NPORT-EX 1 d751815d8k_cyxknkxr.htm HTML

PORTFOLIO OF INVESTMENTS – as of June 30, 2019 (Unaudited)

Loomis Sayles Global Allocation Fund

 

Shares     

Description

    Value (†)  
 

Common Stocks – 68.4% of Net Assets

  
  

Canada – 1.9%

 

  721,900      CGI, Inc.(a)    $ 55,500,662  
     

 

 

  
  

China – 2.3%

 

  409,406      Alibaba Group Holding Ltd., Sponsored ADR(a)      69,373,847  
     

 

 

  
  

France – 2.4%

 

  156,502      Dassault Systemes SE      24,962,902  
  377,992      Thales S.A.      46,690,361  
     

 

 

  
        71,653,263  
     

 

 

  
  

Hong Kong – 2.7%

 

  7,364,800      AIA Group Ltd.      79,531,727  
     

 

 

  
  

India – 1.0%

 

  843,974      HDFC Bank Ltd.      29,894,584  
     

 

 

  
  

Japan – 1.4%

 

  2,540,961      Nomura Research Institute Ltd.      40,861,811  
     

 

 

  
  

Sweden – 1.3%

 

  1,165,368      Atlas Copco AB, Class A      37,344,959  
     

 

 

  
  

Switzerland – 4.2%

 

  694,831      Nestle S.A., (Registered)      71,930,442  
  283,323      Temenos AG, (Registered)      50,730,065  
     

 

 

  
        122,660,507  
     

 

 

  
  

United Kingdom – 6.1%

 

  1,932,479      Halma PLC      49,631,095  
  11,525,246      Legal & General Group PLC      39,485,618  
  255,318      Linde PLC      51,267,854  
  563,120      London Stock Exchange Group PLC      39,240,678  
     

 

 

  
        179,625,245  
     

 

 

  
  

United States – 45.1%

 

  309,841      Accenture PLC, Class A      57,249,322  
  24,725      Alphabet, Inc., Class C(a)      26,725,500  
  50,404      Alphabet, Inc., Class A(a)      54,577,451  
  41,402      Amazon.com, Inc.(a)      78,400,069  
  10,276      Booking Holdings, Inc.(a)      19,264,520  
  1,016,101      CBRE Group, Inc., Class A(a)      52,125,981  
  700,117      Danaher Corp.      100,060,722  
  245      Dex Media, Inc.(a)(b)      2,042  
  208,216      EOG Resources, Inc.      19,397,402  
  289,293      Facebook, Inc., Class A(a)      55,833,549  
  159,750      Goldman Sachs Group, Inc. (The)      32,684,850  
  531,752      Intercontinental Exchange, Inc.      45,698,767  
  273,195      LyondellBasell Industries NV, Class A      23,530,285  
  330,011      M&T Bank Corp.      56,124,971  

Shares     

Description

    Value (†)  
 

Common Stocks – continued

   
  

United States – continued

   
  583,886      Marriott International, Inc., Class A    $ 81,913,367  
  153,724      McCormick & Co., Inc.      23,828,757  
  61,189      Mettler-Toledo International, Inc.(a)      51,398,760  
  263,546      Northrop Grumman Corp.      85,154,348  
  8,676      NVR, Inc.(a)      29,240,289  
  305,287      Parker Hannifin Corp.      51,901,843  
  271,768      Roper Technologies, Inc.      99,537,748  
  206,073      S&P Global, Inc.      46,941,369  
  165,779      Sherwin-Williams Co. (The)      75,974,858  
  464,590      Texas Instruments, Inc.      53,316,348  
  145,834      Tyler Technologies, Inc.(a)      31,503,061  
  321,750      UnitedHealth Group, Inc.      78,510,217  
     

 

 

  
        1,330,896,396  
     

 

 

  
   Total Common Stocks
(Identified Cost $1,462,497,526)		      2,017,343,001  
     

 

 

  
Principal
Amount (‡)		         
 

Bonds and Notes – 23.5%

   
 

Non-Convertible Bonds – 23.1%

   
  

Argentina – 0.1%

   
$ 775,000      Provincia de Buenos Aires,
9.125%, 3/16/2024, 144A		      645,916  
  535,000      Republic of Argentina,
6.875%, 4/22/2021		      469,462  
  2,460,000      Republic of Argentina,
7.125%, 6/28/2117		      1,838,875  
  1,390,000      Republic of Argentina,
7.625%, 4/22/2046		      1,101,575  
  17,745,000      YPF S.A.,
16.500%, 5/09/2022, 144A, (ARS)		      245,184  
     

 

 

  
        4,301,012  
     

 

 

  
  

Australia – 0.1%

   
  1,675,000      Australia Government Bond, Series 133,
5.500%, 4/21/2023, (AUD)(c)		      1,374,178  
  1,150,000      Commonwealth Bank of Australia,
2.250%, 3/10/2020, 144A(c)		      1,149,568  
  670,000      GAIF Bond Issuer Pty Ltd.,
3.400%, 9/30/2026, 144A(c)		      668,295  
  110,000      Incitec Pivot Finance LLC,
6.000%, 12/10/2019, 144A		      111,459  
  935,000      National Australia Bank,
2.500%, 1/12/2021(c)		      938,198  
  95,000      Sydney Airport Finance Co. Pty Ltd.,
3.375%, 4/30/2025, 144A		      96,585  
     

 

 

  
        4,338,283  
     

 

 

  
  

Belgium – 0.1%

 

  1,690,000      Anheuser-Busch InBev Worldwide, Inc.,
4.750%, 1/23/2029		      1,918,498  

Principal
Amount (‡)		    

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
 

Belgium – continued

   
$ 440,000     Solvay Finance (America) LLC,
3.400%, 12/03/2020, 144A		    $ 444,234  
    

 

 

  
       2,362,732  
    

 

 

  
 

Brazil – 0.4%

 

  800,000     Braskem Finance Ltd.,
5.750%, 4/15/2021, 144A		      836,208  
  8,500 (††)    Brazil Notas do Tesouro Nacional, Series F,
10.000%, 1/01/2025, (BRL)		      2,393,604  
  10,980 (††)    Brazil Notas do Tesouro Nacional, Series F,
10.000%, 1/01/2021, (BRL)		      2,879,344  
  2,300 (††)    Brazil Notas do Tesouro Nacional, Series F,
10.000%, 1/01/2027, (BRL)		      659,576  
  1,085,000     Brazilian Government International Bond,
4.625%, 1/13/2028		      1,138,165  
  400,000     Cosan Luxembourg S.A.,
5.000%, 3/14/2023, 144A		      402,000  
  1,100,000     Embraer Netherlands Finance BV,
5.050%, 6/15/2025(c)		      1,186,636  
  1,350,000     Petrobras Global Finance BV,
5.999%, 1/27/2028		      1,435,050  
  150,000     Petrobras Global Finance BV,
6.875%, 1/20/2040		      162,637  
  575,000     Raizen Fuels Finance S.A.,
5.300%, 1/20/2027, 144A		      612,375  
  500,000     Tupy Overseas S.A.,
6.625%, 7/17/2024, 144A		      517,505  
    

 

 

  
       12,223,100  
    

 

 

  
 

Canada – 2.3%

 

  423,390     Air Canada Pass Through Trust, Series 2015-2, Class A,
4.125%, 6/15/2029, 144A(c)		      446,393  
  872,088     Air Canada Pass Through Trust, Series 2017-1, Class AA,
3.300%, 7/15/2031, 144A(c)		      877,294  
  1,010,000     Antares Holdings LP,
6.000%, 8/15/2023, 144A		      1,026,589  
  815,000     Bank of Montreal,
1.750%, 6/15/2021, 144A(c)		      810,265  
  956,551     BMW Canada Auto Trust, Series 2017-1A, Class A2,
1.677%, 5/20/2020, 144A, (CAD)(c)		      730,070  
  1,015,000     Brookfield Finance, Inc.,
4.850%, 3/29/2029		      1,110,145  
  12,965,000     Canadian Government Bond,
0.500%, 3/01/2022, (CAD)(c)		      9,660,363  
  38,750,000     Canadian Government Bond,
0.750%, 3/01/2021, (CAD)(c)		      29,219,551  
  13,815,000     Canadian Government International Bond,
1.750%, 9/01/2019, (CAD)(c)		      10,548,581  
  970,000     Canadian Imperial Bank of Commerce,
1.600%, 9/06/2019(c)		      968,532  
  800,000     CPPIB Capital, Inc.,
0.375%, 6/20/2024, 144A, (EUR)(c)		      935,624  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
  

Canada – continued

   
$ 430,000      Enbridge, Inc.,
2.900%, 7/15/2022		    $ 436,335  
  905,000      Export Development Canada,
1.800%, 9/01/2022, (CAD)(c)		      694,691  
  445,000      GMF Canada Leasing Trust, Series 2018-1A, Class A2,
3.030%, 6/21/2021, (CAD)		      341,582  
  953,046      Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2,
2.616%, 7/12/2047, 144A, (CAD)(c)		      725,095  
  7,200,000      Province of Ontario Canada,
1.875%, 5/21/2020(c)		      7,183,162  
  1,690,000      Tornoto-Dominion Bank (The), Series GMTN,
3.500%, 7/19/2023(c)		      1,773,006  
     

 

 

  
        67,487,278  
     

 

 

  
  

Chile – 0.4%

   
  1,590,000,000      Bonos de la Tesoreria de la Republica de Chile,
4.000%, 3/01/2023, 144A, (CLP)(c)		      2,452,873  
  815,000,000      Bonos de la Tesoreria de la Republica de Chile,
4.500%, 3/01/2026, (CLP)(c)		      1,304,622  
  1,700,000      Corp. Nacional del Cobre de Chile,
4.500%, 9/16/2025(c)		      1,844,551  
  1,160,000      Corp. Nacional del Cobre de Chile,
4.500%, 9/16/2025, 144A(c)		      1,258,635  
  525,000      Enel Chile S.A.,
4.875%, 6/12/2028		      573,562  
  250,000      Engie Energia Chile S.A.,
5.625%, 1/15/2021, 144A		      260,367  
  800,000      Inversiones CMPC S.A.,
4.375%, 5/15/2023, 144A(c)		      830,954  
  240,000      Latam Airlines Group S.A.,
7.250%, 6/09/2020, 144A		      246,902  
  710,248      Latam Airlines Pass Through Trust, Series 2015-1, Class A,
4.200%, 8/15/2029		      717,138  
  424,348      Latam Airlines Pass Through Trust, Series 2015-1, Class B,
4.500%, 8/15/2025		      420,105  
  950,000      Latam Finance Ltd.,
6.875%, 4/11/2024, 144A		      986,347  
  935,000      Republic of Chile,
3.240%, 2/06/2028(c)		      980,591  
  1,120,000      Transelec S.A.,
4.250%, 1/14/2025, 144A(c)		      1,164,531  
     

 

 

  
        13,041,178  
     

 

 

  
  

China – 0.3%

   
  920,000      Alibaba Group Holding Ltd.,
3.400%, 12/06/2027(c)		      934,667  
  795,000      Baidu, Inc.,
3.875%, 9/29/2023		      825,584  
  400,000      China Resources Gas Group Ltd.,
4.500%, 4/05/2022, 144A(c)		      418,520  
  905,000      Industrial & Commercial Bank of China Ltd.,
2.957%, 11/08/2022(c)		      912,665  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
  

China – continued

   
$ 985,000      Sinopec Group Overseas Development 2017 Ltd.,
2.375%, 4/12/2020, 144A(c)		    $ 984,537  
  500,000      Tencent Holdings Ltd.,
2.985%, 1/19/2023, 144A(c)		      504,005  
  1,175,000      Tencent Holdings Ltd.,
3.280%, 4/11/2024, 144A		      1,199,569  
  1,820,000      Three Gorges Finance I Cayman Islands Ltd.,
3.150%, 6/02/2026(c)		      1,831,157  
  1,270,000      Weibo Corp.,
3.500%, 7/05/2024		      1,275,269  
     

 

 

  
        8,885,973  
     

 

 

  
  

Colombia – 0.3%

   
  1,265,000,000      Emgesa S.A. E.S.P.,
8.750%, 1/25/2021, 144A, (COP)		      410,353  
  2,140,000,000      Empresas Publicas de Medellin E.S.P.,
8.375%, 2/01/2021, 144A, (COP)(c)		      686,769  
  1,140,000      Millicom International Cellular S.A.,
6.250%, 3/25/2029, 144A		      1,222,650  
  575,000      Republic of Colombia,
3.875%, 4/25/2027		      599,725  
  200,000,000      Republic of Colombia,
7.750%, 4/14/2021, (COP)		      65,057  
  7,073,300,000      Republic of Colombia, Series B,
6.250%, 11/26/2025, (COP)		      2,281,474  
  6,150,000,000      Titulos De Tesoreria, Series B,
7.500%, 8/26/2026, (COP)(c)		      2,119,690  
  870,000      Transportadora de Gas Internacional S.A. E.S.P.,
5.550%, 11/01/2028, 144A		      977,445  
     

 

 

  
        8,363,163  
     

 

 

  
  

Denmark – 0.0%

   
  670,000      Danske Bank AS,
3.875%, 9/12/2023, 144A		      682,864  
     

 

 

  
  

Dominican Republic – 0.1%

   
  1,410,000      Dominican Republic,
5.500%, 1/27/2025, 144A		      1,498,139  
  590,000      Dominican Republic,
5.950%, 1/25/2027, 144A		      636,397  
  995,000      Dominican Republic,
6.000%, 7/19/2028, 144A		      1,075,058  
  425,000      Dominican Republic,
8.625%, 4/20/2027, 144A		      507,348  
     

 

 

  
        3,716,942  
     

 

 

  
  

France – 1.2%

   
  970,000      Air Liquide Finance S.A.,
1.375%, 9/27/2019, 144A(c)		      967,400  
  200,000      AXA S.A.,
7.125%, 12/15/2020, (GBP)		      274,730  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
  

France – continued

   
$ 205,000      BNP Paribas S.A.,
4.375%, 5/12/2026, 144A		    $ 214,951  
  1,415,000      Caisse d’Amortissement de la Dette Sociale,
1.875%, 2/12/2022(c)		      1,414,125  
  250,000      Credit Agricole S.A.,
3.250%, 10/04/2024, 144A		      254,984  
  735,000      Danone S.A.,
1.691%, 10/30/2019, 144A(c)		      733,052  
  500,000      Dexia Credit Local S.A.,
2.250%, 2/18/2020, 144A(c)		      499,841  
  1,300,000      Edenred,
1.875%, 3/06/2026, (EUR)		      1,593,340  
  465,000      French Republic Government Bond OAT,
4.250%, 10/25/2023, (EUR)		      641,122  
  18,475,000      French Republic Government Bond OAT,
4.250%, 10/25/2023, (EUR)(c)		      25,472,530  
  500,000      Holding d’Infrastructures de Transport, EMTN,
0.625%, 3/27/2023, (EUR)		      573,269  
  500,000      Holding d’Infrastructures de Transport, EMTN,
1.625%, 11/27/2027, (EUR)		      587,889  
  1,015,000      Societe Generale S.A.,
4.750%, 11/24/2025, 144A(c)		      1,070,475  
     

 

 

  
        34,297,708  
     

 

 

  
  

Germany – 0.3%

   
  1,165,000      BMW U.S. Capital LLC,
3.150%, 4/18/2024, 144A		      1,195,867  
  675,000      Daimler Finance North America LLC,
1.750%, 10/30/2019, 144A(c)		      673,034  
  380,000      Deutsche Telekom International Finance BV,
2.820%, 1/19/2022, 144A		      383,442  
  1,825,000      Deutsche Telekom International Finance BV,
4.375%, 6/21/2028, 144A		      1,988,639  
  1,850,000      RWE AG, (fixed rate to 10/21/2020, variable rate thereafter),
2.750%, 4/21/2075, (EUR)		      2,146,953  
  1,450,000      Siemens Financieringsmaatschappij NV,
2.350%, 10/15/2026, 144A		      1,416,038  
     

 

 

  
        7,803,973  
     

 

 

  
  

Greece – 0.1%

   
  430,000      Hellenic Republic Government Bond,
3.450%, 4/02/2024, 144A, (EUR)		      537,062  
  1,855,000      Hellenic Republic Government Bond,
3.750%, 1/30/2028, (EUR)		      2,341,574  
     

 

 

  
        2,878,636  
     

 

 

  
  

Hong Kong – 0.1%

   
  355,000      AIA Group Ltd.,
3.200%, 3/11/2025, 144A(c)		      362,544  
  1,135,000      AIA Group Ltd.,
3.900%, 4/06/2028, 144A		      1,204,911  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
  

Hong Kong – continued

   
$ 1,350,000      CK Hutchison International 19 Ltd.,
3.625%, 4/11/2029, 144A		    $ 1,405,716  
     

 

 

  
        2,973,171  
     

 

 

  
  

India – 0.1%

   
  650,000      Greenko Dutch BV,
5.250%, 7/24/2024, 144A		      640,250  
  1,630,000      ICICI Bank Ltd.,
3.800%, 12/14/2027		      1,631,127  
     

 

 

  
        2,271,377  
     

 

 

  
  

Indonesia – 0.1%

   
  300,000      Indonesia Government International Bond,
4.125%, 1/15/2025, 144A		      315,160  
  735,000      Indonesia Government International Bond,
4.750%, 1/08/2026		      799,671  
  1,475,000      Perusahaan Listrik Negara PT, MTN,
4.125%, 5/15/2027		      1,505,146  
  545,000      Republic of Indonesia,
2.875%, 7/08/2021, 144A, (EUR)		      653,804  
  525,000      Republic of Indonesia,
4.750%, 1/08/2026, 144A		      571,168  
     

 

 

  
        3,844,949  
     

 

 

  
  

Ireland – 0.1%

   
  475,000      AerCap Ireland Capital DAC/AerCap Global Aviation Trust,
4.500%, 5/15/2021		      489,822  
  1,250,000      Bank of Ireland Group PLC,
4.500%, 11/25/2023, 144A		      1,300,747  
  375,000      Ireland Government Bond,
3.400%, 3/18/2024, (EUR)		      503,385  
     

 

 

  
        2,293,954  
     

 

 

  
  

Italy – 0.6%

   
  2,180,000      Enel Finance International NV,
4.625%, 9/14/2025, 144A		      2,340,164  
  1,075,000      Intesa Sanpaolo SpA,
5.710%, 1/15/2026, 144A		      1,087,945  
  530,000      Intesa Sanpaolo SpA, EMTN,
3.928%, 9/15/2026, (EUR)		      643,265  
  3,305,000      Italy Buoni Poliennali Del Tesoro,
2.000%, 2/01/2028, (EUR)		      3,822,380  
  4,255,000      Italy Buoni Poliennali Del Tesoro,
5.000%, 3/01/2022, (EUR)		      5,391,299  
  3,335,000      Republic of Italy,
2.500%, 11/15/2025, (EUR)		      4,004,647  
  430,000      UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter),
5.861%, 6/19/2032, 144A		      413,449  
     

 

 

  
        17,703,149  
     

 

 

  

Principal
Amount (‡)		    

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
 

Japan – 0.7%

 

  989,731,400 (†††)    Japan Government CPI Linked Bond, Series 23,
0.100%, 3/10/2028, (JPY)(c)		    $ 9,582,924  
  1,155,150,000     Japan Government Thirty Year Bond,
0.500%, 3/20/2049, (JPY)		      11,084,147  
    

 

 

  
       20,667,071  
    

 

 

  
 

Korea – 0.3%

 

  765,000     Export-Import Bank of Korea,
3.000%, 11/01/2022(c)		      780,973  
  1,100,000     Hyundai Capital Services, Inc.,
3.750%, 3/05/2023, 144A		      1,131,915  
  1,575,000     Kia Motors Corp.,
3.000%, 4/25/2023, 144A		      1,574,103  
  630,000     Korea Development Bank (The), MTN,
4.500%, 11/22/2019, (AUD)(c)		      446,881  
  910,000     Korea Gas Corp.,
2.750%, 7/20/2022, 144A(c)		      918,590  
  670,000     KT Corp.,
2.500%, 7/18/2026, 144A(c)		      649,172  
  1,180,000     LG Chem Ltd.,
3.250%, 10/15/2024, 144A		      1,209,418  
  1,440,000,000     Republic of Korea, Series 2209,
2.000%, 9/10/2022, (KRW)(c)		      1,264,782  
  770,000     Shinhan Bank Co. Ltd.,
3.875%, 3/24/2026, 144A(c)		      791,846  
  140,000     SK Telecom Co. Ltd.,
6.625%, 7/20/2027, 144A(c)		      175,570  
  200,000     Woori Bank,
5.875%, 4/13/2021, 144A(c)		      211,042  
    

 

 

  
       9,154,292  
    

 

 

  
 

Mexico – 0.5%

 

  620,000     Alfa SAB de CV,
6.875%, 3/25/2044		      688,981  
  770,000     America Movil SAB de CV,
2.125%, 3/10/2028, (EUR)(c)		      967,966  
  10,000,000     America Movil SAB de CV,
6.450%, 12/05/2022, (MXN)(c)		      487,919  
  675,000     Banco Nacional de Comercio Exterior SNC, (fixed rate to 8/11/2021, variable rate thereafter),
3.800%, 8/11/2026, 144A		      680,238  
  1,150,000     CEMEX Finance LLC,
6.000%, 4/01/2024, 144A		      1,184,500  
  1,055,000     Cemex SAB de CV,
2.750%, 12/05/2024, 144A, (EUR)		      1,224,665  
  800,000     Gruma SAB de CV,
4.875%, 12/01/2024(c)		      847,208  
  10,000,000     Grupo Televisa SAB, EMTN,
7.250%, 5/14/2043, (MXN)(c)		      369,704  
  142,000 (††††)    Mexican Fixed Rate Bonds, Series M,
5.750%, 3/05/2026, (MXN)		      672,626  

Principal
Amount (‡)		    

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
 

Mexico – continued

   
  190,229 (††††)    Mexican Fixed Rate Bonds, Series M,
6.500%, 6/10/2021, (MXN)(c)		    $ 972,258  
  3,600,000     Mexico Government International Bond,
4.000%, 10/02/2023		      3,754,800  
  196,000     Mexico Government International Bond,
4.000%, 3/15/2115, (EUR)(c)		      225,981  
  100,000     Sigma Alimentos S.A. de CV,
2.625%, 2/07/2024, 144A, (EUR)		      120,273  
  835,000     Sigma Alimentos S.A. de CV,
4.125%, 5/02/2026		      841,062  
  1,010,000     Unifin Financiera SAB de CV SOFOM ENR,
7.250%, 9/27/2023		      1,042,320  
    

 

 

  
       14,080,501  
    

 

 

  
 

Netherlands – 0.1%

   
  870,000     Cooperatieve Rabobank UA,
4.375%, 8/04/2025(c)		      926,080  
  675,000     ING Bank NV,
1.650%, 8/15/2019, 144A(c)		      674,305  
    

 

 

  
       1,600,385  
    

 

 

  
 

Norway – 0.2%

   
  17,000,000     City of Oslo, Norway,
3.550%, 2/12/2021, (NOK)(c)		      2,048,681  
  550,000     Kommunalbanken AS,
1.750%, 9/15/2020, 144A(c)		      548,526  
  16,500,000     Norway Government Bond,
1.500%, 2/19/2026, 144A, (NOK)(c)		      1,954,684  
  3,815,000     Norway Government Bond, Series 475,
2.000%, 5/24/2023, 144A, (NOK)(c)		      460,005  
    

 

 

  
       5,011,896  
    

 

 

  
 

Panama – 0.0%

   
  680,000     Banco Latinoamericano de Comercio Exterior S.A.,
3.250%, 5/07/2020, 144A(c)		      682,985  
    

 

 

  
 

Paraguay – 0.0%

   
  800,000     Republic of Paraguay,
5.000%, 4/15/2026, 144A		      874,008  
    

 

 

  
 

Peru – 0.1%

   
  580,000     Southern Copper Corp.,
3.875%, 4/23/2025(c)		      602,448  
  1,050,000     Transportadora de Gas del Peru S.A.,
4.250%, 4/30/2028, 144A(c)		      1,096,410  
  350,000     Union Andina de Cementos SAA,
5.875%, 10/30/2021, 144A		      360,066  
    

 

 

  
       2,058,924  
    

 

 

  
 

Singapore – 0.2%

   
  785,000     BOC Aviation Ltd.,
2.750%, 9/18/2022, 144A		      783,405  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
  

Singapore – continued

   
$ 495,000      BOC Aviation Ltd.,
3.000%, 3/30/2020(c)		    $ 496,150  
  345,000      DBS Group Holdings Ltd., (fixed rate to 12/11/2023, variable rate thereafter),
4.520%, 12/11/2028, 144A		      365,466  
  3,215,000      United Overseas Bank Ltd.,
3.200%, 4/23/2021, 144A(c)		      3,267,533  
     

 

 

  
        4,912,554  
     

 

 

  
  

South Africa – 0.1%

   
  930,000      MTN (Mauritius) Investments Ltd.,
4.755%, 11/11/2024, 144A		      932,223  
  500,000      Prosus NV,
6.000%, 7/18/2020, 144A		      514,549  
  39,185,000      South Africa Government International Bond, Series R213,
7.000%, 2/28/2031, (ZAR)(c)		      2,381,424  
     

 

 

  
        3,828,196  
     

 

 

  
  

Spain – 0.3%

   
  400,000      Banco Santander S.A.,
3.125%, 2/23/2023		      405,750  
  100,000      Iberdrola International BV, EMTN,
0.375%, 9/15/2025, (EUR)		      114,966  
  700,000      Naturgy Finance BV, EMTN,
1.500%, 1/29/2028, (EUR)		      846,355  
  725,000      Spain Government International Bond,
0.750%, 7/30/2021, (EUR)(c)		      844,513  
  430,000      Spain Government International Bond,
1.600%, 4/30/2025, 144A, (EUR)(c)		      536,180  
  760,000      Spain Government International Bond,
4.300%, 10/31/2019, 144A, (EUR)(c)		      877,660  
  2,565,000      Spain Government International Bond,
4.400%, 10/31/2023, 144A, (EUR)(c)		      3,503,786  
  1,300,000      Telefonica Emisiones SAU Co., EMTN,
1.495%, 9/11/2025, (EUR)		      1,572,708  
     

 

 

  
        8,701,918  
     

 

 

  
  

Supranationals – 0.2%

   
  1,115,000      Corporacion Andina de Fomento,
4.375%, 6/15/2022(c)		      1,173,225  
  3,515,000      International Bank for Reconstruction & Development,
2.200%, 1/18/2022, (CAD)(c)		      2,722,619  
  1,140,000      International Bank for Reconstruction & Development,
2.500%, 3/12/2020, (AUD)(c)		      807,124  
     

 

 

  
        4,702,968  
     

 

 

  
  

Sweden – 0.0%

   
  2,450,000      Sweden Government Bond,
5.000%, 12/01/2020, (SEK)(c)		      284,951  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Non-Convertible Bonds – continued

  
  

Switzerland – 0.1%

 

  300,000      Argentum Netherlands BV for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/01/2026, variable rate thereafter),
3.500%, 10/01/2046, (EUR)		    $ 392,289  
  1,075,000      Glencore Finance Canada Ltd.,
5.550%, 10/25/2042, 144A(c)		      1,111,142  
  900,000      Syngenta Finance NV, EMTN,
1.250%, 9/10/2027, (EUR)		      970,053  
     

 

 

  
        2,473,484  
     

 

 

  
  

Thailand – 0.2%

 

  1,570,000      Kasikornbank PCL, EMTN,
3.256%, 7/12/2023		      1,595,636  
  85,000,000      Thailand Government Bond,
2.125%, 12/17/2026, (THB)		      2,794,228  
  950,000      Thaioil Treasury Center Co. Ltd.,
3.625%, 1/23/2023, 144A		      972,686  
     

 

 

  
        5,362,550  
     

 

 

  
  

Trinidad – 0.0%

 

  415,000      Trinidad Generation UnLtd.,
5.250%, 11/04/2027, 144A		      419,980  
     

 

 

  
  

Turkey – 0.1%

   
  525,000      Turk Telekomunikasyon AS,
6.875%, 2/28/2025, 144A		      528,047  
  1,400,000      Turkcell Iletisim Hizmetleri AS,
5.800%, 4/11/2028		      1,295,000  
     

 

 

  
        1,823,047  
     

 

 

  
  

United Arab Emirates – 0.1%

 

  1,610,000      Abu Dhabi Crude Oil Pipeline LLC,
3.650%, 11/02/2029(c)		      1,691,981  
  1,275,000      DP World Crescent Ltd.,
4.848%, 9/26/2028, 144A		      1,358,347  
  850,000      DP World PLC,
3.250%, 5/18/2020, 144A(c)		      851,416  
  200,000      DP World PLC, MTN,
3.250%, 5/18/2020		      200,333  
     

 

 

  
        4,102,077  
     

 

 

  
  

United Kingdom – 0.3%

 

  95,000      Avon Products, Inc.,
8.950%, 3/15/2043		      100,106  
  300,000      HSBC Holdings PLC,
4.375%, 11/23/2026(c)		      316,815  
  565,000      HSBC Holdings PLC, (fixed rate to 6/01/2021, variable rate thereafter),
6.875%(d)		      596,075  
  295,000      HSBC Holdings PLC, EMTN,
5.750%, 12/20/2027, (GBP)(c)		      452,327  
  635,000      Lloyds Banking Group PLC,
4.050%, 8/16/2023		      662,844  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
  

United Kingdom – continued

   
$ 400,000      Lloyds Banking Group PLC,
4.500%, 11/04/2024(c)		    $ 418,447  
  235,000      Network Rail Infrastructure Finance PLC, EMTN,
4.750%, 1/22/2024, (GBP)		      348,987  
  1,130,000      Royal Bank of Scotland Group PLC,
6.000%, 12/19/2023(c)		      1,230,626  
  350,000      Santander UK Group Holdings PLC,
4.750%, 9/15/2025, 144A(c)		      362,896  
  250,000      Standard Chartered PLC, EMTN,
3.125%, 11/19/2024, (EUR)		      314,874  
  1,035,000      United Kingdom Gilt,
2.750%, 9/07/2024, (GBP)(c)		      1,455,899  
  530,000      United Kingdom Gilt,
4.000%, 3/07/2022, (GBP)		      734,595  
  130,000      Virgin Media Finance PLC,
4.500%, 1/15/2025, 144A, (EUR)		      153,366  
  115,000      Virgin Media Secured Finance PLC,
4.875%, 1/15/2027, (GBP)		      150,060  
  1,660,000      Vodafone Group PLC,
4.375%, 5/30/2028		      1,794,441  
     

 

 

  
        9,092,358  
     

 

 

  
  

United States – 12.9%

   
  9,890,000      AbbVie, Inc.,
2.500%, 5/14/2020		      9,889,058  
  1,745,000      AES Corp. (The),
4.875%, 5/15/2023		      1,775,607  
  480,000      Allison Transmission, Inc.,
4.750%, 10/01/2027, 144A		      476,400  
  8,000,000      Ally Financial, Inc.,
4.125%, 2/13/2022		      8,200,000  
  745,000      Ally Financial, Inc.,
5.125%, 9/30/2024		      804,600  
  1,728,000      Ally Financial, Inc.,
8.000%, 11/01/2031		      2,283,915  
  1,965,000      American Airlines Group, Inc.,
5.000%, 6/01/2022, 144A		      2,024,539  
  1,517,993      American Airlines Pass Through Certificates, Series 2016-3, Class B,
3.750%, 4/15/2027		      1,528,519  
  566,303      American Airlines Pass Through Certificates, Series 2017-2, Class B,
3.700%, 4/15/2027		      564,081  
  120,325      American Airlines Pass Through Certificates, Series 2013-1, Class A,
4.000%, 1/15/2027		      125,005  
  2,016,995      American Airlines Pass Through Certificates, Series 2016-1, Class B,
5.250%, 7/15/2025		      2,126,315  
  461,899      American Airlines Pass Through Certificates, Series 2017-1B, Class B,
4.950%, 8/15/2026		      482,070  
  300,000      Anadarko Petroleum Corp.,
4.500%, 7/15/2044		      307,266  
  400,000      Antero Resources Corp.,
5.125%, 12/01/2022		      384,000  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
  

United States – continued

   
$ 175,000      Antero Resources Corp.,
5.375%, 11/01/2021		    $ 172,813  
  3,060,000      Antero Resources Corp.,
5.625%, 6/01/2023		      2,953,512  
  260,000      Aptiv PLC,
1.600%, 9/15/2028, (EUR)		      307,466  
  1,510,000      AT&T, Inc.,
3.400%, 5/15/2025		      1,552,288  
  3,960,000      AT&T, Inc.,
4.300%, 2/15/2030		      4,238,452  
  570,000      AT&T, Inc.,
4.500%, 3/09/2048		      582,776  
  625,000      AT&T, Inc.,
4.550%, 3/09/2049		      637,938  
  925,000      Aviation Capital Group LLC,
6.750%, 4/06/2021, 144A		      987,931  
  2,700,000      Bank of America Corp.,
6.110%, 1/29/2037		      3,443,458  
  115,000      Bank of America Corp., MTN,
4.250%, 10/22/2026		      122,860  
  3,000      Beazer Homes USA, Inc.,
7.250%, 2/01/2023		      2,925  
  585,000      BP Capital Markets America, Inc.,
3.216%, 11/28/2023		      603,437  
  270,000      Brighthouse Financial, Inc.,
4.700%, 6/22/2047		      225,595  
  1,170,000      Broadcom, Inc.,
4.250%, 4/15/2026, 144A		      1,187,404  
  71,000      California Resources Corp.,
5.500%, 9/15/2021		      51,043  
  10,000      California Resources Corp.,
6.000%, 11/15/2024		      5,800  
  2,840,000      California Resources Corp.,
8.000%, 12/15/2022, 144A		      2,140,650  
  60,000      CenturyLink, Inc.,
5.625%, 4/01/2025		      61,200  
  30,000      CenturyLink, Inc., Series G,
6.875%, 1/15/2028		      30,000  
  880,000      CenturyLink, Inc., Series S,
6.450%, 6/15/2021		      930,600  
  3,210,000      Chesapeake Energy Corp.,
4.875%, 4/15/2022		      3,033,450  
  315,000      Chesapeake Energy Corp.,
5.750%, 3/15/2023		      295,312  
  4,700,000      Chesapeake Energy Corp.,
8.000%, 6/15/2027		      4,141,875  
  780,000      Chevron Corp.,
2.419%, 11/17/2020(c)		      783,572  
  1,635,000      Cimarex Energy Co.,
4.375%, 6/01/2024		      1,731,692  
  165,000      Cincinnati Bell, Inc.,
7.000%, 7/15/2024, 144A		      145,613  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
  

United States – continued

   
$ 325,000      Cincinnati Bell, Inc.,
8.000%, 10/15/2025, 144A		    $ 276,250  
  500,000      Citizens Financial Group, Inc.,
4.300%, 12/03/2025		      529,020  
  265,000      Constellation Brands, Inc.,
4.750%, 11/15/2024		      291,660  
  485,000      Continental Resources, Inc.,
3.800%, 6/01/2024		      498,672  
  640,000      Continental Resources, Inc.,
4.500%, 4/15/2023		      672,436  
  92,000      Continental Resources, Inc.,
5.000%, 9/15/2022		      92,755  
  375,000      Cox Communications, Inc.,
4.800%, 2/01/2035, 144A		      379,951  
  595,000      CSC Holdings LLC,
5.375%, 2/01/2028, 144A		      618,056  
  155,000      Cummins, Inc.,
5.650%, 3/01/2098		      186,973  
  475,000      Dell International LLC/EMC Corp.,
6.020%, 6/15/2026, 144A		      524,011  
  103,596      Delta Air Lines Pass Through Trust, Series 2007-1, Class B,
8.021%, 2/10/2024		      114,288  
  1,200,000      Devon Energy Corp.,
3.250%, 5/15/2022		      1,222,668  
  50,000      Dillard’s, Inc.,
7.000%, 12/01/2028		      53,650  
  8,000      Dillard’s, Inc.,
7.750%, 7/15/2026		      8,834  
  1,680,000      DISH DBS Corp.,
5.000%, 3/15/2023		      1,623,300  
  1,495,000      DISH DBS Corp.,
5.875%, 11/15/2024		      1,414,644  
  310,000      DR Horton, Inc.,
4.375%, 9/15/2022		      322,842  
  340,000      Enable Midstream Partners LP,
5.000%, 5/15/2044		      317,233  
  235,000      Enbridge Energy Partners LP,
7.375%, 10/15/2045		      345,235  
  1,075,000      Energy Transfer Partners LP/Regency Energy Finance Corp.,
5.000%, 10/01/2022		      1,142,748  
  600,000      EnLink Midstream Partners LP,
4.150%, 6/01/2025		      588,000  
  1,310,000      Federal National Mortgage Association, Series 2017-M14, Class A2,
2.972%, 11/25/2027(c)(e)		      1,349,077  
  410,000      FedEx Corp.,
1.000%, 1/11/2023, (EUR)		      477,512  
  650,000      FedEx Corp.,
3.400%, 1/14/2022		      666,396  
  40,000      Ford Motor Co.,
4.346%, 12/08/2026		      40,334  
  685,000      Ford Motor Co.,
5.291%, 12/08/2046		      637,161  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
  

United States – continued

   
$ 25,000      Ford Motor Co.,
6.375%, 2/01/2029		    $ 27,083  
  50,000      Ford Motor Co.,
6.625%, 2/15/2028		      56,026  
  2,105,000      Ford Motor Co.,
6.625%, 10/01/2028		      2,378,319  
  5,000      Ford Motor Co.,
7.500%, 8/01/2026		      5,841  
  5,000,000      Ford Motor Credit Co. LLC,
2.459%, 3/27/2020		      4,985,245  
  131,000      Gates Global LLC/Gates Global Co.,
6.000%, 7/15/2022, 144A		      131,082  
  295,000      General Electric Co.,
4.500%, 3/11/2044		      286,216  
  50,000      General Electric Co., GMTN,
3.100%, 1/09/2023		      50,442  
  310,000      General Motors Co.,
5.200%, 4/01/2045		      296,029  
  240,000      General Motors Financial Co., Inc.,
3.450%, 4/10/2022		      243,401  
  925,000      General Motors Financial Co., Inc.,
5.250%, 3/01/2026		      992,221  
  100,000      General Motors Financial Co., Inc., EMTN,
0.955%, 9/07/2023, (EUR)		      114,522  
  3,435,000      Georgia-Pacific LLC,
7.250%, 6/01/2028		      4,511,206  
  105,000      Georgia-Pacific LLC,
7.375%, 12/01/2025		      133,026  
  180,000      Georgia-Pacific LLC,
7.750%, 11/15/2029		      254,898  
  315,000      Georgia-Pacific LLC,
8.875%, 5/15/2031		      487,989  
  905,000      Global Atlantic Fin Co.,
8.625%, 4/15/2021, 144A		      985,438  
  2,295,000      Goldman Sachs Group, Inc. (The),
6.750%, 10/01/2037		      3,001,745  
  1,935,000      Goodyear Tire & Rubber Co. (The),
4.875%, 3/15/2027		      1,838,250  
  165,000      Goodyear Tire & Rubber Co. (The),
7.000%, 3/15/2028		      176,550  
  1,000,000      HCA Healthcare, Inc.,
6.250%, 2/15/2021		      1,047,500  
  20,000      HCA, Inc.,
4.750%, 5/01/2023		      21,408  
  6,670,000      HCA, Inc.,
5.375%, 9/01/2026		      7,186,925  
  225,000      HCA, Inc.,
7.050%, 12/01/2027		      254,250  
  820,000      HCA, Inc.,
7.500%, 11/06/2033		      943,000  
  395,000      HCA, Inc.,
8.360%, 4/15/2024		      456,225  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
  

United States – continued

   
$ 195,000      HCA, Inc., MTN,
7.580%, 9/15/2025		    $ 224,250  
  75,000      HCA, Inc., MTN,
7.750%, 7/15/2036		      85,500  
  855,000      Hecla Mining Co.,
6.875%, 5/01/2021		      816,096  
  490,000      Hewlett Packard Enterprise Co.,
6.350%, 10/15/2045		      542,954  
  485,000      Huntington Ingalls Industries, Inc.,
5.000%, 11/15/2025, 144A		      501,975  
  1,585,000      Hyundai Capital America,
2.750%, 9/27/2026, 144A(c)		      1,496,922  
  450,000      International Lease Finance Corp.,
4.625%, 4/15/2021		      464,176  
  745,000      INVISTA Finance LLC,
4.250%, 10/15/2019, 144A		      749,251  
  48,000      J.C. Penney Corp., Inc.,
6.375%, 10/15/2036		      12,480  
  5,000      J.C. Penney Corp., Inc.,
7.625%, 3/01/2097		      1,200  
  1,070,000      Jefferies Group LLC,
6.250%, 1/15/2036		      1,153,162  
  7,760,000      JELD-WEN, Inc.,
4.625%, 12/15/2025, 144A		      7,614,500  
  15,000      K. Hovnanian Enterprises, Inc.,
5.000%, 11/01/2021		      13,611  
  1,665,000      KB Home,
8.000%, 3/15/2020		      1,719,445  
  330,000      Level 3 Financing, Inc.,
5.125%, 5/01/2023		      332,755  
  760,000      Level 3 Financing, Inc.,
5.375%, 5/01/2025		      784,700  
  140,000      Level 3 Parent LLC,
5.750%, 12/01/2022		      141,225  
  44,000      Masco Corp.,
6.500%, 8/15/2032		      51,923  
  403,000      Masco Corp.,
7.750%, 8/01/2029		      506,212  
  615,000      Medtronic Global Holdings SCA,
1.125%, 3/07/2027, (EUR)		      729,646  
  3,795,000      Michaels Stores, Inc.,
8.000%, 7/15/2027, 144A		      3,777,505  
  254,000      Micron Technology, Inc.,
5.500%, 2/01/2025		      261,302  
  1,430,000      Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc.,
7.875%, 10/01/2022, 144A		      1,362,075  
  450,000      Morgan Stanley,
3.950%, 4/23/2027		      470,688  
  725,000      Morgan Stanley,
5.750%, 1/25/2021		      761,488  
  3,150,000      Morgan Stanley, MTN,
4.100%, 5/22/2023		      3,315,892  

Principal
Amount (‡)		    

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
 

United States – continued

   
$ 600,000     Morgan Stanley, MTN,
6.250%, 8/09/2026		    $ 719,983  
  25,000     MPLX LP,
4.500%, 7/15/2023		      26,518  
  95,000     MPLX LP,
4.875%, 6/01/2025		      103,248  
  3,890,000     Nationstar Mortgage Holdings, Inc.,
9.125%, 7/15/2026, 144A		      3,948,350  
  3,000,000     Navient Corp.,
5.000%, 10/26/2020		      3,060,000  
  915,000     Navient Corp.,
5.500%, 1/25/2023		      940,162  
  95,000     Navient Corp.,
5.875%, 10/25/2024		      96,069  
  1,600 (†††††)    Navient Corp.,
6.000%, 12/15/2043		      32,796  
  935,000     Navient Corp.,
6.750%, 6/15/2026		      970,062  
  750,000     Navient Corp., MTN,
6.125%, 3/25/2024		      768,750  
  415,000     Navient Corp., MTN,
7.250%, 1/25/2022		      447,681  
  3,418,000     Navient Corp., Series A, MTN,
5.625%, 8/01/2033		      2,845,485  
  365,000     Newell Brands, Inc.,
4.000%, 12/01/2024		      371,578  
  65,000     Newfield Exploration Co.,
5.625%, 7/01/2024		      71,871  
  900,000     NGL Energy Partners LP/NGL Energy Finance Corp.,
6.125%, 3/01/2025		      891,000  
  405,000     NGL Energy Partners LP/NGL Energy Finance Corp.,
7.500%, 11/01/2023		      423,225  
  20,000     NGPL PipeCo LLC,
7.768%, 12/15/2037, 144A		      25,400  
  1,765,000     Nissan Motor Acceptance Corp.,
3.650%, 9/21/2021, 144A		      1,806,972  
  120,000     Oasis Petroleum, Inc.,
6.875%, 1/15/2023		      120,000  
  2,275,000     Oceaneering International, Inc.,
4.650%, 11/15/2024		      2,242,740  
  420,000     Old Republic International Corp.,
4.875%, 10/01/2024		      455,188  
  3,693,000     ONEOK Partners LP,
4.900%, 3/15/2025		      4,014,617  
  25,000     ONEOK Partners LP,
6.200%, 9/15/2043		      29,577  
  55,000     Outfront Media Capital LLC/Outfront Media Capital Corp.,
5.250%, 2/15/2022		      55,737  
  140,000     Outfront Media Capital LLC/Outfront Media Capital Corp.,
5.875%, 3/15/2025		      144,725  
  1,200,000     Owens Corning,
4.400%, 1/30/2048		      1,017,994  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
  

United States – continued

   
$ 310,000      Owens Corning,
7.000%, 12/01/2036		    $ 367,828  
  2,965,000      Owens-Brockway Glass Container, Inc.,
5.375%, 1/15/2025, 144A		      3,091,012  
  585,000      Prologis LP,
2.250%, 6/30/2029, (GBP)		      750,624  
  540,000      PulteGroup, Inc.,
6.000%, 2/15/2035		      553,500  
  785,000      PulteGroup, Inc.,
6.375%, 5/15/2033		      837,006  
  220,000      PulteGroup, Inc.,
7.875%, 6/15/2032		      261,800  
  285,000      QEP Resources, Inc.,
5.250%, 5/01/2023		      274,312  
  210,000      QEP Resources, Inc.,
5.375%, 10/01/2022		      204,225  
  295,000      Quicken Loans, Inc.,
5.250%, 1/15/2028, 144A		      293,525  
  120,000      Quicken Loans, Inc.,
5.750%, 5/01/2025, 144A		      123,750  
  95,000      Qwest Corp.,
7.250%, 9/15/2025		      105,771  
  540,000      Radian Group, Inc.,
4.500%, 10/01/2024		      553,117  
  230,000      Range Resources Corp.,
4.875%, 5/15/2025		      201,825  
  850,000      Range Resources Corp.,
5.000%, 8/15/2022		      806,437  
  220,000      Range Resources Corp.,
5.000%, 3/15/2023		      207,350  
  970,000      Santander Holdings USA, Inc.,
2.650%, 4/17/2020(c)		      969,731  
  25,000      Sealed Air Corp.,
4.875%, 12/01/2022, 144A		      26,219  
  640,000      Sealed Air Corp.,
5.500%, 9/15/2025, 144A		      681,600  
  420,000      ServiceMaster Co. LLC (The),
7.450%, 8/15/2027		      449,925  
  140,000      Silgan Holdings, Inc.,
3.250%, 3/15/2025, (EUR)		      164,500  
  155,000      SM Energy Co.,
6.750%, 9/15/2026		      145,313  
  1,170,000      Springleaf Finance Corp.,
5.625%, 3/15/2023		      1,243,125  
  860,000      Springleaf Finance Corp.,
6.875%, 3/15/2025		      941,683  
  2,310,000      Springleaf Finance Corp.,
7.125%, 3/15/2026		      2,530,894  
  330,000      Springleaf Finance Corp.,
7.750%, 10/01/2021		      360,937  
  130,000      Springleaf Finance Corp.,
8.250%, 10/01/2023		      150,670  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
  

United States – continued

   
$ 2,349,000      Sprint Capital Corp.,
6.875%, 11/15/2028		    $ 2,414,302  
  2,240,000      Sprint Capital Corp.,
8.750%, 3/15/2032		      2,592,800  
  120,000      Sprint Corp.,
7.125%, 6/15/2024		      127,236  
  2,840,000      Sprint Corp.,
7.875%, 9/15/2023		      3,084,950  
  1,365,000      Targa Resources Partners LP/Targa Resources Partners Finance Corp.,
6.750%, 3/15/2024		      1,419,600  
  950,000      Tenet Healthcare Corp.,
5.125%, 5/01/2025		      954,750  
  100,000      Tenet Healthcare Corp.,
6.750%, 6/15/2023		      100,375  
  1,695,000      Tenet Healthcare Corp.,
6.875%, 11/15/2031		      1,495,837  
  820,000      Textron, Inc.,
5.950%, 9/21/2021		      871,394  
  90,000      Time Warner Cable LLC,
4.500%, 9/15/2042		      84,097  
  85,000      Time Warner Cable LLC,
5.500%, 9/01/2041		      89,116  
  1,635,000      Toyota Motor Credit Corp., MTN,
2.650%, 4/12/2022		      1,660,646  
  1,680,000      Transcontinental Gas Pipe Line Co. LLC,
7.850%, 2/01/2026		      2,145,028  
  171,000      TransDigm, Inc.,
6.500%, 7/15/2024		      172,924  
  185,000      TransDigm, Inc.,
6.500%, 5/15/2025		      187,127  
  6,665,000      TRI Pointe Group, Inc.,
4.875%, 7/01/2021		      6,798,300  
  5,000      TRI Pointe Group, Inc./TRI Pointe Homes, Inc.,
5.875%, 6/15/2024		      5,161  
  4,380,000      U.S. Treasury Bond,
3.000%, 8/15/2048		      4,803,628  
  13,005,339      U.S. Treasury Inflation Indexed Note,
0.625%, 4/15/2023(c)(f)		      13,158,502  
  9,562,435      U.S. Treasury Inflation Indexed Note,
0.125%, 4/15/2022(c)(f)		      9,487,436  
  4,123,603      U.S. Treasury Inflation Indexed Note,
0.375%, 7/15/2027(c)(f)		      4,161,619  
  32,430,000      U.S. Treasury Note,
1.375%, 5/31/2020		      32,242,514  
  12,755,000      U.S. Treasury Note,
1.750%, 11/30/2021(c)		      12,758,986  
  19,315,000      U.S. Treasury Note,
1.875%, 3/31/2022		      19,400,258  
  15,000,000      U.S. Treasury Note,
2.500%, 6/30/2020		      15,078,516  
  1,020,000      U.S. Treasury Note,
2.625%, 12/31/2023		      1,058,409  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

   
 

Non-Convertible Bonds – continued

   
  

United States – continued

   
$ 6,555,000      U.S. Treasury Note,
2.750%, 5/31/2023(c)		    $ 6,805,678  
  13,505,000      U.S. Treasury Note,
2.750%, 2/28/2025(c)		      14,188,163  
  21,220,000      U.S. Treasury Note,
2.875%, 10/15/2021		      21,759,618  
  9,515,000      U.S. Treasury Note,
2.875%, 5/15/2028(c)		      10,217,103  
  3,930,000      U.S. Treasury Note,
3.125%, 11/15/2028(c)		      4,310,565  
  444,479      United Airlines Pass Through Trust, Series 2016-2, Class B,
3.650%, 4/07/2027		      445,457  
  2,940,000      United Rentals North America, Inc.,
5.500%, 7/15/2025		      3,061,275  
  460,000      United Rentals North America, Inc.,
6.500%, 12/15/2026		      497,950  
  15,000      United States Steel Corp.,
6.250%, 3/15/2026		      13,350  
  1,850,000      United States Steel Corp.,
6.650%, 6/01/2037		      1,554,000  
  86,742      US Airways Pass Through Trust, Series 2012-1A, Class A,
5.900%, 4/01/2026		      95,599  
  48,270      US Airways Pass Through Trust, Series 2012-1B, Class B,
8.000%, 4/01/2021		      48,757  
  329,675      US Airways Pass Through Trust, Series 2012-2A, Class A,
4.625%, 12/03/2026		      356,158  
  25,000      Viacom, Inc.,
4.375%, 3/15/2043		      24,455  
  395,000      Viacom, Inc.,
5.250%, 4/01/2044		      430,730  
  145,000      Viacom, Inc.,
5.850%, 9/01/2043		      170,651  
  145,000      Vine Oil & Gas LP/Vine Oil & Gas Finance Corp.,
9.750%, 4/15/2023, 144A		      93,888  
  1,150,000      Walmart, Inc.,
3.700%, 6/26/2028		      1,254,951  
  60,000      Weyerhaeuser Co.,
6.950%, 10/01/2027		      75,201  
  315,000      Weyerhaeuser Co.,
7.375%, 3/15/2032		      440,413  
  525,000      Whiting Petroleum Corp.,
5.750%, 3/15/2021		      528,937  
  195,000      Whiting Petroleum Corp.,
6.250%, 4/01/2023		      194,587  
  3,052,000      Windstream Services LLC/Windstream Finance Corp.,
9.000%, 6/30/2025, 144A(g)		      2,113,510  
  65,000      Windstream Services LLC/Windstream Finance Corp.,
10.500%, 6/30/2024, 144A(g)		      47,125  
     

 

 

  
        381,498,552  
     

 

 

  
   Total Non-Convertible Bonds
(Identified Cost $660,038,212)		      680,802,139  
     

 

 

  

Principal
Amount (‡)		     

Description

    Value (†)  
 

Bonds and Notes – continued

  
 

Convertible Bonds – 0.4%

  
  

United States – 0.4%

 

$ 1,450,000      Booking Holdings, Inc.,
0.900%, 9/15/2021		    $ 1,658,652  
  105,000      CalAmp Corp.,
1.625%, 5/15/2020		      102,702  
  60,000      Chesapeake Energy Corp.,
5.500%, 9/15/2026		      47,891  
  545,000      DISH Network Corp.,
2.375%, 3/15/2024		      503,452  
  2,290,000      DISH Network Corp.,
3.375%, 8/15/2026		      2,226,302  
  290,000      Evolent Health, Inc.,
2.000%, 12/01/2021		      257,783  
  1,855,000      iStar, Inc.,
3.125%, 9/15/2022		      1,903,421  
  2,020,000      Nuance Communications, Inc.,
1.000%, 12/15/2035		      1,891,972  
  240,000      Nuance Communications, Inc.,
1.250%, 4/01/2025		      235,411  
  10,000      Nuance Communications, Inc.,
1.500%, 11/01/2035		      10,004  
  1,660,000      Rovi Corp.,
0.500%, 3/01/2020		      1,616,458  
  380,000      SM Energy Co.,
1.500%, 7/01/2021		      349,656  
  825,000      Western Digital Corp.,
1.500%, 2/01/2024, 144A		      740,875  
     

 

 

  
   Total Convertible Bonds
(Identified Cost $11,346,179)		      11,544,579  
     

 

 

  
 

Municipals – 0.0%

  
  

United States – 0.0%

 

  155,000      State of Illinois,
5.100%, 6/01/2033		      163,227  
  130,000      Tobacco Settlement Financing Corp., Series A-1,
6.706%, 6/01/2046		      122,634  
     

 

 

  
   Total Municipals
(Identified Cost $254,816)		      285,861  
     

 

 

  
   Total Bonds and Notes
(Identified Cost $671,639,207)		      692,632,579  
     

 

 

  
Shares              
 

Preferred Stocks – 0.1%

  
  

United States – 0.1%

 

  460     

Chesapeake Energy Corp.,

5.000%

      18,745  
  84     

Chesapeake Energy Corp., Series A,

5.750%, 144A

      39,736  
  40     

Chesapeake Energy Corp.,

5.750%

      18,922  

Shares     

Description

    Value (†)  
 

Preferred Stocks – continued

   
  

United States – continued

   
  736     

Chesapeake Energy Corp.,

5.750%

      352,004  
  38,952     

El Paso Energy Capital Trust I,

4.750%

      2,064,456  
     

 

 

  
   Total Preferred Stocks
(Identified Cost $2,285,617)		      2,493,863  
     

 

 

  
Principal
Amount (‡)		              
 

Short-Term Investments – 7.8%

   
$ 3,707,000      Ford Motor Credit Co. LLC,
4.331%, 12/02/2019(h)		    $ 3,657,013  
  63,708,509      Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2019 at 1.500% to be repurchased at $63,716,473 on 7/01/2019 collateralized by $62,665,000 U.S. Treasury Note, 2.500% due 5/15/2024 valued at $64,987,490 including accrued interest(i)      63,708,509  
  27,630,000      U.S. Treasury Bills,
2.050%-2.381%, 9/26/2019(h)(j)		      27,491,447  
  18,100,000      U.S. Treasury Bills,
2.070%-2.441%, 9/05/2019(h)(j)		      18,030,564  
  18,530,000      U.S. Treasury Bills,
2.023%-2.385%, 10/24/2019(h)(j)		      18,412,280  
  13,810,000      U.S. Treasury Bills,
2.035%-2.350%, 11/14/2019(h)(j)		      13,702,788  
  3,760,000      U.S. Treasury Bills,
2.222%, 9/12/2019(h)		      3,744,275  
  3,680,000      U.S. Treasury Bills,
2.306%, 8/22/2019(h)		      3,668,843  
  35,000,000      U.S. Treasury Bills,
2.318%, 11/29/2019(h)		      34,696,846  
  16,000,000      U.S. Treasury Bills,
2.360%-2.365%, 8/29/2019(h)(j)		      15,944,933  
  26,390,000      U.S. Treasury Bills,
2.372%-2.536%, 8/15/2019(h)(j)		      26,320,974  
     

 

 

  
   Total Short-Term Investments
(Identified Cost $229,257,476)		      229,378,472  
     

 

 

  
   Total Investments – 99.8%
(Identified Cost $2,365,682,051)		      2,941,847,915  
   Other assets less liabilities – 0.2%      5,387,694  
     

 

 

  
   Net Assets – 100.0%    $ 2,947,235,609  
     

 

 

  

(†)

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:

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.

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.

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

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities pursuant to the Fund’s pricing policies and procedures.

As of June 30, 2019, securities held by the Fund were fair valued as follows:

 

Equity

securities1

    Percentage of
Net Assets		  

$510,304,242

      17.3 % 

 

1

Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those securities. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

(‡)

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

(††)

Amount shown represents units. One unit represents a principal amount of 1,000.

(†††)

Amount shown represents principal amount including inflation adjustments.

(††††)

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

(†††††)

Amount shown represents units. One unit represents a principal amount of 25.

(a)

Non-income producing security.

(b)

Securities subject to restriction on resale. At June 30, 2019, the restricted securities held by the Fund are as follows:

 

     Acquisition Date      Acquisition Cost      Value      % of Net Assets  

Dex Media, Inc.

      8/12/2016      $ 1,194      $ 2,042        Less than 0.1 % 

 

(c)

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

(d)

Perpetual bond with no specified maturity date.

(e)

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, 2019 is disclosed.

(f)

Treasury Inflation Protected Security (TIPS).

(g)

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

(h)

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

(i)

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, 2019, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement.

(j)

The Fund’s 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.

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, 2019, the value of Rule 144A holdings amounted to $120,588,609 or 4.1% of net assets.

ADR

An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

CPI

Consumer Price Index

EMTN

Euro Medium Term Note

GMTN

Global Medium Term Note

MTN

Medium Term Note

ARS

Argentine Peso

AUD

Australian Dollar

BRL

Brazilian Real

CAD

Canadian Dollar

CLP

Chilean Peso

COP

Colombian Peso

EUR

Euro

GBP

British Pound

JPY

Japanese Yen

KRW

South Korean Won

MXN

Mexican Peso

NOK

Norwegian Krone

SEK

Swedish Krona

THB

Thai Baht

ZAR

South African Rand

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, 2019, the Fund had the following open forward foreign currency contracts:

 

Counterparty

    Delivery
Date		      Currency
Bought/
Sold (B/S)		      Units of
Currency		      In Exchange
for		      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

Bank of America, N.A.

      9/04/2019        BRL        S        18,445,000      $ 4,570,459      $ 4,775,326      $ (204,867 ) 

Citibank N.A.

      9/18/2019        ZAR        S        33,700,000        2,262,732        2,369,574        (106,842 ) 

Credit Suisse International

      9/18/2019        CAD        S        60,740,000        45,163,914        46,448,121        (1,284,207 ) 

Forward Foreign Currency Contracts – continued

 

Credit Suisse International

      9/18/2019        COP        S        10,293,255,000        3,147,785        3,188,247        (40,462 ) 

Credit Suisse International

      9/18/2019        GBP        B        12,290,000        15,724,994        15,661,812        (63,182 ) 

Credit Suisse International

      9/18/2019        JPY        B        7,830,000,000        72,910,798        73,036,516        125,718  

Goldman Sachs & Co.

      9/18/2019        MXN        B        20,055,000        1,003,197        1,031,466        28,269  

HSBC Bank USA

      9/18/2019        AUD        B        905,000        631,156        636,838        5,682  

Morgan Stanley Capital Services, Inc.

      9/18/2019        EUR        B        58,680,000        66,502,631        67,132,966        630,335  

UBS AG

      9/18/2019        NOK        S        4,200,000        484,823        493,409        (8,586 ) 

UBS AG

      9/18/2019        SEK        B        7,350,000        783,424        795,866        12,442  

UBS AG

      9/18/2019        THB        S        83,000,000        2,649,049        2,711,377        (62,328 ) 
                    

 

 

  

Total

 

    $ (968,028 ) 
                    

 

 

  

At June 30, 2019, the Fund had the following open forward cross currency contracts:

 

Counterparty

    Settlement
Date		      Deliver/Units
of Currency		      Receive/Units
of Currency		      Notional
Value		      Unrealized
Appreciation
(Depreciation)		  

Credit Suisse International

      9/18/2019        NOK        14,180,000        EUR        1,441,921      $ 1,649,633      $ (16,210 ) 
                    

 

 

  

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, 2019, at value:

Asset Valuation Inputs

 

Description

    Level 1      Level 2     Level 3      Total  

Common Stocks

           

France

    $ —        $ 71,653,263     $ —        $ 71,653,263  

Hong Kong

      —          79,531,727       —          79,531,727  

India

      —          29,894,584       —          29,894,584  

Japan

      —          40,861,811       —          40,861,811  

Sweden

      —          37,344,959       —          37,344,959  

Switzerland

      —          122,660,507       —          122,660,507  

United Kingdom

      51,267,854        128,357,391       —          179,625,245  

United States

      1,330,894,354        2,042       —          1,330,896,396  

All Other Common Stocks*

      124,874,509        —         —          124,874,509  
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Common Stocks

      1,507,036,717        510,306,284       —          2,017,343,001  
  

 

 

     

 

 

    

 

 

     

 

 

  

Bonds and Notes

           

Non-Convertible Bonds

           

United States

      32,796        381,465,756       —          381,498,552  

All Other Non-Convertible Bonds*

      —          299,303,587       —          299,303,587  
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Non-Convertible Bonds

      32,796        680,769,343       —          680,802,139  
  

 

 

     

 

 

    

 

 

     

 

 

  

Convertible Bonds*

      —          11,544,579       —          11,544,579  

Municipals*

      —          285,861       —          285,861  
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Bonds and Notes

      32,796        692,599,783       —          692,632,579  
  

 

 

     

 

 

    

 

 

     

 

 

  

Preferred Stocks*

      2,064,456        429,407       —          2,493,863  

Short-Term Investments

      —          229,378,472       —          229,378,472  
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Investments

      1,509,133,969        1,432,713,946       —          2,941,847,915  
  

 

 

     

 

 

    

 

 

     

 

 

  

Forward Foreign Currency Contracts (unrealized appreciation)

      —          802,446       —          802,446  
  

 

 

     

 

 

    

 

 

     

 

 

  

Total

    $ 1,509,133,969      $ 1,433,516,392     $ —        $ 2,942,650,361  
  

 

 

     

 

 

    

 

 

     

 

 

  
Liability Valuation Inputs

 

Description

    Level 1      Level 2     Level 3      Total  

Forward Foreign Currency Contracts (unrealized depreciation)

    $ —      $ (1,786,684 )    $ —      $ (1,786,684 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

 

*

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

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

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2018 and/or June 30, 2019:

Asset Valuation Inputs

 

Investments in Securities

   Balance as of
September 30,
2018		     Accrued
Discounts
(Premiums)		     Realized
Gain
(Loss)		     Change in
Unrealized
Appreciation
(Depreciation)		     Purchases     Sales     Transfers
into
Level 3		     Transfers
out of
Level 3		     Balance
as of
June 30,
2019		     Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30, 2019		  

Bonds and Notes

                    

Non-Convertible Bonds

                    

United States

   $ 124,748     $ —       $ —       $ —       $ —       $ —       $ —       $ (124,748 )    $ —       $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

A debt security valued at $124,748 was transferred from Level 3 to Level 2 during the period ended June 30, 2019. At September 30, 2018, this security was valued using broker dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2019, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

All transfers are recognized as of the beginning of the reporting period.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include forward foreign currency contracts.

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. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended June 30, 2019, the Fund engaged in forward foreign currency transactions to gain exposure to foreign currencies.

The following is a summary of derivative instruments for the Fund, as of June 30, 2019:

 

Assets

    Unrealized
appreciation on
forward foreign
currency
contracts		  

Over-the-counter asset derivatives

   

Foreign exchange contracts

    $ 802,446  

Liabilities

    Unrealized
depreciation on
forward foreign
currency
contracts		  

Over-the-counter liability derivatives

   

Foreign exchange contracts

    $ (1,786,684 ) 

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, 2019, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:

 

Counterparty:

    Derivatives      Collateral
Pledged		  

Bank of America, N.A

    $ (204,867 )     $ —    

Citibank N.A.

      (106,842 )       70,000  

Credit Suisse International

      (1,278,343 )       1,190,000  

UBS AG

      (58,472 )       —  

Timing differences may exist between when contracts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially

resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2019:

 

Maximum Amount

of Loss - Gross

    Maximum Amount
of Loss - Net		  

$2,062,446

    $ 33,951  

These amounts include cash received as collateral of $790,000.

Industry Summary at June 30, 2019 (Unaudited)

 

Treasuries

      11.3 % 

Internet & Direct Marketing Retail

      5.6  

Capital Markets

      5.5  

Chemicals

      5.2  

IT Services

      5.2  

Interactive Media & Services

      4.6  

Aerospace & Defense

      4.6  

Insurance

      4.1  

Software

      3.6  

Health Care Equipment & Supplies

      3.4  

Industrial Conglomerates

      3.4  

Food Products

      3.3  

Machinery

      3.1  

Banks

      2.9  

Hotels, Restaurants & Leisure

      2.8  

Health Care Providers & Services

      2.7  

Other Investments, less than 2% each

      20.7  

Short-Term Investments

      7.8  
  

 

 

  

Total Investments

      99.8  

Other assets less liabilities (including forward foreign currency contracts)

      0.2  
  

 

 

  

Net Assets

      100.0 % 
  

 

 

  

Currency Exposure Summary at June 30, 2019 (Unaudited)

 

United States Dollar

      74.6 % 

British Pound

      4.5  

Euro

      4.4  

Swiss Franc

      4.2  

Canadian Dollar

      3.7  

Hong Kong Dollar

      2.7  

Japanese Yen

      2.1  

Other, less than 2% each

      3.6  
  

 

 

  

Total Investments

      99.8  

Other assets less liabilities (including forward foreign currency contracts)

      0.2  
  

 

 

  

Net Assets

      100.0 %