PORTFOLIO OF INVESTMENTS as of June 30, 2023 (Unaudited)
Loomis Sayles Core Plus Bond Fund
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes 91.5% of Net Assets |
||||||||
Non-Convertible Bonds 91.4% |
||||||||
ABS Car Loan 2.5% |
| |||||||
$ 4,420,000 | AmeriCredit Automobile Receivables Trust, Series 2023-1, Class C, 5.800%, 12/18/2028 |
$ | 4,413,980 | |||||
6,444,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A |
6,252,495 | ||||||
7,064,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A |
6,398,737 | ||||||
8,160,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class A, 3.830%, 8/21/2028, 144A |
7,550,195 | ||||||
1,840,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-2A, Class A, 5.200%, 10/20/2027, 144A |
1,798,832 | ||||||
7,982,902 | Carvana Auto Receivables Trust, Series 2023-N1, Class A, 6.360%, 4/12/2027, 144A |
7,911,152 | ||||||
9,895,000 | Carvana Auto Receivables Trust, Series 2023-P1, Class A3, 5.980%, 12/10/2027, 144A |
9,804,795 | ||||||
7,300,000 | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class A, 6.480%, 3/15/2033, 144A |
7,295,851 | ||||||
2,020,000 | DT Auto Owner Trust, Series 2023-1A, Class C, 5.550%, 10/16/2028, 144A |
1,981,338 | ||||||
2,940,968 | Exeter Automobile Receivables Trust, Series 2021-2A, Class C, 0.980%, 6/15/2026 |
2,876,707 | ||||||
4,320,000 | Exeter Automobile Receivables Trust, Series 2023-1A, Class C, 5.820%, 2/15/2028 |
4,271,095 | ||||||
3,455,000 | Ford Credit Auto Owner Trust, Series 2018-1, Class B, 3.340%, 7/15/2031, 144A |
3,299,866 | ||||||
14,500,000 | Ford Credit Auto Owner Trust, Series 2023-1, Class A, 4.850%, 8/15/2035, 144A |
14,228,415 | ||||||
4,950,000 | GM Financial Automobile Leasing Trust, Series 2023-1, Class B, 5.510%, 1/20/2027 |
4,899,822 | ||||||
12,845,000 | Hertz Vehicle Financing III LLC, Series 2023-2A, Class A, 5.570%, 9/25/2029, 144A |
12,635,502 | ||||||
9,874,000 | Hertz Vehicle Financing LLC, Series 2021-1A, Class A, 1.210%, 12/26/2025, 144A |
9,250,387 | ||||||
9,930,000 | NextGear Floorplan Master Owner Trust, Series 2023-1A, Class A2, 5.740%, 3/15/2028, 144A |
9,976,135 | ||||||
10,730,000 | OneMain Direct Auto Receivables Trust, Series 2023-1A, Class A, 5.410%, 11/14/2029, 144A |
10,610,232 | ||||||
1,547,520 | Santander Bank Auto Credit-Linked Notes, Series 2022-C,Class B, 6.451%, 12/15/2032, 144A |
1,543,374 | ||||||
981,720 | Santander Bank Auto Credit-Linked Notes, Series 2022-C,Class C, 6.986%, 12/15/2032, 144A |
978,386 | ||||||
8,999,469 | Santander Drive Auto Receivables Trust, Series 2021-3, Class C, 0.950%, 9/15/2027 |
8,814,834 | ||||||
19,695,000 | Santander Drive Auto Receivables Trust, Series 2022-2, Class B, 3.440%, 9/15/2027 |
19,066,099 | ||||||
6,865,000 | Westlake Automobile Receivables Trust, Series 2022-2A, Class C, 4.850%, 9/15/2027, 144A |
6,692,249 | ||||||
1,295,000 | Westlake Automobile Receivables Trust, Series 2023-1A, Class B, 5.410%, 1/18/2028, 144A |
1,278,887 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
ABS Car Loan continued |
| |||||||
$ 4,910,000 | Westlake Automobile Receivables Trust, Series 2023-2A, Class C, 6.290%, 3/15/2028, 144A |
$ | 4,918,710 | |||||
|
|
|||||||
168,748,075 | ||||||||
|
|
|||||||
ABS Home Equity 0.3% |
| |||||||
2,670,136 | CoreVest American Finance Ltd., Series 2019-3, Class A, 2.705%, 10/15/2052, 144A |
2,516,515 | ||||||
10,541 | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(a) |
10,378 | ||||||
970,764 | OBX Trust, Series 2018-EXP1, Class 1A3, 4.000%, 4/25/2048, 144A(a) |
890,127 | ||||||
2,970,000 | Progress Residential Trust, Series 2023-SFR1, Class A, 4.300%, 3/17/2040, 144A |
2,791,966 | ||||||
87,475 | Sequoia Mortgage Trust, Series 2017-CH1, Class A1, 4.000%, 8/25/2047, 144A(a) |
81,532 | ||||||
396,737 | Sequoia Mortgage Trust, Series 2018-CH1, Class A1, 4.000%, 3/25/2048, 144A(a) |
365,794 | ||||||
248,235 | Sequoia Mortgage Trust, Series 2018-CH3, Class A2, 4.000%, 8/25/2048, 144A(a) |
238,893 | ||||||
1,298,545 | Towd Point Mortgage Trust, Series 2015-1, Class A5, 4.095%, 10/25/2053, 144A(a) |
1,262,828 | ||||||
3,598,804 | Towd Point Mortgage Trust, Series 2015-4, Class M2, 3.750%, 4/25/2055, 144A(a) |
3,501,064 | ||||||
5,101,352 | Towd Point Mortgage Trust, Series 2016-2, Class M2, 3.000%, 8/25/2055, 144A(a) |
4,571,076 | ||||||
4,320,172 | Towd Point Mortgage Trust, Series 2018-3, Class A1, 3.750%, 5/25/2058, 144A(a) |
4,070,635 | ||||||
|
|
|||||||
20,300,808 | ||||||||
|
|
|||||||
ABS Other 1.5% |
| |||||||
2,230,000 | Affirm Asset Securitization Trust, Series 2023-A, Class A, 6.610%, 1/18/2028, 144A |
2,218,904 | ||||||
6,728,748 | CLI Funding VIII LLC, Series 2021-1A, Class A, 1.640%, 2/18/2046, 144A |
5,733,352 | ||||||
11,854,475 | DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051, 144A |
10,021,844 | ||||||
4,099,211 | Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.560%, 12/11/2034, 144A |
3,995,566 | ||||||
8,034,000 | Jack in the Box Funding LLC, Series 2022-1A, Class A2I, 3.445%, 2/26/2052, 144A |
7,111,986 | ||||||
13,518,375 | Jack in the Box Funding LLC, Series 2022-1A, Class A2II, 4.136%, 2/26/2052, 144A |
10,942,678 | ||||||
6,541,698 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046, 144A |
5,633,253 | ||||||
9,018,944 | Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046, 144A(a) |
7,832,412 | ||||||
1,274,780 | OneMain Financial Issuance Trust, Series 2020-1A, Class A, 3.840%, 5/14/2032, 144A |
1,270,207 | ||||||
13,500,000 | OneMain Financial Issuance Trust, Series 2021-1A, Class A2, 30 day USD SOFR Average + 0.760%, 5.827%, 6/16/2036, 144A(b) |
13,179,307 | ||||||
18,611,200 | Textainer Marine Containers Ltd., Series 2021-3A, Class A, 1.940%, 8/20/2046, 144A |
15,322,348 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
ABS Other continued |
| |||||||
$ 3,099,656 | Textainer Marine Containers VIII Ltd., Series 2020-2A, Class A, 2.100%, 9/20/2045, 144A |
$ | 2,712,797 | |||||
15,890,000 | Wheels Fleet Lease Funding 1 LLC, Series 2023-1A, Class A, 5.800%, 4/18/2038, 144A |
15,810,089 | ||||||
|
|
|||||||
101,784,743 | ||||||||
|
|
|||||||
ABS Student Loan 0.6% |
| |||||||
3,291,511 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A |
2,973,808 | ||||||
8,716,137 | Navient Private Education Refi Loan Trust, Series 2021-CA, Class A, 1.060%, 10/15/2069, 144A |
7,555,470 | ||||||
8,929,332 | Navient Private Education Refi Loan Trust, Series 2023-A, Class A, 5.510%, 10/15/2071, 144A |
8,790,302 | ||||||
3,223,158 | SMB Private Education Loan Trust, Series 2021-A, Class APT2, 1.070%, 1/15/2053, 144A |
2,754,881 | ||||||
7,833,739 | SMB Private Education Loan Trust, Series 2021-C, Class A2, 1 mo. USD LIBOR + 0.800%, 5.993%, 1/15/2053, 144A(b) |
7,614,199 | ||||||
9,001,278 | SMB Private Education Loan Trust, Series 2023-A, Class A1A, 5.380%, 1/15/2053, 144A |
8,933,049 | ||||||
2,264,604 | SoFi Professional Loan Program Trust, Series 2020-A, Class A2FX, 2.540%, 5/15/2046, 144A |
2,084,031 | ||||||
|
|
|||||||
40,705,740 | ||||||||
|
|
|||||||
ABS Whole Business 0.3% |
| |||||||
7,181,600 | Dominos Pizza Master Issuer LLC, Series 2018-1A, Class A2I, 4.116%, 7/25/2048, 144A |
6,801,241 | ||||||
4,725,188 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051, 144A |
4,169,916 | ||||||
11,958,625 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2II, 4.008%, 12/05/2051, 144A |
9,603,446 | ||||||
|
|
|||||||
20,574,603 | ||||||||
|
|
|||||||
Aerospace & Defense 0.7% |
| |||||||
15,199,000 | Boeing Co., 5.705%, 5/01/2040 |
15,161,106 | ||||||
20,159,000 | Boeing Co., 5.805%, 5/01/2050 |
20,085,437 | ||||||
11,659,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025 |
11,484,115 | ||||||
1,329,000 | Textron, Inc., 3.000%, 6/01/2030 |
1,158,445 | ||||||
|
|
|||||||
47,889,103 | ||||||||
|
|
|||||||
Agency Commercial Mortgage-Backed Securities 0.6% |
| |||||||
1,725,000 | Federal Home Loan Mortgage Corp., 3.100%, 6/01/2037 |
1,437,719 | ||||||
1,598,000 | Federal Home Loan Mortgage Corp., 3.100%, 6/01/2037 |
1,331,869 | ||||||
2,103,000 | Federal Home Loan Mortgage Corp., 3.100%, 6/01/2037 |
1,752,767 | ||||||
6,087,674 | Federal Home Loan Mortgage Corp., 3.350%, 8/01/2037 |
5,326,864 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Agency Commercial Mortgage-Backed Securities continued |
| |||||||
$ 3,634,653 | Federal Home Loan Mortgage Corp., 3.450%, 5/01/2037 |
$ | 3,237,625 | |||||
1,253,266 | Federal Home Loan Mortgage Corp., 3.700%, 5/01/2037 |
1,142,448 | ||||||
8,659,495 | Federal Home Loan Mortgage Corp., 3.750%, 5/01/2037 |
7,829,655 | ||||||
2,092,705 | Federal Home Loan Mortgage Corp., 3.900%, 7/01/2037 |
1,918,527 | ||||||
2,093,461 | Federal Home Loan Mortgage Corp., 3.900%, 7/01/2037 |
1,921,719 | ||||||
7,013,000 | Federal National Mortgage Association, 3.850%, 9/01/2037 |
6,353,070 | ||||||
160,000 | Federal National Mortgage Association, 3.940%, 9/01/2032 |
153,084 | ||||||
6,609,375 | Federal National Mortgage Association, 4.240%, 7/01/2038 |
6,229,513 | ||||||
|
|
|||||||
38,634,860 | ||||||||
|
|
|||||||
Airlines 0.9% |
| |||||||
5,874,112 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.500%, 4/20/2026, 144A |
5,819,422 | ||||||
5,620,467 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.750%, 4/20/2029, 144A |
5,457,354 | ||||||
1,416,818 | Continental Airlines Pass-Through Trust, Series 2012-2A, Class A, 4.000%, 4/29/2026 |
1,370,998 | ||||||
14,751,433 | Delta Air Lines, Inc./SkyMiles IP Ltd., 4.750%, 10/20/2028, 144A |
14,319,053 | ||||||
3,367,460 | United Airlines Pass-Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 |
3,229,360 | ||||||
22,605,000 | United Airlines Pass-Through Trust, Series 2023-1, 5.800%, 7/15/2037 |
23,032,234 | ||||||
2,266,000 | United Airlines, Inc., 4.375%, 4/15/2026, 144A |
2,152,940 | ||||||
3,543,000 | United Airlines, Inc., 4.625%, 4/15/2029, 144A |
3,228,268 | ||||||
|
|
|||||||
58,609,629 | ||||||||
|
|
|||||||
Apartment REITs 0.0% |
| |||||||
1,715,000 | American Homes 4 Rent LP, 3.375%, 7/15/2051 |
1,120,563 | ||||||
|
|
|||||||
Automotive 1.3% |
| |||||||
11,690,000 | Ford Motor Credit Co. LLC, 6.800%, 5/12/2028 |
11,700,720 | ||||||
5,315,000 | Ford Motor Credit Co. LLC, 6.950%, 3/06/2026 |
5,343,164 | ||||||
17,142,000 | General Motors Co., 5.000%, 4/01/2035 |
15,538,175 | ||||||
1,000,000 | General Motors Financial Co., Inc., 2.350%, 1/08/2031 |
783,344 | ||||||
5,067,000 | General Motors Financial Co., Inc., 2.900%, 2/26/2025 |
4,807,730 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Automotive continued |
| |||||||
$ 12,034,000 | Goodyear Tire & Rubber Co., 5.625%, 4/30/2033 |
$ | 10,476,444 | |||||
6,206,000 | Hyundai Capital America, 2.375%, 10/15/2027, 144A |
5,429,595 | ||||||
10,356,000 | Hyundai Capital America, 2.650%, 2/10/2025, 144A |
9,814,289 | ||||||
7,453,000 | Hyundai Capital America, 3.000%, 2/10/2027, 144A |
6,793,272 | ||||||
1,725,000 | Lear Corp., 3.550%, 1/15/2052 |
1,150,846 | ||||||
12,381,000 | Lear Corp., 5.250%, 5/15/2049 |
10,759,306 | ||||||
7,676,000 | Nissan Motor Co. Ltd., 3.043%, 9/15/2023, 144A |
7,621,692 | ||||||
|
|
|||||||
90,218,577 | ||||||||
|
|
|||||||
Banking 6.8% |
| |||||||
10,051,000 | Banco Santander Chile, 2.700%, 1/10/2025, 144A |
9,611,242 | ||||||
11,000,000 | Banco Santander SA, 1.849%, 3/25/2026 |
9,840,600 | ||||||
3,800,000 | Banco Santander SA, 2.958%, 3/25/2031 |
3,133,444 | ||||||
15,850,000 | Bangkok Bank PCL, 4.050%, 3/19/2024, 144A |
15,642,034 | ||||||
4,000,000 | Bank of America Corp., (fixed rate to 11/10/2027, variable rate thereafter), 6.204%, 11/10/2028 |
4,111,396 | ||||||
26,146,000 | Bank of America Corp., (fixed rate to 4/22/2024, variable rate thereafter), 0.976%, 4/22/2025 |
25,066,627 | ||||||
5,475,000 | Bank of America Corp., (fixed rate to 4/24/2027, variable rate thereafter), 3.705%, 4/24/2028 |
5,131,483 | ||||||
16,280,000 | Bank of America Corp., (fixed rate to 4/25/2033, variable rate thereafter), 5.288%, 4/25/2034 |
16,128,697 | ||||||
24,210,000 | Bank of America Corp., MTN, (fixed rate to 4/23/2026, variable rate thereafter), 3.559%, 4/23/2027 |
22,952,814 | ||||||
18,664,000 | Barclays PLC, (fixed rate to 3/10/2041, variable rate thereafter), 3.811%, 3/10/2042 |
13,262,800 | ||||||
7,864,000 | BBVA Bancomer SA, 1.875%, 9/18/2025, 144A |
7,234,867 | ||||||
13,513,000 | BNP Paribas SA, (fixed rate to 1/13/2026, variable rate thereafter), 1.323%, 1/13/2027, 144A |
11,983,062 | ||||||
26,613,000 | BNP Paribas SA, (fixed rate to 11/19/2024, variable rate thereafter), 2.819%, 11/19/2025, 144A |
25,375,251 | ||||||
23,405,000 | Capital One Financial Corp., (fixed rate to 6/08/2033, variable rate thereafter), 6.377%, 6/08/2034 |
23,237,313 | ||||||
1,154,000 | Citigroup, Inc., (fixed rate to 5/01/2024, variable rate thereafter), 0.981%, 5/01/2025 |
1,104,247 | ||||||
9,038,000 | Deutsche Bank AG, 1.686%, 3/19/2026 |
8,139,438 | ||||||
8,585,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 |
6,295,981 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Banking continued |
| |||||||
$ 6,737,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 |
$ | 5,094,494 | |||||
1,750,000 | Deutsche Bank AG, (fixed rate to 11/10/2032, variable rate thereafter), 7.079%, 2/10/2034 |
1,618,811 | ||||||
10,680,000 | Deutsche Bank AG, (fixed rate to 11/24/2025, variable rate thereafter), 2.129%, 11/24/2026 |
9,502,222 | ||||||
12,486,000 | Goldman Sachs Group, Inc., 6.750%, 10/01/2037 |
13,429,239 | ||||||
6,320,000 | Goldman Sachs Group, Inc., (fixed rate to 6/05/2027, variable rate thereafter), 3.691%, 6/05/2028 |
5,937,912 | ||||||
1,326,000 | HSBC Holdings PLC, 4.950%, 3/31/2030 |
1,305,399 | ||||||
13,610,000 | HSBC Holdings PLC, (fixed rate to 5/24/2024, variable rate thereafter), 0.976%, 5/24/2025 |
12,947,860 | ||||||
4,740,000 | Intesa Sanpaolo SpA, (fixed rate to 6/01/2031, variable rate thereafter), 4.198%, 6/01/2032, 144A |
3,530,589 | ||||||
24,590,000 | JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030 |
21,182,388 | ||||||
14,076,000 | JPMorgan Chase & Co., (fixed rate to 5/13/2030, variable rate thereafter), 2.956%, 5/13/2031 |
12,069,471 | ||||||
14,145,000 | Macquarie Bank Ltd., 3.231%, 3/21/2025, 144A |
13,571,973 | ||||||
7,950,000 | Mitsubishi UFJ Financial Group, Inc., (fixed rate to 4/19/2033, variable rate thereafter), 5.406%, 4/19/2034 |
7,888,585 | ||||||
13,321,000 | Morgan Stanley, 3 mo. USD LIBOR + 1.340%, 3.591%, 7/22/2028(a) |
12,291,146 | ||||||
1,500,000 | Morgan Stanley, (fixed rate to 2/01/2028, variable rate thereafter), 5.123%, 2/01/2029 |
1,479,355 | ||||||
10,135,000 | Morgan Stanley, (fixed rate to 4/20/2028, variable rate thereafter), 5.164%, 4/20/2029 |
10,011,209 | ||||||
5,600,000 | PNC Financial Services Group, Inc., (fixed rate to 1/24/2033, variable rate thereafter), 5.068%, 1/24/2034 |
5,370,177 | ||||||
11,465,000 | Santander Holdings USA, Inc., (fixed rate to 1/06/2027, variable rate thereafter), 2.490%, 1/06/2028 |
9,902,096 | ||||||
24,503,000 | Societe Generale SA, 2.625%, 1/22/2025, 144A |
23,024,342 | ||||||
18,840,000 | Standard Chartered PLC, (fixed rate to 1/12/2032, variable rate thereafter), 3.603%, 1/12/2033, 144A |
15,088,956 | ||||||
22,346,000 | Standard Chartered PLC, (fixed rate to 1/30/2025, variable rate thereafter), 2.819%, 1/30/2026, 144A |
21,068,971 | ||||||
660,000 | Standard Chartered PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.866%, 3/15/2033, 144A |
597,642 | ||||||
5,660,000 | Sumitomo Mitsui Financial Group, Inc., 1.474%, 7/08/2025 |
5,197,947 | ||||||
10,888,000 | Sumitomo Mitsui Financial Group, Inc., 3.040%, 7/16/2029 |
9,511,088 | ||||||
6,655,000 | Truist Financial Corp., MTN, (fixed rate to 6/08/2033, variable rate thereafter), 5.867%, 6/08/2034 |
6,657,738 | ||||||
5,040,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A |
6,041,136 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Banking continued |
| |||||||
$ 690,000 | UBS Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A |
$ | 685,642 | |||||
7,695,000 | UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A |
7,723,318 | ||||||
15,845,000 | UniCredit SpA, (fixed rate to 6/03/2026, variable rate thereafter), 1.982%, 6/03/2027, 144A |
13,954,994 | ||||||
|
|
|||||||
464,935,996 | ||||||||
|
|
|||||||
Building Materials 0.4% |
| |||||||
15,155,000 | American Builders & Contractors Supply Co., Inc., 3.875%, 11/15/2029, 144A |
13,025,268 | ||||||
8,962,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A |
7,545,147 | ||||||
9,128,000 | Mohawk Industries, Inc., 3.625%, 5/15/2030 |
8,248,061 | ||||||
17,000 | Summit Materials LLC/Summit Materials Finance Corp., 5.250%, 1/15/2029, 144A |
16,061 | ||||||
|
|
|||||||
28,834,537 | ||||||||
|
|
|||||||
Cable Satellite 0.7% |
| |||||||
17,010,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A |
12,855,610 | ||||||
21,060,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.500%, 4/01/2063 |
16,956,132 | ||||||
5,285,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 |
3,953,139 | ||||||
783,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 |
651,405 | ||||||
2,245,000 | Time Warner Cable LLC, 5.875%, 11/15/2040 |
1,980,426 | ||||||
7,162,000 | Time Warner Cable LLC, 6.550%, 5/01/2037 |
6,866,025 | ||||||
1,707,000 | Time Warner Cable LLC, 6.750%, 6/15/2039 |
1,640,559 | ||||||
|
|
|||||||
44,903,296 | ||||||||
|
|
|||||||
Chemicals 1.1% |
| |||||||
1,610,000 | Alpek SAB de CV, 3.250%, 2/25/2031, 144A |
1,301,041 | ||||||
21,698,000 | Braskem America Finance Co., 7.125%, 7/22/2041, 144A |
20,950,875 | ||||||
6,925,000 | Celanese U.S. Holdings LLC, 6.050%, 3/15/2025 |
6,896,706 | ||||||
4,145,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 |
4,116,477 | ||||||
6,640,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 |
6,697,591 | ||||||
4,410,000 | Nutrien Ltd., 5.800%, 3/27/2053 |
4,424,860 | ||||||
8,271,000 | Orbia Advance Corp. SAB de CV, 5.875%, 9/17/2044, 144A |
7,232,634 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Chemicals continued |
| |||||||
$ 9,466,000 | Orbia Advance Corp. SAB de CV, 6.750%, 9/19/2042, 144A |
$ | 9,300,345 | |||||
3,830,000 | Sociedad Quimica y Minera de Chile SA, 3.500%, 9/10/2051, 144A |
2,697,660 | ||||||
10,424,000 | Sociedad Quimica y Minera de Chile SA, 4.250%, 1/22/2050, 144A |
8,353,585 | ||||||
|
|
|||||||
71,971,774 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations 0.1% |
| |||||||
188,668 | Government National Mortgage Association, Series 2010-H24, Class FA, 1 mo. USD LIBOR + 0.350%, 5.444%, 10/20/2060(b) |
187,360 | ||||||
114,640 | Government National Mortgage Association, Series 2012-H18, Class NA, 1 mo. USD LIBOR + 0.520%, 5.614%, 8/20/2062(b) |
113,969 | ||||||
637 | Government National Mortgage Association, Series 2013-H01, Class FA, 1.650%, 1/20/2063(c) |
549 | ||||||
8,726 | Government National Mortgage Association, Series 2013-H03, Class HA, 1.750%, 12/20/2062(c) |
7,578 | ||||||
10,215 | Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(c) |
9,196 | ||||||
85,208 | Government National Mortgage Association, Series 2013-H10, Class PA, 2.500%, 4/20/2063(c) |
76,017 | ||||||
5,609,149 | Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 |
5,398,829 | ||||||
6,762 | Government National Mortgage Association, Series 2015-H13, Class FL, 1 mo. USD LIBOR + 0.280%, 4.909%, 5/20/2063(b)(c) |
6,425 | ||||||
|
|
|||||||
5,799,923 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.0% |
| |||||||
1,791,000 | Expedia Group, Inc., 6.250%, 5/01/2025, 144A |
1,796,824 | ||||||
|
|
|||||||
Consumer Products 0.2% |
| |||||||
2,157,000 | Kimberly-Clark de Mexico SAB de CV, 2.431%, 7/01/2031, 144A |
1,829,891 | ||||||
5,750,000 | Natura & Co.Luxembourg Holdings Sarl, 6.000%, 4/19/2029, 144A |
5,341,692 | ||||||
11,615,000 | Natura Cosmeticos SA, 4.125%, 5/03/2028, 144A |
10,047,821 | ||||||
|
|
|||||||
17,219,404 | ||||||||
|
|
|||||||
Electric 1.4% |
| |||||||
3,587,000 | AES Corp., 3.300%, 7/15/2025, 144A |
3,387,341 | ||||||
1,609,000 | AES Corp., 3.950%, 7/15/2030, 144A |
1,442,497 | ||||||
10,104,000 | Calpine Corp., 5.000%, 2/01/2031, 144A |
8,356,745 | ||||||
12,220,000 | CenterPoint Energy, Inc., SOFR Index + 0.650%, 5.739%, 5/13/2024(b) |
12,207,373 | ||||||
13,354,000 | Clearway Energy Operating LLC, 3.750%, 2/15/2031, 144A |
11,081,821 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Electric continued |
| |||||||
$ 20,355,874 | Cometa Energia SA de CV, 6.375%, 4/24/2035, 144A |
$ | 19,745,135 | |||||
2,415,000 | DPL, Inc., 4.350%, 4/15/2029 |
2,114,045 | ||||||
852,000 | Edison International, 4.950%, 4/15/2025 |
833,920 | ||||||
2,811,000 | Enel Americas SA, 4.000%, 10/25/2026 |
2,708,427 | ||||||
1,348,000 | Enel Generacion Chile SA, 4.250%, 4/15/2024 |
1,319,859 | ||||||
4,316,000 | Entergy Corp., 2.800%, 6/15/2030 |
3,658,308 | ||||||
750,000 | IPALCO Enterprises, Inc., 4.250%, 5/01/2030 |
678,548 | ||||||
10,966,000 | National Rural Utilities Cooperative Finance Corp., 3 mo. USD LIBOR + 2.910%, 8.209%, 4/30/2043(b) |
10,632,634 | ||||||
3,800,000 | NRG Energy, Inc., 3.875%, 2/15/2032, 144A |
2,927,845 | ||||||
5,584,000 | Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.500%, 8/15/2028, 144A |
5,100,046 | ||||||
7,133,000 | Transelec SA, 4.250%, 1/14/2025, 144A |
6,950,102 | ||||||
|
|
|||||||
93,144,646 | ||||||||
|
|
|||||||
Finance Companies 2.1% |
| |||||||
6,365,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 |
5,503,515 | ||||||
18,150,000 | Air Lease Corp., GMTN, 3.750%, 6/01/2026 |
17,151,948 | ||||||
20,287,000 | Aircastle Ltd., 2.850%, 1/26/2028, 144A |
17,251,863 | ||||||
22,772,000 | Ares Capital Corp., 2.150%, 7/15/2026 |
19,745,010 | ||||||
15,425,000 | Avolon Holdings Funding Ltd., 2.750%, 2/21/2028, 144A |
12,994,461 | ||||||
18,679,000 | FS KKR Capital Corp., 3.400%, 1/15/2026 |
16,988,610 | ||||||
6,000,000 | Navient Corp., 5.000%, 3/15/2027 |
5,367,733 | ||||||
6,547,000 | Navient Corp., MTN, 6.125%, 3/25/2024 |
6,495,782 | ||||||
5,850,000 | OneMain Finance Corp., 3.500%, 1/15/2027 |
5,018,949 | ||||||
8,215,000 | OneMain Finance Corp., 3.875%, 9/15/2028 |
6,715,763 | ||||||
4,262,000 | Owl Rock Capital Corp., 2.625%, 1/15/2027 |
3,617,842 | ||||||
13,397,000 | Owl Rock Capital Corp., 3.400%, 7/15/2026 |
11,866,610 | ||||||
10,958,000 | Owl Rock Technology Finance Corp., 3.750%, 6/17/2026, 144A |
9,589,596 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Finance Companies continued |
| |||||||
$ 5,769,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A |
$ | 4,677,837 | |||||
1,655,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A |
1,294,607 | ||||||
|
|
|||||||
144,280,126 | ||||||||
|
|
|||||||
Financial Other 0.1% |
| |||||||
4,763,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 |
3,742,289 | ||||||
|
|
|||||||
Food & Beverage 0.7% |
| |||||||
6,258,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.900%, 2/01/2046 |
5,981,339 | ||||||
13,823,000 | Anheuser-Busch InBev Worldwide, Inc., 4.350%, 6/01/2040 |
12,710,794 | ||||||
14,008,000 | BRF SA, 5.750%, 9/21/2050, 144A |
9,355,803 | ||||||
2,032,000 | Gruma SAB de CV, 4.875%, 12/01/2024, 144A |
2,011,375 | ||||||
11,530,000 | Minerva Luxembourg SA, 4.375%, 3/18/2031, 144A |
9,021,553 | ||||||
6,134,000 | Post Holdings, Inc., 4.500%, 9/15/2031, 144A |
5,238,643 | ||||||
4,996,000 | Post Holdings, Inc., 4.625%, 4/15/2030, 144A |
4,378,290 | ||||||
1,599,000 | Smithfield Foods, Inc., 3.000%, 10/15/2030, 144A |
1,253,706 | ||||||
|
|
|||||||
49,951,503 | ||||||||
|
|
|||||||
Government Owned - No Guarantee 1.5% |
| |||||||
6,872,000 | Antares Holdings LP, 3.950%, 7/15/2026, 144A |
6,025,782 | ||||||
17,141,000 | BOC Aviation USA Corp., 1.625%, 4/29/2024, 144A |
16,538,129 | ||||||
3,903,000 | Empresa de los Ferrocarriles del Estado, 3.068%, 8/18/2050, 144A |
2,371,073 | ||||||
8,230,000 | Freeport Indonesia PT, 5.315%, 4/14/2032, 144A |
7,797,431 | ||||||
6,355,000 | Korea National Oil Corp., 4.875%, 4/03/2028, 144A |
6,292,339 | ||||||
16,956,000 | NBN Co. Ltd., 1.450%, 5/05/2026, 144A |
15,252,477 | ||||||
7,985,000 | OCP SA, 3.750%, 6/23/2031, 144A |
6,588,583 | ||||||
11,538,000 | Saudi Arabian Oil Co., 3.500%, 11/24/2070, 144A |
7,648,540 | ||||||
11,825,000 | Tennessee Valley Authority, 4.250%, 9/15/2065 |
10,603,519 | ||||||
7,669,000 | Tennessee Valley Authority, 4.625%, 9/15/2060 |
7,419,860 | ||||||
5,427,000 | Tennessee Valley Authority, 4.875%, 1/15/2048 |
5,496,978 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Government Owned - No Guarantee continued |
| |||||||
$ 9,290,000 | Tennessee Valley Authority, 5.250%, 9/15/2039 |
$ | 9,852,635 | |||||
|
|
|||||||
101,887,346 | ||||||||
|
|
|||||||
Health Insurance 0.1% |
| |||||||
7,364,000 | Centene Corp., 3.375%, 2/15/2030 |
6,328,916 | ||||||
|
|
|||||||
Healthcare 0.2% |
| |||||||
2,650,000 | CVS Health Corp., 5.250%, 1/30/2031 |
2,641,683 | ||||||
12,395,000 | HCA, Inc., 4.625%, 3/15/2052, 144A |
10,185,551 | ||||||
|
|
|||||||
12,827,234 | ||||||||
|
|
|||||||
Home Construction 0.2% |
| |||||||
4,801,000 | Forestar Group, Inc., 3.850%, 5/15/2026, 144A |
4,411,447 | ||||||
8,905,000 | NVR, Inc., 3.000%, 5/15/2030 |
7,712,964 | ||||||
|
|
|||||||
12,124,411 | ||||||||
|
|
|||||||
Independent Energy 0.6% |
| |||||||
8,952,000 | Devon Energy Corp., 4.500%, 1/15/2030 |
8,426,724 | ||||||
11,391,292 | Energean Israel Finance Ltd., 4.500%, 3/30/2024, 144A |
11,254,597 | ||||||
1,765,000 | EQT Corp., 3.125%, 5/15/2026, 144A |
1,622,759 | ||||||
4,696,000 | EQT Corp., 3.900%, 10/01/2027 |
4,341,544 | ||||||
601,000 | EQT Corp., 5.000%, 1/15/2029 |
565,835 | ||||||
9,078,204 | Leviathan Bond Ltd., 6.125%, 6/30/2025, 144A |
8,884,566 | ||||||
5,835,000 | Pan American Energy LLC, 9.125%, 4/30/2027, 144A |
6,299,816 | ||||||
|
|
|||||||
41,395,841 | ||||||||
|
|
|||||||
Industrial Other 0.0% |
| |||||||
3,408,000 | Georgetown University, Series A, 5.215%, 10/01/2118 |
3,128,203 | ||||||
|
|
|||||||
Life Insurance 0.2% |
| |||||||
14,171,000 | Brighthouse Financial, Inc., 5.625%, 5/15/2030 |
13,659,600 | ||||||
2,327,000 | OneAmerica Financial Partners, Inc., 4.250%, 10/15/2050, 144A |
1,663,898 | ||||||
|
|
|||||||
15,323,498 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Lodging 0.1% |
| |||||||
$ 6,397,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A |
$ | 5,333,413 | |||||
|
|
|||||||
Media Entertainment 0.8% |
| |||||||
54,020,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) |
2,045,199 | ||||||
5,553,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 4.250%, 1/15/2029, 144A |
4,666,519 | ||||||
12,303,000 | Prosus NV, 3.680%, 1/21/2030, 144A |
10,444,264 | ||||||
13,750,000 | Prosus NV, 3.832%, 2/08/2051, 144A |
8,447,698 | ||||||
15,925,000 | Warnermedia Holdings, Inc., 3.528%, 3/15/2024 |
15,635,608 | ||||||
20,770,000 | Warnermedia Holdings, Inc., 5.391%, 3/15/2062 |
16,926,949 | ||||||
|
|
|||||||
58,166,237 | ||||||||
|
|
|||||||
Metals & Mining 0.9% |
| |||||||
1,835,000 | Anglo American Capital PLC, 2.250%, 3/17/2028, 144A |
1,576,924 | ||||||
3,620,000 | Anglo American Capital PLC, 3.875%, 3/16/2029, 144A |
3,289,678 | ||||||
3,322,000 | Anglo American Capital PLC, 3.950%, 9/10/2050, 144A |
2,463,319 | ||||||
7,696,000 | Anglo American Capital PLC, 5.625%, 4/01/2030, 144A |
7,660,805 | ||||||
9,977,000 | FMG Resources August 2006 Pty. Ltd., 4.375%, 4/01/2031, 144A |
8,518,483 | ||||||
14,428,000 | Fresnillo PLC, 4.250%, 10/02/2050, 144A |
10,804,552 | ||||||
25,662,000 | Glencore Funding LLC, 2.500%, 9/01/2030, 144A |
21,012,302 | ||||||
5,290,000 | POSCO, 5.625%, 1/17/2026, 144A |
5,267,261 | ||||||
3,555,000 | SunCoke Energy, Inc., 4.875%, 6/30/2029, 144A |
2,985,692 | ||||||
|
|
|||||||
63,579,016 | ||||||||
|
|
|||||||
Midstream 0.7% |
| |||||||
568,000 | Energy Transfer LP, 5.150%, 2/01/2043 |
482,558 | ||||||
1,500,000 | Energy Transfer LP, 5.300%, 4/15/2047 |
1,304,655 | ||||||
125,000 | Energy Transfer LP, 5.400%, 10/01/2047 |
110,172 | ||||||
4,900,000 | Energy Transfer LP, 5.950%, 10/01/2043 |
4,571,347 | ||||||
8,548,000 | Energy Transfer LP, 6.500%, 2/01/2042 |
8,656,860 | ||||||
1,338,000 | Energy Transfer LP, 6.625%, 10/15/2036 |
1,368,679 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Midstream continued |
| |||||||
$ 2,445,000 | EQM Midstream Partners LP, 6.500%, 7/01/2027, 144A |
$ | 2,411,433 | |||||
2,014,000 | Gray Oak Pipeline LLC, 2.600%, 10/15/2025, 144A |
1,849,101 | ||||||
982,000 | Gray Oak Pipeline LLC, 3.450%, 10/15/2027, 144A |
877,566 | ||||||
12,960,000 | Sempra Global, 3.250%, 1/15/2032, 144A |
10,407,628 | ||||||
930,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.500%, 7/15/2027 |
923,264 | ||||||
13,096,000 | Williams Cos., Inc., 3.500%, 11/15/2030 |
11,707,199 | ||||||
|
|
|||||||
44,670,462 | ||||||||
|
|
|||||||
Mortgage Related 22.3% |
| |||||||
47,126,456 | Federal Home Loan Mortgage Corp., 1.500%, with various maturities from 2050 to 2051(d) |
35,384,653 | ||||||
114,172,612 | Federal Home Loan Mortgage Corp., 2.000%, with various maturities from 2050 to 2052(d) |
93,129,897 | ||||||
42,513,384 | Federal Home Loan Mortgage Corp., 2.500%, with various maturities from 2050 to 2051(d) |
36,014,458 | ||||||
54,772,545 | Federal Home Loan Mortgage Corp., 3.000%, with various maturities from 2042 to 2052(d) |
48,489,982 | ||||||
15,881,208 | Federal Home Loan Mortgage Corp., 3.500%, with various maturities from 2043 to 2052(d) |
14,616,247 | ||||||
60,462,042 | Federal Home Loan Mortgage Corp., 4.000%, with various maturities from 2044 to 2052(d) |
56,776,606 | ||||||
25,128,914 | Federal Home Loan Mortgage Corp., 4.500%, with various maturities from 2041 to 2052(d) |
24,227,393 | ||||||
13,623,416 | Federal Home Loan Mortgage Corp., 5.000%, with various maturities from 2048 to 2052(d) |
13,556,963 | ||||||
11,028,044 | Federal Home Loan Mortgage Corp., 5.500%, with various maturities in 2053(d) |
11,062,234 | ||||||
18,675,969 | Federal Home Loan Mortgage Corp., 6.000%, with various maturities from 2035 to 2053(d) |
18,966,555 | ||||||
1,896,908 | Federal Home Loan Mortgage Corp., 6.500%, with various maturities in 2053(d) |
1,957,435 | ||||||
261,954,230 | Federal National Mortgage Association, 2.000%, with various maturities from 2037 to 2052(d) |
218,513,867 | ||||||
596,782,040 | Federal National Mortgage Association, 2.500%, with various maturities from 2045 to 2062(d) |
494,027,578 | ||||||
62,639,515 | Federal National Mortgage Association, 3.000%, with various maturities from 2045 to 2052(d) |
55,671,154 | ||||||
117,153,957 | Federal National Mortgage Association, 3.500%, with various maturities from 2043 to 2052(d) |
106,743,354 | ||||||
37,835,232 | Federal National Mortgage Association, 4.000%, with various maturities from 2041 to 2052(d) |
35,765,068 | ||||||
35,652,100 | Federal National Mortgage Association, 4.500%, with various maturities from 2043 to 2053(d) |
34,423,435 | ||||||
124,525,639 | Federal National Mortgage Association, 5.000%, with various maturities from 2048 to 2053(d) |
122,353,506 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Mortgage Related continued |
| |||||||
$ 8,660,044 | Federal National Mortgage Association, 5.500%, with various maturities from 2050 to 2053(d) |
$ | 8,711,223 | |||||
32,895,090 | Federal National Mortgage Association, 6.000%, with various maturities from 2034 to 2053(d) |
33,482,377 | ||||||
3,364,644 | Federal National Mortgage Association, 6.500%, with various maturities from 2029 to 2053(d) |
3,471,959 | ||||||
16,082 | Federal National Mortgage Association, 7.000%, with various maturities in 2030(d) |
15,963 | ||||||
8,888 | Federal National Mortgage Association, 7.500%, with various maturities from 2024 to 2032(d) |
9,033 | ||||||
4,471 | Government National Mortgage Association, 3.660%, 7/20/2063(a) |
4,301 | ||||||
1,125 | Government National Mortgage Association, 3.890%, 12/20/2062(a) |
1,055 | ||||||
3,311,921 | Government National Mortgage Association, 4.371%, 11/20/2066(a) |
3,224,713 | ||||||
5,212,013 | Government National Mortgage Association, 4.377%, 12/20/2066(a) |
5,037,460 | ||||||
1,230,697 | Government National Mortgage Association, 4.388%, 12/20/2063(a) |
1,205,993 | ||||||
17,754 | Government National Mortgage Association, 4.390%, 11/20/2062(a) |
16,721 | ||||||
2,484,637 | Government National Mortgage Association, 4.421%, 2/20/2066(a) |
2,411,367 | ||||||
2,277 | Government National Mortgage Association, 4.422%, 5/20/2063(a) |
2,206 | ||||||
1,121,240 | Government National Mortgage Association, 4.425%, 2/20/2066(a) |
1,086,148 | ||||||
1,338,302 | Government National Mortgage Association, 4.426%, 10/20/2066(a) |
1,294,597 | ||||||
1,487,368 | Government National Mortgage Association, 4.450%, 6/20/2066(a) |
1,446,770 | ||||||
1,246,325 | Government National Mortgage Association, 4.480%, 6/20/2064(a) |
1,218,471 | ||||||
1,717,332 | Government National Mortgage Association, 4.491%, 9/20/2066(a) |
1,667,842 | ||||||
2,402,521 | Government National Mortgage Association, 4.507%, 6/20/2066(a) |
2,333,714 | ||||||
2,326,361 | Government National Mortgage Association, 4.508%, 12/20/2064(a) |
2,273,138 | ||||||
2,063,673 | Government National Mortgage Association, 4.574%, 2/20/2065(a) |
2,013,552 | ||||||
4,225,918 | Government National Mortgage Association, 4.594%, with various maturities in 2064(a)(d) |
4,143,242 | ||||||
1,205,126 | Government National Mortgage Association, 4.612%, 4/20/2066(a) |
1,174,417 | ||||||
840,213 | Government National Mortgage Association, 4.613%, 1/20/2065(a) |
822,150 | ||||||
2,247,906 | Government National Mortgage Association, 4.615%, 3/20/2066(a) |
2,182,047 | ||||||
1,235,762 | Government National Mortgage Association, 4.619%, 3/20/2065(a) |
1,204,674 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Mortgage Related continued |
| |||||||
$ 3,086,222 | Government National Mortgage Association, 4.620%, 2/20/2065(a) |
$ | 3,009,729 | |||||
1,686,388 | Government National Mortgage Association, 4.633%, 6/20/2064(a) |
1,654,286 | ||||||
1,912,577 | Government National Mortgage Association, 4.641%, 12/20/2064(a) |
1,875,154 | ||||||
2,649 | Government National Mortgage Association, 4.657%, 5/20/2063(a) |
2,580 | ||||||
4,318,200 | Government National Mortgage Association, 4.659%, 12/20/2066(a) |
4,194,423 | ||||||
188,278 | Government National Mortgage Association, 4.664%, 1/20/2064(a) |
186,812 | ||||||
3,445 | Government National Mortgage Association, 4.677%, 8/20/2061(a) |
3,364 | ||||||
2,363,040 | Government National Mortgage Association, 4.693%, 1/20/2065(a) |
2,310,085 | ||||||
1,082,306 | Government National Mortgage Association, 4.700%, with various maturities from 2062 to 2066(a)(d) |
1,050,825 | ||||||
1,585,120 | Government National Mortgage Association, 4.728%, 1/20/2064(a) |
1,558,458 | ||||||
75,075 | Government National Mortgage Association, 5.500%, 4/15/2038 |
77,050 | ||||||
14,626 | Government National Mortgage Association, 6.000%, with various maturities from 2029 to 2038(d) |
14,928 | ||||||
16,114 | Government National Mortgage Association, 6.500%, with various maturities from 2029 to 2032(d) |
16,430 | ||||||
12,843 | Government National Mortgage Association, 7.000%, 9/15/2025 |
12,792 | ||||||
1,721 | Government National Mortgage Association, 7.500%, with various maturities from 2025 to 2030(d) |
1,728 | ||||||
|
|
|||||||
1,518,104,162 | ||||||||
|
|
|||||||
Natural Gas 0.0% |
| |||||||
2,701,000 | Boston Gas Co., 3.001%, 8/01/2029, 144A |
2,326,898 | ||||||
|
|
|||||||
Non-Agency Commercial Mortgage-Backed Securities 1.9% |
| |||||||
22,085,000 | AOA Mortgage Trust, Series 2021-1177, Class A, 1 mo. USD LIBOR + 0.874%, 6.068%, 10/15/2038, 144A(b) |
20,216,742 | ||||||
1,531,640 | BANK, Series 2019-BN16, Class A4, 4.005%, 2/15/2052 |
1,419,577 | ||||||
3,409,380 | BANK, Series 2019-BN20, Class A3, 3.011%, 9/15/2062 |
2,936,352 | ||||||
12,696,152 | BANK, Series 2019-BN22, Class A4, 2.978%, 11/15/2062 |
10,982,815 | ||||||
6,138,240 | BANK, Series 2019-BN24, Class A3, 2.960%, 11/15/2062 |
5,322,450 | ||||||
7,135,000 | BPR Trust, Series 2021-NRD, Class A, 1 mo. USD SOFR + 1.525%, 6.627%, 12/15/2038, 144A(b) |
6,688,687 | ||||||
14,179,842 | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4, 3.102%, 12/15/2072 |
12,287,088 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Non-Agency Commercial Mortgage-Backed Securities continued |
| |||||||
$ 7,070,071 | Citigroup Commercial Mortgage Trust, Series 2019-GC43, Class A4, 3.038%, 11/10/2052 |
$ | 6,055,246 | |||||
8,877,514 | Citigroup Commercial Mortgage Trust, Series 2020-GC46, Class A5, 2.717%, 2/15/2053 |
7,480,699 | ||||||
774,794 | Commercial Mortgage Trust, Series 2010-C1, Class D, 5.985%, 7/10/2046, 144A(a) |
733,721 | ||||||
2,112,208 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A1, 3.304%, 9/15/2037, 144A |
1,774,105 | ||||||
11,367,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A |
9,798,415 | ||||||
7,801,458 | Extended Stay America Trust, Series 2021-ESH, Class A, 1 mo. USD LIBOR + 1.080%, 6.274%, 7/15/2038, 144A(b) |
7,647,243 | ||||||
1,431,151 | Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD LIBOR + 2.250%, 7.444%, 7/15/2038, 144A(b) |
1,390,740 | ||||||
5,627,003 | GS Mortgage Securities Trust, Series 2011-GC5, Class C, 5.297%, 8/10/2044, 144A(a) |
3,914,470 | ||||||
2,317,554 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(a) |
1,904,024 | ||||||
6,596,065 | GS Mortgage Securities Trust, Series 2020-GC45, Class A5, 2.911%, 2/13/2053 |
5,640,744 | ||||||
8,330,022 | Med Trust, Series 2021-MDLN, Class A, 1 mo. USD LIBOR + 0.950%, 6.144%, 11/15/2038, 144A(b) |
8,074,946 | ||||||
3,825,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4, 4.284%, 8/15/2046(a) |
3,811,304 | ||||||
4,982,141 | WFRBS Commercial Mortgage Trust, Series 2011-C4, Class D, 4.992%, 6/15/2044, 144A(a) |
4,295,737 | ||||||
5,245,978 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class AS, 4.176%, 5/15/2047 |
5,071,113 | ||||||
|
|
|||||||
127,446,218 | ||||||||
|
|
|||||||
Other REITs 0.0% |
| |||||||
3,790,000 | EPR Properties, 3.600%, 11/15/2031 |
2,955,670 | ||||||
|
|
|||||||
Paper 0.2% |
| |||||||
11,175,000 | Klabin Austria GmbH, 7.000%, 4/03/2049, 144A |
10,709,003 | ||||||
|
|
|||||||
Pharmaceuticals 0.7% |
| |||||||
12,370,000 | Amgen, Inc., 5.750%, 3/02/2063 |
12,548,592 | ||||||
14,750,000 | Pfizer Investment Enterprises Pte. Ltd., 5.300%, 5/19/2053 |
15,335,299 | ||||||
10,284,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 |
9,214,935 | ||||||
7,588,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.125%, 1/31/2025 |
7,689,907 | ||||||
1,903,000 | Viatris, Inc., 4.000%, 6/22/2050 |
1,258,528 | ||||||
|
|
|||||||
46,047,261 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Property & Casualty Insurance 0.1% |
| |||||||
$ 2,585,000 | Ascot Group Ltd., 4.250%, 12/15/2030, 144A |
$ | 1,985,197 | |||||
5,865,000 | Liberty Mutual Group, Inc., 3.950%, 5/15/2060, 144A |
4,148,200 | ||||||
|
|
|||||||
6,133,397 | ||||||||
|
|
|||||||
Refining 0.2% |
| |||||||
1,000,000 | Thaioil Treasury Center Co. Ltd., 3.750%, 6/18/2050, 144A |
668,451 | ||||||
19,664,000 | Thaioil Treasury Center Co. Ltd., 4.875%, 1/23/2043, 144A |
16,058,213 | ||||||
|
|
|||||||
16,726,664 | ||||||||
|
|
|||||||
Retailers 0.6% |
| |||||||
3,081,000 | Alibaba Group Holding Ltd., 3.250%, 2/09/2061 |
1,904,623 | ||||||
12,355,000 | Dicks Sporting Goods, Inc., 4.100%, 1/15/2052 |
8,578,734 | ||||||
15,880,000 | El Puerto de Liverpool SAB de CV, 3.875%, 10/06/2026, 144A |
15,050,270 | ||||||
8,985,000 | Falabella SA, 3.375%, 1/15/2032, 144A |
7,030,762 | ||||||
2,037,000 | Hanesbrands, Inc., 4.875%, 5/15/2026, 144A |
1,901,613 | ||||||
6,632,000 | Lithia Motors, Inc., 4.375%, 1/15/2031, 144A |
5,724,725 | ||||||
4,582,000 | MercadoLibre, Inc., 3.125%, 1/14/2031 |
3,652,288 | ||||||
|
|
|||||||
43,843,015 | ||||||||
|
|
|||||||
Sovereigns 0.6% |
| |||||||
14,229,000 | Dominican Republic International Bonds, 4.875%, 9/23/2032, 144A |
12,093,141 | ||||||
9,930,000 | Dominican Republic International Bonds, 5.300%, 1/21/2041, 144A |
7,767,478 | ||||||
6,195,000 | Panama Government International Bonds, 6.853%, 3/28/2054 |
6,441,225 | ||||||
14,320,000 | Republic of South Africa Government International Bonds, 7.300%, 4/20/2052 |
12,069,612 | ||||||
|
|
|||||||
38,371,456 | ||||||||
|
|
|||||||
Technology 1.6% |
| |||||||
3,175,000 | Baidu, Inc., 2.375%, 10/09/2030 |
2,628,075 | ||||||
4,515,000 | Baidu, Inc., 3.075%, 4/07/2025 |
4,307,084 | ||||||
5,890,000 | Broadcom, Inc., 3.137%, 11/15/2035, 144A |
4,517,895 | ||||||
11,954,000 | Corning, Inc., 5.450%, 11/15/2079 |
10,797,643 | ||||||
2,133,000 | Equifax, Inc., 2.600%, 12/15/2025 |
1,984,317 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Technology continued |
| |||||||
$ 4,324,000 | Equifax, Inc., 7.000%, 7/01/2037 |
$ | 4,596,827 | |||||
15,011,000 | Hewlett Packard Enterprise Co., 6.200%, 10/15/2035 |
15,722,585 | ||||||
12,714,000 | Iron Mountain, Inc., 4.500%, 2/15/2031, 144A |
10,924,231 | ||||||
5,460,000 | Jabil, Inc., 3.000%, 1/15/2031 |
4,639,456 | ||||||
2,250,000 | Jabil, Inc., 5.450%, 2/01/2029 |
2,232,628 | ||||||
6,151,000 | Molex Electronic Technologies LLC, 3.900%, 4/15/2025, 144A |
5,853,060 | ||||||
14,161,000 | Oracle Corp., 4.100%, 3/25/2061 |
10,449,486 | ||||||
4,505,000 | Qorvo, Inc., 1.750%, 12/15/2024, 144A |
4,188,964 | ||||||
3,513,000 | Sabre Global, Inc., 7.375%, 9/01/2025, 144A |
3,118,174 | ||||||
39,000 | Science Applications International Corp., 4.875%, 4/01/2028, 144A |
36,271 | ||||||
4,204,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A |
3,596,486 | ||||||
13,563,000 | Tencent Holdings Ltd., 3.290%, 6/03/2060, 144A |
8,402,032 | ||||||
13,307,000 | Ziff Davis, Inc., 4.625%, 10/15/2030, 144A |
11,525,426 | ||||||
|
|
|||||||
109,520,640 | ||||||||
|
|
|||||||
Tobacco 0.4% |
| |||||||
26,019,000 | BAT Capital Corp., 2.789%, 9/06/2024 |
25,028,403 | ||||||
|
|
|||||||
Treasuries 33.7% |
| |||||||
6,294,647 | () | Mexico Bonos, Series M, 5.750%, 3/05/2026, (MXN) |
33,607,980 | |||||
12,341,849 | () | Mexico Bonos, Series M 20, 8.500%, 5/31/2029, (MXN) |
71,333,537 | |||||
154,795,000 | U.S. Treasury Bonds, 1.750%, 8/15/2041 |
108,749,534 | ||||||
241,735,000 | U.S. Treasury Bonds, 2.000%, 11/15/2041 |
176,948,132 | ||||||
71,990,000 | U.S. Treasury Bonds, 2.375%, 2/15/2042 |
56,048,152 | ||||||
46,925,000 | U.S. Treasury Bonds, 3.250%, 5/15/2042 |
41,873,230 | ||||||
91,165,000 | U.S. Treasury Bonds, 3.375%, 8/15/2042 |
82,750,043 | ||||||
47,155,000 | U.S. Treasury Bonds, 3.625%, 2/15/2053 |
45,254,064 | ||||||
71,525,000 | U.S. Treasury Bonds, 3.625%, 5/15/2053 |
68,742,231 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Treasuries continued |
| |||||||
$ 15,860,000 | U.S. Treasury Bonds, 3.875%, 2/15/2043 |
$ | 15,463,500 | |||||
64,410,000 | U.S. Treasury Bonds, 3.875%, 5/15/2043 |
62,850,070 | ||||||
| U.S. Treasury Notes, Zero Coupon, 0.000% |
| ||||||
44,585,000 | U.S. Treasury Notes, 2.750%, 7/31/2027 |
42,033,554 | ||||||
182,200,000 | U.S. Treasury Notes, 2.750%, 8/15/2032 |
167,033,273 | ||||||
1,135,000 | U.S. Treasury Notes, 2.875%, 5/15/2032 |
1,052,358 | ||||||
175,885,000 | U.S. Treasury Notes, 3.125%, 8/31/2029 |
167,056,398 | ||||||
74,440,000 | U.S. Treasury Notes, 3.375%, 5/15/2033 |
71,788,075 | ||||||
41,465,000 | U.S. Treasury Notes, 3.500%, 1/31/2028 |
40,264,783 | ||||||
25,800,000 | U.S. Treasury Notes, 3.500%, 4/30/2028 |
25,070,344 | ||||||
21,635,000 | U.S. Treasury Notes, 3.500%, 1/31/2030 |
20,993,556 | ||||||
127,735,000 | U.S. Treasury Notes, 3.500%, 2/15/2033 |
124,421,873 | ||||||
31,760,000 | U.S. Treasury Notes, 3.625%, 3/31/2028 |
31,020,588 | ||||||
31,255,000 | U.S. Treasury Notes, 3.625%, 5/31/2028 |
30,571,297 | ||||||
12,305,000 | U.S. Treasury Notes, 3.625%, 3/31/2030 |
12,036,789 | ||||||
34,855,000 | U.S. Treasury Notes, 3.875%, 11/30/2027 |
34,360,767 | ||||||
33,275,000 | U.S. Treasury Notes, 3.875%, 12/31/2027 |
32,808,370 | ||||||
175,610,000 | U.S. Treasury Notes, 3.875%, 9/30/2029 |
173,881,339 | ||||||
30,770,000 | U.S. Treasury Notes, 3.875%, 11/30/2029 |
30,491,147 | ||||||
60,010,000 | U.S. Treasury Notes, 3.875%, 12/31/2029 |
59,487,257 | ||||||
87,650,000 | U.S. Treasury Notes, 4.000%, 6/30/2028 |
87,170,664 | ||||||
15,815,000 | U.S. Treasury Notes, 4.125%, 9/30/2027 |
15,726,658 | ||||||
19,250,000 | U.S. Treasury Notes, 4.125%, 10/31/2027 |
19,149,238 | ||||||
235,490,000 | U.S. Treasury Notes, 4.125%, 11/15/2032 |
240,641,344 | ||||||
3,941,597,000 | Uruguay Government International Bonds, 8.250%, 5/21/2031, (UYU) |
96,607,728 | ||||||
93,095,000 | Uruguay Government International Bonds, 8.500%, 3/15/2028, (UYU) |
2,371,497 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Treasuries continued |
| |||||||
213,447,000 | Uruguay Government International Bonds, 8.500%, 3/15/2028, 144A, (UYU) |
$ | 5,437,338 | |||||
|
|
|||||||
2,295,096,708 | ||||||||
|
|
|||||||
Wireless 0.9% |
| |||||||
6,130,000 | America Movil SAB de CV, 2.875%, 5/07/2030 |
5,327,423 | ||||||
17,567,000 | Bharti Airtel Ltd., 4.375%, 6/10/2025, 144A |
17,077,961 | ||||||
983,000 | Crown Castle, Inc., 4.150%, 7/01/2050 |
779,814 | ||||||
5,305,000 | Empresa Nacional de Telecomunicaciones SA, 3.050%, 9/14/2032, 144A |
4,201,560 | ||||||
7,180,000 | Kenbourne Invest SA, 4.700%, 1/22/2028, 144A |
4,824,386 | ||||||
5,452,000 | Millicom International Cellular SA, 4.500%, 4/27/2031, 144A |
4,190,407 | ||||||
14,210,000 | SBA Communications Corp., 3.125%, 2/01/2029 |
12,045,179 | ||||||
16,530,000 | Sitios Latinoamerica SAB de CV, 5.375%, 4/04/2032, 144A |
14,947,418 | ||||||
|
|
|||||||
63,394,148 | ||||||||
|
|
|||||||
Wirelines 0.6% |
| |||||||
18,528,000 | AT&T, Inc., 1.700%, 3/25/2026 |
16,888,119 | ||||||
7,956,000 | AT&T, Inc., 3.500%, 9/15/2053 |
5,632,177 | ||||||
2,905,000 | AT&T, Inc., 3.550%, 9/15/2055 |
2,033,691 | ||||||
1,863,000 | AT&T, Inc., 3.650%, 6/01/2051 |
1,367,665 | ||||||
11,891,000 | AT&T, Inc., 3.650%, 9/15/2059 |
8,278,741 | ||||||
7,539,000 | AT&T, Inc., 3.800%, 12/01/2057 |
5,458,217 | ||||||
|
|
|||||||
39,658,610 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $6,793,884,579) |
6,225,293,849 | |||||||
|
|
|||||||
Municipals 0.1% |
||||||||
Virginia 0.1% |
| |||||||
12,785,000 | University of Virginia, Revenue Bonds, Series A, 3.227%, 9/01/2119 |
8,008,456 | ||||||
|
|
|||||||
Total Municipals (Identified Cost $12,785,000) |
8,008,456 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $6,806,669,579) |
6,233,302,305 | |||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
Collateralized Loan Obligations 2.9% |
||||||||
$ 2,390,000 | 37 Capital CLO 1 Ltd., Series 2021-1A, Class D, 3 mo. USD LIBOR + 3.520%, 8.780%, 10/15/2034, 144A(b) |
$ | 2,156,968 | |||||
4,210,000 | AIG CLO LLC, Series 2018-1A, Class A1R, 3 mo. USD LIBOR + 1.120%, 6.370%, 4/20/2032, 144A(b) |
4,160,735 | ||||||
725,000 | AIG CLO Ltd., Series 2019-1A, Class BR, 3 mo. USD SOFR + 1.850%, 6.832%, 4/18/2035, 144A(b) |
705,528 | ||||||
1,000,000 | Aimco CLO 14 Ltd., Series 2021-14A, Class B, 3 mo. USD LIBOR + 1.350%, 6.600%, 4/20/2034, 144A(b) |
961,899 | ||||||
2,000,000 | AMMC CLO 16 Ltd., Series 2015-16A, Class BR2, 3 mo. USD LIBOR + 1.450%, 6.701%, 4/14/2029, 144A(b) |
1,999,888 | ||||||
1,585,000 | AMMC CLO 22 Ltd., Series 2018-22A, Class D, 3 mo. USD LIBOR + 2.700%, 7.955%, 4/25/2031, 144A(b) |
1,474,543 | ||||||
4,275,000 | AMMC CLO Ltd., Series 2023-26A, Class D, 3 mo. USD SOFR + 5.750%, 10.893%, 4/15/2036, 144A(b) |
4,324,988 | ||||||
400,000 | ARES XXXVII CLO Ltd., Series 2015-4A, Class A3R, 3 mo. USD LIBOR + 1.500%, 6.760%, 10/15/2030, 144A(b) |
390,255 | ||||||
990,244 | Atrium XIII, Series 13A, Class A1, 3 mo. USD LIBOR + 1.180%, 6.453%, 11/21/2030, 144A(b) |
983,952 | ||||||
3,000,000 | Atrium XV, Series 15A, Class D, 3 mo. USD LIBOR + 3.000%, 8.273%, 1/23/2031, 144A(b) |
2,895,774 | ||||||
1,165,000 | Bain Capital Credit CLO Ltd., Series 2019-1A, Class CR, 3 mo. USD LIBOR + 2.150%, 7.415%, 4/19/2034, 144A(b) |
1,106,494 | ||||||
420,000 | Bain Capital Credit CLO Ltd., Series 2021-4A, Class D, 3 mo. USD LIBOR + 3.100%, 8.350%, 10/20/2034, 144A(b) |
374,240 | ||||||
1,750,000 | Bain Capital Credit CLO Ltd., Series 2021-7A, Class D, 3 mo. USD LIBOR + 3.250%, 8.523%, 1/22/2035, 144A(b) |
1,585,850 | ||||||
2,250,000 | Bain Capital Credit CLO Ltd., Series 2023-1A, Class D, 3 mo. USD SOFR + 4.900%, 9.643%, 4/16/2036, 144A(b) |
2,235,179 | ||||||
4,165,000 | Balboa Bay Loan Funding Ltd., Series 2021-1A, Class A, 3 mo. USD LIBOR + 1.200%, 6.450%, 7/20/2034, 144A(b) |
4,097,502 | ||||||
3,420,000 | Balboa Bay Loan Funding Ltd., Series 2023-1A, Class B, 3 mo. USD SOFR + 2.550%, 7.429%, 4/20/2035, 144A(b) |
3,413,567 | ||||||
1,400,000 | Ballyrock CLO Ltd., Series 2019-1A, Class A2R, 3 mo. USD LIBOR + 1.550%, 6.810%, 7/15/2032, 144A(b) |
1,365,932 | ||||||
3,500,000 | Barings CLO Ltd., Series 2021-1A, Class D, 3 mo. USD LIBOR + 2.900%, 8.155%, 4/25/2034, 144A(b) |
3,212,286 | ||||||
5,000,000 | Battalion CLO X Ltd., Series 2016-10A, Class A1R2, 3 mo. USD LIBOR + 1.170%, 6.443%, 1/25/2035, 144A(b) |
4,893,445 | ||||||
400,000 | Battalion CLO XIX Ltd., Series 2021-19A, Class D, 3 mo. USD LIBOR + 3.250%, 8.510%, 4/15/2034, 144A(b) |
347,450 | ||||||
1,675,000 | Betony CLO 2 Ltd., Series 2018-1A, Class A2, 3 mo. USD LIBOR + 1.600%, 6.899%, 4/30/2031, 144A(b) |
1,635,467 | ||||||
1,865,000 | BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, 3 mo. USD LIBOR + 1.750%, 7.005%, 7/25/2034, 144A(b) |
1,808,532 | ||||||
2,400,000 | Buttermilk Park CLO Ltd., Series 2018-1A, Class C, 3 mo. USD LIBOR + 2.100%, 7.360%, 10/15/2031, 144A(b) |
2,307,754 | ||||||
1,981,249 | Carbone CLO Ltd., Series 2017-1A, Class A1, 3 mo. USD LIBOR + 1.140%, 6.390%, 1/20/2031, 144A(b) |
1,963,859 | ||||||
3,570,000 | Carlyle U.S. CLO Ltd., Series 2021-1A, Class C, 3 mo. USD LIBOR + 2.800%, 8.060%, 4/15/2034, 144A(b) |
3,283,004 | ||||||
2,020,000 | CarVal CLO II Ltd., Series 2019-1A, Class DR, 3 mo. USD LIBOR + 3.200%, 8.450%, 4/20/2032, 144A(b) |
1,923,155 | ||||||
3,515,000 | CarVal CLO III Ltd., Series 2019-2A, Class DR, 3 mo. USD LIBOR + 2.950%, 8.200%, 7/20/2032, 144A(b) |
3,371,668 | ||||||
525,000 | Cayuga Park CLO Ltd., Series 2020-1A, Class B1R, 3 mo. USD LIBOR + 1.650%, 6.910%, 7/17/2034, 144A(b) |
509,305 |
Principal Amount () |
Description |
Value () | ||||||
Collateralized Loan Obligations continued |
||||||||
$ 2,165,000 | CIFC Funding Ltd., Series 2012-2RA, Class A2, 3 mo. USD SOFR + 1.512%, 6.500%, 1/20/2028, 144A(b) |
$ | 2,147,598 | |||||
540,000 | CIFC Funding Ltd., Series 2019-3A, Class CR, 3 mo. USD LIBOR + 3.050%, 8.310%, 10/16/2034, 144A(b) |
507,112 | ||||||
2,500,000 | CIFC Funding Ltd., Series 2019-5A, Class CR, 3 mo. USD LIBOR + 3.150%, 8.410%, 1/15/2035, 144A(b) |
2,346,752 | ||||||
2,935,000 | CIFC Funding Ltd., Series 2020-1A, Class BR, 3 mo. USD LIBOR + 1.650%, 6.910%, 7/15/2036, 144A(b) |
2,853,469 | ||||||
4,500,000 | CIFC Funding Ltd., Series 2020-3A, Class DR, 3 mo. USD LIBOR + 3.100%, 8.350%, 10/20/2034, 144A(b) |
4,211,959 | ||||||
7,190,000 | CIFC Funding Ltd., Series 2021-7A, Class D, 3 mo. USD LIBOR + 3.000%, 8.273%, 1/23/2035, 144A(b) |
6,632,703 | ||||||
1,000,000 | CIFC Funding Ltd., Series 2015-4A, Class CR2, 3 mo. USD LIBOR + 3.000%, 8.250%, 4/20/2034, 144A(b) |
923,847 | ||||||
7,655,000 | Crown City CLO III, Series 2021-1A, Class A1A, 3 mo. USD LIBOR + 1.170%, 6.420%, 7/20/2034, 144A(b) |
7,465,225 | ||||||
710,064 | Dryden 30 Senior Loan Fund, Series 2013-30A, Class AR, 3 mo. USD LIBOR + 0.820%, 6.141%, 11/15/2028, 144A(b) |
705,696 | ||||||
5,450,000 | Dryden 78 CLO Ltd., Series 2020-78A, Class A, 3 mo. USD LIBOR + 1.180%, 6.440%, 4/17/2033, 144A(b) |
5,381,717 | ||||||
4,520,000 | Elmwood CLO III Ltd., Series 2019-3A, Class AR, 3 mo. USD LIBOR + 1.160%, 6.410%, 10/20/2034, 144A(b) |
4,447,486 | ||||||
2,700,000 | Elmwood CLO IV Ltd., Series 2020-1A, Class A, 3 mo. USD LIBOR + 1.240%, 6.500%, 4/15/2033, 144A(b) |
2,682,747 | ||||||
1,750,000 | Fortress Credit BSL XII Ltd., Series 2021-4A, Class D, 3 mo. USD LIBOR + 3.650%, 8.910%, 10/15/2034, 144A(b) |
1,626,936 | ||||||
500,000 | Generate CLO 9 Ltd., Series 9A,Class A, 3 mo. USD LIBOR + 1.200%, 6.450%, 10/20/2034, 144A(b) |
488,372 | ||||||
1,650,000 | Gilbert Park CLO Ltd., Series 2017-1A, Class D, 3 mo. USD LIBOR + 2.950%, 8.210%, 10/15/2030, 144A(b) |
1,527,641 | ||||||
1,875,000 | Goldentree Loan Management U.S. CLO 2 Ltd., Series 2017-2A, Class BR, 3 mo. USD LIBOR + 1.400%, 6.650%, 11/20/2030, 144A(b) |
1,848,523 | ||||||
1,518,000 | Greywolf CLO VI Ltd., Series 2018-1A, Class A2, 3 mo. USD SOFR + 1.890%, 6.958%, 4/26/2031, 144A(b) |
1,485,343 | ||||||
2,575,000 | Hayfin U.S. XII Ltd., Series 2018-9A, Class BR, 3 mo. USD LIBOR + 1.800%, 7.073%, 4/28/2031, 144A(b) |
2,544,583 | ||||||
5,000,000 | Invesco U.S. CLO Ltd., Series 2023-2A, Class D, 3 mo. USD SOFR + 4.950% 9.806%, 4/21/2036, 144A(b) |
5,010,150 | ||||||
2,000,000 | LCM XX LP, Series 20A, Class BR, 3 mo. USD LIBOR + 1.550%, 6.800%, 10/20/2027, 144A(b) |
1,990,040 | ||||||
1,190,000 | Long Point Park CLO Ltd., Series 2017-1A, Class A2, 3 mo. USD LIBOR + 1.375%, 6.635%, 1/17/2030, 144A(b) |
1,157,687 | ||||||
3,155,000 | Madison Park Funding LIX Ltd., Series 2021-59A, Class A, 3 mo. USD LIBOR + 1.140%, 6.402%, 1/18/2034, 144A(b) |
3,117,522 | ||||||
1,650,000 | Madison Park Funding XLVI Ltd., Series 2020-46A, Class DR, 3 mo. USD LIBOR + 3.150%, 8.410%, 10/15/2034, 144A(b) |
1,534,581 | ||||||
475,000 | Madison Park Funding XXXV Ltd., Series 2019-35A, Class CR, 3 mo. USD LIBOR + 1.900%, 7.150%, 4/20/2032, 144A(b) |
468,265 | ||||||
1,694,147 | Magnetite XVIII Ltd., Series 2016-18A, Class AR2, 3 mo. USD LIBOR + 0.880%, 6.201%, 11/15/2028, 144A(b) |
1,682,115 | ||||||
1,250,000 | Magnetite XXI Ltd., Series 2019-21A, Class BR, 3 mo. USD LIBOR + 1.350%, 6.600%, 4/20/2034, 144A(b) |
1,213,835 | ||||||
850,000 | Magnetite XXIV Ltd., Series 2019-24A, Class DR, 3 mo. USD SOFR + 3.050%, 8.036%, 4/15/2035, 144A(b) |
793,742 | ||||||
1,900,000 | Magnetite XXX Ltd., Series 2021-30A, Class D, 3 mo. USD LIBOR + 2.950%, 8.205%, 10/25/2034, 144A(b) |
1,764,908 |
Principal Amount () |
Description |
Value () | ||||||
Collateralized Loan Obligations continued |
||||||||
$ 1,225,000 | Magnetite XXXI Ltd., Series 2021-31A, Class A1, 3 mo. USD LIBOR + 1.100%, 6.360%, 7/15/2034, 144A(b) |
$ | 1,202,743 | |||||
782,912 | Mountain View CLO X Ltd., Series 2015-10A, Class BR, 3 mo. USD LIBOR + 1.350%, 6.592%, 10/13/2027, 144A(b) |
782,789 | ||||||
465,000 | MP CLO VIII Ltd., Series 2015-2A, Class ARR, 3 mo. USD LIBOR + 1.200%, 6.473%, 4/28/2034, 144A(b) |
452,220 | ||||||
650,000 | Neuberger Berman CLO XIV Ltd., Series 2013-14A, Class CR2, 3 mo. USD LIBOR + 1.900%, 7.173%, 1/28/2030, 144A(b) |
620,660 | ||||||
3,410,000 | Neuberger Berman Loan Advisers CLO 40 Ltd., Series 2021-40A, Class B, 3 mo. USD LIBOR + 1.400%, 6.660%, 4/16/2033, 144A(b) |
3,315,928 | ||||||
2,745,000 | NYACK Park CLO Ltd., Series 2021-1A, Class D, 3 mo. USD LIBOR + 2.800%, 8.050%, 10/20/2034, 144A(b) |
2,488,447 | ||||||
1,150,000 | OCP CLO Ltd., Series 2021-21A, Class D, 3 mo. USD LIBOR + 2.950%, 8.200%, 7/20/2034, 144A(b) |
1,056,667 | ||||||
4,385,000 | Octagon Investment Partners 32 Ltd., Series 2017-1A, Class CR, 3 mo. USD LIBOR + 2.050%, 7.310%, 7/15/2029, 144A(b) |
4,232,060 | ||||||
4,000,000 | OHA Credit Funding 10 Ltd., Series 2021-10A, Class A, 3 mo. USD LIBOR + 1.130%, 6.392%, 1/18/2036, 144A(b) |
3,927,036 | ||||||
8,880,000 | OHA Credit Funding 8 Ltd., Series 2021-8A, Class B1, 3 mo. USD LIBOR + 1.500%, 6.762%, 1/18/2034, 144A(b) |
8,688,512 | ||||||
720,000 | OHA Credit Partners VII Ltd., Series 2012-7A, Class D1R3, 3 mo. USD LIBOR + 2.900%, 8.279%, 2/20/2034, 144A(b) |
695,226 | ||||||
470,000 | OZLM Funding IV Ltd., Series 2013-4A, Class A2R, 3 mo. USD LIBOR + 1.700%, 6.973%, 10/22/2030, 144A(b) |
463,733 | ||||||
260,000 | Palmer Square CLO Ltd., Series 2015-2A, Class BR2, 3 mo. USD LIBOR + 1.950%, 7.200%, 7/20/2030, 144A(b) |
249,570 | ||||||
2,120,000 | Palmer Square Loan Funding Ltd., Series 2020-4A, Class C, 3 mo. USD LIBOR + 3.600%, 8.996%, 11/25/2028, 144A(b) |
2,124,046 | ||||||
415,000 | Palmer Square Loan Funding Ltd., Series 2020-1A, Class A2, 3 mo. USD LIBOR + 1.350%, 6.729%, 2/20/2028, 144A(b) |
413,744 | ||||||
1,250,000 | Palmer Square Loan Funding Ltd., Series 2021-1A, Class B, 3 mo. USD LIBOR + 1.800%, 7.050%, 4/20/2029, 144A(b) |
1,236,201 | ||||||
750,000 | Palmer Square Loan Funding Ltd., Series 2021-3A, Class A2, 3 mo. USD LIBOR + 1.400%, 6.650%, 7/20/2029, 144A(b) |
738,407 | ||||||
1,500,000 | Palmer Square Loan Funding Ltd., Series 2021-4A, Class A2, 3 mo. USD LIBOR + 1.400%, 6.660%, 10/15/2029, 144A(b) |
1,466,020 | ||||||
1,000,000 | Palmer Square Loan Funding Ltd., Series 2022-2A, Class A2, 3 mo. USD SOFR + 1.900%, 6.886%, 10/15/2030, 144A(b) |
979,513 | ||||||
5,670,000 | Post CLO Ltd., Series 2021-1A, Class B, 3 mo. USD LIBOR + 1.750%, 7.010%, 10/15/2034, 144A(b) |
5,500,257 | ||||||
1,245,000 | Post CLO Ltd., Series 2022-1A, Class B, 3 mo. USD SOFR + 1.900%, 6.949%, 4/20/2035, 144A(b) |
1,203,434 | ||||||
1,450,000 | Post CLO Ltd., Series 2021-1A, Class A, 3 mo. USD LIBOR + 1.200%, 6.460%, 10/15/2034, 144A(b) |
1,420,521 | ||||||
3,730,000 | PPM CLO 5 Ltd., Series 2021-5A, Class B, 3 mo. USD LIBOR + 1.700%, 6.962%, 10/18/2034, 144A(b) |
3,671,875 | ||||||
750,000 | Regatta IX Funding Ltd., Series 2017-1A, Class B, 3 mo. USD LIBOR + 1.800%, 7.060%, 4/17/2030, 144A(b) |
739,685 | ||||||
3,250,000 | Riserva CLO Ltd., Series 2016-3A, Class DRR, 3 mo. USD LIBOR + 3.250%, 8.512%, 1/18/2034, 144A(b) |
2,933,206 | ||||||
1,495,000 | Rockford Tower CLO Ltd., Series 2017-1A, Class BR2A, 3 mo. USD LIBOR + 1.650%, 6.900%, 4/20/2034, 144A(b) |
1,441,808 | ||||||
2,750,000 | RR 26 Ltd., Series 2023-26A, Class A1, 3 mo. USD SOFR + 1.780%, 6.512%, 4/15/2038, 144A(b) |
2,748,966 | ||||||
3,000,000 | Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, 3 mo. USD LIBOR + 1.160%, 6.420%, 4/17/2034, 144A(b) |
2,943,465 |
Principal Amount () |
Description |
Value () | ||||||
Collateralized Loan Obligations continued |
||||||||
$ 1,000,000 | Signal Peak CLO Ltd., Series 2022-12A, Class B1, 3 mo. USD SOFR + 2.600%, 7.582%, 7/18/2034, 144A(b) |
$ | 987,812 | |||||
1,000,000 | Silver Creek CLO Ltd., Series 2014-1A, Class DR, 3 mo. USD LIBOR + 3.350%, 8.600%, 7/20/2030, 144A(b) |
979,314 | ||||||
2,085,000 | THL Credit Wind River CLO Ltd., Series 2017-4A, Class B, 3 mo. USD LIBOR + 1.450%, 6.829%, 11/20/2030, 144A(b) |
2,048,555 | ||||||
3,500,000 | TICP CLO V Ltd., Series 2016-5A, Class CR, 3 mo. USD LIBOR + 2.200%, 7.460%, 7/17/2031, 144A(b) |
3,418,726 | ||||||
5,000,000 | Trestles CLO IV Ltd., Series 2021-4A, Class A, 3 mo. USD LIBOR + 1.170%, 6.431%, 7/21/2034, 144A(b) |
4,930,605 | ||||||
1,000,000 | Trinitas CLO XVI Ltd., Series 2021-16A, Class A1, 3 mo. USD LIBOR + 1.180%, 6.430%, 7/20/2034, 144A(b) |
981,277 | ||||||
500,000 | Trinitas CLO XVIII Ltd., Series 2021-18A, Class A1, 3 mo. USD LIBOR + 1.170%, 6.420%, 1/20/2035, 144A(b) |
489,209 | ||||||
250,000 | Wind River CLO Ltd., Series 2021-3A, Class A, 3 mo. USD LIBOR + 1.150%, 6.400%, 7/20/2033, 144A(b) |
244,046 | ||||||
|
|
|||||||
Total Collateralized Loan Obligations (Identified Cost $202,336,535) |
199,866,056 | |||||||
|
|
|||||||
Short-Term Investments 4.7% |
||||||||
10,150,000 | Federal Home Loan Bank Discount Notes, 4.800%-4.900%, 7/06/2023(e)(f) |
10,145,914 | ||||||
58,520,000 | Federal Home Loan Bank Discount Notes, 4.850%, 7/12/2023(f) |
58,449,360 | ||||||
58,005,000 | Federal Home Loan Bank Discount Notes, 4.850%, 7/17/2023(f) |
57,896,118 | ||||||
73,010,000 | Federal Home Loan Bank Discount Notes, 4.900%, 7/10/2023(f) |
72,941,444 | ||||||
62,766,706 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $62,778,736 on 7/03/2023 collateralized by $67,989,700 U.S. Treasury Note, 2.625% due 5/31/2027 valued at $64,022,082 including accrued interest(g) | 62,766,706 | ||||||
59,340,000 | U.S. Treasury Bills, 4.990%, 8/10/2023(f)(h) |
59,018,517 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $321,208,193) |
321,218,059 | |||||||
|
|
|||||||
Total Investments 99.1% (Identified Cost $7,330,214,307) |
6,754,386,420 | |||||||
Other assets less liabilities 0.9% | 58,960,858 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 6,813,347,278 | ||||||
|
|
() | 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 Funds Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Boards 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. 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.
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 issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing a Funds 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 Funds net asset value (NAV) is calculated. Fair valuation by the Funds valuation designee may require subjective determinations about the value of the investment, and fair values used to determine a Funds 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. |
() | Amount shown represents units. One unit represents a principal amount of 100. |
(a) | 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 June 30, 2023 is disclosed. |
(b) | Variable rate security. Rate as of June 30, 2023 is disclosed. |
(c) | Level 3 security. Value has been determined using significant unobservable inputs. |
(d) | The Funds 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) | The Funds investment in U.S. Government/Agency securities is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
(f) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(g) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Funds ability to dispose of the underlying securities. As of June 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. |
(h) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2023, the value of Rule 144A holdings amounted to $1,455,444,726 or 21.4% of net assets. | |
ABS | Asset-Backed Securities | |
EMTN | Euro Medium Term Note | |
GMTN | Global Medium Term Note | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium Term Note | |
REITs | Real Estate Investment Trusts | |
SOFR | Secured Overnight Financing Rate | |
MXN | Mexican Peso | |
UYU | Uruguayan Peso |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At June 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 |
9/29/2023 | 735 | $ | 151,178,725 | $ | 149,457,656 | $ | (1,721,069 | ) | |||||||||||
Ultra 10 Year U.S. Treasury Notes Futures |
9/20/2023 | 2,038 | 242,701,197 | 241,375,625 | (1,325,572 | ) | ||||||||||||||
CBOT 10 Year U.S. Treasury Notes Futures |
9/20/2023 | 2,703 | 307,007,194 | 303,453,984 | (3,553,210 | ) | ||||||||||||||
CBOT 5 Year U.S. Treasury Notes Futures |
9/29/2023 | 4,886 | 530,053,517 | 523,260,063 | (6,793,454 | ) | ||||||||||||||
CME Ultra Long Term U.S. Treasury Bond Futures |
9/20/2023 | 455 | 60,950,234 | 61,979,531 | 1,029,297 | |||||||||||||||
|
|
|||||||||||||||||||
Total |
|
$ | (12,364,008 | ) | ||||||||||||||||
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds 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 Funds 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 Funds investments as of June 30, 2023, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
Collateralized Mortgage Obligations |
$ | | $ | 5,700,158 | $ | 99,765 | $ | 5,799,923 | ||||||||
All Other Non-Convertible Bonds* |
| 6,219,493,926 | | 6,219,493,926 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 6,225,194,084 | 99,765 | 6,225,293,849 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Municipals* |
| 8,008,456 | | 8,008,456 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 6,233,202,540 | 99,765 | $ | 6,233,302,305 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Collateralized Loan Obligations |
199,866,056 | 199,866,056 | ||||||||||||||
Short-Term Investments |
| 321,218,059 | | 321,218,059 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
| 6,754,286,655 | 99,765 | 6,754,386,420 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Futures Contracts (unrealized appreciation) |
1,029,297 | | | 1,029,297 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 1,029,297 | $ | 6,754,286,655 | $ | 99,765 | $ | 6,755,415,717 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs | ||||||||||||||||
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) |
$ | (13,393,305 | ) | $ | | $ | | $ | (13,393,305 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
The Funds pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. The Funds adviser may use internally developed models to validate broker-dealer bid prices that are only available from a single broker or market maker. Such securities are considered and classified as fair valued. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2022 and/or June 30, 2023:
Asset Valuation Inputs
Investments in Securities |
Balance as of September 30, 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 June 30, 2023 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2023 |
||||||||||||||||||||||||||||||
Bonds and Notes |
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Non-Convertible Bonds |
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Collateralized Mortgage Obligations |
$ | 122,859 | $ | | $ | 76 | $ | 302 | $ | 1,776 | $ | (25,248 | ) | $ | | $ | | $ | 99,765 | $ | (1,227 | ) | ||||||||||||||||||
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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 futures contracts.
The Fund is subject to the risk that changes in interest rates will affect the value of the Funds investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. As of June 30, 2023, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of June 30, 2023:
Assets |
Unrealized appreciation on futures contracts |
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Exchange-traded asset derivatives |
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Interest rate contracts |
$ | 1,029,297 |
Liabilities |
Unrealized depreciation on futures contracts |
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Exchange-traded liability derivatives |
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Interest rate contracts |
$ | (13,393,305 | ) |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Counterparty risk is managed based on policies and procedures established by each Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Funds risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Funds aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearing house, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers 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 brokers customers, potentially resulting in losses to the Fund.
Industry Summary at June 30, 2023 (Unaudited)
Treasuries |
33.7 | % | ||
Mortgage Related |
22.3 | |||
Banking |
6.8 | |||
ABS Car Loan |
2.5 | |||
Finance Companies |
2.1 | |||
Other Investments, less than 2% each |
24.1 | |||
Short-Term Investments |
4.7 | |||
Collateralized Loan Obligations |
2.9 | |||
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Total Investments |
99.1 | |||
Other assets less liabilities (including futures contracts) |
0.9 | |||
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Net Assets |
100.0 | % | ||
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