 144A

      18,006,592  
  4,028,790     

Colony American Homes, Series 2014-1A, Class A,

2.359%, 5/17/2031, 144A(b)

      4,050,832  
  108,453     

Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3,

5.115%, 2/25/2035(b)

      109,716  
  10,580,805     

Home Partners of America Trust, Series 2016-1, Class A,

2.859%, 3/17/2033, 144A(b)

      10,739,378  
  7,366,828     

Mill City Mortgage Trust, Series 2015-2, Class A1,

3.000%, 9/25/2057, 144A(b)

      7,404,569  
  5,088,657     

Mill City Mortgage Trust, Series 2016-1, Class A1,

2.500%, 4/25/2057, 144A(b)

      5,098,441  
  1,454,000     

Towd Point Mortgage Trust, Series 2015-1, Class A5,

3.517%, 10/25/2053, 144A(b)

      1,510,707  
  14,477,050     

Towd Point Mortgage Trust, Series 2015-2, Class 1AE2,

2.750%, 11/25/2060, 144A(b)

      14,575,420  
  5,018,000     

Towd Point Mortgage Trust, Series 2015-4, Class M2,

3.750%, 4/25/2055, 144A(b)

      5,118,312  
  10,369,675     

Towd Point Mortgage Trust, Series 2016-2, Class A1A,

2.750%, 8/25/2055, 144A(b)

      10,440,457  
  6,017,000     

Towd Point Mortgage Trust, Series 2016-2, Class M2,

3.000%, 8/25/2055, 144A(b)

      5,538,941  
  2,726,000     

Towd Point Mortgage Trust, Series 2016-3, Class M1,

3.500%, 4/25/2056, 144A(b)

      2,750,510  
     

 

 

  
           109,749,437  
     

 

 

  
   ABS Other – 1.0%  
  9,116,165     

DB Master Finance LLC, Series 2015-1A, Class A2I,

3.262%, 2/20/2045, 144A

      9,170,771  
  407,635     

OneMain Financial Issuance Trust, Series 2014-2A, Class A,

2.470%, 9/18/2024, 144A

      408,165  
  19,255,000     

OneMain Financial Issuance Trust, Series 2015-1A, Class A,

3.190%, 3/18/2026, 144A

      19,446,924  
  13,980,000     

OneMain Financial Issuance Trust, Series 2016-1A, Class A,

3.660%, 2/20/2029, 144A

      14,307,068  
  15,600,000     

OneMain Financial Issuance Trust, Series 2016-2A, Class A,

4.100%, 3/20/2028, 144A

      15,913,535  
  6,425,800     

TAL Advantage V LLC, Series 2014-3A, Class A,

3.270%, 11/21/2039, 144A

      6,396,476  
     

 

 

  
        65,642,939  
     

 

 

  
   ABS Student Loan – 0.0%  
  684,417     

SoFi Professional Loan Program LLC, Series 2014-A, Class A2,

3.020%, 10/25/2027, 144A

      690,836  
  2,211,614     

SoFi Professional Loan Program LLC, Series 2014-B, Class A2,

2.550%, 8/27/2029, 144A

      2,223,662  
     

 

 

  
        2,914,498  
     

 

 

  
   Aerospace & Defense – 0.2%  
  921,000     

Bombardier, Inc.,

5.750%, 3/15/2022, 144A

      916,395  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Aerospace & Defense – continued  
$   12,842,000     

Embraer Netherlands Finance BV,

5.050%, 6/15/2025

    $ 13,387,785  
     

 

 

  
        14,304,180  
     

 

 

  
   Airlines – 0.1%  
  2,607,566     

Continental Airlines Pass Through Certificates, Series 2012-2, Class A,

4.000%, 4/29/2026

      2,724,854  
  775,620     

Continental Airlines Pass Through Trust, Series 2010-1, Class A,

4.750%, 7/12/2022

      820,218  
     

 

 

  
        3,545,072  
     

 

 

  
   Automotive – 2.1%  
  642,000     

American Axle & Manufacturing, Inc.,

5.125%, 2/15/2019

      648,550  
  1,285,000     

Ford Motor Credit Co. LLC,

2.375%, 1/16/2018

      1,289,049  
  4,742,000     

Ford Motor Credit Co. LLC,

2.375%, 3/12/2019

      4,763,481  
  10,160,000     

Ford Motor Credit Co. LLC,

3.336%, 3/18/2021

      10,356,169  
  7,612,000     

Ford Motor Credit Co. LLC,

5.000%, 5/15/2018

      7,806,707  
  27,688,000     

Ford Motor Credit Co. LLC,

5.750%, 2/01/2021

      30,466,297  
  16,412,000     

Ford Motor Credit Co. LLC,

5.875%, 8/02/2021

      18,301,579  
  2,192,000     

Ford Motor Credit Co. LLC,

6.625%, 8/15/2017

      2,204,010  
  15,301,000     

General Motors Co.,

5.000%, 4/01/2035

      15,337,830  
  14,829,000     

General Motors Co.,

6.250%, 10/02/2043

      16,471,297  
  22,752,000     

Hyundai Capital America,

3.000%, 10/30/2020, 144A

      22,909,239  
  4,290,000     

Hyundai Capital Services, Inc.,

3.500%, 9/13/2017, 144A

      4,303,917  
     

 

 

  
           134,858,125  
     

 

 

  
   Banking – 7.0%  
  17,853,000     

Ally Financial, Inc.,

3.750%, 11/18/2019

      18,254,693  
  16,016,000     

Banco Santander Chile,

3.875%, 9/20/2022, 144A

      16,594,183  
  7,967,000     

Bangkok Bank PCL,

2.750%, 3/27/2018, 144A

      7,999,588  
  34,130,000     

Bangkok Bank PCL,

3.300%, 10/03/2018, 144A

      34,604,748  
  6,608,000     

Bank of America Corp.,

2.650%, 4/01/2019

      6,687,580  
  5,715,000     

Bank of America Corp., GMTN,

2.625%, 4/19/2021

      5,740,329  
  47,520,000     

Bank of America Corp., MTN,

5.000%, 5/13/2021(c)

      51,850,403  
  4,199,000     

Bank of America Corp., MTN,

6.875%, 4/25/2018

      4,369,601  
  45,518,000     

Barclays PLC,

2.875%, 6/08/2020

      45,946,780  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Banking – continued  
$ 5,318,000     

Barclays PLC,

3.200%, 8/10/2021

    $ 5,394,436  
    25,327,000     

BBVA Banco Continental S.A.,

3.250%, 4/08/2018, 144A

      25,618,260  
  15,481,000     

Citigroup, Inc.,

2.500%, 9/26/2018

      15,585,930  
  3,105,000     

Citigroup, Inc.,

2.650%, 10/26/2020

      3,134,709  
  27,055,000     

Citigroup, Inc.,

4.050%, 7/30/2022

      28,282,972  
  3,725,000     

Goldman Sachs Group, Inc. (The),

2.600%, 4/23/2020

      3,759,590  
  9,636,000     

Goldman Sachs Group, Inc. (The),

3.625%, 1/22/2023

      9,945,489  
  14,867,000     

Goldman Sachs Group, Inc. (The),

5.750%, 1/24/2022

      16,738,369  
  13,448,000     

Goldman Sachs Group, Inc. (The),

6.750%, 10/01/2037

      17,456,055  
  8,819,000     

JPMorgan Chase & Co.,

3.200%, 1/25/2023

      8,991,579  
  1,785,000     

JPMorgan Chase & Co.,

4.250%, 10/15/2020

      1,895,461  
  10,223,000     

JPMorgan Chase & Co.,

4.350%, 8/15/2021

      10,942,239  
  23,597,000     

JPMorgan Chase & Co.,

4.500%, 1/24/2022

      25,551,988  
  1,605,000     

Lloyds Banking Group PLC,

3.000%, 1/11/2022

      1,620,851  
  3,955,000     

Lloyds Banking Group PLC,

3.100%, 7/06/2021

      4,017,351  
  6,465,000     

Morgan Stanley,

2.800%, 6/16/2020

      6,559,001  
  3,381,000     

Morgan Stanley,

3.700%, 10/23/2024

      3,469,778  
  19,598,000     

Morgan Stanley,

5.750%, 1/25/2021

      21,683,894  
  12,550,000     

Morgan Stanley, GMTN,

5.500%, 7/28/2021

      13,916,130  
  21,770,000     

Morgan Stanley, Series F,

3.875%, 4/29/2024

      22,625,322  
  4,977,000     

Morgan Stanley, Series F, GMTN,

6.625%, 4/01/2018

      5,153,733  
  9,123,000     

Santander UK Group Holdings PLC,

5.625%, 9/15/2045, 144A

      10,243,304  
     

 

 

  
           454,634,346  
     

 

 

  
   Building Materials – 0.1%  
  8,563,000     

Owens Corning,

4.200%, 12/01/2024

      8,966,189  
     

 

 

  
   Cable Satellite – 0.5%  
  14,275,000     

Time Warner Cable LLC,

4.500%, 9/15/2042

      13,582,506  
  3,939,000     

Time Warner Cable LLC,

5.500%, 9/01/2041

      4,233,105  
  2,648,000     

Time Warner Cable LLC,

5.875%, 11/15/2040

      2,951,524  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Cable Satellite – continued  
$ 8,447,000     

Time Warner Cable LLC,

6.550%, 5/01/2037

    $      10,086,698  
  2,013,000     

Time Warner Cable LLC,

6.750%, 6/15/2039

      2,463,914  
     

 

 

  
        33,317,747  
     

 

 

  
   Chemicals – 1.3%  
    26,749,000     

Braskem America Finance Co.,

7.125%, 7/22/2041, 144A

      28,446,224  
  3,680,000     

Koppers, Inc.,

6.000%, 2/15/2025, 144A

      3,910,000  
  3,566,000     

Methanex Corp.,

3.250%, 12/15/2019

      3,584,711  
  14,107,000     

Methanex Corp.,

5.250%, 3/01/2022

      14,866,168  
  7,727,000     

Mexichem SAB de CV,

5.875%, 9/17/2044, 144A

      7,738,590  
  11,165,000     

Mexichem SAB de CV,

6.750%, 9/19/2042, 144A(c)

      12,155,894  
  4,402,000     

RPM International, Inc.,

3.450%, 11/15/2022

      4,521,039  
  3,558,000     

RPM International, Inc.,

6.125%, 10/15/2019

      3,860,398  
  4,155,000     

Venator Finance S.a.r.l/Venator Materials Corp.,

5.750%, 7/15/2025, 144A

      4,196,550  
     

 

 

  
        83,279,574  
     

 

 

  
   Collateralized Mortgage Obligations – 2.1%  
  5,000,000     

Federal Home Loan Mortgage Corp., REMIC, Series 3654, Class DC,

5.000%, 4/15/2030

      5,660,989  
  3,480,171     

Federal Home Loan Mortgage Corp., Series 353, Class 300,

3.000%, 12/15/2046

      3,464,053  
  35,223,082     

Federal Home Loan Mortgage Corp., Series 277, Class 30,

3.000%, 9/15/2042

      34,992,511  
  633,294     

Government National Mortgage Association, Series 2010-H20, Class AF,

1.323%, 10/20/2060(b)

      628,803  
  493,504     

Government National Mortgage Association, Series 2010-H24, Class FA,

1.343%, 10/20/2060(b)

      490,141  
  439,481     

Government National Mortgage Association, Series 2011-H06, Class FA,

1.443%, 2/20/2061(b)

      438,841  
  4,957,756     

Government National Mortgage Association, Series 2012-H12, Class FA,

1.543%, 4/20/2062(b)

      4,965,765  
  652,590     

Government National Mortgage Association, Series 2012-H18, Class NA,

1.513%, 8/20/2062(b)

      652,461  
  5,276,192     

Government National Mortgage Association, Series 2012-H27, Class FA,

1.393%, 10/20/2062(b)

      5,259,984  
  2,951,814     

Government National Mortgage Association, Series 2013-H01, Class FA,

1.650%, 1/20/2063

      2,934,655  
  4,708,063     

Government National Mortgage Association, Series 2013-H03, Class HA,

1.750%, 12/20/2062

      4,679,617  
  6,742,166     

Government National Mortgage Association, Series 2013-H04, Class BA,

1.650%, 2/20/2063

      6,713,334  
  16,903,387     

Government National Mortgage Association, Series 2013-H07, Class DA,

2.500%, 3/20/2063

      16,992,837  
  23,390,507     

Government National Mortgage Association, Series 2013-H10, Class PA,

2.500%, 4/20/2063

      23,465,738  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Collateralized Mortgage Obligations – continued  
$   23,296,690     

Government National Mortgage Association, Series 2015-H10, Class JA,

2.250%, 4/20/2065

    $ 22,862,813  
  4,040,661     

Government National Mortgage Association, Series 2015-H13, Class FL,

1.273%, 5/20/2063(b)

      4,039,406  
     

 

 

  
           138,241,948  
     

 

 

  
   Construction Machinery – 0.1%  
  8,705,000     

CNH Industrial Capital LLC,

4.375%, 4/05/2022

      9,109,783  
     

 

 

  
   Consumer Products – 0.5%  
  25,420,000     

ACWA Power Management And Investments One Ltd.,

5.950%, 12/15/2039, 144A

      25,931,552  
  3,495,000     

Whirlpool Corp., MTN,

4.850%, 6/15/2021

      3,804,346  
     

 

 

  
        29,735,898  
     

 

 

  
   Diversified Manufacturing – 0.5%  
  1,158,000     

Crane Co.,

6.550%, 11/15/2036

      1,432,412  
  32,127,000     

Votorantim Cimentos S.A.,

7.250%, 4/05/2041, 144A

      31,596,905  
     

 

 

  
        33,029,317  
     

 

 

  
   Electric – 0.8%  
  3,315,000     

Enel Americas S.A.,

4.000%, 10/25/2026

      3,351,465  
  3,364,000     

Enel Generacion Chile S.A.,

4.250%, 4/15/2024

      3,491,968  
  11,961,000     

FirstEnergy Corp.,

2.750%, 3/15/2018

      12,037,251  
  17,247,000     

National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter),

4.750%, 4/30/2043

      17,615,413  
  8,413,000     

Transelec S.A.,

4.250%, 1/14/2025, 144A

      8,700,965  
  4,380,000     

Transelec S.A.,

4.625%, 7/26/2023, 144A

      4,650,150  
     

 

 

  
        49,847,212  
     

 

 

  
   Finance Companies – 2.3%  
  16,922,000     

AerCap Ireland Capital DAC/AerCap Global Aviation Trust,

3.750%, 5/15/2019

      17,381,111  
  15,869,000     

International Lease Finance Corp.,

5.875%, 4/01/2019

      16,854,036  
  3,910,000     

International Lease Finance Corp.,

5.875%, 8/15/2022

      4,414,238  
  16,190,000     

International Lease Finance Corp.,

6.250%, 5/15/2019

      17,365,135  
  18,730,000     

iStar, Inc.,

6.500%, 7/01/2021

      19,619,675  
  14,547,000     

Navient LLC, MTN,

8.000%, 3/25/2020

      16,256,272  
  13,509,000     

Quicken Loans, Inc.,

5.750%, 5/01/2025, 144A

      13,948,043  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Finance Companies – continued  
$   39,143,000     

Springleaf Finance Corp.,

5.250%, 12/15/2019

    $ 40,712,634  
     

 

 

  
           146,551,144  
     

 

 

  
   Financial Other – 0.2%  
  15,649,000     

Cielo S.A./Cielo USA, Inc.,

3.750%, 11/16/2022, 144A

      15,023,040  
     

 

 

  
   Food & Beverage – 0.1%  
  3,490,000     

Gruma SAB de CV,

4.875%, 12/01/2024, 144A

      3,782,287  
  1,230,000     

Sigma Alimentos S.A. de CV,

6.875%, 12/16/2019, 144A

      1,376,063  
     

 

 

  
        5,158,350  
     

 

 

  
   Government Owned—No Guarantee – 2.9%  
  2,355,000     

Abu Dhabi National Energy Co. PJSC,

2.500%, 1/12/2018, 144A

      2,357,308  
  7,757,000     

CNPC General Capital Ltd.,

3.950%, 4/19/2022, 144A

      8,123,613  
  17,981,000     

Dolphin Energy Ltd.,

5.500%, 12/15/2021, 144A

      19,644,243  
  17,433,000     

OCP S.A.,

5.625%, 4/25/2024, 144A

      18,855,881  
  7,355,000     

Ooredoo International Finance Ltd.,

3.250%, 2/21/2023, 144A

      7,246,573  
  9,385,000     

Ooredoo International Finance Ltd.,

3.875%, 1/31/2028, 144A

      9,271,329  
  2,862,000     

Ooredoo International Finance Ltd.,

7.875%, 6/10/2019, 144A

      3,116,065  
  22,772,000     

Pertamina Persero PT,

5.625%, 5/20/2043, 144A

      23,568,610  
  10,497,000     

Petrobras Global Finance BV,

5.625%, 5/20/2043

      8,709,886  
  27,590,000     

Petrobras Global Finance BV,

6.850%, 6/05/2115

      24,432,324  
  13,955,000     

Tennessee Valley Authority,

3.500%, 12/15/2042

      14,471,893  
  22,103,000     

Tennessee Valley Authority,

4.250%, 9/15/2065

      24,865,345  
  6,401,000     

Tennessee Valley Authority,

4.875%, 1/15/2048

      8,037,275  
  10,957,000     

Tennessee Valley Authority,

5.250%, 9/15/2039

      14,354,579  
     

 

 

  
        187,054,924  
     

 

 

  
   Healthcare – 0.9%  
  16,635,000     

CHS/Community Health Systems, Inc.,

6.250%, 3/31/2023

      17,173,142  
  16,381,000     

Kindred Healthcare, Inc.,

8.000%, 1/15/2020

      17,200,050  
  3,089,000     

PerkinElmer, Inc.,

5.000%, 11/15/2021

      3,337,887  
  7,682,000     

Universal Health Services, Inc.,

3.750%, 8/01/2019, 144A

      7,835,640  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Healthcare – continued  
$   10,364,000     

Universal Health Services, Inc.,

4.750%, 8/01/2022, 144A

    $      10,713,785  
     

 

 

  
        56,260,504  
     

 

 

  
   Hybrid ARMs – 0.0%  
  73,205     

FNMA,

2.815%, 2/01/2037(b)

      75,807  
     

 

 

  
   Independent Energy – 1.5%  
  4,885,000     

MEG Energy Corp.,

7.000%, 3/31/2024, 144A

      3,798,087  
  7,190,000     

Newfield Exploration Co.,

5.375%, 1/01/2026

      7,441,650  
  10,499,000     

Newfield Exploration Co.,

5.750%, 1/30/2022

      11,050,197  
  13,888,000     

Pan American Energy LLC/Argentine Branch,

7.875%, 5/07/2021, 144A

      15,166,252  
  13,612,000     

QEP Resources, Inc.,

5.250%, 5/01/2023

      12,863,340  
  6,862,000     

QEP Resources, Inc.,

5.375%, 10/01/2022

      6,604,675  
  10,701,000     

Range Resources Corp.,

5.000%, 8/15/2022, 144A

      10,513,732  
  8,983,000     

SM Energy Co.,

5.000%, 1/15/2024

      7,949,955  
  655,000     

SM Energy Co.,

5.625%, 6/01/2025

      591,138  
  16,041,000     

SM Energy Co.,

6.125%, 11/15/2022

      15,238,950  
  1,096,000     

SM Energy Co.,

6.500%, 11/15/2021

      1,065,860  
  4,526,000     

SM Energy Co.,

6.500%, 1/01/2023

      4,311,015  
  510,000     

SM Energy Co.,

6.750%, 9/15/2026

      486,887  
     

 

 

  
        97,081,738  
     

 

 

  
   Industrial Other – 0.6%  
  5,919,000     

Briggs & Stratton Corp.,

6.875%, 12/15/2020

      6,525,697  
  7,035,000     

CBRE Services, Inc.,

5.000%, 3/15/2023

      7,329,499  
  9,275,000     

CK Hutchison International 16 Ltd.,

2.750%, 10/03/2026, 144A

      8,867,743  
  5,859,000     

Ferreycorp SAA,

4.875%, 4/26/2020, 144A

      5,914,661  
  9,650,000     

President and Fellows of Harvard College,

3.300%, 7/15/2056

      9,229,926  
     

 

 

  
        37,867,526  
     

 

 

  
   Media Entertainment – 0.9%  
  2,405,000     

EW Scripps Co. (The),

5.125%, 5/15/2025, 144A

      2,477,150  
  63,720,000     

Grupo Televisa SAB, EMTN,

7.250%, 5/14/2043, (MXN)

      2,759,979  
  15,635,000     

Myriad International Holdings BV,

4.850%, 7/06/2027, 144A

      15,701,448  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Media Entertainment – continued  
$   32,599,000     

Myriad International Holdings BV,

6.000%, 7/18/2020, 144A

    $      35,206,920  
  5,638,000     

Viacom, Inc.,

5.250%, 4/01/2044

      5,646,006  
     

 

 

  
        61,791,503  
     

 

 

  
   Metals & Mining – 1.3%  
  12,381,000     

ArcelorMittal,

7.250%, 3/01/2041

      13,650,052  
  4,470,000     

ArcelorMittal,

7.500%, 10/15/2039

      5,011,988  
  14,896,000     

Freeport-McMoRan, Inc.,

2.375%, 3/15/2018

      14,821,520  
  12,627,000     

Freeport-McMoRan, Inc.,

3.550%, 3/01/2022

      11,833,772  
  5,097,000     

Freeport-McMoRan, Inc.,

6.875%, 2/15/2023

      5,380,495  
  11,203,000     

Goldcorp, Inc.,

2.125%, 3/15/2018

      11,214,898  
  18,444,000     

Southern Copper Corp.,

5.875%, 4/23/2045

      19,718,309  
     

 

 

  
        81,631,034  
     

 

 

  
   Midstream – 1.2%  
  1,600,000     

AmeriGas Partners LP/AmeriGas Finance Corp.,

5.500%, 5/20/2025

      1,632,000  
  6,959,000     

Energy Transfer LP,

5.950%, 10/01/2043

      7,372,212  
  10,082,000     

Energy Transfer LP,

6.500%, 2/01/2042

      11,262,007  
  1,578,000     

Energy Transfer LP,

6.625%, 10/15/2036

      1,764,733  
  10,668,000     

Kinder Morgan Energy Partners LP,

4.300%, 5/01/2024

      11,026,007  
  4,861,000     

Kinder Morgan, Inc.,

5.000%, 2/15/2021, 144A

      5,211,731  
  17,979,000     

Kinder Morgan, Inc.,

5.625%, 11/15/2023, 144A

      19,892,847  
  13,236,000     

Regency Energy Partners LP/Regency Energy Finance Corp.,

5.000%, 10/01/2022

      14,195,716  
  331,000     

Regency Energy Partners LP/Regency Energy Finance Corp.,

5.500%, 4/15/2023

      342,585  
  2,745,000     

Regency Energy Partners LP/Regency Energy Finance Corp.,

5.875%, 3/01/2022

      3,023,845  
     

 

 

  
        75,723,683  
     

 

 

  
   Mortgage Related – 12.8%  
  13,859,736     

FHLMC,

3.000%, with various maturities from 2042 to 2046(d)

      13,860,406  
  36,591,430     

FHLMC,

3.500%, with various maturities from 2043 to 2045(d)

      37,771,975  
  18,778,312     

FHLMC,

4.000%, with various maturities from 2044 to 2046(d)

      19,839,469  
  17,719,112     

FHLMC,

4.500%, with various maturities from 2043 to 2047(d)

      19,151,283  
  5,815     

FHLMC,

5.500%, 12/01/2018

      5,927  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Mortgage Related – continued  
$ 15,951     

FHLMC,

6.000%, 6/01/2035

    $ 18,098  
  102,436,986     

FNMA,

2.500%, with various maturities in 2046(d)

      98,838,297  
  67,044,139     

FNMA,

3.000%, with various maturities from 2045 to 2047(d)

      67,073,620  
  110,456,272     

FNMA,

3.500%, with various maturities from 2042 to 2047(c)(d)

         113,907,466  
  40,328,789     

FNMA,

4.000%, with various maturities from 2041 to 2046(d)

      42,532,881  
  30,799,539     

FNMA,

4.500%, with various maturities from 2043 to 2047(d)

      33,200,931  
  237,997     

FNMA,

6.000%, with various maturities from 2034 to 2037(d)

      270,807  
  23,466     

FNMA,

6.500%, with various maturities from 2029 to 2031(d)

      26,349  
  46,092     

FNMA,

7.000%, with various maturities in 2030(d)

      50,647  
  33,286     

FNMA,

7.500%, with various maturities from 2024 to 2032(d)

      37,659  
  14,740,000     

FNMA (TBA),

3.000%, 8/01/2047(e)

      14,697,330  
  143,250,000     

FNMA (TBA),

4.000%, 8/01/2047(e)

      150,336,953  
  661,222     

GNMA,

2.934%, 9/20/2063(b)

      695,883  
  159,275     

GNMA,

4.122%, 1/20/2063(b)

      166,712  
  146,722     

GNMA,

4.301%, 5/20/2063(b)

      153,939  
  10,304,009     

GNMA,

4.376%, 12/20/2066(b)

      11,248,651  
  3,042,206     

GNMA,

4.408%, 10/20/2066(b)

      3,320,220  
  5,203,852     

GNMA,

4.425%, 11/20/2066(b)

      5,666,197  
  190,958     

GNMA,

4.429%, 7/20/2063(b)

      201,469  
  4,695,255     

GNMA,

4.476%, 10/20/2062(b)

      4,894,989  
  5,293,480     

GNMA,

4.492%, 2/20/2066(b)

      5,754,327  
  1,551,304     

GNMA,

4.501%, with various maturities from 2062 to 2063(b)(d)

      1,625,115  
  10,372,424     

GNMA,

4.529%, with various maturities from 2064 to 2066(b)(d)

      11,295,818  
  5,673,879     

GNMA,

4.530%, with various maturities from 2062 to 2064(b)(d)

      6,071,153  
  15,572,250     

GNMA,

4.531%, 12/20/2061(b)(c)

      16,002,720  
  929,844     

GNMA,

4.532%, 8/20/2062(b)

      968,675  
  7,403,567     

GNMA,

4.537%, with various maturities from 2063 to 2066(b)(d)

      8,039,023  
  6,268,434     

GNMA,

4.538%, 6/20/2062(b)

      6,485,217  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Mortgage Related – continued  
$ 3,091,028     

GNMA,

4.539%, 9/20/2066(b)

    $ 3,393,313  
  2,608,065     

GNMA,

4.545%, 2/20/2066(b)

      2,847,246  
  4,756,784     

GNMA,

4.547%, 1/20/2065(b)

      5,155,812  
    28,360,420     

GNMA,

4.549%, with various maturities from 2062 to 2066(b)(d)

           30,432,987  
  3,054,501     

GNMA,

4.550%, 1/20/2065(b)

      3,309,825  
  4,853,504     

GNMA,

4.566%, 2/20/2065(b)

      5,214,587  
  2,549,569     

GNMA,

4.581%, 4/20/2066(b)

      2,789,345  
  8,500,006     

GNMA,

4.586%, with various maturities from 2062 to 2064(b)(d)

      9,113,664  
  441,842     

GNMA,

4.587%, 8/20/2061(b)

      453,441  
  1,288,252     

GNMA,

4.592%, 6/20/2061(b)

      1,320,891  
  7,758,532     

GNMA,

4.595%, 12/20/2064(b)

      8,419,969  
  6,764,629     

GNMA,

4.599%, 2/20/2065(b)

      7,348,370  
  1,331,824     

GNMA,

4.607%, 7/20/2062(b)

      1,388,774  
  5,418,417     

GNMA,

4.614%, 3/20/2066(b)

      5,949,951  
  1,962,705     

GNMA,

4.615%, 10/20/2062(b)

      2,046,710  
  3,789,875     

GNMA,

4.618%, 3/20/2065(b)

      4,112,050  
  921,639     

GNMA,

4.631%, 1/20/2064(b)

      994,101  
  3,685,861     

GNMA,

4.644%, 1/20/2064(b)

      3,964,318  
  3,495,104     

GNMA,

4.650%, 1/20/2061(b)

      3,578,175  
  5,857,338     

GNMA,

4.659%, 5/20/2062(b)

      6,056,425  
  650,841     

GNMA,

4.661%, 5/20/2062(b)

      672,390  
  5,867,645     

GNMA,

4.663%, 6/20/2064(b)

      6,365,350  
  7,349,757     

GNMA,

4.674%, 4/20/2062(b)

      7,593,840  
  278,585     

GNMA,

4.681%, 3/20/2062(b)

      288,132  
  1,055,581     

GNMA,

4.700%, with various maturities in 2061(b)(d)

      1,081,028  
  3,997,268     

GNMA,

4.708%, 1/20/2064(b)

      4,317,320  
  411,339     

GNMA,

5.500%, 4/15/2038

      458,481  
  77,996     

GNMA,

6.000%, with various maturities from 2029 to 2038(d)

      88,539  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Mortgage Related – continued  
$ 62,349     

GNMA,

6.500%, with various maturities from 2029 to 2032(d)

    $ 68,439  
  78,834     

GNMA,

7.000%, with various maturities from 2025 to 2029(d)

      82,640  
  18,723     

GNMA,

7.500%, with various maturities from 2025 to 2030(d)

      20,482  
  12,549     

GNMA,

8.500%, with various maturities from 2020 to 2023(d)

      12,603  
     

 

 

  
           823,149,404  
     

 

 

  
   Non-Agency Commercial Mortgage-Backed Securities – 1.8%  
  1,566,172     

Barclays Commercial Mortgage Securities, Series 2015-SLP, Class A,

2.269%, 2/15/2028, 144A(b)

      1,566,644  
  575,581     

Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4,

6.385%, 12/10/2049(b)

      576,601  
  1,025,000     

Commercial Mortgage Trust, Series 2010-C1, Class D,

6.303%, 7/10/2046, 144A(b)

      1,094,875  
    15,135,000     

Commercial Mortgage Trust, Series 2016-SAVA, Class A,

1.720%, 10/15/2034, 144A(b)

      15,201,406  
  3,950,000     

Commercial Mortgage Trust, Series 2016-SAVA, Class C,

4.159%, 10/15/2034, 144A(b)

      3,969,791  
  269,106     

Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A4,

6.253%, 9/15/2039(b)

      268,801  
  4,071,880     

Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4,

5.695%, 9/15/2040(b)

      4,067,883  
  2,749,532     

Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3,

6.520%, 2/15/2041(b)

      2,753,462  
  3,052,113     

DBUBS Mortgage Trust, Series 2011-LC1A, Class E,

5.871%, 11/10/2046, 144A(b)

      3,223,909  
  965,030     

GP Portfolio Trust, Series 2014-GPP, Class A,

2.359%, 2/15/2027, 144A(b)

      967,767  
  3,181,000     

GP Portfolio Trust, Series 2014-GPP, Class D,

4.159%, 2/15/2027, 144A(b)

      3,189,517  
  725,655     

Greenwich Capital Commercial Mortgage Trust, Series 2007-GG11, Class A4,

5.736%, 12/10/2049

      725,106  
  6,637,000     

GS Mortgage Securities Trust, Series 2011-GC5, Class C,

5.566%, 8/10/2044, 144A(b)

      7,152,351  
  11,541,000     

JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-PHH, Class A,

2.359%, 8/15/2027, 144A(b)(c)

      11,541,216  
  1,560,967     

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-C1, Class A4,

5.716%, 2/15/2051

      1,569,682  
  2,100,804     

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A,

2.139%, 7/15/2031, 144A(b)

      2,102,073  
  3,968,000     

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class B,

2.509%, 7/15/2031, 144A(b)

      3,985,851  
  2,205,000     

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class C,

3.259%, 7/15/2031, 144A(b)

      2,177,427  
  548,315     

Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-8, Class A3,

6.076%, 8/12/2049(b)

      547,881  
  2,258,671     

Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4,

5.700%, 9/12/2049

      2,260,413  
  1,045,853     

Morgan Stanley Capital I Trust, Series 2007-HQ13, Class A3,

5.569%, 12/15/2044

      1,051,500  
  794,104     

Morgan Stanley Capital I Trust, Series 2008-T29, Class A4,

6.503%, 1/11/2043(b)

      805,576  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Non-Agency Commercial Mortgage-Backed Securities – continued  
$ 9,847,000     

Motel 6 Trust, Series 2015-MTL6, Class B,

3.298%, 2/05/2030, 144A

    $ 9,832,590  
  11,039,000     

Motel 6 Trust, Series 2015-MTL6, Class C,

3.644%, 2/05/2030, 144A

      11,030,816  
  7,018,000     

SCG Trust, Series 2013-SRP1, Class B,

3.659%, 11/15/2026, 144A(b)

      6,781,382  
  242,918     

Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3,

5.678%, 5/15/2046

      242,725  
  9,412,653     

Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class D,

5.785%, 11/15/2043, 144A(b)

      9,812,312  
  5,876,392     

WFRBS Commercial Mortgage Trust, Series 2011-C4, Class D,

5.414%, 6/15/2044, 144A(b)

      5,776,398  
     

 

 

  
           114,275,955  
     

 

 

  
   Oil Field Services – 1.1%  
  9,487,000     

Ensco PLC,

4.500%, 10/01/2024

      7,304,990  
  7,342,000     

Ensco PLC,

5.750%, 10/01/2044

      4,809,010  
  2,447,000     

Nabors Industries, Inc.,

4.625%, 9/15/2021

      2,324,161  
  3,434,000     

Nabors Industries, Inc.,

5.000%, 9/15/2020

      3,433,554  
    23,633,000     

Nabors Industries, Inc.,

5.100%, 9/15/2023

      22,365,089  
  2,200,000     

Nabors Industries, Inc.,

5.500%, 1/15/2023, 144A

      2,084,500  
  16,972,000     

Paragon Offshore PLC,

6.750%, 7/15/2022, 144A(f)

      3,733,840  
  13,656,000     

Paragon Offshore PLC,

7.250%, 8/15/2024, 144A(f)

      3,004,320  
  8,515,000     

Rowan Cos., Inc.,

4.750%, 1/15/2024

      7,237,750  
  14,138,000     

Rowan Cos., Inc.,

4.875%, 6/01/2022

      13,112,995  
  1,255,000     

Rowan Cos., Inc.,

7.375%, 6/15/2025

      1,170,287  
     

 

 

  
        70,580,496  
     

 

 

  
   Paper – 0.7%  
  5,797,000     

Celulosa Arauco y Constitucion S.A.,

4.500%, 8/01/2024

      5,930,419  
  6,681,000     

Celulosa Arauco y Constitucion S.A.,

4.750%, 1/11/2022

      6,955,062  
  8,312,000     

Celulosa Arauco y Constitucion S.A.,

5.000%, 1/21/2021

      8,805,454  
  21,515,000     

Suzano Austria GmbH,

5.750%, 7/14/2026, 144A

      22,268,025  
  1,989,000     

WestRock RKT Co.,

4.900%, 3/01/2022

      2,167,660  
     

 

 

  
        46,126,620  
     

 

 

  
   Pharmaceuticals – 0.3%  
  6,293,000     

Biogen, Inc.,

2.900%, 9/15/2020

      6,419,150  
  734,000     

Valeant Pharmaceuticals International,

6.750%, 8/15/2021, 144A

      697,300  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Pharmaceuticals – continued  
$ 3,418,000     

Valeant Pharmaceuticals International, Inc.,

5.375%, 3/15/2020, 144A

    $ 3,301,480  
    10,383,000     

Valeant Pharmaceuticals International, Inc.,

5.500%, 3/01/2023, 144A

      8,812,467  
  2,760,000     

Valeant Pharmaceuticals International, Inc.,

5.625%, 12/01/2021, 144A

      2,490,900  
     

 

 

  
             21,721,297  
     

 

 

  
   Property & Casualty Insurance – 0.3%  
  13,365,000     

KISRS Midco 3 PLC,

8.625%, 7/15/2023, 144A

      13,529,389  
  3,171,000     

Willis Towers Watson PLC,

5.750%, 3/15/2021

      3,498,295  
     

 

 

  
        17,027,684  
     

 

 

  
   Refining – 1.0%  
  3,590,000     

Phillips 66,

5.875%, 5/01/2042

      4,337,471  
  29,916,000     

Thai Oil PCL,

4.875%, 1/23/2043, 144A

      31,789,538  
  28,300,000     

Ultrapar International S.A.,

5.250%, 10/06/2026, 144A

      28,257,550  
     

 

 

  
        64,384,559  
     

 

 

  
   Retailers – 1.0%  
  2,235,000     

Cumberland Farms, Inc.,

6.750%, 5/01/2025, 144A

      2,352,338  
  25,990,000     

El Puerto de Liverpool SAB de CV,

3.875%, 10/06/2026, 144A

      25,535,175  
  17,710,000     

GameStop Corp.,

5.500%, 10/01/2019, 144A

      18,219,163  
  9,929,000     

SACI Falabella,

3.750%, 4/30/2023, 144A

      10,126,254  
  7,559,000     

SACI Falabella,

4.375%, 1/27/2025, 144A

      7,898,936  
     

 

 

  
        64,131,866  
     

 

 

  
   Sovereigns – 2.8%  
  32,145,000     

Kingdom of Saudi Arabia,

3.250%, 10/26/2026, 144A

      31,873,053  
  19,440,000     

Kingdom of Saudi Arabia,

4.500%, 10/26/2046, 144A

      19,809,204  
  14,180,000     

Mexico Government International Bond,

4.000%, 3/15/2115, (EUR)

      14,342,896  
  20,805,000     

Republic of Argentina,

7.500%, 4/22/2026

      22,417,388  
  17,300,000     

Republic of Argentina,

7.625%, 4/22/2046

      17,706,550  
  8,015,000     

Republic of Indonesia,

3.700%, 1/08/2022, 144A

      8,227,878  
  16,430,000     

Republic of Oman,

3.875%, 3/08/2022, 144A

      16,393,361  
  7,615,000     

Republic of Oman,

6.500%, 3/08/2047, 144A

      7,762,198  

Principal
Amount (‡)		    

Description

    Value (†)  
 

Bonds and Notes – continued

  
  Sovereigns – continued  
$ 40,950,000    

State of Kuwait,

3.500%, 3/20/2027, 144A

    $ 41,809,541  
    

 

 

  
          180,342,069  
    

 

 

  
  Supranational – 0.0%  
  13,158,000    

International Bank for Reconstruction & Development,

4.000%, 8/16/2018, (MXN)

      703,621  
    

 

 

  
  Technology – 1.4%  
  2,680,000    

Cardtronics, Inc./Cardtronic USA,

5.500%, 5/01/2025, 144A

      2,760,400  
  3,036,000    

Dun & Bradstreet Corp. (The),

3.500%, 12/01/2017

      3,051,872  
  3,906,000    

Equifax, Inc.,

7.000%, 7/01/2037

      5,007,449  
  18,427,000    

Hewlett Packard Enterprise Co.,

3.600%, 10/15/2020

      19,000,061  
  16,191,000    

Hewlett Packard Enterprise Co.,

6.200%, 10/15/2035

      17,506,746  
  3,601,000    

KLA-Tencor Corp.,

3.375%, 11/01/2019

      3,702,444  
  10,996,000    

Molex Electronic Technologies LLC,

2.878%, 4/15/2020, 144A

      11,075,182  
  7,255,000    

Molex Electronic Technologies LLC,

3.900%, 4/15/2025, 144A

      7,395,950  
  6,786,000    

Tencent Holdings Ltd.,

3.375%, 3/05/2018, 144A

      6,850,490  
  12,486,000    

Tencent Holdings Ltd.,

3.375%, 5/02/2019, 144A

      12,772,992  
    

 

 

  
       89,123,586  
    

 

 

  
  Treasuries – 32.6%  
  11,550,000 (††)   

Mexican Fixed Rate Bonds, Series M,

5.750%, 3/05/2026, (MXN)

      59,411,183  
  23,520,333 (††)   

Mexican Fixed Rate Bonds, Series M,

6.500%, 6/10/2021, (MXN)

      129,093,403  
  190,900,000    

Republic of Uruguay,

9.875%, 6/20/2022, 144A, (UYU)

      6,857,005  
  3,385,000    

U.S. Treasury Bond,

2.250%, 8/15/2046

      2,980,124  
  3,325,000    

U.S. Treasury Bond,

2.500%, 5/15/2046

      3,093,420  
  8,835,000    

U.S. Treasury Bond,

2.875%, 8/15/2045

      8,884,352  
  25,505,000    

U.S. Treasury Bond,

2.875%, 11/15/2046

      25,645,481  
  17,063,100    

U.S. Treasury Bond,

3.000%, 5/15/2045

      17,582,330  
  439,300    

U.S. Treasury Bond,

3.375%, 5/15/2044

      485,307  
  1,013,700    

U.S. Treasury Bond,

3.625%, 2/15/2044

      1,168,092  
  127,921,363    

U.S. Treasury Inflation Indexed Bond,

0.750%, 2/15/2045(g)

      119,967,341  
  129,510,623    

U.S. Treasury Inflation Indexed Bond,

0.875%, 2/15/2047(g)

      125,681,900  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Treasuries – continued  
$ 164,870,225     

U.S. Treasury Inflation Indexed Bond,

1.000%, 2/15/2046(g)

    $ 164,722,336  
  319,544,768     

U.S. Treasury Inflation Indexed Note,

0.125%, 4/15/2018(g)

      318,383,862  
  64,510,508     

U.S. Treasury Inflation Indexed Note,

0.125%, 7/15/2024(c)(g)

      63,366,543  
  31,970,021     

U.S. Treasury Inflation Indexed Note,

0.250%, 1/15/2025(g)

      31,402,234  
  68,901,015     

U.S. Treasury Inflation Indexed Note,

0.625%, 1/15/2024(c)(g)

      69,882,510  
  71,080,000     

U.S. Treasury Note,

0.750%, 10/31/2017

      70,998,969  
  153,115,000     

U.S. Treasury Note,

0.750%, 7/31/2018

      152,217,899  
  72,575,000     

U.S. Treasury Note,

0.750%, 8/31/2018(c)

      72,098,763  
  35,550,000     

U.S. Treasury Note,

0.750%, 9/30/2018

      35,298,661  
  29,180,000     

U.S. Treasury Note,

1.125%, 2/28/2019

      29,069,437  
  158,690,000     

U.S. Treasury Note,

1.250%, 3/31/2019

      158,349,134  
  38,420,000     

U.S. Treasury Note,

1.250%, 4/30/2019

      38,325,448  
  19,310,000     

U.S. Treasury Note,

1.250%, 5/31/2019

      19,263,231  
  115,545,000     

U.S. Treasury Note,

2.000%, 6/30/2024

      114,524,969  
  154,189,000     

U.S. Treasury Note,

2.000%, 11/15/2026

      150,346,302  
  113,282,000     

U.S. Treasury Note,

2.250%, 2/15/2027

      112,755,465  
  275,000     

U.S. Treasury Note,

2.375%, 5/15/2027

      276,740  
     

 

 

  
        2,102,132,441  
     

 

 

  
   Wireless – 1.1%  
  1,424,000     

American Tower Corp.,

4.700%, 3/15/2022

      1,541,825  
  16,594,000     

Bharti Airtel International BV,

5.125%, 3/11/2023, 144A

      17,465,019  
  20,973,000     

Bharti Airtel Ltd.,

4.375%, 6/10/2025, 144A

      20,972,729  
  14,383,000     

SK Telecom Co. Ltd.,

2.125%, 5/01/2018, 144A

      14,381,789  
  3,055,000     

SK Telecom Co. Ltd.,

6.625%, 7/20/2027, 144A

      3,917,142  
  11,565,000     

Sprint Capital Corp.,

6.875%, 11/15/2028

      12,855,307  
     

 

 

  
        71,133,811  
     

 

 

  
   Wirelines – 1.8%  
  720,000     

AT&T, Inc.,

4.350%, 6/15/2045

      668,242  
  6,549,000     

AT&T, Inc.,

4.500%, 3/09/2048

      6,127,729  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
   Wirelines – continued  
$ 1,615,000     

AT&T, Inc.,

4.750%, 5/15/2046

    $ 1,583,675  
  7,715,000     

AT&T, Inc.,

5.250%, 3/01/2037

      8,219,384  
  10,815,000     

AT&T, Inc.,

5.450%, 3/01/2047

      11,642,618  
  9,515,000     

AT&T, Inc.,

5.700%, 3/01/2057

      10,404,843  
  11,187,000     

Colombia Telecomunicaciones S.A. E.S.P.,

5.375%, 9/27/2022, 144A

      11,382,772  
  14,536,000     

Embarq Corp.,

7.995%, 6/01/2036

      14,681,360  
  2,301,000     

Frontier Communications Corp.,

6.875%, 1/15/2025

      1,812,038  
  942,000     

Frontier Communications Corp.,

7.875%, 1/15/2027

      701,790  
  5,000,000     

Telefonica Celular del Paraguay S.A.,

6.750%, 12/13/2022, 144A

      5,221,950  
  3,890,000     

Telefonica Emisiones SAU,

5.134%, 4/27/2020

      4,195,361  
  23,277,000     

Telefonica Emisiones SAU,

5.462%, 2/16/2021

      25,603,047  
  4,280,000     

Verizon Communications, Inc.,

2.450%, 11/01/2022

      4,195,316  
  10,669,000     

Verizon Communications, Inc.,

2.946%, 3/15/2022, 144A

      10,734,081  
     

 

 

  
        117,174,206  
     

 

 

  
  

Total Bonds and Notes

(Identified Cost $6,016,321,073)

      5,962,746,844  
     

 

 

  
 

Senior Loans – 2.8%

  
   Automotive – 0.2%  
  9,102,158     

Dayco Products LLC, 2017 Term Loan B,

6.178%, 5/19/2023(b)

      9,079,403  
  1,487,781     

Visteon Corp., Delayed Draw Term Loan B,

3.546%, 3/24/2024(h)

      1,491,500  
     

 

 

  
        10,570,903  
     

 

 

  
   Cable Satellite – 0.1%  
  3,529,920     

Charter Communications Operating LLC, Repriced Term Loan E,

3.230%, 7/01/2020(b)

      3,539,204  
     

 

 

  
   Chemicals – 0.1%  
  1,830,000      Ashland, Inc., 2017 Term Loan B, 5/24/2024(i)      1,835,728  
  4,240,000      Venator Materials Corp., Term Loan B, 6/20/2024(i)      4,250,600  
     

 

 

  
        6,086,328  
     

 

 

  
   Consumer Cyclical Services – 0.0%  
  2,009,900     

Sabre GLBL, Inc., Term Loan B,

3.976%, 2/22/2024(b)

      2,021,738  
     

 

 

  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Senior Loans – continued

  
   Consumer Products – 0.2%  
$ 15,143,900     

Serta Simmons Bedding LLC, 1st Lien Term Loan,

4.586%, 11/08/2023(h)

    $      15,120,124  
     

 

 

  
   Electric – 0.3%  
  15,825,338     

AES Corp., 2017 Term Loan B,

3.192%, 5/24/2022(b)

      15,769,949  
     

 

 

  
   Financial Other – 0.1%  
  6,290,000      Fortress Investment Group LLC, 2017 Term Loan B, 6/02/2022(i)      6,324,092  
     

 

 

  
   Food & Beverage – 0.1%  
  3,345,455      Post Holdings, Inc., 2017 Series A Incremental Term Loan, 5/24/2024(i)      3,347,830  
  7,360,000     

Post Holdings, Inc., 2017 Series A Incremental Term Loan,

3.470%, 5/24/2024(b)

      4,017,396  
     

 

 

  
        7,365,226  
     

 

 

  
   Healthcare – 0.4%  
  9,571,013     

Change Healthcare Holdings, Inc., 2017 Term Loan B,

3.976%, 3/01/2024(b)

      9,566,993  
  14,488,688     

Team Health Holdings, Inc., 1st Lien Term Loan,

3.976%, 2/06/2024(b)

      14,357,420  
     

 

 

  
        23,924,413  
     

 

 

  
   Leisure – 0.1%  
  3,261,825     

AMC Entertainment, Inc., New Term Loan B,

3.466%, 12/15/2023(b)

      3,266,718  
     

 

 

  
   Lodging – 0.1%  
  6,747,683     

Four Seasons Hotels Ltd., New 1st Lien Term Loan,

3.726%, 11/30/2023(b)

      6,787,022  
     

 

 

  
   Media Entertainment – 0.1%  
  7,687,165     

CBS Radio, Inc., Term Loan B,

4.716%, 10/17/2023(b)

      7,696,774  
     

 

 

  
   Midstream – 0.2%  
  13,855,000     

Energy Transfer Equity LP, 2017 Term Loan B,

3.826%, 2/02/2024(b)

      13,777,135  
     

 

 

  
   Property & Casualty Insurance – 0.0%  
  2,770,000     

USI, Inc., 2017 Term Loan B,

4.180%, 5/16/2024(b)

      2,749,225  
     

 

 

  
   Restaurants – 0.2%  
  10,897,253     

1011778 B.C. Unlimited Liability Co., Term Loan B3,

3.503%, 2/16/2024(h)

      10,866,631  
     

 

 

  
   Retailers – 0.2%  
  14,674,832     

Michaels Stores, Inc., 2016 Term Loan B1,

3.938%, 1/30/2023(h)

      14,629,047  
     

 

 

  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Senior Loans – continued

  
   Technology – 0.1%  
$ 3,965,500      First Data Corp., 2022 USD Term Loan, 7/08/2022(i)    $ 3,957,450  
  4,790,000     

First Data Corp., 2017 Term Loan,

3.716%, 4/26/2024(b)

      4,788,275  
     

 

 

  
        8,745,725  
     

 

 

  
   Wirelines – 0.3%  
  8,300,000      Consolidated Communications, Inc., Delayed Draw Term Loan B2, 10/05/2023(i)      8,318,675  
  10,284,063     

Level 3 Financing, Inc., 2017 Term Loan B,

3.466%, 2/22/2024(b)

      10,303,397  
     

 

 

  
        18,622,072  
     

 

 

  
  

Total Senior Loans

(Identified Cost $177,722,453)

      177,862,326  
     

 

 

  
Shares              
 

Preferred Stocks – 0.3%

  
   Cable Satellite – 0.3%  
  17,563,000     

NBCUniversal Enterprise, Inc.,

5.250%, 144A(c)

(Identified Cost $18,210,290)

      18,667,010  
     

 

 

  
Principal
Amount (‡)		              
 

Short-Term Investments – 8.1%

  
$ 41,280,000      Federal Home Loan Bank Discount Notes, 0.600%, 07/07/2017(j)      41,275,418  
  116,180,000      Federal Home Loan Bank Discount Notes, 0.900%, 07/31/2017(j)      116,089,612  
  333,050      Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2017 at 0.000% to be repurchased at $333,050 on 7/03/2017 collateralized by $337,300 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $339,742 including accrued interest(k)      333,050  
  316,886,616      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2017 at 0.340% to be repurchased at $316,895,594 on 7/03/2017 collateralized by $65,865,000 U.S. Treasury Note, 2.000% due 2/15/2025 valued at $65,625,712; $257,820,000 U.S. Treasury Note, 2.125% due 5/15/2025 valued at $257,599,564 including accrued interest(k)      316,886,616  
  50,305,000      U.S. Treasury Bills, 0.655%, 07/06/2017(j)      50,301,831  
     

 

 

  
  

Total Short-Term Investments

(Identified Cost $524,897,386)

      524,886,527  
     

 

 

  
  

Total Investments – 103.6%

(Identified Cost $6,737,151,202)(a)

      6,684,162,707  
   Other assets less liabilities – (3.6)%      (234,874,925 ) 
     

 

 

  
   Net Assets – 100.0%    $ 6,449,287,782  
     

 

 

  

 

(‡)

    Principal Amount stated in U.S. dollars unless otherwise noted.

(†)

   

Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available.

 

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.

 

In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.

 

Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

 

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

 

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(††)

    Amount shown represents units. One unit represents a principal amount of 100.

(a)

    Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
   At June 30, 2017, the net unrealized depreciation on investments based on a cost of $6,766,927,537 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost

    $ 62,574,000  

Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value

      (145,338,830 ) 
  

 

 

  

Net unrealized depreciation

    $ (82,764,830 ) 
  

 

 

  

 

   At September 30, 2016, the Fund had a long-term capital loss carryforward of $60,023,038 with no expiration date. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.

(b)

    Variable rate security. Rate as of June 30, 2017 is disclosed.

(c)

    Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts or TBA transactions.

(d)

    The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.

(e)

   

When-issued/delayed delivery. The Fund may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Fund at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Fund takes delivery of the security. No interest accrues to the Fund until the transaction settles. Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolio of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Fund or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Fund covers its net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.

 

Purchases of when-issued or delayed delivery securities may have a similar effect on the Fund’s NAV as if the Fund’s had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

(f)

    The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.

(g)

    Treasury Inflation Protected Security (TIPS).

(h)

    Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2017.

(i)

    Position is unsettled. Contract rate was not determined at June 30, 2017 and does not take effect until settlement date. Maturity date is not finalized until settlement date.

(j)

    Interest rate represents discount rate at time of purchase; not a coupon rate.

(k)

    The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the 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 June 30, 2017, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement.

144A

    All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, the value of Rule 144A holdings amounted to $1,410,226,960 or 21.9% of net assets.

ABS

    Asset-Backed Securities

ARMs

    Adjustable Rate Mortgages

EMTN

    Euro Medium Term Note

FHLMC

    Federal Home Loan Mortgage Corp.

FNMA

    Federal National Mortgage Association

GMTN

    Global Medium Term Note

GNMA

    Government National Mortgage Association

MTN

    Medium Term Note

PJSC

    Private Joint-Stock Company

REMIC

    Real Estate Mortgage Investment Conduit

TBA

    To Be Announced

EUR

    Euro

MXN

    Mexican Peso

UYU

    Uruguayan Peso

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Fund’s or counterparty’s net obligations under the contracts.

At June 30, 2017, the Fund had the following open forward foreign currency contracts:

 

Contract
to
Buy/Sell

  

Delivery
Date

  

Currency

  

Units
of
Currency

  

Notional
Value

   

Unrealized
Appreciation
(Depreciation)

Sell1

   9/20/2017   Euro   12,144,000   $13,926,118    $(147,050)
          

 

 

1  Counterparty is Bank of America, N.A.

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

  •   Level 1 – quoted prices in active markets for identical assets or liabilities;

 

  •   Level 2 – prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

 

  •   Level 3 – prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2017, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2      Level 3      Total  

Bonds and Notes*

    $ —        $ 5,962,746,844      $ —        $ 5,962,746,844  

Senior Loans*

         177,862,326           177,862,326  

Preferred Stocks*

      —          18,667,010        —          18,667,010  

Short-Term Investments

      —          524,886,527        —          524,886,527  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ —        $ 6,684,162,707      $ —        $ 6,684,162,707  
  

 

 

     

 

 

     

 

 

     

 

 

  

Liability Valuation Inputs

 

Description

    Level 1      Level 2     Level 3      Total  

Forward Foreign Currency Contracts (unrealized depreciation)

    $ —        $ (147,050 )    $ —        $ (147,050 ) 

 

* Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended June 30, 2017, there were no transfers among Levels 1, 2 and 3.

The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of

September 30, 2016 and/or June 30, 2017:

Asset Valuation Inputs

 

Investments in Securities

   Balance as of
September 30,
2016		     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
June 30,
2017		     Change in
Unrealized
Appreciation
(Depreciation)
from Investments
Still Held at
June 30, 2017		  

Bonds and Notes

                    

Non-Agency Commercial Mortgage-Backed Securities

   $ 11,857,953     $ —       $ (15,421 )    $ 27,065     $ —       $ (11,869,597 )    $ —       $ —       $ —       $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 11,857,953     $ —       $ (15,421 )    $ 27,065     $ —       $ (11,869,597 )    $ —       $ —       $ —       $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts. 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 contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. During the period ended June 30, 2017, the Fund engaged in forward foreign currency transactions for hedging purposes.

The following is a summary of derivative instruments for the Fund, as of June 30, 2017:

 

Liabilities

    Unrealized
depreciation on
forward foreign
currency contracts		  

Over-the-counter liability derivatives

   

Foreign exchange contracts

      $(147,050)  

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.

Over-the-counter derivatives, including forward foreign currency contracts, 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 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 June 30, 2017, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments,

stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (g) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2017:

 

Maximum Amount

of Loss – Gross

      

Maximum Amount

of Loss – Net

$—  

     $—  

Industry Summary at June 30, 2017 (Unaudited)

 

Treasuries

      32.6 % 

Mortgage Related

      12.8  

Banking

      7.0  

ABS Car Loan

      3.4  

Government Owned—No Guarantee

      2.9  

Sovereigns

      2.8  

Finance Companies

      2.3  

Automotive

      2.3  

Collateralized Mortgage Obligations

      2.1  

Wirelines

      2.1  

Other Investments, less than 2% each

      25.2  

Short-Term Investments

      8.1  
  

 

 

  

Total Investments

      103.6  

Other assets less liabilities (including forward foreign currency contracts)

      (3.6 ) 
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

ITEM 2. CONTROLS AND PROCEDURES

The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

ITEM 3. EXHIBITS

 

(a)(1)   Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.
(a)(2)   Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Natixis Funds Trust I
By:   /s/ David L. Giunta

Name:

   David L. Giunta

Title:

   President and Chief Executive Officer

Date:

   August 22, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:   /s/ David L. Giunta

Name:

   David L. Giunta

Title:

   President and Chief Executive Officer

Date:

   August 22, 2017
By:   /s/ Michael C. Kardok

Name:

   Michael C. Kardok

Title:

   Treasurer

Date:

   August 22, 2017