PORTFOLIO OF INVESTMENTS – as of December 31, 2019 (Unaudited)
Loomis Sayles Global Allocation Fund
| Shares | Description |
Value (†) | ||||||||
| Common Stocks – 68.9% of Net Assets |
||||||||||
| Canada – 2.4% |
| |||||||||
| 747,900 | CGI, Inc.(a) |
$ | 62,588,497 | |||||||
| 395,600 | Open Text Corp. |
17,431,929 | ||||||||
|
|
|
|||||||||
| 80,020,426 | ||||||||||
|
|
|
|||||||||
| China – 2.9% |
| |||||||||
| 455,584 | Alibaba Group Holding Ltd., Sponsored ADR(a) |
96,629,366 | ||||||||
|
|
|
|||||||||
| France – 2.4% |
| |||||||||
| 287,193 | Dassault Systemes SE |
47,365,391 | ||||||||
| 336,712 | Thales S.A. |
35,036,500 | ||||||||
|
|
|
|||||||||
| 82,401,891 | ||||||||||
|
|
|
|||||||||
| Hong Kong – 1.9% |
| |||||||||
| 6,044,000 | AIA Group Ltd. |
63,570,551 | ||||||||
|
|
|
|||||||||
| India – 1.1% |
| |||||||||
| 2,121,828 | HDFC Bank Ltd. |
37,860,934 | ||||||||
|
|
|
|||||||||
| Japan – 1.5% |
| |||||||||
| 2,337,361 | Nomura Research Institute Ltd. |
49,986,859 | ||||||||
|
|
|
|||||||||
| Sweden – 1.7% |
| |||||||||
| 1,401,104 | Atlas Copco AB, Class A |
55,926,005 | ||||||||
|
|
|
|||||||||
| Switzerland – 3.4% |
| |||||||||
| 630,636 | Nestle S.A., (Registered) |
68,275,930 | ||||||||
| 294,570 | Temenos AG, (Registered) |
46,597,795 | ||||||||
|
|
|
|||||||||
| 114,873,725 | ||||||||||
|
|
|
|||||||||
| United Kingdom – 5.9% |
| |||||||||
| 1,419,220 | Halma PLC |
39,741,898 | ||||||||
| 7,740,824 | Legal & General Group PLC |
31,095,330 | ||||||||
| 291,239 | Linde PLC |
62,004,783 | ||||||||
| 661,219 | London Stock Exchange Group PLC |
67,954,781 | ||||||||
|
|
|
|||||||||
| 200,796,792 | ||||||||||
|
|
|
|||||||||
| United States – 45.7% |
| |||||||||
| 321,321 | Accenture PLC, Class A |
67,660,563 | ||||||||
| 52,262 | Alphabet, Inc., Class A(a) |
69,999,200 | ||||||||
| 6,594 | Alphabet, Inc., Class C(a) |
8,816,310 | ||||||||
| 42,925 | Amazon.com, Inc.(a) |
79,318,532 | ||||||||
| 198,355 | Becton Dickinson & Co. |
53,946,609 | ||||||||
| 1,238,648 | CBRE Group, Inc., Class A(a) |
75,916,736 | ||||||||
| 640,222 | Danaher Corp. |
98,261,273 | ||||||||
| 254,280 | Estee Lauder Cos., Inc. (The), Class A |
52,518,991 | ||||||||
| 300,004 | Facebook, Inc., Class A(a) |
61,575,821 | ||||||||
| 114,656 | Goldman Sachs Group, Inc. (The) |
26,362,854 | ||||||||
| 505,580 | Intercontinental Exchange, Inc. |
46,791,429 | ||||||||
| 471,293 | IQVIA Holdings, Inc.(a) |
72,819,481 | ||||||||
| Shares | Description |
Value (†) | ||||||||
| Common Stocks – continued |
||||||||||
| United States – continued |
| |||||||||
| 236,896 | LyondellBasell Industries NV, Class A |
$ | 22,381,934 | |||||||
| 273,886 | M&T Bank Corp. |
46,492,149 | ||||||||
| 605,525 | Marriott International, Inc., Class A |
91,694,651 | ||||||||
| 145,891 | McCormick & Co., Inc. |
24,762,079 | ||||||||
| 63,446 | Mettler-Toledo International, Inc.(a) |
50,330,443 | ||||||||
| 248,029 | Northrop Grumman Corp. |
85,314,535 | ||||||||
| 7,220 | NVR, Inc.(a) |
27,496,720 | ||||||||
| 235,615 | Parker-Hannifin Corp. |
48,494,279 | ||||||||
| 281,120 | Roper Technologies, Inc. |
99,581,138 | ||||||||
| 230,435 | S&P Global, Inc. |
62,920,277 | ||||||||
| 140,208 | Sherwin-Williams Co. (The) |
81,816,976 | ||||||||
| 389,295 | Texas Instruments, Inc. |
49,942,656 | ||||||||
| 245 | Thryv Holdings, Inc.(a)(b)(c)(d) |
1,623 | ||||||||
| 119,819 | Tyler Technologies, Inc.(a) |
35,948,096 | ||||||||
| 333,663 | UnitedHealth Group, Inc. |
98,090,249 | ||||||||
|
|
|
|||||||||
| 1,539,255,604 | ||||||||||
|
|
|
|||||||||
| Total Common Stocks |
2,321,322,153 | |||||||||
|
|
|
|||||||||
| Principal Amount (‡) |
||||||||||
| Bonds and Notes – 26.2% |
||||||||||
| Non-Convertible Bonds – 25.8% |
||||||||||
| Argentina – 0.1% |
| |||||||||
| $ | 775,000 | Provincia de Buenos Aires, |
339,063 | |||||||
| 535,000 | Republic of Argentina, |
288,900 | ||||||||
| 1,230,000 | Republic of Argentina, |
618,690 | ||||||||
| 1,390,000 | Republic of Argentina, |
698,475 | ||||||||
|
|
|
|||||||||
| 1,945,128 | ||||||||||
|
|
|
|||||||||
| Australia – 0.1% |
| |||||||||
| 1,675,000 | Australia Government Bond, Series 133, |
1,349,008 | ||||||||
| 1,150,000 | Commonwealth Bank of Australia, |
1,150,613 | ||||||||
| 670,000 | GAIF Bond Issuer Pty Ltd., |
679,397 | ||||||||
| 935,000 | National Australia Bank, |
940,881 | ||||||||
| 95,000 | Sydney Airport Finance Co. Pty Ltd., |
98,223 | ||||||||
|
|
|
|||||||||
| 4,218,122 | ||||||||||
|
|
|
|||||||||
| Belgium – 0.1% |
| |||||||||
| 1,690,000 | Anheuser-Busch InBev Worldwide, Inc., |
1,958,997 | ||||||||
|
|
|
|||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| Brazil – 0.4% |
| |||||||||
| 8,500 | (††) | Brazil Notas do Tesouro Nacional, Series F, |
$ | 2,324,626 | ||||||
| 10,980 | (††) | Brazil Notas do Tesouro Nacional, Series F, |
2,736,673 | |||||||
| 11,634 | (††) | Brazil Notas do Tesouro Nacional, Series F, |
3,269,324 | |||||||
| 1,085,000 | Brazilian Government International Bond, |
1,165,290 | ||||||||
| 400,000 | Cosan Luxembourg S.A., |
404,000 | ||||||||
| 1,100,000 | Embraer Netherlands Finance BV, |
1,205,886 | ||||||||
| 1,350,000 | Petrobras Global Finance BV, |
1,540,404 | ||||||||
| 150,000 | Petrobras Global Finance BV, |
175,764 | ||||||||
| 575,000 | Raizen Fuels Finance S.A., |
626,750 | ||||||||
| 500,000 | Tupy Overseas S.A., |
517,130 | ||||||||
|
|
|
|||||||||
| 13,965,847 | ||||||||||
|
|
|
|||||||||
| Canada – 3.6% |
| |||||||||
| 411,455 | Air Canada Pass Through Trust, Series 2015-2,
Class A, |
431,930 | ||||||||
| 849,176 | Air Canada Pass Through Trust, Series 2017-1,
Class AA, |
866,932 | ||||||||
| 1,010,000 | Antares Holdings LP, |
1,062,652 | ||||||||
| 815,000 | Bank of Montreal, |
814,030 | ||||||||
| 1,015,000 | Brookfield Finance, Inc., |
1,162,290 | ||||||||
| 11,680,000 | Canadian Government Bond, |
8,769,062 | ||||||||
| 13,815,000 | Canadian Government Bond, |
10,567,935 | ||||||||
| 65,740,000 | Canadian Government Bond, |
50,050,590 | ||||||||
| 35,230,000 | Canadian Government Bond, |
27,137,586 | ||||||||
| 970,000 | Canadian Imperial Bank of Commerce, |
1,017,987 | ||||||||
| 1,800,000 | Canadian Imperial Bank of Commerce, (fixed rate to 7/22/2022, variable rate thereafter),
|
1,819,641 | ||||||||
| 800,000 | CPPIB Capital, Inc., |
917,066 | ||||||||
| 430,000 | Enbridge, Inc., |
438,069 | ||||||||
| 905,000 | Export Development Canada, |
696,374 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| Canada – continued |
| |||||||||
| 264,319 | GMF Canada Leasing Trust, Series 2018-1A,
Class A2, |
$ | 204,007 | |||||||
| 721,820 | Institutional Mortgage Securities Canada, Inc., Series
2014-5A, Class A2, |
555,082 | ||||||||
| 7,200,000 | Province of Ontario Canada, |
7,200,171 | ||||||||
| 2,475,000 | Royal Bank of Canada, GMTN, |
2,485,505 | ||||||||
| 2,500,000 | Toronto-Dominion Bank (The), |
2,514,595 | ||||||||
| 1,690,000 | Toronto-Dominion Bank (The), GMTN, |
1,778,918 | ||||||||
| 1,580,000 | Videotron Ltd., |
1,690,600 | ||||||||
|
|
|
|||||||||
| 122,181,022 | ||||||||||
|
|
|
|||||||||
| Chile – 0.4% |
| |||||||||
| 950,000 | Celulosa Arauco y Constitucion S.A., |
995,135 | ||||||||
| 1,960,000 | Corp. Nacional del Cobre de Chile, |
1,932,697 | ||||||||
| 1,700,000 | Corp. Nacional del Cobre de Chile, |
1,837,071 | ||||||||
| 1,160,000 | Corp. Nacional del Cobre de Chile, |
1,253,531 | ||||||||
| 525,000 | Enel Chile S.A., |
580,125 | ||||||||
| 250,000 | Engie Energia Chile S.A., |
257,700 | ||||||||
| 800,000 | Inversiones CMPC S.A., |
827,988 | ||||||||
| 683,098 | Latam Airlines Pass Through Trust, Series 2015-1,
Class A, |
703,425 | ||||||||
| 391,587 | Latam Airlines Pass Through Trust, Series 2015-1,
Class B, |
392,073 | ||||||||
| 950,000 | Latam Finance Ltd., |
1,003,685 | ||||||||
| 935,000 | Republic of Chile, |
983,620 | ||||||||
| 1,120,000 | Transelec S.A., |
1,177,411 | ||||||||
|
|
|
|||||||||
| 11,944,461 | ||||||||||
|
|
|
|||||||||
| China – 0.3% |
| |||||||||
| 920,000 | Alibaba Group Holding Ltd., |
958,559 | ||||||||
| 795,000 | Baidu, Inc., |
828,152 | ||||||||
| 400,000 | China Resources Gas Group Ltd., |
416,812 | ||||||||
| 905,000 | Industrial & Commercial Bank of China Ltd., |
919,027 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| China – continued |
| |||||||||
| $ | 500,000 | Prosus NV, |
$ | 508,046 | ||||||
| 985,000 | Sinopec Group Overseas Development 2017 Ltd., |
985,394 | ||||||||
| 500,000 | Tencent Holdings Ltd., |
507,713 | ||||||||
| 1,175,000 | Tencent Holdings Ltd., |
1,209,163 | ||||||||
| 1,820,000 | Three Gorges Finance I Cayman Islands Ltd., |
1,858,165 | ||||||||
| 1,270,000 | Weibo Corp., |
1,291,280 | ||||||||
|
|
|
|||||||||
| 9,482,311 | ||||||||||
|
|
|
|||||||||
| Colombia – 0.3% |
| |||||||||
| 1,265,000,000 | Emgesa S.A. E.S.P., |
396,367 | ||||||||
| 1,300,000 | Empresas Publicas de Medellin ESP, |
1,350,966 | ||||||||
| 1,140,000 | Millicom International Cellular S.A., |
1,257,751 | ||||||||
| 1,150,000 | Millicom International Cellular S.A., |
1,273,395 | ||||||||
| 575,000 | Republic of Colombia, |
608,063 | ||||||||
| 200,000,000 | Republic of Colombia, |
62,717 | ||||||||
| 7,073,300,000 | Republic of Colombia, Series B, |
2,214,150 | ||||||||
| 6,150,000,000 | Titulos De Tesoreria, Series B, |
2,042,430 | ||||||||
| 870,000 | Transportadora de Gas Internacional S.A. E.S.P., |
995,071 | ||||||||
|
|
|
|||||||||
| 10,200,910 | ||||||||||
|
|
|
|||||||||
| Denmark – 0.0% |
| |||||||||
| 670,000 | Danske Bank A/S, |
695,781 | ||||||||
|
|
|
|||||||||
| Dominican Republic – 0.1% |
| |||||||||
| 1,410,000 | Dominican Republic, |
1,517,527 | ||||||||
| 590,000 | Dominican Republic, |
651,625 | ||||||||
| 995,000 | Dominican Republic, |
1,106,669 | ||||||||
| 425,000 | Dominican Republic, |
515,844 | ||||||||
|
|
|
|||||||||
| 3,791,665 | ||||||||||
|
|
|
|||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| France – 0.5% |
| |||||||||
| 200,000 | AXA S.A., |
$ | 279,405 | |||||||
| 205,000 | BNP Paribas S.A., |
220,123 | ||||||||
| 1,415,000 | Caisse d’Amortissement de la Dette Sociale, |
1,419,078 | ||||||||
| 250,000 | Credit Agricole S.A., |
259,148 | ||||||||
| 500,000 | Dexia Credit Local S.A., |
500,216 | ||||||||
| 1,300,000 | Edenred, |
1,576,017 | ||||||||
| 6,435,000 | French Republic Government Bond OAT, |
8,535,666 | ||||||||
| 465,000 | French Republic Government Bond OAT, |
616,796 | ||||||||
| 500,000 | Holding d’Infrastructures de Transport SASU, EMTN, |
577,361 | ||||||||
| 500,000 | Holding d’Infrastructures de Transport SASU, EMTN, |
562,872 | ||||||||
| 1,015,000 | Societe Generale S.A., |
1,100,193 | ||||||||
|
|
|
|||||||||
| 15,646,875 | ||||||||||
|
|
|
|||||||||
| Germany – 0.1% |
| |||||||||
| 1,165,000 | BMW U.S. Capital LLC, |
1,205,148 | ||||||||
| 1,850,000 | RWE AG, (fixed rate to 10/21/2020, variable rate thereafter), |
2,104,284 | ||||||||
| 1,450,000 | Siemens Financieringsmaatschappij NV, |
1,442,326 | ||||||||
|
|
|
|||||||||
| 4,751,758 | ||||||||||
|
|
|
|||||||||
| Greece – 0.1% |
| |||||||||
| 430,000 | Hellenic Republic Government Bond, |
540,383 | ||||||||
| 1,855,000 | Hellenic Republic Government Bond, |
2,458,410 | ||||||||
|
|
|
|||||||||
| 2,998,793 | ||||||||||
|
|
|
|||||||||
| Hong Kong – 0.0% |
| |||||||||
| 355,000 | AIA Group Ltd., |
364,269 | ||||||||
| 1,135,000 | AIA Group Ltd., |
1,213,111 | ||||||||
|
|
|
|||||||||
| 1,577,380 | ||||||||||
|
|
|
|||||||||
| India – 0.1% |
| |||||||||
| 650,000 | Greenko Dutch BV, |
659,718 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| India – continued |
| |||||||||
| $ | 1,230,000 | ICICI Bank Ltd., EMTN, |
$ | 1,246,108 | ||||||
|
|
|
|||||||||
| 1,905,826 | ||||||||||
|
|
|
|||||||||
| Indonesia – 0.1% |
| |||||||||
| 300,000 | Indonesia Government International Bond, |
321,642 | ||||||||
| 735,000 | Indonesia Government International Bond, |
816,370 | ||||||||
| 545,000 | Republic of Indonesia, |
636,036 | ||||||||
| 525,000 | Republic of Indonesia, |
584,346 | ||||||||
|
|
|
|||||||||
| 2,358,394 | ||||||||||
|
|
|
|||||||||
| Ireland – 0.1% |
| |||||||||
| 475,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, |
490,274 | ||||||||
| 1,250,000 | Bank of Ireland Group PLC, |
1,333,117 | ||||||||
| 375,000 | Ireland Government Bond, |
486,673 | ||||||||
|
|
|
|||||||||
| 2,310,064 | ||||||||||
|
|
|
|||||||||
| Italy – 0.6% |
| |||||||||
| 2,180,000 | Enel Finance International NV, |
2,379,005 | ||||||||
| 200,000 | Intesa Sanpaolo SpA, |
216,489 | ||||||||
| 530,000 | Intesa Sanpaolo SpA, EMTN, |
677,969 | ||||||||
| 3,305,000 | Italy Buoni Poliennali Del Tesoro, |
3,960,436 | ||||||||
| 4,255,000 | Italy Buoni Poliennali Del Tesoro, |
5,286,581 | ||||||||
| 1,975,000 | Republic of Italy, |
1,933,993 | ||||||||
| 3,335,000 | Republic of Italy, |
4,099,532 | ||||||||
| 630,000 | UniCredit SpA, (fixed rate to 4/02/2029, variable rate thereafter), |
724,779 | ||||||||
| 635,000 | UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), |
662,273 | ||||||||
|
|
|
|||||||||
| 19,941,057 | ||||||||||
|
|
|
|||||||||
| Japan – 0.9% |
| |||||||||
| 991,397,400 | (†††) | Japan Government CPI Linked Bond, Series 23, |
9,397,309 | |||||||
| 2,020,350,000 | Japan Government Thirty Year Bond, Series 62, |
19,037,645 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| Japan – continued |
| |||||||||
| $ | 1,445,000 | Sumitomo Mitsui Financial Group, Inc., |
$ | 1,474,589 | ||||||
|
|
|
|||||||||
| 29,909,543 | ||||||||||
|
|
|
|||||||||
| Korea – 0.3% |
| |||||||||
| 765,000 | Export-Import Bank of Korea, |
785,952 | ||||||||
| 1,100,000 | Hyundai Capital Services, Inc., |
1,134,838 | ||||||||
| 1,575,000 | Kia Motors Corp., |
1,592,671 | ||||||||
| 910,000 | Korea Gas Corp., |
924,405 | ||||||||
| 670,000 | KT Corp., |
656,982 | ||||||||
| 1,180,000 | LG Chem Ltd., |
1,211,763 | ||||||||
| 1,440,000,000 | Republic of Korea, Series 2209, |
1,264,274 | ||||||||
| 770,000 | Shinhan Bank Co. Ltd., |
802,327 | ||||||||
| 140,000 | SK Telecom Co. Ltd., |
174,079 | ||||||||
| 200,000 | Woori Bank, |
208,511 | ||||||||
|
|
|
|||||||||
| 8,755,802 | ||||||||||
|
|
|
|||||||||
| Mexico – 0.4% |
| |||||||||
| 620,000 | Alfa SAB de CV, |
752,525 | ||||||||
| 770,000 | America Movil SAB de CV, |
967,278 | ||||||||
| 10,000,000 | America Movil SAB de CV, |
512,363 | ||||||||
| 675,000 | Banco Nacional de Comercio Exterior SNC, (fixed rate to 8/11/2021, variable rate thereafter),
|
682,600 | ||||||||
| 747,000 | CEMEX Finance LLC, |
767,923 | ||||||||
| 1,505,000 | Cemex SAB de CV, |
1,546,403 | ||||||||
| 800,000 | Gruma SAB de CV, |
866,008 | ||||||||
| 10,000,000 | Grupo Televisa SAB, EMTN, |
391,406 | ||||||||
| 142,000 | (††††) | Mexican Fixed Rate Bonds, Series M, |
711,521 | |||||||
| 190,229 | (††††) | Mexican Fixed Rate Bonds, Series M, |
1,002,200 | |||||||
| 3,600,000 | Mexico Government International Bond, |
3,790,548 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| Mexico – continued |
| |||||||||
| 196,000 | Mexico Government International Bond, |
$ | 246,675 | |||||||
| 205,000 | Orbia Advance Corp. SAB de CV, |
216,021 | ||||||||
| 100,000 | Sigma Alimentos S.A. de CV, |
120,486 | ||||||||
| 835,000 | Sigma Alimentos S.A. de CV, |
873,627 | ||||||||
| 1,010,000 | Unifin Financiera SAB de CV SOFOM ENR, |
1,051,885 | ||||||||
|
|
|
|||||||||
| 14,499,469 | ||||||||||
|
|
|
|||||||||
| Netherlands – 0.0% |
| |||||||||
| 870,000 | Cooperatieve Rabobank UA, |
945,403 | ||||||||
|
|
|
|||||||||
| Norway – 0.1% |
| |||||||||
| 17,000,000 | City of Oslo, Norway, |
1,968,332 | ||||||||
| 550,000 | Kommunalbanken AS, |
549,818 | ||||||||
| 3,815,000 | Norway Government Bond, Series 475, |
442,923 | ||||||||
| 16,500,000 | Norway Government Bond, Series 478, |
1,889,758 | ||||||||
|
|
|
|||||||||
| 4,850,831 | ||||||||||
|
|
|
|||||||||
| Panama – 0.1% |
| |||||||||
| 680,000 | Banco Latinoamericano de Comercio Exterior S.A., |
681,734 | ||||||||
| 1,485,000 | Cable Onda S.A., |
1,563,705 | ||||||||
| 1,045,000 | Panama Government International Bond, |
1,076,350 | ||||||||
|
|
|
|||||||||
| 3,321,789 | ||||||||||
|
|
|
|||||||||
| Paraguay – 0.0% |
| |||||||||
| 800,000 | Republic of Paraguay, |
884,000 | ||||||||
|
|
|
|||||||||
| Peru – 0.1% |
| |||||||||
| 580,000 | Southern Copper Corp., |
608,714 | ||||||||
| 1,050,000 | Transportadora de Gas del Peru S.A., |
1,122,198 | ||||||||
|
|
|
|||||||||
| 1,730,912 | ||||||||||
|
|
|
|||||||||
| Singapore – 0.1% |
| |||||||||
| 785,000 | BOC Aviation Ltd., |
787,754 | ||||||||
| 495,000 | BOC Aviation Ltd., |
495,543 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| Singapore – continued |
| |||||||||
| $ | 345,000 | DBS Group Holdings Ltd., (fixed rate to 12/11/2023, variable rate thereafter), |
$ | 367,618 | ||||||
| 3,215,000 | United Overseas Bank Ltd., |
3,261,489 | ||||||||
|
|
|
|||||||||
| 4,912,404 | ||||||||||
|
|
|
|||||||||
| South Africa – 0.1% |
| |||||||||
| 930,000 | MTN (Mauritius) Investments Ltd., |
953,250 | ||||||||
| 39,185,000 | South Africa Government International Bond, Series R213, |
2,368,198 | ||||||||
|
|
|
|||||||||
| 3,321,448 | ||||||||||
|
|
|
|||||||||
| Spain – 0.5% |
| |||||||||
| 2,300,000 | Banco Bilbao Vizcaya Argentaria S.A., GMTN, |
2,622,960 | ||||||||
| 400,000 | Banco Santander S.A., |
408,303 | ||||||||
| 100,000 | Iberdrola International BV, EMTN, |
112,887 | ||||||||
| 700,000 | Naturgy Finance BV, EMTN, |
836,981 | ||||||||
| 3,590,000 | Spain Government Bond, |
5,343,499 | ||||||||
| 725,000 | Spain Government International Bond, |
828,367 | ||||||||
| 430,000 | Spain Government International Bond, |
523,388 | ||||||||
| 2,565,000 | Spain Government International Bond, |
3,381,383 | ||||||||
| 1,300,000 | Telefonica Emisiones SAU Co., EMTN, |
1,545,863 | ||||||||
|
|
|
|||||||||
| 15,603,631 | ||||||||||
|
|
|
|||||||||
| Supranationals – 0.2% |
| |||||||||
| 1,115,000 | Corporacion Andina de Fomento, |
1,169,501 | ||||||||
| 3,360,000 | European Investment Bank, |
2,556,219 | ||||||||
| 3,515,000 | International Bank for Reconstruction & Development, |
2,726,652 | ||||||||
| 1,140,000 | International Bank for Reconstruction & Development, MTN, |
802,259 | ||||||||
|
|
|
|||||||||
| 7,254,631 | ||||||||||
|
|
|
|||||||||
| Sweden – 0.0% |
| |||||||||
| 2,450,000 | Sweden Government Bond, Series 1047, |
274,285 | ||||||||
|
|
|
|||||||||
| Switzerland – 0.0% |
| |||||||||
| 900,000 | Syngenta Finance NV, EMTN, |
995,073 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| Switzerland – continued |
| |||||||||
| $ | 340,000 | Willow No. 2 (Ireland) PLC for Zurich Insurance Co. Ltd., EMTN, (fixed rate to 10/1/2025,
variable rate thereafter), |
$ | 354,875 | ||||||
|
|
|
|||||||||
| 1,349,948 | ||||||||||
|
|
|
|||||||||
| Thailand – 0.2% |
| |||||||||
| 1,570,000 | Kasikornbank PCL, EMTN, |
1,605,526 | ||||||||
| 85,000,000 | Thailand Government Bond, |
2,978,370 | ||||||||
| 950,000 | Thaioil Treasury Center Co. Ltd., |
976,401 | ||||||||
|
|
|
|||||||||
| 5,560,297 | ||||||||||
|
|
|
|||||||||
| Trinidad – 0.0% |
| |||||||||
| 415,000 | Trinidad Generation UnLtd., |
438,348 | ||||||||
|
|
|
|||||||||
| Turkey – 0.2% |
| |||||||||
| 525,000 | Turk Telekomunikasyon AS, |
560,437 | ||||||||
| 2,875,000 | Turkcell Iletisim Hizmetleri AS, |
2,865,656 | ||||||||
| 16,960,000 | Turkey Government Bond, |
2,922,172 | ||||||||
| 1,345,000 | Turkey Government International Bond, |
1,485,335 | ||||||||
|
|
|
|||||||||
| 7,833,600 | ||||||||||
|
|
|
|||||||||
| United Arab Emirates – 0.1% |
| |||||||||
| 1,610,000 | Abu Dhabi Crude Oil Pipeline LLC, |
1,729,108 | ||||||||
| 1,275,000 | DP World Crescent Ltd., |
1,399,746 | ||||||||
| 850,000 | DP World PLC, |
850,320 | ||||||||
| 200,000 | DP World PLC, MTN, |
200,075 | ||||||||
|
|
|
|||||||||
| 4,179,249 | ||||||||||
|
|
|
|||||||||
| United Kingdom – 0.4% |
| |||||||||
| 95,000 | Avon Products, Inc., |
118,275 | ||||||||
| 1,350,000 | CK Hutchison International 19 Ltd., |
1,420,936 | ||||||||
| 300,000 | HSBC Holdings PLC, |
324,462 | ||||||||
| 565,000 | HSBC Holdings PLC, (fixed rate to 6/01/2021, variable rate thereafter), |
592,544 | ||||||||
| 295,000 | HSBC Holdings PLC, EMTN, |
478,941 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| United Kingdom – continued |
| |||||||||
| $ | 635,000 | Lloyds Banking Group PLC, |
$ | 673,336 | ||||||
| 400,000 | Lloyds Banking Group PLC, |
427,825 | ||||||||
| 1,395,000 | Nationwide Building Society, (fixed rate to 7/18/2029, variable rate thereafter), |
1,498,716 | ||||||||
| 235,000 | Network Rail Infrastructure Finance PLC, EMTN, |
358,489 | ||||||||
| 1,130,000 | Royal Bank of Scotland Group PLC, |
1,256,786 | ||||||||
| 350,000 | Santander UK Group Holdings PLC, |
375,635 | ||||||||
| 250,000 | Standard Chartered PLC, EMTN, |
314,918 | ||||||||
| 1,035,000 | United Kingdom Gilt, |
1,506,316 | ||||||||
| 530,000 | United Kingdom Gilt, |
754,698 | ||||||||
| 130,000 | Virgin Media Finance PLC, |
149,466 | ||||||||
| 115,000 | Virgin Media Secured Finance PLC, |
158,485 | ||||||||
| 1,660,000 | Vodafone Group PLC, |
1,840,538 | ||||||||
|
|
|
|||||||||
| 12,250,366 | ||||||||||
|
|
|
|||||||||
| United States – 15.1% |
| |||||||||
| 140,000 | Abbott Ireland Financing DAC, |
169,821 | ||||||||
| 9,890,000 | AbbVie, Inc., |
9,904,859 | ||||||||
| 1,500,000 | AES Corp. (The), |
1,522,500 | ||||||||
| 480,000 | Allison Transmission, Inc., |
498,000 | ||||||||
| 8,000,000 | Ally Financial, Inc., |
8,260,000 | ||||||||
| 745,000 | Ally Financial, Inc., |
821,579 | ||||||||
| 1,728,000 | Ally Financial, Inc., |
2,398,637 | ||||||||
| 1,965,000 | American Airlines Group, Inc., |
2,055,881 | ||||||||
| 1,440,658 | American Airlines Pass Through Certificates, Series
2016-3, Class B, |
1,456,893 | ||||||||
| 534,455 | American Airlines Pass Through Certificates, Series
2017-2, Class B, |
540,272 | ||||||||
| 116,474 | American Airlines Pass Through Certificates, Series
2013-1, Class A, |
122,530 | ||||||||
| 436,785 | American Airlines Pass Through Certificates, Series
2017-1B, Class B, |
457,174 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| United States – continued |
| |||||||||
| $ | 1,906,962 | American Airlines Pass Through Trust, Series 2016-1,
Class B, |
$ | 2,017,146 | ||||||
| 2,510,000 | American Honda Finance Corp., GMTN, |
2,506,041 | ||||||||
| 400,000 | Antero Resources Corp., |
357,000 | ||||||||
| 175,000 | Antero Resources Corp., |
166,633 | ||||||||
| 3,060,000 | Antero Resources Corp., |
2,455,650 | ||||||||
| 260,000 | Aptiv PLC, |
307,819 | ||||||||
| 1,510,000 | AT&T, Inc., |
1,581,381 | ||||||||
| 3,960,000 | AT&T, Inc., |
4,400,316 | ||||||||
| 495,000 | AT&T, Inc., |
546,875 | ||||||||
| 625,000 | AT&T, Inc., |
694,072 | ||||||||
| 925,000 | Aviation Capital Group LLC, |
974,795 | ||||||||
| 2,700,000 | Bank of America Corp., |
3,649,669 | ||||||||
| 115,000 | Bank of America Corp., MTN, |
125,443 | ||||||||
| 3,180,000 | Beazer Homes USA, Inc., |
3,394,650 | ||||||||
| 585,000 | BP Capital Markets America, Inc., |
609,543 | ||||||||
| 270,000 | Brighthouse Financial, Inc., |
250,185 | ||||||||
| 1,170,000 | Broadcom, Inc., |
1,242,741 | ||||||||
| 71,000 | California Resources Corp., |
33,370 | ||||||||
| 10,000 | California Resources Corp., |
3,000 | ||||||||
| 9,300,000 | California Resources Corp., |
4,157,751 | ||||||||
| 60,000 | CenturyLink, Inc., |
63,753 | ||||||||
| 880,000 | CenturyLink, Inc., Series S, |
921,140 | ||||||||
| 3,210,000 | Chesapeake Energy Corp., |
2,535,900 | ||||||||
| 315,000 | Chesapeake Energy Corp., |
213,126 | ||||||||
| 7,295,000 | Chesapeake Energy Corp., |
4,522,900 | ||||||||
| 780,000 | Chevron Corp., |
783,468 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| United States – continued |
| |||||||||
| $ | 1,635,000 | Cimarex Energy Co., |
$ | 1,727,035 | ||||||
| 40,000 | Cincinnati Bell, Inc., |
42,400 | ||||||||
| 500,000 | Citizens Financial Group, Inc., |
537,446 | ||||||||
| 3,500,000 | Coca-Cola Co. (The), |
3,491,138 | ||||||||
| 265,000 | Constellation Brands, Inc., |
293,778 | ||||||||
| 485,000 | Continental Resources, Inc., |
501,629 | ||||||||
| 640,000 | Continental Resources, Inc., |
668,701 | ||||||||
| 63,000 | Continental Resources, Inc., |
63,452 | ||||||||
| 375,000 | Cox Communications, Inc., |
415,407 | ||||||||
| 595,000 | CSC Holdings LLC, |
634,419 | ||||||||
| 155,000 | Cummins, Inc., |
197,024 | ||||||||
| 475,000 | Dell International LLC/EMC Corp., |
546,820 | ||||||||
| 93,641 | Delta Air Lines Pass Through Trust, Series 2007-1,
Class B, |
102,431 | ||||||||
| 940,000 | DH Europe Finance II S.a.r.l., |
1,028,544 | ||||||||
| 50,000 | Dillard’s, Inc., |
56,258 | ||||||||
| 8,000 | Dillard’s, Inc., |
9,076 | ||||||||
| 1,680,000 | DISH DBS Corp., |
1,723,428 | ||||||||
| 3,570,000 | DISH DBS Corp., |
3,648,094 | ||||||||
| 1,385,000 | DISH DBS Corp., |
1,467,255 | ||||||||
| 310,000 | DR Horton, Inc., |
325,005 | ||||||||
| 340,000 | Enable Midstream Partners LP, |
312,098 | ||||||||
| 235,000 | Enbridge Energy Partners LP, |
351,083 | ||||||||
| 1,075,000 | Energy Transfer Partners LP/Regency Energy Finance Corp., |
1,140,380 | ||||||||
| 600,000 | EnLink Midstream Partners LP, |
564,000 | ||||||||
| 1,310,000 | Federal National Mortgage Association, Series 2017-M14,
Class A2, |
1,349,558 | ||||||||
| 410,000 | FedEx Corp., |
469,996 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| United States – continued |
| |||||||||
| $ | 650,000 | FedEx Corp., |
$ | 667,652 | ||||||
| 20,293,547 | FNMA, |
20,859,784 | ||||||||
| 40,000 | Ford Motor Co., |
41,333 | ||||||||
| 685,000 | Ford Motor Co., |
652,732 | ||||||||
| 25,000 | Ford Motor Co., |
26,948 | ||||||||
| 50,000 | Ford Motor Co., |
54,147 | ||||||||
| 2,105,000 | Ford Motor Co., |
2,345,027 | ||||||||
| 5,000 | Ford Motor Co., |
5,813 | ||||||||
| 5,000,000 | Ford Motor Credit Co. LLC, |
5,001,538 | ||||||||
| 295,000 | General Electric Co., |
323,224 | ||||||||
| 50,000 | General Electric Co., GMTN, |
51,088 | ||||||||
| 310,000 | General Motors Co., |
313,101 | ||||||||
| 240,000 | General Motors Financial Co., Inc., |
245,457 | ||||||||
| 925,000 | General Motors Financial Co., Inc., |
1,025,844 | ||||||||
| 100,000 | General Motors Financial Co., Inc., EMTN, |
113,219 | ||||||||
| 770,000 | General Motors Financial of Canada Ltd., Series 5, |
593,776 | ||||||||
| 3,435,000 | Georgia-Pacific LLC, |
4,519,877 | ||||||||
| 105,000 | Georgia-Pacific LLC, |
132,895 | ||||||||
| 180,000 | Georgia-Pacific LLC, |
254,822 | ||||||||
| 315,000 | Georgia-Pacific LLC, |
489,605 | ||||||||
| 905,000 | Global Atlantic Fin Co., |
967,289 | ||||||||
| 2,295,000 | Goldman Sachs Group, Inc. (The), |
3,188,051 | ||||||||
| 2,745,000 | Goodyear Tire & Rubber Co. (The), |
2,841,075 | ||||||||
| 165,000 | Goodyear Tire & Rubber Co. (The), |
185,110 | ||||||||
| 1,000,000 | HCA Healthcare, Inc., |
1,042,500 | ||||||||
| 20,000 | HCA, Inc., |
21,426 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| United States – continued |
| |||||||||
| $ | 6,670,000 | HCA, Inc., |
$ | 7,428,712 | ||||||
| 225,000 | HCA, Inc., |
266,625 | ||||||||
| 820,000 | HCA, Inc., |
1,033,200 | ||||||||
| 395,000 | HCA, Inc., |
479,925 | ||||||||
| 195,000 | HCA, Inc., MTN, |
233,025 | ||||||||
| 75,000 | HCA, Inc., MTN, |
89,250 | ||||||||
| 855,000 | Hecla Mining Co., |
852,221 | ||||||||
| 490,000 | Hewlett Packard Enterprise Co., |
590,025 | ||||||||
| 485,000 | Huntington Ingalls Industries, Inc., |
506,825 | ||||||||
| 1,585,000 | Hyundai Capital America, |
1,544,123 | ||||||||
| 450,000 | International Lease Finance Corp., |
464,063 | ||||||||
| 5,760,000 | Iron Mountain, Inc., |
5,851,008 | ||||||||
| 48,000 | J.C. Penney Corp., Inc., |
15,846 | ||||||||
| 5,000 | J.C. Penney Corp., Inc., |
1,350 | ||||||||
| 1,070,000 | Jefferies Group LLC, |
1,278,363 | ||||||||
| 7,760,000 | JELD-WEN, Inc., |
7,988,920 | ||||||||
| 1,875,000 | JELD-WEN, Inc., |
1,917,187 | ||||||||
| 330,000 | Level 3 Financing, Inc., |
332,062 | ||||||||
| 760,000 | Level 3 Financing, Inc., |
786,600 | ||||||||
| 44,000 | Masco Corp., |
54,019 | ||||||||
| 403,000 | Masco Corp., |
523,031 | ||||||||
| 615,000 | Medtronic Global Holdings SCA, |
724,752 | ||||||||
| 4,315,000 | Michaels Stores, Inc., |
4,120,825 | ||||||||
| 10,000,000 | Microsoft Corp., |
9,986,769 | ||||||||
| 1,430,000 | Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., |
1,304,875 | ||||||||
| 450,000 | Morgan Stanley, |
482,808 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| United States – continued |
| |||||||||
| $ | 725,000 | Morgan Stanley, |
$ | 752,963 | ||||||
| 3,150,000 | Morgan Stanley, MTN, |
3,326,273 | ||||||||
| 600,000 | Morgan Stanley, MTN, |
730,820 | ||||||||
| 25,000 | MPLX LP, |
26,570 | ||||||||
| 95,000 | MPLX LP, |
103,782 | ||||||||
| 3,890,000 | Nationstar Mortgage Holdings, Inc., |
4,308,175 | ||||||||
| 3,000,000 | Navient Corp., |
3,044,100 | ||||||||
| 915,000 | Navient Corp., |
976,762 | ||||||||
| 95,000 | Navient Corp., |
101,650 | ||||||||
| 1,600 | (†††††) | Navient Corp., |
38,309 | |||||||
| 935,000 | Navient Corp., |
1,027,658 | ||||||||
| 4,113,000 | Navient Corp., MTN, |
3,537,180 | ||||||||
| 750,000 | Navient Corp., MTN, |
813,750 | ||||||||
| 415,000 | Navient Corp., MTN, |
450,873 | ||||||||
| 65,000 | Newfield Exploration Co., |
71,428 | ||||||||
| 900,000 | NGL Energy Partners LP/NGL Energy Finance Corp., |
848,250 | ||||||||
| 405,000 | NGL Energy Partners LP/NGL Energy Finance Corp., |
405,000 | ||||||||
| 20,000 | NGPL PipeCo LLC, |
25,824 | ||||||||
| 1,765,000 | Nissan Motor Acceptance Corp., |
1,801,790 | ||||||||
| 120,000 | Oasis Petroleum, Inc., |
117,300 | ||||||||
| 300,000 | Occidental Petroleum Corp., |
303,089 | ||||||||
| 2,275,000 | Oceaneering International, Inc., |
2,230,842 | ||||||||
| 420,000 | Old Republic International Corp., |
460,606 | ||||||||
| 3,693,000 | ONEOK Partners LP, |
4,067,562 | ||||||||
| 25,000 | ONEOK Partners LP, |
31,661 | ||||||||
| 1,200,000 | Owens Corning, |
1,160,849 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| United States – continued |
| |||||||||
| $ | 310,000 | Owens Corning, |
$ | 386,217 | ||||||
| 2,965,000 | Owens-Brockway Glass Container, Inc., |
3,053,950 | ||||||||
| 585,000 | Prologis LP, |
800,261 | ||||||||
| 540,000 | PulteGroup, Inc., |
602,100 | ||||||||
| 785,000 | PulteGroup, Inc., |
916,487 | ||||||||
| 220,000 | PulteGroup, Inc., |
282,700 | ||||||||
| 285,000 | QEP Resources, Inc., |
282,150 | ||||||||
| 210,000 | QEP Resources, Inc., |
211,050 | ||||||||
| 295,000 | Quicken Loans, Inc., |
305,325 | ||||||||
| 120,000 | Quicken Loans, Inc., |
124,050 | ||||||||
| 95,000 | Qwest Corp., |
109,302 | ||||||||
| 345,000 | Radian Group, Inc., |
364,837 | ||||||||
| 195,000 | Radian Group, Inc., |
205,237 | ||||||||
| 230,000 | Range Resources Corp., |
196,650 | ||||||||
| 850,000 | Range Resources Corp., |
833,000 | ||||||||
| 220,000 | Range Resources Corp., |
202,360 | ||||||||
| 970,000 | Santander Holdings USA, Inc., |
971,099 | ||||||||
| 25,000 | Sealed Air Corp., |
26,469 | ||||||||
| 640,000 | Sealed Air Corp., |
704,000 | ||||||||
| 420,000 | ServiceMaster Co. LLC (The), |
474,600 | ||||||||
| 140,000 | Silgan Holdings, Inc., |
160,552 | ||||||||
| 7,560,000 | SM Energy Co., |
7,430,384 | ||||||||
| 155,000 | SM Energy Co., |
151,900 | ||||||||
| 1,170,000 | Springleaf Finance Corp., |
1,260,675 | ||||||||
| 860,000 | Springleaf Finance Corp., |
978,250 | ||||||||
| 2,310,000 | Springleaf Finance Corp., |
2,670,822 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| United States – continued |
| |||||||||
| $ | 330,000 | Springleaf Finance Corp., |
$ | 358,462 | ||||||
| 130,000 | Springleaf Finance Corp., |
151,450 | ||||||||
| 2,349,000 | Sprint Capital Corp., |
2,531,047 | ||||||||
| 2,240,000 | Sprint Capital Corp., |
2,718,800 | ||||||||
| 120,000 | Sprint Corp., |
129,450 | ||||||||
| 2,840,000 | Sprint Corp., |
3,133,457 | ||||||||
| 1,365,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., |
1,414,481 | ||||||||
| 950,000 | Tenet Healthcare Corp., |
978,500 | ||||||||
| 100,000 | Tenet Healthcare Corp., |
109,871 | ||||||||
| 1,695,000 | Tenet Healthcare Corp., |
1,728,900 | ||||||||
| 820,000 | Textron, Inc., |
865,908 | ||||||||
| 90,000 | Time Warner Cable LLC, |
92,014 | ||||||||
| 85,000 | Time Warner Cable LLC, |
94,954 | ||||||||
| 1,635,000 | Toyota Motor Credit Corp., MTN, |
1,664,183 | ||||||||
| 1,680,000 | Transcontinental Gas Pipe Line Co. LLC, |
2,135,211 | ||||||||
| 171,000 | TransDigm, Inc., |
176,361 | ||||||||
| 185,000 | TransDigm, Inc., |
192,400 | ||||||||
| 6,665,000 | TRI Pointe Group, Inc., |
6,831,625 | ||||||||
| 5,000 | TRI Pointe Group, Inc./TRI Pointe Homes, Inc., |
5,438 | ||||||||
| 4,960,000 | U.S. Treasury Bond, |
5,481,769 | ||||||||
| 4,380,000 | U.S. Treasury Bond, |
4,945,465 | ||||||||
| 4,116,049 | U.S. Treasury Inflation Indexed Note, |
4,109,972 | ||||||||
| 4,155,203 | U.S. Treasury Inflation Indexed Note, |
4,238,440 | ||||||||
| 13,105,021 | U.S. Treasury Inflation Indexed Note, |
13,307,835 | ||||||||
| 21,640,000 | U.S. Treasury Note, |
21,098,155 | ||||||||
| 25,430,000 | U.S. Treasury Note, |
25,400,199 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| United States – continued |
| |||||||||
| $ | 40,000,000 | U.S. Treasury Note, |
$ | 39,939,062 | ||||||
| 34,445,000 | U.S. Treasury Note, |
34,397,907 | ||||||||
| 13,685,000 | U.S. Treasury Note, |
13,514,472 | ||||||||
| 21,715,000 | U.S. Treasury Note, |
21,782,011 | ||||||||
| 7,500,000 | U.S. Treasury Note, |
7,392,773 | ||||||||
| 4,515,000 | U.S. Treasury Note, |
4,543,748 | ||||||||
| 15,000,000 | U.S. Treasury Note, |
15,063,281 | ||||||||
| 12,695,000 | U.S. Treasury Note, |
13,351,570 | ||||||||
| 7,360,000 | U.S. Treasury Note, |
7,927,237 | ||||||||
| 422,639 | United Airlines Pass Through Trust, Series 2016-2,
Class B, |
425,120 | ||||||||
| 2,940,000 | United Rentals North America, Inc., |
3,054,844 | ||||||||
| 460,000 | United Rentals North America, Inc., |
505,569 | ||||||||
| 1,690,000 | United States Steel Corp., |
1,368,900 | ||||||||
| 81,903 | US Airways Pass Through Trust, Series 2012-1A,
Class A, |
90,964 | ||||||||
| 312,752 | US Airways Pass Through Trust, Series 2012-2A,
Class A, |
337,389 | ||||||||
| 25,000 | ViacomCBS, Inc., |
26,507 | ||||||||
| 395,000 | ViacomCBS, Inc., |
458,375 | ||||||||
| 145,000 | ViacomCBS, Inc., |
181,672 | ||||||||
| 145,000 | Vine Oil & Gas LP/Vine Oil & Gas Finance Corp., |
72,500 | ||||||||
| 1,150,000 | Walmart, Inc., |
1,267,062 | ||||||||
| 60,000 | Weyerhaeuser Co., |
75,687 | ||||||||
| 315,000 | Weyerhaeuser Co., |
435,607 | ||||||||
| 525,000 | Whiting Petroleum Corp., |
496,650 | ||||||||
| 195,000 | Whiting Petroleum Corp., |
164,130 | ||||||||
| 3,052,000 | Windstream Services LLC/Windstream Finance Corp., |
1,159,760 | ||||||||
| Principal Amount (‡) |
Description |
Value (†) | ||||||||
| Bonds and Notes – continued |
||||||||||
| Non-Convertible Bonds – continued |
| |||||||||
| United States – continued |
| |||||||||
| $ | 65,000 | Windstream Services LLC/Windstream Finance Corp., |
$ | 25,350 | ||||||
|
|
|
|||||||||
| 509,628,697 | ||||||||||
|
|
|
|||||||||
| Total Non-Convertible Bonds |
869,379,044 | |||||||||
|
|
|
|||||||||
| Convertible Bonds – 0.4% |
||||||||||
| United States – 0.4% |
| |||||||||
| 1,450,000 | Booking Holdings, Inc., |
1,670,943 | ||||||||
| 95,000 | Chesapeake Energy Corp., |
45,257 | ||||||||
| 545,000 | DISH Network Corp., |
497,640 | ||||||||
| 2,860,000 | DISH Network Corp., |
2,751,034 | ||||||||
| 290,000 | Evolent Health, Inc., |
259,930 | ||||||||
| 1,855,000 | iStar, Inc., |
2,080,059 | ||||||||
| 2,020,000 | Nuance Communications, Inc., |
2,037,473 | ||||||||
| 240,000 | Nuance Communications, Inc., |
266,489 | ||||||||
| 10,000 | Nuance Communications, Inc., |
10,539 | ||||||||
| 1,660,000 | Rovi Corp., |
1,632,826 | ||||||||
| 380,000 | SM Energy Co., |
359,742 | ||||||||
| 825,000 | Western Digital Corp., |
807,984 | ||||||||
|
|
|
|||||||||
| Total Convertible Bonds |
12,419,916 | |||||||||
|
|
|
|||||||||
| Municipals – 0.0% |
||||||||||
| United States – 0.0% |
| |||||||||
| 155,000 | State of Illinois, |
167,095 | ||||||||
| 130,000 | Tobacco Settlement Financing Corp., Series A-1,
|
125,209 | ||||||||
|
|
|
|||||||||
| Total Municipals |
292,304 | |||||||||
|
|
|
|||||||||
| Total Bonds and Notes |
882,091,264 | |||||||||
|
|
|
|||||||||
| Shares | Description |
Value (†) | ||||||||
| Preferred Stocks – 0.1% |
||||||||||
| United States – 0.1% |
| |||||||||
| 460 | Chesapeake Energy Corp., |
$ | 8,119 | |||||||
| 736 | Chesapeake Energy Corp., |
126,202 | ||||||||
| 40 | Chesapeake Energy Corp., |
6,864 | ||||||||
| 84 | Chesapeake Energy Corp., Series A, |
14,413 | ||||||||
| 38,952 | El Paso Energy Capital Trust I, |
2,004,470 | ||||||||
|
|
|
|||||||||
| 2,160,068 | ||||||||||
|
|
|
|||||||||
| Total Preferred Stocks |
2,160,068 | |||||||||
|
|
|
|||||||||
| Principal Amount (‡) |
||||||||||
| Short-Term Investments – 4.2% |
||||||||||
| $ | 45,676,190 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2019 at 0.900% to be repurchased at $45,678,474 on 1/02/2020 collateralized by $44,225,000 U.S. Treasury Note, 2.875% due 10/31/2023 valued at $46,445,626; $145,000 U.S. Treasury Note, 2.000% due 5/31/2024 valued at $147,269 including accrued interest(l) |
45,676,190 | |||||||
| 14,835,000 | U.S. Treasury Bills, |
14,760,144 | ||||||||
| 6,335,000 | U.S. Treasury Bills, |
6,310,579 | ||||||||
| 29,625,000 | U.S. Treasury Bills, |
29,520,777 | ||||||||
| 12,555,000 | U.S. Treasury Bills, |
12,521,988 | ||||||||
| 10,000,000 | U.S. Treasury Bills, |
9,976,511 | ||||||||
| 24,785,000 | U.S. Treasury Bills, |
24,763,747 | ||||||||
|
|
|
|||||||||
| Total Short-Term Investments |
143,529,936 | |||||||||
|
|
|
|||||||||
| Total Investments – 99.4% |
3,349,103,421 | |||||||||
| Other assets less liabilities – 0.6% |
20,954,805 | |||||||||
|
|
|
|||||||||
| Net Assets – 100.0% |
$ | 3,370,058,226 | ||||||||
|
|
|
|||||||||
| (†) | 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. |
| Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. |
| 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 December 31, 2019, securities held by the Fund were fair valued as follows: |
| Equity securities1 |
Percentage of Net Assets |
Securities classified as fair valued |
Percentage of Net Assets | |||
| $543,411,974 |
16.1% | $9,791,308 | 0.3% |
| 1 | Certain foreign equity securities were fair valued pursuant to procedures approved by the Board of Trustees as events occuring after the close of 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) | Illiquid security. |
| (c) | Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At December 31, 2019, the value of these securities amounted to $9,791,308 or 0.3% of net assets. |
| (d) | Securities subject to restriction on resale. At December 31, 2019, the restricted securities held by the Fund are as follows: |
| Acquisition Date | Acquisition Cost | Value | % of Net Assets |
|||||||||||||
| Thryv Holdings, Inc. |
8/12/2016 | $ | 1,194 | $ | 1,623 | Less than 0.1 | % | |||||||||
| (e) | Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts. |
| (f) | Perpetual bond with no specified maturity date. |
| (g) | 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 December 31, 2019 is disclosed. |
| (h) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
| (i) | Treasury Inflation Protected Security (TIPS). |
| (j) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
| (k) | Level 3 security. Value has been determined using significant unobservable inputs. |
| (l) | 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 December 31, 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. |
| (m) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
| (n) | 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 December 31, 2019, the value of Rule 144A holdings amounted to $135,842,981 or 4.0% 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 | |
| FNMA | Federal National Mortgage Association | |
| GMTN | Global Medium Term Note | |
| MTN | Medium Term Note | |
| AUD | Australian Dollar | |
| BRL | Brazilian Real | |
| CAD | Canadian Dollar | |
| 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 | |
| TRY | Turkish Lira | |
| 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 December 31, 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. |
3/03/2020 | BRL | S | 18,445,000 | $ | 4,310,586 | $ | 4,574,936 | $ | (264,350 | ) | |||||||||||||||
| Bank of America, N.A. |
3/18/2020 | KRW | B | 5,850,000,000 | 5,025,773 | 5,067,936 | 42,163 | |||||||||||||||||||
| Citibank N.A. |
3/18/2020 | ZAR | S | 33,700,000 | 2,256,535 | 2,382,500 | (125,965 | ) | ||||||||||||||||||
| Credit Suisse International |
3/18/2020 | CAD | S | 123,005,000 | 92,962,355 | 94,750,188 | (1,787,833 | ) | ||||||||||||||||||
| Credit Suisse International |
3/18/2020 | COP | S | 16,193,255,000 | 4,752,239 | 4,908,672 | (156,433 | ) | ||||||||||||||||||
| Credit Suisse International |
3/18/2020 | GBP | B | 12,290,000 | 16,145,127 | 16,312,908 | 167,781 | |||||||||||||||||||
| Credit Suisse International |
3/18/2020 | JPY | B | 7,830,000,000 | 72,556,231 | 72,347,935 | (208,296 | ) | ||||||||||||||||||
| Credit Suisse International |
3/18/2020 | JPY | S | 1,099,780,000 | 10,089,262 | 10,161,790 | (72,528 | ) | ||||||||||||||||||
| Goldman Sachs & Co. |
3/18/2020 | MXN | S | 19,000,000 | 971,117 | 993,778 | (22,661 | ) | ||||||||||||||||||
| HSBC Bank USA |
3/18/2020 | AUD | B | 905,000 | 619,382 | 636,262 | 16,880 | |||||||||||||||||||
| Morgan Stanley Capital Services, Inc. |
3/18/2020 | EUR | B | 62,770,000 | 69,884,185 | 70,739,796 | 855,611 | |||||||||||||||||||
| UBS AG |
3/18/2020 | SEK | B | 7,350,000 | 777,498 | 787,554 | 10,056 | |||||||||||||||||||
| UBS AG |
3/18/2020 | THB | S | 83,000,000 | 2,740,703 | 2,775,866 | (35,163 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| Total |
|
$ | (1,580,738 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
At December 31, 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) |
|||||||||||||||||||||||
| BNP Paribas S.A. |
3/18/2020 | JPY | 545,348,625 | AUD | 7,250,000 | $ | 5,097,121 | $ | 58,188 | |||||||||||||||||||
| UBS AG |
3/18/2020 | NOK | 18,380,000 | EUR | 1,808,244 | 2,037,833 | (56,199 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total |
|
$ | 1,989 | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At December 31, 2019, open long futures contracts were as follows:
| Financial Futures |
Expiration Date |
Contracts | Notional Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| Ultra 10 Year U.S. Treasury Note |
3/20/2020 | 42 | $ | 5,985,682 | $ | 5,909,531 | $ | (76,151 | ) | |||||||||||||||
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 December 31, 2019, at value:
Asset Valuation Inputs
| Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Common Stocks |
||||||||||||||||
| France |
$ | — | $ | 82,401,891 | $ | — | $ | 82,401,891 | ||||||||
| Hong Kong |
— | 63,570,551 | — | 63,570,551 | ||||||||||||
| India |
— | 37,860,934 | — | 37,860,934 | ||||||||||||
| Japan |
— | 49,986,859 | — | 49,986,859 | ||||||||||||
| Sweden |
— | 55,926,005 | — | 55,926,005 | ||||||||||||
| Switzerland |
— | 114,873,725 | — | 114,873,725 | ||||||||||||
| United Kingdom |
62,004,783 | 138,792,009 | — | 200,796,792 | ||||||||||||
| United States |
1,539,253,981 | 1,623 | — | 1,539,255,604 | ||||||||||||
| All Other Common Stocks* |
176,649,792 | — | — | 176,649,792 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
1,777,908,556 | 543,413,597 | — | 2,321,322,153 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Bonds and Notes |
||||||||||||||||
| Non-Convertible Bonds |
||||||||||||||||
| United States |
38,309 | 509,590,388 | — | 509,628,697 | ||||||||||||
| All Other Non-Convertible Bonds* |
— | 359,750,347 | — | 359,750,347 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Non-Convertible Bonds |
38,309 | 869,340,735 | — | 869,379,044 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Convertible Bonds* |
— | 12,419,916 | — | 12,419,916 | ||||||||||||
| Municipals* |
— | 292,304 | — | 292,304 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Bonds and Notes |
38,309 | 882,052,955 | — | 882,091,264 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Preferred Stocks* |
2,004,470 | — | 155,598 | (a) | 2,160,068 | |||||||||||
| Short-Term Investments |
— | 143,529,936 | — | 143,529,936 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
1,779,951,335 | 1,568,996,488 | 155,598 | 3,349,103,421 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Forward Foreign Currency Contracts (unrealized appreciation) |
— | 1,150,679 | — | 1,150,679 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 1,779,951,335 | $ | 1,570,147,167 | $ | 155,598 | $ | 3,350,254,100 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs
| Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
| Forward Foreign Currency Contracts (unrealized depreciation) |
$ | — | $ | (2,729,428 | ) | $ | — | $ | (2,729,428 | ) | ||||||
| Futures Contracts (unrealized depreciation) |
(76,151 | ) | — | — | (76,151 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | (76,151 | ) | $ | (2,729,428 | ) | $ | — | $ | (2,805,579 | ) | |||||
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| * | Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments. |
| (a) | Valued using broker-dealer bid prices. |
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, 2019 and/or December 31, 2019:
Asset Valuation Inputs
| Investments in |
Balance as of September 30, 2019 |
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 December 31, 2019 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2019 |
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| Bonds and Notes |
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| Non-Convertible Bonds |
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| Canada |
$ | 4,819 | $ | — | $ | 17 | $ | 29 | $ | — | $ | (4,865 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
| Preferred Stocks |
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| United States |
301,240 | — | — | (163,122 | ) | — | — | 17,480 | — | 155,598 | (163,122 | ) | ||||||||||||||||||||||||||||
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| Total |
$ | 306,059 | $ | — | $ | 17 | $ | (163,093) | $ | — | $ | (4,865) | $ | 17,480 | $ | — | $ | 155,598 | $ | (163,122) | ||||||||||||||||||||
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A preferred stock valued at $17,480 was transferred from Level 2 to Level 3 during the period ended December 31, 2019. 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. At December 31, 2019, 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.
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 and futures 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 December 31, 2019, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.
The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended December 31, 2019, the Fund used futures contracts for hedging purposes and to manage duration.
The following is a summary of derivative instruments for the Fund, as of December 31, 2019:
| Assets |
Unrealized appreciation on forward foreign currency contracts |
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Over-the-counter asset derivatives |
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| Foreign exchange contracts |
$ | 1,150,679 | ||
| Liabilities |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on future contracts |
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Over-the-counter liability derivatives |
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| Foreign exchange contracts |
$ | (2,729,428 | ) | $ | — | |||
| Exchange-traded liability derivatives |
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| Interest rate contracts |
— | (76,151 | ) | |||||
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| Total Liability derivatives |
$ | (2,729,428 | ) | $ | (76,151 | ) | ||
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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 the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of December 31, 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 |
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| Bank of America, N.A |
$ | (222,187) | $ | — | ||||
| Citibank N.A |
(125,965 | ) | 120,000 | |||||
| Credit Suisse International |
(2,057,309 | ) | 1,980,000 | |||||
| Goldman Sachs & Co. |
(22,661 | ) | — | |||||
| UBS AG |
(81,306 | ) | — | |||||
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 December 31, 2019:
| Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net | |
| $3,430,047 | $546,047 |
These amounts include cash received as collateral of $564,000.
Industry Summary at December 31, 2019 (Unaudited)
| Treasuries |
13.4 | % | ||
| Capital Markets |
6.1 | |||
| IT Services |
5.4 | |||
| Internet & Direct Marketing Retail |
5.2 | |||
| Chemicals |
5.0 | |||
| Health Care Equipment & Supplies |
4.5 | |||
| Software |
4.4 | |||
| Interactive Media & Services |
4.2 | |||
| Life Sciences Tools & Services |
3.7 | |||
| Aerospace & Defense |
3.5 | |||
| Machinery |
3.1 | |||
| Industrial Conglomerates |
3.0 | |||
| Health Care Providers & Services |
2.9 | |||
| Insurance |
2.8 | |||
| Food Products |
2.7 | |||
| Hotels, Restaurants & Leisure |
2.7 | |||
| Banks |
2.5 | |||
| Real Estate Management & Development |
2.2 | |||
| Other Investments, less than 2% each |
17.9 | |||
| Short-Term Investments |
4.2 | |||
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| Total Investments |
99.4 | |||
| Other assets less liabilities (including forward foreign currency and futures contracts) |
0.6 | |||
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| Net Assets |
100.0 | % | ||
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Currency Exposure Summary at December 31, 2019 (Unaudited)
| United States Dollar |
74.1 | % | ||
| Canadian Dollar |
5.5 | |||
| British Pound |
4.2 | |||
| Euro |
3.9 | |||
| Swiss Franc |
3.4 | |||
| Japanese Yen |
2.4 | |||
| Other, less than 2% each |
5.9 | |||
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| Total Investments |
99.4 | |||
| Other assets less liabilities (including forward foreign currency and futures contracts) |
0.6 | |||
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| Net Assets |
100.0 | % | ||
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