PORTFOLIO OF INVESTMENTS – as of September 30, 2019 (Unaudited)
Loomis Sayles Investment Grade Bond Fund
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – 94.5% of Net Assets |
||||||||
| Non-Convertible Bonds – 93.6% |
||||||||
| ABS Car Loan – 7.9% | ||||||||
| $ | 2,100,136 | ACC Trust, Series 2019-1, Class A, |
$ | 2,118,596 | ||||
| 10,312,100 | Ally Auto Receivables Trust, Series 2017-3, Class A3,
|
10,297,796 | ||||||
| 16,590,000 | Ally Auto Receivables Trust, Series 2019-1, Class A3,
|
16,832,931 | ||||||
| 7,865,000 | American Credit Acceptance Receivables Trust, Series
2019-3, Class D, |
7,876,602 | ||||||
| 1,965,000 | AmeriCredit Automobile Receivables Trust, Series 2018-2,
Class D, |
2,046,538 | ||||||
| 10,515,000 | AmeriCredit Automobile Receivables Trust, Series 2018-3,
Class D, |
11,007,335 | ||||||
| 25,880,000 | AmeriCredit Automobile Receivables Trust, Series 2019-1,
Class D, |
26,706,002 | ||||||
| 12,340,000 | AmeriCredit Automobile Receivables Trust, Series 2019-2,
Class D, |
12,542,712 | ||||||
| 303,211 | BMW Vehicle Owner Trust, Series 2016-A, Class A3,
|
302,954 | ||||||
| 3,650,000 | CarMax Auto Owner Trust, Series 2018-3, Class D,
|
3,779,026 | ||||||
| 13,130,000 | CarMax Auto Owner Trust, Series 2019-1, Class D,
|
13,738,821 | ||||||
| 4,505,000 | CarMax Auto Owner Trust, Series 2019-2, Class D,
|
4,634,393 | ||||||
| 2,315,000 | CarMax Auto Owner Trust, Series 2019-3, Class D,
|
2,336,563 | ||||||
| 13,965,000 | CPS Auto Receivables Trust, Series 2019-A, Class D,
|
14,508,387 | ||||||
| 1,800,000 | Credit Acceptance Auto Loan Trust, Series 2017-3A,
Class C, |
1,827,383 | ||||||
| 23,320,000 | Credit Acceptance Auto Loan Trust, Series 2019-1A,
Class C, |
24,169,025 | ||||||
| 6,555,000 | Drive Auto Receivables Trust, Series 2018-5, Class D,
|
6,792,287 | ||||||
| 16,395,000 | Drive Auto Receivables Trust, Series 2019-1, Class D,
|
16,978,200 | ||||||
| 3,700,000 | Drive Auto Receivables Trust, Series 2019-2, Class D,
|
3,818,785 | ||||||
| 10,760,000 | DT Auto Owner Trust, Series 2019-1A, Class D,
|
11,070,240 | ||||||
| 3,950,000 | DT Auto Owner Trust, Series 2019-2A, Class D,
|
4,036,564 | ||||||
| 3,400,000 | DT Auto Owner Trust, Series 2019-3A, Class D,
|
3,422,470 | ||||||
| 3,790,000 | First Investors Auto Owner Trust, Series 2019-1A,
Class D, |
3,882,778 | ||||||
| 4,610,000 | Flagship Credit Auto Trust, Series 2019-3, Class D,
|
4,622,277 | ||||||
| 2,108,727 | Ford Credit Auto Owner Trust, Series 2017-B,
Class A3, |
2,104,711 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Car Loan – continued | ||||||||
| $ | 15,745,000 | Ford Credit Auto Owner Trust, Series 2018-A,
Class A3, |
$ | 15,895,821 | ||||
| 8,555,000 | GLS Auto Receivables Trust, Series 2019-A, Class C,
|
8,727,245 | ||||||
| 3,218,000 | GM Financial Consumer Automobile Receivables Trust, Series
2018-2, Class A3, |
3,248,051 | ||||||
| 2,000,000 | GM Financial Consumer Automobile Receivables Trust, Series
2018-3, Class A3, |
2,026,589 | ||||||
| 15,645,000 | GM Financial Consumer Automobile Receivables Trust, Series
2019-1, Class A3, |
15,868,168 | ||||||
| 1,994,098 | Honda Auto Receivables Owner Trust, Series 2016-4,
Class A3, |
1,990,303 | ||||||
| 1,156,299 | Honda Auto Receivables Owner Trust, Series 2017-2,
Class A3, |
1,153,992 | ||||||
| 3,925,000 | Honda Auto Receivables Owner Trust, Series 2017-2,
Class A4, |
3,918,250 | ||||||
| 28,000,000 | Honda Auto Receivables Owner Trust, Series 2018-4,
Class A3, |
28,554,212 | ||||||
| 5,925,000 | Honda Auto Receivables Owner Trust, Series 2019-1,
Class A3, |
6,029,511 | ||||||
| 7,485,554 | Nissan Auto Receivables Owner Trust, Series 2016-C,
Class A3, |
7,473,199 | ||||||
| 26,135,000 | Nissan Auto Receivables Owner Trust, Series 2018-C,
Class A3, |
26,723,848 | ||||||
| 27,665,000 | Santander Drive Auto Receivables Trust, Series 2019-1,
Class D, |
28,429,243 | ||||||
| 6,995,000 | Santander Drive Auto Receivables Trust, Series 2019-2,
Class D, |
7,131,128 | ||||||
| 8,455,000 | Santander Drive Auto Receivables Trust, Series 2019-H13,
Class D, |
8,489,730 | ||||||
| 6,947,160 | Toyota Auto Receivables Owner Trust, Series 2017-B,
Class A3, |
6,937,235 | ||||||
| 15,720,000 | Toyota Auto Receivables Owner Trust, Series 2017-D,
Class A3, |
15,712,143 | ||||||
| 27,000,000 | Toyota Auto Receivables Owner Trust, Series 2018-A,
Class A3, |
27,059,413 | ||||||
| 2,790,254 | Toyota Auto Receivables Owner Trust, Series 2018-C,
Class A2A, |
2,797,717 | ||||||
| 15,495,000 | Westlake Automobile Receivables Trust, Series 2019-1A,
Class D, |
15,773,309 | ||||||
|
|
|
|||||||
| 445,392,483 | ||||||||
|
|
|
|||||||
| ABS Credit Card – 2.0% | ||||||||
| 14,559,000 | American Express Credit Account Master Trust, Series
2017-1, Class A, |
14,547,468 | ||||||
| 10,434,000 | American Express Credit Account Master Trust, Series
2017-6, Class A, |
10,445,518 | ||||||
| 3,000,000 | American Express Credit Account Master Trust, Series
2018-1, Class A, |
3,007,689 | ||||||
| 8,000,000 | American Express Credit Account Master Trust, Series
2019-1, Class A, |
8,196,430 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Credit Card – continued | ||||||||
| $ | 25,135,000 | Capital One Multi-Asset Execution Trust, Series 2015-A2,
Class A2, |
$ | 25,142,490 | ||||
| 6,170,000 | Capital One Multi-Asset Execution Trust, Series 2017-A4,
Class A4, |
6,171,428 | ||||||
| 11,730,000 | Capital One Multi-Asset Execution Trust, Series 2019-A1,
Class A1, |
11,995,734 | ||||||
| 7,915,000 | Chase Issuance Trust, Series 2015-A4, Class A4,
|
7,906,510 | ||||||
| 13,575,000 | Citibank Credit Card Issuance Trust, Series 2016-A1,
Class A1, |
13,568,211 | ||||||
| 10,366,000 | Citibank Credit Card Issuance Trust, Series 2017-A3,
Class A3, |
10,359,155 | ||||||
|
|
|
|||||||
| 111,340,633 | ||||||||
|
|
|
|||||||
| ABS Home Equity – 3.2% | ||||||||
| 578,935 | American Home Mortgage Investment Trust, Series 2004-2,
Class 5A, |
592,932 | ||||||
| 15,451,000 | American Homes 4 Rent, Series 2015-SFR1, Class E, |
16,866,410 | ||||||
| 509,182 | Bayview Opportunity Master Fund Trust, Series 2018-RN8,
Class A1, |
510,969 | ||||||
| 2,806,557 | Bayview Opportunity Master Fund Trust, Series 2019-RN1,
Class A1, |
2,824,126 | ||||||
| 3,038,383 | Bayview Opportunity Master Fund Trust, Series 2019-RN2,
Class A1, |
3,054,520 | ||||||
| 6,075,000 | Brass PLC, Series 8A, Class A1, |
6,076,106 | ||||||
| 93,875 | CAM Mortgage Trust, Series 2018-1, Class A1,
|
93,830 | ||||||
| 5,570,708 | Citigroup Mortgage Loan Trust, Series 2019-B,
Class A1, |
5,570,380 | ||||||
| 8,208,845 | Citigroup Mortgage Loan Trust, Series 2019-RP1,
Class A1, |
8,413,455 | ||||||
| 2,434,000 | CoreVest American Finance Trust, Series 2019-1,
Class D, |
2,608,764 | ||||||
| 9,302,780 | GCAT Trust, Series 2019-RPL1, Class A, |
9,319,418 | ||||||
| 1,054,436 | Gosforth Funding PLC, Series 2018-1A, Class A1, |
1,052,531 | ||||||
| 1,871,539 | Grand Avenue Mortgage Loan Trust, Series 2017-RPL1, Class A1, |
1,861,155 | ||||||
| 1,913,914 | Holmes Master Issuer PLC, Series 2018-1A, Class A2,
|
1,912,178 | ||||||
| 2,927,000 | Home Partners of America Trust, Series 2019-1,
Class D, |
2,975,936 | ||||||
| 2,631,000 | Home Partners of America Trust, Series 2019-2,
Class D, |
2,630,929 | ||||||
| 3,050,000 | Invitation Homes Trust, Series 2018-SFR4, Class D,
|
3,049,993 | ||||||
| 4,316,667 | Lanark Master Issuer PLC, Series 2019-1A, Class 1A1,
|
4,326,172 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Home Equity – continued | ||||||||
| $ | 7,020,000 | Lanark Master Issuer PLC, Series 2019-2A, Class 1A,
|
$ | 7,068,929 | ||||
| 4,238,575 | Legacy Mortgage Asset Trust, Series 2019-GS3,
Class A1, |
4,291,122 | ||||||
| 5,242,874 | Mill City Mortgage Trust, Series 2019-1, Class A1,
|
5,368,730 | ||||||
| 3,453,226 | Preston Ridge Partners Mortgage LLC, Series 2019-3A,
Class A1, |
3,459,528 | ||||||
| 3,708,000 | Progress Residential Trust, Series 2017-SFR2, Class E, |
3,754,630 | ||||||
| 1,332,000 | Progress Residential Trust, Series 2018-SFR2, Class E, |
1,373,178 | ||||||
| 2,830,000 | Progress Residential Trust, Series 2019-SFR1, Class D, |
2,933,782 | ||||||
| 4,732,000 | Progress Residential Trust, Series 2019-SFR2, Class D, |
4,857,330 | ||||||
| 3,860,000 | Progress Residential Trust, Series 2019-SFR4, Class D, |
3,847,262 | ||||||
| 787,558 | RCO V Mortgage LLC, Series 2018-1, Class A1,
|
789,437 | ||||||
| 5,885,975 | RCO V Mortgage LLC, Series 2019-1, Class A1,
|
5,910,466 | ||||||
| 3,504,018 | Sequoia Mortgage Trust, Series 2017-CH2, Class A1,
|
3,637,526 | ||||||
| 8,296,540 | Sequoia Mortgage Trust, Series 2019-CH2, Class A1,
|
8,613,723 | ||||||
| 5,465,000 | Silverstone Master Issuer PLC, Series 2019-1A,
Class 1A, |
5,466,820 | ||||||
| 4,731,800 | Towd Point Mortgage Trust, Series 2015-2, Class 1A13,
|
4,718,053 | ||||||
| 1,592,397 | Towd Point Mortgage Trust, Series 2016-1, Class A1B,
|
1,594,925 | ||||||
| 2,575,000 | Tricon American Homes Trust, |
2,575,015 | ||||||
| 2,575,000 | Tricon American Homes Trust, Series 2019-SFR1, Class D, |
2,575,015 | ||||||
| 9,456,755 | Vericrest Opportunity Loan Trust, Series 2019-NPL3, Class A1, |
9,509,599 | ||||||
| 10,755,222 | Vericrest Opportunity Loan Trust, Series 2019-NPL5, Class A1A, |
10,788,702 | ||||||
| 817,736 | VOLT LXXI LLC, Series 2018-NPL7, Class A1A, |
821,676 | ||||||
| 1,572,179 | VOLT LXXII LLC, Series 2018-NPL8, Class A1A, |
1,577,644 | ||||||
| 5,809,652 | VOLT LXXV LLC, Series 2019-NPL1, Class A1A, |
5,849,334 | ||||||
| 1,919,776 | Wells Fargo Mortgage Backed Securities Trust, Series
2005-AR2, Class 3A1, |
1,976,271 | ||||||
|
|
|
|||||||
| 177,098,501 | ||||||||
|
|
|
|||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Other – 3.4% | ||||||||
| $ | 43,018,502 | FAN Engine Securitization Ltd., Series 2013-1A,
Class 1A, |
$ | 40,867,577 | ||||
| 12,668,720 | Horizon Aircraft Finance I Ltd., Series 2018-1,
Class A, |
13,158,626 | ||||||
| 2,981,282 | Horizon Aircraft Finance II Ltd., Series 2019-1,
Class A, |
2,992,692 | ||||||
| 1,975,000 | HPEFS Equipment Trust, Series 2019-1A, Class C,
|
1,979,426 | ||||||
| 8,211,574 | Kestrel Aircraft Funding Ltd., Series 2018-1A,
Class A, |
8,408,253 | ||||||
| 12,304,710 | MAPS Ltd., Series 2018-1A, Class A, |
12,620,577 | ||||||
| 4,183,868 | MAPS Ltd., Series 2019-1A, Class A, |
4,327,485 | ||||||
| 13,610,000 | Mariner Finance Issuance Trust, Series 2018-AA,
Class A, |
13,930,624 | ||||||
| 2,908,249 | Marlette Funding Trust, Series 2019-1A, Class A,
|
2,929,196 | ||||||
| 8,040,000 | OneMain Financial Issuance Trust, Series 2019-1A,
Class D, |
8,375,988 | ||||||
| 15,908,504 | S-Jets Ltd., Series
2017-1, Class A, |
16,386,410 | ||||||
| 990,000 | SLM Private Credit Student Loan Trust, Series 2003-C,
Class A3, |
989,703 | ||||||
| 1,595,000 | SLM Private Credit Student Loan Trust, Series 2003-C,
Class A4, |
1,594,521 | ||||||
| 13,765,000 | SoFi Consumer Loan Program Trust, Series 2019-1,
Class C, |
14,140,849 | ||||||
| 6,720,000 | SoFi Consumer Loan Program Trust, Series 2018-4,
Class C, |
6,994,985 | ||||||
| 6,805,000 | SoFi Consumer Loan Program Trust, Series 2019-2,
Class C, |
6,963,590 | ||||||
| 12,755,000 | SoFi Consumer Loan Program Trust, Series 2019-3,
Class C, |
13,038,252 | ||||||
| 7,370,000 | SoFi Consumer Loan Program Trust, Series 2019-4,
Class C, |
7,394,387 | ||||||
| 12,557,466 | SpringCastle Funding Asset-Backed Notes, Series 2019-AA,
Class A, |
12,691,714 | ||||||
|
|
|
|||||||
| 189,784,855 | ||||||||
|
|
|
|||||||
| ABS Student Loan – 1.1% | ||||||||
| 4,020,000 | Navient Private Education Refi Loan Trust, Series 2019-CA,
Class A2, |
4,128,859 | ||||||
| 6,910,000 | Navient Student Loan Trust, Series 2018-EA, Class A2,
|
7,317,866 | ||||||
| 850,000 | SLM Private Credit Student Loan Trust, Series 2003-A,
Class A3, |
849,745 | ||||||
| 625,000 | SLM Private Credit Student Loan Trust, Series 2003-A,
Class A4, |
624,813 | ||||||
| 1,225,000 | SLM Private Credit Student Loan Trust, Series 2003-B,
Class A3, |
1,224,632 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| ABS Student Loan – continued | ||||||||
| $ | 841,000 | SLM Private Credit Student Loan Trust, Series 2003-B,
Class A4, |
$ | 840,748 | ||||
| 10,385,000 | SMB Private Education Loan Trust, Series 2019-A,
Class A2A, |
10,827,220 | ||||||
| 16,265,000 | SMB Private Education Loan Trust, Series 2019-B,
Class A2A, |
16,520,260 | ||||||
| 9,075,000 | SoFi Professional Loan Program LLC, Series 2019-A,
Class A2FX, |
9,616,504 | ||||||
| 8,217,000 | SoFi Professional Loan Program LLC, Series 2019-C,
Class A2FX, |
8,221,780 | ||||||
|
|
|
|||||||
| 60,172,427 | ||||||||
|
|
|
|||||||
| ABS Whole Business – 1.9% | ||||||||
| 10,325,329 | Adams Outdoor Advertising LP, Series 2018-1, Class A,
|
10,715,673 | ||||||
| 3,595,000 | Adams Outdoor Advertising LP, Series 2018-1, Class B,
|
3,727,149 | ||||||
| 27,272,250 | Coinstar Funding LLC, Series 2017-1A, Class A2,
|
28,087,529 | ||||||
| 6,765,045 | DB Master Finance LLC, Series 2019-1A, Class A23,
|
7,146,932 | ||||||
| 320,460 | Domino’s Pizza Master Issuer LLC, Series 2017-1A,
Class A23, |
335,265 | ||||||
| 5,244,613 | Domino’s Pizza Master Issuer LLC, Series 2018-1A,
Class A2II, |
5,528,346 | ||||||
| 2,291,000 | Driven Brands Funding LLC, Series 2018-1A, Class A2,
|
2,400,739 | ||||||
| 5,059,575 | Driven Brands Funding LLC, Series 2019-1A, Class A2,
|
5,330,313 | ||||||
| 4,962,500 | Five Guys Funding LLC, Series 2017-1A, Class A2,
|
5,214,108 | ||||||
| 17,626,575 | Stack Infrastructure Issuer LLC, Series 2019-1A,
Class A2, |
18,475,028 | ||||||
| 13,493,038 | Taco Bell Funding LLC, Series 2018-1A, Class A2I,
|
13,975,549 | ||||||
| 3,681,500 | Wingstop Funding LLC, Series 2018-1, Class A2,
|
3,823,091 | ||||||
|
|
|
|||||||
| 104,759,722 | ||||||||
|
|
|
|||||||
| Aerospace & Defense – 1.5% | ||||||||
| 650,000 | Leonardo U.S. Holdings, Inc., |
767,000 | ||||||
| 78,795,000 | Textron, Inc., |
83,532,323 | ||||||
|
|
|
|||||||
| 84,299,323 | ||||||||
|
|
|
|||||||
| Airlines – 1.6% | ||||||||
| 3,011,456 | Air Canada Pass Through Trust, Series 2013-1,
Class B, |
3,096,077 | ||||||
| 1,778,221 | American Airlines Pass Through Certificates, Series
2016-3, Class B, |
1,806,104 | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Airlines – continued | ||||||||
| $ | 660,687 | American Airlines Pass Through Certificates, Series
2017-2, Class B, |
$ | 664,337 | ||||
| 2,014,937 | American Airlines Pass Through Trust, Series 2015-2,
Class B, |
2,083,042 | ||||||
| 15,293,000 | American Airlines Pass Through Trust, Series 2019-1,
Class B, |
15,455,259 | ||||||
| 6,855,000 | British Airways Pass Through Trust, Series 2019-1,
Class A, |
6,985,382 | ||||||
| 1,201,123 | Continental Airlines Pass Through Certificates, Series
2012-1, Class B, |
1,215,609 | ||||||
| 324,173 | Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, |
344,233 | ||||||
| 1,039,170 | Delta Air Lines Pass Through Trust, Series 2007-1,
Class A, |
1,140,593 | ||||||
| 4,926,025 | Delta Air Lines Pass Through Trust, Series 2007-1,
Class B, |
5,458,529 | ||||||
| 7,990,435 | Delta Air Lines Pass Through Trust, Series 2009-1,
Class A, |
8,070,179 | ||||||
| 13,000,876 | UAL Pass Through Trust, Series 2007-1, Class A,
|
13,744,526 | ||||||
| 26,272,205 | United Airlines Pass Through Trust, Series 2016-2,
Class B, |
26,532,825 | ||||||
| 2,724,967 | United Airlines Pass Through Trust, Series 2018-1,
Class A, |
2,829,714 | ||||||
|
|
|
|||||||
| 89,426,409 | ||||||||
|
|
|
|||||||
| Automotive – 2.2% | ||||||||
| 23,581,000 | Cummins, Inc., |
30,632,191 | ||||||
| 5,274,000 | Cummins, Inc., |
6,532,638 | ||||||
| 14,000,000 | Toyota Motor Credit Corp., |
14,001,058 | ||||||
| 10,000,000 | Toyota Motor Credit Corp., MTN, |
10,010,452 | ||||||
| 38,060,000 | Toyota Motor Credit Corp., MTN, |
38,723,323 | ||||||
| 4,750,000 | Volkswagen Group of America Finance LLC, |
4,761,775 | ||||||
| 12,005,000 | Volkswagen Group of America Finance LLC, |
12,062,624 | ||||||
| 7,565,000 | ZF North America Capital, Inc., |
7,885,381 | ||||||
|
|
|
|||||||
| 124,609,442 | ||||||||
|
|
|
|||||||
| Banking – 7.8% | ||||||||
| 39,613,000 | Ally Financial, Inc., |
42,633,491 | ||||||
| 1,468,000 | Ally Financial, Inc., |
2,022,170 | ||||||
| 49,304,000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), |
51,493,144 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Banking – continued |
| |||||||
| $ | 100,000 | Bank of America Corp., MTN, |
$ | 107,970 | ||||
| 25,627,000 | Bank of America Corp., Series L, MTN, |
27,664,759 | ||||||
| 22,500,000 | BNP Paribas S.A., (fixed rate to 3/01/2028, variable rate thereafter), |
23,730,879 | ||||||
| 460,000 | Capital One Financial Corp., |
489,989 | ||||||
| 17,000,000 | Citigroup, Inc., |
17,623,643 | ||||||
| 1,230,000 | Citigroup, Inc., |
1,320,048 | ||||||
| 1,660,000 | Citigroup, Inc., |
1,745,032 | ||||||
| 7,155,000 | Credit Agricole S.A., (fixed rate to 1/10/2028, variable rate thereafter), |
7,402,134 | ||||||
| 17,940,000 | Danske Bank A/S, |
18,861,205 | ||||||
| 14,200,000 | Danske Bank A/S, |
15,597,722 | ||||||
| 3,390,000 | Danske Bank A/S, (fixed rate to 12/20/2024, variable rate thereafter), |
3,417,241 | ||||||
| 13,075,000 | Danske Bank A/S, (fixed rate to 9/20/2021, variable rate thereafter), |
13,122,915 | ||||||
| 20,999,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), |
19,012,075 | ||||||
| 6,645,000 | Goldman Sachs Group, Inc. (The), GMTN, |
6,740,522 | ||||||
| 70,245,000 | JPMorgan Chase & Co., |
76,646,693 | ||||||
| 100,000 | KeyBank NA, |
125,595 | ||||||
| 5,900,000 | Morgan Stanley, |
6,173,613 | ||||||
| 1,845,000 | Morgan Stanley, GMTN, |
1,997,997 | ||||||
| 20,695,000 | Morgan Stanley, MTN, |
21,793,284 | ||||||
| 15,160,000 | Santander Holdings USA, Inc., |
15,834,108 | ||||||
| 20,295,000 | Societe Generale S.A., |
21,153,682 | ||||||
| 21,340,000 | Standard Chartered PLC, |
21,421,519 | ||||||
| 5,900,000 | Standard Chartered PLC, (fixed rate to 1/20/2022, variable rate thereafter), |
6,108,270 | ||||||
| 7,580,000 | Synchrony Financial, |
7,643,788 | ||||||
| 3,865,000 | Synchrony Financial, |
4,101,259 | ||||||
|
|
|
|||||||
| 435,984,747 | ||||||||
|
|
|
|||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Brokerage – 1.5% |
| |||||||
| $ | 50,270,000 | Jefferies Group LLC, |
$ | 54,097,150 | ||||
| 19,498,000 | Jefferies Group LLC, |
22,469,010 | ||||||
| 8,760,000 | Jefferies Group LLC, |
10,150,857 | ||||||
|
|
|
|||||||
| 86,717,017 | ||||||||
|
|
|
|||||||
| Building Materials – 0.6% |
| |||||||
| 1,070,000 | Masco Corp., |
1,311,887 | ||||||
| 3,110,000 | Masco Corp., |
3,171,595 | ||||||
| 2,163,000 | Masco Corp., |
2,770,849 | ||||||
| 23,975,000 | Owens Corning, |
29,402,349 | ||||||
|
|
|
|||||||
| 36,656,680 | ||||||||
|
|
|
|||||||
| Cable Satellite – 1.1% |
| |||||||
| 6,695,000 | Charter Communications Operating LLC/Charter Communications Operating Capital Corp., |
7,632,255 | ||||||
| 10,320,000 | Cox Communications, Inc., |
10,956,365 | ||||||
| 5,820,000 | Cox Communications, Inc., |
6,324,691 | ||||||
| 13,630,000 | Time Warner Cable LLC, |
13,875,460 | ||||||
| 9,055,000 | Time Warner Cable LLC, |
8,910,552 | ||||||
| 15,815,000 | Time Warner Cable LLC, |
17,029,622 | ||||||
|
|
|
|||||||
| 64,728,945 | ||||||||
|
|
|
|||||||
| Chemicals – 2.0% |
| |||||||
| 27,205,000 | CF Industries, Inc., |
29,678,184 | ||||||
| 15,145,000 | DuPont de Nemours, Inc., |
15,423,792 | ||||||
| 3,740,000 | FMC Corp., |
3,799,708 | ||||||
| 2,075,000 | FMC Corp., |
2,159,437 | ||||||
| 50,500,000 | INVISTA Finance LLC, |
50,524,998 | ||||||
| 8,145,000 | LYB International Finance III LLC, |
8,069,056 | ||||||
|
|
|
|||||||
| 109,655,175 | ||||||||
|
|
|
|||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Construction Machinery – 1.1% |
| |||||||
| $ | 17,058,000 | Caterpillar Financial Services Corp., |
$ | 17,004,547 | ||||
| 12,000,000 | Caterpillar, Inc., |
12,370,412 | ||||||
| 11,005,000 | John Deere Capital Corp., MTN, |
11,068,995 | ||||||
| 7,485,000 | John Deere Capital Corp., MTN, |
7,670,895 | ||||||
| 6,105,000 | John Deere Capital Corp., MTN, |
6,309,500 | ||||||
| 6,787,000 | Toro Co. (The), |
8,585,423 | ||||||
|
|
|
|||||||
| 63,009,772 | ||||||||
|
|
|
|||||||
| Consumer Products – 0.7% |
| |||||||
| 7,458,000 | Hasbro, Inc., |
9,023,379 | ||||||
| 27,515,000 | Unilever Capital Corp., |
28,201,224 | ||||||
|
|
|
|||||||
| 37,224,603 | ||||||||
|
|
|
|||||||
| Diversified Manufacturing – 0.1% |
| |||||||
| 5,305,000 | General Electric Co., Series A, MTN, |
4,891,057 | ||||||
|
|
|
|||||||
| Electric – 1.5% |
| |||||||
| 21,015,531 | Alta Wind Holdings LLC, |
24,467,067 | ||||||
| 30,430,000 | EDP Finance BV, |
30,506,075 | ||||||
| 13,025,000 | Enel Finance International NV, |
16,267,808 | ||||||
| 9,007,000 | Enel Finance International NV, |
11,985,071 | ||||||
|
|
|
|||||||
| 83,226,021 | ||||||||
|
|
|
|||||||
| Finance Companies – 1.7% |
| |||||||
| 12,430,000 | Aircastle Ltd., |
12,949,962 | ||||||
| 20,595,000 | Aircastle Ltd., |
21,664,317 | ||||||
| 8,160,000 | Aircastle Ltd., |
8,738,611 | ||||||
| 6,700,000 | Antares Holdings LP, |
6,941,171 | ||||||
| 18,830,000 | International Lease Finance Corp., |
19,390,781 | ||||||
| 8,565,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., |
8,914,880 | ||||||
| 7,805,000 | Quicken Loans, Inc., |
8,054,760 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Finance Companies – continued |
| |||||||
| $ | 6,392,000 | Quicken Loans, Inc., |
$ | 6,591,750 | ||||
|
|
|
|||||||
| 93,246,232 | ||||||||
|
|
|
|||||||
| Food & Beverage – 2.0% |
| |||||||
| 8,980,000 | BRF S.A., |
8,867,750 | ||||||
| 13,750,000 | General Mills, Inc., |
13,901,103 | ||||||
| 8,595,000 | JBS USA LUX S.A./JBS USA Finance, Inc., |
8,954,443 | ||||||
| 4,910,000 | JBS USA LUX S.A./JBS USA Finance, Inc., |
5,437,825 | ||||||
| 10,660,000 | JBS USA LUX S.A./JBS USA Food Co./JBS USA Finance, Inc., |
11,299,387 | ||||||
| 10,465,000 | NBM U.S Holdings, Inc., |
10,975,169 | ||||||
| 9,535,000 | PepsiCo, Inc., |
9,514,023 | ||||||
| 45,980,000 | PepsiCo, Inc., |
46,122,733 | ||||||
|
|
|
|||||||
| 115,072,433 | ||||||||
|
|
|
|||||||
| Government Guaranteed – 1.0% |
| |||||||
| 55,000,000 | Kreditanstalt fuer Wiederaufbau, |
54,855,279 | ||||||
|
|
|
|||||||
| Government Owned - No Guarantee – 0.5% |
| |||||||
| 21,545,000 | Petrobras Global Finance BV, |
23,761,550 | ||||||
| 6,130,000 | Petrobras Global Finance BV, |
7,031,110 | ||||||
|
|
|
|||||||
| 30,792,660 | ||||||||
|
|
|
|||||||
| Health Insurance – 0.6% |
| |||||||
| 27,570,000 | Anthem, Inc., |
27,706,069 | ||||||
| 3,040,000 | Centene Corp., |
3,162,208 | ||||||
| 1,261,000 | Cigna Holding Co., |
1,657,172 | ||||||
|
|
|
|||||||
| 32,525,449 | ||||||||
|
|
|
|||||||
| Healthcare – 3.2% |
| |||||||
| 27,455,000 | Abbott Laboratories, |
27,951,386 | ||||||
| 27,390,000 | Cigna Corp., |
27,655,457 | ||||||
| 19,420,000 | Cigna Corp., |
21,219,769 | ||||||
| 13,765,000 | CVS Health Corp., |
14,707,418 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Healthcare – continued |
| |||||||
| $ | 23,120,000 | HCA, Inc., |
$ | 24,788,856 | ||||
| 24,240,000 | HCA, Inc., |
26,960,599 | ||||||
| 4,580,000 | HCA, Inc., |
5,099,908 | ||||||
| 17,055,000 | HCA, Inc., |
18,604,331 | ||||||
| 4,806,000 | HCA, Inc., |
5,623,020 | ||||||
| 1,592,000 | HCA, Inc., |
1,910,400 | ||||||
| 1,295,000 | HCA, Inc., |
1,557,238 | ||||||
| 2,480,000 | HCA, Inc., MTN, |
2,926,400 | ||||||
| 3,068,000 | HCA, Inc., MTN, |
3,589,560 | ||||||
|
|
|
|||||||
| 182,594,342 | ||||||||
|
|
|
|||||||
| Independent Energy – 2.1% |
| |||||||
| 30,195,000 | Continental Resources, Inc., |
30,770,352 | ||||||
| 10,525,000 | Continental Resources, Inc., |
10,870,018 | ||||||
| 10,950,000 | Diamondback Energy, Inc., |
11,210,062 | ||||||
| 10,475,000 | Hess Corp., |
10,947,390 | ||||||
| 21,000,000 | Newfield Exploration Co., |
23,165,917 | ||||||
| 6,090,000 | Occidental Petroleum Corp., |
6,868,711 | ||||||
| 26,185,000 | Seven Generations Energy Ltd., |
25,923,150 | ||||||
| 60,000 | Whiting Petroleum Corp., |
46,367 | ||||||
|
|
|
|||||||
| 119,801,967 | ||||||||
|
|
|
|||||||
| Integrated Energy – 1.9% |
| |||||||
| 55,470,000 | Chevron Corp., |
55,684,173 | ||||||
| 52,303,000 | Shell International Finance BV, |
52,308,308 | ||||||
|
|
|
|||||||
| 107,992,481 | ||||||||
|
|
|
|||||||
| Life Insurance – 2.9% |
| |||||||
| 5,653,000 | American International Group, Inc., |
6,166,850 | ||||||
| 1,475,000 | American International Group, Inc., |
1,576,345 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Life Insurance – continued |
| |||||||
| $ | 8,255,000 | CNO Financial Group, Inc., |
$ | 9,039,225 | ||||
| 15,000,000 | Global Atlantic Fin Co., |
16,207,984 | ||||||
| 5,895,000 | Metropolitan Life Global Funding I, |
5,897,415 | ||||||
| 30,030,000 | Metropolitan Life Global Funding I, |
30,893,585 | ||||||
| 9,063,000 | Mutual of Omaha Insurance Co., |
12,042,818 | ||||||
| 26,914,000 | National Life Insurance Co., |
45,632,093 | ||||||
| 6,440,000 | NLV Financial Corp., |
8,758,278 | ||||||
| 2,872,000 | Penn Mutual Life Insurance Co. (The), |
3,835,688 | ||||||
| 14,489,000 | Penn Mutual Life Insurance Co. (The), |
21,005,779 | ||||||
|
|
|
|||||||
| 161,056,060 | ||||||||
|
|
|
|||||||
| Lodging – 0.5% |
| |||||||
| 26,131,000 | Choice Hotels International, Inc., |
26,849,603 | ||||||
|
|
|
|||||||
| Metals & Mining – 3.5% |
| |||||||
| 34,334,000 | Anglo American Capital PLC, |
36,449,854 | ||||||
| 8,785,000 | Anglo American Capital PLC, |
9,473,643 | ||||||
| 430,000 | ArcelorMittal, |
447,772 | ||||||
| 47,920,000 | ArcelorMittal, |
56,555,843 | ||||||
| 19,365,000 | ArcelorMittal, |
23,453,192 | ||||||
| 7,688,000 | Glencore Funding LLC, |
7,877,048 | ||||||
| 39,092,000 | Glencore Funding LLC, |
40,181,837 | ||||||
| 11,700,000 | Glencore Funding LLC, |
12,272,752 | ||||||
| 7,375,000 | Minera Mexico S.A. de CV, |
7,256,853 | ||||||
|
|
|
|||||||
| 193,968,794 | ||||||||
|
|
|
|||||||
| Midstream – 3.9% |
| |||||||
| 650,000 | DCP Midstream Operating LP, |
677,625 | ||||||
| 7,000,000 | Energy Transfer Operating LP, |
7,693,087 | ||||||
| 36,405,000 | Energy Transfer Operating LP, |
41,091,189 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Midstream – continued | ||||||||
| $ | 3,115,000 | EnLink Midstream Partners LP, |
$ | 2,492,000 | ||||
| 35,850,000 | EnLink Midstream Partners LP, |
29,217,750 | ||||||
| 7,695,000 | EnLink Midstream Partners LP, |
6,290,662 | ||||||
| 26,650,000 | EQM Midstream Partners LP, Series 10Y, |
26,653,146 | ||||||
| 14,300,000 | IFM U.S. Colonial Pipeline 2 LLC, |
14,875,693 | ||||||
| 14,660,000 | Kinder Morgan Energy Partners LP, |
15,167,894 | ||||||
| 3,105,000 | Kinder Morgan Energy Partners LP, |
3,193,837 | ||||||
| 7,461,000 | Kinder Morgan Energy Partners LP, |
7,816,504 | ||||||
| 14,040,000 | MPLX LP, |
14,877,767 | ||||||
| 85,000 | NGPL PipeCo LLC, |
110,100 | ||||||
| 225,000 | Plains All American Pipeline LP/PAA Finance Corp., |
224,997 | ||||||
| 40,610,000 | Sunoco Logistics Partners Operations LP, |
42,038,403 | ||||||
| 8,405,000 | Williams Cos., Inc., |
8,597,223 | ||||||
|
|
|
|||||||
| 221,017,877 | ||||||||
|
|
|
|||||||
| Mortgage Related – 0.0% | ||||||||
| 14,798 | FHLMC, |
15,978 | ||||||
| 1,597 | FNMA, |
1,795 | ||||||
|
|
|
|||||||
| 17,773 | ||||||||
|
|
|
|||||||
| Non-Agency Commercial Mortgage-Backed Securities – 0.6% | ||||||||
| 3,205,000 | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, |
3,226,986 | ||||||
| 12,790,000 | Credit Suisse Mortgage Trust, Series 2014-USA,
Class D, |
12,739,944 | ||||||
| 3,456,000 | Morgan Stanley Capital I Trust, Series 2011-C2,
Class E, |
3,431,377 | ||||||
| 6,706,000 | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class E, |
5,522,914 | ||||||
| 3,557,000 | WFRBS Commercial Mortgage Trust, Series 2011-C2,
Class D, |
3,645,195 | ||||||
| 2,125,000 | WFRBS Commercial Mortgage Trust, Series 2011-C3,
Class D, |
1,845,622 | ||||||
| 1,296,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7,
Class C, |
1,331,096 | ||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Non-Agency Commercial Mortgage-Backed Securities – continued | ||||||||
| $ | 865,000 | WFRBS Commercial Mortgage Trust, Series 2012-C7,
Class E, |
$ | 776,657 | ||||
|
|
|
|||||||
| 32,519,791 | ||||||||
|
|
|
|||||||
| Paper – 1.3% | ||||||||
| 6,400,000 | International Paper Co., |
9,424,411 | ||||||
| 4,600,000 | WestRock MWV LLC, |
6,546,228 | ||||||
| 4,273,000 | WestRock MWV LLC, |
5,849,711 | ||||||
| 26,007,000 | Weyerhaeuser Co., |
34,642,668 | ||||||
| 13,539,000 | Weyerhaeuser Co., |
18,969,864 | ||||||
|
|
|
|||||||
| 75,432,882 | ||||||||
|
|
|
|||||||
| Pharmaceuticals – 1.7% | ||||||||
| 27,550,000 | Gilead Science, Inc., |
27,682,784 | ||||||
| 27,080,000 | GlaxoSmithKline Capital PLC, |
27,616,741 | ||||||
| 10,312,000 | Mylan NV, |
10,987,548 | ||||||
| 2,459,000 | Mylan, Inc., |
2,603,110 | ||||||
| 2,764,000 | Mylan, Inc., |
2,907,921 | ||||||
| 17,010,000 | Teva Pharmaceutical Finance Netherlands III BV, |
13,737,956 | ||||||
| 8,000,000 | Teva Pharmaceutical Finance Netherlands III BV, |
5,599,200 | ||||||
| 5,500,000 | Teva Pharmaceutical Finance Netherlands III BV, |
4,759,645 | ||||||
|
|
|
|||||||
| 95,894,905 | ||||||||
|
|
|
|||||||
| Property & Casualty Insurance – 0.1% | ||||||||
| 2,740,000 | Fidelity National Financial, Inc., |
2,940,382 | ||||||
|
|
|
|||||||
| REITs - Health Care – 0.8% | ||||||||
| 40,130,000 | Ventas Realty LP, |
39,754,618 | ||||||
| 5,972,000 | Welltower, Inc., |
8,154,471 | ||||||
|
|
|
|||||||
| 47,909,089 | ||||||||
|
|
|
|||||||
| REITs - Single Tenant – 0.2% | ||||||||
| 8,690,000 | Realty Income Corp., |
9,012,154 | ||||||
|
|
|
|||||||
|
Principal |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Retailers – 0.5% | ||||||||
| $ | 396,357 | CVS Pass Through Trust, |
$ | 450,443 | ||||
| 439,103 | CVS Pass Through Trust, |
492,511 | ||||||
| 11,757,754 | CVS Pass Through Trust, Series 2013, |
12,784,088 | ||||||
| 1,232,805 | CVS Pass Through Trust, Series 2014, |
1,280,909 | ||||||
| 1,255,000 | Group 1 Automotive, Inc., |
1,267,550 | ||||||
| 8,064,000 | Marks & Spencer PLC, |
9,182,027 | ||||||
| 3,755,000 | PVH Corp., |
4,318,250 | ||||||
|
|
|
|||||||
| 29,775,778 | ||||||||
|
|
|
|||||||
| Supermarkets – 0.0% | ||||||||
| 325,000 | Koninklijke Ahold Delhaize NV, |
401,312 | ||||||
|
|
|
|||||||
| Supranational – 0.4% | ||||||||
| 20,000,000 | International Bank for Reconstruction & Development, Series GDIF, |
20,370,200 | ||||||
|
|
|
|||||||
| Technology – 4.7% | ||||||||
| 27,985,000 | Avnet, Inc., |
30,115,126 | ||||||
| 26,185,000 | Broadcom Corp./Broadcom Cayman Finance Ltd., |
26,438,334 | ||||||
| 27,405,000 | Broadcom, Inc., |
28,971,789 | ||||||
| 27,558,000 | Cisco Systems, Inc., |
27,549,357 | ||||||
| 22,066,000 | Cisco Systems, Inc., |
22,180,240 | ||||||
| 12,620,000 | Dell International LLC/EMC Corp., |
14,192,184 | ||||||
| 13,560,000 | Equifax, Inc., |
13,819,360 | ||||||
| 27,200,000 | Intel Corp., |
27,996,736 | ||||||
| 27,875,000 | International Business Machines Corp., |
28,001,104 | ||||||
| 7,440,000 | Jabil, Inc., |
7,866,594 | ||||||
| 16,735,000 | KLA Corp., |
19,898,304 | ||||||
| 5,000,000 | Oracle Corp., |
5,071,642 | ||||||
| 9,135,000 | Verisk Analytics, Inc., |
10,064,855 | ||||||
|
|
|
|||||||
| 262,165,625 | ||||||||
|
|
|
|||||||
|
Principal |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Non-Convertible Bonds – continued |
||||||||
| Treasuries – 15.7% | ||||||||
| $ | 42,000,000 | U.S. Treasury Bond, |
$ | 48,984,141 | ||||
| 210,910,000 | U.S. Treasury Bond, |
250,818,127 | ||||||
| 113,970,000 | U.S. Treasury Bond, |
135,886,965 | ||||||
| 30,000,000 | U.S. Treasury Note, |
29,940,234 | ||||||
| 88,910,000 | U.S. Treasury Note, |
88,500,180 | ||||||
| 28,000,000 | U.S. Treasury Note, |
28,079,844 | ||||||
| 284,065,000 | U.S. Treasury Note, |
301,663,713 | ||||||
|
|
|
|||||||
| 883,873,204 | ||||||||
|
|
|
|||||||
| Wireless – 0.6% | ||||||||
| 22,660,000 | Crown Castle International Corp., |
23,992,473 | ||||||
| 6,615,000 | Crown Castle International Corp., |
7,116,351 | ||||||
|
|
|
|||||||
| 31,108,824 | ||||||||
|
|
|
|||||||
| Wirelines – 2.0% | ||||||||
| 61,415,000 | AT&T, Inc., |
67,573,565 | ||||||
| 7,980,000 | AT&T, Inc., |
9,048,009 | ||||||
| 2,936,000 | BellSouth Telecommunications LLC, |
3,219,405 | ||||||
| 27,220,000 | Telefonica Emisiones S.A., |
33,137,928 | ||||||
|
|
|
|||||||
| 112,978,907 | ||||||||
|
|
|
|||||||
| Total Non-Convertible Bonds |
5,253,151,815 | |||||||
|
|
|
|||||||
| Convertible Bonds – 0.7% |
||||||||
| Cable Satellite – 0.2% | ||||||||
| 9,050,000 | DISH Network Corp., |
7,952,458 | ||||||
| 6,190,000 | DISH Network Corp., |
5,671,314 | ||||||
|
|
|
|||||||
| 13,623,772 | ||||||||
|
|
|
|||||||
| Diversified Manufacturing – 0.1% | ||||||||
| 5,165,000 | Greenbrier Cos., Inc. (The), |
4,899,548 | ||||||
|
|
|
|||||||
| Independent Energy – 0.1% | ||||||||
| 6,390,000 | Chesapeake Energy Corp., |
3,818,025 | ||||||
|
|
|
|||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||
| Bonds and Notes – continued |
||||||||
| Convertible Bonds – continued |
||||||||
| Oil Field Services – 0.2% | ||||||||
| $ | 15,095,000 | Nabors Industries, Inc., |
$ | 9,651,743 | ||||
|
|
|
|||||||
| Pharmaceuticals – 0.1% | ||||||||
| 8,370,000 | BioMarin Pharmaceutical, Inc., |
8,227,684 | ||||||
|
|
|
|||||||
| Total Convertible Bonds |
40,220,772 | |||||||
|
|
|
|||||||
| Municipals – 0.2% |
||||||||
| Michigan – 0.0% | ||||||||
| 1,575,000 | Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, |
1,595,318 | ||||||
|
|
|
|||||||
| Virginia – 0.2% | ||||||||
| 7,595,000 | Tobacco Settlement Financing Corp., Series A-1,
|
7,301,225 | ||||||
|
|
|
|||||||
| Total Municipals |
8,896,543 | |||||||
|
|
|
|||||||
| Total Bonds and Notes |
5,302,269,130 | |||||||
|
|
|
|||||||
| Collateralized Loan Obligations – 1.9% |
||||||||
| 14,491,290 | CVP Cascade CLO Ltd., Series 2014-2A, Class A1R, |
14,492,333 | ||||||
| 12,491,602 | Elevation CLO Ltd., Series 2015-4A, Class AR, |
12,492,784 | ||||||
| 1,955,336 | Flatiron CLO Ltd., Series 2015-1A, Class AR, |
1,956,005 | ||||||
| 11,256,190 | Halcyon Loan Advisors Funding Ltd., Series 2014-2A,
Class A1BR, |
11,261,881 | ||||||
| 12,430,000 | Jamestown CLO VII Ltd., Series 2015-7A, Class A1R,
|
12,375,715 | ||||||
| 1,392,595 | Limerock CLO III LLC, Series 2014-3A, Class A1R, |
1,392,396 | ||||||
| 13,685,000 | Mountain View CLO X Ltd., Series 2015-10A, Class AR,
|
13,623,855 | ||||||
| 13,210,000 | Parallel Ltd., Series 2015-1A, Class AR, |
13,196,359 | ||||||
| 10,455,782 | Staniford Street CLO Ltd., Series 2014-1A, Class AR,
|
10,451,592 | ||||||
| 11,625,000 | Venture VII CDO Ltd., Series 2006-7A, Class B, |
11,598,402 | ||||||
| 6,412,895 | Venture XII CLO Ltd., Series 2012-12A, Class ARR,
|
6,392,336 | ||||||
|
|
|
|||||||
| Total Collateralized Loan Obligations |
109,233,658 | |||||||
|
|
|
|||||||
| Shares | Description |
Value (†) | ||||||
| Preferred Stocks – 0.3% |
||||||||
| Food & Beverage – 0.3% | ||||||||
| 138,406 | Bunge Ltd., |
$ | 14,206,491 | |||||
|
|
|
|||||||
| Independent Energy – 0.0% | ||||||||
| 40,860 | Chesapeake Energy Corp., |
1,552,680 | ||||||
|
|
|
|||||||
| Total Preferred Stocks |
15,759,171 | |||||||
|
|
|
|||||||
| Principal Amount (‡) |
||||||||
| Short-Term Investments – 2.8% |
||||||||
| $ | 2,690,358,211 | Central Bank of Iceland, |
21,704,314 | |||||
| 137,952,949 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2019 at 1.100% to be repurchased at $137,957,165 on 10/01/2019 collateralized by $132,080,000 U.S. Treasury Note, 2.625% due 1/31/2026 valued at $140,714,994 including accrued interest(h) |
137,952,949 | ||||||
|
|
|
|||||||
| Total Short-Term Investments |
159,657,263 | |||||||
|
|
|
|||||||
| Total Investments – 99.5% |
5,586,919,222 | |||||||
| Other assets less liabilities – 0.5% | 25,697,499 | |||||||
|
|
|
|||||||
| Net Assets – 100.0% |
$ | 5,612,616,721 | ||||||
|
|
|
|||||||
| (†) | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. |
Senior loans and collateralized loan obligations are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans and collateralized loan obligations where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.
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 September 30, 2019, securities held by the Fund were fair valued as follows:
| Securities classified as fair valued |
Percentage of Net Assets |
Securities fair valued by the Fund’s adviser |
Percentage of Net Assets |
|||||||||||
| $ | 247,211,044 | 4.4 | % | $ | 40,867,577 | 0.7 | % | |||||||
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
| (‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
| (a) | Illiquid security. |
| (b) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2019, the value of these securities amounted to $247,211,044 or 4.4% of net assets. |
| (c) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of September 30, 2019 is disclosed. |
| (d) | Variable rate security. Rate as of September 30, 2019 is disclosed. |
| (e) | Level 3 security. Value has been determined using significant unobservable inputs. |
| (f) | Fair valued by the Fund’s adviser. At September 30, 2019, the value of this security amounted to $40,867,577 or 0.7% of net assets. |
| (g) | Security callable by issuer at any time. No specified maturity date. |
| (h) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of September 30, 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. | |
| 144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2019, the value of Rule 144A holdings amounted to $1,566,469,956 or 27.9% of net assets. | |
| ABS | Asset-Backed Securities | |
| ARS | Auction Rate Security | |
| FHLMC | Federal Home Loan Mortgage Corp. | |
| FNMA | Federal National Mortgage Association | |
| GMTN | Global Medium Term Note | |
| LIBOR | London Interbank Offered Rate | |
| MTN | Medium Term Note | |
| REITs | Real Estate Investment Trusts | |
| SLM | Sallie Mae | |
| ISK | Icelandic Krona | |
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 September 30, 2019, at value:
Asset Valuation Inputs
| Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Bonds and Notes |
||||||||||||||||
| Non-Convertible Bonds |
||||||||||||||||
| ABS Home Equity |
$ | — | $ | 165,470,280 | $ | 11,628,221 | (a) | $ | 177,098,501 | |||||||
| ABS Other |
— | 146,333,054 | 43,451,801 | (b) | 189,784,855 | |||||||||||
| ABS Student Loan |
— | 56,632,489 | 3,539,938 | (a) | 60,172,427 | |||||||||||
| Non-Agency Commercial Mortgage-Backed Securities |
— | 31,743,134 | 776,657 | (a) | 32,519,791 | |||||||||||
| All Other Non-Convertible Bonds* |
— | 4,793,576,241 | — | 4,793,576,241 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Non-Convertible Bonds |
— | 5,193,755,198 | 59,396,617 | 5,253,151,815 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Convertible Bonds* |
— | 40,220,772 | — | 40,220,772 | ||||||||||||
| Municipals* |
— | 8,896,543 | — | 8,896,543 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Bonds and Notes |
— | 5,242,872,513 | 59,396,617 | 5,302,269,130 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Collateralized Loan Obligations |
— | 109,233,658 | — | 109,233,658 | ||||||||||||
| Preferred Stocks* |
— | 15,759,171 | — | 15,759,171 | ||||||||||||
| Short-Term Investments |
— | 159,657,263 | — | 159,657,263 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | — | $ | 5,527,522,605 | $ | 59,396,617 | $ | 5,586,919,222 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| * | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
| (a) | Valued using broker-dealer bid prices. |
| (b) | Fair valued by the Fund’s adviser ($40,867,577) or valued using broker-dealer bid prices ($2,584,224). |
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 December 31, 2018 and/or September 30, 2019:
Asset Valuation Inputs
| Investments in Securities |
Balance as of December 31, 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 September 30, 2019 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2019 |
||||||||||||||||||||||||||||||
| Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
| Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
| ABS Home Equity |
$ | — | $ | — | $ | — | $ | (12,344 | ) | $ | 11,640,565 | $ | — | $ | — | $ | — | $ | 11,628,221 | $ | (12,344 | ) | ||||||||||||||||||
| ABS Other |
57,551,934 | — | 46,441 | (1,846,726 | ) | 906,845 | (4,733,305 | ) | — | (8,473,388 | ) | 43,451,801 | (1,649,718 | ) | ||||||||||||||||||||||||||
| ABS Student Loan |
4,259,110 | — | 1,497 | 331 | — | (721,000 | ) | — | — | 3,539,938 | 1,279 | |||||||||||||||||||||||||||||
| Airlines |
1,202,015 | — | — | — | — | — | — | (1,202,015 | ) | — | — | |||||||||||||||||||||||||||||
| Metals & Mining |
845 | (8,513 | ) | (1,663,073 | ) | 1,670,741 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
| Non-Agency Commercial Mortgage-Backed Securities |
— | — | — | 73,844 | 702,813 | — | — | — | 776,657 | 73,844 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 63,013,904 | $ | (8,513 | ) | $ | (1,615,135 | ) | $ | (114,154 | ) | $ | 13,250,223 | $ | (5,454,305 | ) | $ | — | $ | (9,675,403 | ) | $ | 59,396,617 | $ | (1,586,939 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
A debt security valued at $8,473,388 was transferred from Level 3 to Level 2 during the period ended September 30, 2019. At December 31, 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 September 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.
A debt security valued at $1,202,015 was transferred from Level 3 to Level 2 during the period ended September 30, 2019. At December 31, 2018, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security. At September 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.
Industry Summary at September 30, 2019 (Unaudited)
| Treasuries |
15.7 | % | ||
| ABS Car Loan |
7.9 | |||
| Banking |
7.8 | |||
| Technology |
4.7 | |||
| Midstream |
3.9 | |||
| Metals & Mining |
3.5 | |||
| ABS Other |
3.4 | |||
| Healthcare |
3.2 | |||
| ABS Home Equity |
3.2 | |||
| Life Insurance |
2.9 | |||
| Food & Beverage |
2.3 | |||
| Independent Energy |
2.2 | |||
| Automotive |
2.2 | |||
| Wirelines |
2.0 | |||
| ABS Credit Card |
2.0 | |||
| Chemicals |
2.0 | |||
| Other Investments, less than 2% each |
25.9 | |||
| Short-Term Investments |
2.8 | |||
| Collateralized Loan Obligations |
1.9 | |||
|
|
|
|||
| Total Investments |
99.5 | |||
| Other assets less liabilities |
0.5 | |||
|
|
|
|||
| Net Assets |
100.0 | % | ||
|
|
|